SEI Institutional Managed Trust


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.7%

Consumer Discretionary — 13.5%
Amazon.com *		15,190	$	3,469
Apollo Group, Cl A * (A)		135,975		4,921
Autoliv		17,400		951
Bed Bath & Beyond *		110,991		6,859
Best Buy (A)		139,800		2,930
Big Lots *		27,800		1,134
Career Education *		128,029		857
CBS, Cl B		296,300		9,713
Coach		215,793		12,620
Comcast, Cl A		68,500		2,190
Dillard’s, Cl A (A)		23,300		1,484
DIRECTV, Cl A *		64,100		3,129
Discovery Communications, Cl A * (A)		77,520		4,186
DISH Network, Cl A		52,300		1,493
Foot Locker		33,600		1,028
Ford Motor (A)		182,200		1,747
Fossil *		51,181		3,917
GameStop, Cl A (A)		79,600		1,462
Gannett (A)		57,600		849
Gap (A)		143,200		3,918
General Motors * (A)		39,300		775
Guess? (A)		11,500		349
Harley-Davidson		160,794		7,353
Harman International
Industries		14,500		574
Hasbro (A)		8,500		288
Home Depot (A)		95,890		5,081
Interpublic Group		96,300		1,045
ITT Educational Services * (A)		5,700		346
Johnson Controls		234,477		6,497
Kohl’s		34,100		1,551
Lear		47,300		1,785
Limited Brands		3,700		157
Lowe’s		259,457		7,379
Macy’s		104,700		3,596
McDonald’s		83,190		7,365
MGM Mirage *		3,100		35
News, Cl A		187,400		4,177
Nike, Cl B		124,565		10,934
Nordstrom		138,971		6,906
priceline.com *		12,925		8,589
RadioShack (A)		39,200		151
Ralph Lauren, Cl A		16,890		2,366
Staples (A)		286,600		3,740
Starbucks		42,690		2,276
Target		247,518		14,403
Time Warner		38,700		1,490
Time Warner Cable, Cl A (A)		87,320		7,169
TRW Automotive Holdings *		15,300		562
Tupperware Brands		4,200		230
Under Armour, Cl A * (A)		33,970		3,209
Washington Post, Cl B (A)		1,100		411
Whirlpool		47,200		2,887
Wyndham Worldwide (A)		59,500		3,138

				185,671


Consumer Staples — 9.1%
Altria Group		67,100		2,319
Anheuser-Busch InBev ADR		75,982		6,052


Description	Shares		Market Value ($ Thousands)

Archer-Daniels-Midland		156,600	$	4,623
Beam		63,090		3,942
Bunge		22,900		1,437
Church & Dwight		41,890		2,324
Coca-Cola		29,900		2,338
Coca-Cola Enterprises		26,400		740
ConAgra Foods		83,200		2,157
Constellation Brands, Cl A *		9,200		249
Costco Wholesale		193,396		18,373
CVS Caremark		155,100		7,248
Dean Foods *		104,300		1,776
Dr Pepper Snapple Group (A)		26,900		1,177
Estee Lauder, Cl A		159,790		8,648
Herbalife		16,400		792
Ingredion		16,500		817
Kimberly-Clark		34,100		2,856
Kraft Foods, Cl A		23,000		888
Kroger		215,700		5,002
Lorillard		10,400		1,372
Mead Johnson Nutrition, Cl A		122,712		9,880
PepsiCo		23,800		1,682
Philip Morris International		108,620		9,478
Procter & Gamble		76,600		4,692
Reynolds American		19,900		893
Safeway (A)		61,100		1,109
Smithfield Foods *		41,300		893
Tyson Foods, Cl A		42,000		791
Walgreen		152,000		4,496
Wal-Mart Stores		64,600		4,504
Whole Foods Market		124,090		11,828

				125,376


Energy — 9.6%
Apache		20,500		1,802
Canadian Natural Resources		147,742		3,967
Chevron		201,500		21,258
ConocoPhillips (A)		231,790		12,952
Core Laboratories		36,637		4,246
Devon Energy		21,700		1,258
EOG Resources		90,450		8,150
Exxon Mobil		288,900		24,721
FMC Technologies * (A)		122,058		4,788
Halliburton		44,200		1,255
Hess		41,900		1,821
HollyFrontier		7,800		276
Kinder Morgan		188,065		6,059
Marathon Oil		164,500		4,206
Marathon Petroleum		57,250		2,572
McDermott International *		29,900		333
Murphy Oil		82,000		4,124
Nabors Industries *		31,700		457
National Oilwell Varco		31,680		2,041
Noble Energy		39,350		3,338
Occidental Petroleum		24,400		2,093
Phillips 66 *		132,550		4,406
Quicksilver Resources * (A)		23,000		125
Schlumberger		127,770		8,294
Tesoro *		100,700		2,514
Valero Energy		199,100		4,808

				131,864


Financials — 14.3%
ACE		63,700		4,722


Description	Shares		Market Value ($ Thousands)

Aflac		28,500	$	1,214
Allstate		115,300		4,046
American Capital *		103,800		1,045
American Express		20,800		1,211
American Financial Group		55,247		2,167
American Tower, Cl A †		121,178		8,472
Ameriprise Financial		59,600		3,115
Annaly Capital Management † (A)		58,200		977
Associated Banc-Corp		11,100		146
Assurant		123,600		4,306
AvalonBay Communities † (A)		2,100		297
Bank of America		415,100		3,396
Bank of New York Mellon		42,500		933
BB&T		27,900		861
Berkshire Hathaway, Cl B *		26,300		2,192
BlackRock		1,300		221
Boston Properties † (A)		2,400		260
Brandywine Realty Trust † (A)		67,500		833
Capital One Financial		209,730		11,464
CBL & Associates Properties (A) †		35,800		700
Charles Schwab (A)		302,158		3,907
Chubb		37,200		2,709
Citigroup		370,000		10,142
CME Group		20,900		5,603
CNA Financial		25,700		712
CommonWealth †		17,600		336
Discover Financial Services		184,300		6,373
Endurance Specialty Holdings		20,000		766
Equity Residential †		6,500		405
Everest Re Group		32,400		3,353
Fifth Third Bancorp		373,400		5,003
Fulton Financial		8,800		88
Genworth Financial, Cl A *		84,900		481
Goldman Sachs Group (A)		26,600		2,550
Hartford Financial Services Group		52,600		927
HCP †		8,700		384
Health Care †		2,900		169
Hospitality Properties Trust †		79,400		1,967
Host Hotels & Resorts † (A)		11,300		179
Huntington Bancshares		710,700		4,548
IntercontinentalExchange *		51,950		7,064
JPMorgan Chase		540,660		19,318
Keycorp		764,900		5,920
Kimco Realty †		6,400		122
Lincoln National (A)		56,700		1,240
Loews		32,500		1,330
Macerich †		2,200		130
MetLife		42,000		1,296
MFA Financial †		94,700		747
Morgan Stanley		69,800		1,018
PartnerRe		11,500		870
PNC Financial Services Group		79,800		4,877
Popular *		19,670		327
Progressive (A)		305,700		6,368
ProLogis † (A)		9,600		319
Protective Life (A)		38,700		1,138
Prudential Financial		37,300		1,806
Public Storage †		2,400		347
Regions Financial		598,900		4,043


Description	Shares		Market Value ($ Thousands)

Reinsurance Group of America, Cl A		36,600	$	1,947
Senior Housing Properties Trust †		28,600		638
Simon Property Group †		6,100		949
SLM		46,600		732
State Street		23,700		1,058
Torchmark		26,250		1,327
Travelers		84,300		5,382
Unum Group		76,700		1,467
US Bancorp		130,000		4,181
Validus Holdings		23,900		766
Ventas †		4,251		268
Vornado Realty Trust †		3,100		260
Wells Fargo		486,500		16,268
Weyerhaeuser †		8,900		199

				196,902


Health Care — 11.6%
Abbott Laboratories		67,500		4,352
Aetna		114,400		4,435
Alexion Pharmaceuticals *		27,300		2,711
Allergan		129,210		11,961
AmerisourceBergen		25,100		988
Amgen		184,099		13,447
Bristol-Myers Squibb		9,900		356
Cardinal Health		37,900		1,592
Celgene *		97,825		6,276
Cigna		8,500		374
Community Health Systems *		30,800		863
Covance *		76,999		3,684
Covidien		56,340		3,014
DaVita *		60,673		5,959
Eli Lilly		60,900		2,613
Endo Pharmaceuticals Holdings *		18,600		576
Express Scripts Holding *		128,830		7,193
Gilead Sciences *		31,400		1,610
HCA Holdings		32,000		974
Health Net *		47,400		1,150
Hill-Rom Holdings		8,600		265
Humana		52,200		4,042
Idexx Laboratories * (A)		51,502		4,951
Intuitive Surgical * (A)		8,015		4,439
Johnson & Johnson (A)		101,800		6,878
LifePoint Hospitals *		12,500		512
McKesson		43,400		4,069
Medtronic		19,600		759
Merck		287,200		11,991
Novo Nordisk ADR (A)		45,350		6,591
Omnicare (A)		62,500		1,952
Perrigo (A)		36,000		4,245
Pfizer		987,040		22,702
United Therapeutics *		19,700		973
UnitedHealth Group		41,400		2,422
Warner Chilcott, Cl A *		69,400		1,244
WellPoint		93,900		5,990
Zimmer Holdings		27,600		1,776

				159,929


Industrials — 8.7%
AGCO *		53,700		2,455
Alaska Air Group *		20,300		729


Description	Shares		Market Value ($ Thousands)

Alliant Techsystems (A)		10,049	$	508
Caterpillar		54,800		4,653
Cummins		9,800		950
Danaher		111,789		5,822
Deere		17,100		1,383
Delta Air Lines *		280,100		3,067
Eaton (A)		14,300		567
Exelis		23,300		230
Expeditors International of Washington		94,400		3,658
FedEx		9,600		880
Fluor		104,259		5,144
Foster Wheeler *		47,300		820
General Cable *		19,800		514
General Dynamics		25,900		1,708
General Electric		707,410		14,743
Honeywell International		50,440		2,817
Ingersoll-Rand		5,900		249
ITT		17,800		313
Kansas City Southern		44,390		3,088
KBR		79,500		1,964
L-3 Communications Holdings (A)		63,300		4,685
Lockheed Martin (A)		56,000		4,877
Navistar International *		32,600		925
Norfolk Southern		22,600		1,622
Northrop Grumman (A)		113,800		7,259
Pall		85,350		4,678
Parker Hannifin		17,800		1,368
Precision Castparts		56,613		9,312
Raytheon (A)		49,000		2,773
Roper Industries		48,910		4,821
RR Donnelley & Sons (A)		57,000		671
Stericycle *		74,012		6,785
Timken		45,900		2,102
Union Pacific		59,990		7,157
United Continental Holdings * (A)		46,800		1,138
United Technologies		12,500		944
URS		25,290		882
US Airways Group * (A)		63,900		852
Waste Management (A)		21,500		718

				119,831


Information Technology — 22.2%
Accenture, Cl A		120,810		7,259
Adobe Systems *		434,913		14,078
Altera		106,480		3,603
Amdocs		23,500		698
Amphenol, Cl A		84,487		4,640
Ansys *		73,089		4,613
Apple *		78,729		45,978
Autodesk *		185,992		6,508
BMC Software *		161,950		6,912
Brocade Communications
Systems *		206,500		1,018
CA		93,100		2,522
Cisco Systems		441,800		7,585
Citrix Systems *		47,955		4,025
Cognizant Technology
Solutions, Cl A *		81,061		4,864
Computer Sciences		12,800		318


Description	Shares		Market Value ($ Thousands)

Comverse Technology *		54	$	—
Corning		107,800		1,394
Dell *		183,600		2,299
DST Systems		11,317		615
EMC *		265,439		6,803
Fidelity National Information Services		23,200		791
Genpact *		185,685		3,088
Google, Cl A *		31,469		18,254
Harris (A)		20,500		858
Hewlett-Packard		130,800		2,630
Ingram Micro, Cl A *		53,800		940
Intel		634,710		16,915
International Business Machines		52,022		10,174
Intuit (A)		189,470		11,245
Kla-Tencor		16,700		823
Lender Processing Services		50,600		1,279
Lexmark International, Cl A		5,400		144
Mastercard, Cl A		47,634		20,488
Microchip Technology (A)		114,420		3,785
Microsoft		275,100		8,415
National Instruments		147,568		3,964
NetApp *		196,817		6,263
Oracle		327,209		9,718
Polycom *		161,000		1,694
Qualcomm		374,012		20,825
SAIC (A)		117,000		1,418
Salesforce.com *		28,804		3,983
Seagate Technology (A)		39,600		979
Symantec *		98,200		1,435
TE Connectivity		37,400		1,193
Tech Data *		21,200		1,021
Teradata *		77,900		5,609
Total System Services		8,400		201
VeriSign * (A)		158,375		6,901
Visa, Cl A		101,375		12,533
Vishay Intertechnology * (A)		7,100		67
Western Digital *		65,200		1,987
Xerox		140,500		1,106

				306,458


Materials — 2.9%
Agrium (A)		30,000		2,654
AK Steel Holding (A)		105,000		616
Ashland (A)		11,100		769
Cabot		19,800		806
CF Industries Holdings		27,500		5,328
Cliffs Natural Resources (A)		9,600		473
Commercial Metals		25,900		327
Domtar		11,400		875
Dow Chemical (A)		108,940		3,432
Eastman Chemical		27,000		1,360
Freeport-McMoRan Copper &
Gold, Cl B		84,900		2,893
Huntsman		207,100		2,680
International Paper		22,600		653
LyondellBasell Industries, Cl A		61,800		2,489
Monsanto		66,030		5,466
Newmont Mining		6,900		335
PPG Industries		1,300		138
Rock-Tenn, Cl A		10,500		573


Description	Shares		Market Value ($ Thousands)

Sherwin-Williams		9,740	$	1,289
Steel Dynamics		119,600		1,405
Syngenta ADR		79,100		5,413

				39,974


Telecommunication Services — 2.8%
AT&T		470,550		16,780
Crown Castle International * (A)		174,600		10,242
Telephone & Data Systems		9,565		203
Verizon Communications		262,848		11,681

				38,906


Utilities — 2.0%
AES *		150,000		1,924
Ameren		78,800		2,643
American Electric Power		159,500		6,364
Consolidated Edison		5,900		367
DTE Energy		20,100		1,193
Edison International		62,500		2,888
Entergy		86,700		5,886
Exelon		21,800		820
NV Energy		68,200		1,199
Public Service Enterprise Group		144,100		4,683

				27,967

Total Common Stock (Cost $1,154,699) ($ Thousands)				1,332,878

	Number of Warrants
WARRANTS — 0.0%
Kinder Morgan
Expires 2017 *		98,496		213

Total Warrants (Cost $187) ($Thousands)				213


AFFILIATED PARTNERSHIP — 7.8%
SEI Liquidity Fund, L.P.
0.150%**†† (B)		107,370,838		107,371

Total Affiliated Partnership (Cost $107,371) ($ Thousands)				107,371


CASH EQUIVALENTS — 3.2%
Investors Cash Trust-Treasury Portfolio-DWS US Treasury Money Fund 0.010%**		1,140,994		1,141
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**††		42,246,869		42,247

Total Cash Equivalents (Cost $43,388) ($ Thousands)				43,388


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


U.S. TREASURY OBLIGATION (C) (D) — 0.1%
U.S. Treasury Bills
0.093%, 09/20/12	$	1,547	$	1,547
Total U.S. Treasury Obligation (Cost $1,547) ($ Thousands)				1,547

Total Investments — 107.8% (Cost $1,307,192) ($ Thousands) ‡			$	1,485,397

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		337		Sep-2012	$	743
S&P Mid 400 Index E-MINI		55		Sep-2012		142

					$	885

For the period ended June 30, 2012, 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 $1,378,096 ($Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $107,093 ($ Thousands) (B) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $107,371 ($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 contracts.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $1,307,192 ($Thousands), and the unrealized appreciation and depreciation were $226,157 ($ Thousands) and ($47,952) ($ Thousands) respectively.

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,332,878	$	—	$	—	$	1,332,878
Warrants		213		—		—		213
Affiliated Partnership		—		107,371		—		107,371
Cash Equivalents		42,247		1,141		—		43,388
U.S. Treasury Obligation		—		1,547		—		1,547

Total Investments in Securities	$	1,375,338	$	110,059	$	—	$	1,485,397


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	885	$	—	$	—	$	885

Total Other Financial Instruments	$	885	$	—	$	—	$	885

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.0%

Consumer Discretionary — 8.1%
Apollo Group, Cl A *		98,500	$	3,565
Autoliv		33,900		1,853
Best Buy (A)		109,200		2,289
Cablevision Systems, Cl A		238,081		3,164
CBS, Cl B		85,100		2,790
Coach		64,500		3,772
Comcast, Cl A (A)		205,100		6,509
Darden Restaurants (A)		31,000		1,570
Delphi Automotive * (A)		86,930		2,217
Dillard’s, Cl A (A)		24,100		1,535
DIRECTV, Cl A *		106,900		5,219
Ford Motor (A)		640,700		6,144
GameStop, Cl A (A)		51,200		940
Gannett (A)		108,900		1,604
Gap		171,800		4,701
General Motors * (A)		79,500		1,568
Gentex (A)		131,800		2,750
Interpublic Group		212,500		2,306
Kohl’s		66,600		3,029
Lear		89,000		3,358
Lowe’s		60,700		1,726
Macy’s		181,300		6,227
McGraw-Hill		78,105		3,515
Newell Rubbermaid		166,185		3,015
RadioShack (A)		71,700		275
Staples (A)		230,275		3,005
Target		88,000		5,121
Time Warner		149,600		5,760
Time Warner Cable, Cl A		21,300		1,749
Viacom, Cl B		111,000		5,219
Walt Disney		35,900		1,741
Whirlpool (A)		79,400		4,856
Wyndham Worldwide (A)		63,300		3,338

				106,430


Consumer Staples — 7.8%
Archer-Daniels-Midland		169,500		5,004
Campbell Soup (A)		149,250		4,982
Coca-Cola		81,600		6,380
Coca-Cola Enterprises		57,700		1,618
Colgate-Palmolive (A)		52,600		5,476
CVS Caremark		315,800		14,757
Dean Foods *		178,400		3,038
Energizer Holdings *		27,000		2,032
General Mills		34,100		1,314
Herbalife		27,700		1,339
HJ Heinz (A)		32,800		1,784
Ingredion		32,200		1,594
Kroger		370,200		8,585
Lorillard		15,600		2,059
Molson Coors Brewing, Cl B		78,200		3,254
PepsiCo		39,060		2,760
Philip Morris International		50,300		4,389
Procter & Gamble		92,100		5,641
Ralcorp Holdings *		26,000		1,735
Safeway (A)		209,400		3,801
Smithfield Foods *		80,300		1,737
SUPERVALU (A)		111,437		577
SYSCO		61,500		1,833
Unilever		75,800		2,528


Description	Shares		Market Value ($ Thousands)

Walgreen		71,400	$	2,112
Wal-Mart Stores		163,110		11,372

				101,701


Energy — 14.6%
Anadarko Petroleum		26,200		1,734
Apache		87,925		7,728
Baker Hughes (A)		89,235		3,667
Chesapeake Energy (A)		194,450		3,617
Chevron		366,100		38,624
ConocoPhillips (A)		284,100		15,875
Devon Energy		67,800		3,932
Exxon Mobil		581,275		49,740
Halliburton		146,800		4,168
Hess		80,400		3,493
Marathon Oil		261,100		6,676
Marathon Petroleum		107,900		4,847
Murphy Oil		212,450		10,684
Nabors Industries *		57,300		825
National Oilwell Varco		39,600		2,552
Noble Energy		27,300		2,316
Occidental Petroleum		76,300		6,544
Phillips 66 *		118,100		3,926
QEP Resources		61,300		1,837
Schlumberger		53,585		3,478
Tesoro *		269,600		6,729
Valero Energy		289,800		6,999

				189,991


Financials — 21.4%
ACE		73,700		5,463
Aflac		249,975		10,646
Allstate		201,400		7,067
American Express		136,650		7,954
American Financial Group		85,400		3,350
Ameriprise Financial		154,800		8,090
Annaly Capital Management † (A)		70,600		1,185
Assurant (A)		162,000		5,644
Bank of America		584,000		4,777
Bank of New York Mellon		80,300		1,762
BlackRock		11,400		1,936
Capital One Financial		71,600		3,914
CBL & Associates
Properties (A) †		83,500		1,631
CBRE Group, Cl A *		238,925		3,909
Chubb		57,700		4,202
Citigroup		664,460		18,213
Discover Financial Services		244,800		8,465
Endurance Specialty Holdings		39,000		1,495
Everest Re Group		90,035		9,318
Fidelity National Financial,
Cl A (A)		286,981		5,527
Fifth Third Bancorp		673,800		9,029
Goldman Sachs Group		44,895		4,304
Hartford Financial Services
Group (A)		102,600		1,809
Hospitality Properties Trust †		128,100		3,173
Huntington Bancshares		1,083,400		6,934
Invesco		142,200		3,214
JPMorgan Chase		796,100		28,445
Keycorp		751,100		5,813
Lazard, Cl A (A)		157,019		4,081


Description	Shares		Market Value ($ Thousands)

Lincoln National (A)		168,000	$	3,674
MetLife		152,900		4,717
Morgan Stanley		136,300		1,989
PNC Financial Services Group		152,900		9,343
Protective Life		88,700		2,609
Prudential Financial		108,700		5,264
Regions Financial		846,800		5,716
Reinsurance Group of
America, Cl A		31,300		1,666
Senior Housing Properties
Trust †		58,200		1,299
State Street		46,200		2,062
Travelers		116,700		7,450
Unum Group		79,300		1,517
US Bancorp		313,300		10,076
Wells Fargo		986,900		33,002
Weyerhaeuser †		266,400		5,957
Willis Group Holdings		38,400		1,401

				279,092


Health Care — 13.2%
Abbott Laboratories		28,700		1,850
Aetna		272,600		10,569
AmerisourceBergen		84,100		3,309
Amgen		137,100		10,014
Baxter International		76,600		4,071
Cardinal Health		55,100		2,314
CareFusion *		69,900		1,795
Cigna		32,800		1,443
Coventry Health Care		52,600		1,672
Covidien		53,200		2,846
Eli Lilly		43,600		1,871
Endo Pharmaceuticals Holdings *		33,500		1,038
Forest Laboratories *		155,500		5,441
Gilead Sciences *		78,100		4,005
Health Net *		97,200		2,359
Humana		44,900		3,477
Johnson & Johnson (A)		206,175		13,929
McKesson		62,000		5,813
Merck		543,100		22,674
Myriad Genetics *		95,955		2,281
Pfizer		1,813,600		41,713
St. Jude Medical		96,725		3,860
United Therapeutics *		38,400		1,896
UnitedHealth Group		54,100		3,165
Warner Chilcott, Cl A *		81,700		1,464
WellPoint		195,200		12,452
Zimmer Holdings		74,200		4,776

				172,097


Industrials — 9.6%
AGCO *		108,200		4,948
Boeing		35,025		2,602
Caterpillar		77,100		6,547
Deere		51,500		4,165
Delta Air Lines *		401,900		4,401
Dover		43,300		2,321
Emerson Electric		75,600		3,521
General Dynamics		24,800		1,636
General Electric		1,307,225		27,243
GrafTech International * (A)		262,970		2,538
Honeywell International		28,900		1,614


Description	Shares		Market Value ($ Thousands)

Illinois Tool Works (A)		69,300	$	3,665
Ingersoll-Rand (A)		124,570		5,254
ITT (A)		141,565		2,492
KBR		30,400		751
L-3 Communications Holdings		57,100		4,226
Lockheed Martin (A)		52,200		4,545
Navistar International *		31,800		902
Norfolk Southern		23,800		1,708
Northrop Grumman		214,750		13,699
Oshkosh Truck *		79,500		1,666
Parker Hannifin (A)		40,400		3,106
Raytheon (A)		102,600		5,806
RR Donnelley & Sons (A)		144,100		1,696
Teleflex		61,350		3,737
Textron (A)		63,500		1,579
Timken		60,500		2,770
Union Pacific		21,900		2,613
Xylem		118,425		2,981

				124,732


Information Technology — 11.4%
Adobe Systems *		151,000		4,888
Amdocs		57,500		1,709
Apple *		7,614		4,447
Automatic Data Processing		83,800		4,664
BMC Software *		40,400		1,724
CA		231,500		6,271
Cisco Systems		1,413,600		24,271
Computer Sciences		25,100		623
Corning		197,800		2,558
Cree * (A)		47,150		1,210
Dell *		202,200		2,531
EMC *		69,000		1,768
Google, Cl A *		7,175		4,162
Harris (A)		42,100		1,762
Hewlett-Packard		162,700		3,272
Ingram Micro, Cl A *		87,400		1,527
Intel		894,175		23,830
LSI Logic *		336,660		2,145
Mastercard, Cl A		5,095		2,191
Microsoft		685,000		20,954
Oracle		81,800		2,429
Riverbed Technology *		221,100		3,571
Seagate Technology		77,300		1,912
Symantec *		204,900		2,994
TE Connectivity		118,400		3,778
Tech Data *		65,300		3,146
Texas Instruments		60,300		1,730
Total System Services		231,800		5,547
Visa, Cl A		16,500		2,040
Vishay Intertechnology * (A)		103,400		975
Western Digital *		64,700		1,972
Xerox		222,600		1,752

				148,353


Materials — 5.2%
Agrium (A)		46,100		4,078
CF Industries Holdings		38,400		7,440
CRH ADR		177,250		3,410
Domtar		36,100		2,769
Dow Chemical (A)		155,200		4,889
E.I. Du Pont de Nemours		130,100		6,579


Description	Shares		Market Value ($ Thousands)

Eastman Chemical		52,700	$	2,654
Freeport-McMoRan Copper & Gold, Cl B		118,900		4,051
Huntsman		408,800		5,290
International Paper		61,000		1,764
Newmont Mining		182,800		8,868
Owens-Illinois *		371,100		7,114
Potash Corp of Saskatchewan		32,100		1,402
Rock-Tenn, Cl A		17,600		960
Sealed Air		186,862		2,885
WR Grace *		69,190		3,491

				67,644


Telecommunication Services — 2.0%
AT&T (A)		596,400		21,268
Verizon Communications		101,300		4,502

				25,770


Utilities — 3.7%
AES *		338,000		4,337
Ameren		112,100		3,760
American Electric Power		219,400		8,754
DTE Energy		50,900		3,020
Edison International		126,300		5,835
Entergy		114,900		7,801
Exelon		34,800		1,309
Pinnacle West Capital		36,900		1,909
PPL		61,200		1,702
Public Service Enterprise Group		200,400		6,513
Sempra Energy		52,900		3,643

				48,583

Total Common Stock (Cost $1,208,021) ($ Thousands)				1,264,393


EXCHANGE TRADED FUND — 0.5%
SPDR Gold Shares		46,650		7,239

Total Exchange Traded Fund (Cost $6,822) ($ Thousands)				7,239


AFFILIATED PARTNERSHIP — 7.6%
SEI Liquidity Fund, L.P.
0.150%**†† (B) (C)		104,145,981		99,104

Total Affiliated Partnership (Cost $104,146) ($ Thousands)				99,104


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		32,410,044		32,410

Total Cash Equivalent (Cost $32,410) ($ Thousands)				32,410


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

U.S. TREASURY OBLIGATION (C) (D) — 0.1%
U.S. Treasury Bills
0.059%, 09/20/12	$	1,645	$	1,645

Total U.S. Treasury Obligation (Cost $1,645) ($ Thousands)				1,645

Total Investments — 107.7% (Cost $1,353,044) ($ Thousands) ‡			$	1,404,791

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		18		Sep-2012	$	69
S&P 500 Index E-MINI		244		Sep-2012		566

					$	635

Percentages are based on Net Assets of $1,304,160 ($Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $103,244 ($ Thousands)

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $99,104 ($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 contracts.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

SPDR — Standard & Poor’s Depositary Receipt

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $1,353,044 ($ Thousands), and the unrealized appreciation and depreciation were $185,500 ($ Thousands) and ($133,753) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,264,393	$	—	$	—	$	1,264,393
Exchange Traded Fund		7,239		—		—		7,239
Affiliated Partnership		—		99,104		—		99,104
Cash Equivalent		32,410		—		—		32,410
U.S. Treasury Obligation		—		1,645		—		1,645

Total Investments in Securities	$	1,304,042	$	100,749	$	—	$	1,404,791


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	635	$	—	$	—	$	635

Total Other Financial Instruments	$	635	$	—	$	—	$	635

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.4% ‡

Consumer Discretionary — 13.4%
Advance Auto Parts		49,400	$	3,370
AMC Networks, Cl A * (A)		7,700		274
Apollo Group, Cl A *		192,400		6,963
Autozone *		11,469		4,211
Bed Bath & Beyond *		10,600		655
Big Lots *		10,100		412
CBS, Cl B		4,700		154
Chipotle Mexican Grill, Cl A * (A)		9,100		3,458
Coach		231,197		13,520
Comcast, Cl A		3,600		115
Deckers Outdoor * (A)		1,800		79
Delphi Automotive * (A)		3,500		89
Dollar General *		28,500		1,550
Dollar Tree * (A)		135,800		7,306
Expedia		1,600		77
Fossil *		142,599		10,915
Garmin (A)		3,800		145
Genuine Parts		26,200		1,578
Goodyear Tire & Rubber *		34,500		408
H&R Block (A)		85,400		1,365
Harley-Davidson		25,700		1,175
Home Depot (A)		159,400		8,447
Lamar Advertising, Cl A *		4,200		120
Las Vegas Sands		15,800		687
Limited Brands		150,200		6,388
LKQ *		20,000		668
Macy’s		34,100		1,171
Marriott International, Cl A (A)		76,300		2,991
Mattel		110,900		3,598
McDonald’s		152,600		13,510
Michael Kors Holdings * (A)		3,200		134
Nike, Cl B		151,375		13,288
Nordstrom		7,600		378
Omnicom Group		3,100		151
O’Reilly Automotive * (A)		67,600		5,663
PetSmart		58,900		4,016
Polaris Industries (A)		39,500		2,823
priceline.com * (A)		29,125		19,354
PVH		1,300		101
Ralph Lauren, Cl A		3,200		448
Ross Stores		131,800		8,233
Sally Beauty Holdings *		53,300		1,372
Staples (A)		646,175		8,433
Starbucks		67,000		3,572
Starwood Hotels & Resorts Worldwide		5,700		302
Tempur-Pedic International *		6,500		152
TJX		232,100		9,964
Tractor Supply (A)		21,300		1,769
Under Armour, Cl A * (A)		2,000		189
Yum! Brands		21,400		1,379

				177,120


Consumer Staples — 6.7%
Altria Group		328,597		11,353
Church & Dwight		13,800		765
Costco Wholesale		175,245		16,648
Estee Lauder, Cl A		257,664		13,945
Ingredion		6,500		322


Description	Shares		Market Value ($ Thousands)

Mead Johnson Nutrition, Cl A		188,878	$	15,206
Monster Beverage *		67,300		4,792
Philip Morris International		192,797		16,824
Walgreen		231,725		6,855
Whole Foods Market		20,100		1,916

				88,626


Energy — 9.6%
Atwood Oceanics *		3,500		132
Cabot Oil & Gas		15,600		614
Cameron International *		17,700		756
Canadian Natural Resources		411,424		11,047
Chevron		8,300		876
Cobalt International Energy *		33,800		794
Concho Resources *		63,300		5,388
Continental Resources * (A)		26,600		1,772
Core Laboratories (A)		105,481		12,225
Denbury Resources *		60,300		911
Dresser-Rand Group *		1,000		45
EOG Resources		204,325		18,412
EQT		8,000		429
Exxon Mobil		193,300		16,541
FMC Technologies * (A)		505,272		19,822
HollyFrontier		2,960		105
Kinder Morgan		492,606		15,872
Noble Energy		10,300		874
Oceaneering International		68,200		3,264
Oil States International * (A)		26,400		1,748
Pioneer Natural Resources		18,200		1,605
Schlumberger		221,005		14,345

				127,577


Financials — 5.3%
American Tower, Cl A †		2,600		182
BlackRock		800		136
Charles Schwab (A)		841,886		10,885
CME Group		47,300		12,682
Digital Realty Trust † (A)		61,900		4,647
IntercontinentalExchange *		117,350		15,957
Progressive (A)		687,936		14,330
Public Storage †		36,000		5,199
Simon Property Group †		17,500		2,724
Validus Holdings (A)		3,200		102
Wells Fargo		105,200		3,518
Weyerhaeuser †		14,200		317

				70,679


Health Care — 11.4%
Abbott Laboratories		32,500		2,095
Alexion Pharmaceuticals * (A)		116,100		11,529
Allergan		223,875		20,724
AMERIGROUP *		16,900		1,114
Biogen Idec *		12,200		1,761
BioMarin Pharmaceuticals * (A)		22,000		871
Celgene *		55,300		3,548
Covance * (A)		214,538		10,266
DaVita *		153,246		15,050
Express Scripts Holding *		346,721		19,358
Idexx Laboratories * (A)		143,496		13,794
Intuitive Surgical *		38,621		21,388
Novo Nordisk ADR		102,332		14,873
Perrigo (A)		111,425		13,141


Description	Shares		Market Value ($ Thousands)

Regeneron Pharmaceuticals * (A)		3,100	$	354
SXC Health Solutions * (A)		9,500		942

				150,808


Industrials — 11.1%
BE Aerospace *		46,100		2,013
Carlisle		1,800		95
Caterpillar		138,200		11,735
Chicago Bridge & Iron		32,400		1,230
Copart *		13,300		315
Cummins		4,100		397
Danaher (A)		311,471		16,221
Delta Air Lines *		115,300		1,262
Donaldson		86,600		2,890
Dun & Bradstreet		14,900		1,061
Eaton (A)		11,700		464
Equifax		2,300		107
Expeditors International of Washington		213,000		8,254
Fastenal (A)		216,800		8,739
Flowserve		11,300		1,297
Fluor		290,491		14,333
Graco		3,300		152
Honeywell International		37,200		2,077
IHS, Cl A *		3,000		323
Illinois Tool Works (A)		8,500		450
Ingersoll-Rand		59,400		2,506
Joy Global		11,000		624
Kansas City Southern		55,500		3,860
Kennametal		4,600		152
Kirby *		9,800		461
Landstar System		30,000		1,552
Lincoln Electric Holdings		29,100		1,274
Manitowoc (A)		8,000		94
Masco (A)		157,700		2,187
MSC Industrial Direct, Cl A		27,800		1,822
Pall		62,200		3,409
Parker Hannifin		5,000		384
Precision Castparts		12,900		2,122
Robert Half International		36,100		1,031
Rockwell Automation		8,700		575
Roper Industries (A)		162,776		16,046
Spirit Aerosystems Holdings, Cl A *		9,100		217
SPX		2,800		183
Stericycle * (A)		206,214		18,904
Timken		34,500		1,580
Toro		8,000		586
TransDigm Group *		6,000		806
Union Pacific		17,200		2,052
United Continental Holdings * (A)		49,400		1,202
Valmont Industries		2,300		278
Verisk Analytics, Cl A *		23,500		1,158
WESCO International * (A)		10,400		599
WW Grainger (A)		37,500		7,172

				146,251


Information Technology — 35.8%
Accenture, Cl A (A)		265,886		15,977
Adobe Systems *		462,900		14,984
Advanced Micro Devices *		18,700		107


Description	Shares		Market Value ($ Thousands)

Akamai Technologies *		7,700	$	244
Alliance Data Systems * (A)		32,500		4,388
Amphenol, Cl A		235,394		12,928
Analog Devices		2,300		87
Ansys *		203,536		12,845
Apple *		145,938		85,228
Automatic Data Processing		26,400		1,469
BMC Software *		365,550		15,602
Citrix Systems *		133,610		11,215
Cognizant Technology Solutions, Cl A *		225,848		13,551
Equinix * (A)		5,800		1,019
F5 Networks *		36,200		3,604
Genpact *		517,363		8,604
Google, Cl A *		67,364		39,076
International Business Machines		74,874		14,644
Intuit		294,975		17,507
Jabil Circuit		94,800		1,927
Kla-Tencor		87,500		4,309
Lam Research * (A)		2,800		106
Lender Processing Services		27,400		693
LSI Logic *		32,400		206
Mastercard, Cl A		83,174		35,774
Maxim Integrated Products		5,900		151
Microchip Technology (A)		41,700		1,380
Microsoft		277,458		8,487
National Instruments		411,159		11,044
NetApp * (A)		369,788		11,767
NeuStar, Cl A *		45,000		1,503
Nuance Communications * (A)		151,200		3,602
Polycom *		359,850		3,785
Qualcomm		637,944		35,521
Rackspace Hosting *		44,400		1,951
Red Hat *		89,900		5,078
Salesforce.com * (A)		78,311		10,827
Silicon Laboratories * (A)		12,300		466
Teradata *		175,550		12,641
TIBCO Software * (A)		24,000		718
Trimble Navigation *		40,000		1,840
VeriSign * (A)		374,825		16,331
Visa, Cl A		247,775		30,632

				473,818

Materials — 2.3%
Airgas (A)		43,600		3,663
Albemarle		3,200		191
CF Industries Holdings		11,300		2,189
Ecolab (A)		39,900		2,734
FMC		38,400		2,054
LyondellBasell Industries, Cl A		10,900		439
Martin Marietta Materials (A)		5,300		418
Monsanto		14,900		1,233
Praxair		8,300		902
Royal Gold (A)		8,300		651
Sherwin-Williams		19,400		2,568
Steel Dynamics		8,600		101
Syngenta ADR		177,421		12,143
Valspar		7,000		367
WR Grace *		9,300		469

				30,122


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

Telecommunication Services — 1.9%
Crown Castle International *		394,350	$	23,133
SBA Communications, Cl A * (A)		42,600		2,430

				25,563


Utilities — 0.0%
Oneok		9,400		398

Total Common Stock (Cost $1,139,071) ($ Thousands)				1,290,962


	Number of Warrants

WARRANTS — 0.0%
Kinder Morgan
Expires 2017 *		222,784		481

Total Warrants (Cost $425) ($Thousands)				481


AFFILIATED PARTNERSHIP — 12.2%
SEI Liquidity Fund, L.P.
0.150%**†† (B)		166,041,918		162,106

Total Affiliated Partnership (Cost $166,042) ($ Thousands)				162,106


CASH EQUIVALENTS — 2.5%
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund
0.010%**		3,255,680		3,255
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		29,851,802		29,852

Total Cash Equivalents (Cost $33,107) ($ Thousands)				33,107


U.S. TREASURY OBLIGATIONS (C) (D) — 0.4%
U.S. Treasury Bills
0.059%, 09/20/12	$	4,204		4,203
0.003%, 07/26/12		803		803

Total U.S. Treasury Obligations (Cost $5,006) ($ Thousands)				5,006

Total Investments — 112.6% (Cost $1,343,651) ($ Thousands) ‡‡			$	1,491,662

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		52		Sep-2012	$	200
S&P 500 Index E-MINI		347		Sep-2012		690

					$	890

Percentages are based on Net Assets of $1,325,083 ($Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

‡

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 June 30, 2012. The total market value of securities on loan at June 30, 2012 was $166,764 ($ Thousands)

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $162,106 ($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 contracts.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

‡‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $1,343,651 ($ Thousands), and the unrealized appreciation and depreciation were $203,533 ($ Thousands) and ($55,522) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,290,962	$	—	$	—	$	1,290,962
Warrants		481		—		—		481
Affiliated Partnership		—		162,106		—		162,106
Cash Equivalents		29,852		3,255		—		33,107
U.S. Treasury Obligations		—		5,006		—		5,006

Total Investments in Securities	$	1,321,295	$	170,367	$	—	$	1,491,662


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	890	$	—	$	—	$	890

Total Other Financial Instruments	$	890	$	—	$	—	$	890

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.3%

Consumer Discretionary — 13.3%
Abercrombie & Fitch, Cl A		5,363	$	183
Amazon.com *		15,645		3,573
American Eagle Outfitters		1,215		24
Apollo Group, Cl A *		190,938		6,910
Autoliv		22,650		1,238
Bed Bath & Beyond *		127,192		7,860
Best Buy (A)		209,686		4,395
BorgWarner * (A)		7,072		464
Brinker International (A)		3,400		108
Career Education *		157,889		1,056
Carmax *		1,883		49
Carnival (A)		9,000		309
CBS, Cl B		324,372		10,633
Chico’s FAS		4,700		70
Coach		274,164		16,033
Comcast, Cl A		118,363		3,784
Darden Restaurants (A)		3,127		158
DeVry		1,021		32
Dick’s Sporting Goods		3,700		178
Dillard’s, Cl A (A)		19,500		1,242
DIRECTV, Cl A *		84,230		4,112
Discovery Communications, Cl A * (A)		94,924		5,126
DISH Network, Cl A		55,955		1,598
DR Horton (A)		6,500		119
Family Dollar Stores		701		47
Foot Locker		30,000		917
Ford Motor (A)		329,964		3,164
Fossil *		56,956		4,359
GameStop, Cl A (A)		89,722		1,647
Gannett (A)		52,605		775
Gap (A)		213,719		5,847
Garmin (A)		2,100		80
General Motors * (A)		36,500		720
Gentex (A)		5,500		114
Genuine Parts		2,400		145
H&R Block		17,957		287
Harley-Davidson		184,226		8,425
Harman International Industries		20,969		830
Hasbro (A)		16,201		549
Home Depot (A)		119,110		6,312
Interpublic Group (A)		154,235		1,673
ITT Educational Services * (A)		7,242		440
J.C. Penney (A)		4,030		94
Jarden		4,100		172
Johnson Controls		288,125		7,984
Kohl’s		37,768		1,718
Lamar Advertising, Cl A * (A)		7,300		209
Las Vegas Sands		13,594		591
Lear		30,979		1,169
Leggett & Platt (A)		9,000		190
Lennar, Cl A (A)		5,100		158
Liberty Global, Cl A *		9,275		460
Limited Brands		11,490		489
Lowe’s		351,903		10,008
Macy’s		139,691		4,798
Marriott International, Cl A (A)		7,099		278


Description	Shares		Market Value ($ Thousands)

Marriott Vacations Worldwide * (A)		709	$	22
McDonald’s		99,550		8,813
McGraw-Hill		5,300		239
Mohawk Industries *		2,829		198
News, Cl A		254,836		5,680
Nike, Cl B		151,534		13,302
Nordstrom		170,644		8,479
NVR *		100		85
Omnicom Group		15,735		765
Orchard Supply Hardware Stores * (A)		40		—
O’Reilly Automotive * (A)		3,509		294
PetSmart		1,608		110
Polaris Industries		600		43
priceline.com * (A)		15,404		10,236
RadioShack (A)		49,604		190
Ralph Lauren, Cl A		18,063		2,530
Royal Caribbean Cruises (A)		3,900		102
Sears Holdings * (A)		900		54
Service International		31,000		383
Sirius XM Radio * (A)		19,560		36
Staples (A)		397,863		5,192
Starbucks (A)		52,276		2,787
Starwood Hotels & Resorts Worldwide		11,155		592
Target		296,633		17,261
Tempur-Pedic International * (A)		6,400		150
Thomson Reuters		15,000		427
Tiffany		1,800		95
Time Warner (A)		41,986		1,616
Time Warner Cable, Cl A (A)		111,240		9,133
TJX		4,954		213
Under Armour, Cl A * (A)		35,669		3,370
Urban Outfitters *		763		21
VF		4,711		629
Viacom, Cl B		10,400		489
Walt Disney		34,360		1,666
Whirlpool		54,576		3,338
Wyndham Worldwide (A)		64,931		3,425

				235,868


Consumer Staples — 9.0%
Altria Group		93,890		3,244
Anheuser-Busch InBev ADR		85,244		6,790
Archer-Daniels-Midland		162,919		4,809
Beam		66,146		4,133
Bunge (A)		24,174		1,517
Campbell Soup (A)		11,043		369
Church & Dwight		46,891		2,601
Clorox		832		60
Coca-Cola		41,544		3,248
Coca-Cola Enterprises		26,000		729
Colgate-Palmolive (A)		5,620		585
ConAgra Foods		95,828		2,485
Constellation Brands, Cl A *		10,975		297
Costco Wholesale		227,367		21,600
CVS Caremark		221,127		10,333
Dean Foods *		92,500		1,575
Dr Pepper Snapple Group (A)		25,908		1,134
Energizer Holdings *		1,628		123


Description	Shares		Market Value ($ Thousands)

Estee Lauder, Cl A		196,259	$	10,622
General Mills		5,168		199
Herbalife		19,200		928
Hershey		1,160		83
Ingredion		30,800		1,525
Kellogg		3,608		178
Kimberly-Clark		41,873		3,508
Kraft Foods, Cl A		55,929		2,160
Kroger		267,391		6,201
Lorillard		16,000		2,111
Mead Johnson Nutrition, Cl A (A)		145,654		11,727
PepsiCo		34,011		2,403
Philip Morris International		144,217		12,584
Procter & Gamble		102,025		6,249
Reynolds American		17,973		807
Safeway (A)		131,475		2,386
Smithfield Foods *		70,405		1,523
SUPERVALU (A)		47,892		248
SYSCO (A)		16,919		504
Tyson Foods, Cl A		104,200		1,962
Walgreen		188,862		5,587
Wal-Mart Stores		90,508		6,310
Whole Foods Market		156,396		14,908

				160,345


Energy — 9.7%
Apache		23,837		2,095
Baker Hughes (A)		2,758		113
Cameron International *		613		26
Canadian Natural Resources		145,893		3,917
Chesapeake Energy (A)		4,174		78
Chevron		268,741		28,352
Cimarex Energy (A)		5,845		322
Concho Resources *		900		77
ConocoPhillips (A)		260,989		14,584
Core Laboratories (A)		49,982		5,793
Devon Energy		25,790		1,495
Energen		750		34
EOG Resources		105,210		9,480
EQT		2,100		113
Exxon Mobil		420,297		35,965
FMC Technologies * (A)		139,460		5,471
Halliburton		38,684		1,098
Helmerich & Payne		5,457		237
Hess		71,305		3,098
HollyFrontier		3,400		120
Kinder Morgan		203,468		6,556
Marathon Oil		208,669		5,336
Marathon Petroleum		111,931		5,028
Murphy Oil		99,810		5,019
Nabors Industries *		16,568		239
National Oilwell Varco		31,044		2,001
Newfield Exploration *		2,500		73
Noble Energy		38,639		3,277
Occidental Petroleum		23,280		1,997
Oceaneering International		7,800		373
Oil States International *		3,100		205
Phillips 66 *		137,798		4,580
Plains Exploration & Production *		2,500		88
Quicksilver Resources * (A)		54,772		297


Description	Shares		Market Value ($ Thousands)

Range Resources		11,082	$	686
RPC (A)		21,777		259
Schlumberger		161,025		10,452
SM Energy		1,000		49
Spectra Energy		20,995		610
Sunoco		1,900		90
Teekay Shipping		3,100		91
Tesoro *		149,543		3,733
Tidewater		1,850		86
Ultra Petroleum * (A)		12,488		288
Unit *		9,200		340
Valero Energy		272,561		6,582
Whiting Petroleum *		3,400		140
Williams		19,629		566
WPX Energy *		9,876		160

				171,669


Financials — 15.1%
ACE		85,925		6,370
Affiliated Managers Group *		1,000		109
Aflac		68,072		2,899
Alleghany *		259		88
Allied World Assurance Holdings		8,859		704
Allstate		128,429		4,507
American Capital *		110,000		1,108
American Express		34,511		2,009
American Financial Group		70,055		2,748
American Tower, Cl A †		151,511		10,592
Ameriprise Financial		71,947		3,760
Annaly Capital Management † (A)		102,840		1,726
Apartment Investment & Management, Cl A †		8,615		233
Arthur J. Gallagher (A)		12,424		436
Assurant (A)		126,961		4,423
AvalonBay Communities † (A)		1,900		269
Axis Capital Holdings		15,688		511
Bank of America		672,701		5,503
Bank of New York Mellon		67,321		1,478
BB&T		11,249		347
Berkshire Hathaway, Cl B *		54,570		4,547
BlackRock		4,902		832
Boston Properties † (A)		4,827		523
Brandywine Realty Trust † (A)		101,137		1,248
Camden Property Trust †		2,200		149
Capital One Financial		246,210		13,458
CBL & Associates Properties †		43,851		857
CBRE Group, Cl A *		2,800		46
Charles Schwab (A)		318,451		4,118
Chimera Investment † (A)		317,132		748
Chubb		76,668		5,583
Citigroup		447,646		12,270
City National		6,962		338
CME Group		24,525		6,575
Comerica		4,600		141
Commerce Bancshares		7,568		287
Cullen/Frost Bankers		6,247		359
Digital Realty Trust † (A)		1,300		98
Discover Financial Services		238,155		8,235
Duke Realty † (A)		21,100		309
ETrade Financial		33,069		266


Description	Shares		Market Value ($ Thousands)

Equity Residential †		4,687	$	292
Everest Re Group		52,223		5,405
Federal Realty Investment Trust †		800		83
Fidelity National Financial, Cl A		5,399		104
Fifth Third Bancorp		428,534		5,742
First Citizens BancShares, Cl A		600		100
First Horizon National		60,538		524
First Republic Bank *		16,377		550
Forest City Enterprises, Cl A * (A)		9,800		143
Franklin Resources		3,796		421
General Growth Properties †		14,706		266
Genworth Financial, Cl A *		165,696		938
Goldman Sachs Group		42,042		4,030
Hartford Financial Services Group (A)		87,777		1,547
HCC Insurance Holdings		24,132		758
HCP †		11,000		486
Hospitality Properties Trust †		59,114		1,464
Host Hotels & Resorts (A)		15,849		251
Howard Hughes *		295		18
Huntington Bancshares		896,445		5,737
IntercontinentalExchange *		59,891		8,144
Invesco		6,000		136
Jefferies Group		7,900		103
Jones Lang LaSalle		5,191		366
JPMorgan Chase		673,992		24,082
Kemper		4,900		151
Keycorp		997,856		7,724
Kimco Realty †		3,600		69
Legg Mason		2,100		55
Liberty Property Trust †		1,900		70
Lincoln National (A)		161,000		3,521
Loews		31,932		1,306
M&T Bank		5,466		451
Macerich †		5,647		333
Mack-Cali Realty †		2,700		78
Marsh & McLennan		9,266		299
Mercury General		1,700		71
MetLife (A)		65,697		2,027
MFA Financial †		32,765		259
Moody’s		3,838		140
Morgan Stanley		105,638		1,541
New York Community Bancorp (A)		21,272		267
Northern Trust		1,366		63
NYSE Euronext		4,300		110
Old Republic International		5,100		42
PartnerRe		8,687		657
People’s United Financial		23,725		275
Plum Creek Timber †		10,213		405
PNC Financial Services Group		123,709		7,560
Popular *		30,782		511
Principal Financial Group		8,000		210
Progressive (A)		320,745		6,681
ProLogis †		5,906		196
Protective Life (A)		103,767		3,052
Prudential Financial		49,100		2,378
Public Storage †		4,106		593


Description	Shares		Market Value ($ Thousands)

Raymond James Financial (A)		12,428	$	425
Rayonier †		6,900		310
Regions Financial		657,300		4,437
Reinsurance Group of
America, Cl A		48,116		2,560
Simon Property Group †		7,748		1,206
SLM (A)		25,648		403
StanCorp Financial Group (A)		1,500		56
State Street		40,538		1,810
SunTrust Banks		36,830		892
T. Rowe Price Group (A)		5,500		346
TD Ameritrade Holding		4,350		74
TFS Financial *		6,058		58
Torchmark		16,500		834
Travelers		123,675		7,895
Unum Group (A)		90,481		1,731
US Bancorp		185,368		5,962
Validus Holdings (A)		28,272		905
Ventas †		3,400		215
Waddell & Reed Financial, Cl A		2,800		85
Weingarten Realty Investors † (A)		4,600		121
Wells Fargo		660,072		22,073
Weyerhaeuser †		26,849		600

				266,590


Health Care — 12.1%
Abbott Laboratories		112,343		7,243
Aetna		147,645		5,724
Agilent Technologies		5,250		206
Alexion Pharmaceuticals *		31,500		3,128
Allergan		157,106		14,543
Allscripts Healthcare Solutions *		22,564		246
AmerisourceBergen		70,652		2,780
Amgen		226,382		16,535
Amylin Pharmaceuticals *		6,365		179
Baxter International		13,350		710
Becton Dickinson (A)		7,100		531
Biogen Idec *		1,522		220
Boston Scientific *		36,600		208
Bristol-Myers Squibb		18,440		663
Bruker BioSciences *		8,200		109
Cardinal Health		49,000		2,058
Celgene *		127,526		8,182
Cerner * (A)		2,200		182
Charles River Laboratories International *		1,600		52
Cigna		14,340		631
Community Health Systems *		51,679		1,449
Covance *		92,947		4,448
Coventry Health Care		29,754		946
Covidien		59,180		3,166
DaVita *		82,088		8,062
Dentsply International (A)		9,649		365
Edwards Lifesciences *		1,400		145
Eli Lilly		60,824		2,610
Endo Pharmaceuticals Holdings *		43,600		1,351
Express Scripts Holding * (A)		177,096		9,887
Forest Laboratories *		14,194		497


Description	Shares		Market Value ($ Thousands)

Gilead Sciences *		48,498	$	2,487
Health Net *		103,710		2,517
Henry Schein *		1,000		79
Hologic *		10,100		182
Hospira *		12,995		454
Humana		71,579		5,543
Idexx Laboratories * (A)		61,178		5,881
Intuitive Surgical *		10,169		5,631
Johnson & Johnson (A)		157,440		10,637
Life Technologies *		3,691		166
McKesson		35,630		3,340
MEDNAX *		1,500		103
Medtronic		36,227		1,403
Merck		368,556		15,387
Mettler Toledo International *		2,150		335
Mylan Laboratories *		7,475		160
Novo Nordisk ADR (A)		53,951		7,841
Omnicare (A)		82,971		2,591
Patterson		2,100		72
PDL BioPharma (A)		93,974		623
Perrigo (A)		42,039		4,958
Pfizer		1,231,910		28,334
Quest Diagnostics		7,672		460
Techne		817		61
Tenet Healthcare *		9,200		48
Thermo Fisher Scientific		7,191		373
United Therapeutics *		24,238		1,197
UnitedHealth Group		68,692		4,019
Varian Medical Systems * (A)		6,849		416
Warner Chilcott, Cl A *		91,517		1,640
Waters *		1,600		127
Watson Pharmaceuticals *		2,900		214
WellPoint		122,922		7,841
Zimmer Holdings		27,664		1,780

				213,956


Industrials — 8.7%
ACCO Brands *		2,441		25
AGCO *		84,302		3,855
Alaska Air Group *		28,800		1,034
Ametek		8,400		419
Armstrong World Industries		4,700		231
Babcock & Wilcox *		1,536		38
Boeing		7,170		533
C.H. Robinson Worldwide		2,502		146
Carlisle		1,500		79
Caterpillar		41,511		3,525
Chicago Bridge & Iron		4,600		175
CNH Global (A)		1,600		62
Crane		850		31
CSX		35,438		792
Cummins		3,265		317
Danaher		143,349		7,466
Deere		26,044		2,106
Delta Air Lines *		309,698		3,391
Donaldson		3,800		127
Dover		8,100		434
Eaton (A)		12,358		490
Equifax		2,500		116
Expeditors International of Washington		105,226		4,078
FedEx		17,933		1,643


Description	Shares		Market Value ($ Thousands)

Fluor		118,734	$	5,858
Fortune Brands Home & Security *		1,837		41
Foster Wheeler *		11,652		202
GATX		1,600		61
General Dynamics		21,312		1,406
General Electric		967,224		20,157
Goodrich		4,976		631
Graco		1,400		65
Hertz Global Holdings * (A)		4,200		54
Honeywell International		70,153		3,917
Huntington Ingalls Industries * (A)		6,935		279
Illinois Tool Works		3,529		187
Ingersoll-Rand		3,300		139
Iron Mountain		3,625		119
ITT (A)		24,605		433
Joy Global		2,600		148
Kansas City Southern		50,374		3,504
KBR		93,824		2,319
Kennametal		15,000		497
L-3 Communications Holdings		81,496		6,032
Lockheed Martin (A)		63,789		5,555
Manitowoc (A)		4,100		48
Manpower		1,700		62
Masco (A)		7,600		106
Navistar International *		8,751		248
Norfolk Southern		26,000		1,866
Northrop Grumman (A)		149,482		9,536
Oshkosh Truck *		50,842		1,065
Owens Corning * (A)		12,067		344
PACCAR		4,705		184
Pall (A)		99,822		5,471
Parker Hannifin		22,581		1,736
Pentair		2,400		92
Precision Castparts		69,069		11,361
Quanta Services *		1,386		33
Raytheon (A)		96,869		5,482
Republic Services		2,031		54
Robert Half International (A)		2,900		83
Rockwell Automation		3,000		198
Rockwell Collins (A)		3,450		170
Roper Industries		70,452		6,945
RR Donnelley & Sons (A)		93,172		1,097
Ryder System		18,990		684
Shaw Group *		1,550		42
Southwest Airlines		31,055		287
Spirit Aerosystems Holdings, Cl A *		2,400		57
Stanley Black & Decker		4,250		274
Stericycle * (A)		86,429		7,923
Textron		5,200		129
Timken		57,553		2,635
Trinity Industries		5,700		142
Tyco International		10,911		577
Union Pacific		69,981		8,349
United Continental Holdings * (A)		22,821		555
United Parcel Service, Cl B		8,211		647
United Technologies		23,304		1,760
URS		20,056		700
Waste Management (A)		20,866		697


Description	Shares		Market Value ($ Thousands)

WW Grainger		762	$	146

				154,502


Information Technology — 21.9%
Accenture, Cl A		147,117		8,840
Activision Blizzard (A)		2,675		32
Adobe Systems *		528,323		17,102
Advanced Micro Devices *		7,200		41
Alliance Data Systems * (A)		1,100		149
Altera		116,566		3,945
Amdocs		12,766		379
Amphenol, Cl A		110,738		6,082
Analog Devices		10,448		393
Ansys *		88,516		5,586
Apple *		99,209		57,938
Applied Materials		104,000		1,192
Arrow Electronics *		5,000		164
Autodesk *		222,661		7,791
Automatic Data Processing		6,862		382
BMC Software *		176,989		7,554
Brocade Communications Systems *		368,964		1,819
CA		105,269		2,852
Cadence Design Systems *		11,100		122
Cisco Systems		591,645		10,159
Citrix Systems *		67,927		5,702
Cognizant Technology Solutions, Cl A *		101,383		6,083
Computer Sciences		10,047		249
Convergys (A)		742		11
Corning		120,474		1,558
Dell *		205,128		2,568
Dolby Laboratories, Cl A *		1,235		51
DST Systems		18,000		978
EchoStar, Cl A *		3,100		82
EMC *		349,920		8,968
Equinix *		800		140
Factset Research Systems		900		84
Fidelity National Information Services		31,651		1,079
Fiserv *		6,500		469
Genpact *		194,005		3,226
Global Payments		8,847		382
Google, Cl A *		40,263		23,355
Harris (A)		30,100		1,260
Hewlett-Packard		194,429		3,910
IAC		1,076		49
Ingram Micro, Cl A *		39,100		683
Intel		859,355		22,902
International Business Machines		67,269		13,157
International Rectifier *		3,500		70
Intuit (A)		224,464		13,322
IPG Photonics * (A)		1,600		70
JDS Uniphase *		3,700		41
Juniper Networks *		23,000		375
Kla-Tencor		1,400		69
Lam Research *		5,300		200
Lender Processing Services (A)		76,423		1,932
Lexmark International, Cl A		30,340		806
LSI Logic *		32,781		209


Description	Shares		Market Value ($ Thousands)

Marvell Technology Group		80,863	$	912
Mastercard, Cl A		54,684		23,520
Maxim Integrated Products		4,600		118
Microchip Technology (A)		106,776		3,532
Micron Technology *		5,459		34
Microsoft		380,504		11,640
Motorola Solutions		15,759		758
National Instruments		183,952		4,941
NetApp *		235,286		7,487
Nuance Communications * (A)		15,000		357
Oracle		429,447		12,755
Polycom *		130,743		1,375
QLogic *		4,200		58
Qualcomm		446,646		24,869
Rackspace Hosting *		1,378		61
Red Hat *		1,214		68
SAIC (A)		66,600		807
Salesforce.com * (A)		38,887		5,376
SanDisk *		1,495		55
Seagate Technology		60,204		1,489
Symantec *		232,568		3,398
TE Connectivity		13,055		417
Tech Data *		22,300		1,074
Teradata *		95,442		6,873
Teradyne * (A)		9,800		138
Texas Instruments		22,193		637
Total System Services		3,100		74
VeriSign * (A)		185,997		8,104
Visa, Cl A		121,968		15,079
Vishay Intertechnology * (A)		65,781		620
WebMD Health, Cl A *		1,796		37
Western Digital *		99,685		3,038
Xerox		203,556		1,602
Xilinx		2,300		77
Yahoo! *		14,850		235
Zebra Technologies, Cl A *		2,400		82

				388,259


Materials — 3.1%
Agrium (A)		41,500		3,671
Air Products & Chemicals		2,850		230
AK Steel Holding (A)		126,561		743
Allegheny Technologies		1,800		57
Ball		1,057		43
Bemis		2,400		75
Cabot		18,468		752
Celanese, Ser A		11,100		384
CF Industries Holdings		35,433		6,865
Cliffs Natural Resources (A)		1,800		89
Commercial Metals		35,073		443
Cytec Industries		307		18
Domtar		26,300		2,017
Dow Chemical (A)		160,124		5,044
E.I. Du Pont de Nemours		15,316		774
Eastman Chemical (A)		59,295		2,987
Ecolab		3,621		248
Freeport-McMoRan Copper & Gold, Cl B		82,036		2,795
Greif, Cl A		1,500		62
Huntsman		152,594		1,974
International Flavors & Fragrances (A)		1,400		77


Description	Shares		Market Value ($ Thousands)

International Paper		74,784	$	2,162
LyondellBasell Industries, Cl A		81,500		3,282
Martin Marietta Materials		550		43
MeadWestvaco		7,400		213
Molycorp * (A)		10,028		216
Monsanto		73,909		6,118
Newmont Mining		11,637		565
Nucor		18,800		713
Owens-Illinois *		32,385		621
PPG Industries		3,000		318
Praxair		2,548		277
Rock-Tenn, Cl A		13,000		709
RPM International (A)		1,500		41
Sealed Air		6,700		104
Sherwin-Williams		9,700		1,284
Sigma-Aldrich (A)		2,200		163
Sonoco Products		1,500		45
Steel Dynamics		126,576		1,487
Syngenta ADR (A)		102,903		7,043
United States Steel (A)		1,568		32
Vulcan Materials		1,097		44
Westlake Chemical		1,800		94

				54,922


Telecommunication Services — 3.0%
AT&T		657,648		23,452
CenturyTel		15,608		616
Crown Castle International *		209,875		12,311
Frontier Communications (A)		140,948		540
MetroPCS Communications *		3,342		20
SBA Communications, Cl A * (A)		2,100		120
Telephone & Data Systems		7,918		169
US Cellular *		1,976		76
Verizon Communications		346,338		15,391

				52,695


Utilities — 2.4%
AES *		249,000		3,195
Ameren		107,300		3,599
American Electric Power		179,636		7,168
American Water Works		12,600		432
Centerpoint Energy		4,900		101
CMS Energy		47,392		1,114
Consolidated Edison (A)		8,348		519
Dominion Resources		5,292		286
DTE Energy		32,800		1,946
Duke Energy (A)		7,759		179
Edison International		72,857		3,366
Entergy		105,908		7,190
Exelon		19,648		739
FirstEnergy		3,953		195
Great Plains Energy		3,500		75
Hawaiian Electric Industries (A)		3,200		91
MDU Resources Group		2,200		48
National Fuel Gas		1,300		61
NextEra Energy		4,538		312
NiSource (A)		12,500		309
Northeast Utilities		9,184		356
OGE Energy		2,612		135
Oneok		8,000		339
PG&E		8,566		388


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

PNM Resources		43,000	$	840
PPL		4,200		117
Progress Energy		5,500		331
Public Service Enterprise Group		150,100		4,878
Questar		27,200		567
Sempra Energy		36,747		2,531
UGI		35,000		1,030
Xcel Energy		8,453		240

				42,677

Total Common Stock (Cost $1,355,957) ($ Thousands)				1,741,483

	Number of Warrants

WARRANTS — 0.0%
Kinder Morgan Expires: 05/25/17 *		127,770		276

Total Warrants (Cost $243) ($ Thousands)				276


AFFILIATED PARTNERSHIP —10.1%
SEI Liquidity Fund, L.P.
0.150% **††(B)		184,184,219		179,651

Total Affiliated Partnership (Cost $184,184) ($ Thousands)				179,651


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080% **††		29,334,748		29,335

Total Cash Equivalent (Cost $29,335) ($ Thousands)				29,335


U.S. TREASURY OBLIGATIONS (C) (D)— 0.3%
U.S. Treasury Bills
0.103%, 08/23/12	$	21		21
0.095%, 08/16/12		1,043		1,043
0.069%, 09/20/12		3,609		3,608

Total U.S. Treasury Obligations (Cost $4,672) ($ Thousands)				4,672

Total Investments — 110.4% (Cost $1,574,391) ($ Thousands)‡			$	1,955,417

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		376		Sep-2012	$	860
S&P Mid 400 Index E-MINI		61		Sep-2012		136

					$	996

Percentages are based on Net Assets of $1,771,067 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $178,729 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $179,651 ($ 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 contracts.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

Ser — Series

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $1,574,391 ($ Thousands), and the unrealized appreciation and depreciation were $423,520 ($ Thousands) and ($42,494) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,741,483	$	—	$	—	$	1,741,483
Warrants		276		—		—		276
Affiliated Partnership		—		179,651		—		179,651
Cash Equivalent		29,335		—		—		29,335
U.S. Treasury Obligations		—		4,672		—		4,672

Total Investments in Securities	$	1,771,094	$	184,323	$	—	$	1,955,417


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	996	$	—	$	—	$	996

Total Other Financial Instruments	$	996	$	—	$	—	$	996

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

For the period ended June 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended June 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.2%

Consumer Discretionary — 10.8%
Abercrombie & Fitch, Cl A		16,400	$	560
Amazon.com *		69,600		15,893
Apollo Group, Cl A *		21,503		778
Autonation * (A)		8,126		287
Autozone *		5,194		1,907
Bed Bath & Beyond *		45,233		2,795
Best Buy (A)		54,241		1,137
Big Lots *		12,513		510
BorgWarner * (A)		21,900		1,436
Cablevision Systems, Cl A (A)		41,400		550
Carmax * (A)		43,300		1,123
Carnival (A)		86,584		2,967
CBS, Cl B		124,001		4,065
Chipotle Mexican Grill, Cl A * (A)		6,000		2,280
Coach		55,010		3,217
Comcast, Cl A		517,922		16,558
Darden Restaurants (A)		24,513		1,241
DeVry		11,400		353
DIRECTV, Cl A *		126,200		6,161
Discovery Communications, Cl A * (A)		49,400		2,668
Dollar Tree *		45,400		2,443
DR Horton (A)		53,249		979
Expedia (A)		18,150		872
Family Dollar Stores		22,522		1,497
Ford Motor (A)		734,280		7,041
Fossil *		9,900		758
GameStop, Cl A (A)		26,100		479
Gannett (A)		45,247		666
Gap		63,431		1,735
Genuine Parts		29,736		1,792
Goodyear Tire & Rubber *		46,693		552
H&R Block		56,004		895
Harley-Davidson		43,708		1,999
Harman International Industries		13,400		531
Hasbro (A)		22,091		748
Home Depot (A)		294,596		15,611
International Game Technology		56,856		895
Interpublic Group (A)		85,201		924
J.C. Penney (A)		27,680		645
Johnson Controls		130,057		3,604
Kohl’s		48,447		2,204
Leggett & Platt (A)		26,754		565
Lennar, Cl A (A)		31,007		959
Limited Brands		47,027		2,000
Lowe’s		226,536		6,443
Macy’s		79,164		2,719
Marriott International, Cl A (A)		51,052		2,001
Mattel		64,818		2,103
McDonald’s		194,670		17,234
McGraw-Hill		53,121		2,390
NetFlix * (A)		10,600		726
Newell Rubbermaid		55,147		1,000
News, Cl A		405,233		9,033
Nike, Cl B		70,194		6,162
Nordstrom		30,502		1,516


Description	Shares		Market Value ($ Thousands)

Omnicom Group (A)		52,104	$	2,532
O’Reilly Automotive * (A)		24,300		2,035
priceline.com * (A)		9,480		6,300
PulteGroup *		64,382		689
Ralph Lauren, Cl A		12,400		1,737
Ross Stores		43,668		2,728
Scripps Networks Interactive, Cl A (A)		18,200		1,035
Sears Holdings * (A)		7,265		434
Snap-on		11,153		694
Staples (A)		132,614		1,731
Starbucks (A)		145,958		7,782
Starwood Hotels & Resorts Worldwide		37,435		1,986
Target		128,319		7,467
Tiffany		24,273		1,285
Time Warner (A)		185,312		7,135
Time Warner Cable, Cl A		59,983		4,925
TJX		144,134		6,188
TripAdvisor * (A)		18,150		811
Urban Outfitters * (A)		21,200		585
VF		16,714		2,230
Viacom, Cl B		103,201		4,852
Walt Disney		342,527		16,613
Washington Post, Cl B (A)		955		357
Whirlpool		14,605		893
Wyndham Worldwide (A)		27,902		1,472
Wynn Resorts		15,200		1,577
Yum! Brands (A)		87,970		5,667

				259,947


Consumer Staples — 11.1%
Altria Group		390,956		13,507
Archer-Daniels-Midland		126,466		3,733
Avon Products		82,351		1,335
Beam		29,919		1,870
Brown-Forman, Cl B		18,995		1,840
Campbell Soup (A)		34,075		1,137
Clorox (A)		24,842		1,800
Coca-Cola		432,453		33,813
Coca-Cola Enterprises		57,417		1,610
Colgate-Palmolive		91,693		9,545
ConAgra Foods		78,852		2,045
Constellation Brands, Cl A *		31,000		839
Costco Wholesale		83,118		7,896
CVS Caremark		246,335		11,511
Dean Foods *		35,200		600
Dr Pepper Snapple Group (A)		40,500		1,772
Estee Lauder, Cl A		43,000		2,327
General Mills		123,182		4,747
Hershey		29,312		2,111
HJ Heinz (A)		61,149		3,325
Hormel Foods		26,200		797
JM Smucker		21,648		1,635
Kellogg		47,067		2,322
Kimberly-Clark (A)		75,199		6,300
Kraft Foods, Cl A		340,698		13,158
Kroger		109,859		2,548
Lorillard		25,176		3,322
McCormick (A)		25,461		1,544
Mead Johnson Nutrition, Cl A		38,934		3,135
Molson Coors Brewing, Cl B		30,046		1,250


Description	Shares		Market Value ($ Thousands)

Monster Beverage *		29,400	$	2,093
PepsiCo		300,185		21,211
Philip Morris International		327,465		28,575
Procter & Gamble		526,401		32,242
Reynolds American		63,880		2,866
Safeway (A)		45,946		834
SYSCO (A)		111,720		3,331
Tyson Foods, Cl A (A)		55,690		1,049
Walgreen (A)		166,944		4,938
Wal-Mart Stores		331,344		23,101
Whole Foods Market		31,000		2,955

				266,569


Energy — 10.6%
Anadarko Petroleum		95,280		6,307
Apache		75,200		6,609
Baker Hughes (A)		83,649		3,438
Cabot Oil & Gas		40,100		1,580
Cameron International *		47,000		2,007
Chesapeake Energy (A)		126,600		2,355
Chevron (A)		378,678		39,950
ConocoPhillips (A)		244,543		13,665
Consol Energy (A)		43,400		1,312
Denbury Resources *		74,600		1,127
Devon Energy		77,213		4,478
Diamond Offshore Drilling (A)		13,300		787
EOG Resources		51,444		4,636
EQT		28,600		1,534
Exxon Mobil		897,198		76,773
FMC Technologies * (A)		45,700		1,793
Halliburton		176,379		5,007
Helmerich & Payne		20,500		891
Hess		57,775		2,510
Kinder Morgan		97,566		3,144
Marathon Oil		134,556		3,441
Marathon Petroleum		66,378		2,982
Murphy Oil		37,063		1,864
Nabors Industries *		55,178		795
National Oilwell Varco		81,068		5,224
Newfield Exploration *		25,300		741
Noble (A)		48,200		1,568
Noble Energy		33,800		2,867
Occidental Petroleum		154,959		13,291
Peabody Energy		52,000		1,275
Phillips 66 *		122,271		4,064
Pioneer Natural Resources		23,600		2,082
QEP Resources		33,900		1,016
Range Resources		31,500		1,949
Rowan, Cl A * (A)		23,597		763
Schlumberger		256,143		16,626
Southwestern Energy *		66,700		2,130
Spectra Energy		124,461		3,617
Sunoco		20,457		972
Tesoro *		26,600		664
Valero Energy		106,108		2,562
Williams		119,565		3,446
WPX Energy *		37,921		613

				254,455


Financials — 14.1%
ACE		64,400		4,774
Aflac		89,308		3,804
Allstate		95,259		3,343


Description	Shares		Market Value ($ Thousands)

American Express		193,915	$	11,288
American International Group *		122,208		3,922
American Tower, Cl A †		75,200		5,257
Ameriprise Financial		42,384		2,215
Aon		62,129		2,906
Apartment Investment & Management, Cl A †		25,239		682
Assurant (A)		16,700		582
AvalonBay Communities † (A)		18,208		2,576
Bank of America		2,070,128		16,934
Bank of New York Mellon (A)		230,186		5,053
BB&T (A)		133,197		4,109
Berkshire Hathaway, Cl B *		337,647		28,136
BlackRock		24,457		4,153
Boston Properties † (A)		28,300		3,067
Capital One Financial		111,762		6,109
CBRE Group, Cl A *		62,700		1,026
Charles Schwab (A)		206,527		2,670
Chubb		51,856		3,776
Cincinnati Financial (A)		30,979		1,179
Citigroup		563,308		15,440
CME Group		12,707		3,407
Comerica		37,783		1,160
Discover Financial Services		101,330		3,504
ETrade Financial		48,543		390
Equity Residential † (A)		57,340		3,576
Federated Investors, Cl B (A)		17,645		385
Fifth Third Bancorp		175,811		2,356
First Horizon National		49,036		424
Franklin Resources (A)		27,215		3,021
Genworth Financial, Cl A *		93,900		532
Goldman Sachs Group		94,556		9,064
Hartford Financial Services Group		84,086		1,482
HCP †		81,000		3,576
Health Care †		40,200		2,344
Host Hotels & Resorts † (A)		135,248		2,140
Hudson City Bancorp		100,800		642
Huntington Bancshares		165,175		1,057
IntercontinentalExchange *		13,900		1,890
Invesco		85,300		1,928
JPMorgan Chase		729,457		26,063
Keycorp		182,083		1,409
Kimco Realty † (A)		77,800		1,480
Legg Mason		23,800		628
Leucadia National		37,900		806
Lincoln National (A)		55,698		1,218
Loews		58,349		2,387
M&T Bank (A)		24,161		1,995
Marsh & McLennan		103,850		3,347
MetLife (A)		202,626		6,251
Moody’s (A)		37,508		1,371
Morgan Stanley		291,161		4,248
NASDAQ OMX Group		23,900		542
Northern Trust		46,105		2,122
NYSE Euronext		49,400		1,264
People’s United Financial		68,600		797
Plum Creek Timber † (A)		30,835		1,224
PNC Financial Services Group		100,775		6,159
Principal Financial Group		57,648		1,512
Progressive (A)		116,868		2,434


Description	Shares		Market Value ($ Thousands)

ProLogis † (A)		87,700	$	2,914
Prudential Financial		89,766		4,347
Public Storage †		27,128		3,918
Regions Financial		270,063		1,823
Simon Property Group †		58,502		9,106
SLM		97,343		1,529
State Street		93,191		4,160
SunTrust Banks		101,696		2,464
T. Rowe Price Group (A)		48,408		3,048
Torchmark		19,157		968
Travelers		75,152		4,798
Unum Group		55,552		1,063
US Bancorp		365,206		11,745
Ventas †		55,232		3,486
Vornado Realty Trust † (A)		35,373		2,971
Wells Fargo		1,020,063		34,111
Weyerhaeuser †		102,540		2,293
XL Group, Cl A		60,305		1,269
Zions Bancorporation (A)		35,160		683

				339,832


Health Care — 11.8%
Abbott Laboratories		302,146		19,479
Aetna		67,002		2,598
Agilent Technologies		66,406		2,606
Alexion Pharmaceuticals *		37,100		3,684
Allergan		59,266		5,486
AmerisourceBergen		49,292		1,940
Amgen		149,455		10,916
Baxter International		107,038		5,689
Becton Dickinson (A)		40,162		3,002
Biogen Idec *		45,600		6,584
Boston Scientific *		277,312		1,572
Bristol-Myers Squibb (A)		322,575		11,597
C.R. Bard		16,088		1,728
Cardinal Health		66,055		2,774
CareFusion *		42,977		1,104
Celgene *		83,900		5,383
Cerner * (A)		27,900		2,306
Cigna		54,771		2,410
Coventry Health Care		27,013		859
Covidien		92,400		4,943
DaVita *		17,900		1,758
Dentsply International (A)		27,100		1,025
Edwards Lifesciences *		22,000		2,273
Eli Lilly		195,130		8,373
Express Scripts Holding *		154,961		8,652
Forest Laboratories *		50,763		1,776
Gilead Sciences *		144,672		7,419
Hospira * (A)		31,504		1,102
Humana		31,397		2,431
Intuitive Surgical *		7,520		4,165
Johnson & Johnson (A)		527,182		35,617
Laboratory Corp of America Holdings * (A)		18,563		1,719
Life Technologies *		34,043		1,531
McKesson		45,369		4,253
Medtronic		198,817		7,700
Merck		584,044		24,384
Mylan Laboratories * (A)		81,611		1,744
Patterson		16,700		576
PerkinElmer		21,640		558


Description	Shares		Market Value ($ Thousands)

Perrigo (A)		17,800	$	2,099
Pfizer		1,440,576		33,133
Quest Diagnostics (A)		30,224		1,810
St. Jude Medical (A)		61,256		2,445
Stryker		61,842		3,407
Tenet Healthcare *		78,376		411
Thermo Fisher Scientific		69,943		3,631
UnitedHealth Group (A)		199,647		11,679
Varian Medical Systems * (A)		21,600		1,313
Waters *		16,997		1,351
Watson Pharmaceuticals *		24,271		1,796
WellPoint		63,998		4,082
Zimmer Holdings		34,055		2,192

				283,065


Industrials — 10.2%
3M		132,682		11,888
Avery Dennison		20,315		555
Boeing		144,032		10,702
C.H. Robinson Worldwide (A)		31,200		1,826
Caterpillar (A)		125,397		10,647
Cintas (A)		21,107		815
Cooper Industries, Cl A		30,300		2,066
CSX		201,050		4,495
Cummins		36,640		3,551
Danaher		109,296		5,692
Deere		76,802		6,211
Dover		35,137		1,884
Dun & Bradstreet		9,100		648
Eaton (A)		63,938		2,534
Emerson Electric		140,306		6,535
Equifax		22,925		1,068
Expeditors International of Washington		40,500		1,570
Fastenal (A)		56,400		2,273
FedEx (A)		60,105		5,506
Flowserve		10,400		1,193
Fluor		32,344		1,596
General Dynamics		69,526		4,586
General Electric		2,033,574		42,380
Goodrich		24,020		3,048
Honeywell International		149,855		8,368
Illinois Tool Works (A)		92,424		4,888
Ingersoll-Rand		56,800		2,396
Jacobs Engineering Group *		24,600		931
Joy Global (A)		20,200		1,146
L-3 Communications Holdings		18,923		1,400
Lockheed Martin (A)		50,894		4,432
Masco (A)		68,268		947
Norfolk Southern		63,126		4,531
Northrop Grumman (A)		48,319		3,082
PACCAR		68,191		2,672
Pall		22,095		1,211
Parker Hannifin		28,871		2,220
Pitney Bowes (A)		38,175		572
Precision Castparts		27,700		4,556
Quanta Services *		40,400		973
Raytheon (A)		64,968		3,677
Republic Services		60,083		1,590
Robert Half International (A)		27,127		775
Rockwell Automation		27,226		1,799
Rockwell Collins (A)		28,378		1,400


Description	Shares		Market Value ($ Thousands)

Roper Industries		18,500	$	1,824
RR Donnelley & Sons (A)		34,111		402
Ryder System		9,754		351
Southwest Airlines		147,749		1,362
Stanley Black & Decker		32,435		2,087
Stericycle * (A)		16,200		1,485
Textron (A)		53,398		1,328
Tyco International		88,100		4,656
Union Pacific		91,694		10,940
United Parcel Service, Cl B		184,311		14,516
United Technologies		175,132		13,228
Waste Management (A)		88,128		2,943
WW Grainger		11,665		2,231
Xylem		35,300		889

				245,077


Information Technology — 19.5%
Accenture, Cl A (A)		123,700		7,433
Adobe Systems * (A)		94,336		3,054
Advanced Micro Devices * (A)		112,163		643
Akamai Technologies *		34,000		1,079
Altera		61,651		2,086
Amphenol, Cl A		31,200		1,714
Analog Devices		56,899		2,143
Apple *		179,422		104,782
Applied Materials		246,750		2,828
Autodesk *		43,217		1,512
Automatic Data Processing		93,750		5,218
BMC Software *		31,349		1,338
Broadcom, Cl A (A)		93,736		3,168
CA		69,627		1,886
Cisco Systems		1,029,204		17,671
Citrix Systems *		35,442		2,975
Cognizant Technology
Solutions, Cl A *		58,000		3,480
Computer Sciences (A)		29,633		736
Corning		290,778		3,760
Dell *		291,774		3,653
eBay *		221,032		9,286
Electronic Arts *		63,278		781
EMC *		403,740		10,348
F5 Networks *		15,100		1,503
Fidelity National Information Services		44,865		1,529
First Solar * (A)		11,240		169
Fiserv *		26,480		1,912
Flir Systems		29,400		573
Google, Cl A *		48,863		28,344
Harris (A)		21,800		912
Hewlett-Packard		377,665		7,595
Intel		965,915		25,742
International Business Machines		221,437		43,309
Intuit		56,386		3,347
Iron Mountain		32,700		1,078
Jabil Circuit		35,279		717
JDS Uniphase * (A)		43,956		484
Juniper Networks *		100,600		1,641
Kla-Tencor		31,871		1,570
Lam Research * (A)		38,117		1,438
Lexmark International, Cl A (A)		13,539		360
Linear Technology		43,794		1,372


Description	Shares		Market Value ($ Thousands)

