nvcsrs

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06318

CONSULTING GROUP CAPITAL MARKETS FUNDS

(Exact name of registrant as specified in charter)

222 Delaware Avenue
Wilmington, Delaware 19801

(Address of principal executive offices)(Zip code)

PFPC Inc.
Westborough MA, 01581
(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 451-2010

Date of fiscal year end:
8/31

Date of reporting period:
2/29/2008

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

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

Consulting Group

Capital Markets Funds

Dear Shareholder,

Market and Economic Activity

The initial six-months of the fiscal year for the Consulting Group Capital Markets Group Funds (“Fund”) ended February 29, 2008, with capital markets facing their strongest “stress test” in five years. Equity markets generally fell, as did large portions of the fixed income markets. All of the Fund’s domestic equity portfolios generated negative returns during the period. The non-US equity portfolios produced mixed results. The developed economy markets portfolio fell as the US did. The emerging economy markets portfolio was the sole equity portfolio with positive performance for the period. The results were also mixed in the fixed income portfolios.

The economic back draft from the long period of exceedingly low interest rates deeply impacted the markets and the economy in the fall of 2007, and carried over into early 2008. The aforementioned low interest rates produced incentives for investors to increase leverage, and to invest in higher-risk assets in a search for higher returns. The most directly impacted area was the real estate market and all of its associated industries. Financial institutions that were both investors and suppliers of credit faced the largest negative consequences.

The Federal Reserve Board’s (“Fed”) reversal of the early 2000’s policy of falling interest rates resulted in the end of the housing price boom in late 2005. In late 2006, housing prices started to fall in many markets. By early 2007, the subprime portion of the mortgage market began to collapse. The riskiest parts of the mortgage markets are the subprime (those with low credit scores) and Alt A (no, or very low, documentation of income or assets needed to qualify) mortgages. As these types of mortgages began to default, the prices of securities issued to investors based on these mortgages fell sharply. Several hedge funds and banks recorded major losses.

The ensuing impact saw investors rush to purchase safer, higher-quality instruments, such as Treasury issues. Investors frequently sold lower-grade corporate and municipal bonds. Equities decreased sharply based upon worries that the economy would slow due to this credit market crisis. Particularly hard hit were financial institutions that had large exposures to troubled mortgage market paper. The Fed reacted in August 2007 by sharply reducing interest rates in an attempt to protect economic growth, and to provide liquidity to the financial markets. While capital markets saw the value of many equity and bond assets decrease, the price of oil and other commodities hit record highs.

The challenging macroeconomic and financial market events resulted in an 8.79% decline in the Standard & Poor’s 500^® Index (“S&P 500^®”). The Russell 2000^® Growth Index, which represents small company stocks, declined 11.66%. Within the S&P 500, the Financials sector declined 22.52%. The benefits of international diversification were reflected in the positive gain from the MSCI Emerging Markets Index, up 8.26%, and the MSCI EAFE^® (net of dividends) Index, which fell only 4.72%.

The investor pursuit of quality bond investments helped the Lehman Brothers Aggregate Bond^tm Index (“LB Aggregate”) rise 5.68%. However, the Lehman Brothers High Yield Bond Index fell 1.42%. Municipal bonds also fell, as the Lehman Brothers Muni Bond Index fell 0.6%. For investors with bond holdings outside the US, falling interest rates and a falling dollar produced positive returns in non-US bond indices. The Citigroup World Non-US Government Bond Index (Hedged) rose 4.45%. The Unhedged variation of this index, which reflects the impact of a changing value of the US dollar, rose 14.31%.

The Consulting Group Capital Markets Funds

Core Fixed Income Investments returned 6.81% as compared to the LB Aggregate return of 5.68%. The Lipper Intermediate Investment Grade Average returned 3.74%. The portfolio’s sub-advisers are Pacific Investment Management Company LLC (“PIMCO”), BlackRock Financial Management, Inc. (“BlackRock”), Metropolitan

West Asset Management, LLC, and Western Asset Management Company (“WAMCo”). Totally avoiding the problems in the mortgage related bond paper was not possible given the broad diversification of the sub-advisers. However, PIMCO’s underexposure to the mortgage sector and its positioning to take advantage of falling interest rates produced the value added in the fund.

High Yield Investments returned -2.67%, below the Lehman Brothers High Yield Index return of -1.42%. The portfolio’s sub-advisers are Penn Capital Management Co., Inc., and WAMCo. The Lipper High-Yield Fund Average returned -2.52%. The yield premium that investors require over risk-less, comparable US Treasury securities rose sharply during the semi-annual period. High yield tends to perform very well in economic growth stages in which riskier companies in this universe face less adverse market conditions. As this market shifted, holdings in the portfolio suffered slightly more than the benchmark as the sub-advisers had a greater exposure to the lower-grade securities in the index.

International Fixed Income Investments returned 6.90%, greater than the Citigroup Non-US World Government Hedged Index return of 4.45%. The Lipper International Income Fund Average returned 11.14%. PIMCO is the portfolio’s sub-adviser. The Lipper universe includes those funds that do not have to hedge their currency exposure. The portfolio has an 80% hedged minimum as described in the prospectus.

Municipal Bond Investments returned -1.45% versus the Lehman Brothers Municipal Bond Index return of -0.60%. The Lipper General Municipal Fund Average returned -2.16%. McDonnell Investment Management, LLC, is the portfolio’s sub-adviser. The municipal bond universe was hurt by the market’s survivorship concerns relating to companies that insure many of the bonds. Those bonds with insurance concerns fell harder than those without, which hurt the portfolio versus the index.

Large Capitalization Growth Investments fell 3.85% versus the comparative benchmark return of -6.57% for the Russell 1000^® Growth Index. The Lipper Large Cap Growth Fund Average returned -5.95%. The portfolio’s sub-advisers are Westfield Capital Management Company, LLC (“Westfield”), Delaware Management Company (“Delaware”), and Wells Capital Management. The portfolio’s value added was the result of the sub-advisers positioning the portfolio with a greater-than-index exposure in the Energy and Materials sectors. These two sectors were traditionally not considered growth opportunities given the historical high degree of cyclicality. By holding more than 16% of the portfolio on average in these sectors during this period, the portfolio benefited since these were the two sectors with the strongest returns in a difficult environment. Technology, the largest sector in the portfolio and index, had a larger negative return than all sectors except the Telecommunication and Financial sectors.

Large Capitalization Value Equity Investments fell 9.81%, better than the Russell 1000^® Value Index’s decline of 10.40%. The Lipper Large-Cap Value Fund Average returned -9.86%. Assets are managed among the portfolio’s three sub-advisers; Cambiar Investors LLC, AllianceBernstein LP, and NFJ Investment Group L.P. (“NFJ”). Only two of the ten economic sectors, Energy and Consumer Staples, were positive in the large cap value universe. The portfolio’s sub-advisers had positioned the portfolio with greater-than-index exposure in both, and that was the major source of the portfolio’s value-added. In the very difficult Financial sector, the portfolio averaged a 20% weight in the sector over the period, as compared to the index’s 30% average weight. The portfolio’s underweight helped relative returns as compared to the index, but still had a large negative impact on the portfolio’s absolute return.

Small Capitalization Growth Investments returned -12.86%, less than the -11.66% return of its benchmark, the Russell 2000 Growth Index. The Lipper Small-Cap Growth Fund Average returned -12.96%. The portfolio’s sub-advisers are Wall Street Associates and Westfield. The largest sector position in the portfolio is in Technology with over 33% of assets. The sector fell almost 21% in the benchmark index, and the portfolio’s sector return was slightly below that. The overweight and poorer stock performance were the primary reasons as to why the portfolio lagged the benchmark.

Small Capitalization Value Equity Investments fell 12.20%, beating the decline of 14.22% return of its benchmark, the Russell 2000 Value Index. The Lipper Small Cap Value Fund Average returned -12.95%. The portfolio’s sub-advisers are NFJ, Delaware, and Rutabaga Capital Management LLC. Small cap value was the worst performing domestic equity style for the period. Weakness was pervasive in small cap value throughout 2007. In early 2008, the style stabilized and a pause in its market leading decline position ensued. The style was especially hard hit as a result of problems in the housing and financial markets. The portfolio performed relatively better than the benchmark index by having a lower exposure to the most troublesome parts of the market.

International Equity Investments returned -5.88%, below the -4.72% return of its benchmark, the MSCI EAFE Index (net of dividends). The Lipper International Large Core Fund Average returned -4.71%. The portfolio’s sub-advisers were Philadelphia International Advisors LP, Brandywine Global Investment Management LLC, and Schroder Investment Management North America Inc. (“Schroder”). Schroder replaced William Blair & Company, LLC, in September 2007. In March 2008, subsequent to this semi-annual period, Marsico Capital Management, LLC, was retained as an additional sub-adviser. The additional sub-adviser was added to help balance out the portfolio between growth and value style managers. As the growth style performed better recently, the portfolio’s tilt to the value style hurt the portfolio’s relative return. The same capital market and economic stresses that weighed upon US markets and sectors had a negative impact on the international developed markets for the period. International developed markets appeared stronger than the US market due to a weak US dollar that translated returns into a more positive result for US investors in international stocks.

Emerging Markets Investments gained 7.08%. Its benchmark, the MSCI Emerging Markets index rose 8.26% during the period. The Lipper Emerging Markets Fund Average returned 7.13%. The portfolio’s sub-advisers are Newgate Capital Management LLC and SSgA Funds Management Inc. Recent wide gaps in returns between the US and emerging markets may be traced to the positive emerging market returns in late 2007 as the US market struggled. In early 2008, emerging markets began to struggle also, especially as the Chinese and Indian markets cooled. The slightly more defensive positioning of the portfolio versus the benchmark index hurt relative performance. The sub-advisers held lower-than-index weights in China and India, two of the important drivers of the large returns in emerging markets in 2007. Emerging markets have a very large exposure to the Energy and Materials sectors, which helped the benchmark and portfolio achieve higher absolute returns as many commodity prices hit record levels during the reporting period.

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month-end, please visit our website at www.smithbarney.com.

The portfolios are only available to investors participating in an advisory program. These programs charge an annual fee, which in the case of TRAK^® may be up to 1.50%. The performance data shown does not reflect this fee, which would reduce returns.

All index performance reflects no deduction for fees, expenses or taxes. Please note an investor cannot invest directly in an index.

Risks

Certain of the portfolios may invest in derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on fund performance. Foreign securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging or developing markets. Investments in small or medium-capitalization companies may involve a higher degree of risk and volatility than investments in larger, more established companies. Certain of the portfolios may invest in high yield bonds, which involve greater credit and liquidity risks than investment grade bonds.

Sincerely,

James J. Tracy

Chief Executive Officer

April 16, 2008

III

The performance shown represents past performance. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month-end, please visit our website at www.smithbarney.com.

All index performance reflects no deduction for fees, expenses or taxes. Please note an investor cannot invest directly in an index.

RISKS: Certain of the portfolios may invest in derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on fund performance. Foreign securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging or developing markets. Investments in small or medium-capitalization companies may involve a higher degree of risk and volatility than investments in larger, more established companies. Certain of the portfolios may invest in high yield bonds, which involve greater credit and liquidity risks than investment grade bonds.


ⁱ		The US Federal Reserve Board is responsible for the formulation of a policy designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments.
ⁱⁱ		The S&P 500^® Index is a market capitalization-weighted index of 500 widely-held common stocks. Standard & Poor’s 500 and S&P 500^® are registered trademarks of The McGraw-Hill Companies, Inc.
ⁱⁱⁱ		The Russell 1000^® Value Index is a capitalization weighted total return index which is comprised of 1,000 of the largest capitalized U.S.-domiciled companies with greater than average value orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ. Russell 1000^® Index is a registered trademark of the Frank Russell Company.
^iv		The Russell 2000^® Value Index is a capitalization weighted total return index which is comprised of 2,000 of the smallest capitalized U.S.-domiciled companies with less-than-average growth orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ. Russell 2000^® Index is a registered trademark of the Frank Russell Company.
^v		The Russell 2000^® Growth Index is a capitalization weighted total return index which is comprised of 2,000 of the smallest capitalized U.S.-domiciled companies with greater-than-average growth orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ. Russell 2000^® Index is a registered trademark of the Frank Russell Company.
^vi		The Russell 1000^® Growth Index is a capitalization weighted total return index which is comprised of 1,000 of the largest capitalized U.S.-domiciled companies with greater-than-average growth orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ.
^vii		The MSCI EAFE^® — Capitalization Weighted Index is a composite portfolio or equity total returns for the countries of Australia, New Zealand and countries in Europe and the Far East, weighted based on each country’s market capitalization. MSCI EAFE^® — Capitalization Weighted Index is a registered trademark of Morgan Stanley Capital International Inc.
^viii		The MSCI Emerging Markets Index is an index comprised of thirteen emerging markets open to direct foreign participation.
^ix		The Lehman Brothers U.S. Aggregate Index is composed of the Lehman Brothers Intermediate Government/Credit Bond Index and the Lehman Brothers Mortgage-Backed Securities Index and includes treasury issues, agency issues, corporate bond issues and mortgage-backed securities. Lehman Brothers U.S. Aggregate Index is a trademark of Lehman Brothers Inc.
^x		The Lehman Brothers High Yield Index is composed of fixed rate, publicly issued, non-investment grade debt registered with the SEC. All bonds must be dollar-denominated, non-convertible and have at least one year remaining to maturity as well as an outstanding par value of $100 million.
^xi		The Citigroup Non-U.S. World Government Bond Index-Hedged is a market capitalization weighted index that is designed to represent the hedged performance of the government bond markets in thirteen developed countries, excluding the U.S.
^xii		The Lehman Brothers Municipal Bond Index is a weighted composite which is comprised of more than 15,000 bonds issued within the last five years, having a minimum credit rating of at least Baa and maturity of at least two years, excluding all bonds subject to the Alternative Minimum Tax and bonds with floating or zero coupons.

Performance of the Consulting Group Capital Markets Funds
For the Six Months Ended February 29, 2008†* (unaudited)


Large Capitalization Growth Investments	(3	.85	)%
Russell 1000^® Growth Index (2)	(6	.57	)

Large Capitalization Value Equity Investments	(9	.81	)
Russell 1000^® Value Index (1)	(10	.40	)

Small Capitalization Growth Investments	(12	.86	)
Russell 2000^® Growth Index (4)	(11	.66	)

Small Capitalization Value Equity Investments	(12	.20	)
Russell 2000^® Value Index (3)	(14	.22	)

International Equity Investments	(5	.88	)
MSCI EAFE^® — Capitalization Weighted Index (5)	(4	.72	)

Emerging Markets Equity Investments	7	.08
MSCI Emerging Markets Index (6)	8	.26

Core Fixed Income Investments	6	.81
Lehman Brothers U.S. Aggregate Bond^tm Index (7)	5	.68
Lehman Brothers Intermediate Government/Credit Bond Index (8)	3	.74

High Yield Investments	(2	.67	)
Lehman Brothers High Yield Index (9)	(1	.42	)

International Fixed Income Investments	6	.90
Citigroup Non-U.S. World Government Bond Index — Hedged (11)	4	.45

Municipal Bond Investments	(1	.45	)
Lehman Brothers Municipal Bond Index (10)	(0	.60	)

Money Market Investments	2	.12
90-day Treasury Bill	1	.47

See pages VI through VII for all footnotes.

FOOTNOTES


†		All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, where redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recent month-end, please visit our website at www.smithbarney.com.

*		The Funds are available only to investors participating in an advisory program. These programs charge an annual fee, which in the case of TRAK^® may be up to 1.50%. The performance data shown does not reflect this fee, which would reduce returns.

1		The Russell 1000^® Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

2		The Russell 1000^® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

3		The Russell 2000^® Value Index measures the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

4		The Russell 2000^® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

5		The MSCI EAFE^®-Capitalization Weighted Index is a composite portfolio of equity total returns for the countries of Australia, New Zealand and countries in Europe and the Far East, weighted based on each country’s market capitalization. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

6		The MSCI Emerging Markets Index is an index comprised of thirteen emerging markets open to direct foreign participation. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

7		The Lehman Brothers U.S. Aggregate Bond^tm Index is composed of the Lehman Brothers Intermediate Government/Credit Bond Index and the Lehman Brothers Mortgage-Backed Securities Index and includes treasury issues, agency issues, corporate bond issues and mortgage-backed securities. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

8		The Lehman Brothers Intermediate Government/Credit Bond Index is a weighted composite of: (i) Lehman Brothers Government Bond Index, which is comprised of all publicly issued, non-convertible debt of the US government or any agency thereof, quasi-federal corporations, and corporate debt guaranteed by the US government with a maturity between one and ten years; and (ii) Lehman Brothers Credit Bond Index, which is comprised of all public fixed-rate, non-convertible investment-grade domestic corporate debt with a maturity of between one and ten years, excluding collateralized mortgage obligations. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.


9		The Lehman Brothers High Yield Index is composed of fixed rate, publicly issued, non-investment grade debt registered with the SEC. All bonds must be dollar-denominated, non-convertible, and have at least one year remaining to maturity as well as an outstanding par value of $100 million. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

10		The Lehman Brothers Municipal Bond Index is a weighted composite which is comprised of more than 15,000 bonds issued within the last five years, having a minimum credit rating of at least Baa and maturity of at least two years, excluding all bonds subject to the Alternative Minimum Tax and bonds with floating or zero coupons. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

11		The Citigroup Non-U.S. World Government Bond Index — Hedged is an index subset of the Citigroup World Bond Index that excludes corporate bonds denominated in US dollars. It contains foreign government and supranational bonds denominated in Australian, Austrian, Belgian, British, Canadian, Danish, Dutch, French, German, Italian, Japanese, Spanish and Swedish currencies. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

12		The Lipper Large-Cap Value Funds Average is comprised of the Portfolio’s peer group of mutual funds investing in value oriented funds.

13		The Lipper Large-Cap Growth Funds Average is comprised of the Portfolio’s peer group of mutual funds investing in growth oriented funds.

14		The Lipper Small Cap Value Funds Average is comprised of the Portfolio’s peer group of mutual funds which limit their investments to small cap value companies.

15		The Lipper Small Cap Growth Funds Average is comprised of the Portfolio’s peer group of mutual funds which limit their investments to small cap growth companies.

16		The Lipper International Multi-Cap Core Funds Average is an equally weighted average of the funds that invest in a variety of market capitalization ranges without concentrating 75% of their equity assets in any one market capitalization range over an extended period of time. Multi-Cap funds typically have 25% to 75% of their assets invested in companies strictly outside of the US with market capitalizations greater than the 250th largest company in the S&P/ Citigroup World ex-U.S. Broad Market Index.

17		The Lipper Emerging Markets Funds Average is an equally weighted average of the funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures.

18		The Lipper International Income Funds Average is an equally weighted average of the funds that invest primarily in US dollar and non-US dollar debt securities of issuers located in at least three countries, excluding the United States.

19		Lipper Intermediate-Term Investment Grade Debt Funds Average-is an average of the total returns reported by all of the mutual funds designated by Lipper Analytical Services, Inc. as falling into the category, and is not adjusted to reflect any sales charges. However, these total returns are reported net of expenses or other fees that the SEC requires to be reflected in a fund’s performance.

20		Lipper High Yield Funds Index, an unmanaged index published by Lipper Inc., includes the 30 largest funds that are generally similar to the Fund, although some funds in the index may have somewhat different investment policies or objectives.

21		The Lipper General Municipal Debt Funds Average is an average of funds that invest at least 65% of their assets in municipal debt issues in the top four credit ratings. The total return of the Lipper Average does not include the effect of sales charges. You cannot invest directly in a Lipper Average.

VII

Fund Expenses

(unaudited)

Example

As a shareholder of the Fund, you may incur two types of costs: (1) advisory program annual fees, which in the case of TRAK^® may be up to 1.50%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested on September 1, 2007, and held for the six months ended February 29, 2008.

Actual Expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

Based on Actual Total Return⁽¹⁾


	Total Return			Beginning		Ending		Annualized			Expense
	Without			Account		Account		Expense			Paid During
Fund	TRAK Fee⁽²⁾			Value		Value		Ratios⁽³⁾			the Period⁽⁴⁾


Large Capitalization Growth Investments		(3.85	)%	$	1,000.00	$	961.50		0.67	%	$	3.27
Large Capitalization Value Equity Investments		(9.81	)%		1,000.00		901.90		0.68	%		3.22
Small Capitalization Growth Investments		(12.86	)%		1,000.00		871.40		0.99	%		4.61
Small Capitalization Value Equity Investments		(12.20	)%		1,000.00		878.00		1.01	%		4.72
International Equity Investments		(5.88	)%		1,000.00		941.20		0.80	%		3.86
Emerging Markets Equity Investments		7.08	%		1,000.00		1,070.80		1.06	%		5.46
Core Fixed Income Investments		6.81	%		1,000.00		1,068.10		0.48	%		2.47
High Yield Investments		(2.67	)%		1,000.00		973.30		0.90	%		4.42
International Fixed Income Investments		6.90	%		1,000.00		1,069.00		0.71	%		3.65
Municipal Bond Investments		(1.45	)%		1,000.00		985.50		0.54	%		2.67
Money Market Investments		2.12	%		1,000.00		1,021.20		0.38	%		1.91


(1)		For the six months ended February 29, 2008.
(2)		Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which in the case of TRAK^® may be up to 1.50%. Total return is not annualized as it may not be representative of the total return for the year. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower.
(3)		Annualized Expense Ratios are based on the most recent 6 month expense ratios, which may differ from expense ratios in the Financial Highlights.
(4)		Expenses (net of fee waivers and/or expense reimbursements) are equal to each Portfolio’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.

Fund Expenses

(unaudited) (continued)

Hypothetical Example for Comparison Purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.

Based on Hypothetical Total Return⁽¹⁾


	Hypothetical			Beginning		Ending		Annualized			Expenses
	Annualized			Account		Account		Expense			Paid During
Fund	Total Return			Value		Value		Ratios⁽²⁾			the Period⁽³⁾


Large Capitalization Growth Investments		5.00	%	$	1,000.00	$	1,021.53		0.67	%	$	3.37
Large Capitalization Value Equity Investments		5.00	%		1,000.00		1,021.48		0.68	%		3.42
Small Capitalization Growth Investments		5.00	%		1,000.00		1,019.94		0.99	%		4.97
Small Capitalization Value Equity Investments		5.00	%		1,000.00		1,019.84		1.01	%		5.07
International Equity Investments		5.00	%		1,000.00		1,020.89		0.80	%		4.02
Emerging Markets Equity Investments		5.00	%		1,000.00		1,019.59		1.06	%		5.32
Core Fixed Income Investments		5.00	%		1,000.00		1,022.48		0.48	%		2.41
High Yield Investments		5.00	%		1,000.00		1,020.39		0.90	%		4.52
International Fixed Income Investments		5.00	%		1,000.00		1,021.33		0.71	%		3.57
Municipal Bond Investments		5.00	%		1,000.00		1,022.18		0.54	%		2.72
Money Market Investments		5.00	%		1,000.00		1,022.97		0.38	%		1.91


(1)		For the six months ended February 29, 2008.
(2)		Annualized Expense Ratios are based on the most recent 6 month expense ratios, which may differ from the expense ratios in the Financial Highlights.
(3)		Expenses (net of fee waivers and/or expense reimbursements) are equal to each Portfolio’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.

Schedules of Investments

February 29, 2008 (unaudited)


Large Capitalization Growth Investments

Shares		Security	Value

COMMON STOCKS — 96.5%
CONSUMER DISCRETIONARY — 6.8%
Consumer Services — 0.6%


	300,000	Weight Watchers International Inc. (a)	$	14,100,000

Hotels, Restaurants & Leisure — 3.1%

	425,000	International Game Technology		19,188,750
	500,700	Marriott International Inc., Class A Shares		17,073,870
	544,426	MGM MIRAGE Inc. (a)*		33,531,197

		Total Hotels, Restaurants & Leisure		69,793,817

Internet & Catalog Retail — 0.3%
	93,900	Amazon.com Inc.*		6,053,733

Media — 2.0%

	543,800	DIRECTV Group Inc.*		13,622,190
	465,000	Omnicom Group Inc.		20,771,550
	140,000	Reuters Group PLC, ADR		9,919,000

		Total Media		44,312,740

Specialty Retail — 0.8%

	800,000	Staples Inc.		17,800,000

		TOTAL CONSUMER DISCRETIONARY		152,060,290

CONSUMER STAPLES — 10.3%
Beverages — 1.0%

	465,000	Anheuser-Busch Cos. Inc.		21,896,850

Food & Staples Retailing — 6.1%

	150,700	Costco Wholesale Corp.		9,331,344
	1,723,100	CVS/Caremark Corp.		69,578,778
	450,000	Walgreen Co.		16,429,500
	831,200	Wal-Mart Stores Inc.		41,219,208

		Total Food & Staples Retailing		136,558,830

Food Products — 2.3%

	241,400	Bunge Ltd. (a)		26,756,776
	214,600	Nestle SA, ADR		25,673,671

		Total Food Products		52,430,447

Household Products — 0.9%

	300,000	Procter & Gamble Co.		19,854,000

		TOTAL CONSUMER STAPLES		230,740,127

ENERGY — 12.4%
Energy Equipment & Services — 7.0%

	983,600	Halliburton Co.		37,671,880
	625,900	National-Oilwell Varco Inc.*		38,993,570
	199,164	Transocean Inc.*		27,984,534
	774,300	Weatherford International Ltd.*		53,364,756

		Total Energy Equipment & Services		158,014,740

Oil, Gas & Consumable Fuels — 5.4%

	740,000	Chesapeake Energy Corp. (a)		33,462,800
	85,314	Consol Energy Inc.		6,482,158
	411,300	Occidental Petroleum		31,822,281
	250,350	Suncor Energy Inc.		25,836,120
	137,400	Valero Energy Corp.		7,937,598

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Growth Investments

Shares		Security	Value


Oil, Gas & Consumable Fuels — 5.4% — (Continued)

	402,472	Williams Cos. Inc.	$	14,497,041

		Total Oil, Gas & Consumable Fuels		120,037,998

		TOTAL ENERGY		278,052,738

FINANCIALS — 5.0%
Capital Markets — 0.6%

	751,050	Charles Schwab Corp.		14,728,091

Diversified Financial Services — 4.0%

	84,750	CME Group Inc. (a)		43,502,175
	170,000	Intercontinental Exchange Inc.*		22,151,000
	237,300	JPMorgan Chase & Co.		9,646,245
	143,100	Nymex Holdings Inc. (a)		14,136,849

		Total Diversified Financial Services		89,436,269

Insurance — 0.4%

	184,900	Lincoln National Corp.		9,450,239

		TOTAL FINANCIALS		113,614,599

HEALTH CARE — 18.4%
Biotechnology — 6.8%

	876,270	Biogen Idec Inc.*		51,139,117
	912,050	Celgene Corp.*		51,412,259
	365,000	Genentech Inc.*		27,648,750
	441,600	Gilead Sciences Inc.*		20,896,512

		Total Biotechnology		151,096,638

Health Care Equipment & Supplies — 2.8%

	160,900	Alcon Inc.		23,287,057
	536,500	Covidien Ltd.		22,956,835
	225,000	Zimmer Holdings Inc.*		16,940,250

		Total Health Care Equipment & Supplies		63,184,142

Health Care Providers & Services — 1.7%

	550,000	UnitedHealth Group Inc.		25,564,000
	188,900	WellPoint Inc.*		13,238,112

		Total Health Care Providers & Services		38,802,112

Life Sciences Tools & Services — 2.5%

	1,005,100	Thermo Fisher Scientific Inc. (a)*		56,215,243

Pharmaceuticals — 4.6%

	335,000	Allergan Inc.		19,842,050
	1,859,850	Elan Corp. PLC, ADR*		42,348,785
	257,700	Teva Pharmaceutical Industries Ltd., ADR (a)		12,645,339
	643,800	Wyeth		28,082,556

		Total Pharmaceuticals		102,918,730

		TOTAL HEALTH CARE		412,216,865

INDUSTRIALS — 11.3%
Aerospace & Defense — 3.0%

	163,000	Boeing Co.		13,494,770
	192,400	General Dynamics Corp.		15,747,940
	554,400	United Technologies Corp		39,090,744

		Total Aerospace & Defense		68,333,454

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Growth Investments

Shares		Security	Value


Air Freight & Logistics — 1.5%

	400,000	Expeditors International of Washington Inc.	$	15,728,000
	250,000	United Parcel Service Inc., Class B Shares		17,560,000

		Total Air Freight & Logistics		33,288,000

Construction & Engineering — 1.2%

	405,700	Foster Wheeler Ltd.*		26,553,065

Electrical Equipment — 1.9%

	538,800	ABB Ltd., ADR		13,491,552
	51,267	First Solar Inc.*		10,519,988
	348,705	Rockwell Automation Inc.		19,077,651

		Total Electrical Equipment		43,089,191

Industrial Conglomerates — 1.2%

	239,211	McDermott International Inc.*		12,491,598
	251,100	Textron Inc.		13,602,087

		Total Industrial Conglomerates		26,093,685

Machinery — 2.5%

	295,100	Danaher Corp.		21,881,665
	166,600	Deere & Co.		14,195,986
	348,750	ITT Industries Inc.		19,613,700

		Total Machinery		55,691,351

		TOTAL INDUSTRIALS		253,048,746

INFORMATION TECHNOLOGY — 23.1%
Communication Equipment — 3.8%

	1,315,200	Cisco Systems Inc.*		32,051,424
	1,270,400	QUALCOMM Inc.		53,826,848

		Total Communication Equipment		85,878,272

Computers & Peripherals — 7.6%

	211,854	Apple Inc.*		26,485,987
	876,300	EMC Corp.*		13,617,702
	986,900	Hewlett-Packard Corp.		47,144,213
	331,600	Research in Motion Ltd.*		34,420,080
	1,050,000	Seagate Technology		22,648,500
	725,000	Sun Microsystems Inc.*		11,890,000
	600,000	Teradata Corp.*		15,138,000

		Total Computers & Peripherals		171,344,482

Internet Software & Services — 3.3%

	575,000	eBay Inc.*		15,157,000
	106,798	Equinix Inc. (a)*		7,406,441
	109,079	Google Inc., Class A Shares*		51,395,843

		Total Internet Software & Services		73,959,284

IT Services — 2.5%

	995,900	Cognizant Technology Solutions Corp.*		30,086,139
	138,000	Mastercard Inc. (a)		26,220,000

		Total IT services		56,306,139

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Growth Investments

Shares		Security	Value


Semiconductors & Semiconductor Equipment — 1.7%

	965,650	Intel Corp.	$	19,264,718
	1,108,700	Marvell Technology Group Ltd.*		12,539,397
	302,076	Nvidia Corp.*		6,461,406

		Total Semiconductors & Semiconductor Equipment		38,265,521

Software — 4.2%

	314,500	Adobe Systems Inc. (a)*		10,582,925
	554,400	Autodesk Inc.*		17,236,296
	700,000	Intuit Inc.*		18,592,000
	1,113,260	Microsoft Corp.		30,302,937
	876,300	Oracle Corp.*		16,474,440

		Total Software		93,188,598

		TOTAL INFORMATION TECHNOLOGY		518,942,296

MATERIALS — 6.8%
Chemicals — 3.7%

	491,750	Ecolab Inc.		23,008,983
	69,408	Monsanto Co.		8,029,117
	544,800	Praxair Inc.		43,736,544
	82,538	The Mosaic Co.*		9,186,479

		Total Chemicals		83,961,123

Metals & Mining — 3.1%

	184,300	Cia Siderurgica Nacional SA, ADR (a)		6,890,977
	250,400	Freeport-McMoRan Copper & Gold Inc.		25,255,344
	858,400	Goldcorp Inc. (a)		37,091,464

		Total Metals & Mining		69,237,785

		TOTAL MATERIALS		153,198,908

TELECOMMUNICATION SERVICES — 2.4%
Wireless Equipment — 0.7%

	460,000	Crown Castle International Corp.*		16,601,400

Wireless Telecommunication Services — 1.7%

	459,900	American Tower Corp., Class A Shares*		17,678,556
	488,232	NII Holdings Inc., Class B Shares*		19,397,457

		Total Wireless Telecommunication Services		37,076,013

		TOTAL TELECOMMUNICATION SERVICES		53,677,413

		TOTAL COMMON STOCKS (Cost — $1,940,935,897)		2,165,551,982

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,940,935,897)		2,165,551,982

Face
Amount

SHORT-TERM INVESTMENTS (b) — 9.8%

MONEY MARKET FUND — 7.5%
	168,766,180	BBH Securities Lending Trust (c) (Cost — $168,766,180)		168,766,180

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Growth Investments

Face
Amount		Security	Value


TIME DEPOSITS — 2.0%

$	4,804	BBH — Grand Cayman, 2.540% due 3/3/08	$	4,804
	44,746,449	Wells Fargo — Grand Cayman, 2.540% due 3/3/08		44,746,449

		TOTAL TIME DEPOSITS (Cost — $44,751,253)		44,751,253

U.S. GOVERNMENT AGENCY — 0.3%

	5,920,000	Federal National Mortgage Association, Discount Notes, (FNMA), 2.050% due 3/3/08 (d) (Cost — $5,918,989)		5,918,989

		TOTAL SHORT-TERM INVESTMENTS (Cost — $219,436,422)		219,436,422

		TOTAL INVESTMENTS — 106.3% (Cost — $2,160,372,319#)		2,384,988,404
		Liabilities in Excess of Other Assets — (6.3%)		(142,180,687	)

		TOTAL NET ASSETS — 100.0%	$	2,242,807,717


*		Non-income producing securities.
(a)		All or a portion of this security is on loan (See Note 1).
(b)		Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of each portfolio holdings would be 2.3%.
(c)		Represents investment of collateral received from securities lending transactions.
(d)		Rate shown represents yield-to-maturity.
#		Aggregate cost for federal income tax purposes is substantially the same.

		Abbreviation used in this schedule:

		ADR — American Depositary Receipt

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Value Equity Investments

Shares		Security	Value

COMMON STOCKS — 96.0%
CONSUMER DISCRETIONARY — 14.3%
Auto Components — 0.1%

	44,400	Autoliv Inc.	$	2,215,560

Automobiles — 0.4%

	278,200	General Motors Corp. (a)		6,476,496

Hotels, Restaurants & Leisure — 1.5%

	274,000	Boyd Gaming Corp. (a)		5,778,660
	260,800	International Game Technology		11,775,120
	367,000	Wyndham Worldwide Corp.		8,136,390

		Total Hotels, Restaurants & Leisure		25,690,170

Household Durables — 1.6%

	219,000	Black & Decker Corp. (a)		15,060,630
	128,100	Whirlpool Corp. (a)		10,807,797

		Total Household Durables		25,868,427

Leisure Equipment & Products — 0.7%

	558,800	Mattel Inc.		10,796,016

Media — 5.1%

	762,200	CBS Corp., Class B Shares		17,393,404
	1,020,000	DIRECTV Group Inc.*		25,551,000
	281,700	Gannett Co. Inc. (a)		8,493,255
	33	Gemstar-TV Guide International Inc.*		156
	1,430,000	Interpublic Group Cos. Inc. (a)*		12,326,600
	293,700	Time Warner Inc.		4,584,657
	278,000	WPP Group PLC, ADR (a)		16,560,460

		Total Media		84,909,532

Multiline Retail — 2.4%

	85,800	JC Penney Co. Inc.		3,964,818
	790,000	Macy’s Inc.		19,497,200
	307,000	Target Corp.		16,151,270

		Total Multiline Retail		39,613,288

Specialty Retail — 1.7%

	711,900	Home Depot Inc.		18,900,945
	564,000	Limited Brands Inc.		8,601,000
	24,790	Office Depot Inc.*		281,862

		Total Specialty Retail		27,783,807

Textiles, Apparel & Luxury Goods — 0.8%
	179,200	V. F. Corp.		13,626,368

		TOTAL CONSUMER DISCRETIONARY		236,979,664

CONSUMER STAPLES — 10.6%
Beverages — 1.4%

	262,000	Anheuser-Busch Cos. Inc.		12,337,580
	197,500	Coca-Cola Co.		11,545,850

		Total Beverages		23,883,430

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Value Equity Investments

Shares		Security	Value


Beverages — 1.4% — (continued)
Food & Staples Retailing — 1.6%

	469,000	CVS/Caremark Corp.	$	18,938,220
	133,800	Kroger Co.		3,244,650
	23,100	Safeway Inc.		663,894
	147,300	SUPERVALU Inc.		3,866,625

		Total Food & Staples Retailing		26,713,389

Food Products — 3.4%

	495,000	Archer Daniels Midland		22,324,500
	323,000	Campbell Soup Co.		10,429,670
	520,000	ConAgra Foods Inc.		11,492,000
	383,657	Kraft Foods Inc.		11,958,589

		Total Food Products		56,204,759

Household Products — 0.7%

	185,400	Kimberly-Clark Corp.		12,084,372

Tobacco — 3.5%

	611,600	Altria Group Inc.		44,732,424
	207,400	Reynolds American Inc. (a)		13,215,528

		Total Tobacco		57,947,952

		TOTAL CONSUMER STAPLES		176,833,902

ENERGY — 19.1%
Energy Equipment & Services — 4.5%

	215,000	Baker Hughes Inc.		14,467,350
	510,000	BJ Services Co.		13,229,400
	806,500	Halliburton Co.		30,888,950
	520,000	Nabors Industries Ltd.*		16,395,600

		Total Energy Equipment & Services		74,981,300

Oil, Gas & Consumable Fuels — 14.6%

	209,400	Anadarko Petroleum Corp.		13,347,156
	419,800	BP PLC, ADR (a)		27,232,426
	592,100	Chevron Corp.		51,311,386
	506,100	ConocoPhillips		41,859,531
	1,020,000	El Paso Corp.		16,626,000
	310,500	Exxon Mobil Corp.		27,016,605
	527,000	Marathon Oil Corp.		28,015,320
	187,800	Occidental Petroleum		14,530,086
	153,300	Royal Dutch Shell PLC, Class A Shares, ADR (a)		10,953,285
	141,100	Total SA, ADR		10,637,529

		Total Oil, Gas & Consumable Fuels		241,529,324

		TOTAL ENERGY		316,510,624

FINANCIALS — 16.5%
Capital Markets — 1.1%

	8,400	Goldman Sachs Group Inc.		1,424,892
	138,100	Merrill Lynch & Co. Inc.		6,844,236
	233,700	Morgan Stanley		9,843,444

		Total Capital Markets		18,112,572

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Value Equity Investments

Shares		Security	Value


Capital Markets — 1.1% — (continued)
Commercial Banks — 4.2%

	789,700	Bank of America Corp.	$	31,382,678
	447,000	Keycorp		9,856,350
	941,800	Regions Financial Corp. (a)		19,966,160
	289,500	Wachovia Corp.		8,864,490

		Total Commercial Banks		70,069,678

Diversified Financial Services — 2.3%

	28,500	Deutsche Bank AG		3,162,360
	857,000	JPMorgan Chase & Co.		34,837,050

		Total Diversified Financial Services		37,999,410

Insurance — 8.0%

	184,000	ACE Ltd.		10,348,160
	695,100	Allstate Corp.		33,177,123
	408,900	American International Group Inc.		19,161,054
	106,800	Fidelity National Financial Inc.		1,880,748
	307,500	Genworth Financial Inc., Class A Shares		7,127,850
	75,600	Hartford Financial Services Group Inc.		5,284,440
	214,400	Lincoln National Corp.		10,957,984
	276,900	MetLife Inc.		16,132,194
	20,800	RenaissanceRe Holdings Ltd.		1,141,920
	489,100	Travelers Cos. Inc.		22,699,131
	106,100	XL Capital Ltd., Class A Shares		3,825,966

		Total Insurance		131,736,570

Real Estate Investment Trusts (REITs) — 0.5%

	503,600	Host Hotels & Resorts Inc.		8,153,284

Thrifts & Mortgage Finance — 0.4%

	87,100	Fannie Mae		2,408,315
	193,200	Freddie Mac		4,864,776

		Total Thrifts & Mortgage Finance		7,273,091

		TOTAL FINANCIALS		273,344,605

HEALTH CARE — 6.6%
Health Care Equipment & Supplies — 0.2%

	64,475	Covidien Ltd.		2,758,885

Health Care Providers & Services — 0.8%

	166,800	Amerisourcebergen Corp. Class A		6,958,896
	119,200	McKesson Corp.		7,004,192

		Total Health Care Providers & Services		13,963,088

Pharmaceuticals — 5.6%

	214,000	Barr Pharmaceuticals Inc.*		10,090,100
	482,100	GlaxoSmithKline PLC, ADR		21,169,011
	109,600	Merck & Co. Inc.		4,855,280
	2,093,800	Pfizer Inc.		46,649,864
	252,500	Wyeth		11,014,050

		Total Pharmaceuticals		93,778,305

		TOTAL HEALTH CARE		110,500,278

INDUSTRIALS — 6.8%
Aerospace & Defense — 0.6%

	137,200	Northrop Grumman Corp.		10,785,292

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Value Equity Investments

Shares		Security	Value


Aerospace & Defense — 0.6% — (continued)
Building Products — 0.2%

	113,300	KB Home (a)	$	2,711,269

Commercial Services & Supplies — 1.6%

	106,000	Avery Dennison Corp. (a)		5,439,920
	334,800	R.R. Donnelley & Sons Co.		10,656,684
	339,400	Waste Management Inc.		11,142,502

		Total Commercial Services & Supplies		27,239,106

Industrial Conglomerates — 1.1%

	308,300	General Electric Co.		10,217,062
	63,600	Parker Hannifin Corp.		4,110,468
	64,475	Tyco Electronics Ltd.		2,121,227
	64,475	Tyco International Ltd.		2,582,869

		Total Industrial Conglomerates		19,031,626

Machinery — 1.7%

	291,200	Caterpillar Inc.		21,062,496
	32,400	Eaton Corp.		2,612,412
	58,500	Terex Corp.*		3,945,825

		Total Machinery		27,620,733

Road & Rail — 1.6%

	500,500	Norfolk Southern Corp.		26,471,445

		TOTAL INDUSTRIALS		113,859,471

INFORMATION TECHNOLOGY — 8.8%
Computers & Peripherals — 0.7%

	509,100	Seagate Technology		10,981,287

Electronic Equipment & Instruments — 2.4%

	91,000	Diamond Offshore Drilling Inc.		10,995,530
	1,763,626	Flextronics International Ltd.*		17,883,168
	620,000	Ingram Micro Inc.*		9,467,400
	182,520	Sanmina-SCI Corp.*		301,158
	51,910	Tech Data Corp.*		1,731,199

		Total Electronic Equipment & Instruments		40,378,455

IT Services — 1.2%

	994,000	Western Union Co.		20,675,200

Semiconductors & Semiconductor Equipment — 3.1%

	1,882,000	Infineon Technologies AG, ADR*		15,187,740
	1,582,600	Intel Corp.		31,572,870
	880,000	Qimonda AG, ADR (a)*		3,977,600

		Total Semiconductors & Semiconductor Equipment		50,738,210

Software — 1.4%

	1,000,000	Cadence Design Systems Inc.*		10,620,000
	727,000	Symantec Corp.*		12,242,680

		Total Software		22,862,680

		TOTAL INFORMATION TECHNOLOGY		145,635,832

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Large Capitalization Value Equity Investments

Shares		Security	Value


MATERIALS — 6.9%
Chemicals — 3.4%

	1,024,200	Dow Chemical Co.	$	38,602,098
	395,000	EI Du Pont de Nemours & Co.		18,335,900

		Total Chemicals		56,937,998

Metals & Mining — 3.5%

	593,800	Alcoa Inc.		22,053,732
	106,800	ArcelorMittal, Class A Shares (a)		8,118,936
	296,000	Gold Fields Ltd.*		4,200,240
	443,000	Newmont Mining Corp.		22,668,310

		Total Metals & Mining		57,041,218

		TOTAL MATERIALS		113,979,216

TELECOMMUNICATION SERVICES — 4.7%
Diversified Telecommunication Services — 4.5%

	975,734	AT&T Inc.		33,984,815
	597,500	Sprint Nextel Corp.		4,248,225
	528,200	Verizon Communications		19,184,224
	175,000	Vodafone Group PLC, ADR		5,640,250
	960,272	Windstream Corp.		11,292,799

		Total Diversified Telecommunication Services		74,350,313

Wireless Equipment — 0.2%

	90,500	Nokia Corp., ADR		3,258,905

		TOTAL TELECOMMUNICATION SERVICES		77,609,218

UTILITIES — 1.7%
Electric — 0.2%

	43,000	Constellation Energy Group Inc.		3,799,050

Electric Utilities — 0.7%

	111,800	American Electic Power Co. Inc.		4,574,856
	38,900	Entergy Corp.		3,996,586
	77,900	Wisconsin Energy Corp.		3,397,998

		Total Electric Utilities		11,969,440

Multi-Utilities — 0.8%

	244,400	Ameren Corp.		10,435,880
	50,600	Sempra Energy		2,688,378

		Total Multi-Utilities		13,124,258

		TOTAL UTILITIES		28,892,748

		TOTAL COMMON STOCKS (Cost — $1,577,382,483)		1,594,145,558

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,577,382,483)		1,594,145,558

Face
Amount

SHORT-TERM INVESTMENTS (b) — 9.5%
MONEY MARKET FUND — 6.4%
	106,278,472	BBH Securities Lending Trust (c) (Cost — $106,278,472)		106,278,472

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Growth Investments

Shares		Security	Value

COMMON STOCKS — 97.7%
CONSUMER DISCRETIONARY — 8.1%
Diversified Consumer Services — 2.6%

	90,000	American Public Education Inc.*	$	2,999,700
	165,012	Corinthian Colleges Inc.*		1,311,845
	40,700	New Oriental Education & Technology Group Inc., ADR*		2,537,645
	321,400	Stewart Enterprises Inc., Class A Shares		1,918,758

		Total Diversified Consumer Services		8,767,948

Hotels, Restaurants & Leisure — 2.1%

	31,800	Red Robin Gourmet Burgers Inc.*		1,059,894
	227,858	Texas Roadhouse Inc., Class A Shares (a)*		2,119,079
	108,050	WMS Industries Inc.*		4,102,659

		Total Hotels, Restaurants & Leisure		7,281,632

Household Durables — 0.3%

	53,600	Tempur-Pedic International Inc. (a)		933,712

Textiles, Apparel & Luxury Goods — 3.1%
	68,100	Aeropostale Inc.*		1,829,166
	265,959	Bebe Stores Inc. (a)		3,247,359
	137,900	Iconix Brand Group Inc. (a)*		2,865,562
	42,200	Oxford Industries Inc.		892,108
	94,300	True Religion Apparel Inc. (a)*		1,926,549

		Total Textiles, Apparel & Luxury Goods		10,760,744

		TOTAL CONSUMER DISCRETIONARY		27,744,036

CONSUMER STAPLES — 2.3%
Food Products — 0.4%
	176,600	Agria Corp.*		1,439,290

Personal Products — 1.9%

	233,900	Bare Escentuals Inc. (a)*		6,404,182

		TOTAL CONSUMER STAPLES		7,843,472

ENERGY — 15.9%
Energy Equipment & Services — 8.5%
	193,200	Complete Production*		3,751,944
	87,000	Evergreen Solar Inc. (a)*		836,070
	64,430	Exterran Holdings Inc.*		4,487,550
	92,100	Flotek Industries Inc. (a)*		2,093,433
	53,100	NATCO Group Inc.*		2,530,215
	115,800	Oil States International Inc.*		4,882,128
	198,900	Superior Energy Services Inc.*		8,093,241
	67,000	Willbros Group Inc. (a)*		2,295,420

		Total Energy Equipment & Services		28,970,001

Oil, Gas & Consumable Fuels — 7.4%

	30,350	Carrizo Oil & Gas Inc.*		1,752,713
	46,200	Foundation Coal Holdings Inc.		2,668,974
	205,500	Key Energy Services Inc.*		2,776,305
	90,800	Parallel Petroleum Corp*		1,677,984
	132,100	Patterson UTI Energy Inc.		3,134,733
	129,700	Pioneer Drilling Co.*		1,739,277
	97,800	Precision Drilling Trust (a)		2,195,610

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Growth Investments

Shares		Security	Value


Oil, Gas & Consumable Fuels — 7.4% — (continued)

	166,498	Quicksilver Resources Inc. (a)*	$	5,727,531
	78,400	T-3 Energy Services Inc.*		3,870,608

		Total Oil, Gas & Consumable Fuels		25,543,735

		TOTAL ENERGY		54,513,736

FINANCIALS — 2.4%
Commercial Banks — 0.9%

	120,000	Signature Bank*		3,180,000

Diversified Financial Services — 0.5%

	52,300	Interactive Brokers Group Inc., Class A Shares*		1,624,961

Insurance — 0.5%

	60,000	Tower Group Inc.		1,704,600

Real Estate Investment Trusts (REITs) — 0.5%

	135,100	DiamondRock Hospitality Co.		1,687,399

		TOTAL FINANCIALS		8,196,960

HEALTH CARE — 26.1%
Biotechnology — 10.4%

	103,800	Alexion Pharmaceuticals Inc. (a)*		6,291,318
	182,900	Applera Corp. — Celera Group*		2,534,994
	33,689	Cephalon Inc. (a)*		2,032,794
	79,600	Cubist Pharmaceuticals Inc. (a)*		1,448,720
	272,200	Human Genome Sciences Inc.*		1,608,702
	77,700	Illumina Inc. (a)*		5,626,257
	101,900	InterMune Inc. (a)*		1,434,752
	109,100	Keryx Biopharmaceuticals Inc.*		627,325
	108,000	Omrix Biopharmaceuticals Inc. (a)*		2,608,200
	116,550	OSI Pharmaceuticals Inc.*		4,189,973
	217,400	TomoTherapy Inc. (a)*		2,863,158
	27,900	United Therapeutics Corp. (a)*		2,348,343
	142,500	Vanda Pharmaceuticals Inc. (a)*		649,800
	67,000	Vertex Pharmaceuticals Inc. (a)*		1,172,500

		Total Biotechnology		35,436,836

Health Care Equipment & Supplies — 8.7%

	221,600	Align Technology Inc. (a)*		2,736,760
	160,400	American Medical Systems Holdings Inc. (a)*		2,340,236
	100,100	Cutera Inc.*		1,269,268
	222,300	ev3 Inc. (a)*		1,965,132
	37,700	Greatbatch Inc. (a)*		805,649
	118,288	Immucor Inc.*		3,524,982
	108,000	Masimo Corp. (a)*		3,462,480
	71,300	Palomar Medical Technologies Inc. (a)*		949,003
	146,200	PerkinElmer Inc.		3,628,684
	369,500	Spectranetics Corp. (a)*		3,325,500
	73,200	Varian Inc.*		3,963,780
	103,500	Vnus Medical Technologies Inc.*		1,934,415

		Total Health Care Equipment & Supplies		29,905,889

Health Care Providers & Services — 2.0%

	48,000	Genoptix Inc.*		1,232,160
	107,300	Gentiva Health Services Inc.*		2,313,388
	211,600	Sun Healthcare Group Inc.*		3,118,984

		Total Health Care Providers & Services		6,664,532

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Growth Investments

Shares		Security	Value


Health Care Providers & Services — 2.0% — (continued)

Life Sciences Tools & Services — 1.0%

	47,200	Dionex Corp.*	$	3,484,304

Pharmaceuticals — 4.0%

	408,900	Adolor Corp.*		1,868,673
	155,900	Array Biopharma Inc. (a)*		873,040
	296,200	Medicines Co.*		5,704,812
	96,100	Medicis Pharmaceutical Corp., Class A Shares		1,971,011
	195,600	Santarus Inc. (a)*		352,080
	144,350	Sciele Pharma Inc. (a)*		2,988,045

		Total Pharmaceuticals		13,757,661

		TOTAL HEALTH CARE		89,249,222

INDUSTRIALS — 11.2%
Airlines — 0.4%

	181,400	Airtran Holdings Inc. (a)*		1,309,708

Building Products — 0.1%

	24,900	Apogee Enterprises Inc.		383,211

Commercial Services & Supplies — 3.8%

	51,900	Aegean Marine Petroleum Network Inc.		1,422,579
	67,600	Coinstar Inc. (a)*		1,971,216
	143,700	Geo Group Inc.*		3,835,353
	42,100	Kendle International Inc. (a)*		1,886,501
	149,800	MDC Partners Inc. (b)*		1,208,886
	138,600	Valueclick Inc.*		2,676,366

		Total Commercial Services & Supplies		13,000,901

Construction & Engineering — 0.8%

	75,700	Perini Corp.*		2,837,236

Electrical Equipment — 1.6%

	53,400	Acuity Brands Inc. (a)		2,371,494
	86,400	Energy Conversion Devices Inc. (a)*		2,295,648
	249,700	Power-One Inc.*		649,220

		Total Electrical Equipment		5,316,362

Machinery — 3.2%

	131,494	Actuant Corp., Class A Shares		3,534,559
	131,425	RBC Bearings Inc.*		4,415,880
	89,800	Wabtec Corp.		3,107,978

		Total Machinery		11,058,417

Road & Rail — 0.6%

	76,100	J.B. HuntTransport Services Inc.		2,082,857

Trading Companies & Distributors — 0.7%

	134,000	Interline Brands Inc.*		2,381,180

		TOTAL INDUSTRIALS		38,369,872

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Growth Investments

Shares		Security	Value


INFORMATION TECHNOLOGY — 30.3%
Communication Equipment — 3.4%

	127,300	Foundry Networks Inc.*	$	1,511,051
	171,900	Harmonic Inc.*		1,531,629
	73,900	NICE Systems Ltd., ADR*		2,385,492
	141,700	Polycom Inc.*		3,089,060
	147,000	Riverbed Technology Inc.*		2,948,820

		Total Communication Equipment		11,466,052

Computers & Peripherals — 0.8%

	78,700	Magma Design Automation Inc.*		772,834
	21,800	Sigma Designs Inc. (a)*		642,010
	131,300	Virtusa Corp. (b)*		1,435,109

		Total Computers & Peripherals		2,849,953

Internet & Catalog Retail — 0.3%

	71,600	Nutri/System Inc. (a)*		1,024,596

Internet Software & Services — 2.9%

	67,300	comScore Inc.*		1,387,726
	31,800	DealerTrack Holdings Inc.*		650,946
	17,000	Equinix Inc. (a)*		1,178,950
	555,700	Skillsoft PLC, ADR*		4,873,489
	100,700	Websense Inc.*		1,960,629

		Total Internet Software & Services		10,051,740

IT Services — 3.7%

	364,500	Cybersource Corp.*		5,325,345
	218,200	MPS Group Inc.*		2,487,480
	87,900	RightNow Technologies Inc.*		1,004,697
	375,600	Sapient Corp.*		2,771,928
	47,200	SRA International Inc.*		1,132,800

		Total IT Services		12,722,250

Semiconductors & Semiconductor Equipment — 6.5%

	238,200	AMIS Holdings Inc.*		1,624,524
	124,300	ATMI Inc.*		3,398,361
	57,000	Cavium Networks Inc.*		810,540
	130,000	IXYS Corp. (a)*		916,500
	129,300	Microsemi Corp.*		2,812,275
	90,900	Netlogic Microsystems Inc. (a)*		2,145,240
	808,700	PMC-Sierra Inc. (a)*		3,873,673
	72,000	Power Integrations Inc.*		1,893,600
	32,800	Standard Microsystems Corp.*		929,880
	85,200	Tessera Technologies Inc.*		2,007,312
	53,950	Varian Semiconductor Equipment Associates Inc.*		1,822,431

		Total Semiconductors & Semiconductor Equipment		22,234,336

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Growth Investments

Shares		Security	Value


Software — 12.7%

	47,800	Ansys Inc.*	$	1,786,286
	75,800	Blackboard Inc.*		2,180,766
	287,500	Commvault Systems Inc.*		4,025,000
	109,300	Concur Technologies Inc. (a)*		3,195,932
	102,300	Double-Take Software*		1,062,897
	170,385	Informatica Corp*		2,974,922
	79,400	MICROS Systems Inc.*		2,543,976
	119,651	Net 1 UEPS Technologies Inc.*		3,481,844
	490,400	Nuance Communications Inc. (a)*		8,067,080
	261,700	Phase Forward Inc.*		4,168,881
	235,400	Quest Software Inc.*		3,349,742
	47,100	Smith Micro Software Inc.*		241,152
	79,000	Solera Holdings Inc.*		1,874,670
	188,700	Synchronoss Technolgies Inc. (a)*		3,034,296
	84,757	Verint Systems Inc.*		1,281,526

		Total Software		43,268,970

		TOTAL INFORMATION TECHNOLOGY		103,617,897

MATERIALS — 0.6%
Metals & Mining — 0.6%

	126,200	Horsehead Holding Corp.*		1,981,340

TELECOMMUNICATION SERVICES — 0.8%
Diversified Telecommunication Services — 0.8%

	69,900	Atheros Communications Inc.*		1,699,968
	61,300	Cbeyond Inc.*		1,004,707

		Total Diversified Telecommunication Services		2,704,675

		TOTAL TELECOMMUNICATION SERVICES		2,704,675

		TOTAL COMMON STOCKS (Cost — $315,074,478)		334,221,210

RIGHTS — 0.0%
HEALTH CARE — 0.0%
Pharmaceuticals — 0.0%

	880	OSI Pharmaceuticals Inc. (b)* (Cost — $123)		0

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $315,074,601)		334,221,210

Face
Amount
SHORT-TERM INVESTMENTS (c) — 28.7%
MONEY MARKET FUND — 27.1%
	92,844,175	BBH Securities Lending Trust (d) (Cost — $92,844,175)		92,844,175

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Shares		Security	Value

COMMON STOCKS — 94.4%
CONSUMER DISCRETIONARY — 12.1%
Auto Components — 2.3%

	995,007	Hayes Lemmerz International Inc.*	$	3,164,122
	291,382	Modine Manufacturing Co.		3,636,447

		Total Auto Components		6,800,569

Automobiles — 1.3%

	528,500	Fleetwood Enterprises Inc. (a)*		2,251,410
	49,300	Thor Industries Inc. (a)		1,502,664

		Total Automobiles		3,754,074

Diversified Consumer Services — 0.4%

	96,400	Service Corporation International		1,041,120

Hotels, Restaurants & Leisure — 0.5%

	28,700	CEC Entertainment Inc.*		770,021
	76,500	CKE Restaurants Inc.		847,620

		Total Hotels, Restaurants & Leisure		1,617,641

Household Durables — 1.0%

	32,900	American Greetings Corp., Class A Shares		619,178
	37,900	Ethan Allen Interiors Inc. (a)		1,032,396
	34,500	Lancaster Colony Corp.		1,280,985

