SEI Institutional Managed Trust

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust’s Form N-Q is available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 96.8%

Consumer Discretionary — 10.9%
Amazon.com*	0.8	%	72,155	$	9,793
Comcast, Cl A	0.5		344,660		6,487
Ford Motor*	0.6		638,454		8,025
Time Warner	0.7		284,617		8,900
Time Warner Cable, Cl A	0.6		130,100		6,936
Other Securities	7.7				99,356

					139,497


Consumer Staples — 8.6%
Coca-Cola	0.6		140,805		7,744
PepsiCo	0.8		150,817		9,978
Philip Morris International	0.8		205,029		10,694
Procter & Gamble	1.3		264,754		16,751
SYSCO	0.5		197,077		5,814
Walgreen	0.8		271,986		10,088
Wal-Mart Stores	0.5		123,320		6,857
Other Securities	3.3				42,321

					110,247


Energy — 9.5%
Chevron	1.8		294,864		22,359
ConocoPhillips	1.2		303,933		15,552
Exxon Mobil	2.2		425,332		28,489
Murphy Oil	0.5		113,328		6,368
Other Securities	3.8				49,635

					122,403


Financials — 15.6%
Aflac	0.5		124,716		6,771
American Express	1.0		300,394		12,394
Bank of America	1.3		924,222		16,497
Goldman Sachs Group	0.9		65,699		11,210
JPMorgan Chase	1.5		441,126		19,740
US Bancorp	0.6		268,459		6,948
Wells Fargo	1.6		658,423		20,490
Other Securities	8.2				106,363

					200,413


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 13.4%
Aetna	0.6	%	203,086	$	7,130
Allergan	0.8		165,465		10,808
Amgen*	1.0		212,690		12,710
Cardinal Health	0.5		157,039		5,658
Johnson & Johnson	1.2		238,413		15,545
McKesson	0.5		91,297		6,000
Medtronic	0.5		131,492		5,921
Pfizer	1.1		813,215		13,947
UnitedHealth Group	0.9		350,100		11,438
WellPoint*	0.5		92,301		5,942
Other Securities	5.8				76,496

					171,595


Industrials — 9.0%
General Electric	1.2		837,444		15,242
United Technologies	0.6		111,530		8,210
Other Securities	7.2				91,868

					115,320


Information Technology — 20.4%
Apple*	1.7		92,628		21,761
Cisco Systems*	1.3		607,217		15,806
eBay*	0.5		252,400		6,802
EMC*	0.6		419,450		7,567
Google, Cl A*	1.4		30,566		17,331
Hewlett-Packard	1.1		260,464		13,844
Intel	0.9		511,401		11,384
International Business Machines	1.6		156,515		20,073
Microsoft	2.0		894,315		26,177
Qualcomm	1.0		293,800		12,337
Texas Instruments	0.7		344,021		8,418
Visa, Cl A	0.7		97,175		8,846
Other Securities	6.9				91,685

					262,031


Materials — 3.3%
Other Securities	3.3				41,720


Telecommunication Services — 2.8%
AT&T	1.5		721,388		18,641
Verizon Communications	0.7		275,645		8,551
Other Securities	0.6				8,816

					36,008


Utilities — 3.3%
AES*	0.6		644,000		7,084
Other Securities	2.7	%			35,156

					42,240

Total Common Stock (Cost $1,126,433) ($ Thousands)					1,241,474

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:

For the period ended March 31, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 96.8%

Consumer Discretionary — 10.4%
Comcast, Cl A (A)	1.3	%	1,273,300	$	23,964
Ford Motor* (A)	0.5		754,600		9,485
Home Depot	0.5		297,300		9,618
Time Warner	0.5		315,733		9,873
Time Warner Cable, Cl A (A)	0.5		164,424		8,765
Viacom, Cl B*	0.4		225,800		7,763
Walt Disney	0.6		335,000		11,695
Whirlpool (A)	0.4		88,200		7,696
Other Securities	5.7				107,271

					196,130


Consumer Staples — 5.5%
CVS Caremark	0.6		298,700		10,921
Procter & Gamble	0.9		264,800		16,754
Other Securities	4.0				75,994

					103,669


Energy — 17.1%
Apache	0.5		92,700		9,409
Chevron	3.0		744,700		56,471
ConocoPhillips	1.6		588,586		30,118
Exxon Mobil (A)	5.0		1,409,200		94,388
Marathon Oil	0.7		443,600		14,035
Occidental Petroleum	0.9		192,400		16,265
Schlumberger (A)	0.5		134,500		8,535
Other Securities	4.9				92,988

					322,209


Financials — 23.5%
Allstate	0.7		381,400		12,323
Ameriprise Financial	0.5		194,200		8,809
Bank of America	2.1		2,267,569		40,476
Chubb (A)	0.5		184,800		9,582
Citigroup* (A)	0.7		3,428,700		13,886
Franklin Resources (A)	0.4		74,300		8,240
Goldman Sachs Group	1.4		149,100		25,441


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

JPMorgan Chase	2.8	%	1,170,000	$	52,358
Morgan Stanley	0.5		330,700		9,686
PNC Financial Services Group (A)	0.6		179,055		10,689
Travelers	0.9		299,900		16,177
US Bancorp	0.6		456,300		11,809
Wells Fargo	1.9		1,140,595		35,495
Other Securities	9.9				187,924

					442,895


Health Care — 9.6%
Eli Lilly (A)	0.5		238,900		8,653
Johnson & Johnson	0.9		272,400		17,761
Merck	0.9		449,857		16,802
Pfizer	2.3		2,464,622		42,268
UnitedHealth Group	0.6		361,300		11,804
WellPoint*	0.7		213,000		13,713
Other Securities	3.7				68,999

					180,000


Industrials — 9.8%
Boeing	0.5		139,400		10,122
General Dynamics	0.6		133,700		10,321
General Electric	2.8		2,912,600		53,010
Northrop Grumman	0.7		189,000		12,393
RR Donnelley & Sons	0.5		408,400		8,719
Other Securities	4.7				89,859

					184,424


Information Technology — 5.9%
Hewlett-Packard	0.6		226,700		12,049
Intel	0.8		650,500		14,480
Other Securities	4.5				83,835

					110,364


Materials — 3.7%
Eastman Chemical	0.5		150,500		9,584
Lubrizol	0.4		86,200		7,906
Other Securities	2.8				53,079

					70,569


Telecommunication Services — 5.7%
AT&T	3.2		2,337,395		60,398
Verizon Communications (A)	1.6		955,500		29,640
Other Securities	0.9				17,165

					107,203


Utilities — 5.6%
DTE Energy	0.5		196,800		8,777
Energen	0.4		156,800		7,296
Southern Union	0.4		320,800		8,139


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Other Securities	4.3	%		$	80,820

					105,032

Total Common Stock (Cost $1,571,017) ($ Thousands)					1,822,495


AFFILIATED PARTNERSHIP — 8.1%
SEI Liquidity Fund, L.P., 0.210% (B)**†	8.1		157,054,366		151,767

Total Affiliated Partnership (Cost $157,054) ($ Thousands)					151,767


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	1.7		32,279,797		32,280

Total Cash Equivalent (Cost $32,280) ($ Thousands)					32,280


U.S. TREASURY OBLIGATION (C) — 0.3%
Other Securities	0.3				5,643

Total U.S. Treasury Obligation (Cost $5,644) ($ Thousands)					5,643

Total Investments — 106.9% (Cost $1,765,995) ($ Thousands)				$	2,012,185

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	204	Jun-2010	$	561

For the period ended March 31, 2010, the total number of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,882,657 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see note 5).

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $151,940 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was 151,767 ($ Thousands).

(C)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,822,495	$	—	$	—	$	1,822,495
Affiliated Partnership		—		151,767		—		151,767
Cash Equivalent		32,280		—		—		32,280
U.S. Treasury Obligation		—		5,643		—		5,643

Total Investments in Securities	$	1,854,775	$	157,410	$	—	$	2,012,185


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	561	$	—	$	—	$	561

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 93.9%‡

Consumer Discretionary — 10.7%
Amazon.com*	1.0	%	153,335	$	20,812
Lowe’s	0.8		682,634		16,547
McDonald’s	0.6		181,560		12,114
Nike, Cl B (A)	0.9		244,660		17,983
priceline.com* (A)	0.5		40,400		10,302
Staples (A)	0.9		785,571		18,375
Target	1.0		380,955		20,038
Other Securities	5.0				98,524

					214,695


Consumer Staples — 12.7%
Coca-Cola	1.4		520,483		28,626
Colgate-Palmolive (A)	0.6		148,774		12,685
Costco Wholesale (A)	0.6		201,870		12,054
PepsiCo	2.1		633,439		41,908
Philip Morris International	1.1		412,090		21,495
Procter & Gamble	2.3		729,793		46,174
Walgreen	0.7		392,252		14,549
Wal-Mart Stores	1.4		485,710		27,005
Other Securities	2.5				50,262

					254,758


Energy — 4.2%
Exxon Mobil	0.5		151,900		10,174
Schlumberger (A)	0.9		273,011		17,325
Other Securities	2.8				56,818

					84,317


Financials — 5.1%
American Express	0.7		344,012		14,194
CME Group	0.7		42,585		13,462
Other Securities	3.7				73,704

					101,360


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 16.2%
Abbott Laboratories	0.8	%	300,070	$	15,808
Allergan	1.4		435,067		28,419
Amgen*	0.7		246,039		14,703
Baxter International	0.9		293,601		17,088
Gilead Sciences*	0.9		395,185		17,973
Johnson & Johnson	1.7		528,362		34,449
Medco Health Solutions*	0.8		234,882		15,164
Medtronic	0.7		285,200		12,843
St. Jude Medical* (A)	0.5		260,383		10,689
UnitedHealth Group	0.6		360,341		11,772
Other Securities	7.2				144,764

					323,672


Industrials — 7.3%
3M	0.7		155,746		13,016
Expeditors International of Washington (A)	0.5		301,700		11,139
United Technologies	1.2		336,493		24,769
Other Securities	4.9				96,907

					145,831


Information Technology — 32.7%
Adobe Systems*	0.6		346,179		12,244
Apple*	4.0		340,071		79,893
Broadcom, Cl A (A)	0.5		313,640		10,407
Cisco Systems*	2.7		2,029,772		52,835
EMC*	0.8		911,736		16,448
Google, Cl A*	2.6		92,269		52,317
Hewlett-Packard	1.3		500,660		26,610
Intel	0.9		809,615		18,022
International Business Machines	1.8		272,852		34,993
Intuit* (A)	0.6		343,400		11,792
Mastercard, Cl A (A)	0.6		49,230		12,504
Microsoft	3.4		2,343,869		68,605
Oracle	1.3		1,024,665		26,324
Qualcomm	2.1		980,159		41,157
Visa, Cl A (A)	1.3		289,797		26,380
Other Securities	8.2				164,509

					655,040


Materials — 3.4%
Freeport-McMoRan Copper & Gold, Cl B (A)	0.5		128,446		10,730
Praxair	0.6		138,796		11,520
Other Securities	2.3				46,476

					68,726


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Telecommunication Services — 1.2%
Crown Castle International*	0.8	%	422,047	$	16,135
Other Securities	0.4				8,208

					24,343


Utilities — 0.4%
Other Securities	0.4				7,271

Total Common Stock (Cost $1,465,716) ($ Thousands)					1,880,013


AFFILIATED PARTNERSHIP — 7.7%
SEI Liquidity Fund, L.P., 0.210% (B)**†	7.7		157,797,853		153,929

Total Affiliated Partnership (Cost $157,798) ($ Thousands)					153,929


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	2.1		41,431,747		41,432

Total Cash Equivalent (Cost $41,432) ($ Thousands)					41,432


U.S. TREASURY OBLIGATION (C) — 0.5%
Other Securities	0.5				9,425

Total U.S. Treasury Obligation (Cost $9,425) ($ Thousands)					9,425

Total Investments — 104.2% (Cost $1,674,371) ($ Thousands)				$	2,084,799

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	308	Jun-2010	$	16

Percentages are based on Net Assets of $2,001,069 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $154,182 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $153,929 ($ Thousands).

(C)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,880,013	$	—	$	—	$	1,880,013
Affiliated Partnership		—		153,929		—		153,929
Cash Equivalent		41,432		—		—		41,432
U.S. Treasury Obligation		—		9,425		—		9,425

Total Investments in Securities	$	1,921,445	$	163,354	$	—	$	2,084,799


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	16	$	—	$	—	$	16

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 95.6%

Consumer Discretionary — 10.7%
Amazon.com*	0.6	%	74,104	$	10,058
Comcast, Cl A	0.6		498,700		9,385
Lowe’s	0.6		454,741		11,023
Nike, Cl B (A)	0.6		145,770		10,714
Staples	0.6		459,706		10,753
Target	0.5		171,189		9,004
Time Warner	0.5		282,847		8,845
Other Securities	6.7				113,114

					182,896


Consumer Staples — 8.2%
Coca-Cola	0.6		200,076		11,004
PepsiCo	0.9		235,046		15,551
Procter & Gamble	1.6		434,202		27,472
Wal-Mart Stores	0.5		150,346		8,359
Other Securities	4.6				76,904

					139,290


Energy — 9.7%
Chevron	1.5		326,609		24,767
ConocoPhillips	0.9		305,807		15,648
Exxon Mobil	2.2		567,176		37,989
Occidental Petroleum	0.6		124,829		10,553
Other Securities	4.5				76,741

					165,698


Financials — 16.1%
Aflac	0.5		161,160		8,749
American Express	0.6		219,817		9,070
Bank of America	1.4		1,375,424		24,551
Bank of New York Mellon (A)	0.5		262,804		8,115
CME Group	0.6		33,010		10,435
Goldman Sachs Group	0.9		87,400		14,913
JPMorgan Chase	1.8		674,758		30,196
Wells Fargo	1.3		711,367		22,138
Other Securities	8.5				145,629

					273,796


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 13.2%
Allergan	0.9	%	222,420	$	14,528
Amgen*	0.6		173,963		10,396
Gilead Sciences*	0.7		248,630		11,308
Johnson & Johnson	1.2		304,122		19,829
Medco Health Solutions*	0.6		150,386		9,709
Merck	0.8		368,722		13,772
Pfizer	1.1		1,107,860		19,000
UnitedHealth Group	0.9		477,188		15,590
Other Securities	6.4				111,859

					225,991


Industrials — 8.0%
General Electric	1.4		1,341,455		24,415
United Technologies	0.7		157,207		11,572
Other Securities	5.9				101,003

					136,990


Information Technology — 20.0%
Apple*	2.1		152,943		35,931
Cisco Systems*	1.4		908,232		23,641
eBay*	0.5		312,591		8,424
EMC*	0.5		498,086		8,986
Google, Cl A*	1.5		44,421		25,187
Hewlett-Packard	1.0		318,121		16,908
Intel	0.9		653,945		14,557
International Business Machines	0.9		114,089		14,632
Mastercard, Cl A (A)	0.5		36,390		9,243
Microsoft	1.6		909,666		26,626
Oracle	0.5		351,141		9,021
Qualcomm	1.2		496,874		20,864
Texas Instruments (A)	0.5		338,100		8,273
Visa, Cl A	0.9		157,978		14,381
Other Securities	6.0				104,542

					341,216


Materials — 3.4%
Other Securities	3.4				57,983


Telecommunication Services — 3.2%
AT&T	1.3		841,446		21,743
Crown Castle International*	0.6		283,962		10,856
Verizon Communications	0.8		428,059		13,278
Other Securities	0.5				8,032

					53,909


Utilities — 3.1%
Other Securities	3.1				52,557

Total Common Stock (Cost $1,297,910) ($ Thousands)					1,630,326


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 10.2%
SEI Liquidity Fund, L.P., 0.210% (B)**†	10.2	%	178,313,760	$	173,839

Total Affiliated Partnership (Cost $178,314) ($ Thousands)					173,839


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	1.7		28,232,937		28,233

Total Cash Equivalent (Cost $28,233) ($ Thousands)					28,233


U.S. TREASURY OBLIGATIONS (C) — 0.3%
Other Securities	0.3				6,210

Total U.S. Treasury Obligations (Cost $6,210) ($ Thousands)					6,210

Total Investments — 107.8% (Cost $1,510,667) ($ Thousands)				$	1,838,608

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI	3	Jun-2010	$	3
S&P 500 Composite Index	219	Jun-2010		257
S&P Mid 400 Index E-MINI	107	Jun-2010		11

			$	271

Percentages are based on Net Assets of $1,705,505 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see Note 4).

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $173,152 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $173,839 ($ Thousands).

(C)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,630,326	$	—	$	—	$	1,630,326
Affiliated Partnership		—		173,839		—		173,839
Cash Equivalent		28,233		—		—		28,233
U.S. Treasury Obligations		—		6,210		—		6,210

Total Investments in Securities	$	1,658,559	$	180,049	$	—	$	1,838,608


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	271	$	—	$	—	$	271

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 97.9%

Consumer Discretionary — 10.0%
Amazon.com*	0.4	%	44,200	$	5,999
Comcast, Cl A	0.5		369,322		6,951
Ford Motor*(A)	0.4		438,280		5,509
Home Depot	0.5		221,396		7,162
McDonald’s	0.7		138,870		9,265
Walt Disney	0.6		250,327		8,739
Other Securities	6.9				95,307

					138,932


Consumer Staples — 11.0%
Altria Group	0.4		271,156		5,564
Coca-Cola	1.2		297,953		16,388
CVS Caremark	0.5		180,935		6,615
Kraft Foods, Cl A	0.5		226,098		6,837
PepsiCo	1.0		211,185		13,972
Philip Morris International	0.9		242,965		12,673
Procter & Gamble	1.7		375,601		23,764
Wal-Mart Stores	1.1		275,744		15,331
Other Securities	3.7				52,847

					153,991


Energy — 10.6%
Chevron	1.4		259,678		19,691
ConocoPhillips	0.7		191,943		9,822
Exxon Mobil (A)	2.9		610,844		40,914
Occidental Petroleum	0.6		104,759		8,856
Schlumberger (A)	0.7		154,525		9,806
Other Securities	4.3				59,453

					148,542


Financials — 16.1%
American Express	0.5		155,715		6,425
Bank of America	1.7		1,297,328		23,157
Berkshire Hathaway, Cl B*	1.0		171,947		13,974


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Berkshire Hathaway, Cl A*	0.2	%	28	$	3,410
Citigroup*(A)	0.7		2,537,185		10,276
Goldman Sachs Group	0.8		67,956		11,595
JPMorgan Chase	1.6		513,757		22,991
US Bancorp	0.5		249,006		6,444
Wells Fargo	1.5		669,863		20,846
Other Securities	7.6				106,032

					225,150


Health Care — 11.9%
Abbott Laboratories	0.8		200,446		10,560
Amgen*	0.5		127,518		7,621
Bristol-Myers Squibb (A)	0.4		222,975		5,953
Johnson & Johnson	1.7		355,882		23,204
Medtronic	0.5		143,717		6,472
Merck	1.1		402,644		15,039
Pfizer	1.3		1,043,276		17,892
Other Securities	5.6				79,317

					166,058


Industrials — 10.3%
3M	0.6		92,682		7,745
Boeing (A)	0.5		98,532		7,154
General Electric	1.8		1,379,874		25,114
United Parcel Service, Cl B	0.6		128,111		8,251
United Technologies	0.6		120,832		8,894
Other Securities	6.2				86,063

					143,221


Information Technology — 18.5%
Apple*	2.0		117,331		27,564
Cisco Systems*	1.4		740,304		19,270
Google, Cl A*	1.3		31,191		17,686
Hewlett-Packard	1.2		304,265		16,172
Intel	1.1		713,915		15,892
International Business Machines	1.5		167,937		21,538
Microsoft	2.1		986,993		28,889
Oracle	0.9		504,988		12,973
Qualcomm	0.7		216,932		9,109
Other Securities	6.3				89,561

					258,654


Materials — 3.4%
Other Securities	3.4				47,518


Telecommunication Services — 2.7%
AT&T	1.4		763,040		19,717


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Verizon Communications	0.8	%	366,298	$	11,363
Other Securities	0.5				7,245

					38,325


Utilities — 3.4%
Other Securities	3.4				46,794

Total Common Stock (Cost $757,614) ($ Thousands)					1,367,185


AFFILIATED PARTNERSHIP — 15.5%
SEI Liquidity Fund, L.P., 0.210% (B)**†	15.5		220,012,375		216,555

Total Affiliated Partnership (Cost $220,012) ($ Thousands)					216,555


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	2.5		34,230,982		34,231

Total Cash Equivalent (Cost $34,231) ($ Thousands)					34,231


U.S. TREASURY OBLIGATIONS (C) — 0.2%
Other Securities	0.2				3,044

Total U.S. Treasury Obligations (Cost $3,044) ($ Thousands)					3,044

Total Investments — 116.1% (Cost $1,014,901) ($ Thousands)				$	1,621,015

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI	668	Jun-2010	$	640

Percentages are based on Net Assets of $1,396,111 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $213,600 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $216,555 ($ Thousands).

(C)

Security, or portion thereof, is pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,367,185	$	—	$	—	$	1,367,185
Affiliated Partnership		—		216,555		—		216,555
Cash Equivalent		34,231		—		—		34,231
U.S. Treasury Obligations		—		3,044		—		3,044

Total Investments in Securities	$	1,401,416	$	219,599	$	—	$	1,621,015


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	640	$	—	$	—	$	640

Futures contracts are valued at unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 81.9%

Consumer Discretionary — 13.4%
Brown Shoe	0.3	%	46,300	$	717
Cato, Cl A	0.3		39,394		845
HSN*	0.3		29,455		867
Iconix Brand Group*	0.3		59,875		920
Kirkland’s*	0.3		46,302		972
Lululemon Athletica*	0.3		23,294		967
MDC Partners, Cl A	0.3		75,600		782
Ryland Group	0.3		32,400		727
Tempur-Pedic International*	0.3		32,695		986
Tenneco*	0.3		41,743		987
Tupperware Brands	0.3		14,985		723
Other Securities	10.1				29,124

					38,617


Consumer Staples — 3.6%
Medifast*	0.3		28,633		719
Ruddick	0.2		23,350		739
Other Securities	3.1				8,951

					10,409


Energy — 5.0%
PetroHawk Energy*	0.2		35,100		712
World Fuel Services	0.3		27,000		719
Other Securities	4.5				12,989

					14,420


Financials — 13.2%
First Financial Bancorp	0.3		54,140		963
MGIC Investment*	0.3		63,890		701
Radian Group	0.3		53,963		844
Susquehanna Bancshares	0.3		85,540		839
World Acceptance*	0.4		28,391		1,024
Other Securities	11.6				33,485

					37,856


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 10.8%
Acorda Therapeutics*	0.3	%	21,000	$	718
Chemed	0.3		14,908		811
ICU Medical*	0.3		23,500		810
PDL BioPharma	0.3		135,211		840
Questcor Pharmaceuticals*	0.2		85,625		705
STERIS	0.3		26,448		890
Other Securities	9.1				26,338

					31,112


Industrials — 10.9%
Airtran Holdings*	0.3		175,800		893
Atlas Air Worldwide Holdings*	0.3		17,385		922
UAL*	0.3		42,609		833
Other Securities	10.0				28,785

					31,433


Information Technology — 17.7%
Applied Micro Circuits*	0.2		79,200		683
Arris Group*	0.3		72,900		875
Benchmark Electronics*	0.3		36,788		763
Digital River*	0.3		23,365		708
JDA Software Group*	0.4		41,859		1,164
Mantech International, Cl A*	0.3		14,800		723
MicroStrategy, Cl A*	0.3		9,919		844
Netgear*	0.3		34,144		891
Parametric Technology*	0.3		41,700		753
Quest Software*	0.3		45,138		803
Teradyne*	0.3		65,985		737
TIBCO Software*	0.2		62,900		679
Unisys*	0.3		23,750		829
Valueclick*	0.3		77,422		785
Veeco Instruments*	0.3		21,247		924
Other Securities	13.3				38,754

					50,915


Materials — 4.7%
Carpenter Technology	0.3		25,490		933
NewMarket	0.4		12,672		1,305
WR Grace*	0.4		40,428		1,122
Other Securities	3.6				10,080

					13,440


Telecommunication Services — 0.7%
Other Securities	0.7				1,999


Utilities — 1.9%
Other Securities	1.9				5,398

Total Common Stock (Cost $206,811) ($ Thousands)					235,599


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ in Thousands)		Market Value ($ Thousands)


PREFERRED STOCK — 0.4%
Grubb & Ellis Cumulative*	0.3	%		5,800	$	853
Other Securities	0.1					208

Total Preferred Stock (Cost $764) ($ Thousands)						1,061


EXCHANGE TRADED FUND — 0.3%
iShares Russell 2000 Value Index Fund	0.3			11,600		741

Total Exchange Traded Fund (Cost $740) ($ Thousands)						741


WARRANTS — 0.0%
Other Securities	0.0					—

Total Warrants (Cost $1) ($ Thousands)						—


CONVERTIBLE BOND — 0.0%

Energy — 0.0%
Other Securities	0.0					141

Total Convertible Bond (Cost $164) ($ Thousands)						141


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Other Securities	0.0					47

Total Corporate Obligation (Cost $46) ($ Thousands)						47


CASH EQUIVALENT — 4.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	4.4			12,602,483		12,602

Total Cash Equivalent (Cost $12,602) ($ Thousands)						12,602


U.S. TREASURY OBLIGATION (A) (B) — 0.3%
U.S. Treasury Bills, 0.135%, 06/03/2010	0.3		$	942		942

Total U.S. Treasury Obligation (Cost $942) ($ Thousands)						942

Total Investments — 87.3% (Cost $222,070) ($ Thousands)					$	251,133

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI	686	Jun-2010	$	(296	)

Percentages are based on Net Assets of $287,704 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Invested in Affiliated Security (see Note 5).

(A)

The rate reported is the effective yield at the time of purchase.

(B)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	235,485	$	68	$	46	$	235,599
Preferred Stock		—		208		853		1,061
Exchange Traded Fund		741		—		—		741
Warrants		—		—		—		—
Convertible Bond		—		141		—		141
Corporate Obligation		—		—		47		47
Cash Equivalent		12,602		—		—		12,602
U.S. Treasury Obligation		—		942		—		942

Total Investments in Securities	$	248,828	$	1,359	$	946	$	251,133


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(296	)	$	—	$	—	$	(296	)

Futures contracts are valued at unrealized depreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Common Stock			Preferred Stock		Corporate Obligation
Beginning balance as of October 1, 2009	$	—		$	—	$	—
Accrued discounts/premiums		—			—		1
Realized gain/(loss)		—			—		—
Change in unrealized appreciation/(depreciation)		(15	)		273		1
Net purchases/sales		61			580		45
Net transfer in and/or out of Level 3		—			—		—

Ending balance as of March 31, 2010	$	46		$	853	$	47

Changes in unrealized gains (losses) included earnings related to securities still held at reporting date	$	—		$	—	$	—

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 93.7%‡

Consumer Discretionary — 9.0%
Jack in the Box*	0.4	%	95,070	$	2,239
MDC Partners, Cl A	0.4		250,870		2,596
Rent-A-Center*	0.6		136,800		3,235
Other Securities	7.6				46,736

					54,806


Consumer Staples — 4.3%
Universal (A)	0.6		65,300		3,441
Other Securities	3.7				22,368

					25,809


Energy — 4.8%
Berry Petroleum, Cl A (A)	0.4		92,672		2,610
Comstock Resources*	0.4		69,700		2,216
Holly (A)	0.4		82,400		2,300
Other Securities	3.6				21,767

					28,893


Financials — 31.7%
AMB Property† (A)	0.6		141,000		3,841
Douglas Emmett† (A)	0.4		159,700		2,455
Employers Holdings	0.5		209,615		3,113
First Financial Bancorp	0.5		158,902		2,827
Forest City Enterprises, Cl A* (A)	0.4		157,079		2,263
Host Hotels & Resorts† (A)	0.5		208,010		3,047
Infinity Property & Casualty (A)	0.4		55,473		2,521
Kimco Realty† (A)	0.6		232,100		3,630
Platinum Underwriters Holdings (A)	0.6		97,479		3,615
ProAssurance* (A)	0.4		39,555		2,316
Public Storage† (A)	0.5		29,900		2,751
Regency Centers† (A)	0.6		92,600		3,470
Simon Property Group† (A)	0.4		25,618		2,149
Vornado Realty Trust† (A)	0.6		49,297		3,732


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Other Securities	24.7	%		$	150,906

					192,636


Health Care — 4.4%
Conmed*	0.4		92,741		2,208
Other Securities	4.0				24,406

					26,614


Industrials — 16.1%
BE Aerospace*	0.4		70,447		2,145
EMCOR Group*	0.5		133,000		3,276
FTI Consulting* (A)	0.4		60,500		2,379
Granite Construction	0.5		100,300		3,031
IDEX	0.4		77,673		2,571
School Specialty* (A)	0.5		145,892		3,313
Teledyne Technologies*	0.6		87,689		3,619
Towers Watson, Cl A (A)	0.8		103,115		4,898
Triumph Group	0.4		31,189		2,186
Woodward Governor (A)	0.4		70,300		2,248
Other Securities	11.2				68,052

					97,718


Information Technology — 13.0%
Benchmark Electronics* (A)	0.4		130,000		2,696
CACI International, Cl A*	0.5		63,241		3,089
Diebold (A)	0.4		72,160		2,292
Digital River*	0.4		89,746		2,719
Lawson Software*	0.6		575,427		3,804
Manhattan Associates*	0.4		89,400		2,278
Zoran*	0.5		247,802		2,666
Other Securities	9.8				59,672

					79,216


Materials — 4.5%
H.B. Fuller	0.4		93,200		2,163
OM Group* (A)	0.4		63,555		2,153
Schweitzer-Mauduit International	0.4		54,911		2,612
Other Securities	3.3				20,575

					27,503


Telecommunication Services — 0.3%
Other Securities	0.3				1,558


Utilities — 5.6%
AGL Resources	0.4		59,681		2,307
El Paso Electric*	0.5		146,600		3,020
Great Plains Energy (A)	0.6		188,761		3,505
Idacorp	0.4		73,265		2,536
NorthWestern	0.4		89,000		2,386
Portland General Electric	0.9		284,064		5,485


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Other Securities	2.4	%			$	14,997

						34,236

Total Common Stock (Cost $490,420) ($ Thousands)						568,989


EXCHANGE TRADED FUNDS — 0.6%
iShares Russell 2000 Value Index Fund	0.4			38,400		2,451
Other Securities	0.2					903

Total Exchange Traded Funds (Cost $3,301) ($ Thousands)						3,354


WARRANTS — 0.0%
Other Securities	0.0					5

Total Warrants (Cost $—) ($ Thousands)						5


AFFILIATED PARTNERSHIP — 21.8%
SEI Liquidity Fund, L.P., 0.210% (B)**††	21.8			136,752,874		132,606

Total Affiliated Partnership (Cost $136,753) ($ Thousands)						132,606


CASH EQUIVALENT — 6.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	6.1			37,323,543		37,324

Total Cash Equivalent (Cost $37,324) ($ Thousands)						37,324


U.S. TREASURY OBLIGATION (C) (D) — 0.4%
U.S. Treasury Bill, 0.119%, 06/03/2010	0.4		$	2,387		2,386

Total U.S. Treasury Obligation (Cost $2,386) ($ Thousands)						2,386

Total Investments — 122.6% (Cost $670,184) ($ Thousands)					$	744,664

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI	357	Jun-2010	$	(8	)

Percentages are based on Net Assets of $607,328 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

‡

Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $132,009 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $132,606 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	568,521	$	—	$	468	$	568,989
Exchange Traded Funds		3,354		—		—		3,354
Warrants		5		—		—		5
Affiliated Partnership		—		132,606		—		132,606
Cash Equivalent		37,324		—		—		37,324
U.S. Treasury Obligation		—		2,386		—		2,386

Total Investments in Securities	$	609,204	$	134,992	$	468	$	744,664


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(8	)	$	—	$	—	$	(8	)

Futures contracts are value at unrealized depreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Common Stock
Beginning balance as of October 1, 2009	$	445
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		23
Net purchases/sales		—
Net transfer in and/or out of Level 3		—

Ending balance as of March 31, 2010	$	468

Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	23

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 96.7%‡

Consumer Discretionary — 18.0%
American Public Education*	0.6	%	57,918	$	2,699
Capella Education* (A)	0.4		17,507		1,625
Finish Line, Cl A	0.5		123,793		2,020
J Crew Group*	0.5		43,484		1,996
Life Time Fitness* (A)	0.8		125,550		3,528
Live Nation*	0.4		114,300		1,657
Lululemon Athletica* (A)	0.6		65,940		2,736
Tempur-Pedic International* (A)	0.5		72,845		2,197
Tupperware Brands	0.6		54,727		2,639
Other Securities	13.1				56,571

					77,668


Consumer Staples — 3.0%
Other Securities	3.0				13,044


Energy — 4.8%
Comstock Resources*	0.4		57,793		1,838
PetroHawk Energy*	0.6		120,083		2,435
SandRidge Energy*	0.5		293,087		2,257
World Fuel Services (A)	0.5		80,312		2,140
Other Securities	2.8				11,934

					20,604


Financials — 4.7%
Affiliated Managers Group* (A)	0.4		22,963		1,814
CapitalSource	0.4		284,484		1,590
MarketAxess Holdings	0.4		108,173		1,702
MGIC Investment*	0.5		218,327		2,395
Other Securities	3.0				12,724

					20,225


Health Care — 18.8%
Abaxis*	0.4		67,856		1,845
Acorda Therapeutics*	0.6		68,777		2,352


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

AMAG Pharmaceuticals*	0.6	%	75,252	$	2,627
Amedisys*	0.4		28,367		1,566
Healthsouth* (A)	0.5		109,380		2,045
Human Genome Sciences*	0.5		68,716		2,075
NuVasive* (A)	0.5		51,985		2,350
PDL BioPharma (A)	0.5		372,789		2,315
STERIS	0.4		56,920		1,916
Other Securities	14.4				61,594

					80,685


Industrials — 15.6%
Aegean Marine Petroleum Network	0.5		80,705		2,290
AerCap Holdings*	0.5		177,694		2,047
CoStar Group* (A)	0.5		51,644		2,144
EnerNOC*	0.4		57,571		1,709
Innerworkings* (A)	0.4		328,148		1,706
Old Dominion Freight Line*	0.4		47,505		1,586
Other Securities	12.8				55,705

					67,187


Information Technology — 27.2%
Advanced Energy Industries*	0.7		186,605		3,090
Art Technology Group*	0.6		569,948		2,513
Atheros Communications*	0.7		82,190		3,182
Blackboard*	0.4		40,421		1,684
DTS*	0.5		64,233		2,186
MicroStrategy, Cl A*	0.5		24,831		2,112
Net 1 UEPS Technologies*	0.5		108,742		2,000
Power Integrations (A)	0.5		48,154		1,984
Quality Systems (A)	0.4		26,205		1,610
Solera Holdings	0.4		41,065		1,587
Taleo, Cl A*	0.4		68,530		1,776
Teradyne*	0.5		181,238		2,024
Veeco Instruments* (A)	0.5		49,871		2,169
VistaPrint*	0.5		39,542		2,264
Volterra Semiconductor*	0.4		62,961		1,580
Other Securities	19.7				85,343

					117,104


Materials — 2.6%
WR Grace*	0.4		58,731		1,630
Other Securities	2.3				9,494

					11,124


Telecommunication Services — 1.4%
SBA Communications, Cl A* (A)	0.5		64,789		2,337
Other Securities	0.9				3,673

					6,010


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)


Utilities — 0.6%
Other Securities	0.6	%		$	2,464

Total Common Stock (Cost $333,867) ($ Thousands)					416,115


WARRANTS — 0.0%
Other Securities	0.0				2

Total Warrants (Cost $—) ($ Thousands)					2


AFFILIATED PARTNERSHIP — 13.5%
SEI Liquidity Fund, L.P., 0.210% (B)**†	13.5		60,996,621		58,038

Total Affiliated Partnership (Cost $60,997) ($ Thousands)					58,038


CASH EQUIVALENT — 7.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	7.8		33,674,766		33,675

Total Cash Equivalent (Cost $33,675) ($ Thousands)					33,675


U.S. TREASURY OBLIGATION (C) (D) — 0.5%
U.S. Treasury Bills, 0.112%, 06/03/2010	0.5		$2,160		2,159

Total U.S. Treasury Obligation (Cost $2,159) ($ Thousands)					2,159

Total Investments — 118.5% (Cost $430,698) ($ Thousands)				$	509,989

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI	207	Jun-2010	$	(77	)

Percentages are based on Net Assets of $430,316 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

‡

Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $51,325 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $58,038 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	415,587	$	108	$	420	$	416,115
Warrants		—		2		—		2
Affiliated Partnership		—		58,038		—		58,038
Cash Equivalent		33,675		—		—		33,675
U.S. Treasury Obligation		—		2,159		—		2,159

Total Investments in Securities	$	449,262	$	60,307	$	420	$	509,989


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(77	)	$	—	$	—	$	(77	)

Futures contracts are valued at unrealized depreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Common Stock
Beginning balance as of October 1, 2009	$	571
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(139	)
Net purchases/sales		—
Net transfer in and/or out of Level 3		(12	)

Ending balance as of March 31, 2010	$	420

Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	(139	)

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 95.1%

Consumer Discretionary — 17.4%
American Eagle Outfitters	0.4	%	60,363	$	1,118
Cracker Barrel Old Country Store	0.3		19,258		893
Dick’s Sporting Goods*	0.3		35,380		924
DreamWorks Animation SKG, Cl A*	0.4		27,350		1,077
Hanesbrands*	0.4		44,740		1,245
Jarden	0.3		29,000		965
Live Nation*	0.4		80,103		1,161
National CineMedia	0.3		51,363		887
PetSmart	0.4		32,570		1,041
Phillips-Van Heusen	0.3		15,880		911
Polaris Industries	0.3		20,535		1,051
Scientific Games, Cl A*	0.5		96,490		1,359
Williams-Sonoma	0.3		35,090		923
WMS Industries*	0.4		29,636		1,243
Wyndham Worldwide	0.3		33,410		860
Other Securities	12.1				35,951

					51,609


Consumer Staples — 4.1%
Green Mountain Coffee Roasters*	0.3		8,820		854
Herbalife	0.3		21,480		991
Other Securities	3.5				10,401

					12,246


Energy — 4.1%
Overseas Shipholding Group	0.3		21,540		845
Other Securities	3.8				11,390

					12,235


Financials — 14.6%
ProAssurance*	0.3		16,694		977
Unum Group	0.4		41,668		1,032
Zions Bancorporation	0.4		45,316		989


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Other Securities	13.5	%		$	40,245

					43,243


Health Care — 12.1%
Coventry Health Care*	0.3		39,700		981
ev3*	0.3		55,300		877
Health Net*	0.4		45,715		1,137
Onyx Pharmaceuticals*	0.3		30,500		924
Parexel International*	0.3		36,450		850
SXC Health Solutions*	0.4		15,940		1,073
Other Securities	10.1				30,028

					35,870


Industrials — 14.0%
BE Aerospace*	0.5		48,707		1,483
Continental Airlines, Cl B*	0.5		63,045		1,385
Gardner Denver	0.4		23,929		1,054
JB Hunt Transport Services	0.4		27,570		989
SYKES Enterprises*	0.7		90,497		2,067
Triumph Group	0.3		12,317		863
Other Securities	11.2				33,466

					41,307


Information Technology — 17.8%
Alliance Data Systems*	0.3		15,000		960
Equinix*	0.5		14,380		1,400
Gartner*	0.4		49,740		1,106
GSI Commerce*	0.6		68,220		1,888
Lawson Software*	0.3		134,411		888
Lexmark International, Cl A*	0.4		35,150		1,268
Microsemi*	0.3		58,572		1,016
PMC - Sierra*	0.4		114,800		1,024
TiVo*	0.5		79,170		1,355
VistaPrint*	0.5		27,109		1,552
Other Securities	13.6				40,335

					52,792


Materials — 5.0%
Silgan Holdings	0.4		18,495		1,114
Other Securities	4.6				13,759

					14,873


Telecommunication Services — 1.8%
NII Holdings*	0.5		36,200		1,508
SBA Communications, Cl A*	0.6		47,710		1,721
Other Securities	0.7				2,114

					5,343


Utilities — 4.2%
AGL Resources	0.5		34,098		1,318
Great Plains Energy	0.4		56,292		1,045
NorthWestern	0.3		32,525		872


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)
Portland General Electric	0.4	%	53,681	$	1,037
Other Securities	2.6				7,986

					12,258

Total Common Stock (Cost $222,992) ($ Thousands)					281,776


EXCHANGE TRADED FUND — 0.1%
Other Securities	0.1				172

Total Exchange Traded Fund (Cost $150) ($ Thousands)					172


CLOSED-END FUND — 0.0%
Other Securities	0.0				13

Total Closed-End Fund (Cost $9) ($ Thousands)					13


CASH EQUIVALENT — 4.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	4.9		14,667,326		14,667

Total Cash Equivalent (Cost $14,667) ($ Thousands)					14,667


U.S. TREASURY OBLIGATION (B) — 0.2%
Other Securities	0.2				623

Total U.S. Treasury Obligation (Cost $623) ($ Thousands)					623


AFFILIATED PARTNERSHIP — 0.2%
SEI Liquidity Fund, L.P., 0.210% (A)**†	0.2		649,899		480

Total Affiliated Partnership (Cost $650) ($ Thousands)					480

Total Investments — 100.5% (Cost $239,091) ($ Thousands)				$	297,731

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI	76	Jun-2010	$	24
S&P Mid 400 Index E-MINI	50	Jun-2010		57

			$	81

Percentages are based on Net Assets of $296,136 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $480 ($ Thousands).

(B)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands).


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	281,776	$	—	$	—	$	281,776
Exchange Traded Fund		172		—		—		172
Closed-End Fund		13		—		—		13
Cash Equivalent		14,667		—		—		14,667
U.S. Treasury Obligation		—		623		—		623
Affiliated Partnership		—		480		—		480

Total Investments in Securities	$	296,628	$	1,103	$	—	$	297,731


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	81	$	—	$	—	$	81

Futures contracts are valued at unrealized appreciation on the instrument.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 75.3%

Consumer Discretionary — 13.7%
Dollar Tree*	0.6	%	18,400	$	1,090
Macy’s	0.6		48,300		1,051
Mattel	0.5		42,000		955
Ross Stores (A)	0.6		21,900		1,171
TJX	1.0		41,400		1,760
Wyndham Worldwide	0.5		31,000		798
Other Securities	9.9				17,718

					24,543


Consumer Staples — 5.2%
ConAgra Foods	0.5		34,900		875
Constellation Brands, Cl A*	0.4		43,500		715
Del Monte Foods	0.6		75,200		1,098
Sara Lee	0.4		55,300		770
Other Securities	3.3				5,806

					9,264


Energy — 4.2%
Cimarex Energy	0.5		15,400		915
El Paso	0.6		104,100		1,128
Murphy Oil	0.6		20,300		1,141
Spectra Energy	0.5		35,700		804
Other Securities	2.0				3,413

					7,401


Financials — 12.6%
American Financial Group	0.4		25,200		717
Annaly Capital Management†	0.6		65,500		1,125
Hospitality Properties Trust†	0.4		31,600		757
RenaissanceRe Holdings	0.4		14,100		800
SL Green Realty† (A)	0.4		12,400		710
Other Securities	10.4				18,372

					22,481


Health Care — 7.2%
AmerisourceBergen	0.4		26,800		775
Hospira*	0.6		18,200		1,031


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Humana*	0.4	%	15,200	$	711
Intuitive Surgical*	0.4		2,200		766
Kinetic Concepts*	0.5		19,700		942
Universal Health Services, Cl B	0.5		23,600		828
Other Securities	4.4				7,857

					12,910


Industrials — 9.3%
Hubbell, Cl B	0.4		14,500		731
ITT	0.5		17,900		960
Joy Global	0.5		16,400		928
L-3 Communications Holdings	0.6		12,400		1,136
Oshkosh Truck	0.6		26,800		1,081
Timken	0.4		24,200		726
Other Securities	6.3				11,017

					16,579


Information Technology — 12.7%
Arrow Electronics*	0.4		25,200		759
Avnet*	0.6		33,500		1,005
CA	0.5		34,600		812
Computer Sciences*	0.5		15,600		850
DST Systems (A)	0.4		17,500		725
Harris	0.5		17,600		836
Jabil Circuit	0.6		63,100		1,022
Marvell Technology Group*	0.4		35,900		732
Micron Technology* (A)	0.5		87,000		904
Seagate Technology	0.6		57,800		1,055
Western Digital*	0.7		33,900		1,322
Other Securities	7.0				12,586

					22,608


Materials — 4.6%
Ashland	0.6		19,300		1,019
Celanese, Ser A	0.4		25,500		812
Lubrizol	0.6		12,200		1,119
Other Securities	3.0				5,332

					8,282


Telecommunication Services — 0.5%
Other Securities	0.5				864


Utilities — 5.3%
AES*	0.4		65,000		715
Constellation Energy Group	0.6		29,600		1,039
DTE Energy	0.4		17,800		794
Energen	0.4		15,700		731
Other Securities	3.5				6,242

					9,521

Total Common Stock (Cost $109,525) ($ Thousands)					134,453


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)


CASH EQUIVALENT — 22.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††	22.9	%	40,839,175	$	40,839

Total Cash Equivalent (Cost $40,839) ($ Thousands)					40,839


AFFILIATED PARTNERSHIP — 3.1%
SEI Liquidity Fund, L.P., 0.210% (B)**††	3.1		5,856,421		5,548

Total Affiliated Partnership (Cost $5,857) ($ Thousands)					5,548


U.S. TREASURY OBLIGATION (C) (D) — 2.1%
U.S. Treasury Bills, 0.121%, 06/03/2010	2.1		$3,854		3,853

Total U.S. Treasury Obligation (Cost $3,853) ($ Thousands)					3,853

Total Investments — 103.4% (Cost $160,074) ($ Thousands)				$	184,693

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P Mid 400 Index E-MINI	560	Jun-2010	$	(28	)

For the year ended March 31, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $178,618 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $5,657 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $5,548 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

Ser — Series

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	134,453	$	—	$	—	$	134,453
Cash Equivalent		40,839		—		—		40,839
Affiliated Partnership		—		5,548		—		5,548
U.S. Treasury Obligation		—		3,853		—		3,853

Total Investments in Securities	$	175,292	$	9,401	$	—	$	184,693


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(28	)	$	—	$	—	$	(28	)

Futures contracts are valued at unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 95.4%

Consumer Discretionary — 8.1%
Amazon.com*	1.2	%	33,471	$	4,543
Strayer Education	0.7		10,371		2,526
Other Securities	6.2				24,156

					31,225


Consumer Staples — 15.1%
Altria Group	1.0		196,175		4,025
Brown-Forman, Cl B	1.2		73,714		4,382
Campbell Soup	0.7		73,907		2,613
Hershey	0.8		76,186		3,261
Hormel Foods	1.6		147,215		6,184
Kimberly-Clark	0.7		44,866		2,821
Lorillard	1.2		60,366		4,542
Philip Morris International	1.2		87,091		4,543
Reynolds American	1.2		83,320		4,498
SYSCO	1.2		152,839		4,509
Other Securities	4.3				16,544

					57,922


Energy — 3.6%
Chevron	0.5		26,900		2,040
Other Securities	3.1				11,916

					13,956


Financials — 13.6%
Bank of Hawaii	1.1		95,373		4,287
Capitol Federal Financial	0.6		57,298		2,147
Commerce Bancshares	1.4		133,173		5,479
Cullen/Frost Bankers	1.0		66,031		3,684
First Citizens BancShares, Cl A	0.6		11,436		2,273
People’s United Financial	0.8		194,780		3,046
TFS Financial	0.8		238,535		3,185
Other Securities	7.3				28,024

					52,125


Health Care — 22.5%
Abbott Laboratories	1.4		102,280		5,388


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

AmerisourceBergen	1.6	%	218,226	$	6,311
Amgen*	1.2		76,076		4,546
Baxter International	0.8		55,195		3,212
Becton Dickinson	1.2		57,460		4,524
Biogen Idec*	1.2		78,674		4,513
C.R. Bard	1.1		49,614		4,298
Cardinal Health	1.2		125,211		4,511
Forest Laboratories*	1.0		123,040		3,859
Genzyme*	1.3		95,329		4,941
Gilead Sciences*	1.1		91,190		4,147
Johnson & Johnson	1.2		69,099		4,505
McKesson	1.7		98,316		6,461
Millipore*	0.8		29,987		3,167
Techne	1.0		63,609		4,051
Other Securities	4.7				17,849

					86,283


Industrials — 3.9%
Other Securities	3.9				14,875


Information Technology — 11.2%
Analog Devices	0.9		114,926		3,312
Google, Cl A*	1.1		7,534		4,272
Intel	1.2		204,628		4,555
International Business Machines	1.2		35,604		4,566
Tech Data*	1.0		94,708		3,968
Texas Instruments	1.1		169,858		4,157
Other Securities	4.7				18,072

					42,902


Materials — 3.2%
Newmont Mining	0.9		69,372		3,533
Other Securities	2.3				8,700

					12,233


Telecommunication Services — 2.5%
AT&T	0.5		79,900		2,065
Other Securities	2.0				7,593

					9,658


Utilities — 11.7%
AGL Resources	0.8		82,355		3,183
Atmos Energy	0.9		125,435		3,584
Nicor	1.1		96,596		4,049
NSTAR	0.9		98,046		3,473
UGI	0.7		92,584		2,457
Vectren	0.7		105,405		2,606
Wisconsin Energy	1.2		94,324		4,661
Other Securities	5.4				20,696

					44,709

Total Common Stock (Cost $306,425) ($ Thousands)					365,888

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 94.2%

Australia — 5.1%
Origin Energy	0.6	%	101,311	$	1,539
TABCORP Holdings	0.7		292,471		1,852
Tatts Group	0.6		719,343		1,624
Wesfarmers	1.3		112,832		3,298
Other Securities	1.9				5,012

					13,325


Belgium — 2.1%
Colruyt	1.1		11,515		2,840
Mobistar	0.5		21,195		1,307
Other Securities	0.5				1,369

					5,516


Canada — 11.8%
Alimentation Couche Tard, Cl B	1.2		177,900		3,246
BCE	1.2		103,400		3,039
CGI Group, Cl A*	0.8		138,500		2,075
Empire, Cl A	0.7		36,200		1,880
Enbridge	1.0		52,200		2,492
Goldcorp	0.7		50,700		1,897
Metro, Cl A	0.7		46,200		1,917
Saputo	1.1		100,700		2,936
Other Securities	4.4				11,097

					30,579


Cayman Islands — 0.0%
Other Securities	0.0				105


Denmark — 1.7%
Coloplast, Cl B	0.8		18,992		2,095
Novo Nordisk, Cl B	0.9		29,483		2,292

					4,387


Finland — 0.9%
Other Securities	0.9				2,196


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


France — 1.9%
France Telecom	0.6	%	69,456	$	1,665
Societe BIC	0.7		23,393		1,794
Other Securities	0.6				1,510

					4,969


Germany — 1.7%
Other Securities	1.7				4,309


Greece — 0.1%
Other Securities	0.1				222


Hong Kong — 2.7%
CLP Holdings	1.3		470,500		3,363
HongKong Electric Holdings	0.9		399,500		2,369
Other Securities	0.5				1,298

					7,030


Ireland — 0.4%
Other Securities	0.4				1,128


Italy — 2.2%
Snam Rete Gas	1.4		677,461		3,440
Other Securities	0.8				2,247

					5,687


Japan — 21.1%
Asahi Breweries	1.0		133,700		2,508
Benesse	0.6		36,200		1,569
Chubu Electric Power	0.9		94,700		2,368
Fuji Electric Holdings	0.8		789,000		2,153
Kansai Electric Power	0.9		105,100		2,409
Kyushu Electric Power	0.6		70,600		1,538
Lawson	0.8		47,400		2,024
Nippon Telegraph & Telephone	0.5		28,100		1,185
NTT DoCoMo	1.4		2,415		3,680
Sankyo	0.6		31,200		1,544
Yamato Holdings	0.6		117,100		1,647
Other Securities	12.4				32,111

					54,736


Luxembourg — 0.2%
Other Securities	0.2				423


Netherlands — 1.0%
Other Securities	1.0				2,689


New Zealand — 0.0%
Other Securities	0.0				108


Singapore — 0.1%
Other Securities	0.1				130


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Spain — 0.4%
Other Securities	0.4	%		$	1,037


Sweden — 1.2%
Electrolux	1.0		107,721		2,469
Other Securities	0.2				645

					3,114


Switzerland — 1.5%
Other Securities	1.5				3,747


United Kingdom — 6.4%
AstraZeneca	1.5		90,347		4,028
BP	1.6		444,355		4,202
Reckitt Benckiser Group	1.3		59,547		3,267
Other Securities	2.0				5,133

					16,630


United States — 31.7%
Abbott Laboratories	1.0		49,000		2,581
Amgen*	0.7		30,289		1,810
Annaly Capital Management†	1.1		171,800		2,952
C.R. Bard	1.0		30,700		2,659
Campbell Soup	0.9		67,969		2,403
Clorox	1.0		40,200		2,579
Constellation Energy Group	0.8		56,400		1,980
Family Dollar Stores	1.1		80,949		2,963
General Mills	1.3		45,900		3,249
Hormel Foods	1.0		64,281		2,701
Kimberly-Clark	0.6		25,626		1,611
Lorillard	0.7		25,640		1,929
Magellan Health Services*	0.6		34,700		1,509
Raytheon	1.1		50,800		2,902
TJX	1.0		61,000		2,594
Wal-Mart Stores	1.4		66,600		3,703
Other Securities	16.4				42,194

					82,319

Total Common Stock (Cost $223,915) ($ Thousands)					244,386


CASH EQUIVALENT — 4.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††	4.3		11,262,948		11,263

Total Cash Equivalent (Cost $11,263) ($ Thousands)					11,263


Description	Percentage of Net Assets (%)		Market Value ($ Thousands)



U.S. TREASURY OBLIGATIONS (A) — 0.4%
Other Securities	0.4	%	$	983

Total U.S. Treasury Obligations (Cost $983) ($ Thousands)				983

Total Investments — 98.9% (Cost $236,161) ($ Thousands)			$	256,632

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
DJ Euro Stoxx 50 Index	47	Jun-2010	$	13
FTSE 100 Index	15	Jun-2010		8
Hang Seng Index	1	Apr-2010		1
S&P 500 Composite Index	17	Jun-2000		68
SPI 200 Index	3	Jun-2010		1

			$	91

A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2010, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
4/28/10	AUD	12,539	USD	11,299	$	(175	)
4/28/10	CAD	33,388	USD	32,475		(441	)
4/28/10	EUR	27,674	USD	37,084		(358	)
4/28/10	GBP	11,582	USD	17,257		(307	)
4/28/10	JPY	5,751,491	USD	62,147		574
4/28/10	USD	153	AUD	167		1
4/28/10	USD	323	CAD	329		1
4/28/10	USD	539	EUR	400		2
4/28/10	USD	209	GBP	139		2
4/28/10	USD	76	JPY	7,046		(1	)

					$	(702	)

Percentages are based on Net Assets of $259,365 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security (see Note 5).

(A)

Security, or portion thereof, has been pledged as collateral on open futures.

AUD — Australia Dollar

CAD — Canadian Dollar

Cl — Class

EUR — Euro

GBP — British Pound Sterling

JPY — Japanese Yen

USD — United States Dollar

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	244,386	$	—	$	—	$	244,386
Cash Equivalent		11,263		—		—		11,263
U.S. Treasury Obligations		—		983		—		983

Total Investments in Securities	$	255,649	$	983	$	—	$	256,632


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Futures Contracts*	$	91	$	—		$	—	$	91
Forwards*		—		(702	)		—		(702	)

Total Other Financial Instruments	$	91	$	(702	)	$	—	$	(611	)

Futures contracts and Forwards are valued at unrealized appreciation (depreciation) on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 95.9%

Consumer Discretionary — 7.9%
priceline.com*	1.3	%	10,422	$	2,658
Other Securities	6.6				13,161

					15,819


Consumer Staples — 22.7%
Altria Group	1.2		115,481		2,370
Brown-Forman, Cl B	0.7		25,558		1,519
Church & Dwight	1.4		42,119		2,820
Coca-Cola	0.9		33,334		1,833
Colgate-Palmolive	1.2		28,403		2,422
General Mills	1.6		43,826		3,103
Hershey	0.7		33,694		1,442
HJ Heinz	0.6		25,538		1,165
Hormel Foods	1.2		58,497		2,458
JM Smucker	0.8		27,275		1,644
Kellogg	1.4		53,143		2,839
Kimberly-Clark	1.4		43,911		2,761
Lorillard	1.2		31,111		2,341
McCormick	0.8		41,483		1,591
PepsiCo	0.6		17,439		1,154
Philip Morris International	1.1		43,777		2,283
Procter & Gamble	0.9		28,324		1,792
Reynolds American	1.2		45,068		2,433
Wal-Mart Stores	0.9		33,220		1,847
Other Securities	2.9				5,537

					45,354


Energy — 3.7%
Other Securities	3.7				7,396


Financials — 13.1%
Capitol Federal Financial	1.3		69,452		2,602
Commerce Bancshares	1.0		47,924		1,972
People’s United Financial	1.0		133,778		2,092
TFS Financial	1.6		234,620		3,132
Wesco Financial	0.8		4,402		1,697
Other Securities	7.4				14,680

					26,175


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 15.8%
Abbott Laboratories	1.1	%	40,451	$	2,131
Allscripts Healthcare Solutions*	1.2		125,429		2,454
AmerisourceBergen	1.3		92,948		2,688
C.R. Bard	0.7		14,896		1,290
Dentsply International	0.8		47,105		1,642
Edwards Lifesciences*	0.8		15,744		1,557
Henry Schein*	1.1		36,204		2,132
Idexx Laboratories*	1.0		34,700		1,997
Johnson & Johnson	1.0		31,109		2,028
Laboratory Corp of America Holdings*	0.7		18,250		1,382
Techne	0.8		24,870		1,584
Other Securities	5.3				10,783

					31,668


Industrials — 5.5%
Dun & Bradstreet	0.7		18,905		1,407
Stericycle*	1.0		37,446		2,041
Other Securities	3.8				7,594

					11,042


Information Technology — 9.5%
Cree*	0.7		20,029		1,406
Google, Cl A*	1.3		4,572		2,592
IAC*	1.2		102,041		2,321
Tech Data*	0.7		34,512		1,446
Zebra Technologies, Cl A*	0.7		48,247		1,428
Other Securities	4.9				9,715

					18,908


Materials — 3.8%
Newmont Mining	1.2		45,183		2,301
Other Securities	2.6				5,267

					7,568


Telecommunication Services — 2.7%
Other Securities	2.7				5,361


Utilities — 11.2%
Hawaiian Electric Industries	0.7		58,670		1,317
NSTAR	1.4		78,413		2,777
OGE Energy	1.0		51,903		2,021
SCANA	0.6		33,337		1,253
Vectren	0.6		53,148		1,314
Wisconsin Energy	0.8		32,605		1,611
Other Securities	6.1				12,106

					22,399

Total Common Stock (Cost $157,664) ($ Thousands)					191,690

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Shares	Market Value ($ Thousands)


COMMON STOCK — 87.4%

Consumer Discretionary — 1.5%
Accor	20,376	$	1,129
Marriott International, Cl A (A)	63,700		2,008
Thomas Cook Group	138,405		566

			3,703


Financials — 85.2%
Alexandria Real Estate Equities† (A)	29,900		2,021
AMB Property† (A)	518,500		14,124
Apartment Investment & Management, Cl A† (A)	235,084		4,328
AvalonBay Communities† (A)	91,398		7,892
Boston Properties† (A)	153,983		11,617
Brookfield Asset Management, Cl A	151,800		3,859
Camden Property Trust†	62,800		2,614
Corporate Office Properties Trust† (A)	71,400		2,865
CreXus Investment†	55,700		745
Dexus Property Group†	730,302		543
Douglas Emmett† (A)	442,899		6,807
Duke Realty† (A)	135,000		1,674
Equity Residential† (A)	296,350		11,602
Essex Property Trust† (A)	68,150		6,130
Extra Space Storage† (A)	105,550		1,338
Federal Realty Investment Trust† (A)	65,450		4,765
Forest City Enterprises, Cl A* (A)	340,100		4,901
Hammerson (United Kingdom)†	92,038		549
HCP† (A)	229,450		7,572
Health Care† (A)	33,800		1,529
Host Hotels & Resorts† (A)	758,029		11,105
Kimco Realty†	448,400		7,013
Liberty Property Trust†	51,300		1,741
Macerich† (A)	141,083		5,405
Mack-Cali Realty†	148,850		5,247
MFA Financial†	61,900		456
Piedmont Office Realty Trust, Cl A† (A)	38,200		758
Plum Creek Timber†	73,700		2,868
PS Business Parks†	7,900		422
Public Storage† (A)	138,454		12,736
Regency Centers† (A)	185,900		6,966
RioCan Real Estate Investment Trust†	28,700		523
Saul Centers†	83,900		3,473
Senior Housing Properties Trust†	134,550		2,980
Simon Property Group† (A)	175,263		14,705
Sunstone Hotel Investors* † (A)	132,250		1,477


Description	Shares	Market Value ($ Thousands)

Taubman Centers† (A)	64,800	$	2,587
Terreno Realty* †	26,300		519
UDR† (A)	198,700		3,505
Unibail (France)†	15,170		3,079
Ventas† (A)	138,400		6,571
Verde Realty PIPE* (C) (D)	21,400		475
Vornado Realty Trust† (A)	147,831		11,191
Westfield Group†	152,012		1,683

			204,960


Health Care — 0.7%
Brookdale Senior Living* (A)	76,800		1,600

Total Common Stock (Cost $149,963) ($ Thousands)			210,263


AFFILIATED PARTNERSHIP — 32.7%
SEI Liquidity Fund, L.P., 0.210% (B)**††	80,159,605		78,501

Total Affiliated Partnership (Cost $80,160) ($ Thousands)			78,501


CASH EQUIVALENT — 6.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††	14,390,213		14,390

Total Cash Equivalent (Cost $14,390) ($ Thousands)			14,390

Total Investments — 126.1% (Cost $244,513) ($ Thousands)		$	303,154

Percentages are based on Net Assets of $240,497 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total market value of securities on loan at March 31, 2010 was $77,454 ($ Thousands)

(B)

This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2010 was $78,501 ($ Thousands).

(C)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2010 was $475 ($ Thousands) and represented 0.2% of net Assets.

(D)

Security considered illiquid and restricted. The total market value of such securities as of March 31, 2010 was $475 ($ Thousands) and represented 0.2% of net Assets.

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS — 16.6%
Affinion, Term B Loan
2.746%, 10/17/12	$	544	$	541
Allison Transmission
3.010%, 08/07/14		256		244
3.000%, 08/07/14		624		593
2.980%, 08/07/14		11		10
Aramark
2.126%, 01/26/14		490		480
Aramark LOC
2.025%, 01/26/14		32		32
Asurion, 1st Lien Term Loan
3.250%, 07/03/14		96		95
3.230%, 07/03/14		310		306
3.228%, 07/03/14		266		263
BBN Acquisitions
5.750%, 09/14/15		470		475
Biomet
3.284%, 03/25/15		527		518
3.229%, 03/25/15		27		27
Booz Allen Hamilton, Tranche B
7.500%, 07/31/15		136		137
Burlington Coat Factory
2.510%, 05/28/13		390		373
2.490%, 05/28/13		403		386
Calpine Corporation
3.135%, 03/29/14		690		668
Cedar Fair
2.229%, 08/30/12		147		146
Cedar Fair, Term B Loan
4.229%, 08/30/14		638		636
Celanese Holdings
2.001%, 04/02/14		537		526
Cengage Learning Hollding
2.750%, 06/28/14		742		654
Cequel, 2nd Lien
6.251%, 05/05/14		283		284
Charter, Term B Loan
2.230%, 03/15/14		695		670
Cinemark
2.010%, 10/05/13		387		379


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

2.000%, 10/05/13	$	62	$	61
1.980%, 10/05/13		88		86
Clear Channel
3.879%, 01/29/16		466		377
Community Health Systems
2.502%, 07/25/14		674		656
Community Health Systems, Delayed Draw
2.502%, 07/25/14		23		23
Dana Corporation
6.500%, 01/31/15		42		42
4.550%, 01/31/15		10		10
4.500%, 01/31/15		285		280
4.490%, 01/31/15		73		71
4.480%, 01/31/15		44		43
Dealer Computer Services
2.251%, 10/26/12		818		796
Discovery Communications
5.250%, 05/14/14		670		675
Dynegy Holdings
3.980%, 04/02/13		815		801
Education Media, 1st Lien Term Loan
0.000%, 06/12/14 (G)		500		472
Federal Mogul
2.177%, 12/29/14		62		57
2.167%, 12/29/14		528		487
Federal Mogul, Term C Loan
2.167%, 12/28/15		295		272
2.158%, 12/28/15		6		5
Flextronics International, Term Loan A-2
2.479%, 10/01/14		331		316
Flextronics International, Term Loan A-3
2.479%, 10/01/14		386		369
Fontainebleau Miami, Term B Loan
10.000%, 06/06/12 (A)		2,500		850
Graphic Packaging International, Incremental Term Loan
3.001%, 05/16/14		61		61
3.001%, 05/16/14		281		280
2.999%, 05/16/14		156		156
Green Valley Ranch Gaming, 1st Lien
2.251%, 02/16/14		7		6
2.249%, 02/16/14		351		267
2.249%, 02/16/14		189		144
Hanesbrands, Term B Loan
5.250%, 12/10/15		251		253
Harrah’s Operation, Tranche B-2
2.249%, 01/28/15		799		689
HCA, Tranche B
2.501%, 11/18/13		564		549
Hertz LOC
1.750%, 12/21/12		85		84


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Hertz, Term B Loan
2.000%, 12/21/12	$	68	$	67
1.990%, 12/21/12		88		87
1.980%, 12/21/12		305		302
Hexion Specialty Chemical, Term Loan C-1
2.563%, 05/05/13		320		301
Hexion Specialty Chemical, Term Loan C-2
2.563%, 05/05/13		141		133
Hub International Ltd., Delayed Draw
2.751%, 06/13/14		132		123
Hub International Ltd., Initial Term Loan
2.751%, 06/13/14		586		546
Iasis Healthcare LOC
2.100%, 03/15/14		35		34
Iasis Healthcare, Delayed Draw
2.229%, 03/15/14		129		123
Iasis Healthcare, Term B Loan
2.229%, 03/15/14		372		357
IMS Health, Term B Loan
5.250%, 02/26/16		200		202
Infor Enterprise Solutions
4.000%, 07/28/12		325		313
3.980%, 07/28/12		169		163
Infor Global Enterprise Solutions
6.479%,		33		27
Infor Global Enterprise Solutions, Tranche 1
6.479%, 03/02/14		169		140
Infor Global Solutions, 2nd Lien
6.479%, 03/02/14		329		272
Integra Telecom
10.500%, 08/31/13		695		695
Intelsat Bermuda
3.228%, 02/01/14		900		835
Inverness Medical
4.502%, 06/26/15		560		549
JHT Holding, 2nd Lien
12.500%, 12/21/12 (B) (H)		38		36
Lake at Las Vegas
14.350%, 06/20/12 (A)		2,524		2
Lake at Las Vegas, DIP
9.729%, 07/16/10		2,353		588
Lake at Las Vegas, Revolving Loan
15.000%, 06/20/12 (A)		241		—
Lamar Media
5.500%, 09/30/12		345		346
Meg Energy, Term Loan
6.000%, 04/03/16		554		548
Mylan Laboratories, Term B Loan
3.562%, 10/02/14		322		322
3.500%, 10/02/14		73		73


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Nalco, Term B Loan
6.500%, 05/06/16	$	557	$	562
Nielson Finance
2.229%, 12/31/17		778		744
NRG Holdings LOC
0.151%, 02/01/13		195		191
NRG Holdings, Term B Loan
2.001%, 02/01/13		261		255
1.979%, 02/01/13		71		69
Oshkosh, Term B Loan
6.260%, 12/06/13		370		371
Pilot Travel Centers, Term Loan B-1
0.000%, 11/12/15 (G)		250		252
Reable Therapeutics, Term B Loan
3.229%, 05/20/14		499		485
Regal Cinemas
4.001%, 10/27/13		412		414
Remax International, Term Loan B-1
5.760%, 12/17/12		78		78
5.730%, 12/17/12		55		55
Remax International, Term Loan B-2
9.760%, 12/17/12		119		119
9.730%, 12/17/12		93		93
Sally Holdings, Term B Loan
2.500%, 11/16/13		500		492
Sensata Technology
1.999%, 04/27/13		536		516
Sirva Revolving Credit Loan Exit Finance
13.000%, 05/12/12		115		63
9.500%, 05/12/12		147		81
Sirva Worldwide
0.500%, 05/12/12 (C)		523		235
Solutia, 1st Lien Term Loan
4.750%, 03/02/17		170		171
Sungard Data Systems
7.650%, 05/13/14		220		222
3.874%, 02/28/16		498		493
3.864%, 02/28/16		39		39
Texas Competitive Electric Holdings, Tranche B-2
3.790%, 10/10/14		10		8
3.729%, 10/10/14		1,313		1,077
Travelport LLC, LOC
2.751%, 08/23/13		57		56
Travelport LLC, Term B Loan
2.751%, 08/23/13		115		111
2.741%, 08/23/13		149		144
2.739%, 08/23/13		238		231
Travelport LLC, Term Loan C-1
10.500%, 08/23/13		209		210
Univision Communications
2.501%, 09/29/14		396		352


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Vanguard Health
5.000%, 01/15/16	$	400	$	401
Verint Systems
3.540%, 05/25/14		664		629
VWR International, Term B Loan
2.729%, 06/30/14		613		574
Waiccs Las Vegas 3 LLC, 2nd Lien
0.000%, 07/30/10 (G)		2,000		183
Warner Chilcott, Term Loan A-1
5.500%, 10/30/14		132		132
Warner Chilcott, Term Loan B-1
5.750%, 04/30/15		61		61
Warner Chilcott, Term Loan B-2
5.750%, 04/30/15		101		101
WideOpenWest Finance, 1st Lien
2.752%, 06/30/14		147		138
2.750%, 06/30/14		145		136
2.749%, 06/30/14		148		139

Total Loan Participations (Cost $41,767) ($ Thousands)				35,548


CORPORATE OBLIGATIONS — 16.1%

Consumer Discretionary — 0.5%
President and Fellows of Harvard College
3.700%, 04/01/13		1,060		1,108


Financials — 12.9%
Bank of America
0.471%, 06/22/12 (D)		1,500		1,506
BTM Curacao Holdings MTN
4.760%, 07/21/15 (D) (E)		530		534
Citigroup
0.802%, 08/25/36 (D)		1,500		938
Citigroup Funding
0.579%, 04/30/12 (D)		375		377
0.202%, 06/03/11 (D)		375		375
General Electric Capital
1.800%, 03/11/11		2,500		2,530
0.271%, 12/21/12 (D)		5,150		5,150
GMAC
0.266%, 09/19/09 (D)		1,250		1,250
Goldman Sachs Group
1.700%, 03/15/11		3,180		3,215
ILFC E-Capital Trust I
5.900%, 12/21/65 (D) (E)		1,000		770
JPMorgan Chase Capital XXI, Ser U
1.199%, 02/02/37 (D)		1,300		989
Liberty Property L.P.
7.250%, 03/15/11‡		1,000		1,046
MBIA Insurance
14.000%, 01/15/33 (D) (E)		1,000		700


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Mellon Funding
0.400%, 05/15/14 (D)	$	900	$	885
Merrill Lynch
1.017%, 09/15/36 (D)		700		533
Monumental Global Funding III
0.451%, 01/15/14 (D) (E)		900		857
Morgan Stanley
0.530%, 02/10/12 (D)		1,150		1,157
State Street
0.349%, 04/30/12 (D)		615		614
State Street Bank and Trust
0.457%, 09/15/11 (D)		960		963
State Street Capital Trust IV
1.257%, 06/15/37 (D)		375		281
Unitrin
6.000%, 05/15/17		670		645
4.875%, 11/01/10		1,000		1,009
Western Union
5.400%, 11/17/11		1,175		1,256

				27,580


Health Care — 0.5%
UnitedHealth Group
1.549%, 02/07/11 (D)		1,000		1,006


Industrials — 0.5%
Continental Airlines, Ser 061G
0.602%, 06/02/13 (D)		600		486
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (E)		550		490

				976


Materials — 0.7%
Berry Plastics
5.001%, 02/15/15 (D)		540		516
NewPage
11.375%, 12/31/14		480		477
Verso Paper Holdings
11.500%, 07/01/14 (E)		400		432

				1,425


Telecommunication Services — 0.7%
Corning
6.050%, 06/15/15		400		402
Telecom Italia Capital
0.861%, 07/18/11 (D)		550		548
Vodafone Group PLC
0.532%, 02/27/12 (D)		650		650

				1,600


Utilities — 0.3%
Southern, Ser A
5.300%, 01/15/12		665		707

Total Corporate Obligations (Cost $35,909) ($ Thousands)				34,402


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 8.9%

Agency Mortgage-Backed Obligations — 4.3%
FHLMC
6.000%, 09/01/26	$	595	$	639
FNMA TBA
6.500%, 04/30/37		2,500		2,709
6.000%, 11/01/14 to 11/01/26		3,569		3,840
FNMA
6.500%, 09/01/26		385		418
6.000%, 01/01/27		1,565		1,673

				9,279


Non-Agency Mortgage-Backed Obligations — 4.6%
American Tower Trust, Ser 2007-1A, Cl D
5.957%, 04/15/37 (E)		625		658
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1
3.580%, 11/25/34 (D)		236		218
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2
3.950%, 04/25/35 (D)		698		559
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1
4.862%, 10/25/35 (D)		529		437
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2
0.516%, 12/25/36 (D) (E)		447		275
Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D
0.439%, 08/15/21 (D) (E)		400		302
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
3.462%, 09/25/34 (D)		158		141
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.330%, 12/15/20 (D) (E)		944		859
Crusade Global Trust, Ser 2007-1, Cl A1
0.311%, 04/19/38 (D)		798		752
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C
0.458%, 11/15/21 (D) (E)		810		358
Impac CMB Trust, Ser 2005-1, Cl 1A1
0.766%, 04/25/35 (D)		329		223
JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1
5.251%, 10/25/36 (D)		897		698
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A
3.283%, 12/25/34 (D)		340		281


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

MortgageIT Trust, Ser 2005-5, Cl A1
0.506%, 12/25/35 (D)	$	1,089	$	773
Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1
3.669%, 02/11/36		539		544
Residential Funding Mortgage Securities I, Ser 2006-SA1, Cl 1A1
5.666%, 02/25/36 (D)		486		358
Sequoia Mortgage Trust, Ser 2004-10, Cl A2
0.560%, 11/20/34 (D)		236		196
Sequoia Mortgage Trust, Ser 2004-11, Cl A1
0.540%, 12/20/34 (D)		193		161
Sequoia Mortgage Trust, Ser 2005-2, Cl A1
0.460%, 03/20/35 (D)		103		85
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
5.276%, 03/25/37 (D)		545		447
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.906%, 01/25/35 (D)		513		464
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
4.489%, 02/25/35 (D)		633		579
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR2, Cl 2A2
2.879%, 03/25/35 (D)		553		495

				9,863

Total Mortgage-Backed Securities (Cost $20,877) ($ Thousands)				19,142


ASSET-BACKED SECURITIES — 6.1%

Automotive — 2.2%
Americredit Prime Automobile Receivable, Ser 2007-1, Cl D
5.520%, 09/08/14		775		759
Carmax Auto Owner Trust, Ser 2007-1, Cl C
5.530%, 07/15/13		190		198
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A3A
5.000%, 02/08/12		574		582
Ford Credit Auto Owner Trust, Ser 2007-A, Cl C
5.800%, 02/15/13		515		549
Harley-Davidson Motorcycle Trust, Ser 2006-1, Cl B
5.240%, 11/15/13 (E)		1,550		1,584


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Hyundai Auto Receivables Trust, Ser 2006-B, Cl D
5.410%, 05/15/13	$	131	$	130
Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A
5.040%, 01/17/12		194		196
Merrill Auto Trust Securitization, Ser 2007-1, Cl C
5.960%, 12/15/13		681		689

				4,687


Credit Cards — 1.4%
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.848%, 11/07/14 (D)		1,100		1,077
GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B
0.430%, 06/15/15 (D)		1,150		1,084
MBNA Master Credit Card Trust, Ser 1997-B, Cl B
0.580%, 08/15/14 (D)		1,000		971

				3,132


Mortgage Related Securities — 0.1%
New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ
0.536%, 03/25/35 (D)		35		33
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (D)		285		103

				136


Other Asset-Backed Securities — 2.4%
Babson CLO, Ser 2007-1A, Cl A1
0.476%, 01/18/21 (D) (E)		1,060		903
CapitalSource Commercial Loan Trust, Ser 2006-2A, Cl A1A
0.450%, 09/20/22 (D) (E)		235		220
CapitalSource Commercial Loan Trust, Ser 2007-1, Cl C
0.890%, 03/20/17 (D) (E)		458		271
CIT Equipment Collateral, Ser 2006-VT2, Cl C
5.290%, 04/20/14		23		23
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (E)		2,200		1,987
First Franklin Mortgage Loan Asset Backed Certificates, Ser 2007-FF1, Cl M2
0.506%, 01/25/38 (D)		257		1
GE Business Loan Trust, Ser 2003-2A, Cl B
1.230%, 11/15/31 (D) (E)		84		59


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GE Business Loan Trust, Ser 2004-2A, Cl A
0.450%, 12/15/32 (D) (E)	$	120	$	103
GE Business Loan Trust, Ser 2004-2A, Cl B
0.710%, 12/15/32 (D) (E)		90		53
GE Business Loan Trust, Ser 2006-2A, Cl D
0.980%, 11/15/34 (D) (E)		261		71
Katonah, Ser 2005-7A, Cl B
0.670%, 11/15/17 (D) (E)		700		539
Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A
5.362%, 10/20/28 (E)		90		91
Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D
6.135%, 05/20/29 (E)		501		406
Prima, Ser 2006-1, Cl A1
5.417%, 12/28/48		4		4
Triton Container Finance LLC, Ser 2006-1A, Cl N
0.416%, 11/26/21 (D) (E)		500		406

				5,137

Total Asset-Backed Securities (Cost $14,778) ($ Thousands)				13,092


U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.0%
FHLB
1.375%, 05/16/11		7,000		7,057
FNMA
1.375%, 04/28/11		1,560		1,572

Total U.S. Government Agency Obligations (Cost $8,553) ($ Thousands)				8,629


U.S. TREASURY OBLIGATIONS — 16.3%
U.S. Treasury Bond TIPS
0.875%, 04/15/10		15,185		17,373
U.S. Treasury Note
0.875%, 01/31/11 to 03/31/11		17,500		17,571

Total U.S. Treasury Obligations (Cost $34,931) ($ Thousands)				34,944

	Number of Warrants

WARRANTS — 0.0%
Monitor Oil, 2nd Lien Expires 01/25/15*		47		—

Total Warrants (Cost $—) ($ Thousands)				—


Description	Face Amount ($ Thousands)/ Shares	Market Value ($ Thousands)


COMMON STOCK — 0.0%
JHT Holding*	4,002	$	—

Total Common Stock (Cost $—) ($ Thousands)			—


CASH EQUIVALENT — 7.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†	16,094,596		16,095

Total Cash Equivalent (Cost $16,095) ($ Thousands)			16,095


REPURCHASE AGREEMENT — 24.7%
Bank of America (F) 0.020%, dated 03/31/10, to be repurchased on 04/01/10, repurchase price $53,000,029 (collateralized by a FNMA obligation, par value $52,067,198, 5.000%, 04/01/40; total market values $54,060,001)	$53,000		53,000

Total Repurchase Agreement (Cost $53,000) ($ Thousands)			53,000

Total Investments — 100.2% (Cost $225,910) ($ Thousands)		$	214,852

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note	(25	)	Jun-2010	$	22
U.S. 2-Year Treasury Note	(45	)	Jul-2010		4
U.S. 5-Year Treasury Note	35		Jul-2010		(31	)
U.S. Long Treasury Bond	(15	)	Jun-2010		11

				$	6

For the period ended March 31, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.

Percentages are based on a Net Assets of $214,470 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust.

(A)

Security in default on interest payments.

(B)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2010 was $36 ($ Thousands) and represented 0.00% of Net Assets.

(C)

Unfunded bank loan.

(D)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of March 31, 2010. The date reported on the Schedule of Investments is the next reset date.

(E)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may

be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees.

(F)

Tri-Party Repurchase Agreement.

(G)

Unsettled bank loan.

(H)

Security considered restricted. The total market value of such securities as of March 31, 2010 was $36 ($ Thousands) and represented 0.00% of Net Assets.