LSI Logic *		108,346	$	690
Mastercard, Cl A		20,300		8,731
Microchip Technology (A)		36,700		1,214
Micron Technology *		188,769		1,191
Microsoft		1,434,993		43,896
Molex (A)		26,260		629
Motorola Solutions		56,229		2,705
NetApp *		69,376		2,208
Nvidia *		116,648		1,612
Oracle		745,188		22,132
Paychex (A)		61,656		1,937
Qualcomm		329,232		18,332
Red Hat *		36,900		2,084
SAIC (A)		52,844		640
Salesforce.com * (A)		26,600		3,678
SanDisk * (A)		46,300		1,689
Seagate Technology		72,500		1,793
Symantec *		139,347		2,036
TE Connectivity		81,400		2,597
Teradata *		31,968		2,302
Teradyne * (A)		35,607		501
Texas Instruments		218,849		6,279
Total System Services		30,680		734
VeriSign *		30,500		1,329
Visa, Cl A		95,672		11,828
Western Digital *		44,700		1,362
Western Union		118,512		1,996
Xerox		254,506		2,003
Xilinx (A)		50,009		1,679
Yahoo! *		231,938		3,672

				468,648


Materials — 3.4%
Air Products & Chemicals		40,226		3,247
Airgas		13,100		1,101
Alcoa (A)		203,735		1,783
Allegheny Technologies		20,359		649
Alpha Natural Resources *		42,000		366
Ball (A)		29,882		1,227
Bemis (A)		19,690		617
CF Industries Holdings		12,490		2,420
Cliffs Natural Resources (A)		27,111		1,336
Dow Chemical (A)		229,975		7,244
E.I. Du Pont de Nemours		180,235		9,114
Eastman Chemical		26,216		1,321
Ecolab (A)		55,630		3,812
FMC		26,700		1,428
Freeport-McMoRan Copper & Gold, Cl B		181,136		6,171
International Flavors & Fragrances (A)		15,494		849
International Paper		83,570		2,416
MeadWestvaco		32,715		940
Monsanto		102,348		8,472
Mosaic		56,900		3,116
Newmont Mining		94,608		4,590
Nucor		60,582		2,296
Owens-Illinois *		31,400		602
PPG Industries		29,045		3,082
Praxair		56,999		6,198
Sealed Air		36,728		567
Sherwin-Williams		16,516		2,186


Description	Shares		Market Value ($ Thousands)

Sigma-Aldrich (A)		23,036	$	1,703
Titanium Metals (A)		15,700		178
United States Steel (A)		27,526		567
Vulcan Materials		24,649		979

				80,577


Telecommunication Services — 3.2%
AT&T (A)		1,125,240		40,126
CenturyTel (A)		118,357		4,674
Crown Castle International *		49,900		2,927
Frontier Communications (A)		190,125		728
MetroPCS Communications *		56,100		340
Sprint Nextel *		572,822		1,867
Verizon Communications		545,498		24,242
Windstream (A)		112,046		1,082

				75,986


Utilities — 3.6%
AES *		122,990		1,578
AGL Resources		22,400		868
Ameren		46,344		1,554
American Electric Power		92,415		3,687
Centerpoint Energy		81,468		1,684
CMS Energy (A)		49,192		1,156
Consolidated Edison (A)		55,933		3,478
Dominion Resources		108,940		5,883
DTE Energy		32,345		1,919
Duke Energy (A)		255,322		5,888
Edison International		62,253		2,876
Entergy		33,764		2,292
Exelon		162,646		6,119
FirstEnergy		79,910		3,931
Integrys Energy Group (A)		14,934		849
NextEra Energy (A)		79,520		5,472
NiSource (A)		53,879		1,334
Northeast Utilities		59,835		2,322
NRG Energy * (A)		43,500		755
Oneok		39,800		1,684
Pepco Holdings (A)		43,500		851
PG&E		81,529		3,691
Pinnacle West Capital		20,849		1,079
PPL		110,671		3,078
Progress Energy		56,383		3,392
Public Service Enterprise Group		96,730		3,144
SCANA (A)		22,200		1,062
Sempra Energy		45,965		3,166
Southern		165,635		7,669
TECO Energy		41,212		744
Wisconsin Energy (A)		44,000		1,741
Xcel Energy		93,019		2,643

				87,589

Total Common Stock (Cost $1,523,622) ($ Thousands)				2,361,745


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

AFFILIATED PARTNERSHIP — 12.5%
SEI Liquidity Fund, L.P.
0.150%**†† (B)		304,867,227	$	300,941

Total Affiliated Partnership (Cost $304,867) ($ Thousands)				300,941


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A
0.080%**††		50,861,008		50,861

Total Cash Equivalent (Cost $50,861) ($ Thousands)				50,861


U.S. TREASURY OBLIGATIONS (C) (D) — 0.1%
U.S. Treasury Bills
0.078%, 09/06/12	$	2,350		2,349
0.058%, 08/09/12		1,050		1,050


Total U.S. Treasury Obligations (Cost $3,400) ($ Thousands)				3,399


Total Investments — 113.0% (Cost $1,882,750) ($ Thousands) ‡			$	2,716,946

The open futures contracts held by the Fund at June 30, 2012, are as follows:

Type of Contract

Number of
Contracts
Long

Expiration

Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index EMINI

711

Sep-2012

1,707

For the period ended June 30, 2012, 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 $2,404,999 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $303,682 ($ Thousands)

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was 300,941 ($ 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 contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $1,882,750 ($ Thousands), and the unrealized appreciation and depreciation were $865,245 ($ Thousands) and ($31,049) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	2,361,745	$	—	$	—	$	2,361,745
Affiliated Partnership		—		300,941		—		300,941
Cash Equivalent		50,861		—		—		50,861
U.S. Treasury Obligations		—		3,399		—		3,399

Total Investments in Securities $		2,412,606	$	304,340	$	—	$	2,716,946


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	1,707	$	—	$	—	$	1,707

Total Other Financial Instruments	$	1,707	$	—	$	—	$	1,707

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.2%

Consumer Discretionary — 13.7%
AFC Enterprises *		13,121	$	304
American Public Education * (A)		13,733		440
Ameristar Casinos		6,200		110
ANN *		9,900		252
Arctic Cat *		9,360		342
Asbury Automotive Group *		12,641		299
Bally Technologies *		8,240		385
Beazer Homes USA *		11,800		38
bebe stores		10,200		60
Belo, Cl A		52,478		338
Biglari Holdings *		430		166
BJ’s Restaurants * (A)		18,708		711
Bob Evans Farms		2,400		97
Body Central * (A)		30,400		274
Boyd Gaming *		2,700		19
Bravo Brio Restaurant Group *		15,270		272
Bridgepoint Education * (A)		2,300		50
Brown Shoe		7,300		94
Brunswick		7,300		162
Cabela’s *		6,130		232
Capella Education *		4,297		149
Career Education *		23,400		157
Carmike Cinemas *		4,500		66
Casual Male Retail Group *		62,000		225
Cato, Cl A		7,994		243
CEC Entertainment		12,991		473
Chico’s FAS		20,860		310
Childrens Place Retail Stores * (A)		18,063		900
Christopher & Banks		21,600		25
Coldwater Creek *		23,000		13
Conn’s *		2,300		34
Cooper Tire & Rubber		13,114		230
Core-Mark Holding		7,334		353
Corinthian Colleges * (A)		51,200		148
CROCS *		11,965		193
Dana Holding (A)		19,612		251
Denny’s *		33,400		148
Destination Maternity		1,700		37
Dick’s Sporting Goods		6,300		302
DineEquity *		400		18
Dorman Products *		1,200		30
Entercom Communications * (A)		6,400		38
Ethan Allen Interiors (A)		6,900		137
Exide Technologies *		9,500		32
Express *		13,300		242
Fifth & Pacific *		7,800		84
Finish Line, Cl A		6,400		134
Francesca’s Holdings * (A)		39,338		1,063
Fred’s, Cl A (A)		5,500		84
Furniture Brands International *		12,800		16
Gaylord Entertainment * (A)		11,096		428
Genesco *		3,970		239
Grand Canyon Education *		17,778		372
hhgregg * (A)		10,700		121
Hibbett Sports * (A)		7,605		439
HomeAway * (A)		11,150		242
Hot Topic		22,600		219
HSN		955		39


Description	Shares		Market Value ($ Thousands)

Ignite Restaurant Group *		600	$	11
Insight Enterprises *		10,900		183
International Speedway, Cl A		2,500		65
Isle of Capri Casinos * (A)		24,547		152
Jack in the Box *		6,978		195
JAKKS Pacific (A)		9,100		146
Jones Group (A)		36,900		353
Kirkland’s *		2,100		24
Krispy Kreme Doughnuts *		1,400		9
La-Z-Boy, Cl Z *		10,800		133
LeapFrog Enterprises *		6,900		71
Libbey *		47,100		724
Life Time Fitness * (A)		18,057		840
Live Nation *		26,165		240
LKQ *		6,615		221
Lumber Liquidators Holdings * (A)		14,780		499
M/I Homes *		3,500		61
Marriott Vacations Worldwide *		3,900		121
Matthews International, Cl A (A)		12,160		395
McClatchy, Cl A * (A)		15,000		33
MDC Partners, Cl A		60,200		683
Men’s Wearhouse		11,084		312
Meredith (A)		11,700		374
Meritage Homes * (A)		16,383		556
Modine Manufacturing *		55,325		383
Morgans Hotel Group *		45,990		216
Movado Group		3,800		95
Multimedia Games Holding *		2,500		35
National CineMedia		53,040		805
National Presto Industries (A)		1,500		105
New York Times, Cl A *		10,100		79
OfficeMax *		5,300		27
Orient-Express Hotels, Cl A * (A)		31,234		261
Oxford Industries (A)		600		27
Pandora Media * (A)		32,320		351
Panera Bread, Cl A *		2,140		298
Papa John’s International *		4,800		228
Peet’s Coffee & Tea * (A)		300		18
Pep Boys-Manny Moe & Jack (A)		15,315		152
PetMed Express		11,700		142
PF Chang’s China Bistro		800		41
Pier 1 Imports		47,676		783
Pinnacle Entertainment *		52,665		507
RadioShack		12,800		49
ReachLocal *		24,770		272
Red Robin Gourmet Burgers *		11,969		365
Regis (A)		29,710		534
Rent-A-Center		4,500		152
Ruby Tuesday *		31,972		218
rue21 * (A)		14,120		356
Ryland Group		25,575		654
Sauer-Danfoss		4,000		140
Scholastic		6,500		183
Scientific Games, Cl A *		72,673		621
Select Comfort *		24,256		507
Shoe Carnival		8,977		193
Shuffle Master *		9,175		127
Shutterfly * (A)		13,250		407
Sinclair Broadcast Group, Cl A		2,600		24


Description	Shares		Market Value ($ Thousands)

Six Flags Entertainment		1,300	$	70
Skechers U.S.A., Cl A * (A)		9,300		189
Skullcandy * (A)		23,995		340
SodaStream International * (A)		8,253		338
Sotheby’s		8,400		280
Stage Stores		27,023		495
Standard Motor Products		3,700		52
Steiner Leisure *		1,100		51
Steven Madden *		3,025		96
Stewart Enterprises, Cl A		9,800		70
Strayer Education (A)		800		87
Sturm Ruger (A)		1,280		51
Superior Industries International		3,400		56
Tenneco *		5,210		140
Tesla Motors * (A)		13,215		414
Titan International (A)		12,600		309
True Religion Apparel		8,550		248
Tumi Holdings * (A)		7,425		130
Ulta Salon Cosmetics & Fragrance		2,325		217
Universal Technical Institute		1,200		16
Vail Resorts (A)		5,977		299
Valassis Communications * (A)		1,600		35
Vera Bradley * (A)		15,210		320
Vitamin Shoppe *		5,250		288
Warnaco Group *		9,835		419
Wet Seal, Cl A *		71,500		226
Whistler Blackcomb Holdings		2,500		27
Winnebago Industries *		13,100		133
WMS Industries *		12,390		247
Wolverine World Wide		6,630		257
World Wrestling Entertainment, Cl A (A)		6,400		50
Zumiez * (A)		16,282		645

				35,230


Consumer Staples — 2.7%
Andersons		4,600		196
B&G Foods, Cl A (A)		4,200		112
Casey’s General Stores (A)		14,122		833
Chefs’ Warehouse Holdings * (A)		9,562		173
Chiquita Brands International *		72,300		361
Coca-Cola Bottling Consolidated		2,100		135
Darling International *		2,100		35
Dole Food * (A)		15,700		138
Elizabeth Arden *		1,500		58
Fresh Del Monte Produce		13,200		310
Fresh Market *		11,101		595
Hain Celestial Group * (A)		10,942		602
Harris Teeter Supermarkets (A)		10,228		419
J&J Snack Foods		6,900		408
Lancaster Colony (A)		4,200		299
Medifast * (A)		12,929		254
Nash Finch		3,500		75
Omega Protein *		5,200		38
Pilgrim’s Pride *		6,100		43
Post Holdings *		3,700		114
Prestige Brands Holdings *		1,400		22
Rite Aid *		150,300		211
Smart Balance *		7,350		69
Snyders-Lance		9,537		241


Description	Shares		Market Value ($ Thousands)

Spartan Stores		20,710	$	376
Spectrum Brands Holdings *		2,700		88
TreeHouse Foods *		5,619		350
United Natural Foods *		5,523		303
USANA Health Sciences * (A)		3,300		136
Weis Markets		700		31

				7,025


Energy — 6.1%
Alberta Oilsands *		184,500		26
Approach Resources *		7,500		192
ATP Oil & Gas * (A)		16,900		57
Basic Energy Services *		6,100		63
Berry Petroleum, Cl A		17,924		711
Bonanza Creek Energy *		1,400		23
BPZ Resources * (A)		13,100		33
C&J Energy Services * (A)		2,500		46
Callon Petroleum *		15,800		67
CARBO Ceramics (A)		3,717		285
Carrizo Oil & Gas * (A)		16,370		385
Comstock Resources * (A)		38,423		631
Contango Oil & Gas * (A)		1,500		89
CVR Energy *		600		16
Dawson Geophysical *		2,500		60
Dril-Quip *		10,070		661
Energy Partners * (A)		25,300		428
Energy XXI Bermuda (A)		11,407		357
Forum Energy Technologies * (A)		17,223		339
Goodrich Petroleum * (A)		42,554		590
Gulfport Energy *		21,943		453
Heckmann * (A)		55,300		187
Helix Energy Solutions Group * (A)		9,200		151
Karoon Gas Australia *		5,264		22
Key Energy Services *		62,563		476
KiOR, Cl A * (A)		14,404		129
Knightsbridge Tankers (A)		1,900		15
Kodiak Oil & Gas, Cl Lithuanian * (A)		51,891		426
Laredo Petroleum Holdings * (A)		15,340		319
Magnum Hunter Resources * (A)		121,614		508
Matador Resources *		16,420		176
Matrix Service *		18,600		211
Midstates Petroleum *		3,000		29
Newpark Resources * (A)		61,200		361
Northern Oil And Gas * (A)		13,160		210
Oasis Petroleum * (A)		28,907		699
Oceaneering International		5,420		259
Oil States International *		3,670		243
Oilsands Quest * (A)		258,000		10
Parker Drilling *		19,500		88
Patriot Coal * (A)		13,689		17
PDC Energy * (A)		25,658		629
Penn Virginia (A)		16,300		120
Petroquest Energy * (A)		4,700		23
Pioneer Drilling *		70,889		565
Porto Energy *		93,400		9
Quicksilver Resources * (A)		66,004		358
Rosetta Resources * (A)		13,141		481
Scorpio Tankers * (A)		97,387		622
SM Energy		3,000		147
StealthGas *		19,900		116


Description	Shares		Market Value ($ Thousands)

Stone Energy * (A)		19,258	$	488
Superior Energy Services *		20,205		409
Swift Energy *		20,405		380
Synergy Resources *		5,100		16
Teekay Tankers, Cl A		10,700		49
Tesco * (A)		20,717		249
TETRA Technologies *		37,930		270
Triangle Petroleum * (A)		6,100		34
USEC * (A)		48,800		48
Vaalco Energy *		26,140		226
W&T Offshore (A)		6,600		101
Warren Resources *		15,100		36
Western Refining		3,000		67
Willbros Group *		23,600		152

				15,643


Financials — 20.4%
Affiliated Managers Group *		6,270		686
Agree Realty †		5,000		111
Alexander’s †		100		43
Alterra Capital Holdings (A)		30,720		717
American Campus Communities (A)		2,200		99
American Capital Mortgage Investment		3,100		74
American Equity Investment Life Holding (A)		21,100		232
Amtrust Financial Services (A)		26,330		782
Anworth Mortgage Asset		4,300		30
Argo Group International Holdings		7,200		211
Artio Global Investors, Cl A		7,700		27
Ashford Hospitality Trust †		2,400		20
Associated Estates Realty †		24,358		364
Astoria Financial (A)		6,200		61
Bancorpsouth (A)		46,018		668
Bank of the Ozarks (A)		9,695		292
Berkshire Hills Bancorp (A)		13,385		294
BGC Partners, Cl A		9,000		53
BioMed Realty Trust (A)		15,585		291
BlackRock Kelso Capital		10,500		103
Boston Private Financial Holdings (A)		35,700		319
Brasil Brokers Participacoes		10,600		35
BRE Properties, Cl A		4,030		202
Brookline Bancorp		3,800		34
Campus Crest Communities (A)		41,500		431
CapLease		23,300		97
Capstead Mortgage		2,100		29
Cardinal Financial		18,475		227
Cash America International		5,476		241
Central Pacific Financial *		47,085		665
Chatham Lodging Trust		6,100		87
Chemical Financial		2,900		62
Chesapeake Lodging Trust †		3,000		52
Citizens Republic Bancorp *		11,400		195
City Holding (A)		5,400		182
CNO Financial Group (A)		82,900		647
CoBiz Financial		36,095		226
Cohen & Steers (A)		8,760		302
Colonial Properties Trust		13,306		295
Columbia Banking System		8,600		162


Description	Shares		Market Value ($ Thousands)

Community Bank System (A)		6,200	$	168
Coresite Realty		7,255		187
CreXus Investment		3,000		30
CubeSmart		47,674		556
CVB Financial (A)		15,895		185
CYS Investments (A)		13,200		182
DFC Global * (A)		24,500		452
DiamondRock Hospitality		58,467		596
Douglas Emmett † (A)		16,830		389
Eagle Bancorp *		19,888		313
East West Bancorp		16,840		395
EastGroup Properties		10,227		545
Education Realty Trust		79,385		880
Employers Holdings		4,500		81
Encore Capital Group *		12,860		381
Entertainment Properties Trust †		1,400		58
EverBank Financial *		3,700		40
Ezcorp, Cl A *		3,800		89
FBR * (A)		95,400		264
Fifth Street Finance (A)		3,000		30
Financial Engines * (A)		30,655		658
First American Financial		9,300		158
First Cash Financial Services *		672		27
First Commonwealth Financial		29,800		201
First Financial Bancorp		30,416		486
First Financial Bankshares		1,000		35
First Horizon National		52,946		458
First Industrial Realty Trust * †		5,400		68
First Midwest Bancorp		18,500		203
First Potomac Realty Trust †		2,000		23
FirstMerit		2,800		46
Flushing Financial		2,800		38
Forest City Enterprises, Cl A *		22,885		334
Fulton Financial		36,107		361
Gain Capital Holdings		5,200		26
Getty Realty †		2,600		50
Glacier Bancorp (A)		12,417		192
Gladstone Commercial		2,100		35
Glimcher Realty Trust †		11,100		113
Global Indemnity, Cl A *		10,700		217
Government Properties Income Trust		14,900		337
Great American Group *		41,800		14
Hancock Holding		17,508		533
Hanover Insurance Group		19,956		781
Healthcare Realty Trust †		2,200		52
Highwoods Properties (A)		18,505		623
Home BancShares		13,600		416
Home Loan Servicing Solutions (A)		9,900		133
Home Properties †		3,230		198
HomeStreet *		7,100		227
Horace Mann Educators		15,600		273
Hudson Valley Holding		2,296		42
IBERIABANK		5,730		289
Independent Bank		3,700		108
Infinity Property & Casualty		3,000		173
Inland Real Estate (A)		63,953		536
International Bancshares		9,100		178
Investment Technology Group *		65,912		606
Investors Real Estate Trust †		4,500		36
Jones Lang LaSalle (A)		4,083		287
KBW (A)		15,290		252


Description	Shares		Market Value ($ Thousands)

Kennedy-Wilson Holdings (A)		34,100	$	478
Knight Capital Group, Cl A *		13,300		159
LaSalle Hotel Properties		11,475		334
Lexington Realty Trust (A)		74,803		634
LTC Properties †		12,952		470
Mack-Cali Realty		9,100		264
Maiden Holdings		50,000		434
MB Financial		17,302		373
MCG Capital		29,300		135
Meadowbrook Insurance Group		54,300		477
Medical Properties Trust		39,795		383
MFA Financial		3,900		31
MGIC Investment *		13,000		37
Mid-America Apartment Communities		8,442		576
Montpelier Re Holdings		11,900		253
National Financial Partners * (A)		21,420		287
National Penn Bancshares (A)		92,027		881
National Retail Properties (A)		13,540		383
Nationstar Mortgage Holdings *		6,500		140
Navigators Group *		4,015		201
NBT Bancorp		10,400		224
Nelnet, Cl A		21,400		492
Netspend Holdings * (A)		37,124		341
NorthStar Realty Finance (A)		64,730		338
Northwest Bancshares		9,700		114
Ocwen Financial *		30,200		567
Old National Bancorp		40,989		492
Omega Healthcare Investors †		4,800		108
OmniAmerican Bancorp *		7,600		163
Oritani Financial		8,800		127
PacWest Bancorp (A)		38,092		902
Park National		500		35
Pebblebrook Hotel Trust		13,709		320
PennantPark Investment (A)		38,829		402
Pennsylvania		2,000		30
Pinnacle Financial Partners *		2,100		41
Piper Jaffray *		2,100		49
Platinum Underwriters Holdings		4,900		187
Potlatch †		6,377		204
Primerica *		6,700		179
PrivateBancorp, Cl A		11,000		162
ProAssurance		8,858		789
Prospect Capital		2,000		23
Prosperity Bancshares (A)		10,695		449
Provident Financial Services		13,700		210
PS Business Parks		1,900		129
Radian Group (A)		53,130		175
RAIT Financial Trust (A)		25,545		118
Ramco-Gershenson Properties †		16,500		207
RLI		8,386		572
Sabra Health Care †		7,900		135
Safeguard Scientifics *		25,506		395
Safety Insurance Group		500		20
Sandy Spring Bancorp		14,759		266
SCBT Financial		3,800		134
Signature Bank NY *		9,180		560
Solar Capital		5,300		118
STAG Industrial		1,700		25
Starwood Property Trust		7,600		162
Sterling Financial *		14,790		279
Stifel Financial *		14,550		450


Description	Shares		Market Value ($ Thousands)

Strategic Hotels & Resorts * †		3,200	$	21
Summit Hotel Properties		4,700		39
Sunstone Hotel Investors *		51,324		564
Susquehanna Bancshares		100,132		1,031
Symetra Financial		15,900		201
Synovus Financial (A)		190,036		376
Tanger Factory Outlet Centers †		4,562		146
THL Credit		13,000		175
TICC Capital		5,200		50
Titanium Asset Management *		4,111		1
Titanium Asset Management PIPE *(B)(D)		2,000		2
Tower Group (A)		11,700		244
Trustmark (A)		19,387		475
Two Harbors Investment		19,300		200
UMB Financial		3,300		169
Umpqua Holdings		15,500		204
United Financial Bancorp		6,800		98
Uranium Participation *		6,300		34
Urstadt Biddle Properties, Cl A †		2,000		39
Validus Holdings (A)		8,000		256
ViewPoint Financial Group		25,160		393
Waddell & Reed Financial, Cl A		13,811		418
Washington Federal		1,400		24
Washington Real Estate Investment Trust † (A)		16,006		455
Webster Financial		26,185		567
West Coast Bancorp *		9,845		193
Westamerica Bancorporation (A)		3,000		142
Western Alliance Bancorp *		132,802		1,243
Wilshire Bancorp *		8,300		45
Winthrop Realty Trust		5,900		72
Wintrust Financial (A)		19,325		686
WisdomTree Investments *		47,650		313
World Acceptance * (A)		5,011		330
WSFS Financial		6,300		254
Zillow, Cl A * (A)		5,220		202

				52,577


Health Care — 12.2%
ABIOMED * (A)		9,225		211
Acadia Healthcare * (A)		40,667		713
Accuray *		8,600		59
Achillion Pharmaceuticals * (A)		12,120		75
Acorda Therapeutics *		6,720		158
Aegerion Pharmaceuticals *		13,930		207
Affymetrix * (A)		40,600		190
Akorn * (A)		52,128		822
Alere * (A)		22,500		437
Align Technology * (A)		7,310		245
Allos Therapeutics *		45,500		81
Almost Family *		600		13
Amarin * (A)		32,003		463
Amedisys *		9,000		112
AMERIGROUP *		4,805		317
Amsurg *		9,460		284
Amylin Pharmaceuticals * (A)		11,885		335
Analogic		1,000		62
Arena Pharmaceuticals * (A)		2,479		25
Ariad Pharmaceuticals * (A)		43,282		745
Arqule *		19,345		115
ArthroCare *		3,300		97
Assisted Living Concepts, Cl A		4,400		63


Description	Shares		Market Value ($ Thousands)

Athenahealth* (A)		3,612	$	286
Auxilium Pharmaceuticals *		1,800		48
AVEO Pharmaceuticals * (A)		8,310		101
BioMimetic Therapeutics * (A)		8,200		22
Bruker BioSciences *		22,780		303
Centene *		6,325		191
Cepheid * (A)		7,120		319
Chemed (A)		2,708		164
Computer Programs & Systems		2,200		126
Conmed		15,280		423
Cubist Pharmaceuticals * (A)		18,042		684
Cyberonics *		6,315		284
DexCom *		19,025		247
DynaVox, Cl A *		30,614		34
Emergent Biosolutions *		26,505		402
Emeritus *		22,760		383
Ensign Group		1,200		34
Exact Sciences *		5,100		55
Fluidigm * (A)		16,817		253
Gentiva Health Services *		8,600		60
Greatbatch *		14,475		329
Halozyme Therapeutics * (A)		26,660		236
Hansen Medical * (A)		27,500		62
Health Management Associates, Cl A *		62,155		488
Health Net *		11,600		282
HealthSouth *		54,038		1,257
Healthways *		10,700		85
HeartWare International *		1,050		93
Hi-Tech Pharmacal *		6,400		207
HMS Holdings *		21,961		731
ICU Medical *		15,142		808
Immunogen * (A)		5,000		84
Impax Laboratories *		20,996		425
Imris *		57,617		173
Incyte * (A)		1,500		34
Insulet * (A)		32,995		705
Invacare		14,100		218
IPC The Hospitalist * (A)		2,875		130
Ironwood Pharmaceuticals, Cl A * (A)		10,830		149
Keryx Biopharmaceuticals * (A)		46,835		84
Kindred Healthcare * (A)		23,724		233
LHC Group *		1,900		32
LifePoint Hospitals *		7,535		309
Magellan Health Services *		12,361		560
MAP Pharmaceuticals *		21,909		328
Masimo *		20,832		466
Medical Action Industries *		38,700		135
Medicines *		10,600		243
Medicis Pharmaceutical, Cl A (A)		14,732		503
MEDNAX * (A)		9,518		652
MELA Sciences * (A)		29,600		96
Merit Medical Systems *		3,100		43
Momenta Pharmaceuticals * (A)		17,100		231
Myriad Genetics *		12,010		285
Natus Medical *		1,900		22
Navidea Biopharmaceuticals * (A)		19,200		71
Nektar Therapeutics * (A)		27,350		221
Neurocrine Biosciences *		16,900		134
Novadaq Technologies *		24,700		165
NuVasive *		10,750		273


Description	Shares		Market Value ($ Thousands)

NxStage Medical * (A)		14,030	$	235
Omnicell *		21,277		312
Onyx Pharmaceuticals *		6,660		443
Optimer Pharmaceuticals * (A)		8,770		136
OraSure Technologies *		30,870		347
Orthofix International *		1,300		54
Pain Therapeutics * (A)		7,200		34
Parexel International *		16,575		468
PDL BioPharma (A)		60,883		404
Pharmacyclics * (A)		2,950		161
Pozen *		4,400		27
Providence Service *		14,300		196
Questcor Pharmaceuticals * (A)		14,145		753
Rigel Pharmaceuticals *		4,400		41
Sagent Pharmaceuticals * (A)		13,880		251
Salix Pharmaceuticals * (A)		5,034		274
Sangamo Biosciences * (A)		30,333		167
Seattle Genetics * (A)		5,700		145
Select Medical Holdings *		6,600		67
Sirona Dental Systems *		5,675		255
Skilled Healthcare Group, Cl A *		14,900		94
Spectranetics *		17,189		196
Spectrum Pharmaceuticals * (A)		20,364		317
SXC Health Solutions * (A)		3,510		348
Symmetry Medical *		34,200		293
Synageva BioPharma *		1,226		50
Syneron Medical *		41,540		431
Synta Pharmaceuticals * (A)		24,140		132
Targacept * (A)		10,600		46
TESARO *		4,890		68
Theravance * (A)		2,800		62
Threshold Pharmaceuticals * (A)		48,423		358
Tornier BV * (A)		16,709		375
Trinity Biotech		6,500		78
Trius Therapeutics *		29,221		168
Unilife * (A)		96,796		327
ViroPharma * (A)		6,820		162
Volcano *		17,540		503
WellCare Health Plans *		15,498		821
XenoPort * (A)		11,900		72

				31,501


Industrials — 16.1%
AAR (A)		24,414		329
ABM Industries		11,700		229
Acacia Research *		19,513		727
ACCO Brands *		8,100		84
Actuant, Cl A		39,389		1,070
Acuity Brands (A)		15,198		774
Advisory Board * (A)		12,408		615
Aegean Marine Petroleum Network (A)		29,900		160
Air Transport Services Group *		48,300		251
Aircastle		21,100		254
Alaska Air Group *		11,400		409
Albany International, Cl A		7,600		142
Altra Holdings		1,900		30
American Science & Engineering		300		17
Ametek		1,810		90
Apogee Enterprises		3,500		56
Applied Industrial Technologies		5,300		195
Arkansas Best		11,400		144


Description	Shares		Market Value ($ Thousands)

Armstrong World Industries		7,700	$	379
AZZ		600		37
Barnes Group		2,000		49
BE Aerospace *		7,020		306
Belden		13,390		447
Brink’s		21,200		491
CAI International *		1,800		36
Carlisle		12,750		676
Cascade		400		19
Celadon Group		9,994		164
Ceradyne		6,700		172
Chart Industries *		6,195		426
Clarcor		4,105		198
Clean Harbors *		6,820		385
Columbus McKinnon *		14,600		220
Comfort Systems USA		6,100		61
Consolidated Graphics *		10,822		314
Copa Holdings, Cl A		1,585		131
Corporate Executive Board		1,100		45
Crane		9,165		333
Cubic		10,078		485
Curtiss-Wright		800		25
Deluxe		12,458		311
Dollar Thrifty Automotive Group *		1,100		89
Dycom Industries *		37,920		706
Dynamic Materials		12,272		213
EMCOR Group		35,155		978
EnerSys *		600		21
ESCO Technologies		10,964		400
Esterline Technologies *		8,730		544
Exponent *		4,200		222
Flow International *		38,300		121
Forward Air		1,800		58
FreightCar America		2,800		64
FTI Consulting *		12,100		348
G&K Services		16,520		515
Gardner Denver		3,420		181
GenCorp *		12,100		79
Genesee & Wyoming, Cl A * (A)		17,132		905
Geo Group *		21,200		482
GeoEye *		4,900		76
Global Power Equipment Group (A)		13,800		301
Graco		5,300		244
GrafTech International *		11,700		113
Granite Construction		2,300		60
Great Lakes Dredge & Dock		3,600		25
Greenbrier *		27,669		486
H&E Equipment Services *		3,300		50
Hawaiian Holdings * (A)		49,586		323
HEICO		9,443		373
Heidrick & Struggles International		5,800		101
Hexcel *		43,642		1,125
HNI		200		5
ICF International *		12,700		303
IDEX		7,370		287
Insperity		5,400		146
Interface, Cl A		37,605		513
ITT		5,305		93
John Bean Technologies		14,020		190
Kadant *		11,381		267
Keyw Holding * (A)		16,500		166


Description	Shares		Market Value ($ Thousands)

Kforce *		3,800	$	51
Kirby *		5,830		274
Korn/Ferry International *		1,400		20
Layne Christensen *		3,600		74
LB Foster, Cl A		2,100		60
Lincoln Electric Holdings		5,790		254
Lindsay		400		26
Manitowoc (A)		13,025		152
Marten Transport		18,620		396
Meritor *		19,100		100
Michael Baker *		1,600		42
Middleby *		7,975		794
Mistras Group *		12,430		327
Mobile Mini *		18,250		263
Moog, Cl A *		9,425		390
MSC Industrial Direct, Cl A		4,660		305
Mueller Water Products, Cl A		6,600		23
MYR Group *		6,800		116
NACCO Industries, Cl A		900		105
Navigant Consulting *		40,284		509
Northwest Pipe *		9,000		218
Old Dominion Freight Line * (A)		27,648		1,197
Orbital Sciences *		3,000		39
Orion Marine Group *		44,500		310
Pacer International *		24,800		135
Polypore International * (A)		19,689		795
Quality Distribution *		3,200		35
Quanex Building Products (A)		15,795		282
RailAmerica *		16,199		392
Rand Logistics * (A)		8,700		74
RBC Bearings *		5,540		262
Republic Airways Holdings * (A)		6,500		36
Resources Connection		8,200		101
Rexnord * (A)		15,150		304
Robbins & Myers		24,148		1,010
RPX *		15,815		227
Rush Enterprises, Cl A *		26,280		430
Saia *		2,300		50
SeaCube Container Leasing		2,100		36
Simpson Manufacturing		19,540		577
Skywest		9,000		59
Spirit Airlines *		29,300		570
Standex International (A)		6,517		277
Steelcase, Cl A		13,200		119
Sun Hydraulics		8,200		199
Swift Transportation, Cl A *		31,825		301
Sykes Enterprises *		4,900		78
TAL International Group (A)		10,220		342
Taser International *		10,000		52
Teledyne Technologies *		1,000		62
Teleflex		2,100		128
Tetra Tech *		11,984		313
Textainer Group Holdings (A)		1,000		37
Thermon Group Holdings * (A)		8,080		167
Titan Machinery * (A)		6,700		204
TMS International, Cl A *		30,400		303
Tredegar		2,000		29
Trex * (A)		13,030		392
Trinity Industries		2,300		57
TrueBlue *		28,500		441
Tutor Perini *		35,900		455
United Rentals * (A)		16,343		556
United Stationers		1,200		32


Description	Shares		Market Value ($ Thousands)

US Airways Group * (A)		6,700	$	89
US Ecology		17,395		309
UTI Worldwide		16,315		238
Valmont Industries		2,550		308
Vitran *		18,675		112
Wabash National * (A)		130,285		863
Wabtec		3,410		266
Watsco		5,820		430
Werner Enterprises (A)		17,381		415

				41,453


Information Technology — 16.2%
Acme Packet * (A)		20,250		378
Adtran		12,386		374
Advanced Energy Industries *		1,800		24
Aeroflex Holding * (A)		6,100		37
Amtech Systems * (A)		2,700		10
Ancestry.com * (A)		5,600		154
Arris Group * (A)		35,498		494
Aruba Networks * (A)		39,350		592
Aspen Technology *		28,255		654
Audience *		12,072		233
Bazaarvoice * (A)		17,629		321
Benchmark Electronics *		31,170		435
Black Box		3,000		86
Blucora *		2,500		31
Brightpoint *		2,700		15
BroadSoft * (A)		27,579		799
Cadence Design Systems *		52,725		580
Calix *		4,400		36
Cavium * (A)		36,621		1,025
CIBER *		113,500		489
Ciena * (A)		30,109		493
CommVault Systems *		6,716		333
Computer Task Group *		15,200		228
Compuware *		25,945		241
Comverse Technology *		4,700		27
Concur Technologies * (A)		6,640		452
Constant Contact * (A)		18,505		331
Convergys (A)		2,500		37
Cornerstone OnDemand * (A)		18,110		431
CoStar Group * (A)		5,115		416
CSG Systems International *		4,100		71
Cymer * (A)		6,730		397
DealerTrack Holdings *		28,420		856
Demand Media *		1,700		19
Demandware * (A)		5,800		137
Dice Holdings * (A)		27,196		255
Digi International *		40,300		413
Digital River *		26,920		447
Diodes * (A)		17,939		337
EarthLink (A)		61,140		455
Emulex *		22,700		163
Entegris *		30,700		262
Envestnet *		27,257		327
ExactTarget * (A)		9,370		205
Exar *		31,800		259
ExlService Holdings *		12,136		299
Extreme Networks *		10,300		35
Fabrinet *		5,100		64
Fairchild Semiconductor International *		56,232		793
FEI (A)		7,072		338


Description	Shares		Market Value ($ Thousands)

FormFactor *		5,800	$	38
Forrester Research		2,596		88
Fortinet *		24,620		572
Fusion-io * (A)		13,160		275
GT Advanced Technologies * (A)		16,500		87
Harmonic *		8,200		35
Heartland Payment Systems		6,300		189
Hittite Microwave * (A)		9,749		498
Imperva * (A)		6,560		189
Infoblox * (A)		17,542		402
Informatica *		1,030		44
Inphi * (A)		61,265		581
Integrated Device Technology *		129,317		727
Interactive Intelligence Group * (A)		7,326		207
Internap Network Services *		46,946		306
International Rectifier *		20,724		414
Intersil, Cl A		48,883		521
IPG Photonics * (A)		9,225		402
j2 Global (A)		11,300		299
JDA Software Group *		1,400		42
Kemet *		13,200		79
Kenexa *		9,760		283
Lattice Semiconductor *		17,800		67
Lender Processing Services		19,825		501
Limelight Networks * (A)		35,600		104
Loral Space & Communications		1,000		67
LTX-Credence *		7,633		51
Manhattan Associates *		6,500		297
MAXIMUS		9,200		476
Mellanox Technologies * (A)		12,080		856
Mentor Graphics *		35,053		526
Micrel		4,400		42
Micros Systems *		6,055		310
Microsemi *		1,600		30
MicroStrategy, Cl A *		2,452		318
Mindspeed Technologies * (A)		50,002		123
Mitek Systems * (A)		23,444		91
Mitel Networks *		7,100		31
Monolithic Power Systems *		18,926		376
Move *		7,300		67
MTS Systems		800		31
NETGEAR *		8,080		279
Netscout Systems *		900		20
NetSuite * (A)		6,580		360
NIC (A)		9,300		118
Novatel Wireless *		7,100		18
OCZ Technology Group * (A)		68,906		365
OpenTable * (A)		5,720		258
Oplink Communications *		5,400		73
Opnet Technologies (A)		18,509		492
OSI Systems *		2,643		167
Parametric Technology *		51,441		1,078
Park Electrochemical		1,450		37
Parkervision * (A)		15,000		36
Photronics * (A)		53,579		327
Plantronics		6,600		220
Plexus *		17,294		488
PMC-Sierra *		3,900		24
Progress Software *		15,880		331
QLIK Technologies *		26,904		595
QLogic *		6,700		92


Description	Shares		Market Value ($ Thousands)

Quantum *		228,649	$	464
Rackspace Hosting * (A)		4,930		217
RealNetworks		5,400		47
RealPage * (A)		13,870		321
Rogers *		4,991		198
Rosetta Stone * (A)		9,856		136
Saba Software *		36,900		342
Sanmina-SCI *		7,400		61
Sapient		3,860		39
Seachange International *		4,100		34
Semtech *		12,460		303
servicenow *		1,433		35
ServiceSource International * (A)		62,842		870
Silicon Graphics International * (A)		7,500		48
Silicon Laboratories *		7,630		289
SolarWinds *		15,418		672
Sonus Networks *		163,003		351
Sourcefire * (A)		10,824		556
Splunk * (A)		4,700		132
STEC * (A)		6,100		47
Sycamore Networks *		28,776		418
Synaptics * (A)		5,300		152
Synchronoss Technologies * (A)		5,410		100
SYNNEX * (A)		14,071		485
Take-Two Interactive Software *		33,620		318
TeleNav *		11,700		72
TeleTech Holdings *		1,300		21
Tellabs		5,700		19
Teradyne *		17,555		247
THQ * (A)		24,000		15
TIBCO Software * (A)		18,790		562
Travelzoo * (A)		3,100		70
TriQuint Semiconductor *		35,137		193
TTM Technologies *		41,348		389
Tyler Technologies *		3,900		157
Ultra Clean Holdings *		30,646		197
Unisys *		5,500		108
United Online		14,300		60
Veeco Instruments * (A)		6,980		240
Vishay Intertechnology * (A)		40,015		377
VistaPrint * (A)		8,554		276
WebMD Health, Cl A *		2,000		41
Wright Express *		3,155		195
XO Group *		3,500		31
Xyratex		3,500		40

				41,853


Materials — 3.9%
AK Steel Holding (A)		13,200		77
Allied Nevada Gold *		1,300		37
Alpha Natural Resources *		15,300		133
American Vanguard		8,025		213
Aptargroup		600		31
Buckeye Technologies		3,900		111
Carpenter Technology		6,755		323
Century Aluminum *		10,200		75
EcoSynthetix *		6,800		26
Georgia Gulf		3,300		85
Glatfelter		4,400		72
Globe Specialty Metals		31,631		425
GSE Holding * (A)		32,000		338
Haynes International		7,660		390


Description	Shares		Market Value ($ Thousands)

Headwaters *		35,400	$	182
Horsehead Holding *		48,188		480
Innophos Holdings		10,104		571
Innospec *		7,200		213
Kaiser Aluminum (A)		10,119		525
Koppers Holdings		600		21
Kraton Performance Polymers *		12,338		270
LSB Industries *		3,200		99
Materion		1,900		44
Minerals Technologies		6,681		426
Myers Industries		3,700		63
Neenah Paper		700		19
New Gold *		3,800		36
Noranda Aluminum Holding		41,287		329
OM Group *		2,700		51
PolyOne		67,753		927
Quaker Chemical		7,711		356
Resolute Forest Products *		5,900		68
Romarco Minerals *		47,900		25
RTI International Metals * (A)		29,033		657
Schnitzer Steel Industries, Cl A		2,800		78
Schulman A		6,100		121
Schweitzer-Mauduit International		7,300		497
Sensient Technologies		12,070		443
Silgan Holdings		8,610		368
STR Holdings * (A)		27,500		126
TPC Group *		9,723		359
Universal Stainless & Alloy *		800		33
Wausau Paper		9,400		92
Worthington Industries (A)		16,870		345

				10,160


Telecommunication Services — 0.5%
Boingo Wireless * (A)		41,000		476
Cbeyond *		2,900		20
Cogent Communications Group *		8,900		171
IDT, Cl B		6,500		64
Leap Wireless International * (A)		5,800		37
Neutral Tandem *		24,700		326
NTELOS Holdings		1,200		23
tw telecom, Cl A *		8,510		218
USA Mobility		6,500		84

				1,419


Utilities — 2.4%
ALLETE (A)		7,895		330
Cadiz * (A)		19,600		141
Chesapeake Utilities		5,576		244
Cleco		9,770		409
El Paso Electric		10,670		354
Empire District Electric		9,700		204
Idacorp		12,583		529
New Jersey Resources		9,743		425
Northwest Natural Gas (A)		6,252		297
NorthWestern		3,800		139
Piedmont Natural Gas (A)		5,300		171
PNM Resources		37,109		725
Portland General Electric		16,045		428
Southwest Gas		8,084		353
UIL Holdings (A)		16,477		591
UNS Energy		800		31
Vectren		13,296		393
Westar Energy		900		27


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

WGL Holdings		8,196	$	326

				6,117

Total Common Stock (Cost $227,725) ($ Thousands)				242,978


EXCHANGE TRADED FUND — 0.2%
iShares Russell 2000 Growth Index Fund		5,966		546

Total Exchange Traded Fund (Cost $506) ($ Thousands)				546


PREFERRED STOCK — 0.0%

Consumer Discretionary — 0.0%
Callaway Golf		500		48

Energy — 0.0%
GeoMet		1,772		7

Financials — 0.0%
Grubb & Ellis * (B) (C)		800		—
Grubb & Ellis Cumulative *		900		—

				—

Total Preferred Stock (Cost $238) ($ Thousands)				55

	Number of Warrants

WARRANTS — 0.0%
Kulim Malaysia		10,100		—
Magnum Hunter Resources Expires: 08/29/14 * (A)		12,911		—

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


CONVERTIBLE BONDS — 0.0%

Energy — 0.0%
Rentech CV to 249.2522
4.000%, 04/15/13	$	41		41


Financials — 0.0%
Grubb & Ellis CV to 445.583
7.950%, 05/01/15 (C)		36		—

Total Convertible Bonds (Cost $70) ($ Thousands)				41


AFFILIATED PARTNERSHIP — 27.0%
SEI Liquidity Fund, L.P.
0.150% ** †† (E)		69,498,570		69,499

Total Affiliated Partnership (Cost $69,499) ($ Thousands)				69,499


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

CASH EQUIVALENT — 5.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		14,351,705	$	14,352

Total Cash Equivalent (Cost $14,352) ($ Thousands)				14,352


U.S. TREASURY OBLIGATIONS (F) (G)— 0.3%
U.S. Treasury Bills
0.040%, 08/23/12	$	118		118
0.059%, 09/20/12		761		761

Total U.S. Treasury Obligations (Cost $879) ($ Thousands)				879

Total Investments — 127.3% (Cost $313,269) ($ Thousands) ‡			$	328,350

The open futures contracts held by the Fund at June 30, 2012, are as follows:

Type of Contract

Number of
Contracts
Long (Short)

Expiration

Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

135

Sep-2012

509

Percentages are based on Net Assets of $257,847 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $69,535 ($ Thousands).

(B)

Securities considered illiquid and restricted. The total market value of such securities as of June 30, 2012 was $2 ($ Thousands) and represented 0.0% of Net Assets.

(C)

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.

(D)

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 June 30, 2012 was $2 ($ Thousands) and represented 0.0% of net Assets.

(E)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $69,499 ($ 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 contracts.

Cl — Class

CV — Convertible

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

Amounts designated as “—” are $0 or have been rounded to $0.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.9%‡

Consumer Discretionary — 10.5%
AFC Enterprises *		31,573	$	731
American Eagle Outfitters		32,537		642
American Greetings, Cl A (A)		21,400		313
ANN * (A)		25,427		648
Arbitron		13,800		483
Belo, Cl A		102,269		659
Big Lots *		16,200		661
Bob Evans Farms (A)		14,000		563
Body Central *		90,000		810
Callaway Golf (A)		90,488		535
Carmike Cinemas *		13,400		196
Casual Male Retail Group *		182,600		663
Cato, Cl A		15,700		478
CEC Entertainment		9,400		342
Chico’s FAS		49,970		742
Childrens Place Retail Stores * (A)		21,015		1,047
Coinstar * (A)		12,400		851
Columbia Sportswear		9,540		512
Cooper Tire & Rubber		98,066		1,720
Core-Mark Holding		12,113		583
Cracker Barrel Old Country Store		3,200		201
CSS Industries		24,100		495
DreamWorks Animation SKG, Cl A * (A)		59,000		1,124
Ethan Allen Interiors (A)		26,765		533
Federal Mogul, Cl A *		28,800		317
Foot Locker		17,900		547
hhgregg * (A)		36,352		411
Ignite Restaurant Group *		1,900		34
Insight Enterprises *		27,600		465
Jack in the Box *		28,500		794
JAKKS Pacific (A)		33,200		531
Jones Group		76,200		728
Journal Communications, Cl A *		107,100		553
Libbey *		139,200		2,140
Matthews International, Cl A (A)		85,590		2,781
MDC Partners, Cl A		178,100		2,020
Men’s Wearhouse		48,000		1,351
Meredith (A)		57,225		1,828
Pep Boys-Manny Moe & Jack (A)		36,855		365
Pier 1 Imports		53,465		879
Pinnacle Entertainment *		79,215		762
RadioShack (A)		43,800		168
Regis (A)		129,788		2,331
Rent-A-Center		51,400		1,734
Ruby Tuesday * (A)		29,900		204
Scholastic (A)		22,200		625
School Specialty * (A)		35,072		114
Scientific Games, Cl A *		52,359		448
Sinclair Broadcast Group, Cl A		27,300		247
Skechers U.S.A., Cl A * (A)		46,500		947
Stage Stores		40,100		735
Standard Motor Products		17,300		243
Starwood Hotels & Resorts Worldwide		8,450		448
Universal Electronics *		18,900		249
Warnaco Group *		18,900		805
Winnebago Industries *		38,841		396


Description	Shares		Market Value ($ Thousands)

WMS Industries *		109,799	$	2,190

				43,922


Consumer Staples — 2.9%
Cal-Maine Foods		6,600		258
Casey’s General Stores (A)		15,172		895
Central Garden and Pet *		33,041		343
Central Garden and Pet, Cl A *		32,270		351
Chiquita Brands International * (A)		215,700		1,078
Darling International *		27,300		450
Dole Food * (A)		114,658		1,007
Fresh Del Monte Produce		19,500		458
Ingles Markets, Cl A		31,975		513
Ingredion		28,182		1,396
J&J Snack Foods		12,930		764
Nash Finch		10,700		230
Pantry *		48,667		715
Prestige Brands Holdings *		42,673		675
Sanderson Farms		12,975		594
Spartan Stores		70,238		1,274
Universal		12,200		565
Weis Markets		10,900		485

				12,051


Energy — 5.6%
Approach Resources *		22,100		565
Berry Petroleum, Cl A (A)		33,382		1,324
Cloud Peak Energy * (A)		79,300		1,341
Comstock Resources * (A)		60,600		995
Energy Partners * (A)		60,300		1,019
Forest Oil * (A)		97,100		712
Goodrich Petroleum * (A)		34,856		483
Gulfmark Offshore, Cl A *		17,900		609
Heckmann * (A)		163,700		553
Key Energy Services *		168,759		1,283
Lone Pine Resources *		73,945		203
Magnum Hunter Resources * (A)		156,258		653
Matrix Service *		31,800		361
McDermott International *		45,593		508
Newpark Resources * (A)		242,900		1,433
Northern Oil And Gas * (A)		31,670		505
Parker Drilling *		172,700		779
REX American Resources *		9,900		193
Scorpio Tankers *		183,600		1,173
SEACOR Holdings * (A)		5,400		483
StealthGas *		60,600		352
Superior Energy Services *		19,600		396
Swift Energy *		73,342		1,365
Tesoro *		28,700		716
TETRA Technologies *		91,270		651
Tidewater (A)		21,200		983
Unit *		34,400		1,269
USEC * (A)		134,800		134
W&T Offshore (A)		20,200		309
Western Refining (A)		33,800		753
World Fuel Services (A)		27,700		1,053

				23,156


Financials — 34.7%
1st Source		29,350		663
Access National		1,000		13
Agree Realty † (A)		2,800		62


Description	Shares		Market Value ($ Thousands)

Allied World Assurance Holdings		7,500	$	596
Alterra Capital Holdings (A)		93,350		2,180
American Campus Communities † (A)		6,600		297
American Capital Mortgage Investment †		9,600		229
American Equity Investment Life Holding (A)		107,600		1,185
Ameris Bancorp *		5,094		64
Anworth Mortgage Asset †		102,700		724
Apartment Investment & Management, Cl A †		44,465		1,202
Arrow Financial		450		11
Ashford Hospitality Trust †		31,900		269
Aspen Insurance Holdings		13,200		381
Astoria Financial (A)		6,150		60
AvalonBay Communities † (A)		9,519		1,347
Bancfirst		2,400		101
Banco Latinoamericano de Exportaciones, Cl E		50,400		1,080
Bancorp *		8,900		84
Bancorpsouth (A)		54,824		796
Bank Mutual		9,300		41
Bank of Kentucky Financial		1,350		36
Bank of Marin Bancorp		1,350		50
Bank of the Ozarks (A)		23,830		717
BankFinancial		4,950		37
Banner		9,100		199
BBCN Bancorp *		24,400		266
Beneficial Mutual Bancorp *		9,100		79
Berkshire Hills Bancorp (A)		32,070		706
BioMed Realty Trust † (A)		63,955		1,195
Boston Private Financial
Holdings (A)		173,770		1,552
Boston Properties † (A)		9,585		1,039
Brandywine Realty Trust † (A)		52,500		648
Bridge Bancorp		750		18
Camden National		13,500		494
Campus Crest Communities † (A)		113,500		1,179
Capital City Bank Group		3,950		29
CapLease †		102,100		424
Capstead Mortgage †		32,600		453
Cardinal Financial		47,046		578
Cathay General Bancorp		15,350		253
CBL & Associates Properties † (A)		82,029		1,603
Center Bancorp		2,100		24
Central Pacific Financial *		42,650		602
Chatham Lodging Trust †		18,400		263
Chemical Financial		8,800		189
Citizens & Northern		2,700		51
Citizens Republic Bancorp *		19,173		328
City Holding (A)		4,600		155
CNB Financial		1,850		30
CNO Financial Group (A)		328,500		2,562
CoBiz Financial		101,425		635
Colonial Properties Trust † (A)		30,608		678
Columbia Banking System		5,050		95
CommonWealth †		18,100		346
Community Bank System (A)		2,850		77
Community Trust Bancorp		19,100		640
Coresite Realty †		17,385		449


Description	Shares		Market Value ($ Thousands)

Corporate Office Properties Trust † (A)		22,050	$	518
CreXus Investment †		49,700		505
CVB Financial (A)		92,252		1,075
CYS Investments † (A)		38,900		536
Dime Community Bancshares		13,600		181
Dynex Capital † (A)		43,600		453
Eagle Bancorp *		47,644		750
East West Bancorp		40,335		946
EastGroup Properties †		13,780		734
Education Realty Trust †		139,652		1,547
Employers Holdings		70,949		1,280
Encore Bancshares *		800		16
Encore Capital Group *		9,400		279
Endurance Specialty Holdings		48,701		1,866
Enterprise Bancorp		950		16
Enterprise Financial Services		6,500		71
Equity One		44,827		950
Equity Residential		34,250		2,136
Extra Space Storage †		18,186		557
FBR *		281,500		780
Federal Agricultural Mortgage, Cl C		1,450		38
Federal Realty Investment Trust †		3,404		354
Financial Institutions		4,000		68
First Bancorp (A)		4,700		42
First BanCorp *		1,880		7
First Busey		24,100		116
First Commonwealth Financial		6,750		45
First Community Bancshares (A)		26,045		376
First Defiance Financial		2,750		47
First Financial		4,150		120
First Financial Bancorp		39,900		638
First Financial Bankshares		2,150		74
First Financial Holdings		9,592		103
First Horizon National		94,902		821
First Interstate Bancsystem, Cl A		5,900		84
First Merchants		23,300		290
First Midwest Bancorp		160,218		1,759
FirstMerit		59,663		986
Flushing Financial		59,800		815
FNB (Pennsylvania) (A)		43,950		478
Forest City Enterprises, Cl A * (A)		54,830		801
Fulton Financial		42,700		427
General Growth Properties †		54,032		977
German American Bancorp (A)		2,250		46
GFI Group		88,900		317
Glacier Bancorp		5,100		79
Global Indemnity, Cl A *		31,600		640
Government Properties Income Trust †		23,900		541
Great American Group *		137,500		45
Great Southern Bancorp		2,500		69
Hancock Holding (A)		74,359		2,264
Hanmi Financial *		16,800		176
Hanover Insurance Group		20,160		789
Hatteras Financial †		29,800		852
HCP †		37,462		1,654
Health Care †		19,450		1,134
Heartland Financial USA		2,550		61
Heritage Commerce *		6,000		39
Heritage Financial		2,500		37


Description	Shares		Market Value ($ Thousands)

Highwoods Properties † (A)		48,180	$	1,621
Home BancShares		38,100		1,165
Home Federal Bancorp		3,500		37
Home Loan Servicing Solutions		29,100		390
HomeStreet *		23,250		744
Horace Mann Educators		70,847		1,238
Hospitality Properties Trust †		18,600		461
Host Hotels & Resorts † (A)		71,406		1,130
Hudson Valley Holding		3,416		62
IBERIABANK		17,385		877
Infinity Property & Casualty		17,945		1,035
International Bancshares (A)		52,900		1,033
Investors Bancorp *		16,950		256
Kennedy-Wilson Holdings (A)		100,700		1,411
Kite Realty Group Trust †		90,000		449
Knight Capital Group, Cl A * (A)		54,300		648
Lakeland Bancorp		6,171		65
Lakeland Financial		6,500		174
LaSalle Hotel Properties † (A)		27,485		801
Lexington Realty Trust † (A)		187,040		1,584
Macerich †		13,411		792
Mack-Cali Realty †		56,711		1,649
Maiden Holdings		147,800		1,283
MainSource Financial Group (A)		61,907		732
MB Financial		16,400		353
Meadowbrook Insurance Group		129,400		1,137
Meridian Interstate Bancorp *		900		13
Metro Bancorp *		2,350		28
MetroCorp Bancshares *		1,850		20
MFA Financial †		178,751		1,410
MGIC Investment * (A)		11,250		32
Mid-America Apartment Communities †		29,563		2,017
Montpelier Re Holdings		23,800		507
National Bankshares (A)		1,400		42
National Financial Partners * (A)		51,540		691
National Penn Bancshares (A)		70,219		672
National Retail Properties † (A)		32,440		918
Nationstar Mortgage Holdings *		19,300		415
NBT Bancorp		700		15
Nelnet, Cl A		66,000		1,518
Northwest Bancshares		17,025		199
OceanFirst Financial		33,650		483
Ocwen Financial *		108,850		2,044
Old National Bancorp		161,079		1,935
OmniAmerican Bancorp *		22,700		486
Oriental Financial Group		33,900		376
PacWest Bancorp (A)		84,064		1,990
Park National (A)		2,550		178
Peapack Gladstone Financial		650		10
Pebblebrook Hotel Trust †		31,069		724
Pennsylvania †		28,000		419
PennyMac Mortgage Investment Trust †		23,500		464
Peoples Bancorp		3,650		80
PHH * (A)		21,700		379
PICO Holdings *		30,000		672
Pinnacle Financial Partners * (A)		3,750		73
Platinum Underwriters Holdings		60,225		2,295
Potlatch † (A)		11,300		361
Preferred Bank *		2,300		31
Presidential Life		13,900		137


Description	Shares		Market Value ($ Thousands)

PrivateBancorp, Cl A		51,900	$	766
ProAssurance		20,251		1,804
ProLogis †		54,994		1,827
Prosperity Bancshares		27,070		1,138
Provident Financial Holdings		950		11
Provident Financial Services		18,700		287
Public Storage †		13,557		1,958
Radian Group (A)		7,350		24
RAIT Financial Trust † (A)		9,799		45
Regency Centers † (A)		16,281		775
Reinsurance Group of America, Cl A		14,094		750
Renasant (A)		8,250		130
Republic Bancorp, Cl A (A)		35,150		782
Rockville Financial		5,901		68
S&T Bancorp (A)		8,950		165
Safeguard Scientifics *		61,100		946
Sandy Spring Bancorp		38,125		686
SCBT Financial		14,700		518
Sierra Bancorp		20,303		201
Signature Bank *		6,737		411
Simon Property Group †		19,194		2,988
SL Green Realty † (A)		14,392		1,155
Southside Bancshares (A)		27,224		612
Southwest Bancorp *		6,000		56
StanCorp Financial Group (A)		7,800		290
Starwood Property Trust †		22,300		475
State Bank Financial *		13,500		205
StellarOne		6,850		86
Sterling Financial *		6,200		117
Suffolk Bancorp *		3,350		43
Susquehanna Bancshares		112,637		1,160
SWS Group		55,900		298
SY Bancorp		1,950		47
Synovus Financial (A)		142,807		283
TCF Financial (A)		37,922		435
Territorial Bancorp		2,000		46
Texas Capital Bancshares * (A)		2,400		97
THL Credit		38,700		521
Tompkins Financial, Cl US		670		25
Trico Bancshares		4,650		72
Trustco Bank NY (A)		28,900		158
Trustmark		8,550		209
Two Harbors Investment †		56,900		589
UDR †		30,550		789
UMB Financial (A)		3,900		200
Umpqua Holdings (A)		18,350		241
Union First Market Bankshares		5,600		81
United Bankshares (A)		4,750		123
United Community Banks *		11,750		101
United Financial Bancorp		22,050		317
Univest Corp of Pennsylvania		4,350		72
Validus Holdings		48,500		1,553
Ventas †		25,269		1,595
Verde Realty PIPE *(B)(C)		21,100		336
ViewPoint Financial Group		58,100		909
Virginia Commerce Bancorp *		11,450		97
Vornado Realty Trust †		12,900		1,083
Washington Banking		3,650		51
Washington Trust Bancorp		1,800		44
Webster Financial		51,940		1,125
WesBanco		9,600		204


Description	Shares		Market Value ($ Thousands)

West Bancorporation		3,250	$	31
West Coast Bancorp *		23,695		466
Westamerica Bancorporation (A)		350		17
Western Alliance Bancorp *		241,775		2,263
Wilshire Bancorp * (A)		69,950		383
Winthrop Realty Trust †		41,497		505
Wintrust Financial		3,100		110
WSFS Financial		21,650		875
Zions Bancorporation (A)		69,591		1,351

				144,411


Health Care — 5.1%
Accuray * (A)		26,300		180
Alere * (A)		66,700		1,297
Amsurg *		31,499		944
Cambrex *		86,300		812
Conmed		54,045		1,496
Enzon Pharmaceuticals *		35,700		245
Five Star Quality Care *		56,519		174
Greatbatch *		56,305		1,279
HealthSouth *		78,182		1,819
Hill-Rom Holdings		8,100		250
Hi-Tech Pharmacal *		7,400		240
ICON *		35,576		801
Invacare (A)		25,600		395
Kindred Healthcare * (A)		44,900		441
Magellan Health Services *		25,160		1,140
Medical Action Industries *		114,400		398
MEDNAX *		20,045		1,374
Metropolitan Health Networks * (A)		79,600		762
Orthofix International *		11,400		470
Par Pharmaceutical *		23,600		853
PDL BioPharma (A)		64,700		429
PerkinElmer		30,603		790
PharMerica *		35,300		385
Providence Service *		43,300		594
Sciclone Pharmaceuticals * (A)		42,500		298
Select Medical Holdings *		29,561		299
Skilled Healthcare Group, Cl A *		64,200		403
STERIS		30,169		946
Sun Healthcare Group *		51,300		429
Symmetry Medical *		101,300		869
Trinity Biotech		19,700		236

				21,048


Industrials — 16.7%
AAR (A)		14,000		189
ABM Industries		34,500		675
ACCO Brands *		23,800		246
Aegean Marine Petroleum Network (A)		88,500		473
Air Transport Services Group *		112,000		582
Aircastle		60,900		734
Alamo Group		17,000		533
Alaska Air Group *		33,000		1,184
Alliant Techsystems (A)		7,000		354
Ampco-Pittsburgh		23,400		429
Astec Industries *		19,600		601
Atlas Air Worldwide Holdings *		21,400		931
BE Aerospace *		3,649		159
Belden		46,491		1,550
Brady, Cl A		23,265		640


Description	Shares		Market Value ($ Thousands)

Brink’s		62,700	$	1,453
Cascade		11,400		537
CIRCOR International		6,000		204
Columbus McKinnon *		43,200		652
Comfort Systems USA		61,600		617
Consolidated Graphics *		11,500		334
Courier		8,046		107
CRA International *		18,700		275
Cubic		15,681		754
Curtiss-Wright		30,600		950
Deluxe		25,800		643
EMCOR Group		98,923		2,752
Encore Wire		13,500		362
EnPro Industries *		15,039		562
ESCO Technologies		26,382		961
Flow International *		116,400		367
FTI Consulting * (A)		86,400		2,484
G&K Services		58,819		1,835
Genco Shipping & Trading * (A)		21,500		66
General Cable *		22,751		590
Geo Group *		62,800		1,427
Global Power Equipment Group (A)		40,760		890
GrafTech International *		35,600		344
Granite Construction		33,200		867
Harsco		25,600		522
Hawaiian Holdings * (A)		130,678		851
ICF International *		37,600		896
IDEX		18,135		707
Interface, Cl A		76,126		1,038
John Bean Technologies		28,862		392
Kadant *		44,523		1,044
KAR Auction Services *		19,450		334
Kaydon		47,912		1,025
Kforce *		25,600		345
Miller Industries		22,200		354
Moog, Cl A *		22,685		938
Mueller Industries (A)		19,300		822
NACCO Industries, Cl A		6,900		802
Navigant Consulting *		56,900		719
NN *		26,300		269
Northwest Pipe *		21,660		525
Orbital Sciences * (A)		24,300		314
Orion Marine Group * (A)		210,155		1,463
Polypore International * (A)		18,685		755
Quad (A)		20,800		299
Quanex Building Products (A)		75,680		1,353
Rand Logistics * (A)		27,066		230
Republic Airways Holdings * (A)		21,500		119
Robbins & Myers		19,645		821
Ryder System		38,510		1,387
Skywest		40,400		264
Spirit Aerosystems Holdings, Cl A *		42,600		1,015
Spirit Airlines *		65,100		1,267
Standex International		500		21
Steelcase, Cl A		25,200		228
Swift Transportation, Cl A *		41,000		387
Sykes Enterprises *		71,800		1,146
TAL International Group (A)		35,520		1,190
Teledyne Technologies *		24,618		1,518
Teleflex		21,697		1,322


Description	Shares		Market Value ($ Thousands)

Terex * (A)		24,040	$	429
Tetra Tech *		125,205		3,265
TMS International, Cl A *		89,800		895
Towers Watson, Cl A		26,741		1,602
Trimas *		21,079		424
Trinity Industries		7,000		175
Triumph Group (A)		10,366		583
TrueBlue *		28,400		440
Tutor Perini *		156,300		1,980
VSE		13,900		330
Wabash National * (A)		208,000		1,377
Watts Water Technologies, Cl A (A)		20,739		691
WESCO International * (A)		11,942		687
Woodward		21,400		844

				69,717


Information Technology — 11.9%
Adtran		49,208		1,486
Aeroflex Holding * (A)		18,600		112
Amkor Technology * (A)		57,800		282
Arris Group * (A)		33,800		470
Arrow Electronics *		29,800		978
Benchmark Electronics *		58,600		817
Black Box		12,300		353
Brightpoint *		55,900		302
CACI International, Cl A * (A)		43,704		2,405
Cadence Design Systems *		48,550		534
CIBER *		335,600		1,446
Coherent *		17,487		757
Computer Task Group *		45,000		674
Comtech Telecommunications (A)		21,652		619
Convergys (A)		41,414		612
CoreLogic *		26,000		476
CSG Systems International *		34,100		589
CTS		29,200		275
Diebold		58,898		2,174
Digi International *		119,400		1,223
Digital River *		69,118		1,149
Diodes * (A)		25,100		471
EarthLink		267,880		1,993
Emulex *		100,017		720
Entegris *		39,600		338
Exar *		94,000		767
Fairchild Semiconductor International *		26,900		379
GT Advanced Technologies * (A)		61,400		324
Imation * (A)		30,500		180
Integrated Device Technology *		138,751		780
Intermec *		114,843		712
Intersil, Cl A		119,500		1,273
Ixia *		36,800		442
j2 Global (A)		27,195		719
Lender Processing Services		13,300		336
Lexmark International, Cl A (A)		33,300		885
Logitech International * (A)		21,000		224
Mantech International, Cl A (A)		20,500		481
MicroStrategy, Cl A *		8,300		1,078
Monolithic Power Systems *		45,340		901
Multi-Fineline Electronix *		16,100		397
Nanometrics *		6,900		106
Parametric Technology * (A)		98,890		2,073


Description	Shares		Market Value ($ Thousands)

Photronics * (A)		86,000	$	524
Plantronics		14,400		481
Power-One * (A)		81,100		367
Progress Software *		82,715		1,726
Pulse Electronics (A)		36,300		71
QLogic *		60,400		827
RF Micro Devices *		145,459		618
Rosetta Stone * (A)		22,700		314
Rudolph Technologies * (A)		12,800		112
Saba Software *		109,100		1,012
Silicon Laboratories *		18,355		696
SYNNEX * (A)		10,600		366
Synopsys *		26,698		786
Tech Data *		38,900		1,874
TeleCommunication Systems, Cl A *		73,598		90
Tessco Technologies		12,000		265
TNS *		34,703		623
Ultra Clean Holdings *		73,411		472
Ultratech *		46,400		1,462
United Online (A)		88,200		372
Vishay Intertechnology * (A)		63,641		600
Websense * (A)		48,200		903
Xyratex		63,397		717
Zebra Technologies, Cl A *		27,649		950

				49,540


Materials — 6.0%
Allegheny Technologies		14,355		458
Alpha Natural Resources *		45,400		396
Boise (A)		58,800		387
Buckeye Technologies (A)		19,400		553
Compass Minerals International (A)		9,086		693
Cytec Industries		10,419		611
Ferro *		33,383		160
Glatfelter (A)		31,100		509
Globe Specialty Metals		26,200		352
Greif, Cl A		17,977		737
GSE Holding *		94,510		999
H.B. Fuller		61,800		1,897
Horsehead Holding *		38,100		379
Huntsman		40,023		518
Innophos Holdings		20,745		1,171
Innospec *		9,000		266
Minerals Technologies		24,925		1,590
Neenah Paper		33,700		899
NewMarket		2,500		542
OM Group *		43,314		823
Owens-Illinois *		34,282		657
Packaging Corp of America		26,570		751
PolyOne		100,730		1,378
RTI International Metals * (A)		85,095		1,926
Schnitzer Steel Industries, Cl A		33,000		924
Schweitzer-Mauduit International		25,500		1,738
Sensient Technologies		48,930		1,797
Silgan Holdings		20,715		884
Stepan		5,200		490
Worthington Industries (A)		29,400		602

				25,087


Telecommunication Services — 0.8%
Atlantic Telegraph-Network		15,500		523


Description	Shares		Market Value ($ Thousands)

Neutral Tandem *		146,231	$	1,927
tw telecom, Cl A *		20,480		526
USA Mobility		28,700		369

				3,345


Utilities — 3.7%
ALLETE (A)		19,000		794
Avista		18,100		483
Cadiz * (A)		58,000		418
Chesapeake Utilities		16,256		711
Cleco		52,084		2,179
Empire District Electric		28,700		606
Great Plains Energy		84,890		1,817
Idacorp		20,550		865
Northwest Natural Gas (A)		14,980		713
NorthWestern		19,900		730
Piedmont Natural Gas (A)		15,800		509
Portland General Electric		101,123		2,696
Southwest Gas		19,460		849
UIL Holdings (A)		21,200		760
Westar Energy		13,523		405
WGL Holdings		19,720		784

				15,319

Total Common Stock (Cost $400,715) ($ Thousands)				407,596


EXCHANGE TRADED FUND — 0.4%		18,082		1,440

iShares Russell 2000 Index Fund (A)
Total Exchange Traded Fund (Cost $1,248) ($ Thousands)				1,440


PREFERRED STOCK — 0.0%

Energy — 0.0%
GeoMet		5,024		19

Total Preferred Stock (Cost $44) ($ Thousands)				19

	Number of Warrants

WARRANTS — 0.0%
Magnum Hunter Resources Expires: 08/29/14 * (A)		12,327		—

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


AFFILIATED PARTNERSHIP — 18.3%
SEI Liquidity Fund, L.P.
0.150%**††(D)		80,122,935		76,244

Total Affiliated Partnership (Cost $80,123) ($ Thousands)				76,244


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


CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		11,133,149	$	11,133

Total Cash Equivalent (Cost $11,133) ($ Thousands)				11,133


U.S. TREASURY OBLIGATION (E) (F) — 0.1%
U.S. Treasury Bills
0.050%, 09/20/12	$	479		479

Total U.S. Treasury Obligation (Cost $479) ($ Thousands)				479

Total Investments — 119.4% (Cost $493,742) ($ Thousands)‡‡			$	496,911

The open futures contracts held by the Fund at June 30, 2012, are as follows:

Type of Contract

Number of

Contracts
Long (Short)

Expiration

Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

Sep-2012

234

Percentages are based on Net Assets of $416,137($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

‡

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

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $80,051 ($ Thousands).

(B)

Securities considered illiquid and restricted. The total market value of such securities as of June 30, 2012 was $336 ($ Thousands) and represented 0.01% of Net Assets.

(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 June 30, 2012 was $336 ($ Thousands) and represented 0.01% of Net Assets.

(D)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $76 ,244 ($ 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 contracts.

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

Amounts designated as “—” are $0 or have been rounded to $0.

