N-Q 1 nq123105af3_llr.htm N-Q FILING

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

_______________________________

Investment Company Act file number 811-06576

DWS Advisor Funds III (formerly Scudder Advisor Funds III)

(Exact name of registrant as specified in charter)

 

One South Street

Baltimore, MD 21202

(Address of principal executive offices)             (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY 10154

(Name and address of agent for service)

Registrant's telephone number, including area code: (212) 454-7190

Date of fiscal year end: 3/31

Date of reporting period: 12/31/05

Form N-Q is to be used by registered management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-4). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

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

 

ITEM 1. SCHEDULE OF INVESTMENTS

 

 

 

Investment Portfolio                          as of December 31, 2005 (Unaudited)  

 

DWS Lifecycle Long Range Fund

(formerly Lifecycle Long Range Fund)

 

 

Shares

 

Value ($)

 

Common Stocks 54.8%

 

Consumer Discretionary 6.2%

 

Auto Components 0.1%

 

Cooper Tire & Rubber Co.

 

2,200

 

33,704

Goodyear Tire & Rubber Co.*

 

25,100

 

436,238

Johnson Controls, Inc.

 

7,000

 

510,370

Visteon Corp.*

 

4,700

 

29,422

 

1,009,734

Automobiles 0.1%

 

Ford Motor Co.

 

68,000

 

524,960

Harley-Davidson, Inc.

 

10,000

 

514,900

 

1,039,860

Distributors 0.1%

 

Genuine Parts Co.

 

13,900

 

610,488

Diversified Consumer Services 0.1%

 

Apollo Group, Inc. "A"*

 

10,700

 

646,922

Hotels Restaurants & Leisure 0.9%

 

Carnival Corp.

 

15,800

 

844,826

Darden Restaurants, Inc.

 

13,500

 

524,880

Harrah's Entertainment, Inc.

 

6,700

 

477,643

Hilton Hotels Corp.

 

12,000

 

289,320

Marriott International, Inc. "A"

 

6,000

 

401,820

McDonald's Corp.

 

46,000

 

1,551,120

Starbucks Corp.*

 

38,900

 

1,167,389

Starwood Hotels & Resorts Worldwide, Inc.

 

11,900

 

759,934

YUM! Brands, Inc.

 

10,300

 

482,864

 

6,499,796

Household Durables 0.5%

 

Black & Decker Corp.

 

5,700

 

495,672

Centex Corp.

 

8,100

 

579,069

D.R. Horton, Inc.

 

19,000

 

678,870

Fortune Brands, Inc.

 

5,400

 

421,308

KB Home

 

2,900

 

210,714

Leggett & Platt, Inc.

 

6,800

 

156,128

Lennar Corp. "A"

 

5,000

 

305,100

Newell Rubbermaid, Inc.

 

24,000

 

570,720

Pulte Homes, Inc.

 

7,900

 

310,944

The Stanley Works

 

2,600

 

124,904

Whirlpool Corp.

 

2,400

 

201,024

 

4,054,453

Internet & Catalog Retail 0.3%

 

Amazon.com, Inc.*

 

18,000

 

848,700

eBay, Inc.*

 

41,800

 

1,807,850

 

2,656,550

 

 


 

 

Leisure Equipment & Products 0.1%

 

Brunswick Corp.

 

3,600

 

146,376

Eastman Kodak Co.

 

10,500

 

245,700

Mattel, Inc.

 

14,800

 

234,284

 

626,360

Media 1.6%

 

CCE Spinco, Inc.*

 

1

 

6

Clear Channel Communications, Inc.*

 

19,800

 

622,710

Comcast Corp. "A"*

 

79,300

 

2,058,628

E.W. Scripps Co. "A"

 

3,100

 

148,893

Interpublic Group of Companies, Inc.*

 

15,800

 

152,470

Knight Ridder, Inc.

 

2,500

 

158,250

McGraw-Hill Companies, Inc.

 

13,700

 

707,331

Meredith Corp.

 

1,500

 

78,510

News Corp. "A"

 

49,100

 

763,505

Omnicom Group, Inc.

 

6,600

 

561,858

Time Warner, Inc.

 

189,400

 

3,303,136

Univision Communications, Inc. "A"*

 

8,100

 

238,059

Viacom, Inc. "B"*

 

39,200

 

1,277,920

Walt Disney Co.

 

70,300

 

1,685,091

 

11,756,367

Multiline Retail 0.7%

 

Big Lots, Inc.*

 

4,200

 

50,442

Dillard's, Inc. "A"

 

16,000

 

397,120

Family Dollar Stores, Inc.

 

5,600

 

138,824

Federated Department Stores, Inc.

 

400

 

26,532

J.C. Penney Co., Inc.

 

13,100

 

728,360

Kohl's Corp.*

 

12,600

 

612,360

Nordstrom, Inc.

 

17,000

 

635,800

Sears Holdings Corp.*

 

5,817

 

672,038

Target Corp.

 

32,100

 

1,764,537

 

5,026,013

Specialty Retail 1.3%

 

AutoNation, Inc.*

 

6,600

 

143,418

AutoZone, Inc.*

 

4,700

 

431,225

Bed Bath & Beyond, Inc.*

 

10,900

 

394,035

Best Buy Co., Inc.

 

14,900

 

647,852

Circuit City Stores, Inc.

 

5,700

 

128,763

Home Depot, Inc.

 

85,700

 

3,469,136

Limited Brands, Inc.

 

12,700

 

283,845

Lowe's Companies, Inc.

 

33,500

 

2,233,110

Office Depot, Inc.*

 

21,900

 

687,660

OfficeMax, Inc.

 

2,600

 

65,936

Staples, Inc.

 

26,700

 

606,357

Tiffany & Co.

 

5,200

 

199,108

TJX Companies, Inc.

 

16,900

 

392,587

 

9,683,032

Textiles, Apparel & Luxury Goods 0.4%

 

Coach, Inc.*

 

23,800

 

793,492

Jones Apparel Group, Inc.

 

15,200

 

466,944

Liz Claiborne, Inc.

 

3,900

 

139,698

NIKE, Inc. "B"

 

10,800

 

937,332

Reebok International Ltd.

 

7,700

 

448,371

VF Corp.

 

3,300

 

182,622

 

2,968,459

 

 


 

 

Consumer Staples 4.9%

 

Beverages 1.2%

 

Anheuser-Busch Companies, Inc.

 

14,100

 

605,736

Coca-Cola Co.

 

83,800

 

3,377,978

Coca-Cola Enterprises, Inc.

 

11,100

 

212,787

Constellation Brands, Inc. "A"*

 

20,300

 

532,469

Molson Coors Brewing Co. "B"

 

2,100

 

140,679

Pepsi Bottling Group, Inc.

 

5,000

 

143,050

PepsiCo, Inc.

 

66,300

 

3,917,004

 

8,929,703

Food & Staples Retailing 1.1%

 

Albertsons, Inc.

 

13,400

 

286,090

Costco Wholesale Corp.

 

17,300

 

855,831

CVS Corp.

 

29,700

 

784,674

Kroger Co.*

 

26,500

 

500,320

Safeway, Inc.

 

16,500

 

390,390

SUPERVALU, Inc.

 

4,900

 

159,152

Wal-Mart Stores, Inc.

 

91,300

 

4,272,840

Walgreen Co.

 

18,500

 

818,810

 

8,068,107

Food Products 0.5%

 

Archer-Daniels-Midland Co.

 

23,900

 

589,374

Campbell Soup Co.

 

6,800

 

202,436

ConAgra Foods, Inc.

 

18,900

 

383,292

General Mills, Inc.

 

13,000

 

641,160

H.J. Heinz Co.

 

22,000

 

741,840

Kellogg Co.

 

9,400

 

406,268

McCormick & Co., Inc.

 

4,900

 

151,508

Sara Lee Corp.

 

27,700

 

523,530

William Wrigley Jr. Co.

