N-Q 1 pif-nq2007.txt PIF 1ST QTR N-Q FILING AS OF 01/31/07 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 811-07572 -------------------------- Principal Investors Fund, Inc. -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 711 High Street, Des Moines, IA 50392-2080 -------------------------------------------------------------------------------- (Address of principal executive offices) Princor Financial Services Corporation, Des Moines, IA 50392-2080 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 515-247-6783 ------------------- Date of fiscal year end: October 31, 2007 --------------------------- Date of reporting period: January 31, 2007 --------------------------- ITEM 1 - SCHEDULE OF INVESTMENTS
Schedule of Investments January 31, 2007 (unaudited) Bond & Mortgage Securities Fund Shares Held Value ----------------- -------- -------------------- COMMON STOCKS (0.00%) Independent Power Producer (0.00%) Dynegy Inc (a) 99 $ 698 -------------------- TOTAL COMMON STOCKS $ 698 -------------------- Principal Amount Value ----------------- -------- -------------------- BONDS (85.41%) Advanced Materials & Products (0.03%) Hexcel Corp 6.75%, 2/ 1/2015 (b) 750,000 733,125 -------------------- Advertising Services (0.06%) Advanstar Communications Inc 10.75%, 8/15/2010 1,125,000 1,209,375 -------------------- Aerospace & Defense (0.01%) Lockheed Martin Corp 7.65%, 5/ 1/2016 250,000 286,496 -------------------- Aerospace & Defense Equipment (0.30%) BE Aerospace Inc 8.88%, 5/ 1/2011 1,250,000 1,290,625 GenCorp Inc 9.50%, 8/15/2013 428,000 455,820 Goodrich Corp 6.80%, 7/ 1/2036 2,050,000 2,194,917 Sequa Corp 8.88%, 4/ 1/2008 500,000 513,750 9.00%, 8/ 1/2009 1,850,000 1,961,000 -------------------- 6,416,112 -------------------- Agricultural Chemicals (0.11%) Potash Corp of Saskatchewan 5.88%, 12/ 1/2036 1,710,000 1,649,310 Terra Capital Inc 7.00%, 2/ 1/2017 (c)(d) 700,000 689,500 -------------------- 2,338,810 -------------------- Agricultural Operations (0.38%) Bunge Ltd Finance Corp 4.38%, 12/15/2008 7,564,000 7,397,040 5.10%, 7/15/2015 1,000,000 926,464 -------------------- 8,323,504 -------------------- Apparel Manufacturers (0.14%) Levi Strauss & Co 10.11%, 4/ 1/2012 1,000,000 1,025,000 12.25%, 12/15/2012 400,000 442,500 Phillips-Van Heusen 7.25%, 2/15/2011 250,000 255,000 8.13%, 5/ 1/2013 750,000 787,500 7.75%, 11/15/2023 475,000 498,750 -------------------- 3,008,750 -------------------- Appliances (0.07%) Whirlpool Corp 5.86%, 6/15/2009 (e) 1,600,000 1,604,011 -------------------- Asset Backed Securities (6.53%) Ameriquest Mortgage Securities Inc 5.62%, 3/25/2035 (e) 656,575 657,172 5.55%, 7/25/2035 (e) 1,002,684 1,004,034 Carrington Mortgage Loan Trust 5.58%, 1/25/2035 (e) 175,835 175,864 5.60%, 12/25/2035 (e) 6,172,000 6,181,909 Chase Funding Mortgage Loan Asset-Backed Certificates 5.62%, 7/25/2033 (e)(f) 5,388,450 5,398,648 5.82%, 9/25/2033 (e) 1,215,000 1,218,076 5.55%, 12/25/2033 (e) 102,117 102,256 Citigroup Mortgage Loan Trust Inc 5.42%, 7/25/2035 (e) 68,917 68,919 CNH Wholesale Master Note Trust 5.72%, 6/15/2011 (e) 650,000 651,215 Countrywide Asset-Backed Certificates 5.60%, 9/25/2033 (e) 93,963 93,975 5.84%, 6/25/2035 (e) 2,800,000 2,819,274 5.98%, 12/25/2035 (e) 2,600,000 2,616,460 5.59%, 1/25/2036 (e) 6,000,000 6,008,584 5.61%, 2/25/2036 (e)(f) 13,725,000 13,747,056 5.57%, 4/25/2036 (e)(f) 9,800,000 9,822,630 5.49%, 6/25/2037 4,032,000 4,031,967 Countrywide Home Equity Loan Trust 5.55%, 12/15/2035 (e) 2,034,092 2,035,148 5.52%, 5/15/2036 (e)(f) 7,391,630 7,391,589 First Franklin Mortgage Loan Asset Backed Certificates 5.70%, 10/25/2034 (e)(f) 1,611,031 1,611,786 5.39%, 3/25/2036 (e)(f) 7,108,645 7,110,043 First-Citizens Home Equity Loan LLC 5.53%, 9/15/2022 (d)(e) 1,769,864 1,766,301 GMAC Mortgage Corp Loan Trust 5.50%, 8/25/2035 (e) 2,225,000 2,229,539 5.53%, 11/25/2036 (e)(f) 16,156,000 16,163,215 Great America Leasing Receivables 5.39%, 9/15/2011 (d) 1,295,000 1,292,918 JP Morgan Mortgage Acquisition Corp 5.49%, 4/25/2036 (e)(f) 4,850,000 4,853,357 Lehman XS Trust 5.76%, 11/25/2035 (e) 4,889,664 4,916,195 Long Beach Mortgage Loan Trust 5.85%, 6/25/2034 (e) 450,000 451,567 5.82%, 2/25/2035 (e) 3,000,000 3,017,738 5.50%, 4/25/2035 (e) 646,462 646,519 5.46%, 10/25/2036 (f) 2,625,000 2,624,987 5.49%, 12/25/2036 2,175,000 2,174,983 Merrill Lynch Mortgage Investors Inc 5.50%, 4/25/2036 (e) 685,668 685,710 5.55%, 7/25/2036 (e) 2,211,851 2,212,477 Morgan Stanley ABS Capital I 5.58%, 7/25/2035 (e) 1,800,000 1,802,105 Morgan Stanley Capital I 5.50%, 2/25/2036 1,675,000 1,677,787 MSDWCC Heloc Trust 5.51%, 7/25/2017 (e) 980,917 981,690 Asset Backed Securities Nomura Asset Acceptance Corp 5.55%, 6/25/2035 (e) 392,374 392,436 Ownit Mortgage Loan Asset Backed Certificates 5.62%, 8/25/2036 (e) 2,571,135 2,572,223 Popular ABS Mortgage Pass-Through Trust 5.59%, 5/25/2035 (e)(f) 3,158,738 3,167,430 5.58%, 11/25/2035 (e) 3,355,000 3,361,688 Residential Asset Mortgage Products Inc 5.66%, 5/25/2034 (e)(f) 562,360 562,871 5.55%, 12/25/2034 (e) 347,392 347,533 5.59%, 7/25/2035 (e) 2,776,955 2,780,691 Residential Asset Securities Corp 3.28%, 8/25/2029 35,777 35,620 SACO I Inc 5.59%, 4/25/2035 (e) 488,539 488,592 5.46%, 9/25/2036 2,010,371 2,010,363 Saxon Asset Securities Trust 5.66%, 12/26/2034 (e) 732,119 732,538 5.54%, 3/25/2035 (e) 1,162,923 1,163,394 5.84%, 3/25/2035 (e) 2,500,000 2,507,189 Securitized Asset Backed Receivables LLC 5.55%, 3/25/2035 (e) 962,206 962,473 -------------------- 141,328,734 -------------------- Auto - Car & Light Trucks (0.47%) DaimlerChrysler NA Holding Corp 5.83%, 9/10/2007 (e) 1,200,000 1,202,366 4.75%, 1/15/2008 75,000 74,362 5.90%, 10/31/2008 (e)(f) 3,500,000 3,515,512 5.79%, 3/13/2009 (e)(f) 2,675,000 2,680,075 5.75%, 9/ 8/2011 (b) 2,000,000 1,993,510 General Motors Corp 7.13%, 7/15/2013 (b) 700,000 679,000 -------------------- 10,144,825 -------------------- Auto/Truck Parts & Equipment - Original (0.23%) Accuride Corp 8.50%, 2/ 1/2015 750,000 731,250 Lear Corp 8.50%, 12/ 1/2013 (b) 800,000 800,000 Stanadyne Corp 10.00%, 8/15/2014 375,000 388,125 Tenneco Inc 10.25%, 7/15/2013 500,000 546,875 Titan International Inc 8.00%, 1/15/2012 (d) 700,000 703,500 TRW Automotive Inc 9.38%, 2/15/2013 1,250,000 1,337,500 United Components Inc 9.38%, 6/15/2013 500,000 517,500 -------------------- 5,024,750 -------------------- Automobile Sequential (0.38%) Capital Auto Receivables Asset Trust 3.92%, 11/16/2009 2,000,000 1,965,416 5.69%, 6/15/2010 (e) 1,070,000 1,074,935 Carss Finance LP 5.60%, 1/15/2011 (d)(e) 263,160 263,598 Ford Credit Auto Owner Trust 5.30%, 6/15/2012 3,095,000 3,077,377 Automobile Sequential WFS Financial Owner Trust 4.50%, 5/17/2013 1,960,000 1,931,523 -------------------- 8,312,849 -------------------- Beverages - Non-Alcoholic (0.26%) Bottling Group LLC 4.63%, 11/15/2012 110,000 105,945 Coca-Cola HBC Finance BV 5.13%, 9/17/2013 345,000 336,716 Cott Beverages USA Inc 8.00%, 12/15/2011 1,000,000 1,022,500 Panamerican Beverages Inc 7.25%, 7/ 1/2009 4,000,000 4,132,800 -------------------- 5,597,961 -------------------- Beverages - Wine & Spirits (0.38%) Constellation Brands Inc 7.25%, 9/ 1/2016 750,000 766,875 Diageo Capital PLC 5.45%, 4/20/2007 (e) 1,800,000 1,800,244 5.13%, 1/30/2012 2,300,000 2,266,710 Diageo Finance BV 5.48%, 3/30/2009 (e)(f) 2,600,000 2,603,219 5.50%, 4/ 1/2013 760,000 756,419 -------------------- 8,193,467 -------------------- Brewery (0.28%) Cia Brasileira de Bebidas 10.50%, 12/15/2011 (b) 1,175,000 1,404,125 8.75%, 9/15/2013 685,000 798,025 Coors Brewing Co 6.38%, 5/15/2012 650,000 669,261 SABMiller PLC 6.50%, 7/ 1/2016 (d) 3,000,000 3,139,323 -------------------- 6,010,734 -------------------- Broadcasting Services & Programming (0.02%) Fisher Communications Inc 8.63%, 9/15/2014 400,000 427,000 -------------------- Building - Heavy Construction (0.04%) Ahern Rentals Inc 9.25%, 8/15/2013 750,000 780,937 -------------------- Building - Residential & Commercial (0.16%) Beazer Homes USA Inc 8.38%, 4/15/2012 400,000 411,000 DR Horton Inc 8.50%, 4/15/2012 500,000 522,926 K Hovnanian Enterprises Inc 10.50%, 10/ 1/2007 1,725,000 1,774,594 8.00%, 4/ 1/2012 (b) 300,000 308,625 KB Home 7.75%, 2/ 1/2010 340,000 345,525 -------------------- 3,362,670 -------------------- Building & Construction - Miscellaneous (0.02%) Dycom Industries Inc 8.13%, 10/15/2015 400,000 416,000 -------------------- Building & Construction Products - Miscellaneous (0.45%) CRH America Inc 5.30%, 10/15/2013 1,660,000 1,612,184 6.00%, 9/30/2016 1,750,000 1,766,382 6.40%, 10/15/2033 345,000 341,043 Interline Brands Inc 8.13%, 6/15/2014 1,150,000 1,175,875 Masco Corp 5.60%, 3/ 9/2007 (d)(e) 1,400,000 1,400,225 Owens Corning Inc 6.50%, 12/ 1/2016 (d) 600,000 608,996 7.00%, 12/ 1/2036 (d) 900,000 911,083 USG Corp 6.30%, 11/15/2016 (d) 1,850,000 1,849,787 -------------------- 9,665,575 -------------------- Building Products - Wood (0.15%) Masco Corp 6.13%, 10/ 3/2016 3,175,000 3,198,838 -------------------- Cable TV (1.24%) Cablevision Systems Corp 9.87%, 4/ 1/2009 (e) 1,500,000 1,590,000 Charter Communications Holdings II LLC/Charter Communications Holding II Capital Corp 10.25%, 9/15/2010 750,000 779,062 Charter Communications Operating LLC/Charter Communications Operating Capital 8.38%, 4/30/2014 (d) 650,000 676,000 Comcast Cable Communications LLC 8.38%, 5/ 1/2007 500,000 503,631 Comcast Corp 5.66%, 7/14/2009 (b)(e) 3,650,000 3,658,709 7.05%, 3/15/2033 (b) 2,185,000 2,365,332 6.45%, 3/15/2037 3,230,000 3,240,410 COX Communications Inc 5.91%, 12/14/2007 (e)(f) 2,750,000 2,760,725 4.63%, 1/15/2010 805,000 786,772 6.75%, 3/15/2011 305,000 317,812 7.13%, 10/ 1/2012 1,000,000 1,072,121 4.63%, 6/ 1/2013 1,000,000 944,710 5.50%, 10/ 1/2015 165,000 161,107 6.45%, 12/ 1/2036 (d) 1,245,000 1,238,322 CSC Holdings Inc 7.88%, 12/15/2007 1,050,000 1,064,438 Echostar DBS Corp 7.00%, 10/ 1/2013 1,000,000 1,001,250 6.63%, 10/ 1/2014 1,675,000 1,641,500 Insight Communications Co Inc 12.25%, 2/15/2011 1,248,000 1,302,600 Kabel Deutschland GmbH 10.63%, 7/ 1/2014 (b) 450,000 502,312 Unity Media GmbH 10.38%, 2/15/2015 (b)(d) 1,200,000 1,188,000 -------------------- 26,794,813 -------------------- Casino Hotels (0.36%) Aztar Corp 9.00%, 8/15/2011 500,000 522,500 7.88%, 6/15/2014 1,000,000 1,093,000 Caesars Entertainment Inc 9.38%, 2/15/2007 2,050,000 2,050,000 Casino Hotels Harrah's Operating Co Inc 5.50%, 7/ 1/2010 1,060,000 1,041,967 Mandalay Resort Group 10.25%, 8/ 1/2007 1,020,000 1,039,125 MGM Mirage 6.75%, 4/ 1/2013 800,000 785,000 Riviera Holdings Corp 11.00%, 6/15/2010 400,000 422,000 Station Casinos Inc 7.75%, 8/15/2016 (b) 450,000 459,000 Turning Stone Resort Casino Enterprise 9.13%, 12/15/2010 (d) 400,000 408,000 -------------------- 7,820,592 -------------------- Cellular Telecommunications (0.86%) America Movil SA de CV 5.99%, 4/27/2007 (e) 1,700,000 1,700,000 5.47%, 6/27/2008 (d)(f) 1,975,000 1,973,618 AT&T Mobility LLC 7.13%, 12/15/2031 905,000 997,450 Centennial Cellular Corp 10.75%, 12/15/2008 500,000 501,250 Dobson Cellular Systems Inc 8.38%, 11/ 1/2011 450,000 475,313 New Cingular Wireless Services Inc 8.13%, 5/ 1/2012 1,950,000 2,183,009 Nextel Communications Inc 5.95%, 3/15/2014 (b) 2,925,000 2,854,730 Rogers Wireless Inc 8.48%, 12/15/2010 (e) 3,000,000 3,060,000 7.25%, 12/15/2012 1,000,000 1,052,500 6.38%, 3/ 1/2014 935,000 936,169 Rural Cellular Corp 8.25%, 3/15/2012 1,000,000 1,042,500 Vodafone Group PLC 5.70%, 6/15/2011 (b)(e) 1,930,000 1,936,276 -------------------- 18,712,815 -------------------- Chemicals - Diversified (0.48%) Chevron Phillips Chemical Co LLC 5.38%, 6/15/2007 240,000 239,791 Equistar Chemicals LP/Equistar Funding Corp 10.63%, 5/ 1/2011 2,515,000 2,665,900 Huntsman LLC 11.50%, 7/15/2012 1,515,000 1,719,525 ICI Wilmington Inc 5.63%, 12/ 1/2013 930,000 921,538 Ineos Group Holdings Plc 8.50%, 2/15/2016 (b)(d) 400,000 383,000 Lyondell Chemical Co 10.50%, 6/ 1/2013 1,135,000 1,252,756 8.25%, 9/15/2016 (b) 1,500,000 1,590,000 Nova Chemicals Corp 6.50%, 1/15/2012 750,000 708,750 8.50%, 11/15/2013 500,000 497,500 Phibro Animal Health Corp 10.00%, 8/ 1/2013 (d) 325,000 337,188 -------------------- 10,315,948 -------------------- Chemicals - Specialty (0.22%) Ferro Corp 9.13%, 1/ 1/2009 550,000 566,500 Hercules Inc 6.75%, 10/15/2029 800,000 788,000 MacDermid Inc 9.13%, 7/15/2011 400,000 419,000 Nalco Co 7.75%, 11/15/2011 1,500,000 1,530,000 NewMarket Corp 7.13%, 12/15/2016 (d) 550,000 545,875 OM Group Inc 9.25%, 12/15/2011 400,000 415,500 Rhodia SA 10.25%, 6/ 1/2010 475,000 541,500 -------------------- 4,806,375 -------------------- Coal (0.11%) Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp 10.00%, 6/ 1/2012 595,000 644,087 Massey Energy Co 6.88%, 12/15/2013 1,000,000 925,000 Peabody Energy Corp 7.38%, 11/ 1/2016 725,000 755,813 -------------------- 2,324,900 -------------------- Coatings & Paint (0.02%) Valspar Corp 6.00%, 5/ 1/2007 465,000 465,410 -------------------- Commercial Banks (0.93%) American Express Centurion Bank 5.41%, 7/19/2007 (e) 2,000,000 2,001,176 Barclays Bank PLC 5.93%, 12/31/2049 (d)(e) 3,350,000 3,375,192 BOI Capital Funding No 2 LP 5.57%, 8/29/2049 (d)(e) 1,345,000 1,314,064 Commonwealth Bank of Australia 6.02%, 3/15/2036 (d) 1,700,000 1,705,894 Glitnir Banki HF 5.52%, 10/15/2008 (d)(e) 1,500,000 1,497,213 HSBC Holdings PLC 5.25%, 12/12/2012 (b) 300,000 297,643 KeyBank NA 5.40%, 8/ 8/2007 (e) 750,000 750,330 5.52%, 11/ 3/2009 (e) 2,000,000 2,004,530 Lloyds TSB Group PLC 6.27%, 11/14/2016 (b)(d) 2,585,000 2,561,334 Royal Bank of Scotland Group PLC 5.00%, 10/ 1/2014 220,000 212,077 Union Planters Bank NA 5.13%, 6/15/2007 310,000 309,735 United Overseas Bank Ltd 4.50%, 7/ 2/2013 (d) 325,000 306,993 US Bank NA/Cincinnati OH 6.38%, 8/ 1/2011 275,000 285,617 VTB Capital SA for Vneshtorgbank 6.11%, 9/21/2007 (d)(e) 1,410,000 1,412,256 Wachovia Bank NA/Charlotte NC 7.80%, 8/18/2010 385,000 411,623 Commercial Banks Woori Bank 6.13%, 5/ 3/2016 (d)(e) 1,700,000 1,727,486 -------------------- 20,173,163 -------------------- Commercial Services (0.31%) Brickman Group Ltd/The 11.75%, 12/15/2009 3,000,000 3,180,000 Iron Mountain Inc 8.25%, 7/ 1/2011 1,175,000 1,180,875 8.63%, 4/ 1/2013 1,350,000 1,387,125 Vertrue Inc 9.25%, 4/ 1/2014 950,000 1,014,125 -------------------- 6,762,125 -------------------- Commercial Services - Finance (0.02%) Cardtronics Inc 9.25%, 8/15/2013 425,000 449,437 -------------------- Computer Services (0.06%) Sungard Data Systems Inc 9.13%, 8/15/2013 1,150,000 1,210,375 -------------------- Computers - Integrated Systems (0.00%) NCR Corp 7.13%, 6/15/2009 100,000 102,431 -------------------- Computers - Memory Devices (0.16%) Seagate Technology HDD Holdings 6.38%, 10/ 1/2011 985,000 982,537 6.80%, 10/ 1/2016 (b) 2,565,000 2,558,588 -------------------- 3,541,125 -------------------- Consumer Products - Miscellaneous (0.23%) American Achievement Corp 8.25%, 4/ 1/2012 1,225,000 1,247,969 Blyth Inc 5.50%, 11/ 1/2013 1,150,000 966,000 Fortune Brands Inc 5.13%, 1/15/2011 2,735,000 2,678,158 -------------------- 4,892,127 -------------------- Containers - Metal & Glass (0.26%) Ball Corp 6.88%, 12/15/2012 1,000,000 1,017,500 Impress Holdings BV 8.58%, 9/15/2013 (b)(d) 750,000 750,000 Owens Brockway Glass Container Inc 8.88%, 2/15/2009 2,931,000 2,996,947 8.75%, 11/15/2012 750,000 793,125 -------------------- 5,557,572 -------------------- Containers - Paper & Plastic (0.07%) Intertape Polymer US Inc 8.50%, 8/ 1/2014 350,000 320,250 Jefferson Smurfit Corp US 8.25%, 10/ 1/2012 500,000 501,250 Plastipak Holdings Inc 8.50%, 12/15/2015 (b)(d) 375,000 391,875 Smurfit-Stone Container Enterprises Inc 8.38%, 7/ 1/2012 300,000 301,500 -------------------- 1,514,875 -------------------- Credit Card Asset Backed Securities (1.93%) American Express Credit Account Master Trust 5.57%, 9/15/2011 (e) 600,000 602,232 Bank One Issuance Trust 3.59%, 5/17/2010 1,000,000 988,780 5.64%, 3/15/2012 (e) 3,550,000 3,570,603 Capital One Multi-Asset Execution Trust 5.54%, 12/15/2009 (e) 1,690,000 1,689,954 Chase Credit Card Master Trust 5.52%, 5/15/2009 (e) 2,250,000 2,249,921 5.67%, 10/15/2010 (e) 1,550,000 1,556,352 5.65%, 1/17/2011 (e) 3,100,000 3,113,271 5.67%, 2/15/2011 (e) 7,500,000 7,542,834 Citibank Credit Card Issuance Trust 5.70%, 6/25/2009 (e) 3,250,000 3,254,969 5.54%, 5/20/2011 (e) 2,300,000 2,307,535 Citibank Credit Card Master Trust I 5.64%, 3/10/2011 (e) 1,875,000 1,883,567 First USA Credit Card Master Trust 5.68%, 4/18/2011 (e) 3,650,000 3,666,970 GE Capital Credit Card Master Note Trust 5.62%, 6/15/2010 (e) 2,000,000 2,001,773 MBNA Credit Card Master Note Trust 5.70%, 10/15/2009 (e) 1,600,000 1,601,461 5.69%, 1/18/2011 (e)(f) 2,500,000 2,509,881 Providian Master Note Trust 5.10%, 11/15/2012 (d) 3,350,000 3,324,927 -------------------- 41,865,030 -------------------- Cruise Lines (0.07%) Royal Caribbean Cruises Ltd 7.00%, 10/15/2007 1,500,000 1,514,765 -------------------- Data Processing & Management (0.07%) Dun & Bradstreet Corp 5.50%, 3/15/2011 1,350,000 1,347,461 Fidelity National Information Services 4.75%, 9/15/2008 225,000 217,422 -------------------- 1,564,883 -------------------- Dialysis Centers (0.07%) DaVita Inc 6.63%, 3/15/2013 1,560,000 1,552,200 -------------------- Direct Marketing (0.03%) Visant Corp 7.63%, 10/ 1/2012 620,000 632,400 -------------------- Diversified Financial Services (0.33%) Citigroup Capital II 7.75%, 12/ 1/2036 5,700,000 5,888,955 General Electric Capital Corp 4.63%, 9/15/2009 285,000 280,863 4.25%, 12/ 1/2010 (b) 735,000 708,154 5.65%, 6/ 9/2014 240,000 242,847 -------------------- 7,120,819 -------------------- Diversified Manufacturing Operations (0.22%) Blount Inc 8.88%, 8/ 1/2012 (b) 1,000,000 1,030,000 Diversified Manufacturing Operations Bombardier Inc 6.75%, 5/ 1/2012 (d) 450,000 441,562 8.00%, 11/15/2014 (b)(d) 750,000 774,375 Carlisle Cos Inc 6.13%, 8/15/2016 2,200,000 2,211,766 Jacuzzi Brands Inc 9.63%, 7/ 1/2010 350,000 371,875 -------------------- 4,829,578 -------------------- Diversified Minerals (0.16%) Teck Cominco Ltd 6.13%, 10/ 1/2035 1,600,000 1,527,275 Vale Overseas Ltd 6.25%, 1/23/2017 1,850,000 1,853,478 -------------------- 3,380,753 -------------------- Diversified Operations & Commercial Services (0.05%) Aramark Corp 8.50%, 2/ 1/2015 (d) 550,000 563,062 Chemed Corp 8.75%, 2/24/2011 600,000 617,250 -------------------- 1,180,312 -------------------- E-Commerce - Products (0.03%) FTD Inc 7.75%, 2/15/2014 725,000 726,812 -------------------- Electric - Distribution (0.10%) Detroit Edison Co/The 5.70%, 10/ 1/2037 2,170,000 2,071,721 -------------------- Electric - Generation (0.32%) CE Casecnan Water & Energy 11.95%, 11/15/2010 1,460,100 1,576,908 CE Generation LLC 7.42%, 12/15/2018 1,086,750 1,138,720 Indiantown Cogeneration 9.26%, 12/15/2010 2,792,609 2,929,810 Korea East-West Power Co Ltd 4.88%, 4/21/2011 (d) 280,000 273,294 Tenaska Oklahoma 6.53%, 12/30/2014 (d) 434,907 424,304 Tenaska Virginia Partners LP 6.12%, 3/30/2024 (d) 492,098 490,479 -------------------- 6,833,515 -------------------- Electric - Integrated (2.76%) Alabama Power Co 5.56%, 8/25/2009 (e) 1,000,000 1,003,630 AmerenUE 5.40%, 2/ 1/2016 1,605,000 1,562,254 5.10%, 10/ 1/2019 1,335,000 1,237,901 Appalachian Power Co 5.69%, 6/29/2007 (e) 2,500,000 2,502,445 Arizona Public Service Co 6.50%, 3/ 1/2012 2,640,000 2,717,959 5.80%, 6/30/2014 555,000 552,526 6.25%, 8/ 1/2016 1,900,000 1,937,548 Baltimore Gas & Electric Co 5.90%, 10/ 1/2016 (d) 1,000,000 1,008,400 Electric - Integrated Carolina Power & Light Co 6.65%, 4/ 1/2008 200,000 202,346 Commonwealth Edison Co 5.95%, 8/15/2016 (b) 1,380,000 1,393,552 5.90%, 3/15/2036 500,000 482,793 Consumers Energy Co 4.25%, 4/15/2008 140,000 137,948 Dayton Power & Light Co/The 5.12%, 10/ 1/2013 (e) 600,000 586,121 Dominion Resources Inc/VA 5.66%, 9/28/2007 (e) 1,440,000 1,440,556 5.69%, 5/15/2008 2,150,000 2,153,352 8.13%, 6/15/2010 1,075,000 1,163,354 5.95%, 6/15/2035 855,000 839,420 DTE Energy Co 6.35%, 6/ 1/2016 725,000 751,534 Entergy Gulf States Inc 3.60%, 6/ 1/2008 345,000 335,799 6.10%, 12/ 8/2008 (d)(e) 1,465,000 1,468,337 Entergy Louisiana LLC 5.83%, 11/ 1/2010 350,000 348,754 Exelon Corp 4.45%, 6/15/2010 575,000 556,358 6.75%, 5/ 1/2011 355,000 370,203 Georgia Power Co 5.55%, 2/17/2009 (e) 2,650,000 2,658,872 Indianapolis Power & Light Co 7.38%, 8/ 1/2007 620,000 624,691 Midamerican Energy Holdings Co 4.63%, 10/ 1/2007 380,000 377,912 3.50%, 5/15/2008 975,000 951,441 Mirant Americas Generation LLC 8.30%, 5/ 1/2011 850,000 867,000 Nevada Power Co 6.65%, 4/ 1/2036 1,600,000 1,657,765 Northeast Utilities 3.30%, 6/ 1/2008 460,000 447,074 PPL Energy Supply LLC 6.40%, 11/ 1/2011 50,000 51,497 5.40%, 8/15/2014 735,000 716,209 6.20%, 5/15/2016 (b) 1,785,000 1,825,971 PSEG Power LLC 3.75%, 4/ 1/2009 2,750,000 2,654,407 Puget Sound Energy Inc 3.36%, 6/ 1/2008 350,000 340,380 Sierra Pacific Power Co 6.25%, 4/15/2012 3,100,000 3,152,034 Southern California Edison Co 5.47%, 2/ 2/2009 (e)(f) 1,325,000 1,326,966 Southern Co 5.30%, 1/15/2012 1,525,000 1,519,190 Southern Power Co/GA 6.38%, 11/15/2036 1,435,000 1,406,706 Southwestern Electric Power Co 5.55%, 1/15/2017 1,700,000 1,677,740 Southwestern Public Service Co 6.00%, 10/ 1/2036 1,000,000 980,227 Tampa Electric Co 6.55%, 5/15/2036 800,000 840,296 Electric - Integrated TXU Electric Delivery Co 6.38%, 5/ 1/2012 3,330,000 3,425,961 7.25%, 1/15/2033 115,000 128,152 TXU Energy Co LLC 6.13%, 3/15/2008 (b) 3,055,000 3,069,245 Virginia Electric & Power Co 4.50%, 12/15/2010 325,000 314,930 5.40%, 1/15/2016 1,535,000 1,505,757 WPS Resources Corp 7.00%, 11/ 1/2009 1,540,000 1,596,667 Xcel Energy Inc 6.50%, 7/ 1/2036 915,000 956,312 -------------------- 59,826,492 -------------------- Electronic Components - Miscellaneous (0.25%) Celestica Inc 7.88%, 7/ 1/2011 (b) 350,000 342,125 Communications & Power Industries Inc 8.00%, 2/ 1/2012 500,000 515,000 Flextronics International Ltd 6.50%, 5/15/2013 2,000,000 1,940,000 Jabil Circuit Inc 5.88%, 7/15/2010 2,570,000 2,548,322 -------------------- 5,345,447 -------------------- Electronic Components - Semiconductors (0.42%) Advanced Micro Devices Inc 7.75%, 11/ 1/2012 1,000,000 1,022,500 Chartered Semiconductor Manufacturing Ltd 6.25%, 4/ 4/2013 1,520,000 1,536,226 Conexant Systems Inc 9.13%, 11/15/2010 (b)(d) 1,000,000 1,015,000 Freescale Semiconductor Inc 9.13%, 12/15/2014 (d) 1,300,000 1,291,875 9.24%, 12/15/2014 (b)(d) 400,000 398,000 Hynix Semiconductor Manufacturing America Inc 8.63%, 5/15/2007 (d) 3,710,000 3,727,927 -------------------- 8,991,528 -------------------- Electronic Connectors (0.06%) Thomas & Betts Corp 6.63%, 5/ 7/2008 1,330,000 1,340,127 -------------------- Export & Import Bank (0.03%) Export-Import Bank Of Korea 4.50%, 8/12/2009 740,000 726,217 -------------------- Federal & Federally Sponsored Credit (0.01%) Federal Farm Credit Bank 7.25%, 6/12/2007 (b) 180,000 181,220 -------------------- Finance - Auto Loans (0.76%) Ford Motor Credit Co 5.80%, 1/12/2009 2,000,000 1,962,822 7.38%, 10/28/2009 200,000 201,267 9.75%, 9/15/2010 (d) 1,250,000 1,333,376 10.61%, 6/15/2011 (d) 141,000 153,299 9.88%, 8/10/2011 1,850,000 1,980,778 8.11%, 1/13/2012 400,000 401,644 9.81%, 4/15/2012 (e) 375,000 406,554 Finance - Auto Loans Ford Motor Credit Co (continued) 8.00%, 12/15/2016 2,400,000 2,356,486 GMAC LLC 6.23%, 3/20/2007 (e) 1,730,000 1,730,540 6.31%, 11/30/2007 1,010,000 1,004,754 6.88%, 9/15/2011 1,675,000 1,699,902 6.00%, 12/15/2011 1,815,000 1,788,307 6.75%, 12/ 1/2014 (b) 1,500,000 1,521,917 -------------------- 16,541,646 -------------------- Finance - Commercial (0.61%) Caterpillar Financial Services Corp 5.37%, 7/27/2007 (e) 3,000,000 3,001,263 5.05%, 12/ 1/2010 1,375,000 1,365,330 CIT Group Inc 5.57%, 2/15/2007 (e) 875,000 875,055 5.59%, 4/27/2011 (f) 3,250,000 3,252,480 6.10%, 3/15/2067 1,135,000 1,132,033 Textron Financial Corp 5.46%, 11/ 7/2008 (e)(f) 3,500,000 3,502,600 -------------------- 13,128,761 -------------------- Finance - Consumer Loans (0.90%) American General Finance Corp 3.88%, 10/ 1/2009 400,000 385,200 5.65%, 8/17/2011 (e)(f) 3,135,000 3,145,436 HSBC Finance Capital Trust IX 5.91%, 11/30/2035 650,000 652,016 HSBC Finance Corp 4.63%, 1/15/2008 100,000 99,272 4.13%, 12/15/2008 (g) 900,000 881,833 4.13%, 11/16/2009 (g) 1,750,000 1,699,618 5.65%, 11/16/2009 (e) 3,275,000 3,295,705 6.38%, 10/15/2011 110,000 114,473 7.00%, 5/15/2012 2,095,000 2,246,058 SLM Corp 5.52%, 7/26/2010 (e) 7,000,000 7,002,296 -------------------- 19,521,907 -------------------- Finance - Credit Card (0.30%) Capital One Bank 5.00%, 6/15/2009 2,165,000 2,148,500 6.50%, 6/13/2013 2,800,000 2,934,448 5.13%, 2/15/2014 425,000 415,121 Capital One Capital III 7.69%, 8/15/2036 895,000 1,007,264 -------------------- 6,505,333 -------------------- Finance - Investment Banker & Broker (2.47%) Bear Stearns Cos Inc/The 5.30%, 10/30/2015 790,000 774,547 Citigroup Inc 5.00%, 9/15/2014 (h) 1,700,000 1,647,980 6.63%, 6/15/2032 705,000 768,788 5.88%, 2/22/2033 1,990,000 1,980,727 Credit Suisse USA Inc 5.60%, 1/15/2010 (e) 1,500,000 1,505,757 E*Trade Financial Corp 8.00%, 6/15/2011 1,000,000 1,043,750 Goldman Sachs Group Inc 3.88%, 1/15/2009 640,000 622,719 Finance - Investment Banker & Broker Goldman Sachs Group Inc (continued) 6.65%, 5/15/2009 75,000 77,147 5.69%, 7/23/2009 (b)(e) 2,000,000 2,012,678 5.57%, 3/ 2/2010 (e) 1,500,000 