		Total Household Durables		2,932,559

Leisure Equipment & Products — 0.6%

	227,277	Arctic Cat Inc. (a)		1,718,214

Media — 0.6%

	19,040	AH Belo Corp., Class A Shares*		231,717
	99,200	Belo Corp.		1,167,584
	10,700	Meredith Corp.		463,845

		Total Media		1,863,146

Multiline Retail — 1.6%

	35,400	Dollar Tree Stores Inc.*		949,782
	441,857	Fred’s Inc.		3,879,504

		Total Multiline Retail		4,829,286

Specialty Retail — 2.9%

	50,900	Borders Group Inc.		471,334
	114,850	Cato Corp., Class A Shares		1,798,551
	268,686	MarineMax Inc. (a)*		3,299,464
	26,600	PETsMART Inc.		572,698
	37,200	Ross Stores Inc.		1,036,020
	40,375	Stage Stores Inc.		511,148
	46,600	Zale Corp. (a)*		900,312

		Total Specialty Retail		8,589,527

Textiles, Apparel & Luxury Goods — 0.9%

	20,775	Brown Shoe Co. Inc.		304,977
	24,100	Men’s Wearhouse Inc.		555,264
	17,300	Warnaco Group Inc.*		649,788

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Shares		Security	Value


Textiles, Apparel & Luxury Goods — 0.9% — (continued)

	37,500	Wolverine World Wide Inc.	$	993,750

		Total Textiles, Apparel & Luxury Goods		2,503,779

		TOTAL CONSUMER DISCRETIONARY		35,649,915

CONSUMER STAPLES — 5.5%

Beverages — 1.2%

	38,200	Constellation Brands Inc., Class A Shares*		733,822
	717,600	Cott Corp. (a)*		1,578,720
	46,800	PepsiAmericas Inc.		1,184,040

		Total Beverages		3,496,582

Food & Drug Retailing — 0.4%

	13,200	Casey’s General Stores Inc.		330,660
	30,500	Weis Markets Inc.		988,505

		Total Food & Drug Retailing		1,319,165

Food Products — 3.1%

	34,500	Corn Products International Inc.		1,266,495
	94,900	Del Monte Foods Co.		852,202
	27,700	J.M. Smucker Co.		1,417,963
	49,000	Pilgrim’s Pride Corp. (a)		1,149,540
	177,620	Tootsie Roll Industries Inc. (a)		4,303,733

		Total Food Products		8,989,933

Household Products — 0.3%

	22,300	WD-40 Co.		693,084
	11,400	Zep Inc.		178,980

		Total Household Products		872,064

Tobacco — 0.5%

	26,400	Universal Corp.		1,502,424

		TOTAL CONSUMER STAPLES		16,180,168

ENERGY — 8.0%

Energy Equipment & Services — 2.9%

	104,300	Grey Wolf Inc.*		646,660
	23,100	Holly Corp.		1,233,309
	171,700	ION Geophysical Corp. (a)(b)*		2,281,893
	24,900	Lufkin Industries Inc.		1,423,284
	22,700	Tidewater Inc.		1,274,605
	26,000	W-H Energy Services*		1,634,620

		Total Energy Equipment & Services		8,494,371

Oil, Gas & Consumable Fuels — 5.1%

	14,700	Arch Coal Inc.		751,023
	34,600	Berry Petroleum Co., Class A Shares		1,422,406
	33,100	Cabot Oil & Gas Corp.		1,646,725
	31,200	Cimarex Energy Co.		1,644,240
	38,124	Hercules Offshore Inc. (a)*		966,062
	31,100	Newfield Exploration Co.*		1,722,318
	32,500	Penn Virginia Corp.		1,383,200
	38,000	St. Mary Land & Exploration Co.		1,401,440
	40,000	Tsakos Energy Navigation Ltd.		1,308,800
	38,600	Western Refining Inc. (a)		768,912

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Shares		Security	Value


Oil, Gas & Consumable Fuels — 5.1% — (continued)

	35,500	Whiting Petroleum Corp.*	$	2,173,310

		Total Oil, Gas & Consumable Fuels		15,188,436

		TOTAL ENERGY		23,682,807

FINANCIALS — 17.2%

Capital Markets — 0.6%

	49,000	Boston Private Financial Holdings Inc. (a)		674,730
	60,600	Jefferies Group Inc.		1,075,650

		Total Capital Markets		1,750,380

Commercial Banks — 7.0%

	28,900	AMCORE Financial Inc.		561,238
	49,300	BancorpSouth Inc.		1,108,264
	58,600	Bank of Hawaii Corp.		2,813,972
	75,200	Colonial BancGroup Inc. (a)		908,416
	22,900	Cullen/Frost Bankers Inc.		1,170,648
	36,800	East-West Bancorp (a)		692,208
	25,800	First Midwest Bancorp Inc.		672,090
	14,800	FirstMerit Corp.		277,796
	59,600	Frontier Financial Corp. (a)		892,808
	88,600	Fulton Financial Corp.		1,030,418
	21,100	Hancock Holding Co. (a)		781,544
	17,800	Independent Bank Corp., (Massachusetts)		471,166
	24,800	NBT Bancorp Inc.		475,416
	62,799	Old National Bancorp (a)		974,640
	185,103	Oriental Financial Group Inc.		3,853,844
	41,499	Provident Bankshares Corp.		528,282
	76,700	Sterling Bancshares Inc.		714,077
	46,850	Sterling Financial Corp. of Spokane		697,597
	51,900	Susquehanna Bancshares Inc.		1,032,291
	44,500	Whitney Holding Corp.		1,068,445

		Total Commercial Banks		20,725,160

Consumer Finance — 0.3%

	102,800	Advance America Cash Advance Centers Inc.		763,804

Insurance — 5.1%

	112,700	American Equity Investment Life Holding Co.		1,076,285
	46,200	American Financial Group Inc.		1,195,194
	38,250	Delphi Financial Group, Class A Shares		1,153,620
	29,200	Harleysville Group Inc.		980,536
	54,500	Infinity Property & Casualty Corp.		2,189,265
	41,600	Platinum Underwriters Holdings Ltd.		1,435,200
	23,700	Protective Life Corp.		914,583
	21,000	RLI Corp.		1,096,830
	63,300	Selective Insurance Group		1,504,008
	18,500	StanCorp Financial Group Inc.		908,165
	48,000	W.R. Berkley Corp.		1,381,920
	35,900	Zenith National Insurance Corp.		1,223,472

		Total Insurance		15,059,078

Real Estate Investment Trusts (REITs) — 3.4%

	62,600	Ashford Hospitality Trust Inc.		416,290
	53,464	Brandywine Realty Trust		894,987
	40,200	CBL & Associates Properties Inc.		938,670
	35,500	Education Realty Trust Inc.		452,270
	48,200	Equity One Inc. (a)		1,031,480

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Shares		Security	Value


Real Estate Investment Trusts (REITs) — 3.4% — (continued)

	31,100	First Industrial Realty Trust Inc. (a)	$	944,818
	43,500	Healthcare Realty Trust		1,034,865
	28,500	Highwoods Properties Inc.		840,180
	144,600	HRPT Properties Trust		994,848
	40,100	Nationwide Health Properties Inc. (a)		1,216,233
	27,430	Potlatch Corp,		1,132,036

		Total Real Estate Investment Trusts (REITs)		9,896,677

Thrifts & Mortgage Finance — 0.8%

	48,550	Washington Federal Inc.		1,102,085
	40,100	Washington Real Estate Investment Trust (a)		1,279,992

		Total Thrifts & Mortgage Finance		2,382,077

		TOTAL FINANCIALS		50,577,176

HEALTH CARE — 5.0%

Health Care Equipment & Supplies — 2.9%

	44,800	Invacare Corp.		1,118,208
	303,083	Merit Medical Systems Inc.*		4,803,866
	54,600	STERIS Corp.		1,344,252
	34,300	West Pharmaceutical Services Inc.		1,416,590

		Total Health Care Equipment & Supplies		8,682,916

Health Care Providers & Services — 2.1%

	30,500	Amerigroup Corp.*		1,098,000
	65,500	Owens & Minor Inc. (a)		2,814,535
	17,800	Pediatrix Medical Group Inc.*		1,174,978
	19,000	Universal Health Services Inc., Class B Shares		1,014,980

		Total Health Care Providers & Services		6,102,493

		TOTAL HEALTH CARE		14,785,409

INDUSTRIALS — 23.3%

Aerospace & Defense — 0.5%

	26,400	DRS Technologies Inc.		1,480,776

Airlines — 0.6%

	82,800	SkyWest Inc.		1,831,536

Building Products — 2.2%

	30,200	Crane Co.		1,245,146
	31,300	Lennox International Inc.		1,178,132
	24,800	MDC Holdings Inc.		1,038,624
	40,600	Simpson Manufacturing Co. Inc. (a)		972,776
	192,955	Trex Co. Inc. (a)*		1,505,049
	20,400	Universal Forest Products Inc.		566,712

		Total Building Products		6,506,439

Commercial Services & Supplies — 4.9%

	311,380	ACCO Brands Corp.*		4,318,841
	27,000	Brink’s Co.		1,807,110
	282,570	Calgon Carbon Corp (a)*		4,617,194
	21,100	Casella Waste Systems Inc., Class A Shares*		208,679
	76,800	Ennis Inc.		1,225,728
	22,500	Great Lakes Dredge & Dock Corp.		137,475
	59,767	Kelly Services Inc., Class A Shares		1,148,124
	20,900	United Stationers Inc.*		1,031,624

		Total Commercial Services & Supplies		14,494,775

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Shares		Security	Value


Commercial Services & Supplies — 4.9% — (continued)

Electrical Equipment — 2.4%

	27,300	Acuity Brands Inc. (a)	$	1,212,393
	203,972	EnerSys (a)*		4,689,316
	29,400	Regal-Beloit Corp.		1,085,448

		Total Electrical Equipment		6,987,157

Industrial Conglomerates — 0.5%

	11,900	TriMas Corp.*		91,987
	25,500	Walter Industries Inc.		1,393,065

		Total Industrial Conglomerates		1,485,052

Machinery — 5.8%

	45,700	Actuant Corp., Class A Shares		1,228,416
	34,900	Albany International Corp., Class A Shares		1,198,117
	53,500	Barnes Group Inc. (a)		1,216,590
	211,200	Briggs & Stratton Corp. (a)		3,774,144
	29,300	Gardner Denver Inc*		1,081,463
	43,300	Harsco Corp.		2,446,017
	40,600	Kennametal Inc.		1,233,022
	20,300	Lincoln Electric Holdings Inc.		1,362,942
	48,200	Mueller Industries Inc.		1,384,786
	26,856	Mueller Water Products Inc., Class A Shares		233,916
	26,900	Timken Co.		810,497
	32,800	Wabtec Corp.		1,135,208

		Total Machinery		17,105,118

Marine — 1.4%

	27,700	Alexander & Baldwin Inc.		1,219,908
	25,500	Genco Shipping & Trading Ltd. (a)		1,485,885
	29,300	Kirby Corp.*		1,320,844

		Total Marine		4,026,637

Paper & Forest Products — 0.1%

	22,255	AbitibiBowater Inc. (a)		230,339

Road & Rail — 3.8%

	37,900	Arkansas Best Corp. (a)		1,012,309
	109,500	FreightCar America Inc. (a)		4,388,760
	21,000	Saia Inc.*		303,450
	307,600	Werner Enterprises Inc.		5,472,204

		Total Road & Rail		11,176,723

Trading Companies & Distributors — 0.8%

	40,000	Applied Industrial Technologies Inc.		1,105,600
	41,700	World Fuel Services Corp.		1,304,376

		Total Trading Companies & Distributors		2,409,976

Transportation Infrastructure — 0.3%

	43,100	General Maritime Corp. (a)		1,014,574

		TOTAL INDUSTRIALS		68,749,102

INFORMATION TECHNOLOGY — 7.8%

Computers & Peripherals — 0.7%

	154,800	Brocade Communications Systems Inc. (a)*		1,190,412
	63,600	Emulex Corp.*		946,368

		Total Computers & Peripherals		2,136,780

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Shares		Security	Value


Computers & Peripherals — 0.7% — (continued)

Electronic Equipment & Instruments — 1.8%

	91,200	AVX Corp.	$	1,143,648
	50,400	Bell Microproducts Inc.*		168,840
	34,000	Checkpoint Systems Inc.*		822,800
	29,600	Tech Data Corp.*		987,160
	54,700	Technitrol Inc.		1,203,947
	97,800	Vishay Intertechnology Inc.*		892,914

		Total Electronic Equipment & Instruments		5,219,309

IT Services — 1.7%

	8,517	Forrester Research Inc.*		226,893
	1,027,037	Lionbridge Technologies*		3,645,981
	61,500	Sykes Enterprises Inc.*		1,032,585

		Total IT Services		4,905,459

Semiconductors & Semiconductor Equipment — 1.8%

	118,800	Cirrus Logic Inc.*		610,632
	272,093	Cohu Inc.		4,255,535
	71,100	Entegris Inc.*		501,255

		Total Semiconductors & Semiconductor Equipment		5,367,422

Software — 1.8%

	148,400	Compuware Corp.*		1,181,264
	81,400	Parametric Technology Corp.*		1,246,234
	38,000	QAD Inc.		332,120
	26,200	Schawk Inc.		412,650
	40,000	Sybase Inc.*		1,064,800
	48,500	Synopsys Inc. (a)*		1,125,685

		Total Software		5,362,753

		TOTAL INFORMATION TECHNOLOGY		22,991,723

MATERIALS — 8.3%

Chemicals — 3.9%

	34,300	Albemarle Corp.		1,301,342
	19,700	Cytec Industries Inc.		1,128,416
	29,600	FMC Corp.		1,675,656
	29,300	Hercules Inc.		536,776
	24,100	Lubrizol Corp.		1,405,030
	51,300	Methanex Corp.		1,477,953
	66,200	RPM International Inc.		1,384,242
	42,900	Sensient Technologies Corp.		1,155,726
	33,400	Valspar Corp.		724,446
	49,500	Westlake Chemical Corp. (a)		798,930

		Total Chemicals		11,588,517

Construction Materials — 0.4%

	32,300	Insteel Industries Inc. (a)		347,871
	11,400	Texas Industries Inc. (a)		656,640

		Total Construction Materials		1,004,511

Containers & Packaging — 1.2%

	63,900	Crown Holdings Inc.*		1,591,749
	304,800	Intertape Polymer Group Inc.*		798,576
	25,900	Silgan Holdings Inc.		1,210,566

		Total Containers & Packaging		3,600,891

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Shares		Security	Value


Containers & Packaging — 1.2% — (continued)

Metals & Mining — 2.8%

	24,000	Agnico-Eagle Mines Ltd.*	$	1,651,200
	12,700	Cleveland Cliffs Inc. (a)		1,517,142
	48,500	Commercial Metals Co.		1,477,310
	163,900	IAMGOLD Corp.		1,325,951
	10,900	Kaiser Aluminum Corp.		799,515
	44,400	Royal Gold Inc. (a)		1,399,044

		Total Metals & Mining		8,170,162

		TOTAL MATERIALS		24,364,081

TELECOMMUNICATION SERVICES — 2.0%

Diversified Telecommunication Services — 2.0%

	28,700	FairPoint Communications Inc.		282,408
	477,000	MasTec Inc.*		4,154,670
	52,000	Premiere Global Services Inc.*		734,760
	41,600	Syniverse Holdings Inc.*		705,120

		Total Diversified Telecommunication Services		5,876,958

		TOTAL TELECOMMUNICATION SERVICES		5,876,958

UTILITIES — 5.2%

Electric Utilities — 1.3%

	48,700	Cleco Corp.		1,115,717
	43,100	El Paso Electric Co.*		881,826
	21,700	Otter Tail Corp. (a)		704,165
	55,100	Westar Energy Inc.		1,252,423

		Total Electric Utilities		3,954,131

Gas Utilities — 2.8%

	45,900	Atmos Energy Corp.		1,193,400
	22,300	Energen Corp.		1,338,000
	32,700	National Fuel Gas Co.		1,538,535
	67,300	Southwest Gas Corp.		1,722,207
	52,800	UGI Corp.		1,352,208
	39,500	WGL Holdings Inc.		1,232,005

		Total Gas Utilities		8,376,355

Independent Power Producers & Energy Traders — 0.2%

	14,400	Black Hills Corp.		514,944

Multi-Utilities — 0.9%

	36,900	OGE Energy Corp.		1,198,143
	18,300	PNM Resources Inc.		216,672
	43,200	Vectren Corp.		1,113,264

		Total Multi-Utilities		2,528,079

		TOTAL UTILITIES		15,373,509

		TOTAL COMMON STOCKS (Cost — $271,867,082)		278,230,848

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $271,867,082)		278,230,848

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Small Capitalization Value Equity Investments

Face
Amount		Security	Value


SHORT-TERM INVESTMENTS (b) — 24.5%

COMMERCIAL PAPER — 1.5%

	4,515,000	Lehman Brothers Holding Inc., 3.151% due 3/3/08 (c) (Cost — $4,513,815)	$	4,513,815

MONEY MARKET FUND — 19.5%

	57,329,046	BBH Securities Lending Trust (d) (Cost — $57,329,046)		57,329,046

TIME DEPOSITS — 3.5%

$	6,233,131	Bank of America — London, 2.540% due 3/3/08		6,233,131
	1,944	BBH — Grand Cayman, 2.540% due 3/3/08		1,944
	4,199,041	Wells Fargo — Grand Cayman, 2.540% due 3/3/08		4,199,041

		TOTAL TIME DEPOSITS (Cost — $10,434,116)		10,434,116

		TOTAL SHORT-TERM INVESTMENTS (Cost — $72,276,977)		72,276,977

		TOTAL INVESTMENTS — 118.9% (Cost — $344,144,059#)		350,507,825
		Liabilities in Excess of Other Assets — (18.9%)		(55,647,100	)

		TOTAL NET ASSETS — 100.0%	$	294,860,725


*		Non-income producing securities.
(a)		All or a portion of this security is on loan (See Note 1).
(b)		Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of each portfolio holdings would be 5%.
(c)		Rate shown represents yield-to-maturity.
(d)		Represents investment of collateral received from securities lending transactions.
#		Aggregate cost for federal income tax purposes is substantially the same.

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Equity Investments

Shares		Security	Value

COMMON STOCKS — 93.7%
Australia — 0.3%

	117,400	Macquarie Group Ltd. (a)	$	5,745,400

Belgium — 0.3%

	54,400	Mobistar SA		4,635,623

Bermuda — 0.5%

	527,500	Jardine Strategic Holdings Ltd.		8,446,594

Brazil — 2.0%

	353,200	Cosan SA Industria e Comercio		6,063,069
	96,000	Petroleo Brasileiro SA (a)		11,264,640
	385,700	Redecard SA		5,956,580
	184,000	Tele Norte Leste Participacoes SA (a)		4,605,520
	436,800	Unibanco — Uniao de Bancos Brasileiros SA		5,941,445

		Total Brazil		33,831,254

Canada — 3.2%

	132,600	Agrium Inc. (a)		9,781,902
	94,000	Barrick Gold Corp.		4,883,300
	1,210,500	Bombardier Inc.*		6,956,328
	188,600	Cameco Corp.		7,421,180
	130,700	EnCana Corp.		10,009,616
	89,000	Niko Resources Ltd.		8,404,899
	386,700	Talisman Energy Inc. (a)		6,603,543

		Total Canada		54,060,768

China — 0.9%

	7,420,000	China Petroleum & Chemical Corp., Class H Shares		8,074,124
	3,290,000	Dongfeng Motor Group Co., Ltd.*		1,992,310
	6,929,700	Industrials & Commercial Bank of China*		4,797,649

		Total China		14,864,083

Denmark — 0.8%

	174,800	Danske Bank A/S (a)		6,694,673
	326,600	H. Lundbeck A/S		7,782,464

		Total Denmark		14,477,137

Finland — 0.2%

	86,767	Outokumpu Oyj		3,305,711

France — 10.2%

	46,318	Air France-KLM		1,246,207
	254,800	Alcatel SA		1,499,924
	120,000	Alcatel SA, ADR (a)		704,400
	554,730	AXA		18,707,246
	123,880	BNP Paribas		11,129,651
	70,300	Casino Guichard Perrachon SA		7,976,794
	83,000	Cie de Saint-Gobain		6,527,164
	317,100	France Telecom SA		10,656,540
	78,400	Groupe Danone		6,162,513
	38,344	Lafarge SA		6,628,763
	52,104	L’Oreal SA		6,174,714
	229,813	Sanofi-Aventis		17,037,809
	34,723	Schneider Electric SA		3,949,485
	60,100	Societe BIC SA		3,804,060
	188,100	Suez SA		11,947,158

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Equity Investments

Shares		Security	Value


France — 10.2% — (continued)

	88,700	Technip SA	$	7,212,109
	442,152	Total SA		33,391,955
	185,000	Valeo		6,992,990
	55,630	Veolia Environnement		4,952,060
	194,400	Vivendi Universal SA		7,677,278

		Total France		174,378,820

Germany — 11.2%

	63,152	Adidas AG		3,962,571
	62,100	Allianz AG		10,894,134
	84,007	BASF AG		10,640,918
	271,000	Bayerishe Motoren Werke AG		14,836,739
	235,700	Commerzbank AG		7,045,435
	81,300	Continental AG		7,926,945
	41,400	Deutsche Bank AG		4,602,315
	349,900	Deutsche Telekom AG		6,648,128
	38,000	E.ON AG		7,141,440
	211,600	Fresenius Medical Care AG & Co. KGaA		11,108,991
	202,000	Hannover Rueckversicherung AG		9,579,852
	178,500	Heidelberger Druckmaschinen AG (a)		4,238,238
	217,000	Henkel KGaA		9,603,110
	421,500	Infineon Technologies AG*		3,370,619
	110,000	Linde AG		14,584,106
	58,400	Merck KGAA		7,251,599
	100,200	MTU Aero Engines Holding AG		5,076,378
	283,876	Rhoen-Klinikum AG		8,123,716
	57,400	RWE AG		6,924,500
	214,300	SAP AG		10,205,503
	149,350	Siemens AG		19,066,085
	270,900	Symrise AG*		7,282,363

		Total Germany		190,113,685

Greece — 1.0%

	214,686	EFG Eurobank Ergasias SA		6,181,159
	246,700	Public Power Corp.		10,510,835

		Total Greece		16,691,994

Hong Kong — 4.0%

	1,045,000	Cheung Kong Holdings, Ltd.		15,620,510
	1,820,000	China Resources Enterprise		6,441,823
	3,442,800	China Unicom Ltd.		7,373,963
	1,110,000	Denway Motors, Ltd.		573,463
	2,166,000	Hutchison Telecommunications International Ltd.*		2,887,974
	1,019,000	Hutchison Whampoa Ltd.		9,533,983
	268,800	Jardine Matheson Holdings Ltd.		7,443,259
	2,762,000	Shangri-La Asia Ltd.		8,209,781
	673,400	Swire Pacific Ltd.		7,702,783
	1,614,000	Techtronic Industries Co., Ltd.		1,570,655

		Total Hong Kong		67,358,194

India — 0.3%
	149,810	Infosys Technologies Ltd., ADR (a)		5,830,605

Ireland — 1.8%

	434,000	Allied Irish Banks PLC		8,857,673
	276,000	Anglo Irish Bank Corp. PLC		3,902,240
	16,700	Bank of Ireland		234,222
	498,900	Bank of Ireland (LN)		6,959,835
	283,900	CRH PLC		10,459,046

		Total Ireland		30,413,016

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Equity Investments

Shares		Security	Value


Israel — 1.7%

	766,239	Makhteshim-Agan Industries Ltd.*	$	6,404,268
	470,400	Teva Pharmaceutical Industries Ltd., ADR (a)		23,082,528

		Total Israel		29,486,796

Italy — 2.2%

	218,295	Eni SpA		7,548,090
	989,000	Intesa Sanpaolo SpA		6,625,447
	959,400	Mediaset SpA		8,622,380
	3,330,700	Telecom Italia		8,331,053
	824,700	UniCredito Italiano SpA		6,051,544

		Total Italy		37,178,514

Japan — 15.9%

	72,500	Asatsu-DK Inc.		2,330,347
	192,400	Astellas Pharma Inc.		8,412,398
	130,000	Canon Inc.		5,800,216
	700	Central Japan Railway Co.		6,643,357
	141,400	Daito Trust Construction Co., Ltd. (a)		7,624,776
	463,000	Ebara Corp. (a)		1,305,943
	188,400	Hitachi Construction Machinery Co., Ltd.		5,101,079
	284,600	Honda Motor Co., Ltd.		8,664,851
	128,000	Hoya Corp.		3,244,127
	181,300	JFE Holdings Inc.		8,038,300
	995	KDDI Corp.		6,110,152
	210,200	Konami Corp.		6,929,319
	490,000	Kuraray Co., Ltd.		5,812,557
	520,700	Mitsubishi Corp.		15,820,043
	588,000	Mitsubishi Gas Chemical Co., Inc.		4,341,186
	839	Mizuho Financial Group Inc. (a)		3,474,127
	2,107,000	Mizuho Investors Securities Co., Ltd. (a)		2,888,474
	92,400	Nidec Corp.		6,082,050
	2,775	Nippon Telegraph & Telephone Corp.		12,007,923
	998,400	Nipponkoa Insurance Co., Ltd.		8,052,509
	314,200	Nitto Denko Corp.		15,196,897
	304,000	Omron Corp (a)		6,746,518
	366,000	Onward Kashiyama Co., Ltd.		3,553,728
	61,400	ORIX Corp. (a)		9,095,044
	475,000	Ricoh Co., Ltd.		7,607,592
	141,500	Secom Co., Ltd.		7,089,263
	1,269,000	Sekisui Chemical Co., Ltd.		8,844,256
	266,600	Seven & I Holdings Co., Ltd.		6,600,378
	105,300	Shin-Etsu Chemical Co., Ltd.		5,672,781
	52,300	SMC Corp.		5,527,717
	391,400	Sony Corp.		18,237,067
	67,500	Square Enix Co., Ltd.		2,236,948
	309,300	Sumitomo Electric Industries Ltd.		4,568,503
	700	Sumitomo Mitsui Financial Group Inc.		5,020,125
	244,600	Sundrug Co., Ltd. (a)		6,160,270
	833,000	Tokyu Corp.		4,805,387
	1,446,000	Toray Industries Inc.		8,889,421
	180,300	Toyota Motor Corp.		9,781,354
	264,700	Ushio Inc		5,488,172

		Total Japan		269,805,155

Luxembourg — 0.5%

	108,300	ArcelorMittal		8,190,453

Malaysia — 0.2%

	1,983,700	Genting Bhd		4,200,740

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Equity Investments

Shares		Security	Value


Mexico — 0.6%

	2,381,500	America Movil SA de CV, Series L Shares	$	7,188,412
	692,300	Grupo Modelo SAB de CV		3,161,603

		Total Mexico		10,350,015

Netherlands — 5.7%

	971,760	Aegon NV		14,508,285
	112,800	Akzo Nobel NV		8,261,246
	201,800	European Aero Defense (a)		5,309,485
	374,000	ING Groep NV		12,458,844
	132,700	Koninklijke Philips Electronics NV		5,186,732
	578,120	Reed Elsevier NV		10,723,438
	91,500	Royal Dutch Shell PLC, Class A Shares, ADR		6,537,675
	211,300	SBM Offshore NV		6,805,651
	526,300	STMicroelectronics NV		6,322,789
	277,615	TNT NV		10,932,492
	309,900	Unilever NV, CVA		9,590,314

		Total Netherlands		96,636,951

Norway — 2.0%

	274,000	Norsk Hydro ASA		3,881,661
	236,285	StatoilHydro ASA		7,238,866
	1,081,197	Telenor ASA*		22,185,277

		Total Norway		33,305,804

Singapore — 0.6%

	1,960,000	Keppel Land Ltd.		8,157,116
	971,000	SembCorp Marine Ltd.		2,489,551

		Total Singapore		10,646,667

South Korea — 0.9%

	116,200	Daewoo Shipbuilding & Marine Engineering Co., Ltd. (b)		9,416,767
	258,700	Hynix Semiconductor Inc., GDR (b)*		6,596,850

		Total South Korea		16,013,617

Spain — 1.2%

	646,000	Banco Santander Central Hispano SA		11,548,334
	301,300	Telefonica SA		8,722,879

		Total Spain		20,271,213

Sweden — 1.0%

	291,900	Assa Abloy AB		5,193,795
	383,400	Nordea Bank AB		5,750,109
	25,000	Nordea Bank AB-Denmark		373,124
	3,104,000	Telefonaktiebolaget LM Ericsson, Class B Shares		6,669,105

		Total Sweden		17,986,133

Switzerland — 4.9%

	87,100	Lonza Group, Registered Shares (a)		11,462,914
	47,000	Nestle SA		22,416,976
	210,900	Novartis AG (a)		10,344,233
	137,400	Novartis AG, ADR (a)		6,753,210
	70,965	Roche Holding AG		13,908,225
	30,900	Syngenta AG		8,843,006
	32,700	Zurich Financial Services AG		10,227,412

		Total Switzerland		83,955,976

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Equity Investments

Shares		Security	Value


Taiwan — 1.2%

	751,536	Advanced Semiconductor Engineering Inc., ADR (a)	$	3,472,096
	974,917	Novatek Microelectronics		3,455,853
	137,778	Silicon Motion Technology Corp., ADR*		2,048,759
	480,050	Siliconware Precision Industries, ADR (a)		3,926,809
	510,900	Taiwan Semiconductor Manufacturing Co., Ltd., ADR		4,976,166
	736,752	United Microelectronics Corp. (a)		2,357,606

		Total Taiwan		20,237,289

Thailand — 0.6%

	2,344,000	Bangkok Bank Public Co. Ltd., NVDR		9,759,553

United Kingdom — 17.8%

	551,054	Admiral Group PLC		11,004,666
	239,100	Amdocs Ltd.*		7,412,100
	129,163	AstraZeneca PLC		4,844,224
	657,700	Aviva PLC		7,914,738
	996,733	Barclays PLC		9,361,243
	192,200	BG Group PLC		4,525,139
	1,492,300	BP PLC		16,136,576
	1,116,733	Brit Insurance Holdings PLC		5,112,151
	915,900	British Sky Broadcasting Group PLC		10,264,603
	1,397,535	BT Group PLC		6,239,164
	180,100	Bunzl PLC		2,472,078
	880,300	Cadbury Schweppes PLC		9,773,500
	683,000	Cattles PLC		3,139,519
	359,850	Diageo PLC		7,343,531
	816,625	GlaxoSmithKline PLC		17,893,196
	210,495	HSBC Holdings PLC		3,204,551
	1,229,228	International Power PLC		9,223,615
	884,100	Johnston Press PLC		3,373,349
	753,900	Marks & Spencer Group PLC		6,001,674
	1,085,000	Michael Page International PLC		5,991,106
	480,900	Persimmon PLC		6,958,747
	827,300	Prudential PLC		9,886,541
	105,100	Reckitt Benckiser Group PLC		5,682,897
	1,900,600	Rexam PLC		16,493,715
	97,200	Rio Tinto PLC		10,884,945
	1,125,600	Rolls-Royce Group PLC*		9,628,678
	1,558,700	Royal Bank of Scotland Group PLC		11,740,897
	248,300	Royal Dutch Shell PLC		8,884,229
	162,474	Sabmiller PLC		3,367,083
	1,309,206	Sage Group PLC		5,095,735
	7,013,981	Signet Group PLC		8,424,961
	30	Smiths Group PLC		588
	1,010,600	Taylor Wimpey PLC		3,406,581
	1,100,550	Tesco PLC		8,674,810
	314,891	Travis Perkins PLC		6,706,983
	5,414,931	Vodafone Group PLC		17,367,821
	1,623,094	William Morrison Supermarkets PLC		9,482,397
	700,500	WPP Group PLC		8,224,404

		Total United Kingdom		302,142,735

		TOTAL COMMON STOCKS (Cost — $1,500,219,187)		1,594,320,495

WARRANTS — 1.2%
Ireland — 0.5%

	303,900	Bharti Airtel Ltd., expires 8/1/10 (b)*		7,537,085

Luxembourg — 0.4%

	715,500	Shriram Transport Finance Co., Ltd., expires 1/18/13 (b)*		7,100,693

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Equity Investments

Shares			Security	Value


United States — 0.3%
	1,008,300		JP Morgan International Derivatives Ltd., expires 8/4/08*	$	5,215,230

			TOTAL WARRANTS (Cost — $18,987,635)		19,853,008

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,519,206,822)		1,614,173,503

Face
Amount †

SHORT-TERM INVESTMENTS (c) — 10.5%
MONEY MARKET FUND — 7.5%
	128,590,225		BBH Securities Lending Trust (d) (Cost — $128,590,225)		128,590,225

TIME DEPOSITS — 3.0%
	216,620	^GBP	Bank of America — London, 4.507% due 3/3/08		430,164
			BBH — Grand Cayman:
	1,846,171	^JPY	0.010% due 3/3/08		17,714
	1,306	^HKD	1.100% due 3/3/08		168
	227,356	^CHF	1.534% due 3/3/08		217,815
	4,633,756	^EUR	3.231% due 3/3/08		7,035,663
	23,301	^SEK	3.488% due 3/3/08		3,771
			Wachovia — London:
	157,727	^EUR	3.231% due 3/3/08		239,488
	76,618	^GBP	4.507% due 3/3/08		152,148
	42,269,556		Wells Fargo — Grand Cayman, 2.540% due 3/3/08		42,269,556

			TOTAL TIME DEPOSITS (Cost — $50,366,487)		50,366,487

			TOTAL SHORT-TERM INVESTMENTS (Cost — $178,956,712)		178,956,712

			TOTAL INVESTMENTS — 105.4% (Cost — $1,698,163,534#)		1,793,130,215
			Liabilities in Excess of Other Assets — (5.4%)		(91,660,551	)

			TOTAL NET ASSETS — 100.0%	$	1,701,469,664


†		Face amount denominated in U.S. dollars, unless otherwise noted.
*		Non-income producing securities.
(a)		All or a portion of this security is on loan (See Note 1).
(b)		Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security maybe resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.
(c)		Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of each portfolio holdings would be 3%.
(d)		Represents investment of collateral received from securities lending transactions.
#		Aggregate cost for federal income tax purposes is substantially the same.

Abbreviations used in this schedule:


ADR	—	American Depositary Receipt
NVDR	—	Non-Voting Depositary Receipt

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value

COMMON STOCKS — 93.9%

Argentina — 0.2%

	26,043	Banco Patagonia SA*	$	522,856
	38,046	Grupo Clarin SA Class B, GDR (a)*		528,839

		Total Argentina		1,051,695

Bermuda — 0.7%

	56,874	Credicorp Ltd.		4,227,444
	31,877	Dufry South America Ltd.*		718,560

		Total Bermuda		4,946,004

Brazil — 15.0%

	61,656	Acucar Guarani SA*		428,485
	48,367	Agra Empreendimentos Imobiliarios SA*		313,148
	124,382	Agrenco Ltd.*		443,285
	93,101	Amil Participacoes SA*		774,206
	47,918	Anhanguera Educacional Participacoes SA*		788,411
	23,511	Banco Bradesco SA, ADR		738,010
	89,237	Banco Cruzeiro do Sul SA		671,577
	63,004	Banco Daycoval SA*		475,276
	181,337	Banco do Brasil SA		3,044,992
	105,263	Banco do Estado do Rio Grande do Sul		622,118
	89,745	Banco Industrial e Commercial SA*		517,611
	97,183	Banco Sofisa SA		652,293
	126,243	Bolsa de Mercadorias e Futuros — BM&F		1,352,001
	28,393	Brasil Telecom Participacoes SA, ADR		1,961,956
	32,837	Cia Siderurgica Nacional SA, ADR (b)		1,227,775
	269,415	Cia Vale do Rio Doce		9,387,238
	416,477	Cia Vale do Rio Doce, ADR		14,510,059
	79,159	Construtora Tenda SA*		540,720
	49,630	Cyrela Brazil Realty SA		795,943
	46,645	Equatorial Energia SA		516,723
	54,200	Estacio Participacoes SA*		331,597
	109,632	Ez Tec Empreendimentos e Participacoes SA*		446,069
	27,311	Fertilizantes Heringer SA		347,968
	116,966	General Shopping Brasil SA*		1,006,010
	48,136	Gerdau SA, ADR (b)		1,577,417
	127,321	Inpar SA*		975,582
	53,080	Klabin Segall SA*		343,662
	6,047	Kroton Educacional SA*		91,591
	83,846	Log-in Logistica Intermodal SA*		542,854
	36,149	Lojas Americanas SA		330,667
	141,096	Lojas Renner SA		2,813,455
	39,012	LPS Brasil Consultoria de Imoveis SA*		729,933
	39,208	Medial Saude SA*		482,080
	5,098	MMX Mineracao e Metalicos SA*		2,725,313
	3,500	MPX Energia SA*		2,116,361
	49,900	Multiplan Empreendimentos Imobiliarios SA*		604,354
	3,676	Odontoprev SA		98,235
	260,331	PDG Realty SA Empreendimentos e Participacoes*		3,827,146
	64,256	Petroleo Brasileiro SA (b)		7,539,799
	302,770	Petroleo Brasileiro SA, Sponsored ADR		29,650,266
	116,009	Rossi Residencial SA		2,677,051
	80,715	Tecnisa SA*		433,887
	12,255	Tele Norte Leste Participacoes SA		465,145
	35,674	Tempo Participacoes SA*		139,852
	46,700	Tractebel Energia SA		578,358
	239,353	Unibanco — Uniao de Bancos Brasileiros SA		3,255,730

		Total Brazil		103,892,209

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value


Chile — 0.4%

	400,068	Centros Comerciales Sudamericanos SA	$	1,644,959
	262,792	SACI Falabella		1,363,652

		Total Chile		3,008,611

China — 8.0%

	269,200	Angang Steel Co., Ltd.		705,454
	5,152	Baidu.com Inc., ADR (b)*		1,294,852
	520,000	China Coal Energy Co., Class H Shares*		1,145,589
	837,500	China Communications Construction Co., Ltd., Class H Shares*		2,137,219
	6,238,000	China Construction Bank Corp., Class H Shares		4,721,844
	491,500	China COSCO Holdings Co., Ltd.		1,423,207
	1,367,000	China Life Insurance Co., Ltd.		5,335,487
	297,500	China Merchants Bank Co., Ltd., Class H Shares		1,018,154
	2,525,000	China Molybdenum Co., Ltd., Class H Shares*		3,528,127
	532,000	China National Materials Co., Ltd.*		538,701
	2,596,000	China Petroleum & Chemical Corp., Class H Shares		2,824,855
	590,000	China Railway Group Ltd.*		690,098
	784,570	China Shenhua Energy Co., Ltd., Class H Shares		4,000,012
	199	China Shipping Container Lines Co., Ltd., Class H Shares		88
	546,000	China Shipping Development Co., Ltd., Class H Shares		1,685,082
	862,000	China Telecom Corp., Ltd.		642,689
	876,000	Country Garden Holdings Co., Ltd.*		808,124
	312,400	Guangzhou R&F Properties Co., Ltd., Class H Shares		940,778
	406,000	Harbin Power Equipment Co., Ltd., Class H Shares		899,801
	760,000	Honghua Group Ltd.*		377,863
	5,507,000	Industrials & Commercial Bank of China*		3,812,669
	225,000	Jiangxi Copper Co., Ltd., Class H Shares		523,839
	7,700	New Oriental Education & Technology Group Inc., ADR*		480,095
	4,351,400	PetroChina Co., Ltd., Class H shares		6,381,113
	255,500	Ping An Insurance Group Co. of China Ltd.		1,921,294
	872,000	Sinopec Shanghai Petrochemical Co., Ltd.		411,213
	401,600	Tencent Holdings Ltd.		2,487,127
	332,000	Xinao Gas Holdings Ltd.		611,755
	453,960	Yangzijiang Shipbuilding Holdings Ltd.*		339,594
	1,156,719	Yanzhou Coal Mining Co., Ltd.		1,909,032
	46,800	Yingli Green Energy Holding Co., Ltd., ADR (b)*		789,516
	612,500	Zijin Mining Group Co., Ltd., Class H Shares		804,577

		Total China		55,189,848

Colombia — 0.1%

	17,800	BanColombia SA, ADR (a)		600,750

Egypt — 0.8%

	150,389	Egyptian Financial Group-Hermes Holding		1,746,972
	24,746	El Sewedy Cables Holding Co.*		699,609
	45,379	Orascom Hotels & Development*		733,645
	57,438	Orascom Telecom Holding SAE		864,373
	10,200	Orascom Telecom Holding SAE, GDR (a)		745,620
	179,742	Telecom Egypt		747,766

		Total Egypt		5,537,985

Hong Kong — 6.4%

	1,175,000	Agile Property Holdings Ltd.		1,628,987
	110,000	Beijing Enterprises Holdings Ltd.		452,320
	220,000	China Everbright Ltd.*		503,136
	377,000	China Mengniu Dairy Co., Ltd.		1,014,767
	926,000	China Mobile Ltd.		13,932,894
	92,853	China Mobile Ltd., ADR		6,928,691
	1,631,800	China Overseas Land & Investment Ltd.		3,164,763
	120,000	China Resources Enterprise		424,736

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value


Hong Kong — 6.4% — (continued)

	404,000	China Resources Power Holdings Co.	$	1,006,259
	4,501,000	CNOOC Ltd.		7,521,804
	255,000	Nine Dragons Paper Holdings Ltd.		448,617
	79,900	Parkson Retail Group Ltd.		826,649
	746,000	Shimao Property Holdings Ltd.		1,475,273
	287,000	Sun Hung Kai Properties Ltd.		5,007,389

		Total Hong Kong		44,336,285

Hungary — 0.8%

	113,046	Magyar Telekom Telecommunications PLC		548,236
	12,551	MOL Hungarian Oil and Gas Nyrt		1,716,432
	59,806	OTP Bank Nyrt		2,420,709
	2,337	Richter Gedeon Nyrt		506,748

		Total Hungary		5,192,125

India — 5.0%

	131,902	ICICI Bank Ltd., ADR (b)		6,837,800
	45,708	Infosys Technologies Ltd., ADR (b)		1,778,955
	39,173	Larsen & Toubro Ltd., ADR (a)		3,447,157
	108,227	Ranbaxy Laboratories Ltd., GDR (a)		1,205,605
	224,390	Reliance Communications Ltd., GDR (a)*		3,222,712
	8,177	Reliance Energy Ltd., GDR		979,506
	33,190	Reliance Industries Ltd., GDR, London Shares (a)		4,023,761
	45,922	Reliance Industries Ltd., GDR, Luxembourg Shares		5,601,566
	92,578	Satyam Computer Services Ltd., ADR (b)		2,312,598
	162,511	Sterlite Industries India Ltd.*		3,388,354
	117,141	Tata Motors Ltd., ADR (b)		2,052,310

		Total India		34,850,324

Indonesia — 2.3%

	827,083	Astra Agro Lestari Tbk PT		2,822,752
	337,000	International Nickel Indonesia Tbk PT		343,923
	117,000	Perusahaan Gas Negara PT		174,494
	3,949,500	PT Aneka Tambang Tbk		1,728,803
	420,675	PT Astra International Tbk		1,263,609
	1,531,500	PT Bank Central Asia Tbk		592,376
	1,448,500	PT Bank Mandiri Persero Tbk		508,848
	1,037,000	PT Bank Rakyat Indonesia		806,168
	2,748,500	PT Berlian Laju Tanker Tbk		722,351
	1,405,000	PT Berlian Laju Tanker Tbk, Singapore Shares*		351,493
	3,573,000	PT Bumi Resources Tbk		2,951,376
	2,007,496	PT Telekomunikasi Indonesia Tbk		2,132,093
	537,500	PT United Tractors Tbk		770,448
	348,000	Tambang Batubara Bukit Asam Tbk PT		429,869

		Total Indonesia		15,598,603

Ireland — 0.1%

	107,224	Dragon Oil PLC*		961,669

Israel — 1.0%

	64,033	Bank Hapoalim BM		276,378
	72,889	Bank Leumi Le-Israel BM		337,493
	9,989	Elbit Systems Ltd.		566,332
	100,152	Israel Chemicals Ltd.		1,381,805
	107,215	Makhteshim-Agan Industries Ltd.*		896,109
	29,041	Ormat Industries Ltd.		380,363
	56,762	Teva Pharmaceutical Industries Ltd., ADR (b)		2,785,311

		Total Israel		6,623,791

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value


Luxembourg — 0.6%

	97,083	Tenaris SA, ADR (b)	$	4,315,339

Malaysia — 0.8%

	185,800	Bumiputra-Commerce Holdings Bhd		603,759
	19,000	Digi.Com Bhd		141,383
	101,700	Genting Bhd		215,363
	74,200	IJM Corp Bhd		166,842
	207,750	IOI Corp Bhd		517,763
	33,400	Kuala Lumpur Kepong Bhd		191,898
	65,000	Malayan Banking Bhd		183,782
	88,290	Resorts World Bhd		102,262
	715,843	Sime Darby Berhad*		2,599,399
	109,200	SP Setia Bhd		168,171
	58,600	Telekom Malaysia Bhd		207,142
	116,300	UEM World Bhd (c)		125,412

		Total Malaysia		5,223,176

Mauritius — 0.2%

	2,060,074	Golden Agri-Resources Ltd.		1,622,831

Mexico — 5.1%

	404,100	America Movil SA de CV, Series L Shares		1,219,751
	222,278	America Movil SAB de CV (b)		13,438,928
	29,759	Cemex SAB de CV, ADR (b)*		819,860
	688,996	Corporacion GEO SA de CV*		2,196,587
	14,400	Desarrolladora Homex SA de CV, ADR (b)*		857,232
	19,000	Empresas ICA SAB de CV*		452,960
	135,219	Financiera Independencia SAB de CV*		214,285
	58,774	Fomento Economico Mexicano SAB de CV, ADR		2,350,960
	15,450	Grupo Aeroportuario del Pacifico SA de CV, ADR		710,236
	53,130	Grupo FAMSA SAB de CV, Series A*		165,917
	888,125	Grupo Financiero Banorte SA de CV, Series O Shares		3,684,170
	640,521	Grupo Mexico SAB de CV, Series B Shares		4,448,311
	452,035	Grupo Televisa SA		1,994,830
	82,900	Megacable Holdings SAB de CV*		232,995
	142,100	Mexichem SAB de CV		740,477
	281,475	Urbi Desarrollos Urbanos SA de CV*		983,958
	62,597	Wal-Mart de Mexico SA de CV		227,808
	14,444	Wal-Mart de Mexico SA de CV, Series V Shares, ADR (b)		526,104

		Total Mexico		35,265,369

Nigeria — 0.1%

	44,235	Guaranty Trust Bank, GDR (a)*		689,845

Pakistan — 1.1%

	552,500	Bank Alfalah Ltd.		543,776
	123,625	Engro Chemical Pakistan Ltd.		629,212
	217,055	MCB Bank Ltd.		1,501,646
	203,826	National Bank of Pakistan		861,192
	249,000	Nishat Mills Ltd.		460,015
	492,800	Oil & Gas Development Co., Ltd.		1,011,494
	118,000	Pakistan Petroleum Ltd.		500,221
	131,000	Pakistan State Oil Co., Ltd.		1,033,579
	1,065,500	Pakistan Telecommunication Co., Ltd.		716,163

		Total Pakistan		7,257,298

Peru — 0.4%

	39,600	Cia de Minas Buenaventura SA, ADR		3,010,788

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value


Philippines — 0.4%

	9,448	Ayala Corp.	$	99,921
	1,493,500	Ayala Land Inc.		426,456
	1,823,000	Filinvest Land Inc.*		46,856
	3,456,000	Megaworld Corp.		206,394
	24,081	Philippine Long Distance Telephone Co., ADR (b)		1,708,547

		Total Philippines		2,488,174

Poland — 1.1%

	27,427	Bank Pekao SA		2,065,438
	68,989	KGHM Polska Miedz SA		3,242,419
	115,693	Powszechna Kasa Oszczednosci Bank Polski SA		2,081,834

		Total Poland		7,389,691

Russia — 12.2%

	35,698	Chelyabinsk Pipe Works*		141,007
	39,753	Comstar United Telesystems, GDR (a)*		391,932
	378,454	Fifth Power Generation Co.		61,688
	35,350	Gazpromneft OAO		1,095,850
	8,350	Integra Group Holdings, GDR (a)*		111,833
	28,738	LSR Group OJSC, GDR (a)*		416,701
	1,691	LUKOIL, ADR,		124,694
	63,478	LUKOIL, ADR, London Shares		4,710,068
	2,844	Magnit OAO*		143,967
	11,567	Mechel, ADR		1,527,422
	289,953	MMC Norilsk Nickel, ADR		8,223,067
	71,170	Mobile Telesystems OJSC, ADR		5,840,210
	39,311	Novolipetsk Steel, GDR (a)		1,790,129
	342,716	OAO Gazprom ADR (a)		17,320,224
	360,684	OAO Gazprom, ADR, London Shares		18,322,747
	10,700	OAO NovaTek, ADR		813,200
	2,900	OAO NovaTek, GDR (a)		220,010
	61,920	OAO TMK, GDR		2,125,743
	810	OAO Veropharm*		45,360
	466	Open Investments*		117,530
	21,200	Pharmstandard, GDR (a)*		369,845
	13,600	Raspadskaya OAO		101,184
	48,209	Rosneft Oil Co.		393,769
	2,785,137	Sberbank RF		9,247,936
	59,967	Severstal		1,520,909
	4,538	Severstal-Avto		270,238
	16,950	Sistema JSFC, GDR (a)*		607,574
	13,157	Sistema-Hals, GDR (a)*		101,572
	8,650	Tatneft, GDR (a)		1,078,977
	1,150,004	Unified Energy System*		1,323,272
	18,926	Uralkali, GDR*		756,774
	141,051	Vimpel-Communications, ADR		4,898,701
	2,505	Wimm-Bill-Dann Foods OJSC		203,155
	965	Wimm-Bill-Dann Foods OJSC, ADR		101,576

		Total Russia		84,518,864

Singapore — 0.2%

	400,000	Cosco Corp., Singapore Ltd.		1,171,026

South Africa — 5.3%

	6,840	African Bank Investments Ltd.		27,253
	17,356	African Rainbow Minerals Ltd.		455,112
	7,978	Anglo Platinum Ltd.		1,264,611
	226,646	Aveng Ltd.		1,800,138
	1	Discovery Holdings Ltd.		4
	152,570	Exxaro Resources Ltd.		1,988,787

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value


South Africa — 5.3% — (continued)

	367,308	FirstRand Ltd.	$	879,512
	117,877	Grindrod Ltd.*		365,463
	173,129	Impala Platinum Holdings Ltd.		7,276,930
	32,355	Kumba Iron Ore Ltd.		1,396,924
	169,451	Metropolitan Holdings Ltd.		311,985
	52,307	Mittal Steel South Africa Ltd.		1,261,141
	376,269	MTN Group Ltd.		5,974,375
	312,364	Murray & Roberts Holdings Ltd.		3,931,766
	76,653	Pretoria Portland Cement Co., Ltd.		421,142
	305,758	Sanlam Ltd.		736,810
	114,861	Sasol Ltd.		5,961,824
	129,655	Shoprite Holdings Ltd.		679,541
	126,805	Standard Bank Group Ltd.		1,609,915
	502	Telkom South Africa Ltd.		9,136
	103,372	Truworths International Ltd.		353,226

		Total South Africa		36,705,595

South Korea — 14.0%

	957	CJ CheilJedang Corp.*		269,643
	17,983	Daelim Industrials Co.		2,797,730
	839	DC Chemical Co., Ltd.		299,143
	23,840	Dongbu Insurance Co., Ltd.		945,483
	22,629	GS Engineering & Construction Corp.		3,460,285
	82,864	Hana Financial Group Inc.		3,678,766
	7,086	Hanjin Heavy Industries & Construction Co., Ltd.*		433,405
	2,200	Hanjin Heavy Industries & Construction Holdings Co., Ltd.*		77,569
	9,471	Hyundai Department Store Co., Ltd.		886,513
	54,092	Hyundai Development Co.		3,840,513
	3,618	Hyundai Heavy Industries		1,432,062
	8,145	Hyundai Mipo Dockyard Co., Ltd.		2,288,709
	10,962	Hyundai Mobis		842,899
	18,062	Hyundai Motor Co.		1,265,463
	12,046	Hyundai Steel Co.		933,771
	34,850	Industrials Bank of Korea		562,215
	132,194	Kookmin Bank		8,166,766
	32,522	Kookmin Bank, ADR		1,991,322
	209,226	Korea Exchange Bank		2,924,333
	18,431	Korea Investment Holdings Co., Ltd.		1,000,188
	7,911	Korea Kumho Petrochemical, Co., Ltd.		433,381
	1,316	Korea Zinc Co., Ltd.		198,325
	6,256	Korean Air Lines Co., Ltd.		470,374
	32,656	KT&G Corp.		2,697,690
	15,765	LG Chem Ltd.		1,316,477
	25,716	LG Electronics Inc.		2,762,088
	7,860	LG Fashion Corp.		208,573
	1,671	LG Household & Health Care Ltd.		304,734
	10,301	LS Cable Ltd.		972,940
	16,289	Namhae Chemical		428,100
	14,494	NHN Corp.*		3,220,189
	12,338	POSCO		6,771,871
	43,700	Pusan Bank		578,775
	32,665	Samsung Electronics Co., Ltd.		19,175,406
	3,348	Samsung Electronics Co., Ltd., Registered Shares, GDR		977,232
	5,320	Samsung Engineering Co., Ltd.		555,466
	8,756	Samsung Fire & Marine Insurance Co., Ltd.		1,729,605
	11,170	Samsung Heavy Industries Co., Ltd.		371,412
	13,674	Samsung Techwin Co., Ltd.		698,989
	96,594	Shinhan Financial Group Co., Ltd.		5,207,646
	5,048	Shinsegae Co., Ltd.		3,138,371
	6,081	SK Corp.		1,080,086

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value


South Korea — 14.0% — (continued)

	12,502	SK Energy Co., Ltd.*	$	1,699,596
	5,789	SK Telecom Co., Ltd.		1,174,898
	3,388	STX Engine Co., Ltd.		174,825
	146,432	Woori Finance Holdings Co., Ltd.		2,626,295

		Total South Korea		97,070,122

Sri Lanka — 0.1%

	4,878,280	Dialog Telekom Ltd. (d)		814,177

Taiwan — 7.0%

	85,260	Acer Inc.		155,599
	430,000	Advanced Semiconductor Engineering Inc.		397,270
	367,200	Asia Cement Corp.		610,204
	201,910	Asustek Computer Inc.		555,359
	1,466,933	AU Optronics Corp.		2,818,408
	1,735,790	Cathay Financial Holding Co., Ltd.		4,419,255
	13,349	Cathay Financial Holding Co., Ltd., GDR		340,982
	552,000	China Airlines		301,028
	2,380,122	China Steel Corp.		3,560,037
	440,160	Chunghwa Telecom Co., Ltd.		1,088,917
	386,000	Compal Electronics Inc.		347,590
	183,691	Delta Electronics Inc.		517,717
	137,000	Far Eastern Department Stores Co., Ltd.		252,682
	489,556	Far Eastern Textile Co., Ltd.		804,519
	684,938	First Financial Holding Co., Ltd.		620,338
	296,513	Formosa Chemicals & Fibre Corp.		729,085
	168,000	Formosa Petrochemical Corp.		466,602
	375,000	Formosa Plastics Corp.		1,016,599
	286,000	Formosa Taffeta Co., Ltd.		285,869
	623,000	Fubon Financial Holding Co., Ltd.		688,294
	4,341,728	Fuhwa Financial Holding Co., Ltd.*		3,870,601
	45,880	High Tech Computer Corp.		954,165
	1,599,995	HON HAI Precision Industry Co., Ltd.		9,516,488
	86,603	HON HAI Precision Industry Co., Ltd., Registered Shares, GDR		1,027,058
	359,000	Hua Nan Financial Holdings Co., Ltd.		284,299
	169,493	InnoLux Display Corp.		469,558
	354,472	MediaTek Inc.		4,040,766
	691	Pacific Electric Wire & Cable Co., Ltd. (c)(d)*		0
	108,285	Powertech Technology Inc.		364,153
	18,400	Richtek Technology Corp.		162,780
	459,624	Siliconware Precision Industries Co.		747,422
	57,000	Silitech Technology Corp.		175,720
	324,000	Taiwan Cooperative Bank		269,949
	75,000	Taiwan Fertilizer Co., Ltd.		299,200
	310,098	Taiwan Mobile Co., Ltd. (c)		518,585
	1,420,857	Taiwan Semiconductor Manufacturing Co., Ltd.		2,777,799
	157,681	Taiwan Semiconductor Manufacturing Co., Ltd., ADR		1,535,813
	154,092	Tripod Technology Corp.		529,392
	102,000	U-Ming Marine Transport Corp.		272,394
	30	United Microelectronics Corp.		18
	309,826	Wistron Corp.		504,382

		Total Taiwan		48,296,896

Thailand — 1.9%

	63,550	Advanced Info Service Public Co., Ltd.		216,800
	67,000	Bangkok Bank Public Co., Ltd.		284,228
	219,100	Bangkok Bank Public Co., Ltd., NVDR		912,252
	142,267	Banpu PCL		2,175,752
	108,500	Banpu Public Co., Ltd.		1,658,017
	73,700	Electricity Generating PCL		229,268

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares		Security	Value


Thailand — 1.9% — (continued)

	379,800	Kasikornbank Public Co. Ltd., NVDR	$	1,067,472
	1,981,300	Krung Thai Bank Public Co. Ltd.		666,306
	542,700	Land and Houses PCL		145,278
	462,259	Minor International PCL		248,133
	520,464	PTT Aromatics & Refining PCL*		711,062
	213,209	PTT Chemical Public Co., Ltd.		813,538
	173,600	PTT Public Co., Ltd.		1,914,231
	20,900	Siam Cement Public Co. Ltd., NVDR		145,043
	182,200	Thai Oil Public Co., Ltd.		465,442
	19,600	Thoresen Thai Agencies PCL		30,422
	385,000	Thoresen Thai Agencies PCL NVDR		590,706
	236,600	Total Access Communication PCL*		334,331
	4,031,400	True Corp. Public Co. Ltd.*		733,278

		Total Thailand		13,341,559

Turkey — 2.0%

	255,457	Akbank TAS		1,377,261
	367	Aktas Electric Ticaret AS (c)(d)*		0
	71,705	Anadolu Efes Biracilik Ve Malt Sanayii AS		806,165
	90,101	Asya Katilim Bankasi AS*		846,730
	2,856	BIM Birlesik Magazalar AS		250,808
	41,225	Enka Insaat ve Sanayi AS		629,732
	127,504	Eregli Demir Ve Celik Fabrikalari TAS		905,798
	29,317	Ford Otomotiv Sanayi AS		278,871
	85,521	Haci Omer Sabanci Holding AS		390,543
	73,829	KOC Holding AS		279,212
	102,748	Tofas Turk Otomobil Fabrikasi AS		478,763
	29,151	Tupras — Turkiye Petrol Rafinerileri AS		745,085
	181,092	Turkcell Iletisim Hizmet AS		1,838,319
	321,304	Turkiye Garanti Bankasi AS		1,930,142
	248,838	Turkiye Halk Bankasi AS*		1,599,389
	222,471	Turkiye Is Bankasi, Class C Shares		1,034,323
	202,966	Yapi ve Kredi Bankasi AS		457,061

		Total Turkey		13,848,202

United Arab Emirates — 0.1%

	549,422	DP World Ltd.*		494,480

United States — 0.5%

	13,400	BMB Munai Inc.*		69,814
	32,405	Sohu.com Inc.*		1,460,817
	16,632	Southern Copper Corp. (b)		1,897,878

		Total United States		3,428,509

		TOTAL COMMON STOCKS (Cost — $475,714,267)		648,741,840

PREFERRED STOCKS — 2.0%

Brazil — 1.7%

	206,463	Banco Itau Holding Financeira SA, 2.340%		5,224,272
	53,848	Banco Pine SA, 0.860%		415,163
	6,480	Bradespar SA, 2.330%		169,356
	22,960,000	Eletropaulo Metropolitana de Sao Paulo SA, Class B Shares, 9.640%		1,882,160
	11,942	Itausa - Investimentos Itau SA, 3.380%		76,254
	27,400	Petroleo Brasileiro SA, 5.250%		1,325,610
	9,600	Ultrapar Participacoes SA, 3.000%		360,381
	43,662	Usinas Siderurgicas de Minas Gerais SA, Class A Shares, 4.280%		2,541,579

		Total Brazil		11,994,775

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Emerging Markets Equity Investments

Shares			Security	Value


South Korea — 0.3%

	6,570		Hyundai Motor Co., 3.090%	$	188,824
	1,780		LG Electronics Inc., 1.880%		87,516
	3,612		Samsung Electronics Co., Ltd., 1.310%		1,550,209

			Total South Korea		1,826,549

			TOTAL PREFERRED STOCKS (Cost — $7,517,509)		13,821,324

RIGHTS — 0.5%

Brazil — 0.0%

	7		NET Servicos de Comunicacao SA*		0

Egypt — 0.4%

	20,817		Orascom Construction Industries		2,504,528

Russia — 0.1%

	11,806		Evraz Group SA, GDR (a)		1,106,073

			TOTAL RIGHTS (Cost — $929,924)		3,610,601

WARRANT — 0.1%

United Kingdom — 0.1%

	66,700		UBS AG London, expires 2/22/10 (Cost — $566,079)		469,435

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $484,727,779)		666,643,200

Face
Amount †

SHORT-TERM INVESTMENTS (e) — 5.5%

MONEY MARKET FUND — 4.2%

	29,031,952		BBH Securities Lending Trust (f) (Cost — $29,031,952)		29,031,952

TIME DEPOSITS — 1.3%

			Bank of America — London:
	8,613,454		2.540% due 3/3/08		8,613,454
	88,716	^GBP	4.507% due 3/3/08		176,171
			BBH — Grand Cayman:
	228,084	^HKD	1.100% due 3/3/08		29,312
	3,038,959	^ZAR	9.550% due 3/3/08		392,565

			TOTAL TIME DEPOSITS (Cost — $9,211,502)		9,211,502

			TOTAL SHORT-TERM INVESTMENTS (Cost — $38,243,454)		38,243,454

			TOTAL INVESTMENTS — 102.0% (Cost — $522,971,233#)		704,886,654
			Liabilities in Excess of Other Assets — (2.0%)		(13,876,430	)

			TOTAL NET ASSETS — 100.0%	$	691,010,224


†		Face amount denominated in U.S. dollars, unless otherwise noted.
*		Non-income producing securities.
(a)		Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security maybe resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.
(b)		All or a portion of this security is on loan (See Note 1).

