N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-5028

PIMCO Funds

(Exact name of registrant as specified in charter)

840 Newport Center Drive, Newport Beach, CA 92660

(Address of principal executive offices)

John P. Hardaway

Treasurer

PIMCO Funds

840 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

Brendan Fox

Dechert LLP

1775 I Street, N.W.

Washington, D.C. 20006

Registrant’s telephone number, including area code: (866) 746-2606

Date of fiscal year end: March 31

Date of reporting period: April 1, 2005 - June 30, 2005

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5(§§ 239.24 and 274.9 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policy making rules.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments.

Table of Contents

PIMCO Funds

    -All Asset All Authority Fund

    -All Asset Fund

    -California Intermediate Municipal Bond Fund

    -California Municipal Bond Fund

    -CommodityRealReturn Strategy Fund

    -Developing Local Markets Fund

    -Convertible Fund

    -Diversified Income Fund

    -Emerging Markets Bond Fund

    -European Convertible Fund

    -European StocksPLUS TR Strategy Fund

    -Far East (ex-Japan) StocksPLUS TR Strategy Fund

    -Floating Income Fund

    -Foreign Bond Fund (U.S. Dollar-Hedged)

    -Foreign Bond Fund (Unhedged)

    -Fundamental IndexPLUS Fund

    -Fundamental IndexPLUS TR Fund

    -Global Bond Fund (Unhedged)

    -Global Bond Fund (U.S. Dollar-Hedged)

    -GNMA Fund

    -High Yield Fund

    -International StocksPLUS TR Strategy Fund

    -Investment Grade Corporate Bond Fund

    -Japanese StocksPLUS TR Strategy Fund

    -Long-Term U.S. Government Fund

    -Low Duration Fund

    -Low Duration Fund II

    -Low Duration Fund III

    -Moderate Duration Fund

    -Money Market Fund

    -Municipal Bond Fund

    -New York Municipal Bond Fund

    -Real Return Asset Fund

    -Real Return Fund

    -Real Return Fund II

    -RealEstateRealReturn Strategy Fund

    -Short Duration Municipal Income Fund

    -Short-Term Fund

    -StocksPLUS Fund

    -StocksPLUS Total Return Fund

    -StocksPLUS TR Short Strategy Fund

    -Total Return Fund

    -Total Return Fund II

    -Total Return Fund III

    -Total Return Mortgage Fund

    -Asset-Backed Securities Portfolio

    -Emerging Markets Portfolio

    -Developing Local Markets Portfolio

    -High Yield Portfolio

    -International Portfolio

    -Investment Grade Corporate Portfolio

    -Mortgage Portfolio

    -Municipal Sector Portfolio

    -Real Return Portfolio

    -Short-Term Portfolio

    -Short-Term Portfolio II

    -U.S. Government Sector Portfolio

Schedule of Investments

All Asset All Authority Fund (a)

June 30, 2005 (Unaudited)

	Shares			Value (000s)
PIMCO FUNDS (b) 122.8%
CommodityRealReturn Strategy		1,011,576		$	15,791
Convertible		35,112			418
Developing Local Markets		856,955			8,604
Emerging Markets Bond		2,710,166			30,272
European Convertible		50,591			601
Far East (ex-Japan) StocksPLUS TR Strategy		57,695			655
Floating Income		3,080,043			31,632
Foreign Bond (Unhedged)		2,020,725			21,137
Fundamental IndexPLUS TR		297,098			2,971
Global Bond Fund (Unhedged)		22,955			229
GNMA		788,869			8,772
High Yield		3,110,700			30,640
Japanese StocksPLUS TR Strategy		235,095			2,459
Long-Term U.S. Government		20,434			234
Low Duration		57			0
Real Return		1,372,935			15,844
Real Return Asset		1,800,946			22,206
RealEstateRealReturn Strategy		1,602,735			17,518
StocksPLUS Total Return		62			1
StocksPLUS TR Short Strategy		2,551,681			24,726
Total Return		734,535			7,940
Total Return Mortgage		1,112,236			11,979
Total PIMCO Funds (Cost $248,249)					254,629
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 5.1%
Repurchase Agreement 5.1%
State Street Bank
2.650% due 07/01/2005	$	10,467			10,467
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $10,680. Repurchase proceeds are $10,468.)
Total Short-Term Instruments (Cost $10,467)					10,467
Total Investments (Cost $258,716)		127.9	%	$	265,096
Other Assets and Liabilities (Net)		(27.9	%)		(57,864	)
Net Assets		100.0	%	$	207,232

Notes to Schedule of Investments:

(a) The Fund is investing in shares of affiliated Funds.

(b) Institutional Class shares of each PIMCO Fund.

See accompanying notes

Schedule of Investments

All Asset Fund (a)

June 30, 2005 (Unaudited)

	Shares			Value (000s)
PIMCO FUNDS (b) 99.1%
CommodityRealReturn Strategy		36,820,636		$	574,770
Convertible		3,393,204			40,379
Developing Local Markets		20,352,733			204,341
Emerging Markets Bond		90,269,925			1,008,315
European Convertible		5,078,386			60,331
Floating Income		86,155,071			884,813
Foreign Bond (Unhedged)		44,268,617			463,050
Fundamental IndexPLUS		4,186,301			41,863
Fundamental IndexPLUS TR		16,661,484			166,615
GNMA		31,447,957			349,701
High Yield		74,648,092			735,284
International StocksPLUS TR Strategy		8,585,297			95,125
Long-Term U.S. Government		1,582,299			18,149
Real Return		43,013,380			496,374
Real Return Asset		46,311,175			571,017
RealEstateRealReturn Strategy		51,523,872			563,156
Short-Term		20,052,143			200,922
StocksPLUS		7,282,125			70,928
StocksPLUS Total Return		8,132,062			104,009
Total Return		22,338,352			241,478
Total Return Mortgage		33,273,245			358,353
Total PIMCO Funds (Cost $7,025,804)					7,248,973
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.3%
Repurchase Agreement 0.3%
State Street Bank
2.650% due 07/01/2005	$	25,341			25,341
(Dated 06/30/2005. Collateralized by Federal Farm Credit Bank 2.500% due 11/15/2005 valued at $25,849. Repurchase proceeds are $25,343.)
Total Short-Term Instruments (Cost $25,341)					25,341
Total Investments (Cost $7,051,145)		99.4	%	$	7,274,314
Other Assets and Liabilities (Net)		0.6	%		41,349
Net Assets		100.0	%	$	7,315,663

Notes to Schedule of Investments:

(a) The Fund is investing in shares of affiliated Funds.

(b) Institutional Class shares of each PIMCO Fund.

See accompanying notes

Schedule of Investments

California Intermediate Municipal Bond Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.9%
Banking & Finance 0.9%
General Motors Acceptance Corp.
4.100% due 07/16/2007 (a)	$	1,200		$	1,159
Total Corporate Bonds & Notes (Cost $1,141)					1,159
MUNICIPAL BONDS & NOTES 91.3%
California 74.2%
Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998
5.500% due 09/02/2012		1,180			1,207
Anaheim, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 1999
4.625% due 10/01/2027 (a)		150			151
Antioch, California Public Financing Authority Reassessment Revenue Bonds, Series 1998-B
5.500% due 09/02/2008		470			488
Association of Bay Area Governments Finance Authority Corp., California Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,000			2,109
Association of Bay Area Governments Financing for Non-Profit Corp. Authority Revenue Bonds, (California Mtg. Insured), Series 2001
5.250% due 04/01/2026		2,000			2,115
Banning, California Unified School District General Obligation Bonds, (FSA Insured), Series 2003
4.000% due 08/01/2011		175			184
4.000% due 08/01/2012		225			236
California Educational Facilities Authority Revenue Bonds, Series 2005
5.000% due 10/01/2012		540			586
5.000% due 10/01/2013		570			620
California Educational Facilities Authority Revenue Bonds, Series 1997-A
5.700% due 10/01/2015		135			147
California Health Facilities Financing Authority Revenue Bonds, (California Mtg. Insured), Series 2000
5.000% due 09/01/2010		350			373
California Housing Finance Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996
5.950% due 02/01/2011		35			36
California Infrastructure & Economic Development Bank Revenue Bonds, Series 2005
5.000% due 07/01/2012		375			412
5.000% due 03/01/2013		1,000			1,100
California Pollution Control Financing Authority Revenue Bonds, Series 1989
2.100% due 12/01/2012 (a)		200			200
California State Coast Community College District General Obligation Bonds, (MBIA Insured), Series 2003
5.000% due 08/01/2018		1,000			1,114
California State Department of Veterans Affairs Home Purchasing Revenue Bonds, (State Street B&T Co. Insured), Series 2003
2.140% due 12/01/2028 (a)		1,205			1,205
California State Department of Water Revenue Bonds, (State Street B&T Co. Insured) Series 2002
2.200% due 05/01/2022 (a)		2,400			2,400
California State Department of Water Resources Central Valley Project Revenue Bonds, Series 1997
5.000% due 12/01/2022		125			131
California State Encinitas Union School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 08/01/2018		1,500			862
California State General Obligation Bonds, Series 2000
5.700% due 12/01/2032		160			163
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		1,000			1,057
California Statewide Communities Development Authority Apartment Development Revenue Bonds, Series 1998-A-3
5.100% due 05/15/2025		2,000			2,098
California Statewide Communities Development Authority Revenue Bonds, (California Mtg. Insured), Series 2002
6.750% due 07/01/2032 (e)		1,300			1,415
California Statewide Communities Development Authority Revenue Bonds, Series 1998
5.250% due 05/15/2025		1,000			1,047
California Statewide Communities Development Authority Revenue Bonds, Series 2001
5.000% due 10/01/2018		2,000			2,109
California Statewide Communities Development Authority Revenue Bonds, Series 2002
5.500% due 08/15/2034		1,000			1,062
California Statewide Communities Development Authority Revenue Bonds, Series 2004
3.450% due 04/01/2035 (a)		3,400			3,368
California Statewide Communities Development Authority Revenue Bonds, Series 2005
5.000% due 07/01/2013		850			926
California Statewide Financing Authority Tobacco Settlement Revenue Bonds, Series 2002
4.600% due 05/01/2012		1,030			1,070
Campbell, California Redevelopment Agency Tax Allocation Bonds, Series 2002
4.700% due 10/01/2011		505			520
Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1997
7.100% due 09/01/2021		1,840			2,010
Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999
5.700% due 09/01/2020		1,500			1,688
Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 2003
5.250% due 09/01/2016		700			721
5.375% due 09/01/2017		800			828
Chaffey, California Unified High School District, Series 2005
5.000% due 08/01/2011		475			525
Chico, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1996
5.200% due 04/01/2011		485			497
Chula Vista, California Special Tax Bonds, Series 2000-1
6.350% due 09/01/2017		230			246
6.400% due 09/01/2018		120			128
Contra Costa County Public Financing Authority Revenue Bonds, Series 2003
5.625% due 08/01/2033		2,000			2,127
Corona, California Community Facilities District Special Tax Bonds, Series 1998
5.875% due 09/01/2023		1,000			1,031
Escondido, California Union High School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 11/01/2018		4,675			2,691
Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue Bonds, Series 2003-A1
5.000% due 06/01/2021		4,780			4,834
Irvine, California Improvement Revnue Bonds, (State Street B&T Co. Insured), Series 1997
2.200% due 09/02/2022 (a)		700			700
Irvine, California Improvement General Obligation Bonds, Series 2025
2.300% due 09/02/2025 (a)		2,250			2,250
Los Altos, California School District General Obligation Bonds, Series 2001
5.000% due 08/01/2016		200			215
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2003
5.000% due 08/01/2011		310			342
Los Angeles, California Department of Water & Power Revenue Bonds, (MBIA Insured), Series 2001
5.250% due 07/01/2013		1,500			1,662
Los Angeles, California Municipal Improvement Corp. Revenue Bonds, (FGIC Insured), Series 2002
5.250% due 09/01/2013		1,000			1,131
Los Angeles, California State Building Authority Lease Revenue Bonds, Series 1999-A
4.600% due 10/01/2007		150			155
Los Angeles, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1997
6.000% due 07/01/2011		1,360			1,570
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999-C
4.750% due 07/01/2010		30			32
Lucia Mar Unified School District, California General Obligation Bonds, (FSA Insured), Series 2002
5.000% due 08/01/2022		1,215			1,307
Madera, California Unified School District General Obligation Bonds, (FGIC Insured), Sereis 2005
5.000% due 08/01/2013		1,180			1,312
Metropolitan Water District of Southern California Revenue Bonds, (Westdeutsche Landes Bank Insured), Series 2000
2.300% due 07/01/2035 (a)		2,400			2,400
Metropolitan Water District Southern California General Obligation Bonds, Series 1993-A1
7.250% due 03/01/2007		150			161
Metropolitan Water District Southern California Waterworks Revenue Bonds, (Lloyds TSB Bank PLC Insured), Series 2001
2.450% due 07/01/2036 (a)		1,600			1,600
Milpitas, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2003
5.000% due 09/01/2012		1,185			1,313
Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001
6.350% due 09/01/2025		580			592
6.400% due 09/01/2031		700			715
Newport Beach, California Revenue Bonds, Series 1992
2.240% due 10/01/2022 (a)		1,175			1,175
Newport Mesa, California Unified School District General Obligation Bonds, Series 2003
5.000% due 08/01/2011		605			663
Oak Grove, California School District General Obligation Bonds, (MBIA Insured), Series 2005
5.250% due 08/01/2013		540			612
Orange County, California Community Facilities District Special Tax Bonds, Series 2000
5.600% due 08/15/2011		455			491
5.700% due 08/15/2012		485			525
5.800% due 08/15/2013		600			651
6.200% due 08/15/2018		1,025			1,122
Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011		3,250			3,722
Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A
6.000% due 06/01/2010		1,000			1,135
Pomona, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 02/01/2011		1,635			1,793
Port of Oakland, California Revenue Bonds, (FGIC Insured), Series 2000
5.500% due 11/01/2009		500			544
Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000
5.200% due 11/01/2010		250			277
Sacramento, California Municipal Utility District Revenue Bonds, Series 1983-M
9.000% due 04/01/2013		830			1,032
San Diego County, California Water Authority Certificates of Participation, Series 2004
7.490% due 05/01/2032 (a)		4,500			4,987
San Diego, California Water District Revenue Bonds, (FGIC Insured), Series 2004
5.000% due 10/01/2012		615			684
San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FSA Insured), Series 1998-16A
5.500% due 05/01/2015		300			321
San Jose, California Multifamily Housing Revenue Bonds, (Bay View Bank & Federal Home Loan Bank Insured), Series 1999
4.950% due 06/01/2039		960			1,007
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993
6.000% due 08/01/2010		600			683
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.000% due 08/01/2022		2,000			2,153
San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979
8.000% due 10/01/2011		100			114
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		6,500			3,750
Santa Margarita/Dana Point, California Authority Revenue Bonds, (MBIA Insured), Series 1994-A
7.250% due 08/01/2006		150			157
South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 2003
5.125% due 10/01/2009		500			506
Southeast Resource Recovery Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 12/01/2011		1,125			1,245
Stockton, California Certificates of Participation Bonds, Series 1999
4.750% due 08/01/2006		120			122
Sulphur Springs, California Union School District General Obligation Bonds, (MBIA Insured), Series 1991
0.000% due 09/01/2009		1,485			1,305
Vernon, California Electric Systems Revenue Bonds, Series 2003
5.000% due 04/01/2010		1,135			1,205
					97,275
Illinois 3.0%
Illinois Educational Facilities Authority Revenue Bonds, Series 1993
9.270% due 07/01/2012 (a)		1,400			1,439
Will County, Illinois Forest Preservation District General Obligation Bonds, Series 1999
0.000% due 12/01/2016		4,000			2,490
					3,929
Louisiana 0.8%
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,000			1,044
New Jersey 0.3%
New Jersey Economic Development Authority Revenue Bonds, Series 1998
6.800% due 04/01/2018 (a)		250			282
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.125% due 06/01/2024		150			160
					442
Puerto Rico 8.4%
Puerto Rico Children Trust Fund Tobacco Settlement Revenue Bonds, Series 2002
5.000% due 05/15/2009		1,000			1,056
Puerto Rico Commonwealth General Obligation Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2012		1,000			1,141
Puerto Rico Commonwealth General Obligation Bonds, Series 1998
5.750% due 07/01/2012		1,000			1,157
Puerto Rico Commonwealth Highway & Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2013		250			289
Puerto Rico Commonwealth Highway & Transportation Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 07/01/2026 (a)		1,175			1,271
Puerto Rico Commonwealth Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998-A
5.250% due 07/01/2010		150			162
Puerto Rico Public Buildings Authority Revenue Bonds, (Commonwealth GTD insured), Series 2004
5.000% due 07/01/2028		2,150			2,315
Puerto Rico Public Finance Corp. Revenue Bonds, (Local Government Development Bank for Puerto Rico Insured), Series 2004
5.750% due 08/01/2027 (a)		3,250			3,613
					11,004
Texas 0.2%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
7.440% due 02/15/2024 (a)		250			268
Virgin Islands 4.4%
Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C
5.500% due 10/01/2007		1,500			1,559
5.500% due 10/01/2008		3,000			3,145
Virgin Islands Public Finance Refinery Facilities Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,000			1,100
					5,804
Total Municipal Bonds & Notes (Cost $115,104)					119,766
SHORT-TERM INSTRUMENTS 0.6%
Repurchase Agreement 0.1%
State Street Bank
2.650% due 07/01/2005		192			192
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $201. Repurchase proceeds are $192.)
U.S. Treasury Bill 0.5%
2.970% due 09/15/2005 (c)		595			591
Total Short-Term Instruments (Cost $783)					783
Total Investments (b) (Cost $117,028)		92.8	%	$	121,708
Written Options (d) (Premiums $28)		(0.1	%)		(103	)
Other Assets and Liabilities (Net)		7.3	%		9,481
Net Assets		100.0	%	$	131,086

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) As of June 30, 2005, portfolio securities with an aggregate market value of $700 were valued with reference to securities whose prices are more readily obtainable.

(c) Securities with an aggregate market value of $591 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
U.S. Treasury 30-Year Bond Short Futures	09/2005	55	$	(40	)

(d) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	113.000	08/26/2005	88	$	75	$	103

(e) Restricted security as of June 30, 2005:

Issuer Description	Coupon (%)	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
California Statewide Communities Development Authority Revenue Bonds, (California Mtg. Insures), Series 2002	6.750	07/01/2032	02/07/2002 and 08/29/2002	$	1,300	$	1,415	1.08	%

See accompanying notes

Schedule of Investments

California Municipal Bond Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.8%
Banking & Finance 0.8%
General Motors Acceptance Corp.
4.100% due 07/16/2007 (a)	$	150		$	145
Total Corporate Bonds & Notes (Cost $143)					145
MUNICIPAL BONDS & NOTES 96.4%
California 79.6%
California Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 1999
0.000% due 09/01/2010		500			423
California Infrastructure & Economic Development Bank Revenue Bonds, Series 2004
5.000% due 10/01/2012		250			276
California Statewide Communities Development Authority Revenue Bonds, (California Mtg. Insured), Series 2002
6.750% due 07/01/2032 (d)		250			272
California Statewide Communities Development Authority Revenue Bonds, (RADIAN Insured), Series 2005
5.000% due 04/01/2011		500			535
California Statewide Communities Development Authority Revenue Bonds, Series 2001
5.125% due 10/01/2030		400			414
California Statewide Tobacco Settlement Financing Authority Revenue Bonds, Series 2002
4.875% due 05/01/2014		295			305
Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999
5.700% due 09/01/2020		400			450
Chula Vista, California Special Tax Bonds, Series 2000-1
6.400% due 09/01/2018		125			133
Corona, California Community Facilities District Special Tax Bonds, Series 1998
5.875% due 09/01/2023		150			155
Escondido, California Union High School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 11/01/2018		600			345
Fresno, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2002
6.000% due 08/01/2026		500			630
Los Angeles, California Department of Water & Power Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2022		500			536
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2003
5.250% due 07/01/2019		750			834
Los Angeles, California Water & Power Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2011		500			552
Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001
6.350% due 09/01/2025		55			56
Newport Mesa, California Unified School District General Obligation Bonds, Series 2003
5.000% due 08/01/2011		500			548
Orange County, California Development Agency Tax Allocation Bonds, (AMBAC Insured), Series 2003
4.500% due 09/01/2011		500			537
Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011		750			859
Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A
6.000% due 06/01/2010		400			454
Orange County, California Sanitation District Certificates of Participation Bonds, (SPA-DEXIA Public Finance Insured), Series 2000
2.200% due 08/01/2030 (a)		700			700
Orange County, California Transportation Authority Toll Road Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 08/15/2011		750			829
Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998
5.125% due 10/01/2024		400			419
Placer, California Unified High School District General Obligation Bonds, (FGIC Insured), Series 2000
0.000% due 08/01/2018		1,450			834
San Bernardino County, California Certificates of Participation Bonds, (MBIA Insured), Series 2001
4.000% due 11/01/2012		50			52
San Diego County, California Water Authority Certificate of Participation Bonds, (MBIA Insured), Series 2002
5.000% due 05/01/2032		1,000			1,054
San Joaquin Hills, California Transportation Corridor Agency Toll Road Revenue Bonds, (MBIA Insured), Series 1997
0.000% due 01/15/2032		500			140
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993
6.000% due 08/01/2010		100			114
6.000% due 08/01/2010		200			227
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		750			433
Santa Ana, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 07/01/2011		500			549
					13,665
Louisiana 4.5%
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		750			783
Massachusetts 0.7%
Massachusetts State College Building Authority Revenue Bonds, Series 2003
5.500% due 05/01/2033		100			119
New Jersey 3.3%
New Jersey Economic Development Authority Revenue Bonds, Series 1998
6.800% due 04/01/2018 (a)		500			563
Puerto Rico 2.2%
Puerto Rico Public Finance Corp. Revenue Bonds, (Local Government Development Bank for Puerto Rico Insured), Series 2004
5.750% due 08/01/2027 (a)		350			389
Texas 2.0%
Coppell, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
0.000% due 08/15/2016		535			338
Virgin Islands 4.1%
Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C
5.500% due 10/01/2008		405			425
Virgin Islands Public Finance Refinery Facilities Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		250			275
					700
Total Municipal Bonds & Notes (Cost $15,732)					16,557
SHORT-TERM INSTRUMENTS 3.8%
Repurchase Agreement 2.5%
State Street Bank
2.650% due 07/01/2005		426			426
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $437. Repurchase proceeds are $426.)
U.S. Treasury Bill 1.3%
2.977% due 09/15/2005 (b)		220			218
Total Short-Term Instruments (Cost $645)					644
Total Investments (Cost $16,520)		101.0	%	$	17,346
Written Options (c) (Premiums $24)		(0.2	%)		(33	)
Other Assets and Liabilities (Net)		(0.8	%)		(146	)
Net Assets		100.0	%	$	17,167

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Securities with an aggregate market value of $218 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
U.S. Treasury 30-Year Bond Short Futures	09/2005	5	$	(4	)

(c) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	113.000	08/26/2005	28	$	24	$	33

(d) Restricted security as of June 30, 2005:

Issuer Description	Coupon Rate		Maturity Date	Acquisition Date	Cost as of June 30, 2005		Market Value as of June 30, 2005		Market Value as Percentage of Net Assets
California Statewide Communities Development Authority Revenue Bonds, (California Mtg. Insured), Series 2002	6.750	%	07/01/2032	07/01/2005	$	250	$	272	1.58	%

See accompanying notes

Schedule of Investments

CommodityRealReturn Strategy Fund

June 30, 2005 (unaudited)

		Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.8%
Banking & Finance 0.7%
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)	$	3,100		$	3,099
7.600% due 08/01/2005		11,800			11,827
4.389% due 03/21/2007 (a)		1,500			1,469
5.800% due 01/12/2009		5,400			5,130
5.700% due 01/15/2010		800			739
General Motors Acceptance Corp.
4.145% due 05/18/2006 (a)		14,100			14,037
4.050% due 01/16/2007 (a)		23,600			23,094
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		2,000			2,057
6.620% due 07/03/2008 (a)		1,240			1,060
Residential Reinsurance Ltd.
8.280% due 06/08/2006 (a)		500			487
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100			99
Vita Capital Ltd.
4.450% due 01/01/2007 (a)		2,200			2,205
4.540% due 01/01/2010 (a)		1,500			1,503
					66,806
Industrials 0.1%
Pemex Project Funding Master Trust
7.375% due 12/15/2014		250			281
9.250% due 03/30/2018		8,300			10,748
8.625% due 02/01/2022		200			247
					11,276
Utilities 0.0%
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100			107
Total Corporate Bonds & Notes (Cost $77,641)					78,189
MUNICIPAL BONDS & NOTES 0.2%
Badger Tobacco Securitization Agency, Wisconsin Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,200			1,282
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		1,475			1,494
Connecticut State General Obligation Bonds, (MBIA Insured), Series 2004-A
5.000% due 03/01/2013		3,190			3,538
Kansas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003-A
5.000% due 09/01/2013		1,600			1,776
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,140			1,191
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2042		445			467
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		2,300			2,571
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		1,200			1,267
South Carolina State Tobacco Securitization Agency Revenue Bonds, Series 2001-B
6.375% due 05/15/2028		1,000			1,065
Washington Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		3,270			3,576
Total Municipal Bonds & Notes (Cost $15,956)					18,227
U.S. GOVERNMENT AGENCIES 0.1%
Freddie Mac
7.500% due 10/25/2043		6,333			6,809
Total U.S. Government Agencies (Cost $6,889)					6,809
U.S. TREASURY OBLIGATIONS 100.4%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007		243,449			251,257
3.625% due 01/15/2008		483,170			511,425
3.875% due 01/15/2009		447,104			486,627
4.250% due 01/15/2010		519,393			584,642
0.875% due 04/15/2010		125,497			122,438
3.500% due 01/15/2011		302,255			335,090
3.375% due 01/15/2012		5,205			5,813
3.000% due 07/15/2012		1,235,859			1,357,804
1.875% due 07/15/2013		333,362			340,589
2.000% due 01/15/2014		835,192			860,542
2.000% due 07/15/2014		1,113,141			1,147,362
1.625% due 01/15/2015		630,298			628,205
2.375% due 01/15/2025		896,598			981,740
3.625% due 04/15/2028		604,132			811,921
3.875% due 04/15/2029		464,250			652,634
3.375% due 04/15/2032		27,402			37,285
U.S. Treasury Bonds
8.875% due 08/15/2017		20,000			29,074
6.250% due 08/15/2023		3,000			3,740
6.625% due 02/15/2027		13,400			17,789
U.S. Treasury Notes
3.625% due 04/30/2007		100,000			99,977
4.875% due 02/15/2012		132,400			140,654
4.125% due 05/15/2015		31,600			32,072
Total U.S. Treasury Obligations (Cost $9,338,871)					9,438,680
MORTGAGE-BACKED SECURITIES 0.1%
Countrywide Home Loan Mortgage Pass-Through Trust
3.654% due 06/25/2035 (a)		12,100			12,104
Total Mortgage-Backed Securities (Cost $12,100)					12,104
ASSET-BACKED SECURITIES 0.3%
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		3,600			3,598
Citigroup Mortgage Loan Trust, Inc.
3.404% due 05/25/2035 (a)		1,914			1,916
Oak Capital Ltd.
6.910% due 09/15/2005 (a)		500			504
Quest Trust
3.494% due 03/25/2035 (a)		5,417			5,414
Redwood Capital Ltd.
5.400% due 01/01/2006 (a)		7,300			7,292
6.950% due 01/01/2006 (a)		7,300			7,294
Wells Fargo Home Equity Trust
3.474% due 09/25/2034 (a)		1,572			1,573
Total Asset-Backed Securities (Cost $27,611)					27,591
SOVEREIGN ISSUES 0.9%
Republic of Brazil
4.250% due 04/15/2006 (a)		80			80
4.313% due 04/15/2009 (a)		47			47
11.000% due 01/11/2012		4,000			4,770
4.313% due 04/15/2012 (a)		6,506			6,295
8.000% due 04/15/2014		20,213			20,834
11.000% due 08/17/2040		200			241
Russian Federation
10.000% due 06/26/2007		4,000			4,413
8.250% due 03/31/2010 (a)		11,200			12,246
5.000% due 03/31/2030 (a)		29,700			33,230
United Mexican States
6.375% due 01/16/2013		1,200			1,291
Total Sovereign Issues (Cost $79,390)					83,447
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 0.9%
Commonwealth of Canada
3.000% due 12/01/2036 (b)	C$	26,005			26,449
Kingdom of Spain
5.750% due 07/30/2032	EC	5,000			8,191
Pylon Ltd.
3.616% due 12/18/2008 (a)		2,600			3,317
6.016% due 12/22/2008 (a)		4,300			5,509
Republic of France
3.000% due 07/25/2012 (b)		10,678			14,851
3.150% due 07/25/2032 (b)		1,047			1,716
5.750% due 10/25/2032		6,500			10,676
Republic of Germany
6.250% due 01/04/2030		5,100			8,767
Republic of Italy
2.150% due 09/15/2014 (b)		4,170			5,437
Total Foreign Currency-Denominated Issues (Cost $80,811)					84,913
SHORT-TERM INSTRUMENTS 15.1%
Commercial Paper 5.7%
Fannie Mae
2.967% due 07/01/2005	$	259,700			259,700
Federal Home Loan Bank
2.963% due 07/01/2005		259,700			259,700
UBS Finance Delaware LLC
3.365% due 10/14/2005		19,800			19,601
					539,001
Repurchase Agreements 3.1%
Credit Suisse First Boston
2.700% due 07/01/2005		281,900			281,900
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 1.500%-2.625% due 03/31/2006-03/15/2009 valued at $288,153. Repurchase proceeds are $281,921.)
State Street Bank
2.650% due 07/01/2005		6,007			6,007
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $6,129. Repurchase proceeds are $6,007.)
					287,907
U.S. Treasury Bills 6.3%
2.956% due 09/01/2005-09/15/2005 (c)(e)(f)		593,320			589,169
Total Short-Term Instruments (Cost $1,416,608)					1,416,077
Total Investments (d) (Cost $11,055,877)		118.8	%	$	11,166,037
Written Options (h) (Premiums $1,981)		(0.0	%)		(1,567	)
Other Assets and Liabilities (Net)		(18.8	%)		(1,767,117	)
Net Assets		100.0	%	$	9,397,353

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $23,423 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $214,431 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) Securities with an aggregate market value of $13,736 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Euro-Bund 10-Year Note Long Futures	09/2005	1,340	$	1,801
U.S. Treasury 30-Year Bond Long Futures	09/2005	2,468		3,207
U.S. Treasury 5-Year Note Long Futures	09/2005	2,830		(1,361	)
			$	3,647

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	06/15/2008	BP	7,000	$	217
UBS Warburg LLC	6-month BP-LIBOR	Pay	5.000	%	06/15/2008		8,800		275
Bank of America	3-month Canadian Bank Bill	Receive	5.000	%	06/15/2015	C$	32,000		(1,380	)
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.500	%	06/17/2015	EC	31,500		3,827
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	5.000	%	06/17/2015		35,000		4,436
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	314,200		(6	)
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		48,550		124
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		518,000		(1,547	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		85,800		(3	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		70,000		178
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		122,200		(396	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		155,700		(1,010	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		100,000		205
UBS Warburg LLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		154,400		393
								$	5,313

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized (Depreciation)
AIG International Inc.	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005	$	246,600	$	(9,613	)
AIG International Inc.	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005		2,121,200		(82,734	)
Barclays Bank PLC	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005		2,711,600		(105,685	)
J.P. Morgan Chase & Co.	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005		593,000		(23,116	)
Morgan Stanley Dean Witter & Co.	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005		1,116,300		(43,525	)
Morgan Stanley Dean Witter & Co.	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005		1,297,600		(50,582	)
Morgan Stanley Dean Witter & Co.	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005		300,000		(11,696	)
Societe Generale	Dow Jones - AIG Commodity Index Total Return	3-month U.S. Treasury Bill rate plus a spread	07/22/2005		1,358,400		(52,949	)
						$	(379,900	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
ABN AMRO Bank, N.V.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.100	%	06/20/2007	$	3,000	$	66
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.760	%	06/20/2007		2,500		42
Bear Stearns & Co., Inc.	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		3,000		162
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		3,000		145
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.820	%	06/20/2007		2,000		52
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	06/20/2006		2,000		40
Goldman Sachs & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.500	%	06/20/2007		1,000		44
Goldman Sachs & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.000	%	06/20/2007		2,000		31
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	06/20/2007		2,600		41
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.280	%	06/20/2006		1,000		23
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	06/20/2007		500		7
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.670	%	06/20/2007		1,000		9
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	06/20/2007		700		11
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		1,000		48
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.670	%	06/20/2007		5,000		116
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		1,500		27
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		1,000		18
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.800	%	06/20/2006		2,000		21
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.750	%	06/20/2006		1,000		10
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.100	%	06/20/2006		1,000		23
J.P. Morgan Chase & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		5,000		243
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	06/20/2007		3,100		53
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		1,000		49
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.550	%	06/20/2007		1,000		13
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		3,000		62
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	06/20/2007		5,000		224
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		1,000		21
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.300	%	06/20/2006		1,000		22
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		3,000		64
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.600	%	09/20/2006		3,000		0
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	06/20/2007		2,000		53
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		1,000		47
Wachovia Bank N.A.	Ford Motor Credit Co. 7.250% due 10/25/2011	Sell	1.200	%	06/20/2006		2,000		(4	)
								$	1,783

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	115.000	08/26/2005	648	$	251	$	213
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	2,850		637		401
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	1,337		267		125
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	976		165		198
Put - CBOT U.S. Treasury Note December Futures		110.000	11/22/2005	1,185		661		630
					$	1,981	$	1,567

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Treasury Inflation Protected Security	2.000	07/15/2014	$	51,573	$	53,158	$	53,345
U.S. Treasury Note	3.000	11/15/2007		1,000		986		989
U.S. Treasury Note	3.375	02/15/2008		75,000		74,478		74,464
U.S. Treasury Note	4.750	05/15/2014		110,200		116,967		116,943
					$	245,589	$	245,741

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation)
Sell	C$	26,399	07/2005	$	0	$	(319	)	$	(319	)
Buy	EC	4,110	07/2005		22		0			22
Sell		9,784	07/2005		1		0			1
Sell		42,511	08/2005		129		0			129
Buy	JY	7,636,269	07/2005		0		(2,860	)		(2,860	)
Buy	PZ	2,748	09/2005		0		(3	)		(3	)
Buy	RR	23,120	09/2005		0		(3	)		(3	)
Buy	SV	24,660	09/2005		0		(3	)		(3	)
				$	152	$	(3,188	)	$	(3,036	)

See accompanying notes

Schedule of Investments

Convertible Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 5.2%
Banking & Finance 2.1%
Dow Jones CDX High Yield Index
8.250% due 06/29/2010	$	500		$	503
Eircom Funding
8.250% due 08/15/2013		156			170
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		250			241
Refco Finance Holdings LLC
9.000% due 08/01/2012		125			133
					1,047
Industrials 1.9%
CCO Holdings LLC
8.750% due 11/15/2013		400			396
Charter Communications Operating LLC
8.375% due 04/30/2014		250			250
Qwest Corp.
6.768% due 02/15/2009 (a)		300			296
					942
Utilities 1.2%
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		500			509
Time Warner Telecom Holdings, Inc.
7.268% due 02/15/2011 (a)		125			126
					635
Total Corporate Bonds & Notes (Cost $2,552)					2,624
CONVERTIBLE BONDS & NOTES 63.0%
Banking & Finance 5.1%
ABB International Finance Ltd.
4.625% due 05/16/2007		450			460
American Equity Investment Life Holding Co.
5.250% due 12/06/2024		250			279
AngloGold Holdings PLC
2.375% due 02/27/2009		100			94
Goldman Sachs Group, Inc.
1.310% due 09/21/2009 (a)		250			244
1.296% due 09/20/2011 (a)		250			249
Greater Bay Bancorp
0.000% due 03/23/2024		150			134
Host Marriott LP
3.250% due 04/15/2024		375			418
Merrill Lynch & Co., Inc.
0.000% due 03/13/2032		400			401
Providian Financial Corp.
2.750% due 03/15/2016 (a)		250			311
					2,590
Industrials 47.6%
3M Co.
0.000% due 11/21/2032		300			262
Actuant Corp.
2.000% due 11/15/2023		140			182
Advanced Micro Devices, Inc.
4.500% due 12/01/2007		95			228
Allergan, Inc.
0.000% due 11/06/2022		300			294
Alliant Techsystems, Inc.
2.750% due 02/15/2024		300			315
Allied Waste North America, Inc.
4.250% due 04/15/2034		250			215
Alza Corp.
0.000% due 07/28/2020		173			155
Amazon.com, Inc.
4.750% due 02/01/2009		191			184
Amdocs Ltd.
0.500% due 03/15/2024		200			183
American Tower Corp.
3.000% due 08/15/2012		500			600
Amgen, Inc.
0.000% due 03/01/2032		500			366
Amylin Pharmaceuticals, Inc.
2.500% due 04/15/2011		350			318
Armor Holdings, Inc.
2.000% due 11/01/2024 (a)		530			518
Bausch & Lomb, Inc.
3.460% due 08/01/2023 (a)		175			269
Bristol-Myers Squibb Co.
2.910% due 09/15/2023 (a)		250			247
Carnival Corp.
2.000% due 04/15/2021		400			567
Cephalon, Inc.
0.000% due 06/15/2033		275			244
Charter Communications, Inc.
5.875% due 11/16/2009		275			178
Chiron Corp.
2.750% due 06/20/2034		375			359
Comcast Corp.
2.000% due 11/15/2029 (a)		6			253
Connetics Corp.
2.000% due 03/30/2015		550			458
Costco Wholesale Corp.
0.000% due 08/19/2017		100			102
Diamond Offshore Drilling, Inc.
1.500% due 04/15/2031		125			154
Dov Pharmaceutical, Inc.
2.500% due 01/15/2025		250			248
Eastman Kodak Co.
3.375% due 10/15/2033		100			108
Electronic Data Systems Corp.
3.875% due 07/15/2023		375			358
Exide Technologies
1.910% due 09/18/2013 (a)		125			60
Fisher Scientific International, Inc.
2.500% due 10/01/2023		255			374
Flextronics International Ltd.
1.000% due 08/01/2010		350			365
Fluor Corp.
1.500% due 02/15/2024		425			493
Four Seasons Hotels, Inc.
1.875% due 07/30/2024		400			438
General Mills, Inc.
0.000% due 10/28/2022		170			121
Genzyme Corp.
1.250% due 12/01/2023		350			365
Goodyear Tire & Rubber Co.
4.000% due 06/15/2034		390			545
Halliburton Co.
3.125% due 07/15/2023		275			382
Hanover Compressor Co.
4.750% due 01/15/2014		200			207
Harris Corp.
3.500% due 08/15/2022		182			265
Headwaters, Inc.
2.875% due 06/01/2016		250			321
Hilton Hotels Corp.
3.375% due 04/15/2023		452			547
ImClone Systems, Inc.
1.375% due 05/15/2024		500			412
International Game Technology
0.000% due 01/29/2033		375			245
Interpublic Group of Cos., Inc.
4.500% due 03/15/2023		225			269
Invitrogen Corp.
2.000% due 08/01/2023		250			329
Juniper Networks, Inc.
0.000% due 06/15/2008		100			133
Keane, Inc.
2.000% due 06/15/2013		140			134
Lamar Advertising Co.
2.875% due 12/31/2010		225			232
Lockheed Martin Corp.
3.018% due 08/15/2033 (a)		675			722
Lowe’s Cos., Inc.
0.000% due 02/16/2021		200			193
0.861% due 10/19/2021 (a)		100			104
Magnum Hunter Resources, Inc.
3.410% due 12/15/2023 (a)		200			296
Manor Care, Inc.
2.625% due 04/15/2023 (a)		225			302
Mediacom Communications Corp.
5.250% due 07/01/2006		675			676
Medtronic, Inc.
1.250% due 09/15/2021		500			498
Nabors Industries, Inc.
0.000% due 06/15/2023		250			258
Novell, Inc.
0.500% due 07/15/2024		150			128
Open Solutions, Inc.
1.467% due 02/02/2035 (a)		500			254
Placer Dome, Inc.
2.750% due 10/15/2023		120			128
Pride International, Inc.
3.250% due 05/01/2033		350			420
Red Hat, Inc.
0.500% due 01/15/2024		225			190
RF Micro Devices, Inc.
1.500% due 07/01/2010		200			187
Roper Industries, Inc.
1.481% due 01/15/2034 (a)		450			235
Royal Caribbean Cruises Ltd.
0.000% due 05/18/2021		250			190
Schlumberger Ltd.
1.500% due 06/01/2023		355			409
SCI Systems, Inc.
3.000% due 03/15/2007		278			263
Scientific Games Corp.
0.750% due 12/01/2024		525			570
Serologicals Corp.
4.750% due 08/15/2033		225			356
Sinclair Broadcast Group, Inc.
4.875% due 07/15/2018 (a)		600			548
Sirius Satellite Radio, Inc.
3.250% due 10/15/2011		125			179
Solectron Corp.
0.500% due 02/15/2034		200			150
Sybase, Inc.
1.750% due 02/22/2025		150			144
Synaptics, Inc.
0.750% due 12/01/2024		250			204
Tyco International Group S.A.
2.750% due 01/15/2018		755			978
Utstarcom, Inc.
0.875% due 03/01/2008		200			142
Walt Disney Co.
2.125% due 04/15/2023		450			464
Wyeth
2.390% due 01/15/2024 (a)		166			171
Wynn Resorts Ltd.
6.000% due 07/15/2015		125			272
Xm Satellite Radio, Inc.
1.750% due 12/01/2009		350			327
Yahoo!, Inc.
0.000% due 04/01/2008		70			121
Yellow Roadway Corp.
3.375% due 11/25/2023		304			423
					24,104
Utilities 10.3%
AES Corp.
4.500% due 08/15/2005		550			553
Centerpoint Energy, Inc.
3.750% due 05/15/2023		225			270
CenturyTel, Inc.
4.750% due 08/01/2032		325			340
CMS Energy Corp.
3.375% due 07/15/2023		525			793
Commonwealth Telephone Enterprises, Inc.
3.250% due 07/15/2023		250			271
Duke Energy Corp.
1.750% due 05/15/2023		300			378
Lucent Technologies, Inc.
2.750% due 06/15/2023		664			722
Nextel Communications, Inc.
5.250% due 01/15/2010		250			252
Nextel Partners, Inc.
1.500% due 11/15/2008		225			447
Nortel Networks Corp.
4.250% due 09/01/2008		250			234
PPL Energy Supply LLC
2.625% due 05/15/2023		525			628
Reliant Energy, Inc.
5.000% due 08/15/2010		235			349
					5,237
Total Convertible Bonds & Notes (Cost $31,314)					31,931
		Shares
COMMON STOCKS 3.4%
Communications 0.3%
Valor Communications Group, Inc.		9,800			135
Consumer Discretionary 1.2%
Cablevision Systems New York Group ‘A’ (b)		18,700			602
Energy 0.4%
Ferrellgas Partners LP		7,400			154
Freescale Semiconductor, Inc. ‘B’ (b)		2,461			52
					206
Healthcare 0.1%
Elan Corp. PLC SP - ADR (b)		5,001			34
Technology 0.3%
Corning, Inc. (b)		10,973			183
Utilities 1.1%
Williams Cos., Inc.		28,360			539
Total Common Stocks (Cost $1,353)					1,699
CONVERTIBLE PREFERRED STOCK 24.0%
Allied Waste Industries, Inc.
6.250% due 04/01/2006		1,650			76
6.250% due 03/01/2008		2,000			499
Baxter International, Inc.
7.000% due 02/16/2006		7,500			415
Celanese Corp.
4.250% due 12/31/2049		30,000			731
Chesapeake Energy Corp.
5.000% due 12/31/2049		3,000			438
Constellation Brands, Inc.
5.750% due 09/01/2006		11,800			528
El Paso Corp.
9.000% due 08/16/2005		17,465			521
Fannie Mae
5.375% due 12/31/2049		3			291
Ford Motor Co. Capital Trust II
6.500% due 01/15/2032		30,475			1,229
FPL Group, Inc.
8.000% due 02/16/2006		4,250			275
General Motors Corp.
5.250% due 03/06/2032		74,000			1,374
HSBC Finance Corp.
8.875% due 02/15/2006		4,500			189
Huntsman Corp.
5.000% due 02/16/2008		9,500			438
Lehman Brothers Holdings, Inc.
6.250% due 10/15/2007		4,500			114
Metlife, Inc.
6.375% due 08/15/2008		48,000			1,255
Mosaic Co.
7.500% due 07/01/2006		6,400			654
Nortel Networks Corp.
7.000% due 08/15/2005		2			90
NRG Energy, Inc.
4.000% due 12/31/2049		500			549
PMI Group, Inc.
5.875% due 11/15/2006		8,200			203
PNM Resources, Inc.
6.750% due 05/16/2008		5,000			268
Public Service Enterprise Group, Inc.
10.250% due 11/16/2005		4,500			347
Schering-Plough Corp.
6.000% due 09/14/2007		6,500			331
State Street Corp.
6.750% due 02/15/2006		722			156
Washington Mutual, Inc.
5.375% due 05/03/2041		8,855			469
Xerox Corp.
6.250% due 07/01/2006		6,200			740
Total Convertible Preferred Stock (Cost $12,973)					12,180
PREFERRED STOCK 0.3%
La Quinta Corp.
9.000% due 02/14/2005		5,300			137
Total Preferred Stock (Cost $135)					137
EXCHANGE-TRADED FUNDS 2.3%
NASDAQ 100 Index Tracking Stock		32,000			1,177
Total Exchange-Traded Funds (Cost $1,206)					1,177
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.9%
Repurchase Agreement 0.7%
State Street Bank
2.650% due 07/01/2005	$	379			379
(Dated 06/30/2005. Collateralized by Freddie Mac 2.250% due 11/28/2005 valued at $389. Repurchase proceeds are $379.)
U.S. Treasury Bills 0.2%
2.932% due 09/01/2005-09/15/2005 (c)(d)		95			94
Total Short-Term Instruments (Cost $473)					473
Total Investments (Cost $50,006)		99.1	%	$	50,221
Other Assets and Liabilities (Net)		0.9	%		466
Net Assets		100.0	%	$	50,687

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Non-income producing security.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $94 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
U.S. Treasury 10-Year Note Short Futures	09/2005	36	$	(17	)

(e) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
J.P. Morgan Chase & Co.	Bombardier, Inc. 5.750% due 02/22/2008	Sell	3.300	%	03/20/2006	$	1,000	$	16
Wachovia Bank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	1.160	%	03/20/2006		250		(2	)
								$	14

See accompanying notes

Schedule of Investments

Developing Local Markets Fund

June 30, 2005 (Unaudited)

		Principal Amount (000s)			Value (000s)
SHORT-TERM INSTRUMENTS 95.4%
Certificates of Deposit 1.8%
Citibank New York N.A.
3.360% due 09/19/2005	$	3,900		$	3,900
Commercial Paper 51.6%
Barclays U.S. Funding Corp.
3.290% due 09/06/2005		1,900			1,888
3.315% due 09/14/2005		2,300			2,284
CBA (de) Finance
3.100% due 07/11/2005		1,500			1,499
3.160% due 08/08/2005		1,900			1,894
CDC IXIS Commercial Paper, Inc.
3.360% due 10/04/2005		3,800			3,765
Danske Corp.
3.250% due 09/07/2005		1,900			1,888
Den Norske Bank ASA
3.260% due 09/06/2005		1,900			1,888
3.300% due 09/14/2005		2,300			2,284
Dexia Delaware LLC
3.235% due 08/12/2005		4,300			4,284
Fannie Mae
2.967% due 07/01/2005		5,600			5,600
3.143% due 08/31/2005		1,900			1,889
3.180% due 09/07/2005		3,100			3,080
3.191% due 09/07/2005		4,300			4,272
3.205% due 09/07/2005		5,000			4,968
Federal Home Loan Bank
2.963% due 07/01/2005		5,600			5,600
2.947% due 07/13/2005		8,000			7,992
3.210% due 07/27/2005		3,000			2,993
3.225% due 09/09/2005		3,100			3,079
Freddie Mac
3.175% due 09/06/2005		4,300			4,273
3.183% due 09/06/2005		1,900			1,888
3.190% due 09/06/2005		1,900			1,888
3.250% due 09/13/2005		3,800			3,773
General Electric Capital Corp.
3.270% due 09/07/2005		3,100			3,080
3.290% due 09/09/2005		300			298
HBOS Treasury Services PLC
3.255% due 09/07/2005		1,900			1,888
3.270% due 09/08/2005		200			199
ING U.S. Funding LLC
3.260% due 09/01/2005		1,900			1,889
Nordea North America, Inc.
3.300% due 09/06/2005		4,300			4,273
Rabobank USA Financial Corp.
3.360% due 07/01/2005		1,400			1,400
3.160% due 08/08/2005		1,900			1,893
3.360% due 10/17/2005		2,800			2,771
Royal Bank of Scotland PLC
3.220% due 08/15/2005		3,800			3,785
Skandinaviska Enskilda Banken AB (SEB)
3.280% due 09/07/2005		3,100			3,080
3.310% due 09/15/2005		1,600			1,588
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		2,700			2,700
3.105% due 07/11/2005		1,500			1,499
3.150% due 08/08/2005		1,900			1,894
UBS Finance Delaware LLC
3.390% due 07/01/2005		1,400			1,400
3.105% due 07/11/2005		1,300			1,299
3.165% due 08/08/2005		2,100			2,093
3.375% due 10/17/2005		1,300			1,286
Westpac Capital Corp.
3.260% due 09/07/2005		1,900			1,888
Westpac Trust Securities NZ Ltd. London
3.330% due 10/03/2005		1,500			1,486
					114,658
Repurchase Agreements 42.0%
Credit Suisse First Boston
2.700% due 07/01/2005		93,200			93,200
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 11/15/2012 valued at $95,418. Repurchase proceeds are $93,207.)
State Street Bank
2.650% due 07/01/2005		146			146
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $150. Repurchase proceeds are $146.)
					93,346
Total Short-Term Instruments (Cost $211,923)					211,904
Total Investments (Cost $211,923)		95.4	%	$	211,904
Other Assets and Liabilities (Net)		4.6	%		10,113
Net Assets		100.0	%	$	222,017

Notes to Schedule of Investments (amounts in thousands):

(a) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	37,300	11/2005	$	708	$	0		$	708
Buy	CK	171,020	11/2005		0		(52	)		(52	)
Buy	CO	6,108,750	11/2005		16		(2	)		14
Buy	CP	7,532,244	11/2005		193		0			193
Buy	CY	32,782	11/2005		0		(11	)		(11	)
Buy	H$	34,068	11/2005		5		0			5
Buy	IS	10,630	11/2005		0		(30	)		(30	)
Buy	KW	17,985,207	11/2005		0		(323	)		(323	)
Buy	MP	270,419	11/2005		311		0			311
Buy	PN	31,695	11/2005		6		0			6
Buy	PZ	1,690	08/2005		5		0			5
Buy		77,188	11/2005		129		(36	)		93
Sell		1,096	11/2005		0		(2	)		(2	)
Buy	RP	344,243	11/2005		26		0			26
Buy	RR	15,362	09/2005		0		(2	)		(2	)
Buy		443,829	11/2005		1		(120	)		(119	)
Buy	S$	36,657	11/2005		1		(189	)		(188	)
Buy	SR	8,277	08/2005		40		0			40
Buy		72,931	11/2005		199		(1	)		198
Sell		2,243	11/2005		0		(8	)		(8	)
Buy	SV	15,845	08/2005		1		0			1
Buy		369,700	11/2005		31		(23	)		8
Buy	T$	313,430	11/2005		0		(138	)		(138	)
Buy	TB	153,845	11/2005		0		(66	)		(66	)
Buy	TL	8,598	11/2005		191		0			191
				$	1,863	$	(1,003	)	$	860

See accompanying notes

Schedule of Investments

Diversified Income Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 0.0%
Appleton Papers, Inc.
4.790% due 06/09/2010 (a)	$	149		$	151
4.330% due 06/11/2010 (a)		149			150
Kingdom of Morocco
2.188% due 01/05/2009 (a)		59			58
Total Bank Loan Obligations (Cost $358)					359
CORPORATE BONDS & NOTES 40.4%
Banking & Finance 8.9%
Affinia Group, Inc.
9.000% due 11/30/2014		500			422
AIG SunAmerica Global Funding
6.900% due 03/15/2032		220			272
American International Group, Inc.
2.875% due 05/15/2008		1,000			962
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014 (a)		1,480			1,511
Banco Santander Chile
3.720% due 12/09/2009 (a)		2,000			2,006
Bank of America Corp.
3.875% due 01/15/2008		920			917
5.875% due 02/15/2009		100			106
Banque Centrale de Tunisie
7.375% due 04/25/2012		1,375			1,588
BCP Crystal US Holdings Corp.
9.625% due 06/15/2014		2,600			2,925
Beaver Valley Funding Corp.
9.000% due 06/01/2017		325			386
Bluewater Finance Ltd.
10.250% due 02/15/2012		2,050			2,204
CitiCorp
6.375% due 11/15/2008		400			427
Citigroup, Inc.
6.000% due 02/21/2012		650			711
7.750% due 12/01/2036		100			107
Export-Import Bank of China
5.250% due 07/29/2014		6,625			6,885
Ferrellgas Escrow LLC
6.750% due 05/01/2014		2,000			1,940
Ford Motor Credit Co.
6.500% due 01/25/2007		700			705
5.700% due 01/15/2010		3,575			3,301
Forest City Enterprises, Inc.
7.625% due 06/01/2015		375			403
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011		1,260			1,361
General Electric Capital Corp.
5.875% due 02/15/2012		500			541
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		3,580			3,583
6.750% due 01/15/2006		340			343
7.000% due 02/01/2012		850			785
6.875% due 08/28/2012		330			303
8.000% due 11/01/2031		575			514
Goldman Sachs Group, Inc.
3.491% due 07/23/2009 (a)		2,150			2,163
5.700% due 09/01/2012		165			176
4.750% due 07/15/2013		1,225			1,226
5.250% due 10/15/2013		2,400			2,481
6.125% due 02/15/2033		45			49
Homer City Funding LLC
8.734% due 10/01/2026		1,491			1,752
Household Finance Corp.
4.125% due 12/15/2008		500			497
4.750% due 07/15/2013		120			120
HSBC Bank USA
4.625% due 04/01/2014		400			400
Industrial Bank of Korea
4.000% due 05/19/2014 (a)		30			29
International Lease Finance Corp.
3.541% due 01/15/2010 (a)		3,000			2,998
JSG Funding PLC
9.625% due 10/01/2012		2,260			2,271
Korea Development Bank
4.750% due 07/20/2009		2,050			2,079
3.545% due 10/20/2009 (a)		2,100			2,103
5.750% due 09/10/2013		385			413
Kraton Polymers LLC
8.125% due 01/15/2014		2,000			1,935
La Quinta Properties, Inc.
8.875% due 03/15/2011		1,075			1,168
MetLife, Inc.
5.375% due 12/15/2012		45			47
Mizuho JGB Investment LLC
9.870% due 12/31/2049 (a)		600			680
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049 (a)		450			497
National Rural Utilities Cooperative Finance Corp.
7.250% due 03/01/2012		2,315			2,688
NiSource Finance Corp.
3.854% due 11/23/2009 (a)		7,000			7,034
Pemex Finance Ltd.
8.020% due 05/15/2007		370			383
9.690% due 08/15/2009		1,131			1,244
Prudential Financial, Inc.
4.104% due 11/15/2006 (a)		1,193			1,197
Qwest Capital Funding, Inc.
7.900% due 08/15/2010		1,495			1,495
7.250% due 02/15/2011		700			674
Rabobank Capital Funding II
5.260% due 12/26/2049 (a)		860			886
Refco Finance Holdings LLC
9.000% due 08/01/2012		1,600			1,704
Riggs Capital Trust
8.625% due 12/31/2026		1,000			1,155
Rotech Healthcare, Inc.
9.500% due 04/01/2012		1,775			1,908
Royal Bank of Scotland PLC
9.118% due 03/31/2049		500			596
Targeted Return Index Securities Trust
7.913% due 08/01/2015 (a)		26,370			27,901
UFJ Finance Aruba AEC
6.750% due 07/15/2013		500			558
UGS Corp.
10.000% due 06/01/2012		950			1,059
Universal City Development Partners
11.750% due 04/01/2010		500			576
Universal City Florida Holding Co.
8.375% due 05/01/2010		800			838
Ventas Realty LP
8.750% due 05/01/2009		750			832
Verizon Global Funding Corp.
4.375% due 06/01/2013		500			495
					111,515
Industrials 24.5%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		2,900			3,038
8.375% due 04/01/2015		1,000			1,025
8.850% due 08/01/2030		745			717
Aearo Co.
8.250% due 04/15/2012		500			502
AES Ironwood LLC
8.857% due 11/30/2025		1,679			1,910
Airgas, Inc.
6.250% due 07/15/2014		1,050			1,068
Alderwoods Group, Inc.
7.750% due 09/15/2012		1,400			1,493
Alliance One International, Inc.
11.000% due 05/15/2012		700			724
Allied Waste North America, Inc.
8.500% due 12/01/2008		995			1,048
6.500% due 11/15/2010		250			247
7.875% due 04/15/2013		1,000			1,027
Amerada Hess Corp.
6.650% due 08/15/2011		810			892
7.300% due 08/15/2031		425			514
American Media Operations, Inc.
10.250% due 05/01/2009		500			502
8.875% due 01/15/2011		250			238
AOL Time Warner, Inc.
6.750% due 04/15/2011		4,000			4,438
6.875% due 05/01/2012		2,625			2,966
7.700% due 05/01/2032		200			254
Argo-Tech Corp.
9.250% due 06/01/2011		750			817
Armor Holdings, Inc.
8.250% due 08/15/2013		325			353
ArvinMeritor, Inc.
8.750% due 03/01/2012		2,500			2,619
AT&T Broadband Corp.
8.375% due 03/15/2013		315			385
Aviall, Inc.
7.625% due 07/01/2011		675			715
Barrick Gold Finance Co.
4.875% due 11/15/2014		1,000			1,001
Boise Cascade LLC
6.016% due 10/15/2012 (a)		500			507
Boyd Gaming Corp.
7.750% due 12/15/2012		1,025			1,101
Buhrmann US, Inc.
8.250% due 07/01/2014		1,850			1,859
Burlington Northern Santa Fe Corp.
6.375% due 12/15/2005		270			273
Cablevision Systems Corp.
8.000% due 04/15/2012		3,500			3,447
Caesars Entertainment, Inc.
7.875% due 12/15/2005		1,000			1,017
8.875% due 09/15/2008		335			375
7.875% due 03/15/2010		300			338
7.000% due 04/15/2013		500			557
CanWest Media, Inc.
8.000% due 09/15/2012		1,803			1,907
CCO Holdings LLC
8.750% due 11/15/2013		1,750			1,733
Cenveo Corp.
9.625% due 03/15/2012		670			727
Charter Communications Holdings LLC
10.000% due 04/01/2009		600			467
10.250% due 09/15/2010		2,000			2,033
8.000% due 04/30/2012		2,750			2,750
8.375% due 04/30/2014		1,250			1,250
Chesapeake Energy Corp.
7.500% due 06/15/2014		1,000			1,090
Clear Channel Communications, Inc.
7.650% due 09/15/2010		340			369
5.750% due 01/15/2013		400			391
Comcast Cable Communications, Inc.
6.200% due 11/15/2008		100			106
6.875% due 06/15/2009		1,095			1,194
7.125% due 06/15/2013		2,130			2,445
Comcast Corp.
5.300% due 01/15/2014		2,000			2,060
6.500% due 01/15/2015		100			112
7.050% due 03/15/2033		200			237
Commonwealth Brands, Inc.
9.750% due 04/15/2008		350			370
Communications & Power Industries, Inc.
8.000% due 02/01/2012		500			505
Constellation Brands, Inc.
8.625% due 08/01/2006		700			732
Cox Communications, Inc.
7.125% due 10/01/2012		725			814
Crown European Holdings S.A.
9.500% due 03/01/2011		715			794
10.875% due 03/01/2013		1,700			2,006
CSC Holdings, Inc.
8.125% due 08/15/2009		335			341
7.625% due 04/01/2011		2,300			2,283
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		4,000			4,006
3.600% due 11/17/2006 (a)		2,000			2,000
3.610% due 03/07/2007 (a)		5,500			5,485
3.859% due 09/10/2007 (a)		1,514			1,515
7.300% due 01/15/2012		490			548
6.500% due 11/15/2013		2,300			2,493
8.500% due 01/18/2031		340			432
DaVita, Inc.
6.625% due 03/15/2013		1,250			1,297
7.250% due 03/15/2015		1,000			1,033
Delhaize America, Inc.
7.375% due 04/15/2006		1,004			1,031
8.125% due 04/15/2011		2,000			2,253
Delphi Corp.
6.500% due 08/15/2013		4,040			3,020
Dex Media West LLC
8.500% due 08/15/2010		750			821
9.875% due 08/15/2013		3,130			3,584
DirecTV Holdings LLC
8.375% due 03/15/2013		1,300			1,446
Dobson Communications Corp.
8.875% due 10/01/2013		700			644
Dow Chemical Co.
5.750% due 12/15/2008		105			110
6.000% due 10/01/2012		250			274
Dresser, Inc.
9.375% due 04/15/2011		1,550			1,639
Duke Energy Corp.
5.625% due 11/30/2012		225			239
Duke Energy Field Services LLC
7.500% due 08/16/2005		245			246
Dura Operating Corp.
8.625% due 04/15/2012		2,280			2,063
Dynegy Danskammer & Roseton LLC
7.270% due 11/08/2010		1,550			1,550
Dynegy Holdings, Inc.
9.875% due 07/15/2010		1,750			1,943
EchoStar DBS Corp.
6.754% due 10/01/2008 (a)		2,000			2,055
El Paso CGP Co.
7.625% due 09/01/2008		175			180
6.375% due 02/01/2009		1,500			1,485
El Paso Corp.
7.875% due 06/15/2012		620			642
El Paso Production Holding Co.
7.750% due 06/01/2013		8,915			9,561
Enterprise Products Operating LP
4.000% due 10/15/2007		700			693
4.625% due 10/15/2009		1,100			1,096
4.950% due 06/01/2010		2,500			2,514
Equistar Chemicals LP
10.125% due 09/01/2008		1,299			1,413
10.625% due 05/01/2011		2,000			2,218
Evergreen Resources, Inc.
5.875% due 03/15/2012		1,000			995
Extendicare Health Services, Inc.
9.500% due 07/01/2010		500			543
Ferrellgas Partners LP
8.750% due 06/15/2012		3,070			3,085
Fisher Communications, Inc.
8.625% due 09/15/2014		500			533
Fisher Scientific International, Inc.
8.000% due 09/01/2013		350			402
Ford Motor Co.
7.450% due 07/16/2031		4,000			3,348
Freescale Semiconductor, Inc.
5.891% due 07/15/2009 (a)		900			939
7.125% due 07/15/2014		550			594
Gazinvest International S.A.
7.250% due 10/30/2008		1,400			1,478
General Motors Corp.
7.200% due 01/15/2011		5,810			5,403
8.375% due 07/15/2033		6,300			5,292
Georgia-Pacific Corp.
7.500% due 05/15/2006		3,000			3,090
8.125% due 05/15/2011		800			906
8.000% due 01/15/2024		3,970			4,585
Greif, Inc.
8.875% due 08/01/2012		495			535
Hanover Compressor Co.
8.500% due 09/01/2008		1,000			1,045
8.625% due 12/15/2010		500			531
9.000% due 06/01/2014		2,000			2,140
HCA, Inc.
5.500% due 12/01/2009		4,700			4,737
HealthSouth Corp.
7.625% due 06/01/2012 (b)		1,500			1,463
Horizon Lines LLC
9.000% due 11/01/2012		1,500			1,579
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		3,000			3,037
Ingles Markets, Inc.
8.875% due 12/01/2011		1,725			1,762
Insight Midwest LP
9.750% due 10/01/2009		500			519
10.500% due 11/01/2010		1,250			1,331
International Paper Co.
6.750% due 09/01/2011		220			240
Invensys PLC
9.875% due 03/15/2011		500			480
ISP Chemco, Inc.
10.250% due 07/01/2011		1,375			1,506
ISP Holdings, Inc.
10.625% due 12/15/2009		165			178
Johnsondiversey, Inc.
9.625% due 05/15/2012		475			485
Kappa Beheer BV
10.625% due 07/15/2009		225			233
Kerr-McGee Corp.
7.875% due 09/15/2031		145			166
Korea Highway Corp.
4.875% due 04/17/2014		1,540			1,551
5.125% due 05/20/2015		750			754
Kroger Co.
6.800% due 04/01/2011		1,000			1,099
5.500% due 02/01/2013		1,240			1,291
Legrand Holding S.A.
10.500% due 02/15/2013		155			177
MagnaChip Semiconductor S.A.
6.660% due 12/15/2011 (a)		1,000			995
Mandalay Resort Group
9.375% due 02/15/2010		1,534			1,722
7.625% due 07/15/2013		200			212
MCI, Inc.
7.688% due 05/01/2009		3,000			3,131
8.735% due 05/01/2014		7,750			8,709
Mediacom Broadband LLC
11.000% due 07/15/2013		1,760			1,914
Medical Device Manufacturing, Inc.
10.000% due 07/15/2012		1,500			1,620
MGM Mirage, Inc.
9.750% due 06/01/2007		230			250
6.000% due 10/01/2009		2,000			2,020
8.375% due 02/01/2011		1,150			1,259
Nalco Co.
7.750% due 11/15/2011		1,025			1,097
8.875% due 11/15/2013		400			431
Newpark Resources, Inc.
8.625% due 12/15/2007		1,150			1,144
Norfolk Southern Corp.
7.800% due 05/15/2027		6			8
5.640% due 05/17/2029		164			172
Novelis, Inc.
7.250% due 02/15/2015		2,500			2,522
Owens-Brockway Glass Container, Inc.
8.875% due 02/15/2009		750			801
8.750% due 11/15/2012		750			831
8.250% due 05/15/2013		400			437
6.750% due 12/01/2014		2,000			2,033
PacifiCare Health Systems, Inc.
10.750% due 06/01/2009		81			90
Peabody Energy Corp.
6.875% due 03/15/2013		500			533
Pemex Project Funding Master Trust
9.375% due 12/02/2008		203			232
4.941% due 10/15/2009 (a)		3,500			3,689
4.710% due 06/15/2010 (a)		9,700			10,030
8.000% due 11/15/2011		2,100			2,391
7.375% due 12/15/2014		1,251			1,406
5.750% due 12/15/2015		4,000			4,002
9.250% due 03/30/2018		4,068			5,268
8.625% due 02/01/2022		517			638
Petrobras International Finance Co.
7.750% due 09/15/2014		500			520
Petronas Capital Ltd.
7.000% due 05/22/2012		250			285
Plains Exploration & Production Co.
7.125% due 06/15/2014		1,000			1,075
Primedia, Inc.
8.000% due 05/15/2013		1,005			1,013
Quebecor Media, Inc.
11.125% due 07/15/2011		1,560			1,741
Qwest Corp.
7.750% due 02/15/2011		8,275			8,047
8.875% due 03/15/2012		1,390			1,519
8.000% due 02/15/2014		775			737
Rayovac Corp.
7.375% due 02/01/2015		1,500			1,459
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		1,000			998
Roundy’s, Inc.
8.875% due 06/15/2012		1,700			1,760
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010		375			417
Ryerson Tull, Inc.
8.250% due 12/15/2011		1,000			875
Seneca Gaming Corp.
7.250% due 05/01/2012		500			519
SESI LLC
8.875% due 05/15/2011		875			938
Sinclair Broadcast Group, Inc.
8.000% due 03/15/2012		2,000			2,060
Six Flags, Inc.
9.750% due 04/15/2013		1,200			1,139
Smurfit Capital Funding PLC
6.750% due 11/20/2005		500			503
Smurfit-Stone Container Enterprises, Inc.
9.750% due 02/01/2011		350			372
8.375% due 07/01/2012		300			305
Sonat, Inc.
7.625% due 07/15/2011		500			506
Station Casinos, Inc.
6.000% due 04/01/2012		1,000			1,020
6.500% due 02/01/2014		700			718
Superior Essex Communications
9.000% due 04/15/2012		1,000			995
Tenet Healthcare Corp.
6.375% due 12/01/2011		300			287
7.375% due 02/01/2013		500			496
9.875% due 07/01/2014		750			808
9.250% due 02/01/2015		500			521
Tenneco Automotive, Inc.
10.250% due 07/15/2013		1,400			1,589
8.625% due 11/15/2014		500			505
TransMontaigne, Inc.
9.125% due 06/01/2010		750			784
Triad Hospitals, Inc.
7.000% due 05/15/2012		500			524
7.000% due 11/15/2013		500			516
Trinity Industries, Inc.
6.500% due 03/15/2014		1,800			1,800
True Temper Sports, Inc.
8.375% due 09/15/2011		1,000			933
TRW Automotive, Inc.
9.375% due 02/15/2013		2,201			2,449
Tyco International Group S.A.
6.375% due 02/15/2006		3,000			3,041
6.750% due 02/15/2011		500			556
6.375% due 10/15/2011		445			489
Union Pacific Corp.
6.700% due 12/01/2006		3,250			3,357
United Airlines, Inc.
7.783% due 01/01/2014		254			235
Vintage Petroleum, Inc.
7.875% due 05/15/2011		1,300			1,378
8.250% due 05/01/2012		100			109
VWR International, Inc.
8.000% due 04/15/2014		1,500			1,436
Walt Disney Co.
6.375% due 03/01/2012		640			709
Warner Chilcott Corp.
8.750% due 02/01/2015		2,000			1,955
Waste Management, Inc.
7.375% due 08/01/2010		900			1,008
7.650% due 03/15/2011		270			309
Westlake Chemical Corp.
8.750% due 07/15/2011		968			1,058
Williams Cos., Inc.
8.125% due 03/15/2012		945			1,077
7.750% due 06/15/2031		115			127
8.750% due 03/15/2032		350			422
Wyeth
6.450% due 02/01/2024		300			343
Wynn Las Vegas LLC
6.625% due 12/01/2014		2,300			2,248
Young Broadcasting, Inc.
10.000% due 03/01/2011		1,150			1,098
					305,519
Utilities 7.0%
AES Corp.
8.750% due 05/15/2013		1,750			1,964
American Cellular Corp.
10.000% due 08/01/2011		725			740
AT&T Corp.
6.000% due 03/15/2009		260			274
9.050% due 11/15/2011		947			1,096
AT&T Wireless Services, Inc.
8.125% due 05/01/2012		2,175			2,609
British Telecom PLC
8.375% due 12/15/2010		2,240			2,655
CenterPoint Energy Resources Corp.
7.750% due 02/15/2011		1,500			1,723
Cincinnati Bell, Inc.
8.375% due 01/15/2014		4,200			4,326
7.000% due 02/15/2015		1,000			983
CMS Energy Corp.
7.500% due 01/15/2009		2,800			2,961
7.750% due 08/01/2010		175			189
Constellation Energy Group, Inc.
7.000% due 04/01/2012		655			740
Dayton Power & Light Co.
5.125% due 10/01/2013		1,480			1,508
Dominion Resources, Inc.
5.700% due 09/17/2012		260			275
El Paso Natural Gas Co.
7.625% due 08/01/2010		200			212
France Telecom S.A.
7.450% due 03/01/2006 (a)		650			664
GPU, Inc.
7.700% due 12/01/2005		3,200			3,246
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		450			479
Intelsat Bermuda Ltd.
8.250% due 01/15/2013		1,000			1,038
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		2,200			2,382
8.625% due 11/14/2011		125			141
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		300			319
Midwest Generation LLC
8.560% due 01/02/2016		425			472
8.750% due 05/01/2034		3,200			3,600
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000			1,018
MSW Energy Holdings LLC
8.500% due 09/01/2010		900			956
Nevada Power Co.
5.875% due 01/15/2015		450			455
Nextel Communications, Inc.
6.875% due 10/31/2013		3,000			3,221
5.950% due 03/15/2014		1,000			1,044
7.375% due 08/01/2015		2,125			2,306
Niagara Mohawk Power Corp.
6.625% due 07/01/2005		170			170
NRG Energy, Inc.
8.000% due 12/15/2013		3,013			3,194
Ohio Edison Co.
5.647% due 06/15/2009		1,500			1,563
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		459			459
Progress Energy, Inc.
7.100% due 03/01/2011		3,715			4,143
7.000% due 10/30/2031		170			197
PSEG Energy Holdings LLC
7.750% due 04/16/2007		1,750			1,816
10.000% due 10/01/2009		725			817
8.500% due 06/15/2011		2,200			2,409
PSEG Power LLC
3.750% due 04/01/2009		3,000			2,929
7.750% due 04/15/2011		1,000			1,154
6.950% due 06/01/2012		270			304
5.500% due 12/01/2015		900			938
Qwest Communications International, Inc.
7.250% due 02/15/2011		4,000			3,890
Ras Laffan Liquefied Natural Gas Co., Ltd.
3.437% due 09/15/2009		1,662			1,633
Reliant Energy, Inc.
9.500% due 07/15/2013		3,450			3,847
6.750% due 12/15/2014		750			737
Rogers Wireless Communications, Inc.
6.375% due 03/01/2014		500			511
Rural Cellular Corp.
9.875% due 02/01/2010		1,050			1,089
8.250% due 03/15/2012		1,800			1,890
South Point Energy
8.400% due 05/30/2012		2,096			1,991
Southern California Edison Co.
3.440% due 01/13/2006 (a)		75			75
Sprint Capital Corp.
7.125% due 01/30/2006		2,500			2,542
TECO Energy, Inc.
7.500% due 06/15/2010		1,300			1,424
Time Warner Telecom, Inc.
9.750% due 07/15/2008		200			202
10.125% due 02/01/2011		325			327
Triton PCS, Inc.
8.500% due 06/01/2013		2,050			1,901
Verizon New England, Inc.
6.500% due 09/15/2011		625			681
Verizon New York, Inc.
6.875% due 04/01/2012		25			28
Virginia Electric & Power Co.
4.750% due 03/01/2013		245			246
					86,703
Total Corporate Bonds & Notes (Cost $500,537)					503,737
U.S. GOVERNMENT AGENCIES 2.7%
Fannie Mae
5.500% due 12/01/2032 - 05/01/2035 (d)		32,740			33,229
Freddie Mac
5.000% due 06/15/2013		844			848
Total U.S. Government Agencies (Cost $33,834)					34,077
U.S. TREASURY OBLIGATIONS 5.5%
Treasury Inflation Protected Securities (c)
2.000% due 07/15/2014		2,787			2,872
U.S. Treasury Bonds
7.875% due 02/15/2021		2,300			3,256
6.250% due 08/15/2023		75			94
U.S. Treasury Notes
4.875% due 02/15/2012		39,100			41,538
4.250% due 08/15/2013		12,800			13,124
4.125% due 05/15/2015		7,600			7,713
Total U.S. Treasury Obligations (Cost $67,434)					68,597
ASSET-BACKED SECURITIES 0.3%
SLM Student Loan Trust
3.141% due 04/25/2010 (a)		3,861			3,862
Total Asset-Backed Securities (Cost $3,861)					3,862
SOVEREIGN ISSUES 31.0%
Hong Kong Government International Bond
5.125% due 08/01/2014		4,200			4,399
Republic of Brazil
4.250% due 04/15/2006 (a)		279			280
10.000% due 01/16/2007		1,000			1,075
11.250% due 07/26/2007		250			280
11.500% due 03/12/2008		1,825			2,105
4.313% due 04/15/2009 (a)		6,453			6,404
9.230% due 06/29/2009 (a)		11,800			13,703
14.500% due 10/15/2009		900			1,174
12.000% due 04/15/2010		2,200			2,684
10.000% due 08/07/2011		7,850			9,016
11.000% due 01/11/2012		15,825			18,871
4.313% due 04/15/2012 (a)		7,526			7,281
10.250% due 06/17/2013		1,100			1,295
8.000% due 04/15/2014		20,213			20,834
10.500% due 07/14/2014		6,200			7,347
8.875% due 10/14/2019		4,250			4,516
6.000% due 04/15/2024 (a)		1,500			1,467
8.875% due 04/15/2024		2,907			3,038
10.125% due 05/15/2027		650			756
12.250% due 03/06/2030		2,335			3,141
8.250% due 01/20/2034		7,270			7,128
11.000% due 08/17/2040		33,567			40,423
Republic of Bulgaria
3.750% due 07/28/2012 (a)		187			187
Republic of Chile
7.125% due 01/11/2012		857			987
5.500% due 01/15/2013		635			677
Republic of Colombia
9.750% due 04/23/2009		45			52
9.750% due 04/09/2011		135			154
10.000% due 01/23/2012		941			1,101
10.750% due 01/15/2013		3,800			4,640
11.750% due 02/25/2020		1,000			1,320
10.375% due 01/28/2033		515			617
Republic of Croatia
3.813% due 07/31/2010 (a)		153			153
Republic of Ecuador
12.000% due 11/15/2012		1,250			1,182
8.000% due 08/15/2030 (a)		22,745			19,068
Republic of Guatemala
10.250% due 11/08/2011		1,000			1,211
9.250% due 08/01/2013		1,845			2,183
Republic of Malaysia
8.750% due 06/01/2009		255			295
7.500% due 07/15/2011		899			1,049
Republic of Panama
8.250% due 04/22/2008		2,042			2,236
9.625% due 02/08/2011		442			530
9.375% due 07/23/2012		1,843			2,239
7.250% due 03/15/2015		2,325			2,539
9.375% due 01/16/2023		400			496
8.875% due 09/30/2027		500			599
9.375% due 04/01/2029		75			93
Republic of Peru
9.125% due 01/15/2008		321			356
9.125% due 02/21/2012		1,586			1,864
9.875% due 02/06/2015		447			555
5.000% due 03/07/2017 (a)		3,316			3,176
8.750% due 11/21/2033		1,000			1,132
Republic of Poland
4.000% due 10/27/2024 (a)		55			53
Republic of South Africa
9.125% due 05/19/2009		750			872
7.375% due 04/25/2012		2,730			3,146
6.500% due 06/02/2014		7,500			8,391
Republic of Ukraine
11.000% due 03/15/2007		373			395
6.365% due 08/05/2009 (a)		2,700			2,923
6.875% due 03/04/2011		1,300			1,376
7.650% due 06/11/2013		1,725			1,906
Republic of Venezuela
5.375% due 08/07/2010		1,000			934
4.150% due 04/20/2011 (a)		500			457
10.750% due 09/19/2013		1,980			2,323
9.250% due 09/15/2027		6,740			7,084
9.375% due 01/13/2034		1,100			1,155
Russian Federation
8.750% due 07/24/2005		7,750			7,779
8.250% due 03/31/2010 (a)		5,380			5,882
11.000% due 07/24/2018		500			749
12.750% due 06/24/2028		500			906
5.000% due 03/31/2030 (a)		78,656			88,006
United Mexican States
9.875% due 02/01/2010		215			261
6.375% due 01/16/2013		3,689			3,969
5.875% due 01/15/2014		9,250			9,676
6.625% due 03/03/2015		1,500			1,655
11.375% due 09/15/2016		30			45
8.125% due 12/30/2019		1,795			2,208
8.000% due 09/24/2022		45			55
8.300% due 08/15/2031		4,868			6,073
7.500% due 04/08/2033		530			610
6.750% due 09/27/2034		18,600			19,763
Total Sovereign Issues (Cost $359,434)					386,560
FOREIGN CURRENCY-DENOMINATED ISSUES (i) 8.3%
Altadis Finance BV
5.125% due 10/02/2013	EC	3,400			4,561
Aspropulsion Capital BV
9.625% due 10/01/2013		325			450
Banque Centrale de Tunisie
6.250% due 02/20/2013		2,820			3,998
BNP Paribas Capital Trust VI
5.868% due 01/29/2049 (a)		4,870			6,798
Crown European Holdings S.A.
10.250% due 03/01/2011		3,000			4,148
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		2,334			3,665
El Paso Corp.
7.125% due 05/06/2009		600			755
Enterprise Inns PLC
6.500% due 12/06/2018	BP	900			1,768
France Telecom S.A.
7.000% due 03/14/2008	EC	2,414			3,246
Gazprom Capital
5.875% due 06/01/2015		4,000			4,887
HBOS Capital Funding LP
6.461% due 11/29/2049 (a)	BP	1,560			3,137
HBOS PLC
4.875% due 03/29/2049	EC	3,480			4,520
HSBC Holdings PLC
5.375% due 12/20/2012		2,298			3,170
International Endesa BV
6.125% due 07/05/2012	BP	1,080			2,086
JSG Funding PLC
10.125% due 10/01/2012	EC	2,000			2,529
Kronos International, Inc.
8.875% due 06/30/2009		3,000			3,866
Lighthouse International Co. S.A.
8.000% due 04/30/2014		3,000			3,762
Mitchells & Butler Finance Corp.
6.469% due 09/15/2032	BP	1,700			3,437
Republic of South Africa
5.250% due 05/16/2013	EC	1,050			1,398
Republic of Ukraine
10.000% due 03/15/2007		7,523			9,737
Rogers Cable, Inc.
7.250% due 12/15/2011	C$	3,000			2,559
Rogers Wireless Communications, Inc.
7.625% due 12/15/2011		500			439
Royal Bank of Scotland PLC
6.000% due 06/29/2049	BP	1,620			3,126
Shaw Communications, Inc.
7.500% due 11/20/2013	C$	1,000			894
Sumitomo Mitsui Banking Corp.
4.375% due 10/27/2014 (a)	EC	5,300			6,745
Telecom Italia Finance NV
6.575% due 07/30/2009		4,870			6,677
Telenet Communications NV
9.000% due 12/15/2013		3,000			4,130
Valentia Telecommunications Ltd.
7.250% due 08/15/2013		2,225			2,935
Veolia Environnement
4.875% due 05/28/2013		3,460			4,611
Total Foreign Currency-Denominated Issues (Cost $102,012)					104,034
		Shares
PREFERRED SECURITY 0.2%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		1,335			1,398
Riggs Capital Trust
8.625% due 12/31/2026 (b)		345,000			399
Total Preferred Security (Cost $1,786)					1,797
PREFERRED STOCK 0.4%
Fannie Mae
7.000% due 12/31/2049 (a)		38,950			2,171
Mizuho Preferred Capital Co. LLC
8.790% due 06/30/2008 (a)		3,000,000			3,357
Total Preferred Stock (Cost $5,242)					5,528
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 11.9%
Commercial Paper 11.0%
Bank of Ireland
3.180% due 08/22/2005	$	20,500			20,406
3.190% due 08/23/2005		12,800			12,740
Fannie Mae
3.172% due 08/31/2005		4,100			4,076
3.180% due 09/07/2005		4,100			4,074
3.205% due 09/07/2005		4,900			4,869
3.250% due 09/14/2005		4,700			4,667
Freddie Mac
3.310% due 11/02/2005		10,700			10,572
National Australia Funding, Inc.
3.030% due 07/01/2005		3,400			3,400
Rabobank USA Financial Corp.
3.360% due 07/01/2005		2,100			2,100
3.105% due 08/09/2005		1,700			1,694
Skandinaviska Enskilda Banken AB (SEB)
3.070% due 07/14/2005		10,700			10,688
3.170% due 08/16/2005		2,800			2,789
3.280% due 09/07/2005		22,200			22,057
UBS Finance Delaware LLC
3.070% due 07/08/2005		400			400
3.105% due 07/11/2005		1,600			1,599
3.115% due 07/25/2005		4,700			4,690
3.230% due 09/19/2005		1,700			1,687
3.255% due 09/26/2005		25,200			24,991
					137,499
Repurchase Agreements 0.7%
Credit Suisse First Boston
2.700% due 07/01/2005		6,000			6,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 6.500% due 02/15/2010 valued at $6,140. Repurchase proceeds are $6,000.)
State Street Bank
2.650% due 07/01/2005		2,250			2,250
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $2,299. Repurchase proceeds are $2,250.)
					8,250
U.S. Treasury Bills 0.2%
2.931% due 09/01/2005-09/15/2005 (d)(e)(f)		3,100			3,080
Total Short-Term Instruments (Cost $148,859)					148,829
Total Investments (j) (Cost $1,223,357)		100.7	%	$	1,257,380
Written Options (h) (Premiums $86)		(0.0	%)		(17	)
Other Assets and Liabilities (Net)		(0.7	%)		(8,784	)
Net Assets		100.0	%	$	1,248,579

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Principal amount of security is adjusted for inflation.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) Securities with an aggregate market value of $746 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) Securities with an aggregate market value of $2,088 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation
Euro-Bund 10-Year Note Long Futures	09/2005	374	$	680
U.S. Treasury 30-Year Bond Long Futures	09/2005	455		503
			$	1,183

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.020	%	10/03/2005	BR	3,900	$	(3	)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.150	%	10/03/2005		9,600		(6	)
Citibank N.A.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	40,200		1,477
Barclays Bank PLC	3-month USD-LIBOR	Pay	5.000	%	12/15/2015	$	700		5
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		29,600		(97	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	5.000	%	12/15/2015		700		5
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		26,700		(147	)
								$	1,234

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010	$	17,000	$	(20	)
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2007		6,300		139
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.480	%	06/20/2009		4,000		(387	)
Goldman Sachs & Co.	MCI, Inc. 6.688% due 05/01/2009	Sell	1.750	%	09/20/2005		3,650		14
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.000	%	09/04/2013		810		98
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.950	%	09/05/2013		350		41
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.750	%	09/17/2013		200		20
Goldman Sachs & Co.	United Mexican States 7.500% due 04/08/2033	Sell	2.050	%	09/20/2013		210		11
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		3,300		133
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,900		221
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.150	%	08/19/2013		200		26
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		3,000		91
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG4 Index	Sell	0.650	%	06/20/2015		1,500		7
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.310	%	01/21/2014		4,500		344
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	06/20/2007		4,300		103
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	1.280	%	02/20/2009		900		21
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	2.170	%	09/20/2013		120		8
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	2.070	%	09/20/2013		490		27
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	2.070	%	09/20/2013		40		2
								$	899

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	354	$	43	$	11
Put - CBOT U.S. Treasury Note September Futures		110.000	07/22/2005	354		43		6
					$	86	$	17

(i) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	BP	7,092	07/2005	$	202	$	0		$	202
Buy		832	07/2005		47		0			47
Buy		1,373	08/2005		40		0			40
Buy		691	09/2005		15		0			15
Sell	C$	4,500	07/2005		0		(55	)		(55	)
Buy	CP	304,523	08/2005		1		0			1
Buy		139,385	09/2005		5		0			5
Buy	CY	2,189	09/2005		0		(5	)		(5	)
Buy	EC	1,198	07/2005		6		0			6
Sell		73,116	07/2005		122		0			122
Buy		408	08/2005		0		(1	)		(1	)
Buy	JY	1,172,641	07/2005		0		(430	)		(430	)
Buy	KW	583,121	07/2005		0		(20	)		(20	)
Buy		5,868,808	08/2005		0		(193	)		(193	)
Buy		271,400	09/2005		0		(5	)		(5	)
Buy	MP	5,357	08/2005		13		0			13
Buy		14,474	09/2005		4		0			4
Buy	PN	1,586	08/2005		0		0			0
Buy		804	09/2005		0		0			0
Buy	PZ	1,578	08/2005		0		(7	)		(7	)
Buy		955	09/2005		0		(1	)		(1	)
Buy	RP	15,658	09/2005		1		0			1
Buy		8,557	11/2005		0		(1	)		(1	)
Buy	RR	18,920	07/2005		0		(22	)		(22	)
Buy		13,240	08/2005		0		(13	)		(13	)
Buy		7,032	09/2005		0		(1	)		(1	)
Buy	S$	473	07/2005		0		(7	)		(7	)
Buy		783	08/2005		0		(9	)		(9	)
Buy		394	09/2005		0		(2	)		(2	)
Buy	SR	1,173	08/2005		0		(17	)		(17	)
Buy	SV	25,026	08/2005		0		(24	)		(24	)
Buy		7,706	09/2005		0		(1	)		(1	)
Buy	T$	15,348	08/2005		0		(9	)		(9	)
Buy		7,661	09/2005		0		(3	)		(3	)
				$	456	$	(826	)	$	(370	)

(j) As of June 30, 2005, portfolio securities with an aggregate market value of $8,998 were valued with reference to securities whose prices are more readily obtainable.

See accompanying notes

Schedule of Investments

Emerging Markets Bond Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BRAZIL 28.9%
Republic of Brazil
4.250% due 04/15/2006 (a)	$	12,075		$	12,088
10.000% due 01/16/2007		1,000			1,075
11.500% due 03/12/2008		14,100			16,264
9.375% due 04/07/2008		200			221
4.313% due 04/15/2009 (a)		34,079			33,822
9.230% due 06/29/2009 (a)		32,650			37,915
14.500% due 10/15/2009		2,600			3,393
12.000% due 04/15/2010		4,865			5,935
9.250% due 10/22/2010		2,880			3,218
10.000% due 08/07/2011		8,180			9,395
11.000% due 01/11/2012		38,239			45,600
4.313% due 04/15/2012 (a)		61,837			59,827
10.250% due 06/17/2013		7,500			8,831
8.000% due 04/15/2014		52,373			53,984
10.500% due 07/14/2014		49,405			58,545
8.875% due 10/14/2019		14,325			15,220
12.750% due 01/15/2020		3,750			5,138
4.250% due 04/15/2024 (a)		1,130			1,080
6.000% due 04/15/2024 (a)		12,947			12,666
8.875% due 04/15/2024		22,160			23,152
8.750% due 02/04/2025		5,500			5,692
10.125% due 05/15/2027		32,810			38,175
12.250% due 03/06/2030		17,365			23,356
8.250% due 01/20/2034		68,930			67,586
11.000% due 08/17/2040		187,286			225,539
Total Brazil (Cost $710,034)					767,717
BULGARIA 0.0%
Republic of Bulgaria
3.750% due 07/28/2012 (a)	$	13			13
8.250% due 01/15/2015		150			189
Total Bulgaria (Cost $197)					202
CAYMAN ISLANDS 0.1%
Petrobras International Finance Co.
7.750% due 09/15/2014	$	650			676
Vale Overseas Ltd.
8.250% due 01/17/2034		750			829
Total Cayman Islands (Cost $1,291)					1,505
CHILE 0.5%
Banco Santander Chile
3.720% due 12/09/2009 (a)	$	8,500			8,527
5.375% due 12/09/2014		3,000			3,103
Republic of Chile
3.587% due 01/28/2008 (a)		24			24
7.125% due 01/11/2012		1,740			2,005
5.500% due 01/15/2013		1,815			1,935
Total Chile (Cost $15,306)					15,594
CHINA 0.7%
Export-Import Bank of China
5.250% due 07/29/2014	$	17,910			18,612
Total China (Cost $17,739)					18,612
COLOMBIA 1.6%
Republic of Colombia
9.750% due 04/23/2009	$	910			1,052
10.500% due 07/09/2010		2,000			2,390
9.750% due 04/09/2011		5,426			6,224
10.000% due 01/23/2012		9,650			11,291
10.750% due 01/15/2013		6,685			8,162
11.750% due 02/25/2020		1,300			1,716
10.375% due 01/28/2033		9,450			11,316
Total Colombia (Cost $40,314)					42,151
CROATIA 0.0%
Republic of Croatia
3.813% due 07/31/2010 (a)	$	898			899
Total Croatia (Cost $896)					899
ECUADOR 4.5%
Republic of Ecuador
12.000% due 11/15/2012	$	850			804
8.000% due 08/15/2030 (a)		140,537			117,737
Total Ecuador (Cost $109,994)					118,541
EGYPT 0.2%
Republic of Egypt
8.750% due 07/11/2011	$	4,000			4,867
Total Egypt (Cost $4,782)					4,867
EL SALVADOR 0.2%
Republic of El Salvador
8.500% due 07/25/2011	$	5,515			6,415
Total El Salvador (Cost $5,978)					6,415
GERMANY (e) 1.5%
Aries Vermoegensverwaltungs GmbH
5.410% due 10/25/2007 (a)	EC	1,000			1,277
Gazprom International S.A.
9.125% due 04/25/2007	$	1,000			1,079
9.625% due 03/01/2013		8,800			10,815
Republic of Germany
3.750% due 07/04/2013	EC	20,000			25,624
Total Germany (Cost $40,302)					38,795
GUATEMALA 0.7%
Republic of Guatemala
10.250% due 11/08/2011	$	1,350			1,635
9.250% due 08/01/2013		14,131			16,718
Total Guatemala (Cost $17,968)					18,353
HONG KONG 0.1%
Hong Kong Government International Bond
5.125% due 08/01/2014	$	2,950			3,090
Total Hong Kong (Cost $2,929)					3,090
INDIA 0.1%
Industrial Development Bank of India Ltd.
4.750% due 03/03/2009	$	1,500			1,482
Total India (Cost $1,490)					1,482
LUXEMBOURG (e) 1.1%
Gaz Capital S.A.
5.875% due 06/01/2015	EC	7,550			9,224
8.625% due 04/28/2034	$	1,900			2,385
Gazprom International S.A.
7.201% due 02/01/2020		5,000			5,400
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		3,500			3,561
Tengizchevroil Finance Co.
6.124% due 11/15/2014		7,800			8,030
VimpelCom
8.375% due 10/22/2011		450			460
Total Luxembourg (Cost $28,034)					29,060
MALAYSIA 1.6%
Petroliam Nasional Bhd.
7.750% due 08/15/2015	$	1,690			2,084
Petronas Capital Ltd.
7.000% due 05/22/2012		24,160			27,536
7.875% due 05/22/2022		3,000			3,812
Republic of Malaysia
8.750% due 06/01/2009		3,200			3,702
TNB Capital L Ltd.
5.250% due 05/05/2015		6,300			6,448
Total Malaysia (Cost $42,645)					43,582
MEXICO 15.5%
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014 (a)	$	4,050			4,136
Pemex Finance Ltd.
9.030% due 02/15/2011		60			67
Pemex Project Funding Master Trust
9.375% due 12/02/2008		500			571
9.125% due 10/13/2010		565			663
8.000% due 11/15/2011		7,600			8,653
7.375% due 12/15/2014		6,899			7,754
9.250% due 03/30/2018		4,597			5,953
8.625% due 02/01/2022		18,333			22,641
Telefonos de Mexico S.A.
8.250% due 01/26/2006		1,000			1,027
United Mexican States
4.625% due 10/08/2008		60			60
3.840% due 01/13/2009 (a)		24			24
8.375% due 01/14/2011		19,142			22,324
7.500% due 01/14/2012		8,450			9,603
6.375% due 01/16/2013		38,986			41,949
5.875% due 01/15/2014		8,000			8,368
6.625% due 03/03/2015		54,235			59,821
11.375% due 09/15/2016		2,560			3,808
8.125% due 12/30/2019		39,465			48,542
8.000% due 09/24/2022		26,180			32,136
11.500% due 05/15/2026		10,000			16,075
8.300% due 08/15/2031		37,600			46,906
7.500% due 04/08/2033		24,725			28,434
6.750% due 09/27/2034		39,800			42,288
United Mexican States Value Recovery Right
0.000% due 06/30/2006 (a)		20,094			517
0.000% due 06/30/2007 (a)		18,575			446
Total Mexico (Cost $389,857)					412,766
MOROCCO 0.1%
Kingdom of Morocco
2.031% due 01/05/2009 (a)	$	3,537			3,502
Total Morocco (Cost $3,427)					3,502
NETHERLANDS 0.0%
Kazkommerts International BV
7.000% due 11/03/2009	$	1,000			1,021
Total Netherlands (Cost $1,006)					1,021
PANAMA 2.5%
Republic of Panama
8.250% due 04/22/2008	$	4,110			4,500
9.625% due 02/08/2011		23,439			28,127
9.375% due 07/23/2012		21,473			26,090
3.750% due 07/17/2014 (a)		46			46
7.250% due 03/15/2015		2,100			2,293
9.375% due 01/16/2023		900			1,116
8.875% due 09/30/2027		250			299
9.375% due 04/01/2029		2,675			3,324
Total Panama (Cost $62,019)					65,795
PERU 3.3%
Republic of Peru
9.125% due 01/15/2008	$	5,209			5,782
9.125% due 02/21/2012		25,841			30,363
9.875% due 02/06/2015		2,350			2,920
5.000% due 03/07/2017 (a)		36,002			34,452
8.750% due 11/21/2033		11,795			13,358
Total Peru (Cost $81,300)					86,875
QATAR 0.0%
Ras Laffan Liquefied Natural Gas Co., Ltd.
3.437% due 09/15/2009	$	748			735
Total Qatar (Cost $732)					735
RUSSIA 17.7%
Russian Federation
8.750% due 07/24/2005	$	25,648			25,743
10.000% due 06/26/2007		1,180			1,302
8.250% due 03/31/2010 (a)		40,280			44,049
11.000% due 07/24/2018		2,700			4,044
12.750% due 06/24/2028		9,275			16,802
5.000% due 03/31/2030 (a)		337,330			377,454
Total Russia (Cost $460,296)					469,394
SOUTH AFRICA (e) 1.8%
Republic of South Africa
8.375% due 10/17/2006	$	1,000			1,052
9.125% due 05/19/2009		6,940			8,068
7.375% due 04/25/2012		6,750			7,779
5.250% due 05/16/2013	EC	12,160			16,190
6.500% due 06/02/2014	$	11,950			13,369
8.500% due 06/23/2017		1,240			1,604
Total South Africa (Cost $43,933)					48,062
SOUTH KOREA 0.4%
Korea Highway Corp.
5.125% due 05/20/2015	$	11,700			11,764
Total South Korea (Cost $11,577)					11,764
TUNISIA (e) 2.3%
Banque Centrale de Tunisie
4.750% due 04/07/2011	EC	450			585
7.375% due 04/25/2012	$	44,487			51,382
4.250% due 06/22/2020	EC	5,500			6,696
8.250% due 09/19/2027	$	1,680			2,159
Total Tunisia (Cost $60,150)					60,822
UKRAINE 3.8%
Republic of Ukraine
11.000% due 03/15/2007	$	11,971			12,661
6.365% due 08/05/2009 (a)		28,520			30,876
6.875% due 03/04/2011		35,350			37,389
7.650% due 06/11/2013		17,585			19,437
Total Ukraine (Cost $95,465)					100,363
UNITED KINGDOM 0.1%
Vedanta Resources PLC
6.625% due 02/22/2010	$	2,000			1,968
Total United Kingdom (Cost $1,946)					1,968
UNITED STATES 3.5%
Corporate Bonds & Notes 0.7%
Braskem S.A.
12.500% due 11/05/2008	$	500			589
Cia de Saneamento Basico do Estado de Sao Paulo
12.000% due 06/20/2008		1,000			1,135
CSN Islands VII Corp.
10.750% due 09/12/2008		1,000			1,113
EmpreS.A. Nacional de Electricidad S.A./Chile
8.350% due 08/01/2013		2,000			2,327
Grupo Transportacion Ferroviaria Mexicana S.A.
9.375% due 05/01/2012		4,850			5,068
Kazkommerts International BV
7.000% due 11/03/2009		2,500			2,556
Noble Group Ltd.
6.625% due 03/17/2015		1,000			925
Pemex Project Funding Master Trust
5.750% due 12/15/2015		1,550			1,551
SINO-FOREST Corp.
9.125% due 08/17/2011		2,700			2,963
					18,227
U.S. Treasury Obligations 2.8%
U.S. Treasury Bond
6.250% due 08/15/2023		75			93
U.S. Treasury Notes
4.875% due 02/15/2012		52,800			56,092
4.125% due 05/15/2015		17,450			17,710
					73,895
Total United States (Cost $90,654)					92,122
VENEZUELA 2.9%
Republic of Venezuela
5.375% due 08/07/2010	$	4,500			4,203
4.150% due 04/20/2011 (a)		19,200			17,551
10.750% due 09/19/2013		11,480			13,466
8.500% due 10/08/2014		2,000			2,082
7.000% due 12/01/2018		5,000			4,463
0.000% due 04/15/2020 (a)		4			72
9.250% due 09/15/2027		32,080			33,716
9.375% due 01/13/2034		2,000			2,100
Total Venezuela (Cost $76,617)					77,653
SHORT-TERM INSTRUMENTS 24.0%
Certificates of Deposit 2.4%
Citibank New York N.A.
3.360% due 09/19/2005	$	64,000			64,000
Commercial Paper 20.9%
Barclays U.S. Funding Corp.
3.195% due 08/24/2005		66,500			66,181
3.215% due 08/26/2005		7,600			7,562
Fannie Mae
2.967% due 07/01/2005		72,500			72,500
2.988% due 07/20/2005		59,500			59,406
3.250% due 09/14/2005		71,000			70,496
Federal Home Loan Bank
2.963% due 07/01/2005		44,500			44,500
Rabobank USA Financial Corp.
3.360% due 07/01/2005		69,300			69,300
3.360% due 10/17/2005		9,900			9,797
Skandinaviska Enskilda Banken AB (SEB)
3.030% due 07/11/2005		58,800			58,751
3.310% due 09/13/2005		19,100			18,966
UBS Finance Delaware LLC
3.070% due 07/08/2005		1,000			999
3.065% due 07/11/2005		9,700			9,692
3.105% due 07/11/2005		4,000			3,997
3.115% due 07/25/2005		400			399
3.165% due 08/30/2005		60,600			60,258
3.230% due 09/19/2005		2,100			2,084
					554,888
Repurchase Agreement 0.7%
State Street Bank
2.650% due 07/01/2005		16,772			16,772
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $17,112. Repurchase proceeds are $16,773.)
U.S. Treasury Bill 0.0%
2.950% due 09/15/2005 (c)		575			571
Total Short-Term Instruments (Cost $636,284)					636,231
Total Investments (b) (Cost $3,055,162)		119.7	%	$	3,179,938
Other Assets and Liabilities (Net)		(19.7	%)		(522,581	)
Net Assets		100.0	%	$	2,657,357

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) As of June 30, 2005, portfolio securities with an aggregate market value of $22,023 were valued with reference to securities whose prices are more readily obtainable.

(c) Securities with an aggregate market value of $571 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond Long Futures	09/2005	11	$	0

(d) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.350	%	07/10/2005	$	10,720	$	72
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		780		1
Credit Suisse First Boston	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.550	%	09/07/2005		6,400		5
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.580	%	06/20/2006		6,120		10
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	03/20/2007		2,450		9
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	05/20/2007		2,700		10
Lehman Brothers, Inc.	Republic of Philippines 8.250% due 01/15/2014	Buy	2.850	%	03/20/2008		5,000		(40	)
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	1.280	%	02/20/2009		3,800		88
Credit Suisse First Boston	Federative Republic of Brazil 10.125% due 05/15/2027	Sell	8.250	%	03/11/2009		14,000		2,984
ABN AMRO Bank, N.V.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.360	%	08/24/2009		8,025		501
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		16,000		582
UBS Warburg LLC	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		3,000		77
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		7,950		221
Goldman Sachs & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		5,000		202
Goldman Sachs & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		4,000		161
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		32,040		649
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		34,300		999
Goldman Sachs & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		20,000		493
Barclays Bank PLC	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,000		80
J.P. Morgan Chase & Co.	United Mexican States 11.500% due 05/15/2026	Sell	2.840	%	01/04/2013		5,400		604
Credit Suisse First Boston	United Mexican States 11.500% due 05/15/2026	Sell	2.800	%	01/16/2013		4,000		433
Goldman Sachs & Co.	United Mexican States 11.500% due 05/15/2026	Sell	2.450	%	04/08/2013		3,500		279
Citibank N.A.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.110	%	06/17/2013		20,000		2,351
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.050	%	06/18/2013		20,000		2,269
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.160	%	10/02/2013		12,000		1,553
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	1.770	%	12/20/2013		12,500		374
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.310	%	01/21/2014		1,350		103
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.320	%	01/21/2014		12,000		923
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.550	%	03/20/2014		3,700		333
ABN AMRO Bank, N.V.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.990	%	08/24/2014		8,125		1,026
								$	17,352

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount	Unrealized (Depreciation)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.020	%	10/03/2005	BR 44,400	$	(38	)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.150	%	10/03/2005	22,900		(14	)
							$	(52	)

(e) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	3,267	07/2005	$	184	$	0		$	184
Buy		56,389	08/2005		3,080		0			3,080
Sell		44,136	08/2005		0		(1,712	)		(1,712	)
Buy	CP	1,732,709	08/2005		5		(3	)		2
Buy		16,878	09/2005		1		0			1
Buy	CY	24,681	09/2005		0		(53	)		(53	)
Sell	EC	41,350	07/2005		99		0			99
Sell		7,550	08/2005		23		0			23
Buy	JY	1,391,423	07/2005		0		(511	)		(511	)
Buy	KW	2,746,865	07/2005		0		(94	)		(94	)
Buy		1,983,752	08/2005		0		(57	)		(57	)
Buy		201,055	11/2005		0		(6	)		(6	)
Buy	MP	31,178	08/2005		77		0			77
Buy		7,790	09/2005		2		0			2
Buy	PN	9,065	08/2005		4		0			4
Buy		317	09/2005		0		0			0
Buy	PZ	29,205	08/2005		57		(55	)		2
Buy		881	09/2005		0		(1	)		(1	)
Buy	RP	131,247	09/2005		6		0			6
Buy		31,277	11/2005		0		(2	)		(2	)
Buy	RR	36,237	07/2005		0		(42	)		(42	)
Buy		240,786	08/2005		0		(139	)		(139	)
Buy		12,873	09/2005		0		(2	)		(2	)
Buy	S$	2,111	07/2005		0		(32	)		(32	)
Buy		4,228	08/2005		0		(54	)		(54	)
Buy	SR	47,975	08/2005		199		(96	)		103
Buy	SV	275,499	08/2005		9		(83	)		(74	)
Buy		6,539	09/2005		0		(1	)		(1	)
Buy	T$	88,186	08/2005		0		(55	)		(55	)
Buy		2,552	09/2005		0		(1	)		(1	)
				$	3,746	$	(2,999	)	$	747

See accompanying notes

Schedule of Investments

European Convertible Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES (b) 6.2%
Banking & Finance 1.7%
General Motors Acceptance Corp.
7.250% due 07/03/2013	EC	1,000		$	1,048
Industrials 4.5%
Cognis GmbH
11.199% due 01/15/2015 (a)		1,500			1,724
Koninklijke Hoogovens NV
5.625% due 06/24/2008		2,000			1,159
					2,883
Total Corporate Bonds & Notes (Cost $4,218)					3,931
CONVERTIBLE BONDS & NOTES (b) 78.1%
Banking & Finance 43.6%
Adidas-Salomon International Finance
2.500% due 10/08/2018	EC	1,000			1,737
Caixa Finance BV
0.250% due 07/03/2006		1,450			2,116
Citibank, N.A.
2.875% due 12/08/2007	$	1,500			1,611
Duesseldorfer Stadtwerke Gesellschaft fuer Beteiligungen mbH
1.750% due 07/05/2009	EC	1,300			1,782
Holcim Capital Corp.
0.000% due 06/10/2017	$	3,300			2,223
KFW International Finance, Inc.
0.875% due 01/08/2007	EC	2,000			2,511
0.750% due 08/08/2008		2,500			3,074
Portugal Telecom International Finance BV
2.000% due 12/06/2006		500			606
RepCon Lux S.A.
4.500% due 01/26/2011	$	2,000			2,346
Republic of Switzerland
0.250% due 12/19/2007	SF	6,500			5,076
Scottish Power Finance Ltd.
4.000% due 07/29/2049 (a)	$	1,500			1,783
Unicredito Italiano Bank (Ireland) PLC
2.500% due 12/19/2008	EC	2,000			2,554
Wells Fargo & Co.
2.960% due 05/01/2033 (a)	$	400			397
					27,816
Industrials 30.6%
Anglo American PLC
3.375% due 04/17/2007		1,800			1,999
Arcelor
3.000% due 06/27/2017	EC	1,348			1,806
BAA PLC
2.940% due 04/04/2008	BP	1,350			2,386
BAE Systems PLC
3.750% due 07/21/2006		1,000			1,862
Compagnie de St. Gobain (CIE DE)
2.625% due 01/01/2007	EC	1,722			2,173
Deutsche Post AG
2.650% due 07/02/2007		1,000			1,381
ExpressJet Holdings, Inc.
4.250% due 08/01/2023	$	300			240
Lagardere S.C.A.
2.500% due 07/01/2005	EC	500			605
Pinault-Printemps-Redoute S.A.
2.500% due 01/01/2008		432			593
Rank Group PLC
3.875% due 01/20/2009	BP	1,000			1,764
Roche Holdings, Inc.
0.000% due 07/25/2021	$	2,900			1,999
Vinci S.A.
2.000% due 01/01/2018	EC	1,440			2,685
					19,493
Utilities 3.9%
Deutsche Telekom International Finance BV
6.500% due 06/01/2006		300			414
Scottish & Southern Energy PLC
3.750% due 10/29/2009	BP	1,000			2,072
					2,486
Total Convertible Bonds & Notes (Cost $48,402)					49,795
FOREIGN CURRENCY-DENOMINATED ISSUES (b) 5.0%
Republic of Germany
5.500% due 01/04/2031	EC	2,000			3,162
Total Sovereign Issues (Cost $3,132)					3,162
		Shares
COMMON STOCKS 0.4%
Communications 0.4%
Telefonos de Mexico S.A. de CV SP - ADR		15,214			287
Total Common Stocks (Cost $225)					287
CONVERTIBLE PREFERRED STOCK 7.1%
Fannie Mae
5.375% due 12/31/2049		18			1,748
General Motors Corp.
5.250% due 03/06/2032		10,000			186
HSBC Finance Corp.
8.875% due 02/15/2006		18,000			756
News Corp. Finance Trust II
0.750% due 03/10/2023		1,960			1,824
Total Convertible Preferred Stock (Cost $4,540)					4,514
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 7.1%
Commercial Paper 6.9%
ASB Bank Ltd.
3.220% due 08/24/2005	$	1,400			1,393
HBOS Treasury Services PLC
3.255% due 09/07/2005		200			199
Svenska Handelsbanken, Inc.
3.155% due 08/03/2005		500			498
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		600			600
UBS Finance Delaware LLC
3.270% due 09/27/2005		1,700			1,686
					4,376
Repurchase Agreement 0.2%
State Street Bank
2.650% due 07/01/2005		138			138
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $145. Repurchase proceeds are $138.)
Total Short-Term Instruments (Cost $4,515)					4,514
Total Investments (Cost $65,032)		103.9	%	$	66,203
Other Assets and Liabilities (Net)		(3.9	%)		(2,465	)
Net Assets		100.0	%	$	63,738

Notes to Schedule of Investments (amounts in thousands)

(a) Variable rate security.