1,504,937 5.25%, 10/15/2013 (b) 2,690,000 2,651,756 5.63%, 1/15/2017 1,750,000 1,727,493 5.95%, 1/15/2027 675,000 658,624 6.45%, 5/ 1/2036 1,000,000 1,025,222 Jefferies Group Inc 6.25%, 1/15/2036 4,620,000 4,417,903 JPMorgan Chase & Co 5.53%, 3/ 9/2009 (e) 2,000,000 2,006,752 6.75%, 2/ 1/2011 2,675,000 2,798,146 4.75%, 3/ 1/2015 (b) 2,375,000 2,258,558 5.25%, 5/ 1/2015 4,040,000 3,968,205 Lazard Group 7.13%, 5/15/2015 2,040,000 2,128,303 Lehman Brothers Holdings Inc 5.62%, 11/10/2009 (e) 3,000,000 3,012,837 Merrill Lynch & Co Inc 5.62%, 2/ 6/2009 (e) 2,275,000 2,283,957 5.59%, 2/ 5/2010 (e) 1,500,000 1,505,346 6.22%, 9/15/2026 250,000 253,887 6.11%, 1/29/2037 2,385,000 2,355,905 Morgan Stanley 5.64%, 1/15/2010 (e) 3,925,000 3,945,418 6.75%, 4/15/2011 640,000 673,192 5.30%, 3/ 1/2013 455,000 453,074 4.75%, 4/ 1/2014 3,555,000 3,371,800 -------------------- 53,435,408 -------------------- Finance - Leasing Company (0.19%) International Lease Finance Corp 5.76%, 1/15/2010 (e) 2,000,000 2,017,458 5.63%, 9/20/2013 2,048,000 2,051,871 -------------------- 4,069,329 -------------------- Finance - Mortgage Loan/Banker (3.13%) Countrywide Financial Corp 5.64%, 12/19/2008 (e) 4,165,000 4,176,520 6.25%, 5/15/2016 1,700,000 1,741,157 Countrywide Home Loans Inc 5.50%, 2/ 1/2007 255,000 255,000 5.63%, 11/16/2007 (e) 750,000 751,481 4.25%, 12/19/2007 240,000 237,543 Fannie Mae 3.70%, 11/ 1/2007 1,870,000 1,847,360 2.88%, 5/19/2008 825,000 800,603 5.25%, 1/15/2009 (b) 350,000 350,800 7.25%, 1/15/2010 (b) 250,000 264,630 6.00%, 5/15/2011 (b) 75,000 77,585 5.62%, 2/25/2018 (e) 1,116,560 1,119,217 5.57%, 11/25/2022 (e) 1,416,147 1,420,570 5.52%, 1/25/2023 (e) 1,797,307 1,801,109 6.25%, 5/15/2029 1,000,000 1,117,665 7.25%, 5/15/2030 9,400,000 11,775,700 5.62%, 2/25/2032 (e) 2,810,920 2,820,857 5.57%, 3/25/2035 (e) 1,224,105 1,225,413 Fannie Mae Whole Loan 5.52%, 5/25/2035 (e) 2,481,605 2,490,054 Finance - Mortgage Loan/Banker Freddie Mac 4.75%, 5/ 6/2013 1,150,000 1,106,328 4.63%, 5/28/2013 925,000 889,249 5.62%, 6/15/2018 (e) 1,414,470 1,418,002 5.77%, 6/15/2023 (e) 1,644,842 1,660,955 5.72%, 7/15/2023 (e)(f) 3,583,480 3,600,479 5.67%, 2/15/2030 (e) 1,158,881 1,162,421 5.67%, 5/15/2030 (e) 945,114 947,477 6.75%, 3/15/2031 1,303,000 1,548,919 5.50%, 9/15/2031 5,025,000 4,956,313 6.25%, 7/15/2032 (b) 7,550,000 8,511,372 Residential Capital LLC 6.74%, 6/29/2007 (e) 2,025,000 2,033,290 5.85%, 6/ 9/2008 (f) 1,500,000 1,497,315 6.00%, 2/22/2011 2,665,000 2,650,764 6.50%, 4/17/2013 1,410,000 1,423,100 -------------------- 67,679,248 -------------------- Finance - Other Services (0.19%) Alamosa Delaware Inc 11.00%, 7/31/2010 1,500,000 1,612,174 American Real Estate Partners LP/American Real Estate Finance Corp 8.13%, 6/ 1/2012 1,000,000 1,027,500 7.13%, 2/15/2013 345,000 341,550 Mizuho JGB Investment LLC 9.87%, 12/30/2025 (d) 1,000,000 1,054,954 -------------------- 4,036,178 -------------------- Financial Guarantee Insurance (0.04%) MGIC Investment Corp 5.63%, 9/15/2011 980,000 977,288 -------------------- Food - Miscellaneous/Diversified (0.19%) Corn Products International Inc 8.45%, 8/15/2009 470,000 498,795 General Mills Inc 5.49%, 1/22/2010 (f) 3,575,000 3,574,267 -------------------- 4,073,062 -------------------- Food - Retail (0.44%) Delhaize America Inc 8.13%, 4/15/2011 3,555,000 3,840,826 Ingles Markets Inc 8.88%, 12/ 1/2011 875,000 913,281 Safeway Inc 7.00%, 9/15/2007 315,000 317,963 5.72%, 3/27/2009 (e)(f) 4,450,000 4,452,719 -------------------- 9,524,789 -------------------- Food - Wholesale & Distribution (0.00%) Sysco International Co 6.10%, 6/ 1/2012 100,000 102,789 -------------------- Gas - Distribution (0.18%) SEMCO Energy Inc 7.13%, 5/15/2008 738,000 739,683 Sempra Energy 4.75%, 5/15/2009 675,000 665,675 Southern Union Co 6.15%, 8/16/2008 1,315,000 1,322,017 Gas - Distribution Southern Union Co (continued) 7.20%, 11/ 1/2066 (e) 1,250,000 1,246,443 -------------------- 3,973,818 -------------------- Home Equity - Other (8.41%) ACE Securities Corp 5.53%, 5/25/2035 (e) 1,115,000 1,115,939 5.43%, 7/25/2035 (e) 802,526 802,594 5.53%, 8/25/2035 (e) 6,050,000 6,051,872 5.53%, 9/25/2035 (e)(f) 4,875,000 4,876,642 5.52%, 10/25/2035 (e) 5,100,000 5,101,601 Asset Backed Funding Certificates 5.58%, 2/25/2035 (e) 417,620 417,753 5.50%, 6/25/2035 (e) 3,278,432 3,278,848 5.56%, 7/25/2035 (e) 3,292,530 3,296,148 Asset Backed Securities Corp Home Equity 5.61%, 3/25/2035 (e)(f) 2,827,889 2,829,516 Bear Stearns Asset Backed Securities Inc 5.92%, 3/25/2034 (e) 1,259,990 1,259,982 5.56%, 2/25/2035 (e) 209,798 209,844 5.59%, 9/25/2035 (e) 8,075,000 8,079,134 5.48%, 8/25/2036 (e)(f) 7,145,000 7,146,634 CDC Mortgage Capital Trust 5.89%, 6/25/2034 (e) 637,498 638,035 Citigroup Mortgage Loan Trust Inc 5.59%, 10/25/2035 (e)(f) 13,000,000 13,018,854 Countrywide Asset-Backed Certificates 6.09%, 6/25/2021 (e) 4,000,000 4,027,608 Financial Asset Securities Corp AAA Trust 5.59%, 2/27/2035 (d)(e) 128,231 128,306 First NLC Trust 5.65%, 5/25/2035 (e) 1,040,224 1,040,219 5.55%, 12/25/2035 (e)(f) 14,279,191 14,283,414 GMAC Mortgage Corp Loan Trust 5.75%, 10/25/2036 2,250,000 2,248,564 5.81%, 10/25/2036 1,825,000 1,825,710 Indymac Home Equity Loan Asset-Backed Trust 5.59%, 3/25/2035 (e)(f) 1,241,332 1,241,639 Indymac Residential Asset Backed Trust 5.56%, 8/25/2035 (e) 3,254,571 3,258,758 IXIS Real Estate Capital Trust 5.58%, 9/25/2035 (e)(f) 6,428,850 6,445,168 5.56%, 12/25/2035 (e) 2,375,000 2,377,374 JP Morgan Mortgage Acquisition Corp 5.58%, 7/25/2035 (e) 16,200,000 16,267,478 Master Asset Backed Securities Trust 5.55%, 12/25/2034 (e) 223,516 223,561 Merrill Lynch Mortgage Investors Inc 5.52%, 2/25/2036 (e) 1,463,096 1,464,440 Morgan Stanley ABS Capital I 6.19%, 12/25/2034 (e) 1,500,000 1,510,362 5.42%, 7/25/2035 (e) 656,158 656,277 5.57%, 9/25/2035 (e) 5,500,000 5,508,511 Morgan Stanley Home Equity Loans 5.43%, 8/25/2035 (e) 1,716,109 1,716,414 New Century Home Equity Loan Trust 6.04%, 1/25/2034 (e) 1,373,478 1,379,802 5.61%, 3/25/2035 (e) 966,057 967,262 5.59%, 7/25/2035 (e)(f) 13,800,000 13,831,423 Home Equity - Other Nomura Home Equity Loan Inc 5.44%, 5/25/2035 (e) 392,147 392,181 5.54%, 5/25/2035 (e) 2,000,000 2,001,463 Option One Mortgage Loan Trust 5.85%, 5/25/2034 (e) 1,250,000 1,253,023 6.37%, 5/25/2034 (e) 1,250,000 1,249,994 5.62%, 11/25/2034 (e) 2,060 2,060 5.56%, 2/25/2035 (e) 583,104 583,481 6.32%, 2/25/2035 (e) 600,000 604,298 5.54%, 5/25/2035 (e) 3,000,000 3,002,770 Residential Asset Securities Corp 5.76%, 10/25/2033 (e) 303,602 303,658 5.91%, 12/25/2033 (e) 1,765,071 1,766,455 6.47%, 3/25/2035 (e) 1,050,000 1,051,420 5.52%, 5/25/2035 (e) 1,826,369 1,827,385 5.52%, 6/25/2035 (e) 3,110,304 3,115,491 5.48%, 7/25/2035 (e) 5,928,000 5,930,233 5.59%, 7/25/2035 (e) 11,000,000 11,038,261 Saxon Asset Securities Trust 6.45%, 3/25/2035 (e) 1,800,000 1,801,954 Soundview Home Equity Loan Trust 5.44%, 7/25/2036 (e)(f) 6,450,000 6,450,679 Wells Fargo Home Equity Trust 5.82%, 4/25/2034 (e) 1,140,000 1,140,013 -------------------- 182,040,505 -------------------- Home Equity - Sequential (0.37%) Countrywide Asset-Backed Certificates 5.39%, 4/25/2036 3,850,000 3,824,462 5.51%, 8/25/2036 3,235,000 3,221,653 Residential Asset Securities Corp 4.70%, 10/25/2031 936,355 928,645 -------------------- 7,974,760 -------------------- Hotels & Motels (0.09%) Starwood Hotels & Resorts Worldwide Inc 7.38%, 5/ 1/2007 2,000,000 2,008,396 -------------------- Housewares (0.08%) Vitro SA de CV 8.63%, 2/ 1/2012 (d) 740,000 747,400 9.13%, 2/ 1/2017 (d) 1,085,000 1,095,850 -------------------- 1,843,250 -------------------- Independent Power Producer (0.07%) NRG Energy Inc 7.25%, 2/ 1/2014 1,350,000 1,353,375 7.38%, 1/15/2017 200,000 200,000 -------------------- 1,553,375 -------------------- Industrial Automation & Robots (0.12%) Intermec Inc 7.00%, 3/15/2008 2,500,000 2,512,500 -------------------- Industrial Gases (0.01%) Praxair Inc 6.50%, 3/ 1/2008 235,000 237,538 -------------------- Insurance Brokers (0.22%) AON Corp 8.21%, 1/ 1/2027 (b) 2,990,000 3,421,038 Insurance Brokers Marsh & McLennan Cos Inc 5.50%, 7/13/2007 (e) 1,275,000 1,275,056 -------------------- 4,696,094 -------------------- Investment Companies (0.47%) Canadian Oil Sands Ltd 4.80%, 8/10/2009 (d) 1,700,000 1,664,074 Citadel Finance Ltd 6.25%, 12/15/2011 (d) 2,750,000 2,698,723 Xstrata Finance Canada Ltd 5.50%, 11/16/2011 (d) 2,040,000 2,034,060 5.80%, 11/15/2016 (d) 1,630,000 1,619,760 Xstrata Finance Dubai Ltd 5.72%, 11/13/2009 (d) 2,150,000 2,150,858 -------------------- 10,167,475 -------------------- Investment Management & Advisory Services (0.28%) Ameriprise Financial Inc 5.35%, 11/15/2010 1,860,000 1,858,981 7.52%, 6/ 1/2066 (e) 2,800,000 3,057,143 Janus Capital Group Inc 5.88%, 9/15/2011 1,125,000 1,126,663 -------------------- 6,042,787 -------------------- Life & Health Insurance (0.81%) AmerUs Group Co 5.95%, 8/15/2015 740,000 784,411 Cigna Corp 6.15%, 11/15/2036 1,430,000 1,399,645 Hartford Life Global Funding Trusts 5.53%, 9/15/2009 (e) 3,475,000 3,486,395 Lincoln National Corp 5.47%, 4/ 6/2009 (e)(f) 4,200,000 4,205,216 Pacific Life Global Funding 5.60%, 6/22/2011 (d)(e) 2,500,000 2,503,070 Stancorp Financial Group Inc 6.88%, 10/ 1/2012 1,065,000 1,114,723 Sun Life Financial Global Funding LP 5.61%, 7/ 6/2010 (d)(e) 1,750,000 1,753,911 UnumProvident Corp 6.00%, 5/15/2008 2,200,000 2,206,024 -------------------- 17,453,395 -------------------- Linen Supply & Related Items (0.01%) Cintas Corp No 2 5.13%, 6/ 1/2007 175,000 174,804 -------------------- Machinery - Construction & Mining (0.07%) Joy Global Inc 6.00%, 11/15/2016 (d) 1,020,000 1,023,616 Terex Corp 7.38%, 1/15/2014 450,000 459,000 -------------------- 1,482,616 -------------------- Machinery - Electrical (0.02%) Baldor Electric Co 8.63%, 2/15/2017 500,000 516,250 -------------------- Machinery - Farm (0.07%) Case New Holland Inc 9.25%, 8/ 1/2011 1,500,000 1,590,000 -------------------- Machinery - General Industry (0.02%) Stewart & Stevenson LLC/Stewart & Stevenson Corp 10.00%, 7/15/2014 (d) 350,000 364,000 -------------------- Machinery - Material Handling (0.02%) Columbus McKinnon Corp/NY 8.88%, 11/ 1/2013 500,000 530,000 -------------------- Machinery Tools & Related Products (0.07%) Kennametal Inc 7.20%, 6/15/2012 1,525,000 1,589,091 -------------------- Medical - Drugs (0.33%) Angiotech Pharmaceuticals Inc 9.10%, 12/ 1/2013 (d) 1,800,000 1,845,000 Biovail Corp 7.88%, 4/ 1/2010 1,500,000 1,531,875 Elan Finance PLC/Elan Finance Corp 8.88%, 12/ 1/2013 (d) 800,000 792,000 9.50%, 12/ 1/2013 (b)(d) 1,770,000 1,756,725 Teva Pharmaceutical Finance LLC 6.15%, 2/ 1/2036 1,265,000 1,219,500 -------------------- 7,145,100 -------------------- Medical - HMO (0.23%) Coventry Health Care Inc 5.88%, 1/15/2012 2,892,000 2,867,123 WellPoint Inc 5.85%, 1/15/2036 2,275,000 2,210,069 -------------------- 5,077,192 -------------------- Medical - Hospitals (0.03%) HCA Inc 9.25%, 11/15/2016 (d) 700,000 743,750 -------------------- Medical - Wholesale Drug Distribution (0.26%) AmerisourceBergen Corp 5.63%, 9/15/2012 1,950,000 1,912,098 Cardinal Health Inc 5.63%, 10/ 2/2009 (d)(e) 3,800,000 3,802,679 -------------------- 5,714,777 -------------------- Medical Instruments (0.10%) Accellent Inc 10.50%, 12/ 1/2013 530,000 551,200 Boston Scientific Corp 6.00%, 6/15/2011 (b) 1,515,000 1,532,206 -------------------- 2,083,406 -------------------- Medical Products (0.07%) Baxter International Inc 5.90%, 9/ 1/2016 1,500,000 1,529,558 -------------------- Metal - Aluminum (0.10%) Alcoa Inc 5.90%, 2/ 1/2027 1,085,000 1,072,424 Metal - Aluminum Alcoa Inc (continued) 5.95%, 2/ 1/2037 1,085,000 1,072,988 -------------------- 2,145,412 -------------------- Metal - Copper (0.05%) Southern Copper Corp 7.50%, 7/27/2035 1,040,000 1,107,141 -------------------- Metal - Diversified (0.28%) Falconbridge Ltd 7.35%, 6/ 5/2012 500,000 541,771 7.25%, 7/15/2012 3,890,000 4,202,970 5.38%, 6/ 1/2015 640,000 625,320 Freeport-McMoRan Copper & Gold Inc 6.88%, 2/ 1/2014 600,000 616,500 -------------------- 5,986,561 -------------------- Metal Processors & Fabrication (0.01%) Trimas Corp 9.88%, 6/15/2012 200,000 200,500 -------------------- Money Center Banks (0.10%) Rabobank Capital Funding Trust 5.25%, 12/29/2049 (d)(e) 2,350,000 2,268,565 -------------------- Mortgage Backed Securities (22.36%) ACT Depositor Corp 5.62%, 9/22/2041 (d)(e) 6,249,167 6,233,232 Adjustable Rate Mortgage Trust 5.89%, 2/25/2035 (e) 992,267 994,996 5.60%, 6/25/2035 (e)(f) 6,002,738 6,012,918 5.08%, 11/25/2035 (e) 1,600,000 1,586,104 5.59%, 8/25/2036 (e)(f) 8,339,521 8,367,514 Banc of America Commercial Mortgage Inc 5.68%, 8/10/2016 (e) 3,750,000 3,780,631 0.06%, 7/10/2043 (d)(e) 160,219,655 1,914,529 4.86%, 7/10/2043 3,000,000 2,875,855 4.97%, 7/10/2043 1,890,000 1,802,557 5.33%, 9/10/2045 4,775,000 4,759,859 5.31%, 10/10/2045 3,920,000 3,901,750 Banc of America Funding Corp 5.38%, 7/20/2036 (f) 8,883,538 8,888,322 5.42%, 7/20/2036 (e) 1,683,613 1,681,826 Bear Stearns Adjustable Rate Mortgage Trust 3.52%, 6/25/2034 (e) 855,000 832,570 5.10%, 8/25/2035 (e) 2,616,622 2,618,222 Bear Stearns Alt-A Trust 5.60%, 7/25/2035 (e) 717,334 717,972 5.48%, 11/25/2036 (f) 1,781,691 1,784,291 Bear Stearns Asset Backed Securities Inc 5.55%, 4/25/2036 (e)(f) 4,873,805 4,874,707 Bear Stearns Commercial Mortgage Securities Inc 5.64%, 6/15/2017 (d)(e) 2,750,000 2,750,386 0.53%, 5/11/2039 (d)(e) 6,785,708 125,525 3.24%, 2/11/2041 1,451,454 1,408,901 Bear Stearns Mortgage Funding Trust 5.65%, 7/25/2036 (e)(f)(i) 10,042,945 10,042,945 Bella Vista Mortgage Trust 5.62%, 1/22/2045 (e) 1,304,440 1,307,008 Mortgage Backed Securities Bella Vista Mortgage Trust (continued) 5.57%, 5/20/2045 (e) 1,677,128 1,681,441 Chase Commercial Mortgage Securities Corp 7.32%, 10/15/2032 4,000,000 4,207,906 Chase Manhattan Bank-First Union National Bank 7.13%, 8/15/2031 50,817 50,874 Citigroup Commercial Mortgage Trust 0.52%, 10/15/2049 71,900,000 2,039,810 Citigroup/Deutsche Bank Commercial Mortgage Trust 0.45%, 10/15/2048 118,700,000 2,890,535 Commercial Mortgage Pass Through Certificates 5.06%, 5/10/2043 (e) 2,000,000 1,936,962 0.05%, 12/10/2046 61,515,000 770,955 5.25%, 12/10/2046 3,500,000 3,471,565 Countrywide Alternative Loan Trust 5.57%, 5/25/2034 (e) 670,584 670,727 5.54%, 5/25/2035 (e) 45,280 45,355 6.19%, 7/20/2035 (e)(i) 1,732,392 1,737,034 5.74%, 12/25/2035 (e) 7,112,080 7,144,403 5.49%, 6/25/2036 (e)(f) 9,400,000 9,407,800 5.60%, 6/25/2036 (e)(f) 8,120,327 8,143,272 Countrywide Asset-Backed Certificates 5.60%, 11/25/2035 (e) 1,954,695 1,956,082 Countrywide Home Loan Mortgage Pass Through Certificates 4.50%, 1/25/2033 24,557 24,364 4.59%, 12/19/2033 (e) 1,000,000 961,474 5.52%, 4/25/2046 (e)(f) 8,044,901 8,033,797 5.62%, 4/25/2046 (e)(f) 13,915,823 13,975,261 Credit Suisse Mortgage Capital Certificates 5.83%, 6/15/2038 (e) 5,000,000 5,131,844 0.59%, 9/15/2039 (d) 78,690,000 2,440,122 0.06%, 12/15/2039 20,225,000 350,536 0.67%, 12/15/2039 94,560,000 3,388,236 CS First Boston Mortgage Securities Corp 5.60%, 11/15/2020 (d)(e) 2,445,369 2,446,474 1.38%, 3/15/2036 (d)(e) 12,148,120 302,814 0.46%, 5/15/2036 (d)(e) 13,174,723 162,696 0.61%, 7/15/2036 (d)(e) 13,175,735 274,281 5.11%, 7/15/2036 2,450,000 2,387,030 0.16%, 11/15/2037 (d)(e) 22,998,267 476,317 7.64%, 9/15/2041 (e) 470,000 497,484 CW Capital Cobalt Ltd 5.17%, 8/15/2048 5,220,000 5,152,432 Deutsche ALT-A Securities Inc Alternate Mortgage Loan Trust 5.50%, 4/25/2036 (e) 8,275,000 8,287,647 First Union National Bank Commercial Mortgage Securities Inc 8.09%, 5/17/2032 700,000 752,741 6.14%, 2/12/2034 150,000 154,656 GE Capital Commercial Mortgage Corp 0.60%, 3/10/2040 (d)(e) 21,310,500 406,521 4.98%, 5/10/2043 (e) 5,780,000 5,581,257 GMAC Commercial Mortgage Securities Inc 0.83%, 3/10/2038 (d)(e) 10,165,584 271,052 Greenpoint Mortgage Funding Trust 5.59%, 6/25/2045 (e) 1,156,863 1,157,105 5.62%, 6/25/2045 (e) 1,042,277 1,045,841 Greenwich Capital Commercial Funding Corp 0.32%, 6/10/2036 (d)(e) 105,335,008 1,154,229 5.91%, 7/10/2038 (e) 3,320,000 3,423,620 Mortgage Backed Securities GS Mortgage Securities Corp 0.65%, 11/10/2039 37,997,918 1,706,920 GSR Mortgage Loan Trust 5.50%, 12/25/2035 (e)(f) 2,078,865 2,079,337 5.58%, 8/25/2046 (e)(f) 5,585,559 5,596,177 Harborview Mortgage Loan Trust 5.56%, 5/19/2047 (e)(f) 11,119,465 11,149,138 HSI Asset Securitization Corp Trust 5.50%, 8/25/2035 (e) 5,025,000 5,026,676 Impac CMB Trust 6.26%, 10/25/2033 (e) 586,481 590,812 6.32%, 10/25/2033 (e) 491,249 491,569 5.70%, 1/25/2035 (e) 986,430 987,206 5.63%, 4/25/2035 (e) 1,049,244 1,050,520 5.75%, 4/25/2035 (e) 761,391 763,688 5.62%, 8/25/2035 (e) 1,186,698 1,187,587 5.83%, 8/25/2035 (e) 3,311,055 3,320,046 Impac Secured Assets CMN Owner Trust 5.59%, 12/25/2031 (e) 3,213,203 3,224,026 Indymac Index Mortgage Loan Trust 5.62%, 4/25/2034 (e) 1,991,781 1,995,504 5.55%, 4/25/2035 (e) 1,198,353 1,202,565 5.65%, 4/25/2035 (e) 875,989 878,906 5.58%, 6/25/2035 (e)(f) 10,258,091 10,279,531 5.62%, 8/25/2035 (e) 1,643,083 1,649,337 5.51%, 1/25/2037 (f)(i) 3,744,000 3,744,000 JP Morgan Chase Commercial Mortgage Securities 0.52%, 10/12/2035 (d)(e) 24,679,649 898,196 5.13%, 9/12/2037 (e) 1,300,000 1,252,980 0.60%, 10/12/2037 (d)(e) 42,597,669 1,774,747 1.12%, 1/12/2039 (d)(e) 10,607,294 350,396 0.20%, 1/15/2042 (d)(e) 25,519,629 455,696 4.78%, 7/15/2042 4,170,000 3,956,629 5.59%, 5/12/2045 (e) 2,765,000 2,769,026 5.44%, 5/15/2045 (e) 4,825,000 4,777,128 5.62%, 5/15/2045 1,350,000 1,335,612 5.30%, 5/15/2047 5,255,000 5,216,619 JP Morgan Mortgage Trust 5.30%, 7/25/2035 (i) 2,890,000 2,859,626 4.95%, 11/25/2035 (e) 6,750,000 6,708,465 5.31%, 4/25/2036 (e) 3,511,090 3,500,534 5.84%, 6/25/2036 (e) 6,914,511 6,901,925 5.99%, 6/25/2036 (e) 1,886,701 1,883,183 5.97%, 8/25/2036 (e) 8,600,000 8,682,841 6.00%, 8/25/2036 (e) 3,821,018 3,807,465 5.58%, 10/25/2036 9,612,000 9,540,396 LB-UBS Commercial Mortgage Trust 4.90%, 6/15/2026 456,516 454,275 6.37%, 12/15/2028 400,000 414,517 5.74%, 6/15/2032 3,606,480 3,637,539 0.61%, 3/15/2034 (d)(e) 3,532,932 42,039 0.26%, 3/15/2036 (d)(e) 7,217,221 203,001 1.15%, 3/15/2036 (d)(e) 6,415,333 191,056 0.69%, 8/15/2036 (d)(e) 10,275,316 213,113 5.90%, 6/15/2038 (e) 2,675,000 2,762,802 5.41%, 9/15/2039 (e) 1,200,000 1,186,869 0.12%, 7/15/2040 (d) 72,985,551 1,566,715 Luminent Mortgage Trust 5.51%, 5/25/2046 (e)(f) 4,144,241 4,138,650 Mortgage Backed Securities Merrill Lynch Mortgage Investors Inc 5.44%, 8/25/2035 (e) 1,186,757 1,187,180 5.67%, 8/25/2036 (e) 499,829 502,136 Merrill Lynch Mortgage Trust 5.78%, 8/12/2016 4,170,000 4,238,561 5.61%, 5/12/2039 4,065,000 4,103,915 5.66%, 5/12/2039 (e) 5,115,000 5,190,209 0.53%, 2/12/2042 (e) 26,558,517 380,533 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.46%, 7/12/2046 (e) 2,570,000 2,544,613 0.05%, 12/12/2049 36,970,000 549,467 5.11%, 12/12/2049 4,085,000 4,026,078 Morgan Stanley Capital I 7.11%, 4/15/2033 100,000 103,311 1.01%, 1/13/2041 (d)(e) 6,692,010 233,285 5.54%, 5/24/2043 (d)(e)(i) 4,600,000 4,595,148 0.04%, 12/15/2043 (d) 43,945,000 594,782 5.70%, 8/25/2046 (e)(f)(i) 5,500,000 5,487,969 Morgan Stanley Dean Witter Capital I 6.54%, 2/15/2031 25,047 25,533 6.20%, 7/15/2033 127,991 128,326 0.72%, 4/15/2034 (d)(e) 2,908,626 46,137 Nationslink Funding Corp 7.23%, 6/20/2031 100,149 101,892 Nomura Asset Acceptance Corp 5.67%, 2/25/2035 (e) 939,286 940,649 Sequoia Mortgage Trust 5.69%, 2/20/2034 (e)(f) 4,806,375 4,808,040 5.55%, 2/20/2035 (e) 1,131,077 1,130,604 Specialty Underwriting & Residential Finance 5.83%, 2/25/2035 (e) 959,423 963,147 5.55%, 12/25/2035 (e) 1,118,089 1,118,422 5.55%, 3/25/2036 (e) 2,644,206 2,647,702 5.43%, 6/25/2036 (e) 894,749 894,852 Structured Adjustable Rate Mortgage Loan Trust 4.68%, 7/25/2034 (e) 2,300,000 2,249,137 6.02%, 8/25/2034 (e) 2,386,625 2,409,909 5.57%, 3/25/2035 (e) 1,241,448 1,242,225 5.25%, 12/25/2035 2,531,998 2,503,000 5.25%, 2/25/2036 (e) 3,439,542 3,410,980 Structured Asset Mortgage Investments Inc 5.62%, 5/25/2045 (e) 1,140,957 1,144,717 5.63%, 9/25/2045 (e) 1,716,878 1,724,158 Structured Asset Securities Corp 5.50%, 6/25/2036 (e) 5,000,000 4,998,282 Thornburg Mortgage Securities Trust 5.58%, 10/25/2035 (e) 3,977,599 3,982,079 5.66%, 6/25/2044 (e) 5,394,979 5,399,757 Wachovia Bank Commercial Mortgage Trust 0.19%, 11/15/2035 (d) 66,914,061 746,962 0.44%, 10/15/2041 (d)(e) 56,770,616 947,235 0.27%, 3/15/2042 (d)(e) 99,192,847 1,141,858 4.94%, 4/15/2042 5,535,000 5,325,087 5.06%, 10/15/2044 3,261,830 3,233,308 5.69%, 3/15/2045 1,569,000 1,573,040 5.80%, 7/15/2045 5,000,000 5,077,272 Washington Mutual Asset Securities Corp 3.83%, 1/25/2035 (d) 2,739,880 2,637,295 Mortgage Backed Securities Washington Mutual Inc 5.64%, 12/25/2027 (e)(f) 7,255,897 7,256,922 3.97%, 3/25/2033 565,337 557,152 3.80%, 6/25/2034 (e) 1,345,000 1,295,812 4.67%, 5/25/2035 (e) 945,000 928,937 6.08%, 9/25/2036 1,846,907 1,845,396 5.79%, 7/25/2044 (e) 1,107,255 1,111,494 5.63%, 1/25/2045 (e) 918,615 920,117 5.69%, 1/25/2045 (e)(f) 1,732,842 1,738,368 5.72%, 1/25/2045 (e) 11,450,000 11,535,432 5.85%, 1/25/2045 (e) 2,467,862 2,475,293 5.55%, 4/25/2045 (e) 707,335 708,990 5.59%, 4/25/2045 (e) 707,335 709,390 5.61%, 7/25/2045 (e) 1,601,874 1,606,538 5.57%, 11/25/2045 (e) 3,628,014 3,635,397 5.70%, 11/25/2045 (e)(f) 11,650,000 11,704,461 5.54%, 8/25/2046 (f) 2,500,000 2,503,502 Wells Fargo Mortgage Backed Securities 4.19%, 3/25/2035 (e) 3,303,183 3,244,372 4.99%, 10/25/2035 (e) 2,029,526 2,005,098 -------------------- 484,134,220 -------------------- Multi-Line Insurance (0.82%) ACE Ltd 6.00%, 4/ 1/2007 1,450,000 1,450,958 AXA SA 6.46%, 12/14/2018 (d) 910,000 888,567 6.38%, 12/14/2045 (d) 910,000 890,225 CNA Financial Corp 6.00%, 8/15/2011 1,875,000 1,897,671 Genworth Financial Inc 6.15%, 11/15/2066 (e) 1,325,000 1,319,659 Hartford Financial Services Group Inc 5.25%, 10/15/2011 1,190,000 1,184,078 5.95%, 10/15/2036 850,000 846,369 ING Groep NV 5.78%, 12/ 8/2035 3,125,000 3,093,181 Metlife Inc 6.40%, 12/15/2036 4,550,000 4,558,595 Metropolitan Life Global Funding I 5.51%, 3/17/2009 (d)(e) 1,625,000 1,626,991 -------------------- 17,756,294 -------------------- Multimedia (1.08%) CanWest MediaWorks Inc 8.00%, 9/15/2012 500,000 518,750 News America Inc 6.63%, 1/ 9/2008 1,875,000 1,891,654 4.75%, 3/15/2010 160,000 156,650 6.20%, 12/15/2034 955,000 926,449 6.40%, 12/15/2035 (b) 1,265,000 1,259,920 Time Warner Entertainment Co LP 8.38%, 3/15/2023 3,150,000 3,700,929 Time Warner Inc 6.15%, 5/ 1/2007 2,320,000 2,322,995 5.61%, 11/13/2009 3,200,000 3,202,915 5.50%, 11/15/2011 1,630,000 1,625,997 6.50%, 11/15/2036 1,230,000 1,224,225 Viacom Inc 5.74%, 6/16/2009 975,000 978,311 Multimedia Viacom Inc (continued) 5.75%, 4/30/2011 1,020,000 1,021,110 Walt Disney Co/The 5.38%, 6/ 1/2007 520,000 520,308 5.45%, 9/10/2009 (e)(f) 3,950,000 3,954,933 -------------------- 23,305,146 -------------------- Music (0.05%) WMG Acquisition Corp 7.38%, 4/15/2014 1,000,000 985,000 -------------------- Mutual Insurance (0.04%) Liberty Mutual Group Inc 7.50%, 8/15/2036 (b)(d) 850,000 924,173 -------------------- Non-Ferrous Metals (0.06%) Codelco Inc 6.15%, 10/24/2036 (d) 1,370,000 1,393,400 -------------------- Non-Hazardous Waste Disposal (0.23%) Allied Waste North America Inc 9.25%, 9/ 1/2012 2,214,000 2,344,072 Casella Waste Systems Inc 9.75%, 2/ 1/2013 375,000 393,750 Oakmont Asset Trust 4.51%, 12/22/2008 (d) 1,600,000 1,559,941 Waste Management Inc 5.00%, 3/15/2014 10,000 9,550 WCA Waste Corp 9.25%, 6/15/2014 575,000 598,000 -------------------- 4,905,313 -------------------- Office Automation & Equipment (0.11%) Xerox Corp 6.40%, 3/15/2016 775,000 784,312 6.75%, 2/ 1/2017 1,500,000 1,537,500 -------------------- 2,321,812 -------------------- Office Furnishings - Original (0.06%) Steelcase Inc 6.50%, 8/15/2011 1,290,000 1,304,027 -------------------- Oil - Field Services (0.54%) BJ Services Co 5.54%, 6/ 1/2008 (e) 3,875,000 3,876,752 Halliburton Co 5.50%, 10/15/2010 1,655,000 1,653,760 Hanover Compressor Co 8.63%, 12/15/2010 1,000,000 1,042,500 Hanover Equipment Trust 8.50%, 9/ 1/2008 (e) 818,000 822,090 8.75%, 9/ 1/2011 1,530,000 1,591,200 Smith International Inc 6.00%, 6/15/2016 1,190,000 1,198,362 Weatherford International Ltd 6.50%, 8/ 1/2036 1,500,000 1,499,984 -------------------- 11,684,648 -------------------- Oil & Gas Drilling (0.16%) Transocean Inc 5.57%, 9/ 5/2008 (e)(f) 3,400,000 3,402,703 -------------------- Oil Company - Exploration & Production (1.75%) Alberta Energy Co Ltd 7.38%, 11/ 1/2031 650,000 724,171 Anadarko Petroleum Corp 5.76%, 9/15/2009 (e) 2,950,000 2,957,416 6.45%, 9/15/2036 2,870,000 2,843,553 Apache Corp 5.63%, 1/15/2017 180,000 180,068 6.00%, 1/15/2037 800,000 796,695 Chesapeake Energy Corp 7.50%, 9/15/2013 2,650,000 2,716,250 7.75%, 1/15/2015 1,000,000 1,025,000 Compton Petroleum Finance Corp 7.63%, 12/ 1/2013 1,150,000 1,098,250 EnCana Corp 6.30%, 11/ 1/2011 175,000 179,821 Energy Partners Ltd 8.75%, 8/ 1/2010 300,000 304,500 Hilcorp Energy I LP/Hilcorp Finance Co 10.50%, 9/ 1/2010 (d) 2,740,000 2,935,225 Houston Exploration Co 7.00%, 6/15/2013 1,000,000 1,007,500 Newfield Exploration Co 7.45%, 10/15/2007 2,850,000 2,874,938 6.63%, 9/ 1/2014 1,860,000 1,827,450 Nexen Inc 5.05%, 11/20/2013 4,860,000 4,661,552 7.88%, 3/15/2032 225,000 266,330 Pemex Project Funding Master Trust 8.00%, 11/15/2011 (b) 1,170,000 1,275,300 7.38%, 12/15/2014 