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Security	Value

MORTGAGE-BACKED SECURITIES — 58.7%
FHLMC — 11.5%

		Federal Home Loan Mortgage Corp. (FHLMC):
$	3,443	9.000% due 8/1/09-10/1/09	$	3,518
	4,790	10.000% due 4/1/09-10/1/09		4,971
	2,425	10.250% due 5/1/09-2/1/10		2,568
	28,197	11.500% due 10/1/15		33,280
	11,296	9.500% due 10/1/08-8/1/16		12,076
	67,958	8.000% due 4/1/09-6/1/17		73,093
	151,303	8.500% due 10/1/08-7/1/17		165,018
	225,608	5.000% due 6/1/21		228,743
	161,373	4.344% due 12/1/34 (a)		162,920
	162,668	4.090% due 1/1/35 (a)		161,671
	1,329,699	5.016% due 3/1/36 (a)(b)		1,361,911
	2,217,139	6.005% due 10/1/36 (a)		2,278,204
	311,163	5.815% due 2/1/37		320,026
	4,765,648	5.500% due 3/1/37-4/1/37		4,796,151
	851,104	5.944% due 5/1/37		874,218
	637,010	5.951% due 5/1/37		655,543
	873,862	6.000% due 4/1/36-7/1/37		893,128
		Gold:
	1,864	9.500% due 4/1/10		1,962
	32,468	7.000% due 5/1/12-8/1/12		34,009
	13,099	8.000% due 8/1/09-8/1/12		13,512
	36,864	8.500% due 2/1/18		39,318
	888,731	4.500% due 8/1/18-8/1/20		890,370
	5,871,667	5.000% due 12/1/18-3/1/37 (b)		5,888,759
	3,624,986	5.940% due 5/1/37		3,720,707
	1,757,977	6.116% due 9/1/37		1,823,807
	9,685,315	6.500% due 7/1/14-9/1/37 (b)		10,030,184
	42,917,259	5.500% due 10/1/13-2/1/38 (b)		43,391,258
	45,344,268	6.000% due 5/1/16-3/1/38 (b)		46,378,701

		TOTAL FHLMC		124,239,626

FNMA — 41.3%

		Federal National Mortgage Association (FNMA):
	4,056	9.000% due 12/1/08-4/1/09		4,154
	1,071	10.750% due 10/1/12		1,102
	6,721	8.500% due 1/1/10-4/1/17		7,268
	14,234	8.000% due 8/1/17		15,552
	4,592	10.000% due 1/1/21		5,401
	12,361	9.500% due 11/1/09-11/1/21 (b)		12,687
	17,650	6.573% due 1/1/30 (a)(b)		18,486
	53,779	6.565% due 3/1/30 (a)(b)		55,749
	2,093,078	3.962% due 3/1/34		2,105,166
	6,747,843	4.000% due 7/1/18-4/1/34 (b)		6,620,518
	435,327	4.202% due 12/1/34 (a)		438,331
	57,811	4.237% due 12/1/34 (a)		58,461
	870,890	4.596% due 9/1/35 (a)		875,881
	592,196	6.518% due 10/1/35 (a)		609,638
	890,265	6.533% due 10/1/35 (a)		916,528
	1,103,457	6.422% due 11/1/35 (a)(b)		1,135,751
	400,421	6.502% due 11/1/35 (a)		412,196
	182,348	6.514% due 11/1/35 (a)		187,715
	187,092	6.516% due 11/1/35 (a)		192,599
	183,931	6.519% due 11/1/35 (a)		189,348
	188,985	6.527% due 11/1/35 (a)		194,551
	187,671	6.540% due 11/1/35 (a)		193,207

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Security	Value


FNMA — 41.3% — (continued)

$	3,594,042	5.002% due 1/1/36 (a)	$	3,751,163
	1,422,410	5.748% due 6/1/36		1,465,330
	1,894,845	5.820% due 7/1/36		1,926,352
	2,104,623	6.065% due 8/1/36		2,154,653
	255,100	5.651% due 12/1/36		262,120
	1,957,748	5.856% due 2/1/37		1,998,220
	10,196,572	4.500% due 5/1/19-3/1/37 (b)		9,906,736
	2,769,039	5.598% due 4/1/37		2,839,656
	1,937,538	5.663% due 4/1/37		1,947,305
	2,426,782	6.134% due 4/1/37		2,510,488
	3,177,000	7.000% due 9/1/26-4/1/37 (b)		3,329,362
	2,156,564	5.633% due 5/1/37		2,204,580
	3,200,186	5.950% due 8/1/37		3,269,570
	297,034	0.000% due 10/1/37		292,714
	80,950,594	5.500% due 12/1/08-12/1/37 (b)		81,650,254
	29,633,172	5.000% due 1/1/18-1/1/38 (b)		29,362,879
	39,285,647	6.000% due 5/1/12-2/1/38 (b)		40,191,950
	16,279,223	6.500% due 11/1/23-2/1/38		16,894,158
	155,647	6.204% due 4/1/40 (a)		163,165
		TBA:
	83,500,000	6.000% due 3/1/22-3/1/38 (b)(c)		85,256,912
	22,780,000	6.500% due 3/1/38 (b)(c)		23,609,329
	54,100,000	5.000% due 3/1/38-4/1/38 (b)(c)		53,222,967
	63,300,000	5.500% due 3/1/22-4/1/38 (b)(c)		63,638,312

		TOTAL FNMA		446,098,464

GNMA — 5.9%

		Government National Mortgage Association (GNMA):
	5,892	11.000% due 7/15/10-9/15/10		6,479
	9,155	9.500% due 12/15/16-8/15/17		10,166
	73,583	5.125% due 10/20/27 (a)(b)		73,588
	2,511	8.000% due 3/20/30 (b)		2,750
	200,921	6.375% due 2/20/26-5/20/30 (b)		204,939
	123,662	8.500% due 11/20/16-8/15/30 (b)		135,772
	46,046	9.000% due 4/20/17-9/15/30 (b)		50,258
	33,530	4.500% due 9/15/33 (b)		32,342
	624,238	4.750% due 5/20/34 (a)		627,891
	6,870,689	5.000% due 11/15/32-3/15/36 (b)		6,896,392
	2,009,995	6.500% due 6/15/08-10/15/37 (b)		2,100,922
	27,890,283	6.000% due 1/15/29-12/15/37 (b)		28,863,201
	23,653,130	5.500% due 8/15/33-2/15/38 (b)		24,187,504
	1,000,000	TBA, 6.500% due 4/1/37(c)		1,039,687

		TOTAL GNMA		64,231,891

		TOTAL MORTGAGE-BACKED SECURITIES (Cost — $626,698,740)		634,569,981

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value



ASSET-BACKED SECURITIES — 0.5%

Airlines — 0.1%

$	850,000	A−	Continental Airlines Inc. Pass Thru Certificates, Series 2001-ROCK, 7.056% due 3/15/11	$	846,813
Automobiles — 0.2%

	163,703	Aaa (e)	Chase Manhattan Auto Owner Trust, Series 2006-B, Class A2, 5.280% due 10/15/09 (b)		163,872
	1,850,000	AAA	USAA Auto Owner Trust, Series 2005-4, Class A4, 4.890% due 8/15/12		1,886,071
	34,218	AAA	WFS Financial Owner Trust, Series 2005-1, Class A3, 3.590% due 10/19/09 (b)		34,237

			Total Automobiles		2,084,180

Credit Card — 0.1%

	1,200,000	AAA	Bank One Issuance Trust, Series 2003-A3, Class A3, 3.231% due 12/15/10 (a)(b)		1,200,120
Student Loan — 0.1%

	361,621	AAA	SLM Corp., Series 2005-5, Class A1, 3.331% due 1/25/18 (a)(b)		361,380
	1,032,197	AAA	SLM Student Loan Trust, Series 2006-5, Class A2, 3.321% due 7/25/17		1,032,281

			Total Student Loan		1,393,661

			TOTAL ASSET-BACKED SECURITIES (Cost — $5,520,955)		5,524,774

COLLATERALIZED MORTGAGE OBLIGATIONS — 18.5%

	511,983	AAA	Accredited Mortgage Loan Trust, Series 2005-3, Class A1, 3.375% due 9/25/35 (a)		471,840
	317,962	AAA	ACE Securities Corp., Series 2004-SD1, Class A1, 3.625% due 11/25/33 (a)		289,781
	287,620	A	AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 3.385% due 6/25/29		190,134
	2,005,604	AAA	American Home Mortgage Investment Trust, Series 4, Class 11A1, 3.365% due 3/25/47		1,721,287
	914,455	AAA	Asset Backed Funding Certificates, Series 2004-OPT5, Class A1, 3.485% due 6/25/34 (a)(b)		867,016
	96,665	AAA	Asset Backed Securities Corp. Home Equity, Series 2004-HE6, Class A1, 3.410% due 9/25/34 (a)(b)		91,209
	344,038	Aaa (e)	Banc of America Alternative Loan Trust, Series 2004-6, Class 4A1, 5.000% due 7/25/19		350,126
			Banc of America Commercial Mortgage Inc.:
	883,347	Aaa (e)	Series 2001-1, Class A2, 6.503% due 4/15/36		903,700
	1,060,000	AAA	Series 2005-1, Class A4, 4.989% due 11/10/42 (a)		1,041,225
			Banc of America Funding Corp.:
	2,834,735	AAA	Series 1998-D7, Class 3A1, 6.000% due 7/25/37		2,857,674
	10,396	AAA	Series 2003-1, Class A1, 6.000% due 5/20/33		10,430
	541,465	AAA	Series 2005-B, Class 2A1, 5.095% due 4/20/35 (a)		553,661
			Banc of America Mortgage Securities Inc.:
	729,540	AAA	Series 1865, Class 1A1, 5.641% due 7/25/34 (b)		723,280
	3,813,441	AAA	Series 2006-B, Class 4A1, 6.218% due 11/20/46		3,838,565
	525,499	AAA	Bayview Financial Acquisition Trust, Series 2004-A, Class A, 3.800% due 2/28/44		509,408
			Bear Stearns Adjustable Rate Mortgage Trust:
	110,870	AAA	Series 2002-11, Class 1A1, 5.610% due 2/25/33 (a)(b)		111,014
	1,905,790	AAA	Series 2005-2, Class A2, 4.125% due 3/25/35 (b)		1,892,173
			Bear Stearns Alt-A Trust:
	656,629	AAA	Series 2005-2, Class 2A4, 4.699% due 4/25/35 (a)		628,851
	381,512	AAA	Series 2005-4, Class 23A2, 5.370% due 5/25/35 (a)(b)		365,030
	558,821	AAA	Series 2005-7, Class 22A1, 5.711% due 9/1/35 (b)		504,318
	1,061,734	AAA	Bear Stearns Asset Backed Securities Trust, Series 2007-HE7, Class 1A1, 4.135% due 10/25/37 (b)		1,035,827
			Bear Stearns Commercial Mortgage Securities:
	400,000	AAA	Series 1999-LTL1, Class AJ, 5.457% due 3/11/39		321,501
	2,480,000	AAA	Series 2001-T2, Class A2, 6.480% due 2/15/35		2,538,030
	1,765,000	Aaa (e)	Series 2003-T12, Class A4, 4.680% due 8/13/39		1,708,332
	1,030,000	Aaa (e)	Series 2005-PWR7, Class A2, 4.945% due 2/11/41		1,005,885
	1,105,000	AAA	Series 2007-PW17, Class A4, 5.694% due 6/1/50		1,054,272
	1,382,601	AAA	Bear Stearns Second Lien Trust, Series 2007-SV1A, Class A1, 3.355% due 12/25/36 (b)(f)		1,036,951
			Bear Stearns Structured Products Inc.:
	2,467,095	AAA	Series 2007-EMX1, Class A1, 4.135% due 3/25/37		2,374,308
	2,342,226	AAA	Series 2007-R11, Class A1A, 3.635% due 9/27/37		2,278,307

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


COLLATERALIZED MORTGAGE OBLIGATIONS — 18.5% — (continued)

$	409,603	AAA	Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.319% due 10/15/32	$	424,070
			Chase Funding Mortgage Loan Asset-Backed Certificates:
	2,013	AAA	Series 2002-2, Class 2A1, 3.635% due 5/25/32 (a)		1,944
	2,088	AAA	Series 2002-3, Class 2A1, 3.775% due 8/25/32 (a)		2,000
	1,300,000	AAA	Chase Issuance Trust, Series 2007-A17, Class A, 5.120% due 10/15/14		1,350,172
	3,543,708	AAA	Citigroup Mortgage Loan Trust Inc., Series 2000-34, Class A, 5.344% due 8/25/35		3,517,517
	789,571	AAA	Commercial Mortgage Asset Trust, Series 1999-C2, Class A2, 7.546% due 11/17/32 (a)		807,682
			Commercial Mortgage Pass Through Certificates:
	1,475,000	AAA	Series 2004-LB2A, Class A3, 4.221% due 3/10/39		1,436,166
	2,000,000	AAA	Series 2004-SL4, Class AM, 5.793% due 6/10/46 (a)		1,821,152
			Countrywide Alternative Loan Trust:
	995,493	AAA	Series 2005-24, Class 4A1, 3.344% due 7/20/35 (a)		902,592
	572,125	AAA	Series 2005-27, Class 2A3, 6.082% due 8/25/35 (a)		544,257
	1,032,941	AAA	Series 2005-59, Class 1A1, 4.264% due 11/20/35 (a)		931,972
	2,052,430	AAA	Series 4, Class 2A1, 3.265% due 3/25/47		1,749,256
			Countrywide Asset-Backed Certificates:
	1,511,948	AAA	Series 1998-C1, Class 3A1, 3.255% due 6/25/36		1,428,345
	2,669	AAA	Series 2001-BC3, Class A, 3.615% due 12/25/31 (a)		2,392
	5,025	AAA	Series 2002-3, Class 1A1, 3.875% due 5/25/32 (a)		4,692
	12,759	AAA	Series 2003-BC2, Class 2A1, 3.735% due 6/25/33 (a)		12,064
	167,684	AAA	Series 2004-SD4, Class A1, 3.515% due 12/25/34 (a)(f)		144,740
	255,119	AAA	Series 2005-4, Class AF3, 4.456% due 10/25/35 (a)		253,795
	325,852	AAA	Series 2006-11, Class 3AV1, 3.195% due 9/25/46 (a)(b)		320,176
	1,121,446	AAA	Series 2006-SD3, Class A1, 3.465% due 7/25/36 (a)(f)		890,587
			Countrywide Home Loan Mortgage Pass Through Trust:
	469,393	AAA	Series 2005-11, Class 3A3, 6.071% due 4/25/35 (a)		427,589
	344,818	AAA	Series 2005-11, Class 6A1, 3.435% due 3/25/35 (a)		324,417
	726,593	AAA	Series 2005-R1, Class 1AF1, 3.495% due 3/25/35 (a)(f)		720,117
	765,747	AAA	Series 2007-16, Class A1, 6.500% due 10/25/37		775,389
	2,365,000	AAA	Credit Suisse Mortgage Capital Certificates, Series 2005-C3, Class A3, 5.311% due 12/15/39		2,231,579
			CS First Boston Mortgage Securities Corp.:
	1,743,577	AAA	Series 1997-1, Class A1, 3.819% due 5/15/36		1,673,889
	2,070,000	AAA	Series 1998-1, Class AM, 5.100% due 8/15/38		1,831,348
	1,731,784	AAA	Series 2005-A2, Class 5A6, 5.500% due 11/25/35		1,750,848
	1,760,000	AAA	Series 2005-C6, Class A4, 5.230% due 12/15/40		1,692,731
	725,000	AAA	CW Capital Cobalt Ltd., Series 2007-C3, Class A4, 5.820% due 5/15/46		702,413
	2,016,507	Aaa (e)	DLJ Commercial Mortgage Corp., Series 2000-3, Class A1B, 6.460% due 3/10/32		2,030,335
	339,907	AAA	Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 3.519% due 11/19/44 (a)		300,403
			EMC Mortgage Loan Trust:
	12,712	AAA	Series 2002-B, Class A1, 3.785% due 2/25/41 (a)(f)		11,606
	57,164	AAA	Series 2003-A, Class A1, 3.685% due 8/25/40 (a)(f)		51,974
			Federal Home Loan Mortgage Corp. (FHLMC):
	197,684	AAA	Series 1565, Class G, 6.000% due 8/15/08 (b)		197,452
	8,053	AAA	Series 1865, Class DA, 10.300% due 2/15/24 (a)(g)(h)		3,493
	10,677,026	AAA	Series 3346, Class SC, 3.429% due 10/15/33		987,551
	863,390	AAA	STRIPS, Series 1998-C2, Class IO, 5.500% due 8/1/35 (h)		198,856
	1,116,572	AAA	Structured Pass Through Securities, Series T-61, Class 1A1, 6.062% due 7/25/44 (a)(b)		1,128,445
			Federal National Mortgage Association (FNMA):
	52,218	AAA	Series 1999-18, Class A, 5.500% due 10/18/27		53,370
	81,424	AAA	Series 2000-34, Class F, 3.585% due 10/25/30 (a)(b)		82,441
	193,112	AAA	Series 2002-34, Class FE, 3.516% due 5/18/32 (a)(b)		193,528
	940,000	AAA	Series 2002-T3, Class B, 5.763% due 12/25/11		995,369
	270,000	AAA	Series 2003-16, Class BC, 5.000% due 3/25/18		278,669
	1,006,706	AAA	Series 2004-25, Class PA, 5.500% due 10/25/30		1,028,006
	647,537	AAA	Series 2004-36, Class BS, 5.500% due 11/25/30		663,585
	310,547	AAA	Series 2004-88, Class HA, 6.500% due 7/25/34		327,284

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


COLLATERALIZED MORTGAGE OBLIGATIONS — 18.5% — (continued)

$	660,160	AAA	Series 2005-105-1, Class TL, 5.500% due 11/25/31	$	681,712
	1,371,328	NR	Series 2005-47, Class PA, 5.500% due 9/25/24 (a)(b)		1,390,122
	1,300,193	AAA	Series 2962, Class YC, 4.500% due 9/15/14 (b)		1,309,232
	1,255,719	AAA	Series 3110, Class HA, 5.500% due 1/15/27		1,287,784
	1,267,494	AAA	Series 3117, Class PN, 5.000% due 11/15/21 (b)		1,278,677
	3,334,048	AAA	STRIPS, Series 2005-105, Class 19, 5.000% due 6/1/35		793,818
			Federal National Mortgage Association (FNMA), Grantor Trust:
	238,076	AAA	Series 2000-T06, Class A3, 6.174% due 1/25/28 (a)		245,967
	157,597	AAA	Series 2002-T06, Class A1, 3.310% due 2/25/32		155,702
			First Union National Bank Commercial Mortgage:
	1,394,553	AAA	Series 1999-C4, Class A2, 7.390% due 12/15/31		1,434,122
	1,700,000	AAA	Series 2001-C2, Class A2, 6.663% due 1/12/43		1,748,900
			GE Capital Commercial Mortgage Corp.:
	1,925,000	AAA	Series 2002-20K, Class A5, 4.772% due 6/10/48		1,812,469
	1,850,000	AAA	Series 2005-C4, Class A4, 5.334% due 11/10/45 (a)		1,801,331
	2,400,000	AAA	Series 2007, Class A4, 5.543% due 12/10/49 (a)		2,278,020
			GMAC Commercial Mortgage Securities Inc.:
	6,872	Aaa (e)	Series 1998-C1, Class A2, 6.700% due 5/15/30		6,858
	1,950,000	AAA	Series 1999-1, Class A4, 4.547% due 12/10/41		1,879,514
	651,594	Aaa (e)	Series 1999-C3, Class A2, 7.179% due 8/15/36		665,079
	975,000	AAA	Series 2000-C2, Class B, 7.594% due 8/16/33		1,019,676
	1,736,439	AAA	Series 2001-C1, Class A2, 6.465% due 4/15/34		1,775,695
	2,614,571	AAA	GMAC Mortgage Corp. Loan Trust, Series 2004-VF1, Class A1, 3.885% due 2/25/31		2,513,251
			Government National Mortgage Association (GNMA):
	157,013	AAA	Series 2000-35, Class F, 3.666% due 12/16/25 (a)(b)		157,958
	134,867	AAA	Series 2002-21, Class FV, 3.516% due 3/16/32 (a)(b)		135,214
	706,253	AAA	Series 2004-65, Class VA, 6.000% due 6/20/15		742,349
	2,355,000	AAA	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444% due 3/10/39		2,224,084
			GS Mortgage Securities Corp. II:
	910,000	Aaa (e)	Series 2001-C1, Class A4, 5.560% due 11/10/39		876,230
	1,950,000	AAA	Series 2001-C2, Class A4A, 4.751% due 7/1/39		1,825,779
	300,000	AAA	Series 2001-ROCK, Class A2, 6.624% due 5/3/18 (b)(f)		330,528
	1,225,000	AAA	Series 2005-GG4, Class A4, 4.761% due 7/10/39		1,147,509
	1,055,000	AAA	Series 2007-GG10, Class A4, 5.799% due 8/10/45		1,022,214
			GSR Mortgage Loan Trust:
	3,657,242	AAA	Series , Class 6A1, 5.250% due 7/25/35		3,499,783
	574,774	AAA	Series 2005-AR6, Class 2A1, 4.539% due 9/25/35 (a)(b)		577,095
			Harborview Mortgage Loan Trust:
	516,368	AAA	Series 2006-2, Class 1A, 5.457% due 2/25/36		507,741
	448,919	AAA	Series 2006-9, Class 2A1A, 3.329% due 11/19/36		385,889
	54,218,200	AAA	Series 2007-GG9, Class X2A, 5.250% due 10/19/35 (g)(h)		525,239
	695,292	AAA	Home Equity Asset Trust, Series 2007-2, Class 2A1, 3.245% due 7/25/37		655,885
	9,883	AAA	Impac CMB Trust, Series 2003-1, Class 1A1, 3.935% due 3/25/33 (a)		9,520
			Indymac Index Mortgage Loan Trust:
	256,101	AAA	Series 2004-AR15, Class 1A1, 6.861% due 2/25/35 (a)		233,614
	229,959	AAA	Series 2005-AR15, Class A2, 5.099% due 9/25/35 (a)		215,431
	531,807	AAA	Series 2007-AR7, Class 1A1, 6.258% due 11/25/37		519,800
	1,700,000	AAA	IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 3.295% due 8/25/36		1,353,996
			JP Morgan Chase Commercial Mortgage Securities Corp.:
	635,000	AAA	Series 2003-C1, Class A2, 4.985% due 1/12/37		612,049
	80,000	Aaa (e)	Series 2005-CB12, Class A4, 4.895% due 9/12/37		75,480
	100,000	Aaa (e)	Series 2005-CB13, Class A4, 5.294% due 1/12/43 (a)		96,980
	1,200,000	Aaa (e)	Series 2005-LDP4, Class A4, 4.918% due 10/15/42 (a)		1,132,860
	1,980,000	AAA	Series 2007-CB19, Class A4, 5.747% due 2/12/49		1,907,708
	500,000	AAA	Series 2007-LD11, Class A2, 5.804% due 6/15/49		495,735

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


COLLATERALIZED MORTGAGE OBLIGATIONS — 18.5% — (continued)

$	400,000	AAA	Series 2007-LD12, Class A2, 5.827% due 2/15/51	$	394,930
	620,000	Aaa (e)	Series 2007-LDPX, Class A3, 5.420% due 1/15/49		582,101
	86,103	AAA	JP Morgan Mortgage Acquisition Corp., Series 2006-WMC1, Class A2, 3.205% due 3/25/36 (a)(b)		85,896
			JP Morgan Mortgage Trust:
	672,096	AAA	Series 2001-A1, Class 6T1, 5.023% due 2/1/35 (b)		665,308
	2,190,061	AAA	Series 2006-A2, Class 5A3, 3.755% due 11/25/33 (a)		2,193,895
			LB-UBS Commercial Mortgage Trust:
	2,895,000	Aaa (e)	Series 2001-C2, Class B, 6.799% due 9/15/34		2,996,173
	1,150,000	AAA	Series 2004-C6, Class A2, 4.187% due 8/15/29		1,133,579
	310,000	AAA	Series 2005-C3, Class A5, 4.739% due 7/15/30		290,154
	400,000	AAA	Series 2005-C3, Class AAB, 4.664% due 7/15/30		381,393
	500,000	AAA	Series 2005-F, Class AM, 5.712% due 3/15/39		452,489
	805,000	AAA	Series 2006-C6, Class A4, 5.372% due 9/15/39		765,748
	1,210,000	AAA	Series 2007-C7, Class A2, 5.588% due 9/15/45		1,181,512
			Lehman XS Trust:
	555,138	AAA	Series 2005-5N, Class 1A1, 3.435% due 11/25/35 (a)		502,677
	418,834	AAA	Series 2005-7N, Class 1A1B, 3.435% due 12/25/35 (a)		340,037
	325,984	AAA	Long Beach Mortgage Loan Trust, Series 2005-WL3, Class 2A2A, 3.275% due 11/25/35		323,334
			Master Adjustable Rate Mortgages Trust:
	1,900,000	AAA	Series 2004-13, Class 3A7, 3.786% due 11/21/34 (a)		1,896,721
	211,525	AAA	Series 2004-4, Class 4A1, 5.188% due 5/25/34 (a)(b)		203,271
	2,553,540	AAA	Series 2007-3, Class 12A1, 3.335% due 5/25/47		2,188,667
	591,958	AAA	Medallion Trust, Series 2003-1G, Class A, 5.100% due 12/21/33		542,527
			Merrill Lynch Mortgage Investors Inc.:
	568,246	AAA	Series 2005-3, Class 4A3, 5.025% due 5/1/34		555,265
	620,457	AAA	Series 2005-A2, Class A2, 4.488% due 2/25/35 (a)		611,098
	670,000	AAA	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, 5.658% due 5/12/39 (a)		656,402
			Merrill Lynch/Countrywide Commercial Mortgage Trust:
	190,000	AAA	Series 2001-C2, Class A4, 5.378% due 8/12/48		178,391
	1,210,000	Aaa (e)	Series 2005-5N, Class A4, 5.485% due 3/12/51		1,141,441
	804,370	AAA	Mid-State Trust, Series 2004-1, Class A, 6.005% due 8/15/37		812,566
			MLCC Mortgage Investors Inc.:
			Series 2005-1, Class 2A1:
	614,587	Aaa (e)	4.966% due 4/25/35 (a)		626,755
	200,409	Aaa (e)	4.970% due 4/25/35 (a)		204,377
			Morgan Stanley Capital I:
	1,700,000	Aaa (e)	Series 2003-IQ4, Class A2, 4.070% due 5/15/40		1,569,383
	660,000	AAA	Series 2004-8AR, Class A4, 5.692% due 4/15/49 (a)		630,607
	801,306	AAA	Series 2004-SD3, Class A, 3.595% due 6/25/34		782,946
	1,955,000	AAA	Series 2005-HQ6, Class A4A, 4.989% due 8/13/42		1,855,492
	1,300,000	AAA	Series 2006-BC3, Class A4, 5.650% due 6/11/42		1,248,048
	607,856	AAA	Series 2006-HE7, Class A2A, 3.185% due 9/25/36 (a)(b)		581,229
	705,000	AAA	Series 2006-HQ8, Class A4, 5.388% due 3/12/44		679,556
	780,000	AAA	Series 2007-IQ16, Class A4, 5.809% due 12/12/49		750,537
	861,272	AAA	Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, 5.354% due 10/25/34 (a)		860,709
	120,118	AAA	Nationslink Funding Corp., Series 1999-LTL1, Class A2, 6.867% due 1/22/26 (b)		121,142
			Option One Mortgage Loan Trust:
	5,378	AAA	Series 2002-6, Class A2, 3.935% due 11/25/32 (a)		4,891
	26,471	AAA	Series 2003-1, Class A2, 3.975% due 2/25/33 (a)		24,560
	1,800,000	AAA	Popular ABS Mortgaged Pass-Through Trust, Series 2003-KS1, Class AF6, 4.759% due 7/25/35		1,652,982
			Prime Mortgage Trust:
	1,135,357	AAA	Series 2006-DR1, Class 1A1, 5.500% due 5/25/35 (f)		1,136,022
	525,619	AAA	Series 2006-DR1, Class 1A2, 6.000% due 5/25/35 (f)		530,998
	2,648,319	AAA	Series 2006-DR1, Class 2A1, 5.500% due 5/25/36 (f)		2,596,697
	100,000	AAA	Public Service New Hampshire Funding LLC, Series 2001-1, Class A3, 6.480% due 5/1/15		108,139
	2,783,904	AAA	Residential Accredit Loans Inc., Series 2006-WMC1, Class A10, 6.000% due 6/25/37		2,855,923

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


COLLATERALIZED MORTGAGE OBLIGATIONS — 18.5% — (continued)

			Residential Asset Mortgage Products Inc.:
$	255,740	AAA	Series 2004-SL4, Class A5, 7.500% due 7/25/32	$	251,016
	1,965,290	AAA	Series 2006-NC1, Class AI6A, 6.110% due 10/25/33		1,960,927
	12,536	AAA	Residential Asset Mortgage Products Inc., Series 2003-RS4, Class AIIB, 3.795% due 5/25/33 (a)		9,676
	243,100	A	Residential Funding Mortgage Securities II Inc., Series 2005-HS1, Class AI1, 3.255% due 9/25/35 (a)		234,392
	1,087,627	B	SACO I Inc., Series 2006-7, Class A1, 3.265% due 7/25/36 (a)		437,493
			Small Business Administration:
	388,315	NR	Series 1999-P10B, Class 1, 7.540% due 8/10/09 (b)		401,908
	630,435	NR	Series 2000-P10A, Class 1, 8.017% due 2/10/10 (b)		662,296
	925,770	NR	Series 2005-P10A, Class 1, 4.638% due 2/10/10		929,494
			Small Business Administration Participation Certificates:
	857,028	NR	Series 1993-20K, Class 1, 6.150% due 11/1/13 (b)		880,961
	250,965	NR	Series 1995-20J, Class 1, 6.850% due 10/1/15 (b)		260,889
	576,297	NR	Series 1995-20K, Class 1, 6.650% due 11/1/15 (b)		598,224
	385,612	NR	Series 1996-20G, Class 1, 7.700% due 7/1/16 (b)		406,335
	1,842,957	NR	Series 1999-20L, Class 1, 7.190% due 12/1/19 (b)		1,964,252
	1,222,705	NR	Series 2000-20A, Class 1, 7.590% due 1/1/20 (b)		1,313,075
	1,615,262	NR	Series 2002-20K, Class 1, 5.080% due 11/1/22 (b)		1,648,643
	98,874	AAA	Soundview Home Equity Loan Trust, Series 2006-OPT3, Class 2A1, 3.195% due 6/25/36 (a)(b)		98,579
			Structured Adjustable Rate Mortgage Loan Trust:
	324,728	AAA	Series 2004-16, Class 1A2, 7.349% due 11/25/34 (a)		327,251
	1,211,581	AAA	Series 2004-6, Class 4A1, 4.839% due 6/25/34 (a)		1,213,159
	469,668	AAA	Series 2005-19XS, Class 1A1, 3.455% due 10/25/35 (a)		434,036
	2,950,157	AAA	Series 2005-7N, Class 4A1, 5.506% due 7/25/35		2,933,401
			Structured Asset Securities Corp.:
	12,324	AAA	Series 2002-14A, Class 2A1, 7.094% due 7/25/32 (a)(b)		12,292
	341,323	AAA	Series 2003-AL1, Class A, 3.357% due 4/25/31 (f)		318,032
	682,957	AAA	Series 2006-BC3, Class A2, 3.185% due 10/25/36 (a)(b)		640,523
	2,218,800	AAA	Terwin Mortgage Trust, 4.500% due 5/25/37 (b)(f)		2,024,438
			Thornburg Mortgage Securities Trust:
	1,697,182	AAA	Series 2005-2, Class A4, 3.385% due 7/25/45		1,696,246
	2,569,311	AAA	Series 2006-1, Class A3, 3.305% due 1/25/46		2,518,501
	1,597,136	Aaa (e)	Series 2006-3, Class A2, 3.240% due 5/25/46 (a)		1,567,813
	1,682,143	Aaa (e)	Series 2006-3, Class A3, 3.245% due 6/25/46 (a)		1,662,558
	480,000	AAA	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, 6.096% due 8/15/39		476,359
	245,260	AAA	UDR Inc., 3.361% due 12/15/35 (a)		211,790
			Wachovia Bank Commercial Mortgage Trust:
	700,000	AAA	Series 2005-C22, Class A4, 5.266% due 12/15/44		678,329
	1,970,000	Aaa (e)	Series 2006-C25, Class AM, 5.742% due 5/15/43		1,786,715
	550,000	AAA	Series 2007-C33, Class A4, 5.903% due 7/15/17		537,884
	1,020,000	AAA	Wamu Master Note Trust 2006-A3A, Class A3, 3.151% due 9/15/13		972,403
			WaMu Mortgage Pass Through Certificates:
	720,369	AAA	Series 2005-AR11, Class A1A, 3.455% due 8/25/45		667,131
	33,002,522	AAA	Series 2007-0A1, Class XPPP, 9.800% due 2/25/47 (a)(g)		402,218
	1,679,918	AAA	Series 2007-OA5, Class 1A, 5.272% due 6/25/47		1,365,768
			Washington Mutual Inc.:
	1,975,467	AAA	Series 2002-3, Class 2A, 5.222% due 1/25/47		1,922,588
	928,696	AAA	Series 2003-A3, Class 4A1, 5.501% due 9/25/36		941,178
	1,370,486	AAA	Series 2003-R1, Class A1, 3.675% due 12/25/27 (a)(b)		1,318,480
	95,210	AAA	Series 2004-AR11, Class A, 4.556% due 10/25/34 (a)		95,924
	287,122	AAA	Series 2004-AR12, Class A2A, 3.765% due 10/25/44 (a)		274,722
	1,000,000	AAA	Series 2005-AR 4, Class A5, 4.671% due 4/25/35 (a)		983,523
	1,643,164	AAA	Series 2005-AR13, Class A1A1, 3.425% due 10/25/45 (a)(b)		1,503,183
	696,836	AAA	Series 2005-AR15, Class A1A2, 3.415% due 11/25/45 (a)		639,657
	689,560	AAA	Series 2005-AR19, Class A1A2, 3.425% due 12/25/45 (a)		622,922
	1,797,528	AAA	Series 2006-AR13, Class 2A, 5.670% due 10/25/46 (a)(b)		1,754,377

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


COLLATERALIZED MORTGAGE OBLIGATIONS — 18.5% — (continued)

			Wells Fargo Mortgage Backed Securities Trust:
$	1,323,124	AAA	Series 2004-H, Class A1, 4.527% due 6/25/34 (a)	$	1,320,899
	400,000	AAA	Series 7, Class 2A4, 5.773% due 4/25/36		396,896

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $205,423,079)		200,002,916

CORPORATE BONDS & NOTES — 18.6%

Aerospace & Defense — 0.0%

	25,000	BB−	DRS Technologies Inc., Company Guaranteed Notes, 6.625% due 2/1/16		24,562
	300,000	BBB	Goodrich (BF) Co., Notes, 6.290% due 7/1/16 (b)		322,780

			Total Aerospace & Defense		347,342

Airlines — 0.4%
			Continental Airlines Inc.:
			Pass Thru Certificates:
	741,421	BB	7.461% due 4/1/15		709,692
	457,605	A−	7.256% due 3/15/20		460,092
			Delta Air Lines Inc.:
			Pass Thru Certificates:
	282,632	BBB	7.379% due 5/18/10		282,455
	843,816	BBB	6.619% due 3/18/11		835,118
	500,000	BBB−	7.111% due 9/18/11		496,789
			Northwest Airlines Inc.:
			Pass Thru Certificates:
	1,000,000	BBB	6.841% due 4/1/11		987,500
	478,912	BBB	7.041% due 4/1/22		475,604

			Total Airlines		4,247,250

Auto Components — 0.0%

	50,000	B−	Visteon Corp., Senior Unsecured Notes, 8.250% due 8/1/10		41,875

Automobiles — 0.3%
			DaimlerChrysler NA Holding Corp.:
			Company Guaranteed Notes:
	330,000	BBB+	4.050% due 6/4/08		330,401
	300,000	BBB+	5.875% due 3/15/11		313,330
	900,000	BBB+	5.750% due 9/8/11 (b)		935,905
	285,000	BBB+	Notes, 4.875% due 6/15/10		291,281
	610,000	CCC+	Ford Motor Co., Senior Unsecured Notes, 7.450% due 7/16/31		419,375
			General Motors Corp.:
	1,325,000	B−	Debentures Notes, 8.250% due 7/15/23		1,008,656
	20,000	B−	Senior Unsubordinated Notes, 8.375% due 7/15/33 (d)		15,400

			Total Automobiles		3,314,348

Capital Markets — 1.0%

	577,000	A+	Credit Suisse London, Senior Unsubordinated Notes, 9.650% due 3/24/10 (f)		581,501
	400,000	BB	CSC Holdings Inc., Senior Unsecured Notes, 7.250% due 7/15/08 (b)		402,000
			Goldman Sachs Group Inc.:
			Notes:
	230,000	AA−	4.500% due 6/15/10		236,104
	135,000	AA−	4.750% due 7/15/13		136,522
	1,000,000	AA−	5.750% due 10/1/16 (b)		1,012,867
	650,000	A−	Lehman Brothers Holdings Capital Trust V, Notes, 5.857% due 12/31/49		487,926

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Capital Markets — 1.0% — (continued)

			Lehman Brothers Holdings Inc.:
			Notes:
$	300,000	A+	4.500% due 7/26/10	$	300,381
	640,000	A+	11.000% due 11/7/16		696,384
	416,000	A+	8.920% due 2/16/17		398,112
			Senior Notes:
	120,000	A+	5.250% due 2/6/12		119,232
	1,550,000	A+	6.000% due 7/19/12		1,594,965
	300,000	A+	6.691% due 9/15/22		285,601
			Morgan Stanley:
			Notes:
	60,000	AA−	3.625% due 4/1/08		59,968
	25,000	AA−	6.750% due 4/15/11		26,769
	565,000	AA−	5.550% due 4/27/17		554,607
	1,170,000	AA−	6.250% due 8/28/17		1,207,140
			Senior Unsecured Notes:
	900,000	AA−	5.625% due 1/9/12		931,993
	2,000,000	AA−	5.750% due 10/18/16 (b)		1,987,018

			Total Capital Markets		11,019,090

Chemicals — 0.0%

	30,000	CCC+	Georgia Gulf Corp., Company Guaranteed Notes, 9.500% due 10/15/14		22,800
	29,000	BB+	Westlake Chemical Corp., Company Guaranteed Notes, 6.625% due 1/15/16		25,810

			Total Chemicals		48,610

Commercial Banks — 1.4%

	800,000	BBB−	Banponce Trust 1, Company Guaranteed Notes, 8.327% due 2/1/27		800,728
	1,048,000	AA	BNP Paribas, Notes, 9.230% due 6/8/17		1,207,820
	2,165,000	A+	Credit Suisse New York, Subordinated Notes, 6.000% due 2/15/18		2,213,336
	3,100,000	AA	Deutsche Bank AG/London, Senior Unsecured Notes, 6.000% due 9/1/17 (b)		3,294,534
			Glitnir Banki HF:
	270,000	A−	Notes, 6.330% due 7/28/11		252,114
	460,000	BBB+	Subordinated Notes, 6.693% due 6/15/16 (a)(f)		424,660
	1,250,000	A	HBOS PLC, 5.920% due 12/31/49 (f)		1,066,127
			ICICI Bank Ltd.:
	400,000	BB	6.375% due 4/30/22 (a)(f)		343,770
	150,000	BB	6.375% due 4/30/22		129,195
	100,000	A1 (e)	Kaupthing Bank Hf, Senior Notes, 5.750% due 10/4/11 (f)		88,507
	690,000	A2 (e)	Landsbanki Islands HF, Notes, 6.100% due 8/25/11 (f)		676,782
	1,500,000	AA	National Australia Bank Ltd., 3.578% due 2/8/10 (b)(f)		1,500,004
	750,000	A+	Nationsbank Cap Trust III, Bank Guaranteed Notes, 4.808% due 1/15/27		583,384
	20,000	AA	Rabobank Capital Funding II, 5.260% due 12/31/49 (a)(f)		19,107
	40,000	AA	Rabobank Capital Funding Trust, Company Guaranteed Notes, 5.254% due 12/31/49 (a)(f)		37,033
	660,000	AA3	Royal Bank of Scotland Group PLC, 9.118% due 12/31/49		718,892
	390,000	AA−	Santander Issuances S.A Unipersonal, Subordinated Notes, 5.805% due 6/20/16 (a)(f)		391,557
	400,000	BBB	Shinsei Finance Cayman Ltd., 6.418% due 12/31/49 (a)(f)		321,074
	10,000	A	Sumitomo Mitsui Banking Corp./New York, 8.000% due 6/15/12		11,427
	190,000	A−	Sun Trust Capital VIII, 6.100% due 12/1/66		161,007
	230,000	A	Wachovia Capital Trust III, 5.800% due 3/15/42 (a)		181,243
	150,000	AA−	Wells Fargo Capital X, Company Guaranteed Notes, 5.950% due 12/15/36		136,845

			Total Commercial Banks		14,559,146

Commercial Services & Supplies — 0.1%

	27,000	B	DI Finance/DynCorp. International, Senior Subordinated Notes, 9.500% due 2/15/13		28,012
	55,000	B	RH Donnelley Corp., Senior Notes, 8.875% due 10/15/17		35,750

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Commercial Services & Supplies — 0.1% — (continued)

			Service Corp. International:
			Senior Unsecured Notes:
$	40,000	BB−	6.750% due 4/1/16	$	40,000
	95,000	BB−	7.500% due 4/1/27		82,412
			Waste Management Inc.:
			Company Guaranteed Notes:
	185,000	BBB	6.375% due 11/15/12		198,184
	40,000	BBB	7.375% due 5/15/29		42,627
	100,000	BBB	7.750% due 5/15/32		113,063

			Total Commercial Services & Supplies		540,048

Computers & Peripherals — 0.0%

	60,000	B+	Sungard Data Systems Inc., Company Guaranteed Notes, 9.125% due 8/15/13		60,750

Consumer Finance — 1.1%
			Ford Motor Credit Co.:
			Notes:
	300,000	B	7.375% due 10/28/09		284,586
	30,000	B	7.875% due 6/15/10		27,661
	100,000	B	7.375% due 2/1/11		88,627
	1,400,000	B	7.000% due 10/1/13 (b)		1,150,051
			Senior Notes:
	2,850,000	B	5.800% due 1/12/09		2,755,389
	85,000	B	7.250% due 10/25/11		72,755
	674,000	B	Senior Unsecured Notes, 10.241% due 6/15/11		582,885
			GMAC LLC:
	1,600,000	B+	Bonds, 8.000% due 11/1/31 (b)		1,212,266
			Notes:
	100,000	B+	5.125% due 5/9/08 (d)		99,207
	220,000	B+	7.750% due 1/19/10		199,004
	400,000	B+	6.750% due 12/1/14 (b)		301,660
	960,000	BB+	Senior Unsecured Notes, 6.625% due 5/15/12		761,974
	2,230,000	B+	Senior Unsubordinated Notes, 5.850% due 1/14/09		2,152,675
			SLM Corp.:
			Notes:
	90,000	BBB−	5.430% due 4/1/09 (a)		83,025
	625,000	BBB−	5.375% due 5/15/14		534,904
	70,000	BBB−	5.050% due 11/14/14		58,695
	80,000	BBB−	5.625% due 8/1/33		61,918
			Unsecured:
	900,000	BBB−	3.131% due 4/14/08 (b)(g)		896,016
	470,000	BBB−	5.000% due 10/1/13		399,688

			Total Consumer Finance		11,722,986

Containers & Packaging — 0.0%

	10,000	CCC+	Graham Packaging Co. Inc., Company Guaranteed Notes, 9.875% due 10/15/14		8,575

Diversified Consumer Services — 0.1%
			Hertz Corp.:
			Company Guaranteed Notes:
	35,000	BB−	8.875% due 1/1/14		33,512
	40,000	B	10.500% due 1/1/16		38,200
	1,200,000	NR	Service Corp. International, Senior Unsecured Notes, 6.500% due 3/15/08 (b)		1,206,000

			Total Diversified Consumer Services		1,277,712

Diversified Financial Services — 6.3%

	200,000	A−	AGFC Capital Trust 1, Company Guaranteed Notes, 6.000% due 1/15/67 (a)		181,350

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Diversified Financial Services — 6.3% — (continued)

$	200,000	BBB	Aiful Corp., Notes, 5.000% due 8/10/10 (f)	$	190,822
	260,000	A−	American Express Co., 6.800% due 9/1/66 (a)		252,595
	50,000	BBB−	Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31		55,969
	50,000	AA+	ASIF Global Financing XIX, Secured Notes, 4.900% due 1/17/13 (f)		50,070
			Bank of America Corp.:
	1,300,000	A+	Notes, 8.000% due 12/31/49		1,348,845
			Senior Notes:
	375,000	AA	5.625% due 10/14/16		385,992
	800,000	AA	6.000% due 9/1/17		841,589
			Senior Unsecured Notes:
	40,000	AA	5.375% due 8/15/11		42,066
	5,505,000	AA	5.750% due 12/1/17 (b)		5,636,102
	580,000	AA−	Subordinated Notes, 7.800% due 2/15/10		625,348
	450,000	A	Bank of New York Mellon Corp., Senior Subordinated Notes, 6.375% due 4/1/12		483,114
	7,400,000	AA−	Barclays Bank PLC, Subordinated Notes, 6.050% due 12/4/17 (b)(f)		7,604,186
			Bear Stearns Cos. Inc.:
	760,000	A+	Notes, 6.950% due 8/10/12		773,852
	340,000	BBB−	Subordinated Notes, 5.550% due 1/22/17		295,927
	150,000	AA	Belvoir Land LLC, Notes, 5.270% due 12/15/47 (f)		124,872
	600,000	BBB−	Capital One Capital III, Company Guaranteed Notes, 7.686% due 8/15/36		461,377
	1,293,949	BBB−	Cedar Brakes II LLC, Secured Notes, 9.875% due 9/1/13 (f)		1,460,856
			Countrywide Financial Corp.:
			Company Guaranteed Notes:
	50,000	BBB+	3.345% due 5/5/08		49,106
	250,000	BBB+	5.076% due 6/18/08		237,567
	400,000	BBB+	5.211% due 12/19/08		354,774
	680,000	BB	El Paso Performance-Linked Trust, Notes, 7.750% due 7/15/11 (f)		708,780
	1,100,000	B	Ford Motor Credit Co., Senior Unsecured Notes, 7.800% due 6/1/12		939,683
			General Electric Capital Corp.:
	3,050,000	AA+	6.375% due 11/15/67		3,109,232
			Notes:
	2,080,000	AAA	5.000% due 11/15/11		2,162,237
	145,000	AAA	5.875% due 2/15/12		154,844
	55,000	AAA	5.000% due 4/10/12		57,032
	710,000	AAA	6.150% due 8/7/37		712,364
	500,000	AAA	Senior Unsecured Notes, 5.875% due 1/14/38 (b)		479,615
	1,100,000	NR	Subordinated Notes, 6.500% due 9/15/67 (f)		2,134,563
			General Electric Co.:
			Notes:
	20,000	AAA	5.450% due 1/15/13		21,128
	130,000	AAA	5.000% due 2/1/13		135,516
	1,500,000	AAA	Senior Unsecured Notes, 5.250% due 12/6/17		1,508,320
	250,000	B+	GMAC LLC, Notes, 7.324% due 12/1/14		187,916
	450,000	A	Goldman Sachs Capital II, Company Guaranteed Notes, 5.793% due 12/31/49		336,537
			Goldman Sachs Group Inc.:
	1,375,000	AA−	Notes, 5.250% due 10/15/13		1,418,651
	1,725,000	A+	Subordinated Notes, 6.750% due 10/1/37 (b)		1,615,435
	1,600,000	AA−	HSBC Bank USA NA/New York, NY, Subordinated Notes, 6.000% due 8/9/17 (b)		1,680,115
			HSBC Finance Corp.:
			Notes:
	585,000	AA−	4.125% due 11/16/09		588,270
	20,000	AA−	8.000% due 7/15/10		21,727
	50,000	AA−	6.375% due 10/15/11		52,567
	270,000	A	ILFC E-Capital Trust II, 6.250% due 12/21/65 (a)(f)		250,989
	240,000	AA	Irwin Land LLC, 5.300% due 12/15/35 (f)		210,919
	1,760,000	A	JP Morgan Chase Capital XIII, 5.780% due 9/30/34 (a)		1,334,133

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Diversified Financial Services — 6.3% — (continued)

			JPMorgan Chase & Co.:
$	429,000	AA	8.750% due 11/28/21	$	424,581
	1,450,000	AA−	Senior Notes, 6.000% due 1/15/18		1,507,318
	2,475,000	AA−	Senior Unsecured Notes, 5.375% due 10/1/12		2,602,017
			Subordinated Notes:
	355,000	A+	5.125% due 9/15/14		358,090
	400,000	A+	5.150% due 10/1/15		399,599
	775,000	AA−	6.000% due 7/5/17		811,387
			Lehman Brothers Holdings Inc.:
	1,400,000	A+	Senior Notes, 3.175% due 11/24/08		1,380,033
	650,000	A	Subordinated Notes, 6.750% due 12/28/17		654,150
			Merrill Lynch & Co. Inc.:
	1,000,000	A+	Notes, 8.680% due 5/2/17		1,032,500
			Senior Unsecured Notes:
	1,050,000	AA−	8.950% due 5/18/17		1,111,057
	1,584,000	AA−	9.570% due 6/6/17		1,706,760
	190,000	BBB+	MUFG Capital Finance, 1 Ltd., 6.346% due 12/31/49 (a)		165,159
	3,114,562	AAA	Residential Asset Securitization Trust, 6.000% due 7/25/37		3,161,088
			Residential Capital LLC:
			Company Guaranteed Notes:
	475,000	B	5.646% due 6/9/08		425,125
	40,000	B	6.193% due 4/17/09		26,200
	110,000	B	6.193% due 5/22/09		75,350
	960,000	B	7.500% due 2/22/11		516,000
	70,000	BBB	Resona Preferred Global Securities Cayman Ltd., 7.191% due 12/31/49 (a)(f)		65,270
			SLM Corp.:
	3,000,000	NR	Notes, 3.625% due 3/17/08 (b)		2,996,854
			Senior Notes:
	1,200,000	BBB−	3.124% due 4/18/08 (b)(f)(g)		1,199,219
	385,000	BBB−	3.631% due 1/27/14		297,685
	240,000	BBB−	Senior Unsecured Notes, 3.471% due 7/27/09		215,583
	604,426	AAA	Structured Asset Mortgage Investments Inc., Series 2005-AR5 , Class A3, 3.369% due 7/19/35 (b)		496,526
	410,000	BB+	TNK-BP Finance SA, Company Guaranteed Notes, 7.500% due 7/18/16 (f)		394,133
			Wachovia Bank NA/Charlotte NC:
			Subordinated Notes:
	1,375,000	AA−	6.000% due 11/15/17		1,424,745
	1,000,000	AA−	6.600% due 1/15/38		956,510
			Wachovia Corp.:
	790,000	AA−	Notes, 5.750% due 2/1/18		795,630
	340,000	A+	Subordinated Notes, 5.250% due 8/1/14		341,140
			Wells Fargo & Co.:
			Senior Unsecured Notes:
	420,000	AA+	4.200% due 1/15/10		427,398
	1,200,000	AA+	5.250% due 10/23/12		1,261,608
	10,000	AA	Subordinated Notes, 5.000% due 11/15/14		10,213

			Total Diversified Financial Services		68,515,880

Diversified Telecommunication Services — 1.4%
			AT&T Inc.:
	200,000	A	6.500% due 9/1/37		203,009
	170,000	A	Notes, 5.100% due 9/15/14		172,779
	4,000,000	A	Senior Unsecured Notes, 6.300% due 1/15/38 (b)		3,953,980
			Bellsouth Corp.:
	1,900,000	A	Notes, 4.240% due 4/26/08 (a)(b)(f)		1,896,895
	70,000	A	Senior Unsecured Notes, 4.750% due 11/15/12		71,870
	295,000	BBB+	British Telecommunications PLC, Senior Unsecured Notes, 8.625% due 12/15/10		332,027
	60,000	B+	Cincinnati Bell Telephone Co., Senior Notes, 7.000% due 2/15/15		56,700

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Diversified Telecommunication Services — 1.4% — (continued)
			Citizens Communications Co.:
$	20,000	BB+	Notes, 9.250% due 5/15/11	$	21,150
			Senior Unsecured Notes:
	25,000	BB+	7.125% due 3/15/19		22,875
	55,000	BB+	7.875% due 1/15/27		49,225
	220,000	A−	Deutsche Telekom International Finance BV, Senior Notes, 5.750% due 3/23/16		225,615
			Embarq Corp., Senior Unsecured Notes:
	910,000	BBB−	6.738% due 6/1/13		938,175
	3,000,000	BBB−	7.082% due 6/1/16 (b)		2,991,600
	50,000	A	GTE Corp., Company Guaranteed Notes, 6.940% due 4/15/28		51,953
	10,000	BB−	Intelsat Bermuda Ltd., Company Guaranteed Notes, 9.250% due 6/15/16		10,050
	65,000	BB−	Intelsat Corp., Company Guaranteed Notes, 9.000% due 6/15/16		65,325
	95,000	CCC+	Level 3 Financing Inc., Company Guaranteed Notes, 9.250% due 11/1/14		77,425
	1,500,000	BBB	Motorola Inc., Senior Unsecured Notes, 6.000% due 11/15/17 (b)		1,405,026
	55,000	A	New Cingular Wireless Services Inc., Senior Unsubordinated Notes, 8.125% due 5/1/12		62,705
			Qwest Communications International Inc.:
			Company Guaranteed Notes:
	156,000	B+	6.565% due 2/15/09 (a)		155,610
	20,000	B+	7.250% due 2/15/11		19,850
	300,000	BBB+	Royal KPN NV, Senior Unsubordinated Notes, 8.375% due 10/1/30		350,772
	100,000	BBB−	Sprint Capital Corp., Company Guaranteed Notes, 6.125% due 11/15/08		97,516
			Telecom Italia Capital SA:
			Company Guaranteed Notes:
	30,000	BBB	5.250% due 11/15/13		29,755
	160,000	BBB	4.950% due 9/30/14		152,357
	770,000	BBB	5.250% due 10/1/15		737,260
			Verizon:
	165,000	A	Maryland Inc., Senior Unsecured Notes, 5.125% due 6/15/33		137,257
	340,000	A	New York Inc., 6.875% due 4/1/12		366,229
	700,000	A	Verizon Communications Inc., Senior Unsecured Notes, 5.550% due 2/15/16 (b)		716,899
			Verizon Global Funding Corp.:
	5,000	A	Debenture Notes, Senior Unsecured Notes, 6.875% due 6/15/12		5,515
	165,000	A	Senior Unsecured Notes, 7.375% due 9/1/12		185,748