(b) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BP	200	07/2005	$	0	$	(6	)	$	(6	)
Sell		2,029	07/2005		58		0			58
Buy	EC	5,030	07/2005		0		0			0
Sell		394	07/2005		2		0			2
Buy		10,647	08/2005		0		(32	)		(32	)
Sell	SF	3,193	09/2005		71		0			71
				$	131	$	(38	)	$	93

See accompanying notes

Schedule of Investments

European StocksPLUS TR Strategy Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.7%
Banking & Finance 0.4%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	12		$	14
Utilities 0.3%
Pacific Gas & Electric Co.
4.204% due 04/03/2006 (a)		13			13
Total Corporate Bonds & Notes (Cost $26)					27
MUNICIPAL BONDS & NOTES 2.7%
Akron, Ohio Community Learning Centers Income Tax Revenue Bonds, (FGIC Insured), Series 2004-A
5.000% due 12/01/2033		20			21
Austin, Texas State University Systems Financing Revenue Bonds, Series 2004
5.000% due 03/15/2030		30			32
5.000% due 03/15/2034		30			32
New York City Municipal Water Finance Authority Revenue Bonds, Series 2005
7.220% due 06/15/2034 (a)		15			16
Total Municipal Bonds & Notes (Cost $98)					101
U.S. GOVERNMENT AGENCIES 65.9%
Fannie Mae
4.000% due 08/25/2009		76			76
4.375% due 11/25/2023 (a)		100			103
4.820% due 12/01/2034 (a)		92			93
5.000% due 02/01/2020		480			486
5.500% due 02/01/2035 - 07/14/2035 (c)		1,396			1,416
5.567% due 07/01/2032 (a)		95			95
Freddie Mac
2.750% due 02/15/2012		80			79
3.420% due 10/15/2020 (a)		57			57
3.500% due 01/15/2010		59			59
5.500% due 08/15/2030		5			5
Total U.S. Government Agencies (Cost $2,466)					2,469
U.S. TREASURY OBLIGATIONS 23.7%
Treasury Inflation Protected Security (b)
2.000% due 07/15/2014		103			106
U.S. Treasury Bonds
8.750% due 05/15/2017		200			287
8.125% due 05/15/2021		200			290
U.S. Treasury Notes
4.250% due 08/15/2014		100			102
4.125% due 05/15/2015		100			102
Total U.S. Treasury Obligations (Cost $879)					887
MORTGAGE-BACKED SECURITIES 6.8%
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (a)		59			59
Wells Fargo Mortgage-Backed Securities Trust
3.540% due 09/25/2034 (a)		199			198
Total Mortgage-Backed Securities (Cost $259)					257
ASSET-BACKED SECURITIES 1.4%
Long Beach Mortgage Loan Trust
3.464% due 02/25/2024 (a)		2			2
SLM Student Loan Trust
3.151% due 10/26/2009 (a)		52			52
Total Asset-Backed Securities (Cost $54)					54
SOVEREIGN ISSUES 6.2%
Republic of Brazil
9.230% due 06/29/2009 (a)		10			11
14.500% due 10/15/2009		25			33
4.313% due 04/15/2012 (a)		16			16
8.000% due 04/15/2014		11			11
Republic of Panama
9.625% due 02/08/2011		12			14
Republic of Peru
9.125% due 02/21/2012		21			25
Russian Federation
8.250% due 03/31/2010 (a)		20			22
5.000% due 03/31/2030 (a)		50			56
United Mexican States
10.375% due 02/17/2009		36			43
Total Sovereign Issues (Cost $220)					231
	# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 93.750 Exp. 12/19/2005		3			0
Strike @ 94.250 Exp. 12/19/2005		1			0
Eurodollar September Futures (CME)
Strike @ 94.750 Exp. 09/19/2005		2			0
Strike @ 94.500 Exp. 09/19/2005		5			0
Total Purchased Put Options (Cost $0)					0
	Shares
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		100			6
Total Preferred Stock (Cost $5)					6
EXCHANGE-TRADED FUNDS 2.5%
streetTRACKS Dow Jones EURO STOXX 50 Fund		2,449			95
Total Exchange-Traded Funds (Cost $94)					95
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 24.7%
Commercial Paper 5.3%
Fannie Mae
2.967% due 07/01/2005	$	100			100
Federal Home Loan Bank
2.963% due 07/01/2005		100			100
					200
Repurchase Agreements 16.3%
Credit Suisse First Boston
2.700% due 07/01/2005		500			500
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500% due 08/15/2009 valued at $512. Repurchase proceeds are $500.)
State Street Bank
2.650% due 07/01/2005		112			112
(Dated 06/30/2005. Collateralized by Freddie Mac 2.250% due 11/28/2005 valued at $115. Repurchase proceeds are $112.)
					612
U.S. Treasury Bills 3.1%
2.940% due 09/01/2005-09/15/2005 (c)(d)		115			114
Total Short-Term Instruments (Cost $926)					926
Total Investments (Cost $5,027)		134.8	%	$	5,053
Written Options (f) (Premiums $2)		(0.0	%)		(1	)
Other Assets and Liabilities (Net)		(34.8	%)		(1,303	)
Net Assets		100.0	%	$	3,749

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $114 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar June Long Futures	06/2006	2	$	1
Eurodollar December Long Futures	12/2005	4		(1	)
Eurodollar December Long Futures	12/2006	1		2
U.S. Treasury 10-Year Note Short Futures	09/2005	1		0
U.S. Treasury 30-Year Bond Long Futures	09/2005	5		2
			$	4

(e) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	400	$	0
Barclays Bank PLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		400		2
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		300		(2	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		200		(1	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		300		1
								$	0

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation
Goldman Sachs & Co.	streetTRACKS Dow Jones EURO STOXX 50 Fund	1-month USD- LIBOR plus 0.100%	11/15/2005	93,813	$	23

(f) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	08/26/2005	2	$	1	$	0

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	4.000	%**	08/26/2005	$	200	$	0	$	0
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	4.750	%*	08/26/2005		200		1		1
							$	1	$	1

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(g) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity	Par		Value		Proceeds
U.S. Treasury Note	4.000	11/15/2012	$	200	$	202	$	203
U.S. Treasury Note	4.250	11/15/2013		300		308		307
					$	510	$	510

(h) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized (Depreciation)
Sell	EC	3,935	07/2005	$	0	$	0		$	0
Buy		869	08/2005		0		(3	)		(3	)
Buy	JY	5,599	07/2005		0		(2	)		(2	)
Buy	SK	23	09/2005		0		0			0
				$	0	$	(5	)	$	(5	)

See accompanying notes

Schedule of Investments

Far East (ex-Japan) StocksPLUS TR Strategy Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.5%
Banking & Finance 0.3%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	12			14
Utilities 0.2%
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		8			8
Total Corporate Bonds & Notes (Cost $21)					22
MUNICIPAL BONDS & NOTES 2.4%
Akron, Ohio Community Learning Centers Income Tax Revenue Bonds, (FGIC Insured), Series 2004-A
5.000% due 12/01/2033		20			21
Austin, Texas State University Systems Financing Revenue Bonds, Series 2004
5.000% due 03/15/2030		30			32
5.000% due 03/15/2034		30			32
New York City Municipal Water Finance Authority Revenue Bonds, Series 2005
7.220% due 06/15/2034 (a)		15			16
Total Municipal Bonds & Notes (Cost $98)					101
U.S. GOVERNMENT AGENCIES 65.8%
Fannie Mae
3.319% due 09/22/2006 (a)		200			200
4.000% due 08/25/2009		76			76
4.375% due 11/25/2023 (a)		100			103
5.000% due 01/01/2020		480			486
5.500% due 02/01/2035 - 07/14/2035 (c)		1,391			1,411
5.567% due 07/01/2032 (a)		95			95
Freddie Mac
2.750% due 02/15/2012		80			79
3.420% due 10/15/2020 (a)		57			57
3.500% due 03/15/2010		67			66
4.000% due 07/15/2017		83			83
4.500% due 08/15/2009		46			46
5.000% due 06/15/2013		59			59
5.500% due 08/15/2030		5			5
Total U.S. Government Agencies (Cost $2,757)					2,766
U.S. TREASURY OBLIGATIONS 24.5%
Treasury Inflation Protected Security (b)
2.000% due 07/15/2014		103			106
U.S. Treasury Bonds
8.750% due 05/15/2017		300			431
8.875% due 08/15/2017		100			145
8.125% due 05/15/2021		100			145
U.S. Treasury Notes
3.000% due 12/31/2006		100			99
4.250% due 08/15/2014		100			103
Total U.S. Treasury Obligations (Cost $1,025)					1,029
ASSET-BACKED SECURITIES 4.4%
Countrywide Asset-Backed Certificates
3.484% due 12/25/2018 (a)		4			4
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 09/20/2033 (a)		55			56
SLM Student Loan Trust
3.141% due 07/27/2009 (a)		38			38
3.141% due 04/25/2010 (a)		86			86
Total Asset-Backed Securities (Cost $184)					184
SOVEREIGN ISSUES 6.0%
Republic of Brazil
9.230% due 06/29/2009 (a)		10			11
14.500% due 10/15/2009		25			33
4.313% due 04/15/2012 (a)		33			32
8.000% due 04/15/2014		21			22
Republic of Panama
9.625% due 02/08/2011	$	12			14
Republic of Peru
9.125% due 02/21/2012		11			13
Republic of Ukraine
11.000% due 03/15/2007		7			8
Russian Federation
8.250% due 03/31/2010 (a)		10			11
5.000% due 03/31/2030 (a)		60			67
United Mexican States
10.375% due 02/17/2009		36			43
Total Sovereign Issues (Cost $244)					254
FOREIGN CURRENCY - DENOMINATED ISSUES (h) 3.8%
Republic of Germany
5.500% due 01/04/2031	EC	100			158
Total Foreign Currency - Denominated Issues (Cost $157)					158
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 94.250 Exp. 12/19/2005		5			0
Strike @ 94.000 Exp. 12/19/2005		2			0
Strike @ 93.750 Exp. 12/19/2005		2			0
Eurodollar September Futures (CME)
Strike @ 94.750 Exp. 09/19/2005		2			0
Strike @ 94.375 Exp. 09/19/2005		3			0
Total Purchased Put Options (Cost $0)					0
		Shares
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		100			6
Total Preferred Stock (Cost $5)					6
EXCHANGE-TRADED FUNDS 8.6%
iShares MSCI Hong Kong Index Fund		509			7
iShares MSCI Malaysia Index Fund		15,060			104
iShares MSCI Singapore Index Fund		19,702			149
iShares MSCI South Korea Index Fund		2,822			90
iShares MSCI Taiwan Index Fund		932			11
Total Exchange-Traded Funds (Cost $361)					361
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 13.3%
Commercial Paper 7.1%
Federal Home Loan Bank
3.210% due 07/27/2005		200			200
General Electric Capital Corp.
3.290% due 09/09/2005		100			99
					299
Repurchase Agreement 3.4%
State Street Bank
2.650% due 07/01/2005		142			142
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $150. Repurchase proceeds are $142.)
U.S. Treasury Bill 2.8%
2.947% due 09/15/2005 (d)		120			119
Total Short-Term Instruments (Cost $560)					560
Total Investments (Cost $5,412)		129.4	%	$	5,441
Written Options (f) (Premiums $2)		(0.0	%)		(1	)
Other Assets and Liabilities (Net)		(29.4	%)		(1,236	)
Net Assets		100.0	%	$	4,204

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $119 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar December Long Futures	12/2005	8	$	0
Eurodollar December Long Futures	12/2006	1		2
U.S. Treasury 10-Year Note Short Futures	09/2005	4		(4	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	4		2
U.S. Treasury 5-Year Note Long Futures	09/2005	2		0
			$	0

(e) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2010	$	300	$	1
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		600		(2	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		100		0
								$	(1	)

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	iShares MSCI Hong Kong Index Fund	1-month USD-LIBOR plus 0.100%	11/15/2005	$	96,668	$	33
Goldman Sachs & Co.	iShares MSCI Malaysia Index Fund	1-month USD-LIBOR plus 0.100%	11/15/2005		35,491		(3	)
Goldman Sachs & Co.	iShares MSCI Singapore Index Fund	1-month USD-LIBOR plus 0.100%	11/15/2005		36,039		(47	)
Goldman Sachs & Co.	iShares MSCI South Korea Index Fund	1-month USD-LIBOR plus 0.100%	11/15/2005		49,092		3
Goldman Sachs & Co.	iShares MSCI Taiwan Index Fund	1-month USD-LIBOR plus 0.100%	11/15/2005		67,171		(9	)
						$	(23	)

(f) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	08/26/2005	1	$	0	$	0

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	4.000	%**	08/26/2005	$	200	$	1	$	0
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	4.750	%**	08/26/2005		200		1		1
							$	2	$	1

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(g) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity	Par	Value		Proceeds
U.S. Treasury Note	4.000	11/15/2012	200	$	202	$	203
U.S. Treasury Note	4.250	11/15/2013	300		308		307
				$	510	$	510

(h) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	BP	3	07/2005	$	0	$	0		$	0
Sell	EC	25	07/2005		0		0			0
Buy		25	08/2005		0		0			0
Sell	H$	9,288	08/2005		0		0			0
Buy	JY	6,620	07/2005		0		(2	)		(2	)
Sell	KW	1,193,200	08/2005		33		0			33
Buy	S$	100	07/2005		0		0			0
Sell		20	07/2005		0		0			0
Sell		929	08/2005		8		0			8
Sell	T$	24,065	08/2005		13		0			13
				$	54	$	(2	)	$	52

See accompanying notes

Schedule of Investments

Floating Income Fund

June 30, 2005 (Unaudited)

		Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 10.7%
AES Corp.
5.250% due 04/30/2008 (a)	$	1,000		$	1,010
5.570% due 04/30/2008 (a)		1,000			1,010
AGCO Corp.
4.820% due 01/31/2006 (a)		1,955			1,966
4.842% due 01/31/2006 (a)		411			413
Alderwoods Group, Inc.
5.080% due 09/17/2008 (a)		303			307
5.190% due 09/17/2008 (a)		172			174
5.296% due 09/17/2008 (a)		286			290
5.480% due 09/17/2008 (a)		372			377
5.116% due 09/17/2009 (a)		15			16
Allegheny Energy, Inc.
5.820% due 03/08/2011 (a)		1,673			1,682
5.880% due 03/08/2011 (a)		587			590
5.950% due 03/08/2011 (a)		24			24
Allied Waste North America
5.170% due 01/15/2012 (a)		405			407
5.190% due 01/15/2012 (a)		324			325
5.370% due 01/15/2012 (a)		324			325
5.500% due 01/15/2012 (a)		730			732
5.520% due 01/15/2012 (a)		340			342
2.860% due 02/24/2012 (a)		811			814
American Tower LP
5.230% due 02/28/2011 (a)		2,000			2,010
Appleton Papers, Inc.
5.730% due 06/09/2010 (a)		149			151
5.550% due 06/11/2010 (a)		149			150
Ardent Health Services, Inc.
7.500% due 08/15/2011 (a)		2,985			2,989
Berry Plastics Corp.
5.390% due 07/22/2010 (a)		1			1
5.600% due 07/22/2010 (a)		496			504
Boise Cascade LLC
5.250% due 10/29/2011 (a)		1,751			1,776
Brenntag AG
5.880% due 02/27/2012 (a)		1,000			1,013
Celanese Corp.
3.090% due 07/27/2009 (a)		2,000			2,027
Celanese Holdings LLC
5.625% due 04/06/2011 (a)		998			1,014
Centennial Communications
5.570% due 01/20/2011 (a)		29			30
5.630% due 01/20/2011 (a)		126			128
5.740% due 01/20/2011 (a)		420			426
5.770% due 01/20/2011 (a)		42			43
5.630% due 02/09/2011 (a)		378			384
Charter Communications Holdings LLC
6.440% due 04/26/2011 (a)		990			985
Choctaw Resort
5.025% due 11/04/2011 (a)		1,090			1,103
5.630% due 11/04/2011 (a)		19			19
Coleto Creek WLE LP
5.314% due 07/01/2011 (a)		1,000			1,021
Community Health Systems, Inc.
4.420% due 08/19/2011 (a)		5			5
5.070% due 08/19/2011 (a)		1,978			2,001
Cooper Standard Automotive, Inc.
5.500% due 12/31/2011 (a)		2,532			2,534
Covanta Energy Corp.
1.010% due 06/10/2012 (a)		1,000			1,010
Davita, Inc.
1.010% due 06/17/2012 (a)		3,000			3,042
Delphi Corp.
9.740% due 06/13/2011 (a)		2,000			2,053
Dex Media West LLC
4.660% due 09/09/2010 (a)		418			423
4.750% due 09/09/2010 (a)		869			877
4.830% due 09/09/2010 (a)		540			545
4.840% due 09/09/2010 (a)		519			524
4.940% due 09/09/2010 (a)		136			137
5.010% due 09/09/2010 (a)		472			477
5.050% due 09/09/2010 (a)		327			331
5.080% due 09/09/2010 (a)		639			645
DirecTV Holdings LLC
4.590% due 04/08/2013 (a)		2,000			2,009
Dresser-Rand Group, Inc.
5.125% due 10/29/2009 (a)		16			16
5.438% due 10/29/2011 (a)		1,273			1,293
5.490% due 10/29/2011 (a)		392			399
Dura Operating Corp.
6.776% due 04/28/2011 (a)		1,000			996
El Paso Corp.
2.770% due 11/22/2009 (a)		3,875			3,904
6.125% due 11/22/2009 (a)		620			625
General Growth Properties
5.370% due 11/12/2007 (a)		1,000			1,007
5.580% due 11/12/2008 (a)		3,492			3,522
Goodyear Tire & Rubber Co.
5.890% due 04/30/2010 (a)		5,000			5,001
Headwaters, Inc.
5.400% due 04/30/2011 (a)		1,209			1,221
7.000% due 04/30/2011 (a)		28			28
Healthsouth Corp.
3.130% due 03/31/2010 (a)		319			323
5.820% due 03/31/2010 (a)		1,181			1,197
Hercules, Inc.
4.873% due 10/08/2010 (a)		564			570
5.240% due 10/08/2010 (a)		30			30
Insight Midwest LP
5.875% due 12/31/2009 (a)		1,495			1,512
Jarden Corp.
5.092% due 01/21/2012 (a)		4,015			4,063
5.300% due 01/21/2012 (a)		474			479
Jean Coutu Group, Inc.
5.500% due 07/30/2011 (a)		1,985			2,016
Jefferson Smurfit Corp.
3.340% due 11/01/2010 (a)		87			89
5.125% due 11/01/2010 (a)		212			216
5.375% due 11/01/2010 (a)		215			218
5.375% due 11/01/2011 (a)		143			145
5.563% due 11/01/2011 (a)		340			345
K&F Industries, Inc.
5.200% due 11/18/2012 (a)		467			474
5.820% due 11/18/2012 (a)		953			966
Kinetic Concepts, Inc.
5.240% due 07/14/2010 (a)		1,343			1,357
Loews Cineplex Entertainment Corp.
5.460% due 07/08/2011 (a)		695			699
5.372% due 07/22/2011 (a)		782			786
Masonite International Corp.
5.140% due 04/06/2013 (a)		1,500			1,499
Mediacom Communications Corp.
5.090% due 02/28/2014 (a)		1,020			1,028
5.350% due 02/28/2014 (a)		800			809
5.490% due 02/28/2014 (a)		180			182
MGM, Inc.
5.380% due 04/08/2012 (a)		4,000			4,019
Nalco Co.
4.920% due 11/01/2010 (a)		416			423
5.450% due 11/01/2010 (a)		472			480
5.660% due 11/01/2010 (a)		612			622
New Skies Satellites Holdings Ltd.
5.688% due 05/04/2011 (a)		2,049			2,077
Nortek Holdings, Inc.
5.910% due 08/24/2011 (a)		1,995			2,008
Novelis, Inc.
4.960% due 12/30/2011 (a)		2,804			2,838
NRG Energy, Inc.
2.992% due 12/24/2011 (a)		1,969			1,988
5.255% due 12/24/2011 (a)		2,509			2,533
5.365% due 12/24/2011 (a)		16			16
Pacificare Health
4.938% due 12/17/2008 (a)		424			426
5.125% due 12/17/2008 (a)		635			639
5.188% due 12/17/2008 (a)		138			139
PanAmSat Corp.
4.990% due 08/20/2009 (a)		792			801
5.310% due 08/20/2011 (a)		1,500			1,525
Penn National Gaming, Inc.
1.010% due 05/26/2012 (a)		3,000			3,030
Polypore, Inc.
5.580% due 11/12/2011 (a)		469			472
Primedia, Inc.
7.563% due 12/31/2009 (a)		6			6
7.688% due 12/31/2009 (a)		1,182			1,195
Qwest Corp.
6.950% due 06/30/2010 (a)		2,000			1,984
Refco Finance Holdings LLC
5.314% due 08/05/2011 (a)		4,506			4,524
Reliant Resources, Inc.
5.675% due 04/30/2010 (a)		298			301
6.089% due 04/30/2010 (a)		3,692			3,730
Resorts International Holdings LLC
5.830% due 03/22/2012 (a)		1,476			1,497
Revlon Consumer Products Corp.
9.300% due 07/09/2010 (a)		125			129
8.840% due 07/31/2010 (a)		250			259
9.380% due 07/31/2010 (a)		250			259
9.490% due 07/31/2010 (a)		250			259
RH Donnelley, Inc.
4.760% due 06/30/2011 (a)		249			252
4.800% due 06/30/2011 (a)		50			50
4.870% due 06/30/2011 (a)		50			50
4.880% due 06/30/2011 (a)		150			151
5.110% due 06/30/2011 (a)		199			202
5.180% due 06/30/2011 (a)		150			151
5.210% due 06/30/2011 (a)		199			202
5.230% due 06/30/2011 (a)		50			50
5.240% due 06/30/2011 (a)		336			340
Sealy Mattress Co.
4.910% due 04/01/2013 (a)		31			31
4.940% due 04/01/2013 (a)		265			267
5.080% due 04/01/2013 (a)		177			178
Simmons Bedding Co.
5.438% due 12/19/2011 (a)		38			38
5.625% due 12/19/2011 (a)		50			51
5.750% due 12/19/2011 (a)		819			824
5.938% due 12/19/2011 (a)		20			20
7.500% due 12/19/2011 (a)		63			63
Telcordia Technologies, Inc.
5.829% due 09/09/2012 (a)		1,500			1,479
6.070% due 09/09/2012 (a)		1,500			1,479
Tenneco Automotive, Inc.
5.361% due 12/12/2010 (a)		1,160			1,176
5.540% due 12/12/2010 (a)		2,653			2,689
UGS PLM Solution
5.330% due 05/26/2011 (a)		2,492			2,521
Universal City Development
5.190% due 06/09/2010 (a)		564			570
5.490% due 06/09/2010 (a)		16			16
5.270% due 06/19/2010 (a)		418			423
UPC Finance
5.752% due 09/15/2012 (a)		2,000			2,002
Valor Communication
5.330% due 02/15/2012 (a)		1,204			1,221
5.490% due 02/15/2012 (a)		763			773
Warner ChilCott Co., Inc.
5.960% due 01/18/2012 (a)		1,625			1,631
6.010% due 01/18/2012 (a)		1,376			1,381
7.750% due 01/18/2012 (a)		181			181
Warner Chilcott Corp.
6.010% due 01/18/2012 (a)		1,282			1,287
Warner ChilCott Holdings Co. III Ltd.
6.010% due 01/18/2012 (a)		592			594
Warner Music Group, Inc.
5.150% due 02/27/2011 (a)		500			504
5.290% due 02/27/2011 (a)		505			509
5.320% due 02/27/2011 (a)		423			426
5.520% due 02/27/2011 (a)		566			570
Worldspan LP
5.875% due 02/11/2010 (a)		497			487
5.938% due 02/11/2010 (a)		80			78
6.125% due 02/11/2010 (a)		67			65
6.000% due 02/16/2010 (a)		500			490
6.063% due 02/16/2010 (a)		67			65
6.188% due 02/16/2010 (a)		220			216
Wynn Las Vegas LLC
5.475% due 12/14/2011 (a)		3,000			3,023
Xerium Technologies, Inc.
5.490% due 05/18/2012 (a)		1,500			1,515
Total Bank Loan Obligations (Cost $148,580)					148,676
CORPORATE BONDS & NOTES 19.3%
Banking & Finance 8.0%
American General Finance Corp.
3.210% due 01/06/2006 (a)		600			600
Banco Santander Chile
3.720% due 12/09/2009 (a)		3,500			3,511
Banque Centrale de Tunisie
7.500% due 09/19/2007		2,000			2,135
Bear Stearns Cos, Inc.
4.070% due 09/27/2007 (a)		650			658
3.490% due 01/30/2009 (a)		2,500			2,513
3.640% due 09/09/2009 (a)		1,680			1,687
Borden US Finance Corp.
7.891% due 07/15/2010 (a)		600			601
CIT Group, Inc.
3.250% due 04/19/2006 (a)		400			400
3.490% due 05/18/2007 (a)		100			100
3.660% due 09/20/2007 (a)		7,000			7,021
Ford Motor Credit Co.
6.500% due 01/25/2007		700			705
4.711% due 01/15/2010 (a)		1,000			918
General Electric Capital Corp.
3.410% due 02/03/2006 (a)		100			100
3.420% due 05/12/2006 (a)		100			100
3.390% due 03/04/2008 (a)		2,500			2,502
3.290% due 04/30/2009 (a)		1,500			1,504
3.464% due 11/21/2011 (a)		2,000			2,007
3.670% due 09/15/2014 (a)		450			454
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		1,390			1,391
6.750% due 01/15/2006		1,189			1,199
4.145% due 05/18/2006 (a)		5,050			5,027
4.050% due 01/16/2007 (a)		250			245
4.100% due 07/16/2007 (a)		1,100			1,062
6.125% due 08/28/2007		4,000			3,961
Goldman Sachs Group, Inc.
3.151% due 08/01/2006 (a)		5,000			5,001
3.350% due 10/27/2006 (a)		800			802
3.590% due 03/30/2007 (a)		1,500			1,502
3.491% due 07/23/2009 (a)		4,135			4,160
3.525% due 10/07/2011 (a)		2,000			2,012
Household Finance Corp.
3.378% due 02/09/2007 (a)		125			125
3.548% due 11/16/2009 (a)		4,500			4,517
HSBC Bank USA North America
3.509% due 09/21/2007 (a)		1,400			1,401
International Lease Finance Corp.
3.541% due 01/15/2010 (a)		4,500			4,497
Korea Development Bank
3.545% due 10/20/2009 (a)		5,200			5,208
Merrill Lynch & Co., Inc.
3.670% due 03/07/2006 (a)		100			100
3.430% due 04/18/2006 (a)		250			251
Morgan Stanley Dean Witter & Co.
3.288% due 11/09/2006 (a)		2,500			2,501
3.270% due 01/12/2007 (a)		442			443
3.393% due 02/15/2007 (a)		700			701
3.275% due 01/18/2008 (a)		2,000			2,001
3.390% due 01/22/2009 (a)		100			100
3.421% due 01/15/2010 (a)		3,500			3,509
National Rural Utilities Cooperative Finance Corp.
3.370% due 02/17/2006 (a)		900			900
NiSource Finance Corp.
7.625% due 11/15/2005		2,000			2,026
3.854% due 11/23/2009 (a)		3,500			3,517
Pemex Finance Ltd.
8.450% due 02/15/2007		632			652
8.020% due 05/15/2007		3,333			3,455
Qwest Capital Funding, Inc.
7.750% due 08/15/2006		2,000			2,055
SLM Corp.
3.610% due 09/15/2006 (a)		2,500			2,507
3.281% due 01/25/2007 (a)		2,500			2,505
3.241% due 01/25/2008 (a)		9,000			9,003
3.371% due 07/25/2008 (a)		500			502
3.361% due 01/26/2009 (a)		1,000			1,003
UBS Luxembourg S.A.
4.920% due 10/24/2006		150			152
Universal City Florida Holding Co.
7.960% due 05/01/2010 (a)		2,500			2,606
Wells Fargo & Co.
3.360% due 09/29/2005 (a)		250			250
					110,365
Industrials 7.5%
Abitibi-Consolidated, Inc.
6.910% due 06/15/2011 (a)		2,350			2,344
AOL Time Warner, Inc.
6.125% due 04/15/2006		2,000			2,032
Boise Cascade LLC
6.016% due 10/15/2012 (a)		3,000			3,045
Bowater, Inc.
6.410% due 03/15/2010 (a)		2,500			2,544
Burlington Northern Santa Fe Corp.
6.375% due 12/15/2005		220			222
Cablevision Systems Corp.
7.890% due 04/01/2009 (a)		5,100			5,138
Caesars Entertainment, Inc.
9.375% due 02/15/2007		430			463
CCO Holdings LLC
7.535% due 12/15/2010 (a)		4,000			3,900
Cox Communications, Inc.
3.950% due 12/14/2007 (a)		6,000			6,036
CSX Corp.
3.510% due 08/03/2006 (a)		3,093			3,100
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		780			781
3.890% due 05/24/2006 (a)		5,100			5,114
4.228% due 08/08/2006 (a)		100			101
3.600% due 11/17/2006 (a)		1,000			1,000
3.610% due 03/07/2007 (a)		4,200			4,189
3.859% due 09/10/2007 (a)		800			800
Duke Energy Field Services LLC
7.500% due 08/16/2005		5,000			5,020
EchoStar DBS Corp.
5.750% due 10/01/2008		1,000			999
6.350% due 10/01/2008 (a)		2,755			2,831
El Paso Corp.
6.950% due 12/15/2007		1,750			1,778
Emmis Communications Corp.
9.314% due 06/15/2012 (a)		1,500			1,534
Enterprise Products Operating LP
4.000% due 10/15/2007		250			248
Freescale Semiconductor, Inc.
5.891% due 07/15/2009 (a)		3,950			4,123
Georgia-Pacific Corp.
7.500% due 05/15/2006		2,000			2,060
7.375% due 07/15/2008		1,000			1,069
Goodman Global Holding Co, Inc.
6.621% due 06/15/2012 (a)		2,250			2,227
Halliburton Co.
4.650% due 10/17/2005 (a)		900			904
HCA, Inc.
8.750% due 09/01/2010		1,000			1,142
HealthSouth Corp.
7.625% due 06/01/2012 (b)		1,000			975
JetBlue Airways Corp.
6.368% due 11/15/2008 (a)		2,500			2,505
Lenfest Communications, Inc.
8.375% due 11/01/2005		5,320			5,396
Lyondell Chemical Co.
9.500% due 12/15/2008		1,500			1,603
MagnaChip Semiconductor S.A.
6.660% due 12/15/2011 (a)		2,500			2,488
Meritor Automotive, Inc.
6.800% due 02/15/2009		500			498
Newpark Resources, Inc.
8.625% due 12/15/2007		1,500			1,493
Owens-Brockway Glass Container, Inc.
8.750% due 11/15/2012		1,750			1,938
Pemex Project Funding Master Trust
4.941% due 10/15/2009 (a)		100			105
4.710% due 06/15/2010 (a)		16,000			16,551
Primedia, Inc.
8.638% due 05/15/2010 (a)		1,100			1,155
TCI Communications, Inc.
7.250% due 08/01/2005		125			125
8.000% due 08/01/2005		100			100
Tyco International Group S.A.
6.375% due 02/15/2006		2,500			2,534
Yum! Brands, Inc.
8.500% due 04/15/2006		2,500			2,583
					104,793
Utilities 3.8%
Alabama Power Co.
3.411% due 04/23/2007 (a)		100			100
American Electric Power Co., Inc.
4.709% due 08/16/2007 (a)		4,000			4,042
Appalachian Power Co.
3.810% due 06/29/2007 (a)		400			401
AT&T Corp.
8.050% due 11/15/2011		473			547
CMS Energy Corp.
9.875% due 10/15/2007		600			657
Dobson Cellular Systems
7.960% due 11/01/2011 (a)		1,500			1,568
Dominion Resources, Inc.
7.625% due 07/15/2005		100			100
3.568% due 05/15/2006 (a)		600			601
Duke Energy Corp.
3.820% due 12/08/2005 (a)		2,200			2,201
Intelsat Bermuda Ltd.
7.794% due 01/15/2012 (a)		4,500			4,601
Northwestern Corp.
7.300% due 12/01/2006		3,000			3,113
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		87			87
Progress Energy, Inc.
6.750% due 03/01/2006		4,500			4,577
PSEG Energy Holdings LLC
7.750% due 04/16/2007		2,350			2,438
8.625% due 02/15/2008		1,500			1,601
PSEG Power LLC
6.875% due 04/15/2006		2,500			2,552
Public Service Electric & Gas Co.
3.577% due 06/23/2006 (a)		5,500			5,501
Qwest Communications International, Inc.
6.768% due 02/15/2009 (a)		3,850			3,802
Qwest Corp.
6.671% due 06/15/2013 (a)		1,500			1,543
Rogers Wireless Communications, Inc.
6.535% due 12/15/2010 (a)		2,250			2,357
Rural Cellular Corp.
7.910% due 03/15/2010 (a)		1,400			1,449
Southern California Edison Co.
3.465% due 12/13/2007 (a)		3,000			3,000
Southwestern Electric Power
4.500% due 07/01/2005		1,000			1,000
Time Warner Telecom Holdings, Inc.
7.268% due 02/15/2011 (a)		2,350			2,374
TXU Energy Co. LLC
3.920% due 01/17/2006 (a)		2,500			2,500
					52,712
Total Corporate Bonds & Notes (Cost $268,340)					267,870
U.S. GOVERNMENT AGENCIES 13.2%
Fannie Mae
2.990% due 10/03/2005 (a)		200			200
3.005% due 07/06/2005 (a)		100			100
3.046% due 01/07/2006 (a)		2,500			2,500
3.179% due 05/22/2006 (a)		25,000			24,991
3.235% due 09/07/2006 (a)		50,000			49,998
Federal Home Loan Bank
3.174% due 08/26/2005 (a)		2,500			2,500
3.270% due 06/13/2006 (a)		39,500			39,496
3.363% due 03/28/2006 (a)		35,000			35,007
Freddie Mac
3.082% due 10/07/2005 (a)		200			200
3.335% due 09/09/2005 (a)		27,950			27,948
5.000% due 06/15/2013		550			552
Total U.S. Government Agencies (Cost $183,415)					183,492
U.S. TREASURY OBLIGATIONS 1.6%
Treasury Inflation Protected Security (c)
3.375% due 01/15/2007		22,104			22,813
Total U.S. Treasury Obligations (Cost $22,977)					22,813
MORTGAGE-BACKED SECURITIES 0.1%
Washington Mutual Mortgage Securities Corp.
3.435% due 12/25/2044 (a)		956			957
Total Mortgage-Backed Securities (Cost $956)					957
ASSET-BACKED SECURITIES 0.3%
Asset-Backed Securities Corp. Home Equity Loan Trust
3.474% due 09/25/2034 (a)		209			209
Chase Funding Loan Acquisition Trust
3.644% due 01/25/2033 (a)		174			174
Countrywide Asset-Backed Certificates
3.484% due 12/25/2018 (a)		20			20
3.464% due 01/25/2024 (a)		265			265
Fannie Mae
3.454% due 04/25/2035 (a)		432			433
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.454% due 08/25/2034 (a)		19			19
3.464% due 11/25/2034 (a)		247			248
Park Place Securities, Inc.
3.474% due 02/25/2035 (a)		294			294
SLM Student Loan Trust
3.141% due 04/25/2010 (a)		2,660			2,661
Total Asset-Backed Securities (Cost $4,321)					4,323
SOVEREIGN ISSUES 17.0%
Republic of Brazil
10.000% due 01/16/2007		250			269
11.250% due 07/26/2007		55			62
11.500% due 03/12/2008		25			29
4.313% due 04/15/2009 (a)		3,219			3,195
9.230% due 06/29/2009 (a)		60,560			70,325
10.000% due 08/07/2011		3,150			3,618
4.313% due 04/15/2012 (a)		39,287			38,011
8.000% due 04/15/2014		1,055			1,088
Republic of Bulgaria
3.750% due 07/28/2012 (a)		2,366			2,368
Republic of Chile
3.587% due 01/28/2008 (a)		1,461			1,470
Republic of Colombia
10.500% due 06/13/2006		750			791
8.625% due 04/01/2008		1,000			1,102
Republic of Ecuador
12.000% due 11/15/2012		1,500			1,418
8.000% due 08/15/2030 (a)		2,600			2,177
Republic of Egypt
7.625% due 07/11/2006		500			518
Republic of Kazakhstan
11.125% due 05/11/2007		750			843
Republic of Panama
8.250% due 04/22/2008		7,250			7,939
3.750% due 07/17/2014 (a)		619			611
3.750% due 07/17/2016 (a)		3,419			3,303
Republic of Peru
9.125% due 01/15/2008		5,400			5,994
5.000% due 03/07/2017 (a)		9,236			8,807
Republic of Ukraine
11.000% due 03/15/2007		5,563			5,883
6.365% due 08/05/2009 (a)		17,150			18,574
6.875% due 03/04/2011		250			264
Republic of Venezuela
5.375% due 08/07/2010		2,500			2,335
4.150% due 04/20/2011 (a)		43,850			40,085
Russian Federation
8.750% due 07/24/2005		4,747			4,765
8.250% due 03/31/2010 (a)		2,500			2,734
12.750% due 06/24/2028		100			181
5.000% due 03/31/2030 (a)		4,300			4,811
United Mexican States
3.840% due 01/13/2009 (a)		2,511			2,549
Total Sovereign Issues (Cost $232,857)					236,119
FOREIGN CURRENCY-DENOMINATED ISSUES (h) 5.2%
Aries Vermoegensverwaltungs GmbH
5.410% due 10/25/2007 (a)	EC	54,500			69,648
Kingdom of Spain
3.100% due 09/20/2006	JY	190,000			1,777
Total Foreign Currency-Denominated Issues (Cost $74,030)					71,425
CONVERTIBLE BONDS & NOTES 0.0%
AES Corp.
4.500% due 08/15/2005	$	200			201
Total Convertible Bonds & Notes (Cost $200)					201
		Shares
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		36,250			2,020
Total Preferred Stock (Cost $1,812)					2,020
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 32.8%
Certificates of Deposit 2.4%
Citibank New York N.A.
3.360% due 09/19/2005	$	33,500			33,500
Commercial Paper 20.9%
Fannie Mae
2.988% due 07/20/2005		27,900			27,856
3.005% due 07/27/2005		28,800			28,737
3.023% due 08/03/2005		30,500			30,415
3.066% due 08/10/2005		28,100			28,003
3.172% due 08/31/2005		5,700			5,667
3.205% due 09/07/2005		8,800			8,744
3.250% due 09/14/2005		5,400			5,362
Federal Home Loan Bank
2.963% due 07/01/2005		38,100			38,100
Freddie Mac
2.875% due 07/12/2005		21,700			21,680
2.963% due 08/01/2005		26,400			26,330
3.000% due 08/08/2005		16,900			16,847
3.190% due 09/06/2005		18,400			18,284
3.254% due 11/01/2005		20,800			20,553
3.310% due 11/03/2005		12,500			12,349
					288,927
Repurchase Agreements 9.3%
Credit Suisse First Boston
2.700% due 07/01/2005		124,300			124,300
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.750% due 05/15/2008 valued at $127,037. Repurchase proceeds are $124,309.)
State Street Bank
2.650% due 07/01/2005		5,122			5,122
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $5,226. Repurchase proceeds are $5,122.)
					129,422
U.S. Treasury Bills 0.2%
2.919% due 09/01/2005-09/15/2005 (d)(e)		2,370			2,355
Total Short-Term Instruments (Cost $454,239)					454,204
Total Investments (Cost $1,391,727)		100.4	%	$	1,392,100
Written Options (g) (Premiums $166)		(0.0	%)		(32	)
Other Assets and Liabilities (Net)		(0.4	%)		(5,334	)
Net Assets		100.0	%	$	1,386,734

Notes to Schedule of Investments (amounts in thousands):

(a) Variable rate security.

(b) Security is in default.

(c) Principal amount of security is adjusted for inflation.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) Securities with an aggregate market value of $497 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.020	%	10/03/2005	BR	3,900	$	(3	)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.150	%	10/03/2005		5,400		(3	)
Citibank N.A.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	38,300		1,408
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010	$	53,600		(296	)
								$	1,106

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
ABN AMRO Bank, N.V.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.360	%	08/24/2009	$	100	$	6
Bank of America	MCI, Inc. 6.688% due 05/01/2009	Sell	4.570	%	09/20/2007		125		11
Bank of America	Allied Waste North America, Inc. 6.500% due 11/15/2010	Sell	2.750	%	09/20/2009		400		9
Bank of America	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	2.050	%	09/20/2009		125		2
Bank of America	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		2,500		(16	)
Bank of America	Dow Jones CDX N.A. HY4 Index	Sell	3.400	%	06/20/2010		10,000		278
Bank of America	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		10,000		10
Barclays Bank PLC	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,000		112
Bear Stearns & Co., Inc.	AT&T Corp. 9.050% due 11/15/2011	Buy	0.650	%	09/20/2005		100		0
Bear Stearns & Co., Inc.	Electronic Data Systems Corp. 6.500% due 08/01/2013	Buy	0.650	%	09/20/2005		100		0
Bear Stearns & Co., Inc.	AT&T Corp. 9.050% due 11/15/2011	Sell	1.300	%	09/20/2006		100		1
Bear Stearns & Co., Inc.	Electronic Data Systems Corp. 6.500% due 08/01/2013	Sell	1.050	%	09/20/2006		100		1
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2007		10,700		235
Bear Stearns & Co., Inc.	Allied Waste North America, Inc. 5.750% due 02/15/2011	Sell	1.850	%	12/20/2007		1,500		13
Bear Stearns & Co., Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	1.140	%	12/20/2007		1,500		(34	)
Bear Stearns & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.240	%	09/20/2009		300		4
Bear Stearns & Co., Inc.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.950	%	09/20/2009		300		(1	)
Bear Stearns & Co., Inc.	Dura Operating Corp. 8.625% due 04/15/2012	Sell	4.150	%	12/20/2009		500		(47	)
Bear Stearns & Co., Inc.	Dynegy Holdings, Inc. 9.875% due 07/15/2010	Sell	2.350	%	12/20/2009		1,500		(33	)
Bear Stearns & Co., Inc.	Stone Container Corp. 9.750% due 02/01/2011	Sell	1.760	%	12/20/2009		1,500		(121	)
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		23,400		(146	)
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		4,000		5
Citibank N.A.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.900	%	09/20/2007		100		1
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		1,000		(4	)
Citibank N.A.	Dow Jones CDX N.A. IG4 Index	Sell	0.900	%	06/20/2010		2,000		40
Credit Suisse First Boston	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.550	%	09/07/2005		1,800		1
Credit Suisse First Boston	SAMI	Sell	2.450	%	09/20/2008		1,820		10
Credit Suisse First Boston	AES Corp. 9.500% due 06/01/2009	Sell	3.850	%	09/20/2009		150		7
Credit Suisse First Boston	AES Corp. 9.500% due 06/01/2009	Sell	3.850	%	09/20/2009		100		6
Credit Suisse First Boston	Allied Waste North America, Inc. 6.125% due 02/15/2014	Sell	2.460	%	09/20/2009		125		2
Credit Suisse First Boston	Delhaize America, Inc. 8.125% due 04/15/2011	Sell	1.400	%	09/20/2009		125		2
Credit Suisse First Boston	TECO Energy, Inc. 7.200% due 05/01/2011	Sell	2.050	%	09/20/2009		100		5
Credit Suisse First Boston	AT&T Corp. 9.050% due 11/15/2011	Sell	1.300	%	12/20/2009		1,000		41
Credit Suisse First Boston	SAMI	Sell	2.150	%	12/20/2009		1,500		(6	)
Credit Suisse First Boston	Vintage Petroleum, Inc. 8.250% due 05/01/2012	Sell	1.910	%	12/20/2009		300		7
Goldman Sachs & Co.	MCI, Inc. 6.688% due 05/01/2009	Sell	1.750	%	09/20/2005		50		0
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	3.100	%	06/20/2006		1,300		12
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	03/20/2007		975		3
Goldman Sachs & Co.	TECO Energy, Inc. 7.500% due 06/15/2010	Sell	1.690	%	09/20/2009		300		9
Goldman Sachs & Co.	TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	2.150	%	09/20/2009		125		(1	)
Goldman Sachs & Co.	TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	2.150	%	09/20/2009		125		(1	)
Goldman Sachs & Co.	Dow Jones CDX N.A. 100-4 Index	Sell	3.600	%	06/20/2010		27,225		319
Goldman Sachs & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		22,000		479
Goldman Sachs & Co.	Dow Jones CDX N.A. HVOL4 Index	Sell	0.900	%	06/20/2010		2,500		26
Goldman Sachs & Co.	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		7,500		(13	)
HSBC Bank USA	Ford Motor Co. 7.450% due 07/16/2031	Sell	2.410	%	06/20/2007		600		(1	)
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.900	%	06/20/2006		1,000		11
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	05/20/2007		900		3
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	06/20/2007		3,200		55
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		5,850		143
J.P. Morgan Chase & Co.	Stone Container Corp. 7.375% due 07/15/2014	Sell	2.300	%	12/20/2009		300		1
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		2,000		(8	)
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		12,000		385
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. HY4 Index	Sell	3.600	%	06/20/2010		4,950		48
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		5,000		4
Lehman Brothers, Inc.	Extendicare Health Services, Inc. floating rate based on 1-month USD-LIBOR plus 2.500% due 06/28/2009	Sell	2.100	%	09/20/2009		400		8
Lehman Brothers, Inc.	Dynegy Holdings, Inc. floating rate based on 1-month USD-LIBOR plus 0.400% due 05/28/2007	Sell	3.150	%	12/20/2009		600		4
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		19,000		(118	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		14,850		452
Lehman Brothers, Inc.	Dow Jones CDX N.A. HVOL4 Index	Sell	0.900	%	06/20/2010		10,000		50
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		10,000		(3	)
Merrill Lynch & Co., Inc.	Bombardier, Inc. 5.750% due 02/22/2008	Sell	3.250	%	03/20/2006		3,500		56
Merrill Lynch & Co., Inc.	SPX Corp. 7.500% due 01/01/2013	Sell	2.250	%	09/20/2009		150		(1	)
Merrill Lynch & Co., Inc.	SPX Corp. 7.500% due 01/01/2013	Sell	2.250	%	09/20/2009		100		0
Merrill Lynch & Co., Inc.	Williams Cos., Inc. 8.125% due 03/15/2012	Sell	1.710	%	09/20/2009		300		1
Merrill Lynch & Co., Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.250	%	12/20/2009		500		(16	)
Merrill Lynch & Co., Inc.	CMS Energy Corp. 7.500% due 01/15/2009	Sell	1.850	%	12/20/2009		1,500		(36	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		10,000		(60	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		4,000		(1	)
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.900	%	06/20/2006		1,000		11
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	06/20/2007		5,700		136
Morgan Stanley Dean Witter & Co.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.630	%	09/20/2009		100		3
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		64,500		1,070
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		4,000		(21	)
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		49,500		1,567
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. HVOL4 Index	Sell	0.900	%	06/20/2010		8,000		38
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. HY4 Index	Sell	3.600	%	06/20/2010		6,930		122
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.800	%	09/20/2006		2,000		0
UBS Warburg LLC	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		8,300		223
UBS Warburg LLC	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		12,000		(77	)
UBS Warburg LLC	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		2,000		(13	)
UBS Warburg LLC	Dow Jones CDX N.A. HY4 Index	Sell	3.600	%	06/20/2010		3,812		37
UBS Warburg LLC	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		5,000		(5	)
Wachovia Bank N.A.	Ford Motor Credit Co. 7.250% due 10/25/2011	Sell	1.200	%	06/20/2006		1,000		(2	)
Wachovia Bank N.A.	Dow Jones CDX N.A. HY4 Index	Sell	3.600	%	06/20/2010		8,168		79
Wachovia Bank N.A.	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		7,500		0
								$	5,379

(g) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	681	$	83	$	21
Put - CBOT U.S. Treasury Note September Futures		110.000	07/22/2005	681		83		11
					$	166	$	32

(h) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	EC	1,188	07/2005	$	6	$	0		$	6
Sell		36,758	07/2005		75		0			75
Sell		23,515	08/2005		72		0			72
Buy	JY	157,880	07/2005		0		(58	)		(58	)
				$	153	$	(58	)	$	95

See accompanying notes

Schedule of Investments

Foreign Bond Fund (U.S. Dollar-Hedged)

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
AUSTRALIA (j) 0.1%
Commonwealth of Australia
8.750% due 08/15/2008	A$	600		$	504
Crusade Global Trust
3.598% due 05/15/2021 (a)	$	532			532
Homeside Mortgage Securities Trust
3.335% due 01/20/2027 (a)		428			423
Medallion Trust
3.360% due 07/12/2031 (a)		1,153			1,152
Torrens Trust
3.480% due 07/15/2031 (a)		485			485
Total Australia (Cost $3,067)					3,096
AUSTRIA (j) 0.8%
Republic of Austria
5.000% due 07/15/2012	EC	12,700			17,457
Total Austria (Cost $13,923)					17,457
BELGIUM (j) 0.6%
Kingdom of Belgium
7.500% due 07/29/2008	EC	10,500			14,686
Total Belgium (Cost $10,331)					14,686
BRAZIL 0.5%
Republic of Brazil
4.313% due 04/15/2009 (a)	$	5,318			5,278
4.313% due 04/15/2012 (a)		412			398
8.000% due 04/15/2014		4,328			4,461
8.875% due 10/14/2019		1,000			1,063
Total Brazil (Cost $10,859)					11,200
CANADA (j) 0.1%
Commonwealth of Canada
9.000% due 06/01/2025	C$	100			133
Rogers Wireless Communications, Inc.
7.625% due 12/15/2011		2,100			1,843
Total Canada (Cost $1,889)					1,976
CAYMAN ISLANDS (j) 0.5%
Mizuho Financial Group Cayman Ltd.
1.525% due 12/31/2049 (a)	JY	300,000			2,706
Pylon Ltd.
6.016% due 12/22/2008 (a)	EC	1,350			1,730
Redwood Capital Ltd.
6.950% due 01/01/2006 (a)	$	2,300			2,298
SHL Corp. Ltd.
0.752% due 12/25/2024 (a)	JY	29,634			267
Vita Capital Ltd.
4.450% due 01/01/2007 (a)	$	3,900			3,909
Total Cayman Islands (Cost $11,055)					10,910
DENMARK (j) 0.1%
Nykredit Konvertible
6.000% due 10/01/2029	DK	4,804			814
Unikredit Realkredit
6.000% due 07/01/2029		3,941			668
Total Denmark (Cost $960)					1,482
FRANCE (j) 13.6%
Axa S.A.
3.750% due 01/01/2017	EC	828			1,382
Republic of France
7.250% due 04/25/2006		7,000			8,820
5.250% due 04/25/2008		26,800			35,137
4.000% due 04/25/2009		8,050			10,338
4.000% due 10/25/2009		30,070			38,763
4.000% due 04/25/2014		39,700			51,644
4.000% due 10/25/2014		111,700			145,009
5.750% due 10/25/2032		10,300			16,918
4.750% due 04/25/2035		1,100			1,585
4.000% due 04/25/2055		600			774
Total France (Cost $286,107)					310,370
GERMANY (j) 25.8%
DSL Bank AG
7.250% due 08/07/2007	BP	3,000			5,686
Hypothekenbank in Essen AG
5.500% due 02/20/2007	EC	1,690			2,156
Landesbank Baden-Wuerttemberg AG
5.500% due 04/02/2007		440			563
Landesbank Rheinland-Pfalz
4.750% due 04/04/2008		1,430			1,845
Republic of Germany
4.000% due 07/04/2009		2,900			3,732
5.375% due 01/04/2010		4,100			5,581
5.250% due 07/04/2010		33,300			45,430
5.250% due 01/04/2011		28,400			39,056
5.000% due 07/04/2011		100			137
5.000% due 01/04/2012		74,500			102,171
5.000% due 07/04/2012		300			413
4.500% due 01/04/2013		5			7
3.750% due 07/04/2013		19,900			25,496
4.250% due 01/04/2014		78,252			103,683
4.250% due 07/04/2014		2,800			3,711
6.250% due 01/04/2024		7,600			12,566
6.500% due 07/04/2027		105,460			183,325
5.625% due 01/04/2028		11,630			18,345
6.250% due 01/04/2030		10,750			18,480
5.500% due 01/04/2031		8,800			13,910
4.750% due 07/04/2034		4,300			6,211
Total Germany (Cost $546,387)					592,504
IRELAND (j) 0.3%
Celtic Residential Irish Mortgage Securitisation
2.334% due 06/13/2035 (a)	EC	2,252			2,734
Emerald Mortgages PLC
2.364% due 10/22/2035 (a)		594			721
2.364% due 04/30/2028 (a)		2,359			2,848
Total Ireland (Cost $5,458)					6,303
ITALY (j) 0.4%
First Italian Auto Transaction
2.426% due 07/01/2008 (a)	EC	30			36
Republic of Italy
5.500% due 11/01/2010		1,700			2,347
5.250% due 08/01/2011		3,400			4,680
Siena Mortgage SpA
2.405% due 02/28/2037 (a)		1,193			1,442
Upgrade SpA
2.414% due 12/31/2035 (a)		1,000			1,205
Total Italy (Cost $7,711)					9,710
JAPAN (j) 17.1%
Development Bank of Japan
4.250% due 06/09/2015	$	7,300			7,237
Government of Japan
0.700% due 09/20/2008	JY	2,980,000			27,317
1.400% due 09/20/2011		2,960,000			28,031
1.300% due 09/20/2012		380,000			3,562
1.600% due 09/20/2013		8,640,000			82,240
1.500% due 03/20/2014		10,910,000			102,582
1.600% due 06/20/2014		8,010,000			75,694
1.600% due 09/20/2014		3,710,000			34,999
1.900% due 09/20/2022		420,000			3,931
2.400% due 06/20/2024		822,000			8,155
2.300% due 05/20/2030		1,961,100			18,484
Total Japan (Cost $392,254)					392,232
LUXEMBOURG (j) 0.0%
Gazprom Capital S.A.
5.875% due 06/01/2015	EC	700			855
Total Luxembourg					855
MEXICO 0.1%
Pemex Project Funding Master Trust
8.850% due 09/15/2007	$	1,040			1,140
9.375% due 12/02/2008		1,290			1,474
Total Mexico (Cost $2,298)					2,614
NETHERLANDS (j) 1.2%
Delphinus BV
2.413% due 04/25/2093 (a)	EC	1,500			1,817
Dutch Mortgage-Backed Securities BV
2.427% due 10/02/2079 (a)		3,000			3,647
2.376% due 11/20/2035 (a)		1,684			2,043
Holland Euro-Denominated Mortgage-Backed Series
2.407% due 04/18/2012 (a)		1,536			1,859
Kingdom of Netherlands
6.000% due 01/15/2006		12,000			14,820
3.750% due 07/15/2014		2,500			3,190
Total Netherlands (Cost $24,201)					27,376
NEW ZEALAND (j) 0.2%
Commonwealth of New Zealand
4.500% due 02/15/2016 (b)	N$	5,130			4,756
Total New Zealand (Cost $3,139)					4,756
PANAMA 0.1%
Republic of Panama
8.250% due 04/22/2008	$	2,000			2,190
Total Panama (Cost $2,161)					2,190
PERU 0.1%
Republic of Peru
9.125% due 01/15/2008	$	2,400			2,664
Total Peru (Cost $2,626)					2,664
RUSSIA 0.4%
Russian Federation
8.750% due 07/24/2005	$	5,000			5,019
10.000% due 06/26/2007		1,630			1,798
8.250% due 03/31/2010 (a)		400			437
5.000% due 03/31/2030 (a)		2,500			2,797
Total Russia (Cost $9,898)					10,051
SOUTH AFRICA 0.1%
Republic of South Africa
8.375% due 10/17/2006	$	2,480			2,610
Total South Africa (Cost $2,654)					2,610
SPAIN (j) 3.8%
Caja Madrid
2.125% due 05/30/2006 (a)	EC	2,600			3,145
Hipotebansa Mortgage Securitization Fund
2.256% due 07/18/2022 (a)		1,567			1,847
Hipotebansa V
2.277% due 01/18/2018 (a)		1,209			1,429
Kingdom of Spain
5.150% due 07/30/2009		37,730			50,508
5.350% due 10/31/2011		11,100			15,469
4.200% due 07/30/2013		2,200			2,899
5.750% due 07/30/2032		4,500			7,372
4.200% due 01/31/2037		2,300			3,040
Total Spain (Cost $68,176)					85,709
SUPRANATIONAL (j) 0.4%
European Investment Bank
4.000% due 10/15/2037	EC	6,600			8,282
Total Supranational (Cost $8,385)					8,282
TUNISIA (j) 0.3%
Banque Centrale de Tunisie
7.500% due 09/19/2007	$	275			294
7.375% due 04/25/2012		500			578
4.500% due 06/22/2020	EC	4,600			5,600
Total Tunisia (Cost $6,426)					6,472
UNITED KINGDOM (j) 4.6%
Bauhaus Securities Ltd.
2.449% due 10/30/2052 (a)	EC	3,501			4,249
Dolerite Funding PLC
3.560% due 08/20/2032 (a)	$	1,306			1,303
Haus Ltd.
2.403% due 12/14/2037 (a)	EC	5,839			6,836
Lloyds TSB Capital I
7.375% due 02/07/2049		500			746
SRM Investment Ltd.
2.346% due 08/26/2034 (a)		452			548
United Kingdom Gilt
5.000% due 03/07/2008	BP	16,800			30,860
4.750% due 06/07/2010		2,700			4,991
5.000% due 03/07/2012		12,830			24,180
8.000% due 09/27/2013		14,100			32,031
Total United Kingdom (Cost $103,301)					105,744
UNITED STATES (j) 41.8%
Asset-Backed Securities 1.0%
Ameriquest Mortgage Securities, Inc.
3.724% due 02/25/2033 (a)	$	121			121
3.724% due 03/25/2033 (a)		164			164
3.650% due 06/25/2034 (a)		3,508			3,520
Amortizing Residential Collateral Trust
3.574% due 09/25/2030 (a)		43			43
AMRESCO Residential Securities Corp. Mortgage Loan Trust
4.254% due 06/25/2029 (a)		1,037			1,038
Bear Stearns Asset-Backed Securities, Inc.
3.644% due 10/25/2032 (a)		119			119
3.714% due 10/25/2032 (a)		367			369
Citifinancial Mortgage Securities, Inc.
3.624% due 05/25/2033 (a)		245			245
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		1,000			1,001
Conseco Finance Corp.
3.590% due 10/15/2031 (a)		134			135
Countrywide Asset-Backed Certificates
3.484% due 12/25/2018 (a)		174			174
3.474% due 08/25/2023 (a)		106			106
CS First Boston Mortgage Securities Corp.
3.624% due 01/25/2032 (a)		202			204
EQCC Home Equity Loan Trust
3.510% due 03/20/2030 (a)		46			46
Fannie Mae
3.360% due 07/25/2035 (a)		2,000			2,001
First Alliance Mortgage Loan Trust
3.490% due 12/20/2027 (a)		39			39
Home Equity Asset Trust
3.724% due 03/25/2033 (a)		161			161
3.464% due 08/25/2034 (a)		1,095			1,096
Irwin Home Equity Loan Trust
3.834% due 06/25/2028 (a)		618			621
Merrill Lynch Mortgage Investors, Inc.
3.600% due 03/15/2025 (a)		1,497			1,504
Mesa Trust Asset-Backed Certificates
3.714% due 11/25/2031 (a)		1,168			1,171
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.464% due 11/25/2034 (a)		2,722			2,724
Navistar Financial Corp. Owner Trust
1.690% due 09/15/2006		508			508
New Century Home Equity Loan Trust
3.390% due 07/25/2035 (a)		2,800			2,799
Novastar Home Equity Loan
3.874% due 01/25/2031 (a)		74			74
Providian Home Equity Loan Trust
3.604% due 06/25/2025 (a)		327			328
Residential Asset Mortgage Products, Inc.
3.414% due 04/25/2025 (a)		409			410
Residential Asset Securities Corp.
3.544% due 09/25/2031 (a)		53			53
3.564% due 07/25/2032 (a)		1,600			1,604
					22,378
Corporate Bonds & Notes 1.7%
Caesars Entertainment, Inc.
7.875% due 12/15/2005		500			509
Ford Motor Credit Co.
7.600% due 08/01/2005		2,800			2,806
4.218% due 11/16/2006 (a)		3,300			3,272
GE Finance Assurance Holdings
1.600% due 06/20/2011	JY	520,000			4,792
General Motors Acceptance Corp.
4.145% due 05/18/2006 (a)	$	3,700			3,683
GPU, Inc.
7.700% due 12/01/2005		500			507
J.P. Morgan Chase & Co., Inc.
7.150% due 02/15/2012 (a)		4,670			4,936
Mirage Resorts, Inc.
7.250% due 10/15/2006		400			414
Mizuho JGB Investment LLC
9.870% due 06/30/2049 (a)		1,200			1,360
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049 (a)		1,400			1,546
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)		15,100			15,020
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500			513
UFJ Finance Aruba AEC
6.750% due 07/15/2013		720			804
					40,162
Mortgage-Backed Securities 1.6%
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		2,800			3,236
Countrywide Home Loan Mortgage Pass-Through Trust
3.634% due 03/25/2035 (a)		187			187
CS First Boston Mortgage Securities Corp.
5.721% due 05/25/2032 (a)		160			162
3.400% due 08/25/2033 (a)		1,859			1,869
GS Mortgage Securities Corp.
6.526% due 08/15/2011		2,000			2,211
Impac CMB Trust
3.714% due 07/25/2033 (a)		382			383
JP Morgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		10,100			11,188
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		664			672
Washington Mutual Mortgage Securities Corp.
5.129% due 10/25/2032 (a)		876			882
3.584% due 12/25/2027 (a)		7,462			7,459
3.671% due 12/25/2040 (a)		461			460
3.372% due 12/25/2044 (a)		5,259			5,263
3.765% due 02/27/2034 (a)		2,027			2,025
					35,997
Municipal Bonds & Notes 2.1%
California State Economic Recovery General Obligation Bonds, Series 2004
5.250% due 01/01/2011		3,000			3,307
5.250% due 07/01/2013		3,500			3,936
California State Polytechnic University Revenue Bonds, Series 1972
5.000% due 07/01/2012		3,900			4,326
California State Tobacco Securitization Agency Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		2,400			2,618
Chicago, Illinois Board of Education General Obligation Bonds, (FSA Insured), Series 2001
5.000% due 12/01/2031		300			331
Chicago, Illinois Water Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 11/01/2026		200			220
De Kalb County, Georgia Water & Sewage Revenue Bonds, Series 2003
5.000% due 10/01/2035		1,500			1,590
Detroit, Michigan Sewer Disposal Revenue Bonds, (FSA Insured), Series 2004
5.000% due 07/01/2010		5,100			5,549
Detroit, Michigan Water Supply System Revenue Bonds, (MBIA Insured), Series 1997
5.750% due 07/01/2012		200			231
District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
6.500% due 05/15/2033		1,115			1,300
Harris County, Texas General Obligation Bonds, Series 2003
5.000% due 08/01/2033		820			838
Hawaii State General Obligation Bonds, (FGIC Insured), Series 2001
5.500% due 08/01/2011		1,300			1,464
Illinois Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		1,500			1,582
Illinois Regional Transportation Authority General Obligation Bonds, Series 1999
5.750% due 06/01/2014		300			350
Indiana State Transportation Finance Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 06/01/2028		2,000			2,109
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2001-B
5.300% due 06/01/2025		3,105			3,159
5.600% due 06/01/2035		400			410
Los Angeles, California County Sanitation Districts Financing Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 10/01/2011		800			886
Louisiana State General Obligation Bonds, (FGIC Insured), Series 2003
5.000% due 05/01/2014		3,300			3,674
Louisville & Jefferson Counties, Kentucky Metro Sewer & Drain District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		200			210
Lower Colorado River Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 05/15/2028		410			433
Metropolitan Water District of Southern California Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 10/01/2036		530			564
Michigan State Building Authority Revenue Bonds, (FSA Insured), Series 2003
5.250% due 10/15/2013		400			454
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series 2003
5.000% due 06/15/2010		310			333
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FGIC Insured), Series 2003-E
5.000% due 06/15/2034		625			658
New York City, New York Transitional Finance Authority Revenue Bonds, (FSA Insured), Series 2002
5.250% due 08/01/2011		2,000			2,230
New York Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003-A1
5.250% due 06/01/2013		3,500			3,699
5.500% due 06/01/2014		300			322
5.500% due 06/01/2017		600			659
Oklahoma State General Obligation Bonds, (FGIC Insured), Series 2003
5.000% due 07/15/2016		995			1,111
Seattle, Washington Water System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 09/01/2033		200			210
					48,763
		Shares
Preferred Security 0.3%
DG Funding Trust
3.360% due 12/29/2049 (a)		640			6,884
Preferred Stock 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		51,578			2,874
	Principal Amount (000s)
U.S. Government Agencies 21.9%
Fannie Mae
3.434% due 03/25/2034 (a)	$	1,350			1,352
4.165% due 11/01/2022 (a)		57			58
4.301% due 08/01/2023 (a)		300			308
4.575% due 01/01/2023 (a)		66			67
5.000% due 12/01/2034 - 08/11/2035 (c)		31,427			31,429
5.002% due 12/01/2030 (a)		115			118
5.500% due 11/01/2028 - 07/01/2035 (c)		400,922			406,806
5.730% due 04/01/2032 (a)		242			244
6.500% due 02/01/2026 - 11/01/2034 (c)		3,038			3,151
Federal Home Loan Bank
5.660% due 04/26/2006		1,200			1,219
5.665% due 03/22/2006		3,200			3,238
Freddie Mac
4.019% due 06/01/2022 (a)		446			458
9.050% due 06/15/2019		10			10
Government National Mortgage Association
3.375% due 05/20/2022 - 05/20/2030 (a)(c)		3,747			3,806
3.750% due 07/20/2022 - 08/20/2027 (a)(c)		1,259			1,280
4.125% due 11/20/2021 - 11/20/2030 (a)(c)		516			524
6.000% due 08/20/2034		5,691			6,156
Small Business Administration
5.980% due 11/01/2022		6,839			7,276
6.344% due 08/10/2011		3,748			3,952
6.640% due 02/10/2011		2,385			2,528
Tennessee Valley Authority
4.875% due 12/15/2016		16,050			16,976
5.880% due 04/01/2036		8,145			9,825
5.980% due 04/01/2036		1,855			2,264
					503,045
U.S. Treasury Obligations 13.1%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2014		316			325
2.000% due 07/15/2014		723			745
1.625% due 01/15/2015		17,118			17,061
3.625% due 04/15/2028		1,191			1,600
U.S. Treasury Bonds
8.750% due 05/15/2017		26,500			38,058
8.875% due 02/15/2019		16,100			23,939
8.125% due 08/15/2019		50,100			71,009
7.875% due 02/15/2021		5,500			7,787
8.125% due 05/15/2021		27,400			39,680
U.S. Treasury Notes
4.875% due 02/15/2012		5,800			6,162
4.250% due 08/15/2013		700			718
4.250% due 11/15/2013		26,200			26,848
4.250% due 08/15/2014		4,500			4,609
4.250% due 11/15/2014		55,600			56,923
4.125% due 05/15/2015		6,400			6,496
					301,960
Total United States (Cost $951,280)					962,063
PURCHASED CALL OPTIONS 0.1%
	Notional Amount (000s)
30-Year Interest Rate Swap (OTC)
Strike @ 4.500%** Exp. 06/02/2006		2,000			62
30-Year Interest Rate Swap (OTC)
Strike @ 5.750%** Exp. 04/27/2009		9,700			1,617
Total Purchased Call Options (Cost $561)					1,679
PURCHASED PUT OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 6.250%* Exp. 04/27/2009		9,700			235
	# of Contracts
Eurodollar September Futures (CME)
Strike @ 94.500 Exp. 09/19/2005		100			1
Eurodollar September Futures (CME)
Strike @ 93.750 Exp. 09/19/2005		716			4
Total Purchased Put Options (Cost $684)					240
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.7%
Commercial Paper 0.1%
UBS Finance Delaware LLC
3.365% due 10/14/2005	$	3,700			3,663
Repurchase Agreement 1.0%
State Street Bank
2.650% due 07/01/2005		22,348			22,348
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $22,796. Repurchase proceeds are $22,350.)
U.S. Treasury Bills 3.6%
2.951% due 09/01/2005-09/15/2005 (c)(e)(f)		83,275			82,704
Total Short-Term Instruments (Cost $108,792)					108,715
Total Investments (d) (Cost $2,585,462)		117.8	%	$	2,703,946
Written Options (h) (Premiums $2,760)		(0.2	%)		(3,453	)
Other Assets and Liabilities (Net)		(17.6	%)		(404,532	)
Net Assets		100.0	%	$	2,295,961

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $59,921 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $57,645 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) Securities with an aggregate market value of $9,224 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	570	$	214
Eurodollar December Long Futures	12/2005	830		(23	)
Euro-Bund 10-Year Note Long Futures	09/2005	1,555		1,232
Government of Japan 10-Year Note Long Futures	09/2005	53		350
U.S. Treasury 10-Year Note Short Futures	09/2005	910		(60	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	55		21
			$	1,734

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-month Australian Bank Bill	Pay	6.000	%	06/15/2010	A$	70,250	$	391
Citibank N.A.	6-month Australian Bank Bill	Receive	6.000	%	06/15/2015		39,700		(558	)
UBS Warburg LLC	6-month Australian Bank Bill	Pay	6.000	%	06/15/2010		71,300		368
UBS Warburg LLC	6-month Australian Bank Bill	Receive	6.000	%	06/15/2015		40,900		(489	)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010	BP	77,000		2,262
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		5,300		(61	)
Citibank N.A.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		2,700		147
Goldman Sachs & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		17,500		697
HSBC Bank USA	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		2,300		25
HSBC Bank USA	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		200		(2	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		3,500		167
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		2,000		(150	)
Lehman Brothers, Inc.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		1,400		16
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		13,400		761
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		4,800		(428	)
UBS Warburg LLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		10,900		536
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		900		(80	)
Bank of America	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014	C$	7,200		(24	)
Bank of America	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		16,600		21
HSBC Bank USA	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		17,000		(335	)
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		6,000		(103	)
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		4,400		5
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	5.500	%	06/15/2035		1,700		96
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Pay	5.000	%	06/18/2008		18,000		176
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		13,800		(205	)
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		12,800		25
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	2,300		71
Citibank N.A.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012		46,100		(2,158	)
Citibank N.A.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		29,480		(513	)
Citibank N.A.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		9,000		481
Goldman Sachs & Co.	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		16,700		(875	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		4,800		185
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012		29,500		(1,380	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		73,200		(112	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		4,100		519
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		700		21
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		3,100		118
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		29,900		(494	)
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		89,600		(124	)
UBS Warburg LLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		85,200		5,707
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.550	%	03/16/2006	H$	86,600		(87	)
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.906	%	07/11/2006		117,000		(422	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	1.300	%	09/21/2011	JY	2,008,000		(748	)
J.P. Morgan Chase & Co.	6-month JY-LIBOR	Receive	1.000	%	06/24/2011		500,000		(187	)
Lehman Brothers, Inc.	6-month JY-LIBOR	Receive	2.000	%	12/20/2013		3,455,000		(2,426	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	0.390	%	06/18/2007		525,000		(1	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	12/20/2013		5,250,000		(3,555	)
Bank of America	3-month USD-LIBOR	Pay	3.000	%	06/15/2006	$	62,000		147
Bank of America	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		31,000		(76	)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		79,400		(2	)
Barclays Bank PLC	3-month USD-LIBOR	Receive	5.000	%	12/15/2025		14,000		(24	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		87,400		(286	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		250,200		(1,049	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		2,400		(32	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		500		0
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	3.000	%	06/15/2006		284,000		311
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		97,500		(248	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		57,300		(255	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		64,100		(845	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		6,500		206
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		12,900		(84	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2025		4,000		(7	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		6,100		(16	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		5,300		161
UBS Warburg LLC	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		6,600		191
								$	(4,630	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010	$	16,000	$	(77	)
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	06/20/2006		1,000		20
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	06/20/2007		800		12
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		500		9
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		600		11
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	06/20/2007		500		24
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		700		34
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		3,000		28
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	06/20/2007		1,400		63
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		500		9
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		1,000		47
								$	180

(h) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	114.000	08/26/2005	320	$	283	$	210
Call - CBOT U.S. Treasury Note September Futures		115.000	08/26/2005	58		18		19
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	747		212		105
Put - CBOT U.S. Treasury Bond September Futures		111.000	08/26/2005	163		81		10
Put - CBOT U.S. Treasury Bond September Futures		110.000	08/26/2005	78		17		3
Put - CBOT U.S. Treasury Bond September Futures		114.000	08/26/2005	320		229		75
					$	840	$	422

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Bank of America	5.750	%**	08/04/2005	$	4,100	$	145	$	367
Put - OTC 7-Year Interest Rate Swap	Bank of America	5.750	%*	08/04/2005		4,100		212		0
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%**	08/04/2005		13,600		584		1,216
Put - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%*	08/04/2005		13,600		584		0
Call - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	5.480	%**	04/03/2006		10,000		297		1,307
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	06/02/2006		5,000		60		58
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	4.375	%**	12/15/2006		2,900		38		83
							$	1,920	$	3,031

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity	Par		Value		Proceeds
U.S. Treasury Note	3.000	02/15/2009	$	161,100	$	157,387	$	157,341
U.S. Treasury Note	5.500	05/15/2009		13,500		14,391		14,385
U.S. Treasury Note	4.000	02/15/2015		7,600		7,629		7,601
					$	179,407	$	179,327

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	A$	806	07/2005	$	5	$	0		$	5
Buy	BP	3,317	07/2005		0		(100	)		(100	)
Sell		40,431	07/2005		1,099		0			1,099
Buy	BR	3,434	07/2005		194		0			194
Buy		893	08/2005		24		0			24
Buy	C$	189	07/2005		2		0			2
Sell		3,206	07/2005		0		(39	)		(39	)
Buy	CP	75,184	08/2005		1		0			1
Buy		294,925	09/2005		11		0			11
Sell	DK	9,802	09/2005		26		0			26
Buy	EC	87,737	07/2005		9		(47	)		(38	)
Sell		600,496	07/2005		1,065		0			1,065
Buy		41,611	08/2005		0		(48	)		(48	)
Sell		200,003	08/2005		607		0			607
Buy	H$	6,687	08/2005		0		0			0
Buy	JY	613,954	07/2005		0		(89	)		(89	)
Sell		33,058,448	07/2005		10,243		0			10,243
Buy	KW	639,205	07/2005		0		(22	)		(22	)
Buy		349,400	08/2005		0		(10	)		(10	)
Buy		1,027,000	09/2005		0		(20	)		(20	)
Buy	MP	4,432	08/2005		10		0			10
Buy		3,064	09/2005		1		0			1
Sell	N$	5,468	07/2005		99		0			99
Buy	PN	1,194	08/2005		0		0			0
Buy		1,867	09/2005		0		0			0
Buy	PZ	1,724	08/2005		0		0			0
Buy		1,767	09/2005		0		(2	)		(2	)
Buy	RR	9,589	07/2005		0		(11	)		(11	)
Buy		12,830	08/2005		0		(11	)		(11	)
Buy	S$	483	07/2005		0		(7	)		(7	)
Buy		595	08/2005		0		(5	)		(5	)
Buy	SV	19,886	08/2005		0		(14	)		(14	)
Buy	T$	14,910	08/2005		0		(8	)		(8	)
Buy		10,317	09/2005		0		(4	)		(4	)
				$	13,396	$	(437	)	$	12,959

See accompanying notes

Schedule of Investments

Foreign Bond Fund (Unhedged)

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BRAZIL 0.5%
Republic of Brazil
4.313% due 04/15/2012 (a)	$	82		$	80
8.000% due 04/15/2014		6,966			7,180
8.875% due 10/14/2019		500			531
8.250% due 01/20/2034		300			294
Total Brazil (Cost $7,861)					8,085
CANADA (j) 0.0%
Commonwealth of Canada
9.000% due 06/01/2025	C$	100			133
5.750% due 06/01/2033		200			203
Total Canada (Cost $323)					336
CAYMAN ISLANDS (j) 0.1%
Mizuho Financial Group Cayman Ltd.
1.522% due 12/31/2049 (a)	JY	100,000			902
Total Cayman Islands (Cost $989)					902
FRANCE (j) 16.4%
French Treasury Note
5.000% due 07/12/2005	EC	14,400			17,436
Republic of France
4.000% due 10/25/2009		4,500			5,801
4.750% due 10/25/2012		100			136
4.000% due 04/25/2014		300			390
4.000% due 10/25/2014		156,200			202,779
5.500% due 04/25/2029		4,200			6,586
5.750% due 10/25/2032		10,100			16,589
4.000% due 04/25/2055		300			387
Total France (Cost $251,050)					250,104
GERMANY (j) 22.4%
Republic of Germany
6.000% due 07/04/2007	EC	17,100			22,283
4.000% due 07/04/2009		300			386
4.500% due 07/04/2009		17,000			22,268
3.500% due 10/09/2009		8,000			10,116
5.375% due 01/04/2010		300			408
5.250% due 01/04/2011		19,500			26,817
5.000% due 01/04/2012		5,300			7,269
5.000% due 07/04/2012		38,700			53,328
3.750% due 07/04/2013		21,700			27,802
4.250% due 01/04/2014		42,940			56,895
6.250% due 01/04/2024		10,800			17,856
6.500% due 07/04/2027		13,960			24,267
5.625% due 01/04/2028		20,500			32,336
6.250% due 01/04/2030		22,640			38,920
4.750% due 07/04/2034		400			578
Total Germany (Cost $349,969)					341,529
ITALY (j) 0.1%
Republic of Italy
3.000% due 04/15/2009	EC	700			866
4.500% due 05/01/2009		1,000			1,303
Total Italy (Cost $2,216)					2,169
JAPAN (j) 12.6%
Government of Japan
0.700% due 09/20/2008	JY	1,790,000			16,409
1.600% due 09/20/2013		5,560,000			52,923
1.500% due 03/20/2014		4,950,000			46,543
1.600% due 06/20/2014		3,970,000			37,516
1.800% due 06/20/2014		1,920,000			18,455
1.500% due 03/20/2015		100,000			932
2.400% due 06/20/2024		56,000			556
2.300% due 05/20/2030		1,938,600			18,272
Total Japan (Cost $195,611)					191,606
JERSEY, CHANNEL ISLANDS (j) 0.1%
AIG SunAmerica Institutional Funding III Ltd.
2.287% due 07/17/2006 (a)	EC	600			726
Total Jersey, Channel Islands (Cost $784)					726
LUXEMBOURG (j) 0.0%
Gazprom Capital S.A.
5.875% due 06/01/2015	EC	600			733
Total Luxembourg (Cost $754)					733
MEXICO 0.1%
United Mexican States
5.875% due 01/15/2014	$	1,700			1,778
Total Mexico (Cost $1,743)					1,778
NETHERLANDS (j) 0.1%
Kingdom of Netherlands
4.250% due 07/15/2013	EC	400			528
3.750% due 07/15/2014		1,200			1,531
Total Netherlands (Cost $2,071)					2,059
PANAMA 0.1%
Republic of Panama
7.250% due 03/15/2015	$	700			764
Total Panama (Cost $718)					764
PERU 0.1%
Republic of Peru
9.125% due 02/21/2012	$	900			1,057
Total Peru (Cost $1,036)					1,057
RUSSIA 0.7%
Russian Federation
8.750% due 07/24/2005	$	200			201
10.000% due 06/26/2007		300			331
8.250% due 03/31/2010 (a)		2,300			2,515
5.000% due 03/31/2030 (a)		5,800			6,489
Total Russia (Cost $9,288)					9,536
SOUTH AFRICA 0.1%
Republic of South Africa
7.375% due 04/25/2012	$	1,000			1,152
Total South Africa (Cost $1,130)					1,152
SPAIN (j) 2.4%
Banesto Banco de Emisiones
2.197% due 10/04/2006 (a)	EC	1,000			1,210
Caja Madrid
2.136% due 05/30/2006 (a)		1,200			1,452
Kingdom of Spain
6.150% due 01/31/2013		1,000			1,476
5.750% due 07/30/2032		19,150			31,371
4.200% due 01/31/2037		900			1,189
Total Spain (Cost $37,109)					36,698
SUPRANATIONAL (j) 0.0%
European Investment Bank
4.000% due 10/15/2037	EC	500			627
Total Supranational (Cost $635)					627
TUNISIA (j) 0.3%
Banque Centrale de Tunisie
7.375% due 04/25/2012	EC	300			346
4.500% due 06/22/2020		3,000			3,652
Total Tunisia (Cost $3,967)					3,998
UNITED KINGDOM (j) 3.5%
SRM Investment Ltd.
2.346% due 08/26/2034 (a)	EC	90			110
United Kingdom Gilt
5.000% due 03/07/2008	BP	8,200			15,063
4.000% due 03/07/2009		100			179
5.750% due 12/07/2009		3,900			7,470
9.000% due 07/12/2011		11,900			26,871
5.000% due 03/07/2012		2,030			3,826
5.000% due 09/07/2014		35			67
Total United Kingdom (Cost $54,997)					53,586
UNITED STATES 46.0%
Asset-Backed Securities 4.0%
AAA Trust
3.414% due 11/26/2035 (a)	$	14,799			14,825
Aegis Asset-Backed Securities Trust
3.210% due 11/25/2023 (a)		1,879			1,880
American Express Credit Account Master Trust
3.360% due 04/15/2008 (a)		700			701
Ameriquest Mortgage Securities, Inc.
3.500% due 02/25/2033 (a)		6			6
3.500% due 03/25/2033 (a)		39			39
3.190% due 04/25/2035(a)		1,456			1,455
Argent Securities, Inc.
3.200% due 04/25/2034 (a)		39			39
3.270% due 11/25/2034 (a)		60			60
Asset-Backed Funding Certificates
3.160% due 02/25/2035 (a)		613			614
Asset-Backed Securities Corp. Home Equity Loan Trust
3.440% due 08/15/2033 (a)		139			139
Bank One Issuance Trust
3.270% due 10/15/2008 (a)		1,000			1,001
Bear Stearns Asset-Backed Securities, Inc.
3.230% due 07/25/2022 (a)		23			23
3.260% due 12/25/2042 (a)		664			664
CDC Mortgage Capital Trust
3.210% due 07/26/2034 (a)		84			84
Centex Home Equity Co. LLC
3.390% due 09/25/2033 (a)		36			36
Chase Funding Loan Acquisition Trust
3.420% due 01/25/2033 (a)		139			140
CIT Group Home Equity Loan Trust
3.310% due 03/25/2033 (a)		33			33
Citifinancial Mortgage Securities, Inc.
3.400% due 05/25/2033 (a)		20			20
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		1,000			1,001
Countrywide Asset-Backed Certificates
3.260% due 12/25/2018 (a)		36			36
3.504% due 09/25/2021 (a)		184			184
3.230% due 05/25/2023 (a)		432			432
3.250% due 08/25/2023 (a)		70			71
3.240% due 10/25/2023 (a)		132			133
3.330% due 12/25/2031 (a)		11			11
3.180% due 01/25/2035 (a)		24			24
3.380% due 10/25/2035 (a)		4,900			4,905
Credit-Based Asset Servicing & Securitization LLC
3.270% due 09/25/2030 (a)		2,685			2,687
3.410% due 06/25/2032 (a)		85			85
3.220% due 08/25/2034 (a)		9			9
Equifirst Mortgage Loan Trust
3.190% due 01/25/2034 (a)		354			354
Fieldstone Mortgage Investment Corp.
3.380% due 01/25/2035 (a)		70			70
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.260% due 11/25/2034 (a)		120			120
First Franklin Mtg Loan Asset-Backed Certificates
3.240% due 01/25/2035 (a)		1,801			1,802
Fremont Home Loan Trust
3.240% due 07/25/2034 (a)		32			32
3.464% due 12/25/2034 (a)		180			180
3.200% due 02/25/2035 (a)		1,623			1,624
GMAC Mortgage Corp. Loan Trust
3.190% due 10/25/2033 (a)		496			496
GSAMP Trust
3.604% due 03/25/2034 (a)		130			130
3.190% due 03/25/2035 (a)		1,754			1,753
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 09/20/2033 (a)		2,213			2,222
Home Equity Mortgage Trust
3.210% due 07/25/2035 (a)		4,456			4,458
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		117			118
3.610% due 02/20/2033 (a)		941			943
Long Beach Mortgage Loan Trust
3.464% due 02/25/2024 (a)		26			26
3.410% due 06/25/2033 (a)		27			27
3.410% due 07/25/2033 (a)		110			111
3.200% due 10/25/2034 (a)		2,241			2,243
Merrill Lynch Mortgage Investors, Inc.
3.430% due 02/25/2034 (a)		12			12
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.220% due 04/25/2034 (a)		38			38
3.230% due 08/25/2034 (a)		30			30
3.240% due 11/25/2034 (a)		396			396
Morgan Stanley Home Equity Loans
3.210% due 01/25/2035 (a)		1,575			1,576
Nelnet Student Loan Trust
3.151% due 04/25/2011 (a)		54			54
Novastar Home Equity Loan
3.650% due 01/25/2031 (a)		8			8
Option One Mortgage Loan Trust
3.220% due 02/25/2014 (a)		864			865
Park Place Securities, Inc.
3.240% due 10/25/2034 (a)		13			13
3.250% due 02/25/2035 (a)		176			176
Quest Trust
3.530% due 09/25/2034 (a)		231			232
Renaissance Home Equity Loan Trust
3.440% due 08/25/2032 (a)		11			11
3.590% due 12/25/2033 (a)		2,423			2,437
Residential Asset Mortgage Products, Inc.
3.250% due 09/25/2013 (a)		134			134
3.240% due 06/25/2024 (a)		24			24
3.190% due 04/25/2025 (a)		34			34
3.414% due 12/25/2025 (a)		2,078			2,079
3.230% due 04/25/2026 (a)		54			54
3.430% due 09/25/2033 (a)		80			80
Residential Asset Securities Corp.
3.260% due 10/25/2013 (a)		2,986			2,989
3.320% due 09/25/2031 (a)		53			53
3.360% due 04/25/2032 (a)		43			44
3.340% due 07/25/2032 (a)		84			84
Saxon Asset Securities Trust
3.350% due 08/25/2032 (a)		8			8
3.390% due 06/25/2033 (a)		497			498
SLM Student Loan Trust
3.141% due 07/27/2009 (a)		498			498
Structured Asset Securities Corp.
3.444% due 12/25/2033 (a)		12			12
3.714% due 05/25/2034 (a)		108			109
					60,594
Corporate Bonds & Notes 3.9%
AOL Time Warner, Inc.
6.125% due 04/15/2006		3,700			3,759
ASIF Global Financing
3.260% due 08/11/2006 (a)		2,700			2,697
Caesars Entertainment, Inc.
9.375% due 02/15/2007		1,500			1,616
CIT Group, Inc.
3.490% due 05/23/2008 (a)		3,500			3,503
Countrywide Home Loans, Inc.
5.500% due 08/01/2006		2,400			2,437
DaimlerChrysler NA Holding Corp.
7.250% due 01/18/2006		7,300			7,415
3.859% due 09/10/2007 (a)		400			400
Delhaize America, Inc.
7.375% due 04/15/2006		400			411
Ford Motor Credit Co.
6.500% due 02/15/2006		5,825			5,871
3.750% due 11/16/2006 (a)		700			694
4.000% due 03/21/2007 (a)		400			392
Fort James Corp.
6.875% due 09/15/2007		900			940
General Motors Acceptance Corp.
7.500% due 07/15/2005		100			100
4.395% due 10/20/2005 (a)		200			200
6.750% due 01/15/2006		6,600			6,653
4.145% due 05/18/2006 (a)		1,400			1,394
4.050% due 01/16/2007 (a)		200			196
GPU, Inc.
7.700% due 12/01/2005		800			812
Halliburton Co.
4.650% due 10/17/2005 (a)		1,700			1,707
Harrah’s Operating Co., Inc.
7.875% due 12/15/2005		200			204
HCA, Inc.
7.125% due 06/01/2006		1,900			1,950
7.000% due 07/01/2007		1,500			1,561
Mirage Resorts, Inc.
7.250% due 10/15/2006		425			439
Mizuho JGB Investment LLC
9.870% due 12/31/2049 (a)		1,600			1,814
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049 (a)		1,200			1,325
Morgan Stanley Dean Witter & Co.
3.275% due 01/18/2008 (a)		900			900
NiSource Finance Corp.
7.625% due 11/15/2005		2,800			2,837
Pemex Project Funding Master Trust
5.750% due 12/15/2015		2,600			2,601
Raychem Corp.
7.200% due 10/15/2008		200			217
TCI Communications, Inc.
6.875% due 02/15/2006		2,400			2,440
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500			513
TXU Energy Co. LLC
3.920% due 01/17/2006 (a)		1,000			1,000
					58,998
Mortgage-Backed Securities 3.5%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (a)		2,726			2,713
Banc of America Large Loan
3.420% due 11/15/2015 (a)		116			116
Bear Stearns Adjustable Rate Mortgage Trust
3.270% due 07/25/2034 (a)		42			42
Bear Stearns Commercial Mortgage Securities, Inc.
3.436% due 05/14/2016 (a)		199			199
Countrywide Alternative Loan Trust
3.300% due 05/25/2035 (a)		5,017			4,951
Countrywide Home Loan Mortgage Pass-Through Trust
3.420% due 02/25/2035 (a)		718			720
3.430% due 02/25/2035 (a)		748			748
3.410% due 03/25/2035 (a)		8,117			8,117
3.380% due 04/25/2035 (a)		1,474			1,474
3.594% due 08/25/2034 (a)		67			67
Greenpoint Mortgage Funding Trust
3.310% due 05/25/2045 (a)		3,674			3,671
Harborview Mortgage Loan Trust
3.460% due 02/19/2034 (a)		109			109
3.480% due 05/19/2035 (a)		6,013			5,988
Mellon Residential Funding Corp.
3.394% due 12/15/2030 (a)		45			45
SACO I, Inc.
3.170% due 02/25/2028 (a)		1,893			1,892
Sequoia Mortgage Trust
3.560% due 08/20/2032 (a)		159			159
Structured Asset Mortgage Investments, Inc.
3.544% due 06/19/2035 (a)		3,500			3,508
Structured Asset Securities Corp.
3.140% due 03/25/2035 (a)		2,468			2,470
Washington Mutual Mortgage Securities Corp.
3.360% due 12/25/2027 (a)		474			474
3.185% due 12/25/2044 (a)		2,008			2,010
3.195% due 12/25/2044 (a)		1,550			1,550
3.747% due 06/25/2042 (a)		2,334			2,359
3.570% due 08/25/2042 (a)		59			59
Washington Mutual, Inc.
3.320% due 04/25/2045 (a)		9,927			9,921
					53,362
Municipal Bonds & Notes 0.4%
New York, New York Water & Sewer System Revenue Bonds, Series 2004-C
5.000% due 06/15/2035		2,000			2,118
Tacoma, Washington Water Supply System Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 12/01/2032		2,000			2,097
Virginia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
4.000% due 06/01/2013		850			854
5.625% due 06/01/2037		1,350			1,391
					6,460
		Shares
Preferred Stock 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		26,600			1,482
		Principal Amount (000s)
U.S. Government Agencies 23.5%
Fannie Mae
3.110% due 05/25/2034 (a)	$	60			60
3.336% due 04/26/2035 (a)		14,130			14,139
3.340% due 08/25/2030 (a)		125			125
3.490% due 06/25/2029 (a)		66			66
3.500% due 03/25/2009		228			228
3.718% due 05/28/2035 (a)		967			967
5.000% due 12/01/2034 (a)		561			569
5.500% due 11/01/2032 - 07/01/2035 (c)		328,618			333,490
6.500% due 06/25/2044		142			147
Freddie Mac
4.105% due 10/27/2031		81			81
Government National Mortgage Association
6.000% due 08/20/2034		3,679			3,980
Small Business Administration
4.754% due 08/01/2014		98			100
Small Business Administration Participation Certificates
4.625% due 02/01/2025		1,200			1,207
5.110% due 04/25/2025		2,500			2,576
					357,735
U.S. Treasury Obligations 10.6%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2014		3,840			3,956
1.625% due 01/15/2015		18,121			18,060
U.S. Treasury Bonds
8.750% due 05/15/2017		18,600			26,712
8.875% due 02/15/2019		30,200			44,905
8.125% due 08/15/2019		2,300			3,260
7.875% due 02/15/2021		4,500			6,371
8.125% due 05/15/2021		19,000			27,515
U.S. Treasury Notes
4.250% due 11/15/2013		12,500			12,809
4.250% due 08/15/2014		2,100			2,151
4.250% due 11/15/2014		14,800			15,152
					160,891
Total United States (Cost $695,123)					699,522
		Notional Amount (000s)
PURCHASED CALL OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 4.500%** Exp. 06/02/2006		2,000			62
Total Purchased Call Options (Cost $59)					62
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 94.000 Exp. 12/19/2005		50			0
Eurodollar March Futures (CME)
Strike @ 92.750 Exp. 03/13/2006		400			5
Eurodollar September Futures (CME)
Strike @ 95.750 Exp. 09/19/2005		199			1
U.S. Treasury Note 10-Year Futures (CBOT)
6.000% due 12/31/2005
Strike @ 88.000 Exp. 11/22/2005		797			13
Total Purchased Put Options (Cost $22)					19
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.9%
Commercial Paper 5.3%
Ford Motor Credit Co.
3.400% due 08/26/2005	$	2,400			2,387
Public Service Electric & Gas Co.
3.690% due 11/30/2005		600			591
Rabobank USA Financial Corp.
3.370% due 07/01/2005		41,700			41,700
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		35,400			35,400
UBS Finance Delaware LLC
3.255% due 09/26/2005		111			110
					80,188
Repurchase Agreement 0.4%
Credit Suisse First Boston
2.700% due 07/01/2005		7,000			7,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $7,181. Repurchase proceeds are $7,001.)
U.S. Treasury Bills 3.2%
2.944% due 09/01/2005-09/15/2005 (c)(d)(f)		48,940			48,602
Total Short-Term Instruments (Cost $135,835)					135,790
Total Investments (e) (Cost $1,753,290)		114.5	%	$	1,742,838
Written Options (h) (Premiums $348)		(0.0	%)		(195	)
Other Assets and Liabilities (Net)		(14.5	%)		(220,265	)
Net Assets		100.0	%	$	1,522,378

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $35,282 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(e) As of June 30, 2005, portfolio securities with an aggregate market value of $34,684 were valued with reference to securities whose prices are more readily obtainable.

(f) Securities with an aggregate market value of $6,900 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	16	$	5
Eurodollar December Long Futures	12/2005	649		(18	)
Euro-Bobl 5-Year Note Long Futures	09/2005	24		17
Euro-Bund 10-Year Note Long Futures	09/2005	1,269		1,318
Euro-Bund Purchased Put Options Strike @ 108.000	09/2005	2,800		0
Government of Japan 10-Year Note Long Futures	09/2005	48		303
U.S. Treasury 10-Year Note Short Futures	09/2005	617		49
U.S. Treasury 30-Year Bond Long Futures	09/2005	30		12
U.S. Treasury 5-Year Note Short Futures	09/2005	116		(62	)
			$	1,624

(g) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	06/20/2006	$	500	$	10
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		10,000		(48	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		2,000		19
								$	(19	)

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-month Australian Bank Bill	Receive	6.000	%	12/15/2010	A$	60,000	$	(81	)
Citibank N.A.	6-month Australian Bank Bill	Receive	6.000	%	12/15/2015		34,200		82
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010	BP	37,800		1,501
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		2,300		(29	)
Citibank N.A.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		3,500		198
Goldman Sachs & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		7,300		305
HSBC Bank USA	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		3,200		71
HSBC Bank USA	6-month BP-LIBOR	Pay	5.000	%	09/15/2015		4,800		137
HSBC Bank USA	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		400		(3	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		3,900		186
Lehman Brothers, Inc.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		5,900		66
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		8,200		466
UBS Warburg LLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		5,600		318
Bank of America	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014	C$	8,900		(133	)
Bank of America	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		7,400		6
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		6,000		(103	)
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		2,900		4
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	5.500	%	06/15/2035		800		45
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		15,000		(239	)
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		11,700		62
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	200		6
Citibank N.A.	6-month EC-LIBOR	Receive	4.000	%	06/16/2014		1,120		(68	)
Citibank N.A.	6-month EC-LIBOR	Receive	5.000	%	06/17/2015		14,200		(1,434	)
Citibank N.A.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		13,700		732
Goldman Sachs & Co.	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		130,800		(6,861	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		400		16
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		300		38
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		46,700		1,762
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		200		8
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		44,600		(85	)
UBS Warburg LLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		500		17
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		2,600		334
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000	%	06/15/2012	JY	130,000		(87	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000	%	12/20/2013		1,300,000		(576	)
Bank of America	3-month USD-LIBOR	Pay	3.000	%	06/15/2006	$	78,000		185
Bank of America	3-month USD-LIBOR	Pay	4.000	%	06/21/2007		141,500		205
Bank of America	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		39,000		(96	)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		10,300		0
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		61,000		(200	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		143,600		(817	)
Greenwich Capital Markets, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2025		700		(1	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		1,500		(20	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	3.000	%	06/15/2006		176,700		110
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		25,300		(64	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		9,800		(80	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		110,800		(1,461	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		2,800		89
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2025		2,100		(4	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		205,900		(524	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		5,300		161
UBS Warburg LLC	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		4,900		142
								$	(5,714	)

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	114.000	08/26/2005	145	$	129	$	96
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	2		0		0
Put - CBOT U.S. Treasury Bond September Futures		111.000	08/26/2005	111		55		7
Put - CBOT U.S. Treasury Bond September Futures		114.000	08/26/2005	145		104		34
					$	288	$	137

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	06/02/2006	$	5,000	$	60	$	58

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	3.000	02/15/2009	$	500	$	488	$	488

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	A$	6,542	07/2005	$	0	$	(40	)	$	(40	)
Buy	BP	38,242	07/2005		0		(1,155	)		(1,155	)
Sell		7,063	07/2005		169		0			169
Buy	BR	1,690	09/2005		38		0			38
Buy	C$	50,220	07/2005		629		0			629
Buy	CP	401,098	09/2005		15		0			15
Buy	DK	109,534	09/2005		0		(306	)		(306	)
Buy	EC	355,927	07/2005		16		(27	)		(11	)
Sell		4,352	07/2005		2		(12	)		(10	)
Buy		3,953	08/2005		12		0			12
Sell		94,205	08/2005		270		0			270
Buy	JY	48,888,063	07/2005		0		(16,900	)		(16,900	)
Sell		2,578,732	07/2005		476		0			476
Buy	KW	1,757,307	08/2005		0		(62	)		(62	)
Buy	PN	2,326	09/2005		0		0			0
Buy	PZ	5,661	08/2005		0		0			0
Buy	RP	1,306	09/2005		0		0			0
Buy	S$	482	08/2005		0		(8	)		(8	)
Buy		217	09/2005		0		(1	)		(1	)
Buy	SK	124,672	09/2005		0		(795	)		(795	)
Buy	SR	8,719	08/2005		0		(126	)		(126	)
Buy	T$	11,164	08/2005		0		(8	)		(8	)
Buy		25,793	09/2005		0		(9	)		(9	)
				$	1,627	$	(19,449	)	$	(17,822	)

See accompanying notes

Schedule of Investments

Fundamental IndexPLUS Fund

June 30, 2005 (Unaudited)

			Value (000s)
Other Assets and Liabilities (Net)	100.0	%	$	42,806
Net Assets	100.0	%	$	42,806

Notes to Schedule of Investments (amounts in thousands):

(a) Swap agreements outstanding at June 30, 2005:

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	Research Affiliates Fundamental 1000 Index	1 week USD-LIBOR plus 0.035%	06/30/2006	$	125		0
Credit Suisse First Boston	Research Affiliates Fundamental 1000 Index	1 week USD-LIBOR plus 0.035%	06/30/2006		150		0
Merrill Lynch & Co., Inc.	Research Affiliates Fundamental 1000 Index	1 week USD-LIBOR plus 0.035%	06/30/2006		150		0
						$	0

See accompanying notes

Schedule of Investments

Fundamental IndexPLUS TR Fund

June 30, 2005 (Unaudited)

			Value (000s)
Other Assets and Liabilities (Net)	100.0	%	$	172,067
Net Assets	100.0	%	$	172,067

Notes to Schedule of Investments (amounts in thousands):

(a) Swap agreements outstanding at June 30, 2005:

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	Research Affiliates Fundamental 1000 Index	1 week USD-LIBOR plus 0.035%	06/30/2006	$	375		0
Credit Suisse First Boston	Research Affiliates Fundamental 1000 Index	1 week USD-LIBOR plus 0.035%	06/30/2006		850		0
Merrill Lynch & Co., Inc.	Research Affiliates Fundamental 1000 Index	1 week USD-LIBOR plus 0.035%	06/30/2006		485		0
						$	0

See accompanying notes

Schedule of Investments

Global Bond Fund (Unhedged)

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
AUSTRALIA 0.1%
Crusade Global Trust
3.598% due 05/15/2021(a)	$	259		$	259
Homeside Mortgage Securities Trust
3.335% due 01/20/2027 (a)		222			219
Medallion Trust
3.360% due 07/12/2031 (a)		645			644
Superannuation Members Home Loans Global Fund
3.665% due 06/15/2026 (a)		132			132
Torrens Trust
3.480% due 07/15/2031 (a)		242			243
Total Australia (Cost $1,500)					1,497
AUSTRIA (j) 0.3%
Republic of Austria
5.000% due 01/15/2008	EC	3,000			3,888
5.500% due 01/15/2010		600			820
Total Austria (Cost $3,483)					4,708
BRAZIL 0.6%
Republic of Brazil
4.313% due 04/15/2009 (a)	$	1,217			1,208
4.313% due 04/15/2012 (a)		82			80
8.000% due 04/15/2014		844			870
10.500% due 07/14/2014		4,800			5,688
8.875% due 10/14/2019		500			531
8.250% due 01/20/2034		700			686
Total Brazil (Cost $8,919)					9,063
CANADA (j) 0.1%
Commonwealth of Canada
9.000% due 06/01/2025	C$	200			267
5.750% due 06/01/2033		2,100			2,129
Total Canada (Cost $2,297)					2,396
CAYMAN ISLANDS (j) 0.7%
AIG SunAmerica Institutional Funding II Ltd.
2.720% due 06/15/2007 (a)	C$	4,400			3,591
Mizuho Financial Group Cayman Ltd.
1.522% due 12/31/2049 (a)	JY	300,000			2,706
Pylon Ltd.
6.035% due 12/22/2008 (a)		EC 1,500			1,922
Redwood Capital Ltd.
5.400% due 01/01/2006 (a)	$	1,000			999
SHL Corp. Ltd.
0.755% due 12/25/2024 (a)	JY	40,161			362
Vita Capital Ltd.
4.450% due 01/01/2007 (a)	$	1,500			1,503
Total Cayman Islands (Cost $11,159)					11,083
DENMARK (j) 0.0%
Nykredit Konvertible
6.000% due 10/01/2029	DK	2,527			428
Unikredit Realkredit
6.000% due 07/01/2029		508			86
Total Denmark (Cost $333)					514
FRANCE (j) 5.7%
Auto Asset-Backed Securities Compartment
2.363% due 10/28/2011 (a)	EC	691			815
Axa S.A.
3.750% due 01/01/2017		397			663
Republic of France
3.500% due 01/12/2009		13,800			17,394
4.000% due 04/25/2009		560			719
4.000% due 10/25/2009		16,080			20,729
4.000% due 04/25/2014		600			781
4.000% due 10/25/2014		32,100			41,672
5.750% due 10/25/2032		4,800			7,884
4.750% due 04/25/2035		700			1,009
4.000% due 04/25/2055		400			516
Total France (Cost $90,230)					92,182
GERMANY (j) 24.9%
Hypothekenbank in Essen AG
5.500% due 02/20/2007	EC	1,350			1,722
KFW International Finance, Inc.
3.500% due 11/15/2005		5,300			6,447
Landesbank Baden-Wuerttemberg AG
5.500% due 04/02/2007		520			666
Landesbank Rheinland-Pfalz
4.750% due 04/04/2008		530			684
Republic of Germany
4.000% due 07/04/2009		2,200			2,832
5.375% due 01/04/2010		1,900			2,586
5.250% due 07/04/2010		21,800			29,741
5.250% due 01/04/2011		51,200			70,411
5.000% due 01/04/2012		24,100			33,051
5.000% due 07/04/2012		26,400			36,379
4.500% due 01/04/2013		21,040			28,256
3.750% due 07/04/2013		2,300			2,947
4.250% due 01/04/2014		39,000			51,675
6.250% due 01/04/2024		5,300			8,763
6.500% due 07/04/2027		35,860			62,337
5.625% due 01/04/2028		14,970			23,613
4.750% due 07/04/2028		1,300			1,841
6.250% due 01/04/2030		14,200			24,411
5.500% due 01/04/2031		6,200			9,800
4.750% due 07/04/2034		4,100			5,922
Total Germany (Cost $389,702)					404,084
IRELAND (j) 0.3%
Celtic Residential Irish Mortgage Securitisation
2.334% due 06/13/2035 (a)	EC	3,378			4,102
Total Ireland (Cost $4,077)					4,102
ITALY (j) 0.9%
First Italian Auto Transaction
2.426% due 07/01/2008 (a)	EC	11			13
Republic of Italy
4.500% due 05/01/2009		4,150			5,408
4.250% due 11/01/2009		2,470			3,209
5.500% due 11/01/2010		1,400			1,933
Siena Mortgage SpA
2.341% due 12/16/2038 (a)		4,400			5,316
Total Italy (Cost $15,927)					15,879
JAPAN (j) 11.5%
Development Bank of Japan
4.250% due 06/09/2015	$	2,300			2,280
Government of Japan
0.700% due 09/20/2008	JY	630,000			5,775
1.400% due 09/20/2011		1,620,000			15,342
1.600% due 09/20/2013		3,440,000			32,744
1.500% due 03/20/2014		7,640,000			71,835
1.600% due 06/20/2014		4,900,000			46,305
2.400% due 06/20/2024		250,000			2,480
2.300% due 05/20/2030		1,130,000			10,651
Total Japan (Cost $189,357)					187,412
JERSEY, CHANNEL ISLANDS (j) 0.1%
AIG SunAmerica Institutional Funding III Ltd.
2.287% due 07/17/2006 (a)	EC	800			968
Total Jersey, Channel Islands (Cost $1,045)					968
MEXICO (j) 0.2%
Pemex Project Funding Master Trust
8.850% due 09/15/2007	$	480			526
9.375% due 12/02/2008		650			743
United Mexican States
6.750% due 06/06/2006	JY	233,000			2,228
Total Mexico (Cost $3,466)					3,497
NETHERLANDS (j) 1.4%
Delphinus BV
2.415% due 11/28/2031 (a)	EC	5,000			6,099
2.413% due 04/25/2093 (a)		2,000			2,422
Dutch Mortgage-Backed Securities BV
2.427% due 10/02/2079 (a)		1,000			1,216
2.366% due 11/02/2034 (a)		658			796
2.376% due 11/20/2035 (a)		3,368			4,087
2.355% due 07/02/2077 (a)		1,066			1,264
Holland Euro-Denominated Mortgage-Backed Series
2.407% due 04/18/2012 (a)		878			1,062
Kingdom of Netherlands
5.000% due 07/15/2011		2,100			2,867
3.750% due 07/15/2014		2,700			3,446
Total Netherlands (Cost $22,081)					23,259
NEW ZEALAND (j) 0.1%
Commonwealth of New Zealand
4.500% due 02/15/2016 (c)	N$	2,307			2,139
Total New Zealand (Cost $1,094)					2,139
PANAMA 0.1%
Republic of Panama
8.250% due 04/22/2008	$	1,170			1,281
Total Panama (Cost $1,264)					1,281
PERU 0.1%
Republic of Peru
9.125% due 01/15/2008	$	1,300			1,443
Total Peru (Cost $1,422)					1,443
RUSSIA 0.4%
Russian Federation
8.750% due 07/24/2005	$	2,490			2,499
10.000% due 06/26/2007		1,570			1,732
8.250% due 03/31/2010 (a)		700			765
5.000% due 03/31/2030 (a)		1,100			1,231
Total Russia (Cost $6,165)					6,227
SOUTH AFRICA 0.1%
Republic of South Africa
8.375% due 10/17/2006	$	1,261			1,327
Total South Africa (Cost $1,350)					1,327
SPAIN (j) 3.1%
Banesto Banco de Emisiones
2.197% due 10/04/2006	EC	1,800			2,178
Caja Madrid
2.125% due 05/30/2006 (a)		1,600			1,935
Hipotebansa V
2.277% due 01/18/2018 (a)		1,046			1,236
Kingdom of Spain
4.950% due 07/30/2005		880			1,067
5.150% due 07/30/2009		6,140			8,219
4.000% due 01/31/2010		980			1,265
4.200% due 07/30/2013		2,900			3,821
5.750% due 07/30/2032		17,500			28,668
4.200% due 01/31/2037		1,300			1,718
Total Spain (Cost $47,246)					50,107
SUPRANATIONAL (j) 0.5%
European Investment Bank
4.000% due 10/15/2037	EC	6,200			7,780
Total Supranational (Cost $7,876)					7,780
TUNISIA 0.2%
Banque Centrale de Tunisie
7.500% due 09/19/2007	$	100			107
7.375% due 04/25/2012		600			693
4.500% due 06/22/2020		2,600			3,165
Total Tunisia (Cost $3,936)					3,965
UNITED KINGDOM (j) 4.2%
Bauhaus Securities Ltd.
2.449% due 10/30/2052 (a)	EC	9,045			10,976
Dolerite Funding PLC
3.560% due 08/20/2032 (a)	$	536			535
Haus Ltd.
2.403% due 12/14/2037 (a)	EC	2,609			3,054
Holmes Financing PLC
2.378% due 10/15/2009 (a)		1,800			2,183
2.398% due 07/25/2010 (a)		3,200			3,884
Lloyds TSB Bank PLC
5.625% due 07/15/2049 (a)	$	2,410			3,226
SRM Investment Ltd.
2.346% due 08/26/2034 (a)	EC	813			987
United Kingdom Gilt
5.000% due 03/07/2008	BP	13,400			24,615
5.000% due 03/07/2012		7,400			13,946
8.000% due 09/27/2013		2,100			4,771
Total United Kingdom (Cost $65,576)					68,177
UNITED STATES (j) 46.7%
Asset-Backed Securities 2.6%
AAA Trust
3.120% due 11/26/2035 (a)	$	12,913			12,936
AFC Home Equity Loan Trust
3.400% due 12/22/2027 (a)		82			82
Ameriquest Mortgage Securities, Inc.
3.500% due 02/25/2033 (a)		44			44
3.500% due 03/25/2033 (a)		58			58
3.580% due 06/25/2034 (a)		2,058			2,065
Amortizing Residential Collateral Trust
3.440% due 10/25/2031 (a)		119			119
AMRESCO Residential Securities Corp. Mortgage Loan Trust
4.030% due 06/25/2029 (a)		252			252
Argent Securities, Inc.
3.340% due 03/25/2034 (a)		80			80
Bear Stearns Asset-Backed Securities, Inc.
3.420% due 10/25/2032 (a)		55			55
3.490% due 10/25/2032 (a)		183			184
3.540% due 03/25/2043 (a)		226			227
Centex Home Equity
3.370% due 01/25/2034 (a)		901			902
Citibank Credit Card Master Trust
5.750% due 07/16/2007	DM	1,000			661
Citifinancial Mortgage Securities, Inc.
3.400% due 05/25/2033 (a)	$	158			158
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		1,000			1,001
Conseco Finance Corp.
3.590% due 10/15/2031 (a)		103			104
Countrywide Asset-Backed Certificates
2.990% due 09/25/2022 (a)		542			542
3.380% due 10/25/2035 (a)		3,422			3,425
Credit-Based Asset Servicing & Securitization LLC
3.430% due 01/25/2032 (a)		25			25
CS First Boston Mortgage Securities Corp.
3.400% due 01/25/2032 (a)		67			67
3.420% due 03/25/2034 (a)		809			809
Fieldstone Mortgage Investment Corp.
3.380% due 01/25/2035 (a)		881			884
Finance America Mortgage Loan Trust
3.260% due 06/25/2034 (a)		1,696			1,698
GMAC Mortgage Corp. Loan Trust
3.480% due 11/18/2025 (a)		182			182
GSAMP Trust
3.190% due 03/25/2035 (a)		1,315			1,315
Home Equity Asset Trust
3.550% due 05/25/2033 (a)		380			381
3.240% due 08/25/2034 (a)		616			616
Irwin Home Equity Loan Trust
3.610% due 06/25/2028 (a)		204			205
Long Beach Mortgage Loan Trust
3.240% due 02/25/2024 (a)		84			84
3.410% due 06/25/2033 (a)		107			107
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.240% due 10/25/2034 (a)		1,485			1,486
Morgan Stanley Dean Witter Capital I, Inc.
3.420% due 07/25/2032 (a)		3			3
Navistar Financial Corp. Owner Trust
1.690% due 09/15/2006		188			187
Novastar Home Equity Loan
3.365% due 04/25/2028 (a)		304			304
3.520% due 08/25/2028 (a)		176			176
Option One Mortgage Loan Trust
3.340% due 10/12/2032 (a)		14			14
Park Place Securities, Inc.
3.250% due 02/25/2035 (a)		412			412
Providian Home Equity Loan Trust
3.380% due 06/25/2025 (a)		28			29
Quest Trust
3.270% due 03/25/2035 (a)		6,501			6,497
Residential Asset Mortgage Products, Inc.
3.190% due 04/25/2025 (a)		171			171
3.370% due 06/25/2032 (a)		153			154
Residential Asset Securities Corp.
3.220% due 04/25/2013 (a)		854			854
2.780% due 07/25/2032 (a)		674			675
Residential Funding Mortgage Securities II, Inc.
3.220% due 07/25/2018 (a)		572			572
Saxon Asset Securities Trust
3.360% due 01/25/2032 (a)		117			117
3.490% due 12/25/2032 (a)		20			20
SLM Student Loan Trust
3.141% due 07/27/2009 (a)		766			767
Soundview Home Equity Loan Trust
3.240% due 10/25/2012 (a)		793			794
Specialty Underwriting & Residential Finance
3.420% due 06/25/2034 (a)		198			198
					42,698
Corporate Bonds & Notes 1.6%
Caesars Entertainment, Inc.
7.875% due 12/15/2005		200			203
DaimlerChrysler NA Holding Corp.
3.610% due 03/07/2007 (a)		6,700			6,682
EchoStar DBS Corp.
6.350% due 10/01/2008 (a)		200			205
Ford Motor Credit Co.
7.600% due 08/01/2005		2,900			2,907
General Electric Capital Corp.
0.100% due 12/20/2005	JY	300,000			2,705
General Motors Acceptance Corp.
6.750% due 01/15/2006	$	1,800			1,814
4.414% due 05/18/2006 (a)		5,885			5,859
7.430% due 12/01/2021		102			103
Harrah's Operating Co., Inc.
7.875% due 12/15/2005		250			254
HCA, Inc.
7.000% due 07/01/2007		1,500			1,561
J.P. Morgan Chase & Co., Inc.
5.342% due 02/15/2012 (a)		760			803
Mizuho JGB Investment LLC
9.870% due 06/30/2049 (a)		400			453
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049 (a)		500			552
Morgan Stanley Dean Witter & Co.
3.275% due 01/18/2008 (a)		2,100			2,101
UFJ Finance Aruba AEC
6.750% due 07/15/2013		200			223
					26,425
Mortgage-Backed Securities 2.7%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (a)		2,726			2,713
Citicorp Mortgage Securities, Inc.
7.430% due 01/01/2024		107			108
Countrywide Alternative Loan Trust
3.240% due 06/25/2034 (a)		94			94
Countrywide Home Loan Mortgage Pass-Through Trust
3.420% due 02/25/2035 (a)		2,154			2,159
3.410% due 03/25/2035 (a)		9,327			9,328
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		435			440
5.729% due 05/25/2032 (a)		62			62
GS Mortgage Securities Corp.
3.370% due 11/15/2015 (a)		325			325
6.526% due 08/15/2011		400			442
GSAMP Trust
3.280% due 10/25/2033 (a)		698			699
Impac Secured Assets CMN Owner Trust
3.280% due 08/25/2034 (a)		1,302			1,303
JP Morgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		2,300			2,548
Mellon Residential Funding Corp.
3.530% due 12/15/2030 (a)		1,976			1,980
Morgan Stanley Dean Witter Capital I, Inc.
3.230% due 04/15/2016 (a)		1,064			1,065
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		206			209
Sequoia Mortgage Trust
3.440% due 10/19/2026 (a)		1,715			1,717
3.440% due 07/20/2033 (a)		2,762			2,748
Structured Asset Mortgage Investments, Inc.
3.380% due 09/19/2032 (a)		2,859			2,860
Washington Mutual Mortgage Securities Corp.
5.131% due 10/25/2032 (a)		251			253
3.360% due 12/25/2027 (a)		4,205			4,203
3.372% due 12/25/2044 (a)		2,678			2,680
Washington Mutual, Inc.
3.320% due 04/25/2045 (a)		5,406			5,402
					43,338
Municipal Bonds & Notes 1.1%
Baltimore County, Maryland General Obligation Bonds, Series 2004
5.000% due 08/01/2012		300			334
California Infrastructure & Economic Development Bank Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 07/01/2036		200			212
California State Tobacco Securitization Agency Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		900			982
Chicago, Illinois Board of Education General Obligation Bonds, (FSA Insured), Series 2001
5.000% due 12/01/2031		200			221
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2003
5.000% due 01/01/2034		300			314
Chicago, Illinois Water Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 11/01/2026		100			110
City and County of Honolulu, Hawaii General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 07/01/2010		500			544
Florida State Department Environmental Protection Preservation Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 07/01/2011		550			602
Florida State Turnpike Authority Revenue Bonds, Series 2003 - C
5.000% due 07/01/2033		1,445			1,527
Golden State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.750% due 06/01/2039		300			338
Harris County, Texas General Obligation Bonds, Series 2003
5.000% due 08/01/2033		400			409
Hawaii State General Obligation Bonds, (FGIC Insured), Series 2001
5.500% due 08/01/2011		800			901
Illinois Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		300			317
Illinois State General Obligation Bonds, Series 2004-B
5.000% due 03/01/2013		200			220
Indiana State Transportation Finance Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 06/01/2028		100			105
Irving, Texas Waterworks & Sewer System Revenue Bonds, (FSA Insured), Series 2003
5.000% due 08/15/2011		100			110
Long Beach, California Community College District General Obligation Bonds, (MBIA Insured), Series 2003
5.000% due 05/01/2028		400			426
Los Angeles, California County Sanitation Districts Financing Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 10/01/2011		200			221
Los Angeles, California Wastewater System Revenue Bonds, (FSA Insured), Series 2003
5.000% due 06/01/2032		1,400			1,486
Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2027		900			959
Louisiana State General Obligation Bonds, (FGIC Insured), Series 2003
5.000% due 05/01/2014		800			891
Louisville & Jefferson Counties, Kentucky Metro Sewer & Drain District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100			105
Maryland State Health & Education Facilities Authority Revenue Bonds, Series 2001
5.000% due 07/01/2041		200			208
Michigan State Building Authority Revenue Bonds, (FSA Insured), Series 2003
5.250% due 10/15/2013		200			227
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series 2003
5.000% due 06/15/2010		200			215
New Jersey Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2037		1,000			1,046
New York City, New York Municipal Water & Sewer Finance Authority Revenue Bonds, Series 2003-A
5.000% due 06/15/2035		1,200			1,264
New York City, New York Transitional Finance Authority Revenue Bonds, (FSA Insured), Series 2002
5.250% due 08/01/2011		800			892
New York Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003-A1
5.250% due 06/01/2013		1,400			1,480
5.500% due 06/01/2017		200			220
Oklahoma State General Obligation Bonds, (FGIC Insured), Series 2003
5.000% due 07/15/2016		400			447
					17,333
		Shares
Preferred Security 0.1%
DG Funding Trust
3.360% due 12/29/2049 (a)		130			1,398
Preferred Stock 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		38			2,134
		Principal Amount (000s)
U.S. Government Agencies 23.3%
Fannie Mae
0.000% due 06/01/2017	$	30,300			17,747
0.990% due 06/10/2035		8,000			8,093
15.750% due 12/01/2011		2			2
4.381% due 11/01/2023 (a)		24			24
4.881% due 03/01/2024 (a)		28			29
4.998% due 12/01/2034 (a)		2,244			2,275
5.000% due 07/01/2018 - 08/11/2035 (d)		14,261			14,251
5.500% due 10/01/2017 - 06/01/2035 (d)		300,658			305,085
6.470% due 09/25/2012		1,000			1,142
9.000% due 04/01/2016		47			49
Federal Farm Credit Bank
7.530% due 04/15/2009		475			535
Federal Home Loan Bank
5.750% due 08/15/2011		500			543
Federal Housing Administration
7.400% due 02/01/2021		481			485
Freddie Mac
4.031% due 02/01/2029 (a)		730			751
4.590% due 05/01/2023 (a)		140			143
Government National Mortgage Association
3.375% due 05/20/2022 - 05/20/2030 (a)(d)		648			659
3.750% due 07/20/2022 - 09/20/2026 (a)(d)		336			340
3.836% due 02/16/2030 (a)		502			507
4.125% due 12/20/2023 - 12/20/2026 (a)(d)		158			162
4.250% due 01/20/2030 (a)		255			259
4.375% due 02/20/2024 (a)		321			325
6.000% due 08/20/2034		3,679			3,980
8.500% due 12/15/2029 - 02/15/2031 (d)		450			491
Small Business Administration
6.640% due 02/01/2011		1,246			1,321
7.640% due 03/10/2010		209			226
Small Business Administration Participation Certificates
4.570% due 06/01/2025		6,700			6,711
Tennessee Valley Authority
4.875% due 12/15/2016		6,700			7,086
5.880% due 04/01/2036		3,900			4,705
7.140% due 05/23/2012		1,000			1,178
					379,104
U.S. Treasury Obligations 15.2%
Treasury Inflation Protected Securities (c)
3.500% due 01/15/2011		2,792			3,095
3.000% due 07/15/2012		8,865			9,740
2.000% due 01/15/2014		6,522			6,720
2.000% due 07/15/2014		619			638
1.625% due 01/15/2015		2,749			2,740
3.625% due 04/15/2028		240			323
U.S. Treasury Bonds
8.750% due 05/15/2017		17,900			25,707
8.875% due 02/15/2019		29,900			44,459
8.125% due 05/15/2021		18,100			26,212
6.250% due 08/15/2023		6,800			8,476
6.625% due 02/15/2027		1,000			1,328
U.S. Treasury Notes
4.875% due 02/15/2012		40,300			42,812
4.250% due 08/15/2013		400			410
4.250% due 11/15/2013		400			410
4.250% due 08/15/2014		8,900			9,116
4.250% due 11/15/2014		30,900			31,635
4.125% due 05/15/2015		26,000			26,388
U.S. Treasury Strip
0.000% due 02/15/2019 (b)		11,200			6,299
					246,508
Total United States (Cost $748,011)					758,938
		Notional Amounts (000s)
PURCHASED CALL OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 4.500%** Exp. 06/02/2006	$	2,000			62
Total Purchased Call Options (Cost $59)					62
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 94.000 Exp. 12/19/2005		202			2
Eurodollar March Futures (CME)
Strike @ 92.750 Exp. 03/13/2006		15			0
Eurodollar September Futures (CME)
Strike @ 93.750 Exp. 09/19/2005		335			2
Eurodollar September Futures (CME)
Strike @ 93.500 Exp. 09/19/2005		411			5
Total Purchased Put Options (Cost $10)					9
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.0%
Commercial Paper 0.4%
Ford Motor Credit Co.
3.400% due 08/26/2005	$	6,400			6,366
Repurchase Agreement 0.3%
State Street Bank
2.650% due 07/01/2005		6,143			6,143
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $6,270. Repurchase proceeds are $6,143.)
U.S. Treasury Bills 3.3%
2.952% due 09/01/2005-09/15/2005 (d)(e)(g)		53,710			53,341
Total Short-Term Instruments (Cost $65,899)					65,850
Total Investments (f) (Cost $1,693,484)		106.3	%	$	1,727,949
Written Options (i) (Premiums $526)		(0.0	)%		(873	)
Other Assets and Liabilities (Net)		(6.3	%)		(101,757	)
Net Assets		100.0	%	$	1,625,319

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal only security.

(c) Principal amount of security is adjusted for inflation.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) Securities with an aggregate market value of $38,264 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) As of June 30, 2005, portfolio securities with an aggregate market value of $63,618 were valued with reference to securities whose prices are more readily obtainable.

(g) Securities with an aggregate market value of $6,674 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	235	$	67
Eurodollar December Long Futures	12/2005	728		(20	)
Euro-Bund 10-Year Note Long Futures	09/2005	1,434		1,643
Euro-Bund Purchased Put Options Strike @ 103.000	09/2005	340		0
Euro-Bund Purchased Put Options Strike @ 104.000	09/2005	430		0
Government of Japan 10-Year Note Long Futures	09/2005	52		330
U.S. Treasury 10-Year Note Short Futures	09/2005	661		(157	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	718		778
U.S. Treasury 5-Year Note Short Futures	09/2005	333		(187	)
			$	2,454

(h) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-month Australian Bank Bill	Pay	6.000	%	06/15/2010	A$	$ 38,900	$	214
Citibank N.A.	6-month Australian Bank Bill	Receive	6.000	%	06/15/2015		22,300		(314	)
UBS Warburg LLC	6-month Australian Bank Bill	Pay	6.000	%	06/15/2010		52,400		283
UBS Warburg LLC	6-month Australian Bank Bill	Receive	6.000	%	06/15/2015		29,900		(364	)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010	BP	71,000		1,680
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		7,100		(91	)
Citibank N.A.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		10,000		588
Citibank N.A.	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		600		(52	)
HSBC Bank USA	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		300		3
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		3,600		172
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		1,900		(143	)
Lehman Brothers, Inc.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		200		2
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		7,100		403
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		2,100		(187	)
UBS Warburg LLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		7,200		356
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		2,700		(240	)
Bank of America	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014	C$	10,000		(60	)
Bank of America	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		14,900		24
HSBC Bank USA	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		8,200		(162	)
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		1,600		(27	)
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		2,900		4
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	5.500	%	06/15/2035		1,000		57
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		11,800		(196	)
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		7,200		13
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	1,400		43
Barclays Bank PLC	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		7,800		(466	)
Citibank N.A.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012		40,500		(1,896	)
Citibank N.A.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		3,690		(64	)
Citibank N.A.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		1,900		101
Goldman Sachs & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		400		28
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		20		1
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012		800		(37	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		22,000		(34	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Receive	6.000	%	03/15/2031		5,400		(2,545	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		2,200		279
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		400		12
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		300		41
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		39,200		(685	)
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		64,600		(80	)
UBS Warburg LLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		3,400		115
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.550	%	03/16/2006	H$	6,000		(12	)
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.906	%	07/11/2006		70,000		(293	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	1.310	%	07/14/2005	JY	693,000		(39	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.035	%	05/18/2010		360,000		(257	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	1.300	%	09/21/2011		1,040,000		(388	)
Lehman Brothers, Inc.	6-month JY-LIBOR	Receive	2.000	%	12/20/2013		755,000		(530	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	12/20/2013		3,890,000		(2,931	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	0.800	%	03/20/2012		770,000		(275	)
Bank of America	3-month USD-LIBOR	Pay	3.000	%	06/15/2006	$	31,000		73
Bank of America	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		15,500		(38	)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		19,200		0
Barclays Bank PLC	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		23,800		(165	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		58,000		(190	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		91,300		(245	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	6.000	%	12/17/2031		13,400		(3,368	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		1,500		(20	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	3.000	%	06/15/2006		184,800		390
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		63,200		(161	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		1,800		(6	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		62,900		(829	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		2,700		86
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		10,600		(69	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		87,000		(222	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		5,300		161
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	6.000	%	12/17/2031		5,500		(1,594	)
UBS Warburg LLC	3-month USD-LIBOR	Pay	5.500	%	12/16/2014		4,000		116
								$	(14,030	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010	$	11,000	$	(53	)
Credit Suisse First Boston	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.550	%	09/07/2005		300		0
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	06/20/2006		1,500		29
Merrill Lynch     & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		2,000		19
								$	(5	)

(i) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	08/26/2005	211	$	39	$	30
Put - CBOT U.S. Treasury Bond September Futures		111.000	08/26/2005	108		54		7
					$	93	$	37

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%**	08/04/2005	$	3,000	$	129	$	268
Put - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%*	08/04/2005		3,000		129		0
Call - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	5.480	%**	04/03/2006		3,900		115		510
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	06/02/2006		5,000		60		58
							$	433	$	836

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	A$	4,339	07/2005	$	0	$	(26	)	$	(26	)
Buy		3,282	08/2005		0		(56	)		(56	)
Buy	BP	37,627	07/2005		0		(1,065	)		(1,065	)
Sell		1,311	07/2005		29		0			29
Buy	BR	915	07/2005		52		0			52
Buy		1,096	08/2005		31		0			31
Buy	C$	34,620	07/2005		459		0			459
Buy	CP	108,689	08/2005		0		0			0
Buy	DK	71,281	09/2005		0		(179	)		(179	)
Buy	EC	132,734	07/2005		59		(10	)		49
Buy		10,000	08/2005		30		0			30
Sell		10,000	07/2005		0		(29	)		(29	)
Sell		148,699	08/2005		452		0			452
Buy	JY	35,510,992	07/2005		0		(12,766	)		(12,766	)
Sell		720,195	07/2005		0		(1	)		(1	)
Buy	KW	360,953	07/2005		0		(13	)		(13	)
Buy		706,961	08/2005		0		(23	)		(23	)
Buy		529,200	09/2005		0		(10	)		(10	)
Buy	MP	3,768	08/2005		10		0			10
Buy		1,717	09/2005		0		0			0
Sell	N$	2,526	07/2005		46		0			46
Buy	PN	1,168	08/2005		0		0			0
Buy	PZ	973	08/2005		0		(4	)		(4	)
Buy		618	09/2005		0		(1	)		(1	)
Buy	RR	5,525	07/2005		0		(6	)		(6	)
Buy		8,827	08/2005		0		(9	)		(9	)
Buy	S$	272	07/2005		0		(4	)		(4	)
Buy		441	08/2005		0		(5	)		(5	)
Buy	SK	105,860	09/2005		0		(593	)		(593	)
Buy	SR	2,648	08/2005		0		(38	)		(38	)
Buy	SV	13,816	08/2005		0		(13	)		(13	)
Buy	T$	8,929	08/2005		0		(6	)		(6	)
				$	1,168	$	(14,857	)	$	(13,689	)

Schedule of Investments

Global Bond Fund (U.S. Dollar-Hedged)

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
AUSTRALIA 0.2%
Crusade Global Trust
3.598% due 05/15/2021 (a)	$	57		$	57
Homeside Mortgage Securities Trust
3.335% due 01/20/2027 (a)		44			44
Medallion Trust
3.360% due 07/12/2031 (a)		195			195
Superannuation Members Home Loans Global Fund
3.665% due 06/15/2026 (a)		33			33
Torrens Trust
3.480% due 07/15/2031 (a)		71			71
Total Australia (Cost $401)					400
BELGIUM (h) 0.2%
Kingdom of Belgium
7.500% due 07/29/2008	EC	250			350
Total Belgium (Cost $246)					350
BRAZIL 0.7%
Republic of Brazil
4.313% due 04/15/2009 (a)	$	376			374
9.230% due 06/29/2009 (a)		200			232
10.500% due 07/14/2014		500			593
8.250% due 01/20/2034		100			98
Total Brazil (Cost $1,269)					1,297
CANADA (h) 0.1%
Commonwealth of Canada
5.750% due 06/01/2033	C$	100			101
Rogers Wireless Communications, Inc.
7.625% due 12/15/2011		300			263
Total Canada (Cost $348)					364
CAYMAN ISLANDS (h) 0.4%
Redwood Capital Ltd.
6.950% due 01/01/2006 (a)	$	300			300
SHL Corp. Ltd.
0.752% due 12/25/2024 (a)	JY	1,950			18
Vita Capital Ltd.
4.450% due 01/01/2007 (a)	$	400			401
Total Cayman Islands (Cost $716)					719
DENMARK (h) 0.1%
Nykredit Konvertible
6.000% due 10/01/2029	DK	675			114
Unikredit Realkredit
6.000% due 07/01/2029		145			25
Total Denmark (Cost $90)					139
FRANCE (h) 9.1%
Axa S.A.
3.750% due 01/01/2017	EC	50			83
Republic of France
4.000% due 10/25/2009		2,260			2,913
4.000% due 04/25/2014		9,300			12,098
4.000% due 10/25/2014		700			909
5.750% due 10/25/2032		1,300			2,135
4.750% due 04/25/2035		100			144
Total France (Cost $17,771)					18,282
GERMANY (h) 21.6%
KFW International Finance, Inc.
3.500% due 11/15/2005	EC	1,300			1,581
Landesbank Baden-Wuerttemberg AG
5.500% due 04/02/2007		90			115
Landesbank Rheinland-Pfalz
4.750% due 04/04/2008		210			271
Republic of Germany
4.000% due 07/04/2009		100			129
3.500% due 10/09/2009		1,000			1,264
5.250% due 07/04/2010		700			955
5.250% due 01/04/2011		6,600			9,076
5.000% due 01/04/2012		600			823
5.000% due 07/04/2012		2,600			3,583
3.750% due 07/04/2013		100			128
4.250% due 01/04/2014		5,600			7,420
4.250% due 07/04/2014		200			265
6.250% due 01/04/2024		600			992
6.500% due 07/04/2027		5,740			9,978
5.625% due 01/04/2028		2,940			4,638
6.250% due 01/04/2030		400			688
4.750% due 07/04/2034		700			1,011
Total Germany (Cost $39,415)					42,917
IRELAND (h) 0.1%
Emerald Mortgages PLC
2.364% due 10/22/2035 (a)	EC	74			90
Lusitano Mortgages PLC
2.391% due 12/15/2035 (a)		156			189
Total Ireland (Cost $258)					279
ITALY (h) 2.6%
Findomestic Securitization Vehicle SRL
2.416% due 12/20/2008 (a)	EC	900			1,090
First Italian Auto Transaction
2.426% due 07/01/2008 (a)		3			3
Republic of Italy
4.500% due 05/01/2009		1,280			1,668
5.500% due 11/01/2010		400			552
Siena Mortgage SpA
2.341% due 12/16/2038 (a)		1,600			1,933
Total Italy (Cost $4,835)					5,246
JAPAN (h) 11.4%
Government of Japan
0.700% due 09/20/2008	JY	310,000			2,842
1.400% due 09/20/2011		270,000			2,557
1.600% due 09/20/2013		290,000			2,760
1.500% due 03/20/2014		810,000			7,616
1.600% due 06/20/2014		600,000			5,670
1.900% due 09/20/2022		25,000			234
2.400% due 06/20/2024		4,000			40
2.300% due 05/20/2030		110,100			1,038
Total Japan (Cost $22,944)					22,757
MEXICO 0.2%
Pemex Project Funding Master Trust
8.850% due 09/15/2007	$	140			154
9.375% due 12/02/2008		190			217
Total Mexico (Cost $326)					371
NETHERLANDS (h) 1.9%
Delphinus BV
2.415% due 11/28/2031 (a)	EC	500			610
2.413% due 04/25/2093 (a)		500			606
2.372% due 06/25/2066 (a)		376			456
Dutch Mortgage-Backed Securities BV
2.427% due 10/02/2079 (a)		1,000			1,216
Holland Euro-Denominated Mortgage-Backed Series
2.407% due 04/18/2012 (a)		219			266
Kingdom of Netherlands
5.000% due 07/15/2011		200			273
3.750% due 07/15/2014		200			255
Total Netherlands (Cost $3,737)					3,682
NEW ZEALAND (h) 0.2%
Commonwealth of New Zealand
4.500% due 02/15/2016 (b)	N$	430			399
Total New Zealand (Cost $238)					399
PANAMA 0.1%
Republic of Panama
8.250% due 04/22/2008	$	200			219
Total Panama (Cost $216)					219
PERU 0.1%
Republic of Peru
9.125% due 01/15/2008	$	100			111
9.125% due 02/21/2012		100			118
Total Peru (Cost $225)					229
RUSSIA 0.5%
Russian Federation
8.750% due 07/24/2005	$	500			502
10.000% due 06/26/2007		280			309
5.000% due 03/31/2030 (a)		200			224
Total Russia (Cost $1,027)					1,035
SOUTH AFRICA 0.1%
Republic of South Africa
8.375% due 10/17/2006	$	210			221
Total South Africa (Cost $225)					221
SPAIN (h) 2.6%
Hipotebansa Mortgage Securitization Fund
2.256% due 07/18/2022 (a)	EC	290			342
Hipotebansa V
2.277% due 01/18/2018 (a)		98			116
Kingdom of Spain
4.950% due 07/30/2005		220			267
5.150% due 07/30/2009		1,990			2,664
4.200% due 07/30/2013		400			527
5.750% due 07/30/2032		500			819
4.200% due 01/31/2037		200			264
Total Spain (Cost $4,034)					4,999
SUPRANATIONAL (h) 0.4%
European Investment Bank
4.000% due 10/15/2037	EC	700			878
Total Supranational (Cost $889)					878
TUNISIA (h) 0.2%
Banque Centrale de Tunisie
7.500% due 09/19/2007	$	100			107
4.500% due 06/22/2020	EC	300			365
Total Tunisia (Cost $471)					472
UNITED KINGDOM (h) 5.6%
Bauhaus Securities Ltd.
2.449% due 10/30/2052 (a)	EC	438			531
Dolerite Funding PLC
3.560% due 08/20/2032 (a)	$	93			93
Haus Ltd.
2.403% due 12/14/2037 (a)	EC	932			1,091
Lloyds TSB Bank PLC
5.625% due 07/15/2049 (a)		590			790
United Kingdom Gilt
5.000% due 03/07/2008	BP	2,700			4,960
4.000% due 03/07/2009		60			107
5.000% due 03/07/2012		900			1,696
8.000% due 09/27/2013		790			1,795
Total United Kingdom (Cost $10,510)					11,063
UNITED STATES (h) 52.2%
Asset-Backed Securities 2.1%
AFC Home Equity Loan Trust
3.624% due 12/22/2027 (a)	$	40			40
Ameriquest Mortgage Securities, Inc.
3.724% due 02/25/2033 (a)		13			13
3.724% due 03/25/2033 (a)		19			19
3.650% due 06/25/2034 (a)		398			399
Amortizing Residential Collateral Trust
3.664% due 10/25/2031 (a)		40			40
AMRESCO Residential Securities Corp. Mortgage Loan Trust
4.254% due 06/25/2029 (a)		41			41
Bear Stearns Asset-Backed Securities, Inc.
3.644% due 10/25/2032 (a)		9			9
3.764% due 03/25/2043 (a)		85			85
Citifinancial Mortgage Securities, Inc.
3.624% due 05/25/2033 (a)		26			26
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		1,000			1,001
Conseco Finance Corp.
3.590% due 10/15/2031 (a)		72			72
Countrywide Asset-Backed Certificates
3.574% due 08/25/2032 (a)		39			39
CS First Boston Mortgage Securities Corp.
3.624% due 01/25/2032 (a)		21			22
First Alliance Mortgage Loan Trust
3.490% due 12/20/2027 (a)		105			105
GSAMP Trust
3.604% due 03/25/2034 (a)		499			499
Home Equity Asset Trust
3.724% due 03/25/2033 (a)		16			16
3.464% due 08/25/2034 (a)		103			103
Irwin Home Equity Loan Trust
3.834% due 06/25/2028 (a)		68			68
Merrill Lynch Mortgage Investors, Inc.
3.600% due 03/15/2025 (a)		156			157
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.464% due 11/25/2034 (a)		247			248
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (a)		1			1
Navistar Financial Corp. Owner Trust
1.690% due 09/15/2006		49			49
Providian Home Equity Loan Trust
3.604% due 06/25/2025 (a)		43			43
Renaissance Home Equity Loan Trust
3.814% due 12/25/2033 (a)		105			106
Residential Asset Mortgage Products, Inc.
3.594% due 06/25/2032 (a)		51			51
Residential Asset Securities Corp.
3.444% due 04/25/2013 (a)		142			142
3.544% due 09/25/2031 (a)		85			85
3.564% due 07/25/2032 (a)		179			179
Specialty Underwriting & Residential Finance
3.644% due 06/25/2034 (a)		59			60
Structured Asset Securities Corp.
3.490% due 05/25/2034 (a)		407			409
					4,127
Corporate Bonds & Notes 1.4%
Ford Motor Credit Co.
4.218% due 11/16/2006 (a)		500			496
GE Finance Assurance Holdings
1.600% due 06/20/2011	JY	90,000			829
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)	$	500			500
4.145% due 05/18/2006 (a)		300			299
J.P. Morgan Chase & Co., Inc.
5.342% due 02/15/2012 (a)		100			106
Mizuho JGB Investment LLC
9.870% due 12/31/2049 (a)		100			113
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049 (a)		300			331
UFJ Finance Aruba AEC
6.750% due 07/15/2013		70			78
					2,752
Mortgage-Backed Securities 3.3%
Commercial Mortgage Asset Trust
6.975% due 04/17/2013		300			347
Countrywide Alternative Loan Trust
3.464% due 06/25/2034 (a)		12			12
Countrywide Home Loan Mortgage Pass-Through Trust
3.694% due 09/25/2034 (a)		654			655
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		87			88
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		696			736
GS Mortgage Securities Corp.
6.526% due 08/15/2011		100			111
GSR Mortgage Loan Trust
3.445% due 06/01/2034 (a)		581			572
Impac CMB Trust
3.714% due 07/25/2033 (a)		65			65
Impac Secured Assets CMN Owner Trust
3.504% due 08/25/2034 (a)		266			267
JP Morgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		600			665
Morgan Stanley Dean Witter Capital I, Inc.
3.230% due 04/15/2016 (a)		213			213
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		44			45
Sequoia Mortgage Trust
3.610% due 07/20/2033 (a)		690			687
Structured Asset Mortgage Investments, Inc.
3.550% due 09/19/2032 (a)		572			572
Structured Asset Securities Corp.
3.814% due 07/25/2032 (a)		97			96
Washington Mutual Mortgage Securities Corp.
3.372% due 01/25/2045 (a)		478			478
5.129% due 10/25/2032 (a)		61			61
3.584% due 12/25/2027 (a)		711			710
3.765% due 02/27/2034 (a)		182			182
6.000% due 03/25/2032		21			21
					6,583
Municipal Bonds & Notes 1.4%
California State Tobacco Securitization Agency Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		200			218
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2003
5.000% due 01/01/2034		200			210
Chicago, Illinois Water Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 11/01/2026		100			110
City and County of Honolulu, Hawaii General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 07/01/2010		100			109
Connecticut State General Obligation Bonds, Series 2001
5.500% due 12/15/2013		200			230
Harris County, Texas General Obligation Bonds, Series 2003
5.000% due 08/01/2033		100			102
Hawaii State General Obligation Bonds, (FGIC Insured), Series 2001
5.500% due 08/01/2011		200			225
Illinois Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		400			422
Los Angeles, California County Sanitation Districts Financing Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 10/01/2011		100			111
Louisville & Jefferson Counties, Kentucky Metro Sewer & Drain District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100			105
Michigan State Building Authority Revenue Bonds, (FSA Insured), Series 2003
5.250% due 10/15/2013		100			114
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series 2003
5.000% due 06/15/2010		100			107
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FSA-CR Insured), Series 2002
5.125% due 06/15/2034		100			107
New York Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003-A1
5.250% due 06/01/2013		400			423
Oklahoma State General Obligation Bonds, (FGIC Insured), Series 2003
5.000% due 07/15/2016		100			112
Salt River, Arizona Project Agriculture Improvement & Power District Revenue Bonds, Series 2002
5.000% due 01/01/2031		100			106
					2,811
	Shares
Preferred Security 0.4%
DG Funding Trust
3.360% due 12/29/2049 (a)		70			753
Preferred Stock 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		7,000			390
	Principal Amount (000s)
U.S. Government Agencies 22.7%
Fannie Mae
3.564% due 08/25/2030 (a)	$	501			501
5.000% due 12/01/2034 - 08/11/2035 (c)		1,967			1,971
5.137% due 04/01/2033 (a)		137			138
5.500% due 10/01/2016 - 06/01/2035 (c)		34,880			35,394
6.470% due 09/25/2012		1,000			1,142
Federal Home Loan Bank
5.750% due 08/15/2011		1,000			1,087
Government National Mortgage Association
3.375% due 05/20/2028 - 06/20/2030 (a)(c)		442			449
3.750% due 07/20/2022 - 09/20/2026 (a)(c)		190			193
3.836% due 02/16/2030 (a)		143			145
3.886% due 02/16/2030 (a)		150			152
4.125% due 11/20/2021 - 12/20/2026 (a)(c)		91			92
4.250% due 01/20/2030 (a)		104			105
6.000% due 08/20/2034		526			569
Small Business Administration
6.640% due 02/10/2011		325			345
Tennessee Valley Authority
4.875% due 12/15/2016		400			423
5.880% due 04/01/2036		1,000			1,206
7.140% due 05/23/2012		1,000			1,178
					45,090
U.S. Treasury Obligations 20.7%
Treasury Inflation Protected Securities (b)
3.500% due 01/15/2011		1,230			1,363
3.000% due 07/15/2012		974			1,070
2.000% due 01/15/2014		421			434
1.625% due 01/15/2015		204			203
U.S. Treasury Bonds
7.500% due 11/15/2016		5,940			7,787
8.750% due 05/15/2017		1,800			2,585
8.875% due 02/15/2019		5,400			8,029
8.125% due 08/15/2019		2,000			2,835
7.875% due 02/15/2021		900			1,274
8.125% due 05/15/2021		2,500			3,620
U.S. Treasury Notes
4.875% due 02/15/2012		500			531
4.250% due 08/15/2013		500			513
4.250% due 11/15/2013		800			820
4.250% due 08/15/2014		1,800			1,844
4.250% due 11/15/2014		5,500			5,631
4.125% due 05/15/2015		2,500			2,537
					41,076
Total United States (Cost $102,543)					103,582
	Notional Amount
PURCHASED CALL OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 5.750%** Exp. 04/27/2009	$	400,000			67
Total Purchased Call Options (Cost $21)					67
PURCHASED PUT OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 6.250%* Exp. 04/27/2009	$	400			10
	# of Contracts
Eurodollar September Futures (CME)
Strike @ 93.750 Exp. 09/19/2005		47			0
Eurodollar September Futures (CME)
Strike @ 93.500 Exp. 09/19/2005		58			1
Total Purchased Put Options (Cost $29)					11
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.8%
Commercial Paper 0.3%
UBS Finance Delaware LLC
3.390% due 07/01/2005	$	700			700
Repurchase Agreement 0.8%
State Street Bank
2.650% due 07/01/2005		1,497			1,497
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $1,531. Repurchase proceeds are $1,497.)
U.S. Treasury Bills 3.7%
2.948% due 09/01/2005-09/15/2005 (c)(d)(e)		7,435			7,384
Total Short-Term Instruments (Cost $9,588)					9,581
Total Investments (j) (Cost $222,372)		115.4	%	$	229,559
Written Options (g) (Premiums $303)		(0.2	%)		(385	)
Other Assets and Liabilities (Net)		(15.2	%)		(30,295	)
Net Assets		100.0	%	$	198,879

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $5,466 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(e) Securities with an aggregate market value of $1,178 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	44	$	13
Eurodollar December Long Futures	12/2005	97		(3	)
Euro-Bobl 5-Year Note Short Futures	09/2005	14		(12	)
Euro-Bund 10-Year Note Long Futures	09/2005	193		309
Government of Japan 10-Year Note Long Futures	09/2005	10		76
U.S. Treasury 10-Year Note Short Futures	09/2005	78		(23	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	64		25
U.S. Treasury 5-Year Note Short Futures	09/2005	22		(12	)
			$	373

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-month Australian Bank Bill	Pay	6.000	%	06/15/2010	A$	6,900	$	40
Citibank N.A.	6-month Australian Bank Bill	Receive	6.000	%	06/15/2015		3,900		(57	)
UBS Warburg LLC	6-month Australian Bank Bill	Pay	6.000	%	06/15/2010		6,300		30
UBS Warburg LLC	6-month Australian Bank Bill	Receive	6.000	%	06/15/2015		3,500		(41	)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010	BP	6,800		243
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		500		(45	)
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		800		(11	)
Citibank N.A.	6-month BP-LIBOR	Receive	5.000	%	12/16/2019		200		(2	)
HSBC Bank USA	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		1,300		52
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		400		19
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	09/15/2015		200		(15	)
Merrill Lynch & Co., Inc.	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		100		3
UBS Warburg LLC	6-month BP-LIBOR	Pay	5.000	%	09/15/2010		600		20
Bank of America	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014	C$	3,000		(9	)
Bank of America	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		3,700		9
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	5.500	%	06/15/2035		200		11
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Receive	5.500	%	12/16/2014		1,000		(5	)
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019		1,200		5
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	200		6
Barclays Bank PLC	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		1,600		(94	)
Citibank N.A.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		7,870		(137	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		500		19
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		300		38
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		100		3
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		15,300		(270	)
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		300		11
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	4.500	%	06/17/2015		1,200		2
UBS Warburg LLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		800		27
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.550	%	03/16/2006	H$	4,300		(9	)
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.906	%	07/11/2006		20,000		(84	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	1.310	%	07/14/2005	JY	232,000		(13	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	1.300	%	09/21/2011		340,000		(127	)
Lehman Brothers, Inc.	6-month JY-LIBOR	Receive	2.000	%	12/20/2013		110,000		(77	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	12/20/2013		300,000		(202	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	0.800	%	03/20/2012		540,000		(193	)
Bank of America	3-month USD-LIBOR	Pay	3.000	%	06/15/2006	$	7,000		18
Bank of America	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		3,500		(9	)
Bank of America	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		200		(2	)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		11,600		0
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		7,900		(26	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		14,600		(37	)
Greenwich Capital Markets, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2025		300		(1	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		200		(3	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	3.000	%	06/15/2006		22,600		45
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		7,200		(18	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		1,500		(5	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		4,000		(53	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		4,000		(26	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		8,400		(21	)
								$	(991	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/ Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation
UBS Warburg LLC	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.300	%	06/20/2006	$	500	$	9
								$	9

(g) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	114.000	08/26/2005	27	$	24	$	18
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	43		8		6
Put - CBOT U.S. Treasury Bond September Futures		111.000	08/26/2005	15		7		1
Put - CBOT U.S. Treasury Bond September Futures		114.000	08/26/2005	27		19		6
					$	58	$	31

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%**	08/04/2005	$	2,500	$	107	$	224
Put - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%*	08/04/2005		2,500		108		0
Call - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	5.480	%**	04/03/2006		1,000		30		130
							$	245	$	354

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(h) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	BP	1,913	07/2005	$	54	$	0		$	54
Buy	BR	179	07/2005		10		0			10
Buy		177	08/2005		5		0			5
Buy	C$	217	07/2005		2		0			2
Sell		555	07/2005		0		(7	)		(7	)
Buy	CP	26,311	08/2005		0		0			0
Sell	DK	935	09/2005		3		0			3
Buy	EC	507	07/2005		2		(1	)		1
Sell		57,563	07/2005		95		0			95
Sell		6,110	08/2005		19		0			19
Buy	H$	997	08/2005		0		0			0
Buy	JY	27,160	07/2005		0		(4	)		(4	)
Sell		2,056,032	07/2005		755		0			755
Buy	KW	65,930	07/2005		0		(2	)		(2	)
Buy		143,100	09/2005		0		(3	)		(3	)
Buy	MP	822	08/2005		2		0			2
Buy		337	09/2005		0		0			0
Sell	N$	472	07/2005		9		0			9
Buy	PN	319	08/2005		0		0			0
Buy	PZ	173	08/2005		0		(1	)		(1	)
Buy		74	09/2005		0		0			0
Buy	RR	945	07/2005		0		(1	)		(1	)
Buy		852	08/2005		0		(1	)		(1	)
Buy	S$	53	07/2005		0		(1	)		(1	)
Buy	SR	189	08/2005		0		(3	)		(3	)
Buy	SV	2,985	08/2005		0		(2	)		(2	)
Buy	T$	328	08/2005		0		0			0
				$	956	$	(26	)	$	930

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity	Par		Value		Proceeds
U.S. Treasury Note	3.000	02/15/2009	$	3,300	$	3,224	$	3,223

(j) As of June 30, 2005, portfolio securities with an aggregate market value of $7,881 were valued with reference to securities whose prices are more readily obtainable.