150,000 162,375 PetroHawk Energy Corp 9.13%, 7/15/2013 1,000,000 1,035,000 Pioneer Natural Resources Co 6.88%, 5/ 1/2018 1,735,000 1,688,670 Stone Energy Corp 8.11%, 7/15/2010 (b)(d)(e) 1,000,000 998,750 Swift Energy Co 7.63%, 7/15/2011 (b) 415,000 422,262 9.38%, 5/ 1/2012 (b) 600,000 630,000 Vintage Petroleum Inc 8.25%, 5/ 1/2012 1,470,000 1,534,226 XTO Energy Inc 7.50%, 4/15/2012 190,000 205,647 6.25%, 4/15/2013 235,000 241,469 5.65%, 4/ 1/2016 1,145,000 1,124,872 6.10%, 4/ 1/2036 2,200,000 2,118,695 -------------------- 37,835,985 -------------------- Oil Company - Integrated (0.29%) ConocoPhillips Holding Co 6.95%, 4/15/2029 (b) 100,000 112,487 Husky Energy Inc 6.25%, 6/15/2012 1,125,000 1,154,811 6.15%, 6/15/2019 700,000 704,514 Oil Company - Integrated Occidental Petroleum Corp 4.00%, 11/30/2007 460,000 455,200 Petrobras International Finance Co 9.13%, 2/ 1/2007 325,000 325,000 8.38%, 12/10/2018 600,000 708,600 Petro-Canada 5.95%, 5/15/2035 2,230,000 2,103,505 Petronas Capital Ltd 7.88%, 5/22/2022 (d) 545,000 660,217 -------------------- 6,224,334 -------------------- Oil Field Machinery & Equipment (0.09%) Cameron International Corp 2.65%, 4/15/2007 940,000 934,667 Complete Production Services Inc 8.00%, 12/15/2016 (d) 1,000,000 1,012,500 -------------------- 1,947,167 -------------------- Oil Refining & Marketing (0.61%) Enterprise Products Operating LP 4.00%, 10/15/2007 1,095,000 1,082,572 6.38%, 2/ 1/2013 775,000 795,692 Premcor Refining Group Inc/The 9.25%, 2/ 1/2010 4,010,000 4,208,218 6.75%, 2/ 1/2011 1,675,000 1,730,937 9.50%, 2/ 1/2013 1,900,000 2,044,877 Tesoro Corp 6.25%, 11/ 1/2012 3,415,000 3,427,806 -------------------- 13,290,102 -------------------- Paper & Related Products (0.15%) Abitibi-Consolidated Inc 8.86%, 6/15/2011 500,000 501,250 Bowater Inc 8.36%, 3/15/2010 (b)(e) 1,200,000 1,212,000 Celulosa Arauco y Constitucion SA 5.13%, 7/ 9/2013 205,000 196,192 Georgia-Pacific Corp 7.00%, 1/15/2015 (d) 900,000 895,500 Neenah Paper Inc 7.38%, 11/15/2014 400,000 385,000 -------------------- 3,189,942 -------------------- Pharmacy Services (0.24%) Medco Health Solutions Inc 7.25%, 8/15/2013 3,085,000 3,276,893 Omnicare Inc 6.75%, 12/15/2013 250,000 246,250 6.88%, 12/15/2015 (b) 1,600,000 1,580,000 -------------------- 5,103,143 -------------------- Physician Practice Management (0.07%) US Oncology Inc 9.00%, 8/15/2012 600,000 636,000 10.75%, 8/15/2014 800,000 888,000 -------------------- 1,524,000 -------------------- Pipelines (1.63%) Boardwalk Pipelines LLC 5.50%, 2/ 1/2017 540,000 519,143 Buckeye Partners LP 4.63%, 7/15/2013 1,185,000 1,104,988 Pipelines Buckeye Partners LP (continued) 5.30%, 10/15/2014 150,000 144,304 Consolidated Natural Gas Co 5.00%, 3/ 1/2014 250,000 240,285 El Paso Corp 7.63%, 8/16/2007 1,850,000 1,863,875 6.38%, 2/ 1/2009 1,355,000 1,363,469 Enbridge Energy Partners LP 4.00%, 1/15/2009 388,000 375,637 5.95%, 6/ 1/2033 2,000,000 1,839,628 Energy Transfer Partners LP 6.63%, 10/15/2036 780,000 799,959 Holly Energy Partners LP 6.25%, 3/ 1/2015 1,000,000 942,500 Kinder Morgan Energy Partners LP 6.00%, 2/ 1/2017 2,595,000 2,602,692 6.50%, 2/ 1/2037 2,595,000 2,598,366 Kinder Morgan Finance Co ULC 5.35%, 1/ 5/2011 700,000 685,526 Kinder Morgan Inc 6.50%, 9/ 1/2012 3,442,000 3,482,030 National Fuel Gas Co 5.25%, 3/ 1/2013 350,000 340,097 Northwest Pipeline Corp 6.63%, 12/ 1/2007 895,000 898,356 8.13%, 3/ 1/2010 1,210,000 1,255,375 ONEOK Partners LP 5.90%, 4/ 1/2012 1,950,000 1,972,413 6.65%, 10/ 1/2036 1,780,000 1,832,578 Pacific Energy 6.25%, 9/15/2015 2,600,000 2,601,495 Plains All American Pipeline LP 6.70%, 5/15/2036 1,700,000 1,737,288 Southern Natural Gas Co 6.70%, 10/ 1/2007 675,000 679,181 8.88%, 3/15/2010 1,610,000 1,686,702 TEPPCO Partners LP 7.63%, 2/15/2012 2,875,000 3,072,662 Texas Eastern Transmission LP 5.25%, 7/15/2007 335,000 334,171 Williams Cos Inc 5.94%, 2/16/2007 400,000 400,000 -------------------- 35,372,720 -------------------- Poultry (0.08%) Pilgrim's Pride Corp 9.63%, 9/15/2011 1,000,000 1,045,000 7.63%, 5/ 1/2015 625,000 618,750 -------------------- 1,663,750 -------------------- Printing - Commercial (0.05%) Cadmus Communications Corp 8.38%, 6/15/2014 500,000 505,625 Sheridan Group Inc/The 10.25%, 8/15/2011 650,000 678,438 -------------------- 1,184,063 -------------------- Private Corrections (0.01%) Corrections Corp of America 6.75%, 1/31/2014 300,000 300,750 -------------------- Property & Casualty Insurance (0.18%) Arch Capital Group Ltd 7.35%, 5/ 1/2034 1,525,000 1,659,298 Markel Corp 6.80%, 2/15/2013 1,000,000 1,032,100 7.35%, 8/15/2034 135,000 143,743 St Paul Travelers Cos Inc/The 5.75%, 3/15/2007 1,125,000 1,125,693 -------------------- 3,960,834 -------------------- Publishing - Newspapers (0.02%) Block Communications Inc 8.25%, 12/15/2015 (d) 350,000 353,500 -------------------- Publishing - Periodicals (0.23%) Dex Media East LLC/Dex Media East Finance Co 12.13%, 11/15/2012 4,000,000 4,400,000 Dex Media Inc 0.00%, 11/15/2013 (a)(b) 750,000 680,625 -------------------- 5,080,625 -------------------- Quarrying (0.02%) Compass Minerals International Inc 0.00%, 6/ 1/2013 (a)(e) 450,000 432,563 -------------------- Real Estate Magagement & Services (0.14%) American Real Estate Partners LP 7.13%, 2/15/2013 (d) 125,000 123,750 EOP Operating LP 5.88%, 1/15/2013 1,085,000 1,119,181 4.75%, 3/15/2014 1,855,000 1,829,115 -------------------- 3,072,046 -------------------- Real Estate Operator & Developer (0.03%) Duke Realty LP 5.63%, 8/15/2011 740,000 742,418 -------------------- Recreational Centers (0.05%) AMF Bowling Worldwide Inc 10.00%, 3/ 1/2010 1,000,000 1,042,500 -------------------- Regional Banks (1.39%) Capital One Financial Corp 5.67%, 9/10/2009 (f) 3,500,000 3,516,160 5.70%, 9/15/2011 1,570,000 1,584,865 4.80%, 2/21/2012 935,000 905,375 5.50%, 6/ 1/2015 200,000 198,101 6.15%, 9/ 1/2016 2,680,000 2,747,678 Fifth Third Bancorp 3.38%, 8/15/2008 350,000 339,995 First Union Institutional Capital I 8.04%, 12/ 1/2026 1,000,000 1,041,757 Keycorp 5.42%, 5/26/2009 (e)(f) 3,000,000 2,999,787 PNC Funding Corp 0.00%, 1/31/2012 (a)(f) 4,625,000 4,622,974 5.25%, 11/15/2015 775,000 756,322 Regional Banks SunTrust Preferred Capital I 5.85%, 12/31/2049 1,350,000 1,362,135 Wachovia Corp 5.63%, 12/15/2008 (b) 865,000 869,951 6.38%, 2/ 1/2009 365,000 372,110 Wells Fargo & Co 5.13%, 2/15/2007 610,000 609,943 5.42%, 9/28/2007 (b)(e) 1,160,000 1,160,864 3.12%, 8/15/2008 465,000 449,354 4.00%, 9/10/2012 (e) 2,500,000 2,473,240 Wells Fargo Capital X 5.95%, 12/15/2036 4,060,000 3,990,058 -------------------- 30,000,669 -------------------- Reinsurance (0.42%) Endurance Specialty Holdings Ltd 7.00%, 7/15/2034 2,680,000 2,717,783 PartnerRe Finance II 6.44%, 12/ 1/2066 (e) 1,320,000 1,313,783 Platinum Underwriters Finance Inc 7.50%, 6/ 1/2017 2,200,000 2,300,965 Transatlantic Holdings Inc 5.75%, 12/14/2015 2,695,000 2,663,538 -------------------- 8,996,069 -------------------- REITS - Apartments (0.10%) AvalonBay Communities Inc 5.50%, 1/15/2012 1,785,000 1,785,885 United Dominion Realty Trust Inc 6.50%, 6/15/2009 395,000 404,679 -------------------- 2,190,564 -------------------- REITS - Diversified (0.47%) iStar Financial Inc 6.61%, 3/12/2007 (e) 2,050,000 2,052,345 5.70%, 9/15/2009 (d)(e) 2,425,000 2,427,001 5.65%, 9/15/2011 2,000,000 1,991,968 5.15%, 3/ 1/2012 1,230,000 1,190,219 5.95%, 10/15/2013 (d) 2,460,000 2,456,406 -------------------- 10,117,939 -------------------- REITS - Healthcare (0.33%) Health Care Property Investors Inc 5.81%, 9/15/2008 (e)(f) 2,000,000 1,998,428 5.65%, 12/15/2013 2,700,000 2,646,815 6.00%, 1/30/2017 1,750,000 1,730,545 National Health Investors Inc 7.30%, 7/16/2007 250,000 249,645 Nationwide Health Properties Inc 6.50%, 7/15/2011 585,000 595,906 -------------------- 7,221,339 -------------------- REITS - Hotels (0.11%) Hospitality Properties Trust 5.13%, 2/15/2015 825,000 778,897 6.30%, 6/15/2016 1,600,000 1,625,151 -------------------- 2,404,048 -------------------- REITS - Mortgage (0.01%) Thornburg Mortgage Inc 8.00%, 5/15/2013 325,000 323,375 -------------------- REITS - Office Property (0.27%) Brandywine Operating Partnership LP/PA 5.63%, 12/15/2010 2,100,000 2,103,801 Crescent Real Estate Equities LP 7.50%, 9/15/2007 1,000,000 1,005,000 HRPT Properties Trust 5.96%, 3/16/2011 (e) 2,820,000 2,821,368 -------------------- 5,930,169 -------------------- REITS - Regional Malls (0.36%) Simon Property Group LP 6.38%, 11/15/2007 3,750,000 3,773,839 4.60%, 6/15/2010 (b) 375,000 365,527 5.60%, 9/ 1/2011 (b) 2,075,000 2,085,684 5.75%, 5/ 1/2012 1,500,000 1,515,702 -------------------- 7,740,752 -------------------- REITS - Shopping Centers (0.15%) Developers Diversified Realty Corp 5.38%, 10/15/2012 2,340,000 2,305,415 Federal Realty Investment Trust 6.20%, 1/15/2017 930,000 951,545 -------------------- 3,256,960 -------------------- REITS - Warehouse & Industrial (0.22%) Prologis 5.62%, 8/24/2009 (e) 4,800,000 4,808,237 -------------------- Rental - Auto & Equipment (0.35%) Avis Budget Car Rental LLC/Avis Budget Finance Inc 7.63%, 5/15/2014 (b)(d) 800,000 794,000 7.87%, 5/15/2014 (d) 400,000 397,000 Erac USA Finance Co 5.61%, 4/30/2009 (d)(f) 3,200,000 3,206,714 5.62%, 8/28/2009 (d)(e) 1,900,000 1,903,640 United Rentals North America Inc 6.50%, 2/15/2012 600,000 591,000 7.00%, 2/15/2014 750,000 736,875 -------------------- 7,629,229 -------------------- Retail - Automobile (0.15%) Asbury Automotive Group Inc 9.00%, 6/15/2012 750,000 784,687 Group 1 Automotive Inc 8.25%, 8/15/2013 500,000 515,000 United Auto Group Inc 9.63%, 3/15/2012 750,000 787,500 7.75%, 12/15/2016 (d) 1,150,000 1,155,750 -------------------- 3,242,937 -------------------- Retail - Building Products (0.29%) Home Depot Inc 5.49%, 12/16/2009 (f) 2,100,000 2,102,386 5.25%, 12/16/2013 2,525,000 2,498,025 5.88%, 12/16/2036 1,680,000 1,637,209 -------------------- 6,237,620 -------------------- Retail - Discount (0.02%) Target Corp 5.38%, 6/15/2009 80,000 80,213 5.88%, 3/ 1/2012 280,000 286,193 -------------------- 366,406 -------------------- Retail - Drug Store (0.07%) Rite Aid Corp 8.13%, 5/ 1/2010 1,450,000 1,482,625 -------------------- Retail - Propane Distribution (0.09%) Amerigas Partners LP 7.25%, 5/20/2015 550,000 544,500 Inergy LP/Inergy Finance Corp 6.88%, 12/15/2014 (b) 500,000 483,750 8.25%, 3/ 1/2016 500,000 516,250 Suburban Propane Partners LP/Suburban Energy Finance Corp 6.88%, 12/15/2013 (b) 400,000 389,000 -------------------- 1,933,500 -------------------- Retail - Regional Department Store (0.12%) JC Penney Corp Inc 6.50%, 12/15/2007 700,000 704,227 8.13%, 4/ 1/2027 1,918,000 1,968,133 -------------------- 2,672,360 -------------------- Retail - Restaurants (0.01%) Landry's Restaurants Inc 7.50%, 12/15/2014 225,000 221,625 -------------------- Rubber - Tires (0.06%) Goodyear Tire & Rubber Co/The 9.14%, 12/ 1/2009 (d) 525,000 528,938 8.63%, 12/ 1/2011 (d) 750,000 789,375 -------------------- 1,318,313 -------------------- Satellite Telecommunications (0.20%) Intelsat Corp 6.38%, 1/15/2008 3,750,000 3,745,312 Intelsat Subsidiary Holding Co Ltd 8.25%, 1/15/2013 (e) 600,000 621,000 -------------------- 4,366,312 -------------------- Savings & Loans - Thrifts (0.17%) Washington Mutual Inc 5.66%, 1/15/2010 (e) 3,750,000 3,766,627 -------------------- Schools (0.05%) Knowledge Learning Corp Inc 7.75%, 2/ 1/2015 (d) 1,155,000 1,123,237 -------------------- Sovereign (0.38%) Chile Government International Bond 5.76%, 1/28/2008 (e) 1,000,000 1,002,500 Colombia Government International Bond 8.25%, 12/22/2014 750,000 845,625 Mexico Government International Bond 6.06%, 1/13/2009 (e) 1,135,000 1,145,782 8.38%, 1/14/2011 1,750,000 1,922,375 South Africa Government International Bond 6.50%, 6/ 2/2014 765,000 799,425 United Mexican States 6.75%, 9/27/2034 2,318,000 2,457,080 -------------------- 8,172,787 -------------------- Special Purpose Banks (0.04%) Korea Development Bank 4.25%, 11/13/2007 25,000 24,748 Special Purpose Banks Korea Development Bank (continued) 5.76%, 10/20/2009 (e) 760,000 764,948 -------------------- 789,696 -------------------- Special Purpose Entity (1.30%) AGFC Capital Trust I 6.00%, 1/15/2067 (d)(e) 835,000 830,401 BAE Systems Holdings Inc 6.40%, 12/15/2011 (d) 3,090,000 3,200,304 5.20%, 8/15/2015 (b)(d) 3,000,000 2,905,635 Capital One Capital IV 6.75%, 2/17/2037 (c) 1,430,000 1,439,152 Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp 0.00%, 10/ 1/2014 (a)(e) 1,000,000 870,000 Hexion US Finance Corp/Hexion Nova Scotia Finance ULC 9.75%, 11/15/2014 (d) 250,000 261,250 Idearc Inc 8.00%, 11/15/2016 (d) 1,550,000 1,575,188 John Hancock Global Funding II 5.53%, 4/ 3/2009 (d)(e) 2,550,000 2,556,650 JPMorgan Chase Capital XXII 6.45%, 2/ 2/2037 (c) 750,000 757,474 MBIA Global Funding LLC 5.32%, 2/20/2007 (d)(e) 3,000,000 3,000,021 Regency Energy Partners 8.38%, 12/15/2013 (d) 2,300,000 2,305,750 SMFG Preferred Capital USD 1 Ltd 6.08%, 12/29/2049 (d) 2,740,000 2,695,393 Swiss Re Capital I LP 6.85%, 5/29/2049 (b)(d)(e) 1,700,000 1,779,619 Tyco International Group S.A. Participation Certification Trust 4.44%, 6/15/2007 (d) 2,500,000 2,489,937 Universal City Development Partners 11.75%, 4/ 1/2010 (b) 500,000 533,125 USB Realty Corp 6.09%, 1/15/2012 (b)(d) 985,000 988,173 -------------------- 28,188,072 -------------------- Specified Purpose Acquisition (0.02%) Basell AF SCA 8.38%, 8/15/2015 (b)(d) 354,000 365,505 -------------------- Steel - Producers (0.01%) Ispat Inland ULC 9.75%, 4/ 1/2014 100,000 111,547 -------------------- Telecommunication Services (0.39%) Mastec Inc 7.75%, 2/ 1/2008 2,275,000 2,277,844 7.63%, 2/ 1/2017 (d) 900,000 904,500 TELUS Corp 7.50%, 6/ 1/2007 1,860,000 1,870,152 Verizon Global Funding Corp 7.75%, 12/ 1/2030 2,000,000 2,326,170 West Corp 9.50%, 10/15/2014 (d) 1,050,000 1,063,125 -------------------- 8,441,791 -------------------- Telephone - Integrated (1.12%) AT&T Corp 7.30%, 11/15/2011 (e) 1,850,000 1,999,469 British Telecommunications PLC 8.63%, 12/15/2010 1,020,000 1,136,236 Deutsche Telekom International Finance BV 5.55%, 3/23/2009 (e) 3,175,000 3,180,302 France Telecom SA 7.75%, 3/ 1/2011 (e) 3,390,000 3,679,092 KT Corp 4.88%, 7/15/2015 (d) 700,000 664,211 Mountain States Telephone & Telegraph Co 6.00%, 8/ 1/2007 350,000 348,250 Sprint Nextel Corp 6.00%, 12/ 1/2016 3,690,000 3,587,374 Telecom Italia Capital SA 5.85%, 2/ 1/2011 (e) 845,000 842,904 5.97%, 7/18/2011 (e) 2,175,000 2,177,247 Telefonica Emisiones SAU 5.66%, 6/19/2009 (e) 2,200,000 2,203,078 5.98%, 6/20/2011 1,415,000 1,437,472 7.05%, 6/20/2036 800,000 860,615 Telefonica Europe BV 7.75%, 9/15/2010 760,000 814,788 Telefonos de Mexico SA de CV 4.50%, 11/19/2008 765,000 750,437 Verizon Communications Inc 5.35%, 2/15/2011 (b) 600,000 598,744 -------------------- 24,280,219 -------------------- Television (0.05%) Allbritton Communications Co 7.75%, 12/15/2012 750,000 763,125 British Sky Broadcasting Group PLC 6.88%, 2/23/2009 380,000 389,770 -------------------- 1,152,895 -------------------- Textile - Home Furnishings (0.02%) Mohawk Industries Inc 6.50%, 4/15/2007 455,000 455,722 -------------------- Theaters (0.06%) AMC Entertainment Inc 9.62%, 8/15/2010 (e) 811,000 837,357 8.63%, 8/15/2012 500,000 525,625 -------------------- 1,362,982 -------------------- Tobacco (0.11%) Reynolds American Inc 7.25%, 6/ 1/2013 2,275,000 2,368,339 -------------------- Tools - Hand Held (0.19%) Snap-On Inc 5.49%, 1/12/2010 (f) 3,200,000 3,199,568 5.25%, 1/15/2017 1,000,000 987,910 -------------------- 4,187,478 -------------------- Transport - Rail (0.18%) Burlington Northern Santa Fe Corp 6.20%, 8/15/2036 2,250,000 2,265,181 CSX Corp 4.88%, 11/ 1/2009 1,425,000 1,405,014 Transport - Rail Union Pacific Corp 4.70%, 1/ 2/2024 184,324 174,219 6.63%, 2/ 1/2029 45,000 48,067 -------------------- 3,892,481 -------------------- Transport - Services (0.01%) FedEx Corp 3.50%, 4/ 1/2009 260,000 249,721 -------------------- Travel Services (0.02%) Travelport Ltd 9.99%, 9/ 1/2014 (d) 450,000 459,562 -------------------- Venture Capital (0.03%) Arch Western Finance LLC 6.75%, 7/ 1/2013 750,000 740,625 -------------------- Vitamins & Nutrition Products (0.02%) NBTY Inc 7.13%, 10/ 1/2015 350,000 349,125 -------------------- Wire & Cable Products (0.02%) Superior Essex Communications LLC/Essex Group Inc 9.00%, 4/15/2012 450,000 460,125 -------------------- TOTAL BONDS $ 1,849,677,540 -------------------- CONVERTIBLE BONDS (0.10%) Retail - Auto Parts (0.10%) PEP Boys-Manny Moe & Jack 4.25%, 6/ 1/2007 2,100,000 2,084,250 -------------------- TOTAL CONVERTIBLE BONDS $ 2,084,250 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (51.16%) Federal Home Loan Mortgage Corporation (FHLMC) (15.35%) 4.50%, 2/ 1/2022 (j) 4,110,000 3,941,745 5.00%, 2/ 1/2022 (j) 8,790,000 8,592,225 5.50%, 2/ 1/2022 (j) 3,030,000 3,016,744 5.00%, 2/ 1/2037 (j) 42,425,000 40,741,237 5.50%, 2/ 1/2037 (j) 134,040,000 131,903,671 6.00%, 2/ 1/2037 (j) 49,975,000 50,162,406 6.50%, 2/ 1/2037 (j) 15,605,000 15,863,450 5.50%, 4/ 1/2009 28,255 28,410 5.50%, 8/ 1/2009 84,293 84,756 4.50%, 12/ 1/2009 790,051 775,260 4.50%, 4/ 1/2011 2,988,654 2,914,782 7.00%, 8/ 1/2016 16,682 17,109 6.50%, 6/ 1/2017 683,411 698,560 6.00%, 7/ 1/2017 263,283 266,574 5.50%, 3/ 1/2018 518,950 517,220 5.50%, 4/ 1/2018 4,316,014 4,302,938 5.00%, 5/ 1/2018 3,956,307 3,877,063 5.00%, 10/ 1/2018 2,347,154 2,300,141 5.50%, 12/ 1/2018 10,287 10,294 5.00%, 1/ 1/2019 3,819,694 3,742,400 6.00%, 3/ 1/2022 644,517 651,529 6.00%, 7/ 1/2023 2,055,603 2,076,346 5.50%, 6/ 1/2024 3,294,295 3,264,579 5.00%, 2/ 1/2026 12,499,603 12,114,026 6.00%, 6/ 1/2028 41,560 41,941 6.00%, 1/ 1/2029 15,388 15,529 Federal Home Loan Mortgage Corporation (FHLMC) 6.50%, 3/ 1/2029 80,378 82,424 6.50%, 5/ 1/2029 103,602 106,183 7.00%, 12/ 1/2029 56,082 57,902 7.00%, 6/ 1/2030 34,891 36,028 7.50%, 9/ 1/2030 27,576 28,715 8.00%, 9/ 1/2030 131,008 137,631 8.00%, 11/ 1/2030 1,069 1,123 7.00%, 12/ 1/2030 53,796 55,549 7.50%, 12/ 1/2030 3,359 3,498 7.50%, 1/ 1/2031 69,984 72,874 6.00%, 3/ 1/2031 105,309 106,124 7.50%, 3/ 1/2031 23,667 24,645 6.00%, 4/ 1/2031 22,280 22,452 6.50%, 4/ 1/2031 58,203 59,559 6.50%, 6/ 1/2031 4,074 4,169 7.00%, 6/ 1/2031 1,845 1,903 6.50%, 9/ 1/2031 63,228 64,701 7.00%, 9/ 1/2031 14,989 15,477 6.00%, 12/ 1/2031 604,455 609,128 6.00%, 2/ 1/2032 12,904 13,004 6.50%, 2/ 1/2032 84,769 86,715 7.50%, 2/ 1/2032 34,996 36,419 7.00%, 4/ 1/2032 177,421 183,204 6.50%, 5/ 1/2032 133,599 136,630 6.00%, 12/ 1/2032 574,842 578,976 6.00%, 2/ 1/2033 528,964 532,341 5.50%, 4/ 1/2033 1,047,737 1,033,749 5.50%, 5/ 1/2033 1,163,818 1,148,280 5.50%, 10/ 1/2033 1,081,240 1,066,804 5.50%, 12/ 1/2033 4,428,419 4,369,297 6.00%, 12/ 1/2033 1,039,327 1,045,963 5.50%, 9/ 1/2034 3,459,623 3,411,501 6.50%, 10/ 1/2035 550,125 559,384 6.00%, 8/ 1/2036 2,057,131 2,065,293 6.50%, 11/ 1/2036 5,000,521 5,083,823 5.07%, 7/ 1/2034 (e) 385,756 378,593 5.59%, 6/ 1/2035 (e) 5,235,388 5,302,971 4.69%, 8/ 1/2035 (e) 1,899,885 1,860,141 5.02%, 9/ 1/2035 5,252,829 5,237,801 5.24%, 11/ 1/2035 987,878 981,833 5.57%, 2/ 1/2037 (i) 4,000,000 3,970,118 -------------------- 332,493,860 -------------------- Federal National Mortgage Association (FNMA) (13.76%) 5.00%, 2/ 1/2022 (j) 22,760,000 22,262,125 5.50%, 2/ 1/2022 (j) 12,880,000 12,823,650 5.00%, 2/ 1/2037 (j) 75,130,000 72,077,844 5.50%, 2/ 1/2037 (j) 39,025,000 38,378,668 6.00%, 2/ 1/2037 (j) 52,995,000 53,177,197 5.00%, 3/ 1/2037 (j) 20,000,000 19,187,500 6.00%, 5/ 1/2009 88,163 88,169 6.00%, 7/ 1/2009 231,551 231,657 5.00%, 3/ 1/2010 606,277 604,025 6.50%, 4/ 1/2010 21,275 21,478 6.50%, 1/ 1/2011 37,266 37,430 6.50%, 2/ 1/2011 133,582 135,281 6.50%, 3/ 1/2011 175,933 178,000 6.50%, 7/ 1/2016 16,486 16,868 6.50%, 2/ 1/2017 91,063 93,176 Federal National Mortgage Association (FNMA) 6.50%, 3/ 1/2017 35,181 35,976 6.50%, 4/ 1/2017 24,400 24,951 6.50%, 8/ 1/2017 674,363 689,593 5.00%, 9/ 1/2017 1,097,378 1,076,015 5.50%, 9/ 1/2017 207,645 207,197 5.50%, 10/ 1/2017 462,004 461,008 5.00%, 3/ 1/2018 1,606,563 1,574,907 6.00%, 10/ 1/2021 11,495,766 11,625,021 6.50%, 5/ 1/2022 51,223 52,492 5.50%, 2/ 1/2023 811,226 803,911 6.00%, 2/ 1/2023 249,269 251,911 5.50%, 6/ 1/2023 3,218,257 3,189,235 5.50%, 7/ 1/2023 49,746 49,297 7.00%, 8/ 1/2029 12,673 13,074 7.00%, 9/ 1/2031 31,844 32,788 6.50%, 12/ 1/2031 39,916 40,845 6.50%, 2/ 1/2032 106,714 109,149 7.00%, 2/ 1/2032 83,768 86,168 7.00%, 3/ 1/2032 233,184 240,100 6.50%, 4/ 1/2032 32,024 32,749 6.00%, 5/ 1/2032 87,212 87,815 6.50%, 6/ 1/2032 17,699 18,100 6.50%, 8/ 1/2032 160,637 164,276 7.50%, 8/ 1/2032 115,489 119,927 4.62%, 12/ 1/2032 (e) 1,916,446 1,921,992 5.50%, 7/ 1/2033 1,725,418 1,701,405 5.50%, 9/ 1/2033 2,416,787 2,383,152 4.23%, 6/ 1/2034 (e) 1,011,640 997,101 4.36%, 7/ 1/2034 (e) 603,167 595,203 4.31%, 12/ 1/2034 (e) 1,646,972 1,624,073 4.60%, 3/ 1/2035 (e) 1,735,449 1,715,432 5.09%, 8/ 1/2035 2,105,667 2,098,220 5.72%, 2/ 1/2036 (e) 1,207,697 1,208,931 6.85%, 3/ 1/2036 (e)(f) 11,078,060 11,303,691 5.00%, 4/ 1/2036 2,983,964 2,864,902 6.00%, 5/ 1/2036 1,418,708 1,423,920 5.79%, 6/ 1/2036 (e)(i) 598,382 600,103 6.00%, 7/ 1/2036 3,293,736 3,305,835 6.50%, 8/ 1/2036 4,956,267 5,038,836 6.50%, 10/ 1/2036 8,964,589 9,113,935 6.50%, 11/ 1/2036 9,612,876 9,773,022 -------------------- 297,969,326 -------------------- Government National Mortgage Association (GNMA) (2.59%) 5.50%, 2/ 1/2037 (j) 20,425,000 20,214,377 7.00%, 4/15/2031 1,931 1,996 7.00%, 6/15/2031 82,981 85,840 7.00%, 7/15/2031 14,499 14,988 6.00%, 8/15/2031 130,027 131,496 6.00%, 1/15/2032 32,604 32,967 6.00%, 2/15/2032 488,940 494,387 7.00%, 6/15/2032 447,618 462,673 6.50%, 10/15/2032 158,272 162,462 6.50%, 12/15/2032 1,293,093 1,327,326 6.00%, 2/15/2033 205,838 208,048 5.00%, 11/ 1/2033 16,479,970 15,931,309 6.00%, 12/15/2033 312,380 315,734 5.00%, 6/15/2034 386,260 373,263 6.50%, 3/20/2028 55,801 57,211 Government National Mortgage Association (GNMA) 6.00%, 7/20/2028 286,457 289,200 6.00%, 11/20/2028 270,164 272,751 6.00%, 1/20/2029 287,049 289,776 6.50%, 5/20/2029 43,337 44,420 6.00%, 7/20/2029 71,877 72,560 7.50%, 10/20/2030 2,761 2,870 8.00%, 1/20/2031 27,204 28,704 6.50%, 2/20/2032 25,324 25,931 6.00%, 11/20/2033 3,553,092 3,582,358 5.50%, 5/20/2035 1,026,061 1,014,091 6.00%, 12/20/2036 10,454,750 10,529,115 -------------------- 55,965,853 -------------------- U.S. Treasury (18.46%) 4.25%, 11/30/2007 (b) 50,000,000 49,662,100 4.50%, 2/15/2009 (b) 15,000,000 14,876,370 3.63%, 7/15/2009 (b) 32,250,000 31,316,524 4.88%, 8/15/2009 (b) 59,650,200 59,636,242 3.50%, 2/15/2010 (b) 22,500,000 21,653,617 5.00%, 2/15/2011 (b) 27,250,000 27,453,312 4.88%, 2/15/2012 (b) 17,550,000 17,614,444 4.38%, 8/15/2012 (b) 19,750,000 19,358,081 3.88%, 2/15/2013 (b) 8,400,000 7,994,440 4.25%, 8/15/2013 (b) 11,100,000 10,755,722 4.00%, 2/15/2014 (b) 6,300,000 5,991,155 4.75%, 5/15/2014 (b) 15,000,000 14,932,035 4.25%, 11/15/2014 (b) 18,675,000 17,988,544 7.50%, 11/15/2016 (b) 17,510,000 21,076,297 8.13%, 8/15/2019 (b) 9,350,000 12,095,104 6.25%, 8/15/2023 (b) 15,000,000 17,044,920 6.00%, 2/15/2026 (b) 13,400,000 14,990,205 6.75%, 8/15/2026 (b) 3,000,000 3,639,609 6.13%, 8/15/2029 25,000 28,793 6.25%, 5/15/2030 (b) 27,055,000 31,745,228 -------------------- 399,852,742 -------------------- U.S. Treasury Inflation-Indexed Obligations (1.00%) 3.88%, 1/15/2009 (b) 1,842,990 1,892,952 4.25%, 1/15/2010 (b) 2,515,086 2,646,834 3.50%, 1/15/2011 (b) 6,743,894 7,023,394 2.00%, 1/15/2014 (b) 10,332,677 10,056,195 -------------------- 21,619,375 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 1,107,901,156 -------------------- SHORT TERM INVESTMENTS (3.22%) Certificate of Deposit (0.23%) Washington Mutual Bank 5.44%, 2/28/2007 (f) 5,000,000 5,000,420 -------------------- Commercial Paper (2.99%) Burlington Northern Santa Fe 5.33%, 2/ 1/2007 (f) 600,000 600,000 Investment in Joint Trading Account; General Electric Capital 5.26%, 2/ 1/2007 64,184,483 64,184,483 -------------------- 64,784,483 -------------------- TOTAL SHORT TERM INVESTMENTS $ 69,784,903 -------------------- MONEY MARKET FUNDS (3.73%) Money Center Banks (3.73%) BNY Institutional Cash Reserve Fund (f) 80,742,000 80,742,000 -------------------- TOTAL MONEY MARKET FUNDS $ 80,742,000 -------------------- Total Investments $ 3,110,190,547 Liabilities in Excess of Other Assets, Net - (43.62)% (944,553,399) -------------------- TOTAL NET ASSETS - 100.00% $ 2,165,637,148 ==================== -------------------- ====================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security purchased on a when-issued basis. (d) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $173,838,923 or 8.03% of net assets. (e) Variable Rate (f) Security was purchased with the cash proceeds from securities loans. (g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $2,590,450 or 0.12% of net assets. (h) Security or a portion of the security was pledged to cover margin requirements for swap agreements. At the end of the period, the value of these securities totaled $1,647,980 or 0.05% of net assets. (i) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $33,036,943 or 1.53% of net assets. (j) Security was purchased in a "to-be-announced" ("TBA") transaction. See Notes to Financial Statements. Unrealized Appreciation (Depreciation) Unrealized Appreciation 9,945,163 Unrealized Depreciation (22,105,135) -------------------- Net Unrealized Appreciation (Depreciation) (12,159,972) Cost for federal income tax purposes 3,122,350,519