‡‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $493,742 ($ Thousands), and the unrealized appreciation and depreciation were $52,299 ($ Thousands) and ($49,130) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.5%

Consumer Discretionary — 16.7%
Aaron’s		1,400	$	40
Aeropostale *		7,400		132
American Public Education * (A)		26,024		833
Ameristar Casinos		1,600		28
ANN *		28,500		726
Arctic Cat *		11,400		417
Ascena Retail Group *		22,800		425
Bally Technologies * (A)		16,300		761
Big Lots *		4,400		179
BJ’s Restaurants * (A)		22,463		854
Bravo Brio Restaurant Group *		30,275		540
Bridgepoint Education * (A)		8,500		185
Brinker International (A)		22,637		721
Brunswick		26,800		595
Cabela’s *		13,990		529
Capella Education *		1,051		37
Cato, Cl A		6,406		195
Cheesecake Factory * (A)		5,200		166
Childrens Place Retail Stores *		8,100		404
Cooper Tire & Rubber		18,800		330
CROCS *		40,400		652
Dana Holding (A)		24,200		310
Denny’s *		60,200		267
Dick’s Sporting Goods		14,375		690
Domino’s Pizza		18,700		578
Dorman Products *		2,200		55
DSW, Cl A		2,400		131
Ethan Allen Interiors (A)		13,700		273
Express *		20,900		380
Fifth & Pacific *		52,700		565
Francesca’s Holdings * (A)		63,105		1,704
Grand Canyon Education *		38,515		807
Hibbett Sports * (A)		19,658		1,134
HomeAway * (A)		22,100		480
HSN		6,645		268
Interval Leisure Group		2,100		40
ITT Educational Services * (A)		4,500		273
Jack in the Box *		1,707		48
Kirkland’s *		3,400		38
Life Time Fitness * (A)		37,928		1,764
Live Nation *		96,936		890
LKQ *		15,079		504
Lumber Liquidators Holdings * (A)		29,300		990
Monro Muffler (A)		1,150		38
Morgans Hotel Group *		86,700		407
National CineMedia		192,366		2,918
Orient-Express Hotels, Cl A *		55,969		468
Oxford Industries (A)		10,300		460
Pandora Media * (A)		68,225		742
Panera Bread, Cl A *		4,883		681
Papa John’s International *		9,200		438
Peet’s Coffee & Tea * (A)		4,300		258
PetMed Express		15,700		191
Pier 1 Imports (A)		26,561		436
Pinnacle Entertainment *		37,610		362
Pool		11,500		465
Quiksilver *		398,077		928
ReachLocal *		48,500		533


Description	Shares		Market Value ($ Thousands)

Red Robin Gourmet Burgers *		5,624	$	172
rue21 * (A)		28,000		707
Saks * (A)		108,820		1,159
Scientific Games, Cl A *		75,803		648
Select Comfort * (A)		58,574		1,225
Shuffle Master *		33,915		468
Shutterfly * (A)		14,435		443
Six Flags Entertainment		6,700		363
Skullcandy * (A)		135,883		1,923
SodaStream International * (A)		27,593		1,131
Sotheby’s		18,900		630
Steven Madden *		5,790		184
Strayer Education (A)		800		87
Sturm Ruger (A)		18,320		736
Teavana Holdings * (A)		42,785		579
Tenneco *		15,495		416
Tesla Motors * (A)		23,271		728
Tilly’s, Cl A *		9,600		154
Titan International (A)		25,000		613
True Religion Apparel		66,778		1,935
Tumi Holdings * (A)		14,260		250
Ulta Salon Cosmetics & Fragrance		13,705		1,280
Universal Technical Institute		3,300		45
Vail Resorts		1,462		73
Valassis Communications * (A)		6,600		144
Vera Bradley * (A)		30,100		635
Vitamin Shoppe *		11,990		659
WABCO Holdings *		13,670		724
Warnaco Group *		5,800		247
Winnebago Industries *		5,300		54
Wolverine World Wide		14,680		569
Zumiez * (A)		72,450		2,869

				52,113


Consumer Staples — 2.1%
B&G Foods, Cl A (A)		12,700		338
Casey’s General Stores (A)		7,806		461
Chefs’ Warehouse Holdings * (A)		21,823		394
Coca-Cola Bottling Consolidated		3,200		206
Darling International *		21,900		361
Fresh Market *		12,438		667
J&J Snack Foods		7,600		449
Lancaster Colony (A)		13,003		926
Medifast *		37,642		741
Nu Skin Enterprises, Cl A (A)		22,200		1,041
Rite Aid *		304,300		426
Smart Balance *		14,075		132
Snyders-Lance		2,332		59
United Natural Foods *		1,351		74
USANA Health Sciences * (A)		2,800		115
WD-40		900		45

				6,435


Energy — 7.1%
ATP Oil & Gas * (A)		36,000		122
Berry Petroleum, Cl A		4,723		187
BPZ Resources * (A)		62,900		159
Callon Petroleum *		31,200		133
Carrizo Oil & Gas * (A)		31,381		738
Cheniere Energy *		25,000		368
Clayton Williams Energy * (A)		2,000		97


Description	Shares		Market Value ($ Thousands)

Comstock Resources * (A)		73,637	$	1,209
Contango Oil & Gas *		5,000		296
Crosstex Energy (A)		3,200		45
CVR Energy *		11,100		295
Dawson Geophysical *		5,500		131
Dresser-Rand Group *		31,272		1,393
Dril-Quip *		23,000		1,508
Energy XXI Bermuda (A)		13,726		430
Forum Energy Technologies * (A)		35,634		702
Goodrich Petroleum * (A)		67,908		941
Gulfmark Offshore, Cl A *		8,900		303
Key Energy Services *		2,870		22
KiOR, Cl A * (A)		3,522		32
Laredo Petroleum Holdings * (A)		32,430		675
Magnum Hunter Resources * (A)		112,100		469
Matador Resources *		37,450		402
Matrix Service *		17,100		194
Oasis Petroleum * (A)		60,112		1,453
Oceaneering International		12,370		592
Oil States International *		8,363		554
Patriot Coal * (A)		69,900		85
PDC Energy * (A)		29,180		715
Petroquest Energy * (A)		15,600		78
Pioneer Drilling *		8,536		68
Quicksilver Resources * (A)		126,421		685
Rosetta Resources * (A)		16,506		605
Scorpio Tankers * (A)		67,678		432
SM Energy		6,840		336
Stone Energy * (A)		24,500		621
Superior Energy Services *		42,599		862
Targa Resources		24,605		1,051
Tesco * (A)		52,344		628
TETRA Technologies *		5,400		38
Vaalco Energy * (A)		70,260		606
W&T Offshore (A)		21,700		332
Western Refining (A)		12,400		276
Willbros Group *		14,700		95
World Fuel Services (A)		29,492		1,122

				22,085


Financials — 7.9%
Affiliated Managers Group *		13,210		1,446
Alexander’s † (A)		600		259
American Assets Trust †		3,000		73
American Campus Communities (A)		5,600		252
Amtrust Financial Services (A)		14,300		425
BRE Properties, Cl A		8,000		400
CapitalSource		116,661		784
Cardtronics *		26,540		802
Cash America International		1,340		59
Cohen & Steers (A)		15,800		545
DFC Global * (A)		5,374		99
Douglas Emmett † (A)		33,300		769
EastGroup Properties		905		48
Eaton Vance (A)		30,701		827
Encore Capital Group *		24,655		730
Equity Lifestyle Properties †		3,838		265
Extra Space Storage		8,700		266
Ezcorp, Cl A *		4,800		113


Description	Shares		Market Value ($ Thousands)

Financial Engines * (A)		79,708	$	1,710
First Cash Financial Services *		1,028		41
First Financial Bankshares (A)		3,200		111
Glimcher Realty Trust †		22,200		227
Home Properties †		13,600		835
IBERIABANK		11,260		568
Investors Real Estate Trust † (A)		14,800		117
Jones Lang LaSalle		15,867		1,116
Kilroy Realty (A)		9,100		441
LPL Financial Holdings *		36,588		1,236
MarketAxess Holdings		26,426		704
Mid-America Apartment Communities		7,626		520
MSCI, Cl A *		35,550		1,210
Netspend Holdings *		9,080		83
Omega Healthcare Investors † (A)		15,300		344
PennantPark Investment		76,871		796
Potlatch †		6,523		208
Signature Bank NY *		30,390		1,853
Stifel Financial *		31,140		962
SVB Financial Group * (A)		9,389		551
Tanger Factory Outlet Centers †		17,015		545
Titanium Asset Management PIPE *(B)(C)		140,900		107
Value Creation *(B)(C)		145,600		75
WisdomTree Investments *		206,910		1,359
World Acceptance * (A)		5,100		336
Zillow, Cl A * (A)		10,400		402

				24,619


Health Care — 18.5%
Abaxis *		1,600		59
ABIOMED * (A)		42,060		960
Acadia Healthcare * (A)		55,417		972
Achillion Pharmaceuticals * (A)		91,289		566
Acorda Therapeutics *		22,000		518
Aegerion Pharmaceuticals *		27,600		410
Akorn * (A)		65,088		1,027
Align Technology * (A)		14,017		469
Alkermes * (A)		6,000		102
AMAG Pharmaceuticals *		2,800		43
Amarin * (A)		51,454		744
AMERIGROUP *		10,970		723
Amylin Pharmaceuticals *		2,920		82
Analogic		1,600		99
Ariad Pharmaceuticals * (A)		94,318		1,623
Arqule *		44,130		262
ArthroCare *		13,100		384
Athenahealth * (A)		20,173		1,597
Auxilium Pharmaceuticals *		9,700		261
AVANIR Pharmaceuticals, Cl A * (A)		12,400		49
AVEO Pharmaceuticals * (A)		16,500		201
BioMarin Pharmaceuticals * (A)		19,084		755
Bio-Reference Labs * (A)		5,300		139
Bruker BioSciences *		45,100		600
Centene *		4,000		121
Cepheid * (A)		16,235		727
Chemed (A)		6,792		411
Computer Programs & Systems		7,800		446
Conceptus * (A)		6,800		135


Description	Shares		Market Value ($ Thousands)

Cubist Pharmaceuticals * (A)		30,788	$	1,167
Cyberonics *		1,545		69
DexCom *		4,653		60
DynaVox, Cl A *		57,547		64
Emergent Biosolutions *		44,611		676
Emeritus * (A)		45,100		759
Ensign Group		6,800		192
Fluidigm * (A)		33,304		501
Haemonetics *		14,398		1,067
Halozyme Therapeutics * (A)		61,500		545
Hansen Medical * (A)		68,100		155
Health Net *		23,000		558
HealthSouth *		3,424		80
HeartWare International * (A)		12,664		1,125
Hill-Rom Holdings		9,100		281
Hi-Tech Pharmacal *		10,800		350
HMS Holdings * (A)		22,809		760
ICU Medical *		3,172		169
Immunogen * (A)		18,000		302
Impax Laboratories *		16,060		325
Imris *		108,557		326
Incyte * (A)		43,298		983
Insulet * (A)		64,850		1,386
IPC The Hospitalist * (A)		5,505		249
Ironwood Pharmaceuticals, Cl A * (A)		24,710		341
Keryx Biopharmaceuticals * (A)		11,456		21
Luminex *		1,600		39
MAKO Surgical * (A)		8,400		215
MAP Pharmaceuticals *		21,366		320
Masimo *		65,684		1,470
Medicines *		21,700		498
Medicis Pharmaceutical, Cl A		8,900		304
Medivation * (A)		3,874		354
MEDNAX *		9,356		641
MELA Sciences * (A)		59,900		195
Momenta Pharmaceuticals * (A)		33,000		446
MWI Veterinary Supply *		3,100		319
Myriad Genetics *		58,479		1,390
Navidea Biopharmaceuticals * (A)		64,500		240
Nektar Therapeutics * (A)		54,200		437
Neurocrine Biosciences *		38,700		306
Novadaq Technologies *		48,700		325
NPS Pharmaceuticals *		7,527		65
NuVasive *		2,629		67
NxStage Medical * (A)		32,020		537
Omnicare (A)		29,055		907
Omnicell *		39,551		579
Onyx Pharmaceuticals *		13,830		919
Optimer Pharmaceuticals * (A)		20,000		310
OraSure Technologies *		37,296		419
Orthofix International *		1,000		41
Pain Therapeutics * (A)		8,400		39
Parexel International *		14,411		407
PDL BioPharma (A)		79,100		524
Pharmacyclics * (A)		31,340		1,711
PSS World Medical * (A)		41,287		867
Questcor Pharmaceuticals * (A)		56,482		3,007
Quidel * (A)		61,563		965
Sagent Pharmaceuticals * (A)		27,500		497
Salix Pharmaceuticals *		14,775		804


Description	Shares		Market Value ($ Thousands)

Sangamo Biosciences * (A)		7,439	$	41
Seattle Genetics * (A)		37,444		951
Sirona Dental Systems *		16,237		731
Spectranetics *		4,222		48
Spectrum Pharmaceuticals * (A)		40,795		635
Sunrise Senior Living * (A)		46,100		336
SXC Health Solutions * (A)		8,010		795
Synageva BioPharma * (A)		2,784		113
Syneron Medical *		71,809		745
Synta Pharmaceuticals * (A)		48,000		263
Targacept * (A)		6,800		29
Techne		15,265		1,133
TESARO *		11,160		156
Theravance * (A)		10,300		229
Thoratec *		10,300		346
Threshold Pharmaceuticals * (A)		51,650		382
Tornier BV * (A)		33,063		741
Trius Therapeutics *		7,147		41
Unilife * (A)		191,500		647
Vical *		2,500		9
ViroPharma * (A)		12,000		284
Vivus * (A)		11,600		331
Volcano *		24,673		707
WellCare Health Plans *		17,433		924

				57,777


Industrials — 17.5%
Acacia Research *		21,289		793
Actuant, Cl A		24,823		674
Acuity Brands (A)		32,499		1,655
Advisory Board *		13,588		674
Alaska Air Group *		600		21
Albany International, Cl A		2,900		54
Allegiant Travel, Cl A * (A)		1,000		70
American Science & Engineering		600		34
Ametek		4,140		207
Applied Industrial Technologies		18,300		674
Armstrong World Industries		18,765		923
AZZ		900		55
BE Aerospace *		1,717		75
Beacon Roofing Supply * (A)		5,300		134
Belden		10,300		343
Brink’s		6,500		151
Carlisle		24,670		1,308
Cascade		2,300		108
Celadon Group		29,943		491
Ceradyne		14,000		359
Chart Industries *		9,619		661
Clarcor		4,604		222
Clean Harbors * (A)		13,500		762
Consolidated Graphics *		4,400		128
Copa Holdings, Cl A		3,039		251
Corporate Executive Board		2,400		98
Cubic		9,540		459
Dollar Thrifty Automotive Group * (A)		11,400		923
Dycom Industries *		38,398		715
Dynamic Materials		23,535		408
EnerSys *		7,300		256
Exponent *		7,600		401
Federal Signal * (A)		7,300		43


Description	Shares		Market Value ($ Thousands)

Forward Air		7,200	$	232
FuelCell Energy * (A)		49,700		50
Gardner Denver		28,709		1,519
GenCorp *		7,100		46
General Cable *		4,500		117
Genesee & Wyoming, Cl A * (A)		15,394		813
GeoEye *		1,800		28
Graco		10,500		484
GrafTech International *		107,085		1,033
Greenbrier *		25,305		445
Heico, Cl A		42,427		1,369
HEICO		18,668		738
Heidrick & Struggles International		4,200		73
Hexcel *		32,405		836
Huron Consulting Group *		2,700		85
IDEX		16,810		655
Insperity		7,200		195
Interface, Cl A		46,390		632
Keyw Holding * (A)		37,030		372
Kforce *		3,800		51
Kirby *		13,310		627
Knoll		2,500		34
Landstar System		19,114		989
Lincoln Electric Holdings		13,200		578
Lindsay		1,000		65
Manitowoc (A)		24,970		292
Marten Transport		36,890		784
Middleby *		16,700		1,663
Mistras Group *		24,610		646
Mobile Mini * (A)		35,019		504
MSC Industrial Direct, Cl A		9,100		596
MYR Group *		7,700		131
Navigant Consulting *		5,133		65
Old Dominion Freight Line * (A)		23,600		1,022
Pacer International *		17,000		92
Polypore International * (A)		55,650		2,248
Raven Industries		6,172		429
RBC Bearings *		17,344		820
Resources Connection		61,476		756
Rexnord * (A)		30,000		601
Robbins & Myers		12,973		543
Rollins		22,600		506
RPX *		36,070		518
Rush Enterprises, Cl A *		52,086		851
Sauer-Danfoss		17,100		597
Simpson Manufacturing		40,560		1,197
Standard Parking *		53,513		1,152
Steelcase, Cl A (A)		31,900		288
Sun Hydraulics		20,700		503
Swift Transportation, Cl A *		25,715		243
Sykes Enterprises *		2,400		38
Teledyne Technologies *		2,200		135
Tennant (A)		753		30
Thermon Group Holdings * (A)		18,700		387
Titan Machinery * (A)		12,890		391
TransDigm Group *		7,195		966
Trex * (A)		25,800		776
TrueBlue *		61,165		947
United Rentals * (A)		34,777		1,184
US Ecology		4,255		75
USG * (A)		5,200		99


Description	Shares		Market Value ($ Thousands)

UTI Worldwide		3,991	$	58
Valmont Industries		9,015		1,091
Vitran *		35,801		215
Wabash National * (A)		106,388		704
Wabtec		25,404		1,982
Watsco		11,500		849
Werner Enterprises (A)		5,500		131
WESCO International * (A)		19,873		1,144

				54,445


Information Technology — 24.7%
Acme Packet * (A)		38,835		724
Advent Software * (A)		34,912		946
Amtech Systems * (A)		19,300		73
Ancestry.com * (A)		8,500		234
Aruba Networks * (A)		78,305		1,178
Aspen Technology *		81,753		1,893
Atmel *		100,379		673
Audience *		25,722		496
AXT *		10,700		42
Bazaarvoice * (A)		36,862		671
Brightpoint *		4,900		26
BroadSoft * (A)		45,594		1,320
Cadence Design Systems * (A)		78,550		863
Calix * (A)		17,100		141
Cavium * (A)		50,150		1,404
Ceva *		52,471		924
Ciena * (A)		30,110		493
CommVault Systems *		23,214		1,151
Concur Technologies * (A)		13,100		892
Constant Contact * (A)		35,505		635
Cornerstone OnDemand * (A)		72,777		1,733
CoStar Group * (A)		27,180		2,207
CSG Systems International *		2,300		40
Cymer * (A)		13,300		784
DealerTrack Holdings *		60,310		1,816
Demandware * (A)		11,500		272
Dice Holdings * (A)		40,514		380
Diodes * (A)		2,308		43
DTS * (A)		34,035		888
Ebix (A)		8,800		176
Entegris *		124,160		1,060
Entropic Communications * (A)		33,400		188
Envestnet *		113,693		1,364
Euronet Worldwide *		41,950		718
ExactTarget * (A)		19,317		422
ExlService Holdings *		2,968		73
Fair Isaac		5,300		224
Fairchild Semiconductor International *		37,983		536
FARO Technologies *		400		17
FEI (A)		14,291		684
Forrester Research		5,404		183
Fortinet *		51,980		1,207
Fusion-io * (A)		26,060		544
Gartner *		44,873		1,932
Glu Mobile * (A)		96,100		533
GT Advanced Technologies * (A)		58,400		308
Harmonic *		22,800		97
Heartland Payment Systems		20,300		611
Hittite Microwave * (A)		12,642		646
Imperva * (A)		13,000		375


Description	Shares		Market Value ($ Thousands)

Infoblox * (A)		29,169	$	669
Informatica *		2,350		100
Inphi * (A)		119,565		1,134
Interactive Intelligence Group * (A)		2,089		59
Internap Network Services *		11,483		75
International Rectifier *		49,233		984
IPG Photonics * (A)		17,690		771
Jack Henry & Associates		48,953		1,690
Kemet *		33,900		204
Kenexa *		13,787		400
Lattice Semiconductor *		38,900		147
Lender Processing Services		38,010		961
Limelight Networks * (A)		45,700		134
Liquidity Services *		1,600		82
Littelfuse		1,700		97
LivePerson *		17,900		341
LTX-Credence *		39,366		264
Manhattan Associates *		19,900		910
MAXIMUS		22,500		1,164
Measurement Specialties *		45,999		1,495
Mellanox Technologies *		25,264		1,790
Micrel		14,900		142
Micros Systems *		13,808		707
MicroStrategy, Cl A *		1,191		155
Mindspeed Technologies * (A)		12,230		30
Mitek Systems * (A)		44,946		175
Monolithic Power Systems *		7,700		153
Monotype Imaging Holdings *		3,500		59
Move *		5,800		53
MTS Systems		4,800		185
NETGEAR *		18,590		641
Netscout Systems *		10,800		233
NetSuite * (A)		13,000		712
NIC (A)		58,000		737
OCZ Technology Group * (A)		8,969		48
ON Semiconductor *		91,350		649
OpenTable * (A)		11,300		509
Oplink Communications *		2,800		38
Opnet Technologies (A)		8,077		215
OSI Systems *		1,946		123
Parametric Technology *		24,351		510
Plantronics		8,500		284
Plexus *		4,000		113
PMC - Sierra *		5,700		35
PROS Holdings *		52,859		889
QLIK Technologies *		42,453		939
QLogic *		3,700		51
Quantum *		55,928		114
Rackspace Hosting *		9,800		431
RealPage * (A)		79,806		1,848
Rogers *		1,228		49
Rosetta Stone *		18,899		262
Sapient		13,400		135
Semtech *		28,430		691
servicenow *		3,448		85
ServiceSource International * (A)		128,458		1,779
ShoreTel *		17,300		76
Silicon Graphics International * (A)		3,000		19
Silicon Laboratories *		1,700		64
SolarWinds *		35,539		1,548


Description	Shares		Market Value ($ Thousands)

Solera Holdings		26,695	$	1,116
Sonus Networks *		65,116		140
Sourcefire * (A)		14,306		735
Splunk * (A)		9,200		258
SS&C Technologies Holdings *		61,539		1,538
STEC * (A)		13,100		102
Sycamore Networks *		55,183		801
Synaptics * (A)		22,400		641
Synchronoss Technologies * (A)		12,350		228
Take-Two Interactive Software *		66,600		630
TeleNav *		24,300		149
TeleTech Holdings *		7,747		124
Teradyne *		40,060		563
TIBCO Software * (A)		38,770		1,160
Travelzoo * (A)		3,400		77
TriQuint Semiconductor *		8,594		47
Tyler Technologies *		45,578		1,839
Ultratech *		5,700		180
Unisys *		14,800		289
Veeco Instruments * (A)		15,920		547
VistaPrint * (A)		56,420		1,823
Wright Express *		1,371		85

				76,869


Materials — 2.4%
AK Steel Holding (A)		13,700		80
American Vanguard		15,425		410
Buckeye Technologies		9,600		273
Flotek Industries * (A)		16,600		155
Globe Specialty Metals		44,148		593
Golden Star Resources * (A)		58,500		68
Haynes International		18,126		923
Hecla Mining (A)		37,700		179
Horsehead Holding *		59,995		598
Innophos Holdings		14,900		841
Innospec *		20,200		598
Kaiser Aluminum		1,312		68
Kraton Performance Polymers *		1,991		44
LSB Industries *		12,000		371
Materion		1,800		42
Neenah Paper		1,500		40
NewMarket		3,928		851
Noranda Aluminum Holding		43,700		348
PolyOne		49,480		677
Schulman A		7,700		153
TPC Group *		8,100		299

				7,611


Telecommunication Services — 0.6%
AboveNet *		3,000		252
Boingo Wireless *		81,200		944
Cogent Communications Group *		17,065		328
IDT, Cl B		20,200		198

				1,722


Utilities — 0.0%
Genie Energy, Cl B		10,800		84

Total Common Stock (Cost $301,198) ($ Thousands)				303,760


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

EXCHANGE TRADED FUND — 0.0% iShares Russell 2000 Growth Index Fund		1,448	$	132

Total Exchange Traded Fund (Cost $137) ($ Thousands)				132

	Number of Warrants

WARRANTS — 0.0%
Magnum Hunter Resources Expires: 08/29/14 * (A)		11,920		—

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


AFFILIATED PARTNERSHIP — 32.2%
SEI Liquidity Fund, L.P. 0.150%**†† (D)		103,664,100		100,478

Total Affiliated Partnership (Cost $103,664) ($ Thousands)				100,478


CASH EQUIVALENT — 3.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**††		11,659,170		11,659

Total Cash Equivalent (Cost $11,659) ($ Thousands)				11,659


U.S. TREASURY OBLIGATION (E) (F) — 0.3%
U.S. Treasury Bills 0.063%, 09/20/12	$	831		831

Total U.S. Treasury Obligation (Cost $831) ($ Thousands)				831


Total Investments — 133.7% (Cost $417,489) ($ Thousands)‡			$	416,860

The open futures contracts held by the Fund at June 30, 2012, are as follows:

Type of Contract

Number of
Contracts
Long (Short)

Expiration
Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

Sep-2012

152

Percentages are based on Net Assets of $311,696 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $104,416 ($ Thousands).

(B)

Securities considered illiquid and restricted. The total market value of such securities as of June 30, 2012 was $182 ($ Thousands) and represented 0.06% of Net Assets.

(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 June 30, 2012 was $182 ($ Thousands) and represented 0.06% of Net Assets.

(D)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $100,478 ($ 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 contracts.

— Class

L.P.

— Limited Partnership

PIPE

— Private Investment in Public Entity

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $417,489 ($ Thousands), and the unrealized appreciation and depreciation were $38,427 ($ Thousands) and ($39,056)($ Thousands) respectively.

Amounts designated as “—” are $0 or have been rounded to $0.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.6%

Consumer Discretionary — 15.1%
Aaron’s		2,100	$	59
Abercrombie & Fitch, Cl A		2,943		101
Aeropostale *		2,250		40
AFC Enterprises *		33,082		765
AMC Networks, Cl A *		326		12
American Axle & Manufacturing Holdings *		3,600		38
American Eagle Outfitters		58,198		1,148
American Greetings, Cl A (A)		18,000		263
American Public Education *		2,726		87
America’s Car-Mart *		1,300		51
Amerigon *		3,300		38
Ameristar Casinos		1,300		23
ANN *		14,520		370
Apollo Group, Cl A *		1,600		58
Arbitron		800		28
Asbury Automotive Group *		2,900		69
Ascena Retail Group *		3,400		63
Ascent Media, Cl A *		1,500		78
Autoliv		7,000		383
Autonation * (A)		1,905		67
Bally Technologies *		3,100		145
Barnes & Noble * (A)		2,584		43
Belo, Cl A		61,567		397
Big Lots *		14,500		592
Biglari Holdings *		90		35
BJ’s Restaurants *		9,290		353
Bob Evans Farms		1,700		68
Body Central *		2,110		19
Boyd Gaming *		3,600		26
Brinker International		5,800		185
Brown Shoe		2,700		35
Brunswick		8,200		182
Buffalo Wild Wings *		12,101		1,048
Cabela’s *		12,580		476
Cable Satisfaction *		2,700		—
Cablevision Systems, Cl A		5,644		75
Callaway Golf		29,978		177
Capella Education *		700		24
Carter’s *		2,200		116
Cato, Cl A		9,700		295
Central European Media Enterprises, Cl A *		700		4
Cheesecake Factory * (A)		18,130		579
Chico’s FAS		31,055		461
Childrens Place Retail Stores *		16,040		799
Cinemark Holdings		1,125		26
Coinstar * (A)		1,200		82
Columbia Sportswear		3,656		196
Cooper Tire & Rubber		42,456		745
Core-Mark Holding		6,191		298
Cracker Barrel Old Country Store		600		38
CROCS *		900		14
Dana Holding		18,380		235
Deckers Outdoor * (A)		2,570		113
DeVry		1,000		31
Dick’s Sporting Goods		26,620		1,278
Digital Generation *		800		10
Dillard’s, Cl A		2,985		190


Description	Shares		Market Value ($ Thousands)

DineEquity *		800	$	36
Domino’s Pizza		2,231		69
DR Horton		24,766		455
DreamWorks Animation SKG, Cl A *		600		11
DSW, Cl A		19,155		1,042
Dunkin’ Brands Group		1,393		48
Ethan Allen Interiors		9,964		199
Exide Technologies *		2,925		10
Express *		28,680		521
Foot Locker		3,237		99
Fossil *		1,503		115
Francesca’s Holdings *		20,474		553
GameStop, Cl A (A)		12,600		231
Gannett		18,400		271
Gentex		2,600		54
GNC Holdings, Cl A		15,749		617
Goodyear Tire & Rubber *		6,100		72
Grand Canyon Education *		29,390		615
Group 1 Automotive		1,724		79
Guess?		1,400		43
H&R Block		14,400		230
Hanesbrands *		35,577		986
Harley-Davidson		6,225		285
Harman International Industries		1,600		63
Harte-Hanks		1,800		16
Hasbro		12,004		407
Helen of Troy *		2,400		81
hhgregg * (A)		12,039		136
Hibbett Sports *		20,169		1,164
Hillenbrand		2,500		46
HomeAway * (A)		12,550		273
Hot Topic		4,814		47
Iconix Brand Group *		1,300		23
Ignite Restaurant Group *		700		13
Insight Enterprises *		9,500		160
International Speedway, Cl A		900		24
Interpublic Group		37,697		409
iRobot *		1,700		38
Isle of Capri Casinos *		3,300		20
ITT Educational Services * (A)		700		43
JAKKS Pacific		12,500		200
Jarden		2,100		88
John Wiley & Sons, Cl A		900		44
Jones Group		21,722		208
JOS A Bank Clothiers *		1,000		42
Journal Communications, Cl A *		39,400		203
K12 *		1,000		23
KB Home (A)		8,833		87
Lamar Advertising, Cl A *		24,300		695
LeapFrog Enterprises *		21,060		216
Lear		4,742		179
Leggett & Platt		2,000		42
Lennar, Cl A		2,600		80
Life Time Fitness *		16,395		762
Lincoln Educational Services		8,900		58
Lions Gate Entertainment * (A)		10,321		152
Lithia Motors, Cl A		1,589		37
Live Nation *		5,200		48
LKQ *		14,605		488
Lumber Liquidators Holdings * (A)		5,851		198


Description	Shares		Market Value ($ Thousands)

Madison Square Garden, Cl A *		1,900	$	71
Matthews International, Cl A		22,371		727
Mattress Firm Holding * (A)		5,400		164
MDC Holdings		2,000		65
Men’s Wearhouse		21,578		607
Meredith (A)		16,230		518
Meritage Homes *		9,660		328
Modine Manufacturing *		2,100		14
Mohawk Industries *		1,400		98
Monro Muffler		1,600		53
Morgans Hotel Group *		3,749		18
Morningstar		300		17
National CineMedia		35,003		531
National Presto Industries		100		7
NetFlix *		1,233		85
New York Times, Cl A *		14,227		111
Newell Rubbermaid		24,109		437
NVR *		100		85
Office Depot *		11,200		24
OfficeMax *		6,223		32
O’Reilly Automotive *		5,962		499
Orient-Express Hotels, Cl A *		48,116		403
Oxford Industries		1,400		62
Pandora Media * (A)		31,770		345
Panera Bread, Cl A *		4,425		617
Peet’s Coffee & Tea *		1,000		60
Penn National Gaming *		14,108		629
Penske Auto Group		1,800		38
Pep Boys-Manny Moe & Jack		22,040		218
PF Chang’s China Bistro		400		21
Pier 1 Imports		54,848		901
Pinnacle Entertainment *		40,505		390
Polaris Industries		1,500		107
Pool		2,100		85
PulteGroup *		61,029		653
PVH		1,244		97
RadioShack (A)		17,600		68
Red Robin Gourmet Burgers *		1,980		60
Regal Entertainment Group, Cl A		1,592		22
Regis		45,323		814
Rent-A-Center		10,060		339
Royal Caribbean Cruises		11,389		296
Ruby Tuesday *		24,600		167
rue21 *		12,035		304
Ryland Group		2,100		54
Saks *		3,587		38
Sally Beauty Holdings *		23,749		611
Sauer-Danfoss		7,930		277
Scholastic		4,931		139
School Specialty *		11,614		38
Scientific Games, Cl A *		17,332		148
Scripps Networks Interactive, Cl A		5,274		300
Select Comfort *		24,730		517
Service International		6,700		83
Shutterfly *		20,930		642
Signet Jewelers		3,000		132
Sinclair Broadcast Group, Cl A		18,100		164
Skechers U.S.A., Cl A *		6,512		133
Skullcandy * (A)		23,530		333
Snap-on		800		50
Sotheby’s		1,400		47


Description	Shares		Market Value ($ Thousands)

Stage Stores		17,500	$	321
Standard-Pacific * (A)		4,600		29
Steven Madden *		12,775		405
Stewart Enterprises, Cl A		2,900		21
Stoneridge *		1,763		12
Strayer Education (A)		3,699		403
Talbots *		7,246		18
Tempur-Pedic International *		1,600		37
Tenneco *		13,334		358
Tesla Motors *		1,075		34
Thor Industries		700		19
Titan International		849		21
Toll Brothers *		2,600		77
TripAdvisor *		11,620		519
True Religion Apparel		2,200		64
TRW Automotive Holdings *		3,951		145
Tupperware Brands		1,200		66
Ulta Salon Cosmetics & Fragrance		5,845		546
Under Armour, Cl A *		600		57
Universal Technical Institute		492		7
Urban Outfitters *		20,155		556
Vail Resorts		1,000		50
Valassis Communications *		1,800		39
Visteon *		586		22
Vitamin Shoppe *		9,150		503
WABCO Holdings *		1,500		79
Warnaco Group *		700		30
Weight Watchers International (A)		700		36
Whirlpool		5,900		361
Williams-Sonoma		1,200		42
Winnebago Industries *		1,852		19
WMS Industries * (A)		46,445		927
Wolverine World Wide		700		27
World Wrestling Entertainment, Cl A		900		7
Zumiez *		13,770		545

				47,880


Consumer Staples — 3.5%
B&G Foods, Cl A		16,950		451
Boston Beer, Cl A * (A)		800		97
Cal-Maine Foods		1,100		43
Casey’s General Stores		18,595		1,097
Central European Distribution *		5,859		16
Central Garden and Pet *		10,938		113
Central Garden and Pet, Cl A *		19,092		208
Chefs’ Warehouse Holdings *		16,655		301
Chiquita Brands International *		5,191		26
Coca-Cola Enterprises		10,057		282
Constellation Brands, Cl A *		14,294		387
Darling International *		2,400		40
Dean Foods *		5,300		90
Diamond Foods (A)		1,500		27
Dole Food * (A)		22,605		198
Elizabeth Arden *		13,340		518
Energizer Holdings *		6,249		470
Flowers Foods		15,618		363
Fresh Del Monte Produce		10,000		235
Fresh Market *		1,223		66
Green Mountain Coffee Roasters *		3,600		78


Description	Shares		Market Value ($ Thousands)

Hain Celestial Group *		1,700	$	94
Herbalife		4,924		238
Ingredion		10,329		512
J&J Snack Foods		7,915		468
JM Smucker		3,812		288
Kroger		17,573		407
Lancaster Colony		1,200		85
Medifast *		931		18
Molson Coors Brewing, Cl B		10,141		422
Nash Finch		1,000		21
Nu Skin Enterprises, Cl A		900		42
Omega Protein *		23,400		172
Pantry *		16,126		237
Post Holdings *		500		15
Prestige Brands Holdings *		14,126		223
Ralcorp Holdings *		1,000		67
Safeway (A)		24,500		445
Sanderson Farms		5,298		243
Schiff Nutrition International *		2,200		40
Smithfield Foods *		16,327		353
Snyders-Lance		800		20
Spartan Stores		25,479		462
Spectrum Brands Holdings *		1,100		36
SUPERVALU (A)		22,038		114
SYSCO		12,889		384
TreeHouse Foods *		1,800		112
Universal		5,400		250
USANA Health Sciences *		400		17
Vector Group		3,197		55
WD-40		400		20
Weis Markets		5,100		227

				11,193


Energy — 5.1%
Amyris * (A)		6,628		29
Arch Coal		2,167		15
ATP Oil & Gas * (A)		1,700		6
Atwood Oceanics *		15,580		590
Berry Petroleum, Cl A		14,769		586
Bill Barrett *		1,000		21
BPZ Resources *		7,534		19
Bristow Group		700		28
Cal Dive International *		6,748		20
CARBO Ceramics (A)		400		31
Carrizo Oil & Gas *		1,700		40
Cheniere Energy *		3,606		53
Clean Energy Fuels * (A)		2,390		37
Contango Oil & Gas *		500		30
Dawson Geophysical *		793		19
Dresser-Rand Group *		1,809		81
Dril-Quip *		10,323		677
Energen		2,800		126
Energy XXI Bermuda		2,550		80
EQT		4,532		243
EXCO Resources (A)		3,300		25
Exterran Holdings *		1,510		19
Forum Energy Technologies *		7,747		153
Global Geophysical Services *		2,665		16
Golar LNG		3,200		121
Goodrich Petroleum *		12,938		179
Gulf Island Fabrication		1,700		48
Gulfmark Offshore, Cl A *		12,380		421


Description	Shares		Market Value ($ Thousands)

Heckmann *		5,527	$	19
Helix Energy Solutions Group *		1,800		29
Helmerich & Payne		3,249		141
Hercules Offshore *		9,373		33
HollyFrontier		6,972		247
ION Geophysical *		4,100		27
Key Energy Services *		62,011		471
Kodiak Oil & Gas, Cl Lithuanian *		9,063		74
Kosmos Energy *		3,836		42
Laredo Petroleum Holdings *		11,320		235
Magnum Hunter Resources * (A)		84,549		353
Matador Resources *		28,600		307
McDermott International *		37,946		423
McMoRan Exploration * (A)		5,900		75
Murphy Oil		3,961		199
Nabors Industries *		21,257		306
Natural Gas Services Group *		1,469		22
Newfield Exploration *		14,878		436
Newpark Resources *		9,960		59
Northern Oil And Gas *		19,210		306
Oasis Petroleum *		15,160		367
Oceaneering International		12,139		581
Oil States International *		7,627		505
Overseas Shipholding Group (A)		1,426		16
Panhandle Oil and Gas, Cl A		600		18
Parker Drilling *		47,556		214
Patterson-UTI Energy		4,000		58
Penn Virginia		1,300		10
Petroquest Energy *		3,851		19
Pioneer Drilling *		1,400		11
Pioneer Natural Resources		4,059		358
Plains Exploration & Production *		4,433		156
Quicksilver Resources * (A)		5,582		30
Range Resources		4,962		307
Rex Energy *		39,540		443
RigNet *		519		9
Rosetta Resources *		12,790		469
Rowan, Cl A *		3,592		116
SandRidge Energy *		20,922		140
SEACOR Holdings *		500		45
SemGroup, Cl A *		9,200		294
SM Energy		6,710		329
Stone Energy *		14,996		380
Superior Energy Services *		27,786		562
Swift Energy *		31,899		594
Tesoro *		23,300		582
TETRA Technologies *		46,660		333
Tidewater		745		35
Tourmaline Oil *		9,200		243
Ultra Petroleum *		5,018		116
Uranium Energy *		8,280		19
USEC * (A)		51,000		50
W&T Offshore		13,700		210
Western Refining		21,700		483
Whiting Petroleum *		11,650		479
Willbros Group *		1,500		10
World Fuel Services		1,200		46
WPX Energy *		1,631		26

				16,180


Financials — 18.3%
1st Source		2,900		66


Description	Shares		Market Value ($ Thousands)

Acadia Realty Trust †		1,500	$	35
Affiliated Managers Group *		6,076		665
Alexander’s †		100		43
Alexandria Real Estate Equities †		1,100		80
Alleghany *		298		101
Allied World Assurance Holdings		4,300		342
Allstate		13,486		473
Alterra Capital Holdings		24,010		561
American Assets Trust †		2,500		61
American Campus Communities †		1,000		45
American Capital *		8,900		90
American Capital Mortgage Investment		1,725		41
American Equity Investment Life Holding		4,000		44
American Financial Group		13,800		541
American National Insurance		2,100		150
Ameriprise Financial		7,451		389
Amerisafe *		1,639		43
Anworth Mortgage Asset †		31,500		222
Apartment Investment & Management, Cl A †		3,753		101
Apollo Commercial Real Estate Finance †		2,950		47
Apollo Investment *		3,989		31
Apollo Residential Mortgage †		979		19
Arch Capital Group *		3,336		132
Ares Capital		16,991		271
Ares Commercial Real Estate †		1,025		18
Argo Group International Holdings		6,282		184
Arthur J. Gallagher		2,336		82
Ashford Hospitality Trust †		4,800		40
Aspen Insurance Holdings		8,500		246
Associated Banc-Corp		52,600		694
Associated Estates Realty †		3,300		49
Assured Guaranty		6,000		85
Axis Capital Holdings		2,535		83
Banco Latinoamericano de Exportaciones, Cl E		21,159		453
Bancorpsouth		9,351		136
Bank of Hawaii		900		41
Bank of the Ozarks		14,285		430
BBCN Bancorp *		1,849		20
Berkshire Hills Bancorp		16,395		361
BioMed Realty Trust †		20,575		384
BlackRock Kelso Capital		2,400		23
Boston Private Financial Holdings		21,549		192
Brandywine Realty Trust		25,900		320
BRE Properties, Cl A †		1,000		50
Brookline Bancorp		1,200		11
Brown & Brown		23,168		632
Camden Property Trust †		1,449		98
Capstead Mortgage †		1,900		26
Cardinal Financial		17,480		215
Cardtronics *		24,936		753
Cathay General Bancorp		2,100		35
CBL & Associates Properties		41,931		819
Center Bancorp		1,704		19
Chemical Financial		10,100		217
Chesapeake Lodging Trust †		3,000		52


Description	Shares		Market Value ($ Thousands)

Chimera Investment †		70,826	$	167
City National		500		24
CNA Financial		12,400		344
CNO Financial Group		55,868		436
CoBiz Financial		44,220		277
Colonial Properties Trust †		4,500		100
Comerica		10,997		338
Commerce Bancshares		1,603		61
CommonWealth †		13,100		251
Community Trust Bancorp		10,100		338
Coresite Realty †		32,565		841
Cousins Properties †		14,402		112
Credit Acceptance *		230		19
CubeSmart †		3,500		41
CVB Financial (A)		47,429		553
CYS Investments †		4,400		61
DCT Industrial Trust †		9,100		57
DDR †		3,686		54
DFC Global *		2,400		44
Digital Realty Trust (A) †		5,999		450
Dime Community Bancshares		12,200		162
Douglas Emmett †		1,400		32
Duke Realty †		6,624		97
ETrade Financial		19,401		156
Eagle Bancorp *		24,365		384
East West Bancorp		24,899		584
EastGroup Properties †		9,145		487
Education Realty Trust †		70,652		783
Employers Holdings		23,504		424
Endurance Specialty Holdings		19,837		760
Enstar Group *		400		40
Entertainment Properties Trust †		1,000		41
Equity Lifestyle Properties †		900		62
Equity One †		15,951		338
Erie Indemnity, Cl A		2,000		143
Essex Property Trust †		4,439		683
Evercore Partners, Cl A		700		16
Everest Re Group		6,060		627
Excel Trust †		2,400		29
Extra Space Storage †		2,600		80
FBL Financial Group, Cl A		2,500		70
Federal Agricultural Mortgage, Cl C		381		10
Federal Realty Investment Trust †		1,397		145
Federated Investors, Cl B (A)		1,900		42
FelCor Lodging Trust * †		6,100		29
Fidelity National Financial, Cl A		3,700		71
Fifth Street Finance		11,008		110
Fifth Third Bancorp		34,408		461
First American Financial		3,200		54
First BanCorp *		1,660		7
First Cash Financial Services *		1,400		56
First Commonwealth Financial		2,982		20
First Financial Bancorp		10,290		164
First Financial Bankshares		900		31
First Horizon National		41,873		362
First Industrial Realty Trust * †		4,500		57
First Midwest Bancorp		33,700		370
First Niagara Financial Group		8,420		64
First Potomac Realty Trust †		3,400		40
First Republic Bank *		1,625		55
FirstMerit		18,586		307


Description	Shares		Market Value ($ Thousands)

Flagstone Reinsurance Holdings		6,300	$	50
Flushing Financial		1,600		22
FNB (Pennsylvania)		11,200		122
Forest City Enterprises, Cl A *		31,335		458
Franklin Street Properties †		5,100		54
Fulton Financial		4,400		44
GAMCO Investors, Cl A		400		18
Genworth Financial, Cl A *		7,112		40
Getty Realty †		3,100		59
GFI Group		37,700		134
Glimcher Realty Trust †		5,600		57
Government Properties Income Trust †		2,000		45
Gramercy Capital * †		6,858		17
Green Dot, Cl A * (A)		1,108		25
Greenlight Capital Re *		1,000		25
GSV Capital *		1,797		17
Hancock Holding		26,733		814
Hanover Insurance Group		13,210		517
Hatteras Financial †		1,900		54
HCC Insurance Holdings		1,700		53
Healthcare Realty Trust †		3,400		81
Hercules Technology Growth Capital		7,084		80
Hersha Hospitality Trust, Cl A †		4,600		24
Highwoods Properties †		14,545		489
Home Loan Servicing Solutions		1,783		24
Home Properties †		400		25
Horace Mann Educators		20,593		360
Hospitality Properties Trust †		21,600		535
Host Hotels & Resorts †		24,374		386
Hudson City Bancorp		4,215		27
Hudson Pacific Properties †		1,170		20
Huntington Bancshares		103,956		665
IBERIABANK		14,206		717
Independent Bank		800		23
Infinity Property & Casualty		5,937		342
Inland Real Estate †		8,500		71
Invesco Mortgage Capital †		2,400		44
Investors Real Estate Trust †		1,800		14
Janus Capital Group		1,700		13
Jefferies Group		2,676		35
Jones Lang LaSalle		470		33
KBW		700		12
Kemper		2,400		74
Kilroy Realty †		1,275		62
Knight Capital Group, Cl A *		63,653		760
LaSalle Hotel Properties †		21,370		623
Legg Mason		2,152		57
Lexington Realty Trust †		70,203		595
Liberty Property Trust †		14,285		526
LTC Properties †		2,500		91
Mack-Cali Realty †		1,500		44
Main Street Capital		423		10
Manning & Napier, Cl A		3,100		44
Markel *		100		44
MarketAxess Holdings		4,077		109
MB Financial		2,400		52
MBIA * (A)		5,600		61
MCG Capital		7,700		35
Meadowbrook Insurance Group		27,900		245
Medical Properties Trust †		5,500		53


Description	Shares		Market Value ($ Thousands)

Mercury General		500	$	21
MFA Financial †		85,099		671
Mid-America Apartment Communities †		12,290		839
Montpelier Re Holdings		18,100		385
Moody’s		17,519		640
MSCI, Cl A *		2,800		95
NASDAQ OMX Group		797		18
National Financial Partners *		26,350		353
National Health Investors †		800		41
National Penn Bancshares		20,351		195
National Retail Properties †		18,190		515
National Western Life Insurance, Cl A		200		28
Navigators Group *		800		40
NBT Bancorp		800		17
Nelnet, Cl A		932		22
Netspend Holdings *		19,260		177
Northfield Bancorp		800		11
Northwest Bancshares		4,100		48
Ocwen Financial *		4,200		79
Old National Bancorp		45,506		547
Old Republic International		4,000		33
Omega Healthcare Investors †		5,100		115
OmniAmerican Bancorp *		888		19
One Liberty Properties †		140		3
Oriental Financial Group		13,000		144
Oritani Financial		4,100		59
Pacific Capital Bancorp *		3,388		155
PacWest Bancorp		32,305		765
Park National		300		21
Parkway Properties †		16,600		190
PartnerRe		8,239		623
Pebblebrook Hotel Trust †		36,041		840
PennantPark Investment		4,200		44
Pennsylvania †		27,100		406
PennyMac Mortgage Investment Trust †		976		19
People’s United Financial		9,000		104
PHH *		1,000		17
Platinum Underwriters Holdings		10,017		382
Popular *		4,660		77
Portfolio Recovery Associates *		400		37
Post Properties †		1,200		59
Principal Financial Group		7,000		184
PrivateBancorp, Cl A		22,450		331
ProAssurance		9,959		887
Prospect Capital		5,940		68
Prosperity Bancshares		11,875		499
Protective Life		1,100		32
Provident Financial Services		12,108		186
PS Business Parks †		800		54
RAIT Financial Trust †		13,999		65
Ramco-Gershenson Properties †		2,300		29
Raymond James Financial		1,500		51
Rayonier †		1,466		66
Realty Income †		1,400		59
Redwood Trust †		1,200		15
Regency Centers †		700		33
Regional Management *		1,170		19
Regions Financial		49,700		336


Description	Shares		Market Value ($ Thousands)

Reinsurance Group of America, Cl A		12,758	$	679
RenaissanceRe Holdings		1,520		116
Resource Capital †		2,600		14
RLI		800		55
S&T Bancorp		5,000		92
Sabra Health Care †		2,365		40
Safeguard Scientifics *		31,239		484
Sandy Spring Bancorp		18,162		327
Senior Housing Properties Trust †		3,100		69
Signature Bank NY *		10,652		650
Solar Capital		8,266		184
Sovran Self Storage †		1,800		90
StanCorp Financial Group		11,800		439
Starwood Property Trust †		2,300		49
State Bank Financial *		1,268		19
Sterling Financial * (A)		9,178		173
Stifel Financial *		13,310		411
Strategic Hotels & Resorts * †		8,200		53
Summit Hotel Properties †		1,225		10
Sun Communities †		1,400		62
Sunstone Hotel Investors * †		22,350		246
SunTrust Banks		15,665		380
Susquehanna Bancshares		57,484		592
SVB Financial Group *		600		35
SWS Group		39,800		212
Synovus Financial		69,010		137
Tanger Factory Outlet Centers †		2,000		64
Taubman Centers †		1,576		122
TCF Financial		33,746		387
Texas Capital Bancshares *		2,000		81
Tower Group		2,965		62
Trustmark		900		22
Two Harbors Investment †		4,900		51
Umpqua Holdings		1,200		16
United Bankshares (A)		4,300		111
United Fire Group		4,000		85
Unum Group		40,476		774
Validus Holdings		10,723		343
Valley National Bancorp		6,730		71
ViewPoint Financial Group		3,900		61
Waddell & Reed Financial, Cl A		900		27
Walter Investment Management		1,164		27
Washington Federal		1,500		25
Washington Real Estate Investment Trust †		2,400		68
Webster Financial		30,340		657
Weingarten Realty Investors †		1,600		42
WesBanco		12,800		272
West Coast Bancorp *		12,115		238
Westamerica Bancorporation		900		43
Western Alliance Bancorp *		86,868		813
Western Asset Mortgage Capital * †		944		18
White Mountains Insurance Group		100		52
Willis Group Holdings		11,058		404
Wintrust Financial		600		21
World Acceptance *		800		53
WSFS Financial		400		16
Zillow, Cl A *		537		21


Description	Shares		Market Value ($ Thousands)

Zions Bancorporation		48,729	$	946

				57,891


Health Care — 12.4%
Abaxis *		1,600		59
ABIOMED *		13,730		313
Accuray *		4,734		32
Achillion Pharmaceuticals *		21,100		131
Affymax *		2,452		32
Affymetrix *		4,300		20
Air Methods *		600		59
Akorn *		44,741		706
Alere *		2,690		52
Algeta *		6,924		198
Align Technology *		3,800		127
Alkermes *		4,000		68
Allscripts Healthcare Solutions *		2,740		30
Amarin *		16,705		242
Amedisys *		4,911		61
AMERIGROUP *		9,173		605
AmerisourceBergen		6,827		269
Amsurg *		11,659		350
Amylin Pharmaceuticals *		15,812		446
Antares Pharma *		5,209		19
Arena Pharmaceuticals * (A)		27,215		272
Ariad Pharmaceuticals *		27,662		476
Arqule *		33,680		200
Array Biopharma *		5,436		19
ArthroCare *		2,478		73
Athenahealth *		1,600		127
Auxilium Pharmaceuticals *		9,210		248
AVEO Pharmaceuticals *		10,398		126
BioMarin Pharmaceuticals *		2,726		108
Bio-Reference Labs *		1,000		26
Brookdale Senior Living, Cl A *		1,700		30
Capital Senior Living *		200		2
CareFusion *		16,100		413
Catalyst Health Solutions *		600		56
Centene *		1,600		48
Cepheid *		14,190		635
Cerus *		5,403		18
Charles River Laboratories International *		700		23
Chemed		800		48
Community Health Systems *		2,037		57
Computer Programs & Systems		800		46
Conceptus *		1,008		20
Conmed		15,670		434
Cooper		8,414		671
Covance *		1,500		72
Coventry Health Care		15,800		502
Cubist Pharmaceuticals *		6,640		252
Cyberonics *		18,940		851
Dendreon *		2,784		21
DexCom *		3,400		44
Dynavax Technologies *		4,691		20
Emergent Biosolutions *		1,200		18
Emeritus *		1,400		24
Endo Pharmaceuticals Holdings * (A)		11,842		367
Endocyte *		4,773		39
Endologix *		1,338		21


Description	Shares		Market Value ($ Thousands)

Enzon Pharmaceuticals *		2,600	$	18
Exelixis *		9,800		54
Gen-Probe *		900		74
Gentiva Health Services *		700		5
Geron *		8,900		15
Greatbatch *		28,350		644
Greenway Medical Technologies *		1,121		18
Haemonetics *		800		59
Halozyme Therapeutics *		2,500		22
Hanger Orthopedic Group *		13,262		340
Health Management Associates, Cl A *		5,100		40
Health Net *		1,800		44
HealthSouth *		51,925		1,208
Healthways *		3,400		27
HeartWare International * (A)		8,788		780
Henry Schein *		7,850		616
Hill-Rom Holdings		1,400		43
HMS Holdings *		13,270		442
Hologic *		9,219		166
Human Genome Sciences *		7,498		99
Humana		5,500		426
Idexx Laboratories *		1,226		118
Immunogen * (A)		24,900		418
Impax Laboratories *		2,000		40
Incyte *		18,360		417
Insulet *		26,380		564
InterMune, Cl Basis Forward *		1,670		20
IPC The Hospitalist *		1,300		59
Ironwood Pharmaceuticals, Cl A *		41,010		565
Isis Pharmaceuticals *		3,300		40
Jazz Pharmaceuticals *		12,496		562
Kindred Healthcare *		3,321		33
LHC Group *		500		8
LifePoint Hospitals *		9,900		406
Lincare Holdings		1,800		61
Magellan Health Services *		7,770		352
MannKind * (A)		9,300		21
MAP Pharmaceuticals * (A)		13,680		205
Masimo *		1,600		36
MedAssets *		6,270		84
Medicines *		13,580		312
Medicis Pharmaceutical, Cl A		1,434		49
Medivation *		616		56
MEDNAX *		22,171		1,520
Meridian Bioscience		2,500		51
Merit Medical Systems *		3,125		43
Metropolitan Health Networks *		46,200		442
Mettler Toledo International *		592		92
MWI Veterinary Supply *		4,532		466
Myriad Genetics *		2,200		52
Navidea Biopharmaceuticals *		5,425		20
Nektar Therapeutics * (A)		9,000		73
Neogen *		900		42
NPS Pharmaceuticals *		37,167		320
NuVasive *		1,300		33
NxStage Medical *		24,430		409
Obagi Medical Products *		1,600		24
Omnicare		3,200		100
Omnicell *		1,300		19
Oncothyreon *		4,126		19
Onyx Pharmaceuticals *		11,160		742


Description	Shares		Market Value ($ Thousands)

Optimer Pharmaceuticals * (A)		31,360	$	487
Orthofix International *		4,400		182
Owens & Minor		15,618		478
Pacific Biosciences of California * (A)		13,970		30
Par Pharmaceutical *		13,000		470
Parexel International *		38,646		1,091
Patterson		10,047		346
PDL BioPharma		31,100		206
PerkinElmer		12,931		333
Pharmacyclics *		5,682		310
PharMerica *		19,200		210
PSS World Medical *		1,400		29
QIAGEN * (A)		8,077		135
Quest Diagnostics		6,576		394
Questcor Pharmaceuticals * (A)		23,508		1,252
ResMed *		22,039		688
Rigel Pharmaceuticals *		9,800		91
Salix Pharmaceuticals *		24,824		1,351
Savient Pharmaceuticals * (A)		—		—
Sciclone Pharmaceuticals *		41,200		289
Seattle Genetics * (A)		22,028		559
Select Medical Holdings *		22,300		225
Sequenom * (A)		9,761		40
Sirona Dental Systems *		10,275		462
Spectrum Pharmaceuticals *		1,441		22
STERIS		16,025		503
SXC Health Solutions *		17,005		1,687
Symmetry Medical *		1,500		13
Synageva BioPharma * (A)		2,126		86
Techne		900		67
Tenet Healthcare *		14,100		74
TESARO *		8,520		119
Theravance *		1,400		31
Thoratec *		1,500		50
Tornier BV *		721		16
United Therapeutics *		8,314		411
Universal Health Services, Cl B		15,757		680
US Physical Therapy		900		23
ViroPharma *		2,500		59
Vivus *		4,512		129
Vocera Communications *		732		20
Volcano *		32,212		923
WellCare Health Plans *		10,600		562
West Pharmaceutical Services		1,100		56
Wright Medical Group *		970		21
XOMA *		6,744		20

				39,489


Industrials — 14.7%
3D Systems *		675		23
AAON		2,250		42
AAR		1,100		15
ABM Industries		2,100		41
Acacia Research *		1,500		56
ACCO Brands *		1,991		21
Accuride *		3,007		18
Actuant, Cl A		18,725		509
Acuity Brands		6,470		329
Advisory Board *		21,350		1,059
Aecom Technology *		1,800		30
Aerovironment *		1,600		42


Description	Shares		Market Value ($ Thousands)

AGCO *		14,597	$	668
Aircastle		31,832		384
Alaska Air Group *		1,600		57
Albany International, Cl A		11,100		208
Alliant Techsystems		715		36
American Superconductor * (A)		5,422		25
Ametek		3,160		158
Ampco-Pittsburgh		8,000		147
AO Smith		1,100		54
Arkansas Best		900		11
Atlas Air Worldwide Holdings *		800		35
Avis Budget Group *		1,480		22
Barnes Group		1,100		27
BE Aerospace *		16,998		742
Beacon Roofing Supply *		7,237		182
Belden		21,331		711
Blount International *		5,419		79
Brady, Cl A		7,950		219
Brink’s		3,100		72
Calgon Carbon *		5,791		82
Carlisle		6,530		346
Cascade		5,100		240
Chart Industries *		6,160		424
Chicago Bridge & Iron		2,180		83
Cintas		11,408		440
Clarcor		1,200		58
Clean Harbors *		1,200		68
Colfax *		12,343		340
Con-way		600		22
Copa Holdings, Cl A		2,094		173
Copart *		2,400		57
Corporate Executive Board		1,100		45
Corrections Corp of America		1,800		53
Courier		2,663		35
Covanta Holding		3,100		53
Crane		600		22
Cubic		8,014		385
Curtiss-Wright		10,300		320
Deluxe		11,400		284
DigitalGlobe *		30,820		467
Dollar Thrifty Automotive Group *		2,322		188
Donaldson		3,000		100
Dover		6,217		333
Dun & Bradstreet		388		28
DXP Enterprises *		4,200		174
Dycom Industries *		27,925		519
EMCOR Group		19,192		534
EnergySolutions *		3,600		6
EnerNOC *		1,300		9
EnPro Industries *		6,671		249
Equifax		2,000		93
ESCO Technologies		18,056		658
Esterline Technologies *		5,610		350
Federal Signal *		3,905		23
Flowserve		2,929		336
Fluor		6,157		304
Fortune Brands Home & Security *		1,171		26
Forward Air		4,163		134
Franklin Electric		3,771		193
FTI Consulting *		1,400		40
G&K Services		24,475		763


Description	Shares		Market Value ($ Thousands)

Gardner Denver		6,876	$	364
GATX		700		27
GenCorp *		3,047		20
Generac Holdings *		4,034		97
General Cable *		8,312		216
Genesee & Wyoming, Cl A *		8,830		467
Geo Group *		2,100		48
GeoEye *		700		11
Gorman-Rupp		1,562		47
Graco		600		28
GrafTech International *		2,200		21
Granite Construction		5,570		145
Great Lakes Dredge & Dock		3,253		23
Harsco		3,200		65
Hawaiian Holdings *		37,256		243
Heartland Express		2,631		38
HEICO		1,761		70
Heidrick & Struggles International		411		7
Herman Miller		1,500		28
Hertz Global Holdings *		5,753		74
Hexcel *		24,210		624
Higher One Holdings * (A)		3,956		48
HNI		3,926		101
HUB Group, Cl A *		1,400		51
Hubbell, Cl B		500		39
IDEX		20,033		781
II-VI *		2,000		33
Interface, Cl A		71,005		968
Interline Brands *		1,300		33
John Bean Technologies		16,134		219
Kadant *		19,497		457
Kaman		2,096		65
Kansas City Southern		9,336		649
KAR Auction Services *		6,436		111
Kaydon		7,132		153
KBR		4,000		99
Kelly Services, Cl A		1,200		16
Kennametal		1,100		36
Keyw Holding *		27,940		281
Kirby *		11,260		530
Knoll		1,200		16
L-3 Communications Holdings		7,300		540
Landstar System		15,530		803
Layne Christensen *		1,000		21
Lennox International		2,400		112
Lincoln Electric Holdings		11,916		522
Manitowoc		2,585		30
Manpower		694		25
Marten Transport		1,400		30
MasTec *		5,300		80
Mcgrath Rentcorp		1,900		50
Meritor *		1,500		8
Middleby *		7,270		724
Miller Industries		8,900		142
Moog, Cl A *		25,965		1,074
MSC Industrial Direct, Cl A		9,250		606
Mueller Industries		500		21
Mueller Water Products, Cl A		6,176		21
NACCO Industries, Cl A		400		46
Navistar International *		8,343		237
Nordson		10,100		518


Description	Shares		Market Value ($ Thousands)

Northwest Pipe *		11,075	$	269
Old Dominion Freight Line *		15,490		671
Orbital Sciences *		9,117		118
Orion Marine Group *		19,166		133
Oshkosh Truck *		8,700		182
Owens Corning *		2,900		83
Pentair		1,036		40
Pitney Bowes		1,641		25
Polypore International * (A)		24,287		981
Quanex Building Products		21,230		380
Quanta Services *		3,656		88
RBC Bearings *		10,951		518
Regal-Beloit		600		37
Republic Services		18,980		502
Resources Connection		2,600		32
Rexnord *		18,600		373
Robbins & Myers		19,949		834
Robert Half International		1,400		40
Roper Industries		6,642		655
RPX *		27,535		395
RR Donnelley & Sons (A)		15,000		177
Ryder System		8,900		320
Shaw Group *		630		17
Simpson Manufacturing		12,310		363
Skywest		11,800		77
Spirit Aerosystems Holdings, Cl A *		14,178		338
Spirit Airlines *		31,460		612
SPX		600		39
Standex International		500		22
Stanley Black & Decker		6,156		396
Steelcase, Cl A		25,800		233
Swisher Hygiene, Cl Common Subscription Receipt * (B)		28,467		72
Sykes Enterprises *		29,638		473
TAL International Group		16,435		550
Teledyne Technologies *		15,253		940
Teleflex		11,510		701
Terex *		10,620		189
Tetra Tech *		35,528		927
Thermon Group Holdings *		14,270		296
Timken		6,100		279
Toro		700		51
Towers Watson, Cl A		10,658		638
TransDigm Group *		1,458		196
Trex *		11,051		333
Trimas *		6,980		140
Triumph Group		3,433		193
TrueBlue *		40,855		632
Tutor Perini *		3,700		47
Unifirst		644		41
United Rentals *		18,563		632
United Stationers		1,000		27
Universal Forest Products		1,908		74
URS		8,200		286
US Airways Group *		3,969		53
USG * (A)		1,100		21
UTI Worldwide		2,500		36
Valmont Industries		4,535		549
Vicor		2,300		16
Wabash National *		2,806		19
Wabtec		1,800		140


Description	Shares		Market Value ($ Thousands)

Waste Connections		1,800	$	54
Watsco		4,713		348
Watts Water Technologies, Cl A		6,865		229
Werner Enterprises		1,900		45
WESCO International *		7,155		412
Westport Innovations * (A)		—		—
Woodward		1,400		55
Zipcar * (A)		4,449		52

				46,734


Information Technology — 15.9%
ACI Worldwide *		3,453		153
Acme Packet *		1,200		22
Active Network *		5,384		83
Adobe Systems *		11,679		378
Adtran		16,435		496
Advanced Energy Industries *		1,400		19
Advent Software *		1,000		27
Akamai Technologies *		19,700		625
Alliance Data Systems *		6,046		816
Analog Devices		8,744		329
Anixter International		500		26
Ansys *		12,486		788
AOL *		2,700		76
Applied Micro Circuits *		370		2
Ariba *		2,700		121
Arris Group *		7,200		100
Arrow Electronics *		1,900		62
Aruba Networks *		8,902		134
Aspen Technology *		30,898		715
Atmel *		12,100		81
ATMI *		800		16
Audience *		11,286		218
Avnet *		8,300		256
Bazaarvoice * (A)		13,783		251
Benchmark Electronics *		23,882		333
Black Box		5,800		166
Blackbaud		1,000		26
Bottomline Technologies *		2,964		54
Brightpoint *		3,298		18
Broadridge Financial Solutions		1,700		36
BroadSoft * (A)		16,964		491
Brocade Communications Systems *		12,600		62
CACI International, Cl A *		5,238		288
Cadence Design Systems *		138,570		1,523
Calix *		2,331		19
Checkpoint Systems *		1,100		10
Ciena *		24,174		396
Cognex		1,400		44
Coherent *		16,039		694
CommVault Systems *		1,400		69
Computer Sciences		5,000		124
Comtech Telecommunications		9,788		280
Concur Technologies *		7,090		483
Constant Contact *		800		14
Convergys		30,409		449
CoreLogic *		1,800		33
Cornerstone OnDemand *		2,249		53
CoStar Group *		13,462		1,093
Cray *		1,586		19
Cree * (A)		1,902		49


Description	Shares		Market Value ($ Thousands)

CSG Systems International *		16,700	$	289
CTS		14,400		136
Cymer *		600		35
Cypress Semiconductor		34,260		453
DealerTrack Holdings *		42,237		1,272
Deltek *		4,647		54
Demand Media *		6,260		70
Diebold		4,088		151
Digital River *		22,616		376
Diodes *		1,800		34
DST Systems		600		33
EarthLink		69,375		516
Echo Global Logistics *		1,761		34
EchoStar, Cl A *		2,900		77
Electronics for Imaging *		1,300		21
Emulex *		37,444		270
Entegris *		30,160		258
Envivio *		2,447		16
Euronet Worldwide *		1,400		24
ExactTarget *		6,437		141
F5 Networks *		4,796		477
Fabrinet *		25,920		325
Factset Research Systems		800		74
Fair Isaac		800		34
Fairchild Semiconductor International *		44,791		632
FARO Technologies *		1,300		55
FEI		1,500		72
Fidelity National Information Services		13,121		447
Finisar *		25,630		383
Flir Systems		2,400		47
FormFactor *		1,169		8
Forrester Research		1,400		47
Fortinet *		18,385		427
Fusion-io *		1,021		21
Gartner *		2,600		112
Genpact *		2,904		48
Global Cash Access Holdings *		2,457		18
Global Payments		2,534		110
Guidewire Software *		4,000		112
Harris		11,700		490
Heartland Payment Systems		3,000		90
Hittite Microwave *		500		26
IAC		15,830		722
Immersion *		2,588		15
Imperva *		9,140		263
Informatica *		4,700		199
Ingram Micro, Cl A *		1,200		21
Integrated Device Technology *		78,030		438
InterDigital		1,000		30
Intermec *		29,078		180
International Rectifier *		1,600		32
Intersil, Cl A		4,300		46
IntraLinks Holdings *		1,130		5
IPG Photonics *		7,648		333
Ixia *		31,650		380
j2 Global (A)		15,605		412
Jabil Circuit		28,550		580
JDA Software Group *		1,800		53
JDS Uniphase *		4,525		50
Jive Software * (A)		15,400		323


Description	Shares		Market Value ($ Thousands)

Juniper Networks *		19,583	$	319
Kla-Tencor		6,600		325
Lattice Semiconductor *		70,210		265
Lexmark International, Cl A		6,100		162
Limelight Networks *		1,566		5
Littelfuse		800		45
LivePerson *		33,118		631
Loral Space & Communications		800		54
LSI Logic *		13,100		83
Manhattan Associates *		4,027		184
Mantech International, Cl A		900		21
MAXIMUS		1,200		62
Measurement Specialties *		2,900		94
Mellanox Technologies *		7,531		533
Mentor Graphics *		2,400		36
Methode Electronics		2,700		23
Micrel		7,000		67
Micros Systems *		11,437		586
Microsemi *		1,300		24
MicroStrategy, Cl A *		3,190		414
MIPS Technologies *		2,734		18
Molex (A)		13,478		323
MoneyGram International *		2,123		31
Monolithic Power Systems *		25,396		505
Monster Worldwide *		1,600		14
MTS Systems		1,000		39
NCR *		3,736		85
NETGEAR *		13,580		469
Netscout Systems *		19,979		431
NetSuite *		1,400		77
NeuStar, Cl A *		1,000		33
NIC		4,100		52
Nuance Communications *		5,900		141
NXP Semiconductor * (A)		19,571		455
OCZ Technology Group *		3,329		18
Omnivision Technologies *		1,400		19
ON Semiconductor *		11,300		80
OSI Systems *		1,300		82
Parametric Technology *		45,205		948
Pegasystems (A)		10,456		345
Photronics *		29,800		182
Plantronics		1,100		37
Plexus *		1,500		42
PMC - Sierra *		8,500		52
Polycom *		8,000		84
Power Integrations		20,503		765
Progress Software *		14,350		300
Pulse Electronics		19,700		39
QLIK Technologies *		22,470		497
QLogic *		150		2
Quality Systems		1,000		28
Quantum *		8,799		18
Rambus *		1,900		11
RealD * (A)		2,286		34
RealNetworks		2,800		24
Responsys *		1,557		19
RF Micro Devices *		55,510		236
Riverbed Technology *		5,053		82
Rofin-Sinar Technologies *		1,100		21
Rovi *		2,724		53
Rubicon Technology *		404		4
SAIC		27,800		337


Description	Shares		Market Value ($ Thousands)

Sapient		52,240	$	526
Scansource *		4,632		142
Seagate Technology		19,200		475
Semtech *		24,800		603
servicenow *		2,631		65
ServiceSource International * (A)		28,695		398
Silicon Graphics International *		2,400		15
Silicon Laboratories *		10,985		416
Skyworks Solutions *		25,050		686
SolarWinds *		28,750		1,252
Solera Holdings		13,310		556
Sonus Networks *		21,550		46
Splunk *		4,700		132
Standard Microsystems *		2,100		77
STEC *		3,349		26
SunPower, Cl A *		329		2
Symantec *		27,162		397
Synaptics *		3,844		110
Synchronoss Technologies *		9,420		174
Synopsys * (A)		30,118		886
Syntel		9,760		593
Take-Two Interactive Software *		2,400		23
Tangoe *		10,860		231
Tech Data *		8,900		429
TeleTech Holdings *		5,391		86
Tellabs		22,081		74
Teradyne *		31,070		437
Tessera Technologies		4,036		62
TIBCO Software *		18,984		568
TiVo *		2,000		17
TNS *		11,492		206
Total System Services		2,800		67
Trimble Navigation *		2,802		129
TriQuint Semiconductor *		4,100		23
Tyler Technologies *		1,277		52
Ultimate Software Group *		800		71
Ultra Clean Holdings *		37,539		241
Ultratech *		12,290		387
Unisys *		670		13
United Online		29,700		125
Universal Display * (A)		9,310		335
Valueclick *		3,600		59
Veeco Instruments * (A)		14,450		496
VeriFone Holdings *		2,577		85
Viasat *		1,100		42
VirnetX Holding *		645		23
Virtusa *		1,600		21
Vishay Intertechnology *		72,023		679
Vishay Precision Group *		192		3
VistaPrint * (A)		900		29
Volterra Semiconductor *		2,100		49
Web.com Group *		23,798		436
WebMD Health, Cl A *		1,121		23
Websense *		2,994		56
Western Digital *		13,200		402
Wright Express *		9,540		589
Xyratex		13,181		149
Yelp, Cl A *		863		20
Zebra Technologies, Cl A *		10,055		345

				50,641


Description	Shares		Market Value ($ Thousands)

Materials — 5.1%
AK Steel Holding (A)		5,745	$	34
Albemarle		4,500		268
Allegheny Technologies		23,761		758
Allied Nevada Gold *		876		25
Alpha Natural Resources *		5,171		45
AMCOL International		1,500		42
Aptargroup		1,800		92
Ashland		2,600		180
Balchem		1,400		46
Ball		8,087		332
Bemis		1,700		53
Boise		36,400		239
Buckeye Technologies		1,900		54
Cabot		900		37
Carpenter Technology		1,300		62
Century Aluminum *		5,100		37
Clearwater Paper *		800		27
Coeur d’Alene Mines *		3,300		58
Compass Minerals International		8,324		635
Crown Holdings *		4,800		166
Cytec Industries		4,449		261
Domtar		4,200		322
Eagle Materials		700		26
Eastman Chemical		12,800		645
Ecolab		1		—
Ferro *		13,354		64
Flotek Industries *		8,089		75
Georgia Gulf		3,300		85
Glatfelter		1,700		28
Globe Specialty Metals		5,200		70
Greif, Cl A		13,932		571
H.B. Fuller		6,410		197
Hecla Mining		8,100		39
Horsehead Holding *		2,100		21
Huntsman		35,106		454
Innophos Holdings		10,780		609
International Flavors & Fragrances		900		49
Intrepid Potash *		19,165		436
Jaguar Mining *		6,405		7
Kaiser Aluminum		2,571		133
Koppers Holdings		480		16
Kronos Worldwide (A)		11,700		185
Martin Marietta Materials		700		55
Materion		595		14
McEwen Mining *		4,734		14
Methanex		15,960		444
Minerals Technologies		6,864		438
Molycorp * (A)		1,938		42
NewMarket		1,268		275
Noranda Aluminum Holding		6,400		51
Nucor		8,681		329
Olin		2,200		46
OM Group *		17,922		340
Owens-Illinois *		30,091		577
Packaging Corp of America		23,479		663
Paramount Gold and Silver *		5,731		14
PolyOne		88,245		1,207
Reliance Steel & Aluminum		1,200		61
Rock-Tenn, Cl A		1,000		55


Description	Shares		Market Value ($ Thousands)

Rockwood Holdings		1,000	$	44
Royal Gold		1,700		133
RPM International		3,100		84
RTI International Metals *		27,074		613
Schnitzer Steel Industries, Cl A		400		11
Schulman A		11,275		224
Schweitzer-Mauduit International		2,766		189
Scotts Miracle-Gro, Cl A		1,500		62
Sensient Technologies		13,990		514
Silgan Holdings		21,130		902
Solutia		8,739		245
Sonoco Products		1,400		42
Steel Dynamics		29,600		348
Stillwater Mining *		2,600		22
STR Holdings *		1,765		8
Tahoe Resources *		3,516		49
Texas Industries		600		24
Titanium Metals		1,100		12
UFP Technologies *		13,800		233
United States Steel		2,814		58
Valspar		1,200		63
Walter Energy		1,614		71
WR Grace *		1,400		71

				16,130


Telecommunication Services — 0.6%
AboveNet *		1,200		101
Cincinnati Bell *		7,194		27
Clearwire, Cl A *		4,808		5
Cogent Communications Group *		1,395		27
Consolidated Communications Holdings (A)		1,600		24
Frontier Communications		7,286		28
Leap Wireless International *		3,400		22
Level 3 Communications *		4,006		89
Lumos Networks		1,400		13
MetroPCS Communications *		7,578		46
Neutral Tandem *		2,400		31
NII Holdings *		2,058		21
NTELOS Holdings		1,400		27
Price Communication *		3,800		—
SBA Communications, Cl A *		3,897		222
tw telecom, Cl A *		42,420		1,088
USA Mobility		15,500		199

				1,970


Utilities — 3.9%
AGL Resources		15,729		610
ALLETE		11,015		460
Alliant Energy		1,300		59
American States Water		1,700		67
American Water Works		2,200		76
Aqua America		12,630		315
Atlantic Power		2,310		30
Atmos Energy		2,500		88
Avista		15,500		414
Black Hills		700		23
California Water Service Group		2,800		52
CH Energy Group		1,000		66
Chesapeake Utilities		7,226		316
Cleco		23,075		965
CMS Energy		18,100		425


Description	Shares		Market Value ($ Thousands)

Edison International		6,525	$	301
El Paso Electric		4,700		156
Empire District Electric		4,400		93
GenOn Energy *		16,400		28
Great Plains Energy		54,489		1,167
Hawaiian Electric Industries		4,800		137
Idacorp		8,203		345
Integrys Energy Group		1,000		57
ITC Holdings		1,000		69
Laclede Group		2,600		104
MDU Resources Group		5,300		115
MGE Energy		1,600		76
National Fuel Gas		372		17
New Jersey Resources		750		33
Northwest Natural Gas		9,060		431
NorthWestern		2,600		95
NRG Energy *		4,980		86
NV Energy		3,400		60
OGE Energy		900		47
Otter Tail		1,800		41
Pepco Holdings		2,200		43
Piedmont Natural Gas		1,800		58
Pinnacle West Capital		4,800		248
PNM Resources		1,700		33
Portland General Electric		48,802		1,301
SCANA		9,561		457
South Jersey Industries		88		5
Southwest Gas		11,145		486
TECO Energy		36,278		655
UGI		20,300		597
UIL Holdings		2,400		86
UNS Energy		1,300		50
Vectren		2,100		62
Westar Energy		6,377		191
WGL Holdings		11,280		448
Xcel Energy		13,405		381

				12,525

Total Common Stock (Cost $272,182) ($ Thousands)				300,633


EXCHANGE TRADED FUNDS — 0.7%
iShares Russell 2000 Growth Index Fund		20,540		1,879
iShares Russell 2000 Index Fund (A)		6,104		486

Total Exchange Traded Funds (Cost $2,310) ($ Thousands)				2,365


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


	Number of Warrants

WARRANTS — 0.0%
Magnum Hunter Resources Expires 08/29/14 *		6,042	$	—

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


	Number of Rights

RIGHTS — 0.0%
Endo Pharmaceuticals		1,900		—
Hampton Roads		1,561		11

Total Rights (Cost $11) ($Thousands)				11


AFFILIATED PARTNERSHIP — 5.2%
SEI Liquidity Fund, L.P.
0.150%** †† (B)		16,830,219		16,578

Total Affiliated Partnership (Cost $16,830) ($ Thousands)				16,578


CASH EQUIVALENT — 5.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		15,769,115		15,769

Total Cash Equivalent (Cost $15,769) ($ Thousands)				15,769


U.S. TREASURY OBLIGATION (C) (D) — 0.3%
U.S. Treasury Bills
0.054%, 09/20/12	$	925		925

Total U.S. Treasury Obligation (Cost $925) ($ Thousands)				925

Total Investments — 105.8% (Cost $308,027) ($ Thousands) ‡			$	336,281

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		64		Sep-2012	$	237
S&P Mid 400 Index E-MINI		56		Sep-2012		123

					$	360

Percentages are based on Net Assets of $317,931 ($Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $16,672 ($ Thousands)

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $16,578 ($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 contracts.

Cl — Class

L.P. — Limited Partnership S&P — Standard & Poor’s

Amounts designated as “—” are $0 or have been rounded to $0.

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $308,027 ($ Thousands), and the unrealized appreciation and depreciation were $47,812($ Thousands) and ($19,558)($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	300,633	$	—	$	—	$	300,633
Exchange Traded Funds		2,365		—		—		2,365
Warrants		—		—		—		—
Affiliated Partnership		—		16,578		—		16,578
Cash Equivalent		15,769		—		—		15,769
U.S. Treasury Obligation		—		925		—		925
Rights		—		11		—		11

Total Investments in Securities	$	318,767	$	17,514	$	—	$	336,281


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	360	$	—	$	—	$	360

Total Other Financial Instruments	$	360	$	—	$	—	$	360

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.6%

Consumer Discretionary — 14.5%
Abercrombie & Fitch, Cl A		5,900	$	201
Allison Transmission Holdings (A)		13,500		237
AMC Networks, Cl A *		2,400		85
American Eagle Outfitters		17,058		337
Apollo Group, Cl A *		400		14
Bed Bath & Beyond *		8,700		538
Belo, Cl A		2,400		15
Best Buy		1,700		36
BorgWarner * (A)		4,200		275
CBS, Cl B		200		7
Chipotle Mexican Grill, Cl A *		140		53
Coach		1,710		100
Delphi Automotive *		5,700		145
Dick’s Sporting Goods		8,800		422
Dillard’s, Cl A		1,700		108
Discovery Communications, Cl A *		5,300		286
Dollar Tree *		2,580		139
Expedia (A)		3,200		154
Federal Mogul, Cl A *		2,500		28
Foot Locker		5,000		153
Garmin (A)		1,000		38
Genuine Parts		2,800		169
Global Sources *		2,100		14
Harley-Davidson		21,802		997
Harman International Industries		1,900		75
Hasbro (A)		14,853		503
International Game Technology		30,900		487
Interpublic Group		31,432		341
Jarden		1,400		59
Lear		2,600		98
Liberty Media - Interactive, Cl A *		1,600		28
Lululemon Athletica * (A)		3,200		191
Macy’s		400		14
Marriott International, Cl A		8,200		322
McGraw-Hill		3,000		135
Michael Kors Holdings * (A)		6,700		280
Newell Rubbermaid		29,830		541
Panera Bread, Cl A *		970		135
PetSmart		5,600		382
Polaris Industries		1,800		129
PVH		1,900		148
Ralph Lauren, Cl A		270		38
Ross Stores		3,300		206
Royal Caribbean Cruises		21,591		562
Sally Beauty Holdings *		15,000		386
Scripps Networks Interactive, Cl A		7,226		411
Staples		4,100		53
Tesla Motors * (A)		5,500		172
Thor Industries (A)		3,600		99
Toll Brothers * (A)		7,800		232
Tractor Supply		1,000		83
True Religion Apparel		200		6
Tupperware Brands		2,400		131
Ulta Salon Cosmetics &
Fragrance		1,580		148
Urban Outfitters *		17,861		493
Whirlpool		2,480		152


Description	Shares		Market Value ($ Thousands)

WMS Industries *		18,499	$	369

				11,960


Consumer Staples — 5.3%
Archer-Daniels-Midland		2,800		83
Bunge		2,500		157
Coca-Cola Enterprises		18,444		517
Constellation Brands, Cl A *		13,843		375
Energizer Holdings *		5,381		405
Green Mountain Coffee Roasters *
(A)		4,820		105
Herbalife		3,500		169
Hormel Foods		2,600		79
Ingredion		2,700		134
JM Smucker		4,716		356
Kroger		22,443		521
Lorillard		410		54
Molson Coors Brewing, Cl B		13,447		559
Monster Beverage *		2,260		161
SYSCO (A)		15,947		475
Tyson Foods, Cl A		8,500		160
Whole Foods Market		700		67

				4,377


Energy — 6.4%
Cameron International *		8,000		342
Concho Resources *		5,680		483
EQT		5,609		301
Helmerich & Payne		400		17
Hess		2,500		109
HollyFrontier		300		11
Laredo Petroleum Holdings * (A)		5,900		123
Marathon Oil		4,200		107
Marathon Petroleum		3,100		139
McDermott International *		19,668		219
Murphy Oil		8,500		427
Nabors Industries *		16,076		232
Newfield Exploration *		16,818		493
Oceaneering International		3,100		148
Pioneer Natural Resources		7,622		672
Plains Exploration & Production *		3,800		134
Range Resources		10,739		664
SEACOR Holdings *		130		12
Tesoro *		6,400		160
Unit *		2,100		77
Valero Energy		7,700		186
Whiting Petroleum *		3,400		140
Williams		3,700		107

				5,303


Financials — 16.2%
Aflac		200		9
Agree Realty †		300		7
Allstate		16,686		585
American Capital Agency † (A)		5,600		188
American Financial Group		2,200		86
Ameriprise Financial		12,419		649
Annaly Capital Management † (A)		6,600		111
Assurant		1,300		45
Axis Capital Holdings		7,300		238
BOK Financial (A)		5,000		291
Camden Property Trust †		2,300		156


Description	Shares		Market Value ($ Thousands)

CBRE Group, Cl A *		5,200	$	85
Chatham Lodging Trust †		1,700		24
CNA Financial		700		19
Comerica		13,606		418
CommonWealth †		7,050		135
Corporate Office Properties Trust†		5,600		132
Digital Realty Trust † (A)		7,420		557
Discover Financial Services		4,200		145
East West Bancorp		3,100		73
Endurance Specialty Holdings		12,489		479
Fifth Third Bancorp		55,272		741
Franklin Street Properties †		3,300		35
General Growth Properties †		5,900		107
Genworth Financial, Cl A *		12,000		68
Hospitality Properties Trust †		5,600		139
Host Hotels & Resorts † (A)		40,249		637
Huntington Bancshares		23,900		153
Inland Real Estate † (A)		5,800		49
Invesco		3,800		86
Jefferies Group		9,000		117
Jones Lang LaSalle		1,760		124
Keycorp		21,500		166
Liberty Property Trust † (A)		15,568		573
Lincoln National		500		11
Moody’s (A)		9,400		344
NASDAQ OMX Group		4,600		104
Nelnet, Cl A		1,000		23
PartnerRe		7,302		553
ProLogis †		7,977		265
Raymond James Financial (A)		3,600		123
Regions Financial		24,000		162
Reinsurance Group of America,
Cl A		9,843		524
Resource Capital † (A)		2,100		11
RLJ Lodging Trust †		1,400		25
SLM		11,700		184
SunTrust Banks		27,882		675
T. Rowe Price Group (A)		9,700		610
TCF Financial (A)		23,500		270
Unum Group (A)		33,005		631
Vornado Realty Trust †		1,435		120
Waddell & Reed Financial, Cl A		2,700		82
Willis Group Holdings		13,681		499
Winthrop Realty Trust †		2,900		35
XL Group, Cl A		7,600		160
Zions Bancorporation (A)		27,197		528

				13,366


Health Care — 11.2%
Agilent Technologies		10,700		420
Alexion Pharmaceuticals *		4,400		437
AmerisourceBergen		8,447		332
Boston Scientific *		9,300		53
Brookdale Senior Living, Cl A *		15,700		279
Bruker BioSciences *		15,000		200
C.R. Bard		1,700		183
CareFusion *		21,020		540
Charles River Laboratories International *		700		23
Cigna		4,400		194
Elan ADR *		7,700		112


Description	Shares		Market Value ($ Thousands)

Endo Pharmaceuticals Holdings *		100	$	3
Health Net *		9,100		221
HealthSouth *		21,497		500
Hill-Rom Holdings		3,900		120
Hologic *		1,800		32
Humana		7,650		592
Illumina * (A)		4,000		162
Intuitive Surgical *		280		155
Life Technologies *		3,900		175
MEDNAX *		6,391		438
Mettler Toledo International *		690		107
Mylan Laboratories *		500		11
Myriad Genetics *		2,900		69
Onyx Pharmaceuticals *		1,800		119
Patterson		11,074		382
PerkinElmer		3,700		95
Perrigo (A)		3,720		439
Quest Diagnostics		8,136		487
ResMed *		300		9
Sirona Dental Systems *		6,500		293
St. Jude Medical		2,700		108
STERIS		9,340		293
Stryker		300		16
Thermo Fisher Scientific		900		47
Thoratec *		9,000		302
United Therapeutics *		3,100		153
Universal Health Services, Cl B		3,100		134
Valeant Pharmaceuticals International * (A)		6,600		296
Vertex Pharmaceuticals *		4,500		252
Warner Chilcott, Cl A *		900		16
Watson Pharmaceuticals *		6,300		466

				9,265


Industrials — 13.9%
AGCO *		3,400		155
Air Lease, Cl A * (A)		12,500		243
Alliant Techsystems (A)		2,100		106
Armstrong World Industries		4,600		226
Babcock & Wilcox *		5,100		125
Carlisle		8,000		424
Chicago Bridge & Iron		1,400		53
Cintas (A)		12,877		497
Cooper Industries, Cl A		6,000		409
Copart *		2,900		69
Cummins		2,360		229
Dover		10,795		579
DXP Enterprises *		400		17
Eaton		4,100		162
Equifax		3,400		158
Flowserve		3,624		416
Fluor		12,118		598
Fortune Brands Home &
Security *		6,200		138
Hubbell, Cl B		950		74
IHS, Cl A *		2,420		261
JB Hunt Transport Services (A)		6,700		399
KBR		5,100		126
L-3 Communications Holdings		2,280		169
Landstar System		200		10
Lincoln Electric Holdings		1,300		57


Description	Shares		Market Value ($ Thousands)

Manpower		3,000	$	110
MSC Industrial Direct, Cl A		5,770		378
Nielsen Holdings *		7,700		202
Norfolk Southern		400		29
Northrop Grumman		200		13
Oshkosh Truck *		5,900		123
Pall		8,300		455
Parker Hannifin		1,540		118
Republic Services		23,485		621
Rockwell Automation		4,050		267
Roper Industries		270		27
Spirit Aerosystems Holdings, Cl A *		16,216		387
Stanley Black & Decker		7,616		490
Stericycle * (A)		4,100		376
Teleflex		6,860		418
Timken		2,900		133
Toro		600		44
Towers Watson, Cl A		6,563		393
TransDigm Group *		2,400		322
United Continental Holdings *		5,800		141
URS		2,600		91
Valmont Industries		80		10
Wabtec		3,100		242
WW Grainger		2,140		409

				11,499


Information Technology — 14.7%
Adobe Systems *		14,451		468
Alliance Data Systems * (A)		4,870		657
Analog Devices		11,423		430
Arrow Electronics *		2,600		85
Aruba Networks * (A)		12,400		187
Autodesk *		2,700		94
Avago Technologies		16,300		585
Avnet *		4,700		145
BMC Software *		200		9
Brocade Communications Systems *		4,100		20
CA		6,900		187
Citrix Systems *		7,450		625
CoreLogic *		800		15
CoStar Group *		400		32
Dolby Laboratories, Cl A *		1,800		75
F5 Networks *		4,660		464
Factset Research Systems (A)		3,400		316
Fidelity National Information Services		16,934		577
Fiserv *		2,000		144
FleetCor Technologies *		7,100		249
Fortinet *		9,000		209
IAC		3,100		141
Ingram Micro, Cl A *		4,000		70
Intuit		3,500		208
Jabil Circuit		6,500		132
Juniper Networks *		24,229		395
Kla-Tencor		11,500		566
LSI Logic *		20,800		133
Marvell Technology Group		2,900		33
Maxim Integrated Products		3,400		87
Microchip Technology (A)		9,900		328


Description	Shares		Market Value ($ Thousands)

Micros Systems *		5,200	$	266
Molex (A)		14,201		340
NCR *		1,600		36
NetApp *		6,100		194
Nuance Communications * (A)		14,000		334
Nvidia *		5,300		73
OpenTable * (A)		3,300		149
Rackspace Hosting *		3,800		167
Red Hat *		6,400		361
SAIC		2,600		32
Symantec *		44,607		652
Synopsys *		23,980		706
Tech Data *		1,000		48
TIBCO Software *		9,600		287
Total System Services		500		12
VeriFone Holdings *		6,800		225
Vishay Intertechnology * (A)		26,907		254
Xerox		4,500		35
Xilinx		8,600		289

				12,126


Materials — 7.0%
Albemarle		1,600		96
Alcoa (A)		17,700		155
Allegheny Technologies		20,313		648
Celanese, Ser A		1,800		62
CF Industries Holdings		1,120		217
Cliffs Natural Resources (A)		800		39
Commercial Metals		9,300		118
Compass Minerals International		5,216		398
Domtar		1,000		77
Eastman Chemical		2,880		145
FMC		7,200		385
Greif, Cl A		9,256		380
Huntsman		27,356		354
Kronos Worldwide (A)		400		6
Nucor		10,744		407
Owens-Illinois *		25,108		481
Packaging Corp of America		14,950		422
PPG Industries		1,710		182
Reliance Steel & Aluminum		2,700		136
Schnitzer Steel Industries, Cl A		100		3
Sherwin-Williams		5,480		725
Steel Dynamics		8,800		103
WR Grace *		3,700		187

				5,726


Telecommunication Services — 0.0%
MetroPCS Communications *		1,700		10


Utilities — 5.5%
AES *		13,500		173
AGL Resources		14,693		569
Ameren		2,200		74
American Electric Power		600		24
American Water Works		2,400		82
Calpine *		700		12
DTE Energy		200		12
Edison International		8,076		373
Entergy		2,550		173
Great Plains Energy		31,402		673


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

NRG Energy *		5,300	$	92
NV Energy		6,100		107
OGE Energy		1,000		52
Portland General Electric		12,837		342
PPL		7,000		195
Public Service Enterprise Group		2,600		84
SCANA (A)		10,345		495
TECO Energy (A)		27,193		491
Xcel Energy		16,585		471

				4,494

Total Common Stock (Cost $78,390) ($ Thousands)				78,126


AFFILIATED PARTNERSHIP — 13.6%
SEI Liquidity Fund, L.P.
0.150%**†† (B)		11,536,117		11,197

Total Affiliated Partnership (Cost $11,536) ($ Thousands)				11,197


CASH EQUIVALENT — 5.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**††		4,643,612		4,644

Total Cash Equivalent (Cost $4,644) ($ Thousands)				4,644


U.S. TREASURY OBLIGATIONS (C) (D) — 0.2%
U.S. Treasury Bills
0.072%, 09/20/12	$	155		155
0.070%, 11/15/12		29		29

Total U.S. Treasury Obligations (Cost $184) ($ Thousands)				184

Total Investments — 114.1% (Cost $94,754) ($ Thousands) ‡			$	94,151

The open futures contracts held by the Fund at June 30, 2012, are as follows:

Type of Contract

Number of

Contracts

Long

Expiration

Date

Unrealized

Appreciation

($ Thousands)

S&P Mid 400 Index E-MINI

Sep-2012

Percentages are based on Net Assets of $82,546 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at June 30, 2012. The total market value of securities on loan at June 30, 2012 was $11,537 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $11,197 ($ 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 contracts.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

Ser — Series

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $94,754 ($ Thousands), and the unrealized appreciation and depreciation were $5,950 ($ Thousands) and ($6,553) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	78,126	$	—	$	—	$	78,126
Affiliated Partnership		—		11,197		—		11,197
Cash Equivalent		4,644		—		—		4,644
U.S. Treasury Obligations		—		184		—		184

Total Investments in Securities	$	82,770	$	11,381	$	—	$	94,151


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	62	$	—	$	—	$	62

Total Other Financial Instruments	$	62	$	—	$	—	$	62

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

For the period ended June 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended June 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.9%

Consumer Discretionary — 8.3%
Aaron’s		43,772	$	1,239
Advance Auto Parts		29,611		2,020
Autozone *		9,992		3,669
Best Buy		34,200		717
Big Lots *		28,000		1,142
Choice Hotels International		47,900		1,913
Cinemark Holdings		36,700		839
DIRECTV, Cl A *		103,000		5,028
Discovery Communications, Cl A *		23,900		1,291
Dollar General *		38,996		2,121
Dollar Tree *		65,954		3,549
Expedia		60,288		2,898
Family Dollar Stores		2,481		165
GameStop, Cl A		59,100		1,085
Gap		63,600		1,740
Garmin		6,917		265
H&R Block		214,900		3,434
Kohl’s		57,600		2,620
Panera Bread, Cl A *		11,400		1,589
PetMed Express		61,800		752
priceline.com *		6,002		3,988
Regal Entertainment Group, Cl A		47,100		648
Scripps Networks Interactive, Cl A		24,000		1,365
Shaw Communications, Cl B		87,100		1,647
Target		74,100		4,312
Time Warner Cable, Cl A		33,400		2,742
Washington Post, Cl B		4,500		1,682

				54,460


Consumer Staples — 19.5%
Altria Group		142,583		4,926
Archer-Daniels-Midland		54,500		1,609
Brown-Forman, Cl B		36,542		3,539
Campbell Soup		13,392		447
Church & Dwight		76,838		4,262
Clorox		64,921		4,704
Coca-Cola Enterprises		220,475		6,182
ConAgra Foods		151,329		3,924
CVS Caremark		82,600		3,860
Dr Pepper Snapple Group		53,800		2,354
Flowers Foods		57,637		1,339
Fresh Del Monte Produce		43,800		1,028
General Mills		31,715		1,222
Harris Teeter Supermarkets		21,700		890
Hershey		92,849		6,688
Hormel Foods		300,571		9,143
Kellogg		21,400		1,056
Kimberly-Clark		67,400		5,646
Kroger		126,700		2,938
Lorillard		66,005		8,710
McCormick		79,476		4,820
Metro, Cl A		51,900		2,654
Molson Coors Brewing, Cl B		76,000		3,162
Monster Beverage *		84,763		6,035
Nash Finch		13,900		299
Philip Morris International		55,450		4,839
Ralcorp Holdings *		16,700		1,115
Reynolds American		205,753		9,232


Description	Shares		Market Value ($ Thousands)

Safeway		145,500	$	2,641
SYSCO		122,927		3,664
TreeHouse Foods *		29,100		1,813
Tyson Foods, Cl A		178,988		3,370
Universal		31,000		1,436
Walgreen		115,700		3,422
Wal-Mart Stores		84,700		5,905

				128,874


Energy — 3.2%
Chevron		63,700		6,720
ConocoPhillips		43,700		2,442
Diamond Offshore Drilling		12,500		739
Exxon Mobil		85,700		7,333
Imperial Oil		42,400		1,769
Phillips 66 *		27,038		899
Sunoco		22,800		1,083

				20,985


Financials — 10.8%
Alleghany *		378		128
Allied World Assurance Holdings		45,823		3,642
American Campus Communities		40,400		1,817
American Capital Agency †		103,891		3,492
Arch Capital Group *		102,073		4,051
BOK Financial		17,200		1,001
Brown & Brown		43,900		1,197
Capitol Federal Financial		85,045		1,010
CBOE Holdings		6,137		170
Chubb		52,400		3,816
Commerce Bancshares		44,802		1,698
Endurance Specialty Holdings		35,500		1,360
Equity Lifestyle Properties †		23,600		1,628
Erie Indemnity, Cl A		6,600		473
Everest Re Group		44,709		4,627
First Citizens BancShares, Cl A		5,278		880
First Niagara Financial Group		55,100		421
Genworth MI Canada		40,500		733
HCC Insurance Holdings		15,200		477
Health Care †		20,200		1,178
Main Street Capital		28,500		690
MFA Financial †		264,674		2,088
NASDAQ OMX Group		21,300		483
National Bank of Canada		32,900		2,348
New York Community Bancorp		42,376		531
PartnerRe		65,349		4,945
PennyMac Mortgage Investment Trust †		67,100		1,324
People’s United Financial		137,994		1,602
Piedmont Office Realty Trust, Cl A †		105,900		1,822
Prosperity Bancshares		24,500		1,030
Realty Income †		44,000		1,838
RenaissanceRe Holdings		28,535		2,169
Senior Housing Properties Trust †		34,600		772
Signature Bank NY *		29,900		1,823
Tanger Factory Outlet Centers †		54,200		1,737
TFS Financial *		182,600		1,744
Tower Group		47,500		991
Travelers		55,300		3,530
Two Harbors Investment †		127,100		1,317
Validus Holdings		102,900		3,296
Washington Federal		9,749		165


Description	Shares		Market Value ($ Thousands)

Washington Real Estate Investment Trust †		12,400	$	353
White Mountains Insurance Group		1,042		544

				70,941


Health Care — 19.8%
Abbott Laboratories		175,922		11,342
Aetna		57,900		2,245
Alexion Pharmaceuticals *		57,278		5,688
AmerisourceBergen		171,789		6,760
Amgen		141,937		10,367
AstraZeneca		56,700		2,537
Baxter International		52,700		2,801
Becton Dickinson		53,064		3,967
Biogen Idec *		4,723		682
Cardinal Health		165,270		6,941
Celgene *		16,700		1,071
Cooper		6,600		526
Coventry Health Care		21,700		690
Edwards Lifesciences *		5,600		578
Eli Lilly		177,787		7,629
Endo Pharmaceuticals Holdings *		80,100		2,482
Gilead Sciences *		43,600		2,236
Health Net *		29,900		726
Henry Schein *		21,308		1,672
Humana		18,500		1,433
Johnson & Johnson		86,100		5,817
LifePoint Hospitals *		32,800		1,344
Lincare Holdings		53,300		1,813
Magellan Health Services *		27,800		1,260
McKesson		94,618		8,870
Medtronic		52,100		2,018
Merck		166,700		6,960
Owens & Minor		23,200		711
Par Pharmaceutical *		24,300		878
Patterson		52,700		1,817
Pfizer		240,100		5,522
SXC Health Solutions *		35,250		3,497
Techne		74,766		5,548
United Therapeutics *		93,100		4,597
UnitedHealth Group		58,500		3,422
WellPoint		34,900		2,226
Zimmer Holdings		31,400		2,021

				130,694


Industrials — 5.3%
Alliant Techsystems		11,500		581
C.H. Robinson Worldwide		30,100		1,762
Clarcor		9,300		448
Clean Harbors *		6,500		367
Copa Holdings, Cl A		10,622		876
Covanta Holding		27,800		477
FTI Consulting *		32,000		920
General Dynamics		24,100		1,590
Hubbell, Cl B		5,800		452
L-3 Communications Holdings		65,900		4,877
Landstar System		33,500		1,733
Lockheed Martin		52,924		4,609
Northrop Grumman		41,600		2,654
Progressive Waste Solutions		57,700		1,092
Raytheon		90,000		5,093
Rollins		84,500		1,890


Description	Shares		Market Value ($ Thousands)

Unifirst		13,700	$	873
Verisk Analytics, Cl A *		41,803		2,059
Waste Connections		36,474		1,091
Watsco		24,900		1,837

				35,281


Information Technology — 7.5%
Activision Blizzard		275,600		3,304
Amdocs		160,641		4,774
CACI International, Cl A *		20,600		1,134
CGI Group, Cl A *		47,400		1,137
Cisco Systems		100,200		1,721
Computer Sciences		29,400		730
Dell *		72,600		909
Diebold		11,900		439
FleetCor Technologies *		3,195		112
Flir Systems		76,600		1,494
Harris		75,300		3,151
Hewlett-Packard		60,900		1,225
IAC		102,272		4,664
Ingram Micro, Cl A *		109,354		1,910
Intel		153,300		4,085
International Business Machines		23,096		4,517
Jack Henry & Associates		11,900		411
Maxim Integrated Products		34,000		872
Microsoft		152,500		4,665
SAIC		298,000		3,612
Tech Data *		46,820		2,255
Total System Services		74,400		1,780
Zebra Technologies, Cl A *		15,800		543

				49,444


Materials — 2.6%
Aptargroup		27,900		1,424
Ball		49,000		2,012
Barrick Gold		74,200		2,791
Compass Minerals International		25,200		1,922
Greif, Cl A		13,200		541
Newmont Mining		29,955		1,453
Packaging Corp of America		28,400		802
Royal Gold		46,818		3,671
Silgan Holdings		39,100		1,669
Sonoco Products		26,000		784

				17,069


Telecommunication Services — 3.3%
AT&T		221,100		7,884
BCE		61,900		2,549
NTT DoCoMo ADR		89,100		1,483
Rogers Communications, Cl B		61,000		2,209
SBA Communications, Cl A *		16,000		913
SK Telecom		191,000		2,311
Verizon Communications		40,500		1,800
Vodafone Group ADR		99,900		2,815

				21,964


Utilities — 15.6%
AGL Resources		22,900		887
Alliant Energy		65,500		2,985
Ameren		71,700		2,405
American Electric Power		109,000		4,349
American Water Works		161,127		5,523
Atmos Energy		123,200		4,321
Avista		49,700		1,327


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Cia de Saneamento Basico do
Estado de Sao Paulo		23,300	$	1,768
CMS Energy		121,846		2,863
Consolidated Edison		83,429		5,188
DTE Energy		146,773		8,708
Duke Energy		131,700		3,037
Edison International		38,100		1,760
El Paso Electric		67,600		2,242
Entergy		53,869		3,657
Exelon		36,700		1,381
Great Plains Energy		94,600		2,025
Hawaiian Electric Industries		83,886		2,392
Idacorp		35,100		1,477
Integrys Energy Group		43,858		2,494
ITC Holdings		5,798		400
NextEra Energy		13,867		954
Northeast Utilities		103,985		4,036
OGE Energy		11,000		570
Pepco Holdings		48,000		939
PG&E		135,100		6,116
Piedmont Natural Gas		18,900		608
Pinnacle West Capital		32,026		1,657
Portland General Electric		111,200		2,965
Public Service Enterprise Group		80,100		2,603
SCANA		66,240		3,169
Sempra Energy		27,900		1,922
Southern		98,480		4,560
TECO Energy		25,900		468
UGI		100,070		2,945
Vectren		61,000		1,801
WGL Holdings		35,800		1,423
Wisconsin Energy		123,512		4,887

				102,812

Total Common Stock (Cost $540,271) ($ Thousands)				632,524


CASH EQUIVALENT — 3.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		24,425,900		24,426

Total Cash Equivalent (Cost $24,426) ($ Thousands)				24,426


U.S. TREASURY OBLIGATION (A) (B) — 0.2%
U.S. Treasury Bills
0.056%, 09/20/12	$	1,205		1,205

Total U.S. Treasury Obligation (Cost $1,205) ($ Thousands)				1,205

Total Investments — 99.8% (Cost $565,902) ($ Thousands)‡			$	658,155

The open futures contracts held by the Fund at June 30, 2012, are as follows:

Type of Contract

Number of
Contracts

Long (Short)

Expiration
Date

Unrealized
Appreciation

($ Thousands)

S&P 500 Index EMINI

319

Sep-2012

655

Percentages are based on Net Assets of $659,548 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

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 contracts.