Cl — Class

CLO — Collateralized Loan Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

LTD — Limited

LLC — Limited Liability Company

LOC — Line of Credit

L.P. — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

Ser — Series

TBA — To Be Announced

TIPS — Treasury Inflation Protected Security

Amounts designated as “—” are $O or have been rounded to $O

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	7,531	$	27,413	$	—	$	34,944
Corporate Obligations		—		34,402		—		34,402
Mortgage-Backed Securities		—		19,142		—		19,142
Asset-Backed Securities		—		12,333		759		13,092
U.S. Government Agency Obligations		—		8,629		—		8,629
Repurchase Agreement		—		53,000		—		53,000
Loan Participations		—		35,512		36		35,548
Warrants		—		—		—		—
Common Stock		—		—		—		—
Cash Equivalent		16,095		—		—		16,095

Total Investments in Securities	$	23,626	$	190,431	$	795	$	214,852


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	6	$	—	$	—	$	6

Futures contracts are valued at unrealized appreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Asset-Backed Securities			Loan Participation
Beginning balance as of October 1, 2009	$	425		$	29
Accrued discounts/premiums		—			(5	)
Realized gain/(loss)		(501	)		—
Change in unrealized appreciation/(depreciation)		634			11
Net purchases/sales		(19	)		1
Net transfer in and/or out of Level 3		220			—

Ending balance as of March 31, 2010	$	759		$	36

Changes in unrealized gains (losses) included in earnings related to securities held at reporting date	$	140		$	11

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 46.1%

Agency Mortgage-Backed Obligations — 30.2%
FHLMC
7.500%, 11/01/29 to 09/01/32	$	1,531	$	1,749
7.000%, 10/01/10 to 01/01/32		318		357
6.500%, 12/01/13 to 09/01/38		14,582		15,902
6.000%, 10/01/19 to 09/01/38		38,375		41,323
5.500%, 12/01/13 to 03/01/38		24,290		25,830
5.000%, 10/01/18 to 02/01/39		66,509		69,262
4.500%, 04/01/35 to 11/01/35		2,307		2,324
4.000%, 04/01/19 to 10/01/33		1,730		1,685
2.875%, 02/09/15		5,690		5,725
0.100%, 05/18/10 (A)		16,450		16,448
FHLMC ARM
6.429%, 11/01/37 (B)		5		5
6.218%, 08/01/37 (B)		274		291
6.141%, 06/01/37 (B)		175		187
6.084%, 04/01/37 (B)		338		362
5.952%, 01/01/37 (B)		1,069		1,127
5.915%, 03/01/37 (B)		167		178
5.803%, 11/01/36 (B)		740		788
5.717%, 03/01/36 (B)		336		358
5.688%, 03/01/36 (B)		282		300
5.650%, 10/01/38 (B)		364		387
5.126%, 01/01/36 (B)		4,151		4,368
FHLMC CMO, Cl PD
5.000%, 04/15/33		930		981
FHLMC CMO, Cl MC
4.500%, 10/15/36		1,538		1,481
FHLMC CMO, Cl PE
5.000%, 04/15/37		745		784


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Cl OG
5.000%, 06/15/34	$	629	$	663
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35		7,163		1,566
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
5.000%, 09/15/35		2,448		409
FHLMC CMO STRIPS, Ser 233, Cl 6, IO
4.500%, 08/15/35		373		77
FHLMC CMO STRIPS, Ser 245, Cl IO, IO
5.000%, 05/15/37		1,950		434
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19		104		117
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23		15,251		16,317
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23		1,909		2,075
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28		1,299		1,379
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31		323		343
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32		3,287		3,584
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17		80		85
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18		612		656
FHLMC CMO, Ser 2590, Cl BY
5.000%, 03/15/18		251		269
FHLMC CMO, Ser 2676, Cl CY
4.000%, 09/15/18		716		744
FHLMC CMO, Ser 2690, Cl TV
4.500%, 11/15/25		520		534
FHLMC CMO, Ser 2694, Cl QG
4.500%, 01/15/29		95		99
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29		157		161
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34		4,915		4,988
FHLMC CMO, Ser 2765, Cl CT
4.000%, 03/15/19		414		424
FHLMC CMO, Ser 2790, Cl TN
4.000%, 05/15/24		1,090		1,096
FHLMC CMO, Ser 2843, Cl BC
5.000%, 08/15/19		921		986
FHLMC CMO, Ser 2875, Cl HB
4.000%, 10/15/19		163		164
FHLMC CMO, Ser 2945, Cl SA
11.880%, 03/15/20 (B)		3,073		3,337
FHLMC CMO, Ser 2985, Cl JR
4.500%, 06/15/25		1,954		2,031
FHLMC CMO, Ser 3028, Cl PG
5.500%, 09/15/35		620		669
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35		276		298
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22		926		960


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 3465, Cl HA
4.000%, 07/15/17	$	917	$	956
FNMA
7.000%, 09/01/26 to 01/01/39		5,809		6,488
6.500%, 05/01/17 to 08/01/35		1,958		2,123
6.000%, 10/01/19 to 07/01/37		43,209		46,345
5.500%, 06/01/14 to 08/01/37		72,305		77,605
5.000%, 01/01/20 to 02/01/39		47,140		49,112
4.500%, 06/01/35 to 04/01/38		10,066		10,156
4.000%, 08/01/20		1,858		1,892
FNMA ARM (B)
6.284%, 09/01/37		124		130
6.280%, 10/01/36		366		386
6.273%, 09/01/37		226		241
6.124%, 12/01/36		425		450
6.080%, 09/01/37		197		207
6.028%, 01/01/37		550		581
6.014%, 10/01/37		209		219
6.013%, 10/01/37		1,093		1,149
6.012%, 11/01/37		322		338
5.977%, 04/01/37		581		613
5.976%, 07/01/37		740		777
5.961%, 07/01/37		351		369
5.957%, 01/01/37		704		743
5.936%, 07/01/37		648		681
5.930%, 07/01/37		647		681
5.928%, 10/01/37		878		922
5.926%, 03/01/37		362		381
5.913%, 04/01/37		529		555
5.904%, 09/01/37		316		334
5.896%, 02/01/37		170		179
5.886%, 03/01/37		305		320
5.882%, 12/01/37		2,093		2,205
5.879%, 05/01/37		301		315
5.878%, 02/01/37		462		486
5.876%, 10/01/37		470		494
5.869%, 03/01/37		818		857
5.868%, 04/01/37		700		733
5.817%, 11/01/37		554		583
5.814%, 03/01/37		686		718
5.808%, 08/01/37		878		921
5.718%, 05/01/37		388		408
5.668%, 02/01/39		967		1,015
5.661%, 05/01/37		322		338
5.643%, 09/01/37		447		470
5.635%, 02/01/36		520		542
5.606%, 01/01/37		829		868
5.571%, 05/01/37		594		625
5.494%, 05/01/38		3,041		3,223
5.479%, 09/01/37		365		383
2.446%, 10/01/35 to 11/01/35		12,168		12,444
2.437%, 11/01/35		1,475		1,507
2.430%, 11/01/35		1,662		1,697
2.429%, 11/01/35		5,268		5,377


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

2.425%, 10/01/35	$	873	$	891
2.424%, 11/01/35		1,563		1,595
2.415%, 11/01/35		1,625		1,658
2.410%, 10/01/35		7,475		7,623
FNMA CMO, Cl J
5.000%, 09/25/19		1,958		2,067
FNMA CMO, Cl PE
5.000%, 03/25/34		683		726
FNMA CMO, Cl XB
5.000%, 03/25/38		1,913		1,965
FNMA CMO, Cl A2
4.450%, 09/25/19		467		474
4.287%, 07/25/19		1,339		1,348
FNMA CMO, Cl UE
5.000%, 01/25/34		811		853
FNMA CMO, Cl A3
4.001%, 01/25/19		1,437		1,422
FNMA CMO, Cl A
5.000%, 04/25/34		562		593
FNMA CMO, Cl A1
3.305%, 06/25/19		299		303
FNMA CMO, Cl JT
6.000%, 06/25/36		97		104
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35		1,112		208
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35		16,926		3,560
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		2,970		3,182
FNMA CMO, Ser 2001-81, Cl HE
6.500%, 01/25/32		6,699		7,260
FNMA CMO, Ser 2002-94, Cl HQ
4.500%, 01/25/18		775		818
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18		550		570
FNMA CMO, Ser 2003-125, Cl AY
4.000%, 12/25/18		176		182
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34		535		573
FNMA CMO, Ser 2004-80, Cl LE
4.000%, 11/25/19		3,301		3,372
FNMA CMO, Ser 2004-81, Cl KE
4.500%, 11/25/19		177		186
FNMA CMO, Ser 2005-57, Cl EG
0.529%, 03/25/35 (B)		2,465		2,451
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		443		479
FNMA CMO, Ser 2006-10, Cl FD
0.579%, 03/25/36 (B)		1,547		1,541
FNMA CMO, Ser 2006-112, IO
6.471%, 11/25/36 (B)		14,927		1,685
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22		1,186		1,221


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2007-77, Cl MH
6.000%, 12/25/36	$	2,091	$	2,254
FNMA CMO, Ser 2007-T2, Cl B
6.022%, 11/25/10		4,500		4,630
FNMA CMO, Ser 2008-22
6.184%, 03/25/37 (B)		14,883		1,884
FNMA CMO, Ser 2008-35, Cl B
5.000%, 08/25/23		178		188
FNMA CMO, Ser 365, Cl 2, IO
5.000%, 02/01/36		1,049		204
FNMA CMO, Ser 365, IO
5.000%, 04/01/36		1,041		195
FNMA, Ser K003, Cl AAB
4.768%, 05/25/18		857		907
FNMA TBA
5.500%, 04/30/22 to 06/12/37		24,000		25,192
5.000%, 04/30/37 to 06/01/38		14,400		14,761
4.500%, 04/14/33 to 05/01/38		59,150		59,141
GNMA
8.000%, 11/15/29 to 09/15/30		116		134
7.500%, 03/15/29 to 01/15/32		288		326
7.000%, 08/15/13		51		55
6.500%, 04/15/26 to 09/15/35		11,543		12,630
6.000%, 03/15/14 to 10/15/35		17,941		19,397
5.000%, 05/15/33 to 10/15/35		4,186		4,381
GNMA ARM (B)
6.000%, 06/20/35		349		361
5.500%, 01/10/36		214		220
4.625%, 08/20/34		482		493
4.000%, 03/20/36		727		742
3.500%, 05/20/36		3,505		3,608
3.000%, 02/20/36		845		862
2.750%, 12/20/33		8,283		8,389
GNMA CMO, Ser 2001-18, Cl WH
31.548%, 04/20/31 (B)		217		332
GNMA CMO, Ser 2002-51, Cl SG
31.461%, 04/20/31 (B)		199		301
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33		5,441		5,488
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34		357		—
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36		685		717
GNMA TBA
6.000%, 04/28/36		100		107
4.500%, 04/01/38 to 05/01/39		14,100		14,187
4.500%, 04/15/40 to 04/15/40		39,970		40,438

				749,243


Non-Agency Mortgage-Backed Obligations — 15.9%
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.371%, 03/25/47 (B)		9,204		5,246


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A
2.394%, 06/25/45 (B)	$	4,493	$	3,549
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A
5.350%, 11/25/45 (B)		4,288		3,088
Asset Securitization, Cl A2
7.776%, 10/13/26 (B)		745		786
Banc of America Commercial Mortgage, Cl E
7.634%, 09/15/32 (B)		263		262
Banc of America Commercial Mortgage, Cl A4
5.414%, 09/10/47		625		626
5.372%, 09/10/45 (B)		588		603
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35		514		543
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43		4,000		3,986
Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4
5.179%, 09/10/47 (B)		296		308
Banc of America Commercial Mortgage Securities, Ser 2006-2, Cl A1
5.611%, 05/10/45		1,139		1,160
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (B)		329		322
Banc of America Commercial Mortgage, Ser 2007-3, Cl A3
5.658%, 06/10/49 (B)		1,360		1,414
Banc of America Funding, Ser 2003-1, Cl A1
6.000%, 05/20/33		47		47
Banc of America Funding, Ser 2005-B, Cl 2A1
4.791%, 04/20/35 (B)		4,411		3,043
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.273%, 05/25/34 (B)		3,267		3,184
Bear Stearns Commercial Mortgage Securities, Cl A2
6.460%, 10/15/36		1,620		1,724
5.286%, 06/11/41 (B)		505		525


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Bear Stearns Commercial Mortgage Securities, Cl A3
5.468%, 06/11/41 (B)	$	1,324	$	1,375
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		644		663
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33		340		354
Bear Stearns Commercial Mortgage Securities, Ser 2002-PBW1, Cl A2
4.720%, 11/11/35 (B)		628		655
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		894		935
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (B)		193		198
Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4
5.405%, 12/11/40 (B)		1,962		2,009
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.149%, 10/12/42 (B)		3,250		3,358
Chase Commercial Mortgage Securities, Ser 2000-3, Cl A2
7.319%, 10/15/32		1,842		1,864
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
5.233%, 12/25/35 (B)		12,400		9,772
Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3
4.900%, 12/25/35 (B)		7,633		6,942
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (B)		1,564		1,691
Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2
7.546%, 10/17/32 (B)		293		295
Commercial Mortgage Loan Trust, Cl AJ
6.020%, 12/10/49 (B)		1,190		572
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.020%, 12/10/49 (B)		13,025		12,802
Commercial Mortgage Pass Through Certificates, Cl A4
4.715%, 03/10/39		560		572
Commercial Mortgage Pass Through Certificates, Cl A5
5.314%, 07/10/37 (B)		647		677
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (C)		569		601


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Countrywide Alternative Loan Trust, Ser 2003-20BC, Cl 1A1
5.500%, 10/25/33	$	1,333	$	1,318
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		453		449
Countrywide Alternative Loan Trust, Ser 2005-21, Cl 3A2
1.571%, 08/25/35 (B)		524		259
Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1
0.556%, 11/25/35 (B)		7,509		4,051
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.559%, 11/20/35 (B)		9,179		4,838
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.646%, 09/25/35 (B) (C)		4,652		3,928
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		6,045		5,705
CS First Boston Mortgage Securities, Cl A3
4.813%, 02/15/38		129		130
CS First Boston Mortgage Securities, Cl A4
5.100%, 08/15/38 (B)		462		471
5.014%, 02/15/38 (B)		649		663
CS First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3
6.133%, 04/15/37		201		213
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36		1,892		1,989
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1
4.485%, 11/15/36		17		17
CS First Boston Mortgage Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35		343		360
CS First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
3.124%, 10/25/33 (B)		3,284		2,743
CS First Boston Mortgage Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36		419		437
CS First Boston Mortgage Securities, Ser C2, Cl A4
4.832%, 04/15/37		405		402
CS First Boston Mortgage Securities, Ser CPN1, Cl A2
4.597%, 03/15/35		595		618


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48	$	5,505	$	5,255
Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2
0.679%, 06/20/34 (B)		986		739
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.637%, 11/19/44 (B)		2,366		870
FFCA Secured Lending, Ser 1999-1A, IO
1.218%, 09/18/25 (B) (C)		3,429		58
FHLMC Multifamily Structured Pass Through Certificates, Cl A1
3.398%, 07/25/19		804		812
First Union National Bank Commercial Mortgage, Cl A2
6.141%, 02/12/34		321		338
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		631		647
Fund America Investors II, Ser 1993-A, Cl A2
5.475%, 06/25/23 (B)		207		196
GE Capital Assurance, Ser 2003-1, Cl A4
5.254%, 05/12/35 (B) (C)		5,798		6,116
GE Capital Commercial Mortgage, Cl A1
5.560%, 06/10/38		57		58
GE Capital Commercial Mortgage, Ser 2001-2, Cl A3
6.030%, 08/11/33		62		62
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		4,802		5,104
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2
4.996%, 12/10/37		10,500		11,011
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4
5.339%, 11/10/45 (B)		3,375		3,479
GE Capital Commercial Mortgage, Ser 2006-C1, Cl A3
5.337%, 03/10/44 (B)		2,845		2,981
GMAC Commercial Mortgage Securities, Cl A4
5.301%, 08/10/38 (B)		516		532
GMAC Commercial Mortgage Securities, Cl B
6.790%, 04/15/34		161		169


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 (B)	$	19	$	19
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.485%, 05/10/40 (B)		417		445
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		2,432		2,553
Greenwich Capital Commercial Funding, Cl A4
5.444%, 03/10/39		8,645		8,407
Greenwich Capital Commercial Funding
5.190%, 04/10/37 (B)		230		241
Greenwich Capital Commercial Funding, Cl A6
5.135%, 06/10/36 (B)		395		416
Greenwich Capital Commercial Funding, Cl A2
5.381%, 03/10/39		883		909
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB
4.619%, 08/10/42		5,205		5,354
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (B)		2,551		2,562
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
5.883%, 08/10/09 (B)		9,153		9,331
GS Mortgage Securities II, Cl A2
5.506%, 04/10/38 (B)		1,296		1,320
5.479%, 11/10/39		1,132		1,165
4.319%, 10/10/28		654		659
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2
6.449%, 08/15/18 (B) (C)		1,487		1,588
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA
4.680%, 07/10/39		351		363
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (B) (C)		65		65
GSR Mortgage Loan Trust, Cl 3A5
4.565%, 07/25/35 (B)		7,000		4,756
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
4.468%, 10/25/33 (B)		3,221		3,182
Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO
2.141%, 10/19/35 (B)		20,032		720
Heller Financial Commercial Mortgage Asset, Ser 1999-PH1, Cl C
7.023%, 05/15/31 (B)		23		23


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1
0.596%, 08/25/36 (B)	$	823	$	653
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
6.154%, 11/01/37 (B)		1,504		1,105
Indymac Index Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1
5.996%, 08/25/37 (B)		8,182		3,995
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (B)		12,253		4,729
JPMorgan Chase Commercial Mortgage Securities, Cl A1
5.017%, 02/12/51		41		42
JPMorgan Chase Commercial Mortgage Securities, Cl A2
5.633%, 12/05/27 (C)		1,865		1,973
JPMorgan Chase Commercial Mortgage Securities, Cl A2S
5.305%, 01/15/49		2,674		2,658
JPMorgan Chase Commercial Mortgage Securities, Cl A4
5.481%, 12/12/44 (B)		750		763
5.376%, 06/12/41 (B)		546		562
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl A3
6.429%, 04/15/35		4,000		4,159
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37		460		485
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-PM1A, Cl A4
5.326%, 11/12/08 (B)		144		152
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/42 (B)		442		447
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		762		743
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4
5.716%, 02/15/51		982		928
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A2
5.747%, 02/12/49 (B)		231		238


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/51 (B)	$	3,030	$	2,962
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3
5.420%, 01/15/49		10,000		9,634
JPMorgan Chase Commercial Mortgage Securities, Ser CIB4, Cl A3
6.162%, 05/12/34		839		892
JPMorgan Commercial Mortgage Finance, Cl C
7.753%, 08/15/32 (B)		306		306
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl A2
7.371%, 08/15/32 (B)		35		35
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2
4.500%, 11/25/08 (B)		10,900		8,151
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2
5.759%, 11/25/08 (B)		12,600		10,058
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4
5.733%, 05/25/36 (B)		13,560		11,015
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4
4.879%, 01/12/38 (B)		732		761
LB-UBS Commercial Mortgage Trust
6.155%, 04/15/41 (B)		240		251
LB-UBS Commercial Mortgage Trust, Cl A5
4.628%, 10/15/29		294		299
LB-UBS Commercial Mortgage Trust, Cl A4
5.883%, 06/15/38 (B)		1,036		1,088
5.372%, 09/15/39		1,103		1,122
4.563%, 09/15/26		307		316
4.166%, 05/15/32		197		201
LB-UBS Commercial Mortgage Trust, Cl AAB
5.403%, 02/15/40		144		147
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		1,180		1,254
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		631		662
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (B)		205		216


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40	$	554	$	575
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A2
5.318%, 02/15/40		817		833
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (C)		3,550		3,239
Master Seasoned Securities Trust, Ser 2004-2, Cl A2
6.500%, 08/25/32		1,754		1,765
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.261%, 02/25/34 (B)		3,577		3,390
Merrill Lynch Mortgage Trust, Cl A3A
4.949%, 07/12/38 (B)		433		438
Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4
4.747%, 06/12/43 (B)		2,480		2,516
Merrill Lynch Mortgage Trust, Ser KEY1, Cl A4
5.236%, 11/12/35 (B)		1,769		1,839
Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3
5.172%, 12/12/49 (B)		7,000		6,773
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.425%, 05/25/29 (B)		826		706
Morgan Stanley Capital I
5.385%, 03/12/44 (B)		1,133		1,177
5.168%, 01/14/42		232		242
Morgan Stanley Capital I, Cl A7
4.970%, 04/14/40		2,179		2,195
Morgan Stanley Capital I, Cl A4
5.811%, 08/12/41 (B)		663		701
5.402%, 06/15/38 (B)		1,480		1,537
5.270%, 06/13/41 (B)		363		372
4.900%, 06/15/40		886		888
4.520%, 12/13/41		73		75
Morgan Stanley Capital I, Cl A2
4.690%, 06/13/41		208		210
4.070%, 05/15/40		154		158
Morgan Stanley Capital I, Ser 2003-T11, Cl A4
5.150%, 06/13/41		768		810
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/41		364		374
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		1,542		1,606


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42	$	2,671	$	2,720
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.184%, 11/14/42 (B)		802		842
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (B)		2,500		2,564
Morgan Stanley Capital I, Ser 2007-IQ14, Cl A4
5.692%, 04/15/49 (B)		4,200		3,852
Morgan Stanley Dean Witter Capital I, Cl A4
5.740%, 12/15/35		185		195
Morgan Stanley Dean Witter Capital I
6.510%, 04/15/34		223		235
Morgan Stanley Dean Witter Capital I, Cl A2
4.740%, 11/13/36		460		478
Morgan Stanley Dean Witter Capital I, Cl B
6.550%, 07/15/33		325		338
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4
6.390%, 10/15/35		1,148		1,210
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		1,439		1,497
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.356%, 02/25/47 (B)		292		226
Prudential Mortgage Capital Funding, Cl B
6.760%, 05/10/34		295		310
RBS Greenwhich Capital Mortgage Pass-Through Certificates, Ser 2007-B, Cl 1A4
0.696%, 01/25/37 (B)		4,410		2,496
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		513		499
Residential Asset Securitization Trust, Cl A1
5.000%, 08/25/19		796		760
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.151%, 12/25/34 (B)		1,043		912
Salomon Brothers Mortgage Securities VII, Cl C
7.727%, 07/18/33 (B)		470		470
Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3
6.499%, 10/13/11		4,995		5,249


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36	$	404	$	416
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19, Cl 1A1
0.566%, 10/25/35 (B)		1,667		989
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2
5.574%, 08/25/15 (B)		10,042		6,529
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A
0.446%, 10/25/36 (B)		4,581		2,558
Structured Asset Securities, Cl 1A
0.579%, 06/25/35 (B) (C)		2,567		2,037
Structured Asset Securities, Cl A
0.579%, 03/25/35 to 04/25/35 (B) (C)		5,062		4,065
Structured Asset Securities, Ser 2005-17, Cl 5A1
5.500%, 10/25/35		2,929		2,393
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1
6.201%, 08/30/37 (B)		4,619		4,114
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1
6.192%, 09/25/37 (B)		4,769		4,074
US Bank, Ser 2007-1, Cl A
5.920%, 05/25/12		2,363		2,429
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4
6.287%, 04/15/34		1,202		1,281
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 (B)		463		472
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (C)		164		166
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		681		690
Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl A4
5.030%, 01/15/41		467		476
Washington Mutual Mortgage Pass-Through Certificates, Cl 1A
1.351%, 10/25/46 (B)		3,969		2,392


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Washington Mutual Mortgage Pass-Through Certificates, Cl 1A1
5.677%, 02/25/37 (B)	$	3,361	$	2,433
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		897		910
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.536%, 10/25/47 (B)		4,041		3,114
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.526%, 11/25/47 (B)		6,164		4,129
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
5.077%, 12/25/35 (B)		12,955		10,268
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.536%, 12/25/45 (B)		5,764		3,860
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR5, Cl A6
4.642%, 05/25/35 (B)		9,220		7,820
Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A
1.281%, 07/25/47 (B)		8,616		5,096
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1
4.531%, 06/25/34 (B)		3,542		3,440

				393,272

Total Mortgage-Backed Securities (Cost $1,142,248) ($ Thousands)				1,142,515


CORPORATE OBLIGATIONS — 31.3%

Consumer Discretionary — 1.4%
American Achievement
8.250%, 04/01/12 (C)		900		891
Boyd Gaming
7.125%, 02/01/16 (D)		350		292
6.750%, 04/15/14 (D)		570		498
British Sky Broadcasting Group
9.500%, 11/15/18 (C)		782		1,006
Comcast
6.500%, 01/15/17		720		801
6.500%, 01/15/15		985		1,109
6.400%, 03/01/40		690		701
5.450%, 11/15/10		525		538


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.300%, 01/15/14	$	2,340	$	2,516
5.150%, 03/01/20		1,005		1,014
Comcast Cable Communications
8.375%, 03/15/13		1,179		1,367
6.750%, 01/30/11 (D)		2,310		2,414
COX Communications
4.625%, 06/01/13		805		851
Daimler Finance LLC
7.300%, 01/15/12		1,400		1,525
6.500%, 11/15/13		1,320		1,463
DISH DBS
7.875%, 09/01/19		690		718
Eastman Kodak
7.250%, 11/15/13		1,420		1,353
Echostar DBS
7.750%, 05/31/15		220		230
General Motors
8.250%, 07/15/23 (D) (E)		3,100		1,147
Grupo Televisa
6.625%, 01/15/40		1,005		1,003
Inn of the Mountain Gods Resort & Casino
12.000%, 11/15/10 (E)		1,010		485
Lamar Media, Ser B
6.625%, 08/15/15		150		144
MGM Mirage
8.500%, 09/15/10		10		10
7.625%, 01/15/17 (D)		440		366
News America
6.650%, 11/15/37		180		189
6.200%, 12/15/34		65		65
Station Casinos
7.750%, 08/15/16 (E)		1,495		108
Sun Media
7.625%, 02/15/13		470		461
Thomson Reuters
5.950%, 07/15/13		577		638
Time Warner
7.700%, 05/01/32		835		964
6.875%, 05/01/12		2,225		2,447
Time Warner Cable
8.750%, 02/14/19		210		261
8.250%, 04/01/19		4,895		5,923
6.750%, 06/15/39		920		965
Time Warner Entertainment
8.375%, 07/15/33		60		72

				34,535


Consumer Staples — 1.1%
Altria Group
10.200%, 02/06/39		350		469
9.700%, 11/10/18		1,650		2,032
9.250%, 08/06/19		920		1,118


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Anheuser-Busch
5.050%, 10/15/16	$	940	$	987
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (C)		571		679
5.375%, 01/15/20		1,580		1,630
5.000%, 04/15/20 (C)		560		562
4.125%, 01/15/15		1,860		1,914
CVS Caremark
9.350%, 01/10/23 (C)		4,300		4,190
Diageo Capital
7.375%, 01/15/14		4,870		5,664
Dr Pepper Snapple Group
6.820%, 05/01/18		1,470		1,679
HJ Heinz
5.350%, 07/15/13		510		553
Kraft Foods
6.500%, 02/09/40		1,165		1,207
5.375%, 02/10/20		2,060		2,094
PepsiCo
5.500%, 01/15/40		1,245		1,233
Reynolds American
6.750%, 06/15/17		1,260		1,350
Wal-Mart Stores
5.625%, 04/01/40		1,060		1,056

				28,417


Energy — 3.6%
Anadarko Finance, Ser B
7.500%, 05/01/31		860		966
Anadarko Petroleum
6.450%, 09/15/36		3,450		3,516
Apache
6.000%, 09/15/13		2,570		2,879
Baker Hughes
7.500%, 11/15/18		2,530		3,025
Canadian Natural Resources
5.850%, 02/01/35		800		778
5.700%, 05/15/17		265		283
Chesapeake Energy
7.250%, 12/15/18		660		660
6.500%, 08/15/17		275		266
Cie Generale de Geophysique-Veritas
7.750%, 05/15/17		110		110
7.500%, 05/15/15		1,205		1,208
Conoco Funding
7.250%, 10/15/31		50		59
6.350%, 10/15/11		920		992
ConocoPhillips
5.900%, 10/15/32		10		10
5.900%, 05/15/38		1,500		1,548
ConocoPhillips Holding
6.950%, 04/15/29		700		803


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Consol Energy
8.250%, 04/01/20 (C)	$	660	$	678
El Paso
6.950%, 06/01/28		6,750		6,096
El Paso Performance-Linked Trust
7.750%, 07/15/11 (C)		3,830		3,965
El Paso Pipeline Partners Operating
6.500%, 04/01/20		675		683
Energy Transfer Partners
9.000%, 04/15/19		1,075		1,320
8.500%, 04/15/14		434		505
6.700%, 07/01/18		2,220		2,425
Enterprise Products Operating
9.750%, 01/31/14		1,910		2,319
GAZ Capital
6.212%, 11/22/16 (C)		220		228
Hess
7.875%, 10/01/29		1,070		1,282
7.300%, 08/15/31		1,650		1,880
Husky Energy
7.250%, 12/15/19		656		760
5.900%, 06/15/14		572		622
Kerr-McGee
7.875%, 09/15/31		820		953
6.950%, 07/01/24		450		501
Kinder Morgan Energy Partners
7.125%, 03/15/12		90		99
6.750%, 03/15/11		450		473
6.000%, 02/01/17		505		542
5.850%, 09/15/12		130		141
5.000%, 12/15/13		720		772
Occidental Petroleum
7.000%, 11/01/13		4,000		4,633
OPTI Canada
7.875%, 12/15/14		70		65
Peabody Energy, Ser B
6.875%, 03/15/13		35		35
Pemex Project Funding Master Trust
6.625%, 06/15/35		1,667		1,642
Petrobras International Finance
7.875%, 03/15/19		654		765
6.875%, 01/20/40		645		666
6.125%, 10/06/16		655		705
5.750%, 01/20/20		574		588
Petro-Canada
6.800%, 05/15/38		365		391
Ras Laffan Liquefied Natural Gas III
5.500%, 09/30/14 (C) (D)		1,185		1,272
4.500%, 09/30/12 (C)		785		824
Rockies Express Pipeline
5.625%, 04/15/20 (C)		1,245		1,226
3.900%, 04/15/15 (C)		1,045		1,031
SandRidge Energy
9.875%, 05/15/16 (C)		870		894


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Shell International Finance BV
4.375%, 03/25/20	$	1,980	$	1,963
Southern Natural Gas
8.000%, 03/01/32		170		192
Southern Union
8.250%, 11/15/29		1,315		1,501
Suncor Energy
6.500%, 06/15/38		815		850
Tennessee Gas Pipeline
7.625%, 04/01/37		830		918
Tosco
8.125%, 02/15/30		400		503
Total Capital
3.125%, 10/02/15		1,345		1,336
Valero Energy
10.500%, 03/15/39		1,750		2,248
9.375%, 03/15/19		4,406		5,246
6.625%, 06/15/37		1,125		1,070
Williams
8.750%, 03/15/32 (D)		1,732		2,110
7.875%, 09/01/21		3,884		4,573
7.750%, 06/15/31		1,392		1,562
Williams Partners
6.300%, 04/15/40 (C)		985		979
3.800%, 02/15/15 (C)		505		504
Williams, Ser A
7.500%, 01/15/31		808		888
XTO Energy
7.500%, 04/15/12		850		952
6.750%, 08/01/37		495		580
5.500%, 06/15/18		2,030		2,204

				88,263


Financials — 16.7%
Achmea Hypotheekbank
3.200%, 11/03/14 (C)		2,510		2,542
Aiful
5.000%, 08/10/10 (C) (D)		1,010		965
Allied World Assurance Holdings
7.500%, 08/01/16		2,355		2,549
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13 (D)		1,410		1,536
American Express
7.250%, 05/20/14		858		972
6.800%, 09/01/66 (B)		2,010		1,960
American Express Credit MTN
5.125%, 08/25/14		2,100		2,230
American General Finance MTN
6.900%, 12/15/17		2,820		2,470
American International Group
6.250%, 03/15/37		2,560		1,894
5.850%, 01/16/18		4,340		4,033


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

ASIF Global Financing XIX
4.900%, 01/17/13 (C)	$	390	$	394
BAC Capital Trust XIV
5.630%, 03/15/12 (B)		130		98
BAC Capital Trust XV
1.052%, 06/01/56 (B)		5,715		3,870
Banco Nacional de Desenvolvimento Economico e Social
5.500%, 07/12/20		1,415		1,401
Bank of America
7.625%, 06/01/19		635		726
7.375%, 05/15/14		1,095		1,231
6.500%, 08/01/16		2,250		2,432
6.000%, 09/01/17		745		775
5.750%, 12/01/17		3,165		3,245
5.420%, 03/15/17		4,300		4,250
4.500%, 04/01/15		1,285		1,296
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (C)		690		697
Bank One
7.875%, 08/01/10		995		1,019
Barclays Bank MTN
6.050%, 12/04/17 (C)		1,230		1,269
5.200%, 07/10/14		630		673
5.125%, 01/08/20		760		749
5.000%, 09/22/16		1,175		1,208
Barnett Capital III
0.874%, 02/01/27 (B)		425		292
Bear Stearns
7.250%, 02/01/18		1,120		1,294
6.950%, 08/10/12		580		643
6.400%, 10/02/17		70		77
5.350%, 02/01/12		3,280		3,506
4.650%, 07/02/18		995		970
4.500%, 10/28/10		1,470		1,504
Berkshire Hathaway
3.200%, 02/11/15		1,840		1,856
Berkshire Hathaway Finance
5.400%, 05/15/18 (D)		830		882
Boeing Capital
4.700%, 10/27/19		490		493
BP Capital Markets
5.250%, 11/07/13		680		748
3.875%, 03/10/15		210		218
Capital One Bank USA
8.800%, 07/15/19		855		1,033
Caterpillar Financial Services MTN
6.200%, 09/30/13		3,650		4,122
Chase Capital VI
0.874%, 08/01/28 (B)		2,500		1,951
Citigroup
8.125%, 07/15/39		332		383
6.875%, 03/05/38 (D)		6,555		6,624
6.500%, 08/19/13		1,310		1,413
6.375%, 08/12/14		1,095		1,170
6.125%, 05/15/18 (D)		4,770		4,874


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.010%, 01/15/15	$	660	$	693
5.875%, 02/22/33		1,685		1,454
5.500%, 04/11/13		2,683		2,819
5.500%, 02/15/17		2,350		2,322
5.000%, 09/15/14		3,245		3,241
0.524%, 06/09/16 (B)		3,650		3,123
Citigroup Capital III
7.625%, 12/01/36		1,500		1,233
Citigroup Funding
1.875%, 10/22/12		2,165		2,182
Commonwealth Bank of Australia
5.000%, 03/19/20 (C)		890		884
5.000%, 10/15/19 (C)		1,465		1,472
3.750%, 10/15/14 (C)		2,075		2,104
Countrywide Financial
6.250%, 05/15/16		1,080		1,109
5.800%, 06/07/12		2,745		2,918
Countrywide Financial, Cl A
0.492%, 10/15/28 (B)		101		79
Countrywide Home Loans MTN
4.000%, 03/22/11		2,100		2,159
Credit Agricole
8.375%, 12/31/49 (B) (C) (D)		2,460		2,663
Credit Suisse
5.400%, 01/14/20		850		857
Credit Suisse New York
6.000%, 02/15/18		4,420		4,680
Credit Suisse NY
5.500%, 05/01/14		3,000		3,265
5.300%, 08/13/19		585		600
Credit Suisse USA
4.875%, 08/15/10		2,210		2,244
Depfa ACS Bank
5.125%, 03/16/37 (C)		3,000		2,217
Deutsche Bank
4.875%, 05/20/13		1,830		1,961
Deutsche Bank Capital Funding Trust VII
5.628%, 01/19/49 (B) (C)		2,760		2,305
East Lane Re
6.249%, 05/06/11 (B) (C)		650		650
Export-Import Bank of Korea
5.875%, 01/14/15		1,255		1,353
5.500%, 10/17/12		772		824
Farmer Mac Guaranteed Notes Trust 2007-1
5.125%, 04/19/17 (C)		3,540		3,703
Farmers Exchange Capital
7.050%, 07/15/28 (C)		1,434		1,321
Farmers Insurance Exchange
8.625%, 05/01/24 (C)		3,017		3,244
First Industrial L.P. MTN
7.500%, 12/01/17		970		822
Fleet Capital Trust II
7.920%, 12/11/26		1,050		1,043


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Ford Motor Credit LLC
8.000%, 12/15/16	$	2,680	$	2,824
5.507%, 06/15/11 (B)		3,863		3,940
Forest City Enterprises
6.500%, 02/01/17		270		217
General Electric Capital MTN
6.375%, 11/15/19 (B)		5,870		5,510
6.000%, 08/07/19		710		750
5.900%, 05/13/14		2,800		3,081
5.875%, 01/14/38		1,300		1,236
5.625%, 05/01/18 (D)		7,235		7,573
5.450%, 01/15/13		20		22
0.629%, 05/05/26 (B)		3,500		2,870
0.517%, 09/15/14 (B)		2,460		2,338
0.381%, 03/20/14 (B)		1,900		1,780
Glitnir Banki HF
7.451%, 09/14/16 (C) (E)		400		—
6.693%, 06/15/16 (C) (E)		3,960		—
6.375%, 09/25/12 (C) (E)		2,330		687
6.330%, 07/28/11 (C) (E)		1,980		584
GMAC
7.500%, 12/31/13		103		105
7.250%, 03/02/11		2,228		2,267
6.875%, 09/15/11		2,735		2,779
2.452%, 12/01/14 (B)		2,234		1,967
1.750%, 10/30/12		2,010		2,022
Goldman Sachs Capital I
6.345%, 02/15/34		520		480
Goldman Sachs Capital II
5.793%, 12/29/49 (B)		1,867		1,582
Goldman Sachs Group
7.500%, 02/15/19		2,329		2,662
6.750%, 10/01/37		1,011		1,010
6.150%, 04/01/18		3,780		3,999
5.950%, 01/18/18		260		273
5.450%, 11/01/12		3,670		3,967
5.375%, 03/15/20		3,230		3,200
5.350%, 01/15/16		660		695
5.250%, 10/15/13 (D)		3,565		3,832
4.500%, 06/15/10		1,000		1,007
0.751%, 01/12/15 (B)		1,750		1,711
0.649%, 07/22/15 (B)		500		483
Hartford Financial Services Group
5.500%, 03/30/20		810		798
HBOS Capital Funding
6.071%, 06/30/49 (B) (C)		1,330		1,037
HBOS PLC
6.750%, 05/21/18 (C)		2,100		1,930
HCP MTN
6.700%, 01/30/18 ‡		401		409
6.300%, 09/15/16 ‡		1,429		1,452
6.000%, 01/30/17 ‡		4,231		4,214
5.650%, 12/15/13 ‡		1,149		1,201


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Highwoods Properties
7.500%, 04/15/18 ‡	$	1,142	$	1,159
HSBC Finance
8.000%, 07/15/10		3,475		3,544
4.625%, 09/15/10		650		661
HSBC Holdings PLC
6.800%, 06/01/38		600		643
ICICI Bank
6.375%, 04/30/22 (B) (C)		1,260		1,186
ILFC E-Capital Trust II
6.250%, 12/21/65 (B) (C)		900		693
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (C)		700		748
Japan Bank for International Cooperation
2.875%, 02/02/15		4,200		4,206
JP Morgan Chase Capital XIII
1.239%, 09/30/34 (B)		1,000		781
JP Morgan Chase Capital XXIII
1.250%, 05/15/47 (B)		1,900		1,426
JP Morgan Chase Capital XXV
6.800%, 10/01/37		1,094		1,092
JPMorgan Chase
6.000%, 01/15/18		225		244
5.750%, 01/02/13		3,785		4,108
4.950%, 03/25/20		1,040		1,031
4.750%, 05/01/13		510		544
3.700%, 01/20/15		875		880
JPMorgan Chase Bank
6.000%, 10/01/17		1,323		1,411
6.000%, 07/05/17		2,250		2,398
0.587%, 06/13/16 (B)		1,300		1,220
Kaupthing Bank MTN
7.625%, 02/28/15 (C) (E)		8,810		2,357
7.125%, 05/19/16 (C) (E)		1,350		—
5.750%, 10/04/11 (C) (E)		960		257
Korea Development Bank
4.375%, 08/10/15 (D)		1,280		1,299
Landsbanki Islands
6.100%, 08/25/11 (C) (E)		5,570		641
Lazard Group
7.125%, 05/15/15		1,607		1,687
6.850%, 06/15/17		1,582		1,610
LBG Capital No.1 MTN
8.000%, 12/15/49 (B)		5,850		5,060
Lehman Brothers Holdings MTN
14.500%, 06/20/16 (B) (E)		3,977		855
11.000%, 11/07/16 (B) (E)		4,283		921
8.910%, 02/16/17 (E)		2,370		509
6.750%, 12/28/17 (E)		4,320		11
6.200%, 09/26/14 (E)		1,160		270
5.250%, 02/06/12 (E)		1,220		284
Lehman Brothers Holdings Capital Trust V MTN
5.857%, 11/29/49 (E)		4,280		11


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Liberty Mutual Group
7.500%, 08/15/36 (C)	$	714	$	689
Lloyds TSB Bank
5.800%, 01/13/20 (C)		1,570		1,532
4.375%, 01/12/15 (C)		1,470		1,449
Mack-Cali Realty
7.750%, 08/15/19 ‡		370		408
MBNA Capital A
8.278%, 12/01/26		1,450		1,461
Merna Reinsurance, Ser B
2.001%, 07/07/10 (B) (C)		3,750		3,719
Merrill Lynch MTN
8.950%, 05/18/17 (B)		1,790		1,871
8.680%, 05/02/17 (B)		3,160		3,286
7.430%, 09/01/22		3		3
6.050%, 05/16/16		350		357
5.700%, 05/02/17		1,300		1,292
5.450%, 02/05/13		2,080		2,201
MetLife
6.400%, 12/15/36		570		510
MetLife Capital Trust IV
7.875%, 12/15/37 (C)		800		816
MetLife Capital Trust X
9.250%, 04/08/38 (B) (C)		1,800		2,025
Metropolitan Life Global Funding I
5.125%, 04/10/13 (C)		580		623
5.125%, 06/10/14 (C)		2,750		2,913
Morgan Stanley MTN
7.250%, 04/01/32		510		580
6.750%, 04/15/11		30		32
6.625%, 04/01/18		3,570		3,808
6.000%, 04/28/15		630		675
6.000%, 05/13/14		5,710		6,168
5.950%, 12/28/17		605		622
5.500%, 01/26/20		1,090		1,066
0.701%, 10/18/16 (B)		5,020		4,590
0.549%, 01/09/14 (B)		4,120		3,939
MUFG Capital Finance 1
6.346%, 07/25/49 (B)		1,670		1,656
National Australia Bank
5.350%, 06/12/13 (C)		2,500		2,694
National Capital Trust II
5.486%, 12/29/49 (B) (C)		2,231		2,035
National City Bank MTN
5.800%, 06/07/17		1,290		1,342
0.622%, 06/07/17 (B)		4,600		4,097
Nationwide Mutual Insurance
6.600%, 04/15/34 (C)		2,440		2,051
5.810%, 06/15/09 (B) (C)		1,975		1,692
NB Capital Trust IV
8.250%, 04/15/27		1,055		1,066
New Communications Holdings
8.750%, 04/15/22 (C)		703		703
8.500%, 04/15/20 (C)		605		610
8.250%, 04/15/17 (C)		700		712


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

NIBC Bank MTN
2.800%, 12/02/14 (C)	$	1,725	$	1,716
Nordea Bank
4.875%, 01/27/20 (C)		1,000		992
3.700%, 11/13/14 (C) (D)		2,695		2,715
2.500%, 11/13/12 (C)		995		1,004
Pacific Life Global Funding
5.150%, 04/15/13 (C)		370		390
Power Receivables Financial
6.290%, 01/01/12		1,673		1,716
Pricoa Global Funding I
5.450%, 06/11/14 (C) (D)		3,400		3,648
Prime Property Fund
5.600%, 06/15/11 (C)		1,384		1,437
5.500%, 01/15/14 ‡(C)		1,850		1,809
Private Export Funding
3.050%, 10/15/14		445		451
Prudential Holdings
8.695%, 12/18/23 (C)		1,300		1,498
Rabobank Nederland
11.000%, 12/31/49 (B) (C)		1,810		2,329
Reckson Operating Partnership
7.750%, 03/15/20 ‡(C)		1,305		1,327
Residential Capital
9.625%, 05/15/15		15		15
Resona Preferred Global Securities
7.191%, 07/30/49 (B) (C)		580		544
Royal Bank of Scotland
4.875%, 03/16/15		400		400
Royal Bank of Scotland Group
7.640%, 09/29/17 (B)		1,000		630
6.400%, 10/21/19		2,230		2,229
5.050%, 01/08/15		660		625
5.000%, 10/01/14		990		947
5.000%, 11/12/13		520		505
Santander US Debt Unipersonal
3.724%, 01/20/15 (C)		1,600		1,594
Shinsei Finance Cayman
6.418%, 01/25/49 (B) (C)		3,690		2,559
Simon Property Group L.P.
5.750%, 12/01/15 ‡		910		963
SLM MTN
8.000%, 03/25/20		1,200		1,168
5.625%, 08/01/33		695		536
5.375%, 05/15/14		2,655		2,515
5.050%, 11/14/14		690		639
5.000%, 10/01/13		2,500		2,388
5.000%, 04/15/15		120		109
SunTrust Preferred Capital I
5.853%, 12/15/11 (B)		259		199
Svensk Exportkredit
3.250%, 09/16/14		2,359		2,410
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (C)		1,300		1,410


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

TNK-BP Finance
7.500%, 07/18/16 (C)	$	1,170	$	1,272
6.625%, 03/20/17 (C)		280		288
Travelers
6.250%, 03/15/37 (B)		1,470		1,447
5.375%, 06/15/12		370		399
UBS MTN
3.875%, 01/15/15		1,320		1,302
UDR MTN
5.000%, 01/15/12 ‡		2,000		2,040
Ventas Realty L.P.
9.000%, 05/01/12 ‡		180		192
6.500%, 06/01/16 ‡		495		506
Wachovia MTN
5.750%, 02/01/18		2,260		2,403
5.300%, 10/15/11		2,155		2,280
5.250%, 08/01/14		2,570		2,700
4.875%, 02/15/14		875		906
Wachovia Capital Trust III
5.800%, 03/15/11 (B)		1,930		1,636
WEA Finance
7.500%, 06/02/14 (C)		698		781
7.125%, 04/15/18 (C)		4,429		4,791
6.750%, 09/02/19 (C)		1,700		1,814
Wells Fargo Capital X
5.950%, 12/15/36		760		697
Wells Fargo Capital XV
9.750%, 12/31/49 (B)		3,790		4,245
Westfield Capital
4.375%, 11/15/10 (C)		2,103		2,136
Westfield Group
5.400%, 10/01/12 (C)		898		952
Westpac Banking
4.875%, 11/19/19		750		745
2.250%, 11/19/12		1,720		1,732
Woodbourne Capital Trust I
1.328%, 04/08/49 (B) (C)		625		137
Woodbourne Capital Trust II
1.328%, 04/08/49 (B) (C)		625		137
Woodbourne Capital Trust III
1.328%, 04/08/49 (B) (C)		625		137
Woodbourne Capital Trust IV
1.328%, 04/08/49 (B) (C)		625		137
ZFS Finance USA Trust I
6.150%, 12/15/65 (B) (C)		4,272		4,165

				413,009


Health Care — 1.2%
Amgen
5.750%, 03/15/40		1,045		1,035
CareFusion
4.125%, 08/01/12		640		668
Coventry Health Care
5.950%, 03/15/17		1,109		1,058


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FMC Finance III
6.875%, 07/15/17	$	600	$	624
GlaxoSmithKline Capital
5.650%, 05/15/18		1,870		2,031
HCA
9.625%, 11/15/16		1		1
7.500%, 11/15/95		3,800		2,983
6.250%, 02/15/13		119		118
5.750%, 03/15/14		3,090		2,916
Humana
7.200%, 06/15/18		1,150		1,244
Life Technologies
6.000%, 03/01/20		1,340		1,372
4.400%, 03/01/15		730		735
Medtronic
4.450%, 03/15/20		730		726
Pfizer
5.350%, 03/15/15		1,337		1,473
Roche Holdings
6.000%, 03/01/19 (C)		1,410		1,558
Tenet Healthcare
8.875%, 07/01/19 (C) (D)		1,695		1,835
7.375%, 02/01/13 (D)		336		339
UnitedHealth Group
6.875%, 02/15/38		1,201		1,275
6.000%, 06/15/17		51		55
WellPoint
6.800%, 08/01/12		1,000		1,105
5.875%, 06/15/17		2,190		2,351
5.250%, 01/15/16		465		490
Wyeth
5.950%, 04/01/37 (D)		2,680		2,806

				28,798


Industrials — 1.4%
Boeing
4.875%, 02/15/20		1,380		1,412
Cedar Brakes I LLC
8.500%, 02/15/14 (C)		941		948
Cedar Brakes II LLC
9.875%, 09/01/13 (C)		1,604		1,633
Complete Production Services
8.000%, 12/15/16		1,005		995
Continental Airlines
9.000%, 07/08/16		2,939		3,175
Continental Airlines, Ser 1999-2
7.256%, 03/15/20		2,805		2,777
Continental Airlines, Ser A
5.983%, 04/19/22 (D)		2,036		2,000
Delta Air Lines
6.821%, 08/10/22		1,601		1,601
6.619%, 03/18/11		197		197
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 (D)		4,475		4,676


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

General Electric
5.000%, 02/01/13 (D)	$	1,140	$	1,229
Hutchison Whampoa International 09
4.625%, 09/11/15 (C)		2,545		2,616
JetBlue Airways 2004-2 G-1 Pass Through Trust
0.625%, 08/15/16 (B)		3,449		2,862
Kansas City Southern de Mexico
12.500%, 04/01/16		800		946
L-3 Communications
5.875%, 01/15/15		300		305
L-3 Communications, Ser B
6.375%, 10/15/15 (D)		220		226
RailAmerica
9.250%, 07/01/17		1,134		1,209
Reynolds Group Issuer
7.750%, 10/15/16 (C)		900		925
Systems 2001 Asset Trust
6.664%, 09/15/13 (C)		991		1,047
Tyco International
6.875%, 01/15/21		286		327
United Air Lines
9.750%, 01/15/17		640		674
United Parcel Service
4.500%, 01/15/13 (D)		2,190		2,341

				34,121


Information Technology — 0.2%
Adobe Systems
4.750%, 02/01/20		840		825
3.250%, 02/01/15		680		683
Cisco Systems
5.500%, 01/15/40		1,070		1,026
4.450%, 01/15/20		1,515		1,507
Freescale Semiconductor
10.125%, 12/15/16		60		53
Hewlett-Packard
4.750%, 06/02/14		127		137
National Semiconductor
6.600%, 06/15/17		220		239

				4,470


Materials — 0.9%
Alcoa
6.000%, 07/15/13 (D)		1,300		1,387
Ball
6.750%, 09/15/20		790		804
CodelCo
4.750%, 10/15/14 (C)		470		493
Dow Chemical
8.550%, 05/15/19		1,097		1,327
5.900%, 02/15/15		625		677
4.850%, 08/15/12		1,200		1,269


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Freeport-McMoRan Copper & Gold
8.375%, 04/01/17	$	4,790	$	5,329
PPG Industries
6.650%, 03/15/18		435		484
5.750%, 03/15/13		435		471
Rio Tinto Finance USA
9.000%, 05/01/19		843		1,082
6.500%, 07/15/18		3,480		3,917
5.875%, 07/15/13		953		1,048
Steel Dynamics
6.750%, 04/01/15		810		816
Teck Resources
10.750%, 05/15/19		180		221
10.250%, 05/15/16		90		107
Vale Overseas
8.250%, 01/17/34		195		229
6.875%, 11/21/36		1,300		1,345
6.875%, 11/10/39		1,015		1,052
Westlake Chemicals
6.625%, 01/15/16 (D)		391		381

				22,439


Sovereign — 0.7%
Hellenic Republic Government Bond
6.100%, 08/20/15		2,040		2,751
Province of Ontario Canada
4.100%, 06/16/14		1,881		2,010
2.950%, 02/05/15		6,080		6,096
Qatar Govt International Bond
6.400%, 01/20/40 (C)		635		663
4.000%, 01/20/15 (C)		420		428
Republic of Korea
7.125%, 04/16/19		788		923
RSHB Capital
6.299%, 05/15/17 (C)		700		726
Russian Foreign Bond - Eurobond
7.500%, 03/31/30		160		184
Societe Financement de l’Economie Francaise
2.875%, 09/22/14 (C)		1,120		1,127
South Africa Government International Bond
5.500%, 03/09/20		975		987
Tennessee Valley Authority
5.250%, 09/15/39		880		870
United Mexican States, Ser A MTN
7.500%, 04/08/33		176		210
6.750%, 09/27/34		968		1,065

				18,040


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Telecommunication Services — 2.0%
America Movil
6.125%, 03/30/40 (C)	$	660	$	645
5.625%, 11/15/17		440		465
5.000%, 10/16/19 (C)		989		979
5.000%, 03/30/20 (C)		1,055		1,040
3.625%, 03/30/15 (C)		820		823
AT&T
6.500%, 09/01/37		1,380		1,431
6.450%, 06/15/34		625		637
5.500%, 02/01/18		1,360		1,444
5.100%, 09/15/14 (D)		2,200		2,380
AT&T Mobility LLC
6.500%, 12/15/11		1,455		1,577
BellSouth
4.750%, 11/15/12 (D)		170		181
British Telecommunications
9.625%, 12/15/30		367		462
British Telecommunications PLC
8.625%, 12/15/10		1,250		1,320
Cellco Partnership
8.500%, 11/15/18		630		786
7.375%, 11/15/13		1,928		2,230
3.750%, 05/20/11		1,300		1,340
Cricket Communications
7.750%, 05/15/16 (D)		840		871
Deutsche Telekom International Finance
5.750%, 03/23/16		1,920		2,064
France Telecom
7.750%, 03/01/11		664		705
Frontier Communications
8.250%, 05/01/14		555		580
8.125%, 10/01/18		465		465
Intelsat
9.250%, 08/15/14		280		287
Intelsat Jackson Holdings
9.500%, 06/15/16		180		192
8.500%, 11/01/19 (C)		250		262
Koninklijke
8.000%, 10/01/10		650		673
New Cingular Wireless Services
8.125%, 05/01/12		1,595		1,800
Qwest
7.500%, 10/01/14		911		995
Rogers Communications
7.875%, 05/01/12		550		613
6.800%, 08/15/18		450		513
6.750%, 03/15/15		1,015		1,155
6.375%, 03/01/14		1,816		2,015
5.500%, 03/15/14		246		265
Sprint Capital
8.750%, 03/15/32		660		612
8.375%, 03/15/12		745		779
6.900%, 05/01/19		100		91


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Telecom Italia Capital
6.999%, 06/04/18 (D)	$	2,080	$	2,250
6.200%, 07/18/11		1,730		1,817
5.250%, 11/15/13		790		827
5.250%, 10/01/15		90		92
4.950%, 09/30/14		1,250		1,282
Telefonica Emisiones
5.984%, 06/20/11		840		883
Telefonica Europe
7.750%, 09/15/10		1,925		1,983
Verizon Communications
6.100%, 04/15/18		465		509
5.500%, 02/15/18		1,920		2,035
Verizon New Jersey, Ser A
7.850%, 11/15/29		1,135		1,235
5.875%, 01/17/12		2,175		2,317
Verizon New York, Ser A
6.875%, 04/01/12		660		719
Virgin Media Finance PLC
9.125%, 08/15/16		70		74

				48,700


Utilities — 2.1%
Aquila
11.875%, 07/01/12		2,535		2,950
Baltimore Gas & Electric
6.125%, 07/01/13		360		399
Calpine Construction Finance
8.000%, 06/01/16 (C)		975		997
Dominion Resources
8.875%, 01/15/19		2,255		2,845
4.750%, 12/15/10		935		961
DPL
6.875%, 09/01/11		1,323		1,415
Duke Energy
6.300%, 02/01/14		983		1,095
Duke Energy Carolinas
6.250%, 01/15/12		2,000		2,170
5.625%, 11/30/12		1,470		1,610
Edison Mission Energy
7.750%, 06/15/16		500		365
7.625%, 05/15/27		420		269
Enel Finance International
6.000%, 10/07/39 (C)		725		690
Energy Future Holdings
11.250%, 11/01/17		10,234		6,959
10.875%, 11/01/17		40		30
Exelon
5.625%, 06/15/35		2,720		2,526
Exelon Generation
6.250%, 10/01/39		315		319
5.200%, 10/01/19		305		308
FirstEnergy Solutions
6.800%, 08/15/39		315		308


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.050%, 08/15/21	$	1,310	$	1,312
4.800%, 02/15/15		365		374
FirstEnergy, Ser B
6.450%, 11/15/11		23		24
FirstEnergy, Ser C
7.375%, 11/15/31		2,995		3,099
Florida Power
6.400%, 06/15/38		240		261
KCP&L Greater Missouri Operations
8.270%, 11/15/21		2,700		2,809
Nevada Power, Ser A
8.250%, 06/01/11		1,935		2,076
Nisource Finance
6.800%, 01/15/19		2,261		2,458
NRG Energy
7.250%, 02/01/14		1,610		1,622
Oncor Electric Delivery
6.800%, 09/01/18		2,000		2,247
Pacific Gas & Electric
8.250%, 10/15/18		210		256
6.050%, 03/01/34		890		917
5.800%, 03/01/37		800		794
Progress Energy
6.850%, 04/15/12		601		656
Public Service of New Mexico
7.950%, 05/15/18		1,805		1,883
PVNGS II Funding
8.000%, 12/30/15		2,322		2,481
Sempra Energy
9.800%, 02/15/19		200		260
South Carolina Electric & Gas
6.500%, 11/01/18		215		244
Texas-New Mexico Power
9.500%, 04/01/19 (C)		2,880		3,509

				53,498

Total Corporate Obligations (Cost $777,060) ($ Thousands)				774,290


ASSET-BACKED SECURITIES — 6.9%

Automotive — 0.2%
Avis Budget Rental Car Funding AESOP
4.640%, 05/20/16 (C)		1,260		1,260
Harley-Davidson Motorcycle Trust, Cl A4
3.320%, 02/15/17		705		728
2.540%, 04/15/17		482		486
2.400%, 07/15/14		342		344
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
5.000%, 01/15/17		197		209
Hertz Vehicle Financing, Cl A2
5.290%, 03/25/16 (C)		1,570		1,639

				4,666


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Credit Cards — 1.0%
BA Credit Card Trust, Cl A2
0.250%, 06/17/13 (B)	$	733	$	731
BA Credit Card Trust, Cl A6
0.260%, 11/15/13 (B)		464		462
Bank of America Credit Card Trust, Ser 2008-A1, Cl A1
0.810%, 04/15/13 (B)		5,710		5,719
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14		760		791
Citibank Credit Card Issuance Trust, Cl A3
5.300%, 03/15/18		1,549		1,702
Discover Card Master Trust, Cl A1
1.530%, 12/15/14 (B)		912		921
Discover Card Master Trust, Cl A
1.530%, 02/17/15 (B)		5,840		5,944
Discover Card Master Trust
0.880%, 09/15/15 (B)		1,129		1,131
Discover Card Master Trust I, Cl A1
0.290%, 06/18/13 (B)		304		303
Discover Card Master Trust, Ser 2007-A2, Cl A2
0.597%, 06/15/15 (B)		6,403		6,362
Nordstrom Private Label Credit Card Master Note Trust, Cl A
0.290%, 05/15/15 (B) (C)		804		787

				24,853


Mortgage Related Securities — 1.2%
ABS Home Equity Loan Trust, Ser 2007-HE3, Cl A1
0.770%, 11/25/31 (B)		378		288
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2
0.499%, 04/25/28 (B)		84		59
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.486%, 03/25/30 (B)		3,447		959
Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2
3.232%, 08/15/33 (B)		157		55
Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2
8.280%, 08/25/30		4,380		4,039
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1
0.346%, 03/25/37 (B)		3,109		2,786
BNC Mortgage Loan Trust, Ser 2007-1, Cl M1
0.469%, 03/25/37 (B)		6,300		80


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Centex Home Equity, Ser 2006-A, Cl AV4
0.479%, 06/25/36 (B)	$	4,917	$	2,535
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.286%, 12/25/36 (B)		275		256
Conseco Finance, Ser 2001-D, Cl A5
6.190%, 11/15/32 (B)		1,195		1,203
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9
7.050%, 03/15/28		7		7
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		11		10
Countrywide Asset-Backed Certificates, Ser 2007-S2, Cl A2
5.649%, 05/25/37 (B)		1,938		977
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.716%, 05/25/39 (B) (C)		1,533		1,159
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.286%, 01/25/37 (B)		118		115
Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2
3.246%, 04/25/33 (B)		79		31
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1
0.296%, 12/25/36 (B)		110		107
Nationstar Home Equity Loan Trust, Ser 2007-C, Cl 2AV2
0.359%, 06/25/37 (B)		5,500		3,934
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.846%, 01/25/32 (B)		349		284
Option One Mortgage Loan Trust, Ser 2007-14, Cl 2A3
0.386%, 01/25/37 (B)		9,500		3,646
Option One Mortgage Loan Trust, Ser 2007-6, Cl 2A4
0.479%, 07/25/37 (B)		4,574		1,872
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25		1,308		1,106
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3
0.389%, 01/25/37 (B)		6,450		2,625
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A1
0.326%, 06/25/37 (B)		2,081		1,755
Terwin Mortgage Trust, Ser 2005-9HG3, Cl A1
4.000%, 08/25/35 (B) (C)		491		458


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Truman Capital Mortgage Loan Trust, Ser 2006-1, Cl A
0.489%, 03/25/36 (B) (C)	$	437	$	271
Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8B
5.000%, 05/25/34 (B) (C)		311		79

				30,696


Other Asset-Backed Securities — 4.5%
Bank America Manufactured Housing Contract Trust, Ser 1997-1, Cl M
6.800%, 01/10/28		3,310		3,695
Carrington Mortgage Loan Trust, Ser 2007-RFC1, Cl A1
0.279%, 07/27/09 (B)		2,623		2,339
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2002-1, Cl 2A2
0.746%, 03/25/32 (B)		1,364		875
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5
6.046%, 03/25/37		1,970		1,743
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (B)		977		918
Conseco Finance Securitizations, Ser 2000-4, Cl A6
8.310%, 05/01/32 (B)		1,206		908
Countrywide Asset-Backed Certificates, Cl 2A2
1.029%, 10/25/47 (B)		5,313		3,744
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.846%, 06/25/33 (B)		38		32
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3
5.711%, 05/25/36 (B)		6,450		2,239
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.706%, 10/25/35 (B)		5,150		4,983
Countrywide Asset-Backed Certificates, Ser 2006-10, Cl MV1
0.489%, 09/25/46 (B)		10,450		779
Countrywide Home Equity Loan Trust, Cl 2A1B
0.382%, 11/15/36 (B)		276		200
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2
0.530%, 02/15/34 (B)		1,069		492
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A
0.470%, 12/15/35 (B)		1,920		662


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A
0.782%, 11/15/28 (B)	$	10,632	$	7,831
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		648		652
Credit-Based Asset Servicing and Securitization, Ser 2007-CB4, Cl A1A
0.336%, 04/25/37 (B)		1,753		1,474
Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1
0.711%, 08/15/25 (B) (C)		3,449		1,604
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF10, Cl A4
0.549%, 11/25/35 (B)		5,965		4,786
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FFA, Cl A3
0.366%, 09/25/26 (B)		4,333		658
First Horizon ABS Trust, Ser 2004-HE2, Cl A
0.466%, 02/25/34 (B)		1,326		720
Ford Credit Floorplan Master Owner Trust
1.880%, 12/15/14 (B) (C)		898		902
Ford Credit Floorplan Master Owner Trust, Cl A1
4.200%, 02/15/17 (C)		4,334		4,345
GE Seaco Finance Srl, Cl A
0.480%, 11/17/20 (B) (C)		1,544		1,359
Green Tree Financial, Ser 1993-4, Cl A5
7.050%, 01/15/19		229		230
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		709		719
GSAMP Trust, Cl A
0.529%, 05/25/36 (B) (C)		643		445
GSAMP Trust, Ser 2003-SEA, Cl A1
0.646%, 02/25/33 (B)		2,906		1,794
HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3
0.536%, 11/25/35 (B)		4,905		3,473
Lehman XS Trust, Ser 2005-5N, Cl 1A1
0.546%, 11/25/35 (B)		4,209		2,733
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.576%, 05/25/46 (B)		5,569		918
Lehman XS Trust, Ser 2007-1, Cl WF1
7.000%, 01/25/37		2,309		1,100


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Lehman XS Trust, Ser 2007-9, Cl 1A1
0.349%, 05/25/37 (B)	$	7,552	$	4,157
Master Specialized Loan Trust, Ser 2007-2, Cl A
0.579%, 05/25/37 (B) (C)		7,851		4,632
Merrill Lynch Mortgage Investors, Ser 2005-SL3, Cl A1
0.459%, 07/25/36 (B)		225		205
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D
5.895%, 03/25/37		4,963		2,084
Merrill Lynch Mortgage Investors, Ser 2007-MLN1, Cl M1
0.629%, 03/25/37 (B)		3,010		22
Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1
0.529%, 02/25/37 (B)		6,088		197
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38		3,370		3,047
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A
0.436%, 07/25/17 (B)		541		258
N, Cl A
1.980%, 01/15/15 (B) (C)		4,540		4,563
Nelnet Student Loan Trust, Ser 2008-4, Cl A4
1.729%, 04/25/24 (B)		2,740		2,880
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1
1.341%, 12/25/33 (B)		188		134
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII
0.909%, 03/25/33 (B)		58		37
Saco I, Ser 2005-9, Cl A1
0.496%, 12/25/35 (B)		796		177
Saco I, Ser 2005-WM3, Cl A1
0.766%, 09/25/35 (B)		833		236
Saco I, Ser 2006-6, Cl A1
0.376%, 06/25/36 (B)		2,335		429
SLC Student Loan Trust, Cl A4A
1.857%, 12/15/32 (B)		4,761		5,007
SLC Student Loan Trust, Ser 2006-2, Cl B
0.484%, 12/15/39 (B)		5,250		3,917
SLM Student Loan Trust, Cl A4
1.949%, 07/25/23 (B)		4,617		4,881
0.477%, 12/15/17 (B)		203		203
0.457%, 12/17/18 (B)		175		174
SLM Student Loan Trust, Cl A4L
0.407%, 09/17/18 (B)		224		222
SLM Student Loan Trust, Ser 2006-9, Cl B
0.479%, 01/25/41 (B)		4,000		3,027


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

SLM Student Loan Trust, Ser 2006-C, Cl C
0.644%, 12/15/39 (B)	$	4,000	$	372
SLM Student Loan Trust, Ser 2008-8, Cl A4
1.899%, 07/25/22 (B)		724		760
Small Business Administration, Ser 2003-P10A, Cl 1
4.524%, 02/01/13		769		800
Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2
3.229%, 06/25/33 (B)		94		62
Structured Asset Securities, Ser 2007-BC2, Cl A2
0.336%, 03/25/37 (B)		3,311		3,124
Structured Asset Securities, Ser 2007-BC4, Cl A3
0.479%, 11/25/37 (B)		3,868		3,596
Structured Asset Securities, Ser 2007-TC1, Cl A
0.529%, 04/25/31 (B) (C)		411		292
Swift Master Auto Receivables Trust, Ser 2007-1, Cl A
0.330%, 06/15/12 (B)		733		732
Triton Container Finance LLC, Ser 2006-1A, Cl N
0.416%, 11/26/21 (B) (C)		1,733		1,407

				110,986

Total Asset-Backed Securities (Cost $241,388) ($ Thousands)				171,201


LOAN PARTICIPATIONS — 1.0%
Allison Transmission
3.010%, 08/07/14		159		152
3.000%, 08/07/14		705		671
2.980%, 08/07/14		79		75
Aramark
2.126%, 01/26/14		416		407
0.088%, 01/26/14		29		28
Charter, Term B Loan
2.230%, 03/15/14		1,470		1,417
Chrysler Financial, Term B Loan
4.230%, 08/03/12		363		362
CMP Susquehanna
2.250%, 05/05/13		931		785
DAE Aviation, Tranche B-1
4.000%, 07/31/14		287		270
DAE Aviation, Tranche B-2
4.000%, 09/27/14		280		264
Enterprise GP Holdings
2.500%, 11/10/14		588		579
2.480%, 11/10/14		392		386


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

First Data, Term Loan B-2
3.032%, 09/24/14	$	3,559	$	3,145
3.001%, 09/24/14		187		165
Harrah’s Operating, Term Loan B-2
2.249%, 01/28/15		605		521
HCR Healthcare, Initial Term Loan
2.729%, 12/22/14		968		937
IASIS, Delayed Draw
2.229%, 03/15/14		236		226
IASIS, Sythentic LOC
2.100%, 03/15/14		64		61
IASIS, Term B Loan
2.229%, 03/15/14		681		654
Iconix, Term B Loan
2.480%, 04/30/13		628		618
Insight Midwest
2.250%, 04/07/14		675		654
Las Vegas Sands, Delayed Draw
2.010%, 05/17/14		362		330
Las Vegas Sands, Term B Loan
2.010%, 05/17/14		1,596		1,458
Lodgenet Entertainment, Term B Loan
2.260%, 04/04/14		797		749
Petco, Term B Loan
2.501%, 10/26/13		432		424
2.479%, 10/26/13		546		535
Regal Cinemas
4.001%, 10/27/13		382		383
Sunguard
3.874%, 02/28/16		1,094		1,084
3.864%, 02/28/16		86		85
Supermedia
11.000%, 12/31/15		389		366
Telesat Canada, U.S. Term I Loan
3.240%, 10/31/14		1,047		1,030
Telesat Canada, U.S. Term II Loan
3.240%, 10/31/14		90		89
Texas Competitive, Term Loan B-2
3.790%, 10/10/14		20		16
3.729%, 10/10/14		1,935		1,588
Tribune
0.000%, 06/04/10 (E)		366		228
United Air Lines, Tranche B
2.250%, 02/01/14		696		602
Univision Communications
2.501%, 09/29/14		2,500		2,225
UPC Financing Partnership
3.930%, 12/30/16		352		346
2.180%, 12/31/14		648		630

Total Loan Participations (Cost $26,138) ($ Thousands)				24,545


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8%
FHLB
1.500%, 01/16/13	$	1,050	$	1,048
FICO STRIPS, PO
0.000%, 02/08/18 to 09/26/19 (A)		11,780		8,121
FNMA
7.125%, 01/15/30		2,100		2,639
6.250%, 05/15/29		2,110		2,384
5.250%, 08/01/12		1,860		2,003
0.180%, 08/23/10 (A)		1,800		1,799
0.000%, 10/09/19 (A)		1,520		889

Total U.S. Government Agency Obligations (Cost $18,683) ($ Thousands)				18,883


MUNICIPAL BONDS — 0.4%
County of Clark Nevada, Ser C-BUILD, RB
6.820%, 07/01/45		790		811
Los Angeles Unified School District, GO
6.758%, 07/01/34		790		817
Municipal Electric Authority of Georgia, RB
6.655%, 04/01/57		320		318
6.637%, 04/01/57		570		565
North Texas Tollway Authority, RB
6.718%, 01/01/49		420		441
State of California, GO
7.625%, 03/01/40		515		536
7.550%, 04/01/39		1,605		1,659
7.300%, 10/01/39		5,645		5,665

Total Municipal Bonds (Cost $10,749) ($ Thousands)				10,812


PREFERRED STOCK — 0.1%
Citigroup Capital XII
8.500% 03/30/40* (B)		53,075		1,362
GMAC (C)		379		289

Total Preferred Stock (Cost $1,327) ($ Thousands)				1,651

	Number of Warrants

WARRANT — 0.0%
Semgroup Warrants, Expires 11/30/14 *		1		10

Total Warrant (Cost $—) ($ Thousands)				10


Description	Shares/Contracts/ Face Amount ($ Thousands)		Market Value ($ Thousands)


COMMON STOCK — 0.0%
SemGroup, Cl A*		1,294	$	37
SuperMedia*		1,802		74

Total Common Stock (Cost $99) ($ Thousands)				111


PURCHASED OPTIONS — 0.0%
June 2010 U.S. 10 Year Treasury Note Call, Expires 05/24/10 Strike Price $119.00*		24		4
May 2010 U.S. 10 Year Treasury Note Call, Expires 04/26/10 Strike Price $120.00*		130		10
June 2010 U.S. 10 Year Treasury Note Call, Expires 05/24/10 Strike Price $121.00*		288		50

Total Purchased Options (Cost $177) ($ Thousands)				64


CASH EQUIVALENT — 1.2%
Evergreen Institutional Money Market Fund, 0.010%**		11,784,637		11,784
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**†		18,311,817		18,312

Total Cash Equivalent (Cost $30,096) ($ Thousands)				30,096


COMMERCIAL PAPER — 0.5%
Lloyds TSB Bank
0.210%, 04/26/10	$	12,340		12,338

Total Commercial Paper (Cost $12,338) ($ Thousands)				12,338


U.S. TREASURY OBLIGATIONS — 14.8%
U.S. Treasury Bills
0.132%, 04/15/10 (A)		12,620		12,619
0.081%, 05/13/10 (A)		1,475		1,475
U.S. Treasury Bond
8.875%, 02/15/19		1,595		2,226
8.000%, 11/15/21 (D)		9,935		13,536
7.125%, 02/15/23 (D)		624		804
5.375%, 02/15/31 (D)		10,496		11,611
4.625%, 02/15/40 (D)		7,250		7,146
4.610%, 02/15/25 (A)		11,400		5,676
4.500%, 02/15/36 to 08/15/39 (D)		14,305		13,834
4.375%, 11/15/39 (D)		12,452		11,775
4.250%, 05/15/39 (D)		8,052		7,461
3.500%, 02/15/39 (D)		25,833		20,905


Description	Face Amount ($ Thousands)/ Shares/Contracts			Market Value ($ Thousands)
U.S. Treasury Bond TIPS
3.875%, 04/15/29 (D)	$	6,980		$	11,677
3.625%, 04/15/28 (D)		5,570			9,098

2.375%, 01/15/25 to 01/15/27 (D)		15,863			18,413
2.125%, 02/15/40		1,090			1,083
2.000%, 01/15/16 to 01/15/26 (D)		5,341			6,156
1.750%, 01/15/28 (D)		12,937			12,667
U.S. Treasury Note
3.625%, 08/15/19 to 02/15/20 (D)		32,020			31,490
3.375%, 11/15/19 (D)		31,125			30,033
3.125%, 01/31/17 (D)		8,390			8,330
2.750%, 11/30/16 to 02/15/19 (D)		16,577			15,409
2.500%, 03/31/15		19,898			19,842
2.375%, 02/28/15 (D)		69,350			68,874
1.375%, 03/15/13 (D)		8,562			8,512
1.000%, 03/31/12		9,623			9,618
U.S. Treasury STRIPS
4.712%, 11/15/27 (A)		16,990			7,301

Total U.S. Treasury Obligations (Cost $366,274) ($ Thousands)					367,571


AFFILIATED PARTNERSHIP — 8.5%
SEI Liquidity Fund, L.P., 0.210%(F)**†		213,329,537			209,068

Total Affiliated Partnership (Cost $213,330) ($ Thousands)					209,068

Total Investments — 111.6% (Cost $2,839,907) ($ Thousands)				$	2,763,155


WRITTEN OPTIONS — 0.0%
June 2010 Euro$ Future Call, Expires 06/15/10, Strike Price $99.38		(33	)		(22	)
May 2010 U.S.$ Future Call, Expires 04/26/10, Strike Price $118.50		(193	)		(15	)
September 2010 Euro$ Future Call, Expires 09/14/10, Strike Price $99.25		(39	)		(27	)

Total Written Options (Premiums Received $(95)) ($ Thousands)					(64	)


Description	Notional Amount (Thousands)		Market Value ($ Thousands)


WRITTEN SWAPTIONS — (0.1)%
U.S. Swaption Call, Deutsche Bank*	(18,270	)	$	(730	)
U.S. Swaption Put, Deutsche Bank*	(18,270	)		(589	)

Total Written Swaptions (Premiums Received $(1,595)) ($ Thousands)				(1,319	)

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$	(17	)	Dec-2010	$	(164	)
90-Day Euro$	(17	)	Jun-2011		(137	)
90-Day Euro$	(17	)	Mar-2011		(151	)
90-Day Euro$	(17	)	Sep-2010		(36	)
Euro-Bund	(72	)	Jun-2010		(66	)
U.S. 10-Year Treasury Note	468		Jun-2010		94
U.S. 2-Year Treasury Note	47		Jul-2010		(3	)
U.S. 5-Year Treasury Note	1,427		Jul-2010		(274	)
U.S. Long Treasury Bond	134		Jun-2010		35
U.S. Ultra Long Treasury Bond	53		Jul-2010		1

				$	(701	)

A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2010, is as follows:


Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation ($ Thousands)
5/18/10	EUR	8,677	USD	11,855	$	116

A summary of outstanding swap agreements held by the Fund at March 31, 2010, is as follows (see Note 2 in Notes to Financial Statements):

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	1,135,024	$	7,491	$	1,142,515
Corporate Obligations		—		771,115		3,175		774,290
U.S. Treasury Obligations		—		367,571		—		367,571
Asset-Backed Securities		—		171,201		—		171,201
U.S. Government Agency Obligations		—		18,883		—		18,883
Municipal Bonds		—		10,812		—		10,812
Preferred Stock		1,362		289		—		1,651
Warrant		—		10		—		10
Common Stock		111		—		—		111
Purchased Options		64		—		—		64
Cash Equivalents		30,096		—		—		30,096
Loan Participations		—		24,545		—		24,545
Commercial Paper		—		12,338		—		12,338
Affiliated Partnership		—		209,068		—		209,068

Total Investments in Securities	$	31,633	$	2,720,856	$	10,666	$	2,763,155


Other Financial Instruments	Level 1			Level 2			Level 3			Total
Written Options	$	(64	)	$	—		$	—		$	(64	)
Written Swaptions		—			—			(1,319	)		(1,319	)
Futures Contracts*		(701	)		—			—			(701	)
Forwards*		—			116			—			116
Credit Default Swaps*		—			(9,335	)		—			(9,335	)
Interest Rate Swaps*		—			(1,021	)		—			(1,021	)

Total Other Financial Instruments	$	(765	)	$	(10,240	)	$	(1,319	)	$	(12,324	)

Futures contracts, forwards and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Corporate Obligations			Mortgage-Backed Securities		Written Swaptions
Beginning balance as of October 1, 2009	$	3,150		$	4,779	$	(2,359	)
Accrued discounts/premiums		—			43		—
Realized gain/(loss)		—			143		296
Change in unrealized appreciation/(depreciation)		85			800		164
Net purchases/sales		(60	)		1,726		580
Net transfer in and/or out of Level 3		—			—		—

Ending balance as of March 31, 2010	$	3,175		$	7,491	$	(1,319	)

Changes in unrealized gains (losses) included in earnings related to securities held at reporting date	$	85		$	480	$	279

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 49.0%

Agency Mortgage-Backed Obligations — 37.2%
FHLB
0.750%, 10/05/10	$	4,040	$	4,048
FHLB CMO, Cl 1
5.300%, 06/15/12		280		296
FHLMC
11.000%, 02/17/21		650		716
10.000%, 03/17/26 to 10/01/30		1,794		2,081
7.500%, 01/01/32 to 09/01/38		2,348		2,630
6.500%, 10/01/31 to 09/01/38		4,007		4,381
6.000%, 08/01/15 to 09/01/38		6,655		7,171
5.500%, 01/01/18 to 03/01/38		8,671		9,226
5.000%, 03/01/34 to 02/01/39		10,770		11,158
4.500%, 04/01/35 to 04/01/39		4,029		4,046
4.000%, 10/01/33		731		711
1.250%, 01/26/12		2,940		2,937
0.374%, 02/03/12 (B)		6,485		6,491
0.000%, 05/04/10 to 05/10/10 (C)		9,060		9,060
FHLMC ARM (B)
6.466%, 02/01/37		634		675
6.367%, 10/01/36		2,020		2,132
6.365%, 10/01/37		816		872
6.349%, 12/01/36		816		866
6.302%, 10/01/36		740		782
6.218%, 08/01/37		134		142
6.170%, 12/01/36		986		1,045
6.141%, 06/01/37		85		91
6.084%, 04/01/37		391		419
6.059%, 11/01/36		154		164
6.054%, 10/01/37		259		274
6.012%, 04/01/37		218		232


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.992%, 04/01/37	$	407	$	431
5.972%, 05/01/37		624		663
5.952%, 01/01/37		1,123		1,184
5.933%, 03/01/37		745		790
5.924%, 11/01/36		1,179		1,250
5.915%, 03/01/37		51		54
5.832%, 04/01/37		245		260
5.823%, 05/01/37		991		1,048
5.818%, 06/01/37		635		675
5.803%, 11/01/36 to 05/01/37		1,091		1,158
5.717%, 03/01/36		165		176
5.688%, 03/01/36		171		182
5.650%, 10/01/38		174		185
5.627%, 03/01/36		1,229		1,287
5.423%, 05/01/38		524		553
FHLMC CMO, Cl BS
16.733%, 02/15/40 (B)		100		102
FHLMC CMO, Cl SC
8.702%, 11/15/33 (B)		81		68
FHLMC CMO, Cl OG
5.000%, 06/15/34		1,826		1,924
FHLMC CMO, Cl LZ
6.000%, 06/15/38		222		235
FHLMC CMO, Cl YT
0.000%, 09/15/34 (B)		7		7
FHLMC CMO, Cl XP
6.000%, 04/15/36		312		338
FHLMC CMO, Cl VG
6.000%, 11/15/23		300		328
FHLMC CMO, Cl 4A
7.500%, 09/25/43		780		874
FHLMC CMO, Cl NB
5.500%, 07/15/33		1,007		1,074
FHLMC CMO, Cl SA
14.428%, 06/15/33 (B)		375		403
FHLMC CMO, Cl 1A2
7.000%, 07/25/43 to 03/25/44		841		946
FHLMC CMO, PO
6.360%, 09/15/36 (B)		1,174		129
6.220%, 11/15/37 (B)		1,224		119
5.500%, 07/15/37		443		86
0.000%, 03/15/20 to 04/15/37		1,858		1,524
FHLMC CMO, Cl 2A
6.500%, 02/25/43		163		179
4.831%, 10/25/37 (B)		400		405
FHLMC CMO, Cl LK
0.600%, 10/15/34 (B)		531		528
FHLMC CMO, Cl QS
19.530%, 07/15/35 (B)		380		439
FHLMC CMO, Cl HC
6.500%, 02/15/28		283		300
FHLMC CMO, Cl HP
21.080%, 05/15/35 (B)		132		141
FHLMC CMO, Cl MC
4.500%, 10/15/36		27		26


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Cl SX
15.954%, 10/15/33 (B)	$	85	$	86
FHLMC CMO, Cl SJ
8.805%, 10/15/33 (B)		351		301
FHLMC CMO, Cl QO
4.500%, 03/15/18		300		317
FHLMC CMO, Cl 1A
6.500%, 09/25/43 (B)		238		259
FHLMC CMO, Cl SE
16.875%, 02/15/38 (B)		123		140
9.219%, 12/15/28 (B)		191		196
FHLMC CMO, Cl SV
8.655%, 11/15/33 (B)		184		164
FHLMC CMO, Cl GK
23.715%, 06/15/35 (B)		141		146
FHLMC CMO, Cl PV
6.250%, 10/15/23		1,711		1,835
FHLMC CMO, Cl FA
0.460%, 02/15/19 (B)		4,398		4,414
FHLMC CMO, Cl PD
5.000%, 04/15/33		114		120
FHLMC CMO, Cl MA
5.000%, 02/15/30		3,365		3,598
FHLMC CMO, Cl CI
5.000%, 01/15/34		2,510		2,662
FHLMC CMO, Cl A5
7.500%, 02/25/42		979		1,117
FHLMC CMO, Cl PE
5.000%, 04/15/37		397		418
FHLMC CMO, Cl ZM
6.500%, 06/15/32		517		566
FHLMC CMO, Cl ZA
6.500%, 04/15/32		656		723
FHLMC CMO, Cl D
6.500%, 08/15/28		611		659
FHLMC CMO, Cl 3A
7.000%, 02/25/43		527		593
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35		1,264		276
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23		1,326		1,419
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28		866		919
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32		823		897
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17		39		42
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18		173		186
FHLMC CMO, Ser 2590, Cl BY
5.000%, 03/15/18		71		76
FHLMC CMO, Ser 2676, Cl CY
4.000%, 09/15/18		202		210
FHLMC CMO, Ser 2690, Cl TV
4.500%, 11/15/25		147		151


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 2694, Cl QG
4.500%, 01/15/29	$	46	$	48
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29		45		45
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34		1,080		1,096
FHLMC CMO, Ser 2765, Cl CT
4.000%, 03/15/19		117		120
FHLMC CMO, Ser 2790, Cl TN
4.000%, 05/15/24		308		310
FHLMC CMO, Ser 2843, Cl BC
5.000%, 08/15/19		261		280
FHLMC CMO, Ser 2875, Cl HB
4.000%, 10/15/19		45		45
FHLMC CMO, Ser 2945, Cl SA
11.880%, 03/15/20 (B)		163		177
FHLMC CMO, Ser 2985, Cl JR
4.500%, 06/15/25		383		398
FHLMC CMO, Ser 3028, Cl PG
5.500%, 09/15/35		187		202
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35		78		84
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22		262		272
FHLMC CMO, Ser 3465, Cl HA
4.000%, 07/15/17		277		289
FHLMC, Ser K003, Cl AAB
4.768%, 05/25/18		342		362
FHLMC-GNMA CMO, Cl L
6.250%, 10/25/23		554		585
FHLMC TBA
5.000%, 05/14/33		1,000		1,028
FNMA
7.500%, 10/01/37 to 04/01/39		2,354		2,628
7.000%, 04/01/32 to 01/01/39		2,360		2,619
6.500%, 05/01/27 to 06/01/36		2,421		2,654
6.000%, 03/01/19 to 04/01/36		10,509		11,373
5.500%, 11/01/17 to 09/01/36		30,946		33,208
5.000%, 01/01/20 to 02/01/39		6,096		6,325
4.500%, 06/01/35		1,148		1,160
FNMA ARM (B)
6.590%, 09/01/36		742		779
6.348%, 09/01/36		1,255		1,319
6.308%, 09/01/37		258		271
6.284%, 09/01/37		35		37
6.280%, 10/01/36		144		152
6.273%, 09/01/37		110		118
6.248%, 07/01/37		1,044		1,098
6.229%, 02/01/37		1,552		1,630
6.227%, 11/01/37		787		821
6.202%, 06/01/36		1,168		1,220
6.200%, 08/01/36		307		324
6.124%, 12/01/36		132		139
6.103%, 09/01/37		642		675
6.080%, 09/01/37		96		101
6.047%, 05/01/36		1,148		1,200


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.028%, 01/01/37	$	169	$	179
6.021%, 07/01/37		487		510
6.014%, 10/01/37		101		106
6.013%, 10/01/37		318		335
6.012%, 11/01/37		157		165
5.991%, 04/01/36		898		940
5.985%, 10/01/37		119		125
5.977%, 04/01/37		179		189
5.976%, 07/01/37		360		378
5.961%, 07/01/37		171		180
5.957%, 01/01/37		215		227
5.936%, 07/01/37		317		333
5.930%, 07/01/37		316		333
5.928%, 10/01/37		426		448
5.926%, 03/01/37		114		121
5.922%, 04/01/37		459		480
5.913%, 04/01/37		259		271
5.910%, 11/01/36		487		512
5.904%, 09/01/37		155		163
5.900%, 12/01/36		668		702
5.896%, 02/01/37		82		87
5.886%, 03/01/37		149		156
5.882%, 12/01/37		712		750
5.879%, 05/01/37		147		154
5.878%, 02/01/37		143		150
5.876%, 10/01/37		230		242
5.869%, 03/01/37		399		419
5.868%, 04/01/37		342		358
5.817%, 11/01/37		271		285
5.814%, 03/01/37		335		351
5.808%, 08/01/37		429		450
5.747%, 09/01/36		414		434
5.718%, 05/01/37		189		199
5.686%, 01/01/23		293		311
5.668%, 02/01/39		473		496
5.666%, 11/01/36		587		615
5.661%, 05/01/37		127		134
5.643%, 09/01/37		218		230
5.615%, 11/01/37		957		1,005
5.606%, 01/01/37		405		424
5.588%, 12/01/36		1,004		1,050
5.571%, 05/01/37		230		242
5.570%, 03/01/36		485		512
5.500%, 07/01/37		1,164		1,220
5.494%, 05/01/38		1,164		1,233
5.479%, 09/01/37		178		187
FNMA CMO, Cl PE
5.000%, 03/25/34		3,000		3,188
FNMA CMO, Cl UE
5.000%, 01/25/34		397		418
FNMA CMO, Cl JT
6.000%, 06/25/36		47		51
FNMA CMO, Cl MB
4.000%, 12/25/39		800		838


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Cl BA
7.000%, 03/25/45	$	296	$	331
5.250%, 11/25/33		331		335
5.000%, 01/25/24		250		263
FNMA CMO, Cl ES
16.260%, 10/25/35 (B)		272		314
FNMA CMO, Cl A1
3.305%, 06/25/19		146		148
FNMA CMO, Cl A2
4.450%, 09/25/19		228		232
4.287%, 07/25/19		651		655
0.306%, 12/25/36 (B)		538		531
FNMA CMO, Cl PD
6.000%, 10/25/36		1,000		1,076
FNMA CMO, Cl A6
0.447%, 10/27/37 (B)		500		499
FNMA CMO, Cl FA
0.646%, 06/25/37 (B)		664		662
FNMA CMO, Cl XT
4.500%, 12/25/17		907		931
FNMA CMO, Cl WA
6.428%, 03/25/40		248		268
6.286%, 12/25/39 (B)		489		519
6.133%, 02/25/40 (B)		246		268
FNMA CMO, Cl SM
17.198%, 09/25/24 (B)		568		674
FNMA CMO, Cl ZH
6.500%, 07/25/36		507		551
FNMA CMO, Cl VB
6.500%, 10/25/17		370		401
FNMA CMO, Cl BP
5.900%, 02/25/15		874		899
FNMA CMO, PO
6.854%, 02/25/40 (B)		1,000		151
6.677%, 01/25/38 (B)		1,028		63
6.204%, 10/25/37 to 12/25/37 (B)		1,776		197
6.000%, 10/25/33		1,000		1,077
5.934%, 12/25/39 (B)		1,474		101
5.754%, 02/25/38 (B)		1,511		174
5.654%, 10/25/39 (B)		851		73
5.000%, 07/25/39		665		107
0.642%, 10/25/16 (B)		2,164		23
0.000%, 10/25/31 to 04/25/36		2,068		1,821
FNMA CMO, Cl DP
5.000%, 06/25/19		1,000		1,057
FNMA CMO, Cl SB
16.260%, 08/25/35 (B)		401		459
FNMA CMO, Cl MA
5.500%, 11/25/29		139		145
FNMA CMO, Cl J
5.000%, 09/25/19		982		1,037
FNMA CMO, Cl BZ
6.500%, 08/25/36		127		137


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Cl SK
15.708%, 01/25/34 (B)	$	338	$	376
FNMA CMO, Cl US
23.664%, 11/25/35 (B)		1,101		1,397
FNMA CMO, Cl A3
4.001%, 01/25/19		680		673
FNMA CMO, Cl VD
6.500%, 05/25/17		732		787
FNMA CMO, Cl XB
5.000%, 03/25/38		933		958
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35		1,881		396
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		746		799
FNMA CMO, Ser 2001-81, Cl HE
6.500%, 01/25/32		3,907		4,234
FNMA CMO, Ser 2002-94, Cl HQ
4.500%, 01/25/18		219		231
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18		156		162
FNMA CMO, Ser 2003-125, Cl AY
4.000%, 12/25/18		49		51
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34		151		162
FNMA CMO, Ser 2004-80, Cl LE
4.000%, 11/25/19		936		956
FNMA CMO, Ser 2004-81, Cl KE
4.500%, 11/25/19		49		51
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		125		135
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22		336		346
FNMA CMO, Ser 2007-77, Cl MH
6.000%, 12/25/36		593		639
FNMA CMO, Ser 2008-35, Cl B
5.000%, 08/25/23		50		53
FNMA CMO, Ser 30, Cl MA
4.250%, 02/25/37		1,601		1,665
FNMA Grantor Trust CMO, Cl A2
7.500%, 12/25/41		527		591
7.000%, 07/25/42		530		589
FNMA Grantor Trust CMO, Cl A1
7.000%, 12/25/41		840		931
6.500%, 11/25/31		645		707
FNMA Grantor Trust CMO, Cl 1A3
7.000%, 02/25/44		509		572
FNMA TBA
5.500%, 04/30/22 to 06/12/37		1,900		1,958
5.000%, 06/01/38		19,500		19,969
4.500%, 04/14/33 to 05/01/38		14,200		14,198
FNMA Whole Loan CMO, Cl 2A
7.500%, 12/25/42		328		368
7.000%, 10/25/42		441		491


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA Whole Loan CMO, Cl 2A2
7.000%, 12/25/33 to 02/25/44	$	1,619	$	1,824
FNMA Whole Loan CMO, IO
7.854%, 06/25/42 (B)		646		115
FNMA Whole Loan CMO, Cl 1A3
7.500%, 12/25/45		455		519
FNMA Whole Loan CMO, Cl 1AF1
0.506%, 11/25/46 (B)		802		812
0.466%, 02/25/36 (B)		509		492
FNMA Whole Loan CMO, Cl 1A8
4.550%, 06/25/43		406		423
FNMA Whole Loan CMO, Cl 2AF
0.466%, 03/25/45 (B)		439		417
GNMA
7.500%, 10/15/37		984		1,076
7.000%, 09/15/31		140		157
6.500%, 12/15/32 to 12/15/35		2,297		2,494
4.500%, 11/15/39		3,931		3,982
GNMA ARM
4.500%, 02/20/34 (B)		743		769
3.500%, 05/20/36 (B)		865		890
2.750%, 12/20/33 (B)		920		932
GNMA CMO, Cl SX
16.804%, 02/20/34 (B)		37		39
GNMA CMO, Cl ST
7.000%, 09/20/34 (B)		260		267
GNMA CMO
7.470%, 04/16/38 (B)		515		64
7.360%, 09/20/38 (B)		885		115
6.500%, 03/20/39		696		78
6.320%, 11/16/33 (B)		805		107
6.310%, 11/20/37 (B)		528		45
6.290%, 12/20/37 (B)		713		60
6.170%, 11/16/39 (B)		1,374		121
6.160%, 12/20/38 (B)		1,744		160
6.060%, 03/20/39 (B)		1,882		185
6.000%, 12/20/38		436		61
5.960%, 03/20/37 to 06/20/38 (B)		3,143		296
5.800%, 02/20/39 (B)		862		78
5.710%, 06/20/39 (B)		1,029		82
5.590%, 02/20/38 (B)		1,116		91
0.430%, 04/16/37 (B)		672		667
0.000%, 01/17/33 to 11/16/37		1,481		1,189
GNMA CMO, Cl SV
8.760%, 04/20/34 (B)		481		480
GNMA CMO, Cl SB
7.407%, 03/17/33 (B)		423		399
GNMA CMO, Cl MN
5.500%, 09/20/39		500		511
GNMA CMO, Cl PB
6.000%, 12/20/35		400		426
GNMA CMO, Cl MV
6.000%, 04/20/20		1,899		2,065