See accompanying notes

Schedule of Investments

GNMA Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
U.S. GOVERNMENT AGENCIES 148.1%
Fannie Mae
3.414% due 07/01/2011 (a)	$	5,856		$	5,868
3.803% due 07/01/2011 (a)		2,444			2,447
4.500% due 05/01/2019 - 08/01/2019 (d)		199,990			199,299
4.753% due 03/01/2018 (a)		17			17
5.500% due 07/01/2033 - 08/11/2035 (d)		117,085			118,743
6.000% due 05/01/2029 - 08/01/2034 (d)		2,668			2,740
9.000% due 07/01/2018		14			15
Federal Housing Administration
8.137% due 09/01/2040		466			465
Freddie Mac
3.251% due 06/01/2030 (a)		31			31
3.475% due 05/01/2019 (a)		18			18
6.708% due 05/01/2031 (a)		72			73
7.500% due 08/15/2029 (b)		61			10
Government National Mortgage Association
0.000% due 03/16/2026 (c)		46			45
3.000% due 01/16/2023		2,278			2,272
3.375% due 06/20/2022 - 06/20/2025 (a)(d)		1,573			1,596
3.436% due 01/16/2031 - 02/16/2032 (a)(d)		8,378			8,385
3.486% due 08/16/2032 (a)		1,548			1,551
3.500% due 02/20/2026 - 05/20/2031 (a)(d)		27,464			27,289
3.536% due 12/16/2026 - 08/16/2031 (a)(d)		1,336			1,341
3.636% due 06/16/2027 (a)		2,144			2,150
3.736% due 07/16/2028 (a)		264			266
3.750% due 07/20/2018 - 05/16/2027 (a)(d)		182			183
3.786% due 04/16/2032 (a)		567			573
3.886% due 05/16/2029 (a)		1,726			1,739
3.910% due 06/20/2030 (a)		109			110
4.000% due 05/20/2016 - 01/20/2021 (d)		16,853			16,851
4.125% due 12/20/2017 - 10/20/2030 (a)(d)		32			33
4.375% due 02/20/2026 (a)		45			46
4.500% due 02/20/2018 (a)		13			12
4.625% due 03/20/2018 (a)		23			23
5.000% due 07/21/2035		24,000			24,187
5.500% due 03/16/2022 - 07/21/2035 (d)		279,432			285,501
6.000% due 11/15/2033 - 07/21/2035 (d)		128,559			132,618
6.500% due 12/15/2023 - 07/20/2031 (d)		3,867			3,919
7.500% due 10/15/2022 - 06/15/2033 (d)		2,177			2,334
Small Business Administration
7.449% due 08/01/2010		161			173
Total U.S. Government Agencies (Cost $841,931)					842,923
MORTGAGE-BACKED SECURITIES 0.6%
Bank of America Mortgage Securities, Inc.
5.579% due 10/20/2032 (a)		164			165
CS First Boston Mortgage Securities Corp.
3.226% due 03/25/2032 (a)		479			480
3.350% due 03/25/2032 (a)		349			347
3.400% due 08/25/2033 (a)		664			667
Sequoia Mortgage Trust
3.600% due 06/20/2032(a)		463			462
Structured Asset Mortgage Investments, Inc.
3.590% due 09/19/2032 (a)		818			814
Structured Asset Securities Corp.
3.794% due 03/25/2031(a)		13			13
3.964% due 08/25/2032 (a)		176			176
3.604% due 01/25/2033 (a)		86			87
Total Mortgage-Backed Securities (Cost $3,214)					3,211
ASSET-BACKED SECURITIES 0.4%
Amortizing Residential Collateral Trust
3.604% due 07/25/2032 (a)		19			19
Centex Home Equity
3.614% due 01/25/2032 (a)		84			84
3.574% due 04/25/2032 (a)		101			101
CIT Group Home Equity Loan Trust
3.584% due 06/25/2033 (a)		184			184
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		2,000			1,660
Credit-Based Asset Servicing & Securitization LLC
3.634% due 06/25/2032 (a)		141			142
Home Equity Asset Trust
3.614% due 11/25/2032 (a)		3			3
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		196			196
NPF XII, Inc.
2.532% due 10/01/2003 (e)		300			0
Saxon Asset Securities Trust
3.574% due 08/25/2032 (a)		38			38
Total Asset-Backed Securities (Cost $2,709)					2,427
	# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar September Futures (CME)
Strike @ 95.500 Exp. 09/19/2005		321			2
Strike @ 95.375 Exp. 09/19/2005		80			0
Strike @ 95.250 Exp. 09/19/2005		80			1
Government National Mortgage Association (OTC)
6.000% due 08/11/2005
Strike @ 99.000 Exp. 08/11/2005		63,000			2
Total Purchased Put Options (Cost $12)					5
		Shares
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		13,600			758
Total Preferred Stock (Cost $680)					758
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 14.4%
Commercial Paper 14.0%
Barclays U.S. Funding Corp.
3.290% due 09/06/2005	$	6,400			6,360
Danske Corp.
3.250% due 09/07/2005		1,200			1,192
Fortis Funding LLC
3.270% due 09/23/2005		15,600			15,475
Rabobank USA Financial Corp.
3.370% due 07/01/2005		15,600			15,600
Skandinaviska Enskilda Banken AB (SEB)
3.310% due 09/15/2005		4,500			4,468
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		15,600			15,600
UBS Finance Delaware LLC
3.390% due 07/01/2005		800			800
3.285% due 10/03/2005		14,800			14,667
3.375% due 10/17/2005		1,600			1,583
Westpac Trust Securities NZ Ltd. London
3.260% due 09/07/2005		3,800			3,776
					79,521
Repurchase Agreement 0.2%
State Street Bank
2.650% due 07/01/2005		1,150			1,150
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $1,177. Repurchase proceeds are $1,150.)
U.S. Treasury Bills 0.2%
2.932% due 09/01/2005-09/15/2005 (d)(f)(h)		1,475			1,466
Total Short-Term Instruments (Cost $82,153)					82,137
Total Investments (g) (Cost $930,699)		163.7	%	$	931,461
Written Options (j)		(0.0	%)		(126	)
(Premiums $723)
Other Assets and Liabilities (Net)		(63.7	%)		(362,172	)
Net Assets		100.0	%	$	569,163

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Interest only security.

(c) Principal only security.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) Security is in default.

(f) Securities with an aggregate market value of $994 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(g) As of June 30, 2005, portfolio securities with an aggregate market value of $2,135 were valued with reference to securities whose prices are more readily obtainable.

(h) Securities with an aggregate market value of $472 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized (Depreciation	)
Eurodollar September Long Futures	09/2005	264	$	(174	)

(i) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation	)
Lehman Brothers, Inc.	3-month USD-LIBOR with 6.940% interest rate cap	Receive	0.000	%	07/01/2011	$	8,000	$	(264	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		11,500		(75	)
								$	(339	)

(j) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	10/31/2005	$	25,000	$	420	$	126
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	7.000	%*	10/31/2005		25,000		303		0
							$	723	$	126

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(k) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	4.500	07/19/2020	$	200,000	$	199,125	$	198,000
Fannie Mae	6.000	07/14/2035		2,000		2,050		2,051
Fannie Mae	5.000	08/11/2035		45,000		44,916		44,803
					$	246,091	$	244,854

See accompanying notes

Schedule of Investments

High Yield Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 3.1%
Alderwoods Group, Inc.
5.320% due 08/07/2008 (a)	$	9		$	9
4.540% due 09/17/2008 (a)		223			226
5.080% due 09/17/2008 (a)		182			185
5.190% due 09/17/2008 (a)		103			105
5.296% due 09/17/2008 (a)		172			174
Ardent Health Services, Inc.
5.350% due 08/15/2011 (a)		4,466			4,472
BCP Crystal US Holdings Corp.
5.000% due 01/11/2011		4,000			4,061
Centennial Communications
5.342% due 01/20/2011 (a)		396			402
5.570% due 01/20/2011 (a)		277			282
5.630% due 01/20/2011 (a)		1,189			1,207
5.740% due 01/20/2011 (a)		3,963			4,022
5.630% due 02/09/2011 (a)		3,566			3,620
Charter Communications Holdings LLC
6.190% due 04/26/2010		3,000			2,965
6.440% due 04/26/2011 (a)		5,814			5,785
Covanta Energy Corp.
5.000% due 05/12/2013 (a)		1,500			1,498
8.800% due 05/12/2013 (a)		1,500			1,496
Delphi Corp.
9.740% due 06/13/2011 (a)		3,000			3,079
Dynegy Holdings, Inc.
7.090% due 05/10/2010 (a)		5,445			5,479
El Paso Corp.
4.600% due 12/31/2006 (a)		5,000			4,937
2.300% due 11/22/2009 (a)		14,250			14,357
6.125% due 11/22/2009 (a)		18,505			18,655
General Growth Properties
5.370% due 11/12/2007 (a)		10,639			10,709
5.340% due 11/12/2008 (a)		14,959			15,085
Goodyear Tire & Rubber Co.
5.890% due 04/30/2010 (a)		9,000			9,002
Graham Packaging Co. LP
5.688% due 09/15/2011 (a)		9,998			10,153
6.000% due 09/15/2011 (a)		70			71
5.938% due 10/07/2011 (a)		3,862			3,922
Headwaters, Inc.
5.400% due 04/30/2011 (a)		12,661			12,779
7.072% due 04/30/2011 (a)		293			295
8.650% due 04/30/2011 (a)		333			336
Invensys PLC
6.881% due 09/30/2009 (a)		2,452			2,495
7.874% due 12/30/2009 (a)		8,000			8,160
ISP Holdings, Inc.
3.512% due 06/04/2011 (a)		1,129			1,144
4.875% due 06/04/2011 (a)		1,178			1,194
5.125% due 06/04/2011 (a)		1,571			1,591
Jefferson Smurfit Corp.
2.100% due 11/01/2010 (a)		611			620
5.125% due 11/01/2010 (a)		1,487			1,509
5.375% due 11/01/2010 (a)		1,503			1,525
5.375% due 11/01/2011 (a)		1,002			1,017
5.563% due 11/01/2011 (a)		2,380			2,415
Nalco Co.
4.920% due 11/01/2010 (a)		946			962
5.450% due 11/01/2010 (a)		1,073			1,091
5.660% due 11/01/2010 (a)		1,391			1,415
PanAmSat Corp.
4.990% due 08/20/2009 (a)		2,896			2,929
Qwest Corp.
7.934% due 06/30/2007 (a)		9,960			10,273
6.950% due 06/05/2010 (a)		8,500			8,431
Reliant Resources, Inc.
5.675% due 12/22/2010 (a)		1,414			1,428
6.089% due 12/22/2010 (a)		17,538			17,717
Warner Chilcott Co., Inc.
5.000% due 01/18/2012 (a)		485			486
5.584% due 01/18/2012 (a)		8,722			8,754
5.960% due 01/18/2012 (a)		4,361			4,377
Total Bank Loan Obligations (Cost $217,478)					218,901
CORPORATE BONDS & NOTES 81.4%
Banking & Finance 12.5%
Abitibi-Consolidated Finance LP
7.875% due 08/01/2009		850			871
AES Red Oak LLC
8.540% due 11/30/2019		11,076			12,405
Affinia Group, Inc.
9.000% due 11/30/2014		4,800			4,056
Arvin Capital I
9.500% due 02/01/2027		1,500			1,545
BCP Crystal US Holdings Corp.
9.625% due 06/15/2014		32,579			36,651
Bluewater Finance Ltd.
10.250% due 02/15/2012		43,115			46,349
Bombardier Capital, Inc.
7.090% due 03/30/2007 (k)		21,000			21,341
Borden US Finance Corp.
7.891% due 07/15/2010 (a)		1,900			1,905
Bowater Canada Finance
7.950% due 11/15/2011		12,150			12,925
Consolidated Communications Holdings, Inc.
9.750% due 04/01/2012		50			53
Credit & Repackaged Securities Ltd.
10.120% due 10/30/2006		9,250			9,787
8.900% due 04/01/2007		5,000			5,317
Dow Jones CDX High Yield Index
8.000% due 06/29/2010		70,000			71,181
8.250% due 06/29/2010		124,626			125,249
Eircom Funding
8.250% due 08/15/2013		4,650			5,068
Ford Motor Credit Co.
5.800% due 01/12/2009		1,400			1,330
7.375% due 10/28/2009		2,880			2,817
5.700% due 01/15/2010		7,500			6,924
7.875% due 06/15/2010		4,000			3,957
7.375% due 02/01/2011		35,509			34,628
7.250% due 10/25/2011		3,500			3,372
Forest City Enterprises, Inc.
7.625% due 06/01/2015		10,525			11,314
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011		35,810			38,675
General Motors Acceptance Corp.
7.250% due 03/02/2011		15,574			14,620
6.000% due 04/01/2011		19,412			17,106
6.875% due 09/15/2011		12,700			11,738
6.875% due 08/28/2012		21,700			19,892
6.750% due 12/01/2014		4,050			3,629
Homer City Funding LLC
8.734% due 10/01/2026		7,058			8,293
JET Equipment Trust
9.410% due 06/15/2010 (b)		1,172			773
10.000% due 06/15/2012 (b)		8,680			5,729
7.630% due 08/15/2012 (b)		3,786			2,347
JSG Funding PLC
9.625% due 10/01/2012		36,746			36,930
K&F Acquisition, Inc.
7.750% due 11/15/2014		10,750			11,046
Kraton Polymers LLC
8.125% due 01/15/2014		23,475			22,712
Midland Funding II
11.750% due 07/23/2005		30			30
Qwest Capital Funding, Inc.
7.900% due 08/15/2010		25,360			25,360
7.250% due 02/15/2011		64,615			62,192
7.750% due 02/15/2031		5,730			4,971
Refco Finance Holdings LLC
9.000% due 08/01/2012		24,595			26,194
Riggs National Corp.
9.650% due 06/15/2009		2,605			3,061
Rotech Healthcare, Inc.
9.500% due 04/01/2012		46,437			49,920
Sets Trust
8.850% due 04/02/2007		5,000			5,257
Standard Aero Holdings, Inc.
8.250% due 09/01/2014		6,700			7,102
Stone Container Finance
7.375% due 07/15/2014		2,625			2,481
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		5,550			5,383
UGS Corp.
10.000% due 06/01/2012		7,625			8,502
Universal City Development Partners
11.750% due 04/01/2010		26,195			30,190
Universal City Florida Holding Co.
8.375% due 05/01/2010		875			917
Ventas Realty LP
8.750% due 05/01/2009		17,040			18,914
6.750% due 06/01/2010		825			860
6.625% due 10/15/2014		2,270			2,293
7.125% due 06/01/2015		4,900			5,120
					871,282
Industrials 53.5%
Abitibi-Consolidated, Inc.
6.950% due 12/15/2006		1,431			1,456
5.250% due 06/20/2008		2,850			2,750
8.550% due 08/01/2010		4,710			4,934
7.750% due 06/15/2011		9,065			9,156
6.000% due 06/20/2013		31,401			29,046
8.375% due 04/01/2015		4,560			4,674
8.850% due 08/01/2030		18,243			17,559
AES Ironwood LLC
8.857% due 11/30/2025		50,333			57,253
Ahold Finance USA, Inc.
8.250% due 07/15/2010		7,290			8,055
Alderwoods Group, Inc.
7.750% due 09/15/2012		5,450			5,811
Alliance One International, Inc.
11.000% due 05/15/2012		12,700			13,144
Allied Waste North America, Inc.
8.875% due 04/01/2008		9,836			10,377
8.500% due 12/01/2008		10,441			11,002
6.500% due 11/15/2010		26,280			26,017
6.375% due 04/15/2011		3,600			3,474
9.250% due 09/01/2012		7,683			8,336
7.875% due 04/15/2013		15,720			16,152
7.250% due 03/15/2015		19,625			19,085
American Media Operations, Inc.
10.250% due 05/01/2009		34,354			34,526
AmeriGas Partners LP
8.830% due 04/19/2010		12,103			12,789
7.250% due 05/20/2015		16,300			17,033
Arco Chemical Co.
10.250% due 11/01/2010		1,627			1,798
Argo-Tech Corp.
9.250% due 06/01/2011		2,050			2,234
Armor Holdings, Inc.
8.250% due 08/15/2013		115			125
ArvinMeritor, Inc.
8.750% due 03/01/2012		30,235			31,671
Aviall, Inc.
7.625% due 07/01/2011		13,595			14,411
Bombardier, Inc.
6.750% due 05/01/2012		1,900			1,814
6.300% due 05/01/2014		2,500			2,275
Bowater, Inc.
9.500% due 10/15/2012		3,800			4,237
6.500% due 06/15/2013		2,700			2,680
9.375% due 12/15/2021		1,000			1,100
Boyd Gaming Corp.
7.750% due 12/15/2012		14,622			15,700
Buhrmann US, Inc.
8.250% due 07/01/2014		5,000			5,025
7.875% due 03/01/2015		1,600			1,568
Cablevision Systems Corp.
7.890% due 04/01/2009 (a)		9,550			9,622
8.000% due 04/15/2012		13,560			13,357
CanWest Media, Inc.
8.000% due 09/15/2012		26,083			27,583
CCO Holdings LLC
8.750% due 11/15/2013		27,605			27,329
CDRV Investors, Inc.
0.000% due 01/01/2015		6,900			3,415
Cenveo Corp.
9.625% due 03/15/2012		16,800			18,228
Charter Communications Holdings LLC
9.625% due 11/15/2009		18,307			13,776
Charter Communications Operating LLC
8.000% due 04/30/2012		10,030			10,030
8.375% due 04/30/2014		7,110			7,110
Chesapeake Energy Corp.
7.500% due 09/15/2013		1,400			1,522
7.500% due 06/15/2014		19,570			21,331
7.000% due 08/15/2014		14,125			15,043
6.375% due 06/15/2015		125			124
6.625% due 01/15/2016		12,250			12,709
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		8,000			8,020
Cognis GmbH
9.500% due 05/15/2014		1,000			1,325
Commonwealth Brands, Inc.
9.750% due 04/15/2008		12,435			13,150
10.625% due 09/01/2008		14,940			15,799
Community Health Systems, Inc.
10.228% due 10/19/2006		4,000			4,233
10.000% due 03/13/2007		3,500			3,764
Continental Airlines, Inc.
6.920% due 04/02/2013 (k)		23,600			23,646
7.461% due 04/01/2015		2,871			2,721
7.373% due 12/15/2015		969			809
6.545% due 02/02/2019		6,998			7,010
7.566% due 03/15/2020		3,061			2,523
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		12,440			11,320
Crown European Holdings S.A.
9.500% due 03/01/2011		31,550			35,020
10.875% due 03/01/2013		9,570			11,293
CSC Holdings, Inc.
7.250% due 07/15/2008		1,750			1,763
8.125% due 07/15/2009		13,865			14,108
8.125% due 08/15/2009		9,640			9,809
7.625% due 04/01/2011		55,023			54,610
6.750% due 04/15/2012		13,400			12,663
7.875% due 02/15/2018		2,000			1,980
DaVita, Inc.
6.625% due 03/15/2013		13,040			13,529
7.250% due 03/15/2015		21,200			21,889
Delhaize America, Inc.
9.000% due 04/15/2031		23,275			29,175
Delphi Corp.
6.500% due 05/01/2009		19,330			16,141
6.500% due 08/15/2013		11,800			8,820
Delta Air Lines, Inc.
7.379% due 05/18/2010		8,575			8,213
7.570% due 11/18/2010		5,600			5,272
Dex Media West LLC
8.500% due 08/15/2010		26,245			28,738
9.875% due 08/15/2013		39,024			44,682
DirecTV Holdings LLC
8.375% due 03/15/2013		24,628			27,399
6.375% due 06/15/2015		7,550			7,550
Dobson Communications Corp.
8.875% due 10/01/2013		7,375			6,785
Donohue Forest Products
7.625% due 05/15/2007		4,000			4,060
Dresser, Inc.
9.375% due 04/15/2011		46,190			48,846
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		8,390			8,768
Dura Operating Corp.
8.625% due 04/15/2012		22,395			20,267
Dynegy Danskammer & Roseton LLC
7.270% due 11/08/2010		33,550			33,550
7.670% due 11/08/2016		34,790			33,420
Dynegy Holdings, Inc.
9.641% due 07/15/2008 (a)		2,500			2,659
9.875% due 07/15/2010		4,850			5,383
EchoStar DBS Corp.
5.750% due 10/01/2008		28,775			28,739
6.350% due 10/01/2008 (a)		8,730			8,970
El Paso CGP Co.
6.500% due 06/01/2008		9,775			9,751
7.625% due 09/01/2008		13,426			13,795
6.375% due 02/01/2009		5,250			5,197
7.750% due 06/15/2010		2,040			2,091
10.750% due 10/01/2010		21,200			23,638
9.625% due 05/15/2012		2,800			3,080
6.950% due 06/01/2028		5,375			4,730
El Paso Corp.
7.000% due 05/15/2011		8,800			8,822
7.875% due 06/15/2012		2,605			2,696
7.375% due 12/15/2012		30,055			30,280
8.050% due 10/15/2030		1,625			1,617
7.800% due 08/01/2031		27,520			26,901
El Paso Production Holding Co.
7.750% due 06/01/2013		16,245			17,423
Encore Acquisition Co.
6.250% due 04/15/2014		3,175			3,231
Equistar Chemicals LP
10.125% due 09/01/2008		16,315			17,743
8.750% due 02/15/2009		28,475			30,112
Exco Resources, Inc.
7.250% due 01/15/2011		3,980			4,000
Extendicare Health Services, Inc.
9.500% due 07/01/2010		5,240			5,685
Ferrellgas Partners LP
6.990% due 08/01/2005 (k)		7,000			7,016
7.080% due 08/01/2006 (k)		5,000			5,022
8.780% due 08/01/2007 (k)		14,000			14,476
7.120% due 08/01/2008 (k)		11,000			11,022
8.870% due 08/01/2009 (k)		7,300			7,765
7.240% due 08/01/2010 (k)		20,000			20,110
8.750% due 06/15/2012		5,843			5,872
Fisher Scientific International, Inc.
8.000% due 09/01/2013		21,635			24,826
Foundation PA Coal Co.
7.250% due 08/01/2014		2,750			2,901
Freescale Semiconductor, Inc.
5.891% due 07/15/2009 (a)		8,980			9,373
6.875% due 07/15/2011		835			889
Gaylord Entertainment Co.
8.000% due 11/15/2013		3,790			4,003
Gazprom International S.A.
9.625% due 03/01/2013		16,000			19,664
7.201% due 02/01/2020		8,100			8,737
Georgia-Pacific Corp.
9.375% due 02/01/2013		1,000			1,136
8.000% due 01/15/2014		38,190			44,086
7.250% due 06/01/2028		14,145			15,206
8.875% due 05/15/2031		13,320			16,550
Grupo Transportacion Ferroviaria Mexicana S.A.
9.375% due 05/01/2012		8,300			8,674
Hanover Compressor Co.
8.500% due 09/01/2008		48,495			50,677
8.625% due 12/15/2010		6,700			7,119
HCA, Inc.
7.875% due 02/01/2011		5,313			5,859
6.300% due 10/01/2012		16,100			16,567
6.250% due 02/15/2013		6,428			6,586
6.750% due 07/15/2013		49,308			52,130
6.375% due 01/15/2015		9,275			9,647
7.190% due 11/15/2015		900			976
7.690% due 06/15/2025		3,025			3,256
HealthSouth Corp.
8.375% due 10/01/2011 (b)		8,900			8,878
7.625% due 06/01/2012 (b)		64,395			62,785
Horizon Lines LLC
9.000% due 11/01/2012		4,550			4,789
Ingles Markets, Inc.
8.875% due 12/01/2011		9,135			9,329
Insight Midwest LP
9.750% due 10/01/2009		30,990			32,235
10.500% due 11/01/2010		19,503			20,771
Invensys PLC
9.875% due 03/15/2011		11,250			10,800
ISP Chemco, Inc.
10.250% due 07/01/2011		38,355			41,999
ITT Corp.
7.375% due 11/15/2015		7,250			8,102
JC Penney Co., Inc.
8.000% due 03/01/2010		7,470			8,254
9.000% due 08/01/2012		5,543			6,582
7.650% due 08/15/2016		12,635			14,372
7.950% due 04/01/2017		2,425			2,807
7.125% due 11/15/2023		5,525			6,022
8.125% due 04/01/2027		7,668			8,128
7.400% due 04/01/2037		8,375			9,087
Jefferson Smurfit Corp.
8.250% due 10/01/2012		5,165			5,217
7.500% due 06/01/2013		2,300			2,208
Johnsondiversey, Inc.
9.625% due 05/15/2012		3,839			3,916
JSG Holding PLC
11.500% due 10/01/2015		4,000			3,870
K2, Inc.
7.375% due 07/01/2014		650			687
Kappa Beheer BV
10.625% due 07/15/2009		2,485			2,572
Kerr-McGee Corp.
6.950% due 07/01/2024		21,475			22,297
Legrand Holding S.A.
10.500% due 02/15/2013		7,785			8,914
Legrand S.A.
8.500% due 02/15/2025		16,525			20,078
Mandalay Resort Group
9.375% due 02/15/2010		36,072			40,491
7.625% due 07/15/2013		8,485			8,994
MCI, Inc.
7.688% due 05/01/2009		87,638			91,472
8.735% due 05/01/2014		35,230			39,590
Mediacom Broadband LLC
11.000% due 07/15/2013		39,335			42,777
Meritor Automotive, Inc.
6.800% due 02/15/2009		4,075			4,055
MGM Mirage, Inc.
6.000% due 10/01/2009		1,000			1,010
8.500% due 09/15/2010		3,730			4,159
8.375% due 02/01/2011		26,130			28,612
6.625% due 07/15/2015		19,380			19,695
Nalco Co.
7.750% due 11/15/2011		22,225			23,781
8.875% due 11/15/2013		10,550			11,368
National Nephrology Associates, Inc.
9.000% due 11/01/2011		1,400			1,579
Newpark Resources, Inc.
8.625% due 12/15/2007		15,430			15,353
Norampac, Inc.
6.750% due 06/01/2013		8,895			8,962
Northwest Airlines, Inc.
6.841% due 10/01/2012		5,100			4,942
7.575% due 03/01/2019		13			13
6.810% due 02/01/2020		14,233			12,338
Novelis, Inc.
7.250% due 02/15/2015		19,500			19,671
Owens-Brockway Glass Container, Inc.
8.875% due 02/15/2009		6,560			7,003
8.750% due 11/15/2012		32,185			35,645
8.250% due 05/15/2013		19,160			20,908
6.750% due 12/01/2014		400			407
PacifiCare Health Systems, Inc.
10.750% due 06/01/2009		11,193			12,368
Peabody Energy Corp.
6.875% due 03/15/2013		27,415			29,197
Plains Exploration & Production Co.
7.125% due 06/15/2014		13,225			14,217
PQ Corp.
7.500% due 02/15/2013		5,100			5,036
Primedia, Inc.
8.638% due 05/15/2010 (a)		3,380			3,549
Psychiatric Solutions, Inc.
7.750% due 07/15/2015		4,475			4,475
Quebecor Media, Inc.
11.125% due 07/15/2011		34,279			38,264
Qwest Corp.
7.268% due 02/15/2009 (a)		12,000			11,850
8.000% due 02/15/2011		45,765			44,506
8.875% due 03/15/2012		21,000			22,943
7.500% due 02/15/2014		32,095			30,530
7.200% due 11/10/2026		5,576			5,046
7.250% due 10/15/2035		2,700			2,410
Rayovac Corp.
8.500% due 10/01/2013		10,050			10,553
7.375% due 02/01/2015		25,000			24,313
Reddy Ice Group, Inc.
8.875% due 08/01/2011		4,800			5,352
RJ Reynolds Tobacco Holdings, Inc.
7.250% due 06/01/2012		6,050			6,186
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		5,425			5,411
Rogers Cable, Inc.
6.750% due 03/15/2015		13,980			14,330
Roundy’s, Inc.
8.875% due 06/15/2012		40,878			42,309
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		3,000			3,315
7.500% due 10/15/2027		14,850			16,335
Safety Kleen Services
9.250% due 06/01/2008 (b)		22,459			0
Seneca Gaming Corp.
7.250% due 05/01/2012		21,730			22,572
SESI LLC
8.875% due 05/15/2011		17,979			19,282
Sinclair Broadcast Group, Inc.
8.750% due 12/15/2011		15,915			16,790
8.000% due 03/15/2012		3,790			3,904
Six Flags, Inc.
9.750% due 04/15/2013		6,947			6,591
Smurfit-Stone Container Enterprises, Inc.
9.750% due 02/01/2011		19,444			20,659
8.375% due 07/01/2012		26,590			26,989
Sonat, Inc.
6.750% due 10/01/2007		4,915			4,890
7.625% due 07/15/2011		24,087			24,388
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		5,987			6,780
Station Casinos, Inc.
6.000% due 04/01/2012		19,885			20,283
6.500% due 02/01/2014		8,165			8,369
Suburban Propane Partners LP
6.875% due 12/15/2013		3,030			2,894
Superior Essex Communications
9.000% due 04/15/2012		6,395			6,363
Telenet Group Holding NV
11.500% due 06/15/2014		1,500			1,174
Tenet Healthcare Corp.
6.375% due 12/01/2011		620			594
6.500% due 06/01/2012		19,705			18,818
7.375% due 02/01/2013		28,430			28,217
9.875% due 07/01/2014		14,740			15,882
Tenneco Automotive, Inc.
10.250% due 07/15/2013		31,800			36,093
8.625% due 11/15/2014		14,100			14,241
Tesoro Petroleum Corp.
8.670% due 07/17/2012 (k)		10,000			10,269
TransMontaigne, Inc.
9.125% due 06/01/2010		1,200			1,254
Triad Hospitals, Inc.
7.000% due 05/15/2012		16,650			17,441
7.000% due 11/15/2013		21,413			22,109
Trinity Industries, Inc.
6.500% due 03/15/2014		12,515			12,515
TRW Automotive, Inc.
9.375% due 02/15/2013		29,828			33,184
Tyco International Group S.A.
6.379% due 07/26/2006		12,500			12,968
United Airlines, Inc.
6.201% due 09/01/2008		2,226			2,120
7.730% due 07/01/2010		26,671			24,869
7.186% due 04/01/2011 (b)		73			70
6.602% due 09/01/2013		6,753			6,553
7.783% due 01/01/2014		212			196
3.140% due 03/02/2024 (a)		4,095			3,962
US Airways Group, Inc.
9.330% due 01/01/2006 (b)		3,121			1,405
9.625% due 09/01/2024 (b)		18,057			7,093
Valero Energy Corp.
7.800% due 06/14/2010		3,550			3,612
Vintage Petroleum, Inc.
7.875% due 05/15/2011		9,450			10,017
8.250% due 05/01/2012		21,850			23,817
VWR International, Inc.
6.875% due 04/15/2012		10,800			10,692
8.000% due 04/15/2014		18,675			17,881
Warner Chilcott Corp.
8.750% due 02/01/2015		17,125			16,740
Williams Cos., Inc.
7.625% due 07/15/2019		35,945			40,618
7.875% due 09/01/2021		55,329			63,213
7.750% due 06/15/2031		22,110			24,487
8.750% due 03/15/2032		5,050			6,092
Wynn Las Vegas LLC
6.625% due 12/01/2014		34,425			33,651
Xerox Capital Trust I
8.000% due 02/01/2027		10,280			10,691
Xerox Corp.
6.875% due 08/15/2011		24,175			25,746
7.625% due 06/15/2013		7,465			8,072
Young Broadcasting, Inc.
10.000% due 03/01/2011		22,265			21,263
					3,716,196
Utilities 15.4%
AES Corp.
8.875% due 02/15/2011		5,780			6,474
8.750% due 05/15/2013		64,165			72,025
American Cellular Corp.
10.000% due 08/01/2011		27,455			28,004
American Tower Corp.
7.125% due 10/15/2012		21,300			22,631
AT&T Corp.
9.750% due 11/15/2031		5,445			7,113
Cincinnati Bell, Inc.
7.250% due 07/15/2013		30,620			32,304
8.375% due 01/15/2014		26,760			27,563
7.000% due 02/15/2015		9,650			9,481
Citizens Communications Co.
6.250% due 01/15/2013		10,590			10,299
CMS Energy Corp.
8.900% due 07/15/2008		1,485			1,622
7.500% due 01/15/2009		42,405			44,843
7.750% due 08/01/2010		7,076			7,642
8.500% due 04/15/2011		1,890			2,117
Consumers Energy Co.
6.300% due 02/01/2012		7,700			7,777
Dobson Communications Corp.
7.960% due 11/01/2011 (a)		1,750			1,829
El Paso Corp.
7.625% due 08/16/2007		7,500			7,628
El Paso Natural Gas Co.
8.625% due 01/15/2022		7,000			8,200
Gaz Capital S.A.
8.625% due 04/28/2034		2,850			3,577
Hawaiian Telcom Communications, Inc.
8.914% due 05/01/2013		2,500			2,588
9.750% due 05/01/2013 (a)		10,210			10,874
Intelsat Bermuda Ltd.
7.805% due 01/15/2012 (a)		10,150			10,378
8.250% due 01/15/2013		9,815			10,183
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		13,680			14,809
8.625% due 11/14/2011		9,043			10,219
Midwest Generation LLC
8.300% due 07/02/2009		800			848
8.560% due 01/02/2016		95,755			106,288
8.750% due 05/01/2034		27,450			30,881
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		7,600			7,733
MSW Energy Holdings LLC
7.375% due 09/01/2010		11,475			11,819
8.500% due 09/01/2010		600			638
Nevada Power Co.
5.875% due 01/15/2015		2,530			2,555
New Skies Satellites NV
8.539% due 11/01/2011		4,000			4,100
9.125% due 11/01/2012		900			898
Nextel Communications, Inc.
6.875% due 10/31/2013		58,100			62,385
7.375% due 08/01/2015		33,775			36,646
Northwestern Bell Telephone
6.250% due 01/01/2007		8,425			8,488
NorthWestern Corp.
5.875% due 11/01/2014		500			515
NRG Energy, Inc.
8.000% due 12/15/2013		26,300			27,878
PSEG Energy Holdings LLC
7.750% due 04/16/2007		8,470			8,788
8.625% due 02/15/2008		7,325			7,819
10.000% due 10/01/2009		13,800			15,560
8.500% due 06/15/2011		46,210			50,600
Qwest Communications International, Inc.
7.500% due 02/15/2014		5,000			4,756
Qwest Services Corp.
13.500% due 12/15/2010		6,500			7,540
7.500% due 02/15/2014		47,531			45,214
Reliant Energy, Inc.
9.250% due 07/15/2010		30,485			33,381
9.500% due 07/15/2013		14,450			16,112
6.750% due 12/15/2014		27,900			27,412
Rocky River Realty
8.810% due 04/14/2007 (k)		1,523			1,582
Rogers Wireless Communications, Inc.
7.250% due 12/15/2012		3,600			3,906
8.000% due 12/15/2012		21,060			22,797
6.375% due 03/01/2014		15,475			15,823
7.500% due 03/15/2015		10,570			11,548
Rural Cellular Corp.
7.910% due 03/15/2010 (a)		3,000			3,105
8.250% due 03/15/2012		12,605			13,235
Sierra Pacific Resources
7.803% due 06/15/2012		23,500			25,174
South Point Energy
8.400% due 05/30/2012		42,963			40,815
TECO Energy, Inc.
7.500% due 06/15/2010		745			816
Tenaska Alabama Partners LP
7.000% due 06/30/2021		6,425			6,547
Time Warner Telecom, Inc.
9.750% due 07/15/2008		11,267			11,380
10.125% due 02/01/2011		10,750			10,804
9.250% due 02/15/2014		3,450			3,347
Triton PCS, Inc.
8.500% due 06/01/2013		14,559			13,503
Wilmington Trust Co. - Tucson Electric
10.210% due 01/01/2009 (k)		305			317
10.732% due 01/01/2013 (k)		8,006			8,772
					1,072,505
Total Corporate Bonds & Notes (Cost $5,458,519)					5,659,983
MUNICIPAL BONDS & NOTES 0.0%
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.375% due 06/01/2032		2,000			2,151
Total Municipal Bonds & Notes (Cost $1,919)					2,151
U.S. GOVERNMENT AGENCIES 0.0%
Fannie Mae
5.500% due 09/01/2017		42			43
Total U.S. Government Agencies (Cost $44)					43
U.S. TREASURY OBLIGATIONS 1.2%
U.S. Treasury Bond
5.375% due 02/15/2031		73,700			86,989
Total U.S. Treasury Obligations (Cost $86,356)					86,989
MORTGAGE-BACKED SECURITIES 0.1%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		4,381			4,256
Total Mortgage-Backed Securities (Cost $4,143)					4,256
SOVEREIGN ISSUES 6.2%
Republic of Brazil
11.500% due 03/12/2008		12,500			14,419
4.313% due 04/15/2009 (a)		1,882			1,868
10.000% due 08/07/2011		7,635			8,769
11.000% due 01/11/2012		17,200			20,511
4.313% due 04/15/2012 (a)		30,121			29,142
10.250% due 06/17/2013		800			942
8.000% due 04/15/2014		106,605			109,883
10.500% due 07/14/2014		9,700			11,495
12.250% due 03/06/2030		20,200			27,169
8.250% due 01/20/2034		6,000			5,883
11.000% due 08/17/2040		5,000			6,021
Republic of Guatemala
9.250% due 08/01/2013		6,180			7,320
Republic of Panama
9.625% due 02/08/2011		2,550			3,060
9.375% due 07/23/2012		6,610			8,031
7.250% due 03/15/2015		3,500			3,822
10.750% due 05/15/2020		9,125			12,410
8.875% due 09/30/2027		11,425			13,681
9.375% due 04/01/2029		9,575			11,897
Republic of Peru
9.125% due 02/21/2012		48,065			56,476
9.875% due 02/06/2015		11,100			13,792
5.000% due 03/07/2017 (a)		5,631			5,410
Russian Federation
5.000% due 03/31/2030 (a)		52,708			58,973
Total Sovereign Issues (Cost $386,659)					430,974
FOREIGN CURRENCY-DENOMINATED ISSUES (i) 2.4%
BCP Crystal US Holdings Corp.
10.375% due 06/15/2014	EC	2,405			3,362
Cirsa Finance Luxembourg S.A.
8.750% due 05/15/2014		6,350			8,222
Cognis GmbH
11.199% due 01/15/2015 (a)(e)		750			667
Eircom Funding
8.250% due 08/15/2013		3,090			4,104
El Paso Corp.
7.125% due 05/06/2009		11,850			14,914
Fresenius Medical Care
7.375% due 06/15/2011		3,000			3,939
Johnsondiversey, Inc.
9.625% due 05/15/2012		3,870			4,613
JSG Funding PLC
10.125% due 10/01/2012		26,675			33,733
JSG Holding PLC
11.500% due 10/01/2015		5,097			4,935
Kappa Beheer BV
10.625% due 07/15/2009		1,095			1,371
Lighthouse International Co. S.A.
8.000% due 04/30/2014		44,175			55,396
Telenet Communications NV
9.000% due 12/15/2013		14,000			19,272
TRW Automotive, Inc.
10.125% due 02/15/2013		2,840			3,944
United Biscuit Finance Ltd.
10.750% due 04/15/2011	BP	3,000			5,429
Total Foreign Currency-Denominated Issues (Cost $149,957)					163,901
		Shares
COMMON STOCKS 0.1%
Communications 0.1%
Dobson Communications Corp. (d)		1,381,277			5,884
Technology 0.0%
Reliant Resources, Inc. - Warrants Exp. 08/25/2008		65,885			521
Total Common Stocks (Cost $9,103)					6,405
CONVERTIBLE PREFERRED STOCK 0.2%
Celanese Corp.
4.250% due 12/31/2049		72,500			1,767
Dobson Communications Corp.
6.000% due 08/19/2016		21,975			2,622
General Motors Corp.
4.500% due 03/06/2032		241,000			5,861
5.250% due 03/06/2032		88,600			1,644
PMI Group, Inc.
5.875% due 11/15/2006		20,000			495
Total Convertible Preferred Stock (Cost $13,232)					12,389
PREFERRED SECURITY 0.9%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		25,808			27,034
Riggs Capital Trust
8.625% due 12/31/2026 (c)		12,645,000			14,605
Riggs Capital Trust II
8.875% due 03/15/2027		15,830,000			18,284
Total Preferred Security (Cost $53,915)					59,923
		Principal Amount (000s	)
CONVERTIBLE BONDS & NOTES 0.8%
Industrials 0.7%
Dimon, Inc.
6.250% due 03/31/2007	$	39,277			39,775
Pride International, Inc.
3.250% due 05/01/2033		5,000			6,006
Sinclair Broadcast Group, Inc.
4.875% due 07/15/2018 (a)		1,000			912
					46,693
Utilities 0.1%
AES Corp.
4.500% due 08/15/2005		7,500			7,538
Total Convertible Bonds & Notes (Cost $50,411)					54,231
SHORT-TERM INSTRUMENTS (l) 3.4%
Commercial Paper 0.0%
UBS Finance Delaware LLC
3.365% due 10/14/2005		2,900			2,871
Repurchase Agreements 0.5%
Credit Suisse First Boston
2.700% due 07/01/2005		33,000			33,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.250% due 11/15/2013 valued at $33,831. Repurchase proceeds are $33,002.)
State Street Bank
2.650% due 07/01/2005		3,346			3,346
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $3,415. Repurchase proceeds are $3,346.)
					36,346
Netherlands Treasury Bills 2.7%
2.020% due 07/29/2005-08/31/2005 (c)	EC	153,800			185,566
U.S. Treasury Bills 0.2%
2.935% due 09/01/2005-09/15/2005 (c)(f)(h)	$	15,285			15,182
Total Short-Term Instruments (Cost $248,221)					239,965
Total Investments (g) (Cost $6,679,957)		99.8	%	$	6,940,111
Written Options (j) (Premiums $3,585)		(0.0	%)		(2,205	)
Other Assets and Liabilities (Net)		0.2	%		14,135
Net Assets		100.0	%	$	6,952,041

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Non-income producing security.

(e) Payment in-kind bond security.

(f) Securities with an aggregate market value of $1,740 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(g) As of June 30, 2005, portfolio securities with an aggregate market value of $225,574 were valued with reference to securities whose prices are more readily obtainable.

(h) Securities with an aggregate market value of $11,715 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	7,377	$	875
Eurodollar December Long Futures	12/2005	21		(3	)
U.S. Treasury 10-Year Note Long Futures	09/2005	66		(27	)
			$	845

(i) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012	$	12,500	$	(165	)
								$	(165	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	MCI, Inc. 6.688% due 05/01/2009	Sell	1.450	%	09/20/2005	$	6,000	$	19
Bank of America	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.000	%	12/20/2005		16,000		88
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		10,000		467
Bear Stearns & Co., Inc.	AT&T Corp. 9.050% due 11/15/2011	Buy	0.650	%	09/20/2005		4,900		(7	)
Bear Stearns & Co., Inc.	Electronic Data Systems Corp. 6.500% due 08/01/2013	Buy	0.650	%	09/20/2005		4,900		(3	)
Bear Stearns & Co., Inc.	MCI, Inc. 6.688% due 05/01/2009	Sell	1.600	%	09/20/2005		10,000		36
Bear Stearns & Co., Inc.	MCI, Inc. 6.688% due 05/01/2009	Sell	1.600	%	09/20/2005		10,000		35
Bear Stearns & Co., Inc.	TECO Energy, Inc. 7.000% due 05/01/2012	Sell	0.700	%	09/20/2005		10,000		8
Bear Stearns & Co., Inc.	Tenet Healthcare Corp. 9.875% due 07/01/2014	Sell	1.450	%	12/20/2005		2,000		8
Bear Stearns & Co., Inc.	Cablevision Corp. 6.750% due 04/15/2012	Sell	0.800	%	03/20/2006		3,000		(9	)
Bear Stearns & Co., Inc.	AT&T Corp. 9.050% due 11/15/2011	Sell	1.300	%	09/20/2006		4,900		71
Bear Stearns & Co., Inc.	Electronic Data Systems Corp. 6.500% due 08/01/2013	Sell	1.050	%	09/20/2006		4,900		36
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		4,000		164
Bear Stearns & Co., Inc.	CSC Holdings, Inc. 6.750% due 04/15/2012	Sell	2.150	%	12/20/2007		2,000		(3	)
Bear Stearns & Co., Inc.	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	1.250	%	12/20/2007		3,000		13
Bear Stearns & Co., Inc.	AT&T Corp. 9.050% due 11/15/2011	Sell	2.340	%	12/20/2009		2,000		161
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY4 Index	Sell	3.600	%	06/20/2010		9,900		290
Citibank N.A.	JC Penney Co., Inc. 8.000% due 03/01/2010	Sell	0.650	%	12/20/2007		3,000		3
Credit Suisse First Boston	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	1.350	%	12/20/2005		2,000		12
Credit Suisse First Boston	MCI, Inc. 7.735% due 05/01/2014	Sell	1.150	%	12/20/2005		2,000		15
Credit Suisse First Boston	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.600	%	03/20/2006		7,500		133
Credit Suisse First Boston	Bombardier, Inc. 6.750% due 05/01/2012	Sell	1.400	%	06/20/2006		5,000		3
Credit Suisse First Boston	Reliant Energy, Inc. 9.250% due 07/15/2010	Sell	3.000	%	12/20/2007		2,000		55
Credit Suisse First Boston	Dow Jones CDX N.A. HY4 Index	Sell	3.400	%	06/20/2010		10,000		329
Goldman Sachs & Co.	MCI, Inc. 6.688% due 05/01/2009	Sell	1.750	%	09/20/2005		1,000		4
Goldman Sachs & Co.	Starwood Hotels & Resorts Worldwide, Inc. 7.875% 05/01/2012	Sell	0.800	%	09/20/2005		10,000		14
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.950	%	06/20/2007		2,000		29
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.250	%	06/28/2013		20,000		2,518
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.070	%	03/20/2006		10,000		(82	)
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	1.200	%	03/20/2006		10,000		(73	)
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	1.210	%	03/20/2006		10,000		(72	)
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		2,000		97
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.500	%	06/20/2006		3,000		62
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		3,000		55
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.900	%	06/20/2006		10,000		20
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	2.800	%	06/20/2006		10,000		67
J.P. Morgan Chase & Co.	Bombardier, Inc. 6.750% due 05/01/2012	Sell	1.600	%	09/20/2006		3,500		5
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.100	%	03/20/2006		7,000		22
Lehman Brothers, Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.350	%	12/20/2009		2,000		(56	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY4 Index	Sell	3.600	%	06/20/2010		35,640		637
Merrill Lynch & Co., Inc.	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.800	%	09/20/2005		8,000		41
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.000	%	06/20/2006		4,600		102
Merrill Lynch & Co., Inc.	PSEG Energy Holdings, Inc. 7.750% due 04/16/2007	Sell	2.950	%	12/04/2006		6,500		118
Merrill Lynch & Co., Inc.	PSEG Energy Holdings, Inc. 8.625% due 02/15/2008	Sell	3.000	%	12/20/2006		5,000		97
Merrill Lynch & Co., Inc.	CenterPoint Energy Resources Corp. 7.750% due 02/15/2011	Sell	1.200	%	06/20/2009		5,000		119
Merrill Lynch & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.630	%	09/20/2009		10,000		297
Merrill Lynch & Co., Inc.	Lyondell Chemical Co. 10.500% due 06/01/2013	Sell	2.950	%	12/20/2009		5,000		(24	)
Morgan Stanley Dean Witter & Co.	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.000	%	12/20/2005		2,000		11
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Buy	1.420	%	12/20/2005		15,000		0
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Buy	1.450	%	12/20/2005		6,000		(1	)
Morgan Stanley Dean Witter & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	1.700	%	12/20/2005		15,000		21
Morgan Stanley Dean Witter & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	1.700	%	12/20/2005		6,000		9
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.300	%	06/20/2006		3,000		56
Morgan Stanley Dean Witter & Co.	MCI, Inc. 7.735% due 05/01/2014	Sell	3.300	%	12/20/2007		5,000		348
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.270	%	06/28/2013		17,000		2,163
Wachovia Bank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.300	%	12/20/2005		15,000		81
								$	8,609

(j) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	1,542	$	188	$	48
Call - CBOT U.S. Treasury Note September Futures		115.000	07/22/2005	1,892		408		177
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	3,306		844		465
Put - CBOT U.S. Treasury Bond September Futures		114.000	08/26/2005	1,690		681		396
Put - CBOT U.S. Treasury Note December Futures		110.000	11/22/2005	2,473		1,464		1,314
					$	3,585	$	2,400

(k) Restricted security as of June 30, 2005:

Issuer Description	Coupon (%)	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
Bombardier Capital, Inc.	7.090	03/30/2007	08/11/2003	$	21,108	$	21,341	0.30	%
Continental Airlines, Inc.	6.920	04/02/2013	07/01/2003		21,334		23,646	0.34
Ferrellgas Partners LP	8.780	08/01/2007	06/30/2003		14,818		14,476	0.20
Ferrellgas Partners LP	8.870	08/02/2007	06/30/2003		7,972		7,765	0.11
Ferrellgas Partners LP	6.990	08/01/2005	03/16/2004		6,994		7,016	0.10
Ferrellgas Partners LP	7.120	08/01/2008	03/16/2004		11,102		11,022	0.16
Ferrellgas Partners LP	7.240	08/01/2010	10/17/2001		20,014		20,110	0.29
Ferrellgas Partners LP	7.080	08/01/2006	01/28/2003		4,970		5,022	0.07
RockyRiver Realty	8.810	04/14/2007	11/22/2000		1,536		1,582	0.02
Tesoro Petroleum	7.470	07/17/2012	04/10/2003		9,953		10,269	0.15
Wilmington Trust Co.-Tucson Electric	10.730	01/01/2013	01/07/1993		7,637		8,500	0.12
Wilmington Trust Co.-Tucson Electric	10.210	01/01/2009	07/28/1995		305		317	0.00
				$	127,743	$	131,066	1.86	%

(l) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	BP	3,081	07/2005	$	83	$	0		$	83
Buy	EC	11,661	07/2005		13		(56	)		(43	)
Sell		308,980	07/2005		516		0			516
Buy		6,430	08/2005		0		(20	)		(20	)
Buy	JY	8,669,090	07/2005		0		(3,247	)		(3,247	)
				$	612	$	(3,323	)	$	(2,711	)

See accompanying notes

Schedule of Investments

International StocksPLUS TR Strategy Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 5.2%
Banking & Finance 2.7%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	39	$	45
Ford Motor Credit Co.
4.000% due 03/21/2007 (a)		1,100		1,077
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		1,000		1,001
Goldman Sachs Group, Inc.
3.491% due 07/23/2009 (a)		900		906
				3,029
Industrials 1.9%
Cox Communications, Inc.
3.950% due 12/14/2007 (a)		500		503
DaimlerChrysler NA Holding Corp.
3.859% due 09/10/2007 (a)		900		901
Harrah’s Operating Co., Inc.
7.875% due 12/15/2005		400		407
Smurfit Capital Funding PLC
6.750% due 11/20/2005		400		402
				2,213
Utilities 0.6%
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		13		13
SBC Communications, Inc.
4.125% due 09/15/2009		500		496
TXU Energy Co. LLC
3.920% due 01/17/2006 (a)		225		225
				734
Total Corporate Bonds & Notes (Cost $5,995)				5,976
MUNICIPAL BONDS & NOTES 3.6%
Akron, Ohio Community Learning Centers Income Tax Revenue Bonds, (FGIC Insured), Series 2004-A
5.000% due 12/01/2033		70		74
Austin, Texas State University Systems Financing Revenue Bonds, Series 2004
5.000% due 03/15/2030		1,020		1,082
5.000% due 03/15/2034		1,020		1,079
California State Economic Recovery General Obligation Bonds, (MBIA Insured), Series 2005
7.630% due 07/01/2012 (a)		150		183
Dallas, Texas Independant School District General Obligation Bonds, (PSF-GTD Insured), Series 2004
5.000% due 02/15/2026		100		107
New York City Municipal Water Finance Authority Revenue Bonds, Series 2005
6.810% due 06/15/2034 (a)		510		565
State of Texas Highway Improvement General Obligation Bonds, Series 2005
6.896% due 04/01/2035		150		159
Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.625% due 06/01/2037		900		927
Total Municipal Bonds & Notes (Cost $4,023)				4,176
U.S. GOVERNMENT AGENCIES 75.2%
Fannie Mae
3.110% due 05/25/2034 (a)		301		300
3.210% due 03/25/2034 (a)		142		142
3.340% due 08/25/2030 (a)		439		438
3.500% due 05/25/2009 - 04/25/2017 (c)		829		827
3.704% due 10/01/2044		800		808
4.000% due 08/25/2009		1,663		1,664
4.125% due 11/25/2023 (a)		350		361
4.456% due 09/01/2031 (a)		8		8
4.594% due 04/25/2024 (a)		377		390
5.000% due 04/25/2014 - 08/16/2020 (c)		11,319		11,428
5.500% due 11/01/2032 - 07/14/2035 (c)		57,491		58,297
5.567% due 07/01/2032 (a)		284		285
Freddie Mac
2.750% due 02/15/2012		1,672		1,662
3.420% due 10/15/2020 (a)		1,703		1,705
3.500% due 03/15/2010		1,596		1,595
3.620% due 05/15/2029 (a)		122		123
5.000% due 08/11/2035		500		499
5.500% due 08/15/2030 - 05/01/2035 (c)		5,178		5,252
Government National Mortgage Association
3.636% due 03/16/2032 (a)		80		80
4.125% due 11/20/2024 (a)		202		206
Total U.S. Government Agencies (Cost $85,929)				86,070
U.S. TREASURY OBLIGATIONS 36.4%
Treasury Inflation Protected Securities (b)
3.625% due 01/15/2008		843		892
1.875% due 07/15/2013		3,811		3,894
U.S. Treasury Bonds
8.750% due 05/15/2017		9,000		12,925
8.875% due 08/15/2017		1,700		2,471
8.125% due 05/15/2021		5,400		7,820
6.125% due 11/15/2027		200		253
U.S. Treasury Notes
3.000% due 12/31/2006		2,300		2,280
4.250% due 11/15/2013		9,000		9,222
4.250% due 08/15/2014		1,900		1,946
Total U.S. Treasury Obligations (Cost $41,647)				41,703
MORTGAGE-BACKED SECURITIES 10.3%
Banc of America Large Loan
3.420% due 11/15/2015 (a)		636		636
Bank of America Mortgage Securities
3.540% due 01/25/2034 (a)		395		396
Bear Stearns Alt-A Trust
5.447% due 05/25/2035 (a)		969		988
Bear Stearns Commercial Mortgage Securities, Inc.
3.436% due 05/14/2016 (a)		697		698
Countrywide Home Loan Mortgage Pass-Through Trust
3.370% due 08/25/2034 (a)		375		375
3.410% due 03/25/2035 (a)		930		931
3.380% due 04/25/2035 (a)		1,032		1,032
Countrywide Home Loans, Inc.
3.120% due 04/25/2034 (a)		47		47
First Horizon Alternative Mortgage Securities
4.549% due 03/25/2035 (a)		943		944
First Republic Mortgage Loan Trust
3.570% due 11/15/2031 (a)		367		369
GSRPM Mortgage Loan Trust
3.790% due 01/25/2032 (a)		67		67
Residential Accredit Loans, Inc.
3.490% due 03/25/2033 (a)		344		344
Residential Asset Securitization Trust
3.490% due 05/25/2033 (a)		568		569
Washington Mutual Mortgage Securities Corp.
3.360% due 12/25/2027 (a)		1,303		1,303
3.372% due 01/25/2045 (a)		956		957
3.382% due 01/25/2045 (a)		969		969
Wells Fargo Mortgage-Backed Securities Trust
3.541% due 09/25/2034 (a)		199		198
3.989% due 01/25/2035 (a)		1,020		1,011
Total Mortgage-Backed Securities (Cost $11,822)				11,834
ASSET-BACKED SECURITIES 10.9%
Ameriquest Mortgage Securities, Inc.
3.380% due 06/25/2031 (a)		25		25
3.500% due 02/25/2033 (a)		32		32
3.410% due 06/25/2034 (a)		327		329
Amortizing Residential Collateral Trust
3.380% due 07/25/2032 (a)		1		1
Asset-Backed Funding Certificates
3.220% due 07/25/2034 (a)		199		199
Bank One Issuance Trust
3.270% due 10/15/2008 (a)		1,000		1,001
Citifinancial Mortgage Securities, Inc.
3.400% due 05/25/2033 (a)		85		86
Countrywide Asset-Backed Certificates
3.260% due 12/25/2018 (a)		117		118
3.280% due 09/25/2021 (a)		525		525
3.280% due 10/25/2021 (a)		270		270
2.990% due 09/25/2022 (a)		241		241
3.200% due 08/25/2023 (a)		33		33
3.240% due 10/25/2023 (a)		662		663
3.010% due 01/25/2035 (a)		119		119
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.220% due 10/25/2034 (a)		440		440
3.260% due 11/25/2034 (a)		599		600
GSAMP Trust
3.380% due 03/25/2034 (a)		437		437
3.270% due 10/01/2034 (a)		416		417
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 10/20/2032 (a)		168		168
Home Equity Mortgage Trust
3.240% due 12/25/2034 (a)		209		210
Long Beach Mortgage Loan Trust
3.240% due 02/25/2024 (a)		32		32
3.410% due 06/25/2033 (a)		134		134
Merrill Lynch Mortgage Investors, Inc.
3.430% due 02/25/2034 (a)		35		35
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.220% due 04/25/2034 (a)		87		87
Nelnet Student Loan Trust
3.151% due 04/25/2011 (a)		268		268
Park Place Securities, Inc.
3.250% due 02/25/2035 (a)		588		588
Renaissance Home Equity Loan Trust
3.290% due 07/25/2034 (a)		226		226
Residential Asset Mortgage Products, Inc.
3.240% due 06/25/2024 (a)		24		24
3.230% due 04/25/2026 (a)		429		429
Residential Asset Securities Corp.
3.220% due 04/25/2013 (a)		199		199
3.210% due 06/25/2025 (a)		51		51
3.320% due 09/25/2031 (a)		21		21
Saxon Asset Securities Trust
3.490% due 12/25/2032 (a)		52		52
Sears Credit Account Master Trust
3.350% due 08/18/2009 (a)		1,000		1,001
3.600% due 11/17/2009 (a)		1,000		1,002
SLM Student Loan Trust
3.141% due 07/27/2009 (a)		1,226		1,227
Structured Asset Securities Corp.
3.590% due 05/25/2032 (a)		101		101
Terwin Mortgage Trust
3.220% due 09/25/2034 (a)		17		17
Truman Capital Mortgage Loan Trust
3.430% due 01/25/2034 (a)		50		50
Wells Fargo Home Equity Trust
3.250% due 09/25/2034 (a)		393		393
3.260% due 09/25/2034 (a)		591		591
Total Asset-Backed Securities (Cost $12,435)				12,442
SOVEREIGN ISSUES 4.1%
Hong Kong Government International Bond
5.125% due 08/01/2014		500		524
Republic of Brazil
8.840% due 06/29/2009 (a)		440		511
14.500% due 10/15/2009		80		104
8.000% due 04/15/2014		422		435
Republic of Panama
9.625% due 02/08/2011		429		515
Republic of Peru
9.125% due 02/21/2012		437		514
Russian Federation
8.250% due 03/31/2010 (a)		240		262
5.000% due 03/31/2030 (a)		1,030		1,152
United Mexican States
10.375% due 02/17/2009		562		672
Total Sovereign Issues (Cost $4,483)				4,689
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 1.8%
Republic of Germany
5.500% due 01/04/2031	EC	1,300		2,055
Total Sovereign Issues (Cost $2,034)				2,055
		# of Contracts
PURCHASED CALL OPTIONS 0.0%
U.S. Treasury Bond 30-Year Futures (CBOT)
6.000% due 09/30/2005
Strike @ 118.000 Exp. 08/26/2005		4		8
U.S. Treasury Note 10-Year Futures (CBOT)
6.000% due 09/30/2005
Strike @ 122.000 Exp. 08/26/2005		33		0
Total Purchased Call Options (Cost $5)				8
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 94.000 Exp. 12/19/2005		217		1
Strike @ 93.750 Exp. 12/19/2005		37		0
Eurodollar September Futures (CME)
Strike @ 94.500 Exp. 09/19/2005		62		1
Strike @ 94.375 Exp. 09/19/2005		36		0
Total Purchased Put Options (Cost $3)				2
		Shares
PREFERRED STOCK 0.3%
Fannie Mae
7.000% due 12/31/2049 (a)		5,100		284
Total Preferred Stock (Cost $255)				284
EXCHANGE-TRADED FUNDS 4.6%
iShares MSCI EAFE Fund		100,236		5,251
Total Exchange-Traded Funds (Cost $5,276)				5,251

		Principal Amount (000s)			Value (000s)
SHORT-TERM INSTRUMENTS 19.4%
Commercial Paper 11.4%
Den Norske Bank ASA
3.300% due 09/14/2005	$	300			298
Fannie Mae
2.967% due 07/01/2005		3,100			3,100
Rabobank USA Financial Corp.
3.360% due 07/01/2005		3,100			3,100
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		3,100			3,100
UBS Finance Delaware LLC
3.390% due 07/01/2005		2,000			2,000
3.375% due 10/17/2005		1,400			1,386
					12,984
Repurchase Agreements 7.1%
Credit Suisse First Boston
2.700% due 07/01/2005		7,000			7,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $7,181. Repurchase proceeds are $7,001.)
State Street Bank
2.650% due 07/01/2005		1,157			1,157
(Dated 06/30/2005. Collateralized by Federal Farm Credit Bank 2.500% due 11/15/2005 valued at $1,184. Repurchase proceeds are $1,157.)
					8,157
U.S. Treasury Bills 0.9%
2.966% due 09/01/2005-09/15/2005 (c)(e)(f)		1,060			1,052
Total Short-Term Instruments (Cost $22,194)					22,193
Total Investments (d) (Cost $196,101)		171.8	%	$	196,683
Written Options (h) (Premiums $20)		(0.0	%)		(13	)
Other Assets and Liabilities (Net)		(71.8	%)		(82,198	)
Net Assets		100.0	%	$	114,472

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $826 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $744 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) Securities with an aggregate market value of $308 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar June Long Futures	06/2006	85	$	29
Eurodollar December Long Futures	12/2006	11		27
Euro-Bund 10-Year Note Long Futures	09/2005	2		2
Government of Japan 10-Year Note Long Futures	09/2005	2		17
U.S. Treasury 10-Year Note Short Futures	09/2005	92		(92	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	22		9
United Kingdom 90-Day LIBOR Purchased Put Options Strike @ 94.250	12/2005	27		20
			$	12

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
J.P. Morgan Chase & Co.	3-month Canadian Bank Bill	Pay	4.500	%	06/15/2025	C$	600	$	0
Merrill Lynch & Co., Inc.	3-month Canadian Bank Bill	Pay	4.500	%	06/15/2025		300		0
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012	JY	130,000		(77	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		130,000		(87	)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	5,800		0
Barclays Bank PLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		600		2
Barclays Bank PLC	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		7,200		(50	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		5,700		(37	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2025		700		0
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		4,500		25
								$	(224	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bank of America	General Motors Acceptance Corp. 6.875% due 08/27/2012	Sell	2.650	%	05/25/2006	$	500	$	5
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.980	%	08/04/2005		400		2
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	05/20/2007		200		1
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.610	%	03/20/2007		500		1
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/20/2005		400		2
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.580	%	06/20/2006		100		0
								$	11
Total Return Swaps
Counterparty	Receive total return	Pay			Expiration Date		# of Contracts		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	iShares MSCI EAFE Index Fund	1-month USD- LIBOR plus 0.100%			04/12/2006		1,557,300	$	865
Goldman Sachs & Co.	iShares MSCI EAFE Index Fund	1-month USD- LIBOR plus 0.100%			09/15/2005		481,207		(39	)
								$	826

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	114.000	08/26/2005	8	$	5	$	5
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	40		11		6
					$	16	$	11

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	4.000	%**	08/26/2005	$	600	$	2	$	1
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	4.750	%*	08/26/2005		600		2		1
							$	4	$	2

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	4,500	$	4,551	$	4,552
U.S. Treasury Note	3.875	02/15/2013		600		601		602
U.S. Treasury Note	4.250	11/15/2013		5,800		5,943		5,957
					$	11,095	$	11,111

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Sell	A$	7,648	07/2005	$	129	$	0		$	129
Sell	BP	15,649	07/2005		416		0			416
Buy	BR	3,119	09/2005		201		0			201
Sell		3,119	09/2005		0		(101	)		(101	)
Sell	DK	5,083	09/2005		14		0			14
Sell	EC	41,590	07/2005		69		(2	)		67
Buy		9,267	08/2005		0		(28	)		(28	)
Sell	H$	11,671	08/2005		1		0			1
Sell	JY	2,407,897	07/2005		856		0			856
Sell	N$	323	07/2005		6		0			6
Sell	NK	4,660	09/2005		14		0			14
Buy	S$	1,350	07/2005		0		(5	)		(5	)
Sell		2,293	08/2005		20		0			20
Sell	SF	9,749	09/2005		190		0			190
Sell	SK	19,930	09/2005		119		0			119
				$	2,035	$	(136	)	$	1,899

See accompanying notes

Schedule of Investments

Investment Grade Corporate Bond Fund

June 30, 2005 (Unaudited)

		Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 80.4%
Banking & Finance 32.5%
AIG SunAmerica Global Financing VII
5.850% due 08/01/2008	$	200		$	209
American International Group, Inc.
2.875% due 05/15/2008		300			289
Archstone-Smith Trust
7.900% due 02/15/2016		25			30
AvalonBay Communities, Inc.
6.125% due 11/01/2012		50			54
Bank of America Corp.
3.875% due 01/15/2008		50			50
Bank One Corp.
9.875% due 03/01/2009		50			59
5.250% due 01/30/2013		100			104
BB&T Corp.
6.500% due 08/01/2011		30			33
Bear Stearns Cos., Inc.
5.700% due 11/15/2014		200			215
BNP Paribas
5.186% due 06/29/2049 (a)		200			203
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		245			247
CIT Group, Inc.
7.750% due 04/02/2012		240			282
Citigroup, Inc.
6.000% due 02/21/2012		190			208
5.625% due 08/27/2012		500			535
7.750% due 12/01/2036		500			535
Deutsche Telekom International Finance BV
8.500% due 06/15/2010		330			383
Fleet National Bank
5.750% due 01/15/2009		175			184
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)		400			400
6.500% due 01/25/2007		270			272
5.700% due 01/15/2010		100			92
General Electric Capital Corp.
5.450% due 01/15/2013		350			372
6.750% due 03/15/2032		500			619
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		300			300
6.875% due 09/15/2011		50			46
Goldman Sachs Group, Inc.
6.600% due 01/15/2012		100			111
5.700% due 09/01/2012		275			293
5.250% due 10/15/2013		300			310
6.125% due 02/15/2033		100			110
HBOS Capital Funding LP
6.071% due 06/30/2049 (a)		300			324
Household Finance Corp.
4.125% due 12/15/2008		100			99
HSBC Capital Funding LP
4.610% due 06/27/2049 (a)		400			391
J.P. Morgan Chase & Co.
7.125% due 06/15/2009		100			110
6.625% due 03/15/2012		350			390
5.125% due 09/15/2014		100			102
KFW International Finance, Inc.
5.750% due 01/15/2008		30			31
Korea Development Bank
4.750% due 07/20/2009		300			304
Lehman Brothers Holdings, Inc.
6.625% due 01/18/2012		30			34
MBNA America Bank N.A.
7.125% due 11/15/2012		145			167
Merrill Lynch & Co., Inc.
6.000% due 07/15/2005		100			100
Metlife, Inc.
5.250% due 12/01/2006		300			305
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		150			158
Morgan Stanley Dean Witter & Co.
6.600% due 04/01/2012		100			111
5.300% due 03/01/2013		325			338
National Rural Utilities Cooperative Finance Corp.
7.250% due 03/01/2012		400			464
Preferred Term Securities XII
3.580% due 03/24/2034 (a)		100			99
Principal Life Global Funding
5.250% due 01/15/2013		50			53
Prudential Financial, Inc.
4.104% due 11/15/2006 (a)		30			30
3.540% due 06/13/2008 (a)		100			100
Prudential Insurance Co. of America
7.650% due 07/01/2007		250			267
Rabobank Capital Funding Trust III
5.254% due 12/31/2016 (a)		300			308
RBS Capital Trust I
5.512% due 09/29/2049 (a)		100			104
Royal Bank of Scotland PLC
9.118% due 03/31/2049		280			334
UFJ Finance Aruba AEC
6.750% due 07/15/2013		200			223
United Overseas Bank Ltd.
5.375% due 09/03/2019		100			103
Wachovia Bank N.A.
7.800% due 08/18/2010		30			35
Washington Mutual, Inc.
4.000% due 01/15/2009		200			198
Wells Fargo Bank, N.A.
6.450% due 02/01/2011		30			33
					11,860
Industrials 32.6%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		100			105
Albertson’s, Inc.
7.500% due 02/15/2011		100			113
Altria Group, Inc.
7.000% due 07/15/2005		300			300
Amerada Hess Corp.
6.650% due 08/15/2011		100			110
American Airlines, Inc.
6.978% due 04/01/2011		120			124
AOL Time Warner, Inc.
6.750% due 04/15/2011		25			28
6.875% due 05/01/2012		300			339
7.700% due 05/01/2032		100			127
BAE Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		65			71
Ball Corp.
7.750% due 08/01/2006		100			104
Beckman Coulter, Inc.
6.875% due 11/15/2011		30			34
British Sky Broadcasting PLC
8.200% due 07/15/2009		100			113
Canadian National Railway Co.
4.400% due 03/15/2013		80			79
Canadian Natural Resources Ltd.
5.450% due 10/01/2012		100			104
5.850% due 02/01/2035		200			208
CenterPoint Energy Resources Corp.
7.875% due 04/01/2013		150			178
Chesapeake Energy Corp.
6.375% due 06/15/2015		100			103
Clear Channel Communications, Inc.
7.650% due 09/15/2010		90			98
5.750% due 01/15/2013		100			98
Clorox Co.
3.125% due 12/14/2007 (a)		30			30
Columbia Energy Group
6.800% due 11/28/2005		100			101
Comcast Cable Communications, Inc.
6.750% due 01/30/2011		300			331
8.875% due 05/01/2017		35			46
Comcast Corp.
5.300% due 01/15/2014		100			103
7.050% due 03/15/2033		100			118
Continental Airlines, Inc.
6.320% due 11/01/2008		50			50
6.503% due 06/15/2011		100			99
Coventry Health Care, Inc.
5.875% due 01/15/2012		100			102
Cox Communications, Inc.
3.550% due 12/14/2007 (a)		100			101
7.750% due 11/01/2010		30			34
6.750% due 03/15/2011		100			109
4.625% due 06/01/2013		160			156
CSC Holdings, Inc.
7.250% due 07/15/2008		100			101
Cyprus Amax Minerals Co.
7.375% due 05/15/2007		30			32
DaimlerChrysler NA Holding Corp.
3.450% due 09/10/2007 (a)		200			200
7.300% due 01/15/2012		100			112
DaVita, Inc.
6.625% due 03/15/2013		100			104
Delta Air Lines, Inc.
7.379% due 05/18/2010		57			55
7.570% due 11/18/2010		100			94
Devon Financing Corp. ULC
6.875% due 09/30/2011		100			112
Domtar, Inc.
7.875% due 10/15/2011		30			32
DR Horton, Inc.
5.625% due 09/15/2014		200			201
EnCana Corp.
4.750% due 10/15/2013		100			100
Enterprise Products Operating LP
5.600% due 10/15/2014		300			309
Gazprom International S.A.
7.201% due 02/01/2020		100			108
Georgia-Pacific Corp.
7.500% due 05/15/2006		200			206
Halliburton Co.
4.650% due 10/17/2005 (a)		200			201
Harrah’s Operating Co., Inc.
7.875% due 12/15/2005		100			102
5.625% due 06/01/2015		100			102
HCA, Inc.
6.950% due 05/01/2012		100			107
Hilton Hotels Corp.
8.250% due 02/15/2011		30			35
Hutchison Whampoa International Ltd.
6.500% due 02/13/2013		240			261
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		100			101
International Business Machines Corp.
8.375% due 11/01/2019		30			41
International Paper Co.
6.750% due 09/01/2011		200			218
ITT Corp.
6.750% due 11/15/2005		30			30
JetBlue Airways Corp.
7.260% due 03/15/2008 (a)		97			99
KB Home
6.375% due 08/15/2011		100			105
5.750% due 02/01/2014		100			100
Kern River Funding Corp.
4.893% due 04/30/2018		73			74
Kerr-McGee Corp.
5.875% due 09/15/2006		200			204
Kinder Morgan Energy Partners LP
7.125% due 03/15/2012		100			113
Kinder Morgan, Inc.
6.500% due 09/01/2012		40			44
Kraft Foods, Inc.
6.250% due 06/01/2012		250			275
Kroger Co.
5.500% due 02/01/2013		100			104
Lenfest Communications, Inc.
8.375% due 11/01/2005		100			101
Marriott International, Inc.
6.875% due 11/15/2005		300			303
MGM Mirage, Inc.
6.000% due 10/01/2009		200			202
8.500% due 09/15/2010		100			112
News America, Inc.
5.300% due 12/15/2014		100			103
Northwest Airlines Corp.
7.575% due 03/01/2019		88			89
Occidental Petroleum Corp.
6.750% due 01/15/2012		100			113
Packaging Corp. of America
5.750% due 08/01/2013		100			100
Peabody Energy Corp.
6.875% due 03/15/2013		100			107
Pemex Project Funding Master Trust
8.000% due 11/15/2011		260			296
Petrobras International Finance Co.
9.750% due 07/06/2011		100			119
Pioneer Natural Resources Co.
6.500% due 01/15/2008		200			207
Pulte Homes, Inc.
7.875% due 08/01/2011		200			232
Safeway, Inc.
5.800% due 08/15/2012		100			105
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		100			113
Station Casinos, Inc.
6.000% due 04/01/2012		100			102
Telus Corp.
8.000% due 06/01/2011		30			35
Time Warner, Inc.
8.110% due 08/15/2006		100			104
Transcontinental Gas Pipe Line Corp.
8.875% due 07/15/2012		30			36
Transocean, Inc.
7.500% due 04/15/2031		100			131
United Airlines, Inc.
7.186% due 04/01/2011 (b)		73			70
10.125% due 03/22/2015 (b)		100			40
USX Corp.
6.850% due 03/01/2008		30			32
Valero Energy Corp.
6.125% due 04/15/2007		100			103
3.500% due 04/01/2009		100			96
Viacom, Inc.
5.625% due 08/15/2012		300			307
Wal-Mart Stores, Inc.
6.875% due 08/10/2009		30			33
Walt Disney Co.
6.375% due 03/01/2012		100			111
Waste Management, Inc.
7.100% due 08/01/2026		10			12
Weyerhaeuser Co.
6.125% due 03/15/2007		100			103
6.750% due 03/15/2012		150			165
Wyeth
4.375% due 03/01/2008		100			100
XTO Energy, Inc.
7.500% due 04/15/2012		100			115
					11,895
Utilities 15.3%
Appalachian Power Co.
3.600% due 05/15/2008		100			98
AT&T Corp.
9.050% due 11/15/2011		47			54
BellSouth Corp.
5.200% due 09/15/2014		300			310
5.200% due 12/15/2016		100			102
British Telecom PLC
7.875% due 12/15/2005		30			31
8.375% due 12/15/2010		100			119
Cingular Wireless LLC
6.500% due 12/15/2011		50			55
Constellation Energy Group, Inc.
7.000% due 04/01/2012		100			113
Consumers Energy Co.
5.375% due 04/15/2013		100			104
Duke Energy Corp.
6.250% due 01/15/2012		130			142
Entergy Gulf States, Inc.
3.600% due 06/01/2008		150			147
4.875% due 11/01/2011		100			100
France Telecom S.A.
7.450% due 03/01/2006		100			102
8.000% due 03/01/2011		130			151
GTE South, Inc.
6.125% due 06/15/2007		30			31
Indianapolis Power & Light Co.
6.300% due 07/01/2013		150			164
MidAmerican Energy Holdings Co.
7.630% due 10/15/2007		200			214
Monongahela Power Co.
7.360% due 01/15/2010		100			109
Niagara Mohawk Power Corp.
6.625% due 07/01/2005		50			50
7.750% due 05/15/2006		30			31
7.750% due 10/01/2008		30			33
Ohio Edison Co.
5.647% due 06/15/2009		100			104
5.450% due 05/01/2015		100			104
Oncor Electric Delivery Co.
7.250% due 01/15/2033		100			125
PNPP II Funding Corp.
8.510% due 11/30/2006		48			49
PPL Capital Funding Trust I
4.330% due 03/01/2009		200			199
Progress Energy, Inc.
6.850% due 04/15/2012		200			223
PSEG Power LLC
6.950% due 06/01/2012		200			225
Qwest Corp.
1.010% due 06/15/2013 (a)		100			103
Ras Laffan Liquefied Natural Gas Co., Ltd.
3.437% due 09/15/2009		62			61
SBC Communications, Inc.
5.100% due 09/15/2014		300			307
Sprint Capital Corp.
6.000% due 01/15/2007		40			41
8.375% due 03/15/2012		400			482
System Energy Resources, Inc.
4.875% due 10/01/2007		100			101
TECO Energy, Inc.
10.500% due 12/01/2007		100			114
6.750% due 05/01/2015		100			107
TXU Corp.
4.800% due 11/15/2009		100			99
TXU Energy Co. LLC
7.000% due 03/15/2013		200			223
Verizon New England, Inc.
6.500% due 09/15/2011		200			218
Verizon Wireless Capital LLC
5.375% due 12/15/2006		200			204
Virginia Electric & Power Co.
5.750% due 03/31/2006		100			101
5.375% due 02/01/2007		80			82
Vodafone Group PLC
3.950% due 01/30/2008		30			30
7.750% due 02/15/2010		30			34
					5,596
Total Corporate Bonds & Notes (Cost $28,964)					29,351
U.S. TREASURY OBLIGATIONS 2.8%
U.S. Treasury Note
4.125% due 05/15/2015		1,000			1,015
Total U.S. Treasury Obligations (Cost $1,012)					1,015
SOVEREIGN ISSUES 4.7%
Republic of Brazil
4.313% due 04/15/2009 (a)		47			47
4.313% due 04/15/2012 (a)		41			40
8.000% due 04/15/2014		227			234
Republic of Croatia
3.813% due 07/31/2010 (a)		38			37
Republic of Panama
9.625% due 02/08/2011		100			120
Republic of South Africa
9.125% due 05/19/2009		30			35
7.375% due 04/25/2012		90			104
Russian Federation
10.000% due 06/26/2007		83			91
5.000% due 03/31/2030 (a)		250			280
United Mexican States
8.375% due 01/14/2011		370			432
6.375% due 01/16/2013		200			215
8.300% due 08/15/2031		80			100
Total Sovereign Issues (Cost $1,611)					1,735
FOREIGN CURRENCY-DENOMINATED ISSUES (h) 1.2%
Deutsche Telekom International Finance BV
8.125% due 05/29/2012	EC	100			157
France Telecom S.A.
7.000% due 03/14/2008		90			121
HSBC Holdings PLC
5.375% due 12/20/2012		60			83
Rogers Cable, Inc.
7.250% due 12/15/2011	C$	50			42
Rogers Wireless Communications, Inc.
7.625% due 12/15/2011		50			44
Total Foreign Currency-Denominated Issues (Cost $423)					447
		Shares
PREFERRED STOCK 0.6%
Goldman Sachs Group, Inc.
3.910% due 12/31/2049 (a)		4,000			100
Metlife, Inc.
6.375% due 08/15/2008		4,000			104
Total Preferred Stock (Cost $200)					204
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS (h) 12.3%
Commercial Paper 6.8%
Dexia Delaware LLC
3.150% due 08/09/2005	$	200			199
HBOS Treasury Services PLC
3.160% due 08/10/2005		200			199
3.270% due 09/08/2005		200			199
3.280% due 09/22/2005		200			199
Royal Bank of Scotland PLC
3.230% due 09/01/2005		400			398
Skandinaviska Enskilda Banken AB (SEB)
3.310% due 09/15/2005		500			496
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		400			400
UBS Finance Delaware LLC
3.285% due 10/03/2005		400			396
					2,486
Repurchase Agreement 1.4%
State Street Bank
2.650% due 07/01/2005		516			516
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $527. Repurchase proceeds are $516.)
French Treasury Bills 3.7%
2.005% due 07/13/2005-09/08/2005 (c)	EC	1,110			1,336
U.S. Treasury Bills 0.4%
2.940% due 09/01/2005-09/15/2005 (c)(e)		160			159
Total Short-Term Instruments (Cost $4,526)					4,497
Total Investments (d) (Cost $36,736)		102.0	%	$	37,249
Written Options (g) (Premiums $19)		(0.0	%)		(10	)
Other Assets and Liabilities (Net)		(2.0	%)		(717	)
Net Assets		100.0	%	$	36,522

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $99 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $159 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	9	$	7
Eurodollar June Long Futures	06/2006	20		9
Eurodollar December Long Futures	12/2005	20		(21	)
Euribor Written Put Options Strike @ 97.250	12/2005	12		7
U.S. Treasury 30-Year Bond Long Futures	09/2005	45		18
			$	20

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012	EC	200	$	(9	)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	400		0
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		3,540		(23	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2012		1,000		(13	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		200		(1	)
Merrill Lynch & Co., Inc.	3-month USD-LIBOR	Pay	6.000	%	06/15/2025		2,000		183
								$	137

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009	$	200	$	2
Bear Stearns & Co., Inc.	Ford Motor Credit Corp. 7.000% due 10/01/2013	Sell	5.600	%	06/20/2010		100		8
Bear Stearns & Co., Inc.	Phelps Dodge Corp. 8.750% due 06/01/2011	Sell	0.750	%	06/20/2010		100		1
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		300		0
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015		100		1
Credit Suisse First Boston	International Game Technology 0.000% convertible until 01/29/2006	Sell	0.350	%	03/20/2010		200		0
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.800	%	06/20/2006		190		3
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.500	%	06/20/2006		200		5
J.P. Morgan Chase & Co.	Apache Corp. 6.250% due 04/15/2012	Sell	0.200	%	03/20/2010		200		0
J.P. Morgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010		50		0
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Buy	0.250	%	03/20/2007		300		0
Lehman Brothers, Inc.	Union Pacific Corp. 6.650% due 01/15/2011	Sell	0.280	%	03/20/2010		100		0
Merrill Lynch & Co., Inc.	Burlington Resources, Inc. 6.400% due 08/15/2011	Sell	0.280	%	03/20/2010		200		0
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010		200		(1	)
Merrill Lynch & Co., Inc.	General Electric Capital Corp. 4.875% due 03/04/2015	Sell	0.300	%	06/20/2010		200		0
								$	19

(g) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	08/26/2005	20	$	3	$	3
Call - CBOT U.S. Treasury Note September Futures		117.000	08/26/2005	10		1		1
Put - CBOT U.S. Treasury Note September Futures		109.000	08/26/2005	10		2		0
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	20		7		2
					$	13	$	6

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC Dow Jones CDX N.A. IG4 Index Credit Default Swap	Lehman Brothers, Inc.	0.650	%**	09/20/2005	$	1,000	$	2	$	3
Put - OTC Dow Jones CDX N.A. IG4 Index Credit Default Swap	Lehman Brothers, Inc.	0.850	%*	09/20/2005		1,000		4		1
							$	6	$	4

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(h) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	30	07/2005	$	1	$	0		$	1
Buy		21	08/2005		1		0			1
Buy		30	09/2005		1		0			1
Sell	C$	100	07/2005		0		(1	)		(1	)
Buy	CP	7,470	08/2005		0		0			0
Buy		6,060	09/2005		0		0			0
Sell	EC	737	07/2005		33		0			33
Buy		55	08/2005		0		0			0
Sell		710	08/2005		0		(2	)		(2	)
Buy	KW	21,610	07/2005		0		(1	)		(1	)
Buy		8,200	08/2005		0		0			0
Buy		11,800	09/2005		0		0			0
Buy	MP	113	08/2005		0		0			0
Buy		338	09/2005		0		0			0
Buy	PN	35	08/2005		0		0			0
Buy		35	09/2005		0		0			0
Buy	PZ	33	08/2005		0		0			0
Buy		34	09/2005		0		0			0
Buy	RP	908	09/2005		0		0			0
Buy	RR	286	07/2005		0		(1	)		(1	)
Buy		200	08/2005		0		0			0
Buy		306	09/2005		0		0			0
Buy	S$	17	07/2005		0		(1	)		(1	)
Buy		12	08/2005		0		0			0
Buy		18	09/2005		0		0			0
Buy	SV	1,163	08/2005		0		(1	)		(1	)
Buy		336	09/2005		0		0			0
Buy	T$	240	08/2005		0		0			0
Buy		334	09/2005		0		0			0
				$	36	$	(7	)	$	29

See accompanying notes

Schedule of Investments

Japanese StocksPLUS TR Strategy Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.3%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	12		$	14
Total Corporate Bonds & Notes (Cost $13)					14
MUNICIPAL BONDS & NOTES 1.7%
Akron, Ohio Community Learning Centers Income Tax Revenue Bonds, (FGIC Insured), Series 2004-A
5.000% due 12/01/2033		10			10
Austin, Texas State University Systems Financing Revenue Bonds, Series 2004
5.000% due 03/15/2030		30			32
5.000% due 03/15/2034		30			32
New York City Municipal Water Finance Authority Revenue Bonds, Series 2005
10.063% due 06/15/2034 (a)		15			17
Total Municipal Bonds & Notes (Cost $87)					91
U.S. GOVERNMENT AGENCIES 46.7%
Fannie Mae
2.925% due 09/22/2006 (a)		200			200
4.000% due 08/25/2009		76			76
4.375% due 11/25/2023 (a)		100			103
5.500% due 02/01/2035 - 03/01/2035 (c)		1,083			1,098
5.567% due 07/01/2032 (a)		95			95
Freddie Mac
2.750% due 02/15/2012		80			79
3.420% due 10/15/2020 (a)		57			57
3.500% due 03/15/2010		67			67
4.000% due 07/15/2017		83			83
5.000% due 06/15/2013		59			59
5.500% due 08/15/2030 - 05/01/2035 (c)		505			512
Total U.S. Government Agencies (Cost $2,422)					2,429
U.S. TREASURY OBLIGATIONS 27.7%
Treasury Inflation Protected Security (b)
2.000% due 07/15/2014		103			107
U.S. Treasury Bonds
8.750% due 05/15/2017		400			575
8.875% due 08/15/2017		100			145
8.125% due 05/15/2021		200			290
6.125% due 11/15/2027		100			126
U.S. Treasury Notes
3.000% due 12/31/2006		100			99
4.000% due 02/15/2015		100			100
Total U.S. Treasury Obligations (Cost $1,429)					1,442
MORTGAGE-BACKED SECURITIES 1.1%
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (a)		59			59
Total Mortgage-Backed Securities (Cost $59)					59
ASSET-BACKED SECURITIES 4.7%
Countrywide Asset-Backed Certificates
3.484% due 12/25/2018 (a)		4			4
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 09/20/2033 (a)		55			56
Long Beach Mortgage Loan Trust
3.464% due 02/25/2024 (a)		2			2
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.444% due 04/25/2034 (a)		5			5
SLM Student Loan Trust
3.141% due 07/27/2009 (a)		38			38
3.151% due 10/26/2009 (a)		52			52
3.141% due 04/25/2010 (a)		86			86
Total Asset-Backed Securities (Cost $243)					243
SOVEREIGN ISSUES 6.1%
Republic of Brazil
14.500% due 10/15/2009		25			33
8.000% due 04/15/2014		74			76
Republic of Panama
9.625% due 02/08/2011		22			26
Republic of Peru
9.125% due 02/21/2012		11			13
9.875% due 02/06/2015		10			13
Russian Federation
8.250% due 03/31/2010 (a)		30			33
5.000% due 03/31/2030 (a)		70			78
United Mexican States
10.375% due 02/17/2009		36			43
Total Sovereign Issues (Cost $300)					315
	# of contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 94.000 Exp. 12/19/2005		8			0
Strike @ 94.250 Exp. 12/19/2005		4			0
Eurodollar September Futures (CME)
Strike @ 94.500 Exp. 09/19/2005		3			0
Total Purchased Put Options (Cost $0)					0
	Shares
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		200			11
Total Preferred Stock (Cost $10)					11
EXCHANGE-TRADED FUNDS 3.2%
iShares MSCI Japan Index Fund		16,219			165
Total Exchange-Traded Funds (Cost $169)					165
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 16.1%
Commercial Paper 7.7%
Den Norske Bank ASA
3.300% due 09/14/2005	$	100			99
Fannie Mae
2.967% due 07/01/2005		100			100
Federal Home Loan Bank
2.963% due 07/01/2005		100			100
Royal Bank of Scotland PLC
3.220% due 08/15/2005		100			100
					399
Repurchase Agreements 6.2%
Credit Suisse First Boston
2.700% due 07/01/2005		100			100
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500% due 08/15/2009 valued at $103. Repurchase proceeds are $100.)
State Street Bank
2.650% due 07/01/2005		225			225
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $234. Repurchase proceeds are $225.)
					325
U.S. Treasury Bills 2.2%
2.939% due 09/01/2005-09/15/2005 (c)(d)		115			114
Total Short-Term Instruments (Cost $838)					838
Total Investments (Cost $5,570)		107.8	%	$	5,607
Written Options (Premiums $3)		(0.0	%)		(1	)
Other Assets and Liabilities (Net)		(7.8	%)		(405	)
Net Assets		100.0	%	$	5,201

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $114 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Euro-Bund 10-Year Note Long Futures	09/2005	1	$	3
U.S. Treasury 10-Year Note Short Futures	09/2005	5		(5	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	3		1
Eurodollar December Long Futures	12/2005	17		0
			$	(1	)

(e) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010	$	300	$	1
Barclays Bank PLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		200		1
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		400		(2	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		200		(1	)
								$	(1	)

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date	Notional Amount		Unrealized (Depreciation)
Goldman Sachs & Co.	iShares MSCI Japan Index Fund	1-month USD-LIBOR plus 0.100%	11/15/2005	$	489	$	(25	)
						$	(25	)

(f) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium			Value
Call - CBOT U.S. Treasury Note September Futures	$	115.000	08/26/2005	1	$	(2	)	$	(1	)
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	1		(1	)		0
Put - CBOT U.S. Treasury Bond September Futures		110.000	08/26/2005	1		0			0
					$	(3	)	$	(1	)

(g) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity	Par		Value		Proceeds
U.S. Treasury Note	4.000	11/15/2012	$	100	$	101	$	101
U.S. Treasury Note	4.250	11/15/2013		200		205		205
					$	306	$	306

(h) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation
Sell	BP	3	07/2005	$	0	$	0	$	0
Sell	EC	32	07/2005		0		0		0
Buy		27	08/2005		0		0		0
Sell	JY	555,858	07/2005		193		0		193
				$	193	$	0	$	193

See accompanying notes

Schedule of Investments

Long-Term U.S. Government Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 5.8%
Banking & Finance 5.8%
Allstate Financial Global Funding
5.250% due 02/01/2007	$	100		$	102
Allstate Life Global Funding Trusts
3.221% due 01/25/2008 (a)		2,200			2,201
Bank One Corp.
6.500% due 02/01/2006		150			152
Bayerische Landesbank Girozentrale
6.625% due 06/25/2007		250			262
General Electric Capital Corp.
3.390% due 03/04/2008 (a)		10,000			10,008
Goldman Sachs Group LP
1.010% due 06/28/2010 (a)		2,300			2,305
Inter-American Development Bank
6.625% due 03/07/2007		340			356
International Bank for Reconstruction & Development
7.625% due 01/19/2023		19,296			26,848
J.P. Morgan Chase & Co.
5.250% due 05/30/2007		50			51
Morgan Stanley Dean Witter & Co.
5.800% due 04/01/2007		100			103
Postal Square LP
6.500% due 06/15/2022		1,669			1,870
Pricoa Global Funding I
2.780% due 01/25/2008 (a)		2,200			2,202
Travelers Property Casualty Corp.
6.375% due 03/15/2033		1,000			1,094
U.S. Trade Funding Corp.
4.260% due 11/15/2014		8,025			8,053
Wells Fargo & Co.
5.125% due 02/15/2007		250			254
					55,861
Utilities 0.0%
GTE Corp.
7.510% due 04/01/2009		100			110
Total Corporate Bonds & Notes (Cost $52,918)					55,971
MUNICIPAL BONDS & NOTES 1.9%
Chicago, Illinois Motor Fuel Tax Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 01/01/2033		2,110			2,216
Dawson Ridge, Colorado Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		6,800			3,126
Detroit, Michigan School District General Obligation Bonds, (FGID Q-SBLF Insured), Series 2003
5.000% due 05/01/2033		400			421
Florida State Board of Education General Obligation Bonds, Series 2002
5.000% due 06/01/2032		1,200			1,268
Foothill, California Eastern Corridor Agency California Toll Road Revenue Bonds, Series 1995
0.000% due 01/01/2029		1,970			678
Irving, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2003
5.000% due 02/15/2031		1,515			1,587
Massachusetts State Water Pollution Abatement Revenue Bonds, Series 2002
5.000% due 08/01/2032		5,000			5,261
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2002
5.125% due 06/15/2034		1,675			1,773
San Antonio, Texas Water Revenue Bonds, (FSA Insured), Series 2002
5.000% due 05/15/2032		2,000			2,091
Total Municipal Bonds & Notes (Cost $17,265)					18,421
U.S. GOVERNMENT AGENCIES 18.3%
Fannie Mae
0.000% due 03/25/2009 (b)		772			737
2.125% due 02/10/2006		7,000			6,934
3.111% due 04/26/2035 (a)		1,319			1,320
3.880% due 10/01/2024 (a)		406			410
3.914% due 10/25/2017 (a)		450			455
3.970% due 08/01/2026 (a)		49			51
4.033% due 04/01/2028 (a)		294			298
4.214% due 04/25/2032 (a)		403			411
4.237% due 05/01/2025 (a)		97			102
4.418% due 11/01/2023 (a)		629			646
4.500% due 02/25/2008 - 10/25/2034 (f)		11,146			10,675
4.563% due 02/01/2028 (a)		56			58
4.714% due 12/01/2027 (a)		327			340
5.099% due 10/01/2024 (a)		7			7
5.500% due 02/15/2006 - 03/01/2035 (f)		12,392			12,569
6.000% due 05/17/2027		2,369			2,465
6.250% due 12/25/2013		9			9
6.500% due 11/25/2023 - 01/25/2024 (f)		647			699
6.750% due 06/25/2032		4,868			5,169
6.900% due 05/25/2023		475			497
6.950% due 07/25/2020		156			164
7.000% due 04/25/2022 - 05/18/2027 (f)		4,825			5,223
7.348% due 01/01/2026 (a )		20			21
7.500% due 07/01/2032		44			47
7.800% due 10/25/2022		69			75
9.000% due 08/01/2021 - 06/01/2027 (f)		310			341
14.600% due 09/25/2007 (c)		0			3
1197.968% due 08/25/2007 (c)		1			5
Federal Farm Credit Bank
2.125% due 08/15/2005		1,300			1,298
5.750% due 12/07/2028		500			583
Federal Home Loan Bank
2.875% due 05/22/2006		14,400			14,292
5.120% due 01/10/2013		6,500			6,501
5.500% due 04/17/2006		12,000			12,165
Federal Housing Administration
1.000% due 10/01/2022		204			206
3.000% due 11/25/2019		488			487
4.918% due 11/01/2019		9			9
6.896% due 07/01/2020		2,052			2,048
7.430% due 02/25/2023 - 06/01/2024 (f)		2,165			2,192
Freddie Mac
3.414% due 10/25/2032 (a)		202			202
3.720% due 06/15/2030 - 12/15/2032 (a)(f)		1,364			1,378
3.770% due 06/15/2031 (a)		474			479
3.880% due 10/25/2023		182			183
4.214% due 01/01/2028 (a)		68			70
4.296% due 01/01/2028 (a)		457			469
4.489% due 10/01/2026 (a)		65			67
4.715% due 05/01/2022 (a)		13			13
5.000% due 06/15/2013		1,630			1,638
5.013% due 09/01/2027 (a)		174			177
5.131% due 06/01/2022 (a)		14			14
5.500% due 02/15/2016 - 06/15/2034 (f)		4,181			4,344
5.568% due 12/01/2024 (a)		138			141
6.000% due 04/15/2034		6,078			6,266
6.250% due 09/15/2023		5,000			5,220
6.500% due 11/15/2008 - 10/25/2043 (f)		3,715			3,763
7.000% due 09/01/2007 - 01/15/2024 (f)		1,010			965
7.450% due 03/25/2022		58			58
7.511% due 02/01/2028 (a)		334			339
Government National Mortgage Association
3.375% due 04/20/2017 - 05/20/2030 (a)(f)		3,396			3,446
3.750% due 09/20/2017 - 09/20/2026 (a)(f)		1,125			1,144
4.125% due 12/20/2017 - 11/20/2027 (a)(f)		724			734
4.210% due 03/20/2031 (a)		3,081			3,122
4.375% due 02/20/2017 - 03/20/2026 (a)(f)		174			177
4.380% due 01/20/2026 - 01/20/2028 (a)(f)		780			794
4.500% due 03/20/2021 (a)		48			49
5.000% due 04/20/2034		23,849			22,310
5.500% due 02/20/2033		2,000			2,043
6.000% due 08/20/2033		2,246			2,353
7.000% due 03/16/2029		387			420
Overseas Private Investment Corp.
2.360% due 08/15/2007		1,563			1,542
3.800% due 08/15/2007		9,130			9,900
4.736% due 03/15/2022		4,300			4,377
5.140% due 08/15/2007		2,500			2,420
Small Business Administration
5.240% due 08/01/2023		7,445			7,717
Total U.S. Government Agencies (Cost $171,172)					177,846
U.S. TREASURY OBLIGATIONS 40.2%
Treasury Inflation Protected Security (e)
2.375% due 01/15/2025		9,186			10,058
U.S. Treasury Bonds
8.875% due 02/15/2019		22,300			33,158
8.750% due 08/15/2020		8,500			12,793
7.875% due 02/15/2021		25,000			35,396
8.125% due 08/15/2021		1,300			1,888
8.000% due 11/15/2021		1,200			1,729
6.250% due 08/15/2023		792			987
6.500% due 11/15/2026		1,000			1,308
5.500% due 08/15/2028		18,900			22,263
5.250% due 11/15/2028		29,700			33,931
5.375% due 02/15/2031		47,800			56,419
U.S. Treasury Notes
3.625% due 04/30/2007		20,100			20,095
3.875% due 05/15/2009		7,600			7,646
3.500% due 08/15/2009		31,700			31,439
4.750% due 05/15/2014		26,200			27,809
4.125% due 05/15/2015		69,700			70,740
U.S. Treasury Strip
0.000% due 02/15/2019 (b)		40,600			22,833
Total U.S. Treasury Obligations (Cost $382,873)					390,492
MORTGAGE-BACKED SECURITIES 8.7%
Bank of America Mortgage Securities, Inc.
5.577% due 10/20/2032 (a)		1,269			1,277
Bear Stearns Adjustable Rate Mortgage Trust
5.348% due 02/25/2033 (a)		404			407
5.369% due 04/25/2033 (a)		953			966
4.883% due 01/25/2034 (a)		1,140			1,141
Bear Stearns Commercial Mortgage Securities, Inc.
3.957% due 06/25/2030 (a)		140			143
Commercial Mortgage Pass-Through Certificates
3.400% due 03/15/2020 (a)		4,100			4,102
Countrywide Alternative Loan Trust
5.500% due 10/25/2033		5,504			5,371
3.524% due 05/25/2035 (a)		5,017			4,951
Countrywide Home Loan Mortgage Pass-Through Trust
3.634% due 03/25/2035 (a)		8,120			8,120
3.604% due 04/25/2035 (a)		2,763			2,763
3.654% due 06/25/2035 (a)		4,000			4,001
Countrywide Home Loans, Inc.
6.000% due 02/25/2033		580			582
3.450% due 06/25/2035		4,000			4,001
CS First Boston Mortgage Securities Corp.
3.864% due 04/25/2033 (a)		735			737
Federal Agricultural Mortgage Corp.
7.263% due 07/25/2011 a		2,759			2,849
First Republic Mortgage Loan Trust
3.634% due 06/25/2030 (a)		556			556
GS Mortgage Securities Corp.
2.960% due 11/15/2015 (a)		758			758
Harborview Mortgage Loan Trust
3.480% due 05/19/2035 (a)		4,239			4,221
Impac CMB Trust
5.249% due 09/25/2034 (a)		5,903			5,907
MASTR Asset Securitization Trust
5.500% due 09/25/2033		980			986
Nomura Asset Securities Corp.
7.120% due 04/13/2036 (a)		2,000			2,055
7.120% due 04/13/2039		1,250			1,278
Residential Accredit Loans, Inc.
3.714% due 01/25/2033 (a)		530			531
3.714% due 03/25/2033 (a)		1,204			1,205
Residential Asset Securitization Trust
5.500% due 07/25/2033		1,228			1,227
Sequoia Mortgage Trust
3.600% due 06/20/2032 (a)		1,943			1,942
3.610% due 07/20/2033 (a)		3,836			3,817
Structured Asset Mortgage Investments, Inc.
3.477% due 02/25/2030 (a)		80			80
3.680% due 10/19/2033 (a)		1,572			1,575
Structured Asset Securities Corp.
6.250% due 01/25/2032 (a)		29			29
3.814% due 07/25/2032 (a)		421			422
3.814% due 07/25/2032 (a)		1,110			1,111
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (a)		2,665			2,664
3.904% due 06/25/2042 (a)		803			812
3.435% due 01/25/2045 (a)		7,650			7,656
Washington Mutual, Inc.
3.355% due 04/25/2045 (a)		3,735			3,733
Total Mortgage-Backed Securities (Cost $83,905)					83,976
ASSET-BACKED SECURITIES 6.3%
AAA Trust
3.120% due 04/25/2035 (a)		5,933			5,943
Amortizing Residential Collateral Trust
3.604% due 07/25/2032 (a)		23			23
Argent Securities, Inc.
3.504% due 03/25/2034 (a)		202			202
Bayview Financial Acquisition Trust
3.770% due 05/28/2034 (a)		1,052			1,055
Bear Stearns Asset-Backed Securities, Inc.
3.644% due 10/25/2032 (a)		365			366
3.564% due 04/25/2035 (a)		2,285			2,289
3.814% due 11/25/2042 (a)		4,064			4,085
Chase Funding Mortgage Loan Asset-Backed Certificates
3.564% due 10/25/2031 (a)		449			449
Countrywide Asset-Backed Certificates
3.624% due 03/25/2034 (a)		742			743
Fannie Mae
3.400% due 07/25/2035 (a)		9,400			9,403
First Franklin Mortgage Loan Trust Asset-Backed Certificates
2.820% due 03/25/2034 (a)		848			848
Ford Credit Auto Owner Trust
2.130% due 10/15/2006		2,025			2,019
Fremont Home Loan Trust
3.424% due 01/25/2035 (a)		3,393			3,396
3.414% due 06/25/2035 (a)		2,497			2,496
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		1,371			1,374
IMC Home Equity Loan Trust
3.674% due 03/25/2027 (a)		2			2
Long Beach Mortgage Loan Trust
3.634% due 06/25/2033 (a)		268			268
3.434% due 07/25/2034 (a)		739			740
Los Angeles Arena Funding LLC
7.656% due 12/15/2026		92			102
Merrill Lynch Mortgage Investors, Inc.
3.674% due 06/25/2034 (a)		173			173
Novastar Home Equity Loan
3.874% due 01/25/2031 (a)		215			215
NPF XII, Inc.
2.240% due 10/01/2003 (d)		3,000			236
Residential Asset Mortgage Products, Inc.
3.414% due 11/25/2024 (a)		4,644			4,647
3.654% due 11/25/2033 (a)		4,971			4,974
Residential Asset Securities Corp.
3.424% due 04/25/2025 (a)		6,683			6,689
3.584% due 04/25/2032 (a)		1,196			1,198
SMS Student Loan Trust
3.439% due 10/27/2025 (a)		814			815
Structured Asset Investment Loan Trust
3.464% due 09/25/2034 (a)		220			220
Terwin Mortgage Trust
1.000% due 06/25/2036		6,600			6,602
Total Asset-Backed Securities (Cost $63,923)					61,572
		Notional Amount (000s)
PURCHASED CALL OPTIONS 0.0%
1-Year Interest Rate Swap (OTC)
Strike @ 3.750%** Exp. 12/16/2005		22,800			15
		# of Contracts
U.S. Treasury Note 5-Year Futures (CBOT)
6.000% due 09/30/2005
Strike @ 114.500 Exp. 08/26/2005		718			11
Strike @ 114.000 Exp. 08/26/2005		500			8
Total Purchased Call Options (Cost $108)					34
		Notional Amount (000s)
PURCHASED PUT OPTIONS 0.0%
1-Year Interest Rate Swap (OTC)
Strike @ 3.750%* Exp. 12/16/2005	$	22,800			83
		# of Contracts
Eurodollar September Futures (CME)
Strike @ 96.000 Exp. 09/19/2005		612			19
Strike @ 95.500 Exp. 09/19/2005		803			5
Strike @ 95.375 Exp. 09/19/2005		431			3
Strike @ 95.000 Exp. 09/19/2005		1,410			18
U.S. Treasury Bond 30-Year Futures (CBOT)
6.000% due 09/30/2005
Strike @ 103.000 Exp. 08/26/2005		346			5
Strike @ 102.000 Exp. 08/26/2005		899			14
Strike @ 101.000 Exp. 08/26/2005		456			7
Total Purchased Put Options (Cost $216)					154
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 35.9%
Certificates of Deposit 3.4%
Citibank New York N.A.
3.120% due 07/28/2005	$	3,000			3,000
3.155% due 08/09/2005		5,200			5,200
Unicredito Italiano SpA
3.150% due 08/05/2005		24,800			24,800
					33,000
Commercial Paper 22.1%
Fannie Mae
2.967% due 07/01/2005		26,500			26,500
3.205% due 09/07/2005		3,700			3,676
3.250% due 09/14/2005		25,400			25,220
Federal Home Loan Bank
2.963% due 07/01/2005		26,500			26,500
3.210% due 07/27/2005		48,000			47,889
Freddie Mac
2.956% due 07/05/2005		60,000			59,979
3.250% due 09/13/2005		25,200			25,024
					214,788
Repurchase Agreements 9.3%
Credit Suisse First Boston
2.700% due 07/01/2005		84,300			84,300
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500%-4.000% due 08/15/2009-02/15/2014 valued at $86,296. Repurchase proceeds are $84,306.)
State Street Bank
2.650% due 07/01/2005		5,843			5,843
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $5,964. Repurchase proceeds are $5,843.)
					90,143
U.S. Treasury Bills 1.1%
2.942% due 09/01/2005-09/15/2006 (f)(h)(i)		10,510			10,424
Total Short-Term Instruments (Cost $348,394)					348,355
Total Investments (g) (Cost $1,120,774)		117.1	%	$	1,136,821
Written Options (j) (Premiums $1,666)		(0.2	%)		(1,560	)
Other Assets and Liabilities (Net)		(16.9	%)		(164,654	)
Net Assets		100.0	%	$	970,607

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal only security.

(c) Interest only security.

(d) Security is in default.

(e) Principal amount of security is adjusted for inflation.

(f) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(g) As of June 30, 2005, portfolio securities with an aggregate market value of $65,603 were valued with reference to securities whose prices are more readily obtainable.