 

6,500

 

432,185

 

4,071,593

Household Products 1.2%

 

Colgate-Palmolive Co.

 

18,900

 

1,036,665

Kimberly-Clark Corp.

 

17,100

 

1,020,015

Procter & Gamble Co.

 

122,537

 

7,092,442

 

9,149,122

Personal Products 0.1%

 

Alberto-Culver Co.

 

2,800

 

128,100

Avon Products, Inc.

 

16,800

 

479,640

 

607,740

Tobacco 0.8%

 

Altria Group, Inc.

 

76,100

 

5,686,192

Reynolds American, Inc.

 

3,100

 

295,523

UST, Inc.

 

6,000

 

244,980

 

6,226,695

Energy 5.1%

 

Energy Equipment & Services 1.1%

 

Baker Hughes, Inc.

 

12,500

 

759,750

BJ Services Co.

 

11,800

 

432,706

Halliburton Co.

 

18,700

 

1,158,652

Nabors Industries Ltd.*

 

10,000

 

757,500

National-Oilwell Varco, Inc.*

 

6,400

 

401,280

 

 


 

 

Noble Corp.

 

5,000

 

352,700

Rowan Companies, Inc.

 

13,000

 

463,320

Schlumberger Ltd.

 

21,500

 

2,088,725

Transocean, Inc.*

 

15,600

 

1,087,164

Weatherford International Ltd.*

 

19,600

 

709,520

 

8,211,317

Oil, Gas & Consumable Fuels 4.0%

 

Amerada Hess Corp.

 

2,900

 

367,778

Anadarko Petroleum Corp.

 

8,600

 

814,850

Apache Corp.

 

300

 

20,556

Burlington Resources, Inc.

 

13,800

 

1,189,560

Chevron Corp.

 

82,040

 

4,657,411

ConocoPhillips

 

56,400

 

3,281,352

Devon Energy Corp.

 

16,200

 

1,013,148

El Paso Corp.

 

24,100

 

293,056

EOG Resources, Inc.

 

8,800

 

645,656

ExxonMobil Corp.

 

227,400

 

12,773,058

Kerr-McGee Corp.

 

7,013

 

637,201

Kinder Morgan, Inc.

 

3,800

 

349,410

Murphy Oil Corp.

 

12,300

 

664,077

Occidental Petroleum Corp.

 

7,200

 

575,136

Sunoco, Inc.

 

4,900

 

384,062

Valero Energy Corp.

 

27,200

 

1,403,520

Williams Companies, Inc.

 

21,000

 

486,570

XTO Energy, Inc.

 

13,300

 

584,402

 

30,140,803

Financials 11.9%

 

Banks 3.5%

 

AmSouth Bancorp.

 

12,700

 

332,867

Bank of America Corp.

 

146,800

 

6,774,820

BB&T Corp.

 

19,900

 

834,009

Comerica, Inc.

 

11,800

 

669,768

Compass Bancshares, Inc.

 

4,500

 

217,305

Fifth Third Bancorp.

 

4,200

 

158,424

First Horizon National Corp.

 

4,600

 

176,824

Golden West Financial Corp.

 

9,300

 

613,800

Huntington Bancshares, Inc.

 

8,400

 

199,500

KeyCorp.

 

14,900

 

490,657

M&T Bank Corp.

 

2,900

 

316,245

Marshall & Ilsley Corp.

 

7,700

 

331,408

National City Corp.

 

20,200

 

678,114

North Fork Bancorp., Inc.

 

17,400

 

476,238

PNC Financial Services Group, Inc.

 

10,700

 

661,581

Regions Financial Corp.

 

16,700

 

570,472

Sovereign Bancorp, Inc.

 

28,100

 

607,522

SunTrust Banks, Inc.

 

13,200

 

960,432

Synovus Financial Corp.

 

11,500

 

310,615

US Bancorp.

 

66,400

 

1,984,696

Wachovia Corp.

 

56,800

 

3,002,448

Washington Mutual, Inc.

 

36,054

 

1,568,349

Wells Fargo & Co.

 

61,100

 

3,838,913

Zions Bancorp.

 

3,800

 

287,128

 

26,062,135

 

 


 

 

Capital Markets 2.0%

 

Ameriprise Financial, Inc.

 

8,960

 

367,360

Bank of New York Co., Inc.

 

28,100

 

894,985

Bear Stearns Companies, Inc.

 

7,000

 

808,710

Charles Schwab Corp.

 

37,700

 

553,059

E*TRADE Financial Corp.*

 

26,600

 

554,876

Federated Investors, Inc. "B"

 

3,100

 

114,824

Franklin Resources, Inc.

 

8,900

 

836,689

Janus Capital Group, Inc.

 

7,900

 

147,177

Lehman Brothers Holdings, Inc.

 

11,700

 

1,499,589

Mellon Financial Corp.

 

15,300

 

524,025

Merrill Lynch & Co., Inc.

 

38,400

 

2,600,832

Morgan Stanley

 

39,400

 

2,235,556

State Street Corp.

 

17,800

 

986,832

T. Rowe Price Group, Inc.

 

4,700

 

338,541

The Goldman Sachs Group, Inc.

 

18,500

 

2,362,635

 

14,825,690

Consumer Finance 0.7%

 

American Express Co.

 

45,400

 

2,336,284

Capital One Financial Corp.

 

10,900

 

941,760

MBNA Corp.

 

58,000

 

1,574,700

SLM Corp.

 

15,300

 

842,877

 

5,695,621

Diversified Financial Services 2.6%

 

CIT Group, Inc.

 

7,300

 

377,994

Citigroup, Inc.

 

184,900

 

8,973,197

Countrywide Financial Corp.

 

21,800

 

745,342

Fannie Mae

 

35,400

 

1,727,874

Freddie Mac

 

25,300

 

1,653,355

JPMorgan Chase & Co.

 

127,900

 

5,076,351

MGIC Investment Corp.

 

5,000

 

329,100

Moody's Corp.

 

14,500

 

890,590

 

19,773,803

Insurance 2.7%

 

ACE Ltd.

 

11,800

 

630,592

AFLAC, Inc.

 

18,300

 

849,486

Allstate Corp.

 

8,500

 

459,595

American International Group, Inc.

 

82,500

 

5,628,975

Aon Corp.

 

11,700

 

420,615

Chubb Corp.

 

10,800

 

1,054,620

Cincinnati Financial Corp.

 

13,905

 

621,275

Genworth Financial, Inc. "A"

 

13,800

 

477,204

Hartford Financial Services Group, Inc.

 

11,000

 

944,790

Jefferson-Pilot Corp.

 

4,900

 

278,957

Lincoln National Corp.

 

12,600

 

668,178

Loews Corp.

 

4,900

 

464,765

Marsh & McLennan Companies, Inc.

 

1,000

 

31,760

MBIA, Inc.

 

4,900

 

294,784

MetLife, Inc.

 

27,700

 

1,357,300

Principal Financial Group, Inc.

 

17,100

 

811,053

Progressive Corp.

 

7,200

 

840,816

Prudential Financial, Inc.

 

22,900

 

1,676,051

Safeco Corp.

 

10,400

 

587,600

The St. Paul Travelers Companies, Inc.

 

25,300

 

1,130,151

Torchmark Corp.

 

3,800

 

211,280

 

 


 

 

UnumProvident Corp.