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GNMA CMO, Cl Z
7.500%, 12/20/29	$	727	$	815
6.500%, 12/20/31		854		947
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33		1,033		1,042
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36		194		203
GNMA TBA
4.500%, 04/15/40 to 04/15/40		22,280		22,541
Vendee Mortgage Trust CMO, Cl ZB
7.250%, 02/15/23		1,116		1,239

				333,184


Non-Agency Mortgage-Backed Obligations — 11.8%
American General Mortgage Loan Trust, Cl A1
5.150%, 03/25/58 (B) (D)		300		300
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A
2.430%, 02/25/45 (B)		1,429		1,119
ASG Resecuritization Trust
5.800%, 05/24/36 (B) (D)		390		390
5.594%, 03/26/37 (B) (D)		1,276		1,237
Asset Securitization, Cl A2
7.776%, 10/13/26 (B)		293		309
Banc of America Alternative Loan Trust, Cl 2A4
5.000%, 09/25/18		165		166
Banc of America Alternative Loan Trust, Cl 1CB2
5.500%, 11/25/33		305		307
Banc of America Alternative Loan Trust, Cl 1A1
6.000%, 01/25/34		209		201
Banc of America Alternative Loan Trust, Cl 3A1
5.500%, 09/25/19		184		184
Banc of America Alternative Loan Trust, Cl 2A1
6.000%, 01/25/34		487		469
Banc of America Alternative Loan Trust, Cl 5A1
5.500%, 02/25/19		139		135
Banc of America Commercial Mortgage, Cl E
7.634%, 09/15/32 (B)		128		128
Banc of America Commercial Mortgage, Cl AM
4.727%, 07/10/43		150		134
Banc of America Commercial Mortgage, Cl A4
6.186%, 06/11/35		1,130		1,194
5.634%, 07/10/46		225		228
5.414%, 09/10/47		305		305


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.372%, 09/10/45 (B)	$	290	$	297
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35		145		153
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43		100		100
Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4
5.179%, 09/10/47 (B)		145		151
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/45 (B)		100		102
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (B)		160		157
Banc of America Funding, Cl 1A7
5.500%, 10/25/34		237		236
Banc of America Funding, Cl 1A1
5.052%, 12/20/34 (B)		178		170
Banc of America Mortgage Securities, Cl 1A23
4.500%, 04/25/34		229		230
Banc of America Mortgage Securities, Cl 4A1
4.750%, 06/25/19		264		263
Banc of America Mortgage Securities, Cl 3A1
5.000%, 04/25/19		172		173
Banc of America Mortgage Securities, Cl 2A1
0.796%, 05/25/18 (B)		253		240
0.696%, 08/25/18 (B)		107		105
BCAP Trust, Cl 17A1
5.750%, 06/26/37 (D)		445		440
BCAP Trust, Cl 11A1
5.250%, 05/26/37 (B) (D)		239		239
BCAP Trust
5.500%, 11/26/34 (D)		942		933
Bear Stearns Adjustable Rate Mortgage Trust, Cl A1
2.530%, 08/25/35 (B)		263		245
Bear Stearns Adjustable Rate Mortgage Trust, Cl 14A
5.173%, 05/25/34 (B)		230		231
Bear Stearns Commercial Mortgage Securities, Cl A2
6.460%, 10/15/36		796		847
5.286%, 06/11/41 (B)		212		220


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Bear Stearns Commercial Mortgage Securities, Cl A3
5.468%, 06/11/41 (B)	$	124	$	129
Bear Stearns Commercial Mortgage Securities
5.456%, 03/11/39 (B)		100		104
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		310		319
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33		96		100
Bear Stearns Commercial Mortgage Securities, Ser 2002-PBW1, Cl A2
4.720%, 11/11/35 (B)		178		186
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		253		265
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (B)		54		55
Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4
5.405%, 12/11/40 (B)		945		968
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.149%, 10/12/42 (B)		450		465
Chase Mortgage Finance, Cl 9A1
4.554%, 02/25/37 (B)		144		144
Chase Mortgage Finance
0.696%, 01/25/34 (B)		326		323
0.000%, 10/25/18		172		144
Chase Mortgage Finance, Cl 1A1
3.968%, 07/25/37 (B)		227		211
Chase Mortgage Finance, Cl 2A1
4.125%, 02/25/37 (B)		195		185
Citicorp Mortgage Securities, Cl 1A2
4.500%, 05/25/33		103		104
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (B)		691		747
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.020%, 12/10/49 (B)		2,630		2,585
Commercial Mortgage Pass Through Certificates, Cl A4
4.715%, 03/10/39		277		283
Commercial Mortgage Pass Through Certificates, Cl A5
5.314%, 07/10/37 (B)		249		261
Commercial Mortgage Pass Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (D)		274		289


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Countrywide Home Loan Mortgage Pass Through Trust, Cl A6
5.250%, 09/25/33	$	350	$	354
Countrywide Home Loan Mortgage Pass Through Trust
9.455%, 08/25/18 (B)		112		109
Countrywide Home Loan Mortgage Pass Through Trust, Cl 2A1
4.500%, 06/25/19		311		307
Credit Suisse First Boston Mortgage Securities, Cl 5A1
7.000%, 12/25/33		169		168
Credit Suisse Mortgage Capital Certificates, Cl 7A1
5.500%, 10/27/35 (D)		164		163
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		2,450		2,312
CS First Boston Mortgage Securities, Cl A4
5.100%, 08/15/38 (B)		220		224
5.014%, 02/15/38 (B)		322		329
CS First Boston Mortgage Securities, Cl A3
4.813%, 02/15/38		1,069		1,073
CS First Boston Mortgage Securities, Cl 8A1
6.000%, 11/25/18		223		218
CS First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3
6.133%, 04/15/37		81		86
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36		536		563
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1
4.485%, 11/15/36		10		11
CS First Boston Mortgage Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35		161		169
CS First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
3.124%, 10/25/33 (B)		1,407		1,175
CS First Boston Mortgage Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36		118		123
CS First Boston Mortgage Securities, Ser C2, Cl A4
4.832%, 04/15/37		205		204
CS First Boston Mortgage Securities, Ser CPN1, Cl A2
4.597%, 03/15/35		287		298


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48	$	1,300	$	1,241
Deutsche ALT-A Securities Alternate Loan Trust, Cl 2A1
5.601%, 02/25/20 (B)		151		149
FHLMC Multifamily Structured Pass Through Certificates, Cl A1
3.398%, 07/25/19		387		391
First Horizon Asset Securities, Cl 2A1
4.500%, 09/25/18		310		309
First Union National Bank Commercial Mortgage, Cl B
7.281%, 10/15/32 (B)		200		204
First Union National Bank Commercial Mortgage, Cl A2
6.141%, 02/12/34		154		162
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		178		183
GE Capital Assurance, Ser 2003-1, Cl A4
5.254%, 05/12/35 (B) (D)		1,187		1,252
GE Capital Commercial Mortgage, Cl A1
5.560%, 06/10/38		53		54
GE Capital Commercial Mortgage, Ser 2001-2, Cl A3
6.030%, 08/11/33		17		18
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		1,516		1,611
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2
4.996%, 12/10/37		2,000		2,097
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4
5.339%, 11/10/45 (B)		1,753		1,807
GMAC Commercial Mortgage Securities, Cl A4
5.301%, 08/10/38 (B)		252		260
GMAC Commercial Mortgage Securities, Cl B
6.790%, 04/15/34		78		82
GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 (B)		9		9
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.485%, 05/10/40 (B)		118		126
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		689		723


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GMAC Mortgage Loan Trust, Cl 1A1
5.000%, 01/25/20	$	270	$	271
GMAC Mortgage Loan Trust, Cl A7
6.500%, 01/25/35		359		375
5.000%, 11/25/33		343		300
GMAC Mortgage Loan Trust, Cl A4
5.000%, 10/25/33		257		245
4.098%, 10/19/33 (B)		344		327
Greenwich Capital Commercial Funding, Cl A6
5.135%, 06/10/36 (B)		171		180
Greenwich Capital Commercial Funding
5.190%, 04/10/37 (B)		247		259
Greenwich Capital Commercial Funding, Cl A2
5.381%, 03/10/39		425		437
Greenwich Capital Commercial Funding, Cl A4
5.444%, 03/10/39		1,500		1,459
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB
4.619%, 08/10/42		762		784
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (B)		1,232		1,238
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
5.883%, 07/10/38 (B)		3,013		3,071
GS Mortgage Securities II, Cl A2
5.506%, 04/10/38 (B)		626		638
5.479%, 11/10/39		545		561
4.319%, 10/10/28		330		333
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2
6.449%, 08/05/18 (B) (D)		717		766
GSR Mortgage Loan Trust, Cl 2A4
5.500%, 01/25/37		50		39
GSR Mortgage Loan Trust, Cl 2A3
6.000%, 09/25/34		173		156
GSR Mortgage Loan Trust, Cl 8A3
0.746%, 06/25/35 (B)		298		268
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
4.468%, 10/25/33 (B)		1,074		1,060
Homestar Mortgage Acceptance, Cl A1
0.696%, 10/25/34 (B)		2,108		1,332
Impac Secured Assets CMN Owner Trust, Cl A1
5.500%, 08/25/33		193		194
JPMorgan Chase Commercial Mortgage Securities, Cl A2S
5.305%, 01/15/49		1,272		1,265


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Chase Commercial Mortgage Securities, Cl A1
5.017%, 02/12/51	$	20	$	20
JPMorgan Chase Commercial Mortgage Securities, Cl A4
5.481%, 12/12/44 (B)		332		338
5.376%, 06/12/41 (B)		264		272
JPMorgan Chase Commercial Mortgage Securities, Cl A2
5.633%, 12/05/27 (D)		901		953
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl A3
6.429%, 04/15/35		1,170		1,217
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37		130		137
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4
4.879%, 01/12/38 (B)		353		367
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-PM1A, Cl A4
5.326%, 08/12/40 (B)		40		42
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/42 (B)		177		179
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		373		364
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4
5.716%, 02/15/51		480		453
5.440%, 06/12/47		1,200		1,173
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A2
5.747%, 02/12/49 (B)		93		96
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/51 (B)		2,350		2,297
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3
5.420%, 01/15/49		2,435		2,346


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Chase Commercial Mortgage Securities, Ser CIB4, Cl A3
6.162%, 05/12/34	$	404	$	430
JPMorgan Commercial Mortgage Finance, Cl C
7.753%, 08/15/32 (B)		150		150
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl A2
7.371%, 08/15/32 (B)		10		10
JPMorgan Mortgage Trust, Cl 4A1
4.278%, 07/25/34 (B)		116		115
4.054%, 08/25/34 (B)		804		764
JPMorgan Mortgage Trust, Cl 1A1
4.626%, 09/25/34 (B)		145		146
JPMorgan Mortgage Trust, Cl 6A1
3.993%, 08/25/34 (B)		449		393
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2
4.500%, 06/25/35 (B)		1,485		1,110
LB-UBS Commercial Mortgage Trust, Cl A4
5.883%, 06/15/38 (B)		627		659
5.372%, 09/15/39		538		547
4.563%, 09/15/26		129		133
4.166%, 05/15/32		86		88
LB-UBS Commercial Mortgage Trust
6.155%, 04/15/41 (B)		117		122
5.156%, 02/15/31		200		203
LB-UBS Commercial Mortgage Trust, Cl A5
4.628%, 10/15/29		101		103
LB-UBS Commercial Mortgage Trust, Cl AAB
5.403%, 02/15/40		68		69
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		334		355
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		179		188
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (B)		101		106
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		156		162
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A2
5.318%, 02/15/40		399		407
Master Adjustable Rate Mortgages Trust, Cl 3A6
3.097%, 11/21/34 (B)		572		567


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Master Alternative Loans Trust, Cl 2A1
6.000%, 12/25/33	$	258	$	251
Master Asset Securitization Trust, Cl 1A1
5.000%, 03/25/18		107		110
Master Resecuritization Trust, PO
0.000%, 05/28/35 (D)		209		121
Master Seasoned Securities Trust, Ser 2004-2, Cl A2
6.500%, 08/25/32		945		950
Master Asset Securitization Trust, Cl 3A18
5.500%, 04/25/33		196		198
Merrill Lynch, Cl A4
5.747%, 06/12/50 (B)		2,460		2,255
Merrill Lynch Mortgage Investors
3.401%, 07/25/33 (B)		78		77
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.261%, 02/25/34 (B)		1,192		1,129
Merrill Lynch Mortgage Trust, Cl A3A
4.949%, 07/12/38 (B)		171		173
Merrill Lynch Mortgage Trust
5.656%, 05/12/39 (B)		150		156
Merrill Lynch Mortgage Trust, Ser KEY1, Cl A4
5.236%, 11/12/35 (B)		852		886
Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3
5.172%, 12/12/49 (B)		1,400		1,355
MLCC Mortgage Investors, Cl A2
0.684%, 04/25/29 (B)		117		101
Morgan Stanley Capital I, Cl A2
4.690%, 06/13/41		106		107
4.070%, 05/15/40		75		77
Morgan Stanley Capital I, Cl A4
5.811%, 08/12/41 (B)		324		343
5.809%, 12/12/49		846		832
5.649%, 06/11/42 (B)		100		103
5.402%, 06/15/38 (B)		642		667
5.270%, 06/13/41 (B)		176		180
4.900%, 06/15/40		427		428
4.520%, 12/13/41		35		36
Morgan Stanley Capital I
5.385%, 03/12/44 (B)		554		575
5.168%, 01/14/42		81		85
Morgan Stanley Capital I, Cl A7
4.970%, 04/14/40		1,050		1,058
Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4
5.010%, 04/15/38		184		191


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Morgan Stanley Capital I, Ser 2003-T11, Cl A4
5.150%, 06/13/41	$	386	$	407
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/41		173		178
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		526		548
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42		328		334
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.184%, 11/14/42 (B)		227		238
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (B)		300		308
Morgan Stanley Dean Witter Capital I
6.510%, 04/15/34		104		110
Morgan Stanley Dean Witter Capital I, Cl A2
4.740%, 11/13/36		795		825
Morgan Stanley Dean Witter Capital I, Cl B
6.550%, 07/15/33		159		166
Morgan Stanley Dean Witter Capital I, Cl A4
5.740%, 12/15/35		71		75
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4
6.390%, 10/15/35		557		587
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		1,180		1,228
Prime Mortgage Trust, PO
0.000%, 02/25/34		78		52
Prudential Mortgage Capital Funding, Cl B
6.760%, 05/10/34		144		151
Residential Accredit Loans, Cl A4
5.500%, 05/25/34		274		195
Residential Accredit Loans, Cl A1
5.000%, 09/25/18		270		266
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		952		927
Residential Asset Securitization Trust, Cl A4
5.250%, 12/25/17		262		260
Residential Asset Securitization Trust, Cl A1
5.500%, 06/25/33		178		169


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.151%, 12/25/34 (B)	$	1,043	$	911
Salomon Brothers Mortgage Securities VII, Cl A
3.691%, 09/25/33 (B)		251		239
Salomon Brothers Mortgage Securities VII, Cl C
7.727%, 07/18/33 (B)		232		232
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36		179		185
Station Place Securitization Trust
1.746%, 01/25/40 (B) (D)		250		250
Structured Asset Securities, Cl 2A
4.997%, 12/25/33 (B)		188		186
Structured Asset Securities, Cl 1A1
5.500%, 10/25/33		317		307
5.146%, 11/25/33 (B)		168		169
Structured Asset Securities, Cl A4
5.540%, 12/25/33		400		388
Structured Asset Securities, Cl 3A2
2.698%, 07/25/33 (B)		382		368
Structured Asset Securities, Cl A3
0.746%, 06/25/33 (B)		273		249
TIAA Seasoned Commercial Mortgage Trust, Cl A3
6.072%, 08/15/39 (B)		1,000		1,082
US Bank, Ser 2007-1, Cl A
5.920%, 05/25/12		670		689
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4
6.287%, 04/15/34		341		363
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 (B)		193		197
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (D)		46		47
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		192		195
Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl A4
5.030%, 01/15/41		132		135
WaMu Mortgage Pass Through Certificates, Cl A
2.846%, 08/25/33 (B)		91		90
WaMu Mortgage Pass Through Certificates, Cl A7
2.842%, 08/25/33 (B)		202		191
2.824%, 10/25/33 (B)		348		310


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

WaMu Mortgage Pass Through Certificates, Cl 2A10
16.786%, 06/25/33 (B)	$	80	$	74
WaMu Mortgage Pass Through Certificates, Cl A2
4.243%, 06/25/34 (B)		212		198
WaMu Mortgage Pass Through Certificates, Cl 2A4
5.500%, 06/25/34		219		206
WaMu Mortgage Pass Through Certificates, Cl 21A1
4.500%, 12/25/18		216		218
WaMu Mortgage Pass Through Certificates, Cl 3A
7.500%, 07/25/34		746		721
WaMu Mortgage Pass Through Certificates, Cl A8
5.250%, 10/25/33		700		626
WaMu Mortgage Pass Through Certificates, Cl 1A6
2.829%, 09/25/33 (B)		324		317
WaMu Mortgage Pass Through Certificates, Cl A1
3.120%, 06/25/34 (B)		141		132
2.753%, 01/25/35 (B)		447		425
WaMu Mortgage Pass Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19		305		305
Wells Fargo Mortgage Backed Securities Trust, Cl A2
4.500%, 05/25/34 (B)		132		131
Wells Fargo Mortgage Backed Securities Trust, Cl 3A1
3.901%, 12/25/34 (B)		177		173
Wells Fargo Mortgage Backed Securities Trust, Cl 2A5
4.437%, 10/25/33 (B)		220		222
Wells Fargo Mortgage Backed Securities Trust, Cl A6
3.246%, 02/25/33 (B)		222		224
Wells Fargo Mortgage Backed Securities Trust, Cl 2A2
3.091%, 12/25/34 (B)		370		353
Wells Fargo Mortgage Backed Securities Trust, Cl 2A1
3.206%, 06/25/35 (B)		308		286
3.091%, 12/25/34 (B)		370		360
3.063%, 09/25/34 (B)		176		164
Wells Fargo Mortgage Backed Securities Trust, Cl 1A2
3.170%, 10/25/34 (B)		373		355
Wells Fargo Mortgage Backed Securities Trust, Cl A8
4.858%, 05/25/34 (B)		250		244


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Wells Fargo Mortgage Backed Securities Trust, Cl 1A1
4.750%, 12/25/18	$	561	$	569
4.472%, 11/25/33 (B)		330		332
3.365%, 07/25/34 (B)		308		286
3.172%, 10/25/34 (B)		187		182
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1
4.531%, 06/25/34 (B)		778		756

				105,518

Total Mortgage-Backed Securities (Cost $430,116) ($ Thousands)				438,702


CORPORATE OBLIGATIONS — 20.1%

Consumer Discretionary — 0.7%
British Sky Broadcasting Group
9.500%, 11/15/18 (D)		378		486
CBS
5.750%, 04/15/20		25		25
Comcast
6.400%, 03/01/40		335		341
5.850%, 11/15/15		465		510
5.150%, 03/01/20		490		494
Comcast Cable Communications
8.375%, 03/15/13		567		657
COX Communications
5.450%, 12/15/14		70		76
Daimler Finance LLC
7.300%, 01/15/12		170		185
6.500%, 11/15/13		80		89
Grupo Televisa
6.625%, 01/15/40		490		489
Historic TW
9.150%, 02/01/23		200		260
Lowe’s MTN
7.110%, 05/15/37		110		130
News America
7.300%, 04/30/28		100		107
7.250%, 05/18/18		50		58
Staples
9.750%, 01/15/14		80		97
TCI Communications
8.750%, 08/01/15		210		255
7.125%, 02/15/28		200		212
Thomson Reuters
5.950%, 07/15/13		278		307
4.700%, 10/15/19		75		75
Time Warner Cable
8.250%, 04/01/19		200		242
7.300%, 07/01/38 (E)		110		122
6.750%, 07/01/18		400		447


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Viacom
6.250%, 04/30/16	$	100	$	111

				5,775


Consumer Staples — 0.8%
Altria Group
10.200%, 02/06/39		170		228
9.700%, 11/10/18		800		985
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (D)		274		326
7.200%, 01/15/14 (D) (E)		120		137
4.125%, 01/15/15		895		921
Bunge Finance
8.500%, 06/15/19		120		139
Cargill
7.350%, 03/06/19 (D)		250		293
Diageo Capital
7.375%, 01/15/14		90		105
Diageo Finance BV
5.500%, 04/01/13		90		98
General Mills
5.250%, 08/15/13		90		98
Kraft Foods
6.500%, 02/09/40		565		586
6.125%, 08/23/18		225		245
5.375%, 02/10/20		1,876		1,907
PepsiCo
7.900%, 11/01/18		50		62
5.500%, 01/15/40		605		599
SABMiller
5.500%, 08/15/13 (D)		90		97
Wal-Mart Stores
5.625%, 04/01/40		510		508

				7,334


Energy — 1.6%
Anadarko Petroleum
7.625%, 03/15/14		180		207
6.450%, 09/15/36		515		525
Baker Hughes
7.500%, 11/15/18		205		245
Cenovus Energy
5.700%, 10/15/19 (D)		55		58
CenterPoint Energy Resources
5.950%, 01/15/14		70		75
ConocoPhillips
6.000%, 01/15/20 (E)		100		111
EnCana
6.500%, 05/15/19		150		167
Energy Transfer Partners
9.000%, 04/15/19		525		645
8.500%, 04/15/14		211		245
Halliburton
6.150%, 09/15/19		80		90


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Husky Energy
7.250%, 12/15/19	$	319	$	370
5.900%, 06/15/14		278		303
Marathon Oil
7.500%, 02/15/19 (E)		100		117
Petrobras International Finance
7.875%, 03/15/19		316		369
6.875%, 01/20/40		315		325
Petro-Canada
6.050%, 05/15/18		115		124
Ras Laffan Liquefied Natural Gas III
5.500%, 09/30/14 (D)		500		537
4.500%, 09/30/12 (D)		270		283
Rockies Express Pipeline
5.625%, 04/15/20 (D)		600		591
3.900%, 04/15/15 (D)		505		498
Shell International Finance BV
4.300%, 09/22/19		300		296
Southern Union
8.250%, 11/15/29		1,200		1,370
Spectra Energy Capital
8.000%, 10/01/19		200		236
Suncor Energy
6.500%, 06/15/38		395		412
Talisman Energy
7.750%, 06/01/19		100		119
Tosco
7.800%, 01/01/27		65		77
Total Capital
3.125%, 10/02/15		650		646
TransCanada Pipelines
6.500%, 08/15/18		175		198
Union Pacific Resources Group
7.150%, 05/15/28		52		57
Valero Energy
9.375%, 03/15/19		489		582
6.625%, 06/15/37		1,935		1,840
Williams
7.875%, 09/01/21		1,022		1,203
7.750%, 06/15/31		550		617
Williams Partners
6.300%, 04/15/40 (D)		480		477
3.800%, 02/15/15 (D)		245		245
XTO Energy
6.750%, 08/01/37		180		211
6.250%, 08/01/17		100		114
4.625%, 06/15/13		30		32

				14,617


Financials — 11.6%
Achmea Hypotheekbank
3.200%, 11/03/14 (D)		1,190		1,205
Allstate
5.000%, 08/15/14		70		75


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13 (E)	$	610	$	665
American Express
7.250%, 05/20/14		412		467
7.000%, 03/19/18 (E)		170		193
American Express Credit MTN
7.300%, 08/20/13		680		763
ANZ National International
2.375%, 12/21/12 (D)		100		100
Associates Corp of North America
6.950%, 11/01/18		200		211
AvalonBay Communities MTN
5.700%, 03/15/17‡		1,300		1,370
Bank of America MTN
7.625%, 06/01/19		310		354
7.375%, 05/15/14		1,130		1,271
6.500%, 08/01/16		500		540
6.100%, 06/15/17		1,875		1,930
6.000%, 09/01/17		360		374
5.750%, 12/01/17		160		164
5.650%, 05/01/18		1,370		1,386
4.500%, 04/01/15		692		698
Bank of New York Mellon MTN
4.600%, 01/15/20		40		40
Bank of Nova Scotia
3.400%, 01/22/15		94		95
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (D) (E)		100		101
Barclays Bank
5.200%, 07/10/14		150		160
5.125%, 01/08/20		490		483
5.000%, 09/22/16		1,885		1,938
2.500%, 01/23/13		150		150
BB&T
4.900%, 06/30/17		200		199
3.850%, 07/27/12		150		156
3.375%, 09/25/13		195		199
Bear Stearns
7.250%, 02/01/18		1,500		1,734
6.950%, 08/10/12		275		305
Berkshire Hathaway Finance
5.400%, 05/15/18 (E)		110		117
BlackRock
6.250%, 09/15/17		75		83
Capital One Bank USA
8.800%, 07/15/19		325		393
Capital One Financial
7.375%, 05/23/14		225		257
6.750%, 09/15/17		70		78
Caterpillar Financial Services MTN
7.150%, 02/15/19		110		129
5.850%, 09/01/17		140		152


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Chase Capital II
0.749%, 02/01/27 (B)	$	560	$	437
Citigroup
8.500%, 05/22/19		364		425
8.125%, 07/15/39		2,861		3,303
6.500%, 08/19/13		250		270
6.375%, 08/12/14		530		566
6.125%, 05/15/18		455		465
6.125%, 08/25/36		1,200		1,047
5.500%, 10/15/14		325		336
1.029%, 12/09/11 (B)		885		898
Citigroup Funding
1.875%, 10/22/12		915		922
City National Capital Trust I
9.625%, 02/01/40		1,300		1,444
Commonwealth Bank of Australia
5.000%, 03/19/20 (D)		430		427
5.000%, 10/15/19 (D)		495		497
3.750%, 10/15/14 (D)		490		497
Credit Suisse NY
6.000%, 02/15/18		470		498
5.400%, 01/14/20		415		418
5.300%, 08/13/19		1,685		1,728
Credit Suisse USA
5.125%, 08/15/15		1,250		1,339
Deutsche Bank
3.875%, 08/18/14		100		102
2.375%, 01/11/13		1,355		1,357
Discover Financial Services
6.450%, 06/12/17		250		246
ERP Operating
5.750%, 06/15/17‡		125		129
5.125%, 03/15/16‡		830		854
Export-Import Bank of Korea
5.875%, 01/14/15		600		647
5.500%, 10/17/12		333		355
Farmers Exchange Capital
7.200%, 07/15/48 (D)		1,721		1,488
7.050%, 07/15/28 (D)		480		442
General Electric Capital MTN
6.750%, 03/15/32		1,665		1,762
6.000%, 08/07/19		545		576
5.900%, 05/13/14		850		935
5.625%, 09/15/17		700		738
5.500%, 01/08/20 (E)		180		184
5.400%, 02/15/17		200		209
1.151%, 05/22/13 (B)		760		758
0.369%, 04/10/12 (B)		500		493
Goldman Sachs Capital II
5.793%, 12/29/49 (B) (E)		804		681
Goldman Sachs Group MTN
7.500%, 02/15/19		125		143
6.750%, 10/01/37		490		489


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.250%, 09/01/17	$	650	$	700
6.150%, 04/01/18 (E)		250		265
6.000%, 05/01/14 (E)		2,800		3,066
5.375%, 03/15/20		950		941
3.625%, 08/01/12 (E)		140		145
1.029%, 12/05/11 (B)		2,030		2,058
Guardian Life Insurance of America
7.375%, 09/30/39 (D)		1,250		1,338
Hartford Financial Services Group
5.500%, 03/30/20		390		384
HCP MTN
6.700%, 01/30/18‡		199		203
6.300%, 09/15/16‡		546		555
6.000%, 01/30/17‡		114		114
5.950%, 09/15/11‡		1,155		1,205
5.650%, 12/15/13‡		556		581
Health Care
6.125%, 04/15/20‡		1,775		1,781
Healthcare Realty Trust
6.500%, 01/17/17‡		1,400		1,436
HRPT Properties Trust
6.250%, 08/15/16‡		100		100
HSBC Bank USA NY
4.625%, 04/01/14		175		183
HSBC Finance
5.500%, 01/19/16		140		147
4.750%, 07/15/13		160		168
HSBC Holdings PLC
6.800%, 06/01/38		340		365
International Lease Finance MTN
5.250%, 01/10/13		100		95
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (D)		200		214
Jefferies Group
6.450%, 06/08/27		160		143
6.250%, 01/15/36		120		102
John Deere Capital MTN
5.750%, 09/10/18		100		109
JPMorgan Chase Capital XIII
1.239%, 09/30/34 (B)		500		390
JPMorgan Chase
4.950%, 03/25/20		500		496
3.700%, 01/20/15		425		428
JPMorgan Chase Bank
6.000%, 10/01/17		1,634		1,742
JPMorgan Chase Capital XV
5.875%, 03/15/35		1,645		1,497
JPMorgan Chase Capital XXV
6.800%, 10/01/37		531		530
KeyBank
5.800%, 07/01/14		250		256
Korea Development Bank
4.375%, 08/10/15 (E)		625		634


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Lazard Group
7.125%, 05/15/15	$	778	$	817
6.850%, 06/15/17		769		783
Liberty Mutual Group
7.500%, 08/15/36 (D)		349		337
M&T Bank
5.375%, 05/24/12		80		85
Mack-Cali Realty
7.750%, 08/15/19‡		180		198
Macquarie Group
7.300%, 08/01/14		1,475		1,647
Merrill Lynch
6.875%, 04/25/18 (E)		100		108
6.400%, 08/28/17		150		158
6.150%, 04/25/13		140		151
6.110%, 01/29/37		1,405		1,293
6.050%, 05/16/16		920		938
MetLife
6.400%, 12/15/36		695		622
Metropolitan Life Global Funding I
2.875%, 09/17/12 (D)		200		203
2.500%, 01/11/13 (D)		110		110
Monumental Global Funding
5.500%, 04/22/13 (D)		65		69
Morgan Stanley
7.250%, 04/01/32		245		279
6.625%, 04/01/18		1,770		1,888
6.250%, 08/28/17		200		210
5.950%, 12/28/17		297		305
5.750%, 08/31/12		180		193
5.625%, 09/23/19		150		150
5.550%, 04/27/17		100		102
5.500%, 01/26/20		1,225		1,198
5.450%, 01/09/17		470		477
4.750%, 04/01/14		620		633
4.200%, 11/20/14 (E)		156		156
0.621%, 06/20/12 (B)		2,385		2,404
0.501%, 01/18/11 (B)		325		325
National Australia Bank
3.750%, 03/02/15 (D) (E)		120		120
2.500%, 01/08/13 (D)		150		150
National City
4.900%, 01/15/15		200		209
National City Bank
0.622%, 06/07/17 (B)		1,300		1,158
National Rural Utilities Cooperative Finance
2.625%, 09/16/12		25		25
New York Life Global Funding
4.650%, 05/09/13 (D)		150		161
NIBC Bank MTN
2.800%, 12/02/14 (D)		825		821
Nomura Holdings
6.700%, 03/04/20		115		119


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Nordea Bank
3.700%, 11/13/14 (D) (E)	$	540	$	544
2.500%, 11/13/12 (D)		465		469
Northern Trust
5.500%, 08/15/13		200		221
Pacific Life Global Funding
5.150%, 04/15/13 (D)		100		105
Pipeline Funding
7.500%, 01/15/30 (D)		1,500		1,433
PNC Funding
5.125%, 02/08/20		40		40
Power Receivables Financial
6.290%, 01/01/12 (D)		137		141
Principal Life Income Funding Trusts MTN
5.300%, 04/24/13		125		134
5.300%, 12/14/12		125		135
5.100%, 04/15/14		225		236
Private Export Funding
3.050%, 10/15/14		215		218
Prudential Holdings
8.695%, 12/18/23 (D)		1,200		1,382
1.136%, 12/18/17 (B) (D)		750		635
Rabobank Nederland MTN
3.200%, 03/11/15 (D)		200		198
Simon Property Group
10.350%, 04/01/19‡		130		163
6.750%, 05/15/14‡		50		55
5.650%, 02/01/20‡ (E)		38		37
Standard Chartered Bank
6.400%, 09/26/17 (D)		715		758
Svensk Exportkredit
3.250%, 09/16/14		1,137		1,162
Travelers Property Casualty
7.750%, 04/15/26		100		113
UBS
5.875%, 12/20/17		120		124
US Bancorp MTN
2.875%, 11/20/14		138		136
Wachovia
5.750%, 06/15/17 (E)		485		517
Wachovia Bank MTN
0.587%, 03/15/16 (B)		400		368
WEA Finance
7.500%, 06/02/14 (D)		1,477		1,653
7.125%, 04/15/18 (D)		751		812
6.750%, 09/02/19 (D)		300		320
Wells Fargo
5.625%, 12/11/17 (E)		180		191
3.750%, 10/01/14		390		395
Westfield Group
5.400%, 10/01/12 (D)		434		460


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Westpac Banking
4.875%, 11/19/19 (E)	$	510	$	507
2.250%, 11/19/12		830		836
ZFS Finance USA Trust I
5.875%, 05/09/32 (B) (D)		1,750		1,644

				103,755


Government — 0.2%
Banco Nacional de Desenvolvimento Economico e Social
5.500%, 07/12/20		620		614
Mexico Government International Bond MTN
6.375%, 01/16/13		200		222
Province of Ontario Canada
2.950%, 02/05/15		240		241
Qatar Govt International Bond
6.400%, 01/20/40 (D)		310		324
4.000%, 01/20/15 (D)		195		198
South Africa Government International Bond
5.500%, 03/09/20		465		471

				2,070


Health Care — 0.7%
Aetna
6.000%, 06/15/16		1,570		1,721
Amgen
5.750%, 03/15/40		567		562
4.500%, 03/15/20		22		22
Bristol-Myers Squibb
5.450%, 05/01/18		245		263
CareFusion
4.125%, 08/01/12		275		287
Coventry Health Care
5.950%, 03/15/17		541		516
Hospira
5.550%, 03/30/12		100		106
Life Technologies
6.000%, 03/01/20		650		666
4.400%, 03/01/15		350		352
Pfizer
5.350%, 03/15/15		644		710
Pharmacia
6.500%, 12/01/18		120		136
UnitedHealth Group
6.875%, 02/15/38		584		620

				5,961


Industrials — 0.7%
Browning-Ferris Industries
9.250%, 05/01/21		45		55
Burlington Northern Santa Fe
7.290%, 06/01/36		90		103


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.750%, 03/15/18	$	440	$	471
4.700%, 10/01/19		75		74
Canadian National Railway
5.850%, 11/15/17		50		55
Continental Airlines 2000-1 Class A-1 Pass Through Trust
8.048%, 11/01/20		438		444
Continental Airlines 2009-2 Class A Pass Through Trust
7.250%, 11/10/19		500		535
CSX
6.250%, 03/15/18 (E)		155		168
Delta Air Lines
7.750%, 12/17/19		1,400		1,470
Hutchison Whampoa International 09
4.625%, 09/11/15 (D)		1,260		1,295
JetBlue Airways 2004-1 G-1 Pass Through Trust
0.632%, 12/15/13 (B)		656		577
Lockheed Martin
8.500%, 12/01/29		61		79
Northwest Airlines
1.001%, 05/20/14 (B)		828		712
Tyco International Finance
8.500%, 01/15/19		50		62
Union Pacific
7.000%, 02/01/16		150		174
United Parcel Service of America
8.375%, 04/01/20		50		65
United Technologies
8.875%, 11/15/19		110		142

				6,481


Information Technology — 0.4%
Adobe Systems
4.750%, 02/01/20		405		398
3.250%, 02/01/15		330		331
Arrow Electronics
6.875%, 07/01/13		25		28
6.875%, 06/01/18		95		101
Cisco Systems
5.900%, 02/15/39		150		152
5.500%, 01/15/40		620		595
4.450%, 01/15/20		735		731
Dell
5.650%, 04/15/18		90		95
Hewlett-Packard
4.750%, 06/02/14		61		66
International Business Machines
8.000%, 10/15/38		100		131
Intuit
5.750%, 03/15/17		75		79
Oracle
5.000%, 07/08/19		200		210


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Xerox
8.250%, 05/15/14	$	90	$	104

				3,021


Materials — 0.4%
BHP Billiton Finance USA
6.500%, 04/01/19		125		143
Dow Chemical
8.550%, 05/15/19		588		711
5.900%, 02/15/15		300		325
4.850%, 08/15/12		770		814
PPG Industries
9.000%, 05/01/21		145		176
Rio Tinto Finance USA
9.000%, 05/01/19		412		529
5.875%, 07/15/13		457		502
Vale Overseas
6.875%, 11/10/39		495		513

				3,713


Sovereign — 0.2%
Province of Manitoba Canada
2.125%, 04/22/13		46		47
Province of Ontario Canada
4.100%, 06/16/14		904		966
Republic of Korea
7.125%, 04/16/19		352		412
Societe Financement de l’Economie Francaise
2.875%, 09/22/14 (D)		540		543
Tennessee Valley Authority
5.250%, 09/15/39		40		39

				2,007


Telecommunication Services — 1.0%
America Movil
6.125%, 03/30/40 (D)		320		313
5.000%, 03/30/20 (D)		150		148
5.000%, 10/16/19 (D)		475		470
3.625%, 03/30/15 (D)		395		396
AT&T
8.000%, 11/15/31		370		450
5.875%, 02/01/12		200		214
5.500%, 02/01/18 (E)		100		106
BellSouth
6.000%, 11/15/34		850		821
BellSouth Telecommunications
6.300%, 12/15/15		175		185
British Telecommunications
9.875%, 06/15/10 (A)		178		224
5.950%, 01/15/18		200		205


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Cellco Partnership
8.500%, 11/15/18	$	305	$	381
7.375%, 11/15/13		927		1,072
Deutsche Telekom International Finance BV
6.000%, 07/08/19		175		188
France Telecom
7.750%, 03/01/11		321		341
GTE
8.750%, 11/01/21		300		370
Qwest
7.875%, 09/01/11		640		678
7.500%, 10/01/14		444		485
Rogers Communications
6.375%, 03/01/14		874		970
5.500%, 03/15/14		119		128
Telecom Italia Capital
6.999%, 06/04/18 (E)		150		162
Telefonica Emisiones
5.984%, 06/20/11		345		363
Verizon Communications
8.950%, 03/01/39		50		68
5.850%, 09/15/35		40		39
Verizon Global Funding
7.750%, 12/01/30		175		208
Vodafone Group
5.450%, 06/10/19		75		78

				9,063


Utilities — 1.8%
AGL Capital
5.250%, 08/15/19		50		51
4.450%, 04/15/13		120		125
Appalachian Power
5.950%, 05/15/33		100		98
Aquila
11.875%, 07/01/12		1,210		1,408
Carolina Power & Light
5.300%, 01/15/19		175		184
Cleveland Electric Illuminating
7.880%, 11/01/17		170		201
Consumers Energy
6.700%, 09/15/19		100		113
Dominion Resources
8.875%, 01/15/19		1,095		1,381
6.400%, 06/15/18		180		201
DPL
6.875%, 09/01/11		637		681
Duke Energy
6.300%, 02/01/14		472		526
Enel Finance International
6.000%, 10/07/39 (D)		350		333
5.125%, 10/07/19 (D)		100		99


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Exelon Generation
6.250%, 10/01/39	$	155	$	157
5.200%, 10/01/19		150		151
FirstEnergy Solutions
6.800%, 08/15/39		150		147
6.050%, 08/15/21		640		641
4.800%, 02/15/15		175		179
FPL Group Capital
5.350%, 06/15/13		280		302
Georgia Power
6.000%, 11/01/13		205		231
Jersey Central Power & Light
7.350%, 02/01/19		100		116
Massachusetts Electric
5.900%, 11/15/39 (D)		55		56
MidAmerican Energy
5.300%, 03/15/18		200		208
Midamerican Energy Holdings
5.750%, 04/01/18		615		651
Nevada Power
7.125%, 03/15/19		110		124
Nevada Power, Ser A
8.250%, 06/01/11		1,040		1,116
Niagara Mohawk Power
4.881%, 08/15/19 (D)		80		79
Nisource Finance
10.750%, 03/15/16		100		127
6.125%, 03/01/22		1,400		1,461
Northern States Power
6.250%, 06/01/36		100		108
5.350%, 11/01/39		19		18
Oncor Electric Delivery
6.800%, 09/01/18		460		517
Pacific Gas & Electric
8.250%, 10/15/18		60		73
5.400%, 01/15/40		42		39
Pacificorp
6.250%, 10/15/37		90		96
5.650%, 07/15/18		175		189
Panhandle Eastern Pipeline
6.200%, 11/01/17		625		664
Progress Energy
6.850%, 04/15/12		289		315
PSEG Power
5.500%, 12/01/15		100		108
5.320%, 09/15/16 (D)		40		42
5.125%, 04/15/20 (D)		45		45
Public Service Electric & Gas MTN
5.375%, 11/01/39		28		27
Public Service of Oklahoma
5.150%, 12/01/19		33		33
Sempra Energy
8.900%, 11/15/13		180		215
6.000%, 10/15/39		50		49


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Southern California Edison
5.500%, 03/15/40	$	50	$	49
Southwestern Public Service
8.750%, 12/01/18		90		112
Texas-New Mexico Power
9.500%, 04/01/19 (D)		1,290		1,572
Virginia Electric and Power
5.400%, 04/30/18		545		578

				15,996

Total Corporate Obligations (Cost $171,921) ($ Thousands)				179,793


ASSET-BACKED SECURITIES — 5.2%

Automotive — 0.3%
Ally Auto Receivables Trust, Cl A3
2.330%, 06/17/13 (D)		100		102
1.450%, 05/15/14		100		100
AmeriCredit Automobile Receivables Trust, Cl A3
1.660%, 03/17/14		40		40
AmeriCredit Automobile Receivables Trust, Cl A2
0.970%, 01/15/13		60		60
Bank of America Auto Trust, Cl A3
2.130%, 09/15/13 (D)		100		101
1.670%, 12/15/13 (D)		105		106
1.390%, 03/15/14 (D)		130		130
Bank of America Auto Trust, Cl A4
2.180%, 02/15/17 (D)		100		100
CarMax Auto Owner Trust, Cl A3
1.560%, 07/15/14		80		80
CitiFinancial Auto Issuance Trust, Cl A3
2.590%, 10/15/13 (D)		235		238
Harley-Davidson Motorcycle Trust, Cl A4
5.220%, 06/15/13		86		89
3.320%, 02/15/17		376		388
2.540%, 04/15/17		210		212
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
5.000%, 01/15/17		252		267
USAA Auto Owner Trust, Cl A4
2.530%, 07/15/15		145		147
USAA Auto Owner Trust, Cl A3
1.540%, 02/18/14		140		141
World Omni Auto Receivables Trust, Cl A4
2.210%, 05/15/15		135		135

				2,436


Credit Cards — 1.4%
BA Credit Card Trust, Cl A6
0.260%, 11/15/13 (B)		223		222


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

BA Credit Card Trust, Cl A2
0.250%, 06/17/13 (B)	$	355	$	354
Bank of America Credit Card Trust, Ser 2008-A1, Cl A1
0.810%, 04/15/13 (B)		2,750		2,755
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14		371		386
Citibank Credit Card Issuance Trust, Cl A3
5.300%, 03/15/18		746		819
Discover Card Master Trust, Cl A
1.530%, 02/17/15 (B)		2,820		2,870
Discover Card Master Trust, Cl A1
1.530%, 12/15/14 (B)		448		452
Discover Card Master Trust
0.880%, 09/15/15 (B)		533		534
Discover Card Master Trust I, Cl A1
0.290%, 06/18/13 (B)		147		147
Discover Card Master Trust, Ser 2007-A2, Cl A2
0.597%, 06/15/15 (B)		3,092		3,072
Nordstrom Private Label Credit Card Master Note Trust, Cl A
0.290%, 05/15/15 (B) (D)		399		391

				12,002


Mortgage Related Securities — 1.5%
Aegis Asset Backed Securities Trust, Cl M1
0.896%, 12/25/34 (B)		1,423		1,284
0.786%, 03/25/35 (B)		1,467		1,360
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1
1.296%, 01/25/34 (B)		505		430
Argent Securities, Ser 2003-W5, Cl M1
0.946%, 10/25/33 (B)		533		399
Asset Backed Securities Home Equity, Cl M1
0.736%, 07/25/35 (B)		1,391		1,324
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1
0.346%, 03/25/37 (B)		1,098		984
Citigroup Mortgage Loan Trust, Cl A
0.656%, 12/25/33 (B) (D)		1,285		1,067
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9
7.050%, 03/15/28		2		2
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		3		3
HSBC Home Equity Loan Trust
0.390%, 03/20/36 (B)		129		120


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

HSBC Home Equity Loan Trust, Cl AS
0.440%, 03/20/36 (B)	$	141	$	129
HSBC Home Equity Loan Trust, Cl A1
0.510%, 01/20/35 (B)		111		92
0.400%, 01/20/36 (B)		420		367
HSBC Home Equity Loan Trust, Cl A2F
5.600%, 03/20/36		200		205
HSBC Home Equity Loan Trust, Cl APT
1.440%, 11/20/36 (B)		330		299
HSBC Home Equity Loan Trust, Cl M2
0.730%, 01/20/35 (B)		138		113
0.720%, 03/20/36 (B)		2,000		457
IXIS Real Estate Capital Trust, Cl M2
0.981%, 06/25/35 (B)		1,117		1,050
Morgan Stanley ABS Capital I, Cl M1
0.996%, 01/25/35 (B)		90		89
Morgan Stanley Capital I, Ser 2003-NC8, Cl M1
1.296%, 09/25/33 (B)		1,688		1,269
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.286%, 01/25/37 (B)		33		32
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1
0.296%, 12/25/36 (B)		31		30
Option One Mortgage Loan Trust, Ser 2003-5, Cl M1
1.221%, 08/25/33 (B)		273		143
Residential Asset Securities, Cl AI4
0.616%, 09/25/35 (B)		1,300		1,210
Salomon Brothers Mortgage Securities VII, Cl A
3.450%, 04/25/32 (D)		200		166
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A1
0.326%, 06/25/37 (B)		1,044		880

				13,504


Other Asset-Backed Securities — 2.0%
Ally Master Owner Trust, Cl A
1.980%, 01/15/15 (B) (D)		2,219		2,230
CNH Equipment Trust, Cl A3
1.850%, 12/16/13		40		40
1.540%, 07/15/14		380		380
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.706%, 10/25/35 (B)		1,100		1,064
Ford Credit Floorplan Master Owner Trust
1.880%, 12/15/14 (B) (D)		434		436


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Ford Credit Floorplan Master Owner Trust, Cl A1
4.200%, 02/15/17 (D)	$	2,087	$	2,092
Indymac Residential Asset Backed Trust, Cl 2A1
0.326%, 07/25/37 (B)		1,110		1,085
JP Morgan Mortgage Acquisition, Cl AV2
0.306%, 10/25/36 (B)		817		778
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38		1,098		993
SLC Student Loan Trust, Cl A4A
1.857%, 12/15/32 (B)		1,973		2,075
SLM Student Loan Trust, Cl A4L
0.407%, 09/17/18 (B)		93		92
SLM Student Loan Trust, Cl A4
1.949%, 07/25/23 (B)		2,458		2,599
0.477%, 12/15/17 (B)		116		116
0.457%, 12/17/18 (B)		87		87
SLM Student Loan Trust, Ser 2008-8, Cl A4
1.899%, 07/25/22 (B)		345		362
Soundview Home Equity Loan Trust, Cl A4
0.546%, 11/25/35 (B)		1,484		1,327
Structured Asset Securities, Ser 2006-GEL4, Cl A1
0.366%, 10/25/36 (B) (D)		1,216		1,096
Structured Asset Securities, Ser 2007-BC2, Cl A2
0.336%, 03/25/37 (B)		1,091		1,029
Swift Master Auto Receivables Trust, Ser 2007-1, Cl A
0.330%, 06/15/12 (B)		207		207

				18,088

Total Asset-Backed Securities (Cost $45,154) ($ Thousands)				46,030


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.7%
FHLB
1.500%, 05/10/10 (A)		1,955		1,955
FICO STRIPS, PO
0.000%, 09/26/19 (C)		100		64
FNMA
2.625%, 07/22/10 (A)		4,015		4,018

Total U.S. Government Agency Obligations (Cost $6,035) ($ Thousands)				6,037


MUNICIPAL BONDS — 0.5%
Bay Area Toll Authority, RB
6.263%, 04/01/49		1,330		1,329


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)

County of Clark Nevada, Ser C-BUILD, RB
6.820%, 07/01/45	$	385	$	395
Los Angeles Unified School District, GO
6.758%, 07/01/34		380		393
North Texas Tollway Authority, RB
6.718%, 01/01/49		205		215
State of California, GO
7.625%, 03/01/40		245		255
7.550%, 04/01/39		235		243
7.300%, 10/01/39		1,660		1,666
6.650%, 03/01/22		175		182
State of Illinois, GO
5.100%, 06/01/33		60		49

Total Municipal Bonds (Cost $4,696) ($ Thousands)				4,727


COMMERCIAL PAPER — 1.3%
Credit Agricole North America
0,195%, 05/03/10		5,980		5,979
Lloyds TSB Bank
0.210%, 04/26/10		5,290		5,289

Total Commercial Paper (Cost $11,268) ($ Thousands)				11,268


CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%*†		30,584,437		30,584

Total Cash Equivalent (Cost $30,584) ($ Thousands)				30,584


U.S. TREASURY OBLIGATIONS — 23.2%
U.S. Treasury Bills
0.142%, 05/06/10 (C)		9,035		9,034
0.000%, 05/13/10 (C)		315		315
U.S. Treasury Bond
8.875%, 08/15/17 to 02/15/19 (E)		18,727		25,657
8.750%, 05/15/17 to 08/15/20 (E)		5,925		8,016
8.500%, 02/15/20		50		69
8.000%, 11/15/21 (E)		3,855		5,252
7.500%, 11/15/16 (E)		1,300		1,642
7.125%, 02/15/23		176		227
6.750%, 08/15/26		250		318
6.500%, 11/15/26		200		248
6.375%, 08/15/27		50		61
6.125%, 11/15/27		500		599
5.500%, 08/15/28		100		112
5.375%, 02/15/31 (E)		3,314		3,666
4.625%, 02/15/17 (E)		3,750		4,086
4.375%, 11/15/39		2,133		2,017


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

4.250%, 05/15/39	$	2,934	$	2,719
3.625%, 02/15/20		8,879		8,728
3.375%, 11/15/19 (E)		14,825		14,305
2.625%, 02/29/16		1,500		1,474
2.375%, 10/31/14		500		499
U.S. Treasury Bond TIPS
2.000%, 01/15/16 (E)		2,000		2,317
1.750%, 01/15/28		4,000		3,917
U.S. Treasury Note
4.750%, 08/15/17 (E)		1,000		1,094
4.500%, 05/15/17		900		972
3.625%, 08/15/19 (E)		6,551		6,471
3.125%, 10/31/16		2,000		1,993
2.750%, 11/30/16 to 02/15/19 (E)		3,897		3,629
2.625%, 07/31/14		400		405
2.500%, 03/31/15		9,283		9,257
2.375%, 02/28/15 (E)		54,041		53,670
1.875%, 02/28/14		5,650		5,602
1.375%, 03/15/13		4,954		4,925
1.000%, 03/31/12		8,156		8,152
U.S. Treasury STRIPS
6.291%, 05/15/24 (C)		200		103
4.978%, 11/15/27 (C)		200		85
4.858%, 08/15/27 (C)		100		43
4.850%, 05/15/28 (C)		50		21
4.801%, 11/15/24 (C)		50		25
4.780%, 08/15/25 (C)		100		48
4.754%, 02/15/27 (C)		100		44
4.568%, 05/15/36 (C)		100		27
4.523%, 05/15/29 (C)		100		39
4.472%, 02/15/24 (C)		75		39
4.397%, 08/15/20 (C)		1,350		868
4.338%, 08/15/24 (C)		500		254
4.333%, 11/15/20 (C)		1,050		666


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)

4.302%, 02/15/32 (C)	$	100	$	34
4.283%, 02/15/17 (C)		3,660		2,902
4.060%, 02/15/22 (C)		100		59
4.029%, 08/15/19 (C)		1,350		922
3.951%, 05/15/20 (C)		200		130
3.934%, 05/15/19 (C)		125		87
3.724%, 08/15/17 (C)		500		385
3.704%, 08/15/18 (C)		400		290
3.666%, 11/15/17 (C)		1,550		1,178
3.421%, 02/15/18 (C)		725		542
3.279%, 11/15/16 (C)		200		161
2.773%, 05/15/14 (C)		5,200		4,744
2.662%, 02/15/15 (C)		100		88
2.473%, 02/15/14 (C)		2,900		2,673

Total U.S. Treasury Obligations (Cost $207,899) ($ Thousands)				207,905


AFFILIATED PARTNERSHIP — 10.8%
SEI Liquidity Fund, L.P., 0.210%(A)*†		96,780,613		96,781

Total Affiliated Partnership (Cost $96,781) ($ Thousands)				96,781

Total Investments — 114.2% (Cost $1,004,454) ($ Thousands)			$	1,021,827

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
U.S. Long Treasury Bond	31	Jun-2010	$	16

A summary of outstanding swap agreements held by the Fund at March 31, 2010, is as follows (see Note 2 in Notes to Financial Statements):

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 82.7%

Consumer Discretionary — 17.9%
Adelphia Communications (Escrow Security)
10.250%, 06/15/11 (C)	$	150	$	2
0.000%, 01/15/09 (C)		225		3
Adelphia Communications (Escrow Security), Ser B
0.000%, 02/15/04 (C)		25		—
Affinion Group
11.500%, 10/15/15		1,550		1,589
10.125%, 10/15/13		2,100		2,152
10.125%, 10/15/13		750		769
American Axle & Manufacturing Holdings
9.250%, 01/15/17 (A)		380		406
Ameristar Casinos
9.250%, 06/01/14		800		838
Amscan Holdings
8.750%, 05/01/14		2,845		2,838
Applebee’s Enterprises
6.427%, 12/20/37 (A)		3,650		3,340
ArvinMeritor
10.625%, 03/15/18		445		461
8.125%, 09/15/15		1,150		1,110
Ashtead Capital
9.000%, 08/15/16 (A)		1,665		1,686
Avis Budget Car Rental
9.625%, 03/15/18 (A)		1,445		1,510
7.750%, 05/15/16		1,160		1,137
Beazer Homes USA
12.000%, 10/15/17		1,260		1,436
8.375%, 04/15/12		700		698
8.125%, 06/15/16		680		604


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Belo
8.000%, 11/15/16	$	1,080	$	1,126
7.750%, 06/01/27		1,675		1,376
Bon-Ton Department Stores
10.250%, 03/15/14		400		390
Boyd Gaming
7.125%, 02/01/16		1,275		1,065
Brunswick
11.750%, 08/15/13		1,500		1,680
11.250%, 11/01/16 (A)		1,223		1,391
Burlington Coat Factory Investment Holdings
14.500%, 10/15/14		3,920		4,155
Burlington Coat Factory Warehouse
11.125%, 04/15/14		1,895		2,004
Cablevision Systems
8.625%, 09/15/17 (A)		2,305		2,438
CCH II
13.500%, 11/30/16		2,768		3,329
CCO Holdings LLC
0.000%, 11/15/13 (C)		3,380		3,464
Cequel Communications Holdings I and Cequel Capital
8.625%, 11/15/17 (A)		1,465		1,505
Charter Communications Operating
0.000%, 04/30/14 (A) (C)		625		642
Choctaw Resort Development Enterprise
7.250%, 11/15/19 (A)		998		679
Clear Channel Communications
10.750%, 08/01/16		680		532
Clear Channel Worldwide Holdings
9.250%, 12/15/17 (A)		3,635		3,799
9.250%, 12/15/17 (A)		900		935
Cleveland Unlimited
13.000%, 12/15/10 (A) (B)		4,304		4,153
Columbus International
11.500%, 11/20/14 (A)		1,040		1,139
Community Health Systems
8.875%, 07/15/15		1,440		1,491
Couche-Tard US
7.500%, 12/15/13		310		315
CSC Holdings
8.625%, 02/15/19 (A)		2,200		2,409
Dana (Escrow Security) (C)
0.000%, 03/01/09		350		9
0.000%, 03/01/29		850		21
0.000%, 03/15/08		100		3
0.000%, 03/15/28		200		5
Dex One
12.000%, 01/29/17		489		496
DISH DBS
7.875%, 09/01/19		700		728
Dollar General
11.875%, 07/15/17		1,505		1,753
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		1,169		1,056


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Eastman Kodak
9.750%, 03/01/18 (A)	$	1,730	$	1,713
7.250%, 11/15/13		2,510		2,391
Easton-Bell Sports
9.750%, 12/01/16 (A)		2,240		2,358
Echostar DBS
7.750%, 05/31/15		4,185		4,373
7.125%, 02/01/16		2,015		2,053
El Dorado Casino Shreveport PIK
10.000%, 08/01/12		1,191		1,012
El Pollo Loco
11.750%, 12/01/12		2,000		2,060
Equinox Holdings
9.500%, 02/01/16 (A)		1,105		1,113
Ferrellgas Partners
8.625%, 06/15/20		660		660
Fontainebleau Las Vegas Holdings
11.000%, 06/15/15 (A) (C)		3,125		35
Ford Motor
7.450%, 07/16/31		1,495		1,413
6.375%, 02/01/29		1,075		873
Gaylord Entertainment
6.750%, 11/15/14		730		699
Goodyear Tire & Rubber
10.500%, 05/15/16		215		232
9.000%, 07/01/15		600		620
8.750%, 08/15/20		340		335
GWR Operating Partnership LLP
10.875%, 04/01/17 (A)		840		801
Hanesbrands
8.000%, 12/15/16		2,254		2,333
Hanesbrands, Ser B
4.592%, 12/15/14 (B)		340		324
Harrah’s Operating
11.250%, 06/01/17		7,425		8,000
10.000%, 12/15/18		4,066		3,365
Harry & David Operations
9.000%, 03/01/13		415		313
Hertz
8.875%, 01/01/14		916		941
HSN
11.250%, 08/01/16		1,475		1,674
Inergy
8.750%, 03/01/15		845		884
Isle of Capri Casinos
7.000%, 03/01/14		3,280		2,804
Jarden
8.000%, 05/01/16		970		1,016
7.500%, 05/01/17		1,195		1,211
JC Penney
7.400%, 04/01/37		1,550		1,550
K Hovnanian Enterprises
10.625%, 10/15/16		570		607


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Landry’s Restaurants
11.625%, 12/01/15 (A)	$	1,939	$	2,084
Laureate Education
11.750%, 08/15/17 (A)		1,000		1,040
10.000%, 08/15/15 (A)		525		537
Lear
8.125%, 03/15/20		1,198		1,217
7.875%, 03/15/18		640		647
Levi Strauss
9.750%, 01/15/15		640		670
Libbey Glass
10.000%, 02/15/15 (A)		675		710
Liberty Media LLC
8.250%, 02/01/30		1,970		1,835
Lions Gate Entertainment
10.250%, 11/01/16 (A)		3,890		3,982
M/I Homes
6.875%, 04/01/12		545		529
Macy’s Retail Holdings
8.875%, 07/15/15		1,290		1,458
MDC Partners
11.000%, 11/01/16 (A)		3,200		3,460
MGM Mirage
13.000%, 11/15/13		50		58
11.375%, 03/01/18 (A)		3,290		3,175
11.125%, 11/15/17 (A)		450		506
10.375%, 05/15/14 (A)		620		684
9.000%, 03/15/20 (A)		2,405		2,477
8.375%, 02/01/11		25		25
7.500%, 06/01/16		2,950		2,456
6.875%, 04/01/16		1,870		1,515
5.875%, 02/27/14		1,485		1,251
Mohegan Tribal Gaming Authority
7.125%, 08/15/14		765		593
6.875%, 02/15/15		265		201
MTR Gaming Group
12.625%, 07/15/14		1,025		1,012
NCL
11.750%, 11/15/16 (A)		555		604
Neiman-Marcus Group PIK
9.000%, 10/15/15		1,696		1,730
Norcraft
10.500%, 12/15/15 (A)		550		580
Norcraft Holdings
9.750%, 09/01/12		571		542
OSI Restaurant Partners
10.000%, 06/15/15		3,435		3,375
Peninsula Gaming
10.750%, 08/15/17 (A)		1,535		1,466
8.375%, 08/15/15 (A)		2,100		2,095
Penn National Gaming
6.750%, 03/01/15		2,985		2,936
Pinnacle Entertainment
7.500%, 06/15/15		1,200		1,038


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Quebecor Media
7.750%, 03/15/16	$	3,735	$	3,782
Quebecor Media (Escrow Security)
0.000%, 11/15/13 (C) (D)		1,725		—
0.000%, 03/15/16 (E) (K)		1,915		105
Quiksilver
6.875%, 04/15/15		1,510		1,397
QVC
7.500%, 10/01/19 (A)		3,220		3,284
7.375%, 10/15/20 (A)		415		417
Rental Services
9.500%, 12/01/14		2,685		2,658
River Rock Entertainment Authority
9.750%, 11/01/11		4,515		4,165
RJ Tower
12.000%, 06/01/13 (C)		172		1
Royal Caribbean Cruises
11.875%, 07/15/15		900		1,060
7.250%, 06/15/16		770		760
7.000%, 06/15/13		685		694
6.875%, 12/01/13		165		167
RSC Equipment Rental
10.000%, 07/15/17 (A)		1,750		1,855
Salem Communications
9.625%, 12/15/16		1,056		1,103
Sally Holdings LLC
10.500%, 11/15/16		870		948
9.250%, 11/15/14		1,360		1,442
San Pasqual Casino
8.000%, 09/15/13 (A)		1,670		1,605
Sbarro
10.375%, 02/01/15		674		566
Sealy Mattress
10.875%, 04/15/16 (A)		27		30
8.250%, 06/15/14		3,491		3,491
Seminole Indian Tribe of Florida
5.798%, 10/01/13 (A)		1,665		1,649
Service International
7.375%, 10/01/14		1,170		1,199
6.750%, 04/01/15		1,005		1,000
Shingle Springs Tribal Gaming Authority
9.375%, 06/15/15 (A)		1,310		1,087
Simmons Bedding
11.250%, 07/15/15 (A)		4,310		4,698
Sinclair Television Group
9.250%, 11/01/17 (A)		375		395
Sirius XM Radio
9.750%, 09/01/15 (A)		2,105		2,273
8.750%, 04/01/15 (A)		1,750		1,743
Sitel
11.500%, 04/01/18 (A)		1,020		1,028
Speedway Motorsports
8.750%, 06/01/16		1,470		1,566
Stanadyne Holdings
12.000%, 02/15/15		1,575		1,181


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Stanadyne Holdings, Ser 1
10.000%, 08/15/14	$	450	$	412
Standard Pacific
10.750%, 09/15/16		1,955		2,080
Starwood Hotels & Resorts Worldwide
7.875%, 10/15/14		285		309
6.750%, 05/15/18		875		877
Station Casinos
6.875%, 03/01/16 (C)		225		—
6.625%, 03/15/18 (C)		1,900		2
Steinway Musical Instruments
7.000%, 03/01/14 (A)		4,595		4,434
Suburban Propane Partners
7.375%, 03/15/20		2,200		2,236
Sun Media
7.625%, 02/15/13		660		648
Tenneco
8.625%, 11/15/14		525		533
TL Acquisitions
10.500%, 01/15/15 (A)		1,300		1,248
Toys R Us Property I
10.750%, 07/15/17 (A)		910		1,015
Travelport LLC
11.875%, 09/01/16		5,705		6,254
4.877%, 09/01/14 (B)		1,571		1,540
TRW Automotive
7.250%, 03/15/17 (A)		1,475		1,423
7.000%, 03/15/14 (A)		170		167
Turning Stone Resort Casino Enterprise
9.125%, 09/15/14 (A)		2,035		2,035
United Components
9.375%, 06/15/13		870		874
United Rentals North America
10.875%, 06/15/16		2,600		2,828
9.250%, 12/15/19		900		918
Univision Communications
12.000%, 07/01/14 (A)		1,227		1,344
9.750%, 03/15/15 (A)		1,400		1,207
UPC Holding
9.875%, 04/15/18 (A)		3,635		3,817
Vail Resorts
6.750%, 02/15/14		1,825		1,832
Videotron
9.125%, 04/15/18		800		889
6.875%, 01/15/14		2,160		2,192
Visant Holding
10.250%, 12/01/13		3,920		4,038
WMG Acquisition
9.500%, 06/15/16 (A)		2,460		2,629
Wynn Las Vegas
6.625%, 12/01/14		445		444
Wynn Las Vegas Capital
6.625%, 12/01/14		135		135


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

XM Satellite Radio
11.250%, 06/15/13 (A)	$	1,920	$	2,078
XM Satellite Radio Holdings
13.000%, 08/01/13 (A)		3,875		4,364

				261,069


Consumer Staples — 2.2%
Alliance One International
10.000%, 07/15/16 (A)		185		193
10.000%, 07/15/16 (A)		595		622
B&G Foods
7.625%, 01/15/18		1,425		1,452
Bumble Bee Foods
7.750%, 12/15/15 (A)		575		582
Central Garden and Pet
8.250%, 03/01/18		685		694
Chiquita Brands International
8.875%, 12/01/15		1,435		1,489
Constellation Brands
8.375%, 12/15/14		485		524
7.250%, 09/01/16		1,090		1,120
7.250%, 05/15/17		1,000		1,025
Cott Beverages
8.375%, 11/15/17 (A)		2,385		2,463
Del Monte
7.500%, 10/15/19 (A)		215		226
Dole Food
13.875%, 03/15/14		386		465
8.000%, 10/01/16 (A)		405		415
Fleming
0.000%,04/01/08 (C)		1,010		—
JBS USA
11.625%, 05/01/14 (A)		510		581
JohnsonDiversey Holdings
10.500%, 05/15/20 (A)		1,925		2,098
8.250%, 11/15/19 (A)		925		957
Pantry
7.750%, 02/15/14		1,525		1,479
Rite Aid
10.375%, 07/15/16		2,640		2,792
10.250%, 10/15/19		210		224
9.500%, 06/15/17		2,525		2,121
9.375%, 12/15/15		875		753
7.700%, 02/15/27		150		91
7.500%, 03/01/17		395		366
6.875%, 12/15/28 (A)		375		214
Smithfield Foods
7.750%, 07/01/17		300		296
7.750%, 05/15/13		695		702
Southern States Cooperative
11.000%, 11/01/11 (A)		1,500		1,504
Spectrum Brands
12.000%, 08/28/19		1,241		1,316


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

SuperValu
8.000%, 05/01/16	$	3,675	$	3,721
Tops Markets
10.125%, 10/15/15 (A)		930		967

				31,452


Energy — 9.0%
Anadarko Petroleum
6.450%, 09/15/36		2,545		2,594
Antero Resources Finance
9.375%, 12/01/17 (A)		885		912
Aquilex Holdings
11.125%, 12/15/16 (A)		2,380		2,559
Arch Coal
8.750%, 08/01/16 (A)		1,985		2,099
Arch Western Finance
6.750%, 07/01/13		1,115		1,119
Atlas Energy Operating
12.125%, 08/01/17		2,870		3,286
10.750%, 02/01/18		1,705		1,875
Aventine Renewable Energy Holdings
13.000%, 03/15/15 (A) (E) (K)		986		1,035
0.000%, 04/01/17 (C)		2,750		2,578
Basic Energy Services
11.625%, 08/01/14		1,100		1,210
Bill Barrett
9.875%, 07/15/16		1,000		1,078
Chesapeake Energy
9.500%, 02/15/15		750		816
7.500%, 06/15/14		306		311
7.250%, 12/15/18		461		461
6.500%, 08/15/17		1,155		1,117
Cie Generale de Geophysique-Veritas
9.500%, 05/15/16		2,685		2,873
7.750%, 05/15/17		175		175
7.500%, 05/15/15		300		301
Cloud Peak Energy Resources
8.250%, 12/15/17 (A)		615		627
Compton Petroleum Finance
7.625%, 12/01/13		375		317
Consol Energy
8.250%, 04/01/20 (A)		2,510		2,579
8.000%, 04/01/17 (A)		2,030		2,086
Continental Resources
7.375%, 10/01/20 (A)		2,200		2,181
Copano Energy
7.750%, 06/01/18		2,600		2,594
Crosstex Energy
8.875%, 02/15/18 (A)		1,845		1,903
Denbury Resources
9.750%, 03/01/16		840		924
7.500%, 04/01/13		500		505
7.500%, 12/15/15		1,225		1,249


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Drummond
9.000%, 10/15/14 (A)	$	1,090	$	1,123
Dynegy Holdings
8.375%, 05/01/16		850		706
7.750%, 06/01/19		3,115		2,352
7.625%, 10/15/26		1,115		714
7.500%, 06/01/15		1,770		1,469
El Paso
8.250%, 02/15/16		150		160
8.050%, 10/15/30		175		175
7.800%, 08/01/31		150		147
7.420%, 02/15/37		950		856
7.250%, 06/01/18		2,240		2,311
El Paso Performance-Linked Trust
7.750%, 07/15/11 (A)		200		207
Enterprise Products Operating
8.375%, 08/01/66 (B)		545		553
Forbes Energy Services
11.000%, 02/15/15		1,882		1,769
Forest Oil
8.500%, 02/15/14		315		332
8.000%, 12/15/11		585		617
7.250%, 06/15/19		2,075		2,085
General Maritime
12.000%, 11/15/17 (A)		1,100		1,177
Gibson Energy ULC
10.000%, 01/15/18 (A)		605		594
Helix Energy Solutions Group
9.500%, 01/15/16 (A)		2,495		2,570
Hercules Offshore
10.500%, 10/15/17 (A)		955		953
Hilcorp Energy I
7.750%, 11/01/15 (A)		680		672
Holly
9.875%, 06/15/17 (A)		1,830		1,885
International Coal Group
9.125%, 04/01/18		1,065		1,081
Key Energy Services
8.375%, 12/01/14		820		829
Linn Energy
11.750%, 05/15/17 (A)		230		261
8.625%, 04/15/20 (A)		5,515		5,380
Mariner Energy
8.000%, 05/15/17		1,090		1,071
MarkWest Energy Partners
8.750%, 04/15/18		970		995
McMoRan Exploration
11.875%, 11/15/14		300		323
Murray Energy
10.250%, 10/15/15 (A)		980		1,004
Newfield Exploration
7.125%, 05/15/18		1,320		1,340
6.875%, 02/01/20		1,850		1,864
NFR Energy
9.750%, 02/15/17 (A)		760		758


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

OPTI Canada
8.250%, 12/15/14	$	3,255	$	3,060
7.875%, 12/15/14		1,235		1,155
Parker Drilling
9.125%, 04/01/18 (A)		2,295		2,349
Penn Virginia
10.375%, 06/15/16		400		434
PetroHawk Energy
10.500%, 08/01/14		1,800		1,987
9.125%, 07/15/13		1,490		1,555
7.875%, 06/01/15		1,915		1,951
Petroleum Development
12.000%, 02/15/18		2,000		2,120
Pioneer Drilling
9.875%, 03/15/18 (A)		965		955
Plains Exploration & Production
10.000%, 03/01/16		1,085		1,199
7.750%, 06/15/15		75		76
7.625%, 06/01/18		550		555
7.000%, 03/15/17		625		616
Quicksilver Resources
11.750%, 01/01/16		2,500		2,862
7.125%, 04/01/16		2,595		2,465
Range Resources
8.000%, 05/15/19		3,960		4,227
7.500%, 05/15/16		650		669
Sabine Pass LNG L.P.
7.500%, 11/30/16		4,560		4,024
SandRidge Energy
9.875%, 05/15/16 (A)		1,185		1,218
8.750%, 01/15/20 (A)		2,515		2,452
8.625%, 04/01/15		1,070		1,041
Southwestern Energy
7.500%, 02/01/18		900		977
Stone Energy
8.625%, 02/01/17		2,230		2,197
Targa Resources Partners
11.250%, 07/15/17 (A)		3,815		4,292
Tesoro
9.750%, 06/01/19		3,050		3,187
Valero Energy
10.500%, 03/15/39		1,950		2,504
Williams
7.875%, 09/01/21		93		109
7.750%, 06/15/31		278		312

				130,245


Financials — 14.5%
ALH Finance LLC
8.500%, 01/15/13		2,090		2,090
Alliant Holdings I
11.000%, 05/01/15 (A)		2,900		3,002
Allied Capital
6.625%, 07/15/11		3,755		3,683
6.000%, 04/01/12		1,050		1,009


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

American Financial Group
9.875%, 06/15/19	$	500	$	590
American General Finance MTN
5.375%, 10/01/12		275		259
4.875%, 07/15/12		925		871
0.504%, 12/15/11 (B)		2,915		2,726
American International Group
8.175%, 05/15/58 (B)		1,430		1,208
BAC Capital Trust XIV
5.630%, 03/15/12 (B)		1,815		1,366
Bank of America
8.000%, 12/29/49 (B)		1,130		1,153
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (C)		2,175		288
C5 Capital SPV
6.196%, 12/31/11 (A) (B)		145		101
Calfrac Holdings
7.750%, 02/15/15 (A)		2,850		2,832
Capital One Capital V
10.250%, 08/15/39		1,370		1,623
Cardtronics
9.250%, 08/15/13		560		578
9.250%, 08/15/13		1,445		1,492
Cemex Finance
9.500%, 12/14/16 (A)		3,655		3,783
CEVA Group
11.625%, 10/01/16 (A)		2,925		3,122
11.500%, 04/01/18 (A)		2,500		2,594
Chukchansi Economic Development Authority
4.024%, 11/15/12 (A) (B)		1,795		1,400
CIT Group
7.000%, 05/01/14		595		563
7.000%, 05/01/15		595		555
7.000%, 05/01/13		397		386
7.000%, 05/01/17		2,764		2,550
7.000%, 05/01/16		4,191		3,866
Citigroup Capital XXI
8.300%, 12/21/57 (B)		605		613
City National Bank
9.000%, 08/12/19		3,384		3,384
City National Capital Trust I
9.625%, 02/01/40		2,150		2,389
Comerica Bank
5.200%, 08/22/17		1,000		970
Corporate Office Properties
3.500%, 09/15/26 ‡(A)		197		195
Credit Acceptance
9.125%, 02/01/17 (A)		2,400		2,466
Delphi Financial Group
7.875%, 01/31/20		3,250		3,356
E*Trade Financial PIK
12.500%, 11/30/17		1,396		1,668
E*Trade Financial
7.875%, 12/01/15		860		825


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Felcor Lodging
10.000%, 10/01/14 ‡	$	1,130	$	1,164
FireKeepers Development Authority
13.875%, 05/01/15 (A)		3,450		3,993
Ford Motor Credit LLC
12.000%, 05/15/15		860		1,027
8.700%, 10/01/14		360		390
8.000%, 12/15/16		3,050		3,214
8.000%, 06/01/14		1,900		2,000
7.800%, 06/01/12		2,095		2,173
7.500%, 08/01/12		1,110		1,149
7.000%, 10/01/13		3,056		3,162
5.507%, 06/15/11 (B)		900		918
Fresenius US Finance II
9.000%, 07/15/15 (A)		300		334
Galaxy Entertainment Finance
9.875%, 12/15/12 (A)		1,305		1,360
Genworth Financial
8.625%, 12/15/16		700		764
6.500%, 06/15/34		1,090		947
6.150%, 11/15/66 (B)		4,700		3,619
GMAC
8.000%, 12/31/18		1,065		1,049
8.000%, 11/01/31		3,035		2,898
6.875%, 09/15/11		1,521		1,546
6.875%, 08/28/12		961		974
6.750%, 12/01/14		2,713		2,699
6.625%, 05/15/12		997		1,007
HBOS Capital Funding
6.071%, 06/30/49 (A) (B)		3,940		3,073
Hellas Telecommunications II
6.881%, 01/15/15 (A) (B) (C)		2,250		90
Hexion US Finance
9.750%, 11/15/14		2,519		2,569
4.750%, 11/15/14 (B)		500		460
Host Marriott LP, Ser O
6.375%, 03/15/15 ‡		115		114
Host Marriott LP, Ser Q
6.750%, 06/01/16 ‡		2,595		2,601
HUB International Holdings
10.250%, 06/15/15 (A)		360		345
9.000%, 12/15/14 (A)		2,440		2,367
Icahn Enterprises
8.000%, 01/15/18 (A)		3,075		2,964
7.750%, 01/15/16 (A)		5,100		4,909
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (B)		1,535		1,182
Inergy L.P.
8.250%, 03/01/16		285		294
6.875%, 12/15/14		225		225
International Lease Finance
8.750%, 03/15/17 (A)		4,270		4,368
8.625%, 09/15/15 (A)		2,230		2,280
6.375%, 03/25/13		800		782


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.650%, 06/01/14	$	595	$	551
5.000%, 09/15/12		2,150		2,066
LBG Capital No.1
7.875%, 11/01/20		1,220		1,098
LBI Escrow
8.000%, 11/01/17 (A)		9,020		9,358
Lehman Brothers Holdings MTN
6.875%, 05/02/18 (C)		2,750		650
5.625%, 01/24/13 (C)		825		198
Liberty Mutual Group
7.000%, 03/15/37 (A) (B)		1,275		1,087
Lincoln National
6.050%, 04/20/67 (B)		985		820
Lloyds Banking Group
6.267%, 11/14/16 (A)		335		199
5.920%, 09/29/49 (A) (B)		505		299
Marlin Water Trust II
6.310%, 07/15/03 (A) (C)		4,200		—
MBIA
5.700%, 12/01/34		2,500		1,280
MetLife
10.750%, 08/01/39		2,160		2,784
MetLife Capital Trust X
9.250%, 04/08/38 (A) (B)		3,550		3,994
Midwest Gaming Borrower
11.625%, 04/15/16 (A)		1,130		1,147
MU Finance
8.375%, 02/01/17 (A)		305		301
National Life Insurance
10.500%, 09/15/39 (A)		990		1,060
National Money Mart
10.375%, 12/15/16 (A)		315		334
NCO Group
11.875%, 11/15/14		800		732
Nielsen Finance
10.000%, 08/01/14		840		880
0.000%, 08/01/16 (F)		3,620		3,439
Novelis
11.500%, 02/15/15		580		624
7.250%, 02/15/15		1,805		1,742
Nuveen Investments
10.500%, 11/15/15		8,630		8,371
10.500%, 11/15/15		1,070		1,038
5.500%, 09/15/15		780		600
Ohio Casualty
7.300%, 06/15/14		905		986
Omega Healthcare Investors
7.500%, 02/15/20 ‡ (A)		3,495		3,530
Pinnacle Foods Finance
10.625%, 04/01/17		775		820
9.250%, 04/01/15		165		169
9.250%, 04/01/15 (A)		1,980		2,029
PNC Preferred Funding Trust II
6.113%, 03/29/49 (A) (B)		1,570		1,236


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Protective Life
8.450%, 10/15/39	$	2,800	$	2,937
Rabobank Nederland
11.000%, 12/31/49 (A) (B)		1,295		1,666
Radian Group
5.625%, 02/15/13		1,095		931
Radnet Management
10.375%, 04/01/18		1,235		1,219
Realogy
12.375%, 04/15/15		1,300		946
10.500%, 04/15/14		1,450		1,251
Regions Financing Trust II
6.625%, 05/15/47 (B)		469		349
Royal Bank of Scotland Group
7.640%, 09/29/17 (B)		1,685		1,062
Senior Housing Properties Trust
7.875%, 04/15/15 ‡		671		676
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		2,715		2,091
4.136%, 02/01/14 (A) (B)		770		562
Susquehanna Capital II
11.000%, 03/23/40		1,300		1,359
Symetra Financial
6.125%, 04/01/16 (A)		635		630
Torchmark
9.250%, 06/15/19		2,000		2,395
Unitrin
6.000%, 05/15/17		1,025		986
Universal City Development Partners
8.875%, 11/15/15 (A)		1,550		1,562
USB Capital IX
6.189%, 04/15/49 (B)		820		701
USI Holdings
9.750%, 05/15/15 (A)		3,369		3,184
Ventas Realty L.P.
9.000%, 05/01/12 ‡		675		720
7.125%, 06/01/15 ‡		391		406
6.750%, 04/01/17 ‡		850		873
Wind Acquisition Holdings Finance
12.250%, 07/15/17 (A)		1,900		1,881
XL Capital
6.500%, 12/31/49 (B)		670		569
Yankee Acquisition, Ser B
9.750%, 02/15/17		1,620		1,673
8.500%, 02/15/15		1,370		1,411
Zions Bancorporation
6.000%, 09/15/15		1,095		1,007
5.650%, 05/15/14		200		183
5.500%, 11/16/15		415		386

				211,604


Health Care — 7.1%
Accellent
10.500%, 12/01/13		820		832
8.375%, 02/01/17 (A)		1,700		1,726


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Alion Science and Technology
12.000%, 11/01/14 (A)	$	3,165	$	3,205
Apria Healthcare Group
12.375%, 11/01/14 (A)		5,680		6,220
Bausch & Lomb
9.875%, 11/01/15		2,065		2,184
Biomet
11.625%, 10/15/17		6,450		7,224
10.375%, 10/15/17		5,930		6,523
10.000%, 10/15/17		3,570		3,936
BioScrip
10.250%, 10/01/15 (A)		4,140		4,212
Catalent Pharma Solutions
9.500%, 04/15/15		5,764		5,664
Cooper
7.125%, 02/15/15		1,040		1,039
DJO Finance
10.875%, 11/15/14		4,595		4,991
10.875%, 11/15/14 (A)		2,135		2,319
HCA
9.875%, 02/15/17 (A)		160		174
9.625%, 11/15/16		8,031		8,603
9.250%, 11/15/16		1,000		1,066
8.500%, 04/15/19 (A)		2,160		2,323
7.875%, 02/15/20 (A)		3,100		3,245
Health Management Associates
6.125%, 04/15/16		2,030		1,934
Healthsouth
8.125%, 02/15/20		2,220		2,209
Inverness Medical Innovations
9.000%, 05/15/16		5,630		5,743
Novasep Holding SAS
9.750%, 12/15/16 (A)		780		757
PharmaNet Development Group
10.875%, 04/15/17 (A)		2,250		2,250
Phibro Animal Health
10.000%, 08/01/13 (A)		100		104
Psychiatric Solutions
7.750%, 07/15/15		2,150		2,190
ReAble Therapeutics Finance
11.750%, 11/15/14		2,317		2,456
Select Medical
7.625%, 02/01/15		2,115		2,015
Surgical Care Affiliates
8.875%, 07/15/15 (A)		1,554		1,555
Talecris Biotherapeutics Holdings
7.750%, 11/15/16 (A)		1,435		1,442
Tenet Healthcare
10.000%, 05/01/18 (A)		95		106
9.250%, 02/01/15		1,765		1,851
8.875%, 07/01/19 (A)		370		401
United Surgical Partners International PIK
9.250%, 05/01/17		1,630		1,687


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Universal Hospital Services
8.500%, 06/01/15	$	640	$	637
US Oncology
9.125%, 08/15/17		1,295		1,353
US Oncology Holdings
6.904%, 03/15/12 (B)		1,147		1,087
Vanguard Health Holding II
8.000%, 02/01/18 (A)		1,805		1,755
VWR Funding PIK
10.250%, 07/15/15		5,555		5,888

				102,906


Industrials — 9.3%
ACCO Brands
10.625%, 03/15/15 (A)		3,095		3,381
7.625%, 08/15/15		1,225		1,147
Actuant
6.875%, 06/15/17		2,000		1,940
Aleris International
0.000%, 12/15/16 (C)		1,800		8
Aleris International PIK
4.414%, 12/15/14 (C)		725		6
Alliant Techsystems
6.750%, 04/01/16		3,025		3,040
Allison Transmission
11.000%, 11/01/15 (A)		1,228		1,308
America West Airlines 1999-1 Pass Through Trust, Ser 1999-1
7.930%, 01/02/19		336		317
America West Airlines 2000-1 Pass Through Trust
8.057%, 07/02/20		2,340		2,214
American Airlines
13.000%, 08/01/16		2,782		3,129
American Axle & Manufacturing
7.875%, 03/01/17		1,190		1,110
Ames True Temper
10.000%, 07/15/12		330		326
4.284%, 01/15/12 (B)		1,610		1,526
Amsted Industries
8.125%, 03/15/18 (A)		3,085		3,085
Associated Materials
11.250%, 03/01/14		830		854
9.875%, 11/15/16		540		583
Atrium PIK
15.000%, 12/15/12 (A) (C)		1,625		24
Baker & Taylor
11.500%, 07/01/13 (A)		950		504
Baldor Electric
8.625%, 02/15/17		1,055		1,116
BE Aerospace
8.500%, 07/01/18		1,100		1,174
Belden
9.250%, 06/15/19 (A)		610		651


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Case New Holland
7.750%, 09/01/13 (A)	$	410	$	425
Casella Waste Systems
11.000%, 07/15/14 (A)		170		182
9.750%, 02/01/13		1,030		1,030
Chart Industries
9.125%, 10/15/15		1,600		1,600
Clean Harbors
7.625%, 08/15/16		535		543
Coleman Cable
9.000%, 02/15/18 (A)		4,965		5,014
Complete Production Services
8.000%, 12/15/16		650		644
Continental Airlines
7.339%, 04/19/14 (E) (K)		1,192		1,120
Continental Airlines 2000-1 Class B Pass Through Trust
8.388%, 11/01/20		1,425		1,411
Cornell
10.750%, 07/01/12		315		319
Corrections Corp of America
7.750%, 06/01/17		1,395		1,458
CPM Holdings
10.625%, 09/01/14 (A)		655		698
DAE Aviation Holdings
11.250%, 08/01/15 (A)		870		813
Delta Air Lines
12.250%, 03/15/15 (A)		4,200		4,478
7.711%, 09/18/11		1,700		1,692
Delta Air Lines, Ser 2002-1, Cl C
7.779%, 01/02/12		190		184
Douglas Dynamics
7.750%, 01/15/12 (A)		3,192		3,224
DP World Sukuk
6.250%, 07/02/17 (A)		650		594
Dycom Investments
8.125%, 10/15/15		2,180		2,027
Esco
8.625%, 12/15/13 (A)		95		95
4.129%, 12/15/13 (A) (B)		375		333
Express
8.750%, 03/01/18 (A)		485		495
General Cable
7.125%, 04/01/17		1,050		1,041
Geo Group
7.750%, 10/15/17 (A)		700		714
GeoEye
9.625%, 10/01/15 (A)		750		767
Global Aviation Holdings
14.000%, 08/15/13 (A)		2,750		2,795
Goodman Global Group
0.000%, 12/15/14 (A) (G)		4,400		2,574
Harland Clarke Holdings
9.500%, 05/15/15		3,530		3,309
6.000%, 05/15/15 (B)		865		711