			Total Diversified Telecommunication Services		15,563,152

Electric Utilities — 0.8%

			AES Corp.:
	53,000	BB+	Secured Notes, 8.750% due 5/15/13 (f)		55,650
			Senior Unsecured Notes:
	130,000	B	7.750% due 10/15/15		132,600
	690,000	B	8.000% due 10/15/17		707,250
	900,000	BBB+ (i)	DPL Inc., Senior Notes, 8.000% due 3/31/09 (b)		943,129
			Edison Mission Energy:
			Senior Unsecured Notes:
	220,000	BB−	7.200% due 5/15/19		216,700
	50,000	BB−	7.625% due 5/15/27		47,375
	135,000	BBB	Exelon Corp., Senior Unsecured Notes, 5.625% due 6/15/35		120,996
			FirstEnergy Corp.:
	40,000	BBB−	6.450% due 11/15/11		42,391
	670,000	BBB−	7.375% due 11/15/31		732,884
	145,000	A	Florida Power & Light Co., 1st Mortgage Notes, 4.950% due 6/1/35		127,568
	195,000	A−	Florida Power Corp., 5.900% due 3/1/33		196,117
	5,000	A+	Hydro-Quebec, Global Debentures, Series JL, 6.300% due 5/11/11		5,551
			Midamerican Energy Holdings Co.:
			Senior Unsecured Notes:
	40,000	BBB+	5.875% due 10/1/12		42,988
	250,000	BBB+	5.950% due 5/15/37		242,703

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Electric Utilities — 0.8% — (continued)

$	225,000	BBB+	6.500% due 9/15/37	$	234,212
	473,478	BB+	Midwest Generation LLC, Pass Thru Certificates, 8.300% due 7/2/09 (b)		480,580
	110,000	BBB+	Niagara Mohawk Power Corp., Senior Notes, 7.750% due 10/1/08		112,548
			Pacific Gas & Electric Co.:
	250,000	BBB+	6.050% due 3/1/34		249,478
	430,000	BBB+	Senior Unsecured Notes, 5.625% due 11/30/17		446,950
	800,000	BBB	PSEG Power LLC, Company Guaranteed Notes, 7.750% due 4/15/11 (b)		873,017
	95,000	A−	Public Service Electric & Gas Co., 1St Mortgage Notes, 5.250% due 7/1/35		86,831
	300,000	A−	Scottish Power PLC, 4.910% due 3/15/10		309,003
	175,000	AA	SP PowerAssets Ltd., Notes, 3.800% due 10/22/08 (f)		175,541
	2,000,000	BB+	SWEPCO Capital I, Company Guaranteed Notes, 5.250% due 10/1/43		2,025,454

			Total Electric Utilities		8,607,516

Electronic Equipment & Instruments — 0.0%
			NXP BV/NXP Funding LLC:
	75,000	B	Company Guaranteed Notes, 9.500% due 10/15/15		62,391
	15,000	BB−	Secured Notes, 7.875% due 10/15/14		13,725

			Total Electronic Equipment & Instruments		76,116

Energy Equipment & Services — 0.1%

	160,000	B	Dynegy Holdings Inc., Senior Unsecured Notes, 7.750% due 6/1/19		149,600
	350,000	A	Halliburton Co., Senior Unsecured Notes, 5.500% due 10/15/10		371,171
	60,000	BB+	Pride International Inc., Senior Unsecured Notes, 7.375% due 7/15/14		62,700
	58,000	BB	Southern Natural Gas Co., Notes, 8.000% due 3/1/32		63,828
	110,000	BB	Tennessee Gas Pipeline Co., Debentures Notes, 7.625% due 4/1/37		117,449

			Total Energy Equipment & Services		764,748

Food Products — 0.1%
			Kraft Foods Inc.:
			Senior Unsecured Notes:
	600,000	BBB+	6.500% due 8/11/17		626,390
	675,000	BBB+	6.125% due 2/1/18		684,829

			Total Food Products		1,311,219

Gas Utilities — 0.0%

	200,000	BBB	CenterPoint Energy Resources Corp., Notes, 6.150% due 5/1/16		207,039

Health Care Providers & Services — 0.4%

	50,000	BBB	AmerisourceBergen Corp., Company Guaranteed Notes, 5.875% due 9/15/15		49,195
	140,000	B+	DaVita Inc., Company Guaranteed Notes, 6.625% due 3/15/13		137,900
			HCA Inc.:
	120,000	B−	Debentures Notes, 7.190% due 11/15/15		103,460
			Secured Notes:
	1,260,000	BB−	9.250% due 11/15/16 (b)		1,294,650
	63,000	BB−	9.625% due 11/15/16 (j)		65,205
			Senior Unsecured Notes:
	30,000	B−	7.875% due 2/1/11		29,700
	200,000	B−	6.250% due 2/15/13		174,500
	29,000	B−	6.500% due 2/15/16		24,650
			Tenet Healthcare Corp.:
			Senior Notes:
	76,000	B	6.375% due 12/1/11		68,495
	311,000	B	9.875% due 7/1/14		291,951
	940,000	A−	UnitedHealth Group Inc., Senior Unsecured Notes, 5.250% due 3/15/11		967,406
			WellPoint Inc.:
	150,000	A−	5.950% due 12/15/34		135,294

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Health Care Providers & Services — 0.4% — (continued)

			Senior Unsecured Notes:
$	910,000	A−	5.000% due 1/15/11	$	934,067
	30,000	A−	5.875% due 6/15/17		30,490

			Total Health Care Providers & Services		4,306,963

Hotels, Restaurants & Leisure — 0.0%
			Boyd Gaming Corp.:
			Senior Subordinated Notes:
	25,000	BB	6.750% due 4/15/14		20,750
	80,000	BB	7.125% due 2/1/16		65,600
	30,000	B	Inn of the Mountain Gods Resort & Casino, Company Guaranteed Notes, 12.000% due 11/15/10		29,700
			Mandalay Resort Group:
	20,000	BB	Notes, 7.000% due 11/15/36		20,125
	10,000	BB	Senior Unsecured Notes, 9.500% due 8/1/08		10,175
			MGM Mirage:
			Company Guaranteed Notes:
	35,000	BB	8.500% due 9/15/10		36,356
	20,000	BB	6.625% due 7/15/15		17,975
	130,000	BB	7.625% due 1/15/17		123,175
	30,000	BB	Senior Notes, 6.750% due 9/1/12		28,350
			Mohegan Tribal Gaming Authority:
	2,000	B	Company Guaranteed Notes, 6.375% due 7/15/09		1,990
	10,000	B	Senior Subordinated Notes, 8.000% due 4/1/12		9,750
	20,000	B+	River Rock Entertainment Authority, Secured Notes, 9.750% due 11/1/11		20,550
			Station Casinos Inc.:
	28,000	B+	Senior Notes, 6.000% due 4/1/12		23,800
	5,000	B−	Senior Subordinated Notes, 6.875% due 3/1/16		3,175
	95,000	B+	Senior Unsecured Notes, 7.750% due 8/15/16		79,562

			Total Hotels, Restaurants & Leisure		491,033

Household Products — 0.0%

	20,000	B	American Achievement Corp., Senior Subordinated Notes, 8.250% due 4/1/12		18,200

Independent Power Producers & Energy Traders — 0.1%
			NRG Energy Inc.:
			Company Guaranteed Notes:
	115,000	B	7.250% due 2/1/14		112,556
	40,000	B	7.375% due 2/1/16		38,650
	15,000	B	7.375% due 1/15/17		14,475
			TXU Corp.:
	755,000	CCC	Notes, 6.550% due 11/15/34		537,800
			Senior Unsecured Notes:
	120,000	CCC	5.550% due 11/15/14		94,571
	160,000	CCC	6.500% due 11/15/24		115,641

			Total Independent Power Producers & Energy Traders		913,693

Industrial Conglomerates — 0.1%
			Tyco International Group SA:
			Company Guaranteed Notes:
	30,000	BBB	6.125% due 11/1/08		30,352
	10,000	BBB	6.125% due 1/15/09		10,221
	300,000	BBB	6.375% due 10/15/11		316,036
	420,000	BBB	6.000% due 11/15/13		441,831
	236,000	BBB	6.875% due 1/15/29		227,140

			Total Industrial Conglomerates		1,025,580

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Insurance — 0.8%

$	2,100,000	AA	American International Group Inc., Senior Unsecured Notes, 5.850% due 1/16/18 (b)	$	2,099,030
	245,000	AAA	Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.750% due 5/15/12		257,149
	1,540,000	BBB+	Metlife Inc., 6.400% due 12/15/36		1,335,251
	2,900,000	AA	Metropolitan Life Global Funding I, Notes, 3.110% due 5/17/10 (b)(f)		2,881,426
	720,000	BBB	Travelers Cos. Inc., 6.250% due 3/15/37		657,087
	1,200,000	BBB	United Dominion, 4.250% due 1/15/09		1,198,736

			Total Insurance		8,428,679

IT Services — 0.0%

	110,000	BBB−	Electronic Data Systems Corp., 7.125% due 10/15/09		115,046

Media — 1.0%

			Clear Channel Communications Inc.:
			Senior Notes:
	310,000	B−	5.500% due 9/15/14		204,854
	100,000	B−	4.900% due 5/15/15		64,088
	10,000	B−	Senior Unsecured Notes, 6.250% due 3/15/11		8,406
			Comcast Corp.:
			Company Guaranteed Notes:
	1,300,000	BBB+	6.750% due 1/30/11		1,375,537
	30,000	BBB+	8.375% due 3/15/13		33,719
	350,000	BBB+	6.500% due 1/15/15		365,586
	30,000	BBB+	6.500% due 1/15/17		31,215
	210,000	BBB+	8.875% due 5/1/17		247,882
	30,000	BBB+	5.875% due 2/15/18		29,821
	80,000	BBB+	7.050% due 3/15/33		81,939
	360,000	BBB+	6.500% due 11/15/35		345,440
	250,000	BBB+	6.450% due 3/15/37		238,790
	160,000	BBB−	COX Communications Inc., Notes, 3.875% due 10/1/08		159,846
			CSC Holdings Inc.:
	4,000	BB	Debentures Notes, 7.875% due 2/15/18		3,710
	65,000	BB	Senior Notes, 7.625% due 4/1/11		64,919
	70,000	BB−	DirecTV Holdings LLC/DirecTV Financing Co., Senior Notes, 8.375% due 3/15/13		72,450
			Echostar DBS Corp.:
			Company Guaranteed Notes:
	20,000	BB−	7.000% due 10/1/13		19,800
	50,000	BB−	6.625% due 10/1/14		48,250
	50,000	BB−	7.125% due 2/1/16		49,375
	145,000	BB−	Idearc Inc., Company Guaranteed Notes, 8.000% due 11/15/16		86,275
			Lamar Media Corp.:
			Company Guaranteed Notes:
	40,000	BB−	7.250% due 1/1/13		38,900
	50,000	BB−	6.625% due 8/15/15		46,250
			Liberty Media LLC:
	10,000	BB+	Senior Notes, 5.700% due 5/15/13		8,992
	640,000	BB+	Senior Unsecured Notes, 7.875% due 7/15/09		653,967
			News America Inc.:
			Company Guaranteed Notes:
	125,000	BBB+	8.500% due 2/23/25		145,422
	315,000	BBB+	7.625% due 11/30/28		346,571
	35,000	BBB+	6.200% due 12/15/34		33,565
	30,000	BBB+	Senior Unsecured Notes, 6.650% due 11/15/37		30,316
	70,000	BBB−	Rogers Cable Inc., Secured Notes, 6.750% due 3/15/15		74,185
	5,000	B+	Sun Media Corp., Company Guaranteed Notes, 7.625% due 2/15/13		4,825
			Time Warner Inc.:
			Company Guaranteed Notes:
	4,000,000	BBB+	3.300% due 11/13/09 (b)		3,869,532

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Media — 1.0% — (continued)

$	275,000	BBB+	6.875% due 5/1/12	$	291,286
	550,000	BBB+	5.850% due 5/1/17		544,392
	385,000	BBB+	7.700% due 5/1/32		414,912
	125,000	BBB+	Debentures Notes, 7.570% due 2/1/24		131,071
	50,000	BBB+	Senior Notes, 8.375% due 7/15/33		57,861
	280,000	BBB+	Turner Broadcasting System Inc., Senior Notes, 8.375% due 7/1/13		312,345

			Total Media		10,536,294

Metals & Mining — 0.1%

	100,000	A	Corp. Nacional del Cobre de Chile — CODELCO, Senior Notes, 4.750% due 10/15/14 (f)		99,129
	190,000	BB	Freeport-McMoRan Copper & Gold Inc., Senior Unsecured Notes, 8.375% due 4/1/17		201,875
			Steel Dynamics Inc.:
	90,000	BB+	Company Guaranteed Notes, 6.750% due 4/1/15		88,425
	45,000	BB+	Senior Notes, 7.375% due 11/1/12		45,788
	250,000	BBB	Teck Cominco Ltd., Notes, 6.125% due 10/1/35		201,243
			Vale Overseas Ltd.:

			Company Guaranteed Notes:
	40,000	BBB	8.250% due 1/17/34		44,132
	550,000	BBB	6.875% due 11/21/36		534,265

			Total Metals & Mining		1,214,857

Multiline Retail — 0.0%

	20,000	BBB−	JC Penney Corp. Inc., Debentures Notes, 7.400% due 4/1/37		19,227

Multi-Utilities — 0.1%


			Dominion Resources Inc./VA:
			Senior Notes:
	175,000	A−	5.125% due 12/15/09		180,260
	80,000	A−	4.750% due 12/15/10		82,587
	330,000	A−	5.700% due 9/17/12		349,997
	105,000	A−	Senior Unsecured Notes, 7.195% due 9/15/14		116,132
	175,000	BBB	Energy East Corp., 6.750% due 7/15/36		178,645

			Total Multi-Utilities		907,621

Office Electronics — 0.0%

	30,000	BBB−	Xerox Corp., Senior Unsecured Notes, 6.750% due 2/1/17		31,948

Oil, Gas & Consumable Fuels — 1.6%

	3,000,000	BBB	ABN Amro Bank/Deutschland for Gazprom, Senior Unsecured Notes, 9.625% due 3/1/13		3,447,900
			Anadarko Petroleum Corp.:
			Senior Unsecured Notes:
	1,125,000	BBB−	5.950% due 9/15/16		1,167,986
	710,000	BBB−	6.450% due 9/15/36		721,638
	670,000	A−	Apache Corp., Senior Unsecured Notes, 5.625% due 1/15/17		706,750
			Atlantic Richfield Co.:
	755,000	AA+	Debentures Notes, 9.125% due 3/1/11		880,476
	40,000	AA+	Notes, 5.900% due 4/15/09		41,215
			Chesapeake Energy Corp.:
			Company Guaranteed Notes:
	40,000	BB	6.375% due 6/15/15		38,900
	30,000	BB	6.250% due 1/15/18		28,800
			Compagnie Generale de Geophysique-Veritas:
			Company Guaranteed Notes:
	35,000	BB	7.500% due 5/15/15		35,350
	110,000	BB	7.750% due 5/15/17		111,375
	120,000	BB−	Complete Production Services Inc., Company Guaranteed Notes, 8.000% due 12/15/16		115,950
	80,000	A	Conoco Funding Co., Company Guaranteed Notes, 7.250% due 10/15/31		94,059
	355,000	A	ConocoPhillips Holding Co., Senior Notes, 6.950% due 4/15/29		408,815

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Oil, Gas & Consumable Fuels — 1.6% — (continued)

			Devon Financing Corp.:
			ULC, Company Guaranteed Notes:
$	940,000	BBB+	6.875% due 9/30/11	$	1,035,090
	75,000	BBB+	7.875% due 9/30/31		91,686
			El Paso Corp.:
	325,000	BB−	Senior Notes, 7.750% due 1/15/32		336,975
	227,000	BB−	Senior Unsecured Notes, 7.800% due 8/1/31		235,289
	9,000	BB	El Paso Natural Gas Co., 8.375% due 6/15/32		10,236
			Gaz Capital for Gazprom:
	350,000	BBB	Notes, 6.212% due 11/22/16 (f)		329,455
	300,000	BBB	Senior Unsecured Notes, 6.510% due 3/7/22 (f)		274,140
			Hess Corp.:
	460,000	BBB−	Notes, 7.300% due 8/15/31		521,156
			Senior Unsecured Notes:
	370,000	BBB−	6.650% due 8/15/11		403,800
	50,000	BBB−	7.875% due 10/1/29		59,516
	875,000	BBB−	Kerr-McGee Corp., Company Guaranteed Notes, 7.875% due 9/15/31		1,012,539
			Kinder Morgan Energy Partners LP:
	70,000	BBB	Senior Notes, 6.300% due 2/1/09		71,489
			Senior Unsecured Notes:
	300,000	BBB	6.750% due 3/15/11		320,094
	280,000	BBB	6.000% due 2/1/17		284,710
	55,000	BB+	OPTI Canada Inc., Company Guaranteed Notes, 8.250% due 12/15/14 (f)		54,588
	39,000	BB	Peabody Energy Corp., Company Guaranteed Notes, 6.875% due 3/15/13		39,926
	29,000	BBB+	Pemex Project Funding Master Trust, Company Guaranteed Notes, 6.625% due 6/15/35		30,475
			Petrozuata Finance Inc.:
	283,000	NR	8.220% due 4/1/17		284,415
	30,000	B	Company Guaranteed Notes, Series 8.22, 8.220% due 4/1/17 (f)		30,150
	1,455,000	BB	Sabine Pass LNG LP, Secured Notes, 7.250% due 11/30/13		1,433,175
	90,000	AAA	SeaRiver Maritime Inc., Company Guaranteed Notes, 0.000% due 9/1/12		76,252
	25,000	B1 (e)	SemGroup LP, Senior Notes, 8.750% due 11/15/15 (f)		23,375
	40,000	BB	Southern Natural Gas Co., Notes, 5.900% due 4/1/17		40,115
	49,000	BB+	Teekay Shipping Corp., Senior Notes, 8.875% due 7/15/11		52,430
			Williams Cos. Inc.:
	340,000	BB+	Debentures, 7.500% due 1/15/31		362,100
	353,000	BB+	Notes, 8.750% due 3/15/32		417,423
			Senior Unsecured Notes:
	80,000	BB+	7.875% due 9/1/21		87,600
	240,000	BB+	7.750% due 6/15/31		260,100
			XTO Energy Inc.:
			Senior Notes:
	540,000	BBB	7.500% due 4/15/12		608,237
	30,000	BBB	6.250% due 4/15/13		32,718
			Senior Unsecured Notes:
	40,000	BBB	5.650% due 4/1/16		41,239
	150,000	BBB	6.250% due 8/1/17		160,382
	120,000	BBB	6.750% due 8/1/37		128,273

			Total Oil, Gas & Consumable Fuels		16,948,362

Paper & Forest Products — 0.0%

	1,000	B+	Georgia-Pacific Corp., Notes, 8.125% due 5/15/11		995
	475,000	BBB	Weyerhaeuser Co., Notes, 6.750% due 3/15/12		493,989

			Total Paper & Forest Products		494,984

Pharmaceuticals — 0.1%

	800,000	AA	Abbott Laboratories, Senior Unsecured Notes, 5.600% due 11/30/17		845,075

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


Real Estate Investment Trusts (REITs) — 0.9%

$	675,000	BBB−	Brandywine Operating Partnership LP, Company Guaranteed Notes, 4.500% due 11/1/09	$	633,772
	625,000	BBB	BRE Properties Inc., Senior Unsecured Notes, 7.450% due 1/15/11		650,504
	1,100,000	BBB	Developers Diversified Realty Corp., Notes, 5.250% due 4/15/11		1,061,235
	700,000	BBB+	Duke Realty LP, Senior Unsecured Notes, 6.500% due 1/15/18		641,743
	1,100,000	BBB−	Equity One Inc., Company Guaranteed Notes, 3.875% due 4/15/09		1,075,357
			Forest City Enterprises Inc.:
	10,000	BB−	Notes, 7.625% due 6/1/15		9,450
	19,000	BB−	Senior Notes, 6.500% due 2/1/17		16,910
			Health Care Property Investors Inc.:
			Senior Notes:
	820,000	BBB	5.950% due 9/15/11		797,227
	700,000	BBB	6.450% due 6/25/12		687,639
	9,000	BBB−	Health Care REIT Inc., Notes, 8.000% due 9/12/12		9,298
	30,000	BB	Host Marriott LP, Company Guaranteed Notes, 6.750% due 6/1/16		28,575
	300,000	BBB	iStar Financial Inc., Senior Unsecured Notes, 5.800% due 3/15/11 (b)		264,641
	1,700,000	BBB−	Nationwide Health Properties Inc., Notes, 7.920% due 3/18/09		1,756,423
	330,000	CCC+	Realogy Corp., Senior Subordinated Notes, 12.375% due 4/15/15 (d)		176,550
			Rouse Co.:
	980,000	BB−	3.625% due 3/15/09		932,974
	325,000	BB−	5.375% due 11/26/13		266,017
	800,000	BBB	UDR Inc., 5.000% due 1/15/12		778,847
			Ventas Realty LP/Ventas Capital Corp.:
			Company Guaranteed Notes:
	10,000	BBB−	8.750% due 5/1/09		10,275
	30,000	BBB−	6.750% due 6/1/10		30,375
	30,000	BBB−	9.000% due 5/1/12		32,250
	20,000	BBB−	6.750% due 4/1/17		19,800

			Total Real Estate Investment Trusts (REITs)		9,879,862

Road & Rail — 0.0%

	10,000	B	Kansas City Southern Railway, Company Guaranteed Notes, 9.500% due 10/1/08		10,275
	20,000	BBB+	Norfolk Southern Corp., Senior Notes, 6.750% due 2/15/11		21,593
			Union Pacific Corp.:
			Notes:
	45,000	BBB	6.650% due 1/15/11		48,005
	140,000	BBB	5.375% due 5/1/14		143,036

			Total Road & Rail		222,909

Specialty Retail — 0.0%

	60,000	B+	Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes, 6.875% due 12/15/13		58,500

Textiles, Apparel & Luxury Goods — 0.0%

	30,000	B+	Oxford Industries Inc., Company Guaranteed Notes, 8.875% due 6/1/11		28,950

Thrifts & Mortgage Finance — 0.1%

	1,375,000	BBB+	Countrywide Financial Corp., Company Guaranteed Notes, 5.104% due 3/24/09		1,233,209

Tobacco — 0.1%
			Altria Group Inc.:
	300,000	BBB	Debentures Notes, 7.750% due 1/15/27		374,915
	145,000	BBB	Senior Unsecured Notes, 7.000% due 11/4/13		168,589
	85,000	BBB	Reynolds American Inc., Company Guaranteed Notes, 7.250% due 6/1/12		90,833

			Total Tobacco		634,337

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount			Rating‡	Security	Value


Wireless Telecommunication Services — 0.1%
				Nextel Communications Inc.:
				Company Guaranteed Notes:
$	700,000		BBB−	6.875% due 10/31/13	$	549,915
	15,000		BBB−	5.950% due 3/15/14		11,188
	60,000		BBB−	7.375% due 8/1/15		46,533
	10,000		BBB−	Rogers Wireless Inc., Secured Notes, 6.375% due 3/1/14		10,413
	225,000		A−	Vodafone Group PLC, 6.150% due 2/27/37		215,173
	105,000		BB	Windstream Corp., Company Guaranteed Notes, 8.625% due 8/1/16		107,363

				Total Wireless Telecommunication Services		940,585

				TOTAL CORPORATE BONDS & NOTES (Cost — $203,438,817)		201,529,316

MUNICIPAL BONDS — 0.5%

California — 0.2%
				State of California, GO:
	700,000		A+	5.000% due 6/1/37 (b)		655,109
	1,100,000		A+	5.000% due 11/1/37 (b)		1,029,061
	200,000		A+	5.000% due 12/1/37 (b)		187,086

				Total California		1,871,256

Illinois — 0.0%

	170,000		AAA	Chicago IL, GO, Drivers, Series 1287, FSA-Insured, 6.991% due 1/1/14 (a)(b)(f)		105,633
	210,000		AA	Illinois State, GO, 5.100% due 6/1/33		206,224

				Total Illinois		311,857

New York — 0.0%

	130,000		AA+	New York City Municipal Water Finance Authority, Water & Sewer System Revenue, Drivers, Series 1289, 6.990% due 12/15/13 (a)(b)(f)(g)		83,963

Ohio — 0.1%

	1,000,000		BBB	Buckeye Ohio Tobacco Settlement, 5.750% due 6/1/34 (b)		914,230

Oregon — 0.1%

	600,000		A+	Oregon School Boards Association GO, Series A, FGIC-Insured, zero coupon bond to yield, 4.170% due 6/30/09 (k)		575,388

Virginia — 0.1%

	1,600,013		AAA	Virginia Housing Development Authority, Series C, 6.000% due 6/25/34		1,600,205

				TOTAL MUNICIPAL BONDS (Cost — $5,568,207)		5,356,899

SENIOR LOANS — 0.1%

	1,290,250		AAA	MGM Studios Term B1, 8.410% due 4/8/12		1,075,566

				TOTAL SENIOR LOANS (Cost — $1,290,250)		1,075,566

SOVEREIGN BONDS — 1.4%†

Brazil — 0.1%

	2,500,000	^BRL	BB+	Federative Republic of Brazil, 12.500% due 1/5/22		1,629,741

France — 0.3%

	1,800,000	^EUR	AAA	Government of France, 5.750% due 10/25/32		3,207,396

Germany — 0.3%
	1,800,000	^EUR	AAA	Bundesrepublik Deutschland, 6.250% due 1/4/30		3,404,074

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount			Rating‡	Security	Value


Hong Kong — 0.1%

$	1,000,000		AA	Hong Kong Government International Bond, 5.125% due 8/1/14 (b)(f)	$	1,067,814

Mexico — 0.2%
	45,000		BBB+	Mexico Government International Bond, 7.500% due 4/8/33		53,775
				United Mexican States:
	1,208,000		BBB+	6.750% due 9/27/34		1,330,612
	70,000		BBB+	Medium-Term Notes, 5.625% due 1/15/17		73,080
	275,000		BBB+	Series A, 6.375% due 1/16/13		299,612

				Total Mexico		1,757,079

Russia — 0.1%

	1,019,700		BAA2	Russian Federation, 7.500% due 3/31/30		1,167,117

South Korea — 0.1%

	1,050,000		A	Export-Import Bank of Korea, Notes, 4.901% due 10/4/11 (a)(b)(f)		1,052,978

United Kingdom — 0.2%

	900,000	^GBP	AAA	United Kingdom Treasury Notes, 4.250% due 3/7/11		1,794,299

				TOTAL SOVEREIGN BONDS (Cost — $14,031,883)		15,080,498

U.S. GOVERNMENT & AGENCY OBLIGATIONS — 14.9%
U.S. GOVERNMENT OBLIGATIONS — 14.2%

				U.S. Treasury Bonds:
	200,000			8.875% due 8/15/17		284,219
	5,177,000			8.125% due 8/15/19 (b)		7,208,973
	1,400,000			8.500% due 2/15/20 (b)		2,009,766
	670,000			8.750% due 8/15/20 (b)		983,749
	3,255,000			6.250% due 8/15/23		4,002,381
	1,865,000			6.625% due 2/15/27		2,411,678
	11,365,000			6.125% due 11/15/27		13,982,507
	370,000			4.750% due 2/15/37 (b)		389,945
	1,510,000			4.375% due 2/15/38		1,499,030
				U.S. Treasury Notes:
	1,400,000			4.625% due 3/31/08		1,399,613
	170,000			3.750% due 5/15/08 (b)		170,677
	280,000			4.625% due 7/31/09		292,075
	4,607,000			4.000% due 4/15/10		4,832,674
	1,290,000			4.500% due 11/15/10		1,382,518
	50,000			4.625% due 10/31/11		54,434
	130,000			4.500% due 3/31/12		141,334
	20,915,000			4.750% due 5/31/12		22,965,653
	380,000			4.625% due 7/31/12		415,595
	14,569,000			4.250% due 9/30/12		15,719,732
	14,952,000			3.625% due 12/31/12		15,724,136
	3,605,000			2.875% due 1/31/13		3,669,497
	6,890,000			2.750% due 2/28/13		6,972,363
	19,060,000			4.250% due 11/15/14 (b)		20,552,055
	14,600,000			5.125% due 5/15/16 (b)		16,450,097
	20,000			4.750% due 8/15/17 (b)		21,931
	2,855,000			4.250% due 11/15/17 (b)		3,018,940
	2,990,000			3.500% due 2/15/18		2,983,461
	2,470,000			5.000% due 5/15/37 (b)		2,708,318

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount		Rating‡	Security	Value


U.S. GOVERNMENT OBLIGATIONS — 14.2% — (continued)

			U.S. Treasury Strip Principal (STRIPS),
$	2,000,000		Zero coupon bond to yield, 5.396% due 11/15/24	$	935,802

			TOTAL U.S. GOVERNMENT OBLIGATIONS		153,183,153

U.S GOVERNMENT AGENCIES — 0.7%

	240,000	NR	Federal Agricultural Mortgage Corp.(FAMC), 4.250% due 7/29/08		241,419
	400,000	AAA	Federal Farm Credit Bank (FFCB), 4.875% due 4/4/12		427,013
	580,000	AAA	Federal Home Loan Bank (FHLB), 5.125% due 6/13/08		583,756
	1,109,000	NR	Federal Home Loan Bank (FHLB) (STRIP), 5.280% due 9/26/19		666,951
			Federal Home Loan Mortgage Corp. (FHLMC):
	380,000	AAA	4.750% due 1/18/11		400,325
	850,000	AAA	6.750% due 3/15/31		1,055,464
	470,000	AAA	5.625% due 11/23/35		485,551
			Federal National Mortgage Association (FNMA):
	670,000	AA−	5.250% due 8/1/12		717,270
	2,075,000	AA−	5.125% due 1/2/14		2,197,564
	1,170,000	AAA	5.550% due 2/16/17		1,229,014

			Total U.S GOVERNMENT AGENCIES		8,004,327

			TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $153,882,397)		161,187,480

U.S. TREASURY INFLATION PROTECTED SECURITIES — 2.1%

			U.S. Treasury Bonds, Inflation Indexed:
	200,000		4.500% due 3/31/09		206,203
	2,083,685		2.375% due 1/15/25 (b)		2,282,775
	973,581		2.000% due 1/15/26 (b)		1,013,133
	5,566,871		2.375% due 1/15/27 (b)(k)		6,139,218
			U.S. Treasury Notes, Inflation Indexed:
	3,703,665		2.375% due 4/15/11 (b)		4,006,906
	11,143		2.000% due 7/15/14		12,123
	140,377		1.875% due 7/15/15		151,267
	306,890		2.000% due 1/15/16		332,712
	1,268,837		2.500% due 7/15/16 (b)		1,428,829
	2,685,537		2.625% due 7/15/17		3,064,871
	3,559,159		1.750% due 1/15/28		3,569,449

			TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost — $20,663,225)		22,207,486

Shares

CONVERTIBLE PREFERRED STOCK — 0.0%

CONSUMER DISCRETIONARY — 0.0%
Automobiles — 0.0%

	3,000		General Motors Corp., 6.250% due 3/6/32		58,020

TELECOMMUNICATION SERVICES — 0.0%

Diversified Telecommunication Services — 0.0%
	35		McLeodUSA Inc., 2.500% due 4/18/12 (l)*		0

			TOTAL CONVERTIBLE PREFERRED STOCK (Cost — $74,125)		58,020

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Shares			Security	Value


PREFERRED STOCK — 0.0%

FINANCIALS — 0.0%
Diversified Financial Services — 0.0%
	100		Home Ownership Funding CP II, 1.000% (f)(g)	$	18,122

			TOTAL PREFERRED STOCK (Cost — $63,255)		18,122


Contracts			Security	Value


PURCHASED OPTIONS — 1.6%

United Kingdom — 0.8%

	256,600,000	^EUR	Swaption, 3 Month LIBOR, Call @ $4.18, expires 4/20/09	$	4,586,702
	47,200,000	^GBP	Swaption, 6 Month LIBOR, Call @ $7.00, expires 3/18/09		3,671,934

			Total United Kingdom		8,258,636

United States — 0.8%

	1,200,000	^EUR	Euro vs. U.S. Dollar, Put @ $1.38, expires 5/21/10		41,132
	1,200,000	^EUR	Euro vs. U.S. Dollar, Call @ $1.38, expires 5/21/10		165,835
	13,000,000		Fannie Mae TBA, Put @ $91.00, expires 4/7/08		104
	1,000,000		Fannie Mae TBA, Put @ $92.00, expires 5/6/08		28
	20,000,000		Fannie Mae TBA, Put @ $93.00, expires 5/6/08		3,920
	4,000,000		Fannie Mae TBA, Put @ $91.00, expires 4/7/08		12
	18,000,000		Swaption, 3 Month LIBOR, Call @ $4.50, expires 12/19/08		587,326
	54,700,000		Swaption, 3 Month LIBOR, Call @ $4.55, expires 9/19/08		1,990,570
	28,900,000		Swaption, 3 Month LIBOR, Call @ $5.00, expires 12/15/08		1,210,077
	18,000,000		Swaption, 3 Month LIBOR, Call @ $4.50, expires 12/19/08		587,326
	32,000,000		Swaption, 3 Month LIBOR, Call @ $3.75, expires 12/31/08		637,639
	21,600,000		Swaption, 3 Month LIBOR, Call @ $3.50, expires 2/2/09		341,909
	27,100,000		Swaption, 3 Month LIBOR, Call @ $4.25, expires 7/6/09		614,821
	28,000,000		Swaption, 3 Month LIBOR, Call @ $4.75, expires 9/26/08		1,117,505
	13,300,000		Swaption, 3 Month LIBOR, Call @ $4.75, expires 9/26/08		530,815
	8,000,000		Swaption, 3 Month LIBOR, Call @ $4.75, expires 9/26/08		319,287
	20,600,000		Swaption, 3 Month LIBOR, Call @ $3.15, expires 12/15/08		249,778
	6,400,000		Swaption, 3 Month LIBOR, Call @ $3.15, expires 12/15/08		77,601
	9,900,000	^JPY	U.S. Dollar vs. Japanese Yen, Call @ JPY118.00, expires 9/16/08		15,761
	2,000,000	^JPY	U.S. Dollar vs. Japanese Yen, Put @ JPY104.65, expires 3/31/10		142,838
	2,000,000	^JPY	U.S. Dollar vs. Japanese Yen, Call @ JPY104.65, expires 3/31/10		62,722
	287		U.S. Treasury Bonds Futures, Call @ $145.00, expires 5/23/08		4,484
	202		U.S. Treasury Notes 10 Year Futures, Put @ $86.00, expires 5/23/08		3,156
	450		U.S. Treasury Notes 10 Year Futures, Put @ $91.00, expires 5/23/08		7,031
	86		U.S. Treasury Notes 2 Year Futures, Call @ $114.00, expires 5/23/08		1,344
	139		U.S. Treasury Notes 2 Year Futures, Call @ $116.00, expires 5/23/08		973
	458		U.S. Treasury Notes 5 Year Futures, Call @ $124.00, expires 5/23/08		14,312

			Total United States		8,728,306

			TOTAL PURCHASED OPTIONS (Cost — $7,929,071)		16,986,942

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,244,584,004)		1,263,598,000

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Core Fixed Income Investments

Face
Amount †			Security	Value


SHORT-TERM INVESTMENTS (m) — 10.2%
COMMERCIAL PAPER — 4.4%
	5,300,000		Bank of America Corp., 3.058% due 3/14/08 (b)(k)		5,294,163
	4,495,000		BNP Paribas Finance Inc., 3.039% due 3/13/08 (k)		4,490,457
	8,300,000		Fortis Funding LLC, 3.108% due 3/25/08 (b)(f)(k)		8,282,847
	3,770,000		General Electric Capital Corp., 2.998% due 3/12/08 (k)		3,766,556
	8,400,000		Intesa Funding Discount 03/03/08, 3.051% due 3/3/08 (b)(k)		8,398,577
	2,005,000		Merrill Lynch Co., 3.139% due 3/26/08 (k)		2,000,645
			UBS Finance Delaware LLC:
	5,875,000		3.118% due 3/4/08 (k)		5,873,477
	3,000,000		3.066% due 3/6/08 (b)(k)		2,998,725
	6,100,000		3.060% due 6/2/08 (b)(k)		6,052,174

			TOTAL COMMERCIAL PAPER (Cost — $47,157,620)		47,157,620


MONEY MARKET FUND — 2.3%

	24,968,410		BBH Securities Lending Trust (Cost — $24,968,410) (n)	$	24,968,410

REPURCHASE AGREEMENT — 0.1%

	1,000,000		Credit Suisse Securities (USA) LLC repurchase agreement dated 02/29/08, 2.109% due 03/3/08, Proceeds at maturity — $1,000,176; (Fully collateralized by U.S. Treasury Notes, 4.75% due 12/31/08; Market Value — ($1,023,482) (k)		1,000,000

TIME DEPOSITS — 2.2%

	14,818,859		Bank of America — London, 2.540% due 3/3/08		14,818,859
			BBH — Grand Cayman:
	240,688	^JPY	0.010% due 3/3/08		2,309
	108,721	^CAD	3.095% due 3/3/08		110,974
	5,614	^AUD	5.750% due 3/3/08		5,991
			Wachovia — London:
	354,155	^EUR	3.231% due 3/3/08		537,731
	286,203	^GBP	4.507% due 3/3/08		568,342
	7,878,846		Wells Fargo — Grand Cayman, 2.540% due 3/3/08		7,878,846

			TOTAL TIME DEPOSITS (Cost — $23,923,052)		23,923,052

U.S GOVERNMENT AGENCIES — 1.2%

	11,035,000		Federal Home Loan Bank (FHLB), Discount Notes 2.897% due 3/24/08 (k)		11,014,623
	140,000		Federal National Mortgage Association (FNMA), Discount Notes 2.921% due 4/23/08 (k)		139,402
	1,980,000		4.764% due 3/17/08 (k)		1,975,937

			TOTAL U.S GOVERNMENT AGENCIES (Cost — $13,129,962)		13,129,962

			TOTAL SHORT-TERM INVESTMENTS (Cost — $110,179,044)		110,179,044

			TOTAL INVESTMENTS — 127.1% (Cost — $1,354,763,048)		1,373,777,044
			Liabilities in Excess of Other Assets — (27.1%)		(293,105,426	)

			TOTAL NET ASSETS — 100.0%	$	1,080,671,618


†		Face amount denominated in U.S. dollars, unless otherwise noted.
‡		All ratings are by Standard & Poor’s Ratings Service, unless otherwise noted.
*		Non-income producing securities.
(a)		Variable rate security. Interest rate disclosed is that which is in effect at February 29, 2008.
(b)		All or a portion of this security is segregated for open futures contracts, extended settlements, written options, swap contracts, foreign currency contracts, TBA’s and short sales.
(c)		This security is traded on a to-be-announced (“TBA”) basis (See Note 1).

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Investments


(d)		All or a portion of this security is on loan (See Note 1).
(e)		Rating by Moody’s Investors Service. All ratings are unaudited.
(f)		Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security maybe resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.
(g)		Illiquid security.
(h)		Interest only security.
(i)		Rating by Fitch Ratings Service. All ratings are unaudited.
(j)		Payment-kind security for which part of the income earned maybe paid as additional principal.
(k)		Rate shown represents yield-to-maturity.
(l)		Security is valued in good faith at fair value by or under the direction of the Board of Trustees.
(m)		Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of each portfolio holdings would be 7.9%.
(n)		Represents investment of collateral received from securities lending transactions.
#		Aggregate cost for federal income tax purposes is substantially the same.

See pages 100 and 101 for definition of ratings.

Abbreviations used in this schedule:


CPI	—	Consumer Price Index
FGIC	—	Financial Guaranty Insurance Company
FSA	—	Financial Security Assurancy
GO	—	General Obligation
IO	—	Interest Only
LIBOR	—	London Interbank Offered Rate
MASTR	—	Mortgage Asset Securitization Transactions Inc.
PAC	—	Planned Facilities Authority
PFA	—	Public Facilities Authority
STRIPS	—	Separate Trading of Registered Interest and Principals

Summary of Investments by Security Type* (unaudited)


Mortgage-Backed Securities	47.0	%
Corporate Bonds & Notes	14.9
Collateralized Mortgage Obligations	14.8
U.S. Government & Agency Obligations	12.0
U.S. Treasury Inflation Protected Securities	1.7
Purchased Options	1.3
Sovereign Bonds	1.1
Asset-Backed Securities	0.4
Municipal Bonds	0.4
Senior Loans	0.1
Convertible Preferred Stock	0.0	**
Preferred Stocks	0.0	**
Short-Term Investments	6.3

	100.0	%


*		As a percentage of total investments.
**		Position represents less than 0.1%.

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Investments

Schedule of Written Options



Contracts			Security Name	Expiration Date		Strike Price		Value


United Kingdom

	14,500,000	^GBP	Swaption, 6 Month LIBOR, Put		3/18/09	$	7.00	$	3,276,718
	82,800,000	^EUR	Swaption, 6 Month LIBOR, Put		4/20/09		4.44		3,167,320

			Total United Kingdom						6,444,038

United States

	34		Eurodollar Futures, Put		9/15/08		97.25		56,525
	18,200,000		Swaption, 3 Month LIBOR, Call		9/19/08		5.05		1,243,417
	12,100,000		Swaption, 3 Month LIBOR, Put		9/26/08		4.95		760,558
	5,800,000		Swaption, 3 Month LIBOR, Call		9/26/08		4.95		364,565
	3,500,000		Swaption, 3 Month LIBOR, Call		9/26/08		4.95		219,996
	9,700,000		Swaption, 3 Month LIBOR, Call		12/15/08		5.20		699,049
	6,900,000		Swaption, 3 Month LIBOR, Call		12/15/08		4.30		231,747
	2,200,000		Swaption, 3 Month LIBOR, Call		12/15/08		4.30		73,890
	6,000,000		Swaption, 3 Month LIBOR, Call		12/19/08		5.00		372,805
	6,000,000		Swaption, 3 Month LIBOR, Call		12/19/08		5.00		372,805
	6,300,000		Swaption, 3 Month LIBOR, Call		12/31/08		5.22		454,967
	4,300,000		Swaption, 3 Month LIBOR, Call		12/31/08		5.22		310,533
	7,100,000		Swaption, 3 Month LIBOR, Call		2/2/09		4.60		310,829
	9,000,000		Swaption, 3 Month LIBOR, Put		7/6/09		4.90		460,682
	4,900,000		U.S. Dollar vs. Japanese Yen, Put		9/16/08		100.00		113,465
	34		U.S. Treasury Notes 10 Year, Put		3/20/08		112.50		2,125
	34		U.S. Treasury Notes 10 Year, Call		3/20/08		116.50		51,531
	39		U.S. Treasury Notes 10 Year, Put		5/23/08		113.00		22,547
	57		U.S. Treasury Notes 10 Year, Put		5/23/08		118.00		41,859

			Total United States						6,163,895

			TOTAL WRITTEN OPTIONS (Premiums received — $6,851,010)					$	12,607,933

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value



CORPORATE BONDS & NOTES — 88.0%

Aerospace & Defense — 0.9%

$	80,000	B+	Alliant Techsystem Inc., Senior Subordinated Notes, 6.750% due 4/1/16	$	78,600
	395,000	BB	Bombardier Inc., Notes, 6.300% due 5/1/14 (a)		377,225
	135,000	B	DRS Technologies Inc., Company Guaranteed Notes, 7.625% due 2/1/18		135,675
	355,000	BB+	L-3 Communications Corp., Senior Subordinated Notes, 5.875% due 1/15/15		347,012
	250,000	CCC	Vought Aircraft Industries Inc., Senior Notes, 8.000% due 7/15/11		232,812

			Total Aerospace & Defense		1,171,324

Airlines — 1.0%

	350,000	B+	Continental Airlines Inc., Pass Thru Certificates, 7.339% due 4/19/14		318,500
	665,000	B−	DAE Aviation Holdings Inc., Company Guaranteed Notes, 11.250% due 8/1/15 (a)		668,325
	78,526	B	Delta Air Lines Inc., Pass Thru Certificates, 8.954% due 8/10/14		73,422
	231,707	BB+	United Airlines Inc., Pass-Through Certificates, Series 2000-2, Senior Secured Notes, 7.032% due 10/1/10		231,186

			Total Airlines		1,291,433

Auto Components — 1.0%
			Allison Transmission:
			Company Guaranteed Notes:
	170,000	B−	11.000% due 11/1/15		146,200
	140,000	B−	11.250% due 11/1/15 (b)		115,850
	170,000	CCC	Keystone Automotive Operations Inc., Senior Subordinated Notes, 9.750% due 11/1/13		104,550
	245,000	B	Titan International Inc., Company Guaranteed Notes, 8.000% due 1/15/12		237,650
	876,000	CCC+	Visteon Corp., Senior Unsecured Notes, 8.250% due 8/1/10		733,650

			Total Auto Components		1,337,900

Automobiles — 1.3%

	90,000	CCC+	Ford Motor Co., Senior Unsecured Notes, 7.450% due 7/16/31		61,875
			General Motors Corp.:
	115,000	B−	Notes, 7.200% due 1/15/11 (c)		104,362
	645,000	B−	Senior Unsecured Notes, 7.700% due 4/15/16		514,387
	1,300,000	B−	Senior Unsubordinated Notes, 8.375% due 7/15/33 (c)		1,001,000

			Total Automobiles		1,681,624

Building Products — 0.8%
			Associated Materials Inc.:
	65,000	CCC	Company Guaranteed Notes, 9.750% due 4/15/12		64,675
	610,000	CCC	Senior Discount Notes, step bond to yield, 11.250% due 3/1/14 (c)		390,400
	315,000	CCC+	Dayton Superior Corp., Company Guaranteed Notes, 13.000% due 6/15/09 (c)		276,412
	100,000	BB−	KB Home, Senior Subordinated Notes, 8.625% due 12/15/08		100,500
	160,000	CCC+	Nortek Inc., Senior Subordinated Notes, 8.500% due 9/1/14		124,800
	250,000	CCC+	NTK Holdings Inc., Senior Discount Notes, step bond to yield, 10.750% due 3/1/14 (c)		133,750

			Total Building Products		1,090,537

Chemicals — 0.6%

	15,000	B	Arco Chemical Co., Debentures, 10.250% due 11/1/10 (d)		15,300
			Georgia Gulf Corp.:
			Company Guaranteed Notes:
	95,000	CCC+	9.500% due 10/15/14 (c)		72,200
	450,000	CCC	10.750% due 10/15/16 (c)		294,750
	80,000	B	Huntsman International LLC, Company Guaranteed Notes, 7.875% due 11/15/14		83,200
	480,000	B−	Montell Finance Co. BV, Debentures, 8.100% due 3/15/27		319,200
	27,000	BB+	Westlake Chemical Corp., Company Guaranteed Notes, 6.625% due 1/15/16		24,030

			Total Chemicals		808,680

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Commercial Services & Supplies — 3.7%

$	335,000	B−	ACE Cash Express Inc., Senior Notes, 10.250% due 10/1/14 (a)	$	276,375
	865,000	B−	Aramark Corp., Company Guaranteed Notes, 8.500% due 2/1/15		856,350
	475,000	B−	Cardtronics Inc., Company Guaranteed Notes, 9.250% due 8/15/13		450,062
	450,000	B	Cenveo Corp., Senior Subordinated Notes, 7.875% due 12/1/13		385,875
	767,000	B	DI Finance/DynCorp. International, Senior Subordinated Notes, 9.500% due 2/15/13		795,762
			Interface Inc.:
	350,000	B−	Company Guaranteed Notes, 9.500% due 2/1/14		362,250
	280,000	B+	Senior Notes, 10.375% due 2/1/10		294,000
	405,000	B−	Mobile Services Group Inc. / Mobile Storage Group Inc., Company Guaranteed Notes, 9.750% due 8/1/14		380,700
	450,000	B−	Rental Service Corp., Company Guaranteed Notes, 9.500% due 12/1/14		370,125
			RH Donnelley Corp.:
	340,000	B	Senior Discount Notes, step bond to yield, 6.875% due 1/15/13		202,300
			Senior Notes:
	100,000	B	8.875% due 1/15/16		60,000
	80,000	B	8.875% due 10/15/17		52,000
	290,000	BB−	Stewart Enterprises Inc., Senior Notes, 6.250% due 2/15/13		273,325
	120,000	CCC+	US Investigations Services Inc., Company Guaranteed Notes, 11.750% due 5/1/16		95,400

			Total Commercial Services & Supplies		4,854,524

Communication Equipment — 0.4%

	555,000	CCC+	Broadview Networks Holdings Inc., Senior Secured Notes, 11.375% due 9/1/12		541,125

Computers & Peripherals — 0.6%

	95,000	CCC+	Activant Solutions Inc., Company Guaranteed Notes, 9.500% due 5/1/16		79,325
			Sungard Data Systems Inc.:
			Company Guaranteed Notes:
	340,000	B−	9.125% due 8/15/13		344,250
	400,000	B−	10.250% due 8/15/15		400,000

			Total Computers & Peripherals		823,575

Consumer Finance — 2.8%
			Ford Motor Credit Co., LLC:
	600,000	B	Notes, 7.000% due 10/1/13		492,879
			Senior Notes:
	775,000	B	5.800% due 1/12/09		749,272
	295,000	B	9.875% due 8/10/11		273,265
			Unsecured Notes:
	160,000	B	8.625% due 11/1/10		146,598
	62,500	B	7.127% due 1/13/12		49,224
	240,000	B+	General Motors Acceptance Corp., Notes, 6.875% due 8/28/12		191,743
			GMAC LLC:
	860,000	B+	Bonds, 8.000% due 11/1/31		651,593
	740,000	B+	Notes, 6.750% due 12/1/14		558,071
	685,000	B+	Unsecured Notes, 6.000% due 4/1/11		552,964

			Total Consumer Finance		3,665,609

Containers & Packaging — 1.6%

			Graham Packaging Co. Inc., Company Guaranteed Notes:
	310,000	CCC+	8.500% due 10/15/12		279,775
	153,000	CCC+	9.875% due 10/15/14		131,197
	220,000	B−	Graphic Packaging International Corp., Senior Subordinated Notes, 9.500% due 8/15/13		208,450
	145,000	BB−	Greif Inc., Senior Unsecured Notes, 6.750% due 2/1/17		140,650
	130,000	NR	Newpage Holding Corp., Senior Notes, 14.098% due 11/1/13 (b)(e)		109,200
	520,000	B+	Owens-Illinois Inc., Debentures Notes, 7.500% due 5/15/10		534,300
	440,000	B	Plastipak Holdings Inc., Senior Notes, 8.500% due 12/15/15		412,500
	255,000	CC	Portola Packaging Inc., Company Guaranteed Notes, 8.250% due 2/1/12 (c)		160,650

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Containers & Packaging — 1.6% — (continued)

$	150,000	B−	Smurfit-Stone Container Enterprises Inc., Senior Unsecured Notes, 8.000% due 3/15/17	$	133,500

			Total Containers & Packaging		2,110,222

Diversified Consumer Services — 1.5%

	405,000	CCC+	Allied Security Escrow Corp., Notes, 11.375% due 7/15/11		357,412
			Education Management LLC / Education Management Corp.:
			Company Guaranteed Notes:
	45,000	CCC+	8.750% due 6/1/14		39,825
	150,000	CCC+	10.250% due 6/1/16		126,750
	870,000	B	Hertz Corp., Company Guaranteed Notes, 10.500% due 1/1/16		830,850
	250,000	CCC+	Pegasus Solutions Inc., Senior Notes, 10.500% due 4/15/15 (a)		211,875
	245,000	B−	Penhall International Corp., Senior Secured Notes, 12.000% due 8/1/14		207,025
	290,000	B−	TeamHealth Inc., 11.250% due 12/1/13		279,850

			Total Diversified Consumer Services		2,053,587

Diversified Financial Services — 9.9%

	880,000	CCC+	AAC Group Holding Corp., step bond to yield, 10.250% due 10/1/12		734,800
	260,000	B−	Advanta Capital Trust I, Company Guaranteed Notes, 8.990% due 12/17/26 (d)		170,300
	525,000	B+	AmeriCredit Corp.,Company Guaranteed Notes, 8.500% due 7/1/15		406,875
	630,000	B−	Basell AF SCA, Senior Subordinated Notes, 8.375% due 8/15/15		444,150
	105,000	CCC+	CCM Merger Inc., Notes, 8.000% due 8/1/13		92,400
	8,000,000	B3(f)	CDX North America High Yield, 8.750% due 12/29/12		7,520,000
	240,000	BBB+	Countrywide Financial Corp., Company Guaranteed Notes, 11.754% due 4/15/37 (e)		213,600
			Galaxy Entertainment Finance Co., Ltd.:
	510,000	B+	Company Guaranteed Notes, 9.875% due 12/15/12 (a)		510,000
	155,000	B+	Senior Notes, 9.377% due 12/15/10 (a)(e)		155,000
	570,000	B	Global Cash Access LLC/Global Cash Finance Corp., Senior Subordinated Notes, 8.750% due 3/15/12		551,475
			Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co.:
	200,000	B−	Senior Subordinated Notes, 9.750% due 4/1/17		199,500
	350,000	B−	Senior Unsecured Notes, 8.875% due 4/1/15 (b)		358,750
			LVB Acquisition Merger Sub Inc.:
			Company Guaranteed Notes:
	295,000	B−	10.000% due 10/15/17 (a)		306,431
	105,000	B−	11.625% due 10/15/17		103,819
	270,000	B−	Nuveen Investments Inc., Senior Unsecured Notes, 5.500% due 9/15/15		171,450
			Residential Capital LLC:
			Company Guaranteed Notes:
	135,000	CCC+	6.923% due 4/17/09		69,525
	80,000	B	7.875% due 6/30/10		46,000
	280,000	B	7.500% due 2/22/11		150,500
	180,000	B	8.875% due 6/30/15		96,300
	270,000	B−	Sensus Metering Systems Inc., Senior Subordinated Notes, 8.625% due 12/15/13		256,500
	200,000	BBB−	SLM Corp., Senior Unsecured Notes, 4.000% due 1/15/09		192,855
	105,000	B	Snoqualmie Entertainment Authority, 6.936% due 2/1/14		91,350
	130,000	CCC+	Vanguard Health Holding Co. I LLC, Company Guaranteed Notes, 11.250% due 10/1/15		95,875
	250,000	CCC+	Vanguard Health Holdings Co. II LLC, Senior Subordinated Notes, 9.000% due 10/1/14		240,000

			Total Diversified Financial Services		13,177,455

Diversified Telecommunication Services — 7.0%

			Cincinnati Bell Telephone Co.:
	885,000	B−	Company Guaranteed Notes, 8.375% due 1/15/14		854,025
	35,000	BB	Senior Debentures, 6.300% due 12/1/28		29,225
			Citizens Communications Co.:
	50,000	BB+	Debentures Notes, 7.050% due 10/1/46		36,750
			Senior Unsecured Notes:
	535,000	BB+	6.625% due 3/15/15		492,200
	160,000	BB+	7.875% due 1/15/27		143,200

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Diversified Telecommunication Services — 7.0% — (continued)

$	475,000	B−	Global Crossing UK Finance PLC, 10.750% due 12/15/14	$	482,125
	140,000	CCC	Hawaiian Telcom Communications Inc., Senior Subordinated Notes, Series B, 12.500% due 5/1/15 (c)		108,500
	190,000	BB−	IKON Office Solutions Inc., Senior Unsecured Notes, 7.750% due 9/15/15		189,287
	420,000	CCC+	Intelsat Bermuda Ltd, Senior Unsecured Notes, 11.250% due 6/15/16		420,525
	210,000	CCC+	Intelsat Corp., Company Guaranteed Notes, 9.000% due 6/15/16		211,050
			Level 3 Financing Inc.:
			Company Guaranteed Notes:
	270,000	CCC+	12.250% due 3/15/13		252,450
	970,000	CCC+	9.250% due 11/1/14		790,550
	243,000	NR	McLeodUSA Inc., 10.500% due 10/1/11 (a)		283,705
	400,000	B	Nordic Telephone Co. Holdings ApS, Secured Notes, 8.875% due 5/1/16		396,000
			Primus Telecommunications GP:
	215,000	NR	Notes, 3.750% due 9/15/10 (c)		122,012
	895,000	Caa3 (f)	Senior Notes, 8.000% due 1/15/14 (c)		407,225
			Qwest Communications International Inc.:
			Company Guaranteed Notes:
	9,000	B+	6.565% due 2/15/09		8,977
	685,000	B+	7.500% due 2/15/14		669,587
	180,000	BBB−	Senior Notes, 7.625% due 6/15/15		179,550
	850,000	B+	Senior Notes, Class B, 7.500% due 2/15/14		830,875
	475,000	NR	SAVVIS Inc., Senior Unsecured Notes, 3.000% due 5/15/12		373,469
	465,000	B	Syniverse Technologies Inc., Company Guaranteed Notes, 7.750% due 8/15/13		446,400
	635,000	CCC+	Time Warner Telecom Holdings Inc., Company Guaranteed Notes, 9.250% due 2/15/14		638,175
	555,000	B−	Virgin Media Finance PLC, Company Guaranteed Notes, 8.750% due 4/15/14		477,300
	460,000	B	Wind Acquisition Finance SA, Senior Bond, 10.750% due 12/1/15		468,050