 

10,900

 

247,975

XL Capital Ltd. "A"

 

6,300

 

424,494

 

20,112,316

Real Estate 0.4%

 

Apartment Investment & Management Co. "A" (REIT)

 

3,500

 

132,545

Archstone-Smith Trust (REIT)

 

7,700

 

322,553

Equity Office Properties Trust (REIT)

 

14,800

 

448,884

Equity Residential (REIT)

 

18,900

 

739,368

Plum Creek Timber Co., Inc. (REIT)

 

6,700

 

241,535

Public Storage, Inc. (REIT)

 

3,000

 

203,160

Simon Property Group, Inc. (REIT)

 

6,800

 

521,084

Vornado Realty Trust (REIT)

 

4,300

 

358,921

 

2,968,050

Health Care 7.1%

 

Biotechnology 0.9%

 

Amgen, Inc.*

 

45,100

 

3,556,586

Applera Corp. - Applied Biosystems Group

 

6,900

 

183,264

Biogen Idec, Inc.*

 

12,400

 

562,092

Chiron Corp.*

 

4,000

 

177,840

Genzyme Corp.*

 

9,400

 

665,332

Gilead Sciences, Inc.*

 

16,700

 

878,921

MedImmune, Inc.*

 

9,000

 

315,180

 

6,339,215

Health Care Equipment & Supplies 1.1%

 

Bausch & Lomb, Inc.

 

6,200

 

420,980

Baxter International, Inc.

 

22,800

 

858,420

Becton, Dickinson & Co.

 

9,200

 

552,736

Boston Scientific Corp.*

 

21,600

 

528,984

C.R. Bard, Inc.

 

8,800

 

580,096

Fisher Scientific International, Inc.*

 

9,864

 

610,187

Hospira, Inc.*

 

13,400

 

573,252

Medtronic, Inc.

 

44,200

 

2,544,594

Millipore Corp.*

 

1,900

 

125,476

PerkinElmer, Inc.

 

4,800

 

113,088

St. Jude Medical, Inc.*

 

13,400

 

672,680

Thermo Electron Corp.*

 

5,900

 

177,767

Waters Corp.*

 

4,000

 

151,200

Zimmer Holdings, Inc.*

 

9,100

 

613,704

 

8,523,164

Health Care Providers & Services 1.8%

 

Aetna, Inc.

 

10,400

 

980,824

AmerisourceBergen Corp.

 

7,700

 

318,780

Cardinal Health, Inc.

 

15,700

 

1,079,375

Caremark Rx, Inc.*

 

16,400

 

849,356

CIGNA Corp.

 

4,600

 

513,820

Coventry Health Care, Inc.*

 

10,300

 

586,688

Express Scripts, Inc.*

 

9,200

 

770,960

HCA, Inc.

 

15,500

 

782,750

Health Management Associates, Inc. "A"

 

9,100

 

199,836

Humana, Inc.*

 

12,000

 

651,960

Laboratory Corp. of America Holdings*

 

4,900

 

263,865

Manor Care, Inc.

 

2,900

 

115,333

McKesson Corp.

 

11,300

 

582,967

Medco Health Solutions, Inc.*

 

15,700

 

876,060

 

 


 

 

Patterson Companies, Inc.*

 

5,100

 

170,340

Tenet Healthcare Corp.*

 

17,100

 

130,986

UnitedHealth Group, Inc.

 

49,900

 

3,100,786

WellPoint, Inc.*

 

22,500

 

1,795,275

 

13,769,961

Pharmaceuticals 3.3%

 

Abbott Laboratories

 

41,300

 

1,628,459

Bristol-Myers Squibb Co.

 

71,500

 

1,643,070

Eli Lilly & Co.

 

30,600

 

1,731,654

Forest Laboratories, Inc.*

 

12,300

 

500,364

Johnson & Johnson

 

108,700

 

6,532,870

King Pharmaceuticals, Inc.*

 

8,800

 

148,896

Merck & Co., Inc.

 

79,900

 

2,541,619

Mylan Laboratories, Inc.

 

8,000

 

159,760

Pfizer, Inc.

 

243,400

 

5,676,088

Schering-Plough Corp.

 

54,100

 

1,127,985

Watson Pharmaceuticals, Inc.*

 

11,400

 

370,614

Wyeth

 

49,000

 

2,257,430

 

24,318,809

Industrials 5.9%

 

Aerospace & Defense 1.2%

 

Boeing Co.

 

29,500

 

2,072,080

General Dynamics Corp.

 

7,400

 

843,970

Goodrich Corp.

 

4,500

 

184,950

Honeywell International, Inc.

 

30,800

 

1,147,300

L-3 Communications Holdings, Inc.

 

4,400

 

327,140

Lockheed Martin Corp.

 

13,100

 

833,553

Northrop Grumman Corp.

 

13,000

 

781,430

Raytheon Co.

 

16,400

 

658,460

Rockwell Collins, Inc.

 

6,300

 

292,761

United Technologies Corp.

 

37,300

 

2,085,443

 

9,227,087

Air Freight & Logistics 0.5%

 

FedEx Corp.

 

5,100

 

527,289

Ryder System, Inc.

 

10,400

 

426,608

United Parcel Service, Inc. "B"

 

32,200

 

2,419,830

 

3,373,727

Airlines 0.1%

 

Southwest Airlines Co.

 

45,600

 

749,208

Building Products 0.0%

 

American Standard Companies, Inc.

 

6,700

 

267,665

Commercial Services & Supplies 0.4%

 

Allied Waste Industries, Inc.*

 

8,000

 

69,920

Avery Dennison Corp.

 

10,000

 

552,700

Cendant Corp.

 

37,400

 

645,150

Cintas Corp.

 

5,000

 

205,650

Equifax, Inc.

 

4,700

 

178,694

Monster Worldwide, Inc.*

 

4,500

 

183,690

Pitney Bowes, Inc.

 

8,400

 

354,900

R.R. Donnelley & Sons Co.

 

7,900

 

270,259

Waste Management, Inc.

 

20,100

 

610,035

 

3,070,998

 

 


 

 

Construction & Engineering 0.1%

 

Fluor Corp.

 

7,500

 

579,450

Electrical Equipment 0.2%

 

Cooper Industries Ltd. "A"

 

3,300

 

240,900

Emerson Electric Co.

 

15,000

 

1,120,500

Rockwell Automation, Inc.

 

6,500

 

384,540

 

1,745,940

Industrial Conglomerates 2.4%

 

3M Co.

 

27,800

 

2,154,500

General Electric Co.

 

386,200

 

13,536,310

Textron, Inc.

 

4,800

 

369,504

Tyco International Ltd.

 

52,400

 

1,512,264

 

17,572,578

Machinery 0.6%

 

Caterpillar, Inc.

 

10,600

 

612,362

Cummins, Inc.

 

4,500

 

403,785

Danaher Corp.

 

8,600

 

479,708

Deere & Co.

 

8,800

 

599,368

Dover Corp.

 

7,500

 

303,675

Eaton Corp.

 

5,400

 

362,286

Illinois Tool Works, Inc.

 

600

 

52,794

Ingersoll-Rand Co., Ltd. "A"

 

12,100

 

488,477

ITT Industries, Inc.

 

3,300

 

339,306

Navistar International Corp.*

 

2,200

 

62,964

PACCAR, Inc.

 

6,200

 

429,226

Pall Corp.

 

16,900

 

453,934

 

4,587,885

Road & Rail 0.4%

 

Burlington Northern Santa Fe Corp.

 

13,700

 

970,234

CSX Corp.

 

7,900

 

401,083

Norfolk Southern Corp.

 

14,800

 

663,484

Union Pacific Corp.

 

9,700

 

780,947

 

2,815,748

Trading Companies & Distributors 0.0%

 

W.W. Grainger, Inc.

 

2,800

 

199,080

Information Technology 8.8%

 

Communications Equipment 1.5%

 

ADC Telecommunications, Inc.*

 

4,314

 

96,375

Andrew Corp.*

 

6,000

 

64,380

Avaya, Inc.*

 

15,400

 

164,318

CIENA Corp.*

 

21,200

 

62,964

Cisco Systems, Inc.*

 

224,600

 

3,845,152

Comverse Technologies, Inc.*

 

7,400

 

196,766

Corning, Inc.*

 

72,700

 

1,429,282

JDS Uniphase Corp.*

 

60,500

 

142,780

Lucent Technologies, Inc.*

 

162,500

 

432,250

Motorola, Inc.

 

64,100

 

1,448,019

QUALCOMM, Inc.