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Intcomex
13.250%, 12/15/14 (A)	$	3,250	$	3,287
Interface
11.375%, 11/01/13		400		451
9.500%, 02/01/14		131		135
Interline Brands
8.125%, 06/15/14		570		587
Iron Mountain
8.375%, 08/15/21		1,030		1,071
K Hovnanian Enterprises
7.500%, 05/15/16		580		455
6.250%, 01/15/15		325		257
Kansas City Southern de Mexico
12.500%, 04/01/16		220		260
8.000%, 02/01/18 (A)		1,495		1,532
Koppers
7.875%, 12/01/19 (A)		1,620		1,669
L-3 Communications
5.875%, 01/15/15		255		259
L-3 Communications, Ser B
6.375%, 10/15/15		95		98
Manitowoc
9.500%, 02/15/18		1,115		1,162
Masco
7.125%, 03/15/20		735		742
McJunkin Red Man
9.500%, 12/15/16 (A)		665		679
Neenah Foundary
9.500%, 01/01/17 (C)		400		217
Niska Gas Storage US
8.875%, 03/15/18 (A)		1,585		1,621
Oshkosh
8.500%, 03/01/20 (A)		960		994
8.250%, 03/01/17 (A)		810		836
Ply Gem Industries
13.125%, 07/15/14 (A)		1,075		1,115
Quality Distribution
11.750%, 11/01/13 (A)		832		732
RailAmerica
9.250%, 07/01/17		647		690
RBS Global and Rexnord
11.750%, 08/01/16		1,255		1,346
9.500%, 08/01/14 (A)		2,331		2,424
Reynolds Group Issuer
7.750%, 10/15/16 (A)		6,890		7,080
Sabine Pass LNG
7.500%, 11/30/16 (A)		680		600
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)		850		756
Sequa
11.750%, 12/01/15 (A)		1,745		1,745
ServiceMaster
10.750%, 07/15/15 (A)		4,230		4,442
7.450%, 08/15/27		1,500		1,144


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

7.250%, 03/01/38	$	1,195	$	860
7.100%, 03/01/18		1,260		1,071
Spirit Aerosystems
7.500%, 10/01/17 (A)		745		764
SPX
7.625%, 12/15/14		1,190		1,245
Terex
10.875%, 06/01/16		950		1,052
8.000%, 11/15/17		4,760		4,629
Thermadyne Holdings
9.500%, 02/01/14		860		862
Ticketmaster Entertainment
10.750%, 08/01/16		3,430		3,824
Titan International
8.000%, 01/15/12		1,660		1,660
Trimas
9.750%, 12/15/17 (A)		555		575
Triumph Group
8.000%, 11/15/17		120		120
UAL Pass Through Trust Series 2000-1
8.030%, 07/01/11		563		833
UCI Holdings
8.257%, 12/15/13 (B)		1,150		1,081
United Air Lines
12.000%, 11/01/13 (A)		1,120		1,159
10.400%, 11/01/16		1,535		1,650
9.875%, 08/01/13 (A)		1,815		1,906
9.750%, 01/15/17		3,655		3,847
9.125%, 01/15/12 (C)		1,075		—
United Air Lines, Ser 95A1
9.560%, 10/19/18 (C)		569		205
9.020%, 04/19/12 (C)		362		91
United Air Lines, Ser A
0.000%, 05/01/04 (C)		525		—
USG
9.750%, 08/01/14 (A)		225		239
Wyle Services
10.500%, 04/01/18 (A)		1,745		1,745

				135,537


Information Technology — 5.2%
Activant Solutions
9.500%, 05/01/16		1,645		1,579
Aeroflex
11.750%, 02/15/15		1,170		1,252
Amkor Technology
9.250%, 06/01/16		2,775		2,928
7.750%, 05/15/13		1,500		1,511
Avaya
10.125%, 11/01/15		690		662
9.750%, 11/01/15		665		648
Brocade Communications Systems
6.875%, 01/15/20 (A)		440		449
6.625%, 01/15/18 (A)		440		447


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Compucom Systems
12.500%, 10/01/15 (A)	$	3,015	$	3,196
Equinix
8.125%, 03/01/18		2,900		3,002
First Data
10.550%, 09/24/15		1,800		1,521
9.875%, 09/24/15		8,955		7,724
9.875%, 09/24/15		1,900		1,620
Flextronics International
6.250%, 11/15/14		928		940
Freescale Semiconductor
10.125%, 03/15/18 (A)		400		431
10.125%, 12/15/16		1,715		1,518
8.875%, 12/15/14		230		220
GXS Worldwide
9.750%, 06/15/15 (A)		10,005		9,630
Innophos
8.875%, 08/15/14		1,280		1,318
Iron Mountain
8.750%, 07/15/18		1,020		1,068
JDA Software Group
8.000%, 12/15/14 (A)		915		952
NXP Funding LLC
10.000%, 07/15/13 (A)		489		518
9.500%, 10/15/15		1,050		1,040
7.875%, 10/15/14		1,980		1,931
Open Solutions
9.750%, 02/01/15 (A)		3,000		2,584
Sabre Holdings
8.350%, 03/15/16		1,675		1,591
Sanmina-SCI
8.125%, 03/01/16		825		830
3.004%, 06/15/14 (A) (B)		1,250		1,181
Sensata Technologies
8.000%, 05/01/14		900		929
Smart Modular Technologies
5.790%, 04/01/12 (B)		670		630
Spansion
0.000%, 06/01/13 (A) (B) (C)		490		492
SunGard Data Systems
10.625%, 05/15/15		1,555		1,695
10.250%, 08/15/15		4,983		5,238
9.125%, 08/15/13		320		328
Terremark Worldwide
12.250%, 06/15/17 (A)		2,475		2,846
Travelport
9.875%, 09/01/14		1,115		1,165
Unisys
14.250%, 09/15/15 (A)		1,540		1,836
12.750%, 10/15/14 (A)		6,085		7,097
Viasat
8.875%, 09/15/16 (A)		565		578


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Zayo Group
10.250%, 03/15/17 (A)	$	515	$	520

				75,645


Materials — 6.8%
Algoma Acquisition
9.875%, 06/15/15 (A)		1,255		1,155
Appleton Papers
10.500%, 06/15/15 (A)		940		935
Ashland
9.125%, 06/01/17 (A)		3,265		3,657
Berry Plastics
10.250%, 03/01/16		2,200		2,068
Boise Paper Holdings
9.000%, 11/01/17 (A)		2,715		2,851
BWAY
10.000%, 04/15/14		3,620		3,891
C8 Capital SPV
6.640%, 12/31/14 (A) (B)		760		528
Cascades
7.875%, 01/15/20 (A)		1,320		1,327
Century Aluminum
8.000%, 05/15/14		889		882
Clearwater Paper
10.625%, 06/15/16 (A)		790		877
CPG International I
10.500%, 07/01/13		1,865		1,870
Crown Americas
7.750%, 11/15/15		600		624
7.625%, 05/15/17 (A)		285		297
Domtar
10.750%, 06/01/17		2,700		3,280
9.500%, 08/01/16		275		304
Evraz Group
9.500%, 04/24/18 (A)		625		671
FMG Finance Property Ltd.
10.625%, 09/01/16 (A)		3,690		4,253
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		4,025		4,478
Georgia-Pacific LLC
8.250%, 05/01/16 (A)		3,090		3,368
8.000%, 01/15/24		1,690		1,791
7.125%, 01/15/17 (A)		5,480		5,699
7.000%, 01/15/15 (A)		1,155		1,195
Glatfelter
7.125%, 05/01/16 (A)		250		246
7.125%, 05/01/16		990		973
Graham Packaging
9.875%, 10/15/14		3,003		3,116
8.250%, 01/01/17 (A)		270		272
Graphic Packaging International
9.500%, 06/15/17		1,265		1,350
Headwaters
11.375%, 11/01/14 (A)		1,135		1,185


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Hexion Finance Escrow
8.875%, 02/01/18 (A)	$	480	$	473
Huntsman International
8.625%, 03/15/20 (A)		1,705		1,714
7.875%, 11/15/14		2,175		2,197
7.375%, 01/01/15		415		412
5.500%, 06/30/16 (A)		685		622
Innophos Holdings
9.500%, 04/15/12 (A)		725		725
Intertape Polymer
8.500%, 08/01/14		710		607
MacDermid
9.500%, 04/15/17 (A)		1,945		1,998
Millennium America
7.625%, 11/15/26 (C)		175		71
Momentive Performance Materials
12.500%, 06/15/14 (A)		520		588
Nalco
8.250%, 05/15/17 (A)		930		988
NewPage
11.375%, 12/31/14		4,065		4,045
Noranda Aluminium Acquisition PIK
4.524%, 05/15/15 (B)		2,493		1,982
Packaging Dynamics Finance
10.000%, 05/01/16 (A)		1,020		761
PE Paper Escrow GmbH
12.000%, 08/01/14 (A)		520		588
Plastipak Holdings
10.625%, 08/15/19 (A)		590		656
8.500%, 12/15/15 (A)		135		137
PolyOne
8.875%, 05/01/12		960		1,015
Pregis
12.375%, 10/15/13		2,081		2,112
Reichhold Industries
9.000%, 08/15/14 (A)		1,969		1,866
Ryerson
12.000%, 11/01/15		1,525		1,609
Scotts Miracle-Gro
7.250%, 01/15/18		160		163
Sealed Air
7.875%, 06/15/17 (A)		1,120		1,216
Solo Cup
10.500%, 11/01/13		790		833
8.500%, 02/15/14		1,425		1,393
Solutia
8.750%, 11/01/17		2,350		2,479
7.875%, 03/15/20		865		876
Steel Dynamics
7.750%, 04/15/16		1,200		1,254
7.625%, 03/15/20 (A)		785		805
Teck Resources
10.750%, 05/15/19		625		765
10.250%, 05/15/16		1,510		1,797


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Terra Capital
7.750%, 11/01/19	$	1,330	$	1,606
Vedanta Resources
9.500%, 07/18/18 (A)		1,550		1,713
Verso Paper Holdings
11.500%, 07/01/14 (A)		1,280		1,382
9.125%, 08/01/14		2,910		2,823
Viskase
9.875%, 01/15/18 (A)		1,075		1,088
Vitro
9.125%, 02/01/17 (C)		2,270		1,027

				99,529


Telecommunication Services — 7.5%
Citizens Communications
6.625%, 03/15/15		980		963
Clearwire Communications
12.000%, 12/01/15 (A)		4,800		4,896
12.000%, 12/01/15 (A)		3,825		3,892
Cricket Communications
10.000%, 07/15/15		575		598
9.375%, 11/01/14		3,309		3,367
Crown Castle International
9.000%, 01/15/15		2,405		2,603
Digicel
12.000%, 04/01/14 (A)		500		566
Digicel Group
10.500%, 04/15/18 (A)		1,195		1,240
9.125%, 01/15/15 (A)		300		298
8.875%, 01/15/15 (A)		785		771
8.250%, 09/01/17 (A)		1,295		1,282
GCI
8.625%, 11/15/19 (A)		2,395		2,440
Global Crossing
12.000%, 09/15/15 (A)		1,370		1,520
Inmarsat Finance
7.375%, 12/01/17 (A)		2,125		2,210
Intelsat
9.250%, 06/15/16		350		367
Intelsat Jackson Holding
11.250%, 06/15/16		3,950		4,276
9.500%, 06/15/16		1,370		1,459
8.500%, 11/01/19 (A)		1,355		1,423
Intelsat Luxembourg
11.500%, 02/04/17		3,937		4,036
11.250%, 02/04/17		3,340		3,532
Intelsat Subsidiary Holding
8.875%, 01/15/15 (A)		1,950		2,004
8.875%, 01/15/15		1,775		1,833
iPCS PIK
3.733%, 05/01/14 (B)		2,451		2,170
ITC Deltacom
10.500%, 04/01/16 (A)		570		568


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Level 3 Financing
10.000%, 02/01/18 (A)	$	2,780	$	2,655
8.750%, 02/15/17		1,200		1,098
4.140%, 02/15/15 (B)		125		104
MetroPCS Wireless
9.250%, 11/01/14		3,375		3,451
9.250%, 11/01/14		825		839
Nextel Communications
6.875%, 10/31/13		1,750		1,706
NII Capital
10.000%, 08/15/16 (A)		2,665		2,918
Nordic Telephone Holdings
8.875%, 05/01/16 (A)		1,765		1,893
Orascom Telecom Finance
7.875%, 02/08/14 (A)		1,800		1,706
PAETEC Holding
9.500%, 07/15/15		1,830		1,853
8.875%, 06/30/17		1,740		1,788
Qwest
7.500%, 06/15/23		1,015		1,015
7.250%, 10/15/35		1,200		1,158
7.250%, 09/15/25		745		752
6.875%, 09/15/33		225		217
Qwest Capital Funding
7.750%, 02/15/31		695		660
Qwest Communications International
7.125%, 04/01/18 (A)		1,130		1,167
Qwest Communications International, Ser B
7.500%, 02/15/14		1,720		1,750
Sable International Finance
7.750%, 02/15/17 (A)		1,085		1,128
SBA Telecommunications
8.250%, 08/15/19 (A)		360		383
8.000%, 08/15/16 (A)		360		379
Sprint Capital
8.750%, 03/15/32		2,960		2,745
6.900%, 05/01/19		3,810		3,486
Telcordia Technologies
10.000%, 03/15/13 (A)		4,485		4,384
4.034%, 07/15/12 (A) (B)		1,890		1,824
Telesat Canada
12.500%, 11/01/17		760		874
11.000%, 11/01/15		765		851
tw telecom holdings inc
8.000%, 03/01/18 (A)		2,190		2,239
Virgin Media Finance PLC
9.500%, 08/15/16		2,540		2,775
8.375%, 10/15/19		1,900		1,952
West
11.000%, 10/15/16		2,830		3,000
9.500%, 10/15/14		1,000		1,027
Wind Acquisition Finance
11.750%, 07/15/17 (A)		2,013		2,224


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

10.750%, 12/01/09 (A)	$	2,335	$	2,522
Windstream
8.625%, 08/01/16		1,920		1,973
8.125%, 08/01/13		40		42

				108,852


Utilities — 3.2%
AES
9.750%, 04/15/16 (A)		1,620		1,754
8.000%, 10/15/17		475		484
8.000%, 06/01/20		475		473
7.750%, 03/01/14		50		51
Calpine Generating
14.320%, 04/01/11 (B) (C)		1,600		216
Edison Mission Energy
7.625%, 05/15/27		1,400		896
7.500%, 06/15/13		605		525
7.200%, 05/15/19		1,650		1,139
7.000%, 05/15/17		2,667		1,860
Elwood Energy
8.159%, 07/05/26		808		765
Energy Future Holdings
10.875%, 11/01/17		3,220		2,391
10.000%, 01/15/20 (A)		5,425		5,656
6.500%, 11/15/24		1,055		549
Ferrellgas Partners
9.125%, 10/01/17 (A)		2,100		2,200
6.750%, 05/01/14		1,250		1,237
Mirant (Escrow Security)
0.000%, 07/15/04 (C)		450		4
0.000%, 10/15/49 (C)		50		—
Mirant Americas Generation LLC
8.500%, 10/01/21		2,382		2,239
Mirant North America LLC
7.375%, 12/31/13		2,080		2,075
North American Energy Alliance
10.875%, 06/01/16 (A)		1,100		1,171
NRG Energy
8.500%, 06/15/19		2,185		2,212
7.375%, 01/15/17		3,120		3,089
7.375%, 02/01/16		2,445		2,427
7.250%, 02/01/14		1,320		1,330
Orion Power Holdings
12.000%, 05/01/10		900		903
Public Service of New Mexico
7.950%, 05/15/18		2,600		2,713
Puget Sound Energy
6.974%, 06/01/67 (B)		905		806
Texas Competitive Electric Holdings
10.250%, 11/01/15		2,140		1,487
TXU, Ser P
5.550%, 11/15/14		1,015		741
TXU, Ser R
6.550%, 11/15/34		2,210		1,138


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

United Maritime Group
11.750%, 06/15/15 (A)	$	4,200	$	4,305

				46,836

Total Corporate Obligations (Cost $1,136,259) ($ Thousands)				1,203,675


LOAN PARTICIPATIONS — 7.5%
Affinion Group
7.641%, 03/01/12		4,690		4,409
Alliant Insurance Services, Tranche C
8.000%, 08/21/14		696		690
Allison Transmission
3.010%, 08/07/14		67		64
3.000%, 08/07/14		94		90
2.990%, 08/07/14		202		192
2.980%, 08/07/14		34		32
American General Finance
0.850%, 07/14/10		545		532
Aspect Software, 2nd Lien
7.313%, 06/20/12		1,680		1,613
Asurion, 2nd Lien
6.734%, 07/03/15		2,200		2,171
ATP Oil and Gas
12.250%, 12/26/13		85		86
11.750%, 12/26/13		44		44
11.250%, 12/26/13		914		923
Boston Generating, 2nd Lien
4.501%, 06/20/14		700		183
Boston Generating, Mezzanine
7.251%, 12/20/16		204		2
CDW
4.230%, 10/12/14		997		875
Central Parking
1.843%, 05/22/14		608		483
Central Parking, 1st Lien
2.563%, 05/22/14		1,437		1,155
CF Industries Holdings
0.000%, 12/02/16		2,640		2,640
Charter, Term B Loan
2.260%, 03/15/14		6		6
Chester Downs
12.375%, 12/31/49		579		591
CIT Group, Term Loan A-1
13.000%, 01/20/12		1,690		1,751
CIT Group, Term Loan A-2
9.500%, 01/20/12		1,296		1,326
CIT Group, Tranche A
0.000%, 01/20/12		2,633		2,694
Claire’s Stores
3.001%, 05/27/14		4,122		3,626
0.000%, 05/29/14		1,160		1,020
Clear Channel
3.884%, 01/29/16		318		257


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

DAE Aviation Holdings, Tranche B-1
4.000%, 07/31/14	$	125	$	118
4.000%, 07/31/14		235		221
DAE Aviation Holdings, Tranche B-2
4.000%, 09/27/14		350		330
3.990%, 09/27/14		1		1
Dana, Term B Loan
0.000%, 01/31/15 (J)		655		643
Dealer Computer Services
7.751%, 04/26/14		3,450		3,260
2.251%, 10/26/12		3		3
Dex Media West
7.500%, 10/24/14		146		140
Dex Media West
7.500%, 10/24/14		1,225		1,168
Dex Media, Term Loan D-2
3.750%, 06/30/11		1,092		1,065
Federal Mogul
2.167%, 12/29/14		1,226		1,132
Federal Mogul, Term C Loan
2.167%, 12/28/15		623		575
2.158%, 12/28/15		3		2
First Data, Initial Tranche B-1
3.001%, 09/24/14		50		44
2.999%, 09/24/14		28		25
2.982%, 09/24/14		921		815
First Data, Initial Tranche B-2
3.001%, 09/24/14		16		14
2.999%, 09/24/14		310		274
Ford Motor
3.480%, 12/14/11		1,068		940
Ford Motor, Revolving Credit
0.000%, 12/14/11 (H)		102		12
Freescale Semiconductor
12.500%, 12/15/14		2,656		2,725
4.479%, 12/01/16		641		601
2.005%, 12/01/13 (B)		135		127
Gambro Aktiebolag
10.000%, 11/24/16		965		772
5.000%, 05/24/16		922		820
Georgia Pacific
2.256%, 12/20/12		36		36
2.240%, 12/20/12		213		212
Greektown Casino
0.000%, 12/03/12 (C)		614		658
Greektown Casino DIP, Revolving Credit
0.000%, 09/30/10 (C)		114		—
Greektown Casino DIP, Term A Loan
0.000%, 09/30/10 (J)		1,086		1,097
Greektown Casino, Incremental Term Loan
0.000%, 12/03/12 (C)		36		39
Green Valley Ranch Gaming, 2nd Lien
3.504%, 08/06/14		2,000		124


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Green Valley Ranch, 1st Lien
2.251%, 02/16/14	$	12	$	9
2.249%, 02/16/14		234		178
2.249%, 02/16/14		310		236
Guitar Center
3.750%, 10/09/13		1,705		1,589
3.740%, 10/09/13		128		119
Harrah’s Operating
9.500%, 01/28/15		3,000		3,102
3.250%, 01/28/15		18		15
3.249%, 01/28/15		1,240		1,066
Hexion Specialty Chemicals, Term Loan C-1
2.563%, 05/05/13		1,217		1,146
Hexion Specialty Chemicals, Term Loan C-2
2.563%, 05/05/13		462		435
Iasis Healthcare
5.499%, 06/13/14		4,111		3,820
Ineos Group, Term C Loan
0.000%, 12/16/14 (J)		2		2
Ineos Group, Term Loan B-2
9.501%, 12/16/13		1,539		1,506
Ineos Group, Term Loan C-2
10.001%, 12/16/14		1,539		1,514
Infor Enterprise Solutions, 2nd Lien
0.000%, 03/02/14 (J)		781		648
0.000%, 03/02/14 (J)		286		238
Infor Global Enterprise Solutions, Tranche 1
6.479%, 03/02/14		1,583		1,313
Infor Global Solutions
8.230%, 08/29/14		2,425		1,524
0.000%, 07/28/12 (J)		573		553
0.000%, 08/29/14 (J)		210		132
0.000%, 08/29/14 (J)		800		503
Infor Global Solutions, 2nd Lien
6.479%, 03/02/14		917		760
Intelsat Jackson Holding
2.734%, 02/01/14		2,100		1,877
Jacuzzi
2.499%, 02/14/14		1,040		856
2.489%, 02/14/14		1		1
0.151%, 02/07/14		54		45
Landry’s Restaurants
8.000%, 05/13/11		1,649		1,647
Lyondell Chemical Dutch, Tranche A
3.731%, 12/20/13		166		130
Lyondell Chemical, Dutch Revolving Credit Loan
3.731%, 12/20/13		73		57
Lyondell Chemical, German Tranche B-1
3.981%, 12/22/14		211		164


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Lyondell Chemical, German Tranche B-3
3.981%, 12/22/14	$	211	$	164
Lyondell Chemical, New DIP
13.000%, 12/15/09		2,130		1,445
Lyondell Chemical, Primary Revolving Credit
3.731%, 04/30/14		275		215
Lyondell Chemical, Roll-Up DIP
6.560%, 12/15/09		1		1
5.793%, 12/15/09		1,332		1,416
Lyondell Chemical, Tranche A
3.731%, 12/20/13		525		409
Lyondell Chemical, Tranche B-2
3.981%, 12/22/14		211		164
Lyondell Chemical, U.S. Tranche B-1
7.000%, 12/20/14		915		714
Lyondell Chemical, U.S. Tranche B-2
7.000%, 12/22/13		915		714
Lyondell Chemical, U.S. Tranche B-3
3.731%, 12/22/14		915		714
Metroflag, 2nd Lien (C)
14.000%, 01/06/09		300		—
Nuveen Investments
3.322%, 11/09/14		52		48
Nuveen Investments, 2nd Lien
12.500%, 07/31/15		543		579
12.500%, 11/09/14		690		737
Open Link Financial
10.250%, 11/06/15		2,250		2,351
OSI Restaurant Partners
4.500%, 06/14/14		181		168
2.563%, 06/14/13		56		51
2.563%, 06/14/14		3,575		3,327
0.077%, 06/14/13		186		173
0.000%, 06/14/14 (B)		315		293
PQ
6.730%, 06/14/14		1,297		1,185
ProQuest, 2nd Lien
6.010%, 02/09/15		1,100		1,015
5.990%, 02/09/15		100		92
Realogy, Tranche 1
3.250%, 10/13/13		495		436
Realogy, Tranche 2
3.250%, 10/13/13		529		467
Rexnord, Term B Loan
7.252%, 03/01/13		2,220		1,443
Reynold, 1st Lien
6.250%, 10/24/12		1,500		1,513
Rite Aid
9.500%, 06/01/15		3,030		3,163
Sabre Holdings
2.479%, 09/30/14		631		588


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Sabre, Initial Term Loan
2.499%, 09/30/14	$	588	$	547
Simmons
7.351%, 02/15/12		409		4
7.313%, 02/15/12		1,227		12
Targa Resources, Term B Loan
0.000%, 02/09/16 (J)		1,500		1,215
Texas Competitive Electric Holdings, Term Loan B-2
3.751%, 10/10/14		80		66
3.735%, 10/10/14		9,394		7,707
Texas Competitive Electric Holdings, Term Loan B-3
3.751%, 10/10/14		3		2
3.735%, 10/10/14		379		308
Tronox DIP, Term Loan B-1
9.000%, 06/01/10		682		695
Tronox DIP, Term Loan B-2
9.000%, 06/01/10		183		187
Wide Open West Finance
7.230%, 06/27/15		2,410		2,104
Wide Open West Finance, 2nd Lien
0.000%, 06/27/15		475		415
Zuffa
7.500%, 06/18/15		1,746		1,754

Total Loan Participations (Cost $105,086) ($ Thousands)				109,234


COLLATERALIZED DEBT OBLIGATIONS — 2.3%

Financials — 2.0%
ACAS Business Loan Trust, Ser 2007-2A, Cl A
0.650%, 11/18/09 (A) (B)		1,131		1,001
ACAS CLO, Ser 2007-1A, Cl A1J
0.559%, 04/20/21 (A) (B)		3,150		2,425
ARES CLO, Ser 2007-1A, Cl SUB
0.000%, 04/16/21 (A)		3,800		1,254
CIFC Funding, Ser 2007-3A, Cl B
1.499%, 07/26/21 (A) (B)		2,500		1,496
CIT CLO, Ser 2007-1A, Cl E
5.271%, 06/20/21 (B)		1,900		665
CIT CLO, Ser 2007-1A, Cl D
2.271%, 06/20/21 (A) (B)		2,800		1,330
Connecticut Valley Structured Credit CDO, Ser 2006-3A, Cl NOTE
0.000%, 03/23/23 (A)		2,200		5
De Meer Middle Market CLO, Ser 2006-1A, Cl INC
0.000%, 10/20/18 (A)		3,366		1,119
De Meer Middle Market CLO, Ser 2006-1A, Cl B
0.649%, 10/20/18 (A) (B)		1,029		813


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)

Duane Street CLO, Ser 2007-5A, Cl SN
0.000%, 10/14/21 (A)	$	3,300	$	297
Emporia Preferred Funding, Cl C
1.149%, 04/23/21 (A) (B)		1,708		991
Gleneagles CLO, Ser AI
0.000%, 11/01/17 (B)		7		260
Hudson Straits CLO, Ser 2004-1A, Cl B
1.001%, 10/15/16 (A) (B)		2,100		1,722
ING Investment Management II CLO
0.000%, 08/01/20 (A) (B)		3		1,056
Lightpoint CLO, Ser 2006-4A, Cl INC
0.000%, 04/15/18 (A)		2,500		225
Marathon CLO, Ser 2005-2A, Cl INC
0.000%, 12/20/19 (A)		3,000		750
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (A) (C)		12,701		6,732
Rockwall CDO, Cl A1LA
0.549%, 08/01/21 (A) (B)		5,857		4,656
Stanfield Bristol CLO, Ser 2005-1A, Cl SUB
0.000%, 10/15/19 (A)		6,300		630
Stanfield Veyron CLO, Ser 2006-1A, Cl SUB
0.000%, 07/15/18		2,300		552
Tralee CDO, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 (A)		2,700		270
Waterfront CLO, Ser 2007-1A, Cl A2
0.684%, 08/02/20 (A) (B)		1,181		903

				29,152


Other Asset-Backed Securities — 0.3%
Grayson CLO, Cl A1B
0.609%, 11/01/21 (A) (B)		3,316		2,213
Stone Tower CDO, Cl A1LA
0.749%, 01/29/20 (A) (B)		1,787		1,493

				3,706

Total Collateralized Debt Obligations (Cost $56,780) ($ Thousands)				32,858


PREFERRED STOCK — 0.7%
Axis Capital Holdings		13		1,115
7.500%, 12/01/15 (B) (F)
BlackRock Insured Municipal Income Trust (B)		14		1,169
BlackRock Municipal Income Trust (B)		42		3,527
BlackRock MuniVest Fund (B)		13		1,084
BlackRock MuniYield Insured Fund (B)		11		893
Dana*		5		345


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

GMAC
7.000%, 12/31/11 (A)		1	$	530
Peritus I CDO, Ser 2007-1A*		3,750		225
Rockwall Investors* (A)		4,000		40
Stanfield Daytona CLO*		3,200		1,208

Total Preferred Stock (Cost $11,828) ($ Thousands)				10,136


CONVERTIBLE BONDS — 0.6%
ADC Telecommunications
3.500%, 07/15/17	$	555		415
ADC Telecommunications CV to 37.0336
3.500%, 07/15/15		750		612
Century Aluminum CV to 32.7430
1.750%, 08/01/24		165		149
Hologic CV to 25.9110
2.000%, 12/15/37		2,040		1,826
L-1 Identity Solutions CV to 31.25
3.750%, 05/15/27		640		611
Leap Wireless International CV to 10.729
4.500%, 07/15/14		1,200		1,044
Liberty Media CV to 16.7764
3.750%, 02/15/30		540		284
Liberty Media CV to 22.94686
4.000%, 11/15/29		375		203
Lions Gate Entertainment CV to 86.9565
2.938%, 10/15/24		1,124		1,075
Mirant
0.000%, 07/15/49 (C)		1,150		—
Mirant CV to 14.7167
0.000%, 06/15/21 (C)		2,200		4
Morgans Hotel Group CV to 37.1903
2.375%, 10/15/14		1,275		953
Standard Pacific
6.000%, 10/01/12		430		421
Vector Group
5.750%, 06/15/26 (B)		415		441

Total Convertible Bonds (Cost $7,378) ($ Thousands)				8,038


COMMON STOCK — 0.3%
CIT Group*		31,946		1,245
Dana Holding*		64,570		767
Delta Air Lines*		264		4
Dex One*		32,547		909
Shreveport Gaming Holdings		13,948		101
Solutia*		186		3
Spectrum Brands*		28,614		783
VSS AHC, Cl A* (E) (K)		38,453		459
World Color Press*		23,326		273

Total Common Stock (Cost $5,210) ($ Thousands)				4,544

A summary of outstanding swap agreements held by the Fund at March 31, 2010, is as follows:

Percentages are based on a Net Assets of $1,455,313 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust.

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees.

(B)

Variable Rate Security—The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2010. The date reported on the Schedule of Investments is the maturity date. The effective date may be shorter.

(C)

Security in default on interest payments.

(D)

This security or a partial position of this security is on loan at March 31, 2010 (see Note 9). The total value of securities on loan at March 31, 2010 was $— ($ Thousands).

(E)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2010 was $2,719 ($ Thousands) and represented 0.2% of Net Assets.

(F)

Step Bonds—The rate reflected on the Schedule of Investments is the effective yield on March 31, 2010. The coupon on a step bond changes on a specified date.

(G)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(H)

Unfunded bank loan.

(I)

This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of March 31, 2010 was $6 ($ Thousands).

(J)

Unsettled bank loan. Interest rate not available.

(K)

Security considered restricted. The total market value of such securities as of March 31, 2010 was $2,719 ($ Thousands) and represented 0.2% of Net Assets.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

LTD — Limited

LLC — Limited Liability Company

LLP — Limited Liability Partnership

L.P. — Limited Partnership

MTN — Medium Term Note

PIK — Payment-in-Kind

PLC — Public Limited Company

Ser — Series

Amounts designated as “—” are $0 or have been rounded to $0

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,199,851	$	3,824	$	1,203,675
Collateralized Debt Obligations		—		1,005		31,853		32,858
Preferred Stock		—		2,853		7,283		10,136
Convertible Bonds		—		8,034		4		8,038
Common Stock		4,085		—		459		4,544
Warrants		—		109		—		109
Loan Participations		—		101,644		7,590		109,234
Cash Equivalent		76,429		—		—		76,429
Affiliated Partnership		—		6		—		6

Total Investments in Securities	$	80,514	$	1,313,502	$	51,013	$	1,445,029


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Credit Default Swaps*	$	—	$	(1,013	)	$	—	$	(1,013	)

Swaps are valued at the unrealized depreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 94.2%
U.S. Treasury Bond TIPS
2.000%, 04/15/12 to 01/15/16 (A)	$	33,700	$	41,038
1.875%, 07/15/13		8,395		10,479
1.625%, 01/15/15		13,275		15,738
1.250%, 04/15/14		7,550		7,990
0.875%, 04/15/10		6,725		7,694
0.625%, 04/15/13		16,275		17,005
U.S. Treasury Note
3.375%, 07/31/13		3,900		4,105
2.375%, 02/28/15		4,200		4,171
1.500%, 07/15/12		15,575		15,697

Total U.S. Treasury Obligations (Cost $122,491) ($ Thousands)				123,917


AFFILIATED PARTNERSHIP — 11.0%
SEI Liquidity Fund, L.P., 0.210% (B)*†		14,446,658		14,447

Total Affiliated Partnership (Cost $14,447) ($ Thousands)				14,447


CASH EQUIVALENT — 6.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%*†		8,365,890		8,366

Total Cash Equivalent (Cost $8,366) ($ Thousands)				8,366

Total Investments — 111.5% (Cost $145,304) ($ Thousands)			$	146,730

Percentages are based on a Net Assets of $131,584 ($ Thousands).

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total value of securities on loan at March 31, 2010 was $12,287 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of March 31, 2010 was $14,447 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

TIPS — Treasury Inflation Protected Security

The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

For the six month period ended March 31, 2010 (Unaudited) and the year ended September 30, 2009

For the period ended March 31, 2010 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)

1. ORGANIZATION

SEI Institutional Managed Trust (the “Trust”) is organized as a Massachusetts business trust under a Declaration of Trust dated October 20, 1986.

The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 21 funds: Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Real Return, Prime Obligation and Multi-Strategy Alternative Funds (each a “Fund,” collectively the “Funds”). The Trust is registered to offer: Class A shares of the Funds; Class E shares of the S&P 500 Fund; Class I shares of the Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond and Real Return Funds; and Class Y shares of the Tax-Managed Large Cap Fund. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective, policies, and strategies.

As of March 31, 2010, the Prime Obligation Fund had not yet commenced operations.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies followed by the Funds.

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market

transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Committee meeting should be called based on the information provided.

Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing

bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.

In accordance with GAAP, Fair Value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 — quoted prices in active markets for identical investments

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

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

The valuation techniques used by the Funds to measure fair value during the six month period ended March 31, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the six month period ended March 31, 2010, there have been no significant changes to the Trust’s fair valuation methodologies.

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual.

Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over

the holding period of the security. Amortization of premiums and discounts is included in interest income.

Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.

Reverse Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no reverse repurchase agreements outstanding as of March 31, 2010.

Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative daily net assets.

Classes — Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets.

Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars on the following basis:

(I) market value of investment securities, assets and liabilities at the current rate of exchange; and

(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.

The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. To the extent consistent with its Investment Objective and Strategies, a Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. The Global Managed Volatility and Core Fixed Income Funds held Forward Foreign currency contracts as of March 31, 2010, as disclosed in the Funds Schedules of Investments.

Futures Contracts — All Funds, with the exception of the Real Estate, U.S. Fixed Income, High Yield Bond, Real Return and Multi-Strategy Alternative Funds, utilized futures contracts during the six month period ended March 31, 2010. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.

Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in

financial options/swaptions contracts for the purpose of hedging its existing fund securities, or securities that a Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. To the extent consistent with its Investment Objective and Strategies, a Fund may also invest in financial option/swaption contracts to enhance the Fund’s returns. When a Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. The Core Fixed Income Fund had option/swaption contracts as of March 31, 2010 as disclosed in the Fund’s Schedules of Investments.

The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities.

Securities Sold Short — As consistent with each Fund’s investment objectives, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. A Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a

Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.

Until a Fund closes its short position or replaces the borrowed security, a Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover the Fund’s short positions. At March 31, 2010, none of the Funds held any short positions.

Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and

liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Fund’s value from changes in interest rates, or to expose a Fund to a different security or market.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details.

Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.

Collateralized Debt Obligations — A Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.

For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or

default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — At March 31, 2010, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at March 31, 2010, were as follows:

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income and Real Return Funds; are declared and paid annually for the Global Managed Volatility and Multi-Strategy Alternative Funds; and declared daily and paid monthly for the Core Fixed Income, U.S. Fixed Income and High Yield Bond Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date.

Investments in REITs — With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

3. CREDIT DERIVATIVES

A Fund enters into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit

event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.

If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.

As of March 31, 2010, the Core Fixed Income Fund is the buyer (“receiving protection”) on a total notional amount of $52.2 million, and is the seller (“providing protection”) on a total notional amount of $47.7 million,. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:

The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.

The effect of derivative instruments on the Statement of Operations for the six month period ended March 31, 2010.

Amount of realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):

an annual fee of 0.35% of the average daily net assets of the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, High Yield Bond, Real Return and Multi-Strategy Alternative Funds; 0.15% of the average daily net assets of the Tax-Managed Large Cap Class Y; 0.22% of the average daily net assets of the S&P 500 Index Fund; and 0.28% of the average daily net assets of the Core Fixed Income and U.S. Fixed Income Funds. The Administrator has agreed voluntarily to waive all or a portion of its fee in order to limit the operating expenses of a Fund. Any such waiver is voluntary and may be terminated at any time at the Administrator’s sole discretion.

Investment Advisory Agreement — SEI Investments Management Corporation (“SIMC”) serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of short sale expenses and acquired fund fee expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:


	Advisory Fees		Voluntary Expense Limitations
Large Cap Fund, Class A	0.3900	%	0.8900	%
Large Cap Value Fund, Class A	0.3500		0.8900
Large Cap Value Fund, Class I	0.3500		1.1100
Large Cap Growth Fund, Class A	0.4000		0.8900
Large Cap Growth Fund, Class I	0.4000		1.1100
Tax-Managed Large Cap Fund, Class A	0.4000		0.8900
Tax-Managed Large Cap Fund, Class Y	0.4000		0.5600
S&P 500 Index Fund, Class A	0.0300		0.4300
S&P 500 Index Fund, Class E	0.0300		0.2500
S&P 500 Index Fund, Class I	0.0300		0.6500
Small Cap Fund, Class A	0.6500		1.1400
Small Cap Value Fund, Class A	0.6500		1.1400
Small Cap Value Fund, Class I	0.6500		1.3600
Small Cap Growth Fund, Class A	0.6500		1.1100
Small Cap Growth Fund, Class I	0.6500		1.3600
Tax-Managed Small Cap Fund, Class A	0.6500		1.1100
Mid-Cap Fund, Class A	0.4000		1.0200
Mid-Cap Fund, Class I	0.4000		1.2600
U.S. Managed Volatility Fund, Class A	0.6500		1.0000
U.S. Managed Volatility Fund, Class I	0.6500		1.2500
Global Managed Volatility Fund, Class A	0.6500		1.1100
Global Managed Volatility Fund, Class I	0.6500		1.3600
Tax-Managed Managed Volatility Fund, Class A	0.6500		1.0000
Real Estate Fund, Class A	0.6500		1.1400
Real Estate Fund, Class I	0.6500		1.3600


	Advisory Fees	Voluntary Expense Limitations
Enhanced Income Fund, Class A	0.4000	0.6000
Enhanced Income Fund, Class I	0.4000	0.8500
Core Fixed Income Fund, Class A	0.2750	0.6700
Core Fixed Income Fund, Class I	0.2750	0.8900
U.S. Fixed Income, Class A	0.2750	0.6600
High Yield Bond Fund, Class A	0.4875	0.8900
High Yield Bond Fund, Class I	0.4875	1.1100
Real Return, Class A	0.2200	0.4500
Multi-Strategy Alternative Fund, Class A	1.5000	0.5000

As of March 31, 2010, SIMC has entered into investment sub-advisory agreements with the following parties:

Investment Sub-Adviser

Large Cap Fund

Analytic Investors, LLC

Aronson+Johnson+Ortiz, L.P.

Delaware Management Company

INTECH Investment management, LLC

Legg Mason Capital Management, Inc.

LSV Asset Management

Neuberger Berman Management, LLC

Quantitative Management Associates, LLC

Large Cap Value Fund

Aronson + Johnson + Ortiz, LP

INTECH Investment Management, LLC

Legg Mason Capital Management Inc.

LSV Asset Management

Large Cap Growth Fund

Delaware Management Company

Goldman Sachs Asset Management, L.P.

INTECH Investment Management, LLC

Legg Mason Capital Management Inc.

Neuberger Berman Management LLC

Quantitative Management Associates LLC

Tax-Managed Large Cap Fund

Aronson + Johnson + Ortiz, LP

Delaware Management Company

Goldman Sachs Asset Management, L.P.

Legg Mason Capital Management Inc.

LSV Asset Management

Neuberger Berman Management LLC

Parametric Portfolio Associates

Quantitative Management Associates LLC

S&P 500 Index Fund

SSgA Funds Management, Inc.

Small Cap Fund

AQR Capital Management, LLC

Integrity Asset Management LLC

Los Angeles Capital Management and Equity Research, Inc.

Oppenheimer Capital LLC

Robeco Investment Management, Inc.

Wellington Management Company, LLP

Investment Sub-Adviser

Small Cap Value Fund

Artisan Partners Limited Partnership

Lee Munder Capital Group LLC

LSV Asset Management

Martingale Asset Management, L.P.

Panagora Asset Management, Inc.

Robeco Investment Management, Inc.

Wellington Management Company, LLP

Small Cap Growth Fund

AQR Capital Management, LLC

Janus Capital Management, LLC

Lee Munder Capital Group LLC

Los Angeles Capital Management and Equity Research Inc.

Oppenheimer Capital LLC

Tax-Managed Small Cap Fund

Lee Munder Capital Group LLC

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

Parametric Portfolio Associates

Wellington Management Company, LLP

Wells Capital Management, Inc.

Mid-Cap Fund

Martingale Asset Management, L.P.

Quantitative Management Associates LLC

U.S. Managed Volatility Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, LP

Global Managed Volatility Fund

Acadian Asset Management, LLC

Analytic Investors, LLC

Tax-Managed Managed Volatility Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, LP

Parametric Portfolio Associates

Real Estate Fund

Security Capital Research and Management, Inc.

Wellington Management Company, LLP

Enhanced Income Fund

UBS Global Asset Management (Americas) Inc.

Wellington Management Company, LLP

Core Fixed Income Fund

J.P. Morgan Investment Management, Inc.

Metropolitan West Asset Management LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

U.S. Fixed Income Fund

J.P. Morgan Investment Management, Inc.

Metropolitan West Asset Management LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

High Yield Bond Fund

Ares Management LLC

Brigade Capital Management, LLC

Investment Sub-Adviser

High Yield Bond Fund (continued)

Delaware Management Company

Guggenheim Investment Management, LLC

J.P. Morgan Investment Management, Inc.

Real Return Fund

Wellington Management Company, LLP

Multi-Strategy Alternative Fund

SEI Investments Management Corporation

Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC.

Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a distribution agreement with the Trust. The Trust has adopted a shareholder servicing plan for Class A, Class I and Class Y shares (the “Shareholder Servicing Plans”) under which a shareholder servicing fee of up to 0.25% of average daily net assets attributable to Class A and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to the Class Y shares, will be paid to the Distributor. In addition to the Shareholder Servicing Plans, the Class I shares have adopted administrative service plans that provide for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributed to that class.

Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission (“SEC”). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions.

Such commissions for the six month period ended March 31, 2010 were as follows ($ Thousands):


Large Cap Fund	$	10
Large Cap Growth Fund		46
Tax-Managed Large Cap Fund		20
Small Cap Fund		3
Small Cap Value Fund		15
Small Cap Growth Fund		2
Tax-Managed Small Cap Fund		27
Real Estate Fund		8

	$	131

Under both the Shareholder Servicing Plans and administrative service plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the six month period ended March 31, 2010, the Distributor retained 100% of the shareholder servicing fees, less the waiver, and 100% of the administration servicing fees.

Certain officers and/or trustees of the Trust are also officers of the Administrator or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Administrator or Distributor.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.

LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six month period ended March 31, 2010 were as follows ($ Thousands):

For the six month period ended March 31, 2010 (Unaudited) and the year or period ended September 30, 2009

7. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the six month period ended March 31, 2010, were as follows:


	U.S. Gov’t ($Thousands)		Other ($Thousands)		Total ($Thousands)
Large Cap Fund⁽¹⁾
Purchases	$	—	$	1,541,289	$	1,541,289
Sales		—		430,505		430,505
Large Cap Value Fund
Purchases		—		378,800		378,800
Sales		—		497,993		497,993
Large Cap Growth Fund
Purchases		—		621,336		621,336
Sales		—		904,341		904,341
Tax-Managed Large Cap Fund
Purchases		—		324,449		324,449
Sales		—		423,851		423,851
S&P 500 Index Fund
Purchases		—		120,295		120,295
Sales		—		171,462		171,462
Small Cap Fund⁽¹⁾
Purchases		—		335,794		335,794
Sales		—		135,173		135,173
Small Cap Value Fund
Purchases		—		179,961		179,961
Sales		—		264,009		264,009
Small Cap Growth Fund
Purchases		—		179,235		179,235
Sales		—		260,468		260,468
Tax-Managed Small Cap Fund
Purchases		—		90,843		90,843
Sales		—		99,933		99,933
Mid-Cap Fund
Purchases		—		75,748		75,748
Sales		—		73,749		73,749
U.S. Managed Volatility Fund
Purchases		—		72,779		72,779
Sales		—		105,154		105,154
Global Managed Volatility Fund
Purchases		—		168,113		168,113
Sales		—		137,683		137,683
Tax-Managed Managed Volatility
Purchases		—		31,854		31,854
Sales		—		21,244		21,244
Real Estate Fund
Purchases		—		66,872		66,872
Sales		—		91,330		91,330
Enhanced Income Fund
Purchases		33,689		2,616		36,305
Sales		39,849		37,241		77,090
Core Fixed Income Fund
Purchases		1,808,744		358,670		2,167,414
Sales		1,790,177		475,681		2,265,858
U.S Fixed Income Fund
Purchases		866,619		242,192		1,108,811
Sales		801,151		134,374		935,525
High Yield Bond Fund
Purchases		—		713,586		713,586
Sales		597		670,613		671,210


	U.S. Gov’t ($Thousands)		Other ($Thousands)		Total ($Thousands)
Real Return Fund
Purchases	$	136,691	$	—	$	136,691
Sales		96,420		—		96,420
Multi-Strategy Alternative Fund⁽²⁾
Purchases		—		98		98
Sales		—		—		—

(1)

For the period October 1, 2009 through March 31, 2010.

(2)

For March 31, 2010.

8. FEDERAL TAX INFORMATION

It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage- and asset-backed securities for tax purposes, return of capital, investments in swaps, master limited partnerships, municipal bonds, collateralized debt obligations, distribution reclassification, REIT income reclassification, foreign currency transactions, accretion and amortization on defaulted bonds reclassification and net operating losses have been reclassified to/from the following accounts as of September 30, 2009:


	Paid-in- Capital ($ Thousands)			Undistributed Net Investment Income/(Loss) ($ Thousands)			Accumulated Realized Gain/(Loss) ($ Thousands)
Large Cap Value Fund	$	—		$	439		$	(439	)
Large Cap Growth Fund		—			117			(117	)
Tax-Managed Large Cap Fund		—			237			(237	)
S&P 500 Index Fund		—			175			(175	)
Small Cap Value Fund		—			971			(971	)
Small Cap Growth Fund		(102	)		342			(240	)
Tax-Managed Small Cap Fund		(3	)		122			(119	)
Mid-Cap Fund		—			73			(73	)
U.S. Managed Volatility		—			34			(34	)
Global Managed Volatility Fund		66			(11,877	)		11,811
Tax-Managed Managed Volatility Fund		—			15			(15	)
Real Estate Fund		(37	)		1,998			(1,961	)
Enhanced Income Fund		—			(2,162	)		2,162
Core Fixed Income Fund		43			9,116			(9,159	)
U.S. Fixed Income Fund		—			(68	)		68
High Yield Bond Fund		—			10,611			(10,611	)
Real Return Fund		—			1			(1	)

The tax character of dividends and distributions paid during the years or periods ended September 30, 2009 and September 30, 2008 (unless otherwise indicated) was as follows:

As of September 30, 2009, the components of Distributable Earnings/(Accumulated Losses) were as follows:

Post October losses represent losses realized on investment transactions from November 1, 2008 through September 30, 2009 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:

During the year ended September 30, 2009, none of the Funds utilized capital loss carryforward to offset capital gains.

For Federal income tax purposes, the cost of securities owned at March 31, 2010, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at March 31, 2010, were as follows:


	Federal Tax Cost ($Thousands)		Appreciated Securities ($Thousands)		Depreciated Securities ($Thousands)			Net Unrealized Appreciation (Depreciation) ($Thousands)
Large Cap Fund	$	1,166,708	$	127,361	$	(12,320	)	$	115,041
Large Cap Value Fund		1,765,995		399,600		(153,410	)		246,190
Large Cap Growth Fund		1,674,371		433,671		(23,243	)		410,428
Tax-Managed Large Cap Fund		1,510,667		422,323		(94,382	)		327,941
S&P 500 Index Fund		1,026,255		660,449		(65,689	)		594,760
Small Cap Fund		222,070		35,195		(6,132	)		29,063
Small Cap Value Fund		670,184		119,363		(44,883	)		74,480
Small Cap Growth Fund		430,698		96,630		(17,339	)		79,291
Tax-Managed Small Cap Fund		239,091		70,750		(12,110	)		58,640
Mid-Cap Fund		160,074		27,360		(2,741	)		24,619


	Federal Tax Cost ($Thousands)		Appreciated Securities ($Thousands)		Depreciated Securities ($Thousands)			Net Unrealized Appreciation (Depreciation) ($Thousands)
U.S. Managed Volatility Fund	$	317,148	$	65,210	$	(5,747	)	$	59,463
Global Managed Volatility Fund		236,161		308,203		(287,732	)		20,471
Tax-Managed Managed Volatility Fund		165,999		36,017		(1,991	)		34,026
Real Estate		244,513		68,553		(9,912	)		58,641
Enhanced Income Fund		225,910		3,183		(14,241	)		(11,058	)
Core Fixed Income Fund		2,839,907		131,789		(208,541	)		(76,752	)
U.S. Fixed Income Fund		1,004,454		20,699		(3,326	)		17,373
High Yield Bond Fund		1,399,435		112,117		(66,523	)		45,594
Real Return Fund		145,304		1,700		(274	)		1,426
Multi-Strategy Alternative Fund		98		—		—			—

Management has analyzed the Funds’ tax position taken on federal income tax returns for all open tax years and has concluded that as of March 31, 2010, no provision for income tax would be required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

9. SECURITIES LENDING

Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 33¹/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.

Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.

10. CONCENTRATIONS/RISKS

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the

Trust’s and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is considered remote.

The market values of the Core Fixed Income, U.S. Fixed Income and High Yield Bond Funds’ investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.

11. RECENT ACCOUNTING PRONOUNCEMENT

In January 2010, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2010-6, Fair Value Measurements and Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements. ASU No. 2010-6 enhances and clarifies existing fair value measurement disclosure requirements and is effective for interim and annual periods beginning after December 15, 2009. The Trust is currently evaluating the impact, if any, of applying the provisions of ASU No. 2010-6.

12. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the Financial Statements as of March 31, 2010.

13. OTHER MATTERS

Due to volatility in the fixed income and equity markets, the market value of a Fund’s holdings may currently be lower than shown in the Summary Schedules of Investments (“SOI”). The values shown in the SOI’s were the market values as of March 31, 2010 and do not reflect any market events after March 31, 2010.

All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the mutual fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

• Actual Fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other mutual funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.


	Beginning Account Value 10/01/09		Ending Account Value 03/31/10		Annualized Expense Ratios		Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,111.20	0.89	%	$	4.68
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.49	0.89	%	$	4.48
Large Cap Value Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,110.60	0.89	%	$	4.68
Class I Shares		1,000.00		1,109.30	1.11	%		5.84
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.49	0.89	%	$	4.48
Class I Shares		1,000.00		1,019.40	1.11	%		5.59
Large Cap Growth Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,122.40	0.89	%	$	4.71
Class I Shares		1,000.00		1,121.10	1.11	%		5.87
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.49	0.89	%	$	4.48
Class I Shares		1,000.00		1,019.40	1.11	%		5.59


	Beginning Account Value 10/01/09		Ending Account Value 03/31/10		Annualized Expense Ratios		Expense Paid During Period*
Tax-Managed Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,113.20	0.89	%	$	4.69
Class Y Shares		1,000.00		1,114.50	0.56	%		2.95
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.49	0.89	%	$	4.48
Class Y Shares		1,000.00		1,022.14	0.56	%		2.82
S &P 500 Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,115.20	0.43	%	$	2.27
Class E Shares		1,000.00		1,116.30	0.25	%		1.32
Class I Shares		1,000.00		1,114.00	0.65	%		3.43
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.79	0.43	%	$	2.17
Class E Shares		1,000.00		1,023.68	0.25	%		1.26
Class I Shares		1,000.00		1,021.69	0.65	%		3.28
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,122.40	1.14	%	$	6.03
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.25	1.14	%	$	5.74


	Beginning Account Value 10/01/09		Ending Account Value 03/31/10		Annualized Expense Ratios		Expense Paid During Period*
Small Cap Value Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,135.50	1.14	%	$	6.07
Class I Shares		1,000.00		1,134.30	1.36	%		7.24
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.25	1.14	%	$	5.74
Class I Shares		1,000.00		1,018.15	1.36	%		6.84
Small Cap Growth Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,127.40	1.11	%	$	5.89
Class I Shares		1,000.00		1,126.20	1.36	%		7.21
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.40	1.11	%	$	5.59
Class I Shares		1,000.00		1,018.15	1.36	%		6.84
Tax-Managed Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,156.10	1.11	%	$	5.97
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.40	1.11	%	$	5.59
Mid-Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,135.90	1.02	%	$	5.43
Class I Shares		1,000.00		1,134.60	1.26	%		6.71
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.85	1.02	%	$	5.14
Class I Shares		1,000.00		1,018.65	1.26	%		6.34
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,112.70	1.00	%	$	5.27
Class I Shares		1,000.00		1,112.30	1.25	%		6.58
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.95	1.00	%	$	5.04
Class I Shares		1,000.00		1,018.70	1.25	%		6.29
Global Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,057.50	1.11	%	$	5.69
Class I Shares		1,000.00		1,057.10	1.35	%		6.92
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.40	1.11	%	$	5.59
Class I Shares		1,000.00		1,018.20	1.35	%		6.79
Tax-Managed Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,116.60	1.00	%	$	5.28
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.95	1.00	%	$	5.04
Real Estate Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,182.30	1.14	%	$	6.20
Class I Shares		1,000.00		1,180.70	1.36	%		7.39
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.25	1.14	%	$	5.74
Class I Shares		1,000.00		1,018.15	1.36	%		6.84
Enhanced Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,058.60	0.60	%	$	3.08
Class I Shares		1,000.00		1,058.20	0.85	%		4.36
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.94	0.60	%	$	3.02
Class I Shares		1,000.00		1,020.69	0.85	%		4.28
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,062.10	0.67	%	$	3.44
Class I Shares		1,000.00		1,062.10	0.89	%		4.58
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.59	0.67	%	$	3.38
Class I Shares		1,000.00		1,020.49	0.89	%		4.48


	Beginning Account Value 10/01/09		Ending Account Value 03/31/10		Annualized Expense Ratios		Expense Paid During Period*
U.S. Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,028.00	0.66	%	$	3.34
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.64	0.66	%	$	3.33
High Yield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,144.20	0.89	%	$	4.76
Class I Shares		1,000.00		1,143.70	1.11	%		5.93
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.49	0.89	%	$	4.48
Class I Shares		1,000.00		1,019.40	1.11	%		5.59
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,030.50	0.45	%	$	2.28
Hypothetical 5% Return
Class A Shares		1,000.00		1,022.69	0.45	%		2.27

Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period shown).

The SIMT Multi-Strategy Alternative Fund commenced operations on March 31, 2010. No values are shown in the “Disclosure of Fund Expenses” as the Fund did not incur any expenses for the one-day of operation.

Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)

SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services to the series of the Trust (the “Funds”), provides direct investment management for the Multi-Strategy Alternative Fund and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of certain Funds, except for the Multi-Strategy Alternative Fund, which is directly managed by SIMC. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission (“SEC”) takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

Consistent with these responsibilities, the Trust’s Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (b) SIMC’s and the Sub-Advisers’ investment management personnel; (c) SIMC’s and the Sub-Advisers’ operations and financial condition; (d) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds’ overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (h) SIMC’s and the Sub-Advisers’ compliance systems; (i) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (j) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds’ performance compared with similar mutual funds.

At the December 9-10, 2009 and March 24-25, 2010 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:

Nature, Extent and Quality of Services. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Advisers’ personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.

Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.

Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.

Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (concluded)

Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.

Robert A. Nesher, Chairman

Trustees

William M. Doran

James M. Storey

George J. Sullivan, Jr.

Rosemarie B. Greco

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Officers

Robert A. Nesher

President and Chief Executive Officer

Stephen F. Panner

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

James Ndiaye

Vice President, Assistant Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

John J. McCue

Vice President

Andrew S. Decker

Anti-Money Laundering Compliance Officer

Keri E. Rohn

Privacy Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG LLP

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.

For more information call

1 800 DIAL SEI

(1 800 342 5734)

The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund and Tax-Managed Managed Volatility Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund , Real Return Fund and Multi-Strategy Alternative Fund is included as part of the report to shareholders filed under Item 1 of this form.


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 96.8%

Consumer Discretionary — 10.9%
99 Cents Only Stores *	14,200	$	232
Abercrombie & Fitch, Cl A	2,400		110
Advance Auto Parts	3,700		155
Aeropostale *	33,446		964
Amazon.com *	72,155		9,793
American Eagle Outfitters	5,000		93
American Greetings, Cl A	14,200		296
Apollo Group, Cl A *	38,650		2,369
ArvinMeritor *	4,700		63
Autoliv	20,900		1,077
Autonation *	1,700		31
Autozone *	283		49
Bed Bath & Beyond *	3,300		144
Best Buy	33,600		1,429
Big 5 Sporting Goods	2,900		44
Big Lots *	19,300		703
BorgWarner *	2,800		107
Brinker International	1,600		31
Brink’s Home Security Holdings *	4,618		196
Cablevision Systems, Cl A	13,710		331
Career Education *	4,900		155
Carmax *	14,000		352
Carnival	800		31
CBS, Cl B	1,100		15
Chico’s FAS	62,800		906
Chipotle Mexican Grill, Cl A *	6,000		676
Coach	102,810		4,063
Comcast, Cl A	344,660		6,487
Cooper Tire & Rubber	7,600		145
Core-Mark Holding *	1,800		55
Darden Restaurants	15,900		708
Deckers Outdoor *	2,300		317
DeVry	900		59
Dick’s Sporting Goods *	2,000		52
DIRECTV, Cl A *	147,991		5,004
Discovery Communications, Cl C *	12,100		356
DISH Network, Cl A	59,074		1,230
Dollar Tree *	11,100		657
DreamWorks Animation SKG, Cl A *	4,400		173
Eastman Kodak	391,600		2,267
Education Management *	15,500		339
Expedia	11,500		287
Family Dollar Stores	22,900		838
Ford Motor *	638,454		8,025
Fossil *	6,000		227
Gannett	46,000		760
Gap	87,200		2,015
Garmin	30,300		1,166
Gentex	6,900		134
H&R Block	1,900		34
Hanesbrands *	900		25
Harley-Davidson	1,200		34
Harman International Industries	2,800		131
Helen of Troy *	8,900		232
Home Depot	70,400		2,277


Description	Shares	Market Value ($ Thousands)

International Game Technology	11,500	$	212
Interpublic Group *	4,600		38
J.C. Penney	89,300		2,873
Jarden	1,400		47
Johnson Controls	101,774		3,357
Jones Apparel Group	14,300		272
Kenneth Cole Productions, Cl A *	2,800		36
Kohl’s *	7,956		436
Lamar Advertising, Cl A *	400		14
Leggett & Platt	23,900		517
Lennar, Cl A	2,600		45
Liberty Global, Cl A *	22,600		659
Liberty Media - Capital, Ser A *	4,200		153
Liberty Media - Interactive, Cl A *	11,100		170
Liberty Media - Starz *	4,750		260
Limited Brands	12,000		295
LKQ *	22,800		463
Lowe’s	173,435		4,204
Macy’s	112,700		2,454
Madison Square Garden, Cl A *	4,252		92
Marriott International, Cl A	6,636		209
McDonald’s	20,942		1,397
McGraw-Hill	10,300		367
MGM Mirage *	7,300		88
NetFlix *	500		37
Newell Rubbermaid	16,600		252
News, Cl A	73,800		1,063
Nike, Cl B	69,024		5,073
Nordstrom	1,300		53
NVR *	200		145
Office Depot *	4,600		37
Omnicom Group	5,700		221
O’Reilly Automotive *	3,400		142
Oxford Industries	5,700		116
Penn National Gaming *	500		14
PetSmart	23,600		754
Phillips-Van Heusen	1,600		92
Polo Ralph Lauren	11,400		970
priceline.com *	14,200		3,621
RadioShack	31,000		702
Ross Stores	17,100		914
Royal Caribbean Cruises *	1,300		43
Scholastic	4,100		115
Scripps Networks Interactive, Cl A	6,700		297
Sears Holdings *	36,700		3,979
Service International	24,200		222
Signet Jewelers *	4,100		133
Sonic Automotive, Cl A *	2,800		31
Stanley Black & Decker	2,548		146
Staples	226,220		5,291
Starbucks	22,100		536
Starwood Hotels & Resorts Worldwide	700		33
Superior Industries International	3,200		51
Target	85,075		4,475
Tempur-Pedic International *	16,300		492
Thor Industries	9,300		281
Tiffany	3,300		157


Description	Shares	Market Value ($ Thousands)

Time Warner	284,617	$	8,900
Time Warner Cable, Cl A	130,100		6,936
TJX	35,100		1,493
TRW Automotive Holdings *	27,500		786
Ulta Salon Cosmetics & Fragrance *	5,500		124
Universal Technical Institute *	4,600		105
Urban Outfitters *	7,000		266
VF	13,218		1,059
Viacom, Cl B *	73,304		2,520
Virgin Media	16,100		278
WABCO Holdings	13,800		413
Walt Disney	106,126		3,705
Whirlpool	18,200		1,588
Williams-Sonoma	3,000		79
Winnebago Industries *	4,100		60
WMS Industries *	4,900		205
Wyndham Worldwide	15,500		399
Yum! Brands	77,900		2,986

			139,497


Consumer Staples — 8.6%
Altria Group	8,407		173
Archer-Daniels-Midland	66,500		1,922
Avon Products	9,100		308
BJ’s Wholesale Club *	900		33
Bunge	23,800		1,467
Campbell Soup	900		32
Casey’s General Stores	16,100		505
Clorox	3,200		205
Coca-Cola	140,805		7,744
Coca-Cola Enterprises	48,800		1,350
Colgate-Palmolive	38,612		3,292
ConAgra Foods	90,100		2,259
Constellation Brands, Cl A *	2,200		36
Corn Products International	800		28
Costco Wholesale	26,050		1,555
CVS Caremark	89,388		3,268
Dean Foods *	62,618		982
Del Monte Foods	63,900		933
Diageo ADR	33,300		2,246
Dole Food *	23,900		283
Dr Pepper Snapple Group	22,100		777
Estee Lauder, Cl A	2,300		149
General Mills	17,700		1,253
Green Mountain Coffee Roasters *	1,900		184
Herbalife	37,400		1,725
Hershey	32,467		1,390
HJ Heinz	7,074		323
Hormel Foods	1,200		50
JM Smucker	4,600		277
Kellogg	7,175		383
Kimberly-Clark	16,184		1,018
Kraft Foods, Cl A	18,839		570
Kroger	2,321		50
Lorillard	6,606		497
Mead Johnson Nutrition, Cl A	52,200		2,716
Medifast *	17,900		450
Molson Coors Brewing, Cl B	1,700		72
NBTY *	4,800		231
PepsiCo	150,817		9,978


Description	Shares	Market Value ($ Thousands)

Philip Morris International	205,029	$	10,694
Prestige Brands Holdings *	12,000		108
Procter & Gamble	264,754		16,751
Reynolds American	33,766		1,823
Safeway	65,100		1,618
Sanderson Farms	7,300		391
Sara Lee	235,442		3,280
Smithfield Foods *	6,000		124
SUPERVALU	60,345		1,007
SYSCO	197,077		5,814
Tyson Foods, Cl A	35,976		689
USANA Health Sciences *	1,600		50
Walgreen	271,986		10,088
Wal-Mart Stores	123,320		6,857
Whole Foods Market *	6,600		239

			110,247


Energy — 9.5%
Anadarko Petroleum	5,500		401
Apache	29,300		2,974
Arch Coal	1,100		25
Atwood Oceanics *	1,800		62
Baker Hughes	1,830		86
BJ Services	15,241		326
Cabot Oil & Gas	4,300		158
Cameron International *	4,676		200
Canadian Natural Resources	32,372		2,397
Chesapeake Energy	51,700		1,222
Chevron	294,864		22,359
Cimarex Energy	5,200		309
Concho Resources *	1,300		65
ConocoPhillips	303,933		15,552
Consol Energy	100		4
Continental Resources *	1,800		77
Denbury Resources *	53,473		902
Devon Energy	31,400		2,023
Diamond Offshore Drilling	8,500		755
Dresser-Rand Group *	4,200		132
El Paso	70,700		766
EOG Resources	35,900		3,337
Exxon Mobil	425,332		28,489
FMC Technologies *	2,600		168
Halliburton	92,200		2,778
Helix Energy Solutions Group *	39,500		515
Helmerich & Payne	17,300		659
Hess	10,245		641
Holly	18,300		511
Marathon Oil	121,010		3,829
Massey Energy	400		21
Murphy Oil	113,328		6,368
Nabors Industries *	300		6
National Oilwell Varco	47,034		1,909
Newfield Exploration *	2,000		104
Noble	16,100		673
Noble Energy	1,600		117
Occidental Petroleum	63,860		5,399
Oceaneering International *	1,900		121
Oil States International *	13,500		612
Patterson-UTI Energy	47,600		665
Peabody Energy	7,300		334
PetroHawk Energy *	1,000		20
Pioneer Natural Resources	800		45


Description	Shares	Market Value ($ Thousands)

Plains Exploration & Production *	900	$	27
Pride International *	1,000		30
Quicksilver Resources *	800		11
Range Resources	34,930		1,637
Rowan *	31,100		905
Schlumberger	57,700		3,662
SEACOR Holdings *	200		16
Smith International	3,489		149
Southwestern Energy *	38,900		1,584
Spectra Energy	18,800		424
St. Mary Land & Exploration	1,200		42
Stone Energy *	23,600		419
Sunoco	16,700		496
Tidewater	2,200		104
Transocean *	26,800		2,315
Unit *	7,500		317
Williams	46,900		1,083
XTO Energy	22,598		1,066

			122,403


Financials — 15.6%
Affiliated Managers Group *	900		71
Aflac	124,716		6,771
Allied World Assurance Holdings	8,900		399
Allstate	126,700		4,094
American Equity Investment Life Holding	8,900		95
American Express	300,394		12,394
American Financial Group	25,500		725
American International Group *	5,600		191
AmeriCredit *	5,300		126
Ameriprise Financial	36,800		1,669
Annaly Capital Management †	102,200		1,756
Anworth Mortgage Asset †	18,300		123
Assurant	25,174		865
AvalonBay Communities †	215		19
Axis Capital Holdings	29,700		928
Bank of America	924,222		16,497
Bank of Hawaii	5,400		243
Bank of New York Mellon	117,532		3,629
BB&T	7,539		244
BlackRock	3,900		849
Boston Properties †	600		45
Brandywine Realty Trust †	41,700		509
BRE Properties, Cl A †	900		32
Brookfield Asset Management, Cl A	25,100		638
Camden Property Trust †	1,500		62
Capital One Financial	93,700		3,880
CB Richard Ellis Group, Cl A *	7,700		122
Charles Schwab	4,300		80
Chimera Investment †	448,213		1,744
Chubb	53,200		2,758
Citigroup *	1,367,348		5,538
CME Group	13,900		4,394
CNA Financial *	21,200		566
Colony Financial †	3,500		70
Comerica	23,200		882
Compass Diversified Holdings	1,800		28
Cowen Group, Cl A *	2,400		14


Description	Shares	Market Value ($ Thousands)

Credicorp	9,300	$	820
Cullen/Frost Bankers	300		17
Discover Financial Services	102,598		1,529
Douglas Emmett †	2,200		34
Eaton Vance	4,700		158
Endurance Specialty Holdings	34,800		1,293
Equity Residential †	200		8
Essex Property Trust †	400		36
Everest Re Group	600		49
Federated Investors, Cl B	22,500		594
Fifth Third Bancorp	95,300		1,295
First American	3,800		129
First Citizens BancShares, Cl A	973		193
First Commonwealth Financial	15,900		107
First Community Bancshares	1,700		21
First Horizon National *	1,971		28
Flagstone Reinsurance Holdings	5,400		62
Forest City Enterprises, Cl A *	54,300		782
Franklin Resources	19,781		2,194
Fulton Financial	26,400		269
Genworth Financial, Cl A *	15,100		277
Goldman Sachs Group	65,699		11,210
Greenhill	100		8
Hanover Insurance Group	700		31
Hartford Financial Services Group	34,903		992
HCP †	3,100		102
Health Care †	800		36
Hospitality Properties Trust †	26,700		639
Host Hotels & Resorts †	5,566		82
HRPT Properties Trust †	216,700		1,686
Hudson City Bancorp	152,204		2,155
Huntington Bancshares	182,900		982
IntercontinentalExchange *	32,000		3,590
Invesco	6,400		140
Invesco Mortgage Capital †	5,500		127
Jefferies Group	7,400		175
Jones Lang LaSalle	11,000		802
JPMorgan Chase	441,126		19,740
Keycorp	10,300		80
LaBranche *	18,500		97
Lazard, Cl A	3,600		129
Legg Mason	900		26
Liberty Property Trust †	3,800		129
Lincoln National	3,000		92
Loews	14,957		558
M&T Bank	1,900		151
Macerich †	1,345		52
Mack-Cali Realty †	1,000		35
Marsh & McLennan	2,300		56
Marshall & Ilsley	14,600		118
Mercury General	16,800		734
MetLife	41,742		1,809
MFA Financial †	52,700		388
Moody’s	35,800		1,065
Morgan Stanley	87,462		2,562
MSCI, Cl A *	7,400		267
Nationwide Health Properties †	2,100		74
Nelnet, Cl A	4,100		76
New York Community Bancorp	104,256		1,724
Northern Trust	1,662		92


Description	Shares	Market Value ($ Thousands)

NYSE Euronext	150,835	$	4,466
OceanFirst Financial	2,600		30
Parkway Properties †	5,800		109
PartnerRe	100		8
PHH *	17,900		422
Phoenix *	16,300		39
Piper Jaffray *	1,200		48
Plum Creek Timber †	7,568		294
PNC Financial Services Group	50,521		3,016
Presidential Life	5,700		57
Principal Financial Group	7,000		204
Progressive	8,000		153
Prosperity Bancshares	3,400		139
Protective Life	7,500		165
Prudential Financial	71,200		4,308
Public Storage †	1,300		120
Raymond James Financial	1,100		29
Rayonier †	200		9
Regions Financial	28,084		220
Reinsurance Group of America, Cl A	14,500		762
RenaissanceRe Holdings	4,200		238
Resource Capital †	53,000		358
Senior Housing Properties Trust †	32,300		715
Simon Property Group †	1,663		140
SL Green Realty †	1,400		80
SLM *	57,300		718
St. Joe *	1,300		42
StanCorp Financial Group	1,300		62
State Street	72,900		3,291
Stewart Information Services	7,300		101
SunTrust Banks	5,900		158
Susquehanna Bancshares	5,300		52
SWS Group	9,100		105
T. Rowe Price Group	59,913		3,291
Taubman Centers †	20,800		830
TD Ameritrade Holding *	5,600		107
Torchmark	34,471		1,845
Transatlantic Holdings	2,200		116
Travelers	85,652		4,620
Trustco Bank NY	28,300		175
UDR †	8,100		143
United America Indemnity, Cl A *	3,000		29
Unitrin	4,800		135
Unum Group	84,800		2,100
US Bancorp	268,459		6,948
Ventas †	2,100		100
Vornado Realty Trust †	700		53
Waddell & Reed Financial, Cl A	22,100		797
Washington Federal	1,300		26
Webster Financial	3,700		65
Weingarten Realty Investors †	25,800		556
Wells Fargo	658,423		20,490
WesBanco	3,300		54
White Mountains Insurance Group	500		177
XL Capital, Cl A	58,200		1,100
Zions Bancorporation	11,100		242

			200,413


Description	Shares	Market Value ($ Thousands)

Health Care — 13.4%
Abbott Laboratories	73,690	$	3,882
Aetna	203,086		7,130
Alexion Pharmaceuticals *	600		33
Allergan	165,465		10,808
Allscripts Healthcare Solutions *	29,000		567
AmerisourceBergen	148,684		4,300
Amgen *	212,690		12,710
Amylin Pharmaceuticals *	3,400		76
Baxter International	36,459		2,122
Beckman Coulter	3,200		201
Becton Dickinson	28,940		2,279
Biogen Idec *	51,862		2,975
Bio-Rad Laboratories, Cl A *	300		31
Boston Scientific *	23,600		170
Bristol-Myers Squibb	178,667		4,770
Bruker BioSciences *	12,000		176
C.R. Bard	1,200		104
Cardinal Health	157,039		5,658
CareFusion *	1,600		42
Celgene *	2,406		149
Cerner *	3,100		264
Charles River Laboratories International *	6,700		263
Cigna	11,391		417
Community Health Systems *	2,800		103
Cooper	1,400		54
Covance *	3,700		227
Coventry Health Care *	12,500		309
Covidien	43,639		2,194
DaVita *	700		44
Dendreon *	6,900		252
Dentsply International	800		28
Edwards Lifesciences *	1,400		138
Eli Lilly	96,789		3,506
Express Scripts *	2,200		224
Forest Laboratories *	74,700		2,343
Genzyme *	84,700		4,390
Gilead Sciences *	110,200		5,012
Health Management Associates, Cl A *	7,300		63
Health Net *	33,800		841
Henry Schein *	1,900		112
Hill-Rom Holdings	5,200		142
Hologic *	1,400		26
Hospira *	5,600		317
Humana *	13,400		627
Idexx Laboratories *	9,500		547
Intuitive Surgical *	4,200		1,462
Inverness Medical Innovations *	3,700		144
Johnson & Johnson	238,413		15,545
Kinetic Concepts *	3,900		187
King Pharmaceuticals *	58,600		689
Laboratory Corp of America Holdings *	5,145		390
Life Technologies *	10,300		538
LifePoint Hospitals *	900		33
Lincare Holdings *	1,000		45
McKesson	91,297		6,000
Medco Health Solutions *	84,828		5,476
Mednax *	4,600		268


Description	Shares	Market Value ($ Thousands)

Medtronic	131,492	$	5,921
Merck	129,004		4,818
Mettler Toledo International *	5,700		623
Millipore *	1,379		146
Mylan Laboratories *	50,700		1,151
Novo Nordisk ADR	45,100		3,478
OSI Pharmaceuticals *	815		48
Par Pharmaceutical *	10,800		268
Patterson	5,000		155
PerkinElmer	6,700		160
Perrigo	4,300		252
Pfizer	813,215		13,947
Quest Diagnostics	15,200		886
ResMed *	100		6
St. Jude Medical *	34,102		1,400
Stryker	56,100		3,210
Tenet Healthcare *	37,900		217
Teva Pharmaceutical Industries ADR	26,770		1,689
Thermo Fisher Scientific *	24,700		1,271
United Therapeutics *	2,400		133
UnitedHealth Group	350,100		11,438
Universal Health Services, Cl B	9,000		316
Valeant Pharmaceuticals International *	19,900		854
Varian Medical Systems *	500		28
Vertex Pharmaceuticals *	1,400		57
Waters *	2,300		155
Watson Pharmaceuticals *	3,000		125
WellPoint *	92,301		5,942
Zimmer Holdings *	25,300		1,498

			171,595


Industrials — 9.0%
3M	49,345		4,124
Aecom Technology *	1,400		40
AGCO *	800		29
Alexander & Baldwin	2,900		96
Alliant Techsystems *	8,900		723
Avery Dennison	3,800		138
BE Aerospace *	1,200		36
Boeing	29,309		2,128
Bucyrus International, Cl A	400		26
C.H. Robinson Worldwide	1,183		66
Canadian National Railway	12,400		751
Carlisle	20,200		770
Caterpillar	6,200		390
Cintas	200		5
Con-way	3,400		120
Copa Holdings, Cl A	2,400		146
Corrections Corp of America *	12,300		244
Crane	14,700		522
CSX	11,542		588
Cummins	44,387		2,750
Danaher	21,175		1,692
Deere	2,400		143
Delta Air Lines *	74,585		1,088
Dollar Thrifty Automotive Group *	5,700		183
Dover	24,000		1,122
Dun & Bradstreet	174		13
DynCorp International, Cl A *	7,900		91


Description	Shares	Market Value ($ Thousands)

Eaton	10,200	$	773
EMCOR Group *	23,800		586
Emerson Electric	36,630		1,844
Ennis	8,100		132
Expeditors International of Washington	116,500		4,301
FedEx	22,000		2,055
Flowserve	1,400		154
Fluor	89,500		4,163
Gardner Denver	23,600		1,039
General Dynamics	71,339		5,507
General Electric	837,444		15,242
Goodrich	30,800		2,172
Graco	1,000		32
Harsco	5,400		172
Hertz Global Holdings *	200		2
Honeywell International	26,721		1,210
Hubbell, Cl B	34,739		1,752
IDEX	7,200		238
Illinois Tool Works	60,017		2,842
ITT	19,018		1,020
JB Hunt Transport Services	1,000		36
Joy Global	18,726		1,060
Kansas City Southern *	2,600		94
KBR	64,600		1,431
Kirby *	1,900		72
L-3 Communications Holdings	27,400		2,511
Lennox International	2,900		129
Lockheed Martin	67,761		5,639
Manpower	8,100		463
Masco	1,600		25
Monster Worldwide *	6,000		100
Mueller Industries	1,300		35
NACCO Industries, Cl A	1,100		82
Norfolk Southern	900		50
Northrop Grumman	79,380		5,205
Oshkosh Truck	23,400		944
Owens Corning *	14,200		361
Parker Hannifin	40,895		2,648
Precision Castparts	2,580		327
Quanta Services *	94,500		1,811
Raytheon	90,071		5,145
Republic Services	29,240		848
Rockwell Automation	16,600		935
Rockwell Collins	34,400		2,153
RR Donnelley & Sons	65,800		1,405
Ryder System	800		31
Schawk, Cl A	3,300		60
Shaw Group *	900		31
Southwest Airlines	5,800		77
Spirit Aerosystems Holdings, Cl A *	5,600		131
SPX	10,900		723
Taser International *	3,900		23
Teleflex	600		38
Textron	4,200		89
Thomas & Betts *	15,000		589
Timken	900		27
Toro	5,600		275
Towers Watson, Cl A	6,900		328
Tyco International	36,300		1,388
Union Pacific	17,778		1,303


Description	Shares	Market Value ($ Thousands)

United Parcel Service, Cl B	46,179	$	2,974
United Technologies	111,530		8,210
URS *	300		15
Valmont Industries	500		41
Verisk Analytics, Cl A *	1,400		39
Waste Management	29,675		1,022
WESCO International *	1,300		45
WW Grainger	10,100		1,092

			115,320


Information Technology — 20.4%
Accenture, Cl A	12,700		533
Activision Blizzard	6,000		72
Adobe Systems *	128,420		4,542
Advanced Micro Devices *	9,700		90
Agilent Technologies *	9,500		327
Alliance Data Systems *	1,100		70
Altera	3,700		90
Amdocs *	41,900		1,262
Amphenol, Cl A	1,900		80
Analog Devices	8,300		239
Ansys *	2,300		99
AOL *	741		19
Apple *	92,628		21,761
Applied Materials	4,400		59
Arrow Electronics *	4,000		120
Autodesk *	61,300		1,803
Automatic Data Processing	1,201		53
Avnet *	40,900		1,227
AVX	2,900		41
BMC Software *	17,100		650
Brightpoint *	10,900		82
Broadcom, Cl A	27,700		919
Broadridge Financial Solutions	14,200		303
Brocade Communications Systems *	9,000		51
CA	129,400		3,037
Cadence Design Systems *	9,900		66
Cirrus Logic *	8,600		72
Cisco Systems *	607,217		15,806
Citrix Systems *	48,265		2,291
Cognizant Technology Solutions, Cl A *	10,600		540
CommScope *	1,100		31
Computer Sciences *	52,867		2,881
Corning	118,400		2,393
Cree *	2,900		204
Cypress Semiconductor *	2,400		28
Dell *	280,558		4,211
Diebold	2,400		76
Dolby Laboratories, Cl A *	300		18
DST Systems	5,500		228
eBay *	252,400		6,802
EMC *	419,450		7,567
Equinix *	800		78
F5 Networks *	5,600		344
Factset Research Systems	2,900		213
Fairchild Semiconductor International *	4,600		49
Fidelity National Information Services	21,231		498
Fiserv *	5,700		289


Description	Shares	Market Value ($ Thousands)

Flextronics International *	94,200	$	738
Flir Systems *	1,300		37
Global Payments	3,000		137
Google, Cl A *	30,566		17,331
Harris	28,800		1,368
Hewlett-Packard	260,464		13,844
IAC *	8,300		189
Ingram Micro, Cl A *	81,631		1,433
Intel	511,401		11,384
International Business Machines	156,515		20,073
Intersil, Cl A	17,200		254
Intuit *	127,200		4,368
Iron Mountain	500		14
Jabil Circuit	148,110		2,398
Juniper Networks *	5,000		153
Kla-Tencor	11,100		343
Lam Research *	10,400		388
Lender Processing Services	6,000		226
Lexmark International, Cl A *	2,000		72
Linear Technology	6,200		175
Loral Space & Communications *	1,200		42
LSI Logic *	5,900		36
Marvell Technology Group *	57,500		1,172
Mastercard, Cl A	15,400		3,911
Maxim Integrated Products	7,800		151
McAfee *	12,500		502
Microchip Technology	10,000		282
Micron Technology *	348,037		3,616
Micros Systems *	6,400		210
Microsoft	894,315		26,177
Molex	3,400		71
Motorola *	55,700		391
National Instruments	1,000		33
National Semiconductor	18,400		266
NetApp *	13,700		446
NeuStar, Cl A *	2,300		58
Nokia ADR	161,500		2,510
Novellus Systems *	9,200		230
Nuance Communications *	88,400		1,471
Nvidia *	1,600		28
ON Semiconductor *	400		3
Oplink Communications *	900		17
Oracle	126,669		3,254
Paychex	71,100		2,183
PMC - Sierra *	35,600		317
Power Integrations	1,200		49
QLogic *	1,800		37
Qualcomm	293,800		12,337
Quest Software *	25,100		447
Rackspace Hosting *	106,300		1,991
Rambus *	5,200		114
Red Hat *	57,500		1,683
Rovi *	8,300		308
SAIC *	35,700		632
Salesforce.com *	2,900		216
Seagate Technology	133,712		2,442
Silicon Laboratories *	3,000		143
Sybase *	1,200		56
Symantec *	239,656		4,055
Synopsys *	2,900		65


Description	Shares	Market Value ($ Thousands)

Tech Data *	21,000	$	880
Tellabs	19,300		146
Teradata *	112,200		3,241
Teradyne *	700		8
Texas Instruments	344,021		8,418
Total System Services	15,500		243
Trimble Navigation *	1,700		49
Tyco Electronics	20,400		561
Varian Semiconductor Equipment Associates *	900		30
VeriSign *	143,900		3,743
Visa, Cl A	97,175		8,846
Vishay Intertechnology *	22,800		233
VMware, Cl A *	1,300		69
WebMD Health, Cl A *	4,599		213
Western Digital *	47,500		1,852
Western Union	37,600		638
Xerox	92,918		906
Xilinx	8,000		204
Yahoo! *	151,600		2,506
Zebra Technologies, Cl A *	5,200		154

			262,031


Materials — 3.3%
Air Products & Chemicals	7,200		532
Airgas	1,152		73
Albemarle	3,600		153
Alcoa	74,200		1,057
Alpha Natural Resources *	592		30
Ashland	17,600		929
Ball	15,200		811
Bemis	22,900		658
Boise *	12,900		79
Cabot	1,200		36
Celanese, Ser A	22,500		717
CF Industries Holdings	1,349		123
Compass Minerals International	400		32
Crown Holdings *	8,900		240
Cytec Industries	1,100		51
Dow Chemical	2,800		83
E.I. Du Pont de Nemours	117,030		4,358
Eagle Materials	900		24
Eastman Chemical	16,800		1,070
Ecolab	300		13
FMC	200		12
Freeport-McMoRan Copper & Gold, Cl B	51,785		4,326
Greif, Cl A	2,600		143
Huntsman	237,161		2,858
International Flavors & Fragrances	600		29
International Paper	28,400		699
Lubrizol	25,500		2,339
MeadWestvaco	10,500		268
Monsanto	42,112		3,008
Nalco Holding	97,800		2,379
Newmont Mining	41,442		2,111
Nucor	33,000		1,497
Owens-Illinois *	5,100		181
Packaging Corp of America	1,300		32
Pactiv *	4,300		108
PPG Industries	5,200		340


Description	Shares	Market Value ($ Thousands)

Praxair	30,115	$	2,500
Reliance Steel & Aluminum	12,500		615
Rock-Tenn, Cl A	17,200		784
RPM International	10,300		220
Scotts Miracle-Gro, Cl A	900		42
Sealed Air	11,000		232
Sigma-Aldrich	700		38
Solutia *	2,600		42
Sonoco Products	17,300		533
Southern Copper	52,600		1,666
Spartech *	9,900		116
Stepan	1,300		73
Syngenta ADR	48,300		2,681
Temple-Inland	5,200		106
Terra Industries	3,613		165
Valspar	6,700		197
Walter Energy	2,200		203
WR Grace *	3,900		108

			41,720


Telecommunication Services — 2.8%
AT&T	721,388		18,641
BCE	22,700		666
CenturyTel	12,701		450
Crown Castle International *	111,200		4,251
NII Holdings *	18,000		750
Qwest Communications International	3,700		19
SBA Communications, Cl A *	1,900		68
Sprint Nextel *	494,640		1,880
Telephone & Data Systems	21,200		718
tw telecom, Cl A *	800		15
Verizon Communications	275,645		8,550

			36,008


Utilities — 3.3%
AES *	644,000		7,084
Allegheny Energy	4,500		104
Alliant Energy	12,600		419
Ameren	24,100		629
American Electric Power	40,500		1,384
American Water Works	4,700		102
Aqua America	13,200		232
Atmos Energy	22,000		629
Calpine *	14,000		166
CMS Energy	9,900		153
Constellation Energy Group	8,500		298
Dominion Resources	40,300		1,657
DPL	35,597		968
DTE Energy	33,496		1,494
Edison International	85,700		2,928
Energen	30,286		1,409
Entergy	13,900		1,131
Equities	10,300		422
Exelon	56,699		2,484
FirstEnergy	34,594		1,352
FPL Group	38,500		1,861
Great Plains Energy	2,000		37
Hawaiian Electric Industries	1,400		31
Integrys Energy Group	19,534		926
Mirant *	72,300		785
National Fuel Gas	5,500		278
NiSource	52,200		825


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

NorthWestern		1,500	$	40
NRG Energy *		6,100		128
NSTAR		47,767		1,692
NV Energy		77,500		956
OGE Energy		16,700		650
Oneok		2,200		100
PG&E		23,436		994
Pinnacle West Capital		2,700		102
PPL		21,540		597
Public Service Enterprise Group		95,302		2,813
Questar		1,800		78
Sempra Energy		37,192		1,856
Southern Union		60,100		1,525
TECO Energy		4,800		76
Xcel Energy		39,871		845

				42,240

Total Common Stock (Cost $1,126,433) ($ Thousands)				1,241,474


CASH EQUIVALENT — 2.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		36,024,392		36,024

Total Cash Equivalent (Cost $36,024) ($ Thousands)				36,024


U.S. TREASURY OBLIGATIONS (A) (B) — 0.3%
U.S. Treasury Bills
0.326%, 02/10/11	$	400		399
0.130%, 06/03/10		3,736		3,735
U.S. Cash Management Bills
0.000%, 06/10/10		117		117

Total U.S. Treasury Obligations (Cost $4,251) ($ Thousands)				4,251

Total Investments — 99.9% (Cost $1,166,708) ($ Thousands)			$	1,281,749

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI	63	Jun-2010	$	58
S&P 500 Composite Index	89	Jun-2010		418
S&P Mid 400 Index E-MINI	43	Jun-2010		41