ADR — American Depositary Receipt

Cl — Class

S&P — Standard & Poor’s

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $565,902 ($ Thousands), and the unrealized appreciation and depreciation were $106,297 ($ Thousands) and ($14,044) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	632,524	$	—	$	—	$	632,524
Cash Equivalent		24,426		—		—		24,426
U.S. Treasury Obligations		—		1,205		—		1,205

Total Investments in Securities	$	656,950	$	1,205	$	—	$	658,155


Other Financial Instruments	Level 1		Level 2		Level3		Total
Futures Contracts *	$	655	$	—	$	—	$	655

Total Other Financial Instruments	$	655	$	—	$	—	$	655

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

For the period ended June 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended June 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 91.5%

Australia — 6.5%
AGL Energy (A)		345,482	$	5,258
Amcor (A)		208,754		1,526
ARB (A)		99,744		934
CFS Retail Property Trust † (A)		1,249,278		2,497
Coca-Cola Amatil (A)		203,306		2,798
CSL (A)		195,858		7,956
DuluxGroup (A)		27,003		84
Echo Entertainment Group (A)		299,912		1,324
Goodman Group † (A)		98,905		375
GPT Group † (A)		51,751		175
Hansen Technologies (A)		41,039		39
Iluka Resources (A)		7,887		93
McPherson’s (A)		16,139		27
Metcash (A)		1,878,658		6,518
Mirvac Group † (A)		504,951		665
QR National (A)		283,864		996
Regis Resources * (A)		154,085		622
SP AusNet (A)		1,754,140		1,841
Stockland † (A)		616,608		1,960
TABCORP Holdings (A)		608,494		1,838
Tatts Group (A)		1,241,457		3,351
Telstra (A)		1,046,325		3,970
Troy Resources * (A)		73,908		298
Washington H Soul Pattinson (A)		7,318		104
Westfield Retail Trust † (A)		273,536		804
Woolworths (A)		92,697		2,556

				48,609


Austria — 0.1%
Oesterreichische Post (A)		27,131		914


Belgium — 1.0%
Belgacom (A)		111,053		3,167
Colruyt (A)		43,330		1,939
Delhaize Group (A)		17,127		629
Intervest Offices † (A)		868		21
Mobistar (A)		52,074		1,788

				7,544


Canada — 11.7%
Alimentation Couche Tard, Cl B		112,116		4,889
Atco, Cl I		1,700		120
Barrick Gold		49,483		1,861
BCE		173,461		7,145
Bell Aliant		171,284		4,289
Brookfield Office Properties		3,420		60
Canadian National Railway		16,999		1,436
Canadian Tire, Cl A		39,480		2,667
Canadian Utilities, Cl A		20,108		1,311
Cash Store Financial Services		5,200		31
Centerra Gold		4,250		30
CGI Group, Cl A *		73,998		1,776
Cogeco Cable		1,900		86
Constellation Software		1,900		173
Empire, Cl A		75,950		3,998
Fairfax Financial Holdings		1,244		492
Franco-Nevada		35,085		1,585
Genworth MI Canada		7,774		141
George Weston		47,518		2,696


Description	Shares		Market Value ($ Thousands)

IGM Financial		2,073	$	81
Intact Financial, Cl Common Subscription Receipt		6,012		374
Jean Coutu Group PJC, Cl A		35,500		524
K-Bro Linen		4,265		100
Manitoba Telecom Services		140,974		4,586
Maple Leaf Foods		9,500		109
Metro, Cl A		140,232		7,171
National Bank of Canada		30,369		2,168
North West		51,804		1,106
Paladin Labs *		1,100		52
Premium Brands Holdings		4,500		81
RioCan Real Estate Investment Trust †		50,534		1,373
Rogers Communications, Cl B		185,382		6,712
Rogers Sugar		27,052		154
Saputo		126,739		5,263
Sears Canada *		4,500		45
Shaw Communications, Cl B		12,438		235
Shoppers Drug Mart		3,900		157
TELUS, Cl A		73,000		4,266
Tim Hortons		66,547		3,503
TMX Group		84,267		3,835
TransAlta		103,339		1,749
TransCanada		75,664		3,167
Valener		33,226		498
Yamana Gold		319,076		4,917

				87,012


Denmark — 2.4%
Coloplast, Cl B (A)		38,045		6,860
H Lundbeck (A)		34,972		725
Novo Nordisk, Cl B (A)		53,950		7,847
TDC (A)		355,489		2,478

				17,910


Finland — 1.0%
Elisa (A)		190,505		3,847
Olvi, Cl A (A)		1,700		40
Orion, Cl B (A)		201,364		3,825

				7,712


France — 0.7%
Boiron (A)		6,078		158
Bonduelle S.C.A. (A)		1,532		129
Canal Plus (A)		13,049		71
Sartorius Stedim Biotech (A)		1,980		146
Societe BIC (A)		41,348		4,283
Tessi (A)		1,012		92
Vilmorin & Cie (A)		5,040		536

				5,415


Germany — 0.6%
Carl Zeiss Meditec (A)		45,263		1,095
Constantin Medien *		14,561		28
Hornbach Holding (A)		434		32
KWS Saat (A)		235		61
Sto (A)		367		53
Suedzucker (A)		84,806		3,017

				4,286


Description	Shares		Market Value ($ Thousands)

Guernsey — 0.1%
Amdocs		15,421	$	458

				458


Hong Kong — 2.7%
CLP Holdings (A)		831,000		7,064
HKT Trust (A)		29,478		23
Link † (A)		1,566,500		6,422
Power Assets Holdings (A)		852,500		6,398
Skyfame Realty Holdings * (A)		1,312,000		90
Transport International Holdings (A)		14,000		27

				20,024


Ireland — 0.1%
James Hardie Industries (A)		93,058		768
Kerry Group, Cl A (A)		4,655		205

				973


Israel — 1.0%
Check Point Software Technologies *		72,896		3,615
El Al Israel Airlines * (A)		65,866		7
Formula Systems 1985 * (A)		3,851		62
Hot Telecommunication
System (A)		3,602		28
Orbotech *		7,977		61
Osem Investments (A)		15,360		211
Silicom *		10,545		146
Teva Pharmaceutical Industries (A)		86,781		3,423

				7,553


Italy — 0.2%
CSP International Fashion Group		1,207		1
Recordati (A)		81,516		583
Reply (A)		1,356		30
Snam Rete Gas (A)		231,617		1,041

				1,655


Japan — 17.0%
Ai Holdings (A)		15,700		85
Ajinomoto (A)		15,000		209
Ajis (A)		1,300		18
Alfresa Holdings (A)		12,200		649
Alpen (A)		7,500		147
Aoyama Trading (A)		6,400		132
Aozora Bank (A)		85,000		203
Artnature (A)		3,900		49
Asahi Group Holdings (A)		26,500		570
Asahi Net (A)		9,000		42
Autobacs Seven (A)		14,700		721
Avex Group Holdings (A)		18,100		268
Benefit One (A)		79		72
Benesse (A)		11,400		511
BML (A)		2,800		70
Can Do (A)		140		175
Central Japan Railway (A)		400		3,156
Chiyoda (A)		11,200		243
Coca-Cola Central Japan (A)		41,636		543
Coca-Cola West Holdings (A)		11,800		206
Cocokara fine (A)		2,800		93


Description	Shares		Market Value ($ Thousands)

Daihatsu Motor (A)		30,000	$	526
Dainichi (A)		5,100		44
Daito Trust Construction (A)		49,700		4,720
DCM Holdings (A)		12,400		88
Doutor Nichires Holdings (A)		10,700		137
Dydo Drinco		10,500		458
Electric Power Development (A)		49,000		1,290
FamilyMart (A)		58,400		2,678
Fancl * (A)		54,200		678
Fuji Oil (A)		95,400		1,249
Geo (A)		81		90
Gree (A)		49,800		992
Hachijuni Bank (A)		77,000		401
Hakuhodo DY Holdings (A)		9,230		614
Haruyama Trading (A)		2,000		13
Hiday Hidaka (A)		3,720		61
Hino Motors (A)		70,000		508
HIS (A)		4,400		157
House Foods (A)		18,900		322
Idemitsu Kosan (A)		32,600		2,929
Infocom (A)		195		215
Ito En (A)		38,700		727
Itochu Techno-Solutions (A)		11,200		541
Itochu-Shokuhin (A)		3,900		146
Japan Retail Fund Investment, Cl A † (A)		943		1,499
Japan Tobacco (A)		82,400		2,446
J-Oil Mills (A)		56,000		169
Jupiter Telecommunications		197		201
Kaken Pharmaceutical (A)		22,000		309
Kamigumi (A)		178,000		1,419
Kao (A)		283,100		7,821
Kasumi (A)		16,300		112
Kato Sangyo (A)		4,100		83
KDDI (A)		222		1,434
Kewpie (A)		230,300		3,504
Kissei Pharmaceutical (A)		25,300		452
Kobayashi Pharmaceutical (A)		68,300		3,805
Kokuyo (A)		19,000		142
Komatsu Seiren (A)		5,000		23
Kose		55,100		1,307
KYORIN Holdings (A)		31,000		655
Lawson (A)		52,000		3,643
Lion		611,400		3,362
Mandom (A)		21,500		547
Marudai Food (A)		82,000		314
Maruzen Showa Unyu (A)		7,000		22
Matsuya Foods (A)		16,600		312
Maxvalu Tokai (A)		3,300		46
McDonald’s Holdings Japan (A)		182,800		5,155
Medipal Holdings (A)		34,600		491
Mikuni Coca-Cola Bottling (A)		19,700		171
Ministop (A)		14,100		245
Miraca Holdings (A)		94,800		3,943
Mitsubishi Shokuhin (A)		3,000		76
Mizuno (A)		8,000		43
Mochida Pharmaceutical (A)		6,000		69
Morinaga Milk Industry (A)		83,025		318
MOS Food Services (A)		4,000		78
Namco Bandai Holdings (A)		291,200		4,001


Description	Shares		Market Value ($ Thousands)

NEC Mobiling (A)		1,700	$	67
Nexon * (A)		24,800		486
Nichii Gakkan (A)		15,500		144
Nichireki (A)		5,000		26
Nihon Shokuhin Kako (A)		2,000		9
Nippon Express (A)		14,000		58
Nippon Telegraph & Telephone (A)		65,600		3,065
Nitori Holdings (A)		11,150		1,056
Noevir Holdings (A)		4,800		57
NTT DoCoMo (A)		3,178		5,298
Ohsho Food Service (A)		3,400		83
Okumura (A)		11,000		40
Ono Pharmaceutical (A)		12,900		812
Oracle Japan (A)		43,200		1,863
Osaka Gas (A)		879,000		3,689
Otsuka Holdings (A)		165,900		5,102
Plenus (A)		10,200		196
Pola Orbis Holdings (A)		39,400		1,220
Resorttrust (A)		4,700		79
Rinnai (A)		8,500		587
Rock Field (A)		3,300		62
Rohto Pharmaceutical (A)		6,000		78
Saizeriya (A)		30,700		487
San-A, Cl A (A)		1,400		53
Santen Pharmaceutical (A)		37,400		1,540
Secom (A)		500		23
Sekisui Chemical (A)		274,000		2,550
Seven Bank (A)		810,900		2,086
Shimachu (A)		46,500		1,020
Shizuoka Gas (A)		46,500		311
Sugi Holdings (A)		44,200		1,453
Sumitomo Forestry (A)		9,200		83
Suzuken (A)		47,000		1,590
Toho Gas (A)		355,000		2,207
Toho Holdings (A)		10,100		205
Tokai (A)		2,800		65
TonenGeneral Sekiyu (A)		285,000		2,539
Torii Pharmaceutical (A)		3,200		70
Toyo Suisan Kaisha (A)		32,000		855
Tsuruha Holdings (A)		22,800		1,420
USS (A)		4,370		472
Valor (A)		3,800		63
West Japan Railway (A)		2,800		115
Yamato Holdings (A)		96,900		1,563
Yamazaki Baking (A)		401,000		5,261
Yellow Hat (A)		8,400		143

				126,214


Jersey — 0.2%
Shire (A)		43,183		1,244


Luxembourg — 0.2%
Altisource Portfolio Solutions *		6,546		480
Millicom International Cellular (A)		6,558		620

				1,100


Netherlands — 0.9%
Koninklijke Ahold (A)		198,832		2,470
Royal Dutch Shell, Cl A (A)		119,989		4,061

				6,531


Description	Shares		Market Value ($ Thousands)

New Zealand — 0.6%
Auckland International Airport (A)		286,477	$	564
Chorus * (A)		293,122		744
Port of Tauranga (A)		37,108		331
Restaurant Brands New Zealand (A)		21,157		35
Sky City Entertainment Group (A)		175,649		482
Sky Network Television (A)		12,841		50
Telecom Corp of New Zealand (A)		1,342,061		2,566

				4,772


Portugal — 0.2%
EDP - Energias de Portugal (A)		496,511		1,178
Portucel Empresa Produtora de Pasta e Papel (A)		122,445		299
Semapa-Sociedade de Investimento e Gestao (A)		25,343		159

				1,636


Singapore — 0.8%
Ascendas Real Estate Investment
Trust † (A)		824,000		1,406
ComfortDelGro (A)		279,000		342
MobileOne (A)		61,000		124
Singapore Telecommunications (A)		302,000		791
StarHub (A)		1,065,000		2,886
UOL Group (A)		72,000		282

				5,831


Spain — 1.1%
Ebro Foods (A)		165,051		2,849
Enagas (A)		34,530		632
Viscofan (A)		102,756		4,428

				7,909


Sweden — 1.0%
AarhusKarlshamn (A)		2,594		89
Acando (A)		48,859		98
Axfood (A)		95,020		3,029
Industrial & Financial Systems Cl B (A)		2,550		40
Loomis, Cl B (A)		5,690		70
Swedish Match (A)		108,092		4,366

				7,692


Switzerland — 1.7%
Allreal Holding		4,978		727
Basler Kantonalbank		949		110
Bell (A)		46		90
Emmi (A)		1,224		251
Intershop Holdings		392		135
Lindt & Spruengli (A)		8		295
Mobilezone Holding (A)		28,743		286
Nestle (A)		72,337		4,329
Orior (A)		660		33
Roche Holding (A)		261		45
Schindler Holding (A)		538		61
Siegfried Holding (A)		842		101
Swisscom (A)		14,975		6,050
Vetropack Holding (A)		17		30

				12,543


Description	Shares		Market Value ($ Thousands)


United Kingdom — 9.5%
Associated British Foods (A)		217,240	$	4,378
AstraZeneca (A)		183,805		8,226
British American Tobacco (A)		27,298		1,390
British Sky Broadcasting Group (A)		71,418		780
Centrica (A)		1,732,437		8,675
Cranswick (A)		47,904		614
Devro (A)		143,658		683
Drax Group (A)		44,959		396
Gem Diamonds * (A)		23,450		72
GlaxoSmithKline (A)		33,924		772
Greggs (A)		230,091		1,820
Imperial Tobacco Group (A)		97,113		3,747
JD Sports Fashion (A)		2,922		33
LSL Property Services (A)		9,779		36
National Grid (A)		406,851		4,318
Pennon Group (A)		82,645		991
Reckitt Benckiser Group (A)		86,581		4,583
Royal Dutch Shell, Cl A (A)		94,318		3,183
Scottish & Southern Energy (A)		246,451		5,384
Synergy Health (A)		46,324		656
Tate & Lyle (A)		58,253		592
Telecom Plus (A)		7,780		104
Unilever (A)		146,354		4,921
United Utilities Group (A)		310,163		3,290
Vodafone Group (A)		1,863,819		5,246
WM Morrison Supermarkets (A)		1,283,872		5,365

				70,255


United States — 30.2%
Abbott Laboratories		81,527		5,256
Acorda Therapeutics *		7,128		168
Advance Auto Parts		37,718		2,573
Alaska Air Group *		18,300		657
Allegiant Travel, Cl A *		1,417		99
Altria Group		124,488		4,301
Ameren		33,236		1,115
American Electric Power		84,544		3,373
American States Water		32,523		1,287
AmerisourceBergen		69,447		2,733
Amgen		74,867		5,468
Andersons		6,076		259
Arctic Cat *		2,744		100
AT&T		123,542		4,406
Autozone *		20,266		7,441
Bemis		23,570		739
Bob Evans Farms		3,707		149
Booz Allen Hamilton Holding, Cl A		11,127		170
Bristol-Myers Squibb		104,827		3,769
C.R. Bard		14,673		1,577
California Water Service Group		8,266		153
Cal-Maine Foods		11,474		449
Campbell Soup		79,202		2,644
Cardinal Health		36,364		1,527
Carmike Cinemas *		5,793		85
Celgene *		5,113		328
CH Energy Group		11,319		743
Chemed		6,782		410


Description	Shares		Market Value ($ Thousands)

Chesapeake Utilities		25,527	$	1,116
Church & Dwight		80,071		4,441
Churchill Downs		1,348		79
Citi Trends *		5,593		86
Cleco		12,208		511
Clorox		70,697		5,123
Colgate-Palmolive		39,997		4,164
CommonWealth †		19,902		380
ConAgra Foods		147,912		3,835
Consolidated Communications Holdings		5,219		77
Consolidated Edison		68,433		4,256
Coresite Realty †		4,222		109
CSG Systems International *		4,843		84
Delek US Holdings		6,746		119
Dollar Tree *		111,926		6,021
Dr Pepper Snapple Group		128,413		5,618
DTE Energy		63,538		3,770
Duke Energy		44,778		1,032
El Paso Electric		27,863		924
Eli Lilly		103,607		4,446
ePlus *		1,500		48
Family Dollar Stores		950		63
Forest Laboratories *		9,971		349
Fred’s, Cl A		5,671		87
Fresh Del Monte Produce		7,453		175
GameStop, Cl A		98,855		1,815
General Mills		28,270		1,089
Getty Realty †		4,770		91
Hatteras Financial †		136,665		3,909
Hawaiian Electric Industries		29,943		854
Hawaiian Holdings *		13,083		85
Heartland Payment Systems		8,942		269
Hershey		28,864		2,079
Home Loan Servicing Solutions		37,758		506
Hormel Foods		229,038		6,967
Hot Topic		7,237		70
ICU Medical *		4,370		233
Integrated Silicon Solution *		8,321		84
John B Sanfilippo & Son *		7,000		125
Johnson & Johnson		63,106		4,263
Kaiser Federal Financial Group		5,945		88
Kimberly-Clark		125,380		10,503
Kraft Foods, Cl A		96,166		3,714
Kroger		234,412		5,436
Kulicke & Soffa Industries *		22,006		196
Laclede Group		90,870		3,618
Lorillard		38,720		5,109
Magellan Health Services *		17,346		786
Mantech International, Cl A		7,069		166
MAXIMUS		6,662		345
Maxygen *		22,149		132
Medcath		43,046		322
Merck		79,699		3,327
MGE Energy		2,536		120
Minerals Technologies		2,691		171
Momenta Pharmaceuticals *		7,977		108
Mortgage Investment Trust †		32,351		695
National Beverage *		14,128		211
Neutral Tandem *		6,139		81


Description	Shares		Market Value ($ Thousands)

New Mountain Finance *		6,952	$	99
Northwest Natural Gas		8,661		412
Obagi Medical Products *		9,124		139
Oil-Dri Corp of America		3,429		75
O’Reilly Automotive *		14,977		1,255
Oritani Financial		6,397		92
Orthofix International *		2,861		118
Papa John’s International *		40,689		1,936
PDL BioPharma		101,440		673
PepsiCo		47,241		3,338
PG&E		94,297		4,269
Philip Morris International		49,000		4,276
Photronics *		13,900		85
Piedmont Office Realty Trust, Cl A †		34,905		601
Pinnacle West Capital		40,948		2,119
Portland General Electric		153,483		4,092
Procter & Gamble		59,182		3,625
Public Service Enterprise Group		101,811		3,309
Reading International, Cl A *		16,183		87
Regal Entertainment Group, Cl A		33,561		462
Republic Airways Holdings *		14,203		79
Reynolds American		27,330		1,226
Rockville Financial		8,142		94
Ruth’s Chris Steak House *		12,637		83
Safeway		207,900		3,774
Saia *		4,458		97
Schiff Nutrition International *		15,935		286
Schweitzer-Mauduit International		2,199		150
Seneca Foods, Cl A *		19,621		528
Skechers U.S.A., Cl A *		13,695		279
Smith & Wesson Holding *		17,976		150
Southern		99,751		4,618
Southside Bancshares		5,793		130
Stepan		847		80
Susser Holdings *		22,144		823
Sypris Solutions		12,145		85
Tech Data *		30,928		1,490
Territorial Bancorp		7,233		165
TNS *		4,597		82
Tyson Foods, Cl A		191,532		3,607
Unitil		2,986		79
Universal		62,389		2,891
US Cellular *		7,190		278
Vector Group		10,121		172
Vectren		40,275		1,189
Verizon Communications		104,351		4,637
Wal-Mart Stores		64,011		4,463
Wausau Paper		8,840		86
WD-40		1,897		94
Weis Markets		31,898		1,420
Xcel Energy		149,428		4,245

				224,901

Total Common Stock (Cost $619,601) ($ Thousands)				680,693


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

CASH EQUIVALENT — 7.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**††		55,153,316	$	55,153

Total Cash Equivalent (Cost $55,153) ($ Thousands)				55,153


U.S. TREASURY OBLIGATIONS (B) (C) — 0.5%
U.S. Treasury Bills
0.074%, 09/20/12	$	1,280		1,280
0.072%, 09/06/12		2,072		2,072
0.040%, 08/23/12		204		204

Total U.S. Treasury Obligations (Cost $3,556) ($ Thousands)				3,556


	Number of Rights

RIGHTS — 0.0%
Echo Entertainment Expires 07/11/12 *		59,982		60

Total Rights (Cost $—) ($Thousands)				60

Total Investments — 99.4% (Cost $678,310) ($ Thousands) ‡			$	739,462

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
DJ Euro Stoxx 50 Index		316		Sep-2012	$	473
FTSE 100 Index		92		Sep-2012		149
Hang Seng Index		10		Jul-2012		33
S&P 500 Index EMINI		498		Sep-2012		1,070
SPI 200 Index		36		Sep-2012		35
Topix Index		63		Sep-2012		411

					$	2,171

For the period ended June 30, 2012, 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.

A list of the outstanding forward foreign currency contracts held by the Fund at June 30, 2012, are as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
7/30/12	AUD	55,429		USD	55,406	$	(1,249	)
7/30/12	CAD	94,314		USD	91,671		(809	)
7/30/12	CHF	12,994		USD	13,498		(245	)
7/30/12	DKK	117,515		USD	19,726		(352	)
7/30/12	EUR	41,090		USD	51,264		(886	)
7/30/12	GBP	50,624		USD	78,938		(446	)
7/30/12	HKD	165,826		USD	21,373		(7	)
7/30/12	JPY	11,118,569		USD	139,938		500
7/30/12	NZD	6,797		USD	5,351		(100	)
7/30/12	SEK	62,450		USD	8,805		(236	)
7/30/12	SGD	7,979		USD	6,233		(67	)
7/30/12	USD	1,502		AUD	1,477		8
7/30/12	USD	1,702		CAD	1,738		3
7/30/12	USD	283		CHF	268		1
7/30/12	USD	434		DKK	2,549		2
7/30/12	USD	1,139		EUR	900		4
7/30/12	USD	1,331		GBP	849		1
7/30/12	USD	1,144		JPY	90,854		(5	)
7/30/12	USD	137		NZD	172		1

						$	(3,882	)

A list of the counterparties for the open forward foreign currency contracts held by the Fund at June 30, 2012, is as follows:


Counterparty	Currency to Deliver ($ Thousands)	Currency to Receive ($ Thousands)	Unrealized (Depreciation) ($ Thousands)
Brown Brothers Harriman	(504,186)	500,304	$	(3,882	)

Percentages are based on Net Assets of $743,722 ($Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

(A)

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 June 30, 2012 was $362,817 ($ Thousands) and represented 48.78% of Net Assets.

(B)

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

(C)

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

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Denmark Krone

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound

HKD — Hong Kong Dollar

JPY — Japanese Yen

NZD — New Zealand Dollar

S&P — Standard & Poor’s

SEK — Sweden Krona

SGD — Singapore Dollar

SPI — Swiss Performance Index

USD — United States Dollar

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $678,310 ($ Thousands), and the unrealized appreciation and depreciation were $75,432 ($ Thousands) and ($14,280) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	680,693	$	—	$	—	$	680,693
Cash Equivalent		55,153		—		—		55,153
U.S. Treasury Obligations		—		3,556		—		3,556
Right		60		—		—		60

Total Investments in Securities	$	735,906	$	3,556	$	—	$	739,462


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	2,171	$	—	$	—	$	2,171
Forwards Contracts *		—		3,882		—		3,882

Total Other Financial Instruments	$	2,171	$	3,882	$	—	$	6,053

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.3%

Consumer Discretionary — 6.7%
Aaron’s		20,500	$	580
Advance Auto Parts		16,400		1,119
Best Buy		32,800		687
Big Lots *		16,600		677
Choice Hotels International		27,600		1,102
Cinemark Holdings		22,200		507
Cogeco Cable		10,500		477
DIRECTV, Cl A *		62,400		3,046
Discovery Communications, Cl A *		13,000		702
DISH Network, Cl A		19,100		545
Dollar Tree *		7,080		381
GameStop, Cl A		30,700		564
Gap		35,400		969
H&R Block		99,300		1,587
Hasbro		22,000		745
Kohl’s		31,600		1,437
McDonald’s		29,013		2,569
Panera Bread, Cl A *		7,000		976
priceline.com *		1,498		995
Regal Entertainment Group, Cl A		24,600		339
Scripps Networks Interactive, Cl A		15,100		859
Shaw Communications, Cl B		55,500		1,050
Target		41,000		2,386
Time Warner Cable, Cl A		18,400		1,511
Washington Post, Cl B		2,700		1,009

				26,819


Consumer Staples — 23.5%
Altria Group		99,455		3,436
Archer-Daniels-Midland		38,400		1,133
Brown-Forman, Cl B		28,552		2,765
Campbell Soup		34,308		1,145
Church & Dwight		79,799		4,427
Clorox		14,641		1,061
Coca-Cola		31,250		2,443
Coca-Cola Enterprises		49,400		1,385
Colgate-Palmolive		32,072		3,339
ConAgra Foods		58,000		1,504
Costco Wholesale		38,401		3,648
CVS Caremark		46,000		2,150
Dr Pepper Snapple Group		24,500		1,072
Flowers Foods		29,200		678
Fresh Del Monte Produce		27,300		641
General Mills		74,562		2,874
Harris Teeter Supermarkets		15,800		648
Hershey		35,535		2,560
HJ Heinz		25,257		1,373
Hormel Foods		161,298		4,907
JM Smucker		23,738		1,793
Kellogg		31,847		1,571
Kimberly-Clark		76,439		6,403
Kroger		83,964		1,947
Lorillard		43,693		5,765
McCormick		50,020		3,034
Metro, Cl A		26,900		1,375
Molson Coors Brewing, Cl B		35,200		1,465
Monster Beverage *		12,800		911
Nash Finch		11,300		243


Description	Shares		Market Value ($ Thousands)

PepsiCo		28,696	$	2,028
Philip Morris International		38,511		3,360
Procter & Gamble		41,097		2,517
Ralcorp Holdings *		10,200		681
Reynolds American		115,866		5,199
Safeway		72,200		1,310
TreeHouse Foods *		17,700		1,102
Tyson Foods, Cl A		52,000		979
Universal		12,100		561
Walgreen		60,600		1,793
Wal-Mart Stores		101,484		7,075

				94,301


Energy — 3.0%
Chevron		37,600		3,967
ConocoPhillips		24,300		1,358
Diamond Offshore Drilling		8,600		508
Exxon Mobil		49,300		4,219
Imperial Oil		23,300		972
Phillips 66 *		12,150		404
Sunoco		13,400		636

				12,064


Financials — 10.8%
Allied World Assurance Holdings		12,500		993
American Campus
Communities†		23,500		1,057
Arch Capital Group *		49,676		1,972
Brown & Brown		29,300		799
Capitol Federal Financial		268,352		3,188
Chubb		29,100		2,119
Commerce Bancshares		27,600		1,046
Cullen/Frost Bankers		34,636		1,991
Endurance Specialty Holdings		11,000		421
Equity Lifestyle Properties †		14,200		979
Erie Indemnity, Cl A		6,700		480
Everest Re Group		16,308		1,688
First Citizens BancShares, Cl A		2,500		416
Genworth MI Canada		23,900		432
Government Properties Income Trust †		33,500		758
Hanover Insurance Group		13,000		509
HCC Insurance Holdings		7,500		235
Health Care †		15,200		886
Maiden Holdings †		62,300		541
MFA Financial †		74,300		586
NASDAQ OMX Group		12,500		284
National Bank of Canada		14,300		1,021
PartnerRe		37,200		2,815
People’s United Financial		145,893		1,694
Piedmont Office Realty Trust, Cl A †		62,300		1,072
Prosperity Bancshares		13,700		576
Realty Income †		26,400		1,103
RenaissanceRe Holdings		39,149		2,976
Senior Housing Properties Trust †		13,600		304
Signature Bank NY *		16,300		994
Tanger Factory Outlet Centers †		32,200		1,032
TFS Financial *		179,230		1,712
Tompkins Financial, Cl US		12,200		460
Tower Group		16,700		348
Travelers		30,800		1,966
Two Harbors Investment †		71,700		743
Validus Holdings		53,200		1,704


Description	Shares		Market Value ($ Thousands)

Washington Real Estate Investment Trust †		16,500	$	469
White Mountains Insurance Group		1,370		715

				43,084


Health Care — 16.6%
Abbott Laboratories		76,606		4,939
Aetna		36,100		1,400
Alexion Pharmaceuticals *		40,758		4,047
AmerisourceBergen		73,637		2,898
Amgen		43,900		3,207
AstraZeneca		39,700		1,776
Baxter International		28,000		1,488
Becton Dickinson		14,600		1,092
Cardinal Health		30,400		1,277
Celgene *		9,900		635
Cooper		4,000		319
Coventry Health Care		16,700		531
Edwards Lifesciences *		3,300		341
Eli Lilly		111,762		4,796
Endo Pharmaceuticals Holdings *		46,500		1,440
Gilead Sciences *		24,600		1,262
Greatbatch *		21,800		495
Health Net *		23,200		563
Humana		11,900		921
Johnson & Johnson		79,143		5,347
LifePoint Hospitals *		21,500		881
Lincare Holdings		26,900		915
Magellan Health Services *		13,600		616
McKesson		24,900		2,334
Medtronic		29,000		1,123
Merck		99,900		4,171
Owens & Minor		12,500		383
Par Pharmaceutical *		17,700		640
Patterson		29,800		1,027
PDL BioPharma		96,900		642
Perrigo		9,270		1,093
Pfizer		133,700		3,075
Quest Diagnostics		13,300		797
Techne		36,032		2,674
United Therapeutics *		52,700		2,602
UnitedHealth Group		32,600		1,907
WellPoint		21,900		1,397
Zimmer Holdings		22,700		1,461

				66,512


Industrials — 6.0%
Alliant Techsystems		8,700		440
C.H. Robinson Worldwide		17,700		1,036
Clarcor		4,700		226
Clean Harbors *		3,700		209
Copa Holdings, Cl A		23,592		1,946
Covanta Holding		17,500		300
CSX		28,600		640
FTI Consulting *		19,800		569
General Dynamics		22,900		1,511
L-3 Communications Holdings		37,000		2,738
Landstar System		19,900		1,029
Lockheed Martin		25,000		2,177
Northrop Grumman		23,200		1,480
Progressive Waste Solutions		36,000		681
Raytheon		47,100		2,665


Description	Shares		Market Value ($ Thousands)

Rollins		47,500	$	1,063
Stericycle *		28,724		2,633
Unifirst		7,600		485
Verisk Analytics, Cl A *		21,300		1,049
Watsco		14,200		1,048

				23,925


Information Technology — 9.2%
Activision Blizzard		157,900		1,893
Amdocs		65,100		1,935
Automatic Data Processing		38,461		2,141
BMC Software *		20,200		862
CACI International, Cl A *		11,100		611
CGI Group, Cl A *		27,800		667
Cisco Systems		53,200		914
Computer Sciences		16,400		407
Dell *		94,500		1,183
Diebold		7,300		270
Flir Systems		47,200		920
Google, Cl A *		3,955		2,294
Harris		45,400		1,900
Hewlett-Packard		38,100		766
IAC		72,920		3,325
Ingram Micro, Cl A *		60,300		1,054
Intel		100,500		2,678
International Business Machines		23,118		4,521
Jack Henry & Associates		7,100		245
Maxim Integrated Products		20,900		536
Microchip Technology		20,999		695
Microsoft		89,200		2,729
SAIC		173,600		2,104
Tech Data *		16,700		804
Total System Services		43,300		1,036
VeriSign *		2,982		130
Zebra Technologies, Cl A *		7,200		247

				36,867


Materials — 2.5%
Aptargroup		18,100		924
Ball		26,000		1,067
Barrick Gold		39,300		1,478
Bemis		24,900		780
Compass Minerals International		14,900		1,137
Greif, Cl A		10,500		431
Newmont Mining		26,150		1,268
Packaging Corp of America		19,500		551
Royal Gold		13,019		1,021
Silgan Holdings		23,500		1,003
Sonoco Products		14,500		437

				10,097


Telecommunication Services — 3.3%
AT&T		119,500		4,261
BCE		28,100		1,157
CenturyTel		19,510		771
Iridium Communications *		94,500		847
NTT DoCoMo ADR		59,000		982
Rogers Communications, Cl B		37,500		1,358
SBA Communications, Cl A *		6,200		354
SK Telecom		104,400		1,263
Verizon Communications		24,100		1,071
Vodafone Group ADR		45,100		1,271

				13,335


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

Utilities — 13.7%
AGL Resources		30,364	$	1,176
Alliant Energy		39,900		1,818
Ameren		31,000		1,040
American Electric Power		53,500		2,135
American Water Works		28,800		987
Atmos Energy		66,400		2,329
Avista		22,800		609
Cia de Saneamento Basico do Estado de Sao Paulo		12,900		979
CMS Energy		55,100		1,295
Consolidated Edison		53,063		3,300
Dominion Resources		14,834		801
DTE Energy		30,800		1,827
Duke Energy		49,900		1,151
Edison International		22,900		1,058
El Paso Electric		27,700		918
Entergy		21,000		1,426
Exelon		25,900		974
Great Plains Energy		61,300		1,312
Hawaiian Electric Industries		50,912		1,452
Idacorp		17,400		732
ITC Holdings		12,154		838
Northeast Utilities		74,883		2,906
OGE Energy		34,759		1,800
Pepco Holdings		27,100		530
PG&E		66,600		3,015
Piedmont Natural Gas		18,000		579
Pinnacle West Capital		21,100		1,092
Portland General Electric		49,500		1,320
Progress Energy		9,417		567
Public Service Enterprise Group		43,100		1,401
SCANA		30,721		1,470
Sempra Energy		11,800		813
Southern		67,677		3,133
TECO Energy		20,000		361
UGI		32,000		942
Vectren		62,180		1,835
WGL Holdings		21,500		855
Wisconsin Energy		104,699		4,143

				54,919

Total Common Stock (Cost $321,608) ($ Thousands)				381,923


CASH EQUIVALENT — 4.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		17,143,639		17,144

Total Cash Equivalent (Cost $17,144) ($ Thousands)				17,144


U.S. TREASURY OBLIGATIONS (A) (B) — 0.3%
U.S. Treasury Bills
0.064%, 07/26/12	$	17		17
0.065%, 11/15/12		11		11
0.042%, 08/23/12		51		51


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

0.050%, 09/20/12	$	541	$	541
0.089%, 09/06/12		500		500

Total U.S. Treasury Obligations (Cost $1,120) ($ Thousands)				1,120

Total Investments — 99.9% (Cost $339,872) ($ Thousands)‡			$	400,187

The open futures contracts held by the Fund at June 30, 2012, are as follows:

Type of Contract

Number of
Contracts
Long (Short)

Expiration

Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

222

Sep-2012

471

Percentages are based on Net Assets of $400,772 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

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 contracts.

ADR

— American Depositary Receipt

— Class

S&P—

Standard and Poor’s

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $339,872 ($ Thousands), and the unrealized appreciation and depreciation were $67,824 ($ Thousands) and ($7,509) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	381,923	$	—	$	—	$	381,923
Cash Equivalent		17,144		—		—		17,144
U.S. Treasury Obligations		—		1,120		—		1,120

Total Investments in Securities	$	399,067	$	1,120	$	—	$	400,187


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	471	$	—	$	—	$	471

Total Other Financial Instruments	$	471	$	—	$	—	$	471

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

For the period ended June 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended June 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK‡ — 97.1%

Consumer Discretionary — 1.3%
Orient-Express Hotels, Cl A *		87,670	$	734
Starwood Hotels & Resorts
Worldwide		34,150		1,811

				2,545


Financials — 95.8%
Acadia Realty Trust †		14,040		325
Alexandria Real Estate
Equities † (A)		23,170		1,685
American Campus
Communities † (A)		17,130		771
Apartment Investment &
Management, Cl A †		181,884		4,916
AvalonBay Communities † (A)		53,521		7,572
BioMed Realty Trust † (A)		105,050		1,962
Boston Properties † (A)		68,750		7,450
Brandywine Realty Trust† (A)		21,950		271
BRE Properties, Cl A †		15,990		800
Camden Property Trust †		20,500		1,387
Colonial Properties Trust † (A)		166,480		3,686
CommonWealth †		65,580		1,254
Corporate Office Properties Trust		91,500		2,151
DDR † (A)		119,730		1,753
DiamondRock Hospitality †		24,930		254
Digital Realty Trust † (A)		34,030		2,555
Duke Realty † (A)		67,490		988
Equity One †		14,010		297
Equity Residential † (A)		207,390		12,933
Essex Property Trust † (A)		12,630		1,944
Excel Trust †		11,510		138
Extra Space Storage †		73,950		2,263
Federal Realty Investment
Trust †		13,777		1,434
General Growth Properties †		286,289		5,179
HCP † (A)		223,460		9,866
Health Care †		142,510		8,308
Home Properties †		15,630		959
Host Hotels & Resorts † (A)		394,794		6,246
Hudson Pacific Properties †		22,100		385
Kimco Realty † (A)		98,480		1,874
LaSalle Hotel Properties † (A)		15,630		455
Liberty Property Trust † (A)		24,890		917
Macerich † (A)		92,859		5,483
Mack-Cali Realty † (A)		168,410		4,896
National Retail Properties † (A)		39,970		1,131
Pebblebrook Hotel Trust †		14,210		331
ProLogis † (A)		325,036		10,801
Public Storage †		86,181		12,445
Regency Centers † (A)		80,330		3,821
RLJ Lodging Trust †		58,680		1,064
Senior Housing Properties Trust †		13,680		305
Simon Property Group †		113,568		17,678
SL Green Realty † (A)		82,470		6,617
Sunstone Hotel Investors *		24,440		269
Tanger Factory Outlet Centers †		43,810		1,404
Taubman Centers †		7,420		573
UDR †		213,950		5,529
Ventas †		164,560		10,387
Verde Realty PIPE *(B)(C)		21,400		341


Description	Shares		Market Value ($ Thousands)

Vornado Realty Trust † (A)		79,930	$	6,713

				182,766

Total Common Stock (Cost $124,571) ($ Thousands)				185,311


AFFILIATED PARTNERSHIP — 28.0%
SEI Liquidity Fund, L.P. 0.150%**††(D)		54,990,568		53,447

Total Affiliated Partnership (Cost $54,990) ($ Thousands)				53,447


CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**††		6,446,185		6,446

Total Cash Equivalent (Cost $6,446) ($ Thousands)				6,446

Total Investments — 128.5% (Cost $186,007) ($ Thousands)‡‡			$	245,204

Percentages are based on Net Assets of $190,814 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

‡

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 June 30, 2012. The total market value of securities on loan at June 30, 2012 was $55,380 ($ Thousands)

(B)

Securities considered illiquid and restricted. The total market value of such securities as of June 30, 2012 was $341($ Thousands) and represented 0.18% of Net Assets.

(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 June 30, 2012 was $341 ($ Thousands) and represented 0.18% of net Assets.

(D)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $53,447 ($Thousands).

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

‡‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $186,007 ($ Thousands), and the unrealized appreciation and depreciation were $61,745 ($ Thousands) and ($2,548) ($ Thousands) respectively.

A summary of restricted securities held by the Fund as of June 30, 2012, is as follows:

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


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


LOAN PARTICIPATIONS — 28.3%
Advantage Sales and Marketing, 2nd Lien Term Loan
9.250%, 06/18/18	$	450	$	447
Affinion Group Holdings
5.000%, 10/08/16		490		446
Allison Transmission
3.750%, 08/07/14		828		817
Altantic Broadband Finance, LLC, Term B Loan
5.250%, 03/20/19		600		600
American Rock Salt, Term B Loan
5.500%, 04/19/17		496		471
AMWINS Group, Term Loan
5.750%, 05/23/19		250		248
Aramark LOC
3.400%, 01/26/14		32		32
Aramark, Term Loan
3.711%, 01/26/14		280		277
3.495%, 01/26/14		120		119
Arch Coal, 1st Lien Term Loan
5.750%, 05/16/18		250		245
Asurion, 1st Lien Term Loan
5.500%, 06/10/18		613		609
Asurion, 2nd Lien Term Loan
9.000%, 05/20/19		600		611
August Lux UK Holding, Term Loan
6.250%, 04/27/18		198		197
August US Holding, Term Loan
6.250%, 04/27/18		152		152
Avaya, Term Loan B-1
3.217%, 10/26/14		164		154
Avaya, Term Loan B-3
4.967%, 10/26/17		329		291
Calpine
4.500%, 04/01/18		198		196
Cannery Casino
4.495%, 05/17/13		107		105
Cannery Casino, 1st Lien Term Loan
4.495%, 05/17/13		130		127
CDW
3.741%, 10/12/14		196		195
Cedar Fair
4.000%, 12/15/16		419		417
Cengage Learning Holding
2.490%, 06/28/14		627		580
Ceridian
3.239%, 11/08/14		491		475
Charter Communications, Term C Loan
3.720%, 09/06/16		469		465
Chesapeake Energy
8.500%, 12/02/17		320		317
CITCO Group Limited, 1st Lien
5.500%, 05/24/18		645		635
Claire’s Stores
3.216%, 05/27/14		69		66
2.995%, 05/27/14		161		153
CommScope
4.250%, 01/14/18		297		295
Community Health Systems
3.967%, 01/25/17		653		642
3.961%, 01/25/17		17		17
ConvaTec
5.750%, 12/30/16		679		678


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

Cristal Inorganic Chemicals
6.211%, 11/15/14	$	500	$	497
DAE Aviation, Tranche B-1
5.470%, 07/31/14		292		288
DAE Aviation, Tranche B-2
5.470%, 09/27/14		279		275
Del Monte Foods
4.500%, 03/08/18		384		378
Dex Media West
7.250%, 10/24/14		448		273
4.720%, 10/24/14		195		118
Dunkin’ Brands
4.000%, 11/23/17		489		482
Eagle Parent
5.000%, 05/16/18		399		393
Emergency Medical Services, Initial Term Loan
5.250%, 04/27/18		384		379
EMI Music Publishing
0.000%, 03/05/18 (F)		500		502
Energy Transfer Partners L.P., Term Loan
3.750%, 03/23/17		250		245
First Data, Initial Tranche B-1
2.995%, 09/24/14		469		451
First Data, Term Loan
4.245%, 03/24/18		424		388
First Data, Term Loan B-3
2.995%, 09/24/14		45		43
Firth Rixson, Facility B
4.970%, 12/18/15		250		237
Firth Rixson, Facility C
5.470%, 12/20/16		250		238
Freescale Semiconductor
4.489%, 12/01/16		691		653
Gibson Energy
5.750%, 06/14/18		496		495
Global Cash Access
7.000%, 02/01/16		257		257
Harbor Freights Tools USA, Term Loan
5.500%, 11/14/17		250		249
Harron Communications, L.P., Term B Loan
5.500%, 10/05/17		418		417
Hub International, Extended Term Loan
4.970%, 06/14/17		703		696
IASIS Healthcare
5.000%, 05/03/18		323		316
IMS Health
4.500%, 08/31/17		590		586
Ineos Holdings Limited
6.500%, 04/27/18		400		391
Integra Telecom, Term B Loan
9.250%, 04/07/15		668		643
Intelsat
5.250%, 04/03/18		301		301
Intelsat Bermuda
3.241%, 02/01/14		500		487
Inventiv Health, Term B Loan
6.500%, 08/04/16		632		589
J. Crew Group
4.750%, 01/26/18		594		586
JHT Holding, 2nd Lien Term Loan
12.500%, 12/21/12 (C) (D)		47		16


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

Knology, Term Loan B-1
4.000%, 08/08/17	$	489	$	488
Lamar Media
4.000%, 10/01/16		249		249
Language Line, Term B Loan
6.250%, 06/20/16		469		462
Lawson Software, Term B Loan
6.250%, 04/05/18		650		652
Live Nation Term B Loan
4.500%, 10/20/16		245		243
Medimedia USA, Term Loan B
6.250%, 08/15/14		144		127
Meg Energy, Initial Term Loan
4.000%, 03/18/18		647		642
Neiman Marcus Group
4.750%, 05/10/18		327		323
Nelson Edu Term Loan B-1L
2.961%, 07/05/14		489		419
Nexstar Broadcasting, Term B Loan
5.000%, 09/30/16		297		295
NRG Energy, Term B Loan
4.000%, 07/01/18		499		494
NXP BV/Commitment, Term Loan
4.500%, 03/07/17		396		388
Quintiles Transnational, Term Loan B
5.000%, 05/26/18		439		433
Raycom TV Broadcasting, Term Loan B
4.500%, 05/31/17		399		388
Realogy, Extended Synthetic Commitment
4.491%, 10/10/16		734		692
0.389%, 10/10/16		87		82
Remax International, Term B Loan
5.500%, 03/11/16		442		439
Roundy’s Supermarkets, Term Loan B
5.750%, 02/13/19		1		1
5.500%, 02/10/19		499		499
Sealed Air
4.750%, 10/03/18		229		230
Sealed Air, Term B Loan
4.750%, 10/03/18		263		264
Sedgwick Claims Management
5.000%, 12/31/16		119		118
Sensata Technologies, Term Loan
4.000%, 05/10/18		496		492
Sheridan Healthcare, Term Loan
6.000%, 06/29/18		500		499
Star West Generation LLC, Term B Loan
6.000%, 05/17/18		445		429
Telesat Canada, Term Loan B
4.250%, 03/26/19		400		395
Terex, Term Loan
5.500%, 07/28/17		249		249
Texas Competitive Electric Holdings, Extending Term Loan
4.741%, 10/10/17		647		386
Trans Union
4.750%, 02/26/18		396		396
Transdigm
4.000%, 02/14/17		494		493
Tronox, 1st Lien Term Loan (Delayed)
4.250%, 02/08/18		107		105


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

Tronox, Term Loan B
4.250%, 02/03/18	$	393	$	385
TWCC Holding, Term Loan
4.250%, 02/11/17		488		487
U.S. Telepacific, Term Loan
5.750%, 02/23/17		496		456
United Surgical Partners, Term Loan
6.000%, 04/30/17		395		387
Univision Communications, Term B Loan
4.495%, 03/31/17		693		655
Valeant Pharmaceuticals International, Term B Loan
3.750%, 02/13/19		112		111
Vanguard Health
5.000%, 01/15/16		689		685
Verint Systems, Term B Loan
4.500%, 10/06/17		402		398
Waiccs Las Vegas 3 LLC, 2nd Lien
13.250%, 07/30/10 (E)		2,000		—
Walter Energy, Term B Loan
4.000%, 04/02/18		476		466
Warner Chilcott, Term Loan B1
4.250%, 03/14/18		78		78
Warner Chilcott, Term Loan B2
4.250%, 03/14/18		39		39
Warner Chilcott, Term Loan B3
4.250%, 03/15/18		54		53
Waste Industries, Term Loan B
4.750%, 03/16/17		492		489
WCA Waste Systems, Term B Loan
5.500%, 03/23/18		1		1
WCA Waste, Term Loan
5.500%, 03/23/18		249		249
Weight Watchers International, Term F Loan
4.000%, 03/12/19		500		488
WideOpenWest Finance, 1st Lien
4.750%, 06/30/14		1		1
2.740%, 06/30/14		430		427
WidOpenWest Finance
8.750%, 06/30/14		1		1
6.741%, 06/30/14		298		296
Yankee Candle
5.250%, 04/02/19		500		498
Zayo Bandwith LLC, Term Loan
0.000%, 03/18/19 (F)		185		186

Total Loan Participations (Cost $43,728) ($ Thousands)				41,156


CORPORATE OBLIGATIONS — 22.4%

Consumer Discretionary — 1.9%
Daimler Finance North America
2.300%, 01/09/15 (A)		500		510
Nissan Motor Acceptance
3.250%, 01/30/13 (A)		500		505
President and Fellows of Harvard College
3.700%, 04/01/13		1,060		1,085


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

Reynolds Group
6.875%, 02/15/21 (A)	$	185	$	193
UR Financing Escrow
5.750%, 07/15/18 (A)		50		52
Volkswagen International Finance
1.078%, 04/01/14 (A) (B)		475		474

				2,819


Consumer Staples — 2.3%
Anheuser-Busch InBev Worldwide
1.016%, 01/27/14 (B)		500		504
BAT International Finance
1.400%, 06/05/15 (A)		500		500
Coca-Cola Enterprises
0.767%, 02/18/14 (B)		600		601
Kraft Foods Group
1.625%, 06/04/15 (A)		500		505
PepsiCo
0.800%, 08/25/14		385		386
0.546%, 05/10/13 (B)		325		326
SABMiller Holdings
1.850%, 01/15/15 (A)		500		507

				3,329


Energy — 0.4%
Energy Transfer Equity
7.500%, 10/15/20		500		549


Financials — 12.5%
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13		500		520
American Express Credit MTN
1.568%, 06/12/15 (B)		616		622
American Honda Finance
1.850%, 09/19/14 (A)		500		506
Bank of America MTN
1.886%, 01/30/14 (B)		300		297
Bank of Montreal MTN
0.936%, 04/29/14 (B)		650		652
Bank of Nova Scotia
1.850%, 01/12/15		375		381
BB&T
1.166%, 04/28/14 (B)		600		603
Caterpillar Financial Services MTN
1.375%, 05/20/14		140		142
1.100%, 05/29/15		500		503
Citigroup
1.017%, 08/25/36 (B)		1,500		995
Danske Bank MTN
1.517%, 04/14/14 (A) (B)		650		636
General Electric Capital MTN
1.336%, 05/09/16 (B)		600		590
Goldman Sachs Group
1.466%, 02/07/14 (B)		850		840
HSBC USA
2.375%, 02/13/15		295		298
ILFC E-Capital Trust I
4.280%, 12/21/65 (A) (B)		500		337
ING Bank
1.868%, 06/09/14 (A) (B)		400		395
John Deere Capital
0.950%, 06/29/15		350		350
JPMorgan Chase Capital XXI, Ser U
1.416%, 02/02/37 (B)		1,300		874


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

MassMutual Global Funding II
0.856%, 01/14/14 (A) (B)	$	526	$	526
Mellon Funding
0.617%, 05/15/14 (B)		400		399
Merrill Lynch
1.228%, 09/15/36 (B)		700		499
Metropolitan Life Global Funding I
2.000%, 01/09/15 (A)		275		279
1.700%, 06/29/15 (A)		500		501
Monumental Global Funding III
0.667%, 01/15/14 (A) (B)		500		492
Morgan Stanley
2.066%, 01/24/14 (B)		500		486
1.446%, 04/29/13 (B)		400		394
NCUA Guaranteed Notes
0.261%, 06/12/13 (B)		295		295
New York Life Global Funding
1.300%, 01/12/15 (A)		500		501
Royal Bank of Canada MTN
0.766%, 04/17/14 (B)		600		602
Societe Generale MTN
1.519%, 04/11/14 (A) (B)		600		581
Standard Chartered
1.417%, 05/12/14 (A) (B)		600		599
State Street
0.818%, 03/07/14 (B)		421		423
State Street Capital Trust IV
1.468%, 06/15/37 (B)		375		271
Toronto-Dominion Bank
0.767%, 07/14/14 (B)		310		311
Unitrin
6.000%, 05/15/17		670		710
Wells Fargo
1.500%, 07/01/15		750		750

				18,160


Health Care — 0.8%
Alere
9.000%, 05/15/16		200		204
American Renal Holdings
8.375%, 05/15/18		250		264
Sanofi
0.771%, 03/28/14 (B)		750		753

				1,221


Industrials — 0.9%
Ceridian
8.875%, 07/15/19 (A)		150		155
Continental Airlines, Ser 061G
0.817%, 06/02/13 (B)		569		552
Danaher
1.300%, 06/23/14		400		404
United Technologies
1.200%, 06/01/15		215		218

				1,329


Information Technology — 1.6%
Hewlett-Packard
0.867%, 05/30/14 (B)		600		595
Texas Instruments
0.647%, 05/15/13 (B)		600		602
Western Union
1.048%, 03/07/13 (B)		485		487
Xerox
1.286%, 05/16/14 (B)		595		594

				2,278


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

Materials — 1.1%
E.I. Du Pont de Nemours
0.888%, 03/25/14 (B)	$	705	$	711
Packaging Dynamics
8.750%, 02/01/16 (A)		500		525
Vertellus Specialties
9.375%, 10/01/15 (A)		500		411

				1,647


Telecommunication Services — 0.7%
Telesat Canada
6.000%, 05/15/17 (A)		400		407
Verizon Communications
1.250%, 11/03/14		550		557

				964


Utilities — 0.2%
DTE Energy
1.167%, 06/03/13 (B)		255		255

Total Corporate Obligations (Cost $33,831) ($ Thousands)				32,551


ASSET-BACKED SECURITIES — 25.0%

Automotive — 14.0%
Ally Auto Receivables Trust, Ser 2009- A, Cl A3
2.330%, 06/17/13 (A)		68		68
Ally Auto Receivables Trust, Ser 2009- A, Cl A4
3.000%, 10/15/15 (A)		495		500
Ally Auto Receivables Trust, Ser 2009- B, Cl A4
3.050%, 12/15/14 (A)		625		639
Ally Auto Receivables Trust, Ser 2011- 1, Cl A2
0.810%, 10/15/13		39		39
Ally Auto Receivables Trust, Ser 2011- 5, Cl A2
0.800%, 06/16/14		441		442
Ally Auto Receivables Trust, Ser 2012- 1, Cl A2
0.710%, 09/15/14		430		431
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/15		576		580
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		90		90
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/16		275		277
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15		197		197
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2
0.910%, 10/08/15		91		91
Avis Budget Rental Car Funding AESOP, Ser 2009-1A, Cl A
9.310%, 10/20/13 (A)		400		406
Avis Budget Rental Car Funding AESOP, Ser 2009-2A, Cl A
5.680%, 02/20/14 (A)		415		424


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

Bank of America Auto Trust, Ser 2009- 1A, Cl A4
3.520%, 06/15/16 (A)	$	375	$	379
Bank of America Auto Trust, Ser 2009- 2A, Cl A4
3.030%, 10/15/16 (A)		280		283
Bank of America Auto Trust, Ser 2010- 1A, Cl A3
1.390%, 03/15/14 (A)		104		104
Bank of America Auto Trust, Ser 2012- 1, Cl A3
0.780%, 06/15/16		201		201
BMW Vehicle Lease Trust, Ser 2010-1, Cl A3
0.820%, 04/15/13		177		177
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		276		277
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/15		415		416
CarMax Auto Owner Trust, Ser 2009-1, Cl A4
5.810%, 12/16/13		425		430
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		395		402
CarMax Auto Owner Trust, Ser 2010-3, Cl A3
0.990%, 02/17/15		315		316
CarMax Auto Owner Trust, Ser 2011-3, Cl A2
0.700%, 11/17/14		359		359
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/16		210		211
Chesapeake Funding, Ser 2012-1A, Cl A
0.989%, 11/07/23 (A) (B)		240		240
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4
1.040%, 12/15/13 (A)		510		511
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13		198		198
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2
0.820%, 01/15/14		600		601
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3
0.840%, 06/15/15		250		251
Ford Credit Auto Owner Trust, Ser 2012-A, Cl A2
0.620%, 09/15/14		212		213
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		245		246
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/16		661		662
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A2
0.710%, 05/15/15		202		202


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

Hertz Vehicle Financing, Ser 2009-2A, Cl A1
4.260%, 03/25/14 (A)	$	485	$	494
Hertz Vehicle Financing, Ser 2011-1A, Cl A1
2.200%, 03/25/16 (A)		445		454
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2
0.650%, 06/17/13		53		53
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		270		271
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3
0.770%, 01/15/16		145		145
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (A)		127		127
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/16 (A)		250		251
Hyundai Auto Lease Securitization Trust 2011-A, Ser 2011-A, Cl A2
0.690%, 11/15/13 (A)		206		206
Hyundai Auto Lease Securitization Trust 2011-A, Ser 2012-A, Cl A3
0.920%, 08/17/15 (A)		495		495
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13		55		55
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13		76		76
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/15/14		193		193
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A3
0.830%, 12/15/15		415		416
Mercedes-Benz Auto Lease Trust, Ser 2011-B, Cl A2
0.900%, 01/15/14 (A)		381		381
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/15		195		196
MMCA Automobile Trust, Ser 2012-A, Cl A2
0.810%, 08/15/14 (A)		550		550
Nissan Auto Lease Trust, Ser 2011-A, Cl A3
1.040%, 08/15/14		550		552
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		295		296
Nissan Auto Receivables Owner Trust, Ser 2011-B, Cl A2
0.740%, 09/15/14		600		601
Nissan Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.730%, 05/16/16		181		181
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A2
0.910%, 11/15/13 (A)		6		6


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

Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A3
1.400%, 10/15/14 (A)	$	515	$	516
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		224		224
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/15		385		387
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.750%, 02/16/16		401		402
Volkswagen Auto Lease Trust, Ser 2011-A, Cl A2
1.000%, 02/20/14		437		438
Volkswagen Auto Lease Trust, Ser 2012-A, Cl A3
0.870%, 07/20/15		265		265
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A4
2.140%, 08/22/16		435		441
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2
0.610%, 10/20/14		135		135
Wachovia Auto Owner Trust, Ser 2008- A, Cl A4B
1.394%, 03/20/14 (B)		200		200
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2
0.640%, 11/15/13		103		103
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2
0.810%, 10/15/13		294		294
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3
0.930%, 11/16/15		81		81

				20,348


Credit Cards — 2.7%
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7
4.700%, 06/15/15		466		469
Chase Issuance Trust, Ser 2012-A3, Cl A3
0.790%, 06/15/17		495		495
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.860%, 11/07/14 (B)		1,100		1,101
Citibank Omni Master Trust, Ser 2009-A12, Cl A12
3.350%, 08/15/16 (A)		680		683
Discover Card Master Trust, Ser 2011-A2, Cl A2
0.452%, 11/16/15 (B)		300		300
Discover Card Master Trust, Ser 2012-A1, Cl A1
0.810%, 08/15/17		220		220
Discover Card Master Trust, Ser 2012-A3, Cl A3
0.860%, 11/15/17		201		201


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

GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A
0.950%, 06/15/18	$	475	$	475

				3,944


Mortgage Related Securities — 0.1%
New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ
0.535%, 03/25/35 (B)		35		33
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B)		285		134

				167


Other Asset-Backed Securities — 8.2%
Ally Master Owner Trust, Ser 2010-1, Cl A
1.992%, 01/15/15 (A) (B)		650		655
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (A)		750		760
Ally Master Owner Trust, Ser 2011-4, Cl A2
1.540%, 09/15/16		540		545
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/17		600		604
Babson CLO, Ser 2007-1A, Cl A1
0.691%, 01/18/21 (A) (B)		1,060		1,000
CNH Equipment Trust, Ser 2009-B, Cl A4
5.170%, 10/15/14		169		171
CNH Equipment Trust, Ser 2011-A, Cl A2
0.620%, 06/16/14		8		8
CNH Equipment Trust, Ser 2011-C, Cl A2
0.900%, 04/15/15		500		501
CNH Equipment Trust, Ser 2012-B, Cl A3
0.860%, 09/15/17		220		220
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A
1.792%, 09/15/14 (B)		600		602
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl A
1.892%, 12/15/14 (A) (B)		550		554
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B
2.492%, 12/15/14 (A) (B)		485		489
Ford Credit Floorplan Master Owner Trust, Ser 2011-2, Cl A1
1.320%, 09/15/15		240		242
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.709%, 01/15/16 (B)		720		722
GE Business Loan Trust, Ser 2003-2A, Cl B
1.242%, 11/15/31 (A) (B)		58		49
GE Business Loan Trust, Ser 2004-2A, Cl A
0.462%, 12/15/32 (A) (B)		87		78
GE Business Loan Trust, Ser 2004-2A, Cl B
0.722%, 12/15/32 (A) (B)		65		53


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

GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.790%, 10/20/14 (A) (B)	$	700	$	703
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A
0.814%, 02/20/17 (B)		640		642
GE Equipment Midticket, Ser 2010-1, Cl A3
0.940%, 07/14/14 (A)		227		227
GE Equipment Small Ticket, Ser 2012- 1A, Cl A2
0.850%, 11/21/14 (A)		330		328
GE Equipment Transportation, Ser 2011-1, Cl A4
1.330%, 05/20/19		250		251
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		126		126
Katonah, Ser 2005-7A, Cl B
0.887%, 11/15/17 (A) (B)		700		552
Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A
5.362%, 10/20/28 (A)		37		38
Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D
6.135%, 05/20/29 (A)		290		286
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.566%, 10/25/16 (B)		272		274
SLM Student Loan Trust, Ser 2011-1, Cl A1
0.765%, 03/25/26 (B)		518		518
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.092%, 12/16/24 (A) (B)		296		295
Triton Container Finance LLC, Ser 2006-1A, Cl N
0.420%, 11/26/21 (A) (B)		331		315

				11,808

Total Asset-Backed Securities (Cost $36,732) ($ Thousands)				36,267


MORTGAGE-BACKED SECURITIES — 24.7%

Agency Mortgage-Backed Obligations — 19.3%
FHLB
1.875%, 06/21/13		4,500		4,570
FHLMC
6.000%, 09/01/26		284		312
2.500%, 01/07/14		1,500		1,550
1.375%, 01/09/13		750		754
FHLMC TBA
4.000%, 07/15/41		2,500		2,653
FNMA
6.500%, 09/01/26		176		199
6.000%, 11/01/26 to 04/01/40		1,693		1,865
5.000%, 02/01/23 to 03/01/25		488		528
1.750%, 05/07/13		4,500		4,555
1.000%, 12/27/12 to 09/23/13		3,000		3,016
FNMA TBA
4.500%, 07/17/18		1,300		1,393
4.000%, 07/17/18 to 07/13/39		1,550		1,649
3.000%, 07/01/26		3,100		3,248


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

NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.691%, 10/07/20 (B)	$	555	$	556
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.689%, 01/08/20 (B)		265		266
NCUA Guaranteed Notes CMO, Ser 2011-R3, 1A
0.639%, 03/11/20 (B)		253		253
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A
0.619%, 03/06/20 (B)		291		291
NCUA Guaranteed Notes CMO, Ser 2011-R6, 1A
0.619%, 05/07/20 (B)		356		357

				28,015


Non-Agency Mortgage-Backed Obligations — 5.4%
American Tower Trust, Ser 1A, Cl D
5.957%, 04/15/37 (A)		625		655
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1
2.791%, 11/25/34 (B)		174		158
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2
3.128%, 04/25/35 (B)		549		436
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1
2.745%, 10/25/35 (B)		359		287
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2
0.515%, 12/25/36 (A) (B)		372		168
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.874%, 09/25/34 (B)		124		122
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.342%, 12/15/20 (A) (B)		342		328
Commercial Mortgage Pass-Through Certificates, Ser 2011-STRT, Cl A
2.555%, 12/10/24 (A)		275		276
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C
0.470%, 11/15/21 (A) (B)		810		748
Impac CMB Trust, Ser 2005-1, Cl 1A1
0.765%, 04/25/35 (B)		275		215
JP Morgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (A)		263		265
JP Morgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2
4.903%, 10/15/42		550		550
JPMorgan Mortgage Trust, Ser 2006- A6, Cl 4A1
2.659%, 10/25/36 (B)		634		490
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A
2.829%, 12/25/34 (B)		258		240
MortgageIT Trust, Ser 2005-5, Cl A1
0.505%, 12/25/35 (B)		876		593
Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1
3.669%, 02/11/36		242		243


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

Sequoia Mortgage Trust, Ser 2004-10, Cl A2
0.564%, 11/20/34 (B)	$	209	$	185
Sequoia Mortgage Trust, Ser 2004-11, Cl A1
0.544%, 12/20/34 (B)		168		148
Sequoia Mortgage Trust, Ser 2005-2, Cl A1
0.464%, 03/20/35 (B)		94		83
Washington Mutual Mortgage Pass- Through Certificates, Ser 2006-AR2, Cl 1A1
2.473%, 03/25/36 (B)		370		277
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.618%, 01/25/35 (B)		378		335
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
2.612%, 02/25/35 (B)		457		413
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR2, Cl 2A2
2.614%, 03/25/35 (B)		384		355
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/44 (A)		295		299

				7,869

Total Mortgage-Backed Securities (Cost $36,850) ($ Thousands)				35,884


MUNICIPAL BONDS — 0.6%
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/16		490		507
Illinois, Regional Transportation Authority, Ser A, GO
1.064%, 06/01/14		230		230
1.044%, 04/01/14		220		220

Total Municipal Bonds (Cost $960) ($ Thousands)				957


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

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


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**††		2,863,095		2,863

Total Cash Equivalent (Cost $2,863) ($ Thousands)				2,863


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

REPURCHASE AGREEMENT (G) — 3.7%
Bank of America 0.160%, dated 06/29/12, to be repurchased on 07/02/12, repurchase price $5,400,072, (collateralized by FHLMC, par value $5,219,049, 4.000%, 04/01/42, with total market value $5,508,001)	$	5,400	$	5,400

Total Repurchase Agreement (Cost $5,400) ($ Thousands)				5,400

Total Investments — 106.7% (Cost $160,364)($ Thousands) †			$	155,078

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(16	)		Sep-2012	$	(5	)
U.S. 2-Year Treasury Note		(15	)		Sep-2012		1
U.S. 5-Year Treasury Note		(14	)		Oct-2012		2

						$	(2	)

Percentages are based on a Net Assets of $145,301 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

††

Investment in Affiliated Security.

(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 effects as of June 30, 2012. The date reported on the Schedule of Investments is the final maturity date.

(C)

Securities considered illiquid and restricted. The total value of such securities as of June 30, 2012 was $16 ($ Thousands) and represented 0.01% of Net Assets.

(D)

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 June 30, 2012 was $16 ($ Thousands) and represented 0.01% of Net Assets.

(E)

Security in default on interest payments.

(F)

Unsettled Bank Loan. Interest rate not available.

(G)

Tri-Party Repurchase Agreement.

AMBAC— American Municipal Bond Assurance Corporation Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

L.P. — Limited Partnership

LLC — Limited Liability Company

LOC— Line of Credit

MTN — Medium Term Note

NCUA — National Credit Union Administration

RB— Revenue Bond

Ser — Series

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations	$	—	$	41,140	$	16	$	41,156
Corporate Obligations		—		32,551		—		32,551
Asset-Backed Securities		—		36,267		—		36,267
Mortgage-Backed Securities		—		35,884		—		35,884
Common Stock		—		—		—		—
Municipal Bonds		—		957		—		957
Cash Equivalent		2,863		—		—		2,863
Repurchase Agreement		—		5,400		—		5,400

Total Investments in Securities	$	2,863	$	152,199	$	16	$	155,078


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

Total Other Financial Instruments	$	(2	)	$	—	$	—	$	(2	)

Futures contracts are value 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):


	Loan Participations
Beginning balance as of October 1, 2011	$	14
Accrued discounts/premiums		(5	)
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		3
Purchases/(sales)		4
Net transfer in and/or out of Level 3		—

Ending balance as of June 30, 2012	$	16

Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	3

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.