 

60,100

 

2,589,108

Scientific-Atlanta, Inc.

 

5,600

 

241,192

Tellabs, Inc.*

 

16,400

 

178,760

 

10,891,346

Computers & Peripherals 2.0%

 

Apple Computer, Inc.*

 

34,200

 

2,458,638

Dell, Inc.*

 

86,000

 

2,579,140

 

 


 

 

EMC Corp.*

 

87,300

 

1,189,026

Gateway, Inc.*

 

9,800

 

24,598

Hewlett-Packard Co.

 

104,700

 

2,997,561

International Business Machines Corp.

 

50,200

 

4,126,440

Lexmark International, Inc. "A"*

 

4,200

 

188,286

NCR Corp.*

 

14,000

 

475,160

Network Appliance, Inc.*

 

13,600

 

367,200

QLogic Corp.*

 

10,700

 

347,857

Sun Microsystems, Inc.*

 

124,900

 

523,331

 

15,277,237

Electronic Equipment & Instruments 0.2%

 

Agilent Technologies, Inc.*

 

24,600

 

818,934

Jabil Circuit, Inc.*

 

15,000

 

556,350

Sanmina-SCI Corp.*

 

19,300

 

82,218

Solectron Corp.*

 

33,400

 

122,244

 

1,579,746

Internet Software & Services 0.3%

 

Yahoo!, Inc.*

 

54,300

 

2,127,474

IT Consulting & Services 0.7%

 

Affiliated Computer Services, Inc. "A"*

 

4,500

 

266,310

Automatic Data Processing, Inc.

 

21,000

 

963,690

Computer Sciences Corp.*

 

6,800

 

344,352

Convergys Corp.*

 

25,800

 

408,930

Electronic Data Systems Corp.

 

19,100

 

459,164

First Data Corp.

 

27,900

 

1,199,979

Fiserv, Inc.*

 

14,300

 

618,761

Paychex, Inc.

 

12,200

 

465,064

Sabre Holdings Corp.

 

4,900

 

118,139

Unisys Corp.*

 

12,500

 

72,875

 

4,917,264

Office Electronics 0.1%

 

Xerox Corp.*

 

35,200

 

515,680

Semiconductors & Semiconductor Equipment 2.0%

 

Advanced Micro Devices, Inc.*

 

23,100

 

706,860

Altera Corp.*

 

13,300

 

246,449

Analog Devices, Inc.

 

13,400

 

480,658

Applied Materials, Inc.

 

77,500

 

1,390,350

Applied Micro Circuits Corp.*

 

11,000

 

28,270

Broadcom Corp. "A"*

 

10,600

 

499,790

Freescale Semiconductor, Inc. "B"*

 

27,612

 

694,994

Intel Corp.

 

220,400

 

5,501,184

Linear Technology Corp.

 

11,100

 

400,377

LSI Logic Corp.*

 

45,200

 

361,600

Maxim Integrated Products, Inc.

 

18,700

 

677,688

Micron Technology, Inc.*

 

41,000

 

545,710

National Semiconductor Corp.

 

12,500

 

324,750

Novellus Systems, Inc.*

 

15,100

 

364,212

NVIDIA Corp.*

 

6,300

 

230,328

PMC-Sierra, Inc.*

 

6,800

 

52,428

Teradyne, Inc.*

 

24,000

 

349,680

Texas Instruments, Inc.

 

69,400

 

2,225,658

 

15,080,986

Software 2.0%

 

Adobe Systems, Inc.*

 

21,900

 

809,424

 

 


 

 

Autodesk, Inc.*

 

8,400

 

360,780

BMC Software, Inc.*

 

7,900

 

161,871

Citrix Systems, Inc.*

 

18,000

 

518,040

Compuware Corp.*

 

14,100

 

126,477

Electronic Arts, Inc.*

 

17,200

 

899,732

Intuit, Inc.*

 

6,500

 

346,450

Mercury Interactive Corp.*

 

3,100

 

86,149

Microsoft Corp.

 

334,600

 

8,749,790

Novell, Inc.*

 

50,700

 

447,681

Oracle Corp.*

 

137,500

 

1,678,875

Parametric Technology Corp.*

 

10,000

 

61,000

Siebel Systems, Inc.

 

19,400

 

205,252

Symantec Corp.*

 

39,460

 

690,550

 

15,142,071

Materials 1.5%

 

Chemicals 0.8%

 

Air Products & Chemicals, Inc.

 

8,100

 

479,439

Ashland, Inc.

 

2,600

 

150,540

Dow Chemical Co.

 

35,200

 

1,542,464

E.I. du Pont de Nemours & Co.

 

14,100

 

599,250

Eastman Chemical Co.

 

9,400

 

484,946

Ecolab, Inc.

 

6,800

 

246,636

Hercules, Inc.*

 

4,100

 

46,330

International Flavors & Fragrances, Inc.

 

2,900

 

97,179

Monsanto Co.

 

9,800

 

759,794

Praxair, Inc.

 

11,800

 

624,928

Rohm & Haas Co.

 

5,200

 

251,836

Sigma-Aldrich Corp.

 

7,700

 

487,333

 

5,770,675

Containers & Packaging 0.1%

 

Ball Corp.

 

3,800

 

150,936

Bemis Co., Inc.

 

15,900

 

443,133

Pactiv Corp.*

 

5,300

 

116,600

Sealed Air Corp.*

 

3,000

 

168,510

 

879,179

Metals & Mining 0.5%

 

Alcoa, Inc.

 

31,800

 

940,326

Allegheny Technologies, Inc.

 

10,200

 

368,016

Freeport-McMoRan Copper & Gold, Inc. "B"

 

11,300

 

607,940

Newmont Mining Corp.

 

16,300

 

870,420

Nucor Corp.

 

10,700

 

713,904

 

3,500,606

Paper & Forest Products 0.1%

 

Louisiana-Pacific Corp.

 

3,800

 

104,424

Weyerhaeuser Co.

 

8,900

 

590,426

 

694,850

Telecommunication Services 1.5%

 

Diversified Telecommunication Services 1.1%

 

AT&T, Inc.

 

142,804

 

3,497,270

BellSouth Corp.

 

66,900

 

1,812,990

CenturyTel, Inc.

 

4,800

 

159,168

Citizens Communications Co.

 

12,200

 

149,206

Qwest Communications International, Inc.*

 

56,400

 

318,660

 

 


 

 

Verizon Communications, Inc.

 

80,700

 

2,430,684

 

8,367,978

Wireless Telecommunication Services 0.4%

 

ALLTEL Corp.

 

4,100

 

258,710

Sprint Nextel Corp.

 

107,975

 

2,522,296

 

2,781,006

Utilities 1.9%

 

Electric Utilities 0.9%

 

Allegheny Energy, Inc.*

 

16,400

 

519,060

American Electric Power Co., Inc.

 

23,300

 

864,197

Cinergy Corp.

 

15,100

 

641,146

Edison International

 

11,900

 

518,959

Entergy Corp.

 

7,600

 

521,740

Exelon Corp.

 

9,000

 

478,260

FirstEnergy Corp.

 

12,100

 

592,779

FPL Group, Inc.

 

14,400

 

598,464

Pinnacle West Capital Corp.

 

11,500

 

475,525

Progress Energy, Inc.

 

9,200

 

404,064

Southern Co.

 

27,100

 

935,763

 

6,549,957

Gas Utilities 0.0%

 

Nicor, Inc.

 

1,700

 

66,827

Peoples Energy Corp.

 

1,400

 

49,098

 

115,925

Independent Power Producers & Energy Traders 0.4%

 

AES Corp.*

 

45,100

 

713,933

Constellation Energy Group

 

6,500

 

374,400

Duke Energy Corp.

 

33,900

 

930,555

Dynegy, Inc. "A"*

 

11,100

 

53,724

TXU Corp.

 

17,700

 

888,363

 

2,960,975

Multi-Utilities 0.6%

 

Ameren Corp.