			$	517


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 96.8%

Consumer Discretionary — 10.4%
Abercrombie & Fitch, Cl A	12,800	$	584
Autoliv (A)	133,800		6,895
Autonation * (A)	5,300		96
Big Lots *	13,200		481
BorgWarner *	2,800		107
Brinker International	83,800		1,616
Cablevision Systems, Cl A	75,000		1,810
Carmax * (A)	45,300		1,138
Carnival	19,500		758
CBS, Cl B (A)	180,600		2,518
Coach (A)	87,400		3,454
Comcast, Cl A (A)	1,273,300		23,964
DIRECTV, Cl A *	215,510		7,286
Discovery Communications, Cl C *	15,200		447
DISH Network, Cl A	106,100		2,209
DreamWorks Animation SKG, Cl A *	21,700		855
Expedia	3,500		87
Family Dollar Stores (A)	45,500		1,666
Foot Locker	27,800		418
Ford Motor * (A)	754,600		9,485
Gannett (A)	142,000		2,346
Gap	271,700		6,279
Garmin (A)	9,800		377
Harley-Davidson (A)	43,000		1,207
Harman International Industries	12,300		575
Hasbro	65,000		2,488
Home Depot	297,300		9,618
International Game Technology	7,500		138
Interpublic Group *	74,600		621
J.C. Penney	93,600		3,011
Jarden	67,900		2,260
Johnson Controls	52,900		1,745
Kohl’s *	13,200		723
Lamar Advertising, Cl A * (A)	2,700		93
Lennar, Cl A (A)	45,600		785
Liberty Global, Cl A * (A)	68,700		2,003
Liberty Media - Capital, Ser A *	7,600		276
Liberty Media - Interactive, Cl A *	21,800		334
Liberty Media - Starz *	23,400		1,280
Limited Brands (A)	203,100		5,000
Lowe’s	48,000		1,164
Macy’s	285,400		6,213
Madison Square Garden, Cl A *	33,150		720
Marriott International, Cl A (A)	66,969		2,111
Mattel	6,300		144
MDC Holdings	900		31
MGM Mirage * (A)	62,300		747
Mohawk Industries *	5,700		310
New York Times, Cl A * (A)	41,700		464
Newell Rubbermaid (A)	117,300		1,783
News, Cl A	406,500		5,858
NVR *	1,200		872
Office Depot *	2,300		18
Penn National Gaming *	20,000		556
PetSmart	93,000		2,972


Description	Shares	Market Value ($ Thousands)

Phillips-Van Heusen	7,400	$	424
Polo Ralph Lauren	1,700		145
Pulte Homes * (A)	9,445		106
RadioShack (A)	137,100		3,103
Royal Caribbean Cruises *	9,900		327
Scripps Networks Interactive, Cl A (A)	29,200		1,295
Sears Holdings * (A)	24,200		2,624
Service International	171,500		1,574
Sherwin-Williams (A)	36,300		2,457
Stanley Black & Decker	10,140		582
Starwood Hotels & Resorts Worldwide	13,800		644
Tiffany	6,200		294
Time Warner	315,733		9,873
Time Warner Cable, Cl A (A)	164,424		8,765
TRW Automotive Holdings *	4,400		126
VF	4,500		361
Viacom, Cl B *	225,800		7,763
Virgin Media (A)	68,800		1,187
WABCO Holdings	4,700		140
Walt Disney	335,000		11,695
Wendy’s, Cl A	50,800		254
Whirlpool (A)	88,200		7,696
Williams-Sonoma	11,200		295
Wyndham Worldwide (A)	131,400		3,381
Wynn Resorts *	300		23

			196,130


Consumer Staples — 5.5%
Archer-Daniels-Midland	140,400		4,058
BJ’s Wholesale Club *	72,000		2,663
Brown-Forman, Cl B (A)	42,900		2,550
Bunge	10,700		659
Campbell Soup (A)	128,900		4,557
Central European Distribution *	2,500		88
Coca-Cola	55,500		3,052
Coca-Cola Enterprises	122,700		3,394
ConAgra Foods	263,900		6,616
Constellation Brands, Cl A *	11,100		182
Corn Products International	66,400		2,301
CVS Caremark	298,700		10,921
Del Monte Foods	339,400		4,955
Dr Pepper Snapple Group	35,300		1,242
Energizer Holdings *	2,400		150
General Mills	13,000		920
Herbalife	107,800		4,972
Hershey (A)	7,800		334
HJ Heinz	1,500		68
Hormel Foods	3,400		143
JM Smucker	18,100		1,091
Kimberly-Clark	42,600		2,679
Kraft Foods, Cl A	68,759		2,079
Kroger	213,700		4,629
Lorillard	1,700		128
Mead Johnson Nutrition, Cl A	17,300		900
Molson Coors Brewing, Cl B	10,800		454
NBTY *	12,500		600
Philip Morris International	49,600		2,587
Procter & Gamble	264,800		16,754
Safeway	273,300		6,794
Sara Lee (A)	370,700		5,164


Description	Shares	Market Value ($ Thousands)

Smithfield Foods * (A)	67,600	$	1,402
SUPERVALU (A)	134,837		2,249
Tyson Foods, Cl A	102,800		1,969
Whole Foods Market * (A)	10,100		365

			103,669


Energy — 17.1%
Anadarko Petroleum	41,300		3,008
Apache	92,700		9,409
Arch Coal	10,900		249
Atwood Oceanics *	4,000		138
Baker Hughes (A)	33,300		1,560
BJ Services	82,400		1,763
Cabot Oil & Gas (A)	37,900		1,395
Cameron International *	10,000		429
Chesapeake Energy (A)	44,500		1,052
Chevron	744,700		56,471
Cimarex Energy (A)	55,200		3,278
Concho Resources *	9,400		473
ConocoPhillips	588,586		30,118
Denbury Resources * (A)	55,200		931
Devon Energy	83,700		5,393
Diamond Offshore Drilling (A)	25,400		2,256
El Paso	357,500		3,875
EOG Resources	15,900		1,478
Exxon Mobil (A)	1,409,200		94,388
FMC Technologies *	40,100		2,592
Forest Oil *	11,100		287
Frontline	10,400		318
Halliburton	111,000		3,344
Helix Energy Solutions Group * (A)	149,100		1,943
Helmerich & Payne	3,700		141
Hess	62,700		3,922
Marathon Oil	443,600		14,035
Massey Energy	200		10
Murphy Oil	127,800		7,181
Nabors Industries * (A)	21,900		430
National Oilwell Varco	158,600		6,436
Newfield Exploration *	52,700		2,743
Noble	61,300		2,563
Noble Energy	17,900		1,307
Occidental Petroleum	192,400		16,265
Oil States International * (A)	66,100		2,997
Patterson-UTI Energy (A)	233,400		3,261
Pioneer Natural Resources	6,600		372
Plains Exploration & Production *	17,900		537
Pride International *	11,600		349
Range Resources (A)	25,000		1,172
Rowan * (A)	105,600		3,074
SandRidge Energy * (A)	48,300		372
Schlumberger (A)	134,500		8,535
SEACOR Holdings *	2,400		194
Smith International	12,100		518
Spectra Energy	28,300		638
St. Mary Land & Exploration	14,900		519
Sunoco (A)	99,600		2,959
Superior Energy Services *	2,400		50
Tesoro (A)	102,000		1,418
Tidewater (A)	58,300		2,756
Unit *	24,400		1,032


Description	Shares	Market Value ($ Thousands)

Valero Energy	133,800	$	2,636
Williams	239,000		5,521
XTO Energy	44,900		2,118

			322,209


Financials — 23.5%
Aflac	53,300		2,894
Alexandria Real Estate Equities † (A)	2,600		176
Allied World Assurance Holdings	10,300		462
Allstate	381,400		12,323
AMB Property †	16,700		455
American Express	151,400		6,247
American Financial Group	134,500		3,827
American International Group * (A)	46,400		1,584
AmeriCredit * (A)	22,400		532
Ameriprise Financial	194,200		8,809
Annaly Capital Management †	211,500		3,633
Apartment Investment & Management, Cl A † (A)	149,800		2,758
Arthur J. Gallagher	5,100		125
Associated Banc-Corp (A)	27,800		384
Assurant	155,500		5,346
AvalonBay Communities † (A)	2,088		180
Axis Capital Holdings	74,700		2,335
Bank of America	2,267,569		40,476
Bank of Hawaii	7,000		315
Bank of New York Mellon	228,422		7,054
BB&T (A)	98,400		3,187
BlackRock	6,800		1,481
Boston Properties † (A)	9,600		724
Brandywine Realty Trust †	39,600		483
BRE Properties, Cl A † (A)	5,500		197
Brookfield Asset Management, Cl A	128,300		3,261
Camden Property Trust †	19,400		808
Capital One Financial (A)	42,600		1,764
Chimera Investment †	153,300		596
Chubb (A)	184,800		9,582
Citigroup * (A)	3,428,700		13,886
City National (A)	4,500		243
CME Group	15,000		4,742
Comerica (A)	163,700		6,227
Credicorp	48,500		4,277
Cullen/Frost Bankers	2,400		134
Discover Financial Services	156,200		2,327
Douglas Emmett † (A)	21,500		330
Duke Realty †	19,000		236
Endurance Specialty Holdings (A)	165,400		6,145
Equity Residential †	3,600		141
Essex Property Trust † (A)	4,100		369
Everest Re Group	32,300		2,614
Federal Realty Investment Trust † (A)	1,000		73
Fidelity National Financial, Cl A	9,000		133
Fifth Third Bancorp	132,200		1,797
First American	34,400		1,164
First Horizon National * (A)	25,184		354


Description	Shares	Market Value ($ Thousands)

Forest City Enterprises, Cl A *	4,200	$	60
Franklin Resources (A)	74,300		8,240
Fulton Financial	32,100		327
Genworth Financial, Cl A *	37,900		695
Goldman Sachs Group	149,100		25,441
Hartford Financial Services Group	94,700		2,691
HCC Insurance Holdings	1,200		33
HCP † (A)	15,800		521
Hospitality Properties Trust †	122,900		2,943
Host Hotels & Resorts † (A)	46,145		676
HRPT Properties Trust † (A)	438,400		3,411
Hudson City Bancorp	293,000		4,149
Huntington Bancshares	770,900		4,140
Invesco	80,900		1,773
Jefferies Group (A)	16,200		383
Jones Lang LaSalle	44,500		3,244
JPMorgan Chase	1,170,000		52,358
Keycorp (A)	391,000		3,030
Legg Mason (A)	23,300		668
Leucadia National * (A)	32,700		811
Liberty Property Trust † (A)	41,000		1,391
Lincoln National (A)	150,667		4,625
Loews	104,700		3,903
M&T Bank (A)	19,900		1,580
Macerich † (A)	2,757		106
Mack-Cali Realty †	4,700		166
Marsh & McLennan	18,500		452
Marshall & Ilsley	230,200		1,853
Mercury General (A)	44,000		1,924
MetLife	54,800		2,375
Morgan Stanley	330,700		9,686
Nationwide Health Properties †	4,100		144
NYSE Euronext	223,700		6,624
PNC Financial Services Group (A)	179,055		10,689
Progressive	226,100		4,316
Protective Life (A)	37,400		822
Prudential Financial	107,400		6,498
Raymond James Financial (A)	47,300		1,265
Rayonier † (A)	5,000		227
Regency Centers † (A)	4,500		169
Regions Financial (A)	423,084		3,321
Senior Housing Properties Trust †	121,200		2,685
Simon Property Group † (A)	17,411		1,461
SL Green Realty † (A)	8,400		481
SLM *	146,700		1,837
StanCorp Financial Group	11,700		557
State Street	61,500		2,776
Sunstone Hotel Investors * †	104,912		1,172
SunTrust Banks (A)	51,800		1,388
T. Rowe Price Group (A)	80,000		4,394
Taubman Centers † (A)	108,000		4,311
TCF Financial (A)	29,100		464
Torchmark	12,500		669
Transatlantic Holdings	23,500		1,241
Travelers	299,900		16,177
UDR † (A)	39,400		695
Unum Group	212,300		5,259
US Bancorp	456,300		11,809
Validus Holdings	1,100		30


Description	Shares	Market Value ($ Thousands)

Ventas † (A)	10,300	$	489
Vornado Realty Trust †	2,400		182
Washington Federal	17,400		353
Wells Fargo	1,140,595		35,495
White Mountains Insurance Group	2,900		1,030
XL Capital, Cl A (A)	57,400		1,085
Zions Bancorporation (A)	88,700		1,935

			442,895


Health Care — 9.6%
Abbott Laboratories	32,300		1,702
Aetna	88,100		3,093
AmerisourceBergen	221,200		6,397
Amgen *	83,300		4,978
Boston Scientific *	218,600		1,578
Bristol-Myers Squibb	116,700		3,116
Cardinal Health	4,300		155
CareFusion *	5,400		143
Charles River Laboratories International * (A)	17,600		692
Cigna	131,600		4,814
Community Health Systems *	16,200		598
Cooper (A)	14,100		548
Coventry Health Care *	172,300		4,259
Eli Lilly (A)	238,900		8,653
Endo Pharmaceuticals Holdings *	88,100		2,087
Forest Laboratories *	206,000		6,460
Health Net *	61,100		1,520
Hill-Rom Holdings	29,200		795
Hologic * (A)	38,000		705
Humana *	79,200		3,704
Inverness Medical Innovations * (A)	6,800		265
Johnson & Johnson	272,400		17,761
Kinetic Concepts * (A)	63,400		3,031
King Pharmaceuticals * (A)	301,700		3,548
Life Technologies *	17,400		909
LifePoint Hospitals *	1,200		44
Lincare Holdings *	3,700		166
McKesson	19,900		1,308
Mednax *	27,400		1,594
Medtronic	32,500		1,463
Merck	449,857		16,802
Mylan Laboratories * (A)	28,900		656
PerkinElmer	52,700		1,260
Pfizer	2,464,622		42,268
Tenet Healthcare *	26,900		154
Thermo Fisher Scientific *	15,300		787
UnitedHealth Group	361,300		11,804
Universal Health Services, Cl B	49,600		1,741
Watson Pharmaceuticals * (A)	10,900		455
WellPoint *	213,000		13,713
Zimmer Holdings *	72,200		4,274

			180,000


Industrials — 9.8%
AGCO * (A)	9,700		348
Alexander & Baldwin (A)	20,100		664
Avery Dennison	11,900		433
BE Aerospace *	2,300		70
Boeing	139,400		10,122


Description	Shares	Market Value ($ Thousands)

Canadian National Railway	46,000	$	2,787
Carlisle	14,100		537
Caterpillar (A)	26,200		1,647
Con-way (A)	26,200		920
Corrections Corp of America * (A)	71,700		1,424
Crane	12,300		437
CSX	31,300		1,593
Cummins	49,100		3,042
Deere	43,300		2,574
Dover	59,800		2,796
Eaton	12,500		947
EMCOR Group *	66,900		1,648
Equifax	4,200		151
FedEx	43,300		4,044
Gardner Denver	79,700		3,510
GATX	4,500		129
General Cable *	1,500		41
General Dynamics	133,700		10,321
General Electric	2,912,600		53,010
Graco	5,500		176
Harsco	68,400		2,185
Hertz Global Holdings * (A)	23,900		239
Honeywell International (A)	41,900		1,897
Illinois Tool Works	120,300		5,697
ITT	7,000		375
Joy Global	1,600		90
Kansas City Southern * (A)	30,600		1,107
KBR	197,500		4,377
Kirby * (A)	22,500		859
L-3 Communications Holdings	44,300		4,059
Lockheed Martin	20,100		1,673
Manpower	60,700		3,467
Masco	41,600		646
Monster Worldwide * (A)	34,700		577
Norfolk Southern	52,700		2,945
Northrop Grumman	189,000		12,393
Oshkosh Truck	12,900		520
Owens Corning *	5,200		132
PACCAR	3,200		139
Parker Hannifin	15,200		984
Quanta Services *	19,600		375
Raytheon	111,400		6,363
Republic Services	10,100		293
Rockwell Automation (A)	46,200		2,604
RR Donnelley & Sons	408,400		8,719
Ryder System	8,300		322
Southwest Airlines	32,600		431
Spirit Aerosystems Holdings, Cl A *	23,500		549
SPX (A)	8,200		544
Teleflex	2,500		160
Terex *	2,600		59
Textron (A)	35,000		743
Thomas & Betts * (A)	20,600		808
Timken	5,900		177
Trinity Industries	6,800		136
Tyco International	132,600		5,072
Union Pacific	44,000		3,225
United Parcel Service, Cl B	43,300		2,789
United Technologies	39,800		2,930
URS *	4,300		213


Description	Shares	Market Value ($ Thousands)

WESCO International *	5,200	$	180

			184,424


Information Technology — 5.9%
Activision Blizzard	42,700		515
Advanced Micro Devices *	28,800		267
Amdocs *	86,200		2,595
AOL *	19,239		486
Applied Materials	210,600		2,839
Arrow Electronics *	41,200		1,241
Autodesk *	16,400		483
Avnet *	148,900		4,467
Broadridge Financial Solutions	9,400		201
Brocade Communications Systems *	88,300		504
CA	4,300		101
CommScope *	7,800		218
Computer Sciences *	69,000		3,760
Corning	41,500		839
Diebold	4,900		156
eBay *	175,600		4,732
EMC *	80,200		1,447
Fairchild Semiconductor International *	13,300		142
Fidelity National Information Services	50,800		1,191
Harris	124,800		5,927
Hewlett-Packard	226,700		12,049
IAC *	4,200		96
Ingram Micro, Cl A *	128,600		2,257
Intel	650,500		14,480
International Business Machines	10,000		1,282
Intersil, Cl A (A)	46,900		692
Itron *	1,900		138
Jabil Circuit	5,400		88
JDS Uniphase *	11,800		148
Kla-Tencor	85,100		2,631
Lexmark International, Cl A *	19,700		711
LSI Logic *	138,200		846
Marvell Technology Group *	26,900		548
Maxim Integrated Products (A)	37,900		735
Microchip Technology (A)	12,100		341
Micron Technology * (A)	179,000		1,860
Molex (A)	26,700		557
Motorola *	267,200		1,876
NCR *	119,700		1,652
NeuStar, Cl A *	80,500		2,028
Novell *	68,800		412
Novellus Systems * (A)	21,100		527
PMC - Sierra *	83,900		748
Rovi * (A)	23,700		880
Seagate Technology (A)	295,700		5,399
Symantec *	132,800		2,247
Synopsys * (A)	2,800		63
Tech Data * (A)	98,000		4,106
Tellabs	70,600		534
Teradata *	29,600		855
Texas Instruments	206,500		5,053
Total System Services (A)	27,000		423
Vishay Intertechnology *	319,200		3,265
Western Digital *	73,600		2,870


Description	Shares	Market Value ($ Thousands)

Xerox	487,009	$	4,749
Yahoo! *	59,100		977
Zebra Technologies, Cl A *	4,400		130

			110,364


Materials — 3.7%
Air Products & Chemicals	44,700		3,305
Airgas	2,400		153
Albemarle	36,200		1,543
Alcoa (A)	131,300		1,870
Allegheny Technologies (A)	1,700		92
Aptargroup	1,200		47
Ashland	4,800		253
Ball (A)	48,500		2,589
Bemis	6,100		175
Cabot	24,600		748
CF Industries Holdings (A)	4,400		401
Compass Minerals International (A)	4,000		321
Cytec Industries	17,300		809
Dow Chemical	14,300		423
E.I. Du Pont de Nemours	180,700		6,729
Eastman Chemical	150,500		9,584
Freeport-McMoRan Copper & Gold, Cl B	6,455		539
Greif, Cl A	27,400		1,505
Huntsman	87,700		1,057
International Paper (A)	131,600		3,239
Lubrizol	86,200		7,906
MeadWestvaco	119,400		3,051
Nucor (A)	78,900		3,580
Owens-Illinois *	69,500		2,470
Packaging Corp of America	10,800		266
PPG Industries	33,900		2,217
Reliance Steel & Aluminum	3,600		177
Rock-Tenn, Cl A (A)	46,750		2,130
RPM International (A)	51,800		1,105
Sealed Air	69,700		1,469
Sonoco Products	172,900		5,324
Southern Copper (A)	123,600		3,914
Steel Dynamics	1,300		23
Temple-Inland	11,100		227
Terra Industries	10,700		490
United States Steel (A)	1,100		70
Valspar	12,300		363
Vulcan Materials	1,400		66
Weyerhaeuser (A)	7,500		339

			70,569


Telecommunication Services — 5.7%
AT&T	2,337,395		60,398
CenturyTel (A)	138,687		4,918
Crown Castle International *	57,500		2,198
NII Holdings *	90,900		3,787
Qwest Communications International	49,300		257
Sprint Nextel *	762,400		2,897
Telephone & Data Systems	91,800		3,108
Verizon Communications (A)	955,500		29,640

			107,203


Utilities — 5.6%
AES *	133,000		1,463


Description	Shares	Market Value ($ Thousands)

AGL Resources	67,900	$	2,624
Alliant Energy	163,200		5,428
Ameren	79,400		2,071
American Electric Power	162,500		5,554
American Water Works	44,600		971
Atmos Energy	1,800		51
Calpine *	57,100		679
CMS Energy (A)	240,000		3,710
Constellation Energy Group	22,900		804
DPL	6,700		182
DTE Energy	196,800		8,777
Edison International	170,900		5,840
Energen	156,800		7,296
Entergy	42,400		3,449
Exelon	134,900		5,910
FirstEnergy	71,200		2,783
FPL Group	65,300		3,156
Great Plains Energy	10,300		191
Hawaiian Electric Industries	11,200		252
Integrys Energy Group	6,300		299
MDU Resources Group	36,000		777
Mirant *	384,200		4,172
National Fuel Gas	30,200		1,526
NiSource (A)	56,600		894
NRG Energy *	56,000		1,170
NV Energy	237,500		2,928
OGE Energy	6,100		238
Oneok	12,500		571
Pepco Holdings (A)	156,600		2,686
PG&E (A)	129,100		5,476
Pinnacle West Capital	73,900		2,788
Public Service Enterprise Group	167,000		4,930
Questar	29,900		1,292
RRI Energy *	32,700		121
Sempra Energy	100,400		5,010
Southern Union	320,800		8,139
TECO Energy (A)	47,700		758
Xcel Energy	3,100		66

			105,032

Total Common Stock (Cost $1,571,017) ($ Thousands)			1,822,495


AFFILIATED PARTNERSHIP — 8.1%
SEI Liquidity Fund, L.P.,
0.210% (B)**††	157,054,366		151,767

Total Affiliated Partnership (Cost $157,054) ($ Thousands)			151,767


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††	32,279,797		32,280

Total Cash Equivalent (Cost $32,280) ($ Thousands)			32,280


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION (C) (D) — 0.3%
U.S. Treasury Bills
0.117%, 06/03/10	$	5,645	$	5,643

Total U.S. Treasury Obligation (Cost $5,644) ($ Thousands)				5,643

Total Investments — 106.9% (Cost $1,765,995) ($ Thousands)			$	2,012,185

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	204	Jun-2010	$	561

For the period ended March 31, 2010 , the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,882,657 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $151,940 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan. The total value of such securities as of March 31, 2010 was $151,767 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

Ser — Series


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 93.9% ‡

Consumer Discretionary — 10.7%
99 Cents Only Stores *	23,100	$	377
Abercrombie & Fitch, Cl A	5,900		269
Advance Auto Parts	14,300		599
Aeropostale *	8,050		232
Amazon.com *	153,335		20,812
American Eagle Outfitters	34,300		635
American Greetings, Cl A	27,900		581
AnnTaylor Stores *	6,000		124
Autonation *	7,000		127
Autozone *	4,969		860
Bed Bath & Beyond * (A)	54,860		2,401
Best Buy	43,800		1,863
Big 5 Sporting Goods	3,600		55
BorgWarner *	4,800		183
Brink’s Home Security Holdings *	20,800		885
Career Education *	31,200		987
Carmax *	41,400		1,040
Chico’s FAS	216,700		3,125
Chipotle Mexican Grill, Cl A *	7,200		811
Coach (A)	210,645		8,325
Comcast, Cl A	74,514		1,402
Cooper Tire & Rubber	27,900		531
Core-Mark Holding *	7,200		220
Darden Restaurants	6,500		290
Deckers Outdoor *	400		55
DeVry	20,200		1,317
Dick’s Sporting Goods *	13,500		353
DIRECTV, Cl A *	135,714		4,589
Discovery Communications, Cl C *	77,300		2,273
Dollar Tree *	35,000		2,073
Education Management *	25,900		567
Expedia	35,400		883
Family Dollar Stores	1,100		40
Gap	79,000		1,826
Garmin	7,200		277
Gentex	46,000		894
Guess?	1,500		71
H&R Block	16,100		287
Harman International Industries	10,300		482
Helen of Troy *	7,400		193
Hillenbrand	3,800		84
Home Depot	8,200		265
International Game Technology	35,700		659
John Wiley & Sons, Cl A	2,100		91
Johnson Controls	238,492		7,868
Kohl’s *	37,600		2,060
Leggett & Platt	74,900		1,621
Limited Brands	18,700		460
LKQ *	33,900		688
Lowe’s	682,634		16,547
Macy’s	5,300		115
Maidenform Brands *	12,500		273
Marriott International, Cl A	12,217		385
Mattel	7,900		180
McDonald’s	181,560		12,114
McGraw-Hill	52,500		1,872


Description	Shares	Market Value ($ Thousands)

MGM Mirage *	2,700	$	32
Monro Muffler	2,200		79
NetFlix *	1,500		111
Newell Rubbermaid	43,400		660
Nike, Cl B (A)	244,660		17,983
Nordstrom	1,000		41
NVR *	300		218
Omnicom Group	26,600		1,032
O’Reilly Automotive *	39,700		1,656
Oxford Industries	10,200		207
PetSmart	11,200		358
Phillips-Van Heusen	21,100		1,210
Polo Ralph Lauren	12,700		1,080
priceline.com * (A)	40,400		10,302
RadioShack	4,600		104
Ross Stores	81,500		4,358
Scripps Networks Interactive, Cl A	28,500		1,264
Sherwin-Williams	1,100		74
Skechers U.S.A., Cl A *	11,700		425
Snap-On	2,200		95
Staples (A)	785,571		18,375
Starbucks	102,400		2,485
Stein Mart *	4,600		42
Strayer Education	400		97
Superior Industries International	4,000		64
Target	380,955		20,038
Tempur-Pedic International *	31,100		938
Texas Roadhouse, Cl A *	33,100		460
Thor Industries	28,500		861
Tiffany	23,800		1,130
Time Warner	140,056		4,380
TJX	82,300		3,499
TRW Automotive Holdings *	51,200		1,463
Universal Technical Institute *	3,600		82
Urban Outfitters *	29,300		1,114
VF	16,900		1,355
Viacom, Cl B *	82,903		2,850
WABCO Holdings	8,600		257
Williams-Sonoma	2,700		71
WMS Industries *	21,700		910
Wyndham Worldwide	3,200		82
Yum! Brands	121,500		4,657

			214,695


Consumer Staples — 12.7%
Altria Group	99,640		2,044
Archer-Daniels-Midland	112,700		3,257
Avon Products	172,052		5,827
BJ’s Wholesale Club *	2,600		96
Brown-Forman, Cl B	1,600		95
Campbell Soup	11,000		389
Clorox	11,900		763
Coca-Cola	520,483		28,626
Coca-Cola Enterprises	120,200		3,325
Colgate-Palmolive (A)	148,774		12,685
Costco Wholesale (A)	201,870		12,054
CVS Caremark	46,031		1,683
Dean Foods *	40,900		642
Diageo ADR (A)	94,570		6,379
Estee Lauder, Cl A	16,100		1,044


Description	Shares	Market Value ($ Thousands)

Flowers Foods	4,700	$	116
General Mills	14,600		1,034
Green Mountain Coffee Roasters *	12,500		1,210
Hansen Natural *	1,500		65
Herbalife	17,500		807
Hershey	8,400		360
HJ Heinz	7,100		324
Kellogg	34,800		1,859
Kimberly-Clark	11,800		742
Kraft Foods, Cl A	111,590		3,374
Kroger	5,900		128
Lorillard	25,900		1,949
McCormick	2,300		88
Mead Johnson Nutrition, Cl A	149,320		7,769
Medifast *	55,100		1,385
Molson Coors Brewing, Cl B	4,300		181
NBTY *	21,100		1,012
Nu Skin Enterprises, Cl A	7,900		230
PepsiCo	633,439		41,908
Philip Morris International	412,090		21,495
Procter & Gamble	729,793		46,174
Reynolds American	5,600		302
Sara Lee	45,300		631
SYSCO	400		12
USANA Health Sciences *	6,700		211
Walgreen	392,252		14,549
Wal-Mart Stores	485,710		27,005
Whole Foods Market *	25,700		929

			254,758


Energy — 4.2%
Cameron International *	15,652		671
Canadian Natural Resources	88,542		6,556
Denbury Resources * (A)	132,242		2,231
Diamond Offshore Drilling	5,500		488
Dresser-Rand Group *	11,100		349
El Paso	10,000		108
EOG Resources	82,300		7,649
Exxon Mobil	151,900		10,174
FMC Technologies *	6,900		446
Halliburton	312,240		9,408
Occidental Petroleum	105,331		8,905
Oceaneering International *	7,100		451
Peabody Energy	8,600		393
Pride International *	6,200		187
Range Resources (A)	91,499		4,289
Schlumberger (A)	273,011		17,325
Southwestern Energy *	179,703		7,317
Suncor Energy	79,388		2,583
Transocean *	49,100		4,241
Unit *	3,900		165
Williams	16,500		381

			84,317


Financials — 5.1%
Affiliated Managers Group *	4,900		387
Aflac	91,634		4,975
Alexandria Real Estate Equities †	1,700		115
American Express	344,012		14,194
American International Group *	11,600		396
AmeriCredit *	3,300		78


Description	Shares	Market Value ($ Thousands)

Ameriprise Financial	16,700	$	758
Arthur J. Gallagher	4,400		108
Axis Capital Holdings	4,000		125
Bank of New York Mellon (A)	243,501		7,519
BlackRock	6,200		1,350
Capital One Financial	7,800		323
CB Richard Ellis Group, Cl A *	12,500		198
Charles Schwab (A)	222,635		4,161
CME Group	42,585		13,462
Endurance Specialty Holdings	27,700		1,029
Federated Investors, Cl B	3,200		84
Forestar Group *	1,800		34
Franklin Resources	18,500		2,052
Genworth Financial, Cl A *	54,700		1,003
Goldman Sachs Group	11,031		1,882
Greenhill	300		25
Hartford Financial Services Group	19,800		563
Health Care †	2,200		99
Hudson City Bancorp	83,500		1,182
IntercontinentalExchange * (A)	72,200		8,099
Jefferies Group	8,200		194
JPMorgan Chase	213,718		9,564
Lincoln National	17,400		534
Marsh & McLennan	4,800		117
Morgan Stanley	109,590		3,210
MSCI, Cl A *	33,600		1,213
Nationwide Health Properties †	2,900		102
Nelnet, Cl A	22,600		419
Northern Trust (A)	92,410		5,107
NYSE Euronext	30,300		897
People’s United Financial	175,170		2,740
Platinum Underwriters Holdings	10,700		397
Principal Financial Group	8,100		237
Prudential Financial	60,700		3,672
Public Storage †	1,000		92
Simon Property Group †	2,800		235
SLM *	138,300		1,732
St. Joe *	2,800		91
State Street	2,700		122
T. Rowe Price Group	11,800		648
TD Ameritrade Holding *	12,100		231
Waddell & Reed Financial, Cl A	7,300		263
Wells Fargo	169,400		5,272
WP Carey	2,400		70

			101,360


Health Care — 16.2%
Abbott Laboratories	300,070		15,808
Aetna	132,166		4,640
Affymetrix *	10,600		78
Alexion Pharmaceuticals *	1,900		103
Allergan	435,067		28,419
Allscripts Healthcare Solutions *	80,100		1,567
AmerisourceBergen	43,200		1,249
Amgen *	246,039		14,703
Amylin Pharmaceuticals *	6,400		144
Baxter International	293,601		17,088
Beckman Coulter	15,200		955
Becton Dickinson	79,337		6,246
Biogen Idec *	100,950		5,791


Description	Shares	Market Value ($ Thousands)

Bio-Rad Laboratories, Cl A *	3,200	$	331
Boston Scientific *	35,000		253
Bristol-Myers Squibb	219,000		5,847
Bruker BioSciences *	51,800		759
C.R. Bard	37,440		3,243
Celgene *	13,260		822
Cerner *	19,700		1,675
Charles River Laboratories International *	23,100		908
Cigna	8,500		311
Community Health Systems *	17,300		639
Covance *	17,800		1,093
Coventry Health Care *	19,700		487
Covidien	119,135		5,990
DaVita *	6,000		381
Dendreon *	38,000		1,386
Dentsply International	3,500		122
Edwards Lifesciences *	12,100		1,196
Eli Lilly	53,258		1,929
Express Scripts *	52,350		5,327
Genzyme *	140,100		7,261
Gilead Sciences *	395,185		17,973
Health Management Associates, Cl A *	70,500		606
Henry Schein *	8,700		513
Hill-Rom Holdings	13,200		359
Hospira *	38,700		2,192
Humana *	9,100		426
Idexx Laboratories *	34,800		2,003
Intuitive Surgical *	12,100		4,212
Invacare	17,900		475
Inverness Medical Innovations *	20,800		810
Johnson & Johnson	528,362		34,449
Kinetic Concepts *	10,900		521
Laboratory Corp of America Holdings *	7,400		560
Life Technologies *	56,500		2,953
Lincare Holdings *	13,300		597
McKesson	24,812		1,631
Medco Health Solutions *	234,882		15,164
Medicines *	14,000		110
Mednax *	8,300		483
Medtronic	285,200		12,843
Merck	208,060		7,771
Meridian Bioscience	27,600		562
Mettler Toledo International *	23,600		2,577
Millipore *	4,000		422
Mylan Laboratories *	66,000		1,499
Novo Nordisk ADR (A)	108,000		8,329
Par Pharmaceutical *	30,000		744
Patterson	35,300		1,096
PerkinElmer	12,700		304
Perrigo	12,400		728
Pfizer	492,861		8,453
Quest Diagnostics	43,800		2,553
Quidel *	27,900		406
ResMed *	11,200		713
St. Jude Medical * (A)	260,383		10,689
STERIS	10,400		350
Stryker (A)	153,200		8,766
Tenet Healthcare *	185,100		1,059


Description	Shares	Market Value ($ Thousands)

Teva Pharmaceutical Industries ADR (A)	117,364	$	7,403
Thermo Fisher Scientific *	118,429		6,092
United Therapeutics *	10,900		603
UnitedHealth Group	360,341		11,772
Universal Health Services, Cl B	2,800		98
Valeant Pharmaceuticals International *	18,300		785
Varian Medical Systems *	5,800		321
VCA Antech *	3,000		84
Vertex Pharmaceuticals *	14,900		609
Waters *	17,000		1,148
WellPoint *	32,700		2,105

			323,672


Industrials — 7.3%
3M	155,746		13,016
Aecom Technology *	5,200		147
Alliant Techsystems *	11,200		911
Avery Dennison	6,900		251
Boeing	17,419		1,265
C.H. Robinson Worldwide	3,166		177
Calgon Carbon *	18,700		320
Carlisle	9,400		358
Caterpillar	12,300		773
Con-way	5,000		176
Copa Holdings, Cl A	13,900		845
Corrections Corp of America *	7,600		151
Crane	23,200		824
Cummins	85,076		5,270
Danaher	95,673		7,645
Deere	900		54
Delta Air Lines *	32,300		471
Dover	45,900		2,146
Dun & Bradstreet	700		52
DynCorp International, Cl A *	21,400		246
Emerson Electric	134,012		6,746
Ennis	5,700		93
Expeditors International of Washington (A)	301,700		11,139
First Solar *	400		49
Flowserve	2,000		221
Fluor	4,000		186
Force Protection *	16,500		99
General Dynamics	11,600		896
Goodrich (A)	92,800		6,544
Graco	10,500		336
Harsco	11,600		370
Herman Miller	6,800		123
Honeywell International	36,900		1,670
Hubbell, Cl B	17,100		862
IHS, Cl A *	3,400		182
Interline Brands *	2,100		40
ITT	19,100		1,024
JB Hunt Transport Services	2,300		82
Joy Global	22,800		1,290
Kennametal	12,300		346
Kirby *	2,500		95
Lennox International	12,400		549
Lockheed Martin	28,515		2,373
Masco	500		8
Monster Worldwide *	7,000		116


Description	Shares	Market Value ($ Thousands)

MSC Industrial Direct, Cl A	5,700	$	289
Mueller Industries	2,600		70
NACCO Industries, Cl A	700		52
Norfolk Southern	11,500		643
Northrop Grumman	28,948		1,898
Owens Corning *	33,400		850
PACCAR	1,050		46
Pall	4,900		198
Parker Hannifin (A)	95,661		6,193
Precision Castparts	11,721		1,485
Quanta Services *	256,000		4,905
Raytheon	142,039		8,113
Republic Services	40,000		1,161
Robert Half International	2,300		70
Rockwell Automation	10,000		564
Rockwell Collins	98,928		6,192
RR Donnelley & Sons	4,500		96
Shaw Group *	1,300		45
Southwest Airlines	59,200		783
Spirit Aerosystems Holdings, Cl A *	7,100		166
Taser International *	30,700		180
Teleflex	4,200		269
Timken	9,200		276
Toro	6,200		305
TransDigm Group	9,700		515
Union Pacific	10,000		733
United Parcel Service, Cl B	144,392		9,300
United Technologies	336,493		24,769
Valmont Industries	3,900		323
Verisk Analytics, Cl A *	5,400		152
Waste Connections *	3,500		119
Waste Management	15,300		527
WESCO International *	3,300		115
WW Grainger	36,000		3,892

			145,831


Information Technology — 32.7%
Activision Blizzard	15,500		187
Adobe Systems *	346,179		12,244
Advanced Micro Devices *	17,500		162
Agilent Technologies *	84,800		2,916
Altera	6,700		163
Amdocs *	12,400		373
Amphenol, Cl A	8,700		367
Analog Devices	47,800		1,378
Ansys *	9,200		397
Apple *	340,071		79,893
Arris Group *	40,400		485
Arrow Electronics *	14,900		449
Autodesk *	175,400		5,160
Automatic Data Processing	11,900		529
Avnet *	66,000		1,980
AVX	6,400		91
BMC Software *	61,300		2,329
Brightpoint *	8,600		65
Broadcom, Cl A (A)	313,640		10,407
Broadridge Financial Solutions	28,900		618
Brocade Communications Systems *	30,400		174
Cadence Design Systems *	26,900		179
Cirrus Logic *	51,700		434


Description	Shares	Market Value ($ Thousands)

Cisco Systems *	2,029,772	$	52,835
Citrix Systems * (A)	144,519		6,860
Cognizant Technology Solutions, Cl A *	50,000		2,549
Corning	336,083		6,792
Cree *	18,100		1,271
Cypress Semiconductor *	48,900		562
Dell *	122,929		1,845
Diebold	15,700		499
Dolby Laboratories, Cl A *	1,900		112
DST Systems	16,300		676
eBay *	331,588		8,936
EMC *	911,736		16,448
Equinix *	3,200		312
F5 Networks *	30,400		1,870
Factset Research Systems	14,200		1,042
Fidelity National Information Services	100,285		2,351
Fiserv *	11,600		589
Flir Systems *	11,500		324
Global Payments	14,800		674
Google, Cl A *	92,269		52,317
Harris	15,100		717
Hewitt Associates, Cl A *	7,800		310
Hewlett-Packard	500,660		26,610
IAC *	47,600		1,082
Intel	809,615		18,022
International Business Machines	272,852		34,993
Intersil, Cl A	37,800		558
Intuit * (A)	343,400		11,792
Iron Mountain	8,400		230
Jabil Circuit	69,800		1,130
Juniper Networks *	69,200		2,123
Lam Research *	20,100		750
Lender Processing Services	36,100		1,363
Linear Technology	41,500		1,174
Marvell Technology Group *	155,300		3,165
Mastercard, Cl A (A)	49,230		12,504
Maxim Integrated Products	31,400		609
McAfee *	41,200		1,653
Microchip Technology	26,500		746
Micros Systems *	20,900		687
Microsoft	2,343,869		68,605
Motorola *	93,400		656
National Instruments	26,900		897
National Semiconductor	51,500		744
NetApp *	63,900		2,081
NeuStar, Cl A *	6,100		154
Nokia ADR (A)	459,400		7,139
Novellus Systems *	27,300		682
Nuance Communications *	245,400		4,083
Nvidia *	14,300		249
Oracle	1,024,665		26,324
Paychex (A)	202,000		6,201
Pegasystems	6,500		241
Power Integrations	3,600		148
QLogic *	11,500		233
Qualcomm	980,159		41,157
Rackspace Hosting * (A)	293,700		5,501
Rambus *	23,300		509
Red Hat * (A)	185,500		5,430


Description	Shares	Market Value ($ Thousands)

Rovi *	36,400	$	1,352
Salesforce.com *	8,700		648
Seagate Technology	128,700		2,350
Semtech *	3,400		59
Silicon Laboratories *	19,100		910
Sybase *	9,400		438
Symantec *	476,400		8,061
Synopsys *	5,500		123
Teradata *	323,200		9,337
Teradyne *	20,100		225
Texas Instruments	259,415		6,348
Total System Services	56,100		879
Trimble Navigation *	8,500		244
Varian Semiconductor Equipment Associates *	1,500		50
VeriSign * (A)	348,000		9,052
Visa, Cl A (A)	289,797		26,380
Vishay Intertechnology *	44,800		458
VMware, Cl A *	3,200		171
WebMD Health, Cl A *	26,221		1,216
Western Digital *	79,100		3,084
Western Union	313,430		5,316
Xerox	15,728		153
Xilinx	201,810		5,146
Yahoo! *	55,900		924
Zebra Technologies, Cl A *	28,300		838
Zoran *	16,900		182

			655,040


Materials — 3.4%
Air Products & Chemicals	19,500		1,442
Alcoa	121,400		1,729
Ashland	20,800		1,098
Ball	18,000		961
Boise *	28,900		177
Celanese, Ser A	43,300		1,379
CF Industries Holdings	3,900		356
Compass Minerals International	1,700		136
Crown Holdings *	44,100		1,189
E.I. Du Pont de Nemours	35,000		1,303
Ecolab	80,550		3,540
Freeport-McMoRan Copper & Gold, Cl B (A)	128,446		10,730
International Flavors & Fragrances	2,000		95
Lubrizol	30,600		2,807
Monsanto	134,574		9,611
Nalco Holding (A)	255,100		6,207
NewMarket	3,200		330
Newmont Mining	58,900		3,000
Owens-Illinois *	1,700		60
Packaging Corp of America	3,800		94
Praxair	138,796		11,520
RPM International	34,000		725
Scotts Miracle-Gro, Cl A	14,400		667
Sigma-Aldrich	1,500		80
Southern Copper	47,700		1,511
Syngenta ADR (A)	116,300		6,456
Terra Industries	10,900		499
Walter Energy	11,100		1,024

			68,726


Description	Shares/Face Amount ($Thousands)		Market Value ($ Thousands)

Telecommunication Services — 1.2%
American Tower, Cl A *		183,620	$	7,824
Crown Castle International *		422,047		16,135
SBA Communications, Cl A *		4,000		144
tw telecom, Cl A *		6,300		115
Windstream		11,500		125

				24,343


Utilities — 0.4%
AES *		140,400		1,545
Allegheny Energy		9,500		218
American Water Works		4,000		87
Calpine *		40,800		485
Centerpoint Energy		13,100		188
Constellation Energy Group		26,200		920
DPL		8,100		220
Equities		28,100		1,152
Exelon		1,200		53
FPL Group		24,100		1,165
Integrys Energy Group		2,300		109
Mirant *		49,100		533
NV Energy		4,300		53
PPL		19,600		543

				7,271

Total Common Stock (Cost $1,465,716) ($ Thousands)				1,880,013


AFFILIATED PARTNERSHIP — 7.7%
SEI Liquidity Fund, L.P.,
0.210% (B)**††		157,797,853		153,929

Total Affiliated Partnership (Cost $157,798) ($ Thousands)				153,929


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		41,431,747		41,432

Total Cash Equivalent (Cost $41,432) ($ Thousands)				41,432


U.S. TREASURY OBLIGATION (C) (D) — 0.5%
U.S. Treasury Bills
0.099%, 06/03/10	$	9,427		9,425

Total U.S. Treasury Obligation (Cost $9,425) ($ Thousands)				9,425

Total Investments — 104.2% (Cost $1,674,371) ($ Thousands)			$	2,084,799

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	308	Jun-2010	$	16

Percentages are based on Net Assets of $2,001,069 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

‡

Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $154,182 ($ Thousands)

(B)

This security was purchased with cash collateral received from securities on loan. The total value of such securities as of March 31, 2010 was $153,929 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ser — Series


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 95.6%

Consumer Discretionary — 10.7%
Abercrombie & Fitch, Cl A	1,426	$	65
Advance Auto Parts (A)	1,200		50
Amazon.com *	74,104		10,058
American Eagle Outfitters	3,150		58
American Greetings, Cl A	16,300		340
Apollo Group, Cl A *	35,575		2,180
Asbury Automotive Group *	4,800		64
Autoliv (A)	22,650		1,167
Autonation *	7,500		136
Autozone *	919		159
Barnes & Noble (A)	850		18
Bed Bath & Beyond *	21,860		957
Best Buy	13,880		590
Big Lots *	1,557		57
Blyth	8,300		259
Bob Evans Farms	3,300		102
BorgWarner *	2,300		88
Brinker International	3,400		66
Brink’s Home Security Holdings *	650		28
Cablevision Systems, Cl A	6,700		162
Career Education * (A)	7,700		244
Carmax * (A)	6,383		160
Carnival	9,000		350
Cavco Industries *	130		4
CBS, Cl B	78,800		1,098
Chico’s FAS	72,400		1,044
Chipotle Mexican Grill, Cl A *	800		90
Coach	138,455		5,472
Comcast, Cl A	498,700		9,385
Cooper Tire & Rubber	7,600		144
Core-Mark Holding *	4,300		132
Darden Restaurants	3,127		139
DeVry	1,021		67
Dick’s Sporting Goods *	3,700		97
DIRECTV, Cl A *	201,590		6,816
Discovery Communications, Cl C *	5,040		148
DISH Network, Cl A	17,549		365
Dollar Tree *	829		49
DR Horton	6,500		82
Eastman Kodak (A)	543,400		3,146
Education Management *	5,600		123
Family Dollar Stores (A)	1,500		55
Ford Motor * (A)	477,400		6,001
Fossil *	1,600		60
GameStop, Cl A *	3,622		79
Gannett	80,000		1,322
Gap	183,600		4,243
Garmin (A)	29,700		1,143
Gentex	5,500		107
Genuine Parts	850		36
Goodyear Tire & Rubber *	6,550		83
H&R Block	5,900		105
Harman International Industries	4,200		196
Hasbro	29,895		1,145
Helen of Troy *	5,300		138
Hillenbrand	6,100		134


Description	Shares	Market Value ($ Thousands)

Home Depot	104,000	$	3,364
International Game Technology	2,853		53
Interpublic Group *	13,000		108
ITT Educational Services * (A)	600		67
J.C. Penney (A)	81,930		2,636
Jarden	4,100		136
Johnson Controls	106,063		3,499
Jones Apparel Group	30,800		586
KB Home (A)	4,700		79
Kohl’s *	4,900		268
Lamar Advertising, Cl A * (A)	7,300		251
Las Vegas Sands * (A)	2,500		53
La-Z-Boy, Cl Z *	5,900		74
Leggett & Platt	38,100		824
Lennar, Cl A	5,100		88
Liberty Global, Cl A *	14,200		414
Liberty Media—Capital, Ser A *	10,500		382
Liberty Media—Interactive, Cl A *	6,450		99
Liberty Media—Starz *	906		50
LKQ *	3,200		65
Lowe’s	454,741		11,023
Macy’s	85,200		1,855
Madison Square Garden, Cl A *	1,675		36
Marriott International, Cl A (A)	7,097		224
Mattel	2,300		52
McDonald’s	77,346		5,160
McGraw-Hill	11,600		414
Mohawk Industries *	2,829		154
New York Times, Cl A * (A)	10,200		113
News, Cl A	149,900		2,160
Nike, Cl B (A)	145,770		10,714
Nordstrom (A)	4,900		200
NVR *	100		73
Omnicom Group (A)	6,000		233
O’Reilly Automotive *	1,800		75
Penn National Gaming *	2,300		64
PetSmart	36,108		1,154
Phillips-Van Heusen	13,900		797
Polo Ralph Lauren	900		77
priceline.com *	25,900		6,604
Pulte Homes *	3,200		36
RadioShack	45,100		1,021
Ross Stores	30,400		1,626
Sally Beauty Holdings *	10,700		95
Scholastic	1,700		48
Sears Holdings * (A)	53,500		5,801
Service International	28,000		257
Sherwin-Williams	17,700		1,198
Snap-On	778		34
Stanley Black & Decker	4,250		244
Staples	459,706		10,753
Starbucks	10,038		244
Target	171,189		9,004
Tempur-Pedic International *	25,200		760
Thor Industries	10,300		311
Tiffany	1,800		86
Tim Hortons	1,500		49
Time Warner	282,847		8,845
Time Warner Cable, Cl A (A)	96,150		5,126
TJX	50,500		2,147


Description	Shares	Market Value ($ Thousands)

TRW Automotive Holdings *	42,300	$	1,209
Tupperware Brands	700		34
Urban Outfitters *	2,500		95
VF	8,300		665
Viacom, Cl B *	98,442		3,384
Virgin Media (A)	12,500		216
Walt Disney	166,457		5,811
Washington Post, Cl B	100		44
Whirlpool	31,700		2,766
Wyndham Worldwide	86,600		2,228
Yum! Brands	101,100		3,875

			182,896


Consumer Staples — 8.2%
Altria Group	43,010		882
Archer-Daniels-Midland	103,857		3,002
Avon Products	75,516		2,558
BJ’s Wholesale Club *	31,357		1,160
Brown-Forman, Cl B	20,900		1,242
Bunge	11,700		721
Campbell Soup (A)	64,700		2,287
Chiquita Brands International *	34,000		535
Church & Dwight	800		54
Clorox	6,969		447
Coca-Cola	200,076		11,004
Coca-Cola Enterprises	6,100		169
Colgate-Palmolive	44,144		3,764
ConAgra Foods	155,250		3,892
Constellation Brands, Cl A *	3,000		49
Corn Products International	16,400		568
Costco Wholesale	88,470		5,283
CVS Caremark	172,370		6,302
Del Monte Foods	145,900		2,130
Diageo ADR	32,400		2,185
Dole Food *	28,000		332
Dr Pepper Snapple Group	25,100		883
Energizer Holdings *	1,628		102
Estee Lauder, Cl A (A)	3,500		227
General Mills	30,384		2,151
Herbalife	52,200		2,408
Hershey	1,900		81
HJ Heinz	3,797		173
Hormel Foods	2,000		84
Kellogg	9,458		505
Kimberly-Clark	26,517		1,667
Kraft Foods, Cl A	113,444		3,431
Kroger	58,852		1,275
Lorillard	3,850		290
McCormick	2,100		81
Mead Johnson Nutrition, Cl A	51,862		2,698
Medifast *	11,700		294
PepsiCo	235,046		15,551
Philip Morris International	107,050		5,584
Prestige Brands Holdings *	27,700		249
Procter & Gamble	434,202		27,472
Reynolds American (A)	39,300		2,121
Safeway	114,417		2,844
Sara Lee	145,200		2,023
SUPERVALU	42,400		707
SYSCO	52,750		1,556
Tyson Foods, Cl A	4,300		82


Description	Shares	Market Value ($ Thousands)

USANA Health Sciences *	1,000	$	31
Walgreen	206,550		7,661
Wal-Mart Stores	150,346		8,359
Whole Foods Market * (A)	3,700		134

			139,290


Energy — 9.7%
Anadarko Petroleum	23,700		1,726
Apache	64,535		6,550
Arch Coal	2,400		55
Baker Hughes (A)	3,341		157
BJ Services	7,900		169
Cabot Oil & Gas	1,500		55
Cameron International *	3,800		163
Canadian Natural Resources	30,638		2,268
Chesapeake Energy	96,400		2,279
Chevron	326,609		24,767
Cimarex Energy	21,743		1,291
CNX Gas *	1,500		57
ConocoPhillips	305,807		15,648
Consol Energy	2,800		119
Denbury Resources * (A)	49,766		840
Devon Energy	47,590		3,066
Diamond Offshore Drilling	13,800		1,226
El Paso	130,356		1,413
Ensco International ADR	3,000		134
EOG Resources	68,000		6,320
Exterran Holdings *	2,700		65
Exxon Mobil	567,176		37,989
FMC Technologies *	26,000		1,680
Frontline	2,300		70
Gulfport Energy *	3,100		35
Halliburton	155,415		4,683
Harvest Natural Resources *	9,200		69
Helix Energy Solutions Group *	59,900		781
Helmerich & Payne	3,395		129
Hess	18,650		1,167
Holly	30,600		854
Marathon Oil	173,000		5,474
Mariner Energy *	931		14
Murphy Oil	55,116		3,097
Nabors Industries * (A)	56,600		1,111
National Oilwell Varco	63,741		2,587
Newfield Exploration *	2,500		130
Noble	31,500		1,317
Noble Energy	2,600		190
Occidental Petroleum	124,829		10,553
Oceaneering International *	1,200		76
Oil States International *	27,600		1,251
Overseas Shipholding Group	15,900		624
Patriot Coal *	880		18
Patterson-UTI Energy	49,700		694
Peabody Energy	8,000		366
PetroHawk Energy *	2,100		43
Pioneer Natural Resources	4,944		278
Plains Exploration & Production *	4,095		123
Pride International * (A)	2,700		81
Range Resources	33,884		1,588
Rowan * (A)	2,522		73
SandRidge Energy * (A)	7,700		59
Schlumberger	115,439		7,326


Description	Shares	Market Value ($ Thousands)

Smith International	5,428	$	232
Southwestern Energy *	52,698		2,146
Spectra Energy	57,943		1,305
Stone Energy *	32,600		579
Suncor Energy	43,518		1,416
Sunoco	36,400		1,081
Swift Energy *	9,800		301
Teekay Shipping	3,100		71
Tidewater	13,450		636
Transocean *	16,850		1,456
Unit *	5,900		250
Valero Energy (A)	63,094		1,243
Venoco *	4,800		62
Weatherford International *	6,600		105
Williams	67,600		1,562
XTO Energy	7,528		355

			165,698


Financials — 16.1%
ACE	27,600		1,443
Affiliated Managers Group *	3,400		269
Aflac	161,160		8,749
Alexandria Real Estate Equities † (A)	1,000		68
Allied World Assurance Holdings	7,100		318
Allstate	205,650		6,645
American Equity Investment Life Holding	26,600		283
American Express	219,817		9,070
American Financial Group	61,500		1,750
American International Group * (A)	2,900		99
AmeriCredit *	10,900		259
Ameriprise Financial	96,990		4,400
Annaly Capital Management † (A)	143,413		2,464
AON	4,050		173
Apartment Investment & Management, Cl A † (A)	67,115		1,236
Arthur J. Gallagher	2,600		64
Aspen Insurance Holdings	7,800		225
Associated Banc-Corp (A)	14,100		195
Assurant	50,300		1,729
AvalonBay Communities † (A)	1,900		164
Bancorpsouth (A)	2,100		44
Bank of America	1,375,424		24,551
Bank of Hawaii	50		2
Bank of New York Mellon (A)	262,804		8,115
BB&T	16,600		538
BlackRock	5,900		1,285
Boston Properties †	1,600		121
Brandywine Realty Trust †	64,500		787
BRE Properties, Cl A †	2,200		79
Brookfield Asset Management, Cl A	55,100		1,401
Brown & Brown	2,200		39
Camden Property Trust †	2,200		92
Capital One Financial (A)	147,600		6,112
Charles Schwab (A)	137,528		2,570
Chimera Investment †	48,300		188
Chubb (A)	95,800		4,967


Description	Shares	Market Value ($ Thousands)

Cincinnati Financial	43,600	$	1,260
Citigroup * (A)	1,809,700		7,329
CME Group	33,010		10,435
Comerica	35,700		1,358
Commerce Bancshares	2,835		117
Credicorp	15,900		1,402
Cullen/Frost Bankers	1,900		106
Digital Realty Trust †	1,300		70
Discover Financial Services	4,800		71
Duke Realty †	21,100		262
Endurance Specialty Holdings	53,400		1,984
Equity Residential †	4,687		183
Erie Indemnity, Cl A (A)	1,400		60
Everest Re Group	16,200		1,311
Federal Realty Investment Trust †	800		58
Fidelity National Financial, Cl A	5,399		80
Fifth Third Bancorp	13,100		178
First American	2,100		71
First Citizens BancShares, Cl A	600		119
First Horizon National * (A)	15,227		214
Flagstone Reinsurance Holdings	8,900		102
Forest City Enterprises, Cl A *	61,000		879
Franklin Resources	26,150		2,900
Goldman Sachs Group	87,400		14,913
Greenlight Capital Re *	2,500		67
Hanover Insurance Group	4,297		187
Hartford Financial Services Group	72,700		2,066
HCC Insurance Holdings	1,500		41
Health Care †	1,371		62
Highwoods Properties †	750		24
Hospitality Properties Trust †	73,400		1,758
Host Hotels & Resorts †	5,309		78
HRPT Properties Trust †	145,600		1,133
Hudson City Bancorp	154,800		2,192
Huntington Bancshares	214,400		1,151
IntercontinentalExchange *	59,191		6,640
Invesco	6,000		132
Invesco Mortgage Capital †	3,200		74
Investment Technology Group *	2,400		40
Jefferies Group	7,900		187
Jones Lang LaSalle	16,400		1,195
JPMorgan Chase	674,758		30,196
Keycorp	78,900		612
Kimco Realty † (A)	3,600		56
Legg Mason	2,100		60
Liberty Property Trust † (A)	1,900		64
Lincoln National	66,400		2,038
Loews	3,100		116
M&T Bank	2,500		198
Macerich † (A)	5,936		227
Mack-Cali Realty †	2,700		95
Maiden Holdings	5,500		41
Manulife Financial	1,565		31
Marsh & McLennan	5,906		144
Marshall & Ilsley	11,700		94
Max Capital Group	9,000		207
MBIA * (A)	7,600		48
Mercury General	34,500		1,508


Description	Shares	Market Value ($ Thousands)

MetLife	35,300	$	1,530
Montpelier Re Holdings	27,100		456
Moody’s (A)	3,838		114
Morgan Stanley	197,550		5,786
Nationwide Health Properties †	1,500		53
Nelnet, Cl A	8,800		163
New York Community Bancorp	3,600		59
Northern Trust	51,420		2,842
NYSE Euronext	172,400		5,105
OceanFirst Financial	3,000		34
Old Republic International (A)	5,100		65
OneBeacon Insurance Group, Cl A	8,000		138
PartnerRe	1,300		104
People’s United Financial	99,015		1,549
PHH *	32,400		764
Plum Creek Timber †	2,090		81
PNC Financial Services Group	80,800		4,824
Presidential Life	9,700		97
Principal Financial Group	8,000		234
Progressive	75,782		1,447
Prologis †	11,200		148
Protective Life	15,600		343
Provident Financial Services	7,400		88
Prudential Financial	122,700		7,423
Public Storage †	2,050		189
Ramco-Gershenson Properties †	16,200		182
Raymond James Financial (A)	2,025		54
Regions Financial	85,400		670
Reinsurance Group of America, Cl A	20,200		1,061
RenaissanceRe Holdings	800		45
Resource Capital †	38,500		260
Simon Property Group †	7,848		658
SLM *	14,700		184
StanCorp Financial Group	10,400		495
State Street	81,700		3,688
Stewart Information Services	1,800		25
Sunstone Hotel Investors * †	33,900		379
SunTrust Banks	27,800		745
SVB Financial Group * (A)	1,550		72
T. Rowe Price Group	44,500		2,444
Taubman Centers † (A)	49,400		1,972
TD Ameritrade Holding * (A)	7,650		146
Torchmark	1,000		54
Transatlantic Holdings	2,400		127
Travelers	124,965		6,741
Trustco Bank NY	13,900		86
Unitrin	4,900		137
Unum Group	89,850		2,226
US Bancorp	173,208		4,483
Validus Holdings	22,761		627
Valley National Bancorp (A)	2,168		33
Ventas † (A)	3,400		161
Vornado Realty Trust †	5,043		382
Waddell & Reed Financial, Cl A	2,800		101
Walter Investment Management †	876		14
Washington Federal	3,900		79


Description	Shares	Market Value ($ Thousands)

Weingarten Realty Investors † (A)	4,600	$	99
Wells Fargo	711,367		22,138
WesBanco	5,500		89
White Mountains Insurance Group	300		106
World Acceptance *	5,200		188
XL Capital, Cl A	26,000		491

			273,796


Health Care — 13.2%
Abbott Laboratories	111,481		5,873
Abraxis Bioscience *	6,000		310
Aetna	222,927		7,827
Allergan	222,420		14,528
Allscripts Healthcare Solutions *	19,700		385
American Medical Systems Holdings *	4,000		74
AmerisourceBergen	90,376		2,614
Amgen *	173,963		10,396
Amylin Pharmaceuticals * (A)	3,700		83
Baxter International	126,870		7,384
Beckman Coulter	600		38
Becton Dickinson	38,291		3,015
Biogen Idec *	62,158		3,565
Boston Scientific *	15,517		112
Bristol-Myers Squibb	123,245		3,290
Bruker BioSciences *	24,400		357
C.R. Bard	19,300		1,672
Cardinal Health	22,100		796
Celgene *	7,400		459
Cerner * (A)	1,100		94
Charles River Laboratories International * (A)	1,600		63
Cigna	3,540		130
Cooper	2,100		82
Covance *	1,100		68
Coventry Health Care *	48,100		1,189
Covidien	44,939		2,260
DaVita *	1,425		90
Dendreon *	1,600		58
Dentsply International	2,300		80
Edwards Lifesciences *	700		69
Eli Lilly	138,371		5,012
Endo Pharmaceuticals Holdings *	66,100		1,566
ev3 *	8,600		136
Express Scripts *	27,504		2,799
Forest Laboratories *	120,400		3,776
Genzyme *	94,150		4,880
Gilead Sciences *	248,630		11,308
Health Management Associates, Cl A * (A)	9,200		79
Health Net *	2,900		72
Henry Schein *	1,000		59
Hologic *	7,600		141
Hospira *	17,200		974
Humana *	25,579		1,196
Idexx Laboratories * (A)	9,100		524
Illumina * (A)	1,600		62
Intuitive Surgical *	6,250		2,176
Invacare	9,200		244


Description	Shares	Market Value ($ Thousands)

Inverness Medical Innovations * (A)	1,700	$	66
Johnson & Johnson	304,122		19,829
Kinetic Concepts *	23,400		1,119
King Pharmaceuticals *	62,950		740
Laboratory Corp of America Holdings *	3,150		238
Life Technologies *	13,991		731
Lincare Holdings *	34,400		1,544
McKesson	2,326		153
Medco Health Solutions *	150,386		9,709
Mednax *	1,500		87
Medtronic	133,076		5,992
Merck	368,722		13,772
Mettler Toledo International *	8,050		879
Millipore *	1,400		148
Mylan Laboratories * (A)	7,475		170
Novo Nordisk ADR	84,100		6,486
OSI Pharmaceuticals *	1,100		66
Par Pharmaceutical *	17,800		441
Patterson	2,100		65
PerkinElmer	5,950		142
Perrigo	11,800		693
Pfizer	1,107,860		19,000
Pharmaceutical Product Development	5,200		124
Quest Diagnostics	10,004		583
ResMed *	900		57
St. Jude Medical *	123,775		5,081
STERIS	8,600		290
Stryker	56,000		3,204
Teva Pharmaceutical Industries ADR	49,975		3,152
Thermo Fisher Scientific *	80,436		4,138
UnitedHealth Group	477,188		15,590
Valeant Pharmaceuticals International *	27,100		1,163
Varian Medical Systems *	2,900		160
VCA Antech *	2,200		62
Vertex Pharmaceuticals * (A)	2,700		110
Waters *	1,600		108
Watson Pharmaceuticals *	2,900		121
WellPoint *	101,444		6,531
Zimmer Holdings *	25,026		1,482

			225,991


Industrials — 8.0%
3M	51,960		4,342
Aecom Technology *	1,500		43
AGCO *	400		14
Alliant Techsystems *	2,100		171
AMR * (A)	25,300		230
AO Smith	1,800		95
Boeing (A)	77,681		5,641
C.H. Robinson Worldwide (A)	2,502		140
Calgon Carbon *	13,700		235
Caterpillar (A)	11,935		750
Cintas	1,700		48
Continental Airlines, Cl B * (A)	7,650		168
Con-way	3,100		109
Copart *	1,600		57
Courier	1,700		28


Description	Shares	Market Value ($ Thousands)

Crane	15,050	$	534
CSX	15,762		802
Cummins	51,537		3,193
Danaher	44,959		3,593
Deere	8,700		517
Delta Air Lines *	8,100		118
Donaldson	1,900		86
Dover	44,500		2,080
Dun & Bradstreet	800		60
Eaton	10,979		832
Emerson Electric	55,626		2,800
Ennis	3,100		50
Equifax	2,500		89
Expeditors International of Washington	177,200		6,542
Fastenal (A)	2,800		134
FedEx	20,833		1,946
Flowserve	2,004		221
Fluor	4,700		219
Force Protection *	4,700		28
Foster Wheeler *	2,100		57
FTI Consulting * (A)	900		35
Gardner Denver	28,300		1,246
GATX	1,600		46
General Cable *	3,000		81
General Dynamics	77,206		5,960
General Electric	1,341,455		24,415
Goodrich	22,050		1,555
Harsco	38,100		1,217
Herman Miller	5,500		99
Honeywell International	40,563		1,836
Hubbell, Cl B	7,100		358
Illinois Tool Works	35,529		1,683
Ingersoll-Rand	3,300		115
Iron Mountain	3,625		99
ITT	18,200		976
Jacobs Engineering Group *	3,140		142
John Bean Technologies	216		4
Joy Global	13,500		764
KBR	53,700		1,190
Kennametal	18,000		506
L-3 Communications Holdings	27,900		2,557
Lennox International	4,900		217
Lockheed Martin	19,170		1,595
Manpower	800		46
McDermott International *	7,400		199
Monster Worldwide * (A)	3,200		53
MSC Industrial Direct, Cl A (A)	2,000		102
Norfolk Southern	11,590		648
Northrop Grumman	113,134		7,418
Oshkosh Truck	38,100		1,537
PACCAR (A)	6,134		266
Pall	2,322		94
Parker Hannifin	50,474		3,268
Pentair	2,400		85
Precision Castparts	1,500		190
Quanta Services *	91,600		1,755
Raytheon	120,343		6,874
Republic Services	29,845		866
Robert Half International	1,300		40
Rockwell Automation	6,000		338


Description	Shares	Market Value ($ Thousands)

Rockwell Collins	32,574	$	2,039
Roper Industries	1,900		110
RR Donnelley & Sons	126,500		2,701
Shaw Group *	1,550		53
Skywest	821		12
Southwest Airlines	20,700		274
SPX (A)	19,549		1,297
Standex International	1,800		46
Taser International *	11,100		65
Thomas & Betts * (A)	1,900		74
Timken	2,700		81
Toro	1,000		49
Towers Watson, Cl A	6,500		309
Trinity Industries (A)	5,700		114
Tyco International	80,100		3,064
Union Pacific	28,300		2,074
United Parcel Service, Cl B	68,608		4,419
United Technologies	157,207		11,572
URS *	1,700		84
Waste Management	23,118		796
Watts Water Technologies, Cl A	3,500		109
WW Grainger	11,109		1,201

			136,990


Information Technology — 20.0%
Accenture, Cl A	7,500		315
Activision Blizzard	11,700		141
Adobe Systems *	193,031		6,828
Advent Software *	1,378		62
Agilent Technologies *	4,050		139
Akamai Technologies * (A)	3,000		94
Altera	2,400		58
Amdocs *	68,200		2,053
Amphenol, Cl A	2,800		118
Analog Devices	4,050		117
AOL *	2,261		57
Apple *	152,943		35,931
Applied Materials	25,700		346
Arris Group *	10,500		126
Arrow Electronics *	5,000		151
Autodesk *	61,209		1,801
Automatic Data Processing	5,418		241
Aviat Networks *	7,477		50
Avnet *	61,100		1,833
BMC Software *	8,448		321
Broadcom, Cl A	149,750		4,969
Broadridge Financial Solutions	3,000		64
CA	182,797		4,290
Cadence Design Systems * (A)	11,100		74
Ciena *	6,400		97
Cisco Systems *	908,232		23,641
Citrix Systems *	47,685		2,264
Cognizant Technology Solutions, Cl A *	4,456		227
Computer Sciences *	24,400		1,329
Compuware *	40,600		341
Convergys *	31,100		381
Corning	135,331		2,735
Cree *	1,200		84
Cypress Semiconductor *	6,250		72
Dell *	76,000		1,141


Description	Shares	Market Value ($ Thousands)

Diebold	1,700	$	54
Dolby Laboratories, Cl A *	1,235		72
DST Systems	850		35
eBay *	312,591		8,424
EMC *	498,086		8,986
Equinix * (A)	800		78
F5 Networks *	1,800		111
Factset Research Systems (A)	900		66
Fairchild Semiconductor International *	45,500		485
Fidelity National Information Services	6,909		162
Fiserv *	2,242		114
Global Payments	2,000		91
Google, Cl A *	44,421		25,187
Harris	52,800		2,507
Hewitt Associates, Cl A *	1,500		60
Hewlett-Packard	318,121		16,908
IAC *	3,695		84
Ingram Micro, Cl A *	104,500		1,834
Intel	653,945		14,557
Interactive Intelligence *	3,600		67
International Business Machines	114,089		14,632
International Rectifier *	3,500		80
Intersil, Cl A	17,700		261
Intuit *	235,531		8,088
Jabil Circuit	16,000		259
Juniper Networks * (A)	28,946		888
Lam Research *	3,300		123
Lender Processing Services	1,632		62
Lexmark International, Cl A *	27,400		989
LSI Logic *	12,300		75
Marvell Technology Group *	71,200		1,451
Mastercard, Cl A (A)	36,390		9,243
McAfee *	2,900		116
Microchip Technology (A)	2,350		66
Micron Technology * (A)	128,900		1,339
Microsoft	909,666		26,626
Motorola *	44,800		314
National Semiconductor	9,100		132
NetApp *	7,296		238
NeuStar, Cl A *	28,600		721
Nokia ADR	157,500		2,448
Novell *	13,200		79
Novellus Systems *	6,500		163
Nuance Communications *	84,200		1,401
Nvidia * (A)	12,250		213
Oracle	351,141		9,021
Paychex (A)	71,900		2,207
Pegasystems	4,200		155
PMC - Sierra *	10,600		95
Polycom * (A)	1,164		36
QLogic *	4,200		85
Qualcomm	496,874		20,864
Rackspace Hosting *	100,700		1,886
Rambus * (A)	5,000		109
Red Hat *	50,800		1,487
RightNow Technologies *	6,200		111
Rovi *	23		1
Salesforce.com * (A)	1,500		112
SanDisk * (A)	8,400		291


Description	Shares	Market Value ($ Thousands)

Seagate Technology (A)	223,300	$	4,077
Semtech *	2,300		40
Sigma Designs *	5,300		62
Silicon Laboratories *	13,900		663
Symantec *	378,514		6,404
Tech Data *	33,600		1,408
Tellabs	11,600		88
Teradata *	179,900		5,197
Teradyne * (A)	9,800		109
Texas Instruments (A)	338,100		8,273
TIBCO Software *	13,100		141
Trimble Navigation *	2,600		75
Tyco Electronics	12,900		354
Verigy *	863		10
VeriSign *	267,654		6,962
Visa, Cl A	157,978		14,381
Vishay Intertechnology *	90,400		925
VMware, Cl A *	2,000		107
WebMD Health, Cl A *	1,796		83
Western Digital *	77,950		3,039
Western Union	149,342		2,533
Xerox	164,628		1,605
Xilinx (A)	99,490		2,537
Yahoo! *	193,250		3,195
Zebra Technologies, Cl A *	2,400		71
Zoran *	3,400		37

			341,216


Materials — 3.4%
AEP Industries *	5,800		151
Air Products & Chemicals	4,450		329
AK Steel Holding (A)	6,500		149
Alcoa	153,300		2,183
Allegheny Technologies	1,800		97
Alpha Natural Resources * (A)	2,600		130
AM Castle	2,600		34
Aptargroup	1,100		43
Ashland	25,800		1,361
Ball	18,200		972
Bemis	2,400		69
Boise *	27,400		168
Celanese, Ser A	24,700		787
CF Industries Holdings (A)	900		82
Crown Holdings *	2,200		59
Dow Chemical (A)	11,375		336
E.I. Du Pont de Nemours	67,700		2,521
Eagle Materials	753		20
Eastman Chemical	46,300		2,948
Ecolab	43,900		1,929
FMC	900		55
Freeport-McMoRan Copper & Gold, Cl B	79,225		6,618
Greif, Cl A	1,500		82
International Flavors & Fragrances	1,400		67
International Paper	42,900		1,056
Kaiser Aluminum	5,100		197
Koppers Holdings	4,900		139
Lubrizol	41,300		3,788
Martin Marietta Materials	550		46
MeadWestvaco	8,400		215


Description	Shares	Market Value ($ Thousands)

Monsanto	48,631	$	3,473
Mosaic	3,000		182
Nalco Holding	92,400		2,248
NewMarket	4,300		443
Newmont Mining	23,700		1,207
Nucor (A)	42,100		1,910
OM Group *	2,300		78
Omnova Solutions *	32,800		257
Owens-Illinois *	23,150		823
Pactiv *	1,632		41
PPG Industries (A)	3,000		196
Praxair	91,140		7,565
Reliance Steel & Aluminum	1,700		84
Rock-Tenn, Cl A	19,300		879
Royal Gold (A)	1,938		90
RPM International	1,500		32
Sealed Air	6,700		141
Sigma-Aldrich (A)	2,200		118
Solutia *	11,700		189
Sonoco Products	70,400		2,168
Southern Copper (A)	89,811		2,844
Spartech *	19,200		225
Steel Dynamics	4,900		86
Syngenta ADR	90,700		5,035
Terra Industries	1,900		87
United States Steel (A)	1,568		100
Walter Energy	4,100		378
Weyerhaeuser	2,300		104
WR Grace *	13,300		369

			57,983


Telecommunication Services — 3.2%
American Tower, Cl A *	103,284		4,401
AT&T	841,446		21,743
Atlantic Telegraph-Network	3,100		139
CenturyTel	35,417		1,256
Crown Castle International *	283,962		10,856
MetroPCS Communications * (A)	51,700		366
NII Holdings *	34,000		1,416
Qwest Communications International	19,518		102
SBA Communications, Cl A *	2,100		76
Telephone & Data Systems, Cl L	1,300		39
Telephone & Data Systems	1,900		64
US Cellular *	1,976		82
Verizon Communications	428,059		13,278
Windstream	8,323		91

			53,909


Utilities — 3.1%
AES *	724,150		7,966
AGL Resources	24,900		962
Allegheny Energy	4,200		97
Alliant Energy	68,000		2,262
Ameren	76,100		1,985
American Electric Power	84,600		2,892
Aqua America (A)	2,033		36
Atmos Energy	4,200		120
Calpine *	6,300		75
Centerpoint Energy	9,500		136
CMS Energy (A)	82,900		1,282


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Consolidated Edison		1,200	$	53
Constellation Energy Group		22,210		780
Dominion Resources		29,283		1,204
DPL		2,000		54
DTE Energy		69,800		3,113
Duke Energy		21,544		352
Dynegy, Cl A *		6,800		9
Edison International		103,500		3,537
Energen		39,200		1,824
Entergy		25,548		2,078
Equities		2,100		86
Exelon		54,776		2,400
FirstEnergy		50,200		1,962
FPL Group		6,438		311
Great Plains Energy		3,500		65
Hawaiian Electric Industries (A)		3,200		72
Mirant *		173,800		1,887
National Fuel Gas		1,300		66
NiSource		12,500		198
NorthWestern		1,100		29
NRG Energy *		2,600		54
NV Energy		36,000		444
OGE Energy		1,074		42
Pepco Holdings		55,000		943
PG&E (A)		36,050		1,529
Pinnacle West Capital		25,300		955
PPL		4,200		116
Public Service Enterprise Group		100,000		2,952
Questar		3,500		151
Sempra Energy		83,347		4,159
Southern		7,164		237
Southern Union		112,500		2,854
Wisconsin Energy		1,000		49
Xcel Energy		8,453		179

				52,557

Total Common Stock (Cost $1,297,910) ($ Thousands)				1,630,326


AFFILIATED PARTNERSHIP — 10.2%
SEI Liquidity Fund, L.P.,
0.210% (B)**††		178,313,760		173,839

Total Affiliated Partnership (Cost $178,314) ($ Thousands)				173,839


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		28,232,937		28,233

Total Cash Equivalent (Cost $28,233) ($ Thousands)				28,233


U.S. TREASURY OBLIGATIONS — 0.3%
U.S. Treasury Bills
0.128%, 06/03/10 (C)(D)	$	6,162		6,160


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. Cash Management Bills
0.000%, 06/17/10 (C)	$	50	$	50

Total U.S. Treasury Obligations (Cost $6,210) ($ Thousands)				6,210

Total Investments — 107.8% (Cost $1,510,667) ($ Thousands)			$	1,838,608

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI	3	Jun-2010	$	3
S&P 500 Composite Index	219	Jun-2010		257
S&P Mid 400 Index E-MINI	107	Jun-2010		11

			$	271

For the period ended March 31, 2010 the total number of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,705,505 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $173,152 ($ Thousands).