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

MORTGAGE-BACKED SECURITIES — 42.6%

Agency Mortgage-Backed Obligations — 33.8%
FHLMC
7.500%, 11/01/29 to 09/01/32	$	915	$	1,118
7.000%, 06/01/15 to 12/01/31		169		197
6.500%, 06/01/17 to 09/01/39		2,111		2,315
6.000%, 03/01/20 to 07/01/37		9,440		10,452
5.500%, 03/01/14 to 08/01/38		18,264		20,021
5.000%, 10/01/18 to 07/01/41		38,090		41,395
4.500%, 07/01/26 to 06/01/42		43,785		48,205
4.000%, 04/01/19 to 06/01/42		55,247		59,362
3.500%, 12/01/25 to 12/01/41		12,241		13,016
1.350%, 04/29/14		560		570
FHLMC ARM (A)
5.927%, 03/01/37		38		41
5.833%, 11/01/37		3		3
5.661%, 11/01/39		3,226		3,495
5.608%, 10/01/38		181		196
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/19		61		67
FHLMC CMO, Ser 1997-1983, Cl Z
6.500%, 12/15/23		1,248		1,410
FHLMC CMO, Ser 1998-2043, Cl CJ
6.500%, 04/15/28		712		813
FHLMC CMO, Ser 2001-2277, Cl B
7.500%, 01/15/31		280		330
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/32		1,861		2,139
FHLMC CMO, Ser 2002-48, Cl 1A
6.257%, 07/25/33 (A)		18		21
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/43		203		235
FHLMC CMO, Ser 2003-57, Cl 1A2
7.000%, 07/25/43		243		279
FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/43		280		321
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/44		284		325
FHLMC CMO, Ser 2005-2945, Cl SA
11.859%, 03/15/20 (A)		1,496		1,730
FHLMC CMO, Ser 2005-2980, Cl QA
6.000%, 05/15/35		1,029		1,156
FHLMC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/36		2,878		3,370
FHLMC CMO, Ser 2007-3294, Cl CB
5.500%, 03/15/37		3,276		3,475
FHLMC CMO, Ser 2008-3407, Cl B
5.500%, 01/15/38		617		677
FHLMC CMO, Ser 2008-3451, Cl SB
5.791%, 05/15/38 (A)		716		86
FHLMC CMO, Ser 2009-3529, Cl AG
6.500%, 04/15/39		2,137		2,403
FHLMC CMO, Ser 2009-3613, Cl HJ
5.500%, 12/15/39		3,914		4,273
FHLMC CMO, Ser 2010-3621, Cl SB, IO
5.988%, 01/15/40 (A)		324		46
FHLMC CMO, Ser 2010-3622, Cl WA
5.500%, 09/15/39		1,239		1,344
FHLMC CMO, Ser 2010-3631, Cl PA
4.000%, 02/15/40		1,287		1,358
FHLMC CMO, Ser 2010-3664, Cl DA
4.000%, 11/15/37		517		541
FHLMC CMO, Ser 2010-3704, Cl CA
4.000%, 12/15/36		353		375


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

FHLMC CMO, Ser 2012-4054, Cl SA, IO
5.808%, 08/15/39 (A)	$	3,629	$	573
FHLMC CMO, Ser 2012-4057, Cl SA, IO
5.807%, 04/15/39 (A)		3,900		831
FHLMC CMO, Ser 2012-4063, Cl S, IO
5.710%, 06/15/42 (A)		200		46
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser 2009- K003, Cl AAB
4.768%, 05/25/18 (A)		857		966
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser 2010- K005, Cl A2
4.317%, 11/25/19		792		901
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K006, Cl AX1, IO
1.057%, 01/25/20 (A)		2,714		166
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K007, Cl X1, IO
1.234%, 04/25/20 (A)		8,765		606
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K008, Cl X1, IO
1.680%, 06/25/20 (A)		9,120		879
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K009, Cl X1, IO
1.512%, 08/25/20 (A)		3,121		265
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K015, Cl X1, IO
1.679%, 07/25/21 (A)		3,189		361
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K016, Cl X1, IO
1.585%, 10/25/21 (A)		1,281		140
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K017, Cl X1, IO
1.460%, 12/25/21 (A)		1,648		164
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K702, Cl X1, IO
1.562%, 02/25/18 (A)		10,260		745
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K703, Cl X1, IO
2.094%, 05/25/18 (A)		5,778		583
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K704, Cl X1, IO
2.010%, 08/25/18 (A)		1,508		153
FHLMC TBA
5.000%, 07/01/41 to 08/01/41		5,872		6,371
4.500%, 07/15/42 to 09/15/42		4,538		4,846
4.000%, 02/01/32 to 07/15/42		1,718		1,834
3.500%, 03/01/32 to 07/15/41		5,993		6,303
3.000%, 07/01/27 to 08/01/42		9,000		9,344
2.500%, 07/15/27 to 08/15/27		16,200		16,633
FNMA
7.000%, 09/01/26 to 02/01/39		4,285		5,011


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

6.500%, 05/01/17 to 10/01/36	$	1,284	$	1,415
6.000%, 10/01/19 to 10/01/38		35,931		40,153
5.500%, 06/01/14 to 07/01/39		4,097		4,495
5.000%, 01/01/20 to 09/01/41		57,210		62,930
4.500%, 04/01/25 to 07/01/42		27,469		29,810
4.338%, 11/01/21		3,022		3,431
4.303%, 07/01/21		3,112		3,537
4.000%, 08/01/20 to 07/01/42		45,183		48,634
3.762%, 12/01/20		3,160		3,477
3.632%, 12/01/20		2,159		2,361
3.500%, 01/01/32 to 12/01/41		13,727		14,512
FNMA ARM (A)
6.277%, 09/01/37		188		206
5.879%, 09/01/37		110		121
5.852%, 09/01/37		329		357
2.146%, 10/01/35		3,843		4,004
2.143%, 11/01/35		476		497
2.130%, 11/01/35		656		685
2.123%, 11/01/35		517		539
2.118%, 11/01/35		575		601
2.114%, 11/01/35		660		690
2.106%, 11/01/35		2,113		2,193
2.082%, 10/01/35		350		365
2.062%, 10/01/35		2,922		3,031
FNMA CMO STRIPS, Ser 2005-360, Cl 2, IO
5.000%, 08/01/35		8,509		1,146
FNMA CMO STRIPS, Ser 2012-409, Cl C22, IO
4.500%, 11/25/39		2,800		350
FNMA CMO STRIPS, Ser 2012-409, Cl C13, IO
3.500%, 11/25/41		1,400		237
FNMA CMO STRIPS, Ser 2012-409, Cl C2, IO
3.000%, 04/25/27		2,000		216
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		1,121		1,235
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/32		214		245
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/33		896		1,012
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/35		3,509		3,830
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/35		375		409
FNMA CMO, Ser 2006-112, Cl ST, IO
6.455%, 11/25/36 (A)		7,329		1,150
FNMA CMO, Ser 2006-56, Cl CA
6.000%, 07/25/36		202		230
FNMA CMO, Ser 2008-22, Cl SI, IO
6.185%, 03/25/37 (A)		10,454		1,329
FNMA CMO, Ser 2009-105, Cl CB
6.000%, 12/25/39		1,500		1,658
FNMA CMO, Ser 2009-11, Cl LC
4.500%, 03/25/49		928		984
FNMA CMO, Ser 2009-30, Cl AD
6.500%, 04/25/39		1,359		1,514
FNMA CMO, Ser 2009-31, Cl A2
4.287%, 07/25/19		1,359		1,529
FNMA CMO, Ser 2009-66, Cl KE
4.000%, 09/25/39		1,521		1,612
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/37		6,236		5,981


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2009-93, Cl PD
4.500%, 09/25/39	$	656	$	704
FNMA CMO, Ser 2009-M2, Cl A3
4.001%, 01/25/19		1,459		1,616
FNMA CMO, Ser 2010-118, Cl YB, IO
6.255%, 10/25/40 (A)		1,422		207
FNMA CMO, Ser 2010-136, Cl SA, IO
5.755%, 12/25/40 (A)		3,114		585
FNMA CMO, Ser 2010-142, Cl SM, IO
6.285%, 12/25/40 (A)		702		111
FNMA CMO, Ser 2010-150, Cl SK, IO
6.291%, 01/25/41 (A)		1,742		285
FNMA CMO, Ser 2010-150, Cl SN, IO
6.291%, 01/25/41 (A)		1,960		321
FNMA CMO, Ser 2010-54, Cl EA
4.500%, 06/25/40		1,637		1,757
FNMA CMO, Ser 2010-M3, Cl A2
4.450%, 09/25/19		467		531
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (A)		3,196		3,614
FNMA CMO, Ser 2011-53, Cl DT
4.500%, 06/25/41		1,241		1,315
FNMA CMO, Ser 2011-53, Cl TN
4.000%, 06/25/41		6,107		6,458
FNMA CMO, Ser 2011-59, Cl NZ
5.500%, 07/25/41		1,788		2,178
FNMA CMO, Ser 2011-63, Cl SW, IO
6.435%, 07/25/41 (A)		1,739		270
FNMA CMO, Ser 2011-78, Cl D
4.000%, 08/25/41		294		312
FNMA CMO, Ser 2011-87, Cl SJ, IO
5.705%, 09/25/41 (A)		2,838		442
FNMA CMO, Ser 2011-90, Cl QI, IO
5.000%, 05/25/34		2,295		347
FNMA CMO, Ser 2011-96, Cl SA, IO
6.305%, 10/25/41 (A)		4,870		916
FNMA CMO, Ser 2012-25, Cl B
6.500%, 03/25/42		1,300		1,539
FNMA CMO, Ser 2012-28, Cl B
6.500%, 06/25/39		400		449
FNMA CMO, Ser 2012-3, Cl CD
7.000%, 02/25/42		1,293		1,454
FNMA CMO, Ser 2012-35, Cl SQ, IO
6.355%, 04/25/42 (A)		568		106
FNMA CMO, Ser 2012-35, Cl MB
5.500%, 04/25/42		12,000		13,570
FNMA CMO, Ser 2012-46, Cl BA
6.000%, 05/25/42		1,900		2,154
FNMA CMO, Ser 2012-63, Cl DS, IO
6.305%, 03/25/39 (A)		1,197		282
FNMA CMO, Ser 2012-66, Cl SA, IO
5.755%, 06/25/42 (A)		591		108
FNMA CMO, Ser 2012-74, Cl OA, PO
0.000%, 03/25/42		100		95
FNMA CMO, Ser 2012-74, Cl SA, IO
5.700%, 03/25/42 (A)		1,300		313
FNMA CMO, Ser 2012-75, Cl AO, PO
0.000%, 03/25/42		200		190
FNMA CMO, Ser 2012-75, Cl AS, IO
6.400%, 03/25/42 (A)		1,000		220
FNMA CMO, Ser 2012-76, Cl AC
6.500%, 07/25/42		1,570		1,829
FNMA TBA
4.500%, 08/01/33 to 08/25/42		7,020		7,527
4.000%, 07/13/39		8,500		9,046


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

3.500%, 07/01/41	$	1,400	$	1,472
3.000%, 07/01/26 to 07/01/42		15,200		15,723
2.500%, 07/15/26 to 09/15/27		17,990		18,625
FNMA Whole Loan CMO, Ser 2003- W17, Cl 1A7
5.750%, 08/25/33		248		290
GNMA
8.000%, 11/15/29 to 09/15/30		91		107
7.500%, 03/15/29 to 10/15/31		210		242
7.000%, 08/15/13		10		10
6.500%, 04/15/26 to 09/15/35		5,574		6,468
6.000%, 03/15/14 to 10/20/40		14,265		16,123
5.000%, 10/20/39 to 11/20/40		7,320		8,103
GNMA ARM (A)
3.500%, 05/20/41 to 10/20/41		2,593		2,760
3.000%, 08/20/41 to 01/20/42		2,039		2,154
GNMA CMO, Ser 2001-56, Cl PT
6.000%, 11/20/31		3,298		3,777
GNMA CMO, Ser 2003-79, Cl PV
5.500%, 10/20/23		371		409
GNMA CMO, Ser 2009-106, Cl SU, IO
5.956%, 05/20/37 (A)		1,367		205
GNMA CMO, Ser 2010-107, Cl GX
4.500%, 04/20/39		515		588
GNMA CMO, Ser 2010-113, Cl BS, IO
5.756%, 09/20/40 (A)		1,238		193
GNMA CMO, Ser 2010-121, Cl SE, IO
5.756%, 09/20/40 (A)		1,087		171
GNMA CMO, Ser 2010-14, Cl SH, IO
5.757%, 02/16/40 (A)		574		113
GNMA CMO, Ser 2010-167, Cl US, IO
6.386%, 11/20/38 (A)		441		59
GNMA CMO, Ser 2010-3, Cl MS, IO
6.306%, 11/20/38 (A)		614		90
GNMA CMO, Ser 2010-31, Cl GS, IO
6.256%, 03/20/39 (A)		534		77
GNMA CMO, Ser 2010-35, Cl AS, IO
5.506%, 03/20/40 (A)		2,095		331
GNMA CMO, Ser 2010-37, Cl SG, IO
5.460%, 03/20/40 (A)		2,203		351
GNMA CMO, Ser 2010-4, Cl NS, IO
6.147%, 01/16/40 (A)		17,475		2,813
GNMA CMO, Ser 2010-47, Cl XN, IO
6.307%, 04/16/34 (A)		566		40
GNMA CMO, Ser 2010-85, Cl HS, IO
6.406%, 01/20/40 (A)		416		64
GNMA CMO, Ser 2010-H27, Cl FA
0.621%, 12/20/60 (A)		2,011		1,994
GNMA CMO, Ser 2010-H28, Cl FE
0.639%, 12/20/60 (A)		1,255		1,244
GNMA CMO, Ser 2011-11, Cl SA, IO
5.756%, 01/20/41 (A)		764		117
GNMA CMO, Ser 2011-32, Cl S, IO
5.757%, 03/16/41 (A)		228		31
GNMA CMO, Ser 2011-32, Cl SD, IO
5.756%, 03/20/41 (A)		392		60
GNMA CMO, Ser 2011-40, Cl SA, IO
5.887%, 02/16/36 (A)		1,954		252
GNMA CMO, Ser 2011-70, Cl BS, IO
6.457%, 12/16/36 (A)		833		122
GNMA CMO, Ser 2011-H08, Cl FG
0.719%, 03/20/61 (A)		1,255		1,251
GNMA CMO, Ser 2011-H09, Cl AF
0.739%, 03/20/61 (A)		866		864


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

GNMA TBA
5.500%, 07/01/33	$	800	$	888
4.500%, 07/15/39		16,500		18,137
4.000%, 07/01/39		2,500		2,730
3.500%, 07/15/41 to 07/01/42		21,040		22,495
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/20		931		973
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.609%, 11/06/17 (A)		2,665		2,666
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.710%, 11/05/20 (A)		1,757		1,757

				735,382


Non-Agency Mortgage-Backed Obligations — 8.8%
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A
2.736%, 06/25/45 (A)		3,444		2,867
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A
2.478%, 11/25/45 (A)		3,219		2,276
Banc of America Funding, Ser 2003-1, Cl A1
6.000%, 05/20/33		17		18
Banc of America Funding, Ser 2006-G, Cl 2A3
0.414%, 07/20/36 (A)		2,458		2,431
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-2, Cl B
5.271%, 07/11/43		69		69
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002- PB2, Cl B
6.309%, 06/11/35		215		215
Banc of America Merrill Lynch Commercial Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/42		127		128
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/43 (A)		3,280		3,569
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		123		128
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-1, Cl AM
5.421%, 09/10/45 (A)		253		273
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (A)		2,845		3,212
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		1,089		1,205
Banc of America Merrill Lynch Commercial Mortgage, Ser 2007-1, Cl A2
5.381%, 01/15/49		92		92


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

Banc of America Merrill Lynch Commercial Mortgage, Ser 2007-3, Cl A3
5.805%, 06/10/49 (A)	$	1,360	$	1,393
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.321%, 05/25/34 (A)		1,129		1,077
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		52		52
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (A)		23		23
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/41		167		168
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.144%, 10/12/42 (A)		3,875		4,317
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A4
5.694%, 06/11/50 (A)		50		58
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A4
3.834%, 12/15/47		540		568
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
2.812%, 12/25/35 (A)		12,400		9,878
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.699%, 12/10/49 (A)		1,285		1,484
Citigroup, Ser 2005-CD1, Cl AM
5.213%, 07/15/44 (A)		512		553
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (A)		202		209
Commercial Mortgage Pass-Through Certificates, Ser CR1, Cl A3
3.391%, 05/15/45		823		837
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (D)		1		1
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B
6.304%, 07/16/34 (D)		826		829
Commercial Mortgage Pass-Through Certificates, Ser 2012-LC4, Cl A4
3.288%, 12/10/44		986		998
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33		957		1,006
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		207		211
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.252%, 08/25/35 (A)		370		176
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.570%, 11/20/35 (A)		3,941		2,271
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.645%, 09/25/35 (A) (D)		2,953		2,463


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

Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36	$	58	$	58
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
2.711%, 10/25/33 (A)		2,570		2,383
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B
5.253%, 08/15/36 (A)		461		473
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		287		294
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37		939		995
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM
4.730%, 07/15/37		450		475
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/39		686		759
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		4,342		4,818
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/44 (A) (D)		1,320		1,471
DBUBS Mortgage Trust, Ser 2011- LC3A, Cl XA, IO
1.501%, 08/10/44 (A) (D)		2,964		157
Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2
0.695%, 06/20/34 (A)		637		567
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (D)		1,749		1,838
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.643%, 11/19/44 (A)		1,968		1,113
Fund America Investors II, Ser 1993-A, Cl A2
4.350%, 06/25/23 (A)		108		108
GE Capital Assurance, Ser 2003-1, Cl A4
5.254%, 05/12/35 (A) (D)		2,915		3,092
GE Capital Commercial Mortgage, Ser 2005-C3, Cl A7A
4.974%, 07/10/45 (A)		551		606
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4
5.543%, 12/10/49		470		514
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		129		129
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		352		365
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/45 (A)		523		532
GMAC Commercial Mortgage Securities, Ser C2, Cl A1
4.576%, 05/10/40		350		355


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

Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4
4.948%, 01/11/35	$	353	$	355
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (A)		61		61
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/36 (A) (C)		3,225		3,418
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB
4.619%, 08/10/42		2,814		2,873
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (A)		1,584		1,731
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
6.071%, 07/10/38 (A) (C)		2,045		2,331
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM
6.071%, 07/10/38 (A)		400		418
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		5,704		6,328
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4
5.736%, 12/10/49		578		641
GS Mortgage Securities II, Ser 2011- GC5, Cl A4
3.707%, 08/10/44		4,535		4,756
GS Mortgage Securities II, Ser 2011- GC5, Cl XA, IO
1.772%, 08/10/44 (A) (D)		1,229		110
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (A) (D)		50		52
GSR Mortgage Loan Trust, Ser 2003- 13, Cl 1A1
4.441%, 10/25/33 (A)		1,162		1,171
GSR Mortgage Loan Trust, Ser 2005- AR4, Cl 3A5
2.785%, 07/25/35 (A)		7,000		5,128
Impac Funding, Ser 2010-1, Cl A1
5.314%, 01/25/51 (D)		1,487		1,624
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1
0.595%, 08/25/36 (A)		519		497
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (A)		12,085		4,313
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D
6.847%, 04/15/35 (A)		306		312
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2
5.050%, 12/12/34		314		316
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B
5.211%, 12/12/34 (A)		144		145
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1
4.393%, 07/12/37		56		56


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

JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/41	$	1,191	$	1,264
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42		124		126
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl AM
5.440%, 05/15/45		220		236
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/47		206		215
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		70		77
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4
5.440%, 06/12/47		284		320
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl A4
6.009%, 06/15/49 (A)		2,040		2,240
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/51 (A)		494		561
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/43 (D)		2,025		2,151
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1
3.300%, 08/05/32 (D)		342		363
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2
4.311%, 08/05/32 (D)		494		523
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-CBX, Cl A3
3.139%, 06/15/45		544		557
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-CBX, Cl A4
3.483%, 06/15/45		680		694
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
5.902%, 07/15/44 (A)		303		321
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		258		264
LB-UBS Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.794%, 07/15/40		870		925
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		80		82
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A3
5.866%, 09/15/45 (A)		1,217		1,395
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4
5.424%, 02/15/40		51		58
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (D)		2,788		2,713
Master Seasoned Securities Trust, Ser 2004-2, Cl A2
6.500%, 08/25/32		974		1,024


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

Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.205%, 02/25/34 (A)	$	1,529	$	1,530
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (A)		371		388
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3
5.172%, 12/12/49 (A)		7,000		7,756
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.305%, 05/25/29 (A)		690		655
Morgan Stanley Capital I, Ser 2004- T13, Cl A3
4.390%, 09/13/45		134		136
Morgan Stanley Capital I, Ser 2005- HQ5, Cl AAB
5.037%, 01/14/42		103		105
Morgan Stanley Capital I, Ser 2005- HQ7, Cl AAB
5.178%, 11/14/42 (A)		76		77
Morgan Stanley Capital I, Ser 2005- T19, Cl A4A
4.890%, 06/12/47		3,230		3,541
Morgan Stanley Capital I, Ser 2006- HQ9, Cl A4
5.731%, 07/12/44 (A)		2,280		2,597
Morgan Stanley Capital I, Ser 2006- T21, Cl A4
5.162%, 10/12/52 (A)		2,500		2,786
Morgan Stanley Capital I, Ser 2007- HQ13, Cl A1
5.357%, 12/15/44		38		38
Morgan Stanley Capital I, Ser 2007- IQ14, Cl A4
5.692%, 04/15/49 (A)		2,070		2,278
Morgan Stanley Capital I, Ser 2007- IQ16, Cl A4
5.809%, 12/12/49		283		327
Morgan Stanley Capital I, Ser 2011-C3, Cl A2
3.224%, 07/15/49		765		815
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/49		450		487
Morgan Stanley Capital I, Ser 2012-C4, Cl A4
3.244%, 03/15/45		829		838
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		23		23
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		192		194
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B
5.040%, 03/12/35		248		252
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.355%, 02/25/47 (A)		92		75


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

Nomura Asset Securities, Ser 1998-D6, Cl A2
7.332%, 03/15/30 (A)	$	921	$	940
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		324		328
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1
5.000%, 08/25/19		362		366
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.696%, 12/25/34 (A)		820		784
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (A)		107		109
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/41 (A)		175		179
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.565%, 10/25/35 (A)		1,203		726
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2
4.472%, 08/25/15 (A)		6,898		4,179
Structured Asset Securities, Ser 2005- 17, Cl 5A1
5.500%, 10/25/35		2,292		1,974
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl A3
3.400%, 05/10/45		680		692
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4
3.525%, 05/10/63		542		553
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (D)		58		59
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		470		473
Washington Mutual Mortgage Pass- Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		343		348
Washington Mutual Mortgage Pass- Through Certificates, Ser 2005-AR5, Cl A6
2.473%, 05/25/35 (A)		9,220		7,435
Washington Mutual Mortgage Pass- Through Certificates, Ser 2005- AR13, Cl A1A1
0.535%, 10/25/47 (A)		3,213		2,572
Washington Mutual Mortgage Pass- Through Certificates, Ser 2005- AR16, Cl 1A4A
2.450%, 12/25/35 (A)		12,955		9,733
Washington Mutual Mortgage Pass- Through Certificates, Ser 2006- AR13, Cl 1A
1.038%, 10/25/46 (A)		3,093		1,937
Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-OA6, Cl 1A
0.968%, 07/25/47 (A)		7,277		4,496


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

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1
2.653%, 06/25/34 (A)	$	1,884	$	1,843
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO
1.167%, 02/15/44 (A) (D)		3,578		188
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/44		2,025		2,137
WF-RBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA
1.614%, 06/15/45 (A) (D)		370		39
				185,890

Total Mortgage-Backed Securities (Cost $898,828) ($ Thousands)				921,272


CORPORATE OBLIGATIONS — 28.4%

Consumer Discretionary — 1.4%
Boyd Gaming
9.000%, 07/01/20 (B)		380		381
CBS
4.850%, 07/01/42		485		475
CCO Holdings
7.000%, 01/15/19		290		313
CityCenter Holdings
7.625%, 01/15/16		270		285
Comcast
6.500%, 01/15/15		985		1,111
6.500%, 01/15/17		2,385		2,839
5.650%, 06/15/35		120		134
5.300%, 01/15/14		2,340		2,490
4.650%, 07/15/42		910		910
Comcast Cable Communications Holdings
9.455%, 11/15/22		1,220		1,776
Daimler Finance North America LLC
6.500%, 11/15/13		1,320		1,415
1.875%, 09/15/14 (D)		1,310		1,317
1.650%, 04/10/15 (D)		1,155		1,160
DIRECTV Holdings
6.000%, 08/15/40		950		1,035
5.150%, 03/15/42		420		423
3.800%, 03/15/22		415		420
2.400%, 03/15/17		275		277
DISH DBS
7.875%, 09/01/19		690		795
6.750%, 06/01/21		320		346
Echostar DBS
7.750%, 05/31/15		30		33
Gap
5.950%, 04/12/21		590		611
Inn of the Mountain Gods Resort & Casino
8.750%, 11/30/20 (D)		189		182
LVMH Moet Hennessy Louis Vuitton
1.625%, 06/29/17 (D)		755		755
News America
6.650%, 11/15/37		180		210
6.200%, 12/15/34		65		74
6.150%, 03/01/37		1,556		1,763
6.150%, 02/15/41		253		296
Omnicom Group
3.625%, 05/01/22		195		198


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

Pearson Funding Four
3.750%, 05/08/22 (D)	$	535	$	546
Reynolds Group
6.875%, 02/15/21 (D)		180		187
Reynolds Group (Escrow)
7.750%, 10/15/16 (D)		110		116
7.125%, 04/15/19 (D)		1,290		1,351
Time Warner
6.250%, 03/29/41		525		611
4.750%, 03/29/21		730		817
3.150%, 07/15/15		1,100		1,160
Time Warner Cable
8.250%, 04/01/19		2,605		3,404
6.550%, 05/01/37		1,645		1,951
5.875%, 11/15/40		950		1,063
5.500%, 09/01/41		705		767
4.000%, 09/01/21 (C)		80		84
United Business Media
5.750%, 11/03/20 (D)		550		566
University of Pennsylvania
4.674%, 09/01/12 (2112)		405		465
WPP Finance UK
8.000%, 09/15/14		240		271
Wyndham Worldwide
4.250%, 03/01/22		735		740
2.950%, 03/01/17		330		328

				36,451


Consumer Staples — 1.7%
Altria Group
9.250%, 08/06/19		1,250		1,736
4.750%, 05/05/21		720		816
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19		2,570		3,394
5.375%, 11/15/14		95		105
5.375%, 01/15/20		1,360		1,621
5.050%, 10/15/16		940		1,071
5.000%, 04/15/20		560		656
Coca-Cola
1.800%, 09/01/16		1,020		1,048
CVS Caremark
9.350%, 01/10/23 (D)		860		984
Diageo Capital
4.828%, 07/15/20		1,580		1,841
Diageo Investment
2.875%, 05/11/22		1,120		1,150
HJ Heinz
5.350%, 07/15/13		510		535
Kellogg
1.750%, 05/17/17		225		225
Kraft Foods
6.500%, 02/09/40		1,090		1,400
5.375%, 02/10/20		2,480		2,935
Kraft Foods Group
5.000%, 06/04/42 (D)		460		487
3.500%, 06/06/22 (D)		2,400		2,463
Molson Coors Brewing
3.500%, 05/01/22		100		103
PepsiCo
2.750%, 03/05/22		1,390		1,403
2.500%, 05/10/16		630		661
Pernod-Ricard
5.750%, 04/07/21 (D)		1,119		1,263
5.500%, 01/15/42 (D)		651		667
4.450%, 01/15/22 (D)		1,300		1,347
2.950%, 01/15/17 (D)		360		364


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

Philip Morris International
4.500%, 03/20/42	$	530	$	564
2.900%, 11/15/21		1,030		1,061
1.625%, 03/20/17		1,415		1,430
Reynolds American
6.750%, 06/15/17		1,260		1,513
SABMiller Holdings
3.750%, 01/15/22 (D)		645		686
Safeway
4.750%, 12/01/21		730		724
3.950%, 08/15/20		310		299
Tyson Foods
4.500%, 06/15/22		1,145		1,179
Wal-Mart Stores
5.625%, 04/15/41		785		1,022

				36,753


Energy — 3.5%
Anadarko Finance, Ser B
7.500%, 05/01/31		910		1,146
Anadarko Petroleum
6.375%, 09/15/17		410		476
Apache
6.000%, 09/15/13		1,670		1,776
3.250%, 04/15/22		565		590
Arch Coal
7.000%, 06/15/19 (C)		920		777
Baker Hughes
7.500%, 11/15/18		1,230		1,624
BG Energy Capital PLC
4.000%, 10/15/21 (D)		910		971
BP Capital Markets
5.250%, 11/07/13 (C)		1,790		1,897
3.875%, 03/10/15		210		225
3.561%, 11/01/21		100		106
3.245%, 05/06/22		230		238
1.846%, 05/05/17		1,070		1,081
Canadian Oil Sands
6.000%, 04/01/42 (D)		875		928
Chesapeake Energy
6.875%, 11/15/20 (C)		450		443
6.625%, 08/15/20 (C)		20		20
6.500%, 08/15/17 (C)		275		274
Chesapeake Midstream Partners
6.125%, 07/15/22		680		666
Cie Generale de Geophysique-Veritas
7.750%, 05/15/17		110		114
Concho Resources
5.500%, 10/01/22		560		554
Conoco Funding
7.250%, 10/15/31		50		72
ConocoPhillips
5.900%, 10/15/32		10		13
5.900%, 05/15/38		1,130		1,472
Consol Energy
8.250%, 04/01/20		660		693
DCP Midstream Operating
4.950%, 04/01/22		795		816
Devon Energy
5.600%, 07/15/41		1,635		1,897
3.250%, 05/15/22		630		641
El Paso
6.950%, 06/01/28		6,750		6,777
El Paso Pipeline Partners Operating
7.500%, 11/15/40		255		323
4.100%, 11/15/15		650		680


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

Encana
6.500%, 02/01/38	$	1,130	$	1,242
Energen
4.625%, 09/01/21		670		691
Energy Transfer Partners
9.000%, 04/15/19		104		130
6.500%, 02/01/42		435		466
5.200%, 02/01/22		290		311
Enterprise Products Operating
9.750%, 01/31/14		1,910		2,155
6.125%, 10/15/39		50		57
5.950%, 02/01/41		120		136
5.700%, 02/15/42		1,080		1,195
5.250%, 01/31/20		260		298
4.850%, 08/15/42		20		20
4.050%, 02/15/22		280		297
Hess
7.875%, 10/01/29		1,070		1,399
7.300%, 08/15/31		450		563
Husky Energy
7.250%, 12/15/19		209		258
Kerr-McGee
7.875%, 09/15/31		670		869
6.950%, 07/01/24		1,760		2,178
Key Energy Services
6.750%, 03/01/21		1,290		1,258
Kinder Morgan Energy Partners
6.000%, 02/01/17		505		583
5.850%, 09/15/12		130		131
5.000%, 12/15/13		720		755
3.950%, 09/01/22		480		486
Marathon Petroleum
6.500%, 03/01/41		788		896
MarkWest Energy Partners
6.250%, 06/15/22		200		206
Noble Energy
4.150%, 12/15/21		1,370		1,441
Occidental Petroleum
3.125%, 02/15/22		780		813
2.700%, 02/15/23		660		664
Peabody Energy
6.500%, 09/15/20 (C)		630		638
Pemex Project Funding Master Trust
6.625%, 06/15/35		1,667		1,984
Petrobras International Finance
6.125%, 10/06/16		655		733
5.750%, 01/20/20		574		628
5.375%, 01/27/21		2,080		2,242
3.875%, 01/27/16 (C)		600		619
3.500%, 02/06/17		1,375		1,411
2.875%, 02/06/15		560		568
Petro-Canada
6.800%, 05/15/38		1,665		2,078
Petroleos Mexicanos
6.500%, 06/02/41 (D)		115		134
1.950%, 12/20/22		948		949
Phillips 66
5.875%, 05/01/42 (D)		510		549
QEP Resources
6.875%, 03/01/21		700		777
Reliance Holdings USA
5.400%, 02/14/22 (D)		425		425
Schlumberger Investment
1.950%, 09/14/16 (D)		810		830


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

SESI LLC
7.125%, 12/15/21 (D)	$	180	$	196
Shell International Finance
4.375%, 03/25/20		1,700		1,980
Sinopec Group Overseas Development 2012
2.750%, 05/17/17 (D)		490		498
Southern Natural Gas
8.000%, 03/01/32		170		220
Southern Union
8.250%, 11/15/29		1,315		1,622
Talisman Energy
7.750%, 06/01/19		437		536
Tennessee Gas Pipeline
8.375%, 06/15/32		1,638		2,143
7.625%, 04/01/37		430		529
Total Capital International
1.550%, 06/28/17		1,635		1,639
Transocean
7.350%, 12/15/41		270		327
6.375%, 12/15/21		815		932
Western Gas Partners
5.375%, 06/01/21		605		670
4.000%, 07/01/22		580		580
Williams
7.875%, 09/01/21		1,268		1,601
7.750%, 06/15/31		861		1,069
WPX Energy
6.000%, 01/15/22 (D)		290		289

				76,184


Financials — 15.4%
ABB Treasury Center USA
2.500%, 06/15/16 (D)		1,220		1,262
Achmea Hypotheekbank
3.200%, 11/03/14 (D)		1,367		1,426
Allstate
7.450%, 05/16/19		1,085		1,389
Ally Financial
2.667%, 12/01/14 (A)		2,234		2,143
American Express
6.800%, 09/01/66 (A)		2,150		2,221
American Express Credit MTN
2.375%, 03/24/17		1,223		1,253
1.750%, 06/12/15		350		354
American Honda Finance MTN
3.875%, 09/21/20 (D)		1,065		1,141
American International Group
6.400%, 12/15/20		260		294
6.250%, 03/15/37		2,560		2,368
5.850%, 01/16/18		980		1,083
4.875%, 06/01/22 (C)		555		568
3.750%, 11/30/13 (D)		500		506
American Tower ‡
5.050%, 09/01/20		244		256
4.500%, 01/15/18		830		878
ASIF Global Financing XIX
4.900%, 01/17/13 (D)		390		394
Bank of America
6.500%, 08/01/16		1,125		1,235
6.000%, 09/01/17		745		804
5.875%, 02/07/42		280		307
5.750%, 12/01/17		1,470		1,569
5.700%, 01/24/22		142		156
5.650%, 05/01/18		270		289
5.625%, 10/14/16		4,135		4,394


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

5.420%, 03/15/17	$	4,400	$	4,556
5.000%, 05/13/21		840		867
4.500%, 04/01/15		180		186
3.875%, 03/22/17 (C)		699		712
3.625%, 03/17/16		2,275		2,285
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (D)		450		475
Barclays Bank PLC
6.050%, 12/04/17 (D)		420		424
5.125%, 01/08/20		1,310		1,422
5.000%, 09/22/16		170		185
2.250%, 05/10/17 (D)		540		540
BAT Finance PLC
2.125%, 06/07/17 (D)		1,000		999
BBVA US Senior SAU
3.250%, 05/16/14		1,220		1,174
Bear Stearns
6.400%, 10/02/17		70		81
4.650%, 07/02/18		995		1,047
Berkshire Hathaway
3.400%, 01/31/22		1,139		1,194
3.200%, 02/11/15 (C)		950		1,009
Berkshire Hathaway Finance
5.400%, 05/15/18		615		726
4.400%, 05/15/42		218		224
1.600%, 05/15/17		825		831
Boeing Capital
4.700%, 10/27/19		490		577
2.900%, 08/15/18		425		454
Boston Properties ‡
3.850%, 02/01/23		935		944
3.700%, 11/15/18		335		350
CDP Financial
3.000%, 11/25/14 (D)		2,450		2,576
Chase Capital VI
1.091%, 08/01/28 (A)		2,500		1,902
Citigroup
6.875%, 03/05/38		2,775		3,394
6.125%, 05/15/18		4,790		5,348
6.000%, 12/13/13		1,320		1,387
5.375%, 08/09/20		30		32
5.000%, 09/15/14		3,245		3,326
4.500%, 01/14/22		1,016		1,049
4.450%, 01/10/17		925		970
2.650%, 03/02/15		980		980
0.738%, 06/09/16 (A)		3,650		3,162
Citigroup Capital III
7.625%, 12/01/36		1,500		1,664
Citigroup Funding
1.875%, 10/22/12		1,855		1,864
Commonwealth Bank of Australia MTN
5.000%, 10/15/19 (D)		10		11
3.750%, 10/15/14 (D)		1,060		1,110
Commonwealth Bank of Australia NY
1.950%, 03/16/15		1,330		1,339
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA
11.000%, 12/31/49 (A) (D)		1,810		2,277
3.875%, 02/08/22		560		569
Countrywide Financial
6.250%, 05/15/16		1,080		1,124
Credit Agricole
8.375%, 12/31/49 (B) (C) (D)		2,460		2,023
2.625%, 01/21/14 (D)		730		718


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

Credit Suisse
1.625%, 03/06/15 (D)	$	990	$	994
Credit Suisse New York
6.000%, 02/15/18 (C)		2,418		2,587
DDR ‡
4.625%, 07/15/22		395		390
Deutsche Bank MTN
4.875%, 05/20/13		1,830		1,884
Deutsche Bank Capital Funding Trust
VII
5.628%, 01/19/49 (A) (C) (D)		2,760		2,291
Dexia Credit Local
2.750%, 04/29/14 (D)		940		917
DnB Boligkreditt
2.100%, 10/14/15 (D)		2,820		2,871
Experian Finance
2.375%, 06/15/17 (D)		970		971
Farmer Mac Guaranteed Notes Trust
5.125%, 04/19/17 (D)		3,540		4,164
Farmers Exchange Capital
7.050%, 07/15/28 (D)		1,434		1,646
Farmers Insurance Exchange
8.625%, 05/01/24 (D)		3,017		3,918
FDIC Structured Sale Guaranteed
Notes, Ser A-3
1.471%, 10/25/13 (B) (D)		470		467
First Industrial L.P. MTN
7.500%, 12/01/17		970		1,002
Ford Motor Credit LLC
8.125%, 01/15/20		1,440		1,759
5.875%, 08/02/21		935		1,040
2.750%, 05/15/15		1,345		1,356
General Electric Capital MTN
7.125%, 12/31/49 (A)		600		634
6.875%, 01/10/39		1,640		2,116
6.375%, 11/15/19 (A)		5,870		6,112
6.150%, 08/07/37		600		709
5.875%, 01/14/38		1,390		1,596
5.625%, 05/01/18		4,535		5,213
5.450%, 01/15/13		20		20
4.375%, 09/16/20		2,460		2,661
2.300%, 04/27/17		825		831
1.625%, 07/02/15		1,620		1,619
0.846%, 05/05/26 (A)		4,700		3,844
0.597%, 03/20/14 (A)		1,900		1,863
Glitnir Banki HF
7.451%, 09/14/16 (D) (E)		400		—
6.693%, 06/15/16 (D) (E)		3,960		—
Goldman Sachs Capital II
4.000%, 06/01/43 (A)		200		135
Goldman Sachs Group MTN
6.250%, 02/01/41		1,910		1,992
6.150%, 04/01/18		3,780		4,098
6.000%, 06/15/20		690		737
5.950%, 01/18/18		3,310		3,543
5.750%, 01/24/22		110		116
5.450%, 11/01/12		2,540		2,577
5.375%, 03/15/20		1,790		1,843
5.350%, 01/15/16		660		693
5.250%, 10/15/13		390		405
5.250%, 07/27/21		240		244
4.750%, 07/15/13		40		41
3.625%, 08/01/12 (C)		270		270
3.625%, 02/07/16		1,700		1,700
3.300%, 05/03/15		930		930


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

Goodman Funding Pty Ltd. ‡
6.000%, 03/22/22 (D)	$	250	$	253
Hartford Financial Services Group
6.625%, 04/15/42		185		191
HBOS Capital Funding
6.071%, 06/30/49 (A) (C) (D)		1,330		864
HBOS PLC MTN
6.750%, 05/21/18 (D)		2,100		1,981
HCP MTN ‡
6.300%, 09/15/16		1,075		1,211
6.000%, 01/30/17		4,000		4,481
5.650%, 12/15/13		894		944
3.750%, 02/01/19		875		873
Health Care ‡
6.500%, 03/15/41		1,210		1,293
5.250%, 01/15/22		900		955
4.950%, 01/15/21		2,500		2,622
Highwoods Properties ‡
7.500%, 04/15/18		1,142		1,313
HSBC Bank PLC
4.750%, 01/19/21 (D)		1,760		1,918
HSBC Finance
6.676%, 01/15/21		60		65
HSBC Holdings PLC
6.800%, 06/01/38		635		727
4.000%, 03/30/22		935		971
HSBC USA
2.375%, 02/13/15		1,990		2,013
ICICI Bank Ltd.
6.375%, 04/30/22 (A) (D)		1,260		1,121
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (D)		400		292
ING Capital Funding Trust III
4.061%, 12/29/49 (A)		40		33
Inter-American Development Bank MTN
3.875%, 10/28/41		845		914
International Lease Finance
7.125%, 09/01/18 (C) (D)		1,080		1,191
6.500%, 09/01/14 (C) (D)		2,530		2,669
Intesa Sanpaolo SPA
3.625%, 08/12/15 (D)		500		450
John Deere Capital
2.250%, 04/17/19		790		807
0.950%, 06/29/15		325		326
JPMorgan Chase
6.000%, 01/15/18		135		155
5.750%, 01/02/13		1,710		1,753
5.400%, 01/06/42		425		467
4.750%, 05/01/13		510		526
4.650%, 06/01/14		2,055		2,164
4.500%, 01/24/22		710		765
4.400%, 07/22/20		210		221
4.350%, 08/15/21		215		227
4.250%, 10/15/20		1,260		1,324
3.450%, 03/01/16		2,785		2,887
JPMorgan Chase Bank
6.000%, 07/05/17		2,250		2,509
6.000%, 10/01/17		1,000		1,120
0.798%, 06/13/16 (A)		1,300		1,211
JPMorgan Chase Capital XIII
1.411%, 09/30/34 (A)		1,750		1,321
JPMorgan Chase Capital XXIII
1.467%, 05/15/47 (A)		1,900		1,287


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

Kaupthing Bank
7.125%, 05/19/16 (D) (E)	$	1,350	$	—
Kilroy Realty ‡
5.000%, 11/03/15		265		282
4.800%, 07/15/18		390		410
Landsbanki Islands
6.100%, 08/25/11 (D) (E)		5,570		278
Lazard Group LLC
7.125%, 05/15/15		912		996
6.850%, 06/15/17		1,297		1,423
Liberty Mutual Group
6.500%, 05/01/42 (D)		730		739
Lloyds TSB Bank PLC
6.375%, 01/21/21		430		487
4.200%, 03/28/17		475		490
Markel
4.900%, 07/01/22		655		660
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (D)		1,125		1,612
MBNA Capital A
8.278%, 12/01/26		1,450		1,486
Merrill Lynch MTN
8.950%, 05/18/17 (A)		1,790		2,009
8.680%, 05/02/17 (A)		3,160		3,523
7.430%, 09/01/22		3		3
6.050%, 05/16/16		350		362
5.700%, 05/02/17		1,300		1,338
5.450%, 02/05/13		2,080		2,122
MetLife
6.750%, 06/01/16		1,060		1,243
6.400%, 12/15/36		450		441
5.700%, 06/15/35		285		338
4.750%, 02/08/21		540		601
MetLife Capital Trust IV
7.875%, 12/15/37 (D)		800		888
MetLife Capital Trust X
9.250%, 04/08/38 (D)		1,800		2,205
Metropolitan Life Global Funding I MTN
5.125%, 04/10/13 (D)		1,260		1,302
5.125%, 06/10/14 (D)		1,600		1,716
2.500%, 09/29/15 (D)		1,090		1,117
1.700%, 06/29/15 (D)		535		535
Morgan Stanley MTN
7.300%, 05/13/19		1,860		2,009
6.625%, 04/01/18		1,640		1,715
6.000%, 04/28/15		630		651
5.950%, 12/28/17		100		103
5.625%, 09/23/19		160		158
5.500%, 07/28/21		1,095		1,079
4.750%, 03/22/17		140		140
3.800%, 04/29/16		135		131
0.916%, 10/18/16 (A)		9,315		8,118
Murray Street Investment Trust I
4.647%, 03/09/17 (G)		2,320		2,324
National Australia Bank
5.350%, 06/12/13 (D)		2,500		2,605
Nationwide Mutual Insurance
5.810%, 12/15/24 (A) (D)		2,975		2,677
New York Life Global Funding
3.000%, 05/04/15 (D)		1,840		1,935
New York Life Insurance
6.750%, 11/15/39 (D)		415		549
NIBC Bank MTN
2.800%, 12/02/14 (D)		740		768


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

Nordea Bank
4.875%, 05/13/21 (D)	$	1,965	$	1,915
3.700%, 11/13/14 (D)		440		458
3.125%, 03/20/17 (D)		255		256
2.250%, 03/20/15 (D)		1,180		1,184
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (D)		755		919
PNC Funding
2.700%, 09/19/16		885		917
Pricoa Global Funding I
5.450%, 06/11/14 (D)		3,400		3,682
Prime Property Fund ‡
5.500%, 01/15/14 (D)		1,850		1,893
Private Export Funding
2.450%, 07/15/24		1,081		1,070
Prudential Covered Trust
2.997%, 09/30/15 (D)		665		676
Prudential Financial MTN
5.625%, 05/12/41		166		169
4.750%, 09/17/15		548		590
Prudential Holdings
8.695%, 12/18/23 (D)		1,300		1,605
Royal Bank of Scotland Group PLC
7.648%, 08/31/49 (A) (C)		160		128
7.640%, 09/29/17 (A)		900		598
6.400%, 10/21/19		280		299
5.000%, 10/01/14		1,240		1,245
Santander US Debt Unipersonal
3.781%, 10/07/15 (D)		100		93
3.724%, 01/20/15 (D)		1,200		1,116
Simon Property Group L.P. ‡
5.750%, 12/01/15		910		1,017
SLM MTN
5.625%, 08/01/33		595		503
5.050%, 11/14/14		690		711
5.000%, 04/15/15		120		121
Sparebank 1 Boligkreditt
2.300%, 06/30/17 (D)		2,720		2,732
Stadshypotek
1.450%, 09/30/13 (D)		1,245		1,255
Standard Chartered
3.200%, 05/12/16 (D)		1,245		1,273
State Street
4.956%, 03/15/18		1,260		1,349
Sumitomo Mitsui Banking
3.150%, 07/22/15 (D)		1,360		1,429
3.100%, 01/14/16 (D)		200		210
SunTrust Preferred Capital I
4.000%, 02/13/12 (A)		259		185
Svensk Exportkredit
1.750%, 10/20/15		1,820		1,850
1.750%, 05/30/17		550		553
Svenska Handelsbanken
2.875%, 04/04/17		1,370		1,389
Swedbank Hypotek
2.375%, 04/05/17 (D)		1,395		1,410
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (D)		1,300		1,679
Toyota Motor Credit MTN
3.400%, 09/15/21		810		852
UBS MTN
2.250%, 01/28/14		1,050		1,055
Ventas Realty L.P. ‡
4.000%, 04/30/19		2,190		2,246


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

Wachovia
5.250%, 08/01/14	$	2,570	$	2,742
Wachovia Capital Trust III
5.570%, 05/31/16 (A)		2,850		2,722
WEA Finance LLC
7.125%, 04/15/18 (D)		3,000		3,554
6.750%, 09/02/19 (D)		1,230		1,451
4.625%, 05/10/21 (D)		240		254
Wells Fargo MTN
4.600%, 04/01/21		160		178
3.676%, 06/15/16 (G)		680		724
2.100%, 05/08/17		1,410		1,413
Wells Fargo Capital X
5.950%, 12/15/36		760		763
Westpac Banking
4.875%, 11/19/19		105		114
Woodbourne Capital Trust III
1.360%, 04/08/49 (A) (D)		500		180
Woodbourne Capital Trust IV
1.360%, 04/08/49 (A) (D)		275		99
WR Berkley
5.375%, 09/15/20		85		92
4.625%, 03/15/22		326		329

				316,406


Health Care — 1.5%
Amgen
5.650%, 06/15/42		1,060		1,183
5.375%, 05/15/43		405		438
5.150%, 11/15/41		985		1,028
Aristotle Holding
3.500%, 11/15/16 (D)		2,270		2,390
2.650%, 02/15/17 (D)		1,335		1,358
2.100%, 02/12/15 (D)		1,175		1,186
Becton Dickinson
3.125%, 11/08/21		185		193
Boston Scientific
6.400%, 06/15/16		820		944
Coventry Health Care
5.950%, 03/15/17		1,062		1,205
Gilead Sciences
5.650%, 12/01/41		650		758
4.500%, 04/01/21		510		567
GlaxoSmithKline Capital
5.650%, 05/15/18		810		979
2.850%, 05/08/22		870		885
1.500%, 05/08/17		2,280		2,284
HCA
7.500%, 11/15/95		3,800		3,040
Humana
7.200%, 06/15/18		1,150		1,382
Life Technologies
5.000%, 01/15/21		430		478
Medtronic
4.450%, 03/15/20		730		838
Roche Holdings
6.000%, 03/01/19 (D)		730		908
Tenet Healthcare
8.875%, 07/01/19		900		1,010
Thermo Fisher Scientific
3.600%, 08/15/21		350		376
3.200%, 03/01/16		435		466
UnitedHealth Group
6.875%, 02/15/38		100		139
6.000%, 06/15/17		51		61
5.800%, 03/15/36		280		346


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

5.700%, 10/15/40	$	510	$	628
3.875%, 10/15/20		530		577
WellPoint
6.800%, 08/01/12		1,000		1,005
5.875%, 06/15/17		2,190		2,583
4.625%, 05/15/42		250		258
3.125%, 05/15/22		545		549
Wyeth
5.950%, 04/01/37		1,100		1,444

				31,486


Industrials — 1.0%
ABB Finance USA
1.625%, 05/08/17		410		412
ADT
4.875%, 07/15/42 (D)		405		397
3.500%, 07/15/22 (D)		623		625
2.250%, 07/15/17 (D)		461		463
BAE Systems
4.750%, 10/11/21 (D)		1,785		1,918
Boeing
4.875%, 02/15/20		1,380		1,656
Cedar Brakes I LLC
8.500%, 02/15/14 (D)		475		498
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2
7.256%, 03/15/20		2,661		2,874
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/22		1,550		1,682
Continental Airlines Pass-Through Trust, Ser 2009-1
9.000%, 07/08/16		2,654		3,039
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/22		1,393		1,497
Hutchison Whampoa International 11
4.625%, 01/13/22 (D)		640		671
3.500%, 01/13/17 (D)		235		244
JetBlue Airways, Ser 2004-2, Cl G1
0.842%, 08/15/16 (A)		2,471		2,292
Kansas City Southern de Mexico
12.500%, 04/01/16		522		592
Lockheed Martin
3.350%, 09/15/21		1,035		1,070
Northrop Grumman
1.850%, 11/15/15		1,140		1,155
Raytheon
3.125%, 10/15/20		430		451
United Air Lines
9.750%, 01/15/17		200		228
United Parcel Service
4.500%, 01/15/13		980		1,002
United Technologies
4.500%, 06/01/42		1,530		1,681
3.100%, 06/01/22		1,945		2,038
1.800%, 06/01/17		560		572
1.200%, 06/01/15		280		283
Waste Management
7.375%, 05/15/29		330		437
2.600%, 09/01/16		290		298

				28,075


Information Technology — 0.0%
Fiserv
3.125%, 06/15/16		505		521


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

Hewlett-Packard
6.000%, 09/15/41	$	400	$	441
2.600%, 09/15/17		345		346
National Semiconductor
6.600%, 06/15/17		170		210

				1,518


Materials — 0.8%
Barrick
3.850%, 04/01/22		985		1,020
Barrick North America Finance LLC
4.400%, 05/30/21		1,350		1,455
BHP Billiton Finance USA
3.250%, 11/21/21		2,110		2,202
Celulosa Arauco y Constitucion
4.750%, 01/11/22 (D)		400		409
4.750%, 01/11/22		120		123
CodelCo
4.750%, 10/15/14 (D)		470		501
Dow Chemical
8.550%, 05/15/19		178		237
5.250%, 11/15/41		420		464
Ecolab
4.350%, 12/08/21		290		321
FMG Resources August 2006 Pty
6.375%, 02/01/16 (D) (C)		120		121
Freeport-McMoRan Copper
3.550%, 03/01/22		1,300		1,279
LyondellBasell Industries
6.000%, 11/15/21 (D)		200		220
5.750%, 04/15/24 (D)		200		214
5.000%, 04/15/19 (D)		200		210
Novelis
8.750%, 12/15/20		190		205
Potash Corp of Saskatchewan
4.875%, 03/30/20		280		323
PPG Industries
5.750%, 03/15/13		435		450
Rio Tinto Finance USA Ltd.
6.500%, 07/15/18		2,190		2,699
3.750%, 09/20/21		490		526
Steel Dynamics
6.750%, 04/01/15		810		822
Teck Resources Limited
10.250%, 05/15/16		52		58
6.250%, 07/15/41		326		365
Vale Overseas Limited
6.875%, 11/21/36		1,510		1,752
4.375%, 01/11/22		2,358		2,401

				18,377


Telecommunication Services — 1.1%
America Movil
5.625%, 11/15/17		440		515
5.000%, 03/30/20		750		852
2.375%, 09/08/16		415		426
AT&T
6.500%, 09/01/37		1,380		1,754
6.450%, 06/15/34		625		778
6.400%, 05/15/38		285		359
5.600%, 05/15/18		60		72
5.550%, 08/15/41		40		48
5.500%, 02/01/18		1,880		2,234
5.350%, 09/01/40		380		436
5.100%, 09/15/14		1,530		1,670


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

1.600%, 02/15/17	$	840	$	841
0.875%, 02/13/15		1,250		1,249
British Telecommunications PLC
9.625%, 12/15/30		50		75
Cellco Partnership
8.500%, 11/15/18		490		670
CenturyLink
7.650%, 03/15/42		290		281
Deutsche Telekom International Finance
5.750%, 03/23/16		1,380		1,547
2.250%, 03/06/17 (D)		1,690		1,670
Intelsat Jackson Holdings
7.500%, 04/01/21		250		264
Rogers Communications
6.750%, 03/15/15		1,015		1,161
Sprint Capital
8.750%, 03/15/32		910		828
6.875%, 11/15/28		100		80
Telefonica Emisiones SAU
5.877%, 07/15/19		90		81
5.134%, 04/27/20		290		250
Telefonica Moviles Chile
2.875%, 11/09/15 (D)		505		507
Telemar Norte Leste SA
5.500%, 10/23/20 (D)		210		214
Verizon Communications
6.100%, 04/15/18		465		567
6.000%, 04/01/41		570		723
5.500%, 02/15/18		1,920		2,273
Verizon Global Funding
7.750%, 12/01/30		1,060		1,495
5.850%, 09/15/35		115		142

				24,062


Utilities — 2.0%
Ameren
8.875%, 05/15/14		640		713
Aquila
11.875%, 07/01/12		2,535		2,535
Arizona Public Service
4.500%, 04/01/42		600		619
Calpine
7.500%, 02/15/21 (D)		860		929
Carolina Power & Light
4.100%, 05/15/42		470		490
Cedar Brakes II LLC
9.875%, 09/01/13 (D)		654		676
Cleveland Electric Illuminating
8.875%, 11/15/18		680		909
CMS Energy
5.050%, 03/15/22		410		425
2.750%, 05/15/14		385		387
Comision Federal de Electricidad
5.750%, 02/14/42 (D)		380		399
Dominion Resources
8.875%, 01/15/19		675		918
1.950%, 08/15/16		265		270
Duke Energy
6.300%, 02/01/14		140		151
Duke Energy Carolinas LLC
5.625%, 11/30/12		1,470		1,500
Duke Energy Indiana
4.200%, 03/15/42		545		563
Energy Future Holdings
10.000%, 12/01/20		686		746


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

Exelon
5.625%, 06/15/35	$	1,060	$	1,149
Exelon Generation LLC
6.250%, 10/01/39		45		49
5.200%, 10/01/19		40		44
FirstEnergy, Ser C
7.375%, 11/15/31		1,735		2,178
Florida Gas Transmission
3.875%, 07/15/22 (D)		1,700		1,709
KCP&L Greater Missouri Operations
8.270%, 11/15/21		2,700		3,374
Midamerican Energy Holdings
6.500%, 09/15/37 (C)		1,215		1,600
6.125%, 04/01/36		125		156
Nisource Finance
6.800%, 01/15/19		2,261		2,711
5.250%, 02/15/43		375		380
Oncor Electric Delivery
6.800%, 09/01/18		1,075		1,285
5.300%, 06/01/42 (D)		1,500		1,580
Pacific Gas & Electric
8.250%, 10/15/18		280		377
5.800%, 03/01/37		800		994
4.450%, 04/15/42		700		735
Panhandle Eastern Pipeline
8.125%, 06/01/19		2,500		3,098
PPL Capital Funding
4.200%, 06/15/22		605		607
PPL WEM Holdings PLC
3.900%, 05/01/16 (D)		715		749
Progress Energy
3.150%, 04/01/22		495		500
PSEG Power LLC
2.750%, 09/15/16		320		325
Public Service of New Mexico
7.950%, 05/15/18		1,805		2,161
PVNGS II Funding
8.000%, 12/30/15		1,279		1,328
San Diego Gas & Electric
4.300%, 04/01/42		140		156
Southern California Edison
4.050%, 03/15/42		280		292
Southwestern Electric Power
3.550%, 02/15/22		890		907
Texas-New Mexico Power
9.500%, 04/01/19 (D)		1,380		1,882

				42,556

Total Corporate Obligations (Cost $576,680) ($ Thousands)				611,868


U.S. TREASURY OBLIGATIONS — 16.0%
U.S. Treasury Bills (B)
0.099%, 09/13/12 (H)		40		40
0.072%, 08/30/12		6,005		6,004
U.S. Treasury Bonds
7.625%, 02/15/25		2,950		4,829
4.500%, 02/15/36 to 05/15/38		12,088		16,313
4.375%, 05/15/41		2,639		3,525
4.250%, 11/15/40		1,638		2,143
3.750%, 08/15/41 (H)		12,245		14,767
3.125%, 11/15/41 to 02/15/42		89,871		96,574
3.000%, 05/15/42		1,971		2,064


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

U.S. Treasury Inflation Protected Security
3.875%, 04/15/29	$	602	$	972
2.375%, 01/15/25 (H)		952		1,254
2.125%, 02/15/41		3,987		5,691
1.750%, 01/15/28		297		372
0.625%, 04/15/13		3,015		3,020
U.S. Treasury Notes
3.375%, 07/31/13		8,532		8,819
3.000%, 09/30/16		5,140		5,649
2.750%, 10/31/13		7,965		8,224
2.625%, 08/15/20		8,648		9,518
2.375%, 02/28/15		6,074		6,391
2.000%, 11/15/21 to 02/15/22		8,481		8,773
1.875%, 02/28/14 to 10/31/17		5,882		6,144
1.750%, 07/31/15 to 05/15/22		18,164		18,424
1.375%, 10/15/12 to 11/15/12		4,735		4,753
1.250%, 04/30/19		16,300		16,481
1.000%, 09/30/16		1,040		1,056
0.875%, 12/31/16 to 01/31/17		29,964		30,225
0.750%, 06/30/17		8,074		8,082
0.625%, 05/31/17		6,246		6,217
0.375%, 03/15/15 to 06/15/15		30,644		30,621
0.250%, 10/31/13 to 05/31/14		18,272		18,260

Total U.S. Treasury Obligations (Cost $331,022) ($ Thousands)				345,205


ASSET-BACKED SECURITIES — 8.4%

Automotive — 0.1%
Ally Auto Receivables Trust, Ser 2011- 4, Cl A2
0.650%, 03/17/14		391		391
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3
0.960%, 01/09/17		910		910
Avis Budget Rental Car Funding AESOP, Ser 2010-3A, Cl A
4.640%, 05/20/16 (D)		600		649
Avis Budget Rental Car Funding AESOP, Ser 2010-5A, Cl A
3.150%, 03/20/17 (D)		140		147
Avis Budget Rental Car Funding AESOP, Ser 2012-2A, Cl A
2.802%, 05/20/18 (D)		475		490
Ford Credit Auto Owner Trust, Ser 2009-D, Cl A3
2.170%, 10/15/13		148		148
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		74		74
Hertz Vehicle Financing, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (D)		1,100		1,207
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A4
4.430%, 07/15/15		764		769
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/16 (D)		721		734
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3
1.220%, 12/15/15		443		444


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

Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A3
1.400%, 08/15/16	$	593	$	593

				6,556


Credit Cards — 0.4%
Capital One Multi-Asset Execution Trust, Ser 2005-A6, Cl A6
0.517%, 07/15/15 (A)		2,108		2,107
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A
0.322%, 09/15/15 (A)		213		213
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5
0.302%, 01/15/16 (A)		127		127
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8
0.768%, 10/15/15 (A)		1,919		1,921
Chase Issuance Trust, Ser 2008-A13, Cl A13
1.968%, 09/15/15 (A)		817		832
Citibank Omni Master Trust, Ser 2009- A14A, Cl A14
2.992%, 08/15/18 (A) (D)		2,226		2,338
GE Capital Credit Card Master Note Trust, Ser 2012-4, Cl A
0.541%, 06/15/18 (A)		1,347		1,347
World Financial Network Credit Card Master Trust, Ser 2011-A, Cl A
1.680%, 08/15/18		763		771

				9,656


Mortgage Related Securities — 1.6%
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2
0.515%, 04/25/28 (A)		34		29
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.485%, 03/25/30 (A)		2,881		973
Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2
8.280%, 08/25/30		1,748		1,706
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1
0.345%, 03/25/37 (A)		431		427
Centex Home Equity, Ser 2006-A, Cl AV4
0.495%, 06/25/36 (A)		4,917		2,813
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.285%, 12/25/36 (A)		39		39
Conseco Finance, Ser 2001-D, Cl A5
6.690%, 11/15/32 (A)		576		580
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		2		2
EMC Mortgage Loan Trust, Ser 2002- AA, Cl A1
0.715%, 05/25/39 (A) (D)		1,153		967
HSBC Home Equity Loan Trust, Ser 2005-3, Cl A1
0.504%, 01/20/35 (A)		3,356		3,119


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

HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.404%, 01/20/36 (A)	$	3,027	$	2,780
HSBC Home Equity Loan Trust, Ser 2006-4, Cl A4
0.474%, 03/20/36 (A)		4,182		3,653
Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D
0.615%, 06/25/35 (A)		3,051		2,890
Morgan Stanley Capital I, Ser 2007- HE2, Cl A2A
0.285%, 01/25/37 (A)		2		2
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1
0.675%, 06/25/35 (A)		3,800		3,207
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.845%, 01/25/32 (A)		193		170
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3
0.385%, 01/25/37 (A)		9,500		3,280
Option One Mortgage Loan Trust, Ser 2007-6, Cl 2A4
0.495%, 07/25/37 (A)		4,574		1,651
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25		644		635
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3
0.405%, 01/25/37 (A)		6,450		2,623
Terwin Mortgage Trust, Ser 2005- 9HGS, Cl A1
4.000%, 08/25/35 (A) (D)		44		43

				31,589


Other Asset-Backed Securities — 6.3%
Academic Loan Funding Trust, Ser 2012-1A, Cl A2
1.100%, 12/27/44 (A) (D)		2,100		1,946
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1
0.501%, 06/14/37 (A) (D)		2,344		2,063
Ally Master Owner Trust, Ser 2011-1, Cl A2
2.150%, 01/15/16		1,330		1,354
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/16		515		523
Ally Master Owner Trust, Ser 2012-1, Cl A1
1.042%, 02/15/17 (A)		2,770		2,781
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/17		800		805
Avalon IV Capital, Ser 2012-1A, Cl C
3.600%, 04/17/23 (A) (D)		675		642
Babcock & Brown Air Funding I Ltd., Ser 2007-1A, Cl G1
0.542%, 11/14/33 (A) (D)		2,118		1,737
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
0.645%, 08/25/43 (A)		2,665		2,538
Brazos Higher Education Authority, Ser 2006-2, Cl A9
0.584%, 12/26/24 (A)		1,411		1,287


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

Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.691%, 02/25/35 (A)	$	2,200	$	2,090
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.466%, 10/27/36 (A)		1,000		951
Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A3
0.645%, 09/25/35 (A)		2,643		2,539
CIT Education Loan Trust, Ser 2007-1, Cl A
0.558%, 03/25/42 (A) (D)		2,085		1,901
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5
6.046%, 03/25/37		1,970		1,447
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (A)		480		467
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.845%, 06/25/33 (A)		38		33
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.705%, 10/25/35 (A)		2,295		2,235
Countrywide Asset-Backed Certificates, Ser 2007-5, Cl 2A1
0.345%, 09/25/47 (A)		14		14
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2
1.045%, 10/25/47 (A)		4,468		2,981
Countrywide Home Equity Loan Trust, Ser 2002-E, Cl A
0.502%, 10/15/28 (A)		34		32
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2
0.542%, 02/15/34 (A)		779		498
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B
0.392%, 11/15/36 (A)		186		136
Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A
0.792%, 11/15/28 (A)		134		116
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		325		330
Cronos Containers Program, Ser 2012- 1A, Cl A
4.210%, 05/18/27 (D)		1,041		1,049
Educational Funding of the South, Ser 2011-1, Cl A2
1.116%, 04/25/35 (A)		2,100		2,031
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A
1.792%, 09/15/14 (A)		1,710		1,716
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1
2.120%, 02/15/16		765		781
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.709%, 01/15/16 (A)		2,047		2,053
GE Seaco Finance, Ser 2005-1A, Cl A
0.493%, 11/17/20 (A) (D)		2,691		2,588
Genesis Funding, Ser 2006-1A, Cl G1
0.483%, 12/19/32 (A) (D)		2,709		2,371


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

Green Tree Financial, Ser 1993-4, Cl A5
7.050%, 01/15/19	$	884	$	893
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		308		313
Green Tree, Ser 2008-MH1, Cl A2
8.970%, 04/25/38 (A) (D)		2,500		2,737
Green Tree, Ser 2008-MH1, Cl A3
8.970%, 04/25/38 (A) (D)		2,073		2,295
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2
2.985%, 03/18/29 (A)		675		549
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7
7.270%, 06/15/29		1,300		1,193
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2
3.641%, 06/19/29 (A)		325		260
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2
3.740%, 02/20/30 (A)		375		299
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
3.739%, 02/20/32 (A)		214		163
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2
3.739%, 03/13/32 (A)		650		522
GSAMP Trust, Ser 2003-SEA, Cl A1
0.645%, 02/25/33 (A)		2,204		1,621
GSAMP Trust, Ser 2006-SEA1, Cl A
0.545%, 05/25/36 (A) (D)		398		378
HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3
0.825%, 11/25/35 (A)		3,189		2,509
Keycorp Student Loan Trust, Ser 2002- A, Cl 1A2
0.657%, 08/27/31 (A)		977		892
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 09/15/18		1,592		1,627
Lehman XS Trust, Ser 2005-5N, Cl 1A1
0.545%, 11/25/35 (A)		1,314		851
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.575%, 05/25/46 (A)		4,984		995
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		2,996		3,071
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A
0.435%, 07/25/17 (A)		333		276
Nelnet Student Loan Trust, Ser 2002-2, Cl A4CP
0.480%, 09/25/24 (A)		508		504
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
0.576%, 10/25/33 (A)		1,709		1,582
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.568%, 03/23/37 (A)		1,369		1,261
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.557%, 11/23/22 (A)		1,803		1,796


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

Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.546%, 10/26/26 (A)	$	1,942	$	1,930
Nelnet Student Loan Trust, Ser 2007-1, Cl A3
0.537%, 05/27/25 (A)		1,170		1,087
Nelnet Student Loan Trust, Ser 2007- 2A, Cl A3L
0.818%, 03/25/26 (A) (D)		3,109		3,013
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.710%, 05/15/17 (A)		484		485
Origen Manufactured Housing, Ser 2006-A, Cl A2
3.739%, 10/15/37 (A)		3,050		1,991
Origen Manufactured Housing, Ser 2007-A, Cl A2
3.739%, 04/15/37 (A)		5,501		3,050
Park Place Securities, Ser 2004- WCW1, Cl M2
0.925%, 09/25/34 (A)		3,747		3,419
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII
0.925%, 03/25/33 (A)		42		31
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1
1.340%, 12/25/33 (A)		188		131
RSB Bondco LLC, Ser 2007-A, Cl A3
5.820%, 06/28/19		775		926
Scholar Funding Trust, Ser 2011-A, Cl A
1.366%, 10/28/43 (A) (D)		1,158		1,133
SLC Student Loan Trust, Ser 2010-1, Cl A
1.349%, 11/25/42 (A)		1,123		1,133
SLM Student Loan Trust, Ser 2003-11, Cl A6
0.758%, 12/15/25 (A) (D)		850		815
SLM Student Loan Trust, Ser 2004-5, Cl A4
0.616%, 01/25/21 (A)		418		417
SLM Student Loan Trust, Ser 2004-6, Cl A5
0.636%, 04/27/20 (A)		1,487		1,483
SLM Student Loan Trust, Ser 2005-1, Cl A2
0.546%, 04/27/20 (A)		481		477
SLM Student Loan Trust, Ser 2005-5, Cl A3
0.566%, 04/25/25 (A)		123		121
SLM Student Loan Trust, Ser 2005-6, Cl A5B
1.666%, 07/27/26 (A)		601		608
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.576%, 01/25/27 (A)		1,540		1,455
SLM Student Loan Trust, Ser 2006-5, Cl A6B
0.586%, 10/25/40 (A)		1,980		1,686
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.466%, 07/25/17 (A)		509		507
SLM Student Loan Trust, Ser 2007-4, Cl A3
0.526%, 01/25/22 (A)		1,383		1,375


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

SLM Student Loan Trust, Ser 2008-5, Cl A4
2.166%, 07/25/23 (A)	$	1,571	$	1,634
SLM Student Loan Trust, Ser 2008-9, Cl A
1.966%, 04/25/23 (A)		1,025		1,058
SLM Student Loan Trust, Ser 2011-C, Cl A1
1.642%, 12/15/23 (A) (D)		2,065		2,076
SLM Student Loan Trust, Ser 2012-2, Cl A
0.945%, 01/25/29 (A)		2,656		2,680
SLM Student Loan Trust, Ser 2012-3, Cl A
0.895%, 12/26/25 (A)		1,931		1,931
SLM Student Loan Trust, Ser 2012-A, Cl A1
1.642%, 08/15/25 (A) (D)		1,862		1,876
SLM Student Loan Trust, Ser 2012-B, Cl A1
1.342%, 12/15/21 (A) (D)		1,790		1,792
SLM Student Loan Trust, Ser 2012-C, Cl A1
1.340%, 08/15/23 (A) (D)		1,596		1,597
Small Business Administration, Ser 2003-P10A, Cl 1
4.524%, 02/10/13		277		283
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.656%, 10/28/28 (A)		706		704
SMS Student Loan Trust, Ser 2000-B, Cl A2
0.666%, 04/28/29 (A)		578		573
South Carolina Student Loan, Ser 2005, Cl A2
0.587%, 12/01/20 (A)		1,850		1,798
Structured Asset Securities, Ser 2007- BC2, Cl A2
0.335%, 03/25/37 (A)		923		907
Structured Asset Securities, Ser 2008- BC4, Cl A3
0.495%, 11/25/37 (A)		2,154		1,997
SunTrust Student Loan Trust, Ser 2006-1A, Cl A3
0.586%, 01/30/23 (A) (D)		2,100		2,050
Symphony CLO Ltd., Ser 2012-9A, Cl C
3.620%, 04/16/22 (A) (D)		750		715
TAL Advantage LLC, Ser 2006-1A, Cl N
0.434%, 04/20/21 (A) (D)		1,112		1,066
TAL Advantage LLC, Ser 2010-2A, Cl A
4.300%, 10/20/25 (D)		1,313		1,325
TAL Advantage LLC, Ser 2011-1A, Cl A
4.600%, 01/20/26 (D)		215		221
Textainer Marine Containers, Ser 2005- 1A, Cl A
0.490%, 05/15/20 (A) (D)		1,320		1,283
Textainer Marine Containers, Ser 2011- 1A, Cl A
4.700%, 06/15/26 (D)		1,530		1,569
Trinity Rail Leasing L.P., Ser 2006-1A, Cl A1
5.900%, 05/14/36 (D)		1,184		1,311
Trip Rail Master Funding LLC, Ser 2011-1A, Cl A1A
4.370%, 07/15/41 (D)		1,960		1,995


Description	Face Amount ($ Thousands)(1)		Market Value ($ Thousands)

Triton Container Finance LLC, Ser 2006-1A, Cl N
0.420%, 11/26/21 (A) (D)	$	1,943	$	1,847
Triton Container Finance LLC, Ser 2007-1A, Cl N
0.390%, 02/26/19 (A) (D)		1,033		1,002

				133,185

Total Asset-Backed Securities (Cost $189,762) ($ Thousands)				180,986


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6%
FHLB
5.500%, 07/15/36		1,580		2,131
FHLMC
6.750%, 03/15/31		1,170		1,795
FICO STRIPS
9.800%, 04/06/18		850		1,238
9.700%, 04/05/19		1,050		1,585
8.600%, 09/26/19		2,490		3,642
2.717%, 12/27/15 (B)		1,745		1,686
1.893%, 02/08/13 (B)		2,225		2,216
0.00%, 02/08/18 to 09/26/19 (B)		11,780		10,711
FNMA
6.896%, 10/09/19 (B)		1,520		1,232
6.250%, 05/15/29		2,110		3,038
5.250%, 08/01/12		1,860		1,867
Tennessee Valley Authority
5.250%, 09/15/39		880		1,147
4.625%, 09/15/60		1,370		1,662
3.875%, 02/15/21		1,510		1,745

Total U.S. Government Agency Obligations (Cost $30,733) ($ Thousands)				35,695


SOVEREIGN DEBT — 1.4%

Sovereign — 1.4%
Japan Finance Organization for Municipalities
4.000%, 01/13/21		1,800		2,057
Japan Treasury Discount Bills
0.089%, 09/10/12 (B) JPY		470,000		5,889
Malaysia Government Bond
4.262%, 09/15/16		9,750		3,205
Mexican Bonos
8.000%, 06/11/20 MXP		71,870		6,322
6.500%, 06/09/22 MXP		54,900		4,418
Mexico Government International Bond
5.750%, 10/12/10 (2110) (C)		684		778
Province of Manitoba Canada
1.750%, 05/30/19		550		553
Province of Ontario Canada
2.450%, 06/29/22		810		799
0.950%, 05/26/15		3,110		3,124
Qatar Government International Bond
5.750%, 01/20/42 (C) (D)		270		322
Slovakia Government International Bond
4.375%, 05/21/22 (D)		1,630		1,606
United Mexican States MTN
6.050%, 01/11/40		248		320


Description	Face Amount ($ Thousands)(1)		Market Value ($ Thousands)

United Mexican States, Ser A MTN
7.500%, 04/08/33	$	176	$	256
6.750%, 09/27/34		748		1,021

Total Sovereign Debt (Cost $29,779) ($ Thousands)				30,670


MUNICIPAL BONDS — 1.2%
American Municipal Power, Ser E, RB
6.270%, 02/15/50		100		115
Brazos Higher Education Authority, Ser 2006-2, RB
1.741%, 06/25/42 (A)		1,250		1,045
City of San Francisco, Public Utilities Commission Water Revenue, Ser DE, RB
6.000%, 11/01/40		240		301
County of Clark, Ser C, RB
6.820%, 07/01/45		570		780
Florida, Educational Loan Marketing, Sub-Ser B, AMT, RB Callable 01/17/12 @ 100
0.480%, 12/01/36 (A)		2,200		1,650
Los Angeles, Community College District, GO
6.750%, 08/01/49		545		722
Los Angeles, Department of Water & Power, RB
6.574%, 07/01/45		840		1,210
Municipal Electric Authority of Georgia, RB
6.655%, 04/01/57		320		367
6.637%, 04/01/57		560		650
New Jersey State, Turnpike Authority, RB
7.102%, 01/01/41		685		966
North Texas, Tollway Authority, RB
6.718%, 01/01/49		613		819
Ohio State University, Ser A, RB
4.800%, 06/01/11 (2111)		215		238
Pennsylvania, Higher Education Assistance Agency, Sub-Ser, RB,
0.290%, 05/01/46 (A)		4,700		4,374
Santa Clara Valley, Transportation Authority, RB
5.876%, 04/01/32		690		848
State of California, GO
7.600%, 11/01/40		475		618
7.550%, 04/01/39		1,110		1,427
7.300%, 10/01/39		2,735		3,395
6.650%, 03/01/22		265		324
State of Illinois, GO
5.877%, 03/01/19		915		1,015
5.665%, 03/01/18		2,320		2,574
5.365%, 03/01/17		350		385
5.100%, 06/01/33		2,725		2,576
University of California, Ser AD, RB
4.858%, 05/15/12 (2112)		630		646

Total Municipal Bonds (Cost $23,849) ($ Thousands)				27,045


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


LOAN PARTICIPATIONS — 0.8%
Allison Transmission
3.750%, 08/07/14	$	887	$	875
Aramark
0.094%, 01/26/14		18		17
Aramark LOC
3.400%, 01/26/14		12		11
Aramark, Term Loan
3.711%, 01/26/14		121		120
Aramark, Term Loan B
3.829%, 07/26/16		267		265
Bausch & Lomb, Term Loan
5.250%, 05/10/19		500		497
Brickman Group Holdings, Term Loan
5.500%, 10/14/16		990		988
Charter Communications LLC
4.000%, 04/04/19		500		496
Charter Communications, Term C Loan
3.720%, 09/06/16		992		984
Chesapeak Energy
8.500%, 12/02/17		460		456
Crown Castle International, Term Loan B
4.000%, 01/25/19		500		492
DAE Aviation, Tranche B-1
5.470%, 07/31/14		287		283
DAE Aviation, Tranche B-2
5.470%, 09/27/14		274		270
Dunkin Brands, Term Loan B-2
4.000%, 11/23/17		750		739
First Data, Term Loan
4.245%, 03/24/18		1,515		1,387
First Data, Term Loan B-2
5.239%, 09/24/14		1,837		1,767
Harrah’s Operating, Term Loan B-2
5.489%, 01/28/15		363		338
Hertz
3.750%, 03/04/18		500		494
Intelsat
5.250%, 04/03/18		500		499
Las Vegas Sands, Term B Loan
2.850%, 05/17/14		1,079		1,069
NXP BV
0.000%, 03/04/17 (I)		500		500
Sungard Data Systems
4.091%, 02/28/16		238		235
3.866%, 02/28/16		119		117
Sunguard
3.865%, 02/28/16		51		50
3.864%, 02/28/16		410		404
Telesat Canada, Term Loan B
4.250%, 03/26/19		500		494
Texas Competitive Electric Holdings, Extending Term Loan
4.741%, 10/10/17		1,860		1,111
Univision Communications
4.489%, 09/29/14		2,185		2,140
UPC Financing Partnership
3.739%, 12/30/16		85		84
Wendy’s / Arby’s Group
4.750%, 05/15/19		578		574
0.000%, 05/15/19 (I)		462		458

Total Loan Participations (Cost $19,150) ($ Thousands)				18,214


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


PREFERRED STOCK — 0.1%
Citigroup Capital XII (A)		11	$	285
Citigroup Capital XIII (A)		33		893

Total Preferred Stock (Cost $1,148) ($ Thousands)				1,178


	Number of Warrants


WARRANT — 0.0%
SemGroup Warrants, Expires: 2014 *		1,362		12

Total Warrant (Cost $0) ($ Thousands)				12


PURCHASED OPTIONS — 0.0%
December 2012 2 Year Midcurve Put, Expires: 12/22/12
Strike Price: $98.75*		273		27
December 2012 3 Year Midcurve Put, Expires: 12/22/12
Strike Price: $97.25*		200		9
Strike Price: $98.25*		200		42
December 2012 IMM Euro Future Put, Expires: 12/22/12
Strike Price: $98.88*		100		5
CDX.NA.HY.18 Futures Call, Expires:
07/21/2012
Strike Price: $93.00*		9,124,000		26

Total Purchased Options (Cost $597) ($ Thousands)				109


COMMERCIAL PAPER — 0.3%
National Rural Utilities Cooperative Finance
0.150%, 07/17/12	$	5,960		5,960

Total Commercial Paper (Cost $5,960) ($ Thousands)				5,960


CASH EQUIVALENTS — 5.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080%**†		122,577,733		122,578

Total Cash Equivalents (Cost 122,578) ($ Thousands)		.		122,578


AFFILIATED PARTNERSHIP — 0.5%
SEI Liquidity Fund, L.P.
0.150%**†(F)		14,654,934		11,372

Total Affiliated Partnership (Cost $14,654) ($ Thousands)		.		11,372

Total Investments — 107.0% (Cost $2,244,740)($ Thousands) ††			$	2,312,164

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		99			Mar-2013	$	23
90-Day Euro$		(99	)		Mar-2014		(16	)
U.S. 10-Year Treasury Note		(486	)		Sep-2012		(111	)
U.S. 2-Year Treasury Note		(168	)		Sep-2012		34
U.S. 5-Year Treasury Note		(50	)		Oct-2012		(7	)
U.S. Long Treasury Bond		(243	)		Sep-2012		(229	)
U.S. Ultra Long Treasury Bond		(51	)		Sep-2012		14

						$	(292	)

A list of the outstanding forward foreign currency contracts held by the Fund at June 30, 2012, is as follows:


Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
8/15/12		USD	3,488		BRL	6,970	$	(65	)
8/16/12		CAD	6,866		USD	6,774		44
8/16/12		EUR	16,061		USD	20,950		562
8/16/12		USD	6,872		CAD	6,866		(142	)
9/10/12		JPY	470,000		USD	5,963		65

							$	464

A list of the counterparties for the outstanding forward foreign currency contracts held by the fund at June 30, 2012, is as follows:


Counterparty	Currency to Deliver ($Thousands)		Currency to Receive ($Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Citigroup Global Markets		31,747		31,937	$	190
Morgan Stanley		11,627		11,901		274

					$	464

A list of outstanding swap agreements held by the Fund at June 30, 2012, is as follows:

Percentages are based on a Net Assets of $2,161,356 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust

(1)

In U.S. Dollars unless otherwise indicated.

(A)

Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effect as of June 30, 2012. The date reported on the Schedule of Investments is the final maturity date.

(B)

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

(C)

This security or a partial position of this security is on loan at June 30, 202 The total value of securities on loan at June 30, 2012 was $14,244 ($ Thousands).

(D)

(F)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $11,372 ($ Thousands).

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on June 30, 2012. The coupon on a step bond changes on a specified date.

(H)

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

(I)

Unsettled Bank Loan. Interest rate not available.