 

7,500

 

384,300

CenterPoint Energy, Inc.

 

11,400

 

146,490

CMS Energy Corp.*

 

25,000

 

362,750

Consolidated Edison, Inc.

 

8,900

 

412,337

Dominion Resources, Inc.

 

2,100

 

162,120

DTE Energy Co.

 

14,100

 

608,979

KeySpan Corp.

 

6,300

 

224,847

NiSource, Inc.

 

10,000

 

208,600

PG&E Corp.

 

12,500

 

464,000

Public Service Enterprise Group, Inc.

 

9,100

 

591,227

Sempra Energy

 

9,400

 

421,496

TECO Energy, Inc.

 

26,600

 

456,988

Xcel Energy, Inc.

 

14,800

 

273,208

 

4,717,342

Total Common Stocks (Cost $355,073,924)

 

410,431,541

 

 


 

 

 

Principal
Amount ($)

 

Value ($)

 

Corporate Bonds 5.6%

 

Consumer Discretionary 1.3%

 

Auburn Hills Trust, 12.375%, 5/1/2020

 

113,000

 

168,023

Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/2022

 

87,000

 

113,987

Comcast MO of Delaware, Inc., 9.0%, 9/1/2008

 

195,000

 

213,050

D.R. Horton, Inc., 5.375%, 6/15/2012

 

1,846,000

 

1,784,436

DaimlerChrysler NA Holding Corp.:

 

 

4.75%, 1/15/2008

 

978,000

 

969,078

 

Series E, 4.78% **, 10/31/2008 (a)

 

513,000

 

513,287

Harrah's Operating Co., Inc.:

 

 

5.625%, 6/1/2015

 

1,133,000

 

1,113,084

 

5.75%, 10/1/2017

 

298,000

 

290,042

Mandalay Resort Group, 6.5%, 7/31/2009 (a)

 

176,000

 

177,980

MGM MIRAGE:

 

 

6.0%, 10/1/2009

 

345,000

 

342,844

 

6.625%, 7/15/2015

 

115,000

 

114,713

News America, Inc., 144A, 6.4%, 12/15/2035

 

600,000

 

604,762

TCI Communications, Inc., 8.75%, 8/1/2015

 

1,529,000

 

1,852,680

Time Warner, Inc.:

 

 

6.625%, 5/15/2029

 

360,000

 

359,494

 

7.625%, 4/15/2031

 

970,000

 

1,080,240

 

9,697,700

Energy 0.2%

 

Chesapeake Energy Corp.:

 

 

6.375%, 6/15/2015

 

285,000

 

285,000

 

6.625%, 1/15/2016

 

197,000

 

199,463

Enterprise Products Operating LP:

 

 

Series B, 5.0%, 3/1/2015 (a)

 

457,000

 

435,330

 

7.5%, 2/1/2011

 

535,000

 

582,039

 

1,501,832

Financials 2.8%

 

Agfirst Farm Credit Bank, 8.393%, 12/15/2016

 

2,810,000

 

3,157,417

American General Finance Corp.:

 

 

Series H, 4.0%, 3/15/2011

 

860,000

 

813,563

 

Series H, 4.625%, 9/1/2010

 

1,305,000

 

1,277,094

ASIF Global Finance XVIII, 144A, 3.85%, 11/26/2007

 

1,272,000

 

1,247,437

Duke Capital LLC, 4.302%, 5/18/2006

 

1,357,000

 

1,353,770

Erac USA Finance Co., 144A, 8.0%, 1/15/2011

 

1,180,000

 

1,318,340

ERP Operating LP, 6.95%, 3/2/2011

 

379,000

 

406,777

Farmers Exchange Capital, 144A, 7.2%, 7/15/2048

 

760,000

 

791,098

Ford Motor Credit Co.:

 

 

6.5%, 1/25/2007

 

856,000

 

828,154

 

6.875%, 2/1/2006

 

2,351,000

 

2,345,945

General Motors Acceptance Corp.:

 

 

6.125%, 8/28/2007

 

795,000

 

736,947

 

6.15%, 4/5/2007

 

195,000

 

184,187

HSBC Bank USA, 5.625%, 8/15/2035

 

541,000

 

529,140

HSBC Finance Capital Trust IX, 5.911%, 11/30/2035

 

900,000

 

907,656

JPMorgan Chase Capital XV, 5.875%, 3/15/2035

 

285,000

 

283,356

JPMorgan Chase XVII, 5.85%, 8/1/2035 (a)

 

375,000

 

371,026

Merrill Lynch & Co., Inc., Series C, 4.79%, 8/4/2010

 

688,000

 

680,262

OneAmerica Financial Partners, 144A, 7.0%, 10/15/2033

 

682,000

 

768,552

Pennsylvania Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034

 

865,000

 

966,755

The Goldman Sachs Group, Inc., 4.75%, 7/15/2013

 

322,000

 

312,330

 

 


 

 

Verizon Global Funding Corp., 7.75%, 12/1/2030

 

670,000

 

796,400

ZFS Finance USA Trust II, 144A, 6.45%, 12/15/2065

 

500,000

 

506,950

 

20,583,156

Health Care 0.2%

 

Health Care Service Corp., 144A, 7.75%, 6/15/2011

 

1,213,000

 

1,357,650

Industrials 0.1%

 

K. Hovnanian Enterprises, Inc., 6.25%, 1/15/2015

 

495,000

 

465,848

Standard Pacific Corp., 6.5%, 8/15/2010

 

200,000

 

190,750

 

656,598

Materials 0.2%

 

Georgia-Pacific Corp., 8.875%, 5/15/2031

 

805,000

 

807,013

Newmont Mining Corp., 5.875%, 4/1/2035

 

690,000

 

680,907

Weyerhaeuser Co., 7.375%, 3/15/2032

 

154,000

 

171,203

 

1,659,123

Telecommunication Services 0.1%

 

Anixter International, Inc., 5.95%, 3/1/2015

 

246,000

 

222,612

Bell Atlantic New Jersey, Inc., Series A, 5.875%, 1/17/2012

 

825,000

 

832,430

 

1,055,042

Utilities 0.7%

 

Entergy Louisiana, Inc., 6.3%, 9/1/2035

 

315,000

 

308,382

Old Dominion Electric Cooperative, Series A, 6.25%, 6/1/2011

 

1,557,000

 

1,651,446

Pedernales Electric Cooperative, Series 2002-A, 144A, 6.202%, 11/15/2032

 

1,730,000

 

1,898,744

TXU Energy Co., 7.0%, 3/15/2013

 

515,000

 

548,817

Westar Energy, Inc., 5.95%, 1/1/2035

 

990,000

 

977,067

 

5,384,456

Total Corporate Bonds (Cost $41,866,407)

 

41,895,557

 

Foreign Bonds - US$ Denominated 2.5%

 

Energy 0.4%

 

TXU Electricity Ltd., 144A, 7.25%, 12/1/2016

 

2,875,000

 

3,348,682

Financials 0.6%

 

BNP Paribas SA, 144A, 5.186%, 6/29/2049

 

235,000

 

227,981

Mantis Reef Ltd., 144A, 4.692%, 11/14/2008

 

2,600,000

 

2,554,573

Mizuho Financial Group, (Cayman), 8.375%, 4/27/2009

 

900,000

 

975,150

Resona Bank Ltd., 144A, 5.85%, 9/29/2049

 

655,000

 

652,232

 

4,409,936

Industrials 0.8%

 

Autopista Del Maipo, 144A, 7.373%, 6/15/2022

 

2,690,000

 

3,101,220

Tyco International Group SA:

 

 

6.75%, 2/15/2011

 

1,999,000

 

2,101,727

 

6.875%, 1/15/2029

 

427,000

 

465,405

 

7.0%, 6/15/2028

 

166,000

 

182,613

 

5,850,965

Materials 0.3%

 

Alcan, Inc., 5.75%, 6/1/2035

 

549,000

 