(B)

This security was purchased with cash collateral received from on loan. The total value of such securities as of March 31, 2010 was $173,839 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ser — Series


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 97.9%

Consumer Discretionary — 10.0%
Abercrombie & Fitch, Cl A (A)	11,300	$	516
Amazon.com *	44,200		5,999
Apollo Group, Cl A *	17,403		1,066
Autonation * (A)	13,326		241
Autozone * (A)	3,894		674
Bed Bath & Beyond * (A)	33,633		1,472
Best Buy	44,641		1,899
Big Lots *	9,913		361
Carnival	57,284		2,227
CBS, Cl B (A)	88,101		1,228
Coach (A)	41,210		1,629
Comcast, Cl A	369,322		6,951
Darden Restaurants	18,813		838
DeVry	8,200		535
DIRECTV, Cl A *	121,400		4,105
Discovery Communications, Cl A *	37,300		1,260
DR Horton	38,649		487
Eastman Kodak (A)	31,610		183
Expedia (A)	26,700		667
Family Dollar Stores (A)	17,322		634
Ford Motor * (A)	438,280		5,509
Fortune Brands	19,219		932
GameStop, Cl A * (A)	22,600		495
Gannett (A)	28,647		473
Gap	63,731		1,473
Genuine Parts (A)	20,136		850
Goodyear Tire & Rubber *	30,693		388
H&R Block (A)	42,804		762
Harley-Davidson (A)	29,908		840
Harman International Industries	8,500		398
Hasbro	16,391		628
Home Depot	221,396		7,162
International Game Technology	40,856		754
Interpublic Group * (A)	63,501		528
J.C. Penney (A)	30,680		987
Johnson Controls	86,957		2,869
Kohl’s *	40,047		2,194
Leggett & Platt	19,454		421
Lennar, Cl A	23,407		403
Limited Brands (A)	33,827		833
Lowe’s	192,336		4,662
Macy’s	54,564		1,188
Marriott International, Cl A (A)	32,552		1,026
Mattel	46,318		1,053
McDonald’s	138,870		9,265
McGraw-Hill (A)	40,521		1,445
Meredith (A)	5,363		185
New York Times, Cl A * (A)	14,392		160
Newell Rubbermaid (A)	36,747		559
News, Cl A	294,233		4,240
Nike, Cl B (A)	51,094		3,755
Nordstrom (A)	21,902		895
Office Depot *	38,120		304
Omnicom Group	40,304		1,564
O’Reilly Automotive * (A)	18,600		776
Polo Ralph Lauren (A)	7,400		629
priceline.com * (A)	5,980		1,525


Description	Shares	Market Value ($ Thousands)

Pulte Homes * (A)	41,982	$	472
RadioShack	15,025		340
Ross Stores (A)	15,834		847
Scripps Networks Interactive, Cl A	11,600		514
Sears Holdings * (A)	6,065		657
Sherwin-Williams	12,116		820
Snap-On	6,953		301
Stanley Black & Decker (A)	19,935		1,145
Staples	93,214		2,180
Starbucks (A)	96,058		2,331
Starwood Hotels & Resorts Worldwide (A)	24,035		1,121
Target	96,919		5,098
Tiffany	15,773		749
Time Warner	149,412		4,672
Time Warner Cable, Cl A (A)	46,083		2,457
TJX	53,667		2,282
Urban Outfitters *	17,000		646
VF	11,214		899
Viacom, Cl B *	79,501		2,733
Walt Disney	250,327		8,739
Washington Post, Cl B	755		335
Whirlpool (A)	9,905		864
Wyndham Worldwide	22,902		589
Wynn Resorts * (A)	9,200		698
Yum! Brands	61,070		2,341

			138,932


Consumer Staples — 11.0%
Altria Group	271,156		5,564
Archer-Daniels-Midland	84,266		2,435
Avon Products	55,051		1,864
Brown-Forman, Cl B	13,695		814
Campbell Soup (A)	25,775		911
Clorox	18,842		1,209
Coca-Cola	297,953		16,388
Coca-Cola Enterprises	40,717		1,126
Colgate-Palmolive	64,193		5,473
ConAgra Foods	57,552		1,443
Constellation Brands, Cl A *	25,800		424
Costco Wholesale (A)	57,218		3,417
CVS Caremark	180,935		6,615
Dean Foods *	24,800		389
Dr Pepper Snapple Group	32,600		1,147
Estee Lauder, Cl A (A)	15,000		973
General Mills	42,691		3,022
Hershey (A)	21,112		904
HJ Heinz	40,949		1,868
Hormel Foods	8,500		357
JM Smucker	16,148		973
Kellogg	32,767		1,751
Kimberly-Clark	54,199		3,408
Kraft Foods, Cl A	226,098		6,837
Kroger	85,159		1,845
Lorillard	19,876		1,495
McCormick (A)	16,461		632
Mead Johnson Nutrition, Cl A	27,134		1,412
Molson Coors Brewing, Cl B (A)	20,546		864
PepsiCo	211,185		13,972
Philip Morris International	242,965		12,673
Procter & Gamble	375,601		23,764


Description	Shares	Market Value ($ Thousands)

Reynolds American (A)	21,540	$	1,163
Safeway (A)	49,646		1,234
Sara Lee (A)	89,687		1,249
SUPERVALU (A)	26,397		440
SYSCO	76,520		2,257
Tyson Foods, Cl A	41,990		804
Walgreen	126,844		4,705
Wal-Mart Stores	275,744		15,331
Whole Foods Market * (A)	23,200		839

			153,991


Energy — 10.6%
Anadarko Petroleum	63,980		4,660
Apache	43,700		4,435
Baker Hughes (A)	40,234		1,885
BJ Services	37,256		797
Cabot Oil & Gas (A)	13,600		500
Cameron International * (A)	31,500		1,350
Chesapeake Energy (A)	84,100		1,988
Chevron	259,678		19,691
ConocoPhillips	191,943		9,822
Consol Energy	23,500		1,002
Denbury Resources * (A)	52,100		879
Devon Energy	58,013		3,738
Diamond Offshore Drilling (A)	8,900		790
El Paso	89,194		967
EOG Resources (A)	32,744		3,043
Exxon Mobil (A)	610,844		40,914
FMC Technologies *	15,500		1,002
Halliburton	118,579		3,573
Helmerich & Payne	13,900		529
Hess	38,075		2,382
Marathon Oil	92,956		2,941
Massey Energy (A)	10,400		544
Murphy Oil	24,963		1,403
Nabors Industries * (A)	37,978		746
National Oilwell Varco	54,868		2,227
Noble Energy	22,700		1,657
Occidental Petroleum	104,759		8,856
Peabody Energy	34,700		1,586
Pioneer Natural Resources (A)	14,700		828
Range Resources (A)	21,200		994
Rowan * (A)	14,597		425
Schlumberger (A)	154,525		9,806
Smith International	31,700		1,357
Southwestern Energy *	45,100		1,836
Spectra Energy	83,961		1,892
Sunoco (A)	16,457		489
Tesoro (A)	16,700		232
Valero Energy (A)	72,808		1,434
Williams	75,565		1,746
XTO Energy	76,218		3,596

			148,542


Financials — 16.1%
Aflac	61,408		3,334
Allstate	70,159		2,267
American Express	155,715		6,425
American International Group * (A)	18,008		615
Ameriprise Financial	33,184		1,505
AON (A)	34,229		1,462


Description	Shares	Market Value ($ Thousands)

Apartment Investment & Management, Cl A † (A)	15,239	$	281
Assurant	14,800		509
AvalonBay Communities † (A)	10,208		881
Bank of America	1,297,328		23,157
Bank of New York Mellon (A)	157,386		4,860
BB&T (A)	89,397		2,896
Berkshire Hathaway, Cl B *	171,947		13,974
Berkshire Hathaway, Cl A *	28		3,410
Boston Properties † (A)	18,000		1,358
Capital One Financial	59,562		2,466
CB Richard Ellis Group, Cl A * (A)	34,600		549
Charles Schwab (A)	124,627		2,329
Chubb	42,456		2,201
Cincinnati Financial	22,579		653
Citigroup * (A)	2,537,185		10,276
CME Group	8,607		2,721
Comerica (A)	19,983		760
Discover Financial Services	69,630		1,038
ETrade Financial	206,639		341
Equity Residential † (A)	36,140		1,415
Federated Investors, Cl B (A)	10,545		278
Fifth Third Bancorp (A)	102,411		1,392
First Horizon National * (A)	27,571		387
Franklin Resources	19,615		2,175
Genworth Financial, Cl A *	65,900		1,209
Goldman Sachs Group	67,956		11,595
Hartford Financial Services Group	49,286		1,401
HCP † (A)	37,600		1,241
Health Care † (A)	15,400		696
Host Hotels & Resorts † (A)	83,448		1,222
Hudson City Bancorp	60,300		854
Huntington Bancshares	100,875		542
IntercontinentalExchange *	9,400		1,054
Invesco	54,200		1,188
Janus Capital Group	22,177		317
JPMorgan Chase	513,757		22,991
Keycorp	117,383		910
Kimco Realty † (A)	52,100		815
Legg Mason (A)	20,800		597
Leucadia National *	24,000		595
Lincoln National	38,798		1,191
Loews	46,849		1,746
M&T Bank (A)	10,561		838
Marsh & McLennan	68,150		1,664
Marshall & Ilsley	71,170		573
MetLife	105,426		4,569
Moody’s (A)	26,808		798
Morgan Stanley	180,161		5,277
NASDAQ OMX Group *	17,400		367
Northern Trust (A)	31,105		1,719
NYSE Euronext	33,200		983
People’s United Financial	47,600		744
Plum Creek Timber † (A)	20,535		799
PNC Financial Services Group (A)	66,475		3,968
Principal Financial Group (A)	41,548		1,214
Progressive	87,368		1,668
Prologis † (A)	60,060		793
Prudential Financial	60,766		3,676


Description	Shares	Market Value ($ Thousands)

Public Storage † (A)	17,528	$	1,612
Regions Financial	160,263		1,258
Simon Property Group † (A)	37,402		3,138
SLM * (A)	59,143		740
State Street	64,891		2,929
SunTrust Banks (A)	64,496		1,728
T. Rowe Price Group (A)	33,408		1,835
Torchmark (A)	10,405		557
Travelers	65,952		3,557
Unum Group	42,452		1,052
US Bancorp	249,006		6,444
Ventas † (A)	20,000		950
Vornado Realty Trust † (A)	20,273		1,535
Wells Fargo	669,863		20,846
XL Capital, Cl A (A)	43,605		824
Zions Bancorporation (A)	19,060		416

			225,150


Health Care — 11.9%
Abbott Laboratories	200,446		10,560
Aetna	55,502		1,949
Allergan	40,266		2,630
AmerisourceBergen	35,992		1,041
Amgen *	127,518		7,621
Baxter International	78,838		4,589
Becton Dickinson	30,462		2,398
Biogen Idec *	34,800		1,996
Boston Scientific *	196,012		1,415
Bristol-Myers Squibb (A)	222,975		5,953
C.R. Bard (A)	12,688		1,099
Cardinal Health	46,955		1,692
CareFusion *	22,677		599
Celgene *	60,300		3,736
Cephalon * (A)	9,500		644
Cigna	35,171		1,286
Coventry Health Care *	18,513		458
DaVita *	13,100		830
Dentsply International (A)	18,400		641
Eli Lilly (A)	132,230		4,789
Express Scripts *	36,052		3,669
Forest Laboratories *	38,663		1,212
Genzyme *	34,332		1,779
Gilead Sciences *	117,772		5,356
Hospira *	20,704		1,173
Humana *	21,697		1,015
Intuitive Surgical *	4,920		1,713
Johnson & Johnson	355,882		23,204
King Pharmaceuticals * (A)	31,686		373
Laboratory Corp of America Holdings * (A)	13,363		1,012
Life Technologies *	23,843		1,246
McKesson	34,869		2,291
Medco Health Solutions *	59,616		3,849
Medtronic	143,717		6,472
Merck	402,644		15,039
Millipore *	7,093		749
Mylan Laboratories * (A)	38,911		884
Patterson (A)	11,300		351
PerkinElmer	14,040		336
Pfizer	1,043,276		17,892
Quest Diagnostics (A)	20,224		1,179
St. Jude Medical *	41,856		1,718


Description	Shares	Market Value ($ Thousands)

Stryker (A)	36,842	$	2,108
Tenet Healthcare *	51,876		297
Thermo Fisher Scientific *	53,543		2,754
UnitedHealth Group	149,047		4,869
Varian Medical Systems * (A)	15,700		869
Waters *	12,197		824
Watson Pharmaceuticals * (A)	13,271		554
WellPoint *	57,598		3,708
Zimmer Holdings *	27,655		1,637

			166,058


Industrials — 10.3%
3M	92,682		7,745
Avery Dennison	15,715		572
Boeing (A)	98,532		7,154
C.H. Robinson Worldwide (A)	22,000		1,229
Caterpillar (A)	81,397		5,116
Cintas (A)	18,307		514
CSX	51,350		2,614
Cummins	25,840		1,601
Danaher	33,948		2,713
Deere	55,502		3,300
Dover	23,737		1,110
Dun & Bradstreet	6,300		469
Eaton	21,369		1,619
Emerson Electric (A)	98,306		4,949
Equifax (A)	15,725		563
Expeditors International of Washington	27,000		997
Fastenal (A)	17,800		854
FedEx	40,205		3,755
First Solar * (A)	6,640		814
Flowserve	7,100		783
Fluor	23,444		1,090
General Dynamics	49,626		3,831
General Electric	1,379,874		25,114
Goodrich (A)	16,020		1,130
Honeywell International	99,255		4,493
Illinois Tool Works	50,524		2,393
ITT	23,500		1,260
Jacobs Engineering Group *	16,900		764
L-3 Communications Holdings	15,023		1,377
Lockheed Martin	40,894		3,403
Masco	47,668		740
Monster Worldwide * (A)	15,034		250
Norfolk Southern	48,226		2,695
Northrop Grumman	39,119		2,565
PACCAR (A)	47,191		2,045
Pall (A)	15,495		627
Parker Hannifin	20,671		1,338
Pitney Bowes (A)	28,375		694
Precision Castparts	18,300		2,319
Quanta Services *	28,600		548
Raytheon	49,068		2,803
Republic Services (A)	43,583		1,265
Robert Half International (A)	18,927		576
Rockwell Automation	18,126		1,022
Rockwell Collins	20,178		1,263
Roper Industries (A)	12,000		694
RR Donnelley & Sons	27,111		579
Ryder System	7,254		281
Southwest Airlines	95,049		1,256


Description	Shares	Market Value ($ Thousands)

Stericycle * (A)	11,800	$	643
Textron (A)	34,598		735
Union Pacific	65,694		4,816
United Parcel Service, Cl B	128,111		8,251
United Technologies	120,832		8,894
Waste Management	62,028		2,135
WW Grainger	7,965		861

			143,221


Information Technology — 18.5%
Adobe Systems *	68,836		2,435
Advanced Micro Devices * (A)	70,763		656
Agilent Technologies *	44,506		1,531
Akamai Technologies * (A)	21,600		678
Altera (A)	37,551		913
Amphenol, Cl A	23,500		991
Analog Devices	39,899		1,150
Apple *	117,331		27,564
Applied Materials	174,550		2,353
Autodesk * (A)	29,317		862
Automatic Data Processing	65,950		2,933
BMC Software *	23,149		880
Broadcom, Cl A	55,936		1,856
CA	50,527		1,186
Cisco Systems *	740,304		19,270
Citrix Systems * (A)	23,442		1,113
Cognizant Technology Solutions, Cl A *	38,300		1,952
Computer Sciences *	20,733		1,130
Compuware *	30,175		253
Corning	203,178		4,106
Dell * (A)	226,174		3,395
eBay *	147,632		3,979
Electronic Arts *	43,978		821
EMC *	266,840		4,814
Fidelity National Information Services	44,765		1,049
Fiserv *	19,980		1,014
Flir Systems *	19,200		541
Google, Cl A *	31,191		17,686
Harris	16,700		793
Hewlett-Packard	304,265		16,172
Intel	713,915		15,892
International Business Machines	167,937		21,538
Intuit *	40,786		1,401
Iron Mountain	24,800		679
Jabil Circuit	25,979		421
JDS Uniphase *	29,456		369
Juniper Networks * (A)	68,200		2,093
Kla-Tencor	21,771		673
Lexmark International, Cl A *	10,239		369
Linear Technology (A)	30,494		862
LSI Logic *	91,546		560
Mastercard, Cl A (A)	12,600		3,200
McAfee *	21,200		851
MEMC Electronic Materials * (A)	29,300		449
Microchip Technology (A)	23,100		651
Micron Technology * (A)	109,569		1,138
Microsoft	986,993		28,889
Molex (A)	17,460		364


Description	Shares	Market Value ($ Thousands)

Motorola *	300,906	$	2,113
National Semiconductor	29,337		424
NetApp *	45,476		1,481
Novell *	40,689		244
Novellus Systems * (A)	11,727		293
Nvidia *	74,048		1,287
Oracle	504,988		12,973
Paychex (A)	41,456		1,273
QLogic * (A)	14,148		287
Qualcomm	216,932		9,109
Red Hat *	25,400		743
SAIC *	38,844		688
Salesforce.com * (A)	14,000		1,042
SanDisk * (A)	30,200		1,046
Symantec *	106,447		1,801
Tellabs	50,899		385
Teradata *	22,868		661
Teradyne * (A)	20,307		227
Texas Instruments	159,649		3,907
Total System Services (A)	24,380		382
VeriSign *	23,000		598
Visa, Cl A (A)	57,472		5,232
Western Digital *	30,400		1,185
Western Union	89,812		1,523
Xerox (A)	177,606		1,732
Xilinx (A)	37,609		959
Yahoo! *	156,338		2,584

			258,654


Materials — 3.4%
Air Products & Chemicals	27,526		2,035
Airgas	10,400		662
AK Steel Holding (A)	14,800		338
Alcoa (A)	126,735		1,805
Allegheny Technologies (A)	12,259		662
Ball	11,891		635
Bemis	14,490		416
CF Industries Holdings (A)	6,690		610
Cliffs Natural Resources (A)	16,611		1,178
Dow Chemical (A)	149,475		4,420
E.I. Du Pont de Nemours	118,035		4,395
Eastman Chemical	9,608		612
Ecolab (A)	30,930		1,359
FMC	9,000		545
Freeport-McMoRan Copper & Gold, Cl B	55,968		4,676
International Flavors & Fragrances	9,794		467
International Paper	56,070		1,380
MeadWestvaco	21,515		549
Monsanto	70,248		5,017
Newmont Mining	63,908		3,255
Nucor (A)	40,882		1,855
Owens-Illinois *	22,600		803
Pactiv *	18,487		466
PPG Industries (A)	21,545		1,409
Praxair (A)	39,999		3,320
Sealed Air	19,828		418
Sigma-Aldrich	15,536		834
Titanium Metals * (A)	12,100		201
United States Steel (A)	18,326		1,164
Vulcan Materials (A)	17,149		810


Description	Shares	Market Value ($ Thousands)

Weyerhaeuser	26,988	$	1,222

			47,518


Telecommunication Services — 2.7%
American Tower, Cl A *	52,000		2,216
AT&T	763,040		19,717
CenturyTel (A)	37,992		1,347
Frontier Communications (A)	38,531		287
MetroPCS Communications * (A)	33,700		238
Qwest Communications International	201,626		1,052
Sprint Nextel *	378,322		1,438
Verizon Communications	366,298		11,363
Windstream (A)	61,246		667

			38,325


Utilities — 3.4%
AES *	85,990		946
Allegheny Energy	20,968		482
Ameren	31,044		810
American Electric Power	61,715		2,109
Centerpoint Energy	48,868		702
CMS Energy (A)	28,292		437
Consolidated Edison (A)	36,133		1,609
Constellation Energy Group	25,599		899
Dominion Resources (A)	78,140		3,212
DTE Energy	21,045		939
Duke Energy (A)	169,522		2,767
Edison International	42,553		1,454
Entergy	24,364		1,982
Equities	16,500		676
Exelon	86,054		3,770
FirstEnergy (A)	39,587		1,547
FPL Group	54,020		2,611
Integrys Energy Group	9,434		447
Nicor	5,325		223
NiSource	34,479		545
Northeast Utilities	21,900		605
NRG Energy *	33,700		704
Oneok	13,900		635
Pepco Holdings	27,500		472
PG&E (A)	47,929		2,033
Pinnacle West Capital	12,549		474
PPL	48,871		1,354
Progress Energy	36,483		1,436
Public Service Enterprise Group	66,230		1,955
Questar	22,200		959
SCANA	14,500		545
Sempra Energy	31,965		1,595
Southern	104,335		3,460
TECO Energy (A)	26,212		417
Wisconsin Energy	14,700		726
Xcel Energy	59,219		1,257

			46,794

Total Common Stock (Cost $757,614) ($ Thousands)			1,367,185


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

AFFILIATED PARTNERSHIP — 15.5%
SEI Liquidity Fund, L.P.,
0.210% (B)**††		220,012,375	$	216,555

Total Affiliated Partnership (Cost $220,012) ($ Thousands)				216,555


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		34,230,982		34,231

Total Cash Equivalent (Cost $34,231) ($ Thousands)				34,231


U.S. TREASURY OBLIGATIONS (C) (D) — 0.2%
U.S. Treasury Bills
0.000%, 05/27/10	$	150		150
U.S. Cash Management Bill
0.140%, 06/17/10		2,895		2,894

Total U.S. Treasury Obligations (Cost $3,044) ($ Thousands)				3,044

Total Investments — 116.1% (Cost $1,014,901) ($ Thousands)			$	1,621,015

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI	668	Jun-2010	$	640

For the period ended March 31, 2010, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,396,111 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $213,600 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan. The total value of such securities as of March 31, 2010 was $216,555 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 81.9%

Consumer Discretionary — 13.4%
Aaron Rents	5,400	$	180
American Axle & Manufacturing Holdings *	9,200		92
American Eagle Outfitters	12,800		237
American Greetings, Cl A	10,600		221
American Public Education *	13,054		608
America’s Car-Mart *	6,800		164
Ameristar Casinos	23,701		432
AnnTaylor Stores *	10,600		219
ArvinMeritor *	14,800		198
ATC Technology *	8,900		153
Bally Technologies *	9,401		381
Barnes & Noble	10,800		234
Beazer Homes USA *	23,800		108
Big 5 Sporting Goods	8,600		131
Big Lots *	2,100		76
Bluegreen *	4,600		15
Blyth	900		28
Brinker International	8,063		155
Brown Shoe	46,300		717
Brunswick	10,300		165
Buckle	2,800		103
Buffalo Wild Wings *	4,360		210
California Pizza Kitchen *	21,700		364
Callaway Golf	29,398		259
Capella Education *	1,000		93
Carter’s *	10,700		323
Casual Male Retail Group *	53,900		208
Cato, Cl A	39,394		845
CEC Entertainment *	10,200		389
Charming Shoppes *	13,600		74
Cheesecake Factory *	16,016		433
Chico’s FAS	11,264		162
Christopher & Banks	18,700		150
Cinemark Holdings	15,500		284
Citi Trends *	9,400		305
Cooper Tire & Rubber	34,202		650
Core-Mark Holding *	3,100		95
Corinthian Colleges *	16,600		292
Cracker Barrel Old Country Store	13,700		635
Dana Holding *	38,920		462
Deckers Outdoor *	3,300		455
Dillard’s, Cl A	8,200		194
DineEquity *	2,600		103
Domino’s Pizza *	9,100		124
Dress Barn *	9,053		237
DSW, Cl A *	11,100		283
Eastman Kodak	108,800		630
Entercom Communications *	21,748		259
Ethan Allen Interiors	3,600		74
Exide Technologies *	8,400		48
Finish Line, Cl A	39,300		641
Foot Locker	42,260		636
Fossil *	13,546		511
Fred’s, Cl A	18,150		217
Furniture Brands International *	11,900		76
Genesco *	11,500		357
Gymboree *	755		39
Hillenbrand	17,800		392


Description	Shares	Market Value ($ Thousands)

HOT Topic *	64,810	$	421
HSN *	29,455		867
Iconix Brand Group *	59,875		920
Insight Enterprises *	19,300		277
Interval Leisure Group *	2,800		41
Isle of Capri Casinos *	30,402		237
J Crew Group *	6,421		295
Jack in the Box *	5,200		122
Jo-Ann Stores *	8,811		370
Jones Apparel Group	22,950		437
JOS A Bank Clothiers *	9,400		514
Kirkland’s *	46,302		972
Knology *	16,436		221
Lakeland Industries *	21,300		181
Las Vegas Sands *	8,200		173
Leggett & Platt	3,800		82
Lennar, Cl A	9,525		164
Life Time Fitness *	16,819		473
Lifetime Brands *	10,600		125
Lincoln Educational Services *	12,300		311
Lions Gate Entertainment *	28,500		178
Live Nation *	16,100		233
Lodgenet Entertainment *	13,800		96
Lululemon Athletica *	23,294		967
Lumber Liquidators Holdings *	385		10
Marcus	5,429		71
Matthews International, Cl A	4,200		149
MDC Partners, Cl A	75,600		782
Media General, Cl A *	9,600		80
Men’s Wearhouse	3,100		74
Morningstar *	1,800		87
New Frontier Media *	48,400		97
Nutri/System	5,200		93
Office Depot *	31,500		251
OfficeMax *	33,320		547
Orient-Express Hotels, Cl A *	20,181		286
Oxford Industries	15,600		317
Papa John’s International *	2,113		54
Penske Auto Group *	6,200		89
PF Chang’s China Bistro *	8,900		393
Phillips-Van Heusen	5,277		303
Pinnacle Entertainment *	50,965		496
Polaris Industries	3,700		189
Pool	8,400		190
Pre-Paid Legal Services *	2,700		102
Princeton Review *	55,100		192
Pulte Homes *	19,500		219
RadioShack	3,500		79
RC2 *	14,700		220
Regis	25,100		469
Ryland Group	32,400		727
Sealy *	23,300		82
Shutterfly *	13,500		325
Signet Jewelers *	1,700		55
Sonic Automotive, Cl A *	9,200		101
Sotheby’s	9,300		289
Spartan Motors	6,000		34
Stage Stores	39,300		605
Stamps.com *	4,000		40
Standard-Pacific *	23,600		107
Steiner Leisure *	6,123		272
Stewart Enterprises, Cl A	21,900		137


Description	Shares	Market Value ($ Thousands)

Stoneridge *	6,300	$	62
Sturm Ruger	30,880		370
Systemax	3,900		85
Tempur-Pedic International *	32,695		986
Tenneco *	41,743		987
Texas Roadhouse, Cl A *	5,800		81
Tractor Supply	5,221		303
Tupperware Brands	14,985		723
Ulta Salon Cosmetics & Fragrance *	16,525		374
Under Armour, Cl A *	7,425		218
Unifirst	1,700		88
Universal Electronics *	1,600		36
Universal Technical Institute *	5,300		121
Volcom *	7,300		142
Wendy’s, Cl A	48,921		245
Williams-Sonoma	6,800		179
Wolverine World Wide	6,900		201

			38,617


Consumer Staples — 3.6%
Alliance One International *	62,100		316
American Italian Pasta, Cl A *	13,899		540
Andersons	5,700		191
Cal-Maine Foods	6,700		227
Casey’s General Stores	8,600		270
China-Biotics *	6,000		107
Chiquita Brands International *	37,300		587
Cosan SA Industria e Comercio (Brazil) *	22,500		272
Darling International *	36,500		327
Del Monte Foods	37,800		552
Flowers Foods	4,100		102
Fresh Del Monte Produce *	4,600		93
Great Atlantic & Pacific Tea *	25,400		195
Herbalife	5,654		261
J&J Snack Foods	5,600		243
Kulim Malaysia	161,300		352
Lancaster Colony	8,197		483
Lance	24,500		567
Mead Johnson Nutrition, Cl A	1,300		68
Medifast *	28,633		719
Molson Coors Brewing, Cl B	2,600		109
NBTY *	6,400		307
Nu Skin Enterprises, Cl A	21,600		629
Pantry *	20,000		250
Pricesmart	2,200		51
Ruddick	23,350		739
Smart Balance *	62,169		403
TreeHouse Foods *	9,600		421
United Natural Foods *	6,954		196
Universal	2,700		143
USANA Health Sciences *	2,100		66
Vector Group	8,506		131
Viterra, Cl Common Subscription Recei *	26,900		254
Weis Markets	690		25
Winn-Dixie Stores *	17,093		213

			10,409


Energy — 5.0%
Allis-Chalmers Energy *	21,000		74
American Oil & Gas *	31,900		217


Description	Shares	Market Value ($ Thousands)

Approach Resources *	29,300	$	266
Arena Resources *	300		10
Atlas Energy	5,686		177
Basic Energy Services *	6,100		47
Berry Petroleum, Cl A	9,100		256
BPZ Resources *	82,377		606
Brigham Exploration *	10,800		172
Bristow Group *	2,400		91
Cal Dive International *	25,900		190
CARBO Ceramics	4,700		293
Carrizo Oil & Gas *	10,000		230
Clayton Williams Energy *	8,200		287
Clean Energy Fuels *	3,000		68
Complete Production Services *	10,100		117
Comstock Resources *	12,325		392
Contango Oil & Gas *	3,515		180
CVR Energy *	34,400		301
Delek US Holdings	5,200		38
Dril-Quip *	200		12
Energy Partners *	5,600		68
Exterran Holdings *	7,500		181
GeoMet *	51,600		46
Global Industries *	25,317		162
GMX Resources *	19,461		160
Goodrich Petroleum *	9,533		149
Gulfport Energy *	4,400		49
Helix Energy Solutions Group *	15,800		206
Hercules Offshore *	34,700		150
Holly	4,000		112
Hornbeck Offshore Services *	9,400		175
Key Energy Services *	52,000		497
Kodiak Oil & Gas *	87,947		300
Lufkin Industries	3,000		237
McMoRan Exploration *	19,500		285
Nordic American Tanker Shipping, Cl US	4,600		139
Northern Oil And Gas *	21,200		336
Oilsands Quest * (A)	429,500		318
Overseas Shipholding Group	3,200		126
Patterson-UTI Energy	3,600		50
PetroHawk Energy *	35,100		712
Petroquest Energy *	40,713		205
Pioneer Drilling *	20,264		143
Quicksilver Resources *	19,759		278
Rentech *	77,000		79
Rosetta Resources *	9,900		233
SandRidge Energy *	85,860		661
Scorpio Tankers *	30,200		379
Ship Finance International	4,800		85
StealthGas	27,900		141
Swift Energy *	10,400		320
T-3 Energy Services, Cl 3 *	9,300		228
Teekay Shipping	10,700		243
Tesoro	13,600		189
Tetra Technologies *	3,200		39
Tidewater	2,055		97
USEC *	37,100		214
Vaalco Energy	52,040		257
Venoco *	34,235		439
W&T Offshore	41,652		350
Western Refining *	14,300		79
Willbros Group *	46,600		560


Description	Shares	Market Value ($ Thousands)

World Fuel Services	27,000	$	719

			14,420


Financials — 13.2%
Allied World Assurance Holdings	3,300		148
American Campus Communities †	4,600		127
Amtrust Financial Services	20,700		289
Annaly Capital Management †	14,340		246
Anworth Mortgage Asset †	68,258		460
Apollo Investment *(B)	11,762		150
Ashford Hospitality Trust * †	8,600		62
Aspen Insurance Holdings	8,200		236
Associated Banc-Corp	26,756		369
Associated Estates Realty †	20,100		277
Axis Capital Holdings	2,800		87
Bancorp Rhode Island	3,800		104
Bank of the Ozarks	5,584		197
BGC Partners, Cl A	26,500		162
Boston Private Financial Holdings	19,600		145
Brasil Brokers Participacoes	50,700		220
Calamos Asset Management, Cl A	14,075		202
CapitalSource	31,882		178
Capstead Mortgage †	24,900		298
Cardinal Financial	19,500		208
Cathay General Bancorp	17,000		198
Cedar Shopping Centers †	28,960		229
Centerstate Banks	10,900		134
Chemical Financial	4,700		111
Chimera Investment †	102,168		397
Cincinnati Financial	3,800		110
Cogdell Spencer †	36,100		267
Cohen & Steers	4,000		100
Colonial Properties Trust †	20,100		259
Community Bank System	10,400		237
Cowen Group, Cl A *	59,400		336
Crawford, Cl B *	4,200		17
CreXus Investment †	14,900		199
Delphi Financial Group, Cl A	14,500		365
Developers Diversified Realty †	41,742		508
Dollar Financial *	12,831		309
Duff & Phelps	14,800		248
DuPont Fabros Technology †	14,473		313
ETrade Financial	127,900		211
EastGroup Properties †	2,122		80
Education Realty Trust †	48,000		276
eHealth *	2,700		42
EMC Insurance Group	1,200		27
Encore Bancshares *	9,550		91
Equity Lifestyle Properties †	2,162		117
Equity One †	10,800		204
ESSA Bancorp	8,486		106
FBR Capital Markets *	66,900		304
First Bancorp	60,700		146
First Cash Financial Services *	672		14
First Commonwealth Financial	9,900		66
First Financial Bancorp	54,140		963
First Industrial Realty Trust * †	16,400		127
FirstMerit	15,447		333
Flushing Financial	25,600		324
FNB (Pennsylvania)	13,600		110


Description	Shares	Market Value ($ Thousands)

Fpic Insurance Group *	9,300	$	252
Fulton Financial	26,380		269
General Shopping Brasil (Brazil) *	50,600		247
Getty Realty †	2,000		47
Gladstone Capital	5,200		61
Gluskin Sheff + Associates	9,900		217
Great American Group *	54,800		121
Greenhill	3,691		303
Hancock Holding	14,520		607
Hanover Insurance Group	10,400		453
Harleysville Group	2,400		81
Hatteras Financial †	3,600		93
Hercules Technology Growth Capital	10,800		114
Highwoods Properties †	20,100		638
Home Bancshares	11,300		299
Home Federal Bancorp	8,800		128
Hudson Valley Holding	11,170		270
Infinity Property & Casualty	2,500		114
Inland Real Estate †	33,600		308
International Assets Holding *	1		—
Investors Real Estate Trust †	30,000		271
iStar Financial †	32,928		151
KBW *	7,800		210
Kennedy-Wilson Holdings *	10,500		107
Knight Capital Group, Cl A *	16,720		255
Lexington Realty Trust †	31,400		204
Life Partners Holdings	7,750		172
LTC Properties †	17,523		474
Max Capital Group	9,900		228
MB Financial	23,100		521
Meadowbrook Insurance Group	79,700		630
Medical Properties Trust †	9,100		95
MF Global Holdings *	26,950		218
MFA Financial †	68,400		503
MGIC Investment *	63,890		701
Mid-America Apartment Communities †	951		49
National Penn Bancshares	81,600		563
National Retail Properties †	18,750		428
Nationwide Health Properties †	2,200		77
Nelnet, Cl A	32,200		598
NewAlliance Bancshares	2,392		30
Northwest Bancshares	7,700		90
NYSE Euronext	3,800		112
Old National Bancorp	15,000		179
Omega Healthcare Investors †	1,100		21
optionsXpress Holdings	12,453		203
Pacific Continental	19,050		200
PacWest Bancorp	12,755		291
Pennsylvania Real Estate Investment Trust †	8,700		109
Penson Worldwide *	400		4
PHH *	10,400		245
Phoenix *	33,200		80
Platinum Underwriters Holdings	8,700		323
PMA Capital, Cl A *	24,756		152
Post Properties †	15,450		340
Potlatch †	2,977		104
Prosperity Bancshares	4,500		185
Provident Financial Services	4,000		48
PS Business Parks †	200		11


Description	Shares	Market Value ($ Thousands)

Radian Group	53,963	$	844
RAIT Financial Trust †	50,800		101
Redwood Trust †	11,700		180
Renasant	11,100		180
Riskmetrics Group *	672		15
RLI	5,000		285
S&T Bancorp	5,000		105
Safeguard Scientifics *	6,700		87
Safety Insurance Group	5,209		196
SCBT Financial	7,300		270
SeaBright Insurance Holdings	12,300		135
Seacoast Banking Corp of Florida	57,500		98
Selective Insurance Group	5,100		85
Senior Housing Properties Trust †	5,600		124
Signature Bank NY *	1,900		70
Simmons First National, Cl A	4,800		132
Sovran Self Storage †	4,300		150
Starwood Property Trust †	13,000		251
Sunstone Hotel Investors * †	44,980		502
Susquehanna Bancshares	85,540		839
SVB Financial Group *	3,800		177
SWS Group	12,500		144
Synovus Financial	61,475		202
Tanger Factory Outlet Centers †	2,200		95
TD Ameritrade Holding *	11,700		223
Texas Capital Bancshares *	14,843		282
Thomas Weisel Partners Group *	23,600		93
Titanium Asset Management * (C)(F)	15,400		46
Tower Group	5,846		130
TradeStation Group *	18,400		129
Trustco Bank NY	47,500		293
Trustmark	15,271		373
Umpqua Holdings	23,177		307
United Community Banks *	13,619		60
United Financial Bancorp	7,200		101
Universal Health Realty Income Trust †	1,700		60
Uranium Participation *	51,800		303
U-Store-It Trust †	43,450		313
Validus Holdings	11,900		328
ViewPoint Financial Group	10,000		162
Washington Real Estate Investment Trust †	19,400		593
Westamerica Bancorporation	4,400		254
Western Alliance Bancorp *	67,749		386
Whitney Holding	42,100		581
Wilmington Trust	4,100		68
Wilshire Bancorp	3,700		41
World Acceptance *	28,391		1,024
WSFS Financial	7,106		277
Zions Bancorporation	14,450		315

			37,856


Health Care — 10.8%
Abaxis *	15,598		424
Acorda Therapeutics *	21,000		718
Affymetrix *	46,362		340
Air Methods *	10,505		357
Albany Molecular Research *	5,600		47
Alexion Pharmaceuticals *	4,600		250
Align Technology *	13,700		265


Description	Shares	Market Value ($ Thousands)

Allos Therapeutics *	9,800	$	73
Allscripts Healthcare Solutions *	10,900		213
Alnylam Pharmaceuticals *	2,100		36
AMAG Pharmaceuticals *	16,453		574
Amedisys *	9,300		514
American Medical Systems Holdings *	17,600		327
AMERIGROUP *	14,801		492
AMN Healthcare Services *	20,501		180
Amsurg *	23,600		510
Analogic	2,200		94
Angiodynamics *	6,200		97
Arena Pharmaceuticals *	3,800		12
Assisted Living Concepts, Cl A *	7,100		233
Auxilium Pharmaceuticals *	2,600		81
BioMarin Pharmaceuticals *	14,976		350
Bio-Reference Labs *	1,200		53
Bruker BioSciences *	25,433		373
Cantel Medical	16,300		324
Cardiome Pharma *	57,260		378
Chemed	14,908		811
Computer Programs & Systems	2,800		109
Conmed *	3,800		90
Covance *	3,400		209
Cubist Pharmaceuticals *	12,743		287
Cyberonics *	6,100		117
Cypress Bioscience *	2,100		10
Durect *	85,275		257
Electro-Optical Sciences *	9,845		73
Emergency Medical Services, Cl A *	8,200		464
Emergent Biosolutions *	1,185		20
Ensign Group	3,800		66
Enzo Biochem *	6,800		41
eResearchTechnology *	25,500		176
Exactech *	12,200		256
Exelixis *	27,600		168
Genoptix *	2,600		92
Gen-Probe *	3,300		165
Gentiva Health Services *	900		25
Haemonetics *	6,200		354
Halozyme Therapeutics *	12,700		101
Health Management Associates, Cl A *	44,439		382
Healthsouth *	32,769		613
Healthspring *	1,700		30
HealthTronics *	75,900		272
HMS Holdings *	7,475		381
Human Genome Sciences *	7,900		239
ICU Medical *	23,500		810
Idexx Laboratories *	3,300		190
Immucor *	8,100		181
Immunogen *	20,500		166
Incyte *	25,500		356
Inspire Pharmaceuticals *	27,200		170
Inverness Medical Innovations *	1,300		51
IPC The Hospitalist *	5,533		194
Isis Pharmaceuticals *	1,300		14
Kendle International *	6,400		112
Kensey Nash *	6,000		141
Kindred Healthcare *	7,500		135
King Pharmaceuticals *	47,500		559


Description	Shares	Market Value ($ Thousands)

LCA-Vision *	11,600	$	97
LHC Group *	15,320		514
LifePoint Hospitals *	12,700		467
Magellan Health Services *	8,373		364
Masimo	11,250		299
Medicines *	50,000		392
Medicis Pharmaceutical, Cl A	24,910		627
Medivation *	38,826		407
Mednax *	6,300		367
Meridian Bioscience	12,200		248
Merit Medical Systems *	4,600		70
MWI Veterinary Supply *	1,900		77
Nektar Therapeutics *	26,309		400
Nighthawk Radiology Holdings *	10,800		34
NovaMed *	19,800		67
NPS Pharmaceuticals *	11,873		60
NuVasive *	8,263		373
Odyssey HealthCare *	24,760		448
Omnicare	3,300		93
Omnicell *	9,529		134
Optimer Pharmaceuticals *	12,003		147
Orthofix International *	6,091		222
Par Pharmaceutical *	19,275		478
Parexel International *	9,700		226
PDL BioPharma	135,211		840
Perrigo	2,500		147
Pharmaceutical Product Development	6,707		159
Pharmasset *	3,396		91
Pozen *	36,450		349
Providence Service *	8,600		131
PSS World Medical *	10,400		245
Psychiatric Solutions *	2,500		74
Questcor Pharmaceuticals *	85,625		705
Quidel *	32,329		470
Regeneron Pharmaceuticals *	9,600		254
RehabCare Group *	2,300		63
Res-Care *	24,600		295
Rigel Pharmaceuticals *	46,300		369
Savient Pharmaceuticals *	37,671		544
Seattle Genetics *	3,417		41
SIGA Technologies *	22,393		148
Sirona Dental Systems *	8,300		316
Spectrum Pharmaceuticals *	22,300		103
StemCells *	66,800		78
STERIS	26,448		890
Sun Healthcare Group *	22,900		218
Techne	3,900		248
Theravance *	6,600		88
Thoratec *	7,016		235
Valeant Pharmaceuticals International *	9,800		420
Varian *	900		47
Viropharma *	2,400		33
Vivus *	6,200		54
WellCare Health Plans *	16,632		496
Zoll Medical *	5,634		148

			31,112


Industrials — 10.9%
ABM Industries	5,955		126
ACCO Brands *	14,100		108


Description	Shares	Market Value ($ Thousands)

Actuant, Cl A	15,600	$	305
Administaff	8,600		183
Aegean Marine Petroleum Network	15,244		433
AerCap Holdings *	52,030		599
Aerovironment *	11,225		293
Airtran Holdings *	175,800		893
Alaska Air Group *	6,800		280
American Science & Engineering	1,800		135
Ameron International	2,800		176
AMR *	10,400		95
AO Smith	8,800		463
APAC Customer Services *	73,329		422
Apogee Enterprises	20,746		328
Applied Industrial Technologies	14,000		348
Arkansas Best	4,200		125
Armstrong World Industries *	9,035		328
Atlas Air Worldwide Holdings *	17,385		922
Avis Budget Group *	51,831		596
AZZ	1,600		54
Baldor Electric	9,800		366
BE Aerospace *	21,700		661
Beacon Roofing Supply *	5,600		107
Briggs & Stratton	14,800		289
Brink’s	5,100		144
Carlisle	6,100		233
Celadon Group *	29,911		417
Cenveo *	29,800		258
Chart Industries *	29,387		588
Columbus McKinnon *	17,700		281
Comfort Systems USA	11,600		145
Consolidated Graphics *	8,200		340
Continental Airlines, Cl B *	11,500		253
Copa Holdings, Cl A	3,700		225
Cornell *	34,600		633
Corporate Executive Board	13,825		368
CRA International *	19,100		438
Cubic	16,660		599
Deluxe	5,600		109
Dycom Industries *	42,100		369
Dynamic Materials	5,017		78
DynCorp International, Cl A *	31,500		362
EMCOR Group *	24,800		611
Energy Recovery *	9,325		59
EnerNOC *	8,011		238
EnerSys *	17,016		420
Ennis	8,200		133
Fastenal	3,900		187
Force Protection *	45,700		275
FTI Consulting *	7,200		283
Generac Holdings *	21,300		298
Genesee & Wyoming, Cl A *	10,770		367
Geo Group *	12,800		254
GeoEye *	11,544		341
GrafTech International *	5,827		80
Granite Construction	9,100		275
Great Lakes Dredge & Dock	108,873		572
GT Solar International *	7,000		37
H&E Equipment Services *	25,300		273
Hawaiian Holdings *	47,300		349
Healthcare Services Group	1,500		34
Hexcel *	43,900		634


Description	Shares	Market Value ($ Thousands)

Hill International *	730	$	4
HNI	8,656		230
Horizon Lines, Cl A	8,100		44
Innerworkings *	51,920		270
Kaman	4,000		100
KBR	7,200		160
Kelly Services, Cl A *	6,000		100
Kirby *	7,300		278
Knight Transportation	4,500		95
Ladish *	9,820		198
Landstar System	6,655		279
LECG *	53,130		158
Lennox International	3,961		175
Lydall *	4,600		36
Manitowoc	17,000		221
Marten Transport *	8,355		165
Mcgrath Rentcorp	2,800		68
Michael Baker *	14,482		499
Middleby *	4,174		240
Mine Safety Appliances	5,700		159
Mueller Water Products, Cl A	85,992		411
Navigant Consulting *	2,000		24
Navistar International *	5,800		259
Old Dominion Freight Line *	15,051		503
Oshkosh Truck	2,859		115
Owens Corning *	3,800		97
Polypore International *	11,576		202
Powell Industries *	5,507		179
Rand Logistics *	9,500		49
Raven Industries	6,928		204
Resources Connection *	10,175		195
Robbins & Myers	12,200		291
RSC Holdings *	38,500		306
Skywest	4,100		58
Standard Register	9,400		50
Standex International	8,100		209
SYKES Enterprises *	5,900		135
TAL International Group	17,800		355
Teleflex	1,800		115
Tennant	4,147		114
Terex *	13,200		300
Tetra Tech *	1,242		29
Textainer Group Holdings	16,000		345
Titan Machinery *	26,925		369
Tredegar	5,500		94
Triumph Group	6,290		441
TrueBlue *	10,100		157
Tutor Perini *	13,394		291
UAL *	42,609		833
US Airways Group *	44,300		326
US Ecology	4,900		79
Vitran *	13,850		168
Wabash National *	27,000		189
Werner Enterprises	11,530		267

			31,433


Information Technology — 17.7%
3Com *	36,680		282
Actel *	4,000		55
ADC Telecommunications *	53,240		389
Advanced Energy Industries *	35,386		586
Advent Software *	3,741		167


Description	Shares	Market Value ($ Thousands)

Amkor Technology *	40,667	$	288
Anixter International *	1,300		61
Ansys *	4,700		203
Applied Micro Circuits *	79,200		683
Archipelago Learning *	15,189		221
Ariba *	19,300		248
Arris Group *	72,900		875
Art Technology Group *	116,292		513
AsiaInfo Holdings *	16,371		433
Atheros Communications *	16,314		632
Atmel *	45,270		228
Aviat Networks *	39,000		259
Benchmark Electronics *	36,788		763
Blackbaud	8,300		209
Blue Coat Systems *	10,600		329
Brightpoint *	38,500		290
Brocade Communications Systems *	55,800		319
Cabot Microelectronics *	6,140		232
CDC Software ADR *	42,500		488
Checkpoint Systems *	13,300		294
Ciber *	77,300		289
Cirrus Logic *	32,500		273
Cognex	11,400		211
Cogo Group *	13,300		93
CommScope *	9,880		277
CommVault Systems *	23,586		504
Comtech Telecommunications *	9,250		296
Comverse Technology *	33,100		275
CSG Systems International *	19,700		413
CTS	16,200		153
Cypress Semiconductor *	6,000		69
Daktronics	7,300		56
Digi International *	31,000		330
Digital River *	23,365		708
Diodes *	15,050		337
Double-Take Software *	19,900		177
DSP Group *	23,000		192
DTS *	1,165		40
Earthlink	17,600		150
EFJ *	15,600		14
Electro Rent	3,500		46
Electronics for Imaging *	6,800		79
Emulex *	25,000		332
Entegris *	75,200		379
Euronet Worldwide *	486		9
Fairchild Semiconductor International *	47,540		506
Flir Systems *	6,400		180
Forrester Research *	3,396		102
Gartner *	3,800		84
GSI Commerce *	2,100		58
Hackett Group *	32,100		89
Heartland Payment Systems	29,200		543
Hittite Microwave *	10,900		479
IAC *	10,800		246
Imation *	61,598		678
Informatica *	8,100		218
Integral Systems *	25,000		241
Integrated Device Technology *	89,471		548
InterDigital *	3,600		100
Intermec *	10,410		148


Description	Shares	Market Value ($ Thousands)

Intersil, Cl A	12,387	$	183
IXYS *	6,600		56
j2 Global Communications *	14,900		349
Jack Henry & Associates	5,300		128
JDA Software Group *	41,859		1,164
KIT Digital *	31,797		410
Knot *	44,900		351
Lawson Software *	5,700		38
Lexmark International, Cl A *	4,100		148
Linear Technology	7,000		198
LivePerson *	5,300		41
Loral Space & Communications *	4,100		144
Manhattan Associates *	11,500		293
Mantech International, Cl A *	14,800		723
MAXIMUS	7,200		439
Mentor Graphics *	46,510		373
MercadoLibre *	11,675		563
Methode Electronics	39,900		395
Micrel	9,900		106
Microsemi *	4,400		76
MicroStrategy, Cl A *	9,919		844
MKS Instruments *	15,000		294
ModusLink Global Solutions *	8,900		75
MoneyGram International *	34,100		130
Monolithic Power Systems *	3,700		83
Move *	41,100		86
MTS Systems	5,200		151
Net 1 UEPS Technologies *	4,144		76
Netgear *	34,144		891
Netlogic Microsystems *	15,178		447
NetSuite *	22,333		325
Novatel Wireless *	51,000		343
Novell *	43,700		262
Omnivision Technologies *	15,600		268
Openwave Systems *	19,800		45
OSI Systems *	10,700		300
Palm *	11,700		44
Parametric Technology *	41,700		753
Park Electrochemical	19,625		564
Parkervision *	94,200		160
Photronics *	59,350		302
Plantronics	2,400		75
Plexus *	11,900		429
Power Integrations	5,200		214
Progress Software *	12,317		387
Quality Systems	5,325		327
Quantum *	182,872		481
Quest Software *	45,138		803
Radware *	5,700		126
RealNetworks *	21,000		101
RF Micro Devices *	65,074		324
RightNow Technologies *	14,620		261
Riverbed Technology *	19,386		551
Rogers *	3,200		93
Rosetta Stone *	13,850		329
Sapient	68,471		626
Scansource *	9,500		273
Seachange International *	41,800		300
Semtech *	17,400		303
Skyworks Solutions *	15,819		247
SRA International, Cl A *	5,200		108
Standard Microsystems *	7,100		165


Description	Shares	Market Value ($ Thousands)

STEC *	44,635	$	535
SuccessFactors *	11,925		227
Synaptics *	7,655		211
Synchronoss Technologies *	2,600		50
SYNNEX *	2,500		74
Syntel	10,000		385
Take-Two Interactive Software *	9,500		94
Taleo, Cl A *	10,000		259
Tech Data *	2,200		92
Tekelec *	8,400		152
TeleTech Holdings *	30,028		513
Teradyne *	65,985		737
Tessera Technologies *	14,826		301
THQ *	15,000		105
TIBCO Software *	62,900		679
Tivo *	12,304		211
Trimble Navigation *	7,000		201
TriQuint Semiconductor *	77,402		542
TTM Technologies *	52,320		464
Tyler Technologies *	400		7
Ultimate Software Group *	3,757		124
Unisys *	23,750		829
United Online	51,600		386
Valueclick *	77,422		785
VanceInfo Technologies ADR *	17,370		387
Vasco Data Security International *	9,203		76
Veeco Instruments *	21,247		924
VeriFone Holdings *	17,075		345
Verigy *	33,830		378
VistaPrint *	6,131		351
Vocus *	5,200		89
Volterra Semiconductor *	22,900		575
Websense *	22,790		519
Wright Express *	17,900		539
Zoran *	61,000		656

			50,915


Materials — 4.7%
AK Steel Holding	13,700		313
Allied Nevada Gold *	21,100		350
AM Castle	8,900		116
Aptargroup	5,700		224
Arch Chemicals	2,200		76
Buckeye Technologies *	13,300		174
Carpenter Technology	25,490		933
Century Aluminum *	7,700		106
Commercial Metals	15,000		226
Cytec Industries	2,261		106
Domtar *	2,600		168
Ferro	7,700		68
Gammon Gold *	37,400		269
General Steel Holdings *	21,200		87
Globe Specialty Metals *	17,900		200
Graham Packaging *	5,100		64
H.B. Fuller	10,000		232
Headwaters *	19,700		90
Innophos Holdings	16,500		460
Intrepid Potash *	15,378		466
Jaguar Mining *	28,500		263
Koppers Holdings	12,852		364
Landec *	3,400		23


Description	Shares	Market Value ($ Thousands)

LSB Industries *	1,697	$	26
Myers Industries	11,800		124
New Gold *	65,600		286
NewMarket	12,672		1,305
Olin	9,400		184
Omnova Solutions *	32,700		257
PolyOne *	52,840		541
Quaker Chemical	11,700		317
Rockwood Holdings *	20,786		553
RTI International Metals *	4,000		121
Schnitzer Steel Industries, Cl A	4,176		219
Schulman A	6,500		159
Schweitzer-Mauduit International	10,900		518
Sensient Technologies	4,600		134
Solutia *	33,500		540
Spartech *	24,304		284
Stepan	277		16
Temple-Inland	17,378		355
Universal Stainless & Alloy *	14,900		357
Wausau Paper *	10,400		89
Worthington Industries	32,011		554
WR Grace *	40,428		1,122
Zep	55		1

			13,440


Telecommunication Services — 0.7%
Alaska Communications Systems Group	8,900		72
Cincinnati Bell *	106,169		362
Cogent Communications Group *	16,905		176
Consolidated Communications Holdings	7,400		140
Frontier Communications	15,400		115
Global Crossing *	9,200		139
Leap Wireless International *	16,800		275
Neutral Tandem *	22,900		366
PAETEC Holding *	39,400		185
Shenandoah Telecommunications	2,800		53
USA Mobility	9,200		116

			1,999


Utilities — 1.9%
Allete	4,900		164
California Water Service Group	3,170		119
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	18,100		258
Cleco	13,600		361
El Paso Electric *	7,000		144
Empire District Electric	12,000		216
Great Plains Energy	6,500		121
Idacorp	11,300		391
Laclede Group	2,113		71
MGE Energy	3,594		127
New Jersey Resources	9,904		372
NorthWestern	18,500		496
PNM Resources	33,794		423
Portland General Electric	29,700		574
RRI Energy *	14,800		55
UGI	10,900		289
UIL Holdings	3,299		91
Unisource Energy	12,300		387
Vectren	16,826		416


Description	Shares		Market Value ($ Thousands)

Westar Energy		14,500	$	323

				5,398

Total Common Stock (Cost $206,811) ($ Thousands)				235,599


PREFERRED STOCK — 0.4%
Grubb & Ellis Cumulative *		5,800		853
Callaway Golf (A)		1,500		208

Total Preferred Stock (Cost $764) ($ Thousands)				1,061


EXCHANGE TRADED FUND — 0.3%
iShares Russell 2000 Value Index Fund		11,600		741

Total Exchange Traded Fund (Cost $740) ($ Thousands)				741


	Number of Warrants

WARRANTS — 0.0%
Oilsands Quest
Expires 05/12/11 * (C) (F)		1,200		—

Total Warrants (Cost $1) ($Thousands)				—


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Scorpio Mining PIPE
7.000%, 05/05/11 (C) (F)		52		47

Total Corporate Obligation (Cost $46) ($ Thousands)				47


CONVERTIBLE BOND — 0.0%

Energy — 0.0%
Rentech CV to 249.2522
4.000%, 04/15/13 (D)	$	204		141

Total Convertible Bond (Cost $164) ($ Thousands)				141


CASH EQUIVALENT — 4.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		12,602,483		12,602

Total Cash Equivalent (Cost $12,602) ($ Thousands)				12,602


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bills
0.135%, 06/03/10 (D)(E)	$	942	$	942

Total U.S. Treasury Obligation (Cost $942) ($ Thousands)				942

Total Investments — 87.3% (Cost $222,070) ($ Thousands)			$	251,133

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI	686	Jun-2010	$	(296	)

Percentages are based on Net Assets of $287,704 ($Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security (see Note 5).

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(B)

Business development company.

(C)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2010 was $93 ($ Thousands) and represented 0.0% of Net Assets.

(D)

Zero Coupon Security. The rate reported is the rate in effect as of March 31, 2010.

(E)

Security, or portion there of, has been pledged as collateral on open futures contracts.

(F)

Security considered restricted. The total market value of such securities as of March 31, 2010 was $93 ($ Thousands) and represented 0.0% of Net Assets.

ADR — American Depositary Receipt

Cl — Class

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 93.7% ‡

Consumer Discretionary — 9.0%
Abercrombie & Fitch, Cl A (A)	29,208	$	1,333
Accor	9,651		535
American Greetings, Cl A (A)	44,900		936
America’s Car-Mart *	22,300		538
Arctic Cat *	43,600		473
ATC Technology *	87,096		1,495
Bebe Stores (A)	46,165		411
Belo, Cl A	148,200		1,011
Big Lots *	24,200		881
Blyth	6,475		202
Bob Evans Farms (A)	24,000		742
Brown Shoe	34,100		528
Cabela’s * (A)	59,800		1,046
California Pizza Kitchen *	52,756		886
Callaway Golf (A)	128,403		1,132
Carmike Cinemas *	5,100		71
Casual Male Retail Group *	178,850		690
Cato, Cl A	35,000		750
Collective Brands *	4,500		102
Cooper Tire & Rubber	100,838		1,918
Core-Mark Holding *	4,000		123
Cracker Barrel Old Country Store (A)	26,000		1,206
CSS Industries	35,100		706
Dillard’s, Cl A	4,200		99
Ethan Allen Interiors (A)	54,752		1,130
Finish Line, Cl A	7,600		124
Foot Locker	34,400		517
Genesco *	1,400		43
Harte-Hanks	43,000		553
hhgregg *	52,118		1,316
Hillenbrand	28,000		616
Iconix Brand Group *	50,600		777
Insight Enterprises * (A)	62,200		893
International Speedway, Cl A (A)	59,800		1,541
Jack in the Box *	95,070		2,239
Jakks Pacific * (A)	39,700		518
Jo-Ann Stores *	4,600		193
Jones Apparel Group	10,900		207
Journal Communications, Cl A	107,100		450
Lakeland Industries *	71,700		610
Landry’s Restaurants * (A)	19,700		353
Lifetime Brands *	35,041		413
Lions Gate Entertainment *	94,500		590
Marriott International, Cl A (A)	30,800		971
Matthews International, Cl A	39,000		1,384
MDC Partners, Cl A	250,870		2,596
Mediacom Communications, Cl A *	11,700		70
Men’s Wearhouse (A)	21,601		517
Meredith (A)	57,600		1,982
New Frontier Media *	160,600		321
O’Charleys *	50,700		453
Oxford Industries	2,800		57
Perry Ellis International *	6,800		154
PetSmart (A)	42,968		1,373
Polaris Industries (A)	21,800		1,115
Pool	27,900		632
Princeton Review *	183,546		641


Description	Shares	Market Value ($ Thousands)

RadioShack	53,600	$	1,213
RC2 *	5,600		84
Red Robin Gourmet Burgers * (A)	36,600		894
Regis (A)	80,648		1,506
Rent-A-Center *	136,800		3,235
Retail Ventures *	7,400		71
Ruby Tuesday * (A)	52,100		551
Scholastic (A)	25,700		719
Scientific Games, Cl A * (A)	61,473		865
Sinclair Broadcast Group, Cl A *	68,900		350
Sonic Automotive, Cl A *	7,700		85
Speedway Motorsports	3,000		47
Sport Supply Group	1,100		15
Stage Stores	58,400		899
Standard Motor Products	9,100		90
Stein Mart *	8,200		74
Thomas Cook Group	65,561		268
Unifirst	3,300		170
World Wrestling Entertainment, Cl A	29,300		507

			54,806


Consumer Staples — 4.3%
Alliance One International *	220,900		1,124
American Italian Pasta, Cl A *	2,300		89
American Oriental Bioengineering * (A)	136,200		556
BJ’s Wholesale Club * (A)	33,645		1,245
Cal-Maine Foods (A)	14,700		498
Casey’s General Stores (A)	48,276		1,516
Central Garden and Pet, Cl A *	74,799		685
Central Garden and Pet *	74,918		739
Chiquita Brands International * (A)	111,700		1,757
Corn Products International	41,879		1,452
Dean Foods * (A)	125,140		1,964
Del Monte Foods	125,500		1,832
Dole Food * (A)	68,041		806
Fresh Del Monte Produce *	56,800		1,150
Herbalife	12,700		586
Ingles Markets, Cl A	31,975		481
Nash Finch (A)	10,700		360
Nutraceutical International *	900		13
Pantry *	106,588		1,331
Prestige Brands Holdings *	20,200		182
Ruddick (A)	58,500		1,851
Sanderson Farms (A)	32,903		1,764
Seneca Foods, Cl A *	3,200		93
Universal (A)	65,300		3,441
Village Super Market, Cl A	10,504		294

			25,809


Energy — 4.8%
Allis-Chalmers Energy *	24,300		86
Alon USA Energy (A)	22,900		166
Approach Resources *	97,200		882
Berry Petroleum, Cl A (A)	92,672		2,610
Cal Dive International *	253,287		1,856
Clayton Williams Energy *	2,200		77
Comstock Resources *	69,700		2,216
CVR Energy *	9,900		86
Energy Partners *	18,700		228
Forest Oil *	81,500		2,104


Description	Shares	Market Value ($ Thousands)

Frontier Oil (A)	62,885	$	849
GeoMet *	171,370		153
Goodrich Petroleum * (A)	73,651		1,152
Gulfport Energy *	8,000		90
Holly (A)	82,400		2,300
Hornbeck Offshore Services * (A)	17,300		321
Key Energy Services * (A)	161,658		1,544
Oil States International *	10,100		458
Overseas Shipholding Group (A)	19,600		769
Parker Drilling * (A)	231,200		1,140
Patterson-UTI Energy	126,700		1,770
RPC (A)	53,700		598
Scorpio Tankers *	52,600		661
SEACOR Holdings *	8,700		702
Seahawk Drilling * (A)	45,500		858
Ship Finance International	500		9
StealthGas	92,600		468
Stone Energy *	10,200		181
Superior Energy Services *	40,400		849
Swift Energy * (A)	69,382		2,133
Tesoro (A)	37,300		518
USEC * (A)	168,500		972
Western Refining *	15,800		87

			28,893


Financials — 31.7%
1st Source	39,900		700
Abington Bancorp	1,500		12
Advance America Cash Advance
Centers	110,900		645
Agree Realty †	27,303		624
Alexandria Real Estate Equities † (A)	14,500		980
Alliance Financial	3,300		97
Allied Capital *	24,600		122
Allied World Assurance Holdings	43,900		1,969
AMB Property † (A)	141,000		3,841
American Campus Communities †	15,430		427
American Equity Investment Life Holding (A)	75,800		807
American Physicians Capital	15,600		498
Ameris Bancorp	6,608		60
Ames National	200		4
Anworth Mortgage Asset †	68,800		464
Argo Group International Holdings	400		13
Arrow Financial	3,090		83
Ashford Hospitality Trust * †	16,200		116
Aspen Insurance Holdings	71,400		2,059
Assured Guaranty (A)	31,200		686
Astoria Financial (A)	100,400		1,456
Auburn National Bancorporation	600		12
AvalonBay Communities † (A)	15,100		1,304
Bancfirst	5,400		226
Banco Latinoamericano de Exportaciones, Cl E	59,800		859
Bancorp *	10,800		96
Bancorp Rhode Island	13,700		375
Bancorpsouth (A)	65,465		1,372
Bank of Kentucky Financial	100		2
Bank of Marin Bancorp	3,100		103
Bank of the Ozarks	13,000		457


Description	Shares	Market Value ($ Thousands)

BankFinancial	8,700	$	80
Banner	28,400		109
Bar Harbor Bankshares	1,400		43
Beneficial Mutual Bancorp *	14,000		133
Berkshire Hills Bancorp	4,000		73
BGC Partners, Cl A	126,200		771
BioMed Realty Trust † (A)	49,400		817
Boston Private Financial Holdings (A)	151,591		1,117
Boston Properties † (A)	17,100		1,290
Brandywine Realty Trust † (A)	77,500		946
Brookfield Asset Management, Cl A	75,600		1,922
Brookline Bancorp	32,800		349
Bryn Mawr Bank	2,900		53
Calamos Asset Management, Cl A	10,600		152
Camden National	20,000		642
Camden Property Trust †	31,371		1,306
Cape Bancorp *	1,200		10
Capital City Bank Group	4,600		66
Capstead Mortgage † (A)	38,400		459
Cardinal Financial	106,169		1,134
Cathay General Bancorp (A)	70,200		818
CBL & Associates Properties † (A)	90,633		1,242
Cedar Shopping Centers † (A)	47,400		375
Centerstate Banks	36,000		441
Central Pacific Financial * (A)	30,300		51
Century Bancorp, Cl A	2,300		44
Chemical Financial	6,200		146
Chimera Investment †	125,500		488
Citizens & Northern	3,000		38
Citizens Republic Bancorp *	61,236		72
CNA Surety *	32,200		573
CNB Financial	2,100		32
CoBiz Financial	18,700		117
Cogdell Spencer †	10,000		74
Colonial Properties Trust †	15,300		197
Columbia Banking System	19,600		398
Community Bank System (A)	80,600		1,836
Community Trust Bancorp	8,000		217
Conseco *	116,600		725
CreXus Investment †	29,400		393
CVB Financial	58,700		583
Delphi Financial Group, Cl A	40,200		1,011
Developers Diversified Realty †	13,000		158
Dexus Property Group †	359,141		267
Dime Community Bancshares	37,300		471
Doral Financial *	42,200		182
Douglas Emmett † (A)	159,700		2,455
Duke Realty † (A)	65,200		808
DuPont Fabros Technology †	31,000		669
Eagle Bancorp *	2,800		33
East West Bancorp	46,800		815
Education Realty Trust †	138,298		794
Employers Holdings	209,615		3,113
Encore Bancshares *	31,500		298
Encore Capital Group *	45,200		744
Endurance Specialty Holdings (A)	55,951		2,079
Enterprise Bancorp	1,600		20
Enterprise Financial Services	4,200		46
Equity One † (A)	82,049		1,550


Description	Shares	Market Value ($ Thousands)

Equity Residential †	41,100	$	1,609
ESB Financial	600		8
ESSA Bancorp	28,500		357
Essex Property Trust † (A)	4,600		414
Extra Space Storage †	6,100		77
Farmers Capital Bank	2,400		21
FBL Financial Group, Cl A (A)	41,900		1,026
FBR Capital Markets *	221,600		1,008
Federated Investors, Cl B (A)	53,568		1,413
Financial Institutions	4,400		64
First Bancorp (A)	37,600		201
First Commonwealth Financial	18,500		124
First Community Bancshares	11,900		147
First Defiance Financial	4,800		49
First Financial	4,500		130
First Financial Bancorp	158,902		2,827
First Financial Bankshares	7,500		387
First Financial Holdings	25,556		385
First Financial Northwest	5,200		36
First Horizon National * (A)	79,323		1,115
First Industrial Realty Trust * †	27,400		213
First Merchants (A)	9,100		63
First Mercury Financial	5,100		66
First Midwest Bancorp	40,000		542
First of Long Island	1,900		46
First Potomac Realty Trust †	5,600		84
FirstMerit (A)	69,744		1,504
Flagstar Bancorp * (A)	52,400		31
Flagstone Reinsurance Holdings	8,000		92
Flushing Financial	104,200		1,319
FNB (Pennsylvania)	62,200		504
Forest City Enterprises, Cl A * (A)	157,079		2,263
Fpic Insurance Group * (A)	25,200		683
German American Bancorp	2,900		44
GFI Group	140,900		814
Glacier Bancorp	10,700		163
Great American Group *	181,900		400
Great Southern Bancorp	3,700		83
Hammerson (United Kingdom) †	46,277		276
Hancock Holding (A)	33,345		1,394
Heartland Financial USA	3,600		58
Hercules Technology Growth Capital	76,600		811
Heritage Financial Group	500		6
Highwoods Properties †	25,700		815
Home Bancshares	49,200		1,301
Home Federal Bancorp	31,800		461
Horace Mann Educators	67,397		1,015
Hospitality Properties Trust †	26,000		623
Host Hotels & Resorts † (A)	208,010		3,047
HRPT Properties Trust †	185,800		1,446
IBERIABANK (A)	29,014		1,741
Independent Bank	9,700		239
Infinity Property & Casualty (A)	55,473		2,521
International Bancshares (A)	71,300		1,639
Invesco Mortgage Capital †	300		7
Investors Bancorp *	30,300		400
Kearny Financial	2,100		22
Kennedy-Wilson Holdings *	34,800		353
K-Fed Bancorp	500		5
Kimco Realty † (A)	232,100		3,630
Lakeland Bancorp	8,800		78


Description	Shares	Market Value ($ Thousands)

Lakeland Financial	4,400	$	84
Legacy Bancorp	1,400		13
Liberty Property Trust † (A)	24,400		828
Macerich † (A)	31,640		1,212
MainSource Financial Group (A)	56,400		380
Max Capital Group	76,200		1,752
MB Financial	67,360		1,518
MCG Capital *	2,200		12
Meadowbrook Insurance Group	237,000		1,872
Medical Properties Trust † (A)	90,200		945
Merchants Bancshares	2,400		52
Meridian Interstate Bancorp *	2,900		30
MFA Financial †	188,167		1,385
MGIC Investment *	62,800		689
Mid-America Apartment
Communities † (A)	28,419		1,472
Midsouth Bancorp	1,200		20
Monmouth Real Estate Investment, Cl A †	2,900		24
Montpelier Re Holdings	65,500		1,101
Nara Bancorp *	29,700		260
NASB Financial	1,100		25
National Bankshares	2,400		65
National Financial Partners *	13,700		193
National Penn Bancshares (A)	195,709		1,350
NBT Bancorp	14,100		322
Nelnet, Cl A	104,211		1,934
NewAlliance Bancshares	26,300		332
NGP Capital Resources	6,300		54
Northrim BanCorp	2,900		50
Northwest Bancshares	50,735		596
Norwood Financial	600		16
NYMAGIC	2,500		53
OceanFirst Financial	37,850		430
Ocwen Financial *	40,400		448
Ohio Valley Banc	200		4
Old National Bancorp	65,100		778
Old Second Bancorp	8,700		57
Oppenheimer Holdings, Cl A	2,700		69
Oriental Financial Group	64,109		865
Orrstown Financial Services	500		13
Pacific Capital Bancorp (A)	22,900		41
PacWest Bancorp (A)	80,570		1,839
Park National (A)	4,749		296
Parkway Properties †	8,800		165
Peapack Gladstone Financial	2,615		41
Pebblebrook Hotel Trust * †	32,400		681
Pennsylvania Real Estate Investment Trust † (A)	47,300		590
Peoples Bancorp	4,200		69
Peoples Financial	1,500		22
PHH *	25,900		610
Pico Holdings *	46,000		1,711
Pinnacle Financial Partners *	100		2
Platinum Underwriters Holdings (A)	97,479		3,615
Plum Creek Timber †	35,900		1,397
PMA Capital, Cl A *	57,500		353
Porter Bancorp	1,015		13
Post Properties †	7,000		154
Presidential Life	13,900		139
PrivateBancorp, Cl A (A)	31,000		425


Description	Shares	Market Value ($ Thousands)

ProAssurance * (A)	39,555	$	2,316
Prosperity Bancshares	29,100		1,193
Provident Financial Services	40,500		482
Provident New York Bancorp	10,200		97
PS Business Parks †	4,400		235
Public Storage † (A)	29,900		2,751
Radian Group	13,200		206
RAIT Financial Trust † (A)	29,400		58
Regency Centers † (A)	92,600		3,470
Reinsurance Group of America, Cl A	34,719		1,823
Renasant	50,200		812
Republic Bancorp, Cl A (A)	42,678		804
Resource Capital †	13,000		88
Rewards Network	1,300		17
RioCan Real Estate Investment Trust †	14,100		257
Rockville Financial	1,800		22
S&T Bancorp	29,600		619
Safeguard Scientifics *	22,100		287
Safety Insurance Group	18,200		686
Sandy Spring Bancorp	8,250		124
Santander BanCorp *	15,600		191
Saul Centers †	21,300		882
SCBT Financial	26,640		987
SeaBright Insurance Holdings	41,300		455
Selective Insurance Group	43,400		720
Shore Bancshares	2,500		36
Sierra Bancorp (A)	20,500		264
Signature Bank NY * (A)	47,802		1,771
Simmons First National, Cl A	19,700		543
Simon Property Group † (A)	25,618		2,149
Smithtown Bancorp	17,100		71
South Financial Group (A)	21,700		15
Southside Bancshares	7,851		169
Southwest Bancorp	13,000		108
Sovran Self Storage †	2,600		91
StanCorp Financial Group	12,100		576
Starwood Property Trust †	43,100		832
State Bancorp	4,700		37
Sterling Bancorp, Cl N	17,400		175
Sterling Bancshares	58,700		328
Stewart Information Services (A)	69,300		956
Student Loan	24,700		878
Suffolk Bancorp	1,600		49
Sun Bancorp *	6,825		27
Susquehanna Bancshares	151,200		1,483
SVB Financial Group *	18,700		873
SY Bancorp	800		18
Synovus Financial (A)	545,711		1,795
Terreno Realty * †	12,900		255
Territorial Bancorp	1,500		29
Texas Capital Bancshares *	40,080		761
Thomas Weisel Partners Group *	78,200		307
TICC Capital	10,900		72
Tompkins Financial, Cl US	6,270		229
Tower Bancorp	2,900		78
Trico Bancshares	8,400		167
Trustco Bank NY	69,300		428
Trustmark (A)	38,300		936
UDR † (A)	101,400		1,789
UMB Financial	7,700		313


Description	Shares	Market Value ($ Thousands)

Umpqua Holdings	58,900	$	781
Unibail (France) †	7,338		1,489
United Bankshares	9,000		236
United Community Banks *	33,197		146
United Financial Bancorp	34,000		475
Univest Corp of Pennsylvania	3,000		56
Validus Holdings	52,900		1,456
Ventas † (A)	29,200		1,386
Verde Realty PIPE * (B) (G)	21,100		468
ViewPoint Financial Group	33,030		535
Vornado Realty Trust † (A)	49,297		3,732
Washington Banking	3,500		44
Washington Real Estate Investment Trust †	20,900		639
Washington Trust Bancorp	5,500		103
Webster Financial	19,200		336
WesBanco	19,800		322
West Bancorporation	2,500		16
Westamerica Bancorporation	9,200		530
Western Alliance Bancorp *	37,700		215
Westfield Group †	74,343		823
White Mountains Insurance Group	2,700		959
Whitney Holding (A)	76,099		1,049
Wilber	1,100		7
Willis Group Holdings	23,451		734
Wilmington Trust	13,600		225
Wilshire Bancorp (A)	50,100		553
Wintrust Financial	3,200		119
World Acceptance *	1,400		51
WSFS Financial	27,700		1,080
Yadkin Valley Financial	4,100		18
Zenith National Insurance (A)	52,300		2,004
Zions Bancorporation (A)	86,115		1,879

			192,636


Health Care — 4.4%
AMN Healthcare Services *	137,600		1,211
Amsurg * (A)	48,450		1,046
Assisted Living Concepts, Cl A *	23,400		768
Brookdale Senior Living *	39,800		829
Cambrex *	91,200		370
Cantel Medical	3,800		75
Conmed *	92,741		2,208
Cooper (A)	30,322		1,179
Cross Country Healthcare * (A)	118,300		1,196
eResearchTechnology *	5,800		40
Exactech *	40,360		846
Healthspring *	37,300		657
HealthTronics *	251,800		902
Healthways * (A)	31,100		500
Hill-Rom Holdings	31,800		865
ICU Medical *	39,500		1,361
Invacare	6,100		162
inVentiv Health *	8,400		189
Kendle International *	34,796		608
Kensey Nash *	15,527		366
Kindred Healthcare *	55,800		1,007
Kinetic Concepts * (A)	31,000		1,482
Magellan Health Services *	17,100		744
Martek Biosciences *	2,300		51
Medical Action Industries *	5,500		68


Description	Shares	Market Value ($ Thousands)

Medical Staffing Network Holdings *	105,900	$	15
Molina Healthcare * (A)	27,300		687
National Dentex *	12,500		122
Nighthawk Radiology Holdings *	79,300		252
NovaMed *	65,440		223
Owens & Minor	100		5
Par Pharmaceutical *	58,500		1,451
Patterson (A)	32,702		1,015
PDL BioPharma	64,700		402
PharMerica * (A)	20,400		372
Providence Service *	22,871		347
Psychiatric Solutions *	8,100		241
Skilled Healthcare Group, Cl A *	53,200		328
Symmetry Medical *	6,900		69
Universal American Financial * (A)	64,530		994
Universal Health Services, Cl B	38,000		1,333
Young Innovations	1,000		28

			26,614


Industrials — 16.1%
AAR * (A)	27,900		692
Acuity Brands (A)	41,400		1,747
Aircastle	6,900		65
Airtran Holdings *	289,200		1,469
Alamo Group	29,300		586
Alaska Air Group * (A)	17,200		709
Altra Holdings *	7,300		100
Ampco-Pittsburgh	31,900		792
AO Smith	20,500		1,078
Apogee Enterprises	36,300		574
Arkansas Best (A)	26,800		801
Astec Industries * (A)	67,000		1,940
Avis Budget Group *	4,500		52
BE Aerospace *	70,447		2,145
Beacon Roofing Supply *	18,500		354
Belden (A)	68,230		1,874
Brady, Cl A	50,674		1,577
CAI International *	24,800		306
Celadon Group *	52,900		737
Clean Harbors *	19,408		1,078
Columbus McKinnon *	31,800		505
Comfort Systems USA (A)	138,400		1,729
Consolidated Graphics *	11,500		476
Cornell *	114,800		2,102
Courier	32,443		536
CRA International *	20,400		468
Crane	37,200		1,320
Deluxe	55,900		1,086
Diamond Management & Technology Consultants	41,600		327
Dollar Thrifty Automotive Group *	1,000		32
Dycom Industries *	69,700		611
DynCorp International, Cl A *	27,500		316
EMCOR Group *	133,000		3,276
EnerSys *	7,900		195
Ennis	5,400		88
EnPro Industries * (A)	27,900		811
Esterline Technologies *	24,038		1,188
Force Protection *	90,500		545
FTI Consulting * (A)	60,500		2,379


Description	Shares	Market Value ($ Thousands)

G&K Services	47,842	$	1,238
Gardner Denver	33,309		1,467
Genco Shipping & Trading * (A)	21,500		454
Generac Holdings *	70,800		992
Geo Group *	42,400		840
Gibraltar Industries *	6,000		76
Granite Construction	100,300		3,031
Healthcare Services Group	5,000		112
Hexcel *	34,600		500
Horizon Lines, Cl A	7,600		41
Hudson Highland Group *	79,100		348
IDEX	77,673		2,571
Interface, Cl A	114,290		1,323
International Shipholding	1,400		41
Kadant *	65,136		939
Kaman	1,600		40
Kaydon (A)	55,567		2,089
Kelly Services, Cl A * (A)	14,000		233
Kirby * (A)	39,600		1,511
Knoll	28,100		316
Korn/Ferry International * (A)	23,200		409
LECG *	176,653		526
M&F Worldwide *	4,500		138
McDermott International *	18,100		487
Mcgrath Rentcorp	3,432		83
Monster Worldwide * (A)	113,900		1,892
Mueller Industries	61,800		1,656
NACCO Industries, Cl A	8,700		645
Navigant Consulting *	6,500		79
Pacer International * (A)	42,000		253
Preformed Line Products	400		15
Quanex Building Products	82,375		1,361
Rand Logistics *	31,678		163
Regal-Beloit	2,500		149
Republic Airways Holdings * (A)	21,500		127
Ryder System	53,700		2,081
School Specialty * (A)	145,892		3,313
Seaboard	60		78
Skywest	40,400		577
Spirit Aerosystems Holdings, Cl A * (A)	63,800		1,492
Standex International	20,000		515
Steelcase, Cl A (A)	36,800		238
Sterling Construction *	900		14
SYKES Enterprises *	47,400		1,083
TAL International Group (A)	33,100		661
Teledyne Technologies *	87,689		3,619
Teleflex	27,817		1,782
Terex *	67,103		1,524
Tetra Tech *	45,254		1,043
Thomas & Betts * (A)	29,100		1,142
Titan Machinery *	19,350		265
Towers Watson, Cl A (A)	103,115		4,898
Tredegar	5,000		86
Trimas *	5,600		36
Triumph Group	31,189		2,186
TrueBlue *	84,000		1,302
Tutor Perini *	24,600		535
United Stationers * (A)	14,500		853
US Airways Group *	44,600		328
Watts Water Technologies, Cl A	40,761		1,266
WESCO International * (A)	49,771		1,728


Description	Shares	Market Value ($ Thousands)

Woodward Governor (A)	70,300	$	2,248
YRC Worldwide *	24,900		14

			97,718


Information Technology — 13.0%
3Com *	73,700		567
Actel *	101,300		1,403
Acxiom *	9,500		171
Agilysys	6,700		75
Anixter International * (A)	33,800		1,584
Arris Group *	90,700		1,089
Arrow Electronics *	56,900		1,714
ATMI *	27,400		529
Benchmark Electronics * (A)	130,000		2,696
Black Box	11,400		351
Brocade Communications Systems *	202,454		1,156
CACI International, Cl A *	63,241		3,089
CDC Software ADR *	141,430		1,624
Checkpoint Systems *	2,000		44
Ciber *	290,700		1,087
Coherent *	65,771		2,102
CPI International *	2,600		34
CSG Systems International *	64,800		1,358
CTS	54,900		517
Diebold (A)	72,160		2,292
Digi International *	102,800		1,094
Digital River *	89,746		2,719
Double-Take Software *	66,100		589
DSP Group *	6,900		57
Earthlink (A)	191,200		1,633
Emulex *	86,176		1,145
Fair Isaac (A)	68,500		1,736
Hackett Group *	106,816		297
Imation *	99,400		1,094
Intermec *	116,900		1,658
Jack Henry & Associates (A)	45,900		1,104
Lawson Software *	575,427		3,804
LeCroy *	38,900		193
Lexmark International, Cl A * (A)	38,800		1,400
Littelfuse *	39,618		1,506
LTX-Credence *	230,300		698
Manhattan Associates *	89,400		2,278
Mantech International, Cl A *	7,900		386
MAXIMUS (A)	28,200		1,718
Methode Electronics (A)	18,991		188
MicroStrategy, Cl A *	18,300		1,557
ModusLink Global Solutions *	6,900		58
Multi-Fineline Electronix *	30,200		778
NCR *	41,100		567
Novell *	106,289		637
Omnivision Technologies *	25,700		442
Oplink Communications *	1,300		24
Orbotech *	138,300		1,498
Parametric Technology * (A)	96,003		1,733
Photronics * (A)	41,400		211
Plantronics	8,000		250
Progress Software *	45,200		1,421
Quest Software *	1,800		32
Radisys * (A)	90,400		810
RADWARE *	18,900		417
RF Micro Devices*	17,700		88


Description	Shares	Market Value ($ Thousands)

Richardson Electronics	54,504	$	433
Rudolph Technologies *	121,200		1,039
SRA International, Cl A * (A)	87,600		1,821
Standard Microsystems * (A)	33,000		768
Sybase * (A)	30,469		1,420
SYNNEX * (A)	23,800		704
Synopsys *	42,212		944
Technitrol (A)	81,000		428
TIBCO Software *	77,800		839
Ultra Clean Holdings *	92,200		786
Ultratech *	97,900		1,331
Unisys *	2,900		101
United Online	113,900		852
Varian Semiconductor Equipment Associates *	25,300		838
Web.com Group *	65,400		357
Websense * (A)	56,700		1,291
Xyratex *	83,242		1,409
Zebra Technologies, Cl A * (A)	63,765		1,887
Zoran *	247,802		2,666

			79,216


Materials — 4.5%
AEP Industries *	16,792		437
Aptargroup	34,249		1,348
Boise *	15,500		95
Buckeye Technologies *	102,000		1,334
Bway Holding *	14,000		281
Cabot	30,523		928
Carpenter Technology	26,900		985
Cytec Industries	25,752		1,204
Domtar *	100		6
Eagle Materials (A)	18,900		502
Globe Specialty Metals *	56,200		629
Graham Packaging *	17,000		213
H.B. Fuller	93,200		2,163
Hecla Mining *	4,300		23
Innospec	36,600		416
Kaiser Aluminum (A)	11,000		424
KapStone Paper and Packaging *	7,500		89
Landec *	8,500		56
Myers Industries	4,200		44
Neenah Paper	29,806		472
NewMarket	10,000		1,030
Olin (A)	100,462		1,971
OM Group * (A)	63,555		2,153
PolyOne *	107,400		1,100
Quaker Chemical	43,700		1,185
RTI International Metals *	54,806		1,662
Schulman A	3,200		78
Schweitzer-Mauduit International	54,911		2,612
Sensient Technologies	68,900		2,002
Silgan Holdings	23,351		1,407
Solutia *	1,400		22
Stepan	11,300		632

			27,503


Telecommunication Services — 0.3%
Atlantic Telegraph-Network	1,900		86
Cincinnati Bell * (A)	242,900		828
Premiere Global Services *	3,900		32
USA Mobility	48,300		612

			1,558


Description	Shares	Market Value ($ Thousands)

Utilities — 5.6%
AGL Resources	59,681	$	2,307
Allete (A)	61,000		2,042
Avista (A)	16,100		334
Black Hills	3,300		100
Cleco	79,000		2,098
El Paso Electric *	146,600		3,020
Empire District Electric (A)	54,600		984
Great Plains Energy (A)	188,761		3,505
Idacorp	73,265		2,536
Laclede Group	5,400		182
Nicor	5,200		218
Northwest Natural Gas (A)	15,900		741
NorthWestern	89,000		2,386
NV Energy	59,600		735
Portland General Electric	284,064		5,485
South Jersey Industries	27,404		1,151
Southwest Gas	28,500		853
UGI	36,100		958
UIL Holdings	14,800		407
Unisource Energy	17,700		557
Vectren	81,000		2,002
Westar Energy	53,106		1,184
WGL Holdings	13,000		451

			34,236

Total Common Stock (Cost $490,420) ($ Thousands)			568,989


EXCHANGE TRADED FUNDS — 0.6%
iShares Russell 2000 Index Fund (A)	13,312		903
iShares Russell 2000 Value Index Fund	38,400		2,451

Total Exchange Traded Funds (Cost $3,301) ($ Thousands)			3,354


	Number of Warrants

WARRANTS — 0.0%
Washington Mutual (C)	30,242		5

Total Warrants (Cost $—) ($Thousands)			5


AFFILIATED PARTNERSHIP — 21.8%
SEI Liquidity Fund, L.P., 0.210% (D)**††	136,752,874		132,606

Total Affiliated Partnership (Cost $136,753) ($ Thousands)			132,606


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

CASH EQUIVALENT — 6.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		37,323,543	$	37,324

Total Cash Equivalent (Cost $37,324) ($ Thousands)				37,324


U.S. TREASURY OBLIGATION (E) (F) — 0.4%
U.S. Treasury Bills 0.119%, 06/03/10	$	2,387		2,386

Total U.S. Treasury Obligation (Cost $2,386) ($ Thousands)				2,386

Total Investments — 122.6% (Cost $670,184) ($ Thousands)			$	744,664

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI	357	Jun-2010	$	(8	)

Percentages are based on Net Assets of $607,328 ($ Thousands).

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

‡

Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $132,009 ($ Thousands).

(B)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2010 was $468 ($ Thousands) and represented 0.1% of Net Assets.

(C)

This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date.

(D)

This security was purchased with cash collateral received from securities on loan. The total value of such securities as of March 31, 2010 was $132,606 ($ Thousands).

(E)

The rate reported is the effective yield at the time of purchase.

(F)

Security, or portion thereof, has been pledged as collateral on open futures.