ABS — Asset-Backed Security

AMT — Alternative Minimum Tax

ARM — Adjustable Rate Mortgage

BRL — Brazil Real

CAD — Canadian Dollar

Cl — Class

CLO — Collateralized Loan Obligation

CMBX — Commercial Mortgage-Backed Index – North American

CMO — Collateralized Mortgage Obligation

EUR — Euro

FDIC — Federal Deposit Insurance Corporation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only - face amount represents notional amount

JPY — Japanese Yen

LIBOR — London Inter Bank Offered Rate

LLC — Limited Liability Company

LOC — Line of Credit

L.P. — Limited Partnership

Ltd. — Limited

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities		—		921,272		—		921,272
Corporate Obligations		—		611,868		3		611,868
U.S. Treasury Obligations		—		345,205		—		345,205
Asset-Backed Securities		—		180,986		—		180,986
U.S. Government Agency Obligations		—		35,695		—		35,695
Sovereign Debt		—		30,670		—		30,670
Preferred Stock		1,178		—		—		1,178
Purchased Options		83		—		26		109
Warrant		—		12		—		12
Loan Participations		—		18,214		—		18,214
Commercial Paper		—		5,960		—		5,960
Municipal Bonds		—		27,045		—		27,045
Affiliated Partnership		—		11,372		—		11,372
Cash Equivalents		122,578		—		—		122,578

Total Investments in Securities	$	123,839	$	2,188,296	$	29	$	2,312,164


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts *	$	(292	)	$	—		$	—	$	(292	)
Written Options		(52	)		(9	)		—		(61	)
Forwards*		—			464			—		464
Credit Default Swaps*		—			(2,459	)		—		(2,459	)
Total Return Swaps*		—			22			—		22

Total Other Financial Instruments	$	(344	)	$	(1,982	)	$	—	$	(2,326	)

Futures contracts, forwards and swaps are value 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):


	Investments in Corporate Obligations
Beginning balance as of October 1, 2011	$	3
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		—
Net transfer in and/or out of Level 3		—

Ending balance as of June 30, 2012	$	3

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


	Purchased Options
Beginning balance as of October 1, 2011	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		26
Net transfer in and/or out of Level 3		—

Ending balance as of June 30, 2012	$	26

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

As of June 30, 2012, the Core Fixed Income Fund is the buyer (“receiving protection”) on a total notional amount of $5.6 million, and is the seller (“providing protection”) on a total notional amount of $4.6 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 were 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:


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

MORTGAGE-BACKED SECURITIES — 42.9%

Agency Mortgage-Backed Obligations — 33.7%
FHLMC
11.000%, 02/17/21	$	302	$	320
10.000%, 03/17/26 to 10/01/30		1,099		1,256
7.500%, 01/01/32 to 09/01/38		1,222		1,482
6.500%, 10/01/31 to 09/01/38		2,059		2,329
6.000%, 08/01/15 to 09/01/38		4,819		5,336
5.500%, 06/01/20 to 08/01/38		9,096		9,942
5.000%, 03/01/34 to 07/01/41		11,456		12,509
4.500%, 04/01/35 to 06/01/42		10,040		11,005
4.000%, 11/01/31 to 06/01/42		15,666		16,911
3.500%, 01/01/32 to 05/01/32		380		403
FHLMC ARM (A)
6.479%, 10/01/37		216		239
6.393%, 02/01/37		178		193
6.046%, 10/01/37		87		92
6.024%, 11/01/36		143		152
6.012%, 04/01/37		66		72
5.992%, 04/01/37		151		162
5.927%, 03/01/37		11		12
5.833%, 11/01/37		—		—
5.661%, 11/01/39		1,298		1,406
5.626%, 06/01/37		255		276
5.608%, 10/01/38		86		94
5.055%, 07/01/36		243		260
4.989%, 01/01/35		203		218
4.916%, 02/01/36		556		596
3.531%, 05/01/37		569		609
3.477%, 05/01/37		338		360
3.364%, 03/01/36		898		969
3.239%, 05/01/38		222		238
3.220%, 03/01/37		270		289
3.125%, 05/01/37		412		441
2.886%, 11/01/36		50		54
2.300%, 04/01/37		46		49
FHLMC CMO, Ser 1591, Cl PV
6.250%, 10/15/23		1,068		1,105
FHLMC CMO, Ser 1998-2043, Cl CJ
6.500%, 04/15/28		475		542
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/32		466		535
FHLMC CMO, Ser 2002-48, Cl 1A
6.257%, 07/25/33 (A)		8		9
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/43		85		99


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

FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/43	$	118	$	135
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/44		119		137
FHLMC CMO, Ser 2005-2945, Cl SA
11.859%, 03/15/20 (A)		79		92
FHLMC CMO, Ser 2005-2967, PO
0.000%, 04/15/20		196		192
FHLMC CMO, Ser 2005-2980, Cl QA
6.000%, 05/15/35		204		229
FHLMC CMO, Ser 2005-3077, Cl TO, PO
0.000%, 04/15/35		227		218
FHLMC CMO, Ser 2006-3117, PO
0.000%, 02/15/36		223		214
FHLMC CMO, Ser 2006-3153, Cl EO, PO
0.000%, 05/15/36		173		163
FHLMC CMO, Ser 2006-3200, PO
0.000%, 08/15/36		239		213
FHLMC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/36		360		421
FHLMC CMO, Ser 2007-3316, PO
0.000%, 05/15/37		65		59
FHLMC CMO, Ser 2007-3318, Cl DB
6.000%, 05/15/27		400		463
FHLMC CMO, Ser 2007-3385, Cl SN, IO
5.758%, 11/15/37 (A)		266		32
FHLMC CMO, Ser 2008-3407, Cl B
5.500%, 01/15/38		341		374
FHLMC CMO, Ser 2008-3451, Cl SA, IO
5.808%, 05/15/38 (A)		336		41
FHLMC CMO, Ser 2008-3461, Cl LZ
6.000%, 06/15/38		254		282
FHLMC CMO, Ser 2009-3510, Cl OD, PO
0.000%, 02/15/37		208		195
FHLMC CMO, Ser 2009-3529, Cl AG
6.500%, 04/15/39		1,113		1,251
FHLMC CMO, Ser 2009-3604, Cl PO, PO
0.000%, 05/15/36		379		357
FHLMC CMO, Ser 2009-3607, Cl TO, PO
0.000%, 10/15/39		209		198


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

FHLMC CMO, Ser 2009-3613, Cl HJ
5.500%, 12/15/39	$	1,805	$	1,970
FHLMC CMO, Ser 2010-3621, PO
0.000%, 01/15/40		135		128
FHLMC CMO, Ser 2010-3664, Cl DA
4.000%, 11/15/37		1,888		1,978
FHLMC CMO, Ser 2010-3704, Cl CA
4.000%, 12/15/36		1,843		1,959
FHLMC CMO, Ser 2010-3704, Cl CT
7.000%, 12/15/36		771		903
FHLMC CMO, Ser 2010-3714, Cl IP, IO
5.000%, 08/15/40		383		61
FHLMC CMO, Ser 2010-3739, Cl LI, IO
4.000%, 03/15/34		509		41
FHLMC CMO, Ser 2010-3747, Cl HI, IO
4.500%, 07/15/37		726		83
FHLMC CMO, Ser 2010-3756, Cl IP, IO
4.000%, 08/15/35		862		53
FHLMC CMO, Ser 2010-3759, Cl HI, IO
4.000%, 08/15/37		711		74
FHLMC CMO, Ser 2010-3760, Cl GI, IO
4.000%, 10/15/37		442		41
FHLMC CMO, Ser 2011-3800, Cl AI, IO
4.000%, 11/15/29		627		60
FHLMC CMO, Ser 2011-3804, Cl FN
0.692%, 03/15/39 (A)		1,151		1,153
FHLMC CMO, Ser 2011-3819, Cl ZQ
6.000%, 04/15/36		1,078		1,248
FHLMC CMO, Ser 2011-3852, Cl QN
5.500%, 05/15/41 (A)		191		200
FHLMC CMO, Ser 2011-3925, Cl FL
0.692%, 01/15/41 (A)		961		962
FHLMC CMO, Ser 2011-3957, Cl B
4.000%, 11/15/41		970		1,045
FHLMC CMO, Ser 2033, Cl HC
6.500%, 02/15/28		184		208
FHLMC CMO, Ser 2075, Cl D
6.500%, 08/15/28		349		359
FHLMC CMO, Ser 239, Cl S30, IO
7.458%, 08/15/36 (A)		621		89
FHLMC CMO, Ser 2434, Cl ZA
6.500%, 04/15/32		417		476
FHLMC CMO, Ser 2458, Cl ZM
6.500%, 06/15/32		303		336


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

FHLMC CMO, Ser 2587, Cl CO, PO
0.000%, 03/15/32	$	59	$	59
FHLMC CMO, Ser 2631, Cl SA
14.407%, 06/15/33 (A)		163		204
FHLMC CMO, Ser 2695, Cl OB, PO
0.000%, 10/15/33		25		24
FHLMC CMO, Ser 2695, Cl SX
15.981%, 10/15/33 (A)		25		26
FHLMC CMO, Ser 2725, Cl SC
8.717%, 11/15/33 (A)		55		64
FHLMC CMO, Ser 2812, Cl NO, PO
0.000%, 10/15/33		30		28
FHLMC CMO, Ser 2950, Cl JO, PO
0.000%, 03/15/20		111		108
FHLMC CMO, Ser 3001, Cl HP
21.033%, 05/15/35 (A)		111		170
FHLMC CMO, Ser 3006, Cl QS
19.495%, 07/15/35 (A)		265		379
FHLMC CMO, Ser 3012, Cl GK
23.662%, 06/15/35 (A)		132		206
FHLMC CMO, Ser 3217, Cl CX, IO
6.348%, 09/15/36 (A)		635		88
FHLMC CMO, Ser 3225, Cl EO, PO
0.000%, 10/15/36		322		301
FHLMC CMO, Ser 3262, Cl SG, IO
6.158%, 01/15/37 (A)		666		114
FHLMC CMO, Ser 3342, Cl VG
6.000%, 11/15/23		300		325
FHLMC CMO, Ser 3373, Cl TO, PO
0.000%, 04/15/37		91		88
FHLMC CMO, Ser 3383, Cl SA, IO
6.208%, 11/15/37 (A)		714		104
FHLMC CMO, Ser 3422, Cl SE
16.846%, 02/15/38 (A)		66		92
FHLMC CMO, Ser 3515, Cl PI, IO
5.500%, 07/15/37		286		27
FHLMC CMO, Ser 3607, Cl BO, PO
0.000%, 04/15/36		100		89
FHLMC CMO, Ser 3611, Cl PO, PO
0.000%, 07/15/34		135		128
FHLMC CMO, Ser 3626, Cl MA
5.000%, 02/15/30		2,163		2,230
FHLMC CMO, Ser 3631, Cl PA
4.000%, 02/15/40		547		578
FHLMC CMO, Ser 3632, Cl BS
16.694%, 02/15/40 (A)		100		159
FHLMC CMO, Ser 3688, Cl NI, IO
5.000%, 04/15/32		715		96
FHLMC CMO, Ser 6960, Cl SJ
8.787%, 10/15/33 (A)		113		117


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

FHLMC CMO, Ser T-42, Cl A5
7.500%, 02/25/42	$	797	$	969
FHLMC CMO, Ser T-51, Cl 1A
6.500%, 09/25/43 (A)		198		226
FHLMC CMO, Ser T-54, Cl 2A
6.500%, 02/25/43		133		148
FHLMC CMO, Ser T-54, Cl 3A
7.000%, 02/25/43		434		518
FHLMC CMO, Ser T-57, Cl 1A2
7.000%, 07/25/43		552		636
FHLMC CMO, Ser T-58, Cl 4A
7.500%, 09/25/43		636		754
FHLMC CMO, Ser T-60, Cl 1A2
7.000%, 03/25/44		208		242
FHLMC CMO, Ser T-76, Cl 2A
4.727%, 10/25/37 (A)		312		317
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K005, Cl A2
4.317%, 11/25/19		371		422
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2011-K014, Cl A2
3.871%, 04/25/21		484		539
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2009-K003, Cl AAB
4.768%, 05/25/18		342		386
FHLMC TBA
4.500%, 07/15/42 to 09/15/42		2,766		2,953
4.000%, 07/15/42		299		317
3.500%, 03/01/32 to 07/15/42		4,460		4,681
3.000%, 08/01/42		1,100		1,121
2.500%, 07/15/27 to 08/15/27		5,065		5,197
FHLMC-GNMA CMO, Ser 1993- 21, Cl L
6.250%, 10/25/23		365		381
FNMA
7.500%, 10/01/37 to 04/01/39		980		1,184
7.000%, 04/01/32 to 01/01/39		575		668
6.500%, 05/01/27 to 10/01/38		2,129		2,433
6.000%, 10/01/19 to 10/01/40		15,664		17,499
5.500%, 02/01/21 to 07/01/39		1,439		1,581
5.000%, 01/01/20 to 09/01/41		26,825		29,519
4.640%, 01/01/21		493		565
4.540%, 01/01/20		485		551
4.530%, 12/01/19		488		555
4.500%, 08/01/21 to 07/01/42		8,291		9,079
4.390%, 05/01/21		250		284
4.380%, 01/01/21 to 04/01/21		1,483		1,681


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

4.369%, 02/01/20	$	488	$	552
4.360%, 05/01/21		1,000		1,166
4.303%, 07/01/21		1,182		1,344
4.301%, 01/01/21		295		335
4.300%, 04/01/21		250		283
4.291%, 06/01/21		496		564
4.250%, 04/01/21		750		847
4.240%, 06/01/21		1,000		1,127
4.130%, 08/01/21		990		1,109
4.066%, 07/01/20		400		438
4.060%, 07/01/21		1,000		1,117
4.000%, 01/01/32 to 07/01/42		4,324		4,668
3.632%, 12/01/20		1,247		1,363
3.590%, 12/01/20		488		531
3.505%, 09/01/20		973		1,052
3.500%, 01/01/26 to 11/01/41		6,305		6,725
3.430%, 10/01/20		978		1,053
3.290%, 10/01/20		350		376
3.265%, 01/01/22		969		1,035
3.230%, 11/01/20		350		373
3.000%, 03/01/27 to 05/01/27		5,022		5,298
2.680%, 07/31/42		2,000		2,013
FNMA ARM (A)
6.277%, 09/01/37		92		101
6.204%, 09/01/37		18		19
6.200%, 08/01/36		101		110
5.965%, 07/01/37		345		369
5.922%, 04/01/37		109		117
5.898%, 09/01/37		232		252
5.895%, 04/01/36		240		257
5.879%, 09/01/37		54		59
5.852%, 09/01/37		150		163
5.611%, 01/01/23		119		130
5.500%, 07/01/37		301		324
5.219%, 11/01/37		344		367
4.242%, 07/01/37		177		189
3.946%, 11/01/36		166		178
3.783%, 11/01/37		228		241
3.276%, 03/01/36		296		316
2.941%, 11/01/36		247		263
2.798%, 12/01/36		496		531
2.651%, 12/01/36		228		243
2.570%, 09/01/36		96		103
0.981%, 01/01/19		199		199
FNMA CMO STRIPS, Ser 2005- 360, Cl 2, IO
5.000%, 08/01/35		945		127
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		280		309
FNMA CMO, Ser 2000-18, Cl EC, PO
0.000%, 10/25/23		108		101
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		194		216
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/32		90		103


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

FNMA CMO, Ser 2002-81, Cl JO, PO
0.000%, 04/25/32	$	57	$	57
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/33		380		429
FNMA CMO, Ser 2003-131, Cl SK
15.710%, 01/25/34 (A)		175		233
FNMA CMO, Ser 2003-23, Cl EQ
5.500%, 04/25/23		1,000		1,157
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/33		106		99
FNMA CMO, Ser 2004-46, Cl EP, PO
0.000%, 03/25/34		170		162
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/32		94		92
FNMA CMO, Ser 2004-61, Cl BO, PO
0.000%, 10/25/32		95		92
FNMA CMO, Ser 2004-61, Cl CO, PO
0.000%, 10/25/31		11		11
FNMA CMO, Ser 2004-89, Cl SM
17.201%, 09/25/24 (A)		568		806
FNMA CMO, Ser 2005-106, Cl US
23.667%, 11/25/35 (A)		722		1,127
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/35		1,364		1,488
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/35		154		168
FNMA CMO, Ser 2005-72, Cl SB
16.262%, 08/25/35 (A)		212		277
FNMA CMO, Ser 2005-90, Cl ES
16.262%, 10/25/35 (A)		170		238
FNMA CMO, Ser 2006-117, Cl GS, IO
6.405%, 12/25/36 (A)		217		32
FNMA CMO, Ser 2006-118, Cl A2
0.309%, 12/25/36 (A)		205		196
FNMA CMO, Ser 2006-15, Cl OP, PO
0.000%, 03/25/36		127		120
FNMA CMO, Ser 2006-27, Cl OH, PO
0.000%, 04/25/36		135		127
FNMA CMO, Ser 2006-59, Cl QO, PO
0.000%, 01/25/33		97		94
FNMA CMO, Ser 2006-60, Cl DO, PO
0.000%, 04/25/35		128		125
FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/36		590		716
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/36		147		175


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

FNMA CMO, Ser 2007-100, Cl SM, IO
6.205%, 10/25/37 (A)	$	528	$	76
FNMA CMO, Ser 2007-101, Cl A2
0.495%, 06/27/36 (A)		186		184
FNMA CMO, Ser 2007-112, Cl SA, IO
6.205%, 12/25/37 (A)		454		68
FNMA CMO, Ser 2007-114, Cl A6
0.445%, 10/27/37 (A)		200		199
FNMA CMO, Ser 2007-116, Cl HI, IO
5.837%, 01/25/38 (A)		288		16
FNMA CMO, Ser 2007-29, Cl SG
21.849%, 04/25/37 (A)		72		105
FNMA CMO, Ser 2007-65, Cl KI, IO
6.375%, 07/25/37 (A)		437		59
FNMA CMO, Ser 2007-72, Cl EK, IO
6.155%, 07/25/37 (A)		492		77
FNMA CMO, Ser 2007-75, Cl EO, PO
0.000%, 01/25/36		174		170
FNMA CMO, Ser 2007-77, Cl PD
6.000%, 10/25/36		1,000		1,142
FNMA CMO, Ser 2007-85, Cl SG
15.637%, 09/25/37 (A)		128		175
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (A)		683		8
FNMA CMO, Ser 2008-4, Cl SD, IO
5.755%, 02/25/38 (A)		879		134
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/24		250		288
FNMA CMO, Ser 2009-103, Cl MB
4.000%, 12/25/39 (A)		300		321
FNMA CMO, Ser 2009-105, Cl CB
6.000%, 12/25/39		579		640
FNMA CMO, Ser 2009-11, Cl LC
4.500%, 03/25/49		346		367
FNMA CMO, Ser 2009-31, Cl A2
4.287%, 07/25/19		661		744
FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/39		422		56
FNMA CMO, Ser 2009-66, Cl KE
4.000%, 09/25/39		649		688
FNMA CMO, Ser 2009-70, Cl CO, PO
0.000%, 01/25/37		331		320
FNMA CMO, Ser 2009-84, Cl WS, IO
5.655%, 10/25/39 (A)		347		43


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

FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/37	$	2,219	$	2,128
FNMA CMO, Ser 2009-86, Cl IP, IO
5.500%, 10/25/39		223		29
FNMA CMO, Ser 2009-86, Cl OT, PO
0.000%, 10/25/37		271		253
FNMA CMO, Ser 2009-86, Cl UI, IO
4.000%, 10/25/14		978		49
FNMA CMO, Ser 2009-93, Cl PD
4.500%, 09/25/39		213		229
FNMA CMO, Ser 2009-99, Cl SC, IO
5.935%, 12/25/39 (A)		359		50
FNMA CMO, Ser 2009-99, Cl WA
6.286%, 12/25/39 (A)		368		416
FNMA CMO, Ser 2009-M2, Cl A3
4.001%, 01/25/19		691		765
FNMA CMO, Ser 2010-1, Cl WA
6.150%, 02/25/40 (A)		161		183
FNMA CMO, Ser 2010-16, Cl WA
6.428%, 03/25/40 (A)		172		196
FNMA CMO, Ser 2010-23, Cl KS, IO
6.855%, 02/25/40 (A)		574		82
FNMA CMO, Ser 2010-35, Cl SB, IO
6.175%, 04/25/40 (A)		432		63
FNMA CMO, Ser 2010-39, Cl OT, PO
0.000%, 10/25/35		135		124
FNMA CMO, Ser 2010-68, Cl SA, IO
4.755%, 07/25/40 (A)		1,285		232
FNMA CMO, Ser 2010-M1, Cl A2
4.450%, 09/25/19		228		259
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (A)		1,049		1,186
FNMA CMO, Ser 2011-118, Cl MT
7.000%, 11/25/41		873		1,073
FNMA CMO, Ser 2011-53, Cl DT
4.500%, 06/25/41		497		526
FNMA CMO, Ser 2011-78, Cl D
4.000%, 08/25/41		154		163
FNMA CMO, Ser 2012-14, Cl FG
0.645%, 07/25/40 (A)		975		975
FNMA CMO, Ser 2012-3, Cl CD
7.000%, 02/25/42		696		783
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A1
7.000%, 12/25/41		595		692
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41		368		434
FNMA Grantor Trust CMO, Ser 2002-T1, Cl A1
6.500%, 11/25/31		381		444


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

FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42	$	419	$	474
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		397		462
FNMA Interest CMO, Ser 1998- 300, PO
0.000%, 09/01/24		168		156
FNMA TBA
4.500%, 08/01/33 to 08/25/42		3,285		3,522
3.500%, 07/25/42		570		599
3.000%, 08/15/42		875		895
2.500%, 07/25/27 to 09/15/27		6,530		6,707
FNMA Whole Loan CMO, Ser 2002-W6, Cl 2SI, IO
7.855%, 06/25/42 (A)		504		82
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.051%, 12/25/42 (A)		275		322
FNMA Whole Loan CMO, Ser 2003-W12, Cl 1A8
4.550%, 06/25/43		245		265
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7
5.750%, 08/25/33		81		95
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/42		263		306
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33		496		597
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		635		733
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.465%, 03/25/45 (A)		659		655
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45		330		385
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.465%, 02/25/36 (A)		285		283
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.505%, 11/25/46 (A)		406		404
GNMA
7.500%, 10/15/37		228		267
7.000%, 09/15/31		97		117
6.500%, 12/15/35		987		1,130
6.000%, 09/20/38 to 01/15/40		1,820		2,044
GNMA ARM (A)
3.500%, 05/20/41 to 10/20/41		650		693
3.000%, 08/20/41 to 01/20/42		666		704
1.625%, 02/20/34		570		591


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

GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31	$	812	$	949
GNMA CMO, Ser 2003-79, Cl PV
5.500%, 10/20/23		156		172
GNMA CMO, Ser 2003-97, Cl SA, IO
6.307%, 11/16/33 (A)		540		109
GNMA CMO, Ser 2004-11, Cl SX
16.793%, 02/20/34 (A)		37		60
GNMA CMO, Ser 2004-28, Cl SV
8.756%, 04/20/34 (A)		352		384
GNMA CMO, Ser 2004-34, Cl JO, PO
0.000%, 02/20/34		98		97
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (A)		155		162
GNMA CMO, Ser 2004-85, Cl PO, PO
0.000%, 01/17/33		40		40
GNMA CMO, Ser 2004-87, Cl SB
7.393%, 03/17/33 (A)		239		259
GNMA CMO, Ser 2005-28, PO
0.000%, 02/17/33		400		383
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35		400		494
GNMA CMO, Ser 2006-34, Cl PO, PO
0.000%, 07/20/36		77		73
GNMA CMO, Ser 2006-38, Cl SG, IO
6.410%, 09/20/33 (A)		447		35
GNMA CMO, Ser 2007-26, Cl SW, IO
5.956%, 05/20/37 (A)		699		107
GNMA CMO, Ser 2007-27, Cl SD, IO
5.956%, 05/20/37 (A)		422		62
GNMA CMO, Ser 2007-72, Cl US, IO
6.306%, 11/20/37 (A)		262		43
GNMA CMO, Ser 2007-78, Cl SA, IO
6.287%, 12/16/37 (A)		2,618		471
GNMA CMO, Ser 2007-82, Cl SA, IO
6.286%, 12/20/37 (A)		356		58
GNMA CMO, Ser 2007-9, Cl CI, IO
5.956%, 03/20/37 (A)		554		82
GNMA CMO, Ser 2008-1, PO
0.000%, 01/20/38		150		144
GNMA CMO, Ser 2008-10, Cl S, IO
5.586%, 02/20/38 (A)		554		78
GNMA CMO, Ser 2008-29, Cl PO, PO
0.000%, 02/17/33		112		109
GNMA CMO, Ser 2008-33, Cl XS, IO
7.457%, 04/16/38 (A)		266		42


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

GNMA CMO, Ser 2008-55, Cl SA, IO
5.956%, 06/20/38 (A)	$	627	$	91
GNMA CMO, Ser 2009-106, Cl AS, IO
6.157%, 11/16/39 (A)		604		100
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		346		66
GNMA CMO, Ser 2009-24, Cl DS, IO
6.056%, 03/20/39 (A)		886		101
GNMA CMO, Ser 2009-25, Cl SE, IO
7.356%, 09/20/38 (A)		439		70
GNMA CMO, Ser 2009-43, Cl SA, IO
5.706%, 06/20/39 (A)		507		67
GNMA CMO, Ser 2009-6, Cl SH, IO
5.796%, 02/20/39 (A)		425		58
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		207		29
GNMA CMO, Ser 2009-65, Cl TS, IO
6.156%, 12/20/38 (A)		827		111
GNMA CMO, Ser 2009-66, Cl XS, IO
6.557%, 07/16/39 (A)		4,822		660
GNMA CMO, Ser 2009-67, Cl SA, IO
5.807%, 08/16/39 (A)		346		45
GNMA CMO, Ser 2009-75, Cl MN
5.500%, 09/20/39		500		605
GNMA CMO, Ser 2009-79, Cl OK, PO
0.000%, 11/16/37		460		433
GNMA CMO, Ser 2009-83, Cl TS, IO
5.856%, 08/20/39 (A)		619		80
GNMA CMO, Ser 2010-107, Cl GX
4.500%, 04/20/39		293		335
GNMA CMO, Ser 2010-14, Cl CO, PO
0.000%, 08/20/35		125		111
GNMA CMO, Ser 2010-157, Cl OP, PO
0.000%, 12/20/40		459		411
GNMA CMO, Ser 2010-4, Cl NS, IO
6.147%, 01/16/40 (A)		5,679		914
GNMA CMO, Ser 2010-47, Cl PX, IO
6.460%, 06/20/37 (A)		888		143
GNMA TBA
3.500%, 07/25/42		2,035		2,177


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

NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/20	$	437	$	457

				278,423


Non-Agency Mortgage-Backed Obligations — 9.2%
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20
0.454%, 02/02/37 (A) (C)		209		202
American General Mortgage Loan Trust, Ser 2009-1, Cl A4
5.750%, 09/25/48 (A) (C)		325		327
American General Mortgage Loan Trust, Ser 2009-1, Cl A5
5.750%, 09/25/48 (A) (C)		200		203
American General Mortgage Loan Trust, Ser 2009-1, Cl A7
5.750%, 09/25/48 (A) (C)		300		307
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1
5.150%, 03/25/58 (A) (C)		145		148
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3
5.650%, 03/25/58 (A) (C)		190		199
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A
2.728%, 02/25/45 (A)		1,098		950
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.191%, 05/24/36 (A) (C)		185		184
ASG Resecuritization Trust, Ser 2009-2, Cl G60
5.191%, 05/24/36 (A) (C)		100		97
ASG Resecuritization Trust, Ser 2009-3, Cl A65
2.674%, 03/26/37 (A) (C)		733		721
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22
0.434%, 10/28/36 (A) (C)		83		82
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/18		136		139
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33		164		168
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34		160		166
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		360		376
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		80		82
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		119		121
Banc of America Funding, Ser 2004-C, Cl 1A1
5.040%, 12/20/34 (A)		72		71


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

Banc of America Funding, Ser 2006-G, Cl 2A3
0.414%, 07/20/36 (A)	$	983	$	972
Banc of America Funding, Ser 2010-R5, Cl 1A1
5.500%, 10/26/37 (C)		271		281
Banc of America Funding, Ser 2010-R11A, Cl 1A6
5.538%, 08/26/35 (A) (C)		193		203
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-2, Cl B
5.271%, 07/11/43		34		34
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-PB2, Cl B
6.309%, 06/11/35		75		75
Banc of America Merrill Lynch Commercial Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/42		60		60
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/43 (A)		365		397
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/43		100		109
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		300		312
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/45 (A)		100		112
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (A)		215		243
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-4, Cl A4
5.634%, 07/10/46		225		254
Banc of America Merrill Lynch Commercial Mortgage, Ser 2007-1, Cl A2
5.381%, 01/15/49		41		41
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.795%, 05/25/18 (A)		94		90
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.695%, 08/25/18 (A)		41		39
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26
5.500%, 04/25/34		200		206


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

Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/19	$	70	$	72
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		97		100
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (C)		488		517
BCAP LLC Trust, Ser 2009- RR10, Cl 17A1
5.750%, 06/26/37 (C)		159		161
BCAP LLC Trust, Ser 2009- RR13, Cl 11A1
5.250%, 05/26/37 (A) (C)		15		15
BCAP LLC Trust, Ser 2009- RR13, Cl 17A2
5.500%, 04/26/37 (A) (C)		131		137
BCAP LLC Trust, Ser 2010- RR12, Cl 2A5
4.500%, 01/26/36 (A) (C)		190		194
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.099%, 04/26/37 (A) (C)		312		310
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1
5.500%, 11/26/37 (A) (C)		66		66
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
5.019%, 04/26/35 (A) (C)		86		84
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1
3.890%, 07/26/45 (A) (C)		225		211
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1
1.039%, 01/26/36 (A) (C)		131		123
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1
0.852%, 02/26/47 (A) (C)		59		55
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3
5.000%, 08/26/37 (A) (C)		189		187
BCAP LLC Trust, Ser 2011-RR5
0.389%, 05/28/36 (A) (C)		226		200
BCAP LLC Trust, Ser 2011-RR5, Cl 14A3
2.796%, 07/26/36 (A) (C)		169		161
BCAP Trust, Ser 2011-RR10, Cl 2A1
0.000%, 09/26/37 (A) (C)		460		405
BCAP Trust, Ser 2012-RR2, Cl 1A1
0.415%, 08/26/36 (A) (C)		458		433
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
5.083%, 05/25/34 (A)		96		96
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.220%, 08/25/35 (A)		174		169


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

Bear Stearns Commercial Mortgage Securities, Ser 2002- TOP8, Cl A2
4.830%, 08/15/38	$	26	$	26
Bear Stearns Commercial Mortgage Securities, Ser 2003- T12, Cl A3
4.240%, 08/13/39 (A)		9		9
Bear Stearns Commercial Mortgage Securities, Ser 2005- PWR7, Cl A2
4.945%, 02/11/41		71		71
Bear Stearns Commercial Mortgage Securities, Ser 2005- PWR8, IO
0.231%, 06/11/41 (A) (C)		2,516		36
Bear Stearns Commercial Mortgage Securities, Ser 2005- T20, Cl A4A
5.144%, 10/12/42 (A)		795		886
Bear Stearns Commercial Mortgage Securities, Ser 2006- PW11, Cl A
5.452%, 03/11/39 (A)		100		112
Bear Stearns Commercial Mortgage Securities, Ser 2007- PW17, Cl A4
5.694%, 06/11/50 (A)		920		1,060
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A4
3.834%, 12/15/47		290		305
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.695%, 01/25/34 (A)		33		33
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
0.000%, 10/25/18		57		57
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
2.854%, 02/25/37 (A)		129		129
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
2.814%, 02/25/37 (A)		61		61
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
3.030%, 07/25/37 (A)		161		146
Chase Mortgage Finance, Ser 2007-A2, Cl 2A1
2.770%, 07/25/37 (A)		167		170
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.830%, 05/15/43 (A)		120		127
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.699%, 12/10/49 (A)		485		560
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11
5.500%, 05/25/35		120		118
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
3.029%, 11/25/38 (A) (C)		236		234


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

Citigroup Mortgage Loan Trust,
Ser 2010-7, Cl 10A1
2.612%, 02/25/35 (A) (C)	$	104	$	103
Citigroup Mortgage Loan Trust,
Ser 2010-8, Cl 5A6
4.000%, 11/25/36 (C)		1,195		1,227
Citigroup Mortgage Loan Trust,
Ser 2010-8, Cl 6A6
4.500%, 12/25/36 (C)		589		607
Citigroup Mortgage Loan Trust,
Ser 2011-3, Cl 1A1
0.325%, 02/25/47 (A) (C)		116		115
Citigroup Mortgage Loan Trust,
Ser 2011-5, Cl 1A1
0.440%, 02/25/46 (A) (C)		147		135
Citigroup, Ser 2005-CD1, Cl AM
5.213%, 07/15/44 (A)		287		310
Citigroup/Deutsche Bank
Commercial Mortgage Trust,
Ser 2006-CD2, Cl X, IO
0.078%, 01/15/46 (A) (C)		14,448		30
Citigroup/Deutsch Bank Commercial Mortgage Trust,
Ser 2007-CD4, IO
0.150%, 12/11/49 (A) (C)		12,391		98
Commercial Mortgage Asset
Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (A)		160		165
Commercial Mortgage Pass-Through Certificates,
Ser CR1, Cl A3
3.391%, 05/15/45		342		348
Commercial Mortgage Pass-Through Certificates,
Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (C)		1		1
Commercial Mortgage Pass-Through Certificates,
Ser 2001-J2A, Cl B
6.304%, 07/16/34 (C)		393		394
Commercial Mortgage Pass-Through Certificates,
Ser 2012-LC4, Cl A4
3.288%, 12/10/44		560		567
Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2003-34, Cl A6
5.250%, 09/25/33		25		25
Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2003-39, Cl A6
5.000%, 10/25/33		310		308
Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2003-J7, Cl 4A3
9.456%, 08/25/18 (A)		39		43
Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2003-J13, Cl 1A7
5.250%, 01/25/34		546		564


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

Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2004-8, Cl 2A1
4.500%, 06/25/19	$	122	$	125
Credit Suisse First Boston
Mortgage Securities, Ser 2002- CKS4, Cl A2
5.183%, 11/15/36		30		30
Credit Suisse First Boston
Mortgage Securities, Ser 2003- 27, Cl 5A3
5.250%, 11/25/33		390		403
Credit Suisse First Boston
Mortgage Securities, Ser 2003- 29, Cl 5A1
7.000%, 12/25/33		129		138
Credit Suisse First Boston
Mortgage Securities, Ser 2003- 29, Cl 8A1
6.000%, 11/25/18		145		149
Credit Suisse First Boston
Mortgage Securities, Ser 2003- AR24, Cl 2A4
2.711%, 10/25/33 (A)		1,101		1,021
Credit Suisse First Boston
Mortgage Securities, Ser 2003- C4, Cl B
5.253%, 08/15/36 (A)		221		227
Credit Suisse First Boston
Mortgage Securities, Ser 2005- C1, Cl A3
4.813%, 02/15/38		312		320
Credit Suisse First Boston
Mortgage Securities, Ser 2005- C2, Cl A4
4.832%, 04/15/37		378		401
Credit Suisse First Boston
Mortgage Securities, Ser 2005- C3, Cl AM
4.730%, 07/15/37		188		198
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C2, Cl A3
5.662%, 03/15/39 (A)		215		236
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C3, Cl A3
6.008%, 06/15/38 (A)		575		652
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/39		285		315
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		985		1,093
Credit Suisse Mortgage Capital
Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (C)		15		15


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

Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1
4.750%, 05/27/37 (C)	$	116	$	116
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1
1.245%, 06/28/47 (A) (C)		35		35
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1
2.729%, 09/26/46 (A) (C)		147		146
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1
5.340%, 10/26/37 (A) (C)		33		33
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3
4.250%, 06/25/50 (A) (C)		100		91
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
2.829%, 07/28/36 (A) (C)		148		139
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1
1.495%, 08/28/47 (A) (C)		402		395
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1
2.245%, 03/27/46 (A) (C)		474		470
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3
3.500%, 12/27/36 (A) (C)		322		318
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		215		237
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/44 (A) (C)		500		557
Deutsche ALT-A Securities
Alternate Loan Trust, Ser 2005-1, Cl 2A1
5.610%, 02/25/20 (A)		92		95
Deutsche Mortgage Securities,
Ser 2009-RS2, Cl 4A1
0.369%, 04/26/37 (A) (C)		67		65
Developers Diversified Realty,
Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (C)		785		825
FDIC Structured Sale Guaranteed
Notes, Ser 2010-C1, Cl A
2.980%, 12/06/20 (C)		305		317
First Horizon Asset Securities,
Ser 2003-8, Cl 2A1
4.500%, 09/25/18		127		129
GE Capital Assurance, Ser 2003- 1, Cl A4
5.254%, 05/12/35 (A) (C)		597		633


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

GE Capital Commercial Mortgage, Ser 2005-C3, Cl A7A
4.974%, 07/10/45 (A)	$	229	$	252
GMAC Commercial Mortgage
Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		50		50
GMAC Commercial Mortgage
Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		179		186
GMAC Commercial Mortgage
Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/45 (A)		291		296
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
3.039%, 10/19/33 (A)		224		225
GMAC Mortgage Loan Trust,
Ser 2003-GH2, Cl A4
5.000%, 10/25/33		167		166
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33		277		289
GMAC Mortgage Loan Trust,
Ser 2004-J5, Cl A7
6.500%, 01/25/35		214		220
GMAC Mortgage Loan Trust,
Ser 2004-J6, Cl 1A1
5.000%, 01/25/20		107		110
Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4
4.948%, 01/11/35		201		202
Greenwich Capital Commercial
Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (A)		35		35
Greenwich Capital Commercial
Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/36 (A) (D)		870		922
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB
4.619%, 08/10/42		412		420
Greenwich Capital Commercial Funding,
Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (A)		673		735
Greenwich Capital Commercial
Funding, Ser 2006-GG7, Cl A4
6.071%, 07/10/38 (A)		150		171
Greenwich Capital Commercial
Funding, Ser 2007-GG11, Cl A4
5.736%, 12/10/49		239		265
Greenwich Capital Commercial
Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		953		1,057
GS Mortgage Securities II,
Ser 2006-GG8, Cl X, IO
0.814%, 11/10/39 (A) (C)		3,132		66
GS Mortgage Securities II,
Ser 2011-GC5, Cl A4
3.707%, 08/10/44		1,725		1,809


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

GSMPS Mortgage Loan Trust,
Ser 2005-RP3, Cl 1AF
0.595%, 09/25/35 (A) (C)	$	193	$	151
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1
4.441%, 10/25/33 (A)		387		390
GSR Mortgage Loan Trust,
Ser 2004-8F, Cl 2A3
6.000%, 09/25/34		227		238
GSR Mortgage Loan Trust,
Ser 2005-5F, Cl 8A3
0.745%, 06/25/35 (A)		76		72
GSR Mortgage Loan Trust,
Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		48		47
Homestar Mortgage Acceptance,
Ser 2004-5, Cl A1
0.688%, 10/25/34 (A)		1,470		1,402
Impac Funding, Ser 2010-1, Cl A1
5.314%, 01/25/51 (C)		715		781
Impac Secured Assets CMN
Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		126		132
Impac Secured Assets CMN
Owner Trust, Ser 2006-1, Cl 2A1
0.595%, 05/25/36 (A)		119		113
Impac Secured Assets CMO
Owner Trust, Ser 2006-2, Cl 2A1
0.595%, 08/25/36 (A)		156		149
JPMorgan Chase Commercial
Mortgage Securities, Ser 2001-CIB2, Cl D
6.847%, 04/15/35 (A)		134		136
JPMorgan Chase Commercial
Mortgage Securities, Ser 2002-C2, Cl A2
5.050%, 12/12/34		128		129
JPMorgan Chase Commercial
Mortgage Securities, Ser 2002-C2, Cl B
5.211%, 12/12/34 (A)		46		46
JPMorgan Chase Commercial
Mortgage Securities, Ser 2003-CB6, Cl A1
4.393%, 07/12/37		30		30
JPMorgan Chase Commercial
Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/41		512		543
JPMorgan Chase Commercial
Mortgage Securities, Ser 2005-LDP1
5.038%, 03/15/46 (A)		1,005		1,091
JPMorgan Chase Commercial
Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42		108		109


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

JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-CB15, Cl X1, IO
0.111%, 06/12/43 (A)	$	13,575	$	89
JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/47		88		92
JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		495		548
JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-LDP9, Cl A3SF
0.397%, 05/15/47 (A)		150		140
JPMorgan Chase Commercial
Mortgage Securities, Ser 2007-CB18, Cl A4
5.440%, 06/12/47		945		1,066
JPMorgan Chase Commercial
Mortgage Securities, Ser 2007-LD11, Cl A4
6.009%, 06/15/49 (A)		855		939
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD12, Cl A4
5.882%, 02/15/51 (A)		272		309
JPMorgan Chase Commercial Mortgage Securities, Ser 2010- C1, Cl A1
3.853%, 06/15/43 (C)		976		1,038
JPMorgan Chase Commercial Mortgage Securities, Ser 2010- CNTR, Cl A1
3.300%, 08/05/32 (C)		130		138
JPMorgan Chase Commercial Mortgage Securities, Ser 2010- CNTR, Cl A2
4.311%, 08/05/32 (C)		204		216
JPMorgan Chase Commercial Mortgage Securities, Ser 2012- CBX, Cl A3
3.139%, 06/15/45		239		245
JPMorgan Chase Commercial
Mortgage Securities, Ser 2012- CBX, Cl A4
3.483%, 06/15/45		299		305
JPMorgan Chase Commercial Mortgage Securities, Ser LDP8, Cl A4
5.399%, 05/15/45		915		1,036
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
2.876%, 07/25/34 (A)		57		56
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
2.785%, 09/25/34 (A)		67		67
JPMorgan Mortgage Trust,
Ser 2005-A1, Cl 5A1
4.485%, 02/25/35 (A)		8		8


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

JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 4A1
2.797%, 08/25/34 (A)	$	503	$	491
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 5A3
2.653%, 11/25/33 (A)		251		250
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 6A1
2.792%, 08/25/34 (A)		260		245
JPMorgan Reremic,
Ser 2010-4, Cl 7A1
4.336%, 08/26/35 (A) (C)		114		112
LB Commercial Conduit Mortgage
Trust, Ser 2007-C3, Cl A3
5.902%, 07/15/44 (A)		129		137
LB-UBS Commercial Mortgage
Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		89		91
LB-UBS Commercial Mortgage
Trust, Ser 2005-C3, Cl AM
4.794%, 07/15/40		365		388
LB-UBS Commercial Mortgage
Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		200		223
LB-UBS Commercial Mortgage
Trust, Ser 2006-C1, Cl XCL, IO
0.212%, 02/15/41 (A) (C)		8,150		91
LB-UBS Commercial Mortgage
Trust, Ser 2006-C4, Cl A4
5.870%, 06/15/38 (A)		125		143
LB-UBS Commercial Mortgage
Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		40		41
LB-UBS Commercial Mortgage
Trust, Ser 2007-C7, Cl A3
5.866%, 09/15/45 (A)		504		578
LVII Resecuritization Trust,
Ser 2009-2, Cl A5
3.000%, 09/27/37 (A) (C)		250		250
Master Adjustable Rate
Mortgages Trust, Ser 2004-13, Cl 3A6
2.697%, 11/21/34 (A)		137		138
Master Alternative Loans Trust,
Ser 2003-9, Cl 2A1
6.000%, 12/25/33		166		176
Master Resecuritization Trust,
Ser 2005, Cl PO, PO
0.000%, 05/28/35 (C)		88		68
Master Seasoned Securities
Trust, Ser 2004-2, Cl A2
6.500%, 08/25/32		524		551
MASTR Asset Securitization
Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/18		42		43
MASTR Asset Securitization
Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/33		87		90
MASTR Asset Securitization
Trust, Ser 2003-11, Cl 9A6
5.250%, 12/25/33		312		327


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

Merrill Lynch Mortgage Investors,
Ser 2003-A4, Cl 2A
2.723%, 07/25/33 (A)	$	52	$	52
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A
5.205%, 02/25/34 (A)		509		510
Merrill Lynch Mortgage Trust,
Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (A)		127		133
Merrill Lynch Mortgage Trust,
Ser 2005-LC1, Cl AJ
5.326%, 01/12/44 (A)		120		118
Merrill Lynch Mortgage Trust,
Ser 2006-C1, Cl A4
5.659%, 05/12/39 (A)		150		170
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2006-4, IO
0.224%, 12/12/49 (A) (C)		3,102		38
Merrill Lynch/Countrywide
Commercial Mortgage Trust, Ser 2006-4, Cl A3
5.172%, 12/12/49 (A)		810		897
MLCC Mortgage Investors,
Ser 2004-A, Cl A2
0.990%, 04/25/29 (A)		99		91
Morgan Stanley Capital I,
Ser 2004-IQ8, Cl A4
4.900%, 06/15/40		—		—
Morgan Stanley Capital I,
Ser 2004-T13, Cl A3
4.390%, 09/13/45		57		58
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		63		64
Morgan Stanley Capital I,
Ser 2005-HQ7, Cl AAB
5.178%, 11/14/42 (A)		39		39
Morgan Stanley Capital I,
Ser 2005-T19, Cl A4A
4.890%, 06/12/47		840		921
Morgan Stanley Capital I,
Ser 2006-T21, Cl A4
5.162%, 10/12/52 (A)		300		334
Morgan Stanley Capital I,
Ser 2007-HQ11, IO
0.227%, 02/12/44 (A) (C)		8,578		60
Morgan Stanley Capital I,
Ser 2007-HQ13, Cl A1
5.357%, 12/15/44		17		17
Morgan Stanley Capital I,
Ser 2007-IQ16, Cl A4
5.809%, 12/12/49		966		1,117
Morgan Stanley Capital I,
Ser 2007-T27, Cl A4
5.823%, 06/11/42 (A)		100		116
Morgan Stanley Capital I,
Ser 2009-IO, Cl A1
3.000%, 07/17/56 (C)		40		40


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

Morgan Stanley Capital I, Ser 2011-C3, Cl A2
3.224%, 07/15/49	$	290	$	309
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/49		170		184
Morgan Stanley Capital I, Ser 2012-C4, Cl A4
3.244%, 03/15/45		343		347
Morgan Stanley Capital I, Ser 2012-XA
2.000%, 07/27/49		747		749
0.250%, 07/27/49		130		86
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		10		10
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		282		286
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B
5.040%, 03/12/35		111		113
Morgan Stanley Reremic Trust, Ser 2009-IO, PO
0.000%, 07/17/56 (C)		150		130
Morgan Stanley Reremic Trust, Ser 2009-IO, Cl A2
5.000%, 07/17/56 (C)		250		256
Morgan Stanley Reremic Trust, Ser 2010-C30A, Cl A3A
3.250%, 12/17/43 (C)		122		122
Morgan Stanley Reremic Trust, Ser 2010-HQ4B, Cl A7A
4.970%, 04/16/40 (C)		250		263
Morgan Stanley Reremic Trust, Ser 2011-IO, Cl A
2.500%, 03/23/51 (C)		554		559
Nomura Asset Securities, Ser 1998-D6, Cl A2
7.332%, 03/15/30 (A)		406		414
Prime Mortgage Trust, Ser 2004- CL1, Cl 1A1
6.000%, 02/25/34		101		107
Prime Mortgage Trust, Ser 2004- CL1, Cl 1PO, PO
0.000%, 02/25/34		39		38
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5
4.000%, 05/26/37 (A) (C)		216		215
Residential Accredit Loans, Ser 2003-QS15, Cl A7
5.500%, 08/25/33		231		239
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		153		158
Residential Accredit Loans, Ser 2004-QA7, Cl A4
5.500%, 05/25/34		310		282


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

Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31	$	602	$	608
Residential Asset Securitization Trust, Ser 2002-A13, Cl A4
5.250%, 12/25/17		74		76
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33		116		122
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.696%, 12/25/34 (A)		820		784
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
2.736%, 09/25/33 (A)		165		156
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (A)		43		44
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/41 (A)		73		74
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1
4.050%, 01/25/58 (A) (C)		199		202
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A2
5.450%, 01/25/58 (A) (C)		300		300
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4
4.916%, 06/25/34 (A)		104		103
Structured Asset Securities, Ser 2003-16, Cl A3
0.745%, 06/25/33 (A)		98		94
Structured Asset Securities, Ser 2003-24A, Cl 3A2
2.621%, 07/25/33 (A)		343		329
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.271%, 11/25/33 (A)		98		103
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33		206		209
Structured Asset Securities, Ser 2003-37A, Cl 2A
5.027%, 12/25/33 (A)		100		100
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33		339		332
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl A3
3.400%, 05/10/45		299		304
UBS-BAMLL Trust, Ser 2012- WRM, Cl A
3.663%, 06/10/30 (C)		145		148
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4
3.525%, 05/10/63		239		244


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

Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23	$	813	$	941
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A1
5.926%, 12/26/50 (A) (C)		45		45
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A1
5.194%, 09/25/51 (A) (C)		90		90
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A2
9.318%, 09/25/51 (A) (C)		112		112
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (C)		14		14
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		115		116
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.438%, 08/25/33 (A)		137		135
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.484%, 08/25/33 (A)		63		63
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.457%, 09/25/33 (A)		216		217
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.441%, 10/25/33 (A)		245		244
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18		86		89
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.788%, 06/25/33 (A)		41		46
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		672		705
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
2.588%, 06/25/34 (A)		98		98
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
2.589%, 06/25/34 (A)		146		146


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

WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19	$	201	$	210
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A
7.500%, 07/25/34		487		512
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/34		248		254
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1
2.847%, 08/27/37 (A) (C)		164		163
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18		198		205
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5
4.430%, 10/25/33 (A)		46		46
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1
4.438%, 11/25/33 (A)		124		125
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (A)		49		50
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.669%, 12/25/34 (A)		232		233
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
2.669%, 12/25/34 (A)		232		233
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1
2.839%, 12/25/34 (A)		112		113
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1
2.653%, 06/25/34 (A)		414		405
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
2.704%, 07/25/34 (A)		230		228
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1
2.674%, 09/25/34 (A)		406		408
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1
2.688%, 10/25/34 (A)		123		123


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

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2
2.688%, 10/25/34(A)	$	247	$	247
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1
5.000%, 01/25/20		67		68
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005- AR8, Cl 2A1
2.694%, 06/25/35(A)		217		210
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/44		790		834
WF-RBS Commercial Mortgage Trust, Ser C3, Cl A4
4.375%, 03/15/44 (C)		125		137
				76,370

Total Mortgage-Backed Securities (Cost $337,176) ($ Thousands)				354,793


CORPORATE OBLIGATIONS — 22.8%

Consumer Discretionary — 1.4%
CBS
7.875%, 07/30/30		90		116
5.750%, 04/15/20		25		29
4.850%, 07/01/42		215		210
Comcast
7.050%, 03/15/33		90		114
6.500%, 01/15/17		950		1,131
4.650%, 07/15/42		400		400
Comcast Cable Holdings
10.125%, 04/15/22		45		66
COX Communications
5.450%, 12/15/14		70		77
Cox Enterprises
7.375%, 07/15/27 (C)		50		60
Daimler Finance North America
2.625%, 09/15/16 (C)		150		154
Daimler Finance North America LLC
6.500%, 11/15/13		80		86
1.875%, 09/15/14 (C) (D)		540		543
1.650%, 04/10/15 (C)		470		472
DIRECTV Holdings
6.000%, 08/15/40		515		561
5.150%, 03/15/42		180		181
4.600%, 02/15/21		100		106
3.800%, 03/15/22		275		278
2.400%, 03/15/17		115		116
Discovery Communications
4.950%, 05/15/42		25		26
4.375%, 06/15/21		53		58
ERAC USA Finance
6.700%, 06/01/34 (C)		71		82
5.625%, 03/15/42 (C)		31		32
2.750%, 03/15/17 (C)		16		16
Gap
5.950%, 04/12/21		384		398


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

Historic TW
9.150%, 02/01/23	$	200	$	278
Johnson Controls
5.250%, 12/01/41		120		133
4.250%, 03/01/21		65		70
3.750%, 12/01/21		69		72
Kohl’s
4.000%, 11/01/21		30		31
Lowe’s MTN
7.110%, 05/15/37		110		148
5.125%, 11/15/41		11		12
LVMH Moet Hennessy Louis Vuitton
1.625%, 06/29/17 (C)		330		330
Macy’s Retail Holdings
7.450%, 07/15/17		35		43
5.125%, 01/15/42		14		15
3.875%, 01/15/22		26		27
NBCUniversal Media
5.950%, 04/01/41		50		59
Newell Rubbermaid
4.700%, 08/15/20		47		51
News America
7.300%, 04/30/28		150		175
7.250%, 05/18/18		50		60
6.650%, 11/15/37		25		29
6.150%, 03/01/37		592		671
6.150%, 02/15/41		108		126
Omnicom Group
3.625%, 05/01/22		80		81
Pearson Funding Four
3.750%, 05/08/22 (C)		220		224
Staples
9.750%, 01/15/14		80		89
TCI Communications
8.750%, 08/01/15		210		256
7.125%, 02/15/28		200		250
Thomson Reuters
4.700%, 10/15/19		75		85
3.950%, 09/30/21		109		115
Time Warner
7.625%, 04/15/31		620		801
5.375%, 10/15/41		12		13
Time Warner Cable
8.250%, 04/01/19		200		261
7.300%, 07/01/38		110		141
6.750%, 07/01/18		800		975
5.875%, 11/15/40		250		280
5.500%, 09/01/41		159		173
Viacom
3.875%, 12/15/21		75		80
Wyndham Worldwide
4.250%, 03/01/22		320		322
2.950%, 03/01/17		140		139

				11,927


Consumer Staples — 1.0%
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (D)		745		984
Bunge Finance
8.500%, 06/15/19		120		150


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

Coca-Cola
1.800%, 09/01/16 (D)	$	436	$	448
CVS Caremark
6.125%, 09/15/39		40		50
CVS Pass-Through Trust
5.926%, 01/10/34 (C)		96		106
Diageo Capital
4.828%, 07/15/20		90		105
Diageo Investment
2.875%, 05/11/22		460		472
Kellogg
3.125%, 05/17/22		35		36
1.750%, 05/17/17		115		115
Kimberly-Clark
2.400%, 03/01/22		12		12
Kraft Foods
6.500%, 02/09/40 (D)		610		784
6.125%, 08/23/18 (D)		225		274
5.375%, 02/10/20		301		356
Kraft Foods Group
5.000%, 06/04/42 (C)		230		243
3.500%, 06/06/22 (C)		665		682
Kroger
7.500%, 04/01/31		90		117
5.400%, 07/15/40		14		15
2.200%, 01/15/17		40		40
PepsiCo
7.900%, 11/01/18		11		15
3.000%, 08/25/21		31		32
2.750%, 03/05/22		675		681
2.500%, 05/10/16		260		273
Pernod-Ricard
5.750%, 04/07/21 (C)		435		491
5.500%, 01/15/42 (C)		255		261
Philip Morris International
1.625%, 03/20/17		630		637
SABMiller
5.500%, 08/15/13 (C)		90		94
SABMiller Holdings
3.750%, 01/15/22 (C)		450		479
Tyson Foods
4.500%, 06/15/22		485		500
University of Pennsylvania
4.674%, 09/01/12 (2112)		165		190
Wal-Mart Stores
5.625%, 04/15/41		176		229

				8,871


Energy — 1.9%
Anadarko Petroleum
7.625%, 03/15/14		180		197
Apache
3.250%, 04/15/22		400		418
BG Energy Capital PLC
4.000%, 10/15/21 (C)		575		613
BP Capital Markets
1.846%, 05/05/17		577		583
Canadian Natural Resources
7.200%, 01/15/32		50		66
6.450%, 06/30/33		50		61
Canadian Oil Sands
6.000%, 04/01/42 (C)		385		408


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

CenterPoint Energy Resources
5.950%, 01/15/14	$	70	$	75
ConocoPhillips
6.000%, 01/15/20		100		126
DCP Midstream Operating
4.950%, 04/01/22		330		339
Devon Energy
6.300%, 01/15/19		80		98
5.600%, 07/15/41		190		220
4.750%, 05/15/42		17		18
3.250%, 05/15/22		227		231
El Paso Pipeline Partners Operating
7.500%, 11/15/40		109		138
Encana
6.500%, 05/15/19 (D)		100		119
6.500%, 02/01/38		475		522
Energen
4.625%, 09/01/21		280		289
Energy Transfer Partners
9.000%, 04/15/19		47		59
6.500%, 02/01/42		185		198
5.200%, 02/01/22		125		134
ENI
5.700%, 10/01/40 (C)		300		298
Halliburton
6.150%, 09/15/19		80		99
Husky Energy
7.250%, 12/15/19		88		109
Kerr-McGee
6.950%, 07/01/24		450		557
Kinder Morgan Energy Partners
3.950%, 09/01/22		210		213
Marathon Petroleum
6.500%, 03/01/41 (D)		345		392
Noble Holding International
5.250%, 03/15/42		40		40
3.950%, 03/15/22		12		12
Occidental Petroleum
2.700%, 02/15/23		59		59
1.750%, 02/15/17		35		36
Petrobras International Finance
5.375%, 01/27/21		60		65
3.500%, 02/06/17		605		621
2.875%, 02/06/15		230		233
Petro-Canada
6.800%, 05/15/38		475		593
6.050%, 05/15/18		115		136
Petroleos Mexicanos
6.500%, 06/02/41 (C)		60		70
1.950%, 12/20/22		418		418
Phillips 66
5.875%, 05/01/42 (C)		260		280
4.300%, 04/01/22 (C)		26		27
2.950%, 05/01/17 (C)		33		34
Reliance Holdings USA
5.400%, 02/14/22 (C)		285		285
Schlumberger Investment
3.300%, 09/14/21 (C)		47		49
Southern Union
8.250%, 11/15/29		675		833


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

Spectra Energy Capital
8.000%, 10/01/19	$	200	$	256
Statoil
5.250%, 04/15/19		140		168
4.250%, 11/23/41		27		29
3.150%, 01/23/22		33		34
3.125%, 08/17/17		50		54
Talisman Energy
7.750%, 06/01/19		293		359
Tennessee Gas Pipeline
8.000%, 02/01/16		1,000		1,176
Tosco
7.800%, 01/01/27		65		93
Total Capital
4.250%, 12/15/21		50		56
Total Capital International
2.875%, 02/17/22		37		37
1.550%, 06/28/17		748		750
TransCanada Pipelines
7.125%, 01/15/19		50		64
6.500%, 08/15/18		175		218
Transocean
7.350%, 12/15/41		124		150
6.500%, 11/15/20		120		136
6.375%, 12/15/21		366		419
Union Pacific Resources Group
7.150%, 05/15/28		52		59
Weatherford International
5.950%, 04/15/42		22		23
4.500%, 04/15/22		20		20
Western Gas Partners
5.375%, 06/01/21		270		299
4.000%, 07/01/22		255		255
Williams
7.875%, 09/01/21		416		525

				15,551


Financials — 13.1%
ABB Treasury Center USA
2.500%, 06/15/16 (C)		575		595
ACE INA Holdings
5.600%, 05/15/15		100		112
Achmea Hypotheekbank
3.200%, 11/03/14 (C)		717		748
Aflac
8.500%, 05/15/19		25		33
6.450%, 08/15/40		25		29
4.000%, 02/15/22 (D)		52		54
African Development Bank
8.800%, 09/01/19		100		136
AIG SunAmerica Global Financing X
6.900%, 03/15/32 (C)		30		36
Allstate
5.000%, 08/15/14		70		76
American Express
7.000%, 03/19/18 (D)		170		210
American Express Credit MTN
7.300%, 08/20/13		430		460
2.800%, 09/19/16		44		46
2.375%, 03/24/17		619		634
1.750%, 06/12/15 (D)		155		157


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

American Honda Finance MTN
3.875%, 09/21/20 (C)	$	495	$	530
American International Group
5.850%, 01/16/18		50		55
4.875%, 06/01/22		245		251
American Tower ‡
5.050%, 09/01/20		104		109
4.500%, 01/15/18 (D)		475		502
Andina de Fomento
3.750%, 01/15/16		90		94
ANZ National International MTN
3.125%, 08/10/15 (C)		100		103
AON
6.250%, 09/30/40		19		24
3.500%, 09/30/15		11		11
ASIF Global Financing XIX
4.900%, 01/17/13 (C)		336		339
Associates Corp of North America
6.950%, 11/01/18		200		226
Bank of America MTN
7.375%, 05/15/14		515		554
6.500%, 08/01/16		1,325		1,455
6.100%, 06/15/17		2,600		2,780
6.000%, 09/01/17		320		345
5.875%, 02/07/42		120		131
5.750%, 12/01/17		70		75
5.700%, 01/24/22		303		334
5.650%, 05/01/18 (D)		1,540		1,647
5.625%, 07/01/20		75		80
5.000%, 05/13/21		230		237
3.875%, 03/22/17 (D)		171		174
Bank of New York Mellon MTN
4.600%, 01/15/20		40		45
3.550%, 09/23/21		34		36
2.950%, 06/18/15 (D)		125		132
2.400%, 01/17/17		129		133
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (C)		100		106
Barclays Bank
5.200%, 07/10/14 (D)		150		158
2.750%, 02/23/15		110		111
Barclays Bank PLC
5.125%, 01/08/20 (D)		760		825
5.000%, 09/22/16 (D)		100		109
2.250%, 05/10/17 (C) (D)		315		315
BAT Finance PLC
2.125%, 06/07/17 (C)		515		514
BB&T
4.900%, 06/30/17		200		220
3.950%, 04/29/16 (D)		160		174
3.375%, 09/25/13		70		72
Bear Stearns
7.250%, 02/01/18		1,500		1,793
Berkshire Hathaway
3.750%, 08/15/21 (D)		500		533
3.400%, 01/31/22		486		509
Berkshire Hathaway Finance
5.400%, 05/15/18 (D)		110		130
4.400%, 05/15/42		137		141
1.600%, 05/15/17		355		357


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

BlackRock
6.250%, 09/15/17 (D)	$	145	$	176
Blackstone Holdings Finance
5.875%, 03/15/21 (C)		295		308
Boeing Capital
2.900%, 08/15/18		265		283
Boston Properties ‡
3.850%, 02/01/23		400		404
3.700%, 11/15/18		140		146
Capital One Financial
7.375%, 05/23/14		225		247
6.750%, 09/15/17		145		172
4.750%, 07/15/21		50		55
Caterpillar Financial Services MTN
7.150%, 02/15/19		110		144
5.850%, 09/01/17		140		168
CDP Financial
3.000%, 11/25/14 (C)		900		946
Charles Schwab
4.950%, 06/01/14		20		21
Chase Capital II
0.966%, 02/01/27 (A)		560		404
Citigroup
8.125%, 07/15/39		615		821
6.875%, 03/05/38		515		630
6.375%, 08/12/14		300		321
6.125%, 05/15/18 (D)		465		519
6.010%, 01/15/15		325		349
6.000%, 08/15/17		620		679
5.300%, 01/07/16		220		234
4.500%, 01/14/22		803		829
4.450%, 01/10/17		508		533
2.650%, 03/02/15		405		405
1.017%, 08/25/36 (A)		1,500		995
Citigroup Funding
1.875%, 10/22/12		680		683
CME Group
5.750%, 02/15/14		46		50
CNA Financial
5.875%, 08/15/20		72		79
Comerica
3.000%, 09/16/15		35		36
CommonWealth ‡
6.650%, 01/15/18		60		65
6.250%, 08/15/16		100		106
Commonwealth Bank of Australia
2.250%, 03/16/17 (C) (D)		250		254
2.125%, 03/17/14 (C)		1,250		1,268
Commonwealth Bank of Australia NY
1.950%, 03/16/15		540		543
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA MTN
5.800%, 09/30/10 (2110) (C)		100		103
3.875%, 02/08/22		240		244
Credit Suisse
1.625%, 03/06/15 (C)		675		677
Credit Suisse NY MTN
5.300%, 08/13/19 (D)		250		281


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

Credit Suisse USA
5.125%, 08/15/15	$	170	$	185
Deutsche Bank MTN
3.875%, 08/18/14		100		104
2.375%, 01/11/13 (D)		100		101
Dexia Credit Local
2.750%, 04/29/14 (C)		515		503
Discover Financial Services
6.450%, 06/12/17		250		280
DnB Boligkreditt
2.100%, 10/14/15 (C) (D)		1,380		1,405
ERAC USA Finance
2.250%, 01/10/14 (C)		58		58
ERP Operating ‡
5.750%, 06/15/17		125		144
4.625%, 12/15/21		64		70
Experian Finance
2.375%, 06/15/17 (C)		425		425
Farmers Exchange Capital
7.200%, 07/15/48 (C)		1,321		1,422
7.050%, 07/15/28 (C)		480		551
FDIC Structured Sale Guaranteed Notes
1.450%, 10/25/13 (C) (E)		250		248
Ford Motor Credit
3.984%, 06/15/16 (C)		200		206
Ford Motor Credit LLC
5.875%, 08/02/21 (D)		430		478
2.750%, 05/15/15 (D)		510		514
General Electric Capital MTN
6.875%, 01/10/39 (D)		295		381
6.750%, 03/15/32		965		1,195
6.150%, 08/07/37		885		1,046
6.000%, 08/07/19		645		755
5.875%, 01/14/38		475		545
5.625%, 09/15/17		100		115
5.500%, 01/08/20		180		206
5.400%, 02/15/17		200		228
5.300%, 02/11/21		300		337
4.625%, 01/07/21		70		77
2.300%, 04/27/17		340		342
1.625%, 07/02/15		715		714
0.846%, 05/05/26 (A)		600		491
0.736%, 08/07/18 (A)		850		784
Goldman Sachs Group
7.500%, 02/15/19		710		810
6.250%, 09/01/17		350		381
6.150%, 04/01/18 (D)		780		846
6.000%, 06/15/20		925		987
5.750%, 01/24/22		200		211
5.375%, 03/15/20		950		978
3.300%, 05/03/15		410		410
Goodman Funding Pty Ltd. ‡
6.000%, 03/22/22 (C)		260		264
GTP Acquisition Partners I
4.347%, 06/15/16 (C)		144		151
Hartford Financial Services Group
6.625%, 04/15/42		80		82


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

HCP MTN ‡
6.700%, 01/30/18 (D)	$	975	$	1,132
6.300%, 09/15/16		375		422
6.000%, 06/15/14		500		529
5.650%, 12/15/13		386		408
3.750%, 02/01/19		393		392
Health Care REIT ‡
6.500%, 03/15/41		116		124
6.125%, 04/15/20		1,775		1,976
Healthcare Realty Trust ‡
6.500%, 01/17/17		1,400		1,530
HSBC Bank
4.125%, 08/12/20 (C)		100		104
HSBC Bank USA NY
4.625%, 04/01/14		175		182
HSBC Finance
6.676%, 01/15/21		700		758
5.500%, 01/19/16 (D)		140		152
4.750%, 07/15/13 (D)		160		165
HSBC Holdings
4.875%, 01/14/22		100		111
HSBC Holdings PLC
6.800%, 06/01/38 (D)		235		269
4.000%, 03/30/22		431		448
HSBC USA
2.375%, 02/13/15		800		809
ING Bank
3.750%, 03/07/17 (C)		200		199
Inter-American Development Bank MTN
3.875%, 10/28/41		358		387
International Lease Finance
7.125%, 09/01/18 (C) (D)		500		551
6.750%, 09/01/16 (C)		500		537
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (C)		200		207
4.700%, 06/01/18 (C)		100		110
Jefferies Group
6.450%, 06/08/27		160		152
6.250%, 01/15/36		120		108
John Deere Capital
5.750%, 09/10/18		100		121
0.950%, 06/29/15		145		145
JPMorgan Chase
5.400%, 01/06/42		180		198
4.650%, 06/01/14		892		939
4.500%, 01/24/22 (D)		220		237
3.450%, 03/01/16		385		399
JPMorgan Chase Bank
6.000%, 10/01/17		2,927		3,277
JPMorgan Chase Capital XIII
1.411%, 09/30/34 (A)		500		378
KeyBank
5.800%, 07/01/14		250		268
Kilroy Realty ‡
5.000%, 11/03/15		100		106
4.800%, 07/15/18		165		173
Lazard Group LLC
7.125%, 05/15/15		368		402
6.850%, 06/15/17		539		592


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

Liberty Mutual Group
6.500%, 05/01/42 (C) (D)	$	310	$	314
Lincoln National
4.850%, 06/24/21		10		10
Lloyds TSB Bank MTN
5.800%, 01/13/20 (C) (D)		310		331
Lloyds TSB Bank PLC
6.375%, 01/21/21		970		1,099
4.200%, 03/28/17		795		820
Macquarie Bank
5.000%, 02/22/17 (C)		170		173
Macquarie Group
7.625%, 08/13/19 (C)		70		75
7.300%, 08/01/14 (C)		120		128
7.300%, 08/01/14		1,475		1,570
6.250%, 01/14/21 (C)		96		96
6.000%, 01/14/20 (C)		50		50
Markel
4.900%, 07/01/22		290		292
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (C)		465		666
5.375%, 12/01/41 (C)		49		53
MassMutual Global Funding II
2.875%, 04/21/14 (C)		100		103
Merrill Lynch MTN
6.875%, 04/25/18		100		112
6.400%, 08/28/17		150		163
MetLife
6.750%, 06/01/16		390		457
6.400%, 12/15/36 (D)		695		681
5.700%, 06/15/35		120		142
Metropolitan Life Global Funding I
5.125%, 06/10/14 (C)		100		107
2.500%, 09/29/15 (C)		520		533
1.700%, 06/29/15 (C)		428		428
Monumental Global Funding
5.500%, 04/22/13 (C)		65		67
Morgan Stanley MTN
7.300%, 05/13/19		920		994
6.625%, 04/01/18		1,770		1,851
6.250%, 08/28/17		200		206
5.750%, 08/31/12		180		181
5.750%, 01/25/21		100		99
5.625%, 09/23/19		150		148
5.550%, 04/27/17		100		101
5.500%, 01/26/20 (D)		700		686
5.500%, 07/28/21		480		473
5.450%, 01/09/17		470		475
4.200%, 11/20/14 (D)		156		156
Murray Street Investment Trust I
4.647%, 03/09/17		960		962
National Australia Bank
3.750%, 03/02/15 (C)		120		125
3.000%, 07/27/16 (C)		180		184
National City
6.875%, 05/15/19		50		60
National City Bank
0.838%, 06/07/17 (A)		1,300		1,216


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

National Rural Utilities Cooperative Finance
10.375%, 11/01/18	$	60	$	87
Nationwide Mutual Insurance
9.375%, 08/15/39 (C)		165		217
6.600%, 04/15/34 (C)		35		34
5.810%, 12/15/24 (A) (C)		760		684
New York Life Global Funding
3.000%, 05/04/15 (C)		720		757
New York Life Insurance
6.750%, 11/15/39 (C)		255		337
NIBC Bank MTN
2.800%, 12/02/14 (C)		415		431
Nomura Holdings
6.700%, 03/04/20 (D)		115		127
5.000%, 03/04/15		40		42
4.125%, 01/19/16		60		61
Nordea Bank
4.875%, 05/13/21 (C)		230		224
2.250%, 03/20/15 (C)		475		477
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (C)		470		572
Oversea-Chinese Banking
1.625%, 03/13/15 (C)		200		201
PACCAR Financial MTN
1.600%, 03/15/17		53		54
1.550%, 09/29/14		35		36
Pacific Life Global Funding
5.150%, 04/15/13 (C)		100		103
5.000%, 05/15/17 (C)		50		53
Pacific Life Insurance
9.250%, 06/15/39 (C)		80		102
Pipeline Funding
7.500%, 01/15/30 (C)		1,500		1,666
PNC Funding
5.125%, 02/08/20 (D)		90		104
3.300%, 03/08/22		76		78
2.700%, 09/19/16		570		591
Post Apartment Homes
4.750%, 10/15/17		700		759
Principal Life Income Funding Trusts MTN
5.300%, 04/24/13 (D)		125		130
5.100%, 04/15/14		225		241
Private Export Funding
2.450%, 07/15/24		476		471
Prudential Covered Trust
2.997%, 09/30/15 (C)		295		300
Prudential Financial MTN
5.625%, 05/12/41		74		76
4.750%, 09/17/15		224		241
Prudential Holdings
8.695%, 12/18/23 (C)		1,200		1,482
Prudential Insurance of America
8.300%, 07/01/25 (C)		150		198
Rabobank Nederland MTN
3.200%, 03/11/15 (C)		200		206
Royal Bank of Canada MTN
2.300%, 07/20/16 (D)		120		123


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

Simon Property Group ‡
10.350%, 04/01/19	$	130	$	182
6.750%, 05/15/14		50		54
5.650%, 02/01/20		38		44
4.125%, 12/01/21		27		29
2.150%, 09/15/17		125		125
Sparebank 1 Boligkreditt
2.300%, 06/30/17 (C)		1,250		1,255
Stadshypotek
1.450%, 09/30/13 (C)		700		705
Standard Chartered
3.200%, 05/12/16 (C)		465		475
Svensk Exportkredit
1.750%, 05/30/17		230		231
Svenska Handelsbanken
2.875%, 04/04/17		550		558
Swedbank Hypotek
2.375%, 04/05/17 (C)		525		531
Toronto-Dominion Bank MTN
2.500%, 07/14/16		72		75
Toyota Motor Credit MTN
3.400%, 09/15/21		510		536
Travelers Property Casualty
7.750%, 04/15/26		100		134
UBS MTN
5.875%, 12/20/17		120		134
5.750%, 04/25/18 (D)		100		111
US Bancorp MTN
3.000%, 03/15/22		33		34
2.450%, 07/27/15		75		78
Ventas Realty L.P.‡
4.000%, 04/30/19		180		185
Wachovia Bank MTN
6.000%, 11/15/17		590		687
0.798%, 03/15/16 (A)		400		384
WEA Finance
7.500%, 06/02/14 (C)		1,140		1,244
WEA Finance LLC
7.125%, 04/15/18 (C)		60		71
6.750%, 09/02/19 (C)		70		83
4.625%, 05/10/21 (C)		105		111
Westpac Banking
4.875%, 11/19/19		170		184
2.450%, 11/28/16 (C)		200		206
WR Berkley
5.375%, 09/15/20		35		38
4.625%, 03/15/22		143		144

				108,280


Health Care — 0.8%
Amgen
5.750%, 03/15/40		62		69
5.650%, 06/15/42		297		331
5.375%, 05/15/43		180		195
5.150%, 11/15/41		830		866
4.500%, 03/15/20		22		24
3.875%, 11/15/21		100		106
3.450%, 10/01/20		50		52
Aristotle Holding
2.650%, 02/15/17 (C)		550		559
2.100%, 02/12/15 (C)		490		495


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

Boston Scientific
6.400%, 06/15/16	$	340	$	392
Coventry Health Care
5.950%, 03/15/17		453		514
Gilead Sciences
5.650%, 12/01/41		280		326
4.500%, 04/01/21		220		244
GlaxoSmithKline Capital
1.500%, 05/08/17		1,065		1,067
Life Technologies
5.000%, 01/15/21		185		206
Medco Health Solutions
2.750%, 09/15/15		35		36
Pharmacia
6.500%, 12/01/18		120		152
Teva Pharmaceutical Finance BV
3.650%, 11/10/21		190		200
UnitedHealth Group
3.375%, 11/15/21		75		79
WellPoint
4.625%, 05/15/42		136		140
3.125%, 05/15/22		273		275

				6,328


Industrials — 1.3%
ABB Finance USA
4.375%, 05/08/42		12		13
2.875%, 05/08/22		23		23
1.625%, 05/08/17 (D)		190		191
ADT
4.875%, 07/15/42 (C)		202		198
3.500%, 07/15/22 (C)		296		297
2.250%, 07/15/17 (C)		203		204
American Airlines 2011-1 Class A Pass Through Trust
5.250%, 01/31/21		18		19
American Airlines 2011-2 Class A Pass Through Trust
8.625%, 10/15/21		78		82
BAE Systems
5.800%, 10/11/41 (C)		20		23
4.750%, 10/11/21 (C)		1,105		1,187
BAE Systems Holdings
6.375%, 06/01/19 (C)		100		117
5.200%, 08/15/15 (C)		90		98
Burlington Northern Santa Fe
7.290%, 06/01/36		90		119
5.750%, 03/15/18		950		1,130
5.400%, 06/01/41		50		57
4.700%, 10/01/19		75		84
3.450%, 09/15/21		16		17
Canadian National Railway
5.850%, 11/15/17		50		60
Cargill
7.350%, 03/06/19 (C)		250		315
Continental Airlines Pass- Through Trust, Ser 1999-2, Cl C-2
7.256%, 03/15/20		262		283
Continental Airlines Pass- Through Trust, Ser 2000-1
8.048%, 11/01/20		362		398


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

Continental Airlines Pass- Through Trust, Ser 2009-2
7.250%, 11/10/19	$	180	$	203
Continental Airlines Pass- Through Trust, Ser A, Cl A
5.983%, 04/19/22		520		564
CSX
6.250%, 03/15/18		155		187
Danaher
3.900%, 06/23/21		22		25
Deere
3.900%, 06/09/42		13		13
2.600%, 06/08/22		15		15
Delta Air Lines 2012-1 Class A Pass Through Trust
4.750%, 05/07/20		21		21
Delta Air Lines Pass-Through Trust, Ser 2010-1
6.200%, 07/02/18 (D)		540		584
Delta Air Lines Pass-Through Trust, Ser 2010-2
4.950%, 05/23/19 (D)		46		49
Eaton
7.625%, 04/01/24		75		99
Fluor
3.375%, 09/15/21		68		71
JetBlue Airways 2004-1 G-1 Pass Through Trust
0.843%, 12/15/13 (A)		340		331
Koninklijke Philips Electronics
5.750%, 03/11/18		24		28
3.750%, 03/15/22		127		132
Lockheed Martin
5.720%, 06/01/40		82		98
3.350%, 09/15/21		650		672
2.125%, 09/15/16		37		38
Norfolk Southern
6.000%, 05/23/11 (2111)		158		187
Northrop Grumman
1.850%, 11/15/15		540		547
Pitney Bowes MTN
5.600%, 03/15/18		25		26
5.000%, 03/15/15		50		52
4.875%, 08/15/14		50		52
Republic Services
3.550%, 06/01/22		29		29
Ryder System MTN
3.600%, 03/01/16		35		37
2.500%, 03/01/17		47		47
Tyco International
7.000%, 12/15/19		30		39
Tyco International Finance
8.500%, 01/15/19		50		68
Union Pacific
4.300%, 06/15/42		20		20
4.163%, 07/15/22 (D)		131		146
United Parcel Service of America
8.375%, 04/01/20		50		70


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

United Technologies
8.875%, 11/15/19	$	110	$	151
4.500%, 06/01/42		232		255
3.100%, 06/01/22		615		644
1.800%, 06/01/17		230		235
1.200%, 06/01/15		115		116
Waste Management
4.750%, 06/30/20		93		105
2.600%, 09/01/16		180		185

				11,056


Information Technology — 0.3%
Arrow Electronics
6.875%, 07/01/13		20		21
6.875%, 06/01/18		95		111
6.000%, 04/01/20		45		49
3.375%, 11/01/15		5		5
Cisco Systems
5.900%, 02/15/39 (D)		150		193
5.500%, 01/15/40		100		124
Dell
5.650%, 04/15/18		90		104
Fiserv
3.125%, 06/15/16		295		304
Hewlett-Packard
6.000%, 09/15/41		350		386
4.375%, 09/15/21		39		40
4.050%, 09/15/22 (D)		39		39
2.600%, 09/15/17		233		234
HP Enterprise Services
7.450%, 10/15/29		125		155
Intel
4.800%, 10/01/41		65		74
3.300%, 10/01/21		70		75
International Business Machines
4.000%, 06/20/42		169		177
Intuit
5.750%, 03/15/17		75		86
Microsoft
4.500%, 10/01/40		14		16
Oracle
6.125%, 07/08/39		27		35
5.375%, 07/15/40		17		21
Xerox
8.250%, 05/15/14		90		100
4.500%, 05/15/21		13		14
2.950%, 03/15/17		27		27

				2,390


Materials — 0.3%
Barrick
3.850%, 04/01/22 (D)		295		305
BHP Billiton Finance USA
6.500%, 04/01/19		125		159
4.125%, 02/24/42		40		41
1.625%, 02/24/17		42		42
CRH America
6.000%, 09/30/16		31		34
Dow Chemical
8.550%, 05/15/19		123		164
5.250%, 11/15/41 (D)		225		249
4.125%, 11/15/21		61		65


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

E.I. Du Pont de Nemours
5.600%, 12/15/36	$	80	$	101
4.900%, 01/15/41		25		29
1.950%, 01/15/16		40		41
Freeport-McMoRan Copper
2.150%, 03/01/17		81		80
Mosaic
4.875%, 11/15/41		30		32
3.750%, 11/15/21		25		26
Potash Corp of Saskatchewan
6.500%, 05/15/19		50		63
PPG Industries
9.000%, 05/01/21 (D)		145		197
Praxair
5.200%, 03/15/17		70		82
Rio Tinto Finance USA Ltd.
8.950%, 05/01/14		80		91
3.750%, 09/20/21		90		97
Teck Resources Limited
6.250%, 07/15/41		137		153
Union Carbide
7.750%, 10/01/96		50		57
Vale Overseas Limited
4.375%, 01/11/22 (D)		251		256

				2,364


Telecommunication Services — 0.9%
America Movil
2.375%, 09/08/16 (D)		350		359
AT&T
8.000%, 11/15/31		13		19
6.400%, 05/15/38		120		151
6.300%, 01/15/38		435		542
5.500%, 02/01/18 (D)		100		119
5.350%, 09/01/40 (D)		423		485
1.600%, 02/15/17		345		345
0.875%, 02/13/15		535		535
Bellsouth Capital Funding
7.120%, 07/15/97		110		135
BellSouth Telecommunications
6.300%, 12/15/15		110		116
British Telecommunications
5.950%, 01/15/18		200		234
Cellco Partnership
8.500%, 11/15/18		205		281
Centel Capital
9.000%, 10/15/19		65		76
CenturyLink
7.650%, 03/15/42		125		121
7.600%, 09/15/39		80		77
6.450%, 06/15/21 (D)		120		125
Deutsche Telekom International Finance
2.250%, 03/06/17 (C)		1,100		1,087
Deutsche Telekom International Finance BV
6.000%, 07/08/19		175		207
France Telecom
8.500%, 03/01/31		50		70
2.750%, 09/14/16		35		36
GTE
6.840%, 04/15/18		150		184


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

Qwest
6.750%, 12/01/21	$	156	$	176
Telecom Italia Capital
6.999%, 06/04/18 (D)		150		149
Telefonica Emisiones SAU
6.221%, 07/03/17 (D)		130		122
5.462%, 02/16/21		23		20
Telefonica Moviles Chile
2.875%, 11/09/15 (C)		210		211
Telemar Norte Leste SA
5.500%, 10/23/20 (C)		140		143
Verizon Global Funding
7.750%, 12/01/30		610		860
5.850%, 09/15/35		40		49
Vodafone Group
5.450%, 06/10/19		75		90
1.625%, 03/20/17		80		80

				7,204


Utilities — 1.8%
AEP Texas Central Transition
Funding
5.170%, 01/01/18		575		672
5.090%, 07/01/15		1,300		1,407
AGL Capital
6.375%, 07/15/16		50		58
5.250%, 08/15/19		50		58
4.450%, 04/15/13		120		123
Alabama Power
6.125%, 05/15/38		18		24
5.875%, 12/01/22		95		118
Ameren
8.875%, 05/15/14		260		290
American Water Capital
6.085%, 10/15/17 (D)		100		117
Appalachian Power
5.950%, 05/15/33		100		111
Arizona Public Service
5.050%, 09/01/41		47		52
4.500%, 04/01/42		273		282
Atmos Energy
4.950%, 10/15/14		75		81
Boston Gas
4.487%, 02/15/42 (C)		35		37
Carolina Power & Light
5.300%, 01/15/19		175		210
4.100%, 05/15/42 (D)		200		209
3.000%, 09/15/21		194		203
2.800%, 05/15/22		25		25
CenterPoint Energy
6.500%, 05/01/18		50		59
CenterPoint Energy Resources
4.500%, 01/15/21		81		88
Cleveland Electric Illuminating
8.875%, 11/15/18		273		365
7.880%, 11/01/17		170		213
Comision Federal de Electricidad
5.750%, 02/14/42 (C)		215		226
Consolidated Edison of New York
5.700%, 06/15/40		38		49
Consumers Energy
6.700%, 09/15/19		100		129


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

Detroit Edison
2.650%, 06/15/22	$	26	$	26
Dominion Resources
8.875%, 01/15/19		295		401
6.400%, 06/15/18		180		220
5.250%, 08/01/33		90		102
1.950%, 08/15/16		165		168
Duke Energy
6.300%, 02/01/14		120		130
3.550%, 09/15/21		76		81
Duke Energy Carolinas
4.300%, 06/15/20		39		45
4.250%, 12/15/41		28		30
Duke Energy Indiana
4.200%, 03/15/42		235		243
3.750%, 07/15/20		52		57
Enel Finance International
5.125%, 10/07/19 (C) (D)		100		96
Exelon Generation
6.200%, 10/01/17		100		115
4.000%, 10/01/20		120		121
Florida Power & Light
5.950%, 10/01/33		35		46
5.125%, 06/01/41		28		34
Jersey Central Power & Light
7.350%, 02/01/19		100		127
John Sevier Combined Cycle Generation
4.626%, 01/15/42		59		66
Kansas City Power & Light
5.300%, 10/01/41		100		110
Massachusetts Electric
5.900%, 11/15/39 (C)		55		70
Midamerican Energy Holdings
6.500%, 09/15/37		85		112
Nevada Power
7.125%, 03/15/19 (D)		110		140
6.500%, 08/01/18		40		50
5.450%, 05/15/41		50		60
5.375%, 09/15/40		12		14
Niagara Mohawk Power
4.881%, 08/15/19 (C)		80		90
Nisource Finance
6.125%, 03/01/22 (D)		1,000		1,173
5.800%, 02/01/42		149		165
5.250%, 02/15/43		160		162
Northern States Power
6.250%, 06/01/36		100		136
5.350%, 11/01/39		19		24
Oncor Electric Delivery
6.800%, 09/01/18		460		550
Pacific Gas & Electric
8.250%, 10/15/18		60		81
5.625%, 11/30/17		525		630
5.400%, 01/15/40		42		50
4.500%, 12/15/41		48		51
3.250%, 09/15/21		12		13
Pacificorp
6.250%, 10/15/37		90		121
5.650%, 07/15/18		175		211