			Total Diversified Telecommunication Services		9,311,212

Electric Utilities — 4.7%
			AES Corp.:
	77,000	BB+	Secured Notes, 8.750% due 5/15/13		80,850
			Senior Unsecured Notes:
	340,000	B	7.750% due 3/1/14		345,950
	290,000	B	7.750% due 10/15/15		295,800
	390,000	B	8.000% due 10/15/17		399,750
	735,000	B+	Aquila Inc., Senior Unsecured Notes, 6.911% due 7/1/12 (e)		907,725
			Edison Mission Energy:
	160,000	BB−	Senior Notes, 7.750% due 6/15/16		165,600
			Senior Unsecured Notes:
	100,000	BB−	7.200% due 5/15/19		98,500
	260,000	BB−	7.625% due 5/15/27		246,350
	118,147	BB	Elwood Energy LLC, Secured Notes, 8.159% due 7/5/26		117,947
	2,020,000	CCC+	Energy Future Holdings Corp., Company Guaranteed Notes, 11.250% due 11/1/17 (b)		1,984,650
	83,894	BB−	FPL Energy National Wind, Secured Notes, 6.125% due 3/25/19 (d)		84,140
	12,520	BB+	Midwest Generation LLC, Pass-Through Certificate, Series B, 8.560% due 1/2/16		13,334
	89,453	BB	Mirant Mid Atlantic LLC, Pass Thru Certificates, 9.125% due 6/30/17		98,957
	545,000	B−	Reliant Energy Inc., Senior Notes, 7.625% due 6/15/14		540,912
			Texas Competitive Electric Holdings Co. LLC:
			Company Guaranteed Notes:
	350,000	CCC	10.250% due 11/1/15 (a)		343,000
	530,000	CCC	10.500% due 11/1/16 (b)		511,450

			Total Electric Utilities		6,234,915

Electrical Equipment — 0.6%
	390,000	B	Coleman Cable Inc., Company Guaranteed Notes, 9.875% due 10/1/12		345,150
	530,000	B+	Superior Essex Communications LLC/Essex Group Inc., Senior Notes, 9.000% due 4/15/12		511,450

			Total Electrical Equipment		856,600

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Electronic Equipment & Instruments — 0.5%
$	355,000	BB−	Belden Inc., Senior Subordinated Notes, 7.000% due 3/15/17	$	347,012
	415,000	B+	Sanmina-SCI Corp., Company Guaranteed Notes, 7.741% due 6/15/14 (a)		383,875

			Total Electronic Equipment & Instruments		730,887

Energy Equipment & Services — 1.4%

	130,000	A−	ANR Pipeline Co., Debentures, 9.625% due 11/1/21		173,706
			Dynegy Holdings Inc.:
			Senior Unsecured Notes:
	565,000	B−	8.375% due 5/1/16		555,112
	240,000	B−	7.750% due 6/1/19		224,400
	65,000	B+	Gulfmark Offshore Inc., Company Guaranteed Notes, 7.750% due 7/15/14		66,462
	275,000	B	MarkWest Energy Partners LP / MarkWest Energy Finance Corp., Company Guaranteed Notes, 6.875% due 11/1/14		261,594
	45,000	BB+	Pride International Inc., Senior Unsecured Notes, 7.375% due 7/15/14		47,025
	20,000	B	Roseton/Danskammer, Pass Thru Certificates, 7.670% due 11/8/16		19,987
	268,000	BBB−	Transcontinental Gas Pipe Line Corp., Senior Notes, Series B, 8.875% due 7/15/12		306,190
	230,000	B−	VeraSun Energy Corp., Senior Notes, 9.375% due 6/1/17		171,350

			Total Energy Equipment & Services		1,825,826

Food & Staples Retailing — 0.2%

	185,000	BBB−	Delhaize America Inc., Debentures, 9.000% due 4/15/31		225,269

Food Products — 1.0%

	350,000	BB−	Constellation Brands Inc., Company Guaranteed Notes, 7.250% due 9/1/16		340,375
	335,000	B−	Dole Foods Co. Inc., 7.250% due 6/15/10		276,375
	680,000	CC	Merisant Co., Company Guaranteed Notes, 9.500% due 7/15/13		465,800
	770,000	CC	Merisant Worldwide Inc., Senior Subordinated Notes, 12.250% due 5/15/14		257,950

			Total Food Products		1,340,500

Health Care Equipment & Supplies — 1.3%

	595,000	B−	Advanced Medical Optics Inc., Company Guaranteed Notes, 7.500% due 5/1/17		511,700
	470,000	B−	Bausch & Lomb Inc., Senior Unsecured Notes, 9.875% due 11/1/15 (a)		478,225
			Boston Scientific Corp.:
			Senior Unsecured Notes:
	405,000	BB+	6.400% due 6/15/16		374,625
	200,000	BB+	5.125% due 1/12/17		169,000
	140,000	B−	Invacare Corp., Company Guaranteed Notes, 9.750% due 2/15/15		142,100

			Total Health Care Equipment & Supplies		1,675,650

Health Care Providers & Services — 4.5%

	610,000	B−	Community Health Systems Inc., Company Guaranteed Notes, 8.875% due 7/15/15		601,612
			DaVita Inc.:
	305,000	B	Company Guaranteed Notes, 6.625% due 3/15/13		300,425
	220,000	B	Senior Subordinated Notes, 7.250% due 3/15/15		218,900
			HCA Inc.:
			Notes:
	120,000	B−	9.000% due 12/15/14		116,707
	190,000	B−	7.690% due 6/15/25		154,343
			Secured Notes:
	1,445,000	BB−	9.250% due 11/15/16		1,484,737
	860,000	BB−	9.625% due 11/15/16 (b)		890,100
	550,000	CCC+	Select Medical Corp., Company Guaranteed Notes, 7.625% due 2/1/15		453,750
	300,000	CCC+	Sun Healthcare Group Inc., Company Guaranteed Notes, 9.125% due 4/15/15		290,250
			Tenet Healthcare Corp.:
			Senior Notes:
	200,000	CCC+	6.375% due 12/1/11		180,250
	519,000	CCC+	9.875% due 7/1/14		487,211

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Health Care Providers & Services — 4.5% — (continued)

$	100,000	CCC+	Senior Unsecured Notes, 6.500% due 6/1/12	$	87,000
	385,000	CCC+	United Surgical Partners International Inc., Company Guaranteed Notes, 8.875% due 5/1/17		363,825
			Universal Hospital Services Inc.:
			Secured Notes:
	40,000	B+	8.373% due 6/1/15 (e)		37,800
	35,000	B+	8.500% due 6/1/15 (b)		35,088
	375,000	CCC+	US Oncology Holdings Inc., Senior Unsecured Notes, 15.327% due 3/15/12 (b)(e)		290,625

			Total Health Care Providers & Services		5,992,623

Hotels, Restaurants & Leisure — 5.6%

	130,000	B+	Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14		107,900
	140,000	NR	Buffets Inc., Company Guaranteed Notes, 12.500% due 11/1/14 (g)		4,200
	80,000	B−	Dennys Corp./Dennys Holdings Inc., Company Guaranteed Notes, 10.000% due 10/1/12		76,000
	60,000	B−	Downstream Development Authority of the Quapaw Tribe of Oklahoma, Secured Notes, 12.000% due 10/15/15		53,100
	65,000	CCC	El Pollo Loco, Company Guaranteed Notes, 11.750% due 11/15/13		60,775
	65,000	CCC+	Fontainebleau Las Vegas Holdings LLC/Fontainebleau Las Vegas Capital Corp, 10.250% due 6/15/15		47,125
	365,000	B−	Gaylord Entertainment Co., Company Guaranteed Notes, 8.000% due 11/15/13		337,625
	310,000	B	Indianapolis Downs LLC & Capital Corp., Secured Notes, 11.000% due 11/1/12 (a)		280,550
	410,000	B	Inn of the Mountain Gods Resort & Casino, Company Guaranteed Notes, 12.000% due 11/15/10		405,900
	730,000	B	Isle of Capri Casino Inc., Senior Subordinated Notes, 7.000% due 3/1/14		501,875
	180,000	BB	Las Vegas Sands Corp., Company Guaranteed Notes, 6.375% due 2/15/15		158,400
			Majestic Star Casino LLC/ Majestic Star Casino Capital Corp.:
	505,000	B+	Company Guaranteed Notes, 9.500% due 10/15/10		446,925
	190,000	CCC	Senior Unsecured Notes, 9.750% due 1/15/11		109,250
	525,000	B+	Mandalay Resort Group, Senior Subordinated Debts Notes, 7.625% due 7/15/13		497,438
			MGM Mirage:
			Company Guaranteed Notes:
	135,000	B+	8.375% due 2/1/11		136,350
	50,000	BB	7.500% due 6/1/16		46,750
			Mohegan Tribal Gaming Authority:
			Senior Subordinated Notes:
	130,000	B	8.000% due 4/1/12		126,750
	180,000	B	7.125% due 8/15/14		154,800
	535,000	B	MTR Gaming Group Inc., Company Guaranteed Notes, 9.750% due 4/1/10		521,625
	465,000	B+	OED Corp., Company Guaranteed Notes, 8.750% due 4/15/12		448,725
	750,000	B−	Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.250% due 3/15/12		716,250
	490,000	B+	River Rock Entertainment Authority, Secured Notes, 9.750% due 11/1/11		503,475
	250,000	CCC	Sbarro Inc., Senior Unsecured Notes, 10.375% due 2/1/15 (c)		206,250
	320,000	B	Shingle Springs Tribal Gaming Authority, Senior Notes, 9.375% due 6/15/15 (a)		286,400
			Station Casinos Inc.:
	15,000	B−	Senior Subordinated Notes, 6.625% due 3/15/18		9,263
	185,000	B	Senior Unsecured Notes, 7.750% due 8/15/16		154,938
	560,000	B	Trump Entertainment Resorts Inc., Senior Secured Notes, 8.500% due 6/1/15		392,000
	30,000	B+	Turning Stone Resort Casino Enterprise, Senior Notes, 9.125% due 9/15/14		29,100
	650,000	BBB−	Wynn Las Vegas Capital Corp., 1st Mortgage Notes, 6.625% due 12/1/14		627,250

			Total Hotels, Restaurants & Leisure		7,446,989

Household Durables — 1.4%

	20,000	BB+	American Greetings Corp., Senior Notes, 7.375% due 6/1/16		19,850
	230,000	B	Elizabeth Arden Inc., Company Guaranteed Notes, 7.750% due 1/15/14		221,950
	715,000	B−	Jarden Corp., Company Guaranteed Notes, 7.500% due 5/1/17		630,094
	205,000	B−	K Hovnanian Enterprises Inc., Company Guaranteed Notes, 6.250% due 1/15/16		140,425
	250,000	B+	Libbey Glass Inc., Senior Secured Notes, 11.913% due 6/1/11		251,875
	200,000	B−	Norcraft Cos. LP/Norcraft Finance Corp., Senior Subordinated Notes, 9.000% due 11/1/11		197,000
	415,000	B−	Norcraft Holdings LP/Norcraft Capital Corp., Senior Discount Notes, step bond to yield, 9.750% due 9/1/12		363,125

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Household Durables — 1.4% — (continued)

$	50,000	CCC+	Simmons Co., Senior Discount Notes, step bond to yield, 10.000% due 12/15/14	$	33,625

			Total Household Durables		1,857,944

Independent Power Producers & Energy Traders — 2.3%
			Mirant North America LLC:
	880,000	B−	Senior Notes, 7.375% due 12/31/13		887,700
	165,000	B−	Senior Unsecured Notes, 8.300% due 5/1/11		166,856
	1,310,000	B	NRG Energy Inc., Company Guaranteed Notes, 7.375% due 2/1/16		1,265,788
	680,000	B	Orion Power Holdings Inc., 12.000% due 5/1/10		741,200

			Total Independent Power Producers & Energy Traders		3,061,544

Insurance — 0.2%

	295,000	CCC+	HUB International Holdings Inc., Senior Notes, 9.000% due 12/15/14 (a)		234,525

Internet Software & Services — 0.3%

	405,000	NR	Terremark Worldwide Inc., Senior Notes, 6.625% due 6/15/13		344,250

IT Services — 0.1%

	130,000	CCC+	Ceridian Corp., Senior Unsecured Notes, 12.250% due 11/15/15 (b)		105,625

Leisure Equipment & Products — 0.2%

	450,000	CCC−	Six Flags Inc., Senior Notes, 9.750% due 4/15/13 (c)		285,750

Machinery — 0.3%

	100,000	B+	Terex Corp., Company Guaranteed Notes, 7.375% due 1/15/14		99,750
	375,000	CCC−	Thermadyne Holdings Corp., Company Guaranteed Notes, 10.500% due 2/1/14		324,375

			Total Machinery		424,125

Media — 4.2%
			Affinion Group Inc.:
	20,000	B−	Company Guaranteed Notes, 11.500% due 10/15/15		18,500
	250,000	B−	Senior Notes, 10.125% due 10/15/13		246,250
	460,000	CCC+	AMC Entertainment Inc., Senior Subordinated Notes, step bond to yield, 7.476% due 8/15/14 (e)		338,100
	629	CCC+	CanWest Media Inc., Senior Notes, 8.000% due 9/15/12 (d)		594
			CCH I Holdings LLC:
	45,000	CCC	Company Guaranteed Notes, step bond to yield, 12.125% due 1/15/15		23,175
	130,000	CCC	Senior Discount Notes, step bond to yield, 11.750% due 5/15/14 (c)		66,950
	1,902,000	CCC	Senior Secured Notes, 11.000% due 10/1/15 (c)		1,331,400
			CCH II LLC/CCH II Capital Corp.:
	23,000	CCC (h)	Company Guaranteed Notes, 10.250% due 10/1/13		20,298
	95,000	CCC	Senior Unsecured Notes, 10.250% due 9/15/10		87,400
	555,000	CCC	CCO Holdings LLC/ Capital Corp., 8.750% due 11/15/13		489,788
			Charter Communications Holdings Capital Corp., Senior Discount Notes, step bond to yield:
	240,000	CCC	11.750% due 5/15/11		150,000
	100,000	CCC	12.125% due 1/15/12		57,500
	355,000	CCC+	Cinemark Inc., Discount Notes, step bond to yield, 9.750% due 3/15/14		324,825
	135,000	CCC	CMP Susquehanna Corp., Company Guaranteed Notes, 9.875% due 5/15/14		89,944
	510,000	B+	CSC Holdings Inc., Senior Notes, 7.625% due 4/1/11		509,363
	240,000	BB−	DirecTV Holdings LLC/DirecTV Financing Co., Senior Notes, 8.375% due 3/15/13		248,400
	595,000	B+	Idearc Inc., Company Guaranteed Notes, 8.000% due 11/15/16		354,025
	425,000	B−	Mediacom LLC/Mediacom Capital Corp., 9.500% due 1/15/13		374,000
	275,000	NR	Sinclair Broadcast Group Inc., 6.000% due 9/15/12		247,156
	220,000	CCC	Sirius Satellite Radio Inc., Senior Unsecured Notes, 9.625% due 8/1/13		182,600
	60,000	B	Sun Media Corp., Company Guaranteed Notes, 7.625% due 2/15/13		57,900
			TL Acquisitions Inc.:
	270,000	CCC+	Senior Notes, 10.500% due 1/15/15		237,600
	110,000	CCC+	Senior Subordinated Notes, step bond to yield, 13.250% due 7/15/15		80,300

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Media — 4.2% — (continued)
			XM Satellite Radio Inc.:
$	85,000	CCC	Company Guaranteed Notes, 7.991% due 5/1/13 (e)	$	73,100
	5,000	CCC	Senior Notes, 9.750% due 5/1/14		4,588

			Total Media		5,613,756

Metals & Mining — 4.2%

	575,000	BB−	AK Steel Corp., Company Guaranteed Notes, 7.750% due 6/15/12		582,188
	290,000	BB−	Arch Western Finance LLC, Senior Secured Notes, 6.750% due 7/1/13		287,100
	120,000	B	Foundation PA Coal Co., Senior Unsecured Notes, 7.250% due 8/1/14		119,400
	2,060,000	BB	Freeport-McMoRan Copper & Gold Inc., Senior Unsecured Notes, 8.375% due 4/1/17		2,188,750
	90,000	CCC	Metals USA Holdings Corp., Senior Unsecured Notes, 10.729% due 7/1/12 (b)		67,050
	380,000	CCC+	Metals USA Inc., Company Guaranteed Notes, 11.125% due 12/1/15		377,150
	1,065,000	CCC+	Noranda Aluminium Acquisition Corp., Senior Unsecured Notes, 13.022% due 5/15/15 (a)(b)(e)		825,375
	80,000	CCC+	Noranda Aluminium Holding Corp., Senior Notes, 12.088% due 11/15/14 (b)(e)		57,200
	450,000	B+	Ryerson Inc., Secured Notes, 12.000% due 11/1/15		425,250
	155,000	BB+	Steel Dynamics Inc., Senior Notes, 7.375% due 11/1/12		157,713
	345,000	B−	Tube City IMS Corp., Company Guaranteed Notes, 9.750% due 2/1/15		306,188
	235,000	NR	WCI Steel Acquisition Inc., Senior Notes, 8.000% due 5/1/16		232,063

			Total Metals & Mining		5,625,427

Multiline Retail — 1.3%

	385,000	CCC+	Bon-Ton Stores Inc., Company Guaranteed Notes, 10.250% due 3/15/14 (c)		259,875
	580,000	B−	Carrols Corp., Company Guaranteed Notes, 9.000% due 1/15/13		530,700
	370,000	CCC+	Dollar General Corp., Senior Subordinated Notes, 11.875% due 7/15/17 (b)		307,100
			Michaels Stores Inc.:
			Company Guaranteed Notes:
	125,000	CCC	10.000% due 11/1/14 (c)		109,844
	100,000	CCC	11.375% due 11/1/16 (c)		83,250
			Neiman Marcus Group Inc.:
	455,000	B	Company Guaranteed Notes, 10.375% due 10/15/15 (c)		455,569
	30,000	BB+	Debentures Notes, 7.125% due 6/1/28		26,100

			Total Multiline Retail		1,772,438

Oil, Gas & Consumable Fuels — 9.7%
			Allis-Chalmers Energy Inc.:
			Company Guaranteed Notes:
	320,000	B	9.000% due 1/15/14		294,400
	235,000	B	8.500% due 3/1/17		206,800
	735,000	B	Belden & Blake Corp., Secured Notes, 8.750% due 7/15/12		738,675
	355,000	NR	Callon Petroleum Co., Senior Notes, 9.750% due 12/8/10		347,900
	245,000	BB	Chesapeake Energy Corp., Company Guaranteed Notes, 6.250% due 1/15/18		235,200
	500,000	BB−	Compagnie Generale de Geophysique-Veritas, Company Guaranteed Notes, 7.500% due 5/15/15		505,000
	235,000	B+	Complete Production Services Inc., Company Guaranteed Notes, 8.000% due 12/15/16		227,069
	825,000	B	Comstock Resources Inc., Company Guaranteed Notes, 6.875% due 3/1/12		771,375
	75,000	B+	Copano Energy LLC, Senior Notes, 8.125% due 3/1/16 (d)		76,875
			El Paso Corp.:
	500,000	BB−	Medium-Term Notes, 8.050% due 10/15/30		531,543
	350,000	BB−	Senior Unsecured Notes, 7.800% due 8/1/31		362,781
	535,000	B−	Energy Partners Ltd., Company Guaranteed Notes, 9.750% due 4/15/14		450,738
	190,000	BB	Enterprise Products Operating LP, 7.475% due 8/1/66 (e)		186,843
	420,000	B−	EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11		406,350
	335,000	B	Forbes Energy Services, Senior Secured Notes, 11.000% due 2/15/15		329,975
	220,000	B+	Helix Energy Solutions Group Inc., Senior Unsecured Notes, 9.500% due 1/15/16 (a)		221,100
	755,000	B−	International Coal Group Inc., Senior Notes, 10.250% due 7/15/14		717,250
	165,000	B	Key Energy Services Inc., Company Guaranteed Notes, 8.375% due 12/1/14 (a)		165,825

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Oil, Gas & Consumable Fuels — 9.7% — (continued)
			Mariner Energy Inc.:
			Senior Notes:
$	90,000	B	7.500% due 4/15/13	$	87,075
	280,000	B	8.000% due 5/15/17		270,200
	360,000	B−	North American Energy Partners Inc., 8.750% due 12/1/11		356,400
	645,000	B−	Parallel Petroleum Corp., Senior Notes, 10.250% due 8/1/14 (a)		638,550
	710,000	B	Petrohawk Energy Corp., Company Guaranteed Notes, 9.125% due 7/15/13		727,750
	710,000	B−	Petroquest Energy Inc., Company Guaranteed Notes, 10.375% due 5/15/12		720,650
	325,000	B+	Range Resources Corp., Company Guaranteed Notes, 7.500% due 5/15/16		337,188
	310,000	B1(f)	SemGroup L.P., Senior Notes, 8.750% due 11/15/15		289,850
	590,000	BB+	Southwestern Energy Co., Senior Notes, 7.500% due 2/1/18 (a)		610,650
	350,000	B−	Stone Energy Corp., Senior Subordinated Notes, 8.250% due 12/15/11		350,000
	445,000	B	United Refining Co., Company Guaranteed Notes, 10.500% due 8/15/12		448,338
	80,000	B−	W&T Offshore Inc., Company Guaranteed Notes, 8.250% due 6/15/14		75,200
	440,000	B	Whiting Petroleum Corp., Senior Subordinated Notes, 7.000% due 2/1/14		440,000
			Williams Cos. Inc.:
	160,000	BB+	Debentures, 7.500% due 1/15/31		170,400
	451,000	BB+	Notes, 8.750% due 3/15/32		533,308

			Total Oil, Gas & Consumable Fuels		12,831,258

Paper & Forest Products — 1.5%

	250,000	B	Appleton Papers Inc., Senior Subordinated Notes, Series B, 9.750% due 6/15/14		238,750
			Domtar Corp.:
			Company Guaranteed Notes:
	520,000	B+	7.125% due 8/15/15		491,400
	185,000	B+	9.500% due 8/1/16		187,775
	545,000	B	Mercer International Inc., Senior Unsecured Notes, 9.250% due 2/15/13		474,150
	110,000	B−	NCO Group Inc., Company Guaranteed Notes, 8.055% due 11/15/13 (e)		98,450
			Newpage Corp.:
	30,000	B−	Secured Notes, 10.000% due 5/1/12		30,225
	535,000	B−	Senior Secured Notes, 9.691% due 5/1/12 (e)		526,975

			Total Paper & Forest Products		2,047,725

Pharmaceuticals — 0.9%

	500,000	B−	Angiotech Pharmaceuticals Inc., Company Guaranteed Notes, 8.874% due 12/1/13		397,500
	585,000	D	Leiner Health Products Inc., Senior Subordinated Notes, 11.000% due 6/1/12 (g)		119,925
	170,000	B+	NBTY Inc., Company Guaranteed Notes, 7.125% due 10/1/15		162,350
	535,000	B+	Omnicare Inc., Company Guaranteed Notes, 6.750% due 12/15/13		478,825

			Total Pharmaceuticals		1,158,600

Real Estate Investment Trusts (REITs) — 0.8%

	95,000	B−	Ashton Woods USA LLC/Ashton Woods Finance Co., Company Guaranteed Notes, 9.500% due 10/1/15		48,925
			Forest City Enterprises Inc.:
	90,000	BB−	Notes, 7.625% due 6/1/15		85,050
	270,000	BB−	Senior Notes, 6.500% due 2/1/17		240,300
	200,000	BB	Host Hotels & Resorts Inc., Senior Notes, 2.625% due 4/15/27 (a)		169,000
			Realogy Corp.:
	210,000	CCC+	Senior Notes, 10.500% due 4/15/14 (c)		150,150
	290,000	CCC+	Senior Subordinated Notes, 12.375% due 4/15/15 (c)		155,150
			Ventas Realty LP/Ventas Capital Corp.:
			Company Guaranteed Notes:
	7,000	BBB−	8.750% due 5/1/09		7,193
	183,000	BBB−	9.000% due 5/1/12		196,725

			Total Real Estate Investment Trusts (REITs)		1,052,493

Road & Rail — 0.8%

	50,000	BB−	American Railcar Industries Inc., Senior Unsecured Notes, 7.500% due 3/1/14		46,000

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Road & Rail — 0.8% — (continued)

$	630,000	B2(f)	Kansas City Southern de Mexico SA de CV, Senior Note, 9.375% due 5/1/12	$	658,350
	300,000	B	Kansas City Southern Railway, Company Guaranteed Notes, 7.500% due 6/15/09		304,500

			Total Road & Rail		1,008,850

Semiconductors & Semiconductor Equipment — 0.3%

	235,000	NR	Conexant Systems Inc., Subordinated Notes, 4.000% due 3/1/26		160,975
	220,000	B−	Freescale Semiconductor Inc., Senior Unsecured Notes, 8.875% due 12/15/14		180,400

			Total Semiconductors & Semiconductor Equipment		341,375

Software — 0.3%

	520,000	B−	First Data Corp., Company Guaranteed Notes, 9.875% due 9/24/15		451,750

Specialty Retail — 0.7%

	115,000	CCC	Blockbuster Inc., Senior Subordinated Notes, 9.000% due 9/1/12 (c)		93,725
	180,000	B−	Payless Shoesource Inc., Company Guaranteed Notes, 8.250% due 8/1/13		164,700
	290,000	BB−	Rite Aid Corp., Secured Notes, 7.500% due 3/1/17		255,200
	440,000	B	Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes, 6.875% due 12/15/13		429,000

			Total Specialty Retail		942,625

Textiles, Apparel & Luxury Goods — 0.4%

	84,000	B	Oxford Industries Inc., Company Guaranteed Notes, 8.875% due 6/1/11		81,060
	390,000	B−	Perry Ellis International Inc., Company Guaranteed Notes, 8.875% due 9/15/13		372,450
	165,000	CCC+	Rafaella Apparel Group Inc., Secured Notes, 11.250% due 6/15/11		124,575

			Total Textiles, Apparel & Luxury Goods		578,085

Tobacco — 0.2%
			Alliance One International Inc.:
			Company Guaranteed Notes:
	180,000	B	8.500% due 5/15/12		169,200
	40,000	B	11.000% due 5/15/12		40,800

			Total Tobacco		210,000

Trading Companies & Distributors — 0.6%

	245,000	B	Ashtead Capital Inc., Senior Secured Notes, 9.000% due 8/15/16		203,350
	360,000	B+	H&E Equipment Services Inc., Senior Notes, 8.375% due 7/15/16		300,600
	273,000	B	Wesco Distribution Inc., Company Guaranteed Notes, 7.500% due 10/15/17		249,795

			Total Trading Companies & Distributors		753,745

Transportation Infrastructure — 0.2%
			Saint Acquisition Corp.:
			Secured Notes:
	470,000	B−	22.498% due 5/15/15 (e)		206,800
	125,000	B−	12.500% due 5/15/17		56,250

			Total Transportation Infrastructure		263,050

Wireless Equipment — 0.2%

	250,000	BB+	American Tower Corp., Senior Notes, 7.000% due 10/15/17		250,625

Wireless Telecommunication Services — 4.0%

	160,000	B−	ALLTEL Communications Inc., Senior Notes, 10.375% due 12/1/17 (b)		136,800
	870,000	CCC+	Centennial Communication Corp., Senior Notes, 10.000% due 1/1/13		843,900
	1,010,000	CCC	Cricket Communications Inc., Company Guaranteed Notes, 9.375% due 11/1/14		903,950
	325,000	B	GCI Inc., Senior Unsecured Notes, 7.250% due 2/15/14		270,563
			iPCS Inc.:
	230,000	CCC	Secured Notes, 7.909% due 5/1/14 (b)(e)		187,450
	80,000	B−	Senior Unsecured Notes, 7.523% due 5/1/13 (e)		64,400

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Rating‡	Security	Value


Wireless Telecommunication Services — 4.0% — (continued)

$	45,000	CCC	MetroPCS Wireless Inc., Senior Unsecured Notes, 9.250% due 11/1/14	$	39,825
	500,000	B+	Millicom International Cellular SA, Senior Notes, 10.000% due 12/1/13		536,250
			Rural Cellular Corp.:
	70,000	CCC	Senior Notes, 9.875% due 2/1/10		72,275
	90,000	CCC	Senior Subordinated Notes, 8.123% due 6/1/13 (e)		91,350
	1,415,000	CCC	Suncom Wireless Inc., 8.500% due 6/1/13		1,478,675
			Windstream Corp.:
			Company Guaranteed Notes:
	250,000	BB−	8.125% due 8/1/13		250,625
	435,000	BB−	8.625% due 8/1/16		444,788

			Total Wireless Telecommunication Services		5,320,851

			TOTAL CORPORATE BONDS & NOTES (Cost — $124,860,092)		116,784,482

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1%

	268,027	NR	Blackrock Capital Finance LP, Series 1996-R1, Class B3, 15.184% due 9/25/26 (e)		134,014
	72,424	NR	Ocwen Residential MBS Corp., Series 1998-R1, Class B4, 7.000% due 10/25/40 (i)		4,345

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $206,289)		138,359

Shares

COMMON STOCK — 0.0%

FINANCIALS — 0.0%
Diversified Financial Services — 0.0%

	289		Adelphia Recovery Trust (Cost — $26)*		19

PREFERRED STOCKS — 1.6%

FINANCIALS — 0.8%
Commercial Banks — 0.3%

	330		Bank of America Corp., 7.250%		353,100

Diversified Financial Services — 0.3%

	6,700		Federal Home Loan Mortgage Corp. (FHLMC), 8.120%		172,525
	11,825		Federal National Mortgage Association (FNMA), 8.250%		303,784

			Total Diversified Financial Services		476,309

Real Estate Investment Trusts (REITs) — 0.2%

	12,700		FelCor Lodging Trust Inc., 8.000%		255,270

			TOTAL FINANCIALS		1,084,679

INFORMATION TECHNOLOGY — 0.5%

Networking Products — 0.5%

	910		Lucent Technologies Capital Trust I, 7.750%		696,150

TELECOMMUNICATION SERVICES — 0.3%

Wireless Equipment — 0.3%

	5,900		Crown Castle International Corp., 6.250%		331,875

			TOTAL PREFERRED STOCKS (Cost — $2,303,255)		2,112,704

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $127,369,662)		119,035,564

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


High Yield Investments

Face
Amount		Security	Value


SHORT-TERM INVESTMENTS (j) — 12.4%

MONEY MARKET FUND — 4.9%
	6,557,786	BBH Securities Lending Trust
		(Cost — $6,557,786) (k)	$	6,557,786

TIME DEPOSITS — 7.5%

$	3,601,769	Bank of America — London, 2.540% due 3/3/08		3,601,769
	6,354,693	Wells Fargo — Grand Cayman, 2.540% due 3/3/08		6,354,693

		TOTAL TIME DEPOSITS (Cost — $9,956,462)		9,956,462

		TOTAL SHORT-TERM INVESTMENTS (Cost — $16,514,248)		16,514,248

		TOTAL INVESTMENTS — 102.1% (Cost — $143,883,910#)		135,549,812
		Liabilities in Excess of Other Assets — (2.1%)		(2,767,293	)

		TOTAL NET ASSETS — 100.0%	$	132,782,519


‡		All ratings are by Standard & Poor’s Ratings Service, unless otherwise noted.
*		Non-income producing securities.
(a)		Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security maybe resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.
(b)		Payment-kind security for which part of the income earned maybe paid as additional principal.
(c)		All or a portion of this security is on loan (See Note 1).
(d)		Illiquid security.
(e)		Variable rate securities. Coupon rates disclosed are those which are in effect at February 29, 2008.
(f)		Rating by Moody’s Investors Service. All ratings are unaudited.
(g)		Security is currently in default.
(h)		Rating by Fitch Ratings Service. All ratings are unaudited.
(i)		Security is valued in good faith at fair value by or under the direction of the Board of Trustees.
(j)		Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of each portfolio holdings would be 7.5%.
(k)		Represents investment of collateral received from securities lending transactions.
#		Aggregate cost for federal income tax purposes is substantially the same.

See pages 100 and 101 for definition of ratings.

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Fixed Income Investments

Face
Amount†			Security	Value

SOVEREIGN BONDS — 56.3%

Belgium — 0.3%

$	400,000	^EUR	Kingdom of Belgium, 5.750% due 3/28/08 (a)	$	653,559

Canada — 2.3%

	3,800,000	^CAD	Canada Housing Trust, 4.550% due 12/15/12 (a)(b)		4,041,025
	300,000	^CAD	Province of Ontario Canada, 6.200% due 6/2/31 (a)		369,704

			Total Canada		4,410,729

France — 11.3%
			Government of France:
	1,000,000	^EUR	3.000% due 7/12/08 (a)		1,513,002
	1,800,000	^EUR	4.000% due 10/25/14 (a)		2,790,544
	100,000	^EUR	4.750% due 4/25/35 (a)		156,117
	1,900,000	^EUR	5.500% due 4/25/29 (a)		3,262,292
	6,500,000	^EUR	6.500% due 4/25/11 (a)		10,788,460
	1,800,000	^EUR	Series A, 4.000% due 4/25/14 (a)		2,794,728

			Total France		21,305,143

Germany — 16.1%
			Bundesrepublik Deutschland:
	3,900,000	^EUR	4.250% due 1/4/14-7/4/14 (a)		6,160,776
	600,000	^EUR	4.750% due 7/4/34 (a)		950,346
	4,400,000	^EUR	5.000% due 7/4/12 (a)		7,110,980
	1,000,000	^EUR	5.500% due 1/4/31 (a)		1,739,727
	3,700,000	^EUR	5.625% due 1/4/28 (a)		6,492,326
	4,300,000	^EUR	6.250% due 1/4/24-1/4/30 (a)		8,034,325

			Total Germany		30,488,480

Greece — 3.2%

	3,500,000	^EUR	Hellenic Republic, 6.500% due 1/11/14 (a)		6,024,848

Italy — 0.9%

	1,050,000	^EUR	Buoni Poliennali Del Tesoro, 4.500% due 5/1/09 (a)		1,611,050

Japan — 9.7%

	220,000,000	^JPY	Japan-66, 1.100% due 9/20/12 (a)		2,140,603
			Japan Government:
	470,000,000	^JPY	2.300% due 6/20/35 (a)		4,548,808
	80,000,000	^JPY	2.400% due 3/20/34 (a)		791,929
	1,070,000,000	^JPY	2.500% due 9/20/35-9/20/37 (a)		10,763,305

			Total Japan		18,244,645

Netherlands — 3.4%
			Netherlands Government:
	200,000	^EUR	3.750% due 7/15/14 (a)		306,768
	4,000,000	^EUR	5.250% due 7/15/08 (a)		6,100,475

			Total Netherlands		6,407,243

Poland — 1.4%

	6,280,000	^PLN	Poland Government Bond, 6.000% due 5/24/09 (a)		2,704,422

Portugal — 3.2%

	4,000,000	^EUR	Portugal Obrigacoes do Tesouro, 3.250% due 7/15/08 (a)		6,056,990

Spain — 4.5%

	5,600,000	^EUR	Spanish Government, 3.600% due 1/31/09 (a)		8,498,117

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Fixed Income Investments

Face
Amount†			Security	Value


United Kingdom — 0.0%

$	30,000	^GBP	United Kingdom Treasury Gilt, 4.750% due 9/7/15 (a)	$	60,909

			TOTAL SOVEREIGN BONDS (Cost — $94,852,144)		106,466,135

COLLATERALIZED MORTGAGE OBLIGATIONS — 11.5%

	42,335,000		JLOC Ltd., Series 36A, Class A1, 1.156% due 2/16/16 (a)(b)		404,299
	45,084		ACE Securities Corp., Series 2006-HE1, Class A2A, 3.215% due 2/25/36 (a)		44,940
	41,861		Argent Securities Inc., Series 2006-W4, Class A-2A, 3.195% due 5/25/36 (a)		41,733
	5,385		Asset Backed Securities Corp. Home Equity, Series 06-HE3, Class A3, 3.195% due 3/25/36 (a)		5,368
	320,982		Banc of America Mortgage Securities Inc., Series 2004-4, Class 1A9, 5.000% due 5/25/34 (a)		313,896
			Bear Stearns Adjustable Rate Mortgage Trust:
	39,654		Series 2003-7, Class 6A, 4.652% due 10/25/33 (a)		39,697
	133,627		Series 2004-2, Class 22A, 4.431% due 5/25/34 (a)		132,046
	53,803		Series 2004-2, Class 23A, 4.641% due 5/25/34 (a)		52,704
	664,937		Series 2005-2, Class A1, 4.125% due 3/25/35 (a)		664,568
	297,780		Series 2005-2, Class A2, 4.125% due 3/25/35 (a)		295,652
	456,146		Series 2005-5, Class A1, 4.550% due 8/25/35 (a)		451,898
	418,955		Series 2005-5, Class A2, 4.550% due 8/25/35 (a)		412,949
			Bear Stearns Alt-A Trust:
	55,882		Series 2005-7, Class 22A1, 5.711% due 9/1/35 (a)		50,432
	674,280		Series 2006-6, Class 32A1, 5.808% due 11/25/36 (a)		557,518
	276,898		Bear Stearns Structured Products Inc., Series 2007-R6, Class 1A1, 5.681% due 1/26/36 (a)		269,199
	900,000		Commercial Mortgage Pass Through Certificates, Series 2006-CN2A, Class A2FL, 3.361% due 2/5/19 (a)(b)		845,891
	552,702		Countrywide Alternative Loan Trust, Series 2006-OA1, Class 2A1, 3.324% due 3/20/46 (a)		450,818
			Countrywide Asset-Backed Certificates:
	388,256		Series 2005-15, Class A, 3.245% due 10/25/46 (a)		379,283
	341,674		Series 2006-17, Class 2A1, 3.185% due 3/25/47 (a)		336,008
			Countrywide Home Loan Mortgage Pass Through Trust:
	27,586		Series 2004-12, Class 11A1, 6.141% due 8/25/34 (a)		27,230
	93,879		Series 2005-11, Class 3A1, 6.071% due 4/25/35 (a)(c)		90,915
	419,863		Series 2005-2, Class 1A1, 3.455% due 3/25/35 (a)(c)		370,910
	54,041		Series 2005-3, Class 2A1, 3.425% due 4/25/35 (a)(c)		50,739
	351,635		Series 2005-9, Class 1A3, 3.365% due 5/25/35 (a)(c)		321,518
	219,618		Series 2005-HYB9, Class 3A2A, 5.250% due 2/20/36 (a)		209,235
	134,759		CS First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 4.115% due 8/25/33 (a)		135,249
	73,174		CSAB Mortgage Backed Trust, 2006-1, Class A1A, 3.235% due 6/25/36 (a)		72,404
			Federal Home Loan Mortgage Corp., (FHLMC):
	717,855		Series 3174, Class FM, 3.361% due 5/15/36 (a)		709,891
	139,798		Structured Pass Through Securities Series T-35, Class A, 3.415% due 9/25/31 (a)(c)		139,741
	198,609		Structured Pass Through Securities, Series T-62, Class 1A1, 5.862% due 10/25/44 (a)(c)		201,663
	16,815		First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF1, Class 2A1, 3.225% due 1/25/36 (a)		16,756
			First Horizon Asset Securities Inc.:
	15,062		Series 2003-AR2, Class 2A1, 4.733% due 7/25/33 (a)		15,040
	61,784		Series 2003-AR4, Class 2A1, 4.395% due 12/25/33 (a)		61,799
	199,354		GMAC Mortgage Corp. Loan Trust, Series 2004-J4, Class A1, 5.500% due 9/25/34 (a)		202,824
			Government National Mortgage Association (GNMA):
	616,516		Series 2004-68, Class ZC, 6.000% due 8/20/34 (a)		626,995
	4,183,144		Series 2007-2, Class PA, 5.500% due 6/20/35 (a)		4,333,558
	48,609		GSR Mortgage Loan Trust, Series 2003-1, Class A2, 4.513% due 3/25/33 (a)		48,310
	109,615		Harborview Mortgage Loan Trust, Series 2003-1, Class A, 5.000% due 5/19/33 (a)		109,551
	308,331		Indymac Residential Asset Backed Trust, Series 2006-D, Class 2A1, 3.185% due 11/25/36 (a)		305,534
			JP Morgan Mortgage Trust:
	67,210		Series 2001-A1, Class 6T1, 5.023% due 2/1/35 (a)		66,531
	62,650		Series 2003-A2, Class 3A1, 4.391% due 11/25/33 (a)		62,546
			Lehman XS Trust:
	232,377		Series 2006-12N, Class A1A1, 3.215% due 8/25/46 (a)		229,693

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Fixed Income Investments

Face
Amount†			Security	Value


COLLATERALIZED MORTGAGE OBLIGATIONS — 11.5% — (continued)

$	229,762		Series 2006-GP1, Class A1, 3.225% due 5/25/46 (a)	$	226,081
	44,838		Long Beach Mortgage Loan Trust, Series 2004-4, Class 1A1, 3.415% due 10/25/34 (a)(c)		39,422
			Merrill Lynch Mortgage Investors Inc.:
	57,383		Series 2003-A2, Class 1A1, 6.781% due 2/25/33 (a)		57,449
	301,938		Series 2005-2, Class 1A, 4.250% due 10/25/35 (a)		295,958
	700,000		Permanent Financing PLC, Series 4, Class 5A2, 6.785% due 6/10/42 (a)		1,351,921
	632,254		Residential Accredit Loans Inc. Series 2006-Q03, Class A1, 3.345% due 4/25/46 (a)		546,104
	59,983		Residential Asset Securities Corp. Series 2006-EM X3, Class A1, 3.195% due 4/25/36 (a)		59,397
	301,908		Soundview Home Equity Loan Trust, Series 2006-EQ1, Class A1, 3.185% due 10/25/36 (a)		294,308
			Structured Adjustable Rate Mortgage Loan Trust:
	45,130		Series 2004-1, Class 4A1, 4.180% due 2/25/34 (a)		45,121
	85,112		Series 2004-4, Class 3A2, 4.590% due 4/25/34 (a)		85,353
			Structured Asset Mortgage Investments Inc.:
	186,673		Series 2005-AR2, Class 2A1, 3.365% due 5/25/45 (a)(c)		171,685
	207,188		Series 2005-AR8, Class A1A, 3.415% due 2/25/36 (a)		188,433
	718,220		Series 2006-AR3, Class 12A1, 3.355% due 5/25/36 (a)		617,613
	692,823		Thornburg Mortgage Securities Trust, Series 2006-5, Class A1, 3.255% due 9/25/46 (a)		664,931
			Wachovia Bank Commercial Mortgage Trust:
	500,000		Series 2006-C28, Class A4, 5.572% due 10/15/48 (a)		481,194
	617,546		Series 2006-WL7A, Class A1, 3.211% due 9/15/21 (a)(b)		591,598
			Washington Mutual Inc.:
	11,805		Series 2001-7, Class A, 5.984% due 5/25/41 (a)(c)		11,740
	4,793		Series 2002-AR9, Class 1A, 5.922% due 8/25/42 (a)(c)		4,529
	186,723		Series 2005-AR13, Class A1A1, 3.425% due 10/25/45 (a)		170,816
	312,614		Series 2006-AR13, Class 2A, 5.670% due 10/25/46 (a)		305,109
	432,556		Series 2006-AR3, Class A1A, 5.662% due 2/25/46 (a)		405,916
	188,533		Series 2006-AR4, Class 2A1A, 5.572% due 5/25/46 (a)		176,349
			Wells Fargo Mortgage Backed Securities Trust:
	632,465		Series 2006-AR2, Class 2A1, 4.950% due 3/25/36 (a)		635,182
	197,943		Series 2006-AR8, Class 1A1, 5.609% due 4/25/36 (a)		196,957

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $22,252,836)		21,780,697

CORPORATE BONDS & NOTES — 23.5%

Australia — 0.2%

	500,000		National Australia Bank, Subordinated Notes, 5.131% due 6/19/17 (a)		467,718

Bermuda — 0.2%

	400,000		Intelsat Ltd., Senior Notes, 5.250% due 11/1/08 (a)		405,000

Canada — 0.2%

	200,000	^CAD	HSBC Financial Corp Ltd., Company Guaranteed Notes, 4.200% due 5/3/12 (a)		204,923
	200,000	^CAD	Province of Quebec Canada, 5.750% due 12/1/36 (a)		231,797

			Total Canada		436,720

Cayman Island — 1.5%

	500,000	^EUR	Hutchison Whampoa Finance Ltd., 5.875% due 7/8/13 (a)		769,652
	1,000,000		Mizuho Finance, 8.375% due 12/31/49 (a)		1,020,392
			MUFG Capital Finance:
	900,000		1 Ltd., 6.346% due 12/31/49 (a)		782,334
	200,000	^EUR	2 Ltd., 4.850% due 12/31/49 (a)		245,581

			Total Cayman Island		2,817,959

Denmark — 1.6%

	2,400,000	^DKK	Nykredit A/S, 4.000% due 1/1/10 (a)		488,925
	1,100,000	^DKK	Realkredit Danmark, 4.000% due 1/1/10 (a)		224,343

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Fixed Income Investments

Face
Amount†			Security	Value


Denmark — 1.6% — (continued)

$	11,971,006	^DKK	Realkredit Danmark A/S, 5.000% due 10/1/38 (a)(c)	$	2,350,287

			Total Denmark		3,063,555

France — 0.5%

	300,000	^EUR	Caisse Nationale des Caisses d’Epargne et de Prevoyance, 6.117% due 12/31/49 (a)		412,593
	300,000	^EUR	France Telecom SA, Senior Unsubordinated Medium-Term Note, 7.250% due 1/28/13 (a)		502,765

			Total France		915,358

Germany — 0.1%

	100,000		Deutsche Telekom International Finance BV, Company Guaranteed Notes, 8.250% due 6/15/30 (a)		122,390

Greece — 0.3%

	370,000	^EUR	Public Power Corp. Notes,, 4.500% due 3/12/09 (a)		563,484

Iceland — 0.1%

	200,000		Landsbanki Islands HF, 3.793% due 8/25/09 (a)(b)		193,903

Italy — 0.6%

	720,000	^EUR	Telecom Italia SpA, Medium-Term Note, 6.250% due 2/1/12 (a)		1,112,908

Japan — 1.3%

	200,000	^EUR	Bank of Tokyo-Mitsubishi UFJ Ltd., 3.500% due 12/16/15 (a)		290,914
	400,000		Resona Bank Ltd., 5.850% due 12/31/49 (a)(b)		348,185
			Sumitomo Mitsui:
	100,000,000	^JPY	1.483% due 12/31/49 (a)		949,915
	100,000,000	^JPY	1.654% due 12/31/49 (a)		963,035

			Total Japan		2,552,049

Luxembourg — 0.5%

	100,000		VTB Capital SA, Senior Notes, 3.839% due 8/1/08 (a)		99,224
	567,000	^EUR	Hannover Finance Luxembourg SA, 5.000% due 12/31/49 (a)(c)		781,520

			Total Luxembourg		880,744

Netherlands — 0.4%

	700,000		Rabobank Nederland, Senior Notes, 4.278% due 1/15/09 (a)(b)		700,068

Spain — 2.3%

	2,000,000	^EUR	Banco Bilbao Vizcaya Arg, 3.750% due 11/23/11 (a)		3,016,773
	1,400,000		Santander Perpetual SA Unipersonal, 6.671% due 12/31/49 (a)(b)		1,411,386

			Total Spain		4,428,159

Switzerland — 0.5%

	900,000		UBS AG Stamford Branch, 5.875% due 12/20/17 (a)		953,952

United Kingdom — 1.8%

	100,000		Tate & Lyle International Finance PLC, 5.000% due 11/15/14 (a)(b)		97,196
			Barclays Bank PLC:
	1,400,000		Senior Unsubordinated Notes, 5.450% due 9/12/12 (a)		1,485,905
	200,000		Subordinated Notes, 6.050% due 12/4/17 (a)(b)		205,519
	200,000		HBOS PLC, 5.920% due 12/31/49 (a)(b)		170,580
	1,000,000		Royal Bank of Scotland Group PLC, Notes, 3.944% due 7/21/08 (a)(b)(c)		1,000,819
	100,000		XL Capital Europe PLC, 6.500% due 1/15/12 (a)		101,693
	300,000	^CAD	National Grid PLC, Medium-Term Note, 4.980% due 6/22/11 (d)		307,000

			Total United Kingdom		3,368,712

United States — 11.4%

	900,000	^EUR	Bank of America Corp., Subordinated Notes, 4.750% due 5/23/17 (a)		1,295,291
	1,900,000		Kinder Morgan Energy Partners LP, Senior Unsecured Notes, 5.950% due 2/15/18 (a)		1,920,492

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Fixed Income Investments

Face
Amount†			Security	Value


United States — 11.4% — (continued)

$	1,000,000		Macy’s Retail Holdings Inc. Company Guaranteed Notes, 5.900% due 12/1/16 (a)	$	916,321
	200,000		Sealed Air Corp., 6.950% due 5/15/09 (a)(b)		206,719
	100,000		DaimlerChrysler NA Holding Corp., Company Guaranteed Notes, 5.750% due 9/8/11 (a)		103,990
	200,000		DR Horton Inc., 4.875% due 1/15/10 (a)		185,500
	400,000		Mandalay Resort Group, Senior Unsecured Notes, 6.500% due 7/31/09 (a)		400,000
	100,000		HJ Heinz Finance Co., 6.000% due 3/15/12 (a)		105,600
	500,000		Wal-Mart Stores Inc., 4.891% due 6/16/08 (a)(c)		500,268
	540,000	^EUR	Pemex Project Funding Master Trust, 6.250% due 8/5/13 (a)(b)		844,588
	100,000		Ace INA Holdings Inc., 5.875% due 6/15/14 (a)		103,259
	500,000		American Express Medium-Term Note, 3.241% due 4/6/09 (a)		491,226
	900,000		Bank of America Corp., Senior Unsecured Notes, 5.750% due 12/1/17 (a)		921,434
	700,000		Bear Stearns Cos. Inc., Notes, 6.950% due 8/10/12 (a)		712,758
	100,000		Capital One Financial Corp., Medium-Term Note, 5.700% due 9/15/11 (a)		98,638
	200,000		CNA Financial Corp., 6.000% due 8/15/11 (a)		206,443
	400,000		El Paso Performance-Linked Trust, Notes, 7.750% due 7/15/11 (a)(d)		416,929
	500,000		General Electric Capital Corp., Notes, 5.031% due 3/16/09 (a)		499,437
	900,000		Genworth Global Funding Trusts, 5.051% due 2/10/09 (a)		892,464
			GMAC LLC:
	200,000		Notes, 6.034% due 9/23/08 (a)		192,047
	200,000		Notes, 6.750% due 12/1/14 (a)		150,830
	100,000		Notes, 7.000% due 2/1/12 (a)		80,735
			Goldman Sachs Group Inc.:
	200,000		Senior Unsecured, 5.334% due 3/22/16 (a)		184,313
	1,000,000	^EUR	Senior Unsecured Notes, 5.375% due 2/15/13 (a)		1,514,793
	200,000		Subordinated Notes, 6.750% due 10/1/37 (a)		187,297
	300,000		HSBC Finance Corp., Medium-Term Note, 5.121% due 9/15/08 (a)		297,843
	300,000		IBJ Preferred Capital Co., 8.790% due 12/31/49 (a)(b)(c)		303,173
	300,000		iStar Financial Inc., 5.150% due 3/1/12 (a)		250,782
	1,500,000		JPMorgan Chase Bank NA, Subordinated Notes, 6.000% due 10/1/17 (a)		1,558,454
	300,000		JPMorgan Chase Capital XX, 6.550% due 9/29/36 (a)		270,313
	200,000		Mizuho JGB Investment LLC, 9.870% due 12/31/49 (a)(b)(c)		202,124
	900,000		Morgan Stanley, 3.206% due 2/9/09 (a)		893,887
	800,000		Popular North America Inc., Medium-Term Note, Series F, 5.046% due 4/6/09 (a)		779,415
	500,000		US BanCorp., Notes, 3.155% due 4/28/09 (a)		497,049
	1,000,000		Wachovia Bank NA Senior Unsecured Notes, 4.924% due 3/23/09 (a)		998,945
	200,000		Ryder System Inc., Medium-Term Note, 3.500% due 3/15/09 (a)		200,811
	100,000		Mastr Adjustable Rate Mortgages Trust, Series 2004-6, Class 4A4, 4.138% due 7/25/34 (a)		99,579
	39,894		WaMu Mortgage Pass Through Certificates, Series 2003-AR5, Class A7, 4.208% due 6/25/33 (a)		39,832
			AT&T Inc.:
	300,000		6.500% due 9/1/37 (a)		304,513
	1,500,000		Senior Unsecured Notes, 6.300% due 1/15/38 (a)		1,482,743
	200,000		Centerpoint Energy Inc., 5.875% due 6/1/08 (a)		200,561

			Total United States		21,511,396

			TOTAL CORPORATE BONDS & NOTES (Cost — $42,952,331)		44,494,075

MORTGAGE-BACKED SECURITIES — 23.7%

FHLMC — 1.0%
			Federal Home Loan Mortgage Corp., (FHLMC):
	218,128		4.000% due 6/15/22 (a)		218,340
	632,670		4.500% due 2/15/20 (a)		639,261
	1,000,000		Gold, 5.500% due 3/1/38 (e)		1,005,781

			TOTAL FHLMC		1,863,382

FNMA — 22.7%

			Federal National Mortgage Association (FNMA):
	149,894		3.235% due 1/25/21 (a)		149,508

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Fixed Income Investments

Face
Amount†			Security	Value


FNMA — 22.7% — (continued)

$	548,264		4.196% due 11/1/34 (a)	$	553,699
	20,760,452		5.500% due 5/1/34-10/1/37 (a)		20,907,420
	12,072,228		6.000% due 4/1/36-7/25/44 (a)		12,347,096
	902,586		6.500% due 11/1/36-7/1/37 (a)		936,003
	8,000,000		TBA, 5.500% due 4/1/38 (a)(e)		8,045,311

			TOTAL FNMA		42,939,037

			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $42,600,467)		44,802,419

MUNICIPAL BONDS — 0.6%

United States — 0.6%

	100,000		Tobacco Settlement Financing Corp./NJ, 5.00%, expires 6/1/41 (a)		80,695
	200,000		Buckeye Ohio Tobacco Settlement, 5.88%, expires 6/1/47 (a)		181,788
	100,000		Puerto Rico Sales Tax Financing Corp., 0.25%, expires 8/1/54 (a)(f)		6,069
	900,000		State of California, 5.00%, expires 11/1/37 (a)		841,959

			TOTAL MUNICIPAL BONDS (Cost — $1,179,064)		1,110,511

U.S. GOVERNMENT & AGENCY OBLIGATIONS — 1.3%

U.S. GOVERNMENT OBLIGATIONS — 1.3%
	600,000		U.S. Treasury Bonds, 4.375% due 2/15/38 (a)		595,641
			U.S. Treasury Notes:
	900,000		3.500% due 2/15/18 (a)		898,032
	900,000		4.250% due 11/15/17 (a)		951,680

			TOTAL U.S. GOVERNMENT OBLIGATIONS		2,445,353

			TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $2,403,285)		2,445,353

U.S. TREASURY INFLATION PROTECTED SECURITY — 0.4%

	624,906		U.S. Treasury Bonds, Inflation Indexed, 2.583% due 1/15/27 (a)(f) (Cost — $603,657)		689,154

Contracts

PURCHASED OPTIONS — 2.0%

Germany — 0.0%

	54	^EUR	Eurodollar Futures, Put @ $105.00, expires 5/23/08		820
	106	^EUR	Eurodollar Futures, Call @ $109.00, expires 5/23/08		3,187
	20	^EUR	Eurodollar Futures, Call @ $127.00, expires 5/23/08		914

			Total Germany		4,921

United Kingdom — 0.1%

	8,000,000	^GBP	Swaption, 3 Month LIBOR, Call @ $5.30, expires 3/14/08		90,148

United States — 1.9%

	2,200,000	^EUR	Euro vs. U.S. Dollar, Put @ $1.39, expires 7/8/10		86,943
	2,200,000	^EUR	Euro vs. U.S. Dollar, Call @ $1.39, expires 7/8/10		278,326
	4,000,000		Fannie Mae TBA, Put @ $86.00, expires 4/7/08		156
	1,000,000		Fannie Mae TBA, Put @ $86.00, expires 4/7/08		1
	1,000,000		Fannie Mae TBA, Put @ $89.50, expires 4/7/08		2
	3,000,000		Fannie Mae TBA, Put @ $91.00, expires 4/7/08		45
	2,000,000		Fannie Mae TBA, Put @ $93.00, expires 4/7/08		16
	14,000,000		Fannie Mae TBA, Put @ $95.00, expires 4/7/08		1,092
	900,000		Fannie Mae TBA, Call @ $105.00, expires 4/7/08		60
	1,000,000		Fannie Mae TBA, Call @ $106.00, expires 4/7/08		0
	8,000,000		Fannie Mae TBA, Put @ $84.00, expires 5/6/08		33,432
	6,500,000		Fannie Mae TBA, Call @ $105.00, expires 5/6/08		78

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


International Fixed Income Investments

Contracts			Security	Value


United States — 1.9% — (continued)

	3,700,000		Swaption, 3 Month LIBOR, Call @ $5.00, expires 8/28/09	$	120,262
	8,600,000		Swaption, 3 Month LIBOR, Call @ $5.00, expires 8/28/09		279,528
	47,800,000		Swaption, 3 Month LIBOR, Call @ $4.25, expires 7/6/09		613,838
	20,700,000		Swaption, 3 Month LIBOR, Call @ $3.50, expires 8/3/09		469,623
	17,600,000		Swaption, 3 Month LIBOR, Call @ $5.00, expires 8/28/09		572,057
	1,500,000		Swaption, 3 Month LIBOR, Call @ $4.75, expires 9/26/08		59,866
	5,800,000		Swaption, 3 Month LIBOR, Call @ $4.75, expires 9/26/08		231,483
	18,100,000		Swaption, 3 Month LIBOR, Call @ $4.75, expires 9/26/08		722,387
	10,000,000	^EUR	Swaption, 6 Month EUR LIBOR, Call @ $4.00, expires 9/14/09		135,612
	1,000,000		U.S Treasury Inflation Indexed, Put @ $85.50, expires 4/24/08		0
	1,000,000		U.S Treasury Inflation Indexed, Put @ $94.00, expires 4/24/08		0
	407		U.S Treasury Notes 10 Year Futures, Call @ $134.00, expires 5/23/08		6,360
	31		U.S. Treasury Bonds Futures, Call @ $145.00, expires 5/23/08		484
	28		U.S. Treasury Notes 10 Year Futures, Put @ $86.00, expires 5/23/08		438
	15		U.S. Treasury Notes 10 Year Futures, Put @ $90.00, expires 5/23/08		234
	469		U.S. Treasury Notes 5 Year Futures, Call @ $124.00, expires 5/23/08		14,656

			Total United States		3,626,979

			TOTAL PURCHASED OPTIONS (Cost — $1,466,594)		3,722,048

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $208,310,378)		225,510,392

Face
Amount †


SHORT-TERM INVESTMENTS — 4.1%

COMMERCIAL PAPER — 2.4%
	4,600,000		UBS Finance Delaware LLC, due 3.074% due 4/1/08 (Cost — $4,587,859) (a)(f)	$	4,587,859


TIME DEPOSITS — 1.3%

			BBH — Grand Cayman:
	68,410	^CAD	3.095% due 3/3/08		69,827
	473,657	^DKK	3.235% due 3/3/08		96,532
	43,787	^SEK	3.488% due 3/3/08		7,087
	77,099	^AUD	5.750% due 3/3/08		82,270
	11,925	^NZD	6.500% due 3/3/08		9,569
			Wachovia — London:
	19,245,993	^JPY	0.010% due 3/3/08		184,667
	138,576	^EUR	3.231% due 3/3/08		210,407
	114,836	^GBP	4.507% due 3/3/08		228,042
	1,472,420		Wells Fargo — Grand Cayman, 2.540% due 3/3/08		1,472,420

			TOTAL TIME DEPOSITS (Cost — $2,360,821)		2,360,821

U.S. GOVERNMENT OBLIGATION — 0.4%

	700,000		U.S. Treasury Bills, 2.168% due 4/17/08 (Cost — $698,025) (a)(f)(g)		698,025

			TOTAL SHORT-TERM INVESTMENTS (Cost — $7,646,705)		7,646,705

			TOTAL INVESTMENTS — 123.4% (Cost — $215,957,083#)		233,157,097
			Liabilities in Excess of Other Assets — (23.4%)		(44,145,524	)

			TOTAL NET ASSETS — 100.0%	$	189,011,573

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)

International Fixed Income Investments


†		Face amount denominated in U.S. dollars, unless otherwise noted.
(a)		All or a portion of this security is segregated for open futures contracts, extended settlements, written options, swap contracts, foreign currency contracts, TBA’s and short sales.
(b)		Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security maybe resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.
(c)		Variable rate security. Interest rate disclosed is that which is in effect at February 29, 2008.
(d)		Illiquid security.
(e)		This security is traded on a to-be-announced (“TBA”) basis (See Note 1).
(f)		Rate shown represents yield-to-maturity.
(g)		All or a portion of this security is held at the broker as collateral for open futures contracts.
#		Aggregate cost for federal income tax purposes is substantially the same.