(h) Securities with an aggregate market value of $995 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(i) Securities with an aggregate market value of $9,429 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	980	$	478
U.S. Treasury 10-Year Note Short Futures	09/2005	767		(318	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	5,016		3,839
U.S. Treasury 5-Year Note Short Futures	09/2005	75		(7	)
			$	3,992

(j) Premiums received on written options:

Name of Issuer	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Bond 30-Year Futures	$	120.000	08/26/2005	122	$	87	$	2
Call - CME Eurodollar December Futures		96.250	12/19/2005	384		0		60
Call - CME Eurodollar December Futures		96.500	12/19/2005	626		154		27
Put - CME Eurodollar June Futures		95.000	06/19/2006	328		163		25
					$	404	$	114

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Bank of America	4.500	%**	05/02/2008	$	6,900	$	138	$	235
Put - OTC 7-Year Interest Rate Swap	Bank of America	5.500	%*	05/02/2008		6,900		164		119
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.500	%**	05/02/2008		14,400		318		489
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	5.500	%*	05/02/2008		14,400		341		249
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	4.500	%**	05/02/2008		6,900		138		235
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	5.500	%*	05/02/2008		6,900		163		119
							$	1,262	$	1,446

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

See accompanying notes

Schedule of Investments

Low Duration Fund

June 30, 2005 (Unaudited)

		Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 4.1%
Banking & Finance 2.3%
American General Finance Corp.
3.492% due 03/23/2007 (a)	$	8,700		$	8,698
Caterpillar Financial Services Corp.
2.625% due 01/30/2007		150			147
CIT Group, Inc.
3.504% due 05/23/2008 (a)		9,200			9,207
Citigroup, Inc.
3.270% due 11/01/2007 (a)		3,600			3,604
Export-Import Bank of Korea
6.500% due 11/15/2006		7,000			7,220
7.100% due 03/15/2007		6,700			7,023
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)		5,810			5,808
7.600% due 08/01/2005		28,432			28,496
6.875% due 02/01/2006		18,700			18,890
6.500% due 02/15/2006		1,000			1,008
General Electric Capital Corp.
2.750% due 09/25/2006		200			197
3.425% due 01/15/2008 (a)		22,700			22,732
General Motors Acceptance Corp.
7.500% due 07/15/2005		1,500			1,501
4.395% due 10/20/2005 (a)		46,390			46,434
4.145% due 05/18/2006 (a)		7,500			7,466
6.125% due 09/15/2006		3,940			3,944
6.125% due 01/22/2008		750			726
7.430% due 12/01/2021		203			206
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008		16,500			15,564
Golden West Financial Corp.
5.500% due 08/08/2006		700			711
Goldman Sachs Group, Inc.
7.625% due 08/17/2005		1,250			1,256
3.380% due 08/01/2006 (a)		27,600			27,604
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)		42,600			42,374
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		6,400			6,583
5.954% due 07/03/2008 (a)		6,500			6,686
7.004% due 07/03/2008 (a)		3,000			2,565
Premium Asset Trust
3.420% due 10/06/2005 (a)		800			800
Prudential Financial, Inc.
4.104% due 11/15/2006 (a)		21,500			21,567
Putnam CBO I Ltd.
3.970% due 06/12/2009 (a)		1,684			1,692
State Street Capital Trust II
3.768% due 02/15/2008 (a)		12,000			12,023
Vita Capital Ltd.
4.854% due 01/01/2007 (a)		3,800			3,808
					316,540
Industrials 0.8%
Altria Group, Inc.
6.950% due 06/01/2006		25,000			25,598
7.650% due 07/01/2008		7,500			8,171
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		20,700			20,730
7.250% due 01/18/2006		13,250			13,458
3.890% due 05/24/2006 (a)		1,400			1,404
4.050% due 06/04/2008		80			79
El Paso CGP Co.
6.500% due 05/15/2006		6,350			6,461
7.625% due 09/01/2008		1,075			1,105
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (c)		8,300			4,108
Federal-Mogul Corp.
7.500% due 07/01/2004 (c)		28,600			7,293
HCA, Inc.
8.850% due 01/01/2007		1,200			1,271
ITT Corp.
6.750% due 11/15/2005		2,000			2,023
Pemex Project Funding Master Trust
9.375% due 12/02/2008		8,900			10,168
Sonat, Inc.
6.750% due 10/01/2007		3,815			3,796
Texas Mining Co.
6.875% due 08/01/2005		2,000			2,005
Tyco International Group S.A.
6.375% due 02/15/2006		3,300			3,345
Unilever Capital Corp.
6.875% due 11/01/2005		1,250			1,263
United Airlines, Inc.
2.020% due 03/02/2049 (a)		798			772
					113,050
Utilities 1.0%
CenterPoint Energy Resources Corp.
8.125% due 07/15/2005		4,000			4,004
Entergy Mississippi, Inc.
4.350% due 04/01/2008		34,480			34,299
France Telecom S.A.
7.200% due 03/01/2006 (a)		66,900			68,376
Oncor Electric Delivery Co.
5.000% due 09/01/2007		2,600			2,639
Pacific Gas & Electric Co.
4.204% due 04/03/2006 (a)		11,250			11,250
Sprint Capital Corp.
6.000% due 01/15/2007		9,500			9,739
					130,307
Total Corporate Bonds & Notes (Cost $582,390)					559,897
U.S. GOVERNMENT AGENCIES 19.7%
Fannie Mae
0.950% due 03/25/2009 (a)(d)		1,623			21
3.000% due 08/15/2007		120			118
3.066% due 01/01/2021 (a)		54			53
3.111% due 04/26/2035 (a)		15,701			15,711
3.125% due 07/01/2017 (a)		80			80
3.250% due 08/15/2008		32			31
3.319% due 09/22/2006 (a)		57,600			57,584
3.373% due 11/01/2017 (a)		56			57
3.545% due 11/01/2018 (a)		5			5
3.547% due 07/01/2042 (a)		50,190			50,701
3.560% due 08/01/2017 (a)		12			12
3.567% due 07/01/2018 (a)		16			16
3.597% due 09/01/2041 (a)		48,805			49,793
3.610% due 11/01/2017 (a)		118			119
3.660% due 06/01/2017 (a)		27			27
3.664% due 03/25/2044 (a)		2,096			2,099
3.714% due 06/25/2032 (a)		215			215
3.747% due 10/01/2030 - 11/01/2039 (a)(f)		3,486			3,575
3.750% due 09/15/2008		120			119
3.772% due 12/01/2017 (a)		38			38
3.930% due 07/25/2017 (a)		860			880
3.944% due 04/25/2022 (a)		34			34
4.000% due 05/01/2011		348			344
4.087% due 07/01/2017 (a)		107			108
4.274% due 11/01/2027 (a)		248			255
4.285% due 07/01/2023 (a)		100			102
4.398% due 01/01/2024 (a)		18			18
4.491% due 02/01/2028 (a)		18			18
4.500% due 06/01/2011 - 07/19/2020 (f)		46,529			46,329
4.551% due 01/01/2028 (a)		132			135
4.563% due 02/01/2028 (a)		748			777
4.711% due 04/01/2024 (a)		396			407
4.749% due 04/01/2018 (a)		1,855			1,899
4.799% due 01/01/2024 (a)		378			392
4.961% due 06/01/2022 (a)		16			17
4.997% due 12/01/2023 (a)		60			61
5.000% due 07/01/2014 - 08/11/2035 (f)		1,524,133			1,541,331
5.009% due 10/01/2024 (a)		612			633
5.482% due 09/01/2032 (a)		4,474			4,552
5.500% due 10/01/2008 - 07/14/2035 (f)		437,884			445,335
6.000% due 03/01/2009 - 05/01/2033 (f)		111,099			114,943
6.228% due 08/01/2029 (a)		1,875			1,901
6.500% due 09/01/2005 - 12/25/2042 (f)		22,504			23,149
7.000% due 01/01/2008 - 01/01/2032 (f)		17,304			17,864
7.500% due 02/01/2013		13			13
8.000% due 12/25/2021 - 11/01/2031 (f)		7,403			7,957
8.500% due 02/01/2017 - 04/01/2025 (f)		377			409
8.800% due 01/25/2019		169			184
9.000% due 03/25/2021 - 01/01/2025 (f)		673			739
9.250% due 10/25/2018		11			12
9.500% due 03/25/2020 - 11/01/2025 (a)(f)		1,679			1,865
10.000% due 10/01/2009 - 01/01/2025 (f)		148			158
10.500% due 07/01/2014 - 12/01/2024 (f)		12			13
11.000% due 11/01/2020		10			11
11.250% due 10/01/2015		12			13
11.500% due 11/01/2019 - 02/01/2020 (f)		12			13
11.750% due 02/01/2016		12			14
12.000% due 01/01/2015		3			4
13.000% due 07/01/2015		4			4
13.250% due 09/01/2011		5			6
15.500% due 10/01/2012 - 12/01/2012 (f)		1			1
15.750% due 12/01/2011		7			9
16.000% due 09/01/2012 - 12/01/2012 (f)		4			4
256.000% due 11/01/2008 (d)		1			4
Federal Home Loan Bank
2.250% due 09/13/2005 - 05/15/2006 (f)		100			99
3.500% due 08/15/2006		105			105
4.200% due 02/05/2007 (a)		11,100			10,323
Federal Housing Administration
7.421% due 11/01/2019		40			41
7.430% due 10/01/2019 - 11/01/2025 (f)		11,276			11,415
Freddie Mac
2.750% due 10/15/2006		120			118
3.670% due 11/15/2030 (a)		26			26
4.000% due 09/15/2015 - 01/15/2024 (f)		6,270			948
4.011% due 08/15/2032 (a)		1,492			1,494
4.031% due 07/01/2018 (a)		90			92
4.125% due 02/24/2011		30			30
4.183% due 12/01/2022 (a)		109			112
4.200% due 10/15/2020 (a)		113			113
4.211% due 09/01/2023 (a)		53			54
4.228% due 10/01/2023 (a)		279			286
4.232% due 11/01/2022 (a)		442			453
4.240% due 11/01/2023 (a)		88			90
4.250% due 03/15/2021 (a)		86			86
4.302% due 02/01/2020 (a)		584			591
4.365% due 01/01/2024 (a)		507			521
4.375% due 03/01/2017 (a)		70			71
4.453% due 06/01/2024 (a)		153			157
4.500% due 06/01/2018		66			66
4.698% due 01/01/2024 (a)		208			215
4.750% due 12/08/2010 - 10/11/2012 (f)		70			70
4.857% due 03/01/2024 (a)		24			25
4.875% due 02/01/2023 (a)		11			11
5.000% due 04/15/2016		26,637			26,841
5.026% due 10/01/2027 (a)		88			90
5.500% due 12/01/2017 - 07/15/2034 (f)		16,850			17,187
6.000% due 06/01/2006 - 01/01/2033 (f)		29,954			30,971
6.500% due 08/15/2011 - 07/25/2043 (f)		102,174			107,280
7.000% due 01/01/2030 - 04/01/2032 (f)		153			161
7.500% due 09/01/2006 - 07/15/2030 (f)		1,457			1,515
8.000% due 07/01/2006 - 12/01/2024 (f)		633			672
8.250% due 10/01/2007 - 01/01/2009 (f)		7			7
8.500% due 01/01/2007 - 11/01/2025 (f)		1,528			1,669
9.000% due 12/15/2020 - 08/01/2022 (f)		758			795
9.500% due 03/01/2010 - 09/01/2021 (f)		202			208
9.750% due 11/01/2008		86			91
10.000% due 03/01/2016 - 05/15/2020 (f)		96			102
10.500% due 10/01/2010 - 02/01/2016 (f)		5			5
10.750% due 09/01/2009 - 08/01/2011 (f)		30			33
11.500% due 10/01/2015 - 01/01/2016 (f)		10			10
11.750% due 11/01/2010 - 08/01/2015 (f)		2			2
14.000% due 09/01/2012 - 04/01/2016 (f)		3			3
14.500% due 12/01/2010		1			1
15.000% due 08/01/2011 - 12/01/2011 (f)		1			1
Government National Mortgage Association
3.375% due 04/20/2016 - 05/20/2030 (a)(f)		4,765			4,835
3.500% due 07/20/2030 (a)		63			64
3.750% due 08/20/2022 - 07/20/2027 (a)(f)		8,391			8,525
3.786% due 12/16/2025 (a)		351			354
4.000% due 01/20/2032 - 02/20/2032 (a)(f)		19,178			19,448
4.125% due 10/20/2023 - 12/20/2027 (a)(f)		6,384			6,493
4.375% due 03/20/2017 - 03/20/2027 (a)(f)		10,024			10,197
4.500% due 01/20/2031 - 03/20/2031 (f)		634			647
4.625% due 03/20/2019 (a)		55			55
6.000% due 01/15/2029 - 10/15/2032 (f)		548			566
6.500% due 09/15/2032 - 05/15/2034 (f)		120			125
7.000% due 03/15/2011 - 10/15/2011 (f)		34			36
7.500% due 02/15/2007 - 09/15/2031 (f)		487			525
8.000% due 11/15/2006 - 06/20/2031 (f)		4,517			4,889
8.500% due 12/15/2021 - 08/15/2030 (f)		169			185
9.000% due 06/20/2016 - 11/15/2030 (f)		843			934
9.500% due 10/15/2016 - 06/15/2025 (f)		32			36
9.750% due 08/15/2017		24			27
10.000% due 10/15/2013 - 11/15/2020 (f)		11			12
10.500% due 11/15/2019 - 02/15/2021 (f)		3			3
11.000% due 09/15/2010		1			1
11.500% due 08/15/2018		9			10
11.750% due 08/15/2013 - 08/15/2015 (f)		25			28
12.000% due 06/20/2015		2			2
13.000% due 10/15/2013		5			5
13.500% due 05/15/2011 - 11/15/2012 (f)		9			10
16.000% due 02/15/2012		9			11
Small Business Administration
7.640% due 03/10/2010		963			1,037
Total U.S. Government Agencies (Cost $2,656,712)					2,667,607
U.S. TREASURY OBLIGATIONS 0.2%
Treasury Inflation Protected Security (e)
2.000% due 07/15/2014		274			282
U.S. Treasury Bonds
7.875% due 02/15/2021		1,300			1,834
6.250% due 08/15/2023		19,500			24,307
U.S. Treasury Notes
2.750% due 07/31/2006		514			510
2.500% due 09/30/2006		130			128
2.875% due 11/30/2006		135			134
3.125% due 01/31/2007		125			124
2.625% due 05/15/2008		532			517
3.250% due 08/15/2008		500			494
3.625% due 07/15/2009		60			60
4.875% due 02/15/2012		1,800			1,912
Total U.S. Treasury Obligations (Cost $30,310)					30,302
MORTGAGE-BACKED SECURITIES 8.4%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (a)		109,759			109,214
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		374,900			370,589
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2031		19,068			19,675
5.549% due 10/20/2032 (a)		3,626			3,650
Bear Stearns Adjustable Rate Mortgage Trust
4.314% due 11/25/2030 (a)		365			370
5.259% due 10/25/2032 (a)		1,170			1,169
6.083% due 10/25/2032 (a)		167			169
5.345% due 01/25/2033 (a)		7,418			7,488
5.632% due 01/25/2033 (a)		3,403			3,442
5.081% due 03/25/2033 (a)		18,152			18,177
5.431% due 03/25/2033 (a)		34,871			35,457
4.854% due 01/25/2034 (a)		33,427			33,472
Bear Stearns Alt-A Trust
5.448% due 05/25/2035 (a)		66,668			67,942
Citicorp Mortgage Securities, Inc.
5.375% due 12/01/2019 (a)		22			23
5.750% due 02/25/2033		2,548			2,554
Commercial Mortgage Pass-Through Certificates
3.440% due 09/15/2014 (a)		7,000			6,988
Countrywide Alternative Loan Trust
6.500% due 06/25/2033		26,220			26,490
Countrywide Home Loan Mortgage Pass-Through Trust
3.604% due 04/25/2035 (a)		14,451			14,451
CS First Boston Mortgage Securities Corp.
7.500% due 03/25/2031		294			294
3.226% due 03/25/2032 (a)		19,871			19,902
3.350% due 03/25/2032 (a)		10,566			10,494
6.252% due 06/25/2032 (a)		1,395			1,397
5.672% due 10/25/2032 (a)		2,631			2,633
3.400% due 08/25/2033 (a)		631			634
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		195			216
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019		141			157
5.615% due 05/25/2024 (a)		85			85
Drexel Burnham Lambert CMO Trust
3.875% due 05/01/2016 (a)		6			6
GSR Mortgage Loan Trust
6.000% due 03/25/2032		5,103			5,120
Imperial Savings Association
8.428% due 02/25/2018 (a)		75			75
International Mortgage Acceptance Corp.
12.250% due 03/01/2014		33			36
MASTR Adjustable Rate Mortgages Trust
3.787% due 12/21/2034 (a)		28,990			28,917
MASTR Asset Securitization Trust
5.500% due 09/25/2033		34,165			34,357
Mellon Residential Funding Corp.
3.894% due 07/25/2029 (a)		2,489			2,508
3.460% due 06/15/2030 (a)		43,579			43,556
Merrill Lynch Mortgage Investors, Inc.
4.505% due 02/25/2035 (a)		45,045			44,825
Nationslink Funding Corp.
3.540% due 11/10/2030 (a)		699			701
Prime Mortgage Trust
3.714% due 02/25/2019 (a)		3,500			3,507
3.714% due 02/25/2034 (a)		14,512			14,545
Prudential Home Mortgage Securities
7.500% due 09/25/2007		68			68
Prudential-Bache Trust
8.400% due 03/20/2021		544			543
Resecuritization Mortgage Trust
3.564% due 04/26/2021 (a)		366			354
Ryland Acceptance Corp.
11.500% due 12/25/2016		3			3
Salomon Brothers Mortgage Securities VII, Inc.
8.000% due 09/25/2030		45			46
Sears Mortgage Securities
12.000% due 02/25/2014		16			16
Sequoia Mortgage Trust
3.560% due 08/20/2032 (a)		18,838			18,844
SLH Mortgage Trust
9.600% due 03/25/2021		177			177
Structured Asset Mortgage Investments, Inc.
9.544% due 06/25/2029 (a)		1,384			1,450
3.590% due 09/19/2032 (a)		35,445			35,292
Structured Asset Securities Corp.
6.250% due 01/25/2032 (a)		1,319			1,350
6.150% due 07/25/2032 (a)		1,441			1,448
3.604% due 01/25/2033 (a)		754			757
3.484% due 12/25/2034 (a)		12,374			12,382
Torrens Trust
3.480% due 07/15/2031 (a)		1,582			1,583
Vendee Mortgage Trust
6.500% due 05/15/2029		41,678			44,182
Washington Mutual Mortgage Securities Corp.
5.689% due 07/25/2032 (a)		1,194			1,195
4.816% due 10/25/2032 (a)		198			200
5.067% due 02/25/2033 (a)		3,469			3,501
5.380% due 02/25/2033 (a)		861			863
3.765% due 02/27/2034 (a)		19,361			19,339
3.904% due 06/25/2042 (a)		29,721			30,037
3.746% due 08/25/2042 (a)		21,705			21,822
Total Mortgage-Backed Securities (Cost $1,135,966)					1,130,737
ASSET-BACKED SECURITIES 5.4%
AAA Trust
3.414% due 04/25/2035 (a)		63,781			63,891
Accredited Mortgage Loan Trust
3.414% due 07/25/2035 (a)		8,931			8,934
Aegis Asset-Backed Securities Trust
3.434% due 03/25/2035 (a)		15,285			15,297
Ameriquest Mortgage Securities, Inc.
3.584% due 08/25/2032 (a)		179			179
Amortizing Residential Collateral Trust
3.574% due 09/25/2030 (a)		474			474
3.604% due 07/25/2032 (a)		744			735
Argent Securities, Inc.
3.494% due 11/25/2034 (a)		14,016			14,025
Asset-Backed Securities Corp. Home Equity Loan Trust
3.480% due 06/15/2031 (a)		7			7
3.474% due 12/25/2034 (a)		8,023			8,030
Bear Stearns Asset-Backed Securities, Inc.
3.764% due 03/25/2043 (a)		20,583			20,626
Carrington Mortgage Loan Trust
3.404% due 05/25/2035 (a)		28,370			28,357
3.240% due 06/25/2035 (a)		13,800			13,791
Chase Funding Mortgage Loan Asset-Backed Certificates
3.634% due 11/25/2031 (a)		8,992			9,017
CIT Group Home Equity Loan Trust
3.584% due 06/25/2033 (a)		4,657			4,670
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		20,600			20,616
Colonial Advisory Services CBO I Ltd.
3.696% due 06/20/2008 (a)		1,825			1,822
Community Program Loan Trust
4.500% due 10/01/2018		7,248			7,247
Countrywide Asset-Backed Certificates
3.504% due 10/25/2021 (a)		23,863			23,882
3.624% due 03/25/2034 (a)		27,025			27,043
3.404% due 03/25/2035 (a)		16,982			16,998
3.434% due 03/25/2035 (a)		20,106			20,093
3.380% due 06/25/2035 (a)		26,500			26,521
3.380% due 10/25/2035 (a)		98,671			98,763
Credit-Based Asset Servicing & Securitization LLC
3.634% due 06/25/2032 (a)		1,088			1,090
EQCC Home Equity Loan Trust
3.380% due 10/15/2027 (a)		33			33
Equity One ABS, Inc.
3.594% due 11/25/2032 (a)		11,217			11,247
Finance America Mortgage Loan Trust
3.484% due 06/25/2034 (a)		20,841			20,858
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.394% due 03/25/2034 (a)		753			753
First NLC Trust
3.436% due 09/25/2035 (a)		27,850			27,863
Ford Credit Auto Owner Trust
3.790% due 09/15/2006		5,790			5,796
Fremont Home Loan Trust
3.424% due 02/25/2035 (a)		7,597			7,604
GRMT II LLC
3.510% due 06/20/2032 (a)		14			14
GSAMP Trust
3.464% due 08/25/2034 (a)		3,291			3,293
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 09/20/2033 (a)		24,674			24,770
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		2,918			2,925
3.610% due 02/20/2033 (a)		27,604			27,679
Impac CMB Trust
3.564% due 01/25/2034 (a)		28,875			28,836
Indymac Home Equity Loan Asset-Backed Trust
3.504% due 11/25/2034 (a)		23,068			23,084
Irwin Home Equity Loan Trust
3.689% due 06/25/2021 (a)		19			19
IXIS Real Estate Capital Trust
3.394% due 09/25/2035 (a)		42,601			42,608
Mastr Asset-Backed Securities Trust
3.504% due 09/25/2034 (a)		18,525			18,542
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (a)		73			73
Ocwen Mortgage Loan Asset-Backed Certificates
3.934% due 10/25/2029 (a)		12			12
Park Place Securities, Inc.
3.434% due 01/25/2036 (a)		4,254			4,258
Renaissance Home Equity Loan Trust
3.664% due 08/25/2032 (a)		1,634			1,639
Residential Asset Mortgage Products, Inc.
3.444% due 05/25/2027 (a)		11,510			11,523
Residential Asset Securities Corp.
3.544% due 06/25/2031 (a)		13			13
SLM Student Loan Trust
3.141% due 04/25/2010 (a)		35,949			35,962
WMC Mortgage Loan
3.560% due 05/15/2030 (a)		714			714
Total Asset-Backed Securities (Cost $731,303)					732,226
SOVEREIGN ISSUES 1.7%
Republic of Brazil
4.250% due 04/15/2006 (a)		20,912			20,934
4.313% due 04/15/2009 (a)		29,884			29,659
4.313% due 04/15/2009 (a)		1,318			1,308
4.313% due 04/15/2012 (a)		12,683			12,270
8.000% due 04/15/2014		14,144			14,579
Republic of Panama
8.250% due 04/22/2008		5,500			6,023
9.375% due 07/23/2012		480			583
Republic of Peru
9.125% due 02/21/2012		1,150			1,351
Russian Federation
8.750% due 07/24/2005		94,900			95,251
10.000% due 06/26/2007		19,800			21,845
8.250% due 03/31/2010 (a)		24,800			27,116
United Mexican States
4.625% due 10/08/2008		380			383
6.375% due 01/16/2013		140			151
Total Sovereign Issues (Cost $229,202)					231,453
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar March Futures (CME)
Strike @ 93.750 Exp. 03/13/2006		15,120			95
Eurodollar September Futures (CME)
Strike @ 95.375 Exp. 09/19/2005		2,270			14
Total Purchased Put Options (Cost $166)					109
		Shares
PREFERRED SECURITY 0.8%
DG Funding Trust
3.360% due 12/29/2049 (a)		9,632			103,604
Total Preferred Security (Cost $101,505)					103,604
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		309,500			17,245
Home Ownership Funding
13.331% due 12/31/2049		8,625			2,950
Total Preferred Stock (Cost $21,474)					20,195
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS (k) 63.6%
Certificates of Deposit 6.9%
Citibank New York N.A.
3.195% due 08/16/2005	$	217,400			217,400
3.360% due 09/19/2005		72,700			72,148
Unicredito Italiano SpA
3.037% due 07/07/2005		46,600			46,600
3.150% due 08/05/2005		31,800			31,800
3.152% due 08/09/2005		87,400			87,400
3.235% due 08/25/2005		81,100			81,101
Wells Fargo Bank, N.A.
3.270% due 07/27/2005		400,000			400,000
					936,449
Commercial Paper 42.4%
Anz National International Ltd.
3.110% due 08/04/2005		141,400			140,985
Bank of America, N.A.
3.275% due 08/09/2005		370,000			368,687
Bank of Ireland
3.120% due 08/25/2005		49,100			48,866
3.360% due 10/18/2005		150,000			148,431
Barclays U.S. Funding Corp.
3.390% due 09/26/2005		95,000			94,213
BNP Paribas Finance, Inc.
3.365% due 10/17/2005		30,000			29,689
Carolina Power & Light Co.
3.670% due 10/11/2005		5,700			5,644
CDC IXIS Commercial Paper, Inc.
2.955% due 07/11/2005		27,000			26,978
Danske Corp.
3.370% due 09/13/2005		11,246			11,167
Dexia Delaware LLC
3.110% due 08/02/2005		15,000			14,959
3.110% due 08/04/2005		51,400			51,249
3.235% due 08/15/2005		100,000			99,596
3.180% due 08/18/2005		77,300			76,972
Fannie Mae
2.967% due 07/01/2005		373,800			373,800
2.973% due 07/01/2005		74,415			74,415
2.988% due 07/20/2005		1,000			998
3.010% due 08/01/2005		116,000			115,699
3.030% due 08/03/2005		5,600			5,585
2.990% due 08/08/2005		175,300			174,747
3.250% due 09/14/2005		11,800			11,716
3.314% due 09/21/2005		10,900			10,815
3.315% due 09/21/2005		4,100			4,068
3.179% due 09/28/2005		21,800			21,615
3.257% due 09/28/2005		29,041			28,795
Federal Home Loan Bank
2.963% due 07/01/2005		373,800			373,800
2.947% due 07/13/2005		300,000			299,691
3.210% due 07/27/2005		24,600			24,543
3.380% due 10/11/2005		25,100			24,855
Ford Motor Credit Co.
3.400% due 08/26/2005		7,800			7,759
Freddie Mac
2.956% due 07/05/2005		900,000			899,691
2.939% due 08/01/2005		7,600			7,580
2.940% due 08/01/2005		223,700			223,130
2.941% due 08/01/2005		3,800			3,790
3.150% due 08/30/2005		50,000			49,718
3.175% due 09/06/2005		15,600			15,501
3.155% due 09/07/2005		9,000			8,942
3.296% due 09/20/2005		10,800			10,717
3.300% due 09/20/2005		1,617			1,605
General Electric Capital Corp.
3.370% due 09/22/2005		1,900			1,885
HBOS Treasury Services PLC
3.040% due 07/18/2005		95,300			95,163
3.050% due 07/22/2005		97,500			97,327
3.125% due 08/03/2005		8,600			8,575
3.190% due 08/24/2005		32,000			31,847
ING U.S. Funding LLC
3.110% due 08/03/2005		35,900			35,798
KFW International Finance, Inc.
3.100% due 07/25/2005		1,000			998
National Australia Funding, Inc.
3.235% due 07/18/2005		140,800			140,585
Oesterreichische Kontrollbank AG
2.950% due 07/18/2005		77,500			77,392
Procter & Gamble Co.
3.145% due 08/17/2005		50,000			49,795
Rabobank USA Financial Corp.
3.030% due 07/20/2005		102,100			101,937
3.410% due 09/30/2005		61,000			60,471
Royal Bank of Canada PLC
3.030% due 07/15/2005		100,000			99,882
3.190% due 08/22/2005		50,000			49,770
Spintab AB
3.110% due 08/23/2005		100,000			99,542
Statens Bostadsfin Bank
3.180% due 08/16/2005		75,000			74,695
Toyota Motor Credit Corp.
3.260% due 07/29/2005		70,000			69,823
UBS Finance Delaware LLC
3.030% due 07/01/2005		48,700			48,700
3.060% due 07/08/2005		218,800			218,670
3.070% due 07/08/2005		146,400			146,313
Westpac Capital Corp.
3.390% due 09/26/2005		12,600			12,496
Westpac Trust Securities NZ Ltd.
3.390% due 09/26/2005		500			496
Westpac Trust Securities NZ Ltd. London
2.955% due 07/11/2005		159,800			159,669
2.985% due 07/15/2005		158,600			158,416
					5,731,256
French Treasury Bills 4.7%
2.004% due 07/13/2005-09/22/2005 (f)	EC	521,820			629,876
Repurchase Agreements 9.2%
Credit Suisse First Boston
2.700% due 07/01/2005	$	343,000			343,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500%-4.000% due 08/15/2009-03/15/2010 valued at $350,766. Repurchase proceeds are $343,026.)
State Street Bank
2.650% due 07/01/2005		6,508			6,508
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $6,641. Repurchase proceeds are $6,508.)
UBS Warburg LLC
2.650% due 07/01/2005		900,000			900,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Strips 0.000% due 02/15/2018-08/15/2027 valued at $919,813. Repurchase proceeds are $900,066.)
					1,249,508
U.S. Treasury Bills 0.4%
2.939% due 09/01/2005-09/15/2005(f)(g)(h)		58,225			57,834
Total Short-Term Instruments (Cost $8,622,819)					8,604,923
Total Investments (b) (Cost $14,111,847)		104.1	%	$	14,081,053
Other Assets and Liabilities (Net)		(4.1	%)		(553,456	)
Net Assets		100.0	%	$	13,527,597

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) As of June 30, 2005, portfolio securities with an aggregate market value of $610,318 were valued with reference to securities whose prices are more readily obtainable.

(c) Security is in default.

(d) Interest only security.

(e) Principal amount of security is adjusted for inflation.

(f) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(g) Securities with an aggregate market value of $4,971 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(h) Securities with an aggregate market value of $51,172 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	32,621	$	7,370
Eurodollar June Long Futures	06/2006	4,676		(107	)
Eurodollar September Long Futures	09/2005	8,784		(16,344	)
Eurodollar September Long Futures	09/2006	1,597		699
Eurodollar December Long Futures	12/2005	11,600		(13,069	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	270		186
			$	(21,265	)

(i) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2032	BP	83,600	$	(6,666	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2032	EC	135,100		19,084
								$	12,418

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/ Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Morgan Stanley Dean Witter & Co.	Telecom Italia SpA 6.250% due 02/01/2012	Sell	0.150	%	10/07/2005	EC	14,400	$	1
ABN AMRO Bank, N.V.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2006	$	200		4
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.350	%	06/20/2006		9,300		147
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		20,000		818
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		8,900		415
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	06/20/2007		8,000		381
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.650	%	06/20/2007		1,500		50
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		8,600		152
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	06/20/2006		2,000		40
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	09/20/2006		6,000		147
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.640	%	03/20/2007		25,000		68
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	03/20/2007		9,500		33
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		5,000		233
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		12,000		218
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	06/20/2007		3,200		30
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	4.480	%	06/20/2007		12,000		180
J.P. Morgan Chase & Co.	America International Group, Inc. 4.250% due 05/15/2013	Sell	0.080	%	06/20/2006		25,000		(24	)
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		10,000		182
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.500	%	06/20/2006		8,700		180
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.625	%	03/20/2007		50,000		121
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.690	%	03/20/2007		40,300		147
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/24/2005		15,300		74
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.970	%	07/31/2005		14,300		66
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		4,500		4
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.900	%	06/20/2006		3,200		47
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.630	%	03/20/2007		25,000		63
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		1,500		73
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	7.200	%	06/20/2008		2,000		106
Morgan Stanley Dean Witter & Co.	Telecom Italia SpA 6.250% due 02/01/2012	Sell	0.150	%	07/05/2005		14,400		6
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/22/2005		21,200		101
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.400	%	06/20/2007		5,000		115
Morgan Stanley Dean Witter & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	7.570	%	06/20/2008		5,000		313
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.300	%	06/20/2006		6,000		112
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.100	%	06/20/2006		10,900		253
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.200	%	06/20/2006		10,000		242
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		3,000		62
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2007		1,500		33
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		5,000		233
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.410	%	06/20/2007		5,000		116
								$	5,542

(j) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	131,000	$	132,474	$	132,515

(k) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	8,842	07/2005	$	499	$	0		$	499
Sell		8,842	07/2005		0		(231	)		(231	)
Buy		9,258	08/2005		256		0			256
Sell		9,258	08/2005		0		(254	)		(254	)
Buy		90,772	09/2005		5,485		0			5,485
Sell		90,771	09/2005		0		(2,880	)		(2,880	)
Buy	CP	2,626,786	08/2005		11		0			11
Buy		2,060,468	09/2005		77		0			77
Buy	EC	49,564	07/2005		246		(11	)		235
Sell		545,278	07/2005		19,052		0			19,052
Buy		239,185	08/2005		986		0			986
Sell		315,386	08/2005		467		(634	)		(167	)
Buy	JY	11,893,468	07/2005		0		(4,454	)		(4,454	)
Buy	KW	6,615,321	07/2005		0		(226	)		(226	)
Buy		3,621,900	08/2005		0		(100	)		(100	)
Buy		4,012,000	09/2005		0		(78	)		(78	)
Buy	MP	33,463	08/2005		79		0			79
Buy		38,152	09/2005		11		0			11
Buy	PN	10,696	08/2005		3		0			3
Buy		11,883	09/2005		0		0			0
Buy	PZ	11,309	08/2005		0		0			0
Buy		11,547	09/2005		0		(13	)		(13	)
Buy	RP	233,359	09/2005		10		0			10
Buy	RR	87,616	07/2005		0		(103	)		(103	)
Buy		88,672	08/2005		0		(75	)		(75	)
Buy		103,948	09/2005		0		(16	)		(16	)
Buy	S$	5,168	07/2005		0		(78	)		(78	)
Buy		5,288	08/2005		0		(47	)		(47	)
Buy		5,806	09/2005		0		(25	)		(25	)
Buy	SV	101,262	08/2005		0		(32	)		(32	)
Buy		113,913	09/2005		0		(12	)		(12	)
Buy	T$	103,010	08/2005		0		(55	)		(55	)
Buy		113,242	09/2005		0		(40	)		(40	)
				$	27,182	$	(9,364	)	$	17,818

See accompanying notes

Schedule of Investments

Low Duration Fund II

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 4.9%
Banking & Finance 4.0%
American General Finance Corp.
3.492% due 03/23/2007 (a)	$	300		$	300
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)		5,700			5,698
General Motors Acceptance Corp.
4.070% due 04/13/2006 (a)		6,400			6,375
6.125% due 09/15/2006		600			600
Goldman Sachs Group, Inc.
3.491% due 07/23/2009 (a)		3,700			3,723
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)		1,900			1,890
Prudential Financial, Inc.
4.104% due 11/15/2006 (a)		1,000			1,003
Toyota Motor Credit Corp.
3.200% due 09/18/2006 (a)		5,600			5,601
					25,190
Industrials 0.9%
Altria Group, Inc.
7.650% due 07/01/2008		4,500			4,903
DaimlerChrysler NA Holding Corp.
3.890% due 05/24/2006 (a)		500			501
4.270% due 09/26/2005 (a)		200			200
					5,604
Total Corporate Bonds & Notes (Cost $30,822)					30,794
U.S. GOVERNMENT AGENCIES 25.3%
Fannie Mae
3.111% due 11/28/2035 (a)		754			754
3.319% due 09/22/2006 (a)		2,300			2,299
3.547% due 07/01/2042 (a)		2,053			2,074
3.597% due 09/01/2041 (a)		2,009			2,050
3.747% due 08/01/2030 - 10/01/2030 (a)(c)		1,316			1,351
3.764% due 09/25/2030 (a)		422			424
4.413% due 09/01/2028 (a)		393			396
4.500% due 02/01/2020 - 07/19/2020 (c)		1,965			1,957
4.625% due 01/01/2024 (a)		203			209
5.000% due 11/01/2017 - 08/16/2020 (c)		84,187			85,110
5.500% due 01/01/2009 - 03/01/2035 (c)		40,635			41,274
6.000% due 03/01/2016 - 11/01/2033 (c)		5,712			5,910
6.500% due 09/01/2012 - 12/25/2042 (c)		532			554
8.000% due 11/25/2023		403			433
9.250% due 10/25/2018		11			12
10.500% due 05/01/2012		162			181
Federal Home Loan Bank
4.200% due 02/05/2007 (a)		500			465
Federal Housing Administration
7.430% due 07/01/2024		1,485			1,503
Freddie Mac
3.715% due 07/01/2023 (a)		105			108
5.000% due 11/01/2018		1,602			1,622
6.000% due 02/01/2016 - 09/01/2016 (c)		638			660
6.500% due 07/25/2043		3,408			3,563
8.500% due 06/01/2009 - 06/01/2025 (c)		41			44
Government National Mortgage Association
3.375% due 04/20/2022 - 05/20/2027 (a)(c)		1,909			1,937
3.500% due 07/15/2030 (a)		964			972
3.750% due 07/20/2023 - 07/20/2025 (a)(c)		1,045			1,062
3.760% due 09/20/2030 (a)		131			132
4.125% due 10/20/2025 (a)		888			905
7.000% due 11/15/2022		205			218
7.500% due 02/15/2022 - 03/15/2024 (c)		428			462
7.750% due 01/17/2030		71			73
8.000% due 03/15/2023 - 09/15/2024 (c)		125			136
9.000% due 07/20/2016 - 10/15/2030 (c)		254			280
Total U.S. Government Agencies (Cost $158,326)					159,130
U.S. TREASURY OBLIGATIONS 0.9%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		1,746			1,704
1.625% due 01/15/2015		2,038			2,031
2.000% due 01/15/2014		2,001			2,061
U.S. Treasury Note
4.875% due 02/15/2012		100			106
Total U.S. Treasury Obligations (Cost $5,906)					5,902
MORTGAGE-BACKED SECURITIES 7.8%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (a)		4,752			4,728
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		16,900			16,706
Bear Stearns Adjustable Rate Mortgage Trust
4.854% due 01/25/2034 (a)		1,235			1,236
5.259% due 10/25/2032 (a)		60			60
5.345% due 02/25/2033 (a)		417			421
5.431% due 03/25/2033 (a)		1,669			1,697
5.632% due 02/25/2033 (a)		179			181
Bear Stearns Alt-A Trust
5.448% due 05/25/2035 (a)		2,713			2,765
Commercial Mortgage Pass-Through Certificates
3.440% due 09/15/2014 (a)		300			299
Countrywide Alternative Loan Trust
6.500% due 06/25/2033		1,090			1,101
CS First Boston Mortgage Securities Corp.
2.478% due 03/25/2032 (a)		1,268			1,270
2.695% due 08/25/2033 (a)		1,393			1,401
5.672% due 10/25/2032 (a)		158			158
6.252% due 06/25/2032 (a)		58			58
DLJ Mortgage Acceptance Corp.
5.615% due 05/25/2024 (a)		43			43
GSR Mortgage Loan Trust
3.445% due 06/25/2034 (a)		4,597			4,533
Merrill Lynch Mortgage Investors, Inc.
4.505% due 02/25/2035 (a)		2,017			2,007
Nationslink Funding Corp.
3.540% due 11/10/2030 (a)		217			218
7.030% due 06/20/2031		65			68
Prime Mortgage Trust
3.714% due 02/25/2019 (a)		165			165
3.714% due 02/25/2034 (a)		736			737
Salomon Brothers Mortgage Securities VII, Inc.
4.364% due 11/25/2022 (a)		58			54
Sequoia Mortgage Trust
3.560% due 08/20/2032 (a)		1,060			1,060
Structured Asset Mortgage Investments, Inc.
3.590% due 09/19/2032 (a)		1,963			1,955
9.544% due 06/25/2029 (a)		859			900
Structured Asset Securities Corp.
3.484% due 12/25/2034 (a)		560			560
3.604% due 01/25/2033 (a)		47			48
6.150% due 07/25/2032 (a)		80			80
Washington Mutual Mortgage Securities Corp.
3.765% due 02/27/2034 (a)		1,559			1,558
3.904% due 06/25/2042 (a)		1,205			1,218
4.816% due 10/25/2032 (a)		1,983			1,998
5.689% due 07/25/2032 (a)		12			12
Total Mortgage-Backed Securities (Cost $49,371)					49,295
ASSET-BACKED SECURITIES 4.9%
AAA Trust
3.414% due 11/26/2035 (a)		2,792			2,797
ACE Securities Corp.
3.424% due 04/25/2034 (a)		235			235
Ameriquest Mortgage Securities, Inc.
3.584% due 08/25/2032 (a)		15			15
Amortizing Residential Collateral Trust
3.604% due 07/25/2032 (a)		43			43
Asset-Backed Securities Corp. Home Equity Loan Trust
4.320% due 03/15/2032 (a)		1,200			1,233
Bear Stearns Asset-Backed Securities, Inc.
3.514% due 06/15/2043 (a)		2,731			2,734
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		600			600
Centex Home Equity
3.326% due 06/25/2035 (a)		6,100			6,099
3.414% due 03/25/2034 (a)		232			232
CIT Group Home Equity Loan Trust
3.584% due 06/25/2033 (a)		267			267
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		900			901
Countrywide Asset-Backed Certificates
3.380% due 06/25/2035 (a)		1,200			1,201
3.380% due 10/25/2035 (a)		4,300			4,304
3.554% due 12/25/2031 (a)		581			582
Credit-Based Asset Servicing & Securitization LLC
3.444% due 09/25/2021 (a)		241			241
3.634% due 06/25/2032 (a)		127			127
Finance America Mortgage Loan Trust
3.484% due 06/25/2034 (a)		929			930
First NLC Trust
3.436% due 09/25/2035 (a)		1,200			1,201
Fremont Home Loan Trust
3.464% due 07/25/2034 (a)		542			542
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		157			157
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (a)		8			8
Park Place Securities, Inc.
3.464% due 10/25/2034 (a)		664			663
Renaissance Home Equity Loan Trust
3.514% due 07/25/2034 (a)		2,249			2,250
Residential Asset Mortgage Products, Inc.
3.454% due 04/25/2026 (a)		3,431			3,434
Terwin Mortgage Trust
3.220% due 09/25/2034 (a)		41			41
Total Asset-Backed Securities (Cost $30,795)					30,837
	# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar March Futures (CME)
Strike @ 93.750 Exp. 03/13/2006		134			1
Eurodollar September Futures (CME)
Strike @ 95.125 Exp. 09/19/2005		370			0
Total Purchased Put Options (Cost $5)					1
	Shares
PREFERRED SECURITY 0.9%
DG Funding Trust
3.360% due 12/29/2049 (a)		510			5,486
Total Preferred Security (Cost $5,100)					5,486
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		12,200			680
Total Preferred Stock (Cost $617)					680
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 63.4%
Certificates of Deposit 4.6%
Citibank New York N.A.
3.195% due 08/16/2005	$	15,100			15,100
Unicredito Italiano SpA
3.090% due 07/21/2005		13,900			13,900
					29,000
Commercial Paper 41.1%
Fannie Mae
2.785% due 07/13/2005		100			100
2.955% due 07/06/2005		100			100
2.967% due 07/01/2005		97,300			97,300
2.988% due 07/20/2005		15,600			15,575
3.005% due 07/27/2005		10,500			10,477
3.023% due 08/03/2005		200			199
3.067% due 08/10/2005		3,600			3,588
3.120% due 08/24/2005		5,500			5,474
3.121% due 08/24/2005		16,500			16,422
3.143% due 08/31/2005		100			99
3.172% due 08/31/2005		3,800			3,778
3.191% due 09/07/2005		1,900			1,888
3.205% due 09/07/2005		300			298
Federal Home Loan Bank
3.210% due 07/27/2005		31,000			30,928
3.225% due 09/09/2005		300			298
Freddie Mac
2.890% due 07/12/2005		2,700			2,698
2.963% due 08/01/2005		100			100
2.996% due 08/09/2005		15,600			15,549
3.000% due 08/08/2005		100			100
3.020% due 08/02/2005		1,200			1,197
3.120% due 08/23/2005		16,500			16,424
3.238% due 11/01/2005		12,000			11,858
3.250% due 09/13/2005		2,700			2,681
3.254% due 11/01/2005		3,200			3,162
3.310% due 11/02/2005		100			99
General Electric Capital Corp.
3.090% due 07/25/2005		15,600			15,568
3.150% due 08/01/2005		2,500			2,493
3.270% due 09/07/2005		100			99
					258,552
Repurchase Agreements 17.3%
Credit Suisse First Boston
2.700% due 07/01/2005		103,000			103,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.750%-6.500% due 05/15/2008-02/15/2010 valued at $105,275. Repurchase proceeds are $103,008.)
State Street Bank
2.650% due 07/01/2005		5,765			5,765
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $5,883. Repurchase proceeds are $5,765.)
					108,765
U.S. Treasury Bills 0.4%
2.936% due 09/01/2005-09/15/2005 (c)(e)		2,125			2,111
Total Short-Term Instruments (Cost $398,442)					398,428
Total Investments (d) (Cost $679,384)		108.2	%	$	680,553
Other Assets and Liabilities (Net)		(8.2	%)		(51,741	)
Net Assets		100.0	%	$	628,812

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $29,428 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $2,111 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	1,587	$	211
Eurodollar June Long Futures	06/2006	211		(5	)
Eurodollar September Long Futures	09/2005	398		(442	)
Eurodollar September Long Futures	09/2006	56		25
Eurodollar December Long Futures	12/2005	36		1
			$	(210	)

(f) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
J.P. Morgan Chase & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.700	%	06/20/2007	$	1,900	$	90

(g) Short sales open at June 30, 2005 were as follows:

Type	Coupon	(%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000		07/19/2020	$	19,000	$	19,214	$	19,220

See accompanying notes

Schedule of Investments

Low Duration Fund III

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 5.7%
Banking & Finance 4.6%
American General Finance Corp.
3.492% due 03/23/2007 (a)	$	100		$	100
Bank of America Corp.
3.584% due 08/26/2005 (a)		600			600
Citigroup Global Markets Holdings, Inc.
3.410% due 03/07/2008 (a)		500			500
Ford Motor Credit Co.
6.875% due 02/01/2006		100			101
7.600% due 08/01/2005		400			401
General Motors Acceptance Corp.
4.070% due 04/13/2006 (a)		1,000			996
4.395% due 10/20/2005 (a)		500			501
Goldman Sachs Group, Inc.
3.491% due 07/23/2009 (a)		600			604
HSBC Finance Corp.
3.360% due 02/28/2007 (a)		800			800
Prudential Financial, Inc.
4.104% due 11/15/2006 (a)		200			201
					4,804
Industrials 0.1%
DaimlerChrysler NA Holding Corp.
3.890% due 05/24/2006 (a)		100			100
Utilities 1.0%
Entergy Mississippi, Inc.
4.350% due 04/01/2008		200			199
France Telecom S.A.
7.200% due 03/01/2006 (a)		300			307
Progress Energy, Inc.
6.050% due 04/15/2007		500			514
					1,020
Total Corporate Bonds & Notes (Cost $5,919)					5,924
U.S. GOVERNMENT AGENCIES 14.3%
Fannie Mae
3.111% due 04/26/2035 (a)		87			87
3.319% due 09/22/2006 (a)		400			400
3.547% due 07/01/2042 (a)		377			381
3.597% due 09/01/2041 (a)		365			373
3.747% due 09/01/2040 (a)		158			162
3.979% due 08/01/2029 (a)		444			448
4.500% due 02/01/2020 - 07/19/2020 (c)		983			979
5.000% due 11/01/2019		983			995
5.500% due 01/01/2009 - 07/14/2035 (c)		8,228			8,345
5.822% due 02/01/2031 (a)		131			131
6.000% due 03/01/2017 - 11/01/2017 (c)		826			855
6.500% due 01/01/2033		42			44
Freddie Mac
3.670% due 11/15/2030 (a)		32			32
5.000% due 11/01/2018		161			163
6.000% due 03/01/2016 - 02/15/2030 (c)		364			370
6.500% due 07/25/2043		418			438
Government National Mortgage Association
3.375% due 06/20/2027 - 05/20/2030 (a)(c)		314			319
4.000% due 02/20/2032 (a)		200			202
8.500% due 10/20/2026		32			35
Total U.S. Government Agencies (Cost $14,682)					14,759
U.S. TREASURY OBLIGATIONS 0.1%
Treasury Inflation Protected Security (b)(e)
3.375% due 01/15/2007		123			127
Total U.S. Treasury Obligations (Cost $126)					127
MORTGAGE-BACKED SECURITIES 7.7%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (a)		857			853
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		3,200			3,163
Bear Stearns Adjustable Rate Mortgage Trust
4.854% due 01/25/2034 (a)		190			190
5.345% due 02/25/2033 (a)		40			41
5.431% due 03/25/2033 (a)		204			208
5.632% due 02/25/2033 (a)		18			18
Bear Stearns Alt-A Trust
5.448% due 05/25/2035 (a)		485			494
Countrywide Alternative Loan Trust
6.500% due 06/25/2033		123			125
CS First Boston Mortgage Securities Corp.
6.252% due 06/25/2032 (a)		7			7
GSR Mortgage Loan Trust
3.445% due 06/01/2034 (a)		653			644
MASTR Adjustable Rate Mortgages Trust
3.787% due 12/21/2034 (a)		142			141
Prime Mortgage Trust
3.714% due 02/25/2034 (a)		123			123
SACO I, Inc.
3.504% due 07/25/2019 (a)		405			405
Structured Asset Securities Corp.
3.484% due 12/25/2034 (a)		112			112
6.250% due 01/25/2032 (a)		36			37
Washington Mutual Mortgage Securities Corp.
3.904% due 06/25/2042 (a)		577			583
5.380% due 02/25/2033 (a)		155			156
Wells Fargo Mortgage-Backed Securities Trust
3.540% due 09/25/2034 (a)		596			594
Total Mortgage-Backed Securities (Cost $7,907)					7,894
ASSET-BACKED SECURITIES 9.2%
AAA Trust
3.414% due 04/25/2035 (a)		698			699
Argent Securities, Inc.
3.494% due 11/25/2034 (a)		90			90
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		100			100
Centex Home Equity
3.326% due 06/25/2035 (a)		1,100			1,100
3.414% due 03/25/2034 (a)		39			39
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		200			200
Countrywide Asset-Backed Certificates
3.380% due 06/25/2035 (a)		200			200
3.380% due 10/25/2035 (a)		800			801
3.464% due 12/25/2034 (a)		226			226
3.504% due 12/25/2034 (a)		172			172
3.554% due 12/25/2031 (a)		97			97
Credit-Based Asset Servicing & Securitization LLC
3.444% due 08/25/2034 (a)		39			39
Equity One ABS, Inc.
3.424% due 07/25/2034 (a)		116			116
Finance America Mortgage Loan Trust
3.484% due 06/25/2034 (a)		162			162
First NLC Trust
3.436% due 09/25/2035 (a)		200			200
Fremont Home Loan Trust
3.464% due 07/25/2034 (a)		96			96
GSAMP Trust
3.494% due 10/01/2034 (a)		416			416
3.604% due 03/25/2034 (a)		312			312
Home Equity Mortgage Trust
3.464% due 12/25/2034 (a)		140			140
Household Mortgage Loan Trust
3.610% due 02/20/2033 (a)		198			198
Indymac Home Equity Loan Asset-Backed Trust
3.504% due 11/25/2034		487			488
Nelnet Student Loan Trust
3.151% due 04/25/2011 (a)		80			80
Park Place Securities, Inc.
3.464% due 10/25/2034 (a)		106			106
Renaissance Home Equity Loan Trust
3.514% due 07/25/2034 (a)		323			323
Residential Asset Mortgage Products, Inc.
3.454% due 04/25/2026 (a)		590			590
Sears Credit Account Master Trust
3.350% due 08/18/2009 (a)		1,100			1,101
3.600% due 11/17/2009 (a)		1,000			1,002
Terwin Mortgage Trust
3.220% due 09/25/2034 (a)		8			8
Truman Capital Mortgage Loan Trust
3.654% due 01/25/2034 (a)		399			399
Wells Fargo Home Equity Trust
3.474% due 09/25/2034 (a)		39			39
Total Asset-Backed Securities (Cost $9,531)					9,539
SOVEREIGN ISSUES 1.7%
Republic of Brazil
4.250% due 04/15/2006 (a)		99			99
4.313% due 04/15/2009 (a)		188			187
8.000% due 04/15/2014		422			435
9.230% due 06/29/2009 (a)		300			348
Russian Federation
8.750% due 07/24/2005		700			703
Total Sovereign Issues (Cost $1,752)					1,772
	# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar March Futures (CME)
Strike @ 93.750 Exp. 03/13/2006		31			0
Eurodollar September Futures (CME)
Strike @ 95.375 Exp. 09/19/2005		36			0
Total Purchased Put Options (Cost $1)					0
	Shares
PREFERRED SECURITY 0.5%
DG Funding Trust
3.360% due 12/29/2049 (a)		44			473
Total Preferred Security (Cost $464)					473
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		2,100			117
Total Preferred Stock (Cost $106)					117
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS (h) 69.1%
Commercial Paper 59.3%
Anz National International Ltd.
3.040% due 07/08/2005	$	2,300			2,299
Bank of Ireland
3.180% due 08/22/2005		3,000			2,986
Barclays U.S. Funding Corp.
3.290% due 09/06/2005		1,800			1,789
CBA (de) Finance
3.160% due 08/08/2005		1,700			1,694
Danske Corp.
3.020% due 07/15/2005		100			100
3.225% due 08/31/2005		700			696
3.250% due 09/07/2005		300			298
3.250% due 09/20/2005		600			595
Den Norske Bank ASA
2.980% due 07/14/2005		900			899
3.240% due 09/23/2005		300			298
Dexia Delaware LLC
3.220% due 09/19/2005		2,500			2,481
Fannie Mae
2.785% due 07/13/2005		500			500
2.944% due 07/06/2005		200			200
2.955% due 07/06/2005		2,700			2,699
2.967% due 07/01/2005		800			800
3.005% due 07/27/2005		2,800			2,794
3.010% due 08/03/2005		1,300			1,296
3.030% due 08/03/2005		2,000			1,994
3.172% due 08/31/2005		100			99
3.205% due 09/07/2005		400			397
Federal Home Loan Bank
2.963% due 07/01/2005		2,900			2,900
3.030% due 08/08/2005		300			299
ForeningsSparbanken AB
3.180% due 08/18/2005		800			797
3.255% due 09/22/2005		400			397
Freddie Mac
2.875% due 07/12/2005		600			599
2.918% due 07/12/2005		600			599
2.943% due 08/01/2005		300			299
3.002% due 08/09/2005		1,100			1,096
3.238% due 11/01/2005		1,100			1,087
3.360% due 11/29/2005		1,100			1,084
General Electric Capital Corp.
3.260% due 09/22/2005		3,000			2,976
HBOS Treasury Services PLC
3.100% due 07/28/2005		2,200			2,195
3.195% due 08/24/2005		300			299
3.255% due 09/07/2005		700			696
3.270% due 09/08/2005		200			199
ING U.S. Funding LLC
3.090% due 07/26/2005		100			100
3.260% due 09/01/2005		2,700			2,684
KFW International Finance, Inc.
2.800% due 07/05/2005		2,800			2,799
Rabobank USA Financial Corp.
3.360% due 07/01/2005		2,900			2,900
Royal Bank of Scotland PLC
3.230% due 09/01/2005		500			497
Skandinaviska Enskilda Banken AB (SEB)
3.100% due 07/18/2005		600			599
3.170% due 08/18/2005		2,000			1,992
3.180% due 08/19/2005		400			398
Spintab AB
3.080% due 08/11/2005		200			199
Svenska Handelsbanken, Inc.
3.155% due 08/03/2005		2,600			2,592
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		2,900			2,900
UBS Finance Delaware LLC
3.180% due 09/06/2005		2,500			2,484
3.230% due 09/19/2005		800			794
					61,374
Repurchase Agreements 4.6%
Credit Suisse First Boston
2.700% due 07/01/2005		2,700			2,700
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500% due 08/15/2009 valued at $2,763. Repurchase proceeds are $2,700.)
State Street Bank
2.650% due 07/01/2005		2,052			2,052
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $2,093. Repurchase proceeds are $2,052.)
					4,752
French Treasury Bills 4.6%
2.015% due 07/13/2005-08/04/2005 (c)	EC	3,900			4,714
U.S. Treasury Bills 0.6%
2.947% due 09/01/2005-09/15/2005 (c)(d)(e)	$	660			656
Total Short-Term Instruments (Cost $71,821)					71,496
Total Investments (i) (Cost $112,309)		108.4	%	$	112,101
Other Assets and Liabilities (Net)		(8.4	%)		(8,661	)
Net Assets		100.0	%	$	103,440

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $248 have been pledged as collateral for swap contracts at June 30, 2005.

(e) Securities with an aggregate market value of $534 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	187	$	39
Eurodollar June Long Futures	06/2006	38		(1	)
Eurodollar September Long Futures	09/2005	71		(135	)
Eurodollar September Long Futures	09/2006	7		3
Eurodollar December Long Futures	12/2005	55		(64	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	30		17
			$	(141	)

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount	Unrealized Appreciation/ (Depreciation)
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2032	BP	700	$	(56	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2032	EC	1,100		154
								$	98

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.100	%	06/20/2006	$	700	$	15
Bear Stearns & Co., Inc.	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		200		9
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.690	%	03/20/2007		400		1
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/24/2005		100		0
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		30		0
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/22/2005		200		1
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.580	%	06/20/2006		100		0
								$	26

(h) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	62	08/2005	$	2	$	0		$	2
Sell		62	08/2005		0		(2	)		(2	)
Buy		635	09/2005		35		0			35
Sell		636	09/2005		0		(19	)		(19	)
Buy	CP	12,413	08/2005		0		0			0
Buy		30,301	09/2005		1		0			1
Sell	EC	5,257	07/2005		333		0			333
Buy		900	08/2005		0		(3	)		(3	)
Buy	JY	75,112	07/2005		0		(28	)		(28	)
Buy	KW	24,200	08/2005		0		(1	)		(1	)
Buy		59,000	09/2005		0		(1	)		(1	)
Buy	MP	562	09/2005		0		0			0
Buy	PN	71	08/2005		0		0			0
Buy		70	09/2005		0		0			0
Buy	PZ	85	08/2005		0		0			0
Buy		89	09/2005		0		0			0
Buy	RP	1,453	09/2005		0		0			0
Buy	RR	591	08/2005		0		(1	)		(1	)
Buy		1,529	09/2005		0		0			0
Buy	S$	35	08/2005		0		0			0
Buy		86	09/2005		0		0			0
Buy	SV	672	08/2005		0		0			0
Buy		670	09/2005		0		0			0
Buy	T$	690	08/2005		0		0			0
Buy		1,666	09/2005		0		(1	)		(1	)
				$	371	$	(56	)	$	315

(i) As of June 30, 2005, portfolio securities with an aggregate market value of $4,471 were valued with reference to securities whose prices are more readily obtainable.

See accompanying notes

Schedule of Investments

Moderate Duration Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 0.2%
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)	$	4,700		$	4,675
Total Bank Loan Obligations (Cost $4,700)					4,675
CORPORATE BONDS & NOTES 4.8%
Banking & Finance 3.1%
American General Finance Corp.
3.492% due 03/23/2007 (a)		1,200			1,200
Bank of America Corp.
5.875% due 02/15/2009		750			793
Citigroup, Inc.
6.750% due 12/01/2005		175			177
6.200% due 03/15/2009		110			117
Ford Motor Credit Co.
7.600% due 08/01/2005		18,414			18,456
6.875% due 02/01/2006		4,900			4,950
6.500% due 01/25/2007		5,700			5,743
4.389% due 03/21/2007 (a)		11,800			11,557
General Electric Capital Corp.
6.500% due 12/10/2007		100			105
General Motors Acceptance Corp.
7.500% due 07/15/2005		100			100
4.395% due 10/20/2005 (a)		4,100			4,104
7.000% due 02/01/2012		60			55
Goldman Sachs Group, Inc.
2.900% due 08/01/2006 (a)		10,000			10,001
Household Finance Corp.
6.500% due 01/24/2006		160			162
John Deere Capital Corp.
3.125% due 12/15/2005		160			160
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		700			720
5.570% due 07/03/2008 (a)		600			617
6.620% due 07/03/2008 (a)		300			257
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,461			1,406
Vita Capital Ltd.
4.450% due 01/01/2007 (a)		400			401
					61,081
Industrials 1.3%
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		8,300			8,312
3.890% due 05/24/2006 (a)		4,800			4,814
Pemex Project Funding Master Trust
9.500% due 09/15/2027		600			786
Tennessee Gas Pipeline Co.
7.000% due 03/15/2027		7,800			8,182
United Airlines, Inc.
7.186% due 04/01/2011 (c)		4,887			4,679
					26,773
Utilities 0.4%
CenterPoint Energy Resources Corp.
8.125% due 07/15/2005		3,000			3,003
Hydro-Quebec
3.359% due 09/29/2049 (a)		5,000			4,766
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		8			8
					7,777
Total Corporate Bonds & Notes (Cost $95,220)					95,631
MUNICIPAL BONDS & NOTES 0.2%
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
4.000% due 06/01/2013		3,100			3,115
5.250% due 06/01/2019		1,500			1,530
Total Municipal Bonds & Notes (Cost $4,577)					4,645
U.S. GOVERNMENT AGENCIES 78.2%
Fannie Mae
2.925% due 09/22/2006 (a)		8,100			8,098
3.000% due 08/25/2009		21			21
3.111% due 04/26/2035 (a)		2,268			2,269
3.714% due 11/25/2032 (a)		20			20
4.500% due 03/01/2019 - 07/19/2020 (e)		13,971			13,910
4.749% due 01/01/2027 (a)		172			175
5.000% due 12/01/2013 - 08/11/2035 (e)		653,092			660,530
5.500% due 06/01/2007 - 07/14/2035 (e)		753,809			765,246
5.630% due 11/01/2005		226			226
5.950% due 01/01/2009		206			216
6.000% due 09/25/2016 - 04/01/2032 (e)		11,484			11,879
6.130% due 10/01/2008		155			162
6.325% due 04/01/2008		286			299
6.500% due 01/01/2013 - 06/25/2044 (e)		14,318			15,229
7.000% due 05/01/2012 - 05/01/2032 (e)		467			492
7.500% due 03/01/2015 - 07/25/2041 (e)		640			683
8.000% due 12/01/2006 - 08/01/2031 (e)		338			364
12.000% due 05/01/2016		6			6
Federal Home Loan Bank
4.200% due 02/05/2007 (a)		1,600			1,488
Federal Housing Administration
7.430% due 04/01/2022 - 06/01/2023 (e)		824			834
Freddie Mac
4.000% due 05/01/2019		170			167
4.500% due 05/01/2018 - 05/01/2034 (e)		1,301			1,294
5.000% due 04/15/2016 - 08/11/2035 (e)		25,489			25,678
5.250% due 01/15/2006		4,000			4,031
5.500% due 06/01/2017 - 10/01/2034 (e)		3,298			3,364
6.000% due 09/01/2013 - 09/01/2034 (e)		3,770			3,877
6.250% due 08/25/2022		35			35
6.500% due 07/25/2043		11			11
7.000% due 04/01/2032		75			79
7.500% due 05/01/2015		4			4
8.000% due 01/01/2012		23			24
8.500% due 04/15/2025		616			628
Government National Mortgage Association
3.686% due 10/16/2030 (a)		117			118
3.836% due 02/16/2030 (a)		1,299			1,312
3.886% due 02/16/2030 (a)		948			959
4.125% due 11/20/2017 - 11/20/2025 (a)(e)		115			117
4.375% due 03/20/2020 - 03/20/2028 (a)(e)		763			777
5.000% due 09/15/2017 - 12/15/2017 (e)		219			224
5.500% due 11/20/2032		11,523			11,990
5.500% due 01/15/2017 - 09/20/2034 (e)		872			894
6.000% due 07/20/2015 - 08/20/2034 (e)		278			286
6.500% due 01/20/2034 - 08/20/2034 (e)		265			277
7.000% due 07/15/2031 - 12/15/2032 (e)		251			264
7.500% due 03/15/2008 - 01/15/2031 (e)		1,091			1,120
8.000% due 04/15/2017 - 11/15/2022 (e)		2,349			2,532
8.500% due 02/15/2008		25			26
9.000% due 06/15/2009 - 10/15/2017 (e)		185			195
9.500% due 08/15/2021 - 12/15/2021 (e)		33			37
Housing Urban Development
5.070% due 08/01/2015		2,000			2,087
5.290% due 08/01/2017		5,000			5,255
Small Business Administration
4.340% due 03/01/2024		86			86
4.504% due 02/10/2014		95			95
5.130% due 09/01/2023		23			24
6.090% due 07/01/2011		170			176
6.640% due 02/01/2011		8,671			9,193
7.449% due 08/01/2010		4,821			5,191
Total U.S. Government Agencies (Cost $1,551,777)					1,564,574
U.S. TREASURY OBLIGATIONS 2.0%
Treasury Inflation Protected Securities (d)
3.375% due 01/15/2007 (f)		2,210			2,281
0.875% due 04/15/2010		411			401
1.625% due 01/15/2015		2,690			2,681
U.S. Treasury Bonds
7.875% due 02/15/2021		6,500			9,169
6.250% due 08/15/2023		3,900			4,861
6.000% due 02/15/2026		3,200			3,944
5.500% due 08/15/2028		2,460			2,898
U.S. Treasury Note
4.875% due 02/15/2012		12,800			13,598
Total U.S. Treasury Obligations (Cost $39,414)					39,833
MORTGAGE-BACKED SECURITIES 1.6%
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		5,000			4,943
Bear Stearns Adjustable Rate Mortgage Trust
5.272% due 10/25/2032 (a)		119			119
5.348% due 02/25/2033 (a)		767			774
5.639% due 02/25/2033 (a)		448			453
Bear Stearns Alt-A Trust
5.447% due 05/25/2035 (a)		9,303			9,480
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		5			5
Countrywide Home Loan Mortgage Pass-Through Trust
3.604% due 04/25/2035 (a)		2,026			2,026
Countrywide Home Loans, Inc.
2.800% due 04/25/2034 (a)		5			5
Credit-Based Asset Servicing & Securitization LLC
3.814% due 01/25/2033 (a)		1			1
CS First Boston Mortgage Securities Corp.
3.226% due 03/25/2032 (a)		599			599
Indymac Adjustable Rate Mortgage Trust
3.869% due 01/25/2032 (a)		384			383
MASTR Adjustable Rate Mortgages Trust
3.787% due 12/21/2034 (a)		2,622			2,615
Prime Mortgage Trust
3.250% due 02/25/2019 (a)		371			371
3.714% due 02/25/2034 (a)		1,512			1,516
SACO I, Inc.
3.504% due 07/25/2019 (a)		6,820			6,820
Structured Asset Securities Corp.
6.127% due 02/25/2032 (a)		90			90
Washington Mutual Mortgage Securities Corp.
4.816% due 10/25/2032 (a)		7			7
5.131% due 10/25/2032 (a)		694			699
3.765% due 02/27/2034 (a)		13			13
Total Mortgage-Backed Securities (Cost $30,884)					30,919
ASSET-BACKED SECURITIES 2.7%
AAA Trust
3.120% due 11/26/2035 (a)		9,161			9,177
ACE Securities Corp.
3.424% due 04/25/2034 (a)		664			665
Brazos Student Finance Corp.
3.960% due 06/01/2023 (a)		2,854			2,882
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		2,000			1,999
Centex Home Equity
3.594% due 01/25/2034 (a)		10			10
Colonial Advisory Services CBO I Ltd.
3.696% due 06/20/2008 (a)		969			968
Countrywide Asset-Backed Certificates
3.404% due 08/25/2035 (a)		2,364			2,366
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.444% due 10/25/2034 (a)		2,421			2,421
Freemont Home Loan Owner Trust
4.104% due 12/25/2029 (a)		667			667
Fremont Home Loan Trust
3.464% due 07/25/2034 (a)		1,499			1,499
3.424% due 01/25/2035 (a)		1,033			1,034
Home Equity Mortgage Trust
3.464% due 12/25/2034 (a)		2,326			2,327
Household Mortgage Loan Trust
3.610% due 02/20/2033 (a)		3,466			3,475
Option One Mortgage Loan Trust
3.894% due 06/25/2030 (a)		223			223
Park Place Securities, Inc.
3.514% due 10/25/2034 (a)		1,896			1,897
Sears Credit Account Master Trust
3.350% due 08/18/2009 (a)		17,900			17,913
SLM Student Loan Trust
2.710% due 04/25/2010 (a)		5,062			5,064
Total Asset-Backed Securities (Cost $54,521)					54,587
SOVEREIGN ISSUES 2.0%
Republic of Brazil
4.250% due 04/15/2006 (a)		2,061			2,063
4.313% due 04/15/2009 (a)		5,235			5,149
8.000% due 04/15/2014		11,716			12,076
Republic of Panama
8.875% due 09/30/2027		700			838
Republic of Peru
9.125% due 01/15/2008		12,000			13,320
9.125% due 02/21/2012		5,000			5,875
United Mexican States
6.375% due 01/16/2013		40			43
United Mexican States Value Recovery Right
0.000% due 06/30/2005 (a)		22,000			152
0.000% due 06/30/2006 (a)		22,000			566
0.000% due 06/30/2007 (a)		22,000			528
Total Sovereign Issues (Cost $37,083)					40,610
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 1.1%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EC	6,000			8,492
Commonwealth of New Zealand
4.500% due 02/15/2016 (d)	N$	800			742
Republic of France
5.750% due 10/25/2032	EC	1,700			2,792
4.000% due 04/25/2055		1,300			1,677
Republic of Germany
5.500% due 01/04/2031		4,600			7,271
Total Foreign Currency-Denominated Issues (Cost $18,550)					20,974
PURCHASED PUT OPTIONS 0.0%
		# of Contracts
Eurodollar September Futures (CME)
Strike @ 94.750 Exp. 09/19/2005		480			6
Strike @ 93.250 Exp. 09/19/2005		980			12
Total Purchased Put Options (Cost $15)					18
PREFERRED SECURITY 0.2%
		Shares
DG Funding Trust
3.360% due 12/29/2049 (a)		410			4,410
Total Preferred Security (Cost $4,100)					4,410
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		41,200			2,296
Total Preferred Stock (Cost $2,083)					2,296
SHORT-TERM INSTRUMENTS (j) 17.7%
		Principal Amount (000s)
Commercial Paper 8.9%
Barclays U.S. Funding Corp.
3.020% due 07/21/2005	$	44,285			44,211
3.215% due 08/26/2005		8,000			7,960
Carolina Power & Light Co.
3.670% due 10/11/2005		800			792
Rabobank USA Financial Corp.
3.360% due 07/01/2005		4,800			4,800
3.150% due 08/08/2005		55,600			55,415
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		54,000			54,000
Toyota Motor Credit Corp.
3.200% due 08/26/2005		4,900			4,876
UBS Finance Delaware LLC
3.115% due 07/25/2005		5,500			5,488
3.165% due 08/30/2005		600			597
					178,139
Repurchase Agreements 1.6%
Credit Suisse First Boston
2.700% due 07/01/2005	$	23,000			23,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 2.625% due 03/15/2009 valued at $23,529. Repurchase proceeds are $23,002.)
State Street Bank
2.650% due 07/01/2005		8,364			8,364
(Dated 06/30/2005. Collateralized by Federal Farm Credit Bank 2.500% due 11/15/2005 valued at $75; and Freddie Mac 2.125%-2.300% due 11/15/2005-11/28/2005 valued at $8,461. Repurchase proceeds are $8,365)
					31,364
French Treasury Bills 6.9%
2.003% due 07/13/2005-09/08/2005 (e)	EC	115,550			139,388
U.S. Treasury Bills 0.3%
2.936% due 09/01/2005-09/15/2005 (e)(f)		5,410			5,374
Total Short-Term Instruments (Cost $355,453)					354,265
Total Investments (b) (Cost $2,198,377)		110.8	%	$	2,217,437
Written Options (h) (Premiums $51)		(0.0	%)		(46	)
Other Assets and Liabilities (Net)		(10.8	%)		(215,609	)
Net Assets		100.0	%	$	2,001,782

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) As of June 30, 2005, portfolio securities with an aggregate market value of $35,595 were valued with reference to securities whose prices are more readily obtainable.

(c) Security is in default.

(d) Principal amount of security is adjusted for inflation.

(e) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(f) Securities with an aggregate market value of $7,655 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	2,809	$	813
Eurodollar June Long Futures	06/2006	482		(11	)
Eurodollar September Long Futures	09/2005	906		(1,900	)
Eurodollar September Long Futures	09/2006	160		70
Eurodollar December Long Futures	12/2005	507		(385	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	1,309		1,267
			$	(146	)

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	03/15/2032	BP	1,100	$	(71	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034	EC	1,000		127
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	03/15/2032		2,200		315
								$	371

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
ABN AMRO Bank, N.V.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2006	$	5,300	$	118
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.650	%	05/25/2006		7,000		76
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		5,500		256
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		400		7
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.250	%	06/20/2006		2,000		65
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.200	%	06/20/2006		5,000		121
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.690	%	03/20/2007		7,100		26
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.600	%	06/20/2007		2,300		105
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.970	%	07/31/2005		5,200		24
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		600		1
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.580	%	06/20/2006		1,400		2
								$	801

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	115.000	08/26/2005	81	$	14	$	26
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	85		14		12
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	81		23		8
					$	51	$	46

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	24,000	$	24,270	$	24,278

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation)
Buy	BR	470	07/2005	$	27	$	0		$	27
Sell		470	07/2005		0		(12	)		(12	)
Buy		982	08/2005		27		0			27
Sell		982	08/2005		0		(27	)		(27	)
Buy		9,581	09/2005		607		0			607
Sell		9,581	09/2005		0		(303	)		(303	)
Buy	CP	131,479	08/2005		1		0			1
Buy		242,408	09/2005		9		0			9
Buy	EC	393	07/2005		2		0			2
Sell		42,337	07/2005		1,910		0			1,910
Sell		97,558	08/2005		16		(275	)		(259	)
Buy	JY	2,296,007	07/2005		0		(843	)		(843	)
Buy	KW	698,103	07/2005		0		(24	)		(24	)
Sell		777,100	08/2005		22		0			22
Buy		472,000	09/2005		0		(9	)		(9	)
Buy	MP	4,489	09/2005		1		0			1
Buy	PN	412	08/2005		0		0			0
Buy		1,398	09/2005		0		0			0
Buy	PZ	749	08/2005		0		0			0
Buy		768	09/2005		0		(1	)		(1	)
Buy	RP	26,552	09/2005		1		0			1
Buy	RR	9,246	07/2005		0		(11	)		(11	)
Buy		12,229	09/2005		0		(2	)		(2	)
Buy	S$	546	07/2005		0		(8	)		(8	)
Sell		86	08/2005		1		0			1
Buy		683	09/2005		0		(3	)		(3	)
Buy	SV	3,817	08/2005		0		(1	)		(1	)
Buy		13,402	09/2005		0		(1	)		(1	)
Buy	T$	4,020	08/2005		0		(2	)		(2	)
Buy		13,323	09/2005		0		(5	)		(5	)
					2,624	$	(1,527	)	$	1,097

See accompanying notes

Schedule of Investments

Money Market Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 3.7%
Banking & Finance 3.7%
Bank of America, N.A.
3.050% due 08/08/2005 (a)	$	13,200		$	13,200
Total Corporate Bonds & Notes (Cost $13,200)					13,200
SHORT-TERM INSTRUMENTS 96.7%
Certificates of Deposit 2.8%
HSBC Bank USA
3.135% due 08/09/2005		10,000			10,000
Commercial Paper 85.4%
Anz National International Ltd.
3.040% due 07/19/2005		13,000			12,980
Bank of Ireland
3.190% due 08/23/2005		12,500			12,441
BNP Paribas Finance Inc.
3.365% due 10/17/2005		10,000			9,899
Danske Corp.
3.160% due 08/08/2005		9,000			8,970
Fannie Mae
3.010% due 08/01/2005		1,000			997
3.010% due 08/03/2005		10,000			9,972
3.066% due 08/10/2005		20,000			19,931
3.315% due 09/21/2005		27,800			27,590
3.257% due 09/28/2005		2,000			1,983
Federal Home Loan Bank
3.020% due 07/05/2005		15,800			15,795
3.150% due 10/12/2005		25,000			24,775
Freddie Mac
2.943% due 07/05/2005		300			300
2.904% due 07/12/2005		13,000			12,988
2.999% due 08/02/2005		12,000			11,967
3.183% due 09/06/2005		1,250			1,243
3.238% due 11/01/2005		8,000			7,910
General Electric Capital Corp.
3.040% due 07/11/2005		8,000			7,993
HBOS Treasury Services PLC
3.100% due 07/28/2005		13,000			12,970
ING U.S. Funding LLC
3.040% due 07/19/2005		13,000			12,980
Nordea North America, Inc.
3.360% due 09/16/2005		16,300			16,183
Procter & Gamble Co.
3.000% due 07/11/2005		10,000			9,992
3.050% due 07/20/2005		3,385			3,380
Rabobank USA Financial Corp.
3.410% due 09/30/2005		18,000			17,845
Shell Finance (UK) PLC
3.090% due 08/09/2005		10,000			9,967
Spintab AB
3.110% due 08/23/2005		3,900			3,882
3.180% due 09/01/2005		3,200			3,182
Toyota Motor Credit Corp.
3.020% due 07/11/2005		11,000			10,991
UBS Finance Delaware LLC
3.020% due 07/22/2005		10,000			9,982
3.210% due 09/12/2005		7,100			7,054
					306,142
Repurchase Agreements 4.0%
Credit Suisse First Boston
2.700% due 07/01/2005		14,200			14,200
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500% due 08/15/2009 valued at $14,527. Repurchase proceeds are $14,201.)
State Street Bank
2.650% due 07/01/2005		173			173
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $181. Repurchase proceeds are $173.)
					14,373
U.S. Treasury Bills 4.5%
2.758% due 07/21/2005-08/04/2005 (b)		16,400			16,361
Total Short-Term Instruments (Cost $346,876)					346,876
Total Investments (Cost $360,076)		100.4	%	$	360,076
Other Assets and Liabilities (Net)		(0.4	%)		(1,446	)
Net Assets		100.0	%	$	358,630

Notes to Schedule of Investments:

(a) Variable rate security.

(b) Securities are grouped by coupon or range of coupons and represent a range of maturities.

See accompanying notes

Schedule of Investments

Municipal Bond Fund

June 30, 2005 (Unaudited)

		Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.9%
Banking & Finance 0.9%
General Motors Acceptance Corp.
4.145% due 05/18/2006 (a)	$	1,000		$	996
4.100% due 07/16/2007 (a)		2,200			2,124
Total Corporate Bonds & Notes (Cost $3,074)					3,120
MUNICIPAL BONDS & NOTES 96.5%
Alabama 1.8%
Alabama 21st Century Settlement Authority Revenue Bonds, Series 2001
5.750% due 12/01/2018		2,295			2,483
Jefferson County, Alabama Limited Obligation School Warrant Bonds, Series 2004-A
5.250% due 01/01/2019		3,300			3,589
					6,072
Alaska 1.1%
Alaska State Housing Finance Corp. Revenue Bonds, (MBIA Insured), Series 2002-C
5.250% due 06/01/2032		540			552
City of Valdez, Alaska Marine Revenue Bonds, Series 2001
2.220% due 12/01/2029 (a)		1,300			1,300
North Slope Boro, Alaska General Obligation Bonds, (MBIA Insured), Series 2004-A
0.000% due 06/30/2008		2,000			1,810
					3,662
Arizona 0.7%
Phoenix, Arizona Civic Improvement Corp. Wastewater System Revenue Bonds, (MBIA Insured), Series 2004
9.716% due 07/01/2015 (a)		667			882
Phoenix, Arizona Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A
5.875% due 06/01/2016		90			92
Pima County, Arizona Industrial Development Authority Multi-Family Revenue Bonds, (HUD SECT 8 Insured), Series 1998
5.375% due 06/01/2010		1,210			1,301
					2,275
California 4.8%
Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998
5.000% due 09/02/2006		355			359
Association of Bay Area Governments Finance Authority Corp., California Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,565			2,704
California State Economic Recovery General Obligation Bonds, (MBIA Insured), Series 2004
15.005% due 07/01/2011 (a)		4,000			5,939
California Statewide Communities Development Authority Revenue Bonds, Series 2001
5.000% due 10/01/2018		1,500			1,582
Capistrano, California Unified School District Special Tax Bonds, Series 1999
5.000% due 09/01/2008		350			373
Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999
0.000% due 01/15/2026 (b)		1,565			1,419
Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995
0.000% due 01/01/2026		1,000			406
Lake Elsinore, California School Refunding Bonds, Series 1998
5.000% due 09/01/2006		350			359
Metropolitan Water District of Southern California Revenue Bonds, Series 2003
2.490% due 07/01/2030		100			100
Riverside County, California Special Tax Refunding Bonds, Series 1999
4.700% due 09/01/2005		170			170
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		2,385			1,376
South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 2003
5.125% due 10/01/2009		1,000			1,012
					15,799
Colorado 0.9%
Colorado Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured), Series 2000-C3
5.700% due 10/01/2022		85			87
Colorado Housing & Finance Authority Revenue Bonds, Series 2000-B3
6.700% due 10/01/2016		45			45
Colorado Housing & Finance Authority Revenue Bonds, Series 2000-D3
6.750% due 04/01/2015		70			72
Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A
5.000% due 12/01/2009		1,390			1,446
Larimer County, Colorado Sales & Use Tax Revenue Bonds, (MBIA Insured), Series 2002
4.625% due 12/15/2012		1,325			1,435
					3,085
Connecticut 3.0%
Connecticut State General Obligation Bonds, Series 2001
8.515% due 06/15/2010 (a)		5,000			6,384
Hartford, Connecticut General Obligation Bonds, Series 2005
5.000% due 09/01/2013		500			556
University of Connecticut General Obligation Bonds, (MBIA Insured), Series 2004
7.520% due 01/15/2011 (a)		2,500			2,971
					9,911
Florida 4.2%
Florida State General Obligation Bonds, Series 2004
7.460% due 07/01/2011 (a)		3,103			3,707
Hillsborough County, Florida Utilities Revenue Bonds, (FGIC Insured) Series 2003
5.000% due 08/01/2011		2,500			2,739
Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011		290			336
Orange County, Florida Health Facilities Authority Revenue Bonds, Series 2002
5.625% due 11/15/2032		5,000			5,398
Orlando, Florida Waste Water System Revenue Bonds, Series 1997
2.620% due 10/01/2015 (a)		500			505
Tampa, Florida Guaranteed Entitlement Revenue Bonds, (AMBAC Insured), Series 2001
6.000% due 10/01/2018		800			989
					13,674
Georgia 0.8%
Georgia Municipal Electric Authority Revenue Bonds, (FGIC-TCRS Insured), Series 1993
5.500% due 01/01/2012		1,255			1,391
Georgia Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012		200			227
Georgia State Road & Tollway Authority Revenue Bonds, (ST GTD Insured), Series 2001
5.250% due 03/01/2012		1,000			1,118
					2,736
Hawaii 0.4%
Hawaii State Housing Financial & Development Corp. Single Family Mortgage Pure Revenue Bonds, Series 1998
4.850% due 07/01/2029		305			305
Honolulu, Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993
5.450% due 09/11/2008		1,000			1,078
					1,383
Illinois 10.1%
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2020		1,000			513
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA Insured), Series 2002
5.000% due 12/01/2021		3,000			3,198
Chicago, Illinois Board of Education General Obligation Bonds, Series 1999
0.000% due 12/01/2031		1,000			287
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2020 (b)		1,290			1,106
Chicago, Illinois General Obligation Bonds, (XLCA Insured), Series 2003
0.000% due 12/01/2008		2,000			1,805
Chicago, Illinois Metropolitan Water Reclamation District-Greater Chicago General Obligation Bonds, Series 2002
5.000% due 12/01/2011		2,300			2,528
Cook County, Illinois Community School District No. 097 Oak Park General Obligation Bonds, (FGIC Insured), Series 1999
9.000% due 12/01/2012		1,000			1,347
Cook County, Illinois High School District No. 225 Northfield General Obligation Ltd. Bonds, Series 2002
0.000% due 12/01/2011		125			98
0.000% due 12/01/2012		135			101
0.000% due 12/01/2014		255			174
0.000% due 12/01/2015		1,885			1,227
Cook County, Illinois School District No 122-Oak Lawn General Obligation Bonds, (FGIC Insured), Series 2000
0.000% due 12/01/2016		2,570			1,600
Fox Lake, Illinois Water & Sewer Revenue Bonds, (AMBAC Insured), Series 1996
5.750% due 05/01/2013		430			441
Illinois Educational Facilities Authority Revenue Bonds, Series 1993
9.270% due 07/01/2012 (a)		2,000			2,056
Illinois Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1992
6.250% due 09/01/2021		695			844
Illinois State General Obligation Bonds, (FSA Insured), Series 2001
5.250% due 10/01/2011		2,465			2,740
Kane McHenry Cook & De Kalb Counties, Illinois Unit School District No. 300 General Obligation Bonds, (AMBAC Insured), Series 2002
0.000% due 12/01/2020 (b)		1,290			657
Kendall, Kane & Will Counties, Illinois Community Unit School District No. 308 General Obligation Bonds, (FSA Insured), Series 2003-C
0.000% due 10/01/2012		3,000			2,273
Lake Cook, Dane & McHenry Counties, Illinois Community Unit School District General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 12/01/2011		2,760			3,025
Lake County, Illinois Community High School District No. 127 Grayslake General Obligation Bonds, (FGIC Insured), Series 2002
0.000% due 02/01/2017		5,420			3,336
9.000% due 02/01/2009		650			775
9.000% due 02/01/2011		690			882
9.000% due 02/01/2012		1,065			1,401
Sangamon County, Illinois School District No. 186 Springfield General Obligation Bonds, (FGIC Insured), Series 2004
0.000% due 10/01/2009		1,000			858
					33,272
Indiana 2.4%
Brownsburg, Indiana 1999 School Building Corp. General Obligation Bonds, (AMBAC Insured), Series 2002
5.375% due 02/01/2023		1,395			1,510
Danville, Indiana Multi-School Building General Obligation Bonds, (FSA Insured), Series 2001
4.250% due 07/15/2011		290			305
4.400% due 01/15/2012		170			179
4.500% due 01/15/2013		190			200
4.650% due 01/15/2014		210			222
4.750% due 07/15/2009		200			213
4.750% due 01/15/2015		235			248
4.850% due 01/15/2016		295			312
5.000% due 07/15/2010		180			196
Hamilton Southeastern Indiana Construction School Building Revenue Bonds, (FSA State Aid Withholding Insured), Series 2001
5.000% due 07/15/2010		760			818
Indiana Development Finance Authority Revenue Bonds, Series 2005
5.000% due 06/01/2022		1,590			1,694
Indianapolis, Indiana Local Public Improvement Bonds Bank Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014		1,000			1,194
South Bend, Indiana Redevelopment Authority Lease Revenue Bonds, Series 2000
5.100% due 02/01/2011		405			440
5.200% due 02/01/2012		230			250
5.500% due 02/01/2015		180			198
					7,979
Kentucky 1.0%
Kentucky Development Finance Authority Hospital Revenue Bonds, Series 1989
6.000% due 10/01/2019		2,885			3,219
Louisiana 2.9%
Louisiana Local Government Revenue Bonds, (MBIA Insured), Series 2000
5.700% due 01/01/2010		225			242
Louisiana State General Obligation Bonds, (FGIC Insured), Series 2002
7.200% due 04/01/2019 (a)		2,850			3,309
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		2,000			2,089
8.426% due 11/15/2031 (a)		3,500			3,785
					9,425
Massachusetts 1.0%
Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 1999
4.600% due 03/01/2009		400			414
Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 2005
5.000% due 03/01/2035		1,000			1,021
Massachusetts State Development Finance Agency Revenue Bonds, Series 1998
4.700% due 11/01/2007		210			216
4.800% due 11/01/2008		90			93
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001
6.000% due 07/01/2014		500			568
Massachusetts State Special Obligation Dedicated Tax Revenue Bonds, (FGIC Insured), Series 2004
1.253% due 01/01/2017 (a)		1,000			1,088
					3,400
Michigan 2.9%
Lake Fenton, Michigan Community Schools General Obligation Bonds, (SBLF Insured), Series 2002
5.000% due 05/01/2022		2,720			2,884
Michigan Public Power Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.250% due 01/01/2015		1,000			1,107
Michigan State Environmental Protection General Obligation Bonds, Series 1992
6.250% due 11/01/2012		3,100			3,568
Michigan State Hospital Finance Authority Revenue Bonds, Series 1999
6.125% due 11/15/2026		50			57
Rochester, Michigan Community School District General Obligation Bonds, (FSA Q-SBLF Insured), Series 2004
5.000% due 05/01/2012		1,000			1,104
Rochester, Michigan Community School District General Obligation Bonds, (MBIA Insured), Series 1997
5.000% due 05/01/2019		750			844
					9,564
Minnesota 0.0%
Dakota County, Minnesota Community Development Agency Multi-Family Housing Revenue Bonds, (GNMA Insured), Series 2002
4.750% due 07/20/2015		25			25
5.400% due 07/20/2028		70			70
					95
Mississippi 0.7%
Mississippi State General Obligation Bonds, (FSA Insured), Series 2001
6.000% due 09/01/2011		2,000			2,310
Missouri 1.3%
Kansas City, Missouri School District Building Revenue Bonds, (FGIC Insured), Series 2004
7.200% due 02/01/2010 (a)		1,793			2,084
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2000
5.750% due 07/01/2014		350			392
Missouri State Housing Development Community Revenue Bonds, (FHA Insured), Series 2001
5.250% due 12/01/2016		630			671
St Louis County, Missouri Industrial Development Authority Revenue Bonds, Series 2005
5.000% due 11/01/2024		1,250			1,267
					4,414
Nevada 0.4%
Clark County, Nevada Residual Bonds, (AMBAC Insured), Series 2004
9.415% due 12/01/2015 (a)		870			1,171
New Jersey 9.1%
New Jersey Economic Development Authority Revenue Bonds, (GTY AGMT Insured), Series 1998
6.000% due 11/01/2028		3,500			3,568
New Jersey Economic Development Authority Revenue Bonds, Series 1998
0.000% due 04/01/2013		1,595			1,199
5.600% due 01/01/2012		1,000			1,013
6.375% due 04/01/2018		1,500			1,828
6.375% due 04/01/2031		10,000			12,190
6.500% due 04/01/2031		2,115			2,434
6.800% due 04/01/2018 (a)		250			282
New Jersey Economic Development Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012		3,500			3,337
New Jersey State General Obligation Bonds, Series 1992
6.000% due 02/15/2011		510			582
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.125% due 06/01/2024		3,500			3,742
					30,175
New Mexico 1.0%
New Mexico State Finance Authority Revenue Bonds, (AMBAC Insured), Series 2004
14.873% due 06/15/2012 (a)		2,000			3,026
Santa Fe County, New Mexico El Castillo Retirement Nursing Home Revenue Bonds, Series 1998-A
5.250% due 05/15/2007		315			316
					3,342
New York 8.0%
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2004-992
10.206% due 11/01/2015 (a)		667			887
New York City, New York General Obligation Bonds, Series 2004-H7
2.210% due 03/01/2034 (a)		2,800			2,800
New York City, New York Municipal Water Finance Authority Revenue Bonds, (Dexia Credit Local FRNC Insured), Series 2000
2.250% due 06/15/2033 (a)		200			200
New York City, New York Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Series 2003-F2
2.250% due 06/15/2035 (a)		500			500
New York City, New York Transitional Finance Authority Revenue Bonds, (Bank of New York Insured), Series 2002-3B
2.480% due 11/01/2022 (a)		1,000			1,000
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.250% due 02/01/2029		5,275			5,744
New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000
5.850% due 07/01/2010		1,000			1,091
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		2,500			2,941
New York State Dormitory Authority Revenue Bonds, Series 2002-B
6.000% due 11/15/2029		3,800			4,340
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		3,000			3,302
TSASC, Inc. Tobacco Settlement Revenue Bonds, Series 2002
5.400% due 07/15/2012		3,550			3,723
					26,528
North Carolina 1.8%
Durham County, North Carolina General Obligation Bonds, Series 2002
5.000% due 04/01/2021		550			596
North Carolina Eastern Municipal Power Agency Power Systems Revenue Bonds, Series 1993
7.000% due 01/01/2008		1,000			1,085
North Carolina Eastern Municipal Power Agency Revenue Bonds, Series 2003
5.500% due 01/01/2012		4,000			4,364
					6,045
Ohio 3.9%
Ohio State General Obligation Bonds, Series 2004
7.210% due 05/01/2011 (a)		2,500			2,980
7.210% due 06/15/2011 (a)		3,910			4,670
Ohio State General Obligation Bonds, Series 2004-A
5.000% due 06/15/2012		1,935			2,138
Ohio State Water Development Authority Revenue Bonds, Series 2002
5.375% due 12/01/2020		1,100			1,242
5.375% due 12/01/2021		1,750			1,976
					13,006
Oklahoma 1.5%
Oklahoma Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		4,100			4,536
Oklahoma State Housing Finance Agency Single Family Revenue Bonds, Series 2001
0.000% due 09/01/2032		2,060			442
					4,978
Pennsylvania 0.5%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Bonds, Series 2005
4.500% due 04/01/2015		790			799
Delaware County, Pennsylvania Hospital Revenue Bonds, Series 1998
4.900% due 12/01/2008		100			102
Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1997
6.500% due 01/01/2008		725			759
					1,660
Puerto Rico 0.3%
Puerto Rico Children’s Trust Fund Tobacco Settlement Revenue Bonds, Series 2000
5.750% due 07/01/2010		750			843
6.000% due 07/01/2026		150			170
					1,013
Rhode Island 2.7%
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		2,300			2,429
6.250% due 06/01/2042		6,025			6,377
					8,806
South Carolina 0.3%
Medical University South Carolina Hospital Facilities Revenue Bonds, Series 1999
5.700% due 07/01/2012		1,000			1,110
Tennessee 3.7%
Memphis, Tennessee Electrical System Revenue Bonds, (MBIA Insured), Series 2003
7.460% due 12/01/2010 (a)		7,050			8,351
Nashville & Davidson County, Tennessee Revenue Bonds, Series 1998
4.450% due 08/01/2007		1,000			1,026
Shelby County, Tennessee General Obligation Bonds, Series 2001
5.000% due 04/01/2023		1,000			1,054
Sullivan County, Tennessee Health, Educational & Housing Facilities Board Revenue Bonds, Series 2002
6.250% due 09/01/2022		1,000			1,101
Sullivan County, Tennessee Industrial Development Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015		750			768
					12,300
Texas 11.1%
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.650% due 02/15/2035		2,765			3,056
Bexar County, Texas Housing Finance Corp. Multi-Family Revenue Bonds, (FNMA Insured), Series 2001
4.875% due 06/15/2011		760			806
Brazos River Authority Texas Revenue Bonds, (MBIA Insured), Series 1998
4.900% due 10/01/2015		1,500			1,659
Harris County, Texas General Obligation Bonds, Series 1997
5.100% due 08/15/2015		250			261
Houston, Texas Airport Systems Revenue Bonds, (FGIC Insured), Series 2000
7.410% due 07/01/2025 (a)		2,500			2,596
Houston, Texas Airport Systems Revenue Bonds, Series 2001-E
6.750% due 07/01/2029		1,000			923
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		8,640			5,839
Houston, Texas Independent School District General Obligation Ltd. Bonds, (PSF-GTD Insured), Series 1999
5.250% due 02/15/2018		355			383
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001
5.500% due 12/01/2017		1,000			1,112
Houston, Texas Water Conveyance System Contract Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.250% due 12/15/2012		5,000			5,919
Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018		1,000			484
North Texas Health Facilities Development Corp. Revenue Bonds, (AMBAC Insured), Series 2002
5.500% due 08/15/2017		1,000			1,125
North Texas State University Revenue Bonds, (FSA Insured), Series 1999
5.375% due 04/15/2014		250			269
Pasadena, Texas General Obligation Bonds, (FGIC Insured), Series 2002
5.125% due 04/01/2024		1,750			1,850
Red River, Texas Educational Finance Revenue Bonds, Series 2000
5.750% due 05/15/2017		750			827
Rio Grande City, Texas Construction Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
5.875% due 08/15/2018		1,825			2,068
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022 (a)		1,000			1,073
San Antonio, Texas Electric & Gas Systems Revenue Bonds, Series 1997
5.500% due 02/01/2015		975			1,131
San Jacinto, Texas Community College District General Obligation Bonds, (FGIC Insured), Series 2001
5.000% due 02/15/2021		225			238
Texas State Affordable Multi-Family Housing Revenue Bonds, (MBIA Insured), Series 2002
4.850% due 09/01/2012		2,000			2,023
4.850% due 09/01/2012		1,335			1,349
Travis County, Texas Health Facilities Development Hospital Revenue Bonds, Series 1993
6.000% due 11/15/2022		1,400			1,586
					36,577
Virgin Islands 0.5%
Virgin Islands Public Finance Refinery Facilities Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,500			1,650
Virginia 1.0%
Newport News, Virginia General Obligation Bonds, Series 2002
5.000% due 07/01/2022		1,000			1,078
Virginia Polytechnic Institute & State University Revenue Bonds, Series 1996
5.400% due 06/01/2012		1,000			1,044
Virginia State Housing Development Authority Revenue Bonds, (MBIA Insured), Series 2001
5.350% due 07/01/2031		1,000			1,034
					3,156
Washington 4.2%
University of Washington Revenue Bonds, (AMBAC Insured), Series 2002
5.250% due 12/01/2023		2,595			2,825
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2011		5,435			4,268
Washington State Motor Vehicle Tax General Obligation Bonds, (AMBAC Insured), Series 2004-F
0.000% due 12/01/2019		2,520			1,343
Washington State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.625% due 06/01/2032		5,000			5,463
					13,899
West Virginia 0.9%
Berkeley, Brooke & Fayette Counties, West Virginia Single Family Mortgage Revenue Bonds, Series 1983
0.000% due 12/01/2014		4,115			2,838
Wisconsin 5.6%
Hudson, Wisconsin School District General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 10/01/2017		1,420			1,572
5.000% due 10/01/2019		1,040			1,151
Polk County, Wisconsin General Obligation Bonds, (XLCA Insured), Series 2005
5.000% due 12/01/2015		1,175			1,306
5.000% due 12/01/2016		2,620			2,929
South Milwaukee, Wisconsin School District General Obligation Bonds, (FGIC Insured), Series 2002
3.750% due 04/01/2011		385			396
Wisconsin Housing & Economic Development Authority Housing Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 05/01/2012		1,120			1,170
4.700% due 05/01/2012		1,220			1,274
4.700% due 11/01/2012		1,490			1,556
Wisconsin State Clean Water Revenue Bonds, Series 2002-1
5.000% due 06/01/2018		100			108
5.000% due 06/01/2019		100			107
5.000% due 06/01/2020		100			107
5.100% due 06/01/2021		100			108
5.100% due 06/01/2022		100			108
5.100% due 06/01/2023		100			107
5.250% due 06/01/2016		50			56
5.250% due 06/01/2017		50			56
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2004
7.200% due 05/01/2010 (a)		2,500			3,002
Wisconsin State General Obligation Bonds, Series 2001
5.250% due 05/01/2020		3,000			3,341
					18,454
Total Municipal Bonds & Notes (Cost $301,945)					318,983
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Note
4.125% due 05/15/2015		500			508
Total U.S. Treasury Obligations (Cost $506)					508
SHORT-TERM INSTRUMENTS 2.8%
Repurchase Agreement 0.1%
State Street Bank
2.650% due 07/01/2005		436			436
(Dated 06/30/2005. Collateralized by Freddie Mac 2.250% due 11/28/2005 valued at $448. Repurchase proceeds are $436.)
U.S. Treasury Bills 2.7%
2.943% due 09/01/2005-09/15/2005 (c)(d)(e)		8,860			8,801
Total Short-Term Instruments (Cost $9,245)					9,237
Total Investments (h) (Cost $314,770)		100.4	%	$	331,848
Written Options (g)		(0.1	%)		(333	)
(Premiums $243)
Other Assets and Liabilities (Net)		(0.3	%)		(1,061	)
Net Assets		100.0	%	$	330,454

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security becomes interest bearing at a future date.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $3,975 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(e) Securities with an aggregate market value of $1,848 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Municipal Bond Index September Long Futures	09/2005	1	$	1
U.S. Treasury 30-Year Bond Long Futures	09/2005	81		(35	)
			$	(34	)

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2014	$	52,800	$	(1,318	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		32,300		(209	)
								$	(1,527	)

(g) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	113.000	08/26/2005	284	$	243	$	333

(h) As of June 30, 2005, portfolio securities with an aggregate market value of $2,800 were valued with reference to securities whose prices are more readily obtainable.

See accompanying notes

Schedule of Investments

New York Municipal Bond Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.7%
General Motors Acceptance Corp.
3.610% due 07/16/2007 (a)	$	200		$	193
Total Corporate Bonds & Notes (Cost $190)					193
MUNICIPAL BONDS & NOTES 97.6%
Arkansas 1.0%
University of Arkansas University Revenue Bonds, (MBIA Insured), Series 2004-B
5.000% due 11/01/2034		250			266
California 1.5%
Bay Area Toll Authority California Toll Bridge Revenue Bonds, Series 2001
2.230% due 04/01/2025 (a)		400			400
New York 85.5%
Amherst, New York General Obligation Bonds, (FGIC Insured), Series 1999-A
5.500% due 12/01/2008		150			161
Buffalo, New York Fiscal Stability Authority Revevue Bonds, (MBIA Insured), Series 2005-A
5.000% due 09/01/2014		1,040			1,162
Buffalo, New York Municipal Water Systems Finance Authority Revenue Bonds, (FSA Insured), Series 2002
5.000% due 07/01/2027		500			531
Monroe County, New York General Obligation Bonds, (MBIA-IBC Insured), Series 1996
5.125% due 03/01/2010		500			544
Nassau County, New York Interim Finance Authority Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 11/15/2010		1,000			1,094
New York City, New York General Obligation Bonds, (AMBAC Insured), Series 1990
5.750% due 08/01/2011		250			283
New York City, New York General Obligation Bonds, Series 1993-A10
2.250% due 08/01/2016 (a)		100			100
New York City, New York General Obligation Bonds, Series 2004-H7
2.210% due 03/01/2034 (a)		1,000			1,000
New York City, New York General Obligation Bonds, Series 2005-M
5.000% due 04/01/2011		250			270
New York City, New York Individual Development Agency Civic Facility Revenue Bonds, Series 2002
6.450% due 07/01/2032		250			255
New York City, New York Industrial Development Agency Pipeline Airport Facility Revenue Bonds, Series 2001
5.500% due 07/01/2028		250			252
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FGIC Insured), Series 1992
2.340% due 06/15/2022 (a)		100			100
New York City, New York Transitional Finance Authority Revenue Bonds, (Bank of New York Insured), Series 2002-3B
2.480% due 11/01/2022 (a)		450			450
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000
5.500% due 11/01/2029		500			561
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.000% due 08/01/2024		525			557
5.250% due 11/01/2011		600			667
5.250% due 02/01/2029		500			544
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2003
5.000% due 08/01/2010		395			429
New York Metropolitan Transportation Authority General Obligation Bonds, (XLCA Insured), Series 2004-A4
2.190% due 11/01/2034 (a)		400			400
New York Metropolitan Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 11/15/2032		200			213
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		250			294
New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 1998
4.750% due 07/01/2008		150			158
New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 2001-A
5.000% due 07/01/2011		455			498
5.500% due 07/01/2030		200			209
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000-340
6.810% due 08/15/2022 (a)		250			267
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 10/01/2012		500			554
5.000% due 10/01/2030		750			793
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2011		250			275
New York State Dormitory Authority Revenue Bonds, Series 1990
2.260% due 07/01/2025 (a)		700			700
New York State Dormitory Authority Revenue Bonds, Series 1997
2.240% due 07/01/2012 (a)		400			400
New York State Dormitory Authority Revenue Bonds, Series 2000-A
6.000% due 07/01/2010		150			162
New York State Dormitory Authority Revenue Bonds, Series 2002-B
6.000% due 11/15/2029		400			457
New York State Environmental Facilities Corp. Clean Drinking Water Revenue Bonds, Series 2002
5.000% due 06/15/2012		500			555
5.000% due 06/15/2014		400			440
New York State General Obligation Bonds, Series 1997-D
5.250% due 08/01/2021		100			105
New York State Local Government Assistance Corp. Revenue Bonds, (FGIC Insured), Series 2003-A
2.160% due 04/01/2021 (a)		500			500
New York State Local Government Assistance Corp. Revenue Bonds, (MBIA Insured), Series 1997-B
5.125% due 04/01/2013		150			160
New York State Local Government Assistance Corp. Revenue Bonds, Series 1993-E
6.000% due 04/01/2014		320			374
New York State Thruway Authority Highway & Bridge Trust Fund Revenue Bonds, (FSA Insured), Series 2003-B
5.000% due 04/01/2010		250			271
New York State Thruway Authority Revenue Bonds, (MBIA Insured), Series 2002
5.250% due 04/01/2011		500			555
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		500			550
New York State Urban Development Corp. Revenue Bonds, Series 2003
5.000% due 03/15/2011		495			539
Orange County, New York General Obligation Refunding Bonds, Series 2005-A
5.000% due 07/15/2013		500			557
Schenectady, New York Industrial Development Agency Civic Facility Revenue Bonds, Series 2001
5.500% due 07/01/2016		500			557
Spencerport, New York Central School District General Obligation Bonds, (MBIA Insured), Series 2002
5.000% due 06/15/2019		250			268
Triborough, New York Bridge & Tunnel Authority Revenue Bonds, (MBIA-IBC Insured), Series 2002
5.000% due 11/15/2010		500			547
Troy, New York Industrial Development Agency Civic Facility Revenue Bonds, Series 2002
5.500% due 09/01/2015		500			563
TSASC, Inc. Tobacco Settlement Revenue Bonds, Series 2002
5.000% due 07/15/2014		750			777
5.400% due 07/15/2012		300			315
					21,973
Puerto Rico 6.0%
Puerto Rico Children’s Trust Fund Tobacco Settlement Revenue Bonds, Series 2000
6.000% due 07/01/2026		100			114
Puerto Rico Commonwealth General Obligation Bonds, Series 1998
5.750% due 07/01/2012		500			578
Puerto Rico Commonwealth Highway & Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2013		200			231
Puerto Rico Public Finance Corp. Revenue Bonds, (Local Government Development Bank for Puerto Rico Insured), Series 2004
5.750% due 08/01/2027 (a)		550			612
					1,535
Texas 2.5%
Coppell, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
0.000% due 08/15/2016		805			508
Waco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
5.000% due 08/15/2021		120			127
					635
Virgin Islands 1.1%
Virgin Islands Public Finance Refinery Facilities Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		250			275
Total Municipal Bonds & Notes (Cost $24,442)					25,084
SHORT-TERM INSTRUMENTS 1.2%
Repurchase Agreement 0.2%
State Street Bank
2.650% due 07/01/2005		60			60
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $65. Repurchase proceeds are $60.)
U.S. Treasury Bill 1.0%
2.961% due 09/15/2005 (c)		255			253
Total Short-Term Instruments (Cost $313)					313
Total Investments (b)		99.5	%	$	25,590
(Cost $24,945)
Written Options (d)		(0.1	%)		(36	)
(Premiums $35)
Other Assets and Liabilities (Net)		0.6	%		155
Net Assets		100.0	%	$	25,709

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) As of June 30, 2005, portfolio securities with an aggregate market value of $1,000 were valued with reference to securities whose prices are more readily obtainable.

(c) Securities with an aggregate market value of $253 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 30-Year Bond Long Futures	09/2005	7	$	0

(d) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	113.000	08/26/2005	27	$	23	$	31
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	50		12		5
					$	35	$	36

See accompanying notes

Schedule of Investments

Real Return Asset Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 2.2%
Banking & Finance 2.1%
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)	$	500		$	500
5.800% due 01/12/2009		7,500			7,125
General Motors Acceptance Corp.
4.050% due 01/16/2007 (a)		1,800			1,761
6.875% due 08/28/2012		2,500			2,292
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		1,750			1,800
Residential Reinsurance Ltd.
8.280% due 06/08/2006 (a)		500			487
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100			99
Vita Capital Ltd.
4.854% due 01/01/2007 (a)		700			702
					14,766
Industrials 0.1%
Pemex Project Funding Master Trust
8.625% due 02/01/2022		100			123
9.500% due 09/15/2027		500			655
					778
Utilities 0.0%
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100			107
Total Corporate Bonds & Notes (Cost $15,302)					15,651
MUNICIPAL BONDS & NOTES 0.1%
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		250			280
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		500			522
Total Municipal Bonds & Notes (Cost $662)					802
U.S. TREASURY OBLIGATIONS 99.2%
Treasury Inflation Protected Securities (b)
1.875% due 07/15/2013		212			216
2.000% due 01/15/2014		632			651
1.625% due 01/15/2015		4,891			4,875
2.375% due 01/15/2025		194,944			213,456
3.625% due 04/15/2028		197,372			265,257
3.875% due 04/15/2029		153,083			215,202
U.S. Treasury Bond
6.625% due 02/15/2027		1,300			1,726
Total U.S. Treasury Obligations (Cost $669,482)					701,383
MORTGAGE-BACKED SECURITIES 0.2%
Countrywide Home Loan Mortgage Pass-Through Trust
3.654% due 06/25/2035 (a)		900			900
Total Mortgage-Backed Securities (Cost $900)					900
ASSET-BACKED SECURITIES 0.7%
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		300			300
Citigroup Mortgage Loan Trust, Inc.
3.404% due 05/25/2035 (a)		1,914			1,916
Quest Trust
3.494% due 03/25/2035 (a)		464			464
Redwood Capital Ltd.
5.400% due 01/01/2006 (a)		1,100			1,099
6.950% due 01/01/2006 (a)		1,100			1,099
Wells Fargo Home Equity Trust
3.474% due 06/25/2019 (a)		79			78
Total Asset-Backed Securities (Cost $4,957)					4,956
SOVEREIGN ISSUES 0.8%
Republic of Brazil
4.250% due 04/15/2006 (a)		32			32
4.313% due 04/15/2009 (a)		94			94
4.313% due 04/15/2012 (a)		329			319
8.000% due 04/15/2014		950			979
11.000% due 08/17/2040		200			241
Russian Federation
8.250% due 03/31/2010 (a)		700			765
5.000% due 03/31/2030 (a)		2,800			3,133
United Mexican States
6.375% due 01/16/2013		200			215
Total Sovereign Issues (Cost $5,370)					5,778
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 0.7%
Commonwealth of Canada
3.000% due 12/01/2036 (b)	EC	307			312
Kingdom of Spain
5.750% due 07/30/2032		500			819
Pylon Ltd.
3.616% due 12/18/2008 (a)		700			893
6.016% due 12/22/2008 (a)		1,200			1,537
Republic of France
5.750% due 10/25/2032		400			657
Republic of Germany
6.250% due 01/04/2030		500			860
Total Foreign Currency-Denominated Issues (Cost $4,951)					5,078
SHORT-TERM INSTRUMENTS 26.3%
Commercial Paper 17.1%
Fannie Mae
2.967% due 07/01/2005	$	19,300			19,300
Federal Home Loan Bank
2.963% due 07/01/2005		19,300			19,300
General Electric Capital Corp.
3.270% due 09/07/2005		4,100			4,074
Rabobank USA Financial Corp.
3.370% due 07/01/2005		19,300			19,300
Royal Bank of Scotland PLC
3.220% due 08/15/2005		13,100			13,047
Skandinaviska Enskilda Banken AB (SEB)
3.310% due 09/15/2005		5,400			5,361
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		19,300			19,300
UBS Finance Delaware LLC
3.285% due 10/03/2005		3,000			2,973
3.365% due 10/14/2005		18,400			18,215
					120,870
Repurchase Agreements 8.4%
Credit Suisse First Boston
2.700% due 07/01/2005		58,400			58,400
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500% due 08/15/2009 valued at $59,745. Repurchase proceeds are $58,404.)
State Street Bank
2.650% due 07/01/2005		806			806
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $823. Repurchase proceeds are $806.)
					59,206
U.S. Treasury Bills 0.8%
2.940% due 09/01/2005-09/15/2005 (c)(d)(f)		5,925			5,887
Total Short-Term Instruments (Cost $185,976)					185,963
Total Investments (e) (Cost $887,600)		130.2	%	$	920,511
Written Options (h) (Premiums $118)		(0.0	%)		(90	)
Other Assets and Liabilities (Net)		(30.2	%)		(213,556	)
Net Assets		100.0	%	$	706,865

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $2,487 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(e) As of June 30, 2005, portfolio securities with an aggregate market value of $3,818 were valued with reference to securities whose prices are more readily obtainable.

(f) Securities with an aggregate market value of $1,292 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Euro-Bund 10-Year Note Long Futures	09/2005	120	$	147
U.S. Treasury 10-Year Note Short Futures	09/2005	121		(55	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	71		(24	)
U.S. Treasury 5-Year Note Long Futures	09/2005	475		(246	)
			$	(178	)

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	6,100	$	534
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	7,800		0
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		2,300		6
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		18,400		(20	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		11,200		0
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		2,200		(7	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		15,200		(99	)
UBS Warburg LLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		1,500		4
								$	418

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.820	%	06/20/2007	$	2,300	$	41
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.950	%	06/20/2006		2,000		24
Goldman Sachs & Co.	General Motors 7.125% due 07/15/2013	Sell	3.100	%	06/20/2006		1,300		12
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2003	Sell	2.950	%	06/20/2007		2,000		29
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	06/20/2007		200		3
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2003	Sell	2.680	%	06/20/2007		100		1
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2003	Sell	4.350	%	06/20/2007		1,000		48
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.670	%	06/20/2007		1,000		23
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2003	Sell	3.250	%	06/20/2006		1,000		18
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2003	Sell	3.500	%	06/20/2006		1,000		21
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.800	%	06/20/2006		1,000		10
								$	230

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date	Notional Amount		Unrealized (Depreciation)
AIG International Inc.	Dow Jones - AIG Commodity Index Total Return	3- month U.S. Treasury Bill rate plus a spread	07/22/2005	$	17,600	$	(686	)
						$	(686	)

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	115.000	08/26/2005	28	$	11	$	9
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	201		45		28
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	106		21		10
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	70		12		15
Put - CBOT U.S. Treasury Note December Futures		110.000	11/22/2005	53		29		28
					$	118	$	90

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	4.250	11/15/2013	$	7,000	$	7,173	$	7,173
U.S. Treasury Note	4.750	05/15/2014		800		849		849
					$	8,022	$	8,022

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation)
Sell	C$	365	07/2005	$	0	$	(4	)	$	(4	)
Sell	EC	2,746	07/2005		0		0			0
Sell	EC	1,924	08/2005		6		0			6
Buy	JY	434,586	07/2005		0		(160	)		(160	)
Buy	PZ	165	09/2005		0		0			0
Buy	RR	1,409	09/2005		0		0			0
Buy	SV	1,762	09/2005		0		0			0
				$	6	$	(164	)	$	(158	)

See accompanying notes

Schedule of Investments

Real Return Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 2.9%
Banking & Finance 2.1%
Allstate Financial Global Funding
7.125% due 09/26/2005	$	5,000		$	5,037
Export-Import Bank of Korea
6.500% due 11/15/2006		2,500			2,579
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)		27,750			27,739
7.600% due 08/01/2005		38,200			38,286
6.875% due 02/01/2006		1,400			1,414
4.389% due 03/21/2007 (a)		10,800			10,577
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		15,000			15,014
4.145% due 05/18/2006 (a)		28,000			27,875
4.050% due 01/16/2007 (a)		18,400			18,005
6.125% due 08/28/2007		870			861
Parametric Re Ltd.
5.540% due 11/19/2007 (a)		11,500			12,045
7.780% due 05/19/2008 (a)		1,500			1,556
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		50,550			51,994
5.570% due 07/03/2008 (a)		7,000			7,200
6.620% due 07/03/2008 (a)		14,750			12,613
Pioneer 2002 Ltd.
10.910% due 06/15/2006 (a)		5,000			5,147
Prudential Insurance Co. of America
6.375% due 07/23/2006		7,000			7,164
Residential Reinsurance Ltd.
8.280% due 06/08/2006 (a)		17,600			17,144
Travelers Property Casualty Corp.
3.750% due 03/15/2008		7,000			6,897
Vita Capital Ltd.
4.840% due 01/01/2007 (a)		30,200			30,267
Wachovia Corp.
7.550% due 08/18/2005		12,500			12,560
					311,974
Industrials 0.4%
Pemex Project Funding Master Trust
7.375% due 12/15/2014		22,000			24,728
8.625% due 02/01/2022		6,900			8,522
9.500% due 09/15/2027		14,850			19,454
Weyerhaeuser Co.
6.125% due 03/15/2007		1,360			1,399
					54,103
Utilities 0.4%
British Telecom PLC
7.875% due 12/15/2005		10,750			10,939
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		7,000			7,526
Ohio Edison Co.
4.000% due 05/01/2008		10,000			9,896
Progress Energy, Inc.
6.750% due 03/01/2006		32,150			32,704
					61,065
Total Corporate Bonds & Notes (Cost $420,868)					427,142
MUNICIPAL BONDS & NOTES 0.6%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		3,630			3,677
California State Tobacco Securitization Agency Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		25,000			27,274
6.625% due 06/01/2040		380			425
Connecticut State General Obligation Bonds, (MBIA Insured), Series 2004-A
5.000% due 03/01/2013		1,715			1,902
Connecticut State Health & Educational Facilities Authority Revenue Bonds, (FSA Insured), Series 2004
5.000% due 11/01/2013		5,285			5,893
District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
6.250% due 05/15/2024		9,105			9,697
Florida State Board of Education General Obligation Bonds, Series 2002
5.000% due 06/01/2032		3,000			3,170
Golden State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.750% due 06/01/2039		1,445			1,628
Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue Bonds, Series 2003-A1
5.000% due 06/01/2021		3,105			3,140
Kansas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003-A
5.000% due 09/01/2013		3,870			4,296
Massachusetts State Water Reserve Authority Revenue Bonds, (FSA Insured), Series 2002
5.000% due 08/01/2032		5,000			5,246
New Hampshire Municipal Bond Bank Revenue Bonds, (FSA Insured), Series 2004
5.000% due 08/15/2012		800			882
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2042		1,365			1,433
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.375% due 06/01/2032		6,000			6,452
New York State Triborough Bridge & Tunnels Authority Revenue Bonds, Series 2002
5.000% due 11/15/2032		5,000			5,254
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		750			791
6.125% due 06/01/2032		740			781
Salt River, Arizona Project Agriculture Improvement & Power District Revenue Bonds, Series 2002
5.000% due 01/01/2031		4,000			4,230
Washington Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		425			465
Total Municipal Bonds & Notes (Cost $78,505)					86,636
U.S. GOVERNMENT AGENCIES 0.4%
Fannie Mae
5.500% due 07/14/2035		31,000			31,426
6.017% due 10/01/2031 (a)		1,422			1,447
Federal Housing Administration
7.430% due 12/01/2020		106			108
Freddie Mac
6.500% due 01/25/2028		100			103
7.000% due 10/15/2030		617			634
7.500% due 10/25/2043		19,000			20,428
Government National Mortgage Association
6.500% due 05/15/2028 - 04/15/2031 (c)		2,205			2,308
Housing Urban Development
5.530% due 08/01/2020		6,000			6,431
Total U.S. Government Agencies (Cost $62,643)					62,885
U.S. TREASURY OBLIGATIONS 102.0%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007 (f)		181,980			187,816
3.625% due 01/15/2008		809,499			856,836
3.875% due 01/15/2009		1,015,371			1,105,129
4.250% due 01/15/2010		935,770			1,053,327
0.875% due 04/15/2010		103,993			101,458
3.500% due 01/15/2011		893,509			990,573
3.375% due 01/15/2012		57,465			64,188
3.000% due 07/15/2012		1,782,593			1,958,486
1.875% due 07/15/2013		684,732			699,577
2.000% due 01/15/2014		1,175,098			1,210,764
2.000% due 07/15/2014		1,576,468			1,624,933
1.625% due 01/15/2015		653,936			651,765
2.375% due 01/15/2025		891,829			976,518
3.625% due 04/15/2028		1,136,803			1,527,802
3.875% due 04/15/2029		1,015,941			1,428,191
3.375% due 04/15/2032		88,016			119,760
U.S. Treasury Bonds
8.875% due 08/15/2017		12,100			17,590
6.250% due 08/15/2023		600			748
7.625% due 02/15/2025		100			144
6.625% due 02/15/2027		23,700			31,463
U.S. Treasury Notes
2.250% due 02/15/2007		100			98
3.625% due 04/30/2007		200,000			199,953
4.875% due 02/15/2012		286,100			303,937
4.250% due 11/15/2013		4,400			4,509
4.125% due 05/15/2015		78,700			79,874
Total U.S. Treasury Obligations (Cost $14,760,650)					15,195,439
MORTGAGE-BACKED SECURITIES 0.3%
Bear Stearns Adjustable Rate Mortgage Trust
4.188% due 11/25/2030 (a)		913			924
4.715% due 01/25/2034 (a)		7,140			7,136
4.862% due 01/25/2034 (a)		4,511			4,517
Countrywide Home Loans, Inc.
3.450% due 06/25/2035		21,000			21,003
Mellon Residential Funding Corp.
3.750% due 10/20/2029 (a)		695			698
Washington Mutual Mortgage Securities Corp.
3.765% due 02/27/2034 (a)		5,197			5,192
Total Mortgage-Backed Securities (Cost $39,584)					39,470
ASSET-BACKED SECURITIES 0.6%
Bear Stearns Asset-Backed Securities, Inc.
3.764% due 03/25/2043 (a)		595			596
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		5,900			5,896
EQCC Home Equity Loan Trust
3.510% due 03/20/2030 (a)		23			23
Equity One ABS, Inc.
3.614% due 04/25/2034 (a)		2,292			2,295
Home Equity Asset Trust
3.724% due 03/25/2033 (a)		805			805
Oak Capital Ltd.
6.910% due 09/15/2005 (a)		900			907
Quest Trust
3.494% due 03/25/2035 (a)		8,513			8,508
Redwood Capital Ltd.
6.950% due 01/01/2006 (a)		36,300			36,273
5.400% due 01/09/2006 (a)		30,700			30,667
Residential Asset Securities Corp.
3.614% due 01/25/2034 (a)		1,251			1,255
Wells Fargo Home Equity Trust
3.474% due 06/25/2019 (a)		3,890			3,894
Total Asset-Backed Securities (Cost $91,178)					91,119
SOVEREIGN ISSUES 1.2%
Republic of Brazil
4.250% due 04/15/2006 (a)		2,448			2,451
4.313% due 04/15/2009 (a)		2,871			2,849
11.000% due 01/11/2012		1,600			1,908
8.000% due 04/15/2014		46,019			47,434
11.000% due 08/17/2040		5,300			6,383
Russian Federation
10.000% due 06/26/2007		7,000			7,723
8.250% due 03/31/2010 (a)		23,800			26,023
5.000% due 03/31/2030 (a)		61,100			68,363
United Mexican States
6.375% due 01/16/2013		20,700			22,273
United Mexican States Value Recovery Right
0.000% due 06/30/2006 (a)		714			18
Total Sovereign Issues (Cost $172,771)					185,425
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 1.9%
Commonwealth of Canada
4.250% due 12/01/2021 (b)	C$	2,560			2,834
3.000% due 12/01/2036 (b)		22,041			22,417
Commonwealth of New Zealand
4.500% due 02/15/2016	N$	38,300			35,507
Kingdom of Spain
5.750% due 07/30/2032	EC	6,600			10,812
Pylon Ltd.
3.603% due 12/18/2008 (a)		20,750			26,472
6.035% due 12/18/2008 (a)		40,700			52,144
Republic of France
1.600% due 07/25/2011 (b)		6,205			7,882
1.600% due 07/25/2015 (b)		3,039			3,833
2.250% due 07/25/2020 (b)		12,199			16,501
3.150% due 07/25/2032 (b)		6,494			10,647
5.750% due 10/25/2032		12,600			20,695
Republic of Germany
5.250% due 01/04/2011		42,500			58,447
6.250% due 01/04/2030		6,600			11,346
Republic of Italy
4.250% due 08/01/2014		1,700			2,225
2.150% due 09/15/2014 (b)		2,085			2,718
Total Foreign Currency-Denominated Issues (Cost $260,879)					284,480
		Shares
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		247,400			13,785
Total Preferred Stock (Cost $12,370)					13,785
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 1.4%
Commercial Paper 0.1%
Federal Home Loan Bank
2.963% due 07/01/2005	$	16,200			16,200
Repurchase Agreement 0.1%
State Street Bank
2.650% due 07/01/2005		11,598			11,598
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $11,832. Repurchase proceeds are $11,599.)
U.S. Treasury Bills 1.2%
2.935% due 09/01/2005-09/15/2005 (c)(e)(f)		101,960			187,201
Total Short-Term Instruments (Cost $215,112)					214,999
Total Investments (d) (Cost $16,114,560)		111.4	%	$	16,601,380
Written Options (h)		(0.0	%)		(2,732	)
(Premiums $8,347)
Other Assets and Liabilities (Net)		(11.4	%)		(1,697,514	)
Net Assets		100.0	%	$	14,901,134

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $113,984 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $41,246 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) Securities with an aggregate market value of $17,686 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Euro-Bund 10-Year Note Long Futures	09/2005	668	$	820
U.S. Treasury 10-Year Note Short Futures	09/2005	15		11
U.S. Treasury 30-Year Bond Long Futures	09/2005	3,325		3,709
U.S. Treasury 5-Year Note Long Futures	09/2005	2,261		(937	)
			$	3,603

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	06/15/2008	BP	13,000	$	404
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Pay	5.000	%	06/15/2008		27,000		757
UBS Warburg LLC	6-month BP-LIBOR	Pay	5.000	%	06/15/2008		20,000		625
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	03/15/2007	EC	6,600		195
Barclays Bank PLC	5-year French CPI Ex-Tobacco Daily Reference Index	Pay	2.040	%	03/15/2010		50,000		509
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		250,200		21,894
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.500	%	06/17/2015		21,400		2,574
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	03/15/2007		7,400		182
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	5.000	%	06/17/2015		12,400		1,559
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	03/15/2007		6,400		204
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	0.100	%	06/15/2007	JY	2,200,000		(12	)
Barclays Bank PLC	3-month SK-STIBOR	Pay	4.500	%	06/17/2008	SK	168,000		1,246
J.P. Morgan Chase & Co.	3-month SK-STIBOR	Pay	4.500	%	06/17/2008		46,000		338
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	197,800		(4	)
Barclays Bank PLC	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		334,300		(851	)
Barclays Bank PLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		89,000		227
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		9,000		(29	)
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		498,800		(1,275	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		114,600		(5	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		223,700		(725	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		215,800		(1,399	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Receive	4.000	%	12/15/2007		307,250		(782	)
								$	25,632

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.760	%	06/20/2007	$	2,000	$	33
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	06/20/2006		3,000		62
Goldman Sachs & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.000	%	06/20/2007		2,000		31
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.280	%	06/20/2006		1,000		18
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.750	%	06/20/2007		2,000		21
J.P. Morgan Chase & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		1,000		18
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		4,000		71
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.750	%	06/20/2006		1,000		10
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.100	%	06/20/2006		2,000		46
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	06/20/2007		2,000		95
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	06/20/2007		2,000		34
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.400	%	06/20/2007		1,500		91
Lehman Brothers, Inc.	Ford Motor Co. 7.000% due 10/01/2013	Sell	1.150	%	06/20/2006		1,000		(3	)
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2006		2,000		55
Morgan Stanley Dean Witter & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.300	%	06/20/2006		3,000		56
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		5,000		103
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.150	%	06/20/2006		1,000		24
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	06/20/2007		2,000		90
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		2,000		42
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		1,500		31
UBS Warburg LLC	Ford Motor Co. 7.000% due 10/01/2013	Sell	1.600	%	09/20/2006		2,000		0
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	5.050	%	09/20/2006		5,000		230
								$	1,158

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	115.000	08/26/2005	692	$	268	$	227
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	3,980		900		559
Put - CBOT U.S. Treasury Note September Futures		108.000	08/26/2005	200		81		3
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	1,630		326		153
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	1,573		265		320
Put - CBOT U.S. Treasury Note December Futures		110.000	11/22/2005	1,469		812		780
					$	2,652	$	2,042

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call -OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	09/23/2005	$	200,000	$	2,815	$	690
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	7.000	%*	09/23/2005		200,000		2,880		0
							$	5,695	$	690

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	3.250	08/15/2007	$	127,800	$	126,807	$	126,873
U.S. Treasury Note	3.375	02/15/2008		147,500		146,475		146,446
U.S. Treasury Note	3.125	09/15/2008		177,200		174,251		173,570
U.S. Treasury Note	4.000	11/15/2012		44,000		44,507		44,506
U.S. Treasury Note	3.625	05/15/2013		21,600		21,332		21,304
U.S. Treasury Note	4.250	08/15/2013		155,000		158,923		159,450
U.S. Treasury Note	4.750	05/15/2014		310,200		329,248		329,182
					$	1,001,543	$	1,001,331

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	C$	14,498	07/2005		202		0			202
Sell		35,786	07/2005		0		(433	)		(433	)
Buy	EC	3,017	07/2005		16		0			16
Sell		69,179	07/2005		116		0			116
Sell		125,564	08/2005		381		0			381
Buy	JY	15,995,080	07/2005		0		(5,990	)		(5,990	)
Sell	N$	48,184	07/2005		870		0			870
Buy	PZ	4,834	09/2005		0		(6	)		(6	)
Buy	RR	40,600	09/2005		0		(6	)		(6	)
Buy	SV	43,453	09/2005		0		(4	)		(4	)
				$	1,585	$	(6,439	)	$	(4,854	)

See accompanying notes

Schedule of Investments

Real Return Fund II

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 1.4%
Banking & Finance 1.4%
General Motors Acceptance Corp.
4.050% due 01/16/2007 (a)	$	500		$	489
Total Corporate Bonds & Notes (Cost $490)					489
MUNICIPAL BONDS & NOTES 0.8%
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		250			279
Total Municipal Bonds & Notes (Cost $236)					279
U.S. TREASURY OBLIGATIONS 117.0%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007		1,351			1,394
3.625% due 01/15/2008		2,770			2,932
3.875% due 01/15/2009		4,745			5,165
4.250% due 01/15/2010		2,197			2,473
0.875% due 04/15/2010		1,027			1,002
3.500% due 01/15/2011		168			186
3.375% due 01/15/2012		657			734
3.000% due 07/15/2012		3,787			4,161
1.875% due 07/15/2013		636			649
2.000% due 01/15/2014		4,209			4,337
2.000% due 07/15/2014		4,023			4,146
1.625% due 01/15/2015		204			203
2.250% due 01/15/2025		1,239			1,356
3.625% due 04/15/2028		5,052			6,790
3.875% due 04/15/2029		1,183			1,664
U.S. Treasury Bond
6.625% due 02/15/2027		100			133
U.S. Treasury Notes
4.750% due 05/15/2014		1,900			2,017
4.125% due 05/15/2015		2,700			2,740
Total U.S. Treasury Obligations (Cost $40,808)					42,082
ASSET-BACKED SECURITIES 0.8%
Redwood Capital Ltd.
5.400% due 01/09/2006 (a)		300			300
Total Asset-Backed Securities (Cost $300)					300
SOVEREIGN ISSUES 2.4%
Russian Federation
8.250% due 03/31/2010 (a)		100			109
5.000% due 03/31/2030 (a)		500			560
United Mexican States
6.375% due 01/16/2013		200			215
Total Sovereign Issues (Cost $819)					884
		Shares
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		700			39
Total Preferred Stock (Cost $35)					39
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.3%
Commercial Paper 7.5%
CBA (de) Finance
3.205% due 08/22/2005	$	400			398
Den Norske Bank ASA
3.300% due 09/14/2005		700			695
3.295% due 10/03/2005		300			297
Nordea North America, Inc.
3.300% due 09/06/2005		700			696
UBS Finance Delaware LLC
3.270% due 09/27/2005		600			595
					2,681
Repurchase Agreement 0.5%
State Street Bank
2.650% due 07/01/2005		169			169
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $176. Repurchase proceeds are $169.)
U.S. Treasury Bills 0.3%
2.929% due 09/01/2005-09/15/2005 (c)(d)		125			124
Total Short-Term Instruments (Cost $2,975)					2,974
Total Investments (Cost $45,663)		130.8	%	$	47,047
Written Options (f) (Premiums $6)		(0.0	%)		(3	)
Other Assets and Liabilities (Net)		(30.8	%)		(11,084	)
Net Assets		100.0	%	$	35,960

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $124 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 30-Year Bond Long Futures	09/2005	10	$	1
U.S. Treasury 5-Year Note Long Futures	09/2005	2		1
			$	2

(e) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized (Depreciation)
Bank of America	3-month USD-LIBOR	Receive	5.000%	12/15/2015	$	500	$	0
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000%	12/15/2015		2,600		(5	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000%	12/15/2007		4,700		(12	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000%	12/15/2010		400		(1	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000%	12/15/2015		600		(4	)
UBS Warburg LLC	3-month USD-LIBOR	Receive	6.000%	12/18/2033		700		(80	)
							$	(102	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007	$	500	$	20
								$	20

(f) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	08/26/2005	13	$	3	$	1
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	10		2		1
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	3		1		1
					$	6	$	3

(g) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	4.250	11/15/2013	$	1,700	$	1,742	$	1,742

See accompanying notes

Schedule of Investments

RealEstateRealReturn Strategy Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 2.1%
Banking & Finance 1.1%
Ford Motor Credit Co.
5.800% due 01/12/2009	$	7,400		$	7,030
General Motors Acceptance Corp.
4.050% due 01/16/2007 (a)		1,200			1,174
					8,204
Industrials 1.0%
DaimlerChrysler NA Holding Corp.
3.859% due 09/10/2007 (a)		3,200			3,202
General Motors Corp.
8.375% due 07/15/2033		4,900			4,116
					7,318
Total Corporate Bonds & Notes (Cost $15,125)					15,522
MUNICIPAL BONDS & NOTES 0.1%
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		500			527
6.125% due 06/01/2032		400			423
Total Municipal Bonds & Notes (Cost $786)					950
U.S. TREASURY OBLIGATIONS 91.8%
Treasury Inflation Protected Securities (b)
3.500% due 01/15/2011		20,904			23,175
3.000% due 07/15/2012		92,733			101,884
1.875% due 07/15/2013		11,017			11,256
2.000% due 01/15/2014		26,481			27,285
2.000% due 07/15/2014		158,224			163,089
1.625% due 01/15/2015		62,561			62,353
2.375% due 01/15/2025		103,215			113,016
3.625% due 04/15/2028		67,362			90,531
3.875% due 04/15/2029		55,269			77,696
3.375% due 04/15/2032		1,096			1,491
U.S. Treasury Bond
6.625% due 02/15/2027		1,100			1,460
Total U.S. Treasury Obligations (Cost $661,163)					673,236
MORTGAGE-BACKED SECURITIES 0.1%
Countrywide Home Loan Mortgage Pass-Through Trust
3.654% due 06/25/2035 (a)		900			900
Total Mortgage-Backed Securities (Cost $900)					900
ASSET-BACKED SECURITIES 0.2%
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		300			300
Quest Trust
3.494% due 03/25/2035 (a)		387			387
Redwood Capital Ltd.
6.950% due 01/01/2006 (a)		300			300
5.400% due 01/09/2006 (a)		300			300
Wells Fargo Home Equity Trust
3.474% due 06/25/2019 (a)		79			78
Total Asset-Backed Securities (Cost $1,366)					1,365
SOVEREIGN ISSUES 0.7%
Republic of Brazil
11.000% due 01/11/2012		1,100			1,312
4.313% due 04/15/2012 (a)		265			256
8.000% due 04/15/2014		528			544
Russian Federation
8.250% due 03/31/2010 (a)		500			546
5.000% due 03/31/2030 (a)		1,800			2,014
Total Sovereign Issues (Cost $4,451)					4,672
FOREIGN CURRENCY-DENOMINATED ISSUES (i) 0.8%
Commonwealth of Canada
3.000% due 12/01/2036 (b)	C$	207			211
Kingdom of Spain
5.750% due 07/30/2032	EC	500			819
Republic of France
3.000% due 07/25/2012 (b)		1,770			2,461
5.750% due 10/25/2032		300			493
Republic of Germany
6.250% due 01/04/2030		500			859
Republic of Italy
2.150% due 09/15/2014 (b)		521			680
Total Foreign Currency-Denominated Issues (Cost $5,741)					5,523
SHORT-TERM INSTRUMENTS 21.4%
Commercial Paper 19.1%
Fannie Mae
2.967% due 07/01/2005	$	19,600			19,600
Federal Home Loan Bank
2.963% due 07/01/2005		19,600			19,600
3.225% due 09/09/2005		4,800			4,768
Freddie Mac
3.310% due 11/02/2005		14,400			14,228
General Electric Capital Corp.
3.290% due 09/09/2005		20,000			19,868
Rabobank USA Financial Corp.
3.370% due 07/01/2005		17,800			17,800
3.160% due 08/08/2005		3,600			3,588
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		19,600			19,600
UBS Finance Delaware LLC
3.390% due 07/01/2005		19,500			19,500
3.230% due 09/19/2005		1,900			1,886
					140,438
Repurchase Agreements 1.7%
Credit Suisse First Boston
2.700% due 07/01/2005		8,700			8,700
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500% due 08/15/2009 valued at $8,900. Repurchase proceeds are $8,701.)
State Street Bank
2.650% due 07/01/2005		3,531			3,531
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $3,605. Repurchase proceeds are $3,531.)
					12,231
U.S. Treasury Bills 0.6%
2.956% due 09/01/2005-09/15/2005 (c)(d)(e)		4,405			4,374
Total Short-Term Instruments (Cost $157,062)					157,043
Total Investments (Cost $846,594)		117.2	%	$	859,211
Written Options (g) (Premiums $125)		(0.1	%)		(96	)
Other Assets and Liabilities (Net)		(17.1	%)		(125,760	)
Net Assets		100.0	%	$	733,355

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $2,982 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(e) Securities with an aggregate market value of $899 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Euro-Bund 10-Year Note Long Futures	09/2005	53	$	65
U.S. Treasury 10-Year Note Short Futures	09/2005	94		(41	)
U.S. Treasury 30-Year Bond Short Futures	09/2005	46		(133	)
U.S. Treasury 5-Year Note Long Futures	09/2005	783		(324	)
			$	(433	)

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Bank of America	3-month Canadian Bank Bill	Receive	5.000	%	06/15/2015	C$	18,000	$	(762	)
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	6,400		566
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	16,800		0
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		1,000		3
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		6,900		(14	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		3,300		0
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		1,300		(4	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		11,200		(73	)
UBS Warburg LLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		10,700		27
								$	(257	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.820	%	06/20/2007	$	3,500	$	62
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.950	%	06/20/2006		1,000		12
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	06/20/2007		200		3
HSBC Bank USA	Ford Motor Co. 7.000% due 10/01/2013	Sell	2.680	%	06/20/2007		100		1
HSBC Bank USA	Ford Motor Co. 7.450% due 07/16/2031	Sell	2.410	%	06/20/2007		1,000		(2	)
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.900	%	06/20/2006		1,000		11
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.550	%	06/20/2007		1,000		13
Merrill Lynch & Co., Inc.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.450	%	06/20/2007		1,000		24
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.900	%	06/20/2006		1,000		11
Morgan Stanley Dean Witter & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.750	%	06/20/2007		1,000		30
Morgan Stanley Dean Witter & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.400	%	06/20/2007		1,000		23
UBS Warburg LLC	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2007		1,000		22
Wachovia Bank N.A.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.410	%	06/20/2007		1,000		23
								$	233

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	Wilshire Real Estate Investment Trust Total Return Index	1-week USD-LIBOR plus a spread	08/31/2005	$	76	$	14,774
Credit Suisse First Boston	Wilshire Real Estate Investment Trust Total Return Index	1-week USD-LIBOR plus a spread	10/31/2005		96		19,819
						$	34,593

(g) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	115.000	08/26/2005	28	$	11	$	9
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	207		46		29
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	100		20		9
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	70		12		14
Put - CBOT U.S. Treasury Note December Futures		110.000	11/22/2005	65		36		35
					$	125	$	96

(h) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	4.250	11/15/2013	$	8,200	$	8,403	$	8,403

(i) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation	)
Sell	EC	4,229	08/2005	$	13	$	0		$	13
Buy	JY	276,883	07/2005		0		(102	)		(102	)
Buy	PZ	133	09/2005		0		0			0
Buy	RR	1,128	09/2005		0		0			0
Buy	SV	1,175	09/2005		0		0			0
				$	13	$	(102	)	$	(89	)

See accompanying notes

Schedule of Investments

Short Duration Municipal Income Fund

June 30, 2005 (unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 1.1%
Banking & Finance 1.1%
General Motors Acceptance Corp.
4.145% due 05/18/2006 (a)	$	4,000		$	3,982
Total Corporate Bonds & Notes (Cost $3,926)					3,982
MUNICIPAL BONDS & NOTES 97.0%
Alabama 1.7%
Jefferson County, Alabama Limited Obligation Revenue Bonds, Series 2004-A
5.000% due 01/01/2009		1,100			1,159
5.250% due 01/01/2013		4,350			4,784
					5,943
Alaska 1.9%
City of Valdez, Alaska Marine Revenue Bonds, Series 2001
2.220% due 12/01/2029 (a)		2,400			2,400
North Slope Boro, Alaska General Obligation Bonds, (MBIA Insured), Series 2000-B
0.000% due 06/30/2008		1,345			1,224
North Slope Boro, Alaska General Obligation Bonds, (MBIA Insured), Series 2004-A
0.000% due 06/30/2006		725			703
0.000% due 06/30/2007		2,500			2,343
					6,670
Arizona 3.2%
Greater Arizona Development Authority Infrastructure Revenue Bonds, (MBIA Insured), Series 2005-A
5.000% due 08/01/2011		2,195			2,413
5.000% due 08/01/2012		2,305			2,549
Maricopa County, Arizona Hospital Revenue Bonds, Series 2005
5.000% due 04/01/2010		2,000			2,107
Phoenix, Arizona Civic Improvement Corp. Wastewater System Revenue Bonds, (MBIA Insured), Series 2004
9.936% due 07/01/2015 (a)		1,000			1,322
Salt River Project, Arizona Agricultural Improvement & Power District Electrical System Revenue Bonds, Series 2004
5.000% due 01/01/2011		3,000			3,286
					11,677
California 4.2%
California State Public Works Board Revenue Bonds, (AMBAC Insured), Series 1996
5.500% due 10/01/2012		3,500			3,686
Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue Bonds, Series 2003-A1
5.000% due 06/01/2021		7,950			8,040
Pittsburg, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2003
5.000% due 08/01/2011		825			909
Santa Clara Valley, California Transportational Authority Sales Tax Revenue Bonds, (AMBAC Insured), Series 2004-B
5.000% due 04/01/2036 (a)		2,500			2,569
					15,204
Colorado 1.8%
Colorado Department of Transportation Revenue Bonds, (AMBAC Insured), Series 2000
6.000% due 06/15/2010		5,680			6,429
Connecticut 0.3%
Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series 2001
2.450% due 07/01/2036 (a)		300			300
New Britain, Connecticut General Obligation Bonds, Series 2003
3.000% due 04/15/2006		140			140
4.000% due 04/15/2007		560			570
					1,010
Florida 1.8%
Collier County, Florida Multi-Family Housing Finance Authority Revenue Bonds, (Fannie Mae Insured), Series 2002
4.600% due 08/15/2011		665			699
Dade County, Florida Guaranteed Entitlement Revenue Bonds, (MBIA Insured), Series 1995
0.000% due 02/01/2018		2,000			979
Florida State Board of Education General Obligation Bonds, Series 2002
5.375% due 01/01/2010		3,000			3,297
Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997
5.359% due 12/01/2017 (a)		500			547
Hillsborough County, Florida Utility Revenue Bonds, Series 1978
6.200% due 12/01/2008		290			305
Orlando, Florida Waste Water System Revenue Bonds, Series 1997
2.620% due 10/01/2015 (a)		750			758
					6,585
Georgia 0.3%
Georgia State General Obligation Bonds, Series 1994
6.750% due 12/01/2010		1,000			1,181
Illinois 9.0%
Chicago, Illinois Board of Education Certificates of Participation Bonds, (MBIA Insured), Series 1992
6.250% due 01/01/2011		3,000			3,442
Chicago, Illinois General Obligation Bonds, (XLCA Insured), Series 2003
0.000% due 12/01/2008		2,500			2,257
Chicago, Illinois Sales Tax Revenue Bonds, (FGIC Insured), Series 1998
5.250% due 01/01/2010		1,150			1,251
Chicago, Illinois Tax Increment Tax Allocation Bonds, (AMBAC Insured), Series 2000-A
0.000% due 12/01/2008		10,000			8,967
Cook County, Illinois General Obligation Bonds, (FGIC Insured), Series 1996
6.500% due 11/15/2009		3,750			4,266
Illinois Educational Facilities Authority Revenue Bonds, Series 1993
9.270% due 07/01/2012 (a)		300			308
Illinois Finance Authority Revenue Bonds, Series 2004
5.250% due 11/15/2012		1,000			1,102
Illinois Health Facilities Authority Revenue Bonds, Series 1978
6.250% due 07/01/2006		185			188
Illinois State General Obligation Bonds, (MBIA Insured), Series 2002
5.250% due 08/01/2011		2,000			2,220
Illinois State Sales Tax Revenue Bonds, Series 2004
5.000% due 06/15/2011		1,225			1,339
Kane County, Illinois Community Unit School District No. 304 Geneva General Obligation Bonds, (FGIC Insured), Series 2004-A
0.000% due 01/01/2014		1,000			715
Kendall, Kane & Will Counties, Illinois Community Unit School District No. 308 General Obligation Bonds, (FSA Insured), Series 2003-C
0.000% due 10/01/2012		2,000			1,516
Lake County, Illinois School District No 38 General Obligation Bonds, (AMBAC Insured), Series 2005
0.000% due 02/01/2022		5,000			2,361
McHenry & Kane Counties, Illinois Community Consolidated School District No. 158 General Obligation Bonds, (FGIC Insured), Series 2004
0.000% due 01/01/2009		1,390			1,238
Sangamon County, Illinois School District No. 186 Springfield General Obligation Bonds, (FGIC Insured), Series 2004
0.000% due 10/01/2008		1,225			1,095
0.000% due 10/01/2010		15			12
					32,277
Kansas 0.1%
Wichita, Kansas Water & Sewer Utility Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 10/01/2010		355			386
Massachusetts 5.9%
Massachusetts Bay, Massachusetts Transportation Authority Sales Tax Revenue Bonds, Series 2004
1.407% due 07/01/2020 (a)		7,005			7,083
Massachusetts Municipal Wholesale Electric Company Power Supply System Revenue Bonds, (AMBAC Insured), Series 1993
5.450% due 07/01/2018 (a)		1,400			1,417
Massachusetts Municipal Wholesale Electric Company Power Supply System Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 07/01/2010		1,000			1,082
Massachusetts State General Obligation Bonds, (MBIA-IBC Insured), Series 1996
6.000% due 11/01/2011		1,500			1,733
Massachusetts State General Obligation Bonds, FSA Government of Commonwealth Insured, Series 2002-C
5.500% due 11/01/2010		2,000			2,231
Massachusetts State General Obligation Bonds, Series 1998
5.250% due 04/01/2011		1,000			1,074
Massachusetts State Special Obligation Dedicated Tax Revenue Bonds, (FGIC Insured), Series 2004
1.293% due 01/01/2016 (a)		3,200			3,475
Worcester, Massachusetts General Obligation Bonds, (FGIC Insured), Series 2001
5.500% due 10/01/2012		2,635			2,958
					21,053
Michigan 7.5%
Clintondale, Michigan Community Schools General Obligation Bonds, (FGIC Q-SBLF Insured), Series 2004
5.000% due 05/01/2011		960			1,053
Michigan Municipal Bond Authority Revenue Bonds, Series 2003
5.000% due 05/01/2011		7,000			7,672
5.250% due 06/01/2010		5,000			5,485
Michigan State Building Authority Revenue Bonds, Series 2002
5.000% due 10/01/2010		1,565			1,708
Michigan State Environmental Protection General Obligation Bonds, Series 1992
6.250% due 11/01/2012		2,750			3,165
Michigan State Strategic Funding Revenue Bonds, Series 1991
7.100% due 02/01/2006		2,500			2,533
Rochester, Michigan Community School District General Obligation Bonds, (FSA Q-SBLF Insured), Series 2004
5.000% due 05/01/2011		5,030			5,516
					27,132
Minnesota 0.8%
Minnesota State General Obligation Bonds, Series 2004
7.460% due 10/01/2009 (a)		2,500			2,916
Nebraska 1.6%
Nebraska Public Power District Revenue Bonds, (AMBAC Insured), Series 2002
5.000% due 01/01/2010		3,440			3,715
University of Nebraska University Revenue Bonds, Series 2004
5.000% due 11/01/2006		2,050			2,107
					5,822
Nevada 0.5%
Clark County, Nevada Residual Bonds, (AMBAC Insured), Series 2004
9.934% due 12/01/2015 (a)		1,303			1,753
New Jersey 1.2%
New Jersey Economic Development Authority Revenue Bonds, Series 1998
6.375% due 04/01/2018		500			610
New Jersey State General Obligation Bonds, Series 2003
5.000% due 07/15/2010		1,000			1,087
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.125% due 06/01/2024		1,500			1,604
New Jersey Wastewater Treatment Trust Revenue Bonds, (MBIA Insured), Series 1997
7.000% due 05/15/2009		1,020			1,166
					4,467
New Mexico 1.0%
New Mexico State Highway Commission Revenue Bonds, (AMBAC Insured), Series 2002
5.000% due 06/15/2010		3,265			3,543
New York 15.8%
New York City, New York General Obligation Bonds, (FGIC Insured), Series 1998-H
5.250% due 08/01/2010		2,505			2,696
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2004-992
10.726% due 11/01/2015 (a)		1,000			1,330
New York City, New York Municipal Water Finance Authority Revenue Bonds, (Dexia Credit Local FRNC Insured), Series 2000
2.250% due 06/15/2033 (a)		1,000			1,000
New York City, New York Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Series 2003-F2
2.250% due 06/15/2035 (a)		4,060			4,060
New York City, New York Transitional Finance Authority Revenue Bonds, (Bank of New York Insured), Series 2002-3B
2.480% due 11/01/2022 (a)		500			500
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2003-E
5.250% due 02/01/2012		2,405			2,684
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2005-A1
5.000% due 11/01/2010		7,500			8,174
5.000% due 11/01/2011		1,400			1,536
New York State Dormitory Authority Revenue Bonds, (FGIC Insured), Series 2005-A
5.000% due 05/15/2010		1,000			1,088
New York State Dormitory Authority Revenue Bonds, Series 1993
5.750% due 07/01/2009		8,085			8,752
New York State Dormitory Authority Revenue Bonds, Series 2002-B
6.000% due 11/15/2029 (a)		800			914
New York State Environmental Facilities Corp. Revenue Bonds, Series 2003
5.000% due 03/15/2010		2,000			2,160
New York State Local Government Assistance Corp. Revenue Bonds, (FSA Insured), Series 2003
5.000% due 04/01/2012		500			551
New York State Thruway Service Contract Revenue Bonds, Series 2002
5.250% due 04/01/2010		3,000			3,274
New York State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003-A1
5.250% due 06/01/2012		4,000			4,085
New York State Transitional Finance Authority Revenue Bonds, Series 2004-D1
5.000% due 11/01/2010		3,000			3,270
New York State Urban Development Corp. Revenue Bonds, (FSA Insured), Series 1994
6.500% due 01/01/2011		4,000			4,681
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		2,000			2,201
TSASC, Inc. Tobacco Settlement Revenue Bonds, Series 2002
5.000% due 07/15/2014		2,000			2,073
5.400% due 07/15/2012		1,700			1,783
					56,812
North Carolina 0.3%
North Carolina Eastern Municipal Power Agency Power Systems Revenue Bonds, Series 1993
7.000% due 01/01/2008		1,000			1,085
Ohio 4.3%
Cleveland, Ohio Public Power System Revenue Bonds, (MBIA Insured), Series 1994-A
0.000% due 11/15/2008		5,480			4,936
Ohio State Air Quality Development Authority Revenue Bonds, Series 1995
5.000% due 11/01/2015		1,000			1,066
Ohio State Higher Education General Obligation Bonds, Series 2003
5.000% due 05/01/2011		2,315			2,537
Ohio State Mental Health Capability Facilities Revenue Bonds, (AMBAC Insured), Series 2004
5.000% due 08/01/2011		4,190			4,586
Ohio State Water Development Authority Revenue Bonds, Series 2003
5.000% due 06/01/2011		2,000			2,194
					15,319
Oklahoma 1.9%
Oklahoma City, Oklahoma General Obligation Bonds, Series 1999
5.000% due 07/01/2011		100			108
Oklahoma Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		5,900			6,527
Tulsa, Oklahoma Apartments Improvement Trust General Revenue Bonds, (FGIC Insured), Series 1978
6.400% due 06/01/2006		90			93
					6,728
Oregon 0.4%
Oregon State Facilities Authority Revenue Bonds, Series 2005-A
5.000% due 10/01/2011		795			853
5.000% due 10/01/2012		435			468
					1,321
Pennsylvania 0.5%
Deer Lakes, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 1995
6.000% due 01/15/2006		140			143
Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1985
2.220% due 12/01/2015 (a)		100			100
Pennsylvania State General Obligation Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2010		500			545
Pennsylvania State General Obligation Bonds, Series 2002
5.250% due 02/01/2010		1,000			1,093
					1,881
Puerto Rico 1.4%
Puerto Rico Children’s Trust Fund Tobacco Settlement Revenue Bonds, Series 2000
5.750% due 07/01/2010		250			281
Puerto Rico Commonwealth General Obligation Bonds, Series 2003
5.000% due 07/01/2018		2,000			2,092
Puerto Rico Commonwealth Highway & Transportation Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 07/01/2026 (a)		2,600			2,812
					5,185
South Carolina 2.8%
South Carolina State Public Service Authority Revenue Bonds, (FSA Insured), Series 2004
5.000% due 01/01/2010		6,090			6,603
South Carolina Transportation Infrastructure Bank Revenue Bonds, (AMBAC Insured), Series 2002
5.000% due 10/01/2010		3,300			3,604
					10,207
Tennessee 2.2%
Memphis, Tennessee Electrical System Revenue Bonds, (MBIA Insured), Series 2003
7.460% due 12/01/2010 (a)		6,300			7,463
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 1977
6.100% due 07/01/2010		380			408
					7,871
Texas 13.2%
Austin, Texas General Obligation Bonds, Series 2003
5.000% due 09/01/2011		2,000			2,184
Dallas, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2004
5.000% due 02/15/2012		2,450			2,686
Fort Worth, Texas Water & Sewage Revenue Bonds, (FSA Insured), Series 2003
5.000% due 02/15/2012		2,500			2,752
Harris County, Texas General Obligation Bonds, Series 1991
0.000% due 08/01/2008		8,005			7,249
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		16,000			10,813
Houston, Texas Water Conveyance System Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.125% due 12/15/2009		1,000			1,125
6.800% due 12/15/2011		3,000			3,591
Laredo, Texas General Obligation Bonds, (FGIC Insured), Series 1996
5.250% due 02/15/2009		400			406
Lower Colorado River Authority, Texas Revenue Bonds, (FSA Insured), Series 1999
6.000% due 05/15/2010		400			447
North East Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
5.000% due 08/01/2033 (a)		4,875			5,398
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022 (a)		1,000			1,073
Southeast Texas Hospital Financing Agency Revenue Bonds, Series 1979
7.500% due 12/01/2009		710			784
Texas Municipal Power Agency Revenue Bonds, (AMBAC Insured), Series 1989
0.000% due 09/01/2008		1,200			1,085
Texas State General Obligation Bonds, Series 2002
5.250% due 08/01/2010		1,050			1,153
Texas State Water Financial Assistance General Obligation Bonds, Series 2002
5.000% due 08/01/2009		685			737
University of Texas, University Revenue Bonds, Series 2005
5.250% due 08/15/2013 (a)		4,678			5,859
					47,342
Virginia 1.6%
Virginia State Public School Authority Revenue Bonds, Series 2003
5.250% due 08/01/2010		4,640			5,107
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.250% due 06/01/2019		750			765
					5,872
Washington 7.6%
Energy Northwest, Washington Electric Revenue Bonds, (AMBAC Insured), Series 2004-A
5.250% due 07/01/2009		2,250			2,435
Energy Northwest, Washington Electric Revenue Bonds, (MBIA Insured), Series 2003-A
5.500% due 07/01/2012		1,500			1,696
Everett, Washington Water & Sewer Revenue Bonds, (MBIA Insured), Series 2003
4.500% due 07/01/2011		1,495			1,598
Pierce County, Washington School District No. 3 Puyallup General Obligation Bonds, (FSA Insured), Series 2004
5.000% due 06/01/2011		5,990			6,559
Washington State Motor Vehicle Fuel General Obligation Bonds, Series 2001-D
5.000% due 01/01/2012		2,000			2,157
Washington State Motor Vehicle Tax General Obligation Bonds, (AMBAC Insured), Series 2004-F
0.000% due 12/01/2008		1,775			1,574
0.000% due 12/01/2019		2,960			1,577
Washington State Public Power Supply System & Nuclear Project No. 1 Revenue Bonds, (AMBAC Insured), Series 1996
6.000% due 07/01/2007		1,000			1,052
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
5.250% due 06/01/2010		8,245			8,794
					27,442
West Virginia 0.0%
Kanawha County, West Virginia Residential Mortgage Revenue Bonds, (FGIC Insured), Series 1979
7.375% due 09/01/2010		130			144
Wisconsin 2.2%
Badger Tobacco Asset Securitization Corp., Wisconsin Revenue Bonds, Series 2002
5.000% due 06/01/2008		2,240			2,336
Wisconsin Housing & Economic Development Revenue Bonds, (MBIA Government of Authority Insured), Series 2002
4.500% due 05/01/2010		1,045			1,078
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 05/01/2012		3,000			3,301
Wisconsin State Petroleum Revenue Bonds, (FSA Insured), Series 2004
5.000% due 07/01/2012		1,000			1,076
					7,791
Total Municipal Bonds & Notes (Cost $347,155)					349,048
SHORT-TERM INSTRUMENTS 3.5%
Repurchase Agreement 0.0%
State Street Bank
2.650% due 07/01/2005		37			37
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $40. Repurchase proceeds are $37.)
U.S. Treasury Bills 3.5%
2.936% due 09/01/2005-09/15/2005(b)(c)		12,750			12,665
Total Short-Term Instruments (Cost $12,714)					12,702
Total Investments (Cost $363,795)		101.6	%	$	365,732
Written Options (e) (Premiums $298)		(0.1	%)		(298	)
Other Assets and Liabilities (Net)		(1.5	%)		(5,532	)
Net Assets		100.0	%	$	359,902

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a)Variable rate security.