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

Panhandle Eastern Pipeline
6.200%, 11/01/17 (D)	$	625	$	715
PPL Capital Funding
4.200%, 06/15/22		255		256
PPL Energy Supply
4.600%, 12/15/21		55		56
PPL WEM Holdings PLC
3.900%, 05/01/16 (C)		385		404
Progress Energy
3.150%, 04/01/22		215		217
PSEG Power
5.500%, 12/01/15		100		112
5.320%, 09/15/16		40		45
5.125%, 04/15/20		45		50
4.150%, 09/15/21		33		34
PSEG Power LLC
2.750%, 09/15/16		200		203
Public Service Electric & Gas
5.375%, 11/01/39		28		35
2.700%, 05/01/15		45		47
Public Service of Oklahoma
5.150%, 12/01/19		83		96
San Diego Gas & Electric
6.000%, 06/01/26		60		79
4.300%, 04/01/42		60		67
3.950%, 11/15/41		14		15
Sempra Energy
8.900%, 11/15/13		180		198
6.000%, 10/15/39		50		62
Southern
1.950%, 09/01/16		26		27
Southern California Edison
5.500%, 03/15/40		50		63
4.050%, 03/15/42		120		125
3.900%, 12/01/41		60		60
3.875%, 06/01/21		22		24
Southern Power
5.150%, 09/15/41		11		12
Southwestern Electric Power
3.550%, 02/15/22		370		377
Southwestern Public Service
8.750%, 12/01/18		90		121
Wisconsin Electric Power
2.950%, 09/15/21		3		3

				14,830

Total Corporate Obligations (Cost $177,276) ($ Thousands)				188,801


ASSET-BACKED SECURITIES — 8.4%

Automotive — 0.7%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (C)		9		9
Ally Auto Receivables Trust, Ser 2010-3, Cl A4
1.550%, 08/17/15		89		90
Ally Auto Receivables Trust, Ser 2011-4, Cl A2
0.650%, 03/17/14		222		222


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

Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/14	$	595	$	596
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A1
1.960%, 01/15/14 (C)		42		42
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A2
3.040%, 10/15/15 (C)		96		96
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3
1.770%, 03/17/14		3		3
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15		107		108
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2
0.840%, 06/09/14		37		38
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3
1.390%, 09/08/15		75		75
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A3
1.170%, 05/09/16		259		260
AmeriCredit Automobile Receivables Trust, Ser 2011-5, Cl A3
1.550%, 07/08/16		239		242
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2
0.910%, 10/08/15		99		99
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3
0.960%, 01/09/17		399		399
Bank of America Auto Trust, Ser 2009-3A, Cl A3
1.670%, 12/15/13 (C)		2		2
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (C)		19		19
Bank of America Auto Trust, Ser 2010-1A, Cl A4
2.180%, 02/15/17 (C)		100		101
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		9		9
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3
2.590%, 10/15/13 (C)		59		59
CPS Auto Trust, Ser 2011-C, Cl A
4.210%, 03/15/19 (C)		132		135


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

Ford Credit Auto Owner Trust, Ser 2009-D, Cl A3
2.170%, 10/15/13	$	78	$	79
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		72		73
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		64		64
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A4
4.430%, 07/15/15		316		319
Huntington Auto Trust, Ser 2011- 1A, Cl A4
1.310%, 11/15/16 (C)		200		203
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4
1.630%, 03/15/17		90		92
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A3
1.040%, 09/15/15		64		64
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4
1.650%, 02/15/17		71		72
LAI Vehicle Lease Securitization Trust, Ser 2010-A, Cl A
2.550%, 09/15/16 (C)		84		84
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/16 (C)		388		395
MMCA Automobile Trust, Ser 2012-A, Cl A4
1.890%, 08/15/17 (C)		200		203
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4
1.310%, 09/15/16		75		76
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4
2.390%, 06/15/17 (C)		100		102
Santander Drive Auto Receivables Trust, Ser 2011- S2A, Cl B
2.060%, 06/15/17 (C)		29		29
Santander Drive Auto Receivables Trust, Ser 2011- S2A, Cl D
3.350%, 06/15/17 (C)		55		55
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/15		135		136
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3
1.220%, 12/15/15		178		178
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A3
1.400%, 08/15/16		261		261


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

SNAAC Auto Receivables Trust, Ser 2012-1A, Cl A
1.780%, 06/15/16 (C)	$	79 $		79
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4
1.560%, 05/15/15		125		127
USAA Auto Owner Trust, Ser 2009-2, Cl A3
1.540%, 02/18/14		6		6
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		145		147
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A2
1.080%, 07/15/13 (C)		8		9
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3
1.490%, 06/16/14 (C)		70		70

				5,527


Credit Cards — 0.3%
Cabela’s Master Credit Card Trust, Ser 2012-1A, Cl A1
1.630%, 02/18/20 (C)		200		202
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A
0.322%, 09/15/15 (A)		293		293
Chase Issuance Trust, Ser 2008- A13, Cl A13
1.968%, 09/15/15 (A)		465		474
Citibank Omni Master Trust, Ser 2009-A14A, Cl A14
2.992%, 08/15/18 (A) (C)		933		980
GE Capital Credit Card Master Note Trust, Ser 2012-4, Cl A
0.541%, 06/15/18 (A)		570		570
World Financial Network Credit Card Master Trust, Ser 2011- A, Cl A
1.680%, 08/15/18		399		403

				2,922


Mortgage Related Securities — 2.1%
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1
1.295%, 01/25/34 (A)		505		427
Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl M1
0.895%, 12/25/34 (A)		953		831
Aegis Asset-Backed Securities Trust, Ser 2004-6, Cl M1
0.785%, 03/25/35 (A)		769		725
Arch Bay Asset-Backed Securities, Ser 2010-2, Cl A
4.125%, 04/25/57 (A) (C)		8		8
Argent Securities, Ser 2003-W5, Cl M1
0.945%, 10/25/33 (A)		1,062		956
Asset Backed Funding Certificates, Ser 2005-WMC1, Cl M1
0.685%, 06/25/35 (A)		1,228		1,169


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

Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl M1
0.735%, 07/25/35 (A)	$	562	$	554
Bear Stearns Alt-A Trust, Ser 2004-13, Cl A1
0.985%, 11/25/34 (A)		1,385		1,309
Bear Stearns Asset-Backed Securities Trust, Ser 2005- TC2, Cl A3
0.615%, 08/25/35 (A)		1,471		1,357
Bear Stearns Asset-Backed Securities Trust, Ser 2006-1, Cl A
0.525%, 02/25/36 (A)		861		807
Bear Stearns Asset-Backed Securities Trust, Ser 2007- HE2, Cl 1A1
0.294%, 03/25/37 (A)		152		151
BNC Mortgage Loan Trust, Ser 2008-4, Cl A3A
0.495%, 11/25/37 (A)		591		580
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9
7.050%, 03/15/28		—		—
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		1		1
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1
0.514%, 01/20/35 (A)		78		73
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2
0.734%, 01/20/35 (A)		98		88
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.404%, 01/20/36 (A)		1,384		1,271
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.394%, 03/20/36 (A)		87		82
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F
5.600%, 03/20/36		104		104
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2V
0.424%, 03/20/36 (A)		777		763
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.444%, 03/20/36 (A)		96		88
HSBC Home Equity Loan Trust, Ser 2007-1, Cl M2
0.724%, 03/20/36 (A)		2,000		1,328
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.444%, 11/20/36 (A)		783		742
IXIS Real Estate Capital Trust, Ser 2005-HE1, Cl M2
0.982%, 06/25/35 (A)		249		247
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3
0.595%, 07/25/34 (A) (C)		148		142


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

Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
0.995%, 01/25/35 (A)	$	20	$	20
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.285%, 01/25/37 (A)		1		1
Morgan Stanley Capital I, Ser 2011-C3, Cl A3
4.054%, 07/15/49		100		108
New Century Home Equity Loan Trust, Ser 2005-4, Cl A2C
0.615%, 09/25/35 (A)		1,450		1,382
Residential Asset Securities, Ser 2005-KS9, Cl A3
0.615%, 10/25/35 (A)		86		83
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/32 (C)		106		90
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/33		71		71
Structured Asset Securities, Ser 2002-AL1, Cl A2
3.450%, 02/25/32		82		75
Structured Asset Securities, Ser 2005-NC1, Cl A11
4.690%, 02/25/35		187		185
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A1
5.682%, 06/25/51 (A) (C)		38		38
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A2
9.317%, 06/25/51 (A) (C)		150		151
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6
5.000%, 05/25/34 (A)		1,400		1,415

				17,422


Other Asset-Backed Securities — 5.3%
Academic Loan Funding Trust, Ser 2012-1A, Cl A1
0.800%, 12/27/22 (A) (C)		200		200
AH Mortgage Advance Trust, Ser 2011-1, PO
3.370%, 05/10/43 (C)		667		675
AH Mortgage Advance Trust, Ser 2011-2, Cl A1
3.270%, 09/15/43 (C)		373		374
AH Mortgage Advance Trust, Ser 2011-2, Cl B1
6.900%, 09/15/43 (C)		120		120
AH Mortgage Advance Trust, Ser 2012-1, Cl A1R
2.230%, 05/10/43 (C)		250		250
Ally Master Owner Trust, Ser 2011-1, Cl A2
2.150%, 01/15/16		765		779


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

Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/16	$	395	$	401
Ally Master Owner Trust, Ser 2012-1, Cl A1
1.042%, 02/15/17 (A)		1,557		1,563
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/17		625		629
Bear Stearns Asset-Backed Securities Trust, Ser 2005- SD1, Cl 1A3
0.645%, 08/25/43 (A)		1,072		1,021
Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.691%, 02/25/35 (A)		850		807
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.466%, 10/27/36 (A)		400		380
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/34		88		90
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.350%, 11/25/34		125		111
CIT Education Loan Trust, Ser 2007-1, Cl A
0.558%, 03/25/42 (A) (C)		841		766
CNH Equipment Trust, Ser 2009- C, Cl A4
3.000%, 08/17/15		405		410
CNH Equipment Trust, Ser 2010- A, Cl A3
1.540%, 07/15/14		20		20
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.705%, 10/25/35 (A)		490		477
Cronos Containers Program, Ser 2012-1A, Cl A
4.210%, 05/18/27 (C)		298		300
EFS Volunteer, Ser 2010-1, Cl A2
1.316%, 10/25/35 (A) (C)		800		760
First Franklin Mortgage Loan Asset Backed Certificates, Ser 2004-FF5, Cl A3C
1.245%, 08/25/34 (A)		1,160		1,029
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1
2.120%, 02/15/16		480		490
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.709%, 01/15/16 (A)		911		914
GE Seaco Finance, Ser 2005-1A, Cl A
0.493%, 11/17/20 (A) (C)		957		920


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

Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 04/15/40	$	580	$	593
Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2
2.495%, 03/25/32 (A)		250		230
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		976		1,001
Nelnet Student Loan Trust, Ser 2002-2, Cl A4CP
0.480%, 09/25/24 (A)		289		287
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
0.576%, 10/25/33 (A)		444		411
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.568%, 03/23/37 (A)		570		525
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.557%, 11/23/22 (A)		765		762
Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.546%, 10/26/26 (A)		855		850
Nelnet Student Loan Trust, Ser 2007-1, Cl A3
0.537%, 05/27/25 (A)		433		402
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L
0.818%, 03/25/26 (A) (C)		1,289		1,249
Newcastle Investment Trust, Ser 2011-MH1, Cl A
2.450%, 12/10/33 (C)		37		37
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.710%, 05/15/17 (A)		205		206
Northstar Education Finance, Ser 2007-1, Cl A3
0.526%, 01/29/46 (A)		750		679
Park Place Securities, Ser 2004- MCW1, Cl M1
0.870%, 10/25/34 (A)		233		221
Park Place Securities, Ser 2004- WCW2, Cl M1
0.865%, 10/25/34 (A)		1,065		1,059
PennyMac Loan Trust, Ser 2011- NPL1, Cl A
5.250%, 09/25/51 (A) (C)		142		142
Residential Asset Mortgage Products, Ser 2004-RZ1, Cl AI7
4.030%, 01/25/33 (A)		606		611
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3
0.585%, 10/25/35 (A)		150		130


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

Residential Asset Mortgage Products, Ser 2005-RS5, Cl AI3
0.585%, 05/25/35 (A)	$	1,003	$	984
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A3
0.545%, 03/25/36 (A)		350		301
Residential Credit Solutions Trust, Ser 2011-1, Cl A1
6.000%, 03/25/41 (C)		151		151
RSB Bondco LLC, Ser 2007-A, Cl A3
5.820%, 06/28/19		405		484
RSB Bondco, Ser 2007-A, Cl A1
5.470%, 10/01/14		23		24
Scholar Funding Trust, Ser 2011- A, Cl A
1.366%, 10/28/43 (A) (C)		401		392
SLC Student Loan Trust, Ser 2010-1, Cl A
1.349%, 11/25/42 (A)		467		471
SLM Student Loan Trust, Ser 2004-6, Cl A5
0.636%, 04/27/20 (A)		421		419
SLM Student Loan Trust, Ser 2005-6, Cl A5B
1.666%, 07/27/26 (A)		289		293
SLM Student Loan Trust, Ser 2006-5, Cl A6B
0.586%, 10/25/40 (A)		875		745
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.466%, 07/25/17 (A)		286		285
SLM Student Loan Trust, Ser 2007-4, Cl A3
0.526%, 01/25/22 (A)		607		604
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.166%, 07/25/23 (A)		659		685
SLM Student Loan Trust, Ser 2008-9, Cl A
1.966%, 04/25/23 (A)		449		464
SLM Student Loan Trust, Ser 2011-C, Cl A1
1.642%, 12/15/23 (A) (C)		1,093		1,099
SLM Student Loan Trust, Ser 2012-2, Cl A
0.945%, 01/25/29 (A)		1,513		1,527
SLM Student Loan Trust, Ser 2012-3, Cl A
0.895%, 12/26/25 (A)		803		803
SLM Student Loan Trust, Ser 2012-A, Cl A1
1.642%, 08/15/25 (A) (C)		1,026		1,034
SLM Student Loan Trust, Ser 2012-B, Cl A1
1.342%, 12/15/21 (A) (C)		739		740
SLM Student Loan Trust, Ser 2012-C, Cl A1
1.340%, 08/15/23 (A) (C)		661		662


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

SMS Student Loan Trust, Ser 2000-A, Cl A2
0.656%, 10/28/28 (A)	$	308	$	307
SMS Student Loan Trust, Ser 2000-B, Cl A2
0.666%, 04/28/29 (A)		420		416
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9
0.515%, 06/25/35 (A)		91		87
Structured Asset Securities, Ser 2005-WF3, Cl A2
0.475%, 07/25/35 (A)		1,088		1,073
Structured Asset Securities, Ser 2006-BC5, Cl A2
0.295%, 12/25/36 (A)		109		108
Structured Asset Securities, Ser 2006-BC6, Cl A2
0.325%, 01/25/37 (A)		368		368
Structured Asset Securities, Ser 2006-WF2, Cl A3
0.395%, 07/25/36 (A)		1,308		1,268
Structured Asset Securities, Ser 2007-BC2, Cl A2
0.335%, 03/25/37 (A)		304		299
TAL Advantage LLC, Ser 2006- 1A, Cl N
0.434%, 04/20/21 (A) (C)		402		386
TAL Advantage LLC, Ser 2010- 2A, Cl A
4.300%, 10/20/25 (C)		463		467
TAL Advantage LLC, Ser 2011- 1A, Cl A
4.600%, 01/20/26 (C)		215		220
Textainer Marine Containers, Ser 2005-1A, Cl A
0.490%, 05/15/20 (A) (C)		292		283
Textainer Marine Containers, Ser 2011-1A, Cl A
4.700%, 06/15/26 (C)		608		623
Trafigura Securitisation Finance, Ser 2012-1A, Cl A
2.653%, 10/15/15 (A) (C)		137		137
Trinity Rail Leasing, Ser 2004-1A, Cl A
5.270%, 08/14/27 (C)		309		332
Trip Rail Master Funding LLC, Ser 2011-1A, Cl A1A
4.370%, 07/15/41 (C)		771		784
Triton Container Finance LLC, Ser 2006-1A, Cl N
0.420%, 11/26/21 (A) (C)		662		630
Triton Container Finance, Ser 2012-1A, Cl A
4.210%, 05/14/27 (C)		421		421
VOLT, Ser 2012-1A, Cl A1
4.949%, 04/25/17 (C)		462		462
VOLT, Ser 2012-RP2A, Cl A1
4.704%, 06/26/17 (C)		163		163

				43,882

Total Asset-Backed Securities (Cost $68,492) ($ Thousands)				69,753


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

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4%
FHLB
5.500%, 07/15/36	$	300	$	405
0.500%, 05/15/14		2,080		2,079
FICO STRIPS, PO
9.800%, 11/30/17		875		1,254
9.700%, 04/05/19		320		483
8.600%, 09/26/19		845		1,236
3.208%, 12/06/17 (E)		660		609
2.863%, 05/02/16 (E)		515		494
2.000%, 10/06/17 (E)		470		437
1.847%, 02/08/13 (E)		815		812
0.000%, 12/06/18 to 09/26/19 (E)		1,665		1,473
FNMA
5.375%, 06/12/17		50		60
3.460%, 06/01/17 (E)		600		567
Resolution Funding STRIPS
3.310%, 07/15/20 (E)		500		436
3.235%, 01/15/16 (E)		935		906
Tennessee Valley Authority
5.880%, 04/01/36		250		348
5.250%, 09/15/39		40		52
4.625%, 09/15/60		60		73

Total U.S. Government Agency Obligations (Cost $11,093) ($ Thousands)				11,724


MUNICIPAL BONDS — 1.0%
American Municipal Power, RB
7.499%, 02/15/50		80		107
Bay Area, Toll Authority, RB
6.263%, 04/01/49		1,330		1,773
County of Clark, Ser C, RB
6.820%, 07/01/45		260		356
Los Angeles Community College District, GO
6.750%, 08/01/49		240		318
Los Angeles, Department of Water & Power, RB
6.574%, 07/01/45		190		274
New Jersey, State Turnpike Authority, RB
7.102%, 01/01/41		300		423
North Texas Tollway Authority, RB
6.718%, 01/01/49		268		358
Ohio State University, Ser A, RB
4.800%, 06/01/11 (2111)		273		302
Port Authority of New York & New Jersey, RB
5.647%, 11/01/40		105		128
State of California, GO
7.600%, 11/01/40		210		273
7.550%, 04/01/39		300		386
7.300%, 10/01/39		820		1,018
6.650%, 03/01/22		175		214


Description	Face Amount ($ Thousands)(1)		Market Value ($ Thousands)

State of Illinois, GO
5.877%, 03/01/19	$	150	$	166
5.665%, 03/01/18		1,255		1,392
5.365%, 03/01/17		170		187
5.100%, 06/01/33		810		766

Total Municipal Bonds (Cost $6,875) ($ Thousands)				8,441


SOVEREIGN DEBT — 1.0%
Israel Government AID Bond (E)
2.400%, 11/15/19		500		441
2.311%, 03/15/19		1,000		901
2.110%, 08/15/17		1,000		938
2.010%, 08/15/18		1,000		916
Japan Treasury Discount Bills
0.089%, 09/10/12 (E) JPY		150,000		1,880
Mexico Government International Bond
5.750%, 10/12/10 (2110) (D)		284		323
4.750%, 03/08/44		60		65
Province of Manitoba Canada
2.125%, 04/22/13		46		47
1.750%, 05/30/19		230		231
Province of Ontario Canada
2.450%, 06/29/22		360		355
0.950%, 05/26/15		945		949
Province of Quebec Canada MTN
6.350%, 01/30/26		70		94
Slovakia Government International Bond
4.375%, 05/21/22 (C)		705		694

Total Sovereign Debt (Cost $7,629) ($ Thousands)				7,834


U.S. TREASURY OBLIGATIONS — 22.1%
U.S. Treasury Bills
0.095%, 09/13/12 (E) (F)		40		40
U.S. Treasury Bonds
8.750%, 05/15/20		775		1,216
7.625%, 02/15/25		985		1,612
7.500%, 11/15/16		1,100		1,423
6.500%, 11/15/26		200		308
6.375%, 08/15/27		50		77
6.250%, 05/15/30		200		316
6.125%, 11/15/27 to 08/15/29		200		304
4.500%, 02/15/36		1,038		1,394
4.250%, 11/15/40		928		1,214
3.750%, 08/15/41		5,570		6,717
3.125%, 11/15/41 to 02/15/42 (F)		25,136		27,012
3.000%, 05/15/42		734		769
U.S. Treasury Inflation Protected Security
2.500%, 01/15/29		107		149
2.125%, 02/15/41		1,045		1,492
0.625%, 04/15/13		2,656		2,660
0.500%, 04/15/15		319		331


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

U.S. Treasury Notes
4.750%, 08/15/17	$	1,100	$	1,320
4.000%, 11/15/12 to 02/15/15		5,365		5,533
3.875%, 02/15/13		350		358
3.500%, 02/15/18 to 05/15/20		3,500		4,041
3.375%, 07/31/13		3,758		3,884
3.000%, 09/30/16		6,512		7,157
2.750%, 10/31/13		13,920		14,094
2.625%, 08/15/20		3,786		4,167
2.250%, 07/31/18		500		538
2.000%, 02/15/22		4,902		5,067
1.875%, 04/30/14 to 10/31/17		1,997		2,093
1.750%, 10/31/18 to 05/15/22		17,974		18,151
1.500%, 06/30/16		6,153		6,374
1.375%, 01/15/13		1,000		1,006
0.875%, 12/31/16 to 01/31/17		13,169		13,283
0.750%, 06/30/17		3,569		3,573
0.625%, 05/31/17		383		381
0.375%, 10/31/12 to 06/15/15		11,297		11,288
0.250%, 05/31/14 to 05/15/15		5,561		5,544
U.S. Treasury STRIPS (E)
6.292%, 05/15/24		200		155
4.978%, 11/15/27		200		136
4.917%, 05/15/26		100		72
4.863%, 11/15/31		50		30
4.789%, 08/15/27		700		479
4.750%, 05/15/27		515		356
4.741%, 05/15/28		600		400
4.676%, 02/15/28		600		403
4.591%, 05/15/36		100		50
4.589%, 08/15/30		325		201
4.587%, 02/15/24		75		59
4.576%, 05/15/34		175		95
4.555%, 05/15/29		100		64
4.536%, 02/15/34		250		136
4.514%, 11/15/33		350		192
4.453%, 08/15/33		300		166
4.422%, 11/15/30		950		583
4.390%, 05/15/33		425		238
4.371%, 02/15/30		1,000		629
4.287%, 02/15/17		3,660		3,533
4.269%, 11/15/24		150		114
4.264%, 11/15/26		1,100		774
4.231%, 11/15/29		400		254
4.221%, 05/15/30		200		125
4.176%, 02/15/32		150		88
4.138%, 11/15/20		1,250		1,104
4.050%, 05/15/19		875		808
4.029%, 08/15/19		1,350		1,239
3.964%, 11/15/32		250		143
3.888%, 02/15/27		1,350		941
3.720%, 05/15/31		185		111
3.704%, 08/15/18		400		376
3.675%, 11/15/17		1,550		1,479


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

3.560%, 08/15/20	$	3,550		$	3,159
3.301%, 11/15/16		200			194
3.155%, 11/15/21		200			170
3.135%, 05/15/18		250			236
3.087%, 02/15/18		925			878
3.069%, 05/15/20		4,274			3,831
2.890%, 08/15/26 (E)		100			71
2.727%, 02/15/35		100			53
2.721%, 02/15/15		100			99
2.704%, 08/15/21		250			215
1.976%, 05/15/21		1,850			1,604
1.474%, 02/15/20		1,700			1,535

Total U.S. Treasury Obligations (Cost $173,518) ($ Thousands)					182,464


AFFILIATED PARTNERSHIP — 2.2%
SEI Liquidity Fund, L.P. 0.150% **† (B)		18,557,647			18,558

Total Affiliated Partnership (Cost $18,558) ($ Thousands)					18,558


CASH EQUIVALENT — 5.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080% **†		40,956,472			40,956

Total Cash Equivalent (Cost $40,956) ($ Thousands)					40,956

Total Investments — 106.8% (Cost $841,573) ($ Thousands) ††				$	883,324


WRITTEN OPTION — 0.0%
November 2020 U.S. CPI Urban Consumers NSA Call Expires: 11/23/20 Strike Inflation: 0.00% *		(1,490,000	)		(3	)

Total Written Option (Premiums Received $(17)) ($ Thousands)@				$	(3	)

Percentages are based on a Net Assets of $827,227 ($ Thousands)

Non-Income producing security

Rate shown is the 7-day effective yield as of June 30, 2012

‡

Real Estate Investment Trust

†

Investment in Affiliated Security

(1)

In U.S. Dollars unless otherwise indicated.

(A)

Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effect as of June 30, 2012. The date reported on the Schedule of Investments is the final maturity date.

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $18,558 ($ Thousands) (C) 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.

(D)

This security or a partial position of this security is on loan at June 30, 2012. The total value of securities on loan at June 30, 2012 was $17,911 ($ Thousands).

(E)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(F)

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

ABS — Asset-Based Security

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

CPI — Consumer Price Index

FDIC — Federal Deposit Insurance Corporation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only - face amount represents notional amount

Ltd. — Limited

LLC — Limited Liability Company

L.P. — Limited Partnership

††

At June 30, 2012, the tax basis cost of the Fund’s investments was $841,573 ($ Thousands), and the unrealized appreciation and depreciation were $43,303 ($ Thousands) and $(1,552) ($ Thousands) respectively.

At June 30, 2012, the tax basis proceeds of the Fund’s written options was $17 ($ Thousands), and the unrealized appreciation and depreciation were $0 ($ Thousands) and $(3) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	354,793	$	—	$	354,793
Corporate Obligations		—		188,801		—		188,801
Asset-Backed Securities		—		69,753		—		69,753
U.S. Government Agency
Obligations		—		11,724		—		11,724
Municipal Bonds		—		8,441		—		8,441
Sovereign Debt		—		7,834		—		7,834
U.S. Treasury Obligations		—		182,464		—		182,464
Affiliated Partnership		—		18,558		—		18,558
Cash Equivalent		40,956		—		—		40,956

Total Investments in Securities	$	40,956	$	842,368	$	—	$	883,324


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Written Options	$	—		$	(3	)	$	—	$	(3	)
Futures Contracts *		(136	)		—			—		(136	)
Credit Default Swaps *		—			(231	)		—		(231	)

Total Other Financial Instruments	$	(136	)	$	(234	)	$	—	$	(370	)

Futures contracts and swaps are valued at the unrealized depreciation on the instrument.

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are 0$ or have been rounded to $0.

As of June 30, 2012, the U.S. Fixed Income Fund is the buyer (“receiving protection”) on a total notional amount of $2.2 million, and is the seller (“providing protection”) on a total notional amount of $905 Thousand. 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 were 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:


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

CORPORATE OBLIGATIONS — 73.7%

Consumer Discretionary — 20.7%
Academy
9.250%, 08/01/19 (A)	$	2,820	$	3,060
Adelphia Communications (Escrow Security)
10.250%, 06/15/11 (B)		150		1
0.000%, 01/15/09 (B)		225		2
Adelphia Communications (Escrow Security), Ser B
0.000%, 02/15/04 (B)		25		—
Affinion Group
11.500%, 10/15/15		1,750		1,492
7.875%, 12/15/18		1,455		1,240
Affinity Gaming
9.000%, 05/15/18 (A)		2,145		2,145
Allison Transmission
7.125%, 05/15/19 (A)		925		964
AMC Entertainment
9.750%, 12/01/20		1,215		1,312
8.750%, 06/01/19		520		558
AMC Networks
7.750%, 07/15/21 (A)		3,090		3,407
American Axle & Manufacturing Holdings
9.250%, 01/15/17 (A)		90		101
7.750%, 11/15/19		390		412
American Standard Americas
10.750%, 01/15/16 (A)		1,850		1,605
AmeriGas Finance
7.000%, 05/20/22		4,660		4,800
Ameristar Casinos
7.500%, 04/15/21		1,225		1,311
Armored Autogroup
9.250%, 11/01/18 (A)		2,935		2,531
Ashtead Capital
6.500%, 07/15/22		360		360
Aventine (Escrow Security)
0.000%, 10/15/49 (B) (G) (I) (L)		2,750		8
Avis Budget Car Rental
9.625%, 03/15/18		205		224
8.250%, 01/15/19		1,650		1,770
Beazer Homes USA
9.125%, 06/15/18		1,880		1,659
Belo
8.000%, 11/15/16		2,080		2,275
7.750%, 06/01/27		1,675		1,642
Block Communications
7.250%, 02/01/20 (A)		595		604
Bon-Ton Department Stores
10.250%, 03/15/14		330		279
Brands
5.625%, 02/15/22		1,275		1,313
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,175		772
Burlington Coat Factory Warehouse
10.000%, 02/15/19		9,625		10,203
Cablevision Systems
8.625%, 09/15/17		1,145		1,277
8.000%, 04/15/20		500		540
7.750%, 04/15/18		1,192		1,269


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

Caesars Operating Escrow
8.500%, 02/15/20 (A)	$	3,570	$	3,597
Carmike Cinemas
7.375%, 05/15/19		750		776
Carrols Restaurant Group
11.250%, 05/15/18 (A)		1,125		1,181
CCO Holdings
8.125%, 04/30/20		1,683		1,877
7.875%, 04/30/18		1,600		1,740
7.000%, 01/15/19		4,475		4,833
Cedar Fair
9.125%, 08/01/18		1,135		1,260
Cengage Learning Acquisitions
11.500%, 04/15/20 (A)		1,020		1,056
Cengage Learning Holdco PIK
13.750%, 07/15/15 (A)		3,527		2,839
Cequel Communications Holdings I and Cequel Capital
8.625%, 11/15/17 (A)		550		593
Chester Downs & Marina
9.250%, 02/01/20 (A)		1,935		2,017
Choctaw Resort Development Enterprise
7.250%, 11/15/19 (A)		963		802
Choice Hotels International
5.750%, 07/01/22		200		209
Chrysler Group
8.250%, 06/15/21		3,770		3,874
8.000%, 06/15/19		820		843
Chukchansi Economic Development Authority
9.750%, 05/30/20 (A)		1,848		1,478
Cinemark USA
7.375%, 06/15/21		390		423
CityCenter Holdings
7.625%, 01/15/16		861		908
CKE Holdings
10.500%, 03/14/16 (A)		2,667		2,920
Claire’s Stores
9.000%, 03/15/19 (A)		860		870
8.875%, 03/15/19		710		607
Clear Channel Communications
9.000%, 03/01/21		2,825		2,458
Clear Channel Worldwide Holdings
9.250%, 12/15/17		2,465		2,687
7.625%, 03/15/20 (A)		850		831
7.625%, 03/15/20 (A)		225		215
Columbus International
11.500%, 11/20/14 (A)		1,295		1,379
Community Health Systems
8.875%, 07/15/15		961		986
CSC Holdings
8.625%, 02/15/19		2,200		2,541
6.750%, 11/15/21 (A)		1,250		1,331
Dana Holding
6.750%, 02/15/21		1,108		1,197
6.500%, 02/15/19		1,108		1,177
Dave & Buster’s
11.000%, 06/01/18		1,125		1,226
Dave & Buster’s Parent
12.250%, 02/15/16 (A) (C)		6,445		4,399
DCP
10.750%, 08/15/15 (A)		2,220		2,076


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

Delphi
6.125%, 05/15/21	$	1,795	$	1,961
5.875%, 05/15/19		1,759		1,877
Dex One PIK
12.000%, 01/29/17		997		239
Diamond Resorts
12.000%, 08/15/18		3,000		3,210
DineEquity
9.500%, 10/30/18		4,510		4,938
DISH DBS
7.875%, 09/01/19		3,110		3,584
6.750%, 06/01/21		765		826
5.875%, 07/15/22 (A)		575		581
4.625%, 07/15/17 (A)		470		471
Dollar General PIK
11.875%, 07/15/17 (D)		1,505		1,597
Easton-Bell Sports
9.750%, 12/01/16		1,535		1,683
Eldorado Resorts
8.625%, 06/15/19 (A)		4,615		4,384
Empire Today
11.375%, 02/01/17 (A)		2,250		2,278
Entravision Communications
8.750%, 08/01/17		1,702		1,804
Equinox Holdings
9.500%, 02/01/16 (A)		940		996
Ferrellgas
9.125%, 10/01/17		2,100		2,195
6.500%, 05/01/21		100		91
FGI Operating
7.875%, 05/01/20 (A)		695		725
Fontainebleau Las Vegas
11.000%, 06/15/15 (A) (B)		3,125		2
Goodyear Tire & Rubber
8.750%, 08/15/20		380		405
8.250%, 08/15/20		880		932
7.000%, 05/15/22		3,605		3,600
GRD Holdings III
10.750%, 06/01/19 (A)		2,345		2,322
Greektown Superholdings
13.000%, 07/01/15		1,840		2,010
13.000%, 07/01/15		2,740		2,993
GWR Operating Partnership LLP
10.875%, 04/01/17		760		851
Gymboree
9.125%, 12/01/18		935		867
Hanesbrands
6.375%, 12/15/20		1,130		1,189
Harrah’s Operating
11.250%, 06/01/17		5,955		6,498
10.000%, 12/15/18		2,348		1,605
Hertz
7.500%, 10/15/18		1,470		1,577
6.750%, 04/15/19		160		166
Hillman Group
10.875%, 06/01/18		850		899
Houghton Mifflin Harcourt Publishers
10.500%, 06/01/19 (A) (B)		1,500		818
Inergy
7.000%, 10/01/18		800		824
International Automotive Components Group
9.125%, 06/01/18 (A)		1,330		1,214


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

inVentiv Health
10.000%, 08/15/18 (A)	$	370	$	316
10.000%, 08/15/18 (A)		555		477
J. Crew Group
8.125%, 03/01/19		995		1,027
Jaguar Land Rover
8.125%, 05/15/21 (A)		1,305		1,347
Jarden
7.500%, 05/01/17		580		650
JC Penney
7.950%, 04/01/17		380		380
5.750%, 02/15/18		795		720
Knowledge Learning
7.750%, 02/01/15 (A)		1,000		805
Lamar Media
7.875%, 04/15/18		542		596
5.875%, 02/01/22 (A)		525		538
Landry’s
9.375%, 05/01/20 (A)		495		503
Laureate Education
12.750%, 08/15/17 (A)		575		609
11.000%, 08/15/15 (A)		525		538
Levi Strauss
6.875%, 05/01/22 (A)		1,395		1,432
Libbey Glass
6.875%, 05/15/20 (A)		495		509
Liberty Media LLC
8.250%, 02/01/30		1,970		2,024
Lions Gate Entertainment
10.250%, 11/01/16 (A)		3,565		3,904
Liz Claiborne
10.500%, 04/15/19 (A)		1,595		1,774
M/I Homes
8.625%, 11/15/18		1,820		1,879
Marina District Finance
9.875%, 08/15/18		1,415		1,334
9.500%, 10/15/15		375		364
McClatchy
11.500%, 02/15/17		3,750		3,891
MDC Partners
11.000%, 11/01/16 (A)		4,820		5,133
MediMedia USA
11.375%, 11/15/14 (A)		2,100		1,890
Meritage Homes
7.000%, 04/01/22 (A)		290		299
MGM Resorts International
11.375%, 03/01/18		3,265		3,845
9.000%, 03/15/20		3,275		3,635
8.625%, 02/01/19 (A)		670		717
7.625%, 01/15/17		1,790		1,848
Michaels Stores
13.000%, 11/01/16 (E)		487		522
11.375%, 11/01/16		430		457
7.750%, 11/01/18		1,540		1,625
Midwest Gaming Borrower
11.625%, 04/15/16 (A)		2,100		2,318
Millennium (Escrow Security)
7.625%, 11/15/26 (B)		175		—
MTR Gaming Group
11.500%, 08/01/19		3,776		3,871
Nara Cable Funding
8.875%, 12/01/18 (A)		1,130		972


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

NCL
9.500%, 11/15/18	$	265	$	288
Nexstar Broadcasting
8.875%, 04/15/17		1,625		1,716
Nielsen Finance
7.750%, 10/15/18		510		565
Norcraft
10.500%, 12/15/15		865		856
Ono Finance II
10.875%, 07/15/19 (A)		3,357		2,602
OSI Restaurant Partners
10.000%, 06/15/15		600		617
Peninsula Gaming
8.375%, 08/15/15		2,100		2,210
Petco Animal Supplies
9.250%, 12/01/18 (A)		950		1,038
Pinnacle Entertainment
8.750%, 05/15/20		785		860
7.750%, 04/01/22		1,275		1,363
Quebecor Media (Escrow Security)
0.000%, 03/15/16 (B)		1,915		19
0.000%, 11/15/13 (B) (F)		1,725		17
QVC
7.500%, 10/01/19 (A)		2,755		3,058
7.375%, 10/15/20 (A)		415		460
Reynolds Group
6.875%, 02/15/21 (A)		2,000		2,080
Reynolds Group (Escrow)
7.750%, 10/15/16 (A)		2,100		2,210
Reynolds Group Issuer (A)
9.875%, 08/15/19		4,250		4,409
9.875%, 08/15/19		3,880		4,026
9.875%, 08/15/19		140		152
9.000%, 04/15/19		3,360		3,352
8.500%, 05/15/18		550		539
8.250%, 02/15/21		533		506
RJ Tower
12.000%, 06/01/13 (B)		172		1
Roadhouse Financing
10.750%, 10/15/17		1,925		1,843
RSC Equipment Rental
10.250%, 11/15/19		100		113
8.250%, 02/01/21		3,826		4,075
Salem Communications
9.625%, 12/15/16		780		861
Sally Holdings
6.875%, 11/15/19		3,566		3,878
5.750%, 06/01/22		175		183
Sealy Mattress
8.250%, 06/15/14		3,486		3,442
Seneca Gaming
8.250%, 12/01/18 (A)		3,905		4,003
Service International
7.625%, 10/01/18		375		426
7.500%, 04/01/27		625		641
7.000%, 05/15/19		550		591
ServiceMaster
8.000%, 02/15/20		2,365		2,575
Seven Seas Cruises S de RL
9.125%, 05/15/19		1,450		1,497
Shingle Springs Tribal Gaming Authority
9.375%, 06/15/15 (A)		300		229


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

Simmons Bedding
11.250%, 07/15/15 (A)	$	1,075	$	1,113
Sinclair Television Group
9.250%, 11/01/17 (A)		725		801
8.375%, 10/15/18		2,425		2,643
Sirius XM Radio
9.750%, 09/01/15 (A)		1,425		1,510
8.750%, 04/01/15 (A)		1,300		1,462
Sitel
11.000%, 08/01/17 (A)		955		926
Spectrum Brands
6.750%, 03/15/20 (A)		365		377
Stanadyne Holdings
12.000%, 02/15/15 (E)		1,575		1,112
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		1,915		1,673
Standard Pacific
10.750%, 09/15/16		445		525
Stewart Enterprises
6.500%, 04/15/19		425		438
Sugarhouse HSP Gaming
8.625%, 04/15/16 (A)		795		839
Taylor Morrison Communities
7.750%, 04/15/20 (A)		1,315		1,374
Tenneco
6.875%, 12/15/20		480		518
Tomkins
9.000%, 10/01/18		832		926
Travelport LLC
11.875%, 09/01/16		495		189
Truven Health Analytics
10.625%, 06/01/20 (A)		495		515
UCI International
8.625%, 02/15/19		1,045		1,052
United Rentals North America
10.875%, 06/15/16		2,600		2,922
9.250%, 12/15/19		420		466
8.375%, 09/15/20		855		900
Unitymedia Hessen GmbH & KG
7.500%, 03/15/19 (A)		1,500		1,590
Univision Communications
8.500%, 05/15/21 (A)		2,605		2,625
7.875%, 11/01/20 (A)		2,350		2,514
UPC Holding
9.875%, 04/15/18 (A)		4,060		4,446
UR Financing Escrow (A)
7.625%, 04/15/22		720		754
7.375%, 05/15/20		140		146
5.750%, 07/15/18		740		770
Vail Resorts
6.500%, 05/01/19		790		829
Videotron
9.125%, 04/15/18		500		547
5.000%, 07/15/22 (A)		1,975		2,005
Visant
10.000%, 10/01/17		1,060		1,052
Visteon
6.750%, 04/15/19		980		953
WMG Acquisition
11.500%, 10/01/18		2,060		2,276
9.500%, 06/15/16		850		927


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

Wok Acquisition
10.250%, 06/30/20 (A)	$	3,285	$	3,384
Wynn Las Vegas
7.750%, 08/15/20		1,100		1,218
5.375%, 03/15/22 (A)		400		402
XM Satellite Radio
7.625%, 11/01/18 (A)		3,325		3,574
YCC Holdings PIK
10.250%, 02/15/16		1,125		1,145

				332,042


Consumer Staples — 2.9%
Beverages & More
9.625%, 10/01/14 (A)		1,000		1,040
Bumble Bee Acquisition
9.000%, 12/15/17 (A)		1,342		1,339
Bumble Bee Holdco SCA PIK
9.625%, 03/15/18 (A)		2,250		2,059
Central Garden and Pet
8.250%, 03/01/18		4,755		4,767
Constellation Brands
7.250%, 05/15/17		1,000		1,144
6.000%, 05/01/22		700		752
Cott Beverages
8.375%, 11/15/17		1,700		1,849
8.125%, 09/01/18		950		1,037
Dean Foods
7.000%, 06/01/16		500		531
Del Monte Foods
7.625%, 02/15/19		5,340		5,387
Elizabeth Arden
7.375%, 03/15/21		200		219
Fleming
10.125%, 04/01/08 (B)		1,043		—
JBS USA
8.250%, 02/01/20 (A)		1,315		1,279
Michael Foods
9.750%, 07/15/18		1,010		1,108
NBTY
9.000%, 10/01/18		1,980		2,188
Post Holdings
7.375%, 02/15/22 (A)		915		965
Rite Aid
9.750%, 06/12/16		430		474
9.500%, 06/15/17		490		501
9.250%, 03/15/20 (A)		3,365		3,373
9.250%, 03/15/20 (A)		235		235
8.000%, 08/15/20		10,615		12,021
7.700%, 02/15/27		1,040		863
7.500%, 03/01/17		585		597
Spectrum Brands Holdings
9.500%, 06/15/18		560		633
9.500%, 06/15/18 (A)		590		667
SuperValu
8.000%, 05/01/16		840		851

				45,879


Energy — 8.1%
American Petroleum Tankers Parent
10.250%, 05/01/15		878		915
Antero Resources Finance
9.375%, 12/01/17		1,115		1,232
Arch Coal
8.750%, 08/01/16		975		931


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

7.250%, 06/15/21	$	765	$	641
7.000%, 06/15/19		450		380
Atwood Oceanics
6.500%, 02/01/20		350		366
Berry Petroleum
6.375%, 09/15/22		330		341
Bill Barrett
7.625%, 10/01/19		1,500		1,500
7.000%, 10/15/22		1,500		1,432
Bluewater Holding BV
3.466%, 07/17/14 (A) (D)		1,200		1,008
BreitBurn Energy Partners
8.625%, 10/15/20		950		1,005
7.875%, 04/15/22 (A)		2,965		2,965
Bristow Group
7.500%, 09/15/17		1,680		1,743
Calumet Specialty Products Partners
9.375%, 05/01/19		2,055		2,060
Chaparral Energy
8.250%, 09/01/21		1,430		1,512
Chesapeake Energy
6.625%, 08/15/20		1,640		1,624
6.125%, 02/15/21		245		237
Chesapeake Midstream Partners
6.125%, 07/15/22		225		220
5.875%, 04/15/21		1,280		1,242
Chesapeake Oilfield Operating
6.625%, 11/15/19 (A)		320		288
Cloud Peak Energy Resources
8.250%, 12/15/17		535		554
Comstock Resources
7.750%, 04/01/19		685		630
Consol Energy
8.250%, 04/01/20		450		473
8.000%, 04/01/17		650		674
Copano Energy
7.750%, 06/01/18		2,560		2,650
7.125%, 04/01/21		580		597
Crestwood Midstream Partners
7.750%, 04/01/19		3,750		3,722
Crosstex Energy
8.875%, 02/15/18		1,915		2,023
7.125%, 06/01/22 (A)		630		621
Denbury Resources
8.250%, 02/15/20		830		909
Eagle Rock Energy Partners
8.375%, 06/01/19		3,020		3,012
El Paso
7.750%, 01/15/32		295		332
7.250%, 06/01/18		560		646
Energy Transfer Equity
7.500%, 10/15/20		1,218		1,337
EP Energy
9.375%, 05/01/20 (A)		3,615		3,746
6.875%, 05/01/19 (A)		3,170		3,313
EV Energy Partners
8.000%, 04/15/19		1,310		1,300
Exterran Holdings
7.250%, 12/01/18		3,500		3,360
Forest Oil
8.500%, 02/15/14		75		78
7.250%, 06/15/19		4,580		4,202


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

GMX Resources
11.000%, 12/01/17	$	900	$	733
Halcon Resources
9.750%, 07/15/20		240		237
Hercules Offshore
10.500%, 10/15/17 (A)		1,560		1,560
7.125%, 04/01/17 (A)		535		519
Hilcorp Energy I
8.000%, 02/15/20 (A)		765		824
7.625%, 04/15/21 (A)		505		538
Holly Energy Partners
6.500%, 03/01/20 (A)		400		403
James River Coal
7.875%, 04/01/19		880		444
Kodiak Oil & Gas
8.125%, 12/01/19 (A)		2,510		2,585
Laredo Petroleum
9.500%, 02/15/19		3,601		4,015
7.375%, 05/01/22 (A)		765		796
Linn Energy
8.625%, 04/15/20		1,520		1,638
7.750%, 02/01/21		385		402
6.500%, 05/15/19 (A)		390		386
6.250%, 11/01/19 (A)		1,780		1,744
Magnum Hunter Resources
9.750%, 05/15/20 (A)		305		296
MEG Energy
6.500%, 03/15/21 (A)		616		629
Milagro Oil & Gas
10.500%, 05/15/16		1,700		1,292
Murray Energy
10.250%, 10/15/15 (A)		1,020		895
Newfield Exploration
6.875%, 02/01/20		850		905
5.625%, 07/01/24		625		639
NFR Energy
9.750%, 02/15/17 (A)		900		747
9.750%, 02/15/17 (A)		505		419
Oasis Petroleum
7.250%, 02/01/19		925		948
Ocean Rig
9.500%, 04/27/16		5,500		5,307
Parker Drilling
9.125%, 04/01/18		1,390		1,470
Peabody Energy
6.250%, 11/15/21 (A)		2,070		2,049
6.000%, 11/15/18 (A)		840		836
Penn Virginia
10.375%, 06/15/16		400		384
7.250%, 04/15/19		2,175		1,794
Penn Virginia Resource Partners
8.375%, 06/01/20 (A)		1,375		1,396
Petroleum Development
12.000%, 02/15/18		1,980		2,119
Pioneer Drilling
9.875%, 03/15/18		1,080		1,134
9.875%, 03/15/18 (A)		540		567
Plains Exploration & Production
10.000%, 03/01/16		85		93
7.625%, 06/01/18		1,635		1,737
7.625%, 04/01/20		1,710		1,804
Quicksilver Resources
11.750%, 01/01/16		1,000		974


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

9.125%, 08/15/19	$	695	$	605
Range Resources
8.000%, 05/15/19		3,500		3,824
5.000%, 08/15/22		2,910		2,874
Regency Energy Partners
6.875%, 12/01/18		2,460		2,589
Resolute Energy
8.500%, 05/01/20 (A)		1,835		1,821
Samson Investment
9.750%, 02/15/20 (A)		1,335		1,328
SandRidge Energy
8.125%, 10/15/22 (A)		1,345		1,358
8.000%, 06/01/18 (A)		390		395
7.500%, 03/15/21		2,325		2,296
SESI LLC
7.125%, 12/15/21 (A)		3,000		3,263
Targa Resources Partners
7.875%, 10/15/18		1,845		1,993
6.375%, 08/01/22 (A)		2,300		2,294
Tesoro
9.750%, 06/01/19		950		1,073
Trinidad Drilling
7.875%, 01/15/19 (A)		795		845
Vanguard Natural Resources
7.875%, 04/01/20		705		705
Venoco
8.875%, 02/15/19		530		482
WPX Energy
6.000%, 01/15/22 (A)		955		950

				129,774


Financials — 7.6%
Alliant Holdings I
11.000%, 05/01/15 (A)		3,375		3,502
Ally Financial
8.000%, 11/01/31		2,610		3,060
6.250%, 12/01/17		3,955		4,166
5.500%, 02/15/17		305		310
4.625%, 06/26/15		340		342
American International Group
8.175%, 05/15/58 (D)		1,835		1,991
6.250%, 03/15/37		2,405		2,225
Bank of America
8.000%, 12/29/49 (D)		1,675		1,745
Cardtronics
8.250%, 09/01/18		470		517
Cemex Finance
9.500%, 12/14/16 (A)		250		244
CEVA Group
11.625%, 10/01/16 (A)		2,925		3,049
11.500%, 04/01/18 (A)		2,500		2,288
CIT Group
7.000%, 05/02/16 (A)		451		452
7.000%, 05/02/17 (A)		1,283		1,285
6.625%, 04/01/18 (A)		250		269
5.500%, 02/15/19 (A)		1,760		1,808
5.250%, 03/15/18		1,360		1,404
5.000%, 05/15/17		575		592
Citigroup Capital XXI
8.300%, 12/21/57 (D)		870		872
City National Bank
9.000%, 08/12/19		3,384		4,084


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

CNH Capital
6.250%, 11/01/16 (A)	$	465	$	498
Credit Acceptance
9.125%, 02/01/17		4,700		5,100
E*Trade Financial PIK
12.500%, 11/30/17		810		928
Fresenius US Finance II
9.000%, 07/15/15 (A)		300		345
HBOS Capital Funding
6.071%, 06/30/49 (A) (D)		4,740		3,081
HUB International Holdings
10.250%, 06/15/15 (A)		510		520
9.000%, 12/15/14 (A)		1,381		1,400
Icahn Enterprises
8.000%, 01/15/18		3,500		3,719
7.750%, 01/15/16		1,940		2,039
ILFC E-Capital Trust I
4.280%, 12/21/65 (A) (D)		830		560
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (D)		2,315		1,690
ING Groep
5.775%, 12/29/49 (D)		2,890		2,457
Interactive Data
10.250%, 08/01/18		785		873
Ironshore Holdings US
8.500%, 05/15/20 (A)		4,600		5,023
Jefferies Group
8.500%, 07/15/19		680		738
Kennedy-Wilson
8.750%, 04/01/19		2,250		2,318
Liberty Mutual Group
7.000%, 03/15/37 (A) (D)		2,070		1,842
Lloyds Banking Group
6.267%, 11/14/16 (A) (D)		1,265		759
5.920%, 09/29/49 (A) (D)		845		507
Marlin Water Trust II
6.310%, 07/15/03 (A) (B)		4,200		—
National Life Insurance
10.500%, 09/15/39 (A)		990		1,318
Neuberger Berman Group
5.875%, 03/15/22 (A)		880		920
5.625%, 03/15/20 (A)		270		281
NSG Holdings
7.750%, 12/15/25 (A)		2,000		2,000
Nuveen Investments
10.500%, 11/15/15		9,080		9,216
Offshore Group Investments
11.500%, 08/01/15		1,025		1,112
Ohio Casualty
7.300%, 06/15/14		905		991
Omega Healthcare Investors ‡
7.500%, 02/15/20		1,495		1,630
6.750%, 10/15/22		840		897
PHH
9.250%, 03/01/16		1,000		1,063
PNC Preferred Funding Trust II
1.690%, 03/29/49 (A) (D)		4,970		3,638
RBS Capital Trust I
4.709%, 12/29/49 (D)		1,615		945
Realogy
7.875%, 02/15/19 (A)		600		587
7.625%, 01/15/20 (A)		475		490


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

Regions Bank
7.500%, 05/15/18	$	1,000	$	1,125
Regions Financing Trust II
6.625%, 05/15/47 (D)		2,240		2,128
RESPARCS Funding L.P. I MTN
1.346%, 06/30/11		740		193
Rivers Pittsburgh Borrower
9.500%, 06/15/19 (A)		600		623
Sabra Health Care ‡
8.125%, 11/01/18		4,300		4,687
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		2,500		2,509
4.532%, 02/01/14 (A) (D)		500		482
Spencer Spirit Holdings
11.000%, 05/01/17 (A)		1,940		2,008
Susquehanna Capital II
11.000%, 03/23/40		1,300		1,388
Synovus Financial
7.875%, 02/15/19		1,630		1,716
UPCB Finance III
6.625%, 07/01/20 (A)		650		660
USB Realty
1.614%, 12/29/49 (A) (D)		5,000		3,714
USI Holdings
9.750%, 05/15/15 (A)		4,619		4,636
XL Capital
6.500%, 12/31/49 (D)		1,775		1,442
Yankee Acquisition, Ser B
9.750%, 02/15/17		1,340		1,390

				122,391


Health Care — 8.0%
Acadia Healthcare
12.875%, 11/01/18		1,925		2,195
Accellent
10.000%, 11/01/17		905		760
8.375%, 02/01/17		830		840
Alere
9.000%, 05/15/16		5,365		5,459
American Renal Associates Holdings
9.750%, 03/01/16		2,609		2,772
American Renal Holdings
8.375%, 05/15/18		1,620		1,713
Apria Healthcare Group
12.375%, 11/01/14		1,950		1,848
11.250%, 11/01/14		300		310
Aurora Diagnostics Holdings
10.750%, 01/15/18		5,185		5,159
Biomet
11.625%, 10/15/17		2,525		2,724
Biomet PIK
10.375%, 10/15/17		4,005		4,280
BioScrip
10.250%, 10/01/15		1,610		1,747
CHS
8.000%, 11/15/19		2,110		2,247
DaVita
6.625%, 11/01/20		1,756		1,831
6.375%, 11/01/18		660		681
DJO Finance
9.750%, 10/15/17		3,866		2,764
8.750%, 03/15/18 (A)		855		872
7.750%, 04/15/18		4,080		3,366


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

Endo Pharmaceuticals Holdings
7.250%, 01/15/22	$	1,910	$	2,070
7.000%, 07/15/19		3,685		4,007
Fresenius Medical Care US Finance II
5.875%, 01/31/22 (A)		160		167
5.625%, 07/31/19 (A)		3,445		3,591
GCB Oncology (Escrow Security)
0.000%, 08/15/17 (B)		1,525		23
HCA
9.875%, 02/15/17		105		114
7.500%, 02/15/22		4,180		4,556
5.875%, 03/15/22		2,200		2,299
HCA Holdings
7.750%, 05/15/21		3,835		4,113
Health Management Associates
7.375%, 01/15/20 (A)		2,565		2,729
6.125%, 04/15/16		440		466
Healthsouth
8.125%, 02/15/20		2,000		2,185
7.750%, 09/15/22		825		885
7.250%, 10/01/18		670		714
Immucor
11.125%, 08/15/19		5,465		5,984
INC Research
11.500%, 07/15/19 (A)		3,695		3,584
Jaguar Holding II
9.500%, 12/01/19 (A)		2,500		2,734
Kindred Healthcare
8.250%, 06/01/19		4,905		4,549
Kinetic Concepts
12.500%, 11/01/19 (A)		1,020		923
10.500%, 11/01/18 (A)		2,530		2,656
Lantheus Medical Imaging
9.750%, 05/15/17		895		797
Monitronics International
9.125%, 04/01/20 (A)		3,375		3,240
Multiplan
9.875%, 09/01/18 (A)		1,060		1,161
Mylan (A)
7.875%, 07/15/20		1,630		1,828
7.625%, 07/15/17		1,500		1,650
6.000%, 11/15/18		1,215		1,279
Physio-Control International
9.875%, 01/15/19 (A)		350		373
Physiotherapy Associates Holdings
11.875%, 05/01/19 (A)		1,227		1,242
PSS World Medical
6.375%, 03/01/22 (A)		845		866
Radiation Therapy Services
9.875%, 04/15/17		985		771
8.875%, 01/15/17 (A)		460		442
Radnet Management
10.375%, 04/01/18		975		975
Rural
10.125%, 07/15/19 (A)		2,500		2,400
STHI Holding
8.000%, 03/15/18 (A)		1,080		1,142
Surgical Care Affiliates PIK
8.875%, 07/15/15 (A)		1,254		1,270
Symbion PIK
11.000%, 08/23/15		1,366		1,352
Tenet Healthcare
8.000%, 08/01/20		1,895		1,961


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

6.250%, 11/01/18	$	1,970	$	2,083
Universal Health Services
7.000%, 10/01/18		1,850		1,989
USPI Finance
9.000%, 04/01/20 (A)		930		986
Valeant Pharmaceuticals International (A)
7.250%, 07/15/22		1,320		1,323
7.000%, 10/01/20		872		881
6.875%, 12/01/18		1,045		1,080
6.750%, 10/01/17		487		508
6.750%, 08/15/21		325		319
Vanguard Health Holding II
8.000%, 02/01/18		2,800		2,863
7.750%, 02/01/19 (A)		3,000		3,030

				127,728


Industrials — 9.7%
ACL I
10.625%, 02/15/16		2,792		2,792
Actuant
5.625%, 06/15/22 (A)		3,000		3,083
Air Canada
9.250%, 08/01/15 (A)		2,720		2,659
Aircastle
9.750%, 08/01/18		735		814
7.625%, 04/15/20		130		132
6.750%, 04/15/17		395		399
Aleris International
10.000%, 12/15/16 (B)		1,800		—
Aleris International PIK
9.000%, 12/15/14 (B)		725		—
Alion Science & Technology
10.250%, 02/01/15		1,000		420
Alion Science & Technology PIK
12.000%, 11/01/14		2,122		1,989
Alliant Techsystems
6.875%, 09/15/20		2,000		2,130
American Airlines 2011-2 Cl A Pass- Through Trust
8.625%, 10/15/21		4,183		4,392
American Axle & Manufacturing
7.875%, 03/01/17		1,776		1,834
AMGH Merger Sub
9.250%, 11/01/18 (A)		2,612		2,716
ArvinMeritor
10.625%, 03/15/18		970		1,031
Associated Materials
9.125%, 11/01/17		1,135		1,013
Atkore International
9.875%, 01/01/18		2,680		2,600
AWAS Aviation Capital
7.000%, 10/17/16 (A)		428		443
Baker & Taylor
11.500%, 07/01/13 (A)		1,150		664
BE Aerospace
6.875%, 10/01/20		840		928
Belden
9.250%, 06/15/19		680		741
Bombardier
5.750%, 03/15/22 (A)		1,335		1,330


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

Building Materials Corp of America
6.875%, 08/15/18 (A)	$	1,585	$	1,684
6.750%, 05/01/21 (A)		620		663
Case New Holland
7.875%, 12/01/17		235		271
Casella Waste Systems
11.000%, 07/15/14		170		180
7.750%, 02/15/19		1,080		1,064
CDW
12.535%, 10/12/17		1,915		2,078
8.500%, 04/01/19		1,270		1,353
Cemex Espana Luxembourg
9.250%, 05/12/20 (A)		1,570		1,321
Ceridian
8.875%, 07/15/19 (A)		2,695		2,783
CEVA Group
8.375%, 12/01/17 (A)		1,210		1,174
Coleman Cable
9.000%, 02/15/18		2,465		2,539
Commercial Barge Line
12.500%, 07/15/17		1,000		1,130
Continental Airlines
7.339%, 04/19/14		436		441
Continental Airlines 2009-2 Cl B Pass- Through Trust
9.250%, 05/10/17		195		213
DAE Aviation Holdings
11.250%, 08/01/15 (A)		1,065		1,097
Delta Air Lines
12.250%, 03/15/15 (A)		1,000		1,087
Delta Air Lines 2011-1 Cl B Pass- Through Trust
7.125%, 10/15/14 (A)		1,800		1,840
DynCorp International
10.375%, 07/01/17		4,510		3,856
Emergency Medical Services
8.125%, 06/01/19		3,864		4,033
Esterline Technologies
7.000%, 08/01/20		300		330
General Cable
7.125%, 04/01/17		480		492
Geo Group
7.750%, 10/15/17		665		712
6.625%, 02/15/21		500		516
Global Aviation Holdings
14.000%, 08/15/13 (B)		2,507		815
Great Lakes Dredge & Dock
7.375%, 02/01/19		910		910
Griffon
7.125%, 04/01/18		570		579
HD Supply
11.000%, 04/15/20 (A)		1,235		1,329
8.125%, 04/15/19 (A)		1,195		1,291
Intcomex
13.250%, 12/15/14		4,780		4,780
Interline Brands
7.000%, 11/15/18		1,190		1,238
International Lease Finance
8.750%, 03/15/17		2,735		3,070
6.250%, 05/15/19		150		153
5.875%, 04/01/19		1,990		1,992
5.750%, 05/15/16		270		274
4.875%, 04/01/15		265		266


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

International Wire Group Holdings
9.750%, 04/15/15 (A)	$	710	$	743
Iron Mountain
8.375%, 08/15/21		1,000		1,085
7.750%, 10/01/19		1,250		1,350
Kansas City Southern de Mexico
8.000%, 02/01/18		750		835
6.125%, 06/15/21		500		550
Kratos Defense & Security Solutions
10.000%, 06/01/17		1,205		1,298
Liberty Tire Recycling
11.000%, 10/01/16 (A)		3,725		3,427
Manitowoc
9.500%, 02/15/18		500		548
8.500%, 11/01/20		785		848
Marquette Transportation
10.875%, 01/15/17		850		895
Masonite International
8.250%, 04/15/21 (A)		1,820		1,875
Mead Products
6.750%, 04/30/20 (A)		280		295
Meritor
8.125%, 09/15/15		675		711
Mueller Water Products
8.750%, 09/01/20		526		584
7.375%, 06/01/17		1,180		1,180
Neehah Foundry PIK
15.000%, 07/29/15		103		101
Niska Gas Storage US
8.875%, 03/15/18		2,190		2,135
Nortek
8.500%, 04/15/21		1,240		1,212
Oshkosh
8.500%, 03/01/20		1,268		1,407
8.250%, 03/01/17		670		734
Ply Gem Industries
13.125%, 07/15/14		730		739
8.250%, 02/15/18		810		794
Polymer Group
7.750%, 02/01/19		1,360		1,437
Pulte Homes
6.000%, 02/15/35		1,190		952
Quality Distribution
9.875%, 11/01/18		4,000		4,380
RBS Global
8.500%, 05/01/18		1,110		1,204
Sabine Pass LNG L.P.
7.500%, 11/30/16 (A)		1,540		1,555
7.500%, 11/30/16		7,275		7,639
Seminole Indian Tribe of Florida
7.750%, 10/01/17 (A)		930		1,014
6.535%, 10/01/20 (A)		500		513
Sequa PIK
13.500%, 12/01/15 (A)		500		530
Sequa
11.750%, 12/01/15 (A)		2,500		2,637
ServiceMaster
7.450%, 08/15/27		740		614
7.250%, 03/01/38		1,515		1,076
7.100%, 03/01/18		1,000		932
ServiceMaster PIK
10.750%, 07/15/15 (A)		1,390		1,433


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

Swift Services Holdings
10.000%, 11/15/18	$	550	$	597
syncreon Global Ireland
9.500%, 05/01/18 (A)		3,112		3,096
Tempel Steel
12.000%, 08/15/16 (A)		860		818
Terex
8.000%, 11/15/17		1,215		1,261
6.500%, 04/01/20		310		314
Thermadyne Holdings
9.000%, 12/15/17		1,600		1,636
Ticketmaster Entertainment
10.750%, 08/01/16		4,890		5,183
Titan International
7.875%, 10/01/17		3,420		3,523
Tops Holding
10.125%, 10/15/15		750		797
Trimas
9.750%, 12/15/17		624		686
United Air Lines
12.000%, 11/01/13 (A)		1,155		1,204
United Air Lines, Ser 95A1
9.560%, 10/19/18 (B)		454		127
9.020%, 04/19/12 (B)		289		75
United Maritime Group
11.750%, 06/15/15		3,200		3,496
USG
9.750%, 08/01/14 (A)		1,765		1,959
8.375%, 10/15/18 (A)		1,255		1,318
6.300%, 11/15/16		1,485		1,422

				156,438


Information Technology — 6.0%
Advanced Micro Devices
7.750%, 08/01/20		1,300		1,430
Alcatel-Lucent USA
6.500%, 01/15/28		1,170		790
Amkor Technology
7.375%, 05/01/18		575		597
Aspect Software
10.625%, 05/15/17		3,700		3,922
Audatex North America
6.750%, 06/15/18 (A)		1,132		1,191
Avaya
9.750%, 11/01/15		1,075		890
7.000%, 04/01/19 (A)		1,110		1,030
Avaya PIK
10.125%, 11/01/15		5,798		4,812
Carlson Wagonlit BV
6.875%, 06/15/19 (A)		2,225		2,281
CommScope
8.250%, 01/15/19 (A)		2,055		2,173
Compucom Systems
12.500%, 10/01/15 (A)		4,605		4,783
Epicor Software
8.625%, 05/01/19		2,715		2,769
Fidelity National Information Services
7.875%, 07/15/20		600		675
7.625%, 07/15/17		800		882
5.000%, 03/15/22 (A)		1,585		1,613
First Data
12.625%, 01/15/21		2,109		2,112
11.250%, 03/31/16		2,905		2,738


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

8.875%, 08/15/20 (A)	$	830	$	898
7.375%, 06/15/19 (A)		445		454
First Data PIK
8.750%, 01/15/22 (A)		5,535		5,577
Freescale Semiconductor
9.250%, 04/15/18 (A)		2,488		2,662
8.050%, 02/01/20		410		405
GXS Worldwide
9.750%, 06/15/15		6,010		5,995
iGate
9.000%, 05/01/16		4,119		4,407
Kemet
10.500%, 05/01/18 (A)		1,710		1,753
Lawson Software
9.375%, 04/01/19 (A)		5,930		6,330
MagnaChip Semiconductor
10.500%, 04/15/18		2,540		2,775
Mantech International
7.250%, 04/15/18		510		536
MEMC Electronic Materials
7.750%, 04/01/19		790		624
NXP BV/NXP Funding LLC
9.750%, 08/01/18 (A)		2,815		3,209
Open Solutions
9.750%, 02/01/15 (A)		4,200		3,696
Sabre
8.500%, 05/15/19 (A)		2,020		2,050
Sabre Holdings
8.350%, 03/15/16		1,380		1,304
Sensata Technologies BV
6.500%, 05/15/19 (A)		3,948		4,076
SSI Investments II
11.125%, 06/01/18		1,055		1,184
STATS ChipPAC
7.500%, 08/12/15 (A)		2,375		2,541
Stratus Technologies Bermuda
12.000%, 03/29/15		2,189		1,904
Stream Global Services
11.250%, 10/01/14		1,350		1,377
Sungard Data Systems
7.375%, 11/15/18		810		869
Taminco Global Chemical
9.750%, 03/31/20 (A)		1,200		1,233
Travelport
9.875%, 09/01/14		805		589
Unisys
12.750%, 10/15/14 (A)		718		783
Viasystems
7.875%, 05/01/19 (A)		1,205		1,205
Zayo Group
10.125%, 07/01/20 (A)		1,175		1,248
8.125%, 01/01/20 (A)		2,715		2,837

				97,209


Materials — 4.9%
AK Steel
7.625%, 05/15/20		775		655
Algoma Acquisition
9.875%, 06/15/15 (A)		1,415		1,199
AM Castle
12.750%, 12/15/16 (A)		580		621
APERAM
7.750%, 04/01/18 (A)		990		841


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

7.375%, 04/01/16 (A)	$	3,000	$	2,580
ARD Finance PIK
11.125%, 06/01/18 (A)		2,181		2,029
Ardagh Packaging Finance
9.125%, 10/15/20 (A)		1,660		1,760
7.375%, 10/15/17 (A)		500		531
Ashland
9.125%, 06/01/17		1,620		1,782
Ball
5.000%, 03/15/22		1,150		1,196
Berry Plastics
10.250%, 03/01/16		710		731
9.750%, 01/15/21		2,375		2,583
Boise Paper Holdings
9.000%, 11/01/17		1,270		1,403
BWAY Holding
10.000%, 06/15/18		1,130		1,243
Celanese US Holdings
6.625%, 10/15/18		550		598
Chemtura
7.875%, 09/01/18		1,085		1,141
Clearwater Paper
7.125%, 11/01/18		800		844
Consolidated Container
10.125%, 07/15/20 (A)		1,160		1,195
Domtar
9.500%, 08/01/16		275		328
FMG Resources August 2006 Pty
8.250%, 11/01/19 (A)		985		1,044
7.000%, 11/01/15 (A)		635		648
6.875%, 02/01/18 (A)		820		828
6.875%, 04/01/22 (A)		1,045		1,053
6.375%, 02/01/16 (A)		670		678
Graphic Packaging International
7.875%, 10/01/18		1,170		1,287
Headwaters
7.625%, 04/01/19		1,215		1,194
Hexion US Finance
9.000%, 11/15/20		1,430		1,233
8.875%, 02/01/18		1,595		1,627
Huntsman International
8.625%, 03/15/20		435		488
8.625%, 03/15/21		1,135		1,280
Ineos Finance
8.375%, 02/15/19 (A)		1,120		1,159
7.500%, 05/01/20 (A)		920		927
Ineos Group Holdings PLC
8.500%, 02/15/16 (A)		4,250		3,899
Inmet Mining
8.750%, 06/01/20 (A)		1,280		1,267
JMC Steel Group
8.250%, 03/15/18 (A)		1,215		1,206
Kinove German Bondco GmbH
9.625%, 06/15/18 (A)		1,642		1,691
Longview Fibre Paper & Packaging
8.000%, 06/01/16 (A)		1,505		1,505
LyondellBasell Industries
5.750%, 04/15/24 (A)		550		588
MacDermid
9.500%, 04/15/17 (A)		1,300		1,358
Midwest Vanadium Pty
11.500%, 02/15/18 (A)		1,100		682


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

Millar Western Forest Products
8.500%, 04/01/21	$	1,000	$	765
Mirabela Nickel
8.750%, 04/15/18 (A)		2,125		1,456
Momentive Performance Materials
11.500%, 12/01/16		1,010		752
9.000%, 01/15/21		710		538
Momentive Performance Materials PIK
1.768%, 06/04/17 (G) (I) (L)		1,996		1,450
New
7.000%, 04/15/20 (A)		600		618
Nexeo Solutions
8.375%, 03/01/18		750		728
Noranda Aluminium Acquisition PIK
PIK
4.730%, 05/15/15 (D)		1,182		1,129
Novelis
8.750%, 12/15/20		490		528
8.375%, 12/15/17		1,865		1,996
Packaging Dynamics
8.750%, 02/01/16 (A)		1,339		1,406
PolyOne
7.375%, 09/15/20		690		733
Rain CII Carbon
8.000%, 12/01/18 (A)		310		313
Reichhold Industries
9.000%, 05/08/17 (A)		1,711		1,249
Ryerson
12.000%, 11/01/15		1,215		1,221
Ryerson Holding
31.599%, 02/01/15 (C)		1,930		1,004
Sappi Papier Holding GmbH
8.375%, 06/15/19 (A)		1,150		1,151
7.750%, 07/15/17 (A)		400		405
Scotts Miracle-Gro
7.250%, 01/15/18		35		38
Sealed Air
8.375%, 09/15/21 (A)		580		655
8.125%, 09/15/19 (A)		190		212
Solutia
8.750%, 11/01/17		1,150		1,292
7.875%, 03/15/20		865		1,012
Standard Steel
12.000%, 05/01/15 (A)		2,850		3,228
Tekni-Plex
9.750%, 06/01/19 (A)		590		596
Verso Paper Holdings
8.750%, 02/01/19		3,025		1,195
Vertellus Specialties
9.375%, 10/01/15 (A)		5,025		4,133
Vulcan Materials
7.500%, 06/15/21		280		308
6.500%, 12/01/16		280		295

				79,308


Telecommunication Services — 4.7%
CenturyLink
5.800%, 03/15/22		520		518
Cincinnati Bell
8.375%, 10/15/20		895		913
Clearwire Communications
14.750%, 12/01/16 (A)		125		122
12.000%, 12/01/15 (A)		1,465		1,333


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

12.000%, 12/01/15 (A)	$	2,570	$	2,326
Cogent Communications Group
8.375%, 02/15/18 (A)		590		630
Cricket Communications
7.750%, 10/15/20		1,935		1,848
Digicel Group
10.500%, 04/15/18 (A)		1,155		1,207
8.875%, 01/15/15 (A)		385		389
8.250%, 09/01/17 (A)		3,244		3,301
Eileme 2
11.625%, 01/31/20 (A)		595		611
GCI
8.625%, 11/15/19		685		718
Hughes Satellite Systems
7.625%, 06/15/21		2,155		2,344
6.500%, 06/15/19		590		627
Inmarsat Finance
7.375%, 12/01/17 (A)		2,125		2,268
Integra Telecom Holdings
10.750%, 04/15/16 (A)		1,480		1,443
Intelsat Jackson Holdings
7.250%, 04/01/19		615		646
7.250%, 10/15/20		925		974
7.250%, 10/15/20 (A)		830		871
Intelsat Luxembourg
11.250%, 02/04/17		1,255		1,293
Intelsat Luxembourg PIK
11.500%, 02/04/17 (A)		2,560		2,643
11.500%, 02/04/17		2,912		3,006
ITC Deltacom
10.500%, 04/01/16		730		777
Level 3 Communications
11.875%, 02/01/19		1,085		1,202
Level 3 Financing
10.000%, 02/01/18		1,820		1,970
9.375%, 04/01/19		855		923
8.625%, 07/15/20		485		509
8.125%, 07/01/19		755		775
4.506%, 02/15/15 (D)		2,850		2,750
Lucent Technologies
6.450%, 03/15/29		3,025		2,057
MetroPCS Wireless
7.875%, 09/01/18		1,350		1,401
6.625%, 11/15/20		675		665
NII Capital
7.625%, 04/01/21		590		506
PAETEC Holding
9.875%, 12/01/18		755		844
Sable International Finance MTN
8.750%, 02/01/20 (A)		68		73
7.750%, 02/15/17 (A)		2,360		2,443
Satmex Escrow
9.500%, 05/15/17		640		669
9.500%, 05/15/17 (A)		65		68
SBA Telecommunications
8.250%, 08/15/19		113		124
Sprint Capital
8.750%, 03/15/32		6,980		6,352
Sprint Nextel
9.125%, 03/01/17 (A)		1,205		1,265
9.000%, 11/15/18 (A)		1,700		1,900
8.375%, 08/15/17		535		548
7.000%, 03/01/20 (A)		1,950		2,028


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

Telesat Canada
12.500%, 11/01/17	$	760	$	847
6.000%, 05/15/17 (A)		2,400		2,442
UPCB Finance V
7.250%, 11/15/21 (A)		3,105		3,245
UPCB Finance VI
6.875%, 01/15/22 (A)		1,098		1,120
Virgin Media Finance PLC
8.375%, 10/15/19		670		753
West
7.875%, 01/15/19		1,205		1,259
Wind Acquisition Finance
11.750%, 07/15/17 (A)		1,875		1,514
7.250%, 02/15/18 (A)		2,445		2,139
7.250%, 02/15/18 (A)		310		270
Windstream
8.125%, 09/01/18		510		548
7.750%, 10/01/21		600		636
7.500%, 04/01/23		1,220		1,250

				75,903


Utilities — 1.1%
AES
9.750%, 04/15/16		460		545
8.000%, 10/15/17		370		421
7.375%, 07/01/21 (A)		1,670		1,858
Calpine
7.875%, 07/31/20 (A)		2,072		2,284
7.875%, 01/15/23 (A)		485		529
7.500%, 02/15/21 (A)		1,967		2,124
Elwood Energy
8.159%, 07/05/26		654		654
Energy Future Holdings
10.000%, 01/15/20		245		262
GenOn Energy
9.875%, 10/15/20		870		848
Mirant (Escrow Security)
0.000%, 07/15/04 (B)		450		4
Mirant Americas Generation LLC
8.500%, 10/01/21		670		603
North American Energy Alliance
10.875%, 06/01/16		1,100		1,207
NRG Energy
8.250%, 09/01/20		395		409
7.875%, 05/15/21		1,455		1,470
7.625%, 01/15/18		720		745
Public Service of New Mexico
7.950%, 05/15/18		2,600		3,114

				17,077

Total Corporate Obligations (Cost $1,164,329) ($ Thousands)				1,183,749


COLLATERALIZED DEBT OBLIGATIONS — 9.0%

Financials — 2.1%
CIFC Funding, Ser 2007-3A, Cl B
1.716%, 07/26/21 (A) (D)		2,500		1,937
CIT CLO, Ser 2007-1A, Cl D
2.468%, 06/20/21 (A) (D)		2,800		2,016
Commercial Industrial Finance, Ser 2006-2A
4.467%, 03/01/21 (A) (D)		3,138		2,181


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

Commercial Industrial Finance, Ser 2007-1A
4.366%, 05/10/21 (D)	$	2,009	$	1,346
Rockwall CDO, Ser 2006-1A, Cl A1LA
0.766%, 08/01/21 (A) (D)		11,111		9,444
Rockwall CDO, Ser 2006-1A, Cl A1LB
0.966%, 08/01/21 (A) (D)		20,459		15,140
Rockwall CDO, Ser 2006-1A, Cl A2L
1.116%, 08/01/21 (A) (D)		3,247		2,208

				34,272


Other Asset-Backed Securities — 6.9%
AMMC CDO, Ser 2011-9A
0.000%, 01/15/22 (A)		2,419		2,159
AMMC CDO, Ser 2012-10A
0.000%, 04/11/22 (A)		2,934		2,644
Claris III
0.766%, 08/04/21		3,875		3,022
FM Leveraged Capital Fund, Ser 2006- 2A, Cl D
2.067%, 11/15/20 (A) (D)		694		493
Friedbergmilstein Private Capital Fund, Ser 2004-1A, Cl D1
2.967%, 01/15/19 (A) (D)		2,795		2,403
Grayson CLO, Ser 2006-1A, Cl B
1.166%, 11/01/21 (A) (D)		4,945		3,091
GSC Partners CDO Fund, Ser 2007-8A, Cl B
1.216%, 04/17/21 (A) (D)		2,386		1,643
ICE EM CLO, Ser 2007-1A, Cl A2
1.356%, 08/15/22 (A) (D)		5,965		4,653
ICE EM CLO, Ser 2007-1A, Cl A3
1.606%, 08/15/22 (A) (D)		3,872		2,904
Jasper CLO, Ser 2005-1A, Cl B
1.046%, 08/01/17 (A) (D)		1,826		1,543
Lightpoint CLO, Ser 2007-7A, Cl D
4.467%, 05/15/21 (A) (D)		2,956		1,999
Newstar Trust, Ser 2007-1A, Cl A1
0.707%, 09/30/22 (A) (D)		7,400		6,864
NXT Capital CLO, Ser 2012-1A, Cl E
7.966%, 07/20/22 (A) (D)		2,417		2,211
Red River CLO, Ser 2006-1A, Cl D
2.116%, 07/27/18 (D)		6,177		3,675
Red River CLO, Ser 2006-1A, Cl C
1.186%, 07/27/18 (D)		5,456		3,601
Rockwall CDO, Ser 2007-1A, Cl A1LA
0.716%, 08/01/24 (A) (D)		68,184		56,934
Tricadia CDO, Ser 2005-4A, Cl A1LA
0.858%, 12/11/22 (A) (D)		7,218		6,352
Venture CDO, Ser 2012-10A
0.000%, 07/20/22 (A)		2,223		2,017
Westwood CDO, Ser 2007-2A, Cl D
2.266%, 04/25/22 (A) (D)		3,367		2,172

				110,380

Total Collateralized Debt Obligations (Cost $143,400) ($ Thousands)				144,652


LOAN PARTICIPATIONS — 5.9%
Alliant Holdings I
6.750%, 08/21/14		477		474
Amscan Unsecured Bridge Loan
0.000%, 10/04/12 (K)		325		—


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

API Technologies, Term Loan B
8.750%, 06/27/16	$	746	$	743
Asurion, 1st Lien Term Loan
5.500%, 06/10/18		920		914
Asurion, 2nd Lien Term Loan
9.000%, 05/20/19		3,300		3,358
Asurion, Term Loan
11.000%, 09/02/19		1,600		1,656
Brock Holdings
10.000%, 03/16/18		390		384
Caesar’s Entertainment
6.536%, 01/28/15		334		311
3.239%, 01/28/15		950		885
Caribbean Restaurants, Term Loan B
9.000%, 02/15/17		100		99
Central Parking
2.400%, 05/22/14		608		596
Central Parking, 1st Lien
2.750%, 05/22/14		1,396		1,370
Chesapeake Energy
8.500%, 12/02/17		2,000		1,982
CKX, Term Loan B
9.000%, 06/21/17		485		383
Clear Channel
3.889%, 01/29/16		887		707
Consolidated Container
5.750%, 09/28/14		1,295		1,285
Crestwood Holdings, Term Loan
9.750%, 03/20/18		1,750		1,755
Dex Media West
7.250%, 10/24/14		1,575		957
4.720%, 10/24/14		685		416
Dynegy Midwest Generation
9.250%, 08/05/16		4,517		4,617
0.000%, 08/05/16 (H)		205		210
Dynegy Power, 1st Lien Term Loan
9.250%, 08/05/16		1,083		1,122
First Data, Term Loan
4.245%, 03/24/18		1,072		982
Firth Rixson, Facility B
4.970%, 12/18/15		500		474
Firth Rixson, Facility C
5.470%, 12/20/16		500		476
Global Aviation Holdings
12.000%, 09/27/12		691		692
0.500%, 09/27/12 (K)		335		—
GOGO LLC
11.250%, 06/21/17		600		579
Harrah’s Entertainment B3
0.000%, 01/28/15 (H)		110		102
Harrah’s Entertainment B6
5.489%, 01/28/18		737		656
Harrah’s Las Vegas
3.240%, 02/13/13		260		199
Harrah’s Operating
9.500%, 01/28/15		2,933		2,966
0.000%, 01/28/15 (H)		265		247
Harrah’s Operating, Term Loan B-2
3.245%, 01/28/15		45		42
Harrah’s Property
0.000%, 02/13/13 (H)		1,140		872
Hologic, Bridge Loan
0.000%, 04/29/19 (H)		595		596


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

Hologic, Bridge Loan
0.000%, 02/25/13 (K)	$	900	$	—
Inc Research
7.000%, 07/12/18		893		888
0.000%, 07/13/18 (H)		1,050		1,043
Ineos Holdings Limited
6.500%, 04/27/18		550		538
Intelsat Jackson Holdings
2.745%, 02/01/14		2,100		2,027
Kalispel Tribal Economic Authority
7.500%, 01/31/17		2,645		2,586
LHP Hospital Group
0.000%, 06/29/18 (H)		450		432
Medical Card
12.000%, 09/15/15		1,420		1,129
Merrill Communications
7.750%, 12/24/12		1,100		1,028
Metroflag, 2nd Lien
14.000%, 01/06/09 (B)		300		—
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B
0.000%, 02/28/16 (H)		1,060		1,060
Mohegan Tribal Gaming Authority, Term Loan B
5.500%, 02/28/16		2,575		2,574
Nelson Edu, Term Loan B-1L
2.961%, 07/05/14		978		837
Novell
11.000%, 11/22/18		2,500		2,434
Nuveen Investments
5.969%, 05/13/17		179		176
5.967%, 05/13/17		18		17
5.966%, 05/13/17		133		130
Nuveen Investments, 2nd Lien Term Loan
8.250%, 02/23/19		935		936
Nuveen Investments, Term Loan B
7.250%, 05/13/17		1,950		1,950
Obsidian Natural Gas Trust
6.750%, 11/02/15		1,816		1,816
Ocwen Financial, Term Loan B
7.000%, 09/01/16		892		894
Open Link Financial, Term Loan
8.500%, 10/26/17		3		2
7.750%, 10/26/17		995		995
Party City Holdings Bridge Loan
0.000%, 06/28/13 (H)		1,380		1,380
PF Changs, Bridge Loan
0.000%, 11/07/12 (K)		2,700		—
PQ
6.739%, 06/14/14		1,297		1,227
Realogy, Extended Synthetic Commitment
4.491%, 10/10/16		709		668
Rite Aid
4.500%, 02/17/18		2,138		2,090
Sabre Holdings
5.989%, 09/29/17		1,945		1,867
Sheridan Healthcare
0.000%, 06/29/18 (H)		750		748
Sophos Public
6.500%, 05/10/19		1,421		1,398
SpringLeaf Financial
5.500%, 05/06/17		2,950		2,775


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

Summit Materials, Term Loan B
6.000%, 01/24/19	$	1,400	$	1,403
Sun Healthcare
8.750%, 09/23/16		1,914		1,897
Syniverse Holdings
9.125%, 01/15/19		225		244
Targa Resources
3.239%, 02/09/15		1,716		1,716
Targus Group International, Term Loan B
11.750%, 05/24/16		1		1
11.000%, 05/24/16		398		398
Texas Competitive Electric Holdings, Extending Term Loan
4.741%, 10/10/17		4,438		2,649
3.741%, 10/10/14		6,087		3,810
The Telex Group, 1st Lien Term Loan B
7.750%, 09/22/17		100		99
United Rentals, Bridge Loan
0.000%, 09/15/12 (K)		2,550		—
Univision Communications, Term B Loan
4.495%, 03/31/17		2,100		1,986
Vertafore
9.750%, 10/27/17		560		556
Walter Investment Management
7.750%, 06/16/17		3,795		3,810
Web.com Group
7.000%, 10/27/17		1,452		1,441
Wide Open West Finance
6.495%, 06/27/15		3,075		3,049
Wolverine Bridge Loan
7.750%, 05/01/13		550		550
Wolverine, Unsecured Bridge Loan
0.000%, 02/01/13 (H)		2,500		—
Zuffa
7.500%, 06/18/15		1,706		1,699

Total Loan Participations (Cost $94,589) ($ Thousands)				94,060


MUNICIPAL BONDS — 0.8%
Buckeye Tobacco Settlement Finance Authority, Ser A-2, RB
Callable 06/01/17 @ 100
5.875%, 06/01/30		495		387
5.375%, 06/01/24		580		477
5.125%, 06/01/24		865		695
Golden State Tobacco Securitization, Ser A-1, RB
Callable 06/01/17 @ 100
5.750%, 06/01/47		2,000		1,606
5.125%, 06/01/47		1,850		1,338
New Jersey Tobacco Settlement Financing, Ser 1A, RB
Callable 06/01/17 @ 100
5.000%, 06/01/41		7,050		5,461
4.750%, 06/01/34		3,290		2,537

Total Municipal Bonds (Cost $10,696) ($ Thousands)				12,501


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

ASSET-BACKED SECURITIES — 0.6%

Other Asset-Backed Securities — 0.6%
Airplanes Pass-Through Trust, Ser 2001-1A
0.792%, 03/15/19 (D)	$	1,311	$	773
Atlas Senior Loan Fund, Ser 2012-1A, Cl B2L
6.716%, 08/15/24 (A) (D)		3,881		3,270
Cajun Global LLC, Ser 2011-1A
5.955%, 02/20/41 (A)		1,228		1,313
Dominos Pizza Master Issuer, Ser 2012-1A, Cl A2
5.216%, 01/25/42 (A)		498		519
Freeport Loan Trust, Ser 2006-1, Cl D
2.116%, 10/20/20 (A) (D)		4,432		4,377

Total Asset-Backed Securities (Cost $10,324) ($ Thousands)				10,252


PREFERRED STOCK — 0.5%
Ally Financial (A) (D)		27		6,513
Dana Holding (A)		5		608
General Motors		5		159

Total Preferred Stock (Cost $5,734) ($ Thousands)				7,280


CONVERTIBLE BONDS — 0.3%
Liberty Media CV to 16.7764
3.750%, 02/15/30		3,200		1,756
Liberty Media CV to 22.94686
4.000%, 11/15/29		1,715		973
Mirant CV to 14.7167
0.000%, 06/15/21 (B)		2,200		4
Nortel Networks CV to 31.25
2.125%, 04/15/14 (B)		1,660		1,644
Vector Group CV to 48.8281
12.921%, 06/15/26 (D)		373		399

Total Convertible Bonds (Cost $4,871) ($ Thousands)				4,776


COMMON STOCK — 0.1%
Aventine Renewable Energy Holdings * (A)		70,573		16
Core-Mark Holding		740		36
Dana Holding		67,046		859
Delta Air Lines *		2,568		28
GMX Resources *		19,990		16
Neenah Enterprises (G) *		17,244		125
Quad		311		4
United Continental Holdings *		35		1
VSS AHC, Cl A * (G) (I) (L)		27,106		323

Total Common Stock (Cost $3,528) ($ Thousands)				1,408


	Number of Warrants

WARRANTS — 0.1%
Alion Science & Technology,
Expires 03/15/17 *		1,790		—
CUI Acquisition (G) (I) (L) *		47,444		2,159

A summary of outstanding swap agreements held by the Fund at June 30, 2012, is as follows:

Percentages are based on a Net Assets of $1,605,810 ($ Thousands)

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012

‡

Real Estate Investment Trust

†

Investment in Affiliated Security

(A)

(B)

Security in default on interest payments.