534,545

Celulosa Arauco y Constitucion SA, 5.625%, 4/20/2015 (a)

 

1,146,000

 

1,137,639

Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012

 

499,000

 

476,548

Vale Overseas Ltd., 8.25%, 1/17/2034

 

232,000

 

267,090

 

2,415,822

 

 


 

 

Sovereign Bonds 0.0%

 

United Mexican States, 8.375%, 1/14/2011

 

70,000

 

79,800

Telecommunication Services 0.4%

 

British Telecommunications PLC, 8.875%, 12/15/2030

 

862,000

 

1,153,306

Telecom Italia Capital:

 

 

4.95%, 9/30/2014

 

385,000

 

367,709

 

5.25%, 11/15/2013

 

1,115,000

 

1,094,121

 

2,615,136

Total Foreign Bonds - US$ Denominated (Cost $17,756,998)

 

18,720,341

 

Asset Backed 2.3%

 

Automobile Receivables 0.3%

 

MMCA Automobile Trust:

 

 

"A4", Series 2002-3, 3.57%, 8/17/2009

 

758,414

 

756,453

 

"A4", Series 2002-2, 4.3%, 3/15/2010

 

774,149

 

771,882

 

"A4", Series 2001-4, 4.92%, 8/15/2007

 

103,473

 

103,446

 

"B", Series 2002-1, 5.37%, 1/15/2010

 

410,626

 

409,534

 

2,041,315

Home Equity Loans 2.0%

 

Advanta Mortgage Loan Trust, "A6", Series 2000-2, 7.72%, 3/25/2015

 

1,183,560

 

1,201,681

Aegis Asset Backed Securities Trust, "N1", Series 2005-5N, 144A, 4.5%, 12/25/2023

 

1,123,057

 

1,113,932

Centex Home Equity, "AF6", Series 2004-D, 4.67%, 9/25/2034

 

1,260,000

 

1,242,658

First Franklin Mortgage Loan NIM:

 

 

"N1", Series 2004-FFH4, 144A, 4.212%, 1/21/2035

 

793,107

 

793,107

 

"A", Series 2005-FFH2, 144A, 4.75%, 4/27/2035

 

734,685

 

731,159

JPMorgan Mortgage Acquisition Corp., "A2F1", Series 2005-FRE1, 5.375%, 10/25/2035

 

1,225,594

 

1,224,487

Master ABS NIM Trust, "N1", Series 2005-CI8A, 144A, 4.702%, 2/26/2035

 

1,134,265

 

1,128,949

Meritage Asset Holdings NIM, "N1", Series 2005-1, 144A, 4.581%, 5/25/2035

 

749,929

 

748,055

Merrill Lynch Mortgage Investors, Inc.:

 

 

"N1", Series 2005-NC1N, 144A, 5.0%, 10/25/2035

 

934,339

 

930,544

 

"A1A", Series 2005-NCB, 5.451%, 7/25/2036

 

1,199,930

 

1,199,388

Novastar NIM Trust, "NOTE", Series 2005-N1, 144A, 4.777%, 10/26/2035

 

596,506

 

594,579

Renaissance Home Equity Loan Trust, "AF2", Series 2005-3, 4.723%, 11/25/2035

 

1,925,000

 

1,904,823

Renaissance NIM Trust, "NOTE", Series 2004-B, 144A, 5.193%, 8/26/2034

 

77,198

 

77,147

Residential Asset Mortgage Products, Inc., "AI3", Series 2004-RS6, 4.54%, 8/25/2028

 

2,040,000

 

2,029,887

 

14,920,396

Total Asset Backed (Cost $17,075,588)

 

16,961,711

 

Shares

 

Value ($)

 

Preferred Stock 0.1%

 

Axis Capital Holdings Ltd. Series B, 7.5%

 

2,600

 

270,563

Farm Credit Bank of Texas Series 1, 7.561%

 

256,000

 

280,778

Total Preferred Stocks (Cost $537,471)

 

551,341

 

Principal
Amount ($)

 

Value ($)

 

US Government Agency Sponsored Pass-Throughs 3.3%

 

Federal Home Loan Mortgage Corp.:

 

 

5.0%, 12/1/2034 (g)

 

1,390,000

 

1,345,259

 

5.5%, 10/1/2023

 

1,250,632

 

1,251,635

 

6.0%, with various maturities from 12/1/2025 until 10/1/2033

 

1,952,773

 

1,981,320

 

6.5%, 1/1/2035

 

1,142,279

 

1,172,695

 

 


 

 

Federal National Mortgage Association:

 

 

4.5%, with various maturities from 7/1/2018 until 12/1/2033 (g)

 

5,790,846

 

5,553,565

 

5.5%, with various maturities from 11/1/2024 until 2/1/2025

 

3,053,927

 

3,049,873

 

6.0%, with various maturities from 1/1/2024 until 6/1/2035

 

5,055,406

 

5,121,569

 

6.26%, 6/1/2009

 

1,793,535

 

1,847,042

 

6.5%, with various maturities from 5/1/2023 until 11/1/2033

 

2,377,215

 

2,452,195

 

7.13%, 1/1/2012

 

1,110,312

 

1,122,702

 

9.0%, 11/1/2030

 

82,553

 

90,669

Total US Government Agency Sponsored Pass-Throughs (Cost $25,305,825)

 

24,988,524

 

Commercial and Non-Agency Mortgage-Backed Securities 8.3%

 

Banc America Commercial Mortgage, Inc., "G", Series 2005-4, 144A, 5.155%**, 7/10/2045

 

1,400,000

 

1,314,564

Banc of America Mortgage Securities, "1A11", Series 2003-2, 5.5%, 4/25/2033

 

1,265,000

 

1,265,292

Bear Stearns Adjustable Rate Mortgage Trust, "2A3", Series 2005-4, 4.45% **, 8/25/2035

 

980,000

 

951,751

Citicorp Mortgage Securities, Inc.:

 

 

"1A1", Series 2003-5, 5.5%, 4/25/2033

 

1,054,741

 

1,054,440

 

"1A1", Series 2004-8, 5.5%, 10/25/2034

 

1,158,992

 

1,157,939

Citigroup Mortgage Loan Trust, Inc., "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034

 

1,649,637

 

1,698,609

Countrywide Alternative Loan Trust:

 

 

"A2", Series 2003-21T1, 5.25%, 12/25/2033

 

1,283,615

 

1,279,887

 

"2A1", Series 2005-J6, 5.5%, 7/25/2025

 

1,893,201

 

1,883,238

 

"A6", Series 2004-14T2, 5.5%, 8/25/2034

 

1,301,669

 

1,300,347

 

"1A1", Series 2004-J1, 6.0%, 2/25/2034

 

348,755

 

349,571

 

"A1", Series 2004-35T2, 6.0%, 2/25/2035

 

1,029,394

 

1,032,188

CS First Boston Mortgage Securities Corp.:

 

 

"AMFX", Series 2005-C2, 4.877%, 4/15/2037

 

1,345,000

 

1,310,759

 

"AM", Series 2005-C5, 5.1%, 8/15/2038

 

1,965,000

 

1,946,445

DLJ Mortgage Acceptance Corp.:

 

 

"A1B", Series 1997-CF2, 144A, 6.82%, 10/15/2030

 

789,408

 

806,381

 

"A1B", Series 1997-CF1, 144A, 7.6%, 5/15/2030

 

408,521

 

417,495

GMAC Commercial Mortgage Securities, Inc., "A3", Series 1997-C1, 6.869%, 7/15/2029

 

505,481

 

516,678

GMAC Mortgage Corporate Loan Trust:

 

 

"A2", Series 2003-GH2, 3.69%, 7/25/2020

 

694,214

 

690,695

 

"A2", Series 2004-J1, 5.25%, 4/25/2034

 

1,046,386

 

1,044,006

Greenwich Capital Commercial Funding Corp., "AM", Series 2005-GG5, 5.277%, 4/10/2037

 

1,345,000

 