(b) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(c) Securities with an aggregate market value of $6,709 have been pledged as collateral for swap contracts at June 30, 2005.

(d) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	130,200	$	(844	)

(e) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	113.000	08/26/2005	218	$	187	$	256
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	450		111		42
					$	298	$	298

See accompanying notes

Schedule of Investments

Short-Term Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 0.5%
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)	$	22,000		$	21,883
Total Bank Loan Obligations (Cost $22,000)					21,883
CORPORATE BONDS & NOTES 10.8%
Banking & Finance 3.6%
Associates Corp. of North America
6.260% due 02/15/2006		830			842
CS First Boston Mortgage Securities Corp.
5.250% due 10/27/2005 (a)		4,199			4,218
Ford Motor Credit Co.
6.875% due 02/01/2006		19,585			19,783
General Electric Capital Corp.
3.570% due 09/23/2005 (a)		20,000			20,013
General Motors Acceptance Corp.
7.500% due 07/15/2005		800			800
4.395% due 10/20/2005 (a)		3,460			3,463
6.750% due 01/15/2006		13,050			13,155
4.145% due 05/18/2006 (a)		2,625			2,613
6.125% due 09/15/2006		1,932			1,934
3.700% due 03/20/2007 (a)		1,250			1,213
Goldman Sachs Group, Inc.
3.151% due 08/01/2006 (a)		42,010			42,016
3.778% due 06/28/2010 (a)		5,260			5,272
GP Canada Finance Co.
7.200% due 12/15/2006		200			208
HBOS Treasury Services PLC
3.230% due 07/29/2005 (a)		1,500			1,500
Household Finance Corp.
6.700% due 11/13/2005		10,500			10,601
HSBC Finance Corp.
3.260% due 05/10/2007 (a)		8,380			8,381
NiSource Finance Corp.
7.625% due 11/15/2005		15,000			15,198
Premium Asset Trust
3.420% due 10/06/2005 (a)		500			500
SLM Corp.
3.281% due 01/25/2007 (a)		870			872
Toyota Motor Credit Corp.
3.200% due 09/18/2006 (a)		2,500			2,500
USAA Capital Corp.
7.050% due 11/08/2006		445			462
Vita Capital Ltd.
4.450% due 01/01/2007 (a)		3,000			3,007
					158,551
Industrials 4.8%
AmeriGas Partners LP
10.000% due 04/15/2006		8,210			8,518
Ball Corp.
7.750% due 08/01/2006		6,608			6,872
Caesars Entertainment, Inc.
7.875% due 12/15/2005		6,434			6,547
8.500% due 11/15/2006		3,500			3,706
Columbia Energy Group
6.800% due 11/28/2005		7,009			7,085
Comcast Continental Cablevision, Inc.
8.875% due 09/15/2005		200			202
DaimlerChrysler NA Holding Corp.
6.400% due 05/15/2006		5,135			5,236
3.890% due 05/24/2006 (a)		5,000			5,014
4.228% due 08/08/2006 (a)		400			403
3.859% due 09/10/2007 (a)		22,000			22,013
Delhaize America, Inc.
7.375% due 04/15/2006		2,000			2,054
Duke Energy Field Services LLC
7.500% due 08/16/2005		1,320			1,325
Electronic Data Systems Corp.
6.334% due 08/17/2006		3,500			3,551
Enterprise Products Operating LP
4.000% due 10/15/2007		2,260			2,239
Fort James Corp.
6.875% due 09/15/2007		13,090			13,679
Georgia-Pacific Corp.
7.500% due 05/15/2006		4,930			5,078
Harrah’s Operating Co., Inc.
7.875% due 12/15/2005		9,461			9,627
HCA, Inc.
7.125% due 06/01/2006		2,800			2,874
ITT Corp.
6.750% due 11/15/2005		9,300			9,405
JC Penney Co., Inc.
6.500% due 12/15/2007		5,953			6,161
Lenfest Communications, Inc.
8.375% due 11/01/2005		4,000			4,057
Mallinckrodt, Inc.
6.750% due 09/15/2005		3,000			3,012
MCI, Inc.
6.608% due 05/01/2007		462			470
7.688% due 05/01/2009		462			482
8.735% due 05/01/2014		396			445
Mirage Resorts, Inc.
7.250% due 10/15/2006		3,300			3,411
6.750% due 08/01/2007		3,530			3,658
News America Holdings
7.430% due 10/01/2026		18,500			21,867
Safeway, Inc.
6.150% due 03/01/2006		9,696			9,802
TCI Communications, Inc.
8.000% due 08/01/2005		4,400			4,413
7.610% due 10/04/2005		2,385			2,404
6.875% due 02/15/2006		4,925			5,006
Time Warner, Inc.
8.110% due 08/15/2006		674			701
Tyco International Group S.A.
6.375% due 02/15/2006		11,544			11,700
United Airlines, Inc.
2.630% due 03/02/2049 (a)(b)		7,573			7,328
Yum! Brands, Inc.
8.500% due 04/15/2006		9,810			10,138
					210,483
Utilities 2.4%
CenterPoint Energy Resources Corp.
8.125% due 07/15/2005		21,401			21,424
Dominion Resources, Inc.
7.625% due 07/15/2005		8,260			8,267
3.568% due 05/15/2006 (a)		3,000			3,007
Duke Energy Corp.
3.820% due 12/08/2005 (a)		1,200			1,200
Entergy Gulf States, Inc.
3.600% due 06/01/2008		5,635			5,520
GPU, Inc.
7.700% due 12/01/2005		5,680			5,762
Ohio Edison Co.
4.000% due 05/01/2008		22,678			22,443
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		220			220
Pepco Holdings, Inc.
3.750% due 02/15/2006		4,500			4,493
Potomac Electric Power Co.
6.500% due 09/15/2005		1,500			1,508
PSEG Power LLC
6.875% due 04/15/2006		5,350			5,462
PSI Energy, Inc.
6.500% due 08/01/2026 (a)		4,100			4,109
Southern California Edison Co.
3.440% due 01/13/2006 (a)		2,500			2,503
Southwestern Electric Power
4.500% due 07/01/2005		3,385			3,385
TXU Energy Co. LLC
3.920% due 01/17/2006 (a)		7,500			7,499
Virginia Electric & Power Co.
5.750% due 03/31/2006		8,245			8,351
5.375% due 02/01/2007		385			392
					105,545
Total Corporate Bonds & Notes (Cost $474,133)					474,579
U.S. GOVERNMENT AGENCIES 26.5%
Fannie Mae
2.500% due 06/28/2006 (a)		500			494
2.810% due 09/28/2006		4,000			3,949
2.820% due 09/06/2005 (a)		19,100			19,095
2.925% due 09/22/2006 (a)		38,400			38,389
2.970% due 09/15/2005 (a)		40,000			39,997
2.990% due 10/03/2005 (a)		85,900			85,900
3.155% due 10/21/2005 (a)		87,600			87,598
3.179% due 05/22/2006 (a)		20,900			20,893
3.235% due 09/07/2006 (a)		280,200			280,190
3.314% due 09/21/2006 (a)		15,000			14,996
3.360% due 07/25/2035 (a)		4,500			4,501
3.433% due 05/01/2021 (a)		142			144
3.464% due 08/25/2034 (a)		7,671			7,665
3.500% due 04/25/2017		4,239			4,218
3.514% due 11/26/2032 (a)		3,526			3,525
3.650% due 02/01/2018 - 04/01/2029 (a)(e)		347			351
3.658% due 01/01/2029 (a)		56			56
3.764% due 10/25/2030 (a)		17			17
3.801% due 06/01/2034 (a)		100			101
3.914% due 10/25/2017 (a)		688			695
3.970% due 08/01/2026 (a)		49			51
3.971% due 05/01/2036 (a)		26,117			26,543
4.057% due 11/01/2025 (a)		32			33
4.288% due 05/01/2036 (a)		476			485
4.375% due 10/01/2023 (a)		40			41
4.646% due 07/01/2029 (a)		640			652
4.656% due 08/01/2029 (a)		4,574			4,712
5.442% due 12/01/2040 (a)		1,652			1,702
5.489% due 01/01/2032 (a)		1,941			1,957
5.500% due 08/11/2035		2,000			2,024
6.000% due 02/25/2008		29			30
6.500% due 05/01/2021 - 10/25/2042 (e)		2,570			2,539
6.673% due 07/01/2034 (a)		149			149
7.000% due 03/01/2013		99			104
9.007% due 06/25/2032 (a)		1,579			1,683
Federal Home Loan Bank
3.039% due 10/03/2005 (a)		35,000			35,000
3.040% due 08/02/2005 (a)		63,100			63,100
3.250% due 08/15/2005		35,000			34,990
3.259% due 06/12/2006 (a)		135,400			135,395
3.265% due 09/12/2005		156,200			156,184
3.270% due 06/13/2006 (a)		33,700			33,697
Federal Housing Administration
7.350% due 04/01/2019		634			639
7.430% due 09/01/2022		98			99
7.435% due 02/01/2019		320			324
Freddie Mac
3.000% due 11/15/2017		359			358
3.183% due 11/07/2005 (a)		5,000			5,001
3.620% due 06/15/2031 (a)		915			921
3.625% due 08/01/2017 (a)		188			189
4.000% due 09/22/2009		8,500			8,433
6.500% due 07/25/2043		658			688
Government National Mortgage Association
3.375% due 05/20/2021 - 05/20/2030 (a)(e)		11,389			11,570
3.500% due 08/20/2029 - 09/20/2029 (a)(e)		8,165			8,246
3.736% due 02/16/2030 (a)		124			125
3.750% due 07/20/2022 - 09/20/2027(a)(e)		1,254			1,275
4.000% due 02/20/2032 (a)		2,765			2,804
4.125% due 10/20/2017 - 10/20/2027(a)(e)		2,121			2,160
4.250% due 03/20/2029 - 03/20/2030 (a)(e)		2,735			2,773
4.375% due 01/20/2022 - 01/20/2026(a)(e)		2,129			2,161
4.625% due 02/20/2019 (a)		44			44
6.000% due 01/15/2032 - 03/15/2032 (e)		3,365			3,475
7.500% due 02/20/2030		381			401
8.000% due 12/15/2030 - 03/15/2032(e)		411			444
8.500% due 06/20/2027		395			430
Small Business Administration
7.540% due 08/10/2009		276			296
Total U.S. Government Agencies (Cost $1,166,278)					1,166,701
U.S. TREASURY OBLIGATIONS 5.2%
Treasury Inflation Protected Securities (d)
3.375% due 01/15/2007		123			127
3.625% due 01/15/2008		43,980			46,552
3.875% due 01/15/2009		7,498			8,160
3.500% due 01/15/2011		447			496
U.S. Treasury Notes
3.750% due 03/31/2007		2,000			2,004
3.625% due 04/30/2007		1,000			1,000
3.375% due 12/15/2008		16,500			16,339
4.000% due 03/15/2010		6,300			6,371
4.875% due 02/15/2012		126,000			133,855
4.125% due 05/15/2015		14,500			14,716
Total U.S. Treasury Obligations (Cost $226,353)					229,620
MORTGAGE-BACKED SECURITIES 5.1%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (a)		4,985			4,961
Banc of America Large Loan
3.420% due 11/15/2015 (a)		3,294			3,296
Bank of America Mortgage Securities, Inc.
6.548% due 07/25/2032 (a)		628			637
5.549% due 10/20/2032 (a)		3,635			3,658
6.500% due 02/25/2033		2,412			2,452
Bear Stearns Adjustable Rate Mortgage Trust
5.257% due 10/25/2032 (a)		310			310
3.594% due 02/25/2034 (a)		3,989			4,005
Commercial Mortgage Pass-Through Certificates
3.400% due 03/15/2020 (a)		4,690			4,692
Countrywide Home Loan Mortgage Pass-Through Trust
3.654% due 06/25/2035 (a)		22,900			22,907
Countrywide Home Loans, Inc.
6.281% due 07/19/2031 (a)		32			33
3.360% due 04/25/2034 (a)		566			565
CS First Boston Mortgage Securities Corp.
3.350% due 03/25/2032 (a)		299			300
3.704% due 05/25/2032 (a)		840			839
3.500% due 08/25/2033 (a)		11,848			11,913
Fieldstone Mortgage Investment Corp.
3.534% due 11/25/2033 (a)		4,225			4,230
First Republic Mortgage Loan Trust
3.634% due 06/25/2030 (a)		1,604			1,604
3.570% due 11/15/2031 (a)		1,528			1,538
3.520% due 08/15/2032 (a)		21,960			21,973
Greenwich Capital Acceptance, Inc.
2.665% due 06/25/2024 (a)		51			51
GSRPM Mortgage Loan Trust
3.714% due 11/25/2031 (a)		8,960			8,983
Harborview Mortgage Loan Trust
3.480% due 05/19/2035 (a)		5,914			5,890
Indymac Adjustable Rate Mortgage Trust
3.906% due 01/25/2032 (a)		15			15
6.642% due 01/25/2032 (a)		32			32
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,167			2,179
Mellon Residential Funding Corp.
3.750% due 10/20/2029 (a)		8,681			8,728
3.660% due 12/15/2030 (a)		6,558			6,571
Mortgage Capital Funding, Inc.
7.900% due 02/15/2006		136			139
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		546			553
SACO I, Inc.
3.504% due 07/25/2019 (a)		1,445			1,445
Sequoia Mortgage Funding Co.
0.800% due 10/21/2007 (c)		265,583			2,297
Sequoia Mortgage Trust
3.640% due 10/20/2027 (a)		9,310			9,329
3.600% due 06/20/2032 (a)		463			462
3.610% due 07/20/2033 (a)		12,444			12,383
Structured Adjustable Rate Mortgage Loan Trust
3.434% due 01/25/2035 (a)		1,799			1,800
Structured Asset Mortgage Investments, Inc.
3.590% due 09/19/2032 (a)		545			543
3.610% due 03/19/2033 (a)		7,076			7,084
Structured Asset Securities Corp.
6.112% due 02/25/2032 (a)		776			778
3.814% due 07/25/2032 (a)		2,158			2,162
6.150% due 07/25/2032 (a)		2,353			2,364
3.604% due 01/25/2033 (a)		1,478			1,484
3.210% due 03/25/2035 (a)		4,060			4,063
Vendee Mortgage Trust
6.500% due 05/15/2025		95			96
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (a)		13,503			13,498
5.129% due 10/25/2032 (a)		2,819			2,839
5.389% due 02/25/2033 (a)		1,454			1,457
3.904% due 06/25/2042 (a)		9,313			9,412
3.569% due 08/25/2042 (a)		8,597			8,644
Washington Mutual, Inc.
3.634% due 12/25/2027 (a)		6,909			6,918
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 01/25/2035 (a)		12,700			12,596
Total Mortgage-Backed Securities (Cost $224,627)					224,708
ASSET-BACKED SECURITIES 6.9%
AAA Trust
3.120% due 11/26/2035 (a)		51,653			51,742
Aames Mortgage Investment Trust
3.394% due 08/25/2035 (a)		6,851			6,857
Advanta Revolving Home Equity Loan Trust
3.684% due 01/25/2024 (a)		29			29
Ameriquest Mortgage Securities, Inc.
3.724% due 02/25/2033 (a)		422			422
3.724% due 03/25/2033 (a)		433			434
3.794% due 02/25/2034 (a)		941			941
3.650% due 06/25/2034 (a)		6,086			6,107
Amortizing Residential Collateral Trust
3.664% due 10/25/2031 (a)		1,681			1,685
3.604% due 07/25/2032 (a)		13			13
3.664% due 08/25/2032 (a)		280			281
Argent Securities, Inc.
3.764% due 09/25/2033 (a)		1,406			1,415
3.494% due 11/25/2034 (a)		419			420
Bear Stearns Asset-Backed Securities, Inc.
3.494% due 04/25/2023 (a)		107			107
3.644% due 10/25/2032 (a)		1,570			1,574
3.764% due 07/25/2033 (a)		4,983			4,993
3.564% due 04/25/2035 (a)		3,523			3,528
3.514% due 06/15/2043 (a)		134			134
Brazos Student Finance Corp.
4.110% due 06/01/2023 (a)		5,708			5,763
Carrington Mortgage Loan Trust
3.404% due 05/25/2035 (a)		3,390			3,388
3.240% due 06/25/2035 (a)		5,400			5,397
Centex Home Equity Co. LLC
3.574% due 04/25/2032 (a)		435			436
3.614% due 09/26/2033 (a)		1,912			1,915
3.326% due 06/25/2035 (a)		8,600			8,599
Chase Credit Card Master Trust
3.350% due 01/15/2008 (a)		1,300			1,301
CIT Group Home Equity Loan Trust
3.584% due 06/25/2033 (a)		124			124
Citifinancial Mortgage Securities, Inc.
3.624% due 05/25/2033 (a)		605			606
Citigroup Mortgage Loan Trust, Inc.
3.404% due 05/25/2035 (a)		1,914			1,916
Countrywide Asset-Backed Certificates
3.484% due 12/25/2018 (a)		122			122
3.504% due 09/25/2021 (a)		5,058			5,059
3.504% due 10/25/2021 (a)		417			417
3.230% due 09/25/2022 (a)		361			362
3.464% due 10/25/2023 (a)		265			265
3.554% due 12/25/2031 (a)		140			140
3.684% due 05/25/2032 (a)		504			505
3.240% due 12/25/2034 (a)		323			323
3.464% due 04/25/2035 (a)		12,872			12,882
3.340% due 06/25/2035 (a)		1,100			1,100
3.380% due 06/25/2035 (a)		4,400			4,403
3.400% due 06/25/2035 (a)		17,900			17,908
3.404% due 08/25/2035 (a)		3,764			3,768
3.380% due 10/25/2035 (a)		1,500			1,501
3.370% due 11/25/2035 (a)		6,600			6,600
Credit-Based Asset Servicing & Securitization LLC
3.654% due 01/25/2032 (a)		42			42
Delta Funding Home Equity Loan Trust
3.630% due 09/15/2029 (a)		105			105
Equifirst Mortgage Loan Trust
3.414% due 01/25/2034 (a)		152			152
Equity One ABS, Inc.
3.614% due 04/25/2034 (a)		8,857			8,866
Finance America Mortgage Loan Trust
3.484% due 06/25/2034 (a)		2,464			2,466
First Franklin Mortgage Loan Trust Asset-Backed Certificates
2.820% due 02/25/2034 (a)		4,400			4,400
First NLC Trust
3.436% due 09/25/2035 (a)		4,100			4,102
Fleet Credit Card Master Trust II
2.750% due 04/15/2008		300			299
Fremont Home Loan Trust
3.424% due 01/25/2035 (a)		590			591
3.414% due 06/25/2035 (a)		1,550			1,549
GMAC Mortgage Corp. Loan Trust
3.550% due 06/18/2027 (a)		210			211
GSAMP Trust
3.634% due 07/25/2032 (a)		116			116
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 10/20/2032 (a)		1,528			1,530
Home Equity Asset Trust
3.724% due 03/25/2033 (a)		472			473
3.774% due 05/25/2033 (a)		781			783
Home Equity Mortgage Trust
3.734% due 01/25/2034 (a)		70			70
3.464% due 12/25/2034 (a)		302			303
3.434% due 07/25/2035 (a)		11,097			11,104
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		548			550
Indymac Home Equity Loan Asset-Backed Trust
3.504% due 11/25/2034 (a)		4,102			4,105
Irwin Home Equity Loan Trust
3.834% due 06/25/2028 (a)		1,842			1,852
3.584% due 07/25/2032 (a)		1,305			1,307
Long Beach Mortgage Loan Trust
3.664% due 03/25/2032 (a)		117			119
3.634% due 06/25/2033 (a)		1,000			1,001
Merrill Lynch Mortgage Investors, Inc.
3.600% due 03/15/2025 (a)		1,653			1,661
3.403% due 12/25/2025 (a)		1,000			1,000
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.654% due 08/25/2033 (a)		5,005			5,014
3.454% due 08/25/2034 (a)		196			197
3.464% due 11/25/2034 (a)		11,532			11,541
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (a)		15			15
New Century Home Equity Loan Trust
3.390% due 07/25/2035 (a)		12,300			12,294
Ocwen Mortgage Loan Asset-Backed Certificates
3.934% due 10/25/2029 (a)		796			796
Option One Mortgage Loan Trust
3.584% due 06/25/2032 (a)		99			99
3.584% due 08/25/2032 (a)		840			841
Renaissance Home Equity Loan Trust
3.754% due 08/25/2033 (a)		3,110			3,124
3.814% due 12/25/2033 (a)		421			424
Residential Asset Mortgage Products, Inc.
3.404% due 12/25/2023 (a)		2,895			2,896
3.464% due 06/25/2024 (a)		618			619
3.454% due 04/25/2026 (a)		2,895			2,897
3.654% due 11/25/2033 (a)		7,883			7,887
3.644% due 12/25/2033 (a)		5,964			5,970
Residential Asset Securities Corp.
3.424% due 09/25/2022 (a)		7,872			7,877
3.544% due 09/25/2031 (a)		1,303			1,309
3.614% due 01/25/2034 (a)		1,752			1,757
Salomon Brothers Mortgage Securities VII, Inc.
3.614% due 03/25/2032 (a)		521			523
Saxon Asset Securities Trust
3.714% due 12/25/2032 (a)		554			554
3.614% due 06/25/2033 (a)		291			292
Sears Credit Account Master Trust
3.600% due 11/17/2009 (a)		3,900			3,908
6.450% due 11/17/2009		1,705			1,713
SLM Student Loan Trust
3.141% due 07/27/2009 (a)		1,494			1,495
Specialty Underwriting & Residential Finance
3.654% due 01/25/2034 (a)		949			950
Structured Asset Investment Loan Trust
3.514% due 02/25/2034 (a)		9,953			9,962
SVO Timeshare Mortgage Corp.
5.470% due 10/20/2013		331			333
WFS Financial Owner Trust
1.510% due 07/20/2007		2,149			2,144
Total Asset-Backed Securities (Cost $301,334)					301,670
SOVEREIGN ISSUES 1.6%
Republic of Brazil
4.250% due 04/15/2006 (a)		17,350			17,368
10.000% due 01/16/2007		2,520			2,709
11.250% due 07/26/2007		2,600			2,912
11.500% due 03/12/2008		3,100			3,576
4.313% due 04/15/2009 (a)		20,181			20,029
9.230% due 06/29/2009 (a)		7,500			8,709
4.313% due 04/15/2012 (a)		9,325			9,022
8.000% due 04/15/2014		464			479
Russian Federation
8.750% due 07/24/2005		5,150			5,169
Total Sovereign Issues (Cost $67,717)					69,973
		#of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar September Futures (CME)
Strike @ 95.125 Exp. 09/19/2005		445			0
Total Purchased Put Options (Cost $5)					0
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS (l) 60.4%
Certificates of Deposit 3.0%
Citibank New York N.A.
3.090% due 07/22/2005	$	19,300			19,300
3.155% due 08/09/2005		4,200			4,200
Unicredito Italiano SpA
3.090% due 07/21/2005		109,600			109,600
					133,100
Commercial Paper 25.3%
Bank of America, N.A.
3.050% due 08/08/2005		69,500			69,499
3.170% due 08/11/2005		100,000			99,639
3.165% due 08/15/2005		30,000			29,881
Carolina Power & Light Co.
3.670% due 10/11/2005		2,000			1,980
3.720% due 10/11/2005		1,500			1,485
Fannie Mae
2.790% due 07/20/2005		30,000			29,956
3.063% due 07/20/2005		163,000			162,737
2.990% due 08/08/2005		700			698
3.250% due 09/14/2005		97,300			96,609
3.180% due 09/28/2005		66,000			65,441
3.260% due 11/02/2005		50,000			49,402
Florida Power Corp.
3.710% due 11/01/2005		5,900			5,830
Freddie Mac
3.160% due 10/18/2005		65,000			64,320
3.240% due 11/01/2005		200,000			197,626
Public Service Electric & Gas Co.
3.690% due 11/30/2005		2,500			2,463
Rabobank USA Financial Corp.
3.360% due 07/01/2005		107,600			107,600
Statens Bostadsfin Bank
3.180% due 08/16/2005		25,000			24,898
UBS AG
2.470% due 07/05/2005		106,500			106,499
					1,116,563
French Treasury Bills 3.6%
2.000% due 09/08/2005-09/22/2005 (e)	EC	131,030			157,453
Repurchase Agreements 7.3%
Credit Suisse First Boston
2.700% due 07/01/2005	$	13,000			13,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $13,335. Repurchase proceeds are $13,001.)
State Street Bank
2.650% due 07/01/2005		7,670			7,670
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $7,828. Repurchase proceeds are $7,671.)
UBS Warburg LLC
2.650% due 07/01/2005		300,000			300,000
(Dated 06/30/2005. Collateralized by Treasury Inflation Protected Securities 2.000% due 07/15/2014 valued at $316,586. Repurchase proceeds are $300,022.)
					320,670
U.S. Treasury Bills 21.2%
3.100% due 07/21/2005-10/20/2005 (e)(g)(h)		939,665			932,386
Total Short-Term Instruments (Cost $2,660,711)					2,660,172
Total Investments (f) (Cost $5,143,158)		117.0	%	$	5,149,306
Written Options (j) (Premiums $1,072)		(0.1	%)		(2,842	)
Other Assets and Liabilities (Net)		(16.9	%)		(745,794	)
Net Assets		100.0	%	$	4,400,670

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Interest only security.

(d) Principal amount of security is adjusted for inflation.

(e) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(f) As of June 30, 2005, portfolio securities with an aggregate market value of $261,812 were valued with reference to securities whose prices are more readily obtainable.

(g) Securities with an aggregate market value of $1,242 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(h) Securities with an aggregate market value of $6,750 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	2,940	$	3,239
Eurodollar June Long Futures	06/2006	117		5
Eurodollar September Long Futures	09/2005	1,787		(1,704	)
Eurodollar September Long Futures	09/2006	17		(8	)
Eurodollar December Long Futures	12/2005	320		(404	)
Eurodollar December Long Futures	12/2006	17		(6	)
Euribor Written Put Options Strike @ 97.500	09/2005	2,654		1,504
U.S. Treasury 5-Year Note Long Futures	09/2005	7		0
			$	2,626

(i) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-month USD-LIBOR	Receive	3.500	%	10/20/2005	$	63,000	$	24
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		12,900		(1	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	3.000	%	07/20/2005		163,000		16
Lehman Brothers, Inc.	3-month USD-LIBOR plus 1.150%	Receive	7.430	%	10/01/2006		18,500		(662	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		7,900		(26	)
Merrill Lynch & Co., Inc.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		61,500		157
								$	(492	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.620	%	03/20/2007	$	4,800	$	10
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.820	%	06/20/2007		5,500		98
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.950	%	06/20/2006		2,000		24
Credit Suisse First Boston	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.550	%	09/07/2005		4,000		3
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		1,000		18
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.280	%	06/20/2006		2,000		21
HSBC Bank USA	Ford Motor Co. 7.450% due 07/16/2031	Sell	2.410	%	06/20/2007		750		(5	)
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	06/20/2007		1,000		9
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.670	%	06/20/2007		4,000		60
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.750	%	06/20/2007		1,500		2
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.900	%	06/20/2006		2,000		23
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.800	%	06/20/2006		3,000		31
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	05/20/2007		2,000		7
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.300	%	06/20/2010		2,000		42
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.050	%	07/17/2005		2,000		10
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/24/2005		800		4
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/28/2005		900		4
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.970	%	07/31/2005		1,100		5
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.000	%	06/20/2006		2,500		39
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.200	%	06/20/2007		600		4
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.000	%	06/20/2006		2,000		31
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	06/20/2007		500		12
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	06/20/2007		2,000		88
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/20/2005		2,100		10
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/22/2005		1,100		5
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.900	%	06/20/2006		2,000		23
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		1,000		21
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.580	%	06/20/2006		4,500		7
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.750	%	06/20/2007		1,000		30
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		1,000		18
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.600	%	09/20/2006		1,700		0
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.800	%	09/20/2006		2,000		0
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2007		1,000		22
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	06/20/2007		2,000		54
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	06/20/2007		1,000		47
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.300	%	06/20/2010		2,000		42
Wachovia Bank N.A.	Ford Motor Credit Co. 7.250% due 10/25/2011	Sell	1.200	%	06/20/2006		1,000		(2	)
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.410	%	06/20/2007		1,000		23
								$	840

(j) Premiums received on written options:

Name of Issuer	Exercise Price	Expiration Date	# of Contracts		Premium		Value
Put - CME Eurodollar December Futures	95.750	12/19/2005	378	$	169	$	38

Name of Issuer	Counterparty		Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America		3.900	%**	07/05/2005	$	420,000	$	903	$	40
			Exercise Price
Call - OTC News America Holdings 7.430% due 10/01/2026	Lehman Brothers, Inc.	$	100.000		10/01/2006		18,500		0		2,764
								$	903	$	2,804

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(k) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	5.500	05/15/2009	$	6,625	$	7,062	$	7,060
U.S. Treasury Note	4.250	08/15/2013		165,770		169,966		170,237
					$	177,028	$	177,297

(l) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	EC	352	07/2005	$	2	$	0		$	2
Buy		2,666	08/2005		0		(8	)		(8	)
Sell		130,795	08/2005		0		(445	)		(445	)
Buy	JY	3,700,942	07/2005		0		(1,356	)		(1,356	)
				$	2	$	(1,809	)	$	(1,807	)

See accompanying notes

Schedule of Investments

StocksPLUS Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 12.7%
Banking & Finance 6.1%
American General Finance Corp.
3.492% due 03/23/2007 (a)	$	900		$	900
Citigroup Global Markets Holdings, Inc.
3.410% due 03/07/2008 (a)		7,100			7,102
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)		5,900			5,898
7.600% due 08/01/2005		8,600			8,619
6.875% due 02/01/2006		2,500			2,525
6.500% due 01/25/2007		1,600			1,612
4.389% due 03/21/2007 (a)		7,800			7,639
7.200% due 06/15/2007		900			911
3.920% due 09/28/2007 (a)		2,600			2,514
4.950% due 01/15/2008		600			573
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		12,600			12,612
4.145% due 05/18/2006 (a)		3,200			3,186
6.125% due 02/01/2007		1,900			1,888
Goldman Sachs Group, Inc.
3.580% due 03/30/2007 (a)		2,200			2,203
NiSource Finance Corp.
7.625% due 11/15/2005		3,400			3,445
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		1,100			1,131
Prudential Financial, Inc.
3.540% due 06/13/2008 (a)		4,400			4,402
Toyota Motor Credit Corp.
3.200% due 09/18/2006 (a)		2,800			2,800
Vita Capital Ltd.
4.450% due 01/01/2007 (a)		300			301
					70,261
Industrials 3.5%
Cox Communications, Inc.
3.950% due 12/14/2007 (a)		1,300			1,308
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		1,100			1,102
3.890% due 05/24/2006 (a)		6,940			6,960
Delhaize America, Inc.
7.375% due 04/15/2006		7,000			7,187
Electronic Data Systems Corp.
6.334% due 08/17/2006		1,800			1,826
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (b)		1,100			544
Fort James Corp.
6.875% due 09/15/2007		2,800			2,926
Georgia-Pacific Corp.
7.500% due 05/15/2006		7,700			7,931
HJ Heinz Co.
6.189% due 12/01/2005 (a)		5,500			5,552
Host Marriott LP
9.500% due 01/15/2007		150			160
Kraft Foods, Inc.
4.625% due 11/01/2006		2,700			2,718
La Quinta Corp.
7.000% due 08/15/2007		175			181
Tyco International Group S.A.
6.375% due 02/15/2006		2,600			2,635
					41,030
Utilities 3.1%
British Telecom PLC
7.625% due 12/15/2005		5,900			6,004
CMS Energy Corp.
9.875% due 10/15/2007		2,500			2,737
Hydro-Quebec
3.359% due 09/29/2049 (a)		1,200			1,144
Northwest Pipeline Corp.
6.625% due 12/01/2007		1,372			1,420
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		1,837			1,837
Progress Energy, Inc.
6.750% due 03/01/2006		200			203
Qwest Corp.
6.671% due 06/15/2013 (a)		3,400			3,498
Southern Natural Gas Co.
6.700% due 10/01/2007		2,200			2,246
Sprint Capital Corp.
7.125% due 01/30/2006		7,600			7,728
TXU Energy Co. LLC
3.420% due 01/17/2006 (a)		9,050			9,049
					35,866
Total Corporate Bonds & Notes (Cost $147,664)					147,157
MUNICIPAL BONDS & NOTES 0.2%
Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue Bonds, Series 2003-A1
5.000% due 06/01/2021		2,300			2,326
Total Municipal Bonds & Notes (Cost $2,290)					2,326
U.S. GOVERNMENT AGENCIES 8.8%
Fannie Mae
2.925% due 09/22/2006 (a)		6,300			6,298
3.111% due 04/26/2035 (a)		1,221			1,222
3.434% due 03/25/2034 (a)		6,892			6,902
3.650% due 04/01/2018 (a)		67			68
3.714% due 11/25/2032 (a)		4,174			4,189
4.100% due 07/01/2018 (a)		299			302
4.278% due 11/01/2027 (a)		77			78
4.384% due 11/01/2028 (a)		116			117
4.405% due 07/01/2028 (a)		72			73
4.450% due 04/01/2028 (a)		68			68
4.451% due 11/01/2028 (a)		96			96
4.567% due 05/01/2022 (a)		20			20
4.867% due 02/01/2027 (a)		10			10
4.960% due 12/01/2036 (a)		3,046			3,101
4.997% due 12/01/2023 (a)		6			6
5.000% due 04/25/2033		4,995			5,014
5.149% due 04/01/2033 (a)		1,883			1,900
5.190% due 09/01/2034 (a)		3,210			3,223
5.500% due 09/01/2033 - 07/14/2035 (e)		32,644			33,120
5.656% due 08/01/2029 (a)		54			55
5.996% due 04/25/2020 (a)		7			7
6.000% due 01/01/2017 - 10/01/2033 (e)		2,390			2,472
6.500% due 09/01/2005 - 03/25/2023 (c)(e)		116			4
7.000% due 02/01/2015 - 03/01/2015 (e)		2,553			2,676
7.500% due 09/01/2015 - 05/01/2016 (e)		1,949			2,064
8.000% due 03/01/2030 - 07/01/2031 (e)		441			474
Federal Home Loan Bank
4.200% due 02/05/2007 (a)		1,100			1,023
8.300% due 02/27/2012 (a)		2,400			2,273
Freddie Mac
3.719% due 07/01/2019 (a)		835			849
4.345% due 06/01/2022 (a)		67			68
4.369% due 12/01/2022 (a)		109			111
5.500% due 11/15/2015 - 08/15/2030 (e)		935			936
5.700% due 02/15/2031		1,123			1,127
6.000% due 03/01/2016 - 10/01/2033 (e)		9,493			9,747
6.500% due 10/25/2043		4,432			4,602
8.500% due 04/01/2025 - 06/01/2025 (e)		29			33
Government National Mortgage Association
3.375% due 05/20/2026 - 06/20/2027 (a)(e)		1,104			1,122
3.660% due 09/20/2030 (a)		9			9
3.750% due 07/20/2018 - 07/20/2027 (a)(e)		4,090			4,155
4.125% due 12/20/2022 - 12/20/2027 (a)(e)		799			814
4.375% due 02/20/2026 - 02/20/2028 (a)(e)		958			974
8.000% due 04/20/2030		417			448
Total U.S. Government Agencies (Cost $101,733)					101,850
U.S. TREASURY OBLIGATIONS 8.4%
Treasury Inflation Protected Securities (d)
3.625% due 01/15/2008 (g)		70,932			75,080
3.875% due 01/15/2009		475			516
3.000% due 07/15/2012		3,246			3,567
2.000% due 01/15/2014		3,580			3,689
2.000% due 07/15/2014		11,457			11,809
U.S. Treasury Bond
6.250% due 08/15/2023		200			249
U.S. Treasury Note
4.875% due 02/15/2012		2,300			2,443
Total U.S. Treasury Obligations (Cost $98,230)					97,353
MORTGAGE-BACKED SECURITIES 5.4%
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		2,900			2,867
Bank Mart
3.689% due 03/01/2019 (a)(i)		1,304			1,254
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2031		1,954			2,016
Bear Stearns Adjustable Rate Mortgage Trust
5.934% due 06/25/2032 (a)		495			497
5.348% due 01/25/2033 (a)		632			638
5.095% due 03/25/2033 (a)		1,200			1,201
4.270% due 01/25/2034 (a)		2,111			2,107
4.736% due 01/25/2034 (a)		4,294			4,291
Countrywide Alternative Loan Trust
6.000% due 10/25/2033		3,409			3,446
CS First Boston Mortgage Securities Corp.
3.350% due 03/25/2032 (a)		3,172			3,177
5.294% due 06/25/2032 (a)		225			227
6.246% due 06/25/2032 (a)		218			219
First Horizon Asset Securities, Inc.
7.000% due 05/25/2030		90			90
Fund America Investors Corp.
3.972% due 06/25/2023 (a)		28			28
GSR Mortgage Loan Trust
3.664% due 01/25/2034 (a)		860			861
Impac CMB Trust
3.714% due 07/25/2033 (a)		3,612			3,616
3.694% due 10/25/2033 (a)		537			536
MASTR Adjustable Rate Mortgages Trust
3.787% due 12/21/2034 (a)		2,273			2,267
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,794			2,810
Mellon Residential Funding Corp.
3.460% due 06/15/2030 (a)		7,935			7,930
Merrill Lynch Mortgage Investors, Inc.
4.797% due 01/25/2029 (a)		5,317			5,544
4.910% due 12/25/2032 (a)		1,081			1,061
Prime Mortgage Trust
3.714% due 02/25/2019 (a)		371			371
3.714% due 02/25/2034 (a)		1,472			1,475
Resecuritization Mortgage Trust
3.564% due 04/26/2021 (a)		11			11
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		1,239			1,255
Salomon Brothers Mortgage Securities VII, Inc.
4.972% due 12/25/2030 (a)		1,613			1,620
Structured Asset Mortgage Investments, Inc.
9.544% due 06/25/2029 (a)		1,747			1,831
Structured Asset Securities Corp.
3.794% due 03/25/2031 (a)		161			163
Washington Mutual Mortgage Securities Corp.
6.000% due 03/25/2017		262			262
3.650% due 02/27/2034 (a)		3,144			3,141
3.904% due 06/25/2042 (a)		6,150			6,215
Total Mortgage-Backed Securities (Cost $63,191)					63,027
ASSET-BACKED SECURITIES 4.6%
AAA Trust
3.190% due 11/26/2035 (a)		7,416			7,429
AFC Home Equity Loan Trust
3.464% due 06/25/2028 (a)		1,072			1,073
Ameriquest Mortgage Securities, Inc.
3.584% due 08/25/2032 (a)		36			36
Asset-Backed Securities Corp. Home Equity
3.474% due 05/25/2035 (a)		5,511			5,507
Bear Stearns Asset-Backed Securities, Inc.
3.414% due 03/25/2035 (a)		1,618			1,619
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		1,200			1,199
Chase Funding Mortgage Loan Asset-Backed Certificates
3.684% due 10/25/2032 (a)		931			938
Countrywide Asset-Backed Certificates
3.454% due 05/25/2023 (a)		6,121			6,127
CS First Boston Mortgage Securities Corp.
3.624% due 01/25/2032 (a)		771			778
3.644% due 05/25/2043 (a)		612			612
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.444% due 10/25/2034 (a)		2,421			2,421
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 10/20/2032 (a)		2,922			2,926
Household Mortgage Loan Trust
3.610% due 02/20/2033 (a)		1,535			1,539
Impac CMB Trust
3.564% due 01/25/2034 (a)		3,011			3,007
Indymac Home Equity Loan Asset-Backed Trust
3.764% due 10/25/2033 (a)		191			191
Irwin Home Equity Loan Trust
3.564% due 11/25/2028 (a)		1,692			1,692
Novastar Home Equity Loan
3.589% due 04/25/2028 (a)		312			312
Residential Asset Mortgage Products, Inc.
3.414% due 12/25/2025 (a)		5,838			5,842
3.564% due 02/25/2034 (a)		7,984			8,001
Residential Asset Securities Corp.
3.434% due 06/25/2025 (a)		216			216
3.614% due 01/25/2034 (a)		2,211			2,218
Total Asset-Backed Securities (Cost $53,626)					53,683
SOVEREIGN ISSUES 2.2%
Republic of Brazil
4.250% due 04/15/2006 (a)		1,864			1,866
4.313% due 04/15/2009 (a)		2,824			2,802
4.313% due 04/15/2012 (a)		412			398
8.000% due 04/15/2014		3,800			3,917
Russian Federation
8.750% due 07/24/2005		12,000			12,044
5.000% due 03/31/2030 (a)		100			112
United Mexican States
3.840% due 01/13/2009 (a)		4,700			4,772
Total Sovereign Issues (Cost $25,697)					25,911
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 0.8%
Commonwealth of New Zealand
4.500% due 02/15/2016 (d)	N$	9,750			9,039
Republic of France
5.750% due 10/25/2032	EC	100			165
Republic of Germany
5.500% due 01/04/2031		200			316
Total Foreign Currency-Denominated Issues (Cost $7,158)					9,520
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar March Futures (CME)
Strike @ 93.750 Exp. 03/13/2006		647			4
Eurodollar September Futures (CME)
Strike @ 93.750 Exp. 09/19/2005		127			1
Strike @ 93.250 Exp. 09/19/2005		2,114			27
S&P 500 Index September Futures (CME)
Strike @ 750.000 Exp. 09/16/2005		832			0
Strike @ 725.000 Exp. 09/16/2005		800			0
Total Purchased Put Options (Cost $75)					32
		Shares
PREFERRED SECURITY 0.9%
DG Funding Trust
3.360% due 12/29/2049 (a)		913			9,820
Total Preferred Security (Cost $9,564)					9,820
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		35,800			1,995
Total Preferred Stock (Cost $1,810)					1,995
SHORT-TERM INSTRUMENTS (j) 58.3%		Principal Amount (000s)
Certificates of Deposit 2.4%
Unicredito Italiano SpA
3.150% due 08/05/2005	$	28,200			28,200
Commercial Paper 33.3%
Bank of Ireland
3.180% due 08/22/2005		30,800			30,659
3.190% due 08/23/2005		3,100			3,086
Carolina Power & Light Co.
3.670% due 10/11/2005		600			594
Fannie Mae
3.172% due 08/31/2005		11,550			11,484
3.180% due 09/07/2005		32,488			32,279
3.205% due 09/07/2005		64,000			63,589
3.250% due 09/14/2005		11,900			11,816
Federal Home Loan Bank
2.963% due 07/01/2005		32,600			32,600
Florida Power Corp.
3.710% due 11/01/2005		7,400			7,312
Freddie Mac
3.250% due 09/13/2005		3,300			3,277
3.254% due 11/01/2005		22,900			22,628
3.310% due 11/03/2005		8,500			8,397
National Australia Funding, Inc.
3.030% due 07/01/2005		10,800			10,800
Public Service Electric & Gas Co.
3.690% due 11/30/2005		6,100			6,009
Rabobank USA Financial Corp.
3.370% due 07/01/2005		5,100			5,100
3.105% due 08/09/2005		30,700			30,597
Skandinaviska Enskilda Banken AB (SEB)
3.070% due 07/14/2005		3,900			3,896
3.100% due 07/18/2005		9,100			9,087
3.170% due 08/16/2005		8,200			8,167
3.280% due 09/07/2005		13,900			13,811
3.310% due 09/15/2005		800			794
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		3,500			3,500
3.105% due 07/11/2005		32,100			32,072
UBS Finance Delaware LLC
3.070% due 07/08/2005		3,500			3,498
3.105% due 07/11/2005		6,000			5,995
3.115% due 07/25/2005		11,900			11,875
3.255% due 09/26/2005		13,200			13,091
3.285% due 10/03/2005		600			595
					386,608
Repurchase Agreements 6.5%
Credit Suisse First Boston
2.700% due 07/01/2005		68,900			68,900
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 2.625%-3.500% due 03/15/2009-08/15/2009 valued at $70,486. Repurchase proceeds are $68,905.)
State Street Bank
2.650% due 07/01/2005		5,918			5,918
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $6,038. Repurchase proceeds are $5,918.)
					74,818
French Treasury Bills 10.5%
2.005% due 07/07/2005-09/22/2005 (e)	EC	100,750			121,373
					121,373
U.S. Treasury Bills 5.6%
2.937% due 09/01/2005-09/15/2005 (e)(f)(g)	$	65,795			65,358
Total Short-Term Instruments (Cost $676,450)					676,357
Total Investments (k) (Cost $1,187,488)		102.5	%	$	1,189,031
Other Assets and Liabilities (Net)		(2.5	%)		(29,006	)
Net Assets		100.0	%	$	1,160,025

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Interest only security.

(d) Principal amount of security is adjusted for inflation.

(e) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(f) Securities with an aggregate market value of $1,988 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(g) Securities with an aggregate market value of $77,711 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	1,076	$	95
Eurodollar June Long Futures	06/2006	183		(4	)
Eurodollar September Long Futures	09/2005	341		(405	)
Eurodollar September Long Futures	09/2006	26		11
Eurodollar December Long Futures	12/2005	1,093		(1,339	)
Emini S&P 500 Index September Long Futures	09/2005	8,723		(83	)
Euribor Purchased Put Options Strike @ 92.500	12/2005	175		(3	)
Euribor Purchased Put Options Strike @ 93.000	12/2005	400		(6	)
Euribor Purchased Put Options Strike @ 94.250	12/2005	1,052		(16	)
Euribor Purchased Put Options Strike @ 96.250	12/2005	1,346		(22	)
Euribor Purchased Put Options Strike @ 96.380	12/2005	945		(16	)
Euribor Purchased Put Options Strike @ 97.375	12/2005	621		178
Government of Japan 10-Year Note Long Futures	09/2005	22		179
S&P 500 Index September Long Futures	09/2005	1,789		(1,286	)
U.S. Treasury 10-Year Note Short Futures	09/2005	774		(333	)
			$	(3,050	)

(h) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012	JY	387,100	$	(194	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		270,000		(179	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		1,710,000		(1,009	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		500,000		(334	)
								$	(1,716	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Barclays Bank PLC	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.617	%	03/20/2007	$	2,800	$	6
HSBC Bank USA	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.610	%	03/20/2007		2,800		6
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	05/20/2007		1,500		5
J.P. Morgan Chase & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.700	%	06/20/2007		2,000		95
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		400		0
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.200	%	06/20/2006		1,800		52
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.610	%	03/20/2007		17,500		34
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.870	%	04/20/2007		200		1
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		1,500		80
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.500	%	06/20/2006		3,000		52
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/20/2005		5,300		26
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.150	%	06/20/2006		2,400		57
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.100	%	06/20/2006		2,500		58
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.900	%	06/20/2007		2,500		125
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.800	%	06/20/2007		1,000		12
								$	609

Total Return Swaps

Counterparty	Receive total return	Pay		Expiration Date		Notional Amount		Unrealized (Depreciation)
Credit Suisse First Boston	S&P 500 Index	1-month USD LIBOR plus 0.000	%	04/28/2006	$	12	$	(21	)
UBS Warburg LLC	S&P 500 Index	1-month USD LIBOR plus 0.000	%	06/16/2006		45		(1,799	)
							$	(1,820	)

(i) Restricted security as of June 30, 2005:

Issuer Description	Coupon (%)	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
Bank Mart	3.689	03/1/2019	07/7/1995	$	1,308	$	1,254	0.00	%

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	5,600	09/2005	$	362	$	0		$	362
Sell		5,600	09/2005		0		(189	)		(189	)
Buy	EC	1,755	07/2005		10		0			10
Sell		105,594	08/2005		438		(23	)		415
Buy	JY	2,809,070	07/2005		0		(1,052	)		(1,052	)
Sell	N$	11,459	07/2005		207		0			207
				$	1,017	$	(1,264	)	$	(247	)

(k) As of June 30, 2005, portfolio securities with an aggregate market value of $18,034 were valued with reference to securities whose prices are more readily obtainable.

See accompanying notes

Schedule of Investments

StocksPLUS Total Return Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 4.0%
Banking & Finance 2.0%
American General Finance Corp.
3.492% due 03/23/2007 (a)	$	300		$	300
BNP Paribas
5.186% due 06/29/2049 (a)		1,200			1,215
Ford Motor Credit Co.
6.875% due 02/01/2006		100			101
7.600% due 08/01/2005		700			702
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		4,200			4,204
					6,522
Industrials 1.7%
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		5,540			5,548
Pemex Project Funding Master Trust
7.375% due 12/15/2014		10			11
					5,559
Utilities 0.3%
Pacific Gas & Electric Co.
4.204% due 04/03/2006 (a)		325			325
Qwest Corp.
7.625% due 06/15/2015		600			616
					941
Total Corporate Bonds & Notes (Cost $13,238)					13,022
MUNICIPAL BONDS & NOTES 2.2%
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2005
7.200% due 01/01/2035 (a)		1,700			1,878
Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue Bonds, Series 2003-A1
5.000% due 06/01/2021		20			20
Lower Colorado River Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 05/15/2028		1,000			1,057
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2032		3,095			3,214
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
4.375% due 06/01/2019		30			30
New York State Environmental Facilities Corp. Clean Water & Drinking Revolving Funds Revenue Bonds, Series 2003
5.000% due 06/15/2033		600			638
New York, New York General Obligation Bonds, Series 2005
7.110% due 03/01/2030 (a)		200			224
State of Texas Highway Improvement General Obligation Bonds, Series 2005
1.010% due 04/01/2035		200			212
Total Municipal Bonds & Notes (Cost $6,772)					7,273
U.S. GOVERNMENT AGENCIES 46.3%
Fannie Mae
3.111% due 04/26/2035 (a)		349			349
3.319% due 09/22/2006 (a)		2,100			2,099
3.434% due 03/25/2034 (a)		1,137			1,138
3.664% due 03/25/2044 (a)		1,769			1,771
3.714% due 11/25/2032 (a)		155			155
3.971% due 05/01/2036 (a)		24			24
4.960% due 12/01/2036 (a)		106			108
5.000% due 11/01/2017 - 08/11/2035 (c)		36,087			36,350
5.146% due 04/01/2033 (a)		68			69
5.190% due 09/01/2034 (a)		128			129
5.500% due 05/01/2032 - 07/14/2035 (c)		102,625			104,114
6.000% due 07/25/2024		480			480
7.000% due 09/01/2013		24			25
8.000% due 12/01/2030		6			7
Freddie Mac
3.470% due 07/15/2016 (a)		1,862			1,864
4.230% due 02/01/2024 (a)		24			25
4.500% due 10/01/2007		79			79
5.000% due 08/15/2013		311			311
5.500% due 08/15/2030		102			102
5.700% due 02/15/2031		16			16
6.000% due 02/15/2030		357			358
8.000% due 01/01/2017		51			55
Government National Mortgage Association
4.375% due 03/20/2027 (a)		8			8
8.000% due 02/15/2030		3			3
Small Business Administration
5.520% due 06/01/2024		1,520			1,597
Total U.S. Government Agencies (Cost $150,307)					151,236
U.S. TREASURY OBLIGATIONS 1.7%
Treasury Inflation Protected Security (b)
2.000% due 01/15/2014		632			651
U.S. Treasury Bonds
5.500% due 08/15/2028		900			1,060
6.000% due 02/15/2026		800			986
7.875% due 02/15/2021		900			1,274
U.S. Treasury Note
4.875% due 02/15/2012		1,600			1,700
Total U.S. Treasury Obligations (Cost $5,627)					5,671
MORTGAGE-BACKED SECURITIES 4.1%
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		700			692
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2031		326			336
6.500% due 02/25/2033		96			98
Bear Stearns Adjustable Rate Mortgage Trust
4.247% due 01/25/2034 (a)		135			135
4.716% due 12/25/2033 (a)		300			299
5.081% due 03/25/2033 (a)		12			12
5.345% due 01/25/2033 (a)		1			2
Bear Stearns Alt-A Trust
5.448% due 05/25/2035 (a)		2,132			2,173
Countrywide Alternative Loan Trust
6.000% due 10/25/2033		310			313
Countrywide Home Loans, Inc.
3.584% due 04/25/2034 (a)		708			707
CS First Boston Mortgage Securities Corp.
5.672% due 10/25/2032 (a)		1,306			1,318
5.721% due 05/25/2032 (a)		4			4
GSAMP Trust
3.504% due 10/25/2033 (a)		978			978
GSR Mortgage Loan Trust
3.445% due 06/01/2034 (a)		1,887			1,860
6.000% due 03/25/2032		3			3
Impac CMB Trust
3.714% due 07/25/2033 (a)		166			166
MASTR Adjustable Rate Mortgages Trust
3.787% due 12/21/2034 (a)		1,984			1,979
MASTR Asset Securitization Trust
5.500% due 09/25/2033		49			49
Merrill Lynch Mortgage Investors, Inc.
4.797% due 01/25/2029 (a)		550			573
4.910% due 12/25/2032 (a)		28			27
Morgan Stanley Dean Witter Capital I, Inc.
5.500% due 04/25/2017		2			2
Prime Mortgage Trust
3.714% due 02/25/2019 (a)		41			41
3.714% due 02/25/2034 (a)		204			205
Salomon Brothers Mortgage Securities VII, Inc.
4.000% due 12/25/2018		1,033			1,004
Structured Asset Securities Corp.
3.814% due 11/25/2033 (a)		50			51
Washington Mutual Mortgage Securities Corp.
3.746% due 08/25/2042 (a)		323			325
3.765% due 02/27/2034 (a)		104			104
5.380% due 02/25/2033 (a)		4			4
6.000% due 03/25/2017		2			2
Total Mortgage-Backed Securities (Cost $13,501)					13,462
ASSET-BACKED SECURITIES 5.8%
AAA Trust
3.414% due 04/25/2035 (a)		1,832			1,835
Aames Mortgage Investment Trust
3.394% due 08/25/2035 (a)		98			98
Accredited Mortgage Loan Trust
3.464% due 01/25/2035 (a)		1,499			1,500
Amortizing Residential Collateral Trust
3.604% due 07/25/2032 (a)		18			18
Argent Securities, Inc.
3.424% due 05/25/2034 (a)		357			357
Asset-Backed Securities Corp. Home Equity Loan Trust
3.474% due 09/25/2034 (a)		1,128			1,129
3.474% due 05/25/2035 (a)		1,476			1,475
Capital Auto Receivables Asset Trust
3.230% due 06/15/2006 (a)		169			169
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		300			300
Countrywide Asset-Backed Certificates
3.504% due 10/25/2021 (a)		834			835
3.554% due 12/25/2031 (a)		291			291
Credit-Based Asset Servicing & Securitization LLC
3.564% due 09/25/2033 (a)		295			295
CS First Boston Mortgage Securities Corp.
3.624% due 01/25/2032 (a)		38			38
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 10/20/2032 (a)		623			624
Impac CMB Trust
3.564% due 01/25/2034 (a)		484			483
Residential Asset Mortgage Products, Inc.
3.454% due 04/25/2026 (a)		858			859
3.564% due 02/25/2034 (a)		1,258			1,261
3.654% due 09/25/2033 (a)		839			843
Residential Asset Securities Corp.
3.434% due 06/25/2025 (a)		36			36
SLM Student Loan Trust
3.141% due 07/27/2009 (a)		2,223			2,224
3.141% due 04/25/2010 (a)		1,459			1,459
Specialty Underwriting & Residential Finance
3.644% due 11/25/2034 (a)		1,848			1,853
Structured Asset Securities Corp.
3.764% due 02/25/2033 (a)		121			121
Truman Capital Mortgage Loan Trust
3.654% due 01/25/2034 (a)		797			798
Total Asset-Backed Securities (Cost $18,880)					18,901
SOVEREIGN ISSUES 4.3%
Republic of Brazil
4.250% due 04/15/2006 (a)		176			176
4.313% due 04/15/2009 (a)		800			794
4.313% due 04/15/2012 (a)		1,976			1,912
4.313% due 04/15/2012 (a)		659			637
8.000% due 04/15/2014		1,583			1,632
9.230% due 06/29/2009 (a)		100			116
11.000% due 08/17/2040		3,200			3,854
Russian Federation
5.000% due 03/31/2030 (a)		2,200			2,462
8.250% due 03/31/2010 (a)		2,400			2,624
United Mexican States
6.375% due 01/16/2013		20			22
Total Sovereign Issues (Cost $13,809)					14,229
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 3.1%
Commonwealth of Canada
3.000% due 12/01/2036	C$	207			210
5.750% due 06/01/2033		500			507
Ford Motor Credit Co.
6.750% due 01/14/2008	EC	200			248
Kingdom of Spain
4.200% due 01/31/2037		500			661
5.750% due 07/30/2032		700			1,147
Republic of France
4.000% due 04/25/2055		400			516
4.750% due 04/25/2035		1,300			1,873
5.750% due 10/25/2032		1,300			2,135
Republic of Germany
5.500% due 01/04/2031		1,200			1,897
5.625% due 01/04/2028		500			789
Total Foreign Currency-Denominated Issues (Cost $9,792)					9,983
		# of contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar March Futures (CME)
Strike @ 92.750 Exp. 03/13/2006		214			3
Strike @ 93.750 Exp. 03/13/2006		580			3
Eurodollar September Futures (CME)
Strike @ 93.750 Exp. 09/19/2005		109			1
Strike @ 91.750 Exp. 09/19/2005		208			0
Strike @ 94.750 Exp. 09/19/2005		387			5
S&P 500 Index September Futures (CME)
Strike @ 750.000 Exp. 09/16/2005		134			0
Strike @ 725.000 Exp. 09/16/2005		400			0
U.S Treasury Bond 30-Year Futures (CBOT)
6.000% due 09/30/2005
Strike @ 104.000 Exp. 08/26/2005		182			3
U.S. Treasury 10-Year Note Futures (CBOT)
6.000% due 09/30/2005
Strike @ 103.000 Exp. 08/26/2005		143			2
Strike @ 121.000 Exp. 08/26/2005		120			2
Total Purchased Put Options (Cost $38)					19
		Shares
PREFERRED SECURITY 0.3%
DG Funding Trust
3.360% due 12/29/2049 (a)		90			968
Total Preferred Security (Cost $948)					968
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		12,800			713
Total Preferred Stock (Cost $647)					713
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS (j) 40.8%
Commercial Paper 15.8%
Carolina Power & Light Co.
3.670% due 10/11/2005	$	200			198
Den Norske Bank ASA
3.280% due 09/29/2005		1,600			1,586
3.295% due 10/03/2005		500			496
Dexia Delaware LLC
3.235% due 08/12/2005		7,900			7,870
Fannie Mae
3.191% due 09/07/2005		7,900			7,849
Rabobank USA Financial Corp.
3.370% due 07/01/2005		9,000			9,000
Skandinaviska Enskilda Banken AB (SEB)
3.310% due 09/15/2005		7,900			7,843
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		7,100			7,100
UBS Finance Delaware LLC
3.255% due 09/26/2005		800			793
3.375% due 10/17/2005		7,900			7,818
3.390% due 07/01/2005		1,200			1,200
					51,753
Repurchase Agreement 4.5%
Credit Suisse First Boston
2.700% due 07/01/2005		11,000			11,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $11,284. Repurchase proceeds are $11,001.)
State Street Bank
2.650% due 07/01/2005		3,653			3,653
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $3,729. Repurchase proceeds are $3,653.)
					14,653
French Treasury Bill 13.2%
2.000% due 09/08/2005	EC	35,660			42,989
U.S. Treasury Bills 7.3%
2.945% due 09/01/2005-09/15/2005 (c)(e)(f)	$	23,940			23,770
Total Short-Term Instruments (Cost $132,940)					133,165
Total Investments (d) (Cost $366,499)		112.8	%	$	368,642
Written Options (h)		(0.0	%)		(83	)
(Premiums $130)
Other Assets and Liabilities (Net)		(12.8	%)		(41,853	)
Net Assets		100.0	%	$	326,706

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $2,527 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $248 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) Securities with an aggregate market value of $23,522 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Emini S&P 500 Index September Long Futures	06/2005	271	$	39
Euro-Bund Purchased Put Options Strike @ 103.000	09/2005	135		0
Euro-Bobl 5-Year Note Long Futures	09/2005	14		19
Government of Japan 10-Year Note Long Futures	09/2005	3		24
S&P 500 Index September Long Futures	09/2005	985		(1,396	)
Eurodollar September Long Futures	09/2005	126		(124	)
U.S. Treasury 10-Year Note Short Futures	09/2005	22		(13	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	189		82
Euribor Purchased Put Options Strike @ 92.000	12/2005	41		(1	)
Euribor Purchased Put Options Strike @ 93.000	12/2005	40		0
Eurodollar December Long Futures	12/2005	626		(622	)
Eurodollar March Long Futures	03/2006	518		160
Eurodollar June Long Futures	06/2006	85		(2	)
Eurodollar September Long Futures	09/2006	29		13
			$	(1,821	)

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000%	06/15/2012	JY	130,000	$	(87	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000%	06/15/2012	JY	260,000		(153	)
Bank of America	3-month Canadian Bank Bill	Pay	6.000%	12/16/2019	C$	500		7
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000%	03/15/2032	BP	400		(17	)
Barclays Bank PLC	6-month EC-LIBOR	Pay	6.000%	03/15/2032	EC	400		17
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000%	06/18/2034	EC	200		25
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	6.000%	06/18/2034	EC	700		90
							$	(118	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.980	%	08/04/2005	$	500	$	2
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		100		0
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.100	%	06/20/2006		2,800		46
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.875% Due 08/28/2012	Sell	3.500	%	06/20/2006		2,800		48
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.150	%	06/20/2006		1,300		31
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.770	%	06/20/2007		500		8
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.800	%	06/20/2007		500		6
								$	141

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized (Depreciation)
UBS Warburg LLC	S&P 500 Index	1-month USD-LIBOR plus 0.000%	06/16/2006	$	9	$	(342	)
						$	(342	)

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	36	$	5	$	1
Put - CBOT U.S. Treasury Note September Futures		110.000	07/22/2005	36		4		1
Call - CBOT U.S. Treasury Bond September Futures		121.000	08/26/2005	24		22		15
Call - CBOT U.S. Treasury Note September Futures		115.000	08/26/2005	94		27		30
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	95		23		13
Put - CBOT U.S. Treasury Bond September Futures		115.000	08/26/2005	24		16		9
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	119		30		11
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	13		3		3
					$	130	$	83

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	2,500	$	2,528	$	2,529

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	182	08/2005		5	$	0		$	5
Sell		182	08/2005		0		(6	)		(6	)
Buy		2,928	09/2005		179		0			179
Sell		2,929	09/2005		0		(92	)		(92	)
Sell	C$	825	07/2005		0		(10	)		(10	)
Buy	CP	43,444	08/2005		0		0			0
Buy		60,602	09/2005		2		0			2
Sell	EC	7,388	07/2005		4		0			4
Sell		37,239	08/2005		5		(106	)		(101	)
Buy	JY	764,456	07/2005		0		(281	)		(281	)
Buy	KW	71,100	08/2005		0		(2	)		(2	)
Buy		118,000	09/2005		0		(2	)		(2	)
Buy	MP	1,123	09/2005		0		0			0
Buy	PN	209	08/2005		0		0			0
Buy		245	09/2005		0		0			0
Buy	PZ	192	08/2005		0		0			0
Buy		199	09/2005		0		0			0
Buy	RP	4,721	09/2005		0		0			0
Buy	RR	1,740	08/2005		0		(1	)		(1	)
Buy		3,058	09/2005		0		0			0
Buy	S$	105	08/2005		0		(1	)		(1	)
Buy		171	09/2005		0		(1	)		(1	)
Buy	SV	1,973	08/2005		0		(1	)		(1	)
Buy		2,346	09/2005		0		0			0
Buy	T$	2,030	08/2005		0		(1	)		(1	)
Buy		3,331	09/2005		0		(1	)		(1	)
				$	195	$	(505	)	$	(310	)

See accompanying notes

Schedule of Investments

StocksPLUS TR Short Strategy Fund

June 30, 2005 (Unaudited)

		Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 3.2%
Banking & Finance 2.2%
Bear Stearns Cos., Inc.
3.340% due 04/29/2008 (a)	$	200		$	200
Citigroup Global Markets Holdings, Inc.
3.410% due 03/07/2008 (a)		25			25
Ford Motor Credit Co.
3.572% due 07/07/2005 (a)		40			40
6.875% due 02/01/2006		30			30
3.590% due 03/13/2007 (a)		200			187
General Motors Acceptance Corp.
4.070% due 04/13/2006 (a)		40			40
4.050% due 01/16/2007 (a)		100			98
Goldman Sachs Group, Inc.
3.491% due 07/23/2009 (a)		20			20
					640
Industrials 0.7%
DaimlerChrysler NA Holding Corp.
3.890% due 05/24/2006 (a)		200			201
Utilities 0.3%
Qwest Corp.
7.625% due 06/15/2015		100			103
Total Corporate Bonds & Notes (Cost $942)					944
MUNICIPAL BONDS & NOTES 0.9%
Illinois State General Obligation Bonds, Series 2005
7.200% due 03/01/2034 (a)		1			1
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		25			26
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.375% due 06/01/2032		125			134
New York City, New York Municipal Water Finance Authority, Series 2005
7.220% due 06/15/2038		50			57
North Texas Tollway Authority Revenue Bonds, (FSA Insured), Series 2005
7.200% due 01/01/2035 (a)		13			14
Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2003
6.250% due 06/01/2043		35			37
Total Municipal Bonds & Notes (Cost $252)					269
U.S. GOVERNMENT AGENCIES 10.9%
Fannie Mae
3.111% due 04/26/2035 (a)		44			44
3.319% due 09/22/2006 (a)		25			25
5.500% due 04/01/2034 - 07/14/2035 (c)		3,049			3,091
Freddie Mac
3.470% due 07/15/2016 (a)		15			15
5.500% due 08/15/2030		5			5
Small Business Administration
5.520% due 06/01/2024		24			25
Total U.S. Government Agencies (Cost $3,196)					3,205
U.S. TREASURY OBLIGATIONS 3.3%
Treasury Inflation Protected Security (b)
2.000% due 07/15/2014		103			106
U.S. Treasury Note
4.875% due 02/15/2012		800			850
Total U.S. Treasury Obligations (Cost $951)					956
MORTGAGE-BACKED SECURITIES 1.3%
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		100			99
Bear Stearns Adjustable Rate Mortgage Trust
4.247% due 01/25/2034 (a)		4			4
Bear Stearns Alt-A Trust
5.448% due 05/25/2035 (a)		24			25
Mellon Residential Funding Corp.
3.460% due 06/15/2030 (a)		14			14
People’s Choice Home Loan Securities Trust
3.424% due 09/25/2024 (a)		176			176
Structured Asset Securities Corp.
3.484% due 12/25/2034 (a)		56			56
Total Mortgage-Backed Securities (Cost $375)					374
ASSET-BACKED SECURITIES 5.7%
AAA Trust
3.414% due 04/25/2035 (a)		175			175
Asset-Backed Securities Corp. Home Equity
3.474% due 05/25/2035 (a)		98			98
Carrington Mortgage Loan Trust
3.404% due 05/25/2035 (a)		66			66
3.240% due 06/25/2035 (a)		30			30
Centex Home Equity Co. LLC
3.326% due 06/25/2035 (a)		300			300
Citigroup Mortgage Loan Trust, Inc.
3.306% due 05/25/2035 (a)		100			100
Countrywide Asset-Backed Certificates
3.554% due 12/25/2031 (a)		3			3
3.624% due 03/25/2034 (a)		17			17
3.380% due 10/25/2035 (a)		100			100
Credit-Based Asset Servicing & Securitization LLC
3.444% due 08/25/2034 (a)		1			1
Finance America Mortgage Loan Trust
3.484% due 06/25/2034 (a)		40			41
Indymac Home Equity Loan Asset-Backed Trust
3.504% due 11/25/2034		81			81
IXIS Real Estate Capital Trust
3.394% due 09/25/2035 (a)		96			96
Renaissance Home Equity Loan Trust
3.514% due 07/25/2034 (a)		13			13
Residential Asset Mortgage Products, Inc.
3.454% due 04/25/2026 (a)		21			22
Sears Credit Account Master Trust
6.750% due 09/16/2009		300			302
Structured Asset Investment Loan Trust
3.464% due 09/25/2034 (a)		220			220
Structured Asset Securities Corp.
3.764% due 02/25/2033 (a)		12			12
Total Asset-Backed Securities (Cost $1,678)					1,677
SOVEREIGN ISSUES 1.6%
Republic of Brazil
4.250% due 04/15/2006 (a)		5			5
8.000% due 04/15/2014		317			327
8.875% due 10/14/2019		100			106
Russian Federation
8.250% due 03/31/2010 (a)		20			22
5.000% due 03/31/2030 (a)		20			22
Total Sovereign Issues (Cost $467)					482
FOREIGN CURRENCY-DENOMINATED ISSUES (e) 2.1%
Ford Motor Credit Co.
6.750% due 01/14/2008	EC	300			373
Kingdom of Spain
5.750% due 07/30/2032		25			41
Republic of France
5.000% due 07/12/2005		100			121
4.750% due 04/25/2035		25			36
4.000% due 04/25/2055		25			32
Total Foreign Currency-Denominated Issues (Cost $610)					603
		# of Contracts
PURCHASED CALL OPTIONS 0.0%
S&P 500 Index September Futures (CME)
Strike @ 1600.00 Exp. 09/16/2005		42			0
Strike @ 1500.000 Exp. 09/16/2005		6			0
Total Purchased Call Options (Cost $1)					0
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 93.750 Exp. 12/19/2005		2			0
Eurodollar September Futures (CME)
Strike @ 94.500 Exp. 09/19/2005		7			0
U.S Treasury Bond 30-Year Futures (CBOT)
6.000% due 09/30/2005
Strike @ 104.000 Exp. 08/26/2005		73			1
Strike @ 103.000 Exp. 08/26/2005		13			1
Total Purchased Put Options (Cost $2)					2
		Shares
PREFERRED SECURITY 0.1%
DG Funding Trust
3.360% due 12/29/2049 (a)		3			32
Total Preferred Security (Cost $32)					32
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS (e) 77.1%
Commercial Paper 65.0%
Anz National International Ltd.
3.040% due 07/19/2005	$	600			599
Barclays U.S. Funding Corp.
3.085% due 08/18/2005		500			498
CBA (de) Finance
3.140% due 08/08/2005		800			797
CDC IXIS Commercial Paper, Inc.
3.080% due 07/19/2005		800			799
Danske Corp.
3.020% due 07/15/2005		200			200
3.035% due 07/18/2005		300			299
3.110% due 08/05/2005		400			399
Den Norske Bank ASA
2.980% due 07/14/2005		100			100
3.240% due 09/23/2005		700			694
Dexia Delaware LLC
3.150% due 08/09/2005		900			897
Fannie Mae
3.005% due 07/27/2005		300			299
3.076% due 08/10/2005		300			299
3.172% due 08/31/2005		600			596
3.191% due 09/07/2005		300			298
Federal Home Loan Bank
3.030% due 08/08/2005		700			698
ForeningsSparbanken AB
3.040% due 07/14/2005		400			399
3.120% due 08/03/2005		300			299
Fortis Funding LLC
3.090% due 07/27/2005		800			798
Freddie Mac
2.872% due 07/26/2005		800			798
2.943% due 08/01/2005		100			100
3.020% due 08/02/2005		300			299
2.991% due 08/09/2005		300			299
2.996% due 08/09/2005		800			797
General Electric Capital Corp.
3.040% due 07/11/2005		200			200
3.150% due 08/01/2005		600			598
HBOS Treasury Services PLC
3.030% due 07/11/2005		200			200
3.040% due 07/15/2005		100			100
3.120% due 08/08/2005		400			399
3.160% due 08/10/2005		100			100
3.280% due 09/22/2005		100			99
ING U.S. Funding LLC
3.040% due 07/18/2005		500			499
3.040% due 07/19/2005		100			100
3.090% due 07/26/2005		200			200
National Australia Funding, Inc.
3.080% due 07/11/2005		500			500
Nordea North America, Inc.
3.120% due 08/03/2005		800			798
Rabobank USA Financial Corp.
3.005% due 07/12/2005		200			200
Royal Bank of Scotland PLC
3.230% due 09/01/2005		600			596
Skandinaviska Enskilda Banken AB (SEB)
3.030% due 07/13/2005		400			400
3.040% due 07/14/2005		300			300
3.170% due 08/18/2005		300			299
Spintab AB
3.080% due 08/11/2005		100			100
Svenska Handelsbanken, Inc.
3.050% due 07/20/2005		600			599
UBS Finance Delaware LLC
3.065% due 07/11/2005		500			500
Westpac Trust Securities NZ Ltd. London
3.150% due 08/11/2005		1,000			996
					19,044
Repurchase Agreement 2.1%
State Street Bank
2.650% due 07/01/2005		619			619
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $632. Repurchase proceeds are $619.)
French Treasury Bill 2.5%
1.010% due 07/13/2005	EC	600			726
U.S. Treasury Bills 7.5%
2.942% due 09/01/2005-09/15/2005 (c)(d)		2,220			2,205
Total Short-Term Instruments (Cost $22,644)					22,594
Total Investments (g) (Cost $31,150)		106.2	%	$	31,138
Written Options (f) (Premiums $11)		(0.0	%)		(7	)
Other Assets and Liabilities (Net)		(6.2	%)		(1,809	)
Net Assets		100.0	%	$	29,322

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $2,205 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	11	$	5
Eurodollar December Short Futures	12/2005	2		1
Emini S&P 500 Index September Short Futures	09/2005	39		11
Euro-Bobl 5-Year Note Long Futures	09/2005	1		1
S&P 500 Index September Short Futures	09/2005	89		126
U.S. Treasury 10-Year Note Short Futures	09/2005	2		(1	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	87		42
			$	185

(e) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	14	09/2005	$	1	$	0		$	1
Sell		14	09/2005		0		0			0
Sell	EC	730	07/2005		49		0			49
Sell		383	08/2005		1		0			1
Buy	JY	24,099	07/2005		0		(9	)		(9	)
				$	51	$	(9	)	$	42

(f) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	3	$	0	$	0
Put - CBOT U.S. Treasury Note September Futures		110.000	07/22/2005	3		0		0
Call - CBOT U.S. Treasury Bond September Futures		121.000	08/26/2005	2		2		1
Call - CBOT U.S. Treasury Note September Futures		115.000	08/26/2005	8		2		3
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	8		2		1
Put - CBOT U.S. Treasury Bond September Futures		115.000	08/26/2005	2		1		1
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	11		4		1
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	1		0		0
					$	11	$	7

(g) As of June 30, 2005, portfolio securities with an aggregate market value of $474 were valued with reference to securities whose prices are more readily obtainable.