SCHEDULE OF CREDIT DEFAULT SWAP AGREEMENTS Unrealized Notional Appreciation/ Description Amount (Depreciation) ------------------------------------------------------------------- ------------------------------------ Sell protection for CDX NA HY 7 Index and receive quarterly 3.25% from Deutsche Bank. Expires December 2011 (i) $ 15,000,000 $ (513,558) Sell protection for CDX NA HY 7 Index and receive quarterly 3.25% from Lehman Brothers. Expires December 2011 (i) 30,000,000 (1,027,100) Sell protection for CDX NA HY 7 Index and receive quarterly 3.25% from Lehman Brothers. Expires September 2011 (i) 20,000,000 (684,938)
SCHEDULE OF TOTAL RETURN SWAP AGREEMENTS Unrealized Notional Appreciation/ Description Amount (Depreciation) --------------------------------------------------------------------- ---------- ------------------------------------- Receive a monthly return equal to a 4.50% 15 year Fannie Mae Obligation and pay monthly a floating rate based on 1-month LIBOR less 40 basis points with UBS AG. Expires March 2007. $ 40,434,716 $ (387,594) Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on 1-month LIBOR less 10 basis points with Wachovia Bank. Expires April 2007. 20,000,000 (154,836) Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on 1-month LIBOR less 5 basis points with Wachovia Bank. Expires May 2007. 55,000,000 (428,166)
SCHEDULE OF INTEREST RATE SWAPTION AGREEMENTS Pay/Receive Floating Floating Description Counterparty Rate Index Rate Call - OTC 3-Year Deutsche Bank 3-month LIBOR Receive Interest Rate Swap Call - OTC 3-Year Merrill Lynch 3-month LIBOR Receive Interest Rate Swap
Exercise Notional Description Rate Expiration Date Amount Premium Value Call - OTC 3-Year 4.97% September-07 Interest Rate Swap 59,900,000.00 142,263.00 120,312.00 Call - OTC 3-Year 4.90% September-07 Interest Rate Swap 59,900,000.00 139,268.00 98,336.00
SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) -------------------------------------------------------------------------------- Buy: U.S. 10 Year Note; March 2007 251 $27,327,625 $26,794,250 $(533,375) Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------------------------------------------------------------- Sell: Call Option; U.S. 10 Year Note; Strike Price 110; February 2007 761 $33,773 $11,890 $21,883 Put Option; U.S. 10 Year Note; Strike Price 106; February 2007 380 40,613 53,438 (12,825) Portfolio Summary (unaudited) ---------------------------------------------------------- Sector Percent ---------------------------------------------------------- Mortgage Securities 55.09% Financial 22.80% Government 21.19% Asset Backed Securities 17.71% Communications 5.33% Energy 5.17% Consumer, Non-cyclical 4.63% Utilities 3.43% Industrial 2.92% Consumer, Cyclical 2.85% Basic Materials 1.66% Technology 0.82% Diversified 0.02% Liabilities in Excess of Other Assets, Net (-43.62%) ------------- TOTAL NET ASSETS 100.00% ============= Other Assets Summary (unaudited) ---------------------------------------------- Asset Type Percent ---------------------------------------------- Credit Default Swaps 0.10% Futures 1.24% Interest Rate Swaptions 0.01% Total Return Swaps 0.04%
Schedule of Investments January 31, 2007 (unaudited) California Insured Intermediate Municipal Fund Principal Amount Value ----------------------- -------- ------------------- TAX-EXEMPT BONDS (97.59%) California (96.55%) Abag Finance Authority for Nonprofit Corps 6.25%, 8/15/2030 1,000,000 $ 1,033,920 Alameda Public Financing Authority 5.00%, 9/ 2/2008 1,000,000 1,011,810 Anaheim Public Financing Authority/CA AMBAC 5.25%, 8/ 1/2013 2,000,000 2,148,260 Anaheim Public Financing Authority/CA FSA 5.25%, 10/ 1/2014 2,000,000 2,151,980 5.00%, 10/ 1/2015 2,000,000 2,113,900 Baldwin Park Public Financing Authority/CA 4.63%, 8/ 1/2016 1,130,000 1,149,391 California Educational Facilities Authority MBIA 5.10%, 3/ 1/2014 1,000,000 1,028,190 California Health Facilities Financing Authority/CA AMBAC 5.88%, 7/ 1/2009 125,000 126,034 California Housing Finance Agency AMBAC 5.00%, 8/ 1/2008 1,000,000 1,014,830 5.10%, 2/ 1/2009 1,000,000 1,020,880 California Infrastructure & Economic Development Bank FGIC 5.00%, 8/15/2018 1,155,000 1,239,038 California State Department of Water Resources FGIC 5.25%, 12/ 1/2014 3,000,000 3,248,280 California State Department of Water Resources MBIA 5.25%, 5/ 1/2015 1,675,000 1,797,710 California State Department of Water Resources XLCA 5.38%, 5/ 1/2017 3,000,000 3,263,850 California State Public Works Board AMBAC 5.25%, 6/ 1/2012 2,000,000 2,147,700 5.25%, 12/ 1/2014 2,750,000 2,945,002 5.25%, 3/ 1/2016 1,000,000 1,065,370 California State Public Works Board MBIA 5.00%, 12/ 1/2018 3,000,000 3,200,100 California Statewide Communities Development Authority 5.00%, 5/15/2020 1,000,000 1,052,290 California Statewide Communities Development Authority FSA 5.25%, 10/ 1/2015 1,845,000 1,990,109 Chino Valley Unified School District Certificates of Participation FSA 5.25%, 9/ 1/2013 1,240,000 1,324,357 Chula Vista Public Financing Authority/CA FSA 4.50%, 9/ 2/2013 145,000 151,205 City of Hawthorne CA 4.60%, 9/ 1/2021 (a) 1,000,000 977,310 City of Oceanside CA AMBAC 5.25%, 4/ 1/2016 1,575,000 1,691,172 City of Riverside CA MBIA 5.50%, 9/ 1/2013 1,100,000 1,180,817 City of Sacramento CA 5.00%, 9/ 2/2020 1,040,000 1,055,787 County of Alameda CA MBIA 5.38%, 6/ 1/2009 595,000 605,204 County of Riverside CA FGIC 5.00%, 11/ 1/2018 1,015,000 1,085,543 California County of Riverside CA FGIC (continued) 5.00%, 11/ 1/2019 1,105,000 1,178,438 County of San Diego CA 5.00%, 9/ 1/2016 1,000,000 1,049,420 5.00%, 9/ 1/2020 1,000,000 1,041,700 County of San Diego CA AMBAC 5.00%, 2/ 1/2011 1,840,000 1,926,094 Emeryville Public Financing Authority/CA MBIA 5.25%, 9/ 1/2015 1,265,000 1,368,237 5.25%, 9/ 1/2017 1,400,000 1,506,918 Golden State Tobacco Securitization Corp/CA AMBAC 5.00%, 6/ 1/2013 2,000,000 2,135,020 Golden West Schools Financing Authority MBIA 5.65%, 2/ 1/2012 685,000 746,054 Gonzales Redevelopment Agency/CA 4.63%, 8/ 1/2011 1,000,000 1,005,150 Independent Cities Lease Finance Authority 4.75%, 5/15/2019 1,415,000 1,443,144 Inglewood Unified School District FSA 5.25%, 10/ 1/2017 1,615,000 1,746,946 Kings Canyon Joint Unified School District FGIC 5.38%, 8/ 1/2015 1,195,000 1,284,840 Loma Linda CA 5.00%, 12/ 1/2017 2,000,000 2,084,260 Long Beach Bond Finance Authority AMBAC 5.25%, 11/ 1/2013 1,080,000 1,163,149 Long Beach Community College District/CA FGIC 5.00%, 5/ 1/2019 1,435,000 1,536,670 Los Angeles Department of Water & Power FSA 5.00%, 7/ 1/2017 2,000,000 2,156,500 Los Angeles Department of Water & Power MBIA 5.00%, 7/ 1/2017 1,300,000 1,384,617 Los Angeles Municipal Improvement Corp MBIA 5.50%, 6/ 1/2017 1,045,000 1,127,147 Los Angeles State Building Authority/CA MBIA 5.63%, 5/ 1/2011 1,500,000 1,578,990 Monterey Peninsula Community College District FGIC 5.00%, 8/ 1/2020 3,000,000 3,209,910 M-S-R Public Power Agency/CA MBIA 5.00%, 7/ 1/2015 2,105,000 2,210,250 Ontario Redevelopment Financing Authority/CA AMBAC 5.50%, 8/ 1/2016 1,055,000 1,138,820 Ontario Redevelopment Financing Authority/CA MBIA 5.25%, 8/ 1/2016 1,060,000 1,131,974 Orange County Public Financing Authority/CA AMBAC 5.38%, 6/ 1/2016 1,000,000 1,084,830 Palm Desert Financing Authority MBIA 5.00%, 8/ 1/2012 795,000 844,791 San Bernardino Redevelopment Agency RADIAN 5.00%, 9/ 1/2018 1,565,000 1,647,820 San Francisco Bay Area Transit Financing Authority MBIA 5.00%, 7/ 1/2018 3,000,000 3,224,700 San Jose Financing Authority MBIA 5.00%, 9/ 1/2016 1,200,000 1,259,496 Santa Maria Redevelopment Agency/CA AMBAC 5.00%, 6/ 1/2013 165,000 176,331 5.25%, 6/ 1/2015 1,085,000 1,166,820 Shasta Joint Powers Financing Authority/CA MBIA 5.25%, 4/ 1/2017 1,160,000 1,240,121 California South Gate Public Financing Authority XLCA 5.00%, 9/ 1/2016 1,000,000 1,065,300 Stanton CA AMBAC 5.63%, 8/ 1/2029 890,000 913,042 State of California FGIC 7.00%, 10/ 1/2010 1,000,000 1,110,300 State of California FSA 5.50%, 3/ 1/2012 (b) 1,000,000 1,067,210 State of California MBIA 6.25%, 9/ 1/2012 2,000,000 2,200,720 Sunnyvale CA AMABC 5.50%, 10/ 1/2016 1,000,000 1,069,570 Sunnyvale CA AMBAC 5.50%, 10/ 1/2014 1,000,000 1,078,160 Sweetwater Union High School District MBIA 5.00%, 9/ 1/2020 1,225,000 1,302,236 Tracy Area Public Facilities Financing Agency/CA MBIA 5.88%, 10/ 1/2013 985,000 1,033,846 ------------------- 99,459,580 ------------------- Guam (1.04%) Territory of Guam FSA 5.50%, 12/ 1/2011 1,000,000 1,074,820 ------------------- TOTAL TAX-EXEMPT BONDS $ 100,534,400 ------------------- Total Investments $ 100,534,400 LIABILITY FOR FLOATING RATE NOTES ISSUED IN CONJUNCTION WITH SECURITIES HELD (-0.73%) Note with interest rate of 3.59% at January 31, 2007 and contractual maturity of collateral is 2036. (c) (750,000) (750,000 Total Net Investments 99,784,400 Other Assets in Excess of Liabilities, Net - 3.14% 3,233,573 ------------------- TOTAL NET ASSETS - 100.00% $ 103,017,973 =================== ------------------- ===================
(a) Security or portion of underlying security related to Inverse Floaters entered into by the Fund. See notes. (b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $1,067,210 or 1.04% of net assets. (c) Floating rate securities. The interest rates shown reflect the rates in effect at January 31, 2007. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 1,839,963 Unrealized Depreciation (56,543) -------------------- Net Unrealized Appreciation (Depreciation) 1,783,420 Cost for federal income tax purposes 98,033,383
SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------------------------------------------------------------------------- Sell: U.S. 10 Year Note; March 2007 29 $3,129,204 $3,095,750 $33,454
Portfolio Summary (unaudited) --------------------------------------------------- ------------- Sector Percent --------------------------------------------------- ------------- Insured 82.31% Revenue 8.57% Prerefunded 3.76% Revenue - Special Tax 1.97% Tax Allocation 0.98% Other Assets in Excess of Liabilities, Net 2.41% ------------- TOTAL NET ASSETS 100.00% ============= Other Assets Summary (unaudited) -------------------------------------------------------- Asset Type Percent -------------------------------------------------------- Futures 3.01%
Schedule of Investments January 31, 2007 (unaudited) California Municipal Fund Principal Amount Value ----------------------- -------- -------------------- TAX-EXEMPT BONDS (107.52%) California (106.60%) Abag Finance Authority for Nonprofit Corps 5.25%, 10/ 1/2026 $ 1,240,000 $ 1,300,400 Abag Finance Authority for Nonprofit Corps ACA 5.70%, 11/ 1/2013 2,280,000 2,386,909 Amador Water Agency/CA MBIA 5.00%, 6/ 1/2032 1,000,000 1,052,500 Anaheim Public Financing Authority/CA MBIA 9.22%, 12/28/2018 2,000,000 2,168,120 Baldwin Park Financing Authority/CA AMBAC 5.00%, 8/ 1/2027 2,635,000 2,753,891 5.00%, 8/ 1/2034 3,000,000 3,131,460 Barstow Redevelopment Agency/CA MBIA 7.00%, 9/ 1/2014 1,705,000 1,919,854 Bay Area Governments Association XLCA 5.25%, 9/ 1/2029 2,000,000 2,135,100 California County TOB Securitization Agency 0.00%, 6/ 1/2028 (a) 2,000,000 1,717,620 5.13%, 6/ 1/2038 4,000,000 4,063,440 5.25%, 6/ 1/2045 5,000,000 5,121,650 California Educational Facilities Authority 6.63%, 6/ 1/2020 1,000,000 1,074,770 California Educational Facilities Authority MBIA 5.10%, 3/ 1/2014 1,000,000 1,028,190 California Health Facilities Financing Authority/CA 5.00%, 11/15/2034 (b) 3,000,000 3,094,500 5.00%, 4/ 1/2037 1,000,000 1,032,600 5.25%, 4/ 1/2039 700,000 737,905 California Health Facilities Financing Authority/CA MBIA 3.60%, 9/ 1/2028 1,300,000 1,300,000 California Housing Finance Agency 4.625%, 8/ 1/2026 (b) 4,000,000 4,004,360 4.65%, 8/ 1/2031 (b) 7,450,000 7,385,409 4.70%, 8/ 1/2036 (b) 5,150,000 5,109,367 4.80%, 8/ 1/2036 (b) 2,500,000 2,492,150 4.875%, 8/ 1/2041 (b) 6,760,000 6,793,259 4.75%, 8/ 1/2042 (b) 8,400,000 8,300,460 California Infrastructure & Economic Development Bank 5.50%, 10/ 2/2015 1,000,000 1,067,350 California Infrastructure & Economic Development Bank FGIC 3.46%, 7/ 1/2036 3,800,000 3,800,000 California Mobilehome Park Financing Authority/CA 4.50%, 12/15/2036 1,000,000 968,020 California Pollution Control Financing Authority 5.13%, 11/ 1/2023 2,500,000 2,619,500 5.00%, 7/ 1/2027 1,500,000 1,545,405 California Pollution Control Financing Authority AMBAC 5.85%, 6/ 1/2021 2,500,000 2,524,325 California Rural Home Mortgage Finance Authority 7.95%, 12/ 1/2024 25,000 25,893 5.40%, 12/ 1/2036 1,000,000 1,057,700 California State Department of Water Resources 5.88%, 5/ 1/2016 3,000,000 3,334,830 California California State Department of Water Resources FSA 5.00%, 12/ 1/2018 1,670,000 1,751,630 California State Public Works Board 5.40%, 10/ 4/2022 3,000,000 3,078,630 5.00%, 4/ 1/2023 4,200,000 4,334,568 5.50%, 6/ 1/2023 1,980,000 2,157,170 5.00%, 6/ 1/2024 3,000,000 3,130,710 5.00%, 6/ 1/2025 1,750,000 1,824,007 California Statewide Communities Development Authority 5.20%, 12/ 1/2029 4,300,000 4,423,410 5.25%, 8/ 1/2031 3,500,000 3,703,875 5.00%, 3/ 1/2035 2,000,000 2,052,060 4.88%, 10/ 1/2035 1,500,000 1,531,275 5.00%, 7/ 1/2039 1,260,000 1,274,616 5.00%, 3/ 1/2041 2,800,000 2,884,392 5.00%, 11/15/2043 5,085,000 5,277,264 5.25%, 3/ 1/2045 4,200,000 4,419,786 California Statewide Communities Development Authority MBIA 6.50%, 8/ 1/2012 2,315,000 2,460,150 Carson Redevelopment Agency MBIA 5.50%, 10/ 1/2016 (c) 1,000,000 1,124,770 Chula Vista Community Facilities District/CA 5.45%, 9/ 1/2036 1,000,000 1,030,610 Chula Vista Public Financing Authority/CA FSA 4.70%, 9/ 2/2014 1,475,000 1,549,650 City of Alhambra CA MBIA 6.13%, 9/ 2/2018 5,360,000 5,613,850 City of Azusa CA 6.00%, 9/ 1/2026 2,210,000 2,329,804 City of Burbank CA FSA 5.25%, 5/ 1/2024 3,155,000 3,336,823 City of Cathedral City CA 5.00%, 9/ 2/2030 990,000 996,504 5.05%, 9/ 2/2035 1,335,000 1,342,863 City of Chula Vista CA MBIA 5.00%, 8/ 1/2027 3,000,000 3,134,640 City of Hawthorne CA 5.00%, 9/ 1/2030 (b) 5,000,000 5,065,650 City of Long Beach CA 6.88%, 10/ 1/2025 2,000,000 2,047,860 City of Los Angeles CA 6.25%, 9/20/2039 1,000,000 1,021,340 City of Los Angeles CA AMBAC 5.00%, 3/ 1/2022 1,445,000 1,502,063 City of Modesto CA 5.15%, 9/ 1/2036 1,000,000 1,014,310 City of Oceanside CA AMBAC 5.25%, 4/ 1/2018 1,500,000 1,603,005 City of Pacifica CA AMBAC 5.00%, 10/ 1/2024 1,090,000 1,146,593 City of Redding CA MBIA 8.80%, 7/ 1/2022 2,540,000 3,452,520 City of San Jose CA 5.88%, 3/ 1/2033 1,000,000 1,034,410 City of Santa Rosa CA 6.70%, 12/ 1/2024 4,250,000 4,256,630 Coachella Redevelopment Agency 5.88%, 12/ 1/2028 2,000,000 2,062,320 California Contra Costa Community College District/CA MBIA 5.00%, 8/ 1/2029 5,000,000 5,258,350 Contra Costa County Public Financing Authority/CA MBIA 5.25%, 6/ 1/2027 2,160,000 2,239,142 Contra Costa Water District FSA 5.00%, 10/ 1/2017 1,445,000 1,517,814 5.00%, 10/ 1/2018 1,520,000 1,591,957 County of Riverside CA FGIC 5.00%, 11/ 1/2025 1,160,000 1,220,343 Davis Public Facilities Financing Authority/CA 6.60%, 9/ 1/2025 1,665,000 1,718,413 Fairfield Housing Authority/CA 5.63%, 9/ 1/2023 1,215,000 1,259,396 Fontana Redevelopment Agency/CA MBIA 5.20%, 9/ 1/2030 1,000,000 1,026,390 Foothill Eastern Transportation Corridor Agency/CA 0.00%, 1/15/2026 (a) 9,000,000 8,292,960 0.00%, 1/15/2030 (a) 20,000,000 5,353,600 0.00%, 1/15/2032 (a) 10,000,000 2,365,200 0.00%, 1/15/2033 (a) 10,000,000 2,228,000 0.00%, 1/15/2034 (a) 10,000,000 2,093,800 0.00%, 1/15/2036 (a) 10,000,000 1,850,000 0.00%, 1/15/2037 (a) 10,000,000 1,741,800 0.00%, 1/15/2038 (a) 9,000,000 1,476,270 Fresno Joint Powers Financing Authority/CA FSA 5.75%, 6/ 1/2026 2,000,000 2,141,980 Golden State Tobacco Securitization Corp/CA 6.25%, 6/ 1/2033 3,960,000 4,415,440 6.75%, 6/ 1/2039 1,000,000 1,142,530 6.63%, 6/ 1/2040 5,000,000 5,672,550 Hi-Desert Memorial Health Care District/CA 5.50%, 10/ 1/2015 1,000,000 1,010,340 Highland Redevelopment Agency/CA AMBAC 5.00%, 12/ 1/2028 3,000,000 3,140,280 Hollister Joint Powers Financing Authority FSA 4.50%, 6/ 1/2037 (b) 5,000,000 4,926,450 Huntington Beach Union High School District/CA FSA 5.00%, 8/ 1/2027 2,000,000 2,102,020 5.00%, 8/ 1/2029 5,000,000 5,258,350 Huntington Park Public Financing Authority/CA 6.20%, 10/ 1/2025 2,000,000 2,055,860 Imperial CA FGIC 5.00%, 10/15/2020 1,250,000 1,313,800 Imperial Irrigation District/CA AMBAC 5.50%, 7/ 1/2029 5,000,000 5,336,400 Independent Cities Lease Finance Authority 5.00%, 5/15/2031 1,765,000 1,800,371 Irvine CA 5.70%, 3/ 1/2018 990,000 1,021,997 5.00%, 9/ 2/2025 1,125,000 1,128,071 5.00%, 9/ 2/2026 1,295,000 1,297,629 5.00%, 9/ 2/2029 1,500,000 1,507,875 Irvine Public Facilities & Infrastructure Authority/CA AMBAC 5.00%, 9/ 2/2020 1,455,000 1,499,930 5.00%, 9/ 2/2021 3,630,000 3,742,094 5.00%, 9/ 2/2023 2,000,000 2,060,960 Irvine Unified School District/CA 5.00%, 9/ 1/2026 2,600,000 2,635,464 California La Canada Unified School District MBIA 5.50%, 8/ 1/2028 1,825,000 1,999,634 La Quinta Financing Authority AMBAC 5.25%, 9/ 1/2024 1,000,000 1,073,600 5.00%, 9/ 1/2029 2,000,000 2,097,620 La Verne Public Financing Authority 7.25%, 9/ 1/2026 1,500,000 1,533,240 Lake Elsinore Public Financing Authority/CA 5.80%, 9/ 2/2015 1,695,000 1,758,020 Loma Linda CA 5.00%, 12/ 1/2022 1,000,000 1,027,970 Long Beach Bond Finance Authority AMBAC 5.00%, 8/ 1/2022 410,000 432,341 Los Angeles Community Redevelopment Agency/CA AMBAC 6.75%, 7/ 1/2014 85,000 85,130 Los Angeles Community Redevelopment Agency/CA MBIA 5.40%, 7/ 1/2024 2,500,000 2,635,425 5.25%, 9/ 1/2026 1,000,000 1,085,390 Los Banos Redevelopment Agency/CA RADIAN 5.00%, 9/ 1/2036 2,000,000 2,066,060 Moreno Valley Unified School District/CA FSA 5.00%, 3/ 1/2027 1,760,000 1,835,574 M-S-R Public Power Agency/CA MBIA 3.58%, 7/ 1/2022 400,000 400,000 Needles Public Utility Authority/CA 6.50%, 2/ 1/2022 2,785,000 2,844,627 North Natomas Community Facilities District/CA 5.00%, 9/ 1/2033 2,105,000 2,130,492 Oceanside Community Facilities District/CA 5.50%, 9/ 1/2029 1,485,000 1,537,955 Oxnard Harbor District/CA 5.75%, 8/ 1/2020 1,200,000 1,276,092 6.00%, 8/ 1/2024 1,000,000 1,090,130 Palm Desert Financing Authority MBIA 5.00%, 8/ 1/2022 1,280,000 1,351,194 Perris Public Financing Authority/CA 5.30%, 10/ 1/2026 2,805,000 2,863,204 Pomona Public Financing Authority MBIA 5.00%, 2/ 1/2021 5,000,000 5,166,350 Pomona Unified School District/CA MBIA 6.15%, 8/ 1/2030 1,000,000 1,219,170 Port of Oakland FGIC 5.75%, 11/ 1/2029 5,000,000 5,271,650 Poway Redevelopment Agency/CA AMBAC 5.38%, 6/15/2019 1,000,000 1,075,880 Redondo Beach Public Financing Authority/CA 7.13%, 7/ 1/2026 1,000,000 1,021,690 Riverside County Public Financing Authority 5.80%, 5/15/2029 2,100,000 2,167,263 Rocklin Unified School District/CA FGIC 0.00%, 8/ 1/2014 (a) 1,030,000 706,930 0.00%, 8/ 1/2016 (a) 1,210,000 742,625 0.00%, 8/ 1/2017 (a) 1,255,000 730,247 0.00%, 8/ 1/2019 (a) 1,360,000 709,145 0.00%, 8/ 1/2020 (a) 1,415,000 699,505 0.00%, 8/ 1/2023 (a) 1,225,000 515,970 Saddleback Valley Unified School District/CA FSA 5.00%, 8/ 1/2027 3,000,000 3,153,030 5.00%, 8/ 1/2029 4,000,000 4,206,680 California Salinas Valley Solid Waste Authority/CA AMBAC 5.25%, 8/ 1/2027 2,475,000 2,586,623 5.25%, 8/ 1/2031 2,000,000 2,089,200 San Diego Redevelopment Agency/CA 6.40%, 9/ 1/2019 1,000,000 1,049,770 6.50%, 10/ 1/2025 1,030,000 1,120,702 San Francisco City & County Airports Commission MBIA 5.25%, 5/ 1/2026 4,000,000 4,134,920 San Jose Financing Authority MBIA 5.00%, 9/ 1/2018 9,310,000 9,735,746 San Juan Unified School District/CA MBIA 5.00%, 8/ 1/2027 3,780,000 3,972,818 Semitropic Improvement District/CA XLCA 5.13%, 12/ 1/2035 2,000,000 2,115,440 South Gate Public Financing Authority AMBAC 5.25%, 9/ 1/2022 2,090,000 2,226,143 South Gate Public Financing Authority XLCA 5.00%, 9/ 1/2016 1,500,000 1,597,950 State of California 5.70%, 12/ 1/2032 1,280,000 1,306,714 4.50%, 9/ 1/2036 6,000,000 5,874,840 State of California CIFG 5.00%, 10/ 1/2022 2,000,000 2,087,000 State of California FGIC 5.50%, 6/ 1/2025 4,430,000 4,643,659 Stockton-East Water District/CA FGIC 5.25%, 4/ 1/2022 1,780,000 1,893,902 Temecula Redevelopment Agency/CA MBIA 5.25%, 8/ 1/2036 3,270,000 3,388,145 5.00%, 12/15/2038 1,305,000 1,307,949 Tobacco Securitization Authority of Northern California/CA 5.38%, 6/ 1/2038 10,000,000 10,383,500 5.50%, 6/ 1/2045 9,080,000 9,498,951 Tobacco Securitization Authority of Southern California/CA 5.00%, 6/ 1/2037 4,000,000 4,031,480 5.13%, 6/ 1/2046 (b) 13,000,000 13,185,510 Torrance CA 6.00%, 6/ 1/2022 1,000,000 1,080,160 Turlock CA 5.38%, 10/15/2034 1,900,000 1,982,593 Tustin Community Facilities District 5.38%, 9/ 1/2029 1,000,000 1,027,830 Walnut Public Financing Authority/CA AMBAC 5.38%, 9/ 1/2022 2,305,000 2,453,673 -------------------- 425,745,572 -------------------- Puerto Rico (0.66%) Children's Trust Fund 5.63%, 5/15/2043 2,500,000 2,623,675 -------------------- Virgin Islands (0.27%) Virgin Islands Public Finance Authority 6.38%, 10/ 1/2019 1,000,000 1,085,620 -------------------- TOTAL TAX-EXEMPT BONDS $ 429,454,867 -------------------- Total Investments $ 429,454,867 LIABILITY FOR FLOATING RATE NOTES ISSUED IN CONJUNCTION WITH SECURITIES HELD (-9.75%) Notes with interest rates ranging from 3.44% to 3.66% at January 31, 2007 and contractual maturities of collateral ranging from 2031 to 2046. (d) (38,950,000) (38,950,000) Total Net Investments 390,504,867 Other Assets in Excess of Liabilities, Net - (2.23)% 8,892,986 -------------------- TOTAL NET ASSETS - 100.00% $ 399,397,853
(a) Non-Income Producing Security (b) Security or portion of underlying security related to Inverse Floaters entered into by the Fund. See notes. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $1,124,770 or 0.28% of net assets. (d) Floating rate securities. The interest rates shown reflect the rates in effect at January 31, 2007. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 17,101,255 Unrealized Depreciation (224,170) -------------------- Net Unrealized Appreciation (Depreciation) 16,877,085 Cost for federal income tax purposes 373,689,596 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------------------------------------------------------------- Sell: U.S. 10 Year Note; March 2007 17 $1,808,591 $1,814,750 $(6,159) U.S. Long Bond; March 2007 207 22,897,868 22,795,875 101,993 Portfolio Summary (unaudited) -------------------------------------------------------------- Sector Percent -------------------------------------------------------------- Revenue 50.41% Insured 42.70% Revenue - Special Tax 7.32% Prerefunded 3.45% Tax Allocation 1.84% General Obligation 1.80% Liabilities in Excess of Other Assets, Net (-7.52%) -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) -------------------------------------------------------------- Asset Type Percent -------------------------------------------------------------- Futures 6.16%