(G)

Security considered restricted. The total market value of such securities as of March 31, 2010 was $468 ($ Thousands) and represented 0.1% of Net Assets.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 96.7% ‡

Consumer Discretionary — 18.0%
Aaron Rents	14,619	$	487
Aeropostale *	6,690		193
American Axle & Manufacturing Holdings *	19,700		197
American Eagle Outfitters	35,600		659
American Greetings, Cl A	11,149		232
American Public Education *	57,918		2,699
Amerigon * (A)	39,559		400
Ameristar Casinos (A)	1,600		29
AnnTaylor Stores *	1,900		39
ArvinMeritor * (A)	33,600		448
ATC Technology *	9,600		165
Bally Technologies *	27,759		1,125
Barnes & Noble	2,900		63
Belo, Cl A	23,662		161
Big 5 Sporting Goods	13,400		204
Blue Nile *	3,654		201
Brinker International	12,637		244
Brown Shoe	23,996		371
Brunswick	3,400		54
Buckle	9,238		340
Buffalo Wild Wings *	19,925		959
Build-A-Bear Workshop *	12,660		90
California Pizza Kitchen *	33,800		567
Capella Education * (A)	17,507		1,625
Cato, Cl A	34,788		746
Century Casinos *	67,553		169
Charming Shoppes *	19,500		106
Cheesecake Factory * (A)	25,084		679
Chico’s FAS (A)	16,936		244
Christopher & Banks	28,450		228
Citi Trends * (A)	14,700		477
Coldwater Creek *	22,031		153
Collective Brands *	7,746		176
Cooper Tire & Rubber	40,318		767
Core-Mark Holding *	7,300		223
Corinthian Colleges *	33,490		589
Cracker Barrel Old Country Store	18,509		858
Deckers Outdoor *	6,492		896
Denny’s *	83,981		322
Dick’s Sporting Goods * (A)	46,743		1,220
Dillard’s, Cl A	3,900		92
DineEquity *	4,833		191
Domino’s Pizza *	21,649		295
Dress Barn * (A)	9,047		237
Eastman Kodak	124,800		723
EW Scripps, Cl A *	1,000		8
Exide Technologies *	20,300		117
Finish Line, Cl A	123,793		2,020
Foot Locker	19,530		294
Fossil *	32,657		1,232
Fred’s, Cl A	20,850		250
Grand Canyon Education *	56,443		1,475
Gymboree *	6,291		325
Hibbett Sports * (A)	28,838		738
Hillenbrand	9,800		216
HOT Topic *	9,290		60
HSN *	43,645		1,285
Iconix Brand Group *	94,603		1,453


Description	Shares	Market Value ($ Thousands)

Insight Enterprises *	20,976	$	301
Interactive Data	24,581		787
Interval Leisure Group *	4,200		61
Isle of Capri Casinos *	16,904		132
J Crew Group *	43,484		1,996
Jarden	41,950		1,396
Jo-Ann Stores * (A)	7,012		294
JOS A Bank Clothiers * (A)	13,900		760
K12 * (A)	21,378		475
Kirkland's *	70,298		1,476
Knology *	25,464		342
Leggett & Platt	19,400		420
Lennar, Cl A	6,800		117
Life Time Fitness * (A)	125,550		3,528
Live Nation *	114,300		1,657
Liz Claiborne *	12,971		96
Lululemon Athletica * (A)	65,940		2,736
Maidenform Brands *	13,112		286
Marcus	8,371		109
Matthews International, Cl A	6,119		217
Mediacom Communications, Cl A *	31,032		185
Meritage Homes *	32,365		680
Morningstar * (A)	15,532		747
National CineMedia	53,590		925
Nutri/System (A)	16,427		293
NVR *	930		676
Office Depot *	17,571		140
OfficeMax *	23,319		383
Orient-Express Hotels, Cl A *	68,902		977
Overstock.com *	7,662		124
Oxford Industries	22,800		464
Papa John’s International *	3,287		85
Peet’s Coffee & Tea * (A)	17,026		675
Penske Auto Group *	8,589		124
PetMed Express	6,566		146
PetSmart	25,445		813
PF Chang’s China Bistro * (A)	25,714		1,135
Pinnacle Entertainment *	156,765		1,527
Polaris Industries	1,800		92
Pre-Paid Legal Services *	4,200		159
RadioShack	6,103		138
Red Robin Gourmet Burgers *	30,189		738
Rue21 *	25,721		892
Ryland Group	49,700		1,115
Saks *	152,765		1,314
Sally Beauty Holdings *	6,500		58
Signet Jewelers *	1,487		48
Sinclair Broadcast Group, Cl A *	83,837		426
Sonic Automotive, Cl A *	2,344		26
Sotheby’s	24,485		761
Stage Stores	9,100		140
Stamps.com *	14,419		146
Steiner Leisure *	9,477		420
Sturm Ruger (A)	54,980		659
Superior Industries International	5,300		85
Talbots *	61,495		797
Tempur-Pedic International * (A)	72,845		2,197
Tenneco *	48,925		1,157
Tractor Supply (A)	19,619		1,139
Tupperware Brands	54,727		2,639


Description	Shares	Market Value ($ Thousands)

Ulta Salon Cosmetics & Fragrance *	47,333	$	1,071
Under Armour, Cl A *	25,360		746
Unifirst	3,500		180
Universal Electronics *	2,400		54
Universal Technical Institute *	17,873		408
Volcom *	11,052		216
Warnaco Group *	13,698		654
Wendy's, Cl A	61,450		307
Williams-Sonoma	6,354		167
Wolverine World Wide	8,557		250
Zumiez *	37,480		768

			77,668


Consumer Staples — 3.0%
Alliance One International *	14,799		75
American Italian Pasta, Cl A *	12,401		482
American Oriental Bioengineering *	31,604		129
Andersons	1,000		34
Cal-Maine Foods	8,258		280
Casey’s General Stores	16,128		506
Chiquita Brands International *	40,641		639
Darling International *	84,009		753
Diamond Foods	10,730		451
Flowers Foods	8,092		200
Fresh Del Monte Produce *	6,506		132
Great Atlantic & Pacific Tea *	12,800		98
Herbalife	8,715		402
J&J Snack Foods	8,700		378
Lancaster Colony (A)	12,703		749
Medifast *	43,167		1,085
Nash Finch	9,488		319
Nu Skin Enterprises, Cl A	34,600		1,007
Pantry *	12,332		154
Prestige Brands Holdings *	10,300		93
Ruddick	12,500		396
Sanderson Farms	10,998		590
Smart Balance *	212,252		1,375
Spartan Stores	10,546		152
United Natural Foods *	19,501		549
Universal	6,700		353
USANA Health Sciences *	6,735		211
Vector Group	72,700		1,122
Weis Markets	1,210		44
Winn-Dixie Stores *	22,916		286

			13,044


Energy — 4.8%
Arena Resources * (A)	23,307		778
Atlas Energy	5,414		168
BPZ Energy PIPE *	12,500		92
BPZ Resources *	26,693		196
Brigham Exploration *	15,900		254
Bronco Drilling *	25,800		121
CARBO Ceramics (A)	3,700		231
Clean Energy Fuels *	4,600		105
CNX Gas *	2,397		91
Complete Production Services *	1,500		17
Comstock Resources *	57,793		1,838
Contango Oil & Gas *	5,585		286
CVR Energy *	8,098		71
Delek US Holdings	8,165		59


Description	Shares	Market Value ($ Thousands)

Dresser-Rand Group *	35,235	$	1,107
Dril-Quip *	300		18
Global Industries * (A)	37,383		240
GMX Resources *	66,403		546
Goodrich Petroleum * (A)	57,061		892
Gulf Island Fabrication	8,417		183
Hercules Offshore *	24,300		105
Infinity Bio-Energy *	741,494		—
Lufkin Industries	6,782		537
Matrix Service *	9,406		101
McMoRan Exploration * (A)	30,800		451
Nordic American Tanker Shipping, Cl US	6,924		210
PetroHawk Energy *	120,083		2,435
Petroquest Energy *	138,940		699
Quicksilver Resources *	67,432		949
RPC	3,800		42
SandRidge Energy *	293,087		2,257
Scorpio Tankers *	49,250		619
Tesoro	2,000		28
Tetra Technologies *	4,400		54
Tidewater	1,100		52
USEC *	41,800		241
Vaalco Energy	99,860		493
Vantage Drilling *	78,100		115
Venoco *	18,193		233
W&T Offshore	29,200		245
Willbros Group * (A)	108,633		1,305
World Fuel Services (A)	80,312		2,140

			20,604


Financials — 4.7%
Affiliated Managers Group * (A)	22,963		1,814
Alexander’s * †	100		30
Amtrust Financial Services	3,800		53
Apollo Investment *(B)	2,900		37
Assured Guaranty	1,000		22
Axis Capital Holdings	2,000		63
Bank of the Ozarks (A)	8,616		303
Banner	45,500		175
Calamos Asset Management, Cl A	12,625		181
CapitalSource	284,484		1,590
Cardtronics *	65,999		830
Citizens Republic Bancorp *	21,200		25
Cohen & Steers	6,919		173
Dollar Financial *	1,869		45
DuPont Fabros Technology † (A)	3,027		65
EastGroup Properties †	3,378		128
eHealth *	4,300		68
Equity Lifestyle Properties †	3,438		185
Equity One †	12,457		235
Financial Engines *	16,691		282
First Bancorp	2,600		6
First Cash Financial Services *	1,028		22
Getty Realty †	13,698		321
Greenhill	12,639		1,038
Hatteras Financial †	2,900		75
Hercules Technology Growth Capital	10,189		108
Jones Lang LaSalle	15,705		1,145
Knight Capital Group, Cl A *	600		9


Description	Shares	Market Value ($ Thousands)

Kohlberg Capital	6,300	$	36
Life Partners Holdings (A)	1,450		32
LTC Properties †	14,955		405
MarketAxess Holdings	108,173		1,702
MF Global Holdings *	91,975		742
MGIC Investment *	218,327		2,395
Mid-America Apartment Communities †	2,949		153
MSCI, Cl A *	19,957		720
Nelnet, Cl A	22,100		410
Omega Healthcare Investors †	1,700		33
optionsXpress Holdings	21,514		350
Penson Worldwide * (A)	300		3
PHH *	3,500		83
Phoenix *	14,900		36
Potlatch †	4,623		162
PS Business Parks †	300		16
Redwood Trust †	13,000		201
Riskmetrics Group * (A)	1,028		23
Senior Housing Properties Trust †	1,100		24
Stifel Financial *	2,033		109
SVB Financial Group *	22,925		1,070
SWS Group	5,857		68
Tanger Factory Outlet Centers †	3,600		155
Texas Capital Bancshares *	4,557		87
Titanium Asset Management *(C)(G)	140,900		420
Tompkins Financial, Cl US	1,000		36
Tower Group	15,006		333
TradeStation Group *	28,600		200
Trustco Bank NY	46,877		289
Umpqua Holdings	4,100		54
Value Creation * (C)(G)	145,600		108
World Acceptance *	20,575		742

			20,225


Health Care — 18.8%
Abaxis *	67,856		1,845
Achillion Pharmaceuticals *	84,225		233
Acorda Therapeutics *	68,777		2,352
Affymetrix * (A)	65,238		479
Air Methods *	16,195		551
Albany Molecular Research *	17,215		144
Alexion Pharmaceuticals *	13,237		720
Align Technology * (A)	54,794		1,060
Allos Therapeutics *	15,200		113
Allscripts Healthcare Solutions *	10,300		201
Alnylam Pharmaceuticals * (A)	19,673		335
AMAG Pharmaceuticals *	75,252		2,627
Amedisys *	28,367		1,566
American Medical Systems Holdings *	27,400		509
AMERIGROUP *	23,631		786
AMN Healthcare Services *	31,899		281
Analogic	2,156		92
Angiodynamics *	5,752		90
athenahealth *	27,005		987
Auxilium Pharmaceuticals * (A)	4,100		128
BioMarin Pharmaceuticals *	51,181		1,196
Bio-Reference Labs *	1,800		79
BioScrip *	7,717		62
Biovail	42,190		708
Bruker BioSciences *	61,214		897


Description	Shares	Market Value ($ Thousands)

Cantel Medical	25,500	$	506
Cardiome Pharma *	179,451		1,186
Catalyst Health Solutions *	34,750		1,438
Centene *	11,384		274
Cepheid * (A)	25,947		453
Chemed (A)	23,633		1,285
Computer Programs & Systems	7,554		295
Conceptus * (A)	59,847		1,194
Conmed *	28,950		689
Corvel *	3,873		139
Covance *	2,984		183
Cubist Pharmaceuticals *	40,720		918
Cyberonics *	20,071		385
Cypress Bioscience * (A)	12,973		64
Dendreon *	4,300		157
Dionex *	2,414		180
Durect *	265,914		800
Electro-Optical Sciences * (A)	15,255		113
Emergency Medical Services, Cl A *	12,800		724
Emergent Biosolutions *	2,415		40
Enzo Biochem *	17,908		108
eResearchTechnology *	37,846		261
Exelixis * (A)	58,800		357
Genoptix *	25,272		897
Gen-Probe *	11,875		594
Gentiva Health Services *	1,300		37
Haemonetics *	7,500		429
Halozyme Therapeutics *	19,900		159
Healthsouth * (A)	109,380		2,045
Healthspring *	12,608		222
Healthways *	5,920		95
HMS Holdings * (A)	22,813		1,163
Human Genome Sciences *	68,716		2,075
ICU Medical *	6,900		238
Idexx Laboratories *	9,607		553
Immucor *	33,866		758
Immunogen *	32,100		260
Incyte *	48,730		680
Insmed *	44,914		53
Integra LifeSciences Holdings * (A)	8,786		385
InterMune * (A)	10,626		474
Inverness Medical Innovations *	2,000		78
IPC The Hospitalist *	18,866		662
Isis Pharmaceuticals * (A)	11,557		126
Kendle International *	9,127		159
Kensey Nash *	9,400		222
Landauer	6,873		448
LCA-Vision *	18,200		151
LHC Group * (A)	44,752		1,501
Luminex * (A)	29,388		495
Magellan Health Services *	2,162		94
Martek Biosciences * (A)	21,597		486
Masimo	38,397		1,019
MedAssets *	24,295		510
Medicis Pharmaceutical, Cl A	43,510		1,095
Medivation * (A)	68,374		717
Mednax *	13,549		788
Meridian Bioscience	31,401		640
Merit Medical Systems *	9,620		147
Mettler Toledo International *	1,000		109


Description	Shares	Market Value ($ Thousands)

Molina Healthcare *	5,267	$	133
MWI Veterinary Supply *	23,097		933
Myriad Genetics *	31,008		746
National Healthcare	3,706		131
Natus Medical *	16,330		260
Nektar Therapeutics *	41,091		625
Neogen * (A)	20,816		522
NPS Pharmaceuticals *	18,227		92
NuVasive * (A)	51,985		2,350
Obagi Medical Products *	47,886		583
Odyssey HealthCare *	7,200		130
Omnicell * (A)	61,616		865
Onyx Pharmaceuticals * (A)	5,339		162
Optimer Pharmaceuticals * (A)	18,697		230
Orthofix International *	9,409		342
Owens & Minor	16,714		775
Par Pharmaceutical *	36,149		896
Parexel International *	29,444		686
PDL BioPharma (A)	372,789		2,315
Perrigo	5,311		312
Pharmaceutical Product Development	4,487		107
Pharmasset *	5,404		145
Phase Forward *	87,352		1,142
Pozen *	124,424		1,192
PSS World Medical * (A)	36,737		864
Questcor Pharmaceuticals *	152,553		1,255
Quidel * (A)	17,050		248
Regeneron Pharmaceuticals *	24,046		637
Savient Pharmaceuticals * (A)	57,429		830
Seattle Genetics * (A)	47,977		573
SIGA Technologies * (A)	34,807		231
Sirona Dental Systems *	15,984		608
Spectrum Pharmaceuticals * (A)	34,700		160
StemCells * (A)	104,300		121
STERIS	56,920		1,916
Techne	17,727		1,129
Theravance * (A)	68,564		913
Thoratec *	35,069		1,173
United Therapeutics *	8,678		480
Universal American Financial *	7,500		116
Valeant Pharmaceuticals International * (A)	4,543		195
Varian *	1,500		78
Viropharma *	53,279		726
Vivus * (A)	9,500		83
Volcano *	19,134		462
Waters *	3,654		247
WellCare Health Plans *	40,450		1,205
Zoll Medical *	15,461		407

			80,685


Industrials — 15.6%
Actuant, Cl A	8,053		157
Acuity Brands	34,846		1,471
Administaff	24,687		527
Advisory Board * (A)	15,584		491
Aegean Marine Petroleum Network	80,705		2,290
AerCap Holdings *	177,694		2,047
Aerovironment *	38,319		1,001
Air Transport Services Group *	30,200		102


Description	Shares	Market Value ($ Thousands)

Airtran Holdings * (A)	304,120	$	1,545
Alaska Air Group *	3,833		158
Allegiant Travel, Cl A *	1,000		58
Alliant Techsystems *	7,460		607
American Science & Engineering	2,400		180
AO Smith	2,816		148
APAC Customer Services *	114,671		659
Apogee Enterprises	26,354		417
Arkansas Best	3,773		113
Armstrong World Industries * (A)	14,165		514
Atlas Air Worldwide Holdings *	27,622		1,465
Avis Budget Group * (A)	78,469		902
AZZ	3,200		108
Badger Meter (A)	3,235		125
Barnes Group	40,529		788
Beacon Roofing Supply *	37,984		727
Brady, Cl A	4,124		128
Briggs & Stratton	10,076		196
Bucyrus International, Cl A	3,600		238
Celadon Group *	47,467		662
Cenveo *	34,750		301
Chart Industries *	45,913		918
Chicago Bridge & Iron *	17,160		399
Comfort Systems USA	18,100		226
Continental Airlines, Cl B *	43,000		945
Copa Holdings, Cl A	12,658		769
Copart *	43,901		1,563
Corporate Executive Board	47,241		1,256
CoStar Group * (A)	51,644		2,144
CRA International *	4,900		112
Cubic	18,283		658
Curtiss-Wright	1,995		69
Deluxe	13,933		270
Diamond Management & Technology Consultants	1,900		15
Dycom Industries *	5,300		46
Dynamic Materials	7,783		122
EMCOR Group *	8,600		212
Energy Recovery *	31,900		201
EnerNOC *	57,571		1,709
EnerSys *	25,484		629
Forward Air	28,293		744
Gardner Denver	25,925		1,142
GenCorp *	49,700		286
General Cable *	10,388		281
Genesee & Wyoming, Cl A *	4,030		138
Geo Group *	8,987		178
GeoEye * (A)	28,901		853
GrafTech International *	9,173		125
Graham	37,541		675
GT Solar International * (A)	10,900		57
Hawaiian Holdings *	86,371		636
Healthcare Services Group	46,187		1,034
Heico, Cl A	10,128		402
Hill International *	1,270		7
HNI	13,544		361
Horizon Lines, Cl A	106,786		581
ICF International *	38,096		946
IHS, Cl A *	16,380		876
II-VI *	14,966		507
Innerworkings * (A)	328,148		1,706
Interface, Cl A	69,840		809


Description	Shares	Market Value ($ Thousands)

Kaman	18,398	$	460
Kaydon (A)	24,538		923
KBR	10,200		226
Kelly Services, Cl A *	9,300		155
Knight Transportation (A)	27,854		587
Landstar System	36,445		1,530
Lennox International	7,339		325
Marten Transport *	12,945		255
Michael Baker *	7,218		249
Middleby *	14,236		820
Mine Safety Appliances	11,400		319
MYR Group * (A)	28,051		457
Navistar International *	7,300		327
Nordson	5,010		340
Old Dominion Freight Line *	47,505		1,586
Oshkosh Truck	1,200		48
Owens Corning *	13,700		349
Polypore International *	17,300		302
Powell Industries *	8,493		276
Raven Industries	10,672		315
Resources Connection *	72,699		1,394
Ritchie Bros. Auctioneers	28,390		611
Rollins	38,728		840
Rush Enterprises, Cl A *	61,229		809
Standard Parking *	62,595		1,028
Standard Register	19,382		104
Sun Hydraulics	1,351		35
SYKES Enterprises * (A)	9,100		208
Teledyne Technologies *	5,629		232
Tennant (A)	33,063		906
Tetra Tech *	46,021		1,060
Titan Machinery * (A)	60,286		825
TransDigm Group	28,285		1,500
Tredegar	10,379		177
TrueBlue *	9,600		149
Tutor Perini *	8,214		179
UAL *	64,902		1,269
US Airways Group *	15,912		117
US Ecology	3,300		53
Vitran *	47,250		572
Wabtec	29,325		1,235
WESCO International *	37,550		1,303

			67,187


Information Technology — 27.2%
3Com *	57,182		440
ACI Worldwide *	12,074		249
Actuate *	33,096		185
ADC Telecommunications *	23,200		170
Adtran	12,541		330
Advanced Energy Industries *	186,605		3,090
Advent Software * (A)	29,223		1,308
Amkor Technology * (A)	78,189		553
Ancestry.com *	47,068		798
Ansys *	11,887		513
AOL *	26,685		675
Applied Micro Circuits *	59,700		515
Archipelago Learning *	51,896		757
Ariba *	19,300		248
Arris Group * (A)	88,749		1,066
Art Technology Group *	569,948		2,513
AsiaInfo Holdings *	28,309		750


Description	Shares	Market Value ($ Thousands)

Atheros Communications *	82,190	$	3,182
Atmel *	209,865		1,056
ATMI *	54,568		1,054
Aviat Networks *	29,600		196
Benchmark Electronics *	27,342		567
Blackbaud	11,900		300
Blackboard *	40,421		1,684
Blue Coat Systems *	33,220		1,031
Brightpoint *	80,841		609
Brocade Communications Systems *	8,300		47
Cabot Microelectronics *	5,449		206
CACI International, Cl A *	3,470		169
Checkpoint Systems *	18,516		410
Ciber *	5,300		20
Cirrus Logic *	51,712		434
Cogent * (A)	26,234		268
Cognex	15,509		287
CommScope *	28,590		801
CommVault Systems *	57,914		1,236
Comtech Telecommunications *	31,254		1,000
Concur Technologies * (A)	13,360		548
CSG Systems International *	7,400		155
CTS	23,404		220
Daktronics	16,330		124
DealerTrack Holdings * (A)	91,417		1,561
Digital River * (A)	36,417		1,103
Diodes *	13,187		295
Dolby Laboratories, Cl A *	1		—
Double-Take Software *	3,468		31
DTS *	64,233		2,186
Earthlink	106,571		910
EchoStar, Cl A *	600		12
Emulex *	14,922		198
Entegris *	39,500		199
Euronet Worldwide *	44,532		821
Exar *	4,300		30
Forrester Research * (A)	5,404		162
Gartner *	61,685		1,372
GSI Commerce * (A)	49,671		1,374
Hackett Group *	10,233		28
Harmonic *	12,457		79
Heartland Payment Systems	53,608		997
Hittite Microwave *	16,916		744
Hypercom *	31,720		123
IAC *	23,300		530
Imation *	48,931		539
Infinera *	9,490		81
infoGROUP *	33,039		258
Informatica *	12,700		341
Integrated Device Technology *	74,400		456
InterDigital *	27,217		758
Intermec *	55,586		788
Internet Capital Group *	87,671		741
Intersil, Cl A	27,400		404
Ipass	51,600		59
IXYS *	25,166		215
j2 Global Communications *	61,825		1,447
Jack Henry & Associates	14,600		351
JDA Software Group *	26,781		745
Kenexa *	6,800		93
Knot *	46,710		365


Description	Shares	Market Value ($ Thousands)

L-1 Identity Solutions, Cl 1 *	27,396	$	245
Lawson Software *	8,800		58
Lionbridge Technologies *	2,900		11
Loral Space & Communications *	6,300		221
Manhattan Associates *	17,800		453
Marchex, Cl A	2,100		11
MAXIMUS	13,781		840
MercadoLibre *	17,925		864
Meru Networks *	6,053		91
Methode Electronics	68,174		675
Micrel	26,574		283
Micros Systems *	5,114		168
Microsemi * (A)	72,293		1,254
MicroStrategy, Cl A *	24,831		2,112
MIPS Technologies *	29,794		133
MKS Instruments *	26,263		515
ModusLink Global Solutions *	10,360		87
Molex	2,100		44
MoneyGram International *	91,580		349
Monolithic Power Systems * (A)	5,900		132
Monotype Imaging Holdings *	49,189		479
Move *	35,904		75
Multi-Fineline Electronix *	10,455		269
Net 1 UEPS Technologies *	108,742		2,000
Netgear *	26,456		691
Netlogic Microsystems * (A)	51,845		1,526
Netscout Systems *	7,746		115
NetSuite *	76,260		1,109
Nuance Communications * (A)	35,885		597
ON Semiconductor *	21,125		169
Openwave Systems *	13,820		32
Palm * (A)	85,600		322
Parametric Technology *	23,700		428
Park Electrochemical	14,875		428
Plantronics	5,784		181
Plexus *	9,825		354
Power Integrations (A)	48,154		1,984
Progress Software *	3,193		100
Quality Systems (A)	26,205		1,610
Quantum *	56,700		149
Quest Software *	62,462		1,111
Radisys *	9,501		85
RealNetworks *	29,600		143
RF Micro Devices * (A)	179,167		892
RightNow Technologies *	29,064		519
Riverbed Technology *	36,003		1,023
Rofin-Sinar Technologies *	5,664		128
Rogers *	3,454		100
Rosetta Stone *	47,311		1,125
Rubicon Technology * (A)	35,954		726
Sapient	170,499		1,558
SAVVIS *	39,954		659
Scansource *	19,390		558
Semtech * (A)	26,500		462
Skyworks Solutions * (A)	38,060		594
Smith Micro Software *	56,969		504
Solera Holdings	41,065		1,587
Sonic Solutions *	32,605		305
Sourcefire *	16,732		384
SRA International, Cl A *	7,411		154
SS&C Technologies Holdings *	76,031		1,146
Standard Microsystems *	9,406		219


Description	Shares	Market Value ($ Thousands)

STEC * (A)	67,065	$	803
SuccessFactors *	40,700		775
Synaptics * (A)	13,299		367
Synchronoss Technologies *	48,231		934
Syntel	38,654		1,487
Take-Two Interactive Software *	18,812		185
Taleo, Cl A *	68,530		1,776
Technitrol	11,000		58
Tekelec *	5,030		91
TeleCommunication Systems, Cl A *	11,536		85
TeleTech Holdings *	69,108		1,180
Teradyne *	181,238		2,024
Tessera Technologies * (A)	33,131		672
THQ *	22,772		160
TIBCO Software *	132,700		1,432
Tivo *	19,196		329
Trimble Navigation *	37,170		1,068
TriQuint Semiconductor *	105,747		740
TTM Technologies *	11,368		101
Tyler Technologies *	4,572		86
Ultimate Software Group *	5,943		196
Ultratech *	1,914		26
Unisys * (A)	35,999		1,256
United Online	102,361		766
Valueclick *	125,749		1,275
VanceInfo Technologies ADR *	59,292		1,322
Vasco Data Security International *	34,349		283
Veeco Instruments * (A)	49,871		2,169
VeriFone Holdings *	59,611		1,205
Verigy *	115,530		1,292
Vishay Intertechnology *	27,200		278
VistaPrint *	39,542		2,264
Vocus *	61,975		1,057
Volterra Semiconductor *	62,961		1,580
Websense *	35,710		813
Wright Express *	27,500		828
Zoran *	77,568		835

			117,104


Materials — 2.6%
AM Castle	7,411		97
Carpenter Technology	5,900		216
Commercial Metals	4,779		72
Crown Holdings *	27,200		733
Domtar *	3,600		232
General Steel Holdings *	18,620		76
Glatfelter	4,300		62
H.B. Fuller	15,357		356
Innophos Holdings	8,987		251
Innospec	11,536		131
Intrepid Potash *	25,643		778
James River Coal *	21,900		348
Koppers Holdings	22,946		650
LSB Industries *	3,003		46
Myers Industries	8,324		87
Nalco Holding	34,915		849
Neenah Paper	6,327		100
NewMarket	13,928		1,434
Olin	20,938		411
PolyOne *	57,245		586


Description	Shares	Market Value ($ Thousands)

Rock-Tenn, Cl A	7,538	$	344
Rockwood Holdings *	2,900		77
Royal Gold	600		28
Schulman A	8,903		218
Silvercorp Metals PIPE *	34,000		233
Spartech *	3,814		45
Stepan	423		24
Stillwater Mining *	1,357		17
Wausau Paper *	33,301		285
Worthington Industries (A)	40,870		707
WR Grace *	58,731		1,630
Zep	45		1

			11,124


Telecommunication Services — 1.4%
Atlantic Telegraph-Network	6,117		275
Cbeyond * (A)	25,066		343
Cincinnati Bell *	72,600		247
Cogent Communications Group *
(A)	25,995		271
Global Crossing *	34,985		530
Neutral Tandem *	37,846		605
NTELOS Holdings	10,703		190
SBA Communications, Cl A * (A)	64,789		2,337
Shenandoah Telecommunications	4,300		81
tw telecom, Cl A *	46,120		837
USA Mobility	23,200		294

			6,010


Utilities — 0.6%
California Water Service Group (A)	4,930		185
ITC Holdings	18,579		1,022
Laclede Group	3,287		111
MGE Energy	5,706		202
NorthWestern	33,639		902
RRI Energy *	11,000		42

			2,464

Total Common Stock (Cost $333,867) ($ Thousands)			416,115


	Number of Warrants

WARRANTS — 0.0%
Rentech Expires 04/25/12 * (C) (G)	19,400		2
Titanium Asset Management Expires 06/21/11 * (C) (D) (G)	147,800		—

Total Warrants (Cost $—) ($Thousands)			2


AFFILIATED PARTNERSHIP — 13.5%
SEI Liquidity Fund, L.P.,
0.210% (E)**††	60,996,621		58,038

Total Affiliated Partnership (Cost $60,997) ($ Thousands)			58,038


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


CASH EQUIVALENT — 7.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.070%**††		33,674,766	$	33,675

Total Cash Equivalent (Cost $33,675) ($ Thousands)				33,675


U.S. TREASURY OBLIGATION (F) (G) — 0.5%
U.S. Treasury Bills
0.112%, 06/03/10	$	2,160		2,159

Total U.S. Treasury Obligation (Cost $2,159) ($ Thousands)				2,159

Total Investments — 118.5% (Cost $430,698) ($ Thousands)			$	509,989

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI	207	Jun-2010	$	(77	)

For the period ended March 31, 2010, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for the derivative type during the period.

Percentages are based on Net Assets of $430,316 ($ Thousands).

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

‡

Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $51,325 ($ Thousands)

(B)

Business development company.

(C)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2010 was $530 ($ Thousands) and represented 0.1% of Net Assets.

(D)

Securities considered illiquid. The total market value of such securities as of March 31, 2010 was $— ($ Thousands) and represented 0.00% of Net Assets.

(E)

This security was purchased with cash collateral received from securities on loan. The total value of such securities as of March 31, 2010 was $58,038 ($ Thousands).

(F)

The rate reported is the effective yield at the time of purchase.

(G)

Security, or portion thereof, has been pledged as collateral on open futures.

(H)

Security considered restricted. The total market value of such securities as of March 31, 2010 was $530 ($ Thousands) and represented 0.1% of Net Assets.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

Amounts designated as “-” are $0 or have been rounded to $0.


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 95.1%

Consumer Discretionary — 17.4%
Aaron Rents	9,618	$	321
Abercrombie & Fitch, Cl A	6,872		314
Aeropostale *	11,050		319
AFC Enterprises *	4,700		50
American Eagle Outfitters	60,363		1,118
American Greetings, Cl A	20,300		423
Amerigon *	3,300		33
Ameristar Casinos	1,300		24
AnnTaylor Stores *	11,100		230
Apollo Group, Cl A *	9,400		576
Arbitron	800		21
ArvinMeritor *	15,000		200
ATC Technology *	9,310		160
Autoliv	16,100		830
Autonation *	1,400		25
Bally Technologies *	3,100		126
Barnes & Noble	4,116		89
Bebe Stores	8,806		78
Belo, Cl A	28,274		193
Big Lots *	7,400		269
BJ’s Restaurants *	1,000		23
BorgWarner *	14,911		569
Bridgepoint Education *	20,300		499
Brinker International	1,700		33
Brink’s Home Security Holdings *	3,400		145
Brown Shoe	2,700		42
Brunswick	21,500		343
Buckle	2,200		81
Build-A-Bear Workshop *	2,700		19
Cabela’s *	17,200		301
Cablevision Systems, Cl A	4,800		116
California Pizza Kitchen *	10,065		169
Callaway Golf	24,497		216
Capella Education *	700		65
Career Education *	5,100		161
Carmax *	3,100		78
Carter’s *	27,300		823
Cato, Cl A	25,935		556
CBS, Cl B	9,300		130
Central European Media
Enterprises, Cl A *	1,800		53
Cheesecake Factory *	21,400		579
Chico’s FAS	1,900		27
Chipotle Mexican Grill, Cl A *	1,100		124
Christopher & Banks	16,769		134
Citi Trends *	9,940		322
CKE Restaurants	1,400		15
Columbia Sportswear	500		26
Cooper Tire & Rubber	24,243		461
Corinthian Colleges *	3,300		58
Cracker Barrel Old Country Store	19,258		893
Dana Holding *	7,201		86
Darden Restaurants	7,585		338
Dick’s Sporting Goods *	35,380		924
Dillard’s, Cl A	17,100		404
DineEquity *	2,338		92
Dollar Tree *	1,800		107
Domino’s Pizza *	9,625		131
DR Horton	9,500		120


Description	Shares	Market Value ($ Thousands)

DreamWorks Animation SKG, Cl A *	27,350	$	1,077
Eastman Kodak	79,593		461
Ethan Allen Interiors	11,546		238
Expedia	20,100		502
Family Dollar Stores	1,399		51
Focus Media Holding ADR *	43,350		792
Foot Locker	24,300		365
Fossil *	3,800		143
GameStop, Cl A *	36,129		792
Gannett	20,364		336
Gaylord Entertainment *	4,500		132
Genesco *	8,000		248
Gentex	32,460		630
Goodyear Tire & Rubber *	8,400		106
Grand Canyon Education *	17,800		465
Group 1 Automotive *	1,200		38
H&R Block	25,122		447
Hanesbrands *	44,740		1,245
Harley-Davidson	14,782		415
Harte-Hanks	1,800		23
Hasbro	9,600		368
Helen of Troy *	1,000		26
hhgregg *	9,943		251
Hillenbrand	6,800		150
HOT Topic *	6,900		45
Hyatt Hotels, Cl A *	14,400		561
Iconix Brand Group *	6,200		95
Insight Enterprises *	23,400		336
International Game Technology	19,693		363
International Speedway, Cl A	900		23
Interpublic Group *	67,533		562
Isle of Capri Casinos *	3,300		26
ITT Educational Services *	700		79
J Crew Group *	500		23
Jakks Pacific *	12,500		163
Jarden	29,000		965
Jo-Ann Stores *	4,970		209
Jones Apparel Group	21,722		413
Journal Communications, Cl A	39,400		165
KB Home	1,800		30
Kenneth Cole Productions, Cl A *	1,600		21
Lamar Advertising, Cl A *	1,300		45
Landry’s Restaurants *	3,400		61
Las Vegas Sands *	10,100		214
Leggett & Platt	23,300		504
Lennar, Cl A	11,100		191
Life Time Fitness *	800		22
Lin TV, Cl A *	2,000		12
Live Nation *	80,103		1,161
LKQ *	17,400		353
MDC Holdings	400		14
Men’s Wearhouse	4,900		117
Meredith	1,900		65
Meritage Homes *	900		19
Morningstar *	300		14
National CineMedia	51,363		887
Navitas	67,032		314
NetFlix *	7,700		568
New York Times, Cl A *	4,800		53
Newell Rubbermaid	12,800		195
Nutri/System	3,500		62


Description	Shares	Market Value ($ Thousands)

NVR *	100	$	73
Office Depot *	17,200		137
O’Reilly Automotive *	1,000		42
Orient-Express Hotels, Cl A *	5,400		77
Panera Bread, Cl A *	700		54
Penn National Gaming *	21,730		604
Penske Auto Group *	13,200		190
PEP Boys-Manny Moe & Jack	3,200		32
PetSmart	32,570		1,041
PF Chang’s China Bistro *	500		22
Phillips-Van Heusen	15,880		911
Polaris Industries	20,535		1,051
Polo Ralph Lauren	900		77
Pool	19,100		432
Pre-Paid Legal Services *	6,200		235
Pulte Homes *	48,897		550
RadioShack	32,100		726
RC2 *	32,380		485
RCN *	3,100		47
Red Robin Gourmet Burgers *	15,100		369
Regal Entertainment Group, Cl A	21,200		372
Regis	11,898		222
Rent-A-Center *	3,686		87
Ross Stores	1,400		75
Rossi Residencial	55,770		384
Royal Caribbean Cruises *	2,000		66
Ruby Tuesday *	37,800		400
Ryland Group	12,700		285
Sauer-Danfoss *	1,700		23
Scholastic	1,000		28
Scientific Games, Cl A *	96,490		1,359
Sealy *	5,500		19
Service International	10,900		100
Shutterfly *	1,700		41
Signet Jewelers *	3,000		97
Sonic *	14,700		162
Sonic Automotive, Cl A *	3,675		40
Sotheby’s	1,400		43
Speedway Motorsports	800		12
Stage Stores	28,771		443
Stamps.com *	1,579		16
Stanley Black & Decker	500		29
Steak N Shake *	90		34
Stewart Enterprises, Cl A	2,900		18
Strayer Education	3,000		731
Systemax	2,442		53
Tempur-Pedic International *	22,390		675
Tenneco *	9,700		229
Texas Roadhouse, Cl A *	6,200		86
Thor Industries	900		27
Timberland, Cl A *	900		19
Town Sports International Holdings *	4,600		18
TRW Automotive Holdings *	1,800		52
Tupperware Brands	16,171		780
Ulta Salon Cosmetics & Fragrance *	1,800		41
WABCO Holdings	1,500		45
Warnaco Group *	2,610		125
Wendy’s, Cl A	28,000		140
Whirlpool	9,200		803
Williams-Sonoma	35,090		923


Description	Shares	Market Value ($ Thousands)

Winnebago Industries *	20,700	$	303
WMS Industries *	29,636		1,243
Wolverine World Wide	600		17
World Wrestling Entertainment,
Cl A	900		16
Wyndham Worldwide	33,410		860

			51,609


Consumer Staples — 4.1%
Alliance One International *	17,900		91
American Italian Pasta, Cl A *	1,500		58
Andersons	1,200		40
Avon Products	6,952		235
BJ’s Wholesale Club *	15,628		578
Boston Beer, Cl A *	800		42
Brown-Forman, Cl B	7,225		429
Cal-Maine Foods	8,700		295
Casey’s General Stores	14,110		443
Central European Distribution *	12,760		447
Central Garden and Pet, Cl A *	19,700		181
Central Garden and Pet *	13,800		136
Chiquita Brands International *	23,014		362
Church & Dwight	1,600		107
Constellation Brands, Cl A *	17,056		280
Corn Products International	7,990		277
Dean Foods *	52,735		828
Del Monte Foods	41,300		603
Diamond Foods	1,500		63
Dole Food *	12,981		154
Flowers Foods	3,400		84
Fresh Del Monte Produce *	4,800		97
Great Atlantic & Pacific Tea *	7,000		54
Green Mountain Coffee Roasters *	8,820		854
Hansen Natural *	2,925		127
Herbalife	21,480		991
J&J Snack Foods	1,300		57
Lancaster Colony	1,000		59
Lance	400		9
McCormick	9,977		383
Mead Johnson Nutrition, Cl A	5,000		260
Molson Coors Brewing, Cl B	11,506		484
Nash Finch	2,960		100
Nu Skin Enterprises, Cl A	900		26
Pantry *	21,602		270
PepsiCo	751		50
Ralcorp Holdings *	1,000		68
Reddy Ice Holdings *	5,700		26
Rite Aid *	82,900		124
Ruddick	2,500		79
Sanderson Farms	7,649		410
Sara Lee	51,500		717
Schiff Nutrition International	2,200		18
Smithfield Foods *	3,100		64
SUPERVALU	25,600		427
Tootsie Roll Industries	752		20
TreeHouse Foods *	1,800		79
Universal	5,700		300
USANA Health Sciences *	400		13
Village Super Market, Cl A	800		23
Weis Markets	6,300		229
Whole Foods Market *	2,000		72


Description	Shares	Market Value ($ Thousands)

Winn-Dixie Stores *	1,831	$	23

			12,246


Energy — 4.1%
Atlas Energy	1,000		31
Atwood Oceanics *	100		3
Berry Petroleum, Cl A	14,396		405
Bill Barrett *	600		18
Brigham Exploration *	8,000		128
Cabot Oil & Gas	1,000		37
Carrizo Oil & Gas *	1,100		25
Cloud Peak Energy *	700		12
Complete Production Services *	3,100		36
Continental Resources *	1,800		77
Denbury Resources *	2,748		46
Dresser-Rand Group *	20,040		630
Dril-Quip *	600		37
EXCO Resources	1,800		33
Exterran Holdings *	18,554		448
FMC Technologies *	1,800		116
Frontier Oil	11,999		162
General Maritime	4,300		31
Global Industries *	2,300		15
Goodrich Petroleum *	14,052		220
Helix Energy Solutions Group *	1,800		23
Helmerich & Payne	1,300		50
Hercules Offshore *	25,300		109
Hess	1,100		69
International Coal Group *	3,900		18
Key Energy Services *	33,939		324
Mariner Energy *	1,200		18
Massey Energy	7,570		396
McMoRan Exploration *	5,900		86
Mitcham Industries *	3,000		22
Murphy Oil	7,555		425
Nabors Industries *	21,366		419
National Oilwell Varco	1,800		73
Newfield Exploration *	6,744		351
Nordic American Tanker
Shipping, Cl US	8,600		260
Oceaneering International *	1,000		64
Oil States International *	700		32
Overseas Shipholding Group	21,540		845
Patterson-UTI Energy	7,100		99
Peabody Energy	1,500		69
PetroHawk Energy *	19,200		389
Pioneer Natural Resources	7,515		423
Quicksilver Resources *	1,500		21
Range Resources	7,194		337
Rowan *	11,900		346
SEACOR Holdings *	4,800		387
Ship Finance International	2,300		41
Southwestern Energy *	1,000		41
Spectra Energy	18,217		410
St. Mary Land & Exploration	600		21
Stone Energy *	7,700		137
Sunoco	17,409		517
Superior Energy Services *	700		15
Swift Energy *	13,237		407
Teekay Shipping	8,800		200
Tesoro	28,400		395
Tidewater	11,516		544


Description	Shares	Market Value ($ Thousands)

Ultra Petroleum *	900	$	42
USEC *	51,000		294
Western Refining *	16,400		90
Whiting Petroleum *	6,725		544
Willbros Group *	1,500		18
World Fuel Services	13,300		354

			12,235


Financials — 14.6%
Acadia Realty Trust †	900		16
Advance America Cash Advance
Centers	39,200		228
Affiliated Managers Group *	500		39
Alexander’s * †	100		30
Alexandria Real Estate Equities †	300		20
Allied Capital *	36,400		181
Allied World Assurance Holdings	9,300		417
Altisource Portfolio Solutions *	1,400		32
AMB Property †	2,100		57
American Campus Communities †	600		17
American Capital *	8,900		45
American Capital Agency †	3,317		85
American Financial Group	19,300		549
American National Insurance	700		79
AmeriCredit *	600		14
Ameriprise Financial	18,476		838
Amerisafe *	1,877		31
Annaly Capital Management †	10,800		186
Anworth Mortgage Asset †	48,200		325
Apartment Investment & Management, Cl A †	1,800		33
Arch Capital Group *	300		23
Ares Capital	2,000		30
Arthur J. Gallagher	900		22
Aspen Insurance Holdings	12,800		369
Assured Guaranty	26,730		587
Axis Capital Holdings	2,600		81
Banco Latinoamericano de Exportaciones, Cl E	21,300		306
Bancorpsouth	15,190		318
Bank Mutual	4,600		30
Bank of Hawaii	400		18
BGC Partners, Cl A	40,700		249
BioMed Realty Trust †	17,200		284
BlackRock	356		77
BlackRock Kelso Capital	2,400		24
Boston Private Financial Holdings	6,000		44
Boston Properties †	6,546		494
BRE Properties, Cl A †	1,000		36
Calamos Asset Management, Cl A	1,800		26
Camden Property Trust †	600		25
Capstead Mortgage †	8,300		99
Cardinal Financial	18,587		199
CB Richard Ellis Group, Cl A *	25,000		396
CBL & Associates Properties †	14,200		195
Central Pacific Financial * (A)	13,300		22
Century Bancorp, Cl A	2,700		52
Chemical Financial	3,800		90
Chimera Investment †	49,700		193
Cincinnati Financial	2,100		61


Description	Shares	Market Value ($ Thousands)

Citizens Republic Bancorp *	23,500	$	28
CNA Financial *	27,500		735
CNA Surety *	6,600		117
Colonial Properties Trust †	4,500		58
Comerica	13,799		525
Commerce Bancshares	1,455		60
Community Bank System	11,300		257
Cousins Properties †	3,006		25
Cullen/Frost Bankers	300		17
CVB Financial	9,600		95
DCT Industrial Trust †	3,100		16
Delphi Financial Group, Cl A	3,900		98
Developers Diversified Realty †	2,300		28
Digital Realty Trust †	300		16
Dime Community Bancshares	1,700		21
Dollar Financial *	1,600		39
Doral Financial *	23,400		101
Douglas Emmett †	1,400		22
Duke Realty †	1,700		21
ETrade Financial	62,500		103
EastGroup Properties †	400		15
Eaton Vance	7,579		254
Education Realty Trust †	28,058		161
eHealth *	20,800		328
EMC Insurance Group	2,620		59
Employers Holdings	39,991		594
Encore Capital Group *	23,500		386
Endurance Specialty Holdings	21,240		789
Enstar Group *	300		21
Entertainment Properties Trust †	1,000		41
Equity One †	21,647		409
Erie Indemnity, Cl A	2,000		86
Essex Property Trust †	400		36
Everest Re Group	4,400		356
FBL Financial Group, Cl A	2,500		61
Federal Agricultural Mortgage, Cl C	14,900		169
Federal Realty Investment Trust †	500		36
Federated Investors, Cl B	28,666		756
FelCor Lodging Trust * †	6,100		35
Fifth Street Finance	3,100		36
Fifth Third Bancorp	31,704		431
Financial Institutions	1,100		16
First American	2,100		71
First Bancorp	64,348		155
First Financial Bancorp	19,444		346
First Financial Holdings	1,000		15
First Horizon National *	45,078		633
First Midwest Bancorp	600		8
First Niagara Financial Group	4,300		61
First Potomac Realty Trust †	16,500		248
FirstMerit	8,762		189
Flagstone Reinsurance Holdings	6,300		72
Flushing Financial	3,400		43
FNB (Pennsylvania)	11,200		91
Franklin Street Properties †	5,100		74
Fulton Financial	4,400		45
GAMCO Investors, Cl A	400		18
Getty Realty †	3,100		73
GFI Group	37,000		214
GLG Partners *	6,700		21
Greenlight Capital Re *	700		19


Description	Shares	Market Value ($ Thousands)

Hancock Holding	9,419	$	394
Hanover Insurance Group	11,400		497
Harleysville Group	400		13
Hatteras Financial †	4,400		113
HCC Insurance Holdings	1,000		28
Health Care †	3,000		136
Healthcare Realty Trust †	700		16
Hercules Technology Growth Capital	29,456		312
Highwoods Properties †	500		16
Hilltop Holdings *	1,700		20
Home Properties †	400		19
Horace Mann Educators	18,700		282
Hospitality Properties Trust †	11,300		271
Host Hotels & Resorts †	32,236		472
HRPT Properties Trust †	98,500		766
Hudson City Bancorp	14,300		203
Huntington Bancshares	98,200		527
IBERIABANK	4,658		280
Independence Holding	2,800		27
Independent Bank	800		20
Infinity Property & Casualty	11,251		511
Interactive Brokers Group, Cl A *	800		13
Janus Capital Group	1,900		27
Jefferies Group	2,400		57
Jones Lang LaSalle	400		29
KBW *	700		19
Kilroy Realty †	3,175		98
Kimco Realty †	3,900		61
Kite Realty Group Trust †	3,700		17
Knight Capital Group, Cl A *	2,300		35
LaSalle Hotel Properties †	1,400		33
Lazard, Cl A	7,900		282
Lexington Realty Trust †	17,367		113
Liberty Property Trust †	15,852		538
LTC Properties †	4,600		124
M&T Bank	1,258		100
Macerich †	4,534		174
MarketAxess Holdings	1,200		19
MBIA *	5,600		35
Meadowbrook Insurance Group	44,700		353
Medical Properties Trust †	34,000		356
Mercury General	1,100		48
MF Global Holdings *	5,200		42
MFA Financial †	91,411		673
Mid-America Apartment Communities †	5,721		296
Montpelier Re Holdings	15,200		256
MSCI, Cl A *	3,500		126
National Penn Bancshares	23,217		160
National Retail Properties †	1,200		27
National Western Life Insurance, Cl A	400		74
Nationwide Health Properties †	12,400		436
NewAlliance Bancshares	9,000		114
Northfield Bancorp	800		12
NorthStar Realty Finance †	14,709		62
NYSE Euronext	1,675		50
Ocwen Financial *	4,200		47
Old National Bancorp	3,600		43
Omega Healthcare Investors †	5,100		99
One Liberty Properties †	140		2


Description	Shares	Market Value ($ Thousands)

OneBeacon Insurance Group, Cl A	2,700	$	47
optionsXpress Holdings	1,400		23
Oriental Financial Group	13,000		175
PacWest Bancorp	15,123		345
Park National	3,300		206
Parkway Properties †	20,600		387
PartnerRe	9,359		746
Pennsylvania Real Estate Investment Trust †	14,700		183
People's United Financial	29,114		455
PHH *	12,042		284
Piper Jaffray *	300		12
Platinum Underwriters Holdings	9,116		338
Plum Creek Timber †	1,400		54
Popular	28,900		84
Portfolio Recovery Associates *	400		22
Post Properties †	800		18
Premierwest Bancorp	47,850		22
Presidential Life	1,400		14
ProAssurance *	16,694		977
Prospect Capital	2,812		34
Protective Life	6,456		142
Provident Financial Services	1,100		13
Pzena Investment Management, Cl A *	5,400		41
Radian Group	4,100		64
RAIT Financial Trust †	42,000		83
Ramco-Gershenson Properties †	2,300		26
Raymond James Financial	13,500		361
Redwood Trust †	19,692		304
Regency Centers †	2,500		94
Regions Financial	37,600		295
Reinsurance Group of America, Cl A	14,786		777
RenaissanceRe Holdings	800		45
Resource Capital †	2,600		18
Roma Financial	900		11
S&T Bancorp	9,200		192
Selective Insurance Group	7,900		131
Senior Housing Properties Trust †	4,900		109
Signature Bank NY *	9,120		338
SL Green Realty †	2,800		160
Sovran Self Storage †	3,900		136
StanCorp Financial Group	11,800		562
Stifel Financial *	8,505		457
Stratus Properties *	1,900		19
Sun Communities †	1,400		35
SVB Financial Group *	600		28
SWS Group	7,400		85
Synovus Financial	197,312		649
Tanger Factory Outlet Centers †	800		35
Taubman Centers †	1,400		56
TCF Financial	2,200		35
TD Ameritrade Holding *	17,829		340
Tejon Ranch *	400		12
Teton Advisors, Cl A	6		0
Tower Group	4,200		93
TradeStation Group *	1,800		13
Transatlantic Holdings	600		32
Trustco Bank NY	26,900		166
Trustmark	1,100		27


Description	Shares	Market Value ($ Thousands)

UDR †	1,400	$	25
Umpqua Holdings	6,716		89
United America Indemnity, Cl A *	1,081		10
United Bankshares	4,300		113
United Community Banks *	3,375		15
United Fire & Casualty	4,000		72
Unitrin	18,100		508
Universal Health Realty Income Trust †	700		25
Unum Group	41,668		1,032
Validus Holdings	8,900		245
Valley National Bancorp	2,100		32
W Holding *	900		9
Waddell & Reed Financial, Cl A	8,900		321
Walter Investment Management †	657		10
Washington Federal	10,600		215
Washington Real Estate Investment Trust †	500		15
Webster Financial	7,700		135
Weingarten Realty Investors †	1,600		34
WesBanco	1,900		31
Westamerica Bancorporation	1,500		86
Westfield Financial	2,625		24
White Mountains Insurance Group	900		319
Whitney Holding	28,155		388
Willis Group Holdings	14,340		449
Wilmington Trust	1,100		18
Wintrust Financial	600		22
World Acceptance *	1,300		47
WR Berkley	5,400		141
WSFS Financial	400		16
Zions Bancorporation	45,316		989

			43,243


Health Care — 12.1%
Abaxis *	1,600		44
Accuray *	1,900		12
Acorda Therapeutics *	14,700		503
Affymax *	12,200		286
Affymetrix *	3,600		26
Air Methods *	600		20
Albany Molecular Research *	4,700		39
Alexion Pharmaceuticals *	5,500		299
Align Technology *	3,800		74
Alkermes *	17,300		224
Allergan	1,600		105
Allos Therapeutics *	2,400		18
Allscripts Healthcare Solutions *	12,700		248
AMAG Pharmaceuticals *	5,150		180
Amedisys *	1,900		105
American Medical Systems Holdings *	25,400		472
AMERIGROUP *	9,625		320
AmerisourceBergen	26,016		752
Amsurg *	12,137		262
Amylin Pharmaceuticals *	15,000		337
Analogic	874		37
Angiodynamics *	2,514		39
Auxilium Pharmaceuticals *	26,460		825
Beckman Coulter	4,351		273
Bio-Reference Labs *	500		22


Description	Shares	Market Value ($ Thousands)

Biovail	31,300	$	525
Brookdale Senior Living *	1,700		35
Bruker BioSciences *	3,400		50
Capital Senior Living *	3,600		19
Catalyst Health Solutions *	600		25
Celgene *	622		39
Celldex Therapeutics *	2,400		15
Cephalon *	3,800		258
Cerner *	300		26
Charles River Laboratories International *	5,150		202
Chemed	3,864		210
Community Health Systems *	3,600		133
Conmed *	5,732		136
Cooper	14,071		547
Corvel *	393		14
Covance *	5,775		355
Coventry Health Care *	39,700		981
Cubist Pharmaceuticals *	17,000		383
Cyberonics *	18,090		347
Dendreon *	15,800		576
Dentsply International	15,600		544
Dionex *	500		37
Eclipsys *	1,200		24
Edwards Lifesciences *	1,200		119
Emeritus *	1,400		28
Endo Pharmaceuticals Holdings *	15,900		377
Enzo Biochem *	1,249		8
Enzon Pharmaceuticals *	2,600		26
eResearchTechnology *	4,548		31
ev3 *	55,300		877
Exelixis *	2,200		13
Express Scripts *	700		71
Forest Laboratories *	20,275		636
Gen-Probe *	13,100		655
Gentiva Health Services *	700		20
Geron *	8,900		51
Greatbatch *	2,000		42
Haemonetics *	700		40
Health Management Associates, Cl A *	11,500		99
Health Net *	45,715		1,137
Healthsouth *	21,400		400
Healthspring *	1,200		21
Healthways *	200		3
Henry Schein *	5,527		326
Hill-Rom Holdings	24,400		664
Hologic *	9,984		185
Human Genome Sciences *	3,600		109
Humana *	8,300		388
ICON ADR *	14,010		370
Idexx Laboratories *	5,600		322
Illumina *	2,300		89
Immucor *	1,950		44
Incyte *	31,700		443
Intuitive Surgical *	550		191
Inverness Medical Innovations *	10,688		416
Kendle International *	1,800		31
Kensey Nash *	2,964		70
Kinetic Concepts *	14,800		708
King Pharmaceuticals *	40,000		470


Description	Shares	Market Value ($ Thousands)

Laboratory Corp of America Holdings *	3,000	$	227
Landauer	600		39
LHC Group *	500		17
Life Technologies *	2,637		138
LifePoint Hospitals *	19,200		706
Lincare Holdings *	18,200		817
Magellan Health Services *	1,400		61
Masimo	7,100		189
Mednax *	3,243		189
Meridian Bioscience	6,400		130
Merit Medical Systems *	2,500		38
Mettler Toledo International *	400		44
Millipore *	500		53
Mylan Laboratories *	31,035		705
Myriad Genetics *	3,900		94
Myriad Pharmaceuticals *	550		2
Nektar Therapeutics *	9,000		137
Neogen *	600		15
NuVasive *	12,429		562
Obagi Medical Products *	1,600		19
Odyssey HealthCare *	1,000		18
Omnicell *	1,300		18
Onyx Pharmaceuticals *	30,500		924
Orthofix International *	600		22
OSI Pharmaceuticals *	1,118		67
Owens & Minor	14,935		693
Par Pharmaceutical *	2,270		56
Parexel International *	36,450		850
Patterson	7,500		233
PDL BioPharma	57,400		356
PerkinElmer	18,100		433
Perrigo	10,000		587
Pharmaceutical Product Development	6,300		150
Providence Service *	1,900		29
PSS World Medical *	1,400		33
Regeneron Pharmaceuticals *	18,400		487
RehabCare Group *	700		19
ResMed *	4,181		266
Rigel Pharmaceuticals *	28,400		226
Salix Pharmaceuticals *	10,130		377
Seattle Genetics *	24,370		291
Sirona Dental Systems *	10,619		404
STERIS	23,030		775
SXC Health Solutions *	15,940		1,073
Symmetry Medical *	1,500		15
Team Health Holdings *	20,165		339
Techne	4,100		261
Tenet Healthcare *	14,100		81
Thermo Fisher Scientific *	1,600		82
Thoratec *	1,500		50
TomoTherapy *	20,700		71
Universal Health Services, Cl B	800		28
US Physical Therapy *	900		16
Valeant Pharmaceuticals International *	4,500		193
Vertex Pharmaceuticals *	7,400		302
Viropharma *	5,100		70
Volcano *	30,100		727
Waters *	1,525		103
Watson Pharmaceuticals *	9,800		409


Description	Shares	Market Value ($ Thousands)

WellCare Health Plans *	800	$	24
Zoll Medical *	1,800		47

			35,870


Industrials — 14.0%
AAON	1,500		34
ACCO Brands *	12,500		96
Acuity Brands	9,934		419
Advisory Board *	13,260		418
AGCO *	1,700		61
Aircastle	4,300		41
Airtran Holdings *	2,900		15
Alaska Air Group *	7,098		293
Albany International, Cl A	1,900		41
Alexander & Baldwin	2,539		84
Allegiant Travel, Cl A *	4,900		284
Alliant Techsystems *	488		40
American Commercial Lines *	725		18
American Superconductor *	2,200		63
Ametek	750		31
Ampco-Pittsburgh	8,000		199
AMR *	4,000		36
AO Smith	8,100		426
Apogee Enterprises	16,300		258
Argon ST *	10,000		266
Atlas Air Worldwide Holdings *	10,700		568
Avery Dennison	13,264		483
Baldor Electric	900		34
Barnes Group	1,100		21
BE Aerospace *	48,707		1,483
Beacon Roofing Supply *	40,890		782
Belden	14,017		385
Brady, Cl A	9,667		301
Briggs & Stratton	20,320		396
Brink's	3,100		87
Bucyrus International, Cl A	10,400		686
C.H. Robinson Worldwide	1,344		75
Carlisle	600		23
Cenveo *	5,300		46
Cintas	13,215		371
Clean Harbors *	3,703		206
CNH Global	2,460		76
Colfax *	7,500		88
Columbus McKinnon *	3,949		63
Continental Airlines, Cl B *	63,045		1,385
Con-way	600		21
Copa Holdings, Cl A	8,880		540
Copart *	600		21
Corporate Executive Board	15,800		420
Corrections Corp of America *	37,850		752
Courier	6,189		102
Crane	9,800		348
Cummins	2,100		130
Delta Air Lines *	8,725		127
Deluxe	18,000		350
Dollar Thrifty Automotive Group *	3,000		96
Donaldson	600		27
Dover	8,671		405
EMCOR Group *	20,814		513
EnergySolutions	1,900		12
EnerNOC *	1,300		39
Ennis	3,200		52


Description	Shares	Market Value ($ Thousands)

EnPro Industries *	11,900	$	346
Esterline Technologies *	9,110		450
Fastenal	5,748		276
Flowserve	1,100		121
Forward Air	600		16
Foster Wheeler *	7,300		198
FTI Consulting *	8,733		343
G&K Services	9,726		252
Gardner Denver	23,929		1,054
GATX	3,000		86
Geo Group *	5,088		101
Goodrich	1,600		113
Gorman-Rupp	1,250		32
Graco	600		19
GrafTech International *	1,400		19
Hansen Transmissions International *	36,014		49
Harsco	3,200		102
Heartland Express	2,100		35
Heidrick & Struggles International	700		20
Herman Miller	1,500		27
Hertz Global Holdings *	4,900		49
Hexcel *	1,400		20
HNI	1,400		37
Hubbell, Cl B	5,700		287
Huron Consulting Group *	400		8
IDEX	6,500		215
IHS, Cl A *	13,200		706
Interface, Cl A	21,806		252
Interline Brands *	1,300		25
International Shipholding	5,600		165
Jacobs Engineering Group *	1,849		84
JB Hunt Transport Services	27,570		989
John Bean Technologies	777		14
Joy Global	1,800		102
Kadant *	12,422		179
Kaman	2,407		60
Kansas City Southern *	3,600		130
Kaydon	10,601		399
KBR	5,200		115
Kelly Services, Cl A *	12,500		208
Kennametal	500		14
Kirby *	800		30
Knoll	30,690		345
Landstar System	600		25
Layne Christensen *	700		19
Lennox International	5,600		248
Lincoln Electric Holdings	2,905		158
Localiza Rent a Car	33,160		348
Manpower	8,200		468
Middleby *	400		23
Mine Safety Appliances	5,500		154
Monster Worldwide *	1,600		27
Moog, Cl A *	2,300		81
MSC Industrial Direct, Cl A	100		5
Mueller Industries	11,400		305
NACCO Industries, Cl A	400		30
Navistar International *	6,500		291
NCI Building Systems *	5,260		58
Nordson	300		20
Old Dominion Freight Line *	1,350		45


Description	Shares	Market Value ($ Thousands)

Orbital Sciences *	4,400	$	84
Oshkosh Truck	9,200		371
Owens Corning *	7,600		193
PACCAR	10,561		458
Pall	3,500		142
Park-Ohio Holdings *	2,900		25
Pentair	800		28
Pitney Bowes	17,546		429
Quanex Building Products	1,800		30
Quanta Services *	3,656		70
Regal-Beloit	10,230		608
Resources Connection *	34,695		665
Ritchie Bros. Auctioneers	10,100		217
Robert Half International	1,400		43
Rockwell Collins	4,923		308
Roper Industries	400		23
RR Donnelley & Sons	31,294		668
RSC Holdings *	1,700		14
Rush Enterprises, Cl A *	30,730		406
Ryder System	12,600		488
School Specialty *	11,516		261
Seaboard	89		116
Skywest	11,800		169
Spirit Aerosystems Holdings, Cl A *	19,360		453
Standard Register	5,164		28
Steelcase, Cl A	4,600		30
Stericycle *	1,000		54
SYKES Enterprises *	90,497		2,067
TAL International Group	5,800		116
Teledyne Technologies *	10,398		429
Teleflex	8,133		521
Terex *	12,802		291
Tetra Tech *	9,934		229
Thomas & Betts *	12,100		475
Timken	17,300		519
Towers Watson, Cl A	11,872		564
Trex *	20,501		436
Triumph Group	12,317		863
Tutor Perini *	2,700		59
UAL *	30,500		596
United Stationers *	8,821		519
Universal Forest Products	2,200		85
URS *	6,800		337
US Airways Group *	49,163		361
USG *	1,100		19
UTI Worldwide	16,300		250
Valmont Industries	200		17
Vicor *	2,300		32
Wabtec	1,800		76
Watsco	3,400		193
Watts Water Technologies, Cl A	7,204		224
WESCO International *	17,694		614

			41,307


Information Technology — 17.8%
3Com *	40,300		310
Activision Blizzard	1,500		18
Advanced Analogic Technologies *	3,400		12
Advanced Energy Industries *	1,400		23
Advanced Micro Devices *	7,300		68


Description	Shares	Market Value ($ Thousands)

Advent Software *	500	$	22
Agilysys	2,800		31
Akamai Technologies *	2,300		72
Alliance Data Systems *	15,000		960
Amkor Technology *	13,600		96
Analog Devices	14,873		429
Anixter International *	500		23
Ansys *	9,900		427
Applied Micro Circuits *	52,600		454
Ariba *	2,700		35
Arris Group *	7,200		86
Arrow Electronics *	1,900		57
AsiaInfo Holdings *	8,000		212
Atheros Communications *	20,920		810
ATMI *	800		16
Autodesk *	1,000		29
Aviat Networks *	198		1
Avnet *	10,000		300
Benchmark Electronics *	19,000		394
Black Box	5,800		178
Blackbaud	1,000		25
Blue Coat Systems *	7,400		230
BMC Software *	1,700		65
Brightpoint *	36,183		272
Broadridge Financial Solutions	1,700		36
Brocade Communications Systems *	134,610		769
CACI International, Cl A *	5,120		250
Cadence Design Systems *	5,600		37
Celestica *	36,390		398
Checkpoint Systems *	6,577		145
Ciber *	20,463		77
Ciena *	1,200		18
Citrix Systems *	900		43
Cognex	4,700		87
Cognizant Technology Solutions, Cl A *	1,800		92
Cogo Group *	7,800		54
Coherent *	12,148		388
CommScope *	900		25
Computer Sciences *	9,800		534
Comverge *	2,600		29
Concur Technologies *	10,100		414
Convergys *	27,500		337
Cree *	2,949		207
CSG Systems International *	18,734		393
CTS	32,288		304
Cybersource *	20,700		365
Cymer *	1,901		71
Cypress Semiconductor *	44,800		515
Daktronics	4,000		30
DealerTrack Holdings *	1,000		17
Deltek *	4,647		36
DG FastChannel *	800		26
Diebold	24,562		780
Digital River *	10,849		329
Diodes *	1,800		40
Dolby Laboratories, Cl A *	7,700		452
DST Systems	3,200		133
Earthlink	11,200		96
EchoStar, Cl A *	2,900		59
Electronics for Imaging *	6,290		73


Description	Shares	Market Value ($ Thousands)

Emulex *	18,333	$	243
Equinix *	14,380		1,400
Euronet Worldwide *	22,800		420
F5 Networks *	2,000		123
Factset Research Systems	300		22
Fair Isaac	700		18
Fairchild Semiconductor International *	59,188		630
Fidelity National Information Services	1,480		35
Finisar *	22,400		352
Flir Systems *	8,260		233
Formfactor *	800		14
Forrester Research *	900		27
Gartner *	49,740		1,106
Genpact *	1,200		20
Global Payments	800		36
GSI Commerce *	68,220		1,888
Harris	14,100		670
Heartland Payment Systems	14,860		276
Hewitt Associates, Cl A *	3,334		133
Hughes Communications *	1,200		33
IAC *	9,650		220
Imation *	1,900		21
Informatica *	31,250		839
Ingram Micro, Cl A *	6,642		117
Integrated Device Technology *	9,900		61
InterDigital *	1,000		28
Intermec *	3,701		52
International Rectifier *	1,600		37
Intersil, Cl A	6,800		100
Itron *	600		44
Ixia *	2,700		25
Jabil Circuit	36,597		593
JDS Uniphase *	2,700		34
Lam Research *	6,950		259
Lawson Software *	134,411		888
Lexmark International, Cl A *	35,150		1,268
Limelight Networks *	3,000		11
Linear Technology	5,600		158
Littelfuse *	7,558		287
LoopNet *	1,700		19
Loral Space & Communications *	800		28
LSI Logic *	20,725		127
Mantech International, Cl A *	900		44
McAfee *	400		16
Measurement Specialties *	2,900		43
Mentor Graphics *	2,400		19
Methode Electronics	46,156		457
Micrel	10,900		116
Micros Systems *	12,600		414
Microsemi *	58,572		1,016
MicroStrategy, Cl A *	200		17
Microtune *	5,035		14
Molex	26,509		553
Monolithic Power Systems *	4,628		103
Motorola *	18,200		128
Move *	40,345		84
MTS Systems	1,819		53
Multi-Fineline g*	4,000		103
National Semiconductor	2,800		41
NCR *	12,025		166


Description	Shares	Market Value ($ Thousands)

Netezza *	29,140	$	373
Netgear *	2,100		55
Netlogic Microsystems *	9,300		274
NetSuite *	1,400		20
NeuStar, Cl A *	1,200		30
Novell *	26,778		160
Novellus Systems *	1,600		40
Omnivision Technologies *	1,400		24
Parametric Technology *	19,718		356
Plantronics	1,100		34
Plexus *	7,150		258
PMC - Sierra *	114,800		1,024
Polycom *	19,300		590
Power Integrations	7,240		298
QLogic *	33,930		689
Quality Systems	8,381		515
Quest Software *	100		2
Rackspace Hosting *	20,280		380
Radisys *	4,300		39
Rambus *	1,900		42
RealNetworks *	11,200		54
Red Hat *	17,500		512
RF Micro Devices *	59,990		299
Richardson Electronics	11,300		90
Riverbed Technology *	22,850		649
Rofin-Sinar Technologies *	700		16
Rovi *	10,624		395
S1 *	3,900		23
SAIC *	29,000		513
Salesforce.com *	800		60
Sanmina-SCI *	51,100		843
Sapient	63,847		584
SAVVIS *	1,900		31
Scansource *	3,200		92
Seagate Technology	33,840		618
Semtech *	3,100		54
Silicon Graphics International *	2,400		26
Silicon Laboratories *	3,550		169
Skyworks Solutions *	46,650		728
Solera Holdings	14,248		551
SonicWALL *	2,600		23
Supertex *	900		23
Sybase *	15,848		739
Symyx Technologies *	7,803		35
Synaptics *	4,450		123
SYNNEX *	1,918		57
Synopsys *	31,528		705
Syntel	1,400		54
Take-Two Interactive Software *	11,200		110
Taleo, Cl A *	3,892		101
Tech Data *	12,800		536
Technitrol	19,700		104
Tekelec *	3,400		62
TeleTech Holdings *	25,821		441
Tellabs	7,100		54
Teradata *	4,200		121
Teradyne *	4,782		53
Tessera Technologies *	900		18
TIBCO Software *	10,000		108
TiVo *	79,170		1,355
Total System Services	1,600		25
Trimble Navigation *	5,500		158


Description	Shares	Market Value ($ Thousands)

TriQuint Semiconductor *	44,620	$	312
Ultimate Software Group *	600		20
Unisys *	10,373		362
United Online	54,330		406
Utstarcom *	6,700		19
Valueclick *	16,500		167
Varian Semiconductor Equipment
Associates *	5,375		178
Veeco Instruments *	2,300		100
Viasat *	5,200		180
Virtusa *	1,600		16
Vishay Intertechnology *	68,300		699
VistaPrint *	27,109		1,552
WebMD Health, Cl A *	1,121		52
Websense *	24,670		562
Western Digital *	15,900		620
Wright Express *	11,695		352
Xyratex *	15,881		269
Zebra Technologies, Cl A *	13,166		390
Zoran *	39,511		425

			52,792


Materials — 5.0%
Airgas	800		51
AK Steel Holding	8,400		192
Albemarle	4,500		192
Allegheny Technologies	14,584		787
Alpha Natural Resources *	3,120		156
AM Castle	8,068		105
Aptargroup	8,533		336
Ashland	2,600		137
Ball	5,000		267
Cabot	10,992		334
Celanese, Ser A	11,400		363
Century Aluminum *	12,207		168
China Green Agriculture *	7,900		111
Cliffs Natural Resources	4,862		345
Commercial Metals	11,469		173
Compass Minerals International	1,100		88
Crown Holdings *	4,800		129
Cytec Industries	10,764		503
Domtar *	4,500		290
Eagle Materials	600		16
Eastman Chemical	11,200		713
FMC	2,882		174
General Steel Holdings *	16,528		68
Greif, Cl A	1,200		66
H.B. Fuller	9,200		214
Headwaters *	12,723		58
Huntsman	2,900		35
Innophos Holdings	9,500		265
Innospec	3,100		35
Kaiser Aluminum	3,000		116
Koppers Holdings	4,297		122
Lubrizol	8,200		752
Mosaic	500		30
Nalco Holding	12,600		307
Neenah Paper	11,949		189
NewMarket	992		102
Nucor	8,524		387
Olin	9,500		186
OM Group *	6,097		207


Description	Shares	Market Value ($ Thousands)

Owens-Illinois *	22,661	$	805
Packaging Corp of America	14,921		367
Pactiv *	12,111		305
PolyOne *	60,035		615
Reliance Steel & Aluminum	7,200		354
Rockwood Holdings *	13,300		354
Royal Gold	900		42
RPM International	900		19
RTI International Metals *	7,918		240
Schnitzer Steel Industries, Cl A	2,800		147
Schulman A	14,022		343
Schweitzer-Mauduit International	4,489		214
Scotts Miracle-Gro, Cl A	1,500		70
Sealed Air	100		2
Sensient Technologies	6,800		198
Silgan Holdings	18,495		1,114
Solutia *	9,900		160
Spartech *	4,727		55
Stillwater Mining *	2,600		34
Temple-Inland	2,300		47
Terra Industries	3,900		178
Texas Industries	500		17
Titanium Metals *	6,000		100
Walter Energy	100		9
Westlake Chemical	2,015		52
Worthington Industries	8,000		138
WR Grace *	4,500		125

			14,873


Telecommunication Services — 1.8%
Alaska Communications Systems Group	18,870		153
American Tower, Cl A *	1,015		43
CenturyTel	14,200		504
Cincinnati Bell *	59,635		203
Consolidated Communications Holdings	1,000		19
Frontier Communications	6,500		48
General Communication, Cl A *	5,600		32
Global Crossing *	1,400		21
Iowa Telecommunications Services	2,800		47
MetroPCS Communications *	68,225		483
NII Holdings *	36,200		1,508
NTELOS Holdings	5,100		91
PAETEC Holding *	6,400		30
Price Communication *	3,800		0
Qwest Communications International	13,800		72
SBA Communications, Cl A *	47,710		1,721
tw telecom, Cl A *	8,590		156
USA Mobility	16,700		212

			5,343


Utilities — 4.2%
AGL Resources	34,098		1,318
Alliant Energy	8,800		293
Ameren	13,600		355
American Water Works	4,800		104
Avista	16,100		333
Black Hills	3,085		94
California Water Service Group	900		34
Centerpoint Energy	800		11


Description	Shares	Market Value ($ Thousands)

CH Energy Group	1,800	$	74
Chesapeake Utilities	400		12
Cleco	1,200		32
CMS Energy (A)	47,700		737
Connecticut Water Service	500		12
Consolidated Edison	5,929		264
Dynegy, Cl A *	56,500		71
Edison International	9,690		331
El Paso Electric *	4,700		97
Empire District Electric	8,731		157
Energen	2,800		130
Great Plains Energy	56,292		1,045
Hawaiian Electric Industries	12,900		290
Idacorp	3,400		118
ITC Holdings	1,000		55
Laclede Group	2,575		87
MDU Resources Group	5,300		114
Mirant *	19,400		211
New Jersey Resources	750		28
NiSource	47,500		750
Northeast Utilities	4,000		111
Northwest Natural Gas	400		19
NorthWestern	32,525		872
NV Energy	4,400		54
Oneok	600		27
Ormat Technologies	300		9
Pepco Holdings	12,500		214
Pinnacle West Capital	18,372		693
PNM Resources	1,700		21
Portland General Electric	53,681		1,037
PPL	1,900		53
RRI Energy *	67,813		250
SCANA	13,806		519
Sempra Energy	1,600		80
South Jersey Industries	5,227		220
Southern Union	600		15
Southwest Water	2,600		27
TECO Energy	1,800		29
UGI	8,400		223
UIL Holdings	700		19
Westar Energy	5,800		129
Wisconsin Energy	1,900		94
Xcel Energy	18,194		386

			12,258

Total Common Stock (Cost $222,992) ($ Thousands)			281,776


EXCHANGE TRADED FUND — 0.1% iShares Russell 2000 Index Fund (A)	2,540		172

Total Exchange Traded Fund (Cost $150) ($ Thousands)			172


CLOSED-END FUND — 0.0% Kayne Anderson Energy Development	800		13

Total Closed-End Fund (Cost $9) ($ Thousands)			13


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

CASH EQUIVALENT — 4.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		14,667,326	$	14,667

Total Cash Equivalent (Cost $14,667) ($ Thousands)				14,667


AFFILIATED PARTNERSHIP — 0.2%
SEI Liquidity Fund, L.P., 0.210% (B)** ††		649,899		480

Total Affiliated Partnership (Cost $650) ($ Thousands)				480


U.S. TREASURY OBLIGATION (C) (D) — 0.2%
U.S. Treasury Bills 0.135%, 06/03/10	$	623		623

Total U.S. Treasury Obligation (Cost $623) ($ Thousands)				623

Total Investments — 100.5% (Cost $239,091) ($ Thousands)			$	297,731

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E- MINI	76	Jun-2010	$	24
S&P Mid 400 Index E- MINI	50	Jun-2010		57

			$	81

Percentages are based on Net Assets of $296,136 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $628 ($ Thousands). (B) This security was purchased with cash collateral received from securities on loan. The total value of such securities as of March 31, 2010 was $480 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ser — Series


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 75.3%

Consumer Discretionary — 13.7%
99 Cents Only Stores *	2,500	$	41
Advance Auto Parts (A)	12,500		524
Aeropostale *	11,250		324
Autonation * (A)	6,400		116
Autozone *	700		121
Bed Bath & Beyond *	3,200		140
Big Lots *	2,900		105
Bob Evans Farms	1,400		43
BorgWarner *	4,300		164
Brinker International	27,600		532
Cablevision Systems, Cl A	1,500		36
Career Education * (A)	5,800		184
CBS, Cl B	2,700		38
Cheesecake Factory * (A)	1,100		30
Chico’s FAS	25,900		374
Chipotle Mexican Grill, Cl A *	2,600		293
Coach	17,900		707
Cooper Tire & Rubber	1,300		25
Core-Mark Holding *	1,800		55
Darden Restaurants	1,600		71
DeVry	10,500		685
Discovery Communications, Cl C *	4,400		129
DISH Network, Cl A	15,300		319
Dollar General *	400		10
Dollar Tree *	18,400		1,090
Education Management *	26,500		580
Expedia	23,800		594
Family Dollar Stores (A)	6,300		231
Gannett (A)	41,000		677
Gap	1,100		25
Garmin (A)	17,000		654
Gentex	11,100		215
Genuine Parts	6,700		283
H&R Block	29,400		523
Hanesbrands *	10,700		298
Hasbro	12,000		460
ITT Educational Services *	6,000		675
J.C. Penney	4,500		145
Jarden	7,800		260
Jones Apparel Group	3,100		59
Leggett & Platt	12,700		275
Liberty Media—Interactive, Cl A *	15,900		244
Limited Brands (A)	8,200		202
Lithia Motors, Cl A *	1,100		7
LKQ *	16,200		329
Macy’s	48,300		1,051
Maidenform Brands *	5,000		109
Mattel	42,000		955
McGraw-Hill	9,000		321
Newell Rubbermaid (A)	30,500		464
Oxford Industries	1,500		31
PetSmart	14,300		457
Phillips-Van Heusen	6,000		344
priceline.com *	800		204
Regis	1,000		19
Ross Stores (A)	21,900		1,171
Scripps Networks Interactive, Cl A	11,300		501


Description	Shares	Market Value ($ Thousands)

Sherwin-Williams	300	$	20
Signet Jewelers *	17,500		566
Stanley Black & Decker	1,800		103
Tempur-Pedic International *	4,600		139
Texas Roadhouse, Cl A *	5,700		79
Thor Industries	8,100		245
TJX	41,400		1,760
TRW Automotive Holdings *	19,700		563
Tupperware Brands	1,400		67
Universal Technical Institute *	4,000		91
Urban Outfitters *	11,700		445
VF	7,000		561
WABCO Holdings	1,300		39
Washington Post, Cl B	300		133
Weight Watchers International	6,200		158
Whirlpool (A)	2,100		183
Williams-Sonoma	2,800		74
Wyndham Worldwide	31,000		798

			24,543


Consumer Staples — 5.2%
Avon Products	7,100		240
Bunge (A)	9,200		567
Campbell Soup (A)	8,600		304
Church & Dwight	3,400		228
Clorox	4,700		301
ConAgra Foods	34,900		875
Constellation Brands, Cl A *	43,500		715
Dean Foods *	12,000		188
Del Monte Foods	75,200		1,098
Dole Food *	800		10
Dr Pepper Snapple Group	8,500		299
Estee Lauder, Cl A	8,700		564
Herbalife	10,900		503
HJ Heinz	2,400		109
Hormel Foods	4,300		181
Lorillard	3,000		226
Molson Coors Brewing, Cl B	7,500		316
NBTY *	1,100		53
Ralcorp Holdings *	2,200		149
Reynolds American	2,500		135
Safeway	6,400		159
Sanderson Farms (A)	2,300		123
Sara Lee	55,300		770
SUPERVALU (A)	13,500		225
Tyson Foods, Cl A	37,000		709
Whole Foods Market * (A)	6,000		217

			9,264


Energy — 4.2%
Cal Dive International *	7,700		56
Cameron International *	400		17
Chesapeake Energy	3,600		85
Cimarex Energy	15,400		915
Consol Energy	2,600		111
Continental Resources * (A)	5,900		251
El Paso	104,100		1,128
FMC Technologies * (A)	8,900		575
Harvest Natural Resources *	6,700		51
Helix Energy Solutions Group *	19,200		250
Helmerich & Payne	6,000		229
Murphy Oil	20,300		1,141
Newfield Exploration *	4,400		229


Description	Shares	Market Value ($ Thousands)

Noble Energy	2,500	$	183
Oil States International *	11,000		499
Range Resources	900		42
Spectra Energy	35,700		804
Stone Energy *	10,600		188
Sunoco	3,000		89
Unit *	12,000		507
Vaalco Energy	2,200		11
Whiting Petroleum *	500		40

			7,401


Financials — 12.6%
Affiliated Managers Group *	1,600		126
Allied World Assurance Holdings	15,100		677
American Equity Investment Life Holding	8,200		87
American Financial Group	25,200		717
AmeriCredit *	21,600		513
Ameriprise Financial	10,800		490
Annaly Capital Management †	65,500		1,125
Anworth Mortgage Asset †	4,700		32
Arch Capital Group *	1,700		130
Aspen Insurance Holdings	17,500		505
Assurant	10,100		347
Axis Capital Holdings	2,700		84
Bank of Hawaii	1,600		72
BlackRock	300		65
Brandywine Realty Trust †	35,300		431
CapLease † (A)	3,700		21
CBL & Associates Properties † (A)	11,100		152
Chimera Investment †	81,800		318
Cincinnati Financial	4,000		116
Colonial Properties Trust †	8,100		104
Comerica	3,700		141
Douglas Emmett † (A)	2,200		34
Eaton Vance	1,100		37
Endurance Specialty Holdings	16,500		613
Equity Residential †	600		23
Everest Re Group	3,500		283
Federated Investors, Cl B (A)	2,200		58
Fifth Third Bancorp	44,700		607
First Horizon National *	8,031		113
Flagstone Reinsurance Holdings	5,900		68
FNB (Pennsylvania) (A)	11,800		96
Forest City Enterprises, Cl A *	8,800		127
Fulton Financial	8,100		82
Genworth Financial, Cl A *	4,700		86
Hallmark Financial Services *	1,900		17
Hartford Financial Services Group	19,500		554
Hospitality Properties Trust †	31,600		757
Host Hotels & Resorts †	12,764		187
HRPT Properties Trust †	80,900		629
Hudson City Bancorp	36,400		515
IntercontinentalExchange *	800		90
Invesco	17,500		383
Invesco Mortgage Capital †	8,200		189
Investment Technology Group *	23,000		384
Keycorp	12,600		98
Kimco Realty † (A)	2,900		45
Legg Mason	3,100		89
Leucadia National *	2,300		57


Description	Shares	Market Value ($ Thousands)

Lincoln National	15,200	$	467
M&T Bank	6,300		500
Mack-Cali Realty †	3,700		130
Marsh & McLennan	600		15
Marshall & Ilsley	8,400		68
MBIA *	4,400		28
MFA Financial † (A)	44,400		327
Moody’s (A)	9,800		292
NASDAQ OMX Group *	5,600		118
New York Community Bancorp (A)	7,500		124
NYSE Euronext	14,800		438
OceanFirst Financial	2,900		33
Oriental Financial Group	1,000		13
Parkway Properties †	800		15
PartnerRe	2,500		199
PHH *	15,600		368
Presidential Life	2,700		27
Principal Financial Group	22,300		651
Protective Life	1,600		35
Provident Financial Services (A)	8,800		105
Public Storage †	1,900		175
Ramco-Gershenson Properties †	3,000		34
Regions Financial	34,400		270
Reinsurance Group of America, Cl A	3,200		168
RenaissanceRe Holdings	14,100		800
Resource Capital †	17,700		120
SL Green Realty † (A)	12,400		710
SLM *	45,200		566
Southside Bancshares	1,300		28
Starwood Property Trust †	3,100		60
SunTrust Banks	600		16
T. Rowe Price Group (A)	8,200		451
TFS Financial	1,400		19
Transatlantic Holdings	12,000		634
Trustco Bank NY (A)	6,000		37
Unum Group	16,300		404
Vornado Realty Trust † (A)	5,035		381
Waddell & Reed Financial, Cl A	14,200		512
Webster Financial (A)	7,600		133
WesBanco	3,400		55
WR Berkley	1,200		31
XL Capital, Cl A	23,800		450

			22,481


Health Care — 7.2%
Abraxis Bioscience *	1,400		72
Alexion Pharmaceuticals *	600		33
Allscripts Healthcare Solutions * (A)	20,600		403
American Dental Partners *	700		9
AmerisourceBergen	26,800		775
Biogen Idec *	300		17
Bruker BioSciences *	4,000		58
C.R. Bard	3,500		303
Cephalon *	2,700		183
Cigna	700		26
Community Health Systems *	1,400		52
Cooper (A)	4,200		163
Coventry Health Care *	15,300		378
Endo Pharmaceuticals Holdings *	7,800		185


Description	Shares	Market Value ($ Thousands)

Forest Laboratories *	11,000	$	345
Henry Schein *	5,000		295
Hill-Rom Holdings	19,200		523
Hologic * (A)	28,800		534
Hospira *	18,200		1,031
Humana *	15,200		711
IDEXX Laboratories * (A)	8,200		472
Intuitive Surgical *	2,200		766
Invacare (A)	2,800		74
Kinetic Concepts *	19,700		942
Laboratory Corp of America Holdings *	3,900		295
Life Technologies *	9,600		502
Lincare Holdings * (A)	4,400		197
Meridian Bioscience	3,600		73
Mettler Toledo International *	3,800		415
Par Pharmaceutical *	3,400		84
Perrigo (A)	5,400		317
Quest Diagnostics	7,500		437
Quidel *	3,200		47
Techne	2,200		140
Universal Health Services, Cl B	23,600		828
Valeant Pharmaceuticals International * (A)	10,300		442
Vertex Pharmaceuticals *	4,400		180
Waters *	4,100		277
Watson Pharmaceuticals *	7,800		326

			12,910


Industrials — 9.3%
Alliant Techsystems * (A)	5,200		423
Avery Dennison	9,400		342
C.H. Robinson Worldwide (A)	6,700		374
Carlisle	13,300		507
Cintas	1,000		28
Crane	6,900		245
Delta Air Lines *	11,800		172
Donaldson	3,300		149
Dover	9,100		425
DynCorp International, Cl A *	2,200		25
Eaton	6,400		485
Equifax	5,200		186
Flowserve	1,600		176
Hubbell, Cl B	14,500		731
IDEX	6,100		202
ITT	17,900		960
Joy Global	16,400		928
Kansas City Southern *	1,300		47
KBR	7,900		175
Kennametal	600		17
L-3 Communications Holdings	12,400		1,136
Lennox International	1,900		84
Masco	18,600		289
McDermott International *	17,700		476
Northrop Grumman	4,400		289
Oshkosh Truck	26,800		1,081
Owens Corning *	10,300		262
Pall	15,300		620
Parker Hannifin	8,300		537
Pentair	2,600		93
Raytheon	4,600		263
Republic Services	11,900		346


Description	Shares	Market Value ($ Thousands)

Robert Half International	2,200	$	67
Rockwell Automation	10,300		581
Roper Industries	3,100		179
RR Donnelley & Sons	8,800		188
Ryder System	1,400		54
Schawk, Cl A	1,100		20
Shaw Group *	16,100		554
Southwest Airlines	30,800		407
Stericycle * (A)	3,600		196
Thomas & Betts *	5,100		200
Timken	24,200		726
Toro (A)	5,000		246
URS *	10,800		536
WW Grainger	5,100		552

			16,579


Information Technology — 12.7%
Altera	9,800		238
Amdocs *	21,900		660
Analog Devices	2,800		81
Arrow Electronics *	25,200		759
Avnet *	33,500		1,005
BMC Software *	14,200		540
Brightpoint *	2,000		15
Broadcom, Cl A	1,600		53
Broadridge Financial Solutions	20,700		443
CA	34,600		812
Cirrus Logic *	2,200		18
Computer Sciences *	15,600		850
Compuware *	57,700		485
DST Systems (A)	17,500		725
F5 Networks *	4,500		277
Factset Research Systems (A)	1,300		95
Fairchild Semiconductor International *	20,700		220
Fidelity National Information Services	22,520		528
Fiserv *	6,700		340
Harris	17,600		836
Hewitt Associates, Cl A *	8,800		350
IAC *	20,200		459
Ingram Micro, Cl A *	8,400		147
Integrated Device Technology *	60,900		373
Intersil, Cl A	5,900		87
Intuit *	16,900		580
Iron Mountain	2,700		74
Jabil Circuit	63,100		1,022
Lam Research *	11,000		411
Lender Processing Services	18,700		706
Linear Technology (A)	12,600		356
LSI Logic *	24,900		152
Marvell Technology Group *	35,900		732
Maxim Integrated Products	11,600		225
McAfee *	10,400		417
Micron Technology * (A)	87,000		904
National Instruments (A)	6,200		207
National Semiconductor (A)	26,400		382
Novatel Wireless *	6,000		40
Nvidia *	17,500		304
PMC - Sierra *	6,200		55
Riverbed Technology *	2,800		79
SAIC *	4,200		74


Description	Shares	Market Value ($ Thousands)

SanDisk *	4,400	$	152
Seagate Technology	57,800		1,055
Silicon Laboratories * (A)	5,500		262
Symantec *	10,400		176
Tech Data *	11,100		465
Teradata *	18,400		532
Teradyne *	3,400		38
Travelzoo *	1,300		20
Vishay Intertechnology *	63,300		648
Western Digital *	33,900		1,322
Western Union	4,100		70
Xerox	57,100		557
Xilinx	7,200		184
Zoran *	1,000		11

			22,608


Materials — 4.6%
Alcoa	9,200		131
Ashland	19,300		1,019
Ball	2,800		150
Celanese, Ser A	25,500		812
Crown Holdings *	25,200		679
Cytec Industries	10,700		500
Eastman Chemical	4,200		267
International Paper	28,700		706
Lubrizol	12,200		1,119
Nalco Holding	19,700		479
NewMarket	1,000		103
Owens-Illinois *	3,800		135
Pactiv *	2,300		58
Reliance Steel & Aluminum	13,500		665
RPM International	1,500		32
Solutia *	1,100		18
Sonoco Products	17,200		530
Spartech *	5,300		62
Steel Dynamics	1,600		28
Valspar	5,800		171
Walter Energy (A)	6,700		618

			8,282


Telecommunication Services — 0.5%
Atlantic Telegraph-Network	1,100		49
CenturyTel	8,200		291
Frontier Communications (A)	19,200		143
Qwest Communications International	21,700		113
Telephone & Data Systems	1,900		64
Windstream	18,700		204

			864


Utilities — 5.3%
AES *	65,000		715
AGL Resources	4,200		162
Allegheny Energy	10,700		246
Alliant Energy	400		13
Ameren	10,200		266
American Water Works	9,700		211
Aqua America (A)	11,200		197
Atmos Energy	4,500		129
CMS Energy (A)	4,800		74
Consolidated Edison	4,600		205
Constellation Energy Group	29,600		1,039
DPL	15,600		424


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

DTE Energy		17,800	$	794
Edison International		15,500		530
Energen		15,700		731
MDU Resources Group		22,200		479
Mirant *		17,700		192
NRG Energy *		10,500		219
NSTAR		8,000		283
Oneok		13,100		598
Pepco Holdings		3,900		67
Pinnacle West Capital		9,100		343
PPL		8,900		247
RRI Energy *		7,800		29
Sempra Energy		10,000		499
Southern Union		16,100		408
UGI		8,900		236
Xcel Energy		8,700		185

				9,521

Total Common Stock (Cost $109,525) ($ Thousands)				134,453


CASH EQUIVALENT — 22.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		40,839,175		40,839

Total Cash Equivalent (Cost $40,839) ($ Thousands)				40,839


AFFILIATED PARTNERSHIP — 3.1%
SEI Liquidity Fund, L.P., 0.210% (B)**††		5,856,421		5,548

Total Affiliated Partnership (Cost $5,857) ($ Thousands)				5,548


U.S. TREASURY OBLIGATION (C) (D) — 2.1%
U.S. Treasury Bills
0.121%, 06/03/10	$	3,854		3,853

Total U.S. Treasury Obligation (Cost $3,853) ($ Thousands)				3,853

Total Investments — 103.4% (Cost $160,074) ($ Thousands)			$	184,693

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P Mid 400 Index E-MINI	560	Jun-2010	$	(28	)

Percentages are based on Net Assets of $178,618 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at March 31, 2010. The total market value of securities on loan at March 31, 2010 was $5,657 ($ Thousands).

(B)

This security was purchased with cash collateral received from securities on loan. The total value of such securities as of March 31, 2010 was $5,548 ($ Thousands).

(C)

The rate reported is the effective yield at the time of purchase.

(D)

Security, or portion there, has been pledged as collateral on open futures.