See accompanying notes

Schedule of Investments

Total Return Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.0%
Myra-Pemex Trust
2.772% due 12/23/2006 (a)	$	168	$	165
3.612% due 12/23/2006 (a)		1,194		1,188
3.875% due 12/23/2006 (a)		505		497
3.875% due 12/23/2006 (a)		148		146
3.875% due 12/23/2006 (a)		403		397
4.000% due 10/20/2006 (a)		64		63
4.000% due 12/23/2006 (a)		760		750
Total Bank Loan Obligations (Cost $3,160)				3,206
CORPORATE BONDS & NOTES 4.1%
Banking & Finance 2.4%
American General Finance Corp.
3.492% due 03/23/2007 (a)		49,900		49,888
Asian Development Bank
5.820% due 06/16/2028		1,100		1,309
Banque Centrale de Tunisie
7.375% due 04/25/2012		4,220		4,874
Bear Stearns Cos., Inc.
3.310% due 01/16/2007 (a)		400		401
BFC Finance Corp.
7.375% due 12/01/2017		1,000		1,184
CIT Group, Inc.
3.468% due 02/15/2007		3,000		3,007
3.470% due 08/31/2006		400		400
7.750% due 04/02/2012		250		294
Citigroup, Inc.
3.410% due 06/04/2007		3,800		3,804
5.625% due 08/27/2012		200		214
Deutsche Telekom International Finance BV
8.500% due 06/15/2010		4,700		5,453
Export-Import Bank of Korea
6.500% due 11/15/2006		9,035		9,319
7.100% due 03/15/2007		31,900		33,438
First National Bank Chicago
8.080% due 01/05/2018		247		299
Ford Motor Credit Co.
3.572% due 07/07/2005 (a)		13,900		13,898
3.590% due 07/18/2005 (a)		28,990		28,979
3.750% due 11/16/2006 (a)		22,080		21,894
4.308% due 09/28/2007 (a)		20,000		19,339
4.389% due 03/21/2007 (a)		13,400		13,124
4.711% due 01/15/2010 (a)		20,300		18,627
5.700% due 01/15/2010		5,300		4,893
5.800% due 01/12/2009		97,228		92,370
6.500% due 02/15/2006		6,000		6,047
6.500% due 01/25/2007		16,300		16,423
6.625% due 06/16/2008		10,000		9,883
6.875% due 02/01/2006		20,459		20,666
7.000% due 10/01/2013		10,000		9,609
7.250% due 10/25/2011		700		674
7.375% due 10/28/2009		5,600		5,477
7.375% due 02/01/2011		32,500		31,694
7.450% due 07/16/2031		13,000		10,880
7.600% due 08/01/2005		179,853		180,259
General Electric Capital Corp.
3.390% due 03/04/2008 (a)		47,600		47,636
3.504% due 06/22/2007		20,015		20,047
General Motors Acceptance Corp.
3.700% due 03/20/2007 (a)		67,300		65,302
4.050% due 01/16/2007 (a)		12,800		12,525
4.070% due 04/13/2006 (a)		7,200		7,172
4.100% due 07/16/2007 (a)		17,518		16,914
4.145% due 05/18/2006 (a)		200		199
4.395% due 10/20/2005 (a)		94,000		94,088
4.500% due 07/15/2006		9,000		8,879
5.850% due 01/14/2009		100		94
6.125% due 09/15/2006		4,600		4,605
6.750% due 12/01/2014		6,250		5,601
6.875% due 09/15/2011		15,000		13,863
6.875% due 08/28/2012		1,100		1,008
7.250% due 03/02/2011		23,800		22,342
7.430% due 12/01/2021		1,183		1,197
7.500% due 07/15/2005		32,856		32,870
8.375% due 07/15/2033		200		168
Goldman Sachs Group, Inc.
3.270% due 01/09/2007 (a)		720		721
3.590% due 03/30/2007 (a)		3,700		3,705
3.928% due 02/09/2009 (a)		10,000		10,163
Household Finance Corp.
3.378% due 02/09/2007 (a)		2,400		2,406
HSBC Bank USA North America
3.120% due 09/21/2007 (a)		500		501
HSBC Capital Funding LP
9.547% due 12/31/2049 (a)		43,400		52,936
10.176% due 12/31/2049 (a)		46,160		74,085
10.176% due 12/31/2049 (a)		20,000		31,915
HSBC Finance Corp.
3.270% due 05/10/2007 (a)		16,000		16,003
3.360% due 02/28/2007 (a)		90,300		90,334
J.P. Morgan Chase & Co., Inc.
5.342% due 02/15/2012 (a)		600		634
Jenkins-Empire Associates
6.840% due 08/01/2008		1,213		1,103
Korea Development Bank
6.750% due 12/01/2005		55		56
7.250% due 05/15/2006		50		51
Lloyds TSB Bank PLC
3.699% due 08/25/2010		3,000		3,000
Merrill Lynch & Co., Inc.
3.350% due 10/27/2006		3,000		3,006
3.555% due 03/19/2007		1,220		1,222
Morgan Stanley Dean Witter & Co.
3.270% due 01/12/2007 (a)		7,280		7,289
5.300% due 03/01/2013		300		312
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)		234,600		233,353
Natexis Ambs Co. LLC
8.440% due 12/29/2049 (a)		14,000		15,568
Nordea Bank Sweden AB
8.950% due 11/29/2049 (a)		28,000		32,875
Oasis CBO, Ltd.
3.895% due 05/30/2011 (a)		2,647		2,627
Parker Retirement Savings Plan
6.340% due 07/15/2008		382		394
Pemex Finance Ltd.
8.020% due 05/15/2007		1,733		1,797
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		73,200		75,292
6.620% due 07/03/2008 (a)		16,700		14,281
Premium Asset Trust
3.420% due 10/06/2005 (a)		300		300
3.745% due 09/08/2007 (a)		34,900		33,121
Pricoa Global Funding I
3.350% due 11/24/2006		2,000		2,001
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		15,500		15,229
7.250% due 02/15/2011		29,443		28,339
Racers
3.568% due 08/15/2007 (a)		4,500		4,321
Residential Reinsurance Ltd.
8.280% due 06/08/2006 (a)		17,800		17,339
Royal Bank of Scotland PLC
7.648% due 08/31/2049 (a)		195		249
9.118% due 03/31/2049		73,700		87,858
SLM Corp.
3.281% due 01/25/2007 (a)		2,700		2,706
Sun Life Canada U.S. Capital Trust
8.526% due 05/29/2049		550		605
TXU Eastern Funding Co.
6.450% due 05/15/2005 (b)		15,270		2,710
UBS Preferred Funding Trust I
8.622% due 10/29/2049 (a)		23,900		28,427
UFJ Finance Aruba AEC
6.750% due 07/15/2013		92,360		103,162
Vita Capital Ltd.
4.450% due 01/01/2007 (a)		19,600		19,644
Wells Fargo & Co.
5.125% due 02/15/2007		3,500		3,559
				1,998,329
Industrials 1.6%
Altria Group, Inc.
6.950% due 06/01/2006		9,540		9,768
7.000% due 07/15/2005		15,125		15,137
7.200% due 02/01/2007		37,000		38,565
America West Airlines, Inc.
6.870% due 01/02/2017		1,606		1,572
American Airlines, Inc.
6.978% due 04/01/2011		24,495		25,321
AOL Time Warner, Inc.
6.875% due 05/01/2012		250		283
Ball Corp.
7.750% due 08/01/2006		7,253		7,543
Caesars Entertainment, Inc.
7.875% due 12/15/2005		6,000		6,105
Comcast Continental Cablevision, Inc.
7.125% due 06/15/2013		400		459
8.875% due 09/15/2005		6,400		6,457
Continental Airlines, Inc.
6.503% due 06/15/2011		9,220		9,108
6.820% due 05/01/2018		5,506		5,298
6.900% due 01/02/2018		1,298		1,291
7.056% due 09/15/2009		40,409		41,762
7.487% due 10/02/2010		1,215		1,229
7.707% due 04/02/2021		3,206		3,211
CSX Corp.
3.510% due 08/03/2006 (a)		19,331		19,372
DaimlerChrysler NA Holding Corp.
3.600% due 11/17/2006 (a)		1,500		1,500
3.610% due 03/07/2007 (a)		145,000		144,609
3.890% due 05/24/2006 (a)		44,190		44,315
4.270% due 09/26/2005 (a)		29,850		29,893
6.500% due 11/15/2013		200		217
Delhaize America, Inc.
7.375% due 04/15/2006		11,300		11,603
Delta Air Lines, Inc.
7.570% due 05/18/2012		9,750		9,179
Duty Free International, Inc.
7.000% due 12/31/2049		175		175
EchoStar DBS Corp.
6.350% due 10/01/2008 (a)		500		514
El Paso CGP Co.
6.375% due 02/01/2009		9,000		8,910
6.500% due 05/15/2006		510		519
6.700% due 02/15/2027		400		405
7.420% due 02/15/2037		9,000		8,100
7.500% due 08/15/2006		9,075		9,325
7.750% due 06/15/2010		15,500		15,888
9.625% due 05/15/2012		9,000		9,900
El Paso Corp.
6.750% due 05/15/2009		41,669		41,877
6.950% due 12/15/2007		10,100		10,264
7.000% due 05/15/2011		12,000		12,030
7.750% due 01/15/2032		108,770		106,595
7.800% due 08/01/2031		17,100		16,715
7.875% due 06/15/2012		32,300		33,431
8.050% due 10/15/2030		12,000		11,940
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (b)		3,200		1,584
Georgia-Pacific Corp.
7.500% due 05/15/2006		3,200		3,296
Harrah’s Operating Co., Inc.
7.875% due 12/15/2005		12,500		12,719
Mandalay Resort Group
6.500% due 07/31/2009		2,500		2,569
Marathon Oil Corp.
5.375% due 06/01/2007		250		255
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (m)		1,487		1,471
MCI, Inc.
6.688% due 05/01/2009		39,000		40,706
Mirage Resorts, Inc.
7.250% due 10/15/2006		2,113		2,184
Pemex Project Funding Master Trust
7.375% due 12/15/2014		22,130		24,874
7.875% due 02/01/2009		3,770		4,128
8.000% due 11/15/2011		100,650		114,590
8.625% due 02/01/2022		38,977		48,137
8.850% due 09/15/2007		1,800		1,974
9.125% due 10/13/2010		85		100
9.250% due 03/30/2018		2,000		2,590
9.375% due 12/02/2008		51,650		59,010
9.500% due 09/15/2027		31,000		40,610
Qwest Corp.
5.625% due 11/15/2008		5,000		4,938
7.200% due 11/10/2026		2,150		1,946
7.500% due 06/15/2023		6,850		6,353
8.875% due 03/15/2012		26,725		29,197
8.875% due 06/01/2031		10,323		10,478
Sonat, Inc.
6.750% due 10/01/2007		2,300		2,289
7.625% due 07/15/2011		23,220		23,510
Southwestern Public Service Co.
5.125% due 11/01/2006		10,690		10,827
Systems 2001 Asset Trust LLC
7.156% due 12/15/2011		26,370		28,280
Tyco International Group S.A.
6.375% due 02/15/2006		27,075		27,441
UAL Equipment Trust
11.080% due 05/27/2006		10,249		1,822
United Airlines, Inc.
2.020% due 03/02/2049 (a)(b)		14,768		14,289
6.071% due 03/01/2013 (b)		6,515		6,132
6.201% due 09/01/2008 (b)		14,034		13,363
6.602% due 09/01/2013 (b)		8,842		8,581
6.932% due 09/01/2011 (b)(m)		10,500		6,658
7.186% due 04/01/2011 (b)		19,546		18,716
7.730% due 07/01/2010 (b)		6,397		5,964
8.030% due 07/01/2011 (b)		465		145
9.060% due 06/17/2015 (b)		6,000		3,262
9.200% due 03/22/2008 (b)		3,380		1,611
9.210% due 01/21/2017 (b)		15,900		8,586
10.020% due 03/22/2014 (b)		11,925		5,639
10.125% due 03/22/2015 (b)		14,300		5,747
10.360% due 11/13/2012 (b)		7,000		3,903
10.850% due 07/05/2014 (b)		34,111		14,924
10.850% due 02/19/2015 (b)		3,000		1,313
				1,347,096
Utilities 0.1%
American Electric Power Co., Inc.
4.709% due 08/16/2007 (a)		4,100		4,143
AT&T Corp.
7.300% due 11/15/2011		95		110
Dominion Resources, Inc.
7.625% due 07/15/2005		1,425		1,426
El Paso Natural Gas Co.
8.375% due 06/15/2032		20,520		23,967
Entergy Arkansas, Inc.
6.125% due 07/01/2005		4,900		4,900
France Telecom S.A.
8.500% due 03/01/2011 (a)		350		407
Hydro-Quebec
3.359% due 09/29/2049 (a)		5,600		5,338
Ohio Edison Co.
5.450% due 05/01/2015		350		365
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		266		266
Qwest Corp.
4.000% due 06/15/2013 (a)		2,800		2,881
7.625% due 06/15/2015		2,000		2,053
SBC Communications, Inc.
4.125% due 09/15/2009		200		199
Sprint Capital Corp.
6.000% due 01/15/2007 (m)		37,470		38,411
7.125% due 01/30/2006 (m)		13,468		13,695
8.375% due 03/15/2012		750		903
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		14,800		15,182
TXU Energy Co. LLC
3.420% due 01/17/2006 (a)		150		150
U.S. West Communications, Inc.
6.000% due 08/01/2007		2,070		2,080
United Telecom, Inc.
6.890% due 07/01/2008		700		714
United Telephone Company of the Northwest
6.890% due 07/01/2008		2,760		2,802
Verizon North, Inc.
5.604% due 01/01/2022		3,000		3,024
5.634% due 01/01/2021		3,000		3,033
				126,049
Total Corporate Bonds & Notes (Cost $3,367,932)				3,471,474
MUNICIPAL BONDS & NOTES 1.2%
Adams County, Pennsylvania General Obligation Bonds, (FGIC Insured), Series 2002
4.750% due 11/15/2028		1,000		1,031
Alabama State General Obligation Bonds, Series 2001
6.600% due 09/01/2021 (a)		13,228		14,215
Austin, Texas Utilities Systems Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 11/15/2028		2,000		2,114
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 11/15/2028		3,875		4,096
Badger Tobacco Securitization Agency, Wisconsin Revenue Bonds, Series 2002
6.375% due 06/01/2032		7,300		7,800
Birmingham, Alabama General Obligation Bonds, (AMBAC Insured), Series 2002
5.000% due 12/01/2032		4,000		4,191
California State Department of Water Resources Center Valley Project Revenue Bonds, Series 2000
7.490% due 12/01/2029 (a)		2,500		2,659
California State Economic Recovery General Obligation Bonds, (MBIA Insured), Series 2005
7.480% due 07/01/2012 (a)		110		134
California State Economic Recovery General Obligation Bonds, Series 2004
5.000% due 07/01/2011		200		221
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2029		3,000		3,148
6.125% due 06/01/2038		2,000		2,118
6.125% due 06/01/2043		2,000		2,114
California State Tobacco Securitization Agency Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		190,775		208,124
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2028 (e)		21,000		7,048
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2002
5.000% due 01/01/2027		1,000		1,054
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2003
5.000% due 01/01/2034		300		314
Chicago, Illinois Housing Authority Revenue Bonds, Series 2001
5.375% due 07/01/2018		400		432
Chicago, Illinois Motor Fuel Tax Revenue Bonds, (AMBAC Insured), Series 2003
5.250% due 01/01/2028		3,000		3,241
City and County of Honolulu, Hawaii General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 07/01/2010		300		326
Dallas, Texas Area Rapid Transit Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 12/01/2026		2,540		2,667
Dallas, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
6.740% due 08/15/2031		7,500		8,388
Detroit, Michigan School District General Obligation Bonds, (FGIC Insured), Series 1998
4.750% due 05/01/2028		4,500		4,610
El Paso County, Colorado Certificates of Participation Bonds, (AMBAC Insured), Series 2002
5.000% due 12/01/2023		2,000		2,126
5.000% due 12/01/2027		2,820		2,975
Florida State Board of Education General Obligation Bonds, Series 2002
5.000% due 06/01/2032		150		158
Frisco, Texas General Obligation Bonds, (FSA Insured), Series 2003
5.000% due 02/15/2016		1,000		1,091
Frisco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2032 (e)		12,190		3,247
0.000% due 08/15/2034 (e)		5,265		1,268
Golden State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.750% due 06/01/2039		8,060		9,083
7.875% due 06/01/2042		5,000		6,038
Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue Bonds, Series 2003-A1
5.000% due 06/01/2021		2,545		2,574
Henderson, Neveda General Obligation Bonds, Series 2000
5.500% due 04/01/2020		2,000		2,218
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 1998
0.000% due 12/01/2028 (e)		8,720		2,907
Illinois Educational Facilities Authority Revenue Bonds, Series 2001
5.250% due 07/01/2041		270		293
Illinois Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		110		123
Illinois Educational Facilities Authority Revenue Bonds, Series 2005
6.740% due 12/01/2033		5,000		5,503
6.760% due 07/01/2033		1,195		1,319
Illinois State General Obligation Bonds, (FGIC Insured), Series 2002
5.125% due 02/01/2020		1,000		1,081
Illinois State General Obligation Bonds, (FSA Insured), Series 2002
5.100% due 04/01/2017		1,300		1,415
Illinois State General Obligation Bonds, (MBIA Insured), Series 2002
4.750% due 10/01/2027		3,295		3,384
Illinois State General Obligation Bonds, Series 2005
6.740% due 03/01/2034 (a)		37,204		40,930
Illinois State Housing Authority Revenue Bonds, Series 2001
5.375% due 07/01/2016		700		758
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2001-B
5.600% due 06/01/2035		1,250		1,282
Jacksonville, Florida Water and Sewer System Revenue Bonds, Series 2004
5.000% due 10/01/2011		200		219
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		18,745		19,576
Marion Country, Indiana School Building Corp. Revenue Bonds, (FGIC Insured), Series 2003
5.250% due 01/15/2028		200		216
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
6.750% due 08/01/2034		5,000		5,860
Mercer County, New Jersey Improvement Authority Revenue Bonds, Series 1978
5.800% due 01/01/2018		45		51
Mercer County, New Jersey Improvement Authority Revenue Bonds, Series 2000
9.070% due 01/01/2018 (a)		2,618		3,333
Mesquite, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.000% due 08/15/2028		1,800		1,889
Metropolitan Pier & Exposition Authority Revenue Bonds, Series 2002
0.000% due 12/15/2032 (e)		55,000		15,167
Michigan Grosse Pointe Public School System General Obligation Bonds, Series 2005
6.490% due 05/01/2027		5,455		5,887
Michigan State Building Authority Revenue Bonds, (FSA Insured), Series 2003
5.250% due 10/15/2013		300		341
Michigan State Chippewa Valley Schools General Obligation Bonds, (FSA Q-SBLF Insured), Series 2005
6.740% due 05/01/2034		5,750		6,512
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2032		3,955		4,107
6.125% due 06/01/2042		7,065		7,419
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.125% due 06/01/2024		13,000		13,901
6.375% due 06/01/2032		112,110		120,551
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2037		9,025		9,439
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		1,000		1,118
New Jersey State University of Medicine & Dentistry Certificate Participation, (MBIA Insured), Series 2005
6.760% due 06/15/2036		4,125		4,594
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.650% due 08/15/2030		27,700		32,956
New York State Dormitory Authority Revenue Bonds, Series 2003
5.000% due 03/15/2027		50		56
New York State Triborough Bridge & Tunnels Authority Revenue Bonds, (Government of Authority Insured), Series 2001
5.000% due 01/01/2032		4,650		4,862
New York, New York General Obligation Bonds, Series 2005
6.650% due 03/01/2030 (a)		13,400		14,976
6.650% due 03/01/2035 (a)		11,500		12,797
New York, New York Gneral Obligation Bonds, Series 2004
5.000% due 11/01/2034		2,710		2,858
New York, New York Gneral Obligation Bonds, Series 2005
5.000% due 03/01/2030		5,000		5,294
5.000% due 04/01/2030		7,500		8,388
5.000% due 04/01/2035		3,000		3,170
New York, New York Municipal Water Finance Authority Revenue Bonds, Series 2005
6.760% due 06/15/2038		23,300		26,303
6.810% due 06/15/2037		57,500		64,912
7.350% due 06/15/2035 (a)		8,050		9,001
New York, New York Transitional Finance Authority Revenue Bonds, Series 2005
7.350% due 11/01/2011		375		448
New York, New York Transitional Financial Authority Revenue Bonds, Series 2000
7.750% due 11/01/2024 (a)		500		598
Northside, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
5.000% due 02/15/2035		4,023		4,436
Northwest, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.000% due 08/15/2028		100		105
Orange County, California Sanitation District Certificates of Participation Bonds, (FGIC Insured), Series 2003
5.250% due 02/01/2030		200		217
Pflugerville, Texas General Obligation Bonds, (AMBAC Insured), Series 2003
5.000% due 08/01/2027		2,915		3,081
5.000% due 08/01/2033		5,000		5,226
Purdue University, Indiana Revenue Bonds, Series 2003
5.000% due 07/01/2029		3,500		3,696
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		7,000		7,392
San Antonio, Texas Water Revenue Bonds, (FSA Insured), Series 2002
5.000% due 05/15/2032		5,000		5,227
South Carolina State Public Service Authority Revenue Bonds, Series 2004
5.000% due 01/01/2013		400		446
South Carolina State Public Services Authority Revenue Bonds, (AMBAC Insured), Series 2003
4.750% due 01/01/2032		3,750		3,853
South Carolina State Tobacco Securitization Agency Revenue Bonds, Series 2001-B
6.375% due 05/15/2028		3,400		3,619
Southbridge, Massachusetts Associations Corp. Revenue Bonds, (MBIA-Insured), Series 2000
7.590% due 02/01/2022		31,105		39,779
State of Texas General Obligation Bonds, Series 2005
4.750% due 04/01/2035		2,950		3,036
State of Texas Highway Improvement General Obligation Bonds, Series 2005
4.000% due 04/01/2035		56,725		60,016
University of Iowa Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002
4.750% due 06/01/2028		3,120		3,209
University of Texas Permanent University Fund Revenue Bonds, Series 2005
6.960% due 07/01/2030		33,605		35,586
Valparaiso Middle Schools Building Corp. Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 07/15/2024		3,500		3,707
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.500% due 06/01/2026		1,050		1,079
5.625% due 06/01/2037		10,050		10,353
Washington State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.625% due 06/01/2032		6,850		7,485
Wisconsin State Clean Water Revenue Bonds, Series 2002-1
5.000% due 06/01/2018		1,760		1,894
5.000% due 06/01/2019		1,865		2,000
5.000% due 06/01/2020		1,900		2,030
5.100% due 06/01/2021		1,945		2,095
5.100% due 06/01/2022		2,120		2,282
5.100% due 06/01/2023		2,305		2,465
5.250% due 06/01/2016		1,600		1,794
5.250% due 06/01/2017		1,715		1,923
Total Municipal Bonds & Notes (Cost $914,304)				994,648
U.S. GOVERNMENT AGENCIES 43.1%
Fannie Mae
0.000% due 04/25/2018 - 05/25/2023 (g)		18		17
0.010% due 09/01/2007 - 08/25/2023 (c)(g)		135		125
0.950% due 03/25/2009 (a)(d)		3,392		45
0.990% due 06/01/2034 - 06/10/2035 (g)		5,643		5,709
1.000% due 09/25/2023		22		22
1.875% due 09/15/2005		85		85
2.000% due 01/15/2006		890		882
2.915% due 09/22/2006 (a)		337,375		337,279
3.000% due 08/25/2009		65,266		64,804
3.066% due 01/01/2021 (a)		33		33
3.111% due 04/26/2035 (a)		94,946		95,005
3.245% due 05/28/2035 (a)		7,833		7,833
3.250% due 08/15/2008		25		25
3.319% due 01/01/2020 (a)		1,745		1,769
3.325% due 06/01/2022 (a)		110		112
3.360% due 07/25/2035 (a)		87,770		87,797
3.401% due 09/01/2024 (a)		328		336
3.410% due 02/01/2022 (a)		227		230
3.415% due 12/01/2018 - 09/01/2024 (a)(g)		927		935
3.433% due 03/01/2033 (a)		294		297
3.444% due 09/01/2017 (a)		1,634		1,633
3.454% due 03/01/2019 (a)		1,744		1,775
3.499% due 06/01/2023 (a)		288		292
3.505% due 12/01/2020 (a)		1,705		1,730
3.596% due 07/01/2024 (a)		1,364		1,400
3.636% due 02/01/2028 (a)		1,482		1,499
3.660% due 04/18/2028 (a)		407		408
3.683% due 11/01/2025 (a)		933		959
3.699% due 11/01/2024 (a)		4,599		4,649
3.710% due 10/18/2030 (a)		2,728		2,749
3.713% due 08/01/2027 (a)		2,924		2,967
3.720% due 08/01/2027 (a)		5,582		5,751
3.728% due 10/01/2040 (a)		3,757		3,848
3.729% due 11/01/2019 (a)		234		236
3.747% due 10/01/2030 - 10/01/2040 (a)(g)		12,685		13,013
3.759% due 09/01/2019 (a)		1,183		1,202
3.764% due 09/25/2030 (a)		211		212
3.772% due 08/01/2026 (a)		347		358
3.792% due 11/01/2025 (a)		422		434
3.807% due 10/01/2020 (a)		54		55
3.814% due 03/25/2017 - 08/25/2030 (a)(g)		4,857		4,902
3.818% due 07/01/2026		41		42
3.830% due 08/01/2025 (a)		2,048		2,065
3.842% due 02/01/2020 (a)		22		23
3.851% due 04/01/2027 (a)		154		159
3.865% due 08/01/2033 (a)		106		105
3.877% due 02/01/2027 (a)		869		893
3.894% due 06/25/2018 (a)		1		1
3.896% due 01/01/2024 (a)		245		253
3.899% due 03/01/2025 (a)		1,720		1,768
3.909% due 05/01/2026 (a)		96		100
3.914% due 05/01/2030 (a)		37		38
3.945% due 11/01/2025 (a)		442		454
3.949% due 01/01/2026 (a)		245		253
3.970% due 07/01/2019 (a)		18		18
3.971% due 10/01/2027 (a)		1,106		1,139
4.000% due 02/25/2009 - 10/01/2024 (a)(g)		731		747
4.027% due 07/01/2019 (a)		150		150
4.030% due 08/01/2023 (a)		127		131
4.062% due 06/01/2025 (a)		408		420
4.065% due 04/01/2027 (a)		257		261
4.095% due 02/01/2028 (a)		168		174
4.127% due 09/01/2022 (a)		261		265
4.140% due 10/01/2019 (a)		798		804
4.179% due 09/01/2025 (a)		216		222
4.181% due 12/01/2022 (a)		67		69
4.190% due 09/01/2023 (a)		441		454
4.210% due 08/01/2017 (a)		1		1
4.247% due 09/01/2022 (a)		244		248
4.251% due 11/01/2025 (a)		74		76
4.276% due 08/01/2027 (a)		223		228
4.281% due 06/01/2023 - 12/01/2023 (a)(g)		358		368
4.286% due 11/01/2023 (a)		209		215
4.287% due 05/01/2024 (a)		412		426
4.296% due 05/01/2022 (a)		59		60
4.331% due 04/01/2027 (a)		292		297
4.402% due 10/01/2023 (a)		61		64
4.411% due 12/01/2023 (a)		37		39
4.412% due 01/01/2024 (a)		147		152
4.420% due 11/01/2023 (a)		70		71
4.450% due 12/01/2023 (a)		323		332
4.471% due 05/01/2023 (a)		314		321
4.477% due 06/01/2024 (a)		168		173
4.485% due 12/01/2023 (a)		232		241
4.491% due 02/01/2028 (a)		65		65
4.500% due 05/01/2018 - 07/19/2020 (g)		128,410		127,849
4.531% due 10/01/2026 (a)		26		27
4.539% due 04/01/2017 (a)		67		67
4.566% due 06/01/2025 (a)		1,203		1,244
4.585% due 11/01/2023 (a)		36		38
4.625% due 10/15/2013 - 10/01/2023 (a)(g)		1,147		1,181
4.651% due 03/01/2026 (a)		194		199
4.660% due 05/01/2025 (a)		623		640
4.680% due 12/01/2012		386		392
4.682% due 07/01/2034 (a)		86		87
4.687% due 06/01/2015 (a)		565		572
4.690% due 01/01/2024 (a)		102		105
4.691% due 07/01/2024 (a)		191		197
4.698% due 07/01/2021 (a)		51		52
4.710% due 08/25/2043 - 09/25/2043 (g)		5,925		5,927
4.723% due 12/01/2027 (a)		1,151		1,194
4.740% due 02/01/2026 (a)		82		84
4.750% due 03/16/2010		1,500		1,500
4.820% due 12/01/2034 (a)		1,106		1,119
4.837% due 09/01/2014 (a)		128		129
4.982% due 05/01/2017 (a)		6		7
4.994% due 01/01/2035 (a)		55,162		56,006
5.000% due 03/01/2009 - 08/11/2035 (g)		8,428,181		8,489,207
5.007% due 02/01/2033 (a)		36		37
5.025% due 11/01/2022 - 10/01/2024 (a)(g)		97		99
5.029% due 03/01/2023 (a)		524		534
5.078% due 04/01/2027 (a)		15		15
5.099% due 10/01/2024 (a)		20		21
5.149% due 04/01/2033 (a)		411		415
5.153% due 04/01/2018 (a)		284		294
5.175% due 04/01/2024 (a)		699		722
5.190% due 09/01/2034 (a)		171		172
5.240% due 12/01/2017 - 05/01/2023 (a)(g)		1,853		1,913
5.250% due 02/01/2023 (a)		46		47
5.256% due 02/25/2023 (a)(d)		1,791		90
5.325% due 05/01/2021 (a)		36		37
5.338% due 10/01/2027 (a)		294		305
5.375% due 03/01/2023 (a)		95		97
5.400% due 05/01/2014 (a)		266		272
5.413% due 02/01/2021 (a)		229		235
5.430% due 06/01/2022 (a)		43		45
5.500% due 03/01/2006 - 07/14/2035 (g)		23,147,189		23,484,309
5.565% due 09/01/2021 (a)		39		40
5.597% due 04/01/2026 (a)		113		117
5.602% due 02/01/2020 - 03/01/2023 (a)(g)		1,919		1,957
5.659% due 05/01/2021 (a)		56		57
5.710% due 01/01/2009		274		284
5.730% due 06/01/2022 (a)		18		18
5.750% due 12/20/2027		2,739		2,749
5.802% due 09/01/2021 (a)		9		10
5.870% due 02/01/2018 (a)		55		55
5.880% due 08/01/2022 (a)		2,250		2,318
5.936% due 12/01/2031		5,380		5,808
5.997% due 02/01/2021 (a)		189		192
6.000% due 02/01/2009 - 09/01/2034 (g)		487,652		505,510
6.048% due 01/01/2011		99		108
6.089% due 07/01/2032		458		458
6.090% due 12/01/2008		46		48
6.133% due 09/01/2029 (a)		24		25
6.137% due 12/01/2017 (a)		27		28
6.210% due 08/01/2010		38,141		40,985
6.250% due 01/25/2008 - 02/25/2029 (g)		27,419		28,401
6.255% due 09/01/2013		64,000		71,444
6.270% due 09/25/2007		2,809		2,884
6.290% due 02/25/2029		500		560
6.300% due 10/17/2038		21,830		24,282
6.370% due 02/25/2013		28,500		29,843
6.390% due 05/25/2036		41,513		45,912
6.420% due 12/01/2007		150		156
6.421% due 11/01/2021 (a)		95		97
6.500% due 09/01/2005 - 06/25/2044 (g)		430,362		450,085
6.530% due 10/01/2013		4,069		4,386
6.555% due 08/01/2028		2,104		2,391
6.628% due 08/01/2031 (a)		1,122		1,152
6.703% due 12/01/2025 (a)		639		654
6.730% due 11/01/2007		1,032		1,075
6.740% due 08/25/2007		425		445
6.750% due 10/25/2023		697		735
6.900% due 06/01/2007 - 05/25/2023 (g)		215		222
6.969% due 11/01/2025 (a)		92		94
6.981% due 12/01/2025 (a)		516		524
6.982% due 06/01/2007		237		242
7.000% due 05/25/2006 - 01/25/2048 (g)		35,037		36,685
7.040% due 03/01/2007		28		29
7.250% due 01/01/2008 - 01/01/2023 (g)		3,434		3,606
7.347% due 10/01/2009		476		520
7.364% due 06/01/2030 (a)		713		727
7.375% due 05/25/2022		2,339		2,477
7.460% due 08/01/2029		3,755		4,599
7.500% due 07/01/2006 - 07/25/2031 (g)		9,138		10,137
7.697% due 08/01/2027 (a)		39		40
7.750% due 05/25/2006 - 01/25/2022 (g)		3,742		4,002
7.780% due 01/01/2018		2,136		2,624
7.800% due 10/25/2022		514		557
7.810% due 05/01/2027 (a)		107		110
7.850% due 07/01/2018		6,291		7,693
7.900% due 11/01/2026 - 12/01/2026 (a)(g)		217		225
7.920% due 03/01/2018		2,638		3,276
7.980% due 05/01/2030		6,413		6,973
8.000% due 09/01/2007 - 06/01/2032 (g)		9,253		9,911
8.060% due 04/01/2030		1,783		1,953
8.080% due 04/01/2030		978		1,072
8.250% due 10/01/2008 - 02/01/2017 (g)		47		50
8.490% due 06/01/2025		931		1,033
8.500% due 01/01/2007 - 10/01/2032 (g)		23,416		25,599
8.750% due 01/25/2021		517		563
9.000% due 11/01/2006 - 12/01/2027 (g)		3,790		4,120
9.250% due 04/25/2018		43		47
9.300% due 05/25/2018 - 08/25/2019 (g)		134		147
9.400% due 09/25/2028 (a)		2,013		2,265
9.500% due 12/01/2006 - 07/01/2022 (g)		2,521		2,790
9.750% due 11/01/2008		3		4
10.000% due 08/01/2009 - 05/01/2022 (g)		345		386
10.500% due 11/01/2013 - 04/01/2022 (g)		133		147
10.876% due 09/25/2008 (a)		558		592
11.000% due 11/01/2013 - 11/01/2020 (g)		337		382
11.500% due 08/20/2016 - 11/01/2019 (g)		19		21
12.000% due 05/01/2016		2		2
12.500% due 10/01/2015		8		9
13.250% due 09/01/2011		5		5
14.500% due 01/01/2013		2		2
14.750% due 08/01/2012		56		64
15.000% due 10/01/2012		75		87
15.500% due 10/01/2012 - 12/01/2012 (g)		7		7
15.750% due 12/01/2011 - 08/01/2012 (g)		37		43
16.000% due 09/01/2012		44		51
22.425% due 09/25/2008 (d)		1		14
903.213% due 08/25/2021 (d)		1		14
1000.000% due 04/25/2022 (d)		0		11
Federal Home Loan Bank
3.210% due 06/01/2006		28,200		28,196
4.200% due 02/05/2007 (a)		47,650		44,314
6.750% due 04/10/2006		150		154
Federal Housing Administration
1.000% due 03/01/2021		69		70
6.755% due 03/01/2041		15,827		15,523
6.780% due 07/25/2040		7,450		7,614
6.830% due 12/01/2039		3,392		3,347
6.875% due 11/01/2015		2,395		2,391
6.880% due 10/01/2040 - 02/01/2041 (g)		21,205		21,122
6.896% due 07/01/2020		14,932		14,908
6.900% due 12/01/2040		22,327		22,239
6.960% due 05/01/2016		6,015		6,006
6.997% due 09/01/2019		583		582
7.110% due 05/01/2019		2,420		2,422
7.211% due 12/01/2021		824		830
7.250% due 06/01/2040		8,106		8,169
7.310% due 06/01/2041		23,188		23,731
7.315% due 08/01/2019		7,531		7,536
7.350% due 11/01/2020		639		643
7.375% due 02/01/2018 - 02/01/2022 (g)		2,639		2,658
7.400% due 01/25/2020 - 02/01/2021 (g)		6,914		6,969
7.430% due 10/01/2018 - 06/25/2024 (g)		30,360		30,730
7.450% due 05/01/2021		2,662		2,694
7.460% due 01/01/2023		624		632
7.465% due 11/01/2019		6,271		6,346
7.500% due 03/01/2032		3,256		3,292
7.580% due 12/01/2040		7,286		7,373
7.630% due 08/01/2041		17,470		17,888
7.675% due 09/01/2030		5,648		5,695
7.780% due 11/01/2040		7,284		7,512
8.250% due 01/01/2041		4,647		4,727
8.375% due 02/01/2012		241		246
8.450% due 07/01/2012		412		421
Freddie Mac
2.875% due 09/15/2005 - 06/01/2017 (a)(g)		2,881		2,857
3.034% due 03/25/2044		1,693		1,690
3.112% due 12/01/2026 (a)		1,506		1,513
3.331% due 06/01/2022 (a)		93		94
3.384% due 06/01/2022 (a)		274		282
3.447% due 07/01/2022 - 05/01/2023 (a)(g)		409		421
3.500% due 10/15/2011 - 07/15/2032 (g)		13,471		13,444
3.515% due 05/01/2027 (a)		60		62
3.570% due 12/15/2029 (a)		240		241
3.617% due 08/01/2023 (a)		1,232		1,260
3.620% due 06/15/2031 (a)		1,699		1,708
3.635% due 07/01/2023 (a)		118		122
3.657% due 07/01/2020 (a)		289		295
3.670% due 11/15/2030 - 12/15/2031 (a)(g)		93		94
3.685% due 08/01/2023 (a)		217		223
3.694% due 12/01/2022 (a)		55		56
3.711% due 07/01/2027 (a)		47		49
3.718% due 10/01/2024 (a)		635		652
3.720% due 09/15/2030 - 01/15/2032 (a)(g)		527		530
3.730% due 03/01/2022 (a)		2,224		2,279
3.780% due 02/01/2019 (a)		178		180
3.783% due 02/01/2025 (a)		52		54
3.789% due 11/01/2020 (a)		249		257
3.797% due 08/15/2032 (a)		9,381		9,395
3.815% due 05/01/2021 (a)		1,957		1,976
3.836% due 02/01/2019 (a)		496		501
3.842% due 12/01/2018 (a)		708		715
3.844% due 10/01/2026 (a)		794		814
3.863% due 07/01/2024 (a)		344		354
3.875% due 09/01/2018 (a)		164		167
3.880% due 10/25/2023		365		365
3.887% due 01/01/2021 (a)		53		54
3.927% due 04/01/2024 (a)		1,720		1,768
3.949% due 08/01/2023 (a)		2		2
4.000% due 05/01/2011 - 12/01/2016 (a)(g)		996		991
4.009% due 06/01/2021 (a)		855		876
4.011% due 08/01/2023 (a)		2,327		2,397
4.015% due 06/01/2024 (a)		1,011		1,036
4.032% due 06/01/2024 (a)		481		494
4.037% due 01/01/2022 (a)		150		150
4.039% due 11/01/2023 (a)		671		685
4.044% due 10/01/2022 (a)		58		58
4.065% due 05/01/2023 (a)		261		264
4.075% due 09/01/2027 (a)		112		114
4.082% due 08/01/2023 (a)		106		109
4.118% due 07/01/2019 (a)		601		621
4.125% due 08/01/2024 (a)		103		106
4.174% due 10/01/2023 (a)		309		318
4.183% due 04/01/2029 (a)		286		294
4.196% due 08/01/2023 (a)		177		182
4.201% due 07/01/2023 (a)		445		459
4.228% due 10/01/2023 (a)		428		438
4.234% due 10/01/2023 (a)		178		182
4.238% due 01/01/2028 (a)		33		34
4.240% due 11/01/2023 (a)		20		20
4.260% due 09/01/2023 (a)		650		672
4.267% due 10/01/2023 (a)		675		697
4.282% due 11/01/2026 (a)		1,814		1,864
4.288% due 09/01/2023 (a)		326		336
4.296% due 05/01/2020 (a)		138		140
4.351% due 07/01/2025 (a)		1,895		1,946
4.365% due 01/01/2024 (a)		126		130
4.370% due 10/25/2023 (a)		1,824		1,859
4.491% due 05/01/2023 (a)		205		210
4.500% due 11/01/2008 - 05/01/2034 (g)		12,211		12,245
4.513% due 12/01/2023 (a)		277		285
4.540% due 09/01/2028 (a)		9		9
4.625% due 01/01/2019 (a)		2		2
4.698% due 01/01/2024 (a)		104		108
4.729% due 02/01/2023 (a)		545		558
4.787% due 09/01/2023 (a)		1,369		1,405
4.797% due 06/01/2020 (a)		513		526
4.805% due 04/01/2025 (a)		362		370
4.825% due 09/01/2023 (a)		33		33
4.839% due 09/01/2023 (a)		450		461
4.840% due 04/01/2023 (a)		68		70
4.947% due 03/01/2024 (a)		486		500
4.969% due 11/01/2028 (a)		2,271		2,289
4.992% due 12/01/2019 (a)		6		6
5.000% due 02/01/2007 - 08/11/2035 (g)		324,384		328,152
5.018% due 05/01/2022 (a)		60		61
5.061% due 05/01/2023 (a)		31		31
5.145% due 10/01/2020 (a)		16		16
5.160% due 06/01/2022 (a)		870		895
5.225% due 10/01/2023 (a)		345		354
5.425% due 10/01/2020 (a)		294		298
5.500% due 10/01/2008 - 07/14/2035 (g)		8,649		8,783
5.738% due 07/01/2032 (a)		17		17
5.767% due 02/01/2026 (a)		544		555
5.780% due 01/01/2019 (a)		67		69
5.782% due 02/01/2021 (a)		17		18
5.816% due 05/01/2020 (a)		29		30
5.861% due 05/01/2018 (a)		575		590
5.893% due 07/01/2019 (a)		11		11
5.950% due 06/15/2028		34,770		36,244
5.974% due 03/01/2021 (a)		1,985		2,028
6.000% due 11/15/2008 - 03/01/2034 (g)		316,707		327,141
6.017% due 05/01/2018 (a)		617		633
6.200% due 12/15/2008		1,847		1,875
6.250% due 09/15/2007 - 07/15/2032 (g)		12,824		12,836
6.400% due 10/15/2008 (d)		6		0
6.500% due 04/01/2008 - 02/25/2042 (g)		631,375		658,769
6.575% due 01/01/2019 (a)		2		2
6.628% due 02/15/2008 (a)(d)		49		2
6.885% due 05/01/2018 (a)		66		68
6.950% due 07/15/2021 - 08/15/2021 (g)		89		90
7.000% due 12/01/2007 - 10/25/2043 (g)		111,260		116,471
7.215% due 07/01/2019 (a)		2		2
7.250% due 01/01/2007 - 05/15/2030 (g)		17		17
7.457% due 02/01/2026 (a)		95		98
7.500% due 01/01/2007 - 07/01/2032 (g)		50,703		52,766
7.645% due 05/01/2025		5,255		6,055
7.818% due 07/01/2030 (a)		2,570		2,639
8.000% due 07/01/2006 - 09/15/2029 (g)		21,344		22,520
8.250% due 08/01/2007 - 06/15/2022 (g)		522		524
8.500% due 11/01/2007 - 06/01/2030 (g)		5,441		5,524
8.750% due 04/01/2009 - 12/15/2020 (g)		210		211
8.900% due 11/15/2020		2,061		2,060
9.000% due 04/01/2006 - 07/01/2030 (g)		1,243		1,241
9.250% due 10/01/2009		3		3
9.500% due 09/01/2005 - 12/01/2022 (g)		1,305		1,327
9.750% due 11/01/2008 - 05/01/2009 (g)		2		3
10.000% due 10/01/2005 - 03/01/2021 (g)		154		170
10.100% due 09/01/2016		128		145
10.250% due 04/01/2009 - 07/01/2009 (g)		193		208
10.500% due 10/01/2017 - 01/01/2021 (g)		51		59
10.750% due 09/01/2009 - 12/01/2015 (g)		87		92
11.000% due 06/01/2011 - 05/01/2020 (g)		121		133
11.250% due 10/01/2009 - 09/01/2015 (g)		7		8
11.500% due 01/01/2018		10		11
12.500% due 12/01/2012		4		5
13.250% due 10/01/2013		65		73
14.000% due 04/01/2016		7		8
15.500% due 08/01/2011 - 11/01/2011 (g)		3		4
16.250% due 05/01/2011		1		1
82.577% due 08/15/2007 (d)		0		0
884.500% due 01/15/2021 (d)		0		0
1007.500% due 02/15/2022 (d)		1		1
Government National Mortgage Association
3.250% due 03/20/2028 (a)		3,530		3,582
3.375% due 05/20/2017 - 05/20/2030 (a)(g)		90,816		92,188
3.500% due 07/20/2028 - 08/20/2030 (a)(g)		10,875		10,991
3.636% due 06/16/2031 - 03/16/2032 (a)(g)		502		505
3.660% due 06/20/2030 (a)		330		331
3.686% due 10/16/2030 (a)		2,390		2,408
3.736% due 02/16/2030 - 04/16/2032 (a)(g)		7,230		7,299
3.750% due 08/20/2020 - 02/20/2032 (a)(g)		72,989		74,128
3.760% due 09/20/2030 (a)		572		576
3.786% due 12/16/2025 (a)		278		281
3.836% due 02/16/2030 (a)		4,999		5,051
3.875% due 04/20/2023 (a)		48		49
3.886% due 02/16/2030 (a)		2,534		2,562
4.000% due 11/20/2032 (a)		2,105		2,127
4.125% due 12/20/2015 - 12/20/2029 (a)(g)		64,060		65,178
4.250% due 01/20/2028 - 03/20/2030 (a)(g)		16,160		16,392
4.375% due 01/20/2022 - 03/20/2028 (a)(g)		56,732		57,690
4.500% due 11/16/2028 - 07/15/2033 (g)		14,951		14,929
4.625% due 02/20/2018 - 11/20/2029 (a)(g)		207		208
5.000% due 04/20/2033 - 04/15/2034 (g)		2,311		2,332
5.500% due 10/15/2032 - 11/15/2033 (g)		131		133
5.650% due 10/15/2012		7		7
6.000% due 10/15/2008 - 04/15/2033 (g)		48,021		50,133
6.500% due 10/15/2008 - 09/15/2040 (g)		164,159		171,709
6.670% due 08/15/2040		936		1,026
6.750% due 05/16/2026 - 10/16/2040 (g)		44,211		51,323
7.000% due 11/15/2007 - 11/15/2040 (g)		21,091		22,525
7.250% due 07/16/2028		12		12
7.500% due 04/15/2007 - 01/15/2041 (g)		46,880		50,084
7.700% due 06/15/2031		6,634		7,415
7.750% due 08/20/2025		26		28
8.000% due 06/15/2006 - 09/15/2031 (g)		1,976		2,127
8.250% due 02/15/2006 - 04/15/2020 (g)		282		302
8.500% due 03/20/2006 - 04/15/2031 (g)		1,467		1,596
8.750% due 03/15/2007 - 07/15/2007 (g)		14		14
9.000% due 11/15/2005 - 08/15/2030 (g)		1,456		1,591
9.250% due 03/15/2006 - 12/20/2016 (g)		5		6
9.500% due 10/15/2005 - 07/15/2025 (g)		1,211		1,338
10.000% due 11/15/2009 - 02/15/2025 (g)		1,109		1,252
10.250% due 02/20/2019		11		12
10.500% due 12/15/2015 - 09/15/2021 (g)		156		179
11.000% due 01/15/2010 - 04/20/2019 (g)		54		60
11.500% due 04/15/2013 - 10/15/2015 (g)		38		42
12.000% due 11/15/2012 - 05/15/2016 (g)		158		182
12.500% due 01/15/2011		1		1
13.000% due 12/15/2012		9		10
13.500% due 10/15/2012 - 09/15/2014 (g)		41		46
15.000% due 08/15/2011 - 11/15/2012 (g)		75		86
16.000% due 11/15/2011 - 05/15/2012 (g)		73		86
17.000% due 11/15/2011 - 12/15/2011 (g)		25		29
Small Business Administration
4.524% due 02/10/2013		28,398		28,611
4.980% due 11/01/2023		12,213		12,517
4.990% due 09/01/2024		3,930		4,028
5.130% due 09/01/2023		8,539		8,810
5.340% due 11/01/2021		11,622		12,111
6.030% due 02/01/2012		24,804		25,977
6.340% due 03/01/2021		22,073		23,664
6.344% due 08/10/2011		3,811		4,018
6.640% due 02/01/2011		12,194		12,927
6.700% due 12/01/2016		7,053		7,426
6.900% due 12/01/2020		6,185		6,741
6.950% due 11/01/2016		1,870		1,975
7.150% due 03/01/2017		3,712		3,935
7.190% due 12/01/2019		243		265
7.449% due 08/01/2010		39,820		42,874
7.452% due 09/01/2010		22,004		23,610
7.500% due 04/01/2017		2,006		2,141
7.540% due 08/10/2009		16,299		17,479
7.630% due 06/01/2020		11,146		12,344
7.640% due 03/10/2010		15,106		16,280
7.700% due 07/01/2016		284		302
8.017% due 02/10/2010		23,040		24,905
Total U.S. Government Agencies (Cost $36,804,930)				37,202,352
U.S. TREASURY OBLIGATIONS 15.7%
Treasury Inflation Protected Securities (f)
1.625% due 01/15/2015		160,376		159,844
2.375% due 01/15/2025		1,017,844		1,114,500
3.625% due 04/15/2028		163,630		219,911
3.875% due 04/15/2029		31,327		44,038
U.S. Treasury Bonds
5.250% due 11/15/2028		234,800		268,250
5.375% due 02/15/2031		635		749
5.500% due 08/15/2028		264,100		311,091
6.000% due 02/15/2026		339,000		417,791
6.125% due 08/15/2029		905		1,156
6.250% due 08/15/2023		141,595		176,502
6.625% due 02/15/2027		100,000		132,754
7.875% due 02/15/2021		160,000		226,531
U.S. Treasury Notes
1.500% due 07/31/2005		630		629
1.625% due 09/30/2005		2,400		2,392
1.625% due 10/31/2005		610		607
1.875% due 12/31/2005		1,420		1,410
2.000% due 08/31/2005		2,350		2,346
4.875% due 02/15/2012		9,811,800		10,423,507
Total U.S. Treasury Obligations (Cost $13,386,853)				13,504,008
MORTGAGE-BACKED SECURITIES 2.3%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (a)		545		543
American Southwest Financial Securities Corp.
7.248% due 11/25/2038		19,429		20,984
Bank of America Funding Corp.
4.110% due 06/25/2035 (a)		200		198
4.118% due 05/25/2035 (a)		216,000		213,516
Bank of America Mortgage Securities, Inc.
5.770% due 10/20/2032 (a)		246		247
6.346% due 07/25/2032 (a)		4,227		4,285
6.500% due 02/25/2033		36,924		37,535
Bear Stearns Adjustable Rate Mortgage Trust
3.100% due 07/25/2034 (a)		848		849
4.005% due 11/25/2030 (a)		27,049		27,399
5.272% due 10/25/2032 (a)		9,343		9,336
5.345% due 02/25/2033 (a)		67		68
5.421% due 03/25/2033 (a)		33,941		34,401
5.431% due 03/25/2033 (a)		17,186		17,279
5.668% due 01/25/2033 (a)		24,276		24,551
5.764% due 06/25/2032 (a)		80		80
5.934% due 06/25/2032 (a)		35		35
6.937% due 06/25/2031 (a)		1,394		1,401
Bear Stearns Alt-A Trust
5.447% due 05/25/2035 (a)		380,648		387,922
Bear Stearns Commercial Mortgage Securities, Inc.
4.066% due 06/25/2030 (a)		1,047		1,072
5.060% due 12/15/2010		28,485		29,044
5.910% due 05/14/2008		65		66
7.000% due 05/20/2030		50,141		55,682
Capco America Securitization Corp.
5.860% due 12/15/2007		18		18
CMC Securities Corp.
7.250% due 11/25/2027		27		27
Collateralized Mortgage Obligation Trust
8.000% due 09/20/2021		1,191		1,191
Commercial Mortgage Acceptance Corp.
7.030% due 05/15/2009		75		82
Commercial Mortgage Asset Trust
6.975% due 04/17/2013		145		168
Commercial Mortgage Pass-Through Certificates
3.440% due 09/15/2014 (a)		37,000		36,938
6.145% due 02/15/2008		2,923		2,949
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		10,530		10,475
Countrywide Home Loan Mortgage Pass-Through Trust
3.604% due 04/25/2035 (a)		83,234		83,233
Countrywide Home Loans, Inc.
6.015% due 07/19/2031 (a)		148		151
Credit-Based Asset Servicing & Securitization LLC
3.634% due 02/25/2030 (a)		4,004		4,009
3.864% due 04/25/2032 (a)		1,122		1,129
Crusade Global Trust
3.598% due 02/15/2030 (a)		3,696		3,697
CS First Boston Mortgage Securities Corp.
3.226% due 03/25/2032 (a)		2,723		2,728
3.350% due 03/25/2032 (a)		2,911		2,891
3.704% due 05/25/2032 (a)		5,877		5,873
3.914% due 12/25/2032 (a)		2,306		2,309
6.000% due 02/25/2017		1,452		1,455
6.000% due 06/25/2017		95		95
6.058% due 05/25/2032 (a)		2,037		2,057
6.124% due 12/25/2031 (a)		4,284		4,284
6.249% due 04/25/2032 (a)		3,299		3,327
6.500% due 04/25/2033		13,544		13,707
7.290% due 09/15/2009		335		369
7.500% due 03/25/2031		921		919
7.500% due 12/25/2032		37		38
DLJ Mortgage Acceptance Corp.
3.844% due 08/01/2021 (a)(m)		847		815
5.175% due 05/25/2024 (a)		9		8
6.206% due 10/25/2024 (a)		64		64
6.406% due 03/25/2023 (a)		11		11
7.300% due 06/10/2032		515		570
8.000% due 03/25/2022		21		21
Drexel Burnham Lambert CMO Trust
9.500% due 11/20/2017		79		79
Fannie Mae
3.664% due 07/25/2021		399		400
4.214% due 04/25/2032		126		128
Federal Agricultural Mortgage Corp.
7.930% due 01/25/2012 (a)		618		627
First Chicago Lennar Trust
8.111% due 05/25/2008 (a)		275		279
First Horizon Asset Securities, Inc.
7.000% due 05/25/2030		8		8
First Interstate Bancorp.
8.875% due 01/01/2009 (m)		9		8
9.125% due 01/01/2009 (a)(m)		1		1
First Nationwide Trust
3.914% due 09/25/2031 (a)		10		10
6.750% due 08/21/2031		21,508		21,676
8.500% due 08/25/2031		37		37
First Republic Mortgage Loan Trust
3.520% due 08/15/2032 (a)		520		520
3.634% due 06/25/2030 (a)		5,845		5,844
Freddie Mac
3.000% due 06/15/2009		416		415
3.750% due 05/15/2015		4,150		4,142
4.500% due 11/15/2012		460		462
5.000% due 12/15/2034		28,407		28,649
Fund America Investors Corp.
4.076% due 06/25/2023 (a)		649		655
GMAC Commercial Mortgage Securities, Inc.
6.974% due 05/15/2008		13,053		13,513
7.860% due 11/15/2006		250		259
8.950% due 08/20/2017		96		96
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (m)		3,917		3,819
Government Lease Trust
4.000% due 05/18/2011		35,750		36,079
6.390% due 05/18/2007		9,597		9,832
6.480% due 05/18/2011		14,000		15,274
GS Mortgage Securities Corp.
6.044% due 08/15/2018		16,972		17,921
6.526% due 08/15/2011		15,700		17,358
6.624% due 05/03/2018		55,900		63,524
GSR Mortgage Loan Trust
6.000% due 03/25/2032		529		531
GSRPM Mortgage Loan Trust
4.014% due 01/25/2032 (a)		8,305		8,383
Home Savings of America
8.464% due 08/01/2006 (a)		1		1
Impac Secured Assets CMN Owner Trust
6.500% due 04/25/2032 (a)		5,765		5,887
Indymac Adjustable Rate Mortgage Trust
3.342% due 08/25/2031 (a)		523		522
3.869% due 01/25/2032 (a)		1,001		999
6.527% due 01/25/2032 (a)		4,016		4,019
International Mortgage Acceptance Corp.
12.250% due 03/01/2014		91		102
J.P. Morgan Commercial Mortgage Finance Corp.
8.160% due 02/25/2028 (a)		1,615		1,653
LB Mortgage Trust
8.407% due 01/20/2017 (a)		43,109		47,232
MASTR Adjustable Rate Mortgages Trust
6.174% due 10/25/2032 (a)		8,737		8,772
MASTR Asset Securitization Trust
5.500% due 09/25/2033		3,137		3,155
Mastr Seasoned Securities Trust
6.199% due 09/25/2017		47,127		48,261
Mellon Residential Funding Corp.
2.788% due 07/25/2029 (a)		8,943		9,014
3.460% due 06/15/2030 (a)		187		187
3.750% due 10/20/2029 (a)		26,355		26,498
4.210% due 01/25/2029 (a)		3,787		3,823
Merrill Lynch Mortgage Investors, Inc.
6.738% due 06/15/2021 (a)		213		214
6.888% due 06/15/2021 (a)		2,310		2,316
7.148% due 06/15/2021 (a)		2,167		2,173
7.696% due 06/15/2021 (a)		481		482
MLCC Mortgage Investors, Inc.
3.470% due 09/15/2026 (a)		6,308		6,317
Morgan Stanley Capital I, Inc.
6.160% due 04/03/2009		6,926		7,170
6.170% due 10/03/2008		750		796
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006		500		511
Nationslink Funding Corp.
3.540% due 04/10/2007 (a)		4,658		4,674
6.654% due 02/10/2006		11,585		11,755
6.888% due 05/10/2007		420		437
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		5,649		5,924
Nomura Asset Securities Corp.
7.120% due 04/13/2036		460		470
Pacific Collateralized Mortgage Obligation Trust
8.000% due 03/20/2018		96		97
Paine Webber CMO Trust
1359.500% due 08/01/2019 (d)		0		6
PNC Mortgage Securities Corp.
6.300% due 03/25/2029		2,089		2,092
6.500% due 06/25/2029		2,237		2,233
Prime Mortgage Trust
3.714% due 02/25/2034 (a)		39,305		39,393
Prudential Home Mortgage Securities
7.400% due 11/25/2007		42		42
7.500% due 03/25/2008		530		531
Prudential-Bache Trust
8.400% due 03/20/2021		1,197		1,195
Regal Trust IV
3.618% due 09/29/2031 (a)		3,477		3,437
Resecuritization Mortgage Trust
3.564% due 04/26/2021 (a)		2		2
Residential Asset Mortgage Products, Inc.
3.484% due 07/25/2024 (a)		35,152		35,188
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		1,534		1,553
RMF Commercial Mortgage Pass-Through Certificates
6.715% due 01/15/2019		1		1
Ryland Acceptance Corp.
11.500% due 12/25/2016		21		22
SACO I, Inc.
3.504% due 07/25/2019 (a)		462		462
Salomon Brothers Mortgage Securities VII, Inc.
3.814% due 11/25/2024 (a)		300		300
3.937% due 10/25/2023 (a)		18		18
4.240% due 11/25/2022 (a)		36		34
Santa Barbara Savings & Loan Association
9.500% due 11/20/2018		428		430
Sears Mortgage Securities
12.000% due 02/25/2014		150		150
Securitized Asset Sales, Inc.
4.231% due 11/26/2023 (a)		202		202
4.552% due 10/25/2023 (a)		56		56
5.034% due 06/25/2023 (a)		65		66
Sequoia Mortgage Trust
3.600% due 06/20/2032 (a)		1,157		1,156
3.610% due 10/19/2026 (a)		1,372		1,374
3.610% due 07/20/2033 (a)		767		763
Small Business Administration
3.870% due 01/01/2014		2,136		2,120
Structured Adjustable Rate Mortgage Loan Trust
3.210% due 03/25/2035 (a)		24,771		24,793
3.434% due 01/25/2035 (a)		17,991		18,004
Structured Asset Mortgage Investments, Inc.
3.590% due 09/19/2032 (a)		69,398		69,099
4.889% due 05/25/2022 (a)		4,011		4,030
5.071% due 04/25/2032 (a)		1,691		1,696
6.750% due 04/30/2030		3		3
7.101% due 02/25/2030 (a)		140		140
Structured Asset Securities Corp.
3.210% due 03/25/2035 (a)		29,693		29,715
3.484% due 12/25/2034 (a)		8,063		8,068
3.604% due 02/25/2032 (a)		6,683		6,709
3.814% due 07/25/2032 (a)		132		132
3.868% due 05/25/2032 (a)		911		916
5.450% due 03/25/2033 (a)		22,615		22,555
6.000% due 09/25/2032		2		2
6.127% due 02/25/2032 (a)		6,043		6,066
6.150% due 07/25/2032 (a)		12,670		12,732
6.250% due 01/25/2032 (a)		19,474		19,930
7.500% due 07/25/2016		987		986
Structured Mortgage Asset Residential Trust
6.950% due 07/25/2024 (a)		44		43
Superannuation Members Home Loans Global Fund
3.665% due 06/15/2026 (a)		1,728		1,729
Torrens Trust
3.480% due 07/15/2031 (a)		7,299		7,304
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028		4,000		4,217
6.800% due 01/25/2028		8,180		8,367
Vendee Mortgage Trust
0.439% due 06/15/2023 (d)		42,862		492
6.500% due 09/15/2024		26,725		28,619
6.813% due 01/15/2030 (a)		4,864		5,065
Washington Mutual Mortgage Securities Corp.
3.387% due 12/25/2040 (a)		7,990		7,980
3.584% due 12/25/2027 (a)		1,895		1,894
3.634% due 12/25/2027 (a)		53,665		53,735
3.765% due 02/27/2034 (a)		104		104
3.904% due 06/25/2042 (a)		11,376		11,497
5.028% due 05/25/2033 (a)		3,494		3,499
5.131% due 10/25/2032 (a)		26,288		26,474
5.390% due 02/25/2033 (a)		71		71
5.530% due 07/25/2032 (a)		898		896
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 01/25/2035 (a)		556		552
Total Mortgage-Backed Securities (Cost $1,967,541)				1,987,031
ASSET-BACKED SECURITIES 3.0%
AAA Trust
3.120% due 04/25/2035 (a)		411,486		412,196
Aames Mortgage Investment Trust
3.394% due 08/25/2035 (a)		35,235		35,266
Accredited Mortgage Loan Trust
3.484% due 10/25/2034		5,968		5,973
ACE Securities Corp.
3.424% due 04/25/2034 (a)		720		720
Advanta Mortgage Loan Trust
3.689% due 11/25/2029 (a)		660		661
8.250% due 08/25/2030		7,954		8,239
Advanta Revolving Home Equity Loan Trust
3.564% due 02/25/2025 (a)		2,280		2,282
3.684% due 01/25/2024 (a)		3,371		3,374
Ameriquest Mortgage Securities, Inc.
3.410% due 06/25/2034 (a)		5,332		5,350
3.584% due 08/25/2032 (a)		1		1
3.724% due 03/25/2033 (a)		4,092		4,097
3.744% due 10/25/2033 (a)		878		880
4.134% due 10/25/2031 (a)		7,694		7,701
Amortizing Residential Collateral Trust
3.584% due 06/25/2032 (a)		892		893
Asset-Backed Funding Certificates
3.444% due 07/25/2034 (a)		9,296		9,296
Asset-Backed Securities Corp. Home Equity
3.394% due 03/25/2035		24,116		24,131
Bank One Heloc Trust
3.520% due 04/20/2020 (a)		5,697		5,709
Bear Stearns Asset-Backed Securities, Inc.
3.484% due 12/25/2042 (a)		28,974		28,969
3.644% due 10/25/2032 (a)		8,766		8,785
3.714% due 10/25/2032 (a)		6,996		7,030
5.050% due 06/25/2043 (a)		10,145		10,130
Brazos Student Finance Corp.
3.381% due 12/01/2025 (a)		8,310		8,315
4.110% due 06/01/2023 (a)		15,896		16,051
Capital Auto Receivables Asset Trust
3.230% due 06/15/2006 (a)		49,882		49,913
3.310% due 04/16/2007 (a)		76,778		76,870
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		85,540		85,487
Cendant Mortgage Corp.
6.000% due 10/21/2033		10,655		10,815
Centex Home Equity Co., LLC
3.594% due 06/25/2033 (a)		3,030		3,034
3.614% due 09/25/2033 (a)		2,333		2,337
Champion Home Equity Loan Trust
3.574% due 03/25/2029 (a)		364		364
3.714% due 09/25/2029 (a)		1,174		1,176
Chase Credit Card Master Trust
3.350% due 01/15/2008 (a)		11,235		11,245
Chase Funding Mortgage Loan Asset-Backed Certificates
3.634% due 08/25/2032 (a)		8,588		8,601
7.333% due 11/25/2011		1,115		1,137
Cityscape Home Equity Loan Trust
7.650% due 09/25/2025		58		58
Colonial Advisory Services CBO I Ltd.
3.696% due 06/20/2008 (a)		1,825		1,822
Community Program Loan Trust
4.500% due 10/01/2018		12,219		12,216
4.500% due 04/01/2029		26,000		24,935
Conseco Finance Corp.
3.590% due 10/15/2031 (a)		3,104		3,105
3.670% due 05/15/2032 (a)		546		548
Countrywide Asset-Backed Certificates
2.800% due 12/25/2022 (a)		6,934		6,939
3.010% due 01/25/2035 (a)		4,872		4,873
3.100% due 12/25/2034 (a)		456		457
3.340% due 06/25/2035 (a)		24,873		24,877
3.370% due 06/25/2035 (a)		51,365		51,373
3.400% due 06/25/2035 (a)		170,000		170,080
3.454% due 05/25/2023 (a)		18,004		18,021
3.464% due 10/25/2023 (a)		45,812		45,845
3.464% due 05/25/2035		7,130		7,122
3.474% due 08/25/2023 (a)		32,085		32,110
3.494% due 11/25/2021 (a)		9,700		9,708
3.504% due 10/25/2021 (a)		8,927		8,934
Credit-Based Asset Servicing & Securitization LLC
3.634% due 06/25/2032 (a)		8,203		8,215
3.654% due 01/25/2032 (a)		2,134		2,136
CS First Boston Mortgage Securities Corp.
3.664% due 07/25/2032 (a)		6,094		6,112
3.684% due 08/25/2032 (a)		4,382		4,401
Daimler Chrysler Auto Trust
4.630% due 12/06/2006		6,289		6,294
Delta Funding Home Equity Loan Trust
3.630% due 09/15/2029 (a)		656		657
Denver Arena Trust
6.940% due 11/15/2019		3,609		3,690
Discover Card Master Trust I
3.595% due 10/16/2013 (a)		400		407
EQCC Home Equity Loan Trust
3.380% due 10/15/2027 (a)		94		94
7.448% due 08/25/2030		11		11
Equifirst Mortgage Loan Trust
3.414% due 01/25/2034 (a)		8,846		8,850
Equity One ABS, Inc.
3.474% due 07/25/2034 (a)		3,433		3,436
3.594% due 11/25/2032 (a)		51		51
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025		12		12
First Alliance Mortgage Loan Trust
3.754% due 01/25/2025 (a)		60		60
4.020% due 03/20/2031 (a)		3,444		3,448
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.444% due 10/25/2034 (a)		165		165
3.494% due 06/25/2024		54,717		54,764
First Franklin Mortgage Loan Asset-Backed Certificates
3.394% due 04/25/2034 (a)		21,055		21,068
Fleet Credit Card Master Trust II
2.750% due 04/15/2008		27,538		27,482
7.020% due 02/15/2008		2,500		2,513
FMAC Loan Receivables Trust
6.500% due 09/15/2020		139		76
7.900% due 04/15/2019		20		18
Ford Credit Auto Owner Trust
5.180% due 10/16/2006		46,000		46,169
Fremont Home Loan Trust
3.414% due 06/25/2035 (a)		6,887		6,886
3.424% due 02/25/2035 (a)		43,885		43,925
GMAC Mortgage Corp. Loan Trust
3.210% due 10/25/2033		15,579		15,589
7.950% due 03/25/2030 (a)		1,579		1,582
Green Tree Financial Corp.
5.760% due 11/01/2018		24		24
6.240% due 11/01/2016		58		60
6.480% due 12/01/2030		55		57
6.870% due 02/01/2030		1,280		1,340
Greenpoint Manufactured Housing
7.270% due 06/15/2029		110		122
GSAMP Trust
3.464% due 08/25/2034 (a)		1,372		1,373
Home Equity Asset Trust
3.614% due 11/25/2032 (a)		154		155
3.774% due 05/25/2033 (a)		7,067		7,084
5.164% due 08/25/2032 (a)		1,431		1,432
Home Equity Mortgage Trust
3.504% due 10/25/2034		43,969		43,995
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		25,098		25,155
3.610% due 02/20/2033 (a)		2,835		2,842
IMC Home Equity Loan Trust
6.780% due 07/25/2026 (a)		105		105
7.310% due 11/20/2028		61		63
7.500% due 04/25/2026		157		159
7.520% due 08/20/2028		32		32
Indymac Home Equity Loan Asset-Backed Trust
3.604% due 07/25/2030 (a)		367		367
Irwin Home Equity Loan Trust
3.464% due 01/25/2034 (a)		4,986		4,990
3.684% due 02/25/2012 (a)		1,266		1,268
3.689% due 06/25/2021 (a)		2,388		2,393
IXIS Real Estate Capital Trust
2.730% due 06/25/2035 (a)		5,286		5,286
Long Beach Mortgage Loan Trust
3.414% due 06/25/2034		4,472		4,474
Merrill Lynch Mortgage Investors, Inc.
3.403% due 12/25/2035 (a)		52,400		52,416
3.424% due 10/25/2035		12,294		12,303
3.460% due 04/25/2031 (a)		889		890
3.494% due 07/25/2035		3,691		3,694
3.600% due 03/15/2025 (a)		468		470
Metropolitan Asset Funding, Inc.
3.774% due 04/25/2029 (a)		116		116
Mid-State Trust
6.340% due 10/15/2036		29,724		31,485
7.340% due 07/01/2035		1,352		1,447
7.791% due 03/15/2038		5,654		6,299
8.330% due 04/01/2030		34,392		37,276
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.414% due 01/25/2035		32,169		32,193
3.444% due 04/25/2034 (a)		2,700		2,702
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (a)		233		234
3.734% due 11/25/2032 (a)		1,187		1,188
Morgan Stanley Home Equity Loans
3.434% due 12/25/2034 (a)		41,075		41,102
MPC Natural Gas Funding Trust
6.200% due 03/15/2013		6,335		6,699
Navistar Financial Corp. Owner Trust
1.690% due 09/15/2006		39		39
Nelnet Student Loan Trust
3.211% due 01/25/2013		3,430		3,433
3.280% due 06/22/2011		10,000		9,994
New Century Home Equity Loan Trust
7.320% due 07/25/2029		5		5
7.540% due 06/25/2029		10		10
Nissan Auto Lease Trust
2.560% due 08/15/2007 (a)		3,037		3,037
Novastar Home Equity Loan
3.589% due 04/25/2028 (a)		143		143
NPF XII, Inc.
2.462% due 11/01/2024 (b)		49,000		3,848
Option One Mortgage Loan Trust
3.444% due 02/25/2035 (a)		3,323		3,325
3.814% due 12/25/2030 (a)		912		913
3.894% due 06/25/2030 (a)		1,514		1,516
Park Place Securities, Inc.
2.770% due 01/25/2036 (a)		1,149		1,150
3.394% due 06/25/2035		56,197		56,208
3.464% due 10/25/2034 (a)		40		40
3.484% due 10/25/2034		12,915		12,926
Quest Trust
3.744% due 08/25/2011 (a)		17,708		17,747
Renaissance Home Equity Loan Trust
3.450% due 11/25/2034 (a)		740		742
3.474% due 05/25/2034 (a)		13,802		13,811
3.514% due 07/25/2034 (a)		1,928		1,928
3.514% due 02/25/2035		16,183		16,226
3.534% due 11/25/2034		5,814		5,818
3.664% due 08/25/2032 (a)		4,271		4,283
Residential Asset Mortgage Products, Inc.
3.190% due 04/25/2025 (a)		31,099		31,119
3.424% due 01/25/2025 (a)		14,052		14,060
3.444% due 06/25/2027 (a)		32,179		32,214
3.454% due 05/25/2024		8,531		8,541
3.454% due 02/25/2026		2,480		2,482
3.454% due 05/25/2026 (a)		161		161
3.614% due 01/25/2034 (a)		65,821		66,005
Residential Asset Securities Corp.
3.414% due 12/25/2024 (a)		14,858		14,867
3.414% due 03/25/2025		17,272		17,284
Residential Funding Mortgage Securities II
3.414% due 12/25/2018		9,495		9,501
Residential Mortgage Loan Trust
4.814% due 09/25/2029 (a)		62		62
Salomon Brothers Mortgage Securities VII, Inc.
3.594% due 09/25/2028 (a)		3,784		3,791
3.614% due 03/25/2032 (a)		3,065		3,075
Saxon Asset Securities Trust
3.474% due 08/25/2035 (a)		44,397		44,439
3.574% due 11/25/2033 (a)		1,328		1,331
3.714% due 12/25/2032 (a)		1,907		1,909
Sears Credit Account Master Trust
3.600% due 11/17/2009 (a)		72,250		72,401
6.750% due 09/16/2009		5,000		5,034
SLM Student Loan Trust
2.160% due 03/15/2033		5,250		5,220
3.141% due 07/27/2009 (a)		16,938		16,948
3.151% due 07/25/2006 (a)		57,281		57,308
3.151% due 10/26/2009		5,616		5,618
3.361% due 04/25/2011 (a)		2,497		2,504
3.897% due 10/25/2010 (a)		114		115
Soundview Home Equity Loan Trust
3.434% due 02/25/2035 (a)		6,946		6,952
Specialty Underwriting & Residential Finance
3.644% due 06/25/2034 (a)		40		40
Structured Asset Investment Loan Trust
3.434% due 02/25/2014		39,757		39,787
3.464% due 10/25/2013		8,973		8,979
3.664% due 04/25/2033		13,833		13,849
Structured Asset Securities Corp.
3.434% due 02/25/2035		14,395		14,408
3.484% due 08/25/2034		3,778		3,781
3.764% due 02/25/2033 (a)		4,226		4,235
Toyota Auto Receivables Owner Trust
3.250% due 08/15/2007 (a)		3,650		3,653
Wells Fargo Home Equity Trust
3.474% due 09/25/2034 (a)		33,404		33,432
3.484% due 09/25/2034 (a)		10,041		10,050
WFS Financial Owner Trust
5.180% due 03/20/2009		14		14
WMC Mortgage Loan
3.560% due 05/15/2030 (a)		7,566		7,572
3.670% due 10/15/2029 (a)		6,722		6,726
Total Asset-Backed Securities (Cost $2,637,494)				2,608,061
SOVEREIGN ISSUES 2.7%
Kingdom of Spain
7.000% due 07/19/2005		500		501
Republic of Brazil
4.250% due 04/15/2006 (a)		45,720		45,768
4.250% due 04/15/2006 (a)		6,416		6,423
4.313% due 04/15/2009 (a)		57,646		57,211
4.313% due 04/15/2012 (a)		49,070		47,475
8.000% due 04/15/2014		324,848		334,836
8.250% due 01/20/2034		10,000		9,805
8.875% due 10/14/2019		48,800		51,850
9.230% due 06/29/2009 (a)		3,800		4,413
9.250% due 10/22/2010		900		1,006
10.125% due 05/15/2027		10,000		11,635
10.500% due 07/14/2014		9,800		11,613
11.000% due 01/11/2012		2,490		2,969
11.000% due 08/17/2040		31,500		37,934
Republic of Colombia
10.750% due 01/15/2013		90		110
Republic of Panama
8.250% due 04/22/2008		63,450		69,478
8.875% due 09/30/2027		29,750		35,626
9.375% due 07/23/2012		49,060		59,608
9.375% due 01/16/2023		44,520		55,205
9.625% due 02/08/2011		21,000		25,200
10.750% due 05/15/2020		6,500		8,840
Republic of Peru
5.000% due 03/07/2017 (a)		22,578		21,608
9.125% due 01/15/2008		15,300		16,983
9.125% due 02/21/2012		118,900		139,707
9.875% due 02/06/2015		8,500		10,561
Republic of South Africa
2.120% due 03/26/2009		2,000		2,009
6.500% due 06/02/2014		27,000		30,206
9.125% due 05/19/2009		28,525		33,160
Republic of Ukraine
6.875% due 03/04/2011		8,000		8,471
11.000% due 03/15/2007		8,214		8,687
Russian Federation
5.000% due 03/31/2030 (a)		532,265		595,535
8.250% due 03/31/2010 (a)		480		525
8.750% due 07/24/2005		700		703
United Mexican States
6.375% due 01/16/2013		97,275		104,668
6.625% due 03/03/2015		27,000		29,781
7.500% due 01/14/2012		9,160		10,410
8.000% due 09/24/2022		50,810		62,369
8.125% due 12/30/2019		38,000		46,740
8.300% due 08/15/2031		239,890		299,263
8.375% due 01/14/2011		23,693		27,638
9.875% due 02/01/2010		23,900		28,967
10.375% due 02/17/2009		582		696
11.375% due 09/15/2016		4,450		6,619
United Mexican States Value Recovery Right
0.000% due 06/30/2005 (a)		1,000		7
0.000% due 06/30/2006 (a)		1,000		26
0.000% due 06/30/2007 (a)		1,000		24
Total Sovereign Issues (Cost $1,295,274)				2,362,869
FOREIGN CURRENCY-DENOMINATED ISSUES (o) 3.3%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EC	2,300		3,255
Commonwealth of Canada
3.000% due 06/01/2006	C$	791		648
3.000% due 12/01/2036		35,790		36,401
5.750% due 06/01/2033		72,400		73,393
Commonwealth of New Zealand
4.500% due 02/15/2016	N$	81,500		75,557
El Paso Corp.
7.125% due 05/06/2009	EC	63,300		79,667
Ford Motor Credit Co.
5.250% due 06/16/2008	DM	15,000		9,063
5.625% due 06/06/2006	EC	5,000		6,147
6.750% due 01/14/2008		8,000		9,932
Gazprom Capital
5.875% due 06/01/2015		20,000		24,434
General Motors Acceptance Corp.
4.375% due 09/26/2006		3,000		3,619
Halifax Group PLC
7.627% due 12/29/2049 (a)		14,700		22,114
KBC Bank Fund Trust IV
8.220% due 11/29/2049		5,000		7,311
Kingdom of Netherlands
4.000% due 07/15/2005		110,000		133,182
Kingdom of Spain
4.200% due 01/31/2037		18,900		24,978
5.750% due 07/30/2032		112,375		184,088
Lloyds TSB Capital I
7.375% due 02/07/2049		26,000		38,804
Republic of France
4.000% due 04/25/2055		55,075		71,047
4.750% due 04/25/2035		129,075		185,970
5.000% due 07/12/2005		9,740		11,793
5.500% due 04/25/2029		18,400		28,854
5.750% due 10/25/2032		344,400		565,674
Republic of Germany
5.500% due 01/04/2031		422,650		668,087
5.625% due 01/04/2028		80,700		127,295
6.250% due 01/04/2030		170,000		292,243
6.500% due 07/04/2027		50,000		86,917
Republic of Italy
1.650% due 09/15/2008		39,089		49,276
Republic of Poland
5.750% due 03/24/2010	PZ	54,490		17,078
United Kingdom Gilt
5.000% due 03/07/2012	BP	50		94
United Mexican States
6.750% due 06/06/2006	JY	2,000,000		19,121
7.500% due 03/08/2010	EC	5,000		7,116
Total Foreign Currency-Denominated Issues (Cost $3,626,123)				2,863,158

		# of Contracts
PURCHASED CALL OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 4.500%** Exp. 06/06/2036		315,700			9,854
Total Purchased Call Options (Cost $9,936)					9,854
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS (o) 35.2%
Certificates of Deposit 3.3%
Barclays Bank PLC
3.300% due 09/06/2005		150,000			150,000
Citibank New York N.A.
3.090% due 07/22/2005		63,300			63,300
3.120% due 07/28/2005		449,100			449,100
3.130% due 07/29/2005		295,500			295,500
3.155% due 08/09/2005		67,900			67,900
3.205% due 08/18/2005		237,700			237,700
3.230% due 08/23/2005		200,000			200,000
3.310% due 09/12/2005		407,000			407,000
3.360% due 09/19/2005		150,300			150,300
Dexia Bank New York N.A.
3.130% due 07/29/2005		93,800			93,800
HBOS Treasury Services PLC
3.070% due 07/13/2005		14,000			14,000
3.220% due 09/19/2005		145,000			145,000
HSBC Bank USA
3.130% due 08/12/2005		95,000			95,000
Nordea Bank Finland PLC
2.805% due 07/05/2005		50,000			50,000
Unicredito Italiano SpA
3.037% due 07/07/2005		67,000			67,000
3.115% due 07/27/2005		25,200			25,200
3.150% due 08/05/2005		117,700			117,701
3.150% due 08/09/2005		87,100			87,100
Westpac Capital Corp.
3.350% due 09/16/2005		140,000			140,000
					2,855,601
Commercial Paper 25.1%
ABN AMRO North America
3.030% due 07/14/2005		7,400			7,393
3.090% due 07/08/2005		99,600			99,540
Anz (Delaware), Inc.
3.040% due 07/15/2005		50,000			49,941
3.110% due 08/04/2005		26,800			26,721
3.110% due 08/08/2005		92,000			91,698
3.170% due 08/18/2005		29,000			28,877
3.190% due 08/25/2005		19,300			19,206
Anz National International Ltd.
3.030% due 07/12/2005		12,400			12,388
3.040% due 07/08/2005		2,016			2,015
3.100% due 07/29/2005		87,600			87,389
3.300% due 10/03/2005		99,600			98,707
ASB Bank Ltd.
3.120% due 08/03/2005		6,100			6,083
3.165% due 08/11/2005		50,000			49,820
3.170% due 08/10/2005		1,000			996
3.220% due 08/24/2005		3,600			3,583
Bank of America, N.A.
3.001% due 07/06/2005		1,200			1,198
3.010% due 07/06/2005		234,700			234,602
3.010% due 07/07/2005		27,800			27,786
3.165% due 08/15/2005		64,000			63,747
3.170% due 08/11/2005		80,400			80,110
3.370% due 10/13/2005		300,000			297,012
Bank of Ireland
2.930% due 08/17/2005		5,900			5,877
3.010% due 07/06/2005		62,000			61,974
3.040% due 07/20/2005		120,700			120,506
3.075% due 07/27/2005		78,200			78,026
3.160% due 08/18/2005		68,400			68,112
3.180% due 08/22/2005		53,000			52,757
3.190% due 08/22/2005		11,400			11,347
3.190% due 08/23/2005		500			498
3.360% due 10/18/2005		50,000			49,477
3.370% due 10/17/2005		54,000			53,441
Barclays U.S. Funding Corp.
3.085% due 07/11/2005		5,200			5,196
3.085% due 08/18/2005		2,400			2,390
3.180% due 08/19/2005		50,000			49,784
3.185% due 08/19/2005		11,600			11,550
3.195% due 08/24/2005		100			99
3.215% due 08/26/2005		2,100			2,089
3.240% due 08/31/2005		3,900			3,878
3.290% due 09/06/2005		74,100			73,632
3.315% due 09/14/2005		50,200			49,844
3.340% due 09/19/2005		66,300			65,797
BNP Paribas Finance, Inc.
3.365% due 10/17/2005		50,000			49,482
Carolina Power & Light Co.
3.670% due 10/11/2005		34,100			33,767
CBA (de) Finance
3.012% due 07/08/2005		1,400			1,399
3.020% due 07/08/2005		12,400			12,393
3.040% due 07/12/2005		12,625			12,613
3.075% due 07/25/2005		100			100
3.080% due 07/25/2005		59,200			59,078
3.100% due 07/11/2005		148,700			148,572
3.140% due 08/08/2005		7,000			6,977
3.160% due 08/08/2005		15,300			15,249
3.165% due 08/15/2005		2,000			1,992
3.170% due 08/09/2005		7,900			7,873
3.170% due 08/15/2005		49,500			49,304
3.190% due 08/22/2005		10,800			10,750
3.205% due 08/22/2005		2,700			2,687
3.370% due 09/26/2005		5,000			4,959
CDC IXIS Commercial Paper, Inc.
2.940% due 07/08/2005		29,800			29,783
2.955% due 07/11/2005		43,400			43,364
3.050% due 07/19/2005		11,100			11,083
3.080% due 07/11/2005		14,000			13,988
3.080% due 07/19/2005		6,200			6,190
3.080% due 08/02/2005		7,100			7,081
3.110% due 08/02/2005		1,700			1,695
3.160% due 08/02/2005		133,800			133,424
3.165% due 08/12/2005		8,500			8,469
Danske Corp.
3.010% due 07/07/2005		27,600			27,586
3.015% due 07/08/2005		22,000			21,987
3.020% due 07/15/2005		66,700			66,622
3.030% due 07/18/2005		600			599
3.035% due 07/18/2005		10,300			10,285
3.085% due 07/28/2005		66,000			65,847
3.105% due 08/03/2005		4,100			4,088
3.110% due 08/02/2005		65,400			65,219
3.110% due 08/05/2005		4,100			4,088
3.110% due 08/08/2005		33,300			33,191
3.123% due 08/11/2005		1,200			1,196
3.135% due 08/11/2005		12,700			12,655
3.150% due 08/08/2005		1,700			1,694
3.160% due 08/08/2005		398,000			396,672
3.180% due 08/24/2005		4,300			4,279
3.225% due 08/31/2005		1,700			1,690
3.250% due 09/07/2005		44,400			44,115
3.250% due 09/20/2005		4,500			4,465
3.270% due 08/31/2005		550			547
3.330% due 09/20/2005		18,900			18,755
3.360% due 09/20/2005		4,000			3,969
Den Norske Bank ASA
2.980% due 07/14/2005		22,000			21,976
3.105% due 07/22/2005		200			200
3.110% due 08/04/2005		4,900			4,886
3.180% due 08/22/2005		5,000			4,977
3.225% due 09/23/2005		300			298
3.240% due 09/23/2005		23,400			23,213
3.255% due 09/26/2005		13,700			13,587
3.260% due 09/06/2005		31,700			31,500
3.280% due 09/29/2005		5,000			4,957
3.280% due 10/03/2005		100			99
3.295% due 10/03/2005		34,800			34,488
3.300% due 09/14/2005		8,500			8,440
3.305% due 09/13/2005		62,400			61,963
Dexia Delaware LLC
2.982% due 07/05/2005		800			800
3.000% due 07/05/2005		38,100			38,087
3.080% due 07/27/2005		118,500			118,236
3.080% due 07/28/2005		200,000			199,538
3.100% due 07/29/2005		176,400			175,975
3.110% due 08/08/2005		97,900			97,579
3.120% due 08/09/2005		97,700			97,370
3.120% due 08/24/2005		64,000			63,700
3.150% due 08/09/2005		40,600			40,461
3.160% due 08/15/2005		44,300			44,125
3.180% due 08/22/2005		66,900			66,593
3.209% due 09/19/2005		700			695
3.220% due 09/19/2005		12,200			12,107
3.235% due 08/12/2005		12,800			12,752
3.235% due 08/15/2005		95,700			95,313
3.320% due 09/13/2005		4,100			4,071
3.340% due 09/13/2005		4,800			4,766
Fannie Mae
2.785% due 07/13/2005		578,755			578,215
2.790% due 07/20/2005		7,477			7,466
2.867% due 07/13/2005		9,607			9,597
2.875% due 07/13/2005		32,100			32,068
2.919% due 07/06/2005		13,800			13,794
2.920% due 07/06/2005		1,717			1,716
2.929% due 07/06/2005		30,700			30,687
2.940% due 07/01/2005		50,000			50,000
2.941% due 07/20/2005		23,100			23,064
2.943% due 07/20/2005		1,400			1,398
2.955% due 07/06/2005		3,600			3,598
2.960% due 07/13/2005		1,600			1,598
2.961% due 07/01/2005		14,810			14,810
2.967% due 07/01/2005		44,000			44,000
2.969% due 07/01/2005		26,726			26,726
2.970% due 07/18/2005		800			799
2.971% due 07/27/2005		2,100			2,095
2.975% due 07/27/2005		18,100			18,061
2.980% due 07/01/2005		659,800			659,800
2.986% due 08/08/2005		23,500			23,423
2.988% due 07/20/2005		62,200			62,102
2.990% due 08/08/2005		4,100			4,087
3.000% due 08/03/2005		65,000			64,817
3.005% due 07/27/2005		59,000			58,872
3.006% due 08/03/2005		60,600			60,432
3.010% due 08/01/2005		311,400			310,593
3.010% due 08/03/2005		250			249
3.023% due 08/03/2005		8,900			8,875
3.030% due 08/03/2005		2,365			2,358
3.045% due 08/05/2005		1,410			1,406
3.050% due 08/05/2005		10,800			10,768
3.057% due 08/10/2005		32,350			32,239
3.058% due 08/10/2005		2,000			1,993
3.066% due 08/10/2005		106,752			106,384
3.067% due 08/10/2005		71,500			71,254
3.076% due 08/10/2005		23,390			23,310
3.079% due 08/10/2005		6,900			6,876
3.080% due 08/10/2005		16,200			16,145
3.099% due 08/24/2005		75,722			75,364
3.100% due 08/17/2005		5,700			5,677
3.106% due 08/24/2005		72,600			72,257
3.108% due 08/24/2005		92,700			92,262
3.110% due 08/17/2005		224,900			223,987
3.120% due 08/24/2005		204,810			203,845
3.121% due 08/24/2005		17,400			17,318
3.125% due 08/24/2005		16,732			16,654
3.133% due 08/31/2005		1,477			1,468
3.143% due 08/31/2005		153,900			153,017
3.172% due 08/31/2005		96,800			96,244
3.180% due 09/07/2005		256,833			255,184
3.190% due 10/03/2005		1,664			1,649
3.190% due 10/05/2005		655			649
3.191% due 09/07/2005		127,917			127,096
3.205% due 09/07/2005		173,100			171,989
3.230% due 10/19/2005		439,000			434,364
3.230% due 10/26/2005		400			395
3.243% due 09/14/2005		1,100			1,092
3.247% due 09/14/2005		8,615			8,554
3.250% due 09/14/2005		214,600			213,076
3.313% due 09/21/2005		14,800			14,685
3.315% due 09/21/2005		63,200			62,708
3.360% due 11/30/2005		33,500			33,002
Federal Home Loan Bank
2.529% due 07/01/2005		43,000			43,000
2.920% due 07/01/2005		4,967			4,967
2.947% due 07/13/2005		120,800			120,676
2.963% due 07/01/2005		108,700			108,700
2.970% due 07/15/2005		32,300			32,261
2.990% due 07/22/2005		6,292			6,281
2.991% due 07/22/2005		4,097			4,090
3.010% due 07/29/2005		900			898
3.017% due 07/22/2005		144,212			143,955
3.020% due 07/05/2005		51,200			51,183
3.029% due 07/22/2005		1,400			1,397
3.030% due 08/05/2005		62,000			61,816
3.030% due 08/08/2005		8,900			8,872
3.033% due 08/03/2005		700			698
3.035% due 08/03/2005		10,300			10,271
3.085% due 07/15/2005		41,600			41,550
3.090% due 07/15/2005		11,700			11,686
3.095% due 08/10/2005		4,500			4,484
3.100% due 08/17/2005		6,560			6,533
3.110% due 08/18/2005		18,985			18,906
3.149% due 08/26/2005		300			299
3.150% due 08/26/2005		11,507			11,451
3.190% due 09/07/2005		320,200			318,144
3.193% due 09/07/2005		3,262			3,241
3.225% due 09/09/2005		39,400			39,140
3.245% due 09/14/2005		45,800			45,475
3.300% due 09/21/2005		2,800			2,778
3.350% due 09/30/2005		62,287			61,760
3.380% due 10/11/2005		2,100			2,079
Ford Motor Credit Co.
3.400% due 08/26/2005		287,900			286,377
ForeningsSparbanken AB
2.980% due 07/01/2005		14,700			14,700
3.005% due 07/01/2005		12,400			12,400
3.040% due 07/14/2005		8,700			8,690
3.045% due 07/19/2005		74,600			74,486
3.120% due 08/03/2005		400			399
3.180% due 08/18/2005		21,000			20,911
3.255% due 09/22/2005		11,100			11,013
Fortis Funding LLC
3.090% due 07/27/2005		75,500			75,331
3.270% due 09/23/2005		10,300			10,218
Freddie Mac
2.835% due 07/26/2005		123,800			123,554
2.850% due 07/01/2005		6,833			6,833
2.872% due 07/26/2005		32,000			31,933
2.875% due 07/12/2005		141,500			141,372
2.890% due 07/12/2005		21,725			21,706
2.897% due 07/12/2005		6,325			6,319
2.904% due 07/12/2005		17,700			17,684
2.908% due 07/12/2005		6,900			6,894
2.918% due 07/12/2005		23,660			23,639
2.932% due 08/01/2005		111,800			111,509
2.939% due 08/01/2005		12,900			12,866
2.940% due 07/05/2005		582			582
2.940% due 08/01/2005		214,800			214,256
2.943% due 08/01/2005		12,000			11,969
2.944% due 07/26/2005		28,785			28,725
2.949% due 08/01/2005		7,845			7,825
2.950% due 07/05/2005		300			300
2.955% due 07/19/2005		91,400			91,265
2.963% due 08/01/2005		42,000			41,889
2.986% due 08/08/2005		49,304			49,147
2.987% due 08/09/2005		6,650			6,628
2.988% due 08/09/2005		200			199
2.989% due 08/02/2005		14,900			14,860
2.990% due 08/09/2005		40,919			40,782
2.991% due 08/09/2005		880			877
2.992% due 08/02/2005		1,900			1,895
2.996% due 08/09/2005		54,100			53,922
2.999% due 08/08/2005		143,983			143,515
3.000% due 08/08/2005		15,700			15,650
3.002% due 08/02/2005		11,600			11,568
3.002% due 08/09/2005		38,000			37,875
3.020% due 08/02/2005		29,500			29,421
3.020% due 08/09/2005		18,200			18,140
3.021% due 08/08/2005		3,100			3,090
3.025% due 08/02/2005		18,600			18,550
3.082% due 08/16/2005		400			398
3.088% due 08/16/2005		10,600			10,558
3.089% due 08/16/2005		69,300			69,025
3.095% due 08/16/2005		25,400			25,299
3.120% due 08/23/2005		23,200			23,093
3.150% due 08/30/2005		138,100			137,320
3.150% due 09/07/2005		553			549
3.153% due 09/07/2005		2,740			2,722
3.159% due 08/30/2005		12,000			11,932
3.173% due 09/06/2005		17,500			17,389
3.183% due 09/06/2005		266,485			264,801
3.190% due 09/06/2005		21,800			21,662
3.190% due 10/04/2005		3,961			3,925
3.231% due 09/13/2005		1,446			1,436
3.238% due 11/01/2005		32,200			31,818
3.250% due 09/13/2005		78,612			78,062
3.254% due 11/01/2005		39,000			38,537
3.255% due 11/01/2005		256,100			253,060
3.295% due 09/20/2005		46,100			45,745
3.299% due 09/20/2005		11,000			10,915
3.310% due 11/02/2005		541,800			535,315
3.310% due 11/03/2005		6,500			6,422
3.347% due 11/29/2005		600			591
3.360% due 11/29/2005		9,800			9,655
General Electric Capital Corp.
3.070% due 07/11/2005		700			699
3.075% due 07/25/2005		1,600			1,597
3.080% due 07/25/2005		300			299
3.090% due 07/25/2005		25,000			24,948
3.110% due 07/25/2005		7,630			7,614
3.150% due 08/01/2005		26,600			26,528
3.150% due 08/02/2005		135,800			135,420
3.260% due 09/22/2005		26,900			26,688
3.270% due 09/07/2005		16,800			16,692
3.270% due 09/08/2005		25,500			25,334
3.290% due 09/09/2005		49,200			48,875
3.300% due 09/07/2005		1,400			1,391
3.330% due 09/09/2005		400			397
3.330% due 09/22/2005		7,500			7,441
HBOS Treasury Services PLC
3.030% due 07/11/2005		10,200			10,191
3.040% due 07/15/2005		11,000			10,987
3.050% due 07/15/2005		106,900			106,773
3.050% due 07/21/2005		3,200			3,195
3.060% due 07/21/2005		99,000			98,832
3.080% due 07/27/2005		102,100			101,873
3.089% due 07/28/2005		700			698
3.100% due 07/28/2005		1,000			998
3.110% due 07/27/2005		190,100			189,673
3.110% due 07/28/2005		190,000			189,557
3.113% due 08/08/2005		700			698
3.115% due 07/28/2005		20,300			20,253
3.120% due 07/29/2005		4,500			4,489
3.120% due 08/08/2005		16,500			16,446
3.130% due 08/24/2005		87,000			86,592
3.140% due 08/09/2005		65,800			65,576
3.150% due 08/03/2005		14,300			14,259
3.160% due 08/10/2005		4,600			4,584
3.190% due 08/24/2005		57,000			56,727
3.195% due 08/24/2005		90,600			90,166
3.230% due 09/01/2005		23,000			22,866
3.240% due 09/02/2005		76,400			75,947
3.250% due 09/07/2005		19,400			19,275
3.250% due 09/08/2005		38,800			38,547
3.255% due 09/07/2005		21,200			21,064
3.270% due 09/08/2005		48,600			48,284
3.280% due 09/22/2005		11,075			10,988
ING U.S. Funding LLC
3.030% due 07/08/2005		2,450			2,449
3.040% due 07/18/2005		10,600			10,585
3.077% due 07/26/2005		600			599
3.090% due 07/26/2005		1,900			1,896
3.100% due 07/27/2005		20,000			19,955
3.110% due 08/03/2005		5,500			5,484
3.110% due 08/04/2005		1,100			1,097
3.110% due 08/05/2005		1,100			1,097
3.170% due 08/18/2005		35,000			34,852
3.260% due 09/01/2005		15,600			15,509
KFW International Finance, Inc.
2.800% due 07/05/2005		2,200			2,199
3.140% due 08/22/2005		40,700			40,515
3.140% due 08/23/2005		11,200			11,148
Lloyds TSB Bank PLC
3.050% due 07/05/2005		205,000			204,930
National Australia Funding, Inc.
3.030% due 07/01/2005		6,000			6,000
3.080% due 07/11/2005		216,600			216,415
3.270% due 08/01/2005		2,600			2,593
Nordea North America, Inc.
3.110% due 08/08/2005		36,000			35,882
3.115% due 08/04/2005		98,800			98,509
3.120% due 08/03/2005		11,900			11,866
3.165% due 08/18/2005		37,900			37,740
3.205% due 08/26/2005		24,300			24,179
3.220% due 08/26/2005		6,400			6,368
3.230% due 09/02/2005		63,600			63,223
3.240% due 09/01/2005		7,000			6,959
3.240% due 09/02/2005		244,300			242,851
3.270% due 09/07/2005		150,000			149,037
3.300% due 09/06/2005		6,000			5,962
3.310% due 09/16/2005		2,300			2,283
3.360% due 09/16/2005		5,200			5,162
Oesterreichische
3.190% due 08/25/2005		800			796
Procter & Gamble Co.
3.000% due 07/11/2005		14,500			14,488
3.020% due 07/13/2005		47,000			46,953
3.080% due 07/25/2005		10,880			10,858
3.080% due 07/26/2005		1,500			1,497
3.145% due 08/17/2005		149,400			148,787
Rabobank USA Financial Corp.
3.020% due 07/15/2005		164,400			164,207
3.030% due 07/20/2005		57,900			57,807
3.075% due 07/26/2005		38,600			38,518
3.080% due 07/26/2005		122,400			122,138
3.095% due 07/27/2005		299,800			299,130
3.105% due 08/08/2005		55,100			54,919
3.105% due 08/09/2005		34,600			34,484
3.150% due 08/08/2005		54,657			54,475
3.160% due 08/08/2005		82,700			82,424
3.260% due 09/26/2005		9,100			9,025
3.360% due 07/01/2005		163,200			163,200
3.370% due 07/01/2005		12,000			12,000
Royal Bank of Canada PLC
3.030% due 07/15/2005		91,200			91,093
Royal Bank of Scotland PLC
3.080% due 07/18/2005		2,600			2,596
3.085% due 07/15/2005		59,500			59,429
3.190% due 08/22/2005		150,000			149,309
3.220% due 08/15/2005		19,000			18,923
3.230% due 09/01/2005		62,700			62,334
Shell Finance (UK) PLC
3.090% due 08/09/2005		31,000			30,896
Skandinaviska Enskilda Banken AB (SEB)
3.030% due 07/11/2005		78,000			77,934
3.030% due 07/13/2005		1,000			999
3.040% due 07/14/2005		30,700			30,666
3.070% due 07/14/2005		500			499
3.100% due 07/18/2005		300			300
3.170% due 08/18/2005		5,900			5,875
3.180% due 08/19/2005		1,800			1,792
3.280% due 09/07/2005		27,000			26,827
3.310% due 09/15/2005		4,200			4,170
Spintab AB
2.763% due 07/20/2005		100,000			99,838
2.920% due 07/22/2005		50,000			49,915
3.060% due 07/21/2005		88,500			88,350
3.080% due 08/11/2005		27,200			27,105
3.230% due 09/01/2005		6,500			6,462
3.250% due 09/08/2005		1,900			1,888
Stadshypotek Delaware, Inc.
3.030% due 07/14/2005		78,800			78,714
3.115% due 07/25/2005		8,200			8,183
3.170% due 08/08/2005		98,600			98,270
Statens Bostadsfin Bank
3.110% due 08/03/2005		25,000			24,929
3.180% due 08/08/2005		72,750			72,506
3.180% due 08/16/2005		4,600			4,581
3.180% due 08/18/2005		50,000			49,788
Svenska Handelsbanken, Inc.
3.015% due 07/07/2005		44,600			44,578
3.040% due 07/20/2005		51,900			51,817
3.050% due 07/20/2005		57,600			57,507
3.155% due 08/03/2005		246,600			245,887
3.160% due 08/03/2005		2,800			2,792
TotalFinaElf Capital S.A.
3.105% due 07/11/2005		50,800			50,756
3.150% due 08/08/2005		20,900			20,830
3.370% due 07/01/2005		4,500			4,500
Toyota Motor Credit Corp.
2.920% due 07/11/2005		20,000			19,984
3.000% due 07/05/2005		50,000			49,983
3.300% due 09/13/2005		30,000			29,790
UBS Finance Delaware LLC
2.975% due 07/14/2005		13,100			13,086
3.020% due 07/22/2005		65,800			65,684
3.030% due 07/01/2005		1,000			1,000
3.060% due 07/08/2005		1,000			999
3.065% due 07/11/2005		8,300			8,293
3.070% due 07/08/2005		33,500			33,480
3.105% due 07/11/2005		133,200			133,085
3.115% due 07/25/2005		116,000			115,759
3.140% due 08/01/2005		77,800			77,590
3.165% due 08/08/2005		192,200			191,558
3.165% due 08/30/2005		7,200			7,159
3.180% due 09/06/2005		39,700			39,449
3.185% due 09/06/2005		23,000			22,855
3.210% due 09/12/2005		9,200			9,136
3.230% due 09/19/2005		34,400			34,139
3.250% due 09/23/2005		6,900			4,861
3.255% due 09/26/2005		41,100			40,760
3.270% due 09/27/2005		2,400			2,380
3.285% due 10/03/2005		9,900			9,811
3.310% due 09/19/2005		61,205			60,740
3.365% due 10/14/2005		36,000			35,638
3.375% due 10/17/2005		17,600			17,418
3.390% due 07/01/2005		22,200			22,200
Unicredit Delaware, Inc.
3.320% due 09/15/2005		100,000			99,280
Westpac Capital Corp.
3.010% due 07/06/2005		50,000			49,979
3.010% due 07/08/2005		20,200			20,188
3.050% due 07/22/2005		83,000			82,852
3.150% due 08/11/2005		17,400			17,338
3.330% due 10/20/2005		21,600			21,370
3.360% due 10/17/2005		100,000			98,964
Westpac Trust Securities NZ Ltd.
3.100% due 07/28/2005		195,000			194,547
3.260% due 09/07/2005		42,000			41,730
3.295% due 10/03/2005		2,500			2,478
3.330% due 10/03/2005		37,700			37,362
					21,678,728
Repurchase Agreements 1.1%
Credit Suisse First Boston
2.700% due 07/01/2005		391,400			391,400
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500%-4.250% due 08/15/2009-11/15/2013 valued at $400,769. Repurchase proceeds are $391,429.)
State Street Bank
2.650% due 07/01/2005		569,698			569,698
(Dated 06/30/2005. Collateralized by Fannie Mae 1.875%-2.875% due 09/15/2005-10/15/2005 valued at $181,545; Federal Farm Credit Bank 2.125% due 8/15/2005 valued at $7,210; and Freddie Mac 2.010%-2.875% due 08/26/2005-10/06/2005 valued at $392,338. Repurchase proceeds at $569,740).
					961,098
Belgium Treasury Bills 1.2%
2.024% due 07/14/2005-08/18/2005 (g)	EC	850,000			1,026,103
					1,026,103
French Treasury Bills 1.9%
2.006% due 07/13/2005-09/01/2005 (g)		1,380,100			1,667,132
					1,667,132
German Treasury Bill 0.8%
1.965% due 07/13/2005		540,000			653,042
					653,042
Netherlands Treasury Bill 1.2%
2.020% due 07/29/2005		850,000			1,027,025
					1,027,025
U.S. Treasury Bills 0.6%
2.969% due 07/28/2005-11/17/2005 (g)(i)(j)	$	521,205			517,583
Total Short-Term Instruments (Cost $30,686,675)					30,386,312
Total Investments (h) (Cost $94,700,222)		110.6	%	$	95,392,973
Written Options (l) (Premiums $53,555)		(0.0	%)		(37,096	)
Other Assets and Liabilities (Net)		(10.6	%)		(9,112,172	)
Net Assets		100.0	%	$	86,243,705

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Principal only security.

(d) Interest only security.

(e) Zero-coupon Bond.

(f) Principal amount of security is adjusted for inflation.

(g) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(h) As of June 30, 2005, portfolio securities with an aggregate market value of $1,843,949 were valued with reference to securities whose prices are more readily obtainable.

(i) Securities with an aggregate market value of $94,411 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(j) Securities with an aggregate market value of $371,207 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Eurodollar March Long Futures	03/2006	93,519	$	33,299
Eurodollar June Long Futures	06/2006	11,482		(263	)
Eurodollar September Long Futures	09/2006	6,110		2,675
Eurodollar December Long Futures	12/2005	69,848		(66,718	)
Euro-Bobl 5-Year Note Long Futures	09/2005	3,490		4,589
Government of Japan 10-Year Note Long Futures	09/2005	880		5,855
U.S. Treasury 10-Year Note Short Futures	09/2005	10,697		(3,300	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	31,594		30,858
U.S. Treasury 5-Year Note Long Futures	09/2005	76		(16	)
			$	6,979

(k) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	06/16/2011	BP	442,880	$	19,380
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000	%	06/15/2012	JY	53,310,000		(35,014	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		37,080,000		(21,602	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		14,580,300		(7,204	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		7,450,000		(4,947	)
Bank of America	3-month Canadian Bank Bill	Pay	6.000	%	12/16/2019	C$	78,100		1,142
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2032	BP	104,800		(5,242	)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	03/15/2032		96,900		(5,737	)
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	03/15/2032		75,500		(3,209	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2032	EC	211,200		30,034
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	03/15/2032		59,900		7,521
Barclays Bank PLC	6-month EC-LIBOR	Pay	6.000	%	03/15/2032		75,500		3,143
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		180,000		27,498
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		93,200		11,925
								$	17,688

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Morgan Stanley Dean Witter & Co.	Telecom Italia SpA 6.250% due 02/01/2012	Sell	0.150	%	10/07/2005	EC	85,600	$	5
ABN AMRO Bank, N.V.	General Motors Corp. 7.125% due 07/15/2013	Sell	3.300	%	06/20/2006	$	10,000		109
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.760	%	06/20/2007		9,600		161
Bank of America	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.195	%	03/20/2010		50,000		(280	)
Bank of America	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.193	%	03/20/2010		50,000		(116	)
Bank of America	Dow Jones CDX N.A. IG4 Index	Sell	0.400	%	06/20/2010		50,000		351
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	06/20/2006		20,000		433
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.100	%	06/20/2006		18,300		305
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		9,700		471
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	06/20/2007		23,000		1,030
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.150	%	06/20/2007		10,000		372
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.000	%	06/20/2007		20,000		307
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	06/20/2007		800		38
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.550	%	06/20/2007		1,100		14
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.300	%	06/20/2010		14,000		295
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.950	%	06/20/2006		15,000		178
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	3.100	%	06/20/2006		1,700		15
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.800	%	09/20/2006		2,000		49
Goldman Sachs & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.500	%	06/20/2007		600		26
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.000	%	06/20/2007		10,000		343
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.400	%	06/20/2006		10,000		(1	)
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	5.000	%	06/20/2006		4,800		154
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	5.130	%	06/20/2006		20,000		667
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.280	%	06/20/2006		2,000		20
HSBC Bank USA	Ford Motor Co. 7.450% due 07/16/2031	Sell	2.410	%	06/20/2007		5,300		(39	)
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	06/20/2007		5,000		48
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.670	%	06/20/2007		30,000		695
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.980	%	08/04/2005		1,400		7
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	06/20/2006		10,000		58
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.300	%	06/20/2006		7,000		73
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.200	%	06/20/2006		12,000		212
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.500	%	06/20/2006		19,000		141
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.750	%	06/20/2006		14,000		138
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.100	%	06/20/2006		16,000		371
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	3.250	%	06/20/2006		18,000		186
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.900	%	03/20/2007		10,000		381
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		18,500		899
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.600	%	06/20/2007		5,000		229
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.750	%	06/20/2007		25,000		413
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	06/20/2007		29,300		504
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.150	%	06/20/2010		10,000		172
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.050	%	07/17/2005		37,800		193
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/28/2005		9,700		46
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.970	%	07/31/2005		2,100		10
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		27,510		25
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.150	%	06/20/2006		4,000		(10	)
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.400	%	06/20/2006		3,000		49
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.200	%	06/20/2007		6,000		37
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.550	%	06/20/2007		12,000		153
Lehman Brothers, Inc.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.190	%	03/20/2010		50,000		(121	)
Lehman Brothers, Inc.	People’s Republic of China 4.750% due 10/29/2013	Sell	0.230	%	03/20/2010		50,000		(130	)
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	06/20/2007		4,000		175
Morgan Stanley Dean Witter & Co.	Telecom Italia SpA 6.250% due 02/01/2012	Sell	0.150	%	07/05/2005		85,600		35
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/20/2005		7,700		37
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.000	%	06/20/2006		10,000		157
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	06/20/2006		7,000		77
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.900	%	06/20/2006		13,000		148
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.400	%	06/20/2006		10,000		187
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.580	%	06/20/2006		59,200		97
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.550	%	09/20/2006		10,000		0
Morgan Stanley Dean Witter & Co.	Freddie Mac 5.750% due 04/15/2008	Sell	0.215	%	02/26/2007		103,300		270
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	06/20/2007		18,900		918
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	06/20/2007		7,300		327
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.600	%	09/20/2006		10,700		0
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.800	%	09/20/2006		17,000		1
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.800	%	06/20/2007		10,000		495
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.000	%	06/20/2007		10,000		343
Wachovia Bank N.A.	Ford Motor Credit Co. 7.250% due 10/25/2011	Sell	1.200	%	06/20/2006		3,000		(6	)
								$	12,947

(l) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	10,926	$	1,571	$	341
Put - CBOT U.S. Treasury Note September Futures		110.000	07/22/2005	10,926		1,104		171
Call - CBOT U.S. Treasury Bond September Futures		121.000	08/26/2005	7,030		6,307		4,394
Call - CBOT U.S. Treasury Note September Futures		115.000	08/26/2005	32,674		10,010		10,721
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	33,292		7,852		4,682
Put - CBOT U.S. Treasury Bond September Futures		115.000	08/26/2005	7,032		4,704		2,527
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	40,550		9,836		3,802
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	8,661		1,965		1,759
					$	43,349	$	28,397

Name of Issuer	Counterparty	Exercise Rate	Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	4.000%**	09/23/2005	$	700	$	21	$	2
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	6.000%*	09/23/2005		700		12		0
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	4.000%**	10/31/2005		500		14		3
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	7.000%*	10/31/2005		500		5		0
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000%**	06/02/2006		744,900		10,154		8,694
						$	10,206	$	8,699

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(m) Restricted security as of June 30, 2005:

Issuer Description	Coupon (%	)	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
DLJ Mortgage Acceptance Corp.	3.844		08/01/2021	07/21/1992	$	847	$	815	0.00	%
First Interstate Bancorp	8.875		01/01/2009	01/04/1999		9		8	0.00
First Interstate Bancorp	9.125		01/01/2009	01/04/1990		1		1	0.00
Goldman Sachs Mortgage Corp.	6.000		12/31/2007	06/24/1993		3,875		3,819	0.00
Mazda Manufacturing Corp.	10.500		07/01/2008	03/31/1992		1,275		1,176	0.00
United Airlines, Inc.	6.932		09/01/2011	12/28/2001		10,500		6,658	0.01
Sprint Capital Corp.	6.000		01/15/2017	02/28/2002		37,410		38,411	0.04
Sprint Capital Corp.	7.125		01/30/2006	05/28/2002		13,615		13,695	0.02
					$	67,532	$	64,583	0.07	%

(n) Short sales open at June 30, 2005 were as follows:

Type	Coupon(%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	1,037,000	$	1,048,666	$	1,048,990

(o) Forward foreign currency contracts outstanding at March 31, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Sell	BP	21,712	07/2005	$	900	$	0		$	900
Buy	BR	49,440	07/2005		2,789		0			2,789
Sell		49,440	07/2005		0		(1,291	)		(1,291	)
Buy		97,908	08/2005		2,812		0			2,812
Sell		97,908	08/2005		0		(2,680	)		(2,680	)
Buy		816,242	09/2005		50,677		0			50,677
Sell		816,241	09/2005		0		(26,066	)		(26,066	)
Sell	C$	126,249	07/2005		0		(1,688	)		(1,688	)
Buy	CP	24,873,024	08/2005		74		(33	)		41
Buy		10,524,187	09/2005		391		0			391
Buy	EC	8,950	07/2005		7		(5	)		2
Sell		4,209,616	07/2005		146,064		(1,642	)		144,422
Buy		559,200	08/2005		1,665		0			1,665
Sell		2,939,732	08/2005		13,580		(2,940	)		10,640
Buy	JY	131,253,775	07/2005		0		(38,775	)		(38,775	)
Buy	KW	33,310,790	07/2005		0		(1,137	)		(1,137	)
Buy		37,334,082	08/2005		0		(1,137	)		(1,137	)
Buy		20,428,650	09/2005		0		(398	)		(398	)
Buy	MP	379,815	08/2005		937		0			937
Buy		194,166	09/2005		55		0			55
Sell	N$	56,083	07/2005		1,013		0			1,013
Buy	PN	110,682	08/2005		50		0			50
Buy		61,969	09/2005		1		0			1
Buy	PZ	116,685	08/2005		1		(652	)		(651	)
Buy		60,986	09/2005		0		(70	)		(70	)
Buy	RP	1,193,374	09/2005		51		0			51
Buy		756,078	11/2005		0		(42	)		(42	)
Buy	RR	441,400	07/2005		0		(517	)		(517	)
Buy		921,344	08/2005		0		(911	)		(911	)
Buy		529,284	09/2005		0		(82	)		(82	)
Buy	S$	26,024	07/2005		0		(393	)		(393	)
Buy		55,158	08/2005		0		(731	)		(731	)
Buy		29,555	09/2005		0		(125	)		(125	)
Buy	SR	103,581	08/2005		0		(1,502	)		(1,502	)
Buy	SV	1,037,925	08/2005		0		(997	)		(997	)
Buy		594,081	09/2005		0		(63	)		(63	)
Buy	T$	1,081,048	08/2005		0		(667	)		(667	)
Buy		576,874	09/2005		0		(203	)		(203	)
				$	221,067	$	(84,747	)	$	136,320

See accompanying notes

Schedule of Investments

Total Return Fund II

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 5.6%
Banking & Finance 3.5%
American General Finance Corp.
3.492% due 03/23/2007 (a)	$	1,600		$	1,600
Ford Motor Credit Co.
7.600% due 08/01/2005		2,600			2,606
6.875% due 02/01/2006		9,000			9,091
General Electric Capital Corp.
3.390% due 03/04/2008 (a)		1,500			1,501
General Motors Acceptance Corp.
7.500% due 07/15/2005		3,900			3,902
6.125% due 09/15/2006		7,600			7,608
7.250% due 03/02/2011		700			657
Goldman Sachs Group LP
3.865% due 01/20/2009 (a)		5,000			5,081
KBC Bank Funding Trust III
9.860% due 11/29/2049 (a)		12,000			14,476
Morgan Stanley Warehouse Facilities
3.334% due 07/06/2005 (a)		6,800			6,764
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,900			2,791
UBS Preferred Funding Trust I
8.622% due 10/29/2049 (a)		19,700			23,431
					79,508
Industrials 2.1%
Continental Airlines, Inc.
7.056% due 03/15/2011		1,600			1,654
DaimlerChrysler NA Holding Corp.
3.610% due 03/07/2007 (a)		24,900			24,833
Dow Chemical Co.
8.040% due 07/02/2005		197			197
El Paso Corp.
6.750% due 05/15/2009		16,700			16,784
United Airlines, Inc.
6.071% due 03/01/2013		608			572
9.190% due 12/24/2013 (b)		7,156			2,880
					46,920
Utilities 0.0%
Sprint Capital Corp.
6.125% due 11/15/2008		1,200			1,265
Total Corporate Bonds & Notes (Cost $124,936)					127,693
MUNICIPAL BONDS & NOTES 1.1%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		2,000			2,114
California State Tobacco Securitization Agency Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		6,020			6,568
6.625% due 06/01/2040		5,300			5,930
Miami, Florida Rent Revenue Bonds, Series 1989
8.650% due 07/01/2019		190			250
New York, New York General Obligation Bonds, Series 2005
6.660% due 03/01/2030 (a)		750			838
6.660% due 03/01/2035 (a)		5,000			5,564
North Texas Tollway Authority Revenue Bonds, (FSA Insured), Series 2005
6.800% due 01/01/2035 (a)		2,500			2,802
State of Texas Highway Improvement General Obligation Bonds, Series 2005
4.750% due 04/01/2035		1,600			1,693
Total Municipal Bonds & Notes (Cost $22,654)					25,759
U.S. GOVERNMENT AGENCIES 57.2%
Fannie Mae
3.319% due 09/22/2006 (a)		10,300			10,297
3.340% due 04/26/2035 (a)		2,920			2,922
3.747% due 09/01/2040 (a)		6,864			7,042
3.954% due 02/01/2023 (a)		172			174
4.287% due 01/01/2024 (a)		123			126
4.411% due 12/01/2023 (a)		112			116
4.480% due 04/01/2024 (a)		211			218
4.495% due 07/01/2020 (a)		196			198
4.500% due 07/01/2017 - 07/19/2020 (d)		2,974			2,962
4.975% due 01/01/2035 (a)		5,200			5,280
5.000% due 12/01/2016 - 08/11/2035 (d)		446,622			450,467
5.027% due 03/01/2024 (a)		5			5
5.500% due 03/01/2016 - 07/14/2035 (d)		741,595			752,265
5.936% due 11/01/2011		8,634			9,321
6.000% due 04/01/2017 - 05/01/2033 (d)		11,950			12,363
6.500% due 07/01/2013 - 06/25/2044 (d)		3,691			3,833
7.000% due 04/01/2011 - 09/25/2020 (d)		127			133
7.500% due 04/01/2008		5			5
7.750% due 10/01/2007		3			3
8.000% due 04/01/2015 - 10/01/2030 (d)		24			25
8.500% due 01/01/2007 - 04/01/2017 (d)		10			10
9.000% due 06/01/2010 - 06/25/2018 (d)		29			31
9.250% due 07/25/2019		300			329
9.500% due 09/01/2009		6			6
10.000% due 11/01/2021		9			11
11.000% due 09/01/2010		37			41
13.750% due 11/01/2011 - 09/01/2013 (d)		16			17
Federal Home Loan Bank
4.200% due 02/05/2007 (a)		2,000			1,860
Federal Housing Administration
8.955% due 05/01/2019		84			86
Freddie Mac
4.183% due 12/01/2022 (a)		678			695
4.365% due 02/01/2023 (a)		53			54
5.000% due 11/01/2018 - 12/01/2031 (d)		7,936			8,029
5.500% due 01/01/2018		150			154
6.000% due 02/01/2016 - 11/01/2032 (d)		7,275			7,533
6.500% due 12/01/2010 - 07/01/2028 (d)		52			54
7.000% due 03/01/2007 - 07/15/2022 (d)		2,548			2,591
7.243% due 07/01/2030 (a)		169			173
7.500% due 01/15/2023 - 01/01/2026 (d)		5,700			5,977
8.000% due 11/01/2025 - 06/15/2030 (d)		3,961			4,124
8.250% due 05/01/2008		2			2
9.000% due 12/15/2020		142			142
9.250% due 11/15/2019		5			5
9.500% due 02/01/2011 - 02/01/2018 (d)		22			23
10.000% due 06/01/2011 - 03/01/2021 (d)		20			23
Government National Mortgage Association
3.375% due 06/20/2023 - 06/20/2027 (a)(d)		1,279			1,298
3.500% due 07/20/2030 (a)		258			261
3.750% due 09/20/2024 - 08/20/2027 (a)(d)		3,010			3,064
4.125% due 12/20/2029 (a)		2,179			2,210
4.375% due 01/20/2024 - 02/20/2027 (a)(d)		2,869			2,914
6.000% due 01/15/2024 - 10/15/2031 (d)		259			268
7.500% due 09/15/2014 - 09/15/2025 (d)		51			54
8.000% due 07/15/2010 - 08/15/2024 (d)		164			176
8.500% due 11/15/2006		4			4
9.000% due 09/15/2008 - 11/15/2017 (d)		58			64
9.500% due 01/20/2019 - 12/15/2021 (d)		22			25
12.000% due 02/15/2014 - 06/15/2015 (d)		2			1
Small Business Administration
7.449% due 08/01/2010		1,893			2,038
7.970% due 01/25/2025		337			366
Total U.S. Government Agencies (Cost $1,293,262)					1,302,468
U.S. TREASURY OBLIGATIONS 18.1%
Treasury Inflation Protected Securities (c)
3.375% due 01/15/2007 (f)		12,280			12,674
2.375% due 01/15/2025		42,937			47,015
U.S. Treasury Bonds
7.875% due 02/15/2021		12,300			17,351
5.500% due 08/15/2028		10,500			12,368
U.S. Treasury Notes
4.875% due 02/15/2012		290,500			308,611
4.750% due 05/15/2014		12,500			13,097
Total U.S. Treasury Obligations (Cost $404,160)					411,116
MORTGAGE-BACKED SECURITIES 1.7%
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		5,900			5,832
Bear Stearns Adjustable Rate Mortgage Trust
5.086% due 04/25/2033 (a)		3,138			3,143
Bear Stearns Alt-A Trust
5.446% due 05/25/2035 (a)		11,919			12,147
Commercial Mortgage Pass-Through Certificates
3.440% due 09/15/2014 (a)		1,200			1,198
6.145% due 05/15/2032		845			852
CS First Boston Mortgage Securities Corp.
6.191% due 04/25/2032 (a)		108			109
6.240% due 06/25/2032 (a)		1,429			1,432
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019		26			29
Guaranteed Mortgage Corp.
9.300% due 07/20/2019		79			86
Indymac Adjustable Rate Mortgage Trust
6.640% due 01/25/2032 (a)		157			157
Nationslink Funding Corp.
3.540% due 11/10/2030 (a)		559			561
6.654% due 11/10/2030		1,685			1,710
Prime Mortgage Trust
3.710% due 02/25/2019 (a)		576			578
3.710% due 02/25/2034 (a)		2,453			2,458
Structured Asset Mortgage Investments, Inc.
5.000% due 03/25/2032 (a)		14			14
3.590% due 09/19/2032 (a)		3,545			3,529
Structured Asset Securities Corp.
6.250% due 01/25/2032 (a)		660			676
6.123% due 02/25/2032 (a)		233			234
3.600% due 01/25/2033 (a)		237			238
3.260% due 12/25/2034 (a)		2,128			2,129
Washington Mutual Mortgage Securities Corp.
5.131% due 10/25/2032 (a)		1,691			1,703
Total Mortgage-Backed Securities (Cost $38,721)					38,815
ASSET-BACKED SECURITIES 1.5%
AAA Trust
3.410% due 04/25/2035 (a)		11,081			11,100
Aames Mortgage Investment Trust
3.390% due 08/25/2035 (a)		979			980
Amortizing Residential Collateral Trust
3.360% due 06/25/2032 (a)		2,345			2,348
Bear Stearns Asset-Backed Securities, Inc.
3.760% due 03/25/2043 (a)		3,794			3,802
Capital Auto Receivables Asset Trust
3.230% due 06/15/2006 (a)		1,348			1,349
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		2,400			2,398
Countrywide Asset-Backed Certificates
3.230% due 06/25/2035 (a)		4,600			4,604
EMC Mortgage Loan Trust
3.680% due 05/25/2040 (a)		5,006			5,025
Fannie Mae
3.360% due 07/25/2035 (a)		2,500			2,501
Home Equity Asset Trust
3.770% due 05/25/2033 (a)		226			226
Morgan Stanley Dean Witter Capital I, Inc.
3.640% due 07/25/2032 (a)		41			41
Total Asset-Backed Securities (Cost $34,319)					34,374
		Notional Amount (000s)
PURCHASED CALL OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 4.500%** Exp. 06/02/2006		2,000			62
Total Purchased Call Options (Cost $59)					62
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar September Futures (CME)
Strike @ 95.125 Exp. 09/19/2005		349			0
Strike @ 94.750 Exp. 09/19/2005		248			3
Strike @ 94.875 Exp. 09/19/2005		235			0
Strike @ 94.500 Exp. 09/30/2005		1,100			7
Total Purchased Put Options (Cost $19)					10
		Shares
PREFERRED SECURITY 0.8%
DG Funding Trust
3.360% due 12/29/2049 (a)		1,568			16,866
Total Preferred Security (Cost $16,522)					16,866
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		54,800			3,053
Total Preferred Stock (Cost $2,771)					3,053
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 40.0%
Certificates of Deposit 7.9%
Citibank New York N.A.
3.090% due 07/22/2005	$	36,800			36,800
3.155% due 08/09/2005		5,600			5,600
3.360% due 09/19/2005		17,600			17,466
HSBC Bank USA
3.135% due 08/09/2005		60,100			60,100
Unicredito Italiano SpA
3.090% due 07/21/2005		60,300			60,300
					180,266
Commercial Paper 21.8%
Bank of America N.A.
3.170% due 08/11/2005		50,000			49,819
Fannie Mae
2.967% due 07/01/2005		51,900			51,900
2.980% due 07/01/2005		17,000			17,000
3.100% due 08/17/2005		99,800			99,394
3.250% due 09/14/2005		66,000			65,531
Federal Home Loan Bank
2.963% due 07/01/2005		51,000			51,000
2.947% due 07/13/2005		70,000			69,928
Freddie Mac
3.155% due 09/07/2005		90,700			90,118
					494,690
Repurchase Agreements 9.9%
Credit Suisse First Boston
2.700% due 07/01/2005		19,000			19,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $19,490. Repurchase proceeds are $19,001.)
State Street Bank
2.650% due 07/01/2005		6,026			6,026
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $6,149. Repurchase proceeds are $6,026.)
UBS Warburg LLC
2.650% due 07/01/2005		200,000			200,000
(Dated 06/30/2005. Collateralized by Treasury Inflation Protected Securities 3.375% due 01/15/2012 valued at $223,819. Repurchase proceeds are $200,015.)
					225,026
U.S. Treasury Bills 0.4%
2.949% due 09/01/2005-09/15/2005 (d)(f)		9,450			9,384
Total Short-Term Instruments (Cost $909,571)					909,366
Total Investments (e) (Cost $2,846,994)		126.1	%	$	2,869,582
Written Options (h)		(0.0	%)		(741	)
(Premiums $1,127)
Other Assets and Liabilities (Net)		(26.1	%)		(593,028	)
Net Assets		100.0	%	$	2,275,813

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Principal amount of security is adjusted for inflation.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) As of June 30, 2005, portfolio securities with an aggregate market value of $32,746 were valued with reference to securities whose prices are more readily obtainable.

(f) Securities with an aggregate market value of $21,816 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	2,033	$	967
Eurodollar June Long Futures	06/2006	25		(1	)
Eurodollar September Long Futures	09/2005	37		(33	)
Eurodollar September Long Futures	09/2006	167		73
Eurodollar December Long Futures	12/2005	1,643		(1,190	)
U.S. Treasury 10-Year Note Short Futures	09/2005	157		(95	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	2,471		925
			$	646

(g) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.760	%	06/20/2007	$	3,400	$	57
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.550	%	06/20/2007		9,500		121
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	06/20/2007		5,600		87
HSBC Bank USA	Ford Motor Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		5,000		242
HSBC Bank USA	Ford Motor Co. 7.000% due 10/01/2013	Sell	2.670	%	06/20/2007		1,500		22
Merrill Lynch & Co., Inc.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.450	%	06/20/2007		2,000		48
Morgan Stanley Dean Witter & Co.	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.750	%	06/20/2007		9,000		267
UBS Warburg LLC	Ford Motor Co. 7.000% due 10/01/2013	Sell	3.600	%	06/20/2007		6,100		163
								$	1,007

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	303	$	43	$	9
Put - CBOT U.S. Treasury Note September Futures		110.000	07/22/2005	303		31		5
Call - CBOT U.S. Treasury Bond September Futures		121.000	08/26/2005	196		176		123
Call - CBOT U.S. Treasury Note September Futures		115.000	08/26/2005	765		223		251
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	773		190		108
Put - CBOT U.S. Treasury Bond September Futures		115.000	08/26/2005	195		130		70
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	782		254		73
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	285		19		44
					$	1,066	$	683

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	06/02/2006	$	5,000	$	61	$	58

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	24,000	$	24,270	$	24,278
U.S. Treasury Note	4.750	05/15/2014		12,500		13,098		13,265
					$	37,368	$	37,543

See accompanying notes

Schedule of Investments

Total Return Fund III

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 3.7%
Banking & Finance 2.5%
American General Finance Corp.
3.492% due 03/23/2007 (a)	$	900		$	900
Export-Import Bank of Korea
7.100% due 03/15/2007		50			52
Ford Motor Credit Co.
7.600% due 08/01/2005		1,400			1,403
General Electric Capital Corp.
3.390% due 03/04/2008 (a)		900			901
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		400			400
4.070% due 04/13/2006 (a)		11,700			11,655
7.250% due 03/02/2011		500			469
Goldman Sachs Group, Inc.
3.491% due 07/23/2009 (a)		7,900			7,948
HSBC Capital Funding LP
9.547% due 12/31/2049 (a)		1,200			1,464
KBC Bank Funding Trust III
9.860% due 11/29/2049 (a)		2,100			2,533
Morgan Stanley Dean Witter & Co.
4.750% due 04/01/2014		110			109
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)		4,000			3,979
Nordea Bank Sweden AB
8.950% due 11/29/2049 (a)		500			587
Phoenix Quake Wind Ltd.
5.570% due 07/03/2008 (a)		600			617
5.954% due 07/03/2008 (a)		600			617
7.004% due 07/03/2008 (a)		300			257
Premium Asset Trust
3.420% due 10/06/2005 (a)		1,200			1,200
Prudential Holdings LLC
8.695% due 12/18/2023		265			351
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,196			1,151
Royal Bank of Scotland PLC
7.648% due 08/31/2049 (a)		3,800			4,848
UFJ Finance Aruba AEC
6.750% due 07/15/2013		1,300			1,452
World Financial Properties
6.950% due 09/01/2013		205			223
					43,116
Industrials 0.3%
Continental Airlines, Inc.
6.900% due 01/02/2018		130			129
6.545% due 02/02/2019		82			83
DaimlerChrysler NA Holding Corp.
3.890% due 05/24/2006 (a)		2,100			2,106
El Paso CGP Co.
9.625% due 05/15/2012		1,000			1,100
Pemex Project Funding Master Trust
9.125% due 10/13/2010		65			76
7.375% due 12/15/2014		500			562
Qwest Corp.
8.875% due 06/01/2031		300			305
United Airlines, Inc.
6.071% due 03/01/2013 (d)		347			327
					4,688
Utilities 0.9%
CenterPoint Energy Resources Corp.
8.125% due 07/15/2005		500			501
Sprint Capital Corp.
6.000% due 01/15/2007		2,000			2,050
6.125% due 11/15/2008		800			843
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		8,400			8,617
TXU Corp.
6.375% due 06/15/2006		3,000			3,066
					15,077
Total Corporate Bonds & Notes (Cost $60,987)					62,881
MUNICIPAL BONDS & NOTES 0.4%
Indiana Municipal Power Supply System Revenue Bonds, (FGIC Insured), Series 2005
7.460% due 01/01/2032 (a)		3,500			3,917
New York, New York General Obligation Bonds, Series 2005
6.690% due 03/01/2030 (a)		450			503
North Texas Tollway Authority Revenue Bonds, (FSA Insured), Series 2005
7.460% due 01/01/2035 (a)		1,470			1,648
State of Texas Highway Improvement General Obligation Bonds, Series 2005
4.750% due 04/01/2035		1,100			1,164
Total Municipal Bonds & Notes (Cost $7,009)					7,232
U.S. GOVERNMENT AGENCIES 47.6%
Fannie Mae
2.625% due 01/19/2007		1,200			1,179
3.084% due 07/01/2034 (a)		124			123
3.111% due 04/26/2035 (a)		1,884			1,885
3.319% due 09/22/2006 (a)		6,200			6,198
3.360% due 07/25/2035 (a)		1,700			1,700
4.173% due 03/01/2033 (a)		313			315
4.500% due 02/01/2020 - 09/01/2034 (c)		2,146			2,133
4.986% due 01/01/2035 (a)		2,805			2,846
5.000% due 10/01/2017 - 08/11/2035 (c)		163,531			164,843
5.500% due 12/01/2016 - 07/14/2035 (c)		518,441			526,012
5.822% due 02/01/2031 (a)		10			10
6.000% due 10/01/2016 - 11/01/2034 (c)		6,133			6,344
6.500% due 01/01/2011 - 06/25/2044 (c)		3,396			3,523
7.000% due 03/01/2013 - 10/01/2031 (c)		125			131
7.500% due 05/01/2011 - 02/01/2027 (c)		429			455
8.250% due 07/01/2017		4			4
8.500% due 02/01/2007		1			1
9.000% due 06/01/2025		1			1
12.500% due 06/01/2015		10			11
Federal Home Loan Bank
4.200% due 02/05/2007 (a)		1,200			1,116
Federal Housing Administration
7.430% due 11/25/2019 - 01/25/2023 (c)		6,801			6,884
Freddie Mac
2.125% due 11/15/2005		725			721
3.665% due 04/01/2033 (a)		119			120
4.011% due 08/15/2032 (a)		1,492			1,494
4.183% due 12/01/2022 (a)		109			112
5.000% due 12/01/2017 - 08/11/2035 (c)		4,602			4,637
5.500% due 06/01/2019 - 11/01/2032 (c)		1,089			1,111
6.000% due 02/01/2016 - 03/01/2033 (c)		1,110			1,144
6.500% due 05/01/2016 - 05/15/2032 (c)		30,655			32,572
7.000% due 11/01/2011 - 07/01/2029 (c)		4,069			4,197
7.201% due 07/01/2030 (a)		49			51
7.500% due 07/01/2011 - 09/01/2025 (c)		78			83
8.000% due 02/01/2006 - 01/01/2012 (c)		28			29
Government National Mortgage Association
3.375% due 06/20/2022 (a)		379			384
3.750% due 09/20/2023 - 02/20/2032 (a)(c)		5,499			5,549
3.836% due 02/16/2030 (a)		260			262
4.125% due 10/20/2024 - 12/20/2026 (a)(c)		677			690
4.375% due 01/20/2024 - 01/20/2026 (a)(c)		985			1,000
6.000% due 01/15/2029 - 05/20/2034 (c)		797			823
6.500% due 05/15/2032 - 06/15/2032 (c)		101			106
7.000% due 12/15/2011 - 02/20/2032 (c)		155			163
7.400% due 12/15/2040		6,867			7,607
10.250% due 02/15/2017		529			563
Small Business Administration
5.130% due 09/01/2023		1,013			1,045
5.520% due 06/01/2024		6,455			6,781
7.449% due 08/01/2010		771			830
Total U.S. Government Agencies (Cost $790,282)					797,788
U.S. TREASURY OBLIGATIONS 10.3%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007 (g)		1,474			1,521
0.875% due 04/15/2010		9,553			9,320
2.000% due 01/15/2014		1,580			1,628
1.625% due 01/15/2015		5,809			5,790
2.375% due 01/15/2025		9,188			10,061
3.625% due 04/15/2028		3,730			5,013
U.S. Treasury Bonds
7.875% due 02/15/2021		6,200			8,746
6.250% due 08/15/2023		10,300			12,839
6.000% due 02/15/2026		350			431
5.250% due 11/15/2028		375			428
U.S. Treasury Note
4.875% due 02/15/2012		109,900			116,752
Total U.S. Treasury Obligations (Cost $168,997)					172,529
MORTGAGE-BACKED SECURITIES 1.8%
Banc of America Funding Corp.
4.118% due 05/25/2035 (a)		4,000			3,954
Bank of America Mortgage Securities, Inc.
5.549% due 10/20/2032 (a)		539			542
6.500% due 02/25/2033		611			621
Bear Stearns Adjustable Rate Mortgage Trust
5.259% due 10/25/2032 (a)		131			131
5.345% due 01/25/2033 (a)		807			815
5.632% due 01/25/2033 (a)		358			362
4.716% due 12/25/2033 (a)		3,794			3,793
Bear Stearns Alt-A Trust
5.448% due 05/25/2035 (a)		7,461			7,604
Commercial Mortgage Pass-Through Certificates
3.440% due 09/15/2014 (a)		700			699
CS First Boston Mortgage Securities Corp.
6.124% due 12/25/2031 (a)		806			806
Indymac Adjustable Rate Mortgage Trust
6.648% due 01/25/2032 (a)		77			77
Mellon Residential Funding Corp.
3.460% due 06/15/2030 (a)		6,348			6,344
Prime Mortgage Trust
3.714% due 02/25/2034 (a)		1,596			1,600
Sequoia Mortgage Trust
3.560% due 08/20/2032 (a)		2,438			2,439
Structured Asset Securities Corp.
6.103% due 02/25/2032 (a)		109			109
Washington Mutual Mortgage Securities Corp.
5.126% due 10/25/2032 (a)		798			803
Total Mortgage-Backed Securities (Cost $30,766)					30,699
ASSET-BACKED SECURITIES 3.0%
AAA Trust
3.414% due 04/25/2035 (a)		10,470			10,488
Aames Mortgage Investment Trust
3.394% due 08/25/2035 (a)		685			686
Amortizing Residential Collateral Trust
3.574% due 09/25/2030 (a)		112			112
Bear Stearns Asset-Backed Securities, Inc.
3.764% due 07/25/2033 (a)		1,642			1,646
Capital Auto Receivables Asset Trust
3.230% due 06/15/2006 (a)		927			927
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		1,600			1,599
Cendant Mortgage Corp.
3.814% due 01/25/2032 (a)		174			174
Centex Home Equity
3.414% due 03/25/2034 (a)		503			503
Citibank Credit Card Issuance Trust
6.900% due 10/15/2007		380			384
6.875% due 11/16/2009		240			256
Colonial Advisory Services CBO I Ltd.
3.696% due 06/20/2008 (a)		969			968
Countrywide Asset-Backed Certificates
3.554% due 12/25/2031 (a)		1,234			1,236
3.464% due 12/25/2034 (a)		3,064			3,066
Credit-Based Asset Servicing & Securitization LLC
3.444% due 08/25/2034 (a)		513			513
Fremont Home Loan Trust
3.464% due 07/25/2034 (a)		1,148			1,148
Home Equity Asset Trust
3.774% due 05/25/2033 (a)		123			124
Home Equity Mortgage Trust
3.464% due 12/25/2034 (a)		1,768			1,769
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		372			373
MBNA Master Credit Card Trust USA
5.900% due 08/15/2011		300			319
7.800% due 10/15/2012		200			232
Navistar Financial Corp. Owner Trust
2.590% due 03/15/2011		472			459
Park Place Securities, Inc.
3.464% due 10/25/2034 (a)		1,380			1,380
Residential Asset Mortgage Products, Inc.
3.454% due 04/25/2026 (a)		7,291			7,297
Sears Credit Account Master Trust
3.350% due 08/18/2009 (a)		14,300			14,311
Terwin Mortgage Trust
3.444% due 09/25/2034 (a)		85			85
Total Asset-Backed Securities (Cost $50,069)					50,055
SOVEREIGN ISSUES 3.5%
Republic of Brazil
4.250% due 04/15/2006 (a)		1,834			1,835
4.313% due 04/15/2009 (a)		2,823			2,803
9.230% due 06/29/2009 (a)		200			232
4.313% due 04/15/2012 (a)		906			877
8.000% due 04/15/2014		5,172			5,331
10.500% due 07/14/2014		3,000			3,555
11.000% due 08/17/2040		1,300			1,566
Republic of Chile
5.500% due 01/15/2013		200			213
Republic of Panama
9.625% due 02/08/2011		3,980			4,776
9.375% due 07/23/2012		1,050			1,276
9.375% due 01/16/2023		3,260			4,042
8.875% due 09/30/2027		900			1,078
Republic of Peru
9.125% due 02/21/2012		1,800			2,115
5.000% due 03/07/2017 (a)		213			204
Russian Federation
5.000% due 03/31/2030 (a)		12,880			14,420
United Mexican States
9.875% due 02/01/2010		700			848
8.375% due 01/14/2011		1,130			1,318
6.375% due 01/16/2013		1,420			1,528
8.125% due 12/30/2019		300			369
8.000% due 09/24/2022		400			491
8.300% due 08/15/2031		6,400			7,984
United Mexican States Value Recovery Right
0.000% due 06/30/2005 (a)		26,150			180
0.000% due 06/30/2006 (a)		26,095			672
0.000% due 06/30/2007 (a)		17,950			431
Total Sovereign Issues (Cost $51,880)					58,144
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 2.1%
Commonwealth of Canada
5.750% due 06/01/2033	C$	1,300			1,318
3.000% due 12/01/2036		621			631
Halifax Group PLC
7.627% due 12/29/2049 (a)	EC	7,800			11,734
KBC Bank Fund Trust III
6.875% due 06/30/2049		3,000			4,160
Kingdom of Spain
5.750% due 07/30/2032		1,800			2,949
Republic of France
5.750% due 10/25/2032		4,400			7,227
4.750% due 04/25/2035		3,500			5,043
4.000% due 04/25/2055		1,000			1,290
Republic of Germany
5.625% due 01/04/2028		400			631
Total Foreign Currency-Denominated Issues (Cost $30,962)					34,983
		Notional Amount (000s)
PURCHASED CALL OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 4.500%** Exp. 06/02/2006	$	1,000			31
Total Purchased Call Options (Cost $29)					31
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 93.750 Exp. 09/19/2005		527			3
Eurodollar September Futures (CME)
Strike @ 94.750 Exp. 09/30/2005		622			8
Strike @ 94.500 Exp. 09/30/2005		234			1
Total Purchased Put Options (Cost $18)					12
		Shares
PREFERRED SECURITY 0.5%
DG Funding Trust
3.360% due 12/29/2049 (a)		797			8,573
Total Preferred Security (Cost $8,398)					8,573
PREFERRED STOCK 0.5%
Centaur Funding Corp.
9.080% due 04/21/2020		125			170
Fannie Mae
7.000% due 12/31/2049 (a)		32,200			1,794
Northern Rock PLC
8.000% due 12/31/2049		260,000			6,490
Total Preferred Stock (Cost $8,344)					8,454
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS (j) 36.1%
Commercial Paper 30.0%
Bank of Ireland
3.010% due 07/05/2005	$	42,000			41,986
3.190% due 08/23/2005		5,200			5,176
Barclays U.S. Funding Corp.
3.020% due 07/21/2005		41,200			41,131
Carolina Power & Light Co.
3.670% due 10/11/2005		600			594
Fannie Mae
2.967% due 07/01/2005		28,200			28,200
2.980% due 07/01/2005		14,900			14,900
2.988% due 07/20/2005		43,000			42,932
3.010% due 08/01/2005		2,800			2,793
3.205% due 09/07/2005		45,400			45,108
3.250% due 09/14/2005		32,300			32,071
Federal Home Loan Bank
2.963% due 07/01/2005		5,000			5,000
Ford Motor Credit Co.
3.400% due 08/26/2005		900			895
Freddie Mac
2.963% due 08/01/2005		43,100			42,986
National Australia Funding, Inc.
3.030% due 07/01/2005		43,200			43,200
Rabobank USA Financial Corp.
3.370% due 07/01/2005		5,100			5,100
3.160% due 08/08/2005		44,800			44,651
Skandinaviska Enskilda Banken AB (SEB)
3.030% due 07/11/2005		900			899
3.100% due 07/18/2005		5,100			5,092
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		4,400			4,400
3.105% due 07/11/2005		45,400			45,361
UBS Finance Delaware LLC
3.070% due 07/08/2005		200			200
3.105% due 07/11/2005		4,800			4,796
2.975% due 07/14/2005		40,700			40,656
3.115% due 07/25/2005		100			100
3.165% due 08/30/2005		2,900			2,884
3.285% due 10/03/2005		1,300			1,288
					502,399
Repurchase Agreements 1.3%
Credit Suisse First Boston
2.700% due 07/01/2005		17,000			17,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $17,438. Repurchase proceeds are $17,001.)
State Street Bank
2.650% due 07/01/2005		5,637			5,637
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $5,754. Repurchase proceeds are $5,637.)
					22,637
French Treasury Bill 4.3%
2.045% due 07/07/2005	EC	59,690			72,209
U.S. Treasury Bills 0.5%
2.949% due 09/01/2005-09/15/2005 (c)(e)(g)	$	8,625			8,566
Total Short-Term Instruments (Cost $610,718)					605,811
Total Investments (f) (Cost $1,818,459)		109.5	%	$	1,837,192
Written Options (i)		(0.0	%)		(497	)
(Premiums $764)
Other Assets and Liabilities (Net)		(9.5	%)		(159,474	)
Net Assets		100.0	%	$	1,677,221

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Security is in default.

(e) Securities with an aggregate market value of $1,491 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(f) As of June 30, 2005, portfolio securities with an aggregate market value of $30,315 were valued with reference to securities whose prices are more readily obtainable.

(g) Securities with an aggregate market value of $8,355 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	1,298	$	345
Eurodollar June Long Futures	06/2006	269		(6	)
Eurodollar September Long Futures	09/2005	399		(451	)
Eurodollar September Long Futures	09/2006	57		25
Eurodollar December Long Futures	12/2005	1,249		(1,006	)
Euro-Bobl 5-Year Note Long Futures	09/2005	69		90
Government of Japan 10-Year Note Long Futures	09/2005	16		131
U.S. Treasury 10-Year Note Short Futures	09/2005	110		(65	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	1,241		65
			$	(872	)

(h) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000%	06/16/2011	BP	10,800	$	471
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000%	03/15/2032		1,400		(60	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000%	03/15/2032		10,100		(515	)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000%	03/15/2032		600		(31	)
Bank of America	3-month Canadian Bank Bill	Pay	6.000%	12/16/2019	C$	1,400		20
Barclays Bank PLC	6-month EC-LIBOR	Pay	6.000%	03/15/2032	EC	1,400		58
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000%	03/15/2032		19,400		2,770
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000%	06/18/2034		3,600		549
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	6.000%	06/18/2034		1,700		218
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000%	03/15/2032		900		113
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000%	06/15/2012	JY	258,000		(127	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000%	06/15/2012		130,000		(86	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000%	06/15/2012		660,000		(384	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000%	06/15/2012		1,000,000		(655	)
							$	2,341

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.760	%	06/20/2007	$	1,700	$	28
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.100	%	06/20/2006		2,800		47
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.400	%	06/20/2006		10,000		190
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.670	%	06/20/2007		1,000		14
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	06/20/2007		1,100		52
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/28/2005		10,000		47
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		500		0
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	06/20/2007		1,000		22
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	06/20/2007		3,900		104
								$	504

(i) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	205	$	29	$	6
Put - CBOT U.S. Treasury Note September Futures		110.000	07/22/2005	205		21		3
Call - CBOT U.S. Treasury Bond September Futures		121.000	08/26/2005	136		122		85
Call - CBOT U.S. Treasury Note September Futures		115.000	08/26/2005	514		151		169
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	527		129		74
Put - CBOT U.S. Treasury Bond September Futures		115.000	08/26/2005	136		91		49
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	661		172		62
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	67		13		14
					$	728	$	462

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	06/02/2006	$	3,000	$	36	$	35

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	793	07/2005	$	44	$	0		$	44
Sell		793	07/2005		0		(20	)		(20	)
Buy		1,698	08/2005		49		0			49
Sell		1,698	08/2005		0		(47	)		(47	)
Buy		7,912	09/2005		478		0			478
Sell		7,912	09/2005		0		(249	)		(249	)
Sell	C$	2,242	07/2005		0		(27	)		(27	)
Buy	CP	412,619	08/2005		1		(1	)		0
Buy		181,806	09/2005		7		0			7
Sell	EC	5,842	07/2005		1		0			1
Sell		87,392	08/2005		84		(178	)		(94	)
Buy	JY	2,346,433	07/2005		0		(879	)		(879	)
Buy	KW	594,375	07/2005		0		(20	)		(20	)
Buy		657,070	08/2005		0		(20	)		(20	)
Buy		354,000	09/2005		0		(7	)		(7	)
Buy	MP	6,442	08/2005		16		0			16
Buy		3,367	09/2005		1		0			1
Buy	PN	1,939	08/2005		1		0			1
Buy		1,049	09/2005		0		0			0
Buy	PZ	2,015	08/2005		0		(12	)		(12	)
Buy		1,032	09/2005		0		(1	)		(1	)
Buy	RP	20,740	09/2005		1		0			1
Buy		13,380	11/2005		0		(1	)		(1	)
Buy	RR	7,872	07/2005		0		(9	)		(9	)
Buy		16,406	08/2005		0		(16	)		(16	)
Buy		9,172	09/2005		0		(1	)		(1	)
Buy	S$	465	07/2005		0		(7	)		(7	)
Buy		968	08/2005		0		(13	)		(13	)
Buy		513	09/2005		0		(2	)		(2	)
Buy	SR	1,834	08/2005		0		(27	)		(27	)
Buy	SV	18,259	08/2005		0		(18	)		(18	)
Buy		10,051	09/2005		0		(1	)		(1	)
Buy	T$	19,015	08/2005		0		(12	)		(12	)
Buy		9,992	09/2005		0		(3	)		(3	)
				$	683	$	(1,571)		$	(888)

See accompanying notes

Schedule of Investments

Total Return Mortgage Fund

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
U.S. GOVERNMENT AGENCIES 135.8%
Fannie Mae
0.000% due 07/25/2022 (a)	$	64		$	54
2.597% due 12/01/2034 (b)		4,961			4,960
2.917% due 07/01/2011 (b)		2,218			2,223
3.235% due 09/07/2006 (b)		80,000			79,997
3.307% due 07/01/2011 (b)		922			923
3.415% due 10/25/2008 (b)		93			92
3.660% due 04/18/2028 (b)		16			16
3.664% due 11/25/2032 (b)		209			210
3.704% due 08/01/2042 - 10/01/2044 (d)		6,850			6,921
3.814% due 07/25/2034 (b)		10,527			10,527
3.946% due 04/01/2007 (b)		1,603			1,528
4.135% due 10/01/2028 (b)		21			22
4.139% due 05/01/2033 (b)		3,550			3,624
4.180% due 10/01/2011 (b)		914			916
4.344% due 04/25/2023 (b)		7			7
4.500% due 07/19/2020		46,000			45,799
5.000% due 09/01/2018 - 08/16/2020 (d)		146,086			147,790
5.137% due 05/01/2023 (b)		43			44
5.216% due 11/01/2018 (b)		6			6
5.315% due 08/01/2026 (b)		4			4
5.500% due 11/01/2032 - 08/11/2035 (d)		421,672			427,480
5.750% due 01/01/2021 (b)		27			27
6.000% due 01/01/2032 - 07/14/2035 (d)		52,208			53,558
6.500% due 09/25/2023 - 09/01/2034 (d)		2,132			2,235
7.000% due 09/25/2023		6			6
7.145% due 06/01/2006 (b)		5,376			5,446
7.500% due 06/01/2030 - 08/01/2031 (d)		516			551
7.750% due 08/25/2022		28			31
Federal Home Loan Bank
8.300% due 02/27/2012 (b)		2,000			1,894
Federal Housing Administration
5.022% due 10/25/2022		826			837
7.430% due 06/01/2019 - 06/01/2022 (d)		1,499			1,518
Freddie Mac
3.500% due 12/15/2022		3			3
3.567% due 02/01/2018 (b)		95			96
4.500% due 04/01/2020 - 03/15/2021 (d)		47			47
5.000% due 08/11/2035		13,500			13,475
5.500% due 12/01/2017 - 07/17/2035 (d)		20,347			20,716
5.518% due 11/01/2028 (b)		15			15
5.852% due 08/01/2025 (b)		24			25
5.971% due 05/01/2032 (b)		117			121
6.000% due 06/15/2008 - 07/14/2035 (d)		12,028			12,336
6.500% due 12/15/2023 - 03/15/2024 (d)		125			130
6.673% due 07/01/2030 (b)		89			91
8.000% due 06/15/2026		47			50
Government National Mortgage Association
3.375% due 06/20/2017 (b)		51			51
3.436% due 02/16/2032 (b)		1,316			1,316
3.486% due 08/16/2032 (b)		2,547			2,553
3.750% due 07/20/2022 - 08/20/2026 (b)(d)		105			106
4.125% due 12/20/2021 - 11/20/2023 (b)(d)		44			45
4.375% due 02/20/2017 - 03/20/2027 (b)(d)		28			28
4.500% due 02/20/2018 (b)		14			15
4.625% due 03/20/2016 - 03/20/2018 (b)(d)		154			155
5.500% due 01/15/2034 - 07/21/2035 (d)		5,118			5,232
7.500% due 05/15/2027 - 08/15/2027 (d)		11			11
Total U.S. Government Agencies (Cost $853,609)					855,863
MORTGAGE-BACKED SECURITIES 7.9%
Banc of America Structural Security Trust
3.710% due 10/11/2033 (b)		1,000			1,012
Bank of America Mortgage Securities, Inc.
5.579% due 10/20/2032 (b)		164			165
Banktrust Mortgage Trust
5.700% due 12/01/2023		247			203
Bear Stearns Commercial Mortgage Securities, Inc.
3.436% due 05/14/2016 (b)		1,991			1,993
Chevy Chase Funding LLC
2.697% due 01/25/2035 (b)		1,331			1,300
Countrywide Alternative Loan Trust
3.504% due 07/25/2034 (b)		2,269			2,271
3.524% due 05/25/2035 (b)		4,578			4,518
Countrywide Home Loan Mortgage Pass-Through Trust
5.000% due 08/25/2033		1,428			1,431
3.634% due 03/25/2035 (b)		7,461			7,462
3.540% due 04/25/2035 (b)		5,336			5,423
3.604% due 04/25/2035 (b)		4,697			4,697
CS First Boston Mortgage Securities Corp.
3.226% due 03/25/2032 (b)		299			300
3.350% due 03/25/2032 (b)		291			289
5.064% due 03/25/2033 (b)		111			110
3.400% due 08/25/2033 (b)		664			667
Indymac Index Mortgage Loan Trust
3.180% due 09/25/2034 (b)		2,635			2,634
3.074% due 03/25/2035 (b)		5,848			5,846
Mellon Residential Funding Corp.
2.857% due 07/25/2029 (b)		59			59
Morgan Stanley Dean Witter Capital I, Inc.
5.500% due 04/25/2017		94			95
Prime Mortgage Trust
5.000% due 02/25/2019		1,235			1,233
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		1,200			1,254
Sequoia Mortgage Trust
3.610% due 10/19/2026 (b)		1,470			1,472
3.640% due 10/20/2027 (b)		564			565
3.600% due 05/20/2032 (b)		463			462
3.560% due 08/20/2032 (b)		530			530
Structured Asset Mortgage Investments, Inc.
3.590% due 09/19/2032 (b)		818			815
Structured Asset Securities Corp.
6.250% due 04/25/2017		83			83
3.794% due 03/25/2031 (b)		13			13
3.964% due 08/25/2032 (b)		176			176
3.604% due 01/25/2033 (b)		43			43
3.814% due 11/25/2033 (b)		192			193
Superannuation Members Home Loans Global Fund
3.665% due 06/15/2026 (b)		25			25
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (b)		2,369			2,368
5.530% due 07/25/2032 (b)		83			83
Total Mortgage-Backed Securities (Cost $49,945)					49,790
ASSET-BACKED SECURITIES 17.8%
AAA Trust
3.120% due 11/26/2035 (b)		8,725			8,740
Ameriquest Mortgage Securities, Inc.
5.000% due 02/25/2006 (c)		33,308			644
3.724% due 03/25/2033 (b)		127			127
3.794% due 02/25/2034 (b)		727			728
3.410% due 06/25/2034 (b)		935			939
3.454% due 01/25/2035 (b)		973			973
Amortizing Residential Collateral Trust
3.664% due 10/25/2031 (b)		79			79
3.604% due 07/25/2032 (b)		25			25
Bear Stearns Asset-Backed Securities, Inc.
3.140% due 02/25/2026 (b)		1,177			1,180
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (b)		3,000			2,998
Centex Home Equity
3.614% due 01/25/2032 (b)		84			84
3.574% due 04/25/2032 (b)		75			76
3.594% due 03/25/2033 (b)		16			16
3.326% due 06/25/2035 (b)		4,800			4,799
CIT Group Home Equity Loan Trust
3.584% due 06/25/2033 (b)		184			184
Citifinancial Mortgage Securities, Inc.
3.624% due 05/25/2033 (b)		132			132
Citigroup Mortgage Loan Trust, Inc.
3.404% due 05/25/2035 (b)		2,872			2,874
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		2,300			1,909
Countrywide Asset-Backed Certificates
3.454% due 05/25/2023 (b)		1,440			1,442
Credit-Based Asset Servicing & Securitization LLC
3.634% due 06/25/2032 (b)		141			141
3.494% due 01/25/2035 (b)		3,654			3,661
EMC Mortgage Loan Trust
4.064% due 08/25/2040 (b)		652			659
First Franklin Mortgage Loan Trust Asset-Backed Certificates
2.820% due 02/25/2034 (b)		998			998
Fremont Home Loan Trust
3.414% due 06/25/2035 (b)		7,317			7,316
GSAMP Trust
3.414% due 03/25/2035 (b)		6,138			6,137
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 09/20/2033 (b)		5,588			5,609
Home Equity Asset Trust
3.614% due 11/25/2032 (b)		3			3
Home Equity Mortgage Trust
3.434% due 07/25/2035 (b)		5,044			5,047
Household Mortgage Loan Trust
3.560% due 05/20/2032 (b)		196			196
3.610% due 02/20/2033 (b)		3,689			3,699
Indymac Index Mortgage Loan Trust
3.634% due 01/25/2035 (b)		2,826			2,825
Indymac Residential Asset-Backed Trust
3.424% due 03/25/2035 (b)		5,050			5,050
Merrill Lynch Mortgage Investors, Inc.
3.600% due 03/15/2025 (b)		95			96
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (b)		10			10
3.734% due 11/25/2032 (b)		130			130
New Century Home Equity Loan Trust
3.454% due 02/25/2035 (b)		4,596			4,599
Park Place Securities, Inc.
3.394% due 06/25/2035 (b)		8,702			8,704
PPM America High Yield CBO Ltd.
3.340% due 07/23/2012 (b)		2,627			2,612
Renaissance Home Equity Loan Trust
3.694% due 12/25/2032 (b)		437			437
3.754% due 08/25/2033 (b)		1,190			1,195
Residential Asset Mortgage Products, Inc.
3.654% due 09/25/2033 (b)		799			803
2.917% due 04/25/2034 (b)		695			698
3.414% due 05/25/2035 (b)		990			990
SLM Student Loan Trust
3.141% due 04/25/2010 (b)		12,355			12,359
Specialty Underwriting & Residential Finance
3.654% due 01/25/2034 (b)		401			401
Structured Asset Investment Loan Trust
3.454% due 04/25/2034 (b)		7,625			7,631
3.464% due 09/25/2034 (b)		2,460			2,462
Total Asset-Backed Securities (Cost $112,646)					112,417
		Notional Amount (000s)
PURCHASED CALL OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 4.500%** Exp. 06/02/2006		5,000			156
Total Purchased Call Options (Cost $160)					156
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar September Futures (CME)
Strike @ 95.750 Exp. 09/19/2005		57			0
Strike @ 95.625 Exp. 09/19/2005		57			0
Strike @ 95.375 Exp. 09/19/2005		146			1
Strike @ 95.250 Exp. 09/19/2005		120			1
Total Purchased Put Options (Cost $4)					2
		Shares
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (b)		5,000			279
Total Preferred Stock (Cost $250)					279
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 10.5%
Commercial Paper 9.8%
Fannie Mae
2.967% due 07/01/2005	$	7,300			7,300
Rabobank USA Financial Corp.
3.370% due 07/01/2005		17,300			17,300
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		17,300			17,300
UBS Finance Delaware LLC
3.390% due 07/01/2005		17,300			17,300
3.365% due 10/14/2005		1,300			1,287
Westpac Trust Securities NZ Ltd. London
3.330% due 10/03/2005		1,000			991
					61,478
Repurchase Agreement 0.5%
State Street Bank
2.650% due 07/01/2005		3,377			3,377
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $3,449. Repurchase proceeds are $3,377.)
U.S. Treasury Bills 0.2%
2.930% due 09/01/2005-09/15/2005 (d)(f)(g)		1,290			1,282
Total Short-Term Instruments (Cost $66,138)					66,137
Total Investments (e) (Cost $1,082,752)		172.1	%	$	1,084,644
Written Options (i) (Premiums $450)		(0.0	%)		(184	)
Other Assets and Liabilities (Net)		(72.1	)		(454,057	)
Net Assets		100.0	%	$	630,403

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Principal only security.

(b) Variable rate security.

(c) Interest only security.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) As of June 30, 2005, portfolio securities with an aggregate market value of $47,237 were valued with reference to securities whose prices are more readily obtainable.

(f) Securities with an aggregate market value of $746 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(g) Securities with an aggregate market value of $288 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
Eurodollar September Short Futures	09/2005	418	$	(279	)
U.S. Treasury 10-Year Note Short Futures	09/2005	50		(58	)
			$	(337	)

(h) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized (Depreciation)
Lehman Brothers, Inc.	3-month USD-LIBOR with 6.940% interest rate cap	Receive	Premium amount of $119	07/01/2011	$	3,000	$	(99	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000%	12/15/2015		11,000		(71	)
Morgan Stanley Dean Witter & Co.	Interest and paydown on FFCA Secured Lending Corp. 8.180% due 09/18/2027	Receive Interest and Paydown	8.180%	09/18/2027		3,000		(30	)
							$	(200	)

(i) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	10/31/2005	$	10,000	$	168	$	51
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	7.000	%*	10/31/2005		10,000		121		0
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	06/02/2006		11,400		161		133
							$	450	$	184

* The Fund will pay a floating rate based on 3-month USD-LIBOR.