Schedule of Investments January 31, 2007 (unaudited) Disciplined LargeCap Blend Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (99.69%) Advertising Agencies (0.51%) Omnicom Group Inc 160,026 $ 16,834,735 -------------------- Aerospace & Defense (2.43%) Boeing Co 274,182 24,555,740 General Dynamics Corp 244,150 19,080,322 Lockheed Martin Corp 241,762 23,496,849 Rockwell Collins Inc 186,880 12,747,085 -------------------- 79,879,996 -------------------- Aerospace & Defense Equipment (1.04%) United Technologies Corp 501,235 34,094,005 -------------------- Airlines (0.22%) Continental Airlines Inc (a)(b) 177,280 7,355,347 -------------------- Apparel Manufacturers (0.63%) Coach Inc (b) 452,685 20,760,134 -------------------- Applications Software (2.54%) Intuit Inc (b) 298,320 9,382,164 Microsoft Corp 2,400,549 74,080,942 -------------------- 83,463,106 -------------------- Athletic Footwear (0.15%) Nike Inc 50,000 4,940,500 -------------------- Auto - Car & Light Trucks (0.30%) General Motors Corp 303,280 9,959,715 -------------------- Beverages - Non-Alcoholic (2.09%) Coca-Cola Co/The 727,283 34,822,310 PepsiCo Inc 515,412 33,625,479 -------------------- 68,447,789 -------------------- Brewery (0.06%) Anheuser-Busch Cos Inc 40,670 2,072,950 -------------------- Cable TV (1.70%) Comcast Corp (a)(b) 871,540 38,626,653 DIRECTV Group Inc/The (a)(b) 707,770 17,262,510 -------------------- 55,889,163 -------------------- Chemicals - Specialty (0.84%) Albemarle Corp 106,930 8,338,401 Ashland Inc 119,520 8,312,616 Sigma-Aldrich Corp (a) 283,180 10,746,681 -------------------- 27,397,698 -------------------- Coatings & Paint (0.28%) Sherwin-Williams Co/The 131,420 9,081,122 -------------------- Commercial Banks (0.75%) Marshall & Ilsley Corp (a) 190,348 8,957,777 Commercial Banks Regions Financial Corp 432,390 15,678,461 -------------------- 24,636,238 -------------------- Commercial Services (0.56%) Alliance Data Systems Corp (a)(b) 142,684 9,692,524 Convergys Corp (b) 329,280 8,574,451 -------------------- 18,266,975 -------------------- Computer Services (0.35%) Cognizant Technology Solutions Corp (b) 136,290 11,624,174 -------------------- Computers (4.08%) Apple Inc (b) 357,781 30,672,565 Dell Inc (b) 248,560 6,027,580 Hewlett-Packard Co 1,053,509 45,595,870 International Business Machines Corp 518,882 51,447,150 -------------------- 133,743,165 -------------------- Computers - Integrated Systems (0.28%) NCR Corp (b) 190,730 9,038,695 -------------------- Computers - Memory Devices (0.39%) Network Appliance Inc (b) 336,906 12,667,666 -------------------- Computers - Peripheral Equipment (0.21%) Lexmark International Inc (b) 107,060 6,747,992 -------------------- Containers - Paper & Plastic (0.09%) Bemis Co 89,810 3,045,457 -------------------- Cosmetics & Toiletries (2.03%) Colgate-Palmolive Co 315,902 21,576,107 Procter & Gamble Co 693,816 45,007,844 -------------------- 66,583,951 -------------------- Diversified Manufacturing Operations (4.09%) 3M Co 21,066 1,565,204 Cooper Industries Ltd 105,915 9,679,572 Danaher Corp 181,282 13,425,745 General Electric Co 2,277,301 82,096,701 Honeywell International Inc 51,553 2,355,457 Parker Hannifin Corp 181,928 15,056,361 Textron Inc 106,530 9,925,400 -------------------- 134,104,440 -------------------- Electric - Integrated (2.77%) Allegheny Energy Inc (b) 310,305 14,435,389 Centerpoint Energy Inc (a) 764,170 13,189,574 Entergy Corp 133,800 12,423,330 FPL Group Inc (a) 352,340 19,960,061 OGE Energy Corp (a) 162,895 6,307,294 PG&E Corp 267,410 12,482,699 Xcel Energy Inc (a) 519,650 12,123,435 -------------------- 90,921,782 -------------------- Electric Products - Miscellaneous (0.83%) Emerson Electric Co 607,244 27,307,763 -------------------- Electronic Components - Semiconductors (1.70%) Intel Corp 1,031,243 21,614,853 MEMC Electronic Materials Inc (b) 185,962 9,744,409 Electronic Components - Semiconductors Nvidia Corp (a)(b) 472,426 14,479,857 QLogic Corp (b) 382,180 6,993,894 Texas Instruments Inc 95,186 2,968,851 -------------------- 55,801,864 -------------------- Enterprise Software & Services (1.30%) BEA Systems Inc (b) 423,850 5,226,071 BMC Software Inc (b) 292,950 10,074,550 Oracle Corp (b) 1,591,076 27,302,864 -------------------- 42,603,485 -------------------- Fiduciary Banks (0.31%) State Street Corp 142,317 10,111,623 -------------------- Finance - Credit Card (0.21%) American Express Co 118,347 6,890,162 -------------------- Finance - Investment Banker & Broker (6.99%) Bear Stearns Cos Inc/The 116,352 19,180,627 Citigroup Inc 1,052,806 58,041,195 Goldman Sachs Group Inc 155,817 33,058,135 JPMorgan Chase & Co 1,030,935 52,505,519 Lehman Brothers Holdings Inc 285,834 23,506,988 Merrill Lynch & Co Inc 157,119 14,700,054 Morgan Stanley 342,610 28,364,682 -------------------- 229,357,200 -------------------- Financial Guarantee Insurance (0.75%) AMBAC Financial Group Inc 102,750 9,052,275 PMI Group Inc/The 167,910 8,029,456 Radian Group Inc (a) 123,008 7,407,542 -------------------- 24,489,273 -------------------- Food - Miscellaneous/Diversified (1.20%) Campbell Soup Co (a) 260,992 10,042,972 ConAgra Foods Inc 239,242 6,150,912 General Mills Inc 240,132 13,745,156 McCormick & Co Inc/MD 240,980 9,407,859 -------------------- 39,346,899 -------------------- Food - Retail (0.32%) Kroger Co/The 404,763 10,361,933 -------------------- Gas - Distribution (0.45%) Sempra Energy 259,120 14,868,306 -------------------- Health Care Cost Containment (0.37%) McKesson Corp 218,710 12,193,083 -------------------- Human Resources (0.23%) Manpower Inc 104,450 7,617,539 -------------------- Independent Power Producer (0.26%) Mirant Corp (b) 246,390 8,421,610 -------------------- Industrial Gases (1.19%) Air Products & Chemicals Inc 134,000 10,004,440 Airgas Inc 167,840 6,985,501 Praxair Inc 350,070 22,075,414 -------------------- 39,065,355 -------------------- Instruments - Scientific (0.65%) Applera Corp - Applied Biosystems Group 209,490 7,281,872 Thermo Fisher Scientific Inc (b) 292,400 13,991,340 -------------------- 21,273,212 -------------------- Investment Management & Advisory Services (0.66%) Ameriprise Financial Inc 185,280 10,924,109 Franklin Resources Inc 91,090 10,849,730 -------------------- 21,773,839 -------------------- Life & Health Insurance (1.29%) Cigna Corp 97,210 12,870,604 Lincoln National Corp 173,482 11,647,581 Prudential Financial Inc (a) 200,527 17,872,972 -------------------- 42,391,157 -------------------- Machinery - Construction & Mining (0.31%) Caterpillar Inc 21,286 1,363,794 Terex Corp (b) 157,250 8,945,953 -------------------- 10,309,747 -------------------- Medical - Biomedical/Gene (0.25%) Amgen Inc (b) 116,347 8,187,338 -------------------- Medical - Drugs (5.05%) Abbott Laboratories 506,239 26,830,667 Eli Lilly & Co 58,496 3,165,804 Forest Laboratories Inc (b) 130,000 7,294,300 Merck & Co Inc 811,614 36,319,726 Pfizer Inc 1,519,389 39,868,767 Schering-Plough Corp 957,246 23,931,150 Wyeth 574,894 28,405,513 -------------------- 165,815,927 -------------------- Medical - HMO (1.26%) Aetna Inc 323,560 13,641,290 UnitedHealth Group Inc 126,886 6,631,062 WellPoint Inc (b) 267,575 20,972,529 -------------------- 41,244,881 -------------------- Medical - Wholesale Drug Distribution (0.28%) AmerisourceBergen Corp (a) 174,868 9,159,586 -------------------- Medical Laboratory & Testing Service (0.30%) Laboratory Corp of America Holdings (b) 135,950 9,984,168 -------------------- Medical Products (2.58%) Baxter International Inc 344,032 17,084,629 Becton Dickinson & Co 165,824 12,758,498 Johnson & Johnson 820,222 54,790,830 -------------------- 84,633,957 -------------------- Metal - Copper (0.09%) Phelps Dodge Corp 23,941 2,959,108 -------------------- Metal Processors & Fabrication (0.28%) Precision Castparts Corp 102,861 9,143,314 -------------------- Multi-Line Insurance (3.27%) ACE Ltd 201,490 11,642,092 Allstate Corp/The 342,494 20,604,439 American International Group Inc 475,705 32,562,007 Assurant Inc (a) 109,173 6,067,835 Multi-Line Insurance Hartford Financial Services Group Inc 203,140 19,280,018 Metlife Inc (a) 273,557 16,993,361 -------------------- 107,149,752 -------------------- Multimedia (1.85%) McGraw-Hill Cos Inc/The 294,460 19,752,377 News Corp 164,574 3,826,345 Time Warner Inc (a) 254,740 5,571,164 Viacom Inc (b) 22,925 932,360 Walt Disney Co/The 872,348 30,680,479 -------------------- 60,762,725 -------------------- Networking Products (1.72%) Cisco Systems Inc (b) 2,124,455 56,489,258 -------------------- Non-Hazardous Waste Disposal (0.32%) Waste Management Inc 280,000 10,634,400 -------------------- Office Supplies & Forms (0.31%) Avery Dennison Corp 149,180 10,197,945 -------------------- Oil - Field Services (1.03%) Schlumberger Ltd 534,172 33,914,580 -------------------- Oil & Gas Drilling (0.59%) Noble Corp (a) 77,038 5,773,998 Transocean Inc (b) 175,080 13,545,940 -------------------- 19,319,938 -------------------- Oil Company - Exploration & Production (0.51%) XTO Energy Inc 330,420 16,676,297 -------------------- Oil Company - Integrated (6.83%) Chevron Corp 639,522 46,608,363 ConocoPhillips 288,097 19,132,522 Exxon Mobil Corp 1,593,244 118,059,380 Marathon Oil Corp 257,511 23,263,544 Occidental Petroleum Corp 371,144 17,206,236 -------------------- 224,270,045 -------------------- Oil Field Machinery & Equipment (0.71%) Cameron International Corp (a)(b) 136,988 7,191,870 National Oilwell Varco Inc (b) 264,726 16,052,985 -------------------- 23,244,855 -------------------- Pharmacy Services (0.48%) Medco Health Solutions Inc (b) 267,140 15,817,359 -------------------- Property & Casualty Insurance (1.04%) Chubb Corp 324,720 16,898,429 St Paul Travelers Cos Inc/The 236,650 12,033,652 WR Berkley Corp 161,190 5,333,777 -------------------- 34,265,858 -------------------- Regional Banks (5.88%) Bank of America Corp 1,418,348 74,576,738 Keycorp 449,410 17,153,980 PNC Financial Services Group Inc 163,750 12,079,837 US Bancorp 749,427 26,679,601 Wachovia Corp 335,678 18,965,807 Regional Banks Wells Fargo & Co 1,209,056 43,429,292 -------------------- 192,885,255 -------------------- REITS - Apartments (0.42%) AvalonBay Communities Inc 93,894 13,930,114 -------------------- REITS - Office Property (0.51%) Boston Properties Inc 133,230 16,798,971 -------------------- REITS - Regional Malls (0.43%) Simon Property Group Inc (a) 123,878 14,170,404 -------------------- REITS - Warehouse & Industrial (0.35%) AMB Property Corp 187,231 11,393,006 -------------------- Retail - Apparel & Shoe (0.54%) Nordstrom Inc (a) 318,174 17,725,474 -------------------- Retail - Building Products (0.19%) Home Depot Inc 153,029 6,234,402 -------------------- Retail - Discount (1.44%) Big Lots Inc (a)(b) 377,270 9,782,611 Family Dollar Stores Inc 255,760 8,286,624 Target Corp 22,655 1,390,111 TJX Cos Inc 421,450 12,462,276 Wal-Mart Stores Inc 323,653 15,435,012 -------------------- 47,356,634 -------------------- Retail - Drug Store (0.66%) Walgreen Co 476,941 21,605,427 -------------------- Retail - Major Department Store (0.51%) JC Penney Co Inc 206,334 16,762,574 -------------------- Retail - Office Supplies (0.66%) Office Depot Inc (b) 259,943 9,719,269 Staples Inc 459,019 11,805,968 -------------------- 21,525,237 -------------------- Retail - Regional Department Store (0.58%) Kohl's Corp (b) 269,050 19,078,336 -------------------- Retail - Restaurants (1.07%) Darden Restaurants Inc 159,860 6,256,920 McDonald's Corp 652,659 28,945,427 -------------------- 35,202,347 -------------------- Semiconductor Component - Integrated Circuits (0.22%) Atmel Corp (b) 1,230,340 7,357,433 -------------------- Semiconductor Equipment (0.23%) Teradyne Inc (b) 494,630 7,369,987 -------------------- Steel - Producers (0.78%) Carpenter Technology Corp 63,850 7,476,835 Nucor Corp 278,700 17,987,298 -------------------- 25,464,133 -------------------- Telecommunication Services (0.26%) Embarq Corp 154,080 8,552,981 -------------------- Telephone - Integrated (3.32%) AT&T Inc 2,021,140 76,055,498 Qwest Communications International Inc (a)(b) 1,766,340 14,395,671 Verizon Communications Inc 483,298 18,616,639 -------------------- 109,067,808 -------------------- Therapeutics (0.51%) Gilead Sciences Inc (b) 259,635 16,699,723 -------------------- Tobacco (2.41%) Altria Group Inc 634,109 55,414,785 Loews Corp - Carolina Group 90,278 6,187,654 Reynolds American Inc (a) 148,882 9,602,889 UST Inc 134,499 7,725,623 -------------------- 78,930,951 -------------------- Tools - Hand Held (0.20%) Snap-On Inc 138,270 6,665,997 -------------------- Toys (0.46%) Hasbro Inc 170,180 4,833,112 Mattel Inc 422,580 10,294,049 -------------------- 15,127,161 -------------------- Transport - Rail (0.43%) Burlington Northern Santa Fe Corp 175,540 14,106,394 -------------------- Transport - Services (0.18%) United Parcel Service Inc (a) 83,776 6,055,329 -------------------- Web Portals (1.00%) Google Inc (b) 65,544 32,857,207 -------------------- Wireless Equipment (0.29%) Motorola Inc 172,764 3,429,365 Qualcomm Inc 162,894 6,134,588 -------------------- 9,563,953 -------------------- TOTAL COMMON STOCKS $ 3,272,099,374 -------------------- Principal Amount Value ----------------------- -------- -------------------- MONEY MARKET FUNDS (1.35%) Money Center Banks (1.35%) BNY Institutional Cash Reserve Fund (c) 44,154,000 44,154,000 -------------------- TOTAL MONEY MARKET FUNDS $ 44,154,000 -------------------- Total Investments $ 3,316,253,374 Liabilities in Excess of Other Assets, Net - (1.04)% (33,972,204) -------------------- TOTAL NET ASSETS - 100.00% $ 3,282,281,170 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 414,933,532 Unrealized Depreciation (23,434,247) -------------------- Net Unrealized Appreciation (Depreciation) 391,499,285 Cost for federal income tax purposes 2,924,754,089 Portfolio Summary (unaudited) ---------------------------------------------------------------------- Sector Percent ---------------------------------------------------------------------- Financial 24.20% Consumer, Non-cyclical 20.28% Technology 11.29% Industrial 10.87% Communications 10.66% Energy 9.67% Consumer, Cyclical 7.42% Utilities 3.48% Basic Materials 3.17% Liabilities in Excess of Other Assets, Net (-1.04%) ------------------- TOTAL NET ASSETS 100.00% ===================
Schedule of Investments January 31, 2007 (unaudited) Diversified International Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (96.89%) Advanced Materials & Products (0.01%) Ohara Inc 2,500 $ 111,245 -------------------- Advertising Services (0.31%) Aegis Group Plc 2,295,212 6,358,303 -------------------- Agricultural Chemicals (0.01%) Incitec Pivot Ltd 8,957 250,330 -------------------- Agricultural Operations (0.05%) Astra Agro Lestari Tbk PT 641,793 930,952 Kemira GrowHow Oyj 4,862 53,230 Provimi SA 1,800 73,408 -------------------- 1,057,590 -------------------- Airlines (0.69%) Air France-KLM 133,015 5,984,591 Deutsche Lufthansa AG 232,213 6,473,817 Jazz Air Income Fund 14,136 102,344 Korean Air Lines Co Ltd 30,700 1,095,610 Thai Airways International Public Ltd (a)(b) 387,900 491,154 -------------------- 14,147,516 -------------------- Airport Development & Maintenance (0.03%) Grupo Aeroportuario ADR (b)(c) 24,733 600,023 -------------------- Apparel Manufacturers (0.06%) China Ting Group Holdings Ltd 242,000 77,489 Valentino Fashion Group SpA 6,917 276,139 Youngone Corp 135,130 789,395 -------------------- 1,143,023 -------------------- Appliances (0.01%) AFG Arboinia - Forster Holding 116 55,032 Schulthess Group 246 205,717 -------------------- 260,749 -------------------- Applications Software (0.15%) Infosys Technologies Ltd ADR 33,999 1,971,942 Micro Focus International PLC 6,340 27,902 NSD CO LTD 5,100 177,071 SimCorp A/S 770 168,784 Tata Consultancy Services Ltd 26,599 769,686 -------------------- 3,115,385 -------------------- Athletic Footwear (0.01%) Puma AG Rudolf Dassler Sport 804 292,165 -------------------- Audio & Video Products (0.02%) Advanced Digital Broadcast Holdings SA (b) 410 28,220 Canon Electronics Inc 10,014 330,243 D&M Holdings Inc 29,287 116,973 Loewe AG (b) 1,527 32,441 -------------------- 507,877 -------------------- Auto - Car & Light Trucks (2.21%) Bayerische Motoren Werke AG 146,189 8,907,573 Denway Motors Ltd 2,738,000 1,153,758 Honda Motor Co Ltd 88,200 3,471,578 Hyundai Motor Co 8,542 608,782 Suzuki Motor Corp 205,700 5,914,642 Toyota Motor Corp 386,952 25,491,120 -------------------- 45,547,453 -------------------- Auto - Medium & Heavy Duty Trucks (0.06%) Mahindra & Mahindra Ltd 32,668 666,572 Mahindra & Mahindra Ltd (a) 32,858 670,303 -------------------- 1,336,875 -------------------- Auto/Truck Parts & Equipment - Original (0.45%) Brembo SpA 12,043 151,548 Denso Corp 195,300 7,832,715 Eagle Industry Co Ltd 15,971 157,090 FCC Co Ltd 6,376 157,445 Futaba Industrial Co Ltd 18,370 451,334 Nippon Seiki Co Ltd 6,915 160,441 Nissin Kogyo Co Ltd 15,236 410,317 Pacific Industrial Co Ltd 4,000 25,389 -------------------- 9,346,279 -------------------- Auto/Truck Parts & Equipment - Replacement (0.00%) Geely Automobile Holdings Ltd 495,000 52,622 -------------------- Batteries & Battery Systems (0.07%) Simplo Technology Co Ltd 385,000 1,373,872 -------------------- Beverages - Non-Alcoholic (0.08%) Coca-Cola Femsa SA de CV 247,400 989,357 Coca-Cola Icecek AS (b) 65,807 495,951 Kagome Co Ltd 16,274 230,328 -------------------- 1,715,636 -------------------- Beverages - Wine & Spirits (0.42%) C&C Group PLC 257,424 3,818,163 C&C Group PLC 266,333 3,922,532 United Spirits Ltd 48,965 1,010,578 -------------------- 8,751,273 -------------------- Brewery (1.02%) Compania Cervecerias Unidas SA 120,420 720,509 Heineken NV 188,991 9,574,558 InBev NV 166,328 10,702,657 -------------------- 20,997,724 -------------------- Broadcasting Services & Programming (0.04%) Grupo Televisa SA ADR 28,099 827,796 Vislink PLC 44,478 83,673 -------------------- 911,469 -------------------- Building - Heavy Construction (2.38%) ACS Actividades de Construccion y Servicios SA 221,204 12,031,076 Aker Kvaerner ASA 83,268 9,407,306 Daewoo Engineering & Construction Co Ltd 46,330 875,915 Fomento de Construcciones y Contratas SA 105,644 11,029,110 Lemminkainen Oyj 558 29,811 Maeda Road Construction Co Ltd 13,223 94,231 Severfield-Rowen PLC 6,145 202,950 Trevi Finanziaria SpA 11,192 150,685 Veidekke ASA 3,185 134,745 Building - Heavy Construction Vinci SA 101,425 13,933,131 YTL Corp Bhd 622,400 1,315,743 -------------------- 49,204,703 -------------------- Building - Maintenance & Service (0.03%) Babcock International Group 84,758 684,002 -------------------- Building - Residential & Commercial (0.10%) Cyrela Brazil Realty SA (b) 32,500 300,664 Haseko Corp (b) 84,000 323,666 Kaufman & Broad SA 2,902 189,117 Persimmon PLC 42,710 1,163,033 Sunland Group Ltd 53,026 157,297 -------------------- 2,133,777 -------------------- Building & Construction - Miscellaneous (0.72%) Abengoa SA 8,196 318,867 Bouygues SA 90,117 6,090,018 Cosco International Holdings Ltd 374,000 142,749 Galliford Try PLC 39,632 120,497 JM AB 102,508 2,750,774 Kolon Engineering & Construction Co Ltd 11,820 170,113 Leighton Holdings Ltd 226,419 3,868,156 Morgan Sindall PLC 12,774 311,959 Murray & Roberts Holdings Ltd 165,500 1,082,785 -------------------- 14,855,918 -------------------- Building & Construction Products - Miscellaneous (0.82%) Geberit AG 3,844 6,493,985 JS Group Corp 226,099 5,161,607 Kingspan Group PLC 178,330 4,502,121 Nichias Corp 29,000 226,367 Rockwool International AS 1,114 204,464 Sika AG 222 374,864 -------------------- 16,963,408 -------------------- Building Products - Air & Heating (0.00%) Belimo Holding AG 38 36,208 -------------------- Building Products - Cement & Aggregate (1.20%) Buzzi Unicem SpA 15,882 449,602 Cementir SpA 11,899 120,347 Cemex SAB de CV (b) 865,758 3,072,687 Ciments Francais SA 1,885 414,712 Grasim Industries Ltd (b) 14,579 930,234 Hanson PLC 26,555 404,080 Holcim Ltd 89,392 8,855,461 Italmobiliare SpA 1,130 120,843 Lafarge SA 68,201 10,444,597 -------------------- 24,812,563 -------------------- Capacitors (0.37%) Mitsumi Electric Co Ltd 326,509 7,710,894 -------------------- Casino Hotels (0.05%) Genting Bhd 93,798 1,018,233 -------------------- Cellular Telecommunications (2.28%) America Movil SA de CV ADR 51,835 2,299,401 China Mobile Ltd 1,500,823 13,763,463 Cosmote Mobile Telecommunications SA 113,388 3,496,592 Cellular Telecommunications Mobile Telesystems OJSC ADR (c) 33,402 1,809,052 Okinawa Cellular Telephone Co 18 50,862 Partner Communications 18,900 233,622 SK Telecom Co Ltd 4,563 969,304 Turkcell Iletisim Hizmet AS 1 5 Vodafone Group PLC 8,392,190 24,402,610 -------------------- 47,024,911 -------------------- Chemicals - Diversified (1.49%) Bayer AG 201,133 11,820,250 C Uyemura & Co Ltd 716 46,515 Fujimi Inc 4,500 123,053 Israel Chemicals Ltd 32 198 Koninklijke DSM NV 10,466 518,901 Lanxess AG 15,470 800,065 Mitsubishi Gas Chemical Co Inc 711,466 7,575,686 Nan Ya Plastics Corp 834,340 1,375,912 Shin-Etsu Chemical Co Ltd 113,600 7,380,046 Sumitomo Seika Chemicals Co Ltd 9,012 52,722 Tokuyama Corp 30,000 481,024 Wacker Chemie AG (b) 4,128 665,268 -------------------- 30,839,640 -------------------- Chemicals - Fibers (0.01%) Han Kuk Carbon Co Ltd 14,780 99,842 -------------------- Chemicals - Other (0.03%) H&R WASAG AG 5,336 261,914 Kingboard Chemical Holdings Ltd 107,500 442,665 -------------------- 704,579 -------------------- Chemicals - Specialty (0.35%) Umicore 41,606 7,299,013 -------------------- Circuit Boards (0.35%) Ibiden Co Ltd 144,000 7,147,497 -------------------- Commercial Banks (16.33%) Aichi Bank Ltd/The 300 34,330 Allied Irish Banks PLC 375,934 10,843,166 Alpha Bank AE 315,877 10,160,762 Australia & New Zealand Banking Group Ltd 622,420 14,070,003 Banca CR Firenze 69,758 252,756 Banca Popolare di Milano SCRL 20,577 343,822 Banco Bilbao Vizcaya Argentaria SA 552,719 13,723,424 Banco di Desio e della Brianza SpA 9,937 120,967 Banco do Brasil SA 29,528 966,171 Banco Espirito Santo SA 292,888 5,622,991 Banco Popolare di Verona e Novara Scrl (c) 286,384 9,003,040 Banco Santander Central Hispano SA 1,365,112 25,958,924 Banco Santander Chile SA ADR 23,344 1,154,594 Banif SGPS SA 4,992 35,395 Bank Leumi Le-Israel BM 68 267 Bank Millennium SA 276,030 1,013,715 Bank of Communications Co Ltd 1,294,000 1,397,163 Bank of East Asia Ltd 725,400 4,167,017 Bank of Ireland 344,617 7,712,055 Bank of Iwate Ltd/The 1,181 65,763 Bank of Nagoya Ltd/The 23,731 146,500 Bank Rakyat Indonesia 3,460,000 2,015,165 Commercial Banks Barclays PLC 1,373,330 19,966,682 BNP Paribas 61,558 6,863,847 Bumiputra-Commerce Holdings Bhd 437,200 1,149,047 Canadian Western Bank 10,300 220,039 China Construction Bank, Class H 2,332,000 1,373,952 China Merchants Bank Co Ltd (b) 107,000 230,787 Daegu Bank 25,666 422,542 Dah Sing Banking Group Ltd 32,800 80,660 Daito Bank Ltd/The 16,763 26,253 DBS Group Holdings Ltd 496,000 7,105,554 Deutsche Bank AG 98,290 13,877,818 Deutsche Postbank AG 13,452 1,157,337 DNB NOR ASA 478,600 7,186,382 FirstRand Ltd 514,526 1,638,618 Fortis 12,762 536,095 Fortis 247,580 10,396,908 HBOS PLC 700,612 15,292,937 Higashi-Nippon Bank Ltd/The 7,213 35,742 HSBC Holdings PLC 588,502 10,695,201 Industrial and Commercial Bank of China 131,304 282,871 Intesa Sanpaolo SpA 1 4 Julius Baer Holding AG 6,975 836,226 Kagoshima Bank Ltd/The 8,902 65,209 KBC Groep NV 87,556 11,040,786 Keiyo Bank Ltd/The 44,520 269,673 Kookmin Bank 22,949 1,825,683 Landesbank Berlin Holding AG (b) 3,944 36,960 Mitsubishi UFJ Financial Group Inc 427 5,165,893 Mizrahi Tefahot Bank Ltd 99,910 682,705 Mizuho Financial Group Inc 1,500 10,813,722 Musashino Bank Ltd/The 3,301 164,393 National Australia Bank Ltd 323,059 10,140,202 Oita Bank Ltd/The 10,070 71,011 Oversea-Chinese Banking Corp 1,296,000 6,666,927 Powszechna Kasa Oszczednosci Bank Polaki SA 48,758 805,783 PT Bank Central Asia Tbk 1,628,500 912,676 Raiffeisen International Bank Holding AS 10,103 1,542,345 Ringkjoebing Landbobank A/S 232 47,853 Royal Bank of Canada (b)(c) 339,600 15,756,424 San-In Godo Bank Ltd/The 6,936 64,141 Sberbank 833 2,732,240 Shizuoka Bank Ltd/The 384,000 3,987,007 Societe Generale 87,370 15,429,958 Solomon Mutual Savings Bank 4,346 75,241 Sparebanken Midt-Norge 6,485 86,255 State Bank of India Ltd (a) 1,364 88,660 Sumitomo Mitsui Financial Group Inc 1,199 12,220,525 Sumitomo Trust & Banking Co Ltd/The 979,000 10,473,061 Swedbank AB 289,200 10,923,100 Sydbank A/S 17,850 912,656 Tokushima Bank Ltd/The 5,625 35,751 Tokyo Tomin Bank Ltd/The 1,800 69,954 UniCredito Italiano SpA 570,190 5,276,441 Vontobel Holding AG 5,062 253,375 Wing Hang Bank Ltd 23,828 300,614 -------------------- 337,120,716 -------------------- Commercial Services (0.05%) Aggreko Plc 100,912 879,793 Commercial Services Daiseki Co Ltd 1,842 44,951 ITE Group PLC 17,484 53,244 -------------------- 977,988 -------------------- Computer Data Security (0.01%) Protect Data AB 3,800 102,245 -------------------- Computer Services (0.08%) Alten (b) 6,782 266,330 Anite Group PLC 33,441 52,562 Indra Sistemas SA 19,448 475,269 NEC Fielding Ltd 9,200 121,213 Sonda SA (b) 604,703 810,181 -------------------- 1,725,555 -------------------- Computers (0.02%) Wincor Nixdorf AG 2,630 417,166 -------------------- Computers - Integrated Systems (0.01%) Information Services International-Dentsa Ltd 4,808 63,188 Ingenico 3,303 79,556 NS Solutions Corp 3,400 95,790 -------------------- 238,534 -------------------- Computers - Peripheral Equipment (0.02%) Logitech International SA (b) 15,959 455,550 -------------------- Consulting Services (0.03%) Groupe Steria SCA 1,402 86,267 Poyry Oyj 4,125 71,021 Savills PLC 36,494 451,712 -------------------- 609,000 -------------------- Containers - Paper & Plastic (0.00%) FP Corp 839 31,355 -------------------- Cosmetics & Toiletries (0.03%) La Parler Co Ltd 31 63,192 LG Household & Health Care Ltd 2,736 329,831 Pigeon Corp 7,900 136,162 -------------------- 529,185 -------------------- Data Processing & Management (0.01%) Tran Cosmos Inc 6,500 143,541 -------------------- Direct Marketing (0.01%) Moshi Moshi Hotline Inc 3,337 132,728 -------------------- Distribution & Wholesale (0.70%) Diploma Plc 2,441 41,628 Dodwell BMS Ltd 12,956 85,887 Esprit Holdings Ltd 686,000 6,954,409 IMS-Intl Metal Service 2,262 71,081 Inabata & Co Ltd 8,556 66,361 Inchcape Plc 657,730 6,836,009 MARR SpA 5,516 52,015 Matsuda Sangyo Co Ltd 5,104 102,985 Sinanen Co Ltd 5,000 26,723 Tat Hong Holdings Ltd 80,000 67,201 Distribution & Wholesale Trusco Nakayama Corp 7,200 139,907 -------------------- 14,444,206 -------------------- Diversified Financial Services (0.40%) Acta Holding ASA 65,167 362,372 Cathay Financial Holding Co Ltd 256,402 568,450 Challenger Financial Services Group Ltd 77,210 262,613 First Financial Holding Co Ltd 396,000 288,639 Indiabulls Financial Serviced Ltd (a)(b)(d) 22,193 170,184 Indiabulls Financial Services Ltd 53,989 447,504 Investec Ltd 125,979 1,500,340 Mega Financial Holding Co Ltd 1,772,000 1,186,643 Shin Kong Financial Holding Co Ltd 541,446 542,646 Shinhan Financial Group Co Ltd 25,219 1,317,870 Woori Finance Holdings Co Ltd 70,880 1,656,251 -------------------- 8,303,512 -------------------- Diversified Manufacturing Operations (0.46%) Aalberts Industries NV 2,511 231,873 Charter PLC (b) 537,723 8,980,010 Senior PLC 38,895 56,549 SKC Co Ltd 13,340 257,165 -------------------- 9,525,597 -------------------- Diversified Minerals (2.28%) Anglo American PLC 115,475 5,363,333 Antofagasta PLC 122,397 1,118,209 BHP Billiton PLC 717,215 13,358,478 