See pages 100 and 101 for definitions of ratings.

Abbreviations used in this schedule:


EUR	—	Euro
LIBOR	—	London Interbank Offered Rate

Summary of Investments by Security Type* (unaudited)


Sovereign Bonds	45.7	%
Mortgage-Backed Securities	19.2
Corporate Bonds & Notes	19.1
Collateralized Mortgage Obligations	9.3
Purchased Options	1.6
U.S. Government & Agency Obligations	1.0
Municipal Bonds	0.5
U.S. Treasury Inflation Protected Securities	0.3
Short-Term Investments	3.3

	100.0	%


*		As a percentage of total investments.

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)

International Fixed Income Investments

Schedule of Options Written



Contracts			Security Name	Expiration Date		Strike Price		Value


United Kingdom

	2,000,000	^GBP	Swaption, 6 Month LIBOR, Call		3/14/08	$	4.85	$	4,917
	1,000,000	^GBP	Swaption, 6 Month LIBOR, Call		6/18/08		4.75		69,594

			Total United Kingdom						74,511

United States

	4,000,000		FNMA TBA 30 Year Call		5/1/08		5.50		39,272
	3,200,000	^EUR	Swaption, 3 Month EUR-LIBOR, Put		9/14/09		4.23		86,311
	1,000,000		Swaption, 3 Month LIBOR, Call		3/4/08		5.25		61,292
	1,300,000		Swaption, 3 Month LIBOR, Put		5/1/08		4.35		10,520
	1,300,000		Swaption, 3 Month LIBOR, Call		5/1/08		5.35		12,490
	600,000		Swaption, 3 Month LIBOR, Call		9/26/08		4.95		37,714
	2,500,000		Swaption, 3 Month LIBOR, Call		9/26/08		4.95		157,140
	7,600,000		Swaption, 3 Month LIBOR, Call		9/26/08		4.95		477,706
	6,900,000		Swaption, 3 Month LIBOR, Put		7/6/09		4.90		353,190
	20,800,000		Swaption, 3 Month LIBOR, Put		8/3/09		4.30		641,329
	2,900,000		Swaption, 3 Month LIBOR, Call		8/28/09		5.32		192,153
	5,900,000		Swaption, 3 Month LIBOR, Call		8/28/09		5.32		390,933
	1,200,000		Swaption, 3 Month LIBOR, Call		8/28/09		5.32		79,512
	11		U.S. Treasury Notes, 10 Year Futures, Call		3/20/08		118.00		8,594
	11		U.S. Treasury Notes, 10 Year Futures, Call		5/23/08		118.50		16,156

			Total United States						2,564,312

			TOTAL WRITTEN OPTIONS (Premiums received — $1,285,388)					$	2,638,823

Schedule of Securities Sold Short



Face
Amount		Security	Value


		Federal National Mortgage Association (FNMA)
$	8,000,000	5.000% due 3/01/38 (a)	$	7,878,752
	4,000,000	6.000% due 3/01/38 (a)		4,086,876
		U.S. Treasury Notes
	7,700,000	5.125% due 5/15/16		8,675,736
	3,700,000	4.625% due 11/15/16		4,034,735
	29,350,000	4.500% due 11/15/15-5/15/17		31,713,089

		TOTAL OPEN SHORT SALES (Proceeds — $56,012,020)	$	56,389,188


(a)		This security is traded on a to-be-announced (“TBA”) basis (See Note 1).

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Municipal Bond Investments

Face
Amount		Rating‡	Security	Value


MUNICIPAL BONDS — 98.3%

Alabama — 0.9%

$	1,000,000	Aaa (a)	Alabama State Board of Education, Revenue, Jefferson State Community College, AMBAC-Insured, 5.000% due 10/1/22	$	965,830

Alaska — 1.0%

	1,000,000	AA	Anchorage, AK, GO, Refunding School, FGIC-Insured, 6.000% due 10/1/09		1,047,280

Arizona — 1.0%

	1,000,000	Aaa (a)	Arizona Student Loan Acquisition Authority Student Loan Revenue, Refunding, Senior Series A-1, GTDSTD-Insured, AMT, 5.650% due 5/1/14 (b)		1,037,310

California — 10.2%

	225,000	AA−	California Housing Finance Agency Revenue, Multifamily Housing, Series B, 3.650% due 2/1/31 (c)		225,000
			California State:
	2,000,000	A+	GO, 5.000% due 3/1/24		1,925,400
	1,000,000	A+	GO, Refunding, 5.000% due 2/1/33		944,220
	1,100,000	AAA	Charter Oak, CA, GO, Unified School District Election 2000, Series B, FSA-Insured, Pre-refunded 7/1/13@100, 5.000% due 7/1/28 (d)		1,183,864
	1,110,000	AAA	Costa Mesa, CA, COP, Refunding, Public Facilities Project, MBIA-Insured, 5.000% due 10/1/18		1,144,221
	400,000	Aaa (a)	Irvine Ranch, California Water District Certificate Participation Dates-Cap Import Project, 2.900% due 8/1/16 (c)		400,000
	1,000,000	AAA	Los Angeles, CA, Department of Water & Power Waterworks Revenue, Series C, MBIA-Insured, 5.250% due 7/1/19		1,052,040
	1,000,000	A3 (a)	Rancho Mirage Joint Powers Financing Authority, Eisenhower Medical Center, Series A, 5.000% due 7/1/27		907,660
	2,865,000	AA	University of California, University Revenue, Series L, 5.000% due 5/15/20		2,956,451

			Total California		10,738,856

Colorado — 3.2%

	1,000,000	AA	Colorado Water Resources & Power Development Authority, Drinking Water Revenue, Refunding, Revolving Fund Series A, 5.500% due 9/1/22		1,070,320
	2,165,000	AA+	Longmont, CO, Sales & Use Tax Revenue, Refunding, 5.250% due 5/15/17		2,350,540

			Total Colorado		3,420,860

Connecticut — 0.1%

	135,000	AA	Connecticut State Health & Educational Facility Authority Revenue, University of Connecticut Foundation, Series B, 3.900% due 7/1/37 (c)		135,000

District of Columbia — 1.1%

	1,075,000	AAA	Metropolitan Washington, D.C., Airport Authority System, Refunding, Series D, FSA-Insured, AMT, 5.375% due 10/1/18 (b)		1,111,195

Florida — 7.9%

	1,500,000	AA+	Broward County, FL, GO, Parks & Land Preservation Project, 5.000% due 1/1/19		1,541,040
	1,000,000	AAA	Florida Municipal Loan Council Revenue, North Miami Beach Water Project, Series B, MBIA-Insured, 5.375% due 8/1/18		1,035,220
	1,000,000	AAA	Florida State Board of Education Lottery Revenue, Series C, FGIC-Insured, Pre-refunded 7/01/10 @101, 5.250% due 7/1/20 (d)		1,062,180
	1,315,000	AA	Miami-Dade County, FL, Transit Sales Surtax Revenue, XLCA-Insured, 5.000% due 7/1/16		1,378,751
	1,000,000	A+	Miami-Dade County, Fl, Water & Sewer Revenue, XLCA-Insured, 5.000% due 10/1/21		971,190
	1,075,000	AAA	Port St. Lucie, FL, Florida Stormwater Utility Revenue, MBIA-Insured, 5.000% due 5/1/23		1,067,034
			Tampa, Florida Utility Tax & Special Revenue:
	195,000	AAA	Series A, AMBAC-Insured — Prerefunded 10/1/12 @ 101, 5.250% due 10/1/19 (d)		212,170
	1,055,000	AAA	Series A, AMBAC-Insured, 5.250% due 10/1/19		1,087,810

			Total Florida		8,355,395

Georgia — 2.0%

	2,000,000	AAA	Augusta, GA, Water & Sewer Revenue, FSA-Insured, 5.000% due 10/1/21		2,064,820

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Municipal Bond Investments

Face
Amount		Rating‡	Security	Value


Hawaii — 2.5%

$	1,500,000	AAA	Hawaii State, GO, Series DI, FSA-Insured, 5.000% due 3/1/10	$	1,564,290
			Maui County, HI, GO:
	465,000	AA	Series A, Prerefunded 3/1/11 @100, 5.500% due 3/1/15 (d)		497,583
	535,000	AA	Series A, 5.500% due 3/1/15		559,851

			Total Hawaii		2,621,724

Illinois — 7.4%
			Chicago, IL:
	1,000,000	AAA	Housing Authority Capital Program Revenue, Refunding, FSA-Insured, 5.000% due 7/1/14		1,033,860
	1,000,000	AA−	Board of Education, GO, School Reform Board, Series A, FGIC-Insured, 5.250% due 12/1/20		1,020,430
			Illinois Finance Authority Revenue:
	1,095,000	A3 (a)	Refunding, DePaul University, Series A, 5.375% due 10/1/19		1,136,555
	2,000,000	A−	OBG Bradley University, XLCA, 5.000% due 8/1/34		1,796,280
	200,000	AAA	Refunding, Health Services, Series B, 3.260% due 5/15/35 (c)		200,000
	1,800,000	A−	Quincy, IL, OBG Blessing Hospital, 5.000% due 11/15/29		1,583,550
	1,000,000	AA−	University of Illinois, University Revenue, Auxiliary Facilities System, Series B, FGIC-Insured, 5.500% due 4/1/19		1,070,190

			Total Illinois		7,840,865

Indiana — 5.2%

	1,000,000	Aaa (a)	Allen County, IN, Public Library Building Corp., First Mortgage, MBIA-Insured, Prerefunded 1/15/11@ 101, 5.000% due 1/15/17 (d)		1,062,740
	1,250,000	AAA	Ball State University, Indiana University Revenue, Student Fee, Series N, FSA-Insured,, 5.000% due 7/1/22		1,263,450
	1,000,000	AAA	Indiana Health Facility Financing Authority Hospital Revenue, Refunding, Methodist Hospital Industry, Series A, Escrowed to Maturity, 5.750% due 9/1/15 (e)		1,014,860
	2,000,000	AAA	Indiana Transportation Finance Authority and Highway Revenue, Series A, Pre-refunded 6/1/13@100, 5.000% due 6/1/24 (d)		2,147,320

			Total Indiana		5,488,370

Iowa — 1.0%

	1,000,000	A	Des Moines, IA, Public Package Systems Revenue, Series A, FGIC-Insured, 5.750% due 6/1/13		1,044,030

Kansas — 1.0%

	1,065,000	AA	Kansas State Development Finance Authority Revenue, Kansas Transition Revolving Fund, 5.000% due 10/1/20		1,094,000

Maryland — 0.9%

	1,000,000	BBB−	Maryland Health & Higher Educational Facilities Authority Revenue, Washington County Hospital, 5.000% due 1/1/17		985,920

Massachusetts — 1.1%

	1,100,000	AAA	Massachusetts State Water Pollution Abatement Trust, Refunding, Pool PG, Series A, 5.250% due 8/1/19		1,188,231

Michigan — 2.8%
			Michigan State:
	1,000,000	AAA	House of Representatives, COP, AMBAC-Insured, Pre-refunded 8/15/14@100, 5.250% due 8/15/14 (d)		1,080,390
	1,730,000	AA+	Trunk Line, Refunding, Series A, 5.250% due 11/1/14		1,880,441

			Total Michigan		2,960,831

Minnesota — 1.9%

	960,079	AAA	Minneapolis & St. Paul, MN, Housing Finance Board Single Family Mortgage Revenue, Mortgage Backed Securities, Cityliving, Series A-3, GNMA & FNMA-Insured, 5.700% due 4/1/27		996,610
	1,000,000	A2 (a)	Minnesota State Higher EFA Revenue, University St. Thomas, Series Six-I, 5.000% due 4/1/23		973,130

			Total Minnesota		1,969,740

Missouri — 2.0%

	2,000,000	AAA	Missouri State Highways & Transit Commission, State Road Revenue, Second Lien, 5.250% due 5/1/18		2,153,420

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Municipal Bond Investments

Face
Amount		Rating‡	Security	Value


Nevada — 5.2%

$	1,500,000	AA+	Clark County, NV, GO, Refunding Food Control, FGIC-Insured, 4.750% due 11/1/24	$	1,399,305
	1,000,000	AA+	State of Nevada Highway Revenue, Motor Vehicle Fuel Tax, FGIC-Insured, 5.000% due 12/1/08		1,016,300
	2,000,000	A+	Truckee Meadows, Nevada, Water Authority, Water Revenue, XLCA-Insured, 4.875% due 7/1/34		1,803,580
	1,220,000	AAA	University of Nevada, University Revenue, Community College System, FSA-Insured, Prerefunded 7/1/10 @100, 5.250% due 7/1/16 (d)		1,284,453

			Total Nevada		5,503,638

New Jersey — 10.3%

	1,750,000	AA−	New Jersey Economic Development Authority Revenue, School Facilities Construction, Series O, 5.000% due 3/1/12		1,854,283
	3,000,000	AAA	New Jersey Environmental Infrastructure Trust, Refunding, Environmental Infrastructure, Series C, 5.000% due 9/1/21		3,107,370
	1,500,000	A+	New Jersey Health Care Facilities Financing Authority, Atlanticare Regional Medical Center, 5.000% due 7/1/27		1,391,295
			New Jersey State:
	1,000,000	AAA	Transportation Corp., COP, Series A, AMBAC-Insured, 5.500% due 9/15/15		1,071,150
	400,000	AAA	Educational Facilities Authority Revenue, Princeton University, Series F, 3.430% due 7/1/23 (c)		400,000
	3,000,000	AAA	Turnpike Authority, Refunding, Series A, FSA-Insured, 5.250% due 1/1/27		3,046,530

			Total New Jersey		10,870,628

New Mexico — 1.0%

	1,150,000	AAA	New Mexico Finance Authority Revenue, Senior Lien-Public Project Revolving Fund, Series E, MBIA-Insured, 5.000% due 6/1/29		1,100,596

New York — 4.9%
			New York City, NY:
	1,000,000	AA	Series D, 5.000% due 11/1/27		945,990
	200,000	AA+	Municipal Water Finance Authority, 3.780% due 6/15/33 (c)		200,000
	415,000	AA+	Municipal Water Finance Authority, Water & Sewer Systems Revenue, 3.780% due 6/15/35 (c)		415,000
	1,450,000	AA+	Municipal Water Finance Authority, Water & Sewer Systems Revenue, Series E, 5.000% due 6/15/38		1,384,649
			New York State:
	1,100,000	AAA	Urban Development Corp. Revenue, Refunding, Correctional Capital Facilities, Series A, FSA-Insured, 5.250% due 1/1/14		1,172,567
	1,000,000	AA−	Dormitory Authority Revenue, Series B, Mandatory Put 5/15/12 @ 100, 5.250% due 11/15/23		1,061,650

			Total New York		5,179,856

North Carolina — 1.0%

	1,000,000	AA	Johnston County, NC, GO, FGIC-Insured, 5.000% due 6/1/21		1,026,660

Ohio — 1.0%

	1,000,000	AAA	Springboro Community City School District, MBIA-Insured, Prerefunded 6/1/14 @100, 5.000% due 12/1/25 (d)		1,075,820

Oklahoma — 1.0%

	1,000,000	AAA	Oklahoma City, OK, Airport Trust, Series A, FSA-Insured, Prerefunded 7/1/10 @100, 5.250% due 7/1/21 (d)		1,053,980

Oregon — 1.0%

	1,000,000	AAA	Oregon State Department Administrative Services, COP, Series A, FSA-Insured, 5.000% due 5/1/24		997,740

Pennsylvania — 2.3%

	1,370,000	Aa2 (a)	Central Bucks, PA School District, GO, FGIC Insured, 5.000% due 5/15/21		1,377,795
	1,000,000	Aa3 (a)	Central York, PA, School District, GO, FGIC-Insured, Pre-refunded 6/1/12@100, 5.500% due 6/1/16 (d)		1,087,550

			Total Pennsylvania		2,465,345

Tennessee — 0.9%

	1,000,000	BBB+	Knox County, TN, Health & Housing Facilities Revenue, University Health System, 5.250% due 4/1/36		891,300

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Municipal Bond Investments

Face
Amount		Rating‡	Security	Value


Texas — 5.8%

$	1,150,000	Aaa (a)	Judson, Texas, GO Independant School District, PSF-GTD Insured, 5.000% due 2/1/20	$	1,181,556
			Texas State:
	460,000	AAA	Department of Housing & Community Affairs Residential Mortgage Revenue, Refunding, Series A, GNMA/FNMA-Insured, 6.200% due 7/1/19 (b)		474,370
	1,000,000	AAA	Transportation Commission, 5.000% due 4/1/27		971,240
	1,000,000	A+	University of North Texas, University Revenue, Financing System, FGIC-Insured, 5.000% due 4/15/18		1,020,410
	1,390,000	AAA	University of Texas, University Revenue, Financing Systems, Series D, Pre-refunded 8/15/14@106, 5.000% due 8/15/34 (d)		1,486,160
	1,000,000	AAA	Waxahachie, Texas, GO, Series A, FSA-Insured, 5.000% due 8/1/25		986,240

			Total Texas		6,119,976

Utah — 1.2%

	1,200,000	A+	South Ogden City, UT, Sales Tax Revenue, FGIC-Insured, Pre-refunded 5/1/14 @100, 5.250% due 5/1/29		1,309,776

Washington — 3.3%

	1,500,000	AAA	Central Puget Sound Regional Transportation Authority, Sales & Use Tax Revenue, Series A, AMBAC-Insured, 5.000% due 11/1/24		1,471,650
	2,000,000	AA+	King County, Washington School District No. 210 Federal Way, FGIC-Insured, 5.000% due 12/1/23		1,961,420

			Total Washington		3,433,070

Wisconsin — 6.2%

	1,200,000	BBB	Franklin, WI, Solid Waste Disposal Revenue, Waste Management Wisconsin Inc., Series A, 4.950% due 11/1/16		1,148,436
	1,000,000	A1 (a)	Sun Prairie, WI, Area School District, GO, FGIC-Insure, 5.625% due 4/1/16		1,030,970
			Wisconsin State:
	3,000,000	AA−	GO, Series D, 5.000% due 5/1/19		3,107,490
	1,340,000	BBB	HEFA Revenue, Refunding, Divine Savior Healthcare, 5.500% due 5/1/26		1,256,545

			Total Wisconsin		6,543,441

			TOTAL MUNICIPAL BONDS (Cost — $107,810,131)		103,795,503

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $107,810,131)		103,795,503



SHORT-TERM INVESTMENT TIME DEPOSITS — 0.0%

$	46,227		BBH — Grand Cayman, 2.540% due 3/3/08
			(Cost — $46,227)		46,227

			TOTAL INVESTMENTS — 98.3% (Cost — $107,856,358#)		103,841,730
			Other Assets in Excess of Liabilities — 1.7%		1,750,818

			TOTAL NET ASSETS — 100.0%	$	105,592,548


‡		All ratings are by Standard & Poor’s Ratings Service, unless otherwise noted.
(a)		Rating by Moody’s Investors Service. All ratings are unaudited.
(b)		Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT).
(c)		Variable rate securities. Coupon rates disclosed are those which are in effect at February 29, 2008.
(d)		Pre-Refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to be triple-A rated even if issuer has not applied for new ratings.
(e)		Bonds are escrowed to maturity by government securities and/or U.S. government agency securities and are considered by the Manager to be triple-A rated even if issuer has not applied for new ratings.
#		Aggregate cost for federal income tax purposes is substantially the same.

See Notes to Financial Statements.

Schedules of Investments

(unaudited) (continued)


Money Market Investments

Face
Amount		Security	Value


SHORT-TERM INVESTMENTS — 99.6%
CERTIFICATE OF DEPOSIT — 5.0%
$	3,000,000	Bank of Scotland PLC, 4.558% due 11/14/08	$	3,000,000
	1,250,000	BNP Paribas NY Branch, 3.253% due 4/3/08		1,249,906
	2,000,000	Manufacturers & Traders Trust Co., 3.215% due 6/26/08		1,999,396
	1,250,000	Natixiz NY Branch, 3.260% due 6/9/08		1,249,910

		TOTAL CERTIFICATE OF DEPOSIT		7,499,212

COMMERCIAL PAPER — 62.6%
	3,500,000	ANZ National (Int’l) Ltd., 4.740% due 5/7/08 (a)		3,469,841
	2,000,000	Astrazeneca PLC, 3.085% due 6/9/08 (a)		1,983,056
	3,000,000	Bank of Ireland, 3.234% due 4/18/08 (a)		2,987,160
	2,000,000	BASF AG, 2.921% due 4/28/08 (a)		1,990,656
	3,500,000	BP Capital Markets PLC, 3.001% due 3/3/08 (a)		3,499,417
	3,000,000	Bryant Park Funding LLC, 3.160% due 3/14/08 (a)		2,996,587
	3,000,000	CBA (Delaware) Finance, 3.016% due 4/15/08 (a)		2,988,750
	2,000,000	Crown Point Capital Co., 3.512% due 3/4/08 (a)		1,999,417
	2,000,000	Depfa Bank PLC, 3.076% due 4/8/08 (a)		1,993,540
	2,000,000	Edison Asset Securities LLC, 3.079% due 3/6/08 (a)		1,999,147
	2,000,000	Gemini Security Corp. LLC, 3.209% due 3/13/08 (a)		1,997,867
	5,000,000	General Electric Capital Corp., 2.998% due 3/12/08 (a)		4,995,508
	2,000,000	Greenwich Capital Holdings, 3.226% due 4/21/08 (a)		1,990,933
		Hartford Financial Services
	2,500,000	3.109% due 3/3/08 (a)		2,499,569
	3,500,000	3.074% due 3/11/08 (a)		3,497,015
	5,000,000	IBM Capital Inc., 2.757% due 3/27/08 (a)		4,990,069
	2,000,000	Irish Life & Permanent, 3.157% due 3/7/08 (a)		1,998,950
	2,000,000	Korea Development Bank NY, 3.338% due 3/24/08 (a)		1,995,758
	3,000,000	Lexington Parker Capital, 3.313% due 3/20/08 (a)		2,994,775
	3,500,000	Metlife Inc., 2.859% due 4/4/08 (a)		3,490,579
	2,000,000	Nestle Finance International Ltd., 2.794% due 4/16/08 (a)		1,992,896
	5,000,000	Praxair Inc., 2.903% due 3/10/08 (a)		4,996,375
	2,000,000	Royal Bank of Scotland PLC, 3.086% due 3/31/08 (a)		1,994,883
		Sumitomo Corp. of America
	3,500,000	4.451% due 3/3/08 (a)		3,499,141
	1,000,000	3.520% due 3/20/08 (a)		998,153
	3,500,000	Swedish Export Credit, 2.846% due 3/25/08 (a)		3,493,373
	3,500,000	Teachers Insurance & Annunity Association, 2.885% due 3/19/08 (a)		3,494,960
	3,000,000	Ticonderoga Funding LLC, 3.138% due 3/10/08 (a)		2,997,652
		Total Capital
	3,500,000	3.001% due 3/3/08 (a)		3,499,417
	3,500,000	4.140% due 3/31/08 (a)		3,488,042
	3,500,000	Unicredito Italiano Bank Ireland, 4.588% due 3/7/08 (a)		3,497,346
	3,000,000	Variable Funding Capital, 3.140% due 3/13/08 (a)		2,996,870

		TOTAL COMMERCIAL PAPER		93,307,702

CORPORATE NOTE — 0.9%
	1,250,000	Bank of America NA, 3.190% due 7/25/08		1,249,855

TIME DEPOSITS — 0.0%
	363	BBH — Grand Cayman, 2.540% due 3/3/08		363

U.S. GOVERNMENT AGENCIES — 31.1%

		Federal Home Loan Bank (FHLB), Discount Notes:
	28,574,000	2.000% due 3/3/08 (a)		28,570,825
	3,000,000	2.743% due 4/16/08 (a)		2,989,535
		Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes:
	4,000,000	2.681% due 4/3/08 (a)		3,990,210
	5,000,000	2.711% due 4/4/08 (a)		4,987,250

See Notes to Financial Statements.

Ratings

(unaudited)

Bond Ratings

The definitions of the applicable rating symbols are set forth below:

Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (−) sign to show relative standings within the major rating categories.


AAA		— Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong.
AA		— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A		— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB		— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC, CC and C		— Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D		— Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.

Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa” where 1 is the highest and 3 the lowest ranking within its generic category.


Aaa		— Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues.
Aa		— Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities.
A		— Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future.
Baa		— Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well.
Ba		— Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class.
B		— Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small.
Caa		— Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest.
Ca		— Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings.
C		— Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing.

Fitch Ratings Service (“Fitch”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (−) sign to show relative standings within the major rating categories.


AAA		— Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong.
AA		— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A		— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB		— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC, CC and C		— Bonds rated “BB”, “B”, “CCC” and “CC” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
NR		— Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch.

100

Statements of Assets and Liabilities

February 29, 2008 (unaudited)


	Large		Large		Small
	Capitalization		Capitalization		Capitalization
	Growth		Value Equity		Growth
	Investments		Investments		Investments


ASSETS:
Investments, at cost	$	2,160,372,319	$	1,734,662,581	$	413,378,243
Foreign currency, at cost		—		—		—

Investments, at value*	$	2,384,988,404	$	1,751,425,656	$	432,524,852
Foreign currency, at value		—		—		—
Cash		13,492,763		7,865,779		1,689,189
Receivable for securities sold		6,464,926		6,891,369		1,496,525
Dividends and interest receivable		1,548,162		4,651,898		88,531
Receivable for Fund shares sold		9,130,475		7,659,944		1,145,661
Receivable for open forward currency contracts (Notes 1 and 3)		—		—		—
Receivable from broker — variation margin on open futures contracts (Notes 1 and 3)		—		—		—
Unrealized appreciation on swaps (Notes 1 and 3)		—		—		—
Prepaid expenses		80,417		51,659		23,939
Other assets		—		—		—

Total Assets		2,415,705,147		1,778,546,305		436,968,697

LIABILITIES:
Payable for securities on loan	$	168,766,180	$	106,278,472	$	92,844,175
Payable for Fund shares repurchased		1,401,354		1,031,092		235,832
Payable for securities purchased		1,410,158		10,792,991		1,415,502
Investment management fee payable		1,069,813		775,063		220,997
Transfer agent fees payable		49,645		50,836		46,866
Custody fee payable		90,473		81,449		6,362
Trustees’ fees payable		18,947		15,925		3,606
Interest payable for short sales (Note 1)		—		—		—
Due to custodian		—		—		—
Premium paid for open swaps (Notes 1 and 3)		—		—		—
Investments sold short, at value (proceeds received $198,744,568 and $56,012,020, respectively) (Note 1)		—		—		—
Options written, at value (premiums received $6,851,010 and $1,285,388, respectively) (Notes 1 and 3)		—		—		—
Unrealized depreciation on swaps (Notes 1 and 3)		—		—		—
Payable for open forward currency contracts (Notes 1 and 3)		—		—		—
Payable to broker — variation margin on open futures contracts (Notes 1 and 3)		—		—		—
Distributions payable		1,089		3,135		—
Accrued expenses		89,771		68,318		110,353

Total Liabilities		172,897,430		119,097,281		94,883,693

Total Net Assets	$	2,242,807,717	$	1,659,449,024	$	342,085,004

NET ASSETS:
Par value (Note 4)	$	153,479	$	159,697	$	21,463
Paid-in capital in excess of par value		2,005,726,779		1,624,201,251		553,060,200
Accumulated net investment loss		—		—		(991,031	)
Undistributed (Overdistributed) net investment income		2,268,639		4,992,113		—
Accumulated net realized gain (loss) on investments, futures contracts, options written, swap contracts and foreign currency transactions		10,042,735		13,332,888		(229,152,237	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, short sales, swap contracts and foreign currencies		224,616,085		16,763,075		19,146,609

Total Net Assets	$	2,242,807,717	$	1,659,449,024	$	342,085,004

Shares Outstanding		153,479,045		159,697,279		21,462,853

Net Asset Value	$	14.61	$	10.39	$	15.94


*		Includes securities on loan for the following funds: Large Capitalization Growth Investments, Large Capitalization Value Equity Investments, Small Capitalization Growth Investments, Small Capitalization Value Equity Investments, International Equity Investments, Emerging Markets Equity Investments, Core Fixed Income Investments and High Yield Investments with market value of $165,008,172, $103,900,517, $90,792,136, $55,753,739, $123,881,842, $28,296,253, $24,171,835, and $6,397,700, respectively.

See Notes to Financial Statements.

102


Small					Emerging
Capitalization		International			Markets			Core Fixed						International			Municipal			Money
Value Equity		Equity			Equity			Income			High Yield			Fixed Income			Bond			Market
Investments		Investments			Investments			Investments			Investments			Investments			Investments			Investments



$	344,144,059	$	1,698,163,534		$	522,971,233		$	1,354,763,048		$	143,883,910		$	215,957,083		$	107,856,358		$	148,417,631
	—		1,345,367			3,661,285			202,604			—			461,588			—			—

$	350,507,825	$	1,793,130,215		$	704,886,654		$	1,373,777,044		$	135,549,812		$	233,157,097		$	103,841,730		$	148,417,631
	—		1,459,570			3,725,213			211,644			—			488,276			—			—
	1,768,892		37,764,320	†		8,727,658	†		9,453,196	†		1,289,084			1,981,334	†		—			474
	1,799,857		4,780,329			8,688,246			241,238,824			3,392			134,819,425			—			—
	521,232		2,619,518			1,441,200			9,254,919			2,885,614			3,072,861			1,444,720			24,029
	841,265		8,821,311			3,205,244			6,824,718			579,912			1,027,535			421,131			788,882
	—		—			—			1,380,920			—			2,383,551			—			—
	—		—			39,795			2,882,124			—			—			—			—
	—		—			—			9,129,934			—			7,426,840			—			—
	9,828		32,956			32,057			15,248			4,069			7,218			10,333			11,043
	—		—			—			28,206			26,219			—			—			—

	355,448,899		1,848,608,219			730,746,067			1,654,196,777			140,338,102			384,364,137			105,717,914			149,242,059


$	57,329,046	$	128,590,225		$	29,031,952		$	24,968,410		$	6,557,786		$	—		$	—		$	—
	177,064		977,007			434,669			1,466,090			98,010			289,166			12,057			123,110
	2,707,359		16,618,464			9,673,275			320,061,470			701,229			123,144,209			—			—
	189,432		799,736			396,211			334,227			57,170			71,574			34,003			16,483
	43,920		47,330			73,160			30,928			14,053			50,039			2,092			4,598
	16,921		28,784			27,465			6,155			3,254			6,190			1,588			10,665
	2,507		9,794			2,397			13,325			4,224			2,313			2,722			3,398
	—		—			—			927,765			—			588,451			—			—
	—		—			—			—			—			—			9,338			—
	—		—			—			6,339,690			—			2,805,410			—			—
	—		—			—			201,244,323			—			56,389,188			—			—
	—		—			—			12,607,933			—			2,638,823			—			—
	—		—			—			4,934,769			—			5,162,356			—			—
	—		—			—			398,439			—			3,920,965			—			—
	—		—			—			—			—			199,138			—			—
	632		2,455			810			139,764			37,503			108			17,595			567
	121,293		64,760			95,904			51,871			82,354			84,634			45,971			76,695

	60,588,174		147,138,555			39,735,843			573,525,159			7,555,583			195,352,564			125,366			235,516

$	294,860,725	$	1,701,469,664		$	691,010,224		$	1,080,671,618		$	132,782,519		$	189,011,573		$	105,592,548		$	149,006,543


$	29,821	$	127,166		$	36,797		$	128,424		$	31,017		$	23,606		$	12,203		$	149,018
	285,375,572		1,567,934,633			500,804,554			1,060,483,167			229,962,906			194,014,565			111,409,597			148,863,067
	—		—			(4,449,235	)		—			—			—			—			—
	1,202,831		1,690,129			—			1,772,745			1,425,443			3,371,108			118,004			5,383

	1,888,735		36,548,370			12,548,653			(249,465	)		(90,302,749	)		(23,610,480	)		(1,932,628	)		(10,925	)

	6,363,766		95,169,366			182,069,455			18,536,747			(8,334,098	)		15,212,774			(4,014,628	)		—

$	294,860,725	$	1,701,469,664		$	691,010,224		$	1,080,671,618		$	132,782,519		$	189,011,573		$	105,592,548		$	149,006,543

	29,820,898		127,165,716			36,797,486			128,424,420			31,017,252			23,605,642			12,202,959			149,017,872

$	9.89	$	13.38		$	18.78		$	8.41		$	4.28		$	8.01		$	8.65		$	1.00


†	The following funds include restricted cash: International Equity Investments, Emerging Markets Equity Investments, Core Fixed Income Investments and International Fixed Income Investments in the amount of $364,977, $1,735,897, $861,247 and $287,453, respectively.

See Notes to Financial Statements.

103

Statements of Operations

For the Six Months Ended February 29, 2008 (unaudited)


	Large			Large			Small
	Capitalization			Capitalization			Capitalization
	Growth			Value Equity			Growth
	Investments			Investments			Investments


INVESTMENT INCOME:
Dividends	$	8,524,810		$	21,777,022		$	330,561
Interest		1,605,179			1,740,677			161,369
Income from securities lending		296,600			257,042			394,198
Miscellaneous income		93,677			161			1,950
Less: Foreign taxes withheld		(30,418	)		(67,773	)		(11,082	)

Total Investment Income		10,489,848			23,707,129			876,996

EXPENSES:
Investment management fee (Note 2)	$	7,325,826		$	5,312,656		$	1,529,055
Transfer agent fees (Note 2)		298,257			275,128			203,941
Custody fees		357,979			265,518			67,668
Trustees’ fees		87,733			76,752			16,094
Shareholder reports		47,240			22,377			19,145
Insurance		22,462			19,292			4,741
Audit and tax		16,759			16,760			13,974
Legal fees		19,327			16,688			7,411
Registration fees		26,172			37,022			13,140
Miscellaneous expenses		19,329			19,168			8,655

Total Investment Expenses		8,221,084			6,061,361			1,883,824
Less: Fee waivers and/or expense reimbursement (Note 2)		(431	)		(189,386	)		(17,213	)

Net Expenses		8,220,653			5,871,975			1,866,611

Net Investment Income (Loss)	$	2,269,195		$	17,835,154		$	(989,615	)

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SHORT SALES, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 1 AND 3):
Net Realized Gain (Loss) From:
Investment transactions	$	50,880,222		$	48,771,505		$	27,929,274
Futures contracts		—			—			—
Options written		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		—			—			—

Net Realized Gain (Loss)		50,880,222			48,771,505			27,929,274

Change in Net Unrealized Appreciation/Depreciation From:
Investments		(147,285,545	)		(249,082,002	)		(74,249,310	)
Futures contracts		—			—			—
Options written		—			—			—
Short sales		—			—			—
Swap contracts		—			—			—
Foreign currencies		—			—			(1,399	)

Change in Net Unrealized Appreciation/Depreciation		(147,285,545	)		(249,082,002	)		(74,250,709	)

Net Gain (Loss) on Investments, Futures Contracts, Options Written, Short Sales, Swap Contracts and Foreign Currency Transactions		(96,405,323	)		(200,310,497	)		(46,321,435	)

Total Net Assets Increase (Decrease) in Net Assets From Operations	$	(94,136,128	)	$	(182,475,343	)	$	(47,311,050	)

See Notes to Financial Statements.

104


Small						Emerging									International
Capitalization			International			Markets			Core Fixed						Fixed			Municipal			Money
Value Equity			Equity			Equity			Income			High Yield			Income			Bond			Market
Investments			Investments			Investments			Investments			Investments			Investments			Investments			Investments



$	2,775,945		$	11,659,308		$	4,206,052		$	96		$	66,138		$	—		$	—		$	—
	226,117			1,695,932			628,872			27,927,996			5,362,179			4,186,654			1,879,878			3,970,740
	373,810			428,023			124,934			7,536			31,746			—			—			—
	3,287			—			—			112,947			23,418			62,394			—			—
	(15,043	)		(959,843	)		(440,347	)		—			(3	)		—			—			—

	3,364,116			12,823,420			4,519,511			28,048,575			5,483,478			4,249,048			1,879,878			3,970,740


$	1,275,597		$	5,819,760		$	2,744,144		$	2,021,235		$	411,832		$	468,578		$	178,624		$	129,644
	179,465			281,565			137,480			129,671			42,588			86,901			6,932			95,699
	66,128			361,261			265,010			146,024			24,252			51,031			13,539			41,103
	15,950			69,238			18,758			33,812			4,142			8,150			2,830			5,606
	19,641			17,405			12,582			16,409			10,443			9,200			2,685			13,675
	4,741			17,723			3,527			9,007			1,431			2,342			821			1,378
	15,614			17,703			20,835			16,260			14,769			16,211			13,725			14,072
	7,174			14,895			6,965			10,478			5,389			6,143			5,178			5,576
	24,009			38,741			13,703			30,509			13,827			16,604			11,774			16,806
	5,838			17,878			6,377			22,949			3,017			3,027			1,882			1,897

	1,614,157			6,656,169			3,229,381			2,436,354			531,690			668,187			237,990			325,456
	(22,954	)		(691,058	)		(430,854	)		—			(90,075	)		—			—			(19,869	)

	1,591,203			5,965,111			2,798,527			2,436,354			441,615			668,187			237,990			305,587

$	1,772,913		$	6,858,309		$	1,720,984		$	25,612,221		$	5,041,863		$	3,580,861		$	1,641,888		$	3,665,153



$	5,729,121		$	148,630,934		$	39,616,014		$	16,855,582		$	(3,268,317	)	$	6,341,998		$	(3,646	)	$	10,187
	—			—			(366,084	)		2,270,732			—			460,600			—			—
	—			—			—			(1,301,327	)		—			(2,000,371	)		—			—
	—			—			—			4,697,534			—			224,695			—			—
	—			354,170			24,343			1,110,296			—			(7,783,146	)		—			—

	5,729,121			148,985,104			39,274,273			23,632,817			(3,268,317	)		(2,756,224	)		(3,646	)		10,187


	(47,852,355	)		(251,322,546	)		(3,784,113	)		20,413,325			(6,561,830	)		12,960,863			(4,077,338	)		—
	—			—			(198,463	)		2,880,051			—			(987,231	)		—			—
	—			—			—			(5,358,143	)		—			(1,110,599	)		—			—
	—			—			—			(1,833,138	)		—			139,164			—			—
	—			—			—			1,820,773			—			2,538,522			—			—
	(1,773	)		128,595			64,015			418,366			—			(1,775,118	)		—			—

	(47,854,128	)		(251,193,951	)		(3,918,561	)		18,341,234			(6,561,830	)		11,765,601			(4,077,338	)		—


	(42,125,007	)		(102,208,847	)		35,355,712			41,974,051			(9,830,147	)		9,009,377			(4,080,984	)		10,187

$	(40,352,094	)	$	(95,350,538	)	$	37,076,696		$	67,586,272		$	(4,788,284	)	$	12,590,238		$	(2,439,096	)	$	3,675,340

See Notes to Financial Statements.

105

Statements of Changes in Net Assets

For the Six Months Ended February 29, 2008 (unaudited) and the Year Ended August 31, 2007


	Large Capitalization						Large Capitalization
	Growth Investments						Value Equity Investments
	2008			2007			2008			2007


OPERATIONS:
Net investment income (loss)	$	2,269,195		$	3,955,545		$	17,835,154		$	29,024,454
Net realized gain		50,880,222			249,663,247			48,771,505			136,730,179
Change in net unrealized appreciation/depreciation		(147,285,545	)		132,493,545			(249,082,002	)		44,968,521

Increase (Decrease) in Net Assets From Operations		(94,136,128	)		386,112,337			(182,475,343	)		210,723,154

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
Net investment income		(3,955,431	)		—			(33,372,185	)		(23,500,020	)
Net realized gains		(37,186,357	)		—			(153,425,668	)		(105,184,591	)

Decrease in Net Assets From Distributions to Shareholders		(41,141,788	)		—			(186,797,853	)		(128,684,611	)

FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		323,421,271			645,828,256			239,915,586			401,529,208
Reinvestment of distributions		40,536,841			—			183,915,867			126,441,189
Cost of shares repurchased		(449,526,456	)		(374,921,689	)		(210,829,378	)		(339,959,236	)

Increase (Decrease) in Net Assets From Fund Share Transactions		(85,568,344	)		270,906,567			213,002,075			188,011,161

Increase (Decrease) in Net Assets		(220,846,260	)		657,018,904			(156,271,121	)		270,049,704
NET ASSETS:
Beginning of period		2,463,653,977			1,806,635,073			1,815,720,145			1,545,670,441

*End of period †**	$	2,242,807,717		$	2,463,653,977		$	1,659,449,024		$	1,815,720,145

* Includes undistributed net investment income of:	$	2,268,639		$	3,954,875		$	4,992,113		$	20,529,144

† Includes accumulated net investment loss of:		—			—			—			—

See Notes to Financial Statements.

106


Small Capitalization						Small Capitalization						International Equity						Emerging Markets
Growth Investments						Value Equity Investments						Investments						Equity Investments
2008			2007			2008			2007			2008			2007			2008			2007



$	(989,615	)	$	(2,242,888	)	$	1,772,913		$	3,794,760		$	6,858,309		$	23,838,752		$	1,720,984		$	5,218,835
	27,929,274			43,063,632			5,729,121			53,879,889			148,985,104			137,635,324			39,274,273			53,152,880
	(74,250,709	)		14,449,655			(47,854,128	)		(18,142,626	)		(251,193,951	)		68,497,090			(3,918,561	)		89,913,081

	(47,311,050	)		55,270,399			(40,352,094	)		39,532,023			(95,350,538	)		229,971,166			37,076,696			148,284,796


	—			—			(2,472,764	)		(2,500,004	)		(21,941,268	)		(28,500,011	)		(9,976,907	)		(2,740,460	)
	—			—			(49,103,056	)		(50,529,436	)		(121,694,248	)		—			(42,087,055	)		—

	—			—			(51,575,820	)		(53,029,440	)		(143,635,516	)		(28,500,011	)		(52,063,962	)		(2,740,460	)


	66,334,634			83,014,757			47,873,137			68,386,106			353,905,372			415,775,725			224,693,789			194,316,414
	—			—			50,798,336			52,168,532			141,693,426			28,027,537			51,536,231			2,702,366
	(78,474,403	)		(105,495,743	)		(64,324,401	)		(98,237,600	)		(209,847,073	)		(299,998,083	)		(100,550,279	)		(99,008,500	)

	(12,139,769	)		(22,480,986	)		34,347,072			22,317,038			285,751,725			143,805,179			175,679,741			98,010,280

	(59,450,819	)		32,789,413			(57,580,842	)		8,819,621			46,765,671			345,276,334			160,692,475			243,554,616

	401,535,823			368,746,410			352,441,567			343,621,946			1,654,703,993			1,309,427,659			530,317,749			286,763,133

$	342,085,004		$	401,535,823		$	294,860,725		$	352,441,567		$	1,701,469,664		$	1,654,703,993		$	691,010,224		$	530,317,749

	—			—		$	1,202,831		$	1,902,682		$	1,690,129		$	16,773,088			—		$	3,806,687

$	(991,031	)	$	(1,415	)		—			—			—			—		$	(4,449,235	)		—

See Notes to Financial Statements.

107

Statements of Changes in Net Assets

For the Six Months Ended February 29, 2008 (unaudited) and the Year Ended August 31, 2007


	Core Fixed Income
	Investments
	2008			2007


OPERATIONS:
Net investment income (loss)	$	25,612,221		$	38,022,320
Net realized gain		23,632,817			(810,378	)
Change in net unrealized appreciation/depreciation		18,341,234			1,104,561

Increase (Decrease) in Net Assets From Operations		67,586,272			38,316,503

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
Net investment income		(25,678,042	)		(40,375,847	)
Net realized gains		—			—

Decrease in Net Assets From Distributions to Shareholders		(25,678,042	)		(40,375,847	)

FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		345,281,027			298,381,907
Reinvestment of distributions		24,790,386			39,137,821
Cost of shares repurchased		(192,397,472	)		(234,334,886	)

Increase (Decrease) in Net Assets From Fund Share Transactions		177,673,941			103,184,842

Increase (Decrease) in Net Assets		219,582,171			101,125,498
NET ASSETS:
Beginning of period		861,089,447			759,963,949

*End of period †**	$	1,080,671,618		$	861,089,447

* Includes undistributed net investment income of:	$	1,772,745		$	1,838,566

† Includes accumulated net investment loss of:		—			—

See Notes to Financial Statements.

108


High Yield						International Fixed						Municipal Bond						Money Market
Investments						Income Investments						Investments						Investments
2008			2007			2008			2007			2008			2007			2008			2007



$	5,041,863		$	7,650,129		$	3,580,861		$	5,753,670		$	1,641,888		$	2,596,899		$	3,665,153		$	6,332,956
	(3,268,317	)		2,386,209			(2,756,224	)		(8,436,272	)		(3,646	)		92,225			10,187			—
	(6,561,830	)		(2,919,609	)		11,765,601			934,051			(4,077,338	)		(1,503,377	)		—			—

	(4,788,284	)		7,116,729			12,590,238			(1,748,551	)		(2,439,096	)		1,185,747			3,675,340			6,332,956


	(5,042,601	)		(7,753,707	)		(4,292,789	)		(7,043,250	)		(1,654,355	)		(2,608,254	)		(3,659,764	)		(6,332,962	)
	—			—			—			—			—			—			—			—

	(5,042,601	)		(7,753,707	)		(4,292,789	)		(7,043,250	)		(1,654,355	)		(2,608,254	)		(3,659,764	)		(6,332,962	)


	70,250,272			19,645,227			38,608,714			76,932,742			52,660,212			23,473,795			248,828,718			118,948,194
	4,863,619			7,415,006			4,168,703			6,833,742			1,557,691			2,402,243			4,091,131			5,689,337
	(18,304,822	)		(50,826,023	)		(50,678,060	)		(80,861,243	)		(14,169,764	)		(21,141,614	)		(222,274,584	)		(135,227,763	)

	56,809,069			(23,765,790	)		(7,900,643	)		2,905,241			40,048,139			4,734,424			30,645,265			(10,590,232	)

	46,978,184			(24,402,768	)		396,806			(5,886,560	)		35,954,688			3,311,917			30,660,841			(10,590,238	)

	85,804,335			110,207,103			188,614,767			194,501,327			69,637,860			66,325,943			118,345,702			128,935,940

$	132,782,519		$	85,804,335		$	189,011,573		$	188,614,767		$	105,592,548		$	69,637,860		$	149,006,543		$	118,345,702

$	1,425,443		$	1,426,181		$	3,371,108		$	4,083,035		$	118,004		$	130,471		$	5,383			—

	—			—			—			—			—			—			—		$	(6	)

See Notes to Financial Statements.

109

Financial Highlights

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Large Capitalization Growth Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006⁽²⁾			2005⁽²⁾			2004			2003


Net asset value, Beginning of Period	$	15.45		$	12.88		$	12.73		$	10.81		$	10.38		$	8.36

Income (Loss) from Operations:
Net investment income (loss)		0.01			0.03			(0.01	)		(0.01	)		(0.03	)		(0.00	)⁽³⁾
Net realized and unrealized gain (loss)		(0.58	)		2.54			0.16			1.93			0.46			2.02

Total Income (Loss) from Operations		(0.57	)		2.57			0.15			1.92			0.43			2.02

Less Distributions From:
From net investment income		(0.03	)		—			—			—			—			—

Net realized gain		(0.24	)		—			—			—			—			—

Total Distributions		(0.27	)		—			—			—			—			—

Net Asset Value, End of Period	$	14.61		$	15.45		$	12.88		$	12.73		$	10.81		$	10.38

Total Return⁽⁴⁾		(3.85	)%		19.95	%		1.18	%		17.76	%		4.14	%		24.16	%
Net Assets, End of Period (millions)	$	2,243		$	2,464		$	1,807		$	1,520		$	1,217		$	1,155
Ratio of Average to Net Assets:
Gross expenses		0.67	%⁽⁵⁾		0.70	%		0.78	%		0.90	%		0.88	%		0.90	%
Net expenses		0.67	⁽⁵⁾⁽⁶⁾		0.70			0.77	⁽⁶⁾		0.88	⁽⁶⁾		0.88			0.90
Net investment income		0.19	⁽⁵⁾		0.18			(0.06	)		(0.12	)		(0.31	)		(0.30	)
Portfolio Turnover Rate		44	%		112	%		63	%		77	%		117	%		79	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Amounts represents less than $0.01 per share.
(4)		Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(5)		Annualized.
(6)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

110

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Large Capitalization Value Equity Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006			2005			2004			2003


Net Asset Value, Beginning of Period	$	12.87		$	12.25		$	11.50		$	10.01		$	9.00		$	8.39

Income From Operations:
Net investment income		0.12			0.21			0.21			0.16			0.12			0.13
Net realized and unrealized gain		(1.30	)		1.43			1.21			1.45			1.03			0.59

Total Income From Operations		(1.18	)		1.64			1.42			1.61			1.15			0.72

Less Distributions From:
From net investment income		(0.23	)		(0.19	)		(0.19	)		(0.12	)		(0.14	)		(0.11	)
Net realized gains		(1.07	)		(0.83	)		(0.48	)		—			—			—

Total Distributions		(1.30	)		(1.02	)		(0.67	)		(0.12	)		(0.14	)		(0.11	)

Net Asset Value, End of Period	$	10.39		$	12.87		$	12.25		$	11.50		$	10.01		$	9.00

Total Return⁽³⁾		(9.81	)%		13.58	%		12.82	%		16.10	%⁽⁴⁾		12.89	%		8.75	%
Net Assets, End of Period (millions)	$	1,659		$	1,816		$	1,546		$	1,351		$	1,304		$	1,114
Ratios to Average Net Assets:
Gross expenses		0.68	%⁽⁵⁾		0.70	%		0.77	%		0.88	%		0.87	%		0.93	%
Net expenses		0.66	⁽⁵⁾⁽⁶⁾		0.69	⁽⁶⁾		0.76	⁽⁶⁾		0.86	⁽⁶⁾		0.87			0.93
Net investment income		2.01	⁽⁵⁾		1.67			1.73			1.41			1.21			1.60
Portfolio Turnover Rate		29	%		46	%		58	%		67	%		94	%		81	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursements and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns
(4)		The Subadviser fully reimbursed the Fund for losses incurred resulting from an investment restriction violation. Without this reimbursement, the total return would not have changed.
(5)		Annualized.
(6)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

111

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Small Capitalization Growth Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006⁽²⁾			2005⁽²⁾			2004⁽²⁾			2003⁽²⁾


Net asset value, Beginning of Period	$	18.28		$	15.83		$	14.89		$	11.97		$	11.83		$	9.01

Income (Loss) from Operations:
Net investment loss		(0.05	)		(0.10	)		(0.01	)		(0.11	)		(0.11	)		(0.07	)
Net realized and unrealized gain		(2.29	)		2.55			0.95			3.03			0.25			2.89

Total Income from Operations		(2.34	)		2.45			0.94			2.92			0.14			2.82

Net Asset Value, End of Period	$	15.94		$	18.28		$	15.83		$	14.89		$	11.97		$	11.83

Total return⁽³⁾		(12.86	)%		15.48	%		6.31	%		24.39	%		1.18	%		31.30	%
Net Assets, End of Period (millions)	$	342		$	402		$	369		$	417		$	318		$	497
Ratios to Average Net Assets:
Gross expenses		0.99	%⁽⁴⁾		0.99	%		1.12	%		1.32	%		1.19	%		1.27	%
Net expenses		0.98	⁽⁴⁾⁽⁵⁾		0.99	⁽⁵⁾		1.08	⁽⁵⁾		1.24	⁽⁵⁾		1.19			1.27
Net investment loss		(0.52	)⁽⁴⁾		(0.58	)		(0.08	)		(0.84	)		(0.82	)		(0.77	)
Portfolio Turnover Rate		39	%		69	%		59	%		70	%		80	%		88	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		Annualized.
(5)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

112

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Small Capitalization Value Equity Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006			2005⁽²⁾			2004⁽²⁾			2003


Net asset value, Beginning of Period	$	13.51		$	14.19		$	16.95		$	15.05		$	12.30		$	11.56

Income from Operations:
Net investment income		0.06			0.15			0.09			0.10			0.09			0.13
Net realized and unrealized gain		(1.59	)		1.46			1.52			3.50			2.76			1.25

Total Income from Operations		(1.53	)		1.61			1.61			3.60			2.85			1.38

Less Distributions From:
From net investment income		(0.10	)		(0.11	)		(0.09	)		(0.13	)		(0.10	)		(0.05	)
Net realized gains		(1.99	)		(2.18	)		(4.28	)		(1.57	)		—			(0.59	)

Total Distributions		(2.09	)		(2.29	)		(4.37	)		(1.70	)		(0.10	)		(0.64	)

Net Asset Value, End of Period	$	9.89		$	13.51		$	14.19		$	16.95		$	15.05		$	12.30

Total Return⁽³⁾		(12.20	)%		11.94	%		11.73	%		24.89	%		23.24	%		13.12	%
Net Assets, End of Period (millions)	$	295		$	352		$	344		$	385		$	429		$	425
Ratios to Average Net Assets:
Gross expenses		1.01	%⁽⁴⁾		1.01	%		1.12	%		1.24	%		1.16	%		1.20	%
Net expenses		1.00	⁽⁴⁾⁽⁵⁾		1.01			1.09	⁽⁵⁾		1.17	⁽⁵⁾		1.16			1.20
Net investment income		1.11	⁽⁴⁾		1.06			0.64			0.64			0.66			1.00
Portfolio Turnover Rate		14	%		40	%		31	%		64	%		33	%		33	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursements and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		Annualized.
(5)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

113

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


International Equity Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006⁽²⁾			2005⁽²⁾			2004⁽²⁾			2003⁽²⁾


Net asset value, Beginning of Period	$	15.57		$	13.55		$	11.12		$	9.01		$	7.82		$	6.93

Income from Operations:
Net investment income		0.06			0.23			0.22			0.15			0.08			0.10
Net realized and unrealized gain		(0.89	)		2.08			2.38			2.06			1.24			0.81

Total Income from Operations		(0.83	)		2.31			2.60			2.21			1.32			0.91

Less Distributions From:
From net investment income		(0.21	)		(0.29	)		(0.17	)		(0.10	)		(0.13	)		(0.02	)

Net realized gain		(1.15	)		—			—			—			—			—

Total Distributions		(1.36	)		(0.29	)		(0.17	)		(0.10	)		(0.13	)		(0.02	)

Net Asset Value, End of Period	$	13.38		$	15.57		$	13.55		$	11.12		$	9.01		$	7.82

Total Return⁽³⁾		(5.88	)%		17.21	%		23.55	%		24.65	%		16.90	%		13.21	%
Net Assets, End of Period (millions)	$	1,701		$	1,655		$	1,309		$	910		$	589		$	533
Ratios to Average Net Assets:
Gross expenses		0.80	%⁽⁴⁾		0.82	%		0.84	%		1.02	%		1.08	%		1.14	%
Net expenses		0.72	⁽⁴⁾⁽⁵⁾		0.75	⁽⁵⁾		0.83	⁽⁵⁾		0.99	⁽⁵⁾		1.08			1.14
Net investment income		0.82	⁽⁴⁾		1.57			1.76			1.49			0.90			1.55
Portfolio Turnover Rate		51	%		44	%		50	%		57	%		84	%		110	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursements and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		Annualized.
(5)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

114

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Emerging Markets Equity Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006⁽²⁾			2005⁽²⁾			2004⁽²⁾			2003⁽²⁾


Net asset value, Beginning of Period	$	19.19		$	13.59		$	10.55			7.60		$	6.48		$	5.22

Income from Operations:
Net investment income		0.06			0.21			0.15			0.12			0.05			0.04
Net realized and unrealized gain		1.35			5.52			3.01			2.93			1.10			1.28

Total Income from Operations		1.41			5.73			3.16			3.05			1.15			1.32

Less Distributions From:
From net investment income		(0.35	)		(0.13	)		(0.12	)		(0.10	)		(0.03	)		(0.06	)

Net realized gain		(1.47	)		—			—			—			—			—

Total Distributions		(1.82	)		(0.13	)		(0.12	)		(0.10	)		(0.03	)		(0.06	)

Net Asset Value, End of Period	$	18.78		$	19.19		$	13.59		$	10.55		$	7.60		$	6.48

Total Return⁽³⁾		7.08	%		42.41	%		30.10	%		40.31	%⁽⁴⁾		17.71	%		25.51	%
Net Assets, End of Period (millions)	$	691		$	530		$	287		$	248		$	188		$	196
Ratio of Average to Net Assets:
Gross expenses		1.06	%⁽⁵⁾		1.15	%		1.32	%		1.52	%		1.64	%		1.79	%
Net expenses		0.92	⁽⁵⁾⁽⁶⁾		1.04	⁽⁶⁾		1.28	⁽⁶⁾		1.44	⁽⁶⁾		1.64			1.79
Net investment income		0.56	⁽⁵⁾		1.31			1.15			1.27			0.67			0.86
Portfolio Turnover Rate		41	%		66	%		70	%		70	%		117	%		88	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursements and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		The Subadviser fully reimbursed the Fund for losses incurred resulting from a trading error. Without this reimbursement, the total return would not have changed.
(5)		Annualized.
(6)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

115

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Core Fixed Income Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006			2005			2004			2003⁽²⁾


Net asset value, Beginning of Period	$	8.07		$	8.09		$	8.35		$	8.32		$	8.18		$	8.20

Income (Loss) from Operations:
Net investment income		0.22			0.38			0.37			0.30			0.27			0.35
Net realized and unrealized gain (loss)		0.32			—			(0.25	)		0.05			0.15			0.04

Total Income from Operations		0.54			0.38			0.12			0.35			0.42			0.39

Less Distributions From:
From net investment income		(0.20	)		(0.40	)		(0.38	)		(0.32	)		(0.28	)		(0.41	)

Total Distributions		(0.20	)		(0.40	)		(0.38	)		(0.32	)		(0.28	)		(0.41	)

Net Asset Value, End of Period	$	8.41		$	8.07		$	8.09		$	8.35		$	8.32		$	8.18

Total return⁽³⁾		6.81	%		4.82	%		1.51	%		4.30	%		5.17	%		4.78	%
Net Assets, End of Period (000s)	$	1,080,672		$	861,089		$	759,964		$	533,845		$	480,808		$	317,858
Ratios to Average Net Assets:
Gross expenses		0.48	%⁽⁴⁾		0.54	%⁽⁵⁾		0.63	%		0.75	%		0.76	%		0.77	%
Net expenses		0.48	⁽⁴⁾		0.54	⁽⁵⁾⁽⁶⁾		0.61	⁽⁶⁾		0.71	⁽⁶⁾		0.76			0.77
Net investment income		5.27	⁽⁴⁾		4.68			4.50			3.65			3.25			4.22
Portfolio Turnover Rate		119	%⁽⁷⁾		325	%⁽⁷⁾		376	%⁽⁷⁾		376	%⁽⁷⁾		369	%⁽⁷⁾		257	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursements and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		Annualized.
(5)		Ratio includes interest expense on short sales which represents .01%.
(6)		Reflects fee waivers and/or expense reimbursements.
(7)		Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions have been included the portfolio turnover rate would have been 158%, 400%, 443% 418% and 392%, respectively.