** The Fund will receive a floating rate based on 3-month USD-LIBOR.

(j) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	69,000	$	69,776	$	69,664
Fannie Mae	5.000	08/11/2035		52,000		51,902		51,853
Freddie Mac	4.500	07/19/2020		800		797		792
					$	122,475	$	122,309

See accompanying notes

Schedule of Investments

Asset-Backed Securities Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 2.9%
Banking & Finance 2.9%
Ford Motor Credit Co.
6.875% due 02/01/2006	$	2,000		$	2,020
General Motors Acceptance Corp.
4.130% due 03/20/2007 (a)		2,000			1,941
Preferred Term Securities XII
3.580% due 03/24/2034 (a)		2,250			2,226
Total Corporate Bonds & Notes (Cost $6,139)					6,187
U.S. GOVERNMENT AGENCIES 20.0%
Fannie Mae
3.117% due 10/25/2007 (a)		93			92
3.210% due 06/25/2032 (a)		90			91
3.330% due 08/25/2031 (a)		2,897			2,899
3.490% due 11/17/2030 (a)		349			351
3.494% due 09/17/2027 (a)		22			22
3.544% due 10/25/2021 (a)		67			67
3.547% due 07/01/2042 (a)		1,886			1,905
3.575% due 07/01/2027 (a)		17			18
3.590% due 08/25/2031 (a)		1,854			1,867
3.594% due 01/15/2020 - 11/25/2021 (a)(e)		219			221
3.644% due 12/25/2021 (a)		427			432
3.650% due 11/01/2040 (a)		302			307
3.694% due 03/25/2008 (a)		61			61
3.740% due 11/25/2031 (a)		1,268			1,281
3.747% due 10/01/2040 (a)		571			586
3.810% due 12/18/2031 (a)		1,601			1,619
3.822% due 03/01/2027 (a)		25			26
3.826% due 01/01/2028 (a)		74			77
3.844% due 05/25/2022 (a)		130			132
3.975% due 12/25/2008 (a)		408			413
3.994% due 08/25/2023 (a)		190			193
4.000% due 05/01/2015 - 01/01/2029 (a)(e)		2,302			2,313
4.026% due 03/01/2030 (a)		113			116
4.076% due 10/01/2031 (a)		192			194
4.182% due 09/01/2030 (a)		130			133
4.183% due 05/01/2036 (a)		324			330
4.190% due 03/01/2027 (a)		87			89
4.202% due 12/01/2025 (a)		16			16
4.219% due 10/01/2027 (a)		22			22
4.250% due 07/25/2008 - 12/25/2023 (a)(e)		416			425
4.300% due 12/01/2024 (a)		26			27
4.405% due 04/01/2018 (a)		48			48
4.500% due 11/01/2018		81			81
4.595% due 02/01/2026 (a)		37			38
4.750% due 12/25/2014		344			344
4.768% due 11/01/2024 (a)		207			212
5.000% due 08/16/2020 - 11/25/2032 (e)		10,404			10,500
5.122% due 12/01/2014 (a)		58			58
5.147% due 04/01/2033 (a)		31			31
5.370% due 02/01/2018 (a)		17			16
5.500% due 04/25/2017		150			157
5.650% due 11/01/2019 (a)		48			47
5.690% due 12/01/2017 (a)		66			65
5.720% due 01/01/2015 (a)		57			56
5.750% due 07/01/2010 (a)		40			40
5.765% due 08/01/2018 (a)		52			52
5.850% due 06/16/2028		169			172
5.855% due 03/01/2019 (a)		45			46
5.952% due 05/01/2031 (a)		29			30
6.000% due 03/25/2016		442			458
6.090% due 12/01/2008		91			96
6.500% due 04/25/2013		13			13
6.770% due 01/18/2029		387			404
6.930% due 09/01/2021		901			969
7.000% due 10/01/2006		20			20
7.047% due 01/01/2027 (a)		24			24
7.096% due 07/17/2017		36			37
11.743% due 10/25/2008 (a)		169			180
Federal Housing Administration
7.430% due 03/01/2021		30			30
Freddie Mac
1.582% due 09/15/2008		235			233
3.230% due 04/25/2030 (a)		27			27
3.270% due 10/25/2029 (a)		7			7
3.311% due 09/25/2023 (a)		2,166			2,161
3.404% due 12/15/2031 (a)		78			78
3.470% due 10/15/2032 (a)		171			172
3.490% due 06/01/2028 (a)		52			52
3.500% due 12/15/2021		1			1
3.650% due 09/15/2023 (a)		957			958
3.815% due 02/01/2022 (a)		23			24
3.967% due 08/01/2029 (a)		162			166
4.000% due 10/15/2033		212			179
4.004% due 08/01/2023 (a)		53			55
4.100% due 05/15/2023 (a)		73			75
4.125% due 02/01/2017 (a)		17			17
4.265% due 03/01/2028 (a)		39			40
4.281% due 02/01/2026 (a)		62			63
4.284% due 11/01/2028 (a)		13			13
4.290% due 07/25/2036		195			195
4.299% due 11/01/2023 (a)		18			19
4.340% due 10/15/2022 (a)		98			98
4.500% due 08/15/2017 - 09/15/2018 (e)		210			207
5.000% due 11/15/2017		100			102
5.210% due 09/01/2023 (a)		43			44
5.500% due 10/15/2015		100			102
5.836% due 08/01/2031 (a)		569			584
6.500% due 09/15/2030 - 07/25/2043 (e)		67			70
Government National Mortgage Association
3.250% due 02/20/2030 (a)		15			15
3.375% due 04/20/2017 - 05/20/2032 (a)(e)		651			662
3.490% due 02/20/2029 (a)		11			11
3.500% due 09/20/2028 - 09/20/2029 (a)(e)		85			86
3.786% due 10/16/2029 (a)		387			391
3.875% due 11/20/2031 (a)		135			137
4.000% due 04/20/2016 - 04/20/2019 (a)(e)		84			84
4.125% due 10/20/2026 - 12/20/2027 (a)(e)		176			179
4.250% due 02/20/2030 (a)		522			529
Tennessee Valley Authority
5.880% due 04/01/2036		3,000			3,619
Total U.S. Government Agencies (Cost $41,464)					42,004
MORTGAGE-BACKED SECURITIES 37.5%
ABN AMRO Mortgage Corp.
5.850% due 06/25/2032 (a)		130			130
Asset Securitization Corp.
7.490% due 04/14/2029		91			96
7.384% due 08/13/2029		750			801
Bank of America Mortgage Securities, Inc.
5.579% due 10/20/2032 (a)		246			247
6.500% due 09/25/2033		225			229
Bear Stearns Adjustable Rate Mortgage Trust
4.005% due 11/25/2030 (a)		183			185
5.934% due 06/25/2032 (a)		6			6
5.376% due 02/25/2033 (a)		135			136
3.370% due 02/25/2034 (a)		154			155
Bear Stearns Asset-Backed Securities, Inc.
5.000% due 02/25/2006 (d)		85			2
Bear Stearns Commercial Mortgage Securities, Inc.
4.110% due 06/25/2030 (a)		1,745			1,787
Carey Commercial Mortgage Trust
5.970% due 08/20/2032		1,884			1,930
CBA Commercial Small Balance Commercial Mortgage
2.697% due 12/25/2034 (a)		1,895			1,887
Citicorp Mortgage Securities, Inc.
3.863% due 11/25/2018 (a)		85			84
5.000% due 12/25/2033		375			376
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		15			15
3.490% due 02/25/2033 (a)		675			676
5.750% due 06/25/2033		1,132			1,143
3.340% due 05/25/2035 (a)		1,930			1,908
Countrywide Home Loan Mortgage Pass-Through Trust
3.550% due 09/25/2034 (a)		2,324			2,335
3.480% due 02/25/2035 (a)		1,871			1,872
3.380% due 04/25/2035 (a)		1,126			1,126
3.538% due 04/25/2035 (a)		1,906			1,921
Countrywide Home Loans, Inc.
4.569% due 02/19/2034 (a)		123			122
CS First Boston Mortgage Securities Corp.
4.720% due 12/15/2011 (a)		364			365
4.832% due 02/15/2015		2,000			2,037
3.570% due 01/25/2033 (a)		429			430
6.500% due 04/25/2033		435			440
DLJ Mortgage Acceptance Corp.
4.631% due 04/25/2024 (a)		112			112
Drexel Burnham Lambert CMO Trust
3.875% due 05/01/2016 (a)		428			428
Federal Agricultural Mortgage Corp.
7.542% due 01/25/2012		557			608
First Horizon Alternative Mortgage Securities
4.549% due 03/25/2035 (a)		2,571			2,574
First Horizon Asset Securities, Inc.
7.000% due 09/25/2030		6			6
First Republic Mortgage Loan Trust
3.410% due 06/25/2030 (a)		321			321
3.570% due 11/15/2031 (a)		2,566			2,583
GMAC Commercial Mortgage Corp.
3.640% due 09/20/2005 (a)		744			741
GMAC Commercial Mortgage Securities, Inc.
6.500% due 05/15/2035		3,000			3,202
Green Tree Recreational Equipment & Consumer Trust
6.715% due 02/01/2009		1,436			1,523
Greenpoint Mortgage Funding Trust
3.320% due 06/25/2045 (a)		2,491			2,498
Greenwich Capital Acceptance, Inc.
2.665% due 06/25/2024 (a)		332			331
GS Mortgage Securities Corp.
2.960% due 11/15/2015 (a)		487			487
6.044% due 08/15/2018		771			815
GSR Mortgage Loan Trust
6.000% due 03/25/2032		13			13
GSRPM Mortgage Loan Trust
3.790% due 01/25/2032 (a)		2,671			2,696
Hilton Hotel Pool Trust
3.611% due 10/03/2015 (a)		2,000			2,014
Impac CMB Trust
6.000% due 01/25/2006 (d)		1,564			46
Impac Secured Assets CMN Owner Trust
6.500% due 04/25/2032 (a)		386			395
Indymac Adjustable Rate Mortgage Trust
6.701% due 01/25/2032 (a)		141			141
Indymac Index Mortgage Loan Trust
2.990% due 03/25/2035 (a)		1,949			1,949
3.370% due 03/25/2035 (a)		1,948			1,944
Kidder Peabody Mortgage Assets Trust
6.500% due 02/22/2017		103			105
LB Mortgage Trust
7.809% due 01/15/2009		284			298
8.407% due 01/20/2017 (a)		658			721
Liberty Funding Ltd.
3.770% due 04/03/2030 (a)		179			180
MASTR Adjustable Rate Mortgages Trust
3.820% due 12/25/2033 (a)		89			88
Mellon Residential Funding Corp.
4.213% due 01/25/2029 (a)		79			80
MLCC Mortgage Investors, Inc.
3.460% due 03/25/2028 (a)		63			63
Mortgage Capital Funding, Inc.
7.288% due 02/20/2027		256			265
Nationslink Funding Corp.
6.888% due 05/10/2007		2,750			2,861
Ocwen Residential MBS Corp.
6.842% due 06/25/2039 (a)		1,060			836
Prudential Securities Secured Financing Corp.
3.525% due 05/25/2022 (a)		647			651
Residential Asset Mortgage Products, Inc.
7.000% due 06/25/2032		85			85
Residential Asset Securitization Trust
3.440% due 10/25/2018 (a)		495			494
Residential Funding Mortgage Securities I, Inc.
3.490% due 07/25/2018 (a)		394			395
6.500% due 03/25/2032		15			15
Residential Funding Securities Corp.
5.682% due 11/25/2032 (a)		451			450
RMF Commercial Mortgage Pass-Through Certificates
6.715% due 01/15/2019		1			1
Rural Housing Trust
8.330% due 04/01/2026		57			57
SACO I, Inc.
4.521% due 11/25/2033		1,930			1,906
3.560% due 10/25/2034 (a)		1,606			1,611
3.790% due 10/25/2034 (a)		3,000			2,956
Salomon Brothers Mortgage Securities VII, Inc.
8.500% due 11/25/2024 (a)		849			916
4.126% due 09/25/2033 (a)		129			127
Sears Mortgage Securities
9.500% due 11/15/2010		26			28
Securitized Asset Sales, Inc.
5.216% due 06/25/2023 (a)		150			152
Starwood Commercial Mortgage Trust
6.920% due 02/03/2009		1,000			1,085
Structured Adjustable Rate Mortgage Loan Trust
3.580% due 06/25/2034 (a)		2,000			2,010
Structured Asset Mortgage Investments, Inc.
6.750% due 05/02/2030		194			194
Structured Asset Securities Corp.
6.500% due 10/25/2031 (a)		242			243
3.503% due 02/25/2032 (a)		58			58
5.699% due 06/25/2032 (a)		97			97
3.590% due 07/25/2032 (a)		66			66
7.000% due 11/25/2032		40			41
3.380% due 01/25/2033 (a)		22			22
4.140% due 01/25/2033 (a)		1,000			1,002
Travelers Mortgage Services, Inc.
4.169% due 09/25/2018		96			96
Washington Mutual Mortgage Securities Corp.
4.816% due 10/25/2032 (a)		72			73
5.131% due 10/25/2032 (a)		87			87
5.392% due 02/25/2033 (a)		466			467
4.209% due 08/25/2033 (a)		124			123
3.177% due 09/25/2033 (a)		220			217
3.650% due 02/27/2034 (a)		39			39
3.954% due 07/25/2034 (a)		470			465
3.454% due 12/19/2039 (a)		2,211			2,121
3.387% due 12/25/2040 (a)		1,125			1,123
3.336% due 11/25/2041 (a)		1,652			1,658
3.433% due 11/25/2041 (a)		72			72
3.747% due 06/25/2042 (a)		251			254
3.482% due 07/25/2044 (a)		1,101			1,104
3.563% due 07/25/2044 (a)		881			887
Wells Fargo Mortgage-Backed Securities Trust
5.250% due 02/25/2018		1,250			1,261
4.705% due 02/25/2033 (a)		186			186
4.000% due 08/25/2034		410			409
Total Mortgage-Backed Securities (Cost $78,378)					78,669
ASSET-BACKED SECURITIES 93.0%
ABFS Mortgage Loan Trust
6.285% due 06/15/2033 (a)		2,000			2,044
ACE Securities Corp.
2.200% due 08/15/2030 (a)		2,062			2,051
Advanta Mortgage Loan Trust
7.750% due 10/25/2026 (a)		40			40
American Express Credit Account Master Trust
3.360% due 04/15/2008 (a)		71			71
3.400% due 11/15/2010 (a)		75			75
AmeriCredit Automobile Receivables Trust
4.410% due 11/12/2008		416			417
Ameriquest Mortgage Securities, Inc.
5.000% due 02/25/2006 (d)		63			1
5.000% due 06/25/2006 (d)		99			4
3.710% due 08/25/2032 (a)		2,000			2,006
3.410% due 06/25/2034 (a)		1,824			1,830
Amortizing Residential Collateral Trust
3.370% due 01/01/2032 (a)		178			178
3.360% due 06/25/2032 (a)		118			119
3.440% due 08/25/2032 (a)		40			40
AMRESCO Residential Securities Corp. Mortgage Loan Trust
3.600% due 03/25/2027 (a)		63			63
3.510% due 06/25/2027 (a)		27			27
3.645% due 06/25/2027 (a)		340			340
3.645% due 09/25/2027 (a)		705			705
3.585% due 06/25/2028 (a)		411			411
ARG Funding Corp.
3.540% due 03/20/2007 (a)		500			500
Asset-Backed Funding Certificates
3.220% due 06/25/2022 (a)		94			94
3.770% due 07/25/2033 (a)		2,743			2,781
3.410% due 07/25/2034 (a)		75			75
3.510% due 02/25/2035 (a)		2,000			2,001
Asset-Backed Securities Corp. Home Equity Loan Trust
3.350% due 06/15/2031 (a)		25			25
3.920% due 08/15/2032 (a)		1,765			1,770
5.000% due 01/15/2033 (d)		445			0
Associates Manufactured Housing Pass-Through Certificates
6.900% due 06/15/2027		119			120
Bayview Financial Acquisition Trust
4.040% due 06/01/2026 (a)		56			56
3.685% due 05/28/2044 (a)		2,086			2,100
Bayview Financial Asset Trust
3.250% due 11/25/2039 (a)		1,479			1,482
Bear Stearns Asset-Backed Securities, Inc.
5.000% due 08/25/2005 (d)		8,518			35
5.000% due 12/25/2005 (d)		7,425			152
5.000% due 03/25/2006 (d)		9,182			314
5.000% due 03/25/2007 (d)		10,000			794
3.690% due 10/25/2032 (a)		274			276
3.490% due 10/27/2032 (a)		184			184
3.290% due 09/25/2034 (a)		267			267
3.140% due 10/25/2034 (a)		1,177			1,180
3.840% due 11/25/2042 (a)		677			685
Capital One Master Trust
4.600% due 08/17/2009		105			106
Carmax Auto Owner Trust
2.360% due 10/15/2007		75			74
CDC Mortgage Capital Trust
3.400% due 08/25/2032 (a)		130			130
3.790% due 08/25/2032 (a)		2,784			2,790
Cendant Mortgage Corp.
6.000% due 10/21/2033		1,015			1,030
Centex Home Equity
4.469% due 02/25/2006 (d)		58			1
4.575% due 06/25/2006 (d)		32			1
3.240% due 04/25/2020 (a)		1,203			1,203
7.720% due 05/25/2029		41			41
6.250% due 04/25/2031		212			213
3.570% due 06/25/2034 (a)		30			30
5.160% due 09/25/2034		2,000			2,010
Champion Home Equity Loan Trust
3.350% due 03/25/2029 (a)		31			31
Charming Shoppes Master Trust
3.550% due 05/15/2014 (a)		1,000			998
Chase Credit Card Master Trust
4.060% due 10/15/2007 (a)		11,100			11,110
3.580% due 10/15/2009 (a)		50			50
Chase Funding Mortgage Loan Asset-Backed Certificates
4.537% due 09/25/2032		15			15
3.360% due 04/25/2033 (a)		44			44
Chase Manhattan Auto Owner Trust
2.570% due 02/16/2010		50			49
CIT Group Home Equity Loan Trust
3.740% due 12/25/2031 (a)		1,500			1,507
CIT Rv Trust
6.160% due 06/15/2013		137			138
Citibank Credit Card Issuance Trust
7.450% due 09/15/2007		450			454
2.700% due 01/15/2008		200			199
Citifinancial Mortgage Securities, Inc.
3.380% due 08/25/2033 (a)		160			160
Community Program Loan Trust
4.500% due 04/01/2029		500			480
Conseco Finance Securitizations Corp.
8.310% due 05/01/2032		2,211			1,882
6.770% due 09/01/2032		191			193
5.790% due 05/01/2033		3,000			3,027
Conseco Recreational Enthusiast Consumer Trust
5.550% due 08/15/2025		2,424			2,444
ContiMortgage Home Equity Loan Trust
7.280% due 04/25/2014		394			397
3.434% due 06/15/2025 (a)		82			83
Countrywide Asset-Backed Certificates
4.257% due 12/25/2017		2,000			1,998
3.613% due 04/25/2030		63			63
3.690% due 04/25/2032 (a)		4,537			4,546
3.590% due 09/25/2032 (a)		1,443			1,456
3.410% due 09/25/2033 (a)		369			370
3.390% due 11/25/2033 (a)		179			179
3.560% due 11/25/2033 (a)		1,242			1,244
5.125% due 01/25/2035		3,000			3,008
Credit-Based Asset Servicing & Securitization LLC
3.000% due 12/25/2005 (d)		136			1
4.500% due 12/25/2006 (d)		4,196			256
3.720% due 06/25/2032 (a)		2,000			2,012
2.900% due 09/25/2033 (a)		1,845			1,847
3.540% due 11/25/2033 (a)		1,478			1,486
CS First Boston Mortgage Securities Corp.
3.840% due 04/25/2032 (a)		1,000			1,001
3.340% due 01/25/2043 (a)		1,195			1,194
3.530% due 05/25/2044 (a)		1,296			1,294
Daimler Chrysler Auto Trust
3.780% due 02/06/2007		83			83
2.880% due 10/08/2009		781			773
Denver Arena Trust
6.940% due 11/15/2019		1,326			1,355
Embarcadero Aircraft Securitization Trust
2.207% due 08/15/2025 (c)		1,183			0
Equity One ABS, Inc.
8.015% due 01/25/2030		203			206
7.600% due 02/25/2032		1,927			1,952
3.340% due 07/25/2034 (a)		1,333			1,336
3.430% due 07/25/2034 (a)		50			51
First Alliance Mortgage Loan Trust
3.570% due 10/25/2024 (a)		49			49
3.300% due 09/20/2027 (a)		86			87
7.520% due 03/20/2031		78			78
First Franklin Mortgage Loan Trust Asset-Backed Certificates
6.000% due 12/25/2005 (d)		151			3
3.550% due 09/25/2030 (a)		1,966			1,967
3.470% due 10/25/2034 (a)		1,698			1,705
3.420% due 04/25/2035		3,000			2,998
First International Bank
3.504% due 03/15/2027 (a)		376			260
First USA Credit Card Master Trust
3.240% due 09/19/2008 (a)		200			200
Fleet Home Equity Loan Trust
3.340% due 01/20/2033 (a)		692			694
Ford Credit Auto Owner Trust
2.410% due 08/15/2007		250			247
GMAC Mortgage Corp. Loan Trust
3.390% due 03/15/2024 (a)		461			460
3.200% due 03/25/2035 (a)		250			250
Green Tree Financial Corp.
6.240% due 11/01/2016		6			6
5.760% due 11/01/2018		35			36
6.270% due 07/01/2021		471			478
6.450% due 02/01/2025		450			469
6.810% due 12/01/2027		3,285			3,448
6.860% due 03/15/2028		74			79
7.620% due 06/15/2028		233			253
6.870% due 02/01/2030		84			88
6.220% due 03/01/2030		147			150
6.180% due 04/01/2030		1,920			1,949
6.530% due 04/01/2030		1,373			1,415
Greenpoint Home Equity Loan Trust
3.490% due 04/15/2029 (a)		294			295
GSAMP Trust
3.640% due 06/25/2034 (a)		1,281			1,296
GSRPM Mortgage Loan Trust
3.470% due 09/25/2042 (a)		674			677
HFC Home Equity Loan Asset-Backed Certificates
3.390% due 04/20/2032 (a)		131			132
3.844% due 01/20/2034 (a)		2,550			2,551
Home Equity Asset Trust
3.390% due 11/25/2032 (a)		1			1
3.550% due 02/25/2033 (a)		197			198
3.500% due 03/25/2033 (a)		59			59
3.470% due 08/25/2033 (a)		664			667
4.190% due 12/25/2034 (a)		1,000			1,009
Household Mortgage Loan Trust
3.390% due 05/20/2032 (a)		196			196
IMC Home Equity Loan Trust
7.310% due 11/20/2028		172			176
Impac CMB Trust
3.400% due 01/25/2034 (a)		1,613			1,616
Indymac Home Equity Loan Asset-Backed Trust
5.040% due 12/25/2031 (a)		231			144
4.200% due 07/25/2034 (a)		1,000			1,015
Indymac Index Mortgage Loan Trust
3.410% due 01/25/2035 (a)		2,355			2,354
Irwin Home Equity Loan Trust
10.000% due 09/25/2005 (d)		1,097			18
7.960% due 04/25/2026		908			906
7.000% due 11/25/2028 (d)		8,731			221
3.990% due 02/25/2029 (a)		1,735			1,764
IXIS Real Estate Capital Trust
3.464% due 09/25/2035 (a)		3,000			3,001
Keystone Owner Trust
7.930% due 05/25/2025		96			97
7.400% due 01/25/2029		410			420
Long Beach Mortgage Loan Trust
3.440% due 03/25/2032 (a)		2			2
4.040% due 03/25/2032 (a)		1,500			1,517
4.740% due 03/25/2032 (a)		2,713			2,632
5.090% due 11/25/2032 (a)		3,500			3,568
3.410% due 06/25/2033 (a)		23			23
4.990% due 06/25/2033		3,500			3,572
3.410% due 07/25/2033 (a)		1,506			1,509
Los Angeles Arena Funding LLC
7.656% due 12/15/2026		3,222			3,559
Madison Avenue Manufactured Housing Contract
4.540% due 03/25/2032 (a)		1,500			1,441
Mellon Bank Home Equity Loan Trust
3.330% due 03/20/2027 (a)		142			142
Mellon Residential Funding Corp.
6.615% due 02/25/2021 (a)		1,585			1,608
Merrill Lynch Mortgage Investors, Inc.
3.850% due 09/25/2032 (a)		1,500			1,512
3.290% due 08/25/2035 (a)		207			208
Mid-State Trust
6.005% due 08/15/2037		1,706			1,781
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.230% due 08/25/2034 (a)		15			15
Morgan Stanley Dean Witter Capital I, Inc.
4.740% due 01/25/2032 (a)		1,768			1,777
3.420% due 07/25/2032 (a)		9			9
Mortgage Lenders Network Home Equity Loan Trust
6.605% due 07/25/2029		179			180
National City Auto Receivables Trust
2.110% due 07/15/2008		50			49
New Century Home Equity Loan Trust
3.370% due 07/25/2030 (a)		80			80
3.380% due 06/20/2031 (a)		338			338
4.190% due 06/20/2031 (a)		4,506			4,530
3.340% due 09/20/2031 (a)		57			57
Nextcard Credit Card Master Note Trust
4.870% due 12/15/2006 (a)		691			505
Novastar Home Equity Loan
3.480% due 05/25/2033 (a)		32			32
NPF XII, Inc.
2.270% due 03/01/2004 (c)		2,000			0
Oakwood Mortgage Investors, Inc.
3.595% due 03/15/2018 (a)		787			662
Onyx Acceptance Grantor Trust
4.070% due 04/15/2009		538			539
Option One Mortgage Loan Trust
3.370% due 05/25/2029 (a)		54			54
3.340% due 08/20/2030 (a)		38			39
3.590% due 12/25/2030 (a)		57			57
3.350% due 06/25/2031 (a)		131			132
3.610% due 08/25/2031 (a)		17			17
3.360% due 06/25/2032 (a)		14			14
3.660% due 10/12/2032 (a)		2,000			2,014
Origen Manufactured Housing
6.440% due 03/15/2032		575			582
7.650% due 03/15/2032 (a)		2,000			2,169
Porter Square CDO
4.110% due 08/15/2038 (a)		1,500			1,494
PPM America High Yield CBO Ltd.
3.340% due 07/23/2012		1,751			1,741
Quest Trust
4.790% due 07/20/2034 (a)		500			496
3.530% due 09/25/2034 (a)		347			347
Renaissance Home Equity Loan Trust
0.100% due 03/25/2006 (d)		3,056			28
3.890% due 08/25/2032 (a)		2,000			2,009
3.290% due 03/25/2033 (a)		251			251
3.710% due 03/25/2033 (a)		123			124
Residential Asset Mortgage Products, Inc.
3.240% due 06/25/2024 (a)		11			11
3.260% due 06/25/2024 (a)		1,302			1,303
3.230% due 09/25/2025 (a)		159			159
3.220% due 05/25/2027 (a)		464			465
3.260% due 05/25/2027 (a)		639			639
8.360% due 06/25/2030 (a)		376			375
3.340% due 01/25/2033 (a)		1,600			1,602
3.450% due 04/25/2033 (a)		31			31
3.340% due 02/25/2034 (a)		90			90
5.942% due 04/25/2034		2,000			2,079
5.900% due 07/25/2034		2,000			2,068
5.707% due 08/25/2034		3,000			3,076
Residential Asset Securities Corp.
3.230% due 09/25/2025 (a)		212			212
6.320% due 04/25/2030		32			32
6.415% due 07/25/2030		76			76
7.505% due 10/25/2030		232			235
3.320% due 09/25/2031 (a)		257			258
3.640% due 09/25/2031 (a)		836			839
7.175% due 12/25/2031		377			383
7.140% due 04/25/2032		1,145			1,176
3.410% due 05/25/2032 (a)		38			38
3.140% due 06/25/2033 (a)		218			218
3.520% due 03/25/2035 (a)		3,000			2,995
Residential Funding Mortgage Securities II, Inc.
11.000% due 12/25/2005 (d)		100			3
8.350% due 03/25/2025 (a)		333			336
3.380% due 01/25/2033 (a)		92			93
Salomon Brothers Mortgage Securities VII, Inc.
3.570% due 03/25/2028 (a)		704			704
4.000% due 04/25/2029 (a)		2,000			2,003
Saxon Asset Securities Trust
3.340% due 03/25/2032 (a)		33			34
3.390% due 06/25/2033 (a)		30			30
SLM Student Loan Trust
3.367% due 01/25/2010 (a)		30			30
3.181% due 10/25/2012 (a)		450			450
Specialty Underwriting & Residential Finance
0.650% due 06/25/2034 (d)		440			0
Structured Asset Securities Corp.
3.375% due 08/25/2031		163			152
3.590% due 05/25/2032 (a)		201			202
3.500% due 05/25/2034 (a)		1,018			1,022
Structured Settlements Fund
7.250% due 12/20/2008		463			482
Terwin Mortgage Trust
19.500% due 06/25/2033 (d)		1,800			133
1.010% due 06/25/2036		2,000			2,001
Truman Capital Mortgage Loan Trust
3.500% due 11/25/2031 (a)		72			72
4.240% due 11/25/2032 (a)		676			676
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		1,000			654
Union Acceptance Corp.
4.590% due 07/08/2008		186			187
USAA Auto Owner Trust
2.060% due 04/15/2008		50			49
Vanderbilt Mortgage Finance
5.840% due 02/07/2026		330			341
7.900% due 02/07/2026		1,199			1,294
Wells Fargo Home Equity Trust
3.260% due 02/25/2018 (a)		213			214
WFS Financial Owner Trust
3.450% due 08/20/2007 (a)		16			16
WMC Mortgage Loan Pass-Through Certificates
3.915% due 03/20/2029 (a)		198			199
World Financial Network Credit Card Master Trust
4.090% due 06/15/2009 (a)		2,000			2,035
Total Asset-Backed Securities (Cost $198,026)					195,283
SHORT-TERM INSTRUMENTS 4.7%
Commercial Paper 1.0%
UBS Finance Delaware LLC
3.390% due 07/01/2005		2,200			2,199
Repurchase Agreement 3.5%
State Street Bank
2.650% due 07/01/2005		7,318			7,318
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $7,464. Repurchase proceeds are $7,319.)
U.S. Treasury Bill 0.2%
2.947% due 09/15/2005 (g)		350			348
Total Short-Term Instruments (Cost $9,866)					9,865
Total Investments (b) (Cost $333,873)		158.1	%	$	332,008
Written Options (i) (Premiums $89)		(0.2	%)		(392	)
Other Assets and Liabilities (Net)		(57.9	%)		(121,588	)
Net Assets		100.0	%	$	210,028

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) As of June 30, 2005, portfolio securities with an aggregate market value of $29,919 were valued with reference to securities whose prices are more readily obtainable.

(c) Security is in default.

(d) Interest only security.

(e) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(f) The average amount of borrowings outstanding during the 3-month period ended June 30, 2005 was $73,036 at a weighted average interest rate of 1.23%. On June 30, 2005, securities valued at $119,334 were pledged as collateral for reverse repurchase agreements. The Fund is authorized to borrow funds and utilize leverage in amounts not exceeding thirty-three and one-third percent of its total assets. The Fund's ability to leverage creates an opportunity for increased net income, but at the same time poses special risks. If the income from the securities purchased with borrowed funds is not sufficient to cover the cost of borrowing, the net income of the Fund will be less than if borrowing had not been used, reducing the amount available for distribution to shareholders.

(g) Securities with an aggregate market value of $348 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar September Long Futures	09/2005	53	$	(126	)
Eurodollar December Long Futures	12/2005	50		16
			$	(110	)

(h) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	5.000	%	12/15/2015	$	5,900	$	38
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		5,700		31
UBS Warburg LLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		36,000		259
								$	328

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	KLIO Funding Corp. floating rate based on 3-month USD-LIBOR plus 1.800% due 04/23/2039	Sell	1.700	%	04/23/2039	$	1,000	$	0
Bear Stearns & Co., Inc.	Trinity CDO, Inc. floating rate based on 3-month USD-LIBOR plus 1.600% due 03/08/2040	Sell	1.700	%	03/08/2040		2,000		0
								$	0

(i) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	5.480	%**	04/03/2006	$	3,000	$	89	$	392

** The Portfolio will receive a floating rate based on 3-month USD-LIBOR.

(j) Restricted security as of June 30, 2005:

Issuer Description	Coupon (%)	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
Sears Mortgage Securities	9.500	11/01/2015	03/13/2002	$	26	$	28.00	0.01	%

See accompanying notes

Schedule of Investments

Emerging Markets Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BRAZIL 28.6%
Republic of Brazil
4.250% due 04/15/2006 (a)	$	32,360		$	32,394
11.500% due 03/12/2008		7,064			8,148
9.375% due 04/07/2008		2,450			2,701
4.313% due 04/15/2009 (a)		14,706			14,594
9.230% due 06/29/2009 (a)		38,425			44,621
14.500% due 10/15/2009		2,830			3,693
12.000% due 04/15/2010		460			561
9.250% due 10/22/2010		5,085			5,683
10.000% due 08/07/2011		15,200			17,457
11.000% due 01/11/2012		1,795			2,141
4.313% due 04/15/2012 (a)		34,866			33,733
10.250% due 06/17/2013		4,450			5,240
8.000% due 04/15/2014		25,519			26,303
10.500% due 07/14/2014		48,475			57,443
7.875% due 03/07/2015		300			307
8.875% due 10/14/2019		5,000			5,313
12.750% due 01/15/2020		150			206
4.250% due 04/15/2024 (a)		370			354
6.000% due 04/15/2024 (a)		1,043			1,020
8.875% due 04/15/2024		6,010			6,280
8.750% due 02/04/2025		500			518
10.125% due 05/15/2027		13,594			15,817
12.250% due 03/06/2030		10			13
8.250% due 01/20/2034		21,270			20,855
11.000% due 08/17/2040		121,337			146,120
Total Brazil (Cost $428,969)					451,515
CAYMAN ISLANDS 0.1%
Petrobras International Finance Co.
9.125% due 02/01/2007	$	1,075			1,158
7.750% due 09/15/2014		650			676
Total Cayman Islands (Cost $1,725)					1,834
CHILE 1.2%
Banco Santander Chile
3.720% due 12/09/2009 (a)	$	5,000			5,016
5.375% due 12/09/2014		5,000			5,172
Republic of Chile
5.625% due 07/23/2007		425			438
7.125% due 01/11/2012		4,596			5,295
5.500% due 01/15/2013		4,005			4,270
Total Chile (Cost $19,614)					20,191
CHINA 0.3%
Export-Import Bank of China
5.250% due 07/29/2014	$	4,550			4,728
Total China (Cost $4,517)					4,728
COLOMBIA 0.8%
Republic of Colombia
9.750% due 04/09/2011	$	833			955
10.000% due 01/23/2012		420			491
10.750% due 01/15/2013		1,320			1,612
10.375% due 01/28/2033		7,500			8,981
Total Colombia (Cost $11,408)					12,039
ECUADOR 3.0%
Republic of Ecuador
12.000% due 11/15/2012	$	600			567
8.000% due 08/15/2030 (a)		55,800			46,733
Total Ecuador (Cost $50,621)					47,300
EL SALVADOR 0.0%
Republic of El Salvador
8.500% due 07/25/2011	$	125			145
Total El Salvador (Cost $142)					145
GERMANY (e) 0.1%
Aries Vermoegensverwaltungs GmbH
5.410% due 10/25/2007 (a)	EC	250			319
Gazprom International S.A.
9.625% due 03/01/2013	$	1,000			1,229
Total Germany (Cost $1,424)					1,548
GUATEMALA 0.9%
Republic of Guatemala
9.250% due 08/01/2013	$	11,417			13,503
Total Guatemala (Cost $11,573)					13,503
HONG KONG 0.1%
Hong Kong Government International Bond
5.125% due 08/01/2014	$	1,150			1,204
Total Hong Kong (Cost $1,143)					1,204
INDIA 0.1%
Industrial Development Bank of India Ltd.
4.750% due 03/03/2009	$	1,000			988
Total India (Cost $993)					988
LUXEMBOURG (e) 0.6%
Gaz Capital S.A.
5875% due 16/01/2015	EC	4,400			5,376
8.625% due 04/28/2034	$	1,000			1,255
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,200			1,221
Tengizchevroil Finance Co.
6.124% due 11/15/2014		2,850			2,931
Total Luxembourg (Cost $10,573)					10,783
MALAYSIA 2.6%
Petroliam Nasional Bhd.
7.750% due 08/15/2015	$	8,722			10,754
Petronas Capital Ltd.
7.000% due 05/22/2012		5,685			6,484
7.875% due 05/22/2022		1,490			1,894
Republic of Malaysia
7.500% due 07/15/2011		15,859			18,507
TNB Capital L Ltd.
5.250% due 05/05/2015		3,300			3,378
Total Malaysia (Cost $39,147)					41,017
MEXICO 15.8%
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014 (a)	$	3,280			3,350
Grupo Transportacion Ferroviaria Mexicana S.A.
9.375% due 05/01/2012		1,000			1,045
Pemex Project Funding Master Trust
7.875% due 02/01/2009		550			602
4.710% due 06/15/2010 (a)		3,000			3,102
9.125% due 10/13/2010		570			669
8.000% due 11/15/2011		11,955			13,611
7.375% due 12/15/2014		6,261			7,037
9.250% due 03/30/2018		6,455			8,328
8.625% due 02/01/2022		8,828			10,903
9.500% due 09/15/2027		6,565			8,600
United Mexican States
8.625% due 03/12/2008		1,715			1,904
10.375% due 02/17/2009		128			153
9.875% due 02/01/2010		370			448
8.375% due 01/14/2011		5,655			6,597
7.500% due 01/14/2012		19,009			21,604
6.375% due 01/16/2013		23,440			25,221
5.875% due 01/15/2014		6,000			6,276
6.625% due 03/03/2015		48,600			53,606
11.375% due 09/15/2016		310			461
8.125% due 12/30/2019		23,716			29,171
8.000% due 09/24/2022		1,615			1,982
11.500% due 05/15/2026		3,000			4,823
8.300% due 08/15/2031		20,432			25,489
7.500% due 04/08/2033		7,000			8,050
6.750% due 09/27/2034		3,000			3,188
United Mexican States Value Recovery Right
0.000% due 06/30/2006 (a)		68,250			1,757
0.000% due 06/30/2007 (a)		90,175			2,164
Total Mexico (Cost $233,336)					250,141
MOROCCO 0.1%
Kingdom of Morocco
2.563% due 01/01/2009 (a)	$	912			903
Total Morocco (Cost $876)					903
PANAMA 4.8%
Republic of Panama
8.250% due 04/22/2008	$	150			164
9.625% due 02/08/2011		425			510
9.375% due 07/23/2012		12,321			14,970
7.250% due 03/15/2015		1,950			2,129
10.750% due 05/15/2020		1,665			2,264
9.375% due 01/16/2023		36,455			45,204
8.875% due 09/30/2027		2,966			3,552
9.375% due 04/01/2029		5,008			6,222
Total Panama (Cost $65,279)					75,015
PERU 5.3%
Republic of Peru
9.125% due 01/15/2008	$	9,547			10,597
9.125% due 02/21/2012		54,961			64,579
9.875% due 02/06/2015		175			217
5.000% due 03/07/2017 (a)		9,424			9,028
Total Peru (Cost $77,412)					84,421
RUSSIA 21.0%
Russian Federation
8.750% due 07/24/2005	$	28,663			28,769
8.250% due 03/31/2010 (a)		32,800			35,869
11.000% due 07/24/2018		1,000			1,498
12.750% due 06/24/2028		500			906
5.000% due 03/31/2030 (a)		235,906			263,979
Total Russia (Cost $328,326)					331,021
SOUTH AFRICA (e) 3.0%
Republic of South Africa
8.375% due 10/17/2006	$	1,000			1,053
9.125% due 05/19/2009		2,750			3,197
5.250% due 05/16/2013	EC	31,352			41,742
8.500% due 06/23/2017	$	631			821
Total South Africa (Cost $41,075)					46,813
TUNISIA (e) 3.4%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EC	6,169			8,731
4.750% due 04/07/2011		450			585
7.375% due 04/25/2012	$	34,064			39,344
8.250% due 09/19/2027		4,200			5,397
Total Tunisia (Cost $48,813)					54,057
UKRAINE 3.4%
Republic of Ukraine
11.000% due 03/15/2007	$	4,602			4,867
6.365% due 08/05/2009 (a)		15,995			17,319
6.875% due 03/04/2011		14,170			14,992
7.650% due 06/11/2013		15,138			16,732
Total Ukraine (Cost $51,532)					53,910
UNITED STATES 2.5%
Corporate Bonds & Notes 0.1%
Pemex Project Funding Master Trust
5.750% due 12/15/2015	$	900			900
					1,945
U.S. Treasury Obligations 2.4%
U.S. Treasury Bonds
7.875% due 02/15/2021		1,400			1,982
6.250% due 08/15/2023		75			94
U.S. Treasury Notes
4.875% due 02/15/2012		26,300			27,940
4.125% due 05/15/2015		8,400			8,525
					38,541
Total United States (Cost $38,653)					39,441
VENEZUELA 0.6%
Republic of Venezuela
5.375% due 08/07/2010	$	750			701
4.150% due 04/20/2011 (a)		1,900			1,737
10.750% due 09/19/2013		2,810			3,296
8.500% due 10/08/2014		2,000			2,082
0.000% due 04/15/2020 (a)		5			102
9.250% due 09/15/2027		1,340			1,408
Total Venezuela (Cost $9,138)					9,326
SHORT-TERM INSTRUMENTS 18.7%
Commercial Paper 18.4%
Bank of Ireland
3.190% due 08/23/2005	$	34,800			34,637
CDC IXIS Commercial Paper, Inc.
3.180% due 08/19/2005		43,100			42,913
Fannie Mae
2.980% due 07/01/2005		22,300			22,300
3.010% due 08/01/2005		6,500			6,483
3.205% due 09/07/2005		7,100			7,054
Freddie Mac
2.963% due 08/01/2005		43,400			43,285
National Australia Funding, Inc.
3.030% due 07/01/2005		1,200			1,200
Rabobank USA Financial Corp.
3.370% due 07/01/2005		8,500			8,500
3.160% due 08/08/2005		36,000			35,880
Skandinaviska Enskilda Banken AB (SEB)
3.100% due 07/18/2005		34,500			34,450
3.170% due 08/16/2005		5,600			5,577
TotalFinaElf Capital S.A.
3.105% due 07/11/2005		900			899
UBS Finance Delaware LLC
3.070% due 07/08/2005		400			400
3.065% due 07/11/2005		4,600			4,596
3.105% due 07/11/2005		600			600
3.115% due 07/25/2005		100			100
3.165% due 08/30/2005		42,500			42,260
3.230% due 09/19/2005		300			298
					291,432
Repurchase Agreement 0.2%
State Street Bank
2.650% due 07/01/2005		3,475			3,475
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $3,549. Repurchase proceeds are $3,475.)
U.S. Treasury Bills 0.1%
2.937% due 09/01/2005-09/15/2005 (b)(c)		1,255			1,246
Total Short-Term Instruments (Cost $296,173)					296,153
Total Investments (Cost $1,772,462)		117.0	%	$	1,847,996
Other Assets and Liabilities (Net)		(17.0	%)		(268,932	)
Net Assets		100.0	%	$	1,579,064

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(c) Securities with an aggregate market value of $1,246 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Euro-Bund 10-Year Note Long Futures	09/2005	200	$	261
U.S. Treasury 10-Year Note Short Futures	09/2005	8		(5	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	93		1
			$	257

(d) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.800	%	11/15/2013	$	9,500	$	969
Credit Suisse First Boston	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.550	%	09/07/2005		200		0
Credit Suisse First Boston	Federative Republic of Brazil 10.125% due 05/15/2027	Sell	8.250	%	03/11/2009		30,000		6,395
Credit Suisse First Boston	United Mexican States 11.500% due 05/15/2026	Sell	2.800	%	01/16/2013		6,000		649
Goldman Sachs & Co.	Federative Republic of Brazil 14.500% due 10/15/2009	Sell	27.750	%	11/04/2007		3,650		2,262
Goldman Sachs & Co.	United Mexican States 11.500% due 05/15/2026	Sell	2.450	%	04/08/2013		5,300		423
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	05/20/2007		50		0
J.P. Morgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		3,600		131
J.P. Morgan Chase & Co.	United Mexican States 11.500% due 05/15/2026	Sell	2.840	%	01/04/2013		18,000		2,018
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.320	%	01/21/2014		10,700		823
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.480	%	08/20/2005		520		0
Lehman Brothers, Inc.	Republic of Philippines 8.250% due 01/15/2014	Buy	2.850	%	03/20/2008		5,000		(40	)
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.740	%	11/18/2013		10,000		978
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.310	%	01/21/2014		1,350		103
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	1.280	%	02/20/2009		3,100		72
Morgan Stanley Dean Witter & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		7,800		269
								$	15,052

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.020	%	10/03/2005	BR	30,100	$	(26	)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.150	%	10/03/2005		15,450		(9	)
								$	(35	)

(e) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	2,673	07/2005	$	151	$	0		$	151
Buy		38,234	08/2005		2,115		0			2,115
Sell		30,790	08/2005		0		(1,198	)		(1,198	)
Buy	CP	1,103,079	08/2005		4		(1	)		3
Buy	CY	23,884	09/2005		0		(51	)		(51	)
Sell	EC	46,590	07/2005		78		0			78
Buy		433	08/2005		0		(1	)		(1	)
Buy	JY	787,404	07/2005		0		(289	)		(289	)
Buy	KW	2,039,700	07/2005		0		(70	)		(70	)
Buy		1,164,500	08/2005		0		(32	)		(32	)
Buy	MP	21,219	08/2005		52		0			52
Buy	PN	5,724	08/2005		2		0			2
Buy	PZ	19,520	08/2005		38		(30	)		8
Buy	RP	57,864	09/2005		2		0			2
Buy		1,744	11/2005		0		0			0
Buy	RR	28,624	07/2005		0		(33	)		(33	)
Buy		164,914	08/2005		0		(87	)		(87	)
Buy	S$	1,761	07/2005		0		(27	)		(27	)
Buy		2,142	08/2005		0		(23	)		(23	)
Buy	SR	27,547	08/2005		117		(47	)		70
Buy	SV	203,760	08/2005		6		(66	)		(60	)
Buy	T$	55,167	08/2005		0		(33	)		(33	)
				$	2,565	$	(1,988	)	$	577

See accompanying notes

Schedule of Investments

Developing Local Markets Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
SHORT-TERM INSTRUMENTS 100.0%
Commercial Paper 84.4%
Bank of America N.A.
3.010% due 07/07/2005	$	300		$	300
Bank of Ireland
3.180% due 08/22/2005		3,500			3,484
Barclays U.S. Funding Corp.
3.195% due 08/24/2005		2,100			2,090
3.290% due 09/06/2005		1,700			1,689
CBA (de) Finance
3.020% due 07/08/2005		1,100			1,099
3.040% due 07/12/2005		1,400			1,399
3.140% due 08/08/2005		1,400			1,395
3.160% due 08/08/2005		100			100
CDC IXIS Commercial Paper, Inc.
3.080% due 07/19/2005		1,800			1,797
Danske Corp.
3.110% due 08/05/2005		500			499
3.225% due 08/31/2005		500			497
3.250% due 09/07/2005		100			99
3.250% due 09/20/2005		700			695
Den Norske Bank ASA
3.180% due 08/22/2005		100			100
3.260% due 09/06/2005		100			99
3.300% due 09/14/2005		2,700			2,681
3.280% due 09/29/2005		1,200			1,190
Dexia Delaware LLC
3.000% due 07/05/2005		100			100
3.235% due 08/12/2005		3,700			3,686
Fannie Mae
2.967% due 07/01/2005		400			400
2.944% due 07/06/2005		100			100
2.955% due 07/06/2005		200			200
2.785% due 07/13/2005		1,900			1,898
2.867% due 07/13/2005		100			100
2.970% due 07/18/2005		200			200
2.988% due 07/20/2005		1,500			1,498
2.971% due 07/27/2005		300			299
3.005% due 07/27/2005		200			200
3.023% due 08/03/2005		200			199
3.120% due 08/24/2005		100			100
3.121% due 08/24/2005		1,700			1,692
3.143% due 08/31/2005		2,200			2,187
3.172% due 08/31/2005		3,500			3,480
3.191% due 09/07/2005		1,500			1,490
3.205% due 09/07/2005		100			99
Federal Home Loan Bank
2.963% due 07/01/2005		3,800			3,800
3.030% due 08/08/2005		3,500			3,489
3.225% due 09/09/2005		3,600			3,576
ForeningsSparbanken AB
2.980% due 07/01/2005		100			100
3.120% due 08/03/2005		1,900			1,895
Fortis Funding LLC
3.090% due 07/27/2005		2,000			1,996
Freddie Mac
2.950% due 07/05/2005		100			100
2.890% due 07/12/2005		600			599
2.872% due 07/26/2005		2,600			2,595
3.020% due 08/02/2005		400			399
3.002% due 08/09/2005		2,900			2,890
3.150% due 08/30/2005		500			497
3.175% due 09/06/2005		1,200			1,192
3.190% due 09/06/2005		400			397
3.250% due 09/13/2005		3,600			3,575
General Electric Capital Corp.
3.090% due 07/25/2005		1,000			998
3.270% due 09/07/2005		100			99
3.260% due 09/22/2005		2,600			2,580
HBOS Treasury Services PLC
3.030% due 07/11/2005		100			100
3.100% due 07/28/2005		2,400			2,394
3.160% due 08/10/2005		100			100
3.195% due 08/24/2005		300			299
3.255% due 09/07/2005		600			596
ING U.S. Funding LLC
3.030% due 07/08/2005		900			899
3.090% due 07/26/2005		2,200			2,195
3.260% due 09/01/2005		400			398
National Australia Funding, Inc.
3.030% due 07/01/2005		3,500			3,500
Nordea North America, Inc.
3.120% due 08/03/2005		3,500			3,490
3.205% due 08/26/2005		400			398
Rabobank USA Financial Corp.
3.360% due 07/01/2005		3,800			3,800
3.160% due 08/08/2005		200			199
3.360% due 10/17/2005		100			99
Royal Bank of Scotland PLC
3.085% due 07/15/2005		400			400
3.220% due 08/15/2005		300			299
3.230% due 09/01/2005		3,400			3,380
Skandinaviska Enskilda Banken AB (SEB)
3.100% due 07/18/2005		2,400			2,396
3.170% due 08/18/2005		1,100			1,095
Stadshypoket Delaware, Inc.
3.115% due 07/25/2005		3,500			3,493
Statens Bostadsfin Bank
3.180% due 08/16/2005		3,500			3,486
Svenska Handelsbanken, Inc.
3.050% due 07/20/2005		3,400			3,395
3.155% due 08/03/2005		400			399
TotalFinaElf Capital S.A.
3.105% due 07/11/2005		400			400
3.150% due 08/08/2005		3,600			3,588
Toyota Motor Credit Corp.
3.020% due 07/11/2005		3,400			3,397
UBS Finance Delaware LLC
3.070% due 07/08/2005		500			500
3.065% due 07/11/2005		700			699
3.105% due 07/11/2005		100			100
2.975% due 07/14/2005		500			499
3.165% due 08/30/2005		800			795
3.230% due 09/19/2005		1,300			1,290
Westpac Capital Corp.
3.010% due 07/08/2005		700			700
Westpac Trust Securities NZ Ltd. London
3.150% due 08/11/2005		2,700			2,690
3.260% due 09/07/2005		600			596
					119,982
Repurchase Agreements 15.6%
Credit Suisse First Boston
2.700% due 07/01/2005		22,100			22,100
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 3.500% due 08/15/2009 valued at $22,609. Repurchase proceeds are $22,102.)
State Street Bank
2.650% due 07/01/2005		144			144
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $150. Repurchase proceeds are $144.)
					22,244
Total Short-Term Instruments (Cost $142,237)					142,226
Total Investments (Cost $142,237)		100.0	%	$	142,226
Other Assets and Liabilities (Net)		(0.0	%)		(60	)
Net Assets		100.0	%	$	142,166

Notes to Schedule of Investments (amounts in thousands):

(a) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.020	%	10/03/2005	BR	2,400	$	(2	)
Goldman Sachs & Co.	BR-CDI-Compounded	Pay	19.150	%	10/03/2005		1,000		(1	)
								$	(3	)

(b) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation)
Buy	BR	16,958	08/2005	$	1,082	$	0		$	1,082
Sell		7,035	08/2005		0		(227	)		(227	)
Buy		18,733	11/2005		699		0			699
Sell		4,135	11/2005		0		(40	)		(40	)
Buy	CK	30,052	08/2005		0		(99	)		(99	)
Buy		85,153	11/2005		0		(189	)		(189	)
Buy	CO	660,924	08/2005		7		0			7
Buy		2,754,883	11/2005		17		0			17
Buy	CP	1,497,659	08/2005		7		(13	)		(6	)
Buy		2,524,044	11/2005		55		0			55
Buy	CY	10,737	08/2005		0		(22	)		(22	)
Buy		10,828	11/2005		0		(9	)		(9	)
Buy	H$	7,000	08/2005		0		(1	)		(1	)
Buy		13,270	11/2005		0		(3	)		(3	)
Buy	IS	7,464	11/2005		0		(21	)		(21	)
Buy	KW	3,052,717	08/2005		0		(38	)		(38	)
Buy		235,000	09/2005		0		(5	)		(5	)
Buy		6,351,116	11/2005		0		(185	)		(185	)
Buy	MP	48,088	08/2005		251		0			251
Buy		108,211	11/2005		344		0			344
Buy	PN	12,347	08/2005		24		0			24
Buy		12,820	11/2005		10		0			10
Buy	PZ	15,483	08/2005		4		(196	)		(192	)
Buy		2,218	09/2005		0		(3	)		(3	)
Buy		32,618	11/2005		1		(25	)		(24	)
Buy	RP	53,506	08/2005		10		0			10
Buy		181,093	11/2005		29		0			29
Buy	RR	110,299	08/2005		0		(94	)		(94	)
Buy		14,168	09/2005		0		(2	)		(2	)
Buy		196,019	11/2005		0		(218	)		(218	)
Buy	S$	7,355	08/2005		0		(139	)		(139	)
Buy		200	09/2005		0		(1	)		(1	)
Buy		16,069	11/2005		0		(266	)		(266	)
Buy	SR	17,050	08/2005		20		(171	)		(151	)
Buy		25,779	11/2005		4		(277	)		(273	)
Buy	SV	81,922	08/2005		1		(209	)		(208	)
Buy		147,248	11/2005		0		(165	)		(165	)
Buy	T$	64,796	08/2005		0		(19	)		(19	)
Buy		156,694	11/2005		0		(92	)		(92	)
Buy	TB	40,564	08/2005		0		(75	)		(75	)
Buy		114,286	11/2005		0		(121	)		(121	)
Buy	TL	1,861	08/2005		63		0			63
Buy		5,517	11/2005		232		0			232
				$	2,860	$	(2,925	)	$	(65	)

See accompanying notes

Schedule of Investments

High Yield Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 2.3%
Centennial Communications
5.570% due 01/20/2011 (a)	$	29		$	30
5.630% due 01/20/2011 (a)		126			128
5.770% due 01/20/2011 (a)		42			43
5.630% due 02/09/2011 (a)		378			383
5.740% due 02/09/2011 (a)		420			426
El Paso Corp.
2.350% due 11/22/2009 (a)		375			378
6.125% due 11/22/2009 (a)		618			622
General Growth Properties
5.370% due 11/12/2007 (a)		966			973
5.580% due 11/12/2008 (a)		498			502
Goodyear Tire & Rubber Co.
3.000% due 04/01/2010 (a)		1,000			1,000
Headwaters, Inc.
5.400% due 04/30/2011 (a)		719			725
PanAmSat Corp.
5.000% due 08/20/2009 (a)		189			191
5.090% due 08/20/2009 (a)		85			86
7.000% due 08/20/2009 (a)		254			257
Qwest Corp.
7.934% due 06/30/2007 (a)		382			394
Warner ChilCott Co., Inc.
1.000% due 01/18/2012 (a)		308			309
5.584% due 01/18/2012 (a)		321			323
6.010% due 01/18/2012 (a)		254			254
Warner ChilCott Holdings Co. III Ltd.
6.010% due 01/18/2012 (a)		117			118
Total Bank Loan Obligations (Cost $7,124)					7,142
CORPORATE BONDS & NOTES 91.4%
Banking & Finance 17.6%
AES Red Oak LLC
8.540% due 11/30/2019		771			864
Affinia Group, Inc.
9.000% due 11/30/2014		775			655
Arvin Capital I
9.500% due 02/01/2027		560			577
BCP Crystal US Holdings Corp.
9.625% due 06/15/2014		1,556			1,750
Bluewater Finance Ltd.
10.250% due 02/15/2012		1,750			1,881
Bombardier Capital, Inc.
7.090% due 03/30/2007 (f)		1,000			1,016
Bowater Canada Finance
7.950% due 11/15/2011		690			734
Consolidated Communications Holdings, Inc.
9.750% due 04/01/2012		500			526
Dow Jones CDX High Yield Index
8.000% due 06/29/2010		1,000			1,017
8.250% due 06/29/2010		6,560			6,593
Eircom Funding
8.250% due 08/15/2013		285			311
Ferrellgas Escrow LLC
6.750% due 05/01/2014		200			194
Ford Motor Credit Co.
7.375% due 10/28/2009		160			156
7.375% due 02/01/2011		3,115			3,038
Forest City Enterprises, Inc.
7.625% due 06/01/2015		500			537
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011		2,325			2,511
General Motors Acceptance Corp.
7.250% due 03/02/2011		675			634
6.000% due 04/01/2011		887			782
6.875% due 09/15/2011		850			786
6.875% due 08/28/2012		1,075			985
6.750% due 12/01/2014		1,275			1,143
Homer City Funding LLC
8.734% due 10/01/2026		298			350
JET Equipment Trust
10.000% due 06/15/2012 (b)		600			396
7.630% due 08/15/2012 (b)		403			250
JSG Funding PLC
9.625% due 10/01/2012		2,875			2,889
K&F Acquisition, Inc.
7.750% due 11/15/2014		800			822
Kraton Polymers LLC
8.125% due 01/15/2014		1,050			1,016
Qwest Capital Funding, Inc.
7.900% due 08/15/2010		1,525			1,525
7.250% due 02/15/2011		1,875			1,805
Refco Finance Holdings LLC
9.000% due 08/01/2012		890			948
Rotech Healthcare, Inc.
9.500% due 04/01/2012		1,745			1,876
Standard Aero Holdings, Inc.
8.250% due 09/01/2014		675			715
Stone Container Finance
7.375% due 07/15/2014		850			803
Targeted Return Index Securities Trust
7.913% due 08/01/2015 (a)		9,700			10,263
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		200			194
UGS Corp.
10.000% due 06/01/2012		465			518
Universal City Development Partners
11.750% due 04/01/2010		1,287			1,483
Universal City Florida Holding Co.
8.375% due 05/01/2010		100			105
Ventas Realty LP
8.750% due 05/01/2009		1,575			1,748
					54,396
Industrials 55.0%
Abitibi-Consolidated, Inc.
6.000% due 06/20/2013		825			763
8.375% due 04/01/2015		1,925			1,973
8.850% due 08/01/2030		400			385
Aearo Co.
8.250% due 04/15/2012		400			402
AES Ironwood LLC
8.857% due 11/30/2025		828			942
Ahold Finance USA, Inc.
8.250% due 07/15/2010		405			448
Airgas, Inc.
6.250% due 07/15/2014		900			916
Alderwoods Group, Inc.
7.750% due 09/15/2012		1,625			1,733
Alliance One International, Inc.
11.000% due 05/15/2012		690			714
Allied Waste North America, Inc.
6.500% due 11/15/2010		100			99
6.375% due 04/15/2011		1,000			965
9.250% due 09/01/2012		1,167			1,266
7.875% due 04/15/2013		1,300			1,336
7.250% due 03/15/2015		825			802
American Media Operations, Inc.
10.250% due 05/01/2009		1,008			1,013
AmeriGas Partners LP
8.830% due 04/19/2010		969			1,024
7.250% due 05/20/2015		1,000			1,045
Arco Chemical Co.
10.250% due 11/01/2010		250			276
Argo-Tech Corp.
9.250% due 06/01/2011		625			681
Armor Holdings, Inc.
8.250% due 08/15/2013		850			923
ArvinMeritor, Inc.
8.750% due 03/01/2012		1,105			1,157
Aviall, Inc.
7.625% due 07/01/2011		775			821
Bombardier Recreational Products, Inc.
8.375% due 12/15/2013		260			278
Bombardier, Inc.
6.750% due 05/01/2012		200			191
Bowater, Inc.
6.500% due 06/15/2013		500			496
Boyd Gaming Corp.
7.750% due 12/15/2012		550			591
Buhrmann US, Inc.
8.250% due 07/01/2014		1,000			1,005
CanWest Media, Inc.
8.000% due 09/15/2012		830			878
CCO Holdings LLC
8.750% due 11/15/2013		1,485			1,470
Cenveo Corp.
9.625% due 03/15/2012		425			461
Charter Communications Operating LLC
8.375% due 04/30/2014		1,750			1,750
Chesapeake Energy Corp.
7.500% due 06/15/2014		835			910
6.625% due 01/15/2016		1,200			1,245
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		950			952
Commonwealth Brands, Inc.
9.750% due 04/15/2008		1,050			1,110
10.625% due 09/01/2008		150			159
Communications & Power Industries, Inc.
8.000% due 02/01/2012		400			404
Community Health Systems, Inc.
10.000% due 03/13/2007		1,500			1,613
Continental Airlines, Inc.
7.056% due 09/15/2009		1,260			1,302
Crown European Holdings S.A.
9.500% due 03/01/2011		1,612			1,789
10.875% due 03/01/2013		140			165
CSC Holdings, Inc.
7.250% due 07/15/2008		250			252
8.125% due 08/15/2009		500			509
7.625% due 04/01/2011		2,375			2,357
6.750% due 04/15/2012		1,000			945
7.875% due 02/15/2018		600			594
DaVita, Inc.
6.625% due 03/15/2013		715			742
7.250% due 03/15/2015		1,840			1,900
Delhaize America, Inc.
9.000% due 04/15/2031		600			752
Delphi Corp.
6.500% due 05/01/2009		500			417
6.500% due 08/15/2013		600			448
Delta Air Lines, Inc.
7.379% due 05/18/2010		239			229
7.570% due 11/18/2010		400			377
Dex Media West LLC
8.500% due 08/15/2010		850			930
9.875% due 08/15/2013		575			658
DirecTV Holdings LLC
8.375% due 03/15/2013		855			951
6.375% due 06/15/2015		350			350
Dresser, Inc.
9.375% due 04/15/2011		1,710			1,808
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		725			758
Dura Operating Corp.
8.625% due 04/15/2012		776			702
Dynegy Danskammer & Roseton LLC
7.270% due 11/08/2010		1,175			1,175
7.670% due 11/08/2016		900			865
EchoStar DBS Corp.
5.750% due 10/01/2008		1,325			1,323
El Paso CGP Co.
7.625% due 09/01/2008		400			411
7.750% due 10/15/2035		250			235
El Paso Corp.
7.875% due 06/15/2012		1,675			1,734
7.375% due 12/15/2012		750			756
El Paso Production Holding Co.
7.750% due 06/01/2013		4,000			4,290
Encore Acquisition Co.
6.250% due 04/15/2014		415			422
Equistar Chemicals LP
10.125% due 09/01/2008		225			245
8.750% due 02/15/2009		1,115			1,179
Exco Resources, Inc.
7.250% due 01/15/2011		640			643
Extendicare Health Services, Inc.
9.500% due 07/01/2010		725			787
Ferrellgas Partners LP
6.990% due 08/01/2005 (f)		1,000			1,002
8.750% due 06/15/2012		1,250			1,256
Fisher Scientific International, Inc.
8.000% due 09/01/2013		1,045			1,199
Foundation PA Coal Co.
7.250% due 08/01/2014		390			411
Freescale Semiconductor, Inc.
5.891% due 07/15/2009 (a)		175			183
7.125% due 07/15/2014		475			513
Gaylord Entertainment Co.
8.000% due 11/15/2013		1,725			1,822
General Cable Corp.
9.500% due 11/15/2010		625			672
Georgia-Pacific Corp.
8.000% due 01/15/2024		2,250			2,599
7.250% due 06/01/2028		250			269
8.875% due 05/15/2031		1,100			1,367
Greif, Inc.
8.875% due 08/01/2012		760			821
Hanover Compressor Co.
8.625% due 12/15/2010		120			127
Hanover Equipment Trust
8.500% due 09/01/2008		1,100			1,149
HCA, Inc.
6.950% due 05/01/2012		1,000			1,065
6.250% due 02/15/2013		25			26
7.190% due 11/15/2015		300			325
7.690% due 06/15/2025		1,000			1,076
HealthSouth Corp.
8.375% due 10/01/2011 (b)		125			125
7.625% due 06/01/2012 (b)		3,325			3,242
Herbst Gaming, Inc.
7.000% due 11/15/2014		500			506
Horizon Lines LLC
9.000% due 11/01/2012		705			742
Ingles Markets, Inc.
8.875% due 12/01/2011		1,575			1,608
Insight Midwest LP
9.750% due 10/01/2009		417			433
10.500% due 11/01/2010		1,485			1,582
Invensys PLC
9.875% due 03/15/2011		765			734
ISP Chemco, Inc.
10.250% due 07/01/2011		1,140			1,248
ISP Holdings, Inc.
10.625% due 12/15/2009		200			216
ITT Corp.
7.375% due 11/15/2015		895			1,000
JC Penney Co., Inc.
7.650% due 08/15/2016		150			171
7.950% due 04/01/2017		25			29
7.125% due 11/15/2023		700			763
8.125% due 04/01/2027		400			424
7.400% due 04/01/2037		750			814
Jefferson Smurfit Corp.
7.500% due 06/01/2013		300			288
Johnsondiversey, Inc.
9.625% due 05/15/2012		400			408
K2, Inc.
7.375% due 07/01/2014		700			740
Kappa Beheer BV
10.625% due 07/15/2009		925			957
Kerr-McGee Corp.
6.950% due 07/01/2024		1,000			1,038
Legrand Holding S.A.
10.500% due 02/15/2013		70			80
Legrand S.A.
8.500% due 02/15/2025		870			1,057
Mandalay Resort Group
9.375% due 02/15/2010		145			163
7.625% due 07/15/2013		1,771			1,877
Mediacom Broadband LLC
11.000% due 07/15/2013		2,400			2,610
MGM Mirage, Inc.
6.000% due 10/01/2009		375			379
8.375% due 02/01/2011		1,110			1,215
Nalco Co.
7.750% due 11/15/2011		770			824
8.875% due 11/15/2013		600			647
National Nephrology Associates, Inc.
9.000% due 11/01/2011		550			620
Newpark Resources, Inc.
8.625% due 12/15/2007		1,084			1,079
Norampac, Inc.
6.750% due 06/01/2013		925			932
North American Energy Partners, Inc.
8.750% due 12/01/2011		625			541
Northwest Airlines Corp.
7.575% due 03/01/2019		420			424
Northwest Airlines, Inc.
6.810% due 02/01/2020		298			258
Novelis, Inc.
7.250% due 02/15/2015		1,350			1,362
Owens-Brockway Glass Container, Inc.
8.750% due 11/15/2012		1,175			1,301
8.250% due 05/15/2013		200			218
6.750% due 12/01/2014		400			407
PacifiCare Health Systems, Inc.
10.750% due 06/01/2009		248			274
Plains Exploration & Production Co.
7.125% due 06/15/2014		1,000			1,075
PQ Corp.
7.500% due 02/15/2013		150			148
Primedia, Inc.
8.638% due 05/15/2010 (a)		185			194
Psychiatric Solutions, Inc.
7.750% due 07/15/2015		200			200
Quebecor Media, Inc.
11.125% due 07/15/2011		1,320			1,473
Qwest Corp.
7.250% due 02/15/2011		2,410			2,344
8.875% due 03/15/2012		1,125			1,229
7.500% due 02/15/2014		425			404
7.200% due 11/10/2026		2,500			2,263
7.250% due 10/15/2035		500			446
Rayovac Corp.
8.500% due 10/01/2013		1,850			1,943
7.375% due 02/01/2015		200			195
Reddy Ice Group, Inc.
8.875% due 08/01/2011		925			1,031
RJ Reynolds Tobacco Holdings, Inc.
7.250% due 06/01/2012		700			716
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		600			599
Rogers Cable, Inc.
6.250% due 06/15/2013		150			150
6.750% due 03/15/2015		1,200			1,230
Roundy’s, Inc.
8.875% due 06/15/2012		1,517			1,570
Safety Kleen Services
9.250% due 06/01/2008 (b)		6,016			0
Seneca Gaming Corp.
7.250% due 05/01/2012		1,315			1,366
SESI LLC
8.875% due 05/15/2011		1,095			1,174
Sinclair Broadcast Group, Inc.
8.750% due 12/15/2011		775			818
Smurfit-Stone Container Enterprises, Inc.
8.375% due 07/01/2012		1,225			1,243
Southern Natural Gas Co.
7.350% due 02/15/2031		1,000			1,069
Station Casinos, Inc.
6.000% due 04/01/2012		1,205			1,229
6.500% due 02/01/2014		115			118
Suburban Propane Partners LP
6.875% due 12/15/2013		975			931
Superior Essex Communications
9.000% due 04/15/2012		775			771
Tenet Healthcare Corp.
6.500% due 06/01/2012		1,250			1,194
7.375% due 02/01/2013		25			25
9.875% due 07/01/2014		1,250			1,347
Tenneco Automotive, Inc.
10.250% due 07/15/2013		1,140			1,294
8.625% due 11/15/2014		775			783
Texas Industries, Inc.
7.250% due 07/15/2013		2,000			2,060
TransMontaigne, Inc.
9.125% due 06/01/2010		725			758
Triad Hospitals, Inc.
7.000% due 05/15/2012		1,150			1,205
7.000% due 11/15/2013		395			408
Trinity Industries, Inc.
6.500% due 03/15/2014		860			860
TRW Automotive, Inc.
9.375% due 02/15/2013		1,590			1,769
United Airlines, Inc.
7.730% due 07/01/2010		600			559
7.186% due 04/01/2011 (b)		586			561
7.783% due 01/01/2014		212			196
US Airways Group, Inc.
9.330% due 01/01/2006 (b)		148			67
9.625% due 09/01/2024 (b)		676			265
Vintage Petroleum, Inc.
7.875% due 05/15/2011		125			133
8.250% due 05/01/2012		565			616
VWR International, Inc.
6.875% due 04/15/2012		2,700			2,673
8.000% due 04/15/2014		500			479
Williams Cos., Inc.
7.875% due 09/01/2021		645			737
7.750% due 06/15/2031		4,055			4,491
8.750% due 03/15/2032		1,595			1,924
Wynn Las Vegas LLC
6.625% due 12/01/2014		2,350			2,297
Xerox Corp.
6.875% due 08/15/2011		450			479
7.625% due 06/15/2013		1,450			1,568
					170,092
Utilities 18.8%
AES Corp.
8.750% due 05/15/2013		2,125			2,385
American Cellular Corp.
10.000% due 08/01/2011		725			740
Cincinnati Bell, Inc.
7.250% due 07/15/2013		1,365			1,440
8.375% due 01/15/2014		1,520			1,566
7.000% due 02/15/2015		250			246
Citizens Communications Co.
6.250% due 01/15/2013		920			895
CMS Energy Corp.
8.900% due 07/15/2008		500			546
7.500% due 01/15/2009		1,450			1,533
7.750% due 08/01/2010		350			378
8.500% due 04/15/2011		350			392
El Paso Corp.
7.625% due 08/16/2007		1,500			1,526
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		545			580
Intelsat Bermuda Ltd.
7.805% due 01/15/2012 (a)		775			792
8.250% due 01/15/2013		465			482
IPALCO Enterprises, Inc.
8.625% due 11/14/2011		835			944
MCI, Inc.
8.735% due 05/01/2014		5,200			5,844
Midwest Generation LLC
8.560% due 01/02/2016		2,300			2,553
8.750% due 05/01/2034		3,050			3,431
MSW Energy Holdings LLC
7.375% due 09/01/2010		1,115			1,148
8.500% due 09/01/2010		185			197
Nevada Power Co.
6.500% due 04/15/2012		130			137
5.875% due 01/15/2015		980			990
New Skies Satellites NV
9.125% due 11/01/2012		600			599
Nextel Communications, Inc.
6.875% due 10/31/2013		3,560			3,823
7.375% due 08/01/2015		950			1,031
Northwestern Bell Telephone
6.250% due 01/01/2007		710			715
NorthWestern Corp.
5.875% due 11/01/2014		725			747
NRG Energy, Inc.
8.000% due 12/15/2013		1,308			1,387
PSEG Energy Holdings LLC
8.625% due 02/15/2008		100			107
10.000% due 10/01/2009		575			648
8.500% due 06/15/2011		3,395			3,718
Qwest Services Corp.
13.500% due 12/15/2010		500			580
7.500% due 02/15/2014		2,000			1,903
Reliant Energy, Inc.
9.250% due 07/15/2010		1,575			1,725
9.500% due 07/15/2013		500			558
6.750% due 12/15/2014		1,935			1,901
Rogers Wireless Communications, Inc.
7.250% due 12/15/2012		50			54
8.000% due 12/15/2012		970			1,050
6.375% due 03/01/2014		460			470
7.500% due 03/15/2015		575			628
Rural Cellular Corp.
8.250% due 03/15/2012		1,165			1,223
Sierra Pacific Power Co.
6.250% due 04/15/2012		350			361
South Point Energy
8.400% due 05/30/2012		1,786			1,696
Tenaska Alabama Partners LP
7.000% due 06/30/2021		300			306
Time Warner Telecom, Inc.
9.750% due 07/15/2008		350			354
10.125% due 02/01/2011		565			568
Triton PCS, Inc.
8.500% due 06/01/2013		285			264
TXU Corp.
6.500% due 11/15/2024		1,000			985
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (f)		1,851			2,028
					58,174
Total Corporate Bonds & Notes (Cost $276,824)					282,662
CONVERTIBLE BONDS & NOTES 0.3%
Industrials 0.3%
Dimon, Inc.
6.250% due 03/31/2007		950			962
Sinclair Broadcast Group, Inc.
4.875% due 07/15/2018 (a)		100			91
					1,053
Total Convertible Bonds & Notes (Cost $982)					1,053
MORTGAGE-BACKED SECURITIES 0.4%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		1,139			1,107
Total Mortgage-Backed Securities (Cost $749)					1,107
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 1.3%
JSG Holding PLC
11.500% due 10/01/2015	EC	860			833
Lighthouse International Co. S.A.
8.000% due 04/30/2014		1,965			2,464
Telenet Communications NV
9.000% due 12/15/2013		500			688
Total Foreign Currency-Denominated Issues (Cost $4,133)					3,985
		Shares
COMMON STOCKS 0.1%
Communications 0.1%
Dobson Communications Corp. (c)		62,536			266
Total Common Stocks (Cost $412)					266
CONVERTIBLE PREFERRED STOCK 0.1%
Dobson Communications Corp.
6.000% due 08/19/2016		1,600			191
Total Convertible Preferred Stock (Cost $267)					191
PREFERRED SECURITY 0.4%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		200			209
Riggs Capital Trust II
8.875% due 03/15/2027		1,000,000			1,155
Total Preferred Security (Cost $1,287)					1,364
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 2.7%
Commercial Paper 1.7%
Den Norske Bank ASA
3.255% due 09/26/2005	$	4,000			3,967
UBS Finance Delaware LLC
3.250% due 09/23/2005		1,400			1,389
					5,356
Repurchase Agreement 0.8%
State Street Bank
2.650% due 07/01/2005		2,407			2,407
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $2,460. Repurchase proceeds are $2,407.)
U.S. Treasury Bills 0.2%
2.931% due 09/01/2005-09/15/2005 (d)(g)		660			656
Total Short-Term Instruments (Cost $8,421)					8,419
Total Investments (e) (Cost $300,199)		99.0	%	$	306,189
Written Options (i)		(0.0	%)		(83	)
(Premiums $123)
Other Assets and Liabilities (Net)		1.0	%		3,051
Net Assets		100.0	%	$	309,157

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Non-income producing security.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) As of June 30, 2005, portfolio securities with an aggregate market value of $8,726 were valued with reference to securities whose prices are more readily obtainable.

(f) Restricted security as of June 30, 2005:

Issuer Description	Coupon %	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
Bombardier Capital, Inc.	7.090	03/30/2007	08/11/2003	$	1,005	$	1,016	0.32	%
Ferrellgas Partners LP	6.990	08/01/2005	04/30/2002		999		1,002	0.32
Wilmington Trust Co. - Tucson Electric	10.732	01/01/2013	12/08/2000		1,966		2,028	0.66
				$	3,970	$	4,046	1.30	%

(g) Securities with an aggregate market value of $656 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
Eurodollar March Short Futures	03/2006	6	$	1

(h) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/ Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.000	%	12/20/2005	$	1,000	$	6
Bank of America	AES Corp. 8.750% due 05/15/2013	Sell	1.500	%	12/20/2007		1,000		6
Bank of America	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	1.250	%	12/20/2007		1,000		4
Bear Stearns & Co., Inc.	MCI, Inc. 6.688% due 05/01/2009	Sell	1.750	%	09/20/2005		1,000		4
Bear Stearns & Co., Inc.	Bombardier, Inc. 6.750% due 05/01/2012	Sell	1.400	%	06/20/2006		1,500		1
Bear Stearns & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	0.820	%	12/20/2007		1,500		8
Credit Suisse First Boston	MCI, Inc. 7.735% due 05/01/2014	Sell	1.150	%	12/20/2005		1,000		7
Credit Suisse First Boston	Reliant Energy, Inc. 9.250% due 07/15/2010	Sell	3.000	%	12/20/2007		1,000		27
Goldman Sachs & Co.	HCA, Inc. 6.950% due 05/01/2012	Sell	0.750	%	12/20/2007		1,000		1
Goldman Sachs & Co.	Starwood Hotels & Resorts Worldwide, Inc. 7.875% 05/01/2012	Sell	1.100	%	12/20/2007		1,000		11
J.P. Morgan Chase & Co.	Electronic Data Systems Corp. 6.500% due 08/01/2013	Sell	1.300	%	12/20/2007		1,000		13
Lehman Brothers, Inc.	General Motors Corp. 7.100% due 03/15/2006	Sell	0.820	%	12/20/2005		1,000		(3	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY4 Index	Sell	3.600	%	06/20/2010		4,950		54
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 3.500% due 06/20/2006	Sell	3.500	%	06/20/2006		600		10
Wachovia Bank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.300	%	12/20/2005		1,500		8
Wachovia Bank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	1.200	%	03/20/2006		700		(5	)
Wachovia Bank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	0.970	%	03/20/2006		500		(4	)
								$	148

(i) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	07/22/2005	59	$	7	$	2
Call - CBOT U.S. Treasury Note September Futures		115.000	07/22/2005	14		3		1
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	167		42		23
Put - CBOT U.S. Treasury Bond September Futures		114.000	08/26/2005	55		22		13
Put - CBOT U.S. Treasury Note December Futures		110.000	11/22/2005	82		49		44
					$	123	$	83

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized (Depreciation)
Sell	EC	3,995	07/2005	$	0	$	0		$	0
Buy		649	08/2005		0		(2	)		(2	)
				$	0	$	(2	)	$	(2	)

See accompanying notes

Schedule of Investments

International Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
AUSTRALIA 0.2%
Crusade Global Trust
3.598% due 05/15/2021 (a)	$	1,149		$	1,150
Medallion Trust
3.360% due 07/12/2031 (a)		2,403			2,402
Superannuation Members Home Loans Global Fund
3.255% due 06/15/2026 (a)		99			99
Total Australia (Cost $3,676)					3,651
CAYMAN ISLANDS (f) 0.1%
Redwood Capital Ltd.
5.400% due 01/01/2006 (a)	$	3,700			3,696
SHL Corp. Ltd.
0.755% due 12/25/2024 (a)	JY	59,267			535
Total Cayman Islands (Cost $4,219)					4,231
CROATIA 0.1%
Republic of Croatia
3.813% due 07/31/2006 (a)	$	207			207
3.182% due 07/31/2010 (a)		1,500			1,502
Total Croatia (Cost $1,691)					1,709
FRANCE (f) 10.4%
Axa S.A.
3.750% due 01/01/2017	EC	1,357			2,266
French Treasury Note
5.000% due 07/12/2005		22,830			27,643
Republic of France
4.000% due 04/25/2014		115,000			149,598
5.750% due 10/25/2032		24,100			39,584
4.000% due 04/25/2055		42,500			54,825
Total France (Cost $269,605)					273,916
GERMANY (f) 8.9%
Republic of Germany
5.000% due 02/17/2006	EC	3,500			4,311
4.250% due 01/04/2014		1,500			1,987
5.625% due 01/04/2028		22,650			35,728
6.250% due 01/04/2030		22,700			39,023
5.500% due 01/04/2031		97,000			153,329
Total Germany (Cost $232,888)					234,378
IRELAND (f) 0.1%
Fennica PLC
2.396% due 05/20/2054 (a)	EC	2,300			2,786
Total Ireland (Cost $1,964)					2,786
ITALY (f) 0.6%
Findomestic Securitization Vehicle SRL
2.436% due 12/20/2008 (a)	EC	12,050			14,598
First Italian Auto Transaction
2.426% due 07/01/2008 (a)		62			75
Total Italy (Cost $10,624)					14,673
JAPAN (f) 7.9%
Government of Japan
1.800% due 06/20/2014	JY	21,620,000			207,808
Total Japan (Cost $215,362)					207,808
MEXICO 0.0%
United Mexican States
8.300% due 08/15/2031	$	900			1,123
Total Mexico (Cost $835)					1,123
NEW ZEALAND (f) 0.3%
Commonwealth of New Zealand
4.500% due 02/15/2016	N$	9,417			8,730
Total New Zealand (Cost $4,843)					8,730
SPAIN (f) 2.4%
Hipotebansa Mortgage Securitization Fund
2.263% due 07/18/2022 (a)	EC	4,818			5,678
Hipotebansa V
2.277% due 01/18/2018 (a)		1,454			1,719
Kingdom of Spain
5.750% due 07/30/2032		31,000			50,783
4.200% due 01/31/2037		3,000			3,965
Total Spain (Cost $60,950)					62,145
SUPRANATIONAL (f) 0.2%
European Investment Bank
5.500% due 12/07/2009	BP	2,300			4,314
Total Supranational (Cost $3,305)					4,314
TUNISIA (f) 0.1%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EC	1,800			2,547
7.375% due 04/25/2012	$	500			577
Total Tunisia (Cost $2,328)					3,124
UNITED KINGDOM (f) 1.6%
Bauhaus Securities Ltd.
2.464% due 10/30/2052 (a)	EC	9,774			11,861
Haus Ltd.
2.403% due 12/14/2037 (a)		14,846			17,628
Lloyds TSB Capital I
7.375% due 02/07/2049		5,250			7,836
United Kingdom Gilt
8.500% due 12/07/2005	BP	2,600			4,742
Total United Kingdom (Cost $30,871)					42,067
UNITED STATES (f) 2.4%
Asset-Backed Securities 0.0%
Advanta Mortgage Loan Trust
3.465% due 11/25/2029 (a)	$	46			46
Amortizing Residential Collateral Trust
3.350% due 09/25/2030 (a)		3			3
Argent Securities, Inc.
3.340% due 03/25/2034 (a)		120			120
Conseco Finance Corp.
3.180% due 10/15/2031 (a)		39			39
Merrill Lynch Mortgage Investors, Inc.
3.190% due 03/15/2025 (a)		48			48
Providian Home Equity Loan Trust
3.380% due 06/25/2025 (a)		14			14
					270
Corporate Bonds & Notes 0.4%
Kroger Co.
5.500% due 02/01/2013		100			104
Procter & Gamble Co.
1.500% due 12/07/2005	JY	1,000,000			9,073
					9,177
Mortgage-Backed Securities 0.0%
Bear Stearns Adjustable Rate Mortgage Trust
5.934% due 06/25/2032 (a)	$	28			28
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		435			440
Washington Mutual Mortgage Securities Corp.
3.273% due 12/25/2040 (a)		270			270
					738
U.S. Government Agencies 0.8%
Fannie Mae
6.000% due 12/01/2033		18			18
6.500% due 05/01/2028 - 11/01/2034 (b)		1,110			1,152
7.000% due 09/25/2023		218			230
8.800% due 01/25/2019		272			296
Freddie Mac
6.500% due 07/15/2028		4,784			4,973
Government National Mortgage Association
3.375% due 04/20/2022 - 06/20/2030 (a)(b)		7,021			7,136
3.750% due 08/20/2022 - 09/20/2026 (a)(b)		1,264			1,287
4.125% due 11/20/2022 - 11/20/2024 (a)(b)		1,828			1,863
4.375% due 03/20/2022 - 02/20/2025 (a)(b)		503			512
7.500% due 09/15/2025 - 12/15/2030 (b)		3,944			4,269
8.500% due 07/15/2008 - 07/15/2030 (b)		82			89
					21,825
U.S. Treasury Obligations 1.2%
U.S. Treasury Bond
6.000% due 02/15/2026		1,400			1,725
U.S. Treasury Notes
4.875% due 02/15/2012		23,000			24,434
4.125% due 05/15/2015		5,800			5,887
					32,046
Total United States (Cost $63,296)					64,056
SHORT-TERM INSTRUMENTS (f) 62.9%
Certificates of Deposit 5.5%
Citibank New York N.A.
3.360% due 09/19/2005	$	45,100			45,100
Nordea Bank Finland PLC
2.805% due 07/05/2005		50,000			50,000
Wells Fargo Bank, N.A.
3.270% due 07/15/2005		50,000			50,000
					145,100
Commercial Paper 32.1%
Bank of America, N.A.
3.275% due 08/09/2005		70,000			69,752
Barclays U.S. Funding Corp.
3.215% due 08/26/2005		53,800			53,531
CDC IXIS Commercial Paper, Inc.
3.180% due 08/19/2005		54,900			54,662
Fannie Mae
2.990% due 08/08/2005		1,100			1,097
3.250% due 09/14/2005		67,300			66,822
Federal Home Loan Bank
2.947% due 07/13/2005		192,000			191,803
3.210% due 07/27/2005		71,000			70,835
Freddie Mac
2.956% due 07/05/2005		200,000			199,931
Rabobank USA Financial Corp.
3.360% due 07/01/2005		51,000			51,000
Republic of Germany
1.010% due 07/13/2005		55,000			66,513
TotalFinaElf Capital S.A.
3.105% due 07/11/2005		17,100			17,085
UBS Finance Delaware LLC
3.105% due 07/11/2005		68,000			67,941
					844,459
Repurchase Agreements 7.7%
Credit Suisse First Boston
2.650% due 07/01/2005		200,000			200,000
(Dated 06/30/2005. Collateralized by Treasury Inflation Protected Securities 3.000% due 07/15/2012 valued at $221,020. Repurchase proceeds are $200,015.)
State Street Bank
2.650% due 07/01/2005		1,128			1,128
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $1,152. Repurchase proceeds are $1,128.)
					201,128
French Treasury Bill 9.5%
2.005% due 09/22/2005	EC	209,000			250,929
U.S. Treasury Bills 2.6%
2.953% due 09/01/2005-09/15/2005 (b)(c)(d)	$	67,955			67,476
Total Short-Term Instruments (Cost $1,580,869)					1,575,605
Total Investments (Cost $2,487,326)		95.2	%	$	2,504,316
Other Assets and Liabilities (Net)		4.8	%		125,062
Net Assets		100.0	%	$	2,629,378

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(c) Securities with an aggregate market value of $50,435 have been pledged as collateral for swap contracts at June 30, 2005.

(d) Securities with an aggregate market value of $3,930 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
Euro-Bund 10-Year Note Long Futures	09/2005	646	$	2,101
Government of Japan 10-Year Note Long Futures	09/2005	334		930
			$	3,031

(e) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	06/18/2034	BP	185,900	$	(11,380	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2032		35,675		(1,762	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		25,000		(1,658	)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	03/15/2032		4,700		(260	)
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.500	%	06/17/2015	EC	84,200		6,036
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	12/15/2014		31,500		3,197
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.500	%	06/17/2015		412,700		35,207
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2032		52,150		7,337
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		124,000		17,118
Lehman Brothers, Inc.	6-month EC-LIBOR	Receive	5.500	%	12/15/2031		8,500		(3,038	)
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Pay	4.500	%	06/17/2015		68,000		4,256
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		375,000		18,705
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	03/15/2032		28,800		4,130
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		80,000		4,562
J.P. Morgan Chase & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012	JY	9,520,000		(5,600	)
Lehman Brothers, Inc.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		30,000,000		(18,438	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	1.500	%	03/20/2012		18,980,000		(10,177	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		11,325,000		(6,557	)
Bank of America	3-month USD-LIBOR	Receive	3.000	%	12/17/2006	$	5,000		62
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	5.670	%	02/08/2006		10,400		(435	)
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	5.670	%	02/08/2006		25,200		931
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	6.790	%	02/15/2006		11,600		(897	)
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	5.710	%	07/11/2006		21,200		1,073
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		293,000		(752	)
								$	41,660

(f) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	BP	10,191	07/2005	$	0	$	(290	)	$	(290	)
Sell		5,770	07/2005		211		0			211
Buy	C$	5,854	07/2005		71		0			71
Buy	EC	16,679	07/2005		34		(3	)		31
Sell		60,958	07/2005		0		(61	)		(61	)
Sell		857,084	08/2005		1,836		(642	)		1,194
Sell	H$	1,369	08/2005		0		0			0
Buy	JY	62,653,193	07/2005		0		(18,022	)		(18,022	)
Sell		23,148,399	07/2005		5,133		0			5,133
Sell	N$	11,347	07/2005		205		0			205
Buy	SK	27,953	09/2005		0		(180	)		(180	)
				$	7,490	$	(19,198	)	$	(11,708	)

See accompanying notes

Schedule of Investments

Investment Grade Corporate Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 82.8%
Banking & Finance 26.4%
AFLAC, Inc.
6.500% due 04/15/2009	$	1,000		$	1,084
AIG SunAmerica Global Financing VII
5.850% due 08/01/2008		2,400			2,504
American International Group, Inc.
2.875% due 05/15/2008		1,000			962
Archstone-Smith Trust
7.900% due 02/15/2016		75			89
AvalonBay Communities, Inc.
6.125% due 11/01/2012		150			163
Barclays Bank PLC
6.860% due 12/15/2049 (a)		360			425
Barnett Capital II
7.950% due 12/01/2026		750			810
Beaver Valley Funding Corp.
8.625% due 06/01/2007		265			276
9.000% due 06/01/2017		1,488			1,769
BNP Paribas
5.186% due 06/29/2049 (a)		6,000			6,078
BVPS II Funding Corp.
8.330% due 12/01/2007		2,687			2,896
8.890% due 06/01/2017		1,500			1,822
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		7,000			7,057
CIT Group, Inc.
3.660% due 09/20/2007 (a)		3,535			3,546
5.500% due 11/30/2007		860			885
Citigroup, Inc.
7.750% due 12/01/2036		750			803
Countrywide Home Loans, Inc.
4.240% due 11/04/2005 (a)		3,000			3,045
Ford Motor Credit Co.
3.590% due 07/18/2005 (a)		23,000			22,991
7.600% due 08/01/2005		13,000			13,029
6.125% due 01/09/2006		50			50
6.500% due 01/25/2007		10,000			10,075
4.389% due 03/21/2007 (a)		1,800			1,763
4.308% due 09/28/2007 (a)		3,000			2,901
4.950% due 01/15/2008		5,000			4,772
5.800% due 01/12/2009		3,100			2,945
7.375% due 02/01/2011		100			98
General Motors Acceptance Corp.
4.395% due 10/20/2005 (a)		13,500			13,513
4.145% due 05/18/2006 (a)		17,000			16,924
4.130% due 03/20/2007 (a)		4,000			3,881
4.900% due 07/15/2008		50			46
6.875% due 08/28/2012		100			92
6.750% due 12/01/2014		100			90
8.000% due 11/01/2031		120			107
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008		1,500			1,415
Goldman Sachs Group, Inc.
3.491% due 07/23/2009 (a)		2,000			2,012
6.125% due 02/15/2033		502			551
Household Finance Corp.
4.125% due 12/15/2008		14,450			14,369
HSBC Capital Funding LP
4.610% due 12/13/2049 (a)		12,000			11,741
KFW International Finance, Inc.
5.750% due 01/15/2008		70			73
MBNA America Bank N.A.
7.125% due 11/15/2012		1,300			1,497
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		1,500			1,580
Mizuho JGB Investment LLC
9.870% due 12/31/2049 (a)		2,900			3,287
Morgan Stanley Dean Witter & Co.
4.750% due 04/01/2014		10,000			9,869
National City Bank of Pennsylvania
7.250% due 10/21/2011		853			979
NiSource Finance Corp.
7.625% due 11/15/2005		15,927			16,137
Parker Retirement Savings Plan
6.340% due 07/15/2008		1,528			1,578
Prudential Financial, Inc.
4.104% due 11/15/2006 (a)		1,000			1,003
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		13,650			13,138
6.500% due 11/15/2018		8,000			6,600
RBS Capital Trust I
5.512% due 09/29/2049 (a)		4,500			4,682
Royal Bank of Scotland PLC
9.118% due 03/31/2049		8,470			10,097
Societe Generale
3.775% due 10/29/2049 (a)		1,000			997
Targeted Return Index Securities Trust
7.672% due 01/15/2032		2,280			2,998
Tiers Trust
8.125% due 09/15/2017		791			1,104
UFJ Finance Aruba AEC
6.750% due 07/15/2013		27,572			30,797
					263,995
Industrials 43.0%
Altria Group, Inc.
7.000% due 07/15/2005		15,700			15,712
American Airlines, Inc.
4.072% due 09/23/2007 (a)		219			220
AOL Time Warner, Inc.
6.125% due 04/15/2006		11,100			11,276
AT&T Broadband Corp.
9.455% due 11/15/2022		350			496
BAE Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		3,122			3,407
Beckman Coulter, Inc.
7.450% due 03/04/2008		325			350
Columbia Energy Group
6.800% due 11/28/2005		1,000			1,011
Comcast Cable Communications, Inc.
6.375% due 01/30/2006		400			406
Comcast Corp.
5.300% due 01/15/2014		5,000			5,149
Continental Airlines, Inc.
6.320% due 11/01/2008		15,195			15,230
7.056% due 09/15/2009		5,000			5,167
6.545% due 08/02/2020		25			25
Cox Communications, Inc.
7.750% due 08/15/2006		700			723
3.950% due 12/14/2007 (a)		2,700			2,716
7.750% due 11/01/2010		100			113
7.125% due 10/01/2012		100			112
Cyprus Amax Minerals Co.
7.375% due 05/15/2007		70			74
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		7,200			7,210
7.000% due 11/28/2005		50			51
3.890% due 05/24/2006 (a)		8,000			8,023
4.050% due 06/04/2008		440			434
8.000% due 06/15/2010		270			306
Delta Air Lines, Inc.
7.570% due 05/18/2012		11,150			10,497
Domtar, Inc.
7.875% due 10/15/2011		70			74
Duke Energy Field Services LLC
7.500% due 08/16/2005		6,780			6,807
El Paso CGP Co.
6.500% due 05/15/2006		4,293			4,368
7.750% due 06/15/2010		18,533			18,996
6.950% due 06/01/2028		8,730			7,682
El Paso Corp.
6.750% due 05/15/2009		6,400			6,432
8.050% due 10/15/2030		11,200			11,144
7.800% due 08/01/2031		63,375			61,949
7.750% due 01/15/2032		30,275			29,669
Enterprise Products Operating LP
6.650% due 10/15/2034		2,000			2,203
Evergreen Resources, Inc.
5.875% due 03/15/2012		1,350			1,343
Ford Motor Co.
7.450% due 07/16/2031		120			100
General Motors Corp.
8.250% due 07/15/2023		225			187
8.375% due 07/15/2033		100			84
Hilton Hotels Corp.
7.625% due 05/15/2008		220			238
HJ Heinz Co.
6.189% due 12/01/2005 (a)		2,000			2,019
International Paper Co.
6.750% due 09/01/2011		280			306
Kern River Funding Corp.
4.893% due 04/30/2018		15,040			15,287
Kinder Morgan, Inc.
6.500% due 09/01/2012		110			121
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (j)		757			750
Norfolk Southern Corp.
7.800% due 05/15/2027		3			4
5.640% due 05/17/2029		77			81
Northwest Airlines Corp.
7.575% due 09/01/2020		306			309
Packaging Corp. of America
4.375% due 08/01/2008		2,800			2,770
Pemex Project Funding Master Trust
8.500% due 02/15/2008		1,800			1,975
9.375% due 12/02/2008		11,825			13,510
7.875% due 02/01/2009		32,550			35,642
7.375% due 12/15/2014		29,920			33,630
9.250% due 03/30/2018		5,900			7,640
Pioneer Natural Resources Co.
6.500% due 01/15/2008		2,150			2,229
Qwest Corp.
9.125% due 03/15/2012		6,000			6,555
6.875% due 09/15/2033		9,880			8,608
Raytheon Co.
6.500% due 07/15/2005		19			19
6.150% due 11/01/2008		148			156
Rowan Cos., Inc.
5.880% due 03/15/2012		2,039			2,135
Sonat, Inc.
6.750% due 10/01/2007		3,940			3,920
Systems 2001 Asset Trust LLC
7.156% due 12/15/2011		1,428			1,532
TCI Communications, Inc.
7.250% due 08/01/2005		250			251
Time Warner, Inc.
8.110% due 08/15/2006		1,200			1,248
United Airlines, Inc.
11.080% due 03/26/2010 (b)(j)		13,635			2,365
7.730% due 07/01/2010 (b)		19,140			17,847
8.390% due 01/21/2011 (b)		4,033			2,118
11.080% due 03/26/2011 (b)(j)		2,835			504
7.186% due 04/01/2011 (b)		684			655
6.071% due 03/01/2013 (b)		3,214			3,025
6.602% due 09/01/2013 (b)		4,124			4,003
10.020% due 03/22/2014 (b)		1,000			473
10.850% due 02/19/2015 (b)		1,000			437
10.125% due 03/22/2015 (b)		2,300			924
2.020% due 03/02/2049 (a)(b)		7,982			7,723
Univision Communications, Inc.
7.850% due 07/15/2011		5,517			6,275
USX Corp.
6.850% due 03/01/2008		1,520			1,616
Waste Management, Inc.
7.000% due 10/15/2006		1,600			1,654
7.375% due 08/01/2010		90			101
					430,401
Utilities 13.4%
AT&T Wireless Services, Inc.
7.500% due 05/01/2007		1,000			1,060
Carolina Power & Light Co.
6.800% due 08/15/2007		156			164
CenterPoint Energy Resources Corp.
8.125% due 07/15/2005		3,400			3,404
Cincinnati Gas & Electric Co.
6.900% due 06/01/2025		2,821			3,335
Cingular Wireless LLC
6.500% due 12/15/2011		450			498
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		4			4
7.430% due 11/01/2009		11,500			12,786
Columbus Southern Power Co.
6.600% due 03/01/2033		720			853
Dominion Resources, Inc.
7.625% due 07/15/2005		13,216			13,228
3.568% due 05/15/2006 (a)		3,000			3,007
DTE Energy Co.
6.450% due 06/01/2006		325			332
El Paso Natural Gas Co.
8.375% due 06/15/2032		3,850			4,497
Entergy Arkansas, Inc.
5.400% due 05/01/2018		9,384			9,391
Entergy Gulf States, Inc.
3.600% due 06/01/2008		9,400			9,208
Entergy Louisiana, Inc.
4.670% due 06/01/2010		400			404
Entergy Mississippi, Inc.
4.350% due 04/01/2008		1,600			1,592
FirstEnergy Corp.
6.450% due 11/15/2011		5,000			5,470
France Telecom S.A.
7.450% due 03/01/2006 (a)		5,700			5,826
8.000% due 03/01/2011 (a)		4,532			5,265
GPU, Inc.
7.700% due 12/01/2005		175			178
MidAmerican Energy Holdings Co.
7.520% due 09/15/2008		350			381
Niagara Mohawk Power Corp.
6.625% due 07/01/2005		1,030			1,030
7.750% due 05/15/2006		70			72
7.750% due 10/01/2008		70			77
Ohio Power Co.
6.375% due 07/15/2033		5,500			5,871
Pacific Gas & Electric Co.
4.204% due 04/03/2006 (a)		1,250			1,250
PNPP II Funding Corp.
8.510% due 11/30/2006		124			126
9.120% due 05/30/2016		1,540			1,852
Potomac Electric Power Co.
6.250% due 10/15/2007		960			1,002
PPL Capital Funding Trust I
4.330% due 03/01/2009		3,300			3,277
Progress Energy, Inc.
7.100% due 03/01/2011		400			446
PSEG Power LLC
3.750% due 04/01/2009		2,500			2,440
Southern California Edison Co.
3.440% due 01/13/2006 (a)		2,700			2,704
Sprint Capital Corp.
7.125% due 01/30/2006		720			732
6.000% due 01/15/2007		23,510			24,101
System Energy Resources, Inc.
5.129% due 01/15/2014		2,966			2,959
TXU Energy Co. LLC
3.920% due 01/17/2006 (a)		600			600
7.000% due 03/15/2013		2,900			3,239
United Telecom, Inc.
6.890% due 07/01/2008 (j)		1,000			1,020
Virginia Electric & Power Co.
5.750% due 03/31/2006		900			912
					134,593
Total Corporate Bonds & Notes (Cost $814,776)					828,989
U.S. GOVERNMENT AGENCIES 0.1%
Government National Mortgage Association
8.500% due 07/15/2030 - 08/15/2030 (d)		395			430
Total U.S. Government Agencies (Cost $408)					430
U.S. TREASURY OBLIGATIONS 0.1%
Treasury Inflation Protected Security (e)
3.375% due 01/15/2007 (g)		614			634
Total U.S. Treasury Obligations (Cost $617)					634
ASSET-BACKED SECURITIES 0.2%
Denver Arena Trust
6.940% due 11/15/2019		2,357			2,410
Total Asset-Backed Securities (Cost $2,094)					2,410
		Shares
COMMON STOCKS 0.2%
Devon Energy Corp.		33,898			1,718
Total Common Stocks (Cost $862)					1,718
PREFERRED SECURITY 0.0%
Lehman Brothers Holdings, Inc.
5.670% due 12/01/2049		5,200			264
Total Preferred Security (Cost $231)					264
PREFERRED STOCK 0.5%
Goldman Sachs Group, Inc.
3.911% due 12/31/2049 (a)		200,000			4,984
Total Preferred Stock (Cost $5,000)					4,984
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 14.5%
Commercial Paper 13.5%
Bank of Ireland
3.180% due 08/22/2005	$	2,700			2,688
CDC IXIS Commercial Paper, Inc.
3.240% due 09/22/2005		9,300			9,227
Fannie Mae
3.066% due 08/10/2005		3,500			3,488
3.143% due 08/31/2005		5,100			5,071
3.250% due 09/14/2005		13,300			13,205
Freddie Mac
3.020% due 08/02/2005		24,000			23,935
3.310% due 11/02/2005		2,300			2,272
General Electric Capital Corp.
3.270% due 09/08/2005		4,800			4,769
Rabobank USA Financial Corp.
3.160% due 08/08/2005		1,600			1,595
3.105% due 08/09/2005		8,700			8,671
Skandinaviska Enskilda Banken AB (SEB)
3.040% due 07/14/2005		8,800			8,790
3.070% due 07/14/2005		14,500			14,484
3.310% due 09/15/2005		6,900			6,850
UBS Finance Delaware LLC
3.070% due 07/08/2005		100			100
3.020% due 07/22/2005		6,300			6,289
3.165% due 08/08/2005		700			698
3.180% due 09/06/2005		4,200			4,173
3.185% due 09/06/2005		19,200			19,079
					135,384
Repurchase Agreement 0.6%
State Street Bank
2.650% due 07/01/2005		5,428			5,428
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $5,537. Repurchase proceeds are $5,428.)
U.S. Treasury Bills 0.4%
2.961% due 09/01/2005-09/15/2005 (d)(f)(g)		4,425			4,394
Total Short-Term Instruments (Cost $145,233)					145,206
Total Investments (c) (Cost $969,221)		98.4	%	$	984,635
Written Options (h) (Premiums $393)		(0.0	%)		(180	)
Other Assets and Liabilities (Net)		1.6	%		16,535
Net Assets		100.0	%	$	1,000,990

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) As of June 30, 2005, portfolio securities with an aggregate market value of $8,787 were valued with reference to securities whose prices are more readily obtainable.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) Principal amount of security is adjusted for inflation.

(f) Securities with an aggregate market value of $1,491 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(g) Securities with an aggregate market value of $1,305 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
Eurodollar December Short Futures	12/2005	1,000	$	(1,525	)

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	116.000	08/26/2005	630	$	116	$	88
Call - CBOT U.S. Treasury Note September Futures		117.000	08/26/2005	300		37		19
Put - CBOT U.S. Treasury Note September Futures		109.000	08/26/2005	300		41		14
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	630		199		59
					$	393	$	180

(i) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.600	%	06/20/2006	$	3,000	$	35
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.650	%	06/20/2006		15,000		184
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.250	%	03/20/2007		5,000		7
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		2,000		82
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.650	%	06/20/2007		1,600		54
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009		7,000		61
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		7,400		(15	)
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015		3,900		15
Credit Suisse First Boston	EnCana Corp. 4.750% due 10/15/2013	Sell	0.320	%	03/20/2010		2,000		(2	)
Credit Suisse First Boston	International Game Technology 0.000% convertible until 01/29/2006	Sell	0.350	%	03/20/2010		1,800		0
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.500	%	06/20/2006		12,800		222
Goldman Sachs & Co.	ConocoPhillips 4.750% due 10/15/2012	Sell	0.210	%	03/20/2010		5,000		(7	)
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		1,000		18
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	06/20/2007		1,000		48
J.P. Morgan Chase & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.030	%	03/20/2006		45,000		(19	)
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.250	%	06/20/2006		2,000		36
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.500	%	06/20/2006		1,000		21
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.150	%	06/20/2006		5,500		40
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.750	%	06/20/2006		1,800		53
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.400	%	06/20/2006		10,000		163
J.P. Morgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.300	%	06/20/2007		10,000		210
J.P. Morgan Chase & Co.	Apache Corp. 6.250% due 04/15/2012	Sell	0.200	%	03/20/2010		6,300		(8	)
J.P. Morgan Chase & Co.	Halliburton Co. 5.500% due 10/15/2010	Sell	0.290	%	03/20/2010		7,000		(1	)
J.P. Morgan Chase & Co.	Occidental Petroleum Corp. 6.750% due 01/15/2012	Sell	0.250	%	03/20/2010		7,000		11
J.P. Morgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010		2,000		2
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Buy	0.250	%	03/20/2007		7,400		7
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		5,000		(10	)
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 5.125% due 05/09/2008	Sell	2.100	%	09/20/2008		25,000		(1,342	)
Merrill Lynch & Co., Inc.	Burlington Resources, Inc. 6.400% due 08/15/2011	Sell	0.280	%	03/20/2010		5,000		(12	)
Merrill Lynch & Co., Inc.	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.320	%	03/20/2010		5,000		(7	)
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010		5,000		(25	)
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		3,000		62
Morgan Stanley Dean Witter & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.300	%	06/20/2007		10,000		210
Wachovia Bank N.A.	Ohio Edison Co. 5.450% due 05/01/2015	Sell	0.470	%	03/20/2010		10,000		16
								$	109

(j) Restricted security as of June 30, 2005:

Issuer Description	Coupon %	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
Mazda Manufacturing Corp.	10.500	07/01/2008	03/28/2003	$	819	$	750	0.07	%
United Airlines, Inc.	11.080	03/26/2010	03/21/2000		14,092		2,365	0.24
United Airlines, Inc.	11.080	03/26/2011	03/21/2000		2,985		504	0.05
United Telecom, Inc.	6.890	07/01/2008	06/25/2003		1,075		1,020	0.10
				$	18,971	$	4,639	0.46	%