1,352,122

GS Mortgage Securities Corp. II, "AJ", Series 2005-GG4, 4.782%, 7/10/2039

 

2,602,000

 

2,503,063

JPMorgan Mortgage Trust, "2A1", Series 2005-A8, 4.969%, 11/25/2035

 

1,220,374

 

1,211,252

LB-UBS Commercial Mortgage Trust, "A2", Series 2005-C2, 4.821%, 4/15/2030

 

1,345,000

 

1,332,339

Master Adjustable Rate Mortgages Trust:

 

 

"B1", Series 2004-13, 3.814% **, 12/21/2034

 

1,397,952

 

1,348,323

 

"5A1", Series 2004-6, 4.753%, 7/25/2034

 

1,118,698

 

1,106,734

Master Alternative Loans Trust, "8A1", Series 2004-3, 7.0%, 4/25/2034

 

224,504

 

226,425

Master Asset Securitization Trust:

 

 

"8A1", Series 2003-6, 5.5%, 7/25/2033

 

779,831

 

766,671

 

"2A7", Series 2003-9, 5.5%, 10/25/2033

 

1,199,246

 

1,186,477

Merrill Lynch Mortgage Trust, "D" Series 2005-CKI1, 5.245%, 11/12/2037

 

805,000

 

794,860

Morgan Stanley Capital I, "C", Series 1997-ALIC, 6.84%, 1/15/2028

 

217,933

 

217,549

Residential Accredit Loans, Inc.:

 

 

"A3", Series 2004-QS11, 5.5%, 8/25/2034

 

1,018,069

 

1,016,620

 

"CB", Series 2004-QS2, 5.75%, 2/25/2034

 

1,013,914

 

1,007,260

 

"CB1", Series 2002-QS17, 6.0%, 11/25/2032

 

1,275,087

 

1,280,665

Residential Asset Securitization Trust, "A1", Series 2003-A11, 4.25%, 11/25/2033

 

74,933

 

74,712

Structured Adjustable Rate Mortgage Loan:

 

 

"6A3", Series 2005-21, 5.4%, 11/25/2035

 

1,190,000

 

1,182,200

 

"5A1", Series 2005-18, 5.608% **, 9/25/2035

 

1,308,065

 

1,312,724

Structured Asset Securities Corp., "4A1", Series 2005-6, 5.0%, 5/25/2035

 

442,484

 

426,720

Wachovia Bank Commercial Mortgage Trust:

 

 

 


 

 

 

"E", Series 2005-C20, 144A, 5.224%**, 7/15/2042

 

1,370,000

 

1,342,661

 

"A4", Series 2005-C21, 5.195%**, 10/17/2044

 

1,965,000

 

1,981,209

Washington Mutual:

 

 

"A6", Series 2004-AR4, 3.804%**, 6/25/2034

 

1,410,000

 

1,354,764

 

"A6", Series 2004-AR5, 3.851%**, 6/25/2034

 

1,475,000

 

1,420,501

 

"A6", Series 2003-AR11, 3.985%, 10/25/2033

 

1,315,000

 

1,276,955

 

"A6", Series 2003-AR10, 4.067%**, 10/25/2033

 

2,130,000

 

2,081,589

 

"1A6", Series 2005-AR12, 4.844%**, 10/25/2035

 

2,745,000

 

2,700,913

 

"1A1", Series 2005-AR14, 5.082%,** 12/25/2035

 

1,277,308

 

1,269,343

 

"1A3", Series 2005-AR14, 5.082%**, 12/25/2035

 

1,325,000

 

1,324,454

 

"1A3", Series 2005-AR16, 5.132%, 12/25/2035

 

1,305,000

 

1,288,166

Wells Fargo Mortgage Backed Securities Trust:

 

 

"2A17", Series 2005-AR10, 3.5% **, 6/25/2035

 

315,000

 

303,184

 

"A6", Series 2004-N, 4.0%, 8/25/2034

 

2,060,000

 

1,993,303

 

"2A14", Series 2005-AR10, 4.11% **, 6/25/2035

 

2,010,000

 

1,953,711

 

"4A2", Series 2005-AR16, 4.993%, 10/25/2035

 

2,080,000

 

2,052,059

 

"4A4", Series 2005-AR16, 4.993%, 10/25/2035

 

1,199,407

 

1,191,981

Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $62,644,064)

 

61,901,794

 

Collateralized Mortgage Obligations 6.6%

 

Fannie Mae Whole Loan:

 

 

"2A3", Series 2003-W15, 4.71%, 8/25/2043

 

13,171

 

13,132

 

"1A3", Series 2003-W18, 4.732%, 8/25/2043

 

367,570

 

366,483

 

"1A3", Series 2003-W19, 4.783%, 11/25/2033

 

428,075

 

425,970

 

"A2", Series 2004-W4, 5.0%, 6/25/2034

 

1,875,000

 

1,868,151

 

"A23", Series 2004-W10, 5.0%, 8/25/2034

 

2,055,000

 

2,058,020

Federal Home Loan Mortgage Corp.:

 

 

"PX", Series 2628, 4.0%, 10/15/2016

 

2,025,000

 

1,963,992

 

"PB" , Series 2727, 4.25%, 4/15/2023

 

1,470,000

 

1,449,744

 

"TG", Series 2690, 4.5%, 4/15/2032

 

1,220,000

 

1,153,303

 

"PG", Series 2700, 4.5%, 5/15/2032

 

1,380,000

 

1,303,975

 

"LC", Series 2682, 4.5%, 7/15/2032

 

900,000

 

851,656

 

"PE", Series 2727, 4.5%, 7/15/2032

 

2,080,000

 

1,962,073

 

"PC", Series 3026, 4.5%, 1/15/2034

 

635,000

 

590,349

 

"MD", Series 3057, 4.5%, 8/15/2034

 

800,000

 

745,494

 

"HG", Series 2543, 4.75%, 9/15/2028

 

702,239

 

699,054

 

"BG", Series 2640, 5.0%, 2/15/2032

 

2,330,000

 

2,269,589

 

"JD", Series 2778, 5.0%, 12/15/2032

 

4,015,000

 

3,876,111

 

"EG", Series 2836, 5.0%, 12/15/2032

 

2,685,000

 

2,587,260

 

"PD", Series 2783, 5.0%, 1/15/2033

 

1,385,000

 

1,338,313

 

"PE", Series 2864, 5.0%, 6/15/2033

 

2,080,000

 

2,010,529

 

"BG", Series 2869, 5.0%, 7/15/2033

 

315,000

 

303,179

 

"NE", Series 2921, 5.0%, 9/15/2033

 

2,080,000

 

2,000,092

 

"KD", Series 2915, 5.0%, 9/15/2033

 

1,460,000

 

1,404,186

 

"ND", Series 3036, 5.0%, 5/15/2034

 

1,290,000

 

1,238,777

 

"PE", Series 2378, 5.5%, 11/15/2016

 

1,495,000

 

1,516,513

 

"PE", Series 2512, 5.5%, 2/15/2022

 

1,725,000

 

1,756,162

 

"YA", Series 2841, 5.5%, 7/15/2027

 

1,886,496

 

1,898,015

 

"BD", Series 2453, 6.0%, 5/15/2017

 

830,929

 

851,464

 

"GE", Series 2809, 6.0%, 5/15/2030

 

1,345,000

 

1,368,799

Federal National Mortgage Association:

 

 

"TU", Series 2003-122, 4.0%, 5/25/2016

 

1,690,000

 

1,668,075

 

"NE", Series 2004-52, 4.5%, 7/25/2033

 

1,309,000

 

1,227,648

 

"PE", Series 2005-44, 5.0%, 7/25/2033

 

595,000

 

570,845

 

"HE", Series 2005-22, 5.0%, 10/25/2033

 

1,290,000

 

1,238,068

 

"MC", Series 2002-56, 5.5%, 9/25/2017

 

809,806

 

818,287

 

 


 

 