See Notes to Financial Statements.

116

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


High Yield Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006			2005⁽²⁾			2004			2003


Net Asset Value, Beginning of Period	$	4.58		$	4.62		$	4.78		$	4.81		$	4.61		$	4.38

Income (Loss) From Operations:
Net investment income		0.19			0.38			0.39			0.31			0.32			0.36
Net realized and unrealized gain (loss)		(0.31	)		(0.03	)		(0.22	)		0.03			0.21			0.25

Total Income from Operations		(0.12	)		0.35			0.17			0.34			0.53			0.61

Less Distributions From:
From net investment income		(0.18	)		(0.39	)		(0.33	)		(0.37	)		(0.33	)		(0.38	)

Total Distributions		(0.18	)		(0.39	)		(0.33	)		(0.37	)		(0.33	)		(0.38	)

Net Asset Value, End of Period	$	4.28		$	4.58		$	4.62		$	4.78		$	4.81		$	4.61

Total Return⁽³⁾		(2.67	)%		7.56	%		3.80	%		7.16	%		11.81	%		14.57	%
Net Assets, End of Period (000s)	$	132,783		$	85,804		$	110,207		$	262,239		$	239,650		$	227,191
Ratios to Average Net Assets:
Gross expenses		0.90	%⁽⁴⁾		1.00	%		0.90	%		1.04	%		0.99	%		0.97	%
Net expenses		0.75	⁽⁴⁾⁽⁵⁾		0.85	⁽⁵⁾		0.86	⁽⁵⁾		0.99	⁽⁵⁾		0.99			0.97
Net investment income		8.57	⁽⁴⁾		7.92			6.78			6.49			6.76			7.78
Portfolio Turnover Rate		29	%		119	%		108	%		106	%		127	%		158	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursement and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursement, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		Annualized.
(5)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

117

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


International Fixed Income Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006⁽²⁾			2005⁽²⁾			2004⁽²⁾			2003⁽²⁾


Net asset value, Beginning of Period	$	7.67		$	7.78		$	8.23		$	8.16		$	7.93		$	7.47

Income (Loss) from Operations:
Net investment income		0.15			0.23			0.25			0.20			0.21			0.25
Net realized and unrealized gain (loss)		0.37			(0.05	)		(0.39	)		0.37			0.88			0.51

Total Income (Loss) from Operations		0.52			0.18			(0.14	)		0.57			1.09			0.76

Less Distributions From:
From net investment income		(0.18	)		(0.29	)		(0.09	)		(0.50	)		(0.86	)		(0.30	)

Net realized gains		—			—			(0.06	)		—			—			—

Return of capital		—			—			(0.16	)		—			—			—

Total Distributions		(0.18	)		(0.29	)		(0.31	)		(0.50	)		(0.86	)		(0.30	)

Net Asset Value, End of Period	$	8.01		$	7.67		$	7.78		$	8.23		$	8.16		$	7.93

Total Return⁽³⁾		6.90	%		2.33	%		(1.70	%)		6.86	%		14.00	%		10.28	%
Net Assets, End of Period (millions)	$	189		$	189		$	195		$	154		$	116		$	112
Ratios to Average Net Assets:
Gross expenses		0.71	%⁽⁴⁾		0.78	%⁽⁵⁾		0.84	%		1.01	%		1.05	%		1.04	%
Net expenses		0.71	⁽⁴⁾		0.78	⁽⁵⁾⁽⁶⁾		0.82	⁽⁶⁾		0.95	⁽⁶⁾		1.05			1.04
Net investment income		3.82	⁽⁴⁾		3.00			3.25			2.38			2.60			3.21
Portfolio Turnover Rate		120	%		433	%		416	%		346	%		243	%		288	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursements and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		Annualized.
(5)		Ratio includes interest expense on short sales which represents .04%.
(6)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

118

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Municipal Bond Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006			2005			2004⁽²⁾			2003


Net asset value, Beginning of Period	$	8.94		$	9.13		$	9.26		$	9.23		$	8.95		$	9.07

Income (Loss) from Operations:
Net investment income		0.17			0.35			0.32			0.32			0.33			0.35
Net realized and unrealized gain (loss)		(0.29	)		(0.19	)		(0.12	)		0.06			0.30			(0.12	)

Total Income from Operations		(0.12	)		0.16			0.20			0.38			0.63			0.23

Less Distributions From:
From net investment income		(0.17	)		(0.35	)		(0.33	)		(0.35	)		(0.35	)		(0.35	)

Total Distributions		(0.17	)		(0.35	)		(0.33	)		(0.35	)		(0.35	)		(0.35	)

Net Asset Value, End of Period	$	8.65		$	8.94		$	9.13		$	9.26		$	9.23		$	8.95

Total return⁽³⁾		(1.45	%)		1.77	%		2.26	%		4.17	%		7.12	%		2.51	%
Net Assets, End of Period (000s)	$	105,593		$	69,638		$	66,326		$	40,423		$	33,895		$	28,386
Ratios to Average Net Assets:
Gross expenses		0.54	%⁽⁴⁾		0.59	%		0.73	%		0.90	%		0.89	%		0.88	%
Net expenses		0.54	⁽⁴⁾		0.59	⁽⁵⁾		0.72	⁽⁵⁾		0.88	⁽⁵⁾		0.89			0.88
Net investment income		3.71	⁽⁴⁾		3.84			3.70			3.58			3.63			3.79
Portfolio Turnover Rate		4	%		14	%		26	%		7	%		19	%		15	%


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Performance figures may reflect fee waivers and/or expense reimbursement and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursement, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(4)		Annualized.
(5)		Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

119

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Money Market Investments

	2008⁽¹⁾⁽²⁾			2007⁽²⁾			2006⁽²⁾			2005			2004			2003⁽²⁾


Net asset value, Beginning of Period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Income from Operations:
Net investment income		0.02			0.05			0.04			0.02			0.00	⁽³⁾		0.01

Total income from Operations		0.02			0.05			0.04			0.02			0.00	⁽³⁾		0.01

Less Distributions From:
From net investment income		(0.02	)		(0.05	)		(0.04	)		(0.02	)		0.00	⁽³⁾		(0.01	)

Total Distributions		(0.02	)		(0.05	)		(0.04	)		(0.02	)		0.00	⁽³⁾		(0.01	)

Net Asset Value, End of Period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Total return⁽⁴⁾		2.12	%		4.86	%		4.03	%		2.17	%		0.48	%		0.85	%
Net Assets, End of Period (000s)	$	149,007		$	118,345		$	128,936		$	96,376		$	93,875		$	110,461
Ratios to Average Net Assets:
Gross expenses		0.38	%⁽⁵⁾		0.48	%		0.72	%		1.14	%		0.98	%		0.90	%
Net expenses⁽⁶⁾⁽⁷⁾		0.35	⁽⁵⁾		0.47			0.47			0.34			0.60			0.60
Net investment income		4.24	⁽⁵⁾		4.75			4.01			2.16			0.48			0.81


(1)		For the six months ended February 29, 2008 (unaudited).
(2)		Per share amounts have been calculated using the average shares method.
(3)		Amounts represent less than $0.01 per share.
(4)		Performance figures may reflect fee waivers and/or expense reimbursements and assumes reinvestment of dividend distributions. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK may be up to 1.50%, are not reflected in the performance data and would reduce the total returns.
(5)		Annualized.
(6)		Reflects fee waivers and/or expense reimbursements.
(7)		As a result of an expense limitation, the ratio of expenses to average net assets of the Fund did not exceed 0.60%.

See Notes to Financial Statements.

120

Notes to Financial Statements


1.	Organization and Significant Accounting Policies

Large Capitalization Growth Investments, Large Capitalization Value Equity Investments, Small Capitalization Growth Investments, Small Capitalization Value Equity Investments, International Equity Investments, Emerging Markets Equity Investments, Core Fixed Income Investments, High Yield Investments, International Fixed Income Investments, Municipal Bond Investments and Money Market Investments (formerly “Government Money Investments”), (“Fund(s)”) are separate diversified investment funds of the Consulting Group Capital Markets Funds (“Trust”). The Trust, a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company.

The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.

(a) Investment Valuation. Equity securities for which market quotations are readily available are valued at the last sale price or official closing price on the primary market or exchange on which they trade. Debt securities that will mature in more than 60 days are valued using prices provided by independent pricing services, which are determined by such services’ analyses of a variety of factors, including, transactions in debt securities, quotations from bond dealers, market transactions in comparable securities and relationships between securities.

Debt securities that will mature in 60 days or less and securities held by Money Market Investments are valued at amortized cost, which approximates current market value. This method involves valuing portfolio securities at cost and thereafter assuming a constant amortization to maturity of any discount or premium. Money Market Investments’ use of amortized cost is subject to compliance with certain conditions as specified by Rule 2a-7 under the 1940 Act.

When market quotations are not readily available, or are determined to be unreliable by the Trust’s Valuation Committee pursuant to procedures approved by the Trust’s Board of Trustees, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, and before the applicable Fund calculate its net asset value per share (“NAV”), the Trust may fair value these investments in accordance with the procedures approved by the Trust’s Board of Trustees. Fair valuing of foreign securities is determined with the assistance of an independent pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures contracts. Values from this pricing vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Valuation Committee.

(b) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian take possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.

(c) Financial Futures Contracts. Certain Funds may enter into financial futures contracts to the extent permitted by their investment policies and objectives. Upon entering into a financial futures contract, the Fund is required to deposit cash or securities as initial margin. Additional securities are also segregated up to the current market value of the financial futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the value of the underlying financial instruments. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. When the financial futures contracts are closed a realized gain or loss is recognized equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.

The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in financial futures contracts involves the risk that the Fund could lose more than the original margin deposit and subsequent payments

121

Notes to Financial Statements

(continued)

required for a futures transaction. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(d) Written Options. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the difference between the premium and the amount for effecting a closing purchase transaction, including brokerage commission, is also treated as a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.

A risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(e) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(f) Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped securities can be principal only securities (“PO”), which are debt obligations that have been stripped of unmatured interest coupons or interest only securities (“IO”), which are unmatured interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity.

The yield to maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment the IO.

(g) Swaptions. Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked to market daily based upon quotations from market makers.

When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Assets and Liabilities and Statements of Operations. Gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized

122

Notes to Financial Statements

(continued)

gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss.

Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, the Fund enter into swaption contracts with counterparties whose creditworthiness has been evaluated by the Investment Manager. The Fund bears the market risk arising from any change in index values or interest rates.

(h) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.

Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as an unrealized gain or loss in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively.

An upfront payment received by the Fund, as the protector, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund, as the protection buyer, is recorded as an asset on the Fund’s books.

Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed.

(i) Credit Default Swaps. Certain Funds enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, the Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and have no payment obligations. Such periodic payments are accrued daily and accounted for as realized gain.

Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases the Funds function as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer on the referenced debt obligation. In return, the Fund make periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized loss.

Swaps are marked-to-market daily based upon quotations from market makers and the change in value , if any, is recorded as unrealized appreciation or depreciation in the Funds’ Statements of Operations. For a credit default swap sold by the Fund, payment of the agreed upon amount made by the Funds in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.

Entering into Credit Default Swaps involves, to varying degrees, elements of credit, market and documentation risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates.

123

Notes to Financial Statements

(continued)

(j) Time Deposits. The Funds may purchase overnight time deposits issued by offshore branches of U.S. Banks that meet credit and risk standards established by the Custodian and approved by the Funds.

(k) Lending of Portfolio Securities. The Trust has an agreement with their custodian whereby the custodian may lend securities owned by the Funds to brokers, dealers and other financial organizations. In exchange for lending securities under the terms of the agreement with their custodian, the Fund receives a lender’s fee. Fees earned by a Fund on securities lending are recorded as securities lending income. Loans of securities by a Fund are collateralized by cash, U.S. government securities or high quality money market instruments that are maintained at all times in an amount at least equal to the current market value of the loaned securities, plus a margin which varies depending on the type of securities loaned. The custodian establishes and maintains the collateral in a segregated account. The Fund has the right under the lending agreement to recover any loaned securities from the borrower on demand. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. Additionally, the Fund is exposed to risks that the borrower may not provide additional collateral when required or return the loaned securities when due. At February 29, 2008, the aggregate market value of the loaned securities and the value of the collateral each Fund received are as follows:

Loaned Securities


	Market Value of		Value of
Fund	Securities on Loan		Collateral Held


Large Capitalization Growth Investments	$	165,008,172	$	168,766,180
Large Capitalization Value Equity Investments		103,900,517		106,278,472
Small Capitalization Growth Investments		90,792,136		92,844,175
Small Capitalization Value Equity Investments		55,753,739		57,329,046
International Equity Investments		123,881,842		128,590,225
Emerging Markets Equity Investments		28,296,253		29,031,952
Core Fixed Income Investments		24,171,835		24,968,410
High Yield Investments		6,397,700		6,557,786

(l) Securities Traded on a To-Be-Announced Basis. Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities.

(m) Short Sales of Securities. A short sale is a transaction in which the Fund sells securities it does not own (but has borrowed) in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.

(n) Mortgage Dollar Rolls. Certain Funds may enter into dollar rolls in which the Funds sell mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by a fee paid by the counterparty, often in the form of a drop in the repurchase price of the securities. Dollar rolls are accounted for as financing arrangements; the fee is accrued into interest income ratably over the term of the dollar roll and any gain or loss on the roll is deferred and realized upon disposition of the rolled security.

124

Notes to Financial Statements

(continued)

The risk of entering into a mortgage dollar roll is that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.

(o) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

(p) Foreign Risk. Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(q) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default.

(r) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

(s) Distributions to Shareholders. Distributions from net investment income for Large Capitalization Growth Investments, Large Capitalization Value Equity Investments, Small Capitalization Growth Investments, Small Capitalization Value Equity Investments, International Equity Investments, Emerging Markets Equity Investments and International Fixed Income Investments, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Investments, High Yield Investments and Municipal Bond Investments, if any, are declared and paid on a monthly basis.

125

Notes to Financial Statements

(continued)

Distributions on the shares of Money Market Investments are declared each business day to shareholders of record that day, and are paid on the last business day of the month. The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

(t) Federal and Other Taxes. It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

(u) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.

(v) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/or Subadviser pursuant to procedures approved by the Board of Trustees. The value of restricted securities is determined as described in Note 1.


2.	Investment Management Agreement and Other Transactions with Affiliates

The Consulting Group, a division of Citigroup Investment Advisory Services Inc. (“CIAS”), an indirect, wholly-owned subsidiary of Citigroup Inc., serves as the investment manager (the “Manager”) to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a “Sub-adviser,” and collectively the “Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly. The Manager pays each Sub-adviser a subadviser fee from its investment management fees.

The maximum allowable investment management fee represents the total amount that could be charged to the Fund. The maximum allowable annual management fee, the aggregate advisory fee paid by CIAS to a Portfolio’s Sub-advisers and the fee retained by CIAS for the six months ended February 29, 2008, are indicated below:


				Citigroup Investment			Maximum
	Subadviser			Advisory Services Inc.			Allowable Annual
	Fee			(‘CIAS’) Fee retained			Management Fee


Large Capitalization Growth Investments		0.35	%		0.25	%		0.60
Large Capitalization Value Equity Investments		0.28	%		0.30	%		0.60
Small Capitalization Growth Investments		0.49	%		0.30	%		0.80
Small Capitalization Value Equity Investments		0.49	%		0.30	%		0.80
International Equity Investments		0.32	%		0.30	%		0.70
Emerging Markets Equity Investments		0.47	%		0.30	%		0.90
Core Fixed Income Investments		0.20	%		0.20	%		0.40
High Yield Investments		0.30	%		0.25	%		0.70
International Fixed Income Investments		0.25	%		0.25	%		0.50
Municipal Bond Investments		0.20	%		0.20	%		0.40
Money Market Investments		0.13	%		0.00	%		0.15

126

Notes to Financial Statements

(continued)

The Adviser has agreed to waive a portion of its fee. For the six months ended February 29, 2008, the amounts waived by the Adviser were as follows:

Management Fee Waivers


Fund


Large Capitalization Growth Investments	$	431
Large Capitalization Value Equity Investments		189,386
Small Capitalization Growth Investments		17,213
Small Capitalization Value Equity Investments		22,954
International Equity Investments		691,058
Emerging Markets Equity Investments		430,854
High Yield Investments		90,075
Money Market Investments		19,869

Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. BBH’s principal offices are located at 40 Water Street, Boston, MA 02109. For its administrative services, BBH receives an annual asset based fee of 0.0275% of the Trust’s assets up to $5 billion and 0.02% on assets in excess of $5 billion plus out-of pocket expenses. The fee is calculated daily and paid monthly based on aggregate Trust assets.

During the six months ended February 29, 2008, BBH did not waive any portion of its administration fee.

For the period ended February 29, 2008, the Funds paid Citigroup Institutional Trust Company, an indirect, wholly-owned subsidiary of Citigroup Inc., shareholder recordkeeping fees as follows:

Record Keeping Fees


Fund


Large Capitalization Growth Investments	$	9,779
Large Capitalization Value Equity Investments		10,071
Small Capitalization Growth Investments		8,312
Small Capitalization Value Equity Investments		5,456
International Equity Investments		8,142
Emerging Markets Equity Investments		3,215
Core Fixed Income Investments		5,035
High Yield Investments		1,153
International Fixed Income Investments		1,700

For the period ended February 29, 2008, Citigroup Global Markets Inc. (“CGM”), the Trust’s distributor and an indirect, wholly-owned subsidiary of Citigroup, and its affiliates received brokerage commissions of:


Fund	Commissions


Large Capitalization Growth Investments	$	34,248
Large Capitalization Value Equity Investments		5,279
Small Capitalization Growth Investments		76
International Equity Investments		53,179
Emerging Markets Equity Investments		18

All officers and two Trustees of the Trust are employees of Citigroup or its affiliates and do not receive compensation directly from the Trust.

127

Notes to Financial Statements

(continued)


3.	Investments

During the six months ended February 29, 2008, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments and mortgage dollar rolls) for each Fund were as follows:


	Investments				U.S. Government & Agency Obligations

Fund	Purchases		Sales		Purchases		Sales


Large Capitalization Growth Investments	$	1,030,753,642	$	1,157,164,761		—		—
Large Capitalization Value Equity Investments		583,591,811		497,110,801		—		—
Small Capitalization Growth Investments		146,383,310		158,696,324		—		—
Small Capitalization Value Equity Investments		43,685,991		59,327,283		—		—
International Equity Investments		973,114,926		830,736,973		—		—
Emerging Markets Equity Investments		365,757,634		242,429,433		—		—
Core Fixed Income Investments		311,652,901		193,149,822	$	944,207,390	$	1,009,106,448
High Yield Investments		83,236,878		30,945,745		—		—
International Fixed Income Investments		155,816,368		144,468,181		38,386,256		145,723,599
Municipal Bond Investments		97,313,910		3,678,972		—		—

At February 29, 2008, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:

Unrealized Appreciation/Depreciation


	Gross		Gross		Net Unrealized
	Unrealized		Unrealized		Appreciation/
Fund	Appreciation		Depreciation		Depreciation


Large Capitalization Growth Investments	$	2,384,988,404	$	2,160,372,319	$	224,616,085
Large Capitalization Value Equity Investments		1,751,425,656		1,734,662,581		16,763,075
Small Capitalization Growth Investments		432,524,853		413,378,244		19,146,609
Small Capitalization Value Equity Investments		350,507,825		344,144,059		6,363,766
International Equity Investments		1,793,130,215		1,698,163,534		94,966,681
Emerging Markets Equity Investments		704,886,654		522,971,233		181,915,421
Core Fixed Income Investments		1,374,607,259		1,355,593,263		19,013,996
High Yield Investments		135,737,352		144,071,450		(8,334,098	)
International Fixed Income Investments		234,552,292		217,352,278		17,200,014
Municipal Bond Investments		103,841,730		107,856,358		(4,014,628	)

At February 29, 2008, the Funds had the following open futures contracts:

Number of

Expiration

Basis

Market

Unrealized

Emerging Markets Equity Investments

Contracts

Date

Value

Gain

Contracts to Buy:

MSCI Taiwan Index

223

3/08

7,198,785

7,238,580

39,795

Net Unrealized Gain on Open Futures Contracts

39,795

128

Notes to Financial Statements

(continued)


	Number of		Expiration		Basis		Market		Unrealized
Core Fixed Income Investments	Contracts		Date		Value		Value		Gain (Loss)


Contracts to Buy:
90 Day Sterling Futures		85		9/08	$	19,973,375	$	20,061,048	$	87,673
90 Day Sterling Futures		127		12/08		29,818,040		30,071,292		253,252
Euro Euribor		65		6/08		23,638,147		23,671,456		33,309
Euro Euribor		119		9/08		43,435,595		43,492,813		57,218
Euro Euribor		18		3/09		6,549,023		6,603,684		54,661
Euro-Bund		64		3/08		11,381,139		11,375,235		(5,904	)
Eurodollar		50		3/08		11,956,463		12,148,750		192,287
Eurodollar		313		6/08		75,187,013		76,403,300		1,216,287
Eurodollar		116		9/08		27,918,988		28,357,650		438,662
Eurodollar		17		3/09		4,119,650		4,153,525		33,875
Eurodollar		105		6/09		25,104,026		25,616,063		512,037
Eurodollar		33		9/09		7,885,363		8,033,850		148,487
Eurodollar		25		12/09		5,960,625		6,070,938		110,313
U.S. Treasury 10-Year Notes		960		6/08		110,883,733		112,590,000		1,706,267
U.S. Treasury 2-Year Notes		49		6/08		10,451,078		10,531,172		80,094
U.S. Treasury 5-Year Notes		104		6/08		11,582,123		11,882,000		299,877

										5,218,395

Contracts to Sell:
90 Day Sterling Futures		269		6/08		63,093,358		63,213,549		(120,191	)
U.S. Treasury 10-Year Notes		79		3/08		9,234,360		9,376,313		(141,953	)
U.S. Treasury 2-Year Notes		162		3/08		34,122,095		34,880,625		(758,530	)
U.S. Treasury 5-Year Notes		138		3/08		15,658,688		15,846,282		(187,594	)
U.S. Treasury Long Bond		279		3/08		32,203,938		33,392,813		(1,188,875	)
U.S. Treasury Long Bond		33		6/08		3,876,243		3,914,625		(38,382	)

										(2,435,525	)

Net Unrealized Gain on Open Futures Contracts									$	2,782,870

129

Notes to Financial Statements

(continued)


	Number of		Expiration		Basis		Market		Unrealized
International Fixed Income Investments	Contracts		Date		Value		Value		Gain (Loss)


Contracts to Buy:
Euro Euribor		3		6/08	$	1,088,381	$	1,092,529	$	4,148
Euro Euribor		7		9/08		2,553,650		2,558,401		4,751
Eurodollar		21		3/09		5,101,700		5,130,825		29,125
Eurodollar		111		9/09		26,854,075		27,022,950		168,875
Eurodollar		24		12/09		5,798,087		5,828,100		30,013
Japan Government Bonds - 10 Year		15		3/08		19,707,638		19,929,476		221,838
U.S. Treasury 10-Year Notes		417		6/08		47,705,406		48,906,281		1,200,875

										1,659,625

Contracts to Sell:
90 Day Sterling Futures		14		9/08		3,311,123		3,304,173		6,950
Euro Euribor		13		3/08		4,712,347		4,718,994		(6,647	)
Euro Euribor		19		12/08		6,955,410		6,959,737		(4,327	)
Euro Euribor		11		3/09		4,022,432		4,035,585		(13,153	)
Euro-Bobl		75		3/08		12,552,579		12,679,551		(126,972	)
Euro-Schatz		40		3/08		6,373,426		6,367,960		5,466
Euro-Schatz		66		6/08		10,530,281		10,552,229		(21,948	)
U.S. Treasury 2-Year Notes		39		3/08		8,250,516		8,397,188		(146,672	)
U.S. Treasury 2-Year Notes		17		6/08		3,628,437		3,653,672		(25,235	)
U.S. Treasury 5-Year Notes		139		3/08		15,259,594		15,961,110		(701,516	)
U.S. Treasury 5-Year Notes		330		6/08		37,239,767		37,702,500		(462,733	)
U.S. Treasury Long Bond		38		6/08		4,371,492		4,507,750		(136,258	)

										(1,633,045	)

Net Unrealized Gain on Open Futures Contracts									$	26,580

At February 29, 2008, Core Fixed Income Investments and International Fixed Income Investments held purchased options with a total cost of the following:


	Calls		Puts


Core Fixed Income Investments	$	7,771,185	$	151,886
International Fixed Income Investments		1,346,080		120,514

During the six months ended February 29, 2008, written option transactions for Core Fixed Income Investments and International Fixed Income Investments were as follows:


	Number of			Premiums
Core Fixed Income Investments	Contracts			Received


Options written, outstanding at August 31, 2007		67,200,172		$	773,566
Options written		180,200,623			6,875,567
Options closed		(41,100,506	)		(694,297	)
Options expired		(7,000,091	)		(103,826	)

Options written, outstanding at February 29, 2008		199,300,198			6,851,010

130

Notes to Financial Statements

(continued)


	Number of			Premiums
International Fixed Income Investments	Contracts			Received


Options written, outstanding at August 31, 2007		129,399,965			1,926,736
Options written		51,300,147			1,427,263
Options closed		(112,499,965	)		(1,889,463	)
Options expired		(6,000,125	)		(179,148	)

Options written, outstanding at February 29, 2008		62,200,022			1,285,388

At February 29, 2008, Core Fixed Income Investments and International Fixed Income Investments had open forward foreign currency contracts as described below. The unrealized gain (loss) on the open contracts reflected in the accompanying financial statements were as follows:

Core Fixed Income Investments


							Unrealized
Foreign Currency	Local Currency		Market Value		Settlement Date		Gain (Loss)

Contracts to Buy:
Brazilian Real		7,292,251	$	4,241,942		7/2/08	$	529,110
Indian Rupee		141,265,434		3,536,868		5/12/08		146,421
Japanese Yen		505,340,000		4,851,815		3/13/08		103,566
Mexican Peso		8,982,412		836,063		3/13/08		48,063
Pound Sterling		3,630,000		7,207,601		3/6/08		(32,052	)
Russian Ruble		176,857,400		7,276,260		7/10/08		270,896
Russian Ruble		13,328,210		541,391		11/19/08		4,072
South Korean Won		1,652,070,445		1,756,806		8/4/08		(30,581	)
Swiss Franc		1,043,000		999,363		3/6/08		69,566
Yuan Renminbi		23,328,711		3,284,194		3/5/08		107,194
Yuan Renminbi		52,304,669		7,749,019		10/10/08		97,646

								1,313,901

Contracts to Sell:
Brazilian Real		4,986,478		2,900,661		7/2/08		(153,661	)
Euro		1,973,000		2,993,667		3/27/08		(73,581	)
Indian Rupee		21,632,520		541,614		5/12/08		4,386
Mexican Peso		8,982,412		836,063		3/13/08		(22,446	)
Russian Ruble		63,117,185		2,596,765		7/10/08		(30,765	)
Yuan Renminbi		23,328,711		3,284,194		3/5/08		(55,353	)

								(331,420	)

Net Unrealized Gain on Open Forward Foreign Currency Contracts							$	982,481

International Fixed Income Investments


							Unrealized
Foreign Currency	Local Currency		Market Value		Settlement Date		Gain (Loss)

Contracts to Buy:
Australian Dollar		9,198,311	$	8,603,572		3/20/08	$	240,771
Brazilian Real		7,748,737		4,601,759		3/4/08		678,935
Brazilian Real		9,359,081		5,444,229		7/2/08		394,260
Brazilian Real		3,273,520		1,845,387		12/2/08		74,001
Canadian Dollar		90,000		91,860		3/6/08		1,911

131

Notes to Financial Statements

(continued)


							Unrealized
Foreign Currency	Local Currency		Market Value		Settlement Date		Gain (Loss)

Chilean Peso		60,000,000	$	131,800		3/13/08	$	17,948
Chilean Peso		1,850,000		3,963		12/10/08		152
Euro		106,000		160,836		3/27/08		675
Indian Rupee		47,204,400		1,181,858		5/12/08		29,829
Indian Rupee		2,693,600		67,311		8/12/08		(556	)
Japanese Yen		725,565,000		6,966,216		3/13/08		238,058
Malaysian Ringgits		10,611,249		3,318,340		5/12/08		159,932
Malaysian Ringgits		612,854		191,313		8/4/08		11,195
Mexican Peso		18,521,206		1,723,914		3/13/08		79,776
Mexican Peso		6,032,672		553,242		7/10/08		5,714
New Taiwan Dollar		12,428,584		402,443		3/28/08		15,501
New Zealand Dollar		4,342,198		3,479,389		3/13/08		69,027
Philippine Peso		20,075,220		493,606		5/19/08		(4,394	)
Polish Zloty		7,061,000		3,048,935		3/13/08		123,308
Pound Sterling		156,000		309,748		3/6/08		683
Russian Ruble		29,390,715		1,209,192		7/10/08		48,192
Russian Ruble		18,808,820		764,014		11/19/08		5,746
Singapore Dollar		146,405		105,408		5/22/08		2,523
Singapore Dollar		316,819		228,814		8/28/08		4,666
Singapore Dollar		1,010,291		730,973		11/21/08		12,094
South Korean Won		1,668,896,070		1,775,876		5/30/08		(32,990	)
South Korean Won		301,291,100		320,392		8/4/08		(1,608	)
Yuan Renminbi		12,590,897		1,773,391		3/7/08		51,391
Yuan Renminbi		9,621,558		1,371,137		4/28/08		33,137
Yuan Renminbi		9,708,595		1,406,047		7/2/08		63,426

								2,323,303

Contracts to Sell:
Australian Dollar		5,382,000		5,042,626		3/6/08		(171,685	)
Australian Dollar		3,588,000		3,359,028		3/13/08		(126,187	)
Brazilian Real		7,748,737		4,601,759		3/4/08		(223,503	)
Brazilian Real		4,198,503		2,442,292		7/2/08		(124,292	)
Brazilian Real		631,350		355,912		12/2/08		(20,087	)
Canadian Dollar		1,140,000		1,163,557		3/6/08		(24,946	)
Chilean Peso		60,000,000		131,800		3/13/08		(17,964	)
Danish Krone		14,819,000		3,019,571		3/6/08		(109,540	)
Euro		51,335,000		77,891,475		3/27/08		(1,871,848	)
Japanese Yen		841,774,067		8,081,949		3/13/08		(183,573	)
Mexican Peso		18,521,206		1,723,914		3/13/08		(43,572	)
Mexican Peso		6,096,226		559,071		7/10/08		(11,071	)
New Zealand Dollar		4,324,000		3,468,535		3/6/08		(59,061	)
Polish Zloty		7,061,000		3,048,935		3/13/08		(603,312	)
Polish Zloty		7,061,000		3,016,155		7/10/08		(114,811	)
Pound Sterling		3,559,000		7,066,626		3/6/08		(22,119	)
Russian Ruble		15,322,915		623,295		11/5/08		(7,978	)
Russian Ruble		4,333,120		176,011		11/19/08		(11	)
Singapore Dollar		53,817		38,675		3/31/08		(675	)

132

Notes to Financial Statements

(continued)


							Unrealized
Foreign Currency	Local Currency		Market Value		Settlement Date		Gain (Loss)

South Korean Won		674,089,200	$	717,300		5/30/08	$	20,700
South Korean Won		601,331,000		639,453		8/4/08		(6,793	)
Yuan Renminbi		12,590,897		1,773,391		3/7/08		(60,666	)
Yuan Renminbi		9,621,558		1,371,137		4/28/08		(15,519	)
Yuan Renminbi		9,708,595		1,406,047		7/2/08		(62,204	)

								(3,860,717	)

Net Unrealized Loss on Open Forward Foreign Currency Contracts							$	(1,537,414	)

At February 29, 2008, Core Fixed Income Investments held the following interest rate swap contracts:


Swap Counterparty:	Morgan Stanley	Barclays Bank PLC
Effective Date:	December 15, 2008	June 18, 2008
Notional Amount:	5,700,000 AUD	16,800,000 USD
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 7.00%	Fixed Rate, 4.00%
Termination Date:	December 15, 2009	June 18, 2013
Unrealized Depreciation/Appreciation	$(37,943)	$205,731

Swap Counterparty:	UBS Securities LLC	Deutsche Bank AG
Effective Date:	September 15, 2008	June 18, 2008
Notional Amount:	56,000,000 AUD	5,500,000 USD
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 7.00%	Fixed Rate, 5.00%
Termination Date:	September 15, 2009	June 18, 2015
Unrealized Depreciation/Appreciation	$(359,530)	$189,194

Swap Counterparty:	Goldman Sachs & Co.	Deutsche Bank AG
Effective Date:	May 16, 2007	June 18, 2008
Notional Amount:	8,400,000 BRL	300,000 USD
Payments Made by Fund:	Floating Rate (BR-CDI-Compounded)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 10.15%	Fixed Rate, 5.00%
Termination Date:	January 2, 2012	June 18, 2038
Unrealized Depreciation/Appreciation	$(319,258)	$12,970

Swap Counterparty:	Goldman Sachs & Co.	Goldman Sachs & Co.
Effective Date:	May 16, 2007	June 18, 2008
Notional Amount:	28,300,000 BRL	34,300,000 USD
Payments Made by Fund:	Floating Rate (BR-CDI-Compounded)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 10.12%	Fixed Rate, 4.00%
Termination Date:	January 2, 2012	June 18, 2013
Unrealized Depreciation/Appreciation	$(745,774)	$1,239,641

Swap Counterparty:	Deutsche Bank AG	Lehman Brothers, Inc.
Effective Date:	June 18, 2014	May 18, 2007
Notional Amount:	1,600,000 EUR	2,100,000 USD
Payments Made by Fund:	Floating Rate (6-Month EUR-LIBOR)	Floating Rate (ATMF Straddle Premium)
Payments Received by Fund:	Fixed Rate, 5.00%	Fixed Rate, 4.65%
Termination Date:	June 18, 2034	May 18, 2017
Unrealized Appreciation	$5,228	$113,841

133

Notes to Financial Statements

(continued)


Swap Counterparty:	Barclays Bank PLC	Lehman Brothers, Inc.
Effective Date:	December 19, 2007	May 24, 2007
Notional Amount:	4,700,000 GBP	1,200,000 USD
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (ATMF Straddle Premium)
Payments Received by Fund:	Fixed Rate, 6.00%	Fixed Rate, 4.52%
Termination Date:	June 18, 2008	May 24, 2017
Unrealized Appreciation	$4,388	$78,643

Swap Counterparty:	Barclays Bank PLC	Merrill Lynch & Co., Inc.
Effective Date:	September 15, 2006	January 23, 2009
Notional Amount:	3,300,000 GBP	1,300,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%	Fixed Rate, 4.50%
Payments Received by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (ICAP CMM FRA Fixing Rate)
Termination Date:	September 15, 2010	January 24, 2009
Unrealized Appreciation	$29,421	$90,399

Swap Counterparty:	HSBC Bank USA	Merrill Lynch & Co., Inc.
Effective Date:	June 15, 2007	December 17, 2008
Notional Amount:	4,400,000 GBP	10,100,000 USD
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 5.00%	Fixed Rate, 4.00%
Termination Date:	June 15, 2009	December 17, 2010
Unrealized Appreciation	$67,111	$205,797

Swap Counterparty:	Morgan Stanley	Merrill Lynch & Co., Inc.
Effective Date:	September 18, 2008	June 18, 2008
Notional Amount:	5,400,000 GBP	16,000,000 USD
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 6.00%	Fixed Rate, 4.00%
Termination Date:	September 18, 2009	June 18, 2013
Unrealized Appreciation	$106,790	$129,108

Swap Counterparty:	Barclays Bank PLC	Morgan Stanley
Effective Date:	June 20, 2008	June 18, 2008
Notional Amount:	30,000,000 JPY	30,100,000 USD
Payments Made by Fund:	Fixed Rate, 2.00%	Fixed Rate, 4.00%
Payments Received by Fund:	Floating Rate (6-Month JPY-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Termination Date:	June 20, 2017	June 18, 2010
Unrealized Depreciation	$(4,246)	$(274,118)

Swap Counterparty:	Royal Bank of Scotland PLC	Morgan Stanley
Effective Date:	June 20, 2008	June 18, 2008
Notional Amount:	10,000,000 JPY	2,600,000 USD
Payments Made by Fund:	Fixed Rate, 2.00%	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Floating Rate (6-Month JPY-LIBOR)	Fixed Rate, 4.00%
Termination Date:	June 20, 2017	June 18, 2013
Unrealized Depreciation/Appreciation	$(1,851)	$104,193

Swap Counterparty:	UBS Securities LLC	Morgan Stanley
Effective Date:	June 20, 2008	June 18, 2008
Notional Amount:	90,000,000 JPY	16,200,000 USD
Payments Made by Fund:	Fixed Rate, 2.00%	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Floating Rate (6-Month JPY-LIBOR)	Fixed Rate, 5.00%
Termination Date:	June 20, 2017	June 18, 2018
Unrealized Depreciation/Appreciation	$(16,615)	$457,817

134

Notes to Financial Statements

(continued)


Swap Counterparty:	Merrill Lynch & Co., Inc.	Morgan Stanley
Effective Date:	November 17, 2006	June 18, 2008
Notional Amount:	44,000,000 MXN	1,000,000 USD
Payments Made by Fund:	Floating Rate (28 Day Mexico Interbank TIIE Banxico)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 8.17%	Fixed Rate, 5.00%
Termination Date:	November 4, 2016	June 18, 2038
Unrealized Appreciation	$43,846	$47,933

Swap Counterparty:	Bank of America	Royal Bank of Scotland PLC
Effective Date:	June 18, 2008	June 18, 2008
Notional Amount:	68,000,000 USD	700,000 USD
Payments Made by Fund:	Fixed Rate, 4.00%	Fixed Rate, 4.00%
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Termination Date:	June 18, 2010	June 18, 2010
Unrealized Depreciation	$(614,429)	$(6,424)

Swap Counterparty:	Bank of America	Royal Bank of Scotland PLC
Effective Date:	June 20, 2007	June 18, 2008
Notional Amount:	100,000 USD	17,000,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Fixed Rate, 4.00%
Termination Date:	June 20, 2022	June 18, 2013
Unrealized Depreciation/Appreciation	$(8,783)	$738,113

Swap Counterparty:	Bank of America	Royal Bank of Scotland PLC
Effective Date:	June 18, 2008	June 18, 2008
Notional Amount:	14,600,000 USD	3,300,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%	Fixed Rate, 5.00%
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Termination Date:	June 18, 2023	June 18, 2023
Unrealized Appreciation/Depreciation	$462,786	$(36,344)

Swap Counterparty:	Bank of America	Royal Bank of Scotland PLC
Effective Date:	June 15, 2005	June 18, 2008
Notional Amount:	1,500,000 USD	5,800,000 USD
Payments Made by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 6.00%	Fixed Rate, 5.00%
Termination Date:	June 15, 2035	June 18, 2038
Unrealized Appreciation	$113,676	$265,601

At February 29, 2008, Core Fixed Income Investments held the following index-linked swap contract:


Swap Counterparty:		UBS Securities LLC
Effective Date:		October 15, 2005
Notional Amount:		200,000 EUR
Payments Made by Fund:		Floating Rate (French CPI Ex-Tobacco Daily Reference Index)
Payments Received by Fund:		Fixed Rate, 2.15%
Termination Date:		October 15, 2010
Unrealized Appreciation		$1,327

135

Notes to Financial Statements

(continued)

At February 29, 2008, Core Fixed Income Investments held the following credit default swap contracts:


Swap Counterparty:	Bank of America	Goldman Sachs & Co.
Effective Date:	September 15, 2007	September 21, 2007
Reference Entity:	Black & Decker Corp.	Dow Jones CDX IG9 10Y Index
Notional Amount:	500,000 USD	4,600,000 USD
Termination Date:	December 20, 2012	December 20, 2017
Unrealized Appreciation	$19,102	$310,230

Swap Counterparty:	Bank of America	Goldman Sachs & Co.
Effective Date:	September 15, 2007	July 19, 2006
Reference Entity:	Clorox Co.	ABX HE AAA 06-2 Index
Notional Amount:	500,000 USD	10,300,000 USD
Termination Date:	December 20, 2012	May 25, 2046
Unrealized Appreciation/Depreciation	$12,812	$(446,863)

Swap Counterparty:	Bank of America	J.P. Morgan Chase & Co.
Effective Date:	September 15, 2007	September 21, 2006
Reference Entity:	Sherwin-Williams	Dow Jones CDX XO7 Index
Notional Amount:	600,000 USD	1,942,858 USD
Termination Date:	December 20, 2012	December 20, 2011
Unrealized Appreciation	$18,131	$122,242

Swap Counterparty:	Barclays Bank PLC	Lehman Brothers, Inc.
Effective Date:	October 19, 2006	March 21, 2007
Reference Entity:	ISTAR Financial	Dow Jones CDX IG8 Index
Notional Amount:	300,000 USD	1,300,000 USD
Termination Date:	March 20, 2011	June 20, 2012
Unrealized Appreciation	$56,008	$53,016

Swap Counterparty:	Barclays Bank PLC	Lehman Brothers, Inc.
Effective Date:	October 18, 2006	September 15, 2007
Reference Entity:	Daimler Finance North America	Masco Corp.
Notional Amount:	600,000 USD	1,400,000 USD
Termination Date:	September 20, 2011	September 20, 2012
Unrealized Appreciation	$6,102	$127,200

Swap Counterparty:	Barclays Bank PLC	Lehman Brothers, Inc.
Effective Date:	November 14, 2006	September 15, 2007
Reference Entity:	Daimler Finance North America	Viacom
Notional Amount:	300,000 USD	800,000 USD
Termination Date:	September 20, 2011	September 20, 2012
Unrealized Appreciation	$3,531	$35,103

Swap Counterparty:	Barclays Bank PLC	Lehman Brothers, Inc.
Effective Date:	September 21, 2006	September 15, 2007
Reference Entity:	Dow Jones CDX HVOL7 Index	Kohl’s Corp.
Notional Amount:	1,900,000 USD	500,000 USD
Termination Date:	December 20, 2011	December 20, 2012
Unrealized Appreciation	$158,150	$24,878

Swap Counterparty:	Barclays Bank PLC	Merrill Lynch & Co., Inc.
Effective Date:	May 19, 2007	March 28, 2007
Reference Entity:	Baxter International Inc.	Dow Jones CDX HY-8 100 Index
Notional Amount:	800,000 USD	5,346,000 USD
Termination Date:	June 20, 2012	June 20, 2012
Unrealized Appreciation	$10,957	$489,891

136

Notes to Financial Statements

(continued)


Swap Counterparty:	Barclays Bank PLC	Merrill Lynch & Co., Inc.
Effective Date:	May 19, 2007	July 24, 2007
Reference Entity:	Schlumberger Ltd.	GMAC
Notional Amount:	1,000,000 USD	4,000,000 USD
Termination Date:	June 20, 2012	September 20, 2017
Unrealized Appreciation/Depreciation	$19,401	$(855,327)

Swap Counterparty:	Barclays Bank PLC	Merrill Lynch & Co., Inc.
Effective Date:	December 8, 2007	April 4, 2007
Reference Entity:	Safeway Inc.	Saratoga CLO I, Ltd.
Notional Amount:	2,000,000 USD	1,000,000 USD
Termination Date:	December 20, 2012	December 15, 2019
Unrealized Appreciation	$43,357	$208,556

Swap Counterparty:	Barclays Bank PLC	Merrill Lynch & Co., Inc.
Effective Date:	December 11, 2007	April 4, 2007
Reference Entity:	Sherwin-Williams	Saratoga CLO I, Ltd.
Notional Amount:	3,500,000 USD	1,100,000 USD
Termination Date:	December 20, 2012	December 15, 2019
Unrealized Appreciation	$82,853	$166,403

Swap Counterparty:	Barclays Bank PLC	Merrill Lynch & Co., Inc.
Effective Date:	March 21, 2007	April 4, 2007
Reference Entity:	Dow Jones CDX 10 YR Index	Race Point CLO
Notional Amount:	4,700,000 USD	800,000 USD
Termination Date:	June 20, 2017	April 15, 2020
Unrealized Depreciation	$(278,147)	$179,591

Swap Counterparty:	Bear Stearns & Co., Inc.	Merrill Lynch & Co., Inc.
Effective Date:	September 15, 2007	April 4, 2007
Reference Entity:	Nordstrom Inc.	Race Point CLO
Notional Amount:	600,000 USD	1,100,000 USD
Termination Date:	December 20, 2012	April 15, 2020
Unrealized Appreciation	$23,099	$298,372

Swap Counterparty:	Bear Stearns & Co., Inc.	Morgan Stanley
Effective Date:	June 28, 2005	June 20, 2007
Reference Entity:	Trinity CDO, Ltd.	Russian Federation
Notional Amount:	2,000,000 USD	200,000 USD
Termination Date:	March 8, 2040	June 20, 2008
Unrealized Appreciation/Depreciation	$1,265,376	$(163)

Swap Counterparty:	Bear Stearns & Co., Inc.	Morgan Stanley
Effective Date:	October 17, 2006	April 6, 2007
Reference Entity:	ESP Funding, Ltd.	Target Corp.
Notional Amount:	510,775 USD	1,900,000 USD
Termination Date:	October 5, 2046	June 20, 2012
Unrealized Appreciation	$405,022	$57,113

Swap Counterparty:	BNP Paribas Bank	Morgan Stanley
Effective Date:	July 27, 2007	September 15, 2007
Reference Entity:	Morgan Stanley	TJX Cos., Inc. (the)
Notional Amount:	2,100,000 USD	600,000 USD
Termination Date:	September 20, 2012	December 20, 2012
Unrealized Depreciation/Appreciation	$(90,106)	$9,080

137

Notes to Financial Statements

(continued)


Swap Counterparty:	BNP Paribas Bank	Morgan Stanley
Effective Date:	November 16, 2006	October 26, 2006
Reference Entity:	HSBC Finance Corp.	Sealed Air Corp.
Notional Amount:	300,000 USD	300,000 USD
Termination Date:	December 20, 2013	September 20, 2013
Unrealized Appreciation	$33,223	$9,793

Swap Counterparty:	Credit Suisse Securities (USA) LLC	Morgan Stanley
Effective Date:	July 19, 2006	September 21, 2006
Reference Entity:	ABX HE AAA 06-2 Index	Dow Jones CDX IG7 10 YR Index
Notional Amount:	400,000 USD	1,100,000 USD
Termination Date:	May 25, 2046	December 20, 2016
Unrealized Depreciation/Appreciation	$(20,893)	$80,509

Swap Counterparty:	Credit Suisse Securities (USA) LLC	Royal Bank of Scotland PLC
Effective Date:	November 10, 2007	April 13, 2007
Reference Entity:	GM Corp.	Autozone Inc.
Notional Amount:	500,000 USD	800,000 USD
Termination Date:	December 20, 2012	June 20, 2017
Unrealized Depreciation/Appreciation	$(40,111)	$30,129

Swap Counterparty:	Deutsche Bank AG	Royal Bank of Scotland PLC
Effective Date:	September 20, 2007	April 24, 2007
Reference Entity:	Dow Jones CDX HY-9 100 Index	Autozone Inc.
Notional Amount:	4,752,000 USD	400,000 USD
Termination Date:	December 20, 2012	June 20, 2017
Unrealized Depreciation/Appreciation	$(330,804)	$15,979

Swap Counterparty:	Deutsche Bank AG	Royal Bank of Scotland PLC
Effective Date:	October 26, 2006	April 28, 2007
Reference Entity:	Goodrich Corp.	Autozone Inc.
Notional Amount:	300,000 USD	300,000 USD
Termination Date:	September 20, 2016	June 20, 2017
Unrealized Appreciation	$4,209	$11,870

Swap Counterparty:	Goldman Sachs & Co.	Royal Bank of Scotland PLC
Effective Date:	January 10, 2007	April 13, 2007
Reference Entity:	AIG Corp.	Newell Rubbermaid Inc.
Notional Amount:	1,500,000 USD	400,000 USD
Termination Date:	March 20, 2008	June 20, 2017
Unrealized Depreciation/Appreciation	$(1,257)	$12,906

Swap Counterparty:	Goldman Sachs & Co.	UBS Securities LLC
Effective Date:	September 21, 2007	April 13, 2007
Reference Entity:	Dow Jones CDX IG9 5YR Index	Newell Rubbermaid Inc.
Notional Amount:	23,600,000 USD	200,000 USD
Termination Date:	December 20, 2012	June 20, 2017
Unrealized Depreciation/Appreciation	$(445,784)	$6,531

Swap Counterparty:	Goldman Sachs & Co.
Effective Date:	September 15, 2007
Reference Entity:	Wal-Mart Stores Inc.
Notional Amount:	600,000 USD
Termination Date:	December 20, 2012
Unrealized Appreciation	$5,655

138

Notes to Financial Statements

(continued)

At February 29, 2008, International Fixed Income Investments held the following interest rate swap contracts:


Swap Counterparty:	BNP Paribas Bank	Deutsche Bank AG
Effective Date:	February 5, 2008	December 15, 2006
Notional Amount:	1,700,000	10,100,000 EUR
Payments Made by Fund:	Floating Rate (Spreadlock - USSP2)	Fixed Rate, 4.00%
Payments Received by Fund:	Fixed Rate, 0.71%	Floating Rate (6-Month EUR Euribor)
Termination Date:	February 5, 2009	December 15, 2011
Unrealized Depreciation/Appreciation	$(5,815)	$286,739

Swap Counterparty:	Barclays Bank PLC	Deutsche Bank AG
Effective Date:	September 15, 2008	June 15, 2007
Notional Amount:	11,700,000 AUD	3,000,000 EUR
Payments Made by Fund:	Floating Rate (3-Month AUD BB)	Floating Rate (6-Month EUR-Euribor)
Payments Received by Fund:	Fixed Rate, 7.00%	Fixed Rate, 4.00%
Termination Date:	September 15, 2009	December 15, 2011
Unrealized Depreciation/Appreciation	$(81,329)	$111,574

Swap Counterparty:	Credit Suisse Securities (USA) LLC	Deutsche Bank AG
Effective Date:	June 16, 2008	September 19, 2007
Notional Amount:	2,100,000 AUD	5,100,000 EUR
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Floating Rate (6-Month EUR Euribor)
Payments Received by Fund:	Fixed Rate, 7.25%	Fixed Rate, 4.00%
Termination Date:	June 15, 2013	September 19, 2012
Unrealized Depreciation/Appreciation	$(26,597)	$219,860

Swap Counterparty:	Deutsche Bank AG	Deutsche Bank AG
Effective Date:	January 15, 2008	September 17, 2008
Notional Amount:	8,050,000 AUD	27,100,000 EUR
Payments Made by Fund:	Floating Rate (3-Month AUD BB)	Floating Rate (6-Month EUR-LIBOR)
Payments Received by Fund:	Fixed Rate, 6.50%	Fixed Rate, 4.00%
Termination Date:	January 15, 2009	September 17, 2013
Unrealized Depreciation/Appreciation	$(80,782)	$132,391

Swap Counterparty:	Deutsche Bank AG	Goldman Sachs & Co.
Effective Date:	June 16, 2008	June 15, 2007
Notional Amount:	12,500,000 AUD	51,900,000 EUR
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Fixed Rate, 5.00%
Payments Received by Fund:	Fixed Rate, 7.00%	Floating Rate (6-Month EUR Euribor)
Termination Date:	June 15, 2010	December 15, 2011
Unrealized Depreciation	$(170,721)	$(1,396,027)

139

Notes to Financial Statements

(continued)


Swap Counterparty:	Deutsche Bank AG	Goldman Sachs & Co.
Effective Date:	June 16, 2008	September 17, 2008
Notional Amount:	3,800,000 AUD	13,900,000 EUR
Payments Made by Fund:	Fixed Rate, 6.50%	Floating Rate (6-Month EUR-LIBOR)
Payments Received by Fund:	Floating Rate (6-Month AUD BB)	Fixed Rate, 4.00%
Termination Date:	June 15, 2017	September 17, 2013
Unrealized Appreciation	$98,344	$160,740

Swap Counterparty:	Deutsche Bank AG	Goldman Sachs & Co.
Effective Date:	December 15, 2007	March 19, 2008
Notional Amount:	900,000 AUD	1,200,000 EUR
Payments Made by Fund:	Fixed Rate, 6.75%	Fixed Rate, 5.00%
Payments Received by Fund:	Floating Rate (6-Month AUD BB)	Floating Rate (6-Month EUR Euribor)
Termination Date:	December 15, 2017	March 19, 2038
Unrealized Appreciation/Depreciation	$24,023	$(123,145)

Swap Counterparty:	HSBC Bank USA	Morgan Stanley
Effective Date:	June 15, 2007	September 17, 2008
Notional Amount:	7,500,000 AUD	10,600,000 EUR
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Floating Rate (6-Month EUR-LIBOR)
Payments Received by Fund:	Fixed Rate, 6.00%	Fixed Rate, 3.50%
Termination Date:	June 15, 2012	September 17, 2010
Unrealized Depreciation/Appreciation	$(378,634)	$373

Swap Counterparty:	HSBC Bank USA	Morgan Stanley
Effective Date:	June 15, 2007	December 15, 2008
Notional Amount:	4,300,000 AUD	4,900,000 EUR
Payments Made by Fund:	Fixed Rate, 6.00%	Floating Rate (6-Month EUR-LIBOR)
Payments Received by Fund:	Floating Rate (6-Month AUD BBSW)	Fixed Rate, 4.00%
Termination Date:	June 15, 2017	December 15, 2014
Unrealized Appreciation	$338,825	$106,233

Swap Counterparty:	Morgan Stanley	Morgan Stanley
Effective Date:	June 16, 2008	January 11, 2005
Notional Amount:	4,700,000 AUD	3,900,000 EUR
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Fixed Rate, 6.00%
Payments Received by Fund:	Fixed Rate, 7.00%	Floating Rate (6-Month EUR Euribor)
Termination Date:	June 15, 2010	June 18, 2034
Unrealized Depreciation/Appreciation	$(60,787)	$49,341

Swap Counterparty:	Morgan Stanley	Morgan Stanley
Effective Date:	June 16, 2008	June 18, 2014
Notional Amount:	2,400,000 AUD	2,900,000 EUR
Payments Made by Fund:	Fixed Rate, 6.50%	Floating Rate (6-Month EUR-LIBOR)
Payments Received by Fund:	Floating Rate (6-Month AUD BB)	Fixed Rate, 4.50%
Termination Date:	June 15, 2017	June 18, 2034
Unrealized Appreciation/Depreciation	$57,870	$(12,513)

140

Notes to Financial Statements

(continued)


Swap Counterparty:	UBS Securities LLC	Royal Bank of Scotland PLC
Effective Date:	March 15, 2009	June 18, 2014
Notional Amount:	12,400,000 AUD	400,000 EUR
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Floating Rate (6-Month EUR-LIBOR)
Payments Received by Fund:	Fixed Rate, 7.50%	Fixed Rate, 4.50%
Termination Date:	March 15, 2010	June 18, 2034
Unrealized Appreciation/Depreciation	$7,014	$(1,486)

Swap Counterparty:	UBS Securities LLC	Barclays Bank PLC
Effective Date:	June 16, 2008	June 15, 2007
Notional Amount:	12,100,000 AUD	1,800,000 GBP
Payments Made by Fund:	Floating Rate (6-Month AUD BB)	Floating Rate (6-Month GBP-LIBOR)
Payments Received by Fund:	Fixed Rate, 7.25%	Fixed Rate, 5.00%
Termination Date:	June 16, 2011	June 15, 2009
Unrealized Depreciation/Appreciation	$(94,692)	$6,055