Independence Group NL 16,960 58,608 Ludin Mining Corp (b) 11,670 400,338 Mincor Resources NL 93,862 211,376 Nittetsu Mining Co Ltd 26,955 207,277 Paladin Resources Ltd (b)(c) 941,157 6,336,503 Tek Cominco Limited (b) 88,198 6,502,429 Xstrata PLC 289,377 13,485,839 -------------------- 47,042,390 -------------------- Diversified Operations (0.64%) Altri SGPS SA 21,687 155,462 Barloworld Ltd 35,720 919,956 Bergman & Beving AB 3,599 105,382 Bidvest Group Ltd (b) 67,684 1,265,209 Citic Pacific Ltd 257,000 900,276 Grupo Carso SA de CV 279,100 1,019,733 GS Holdings Corp 23,030 760,736 Haci Omer Sabanchi Holding (b) 3 3 Hunting Plc 29,276 337,349 Kardan NV (b) 2,998 40,833 KOC Holding AS (b) 280,928 1,198,413 Wharf Holdings Ltd 1,740,000 6,418,403 -------------------- 13,121,755 -------------------- Electric - Distribution (0.70%) DUET Group 18,971 46,700 National Grid PLC 949,463 14,326,449 SP AusNet 134,708 146,973 -------------------- 14,520,122 -------------------- Electric - Generation (0.14%) CEZ 7,728 329,802 China Power International Development Ltd 1,814,000 982,795 China Resources Power Holdings Co 612,000 959,440 Electric - Generation Glow Energy PCL (a) 721,171 690,041 -------------------- 2,962,078 -------------------- Electric - Integrated (2.88%) ASM SPA 42,560 238,663 BKW FMB Energie AG 533 61,715 CLP Holdings Ltd 739,000 5,518,210 Companhia Energetica de Minas Gerais - CEMIG (b) 90,641,858 1,102,698 E.ON AG 149,669 20,299,193 Fortis Inc 126,401 2,888,276 Hokkaido Electric Power Co Inc 211,000 5,315,214 International Power PLC 1,508,278 10,675,413 Korea Electric Power Corp 20,320 915,101 MVV Energie AG 1,224 43,153 RWE AG 100,100 10,458,151 Terna Participacoes SA (b) 62,434 676,059 Unified Energy System ADR (c) 9,100 1,064,700 Union Fenosa SA 5,377 267,851 -------------------- 59,524,397 -------------------- Electric - Transmission (0.04%) Red Electrica de Espana 12,218 491,587 Terna Rete Elettrica Nazionale SpA 119,126 413,389 -------------------- 904,976 -------------------- Electric Products - Miscellaneous (0.29%) Casio Computer Co Ltd 247,200 5,110,739 LG Electronics Inc 16,962 940,432 Solar Holdings A/S 220 28,150 -------------------- 6,079,321 -------------------- Electronic Components - Miscellaneous (0.19%) AAC Acoustic Technology Holdings Inc (b) 306,000 286,891 Chemring Group PLC 9,862 326,486 HON HAI Precision Industry Co Ltd 395,194 2,700,478 Nihon Dempa Kogyo Co Ltd 3,500 156,903 Nissin Electric Co Ltd 13,000 54,077 Star Micronics Co Ltd 17,615 367,101 Tecnocom, Telecomunicaciones y Energia SA (b) 1,714 32,392 -------------------- 3,924,328 -------------------- Electronic Components - Semiconductors (0.38%) Hynix Semiconductor Inc (b) 37,036 1,229,288 MediaTek Inc 72,740 793,077 Nihon Aim Co Ltd 40 62,976 Samsung Electronics Co Ltd 8,093 4,977,002 Sonix Technology Co Ltd 369,000 850,582 -------------------- 7,912,925 -------------------- Electronic Connectors (0.00%) Iriso Electronics Co Ltd 400 13,954 -------------------- Electronic Measurement Instruments (0.29%) A&D Co Ltd 1,000 22,083 ESPEC Corp 2,900 36,526 Halma PLC 1,275,036 5,893,203 Micronics Japan Co Ltd 2,000 73,086 Sartorius AG 665 31,462 -------------------- 6,056,360 -------------------- Electronic Parts Distribution (0.00%) Marubun Corp 2,200 29,533 -------------------- Electronic Security Devices (0.01%) Kaba Holding AG (b) 366 114,628 -------------------- Engineering - Research & Development Services (1.07%) ABB Ltd 919,485 16,265,565 Arcadis NV 4,213 266,315 Bradken Ltd 33,945 230,122 Keller Group PLC 16,570 289,742 Linde AG 4,825 516,993 Shinko Plantech Co Ltd 10,000 94,382 WorleyParsons Ltd 257,376 4,299,094 WSP Group PLC 4,265 50,864 -------------------- 22,013,077 -------------------- Enterprise Software & Services (0.25%) Axon Group Plc 3,794 49,123 Nomura Research Institute Ltd 31,700 4,938,349 Software AG 2,435 186,612 -------------------- 5,174,084 -------------------- Entertainment Software (0.25%) Capcom Co Ltd (c) 273,517 5,167,540 SCI Entertainment Group Plc (b) 8,163 80,751 -------------------- 5,248,291 -------------------- E-Services - Consulting (0.01%) Ementor ASA (b) 42,398 289,436 -------------------- Feminine Health Care Products (0.02%) Hengan International Group Co Ltd 138,298 377,295 -------------------- Filtration & Separation Products (0.04%) Alfa Laval AB 18,881 885,648 -------------------- Finance - Credit Card (0.02%) LG Card Co Ltd 5,196 339,409 -------------------- Finance - Investment Banker & Broker (1.94%) Babcock & Brown Ltd 34,875 704,135 Credit Suisse Group 287,679 20,321,312 Macquarie Bank Ltd (c) 108,717 6,837,499 Takagi Securities Co Ltd 20,273 89,371 UBS AG 191,829 12,000,399 -------------------- 39,952,716 -------------------- Finance - Leasing Company (0.75%) Banca Italease SpA 14,013 973,467 ORIX Corp 50,498 14,478,214 -------------------- 15,451,681 -------------------- Finance - Other Services (1.52%) Datamonitor PLC 6,429 72,061 Deutsche Boerse AG 72,166 15,180,961 Grupo Financiero Banorte SA de CV 444,300 1,767,880 Intermediate Capital Group PLC 10,216 373,330 Man Group Plc 1,338,627 14,064,026 -------------------- 31,458,258 -------------------- Fisheries (0.02%) Nippon Suisan Kaisha Ltd 78,400 461,253 -------------------- Food - Catering (0.02%) Sodexho Alliance SA 6,988 487,725 -------------------- Food - Dairy Products (0.61%) Meiji Dairies Corp 894,118 6,838,506 Morinaga Milk Industry Co Ltd 11,000 48,218 Robert Wiseman Dairies Plc 8,708 94,740 Vivartia SA 3,546 67,484 Wimm-Bill-Dann Foods OJSC ADR 22,956 1,493,517 Yakult Honsha Co Ltd 143,800 4,110,955 -------------------- 12,653,420 -------------------- Food - Meat Products (0.01%) Hk-Ruokatalo Oyj 5,441 107,153 -------------------- Food - Miscellaneous/Diversified (1.93%) Bonduelle S.C.A. 1,084 139,447 Groupe Danone 93,454 14,397,215 Iaws Group Plc 22,802 546,832 J-Oil Mills Inc 17,000 70,293 Nestle SA 64,578 23,691,322 Tiger Brands Ltd 32,257 769,577 Viscofan SA 8,670 167,354 -------------------- 39,782,040 -------------------- Food - Retail (0.42%) BIM Birlesik Magazalar AS 11,682 693,528 Colruyt SA 2,167 461,785 Hakon Invest AB 2,600 61,540 Metro Inc 9,000 289,166 Shoprite Holdings Ltd 311,962 1,149,015 Super-Sol Ltd (b) 49,800 195,156 WM Morrison Supermarkets PLC 1,042,679 5,787,198 -------------------- 8,637,388 -------------------- Food - Wholesale & Distribution (0.02%) Olam International Ltd 90,000 115,452 Sligro Food Group NV 3,482 237,806 -------------------- 353,258 -------------------- Footwear & Related Apparel (0.02%) Geox SpA 8,837 142,014 Prime Success International Group 238,292 265,530 -------------------- 407,544 -------------------- Gas - Distribution (0.48%) Centrica PLC 1,176,610 8,576,414 Enagas 11,801 258,707 Korea Gas Corp 26,680 1,055,581 -------------------- 9,890,702 -------------------- Gold Mining (0.02%) Banro Corp (b) 5,400 65,389 Inmet Mining Corp 6,733 348,379 -------------------- 413,768 -------------------- Home Decoration Products (0.01%) Hunter Douglas NV 2,733 224,589 -------------------- Hotels & Motels (0.05%) Italjolly-Compagina Italiana dei Jolly Hotels SpA (b) 1,840 59,451 Millennium & Copthorne Hotels PLC 29,214 364,759 Hotels & Motels Sol Melia SA 24,670 529,573 -------------------- 953,783 -------------------- Human Resources (0.30%) Michael Page International Plc 648,124 6,080,380 Robert Walters Plc 22,858 152,917 Tempstaff Co Ltd 13 17,774 -------------------- 6,251,071 -------------------- Import & Export (1.01%) Itochu Corp 850,000 7,423,766 Sumitomo Corp 862,300 13,376,082 -------------------- 20,799,848 -------------------- Independent Power Producer (0.00%) YTL Power International 21,726 13,716 -------------------- Industrial Audio & Video Products (0.01%) EVS Broadcast Equipment SA 1,959 113,621 -------------------- Industrial Gases (0.02%) Air Liquide 1 140 Air Water Inc 8,000 87,173 Taiyo Nippon Sanso Corp 25,000 227,875 -------------------- 315,188 -------------------- Instruments - Controls (0.02%) Rotork Plc 24,440 400,227 -------------------- Internet Content - Information & News (0.01%) Iress Market Technology Ltd 24,706 141,012 Seek Ltd 17,945 87,513 -------------------- 228,525 -------------------- Internet Gambling (0.02%) IG Group Holdings PLC 89,305 480,757 -------------------- Investment Companies (0.01%) ABG Sundal Collier ASA 41,114 92,239 Arques Industries AG 3,177 74,493 Bure Equity AB (b) 67,046 34,150 -------------------- 200,882 -------------------- Investment Management & Advisory Services (0.08%) Addenda Capital Inc 1,657 35,131 Allco Finance Group Ltd 35,830 349,466 Kenedix Inc 131 628,513 MFS Ltd 73,139 315,218 Risa Partners Inc 32 158,303 Secured Capital Japan Co Ltd 30 80,544 Simplex Investment Advisors Inc (b) 92 103,679 -------------------- 1,670,854 -------------------- Leisure & Recreation Products (0.00%) Beneteau SA 627 70,280 -------------------- Life & Health Insurance (0.64%) Aviva PLC 630,428 10,168,993 China Life Insurance Co Ltd 481,000 1,404,640 Sanlam Ltd 509,939 1,316,860 Swiss Life Holding (b) 1,639 412,501 -------------------- 13,302,994 -------------------- Lighting Products & Systems (0.01%) Zumtobel AG (b) 4,139 134,757 -------------------- Lottery Services (0.01%) Intralot SA-Integrated Lottery Systems 8,279 278,610 -------------------- Machinery - Construction & Mining (0.76%) Aichi Corp 16,246 159,256 Danieli & Co SpA 4,808 94,938 Duro Felguera SA 18,062 191,155 Hitachi Construction Machinery Co Ltd 155,600 4,370,932 Komatsu Ltd 499,500 10,554,566 Palfinger AG 536 78,592 Takeuchi Manufacturing Co Ltd 6,200 297,464 -------------------- 15,746,903 -------------------- Machinery - Electrical (0.06%) Disco Corp 5,083 319,688 KCI Konecranes Oyj 25,501 822,281 -------------------- 1,141,969 -------------------- Machinery - General Industry (1.60%) Deutz AG (b) 5,726 88,064 Frigoglass SA 3,803 83,668 Haulotte Group 16,043 492,633 Industrias CH SA (b) 265,414 1,155,474 Laperriere & Verreault Group (b) 1,636 46,294 MAN AG 147,525 15,497,576 Metso Oyj 118,253 6,263,671 Miyachi Corp 5,100 96,565 MMI Holding Ltd 348,118 303,756 Sintokogio Ltd 16,179 225,364 Sumitomo Heavy Industries Ltd 843,000 8,759,712 -------------------- 33,012,777 -------------------- Machinery - Material Handling (0.01%) Fuji Machine Manufacturing Co Ltd 10,833 209,156 -------------------- Machinery Tools & Related Products (0.27%) Gildemeister AG 11,528 154,458 Mori Seiki Co Ltd 249,300 5,453,696 Schweiter Technologies AG 82 28,665 -------------------- 5,636,819 -------------------- Medical - Biomedical/Gene (0.00%) Arpida Ltd (b) 3,198 82,287 -------------------- Medical - Drugs (5.00%) Actelion Ltd (b) 30,982 7,535,927 Astellas Pharma Inc 167,500 7,120,277 AstraZeneca PLC 290,178 16,191,314 Daewoong Pharmaceutical Co Ltd 3,332 190,754 Dr Reddy's Laboratories Ltd ADR (c) 40,629 685,411 Eisai Co Ltd 127,600 6,544,945 GlaxoSmithKline PLC 345,864 9,275,499 Kyorin Co Ltd 15,000 196,014 Nippon Shinyaku Co Ltd 10,166 84,155 Novartis AG 139,911 8,049,397 Oriola-KD OYJ 12,352 52,644 Roche Holding AG 134,193 25,216,825 Sanofi-Aventis 34,510 3,033,821 Medical - Drugs Santen Pharmaceutical Co Ltd 5,100 143,686 Shire PLC 312,606 6,559,456 Takeda Pharmaceutical Co Ltd 187,600 12,234,107 -------------------- 103,114,232 -------------------- Medical - Generic Drugs (0.09%) Sawai Pharmaceutical Co Ltd 8,436 355,811 Teva Pharmaceutical Industries Ltd ADR (c) 38,496 1,351,209 Towa Pharmaceutical Co Ltd 2,030 63,921 -------------------- 1,770,941 -------------------- Medical - HMO (0.05%) Odontoprev SA (b) 57,698 1,064,834 -------------------- Medical - Hospitals (0.03%) Healthscope Ltd 110,424 527,360 -------------------- Medical - Nursing Homes (0.01%) Orpea (b) 2,392 211,375 -------------------- Medical - Wholesale Drug Distribution (0.02%) Meda AB 11,693 427,344 Meda AB (b) 6,800 10,469 -------------------- 437,813 -------------------- Medical Information Systems (0.01%) IBA Health Ltd 123,193 147,325 -------------------- Medical Instruments (0.01%) Nihon Kohden Corp 8,998 191,994 -------------------- Medical Laboratory & Testing Service (0.00%) BML Inc 3,261 65,123 -------------------- Medical Products (0.43%) Bespak Plc 1,801 25,795 Phonak Holding AG 115,258 8,920,181 -------------------- 8,945,976 -------------------- Metal - Aluminum (0.01%) Aluminium of Greece S.A.I.C. 8,431 188,564 -------------------- Metal - Diversified (0.98%) Anvil Mining Ltd (b) 6,227 62,969 Hindustan Zinc Ltd 49,775 797,085 Kagara Zinc Ltd 41,980 178,645 LionOre Mining International Ltd (b) 60,367 702,777 MMC Norilsk Nickel ADR 12,772 2,158,468 Pacific Metals Co Ltd 38,000 436,742 Perilya Ltd 48,709 196,311 Rio Tinto Ltd (c) 117,791 7,006,632 Rio Tinto PLC 47,505 2,534,011 Sally Malay Mining Ltd (b) 49,793 121,413 Zinifex Ltd 467,087 5,948,536 -------------------- 20,143,589 -------------------- Metal - Iron (0.03%) Novolipetsk Steel 14,750 363,735 Novolipetsk Steel (a)(b)(c) 10,268 253,209 -------------------- 616,944 -------------------- Metal Processors & Fabrication (0.40%) Ahresty Corp 2,200 65,264 Catcher Technology Co Ltd 165,289 1,772,011 NSK Ltd 611,000 5,594,589 NTN Corp 43,176 390,688 Ryobi Ltd 28,596 242,170 Taewoong Co Ltd 1,363 41,693 TK Corp 3,947 49,049 Tocalo Co Ltd 3,100 95,559 -------------------- 8,251,023 -------------------- Metal Products - Distribution (0.01%) Daiichi Jitsugyo Co Ltd 8,338 41,939 Furusato Industries Ltd 3,329 49,764 Sato Shoji Corp 3,891 37,917 Yamazen Corp 8,461 55,528 -------------------- 185,148 -------------------- Metal Products - Fasteners (0.00%) Oiles Corp 3,502 86,476 -------------------- Miscellaneous Manufacturers (0.02%) Mecalux SA 4,578 225,305 Nippon Pillar Packing Co Ltd 11,573 125,435 Peace Mark Holdings Ltd 180,000 150,777 -------------------- 501,517 -------------------- Mortgage Banks (0.04%) Aareal Bank AG 2,415 115,360 Bradford & Bingley PLC 89,000 799,545 -------------------- 914,905 -------------------- Motion Pictures & Services (0.00%) Bandai Visual Co Ltd 7 18,619 -------------------- Multi-Line Insurance (2.89%) Aegon NV 2 47 Allianz SE 81,163 16,186,055 Alm. Brand Skadesforsikring A/S (b) 2,675 201,065 AXA SA 405,813 17,105,236 Fondiaria-Sai SpA 12,403 561,429 Grupo Catalana Occidente SA 6,177 243,135 Helvetia Holding AG 501 195,380 ING Groep NV 313,002 13,686,826 Porto Seguro SA 39,849 1,305,756 Zurich Financial Services AG 37,522 10,092,155 -------------------- 59,577,084 -------------------- Multimedia (0.96%) Corus Entertainment - B Shares (b) 6,237 259,698 Informa PLC 369,764 4,057,393 Vivendi 375,273 15,446,232 -------------------- 19,763,323 -------------------- Non-Ferrous Metals (0.13%) Denison Mines Corp (b) 26,000 252,974 Energy Metals Corp (b) 6,322 56,354 Energy Resources of Australia Ltd 10,666 172,197 Grupo Mexico SAB de CV 47,100 193,790 Hudbay Minerals (b) 31,537 584,217 International Nickel Indonesia Tbk PT 67,500 244,780 Korea Zinc Co Ltd 2,276 201,855 Non-Ferrous Metals Poongsan Corp 44,561 901,633 -------------------- 2,607,800 -------------------- Office Automation & Equipment (1.12%) Canon Inc 320,864 16,883,381 Neopost SA 47,761 6,144,035 -------------------- 23,027,416 -------------------- Oil - Field Services (0.53%) CCS Income Trust 4,804 152,636 Expro International Group 16,778 302,609 Fugro NV 135,384 6,429,968 Petrofac Ltd 529,553 3,987,410 -------------------- 10,872,623 -------------------- Oil & Gas Drilling (0.00%) Petrolia Drilling ASA (b) 46,000 25,137 -------------------- Oil Company - Exploration & Production (0.96%) Avenir Diversified Income Trust 12,401 75,241 Bonterra Energy Income Trust 1,304 26,561 Dana Petroleum Plc (b) 195,522 3,918,276 EnCana (b) 177,398 8,509,617 Mission Oil & Gas Inc (b) 14,858 155,802 Oao Gazprom (a)(b)(e) 7,168 775,040 Oao Gazprom (b) 139,861 6,048,988 Oilexco Inc (b) 32,327 226,630 Rally Energy Corp (b) 17,275 66,058 -------------------- 19,802,213 -------------------- Oil Company - Integrated (5.31%) BG Group PLC 665,840 8,745,217 BP PLC 1,518,800 15,949,519 China Petroleum & Chemical Corp 2,846,768 2,380,951 ENI SpA 602,413 19,393,419 Husky Energy Inc 78,100 5,008,674 LUKOIL ADR 51,973 4,209,813 PetroChina Co Ltd 3,201,587 3,924,302 Petroleo Brasileiro SA ADR (c) 47,747 4,692,575 Royal Dutch Shell PLC - A Shares 466,155 15,697,860 Royal Dutch Shell PLC - B Shares 313,935 10,522,479 Sasol Ltd 31,382 1,066,562 Total SA 266,923 18,020,999 -------------------- 109,612,370 -------------------- Oil Field Machinery & Equipment (0.01%) Schoeller-Bleckmann Oilfield Equipment 2,529 121,300 -------------------- Oil Refining & Marketing (0.13%) Fuchs Petrolub AG 2,083 155,020 Parkland Income Fund 1,024 30,331 SK Corp 11,417 871,888 Thai Oil Public (a)(b) 511,619 846,564 Tupras Turkiye Petrol Rafinerileri AS 45,165 802,790 -------------------- 2,706,593 -------------------- Optical Supplies (0.05%) Cie Generale d'Optique Essilor International SA 8,903 998,505 -------------------- Paper & Related Products (0.03%) Cascades Inc 2,600 32,810 Portucel-Empresa Produtora de Pasta e Papel SA 39,466 134,768 Paper & Related Products Votorantim Celulose e Papel SA ADR (b) 26,000 469,300 -------------------- 636,878 -------------------- Petrochemicals (0.08%) Formosa Chemicals & Fibre Corp 538,000 960,743 Honam Petrochemical Corp 1,099 88,831 LG Petrochemical Co Ltd 20,190 632,613 -------------------- 1,682,187 -------------------- Pharmacy Services (0.05%) Profarma Distribuidora de Produtos Farmacenticos SA (b) 57,536 1,002,251 -------------------- Photo Equipment & Supplies (0.29%) Olympus Corp 184,000 5,885,317 -------------------- Pipelines (0.33%) AltaGas Income Trust 4,638 101,446 Pembina Pipeline Income Fund 6,730 91,960 TransCanada Corp (b) 87,300 2,895,411 TransCanada Corp 109,400 3,630,986 -------------------- 6,719,803 -------------------- Platinum (0.16%) Anglo Platinum Ltd 14,068 1,768,727 Impala Platinum Holdings Ltd 49,063 1,410,001 Platmin Ltd (b) 10,300 60,392 -------------------- 3,239,120 -------------------- Power Converter & Supply Equipment (0.04%) Delta Electronics Inc 243,900 796,284 -------------------- Printing - Commercial (0.03%) De La Rue Plc 49,011 632,642 -------------------- Property & Casualty Insurance (1.34%) Admiral Group PLC 218,188 4,374,649 Beazley Group PLC 116,902 334,183 Chaucer Holdings PLC 52,454 97,904 Dongbu Insurance Co Ltd 43,510 1,141,473 FBD Holdings Plc 2,394 123,561 Hiscox Ltd 42,584 212,510 LIG Non-Life Insurance Co Ltd 30,700 494,004 Millea Holdings Inc 212,600 7,592,857 QBE Insurance Group Ltd 551,407 13,188,380 -------------------- 27,559,521 -------------------- Public Thoroughfares (0.01%) Road King Infrastructure 135,000 210,604 -------------------- Publishing - Books (0.01%) KADOKAWA GROUP HOLDINGS INC 3,624 117,116 -------------------- Publishing - Periodicals (0.04%) United Business Media PLC 36,673 507,246 Woongjin Thinkbig Co Ltd 19,600 333,085 -------------------- 840,331 -------------------- Real Estate Magagement & Services (0.57%) Aedes SPA 8,315 70,985 Ardepro Co Ltd 1,005 340,191 Arnest One Corp 9,131 125,525 Real Estate Magagement & Services Atrium Co Ltd 5,067 162,490 Beni Stabili SpA 328,139 538,879 DTZ Holdings PLC 9,488 130,395 IMMOFINANZ AG (b) 398,757 6,054,766 IVG Immobilien AG 17,342 783,639 Nexity 34,936 2,923,286 Orco Property Group 798 120,545 Pierre & Vacances 869 106,353 Sumitomo Real Estate Sales Co Ltd 2,358 176,635 TOSEI CORP 111 127,851 -------------------- 11,661,540 -------------------- Real Estate Operator & Developer (2.57%) Brookfield Asset Management Inc (b) 301,059 14,707,581 Derwent Valley Holdings PLC 5,824 222,671 FKP Property Group 15,995 87,195 Ho Bee Investment Ltd 169,000 166,172 Huaku Construction Corp 429,000 831,239 Huang Hsiang Construction Co 619,930 1,297,208 Intershop Holdings 136 35,541 Joint Corp 141,678 5,189,068 Kowloon Development Co Ltd - Rights (b) 24,000 1,629 Kowloon Development Co Ltd 5,000 9,388 Mitsui Fudosan Co Ltd 455,000 11,801,044 Neo-China Group Holdings Ltd 140,000 21,338 Nihon Eslead Corp 700 20,476 Norwegian Property ASA (b) 4,397 49,500 Riofisa SA (b) 2,783 158,184 Rodobens Negocios Imobiliarios SA (b) 52,422 553,824 Shanghai Real Estate Ltd 152,000 39,326 Shenzhen Investment Ltd 3,624,000 1,476,048 Shoei Co Ltd 5,400 148,558 Sistema-Hals (a)(b) 107,750 1,373,813 Sumitomo Realty & Development Co Ltd 282,000 9,791,018 TK Development (b) 10,200 146,203 Unite Group Plc 30,877 303,322 UOL Group Ltd 1,308,000 4,343,817 Wheelock Properties S Ltd 56,000 99,186 Wing Tai Holdings Ltd 147,578 240,245 -------------------- 53,113,594 -------------------- Recycling (0.02%) Asahi Pretec Corp 19,088 414,406 -------------------- Reinsurance (0.39%) Swiss Reinsurance 97,212 8,082,435 -------------------- REITS - Apartments (0.02%) Boardwalk Real Estate Investment Trust (b) 9,400 334,687 -------------------- REITS - Diversified (0.78%) Allco Commercial Real Estate Investment 46,000 33,249 British Land Co PLC 251,116 7,740,992 Canadian Real Estate Investment Trust 8,265 228,467 Dundee Real Estate Investment Trust 8,600 291,953 Hammerson PLC 234,120 6,743,289 Rodamco Europe NV 7,201 973,273 Suntec Real Estate Investment Trust 129,000 154,561 -------------------- 16,165,784 -------------------- REITS - Office Property (0.01%) DA Office Investment Corp 17 106,215 -------------------- Rental - Auto & Equipment (0.04%) Boom Logistics Ltd 62,686 200,556 Ramirent Oyj 4,381 283,559 Sixt AG 4,021 239,295 -------------------- 723,410 -------------------- Retail - Apparel & Shoe (0.45%) Inditex SA 157,661 8,932,582 Just Group Ltd 41,720 115,335 KappAhl Holding AB 16,138 191,568 Specialty Fashion Group Ltd 1 1 -------------------- 9,239,486 -------------------- Retail - Automobile (0.04%) Lookers Plc 16,320 55,231 PT Astra International Tbk 489,500 798,799 -------------------- 854,030 -------------------- Retail - Catalog Shopping (0.03%) Belluna Co Ltd 14,550 219,070 N Brown Group PLC 59,715 360,768 -------------------- 579,838 -------------------- Retail - Consumer Electronics (0.04%) Gigas K's Denki Corp 6,557 186,365 Joshin Denki Co Ltd 26,332 170,848 Kesa Electricals PLC 81,360 542,688 -------------------- 899,901 -------------------- Retail - Convenience Store (0.20%) Alimentation Couche Tard Inc 184,200 4,054,028 -------------------- Retail - Hypermarkets (0.03%) Wumart Stores Inc (a) 632,000 556,917 -------------------- Retail - Jewelry (0.53%) Folli - Follie SA 3,567 146,446 Swatch Group AG 45,159 10,721,018 -------------------- 10,867,464 -------------------- Retail - Mail Order (0.00%) Takkt AG 1,265 22,110 -------------------- Retail - Major Department Store (0.72%) David Jones Ltd 32,455 113,917 Grupo Famsa SA (b) 68,203 308,946 Hyundai Department Store Co Ltd 12,762 1,011,200 Marks & Spencer Group PLC 962,391 12,781,962 Parkson Retail Group Ltd 126,500 712,090 -------------------- 14,928,115 -------------------- Retail - Miscellaneous/Diversified (0.10%) Dufry South America Ltd (b) 55,009 877,948 Izumi Co Ltd 9,198 351,366 Macintosh Retail Group NV 2,642 101,169 Massmart Holdings Ltd 64,422 676,957 -------------------- 2,007,440 -------------------- Retail - Office Supplies (0.00%) Bechtle AG 1,102 30,880 -------------------- Retail - Pubs (0.96%) Mitchells & Butlers PLC 480,670 6,572,878 Punch Taverns PLC 586,828 13,224,325 -------------------- 19,797,203 -------------------- Retail - Toy Store (0.01%) JUMBO SA 8,103 185,664 -------------------- Retail - Video Rental (0.01%) Geo Corp 129 264,029 -------------------- Rubber & Plastic Products (0.01%) Semperit AG Holding 989 40,604 Tokai Rubber Industries Inc 5,067 88,803 -------------------- 129,407 -------------------- Satellite Telecommunications (0.03%) Eutelsat Communications 29,600 594,122 -------------------- Schools (0.02%) MegaStudy Co Ltd 2,288 316,407 Raffles Education Corp Ltd 87,334 105,777 -------------------- 422,184 -------------------- Security Services (0.01%) Garda World Security Corp (b) 7,052 120,150 -------------------- Semiconductor Component - Integrated Circuits (0.30%) Holtek Semiconductor Inc 312,881 591,991 Powertech Technology Inc 322,000 1,339,752 Realtek Semiconductor Corp 1,176,000 1,885,771 Taiwan Semiconductor Manufacturing Co Ltd 1,207,133 2,470,944 -------------------- 6,288,458 -------------------- Shipbuilding (0.05%) Hyundai Heavy Industries 7,005 1,008,155 -------------------- Soap & Cleaning Products (0.50%) Reckitt Benckiser PLC 215,875 10,387,007 -------------------- Special Purpose Banks (0.18%) IKB Deutsche Industriebank AG 89,878 3,801,292 -------------------- Steel - Producers (1.89%) Angang Steel Co Ltd 982,000 1,536,979 Boehler-Uddeholm AG 6,006 422,945 China Steel Corp 1,137,000 1,174,052 Evraz Group SA 14,000 382,480 Evraz Group SA (a) 18,395 511,565 IPSCO (b) 61,899 6,258,279 Maanshan Iron & Steel 2,138,000 1,363,711 Mittal Steel South Africa Ltd 56,475 845,326 Nippon Steel Corp 1,789,000 10,554,922 Osaka Steel Co Ltd 5,773 114,809 POSCO ADR (c) 28,269 2,492,760 Salzgitter AG 56,897 7,252,560 Schmolz + Bickenbach AG 2,201 174,767 Tenaris SA ADR 18,381 872,546 ThyssenKrupp AG 105,504 4,961,335 -------------------- 38,919,036 -------------------- Steel - Specialty (0.04%) Gloria Material Technology Corp 375,000 564,886 Mitsubishi Steel Manufacturing Co Ltd 74,610 343,745 -------------------- 908,631 -------------------- Steel Pipe & Tube (0.05%) Confab Industrial SA (b) 41,430 117,811 