See accompanying notes

Schedule of Investments

Mortgage Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 0.0%
Industrials 0.0%
Delta Air Lines, Inc.
7.379% due 05/18/2010	$	1,139		$	1,091
Total Corporate Bonds & Notes (Cost $1,139)					1,091
MUNICIPAL BONDS & NOTES 0.0%
Ennis, Texas Economic Development Corp. Revenue Bonds, (FGIC Insured), Series 1999
0.000% due 08/01/2034		7,990			1,727
Missouri State Housing Development Commission Revenue Bonds, (GNMA/FNMA Insured), Series 2001
6.000% due 03/01/2032		1,400			1,512
Total Municipal Bonds & Notes (Cost $2,231)					3,239
U.S. GOVERNMENT AGENCIES 119.9%
Fannie Mae
0.000% due 06/25/2008 - 08/25/2022 (a)(e)		291			276
0.990% due 04/15/2035		3,883			3,984
2.615% due 06/01/2023 (b)		97			98
2.915% due 09/22/2006 (b)		77,600			77,578
2.996% due 08/01/2008		16,741			16,795
3.000% due 09/25/2012		5,296			5,272
3.021% due 05/01/2019 (b)		462			468
3.025% due 10/21/2005 (b)		100,000			99,981
3.073% due 04/01/2019 (b)		146			147
3.125% due 06/01/2017 - 07/01/2017 (b)(e)		97			98
3.127% due 03/01/2018 (b)		21			21
3.310% due 03/01/2025 (b)		62			64
3.314% due 09/21/2006 (b)		76,000			75,977
3.344% due 02/01/2015 (b)		141			142
3.367% due 02/01/2026 (b)		31			32
3.400% due 07/25/2035 (b)		29,067			29,076
3.411% due 04/01/2030 (b)		485			500
3.414% due 04/01/2030 (b)		82			84
3.422% due 10/01/2028 (b)		216			222
3.424% due 07/25/2032 (b)		1,083			1,084
3.433% due 05/01/2019 (b)		25			25
3.444% due 09/01/2017 (b)		484			484
3.454% due 04/25/2035 (b)		19,460			19,482
3.460% due 05/01/2028 (b)		30			30
3.468% due 03/01/2024 (b)		52			54
3.494% due 02/25/2033 (b)		1,306			1,307
3.500% due 06/01/2026 (b)		11			11
3.554% due 06/01/2019 (b)		14			14
3.560% due 03/01/2017 - 02/01/2018 (b)(e)		29			29
3.566% due 11/01/2017 (b)		18			18
3.567% due 10/01/2023 - 09/01/2026 (b)(e)		109			111
3.574% due 04/01/2032 (b)		60			61
3.583% due 12/01/2017 (b)		279			280
3.599% due 07/01/2027 (b)		87			88
3.609% due 08/01/2026 (b)		72			73
3.623% due 03/01/2026 (b)		70			71
3.650% due 11/01/2015 - 10/01/2031 (b)(e)		449			457
3.660% due 04/18/2028 (b)		190			190
3.665% due 11/01/2025 (b)		238			244
3.678% due 11/01/2025 (b)		303			312
3.689% due 04/01/2022 (b)		222			226
3.704% due 08/01/2042 - 10/01/2044 (e)		41,291			41,721
3.710% due 10/18/2030 (b)		225			226
3.714% due 06/25/2029 - 06/25/2032 (b)(e)		6,018			6,034
3.730% due 10/01/2016 (b)		101			101
3.747% due 09/01/2040 - 12/01/2040 (b)(e)		1,182			1,211
3.754% due 05/01/2029 (b)		175			180
3.764% due 12/25/2029 (b)		3			3
3.770% due 02/01/2017 (b)		475			484
3.776% due 09/01/2027 (b)		11			11
3.781% due 09/18/2027 (b)		628			633
3.801% due 01/01/2027 (b)		170			176
3.814% due 05/01/2027 - 07/25/2034 (b)(e)		22,901			22,928
3.836% due 12/01/2026 (b)		29			30
3.875% due 12/01/2021 - 08/01/2023 (b)(e)		103			107
3.909% due 05/01/2026 (b)		75			78
3.916% due 02/01/2027 (b)		298			306
3.920% due 08/01/2029 (b)		174			176
3.964% due 09/25/2023 (b)		306			310
3.971% due 05/01/2036 (b)		8,296			8,431
3.994% due 06/25/2022 (b)		3			3
4.000% due 02/25/2009		21			21
4.019% due 11/01/2031 (b)		175			175
4.073% due 02/01/2025 (b)		151			155
4.075% due 11/01/2026 (b)		128			131
4.087% due 01/01/2026 (b)		40			40
4.092% due 07/01/2024 (b)		46			48
4.100% due 12/01/2024 (b)		12			13
4.132% due 11/01/2026 (b)		77			80
4.151% due 11/01/2031 (b)		130			131
4.155% due 06/01/2029 (b)		43			43
4.172% due 06/01/2029 - 05/01/2036 (b)(e)		217			223
4.230% due 04/01/2030 (b)		9			9
4.244% due 04/25/2021 (b)		6			6
4.250% due 03/01/2028 (b)		10			10
4.288% due 05/01/2036 (b)		170			173
4.304% due 08/01/2024 (b)		14			14
4.325% due 05/01/2036 (b)		55			56
4.331% due 09/01/2028 (b)		45			47
4.402% due 09/01/2030 (b)		61			64
4.444% due 05/25/2023 (b)		196			201
4.450% due 11/01/2023 (b)		20			20
4.500% due 04/01/2019 - 07/19/2020 (e)		66,926			658,562
4.500% due 06/01/2025 (b)		5			8
4.551% due 01/01/2028 (b)		37			38
4.678% due 02/01/2035 (b)		5,961			5,999
4.710% due 08/25/2043		4,023			4,022
4.750% due 12/01/2023 (b)		262			273
4.805% due 01/01/2029 (b)		70			71
4.830% due 09/01/2023 (b)		188			194
4.875% due 05/01/2019 (b)		16			16
4.885% due 02/01/2026 (b)		91			92
4.970% due 07/01/2024 (b)		33			34
4.983% due 01/01/2024 (b)		22			23
4.985% due 12/01/2029 (b)		5			5
5.000% due 03/01/2014 - 11/25/2028 (e)		2,227,969			2,254,101
5.075% due 04/01/2025 (b)		87			89
5.095% due 02/01/2024 (b)		140			145
5.149% due 04/01/2033 (b)		68			69
5.171% due 02/01/2032 (b)		5,805			5,854
5.259% due 12/01/2031 (b)		76			78
5.460% due 02/01/2030 (b)		1,293			1,311
5.500% due 01/01/2025 - 08/11/2035 (e)		6,119,838			6,205,269
5.585% due 09/01/2020 (b)		42			42
5.621% due 07/01/2032 (b)		492			501
5.750% due 07/01/2029 (b)		15			15
5.798% due 11/01/2024 (b)		8			8
5.800% due 11/01/2011		1,915			2,057
5.875% due 06/01/2017 (b)		8			8
5.936% due 11/01/2011		4,803			5,186
5.950% due 02/25/2044		130			133
5.989% due 04/25/2020 (b)		44			44
6.000% due 08/25/2023 - 07/14/2035 (e)		852,456			874,774
6.130% due 08/01/2005		2,785			2,784
6.228% due 08/01/2029 (b)		28			28
6.250% due 12/25/2013		1,482			1,520
6.262% due 02/01/2009		16,241			16,662
6.270% due 09/25/2007		4,682			4,807
6.290% due 02/25/2029		1,500			1,679
6.300% due 06/25/2031 - 10/17/2038 (e)		4,830			5,774
6.350% due 06/25/2020		5,705			6,177
6.370% due 02/25/2013		4,855			5,084
6.390% due 05/25/2036		3,075			3,401
6.410% due 08/01/2016		1,007			1,131
6.450% due 05/01/2008 - 09/01/2016 (e)		6,419			7,015
6.500% due 09/01/2005 - 06/17/2038 (e)		58,354			60,967
6.650% due 08/25/2007		217			224
6.703% due 08/01/2028		1,472			1,696
6.750% due 11/01/2007		4			4
6.825% due 08/01/2009		4,532			4,897
6.850% due 12/18/2027		3,649			3,840
6.875% due 02/01/2018 (b)		283			286
6.900% due 09/01/2009		1,591			1,725
6.950% due 01/01/2030 (b)		348			358
7.000% due 04/25/2008 - 09/01/2032 (e)		8,776			8,898
7.025% due 06/01/2007		298			304
7.036% due 08/01/2030 (b)		151			155
7.040% due 03/01/2007		114			118
7.250% due 02/01/2009 - 10/01/2011 (e)		34			35
7.261% due 03/01/2030 (b)		593			602
7.400% due 10/01/2006		1,807			1,852
7.491% due 08/01/2014 (b)		9			10
7.500% due 12/01/2012 - 01/01/2032 (e)		8,993			9,599
7.530% due 01/01/2009		1,288			1,401
7.659% due 05/01/2030 (b)		410			417
7.730% due 08/01/2021 - 01/01/2025 (e)		4,431			5,267
7.750% due 02/01/2008		11			11
7.800% due 10/25/2022 - 06/25/2026 (e)		665			710
8.000% due 02/01/2007 - 08/01/2030 (e)		79			82
8.200% due 04/25/2025		2,153			2,302
8.500% due 04/01/2008 - 11/01/2017 (e)		512			547
8.750% due 11/25/2019		108			118
9.000% due 03/01/2010 - 06/01/2027 (e)		834			821
9.020% due 06/25/2032 (b)		823			876
9.500% due 11/01/2010 - 04/01/2025 (e)		1,472			1,631
10.000% due 09/25/2019 - 04/01/2020 (e)		49			68
15.500% due 10/01/2012		3			3
15.750% due 12/01/2011		1			1
39.670% due 08/25/2020 (c)		0			3
Farmer Mac
6.752% due 01/25/2013 (b)		3,115			2,870
8.424% due 04/25/2030 (b)		1,516			1,511
Federal Home Loan Bank
3.040% due 08/02/2005 (b)		100,000			100,000
3.259% due 06/12/2006 (b)		250,000			249,991
8.300% due 02/27/2012 (b)		1,900			1,800
Federal Housing Administration
6.875% due 12/01/2016		411			411
6.896% due 07/01/2020		513			512
7.350% due 01/01/2031		3,487			3,505
7.400% due 02/01/2021		1,031			1,038
7.430% due 07/01/2018 - 07/01/2024 (e)		13,430			13,592
7.450% due 05/01/2021		222			225
7.500% due 12/01/2030		1,305			1,320
7.590% due 12/01/2017		3,314			3,354
Freddie Mac
0.000% due 01/15/2009 (a)		128			124
1.487% due 12/15/2023 (b)(c)		415			17
2.750% due 03/01/2017 (b)		24			24
2.875% due 01/01/2017 (b)		20			20
3.185% due 10/01/2023 (b)		2,630			2,666
3.250% due 04/01/2018 (b)		44			45
3.420% due 03/15/2031 (b)		1,119			1,120
3.434% due 07/25/2031 (b)		51			51
3.439% due 05/25/2031 (b)		994			995
3.454% due 09/25/2031 (b)		146			146
3.455% due 07/01/2030 (b)		494			496
3.464% due 12/25/2032 (b)		76			77
3.500% due 12/01/2018 - 07/15/2032 (e)		499			491
3.506% due 03/01/2027 (b)		71			73
3.542% due 10/01/2024 (b)		140			143
3.570% due 12/15/2029 (b)		532			534
3.625% due 05/01/2023 (b)		35			36
3.650% due 05/01/2017 - 09/01/2018 (b)(e)		587			589
3.670% due 11/15/2030 - 12/15/2031 (b)(e)		454			456
3.674% due 11/01/2027 (b)		314			321
3.675% due 07/01/2027 (b)		354			365
3.700% due 03/15/2024 - 09/15/2026 (b)(e)		981			986
3.720% due 02/15/2028 - 03/15/2032 (b)(e)		435			439
3.737% due 09/01/2028 (b)		139			142
3.746% due 06/01/2022 (b)		74			75
3.750% due 05/15/2023 (b)		6			6
3.770% due 03/15/2032 (b)		19			19
3.777% due 02/01/2029 (b)		913			939
3.780% due 11/01/2029 (b)		4,858			5,015
3.793% due 08/01/2027 (b)		71			73
3.797% due 08/15/2032 (b)		2,924			2,928
3.801% due 12/01/2029 (b)		1,445			1,490
3.817% due 08/01/2018 (b)		139			139
3.853% due 09/01/2024 (b)		64			66
3.875% due 07/01/2018 - 07/01/2019 (b)(e)		142			144
3.876% due 07/01/2019 (b)		18			18
3.883% due 08/01/2030 (b)		66			68
3.900% due 07/01/2028 (b)		2,359			2,427
3.911% due 11/01/2027 - 08/01/2029 (b)(e)		1,046			1,079
3.923% due 11/01/2027 (b)		80			83
3.960% due 04/01/2025 (b)		44			45
3.985% due 02/01/2031 (b)		49			50
3.997% due 06/01/2024 (b)		92			94
4.000% due 12/15/2012		627			627
4.000% due 04/01/2019 (b)		26			26
4.074% due 09/01/2026 (b)		686			702
4.125% due 02/01/2017 - 10/01/2024 (b)(e)		356			365
4.132% due 10/01/2018 (b)		34			35
4.170% due 04/15/2031 (b)		19,505			19,784
4.207% due 01/01/2029 (b)		52			54
4.234% due 10/01/2023 (b)		193			197
4.243% due 07/01/2019 (b)		326			329
4.245% due 08/01/2031 (b)		148			151
4.247% due 11/01/2028 (b)		87			90
4.295% due 01/01/2028 (b)		292			300
4.328% due 02/01/2027 (b)		686			707
4.374% due 03/01/2033 (b)		392			395
4.420% due 07/15/2027 (b)		5,513			5,521
4.423% due 12/01/2026 (b)		66			67
4.450% due 05/01/2019 (b)		19			20
4.500% due 04/01/2020		80			80
4.674% due 05/01/2032 (b)		234			238
4.695% due 04/01/2030 (b)		28			29
4.785% due 05/01/2025 (b)		125			128
4.830% due 05/01/2032 (b)		5,040			5,131
4.841% due 07/01/2029 (b)		403			413
4.971% due 09/01/2027 (b)		152			155
5.000% due 06/15/2013 - 08/11/2035 (e)		456,656			457,253
5.131% due 06/01/2022 (b)		14			14
5.333% due 04/01/2031 (b)		21			22
5.500% due 02/15/2016 - 07/14/2035 (e)		506,228			513,384
5.643% due 11/01/2031 (b)		33			34
5.770% due 03/01/2032 (b)		417			420
5.891% due 08/01/2031 (b)		17			18
5.948% due 03/01/2029 (b)		284			290
5.971% due 05/01/2032 (b)		3,906			4,038
6.000% due 09/01/2006 - 08/11/2035 (e)		41,991			43,152
6.066% due 09/01/2027 (b)		82			84
6.137% due 05/01/2032 (b)		730			755
6.250% due 12/15/2028		2,712			2,830
6.500% due 10/15/2013 - 07/15/2031 (e)		22,143			22,761
7.000% due 09/01/2006 - 12/01/2032 (e)		3,975			3,941
7.106% due 10/01/2027 (b)		88			90
7.450% due 03/25/2022		86			87
7.500% due 01/01/2008 - 06/01/2031 (e)		4,639			4,769
7.645% due 05/01/2025		1,383			1,593
7.829% due 07/01/2030 (b)		6			7
8.000% due 05/01/2008 - 09/01/2030 (e)		270			290
8.250% due 06/01/2008 - 12/01/2008 (e)		46			47
8.500% due 06/01/2006 - 08/01/2027 (e)		795			823
9.000% due 12/15/2020 - 02/15/2021 (e)		961			961
9.050% due 06/15/2019		170			170
9.500% due 12/15/2020 - 06/01/2021 (e)		647			654
10.250% due 05/01/2009		0			1
10.750% due 09/01/2009 - 05/01/2010 (e)		2			3
Government National Mortgage Association
3.000% due 10/20/2028 - 11/20/2028 (b)(e)		441			445
3.375% due 04/20/2017 - 02/20/2031 (b)(e)		49,147			49,893
3.436% due 02/16/2032 (b)		512			512
3.500% due 08/20/2027 - 11/20/2030 (b)(e)		3,641			3,683
3.536% due 01/16/2031 (b)		83			84
3.610% due 06/20/2032 (b)		1,088			1,094
3.636% due 06/16/2031 (b)		1,308			1,317
3.686% due 10/16/2030 (b)		184			185
3.736% due 02/16/2030 (b)		1,699			1,715
3.750% due 08/20/2017 - 02/20/2032 (b)(e)		6,227			6,323
3.786% due 12/16/2025 (b)		1,547			1,563
3.836% due 02/16/2030 (b)		215			217
3.875% due 04/20/2019 (b)		57			59
3.886% due 02/16/2030 (b)		216			218
4.000% due 12/20/2029 (b)		1,001			1,015
4.125% due 10/20/2018 - 01/20/2030 (b)(e)		14,434			14,686
4.210% due 03/20/2031 (b)		11,660			11,813
4.250% due 01/20/2028 - 03/20/2030 (b)(e)		2,548			2,587
4.260% due 02/20/2031 (b)		6,739			6,836
4.375% due 03/20/2021 - 03/20/2028 (b)(e)		7,797			7,928
4.625% due 10/20/2025 - 12/20/2027 (b)(e)		466			475
5.000% due 04/20/2030 (b)		91			92
5.125% due 11/20/2020 (b)		9			9
5.500% due 11/15/2028 - 07/21/2035 (e)		414,010			422,917
6.000% due 12/15/2008 - 12/15/2033 (e)		77,205			79,773
6.250% due 03/16/2029		5,000			5,250
6.500% due 05/15/2009 - 06/01/2032 (e)		7,578			7,960
6.892% due 03/16/2041 (b)		4,257			5,269
7.000% due 09/15/2012 - 02/16/2029 (e)		3,290			3,456
7.270% due 12/15/2040		1,762			1,935
7.500% due 12/15/2022 - 11/15/2031 (e)		5,101			5,401
7.750% due 10/15/2025		22			24
8.000% due 09/15/2005 - 09/20/2031 (e)		6,841			7,575
8.500% due 06/15/2017 - 03/20/2031 (e)		2,286			2,489
9.000% due 09/15/2006 - 08/20/2030 (e)		343			378
9.500% due 12/15/2021		104			116
Small Business Administration
6.344% due 08/01/2011		1,249			1,317
6.640% due 02/10/2011		1,897			2,011
7.190% due 12/01/2019		584			636
7.220% due 11/01/2020		1,874			2,059
7.449% due 08/01/2010		1,800			1,938
8.017% due 02/10/2010		184			199
Total U.S. Government Agencies (Cost $12,691,157)					12,767,916
MORTGAGE-BACKED SECURITIES 7.9%
American Home Mortgage Investment Trust
4.290% due 10/25/2034 (b)		20,643			20,541
American Southwest Financial Securities Corp.
7.248% due 11/25/2038		929			1,004
Asset Securitization Corp.
6.920% due 02/14/2029		1,278			1,295
Banc of America Large Loan
3.420% due 11/15/2015 (b)		5,317			5,321
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2019		600			619
5.399% due 05/20/2032 (b)		2,154			2,201
6.513% due 07/25/2032 (b)		211			213
5.579% due 10/20/2032 (b)		2,030			2,043
5.000% due 02/25/2033		42			42
4.250% due 04/25/2034		524			524
Bear Stearns Adjustable Rate Mortgage Trust
4.005% due 11/25/2030 (b)		55			55
5.272% due 10/25/2032 (b)		1,516			1,515
5.348% due 02/25/2033 (b)		202			204
Bear Stearns Alt-A Trust
3.814% due 01/25/2033 (b)		3,281			3,253
Bear Stearns Commercial Mortgage Securities, Inc.
3.436% due 05/14/2016 (b)		398			399
5.060% due 11/15/2016		173			176
7.000% due 05/20/2030		2,058			2,404
4.066% due 06/25/2030 (b)		314			322
5.910% due 02/14/2031		114			117
Capstead Securities Corp.
3.674% due 02/25/2025 (b)		6,035			6,037
Citicorp Mortgage Securities, Inc.
5.375% due 12/01/2019 (b)		69			69
6.500% due 02/25/2024		1,314			1,329
CMC Securities Corp.
7.250% due 11/25/2027		3			3
Collateralized Mortgage Obligation Trust
0.000% due 09/23/2017 (a)		9			9
Commercial Mortgage Pass-Through Certificates
3.440% due 09/15/2014 (b)		3,800			3,794
3.390% due 07/15/2015 (b)		3,181			3,185
3.420% due 07/15/2015 (b)		5,500			5,508
3.450% due 11/15/2015 (b)		8,026			8,031
3.400% due 03/15/2020 (b)		19,300			19,308
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		1,100			1,094
3.714% due 02/25/2033 (b)		1,484			1,486
5.000% due 06/25/2033		8,225			8,244
3.504% due 07/25/2034 (b)		3,630			3,634
3.524% due 05/25/2035 (b)		10,613			10,474
3.564% due 05/25/2035 (b)		2,865			2,833
Countrywide Home Loan Mortgage Pass-Through Trust
3.924% due 08/25/2033 (b)		697			701
3.594% due 08/25/2034 (b)		1,438			1,438
3.644% due 02/25/2035 (b)		6,732			6,745
3.624% due 03/25/2035 (b)		31,227			31,211
3.634% due 03/25/2035 (b)		88,764			88,807
3.604% due 04/25/2035 (b)		5,126			5,126
Countrywide Home Loans, Inc.
6.174% due 07/19/2031 (b)		56			57
4.250% due 05/25/2033		3,360			3,352
3.120% due 04/25/2034 (b)		1,321			1,319
CS First Boston Mortgage Securities Corp.
4.832% due 02/15/2015		3,000			3,055
9.000% due 04/25/2031		131			131
6.074% due 04/25/2032 (b)		37			37
3.704% due 05/25/2032 (b)		1,305			1,304
6.246% due 06/25/2032 (b)		120			120
3.400% due 08/25/2033 (b)		1,095			1,101
7.290% due 09/15/2041		65			71
DLJ Commercial Mortgage Corp.
6.410% due 02/18/2031		1,791			1,875
7.340% due 10/10/2032		5,750			6,418
DLJ Mortgage Acceptance Corp.
4.448% due 11/25/2023 (b)		60			60
5.175% due 05/25/2024 (b)		26			26
6.206% due 10/25/2024 (b)		107			107
Fairfax Funding Trust
6.483% due 04/02/2013		250			264
FFCA Secured Lending Corp.
8.180% due 07/18/2019		2,000			614
8.970% due 02/18/2020		4,000			402
Fifth Third Mortgage Loan Trust
5.323% due 11/19/2032 (b)		929			924
First Horizon Asset Securities, Inc.
7.000% due 09/25/2030		16			16
4.177% due 09/25/2033 (b)		527			528
First Nationwide Trust
6.750% due 08/21/2031		2,095			2,111
3.914% due 09/25/2031 (b)		13			13
First Republic Mortgage Loan Trust
3.438% due 11/15/2031 (b)		4,088			4,363
3.570% due 11/15/2031 (b)		22,669			22,819
3.520% due 08/15/2032 (b)		60,829			60,864
GMAC Commercial Mortgage Securities, Inc.
7.151% due 12/15/2016		5,557			5,737
6.420% due 05/15/2035		730			772
Government Lease Trust
6.390% due 05/18/2007		4,116			4,217
Greenpoint Mortgage Funding Trust
3.534% due 05/25/2045 (b)		10,344			10,336
3.544% due 06/25/2045 (b)		30,984			31,081
GS Mortgage Securities Corp.
6.044% due 08/15/2018		10,801			11,404
GSRPM Mortgage Loan Trust
3.714% due 11/25/2031 (b)		12,410			12,441
Harborview Mortgage Loan Trust
3.480% due 05/19/2035 (b)		24,840			24,736
Homeside Mortgage Securities Trust
3.335% due 01/20/2027 (b)		59			58
Impac Secured Assets CMN Owner Trust
7.000% due 10/25/2031 (b)		3,361			3,359
6.500% due 04/25/2032 (b)		670			684
Indymac Adjustable Rate Mortgage Trust
6.701% due 01/25/2032 (b)		85			85
Indymac Index Mortgage Loan Trust
3.074% due 03/25/2035 (b)		17,543			17,538
Kidder Peabody Mortgage Assets Trust
9.500% due 04/22/2018 (c)		128			30
LB Commercial Conduit Mortgage Trust
6.480% due 01/18/2008		150			157
LB Mortgage Trust
8.407% due 01/20/2017 (b)		5,679			6,222
LB-UBS Commercial Mortgage Trust
5.401% due 03/15/2026		217			220
6.133% due 12/15/2030		470			514
MASTR Asset Securitization Trust
5.500% due 09/25/2033		8,921			8,971
Mellon Residential Funding Corp.
3.660% due 12/15/2030 (b)		7,636			7,651
4.100% due 11/15/2031 (b)		802			813
Merrill Lynch Mortgage Investors, Inc.
6.484% due 06/15/2021 (b)		482			483
0.704% due 04/25/2028 (b)(c)		8,119			84
3.761% due 01/25/2029 (b)		4,000			4,005
Merrill Lynch Mortgage Trust
86.600% due 09/20/2020 (c)		0			1
1.916% due 07/12/2034 (b)(c)		81,313			3,934
Morgan Stanley Capital I
6.840% due 05/03/2006		16,000			16,331
2.950% due 04/15/2016 (b)		1,124			1,125
Morgan Stanley Dean Witter Capital I, Inc.
7.500% due 07/15/2010		10,463			10,775
4.570% due 12/18/2032		192			192
Mortgage Capital Funding, Inc.
6.663% due 03/18/2030		4,517			4,757
Nationslink Funding Corp.
3.540% due 11/10/2030 (b)		970			974
6.654% due 11/10/2030		17,133			17,384
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		630			660
Ocwen Residential MBS Corp.
6.842% due 06/25/2039 (b)		1,244			981
People’s Choice Home Loan Securities Trust
3.424% due 09/25/2024 (b)		3,060			3,062
PNC Mortgage Securities Corp.
7.520% due 07/15/2008		308			323
Prime Mortgage Trust
5.000% due 02/25/2034		69			69
RMF Commercial Mortgage Pass-Through Certificates
6.715% due 01/15/2019		3			3
SACO I, Inc.
3.000% due 02/25/2028 (b)		8,500			8,497
Salomon Brothers Mortgage Securities VII, Inc.
4.084% due 11/25/2022 (b)		29			27
Sequoia Mortgage Trust
3.610% due 10/19/2026 (b)		588			589
3.640% due 10/20/2027 (b)		20,144			20,185
3.600% due 06/20/2032 (b)		972			971
3.560% due 08/20/2032 (b)		2,120			2,120
3.610% due 07/20/2033 (b)		9,977			9,929
SLH Mortgage Trust
9.600% due 03/25/2021		22			22
Starwood Commercial Mortgage Trust
6.920% due 02/03/2009		1,000			1,085
Structured Adjustable Rate Mortgage Loan Trust
3.804% due 06/25/2034 (b)		5,000			5,025
3.430% due 03/25/2035 (b)		4,184			4,188
Structured Asset Mortgage Investments, Inc.
4.077% due 05/25/2022 (b)		3,662			3,654
6.686% due 02/25/2030 (b)		232			232
6.750% due 05/02/2030		446			445
3.590% due 09/19/2032 (b)		36,645			36,487
3.610% due 03/19/2033 (b)		12,931			12,947
3.544% due 06/19/2035 (b)		9,937			9,958
Structured Asset Securities Corp.
7.500% due 07/25/2016		36			36
3.794% due 03/25/2031 (b)		292			295
6.250% due 01/25/2032 (b)		2,721			2,784
6.127% due 02/25/2032 (b)		12			12
3.814% due 07/25/2032 (b)		436			437
6.150% due 07/25/2032 (b)		34			34
3.964% due 08/25/2032 (b)		1,057			1,055
6.375% due 08/25/2032 (b)		1,665			1,709
3.604% due 01/25/2033 (b)		17			17
4.364% due 01/25/2033 (b)		7,000			7,012
4.510% due 01/25/2034 (b)		15,668			15,747
3.210% due 03/25/2035 (b)		15,046			15,057
Structured Mortgage Asset Residential Trust
8.000% due 10/25/2007		69			71
Vendee Mortgage Trust
6.500% due 03/15/2029		3,850			3,966
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (b)		6,811			6,808
4.397% due 11/25/2030 (b)		3,483			3,495
5.460% due 08/25/2032 (b)		1,503			1,501
5.131% due 10/25/2032 (b)		113			114
6.500% due 10/25/2032		11,197			11,367
3.625% due 07/25/2034 (b)		3,525			3,546
3.387% due 12/25/2040 (b)		1,721			1,718
3.904% due 06/25/2042 (b)		6,401			6,469
3.746% due 08/25/2042 (b)		14,730			14,809
3.435% due 12/25/2044 (b)		33,086			33,112
Wells Fargo Mortgage-Backed Securities Trust
3.990% due 01/25/2035 (b)		13,905			13,791
Total Mortgage-Backed Securities (Cost $839,704)					836,757
ASSET-BACKED SECURITIES 13.9%
AAA Trust
3.190% due 11/26/2035 (b)		75,037			75,166
Aames Mortgage Investment Trust
3.394% due 08/25/2035 (b)		5,914			5,919
ABFS Mortgage Loan Trust
4.000% due 09/15/2005 (c)		14,500			96
6.285% due 06/15/2033 (b)		2,000			2,044
Accredited Mortgage Loan Trust
3.414% due 04/25/2035 (b)		2,290			2,292
ACE Securities Corp.
4.014% due 08/25/2030 (b)		168			168
3.404% due 06/25/2035 (b)		19,476			19,489
Advanta Mortgage Loan Trust
3.689% due 11/25/2029 (b)		161			161
Advanta Revolving Home Equity Loan Trust
3.564% due 02/25/2025 (b)		142			142
Aegis Asset-Backed Securities Trust
3.714% due 05/25/2033 (b)		10,259			10,315
AFC Home Equity Loan Trust
3.724% due 06/24/2029 (b)		1,438			1,446
3.864% due 09/25/2029 (b)		90			90
Alliance Laundry Equipment Receivables Trust
3.620% due 05/15/2009 (b)		1,272			1,272
American Express Credit Account Master Trust
3.360% due 04/15/2008 (b)		3,800			3,803
Ameriquest Mortgage Securities, Inc.
3.584% due 08/25/2032 (b)		48			48
3.724% due 03/25/2033 (b)		2,734			2,738
3.564% due 09/25/2034 (b)		968			969
3.454% due 01/25/2035 (b)		4,902			4,906
3.414% due 04/25/2035 (b)		1,618			1,617
3.404% due 05/25/2035 (b)		907			908
3.454% due 07/25/2035 (b)		10,000			10,028
Amortizing Residential Collateral Trust
3.574% due 09/25/2030 (b)		106			106
3.664% due 10/25/2031 (b)		1,423			1,427
3.584% due 06/25/2032 (b)		193			193
3.604% due 07/25/2032 (b)		736			727
AMRESCO Residential Securities Corp. Mortgage Loan Trust
3.869% due 06/25/2027 (b)		2,208			2,209
3.809% due 06/25/2028 (b)		448			448
3.944% due 09/25/2028 (b)		2,658			2,660
4.254% due 06/25/2029 (b)		954			955
Asset-Backed Funding Certificates
3.994% due 07/25/2033 (b)		2,000			2,028
Asset-Backed Securities Corp. Home Equity Loan Trust
3.480% due 06/15/2031 (b)		332			335
3.920% due 08/15/2032 (b)		4,413			4,425
Bank One Heloc Trust
3.520% due 04/20/2020 (b)		752			754
Bayview Financial Acquisition Trust
3.670% due 04/28/2045 (b)		27,879			27,947
Bear Stearns Asset-Backed Securities, Inc.
5.000% due 08/25/2005 (c)		17,000			69
3.489% due 06/25/2031 (b)		14,104			14,113
3.914% due 10/25/2032 (b)		1,058			1,065
3.964% due 02/25/2034 (b)		2,500			2,515
3.140% due 10/25/2034 (b)		5,299			5,309
3.414% due 03/25/2035 (b)		3,954			3,957
4.064% due 11/25/2042 (b)		4,411			4,462
3.484% due 12/25/2042 (b)		3,234			3,233
3.514% due 06/15/2043 (b)		1,018			1,019
Block Mortgage Finance, Inc.
3.754% due 12/25/2028 (b)		53			53
Carrington Mortgage Loan Trust
3.404% due 05/25/2035 (b)		3,861			3,859
CDC Mortgage Capital Trust
4.014% due 08/25/2032 (b)		4,029			4,038
5.250% due 08/25/2032 (c)		6,805			5
3.684% due 08/25/2033 (b)		10			10
3.664% due 10/25/2033 (b)		2,577			2,580
Centex Home Equity
3.464% due 04/25/2020 (b)		2,406			2,406
3.464% due 07/25/2028 (b)		3,553			3,555
3.614% due 01/25/2032 (b)		336			336
4.164% due 01/25/2032 (b)		5,046			5,071
3.594% due 06/25/2033 (b)		5,170			5,175
3.594% due 01/25/2034 (b)		1,802			1,803
3.384% due 03/25/2035 (b)		50,147			50,185
Charming Shoppes Master Trust
3.550% due 05/15/2014 (b)		6,000			5,986
Chase Credit Card Master Trust
3.280% due 01/15/2008 (b)		5,750			5,754
3.610% due 06/15/2009 (b)		2,000			2,010
Chase Funding Loan Acquisition Trust
3.644% due 01/25/2033 (b)		2,053			2,058
Chase Funding Mortgage Loan Asset-Backed Certificates
3.634% due 08/25/2032 (b)		3,119			3,124
3.644% due 11/25/2032 (b)		6,622			6,652
CIT Group Home Equity Loan Trust
3.964% due 12/25/2031 (b)		1,900			1,909
3.140% due 03/25/2033 (b)		1,644			1,649
3.584% due 06/25/2033 (b)		5,469			5,484
Citifinancial Mortgage Securities, Inc.
3.624% due 05/25/2033 (b)		986			988
Citigroup Mortgage Loan Trust, Inc.
3.404% due 02/25/2014 (b)		12,575			12,586
Community Program Loan Trust
4.500% due 10/01/2018		1,381			1,380
Conseco Finance Corp.
3.590% due 12/15/2029 (b)		124			124
3.970% due 03/15/2030 (b)		7,217			7,228
3.920% due 07/15/2031 (b)		9,553			9,578
4.720% due 08/15/2033 (b)		2,050			2,094
7.500% due 08/15/2033 (c)		4,478			83
Conseco Finance Securitizations Corp.
8.200% due 02/01/2032		40,000			34,546
8.400% due 02/01/2032		7,000			1,139
7.970% due 05/01/2032		15,700			13,034
Countrywide Asset-Backed Certificates
3.200% due 08/25/2023 (b)		111			111
3.464% due 01/25/2024 (b)		1,059			1,060
3.574% due 05/25/2032 (b)		2,149			2,151
3.764% due 06/25/2033 (b)		2,669			2,674
3.654% due 03/25/2034 (b)		594			595
3.000% due 12/25/2034 (b)		2,152			2,154
3.370% due 06/25/2035 (b)		7,800			7,801
3.440% due 06/25/2035 (b)		27,800			27,812
3.380% due 10/25/2035 (b)		14,000			14,013
Credit-Based Asset Servicing & Securitization LLC
3.654% due 08/25/2029 (b)		1,046			1,047
3.944% due 06/25/2032 (b)		2,166			2,179
3.654% due 12/15/2039 (b)		6,087			6,095
CS First Boston Mortgage Securities Corp.
4.064% due 04/25/2032 (b)		15,600			15,620
3.664% due 04/25/2034 (b)		16,354			16,364
3.530% due 05/25/2044 (b)		12,317			12,295
Daimler Chrysler Auto Trust
4.490% due 10/06/2008		145			145
Delta Funding Home Equity Loan Trust
3.630% due 09/15/2029 (b)		53			53
Denver Arena Trust
6.940% due 11/15/2019		11,810			12,074
Embarcadero Aircraft Securitization Trust
2.440% due 08/15/2025 (b)		9,100			3
3.700% due 08/15/2025 (b)		2,125			1,320
EMC Mortgage Loan Trust
3.684% due 05/25/2040 (b)		2,503			2,513
EQCC Home Equity Loan Trust
3.380% due 10/15/2027 (b)		100			101
Equifirst Mortgage Loan Trust
3.414% due 01/25/2034 (b)		1,011			1,011
3.554% due 02/25/2034 (b)		3,118			3,124
Equity One ABS, Inc.
7.600% due 02/25/2032		3,853			3,905
3.424% due 07/25/2034 (b)		509			509
Fieldstone Mortgage Investment Corp.
3.604% due 01/25/2035 (b)		7,140			7,158
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.414% due 06/25/2034 (b)		3,166			3,166
3.694% due 10/25/2034 (b)		50,926			51,160
First Franklin Mtg Loan Asset-Backed Certificates
3.394% due 04/25/2034 (b)		3,687			3,689
First International Bank
3.800% due 04/15/2026 (b)		780			442
3.770% due 03/15/2027 (b)		9,396			6,496
First North American National Bank
3.540% due 07/17/2011 (b)		15,000			15,050
First Plus Home Loan Trust
7.670% due 05/10/2024 (b)		6,716			6,715
Fleet Credit Card Master Trust II
2.750% due 04/15/2008		30,045			29,984
4.095% due 05/15/2008 (b)		30,500			30,505
FNF Funding X LLC
6.530% due 07/20/2007		190			184
Ford Credit Auto Owner Trust
5.180% due 10/16/2006		5,000			5,018
Fremont Home Loan Trust
3.544% due 11/25/2034 (b)		15,967			15,988
3.474% due 03/25/2035 (b)		7,427			7,433
3.404% due 04/25/2035 (b)		2,331			2,333
3.414% due 06/25/2035 (b)		861			861
GMAC Mortgage Corp. Loan Trust
3.650% due 11/18/2025 (b)		606			607
3.554% due 01/25/2029 (b)		5,259			5,269
8.450% due 03/25/2030 (b)		263			264
Green Tree Financial Corp.
6.240% due 11/01/2016		6,558			6,726
8.000% due 07/15/2018		2,667			2,672
9.100% due 04/15/2020		3,278			3,669
7.400% due 06/15/2027		5,832			6,227
8.050% due 10/15/2027		868			936
7.550% due 01/15/2029		564			619
7.060% due 02/01/2031		7,000			6,227
GRMT II LLC
3.510% due 06/20/2032 (b)		136			136
3.850% due 06/20/2032 (b)		2,661			2,689
7.930% due 06/20/2032 (b)		4,264			4,362
GSAMP Trust
3.504% due 08/25/2033 (b)		41			41
3.494% due 10/25/2034 (b)		112			112
GSRPM Mortgage Loan Trust
3.694% due 09/25/2042 (b)		8,937			8,985
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 09/20/2033 (b)		6,769			6,795
Home Equity Asset Trust
3.674% due 08/25/2033 (b)		1,884			1,892
3.404% due 08/25/2035 (b)		16,494			16,505
Home Equity Mortgage Trust
5.664% due 11/25/2032 (b)		835			836
3.464% due 12/25/2034 (b)		1,744			1,746
3.434% due 07/25/2035 (b)		16,813			16,824
Household Mortgage Loan Trust
3.560% due 05/20/2032 (b)		10,262			10,285
3.910% due 05/20/2032 (b)		5,428			5,438
IMC Home Equity Loan Trust
7.520% due 08/20/2028		101			101
6.880% due 11/20/2028		1,536			1,558
Impac CMB Trust
3.694% due 03/25/2033 (b)		14,954			14,978
3.624% due 01/25/2034 (b)		10,217			10,233
Irwin Home Equity Loan Trust
3.684% due 02/25/2012 (b)		1,224			1,226
3.689% due 06/25/2021 (b)		123			124
3.834% due 06/25/2028 (b)		3,062			3,078
4.214% due 02/25/2029 (b)		2,603			2,646
Irwin Low Balance Home Equity Loan Trust
4.214% due 06/25/2021 (b)		1,052			1,057
IXIS Real Estate Capital Trust
2.960% due 06/25/2035 (b)		37,225			37,225
3.394% due 09/25/2035 (b)		9,349			9,351
KeyCorp. Student Loan Trust
3.797% due 08/27/2025 (b)		1,560			1,569
Long Beach Mortgage Loan Trust
4.264% due 03/25/2032 (b)		12,278			12,421
3.634% due 06/25/2033 (b)		1,250			1,252
3.634% due 07/25/2033 (b)		5,127			5,137
3.614% due 02/25/2034 (b)		337			337
2.597% due 10/25/2034 (b)		13,662			13,674
Mellon Residential Funding Corp.
6.615% due 02/25/2021 (b)		24,003			24,356
Merrill Lynch Mortgage Investors, Inc.
3.600% due 03/15/2025 (b)		935			940
3.654% due 02/25/2034 (b)		776			777
3.403% due 12/25/2035 (b)		7,900			7,902
Mesa Trust Asset-Backed Certificates
3.714% due 12/25/2031 (b)		3,963			3,973
4.410% due 05/15/2033 (b)		5,430			5,152
Metropolitan Asset Funding, Inc.
3.774% due 04/25/2029 (b)		17			17
Mid-State Trust
8.330% due 04/01/2030		20,029			21,708
7.340% due 07/01/2035		1,479			1,583
7.400% due 07/01/2035		63			68
7.790% due 07/01/2035		85			90
6.340% due 10/15/2036		2,436			2,581
7.791% due 03/15/2038		3,356			3,739
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.654% due 08/25/2033 (b)		4,080			4,088
3.464% due 11/25/2034 (b)		13,859			13,869
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (b)		16			16
Morgan Stanley Home Equity Loans
3.434% due 01/25/2035 (b)		14,719			14,728
Nelnet Education Loan Funding, Inc.
3.294% due 11/25/2009 (b)		17,420			17,427
New Century Home Equity Loan Trust
3.550% due 06/20/2031 (b)		341			342
3.610% due 09/20/2031 (b)		1,879			1,883
3.390% due 07/25/2035 (b)		9,200			9,196
Nextcard Credit Card Master Note Trust
4.870% due 12/15/2006 (b)		5,234			3,824
Novastar Home Equity Loan
3.589% due 04/25/2028 (b)		631			632
3.574% due 09/25/2031 (b)		915			916
NPF XII, Inc.
2.232% due 10/01/2003 (d)		49,000			3,848
2.532% due 10/01/2003 (d)		1,700			0
2.200% due 12/01/2003 (d)		13,800			1,084
2.270% due 03/01/2004 (b)(d)		4,000			0
2.285% due 11/01/2004 (b)(d)		6,000			0
2.462% due 11/01/2024 (d)		3,000			236
Oakwood Mortgage Investors, Inc.
3.595% due 03/15/2018 (b)		2,165			1,820
7.500% due 01/15/2021		3,844			3,979
Ocwen Mortgage Loan Asset-Backed Certificates
3.934% due 10/25/2029 (b)		52			52
Option One Mortgage Loan Trust
4.074% due 12/26/2029 (b)		85			85
3.614% due 01/25/2032 (b)		1,410			1,411
3.884% due 10/12/2032 (b)		27,625			27,822
3.564% due 10/25/2032 (b)		262			262
Origen Manufactured Housing
2.020% due 10/15/2013		5,059			5,025
7.650% due 03/15/2032 (b)		13,200			14,318
Preferred Credit Corp.
7.590% due 07/25/2026		998			996
Quest Trust
3.964% due 09/24/2034 (b)		5,781			5,799
3.754% due 09/25/2034 (b)		8,672			8,686
3.494% due 03/25/2035 (b)		313			313
Renaissance Home Equity Loan Trust
3.000% due 11/25/2005 (c)		7,265			54
4.114% due 08/25/2032 (b)		3,000			3,014
3.754% due 08/25/2033 (b)		1,983			1,993
3.814% due 12/25/2033 (b)		12,113			12,185
3.444% due 05/25/2035 (b)		7,573			7,452
Residential Asset Mortgage Products, Inc.
3.474% due 09/25/2013 (b)		6,717			6,723
3.484% due 08/25/2022 (b)		3,238			3,241
3.404% due 12/25/2023 (b)		3,618			3,620
8.000% due 03/25/2030 (b)		163			163
8.360% due 06/25/2030 (b)		5,322			5,311
8.000% due 09/25/2030 (b)		8,113			8,182
3.564% due 01/25/2033 (b)		12,000			12,017
3.654% due 11/25/2033 (b)		4,658			4,661
3.424% due 01/25/2035 (b)		1,804			1,806
1.394% due 11/25/2042 (b)		13,079			13,112
Residential Asset Securities Corp.
3.434% due 08/25/2013 (b)		12,194			12,201
3.464% due 09/25/2013 (b)		6,077			6,081
3.484% due 10/25/2013 (b)		1,852			1,853
3.434% due 06/25/2025 (b)		257			257
3.864% due 09/25/2031 (b)		17,563			17,625
3.434% due 01/25/2032 (b)		2,810			2,812
3.614% due 06/25/2032 (b)		169			170
3.564% due 07/25/2032 (b)		11,547			11,577
3.604% due 06/25/2033 (b)		1,574			1,577
3.554% due 03/25/2034 (b)		890			892
Residential Funding Mortgage Securities II, Inc.
11.000% due 09/25/2005 (b)(c)		3,000			35
7.850% due 12/25/2024 (b)		3,268			3,262
8.350% due 03/25/2025 (b)		665			671
Residential Mortgage Loan Trust
4.814% due 09/25/2029 (b)		819			820
Salomon Brothers Mortgage Securities VII, Inc.
6.930% due 08/25/2028		1,201			1,227
3.964% due 10/25/2028 (b)		1,544			1,546
4.720% due 11/15/2029 (b)		14,600			14,621
4.214% due 01/25/2032 (b)		1,438			1,440
Saxon Asset Securities Trust
3.564% due 03/25/2032 (b)		2,393			2,398
3.654% due 12/26/2034 (b)		13,028			13,087
3.474% due 08/25/2035 (b)		8,946			8,954
Sears Credit Account Master Trust
6.450% due 11/17/2009		500			502
3.750% due 10/18/2011 (b)		30,500			30,680
SLM Student Loan Trust
3.151% due 07/25/2006 (b)		7,296			7,299
3.460% due 03/15/2013 (b)		752			753
3.711% due 07/25/2016 (b)		17,907			18,037
SMS Student Loan Trust
3.747% due 10/27/2025 (b)		814			815
Soundview Home Equity Loan Trust
3.624% due 05/25/2030 (b)		2,042			2,045
Specialty Underwriting & Residential Finance
3.654% due 01/25/2034 (b)		3,341			3,344
Structured Asset Investment Loan Trust
3.564% due 07/25/2033 (b)		774			775
3.514% due 10/25/2033 (b)		15			15
Structured Asset Securities Corp.
3.250% due 05/25/2034 (b)		12,781			12,843
SVO Timeshare Mortgage Corp.
5.470% due 10/20/2013		220			222
Terwin Mortgage Trust
3.504% due 10/25/2034 (b)		160			160
1.000% due 06/25/2036		7,503			7,505
Triton Aviation Finance
4.239% due 06/15/2025 (b)		4,500			5
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		2,500			1,634
Vanderbilt Mortgage Finance
7.905% due 02/07/2026		198			213
Total Asset-Backed Securities (Cost $1,548,632)					1,457,825
SHORT-TERM INSTRUMENTS 9.7%
Certificates of Deposit 1.4%
Unicredito Italiano SpA
3.150% due 08/05/2005		151,700			151,702
Commercial Paper 1.4%
Fannie Mae
2.967% due 07/01/2005		106,200			106,200
UBS Finance Delaware LLC
3.230% due 09/19/2005		1,300			1,290
3.365% due 10/14/2005		37,700			37,321
					144,811
Repurchase Agreements 6.8%
Credit Suisse First Boston
2.700% due 07/01/2005		17,000			17,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $17,438. Repurchase proceeds are $17,001.)
State Street Bank
2.650% due 07/01/2005		6,742			6,742
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $6,872; and Freddie Mac 2.125% due 11/15/2005 valued at $5. Repurchase proceeds are $6,742)
UBS Warburg LLC
2.650% due 07/01/2005		700,000			700,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $17,438 and U.S. Treasury Strips 0.000% due 08/15/2015-08/15/2020 valued at $714,689. Repurchase proceeds are $700,052.)
					723,742
U.S. Treasury Bills 0.1%
2.936% due 09/01/2005-09/15/2005 (e)(g)(h)		11,225			11,149
Total Short-Term Instruments (Cost $1,031,424)					1,031,404
Total Investments (f) (Cost $16,114,287)		151.4	%	$	16,098,232
Written Options (i) (Premiums $3,208)		(0.0	%)		(562	)
Other Assets and Liabilities (Net)		(51.4	%)		(5,463,450	)
Net Assets		100.0	%	$	10,634,220

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Principal only security.

(b) Variable rate security.

(c) Interest only security.

(d) Security is in default.

(e) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(f) As of June 30, 2005, portfolio securities with an aggregate market value of $390,477 were valued with reference to securities whose prices are more readily obtainable.

(g) Securities with an aggregate market value of $7,703 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(h) Securities with an aggregate market value of $1,218 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
Eurodollar September Long Futures	09/2005	2,671	$	(1,752	)
U.S. Treasury 10-Year Note Short Futures	09/2005	15		(24	)
			$	(1,776	)

(i) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	10/31/2005	$	111,000	$	1,865	$	562
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	7.000	%*	10/31/2005		111,000		1,343		0
							$	3,208	$	562

* The Portfolio will pay a floating rate based on 3-month USD-LIBOR.

** The Portfolio will receive a floating rate based on 3-month USD-LIBOR.

(j) Swap agreements outstanding at June 30, 2005:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	KLIO Funding Corp. floating rate based on 3-month USD-LIBOR plus 1.800% due 04/23/2039	Sell	1.700	%	04/23/2039	$	4,000	$	0
Bear Stearns & Co., Inc.	Trinity CDO, Inc. floating rate based on 3-month USD-LIBOR plus 1.600% due 03/08/2040	Sell	1.700	%	03/08/2040		1,000		0
								$	0

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed     Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-month USD-LIBOR	Pay	4.000%	12/15/2010	$	75,800	$	243
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000%	12/15/2015		108,700		(5	)
Greenwich Capital Markets, Inc.	3-month USD-LIBOR	Pay	4.000%	12/15/2010		76,700		424
Lehman Brothers, Inc.	3-month USD-LIBOR with 6.150% interest rate cap	Receive	0.000%	10/01/2011		39,000		(1,790	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000%	12/15/2015		8,800		(57	)
							$	(1,185	)

(k) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Fannie Mae	5.000	07/19/2020	$	1,165,500	$	1,178,612	$	1,176,130
Fannie Mae	6.000	07/14/2035		60,000		61,519		61,575
Fannie Mae	5.000	08/11/2035		794,100		792,611		792,343
Freddie Mac	4.500	07/19/2020		200		199		198
Government National Mortgage Association	6.000	07/21/2035		67,500		69,630		69,524
					$	2,102,571	$	2,099,770

See accompanying notes

Schedule of Investments

Municipal Sector Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
MUNICIPAL BONDS & NOTES 97.2%
Alaska 0.5%
Northern Tobacco Securitization Corp., Alaska Tobacco Settlement Revenue Bonds, Series 2000
6.500% due 06/01/2031	$	1,500		$	1,581
Arizona 0.8%
Scottsdale, Arizona Preservation Authority Excise Tax Revenue Refunding Bonds, (FGIC Insured), Series 2004
5.000% due 07/01/2011		2,620			2,877
Arkansas 0.9%
University of Central Arkansas Revenue Bonds, (FGIC Insured), Series 2004-A
5.000% due 11/01/2011		410			440
5.000% due 11/01/2012		430			460
5.000% due 11/01/2013		450			481
University of Central Arkansas Revenue Bonds, (FGIC Insured), Series 2004-C
5.000% due 11/01/2010		410			446
5.000% due 11/01/2011		430			462
5.000% due 11/01/2012		450			482
5.000% due 11/01/2013		475			508
					3,279
California 7.2%
Association of Bay Area Governments Finance Authority Corp., California Revenue Bonds, Series 2003
5.200% due 11/15/2022		5,000			5,271
California Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 10/01/2033		1,800			1,930
California State Economic Recovery General Obligation Bonds, Series 2005
7.990% due 07/01/2013		4,000			4,998
California State Tobacco Securitization Agency Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		3,500			3,818
California Statewide Communities Development Authority Revenue Bonds, Series 2001
5.000% due 10/01/2018		1,500			1,582
Norco, California Redevelopment Agency Tax Allocation Bonds, (RADIAN Insured), Series 2004
5.000% due 03/01/2032		1,000			1,041
Orange County, California Sanitation District Certificates of Participation Bonds, (FGIC Insured), Series 2003
5.250% due 02/01/2030		900			976
Southern California Public Power Authority Transmission Project Revenue Bonds, (FGIC Insured), Series 1988
0.000% due 07/01/2014		8,155			5,866
					25,482
Colorado 0.8%
Dawson Ridge, Colorado Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		2,930			1,347
El Paso County, Colorado Single Family Mortgage Revenue Bonds, Series 1984
0.000% due 09/01/2015		2,000			1,326
					2,673
Connecticut 1.8%
University of Connecticut General Obligation Bonds, (MBIA Insured), Series 2004
7.520% due 01/15/2011 (a)		5,380			6,393
Florida 1.4%
Palm Beach County, Florida Solid Waste Authority Revenue Bonds, (AMBAC Insured), Series 2002-B
0.000% due 10/01/2014		7,000			4,860
Georgia 0.3%
Georgia State General Obligation Bonds, Series 2002-B
5.000% due 05/01/2020		1,000			1,081
Idaho 0.3%
Idaho Health Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2005
5.000% due 09/01/2035		1,000			1,042
Illinois 8.8%
Boone & Winnebago Counties, Illinois Community Unit School District No. 200 General Obligation Bonds, (FGIC Insured), Series 2003
0.000% due 01/01/2012		1,120			877
Boone, McHenry & Dekalb Counties, Illinois Community Unit School Dist No. 100 General Obligation Bonds, (MBIA Insured), Series 2005
0.000% due 12/01/2020		1,190			1,220
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000			706
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2023 (b)		5,965			5,058
Chicago, Illinois Neighborhood Alive 21 Program General Obligation Bonds, (AMBAC Insured), Series 1993
5.000% due 01/01/2012		5,000			5,471
Illinois Development Finance Authority Revenue Bonds, (MBIA Insured), Series 1991
0.000% due 07/15/2025		10,000			4,046
Illinois Educational Facilities Authority Revenue Bonds, (FGIC Insured), Series 1993
5.750% due 07/01/2012		4,000			4,056
Illinois Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		800			844
Illinois State General Obligation Bonds, Series 2003 - A
5.000% due 10/01/2010		2,375			2,581
Illinois State Housing Authority Revenue Bonds, Series 2001
5.375% due 07/01/2016		1,510			1,634
Lake, Cook, Dane & McHenry Counties, Illinois Community Unit School District General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 12/01/2011		2,760			3,025
Sangamon County, Illinois School District No. 186 Springfield General Obligation Bonds, (FGIC Insured), Series 2004
0.000% due 10/01/2009		2,000			1,715
					31,233
Indiana 5.4%
Ball State University, Indiana University Revenue Bonds, (FSA Insured), Series 2004-L
5.500% due 07/01/2020		475			561
Fairfield School Building Corp., Indiana Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 07/15/2024		2,850			3,037
Indiana Bond Bank Revenue Bonds, (MBIA Insured), Series 2003-E
5.000% due 09/01/2025		2,000			2,110
Indiana Bond Bank Special Program Revenue Bonds (Whiting Sanitary District), (MBIA Insured), Series 2003-C
5.000% due 01/25/2016		1,320			1,439
Indiana State Development Finance Authority Revenue Bonds, (AMBAC Insured), Series 2004
5.000% due 07/01/2030		1,475			1,557
Lawrence Township, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2004
5.000% due 01/15/2011		735			800
5.000% due 01/15/2012		425			466
5.000% due 01/15/2013		450			496
Merrillville, Indiana Multi School Building Corp. Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 01/05/2021		2,000			2,095
Southmont, Indiana School Building Corp. Revenue Bonds, (FGIC Insured), Series 2004
5.250% due 01/15/2011		445			490
5.250% due 01/15/2012		540			600
5.250% due 07/15/2012		475			531
Tri-Creek School Corp., Indiana School Revenue Bonds, (FSA Insured), Series 2003
5.000% due 07/15/2018		1,700			1,837
5.000% due 07/15/2019		1,790			1,928
Wayne Township School Building Corp., Indiana Revenue Bonds, (FGIC Insured), Series 2003-B
5.000% due 07/15/2012		1,100			1,213
					19,160
Iowa 0.2%
Iowa State General Obligation Bonds, Series 2002
5.000% due 06/01/2020		500			538
Kansas 1.9%
Kansas State Department of Transportation, State Highway Revenue Refunding Bonds, Series 2003
7.460% due 09/01/2011 (a)		5,000			6,021
Sedgwick County, Kansas Unified School District No. 259 Wichita General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 09/01/2012		750			829
					6,850
Louisiana 3.0%
Louisiana Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		2,560			2,673
8.426% due 11/15/2031 (a)		7,410			8,013
					10,686
Maine 0.3%
Maine Turnpike Authority Revenue Bonds, Series 2000
5.750% due 07/01/2028		1,000			1,135
Massachusetts 10.4%
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2003
8.470% due 11/01/2010 (a)		7,500			9,229
Commonwealth of Massachusetts General Obligation Bonds, (MBIA Insured), Series 2004
7.470% due 08/01/2011 (a)		10,000			11,936
Massachusetts Bay Transportation Authority Revenue Bonds, (Massachusetts State Insured), Series 2000
7.470% due 03/01/2028 (a)		500			528
Massachusetts Bay Transportation Authority Sales Tax Revenue Bonds, Series 2002-A
5.250% due 07/01/2016		4,930			5,535
Massachusetts State General Obligation Bonds, (AMBAC Insured), Series 2004-A
5.500% due 08/01/2030		500			603
Massachusetts State General Obligation Bonds, Series 2005
5.000% due 03/01/2025		5,000			5,376
Massachusetts State Housing Finance Agency Revenue Bonds, Series 2005
7.470% due 06/01/2034		2,500			2,646
Massachusetts State Water Residential Authority Revenue Bonds, (MBIA Insured), Series 1995
4.750% due 12/01/2021		700			713
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2034		250			271
					36,837
Michigan 2.1%
Detroit, Michigan Water Supply System Revenue Bonds, (MBIA Insured), Series 2003-B
5.000% due 07/01/2034		200			212
Michigan State Building Authority Revenue Bonds, (MBIA Insured), Series 2004
7.460% due 10/15/2020 (a)		4,953			5,760
Michigan State Clean Initiative Program General Obligation Bonds, Series 2001
5.000% due 11/01/2011		1,400			1,541
					7,513
Minnesota 1.7%
Minnesota State General Obligation Bonds, Series 2004
7.460% due 10/01/2009 (a)		5,175			6,035
Mississippi 0.8%
Mississippi Housing Finance Corp. Single Family Mortgage Purchase Revenue Bonds, Series 1983
0.000% due 06/01/2015		4,180			2,764
Missouri 0.1%
Olive Boulevard Transportation Development District Missouri Special Assesment Bonds, Series 2005
4.500% due 10/01/2022		250			250
Nevada 0.6%
Las Vegas Valley Water District Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2025		2,085			2,209
New Hampshire 0.6%
New Hampshire Health & Education Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002
5.375% due 07/01/2020		2,000			2,231
New Jersey 6.3%
New Jersey Economic Development Authority Revenue Bonds, (GTY AGMT Insured), Series 1998
6.000% due 11/01/2028		2,480			2,528
New Jersey State Educational Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2004-A
5.250% due 07/01/2034		2,000			2,143
New Jersey State General Obligation Bonds, Series 1992
6.000% due 02/15/2011		4,285			4,894
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.375% due 06/01/2032		8,000			8,602
New Jersey Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2037		1,325			1,386
New Jersey Transportation Trust Fund Authority Revenue Bonds, (FGIC Insured), Series 2004-A
5.000% due 06/15/2009		2,500			2,685
					22,238
New York 14.5%
New York Municipal Water Finance Authority Revenue Bonds, Series 2005
7.480% due 06/15/2031 (a)		5,000			5,661
New York State Development Corp. Correctional & Youth Facilities Service Contract Revenue Bonds, Series 2003
5.250% due 01/01/2021		5,000			5,337
New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 2004-A
5.250% due 08/15/2010		5,000			5,494
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000-340
6.940% due 08/15/2022 (a)		750			801
New York State Dormitory Authority Revenue Bonds, (MBIA-IBC Insured), Series 2000
8.480% due 07/01/2025 (a)		1,500			1,645
New York State Thruway Authority Local Highway & Bridge Service Contract Revenue Bonds, Series 2003-A
5.000% due 03/15/2010		2,250			2,429
New York Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003-A1
5.500% due 06/01/2017		10,000			10,985
New York, New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, (MBIA-IBC Insured), Series 2001-C
5.125% due 06/15/2033		4,090			4,348
New York, New York General Obligation Bonds, (MBIA Insured), Series 2001
7.730% due 05/15/2029 (a)(c)		5,915			6,470
New York, New York General Obligation Bonds, Series 2005
5.000% due 06/01/2030		6,500			6,890
New York, New York Transitional Financial Authority Revenue Bonds, Series 2000
8.480% due 11/01/2024 (a)		1,000			1,196
					51,256
North Carolina 1.4%
North Carolina State General Obligation Bonds, Series 2001
7.680% due 09/01/2017 (a)		4,000			4,917
Ohio 0.4%
Columbus, Ohio School District, School Facilities Construction & Improvement General Obligation Bonds, Series 2003
5.000% due 12/01/2010		1,380			1,507
Pennsylvania 2.5%
Pennsylvania State General Obligation Bonds, Series 2001
7.495% due 12/01/2008 (a)		6,750			7,803
Pittsburgh, Pennsylvania Water & Sewer System Authority Revenue Bonds, (FSA Insured), Series 2000
7.640% due 09/01/2021 (a)		1,000			1,091
					8,894
Puerto Rico 0.2%
Puerto Rico Children’s Trust Fund Tobacco Settlement Revenue Bonds, Series 2000
6.000% due 07/01/2026		700			794
Rhode Island 0.8%
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.250% due 06/01/2042		2,725			2,884
South Carolina 1.9%
Charleston County, South Carolina Certificate of Participation Bonds, (MBIA Insured), Series 2004
5.000% due 06/01/2011		1,295			1,425
Lexington County, South Carolina Health Services District, Inc. Hospital Revenue Bonds, Series 2004
5.500% due 05/01/2037		1,500			1,614
South Carolina Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001-B
6.375% due 05/15/2030		3,000			3,474
					6,513
Tennessee 4.0%
Memphis, Tennessee Electrical System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 12/01/2012		2,000			2,217
7.460% due 12/01/2010 (a)		5,150			6,100
Metropolitan Government of Nashville & Davidson County, Tennessee General Obligation Refunding Bonds, (MBIA - IBC Insured), Series 2003
7.460% due 10/15/2010 (a)		5,000			5,902
					14,219
Texas 8.0%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
7.440% due 02/15/2024 (a)		750			802
Austin, Texas Utility System Revenue Bonds, (MBIA Insured), Series 1992-A
0.000% due 11/15/2010		3,745			3,111
Garland, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
5.375% due 02/15/2012		100			107
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
6.960% due 02/15/2026 (a)		750			774
Houston, Texas Water & Sewer System Revenue Bonds, (AMBAC Insured), Series 1991-C
0.000% due 12/01/2009		1,750			1,515
Lubbock, Texas Health Facilities Development Revenue Bonds, Series 1998
5.250% due 07/01/2011		575			614
San Antonio, Texas Electric & Gas Revenue Refunding Bonds, Series 2003
7.960% due 02/01/2011 (a)		3,000			3,603
San Antonio, Texas General Obligation Bonds, (FSA Insured), Series 2004
5.000% due 02/01/2012		2,445			2,680
San Antonio, Texas General Obligation Bonds, Series 2001
5.000% due 08/01/2010		2,800			3,035
San Antonio, Texas Utilities Revenue Bonds, (MBIA Insured), Series 2005
7.460% due 02/01/2030		3,535			3,982
Sheldon, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2003
5.000% due 02/15/2025		2,400			2,538
Socorro, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
5.000% due 08/15/2027		3,540			3,768
5.000% due 08/15/2028		1,545			1,641
					28,170
Washington 3.6%
Energy Northwest, Washington Electric Revenue Bonds, (AMBAC Insured), Series 2004-A
5.250% due 07/01/2009		3,845			4,162
Port of Seattle, Washington Revenue Bonds, (MBIA Insured), Series 2000
5.625% due 02/01/2024		1,000			1,067
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004-F
0.000% due 12/01/2012		6,080			4,565
Washington State General Obligation Bonds, (FGIC Insured), Series 2005
0.000% due 06/01/2016		1,310			1,331
Washington State Public Power Supply System Nuclear Project No. 2 Revenue Bonds, (FGIC Insured), Series 1994-A
0.000% due 07/01/2009		1,850			1,614
					12,739
West Virginia 0.6%
Berkeley, Brooke & Fayette Counties, West Virginia Single Family Mortgage Revenue Bonds, Series 1983
0.000% due 12/01/2014		3,250			2,242
Wisconsin 3.1%
Badger Tobacco Asset Securitization Corp., Wisconsin Revenue Bonds, Series 2002
6.125% due 06/01/2027		945			1,004
Badger Tobacco Securitization Agency, Wisconsin Revenue Bonds, Series 2002
6.375% due 06/01/2032		250			267
Wisconsin Housing & Economic Development Authority Revenue Bonds, (MBIA Insured), Series 2002
4.600% due 05/01/2011		1,100			1,141
4.700% due 11/01/2012		40			40
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2004
9.935% due 05/01/2011 (a)		5,625			7,216
Wisconsin State Transportation Revenue Bonds, Series 1993
5.000% due 07/01/2011		1,000			1,092
					10,760
Total Municipal Bonds & Notes (Cost $332,215)					343,842
U.S. GOVERNMENT AGENCIES 0.0%
Fannie Mae
7.250% due 01/15/2010		100			113
Total U.S. Government Agencies (Cost $114)					113
SHORT-TERM INSTRUMENTS 1.4%
Commercial Paper 0.3%
General Electric Capital Corp.
3.150% due 08/01/2005		900			898
Repurchase Agreement 1.0%
State Street Bank
2.650% due 07/01/2005		3,426			3,426
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $3,499. Repurchase proceeds are $3,426.)
U.S. Treasury Bill 0.1%
2.947% due 09/15/2005		540			536
Total Short-Term Instruments (Cost $4,860)					4,860
Total Investments (Cost $337,189)		98.6	%	$	348,815
Other Assets and Liabilities (Net)		1.4	%		4,990
Net Assets		100.0	%	$	353,805

Notes to Schedule of Investments (amounts in thousands):

(a) Variable rate security.

(b) Security becomes interest bearing at a future date.

(c) Restricted security as of June 30, 2005:

Issuer Description	Coupon (%)	Maturity	Acquisition Date		Cost as of June 30, 2005		Market Value as of June 30, 2005	Market Value as Percentage of Net Assets
New York, New York General Obligation Bonds, (MBIA Insured), Series 2001	7.730	05/15/2029	08/28/2001	$	5,991	$	6,470	1.83	%

See accompanying notes

Schedule of Investments

Real Return Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 1.1%
Banking & Finance 1.0%
General Motors Acceptance Corp.
4.145% due 05/18/2006 (a)	$	400		$	398
4.050% due 01/16/2007 (a)		6,300			6,165
Morgan Stanley Dean Witter & Co.
6.100% due 04/15/2006		245			249
Travelers Property Casualty Corp.
3.750% due 03/15/2008		800			788
Vita Capital Ltd.
4.450% due 01/01/2007 (a)		3,600			3,608
					11,208
Utilities 0.1%
British Telecom PLC
7.875% due 12/15/2005		250			255
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		640			688
					943
Total Corporate Bonds & Notes (Cost $12,244)					12,151
MUNICIPAL BONDS & NOTES 0.5%
Badger Tobacco Securitization Agency, Wisconsin Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,000			1,069
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		275			279
Connecticut State General Obligation Bonds, (MBIA Insured), Series 2004-A
5.000% due 03/01/2013		1,000			1,109
Kansas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003-A
5.000% due 09/01/2013		300			333
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		500			559
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		500			527
Washington Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		1,170			1,279
Total Municipal Bonds & Notes (Cost $4,580)					5,155
U.S. GOVERNMENT AGENCIES 0.0%
Fannie Mae
4.597% due 09/01/2018 (a)		124			127
Government National Mortgage Association
6.500% due 05/15/2026 - 06/15/2028 (c)		138			145
Total U.S. Government Agencies (Cost $268)					272
U.S. TREASURY OBLIGATIONS 97.5%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007		20,753			21,418
3.625% due 01/15/2008		8,912			9,433
3.875% due 01/15/2009		90,261			98,240
4.250% due 01/15/2010		29,213			32,883
3.500% due 01/15/2011		35,548			39,409
3.375% due 01/15/2012		10,957			12,239
3.000% due 07/15/2012		120,727			132,639
1.875% due 07/15/2013		92,583			94,590
2.000% due 01/15/2014		29,482			30,377
2.000% due 07/15/2014		189,260			195,079
1.625% due 01/15/2015		10,597			10,561
2.375% due 01/15/2025		96,712			105,896
3.625% due 04/15/2028		129,889			174,564
3.875% due 04/15/2029		39,053			54,901
U.S. Treasury Bond
6.625% due 02/15/2027		2,500			3,319
U.S. Treasury Notes
4.875% due 02/15/2012		41,800			44,406
4.250% due 11/15/2013		35,700			36,583
4.125% due 05/15/2015		10,100			10,251
Total U.S. Treasury Obligations (Cost $1,091,144)					1,106,788
MORTGAGE-BACKED SECURITIES 0.2%
Bear Stearns Adjustable Rate Mortgage Trust
4.314% due 11/25/2030 (a)		913			924
Countrywide Home Loan Mortgage Pass-Through Trust
3.654% due 06/25/2035 (a)		1,600			1,601
Total Mortgage-Backed Securities (Cost $2,514)					2,525
ASSET-BACKED SECURITIES 0.7%
Bear Stearns Asset-Backed Securities, Inc.
3.764% due 07/25/2033 (a)		566			567
Carrington Mortgage Loan Trust
3.240% due 06/25/2035 (a)		600			600
Quest Trust
3.494% due 03/25/2035 (a)		851			851
Redwood Capital Ltd.
5.400% due 01/01/2006 (a)		4,900			4,895
Residential Asset Securities Corp.
3.614% due 01/25/2034 (a)		209			209
Wells Fargo Home Equity Trust
3.474% due 09/25/2034 (a)		275			275
Total Asset-Backed Securities (Cost $7,402)					7,397
FOREIGN CURRENCY-DENOMINATED ISSUES (j) 0.7%
Commonwealth of Canada
3.000% due 12/01/2036 (b)	C$	1,346			1,369
Pylon Ltd.
3.616% due 12/18/2008 (a)	EC	3,200			4,082
Republic of France
5.750% due 10/25/2032		1,400			2,299
Total Foreign Currency-Denominated Issues (Cost $7,436)					7,750
	Shares
PREFERRED STOCK 0.2%
Fannie Mae
7.000% due 12/31/2049 (a)		35,700			1,989
Total Preferred Stock (Cost $1,785)					1,989
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS (j) 7.1%
Commercial Paper 2.4%
Rabobank USA Financial Corp.
3.160% due 08/08/2005	$	22,700			22,624
Skandinaviska Enskilda Banken AB (SEB)
3.310% due 09/15/2005		800			794
UBS Finance Delaware LLC
3.165% due 08/08/2005		3,600			3,588
					27,006
Repurchase Agreement 0.3%
State Street Bank
2.650% due 07/01/2005		3,948			3,948
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $4,031. Repurchase proceeds are $3,948.)
French Treasury Bill 0.9%
1.995% due 09/01/2005	EC	8,500			10,226
Spanish Treasury Bills 0.9%
1.995% due 08/19/2005		19,300			23,291
U.S. Treasury Bills 1.5%
2.939% due 09/01/2005-09/15/2005 (c)(e)(f)	$	16,640			16,529
Total Short-Term Instruments (Cost $81,008)					81,000
Total Investments (d) (Cost $1,208,381)		108.0	%	$	1,225,027
Written Options (h)		(0.1	%)		(153	)
(Premiums $214)
Other Assets and Liabilities (Net)		(7.9	%)		(90,182	)
Net Assets		100.0	%	$	1,134,692

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $5,683 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $9,942 have been pledged as collateral for swap and swaption contracts at

June 30, 2005.

(f) Securities with an aggregate market value of $2,502 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Euro-Bund 10-Year Note Short Futures	09/2005	11	$	(12	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	1,032		840
U.S. Treasury 5-Year Note Long Futures	09/2005	404		118
			$	946

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	03/15/2007	EC	1,400	$	41
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	03/15/2007		1,600		39
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	03/15/2007		1,100		35
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	5,800		0
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		3,200		8
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		142,300		(338	)
J.P. Morgan Chase & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		7,500		0
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		124,900		318
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	4.000	%	12/15/2010		2,800		(9	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		42,100		(273	)
UBS Warburg LLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		10,300		26
UBS Warburg LLC	3-month USD-LIBOR	Receive	6.000	%	12/18/2033		14,900		(1,714	)
								$	(1,867	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	General Motors Acceptance Corp. 6.875% due 08/27/2012	Sell	2.650	%	05/25/2006	$	1,000	$	14
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.820	%	06/20/2007		1,000		18
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	06/20/2007		500		8
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.280	%	06/20/2006		2,000		21
HSBC Bank USA	Ford Motor Co. 7.450% due 07/16/2031	Sell	2.410	%	06/20/2007		300		(2	)
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	06/20/2007		300		3
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	06/20/2007		300		3
HSBC Bank USA	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.670	%	06/20/2007		2,000		30
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.800	%	06/20/2006		3,000		31
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	06/20/2007		3,000		52
								$	178

(h) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note September Futures	$	115.000	08/26/2005	13	$	5	$	4
Call - CBOT U.S. Treasury Note September Futures		116.000	08/26/2005	423		104		60
Put - CBOT U.S. Treasury Note September Futures		110.000	08/26/2005	189		38		18
Put - CBOT U.S. Treasury Note September Futures		111.000	08/26/2005	183		32		37
Put - CBOT U.S. Treasury Note December Futures		110.000	11/22/2005	64		35		34
					$	214	$	153

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	3.625	05/15/2013	$	2,000	$	1,975	$	1,973
U.S. Treasury Note	4.250	08/15/2013		26,300		26,966		27,055
U.S. Treasury Note	4.250	11/15/2013		71,400		73,165		73,248
					$	102,106	$	102,276

(j) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Sell	C$	1,583	07/2005	$	0	$	(19	)	$	(19	)
Buy	EC	29,585	07/2005		113		(5	)		108
Sell		41,837	07/2005		281		0			281
Sell		13,732	08/2005		0		(25	)		(25	)
Buy	JY	1,012,737	07/2005		0		(372	)		(372	)
				$	394	$	(421	)	$	(27	)

See accompanying notes

Schedule of Investments

Short-Term Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 13.8%
Banking & Finance 7.1%
CIT Group, Inc.
3.504% due 05/23/2008 (a)	$	700		$	701
First Union National Bank
6.180% due 02/15/2036		600			718
Ford Motor Credit Co.
6.875% due 02/01/2006		16,445			16,612
4.389% due 03/21/2007 (a)		8,200			8,031
General Motors Acceptance Corp.
7.500% due 07/15/2005		1,000			1,000
4.395% due 10/20/2005 (a)		7,340			7,347
6.750% due 01/15/2006		15,880			16,007
4.145% due 05/18/2006 (a)		11,600			11,548
Goldman Sachs Group, Inc.
3.151% due 08/01/2006 (a)		17,000			17,002
3.590% due 03/30/2007 (a)		2,500			2,504
3.491% due 07/23/2009 (a)		12,100			12,174
Household Finance Corp.
6.700% due 11/15/2005		10,140			10,238
7.200% due 07/15/2006		11,055			11,399
HSBC Finance Corp.
3.360% due 02/28/2007 (a)		6,700			6,703
3.480% due 05/10/2010 (a)		5,050			5,054
Morgan Stanley Dean Witter & Co.
3.270% due 01/12/2007 (a)		200			200
Morgan Stanley Warehouse Facilities
2.670% due 07/06/2005 (a)		16,500			16,412
NiSource Finance Corp.
7.625% due 11/15/2005		10,000			10,132
State Street Capital Trust II
3.768% due 02/15/2008 (a)		4,000			4,008
Westpac Trust Securities NZ Ltd.
3.170% due 07/01/2005 (a)		4,900			4,900
					162,690
Industrials 3.5%
AOL Time Warner, Inc.
6.125% due 04/15/2006		405			411
Columbia Energy Group
6.800% due 11/28/2005		6,400			6,470
Cox Radio, Inc.
6.625% due 02/15/2006		450			456
DaimlerChrysler NA Holding Corp.
7.250% due 01/18/2006		250			254
3.890% due 05/24/2006 (a)		5,495			5,511
3.610% due 03/07/2007 (a)		10,700			10,671
3.859% due 09/10/2007 (a)		12,500			12,507
Duke Energy Field Services LLC
7.500% due 08/16/2005		6,935			6,962
General Electric Co.
3.211% due 10/24/2005 (a)		4,595			4,596
Lenfest Communications, Inc.
8.375% due 11/01/2005		4,000			4,057
Southwestern Public Service Co.
5.125% due 11/01/2006		6,000			6,077
TCI Communications, Inc.
8.000% due 08/01/2005		3,000			3,009
6.875% due 02/15/2006		7,555			7,680
Tyco International Group S.A.
6.375% due 02/15/2006		12,518			12,687
					81,348
Utilities 3.2%
Appalachian Power Co.
6.800% due 03/01/2006		2,420			2,463
Dominion Resources, Inc.
7.625% due 07/15/2005		8,200			8,207
Entergy Gulf States, Inc.
3.600% due 06/01/2008		8,850			8,670
Niagara Mohawk Power Corp.
6.625% due 07/01/2005		2,000			2,000
Ohio Edison Co.
4.000% due 05/01/2008		6,325			6,259
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		1,166			1,166
Pepco Holdings, Inc.
3.750% due 02/15/2006		7,867			7,856
Progress Energy, Inc.
6.750% due 03/01/2006		3,446			3,505
PSEG Power LLC
6.875% due 04/15/2006		6,300			6,432
PSI Energy, Inc.
6.500% due 08/01/2026 (a)		7,900			7,917
Southwestern Electric Power
4.500% due 07/01/2005		4,720			4,720
Telefonica Europe BV
7.350% due 09/15/2005		1,000			1,007
TXU Energy Co. LLC
3.920% due 01/17/2006 (a)		7,915			7,914
Virginia Electric & Power Co.
5.750% due 03/31/2006		4,390			4,447
					72,563
Total Corporate Bonds & Notes (Cost $317,576)					316,601
U.S. GOVERNMENT AGENCIES 18.9%
Fannie Mae
2.690% due 09/15/2005 (a)		25,000			24,998
3.111% due 04/26/2035 (a)		17,333			17,344
3.179% due 05/22/2006 (a)		40,000			39,986
3.220% due 09/06/2005 (a)		63,800			63,784
3.235% due 09/07/2006 (a)		68,600			68,598
3.314% due 09/21/2006 (a)		79,900			79,876
3.434% due 03/25/2034 (a)		2,771			2,775
3.500% due 04/25/2017		7,772			7,733
3.714% due 06/25/2032 (a)		90			90
3.971% due 05/01/2036 (a)		3,184			3,236
4.172% due 05/01/2036 (a)		6			6
4.247% due 11/01/2025 (a)		344			354
4.288% due 05/01/2036 (a)		393			400
4.494% due 09/25/2023 - 10/25/2023 (a)(c)		535			549
4.646% due 07/01/2029 (a)		138			141
5.146% due 04/01/2033 (a)		171			173
5.442% due 12/01/2040 (a)		893			921
5.523% due 06/01/2032 (a)		516			520
6.500% due 06/01/2006 - 12/25/2042 (c)		847			882
6.880% due 11/01/2006		2,599			2,657
6.962% due 09/01/2029 (a)		777			798
7.270% due 05/01/2010		1,039			1,148
7.396% due 06/01/2030 (a)		247			251
7.480% due 02/01/2010		741			820
7.500% due 05/01/2028 - 09/01/2030 (a)(c)		305			327
7.775% due 05/01/2030 (a)		29			30
8.000% due 10/01/2026		301			325
9.000% due 04/01/2020 - 01/01/2026 (c)		487			532
9.500% due 07/01/2021 - 06/01/2025 (c)		367			407
Federal Home Loan Bank
3.039% due 10/03/2005 (a)		25,000			25,000
3.259% due 06/12/2006 (a)		41,400			41,399
4.200% due 02/05/2007 (a)		16,000			14,880
Freddie Mac
4.000% due 09/22/2009		6,000			5,953
4.768% due 03/01/2030 (a)		610			622
5.500% due 02/15/2016 - 08/15/2030 (c)		422			423
5.638% due 11/01/2031 (a)		1,604			1,651
5.908% due 07/01/2019 (a)		22			23
6.000% due 10/01/2033		795			816
6.250% due 03/15/2028		9,254			9,431
6.500% due 05/01/2006		44			44
7.250% due 06/15/2007		1			1
Government National Mortgage Association
3.500% due 09/20/2029 (a)		1,301			1,313
3.610% due 06/20/2032 (a)		377			379
3.636% due 02/16/2032 (a)		543			545
3.660% due 06/20/2030 (a)		91			91
3.736% due 04/16/2032 (a)		391			394
3.750% due 07/20/2026 (a)		76			77
4.125% due 10/20/2029 (a)		6,024			6,113
4.250% due 01/20/2030 (a)		80			81
4.375% due 01/20/2027 (a)		2,224			2,265
6.000% due 01/15/2032 - 03/15/2032 (c)		70			72
8.500% due 12/20/2026 - 11/20/2027 (c)		129			140
Total U.S. Government Agencies (Cost $431,953)					431,374
U.S. TREASURY OBLIGATIONS 8.2%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007		3,561			3,675
3.625% due 01/15/2008		42,860			45,367
3.875% due 01/15/2009		3,606			3,925
U.S. Treasury Notes
2.750% due 07/31/2006		12,400			12,299
3.375% due 12/15/2008		16,400			16,240
4.875% due 02/15/2012		89,200			94,761
4.125% due 05/15/2015		10,300			10,454
Total U.S. Treasury Obligations (Cost $184,736)					186,721
MORTGAGE-BACKED SECURITIES 8.8%
Bank of America Mortgage Securities, Inc.
5.549% due 10/20/2032 (a)		2,538			2,554
6.500% due 02/25/2033		2,251			2,288
Bear Stearns Adjustable Rate Mortgage Trust
5.937% due 06/25/2032 (a)		641			644
5.259% due 10/25/2032 (a)		454			453
5.632% due 02/25/2033 (a)		90			91
4.716% due 12/25/2033 (a)		3,345			3,343
4.247% due 01/25/2034 (a)		2,897			2,892
4.854% due 01/25/2034 (a)		2,327			2,330
3.594% due 02/25/2034 (a)		5,507			5,530
3.732% due 11/25/2034 (a)		9,871			10,020
Commercial Mortgage Pass-Through Certificates
3.390% due 07/15/2015 (a)		1,193			1,194
Countrywide Home Loan Mortgage Pass-Through Trust
3.634% due 03/25/2035 (a)		42,096			42,092
3.654% due 06/25/2035 (a)		12,000			12,004
Countrywide Home Loans, Inc.
6.000% due 02/25/2033		58			58
3.584% due 04/25/2034 (a)		897			895
CS First Boston Mortgage Securities Corp.
3.350% due 03/25/2032 (a)		2,070			2,055
3.704% due 05/25/2032 (a)		1,220			1,219
4.910% due 11/25/2032 (a)		281			285
6.500% due 04/25/2033		1,412			1,429
3.400% due 08/25/2033 (a)		2,556			2,570
First Republic Mortgage Loan Trust
3.634% due 06/25/2030 (a)		1,604			1,604
3.570% due 11/15/2031 (a)		1,528			1,538
3.520% due 08/15/2032 (a)		7,407			7,411
GS Mortgage Securities Corp.
3.370% due 11/15/2015 (a)		2,164			2,165
GSR Mortgage Loan Trust
6.000% due 03/25/2032		315			316
GSRPM Mortgage Loan Trust
3.714% due 11/25/2031 (a)		4,060			4,071
Impac CMB Trust
3.764% due 09/25/2033 (a)		4,519			4,533
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,789			2,805
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		398			403
Sequoia Mortgage Trust
3.640% due 10/20/2027 (a)		2,765			2,771
3.610% due 07/20/2033 (a)		9,030			8,986
Structured Asset Mortgage Investments, Inc.
3.590% due 09/19/2032 (a)		5,453			5,430
3.610% due 03/19/2033 (a)		6,402			6,410
Structured Asset Securities Corp.
3.764% due 06/25/2017 (a)		29			29
3.794% due 03/25/2031 (a)		13			13
3.604% due 02/25/2032 (a)		801			804
4.254% due 05/25/2032 (a)		903			908
3.814% due 07/25/2032 (a)		1,682			1,684
5.450% due 03/25/2033 (a)		6,154			6,138
3.814% due 11/25/2033 (a)		90			90
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (a)		7,048			7,045
5.385% due 02/25/2031 (a)		169			172
6.324% due 07/25/2032 (a)		527			527
5.126% due 10/25/2032 (a)		772			777
5.067% due 02/25/2033 (a)		1,793			1,809
5.380% due 02/25/2033 (a)		1,242			1,245
3.904% due 06/25/2042 (a)		4,719			4,769
3.435% due 01/25/2045 (a)		33,660			33,686
Total Mortgage-Backed Securities (Cost $202,382)					202,085
ASSET-BACKED SECURITIES 5.0%
AAA Trust
3.414% due 04/25/2035 (a)		26,525			26,570
AFC Home Equity Loan Trust
3.624% due 12/22/2027 (a)		122			122
Ameriquest Mortgage Securities, Inc.
3.724% due 02/25/2033 (a)		254			254
3.724% due 03/25/2033 (a)		255			255
3.794% due 02/25/2034 (a)		1,600			1,601
Amortizing Residential Collateral Trust
3.574% due 09/25/2030 (a)		204			204
3.664% due 10/25/2031 (a)		1,999			2,005
3.604% due 07/25/2032 (a)		56			55
Argent Securities, Inc.
3.764% due 09/25/2033 (a)		2,062			2,075
Bear Stearns Asset-Backed Securities, Inc.
3.454% due 07/25/2022 (a)		94			94
3.644% due 10/25/2032 (a)		743			745
3.764% due 03/25/2043 (a)		4,870			4,880
CDC Mortgage Capital Trust
3.684% due 08/25/2033 (a)		229			229
Centex Home Equity Co. LLC
3.484% due 01/25/2025 (a)		3,309			3,312
3.554% due 03/25/2030 (a)		7,495			7,508
3.614% due 09/26/2033 (a)		1,212			1,214
Chase Credit Card Master Trust
4.060% due 10/15/2007 (a)		3,100			3,103
CIT Group Home Equity Loan Trust
3.584% due 06/25/2033 (a)		230			230
Countrywide Asset-Backed Certificates
3.494% due 11/25/2021 (a)		1,364			1,365
3.474% due 08/25/2023 (a)		705			705
3.574% due 05/25/2032 (a)		19			19
3.684% due 05/25/2032 (a)		453			454
3.734% due 04/25/2033 (a)		139			139
3.624% due 03/25/2034 (a)		636			637
3.464% due 12/25/2034 (a)		323			323
3.340% due 06/25/2035 (a)		600			600
Credit-Based Asset Servicing & Securitization LLC
3.634% due 06/25/2032 (a)		692			693
CS First Boston Mortgage Securities Corp.
3.624% due 01/25/2032 (a)		584			589
Equity One ABS, Inc.
3.614% due 04/25/2034 (a)		7,815			7,823
First Franklin Mortgage Loan Trust Asset-Backed Certificates
2.820% due 02/25/2034 (a)		3,627			3,627
3.444% due 10/25/2034 (a)		220			220
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 09/20/2033 (a)		5,698			5,721
Home Equity Asset Trust
3.614% due 11/25/2032 (a)		8			8
3.724% due 03/25/2033 (a)		343			344
Home Equity Mortgage Trust
3.734% due 01/25/2034 (a)		41			41
3.464% due 12/25/2034 (a)		233			233
3.434% due 07/25/2035 (a)		3,699			3,701
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		960			962
Irwin Home Equity Loan Trust
3.684% due 02/25/2012 (a)		203			203
3.834% due 06/25/2028 (a)		1,154			1,160
3.584% due 07/25/2032 (a)		1,823			1,827
IXIS Real Estate Capital Trust
3.394% due 09/25/2035 (a)		1,831			1,832
Long Beach Mortgage Loan Trust
3.664% due 03/25/2032 (a)		95			96
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.654% due 08/25/2033 (a)		2,528			2,533
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (a)		30			30
3.734% due 11/25/2032 (a)		183			183
Novastar Home Equity Loan
3.644% due 09/25/2031 (a)		480			481
Renaissance Home Equity Loan Trust
3.664% due 08/25/2032 (a)		392			393
3.754% due 08/25/2033 (a)		1,777			1,785
3.814% due 12/25/2033 (a)		4,082			4,106
Residential Asset Mortgage Products, Inc.
3.654% due 08/25/2033 (a)		1,691			1,693
3.644% due 12/25/2033 (a)		4,612			4,617
3.414% due 05/25/2035 (a)		3,167			3,168
Residential Asset Securities Corp.
3.544% due 09/25/2031 (a)		1,091			1,096
Salomon Brothers Mortgage Securities VII, Inc.
3.614% due 03/25/2032 (a)		1,349			1,353
Saxon Asset Securities Trust
3.584% due 01/25/2032 (a)		159			159
3.714% due 12/25/2032 (a)		374			374
SLM Student Loan Trust
3.141% due 04/25/2010 (a)		1,973			1,974
Specialty Underwriting & Residential Finance
3.654% due 01/25/2034 (a)		577			578
3.644% due 06/25/2034 (a)		1,779			1,785
WMC Mortgage Loan
3.560% due 05/15/2030 (a)		714			714
Total Asset-Backed Securities (Cost $114,600)					114,800
		# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 94.000 Exp. 12/19/2005		1,400			9
Strike @ 93.750 Exp. 12/19/2005		650			4
Eurodollar September Futures (CME)
Strike @ 94.500 Exp. 09/19/2005		350			2
Total Purchased Put Options (Cost $24)					15
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 47.9%
Certificates of Deposit 9.9%
Citibank New York N.A.
3.120% due 07/28/2005	$	11,100			11,100
Dexia Bank New York N.A.
3.130% due 07/29/2005		81,200			81,200
Nordea Bank Finland PLC
2.805% due 07/05/2005		50,000			50,000
Unicredito Italiano SpA
3.090% due 07/21/2005		82,900			82,900
					225,200
Commercial Paper 27.6%
Fannie Mae
2.967% due 07/01/2005		64,600			64,596
2.790% due 07/20/2005		12,790			12,771
2.990% due 08/08/2005		33,900			33,793
3.250% due 09/14/2005		66,200			65,730
Federal Home Loan Bank
2.963% due 07/01/2005		26,500			26,498
Freddie Mac
3.240% due 11/01/2005		149,460			147,686
Rabobank USA Financial Corp.
3.095% due 07/27/2005		90,000			89,799
Skandinaviska Enskilda Banken AB (SEB)
3.030% due 07/13/2005		77,300			77,222
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		25,200			25,200
UBS AG
1.930% due 07/05/2005		5,000			5,000
UBS Finance Delaware LLC
3.070% due 07/08/2005		60,200			60,164
3.230% due 09/19/2005		23,500			23,322
					631,781
Repurchase Agreements 10.0%
Credit Suisse First Boston
2.700% due 07/01/2005		22,000			22,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $22,568. Repurchase proceeds are $22,002.)
State Street Bank
2.650% due 07/01/2005		7,040			7,040
(Dated 06/30/2005. Collateralized by Fannie Mae 2.875% due 10/15/2005 valued at $7,183. Repurchase proceeds are $7,041.)
UBS Warburg LLC
2.650% due 07/01/2005		200,000			200,000
(Dated 06/30/2005. Collateralized by Treasury Inflation Protected Securities 3.875% due 01/15/2009 valued at $242,352. Repurchase proceeds are $200,015.)
					229,040
U.S. Treasury Bills 0.4%
2.942% due 09/01/2005-09/15/2005 (c)(d)(f)		9,100			9,038
Total Short-Term Instruments (Cost $1,095,217)					1,095,059
Total Investments (e) (Cost $2,346,488)		102.6	%	$	2,346,655
Written Options (Premiums $862)		(0.0	%)		(38	)
Other Assets and Liabilities (Net)		(2.6	%)		(59,178	)
Net Assets		100.0	%	$	2,287,439

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $1,491 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(e) As of June 30, 2005, portfolio securities with an aggregate market value of $122,784 were valued with reference to securities whose prices are more readily obtainable.

(f) Securities with an aggregate market value of $5,109 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	1,200	$	735
Eurodollar December Long Futures	12/2005	3,609		(723	)
U.S. Treasury 5-Year Note Long Futures	09/2005	29		(1	)
			$	11

(g) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2007	$	53,000	$	135
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		16,500		(1	)
UBS Warburg LLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2007		20,000		51
								$	185

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	03/20/2007	$	8,100		28
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.980	%	08/04/2005		900		4
J.P. Morgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.800	%	06/20/2006		2,000		21
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	06/20/2007		3,000		52
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.200	%	06/20/2007		700		4
								$	109

(h) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3.900	%**	07/05/2005	$	401,000	$	862	$	38

** The Portfolio will receive a floating rate based on 3-month USD-LIBOR.

(i) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	5.500	05/15/2009	$	2,850	$	3,038	$	3,037
U.S. Treasury Note	4.250	08/15/2013		93,710		96,082		96,048
					$	99,120	$	99,085

See accompanying notes

Schedule of Investments

Short-Term Portfolio II

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 15.7%
Banking & Finance 6.1%
Duke Capital LLC
6.250% due 07/15/2005	$	1,312		$	1,313
Ford Motor Credit Co.
6.875% due 02/01/2006		8,000			8,081
6.500% due 01/25/2007		4,000			4,030
4.389% due 03/21/2007 (a)		2,000			1,959
General Electric Capital Corp.
3.570% due 09/23/2005 (a)		5,000			5,003
General Motors Acceptance Corp.
7.500% due 07/15/2005		2,400			2,401
4.395% due 10/20/2005 (a)		2,360			2,362
6.750% due 01/15/2006		4,800			4,838
4.145% due 05/18/2006 (a)		7,500			7,466
Goldman Sachs Group, Inc.
3.370% due 08/01/2006 (a)		15,580			15,582
Household Finance Corp.
6.700% due 11/13/2005		2,920			2,948
Korea Development Bank
7.250% due 05/15/2006		150			154
Merrill Lynch & Co., Inc.
3.639% due 09/27/2005 (a)		1,000			1,000
NiSource Finance Corp.
7.625% due 11/15/2005		7,799			7,902
PPL Capital Funding Trust I
7.290% due 05/18/2006		1,250			1,280
					66,319
Industrials 5.9%
AmeriGas Partners LP
10.000% due 04/15/2006		2,000			2,075
AOL Time Warner, Inc.
6.125% due 04/15/2006		2,062			2,095
Ball Corp.
7.750% due 08/01/2006		1,700			1,768
Caesars Entertainment, Inc.
7.875% due 12/15/2005		3,285			3,342
Constellation Brands, Inc.
8.625% due 08/01/2006		840			878
CSC Holdings, Inc.
7.875% due 12/15/2007		1,800			1,868
DaimlerChrysler NA Holding Corp.
3.890% due 05/24/2006 (a)		4,265			4,277
3.610% due 03/07/2007 (a)		6,460			6,443
Delhaize America, Inc.
7.375% due 04/15/2006		2,100			2,156
Duke Energy Field Services LLC
7.500% due 08/16/2005		420			422
Enterprise Products Operating LP
4.000% due 10/15/2007		1,300			1,288
Fort James Corp.
6.875% due 09/15/2007		900			941
Georgia-Pacific Corp.
7.500% due 05/15/2006		3,445			3,548
Harrah’s Operating Co., Inc.
7.875% due 12/15/2005		2,975			3,027
HCA, Inc.
7.125% due 06/01/2006		6,754			6,933
HJ Heinz Co.
6.189% due 12/01/2005 (a)		3,550			3,584
ITT Corp.
6.750% due 11/15/2005		2,250			2,275
JC Penney Co., Inc.
6.500% due 12/15/2007		2,000			2,070
Lenfest Communications, Inc.
8.375% due 11/01/2005		5,727			5,809
Mirage Resorts, Inc.
6.750% due 08/01/2007		1,500			1,554
News America Holdings
7.430% due 10/01/2026		1,500			1,773
Safeway, Inc.
3.800% due 08/15/2005		1,740			1,738
6.150% due 03/01/2006		1,500			1,516
Smurfit Capital Funding PLC
6.750% due 11/20/2005		1,720			1,729
Tyco International Group S.A.
6.375% due 02/15/2006		2,000			2,027
					65,136
Utilities 3.7%
CenterPoint Energy Resources Corp.
8.125% due 07/15/2005		4,460			4,465
Dominion Resources, Inc.
7.625% due 07/15/2005		2,801			2,804
Duke Energy Corp.
3.820% due 12/08/2005 (a)		4,235			4,236
Entergy Gulf States, Inc.
3.600% due 06/01/2008		4,400			4,310
Florida Power Corp.
6.720% due 07/01/2005		500			500
GPU, Inc.
7.700% due 12/01/2005		8,500			8,622
Ohio Edison Co.
4.000% due 05/01/2008		40			40
Pacific Gas & Electric Co.
3.820% due 04/03/2006 (a)		839			839
Pepco Holdings, Inc.
3.750% due 02/15/2006		3,300			3,295
Progress Energy, Inc.
6.750% due 03/01/2006		2,010			2,045
PSEG Power LLC
6.875% due 04/15/2006		1,630			1,664
Southwestern Electric Power
4.500% due 07/01/2005		1,640			1,640
TXU Energy Co., LLC
3.420% due 01/17/2006 (a)		3,220			3,220
Virginia Electric & Power Co.
5.750% due 03/31/2006		3,000			3,039
					40,719
Total Corporate Bonds & Notes (Cost $172,249)					172,174
MUNICIPAL BONDS & NOTES 0.0%
New York, New York Municipal Water Finance Authority Revenue Bonds, Series 2005
7.220% due 06/15/2035 (a)		500			559
Total Municipal Bonds & Notes (Cost $530)					559
U.S. GOVERNMENT AGENCIES 19.8%
Fannie Mae
2.820% due 09/06/2005 (a)		62,700			62,684
2.834% due 09/15/2005 (a)		20,000			19,999
2.975% due 10/21/2005 (a)		13,500			13,500
3.125% due 07/01/2017 (a)		26			26
3.141% due 01/01/2018 (a)		82			83
3.235% due 09/07/2006 (a)		43,600			43,598
3.419% due 11/01/2018 (a)		25			26
3.422% due 10/01/2040 (a)		66			68
3.434% due 03/25/2034 (a)		14,104			14,123
3.500% due 04/25/2017		4,939			4,914
3.650% due 11/01/2017 - 11/01/2018 (a)(c)		77			78
3.700% due 09/17/2027 (a)		27			27
3.781% due 07/18/2027 (a)		18			18
3.819% due 01/01/2033 (a)		486			497
3.844% due 02/25/2022 - 12/25/2022 (a)(c)		7			8
3.944% due 08/25/2022 (a)		4			4
3.994% due 12/25/2022 (a)		3			3
4.044% due 09/25/2022 (a)		3			3
4.194% due 02/25/2023 (a)		2			2
4.344% due 08/25/2022 (a)		2			2
4.494% due 09/25/2023 (a)		289			297
4.500% due 02/25/2008		3,783			3,787
4.648% due 09/01/2031 (a)		211			218
4.660% due 09/01/2031 (a)		2,954			3,046
4.886% due 02/01/2024 (a)		11			11
4.906% due 06/01/2024 (a)		9			9
5.500% due 07/01/2017 - 11/01/2034 (c)		7,562			7,704
5.980% due 12/01/2017 (a)		7			7
6.000% due 07/25/2024		394			395
Federal Home Loan Bank
3.039% due 10/03/2005 (a)		25,000			25,000
3.250% due 08/15/2005		15,000			14,996
Freddie Mac
3.470% due 07/15/2016 (a)		1,071			1,072
3.625% due 06/01/2018 (a)		138			139
3.650% due 06/01/2017 - 01/15/2022 (a)(c)		50			50
3.875% due 11/01/2016 (a)		118			120
3.900% due 03/15/2020 (a)		2			2
4.000% due 03/15/2023 (a)		4			4
4.020% due 11/01/2018 (a)		62			64
4.560% due 12/01/2025 (a)		45			46
4.958% due 11/01/2028 (a)		69			71
5.000% due 05/15/2021		655			658
5.353% due 02/01/2036 (a)		44			45
5.500% due 08/15/2030		681			682
Government National Mortgage Association
3.375% due 04/20/2030 (a)		71			72
3.750% due 07/20/2027 (a)		48			49
Total U.S. Government Agencies (Cost $218,179)					218,207
U.S. TREASURY OBLIGATIONS 0.9%
Treasury Inflation Protected Securities (b)
3.625% due 01/15/2008		373			395
3.875% due 01/15/2009		24			26
U.S. Treasury Notes
4.875% due 02/15/2012		7,800			8,286
4.125% due 05/15/2015		800			812
Total U.S. Treasury Obligations (Cost $9,326)					9,519
MORTGAGE-BACKED SECURITIES 7.7%
Bear Stearns Adjustable Rate Mortgage Trust
5.934% due 06/25/2032 (a)		14			14
4.271% due 01/25/2034 (a)		1,213			1,210
4.736% due 01/25/2034 (a)		1,248			1,247
4.881% due 01/25/2034 (a)		712			713
3.594% due 02/25/2034 (a)		1,210			1,214
3.738% due 11/25/2034 (a)		9,951			10,102
Bear Stearns Commercial Mortgage Securities, Inc.
3.170% due 05/14/2016 (a)		6,669			6,676
Commercial Mortgage Pass-Through Certificates
3.390% due 07/15/2015 (a)		1,193			1,194
3.420% due 07/15/2015 (a)		8,200			8,212
Countrywide Home Loan Mortgage Pass-Through Trust
3.654% due 06/25/2035 (a)		5,500			5,502
Countrywide Home Loans, Inc.
3.360% due 05/25/2034 (a)		2,359			2,356
CS First Boston Mortgage Securities Corp.
3.074% due 02/15/2014 (a)		3,550			3,542
3.350% due 03/25/2032 (a)		116			116
First Republic Mortgage Loan Trust
3.520% due 08/15/2032 (a)		3,898			3,900
GS Mortgage Securities Corp.
3.240% due 11/15/2015 (a)		2,035			2,036
GSAMP Trust
3.504% due 10/25/2033 (a)		2,270			2,271
GSRPM Mortgage Loan Trust
4.014% due 01/25/2032 (a)		1,670			1,685
Harborview Mortgage Loan Trust
3.630% due 02/19/2034 (a)		5,451			5,461
Mellon Residential Funding Corp.
3.660% due 12/15/2030 (a)		5,300			5,311
SACO I, Inc.
3.170% due 02/25/2028 (a)		7,832			7,829
Sequoia Mortgage Trust
3.640% due 10/20/2027 (a)		3,103			3,110
Structured Adjustable Rate Mortgage Loan Trust
3.210% due 03/25/2035 (a)		3,208			3,211
Structured Asset Securities Corp.
3.814% due 07/25/2032 (a)		11			11
3.604% due 01/25/2033 (a)		52			52
3.814% due 11/25/2033 (a)		183			183
Washington Mutual Mortgage Securities Corp.
3.584% due 12/25/2027 (a)		6,041			6,039
3.904% due 06/25/2042 (a)		1,029			1,040
Total Mortgage-Backed Securities (Cost $84,100)					84,237
ASSET-BACKED SECURITIES 7.3%
AmeriCredit Automobile Receivables Trust
6.350% due 08/06/2006		4,655			4,660
Ameriquest Mortgage Securities, Inc.
3.584% due 08/25/2032 (a)		40			40
3.724% due 02/25/2033 (a)		514			514
3.724% due 03/25/2033 (a)		29			29
3.794% due 02/25/2034 (a)		170			170
3.580% due 06/25/2034 (a)		5,519			5,538
Amortizing Residential Collateral Trust
3.604% due 07/25/2032 (a)		43			42
Argent Securities, Inc.
3.764% due 09/25/2033 (a)		219			220
Bear Stearns Asset-Backed Securities, Inc.
3.494% due 04/25/2023 (a)		1,547			1,549
3.484% due 12/25/2042 (a)		2,171			2,170
CDC Mortgage Capital Trust
3.684% due 08/25/2033 (a)		128			128
Centex Home Equity Co., LLC
3.614% due 09/25/2033 (a)		709			710
3.434% due 07/25/2034 (a)		166			166
Chase Funding Mortgage Loan Asset-Backed Certificates
3.634% due 08/25/2032 (a)		377			378
ContiMortgage Home Equity Loan Trust
3.900% due 03/15/2027 (a)		5			6
Countrywide Asset-Backed Certificates
3.170% due 12/25/2022 (a)		258			258
3.464% due 10/25/2023 (a)		2,517			2,519
3.464% due 01/25/2024 (a)		4,820			4,824
3.574% due 05/25/2032 (a)		138			138
3.684% due 05/25/2032 (a)		143			143
3.340% due 06/25/2035 (a)		300			300
Credit-Based Asset Servicing & Securitization LLC
3.270% due 09/25/2033 (a)		549			550
Equifirst Mortgage Loan Trust
3.414% due 01/25/2034 (a)		3,387			3,388
Equity One ABS, Inc.
3.594% due 11/25/2032 (a)		998			1,001
First Franklin Mortgage Loan Trust Asset-Backed Certificates
2.820% due 03/25/2034 (a)		1,103			1,102
3.394% due 03/25/2034 (a)		97			97
Fremont Home Loan Trust
3.464% due 07/25/2034 (a)		415			415
3.474% due 03/25/2035 (a)		8,522			8,530
GSAMP Trust
3.604% due 03/25/2034 (a)		4,865			4,867
HFC Home Equity Loan Asset-Backed Certificates
3.610% due 10/20/2032 (a)		1,870			1,872
Home Equity Asset Trust
3.774% due 02/25/2033 (a)		305			307
3.724% due 03/25/2033 (a)		32			32
Home Equity Mortgage Trust
3.734% due 01/25/2034 (a)		4			4
3.464% due 12/25/2034 (a)		233			233
Irwin Home Equity Loan Trust
3.834% due 06/25/2028 (a)		9			9
Long Beach Mortgage Loan Trust
3.200% due 10/25/2034 (a)		219			219
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.654% due 08/25/2033 (a)		17			17
3.464% due 11/25/2034 (a)		4,009			4,012
Morgan Stanley Home Equity Loans
3.434% due 12/25/2034 (a)		5,477			5,480
Novastar Home Equity Loan
3.589% due 04/25/2028 (a)		7			7
3.644% due 09/25/2031 (a)		383			384
Option One Mortgage Loan Trust
3.834% due 08/25/2031 (a)		2,108			2,110
3.444% due 02/25/2035 (a)		332			333
Park Place Securities, Inc.
3.514% due 10/25/2034 (a)		63			63
Renaissance Home Equity Loan Trust
3.754% due 08/25/2033 (a)		1,718			1,726
3.380% due 11/25/2034 (a)		2,073			2,079
Residential Asset Mortgage Products, Inc.
3.474% due 09/25/2013 (a)		3,761			3,765
3.644% due 12/25/2033 (a)		1,508			1,509
Residential Asset Securities Corp.
3.414% due 12/25/2024 (a)		3,771			3,773
3.434% due 06/25/2025 (a)		395			396
3.544% due 09/25/2031 (a)		519			521
Saxon Asset Securities Trust
3.584% due 01/25/2032 (a)		76			76
3.714% due 12/25/2032 (a)		2			2
SLM Student Loan Trust
3.450% due 06/15/2011 (a)		1,783			1,784
3.241% due 07/25/2011 (a)		94			94
Soundview Home Equity Loan Trust
3.464% due 10/25/2012 (a)		2,528			2,530
Structured Asset Securities Corp.
3.444% due 12/25/2033 (a)		271			272
SVO Timeshare Mortgage Corp.
5.470% due 10/20/2013		331			333
Truman Capital Mortgage Loan Trust
3.654% due 01/25/2034 (a)		2,093			2,094
Total Asset-Backed Securities (Cost $80,462)					80,488
SOVEREIGN ISSUES 3.1%
Republic of Brazil
10.000% due 01/16/2007		20			22
11.250% due 07/26/2007		225			252
4.313% due 04/15/2009 (a)		11,276			11,191
8.840% due 06/29/2009 (a)		8,390			9,743
4.313% due 04/15/2012 (a)		8,764			8,479
Russian Federation
8.750% due 07/24/2005		4,900			4,918
Total Sovereign Issues (Cost $33,705)					34,605
	# of Contracts
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 93.750 Exp. 12/19/2005		130			1
Eurodollar September Futures (CME)
Strike @ 95.250 Exp. 09/19/2005		1,500			10
Strike @ 94.500 Exp. 09/19/2005		200			1
Total Purchased Put Options (Cost $18)					12
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS (i) 45.8%
Commercial Paper 39.7%
Bank of Ireland
3.180% due 08/22/2005	$	2,200			2,190
3.190% due 08/23/2005		30,300			30,158
Carolina Power & Light Co.
3.670% due 10/11/2005		1,500			1,485
CDC IXIS Commercial Paper, Inc.
3.240% due 09/22/2005		23,600			23,414
Fannie Mae
2.790% due 07/20/2005		5,300			5,292
2.988% due 07/20/2005		9,500			9,485
3.005% due 07/27/2005		29,300			29,236
3.023% due 08/03/2005		7,300			7,280
3.066% due 08/10/2005		10,000			9,966
3.250% due 09/14/2005		1,500			1,489
3.180% due 09/28/2005		29,155			28,908
3.230% due 10/19/2005		20,000			19,789
Freddie Mac
2.963% due 08/01/2005		30,300			30,220
3.020% due 08/02/2005		13,600			13,563
3.250% due 09/13/2005		22,400			22,243
3.160% due 10/18/2005		25,323			25,058
3.254% due 11/01/2005		10,900			10,771
3.310% due 11/02/2005		9,300			9,189
General Electric Capital Corp.
3.270% due 09/08/2005		12,700			12,617
National Australia Funding, Inc.
3.030% due 07/01/2005		2,600			2,600
Public Service Electric & Gas Co.
3.690% due 11/30/2005		1,000			985
Rabobank USA Financial Corp.
3.370% due 07/01/2005		21,200			21,200
3.105% due 08/09/2005		12,200			12,159
Skandinaviska Enskilda Banken AB (SEB)
3.040% due 07/14/2005		9,200			9,190
3.100% due 07/18/2005		300			300
3.170% due 08/16/2005		23,800			23,704
TotalFinaElf Capital S.A.
3.370% due 07/01/2005		29,100			29,100
UBS AG
3.030% due 07/05/2005		45,000			45,000
					436,591
Repurchase Agreements 2.4%
Credit Suisse First Boston
2.700% due 07/01/2005		20,000			20,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.000% due 02/15/2014 valued at $20,515. Repurchase proceeds are $20,002.)
State Street Bank
2.650% due 07/01/2005		6,039			6,039
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $6,163. Repurchase proceeds are $6,039.)
					26,039
German Treasury Bill 3.5%
2.007% due 09/30/2005	EC	32,500			38,989
U.S. Treasury Bills 0.2%
2.944% due 09/01/2005-09/15/2005 (c)(e)	$	2,320			2,303
Total Short-Term Instruments (Cost $504,147)					503,922
Total Investments (d) (Cost $1,102,716)		100.3	%	$	1,103,723
Written Options (g) (Premiums $0)		(0.0	%)		(224	)
Other Assets and Liabilities (Net)		(0.3	%)		(3,405	)
Net Assets		100.0	%	$	1,100,094

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) As of June 30, 2005, portfolio securities with an aggregate market value of $50,917 were valued with reference to securities whose prices are more readily obtainable.

(e) Securities with an aggregate market value of $2,303 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar March Long Futures	03/2006	419	$	519
Eurodollar September Long Futures	09/2005	584		(512	)
Eurodollar December Long Futures	12/2005	345		(227	)
Euribor Written Put Options Strike @ 97.500	09/2005	2,087		1,054
			$	834

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Lehman Brothers, Inc.	3-month USD-LIBOR plus 1.150%	Receive	7.430	%	10/01/2006	$	1,500	$	(56	)
UBS Warburg LLC	3-month USD-LIBOR	Receive	3.490	%	09/01/2005		500,000		59
								$	3

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	3.100	%	06/20/2006	$	1,600	$	14
J.P. Morgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	06/20/2007		1,000		17
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.200	%	06/20/2007		400		2
Morgan Stanley Dean Witter & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		1,000		21
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.830	%	06/20/2006		1,000		21
								$	75

(g) Premiums received on written options:

Name of Issuer	Counterparty		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC News America Holdings 7.430% due 10/01/2026	Lehman Brothers, Inc.	$	100.000	10/01/2006	$	1,500	$	0	$	224

(h) Short sales open at June 30, 2005 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	4.250	08/15/2013	$	8,720	$	8,941	$	8,943

(i) Forward foreign currency contracts outstanding at June 30, 2005:

Type	Currency	Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation)
Buy	EC	437	07/2005	$	0	$	0		$	0
Buy		28,594	08/2005		0		(87	)		(87	)
Sell		61,363	08/2005		147		(86	)		61
Buy	JY	899,149	07/2005		0		(330	)		(330	)
				$	147	$	(503	)	$	(356	)

See accompanying notes

Schedule of Investments

U.S. Government Sector Portfolio

June 30, 2005 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 4.9%
Banking & Finance 3.9%
Allstate Life Global Funding Trusts
3.221% due 01/25/2008 (a)	$	11,600		$	11,605
Bear Stearns Cos., Inc.
3.680% due 06/19/2006 (a)		6,100			6,118
CIT Group, Inc.
3.650% due 06/19/2006 (a)		4,900			4,910
3.844% due 09/22/2006 (a)		7,000			7,031
Countrywide Home Loans, Inc.
3.817% due 06/02/2006 (a)		3,765			3,778
Ford Motor Credit Co.
3.572% due 07/07/2005 (a)		5,605			5,604
3.590% due 07/18/2005 (a)		5,325			5,323
7.600% due 08/01/2005		10,975			11,000
General Motors Acceptance Corp.
7.500% due 07/15/2005		20,000			20,009
4.395% due 10/20/2005 (a)		24,950			24,973
4.145% due 05/18/2006 (a)		25,000			24,888
Goldman Sachs Group LP
3.778% due 06/28/2010 (a)		11,600			11,626
Goldman Sachs Group, Inc.
3.350% due 10/27/2006 (a)		7,700			7,716
3.270% due 01/09/2007 (a)		60,000			60,107
3.522% due 10/07/2011 (a)		2,000			2,012
Japan Finance Corp. for Municipal Enterprises
6.850% due 04/15/2006		51,620			52,892
Postal Square LP
6.500% due 06/15/2022		4,240			4,750
Pricoa Global Funding I
3.241% due 01/25/2008 (a)		10,000			10,008
SLM Corp.
3.381% due 07/25/2007 (a)		1,000			1,003
U.S. Trade Funding Corp.
4.260% due 11/15/2014		12,410			12,454
Washington Mutual, Inc.
3.480% due 11/03/2005 (a)		7,700			7,707
					295,514
Industrials 0.8%
Canada Mortgage & Housing Corp.
3.375% due 12/01/2008		27,900			27,444
DaimlerChrysler NA Holding Corp.
4.270% due 09/26/2005 (a)		11,098			11,114
3.890% due 05/24/2006 (a)		11,060			11,091
3.859% due 09/10/2007 (a)		15,000			15,009
					64,658
Utilities 0.2%
PSEG Power LLC
6.875% due 04/15/2006		6,700			6,840
Southern California Edison Co.
3.440% due 01/13/2006 (a)		5,600			5,608
					12,448
Total Corporate Bonds & Notes (Cost $373,002)					372,620
MUNICIPAL BONDS & NOTES 0.2%
Dawson Ridge, Colorado Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		32,400			14,895
Total Municipal Bonds & Notes (Cost $13,616)					14,895
U.S. GOVERNMENT AGENCIES 37.2%
Fannie Mae
2.125% due 02/10/2006		30,705			30,418
2.150% due 04/13/2006		104,500			103,243
2.375% due 12/15/2005		400,000			397,807
2.875% due 10/15/2005 - 05/19/2008 (c)		104,000			103,448
3.025% due 10/21/2005 (a)		432,200			432,118
3.111% due 04/26/2035 (a)		13,433			13,441
3.220% due 09/06/2005 (a)		209,500			209,447
3.361% due 05/25/2034 (a)		3,230			3,222
3.400% due 07/25/2035 (a)		10,000			10,003
3.424% due 07/25/2032 (a)		2,031			2,032
3.434% due 06/25/2033 - 03/25/2034 (a)(c)		16,932			16,950
3.444% due 06/25/2032 (a)		17			17
3.474% due 03/25/2032 (a)		2,213			2,216
3.484% due 11/25/2032 (a)		147			147
3.547% due 02/01/2041 (a)		6			6
3.625% due 05/01/2022 (a)		17			18
3.650% due 11/01/2020 (a)		54			54
3.715% due 03/01/2018 (a)		54			55
3.718% due 05/28/2035 (a)		1,802			1,802
3.730% due 01/01/2018 (a)		140			142
3.740% due 12/01/2032 (a)		119			122
3.747% due 11/01/2030 (a)		5			6
3.794% due 08/25/2021 - 03/25/2022 (a)(c)		306			308
3.944% due 08/25/2022 (a)		102			103
4.000% due 09/01/2017 - 01/01/2018 (a)(c)		81			82
4.044% due 04/25/2022 (a)		129			132
4.051% due 09/01/2033 (a)		29			30
4.125% due 09/01/2022 (a)		11			12
4.130% due 10/01/2032 (a)		183			188
4.181% due 12/01/2022 (a)		101			104
4.214% due 04/25/2032 (a)		2,279			2,323
4.255% due 09/01/2031 (a)		561			581
4.318% due 12/01/2029 (a)		157			161
4.354% due 09/01/2028 (a)		441			457
4.365% due 12/01/2029 (a)		36			37
4.382% due 02/01/2026 (a)		40			41
4.390% due 06/01/2021 (a)		5,261			5,324
4.400% due 12/01/2029 (a)		34			35
4.441% due 05/01/2025 (a)		37			38
4.533% due 12/01/2029 (a)		272			278
4.597% due 10/01/2025 (a)		66			68
4.650% due 08/01/2014 (a)		95			95
4.729% due 07/01/2018 (a)		1,301			1,329
4.785% due 06/01/2028 (a)		76			79
4.829% due 07/01/2028 (a)		77			79
5.146% due 04/01/2033 (a)		342			345
5.244% due 06/01/2032 (a)		58			59
5.250% due 01/28/2013		2,235			2,238
5.364% due 10/01/2032 (a)		388			383
5.402% due 05/01/2032 (a)		122			126
5.472% due 03/01/2026 (a)		163			167
5.500% due 10/01/2032 - 04/01/2035 (c)		138,643			140,699
5.642% due 09/01/2032 (a)		12			12
5.650% due 11/01/2014 (a)		40			41
5.699% due 12/01/2031 (a)		83			85
5.764% due 09/01/2026 (a)		1,462			1,475
6.000% due 12/01/2022 - 09/01/2033 (c)		681			701
6.097% due 08/01/2028 (a)		15			15
6.443% due 06/01/2025 (a)		40			41
6.625% due 11/15/2030		15,500			20,184
7.000% due 07/15/2005		99,000			99,132
7.114% due 01/01/2029 (a)		186			191
Federal Farm Credit Bank
3.050% due 04/04/2006 (a)		15,000			15,010
3.060% due 01/30/2007		16,235			16,052
3.085% due 06/05/2006 (a)		50,000			50,013
3.190% due 06/20/2006 (a)		23,600			23,615
3.240% due 07/28/2006 (a)		25,000			25,015
5.100% due 10/15/2012		2,000			2,000
Federal Home Loan Bank
1.900% due 09/23/2005		25,000			24,912
2.500% due 02/24/2006		160,000			158,786
2.850% due 08/06/2007		6,000			5,884
2.875% due 05/22/2006		172,700			171,410
3.450% due 01/23/2008		17,205			17,030
4.000% due 07/14/2008 - 03/18/2011(c)		50,110			49,929
4.070% due 07/16/2014		1,000			972
4.125% due 11/17/2008		44,600			44,556
4.200% due 02/05/2007 (a)		14,000			13,020
4.280% due 05/18/2009		46,660			46,717
5.120% due 01/10/2013		5,000			5,001
5.125% due 08/15/2019		98,000			104,756
5.500% due 04/17/2006		20,000			20,275
Freddie Mac
1.625% due 01/09/2006		1,000			989
2.000% due 02/28/2006		86,500			85,548
3.034% due 03/25/2044		336			335
3.082% due 10/07/2005 (a)		100,000			100,015
3.157% due 08/01/2019 (a)		80			81
3.414% due 10/25/2032 (a)		337			337
3.434% due 07/25/2031 (a)		2,258			2,259
3.500% due 02/15/2010 - 10/15/2011 (c)		52,023			51,976
3.517% due 02/01/2018 (a)		103			103
3.620% due 05/15/2029 (a)		2,015			2,017
3.720% due 06/15/2030 - 12/15/2032 (a)(c)		2,312			2,335
3.770% due 06/15/2031 (a)		702			710
3.950% due 02/15/2027 (a)		59			60
4.017% due 10/01/2031 (a)		70			72
4.276% due 08/01/2020 (a)		79			80
4.278% due 09/01/2031 (a)		4			4
4.333% due 08/01/2031 (a)		45			47
4.429% due 02/01/2024 (a)		119			121
4.453% due 12/01/2027 (a)		172			176
4.500% due 02/15/2011		204			204
4.668% due 04/01/2032 (a)		130			132
4.678% due 01/01/2032 (a)		246			252
4.728% due 03/01/2025 (a)		5			5
4.868% due 04/01/2027 (a)		83			85
4.871% due 02/01/2032 (a)		268			274
4.885% due 07/01/2020 (a)		365			375
4.915% due 11/01/2018 (a)		4			4
5.000% due 01/15/2034		11,812			11,733
5.061% due 12/01/2031 (a)		74			75
5.172% due 07/01/2029 (a)		153			157
5.186% due 02/01/2032 (a)		89			91
5.420% due 05/01/2032 (a)		82			83
5.427% due 02/01/2025 (a)		37			38
5.464% due 12/01/2031 (a)		824			839
5.500% due 11/15/2015 - 06/15/2034 (c)		11,094			11,515
5.700% due 02/15/2031		174			175
6.500% due 10/25/2043		4,029			4,184
7.000% due 12/01/2031		201			212
Government National Mortgage Association
3.375% due 04/20/2023 - 05/20/2030 (a)(c)		3,362			3,410
3.750% due 07/20/2025 - 08/20/2026 (a)(c)		2,252			2,290
4.125% due 10/20/2023 - 10/20/2024 (a)(c)		314			321
4.250% due 02/20/2030 (a)		6,005			6,095
4.375% due 02/20/2024 - 02/20/2026 (a)(c)		937			953
5.000% due 05/20/2034		22,434			21,260
6.500% due 04/15/2029 - 06/15/2029 (c)		284			296
8.500% due 03/20/2025		174			180
Housing Urban Development
3.090% due 08/01/2006		4,000			3,972
4.930% due 08/01/2014		4,000			4,185
Overseas Private Investment Corp.
2.360% due 08/15/2007		7,813			7,710
2.890% due 12/15/2007		6,420			6,105
Small Business Administration
3.375% due 05/25/2021 - 01/25/2022 (a)(c)		2,214			2,211
3.500% due 03/25/2025 - 07/25/2025 (a)(c)		1,986			1,986
3.600% due 01/25/2019 - 11/25/2024 (a)(c)		2,805			2,811
3.750% due 05/25/2025 (a)		1,520			1,520
4.500% due 03/01/2023		1,461			1,466
4.770% due 04/01/2024		11,451			11,619
4.875% due 09/10/2013		2,700			2,743
4.930% due 01/01/2024		9,478			9,693
5.136% due 08/10/2013		27,058			27,705
5.240% due 08/01/2023		5,927			6,143
7.060% due 11/01/2019		2,591			2,810
7.220% due 11/01/2020		2,499			2,745
7.449% due 08/01/2010		771			831
8.017% due 02/10/2010		2,763			2,986
Total U.S. Government Agencies (Cost $2,804,942)					2,811,189
U.S. TREASURY OBLIGATIONS 43.8%
U.S. Treasury Bonds
13.875% due 05/15/2011		31,500			34,274
8.875% due 02/15/2019		131,900			196,124
8.750% due 08/15/2020		42,300			63,662
7.875% due 02/15/2021		45,700			64,703
U.S. Treasury Notes
3.375% due 02/28/2007		350,000			348,578
3.625% due 06/15/2010		630,200			627,640
4.875% due 02/15/2012		299,200			317,853
4.750% due 05/15/2014		118,800			126,095
4.250% due 11/15/2014		452,000			462,753
4.000% due 02/15/2015		40,000			40,155
4.125% due 05/15/2015		1,008,400			1,023,447
Total U.S. Treasury Obligations (Cost $3,265,719)					3,305,284
MORTGAGE-BACKED SECURITIES 4.9%
Bank of America Mortgage Securities, Inc.
5.549% due 10/20/2032 (a)		2,063			2,076
6.500% due 09/25/2033		2,798			2,844
Bear Stearns Adjustable Rate Mortgage Trust
5.937% due 06/25/2032 (a)		369			371
5.345% due 02/25/2033 (a)		1,076			1,086
5.403% due 03/25/2033 (a)		233			234
5.081% due 04/25/2033 (a)		1,823			1,825
5.378% due 04/25/2033 (a)		2,098			2,126
3.614% due 10/25/2033 (a)		5,093			5,097
4.716% due 12/25/2033 (a)		2,546			2,545
4.247% due 01/25/2034 (a)		3,459			3,452
3.594% due 02/25/2034 (a)		5,259			5,281
3.732% due 11/25/2034 (a)		21,036			21,354
Bear Stearns Commercial Mortgage Securities, Inc.
3.436% due 05/14/2016 (a)		12,044			12,057
CBA Commercial Small Balance Commercial Mortgage
3.594% due 12/25/2034 (a)		9,473			9,434
Citicorp Mortgage Securities, Inc.
5.750% due 02/25/2033		209			209
Commercial Mortgage Pass-Through Certificates
3.400% due 03/15/2020 (a)		7,700			7,703
Countrywide Alternative Loan Trust
3.464% due 06/25/2034 (a)		1,205			1,206
3.504% due 07/25/2034 (a)		3,630			3,634
3.524% due 05/25/2035 (a)		7,718			7,617
Countrywide Home Loan Mortgage Pass-Through Trust
3.594% due 08/25/2034 (a)		4,684			4,684
3.644% due 02/25/2035 (a)		9,694			9,713
3.654% due 02/25/2035 (a)		5,052			5,049
3.604% due 04/25/2035 (a)		4,605			4,605
4.139% due 04/25/2035 (a)		4,288			4,358
3.654% due 06/25/2035 (a)		700			700
Countrywide Home Loans, Inc.
6.000% due 02/25/2033		2,902			2,912
3.584% due 04/25/2034 (a)		1,227			1,225
CS First Boston Mortgage Securities Corp.
3.340% due 02/15/2014 (a)		11,020			10,996
6.300% due 11/11/2030		550			585
3.350% due 03/25/2032 (a)		2,649			2,631
5.721% due 05/25/2032 (a)		235			237
5.240% due 06/25/2032 (a)		469			473
3.864% due 04/25/2033 (a)		870			872
3.500% due 08/25/2033 (a)		9,260			9,310
Federal Agricultural Mortgage Corp.
7.263% due 07/25/2011 (a)		2,935			3,031
First Republic Mortgage Loan Trust
3.634% due 06/25/2030 (a)		2,139			2,139
3.470% due 11/15/2030 (a)		2,930			2,911
GMAC Commercial Mortgage Securities, Inc.
6.957% due 09/15/2035		410			459
Greenpoint Mortgage Funding Trust
3.534% due 05/25/2045 (a)		8,024			8,017
GS Mortgage Securities Corp.
3.370% due 11/15/2015 (a)		5,249			5,251
GSRPM Mortgage Loan Trust
4.014% due 01/25/2032 (a)		1,336			1,348
Harborview Mortgage Loan Trust
3.630% due 02/25/2034 (a)		11,011			11,032
3.480% due 05/19/2035 (a)		9,660			9,620
Homestar Mortgage Acceptance Corp.
3.504% due 01/25/2022 (a)		5,157			5,161
Impac CMB Trust
3.714% due 07/25/2033 (a)		586			586
Indymac Index Mortgage Loan Trust
3.644% due 09/25/2034 (a)		12,774			12,769
Indymac Loan Trust
3.694% due 11/25/2008 (a)		3,654			3,657
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,716			1,725
Mellon Residential Funding Corp.
3.660% due 12/15/2030 (a)		3,728			3,735
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032 (a)		1,192			1,169
Morgan Stanley Capital I, Inc.
4.490% due 01/13/2041		350			350
Nomura Asset Securities Corp.
7.818% due 04/13/2036		1,200			1,231
Prime Mortgage Trust
5.000% due 02/25/2019		12,309			12,291
Residential Accredit Loans, Inc.
3.714% due 01/25/2033 (a)		5,740			5,748
3.714% due 03/25/2033 (a)		13,005			13,016
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		3,599			3,762
Residential Asset Securitization Trust
5.500% due 07/25/2033		3,147			3,144
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		737			747
Sequoia Mortgage Trust
3.610% due 10/19/2026 (a)		11,268			11,286
3.600% due 06/20/2032 (a)		2,128			2,127
3.610% due 07/20/2033 (a)		12,659			12,597
3.730% due 07/20/2033 (a)		4,986			4,994
Structured Asset Mortgage Investments, Inc.
5.000% due 03/25/2032 (a)		333			339
3.610% due 03/19/2034 (a)		8,760			8,771
3.550% due 07/19/2034 (a)		8,131			8,135
Structured Asset Securities Corp.
3.814% due 07/25/2032 (a)		3,234			3,240
3.434% due 03/25/2035 (a)		1,911			1,912
Washington Mutual Mortgage Securities Corp.
6.000% due 03/25/2017		210			210
3.584% due 12/25/2027 (a)		18,300			18,293
5.067% due 02/25/2033 (a)		74			75
5.380% due 02/25/2033 (a)		776			778
5.030% due 05/25/2033 (a)		1,271			1,272
3.765% due 02/27/2034 (a)		2,599			2,596
3.904% due 06/25/2042 (a)		9,664			9,767
Washington Mutual, Inc.
3.355% due 04/25/2045 (a)		21,967			21,953
Wells Fargo Mortgage-Backed Securities Trust
4.496% due 11/25/2033 (a)		942			929
Total Mortgage-Backed Securities (Cost $371,261)					370,674
ASSET-BACKED SECURITIES 4.7%
AAA Trust
3.414% due 11/26/2035 (a)		30,800			30,853
Aames Mortgage Investment Trust
3.394% due 08/25/2035 (a)		3,915			3,919
Advanta Revolving Home Equity Loan Trust
3.684% due 01/25/2024 (a)		229			229
Ameriquest Mortgage Securities, Inc.
3.724% due 03/25/2033 (a)		1,863			1,865
3.414% due 04/25/2035 (a)		1,618			1,617
Asset-Backed Securities Corp. Home Equity Loan Trust
3.480% due 06/15/2031 (a)		486			490
3.490% due 11/15/2031 (a)		167			167
Bayview Financial Acquisition Trust
3.770% due 05/28/2034 (a)		1,813			1,818
Bear Stearns Asset-Backed Securities, Inc.
3.814% due 06/25/2031 (a)		14,104			14,117
3.564% due 04/25/2035 (a)		4,760			4,768
3.814% due 11/25/2042 (a)		11,290			11,346
Carrington Mortgage Loan Trust
3.404% due 05/25/2035 (a)		3,766			3,765
Caterpillar Financial Asset Trust
2.270% due 03/25/2009		235			232
CDC Mortgage Capital Trust
3.684% due 08/25/2033 (a)		272			272
Centex Home Equity
3.444% due 11/25/2028 (a)		3,114			3,116
3.594% due 06/25/2033 (a)		310			310
3.594% due 01/25/2034 (a)		2,445			2,447
Centex Home Equity Co. LLC
3.484% due 01/25/2025 (a)		2,531			2,532
Chase Credit Card Master Trust
3.280% due 03/17/2008 (a)		1,100			1,101
Chase Funding Loan Acquisition Trust
3.644% due 01/25/2033 (a)		1,044			1,046
Chase Funding Mortgage Loan Asset-Backed Certificates
3.564% due 10/25/2031 (a)		5,408			5,414
CIT Group Home Equity Loan Trust
3.584% due 06/25/2033 (a)		1,930			1,936
Citigroup Mortgage Loan Trust, Inc.
3.404% due 05/25/2035 (a)		2,872			2,874
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		2,000			1,660
Countrywide Asset-Backed Certificates
3.484% due 12/25/2018 (a)		113			114
3.504% due 09/25/2021 (a)		1,909			1,909
3.454% due 09/25/2022 (a)		2,167			2,169
3.454% due 05/25/2023 (a)		2,881			2,883
3.200% due 08/25/2023 (a)		382			382
3.464% due 10/25/2023 (a)		2,451			2,453
3.554% due 12/25/2031 (a)		818			819
3.624% due 03/25/2034 (a)		2,121			2,122
3.494% due 02/25/2035 (a)		265			266
Credit-Based Asset Servicing & Securitization LLC
3.564% due 09/25/2033 (a)		3,929			3,932
CS First Boston Mortgage Securities Corp.
3.624% due 01/25/2032 (a)		381			384
Equifirst Mortgage Loan Trust
3.424% due 07/25/2034		845			846
First Franklin Mortgage Loan Trust Asset-Backed Certificates
3.774% due 09/25/2030 (a)		1,660			1,661
2.820% due 02/25/2034 (a)		5,987			5,986
Fremont Home Loan Trust
3.424% due 01/25/2035 (a)		7,376			7,382
3.474% due 03/25/2035 (a)		9,131			9,139
3.404% due 04/25/2035 (a)		1,943			1,944
3.414% due 06/25/2035 (a)		5,165			5,165
GMAC Mortgage Corp. Loan Trust
3.414% due 10/25/2033 (a)		3,582			3,584
GSAMP Trust
3.664% due 06/25/2034 (a)		5,338			5,342
3.464% due 08/25/2034 (a)		495			495
GSRPM Mortgage Loan Trust
3.694% due 09/25/2042 (a)		9,226			9,275
HFC Home Equity Loan Asset-Backed Certificates
3.710% due 07/20/2032 (a)		5,477			5,488
3.610% due 10/20/2032 (a)		767			768
3.610% due 09/20/2033 (a)		4,371			4,388
Home Equity Asset Trust
3.774% due 02/25/2033 (a)		423			426
3.724% due 03/25/2033 (a)		1,341			1,343
3.774% due 05/25/2033 (a)		421			422
3.464% due 08/25/2034 (a)		8,897			8,902
Home Equity Mortgage Trust
3.464% due 12/25/2034 (a)		1,256			1,257
3.434% due 07/25/2035 (a)		13,451			13,459
Household Mortgage Loan Trust
3.560% due 05/20/2032 (a)		1,997			2,002
Indymac Index Mortgage Loan Trust
3.634% due 01/25/2035 (a)		32,974			32,955
Irwin Home Equity Loan Trust
3.834% due 06/25/2028 (a)		2,040			2,050
3.564% due 11/25/2028 (a)		1,104			1,104
Long Beach Mortgage Loan Trust
3.464% due 02/25/2024 (a)		190			190
3.634% due 06/25/2033 (a)		1,232			1,234
3.634% due 07/25/2033 (a)		3,156			3,162
Los Angeles Arena Funding LLC
7.656% due 12/15/2026		92			102
Merrill Lynch Mortgage Investors, Inc.
3.674% due 06/25/2034 (a)		966			967
Mid-State Trust
7.340% due 07/01/2035		423			452
Morgan Stanley Asset-Backed Securities Capital I, Inc.
3.444% due 04/25/2034 (a)		320			320
Morgan Stanley Auto Loan Trust
1.460% due 07/15/2007		783			778
Morgan Stanley Dean Witter Capital I, Inc.
3.644% due 07/25/2032 (a)		47			47
Morgan Stanley Home Equity Loans
3.434% due 01/25/2035 (a)		2,465			2,466
Novastar Home Equity Loan
3.874% due 01/25/2031 (a)		499			499
3.644% due 09/25/2031 (a)		800			802
NPF XII, Inc.
2.463% due 11/01/2024 (b)		10,000			785
Option One Mortgage Loan Trust
3.444% due 02/25/2035 (a)		1,728			1,729
RAFC Asset-Backed Trust
3.704% due 11/25/2029 (a)		1,032			1,034
Renaissance Home Equity Loan Trust
3.664% due 08/25/2032 (a)		76			77
3.814% due 12/25/2033 (a)		4,792			4,821
3.494% due 02/25/2035 (a)		4,449			4,453
Residential Asset Mortgage Products, Inc.
3.414% due 11/25/2024 (a)		21,905			21,922
3.424% due 01/25/2026 (a)		1,620			1,621
3.454% due 04/25/2026 (a)		9,007			9,014
3.644% due 12/25/2033 (a)		11,972			11,985
3.564% due 02/25/2034 (a)		5,714			5,726
Residential Asset Securities Corp.
3.444% due 11/25/2024 (a)		5,120			5,124
3.584% due 04/25/2032 (a)		3,587			3,595
3.614% due 01/25/2034 (a)		542			544
Salomon Brothers Mortgage Securities VII, Inc.
4.214% due 01/25/2032 (a)		552			553
3.614% due 03/25/2032 (a)		1,022			1,025
Saxon Asset Securities Trust
3.584% due 01/25/2032 (a)		242			242
3.574% due 08/25/2032 (a)		106			107
3.714% due 12/25/2032 (a)		1,123			1,125
Sears Credit Account Master Trust
7.000% due 09/16/2009		500			504
Security National Mortgage Loan Trust
3.010% due 02/25/2015		9,673			9,620
SLM Student Loan Trust
3.151% due 04/27/2009 (a)		214			214
3.141% due 07/27/2009 (a)		1,724			1,725
Soundview Home Equity Loan Trust
3.434% due 04/25/2035 (a)		2,214			2,215
Specialty Underwriting & Residential Finance
3.644% due 06/25/2034 (a)		692			694
Structured Asset Investment Loan Trust
3.464% due 09/25/2034 (a)		1,845			1,846
Structured Asset Securities Corp.
3.814% due 05/25/2032 (a)		3,528			3,541
3.444% due 12/25/2033 (a)		514			514
3.714% due 05/25/2034 (a)		5,041			5,066
Truman Capital Mortgage Loan Trust
3.654% due 01/25/2034 (a)		1,246			1,247
Total Asset-Backed Securities (Cost $362,192)					354,397
SOVEREIGN ISSUES 1.0%
AID-Israel
0.000% due 11/01/2024		178,000			72,915
Total Sovereign Issues (Cost $63,650)					72,915
		Notional Amount (000s)
PURCHASED CALL OPTIONS 0.0%
1-Year Interest Rate Swap (OTC)
Strike @ 3.750%** Exp. 12/16/2005		256,000			169
Total Purchased Call Options (Cost $958)					169
PURCHASED PUT OPTIONS 0.0%
1-Year Interest Rate Swap (OTC)
Strike @ 3.750%* Exp. 12/16/2005		256,000			927
	# of Contracts
Eurodollar September Futures (CME)
Strike @ 96.000 Exp. 09/19/2005		4,940			154
Strike @ 95.500 Exp. 09/19/2005		2,593			16
Strike @ 95.375 Exp. 09/19/2005		6,315			40
Total Purchased Put Options (Cost $1,555)					1,137
		Shares
PREFERRED STOCK 0.1%
Fannie Mae
7.000% due 12/31/2049 (a)		124,000			6,909
Total Preferred Stock (Cost $6,200)					6,909
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 31.7%
Certificates of Deposit 4.9%
Citibank New York N.A.
3.090% due 07/22/2005	$	192,500			192,500
Unicredito Italiano SpA
3.115% due 07/27/2005		180,400			180,402
					372,902
Commercial Paper 6.5%
Bank of America, N.A.
3.275% due 08/09/2005		200,000			199,291
Fannie Mae
2.967% due 07/01/2005		52,500			52,500
Rabobank USA Financial Corp.
3.360% due 07/01/2005		145,700			145,700
UBS Finance Delaware LLC
3.060% due 07/08/2005		17,600			17,590
3.070% due 07/08/2005		1,500			1,499
3.230% due 09/19/2005		79,297			78,695
					495,275
Repurchase Agreements 18.7%
Credit Suisse First Boston
2.700% due 07/01/2005		102,000			102,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.250% due 11/15/2013 valued at $104,567. Repurchase proceeds are $102,008.)
State Street Bank
2.650% due 07/01/2005		7,231			7,231
(Dated 06/30/2005. Collateralized by Freddie Mac 2.125% due 11/15/2005 valued at $7,379. Repurchase proceeds are $7,232.)
UBS Warburg LLC
2.650% due 07/01/2005		1,300,000			1,300,000
(Dated 06/30/2005. Collateralized by U.S. Treasury Notes 4.250% due 11/15/2013 valued at $104,567 and U.S. Treasury Strips 0.000% due 02/15/2019-05/15/2021 valued at $1,328,055. Repurchase proceeds are $1,300,096.)
					1,409,231
U.S. Treasury Bills 1.6%
2.949% due 09/01/2005-09/15/2005 (c)(d)(e)		119,490			118,663
Total Short-Term Instruments (Cost $2,396,214)					2,396,071
Total Investments (h) (Cost $9,659,309)		128.5	%	$	9,706,260
Written Options (g) (Premiums $14,801)		(0.2	%)		(15,141	)
Other Assets and Liabilities (Net)		(28.3	%)		(2,138,449	)
Net Assets		100.0	%	$	7,552,670

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $53,677 have been pledged as collateral for swap and swaption contracts at June 30, 2005.

(e) Securities with an aggregate market value of $53,881 have been segregated with the custodian to cover margin requirements for the following open futures contracts at June 30, 2005:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Eurodollar March Long Futures	03/2006	9,847	$	4,892
U.S. Treasury 10-Year Note Short Futures	09/2005	7,187		(611	)
U.S. Treasury 2-Year Note Long Futures	09/2005	33		(16	)
U.S. Treasury 30-Year Bond Long Futures	09/2005	737		1,423
U.S. Treasury 30-Year Bond Long Futures	09/2005	7,227		6,395
U.S. Treasury 5-Year Note Long Futures	09/2005	2,011		399
			$	12,482

(f) Swap agreements outstanding at June 30, 2005:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Bank of America	3-month USD-LIBOR	Receive	5.000	%	12/15/2015	$	63,500	$	(1	)
Goldman Sachs & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		326,000		1,068
Goldman Sachs & Co.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		315,400		(1,124	)
Lehman Brothers, Inc.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		613,000		1,988
Lehman Brothers, Inc.	3-month USD-LIBOR	Receive	5.000	%	12/15/2015		85,200		(552	)
Morgan Stanley Dean Witter & Co.	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		495,800		2,737
UBS Warburg LLC	3-month USD-LIBOR	Pay	4.000	%	12/15/2010		131,000		723
								$	4,839

(g) Premiums received on written options:

Name of Issuer		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note 10-Year Futures	$	120.000	08/26/2005	1,123	$	804	$	1,070
Put - CBOT U.S. Treasury Note 10-Year Futures		113.000	08/26/2005	3,502		1,712		547
Call - CME Eurodollar December Futures		96.250	12/19/2005	13,096		0		2,047
Call - CME Eurodollar December Futures		96.500	12/19/2005	5,098		1,255		223
Put - CME Eurodollar June Futures		95.000	06/19/2006	2,791		1,385		209
					$	5,156	$	4,096

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Bank of America	4.500	%**	05/02/2008	51,200	$	1,024	$	1,741
Put - OTC 7-Year Interest Rate Swap	Bank of America	5.500	%*	05/02/2008	51,200		1,213		884
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	0.000	%**	05/02/2008	113,000		2,497		3,844
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	5.500	%*	05/02/2008	113,000		2,679		1,951
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	0.000	%**	05/02/2008	51,200		1,024		1,741
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	5.500	%*	05/02/2008	51,200		1,208		884
						$	9,645	$	11,045

* The Portfolio will pay a floating rate based on 3-month USD-LIBOR.

** The Portfolio will receive a floating rate based on 3-month USD-LIBOR.

(h) As of June 30, 2005, portfolio securities with an aggregate market value of $101,361 were valued with reference to securities whose prices are more readily obtainable.

See accompanying notes

Supplementary Notes to Schedule of Investments

June 30, 2005 (Unaudited)

1. Federal Income Tax Matters

At June 30, 2005, the aggregate cost of investments was the same for federal income tax and financial statement purposes. The net unrealized appreciation (depreciation) of investment securities for federal income tax purposes is as follows (amounts in thousands):

	Aggregate Unrealized Appreciation	Aggregate Unrealized Depreciation		Net Unrealized Appreciation/ Depreciation
All Asset All Authority Fund	6,987	(607	)	6,380
All Asset Fund	239,415	(16,246	)	223,169
California Intermediate Municipal Bond Fund	4,759	(79	)	4,680
California Municipal Bond Fund	841	(15	)	826
CommodityRealReturn Strategy Fund	138,797	(28,637	)	110,160
Convertible Fund	2,680	(2,465	)	215
Developing Local Markets Fund	0	(19	)	(19	)
Diversified Income Fund	42,148	(8,125	)	34,023
Emerging Markets Bond Fund	127,253	(2,477	)	124,776
European Convertible Fund	3,055	(1,884	)	1,171
European StocksPLUS TR Strategy Fund	31	(5	)	26
Far East (ex-Japan) StocksPLUS TR Strategy Fund	36	(7	)	29
Floating Income Fund	5,093	(4,720	)	373
Foreign Bond Fund (U.S. Dollar-Hedged)	131,054	(12,570	)	118,484
Foreign Bond Fund (Unhedged)	8,092.70	(18,545.00	)	(10,452	)
Fundamental IndexPLUS Fund	0	0		0
Fundamental IndexPLUS TR Fund	0	0		0
Global Bond Fund (Unhedged)	43,144	(8,679	)	34,465
Global Bond Fund (U.S. Dollar-Hedged)	8,519	(1,332	)	7,187
GNMA Fund	2,341	(1,579	)	762
High Yield Fund	339,535	(79,381	)	260,154
International StocksPLUS TR Strategy Fund	741	(159	)	582
Investment Grade Corporate Bond Fund	728	(215	)	513
Japanese StocksPLUS TR Strategy Fund	46	(9	)	37
Long-Term U.S. Government Fund	19,488	(3,441	)	16,047
Low Duration Fund	33,385	(64,179	)	(30,794	)
Low Duration Fund II	1,542	(373	)	1,169
Low Duration Fund III	162	(370	)	(208	)
Moderate Duration Fund	22,166	(3,106	)	19,060
Money Market Fund	0	0		0
Municipal Bond Fund	18,218	(1,140	)	17,078
New York Municipal Bond Fund	674	(29	)	645
Real Return Asset Fund	33,401	(490	)	32,911
Real Return Fund	522,039	(35,219	)	486,820
Real Return Fund II	1,501	(117	)	1,384
RealEstateRealReturn Strategy Fund	13,667	(1,050	)	12,617
Short Duration Municipal Income Fund	3,799	(1,862	)	1,937
Short-Term Fund	11,832	(5,684	)	6,148
StocksPLUS Fund	4,682	(3,139	)	1,543
StocksPLUS Total Return Fund	2,457	(314	)	2,143
StocksPLUS TR Short Strategy Fund	57	(69	)	(12	)
Total Return Fund	1,181,528	(488,777	)	692,751
Total Return Fund II	28,403	(5,815	)	22,588
Total Return Fund III	25,024	(6,291	)	18,733
Total Return Mortgage Fund	2,777	(885	)	1,892
Asset-Backed Securities Portfolio	2,723	(4,588	)	(1,865	)
Emerging Markets Portfolio	79,160	(3,627	)	75,534
Developing Local Markets Portfolio	0	(11	)	(11	)
High Yield Portfolio	8,493	(2,503	)	5,990
International Portfolio	36,107	(19,117	)	16,990
Investment Grade Corporate Portfolio	37,801	(22,387	)	15,414
Mortgage Portfolio	93,308	(109,363	)	(16,055	)
Municipal Sector Portfolio	13,529	(1,903	)	11,626
Real Return Portfolio	19,165	(2,519	)	16,646
Short-Term Portfolio	3,541	(3,374	)	167
Short-Term Portfolio II	2,036	(1,029	)	1,007
U.S. Government Sector Portfolio	69,904	(22,953	)	46,951

2. Non-U.S. Currency symbols utilized throughout reports are defined as follows:

A$	–	Australian Dollar
BP	–	British Pound
BR	–	Brazilian Real
C$	–	Canadian Dollar
CK	–	Czech Koruna
CO	–	Colombian Peso
CP	–	Chilean Peso
CY	–	Chinese Yuan Renminbi
DK	–	Danish Krone
DM	–	German Mark
EC	–	Euro
H$	–	Hong Kong Dollar
IS	–	Israeli Shekel
JY	–	Japanese Yen
KW	–	South Korean Won
MP	–	Mexican Peso
N$	–	New Zealand Dollar
PN	–	Peruvian New Sol
PZ	–	Polish Zloty
RP	–	Indian Rupee
RR	–	Russian Ruble
S$	–	Singapore Dollar
SF	–	Swiss Franc
SK	–	Swedish Krona
SR	–	South African Rand
SV	–	Slovakian Koruna
T$	–	Taiwan Dollar
TB	–	Thai Baht
TL	–	Turkish Lira

Item 2. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing of this report on Form N-Q, that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant in the reports that it files or submits on Form N-Q is recorded, processed, summarized, and reported within the five periods specified in the Commission’s rules and forms.

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

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act is attached as Exhibit 99.CERT.

Signatures

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

PIMCO Funds
By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	August 25, 2005

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

By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	August 25, 2005
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
Date:	August 25, 2005

EX-99.CERT

99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, Ernest L. Schmider, certify that:

1. I have reviewed this report on Form N-Q of PIMCO Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	August 25, 2005
Signature:	/s/ Ernest L. Schmider
Name:	Ernest L. Schmider
Title:	President, Principal Executive Officer

99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, John P. Hardaway, certify that:

1. I have reviewed this report on Form N-Q of PIMCO Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	August 25, 2005
Signature:	/s/ John P. Hardaway
Name:	John P. Hardaway
Title:	Treasurer, Principal Financial Officer