Swap Counterparty:	Goldman Sachs & Co.	Barclays Bank PLC
Effective Date:	May 16, 2007	September 15, 2005
Notional Amount:	12,400,000 BRL	500,000 GBP
Payments Made by Fund:	Floating Rate (BR-CDI-Compounded)	Floating Rate (6-Month GBP-LIBOR)
Payments Received by Fund:	Fixed Rate, 10.15%	Fixed Rate, 5.00%
Termination Date:	January 2, 2012	September 15, 2015
Unrealized Depreciation	$(243,862)	$(29,467)

Swap Counterparty:	UBS Securities LLC	Barclays Bank PLC
Effective Date:	July 3, 2007	December 15, 2015
Notional Amount:	8,000,000 BRL	2,100,000 GBP
Payments Made by Fund:	Fixed Rate, 10.58%	Fixed Rate, 4.00%
Payments Received by Fund:	Floating Rate (BR-CDI-Compounded)	Floating Rate (6-Month GBP-LIBOR)
Termination Date:	January 2, 2012	December 15, 2035
Unrealized Depreciation/Appreciation	$(150,638)	$436,254

Swap Counterparty:	Barclays Bank PLC	Deutsche Bank AG
Effective Date:	March 19, 2008	September 15, 2006
Notional Amount:	13,300,000 EUR	400,000 GBP
Payments Made by Fund:	Floating Rate (6-Month EUR-LIBOR)	Floating Rate (6-Month GBP-LIBOR)
Payments Received by Fund:	Fixed Rate, 4.00%	Fixed Rate, 5.00%
Termination Date:	March 19, 2010	September 15, 2015
Unrealized Appreciation/Depreciation	$245,342	$(3,865)

Swap Counterparty:	Goldman Sachs & Co.	Deutsche Bank AG
Effective Date:	June 15, 2007	June 20, 2008
Notional Amount:	500,000 GBP	360,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Fixed Rate, 2.00%
Payments Received by Fund:	Fixed Rate, 5.00%	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	June 15, 2009	June 20, 2017
Unrealized Depreciation	$(6,323)	$(49,847)

141

Notes to Financial Statements

(continued)


Swap Counterparty:	Goldman Sachs & Co.	Deutsche Bank AG
Effective Date:	March 20, 2008	December 20, 2007
Notional Amount:	4,900,000 GBP	250,000,000 JPY
Payments Made by Fund:	Fixed Rate, 5.00%	Fixed Rate, 2.50%
Payments Received by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	March 20, 2010	December 20, 2027
Unrealized Depreciation	$(11,111)	$(105,573)

Swap Counterparty:	Goldman Sachs & Co.	Goldman Sachs & Co.
Effective Date:	March 20, 2008	March 19, 2008
Notional Amount:	5,500,000 GBP	440,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Payments Received by Fund:	Fixed Rate, 5.00%	Fixed Rate, 1.00%
Termination Date:	March 20, 2013	March 18, 2009
Unrealized Appreciation	$253,336	$4,577

Swap Counterparty:	Goldman Sachs & Co.	Goldman Sachs & Co.
Effective Date:	March 20, 2008	June 20, 2008
Notional Amount:	2,500,000 GBP	950,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Fixed Rate, 2.00%
Payments Received by Fund:	Fixed Rate, 5.50%	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	March 20, 2013	June 20, 2010
Unrealized Appreciation/Depreciation	$118,178	$(156,643)

Swap Counterparty:	Goldman Sachs & Co.	Goldman Sachs & Co.
Effective Date:	September 15, 2006	December 20, 2005
Notional Amount:	500,000 GBP	1,300,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Payments Received by Fund:	Fixed Rate, 5.00%	Fixed Rate, 1.50%
Termination Date:	September 15, 2015	December 20, 2015
Unrealized Appreciation/Depreciation	$19,957	$(58,008)

Swap Counterparty:	HSBC Bank USA	Goldman Sachs & Co.
Effective Date:	September 15, 2006	June 20, 2008
Notional Amount:	4,400,000 GBP	850,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Payments Received by Fund:	Fixed Rate, 5.00%	Fixed Rate, 2.00%
Termination Date:	September 15, 2010	June 20, 2017
Unrealized Appreciation/Depreciation	$16,832	$(119,007)

Swap Counterparty:	HSBC Bank USA	Goldman Sachs & Co.
Effective Date:	September 15, 2006	December 20, 2007
Notional Amount:	200,000 GBP	270,000,000 JPY
Payments Made by Fund:	Fixed Rate, 5.00%	Fixed Rate, 3.00%
Payments Received by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	September 15, 2015	June 20, 2036
Unrealized Appreciation/Depreciation	$8,534	$(248,116)

142

Notes to Financial Statements

(continued)


Swap Counterparty:	J.P. Morgan Chase & Co.	Morgan Stanley
Effective Date:	September 15, 2006	March 19, 2008
Notional Amount:	800,000 GBP	2,750,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Payments Received by Fund:	Fixed Rate, 5.00%	Fixed Rate, 1.00%
Termination Date:	September 15, 2015	March 18, 2009
Unrealized Depreciation/Appreciation	$(9,827)	$28,277

Swap Counterparty:	Morgan Stanley	Morgan Stanley
Effective Date:	June 15, 2007	June 20, 2008
Notional Amount:	1,800,000 GBP	420,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Payments Received by Fund:	Fixed Rate, 5.00%	Fixed Rate, 1.50%
Termination Date:	June 15, 2009	December 20, 2012
Unrealized Depreciation/Appreciation	$(1,881)	$31,331

Swap Counterparty:	Morgan Stanley	Morgan Stanley
Effective Date:	September 15, 2006	June 20, 2008
Notional Amount:	1,700,000 GBP	40,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Fixed Rate, 1.50%
Payments Received by Fund:	Fixed Rate, 5.00%	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	September 15, 2010	June 20, 2015
Unrealized Depreciation	$(14,376)	$(4,260)

Swap Counterparty:	Royal Bank of Scotland PLC	Morgan Stanley
Effective Date:	September 15, 2006	September 27, 2006
Notional Amount:	1,200,000 GBP	400,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month GBP-LIBOR)	Fixed Rate, 1.98%
Payments Received by Fund:	Fixed Rate, 5.00%	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	September 15, 2015	September 27, 2016
Unrealized Depreciation	$(16,023)	$(162,728)

Swap Counterparty:	Barclays Bank PLC	Morgan Stanley
Effective Date:	June 20, 2008	June 20, 2007
Notional Amount:	330,000,000 JPY	270,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month JPY-LIBOR)	Fixed Rate, 2.50%
Payments Received by Fund:	Fixed Rate, 1.50%	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	December 20, 2012	June 20, 2036
Unrealized Appreciation/Depreciation	$763	$(122,536)

Swap Counterparty:	Barclays Bank PLC	UBS Securities LLC
Effective Date:	June 20, 2008	September 18, 2007
Notional Amount:	60,000,000 JPY	1,930,000,000 JPY
Payments Made by Fund:	Fixed Rate, 2.00%	Floating Rate (6-Month JPY-LIBOR)
Payments Received by Fund:	Floating Rate (6-Month JPY-LIBOR)	Fixed Rate, 1.00%
Termination Date:	June 20, 2017	September 18, 2008
Unrealized Depreciation	$(8,491)	$(31,453)

143

Notes to Financial Statements

(continued)


Swap Counterparty:	Barclays Bank PLC	UBS Securities LLC
Effective Date:	December 20, 2006	March 19, 2008
Notional Amount:	280,000,000 JPY	1,190,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month JPY-LIBOR)	Fixed Rate, 1.00%
Payments Received by Fund:	Fixed Rate, 2.00%	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	December 20, 2025	March 18, 2009
Unrealized Appreciation	$169,882	$297,481

Swap Counterparty:	Deutsche Bank AG	UBS Securities LLC
Effective Date:	March 19, 2008	June 20, 2008
Notional Amount:	150,000,000 JPY	530,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month JPY-LIBOR)	Floating Rate (6-Month JPY-LIBOR)
Payments Received by Fund:	Fixed Rate, 1.00%	Fixed Rate, 1.50%
Termination Date:	March 18, 2009	December 20, 2012
Unrealized Appreciation	$40,813	$39,628

Swap Counterparty:	Deutsche Bank AG	UBS Securities LLC
Effective Date:	June 20, 2008	June 20, 2007
Notional Amount:	230,000,000 JPY	90,000,000 JPY
Payments Made by Fund:	Floating Rate (6-Month JPY-LIBOR)	Fixed Rate, 2.50%
Payments Received by Fund:	Fixed Rate, 1.50%	Floating Rate (6-Month JPY-LIBOR)
Termination Date:	December 20, 2012	June 20, 2036
Unrealized Appreciation/Depreciation	$16,627	$(30,488)

Swap Counterparty:	Bank of America	Deutsche Bank AG
Effective Date:	December 18, 2013	June 18, 2008
Notional Amount:	32,000,000 USD	6,000,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%	Fixed Rate, 5.00%
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Termination Date:	December 18, 2015	June 18, 2015
Unrealized Depreciation	$(87,612)	$(206,394)

Swap Counterparty:	Bank of America	Merrill Lynch & Co., Inc.
Effective Date:	June 18, 2008	May 21, 2009
Notional Amount:	2,600,000 USD	1,000,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%	Fixed Rate, 5.50%
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (ICAP CMM FRA Fixing Rate)
Termination Date:	June 18, 2038	May 22, 2009
Unrealized Appreciation/Depreciation	$18,139	$(27,831)

Swap Counterparty:	Barclays Bank PLC	Morgan Stanley
Effective Date:	June 17, 2009	June 18, 2008
Notional Amount:	17,400,000 USD	18,700,000 USD
Payments Made by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 4.00%	Fixed Rate, 5.00%
Termination Date:	June 17, 2010	June 18, 2018
Unrealized Appreciation	$82,694	$969,937

144

Notes to Financial Statements

(continued)


Swap Counterparty:	Barclays Bank PLC	Morgan Stanley
Effective Date:	June 18, 2008	June 20, 2007
Notional Amount:	30,500,000 USD	300,000 USD
Payments Made by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Fixed Rate, 4.00%	Fixed Rate, 5.00%
Termination Date:	June 18, 2010	June 20, 2037
Unrealized Appreciation	$141,274	$12,965

Swap Counterparty:	Barclays Bank PLC	Morgan Stanley
Effective Date:	June 18, 2008	June 18, 2008
Notional Amount:	11,500,000 USD	2,700,000 USD
Payments Made by Fund:	Fixed Rate, 4.00%	Fixed Rate, 5.00%
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Floating Rate (3-Month USD-LIBOR)
Termination Date:	June 18, 2013	June 18, 2038
Unrealized Depreciation	$(109,299)	$(129,420)

Swap Counterparty:	Barclays Bank PLC	Royal Bank of Scotland PLC
Effective Date:	June 20, 2007	June 18, 2008
Notional Amount:	2,000,000 USD	14,400,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Fixed Rate, 4.00%
Termination Date:	June 20, 2037	June 18, 2010
Unrealized Appreciation	$86,396	$148,417

Swap Counterparty:	Barclays Bank PLC	Royal Bank of Scotland PLC
Effective Date:	June 18, 2008	June 17, 2009
Notional Amount:	4,700,000 USD	46,100,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Fixed Rate, 4.00%
Termination Date:	June 18, 2038	June 17, 2011
Unrealized Appreciation	$29,641	$487,352

Swap Counterparty:	Royal Bank of Scotland PLC	Royal Bank of Scotland PLC
Effective Date:	June 18, 2008	June 18, 2008
Notional Amount:	11,600,000 USD	600,000 USD
Payments Made by Fund:	Fixed Rate, 4.00%	Floating Rate (3-Month USD-LIBOR)
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)	Fixed Rate, 5.00%
Termination Date:	June 18, 2013	June 18, 2018
Unrealized Depreciation/Appreciation	$(27,599)	$25,871

Swap Counterparty:	Royal Bank of Scotland PLC
Effective Date:	June 18, 2008
Notional Amount:	1,600,000 USD
Payments Made by Fund:	Fixed Rate, 5.00%
Payments Received by Fund:	Floating Rate (3-Month USD-LIBOR)
Termination Date:	June 18, 2015
Unrealized Depreciation	$(61,013)

145

Notes to Financial Statements

(continued)

At February 29, 2008, International Fixed Income Investments held the following index-linked swap contract:


Swap Counterparty:		Goldman Sachs & Co.
Effective Date:		June 15, 2007
Notional Amount:		1,300,000 EUR
Payments Made by Fund:		Floating Rate (French CPI Ex Tobacco Daily Reference Index)
Payments Received by Fund:		Fixed Rate, 2.08%
Termination Date:		June 15, 2012
Unrealized Depreciation		$(25,438)

At February 29, 2008, International Fixed Income Investments held the following credit default swap contracts:


Swap Counterparty:	Barclays Bank PLC	Barclays Bank PLC
Effective Date:	September 20, 2007	September 27, 2006
Reference Entity:	Dow Jones I Traxx	XL Capital Europe PLC
Notional Amount:	1,500,000 EUR	100,000 USD
Termination Date:	December 20, 2012	March 20, 2012
Unrealized Appreciation	$107,659	$9,960

Swap Counterparty:	Barclays Bank PLC	Barclays Bank PLC
Effective Date:	September 20, 2006	June 2, 2007
Reference Entity:	Dow Jones I Traxx	Capital One Bank
Notional Amount:	200,000 EUR	400,000 USD
Termination Date:	December 20, 2016	June 20, 2012
Unrealized Appreciation	$21,880	$49,163

Swap Counterparty:	BNP Paribas Bank	Barclays Bank PLC
Effective Date:	September 20, 2006	June 2, 2007
Reference Entity:	Dow Jones I Traxx	Weyerhaeuser Co.
Notional Amount:	600,000 EUR	100,000 USD
Termination Date:	December 20, 2016	June 20, 2017
Unrealized Appreciation	$65,633	$7,928

Swap Counterparty:	Deutsche Bank AG	Bear Stearns & Co., Inc.
Effective Date:	September 20, 2006	September 22, 2006
Reference Entity:	Dow Jones I Traxx	CNA Financial Corp.
Notional Amount:	100,000 EUR	100,000 USD
Termination Date:	December 20, 2016	September 20, 2011
Unrealized Appreciation	$12,168	$2,852

Swap Counterparty:	HSBC Bank USA	Bear Stearns & Co., Inc.
Effective Date:	September 20, 2006	September 27, 2006
Reference Entity:	Dow Jones I Traxx	HJ Heinz Finance Co.
Notional Amount:	100,000 EUR	100,000 USD
Termination Date:	December 20, 2016	March 20, 2012
Unrealized Appreciation	$10,943	$916

Swap Counterparty:	J.P. Morgan Chase & Co.	Bear Stearns & Co., Inc.
Effective Date:	September 20, 2006	May 4, 2007
Reference Entity:	Dow Jones I Traxx	Diamond Offshore Drilling Inc.
Notional Amount:	100,000 EUR	100,000 USD
Termination Date:	December 20, 2016	June 20, 2012
Unrealized Appreciation	$10,939	$1,593

146

Notes to Financial Statements

(continued)


Swap Counterparty:	Bank of America	Bear Stearns & Co., Inc.
Effective Date:	April 6, 2007	October 28, 2006
Reference Entity:	Lehman Brothers Holdings Inc.	Goldman Sachs Group Inc.
Notional Amount:	500,000 USD	200,000 USD
Termination Date:	June 20, 2008	March 20, 2016
Unrealized Depreciation/Appreciation	$(3,737)	$14,321

Swap Counterparty:	Bank of America	Credit Suisse Securities (USA) LLC
Effective Date:	April 6, 2007	October 12, 2006
Reference Entity:	Merrill Lynch & Co. Inc.	Centerpoint Energy Inc.
Notional Amount:	600,000 USD	200,000 USD
Termination Date:	June 20, 2008	June 20, 2008
Unrealized Depreciation/Appreciation	$(4,020)	$286

Swap Counterparty:	Bank of America	Credit Suisse Securities (USA) LLC
Effective Date:	January 12, 2008	December 15, 2007
Reference Entity:	GMAC	Gazprom
Notional Amount:	500,000 USD	300,000 USD
Termination Date:	March 20, 2009	December 20, 2008
Unrealized Appreciation/Depreciation	$189	$(37)

Swap Counterparty:	Bank of America	Credit Suisse Securities (USA) LLC
Effective Date:	October 25, 2007	October 18, 2006
Reference Entity:	HSBC Finance Corp.	ISTAR Financial
Notional Amount:	200,000 USD	300,000 USD
Termination Date:	June 20, 2012	March 20, 2012
Unrealized Appreciation	$14,436	$63,171

Swap Counterparty:	Bank of America	Deutsche Bank AG
Effective Date:	June 2, 2007	April 6, 2007
Reference Entity:	Noble Corp.	Bear Stearns Cos., Inc.
Notional Amount:	100,000 USD	200,000 USD
Termination Date:	June 20, 2012	June 20, 2008
Unrealized Appreciation/Depreciation	$524	$(2,070)

Swap Counterparty:	Bank of America	Deutsche Bank AG
Effective Date:	October 3, 2007	April 5, 2007
Reference Entity:	Ford Motor Credit Co. LLC	Goldman Sachs Group Inc.
Notional Amount:	200,000 USD	500,000 USD
Termination Date:	December 20, 2012	June 20, 2008
Unrealized Depreciation	$(28,184)	$(2,433)

Swap Counterparty:	Barclays Bank PLC	Deutsche Bank AG
Effective Date:	October 31, 2006	April 5, 2007
Reference Entity:	Ryder System Inc.	Lehman Brothers Holdings Inc.
Notional Amount:	200,000 USD	700,000 USD
Termination Date:	March 20, 2009	June 20, 2008
Unrealized Appreciation/Depreciation	$1,148	$(5,195)

Swap Counterparty:	Barclays Bank PLC	Deutsche Bank AG
Effective Date:	November 1, 2006	April 5, 2007
Reference Entity:	Sealed Air Corp.	Merrill Lynch & Co. Inc.
Notional Amount:	200,000 USD	900,000 USD
Termination Date:	June 20, 2009	June 20, 2008
Unrealized Appreciation/Depreciation	$1,060	$(6,099)

147

Notes to Financial Statements

(continued)


Swap Counterparty:	Barclays Bank PLC	Deutsche Bank AG
Effective Date:	November 4, 2006	December 12, 2007
Reference Entity:	National Grid PLC	VTB Capital
Notional Amount:	300,000 USD	100,000 USD
Termination Date:	June 20, 2011	December 20, 2008
Unrealized Appreciation	$7,110	$8

Swap Counterparty:	Deutsche Bank AG	Goldman Sachs & Co.
Effective Date:	December 21, 2007	March 21, 2007
Reference Entity:	SLM Corp.	Dow Jones CDX 10Y Index
Notional Amount:	200,000 USD	17,600,000 USD
Termination Date:	March 20, 2009	June 20, 2017
Unrealized Depreciation/Appreciation	$(2,914)	$1,163,425

Swap Counterparty:	Deutsche Bank AG	Goldman Sachs & Co.
Effective Date:	September 19, 2006	June 2, 2007
Reference Entity:	Ace Ina Holdings Inc.	International Paper Co.
Notional Amount:	100,000 USD	100,000 USD
Termination Date:	June 20, 2014	June 20, 2017
Unrealized Appreciation	$3,753	$5,897

Swap Counterparty:	Deutsche Bank AG	Goldman Sachs & Co.
Effective Date:	September 19, 2006	June 2, 2007
Reference Entity:	Tate & Lyle International	Meadwestvaco Corp.
Notional Amount:	100,000 USD	100,000 USD
Termination Date:	December 20, 2014	June 20, 2017
Unrealized Appreciation	$6,094	$4,853

Swap Counterparty:	Deutsche Bank AG	HSBC Bank USA
Effective Date:	February 12, 2008	December 11, 2007
Reference Entity:	Macy’s Inc.	Gazprom
Notional Amount:	1,000,000 USD	900,000 USD
Termination Date:	December 20, 2016	December 20, 2008
Unrealized Depreciation	$(1,372)	$(257)

Swap Counterparty:	Deutsche Bank AG	J.P. Morgan Chase & Co.
Effective Date:	March 21, 2007	August 3, 2006
Reference Entity:	Dow Jones CDX 10Y	Federative Republic of Brazil
Notional Amount:	2,600,000 USD	2,000,000 USD
Termination Date:	June 20, 2017	August 20, 2011
Unrealized Appreciation	$182,450	$12,704

Swap Counterparty:	Goldman Sachs & Co.	J.P. Morgan Chase & Co.
Effective Date:	December 15, 2007	September 27, 2006
Reference Entity:	Russian Federation	CNA Financial Corp.
Notional Amount:	600,000 USD	100,000 USD
Termination Date:	December 20, 2008	March 20, 2012
Unrealized Appreciation	$204	$2,852

Swap Counterparty:	Goldman Sachs & Co.	Lehman Brothers, Inc.
Effective Date:	January 31, 2008	August 9, 2006
Reference Entity:	GMAC	Federative Republic of Brazil
Notional Amount:	200,000 USD	3,400,000 USD
Termination Date:	March 20, 2009	August 20, 2011
Unrealized Depreciation/Appreciation	$(3,144)	$14,288

148

Notes to Financial Statements

(continued)


Swap Counterparty:	Goldman Sachs & Co.	Lehman Brothers, Inc.
Effective Date:	January 5, 2008	July 28, 2007
Reference Entity:	SLM Corp.	Dow Jones CDX HY Index
Notional Amount:	200,000 USD	100,000 USD
Termination Date:	March 20, 2009	June 20, 2012
Unrealized Depreciation	$(1,651)	$(3,613)

Swap Counterparty:	Goldman Sachs & Co.	Lehman Brothers, Inc.
Effective Date:	May 16, 2007	March 21, 2007
Reference Entity:	RSHB Capital SA	Dow Jones CDX IG8 Index
Notional Amount:	300,000 USD	5,700,000 USD
Termination Date:	May 20, 2012	June 20, 2012
Unrealized Depreciation/Appreciation	$(23,795)	$210,305

Swap Counterparty:	Goldman Sachs & Co.	Lehman Brothers, Inc.
Effective Date:	July 26, 2007	August 8, 2007
Reference Entity:	Dow Jones CDX HY Index	GMAC
Notional Amount:	300,000 USD	400,000 USD
Termination Date:	June 20, 2012	September 20, 2012
Unrealized Depreciation	$(21,115)	$(56,408)

Swap Counterparty:	Goldman Sachs & Co.	Lehman Brothers, Inc.
Effective Date:	June 2, 2007	June 6, 2007
Reference Entity:	Carnival Corp.	Meadwestvaco Corp.
Notional Amount:	100,000 USD	300,000 USD
Termination Date:	June 20, 2012	June 20, 2017
Unrealized Appreciation	$4,384	$15,023

Swap Counterparty:	Goldman Sachs & Co.	Lehman Brothers, Inc.
Effective Date:	April 14, 2007	June 6, 2007
Reference Entity:	SLM Corp.	Weyerhaeuser Co.
Notional Amount:	100,000 USD	100,000 USD
Termination Date:	June 20, 2012	June 20, 2017
Unrealized Depreciation/Appreciation	$(14,663)	$7,907

Swap Counterparty:	Goldman Sachs & Co.	Merrill Lynch & Co., Inc.
Effective Date:	February 22, 2008	December 14, 2007
Reference Entity:	General Electric Capital Corp.	SLM Corp.
Notional Amount:	600,000 USD	300,000 USD
Termination Date:	March 20, 2013	December 20, 2008
Unrealized Depreciation	$(4,655)	$(2,718)

Swap Counterparty:	Goldman Sachs & Co.	Merrill Lynch & Co., Inc.
Effective Date:	January 16, 2008	May 15, 2007
Reference Entity:	Government of Spain	Morgan Stanley Bank AG
Notional Amount:	1,600,000 USD	200,000 USD
Termination Date:	March 20, 2013	May 20, 2012
Unrealized Depreciation	$(6,390)	$(13,961)

Swap Counterparty:	Goldman Sachs & Co.	Merrill Lynch & Co., Inc.
Effective Date:	January 12, 2008	August 10, 2007
Reference Entity:	Government of Spain	Dow Jones CDX HY Index
Notional Amount:	3,900,000 USD	2,000,000 USD
Termination Date:	March 20, 2013	June 20, 2012
Unrealized Depreciation	$(15,459)	$(226,521)

149

Notes to Financial Statements

(continued)


Swap Counterparty:	Merrill Lynch & Co., Inc.	Morgan Stanley
Effective Date:	July 31, 2007	August 2, 2006
Reference Entity:	Dow Jones CDX HY Index	Federative Republic of Brazil
Notional Amount:	300,000 USD	2,000,000 USD
Termination Date:	June 20, 2012	August 20, 2011
Unrealized Depreciation/Appreciation	$(11,272)	$15,019

Swap Counterparty:	Morgan Stanley	Morgan Stanley
Effective Date:	December 14, 2007	June 9, 2007
Reference Entity:	Gazprom	Weyerhaeuser Co.
Notional Amount:	200,000 USD	100,000 USD
Termination Date:	December 20, 2008	June 20, 2017
Unrealized Depreciation/Appreciation	$(38)	$7,242

Swap Counterparty:	Morgan Stanley	Royal Bank of Scotland PLC
Effective Date:	December 19, 2007	October 26, 2006
Reference Entity:	Gazprom	Landsbanki Islands hf
Notional Amount:	200,000 USD	200,000 USD
Termination Date:	December 20, 2008	September 20, 2009
Unrealized Depreciation/Appreciation	$(54)	$15,097

Swap Counterparty:	Royal Bank of Scotland PLC	UBS Securities LLC
Effective Date:	December 12, 2007	April 5, 2007
Reference Entity:	DR Horton	AIG, Inc.
Notional Amount:	200,000 USD	1,200,000 USD
Termination Date:	March 20, 2010	June 20, 2008
Unrealized Appreciation/Depreciation	$3,442	$(6,023)

Swap Counterparty:	Royal Bank of Scotland PLC	UBS Securities LLC
Effective Date:	September 19, 2006	September 27, 2006
Reference Entity:	Daimler Finance North America	Capital One Financial Corp.
Notional Amount:	100,000 USD	100,000 USD
Termination Date:	September 20, 2011	September 20, 2011
Unrealized Appreciation	$875	$10,756

Swap Counterparty:	Royal Bank of Scotland PLC	Wachovia Bank N.A.
Effective Date:	August 8, 2007	May 4, 2007
Reference Entity:	Supervalu Inc.	Globalsantafe Corp.
Notional Amount:	100,000 USD	100,000 USD
Termination Date:	September 20, 2012	June 20, 2012
Unrealized Depreciation	$(2,207)	$(694)

Swap Counterparty:	Royal Bank of Scotland PLC
Effective Date:	February 13, 2008
Reference Entity:	AIG, Inc.
Notional Amount:	500,000 USD
Termination Date:	March 20, 2013
Unrealized Appreciation	$6,503

At February 29, 2008, Core Fixed Income Investments and International Fixed Income Investments had total net unrealized appreciation of $4,195,165 and $2,264,484 respectively, from swap contracts.

During the six-months ended February 29, 2008, Core Fixed Income Investments entered into mortgage dollar roll transactions in the aggregate amount of $267,357,337.

At February 29, 2008, Core Fixed Income Investments had outstanding mortgage dollar rolls with a total cost of $91,454,257.

150

Notes to Financial Statements

(continued)

For the six months ended February 29, 2008, Core Fixed Income Investments recorded interest income (loss) of $(46,143) related to such mortgage rolls.


4.	Shares of Beneficial Interest

At February 29, 2008, the Trust had an unlimited number of shares authorized with a par value of $0.001 per share. At February 29, 2008, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.

Transactions in shares of each Fund were as follows:


	Six Months Ended			Year Ended
	February 29,			August 31,
	2008			2007

Large Capitalization Growth Investments
Shares Sold		20,599,209			45,074,316
Shares issued on reinvestment		2,578,679			—
Shares repurchased		(29,146,659	)		(25,913,573	)

Net Increase (Decrease)		(5,968,771	)		19,160,743

Large Capitalization Value Equity Investments
Shares Sold		20,161,019			31,269,276
Shares issued on reinvestment		16,613,900			10,091,077
Shares repurchased		(18,128,479	)		(26,438,680	)

Net Increase		18,646,440			14,921,673

Small Capitalization Growth Investments
Shares Sold		3,826,806			4,776,289
Shares repurchased		(4,332,515	)		(6,103,574	)

Net Decrease		(505,709	)		(1,327,285	)

Small Capitalization Value Equity Investments
Shares Sold		4,307,733			4,945,416
Shares issued on reinvestment		4,865,741			3,997,706
Shares repurchased		(5,446,134	)		(7,073,705	)

Net Increase		3,727,340			1,869,417

International Equity Investments
Shares Sold		24,643,923			27,896,868
Shares issued on reinvestment		9,999,535			1,943,267
Shares repurchased		(13,784,467	)		(20,150,816	)

Net Increase		20,858,991			9,689,319

Emerging Markets Equity Investments
Shares Sold		11,399,616			11,933,875
Shares issued on reinvestment		2,677,207			174,684
Shares repurchased		(4,910,683	)		(5,572,571	)

Net Increase		9,166,140			6,535,988

151

Notes to Financial Statements

(continued)


	Six Months Ended			Year Ended
	February 29,			August 31,
	2008			2007

Core Fixed Income Investments
Shares Sold		41,817,906			36,757,606
Shares issued on reinvestment		3,002,856			4,839,040
Shares repurchased		(23,091,172	)		(28,870,321	)

Net Increase		21,729,590			12,726,325

High Yield Investments
Shares Sold		15,285,701			8,699,001
Shares issued on reinvestment		1,085,723			2,538,947
Shares repurchased		(4,076,925	)		(42,246,239	)

Net Increase (Decrease)		12,294,499			(31,008,291	)

International Fixed Income Investments
Shares Sold		4,929,900			12,220,568
Shares issued on reinvestment		543,508			816,554
Shares repurchased		(6,461,064	)		(6,736,262	)

Net Increase (Decrease)		(987,656	)		6,300,860

Municipal Bond Investments
Shares Sold		5,784,393			3,916,281
Shares issued on reinvestment		173,406			201,301
Shares repurchased		(1,548,264	)		(1,220,800	)

Net Increase		4,409,535			2,896,782

Money Market Investments
Shares Sold		248,828,718			129,087,916
Shares issued on reinvestment		4,091,131			4,269,358
Shares repurchased		(222,274,584	)		(100,797,219	)

Net Increase		30,645,265			32,560,055


5.	Dividends Subsequent to February 29, 2008

Subsequent to the fiscal year end, the Funds made the following distributions:


Record Date	Core Fixed Income		High Yield		Municipal Bond		Money Market
Payable Date	Investments		Investments		Investments		Investments

3/28/08 — 3/31/08	$	.033151	$	.032078	$	.025439	$	.002123

152

Notes to Financial Statements

(continued)


6.	Capital Loss Carry forward

As of August 31, 2007, the Funds had the following net capital loss carryforwards remaining:


	Large		Large		Small			Small
	Capitalization		Capitalization		Capitalization			Capitalization
	Growth		Value Equity		Growth			Value Equity		International		Emerging Markets
Year of Expiration	Investments		Investments		Investments			Investments		Equity Investments		Equity Investments

8/31/2010	$	—		—	$	(63,647,133	)		—	$	—	$	—
8/31/2011		—		—		(191,873,306	)		—		—		—
8/31/2012		—		—		—			—		—		—

	$	—		—	$	(255,520,439	)		—	$	—	$	—


	Core Fixed						International Fixed
	Income			High Yield			Income			Municipal Bond			Money Market
Year of Expiration	Investments			Investments			Investments			Investments			Investments

8/31/2008	$	(2,292,182	)		—			—			—		$	(9,983	)
8/31/2009		—		$	(2, 258,308	)		—		$	(1,846,063	)		(11,128	)
8/31/2010		—			(45,159,946	)		—			—			—
8/31/2011		(4,723,104	)		(37,864,134	)		—			—			—
8/31/2012		(2,218,969	)		—			—			—			—
8/31/2013		—			—			—			—			—
8/31/2014		(1,156,834	)		(1,114,740	)	$	(242,180	)		(45,465	)		—
8/31/2015		(5,954,469	)		—			(875,063	)		(55,354	)		—

	$	(16,346,058	)	$	(86,397,128	)	$	(1,117,243	)	$	(1,946,882	)	$	(21,111	)

These amounts will be available to offset any future taxable capital gains.


7.	Regulatory Matters

On July 13, 2007, the New York Stock Exchange, LLC (“NYSE”) issued a Hearing Board Decision in connection with the settlement of an enforcement proceeding by NYSE Regulation, Inc. (“NYSE Regulation”) and the New Jersey Bureau of Securities (“NJBS”) against Citigroup Global Markets, Inc. (“CGMI” or “the Firm”), an affiliate of Citigroup Investment Advisory Services (“CIAS”), the investment adviser to the Trust, relating to the practice of market timing in proprietary and non-proprietary mutual funds by financial advisors (“FAs”) at the Firm.

The decision concerned the Firm’s failure to supervise adequately its branch offices and certain registered representatives who engaged in deceptive mutual fund market timing on behalf of some customers during the period from January 2000 through April 2003. The decision notes that market timing occurred in the Firm’s proprietary funds, which include the Portfolios of the Trust, as well as in non-proprietary funds. Between 1998 and May 2000, the Firm made an effort to end market timing in its proprietary funds and its fee-based mutual fund trading programs, including TRAK. Market timing by CGMI FAs in proprietary funds was largely ended by late 2001 or early 2002. The decision finds that the Firm failed to supervise its FAs adequately and failed to maintain books and records of the trading in mutual fund sub-accounts. Further, the NYSE found that while the Firm had policies in place to address market timing, such policies were ineffective to stop certain FAs from market timing and were inadequately enforced. The decision cited three CGMI branches in particular for the most serious conduct, and noted that six branches accounted for over 40% of all market-timing transactions. The NYSE noted the Firm’s cooperation during the course of the investigation.

Without admitting or denying guilt, the Firm consented to a finding that it had violated NYSE Rule 342 by failing to reasonably supervise certain business activities and to establish and maintain appropriate procedures for supervision and control with respect to trading of mutual funds and mutual fund-like sub-accounts of variable annuities; violated NYSE Rules 401(a) and 476(a) by failing to prevent certain brokers from engaging in violative market timing of mutual funds, including use of deceptive practices related to market timing of mutual funds; and violated Section 17(a) of the Securities

153

Notes to Financial Statements

(continued)

Exchange Act of 1934, Rules 17a-3 and 17a-4 thereunder, and NYSE Rule 440 by failing to make or preserve accurate books and records reflecting or relating to order communication and entry time for mutual fund shares, rejection or cancellation of trades related to market timing, and orders or confirmations for transactions executed by Firm employees in variable annuity products sub-accounts held away from the Firm.

The Firm consented to the imposition of a penalty consisting of censure and a payment of $50,000,000, to be distributed as follows: (a) $35,000,000 is to be placed in a distribution fund as disgorgement; (b) a penalty of $10,000,000, of which $5,000,000 is to be paid directly to NYSE Regulation and $5,000,000 is to be placed directly in the distribution fund; and (c) a penalty of $5,000,000 which is to be paid to the State of New Jersey.

The Firm is required to retain, within 90 days as the date on which the Hearing Board Decision becomes final, an Independent Distribution Consultant not unacceptable to NYSE Regulation, who will develop a distribution plan for the distribution of the disgorgement amount and internal earnings thereon, according to a methodology developed by the Firm and not unacceptable to NYSE Regulation. To the extent feasible, this disgorgement amount shall go first to the Firm’s customers who during the period January 2000 through September 2003 invested long-term in the mutual funds that were the subject of the market timing, with any funds not distributed to be paid to NYSE Regulation. Investors who held shares in the funds during the relevant time period may be eligible to receive a portion of such distributions and will be notified of such eligibility as the distribution plan proceeds. Although there can be no assurance, the manager does not believe that this matter will have a material adverse affect on the Trust.

On December 1, 2005, Citigroup completed the sale of substantially all of its global asset management business, including Smith Barney Fund Management, LLC (“SBFM”), to Legg Mason. The Trust was not included in the sale.

On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against SBFM, at the time a division of Citigroup, and currently, a wholly-owned subsidiary of Legg Mason and the then-investment adviser or manager to the Fund, and CGM, relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds, including the Fund (the “Affected Funds”).

The SEC order found that SBFM and CGM willfully violated Section 206(1) of the Investment Advisers Act of 1940, as amended, and the rules promulgated thereunder (the “Advisers Act”). Specifically, the order found that SBFM and CGM knowingly or recklessly failed to disclose to the boards of the Affected Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that: First Data Investors Services Group (“First Data”), the Affected Funds’ then existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before; and that Citigroup Asset Management (“CAM”), the Citigroup business unit that, at the time, included the Affected Funds’ investment manager and other investment advisory companies, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange, among other things, for a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGM. The order also found that SBFM and CGM willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Affected Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Affected Funds’ best interests and that no viable alternatives existed.

SBFM and CGM do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding. The SEC censured SBFM and CGM and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order required Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Affected Funds, primarily through fee waivers. The remaining $183.7 million, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan submitted for the approval of the SEC. At this time, there is no certainty as to how the above-described proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made. The order also required that transfer agency fees received from the Affected Funds since December 1, 2004, less certain expenses, be placed in escrow and provided that a portion of such fees might be subsequently

154

Notes to Financial Statements

(continued)

distributed in accordance with the terms of the order. On April 3, 2006, an aggregate amount of approximately $9 million held in escrow was distributed to the Affected Funds.

The order required SBFM to recommend a new transfer agent contract to the Affected Funds’ boards within 180 days of the entry of the order; if a Citigroup affiliate submitted a proposal to serve as transfer agent or sub-transfer agent, SBFM and CGM would have been required, at their expense, to engage an independent monitor to oversee a competitive bidding process. On November 21, 2005, and within the specified timeframe, the Affected Funds’ Boards selected a new transfer agent for the Affected Funds. No Citigroup affiliate submitted a proposal to serve as transfer agent. Under the order, SBFM also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004.

Although there can be no assurance, the manager does not believe that this matter will have a material adverse effect on the Affected Funds.


8.	Legal Matters

Beginning in August 2005, five putative class action lawsuits alleging violations of federal securities laws and state law were filed against CGM and SBFM, (collectively, the “Defendants”) based on the May 31, 2005 settlement order issued against the Defendants by the SEC described in Note 6. The complaints seek injunctive relief and compensatory and punitive damages, removal of SBFM as advisor to the Funds, rescission of the Funds’ management and other contracts with SBFM, recovery of all fees paid to SBFM pursuant to such contracts, and an award of attorneys’ fees and litigation expenses.

On December 28, 2005, the five actions were consolidated in Federal District Court in the Southern District of New York. On April 17, 2006, the Court appointed a lead plaintiff and lead counsel, who filed a consolidated, amended complaint on June 2, 2006. The consolidated, amended complaint alleged violations of federal securities laws and added as defendants two former SBFM executives, Thomas Jones and Lewis Daidone. On October 3, 2006, the Defendants filed a motion and supporting memorandum to dismiss all of these claims. On November 28, 2006, plaintiffs filed a memorandum in opposition to Defendants’ motion to dismiss, and Defendants filed a reply brief on December 19, 2006. Oral arguments on the motion to dismiss occurred on February 1, 2007. On September 26, 2007, the district court issued an order granting defendants’ motion to dismiss. The order gave plaintiffs through and including October 19, 2007 to replead the one claim that was dismissed without prejudice, but plaintiffs chose not to do so. However, plaintiffs appealed the dismissal of their remaining claims with prejudice, and that appeal is in the process of being briefed.

CGM believes that resolution of the pending lawsuits will not have a material effect on the financial position or results of operations of the Funds or the ability of SBFM and its affiliates to continue to render services to the Funds under their respective contracts.


9.	Other Matters

None.


10.	Recent Accounting Pronouncements

During June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48” or the “Interpretation”), Accounting for Uncertainty in Income Taxes - an interpretation of FASB statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 prescribes a comprehensive model for how a fund should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the fund has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained based solely on its technical merits. Management must be able to conclude that the tax law, regulations, case law, and other objective information regarding the technical merits sufficiently support the position’s sustainability with a likelihood of more than 50 percent. FIN 48 is effective for fiscal periods beginning after December 15, 2006, which for the Funds will be September 1, 2007. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Trust has reviewed the tax position of the Funds

155

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited)

Board Approval of New Investment Advisory Agreements (unaudited)

At a meeting held in person on February 27, 2008, the Trust’s Board, including a majority of the Independent Board Members, approved a new investment advisory agreement (the “Investment Advisory Agreement”) with Marsico Capital Management, LLC (“Marsico”) on behalf of the Trust’s International Equity Investments the (“Portfolio”). To assist the Board in its consideration of the Investment Advisory Agreement, the Manager provided materials and information about Marsico, including its financial condition, asset management capabilities and organization. The materials and information were provided in advance of and at the in person meeting. Representatives of Marsico also made a presentation to and responded to questions from the Board.

In their deliberations concerning the Investment Advisory Agreement, among other things, the Board Members considered:

(i) that the Manager conducted a thorough search process in selecting Marsico, including a review of the universe of international equity sub-advisers, including managers that had a recommended opinion from the Manager’s research department, eventually narrowing the search through discussions with research personnel and eliminating candidates with potential affiliation problems;

(ii) Marsico met all qualitative and quantitative requirements and was “recommended” by the Manager’s research department;

(iii) the history, reputation, qualification and background of Marsico, as well as the adviser’s personnel and financial conditions;

(iv) the experience of Marsico’s key personnel in institutional investing and the quality of services that it would be expected to provide the Portfolio;

(v) Marsico’s investment performance;

(vi) that Marsico had approximately $106 billion in assets under management;

(vii) that Marsico’s Rule 38a-1 policies and procedures were found to be in compliance with the Rule;

(viii) the fee and expense ratios of comparable sub-advisers and mutual funds;

(ix) that the terms of the Investment Advisory Agreement with Marsico was substantially similar in all respects to the agreements between the additional investment advisers to the Portfolio, except with respect to fees.

The Board concluded that, overall, the nature, extent and quality of services expected to be provided under the Investment Advisory Agreement was acceptable. The Investment Advisory Agreement with Marsico became effective on March 17, 2008.

157

Additional Information

(unaudited)

Trustees and Executive Officers of the Trust

Overall responsibility for management and supervision of the Trust rests with the Board of Trustees. The Trustees approve all significant agreements between the Trust and the companies that furnish services to the Portfolios, including agreements with the Portfolio’s distributor, investment advisers, custodian and transfer agent. The day-to-day operations of the Portfolios are delegated to the Portfolios’ Manager, the Consulting Group, a division of Citigroup Investment Advisory Services Inc. (“CIAS”)

The names of the Trustees and executive officers of the Trust, together with information as to their principal business occupations, are set forth below. The executive officers of the Trust are employees of organizations that provide services to the Portfolios. Each Trustee who is an “interested person” of the Trust, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”), is indicated by an asterisk.

Term of

Number of

Office*

Portfolios

and

in Fund

Position(s)

Length

Complex

Other Board

Name, Address and

Held with

of Time

Principal Occupation(s)

Overseen

Memberships

Birth Year

Fund

Served

During Past Five Years

by Trustee

Held by Trustee

Non-Interested Trustees

Armon E. Kamesar
7328 Country Club Drive
La Jolla, CA 92037
Birthdate: 1927

Chairman and
Trustee

Since
1994

Chairman, TEC
International (organization of chief executives).

None

Walter E. Auch
6001 N. 62nd Place
Paradise Valley, AZ 85253
Birthdate: 1921

Trustee

Since
2006; Mr. Auch previously served as a Trustee of the Trust from 1991 to December 2001.

Retired.

Trustee Emeritus, Nicholas Applegate Funds; Director, UBS Funds; Director, US Bancorp Advisory Group

H. John Ellis
858 E. Crystal Downs Drive
Frankfort, MI 49635
Birthdate: 1927

Trustee

Since
1999

Retired.

None

Stephen E. Kaufman
Stephen E. Kaufman, P.C.
277 Park Avenue, 47th Fl.
New York, NY 10172
Birthdate: 1932

Trustee

Since
1991

Attorney, Stephen E. Kaufman, P.C. (1957-present).

None

John J. Murphy
268 Main Street
Gladstone, NJ 07934
Birthdate: 1944

Trustee

Since
2006

President, Murphy Capital Management (investment management).

Director, Nicholas Applegate Funds, Legg Mason
Equity Funds

Mark J. Reed
101 S. Hanley Rd.
Suite 1260
St. Louis, MO 63105
Birthdate: 1964

Trustee

Since 2007

Managing Director and Chief Compliance, Officer, Bush O’Donnell Investments Advisors, Inc., (1988-present).

None

158

Additional Information

(unaudited) (continued)

Term of

Number of

Office*

Portfolios

and

in Fund

Position(s)

Length

Complex

Other Board

Name, Address and

Held with

of Time

Principal Occupation(s)

Overseen

Memberships

Birth Year

Fund

Served

During Past Five Years

by Trustee

Held by Trustee

Interested Trustees:

Laurie A. Hesslein**
Citigroup Global Markets Inc.
(“CGM”)
787 Seventh Ave.,
15th Floor
New York, NY 10019
Birthdate: 1959

Trustee

Since 2006

Managing Director, Chief Administrative Officer, Private Client Services, Citi Smith Barney (2004-present); Managing Director, Investment Products, Private Client Services, Smith Barney (2003-2006); Director and member of the Audit Committee, CitiStreet, Retirement Plan Record Keeper (2002-present); Interested Director, Vice President of a 501(c)(3) public charity which hosts Citi Impact Funding Trust (Citi GIFT), a donor-advised fund (2000-current).

None

W. Thomas Matthews**
CGM
453 Banks Mill Road SE
Aiken, SC 29801
Birthdate: 1949

Trustee

Since 2006

Retired; Advisor, Smith Barney (2005-2007); previously, President and Chief Executive Officer, Smith Barney (2002-2005).

None

159

Additional Information

(unaudited) (continued)

Term of

Number of

Office*

Portfolios

and

in Fund

Position(s)

Length

Complex

Other Board

Name, Address and

Held with

of Time

Principal Occupation(s)

Overseen

Memberships

Birth Year

Fund

Served

During Past Five Years

by Trustee

Held by Trustee

Officers:

James J. Tracy
CGM
787 Seventh Avenue,
15th Floor
New York, NY 10019
Birthdate: 1957

Chief Executive Officer and President

Since 2007

Executive Vice President and Investment Officer of the Trust; Executive Vice President, Director, Investment Advisory Services, Smith Barney (2007-present) Executive Vice President, Director, Consulting Group (2006-2007); previously, Great Lakes Regional Director, Smith Barney Private Client Group (2000-2006).

N/A

James F. Walker
CGM
787 Seventh Avenue
32nd Floor
New York, NY 10019
Birthdate: 1963

Chief
Financial Officer and Treasurer

Since 2007

Managing Director, CGM; Chief Operating Officer, Investment Advisory Services, Smith Barney (2006-present); previously, Chief Administrative Officer, Merrill Lynch Global Private Client group since prior to 2002.

N/A

LeRoy T. Pease III
The Consulting Group
222 Delaware Avenue
Wilmington, DE 19801
Birthdate: 1958

Vice President and Investment Officer

Since 1996

Senior Vice President, CGM.

N/A

Stephen M. Hagan
The Consulting Group
222 Delaware Avenue
Wilmington, DE 19801
Birthdate: 1968

Investment Officer

Since 1997

Director, CGM
(2008-present); previously, Senior Vice President, CGM (2006-2007); First Vice President, CGM (2002- 2005).

N/A

Mark C. Kennard
The Consulting Group
222 Delaware Avenue
Wilmington, DE 19801
Birthdate: 1958

Vice President and Investment Officer

Since 2004

Senior Vice President, CGM; previously, Strategy Analyst, Smith Barney (1992-2007).

N/A

160

Additional Information

(unaudited) (continued)

Term of

Number of

Office*

Portfolios

and

in Fund

Position(s)

Length

Complex

Other Board

Name, Address and

Held with

of Time

Principal Occupation(s)

Overseen

Memberships

Birth Year

Fund

Served

During Past Five Years

by Trustee

Held by Trustee

Robert Seidel
The Consulting Group
100 Light Street
4th Floor Baltimore,
MD 21202
Birthdate: 1975

Investment Officer

Since 2007

First Vice President, CGM (2006-present); previously Vice President, Legg Mason (1997-2006).

N/A

Jay T. Shearon
The Consulting Group
222 Delaware Avenue
Wilmington, DE 19801
Birthdate: 1972

Investment Officer

Since 2007

Vice President, CGM, (2005-present); previously, Assistant Vice President (2000-2005).

N/A

Steven Hartstein
CGM
485 Lexington Ave.
New York, NY 10017
Birthdate: 1963

Chief Compliance Officer

Since 2006

Director, CGM and Assistant Director, Investment Advisory Services Compliance, Smith Barney
(2008-present); previously, Senior Vice President, CGM and Assistant Director, Investment Advisory Services Compliance, Smith Barney (2006-2007); Senior Compliance Officer, Mercer Investment Consulting and Mercer Global Investments (2004- 2006); Director and Senior Compliance Officer, UBS Global Asset Management (2002-2004).

N/A

Carmen Z. Menendez-Puerto
CGM
485 Lexington Ave.
New York, NY 10017
Birthdate: 1961

Chief Anti- Money Laundering Compliance Officer

Since 2006

Managing Director, CGM (2007-present); Director, CGM (2005-2006); Senior Vice President, CGM (2003-2004), First Vice President, Citibank Global Relationship Bank (2002- 2003); Director, Smith Barney Anti-Money Laundering program (2005- present); previously, Director, Smith Barney Equity Research Compliance (2003-2005).

N/A

161

Additional Information

(unaudited) (continued)

Term of

Number of

Office*

Portfolios

and

in Fund

Position(s)

Length

Complex

Other Board

Name, Address and

Held with

of Time

Principal Occupation(s)

Overseen

Memberships

Birth Year

Fund

Served

During Past Five Years

by Trustee

Held by Trustee

Paul F. Gallagher
222 Delaware Avenue
7th Floor
Wilmington, DE 19801
Birthdate: 1959

Chief Legal Officer and Secretary

Since 2007

Director and Associate General Counsel, CGM (2006-present); previously, Senior Vice President and General Counsel, ICMA Retirement Corporation (2004-2006); Vice President and General Counsel, ICMA Retirement Corporation (1998-2003).

N/A

Israel Grafstein
CGM
485 Lexington Ave.
New York, NY 10017
Birthdate: 1974

Assistant Secretary

Since 2006

Senior Vice President and Associate General Counsel, CGM
(2008-present); previously, First Vice President and Associate General Counsel, CGM (2006-2007); Legal Counsel, Credit Suisse Asset Management (2005); Associate at Herrick, Feinstein LLP (2004-2005); Regulatory Attorney, State of New Jersey Attorney General’s Office (2003-2004).

N/A

Dominic Maurillo
CGM
787 Seventh Avenue
32nd Floor
New York, NY 10019
Birthdate: 1967

Chief Operating Officer

Since 2007

First Vice President, CGM; previously, Senior Vice President, D.F. King & Co., Inc.

N/A


*		Each Trustee and Officer serves until his or her successor has been duly elected and qualified.
**		Ms. Hesslein and Mr. Matthews are interested persons of the Trust as defined in the 1940 Act because each is or was an officer of CGM and certain of its affiliates.

162

Important Tax Information

(unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2007:


	Large Capitalization			Small Capitalization			International
	Value Equity			Value Equity			Equity			Emerging Markets
	Investments			Investments			Investments			Equity Investments

Record Date:		12/14/2006			12/14/2006			12/14/2006			12/14/2006
Payable Date:		12/15/2006			12/15/2006			12/15/2006			12/15/2006
Ordinary Income:
Qualified Dividend Income for Individuals		72.70	%		35.85	%		93.47	%		100.00	%
Dividends Qualifying for the Dividends Received Deduction for Corporations		68.08	%		37.41	%		—			—
Foreign Source Income		—			—			77.30	%**		100.00	%**
Foreign Taxes Paid Per Share		—			—			$.029248			$.043435
Long-Term Capital Gain Dividend		$.660306	*		$1.738724	*		—			—


	Core Fixed Income					International Fixed					Municipal Bond			Money Market
	Investments					Income Investments					Investments			Investments

Record Date:		Monthly		Monthly			Monthly		Monthly			Monthly			Monthly
Payable Date:		September 2006 to		January 2007 to			September 2006 to		January 2007 to			Monthly			Monthly
		December 2006		August 2007			December 2006		August 2007
Interest from Tax-
Exempt Obligations		—		—			—		—			98.94	%		—
Interest from Federal Obligations		12.20	%	18.74	%		11.74	%	1.45	%		—			1.34	%
Tax Return of Capital		—		—			—					—			—


**		Expressed as a percentage of the cash distribution grossed-up for foreign taxes.
*		Of this amount, 0.146% for Large Capitalization Value Equity Investments and 0.103% for Small Capitalization Value Equity Investments represented Unrecaptured Section 1250 gains subject to a maximum 25% rate.

The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.

The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.

Please retain this information for your records.

163

CITIGROUP GLOBAL MARKETS INC.
Distributor

CITIGROUP INVESTMENT ADVISORY SERVICES INC.
Investment Adviser

This report is submitted for the general information of the shareholders of Consulting Group Capital Markets Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-800-451-2010.

Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-800-451-2010, (2) on the Funds’ website at www.smithbarney.com and (3) on the SEC’s website at www.sec.gov.

^© 2008 Citigroup Global Markets Inc. Member SIPC. Smith Barney and Consulting Group are divisions of Citigroup Global Markets Inc. Smith Barney is a service mark of Citigroup Global Markets Inc. and its affiliates and is used and registered throughout the world. CITI, CITI and Arc Design and CITIGROUP are trademarks and service marks of Citigroup and are used and registered throughout the world. Securities are offered through Citigroup Global Markets Inc. Investments are not FDIC-insured or bank-guaranteed, and investors may lose money.

Consulting Group Capital Markets Funds

222 Delaware Avenue

Wilmington, Delaware 19801


TK 2120A, 2/08

ITEM 2. CODE OF ETHICS.

(a) The registrant, as of the end of the period covered by this report (the “Reporting Period”), has made non-material revisions to its adopted code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(f) The registrant has included a copy of its code of ethics as an exhibit to this report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not Applicable. This item is only required in an annual report on Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not Applicable. This item is only required in an annual report on Form N-CSR.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Not applicable.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.


Large Capitalization Value Equity Investments

Face
Amount		Security	Value


TIME DEPOSITS — 3.1%
$	1,941,890	Bank of America — London, 2.540% due 3/3/08	$	1,941,890
	49,059,736	Wells Fargo — Grand Cayman, 2.540% due 3/3/08		49,059,736

		TOTAL TIME DEPOSITS (Cost — $51,001,626)		51,001,626

		TOTAL SHORT-TERM INVESTMENTS (Cost — $157,280,098)		157,280,098

		TOTAL INVESTMENTS — 105.5% (Cost — $1,734,662,581#)		1,751,425,656
		Liabilities in Excess of Other Assets — (5.5%)		(91,976,632	)

		TOTAL NET ASSETS — 100.0%	$	1,659,449,024


Small Capitalization Growth Investments

Face
Amount		Security	Value


TIME DEPOSITS — 1.6%
$	5,459,466	Wells Fargo — Grand Cayman, 2.540% due 3/3/08 (Cost — $5,459,467)	$	5,459,467

		TOTAL SHORT-TERM INVESTMENTS (Cost — $98,303,642)		98,303,642

		TOTAL INVESTMENTS — 126.4% (Cost — $413,378,243#)		432,524,852
		Liabilities in Excess of Other Assets — (26.4%)		(90,439,848	)

		TOTAL NET ASSETS — 100.0%	$	342,085,004



Shareholder Letter			I

Consulting Group Capital Markets Funds Performance Summary			V

Fund Expenses			1

Schedules of Investments			3

Large Capitalization Growth Investments			3

Large Capitalization Value Equity Investments			8

Small Capitalization Growth Investments			14

Small Capitalization Value Equity Investments			20

International Equity Investments			28

Emerging Markets Equity Investments			35

Core Fixed Income Investments			45

High Yield Investments			72

International Fixed Income Investments			84

Municipal Bond Investments			93

Money Market Investments			98

Statements of Assets and Liabilities			102

Statements of Operations			104

Statements of Changes in Net Assets			106

Financial Highlights			110

Notes to Financial Statements			121

Board Approval of Management Agreement and Investment Advisory Agreements			157

Additional Information			158

Important Tax Information			163


Financials	19.4	%
Industrials	13.1
Consumer Discretionary	10.6
Materials	9.5
Energy	8.5
Health Care	7.6
Telecommunication Services	7.0
Information Technology	5.8
Consumer Staples	5.7
Utilities	2.8
Short-Term Investments	10.0

	100.0	%


Financials	21.3	%
Energy	20.5
Materials	15.7
Telecommunication Services	10.5
Industrials	9.2
Information Technology	8.7
Consumer Discretionary	4.8
Consumer Staples	1.7
Utilities	1.4
Health Care	0.8
Short-Term Investments	5.4

	100.0	%


AMBAC	—	Ambac Assurance Corporation
AMT	—	Alternative Minimum Tax
COP	—	Certificate of Participation
EFA	—	Educational Facilities Authority
FGIC	—	Financial Guaranty Insurance Company
FNMA	—	Federal National Mortgage Association
FSA	—	Financial Security Assurance
GNMA	—	Government National Mortgage Association
GO	—	General Obligation
GTDSTD	—	Guaranteed Student Loans
HEFA	—	Health & Educational Facilities Authority
MBIA	—	Municipal Bond Investors Assurance Corporation
PSF	—	Public School Fund Guaranteed
XLCA	—	XL Capital Assurance Inc.


Education	21.8	%
General Obligation	19.3
Transportation	13.3
Water and Sewer	12.3
Hospitals	7.2
Tax Allocation	6.9
Public Facilities	5.2
Pre-Refunded	4.3
Miscellaneous	4.1
Utilities	3.0
Housing: Single-Family	2.6

	100.0	%


SP-1		— Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
A-1		— Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
VMIG 1		— Moody’s highest rating for issues having a demand feature — VRDO.
P-1		— Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating.
F-1		— Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign.



(Registrant)		Consulting Group Capital Markets Funds

By (Signature and Title)*		/s/ JAMES J. TRACY

		James J. Tracy, Chief Executive Officer
		(principal executive officer)

Date: May 9, 2008