TMK OAO (b) 25,626 899,473 -------------------- 1,017,284 -------------------- Storage & Warehousing (0.00%) Big Yellow Group PLC 2,877 35,328 -------------------- Sugar (0.18%) Tate & Lyle PLC 318,378 3,665,557 -------------------- Telecommunication Equipment (0.11%) COM DEV International Ltd (b) 7,637 37,315 Foxconn International Holdings Ltd (b) 457,968 1,369,643 Tandberg ASA 41,700 694,972 Vtech Holdings Ltd 26,000 160,345 -------------------- 2,262,275 -------------------- Telecommunication Services (1.01%) Digi.Com BHD 187,207 823,593 StarHub Ltd 2,761,367 4,890,876 Telekomunikasi Indonesia Tbk PT 519,000 538,961 Telenet Group Holding NV (b) 6,800 211,467 Telenor ASA 705,500 14,301,631 -------------------- 20,766,528 -------------------- Telephone - Integrated (2.11%) Belgacom SA 142,401 6,447,717 Bezeq Israeli Telecommunication Corp Ltd 321,700 513,049 BT Group PLC 2,716,048 16,328,946 Carso Global Telecom SA de CV (b) 584,200 2,218,353 Elisa OYJ 21,191 623,647 Royal KPN NV 972,522 14,006,345 Telecom Argentina SA ADR (b) 26,200 539,720 Telefonos de Mexico SA de CV ADR (c) 47,449 1,456,684 Telkom SA Ltd 65,641 1,463,516 -------------------- 43,597,977 -------------------- Television (0.35%) BEC World PCL (a)(b) 906,400 529,494 Carrere Group (b) 1,325 43,864 Endemol NV 13,823 360,326 Modern Times Group - B Shares 100,540 6,357,935 -------------------- 7,291,619 -------------------- Textile - Apparel (0.00%) Antichi Pellettieri SpA (b) 1,762 22,965 -------------------- Textile - Products (0.04%) Nishat Mills Ltd 500,000 852,203 -------------------- Tobacco (1.34%) British American Tobacco PLC 304,180 9,227,355 Japan Tobacco Inc 2,228 10,707,988 KT&G Corp 127,900 7,784,036 -------------------- 27,719,379 -------------------- Tools - Hand Held (0.37%) Hitachi Koki Co Ltd 30,856 471,227 Makita Corp 209,500 7,239,103 -------------------- 7,710,330 -------------------- Toys (0.84%) Nintendo Co Ltd 58,500 17,257,209 -------------------- Transport - Marine (0.77%) Compagnie Maritime Belge SA 2,632 118,761 Deep Sea Supply ASA (a)(b) 31,500 93,386 Deep Sea Supply Plc (b) 24,832 73,617 Ezra Holdings Ltd 20,000 60,689 Golden Ocean Group Ltd (b) 123,000 206,963 Jinhui Shipping & Transportation Ltd 31,668 158,334 Korea Line Corp 1,330 66,394 Labroy Marine Ltd 285,752 331,209 Mitsui OSK Lines Ltd 935,000 9,731,190 Pacific Basin Shipping Ltd 1,234,000 859,804 Shinwa Kaiun Kaisha Ltd 31,512 129,516 Sincere Navigation 886,000 1,202,788 Smit Internationale NV 2,598 156,879 STX Pan Ocean Co Ltd 1,833,000 1,348,759 U-Ming Marine Transport Corp 862,000 1,248,744 Wan Hai Lines Ltd 1 1 -------------------- 15,787,034 -------------------- Transport - Rail (0.60%) Canadian National Railway (b) 269,700 12,295,551 -------------------- Transport - Services (0.26%) Firstgroup Plc 424,002 4,535,917 Kintetsu World Express Inc 7,400 196,221 Stagecoach Group PLC 197,109 580,894 -------------------- 5,313,032 -------------------- Transport - Truck (0.00%) Norbert Dentressangle 288 24,699 -------------------- Venture Capital (0.00%) K1 Ventures Ltd (b) 168,000 38,289 -------------------- Vitamins & Nutrition Products (0.01%) Natraceutical SA (b) 90,067 250,039 -------------------- Water (0.26%) Kelda Group Plc 297,772 5,458,393 -------------------- Web Portals (0.08%) LG Dacom Corp 45,510 1,017,510 So-net Entertainment Corp 43 115,090 United Internet AG 28,124 520,509 -------------------- 1,653,109 -------------------- Wire & Cable Products (0.12%) Draka Holding 2,046 65,867 Hitachi Cable Ltd 53,917 298,893 LS Cable Ltd 29,838 1,055,343 Nexans SA 7,096 968,330 -------------------- 2,388,433 -------------------- TOTAL COMMON STOCKS $ 1,999,725,028 -------------------- PREFERRED STOCKS (0.86%) Commercial Banks (0.05%) Banco Bradesco SA 24,373 990,158 -------------------- Dialysis Centers (0.33%) Fresenius AG 32,044 6,767,142 -------------------- Diversified Minerals (0.18%) Cia Vale do Rio Doce 134,140 3,789,176 -------------------- Diversified Operations (0.14%) Bradespar SA (b) 106,900 2,848,586 -------------------- Electric - Integrated (0.07%) Cia Energetica de Minas Gerais 28,900,000 1,383,739 -------------------- Investment Companies (0.00%) Lereko Mobility Pty Ltd 3,348 19,934 -------------------- Steel - Producers (0.05%) Gerdau SA 60,303 1,016,383 -------------------- Television (0.04%) ProSiebenSat.1 Media AG 25,951 873,658 -------------------- TOTAL PREFERRED STOCKS $ 17,688,776 -------------------- Principal Amount Value ----------------------- -------- -------------------- SHORT TERM INVESTMENTS (2.47%) Commercial Paper (2.47%) Investment in Joint Trading Account; General Electric Capital 5.26%, 2/ 1/2007 51,059,032 51,059,032 -------------------- TOTAL SHORT TERM INVESTMENTS $ 51,059,032 -------------------- MONEY MARKET FUNDS (1.20%) Money Center Banks (1.20%) BNY Institutional Cash Reserve Fund (f) 24,848,000 24,848,000 -------------------- TOTAL MONEY MARKET FUNDS $ 24,848,000 -------------------- Total Investments $ 2,093,320,836 Liabilities in Excess of Other Assets, Net - (1.42)% (29,324,852) -------------------- TOTAL NET ASSETS - 100.00% $ 2,063,995,984 ==================== -------------------- ====================
(a) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $7,050,330 or 0.34% of net assets. (b) Non-Income Producing Security (c) Security or a portion of the security was on loan at the end of the period. (d) Security is illiquid. (e) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $775,040 or 0.04% of net assets. (f) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 276,802,228 Unrealized Depreciation (24,784,483) -------------------- Net Unrealized Appreciation (Depreciation) 252,017,745 Cost for federal income tax purposes 1,841,286,808 Portfolio Summary (unaudited) --------------------------------------------------------------------- Country Percent --------------------------------------------------------------------- Japan 18.33% United Kingdom 18.06% Switzerland 8.87% Germany 7.22% France 6.84% Canada 4.26% Australia 3.71% United States 3.68% Spain 3.65% Netherlands 3.54% Belgium 2.29% Hong Kong 2.27% Korea, Republic Of 2.02% Italy 1.88% Norway 1.59% Ireland 1.52% Taiwan, Province Of China 1.25% Singapore 1.20% Russian Federation 1.17% Brazil 1.08% Sweden 1.06% South Africa 0.82% Mexico 0.77% China 0.75% Greece 0.71% Austria 0.41% Finland 0.40% India 0.40% Portugal 0.29% Indonesia 0.26% Malaysia 0.21% Turkey 0.15% Israel 0.14% Chile 0.13% Thailand 0.12% Poland 0.09% Denmark 0.08% Bermuda 0.06% Luxembourg 0.05% Pakistan 0.04% Argentina 0.03% Czech Republic 0.02% Liabilities in Excess of Other Assets, Net (-1.42%) --------------- TOTAL NET ASSETS 100.00% ===============
Schedule of Investments January 31, 2007 (unaudited) Equity Income Fund I Shares Held Value --------------------- -------- -------------------- COMMON STOCKS (94.99%) Aerospace & Defense (1.26%) Boeing Co 399,000 $ 35,734,440 General Dynamics Corp 252,200 19,709,430 -------------------- 55,443,870 -------------------- Agricultural Chemicals (0.13%) Agrium Inc 161,800 5,611,224 -------------------- Agricultural Operations (0.92%) Archer-Daniels-Midland Co 1,272,300 40,713,600 -------------------- Airlines (0.53%) Southwest Airlines Co 1,555,800 23,492,580 -------------------- Applications Software (1.84%) Microsoft Corp 2,633,400 81,266,724 -------------------- Athletic Footwear (0.65%) Nike Inc 289,800 28,635,138 -------------------- Auto/Truck Parts & Equipment - Original (0.15%) Johnson Controls Inc 71,200 6,583,152 -------------------- Beverages - Non-Alcoholic (0.45%) Coca-Cola Co/The 412,200 19,736,136 -------------------- Beverages - Wine & Spirits (0.72%) Diageo PLC ADR 404,500 31,846,285 -------------------- Brewery (0.57%) Molson Coors Brewing Co 108,500 8,766,800 SABMiller PLC ADR 714,800 16,297,440 -------------------- 25,064,240 -------------------- Building & Construction - Miscellaneous (0.00%) AM NV (a)(b) 11,000 59,498 -------------------- Cellular Telecommunications (1.35%) Alltel Corp 504,500 30,920,805 Vodafone Group PLC ADR 972,862 28,592,414 -------------------- 59,513,219 -------------------- Chemicals - Diversified (0.39%) EI Du Pont de Nemours & Co 347,500 17,222,100 -------------------- Commercial Banks (0.24%) Barclays PLC ADR 177,200 10,453,028 -------------------- Computers (2.07%) Apple Inc (b) 350,700 30,065,511 Hewlett-Packard Co 828,300 35,848,824 International Business Machines Corp 254,900 25,273,335 -------------------- 91,187,670 -------------------- Consumer Products - Miscellaneous (0.81%) Fortune Brands Inc 188,900 15,814,708 Kimberly-Clark Corp 287,700 19,966,380 -------------------- 35,781,088 -------------------- Data Processing & Management (1.30%) Automatic Data Processing Inc 833,800 39,788,936 Fidelity National Information Services 411,357 17,490,900 -------------------- 57,279,836 -------------------- Diversified Manufacturing Operations (5.08%) 3M Co 504,100 37,454,630 Dover Corp 354,500 17,583,200 General Electric Co 1,953,300 70,416,465 Honeywell International Inc 447,200 20,432,568 ITT Corp 815,500 48,644,575 Siemens AG ADR 267,000 29,564,910 -------------------- 224,096,348 -------------------- Diversified Minerals (0.24%) Anglo American PLC ADR 451,300 10,537,855 -------------------- Electric - Integrated (2.89%) Dominion Resources Inc/VA 135,000 11,199,600 Duke Energy Corp 694,400 13,672,736 FPL Group Inc 649,200 36,777,180 Pinnacle West Capital Corp 565,400 27,585,866 Progress Energy Inc 405,900 19,296,486 Xcel Energy Inc 809,900 18,894,967 -------------------- 127,426,835 -------------------- Electric Products - Miscellaneous (0.87%) Emerson Electric Co 849,000 38,179,530 -------------------- Electronic Components - Semiconductors (1.56%) Intel Corp 661,300 13,860,848 Microchip Technology Inc 787,200 27,363,072 Samsung Electronics (b) 40,800 12,545,515 Texas Instruments Inc 478,200 14,915,058 -------------------- 68,684,493 -------------------- Electronics - Military (0.62%) L-3 Communications Holdings Inc 332,300 27,361,582 -------------------- Fiduciary Banks (1.25%) Bank of New York Co Inc/The 549,400 21,981,494 Mellon Financial Corp 778,000 33,251,720 -------------------- 55,233,214 -------------------- Finance - Credit Card (0.22%) American Express Co 168,700 9,821,714 -------------------- Finance - Investment Banker & Broker (6.00%) Citigroup Inc 650,233 35,847,345 Goldman Sachs Group Inc 277,700 58,916,832 JPMorgan Chase & Co 1,152,600 58,701,918 Lehman Brothers Holdings Inc 418,900 34,450,336 Morgan Stanley 618,500 51,205,615 UBS AG 406,100 25,588,361 -------------------- 264,710,407 -------------------- Finance - Mortgage Loan/Banker (1.50%) Countrywide Financial Corp 1,052,900 45,780,092 Finance - Mortgage Loan/Banker Freddie Mac 314,200 20,401,006 -------------------- 66,181,098 -------------------- Food - Confectionery (0.48%) WM Wrigley Jr Co 409,400 21,092,288 -------------------- Food - Miscellaneous/Diversified (0.09%) Cadbury Schweppes PLC ADR 89,900 4,076,066 -------------------- Food - Retail (0.51%) Kroger Co/The 871,000 22,297,600 -------------------- Food - Wholesale & Distribution (0.33%) Sysco Corp 424,100 14,652,655 -------------------- Forestry (0.62%) Plum Creek Timber Co Inc 285,000 11,471,250 Weyerhaeuser Co 213,500 16,012,500 -------------------- 27,483,750 -------------------- Gold Mining (0.44%) Barrick Gold Corp 651,500 19,297,430 -------------------- Hotels & Motels (0.81%) Hilton Hotels Corp 1,014,100 35,888,999 -------------------- Insurance Brokers (0.28%) Marsh & McLennan Cos Inc 419,200 12,366,400 -------------------- Investment Management & Advisory Services (3.30%) AllianceBernstein Holding LP 150,400 13,549,536 Ameriprise Financial Inc 181,800 10,718,928 Franklin Resources Inc 521,400 62,103,954 Legg Mason Inc 272,700 28,592,595 T Rowe Price Group Inc 640,100 30,718,399 -------------------- 145,683,412 -------------------- Life & Health Insurance (1.66%) Aflac Inc 282,800 13,464,108 Lincoln National Corp 247,800 16,637,292 Prudential Financial Inc 337,100 30,045,723 UnumProvident Corp 596,100 13,114,200 -------------------- 73,261,323 -------------------- Medical - Drugs (4.55%) Abbott Laboratories 702,800 37,248,400 AstraZeneca PLC ADR 647,100 36,205,245 Bristol-Myers Squibb Co 556,300 16,015,877 Eli Lilly & Co 291,200 15,759,744 GlaxoSmithKline PLC ADR 384,700 20,823,811 Novartis AG ADR 415,400 23,964,426 Roche Holding AG ADR 261,300 24,640,590 Sanofi-Aventis ADR 206,200 9,089,296 Schering-Plough Corp 682,800 17,070,000 -------------------- 200,817,389 -------------------- Medical - Wholesale Drug Distribution (0.39%) Cardinal Health Inc 239,000 17,069,380 -------------------- Medical Instruments (1.18%) Medtronic Inc 974,500 52,087,025 -------------------- Medical Products (1.46%) Becton Dickinson & Co 385,400 29,652,676 Johnson & Johnson 521,600 34,842,880 -------------------- 64,495,556 -------------------- Metal - Aluminum (0.47%) Alcoa Inc 643,200 20,775,360 -------------------- Multi-Line Insurance (6.08%) ACE Ltd 1,010,700 58,398,246 Allstate Corp/The 515,900 31,036,544 American International Group Inc 563,500 38,571,575 Hartford Financial Services Group Inc 405,300 38,467,023 HCC Insurance Holdings Inc 126,900 3,959,280 ING Groep NV ADR 738,100 32,520,686 Loews Corp 511,400 22,225,444 Metlife Inc 689,800 42,850,376 -------------------- 268,029,174 -------------------- Multimedia (2.64%) McGraw-Hill Cos Inc/The 654,600 43,910,568 News Corp 920,900 22,516,005 Time Warner Inc 2,296,100 50,215,707 -------------------- 116,642,280 -------------------- Music (0.00%) V2 Music Holdings PLC - warrants (a)(b)(c) 4,500 - -------------------- Netherlands (0.00%) Non-Hazardous Waste Disposal (0.49%) Waste Management Inc 563,900 21,416,922 -------------------- Oil - Field Services (1.04%) Baker Hughes Inc 201,100 13,881,933 Schlumberger Ltd 506,600 32,164,034 -------------------- 46,045,967 -------------------- Oil & Gas Drilling (0.22%) GlobalSantaFe Corp 171,000 9,919,710 -------------------- Oil Company - Exploration & Production (1.48%) Devon Energy Corp 494,700 34,673,523 XTO Energy Inc 604,900 30,529,303 -------------------- 65,202,826 -------------------- Oil Company - Integrated (3.30%) Chevron Corp 560,100 40,820,088 Exxon Mobil Corp 737,300 54,633,930 Hess Corp 193,200 10,430,868 Occidental Petroleum Corp 274,600 12,730,456 Suncor Energy Inc 361,700 26,892,395 -------------------- 145,507,737 -------------------- Paper & Related Products (0.33%) International Paper Co 432,700 14,581,990 -------------------- Pharmacy Services (0.34%) Caremark Rx Inc 241,800 14,812,668 -------------------- Pipelines (1.01%) El Paso Corp 538,000 8,349,760 Enterprise Products Partners LP 149,400 4,417,758 Kinder Morgan Energy Partners LP 237,700 11,982,457 Williams Cos Inc 740,800 19,994,192 -------------------- 44,744,167 -------------------- Property & Casualty Insurance (0.88%) Chubb Corp 382,400 19,900,096 Fidelity National Financial Inc 806,199 19,139,164 -------------------- 39,039,260 -------------------- Publishing - Newspapers (0.37%) Tribune Co 537,400 16,412,196 -------------------- Publishing - Periodicals (0.06%) Idearc Inc 79,845 2,588,575 -------------------- Quarrying (0.67%) Vulcan Materials Co 292,400 29,778,016 -------------------- Real Estate Operator & Developer (0.12%) Brookfield Properties Corp 110,900 5,161,286 -------------------- Regional Banks (3.97%) Bank of America Corp 929,696 48,883,416 Capital One Financial Corp 147,841 11,886,416 PNC Financial Services Group Inc 288,100 21,253,137 SunTrust Banks Inc 213,400 17,733,540 US Bancorp 577,800 20,569,680 Wells Fargo & Co 1,528,000 54,885,760 -------------------- 175,211,949 -------------------- REITS - Apartments (0.74%) Archstone-Smith Trust 152,600 9,645,846 Equity Residential 410,600 23,108,568 -------------------- 32,754,414 -------------------- REITS - Diversified (0.42%) Duke Realty Corp 131,000 5,779,720 Vornado Realty Trust 105,200 12,871,220 -------------------- 18,650,940 -------------------- REITS - Healthcare (0.27%) Health Care Property Investors Inc 284,200 11,723,250 -------------------- REITS - Hotels (0.41%) Host Hotels & Resorts Inc 678,400 17,957,248 -------------------- REITS - Regional Malls (0.51%) General Growth Properties Inc 119,600 7,357,792 Macerich Co/The 81,000 7,737,930 Simon Property Group Inc 64,800 7,412,472 -------------------- 22,508,194 -------------------- REITS - Shopping Centers (0.39%) Developers Diversified Realty Corp 123,400 8,282,608 Kimco Realty Corp 182,700 9,061,920 -------------------- 17,344,528 -------------------- REITS - Storage (0.31%) Public Storage Inc 125,100 13,605,876 -------------------- REITS - Warehouse & Industrial (0.94%) AMB Property Corp 214,700 13,064,495 Prologis 434,700 28,255,500 -------------------- 41,319,995 -------------------- Retail - Apparel & Shoe (0.94%) Nordstrom Inc 742,500 41,364,675 -------------------- Retail - Building Products (1.19%) Lowe's Cos Inc 1,551,100 52,287,581 -------------------- Retail - Discount (1.12%) Target Corp 802,000 49,210,720 -------------------- Retail - Restaurants (0.63%) McDonald's Corp 631,500 28,007,025 -------------------- Savings & Loans - Thrifts (0.91%) Washington Mutual Inc 900,500 40,153,295 -------------------- Semiconductor Component - Integrated Circuits (0.29%) Linear Technology Corp 409,100 12,661,645 -------------------- Semiconductor Equipment (0.43%) Applied Materials Inc 1,073,500 19,033,155 -------------------- Steel - Specialty (0.54%) Allegheny Technologies Inc 231,500 23,957,935 -------------------- Telecommunication Equipment (0.69%) Alcatel-Lucent ADR 2,357,300 30,644,900 -------------------- Telecommunication Services (0.20%) Embarq Corp 158,700 8,809,437 -------------------- Telephone - Integrated (6.03%) AT&T Inc 3,105,800 116,871,254 Deutsche Telekom AG ADR 206,400 3,634,704 France Telecom SA ADR 247,000 6,869,070 Sprint Nextel Corp 36,900 657,927 Telefonica SA ADR 51,300 3,382,722 Telstra Corp Ltd ADR 440,500 7,343,135 Verizon Communications Inc 2,292,900 88,322,508 Windstream Corp 2,624,784 39,056,786 -------------------- 266,138,106 -------------------- Television (0.38%) CBS Corp 531,700 16,573,089 -------------------- Tobacco (1.23%) Altria Group Inc 621,400 54,304,146 -------------------- Tools - Hand Held (0.20%) Black & Decker Corp 102,800 8,972,384 -------------------- Transport - Rail (0.79%) Norfolk Southern Corp 296,500 14,721,225 Union Pacific Corp 201,200 20,321,200 -------------------- 35,042,425 -------------------- Transport - Services (0.75%) FedEx Corp 300,700 33,197,280 -------------------- Wireless Equipment (1.50%) Nokia OYJ ADR 2,277,600 50,334,960 Qualcomm Inc 419,100 15,783,306 -------------------- 66,118,266 -------------------- TOTAL COMMON STOCKS $ 4,190,902,329 -------------------- Principal Amount Value --------------------- -------- -------------------- BONDS (0.58%) Cable TV (0.27%) EchoStar Communications Corp 5.75%, 5/15/2008 11,650,000 11,839,313 -------------------- Electric - Integrated (0.05%) Texas-New Mexico Power Co 6.25%, 1/15/2009 2,000,000 2,019,278 -------------------- Finance - Investment Banker & Broker (0.01%) Merrill Lynch & Co Inc 6.38%, 10/15/2008 500,000 507,586 -------------------- Medical - Drugs (0.03%) Wyeth 7.25%, 3/ 1/2023 1,250,000 1,401,346 -------------------- Multimedia (0.02%) CBS Corp 7.88%, 9/ 1/2023 1,000,000 1,079,817 -------------------- Regional Banks (0.01%) Wells Fargo & Co 7.43%, 8/ 1/2022 (a)(c) 243,484 243,484 -------------------- Rental - Auto & Equipment (0.09%) Erac USA Finance Co 7.35%, 6/15/2008 (d) 4,000,000 4,082,252 -------------------- Telecommunication Services (0.10%) TELUS Corp 8.00%, 6/ 1/2011 4,000,000 4,352,680 -------------------- TOTAL BONDS $ 25,525,756 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (0.33%) Federal Home Loan Mortgage Corporation (FHLMC) (0.00%) 6.50%, 9/ 1/2030 207,996 212,968 7.00%, 9/ 1/2030 82,339 85,022 -------------------- 297,990 -------------------- U.S. Treasury (0.33%) 4.25%, 11/15/2014 15,000,000 14,448,630 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 14,746,620 -------------------- SHORT TERM INVESTMENTS (4.51%) Commercial Paper (4.51%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 198,831,462 198,831,462 -------------------- TOTAL SHORT TERM INVESTMENTS $ 198,831,462 -------------------- Total Investments $ 4,430,006,167 Liabilities in Excess of Other Assets, Net - (0.41)% (17,967,598) -------------------- TOTAL NET ASSETS - 100.00% $ 4,412,038,569 ==================== -------------------- ====================
(a) Security is illiquid. (b) Non-Income Producing Security (c) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $243,484 or 0.01% of net assets. (d) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $4,082,252 or 0.09% of net assets. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 786,229,551 Unrealized Depreciation (16,155,039) -------------------- Net Unrealized Appreciation (Depreciation) 770,074,512 Cost for federal income tax purposes 3,659,931,655 Portfolio Summary (unaudited) ----------------------------------------------- -------------------- Sector Percent ----------------------------------------------- -------------------- Financial 30.41% Consumer, Non-cyclical 14.15% Communications 13.62% Industrial 10.06% Technology 7.48% Energy 7.06% Consumer, Cyclical 6.02% Mortgage Securities 4.51% Basic Materials 3.84% Utilities 2.93% Government 0.33% Liabilities in Excess of Other Assets, Net (-0.41%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Government & High Quality Bond Fund Principal Amount Value ------------------- -------- -------------------- BONDS (71.61%) Asset Backed Securities (8.02%) Argent Securities Inc 5.44%, 4/25/2036 (a)(b) 5,500,000 $ 5,501,108 Chase Funding Mortgage Loan Asset-Backed Certificates 5.61%, 9/25/2033 (b) 234,431 235,020 5.55%, 12/25/2033 (b) 636,680 637,544 Countrywide Asset-Backed Certificates 5.70%, 3/25/2033 (b) 469,600 469,782 5.60%, 9/25/2033 (b) 137,925 137,942 5.49%, 6/25/2037 (a) 3,500,000 3,499,972 Credit-Based Asset Servicing and Securities 5.49%, 3/25/2036 2,000,000 2,001,138 Encore Credit Receivables Trust 5.52%, 2/25/2035 (b) 473,534 473,672 GMAC Mortgage Corp Loan Trust 5.50%, 8/25/2035 (b) 850,000 851,734 Long Beach Mortgage Loan Trust 5.46%, 10/25/2036 (a) 2,000,000 1,999,990 Park Place Securities Inc 5.68%, 1/25/2033 (b) 585,207 585,398 Popular ABS Mortgage Pass-Through Trust 5.58%, 9/25/2035 (b) 4,000,000 4,001,800 SACO I Inc 5.46%, 6/25/2036 (a)(b) 2,155,744 2,155,734 Saxon Asset Securities Trust 5.48%, 3/25/2036 (a)(b) 5,000,000 5,001,635 Structured Asset Investment Loan Trust 5.64%, 11/25/2034 (a)(b) 827,553 827,763 5.54%, 1/25/2036 (a)(b) 2,275,000 2,279,197 -------------------- 30,659,429 -------------------- Credit Card Asset Backed Securities (0.26%) Discover Card Master Trust I 5.34%, 5/15/2011 (b) 1,000,000 1,000,357 -------------------- Federal & Federally Sponsored Credit (1.92%) Federal Farm Credit Bank 2.63%, 9/17/2007 4,500,000 4,427,833 4.48%, 8/24/2012 3,000,000 2,909,988 -------------------- 7,337,821 -------------------- Finance - Mortgage Loan/Banker (32.15%) Fannie Mae 5.25%, 8/ 1/2012 (c) 11,800,000 11,780,506 5.62%, 10/25/2018 (b) 750,970 753,207 5.00%, 8/25/2026 3,411,766 3,379,558 6.63%, 11/15/2030 (c) 1,300,000 1,521,441 5.52%, 4/25/2034 (b) 6,301,851 6,300,875 0.37%, 3/25/2036 32,393,599 503,659 Fannie Mae Grantor Trust 5.50%, 9/25/2011 4,250,000 4,300,776 5.34%, 4/25/2012 5,000,000 5,023,156 5.41%, 5/25/2035 (b) 2,798,206 2,791,224 5.40%, 7/25/2035 (b) 1,110,938 1,111,056 Finance - Mortgage Loan/Banker Fannie Mae Grantor Trust (continued) 5.47%, 9/25/2035 (b) 5,750,000 5,758,582 Fannie Mae Whole Loan 5.47%, 5/25/2035 (b) 2,938,524 2,942,510 Federal Home Loan Bank System 2.45%, 3/23/2007 (d) 9,000,000 8,962,902 2.63%, 5/15/2007 9,500,000 9,426,898 5.46%, 11/27/2015 (e) 3,231,960 3,217,081 Freddie Mac 4.25%, 4/ 5/2007 8,500,000 8,483,196 5.75%, 6/27/2016 2,400,000 2,469,710 4.50%, 7/15/2017 4,900,000 4,730,694 5.62%, 6/15/2018 (b) 4,500,587 4,511,826 5.72%, 7/15/2023 (b) 4,556,478 4,578,093 5.52%, 4/15/2030 (b) 6,292,649 6,292,557 5.50%, 9/15/2031 1,375,000 1,356,205 5.72%, 9/15/2033 (b) 390,013 392,031 Ginnie Mae 1.82%, 10/16/2012 (b) 85,568,438 3,851,435 3.89%, 7/16/2026 1,646,182 1,586,052 5.08%, 1/16/2030 (b) 1,630,732 1,613,477 4.26%, 2/16/2032 2,343,152 2,267,335 0.97%, 6/17/2045 (b) 38,219,986 2,067,090 0.47%, 11/16/2045 4,236,611 236,808 1.14%, 5/16/2046 10,834,693 663,448 1.06%, 10/16/2046 15,974,484 1,107,938 SLM Student Loan Trust 5.45%, 10/25/2016 (b) 3,625,000 3,628,480 5.55%, 9/17/2018 (b) 5,300,000 5,319,422 -------------------- 122,929,228 -------------------- Home Equity - Other (8.54%) ACE Securities Corp 5.53%, 9/25/2035 (a)(b) 2,600,000 2,600,876 American Home Mortgage Investment Trust 5.51%, 11/25/2030 (a)(b) 3,233,637 3,235,456 Asset Backed Securities Corp Home Equity 5.61%, 3/25/2035 (a)(b) 1,613,932 1,614,860 Chase Funding Loan Acquisition Trust 5.68%, 6/25/2034 (b) 453,576 454,003 First NLC Trust 5.55%, 5/25/2035 (b) 3,120,673 3,122,311 JP Morgan Mortgage Acquisition Corp 5.58%, 7/25/2035 (a)(b) 5,400,000 5,422,493 Morgan Stanley Home Equity Loans 5.49%, 2/25/2036 (a)(b) 5,250,000 5,261,237 Nomura Home Equity Loan Inc 5.54%, 5/25/2035 (a)(b) 3,125,000 3,127,286 Residential Asset Securities Corp 