Cl — Class

L.P. — Limited Partnership

Ser — Series


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 95.4%

Consumer Discretionary — 8.1%
Aaron Rents	49,300	$	1,644
Amazon.com *	33,471		4,543
Buckle	27,000		992
Burger King Holdings	69,900		1,486
Career Education *	45,300		1,433
Carter’s *	54,300		1,637
Choice Hotels International	48,100		1,674
Cinemark Holdings	86,000		1,577
DIRECTV, Cl A *	51,900		1,755
Discovery Communications, Cl A *	52,700		1,781
DreamWorks Animation SKG, Cl A *	43,500		1,713
GameStop, Cl A *	21,400		469
Genuine Parts	24,800		1,048
Gildan Activewear *	28,600		752
H&R Block	32,000		570
ITT Educational Services *	13,800		1,552
John Wiley & Sons, Cl A	13,300		576
Panera Bread, Cl A *	11,100		849
Shaw Communications, Cl B	43,900		872
Strayer Education	10,371		2,526
Tractor Supply	30,600		1,776

			31,225


Consumer Staples — 15.1%
Altria Group	196,175		4,025
Brown-Forman, Cl B	73,714		4,382
Campbell Soup	73,907		2,613
Church & Dwight	27,100		1,814
Dean Foods *	75,900		1,191
Flowers Foods	57,500		1,423
General Mills	27,400		1,940
Hansen Natural *	19,400		842
Hershey	76,186		3,261
Hormel Foods	147,215		6,184
Kellogg	32,800		1,752
Kimberly-Clark	44,866		2,821
Lorillard	60,366		4,542
McCormick	39,375		1,510
PepsiCo	5,642		373
Philip Morris International	87,091		4,543
Ralcorp Holdings *	22,600		1,532
Reynolds American	83,320		4,498
Ruddick	45,000		1,424
Safeway	8,383		208
Sara Lee	69,713		971
SYSCO	152,839		4,509
Tyson Foods, Cl A	81,650		1,564

			57,922


Energy — 3.6%
Chevron	26,900		2,040
CNX Gas *	46,500		1,769
ConocoPhillips	2,273		116
Dresser-Rand Group *	27,500		864
Enbridge	36,400		1,738
Exxon Mobil	29,200		1,956
FMC Technologies *	25,100		1,622
Murphy Oil	15,518		872
PetroHawk Energy *	28,100		570


Description	Shares	Market Value ($ Thousands)

Teekay Shipping	34,300	$	780
TransCanada	44,300		1,629

			13,956



Financials — 13.6%
Alexandria Real Estate Equities †	10,000		676
Alleghany *	2,040		593
Bancorpsouth	59,100		1,239
Bank of Hawaii	95,373		4,287
BOK Financial	15,311		803
Capitol Federal Financial	57,298		2,147
Commerce Bancshares	133,173		5,479
Corporate Office Properties Trust †	39,700		1,593
Cullen/Frost Bankers	66,031		3,684
Endurance Specialty Holdings	38,400		1,427
Erie Indemnity, Cl A	42,500		1,833
Essex Property Trust †	19,100		1,718
Federated Investors, Cl B	58,600		1,546
First Citizens BancShares, Cl A	11,436		2,273
First Niagara Financial Group	38,408		546
Health Care †	36,700		1,660
Hudson City Bancorp	114,000		1,614
MFA Financial †	113,400		835
NASDAQ OMX Group *	30,300		640
National Retail Properties †	46,100		1,052
Nationwide Health Properties †	28,900		1,016
People’s United Financial	194,780		3,046
ProAssurance *	20,500		1,200
Prosperity Bancshares	35,600		1,459
Realty Income †	57,200		1,756
RenaissanceRe Holdings	30,400		1,725
TFS Financial	238,535		3,185
UMB Financial	31,300		1,271
Washington Real Estate Investment Trust †	51,700		1,579
Wesco Financial	630		243

			52,125


Health Care — 22.5%
Abbott Laboratories	102,280		5,388
Allscripts Healthcare Solutions *	8,178		160
AmerisourceBergen	218,226		6,311
Amgen *	76,076		4,546
Baxter International	55,195		3,212
Becton Dickinson	57,460		4,524
Biogen Idec *	78,674		4,513
C.R. Bard	49,614		4,298
Cardinal Health	125,211		4,511
Celgene *	13,000		805
Edwards Lifesciences *	19,344		1,913
Eli Lilly	40,374		1,462
Endo Pharmaceuticals Holdings *	67,500		1,599
Forest Laboratories *	123,040		3,859
Genzyme *	95,329		4,941
Gilead Sciences *	91,190		4,147
Henry Schein *	23,226		1,368
Johnson & Johnson	69,099		4,505
Kinetic Concepts *	22,800		1,090
Laboratory Corp of America Holdings *	9,900		750
LifePoint Hospitals *	19,200		706
McKesson	98,316		6,461


Description	Shares	Market Value ($ Thousands)

Medco Health Solutions *	8,508	$	549
Mettler Toledo International *	5,600		611
Millipore *	29,987		3,167
Myriad Genetics *	54,800		1,318
Owens & Minor	29,500		1,369
Patterson	57,200		1,776
Perrigo	17,500		1,028
Techne	63,609		4,051
United Therapeutics *	24,300		1,345

			86,283


Industrials — 3.9%
Alliant Techsystems *	16,400		1,333
C.H. Robinson Worldwide	29,300		1,636
Copa Holdings, Cl A	12,407		754
FTI Consulting *	27,800		1,093
Gardner Denver	24,600		1,083
IHS, Cl A *	10,200		545
KBR	69,200		1,534
Landstar System	37,900		1,591
Lennox International	33,300		1,476
Nordson	17,400		1,182
Northrop Grumman	7,284		478
Raytheon	13,000		743
Rollins	65,800		1,427

			14,875


Information Technology — 11.2%
Adtran	52,100		1,373
Analog Devices	114,926		3,312
AVX	47,700		677
Broadcom, Cl A	1,001		33
Diebold	23,500		747
eBay *	1,858		50
Flir Systems *	18,600		525
Google, Cl A *	7,534		4,272
Harris	33,700		1,600
Hewitt Associates, Cl A *	41,900		1,667
IAC *	48,620		1,106
Ingram Micro, Cl A *	94,404		1,657
Intel	204,628		4,555
International Business Machines	35,604		4,566
Jabil Circuit	6,057		98
Lender Processing Services	16,093		607
Mantech International, Cl A *	26,200		1,279
Microchip Technology	33,175		934
NeuStar, Cl A *	40,700		1,026
SAIC *	40,450		716
Sybase *	36,800		1,716
Tech Data *	94,708		3,968
Texas Instruments	169,858		4,157
Xilinx	63,967		1,631
Zebra Technologies, Cl A *	21,300		630

			42,902


Materials — 3.2%
Aptargroup	37,800		1,488
Compass Minerals International	19,000		1,524
Greif, Cl A	22,600		1,241
Intrepid Potash *	43,600		1,323
Newmont Mining	69,372		3,533
Sensient Technologies	53,000		1,540


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Silgan Holdings		26,300	$	1,584

				12,233



Telecommunication Services — 2.5%
AT&T		79,900		2,065
BCE		54,000		1,585
MetroPCS Communications *		189,500		1,341
Rogers Communications, Cl B		59,300		2,024
SBA Communications, Cl A *		21,400		772
Verizon Communications		60,330		1,871

				9,658


Utilities — 11.7%
AGL Resources		82,355		3,183
Alliant Energy		50,200		1,670
Atmos Energy		125,435		3,584
Consolidated Edison		39,300		1,750
DTE Energy		35,500		1,583
Edison International		46,700		1,596
Energen		35,900		1,670
Hawaiian Electric Industries		35,500		797
Idacorp		42,700		1,478
Nicor		96,596		4,049
NSTAR		98,046		3,473
OGE Energy		45,900		1,787
Pepco Holdings		60,200		1,033
PG&E		15,500		658
Piedmont Natural Gas		53,200		1,467
PPL		49,011		1,358
SCANA		20,706		778
TECO Energy		105,800		1,681
UGI		92,584		2,457
Vectren		105,405		2,606
WGL Holdings		40,100		1,390
Wisconsin Energy		94,324		4,661

				44,709

Total Common Stock (Cost $306,425) ($ Thousands)				365,888


CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		9,834,857		9,835

Total Cash Equivalent (Cost $9,835) ($ Thousands)				9,835


U.S. TREASURY OBLIGATIONS — 0.2%
U.S. Treasury Bills
0.112%, 06/03/10 (A) (B)	$	829		829
U.S. Cash Management Bill
0.000%, 06/10/10 (B)		59		59

Total U.S. Treasury Obligations (Cost $888) ($ Thousands)				888

Total Investments — 98.2% (Cost $317,148) ($ Thousands)			$	376,611

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index E- MINI	182	Jun-2010	$	90

Percentages are based on Net Assets of $383,651 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

The rate reported is the effective yield at the time of purchase.

(B)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class


Description	Shares	Market Value ($ Thousands)

COMMON STOCK—94.2%

Australia—5.1%
AGL Energy	14,711	$	203
Amcor	82,898		486
Australia & New Zealand Banking Group	18,141		422
Cape Lambert Resources *	206,463		93
Centennial Coal	107,804		422
CFS Retail Property Trust †	91,638		158
Coal & Allied Industries	7,478		617
CSL	23,427		783
Decmil Group *	77,458		113
Forge Group	4,334		12
Foster’s Group	201,593		979
Gujarat NRE Coking Coal *	24,727		16
McPherson’s	16,139		46
Metcash	96,419		367
Mount Gibson Iron *	56,386		97
Origin Energy	101,311		1,539
RHG *	89,178		50
Silver Lake Resources *	34,271		39
Specialty Fashion Group	19,378		27
TABCORP Holdings	292,471		1,852
Tatts Group	719,343		1,624
Telstra	29,975		82
Wesfarmers	112,832		3,298

			13,325


Belgium—2.1%
Belgacom	23,111		904
Cofinimmo †	2,631		372
Colruyt	11,515		2,840
Delhaize Group	814		65
Intervest Offices †	868		28
Mobistar	21,195		1,307

			5,516


Canada—11.8%
Aastra Technologies	1,100		35
Alimentation Couche Tard, Cl B	177,900		3,246
BCE	103,400		3,039
Canadian Tire, Cl A	4,000		219
Canadian Utilities, Cl A	9,700		469
Cash Store Financial Services	3,100		46
CGI Group, Cl A *	138,500		2,075
Cott *	20,000		156
Empire, Cl A	36,200		1,880
Enbridge	52,200		2,492
Fairfax Financial Holdings	600		226
Fortis	38,200		1,088
Garda World Security, Cl A *	18,000		191
Genworth MI Canada	3,431		93
George Weston	20,900		1,445
Goldcorp	50,700		1,897
Laurentian Bank of Canada	22,200		943
MacDonald Dettwiler & Associates *	2,800		104
Manitoba Telecom Services	22,300		701
Metro, Cl A	46,200		1,917
National Bank of Canada	11,700		713
Provident Energy Trust	17,200		134
Rogers Communications, Cl B	34,200		1,169


Description	Shares	Market Value ($ Thousands)

Royal Bank of Canada	7,500	$	440
Saputo	100,700		2,936
Shoppers Drug Mart	27,500		1,183
SXC Health Solutions *	1,356		91
TMX Group	13,100		386
Toronto-Dominion Bank	16,100		1,201
West Energy *	13,000		64

			30,579


Cayman Islands—0.0%
Hutchison Telecommunications International *	51,000		14
Pacific Textile Holdings	144,000		91

			105


Denmark—1.7%
Coloplast, Cl B	18,992		2,095
Novo Nordisk, Cl B	29,483		2,292

			4,387


Finland—0.9%
Componenta	2,696		16
Oriola-KD	19,184		126
Orion, Cl B	67,842		1,504
Tietoenator	23,696		550

			2,196


France—1.9%
Boiron	5,001		213
Bonduelle S.C.A.	533		60
France Telecom	69,456		1,665
PagesJaunes Groupe	856		10
Sanofi-Aventis	16,432		1,227
Societe BIC	23,393		1,794

			4,969


Germany—1.7%
Balda *	29,337		133
Beiersdorf	16,959		1,016
Deutsche Telekom	87,769		1,192
Hannover Rueckversicherung	4,272		211
Hornbach Holding	313		34
Software	9,486		1,132
Suedzucker	26,720		591

			4,309


Greece—0.1%
Public Power	12,644		222


Hong Kong—2.7%
Cheung Kong Infrastructure Holdings	78,000		302
CLP Holdings	470,500		3,363
HongKong Electric Holdings	399,500		2,369
Link †	369,500		911
NAM TAI Electronics *	16,900		85

			7,030


Ireland—0.4%
Kerry Group, Cl A	2,259		70
Warner Chilcott, Cl A *	41,411		1,058

			1,128


Italy—2.2%
CSP International Fashion Group	6,238		8


Description	Shares	Market Value ($ Thousands)

DiaSorin	15,198	$	573
Parmalat	397,107		1,089
Snam Rete Gas	677,461		3,440
Terna Rete Elettrica Nazionale	133,119		577

			5,687


Japan—21.1%
77 Bank	25,000		143
ABC-Mart	18,100		579
Able	3,000		24
Adores	12,000		22
Ain Pharmaciez	1,200		35
Aisin Seiki	20,700		620
Ajis	1,300		21
Amiyaki Tei	13		37
Asahi Breweries	133,700		2,508
Bank of Kyoto	35,000		322
Benesse	36,200		1,569
BML	2,800		71
Chubu Electric Power	94,700		2,368
Chugoku Bank	13,000		176
Combi	9,500		71
Dainippon Sumitomo Pharma	153,900		1,412
Doshisha	2,400		62
Faith	242		29
FamilyMart	30,700		978
Fuji	1,900		37
Fuji Electric Holdings	789,000		2,153
Fuji Oil	77,500		1,096
FUJI SOFT	8,000		134
Fukuyama Transporting	71,000		355
Hachijuni Bank	34,000		194
Haruyama Trading	2,000		9
Hazama	14,000		12
Hibiya Engineering	2,500		22
Hokkaido Electric Power	6,500		125
Hokuriku Electric Power	38,500		847
Iida Home Max	1,900		31
Ito En	40,800		632
Itochu Techno-Solutions	3,700		122
Iyo Bank	47,000		447
Kagawa Bank	10,000		34
Kamigumi	115,000		925
Kansai Electric Power	105,100		2,409
Kansai Paint	32,000		261
KDDI	93		482
Keihin Electric Express Railway	174,000		1,430
Kintetsu	115,000		358
Koito Manufacturing	73,000		1,085
Kojima	20,300		182
Kokuyo	27,300		227
Komatsu Seiren	5,000		20
Kyushu Electric Power	70,600		1,538
Lawson	47,400		2,024
Lion	167,000		842
Mabuchi Motor	200		11
Marudai Food	82,000		234
Maruzen Showa Unyu	7,000		26
McDonald’s Holdings Japan	8,000		163
Miraca Holdings	24,500		747
Morinaga Milk Industry	83,025		327
MOS Food Services	2,000		33


Description	Shares	Market Value ($ Thousands)

NEC Mobiling	1,700	$	41
NET One Systems	107		136
Nichirei	45,000		168
Nihon Shokuhin Kako	7,000		47
Nippon Express	33,000		142
Nippon Meat Packers	35,000		443
Nippon Telegraph & Telephone	28,100		1,185
Nippon Television Network	2,520		343
Nishi-Nippon City Bank	50,000		148
Nisshin Seifun Group	30,500		394
Nitori	17,000		1,292
Noevir	4,800		50
NTT DoCoMo	2,415		3,680
Ohsho Food Service	3,400		89
Oita Bank	33,082		122
Okumura	68,000		238
Ono Pharmaceutical	3,400		151
Oracle Japan	3,900		181
Oriental Land	3,600		251
Oriental Yeast	3,000		14
Osaka Gas	78,000		280
Prima Meat Packers	145,000		154
Rinnai	5,600		294
Ryoshoku	3,000		70
Sankyo	31,200		1,544
Santen Pharmaceutical	16,500		496
Shikoku Electric Power	35,500		1,006
Shimachu	4,800		102
Shinkin Central Bank	18		31
Shizuoka Gas	46,500		266
Sogo Medical	4,600		101
Studio Alice	10,500		94
Taisho Pharmaceutical	1,000		18
Takeda Pharmaceutical	19,900		876
Tobu Railway	177,000		983
Toho Gas	268,000		1,463
Tohoku Electric Power	1,700		36
Tokyo Electric Power	47,800		1,275
Tokyo Gas	267,000		1,177
Tokyo Style	5,000		35
TonenGeneral Sekiyu	36,000		304
Toyo Suisan Kaisha	11,000		285
Trancom	1,300		22
Tsumura	3,100		90
Unicharm	11,200		1,082
Wacoal Holdings	48,000		600
Yamato Holdings	117,100		1,647
Yamazaki Baking	54,000		669

			54,736


Luxembourg—0.2%
ArcelorMittal	9,662		423


Netherlands—1.0%
Royal Dutch Shell, Cl A	41,098		1,191
Royal KPN	71,768		1,139
Teleplan International *	116,145		359

			2,689


New Zealand—0.0%
Auckland International Airport	15,257		21
Fisher & Paykel Healthcare	24,293		57


Description	Shares	Market Value ($ Thousands)

Restaurant Brands New Zealand	21,157	$	30

			108


Singapore—0.1%
Broadway Industrial Group *	191,000		130


Spain—0.4%
Telefonica	43,681		1,037


Sweden—1.2%
Electrolux	107,721		2,469
Investor, Cl B	33,508		645

			3,114


Switzerland—1.5%
Bell Holding	13		20
Emmi	489		69
LifeWatch *	199		3
Nestle	24,211		1,242
Novartis	27,245		1,474
Schindler Holding	460		40
Synthes	7,189		899

			3,747


United Kingdom—6.4%
Associated British Foods	38,987		579
AstraZeneca	90,347		4,028
BAE Systems	249,721		1,406
BP	444,355		4,202
Fiberweb	4,598		4
GlaxoSmithKline	25,705		493
Imperial Tobacco Group	12,919		394
JD Sports Fashion	2,922		29
LSL Property Services	9,779		45
Mcbride	13,930		48
Rank Group	56,915		101
Reckitt Benckiser Group	59,547		3,267
Robert Wiseman Dairies	15,028		113
Smith & Nephew	76,581		763
TUI Travel	70,749		324
WM Morrison Supermarkets	187,424		834

			16,630


United States—31.7%
Abbott Laboratories	49,000		2,581
Alaska Air Group *	14,300		590
Allied Healthcare International *	8,200		22
Altria Group	58,348		1,198
American Italian Pasta, Cl A *	4,210		164
AmerisourceBergen	22,145		640
Amgen *	30,289		1,810
Annaly Capital Management †	171,800		2,952
Apollo Group, Cl A *	13,681		839
Archer-Daniels-Midland	38,100		1,101
AT&T	45,111		1,166
Bristol-Myers Squibb	45,100		1,204
C.R. Bard	30,700		2,659
Campbell Soup	67,969		2,403
Capella Education *	13,382		1,242
Career Education *	5,693		180
Cephalon *	14,608		990
Chevron	16,058		1,218
Clorox	40,200		2,579


Description	Shares	Market Value ($ Thousands)

Compass Minerals International	3,655	$	293
Constellation Energy Group	56,400		1,980
Corinthian Colleges *	12,741		224
Coventry Health Care *	100		2
Del Monte Foods	15,623		228
DeVry	8,658		564
Dollar Tree *	12,207		723
Dun & Bradstreet	6,900		514
Dynamics Research *	6,300		71
Emergency Medical Services, Cl A *	7,676		434
Endo Pharmaceuticals Holdings *	15,025		356
ePlus *	1,500		26
Exxon Mobil	17,845		1,195
Family Dollar Stores	80,949		2,963
Forest Laboratories *	38,600		1,211
General Mills	45,900		3,249
Gilead Sciences *	23,147		1,053
Haverty Furniture	2,100		34
Hormel Foods	64,281		2,701
Insmed *	260,759		308
International Business Machines	9,500		1,218
International Shipholding	20,260		595
ITT Educational Services *	7,582		853
John B. Sanfilippo & Son *	7,000		103
Johnson & Johnson	18,600		1,213
Kimberly-Clark	25,626		1,611
Kinder Morgan Management *	65		4
Kirkland’s *	2,553		53
Lancaster Colony	17,625		1,039
Lincoln Educational Services *	33,540		849
Lorillard	25,640		1,929
Magellan Health Services *	34,700		1,509
Mantech International, Cl A *	11,447		559
MCG Capital *	6,600		34
Medco Health Solutions *	20,500		1,324
Metropolitan Health Networks *	22,529		73
Microsoft	31,724		929
Miller Industries	13,342		166
Mylan Laboratories *	53,778		1,221
Odyssey HealthCare *	29,054		526
Par Pharmaceutical *	43,241		1,072
Perrigo	7,226		424
Pfizer	63,500		1,089
PG&E	21,400		908
Pinnacle Airlines *	6,723		50
Procter & Gamble	20,000		1,265
Protection One *	4,988		57
Providence Service *	24,903		378
Radio One, Cl D *	23,046		70
Raytheon	50,800		2,902
Reynolds American	7,800		421
Ross Stores	23,600		1,262
Rural *	21,721		158
SAIC *	63,100		1,117
Santarus *	16,896		91
Seneca Foods, Cl A *	24,525		714
Sturm Ruger	7,806		94
Sunoco Logistics Partners	1,062		73
Tessco Technologies	1,531		36
TJX	61,000		2,594
TreeHouse Foods *	24,643		1,081


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

UnitedHealth Group		6,265	$	205
Viropharma *		28,127		383
Wal-Mart Stores		66,600		3,703
Watson Pharmaceuticals *		11,600		485
West Marine *		25,618		278
Western Digital *		35,600		1,388
World Fuel Services		20,503		546

				82,319

Total Common Stock (Cost $223,915) ($ Thousands)				244,386


CASH EQUIVALENT—4.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070%**††		11,262,948		11,263

Total Cash Equivalent (Cost $11,263) ($ Thousands)				11,263


U.S. TREASURY OBLIGATIONS — 0.4%
U.S. Treasury Bills
0.137%, 06/03/10 (A) (B)	$	928		928
U.S. Cash Management Bills
0.000%, 06/10/10 (B)		55		55

Total U.S. Treasury Obligations (Cost $983) ($ Thousands)				983

Total Investments — 98.9% (Cost $236,161) ($ Thousands)			$	256,632

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
DJ Euro Stoxx 50
Index	47	Jun-2010	$	13
FTSE 100 Index	15	Jun-2010		8
Hang Seng Index	1	Apr-2010		1
S&P 500 Composite
Index	17	Jun-2000		68
SPI 200 Index	3	Jun-2010		1

			$	91

A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2010, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
4/28/10	AUD	12,539	USD	11,299	$	(175	)
4/28/10	CAD	33,388	USD	32,475		(441	)
4/28/10	EUR	27,674	USD	37,084		(358	)
4/28/10	GBP	11,582	USD	17,257		(307	)
4/28/10	JPY	5,751,491	USD	62,147		574
4/28/10	USD	153	AUD	167		1
4/28/10	USD	323	CAD	329		1
4/28/10	USD	539	EUR	400		2
4/28/10	USD	209	GBP	139		2
4/28/10	USD	76	JPY	7,046		(1	)

					$	(702	)

Percentages are based on Net Assets of $259,365 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

The rate reported is the effective yield at the time of purchase.

(B)

Security, or portion thereof, has been pledged as collateral on open futures.

AUD — Australian Dollar

CAD — Canadian Dollar

Cl — Class

EUR — Euro

GBP — British Pound Sterling

JPY — Japanese Yen

USD — United States Dollar


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 95.9%

Consumer Discretionary — 7.9%
Aaron Rents	17,300	$	577
Autoliv	8,000		412
Buckle	8,800		324
Burger King Holdings	33,100		704
Career Education *	26,000		823
Carter’s *	27,700		835
Choice Hotels International	18,600		647
Cinemark Holdings	43,300		794
DIRECTV, Cl A *	26,400		893
Discovery Communications, Cl A *	24,600		831
DreamWorks Animation SKG, Cl A *	18,400		725
GameStop, Cl A *	23,200		508
Genuine Parts	20,100		849
Gildan Activewear *	17,100		450
Hillenbrand	24,129		530
ITT Educational Services *	6,700		753
John Wiley & Sons, Cl A	7,900		342
Panera Bread, Cl A *	7,400		566
priceline.com *	10,422		2,658
Shaw Communications, Cl B	23,700		471
Strayer Education	1,600		390
Tractor Supply	12,700		737

			15,819


Consumer Staples — 22.7%
Altria Group	115,481		2,370
Brown-Forman, Cl B	25,558		1,519
Campbell Soup	32,391		1,145
Church & Dwight	42,119		2,820
Clorox	15,349		984
Coca-Cola	33,334		1,833
Colgate-Palmolive	28,403		2,422
Dean Foods *	39,600		621
Flowers Foods	28,100		695
General Mills	43,826		3,103
Hansen Natural *	12,100		525
Hershey	33,694		1,442
HJ Heinz	25,538		1,165
Hormel Foods	58,497		2,458
JM Smucker	27,275		1,644
Kellogg	53,143		2,839
Kimberly-Clark	43,911		2,761
Kroger	3,751		81
Lorillard	31,111		2,341
McCormick	41,483		1,591
PepsiCo	17,439		1,154
Philip Morris International	43,777		2,283
Procter & Gamble	28,324		1,792
Ralcorp Holdings *	11,700		793
Reynolds American	45,068		2,433
Ruddick	21,900		693
Wal-Mart Stores	33,220		1,847

			45,354


Energy — 3.7%
Chevron	12,400		941
CNX Gas *	26,600		1,012
Dresser-Rand Group *	14,800		465
Enbridge	18,300		874


Description	Shares	Market Value ($ Thousands)

Exxon Mobil	13,300	$	891
FMC Technologies *	11,700		756
Murphy Oil	7,800		438
PetroHawk Energy *	18,300		371
SEACOR Holdings *	3,500		282
Teekay Shipping	23,700		539
TransCanada	22,500		827

			7,396


Financials — 13.1%
Alexandria Real Estate Equities †	6,300		426
Alleghany *	1,224		356
Bancorpsouth	27,200		570
Capitol Federal Financial	69,452		2,602
Commerce Bancshares	47,924		1,972
Corporate Office Properties Trust †	18,000		722
Endurance Specialty Holdings	21,000		780
Erie Indemnity, Cl A	16,600		716
Essex Property Trust †	9,500		855
Federated Investors, Cl B	28,300		747
First Citizens BancShares, Cl A	3,900		775
Health Care †	19,100		864
Hudson City Bancorp	59,100		837
MFA Financial †	43,700		322
NASDAQ OMX Group *	20,500		433
National Retail Properties †	24,800		566
Nationwide Health Properties †	23,000		808
PartnerRe	4,000		319
People’s United Financial	133,778		2,092
Platinum Underwriters Holdings	7,100		263
ProAssurance *	12,500		732
Prosperity Bancshares	17,500		717
Realty Income †	27,500		844
RenaissanceRe Holdings	13,100		744
TFS Financial	234,620		3,132
UMB Financial	13,500		548
Washington Real Estate Investment Trust †	24,100		736
Wesco Financial	4,402		1,697

			26,175


Health Care — 15.8%
Abbott Laboratories	40,451		2,131
Allscripts Healthcare Solutions *	125,429		2,454
AmerisourceBergen	92,948		2,688
Becton Dickinson	10,075		793
C.R. Bard	14,896		1,290
Celgene *	4,500		279
Dentsply International	47,105		1,642
Edwards Lifesciences *	15,744		1,557
Eli Lilly	23,462		850
Endo Pharmaceuticals Holdings *	33,600		796
Genzyme *	15,100		783
Henry Schein *	36,204		2,132
Idexx Laboratories *	34,700		1,997
Johnson & Johnson	31,109		2,028
Kinetic Concepts *	14,400		688
Laboratory Corp of America Holdings *	18,250		1,382
LifePoint Hospitals *	11,200		412
McKesson	13,900		913
Mettler Toledo International *	2,700		295


Description	Shares	Market Value ($ Thousands)

Myriad Genetics *	30,100	$	724
Owens & Minor	16,400		761
Patterson	28,700		891
Perrigo	10,100		593
Pfizer	41,574		713
Quest Diagnostics	9,259		540
Techne	24,870		1,584
United Therapeutics *	13,600		752

			31,668


Industrials — 5.5%
Alliant Techsystems *	8,600		699
C.H. Robinson Worldwide	13,100		732
Dun & Bradstreet	18,905		1,407
FTI Consulting *	16,400		645
Gardner Denver	14,400		634
IHS, Cl A *	6,100		326
KBR	31,300		693
Landstar System	16,500		693
Lennox International	18,600		824
Nordson	7,700		523
Raytheon	10,200		583
Rollins	29,800		646
Stericycle *	37,446		2,041
United Parcel Service, Cl B	9,255		596

			11,042


Information Technology — 9.5%
Adtran	24,500		645
Applied Materials	35,958		485
Automatic Data Processing	5,200		231
AVX	22,200		315
Cree *	20,029		1,406
Diebold	31,849		1,012
Flir Systems *	10,200		288
Google, Cl A *	4,572		2,592
Harris	14,000		665
Hewitt Associates, Cl A *	16,800		668
IAC *	102,041		2,321
Ingram Micro, Cl A *	41,500		728
Linear Technology	12,871		364
Mantech International, Cl A *	13,000		635
Microchip Technology	33,447		942
National Instruments	12,748		425
NeuStar, Cl A *	23,600		595
SAIC *	19,400		344
Sybase *	19,800		923
Tech Data *	34,512		1,446
WebMD Health, Cl A *	9,696		450
Zebra Technologies, Cl A *	48,247		1,428

			18,908


Materials — 3.8%
Aptargroup	15,400		606
Compass Minerals International	9,800		786
Greif, Cl A	12,700		697
Intrepid Potash *	27,500		834
Newmont Mining	45,183		2,301
Reliance Steel & Aluminum	6,000		296
Royal Gold	16,142		746
Sensient Technologies	19,100		555
Silgan Holdings	12,400		747

			7,568


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Telecommunication Services — 2.7%
AT&T		37,900	$	979
BCE		20,700		608
CenturyTel		19,103		677
MetroPCS Communications *		111,300		788
Rogers Communications, Cl B		25,200		860
SBA Communications, Cl A *		9,700		350
Telephone & Data Systems		4,700		159
Verizon Communications		30,300		940

				5,361


Utilities — 11.2%
AGL Resources		19,400		750
Alliant Energy		23,300		775
Atmos Energy		21,600		617
Consolidated Edison		24,656		1,098
DTE Energy		20,700		923
Edison International		23,600		806
Energen		6,500		302
Hawaiian Electric Industries		58,670		1,317
Idacorp		21,600		748
Integrys Energy Group		10,900		517
New Jersey Resources		8,700		327
Nicor		17,100		717
NSTAR		78,413		2,777
OGE Energy		51,903		2,021
Pepco Holdings		35,000		600
PG&E		12,300		522
Piedmont Natural Gas		24,800		684
SCANA		33,337		1,253
Sempra Energy		12,900		644
Southern		26,142		867
TECO Energy		42,300		672
Vectren		53,148		1,314
WGL Holdings		15,500		537
Wisconsin Energy		32,605		1,611

				22,399

Total Common Stock (Cost $157,664) ($ Thousands)				191,690


CASH EQUIVALENT — 3.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.070%**††		7,790,116		7,790

Total Cash Equivalent (Cost $7,790) ($ Thousands)				7,790


U.S. TREASURY OBLIGATION (A) (B) — 0.3% U.S. Treasury Bills
0.114%, 06/03/10	$	545		545

Total U.S. Treasury Obligation (Cost $545) ($ Thousands)				545

Total Investments — 100.1% (Cost $165,999) ($ Thousands)			$	200,025

A summary of the open futures contracts held by the Fund at March 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI	70	Jun-2010	$	66

Percentages are based on Net Assets of $199,921 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2010.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

The rate reported is the effective yield at the time of purchase.

(B)

Security, or portion thereof, has been pledged as collateral on open futures.

Cl — Class

The Registrant has a standing Nominating Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

(a) The certifying officers, whose certifications are included herewith, have evaluated the Registrant’s disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the Registrant’s disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the Registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.

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

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



Summary Schedules of Investments/Schedules of Investments		1

Statements of Assets and Liabilities		102

Statements of Operations		106

Statements of Changes in Net Assets		110

Financial Highlights		116

Notes to Financial Statements		120

Disclosure of Fund Expenses		136

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements		138


SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2010		1


	Common Stock
Beginning balance as of October 1, 2009	$	451
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		24
Net purchases/sales		—
Net transfer in and/or out of Level 3		—

Ending balance as of March 31, 2010	$	475

Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	24


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate		Termination Date	Notional Amount (Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	CMBX-NA-AJ 1 Index	BUY	(0.84	)%	10/12/52	$	245		$	(91	)
Bank of America	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52		2,750			(1,048	)
Bank of America	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52		2,900			(1,105	)
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38		(2,500	)		120
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38		(2,000	)		115
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52		2,590			(1,000	)
Citigroup	ABX.HE.AAA 06-2 Index	SELL	0.11		05/25/46		(1,339	)		(176	)
Citigroup	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37		(5,795	)		(2,692	)
Citigroup	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38		(2,900	)		253
Citigroup	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38		(8,250	)		880
Citigroup	Arrow Electric, 6.875% 06/01/18	BUY	(0.82	)	03/20/14		965			10
Citigroup	Darden Restaurants Inc., 6.000% 08/15/35	BUY	(2.73	)	03/20/14		440			(33	)
Citigroup	Darden Restaurants Inc., 7.125% 02/01/16	BUY	(2.40	)	03/20/15		800			(56	)
Citigroup	DR Horton Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16		520			8
Citigroup	DR Horton Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16		480			7
Citigroup	Hewlett Packard, 5.400% 03/01/17	BUY	(0.72	)	03/20/14		965			(14	)
Citigroup	Home Depot, 5.875% 12/16/36	BUY	(2.67	)	03/20/14		2,900			(239	)
Citigroup	KB Home 5.750% 2/1/14	BUY	(1.00	)	09/20/16		520			26
Citigroup	KB Home 5.750% 2/1/14	BUY	(1.00	)	09/20/16		480			24
Citigroup	Lowes Cos. Inc., 8.250% 06/01/10	BUY	(1.20	)	03/20/14		3,025			(78	)
Citigroup	Nordstrom Inc., 6.950%, 03/15/28	BUY	(3.15	)	03/20/14		240			(22	)
Credit Suisse	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46		(2,370	)		(196	)
Credit Suisse	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46		(3,253	)		(293	)
Credit Suisse	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37		(2,000	)		(186	)
Credit Suisse	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/49		7,735			(2,899	)
Credit Suisse	General Electric Corp., 5.625% 09/15/17	SELL	6.55		12/20/10		(1,480	)		64
Credit Suisse	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16		1,500			30
Credit Suisse	Toll Brothers Inc., 5.150% 05/15/15	BUY	(1.00	)	09/20/16		1,210			39
Credit Suisse	Toll Brothers Inc., 5.150% 05/15/15	BUY	(1.00	)	09/20/16		4,885			157
Deutsche Bank	Centex Corporation, 5.250% 06/15/15	BUY	(4.40	)	12/20/13		125			(16	)
Deutsche Bank	Darden Restaurants Inc., 6.000% 08/15/35	BUY	(2.25	)	03/20/14		1,075			(62	)
Deutsche Bank	Darden Restaurants Inc., 7.125% 02/01/16	BUY	(2.25	)	03/20/13		400			(19	)
Deutsche Bank	DR Horton Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16		410			—
Deutsche Bank	DR Horton Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16		375			—
Deutsche Bank	Kohl’S Corporation, 6.250% 12/15/17	BUY	(1.00	)	12/20/14		655			(8	)
Deutsche Bank	Kohl’S Corporation, 6.250% 12/15/17	BUY	(1.00	)	12/20/14		655			(8	)
Deutsche Bank	Kohl’S Corporation, 6.250% 12/15/17	BUY	(1.00	)	12/20/14		600			(8	)
Deutsche Bank	Kohl’S Corporation, 6.250% 12/15/17	BUY	(1.00	)	12/20/14		600			(7	)
Deutsche Bank	Nordstrom Inc., 6.950%, 03/15/28	BUY	(2.10	)	03/20/14		1,325			(70	)
Deutsche Bank	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16		2,200			47
Deutsche Bank	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16		1,500			56
Deutsche Bank	Target Corporation, 4.000% 6/15/13	BUY	(1.00	)	12/20/14		655			(7	)
Deutsche Bank	Target Corporation, 4.000% 6/15/13	BUY	(1.00	)	12/20/14		655			(7	)
Deutsche Bank	Target Corporation, 4.000% 6/15/13	BUY	(1.00	)	12/20/14		600			(7	)
Deutsche Bank	Target Corporation, 4.000% 6/15/13	BUY	(1.00	)	12/20/14		600			(7	)
Goldman Sachs	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46		(2,324	)		(198	)
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16		405			—
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16		370			—
Goldman Sachs	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16		1,150			28
Greenwich Capital Markets	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46		(1,859	)		(154	)
JPMorgan Chase Bank	CDX.IG HVOL.12 Index	SELL	5.00		06/20/14		(3,287	)		394
Merrill Lynch	Centex Corporation, 5.250% 06/15/15	BUY	(3.56	)	12/20/12		1,350			(103	)
Merrill Lynch	Centex Corporation, 5.250% 06/15/15	BUY	(3.65	)	12/20/12		925			(73	)
Morgan Stanley	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37		(1,700	)		(255	)
Morgan Stanley	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37		(3,800	)		(540	)
Morgan Stanley	Darden Restaurants Inc., 7.125% 02/01/16	BUY	(2.25	)	03/20/13		400			(19	)
Morgan Stanley	Midamerican Energy Corp., 4.625% 10/15/13	SELL	4.00		03/20/11		(2,800	)		103

									$	(9,335	)


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)	Net Unrealized Appreciation (Depreciation) ($Thousands)
Goldman Sachs	4.21%	10-YR CMS	05/25/10	7,500,000	$	113
JPMorgan Chase Bank	2.91%	3-Month LIBOR	02/28/14	44,100,000		(1,176	)
Morgan Stanley	0.00%	3-Month LIBOR (PAYMENT AT MATURITY)	11/15/27	16,210,000		48
Morgan Stanley	0.00%	3-Month LIBOR (PAYMENT AT MATURITY)	02/15/25	10,530,000		(6	)

					$	(1,021	)


	Corporate Obligations			Collateralized Debt Obligations			Preferred Stock			Convertible Bonds		Common Stock			Loan Participations
Beginning balance as of October 1, 2009	$	3,544		$	36,616		$	—		$	4	$	279		$	20,916
Accrued discounts/premiums		38			101			—			—		—			4
Realized gain/(loss)		—			(9,028	)		—			—		—			(744	)
Change in unrealized appreciation/(depreciation)		2,783			32,907			(116	)		—		—			(13,167	)
Net purchases/sales		114			(16,337	)		7,134			—		(35	)		29
Net transfer in and/or out of Level 3		(2,655	)		(12,406	)		265			—		215			552

Ending balance as of March 31, 2010	$	3,824		$	31,853		$	7,283		$	4	$	459		$	7,590

Changes in unrealized gains (losses) included in earnings related to securities held at reporting date	$	157		$	6,413		$	150		$	—	$	—		$	158


	Large Cap Fund⁽¹⁾			Large Cap Value Fund			Large Cap Growth Fund			Tax-Managed Large Cap Fund
ASSETS:
Investments, at value†	$	1,245,725		$	1,828,138	*	$	1,889,438	*	$	1,636,536	*
Affiliated investment, at value††		36,024			184,047			195,361			202,072
Cash		13			61			7			14
Foreign currency, at value†††		—			—			—			—
Receivable for investment securities sold		5,282			28,326			91,170			48,614
Receivable for fund shares sold		2,703			743			831			1,090
Dividends and interest receivable		1,426			2,277			1,958			1,809
Receivable for variation margin		—			—			—			72,402
Unrealized gain on foreign spot currency contracts		—			—			—			—
Prepaid expenses		45			46			72			38
Total Assets		1,291,218			2,043,638			2,178,837			1,962,575
LIABILITIES:
Payable upon return on securities loaned		—			157,054			157,798			178,314
Payable for investment securities purchased		5,319			—			15,804			1,391
Payable for fund shares redeemed		1,755			2,194			2,213			3,320
Payable to custodian		—			—			—			—
Payable for variation margin		135			222			331			72,683
Administration fees payable		375			554			590			501
Investment advisory fees payable		381			458			584			471
Shareholder servicing fees payable Class A		161			338			270			253
Shareholder servicing fees payable Class I		—			2			2			—
Chief Compliance Officer fees payable		—			5			5			4
Trustees fees payable		—			—			—			—
Administration servicing fees payable Class I		—			2			2			—
Unrealized loss on forward foreign currency contracts		—			—			—			—
Accrued expense payable		—			152			169			133
Total Liabilities		8,126			160,981			177,768			257,070
Net Assets		$1,283,092			$1,882,657			$2,001,069			$1,705,505
† Cost of investments and repurchase agreements		1,130,684			1,576,661			1,475,141			1,304,120
†† Cost of affiliated investments		36,024			189,334			199,230			206,547
††† Cost of foreign currency/(overdraft of foreign currency)		—			—			—			—
* Includes market value of securities on loan		—			151,940			154,182			173,152
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	1,149,283		$	2,257,867		$	3,071,869		$	2,079,607
Undistributed (distributions in excess of) net investment income		264			784			176			360
Accumulated net realized gain (loss) on investments, option contracts, futures, swap contracts, swaptions and foreign currency		17,987			(622,745	)		(1,481,420	)		(702,674	)
Net unrealized appreciation on investments, affiliated investments and option contracts		115,041			246,190			410,428			327,941
Net unrealized appreciation (depreciation) on futures contracts		517			561			16			271
Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—			—
Net Assets	$	1,283,092		$	1,882,657		$	2,001,069		$	1,705,505
Net Asset Value, Offering and Redemption Price Per Share — Class A		$11.01			$15.18			$19.68			$11.26
		($1,283,091,787 ÷ 116,546,993 shares	)		($1,870,940,193 ÷ 123,239,771 shares	)		($1,991,568,309 ÷ 101,214,487 shares	)		($1,702,368,514 ÷ 151,235,796 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class E		N/A			N/A			N/A			N/A


Net Asset Value, Offering and Redemption Price Per Share — Class I		N/A			$15.19			$19.49			N/A
					($11,716,961 ÷ 771,479 shares	)		($9,500,836 ÷ 487,492 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class Y		N/A			N/A			N/A			$11.47
											($3,136,020 ÷ 273,453 shares	)


S&P 500 Index Fund		Small Cap Fund⁽¹⁾		Small Cap Value Fund		Small Cap Growth Fund		Tax-Managed Small Cap Fund

$1,370,229	*	$238,531		$ 574,734	*	$ 418,276	*	$282,584	*
250,786		12,602		169,930		91,713		15,147
4		5		32		—		18
—		—		—		—		1
7,476		38,956		2,693		4,838		1,300
259		593		306		252		336
1,772		294		719		313		282
—		—		—		—		—
—		—		56		—		—
107		1		15		11		6
1,630,633		290,982		748,485		515,403		299,674

220,012		—		136,753		60,997		650
—		2,213		2,480		22,677		2,068
13,984		357		1,035		661		457
—		—		—		204		—
140		385		225		130		69
208		87		174		123		87
36		147		316		213		135
28		22		59		40		49
1		—		1		1		—
3		—		2		1		1
—		3		—		—		—
2		—		1		1		—
—		—		56		—		—
108		64		55		39		22
234,522		3,278		141,157		85,087		3,538
$ 1,396,111		$287,704		$ 607,328		$ 430,316		$296,136
760,658		209,468		496,107		336,026		223,774
254,243		12,602		174,077		94,672		15,317
—		—		—		—		1
213,600		—		132,009		51,325		628

$ 844,635		$249,336		$ 732,959		$ 681,799		$325,529
445		(108	)	49		(89	)	40
(55,723	)	9,706		(200,152	)	(330,608	)	(88,154	)

606,114		29,063		74,480		79,291		58,640
640		(296	)	(8	)	(77	)	81
—		3		—		—		—
$ 1,396,111		$287,704		$ 607,328		$ 430,316		$296,136
$31.90		$11.20		$15.43		$14.61		$10.87
($415,791,977 ÷ 13,033,454 shares	)	($287,703,901 ÷ 25,679,233 shares)		($599,630,762 ÷ 38,860,469 shares	)	($425,805,475 ÷ 29,154,382 shares	)	($296,135,794 ÷ 27,250,337 shares	)
$32.02		N/A		N/A		N/A		N/A
($970,962,806 ÷ 30,324,671 shares	)
$31.99		N/A		$15.32		$14.28		N/A
($9,356,147 ÷ 292,458 shares	)			($7,697,216 ÷ 502,274 shares	)	($4,510,138 ÷ 315,927 shares	)
N/A		N/A		N/A		N/A		N/A


	Mid-Cap Fund			U.S. Managed Volatility Fund			Global Managed Volatility Fund
ASSETS:
Investments, at value†	$	138,306	*	$	366,776		$	245,369
Affiliated investment, at value††		46,387			9,835			11,263
Repurchase agreement†		—			—			—
Cash		10			17			1,718
Foreign currency, at value†††		—			—			603
Cash collateral on futures		—			—			—
Cash collateral on swaps		—			—			—
Receivable for investment securities sold		—			8,139			—
Receivable for fund shares sold		58			501			250
Dividends and interest receivable		207			703			1,391
Receivable for variation margin		—			—			—
Swap contracts, at value††††		—			—			—
Unrealized gain on forward foreign currency contracts		—			—			580
Prepaid expenses		3			9			5
Total Assets		184,971			385,980			261,179
LIABILITIES:
Payable upon return on securities loaned		5,856			—			—
Payable for investment securities purchased		—			1,163			—
Payable for fund shares redeemed		123			804			218
Payable to Affiliate		—			—			—
Payable for variation margin		240			18			46
Administration fees payable		44			113			76
Investment advisory fees payable		47			128			100
Shareholder servicing fees payable Class A		31			71			54
Shareholder servicing fees payable Class I		—			—			—
Chief Compliance Officer fees payable		—			1			1
Administration servicing fees payable Class I		—			—			—
Income distribution payable		—			—			—
Swap contracts, at value††††		—			—			—
Options written, at value#		—			—			—
Swaptions, written, at value‡		—			—			—
Unrealized loss on forward foreign currency contracts		—			—			1,282
Accrued expense payable		12			31			37
Total Liabilities		6,353			2,329			1,814
Net Assets	$	178,618		$	383,651		$	259,365
† Cost of investments and repurchase agreements		113,378			307,313			224,898
†† Cost of affiliated investments		46,696			9,835			11,263
††† Cost of foreign currency/(overdraft of foreign currency)		—			—			602
†††† Premiums received/(paid)		—			—			—
# Premiums received		—			—			—
‡ Premium received		—			—			—
* Includes market value of securities on loan		5,657			—			—
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	209,601		$	435,424		$	307,268
Undistributed (distributions in excess of) net investment income		56			148			(12,375	)
Accumulated net realized gain (loss) on investments, option contracts, futures, swap contracts, swaptions and foreign currency		(55,630	)		(111,474	)		(55,393	)
Net unrealized appreciation (depreciation) on investments, affiliated investments and option contracts		24,619			59,463			20,471
Net unrealized appreciation (depreciation) on futures contracts		(28	)		90			91
Net unrealized depreciation on swap contracts		—			—			—
Net unrealized appreciation on written swaptions		—			—			—
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			(697	)
Net Assets	$	178,618		$	383,651		$	259,365
Net Asset Value, Offering and Redemption Price Per Share — Class A		$15.75			$10.63			$8.24
		($177,898,798 ÷ 11,293,592 shares	)		($383,605,826 ÷ 36,070,590 shares	)		($259,350,702 ÷ 31,456,631 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class I		$15.76			$10.62			$8.18
		($718,807 ÷ 45,604 shares	)		($44,694 ÷ 4,208 shares	)		($14,009 ÷ 1,712 shares	)


Tax-Managed Managed Volatility Fund		Real Estate Fund		Enhanced Income Fund		Core Fixed Income Fund		U.S. Fixed Income Fund		High Yield Bond Fund		Real Return Fund		Multi-Strategy Alternative Fund⁽¹⁾

$192,235		$ 210,263	*	$ 145,757		$2,535,775	*	$ 894,462	*	$1,368,594	*	$123,917	*	$98
7,790		92,891		16,095		227,380		127,365		76,435		22,813		—
—		—		53,000		—		—		—		—		—
9		—		322		57		782		259		—		100
—		—		—		104		—		—		—		—
—		—		850		—		—		—		—		—
—		—		—		26,119		—		—		—		—
—		9,725		9,830		221,251		165,450		27,793		—		—
261		10,276		135		1,671		2,642		23,798		223		—
339		788		531		20,054		5,586		28,988		475		—
—		—		8		586		15		1,020		—		—
—		—		—		14,113		1,207		—		—		—
—		—		—		116		—		—		—		—
5		5		9		59		17		32		2		—
200,639		323,948		226,537		3,047,285		1,197,526		1,526,919		147,430		198

—		80,160		—		213,330		96,781		6		14,447		—
26		2,491		8,774		309,851		203,929		62,810		—		98
503		571		3,157		5,495		1,021		4,581		1,342		—
—		—		—		—		—		1,667		—		—
15		—		22		24		—		—		—		—
58		67		25		591		209		411		25		—
64		118		65		534		191		527		24		—
39		26		—		192		78		48		—		—
—		—		—		3		—		—		—		—
—		1		1		6		2		3		—		—
—		—		—		3		—		—		—		—
—		—		—		645		115		1,364		—		—
—		—		—		37,857		—		24		—		—
—		—		—		64		—		—		—		—
—		—		—		1,319		—		—		—		—
—		—		—		—		—		—		—		—
13		17		23		319		88		165		8		—
718		83,451		12,067		570,233		302,414		71,606		15,846		98
$199,921		$ 240,497		$ 214,470		$2,477,052		$ 895,112		$1,455,313		$131,584		$100
158,209		149,963		209,815		2,608,266		877,089		1,323,000		122,491		98
7,790		94,550		16,095		231,641		127,365		76,435		22,813		—
—		—		—		102		—		—		—		—
—		—		—		(13,388	)	1,712		989		—		—
—		—		—		(95	)	—		—		—		—
—		—		—		1,595		—		—		—		—
—		77,454		—		205,987		94,139		—		12,287		—

$186,518		$ 301,636		$ 343,244		$2,689,002		$ 873,956		$1,766,728		$128,707		$100
31		(648	)	816		(3,293	)	(4,378	)	10,365		33		—

(20,720	)	(119,132	)	(118,542	)	(121,252	)	8,650		(366,361	)	1,418		—

34,026		58,641		(11,058	)	(76,721	)	17,373		45,594		1,426		—
66		—		6		(701	)	16		—		—		—
—		—		—		(10,356	)	(505	)	(1,013	)	—		—
—		—		—		276		—		—		—		—

—		—		4		97		—		—		—		—
$199,921		$ 240,497		$ 214,470		$2,477,052		$ 895,112		$1,455,313		$131,584		$100
$8.99		$10.86		$7.44		$10.36		$10.34		$7.12		$10.35		$10.00
($199,920,909 ÷ 22,229,621 shares	)	($240,242,916 ÷ 22,119,684 shares	)	($214,407,876 ÷ 28,817,970 shares	)	($2,462,808,394 ÷ 237,697,876 shares	)	($895,111,756 ÷ 86,601,575 shares	)	($1,455,050,057 ÷ 204,249,838 shares	)	($131,584,310 ÷ 12,712,980 shares	)	($100,000 ÷ 10,000 shares	)
N/A		$10.85		$7.44		$10.36		N/A		$7.13		N/A		N/A
		($253,601 ÷ 23,364 shares	)	($62,601 ÷ 8,419.59 shares	)	($14,243,558 ÷ 1,375,402 shares	)			($262,512 36,827 shares	)


	Large Cap Fund⁽²⁾			Large Cap Value Fund						Large Cap Growth Fund
	10/01/09 to 03/31/10			10/01/09 to 03/31/10			10/01/08 to 09/30/09			10/01/09 to 03/31/10			10/01/08 to 09/30/09
Operations:
Net Investment Income (Loss)	$	6,150		$	14,548		$	41,578		$	7,532		$	13,342
Net Realized Gain (Loss) from Investments and Futures Contracts		23,307			36,578			(573,490	)		100,073			(477,760	)
Net Realized Gain (Loss) on Foreign Currency Transactions		—			—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts		115,558			140,801			221,865			123,035			276,995
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency		—			—			—			—			—
Net Decrease in Net Assets from Operations		145,015			191,927			(310,047	)		230,640			(187,423	)
Dividends and Distributions From:
Net Investment Income:
Class A		(5,886	)		(21,575	)		(47,346	)		(9,894	)		(13,281	)
Class E		—			—			—			—			—
Class I		—			(114	)		(239	)		(30	)		(37	)
Class Y		—			—			—			—			—
Net Capital Gains:
Class A		(5,320	)		—			—			—			—
Class E		—			—			—			—			—
Class I		—			—			—			—			—
Total Dividends and Distributions		(11,206	)		(21,689	)		(47,585	)		(9,924	)		(13,318	)
Capital Share Transactions⁽¹⁾:
Class A:
Proceeds from Shares Issued		1,423,253			157,275			645,382			152,187			680,308
Reinvestment of Dividends and Distributions		10,832			20,538			44,915			9,430			12,627
Cost of Shares Redeemed		(284,802	)		(319,561	)		(870,910	)		(423,800	)		(929,855	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		1,149,283			(141,748	)		(180,613	)		(262,183	)		(236,920	)
Class E:
Proceeds from Shares Issued		—			—			—			—			—
Reinvestment of Dividends and Distributions		—			—			—			—			—
Cost of Shares Redeemed		—			—			—			—			—
Increase in Net Assets Derived from Class E Transactions		—			—			—			—			—
Class I:
Proceeds from Shares Issued		—			1,361			5,835			1,375			5,304
Reinvestment of Dividends and Distributions		—			98			217			24			31
Cost of Shares Redeemed		—			(2,255	)		(4,716	)		(2,112	)		(4,172	)
Increase (Decrease) in Net Assets Derived from Class I Transactions		—			(796	)		1,336			(713	)		1,163
Class Y:
Proceeds from Shares Issued		—			—			—			—			—
Reinvestment of Dividends and Distributions		—			—			—			—			—
Cost of Shares Redeemed		—			—			—			—			—
Increase (Decrease) in Net Assets Derived from Class Y Transactions		—			—			—			—			—
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		1,149,283			(142,544	)		(179,277	)		(262,896	)		(235,757	)
Net Increase (Decrease) in Net Assets		1,283,092			27,694			(536,909	)		(42,180	)		(436,498	)
Net Assets:
Beginning of Year/Period		—			1,854,963			2,391,872			2,043,249			2,479,747
End of Year/Period		1,283,092		$	1,882,657		$	1,854,963		$	2,001,069		$	2,043,249
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	264		$	784		$	7,925		$	176		$	2,568


Tax-Managed Large Cap Fund						S&P 500 Index Fund						Small Cap Fund⁽²⁾			Small Cap Value Fund						Small Cap Growth Fund
10/01/09 to 03/31/10			10/01/08 to 09/30/09			10/01/09 to 03/31/10			10/01/08 to 09/30/09			10/01/09 to 03/31/10			10/01/09 to 03/31/10			10/01/08 to 09/30/09			10/01/09 to 03/31/10			10/01/08 to 09/30/09

$	8,218		$	21,534		$	14,099		$	25,014		$	273		$	1,730		$	5,722		$	(17	)	$	706
	39,926			(429,914	)		4,267			(48,076	)		9,887			27,148			(180,523	)		34,656			(258,412	)
	—			—			—			—			5			(6	)		48			2			(96	)

	129,016			175,923			129,788			(52,363	)		28,767			40,027			68,486			10,723			181,991
	—			—			—			—			3			4			(4	)		—			7
	177,160			(232,457	)		148,154			(75,425	)		38,935			68,903			(106,271	)		45,364			(75,804	)


	(12,067	)		(23,986	)		(5,859	)		(9,014	)		(381	)		(3,099	)		(6,670	)		(30	)		(98	)
	—			—			(13,750	)		(16,627	)		—			—			—			—			—
	—			—			(110	)		(134	)		—			(29	)		(67	)		—			—
	(24	)		(45	)		—			—			—			—			—			—			—

	—			—			—			(3,784	)		(186	)		—			(4,119	)		—			—
	—			—			—			(6,354	)		—			—			—			—			—
	—			—			—			(160	)		—			—			(43	)		—			—
	(12,091	)		(24,031	)		(19,719	)		(36,073	)		(567	)		(3,128	)		(10,899	)		(30	)		(98	)


	180,618			924,843			76,883			430,336			334,716			90,570			268,370			57,883			206,264
	11,060			22,190			5,571			11,884			547			2,836			10,175			28			94
	(250,071	)		(1,243,735	)		(158,910	)		(395,893	)		(85,927	)		(196,999	)		(370,346	)		(155,344	)		(290,286	)
	(58,393	)		(296,702	)		(76,456	)		46,327			249,336			(103,593	)		(91,801	)		(97,433	)		(83,928	)

	—			—			125,902			274,071			—			—			—			—			—
	—			—			12,979			21,275			—			—			—			—			—
	—			—			(110,195	)		(192,042	)		—			—			—			—			—
	—			—			28,686			103,304			—			—			—			—			—

	—			—			1,537			17,809			—			990			3,127			825			2,291
	—			—			71			267			—			27			107			—			—
	—			—			(1,673	)		(14,749	)		—			(1,601	)		(3,420	)		(790	)		(1,706	)
	—			—			(65	)		3,327			—			(584	)		(186	)		35			585

	4			411			—			—			—			—			—			—			—
	23			45			—			—			—			—			—			—			—
	(312	)		(321	)		—			—			—			—			—			—			—
	(285	)		135			—			—			—			—			—			—			—
	(58,678	)		(296,567	)		(47,835	)		152,958			249,336			(104,177	)		(91,987	)		(97,398	)		(83,343	)
	106,391			(553,055	)		80,600			41,460			287,704			(38,402	)		(209,157	)		(52,064	)		(159,245	)

	1,599,114			2,152,169			1,315,511			1,274,051			—			645,730			854,887			482,380			641,625
$	1,705,505		$	1,599,114		$	1,396,111		$	1,315,511		$	287,704		$	607,328		$	645,730		$	430,316		$	482,380
$	360		$	4,233		$	445		$	6,065		$	(108	)	$	49		$	1,447		$	(89	)	$	(42	)


Enhanced Income Fund						Core Fixed Income Fund						U.S. Fixed Income Fund⁽²⁾						High Yield Bond Fund						Real Return Fund⁽²⁾						Multi-Strategy Alternative Fund⁽³⁾
10/01/09 to 03/31/10			10/01/08 to 09/30/09			10/01/09 to 03/31/10			10/01/08 to 09/30/09			10/01/09 to 03/31/10			07/02/09 to 09/30/09			10/01/09 to 03/31/10			10/01/08 to 09/30/09			10/01/09 to 03/31/10			07/02/09 to 09/30/09			03/31/10

$	4,075		$	9,863		$	56,964		$	149,672		$	13,324		$	4,579		$	68,248		$	107,446		$	840		$	664		$	—

	(21,697	)		(64,915	)		12,208			(75,201	)		6,573			2,009			36,781			(158,689	)		1,544			22			—
	—			(2,170	)		107			10,277			—			—			—			—			—			—			—
	29,338			25,876			80,284			197,739			2,159			14,725			79,105			201,560			667			759			—
	—			1,024			(226	)		(4,211	)		—			—			—			—			—			—			—
	11,716			(30,322	)		149,337			278,276			22,056			21,313			184,134			150,317			3,051			1,445			—


	(5,574	)		(7,069	)		(56,441	)		(153,233	)		(14,467	)		(4,508	)		(61,066	)		(99,645	)		(1,472	)		—			—
	(1	)		—			(312	)		(541	)		(3,238	)		—			(12	)		(8	)		—			—			—

	—			—			—			—			—			—			(3,632	)		(11,445	)		(147	)		—			—
	—			—			—			—			—			—			(1	)		(1	)		—			—			—

	—			—			—			—			—			—			—			—			—			—			—
	(5,575	)		(7,069	)		(56,753	)		(153,774	)		(17,705	)		(4,508	)		(64,711	)		(111,099	)		(1,619	)		—			—


	60,484			173,449			349,745			1,276,299			377,593			711,444			441,278			975,088			66,919			86,333			100
	5,172			6,549			52,565			143,816			16,964			4,323			54,454			99,105			1,509			—			—
	(91,134	)		(223,654	)		(482,310	)		(2,779,389	)		(181,519	)		(54,849	)		(450,046	)		(899,807	)		(21,844	)		(4,210	)		—
	(25,478	)		(43,656	)		(80,000	)		(1,359,274	)		213,038			660,918			45,686			174,386			46,584			82,123			100

	14			28			3,635			8,717			—			—			179			158			—			—			—
	1			—			210			420			—			—			13			8			—			—			—
	—			—			(3,781	)		(4,684	)		—			—			(152	)		(32	)		—			—			—
	15			28			64			4,453			—			—			40			134			—			—			—
	(25,463	)		(43,628	)		(79,936	)		(1,354,821	)		213,038			660,918			45,726			174,520			46,584			82,123			100
	(19,322	)		(81,019	)		12,648			(1,230,319	)		217,389			677,723			165,149			213,738			48,016			83,568			100

	233,792			314,811			2,464,404			3,694,723			677,723			—			1,290,164			1,076,426			83,568			—			—
$	214,470		$	233,792		$	2,477,052		$	2,464,404		$	895,112		$	677,723		$	1,455,313		$	1,290,164		$	131,584		$	83,568		$	100
$	816		$	2,316		$	(3,293	)	$	(3,504	)	$	(4,378	)	$	3		$	10,365		$	3,195		$	33		$	665		$	—


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)⁽¹⁾			Net Realized and Unrealized Gains (Losses) on Securities⁽¹⁾			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†		Net Assets End of Period ($Thousands)		Ratio of Expenses to Average Net Assets		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)		Ratio of Net Investment Income (Loss) to Average Net Assets		Portfolio Turnover Rate†
Large Cap Fund
Class A
2010⁽¹²⁾	$	10.00	$	0.06		$	1.05		$	1.11		$	(0.05	)	$	(0.05	)	$	(0.10	)	$	11.01	11.12	%	$	1,283,092	0.89	%	0.89	%	1.00	%	1.06	%	37	%
Large Cap Value Fund
Class A
2010**	$	13.83	$	0.11		$	1.41		$	1.52		$	(0.17	)	$	—		$	(0.17	)	$	15.18	11.06	%	$	1,870,940	0.89	%	0.89	%	0.98	%	1.59	%	22	%
2009		15.79		0.30			(1.92	)		(1.62	)		(0.34	)		—			(0.34	)		13.83	(9.88	)		1,843,530	0.89		0.90		0.99		2.51		69
2008		23.97		0.40			(6.10	)		(5.70	)		(0.41	)		(2.07	)		(2.48	)		15.79	(25.95	)		2,381,011	0.88		0.88		0.97		2.09		53
2007		23.54		0.41			2.69			3.10			(0.41	)		(2.26	)		(2.67	)		23.97	13.91			3,616,120	0.86		0.86		0.97		1.74		36
2006		22.45		0.37			2.41			2.78			(0.37	)		(1.32	)		(1.69	)		23.54	13.42			3,762,101	0.86		0.87		0.97		1.67		58
2005		19.80		0.35			2.76			3.11			(0.34	)		(0.12	)		(0.46	)		22.45	15.87			4,230,717	0.86		0.86		0.97		1.63		44
Class I
2010**	$	13.83	$	0.10		$	1.40		$	1.50		$	(0.14	)	$	—		$	(0.14	)	$	15.19	10.93	%	$	11,717	1.11	%	1.11	%	1.23	%	1.38	%	22	%
2009		15.78		0.26			(1.90	)		(1.64	)		(0.31	)		—			(0.31	)		13.83	(10.05	)		11,433	1.11		1.12		1.24		2.19		69
2008		23.95		0.36			(6.11	)		(5.75	)		(0.35	)		(2.07	)		(2.42	)		15.78	(26.13	)		10,861	1.11		1.11		1.22		1.85		53
2007		23.52		0.35			2.69			3.04			(0.35	)		(2.26	)		(2.61	)		23.95	13.64			29,072	1.11		1.11		1.22		1.49		36
2006		22.43		0.31			2.42			2.73			(0.32	)		(1.32	)		(1.64	)		23.52	13.16			31,308	1.11		1.12		1.22		1.40		58
2005		19.78		0.29			2.77			3.06			(0.29	)		(0.12	)		(0.41	)		22.43	15.61			24,735	1.11		1.11		1.22		1.37		44
Large Cap Growth Fund
Class A
2010**	$	17.62	$	0.07		$	2.08		$	2.15		$	(0.09	)	$	—		$	(0.09	)	$	19.68	12.24	%	$	1,991,568	0.89	%	0.89	%	1.03	%	0.76	%	32	%
2009		18.39		0.11			(0.77	)		(0.66	)		(0.11	)		—			(0.11	)		17.62	(3.47	)		2,034,096	0.89		0.90		1.04		0.74		96
2008		23.74		0.08			(5.35	)		(5.27	)		(0.08	)		—			(0.08	)		18.39	(22.26	)		2,472,052	0.88		0.88		1.02		0.37		78
2007		19.95		0.06			3.78			3.84			(0.05	)		—			(0.05	)		23.74	19.26			3,622,963	0.86		0.86		1.02		0.26		55
2006		19.23		0.04			0.71			0.75			(0.03	)		—			(0.03	)		19.95	3.92			3,387,749	0.86		0.87		1.02		0.18		89
2005		17.13		0.09			2.09			2.18			(0.08	)		—			(0.08	)		19.23	12.75			4,004,347	0.86		0.86		1.02		0.47		52
Class I
2010**	$	17.44	$	0.05		$	2.06		$	2.11		$	(0.06	)	$	—		$	(0.06	)	$	19.49	12.11	%	$	9,501	1.11	%	1.11	%	1.28	%	0.54	%	32	%
2009		18.20		0.07			(0.76	)		(0.69	)		(0.07	)		—			(0.07	)		17.44	(3.69	)		9,153	1.11		1.12		1.29		0.51		96
2008		23.48		0.03			(5.29	)		(5.26	)		(0.02	)		—			(0.02	)		18.20	(22.43	)		7,695	1.11		1.11		1.27		0.13		78
2007		19.75		—	*		3.73			3.73			—	*		—			—			23.48	18.91			25,196	1.11		1.11		1.27		0.01		55
2006		19.04		(0.01	)		0.72			0.71			—			—			—			19.75	3.73			27,780	1.11		1.12		1.27		(0.07	)	89
2005		17.00		0.04			2.07			2.11			(0.07	)		—			(0.07	)		19.04	12.42			29,689	1.11		1.11		1.27		0.22		52
Tax-Managed Large Cap Fund
Class A
2010**	$	10.19	$	0.05		$	1.10		$	1.15		$	(0.08	)	$	—		$	(0.08	)	$	11.26	11.32	%	$	1,702,369	0.89	%	0.89	%	1.03	%	1.00	%	21	%
2009		11.08		0.13			(0.87	)		(0.74	)		(0.15	)		—			(0.15	)		10.19	(6.44	)		1,596,020	0.89		0.90		1.04		1.54		67
2008		14.70		0.15			(3.62	)		(3.47	)		(0.15	)		—			(0.15	)		11.08	(23.76	)		2,148,949	0.88		0.88		1.02		1.13		61
2007		12.68		0.14			2.01			2.15			(0.13	)		—			(0.13	)		14.70	17.05			2,892,866	0.86		0.86		1.02		1.02		44
2006		11.78		0.11			0.90			1.01			(0.11	)		—			(0.11	)		12.68	8.58			2,373,507	0.86		0.87		1.02		0.91		65
2005		10.41		0.12			1.37			1.49			(0.12	)		—			(0.12	)		11.78	14.40			2,172,885	0.86		0.86		1.02		1.08		31
Class Y
2010**	$	10.37	$	0.07		$	1.11		$	1.18		$	(0.08	)	$	—		$	(0.08	)	$	11.47	11.45	%	$	3,136	0.56	%	0.56	%	0.73	%	1.34	%	21	%
2009		11.24		0.16			(0.88	)		(0.72	)		(0.15	)		—			(0.15	)		10.37	(6.12	)		3,094	0.56		0.57		0.74		1.85		67
2008		14.87		0.19			(3.66	)		(3.47	)		(0.16	)		—			(0.16	)		11.24	(23.52	)		3,220	0.56		0.56		0.72		1.44		61
2007		12.79		0.18			2.04			2.22			(0.14	)		—			(0.14	)		14.87	17.43			4,711	0.56		0.56		0.72		1.32		44
2006		11.86		0.15			0.89			1.04			(0.11	)		—			(0.11	)		12.79	8.83			4,558	0.56		0.57		0.72		1.21		65
2005		10.45		0.16			1.38			1.54			(0.13	)		—			(0.13	)		11.86	14.78			5,067	0.56		0.56		0.72		1.39		31


	Net Asset Value, Beginning of Period		Net Investment Income⁽¹⁾		Net Realized and Unrealized Gains (Losses) on Securities⁽¹⁾			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends, Distributions and Return of Capital			Net Asset Value, End of Period		Total Return†		Net Assets End of Period ($Thousands)		Ratio of Expenses to Average Net Assets		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)		Ratio of Net Investment Income to Average Net Assets		Portfolio Turnover Rate†
Mid-Cap Fund
Class A
2010**	$	13.92	$	0.04	$	1.85		$	1.89		$	(0.06	)	$	—		$	(0.06	)	$	15.75	13.59	%	$	177,899	1.02	%	1.02	%	1.03	%	0.58	%	58	%
2009		14.87		0.11		(0.94	)		(0.83	)		(0.12	)		—			(0.12	)		13.92	(5.34	)		119,872	1.02		1.02		1.04		0.95		143
2008		22.22		0.11		(5.28	)		(5.17	)		(0.09	)		(2.09	)		(2.18	)		14.87	(25.45	)		126,509	1.02		1.02		1.03		0.58		126
2007		20.40		0.06		3.40			3.46			(0.10	)		(1.54	)		(1.64	)		22.22	17.51			183,287	1.01		1.01		1.02		0.26		176
2006		20.29		0.14		1.49			1.63			(0.12	)		(1.40	)		(1.52	)		20.40	8.50			90,208	1.01		1.01		1.03		0.67		135
2005		17.84		0.06		4.61			4.67			(0.06	)		(2.16	)		(2.22	)		20.29	28.15			71,162	1.01		1.01		1.03		0.30		137
Class I
2010**	$	13.92	$	0.03	$	1.84		$	1.87		$	(0.03	)	$	—		$	(0.03	)	$	15.76	13.46	%	$	719	1.26	%	1.26	%	1.28	%	0.36	%	58	%
2009		14.86		0.05		(0.89	)		(0.84	)		(0.10	)		—			(0.10	)		13.92	(5.47	)		274	1.26		1.26		1.30		0.48		143
2008⁽⁶⁾		22.56		0.06		(5.63	)		(5.57	)		(0.04	)		(2.09	)		(2.13	)		14.86	(26.82	)		52	1.26		1.26		1.27		0.33		126
U.S. Managed Volatility Fund
Class A
2010**	$	9.65	$	0.08	$	1.00		$	1.08		$	(0.10	)	$	—		$	(0.10	)	$	10.63	11.27	%	$	383,606	1.00	%	1.00	%	1.28	%	1.50	%	20	%
2009		11.25		0.13		(1.59	)		(1.46	)		(0.14	)		—			(0.14	)		9.65	(12.88	)		380,987	1.00		1.00		1.29		1.56		126
2008		13.45		0.10		(1.69	)		(1.59	)		(0.10	)		(0.51	)		(0.61	)		11.25	(12.38	)		458,668	1.00		1.00		1.27		0.85		85
2007		12.02		0.15		1.74			1.89			(0.14	)		(0.32	)		(0.46	)		13.45	16.09			585,858	1.04		1.04		1.27		1.19		112
2006		11.41		0.10		0.75			0.85			(0.09	)		(0.15	)		(0.24	)		12.02	7.64			303,523	1.11		1.11		1.27		0.91		133
2005⁽⁷⁾		10.00		0.10		1.39			1.49			(0.08	)		—	*		(0.08	)		11.41	14.94			160,047	1.11		1.11		1.27		1.03		102
Class I
2010**	$	9.63	$	0.07	$	1.01		$	1.08		$	(0.09	)	$	—		$	(0.09	)	$	10.62	11.23	%	$	45	1.25	%	1.25	%	1.54	%	1.32	%	20	%
2009		11.24		0.12		(1.61	)		(1.49	)		(0.12	)		—			(0.12	)		9.63	(13.17	)		17	1.25		1.25		1.55		1.38		126
2008		13.43		0.09		(1.71	)		(1.62	)		(0.06	)		(0.51	)		(0.57	)		11.24	(12.58	)		6	1.25		1.25		1.57		0.71		85
2007⁽¹⁰⁾		13.54		0.01		(0.05	)		(0.04	)		(0.07	)		—			(0.07	)		13.43	(0.32	)		1	1.36		1.36		1.86		0.19		112
Global Managed Volatility Fund
Class A
2010**	$	7.82	$	0.05	$	0.40		$	0.45		$	(0.03	)	$	—		$	(0.03	)	$	8.24	5.75	%	$	259,351	1.11	%	1.11	%	1.30	%	1.23	%	62	%
2009		9.07		0.12		(1.37	)		(1.25	)		—			—			—			7.82	(13.78	)		213,773	1.13	⁽³⁾	1.13	⁽³⁾	1.35		1.59		155
2008		11.22		0.12		(1.92	)		(1.80	)		(0.18	)		(0.17	)		(0.35	)		9.07	(16.60	)		204,156	1.11		1.11		1.31		1.24		113
2007		10.37		0.17		0.85			1.02			(0.11	)		(0.06	)		(0.17	)		11.22	9.88			275,748	1.11		1.11		1.32		1.56		119
2006⁽⁸⁾		10.00		0.02		0.35			0.37			—			—			—			10.37	3.70			94,951	1.10		1.10		1.30		1.22		13
Class I
2010**	$	7.76	$	0.04	$	0.40		$	0.44		$	(0.02	)	$	—		$	(0.02	)	$	8.18	5.71	%	$	14	1.35	%	1.35	%	1.55	%	0.93	%	62	%
2009		9.02		0.11		(1.37	)		(1.26	)		—			—			—			7.76	(13.97	)		17	1.38	⁽³⁾	1.38	⁽³⁾	1.62		1.56		155
2008		11.20		0.14		(1.97	)		(1.83	)		(0.18	)		(0.17	)		(0.35	)		9.02	(16.86	)		10	1.36		1.36		1.56		1.49		113
2007⁽¹⁰⁾		11.45		0.01		(0.26	)		(0.25	)		—			—			—			11.20	(2.18	)		1	1.36		1.36		2.26		0.23		119
Tax-Managed Managed Volatility Fund
Class A
2010**	$	8.14	$	0.07	$	0.87		$	0.94		$	(0.09	)	$	—		$	(0.09	)	$	8.99	11.66	%	$	199,921	1.00	%	1.00	%	1.28	%	1.59	%	12	%
2009		9.02		0.12		(0.88	)		(0.76	)		(0.12	)		—			(0.12	)		8.14	(8.28	)		172,265	1.00		1.00		1.29		1.69		94
2008⁽¹¹⁾		10.00		0.10		(1.02	)		(0.92	)		(0.06	)		—			(0.06	)		9.02	(9.24	)		96,523	1.00		1.00		1.29		1.43		65
Real Estate Fund
Class A
2010**	$	9.42	$	0.10	$	1.59		$	1.69		$	(0.25	)	$	—		$	(0.25	)	$	10.86	18.23	%	$	240,243	1.14	%	1.14	%	1.28	%	2.15	%	34	%
2009		13.73		0.16		(4.18	)		(4.02	)		(0.29	)⁽²⁾		—			(0.29	)		9.42	(28.69	)		221,228	1.14		1.15		1.29		2.08		97
2008		18.20		0.13		(3.11	)		(2.98	)		(0.38	)		(1.11	)		(1.49	)		13.73	(17.15	)		251,359	1.13		1.13		1.27		0.86		52
2007		18.43		0.30		0.76			1.06			(0.36	)		(0.93	)		(1.29	)		18.20	5.49			244,991	1.11		1.12		1.27		1.55		84
2006		14.86		0.23		4.15			4.38			(0.36	)		(0.45	)		(0.81	)		18.43	30.44			192,674	1.11		1.12		1.27		1.39		65
2005		11.89		0.27		3.22			3.49			(0.26	)		(0.26	)		(0.52	)		14.86	29.97			96,405	1.11		1.11		1.27		1.95		58
Class I
2010**	$	9.41	$	0.10	$	1.58		$	1.68		$	(0.24	)	$	—		$	(0.24	)	$	10.85	18.07	%	$	254	1.36	%	1.37	%	1.54	%	2.06	%	34	%
2009		13.72		0.09		(4.12	)		(4.03	)		(0.28	)⁽²⁾		—			(0.28	)		9.41	(28.83	)		132	1.36		1.37		1.55		1.26		97
2008⁽⁶⁾		18.55		0.13		(3.49	)		(3.36	)		(0.36	)		(1.11	)		(1.47	)		13.72	(18.89	)		25	1.36		1.36		1.52		0.86		52
Enhanced Income Fund
Class A
2010**	$	7.21	$	0.15	$	0.27		$	0.42		$	(0.19	)	$	—		$	(0.19	)	$	7.44	5.86	%	$	214,407	0.60	%	0.60	%	1.08	%	3.97	%	43	%
2009		8.21		0.29		(1.09	)		(0.80	)		(0.20	)		—			(0.20	)		7.21	(9.56	)		233,747	0.60		0.60		1.06		4.30		132
2008		9.92		0.49		(1.68	)		(1.19	)		(0.52	)		—			(0.52	)		8.21	(12.42	)		314,795	0.60		0.60		1.04		5.40		42
2007		10.11		0.57		(0.27	)		0.30			(0.49	)		—			(0.49	)		9.92	2.96			620,931	0.60		0.60		1.03		5.67		43
2006⁽⁸⁾		10.00		0.10		0.01			0.11			—			—			—			10.11	1.10			235,981	0.60		0.60		1.10		5.54		70
Class I
2010**	$	7.20	$	0.14	$	0.27		$	0.41		$	(0.17	)	$	—		$	(0.17	)	$	7.44	5.82	%	$	63	0.85	%	0.85	%	1.34	%	3.70	%	43	%
2009		8.20		0.25		(1.06	)		(0.81	)		(0.19	)		—			(0.19	)		7.20	(9.79	)		45	0.85		0.85		1.31		3.73		132
2008		9.91		0.43		(1.63	)		(1.20	)		(0.51	)		—			(0.51	)		8.20	(12.61	)		16	0.85		0.85		1.29		4.82		42
2007⁽¹⁰⁾		10.25		0.15		(0.35	)		(0.20	)		(0.14	)		—			(0.14	)		9.91	(2.01	)		11	1.09		1.09		1.56		5.78		43


	Number of Shares/ Face Amount ($ Thousands)		Acquisition Date	Right to Acquire Date	Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets

Small Cap Value Fund
Verde Realty PIPE		21,100	02/16/07	02/16/07	$	696	$	468	0.08	%


Small Cap Growth Fund
Rentech Warrant		19,400	04/20/07	04/20/07	$	—	$	2	—	%
Titanium Asset Management PIPE		140,900	06/14/07	06/14/07		845		420	0.10
Titanium Asset Management Warrants		147,800	08/06/07	08/06/07		—		—	—
Value Creation		145,600	08/10/06	08/10/06		1,491		108	0.02

					$	2,336	$	530	0.12	%


Small Cap Fund
Oil Sands Warrants		1,200	10/06/09	10/06/09	$	—	$	—	—	%
Scorpio Mining PIPE		52,300	10/06/09	10/06/09		46		48	0.02
Thunderbird Resorts PIPE		15,400	10/06/09	10/06/09		61		46	0.01

					$	107	$	94	0.03	%


Real Estate Fund
Verde Realty PIPE		21,400	02/16/07	02/16/07	$	706	$	475	0.20	%


Enhanced Income Fund
JHT Holding		38	12/16/08	12/16/08	$	60	$	36	0.02	%


High Yield Bond Fund
Aventine Renewable Energy Holdings	$	986	04/17/10	04/17/10	$	912	$	1,035	0.07	%
Quebecore Media (Escrow Security)	$	1,915	09/24/09	09/24/09		—		105	0.01
Continental Airlines	$	1,192	05/04/09	05/04/09		820		1,120	0.08
VSS AHC, Cl A		38,453	10/08/09	10/08/09		485		459	0.03

					$	2,217	$	2,719	0.19	%


CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS				CDS ON AN INDEX
REFERENCE ASSET	CORP US$			SOVEREIGN US$	ABS US$			CORP US$			Total
Fair value of written credit derivatives	$	159,489		—	$	(26,823,640	)	$	475,909		$	(26,188,242	)
Maximum potential amount of future payments	$	(4,280,000	)	—	$	(40,089,372	)	$	(3,286,644	)	$	(47,656,016	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)¹		—		—		—			—			—
Collateral held by the fund can obtain upon occurrence of triggering event		—		—		—		$	(2,000,000	)	$	(2,000,000	)


MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
CORE FIXED INCOME FUND	0-6 MONTHS	6-12 MONTHS			1-5 YEARS			5-10 YEARS	> 10 YEARS			Total
Current credit spread* on underlying (in basis points)
0-1,500	—	$	(4,280,000	)	$	(3,286,644	)	—		—		$	(7,566,644	)
1,501-3,000	—		—			—		—	$	(14,633,956	)	$	(14,633,956	)
3,001-4,500	—		—			—		—	$	(15,650,000	)	$	(15,650,000	)
> than 4,501	—		—			—		—	$	(9,805,416	)	$	(9,805,416	)
Total	—	$	(4,280,000	)	$	(3,286,644	)	—	$	(40,089,372	)	$	(47,656,016	)


	Asset Derivatives				Liability Derivatives
	For the six month period ended March 31, 2010 ($ Thousands)				For the six month period ended March 31, 2010 ($ Thousands)
	Statement of Assets and Liabilites Location	Fair Value			Statement of Assets and Liabilites Location	Fair Value

Derivatives not accounted for as hedging instruments:

Global Managed Volatility Fund
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	580		Unrealized loss on forward foreign currency contracts	$	1,282
Equity contracts	Net Assets — Unrealized appreciation on futures contracts		91	*	Net Assets — Unrealized depreciation on futures contracts		—

Total Derivatives not accounted for as hedging instruments		$	671			$	1,282


Core Fixed Income Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	130	*	Net Assets — Unrealized depreciation on futures contracts	$	831	*
	Net Assets — Unrealized appreciation on swap contracts		161	†	Net Assets — Unrealized depreciation on swap contracts		1,182	†
	Investments, at value		—		Options written, at value		64
	Investments, at value		—		Swaptions written, at value		1,319
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		116	*	Unrealized gain on forward foreign currency contracts		—
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		2,361	†	Net Assets — Unrealized depreciation on swap contracts		11,696	†

Total Derivatives not accounted for as hedging instruments		$	2,768			$	15,092


Derivatives Not Accounted for as Hedging Instruments	Options		Swaptions		Futures		Forward Currency Contracts			Swaps		Total
Small Cap Value Fund
Equity contracts	$	—	$	—	$	561	$	—		$	—	$	561
Foreign Exchange contracts		—		—		—		(1	)		—		(1	)
Total	$	—	$	—	$	561	$	(1	)	$	—	$	560


	Core Fixed Income Fund
	Number of Contracts		Premium ($ Thousands)
Balance at the beginning of period	473		$	562
Written	1,655			644
Expired	(459	)		(152	)
Closing buys	(1,404	)		(959	)
Balance at the end of period	265		$	95


	Core Fixed Income Fund
	Notional Amount (Thousands)		Premium ($ Thousands)
Balance at the beginning of period	64,020		$	2,471
Written	24,600			510
Expired	(26,040	)		(693	)
Closing buys	(26,040	)		(693	)
Balance at the end of period	36,540		$	1,595


	Core Fixed Income Fund				U.S. Fixed Income Fund⁽¹⁾				High Yield Bond Fund				Real Return Fund⁽¹⁾				Multi-Strategy Alternative Fund⁽³⁾
	10/01/09 to 03/31/10		10/01/08 to 09/30/09		10/01/09 to 03/31/10		10/01/08 to 09/30/09		10/01/09 to 03/31/10		10/01/08 to 09/30/09		10/01/09 to 03/31/10		10/01/08 to 09/30/09		03/31/10
Class A:
Shares Issued	34,330		140,720		36,600		70,927		64,229		186,696		6,474		13,379		10
Shares Issued in Lieu of Cash Distributions	5,133		15,730		1,643		424		7,929		18,815		146		—		—
Shares Redeemed	(47,371	)	(304,425	)	(17,582	)	(5,410	)	(65,727	)	(171,534	)	(2,107	)	(5,179	)	—
Total Class A Transactions	(7,908	)	(147,975	)	20,661		65,941		6,431		33,977		4,513		8,200		10
Class I:
Shares Issued	357		968		—		—		26		28		—		—		—
Shares Issued in Lieu of Cash Distributions	21		45		—		—		2		2		—		—		—
Shares Redeemed	(372	)	(508	)	—		—		(22	)	(6	)	—		—		—
Total Class I Transactions	6		505		—		—		6		24		—		—		—
Increase (Decrease) in Share Transactions	(7,902	)	(147,470	)	20,661		65,941		6,437		34,001		4,513		8,200		10


		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Large Cap Value Fund	2009	$	47,585	$	—	$	—	$	47,585
	2008		93,371		282,073		—		375,444
Large Cap Growth Fund	2009		13,318		—		—		13,318
	2008		11,663		—		—		11,663
Tax-Managed Large Cap Fund	2009		24,031		—		—		24,031
	2008		30,277		—		—		30,277
S&P 500 Index Fund	2009		25,778		10,295		—		36,073
	2008		30,514		81,651		—		112,165
Small Cap Value Fund	2009		7,732		3,167		—		10,899
	2008		35,546		106,276		—		141,822
Small Cap Growth Fund	2009		98		—		—		98
	2008		728		86,250		—		86,978
Tax-Managed Small Cap Fund	2009		1,496		—		—		1,496
	2008		4,502		20,515		—		25,017
Mid-Cap Fund	2009		1,064		—		—		1,064
	2008		7,244		10,547		—		17,791
U.S. Managed Volatility Fund	2009		5,650		—		—		5,650
	2008		15,544		11,019		—		26,563
Global Managed Volatility Fund	2009		—		—		—		—
	2008		7,306		774		—		8,080
Tax-Managed Managed Volatility Fund	2009		2,063		—		—		2,063
	2008		375		—		—		375
Real Estate Fund	2009		6,053		—		37		6,090
	2008		8,331		11,379		1,951		21,661
Enhanced Income Fund	2009		7,069		—		—		7,069
	2008		27,075		—		—		27,075
Core Fixed Income Fund	2009		153,774		—		—		153,774
	2008		217,874		—		—		217,874
U.S. Fixed Income Fund	2009		4,508		—		—		4,508
High Yield Bond Fund	2009		111,099		—		—		111,099
	2008		123,943		—		—		123,943
Real Return Fund	2009		—		—		—		—


	Undistributed Ordinary Income ($ Thousands)		Undistributed Long-Term Capital Gain ($ Thousands)		Capital Loss Carryforwards ($ Thousands)			Post October Losses ($ Thousands)			Post October Currency Losses ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Other Temporary Differences ($ Thousands)			Total Distributable Earnings (Accumulated Losses) ($ Thousands)
Large Cap Value Fund	$	7,581	$	—	$	(61,698	)	$	(509,105	)	$	—		$	17,774		$	—		$	(545,448	)
Large Cap Growth Fund		2,313		—		(1,089,193	)		(394,221	)		—			189,585			—			(1,291,516	)
Tax-Managed Large Cap Fund		4,009		—		(324,438	)		(323,617	)		—			104,875			—			(539,171	)
S&P 500 Index Fund		5,815		—		(5,841	)		(37,225	)		—			460,292			—			423,041
Small Cap Value Fund		1,782		—		(59,890	)		(141,408	)		—			8,099			11			(191,406	)
Small Cap Growth Fund		—		—		(119,606	)		(222,945	)		—			45,864			(130	)		(296,817	)
Tax-Managed Small Cap Fund		101		—		(24,197	)		(70,772	)		—			25,591			11			(69,266	)
Mid-Cap Fund		174		—		(21,942	)		(38,236	)		—			13,501			—			(46,503	)
U.S. Managed Volatility Fund		1,155		—		(20,519	)		(98,669	)		—			29,908			—			(88,125	)
Global Managed Volatility Fund		793		—		(27,992	)		(36,082	)		(14,568	)		15,739			863			(61,247	)
Tax-Managed Managed Volatility Fund		591		—		(5,025	)		(16,629	)		—			15,834			—			(5,229	)
Real Estate Fund		2,685		—		(93,497	)		(8,772	)		—			7,929			630			(91,025	)
Enhanced Income Fund		2,320		—		(35,788	)		(61,350	)		—			(40,097	)		—			(134,915	)
Core Fixed Income Fund		6,610		—		(52,922	)		(68,559	)		—			(180,436	)		(9,227	)		(304,534	)


	Expires 2017 ($ Thousands)		Expires 2016 ($ Thousands)		Expires 2015 ($ Thousands)		Expires 2014 ($ Thousands)		Expires 2013 ($ Thousands)		Expires 2012 ($ Thousands)		Expires 2011 ($ Thousands)		Expires 2010 ($ Thousands)		Total Capital Loss Carryforwards ($ Thousands)
Large Cap Value Fund	$	61,698	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	61,698
Large Cap Growth Fund		64,163		—		—		—		—		7,113		625,971		391,946		1,089,193
Tax-Managed Large Cap Fund		52,635		—		—		—		—		16,066		203,461		52,276		324,438
S&P 500 Index Fund		5,841		—		—		—		—		—		—		—		5,841
Small Cap Value Fund		59,890		—		—		—		—		—		—		—		59,890
Small Cap Growth Fund		119,606		—		—		—		—		—		—		—		119,606
Tax-Managed Small Cap Fund		24,197		—		—		—		—		—		—		—		24,197
Mid-Cap Fund		21,639		303		—		—		—		—		—		—		21,942
U.S. Managed Volatility		20,519		—		—		—		—		—		—		—		20,519
Global Managed Volatility Fund		27,992		—		—		—		—		—		—		—		27,992
Tax-Managed Managed Volatility Fund		5,025		—		—		—		—		—		—		—		5,025
Real Estate Fund		—		93,497		—		—		—		—		—		—		93,497
Enhanced Income Fund		31,835		3,427		526		—		—		—		—		—		35,788
Core Fixed Income Fund		2,581		—		40,684		9,657		—		—		—		—		52,922
High Yield Bond Fund		63,877		3,037		21,474		8,149		—		—		57,113		68,652		222,302


SEI Institutional Managed Trust

By		/S/ ROBERT A. NESHER
		Robert A. Nesher, President & CEO



By		/S/ STEPHEN F. PANNER
		Stephen F. Panner, Controller & CFO