(C)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(D)

Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effects as of June 30, 2012. The date reported on the Schedule of Investments is the next reset date.

(E)

Step Bonds - The rate reflected on the Schedule of Investments is the effective yield on June 30, 2012. The coupon on a step bond changes on a specified date.

(F)

This security or a partial position of this security is on loan at June 30, 2012. The total value of securities on loan atJune 30, 2012 was $6 ($ Thousands).

(G)

Securities considered illiquid. The total value of such securities as of June 30, 2012 was $4,065($ Thousands) and represented 0.25% of Net Assets.

(H)

Unsettled bank loan. Interest rate not available.

(I)

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 June 30, 2012 was $4,065 ($ Thousands) and represented 0.25% of Net Assets.

(J)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2012 was $6 ($ Thousands) (K) Unfunded Bank Loan.

(L)

Securities considered restricted. The total value of such securities as of June 30, 2012 was $3,940($ Thousands) and represented 0.24% of Net Assets.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

LLC — Limited Liability Company

LLP — Limited Liability Partnership

L.P. — Limited Partnership

MTN — Medium Term Note

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

Amounts designated as “—” are $0 or have been rounded to $0

††

At June 30, 2012, the tax basis cost of the Fund’s investments was $1,539,049($ Thousands), and the unrealized appreciation and depreciation were $62,517($ Thousands) and $ (43,011)($ Thousands) respectively.

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

A summary of restricted securities held by the Fund as of June 30, 2012, is as follows:

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,180,969	$	2,780	$	1,183,749
Collateralized Debt
Obligations		—		—		149,029		149,029
Loan Participations		748		87,071		6,241		94,060
Municipal Bonds		—		12,501		—		12,501
Asset-Backed Securities		—		2,605		3,270		5,875
Preferred Stock		767		6,513		—		7,280
Convertible Bonds		—		4,772		4		4,776
Common Stock		944		16		448		1,408
Warrants		—		—		2,159		2,159
Auction Rate Preferred
Security		—		—		1,788		1,788
Affiliated Partnership		—		6		—		6
Cash Equivalents		95,924		—		—		95,924

Total Investments in Securities	$	98,383	$	1,294,453	$	165,719	$	1,558,555


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Credit Default Swaps *	$	—	$	(768	)	$	—	$	(768	)

Total Other Financial Instruments	$	—	$	(768	)	$	—	$	(768	)

Swaps are valued at the unrealized depreciation of the instrument.

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.


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


U.S. TREASURY OBLIGATIONS — 96.5%
U.S. Treasury Inflation Protected Security
2.375%, 01/15/17	$	19,025	$	21,956
2.000%, 01/15/14 to 01/15/16		64,023		68,140
1.875%, 07/15/13 to 07/15/15		29,959		32,032
1.625%, 01/15/15		24,220		25,738
1.250%, 04/15/14		23,429		24,189
0.500%, 04/15/15		29,993		31,141
0.125%, 04/15/16 to 04/15/17		64,098		67,053
U.S. Treasury Note
3.125%, 04/30/17		17,725		19,736

Total U.S. Treasury Obligations (Cost $287,822) ($ Thousands)				289,985


CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%*†		9,508,201		9,508

Total Cash Equivalent (Cost $9,508) ($ Thousands)				9,508

Total Investments — 99.7% (Cost $297,330) ($ Thousands) ‡			$	299,493

Percentages are based on a Net Assets of $300,535 ($ Thousands)

Rate shown is the 7-day effective yield as of June 30, 2012

†

Investment in Affiliated Security

Cl — Class

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $297,330 ($ Thousands), and the unrealized appreciation and depreciation were $3,579 ($ Thousands) and ($1,416) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	289,985	$	—	$	289,985
Cash Equivalent		9,508		—		—		9,508

Total Investments in Securities	$	9,508	$	289,985	$	—	$	299,493

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.


Description	Shares		Market Value ($ Thousands)

REGISTERED INVESTMENT COMPANIES — 86.0%
Altegris Macro Strategy Fund, Cl I		962,459	$	9,211
Altegris Managed Futures Strategy Fund, Cl I		2,967,694		28,698
AQR Diversified Arbitrage Fund Cl I Driehaus Active Income Fund		3,659,575 3,858,588		40,292 39,975
DWS Disciplined Market Neutral Fund, Institutional Class		1,184,465		11,205
Eaton Vance Global Macro Absolute Return Fund, Cl I		3,137,845		30,719
Merger Fund		2,779,730		43,836
MutualHedge Frontier Legends Fund, Cl I		2,244,292		22,398
TFS Market Neutral Fund		1,253,118		18,834
The Arbitrage Fund, Cl I		1,896,929		24,850

Total Registered Investment Companies (Cost $275,787) ($ Thousands)				270,018


COMMON STOCK — 6.7%

Consumer Discretionary — 0.7%
Autozone *		225		83
CBS, Cl B		7,230		237
Coach		1,700		99
Family Dollar Stores		1,240		82
GNC Holdings, Cl A		3,390		133
Hibbett Sports *		2,540		147
Home Depot		1,770		94
Honda Motor		8,010		278
Las Vegas Sands		2,510		109
Lennar, Cl A		2,240		69
Ralph Lauren, Cl A		720		101
Starbucks		2,540		135
Starwood Hotels & Resorts Worldwide		7,670		407
Tempur-Pedic International *		6,420		150
Titan International		2,090		51
Yum! Brands		1,280		83

				2,258


Consumer Staples — 0.2%
Anheuser-Busch InBev ADR		2,550		203
Church & Dwight		2,780		154
Hershey		1,170		85
PepsiCo		2,080		147

				589


Energy — 0.4%
Anadarko Petroleum		5,330		353
Cabot Oil & Gas		2,020		80
EOG Resources		1,200		108
National Oilwell Varco		1,310		84
Rowan, Cl A *		4,820		156
Schlumberger		2,730		177
Transocean		7,580		339

				1,297


Financials — 1.9%
Affiliated Managers Group *		2,870		314
AIA Group		45,301		155


Description	Shares		Market Value ($ Thousands)

Alterra Capital Holdings		4,720	$	110
American Express		6,730		392
American Safety Insurance Holdings *		8,460		159
American Tower, Cl A †		2,710		189
Brown & Brown		5,600		153
Camden Property Trust		2,340		158
Cardinal Financial		4,480		55
Cardtronics *		4,970		150
CBRE Group, Cl A *		890		15
Compartamos		94,860		110
Duke Realty †		2,650		39
First Connecticut Bancorp		5,200		70
First Republic Bank *		7,010		236
Flagstone Reinsurance Holdings		25,030		200
Fortegra Financial *		15,520		124
IntercontinentalExchange *		2,270		309
Invesco		5,810		131
LaSalle Hotel Properties †		4,410		128
Lazard, Cl A		8,130		211
MarketAxess Holdings		6,090		162
MetroCorp Bancshares *		16,740		179
Metropolitan Bank & Trust		85,450		188
Och-Ziff Capital Management Group, Cl A		16,050		122
Ocwen Financial *		6,810		128
OmniAmerican Bancorp *		4,130		88
Oriental Financial Group		7,900		88
ProAssurance		2,990		266
ProLogis †		2,410		80
Prudential Financial		4,880		236
Signature Bank *		3,570		218
Summit Hotel Properties †		12,610		106
TD Ameritrade Holding		4,830		82
Texas Capital Bancshares *		3,670		148
Travelers		2,570		164
West Coast Bancorp *		6,470		127

				5,790


Health Care — 1.8%
Abbott Laboratories		1,630		105
Acadia Healthcare *		3,980		70
Agilent Technologies		4,650		182
Alexion Pharmaceuticals *		540		54
Allergan		1,320		122
AmerisourceBergen		8,620		339
Amicus Therapeutics *		4,820		26
Analogic		1,270		79
Ariad Pharmaceuticals *		3,400		58
ArthroCare *		2,690		79
Astellas Pharma		2,330		101
Baxter International		2,930		156
Biogen Idec *		1,810		261
Bristol-Myers Squibb		11,450		412
Cepheid *		1,260		56
Cerner *		5,430		449
Cigna		880		39
Covidien		1,530		82
Cubist Pharmaceuticals *		2,000		76
Cyberonics *		1,620		73
Elan ADR *		2,280		33
Express Scripts Holding *		6,130		342


Description	Shares		Market Value ($ Thousands)

HCA Holdings		1,590	$	48
Health Management Associates, Cl A *		6,250		49
HealthSouth *		2,720		63
Incyte *		690		16
Intuitive Surgical *		355		197
Jazz Pharmaceuticals *		880		40
MAKO Surgical *		2,310		59
Medivation *		440		40
Merck		4,880		204
Metropolitan Health Networks *		4,040		39
OncoGenex Pharmaceutical *		2,230		30
Ono Pharmaceutical		690		43
Onyx Pharmaceuticals *		1,340		89
Optimer Pharmaceuticals *		1,500		23
Pfizer		31,710		729
PSS World Medical *		8,830		185
QLT *		3,320		25
Questcor Pharmaceuticals *		1,100		59
Regeneron Pharmaceuticals *		340		39
Spectrum Pharmaceuticals *		8,590		134
SXC Health Solutions *		610		61
Synageva BioPharma *		580		24
UnitedHealth Group		2,410		141
YM Biosciences *		2,990		—

				5,531


Industrials — 0.5%
BE Aerospace *		6,100		266
Boeing		3,460		257
Caterpillar		1,000		85
Clean Harbors *		2,530		143
Equifax		7,630		356
Honeywell International		1,940		108
Huron Consulting Group *		3,580		113
JB Hunt Transport Services		2,640		157
SPX		3,390		222

				1,707


Information Technology — 0.9%
Altera		3,050		103
Apple *		210		123
Broadcom, Cl A		8,060		272
Cisco Systems		4,890		84
Citrix Systems *		2,300		193
eBay *		2,950		124
Electronic Arts *		10,010		124
EMC *		5,440		139
Facebook, Cl A *		1,940		60
Fidelity National Information Services		11,420		389
Fortinet *		6,340		147
Google, Cl A *		165		96
Jabil Circuit		2,550		52
Juniper Networks *		8,390		137
ON Semiconductor *		16,160		115
OSI Systems *		1,630		103
TIBCO Software *		3,460		104
Trimble Navigation *		2,560		118
Ubiquiti Networks *		5,000		71
Visa, Cl A		710		88
VMware, Cl A *		970		88

				2,730


Description	Shares			Market Value ($ Thousands)

Materials — 0.3%
BHP Billiton		5,440		$	154
CF Industries Holdings		430			83
Crown Holdings *		5,900			204
Eastman Chemical		3,590			181
Monsanto		1,770			147
PPG Industries		1,190			126
Yamana Gold		9,300			143

					1,038

Total Common Stock (Cost $20,188) ($ Thousands)					20,940


CASH EQUIVALENT — 4.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.080% **††		14,854,356			14,854

Total Cash Equivalent (Cost $14,854) ($ Thousands)					14,854

Total Investments — 97.4% (Cost $310,829) ($ Thousands) ‡				$	305,812


COMMON STOCK SOLD SHORT — (4.8)%

Consumer Discretionary — (0.6)%
Advance Auto Parts		(1,840	)		(125	)
Cheesecake Factory *		(1,970	)		(63	)
Chipotle Mexican Grill, Cl A *		(160	)		(61	)
Daimler		(2,890	)		(130	)
Dollar General *		(1,120	)		(61	)
Dunkin’ Brands Group		(1,760	)		(60	)
Focus Media Holding ADR		(2,750	)		(65	)
Foot Locker		(2,120	)		(65	)
Hasbro		(4,170	)		(141	)
LKQ *		(2,490	)		(83	)
Lowe’s		(3,000	)		(85	)
Marriott International, Cl A		(7,690	)		(301	)
MGM Mirage *		(6,320	)		(71	)
NetFlix *		(600	)		(41	)
Omnicom Group		(1,480	)		(72	)
PetSmart		(2,140	)		(146	)
PulteGroup *		(5,850	)		(63	)
Time Warner		(4,660	)		(179	)

					(1,812	)


Consumer Staples — (0.2)%
CVS Caremark		(4,300	)		(201	)
Dean Foods *		(8,560	)		(146	)
HJ Heinz		(2,820	)		(153	)
JM Smucker		(1,380	)		(104	)
Kraft Foods, Cl A		(1,850	)		(72	)

					(676	)


Energy — (0.3)%
Apache		(3,630	)		(319	)
Diamond Offshore Drilling		(2,490	)		(147	)
EnCana		(4,000	)		(83	)
Helmerich & Payne		(3,330	)		(145	)
Tidewater		(1,790	)		(83	)


Description	Shares			Market Value ($ Thousands)

Whiting Petroleum *		(1,590	)	$	(66	)

					(843	)


Financials — (1.1)%
Aflac		(3,540	)		(151	)
Allstate		(4,660	)		(164	)
Ameriprise Financial		(4,150	)		(217	)
Bank of America		(12,800	)		(105	)
Bank of New York Mellon		(5,240	)		(115	)
BankUnited		(2,820	)		(66	)
Charles Schwab		(6,470	)		(84	)
CME Group		(520	)		(139	)
DCT Industrial Trust †		(7,160	)		(45	)
Government Properties Income Trust		(2,640	)		(60	)
Green Dot, Cl A *		(3,780	)		(84	)
Grupo Financiero Banorte, Cl O		(11,450	)		(59	)
Hong Kong Exchanges and Clearing		(11,952	)		(169	)
Host Hotels & Resorts		(7,310	)		(116	)
Jefferies Group		(12,600	)		(164	)
KBW		(4,900	)		(81	)
Legg Mason		(4,860	)		(128	)
MSCI, Cl A *		(4,340	)		(148	)
Muenchener Rueckversicherungs		(580	)		(82	)
Pebblebrook Hotel Trust †		(4,480	)		(104	)
Portfolio Recovery Associates *		(1,020	)		(93	)
Royal Bank of Canada		(1,860	)		(95	)
StanCorp Financial Group		(3,590	)		(133	)
Sunstone Hotel Investors †		(7,390	)		(81	)
T. Rowe Price Group		(2,150	)		(135	)
Trustmark		(6,270	)		(153	)
UDR †		(3,190	)		(82	)
Waddell & Reed Financial, Cl A		(3,850	)		(117	)
WR Berkley		(4,680	)		(182	)
Zions Bancorporation		(9,980	)		(194	)

					(3,546	)


Health Care — (1.1)%
Amgen		(3,150	)		(230	)
Bayer		(710	)		(51	)
Becton Dickinson		(2,130	)		(159	)
Celgene *		(310	)		(20	)
Charles River Laboratories International *		(1,860	)		(61	)
Dentsply International		(3,250	)		(123	)
Edwards Lifesciences *		(2,520	)		(260	)
Health Net *		(3,530	)		(86	)
Henry Schein *		(2,070	)		(162	)
Humana		(980	)		(76	)
Immunogen *		(2,060	)		(35	)
Insulet *		(1,520	)		(32	)
Laboratory Corp of America Holdings *		(1,300	)		(120	)
Mettler Toledo International *		(2,000	)		(312	)
Mindray Medical International		(2,300	)		(70	)
Nektar Therapeutics *		(6,260	)		(51	)
Patterson		(3,690	)		(127	)
Quest Diagnostics		(1,010	)		(60	)
Seattle Genetics *		(1,870	)		(47	)
Shire ADR		(470	)		(41	)
Takeda Pharmaceutical		(1,330	)		(60	)


Description	Shares			Market Value ($ Thousands)

Thermo Fisher Scientific		(10,840	)	$	(563	)
Varian Medical Systems *		(3,440	)		(209	)
Watson Pharmaceuticals *		(5,770	)		(427	)

					(3,382	)


Industrials — (0.5)%
3M		(930	)		(83	)
Dun & Bradstreet		(3,620	)		(258	)
General Dynamics		(2,290	)		(151	)
Graco		(1,120	)		(52	)
Kansas City Southern		(2,240	)		(156	)
PACCAR		(2,710	)		(106	)
Parker Hannifin		(2,790	)		(214	)
Rockwell Automation		(3,270	)		(216	)
Stericycle *		(1,518	)		(139	)
Waste Management		(4,600	)		(154	)

					(1,529	)


Information Technology — (0.6)%
Factset Research Systems		(1,320	)		(123	)
Informatica *		(1,490	)		(63	)
Infosys ADR		(1,150	)		(52	)
Intel		(4,740	)		(126	)
Jack Henry & Associates		(13,530	)		(467	)
Parametric Technology *		(2,440	)		(51	)
Paychex		(2,510	)		(79	)
Polycom *		(12,920	)		(136	)
Rackspace Hosting *		(980	)		(43	)
Rovi *		(2,500	)		(49	)
SAP ADR		(3,115	)		(185	)
Sapient		(5,100	)		(51	)
Tech Data *		(4,700	)		(226	)
Telefonaktiebolaget LM Ericsson		(9,490	)		(87	)
TriQuint Semiconductor *		(9,300	)		(51	)
VistaPrint *		(2,680	)		(87	)
Western Digital *		(3,950	)		(120	)

					(1,996	)


Materials — (0.4)%
Agrium		(2,470	)		(218	)
Anglo American		(4,599	)		(151	)
AngloGold Ashanti ADR		(3,890	)		(134	)
Ball		(3,870	)		(159	)
Dow Chemical		(3,680	)		(116	)
International Paper		(1,750	)		(51	)
LyondellBasell Industries, Cl A		(2,890	)		(116	)
Sherwin-Williams		(1,610	)		(213	)

					(1,158	)

Total Common Stock Sold Short (Proceeds $(14,857)) ($ Thousands)					(14,942	)


Description	Shares			Market Value ($ Thousands)

EXCHANGE TRADED FUNDS SOLD SHORT — (0.1)%
iShares NASDAQ Biotechnology Index Fund		(840	)	$	(109	)
SPDR S&P 500 ETF Trust		(1,450	)		(198	)
SPDR S&P Biotech ETF		(440	)		(39	)

					(346	)

Total Exchange Traded Funds Sold Short (Proceeds $(337)) ($ Thousands)					(346	)

Total Securities Sold Short (Proceeds $(15,194)) ($ Thousands)@				$	(15,288	)

Percentages are based on Net Assets of $313,886 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of June 30, 2012.

†

Real Estate Investment Trust.

††

Investment in Affiliated Security.

ADR — American Depositary Receipt

Cl — Class

ETF — Exchange Traded Fund

NASDAQ — National Association of Securities Dealers Automated Quotations

S&P — Standard & Poor’s

SPDR — Standard & Poor’s Depositoy Receipt

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $310,829 ($ Thousands), and the unrealized appreciation and depreciation were $1,358 ($ Thousands) and ($6,375) ($ Thousands), respectively.

At June 30, 2012, the tax basis proceeds of the Fund’s securities sold short was $15,194 ($ Thousands), and the unrealized appreciation and depreciation were $350 ($ Thousands) and ($256) ($ Thousands), respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Registered Investment Companies	$	270,018	$	—	$	—	$	270,018
Common Stock		20,940		—		—		20,940
Cash Equivalent		14,854		—		—		14,854

Total Investments in Securities	$	305,812	$	—	$	—	$	305,812


Securities Sold Short	Level 1			Level 2		Level 3		Total
Common Stock	$	(14,942	)	$	—	$	—	$	(14,942	)
Exchange Traded Funds		(346	)		—		—		(346	)

Total Securities Sold Short	$	(15,288	)	$	—	$	—	$	(15,288	)

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Face Amount ($ Thousands) / Shares(1)		Market Value ($ Thousands)

SOVEREIGN DEBT — 23.6%
Deutsche Bundesrepublik Inflation Linked Bond
1.750%, 04/15/20 EUR	$	23,862	$	34,741
1.500%, 04/15/16 EUR		25,659		34,871
France Government Bond OAT
1.600%, 07/25/15 EUR		31,938		42,719
1.100%, 07/25/22 EUR		21,169		26,972
United Kingdom GILT Inflation Linked
1.875%, 11/22/22 GBP		27,002		53,639

Total Sovereign Debt (Cost $200,961) ($ Thousands)				192,942


U.S. TREASURY OBLIGATIONS — 24.5%
U.S. Treasury Inflation Protected Security
2.375%, 01/15/17		102,456		118,240
0.125%, 01/15/22		77,259		81,744

Total U.S. Treasury Obligations (Cost $199,635) ($ Thousands)				199,984


CASH EQUIVALENT — 27.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†		222,000,000		222,000

Total Cash Equivalent (Cost $222,000) ($ Thousands)				222,000

Total Investments — 75.2% (Cost $622,596) ($ Thousands) ‡			$	614,926

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Australian 10-Year Bond		45			Sep-2012	$	(26	)
Brent Crude Penultimate		112			Aug-2012		(1,557	)
Brent Crude Penultimate		(20	)		Sep-2012		(100	)
Corn		111			Dec-2012		407
Cotton No. 2		22			Dec-2012		17
Crude Oil		150			Aug-2012		(1,707	)
Crude Oil		7			Sep-2012		33
DJ Euro Stoxx 50 Index		452			452Sep-2012		725
Euro-Bund		784			Sep-2012784		(3,483	)


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
(continued)
Feeder Cattle		7			Aug-2012	$	(9	)
FTSE 100 Index		230			Sep-2012		379
FTSE/JSE Top 40 Index		228			Sep-2012		(260	)
Gasoil Euro		(11	)		Aug-2012		(21	)
Gasoil Euro		46			Jul-2012		(452	)
Gold		82			Aug-2012		124
Heating Oil		13			Aug-2012		(158	)
H-shares Index		138			Jul-2012		100
Japanese 10-Year Bond		124			Sep-2012		488
KOSPI 200 Index		102			Sep-2012		(123	)
Lean Hogs		52			Jul-2012		48
Live Cattle		19			Sep-2012		11
LME Aluminum		11			Dec-2012		(25	)
LME Copper		36			Dec-2012		221
LME Lead		1			Dec-2012		(2	)
LME Nickle		17			Dec-2012		6
LME Zinc		2			Dec-2012		(1	)
Long Gilt 10-Year Bond		194			Sep-2012		29
Natural Gas Swap Future		439			Aug-2012		214
Natural Gas Swap Future		283			Sep-2012		110
NYMEX Cocoa		5			Sep-2012		7
NYMEX Coffee		44			Sep-2012		40
RBOB Gasoline		15			Aug-2012		(157	)
Russell 2000 Index E-MINI		143			Sep-2012		532
S&P 500 Index E-MINI		1,802			Sep-2012		3,776
S&P Mid 400 Index E-MINI		127			Sep-2012		294
SGX S&P CNX Nifty Index		155			Jul-2012		52
Silver		9			Sep-2012		18
Soybean		49			Jan-2013		107
Soybean Meal		7			Dec-2012		(1	)
Sugar No. 11		99			Sep-2012		121
Taiwan Index		161			Jul-2012		133
Topix Index		136			Sep-2012		992
U.S. 10-Year Treasury Note		245			Sep-2012		31
Wheat		135			Dec-2012		441

						$	1,374

Percentages are based on Net Assets of $817,477($Thousands).

†

Investment in Affiliated Security.

Rate shown is the 7-day effective yield as of June 30, 2012.

(1)

In U.S. Dollars unless otherwise indicated.

BRL — Brazil Real Cl — Class

CHF — Swiss Franc

EUR — Euro

FTSE — Financial Times Stock Exchange

GBP — British Pound

ILS — Israeli Shekel

JPY — Japanese Yen

JSE — Johannesburg Stock Exchange KRW — Korean wan

LME — London Metal Exchange

OAT — Obligations Assimilables du Trésor

MXP — Mexican Peso

NYMEX — New York Mercantile Exchange

RBOB — Reformulated Blendstock for Oxygenate Blending

RTS — Russian Trading Systems Index

RUB — Russian Ruble

S&P — Standard & Poor’s

SGD — Singapore Dollar

SGX — Singapore Exchange

TRY — Turkish New Lira

TWD — Taiwanese Dollar

USD — U.S. Dollar

ZAR — South African Rand

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $622,596

($ Thousands), and the unrealized appreciation and depreciation were $1,352

($ Thousands) and ($9,022) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Sovereign Debt	$	—	$	192,942	$	—	$	192,942
U.S. Treasury Obligations		—		199,984		—		199,984
Cash Equivalent		222,000		—		—		222,000

Total Investments in Securities	$	222,000	$	392,926	$	—	$	614,926


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Futures Contracts *	$	1,462	$	—		$	—	$	1,462
Forwards*		—		(1,671	))		—		(1,671	)
Total Return Swaps*		—		1,746			—		1,746

Total Other Financial Instruments	$	1,462	$	75		$	—	$	1,537

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Amounts designated as “—” are $0 or rounded to $0.

Additional Accounting Policies

The Fund may seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands (“Subsidiary”). The Subsidiary has entered into a separate advisory agreement with SEI Investments Management Corporation (“SIMC”) for the management of the Subsidiary’s Portfolio. Similar to the Fund, the Subsidiary uses a multi-manager approach under the general supervision at SIMC whereby the subsidiary allocates its assets among on or more sub-advisers with differing philosophies and investment strategies. The Subsidiary, unlike the Fund, may invest to a significant extent in commodities, commodity contracts, commodity investments and derivative instruments. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. The Fund may invest up to 25% of its total assets in the Subsidiary. The derivative instruments in which a Subsidiary primarily intends to invest are instruments linked to certain commodity indices and instruments linked to the value of a particular commodity or commodity futures contract or a subset of commodities or commodity futures contracts.

With respect to its investments, the Subsidiary will generally be subject to the same fundamental, non fundamental and certain other investment restrictions as the Fund; however, the Subsidiary (unlike the Fund) may invest without limitation in commodity-linked swap agreements and other commodity-linked derivative instruments.

The Subsidiary is not registered under 1940 Act and, unless otherwise noted in the Prospectus, is not subject to all of the investor protections of the 1940 Act. Thus, the Fund, as an investor in the Subsidiary, will not have all of the protections offered to investors in registered investment companies. In addition, changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary, respectively, are organized, could result in the inability of the Fund and the Subsidiary to operate as intended and could negatively affect the Fund and its shareholders.


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


CORPORATE OBLIGATIONS — 36.4%

Consumer Discretionary — 8.7%
Armored Autogroup
9.250%, 11/01/18 (A)	$	400	$	345
Caesars Operating Escrow
8.500%, 02/15/20 (A)		500		504
Expedia
5.950%, 08/15/20		1,250		1,310
GRD Holdings III
10.750%, 06/01/19 (A)		650		643
Mastro’s Restaurants
12.000%, 06/01/17 (A)		270		275
MGM Resorts International
7.750%, 03/15/22		500		516
Reynolds Group
6.875%, 02/15/21 (A)		450		468
Sitel
11.000%, 08/01/17 (A)		250		243
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		250		218
Univision Communications
6.875%, 05/15/19 (A)		400		412
WMG Acquisition
11.500%, 10/01/18		250		276
Wok Acquisition
10.250%, 06/30/20 (A)		250		258

				5,468


Energy — 2.3%
Eagle Rock Energy Partners
8.375%, 06/01/19		270		269
Exterran Holdings
7.250%, 12/01/18		350		336
Penn Virginia Resource Partners
8.375%, 06/01/20 (A)		560		569
SandRidge Energy
8.125%, 10/15/22 (A)		300		303

				1,477


Financials — 11.7%
City National Bank
5.375%, 07/15/22		500		513
General Electric Capital, Ser A
7.125%, 12/31/49 (B)		1,000		1,056
International Lease Finance
7.125%, 09/01/18 (A)		1,500		1,654
Jefferies Group
6.875%, 04/15/21		700		704
Kennedy-Wilson
8.750%, 04/01/19		445		458
Nationstar Mortgage
9.625%, 05/01/19 (A)		550		582
Nuveen Investments
10.500%, 11/15/15		500		507
Schahin II Finance SPV
5.875%, 09/25/22 (A)		1,500		1,504
USI Holdings
9.750%, 05/15/15 (A)		400		402

				7,380


Health Care — 2.1%
Apria Healthcare Group
12.375%, 11/01/14		100		95


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

11.250%, 11/01/14	$	450	$	466
Physiotherapy Associates Holdings
11.875%, 05/01/19 (A)		430		435
Symbion
8.000%, 06/15/16		350		348

				1,344


Industrials — 5.1%
AWAS Aviation Capital
7.000%, 10/17/16 (A)		1,284		1,329
Ceridian
8.875%, 07/15/19 (A)		350		361
CEVA Group
8.375%, 12/01/17 (A)		500		485
Embraer
5.150%, 06/15/22		500		513
Marquette Transportation
10.875%, 01/15/17		50		53
Thermadyne Holdings
9.000%, 12/15/17		500		511

				3,252


Information Technology — 5.2%
Audatex North America
6.750%, 06/15/18 (A)		500		526
Avaya PIK
10.125%, 11/01/15		500		415
Lawson Software
11.500%, 07/15/18 (A)		350		396
9.375%, 04/01/19 (A)		300		320
Open Solutions
9.750%, 02/01/15 (A)		250		220
Sabre
8.500%, 05/15/19 (A)		500		508
Sabre Holdings
8.350%, 03/15/16		500		473
Zayo Group
10.125%, 07/01/20 (A)		150		159
8.125%, 01/01/20 (A)		250		261

				3,278


Materials — 1.3%
APERAM
7.750%, 04/01/18 (A)		500		425
Kaiser Aluminum
8.250%, 06/01/20 (A)		225		229
Mirabela Nickel
8.750%, 04/15/18 (A)		261		179

				833

Total Corporate Obligations (Cost $22,892) ($ Thousands)				23,032


COLLATERALIZED DEBT OBLIGATIONS — 30.6%

Other Asset-Backed Securities — 30.6%
Accredited Mortgage Loan Trust, Ser 2006-2, Cl A3
0.395%, 09/25/36 (B)		1,240		1,077
Aerco, Ser 2000-2A, Cl A3
0.389%, 07/15/25 (A) (B)		2,258		1,649
Asset Backed Securities Home Equity, Ser 2004-HE8, Cl M1
1.295%, 12/25/34 (B)		750		562


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

Babcock & Brown Air Funding I Ltd., Ser 2007-1A, Cl G1
0.542%, 11/14/33 (A) (B)	$	973	$	798
Black Diamond CLO, Ser 2007-1A, Cl C
1.156%, 04/29/19 (A) (B)		1,100		823
Centurion CDO VII, Ser 2004-7A, Cl B2
1.866%, 01/30/16 (A) (B)		750		680
DFR Middle Market CLO, Ser 2007-1A, Cl C
2.766%, 07/20/19 (A) (B)		500		460
Diversified Asset Securitization Holdings II, Ser 2000-1A, Cl A1L
0.958%, 09/15/35 (C)		1,087		1,013
FM Leveraged Capital Fund, Ser 2006- 2A, Cl C
1.317%, 11/15/20 (A) (B)		1,000		807
Global Leveraged Capital Credit Opportunity Fund, Ser 2006-1A, Cl C
1.466%, 12/20/18 (A) (B)		1,550		1,154
GSC Partners CDO Fund VII, Ser 2006- 7A, Cl C
1.467%, 05/25/20 (A) (B)		750		629
GSC Partners CDO Fund, Ser 2004-5X, Cl B
1.717%, 11/20/16 (B)		1,000		876
GSC Partners CDO Fund, Ser 2005-6A, Cl B
1.316%, 10/23/17 (A) (B) (C)		750		680
Nomura Resecuritization Trust, Ser 2012-1R, Cl A
0.679%, 08/27/47 (A) (B)		1,184		983
Pacifica CDO, Ser 2006-5A, Cl B2
5.811%, 01/26/20 (A) (C)		1,000		956
Shinnecock CLO, Ser 2006-1A, Cl C
1.367%, 07/15/18 (A) (B)		500		381
Stone Tower CDO, Ser 2004-1A, Cl A2L
1.716%, 01/29/40 (A) (B)		750		600
TCW Global Project Fund, Ser 2005- 1A, Cl A2
1.317%, 09/01/17 (A) (B) (C)		500		373
TCW Global Project Fund, Ser 2005- 1A, Cl A1
1.117%, 09/01/17 (A) (B) (C)		1,250		1,054
Triaxx Prime CDO, Ser 2006-1A, Cl A1
0.499%, 03/03/39 (A) (B) (C)		2,951		2,135
Westchester CLO, Ser 2007-1A, Cl A1B
0.806%, 08/01/22 (A) (B)		1,000		747
Zais Investment Grade, Ser 2004-6A, Cl A2A
1.792%, 07/27/18 (A) (B)		1,000		900

				19,337

Total Collateralized Debt Obligations (Cost $19,467) ($ Thousands)				19,337


LOAN PARTICIPATIONS — 7.3%
Amscan Unsecured Bridge Loan
0.000%, 10/04/12 (E)		250		—
AAA Investments, L.P. 1st Lien
4.250%, 06/30/15		196		177
0.000%, 06/30/15 (D)		350		315


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

Asurion, 1st Lien
5.500%, 05/24/18	$	500		$	497
El Paso Energy, Term Loan
6.500%, 04/10/18		500			504
First Data
5.239%, 03/24/17		500			476
GOGO LLC
11.250%, 06/21/17		250			241
Guitar Center, Extended Term Loan
5.730%, 04/09/17		500			466
HD Supply, Term Loan
7.250%, 10/12/17		500			503
Helm Financial, Term Loan
6.250%, 06/01/17		150			148
Hologic, Bridge Loan
0.000%, 02/25/13 (E)		500			—
MISYS, 2nd Lien
12.000%, 12/06/19		250			244
NAB Holdings LLC
7.000%, 04/25/18		250			249
PF Changs, Bridge Loan
0.000%, 11/07/12 (E)		500			—
PLATO, 1st Lien
7.500%, 05/09/18		100			99
SABRE, Extended Term Loan
5.989%, 12/29/17		499			479
Smile Brands Group, Term B Loan
7.000%, 12/21/17		207			206
Wolverine, Unsecured Bridge Loan (E)
0.000%, 02/01/13		500			—

Total Loan Participations (Cost $4,617) ($ Thousands)					4,604


PURCHASED OPTIONS — 0.3%
ProShares UltraShort 20+ Year Treasury, Call, Expires: 01/19/13
Strike Price: $18.00 *		904			71
Strike Price: $20.00 *		668			28
Strike Price: $21.00 *		658			19
SPDR Gold Shares, Call Expires: 09/28/12
Strike Price: $152.00 *		99			74
Strike Price: $157.00 *		55			29

Total Purchased Options (Cost $384) ($ Thousands)					221

Total Investments — 74.6% (Cost $47,360)($ Thousands) ‡				$	47,194


WRITTEN OPTIONS — (1.0)%
ProShares UltraShort 20+ Year Treasury, Call, Expires: 01/19/13
Strike Price: $19.00 *		(658	)		(250	)
Strike Price: $20.00 *		(668	)		(204	)
ProShares UltraShort 20+ Year Treasury, Put, Expires: 01/19/13
Strike Price: $15.00 *		(904	)		(100	)

Percentages are based on Net Assets of $63,234 ($ Thousands).

Non-income producing security.

(A)

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of June 30, 2012.

(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 of June 30, 2012 was $6,211 ($ Thousands) and represented 9.8% of net Assets.

(D)

Unsettled bank loan. Interest rate not available.

(E)

Unfunded bank loan.

CDO— Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

LLC. — Limited Liability Company

L.P. — Limited Partnership

Ltd. — Limited

PIK — Payment-in-Kind

Ser — Series

SPDR — Standard & Poor’s Depositary Receipt

SPV — Special Purpose Vehicle

Amounts designated as “—” are $0 or have been rounded to $0.

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $47,360 ($ Thousands), and the unrealized appreciation and depreciation were $679 ($ Thousands) and ($845)($ Thousands) respectively.

At June 30, 2012, the tax basis proceeds of the Fund’s written options was $411 ($ Thousands), and the unrealized appreciation and depreciation were $191 ($ Thousands) and ($0) ($ Thousands) respectively.

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent semi-annual and annual financial statements.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	23,032	$	—	$	23,032
Collateralized Debt Obligations		—		13,126		6,211		19,337
Loan Participations		—		4,604		—		4,604
Purchased Options		221		—		—		221

Total Investments in Securities	$	221	$	40,762	$	6,211	$	47,194


Securities Sold Short	Level 1			Level 2		Level 3		Total
Written Options	$	(602	)	$	—	$	—	$	(602	)

Total Securities Sold Short	$	(602	)	$	—	$	—	$	(602	)

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


	Investments in Corporate Obligations
Beginning balance as of April 9, 2012	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		6,211
Net transfer in and/or out of Level 3		—

Ending balance as of June 30, 2012	$	6,211

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.


Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK — 15.8%

Australia — 0.9%
BHP Billiton		97,090	$	3,130
OneSteel		334,830		297
Rio Tinto		14,120		818

				4,245


Brazil — 1.5%
Petroleo Brasileiro, Cl A ADR		64,040		1,162
Petroleo Brasileiro ADR		139,490		2,618
Vale, Cl B ADR		169,460		3,306

				7,086


Canada — 3.8%
Agrium		22,590		1,999
Allied Properties Real Estate Investment Trust †		13,150		374
Boardwalk Real Estate Investment Trust †		7,440		428
Cameco		40,010		878
Canadian Real Estate Investment Trust †		4,560		182
Cominar Real Estate Investment Trust †		10,190		240
Dundee (Canada) †		15,700		588
Goldcorp		69,260		2,604
Kinross Gold		191,990		1,565
Morguard Real Estate Investment Trust †		10,200		170
New Gold *		99,160		945
Nexen		58,820		995
Primaris Retail Real Estate Investment Trust †		9,130		211
RioCan Real Estate Investment Trust †		13,870		377
Suncor Energy		105,150		3,036
Teck Resources, Cl B		52,160		1,613
Yamana Gold		69,570		1,072

				17,277

China — 0.5%
China Petroleum & Chemical, Cl H		2,280,000		2,022

France — 0.3%
Total		28,630		1,290

Germany — 0.3%
BASF		18,220		1,265

Hong Kong — 0.1%
Evergrande Real Estate Group		464,000		235
Great Eagle Holdings		60,000		153

				388

Italy — 0.4%
ENI		78,270		1,667

Japan — 0.2%
JFE Holdings		64,200		1,060

Netherlands — 1.5%
Koninklijke DSM		27,376		1,348


Description	Shares		Market Value ($ Thousands)

Royal Dutch Shell, Cl A		168,612	$	5,693

				7,041

Russia — 0.6%
Gazprom OAO ADR		308,910		2,913

Singapore — 0.0%
UOL Group		50,000		195

South Africa — 0.3%
Exxaro Resources		65,360		1,519

Switzerland — 0.3%
Transocean		30,600		1,369
Thailand — 0.5%

Banpu		72,600		1,024
PTT		105,400		1,072

				2,096

United Kingdom — 4.6%
Anglo American		87,610		2,870
BG Group		189,490		3,864
BHP Billiton		36,000		1,020
BP		905,420		5,992
Ensco, Cl A		17,530		823
InterContinental Hotels Group		7,140		172
Mondi		92,340		789
Rio Tinto		78,300		3,707
Royal Dutch Shell, Cl A		648		22
Royal Dutch Shell, Cl B		53,980		1,884

				21,143

Total Foreign Common Stock (Cost $78,411) ($ Thousands)				72,576


COMMON STOCK — 15.5%

United States — 15.5%
American Campus Communities		5,610		252
American Tower, Cl A		2,880		201
Anadarko Petroleum		29,850		1,976
AvalonBay Communities		7,470		1,057
Boston Properties		11,530		1,250
Brandywine Realty Trust		15,370		190
BRE Properties, Cl A		6,170		309
Bunge		13,070		820
Cabot Oil & Gas		16,470		649
Camden Property Trust		6,370		431
Chevron		40,040		4,224
Commercial Metals		87,400		1,105
CommonWealth		6,120		117
Corporate Office Properties Trust		5,350		126
CubeSmart		14,110		165
DDR		20,700		303
Devon Energy		33,060		1,917
Digital Realty Trust		12,980		974
Douglas Emmett †		16,810		388
Duke Realty †		41,740		611
EastGroup Properties		9,280		495
Education Realty Trust		6,600		73
Entertainment Properties Trust †		5,850		241
EOG Resources		18,420		1,660
Equity Residential		23,030		1,436


Description	Shares		Market Value ($ Thousands)

Essex Property Trust		2,770	$	426
Extra Space Storage		19,870		608
Exxon Mobil		132,160		11,309
Federal Realty Investment Trust		4,730		492
FelCor Lodging Trust * †		49,660		233
Forest City Enterprises, Cl A *		9,207		134
Freeport-McMoRan Copper &
Gold, Cl B		13,500		460
General Growth Properties		37,150		672
Glimcher Realty Trust †		30,060		307
Halliburton		36,960		1,049
HCP		22,210		981
Health Care		16,300		950
Hess		25,790		1,121
Host Hotels & Resorts		45,390		718
Kilroy Realty		8,920		432
LaSalle Hotel Properties		23,080		673
Lexington Realty Trust		36,870		312
Liberty Property Trust		9,100		335
LTC Properties †		7,110		258
Macerich		4,340		256
Mack-Cali Realty		6,420		187
Marathon Oil		43,130		1,103
Medical Properties Trust		9,800		94
Monsanto		24,190		2,002
National Retail Properties		14,720		416
Noble Energy		9,850		835
Occidental Petroleum		32,620		2,798
Omega Healthcare Investors †		16,550		372
Pebblebrook Hotel Trust		24,680		575
Piedmont Office Realty Trust, Cl A †		4,870		84
Post Properties †		3,900		191
ProLogis		36,170		1,202
PS Business Parks		1,300		88
Public Storage		8,630		1,246
Realty Income †		10,840		453
Regency Centers		11,330		539
Retail Opportunity Investments †		31,770		383
RLJ Lodging Trust †		7,770		141
Schlumberger		24,950		1,620
Seadrill		45,830		1,628
Senior Housing Properties Trust †		20,110		449
Simon Property Group		27,360		4,259
SL Green Realty		7,080		568
Sovran Self Storage †		9,480		475
Starwood Property Trust		3,820		81
Strategic Hotels & Resorts * †		82,130		531
Sunstone Hotel Investors *		8,520		94
Tanger Factory Outlet Centers †		17,800		571
Taubman Centers †		2,050		158
Tyson Foods, Cl A		37,720		710
UDR		30,710		794
United States Steel		28,410		585
Ventas		25,560		1,613
Vornado Realty Trust		14,800		1,243
Weingarten Realty Investors †		9,850		260
Weyerhaeuser		9,310		208

				71,252


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

Total Common Stock (Cost $70,747) ($ Thousands)			$	71,252


CORPORATE OBLIGATIONS — 7.4%

Consumer Discretionary — 1.1%
CBS
3.375%, 03/01/22	$	675		673
Comcast
6.450%, 03/15/37		185		225
DIRECTV Holdings
3.800%, 03/15/22(A)		470		475
Dollar General
4.125%, 07/15/17		94		95
Macy’s Retail Holdings
3.875%, 01/15/22		460		484
Marriott International
3.000%, 03/01/19		380		384
NBCUniversal Media
4.375%, 04/01/21		210		231
News America
6.150%, 02/15/41		165		193
4.500%, 02/15/21		260		285
Omnicom Group
3.625%, 05/01/22		167		170
Time Warner
4.000%, 01/15/22		355		375
Time Warner Cable
4.000%, 09/01/21		360		378
Viacom
3.875%, 12/15/21		180		191
2.500%, 12/15/16		185		192
WPP Finance 2010
4.750%, 11/21/21(A)		460		483
Wynn Las Vegas
5.375%, 03/15/22(A)		285		286

				5,120


Consumer Staples — 0.1%
Delhaize Group
6.500%, 06/15/17		320		356


Energy — 1.5%
Anadarko Petroleum
5.950%, 09/15/16		405		460
Encana
3.900%, 11/15/21		470		465
Energy Transfer Partners
6.125%, 02/15/17		200		225
5.200%, 02/01/22		210		225
Enterprise Products Operating
5.200%, 09/01/20		165		189
Equities
4.875%, 11/15/21		290		296
Gazprom OAO Via Gaz Capital MTN
6.212%, 11/22/16		340		369
KazMunayGas National
7.000%, 05/05/20(A)		325		369


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

Kinder Morgan Energy Partners
3.950%, 09/01/22	$	475	$	481
Korea National Oil
3.125%, 04/03/17 (A)		465		474
Marathon Petroleum
5.125%, 03/01/21		96		107
Noble Energy
4.150%, 12/15/21		475		500
Petrobras International Finance
5.375%, 01/27/21		345		372
Petroleos Mexicanos
5.500%, 06/27/44 (A)		212		217
Petronas Capital
5.250%, 08/12/19 (A)		330		379
Phillips 66
4.300%, 04/01/22 (A)		460		484
Southwestern Energy
4.100%, 03/15/22 (A)		95		96
Spectra Energy Capital
6.200%, 04/15/18		315		376
Weatherford International
4.500%, 04/15/22		460		471
Williams Partners
4.000%, 11/15/21		360		374

				6,929


Financials — 2.3%
American International Group
6.400%, 12/15/20		325		368
American Tower
4.700%, 03/15/22 †		365		375
Bank of America
5.700%, 01/24/22		450		495
Barclays Bank PLC
5.125%, 01/08/20		180		195
5.000%, 09/22/16		175		190
Capital One Financial
4.750%, 07/15/21		350		382
Citigroup
4.500%, 01/14/22		665		687
DNB Bank
3.200%, 04/03/17 (A)		465		470
Fifth Third Bancorp
3.500%, 03/15/22		190		192
Ford Motor Credit
3.000%, 06/12/17		435		433
Goldman Sachs Group
5.750%, 01/24/22		365		385
3.625%, 02/07/16		225		225
Hartford Financial Services Group
5.125%, 04/15/22		375		386
HCP
5.375%, 02/01/21 †		205		227
2.700%, 02/01/14 †		220		223
Health Care REIT
5.250%, 01/15/22 †		445		472
Healthcare Realty Trust
5.750%, 01/15/21 †		285		300
Host Hotels & Resorts
5.250%, 03/15/22 † (A)		190		195


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

HSBC Holdings PLC
4.000%, 03/30/22	$	455	$	473
IPIC GMTN
3.750%, 03/01/17 (A)		460		478
JPMorgan Chase
5.400%, 01/06/42		175		192
4.500%, 01/24/22		450		485
Lincoln National
4.200%, 03/15/22		185		185
Lloyds TSB Bank PLC
4.200%, 03/28/17		465		480
MetLife
5.700%, 06/15/35		80		95
Metropolitan Life Global Funding I
3.875%, 04/11/22 (A)		275		285
Morgan Stanley
5.500%, 07/28/21		585		577
Nationwide Financial Services
5.375%, 03/25/21 (A)		180		186
Royal Bank of Scotland
4.875%, 03/16/15		270		279
SLM MTN
7.250%, 01/25/22		450		476

				10,391


Industrials — 0.3%
ADT
3.500%, 07/15/22 (A)		129		129
BE Aerospace
5.250%, 04/01/22		280		288
CSX
4.750%, 05/30/42		470		485
Embraer
5.150%, 06/15/22		149		153
Republic Services
5.250%, 11/15/21		320		367

				1,422


Information Technology — 0.3%
Hewlett-Packard
4.650%, 12/09/21		175		183
Intel
4.800%, 10/01/41		265		304
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/22		535		536
Xerox
2.950%, 03/15/17		370		374

				1,397


Materials — 0.5%
Alcoa
5.400%, 04/15/21		265		264
AngloGold Ashanti Holdings
5.375%, 04/15/20		265		272
ArcelorMittal
5.500%, 03/01/21		190		180
Ball
5.000%, 03/15/22		280		291
Dow Chemical
5.250%, 11/15/41		215		238
4.250%, 11/15/20		210		228


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

Eastman Chemical
3.600%, 08/15/22	$	155	$	158
2.400%, 06/01/17		144		145
International Paper
7.950%, 06/15/18		295		372
Teck Resources
4.750%, 01/15/22		175		188

				2,336


Telecommunication Services — 0.6%
AT&T
5.550%, 08/15/41		245		292
British Telecommunications
5.950%, 01/15/18		125		146
2.000%, 06/22/15		200		203
Deutsche Telekom International Finance BV
4.875%, 03/06/42 (A)		500		475
Telecom Italia Capital
7.175%, 06/18/19		260		259
Telefonica Emisiones SAU
5.462%, 02/16/21		200		174
Verizon Communications
7.350%, 04/01/39		350		502
Virgin Media Finance
5.250%, 02/15/22		200		205
Vodafone Group
6.150%, 02/27/37		385		492

				2,748


Utilities — 0.7%
CMS Energy
5.050%, 03/15/22		185		192
Constellation Energy Group
5.150%, 12/01/20		165		183
FirstEnergy Solutions
6.800%, 08/15/39		165		173
6.050%, 08/15/21		350		384
Midamerican Energy Holdings
6.125%, 04/01/36		390		488
Nisource Finance
6.125%, 03/01/22		240		282
ONEOK
4.250%, 02/01/22		460		482
Pacific Gas & Electric
4.500%, 12/15/41		185		196
Perusahaan Listrik Negara
5.500%, 11/22/21 (A)		440		460
Talent Yield Investments
4.500%, 04/25/22 (A)		495		506

				3,346

Total Corporate Obligations (Cost $33,599) ($ Thousands)				34,045


MORTGAGE-BACKED SECURITIES — 3.6%

Agency Mortgage-Backed Obligations — 1.6%
FNMA
6.000%, 05/01/38		4,298		4,738
3.500%, 02/01/41		2,386		2,510

				7,248


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

Non-Agency Mortgage-Backed Obligations — 2.0%
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47	$	845	$	935
CW Capital Cobalt, Ser 2007-C3, Cl A4
6.007%, 05/15/46 (B)		965		1,071
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		860		954
GS Mortgage Securities II, Ser 2012-GCJ7, Cl A4
3.377%, 05/10/45		1,060		1,083
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD11, Cl A4
6.009%, 06/15/49 (B)		960		1,054
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD12, Cl A4
5.882%, 02/15/51 (B)		930		1,057
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LDPX, Cl A3
5.420%, 01/15/49		925		1,035
LB-UBS Commercial Mortgage Trust, Ser C2, Cl A3
5.430%, 02/15/40		885		988
Merrill Lynch, Ser 2007-9, Cl A4
5.700%, 09/12/49		1,000		1,098

				9,275

Total Mortgage-Backed Securities (Cost $16,418) ($ Thousands)				16,523


ASSET-BACKED SECURITIES — 2.2%

Automotive — 0.7%
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3
0.960%, 01/09/17		665		665
Bank of America Auto Trust, Ser 2012-1, Cl A4
1.030%, 12/15/16		580		580
Navistar Financial Owner Trust, Ser 2012-A, Cl A2
0.850%, 03/18/15 (A)		670		670
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2
1.060%, 04/15/15		770		770
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A2
1.060%, 08/17/15		419		419

				3,104


Credit Cards — 0.6%
Discover Card Master Trust, Ser 2012-A4, Cl A4
0.611%, 11/15/19 (B)		540		542


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

GE Capital Credit Card Master Note Trust, Ser 2012-1, Cl A
1.030%, 01/15/18	$	1,000	$	1,006
Penarth Master Issuer, Ser 2010- 2A, Cl A2
0.994%, 12/18/14 (A) (B)		1,000		1,002

				2,550


Other Asset-Backed Securities — 0.9%
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (A)		605		613
BMW Floorplan Master Owner Trust, Ser 2009-1A, Cl A
1.392%, 09/15/14 (A) (B)		1,000		1,002
CIT Equipment Collateral, Ser 2012-VT1, Cl A3
1.100%, 08/22/16 (A)		270		270
GE Dealer Floorplan Master Note Trust, Ser 2012-2, Cl A
0.989%, 04/22/19 (B)		1,075		1,075
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.710%, 05/15/17 (B)		1,134		1,137

				4,097

Total Asset-Backed Securities (Cost $9,752) ($ Thousands)				9,751


PURCHASED OPTIONS — 0.1%
iShares Silver Trust, Call, Expires:
10/20/12, Strike Price:$32.00		323		16
S&P 500 ETF Trust, Put, Expires:
07/21/12, Strike Price:$1,275.00		45		10
S&P 500 ETF Trust, Put, Expires:
09/22/12, Strike Price:$1,275.00		27		59
S&P 500 ETF Trust, Put, Expires:
12/22/12, Strike Price:$1,275.00		63		284
SPDR Gold Shares, Call, Expires:
09/22/12, Strike Price:$165.00		231		52

Total Purchased Options (Cost $1,001) ($ Thousands)				421


SOVEREIGN DEBT — 0.1%
Qatar Government International Bond
4.500%, 01/20/22 (A)		355		392

Total Sovereign Debt (Cost $372) ($ Thousands)				392


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

U.S. TREASURY OBLIGATIONS — 64.5%
U.S. Treasury Inflation Protected Security
2.625%, 07/15/17	$	13,777		$	16,364
2.500%, 07/15/16		33,177			37,980
2.375%, 01/15/17		10,348			11,943
2.000%, 01/15/14		9,221			9,574
2.000%, 07/15/14		37,058			39,267
2.000%, 01/15/16		8,202			9,074
1.875%, 07/15/13		21,716			22,239
1.875%, 07/15/15		58,216			63,310
1.625%, 01/15/15		20,804			22,107
1.375%, 07/15/18		1,819			2,077
1.250%, 04/15/14		5,517			5,696
0.500%, 04/15/15		5,537			5,749
0.125%, 04/15/16		3,773			3,928
U.S. Treasury Bills (C)
0.085%, 08/16/12		44,735			44,733
0.078%, 09/06/12		1,045			1,045
0.059%, 09/20/12		590			590

Total U.S. Treasury Obligations (Cost $299,061) ($ Thousands) ‡					295,676

Total Investments — 109.2% (Cost $509,361) ($ Thousands)				$	500,636


WRITTEN OPTIONS — (0.0)%
iShares Silver Trust, Call, Expires:
10/20/12, Strike Price: $37.00		(323	)		(6	)
iShares Silver Trust, Put, Expires:
10/20/12, Strike Price: $22.00		(323	)		(17	)
S&P 500 ETF Trust, Put, Expires:
07/21/12, Strike Price: $1,075.00		(45	)		(1	)
S&P 500 ETF Trust, Put, Expires:
09/22/12, Strike Price: $1,075.00		(27	)		(10	)
S&P 500 ETF Trust, Put, Expires:
12/22/12, Strike Price: $1,075.00		(63	)		(90	)
SPDR Gold Shares, Call, Expires:
09/22/12, Strike Price: $180.00		(231	)		(13	)
SPDR Gold Shares, Put, Expires:
09/22/12, Strike Price: $140.00		(231	)		(27	)

Total Written Options (Proceeds ($415)) ($ Thousands) @					(164	)

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Brent Crude Penultimate		(39	)		Aug-2012	$	(180	)
Corn		(72	)		Dec-2012		(414	)
Feeder Cattle		(21	)		Aug-2012		(41	)
Gasoil Euro		20			Aug-2012		35
Gold		(24	)		Aug-2012		(133	)
Lean Hogs		50			Aug-2012		97
LME Aluminum		(47	)		Sep-2012		(16	)
LME Copper		(4	)		Sep-2012		(27	)
Natural Gas		8			Aug-2012		(6	)
NYMEX Cocoa		50			Sep-2012		90
NYMEX Coffee		(13	)		Sep-2012		(49	)
Platinum		74			Oct-2012		11
RBOB Gasoline		17			Jul-2012		34
Silver		(7	)		Sep-2012		37
Soybean		25			Nov-2012		183
Soybean Meal		43			Dec-2012		217
Sugar No. 11		(28	)		Sep-2012		(51	)
U.S. 10-Year Treasury Note		(73	)		Sep-2012		(60	)
U.S. 2-Year Treasury Note		(64	)		Sep-2012		6
U.S. 5-Year Treasury Note		(86	)		Oct-2012		(20	)
U.S. Long Treasury Bond		(23	)		Sep-2012		(24	)
Wheat		23			Dec-2012		64

						$	(247	)

For the period ended June 30, 2011, 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.

Reverse repurchase agreements outstanding as of June 30, 2012 were as follows:


Principal Amount ($ Thousands)		Counterparty	Value ($ Thousands)
$	2,734	Bank of America Securities, 0.27%	$	2,734
	4,428	Barclays Capital, 0.23%		4,428
	1,855	UBS, AG, 0.19%		1,855
	1,085	UBS, AG, 0.24%		1,085
	8,751	UBS, AG, 0.25%		8,751
	13,150	UBS, AG, 0.25%		13,150
	21,994	UBS, AG, 0.25%		21,994

			$	53,997

A list of the outstanding forward foreign currency contracts held by the Fund at June 30, 2012, is as follows:


Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
7/3/12-5/3/21		BRL	27,284		USD	13,231	$	(237	)
7/10/12		USD	8,734		CNY	55,521		(1	)
7/10/12-7/13/12		AUD	11,084		USD	10,998		(351	)
7/10/12-7/13/12		CAD	26,652		USD	25,941		(198	)
7/10/12-7/13/12		EUR	13,649		USD	17,064		(258	)
7/13/12		CHF	932		USD	968		(17	)
7/13/12		CNY	11,737		USD	1,850		4
7/13/12		GBP	12,361		USD	19,218		(168	)
7/13/12		HKD	1,727		USD	223		—
7/13/12		JPY	67,092		USD	844		3
7/13/12		NOK	7,036		USD	1,163		(21	)
7/13/12		RUB	94,058		USD	2,851		(42	)
7/13/12		SGD	222		USD	173		(2	)
7/13/12		THB	55,830		USD	1,765		8
7/13/12		ZAR	9,803		USD	1,155		(41	)

							$	(1,321	)

A list of the outstanding forward foreign currency contracts held by the Fund at June 30, 2012, is as follows:


Counterparty	Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Depreciation ($ Thousands)
Barclays PLC		(2,301	)		2,252	$	(49	)
Brown Brothers Harriman		(16,329	)		16,277		(52	)
HSBC		(4,616	)		4,575		(41	)
Standard Bank		(12,369	)		12,153		(216	)
UBS		(71,882	)		70,919		(963	)

						$	(1,321	)

A list of outstanding swap agreements held by the Fund at June 30, 2012, are as follows:

Percentages are based on Net Assets of $458,560($Thousands).

(A)

(B)

Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effect as of June 30, 2012.

(C)

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

†

Real Estate Investment Trust.

Non-income producing security.

ADR — American Depositary Receipt

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

CDX.NA.IG — Credit Derivatives Index – North American Investment Grade

CHF — Swiss Franc

Cl — Class

CNY — Chinese Yuan

ETF — Exchange Traded Fund

EUR — Euro

FNMA — Fannie Mae

GBP — British Pound

HKD — Hong Kong Dollar

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

LME — London Metal Exchange

MTN — Medium Term Note

NOK — Norwegian Krone

NYMEX — New York Mercantile Exchange

PLC — Public Limited Company

RUB — Russian Ruble

S&P — Standard & Poor’s

Ser — Series

SGD — Singapore Dollar

SPDR — Standard & Poor’s Depository Receipt

THB — Thailand Baht

USD — United States Dollar

ZAR — South African Rand

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $509,361

($ Thousands), and the unrealized appreciation and depreciation were $3,447

($ Thousands) and ($12,172)($ Thousands) respectively.

At June 30, 2012, the tax basis proceeds of the Fund’s written options was $415

($ Thousands), and the unrealized appreciation and depreciation were $0

($ Thousands) and ($251)($ Thousands) respectively.

For information on the Fund’s policy on valuation of investments and other significant accounting policies, please refer to the Trust’s most recent semi-annual and annual financial statements.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	295,676	$	—	$	296,676
Common Stock		143,828		—		—		143,828
Corporate Obligations		—		34,045		—		34,045
Mortgage-Backed Securities		—		16,523		—		16,523
Asset-Backed Securities		—		9,751		—		9,751
Purchased Options		421		—		—		421
Sovereign Debt		—		392		—		392

Total Investments in Securities	$	144,249	$	356,387	$	—	$	500,636


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(247	)	$	—		$	—	$	(247	)
Reverse Repurchase
Agreements		53,997			—			—		53,997
Forwards*		—			(1,321	)		—		(1,321	)
Credit Default Swaps*		—			(10	)		—		(10	)
Interest Rate Swaps*		—			(214	)		—		(214	)
Total Return Swaps*		—			3,260			—		3,260
Written Options		(164	)		—			—		(164	)

Total Other Financial Instruments	$	53,586		$	1,715		$	—	$	55,301

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

During the period ended June 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.

During the period ended June 30, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.

Additional Accounting Policies

The Fund may seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands (“Subsidiary”). The Subsidiary has entered into a separate advisory agreement with SEI Investments Management Corporation (“SIMC”) for the management of the Subsidiary’s Portfolio. Similar to the Fund, the Subsidiary uses a multi-manager approach under the general supervision at SIMC whereby the Subsidiary allocates its assets among one or more sub-advisers with differing philosophies and investment strategies. The Subsidiary, unlike the Fund, may invest to a significant extent in commodities, commodity contracts, commodity investments and derivative instruments. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. The Fund may invest up to 25% of its total assets in the Subsidiary. The derivative instruments in which a Subsidiary primarily intends to invest are instruments linked to certain commodity indices and instruments linked to the value of a particular commodity or commodity futures contract or a subset of commodities or commodity futures contracts.

The Fund has requested a private letter ruling from the IRS concluding that the income generated from its investment in the Subsidiary, which invests in commodity-linked derivatives, will be “qualifying income” for regulated investment company (RIC) qualification purposes, regardless of whether actual distributions are made to the Fund by the Subsidiary. In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The IRS subsequently stated that it intends to issue public guidance regarding the use of controlled foreign corporations by RICs to indirectly invest in commodities. It is unclear whether this guidance will continue to permit or somehow restrict the distributions from controlled foreign corporations to be treated as “qualifying income” for purposes of the RIC qualification rules. As a result, there can be no assurance that the IRS will grant the private letter ruling requested by the Fund. The IRS, however, has informally indicated that any guidance regarding the treatment of distributions from controlled foreign corporations will be prospective in application and provide for transition periods for affected RICs. While the private letter ruling request is pending with the IRS, the Fund has secured an opinion of counsel based on customary representations that actual distributions made to the Fund should be treated as “qualifying income.” If the IRS does issue public guidance that results in an adverse determination relating to the treatment of income and gain to the Fund from controlled foreign corporations such as the Subsidiary, the Fund would likely need to significantly change its investment strategy which could adversely affect the Fund.

As of June 30, 2012, the Multi-Asset Inflation Managed Fund is the seller (“providing protection”) on a total notional amount of $3.9 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 were 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:

[1] If Management uses credit ratings to evaluate the credit risk of an underlying asset, it may use such ratings in its disclosure by replacing credit spreads by credit ratings.


Description	Face Amount ($ Thousands)(1)		Market Value ($ Thousands)


U.S. GOVERNMENT AGENCY OBLIGATIONS (A) — 22.1%
FHLB
0.080%, 07/11/12	$	21,000	$	21,000
0.040%, 07/18/12		20,000		20,000
FNMA
0.050%, 07/05/12		25,000		24,999

Total U.S. Government Agency Obligations (Cost $65,999) ($ Thousands)				65,999


MORTGAGE-BACKED SECURITIES — 14.8%

Agency Mortgage-Backed Obligations — 14.8%
FHLMC
2.500%, 05/27/16		6,170		6,582
FNMA
5.250%, 09/15/16		5,500		6,504
FNMA TBA
3.500%, 07/01/41		29,545		31,054

Total Mortgage-Backed Securities (Cost $43,979) ($ Thousands)				44,140


SOVEREIGN DEBT — 13.8%
Bundesrepublik Deutschland
4.000%, 07/04/16	EUR	7,015		10,159
Canadian Government Bond
2.000%, 06/01/16	CAD	10,360		10,466
Japan Government Five Year Bond
0.500%, 03/20/16	JPY	823,750		10,462
United Kingdom Gilt
4.000%, 09/07/16	GBP	5,760		10,288

Total Sovereign Debt (Cost $41,629) ($ Thousands)				41,375


U.S. TREASURY OBLIGATIONS — 53.8%
U.S. Treasury Bills (A) (B)
0.069%, 07/12/12		21,000		21,000
0.056%, 07/26/12		25,000		24,999
0.045%, 07/19/12		20,000		20,000
0.040%, 07/05/12		28,000		28,000
U.S. Treasury Inflation Protected Security
2.625%, 07/15/17		1,286		1,527
2.500%, 07/15/16		1,731		1,981
2.375%, 01/15/17		1,497		1,728
2.125%, 01/15/19		1,245		1,490
2.000%, 01/15/14 to 01/15/16		6,012		6,403
1.875%, 07/15/13 to 07/15/19		5,275		5,756
1.625%, 01/15/15 to 01/15/18		3,288		3,601
1.375%, 07/15/18 to 01/15/20		3,053		3,522
1.250%, 04/15/14 to 07/15/20		4,102		4,574
1.125%, 01/15/21		3,017		3,471
0.625%, 07/15/21		3,202		3,567
0.500%, 04/15/15		1,993		2,069
0.125%, 04/15/16 to 01/15/22		8,707		9,148


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

U.S. Treasury Notes
1.750%, 05/31/16	$	17,205	$	17,990

Total U.S. Treasury Obligations (Cost $160,816) ($ Thousands)				160,826

Total Investments — 104.5% (Cost $312,423)($ Thousands) ‡			$	312,340

The open futures contracts held by the Fund at June 30, 2012, are as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
10-YR E-MINI Future		33		Sep-2012	$	17
Canadian 10-Year Bond		43		Sep-2012		47
E-MINI MSCI Future		93		Sep-2012		388
Euro-Bund		27		Sep-2012		(133	)
FIN FUT EUR		4		Sep-2012		(4	)
Long Gilt 10-Year Bond		24		Sep-2012		19
S&P 500 Index EMINI		121		Sep-2012		280
S&P TSE 60 Index		8		Sep-2012		7
U.S. 10-Year Treasury Note		92		Sep-2012		56

					$	677

A list of the outstanding forward foreign currency contracts held by the Fund at June 30, 2012, is as follows:


Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
8/3/12		EUR	8,344		USD	10,613	$	22
8/3/12-5/10/21		GBP	6,632		USD	10,435		35
8/8/12		JPY	833,337		USD	10,482		30
8/10/12		CAD	10,759		USD	10,490		(58	)
9/14/12		USD	1,023		CAD	1,053		9

							$	38

A list of the outstanding forward foreign currency contracts held by the Fund at June 30, 2012, is as follows:


Counterparty	Currency to Deliver (Thousands)			Currency to Receive (Thousands)	Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC		(22,056	)	22,126	$	70
HSBC		(20,958	)	20,926		(32	)

					$	38

A summary of outstanding swap agreements held by the Fund at June 30, 2012, is as follows:

Percentages are based on Net Assets of $299,015 ($Thousands).

(A)

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

(B)

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

(1)

In U.S. Dollars unless otherwise indicated.

CAD — Canadian Dollar

CDX.NA.HY — Credit Derivatives Index – North American High Yield

CDX.NA.IG — Credit Derivatives Index – North American Investment Grade

EUR — Euro

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound

JPY — Japanese Yen

PLC — Public Limited Company

S&P — Standard & Poor’s

TBA — To Be Announced

USD — U.S. Dollar

‡

At June 30, 2012, the tax basis cost of the Fund’s investments was $312,423 ($ Thousands), and the unrealized appreciation and depreciation were $662 ($ Thousands) and ($745) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Government Agency
Obligations	$	—	$	65,999	$	—	$	65,999
Mortgage-Backed Securities		—		44,140		—		44,140
Sovereign Debt		—		41,375		—		41,375
U.S. Treasury Obligations		—		160,826		—		160,826

Total Investments in Securities	$	—	$	312,340	$	—	$	312,340


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	677	$	—	$	—	$	677
Forwards Contracts *		—		38		—		38
Credit Default Swaps *		—		58		—		58

Total Other Financial Instruments	$	677	$	96	$	—	$	773

Futures contracts, Forwards and Swaps are valued at the unrealized appreciation on the instrument.

As of June 30, 2012, the Multi-Asset Capital Stability Fund is the seller (“providing protection”) on a total notional amount of $13.6 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 were 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:

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d15(b)) as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d)) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

(a) A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), are filed herewith.

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.


1		SEI Institutional Managed Trust / Quarterly Report / June 30, 2012


	Number of Shares		Acquisition Date		Right to Acquire Date		Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets
Titanium Asset
Management PIPE		2,000		10/06/09		10/06/09	$	8	$	2		0.00	%


	Common Stock
Beginning balance as of October 1, 2011	$	2
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		—
Net transfer in and/or out of Level 3		—

Ending balance as of June 30, 2012	$	2

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


	Number of Shares		Acquisition Date		Right to Acquire Date		Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets
Verde Realty PIPE		21,100		02/16/07		02/16/07	$	696	$	336		0.01	%


	Numberof Shares/		Acquisition Date		Right to Acquire Date		Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets
Verde Realty PIPE		21,400		02/16/07		02/16/07	$	706	$	341		0.18	%


	Investments in Securities
Beginning balance as of October 1, 2011	$	361
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(20	)
Net purchases/sales		—
Net transfer in and/or out of Level 3		—

Ending balance as of June 30, 2012	$	341

Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	(20	)


9		SEI Institutional Managed Trust / Quaretly Report / June 30, 2012


Description	Contracts			Market Value ($ Thousands)


WRITTEN OPTIONS — 0.0%
CDX.NA.HY.18 Future Call, Expires: 07/21/12, Strike Price: $88.00*		(9,124,000	)	$	(3	)
December 2012 2 Year Midcurve Put, Expires: 12/14/12, Strike Price: $98.25*		(273	)		(10	)
December 2012 3 Year Midcurve, Put, Expires: 12/14/12, Strike Price: $97.75*		(400	)		(38	)
December 2012 IMM Euro Future Put, Expires: 09/17/12, Strike Price: $98.88*		(100	)		(1	)
November 2020 U.S. CPI Consumers NSA Call, Expires: 11/21/20, Strike Inflation: 0.00%*		(3,990,000	)		(9	)

Total Written Options (Premiums Received $(382)) ($ Thousands) @				$	(61	)


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/Receives Rate			Termination Date		Notional Amount (Thousands)			Net Unrealized Depreciation ($Thousands)
Barclays Bank PLC	CMBX.NA.AJ.1 Index	BUY		(0.84	)		10/12/52		2,590		$	(1,088	)
Barclays Bank PLC	FRANCE 4.25, 4/19	SELL		0.25			09/20/16		(2,985	)		(19	)
Credit Suisse	CMBX.NA.AJ.1 Index	BUY		(0.84	)		10/12/49		3,055			(1,243	)
Deutsche Bank	METLIFE, INC.	SELL		1.00			06/20/18		(1,590	)		(109	)

											$	(2,459	)


WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CREDIT DEFAULT SWAPS						CREDIT DEFAULT SWAP INDEX
Reference Asset	Corporate Debt			Sovereign Debt			Asset Backed Securities		Corporate Debt		Total
Fair value of written credit derivatives	$	(166,131	)	$	(160,267	)		—		—	$	(326,398	)
Maximum potential amount of future payments		1,590,000			2,985,000			—		—	$	4,575,000
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection) [1]
Collateral held by the Partnership or other third parties which the Partnership can obtain upon occurrence of triggering event


MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
	0-6 months		6-12 months		1-5 years		5-10 years		More than 10 years		Total
Current credit spread* on underlying (in basis points) [1]
0 - 200	$	—	$	—	$	2,985,000	$	—	$	—	$	2,985,000
201 - 400		—		—		—		1,590,000		—		1,590,000
Greater than 400		—		—		—		—		—		—

Total	$	—	$	—	$	2,985,000	$	1,590,000	$	—	$	4,575,000


	Number of Shares/ Face Amount ($Thousands)		Acquisition Date		Right to Acquire Date		Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets
Aventine (Escrow Security)	$	2,750		04/21/10		04/21/10	$	—	$	8		0.00	%
CUI Acquisition Warrants		47		09/06/11		09/06/11		4,033		2,159		0.13
Momentive Performance Materials PIK		1,996		12/07/10		12/07/10		1,832		1,450		0.09
VSS AHC, Cl A		27,106		10/08/09		10/08/09		485		323		0.02

							$	6,350	$	3,940		0.24	%


	Corporate Obligations			Collateralized Debt Obligations			Loan Participations			Asset- Backed Securities
Beginning balance as of October 1, 2011	$	6,515		$	108,629		$	12,005		$	1,310
Accrued discounts/premiums		34			1,359			19			3
Realized gain/(loss)		(2,210	)		3,335			14			—
Change in unrealized appreciation/(depreciation)		1,774			6,060			(50	)		(102	)
Purchases		1,808			82,207			2,525			3,369
Sales		(1,657	)		(52,561	)		(5,964	)		—
Net transfer into Level 3		1,075			—			—			—
Net transfer out of Level 3		(4,559	)		—			(2,308	)		(1,310	)

Ending balance as of June 30, 2012	$	2,780		$	149,029		$	6,241		$	3,270

Changes in unrealized gains (losses) included in earnings Related to securities held at reporting date	$	(476	)	$	7,181		$	(98	)	$	—


	Convertible Bonds			Common Stock			Warrants			Auction Rate Preferred
Beginning balance as of October 1, 2011	$	982		$	401		$	2,948		$	9,620
Accrued discounts/premiums		—			—			—			—
Realized gain/(loss)		5			(84	)		—			1,313
Change in unrealized appreciation/(depreciation)		—			136			(789	)		(444	)
Purchases		—			—			—			—
Sales		(5	)		(5	)		—			(8,701	)
Net transfer into Level 3		—			—			—			—
Net transfer out of Level 3		(978	)		—			—			—

Ending balance as of June 30, 2012	$	4		$	448		$	2,159		$	1,788

Changes in unrealized gains (losses) included in earnings Related to securities held at reporting date	$	—		$	47		$	(789	)	$	146


Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Appreciation (Depreciation) ($ Thousands)
9/19/12	BRL	1,100	USD	522	$	(15	)
9/19/12	EUR	600	USD	751		(11	)
9/19/12	SGD	500	USD	391		(4	)
9/19/12	TRY	100	USD	54		—
9/19/12	TWD	8,700	USD	291		—
9/19/12	USD	1,804	EUR	1,420		—
9/19/12	USD	304	ILS	1,200		3
9/19/12	USD	792	KRW	923,700		12
9/19/12	USD	1,913	MXP	26,700		61
9/19/12	ZAR	1,200	USD	140		(5	)
9/19/12	BRL	200	USD	96		(2	)
9/19/12	EUR	2,800	USD	3,534		(22	)
9/19/12	ILS	4,600	USD	1,189		15
9/19/12	RUB	705	USD	21		—
9/19/12	TWD	47,500	USD	1,594		2
9/19/12	USD	2,474	KRW	2,879,500		35
9/19/12	USD	260	MXP	3,600		6
9/19/12	USD	867	SGD	1,100		1
9/19/12	USD	3,264	TRY	6,000		(1	)
9/19/12	USD	802	ZAR	6,700		8
9/19/12	BRL	300	USD	145		(1	)
9/19/12	EUR	2,774	USD	3,436		(87	)
9/19/12	GBP	35,196	USD	54,443		(738	)
9/19/12	MXP	18,200	USD	1,268		(78	)
9/19/12	RUB	138,159	USD	4,213		14
9/19/12	SGD	700	USD	545		(8	)
9/19/12	TRY	4,400	USD	2,321		(72	)
9/19/12	TWD	35,500	USD	1,188		(2	)
9/19/12	USD	15,442	EUR	12,344		233
9/19/12	USD	5,560	ILS	21,600		(44	)
9/19/12	USD	124	KRW	146,700		4
9/19/12	USD	23,279	MXP	330,100		1,120
9/19/12	USD	10,974	SGD	14,000		82
9/19/12	USD	10,780	TWD	322,100		14
9/19/12	USD	1,093	ZAR	9,300		31
9/19/12	BRL	2,100	USD	1,005		(20	)
9/19/12	EUR	171,083	USD	214,118		(3,136	)
9/19/12	USD	7,202	BRL	14,900		76


Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
(continued)
9/19/12	USD	3,003	EUR	2,393	$	36
9/19/12	USD	359	ILS	1,400		(1	)
9/19/12	USD	13,877	KRW	16,371,900		388
9/19/12	USD	595	MXP	8,400		26
9/19/12	USD	390	SGD	500		5
9/19/12	USD	25,116	TRY	46,900		388
9/19/12	USD	432	TWD	12,900		–
9/19/12	USD	516	ZAR	4,400		16

					$	(1,671	)


Counterparty	Currency to Deliver ($Thousands)		Currency to Receive ($Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
JPMorgan Chase		6,998		7,038	$	40
Liquidnet		14,108		14,151		43
RBS Securities		135,781		136,250		469
Royal Bank of Scotland		269,770		267,547		(2,223	)

					$	(1,671	)


SIMT MULTI-ASSET INFLATION
WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CREDIT DEFAULT SWAPS				CREDIT DEFAULT SWAP INDEX
Reference Asset	Corporate Debt		Sovereign Debt		Asset Backed Securities		Corporate Debt			Total
Fair value of written credit derivatives		—		—		—	$	(12,493	)	$	(12,493	)
Maximum potential amount of future payments		—		—		—	$	(3,900,000	)	$	(3,900,000	)
Recourse provisions with third parties to recover any amountspaid under the credit derivative (including any purchased credit protection) [1]		—		—		—		—			—
Collateral held by the Partnership or other third parties which the Partnership can obtain upon occurrence of triggering event		—		—		—		—			—


SIMT MULTI-ASSET CAPITAL STABILTY
WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CREDIT DEFAULT SWAPS				CREDIT DEFAULT SWAP INDEX
Reference Asset	Corporate Debt		Sovereign Debt		Asset Backed Securities		Corporate Debt			Total
Fair value of written credit derivatives		—		—		—	$	(252,034	)	$	(252,034	)
Maximum potential amount of future payments		—		—		—	$	(13,601,714	)	$	(13,601,714	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)[1]		—		—		—		—			—
Collateral held by the Partnership or other third parties which the Partnership can obtain upon occurrence of triggering event		—		—		—		—			—


SEI Institutional Managed Trust

By		/S/ ROBERT A. NESHER
		Robert A. Nesher, President & CEO



By		/S/ ROBERT A. NESHER
		Robert A. Nesher, President & CEO

Date: August 29, 2012

By		/S/ PETER A. RODRIGUEZ
		Peter A. Rodriguez, Controller & CFO

Date: August 29, 2012