 

"VD", Series 2002-56, 6.0%, 4/25/2020

 

24,910

 

25,010

 

"A2", Series 1998-M1, 6.25%, 1/25/2008

 

835,498

 

848,725

Government National Mortgage Association:

 

 

"GD", Series 2004-26, 5.0%, 11/16/2032

 

1,304,000

 

1,260,062

 

"QE", Series 2004-11, 5.0%, 12/16/2032

 

1,955,000

 

1,880,146

Total Collateralized Mortgage Obligations (Cost $50,004,849)

 

49,407,251

 

Municipal Bonds and Notes 2.5%

 

California, Urban Industrial Development Agency, Tax Allocation Civic Recreation, Series 1A, 4.5%, 5/1/2010 (b)

 

2,550,000

 

2,503,615

Delaware River, DE, Port Authority, Port District Project, Series A, 7.27%, 1/1/2007 (b)

 

930,000

 

951,725

Hudson County, NJ, Improvement Authority Lease Revenue, Weehawken Pershing Road, 5.72%, 3/1/2034 (b)

 

880,000

 

902,449

Illinois, State General Obligation, 4.95%, 6/1/2023

 

1,670,000

 

1,638,604

Kentucky, Multi-Family Housing Revenue, Housing Assistance Corp., Series B, 7.2%, 2/1/2006

 

10,000

 

10,014

Lansing, MI, Water & Sewer Revenue, Board Water & Light Supply Steam, Series B, 7.3%, 7/1/2006 (b)

 

3,155,000

 

3,195,037

Mount Laurel Township, NJ, Municipal Utilities Authority System Revenue, Series B, 3.9%, 7/1/2010 (b)

 

950,000

 

912,950

San Diego, CA, Redevelopment Agency, Taxable Housing Allocation, 5.81%, 9/1/2019 (b)

 

2,300,000

 

2,379,695

Suffolk, VA, Multi-Family Housing Revenue, Redevelopment & Housing Authority, Windsor at Potomac, Series T, 6.6%, 7/1/2015

 

1,985,000

 

2,123,851

Washington, State Economic Development Finance Authority Revenue, CSC Tacoma LLC Project:

 

 

Series A, 2.5%, 10/1/2007 (b)

 

3,130,000

 

3,009,276

 

Series A, 3.8%, 10/1/2011 (b)

 

1,105,000

 

1,051,297

Total Municipal Bonds and Notes (Cost $18,662,241)

 

18,678,513

 

US Treasury Obligations 4.2%

 

US Treasury Bills:

 

 

3.75% ***, 1/19/2006 (c)

 

6,965,000

 

6,951,941

 

3.94% ***, 4/6/2006 (c)

 

100,000

 

98,960

US Treasury Bond, 6.0%, 2/15/2026 (a)

 

6,402,000

 

7,549,360

US Treasury Notes:

 

 

3.375%, 2/15/2008 (a)

 

9,112,000

 

8,924,420

 

4.75%, 5/15/2014 (a)

 

1,350,000

 

1,382,854

 

5.0%, 8/15/2011 (a)

 

6,716,000

 

6,931,906

Total US Treasury Obligations (Cost $31,801,906)

 

31,839,441

 

Shares

 

Value ($)

 

Securities Lending Collateral 3.6%

 

Daily Assets Fund Institutional, 4.28% (d) (e)
(Cost $27,230,221)

 

 

27,230,221

 

27,230,221

 

Cash Equivalents 6.1%

 

Cash Management QP Trust, 4.26% (f)
(Cost $45,975,447)

 

 

45,975,447

 

45,975,447

 

% of
Net Assets

 

Value ($)

Total Investment Portfolio (Cost $ 693,934,941)

99.9

 

748,581,682

Other Assets and Liabilities, Net

0.1

 

799,413

Net Assets

100.0

 

749,381,095

 

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

*

Non-income producing security.

 

 


 

 

**

Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of December 31, 2005.

***

Annualized yield at time of purchase; not a coupon rate.

(a)

All or a portion of these securities were on loan. The value of all securities loaned at December 31, 2005 amounted to $26,716,834 which is 3.6% of net assets.

(b)

Bond is insured by one of these companies:

 

 

As a % of Total

Insurance Coverage

Investment Portfolio

Ambac Financial Group

0.1

Financial Security Assurance, Inc.

0.1

MBIA Corporation

1.5

XL Capital Assurance, Inc.

0.3

 

(c)

At December 31, 2005, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.

(d)

Daily Assets Fund Institutional, an affiliated fund, is managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven-day yield at period end.

(e)

Represents investment of securities lending collateral.

(f)

Cash Management QP Trust, an affiliated fund, is managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.

(g)

Mortgage dollar rolls included.

144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

REIT: Real Estate Investment Trust

 

Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association and Federal Home Loan Mortgage Corp. issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.

 

At December 31, 2005, open futures contracts purchased were as follows:

 

Futures

 

Expiration
Date

 

Contracts

 

Aggregated
Face
Value ($)

 

Value ($)

 

Unrealized Appreciation/
(Depreciation) ($)

 

10 Year Japan Government Bond

 

3/9/2006

 

33

 

38,282,297

 

38,432,611

 

150,314

 

10 Year Republic of Germany Bond

 

3/8/2006

 

147

 

21,018,679

 

21,204,216

 

185,537

 

CAC40 Index

 

1/20/2006

 

695

 

38,532,951

 

38,824,310

 

291,359

 

DAX Index

 

3/17/2006

 

36

 

5,688,879

 

5,794,243

 

105,364

 

EOE Dutch Stock Index

 

1/20/2006

 

114

 

11,711,249

 

11,797,255

 

86,006

 

S&P 500 Index

 

3/16/2006

 

2

 

636,472

 

627,400

 

(9,072)

 

Total net unrealized appreciation

 

809,508

 

 

 

 

 

At December 31, 2005, open futures contracts sold were as follows:

 

Futures

 

 

Expiration
Date

 

Contracts

 

Aggregated
Face
Value ($)

 

Value ($)

 

Unrealized
Appreciation/
Depreciation ($)

 

10 Year US Treasury Note

 

3/22/2006

 

623

 

67,639,927

 

68,160,094

 

(520,167)

 

S&P 500 Index

 

3/16/2006

 

26

 

8,268,851

 

8,156,200

 

112,651

 

Total net unrealized depreciation

 

(407,516)

 

 

As of December 31, 2005, the Fund had the following open forward foreign currency

 

exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

 

Settlement

Appreciation

 

Contracts to Deliver

In Exchange For

Date

(US $)

 

EUR

10,062,000

USD

 

12,120,886

3/15/2006

158,537

 

GBP

2,058,000

USD

 

3,641,878

3/15/2006

101,313

 

JPY

571,272,000

USD

 

4,965,683

3/15/2006

76,569

 

AUD

1,588,000

USD

 

1,176,883

3/15/2006

15,340

 

 

Total unrealized appreciation

 

 

 

 

351,759

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

Settlement

Depreciation

Contracts to Deliver

In Exchange For

Date

(US $)

USD

32,879,384

CAD

 

37,929,000

3/15/2006

(180,561)

 

 

Currency Abbreviations

 

 

 

 

 

AUD

Australian Dollar

 

GBP

British Pound

 

 

CAD

Canadian Dollar

 

JPY

Japanese Yen

 

 

EUR

Euro

 

USD

United States Dollar

 

 

 

 

 

 

SIGNATURES

 

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

 

Registrant:

DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds III

 

 

By:

/s/Vincent J. Esposito

 

Vincent J. Esposito

 

President

 

Date:

February 24, 2006

 

 

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

 

Registrant:

DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds III

 

 

By:

/s/Vincent J. Esposito

 

Vincent J. Esposito

 

President

 

Date:

February 24, 2006

 

 

 

By:

/s/Paul Schubert

 

Paul Schubert

 

Chief Financial Officer and Treasurer

 

Date:                                                 February 24, 2006