5.48%, 7/25/2035 (b) 4,800,000 4,801,808 Soundview Home Equity Loan Trust 5.44%, 7/25/2036 (b) 3,000,000 3,000,316 -------------------- 32,640,646 -------------------- Mortgage Backed Securities (20.72%) Banc of America Commercial Mortgage Inc 1.05%, 11/10/2038 (b) 2,750,310 79,061 0.26%, 3/11/2041 (b)(f) 24,516,502 235,297 4.73%, 7/10/2043 (b) 3,500,000 3,307,247 Mortgage Backed Securities Banc of America Funding Corp 5.38%, 7/20/2036 (a) 1,865,310 1,866,314 5.42%, 7/20/2036 (a)(b) 3,108,208 3,104,910 Bear Stearns Commercial Mortgage Securities 1.04%, 2/11/2041 (b)(f) 11,294,880 356,175 Bear Stearns Mortgage Funding Trust 5.65%, 7/25/2036 (a)(b)(e) 3,928,781 3,928,781 Commercial Mortgage Pass Through Certificates 0.05%, 12/10/2046 26,017,500 326,072 Countrywide Alternative Loan Trust 5.62%, 5/25/2035 (b) 551,579 552,274 Credit Suisse Mortgage Capital Certificates 0.06%, 12/15/2039 16,876,258 292,496 CS First Boston Mortgage Securities Corp 0.46%, 11/15/2036 (b)(f) 12,283,592 507,780 0.19%, 1/15/2037 (b)(f) 12,669,176 313,164 GE Capital Commercial Mortgage Corp 5.33%, 11/10/2045 (b)(c) 5,000,000 4,960,743 G-Force LLC 5.62%, 12/25/2039 (b)(f) 2,800,000 2,799,969 Greenpoint Mortgage Funding Trust 5.62%, 6/25/2045 (b) 386,029 387,348 Greenwich Capital Commercial Funding Corp 0.32%, 6/10/2036 (b)(f) 18,609,217 203,914 5.22%, 4/10/2037 5,000,000 4,908,066 GS Mortgage Securities Corp 0.65%, 11/10/2039 30,490,305 1,369,667 Impac CMB Trust 5.63%, 4/25/2035 (a)(b) 1,271,811 1,273,357 Impac Secured Assets CMN Owner Trust 5.59%, 12/25/2031 (b) 1,429,728 1,434,544 Indymac Index Mortgage Loan Trust 5.65%, 4/25/2035 (b) 583,993 585,938 JP Morgan Chase Commercial Mortgage Securities 0.34%, 9/12/2037 (b) 103,326,105 1,440,263 JP Morgan Mortgage Trust 4.95%, 11/25/2035 (b) 3,000,000 2,981,540 5.31%, 4/25/2036 (b) 1,649,044 1,644,087 5.97%, 8/25/2036 (b) 2,400,000 2,423,118 6.00%, 8/25/2036 (b) 3,438,916 3,426,719 5.58%, 10/25/2036 4,725,000 4,689,802 5.87%, 1/25/2037 5,720,749 5,716,105 LB-UBS Commercial Mortgage Trust 5.90%, 6/15/2038 (b)(c) 2,550,000 2,633,699 0.06%, 11/15/2038 (f) 13,376,795 234,093 0.72%, 11/15/2038 (f) 4,648,886 231,339 0.76%, 7/15/2040 (b) 116,297,002 3,464,243 Merrill Lynch Mortgage Trust 5.66%, 5/12/2039 (b) 2,550,000 2,590,644 0.57%, 5/12/2043 52,917,147 1,380,037 Merrill Lynch/Countrywide Commercial Mortgage Trust 0.05%, 12/12/2049 31,118,923 462,505 Morgan Stanley Capital I 0.37%, 8/13/2042 183,242,431 3,472,774 0.04%, 12/15/2043 (f) 27,336,446 369,991 Wachovia Bank Commercial Mortgage Trust 0.27%, 3/15/2042 (b)(f) 33,103,640 381,073 0.64%, 5/15/2044 (b)(f) 101,540,516 2,559,440 Mortgage Backed Securities Washington Mutual Alternative Mortgage 5.60%, 6/25/2046 (a)(b) 4,936,701 4,944,372 Washington Mutual Inc 5.79%, 7/25/2044 (a)(b) 460,618 462,382 5.55%, 4/25/2045 (b) 927,653 929,823 -------------------- 79,231,166 -------------------- TOTAL BONDS $ 273,798,647 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (63.12%) Federal Home Loan Mortgage Corporation (FHLMC) (13.45%) 5.00%, 10/ 1/2025 1,351,049 1,309,373 5.00%, 2/ 1/2037 (g) 2,265,000 2,175,107 5.50%, 2/ 1/2037 (g) 16,545,000 16,281,306 6.00%, 2/ 1/2037 (g) 6,035,000 6,057,631 6.50%, 2/ 1/2037 (g) 990,000 1,006,396 4.50%, 6/ 1/2011 2,750,183 2,701,820 6.50%, 6/ 1/2017 340,443 347,990 6.00%, 7/ 1/2017 133,278 134,944 5.50%, 4/ 1/2018 942,685 939,829 5.50%, 12/ 1/2018 3,504 3,507 5.00%, 1/ 1/2019 1,971,455 1,931,561 6.00%, 1/ 1/2021 426,323 431,192 6.50%, 8/ 1/2022 469,286 480,920 6.00%, 6/ 1/2028 109,903 110,910 5.50%, 1/ 1/2029 34,520 34,153 5.50%, 3/ 1/2029 18,903 18,712 6.50%, 3/ 1/2029 67,634 69,319 8.00%, 8/ 1/2030 4,718 4,957 8.00%, 11/ 1/2030 5,345 5,615 7.50%, 12/ 1/2030 28,972 30,169 7.00%, 1/ 1/2031 15,303 15,802 7.50%, 2/ 1/2031 16,617 17,303 6.50%, 6/ 1/2031 7,779 7,960 6.00%, 10/ 1/2031 53,346 53,759 6.00%, 2/ 1/2032 146,317 147,449 6.50%, 2/ 1/2032 183,410 187,653 6.50%, 4/ 1/2032 105,484 107,878 7.50%, 4/ 1/2032 150,088 155,869 6.50%, 8/ 1/2032 469,571 480,227 5.00%, 12/ 1/2032 1,054,937 1,016,205 5.50%, 5/ 1/2033 674,710 665,702 5.50%, 10/ 1/2033 259,684 256,217 5.50%, 12/ 1/2033 5,889,250 5,810,625 6.00%, 8/ 1/2036 4,335,020 4,352,219 6.50%, 11/ 1/2036 1,379,050 1,402,023 7.48%, 10/ 1/2032 (b) 23,317 23,518 5.68%, 9/ 1/2033 (b) 437,906 446,032 4.69%, 8/ 1/2035 (b) 2,235,158 2,188,401 -------------------- 51,410,253 -------------------- Federal National Mortgage Association (FNMA) (25.07%) 5.00%, 2/ 1/2037 (g) 25,075,000 24,056,328 5.50%, 2/ 1/2037 (g) 17,410,000 17,121,656 6.00%, 2/ 1/2037 (g) 12,020,000 12,061,325 6.00%, 5/ 1/2009 57,591 57,617 4.50%, 3/ 1/2010 150,032 146,550 6.50%, 4/ 1/2010 20,829 21,028 6.50%, 6/ 1/2016 40,065 40,994 6.00%, 1/ 1/2017 117,569 119,039 6.00%, 4/ 1/2017 160,941 162,961 Federal National Mortgage Association (FNMA) 5.50%, 9/ 1/2017 651,238 649,835 5.00%, 1/ 1/2018 776,404 761,289 5.50%, 3/ 1/2018 486,520 485,471 5.00%, 4/ 1/2019 692,234 677,759 5.50%, 6/ 1/2019 320,752 319,713 5.50%, 7/ 1/2019 1,036,238 1,032,881 5.50%, 8/ 1/2019 842,982 840,251 5.50%, 9/ 1/2019 593,950 592,026 7.00%, 5/ 1/2022 125,630 129,716 6.00%, 12/ 1/2022 236,988 239,500 5.00%, 1/ 1/2026 1,927,242 1,865,960 5.50%, 6/ 1/2026 1,921,446 1,899,948 7.50%, 1/ 1/2031 12,741 13,266 7.50%, 5/ 1/2031 15,242 15,871 6.50%, 9/ 1/2031 121,898 124,734 6.00%, 12/ 1/2031 193,632 195,059 6.50%, 12/ 1/2031 29,459 30,144 7.00%, 2/ 1/2032 102,802 105,825 6.50%, 4/ 1/2032 93,936 96,064 7.00%, 4/ 1/2032 137,485 141,424 7.50%, 8/ 1/2032 153,986 159,903 6.00%, 11/ 1/2032 170,539 171,717 4.51%, 3/ 1/2033 2,460,572 2,453,473 5.50%, 9/ 1/2033 3,095,706 3,052,622 7.67%, 11/ 1/2033 (b) 70,048 71,752 5.14%, 12/ 1/2033 (b) 1,003,930 992,508 4.89%, 9/ 1/2034 (b) 4,071,416 4,060,871 4.72%, 2/ 1/2035 (b) 5,090,369 4,994,564 4.95%, 3/ 1/2035 (b) 1,629,689 1,615,951 5.09%, 8/ 1/2035 5,603,315 5,583,498 5.72%, 2/ 1/2036 (b) 690,803 691,509 5.00%, 3/ 1/2036 2,462,623 2,362,646 5.79%, 6/ 1/2036 (b)(e) 379,925 381,017 6.50%, 8/ 1/2036 3,877,871 3,942,474 6.50%, 10/ 1/2036 630,477 640,980 6.50%, 11/ 1/2036 653,835 664,728 -------------------- 95,844,447 -------------------- Government National Mortgage Association (GNMA) (4.09%) 5.50%, 2/ 1/2037 (g) 1,555,000 1,538,965 6.50%, 7/15/2008 24,878 25,049 6.50%, 10/15/2008 23,175 23,334 6.50%, 3/15/2009 25,023 25,195 5.50%, 12/15/2013 35,822 35,815 5.50%, 1/15/2014 308,593 308,617 5.50%, 2/15/2014 178,118 178,132 5.50%, 3/15/2014 288,576 288,599 8.00%, 8/15/2016 86,395 90,839 8.00%, 12/15/2016 17,356 18,249 7.50%, 4/15/2017 169,472 175,750 8.00%, 4/15/2017 67,528 71,158 7.50%, 5/15/2017 17,214 17,852 8.00%, 5/15/2017 50,734 53,461 8.00%, 6/15/2017 48,266 50,860 8.00%, 7/15/2017 11,410 12,023 7.50%, 7/15/2018 40,921 42,494 7.50%, 12/15/2021 122,524 127,622 7.50%, 2/15/2022 58,174 60,638 8.00%, 2/15/2022 70,205 74,383 Government National Mortgage Association (GNMA) 7.50%, 3/15/2022 57,646 60,088 7.50%, 4/15/2022 117,202 122,167 7.50%, 5/15/2022 83,457 86,992 7.50%, 7/15/2022 69,629 72,578 7.50%, 8/15/2022 316,062 329,450 7.00%, 11/15/2022 255,592 264,227 7.50%, 11/15/2022 79,281 82,640 7.00%, 12/15/2022 245,343 253,631 7.00%, 1/15/2023 144,101 149,146 7.00%, 2/15/2023 476,272 492,946 7.50%, 2/15/2023 47,812 49,870 7.00%, 3/15/2023 33,584 34,760 7.50%, 5/15/2023 135,259 141,078 7.50%, 6/15/2023 24,880 25,951 7.00%, 7/15/2023 245,641 254,241 7.00%, 8/15/2023 87,734 90,806 6.50%, 9/15/2023 285,697 293,331 6.00%, 10/15/2023 340,345 344,028 6.50%, 10/15/2023 146,344 150,254 7.00%, 10/15/2023 66,838 69,178 7.50%, 10/15/2023 23,747 24,768 6.00%, 11/15/2023 329,546 333,112 6.50%, 11/15/2023 30,494 31,309 7.50%, 11/15/2023 111,705 116,511 6.00%, 12/15/2023 218,881 221,249 6.50%, 12/15/2023 532,122 546,339 7.00%, 12/15/2023 138,363 143,208 6.00%, 1/15/2024 115,872 117,161 6.50%, 1/15/2024 572,236 587,501 6.00%, 2/15/2024 324,171 327,777 6.00%, 3/15/2024 41,173 41,631 6.50%, 3/15/2024 36,152 37,117 6.50%, 4/15/2024 84,019 86,260 6.50%, 7/15/2024 266,898 274,029 7.50%, 8/15/2024 23,537 24,564 7.25%, 9/15/2025 85,426 88,634 6.50%, 10/15/2025 90,842 93,265 6.50%, 1/15/2026 47,813 49,134 7.00%, 1/15/2026 62,101 64,294 6.50%, 3/15/2026 86,455 88,844 7.00%, 5/15/2026 9,469 9,804 7.00%, 1/15/2027 72,774 75,350 7.00%, 3/15/2027 41,511 42,981 7.50%, 4/15/2027 6,155 6,430 7.50%, 5/15/2027 85,766 89,590 7.50%, 6/15/2027 51,535 53,832 7.00%, 11/15/2027 156,539 162,080 7.00%, 12/15/2027 126,603 131,085 6.50%, 2/15/2028 45,600 46,866 7.00%, 4/15/2028 115,328 119,379 8.00%, 12/15/2030 30,372 32,163 7.00%, 5/15/2031 50,121 51,853 6.50%, 7/15/2031 13,328 13,684 7.00%, 7/15/2031 14,044 14,518 7.00%, 9/15/2031 16,646 17,207 6.50%, 10/15/2031 83,223 85,447 6.50%, 7/15/2032 116,294 119,373 6.00%, 8/15/2032 515,730 521,475 6.00%, 9/15/2032 461,597 466,739 Government National Mortgage Association (GNMA) 6.00%, 2/15/2033 116,642 117,894 5.00%, 2/15/2034 1,301,992 1,258,606 6.00%, 1/20/2024 64,378 64,933 6.00%, 4/20/2024 111,816 112,781 6.50%, 4/20/2024 66,388 67,992 6.00%, 5/20/2024 138,381 139,575 6.00%, 10/20/2024 60,018 60,536 6.00%, 9/20/2025 38,863 39,209 6.00%, 11/20/2025 58,385 58,906 6.50%, 7/20/2026 32,949 33,777 6.00%, 10/20/2028 68,072 68,723 6.50%, 10/20/2028 56,623 58,054 5.50%, 5/20/2035 1,641,697 1,622,545 -------------------- 15,646,491 -------------------- U.S. Treasury (12.52%) 4.13%, 8/15/2010 (c) 15,000,000 14,663,085 4.25%, 10/15/2010 (c) 9,750,000 9,562,995 4.25%, 8/15/2014 (c) 3,000,000 2,891,952 4.13%, 5/15/2015 (c) 8,750,000 8,336,081 4.25%, 8/15/2015 (c) 1,700,000 1,632,066 6.88%, 8/15/2025 (c) 5,250,000 6,412,791 6.13%, 8/15/2029 500,000 575,860 5.38%, 2/15/2031 (c) 3,600,000 3,798,562 -------------------- 47,873,392 -------------------- U.S. Treasury Inflation-Indexed Obligations (5.06%) 3.88%, 1/15/2009 (c) 8,600,620 8,833,774 3.00%, 7/15/2012 (c) 10,198,279 10,516,975 -------------------- 19,350,749 -------------------- U.S. Treasury Strip (2.93%) 0.00%, 11/15/2015 (c)(h) 4,000,000 2,618,352 0.00%, 5/15/2020 (c)(h) 13,800,000 7,112,920 0.00%, 8/15/2025 (c)(h) 3,750,000 1,479,555 -------------------- 11,210,827 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 241,336,159 -------------------- SHORT TERM INVESTMENTS (1.39%) Commercial Paper (1.39%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (h) 5,325,131 5,325,131 -------------------- TOTAL SHORT TERM INVESTMENTS $ 5,325,131 -------------------- MONEY MARKET FUNDS (10.60%) Money Center Banks (10.60%) BNY Institutional Cash Reserve Fund (a) 40,526,000 40,526,000 -------------------- TOTAL MONEY MARKET FUNDS $ 40,526,000 -------------------- Total Investments $ 560,985,937 Liabilities in Excess of Other Assets, Net - (46.72)% (178,645,936) -------------------- TOTAL NET ASSETS - 100.00% $ 382,340,001 ==================== -------------------- ====================
(a) Security was purchased with the cash proceeds from securities loans. (b) Variable Rate (c) Security or a portion of the security was on loan at the end of the period. (d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $522,836 or 0.14% of net assets. (e) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $7,526,879 or 1.97% of net assets. (f) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $8,192,235 or 2.14% of net assets. (g) Security was purchased in a "to-be-announced" ("TBA") transaction. See Notes to Financial Statements. (h) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 1,276,133 Unrealized Depreciation (5,301,634) -------------------- Net Unrealized Appreciation (Depreciation) (4,025,501) Cost for federal income tax purposes 565,011,438 SCHEDULE OF STRADDLE OPTIONS Exercise Expiration Description Counterparty Price* Date Call & Put - OTC 10 Morgan Stanley July-08 Year Interest Rate Swap $0.00 Notional Amount Premium Value Description Call & Put - OTC 10 16,600,000.00 703,840 (7,802) Year Interest Rate Swap * Exercise price and final premium determined on a future date, based upon implied volatility parameters. SCHEDULE OF INTEREST RATE SWAP AGREEMENTS Unrealized Notional Appreciation/ Description Amount (Depreciation) ---------------------------------------- -------------------- ----------- Receive semi-annually a fixed rate of 5.40% and pay quarterly a floating rate based on 3-month LIBOR to Morgan Stanley. Expires October 2036. $ 1,500,000 $ (11,126)
SCHEDULE OF TOTAL RETURN SWAP AGREEMENTS Unrealized Notional Appreciation/ Description Amount (Depreciation) ------------------------------------------------------------------------ ---------------------------------------------- Receive a monthly return equal to a 4.50% 15 year Fannie Mae Obligation and pay monthly a floating rate based on 1-month LIBOR less 40 basis points with UBS AG. Expires March 2007. $ 10,276,226 $ (98,504) Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on 1-month LIBOR less 10 basis points with Wachovia Bank. Expires April 2007. 2,350,000 (18,193)
SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) --------------------------------------------------------- ---------- Buy: U.S. 2 Year Note; March 2007 95 $19,457,188 $19,341,407 $(115,781) Sell: U.S. 10 Year Note; March 2007 55 5,987,695 5,871,250 116,445 U.S. 5 Year Note; March 2007 130 13,773,906 13,589,062 184,844 Portfolio Summary (unaudited) ----------------------------------------------------- -------------------- Sector Percent ----------------------------------------------------- -------------------- Mortgage Securities 80.70% Government 34.47% Asset Backed Securities 20.95% Financial 10.60% Liabilities in Excess of Other Assets, Net (-46.72%) -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) ---------------------------------- Asset Type Percent ---------------------------------- Futures 10.15% Interest Rate Swaps 0.00% Straddle Options 0.00% Total Return Swaps 0.03%
Schedule of Investments January 31, 2007 (unaudited) High Quality Intermediate-Term Bond Fund Principal Amount Value ---------------------- -------- -------------------- BONDS (76.36%) Aerospace & Defense Equipment (0.12%) Goodrich Corp 6.80%, 7/ 1/2036 $ 160,000 $ 171,311 United Technologies Corp 6.10%, 5/15/2012 15,000 15,482 -------------------- 186,793 -------------------- Agricultural Chemicals (0.07%) Potash Corp of Saskatchewan 5.88%, 12/ 1/2036 115,000 110,919 -------------------- Agricultural Operations (0.32%) Archer-Daniels-Midland Co 5.94%, 10/ 1/2032 10,000 9,966 Bunge Ltd Finance Corp 4.38%, 12/15/2008 265,000 259,151 5.88%, 5/15/2013 130,000 128,489 5.10%, 7/15/2015 100,000 92,646 -------------------- 490,252 -------------------- Appliances (0.07%) Whirlpool Corp 5.86%, 6/15/2009 (a) 100,000 100,251 -------------------- Asset Backed Securities (9.12%) Ameriquest Mortgage Securities Inc 5.62%, 3/25/2035 (a) 62,864 62,921 5.55%, 7/25/2035 (a) 100,268 100,403 Argent Securities Inc 5.47%, 7/25/2036 (b) 650,000 650,465 Carrington Mortgage Loan Trust 5.58%, 1/25/2035 (a) 16,746 16,749 5.60%, 12/25/2035 (a)(b) 800,000 801,284 Chase Funding Mortgage Loan Asset-Backed Certificates 5.82%, 9/25/2033 (a) 120,000 120,304 5.55%, 12/25/2033 (a) 17,760 17,784 Citigroup Mortgage Loan Trust Inc 5.42%, 7/25/2035 (a) 5,831 5,832 Countrywide Asset-Backed Certificates 6.39%, 1/25/2034 (a) 325,000 327,006 5.59%, 1/25/2036 (a)(b) 500,000 500,715 5.61%, 2/25/2036 (a)(b) 800,000 801,286 5.57%, 3/25/2036 (b) 675,000 676,261 5.57%, 4/25/2036 (a)(b) 1,550,000 1,553,579 Countrywide Home Equity Loan Trust 5.55%, 12/15/2035 (a) 181,818 181,913 Encore Credit Receivables Trust 5.52%, 2/25/2035 (a) 165,737 165,785 First Franklin Mortgage Loan Asset Backed Certificates 5.59%, 9/25/2035 (b) 925,000 926,847 5.56%, 11/25/2035 (b) 925,000 927,238 5.39%, 3/25/2036 (a)(b) 479,909 480,003 First-Citizens Home Equity Loan LLC 5.53%, 9/15/2022 (a)(c) 159,447 159,126 Asset Backed Securities GMAC Mortgage Corp Loan Trust 5.50%, 8/25/2035 (a) 300,000 300,612 Great America Leasing Receivables 5.39%, 9/15/2011 (c) 90,000 89,855 JP Morgan Mortgage Acquisition Corp 5.49%, 4/25/2036 (a)(b) 525,000 525,363 Long Beach Mortgage Loan Trust 5.85%, 6/25/2034 (a) 40,000 40,139 5.59%, 6/25/2035 (a) 225,000 225,136 5.46%, 10/25/2036 (b) 800,000 799,996 5.46%, 11/25/2036 675,000 674,997 Morgan Stanley ABS Capital I 5.58%, 7/25/2035 (a) 180,000 180,210 MSDWCC Heloc Trust 5.51%, 7/25/2017 (a) 89,174 89,245 Nomura Asset Acceptance Corp 5.55%, 6/25/2035 (a) 28,536 28,541 Park Place Securities Inc 5.54%, 1/25/2036 (a) 42,082 42,107 Popular ABS Mortgage Pass-Through Trust 5.58%, 11/25/2035 (a) 275,000 275,548 Residential Asset Mortgage Products Inc 5.66%, 5/25/2034 (a)(b) 155,546 155,688 5.59%, 7/25/2035 (a) 347,119 347,586 SACO I Inc 5.59%, 4/25/2035 (a) 34,896 34,899 5.46%, 6/25/2036 (a)(b) 393,838 393,836 5.46%, 9/25/2036 511,111 511,109 Saxon Asset Securities Trust 5.66%, 12/26/2034 (a) 79,578 79,624 5.54%, 3/25/2035 (a) 607,190 607,436 5.84%, 3/25/2035 (a) 250,000 250,719 -------------------- 14,128,147 -------------------- Auto - Car & Light Trucks (0.39%) DaimlerChrysler NA Holding Corp 5.83%, 9/10/2007 (a) 100,000 100,197 5.79%, 3/13/2009 (a) 325,000 325,617 5.75%, 9/ 8/2011 130,000 129,578 7.30%, 1/15/2012 45,000 47,685 -------------------- 603,077 -------------------- Automobile Sequential (0.40%) Capital Auto Receivables Asset Trust 3.92%, 11/16/2009 250,000 245,677 Chase Manhattan Auto Owner Trust 2.06%, 12/15/2009 22,798 22,656 Ford Credit Auto Owner Trust 5.30%, 6/15/2012 210,000 208,804 WFS Financial Owner Trust 4.50%, 5/17/2013 150,000 147,821 -------------------- 624,958 -------------------- Beverages - Non-Alcoholic (0.01%) Bottling Group LLC 4.63%, 11/15/2012 15,000 14,447 -------------------- Beverages - Wine & Spirits (0.49%) Diageo Capital PLC 5.45%, 4/20/2007 (a) 525,000 525,071 Beverages - Wine & Spirits Diageo Capital PLC (continued) 3.50%, 11/19/2007 15,000 14,785 5.13%, 1/30/2012 155,000 152,757 Diageo Finance BV 5.50%, 4/ 1/2013 60,000 59,717 -------------------- 752,330 -------------------- Brewery (0.29%) Anheuser-Busch Cos Inc 4.38%, 1/15/2013 (d) 30,000 28,321 Cia Brasileira de Bebidas 10.50%, 12/15/2011 135,000 161,325 Coors Brewing Co 6.38%, 5/15/2012 50,000 51,482 SABMiller PLC 6.50%, 7/ 1/2016 (c) 200,000 209,288 -------------------- 450,416 -------------------- Building - Residential & Commercial (0.01%) Centex Corp 5.80%, 9/15/2009 15,000 15,060 -------------------- Building & Construction Products - Miscellaneous (0.38%) CRH America Inc 5.30%, 10/15/2013 174,000 168,988 6.00%, 9/30/2016 100,000 100,936 6.40%, 10/15/2033 15,000 14,828 Masco Corp 5.60%, 3/ 9/2007 (a)(c) 200,000 200,032 Owens Corning Inc 6.50%, 12/ 1/2016 (c) 40,000 40,600 7.00%, 12/ 1/2036 (c) 60,000 60,739 -------------------- 586,123 -------------------- Building Products - Wood (0.16%) Masco Corp 6.13%, 10/ 3/2016 215,000 216,614 Norbord Inc 7.25%, 7/ 1/2012 (d) 35,000 36,390 -------------------- 253,004 -------------------- Cable TV (0.55%) Comcast Cable Communications Holdings Inc 8.38%, 3/15/2013 67,000 76,341 Comcast Corp 7.05%, 3/15/2033 (d) 100,000 108,253 6.45%, 3/15/2037 195,000 195,629 COX Communications Inc 5.91%, 12/14/2007 (a)(b) 200,000 200,780 4.63%, 1/15/2010 40,000 39,094 6.75%, 3/15/2011 70,000 72,940 7.13%, 10/ 1/2012 65,000 69,688 6.45%, 12/ 1/2036 (c) 85,000 84,544 -------------------- 847,269 -------------------- Cellular Telecommunications (0.80%) America Movil SA de CV 5.99%, 4/27/2007 (a) 275,000 275,000 5.75%, 1/15/2015 (d) 45,000 44,396 AT&T Mobility LLC 7.13%, 12/15/2031 265,000 292,071 Cellular Telecommunications New Cingular Wireless Services Inc 8.13%, 5/ 1/2012 250,000 279,873 Nextel Communications Inc 5.95%, 3/15/2014 (d) 175,000 170,796 Vodafone Group PLC 7.75%, 2/15/2010 30,000 31,864 5.70%, 6/15/2011 (a) 145,000 145,471 -------------------- 1,239,471 -------------------- Chemicals - Diversified (0.23%) Chevron Phillips Chemical Co LLC 5.38%, 6/15/2007 245,000 244,787 EI Du Pont de Nemours & Co 4.75%, 11/15/2012 15,000 14,474 ICI Wilmington Inc 5.63%, 12/ 1/2013 95,000 94,136 -------------------- 353,397 -------------------- Coatings & Paint (0.11%) Valspar Corp 6.00%, 5/ 1/2007 165,000 165,145 -------------------- Commercial Banks (1.44%) Barclays Bank PLC 5.93%, 12/31/2049 (a)(c) 170,000 171,278 BOI Capital Funding No 2 LP 5.57%, 8/29/2049 (a)(c) 115,000 112,355 Commonwealth Bank of Australia 6.02%, 3/15/2036 (c) 120,000 120,416 Glitnir Banki HF 5.52%, 10/15/2008 (a)(c) 125,000 124,768 KeyBank NA 5.52%, 11/ 3/2009 (a) 300,000 300,679 Lloyds TSB Group PLC 6.27%, 11/14/2016 (c)(d) 200,000 198,169 Union Planters Bank NA 5.13%, 6/15/2007 240,000 239,795 United Overseas Bank Ltd 4.50%, 7/ 2/2013 (c) 20,000 18,892 US Bank NA/Cincinnati OH 6.38%, 8/ 1/2011 40,000 41,544 VTB Capital SA for Vneshtorgbank 6.11%, 9/21/2007 (a)(c) 115,000 115,184 Wachovia Bank NA 4.88%, 2/ 1/2015 130,000 124,398 Wachovia Bank NA/Charlotte NC 7.80%, 8/18/2010 500,000 534,576 Woori Bank 6.13%, 5/ 3/2016 (a)(c) 125,000 127,021 -------------------- 2,229,075 -------------------- Commercial Services - Finance (0.01%) Equifax Inc 4.95%, 11/ 1/2007 10,000 9,936 -------------------- Computers (0.01%) Hewlett-Packard Co 6.50%, 7/ 1/2012 15,000 15,798 -------------------- Computers - Integrated Systems (0.00%) NCR Corp 7.13%, 6/15/2009 5,000 5,122 -------------------- Consumer Products - Miscellaneous (0.08%) Fortune Brands Inc 5.13%, 1/15/2011 125,000 122,402 -------------------- Credit Card Asset Backed Securities (2.61%) American Express Credit Account Master Trust 5.57%, 9/15/2011 (a) 70,000 70,260 4.35%, 12/15/2011 200,000 196,371 Arran 5.50%, 12/15/2010 (a)(b)(e) 425,000 425,225 Bank One Issuance Trust 3.59%, 5/17/2010 100,000 98,878 5.64%, 3/15/2012 (a) 300,000 301,741 Capital One Multi-Asset Execution Trust 5.54%, 12/15/2009 (a)(b) 445,000 444,988 Chase Credit Card Master Trust 5.65%, 1/17/2011 (a) 325,000 326,391 5.67%, 2/15/2011 (a) 275,000 276,571 Citibank Credit Card Issuance Trust 5.70%, 6/25/2009 (a) 275,000 275,421 Citibank Credit Card Master Trust I 5.64%, 3/10/2011 (a) 150,000 150,685 5.88%, 3/10/2011 150,000 151,754 Discover Card Master Trust I 5.56%, 5/15/2012 (a)(b) 425,000 427,056 First USA Credit Card Master Trust 5.68%, 4/18/2011 (a) 300,000 301,395 GE Capital Credit Card Master Note Trust 5.52%, 6/15/2011 (a) 325,000 325,366 Providian Master Note Trust 5.10%, 11/15/2012 (c) 275,000 272,942 -------------------- 4,045,044 -------------------- Data Processing & Management (0.07%) Dun & Bradstreet Corp 5.50%, 3/15/2011 100,000 99,812 -------------------- Diversified Financial Services (0.48%) Citicorp Capital II 8.02%, 2/15/2027 270,000 281,421 General Electric Capital Corp 7.38%, 1/19/2010 105,000 110,925 4.25%, 12/ 1/2010 (d) 275,000 264,955 6.00%, 6/15/2012 85,000 87,560 -------------------- 744,861 -------------------- Diversified Manufacturing Operations (0.10%) Carlisle Cos Inc 6.13%, 8/15/2016 150,000 150,802 Parker Hannifin Corp 4.88%, 2/15/2013 10,000 9,640 -------------------- 160,442 -------------------- Diversified Minerals (0.16%) BHP Billiton Finance USA Ltd 4.80%, 4/15/2013 15,000 14,460 Diversified Minerals Teck Cominco Ltd 6.13%, 10/ 1/2035 110,000 105,000 Vale Overseas Ltd 6.25%, 1/23/2017 125,000 125,235 -------------------- 244,695 -------------------- Electric - Distribution (0.10%) Detroit Edison Co/The 5.70%, 10/ 1/2037 165,000 157,527 -------------------- Electric - Generation (0.05%) Korea East-West Power Co Ltd 4.88%, 4/21/2011 (c) 30,000 29,282 Tenaska Virginia Partners LP 6.12%, 3/30/2024 (c) 47,317 47,161 -------------------- 76,443 -------------------- Electric - Integrated (2.45%) Ameren Energy Generating Co 7.95%, 6/ 1/2032 10,000 11,753 AmerenUE 5.40%, 2/ 1/2016 (d) 115,000 111,937 Appalachian Power Co 5.69%, 6/29/2007 (a) 300,000 300,293 Arizona Public Service Co 6.50%, 3/ 1/2012 25,000 25,738 5.80%, 6/30/2014 85,000 84,621 6.25%, 8/ 1/2016 130,000 132,569 Baltimore Gas & Electric Co 5.90%, 10/ 1/2016 (c) 90,000 90,756 Carolina Power & Light Co 8.63%, 9/15/2021 75,000 94,191 Commonwealth Edison Co 5.95%, 8/15/2016 (d) 95,000 95,933 Consolidated Edison Co of New York Inc 4.88%, 2/ 1/2013 15,000 14,569 Consumers Energy Co 4.25%, 4/15/2008 10,000 9,853 Dayton Power & Light Co/The 5.12%, 10/ 1/2013 (a) 25,000 24,422 Dominion Resources Inc/VA 8.13%, 6/15/2010 75,000 81,164 5.95%, 6/15/2035 65,000 63,816 DTE Energy Co 5.63%, 8/16/2007 (b) 175,000 174,972 7.05%, 6/ 1/2011 30,000 31,707 6.35%, 6/ 1/2016 65,000 67,379 Entergy Gulf States Inc 3.60%, 6/ 1/2008 20,000 19,467 6.10%, 12/ 8/2008 (a)(c) 120,000 120,273 Exelon Corp 4.45%, 6/15/2010 55,000 53,217 Georgia Power Co 5.55%, 2/17/2009 (a) 295,000 295,988 Midamerican Energy Co 6.75%, 12/30/2031 35,000 38,296 Midamerican Energy Holdings Co 4.63%, 10/ 1/2007 225,000 223,764 Northeast Utilities 3.30%, 6/ 1/2008 15,000 14,579 Electric - Integrated Pepco Holdings Inc 5.50%, 8/15/2007 15,000 14,994 PPL Electric Utilities Corp 4.30%, 6/ 1/2013 15,000 13,970 PPL Energy Supply LLC 5.40%, 8/15/2014 65,000 63,338 6.20%, 5/15/2016 125,000 127,869 Puget Sound Energy Inc 3.36%, 6/ 1/2008 25,000 24,313 Southern California Edison Co 5.47%, 2/ 2/2009 (a) 205,000 205,304 5.00%, 1/15/2014 25,000 24,224 Southern Co 5.30%, 1/15/2012 110,000 109,581 Southern Co Capital Funding Inc 5.30%, 2/ 1/2007 15,000 15,000 Southern Power Co/GA 6.38%, 11/15/2036 100,000 98,028 Southwestern Electric Power Co 5.55%, 1/15/2017 235,000 231,923 Southwestern Public Service Co 6.00%, 10/ 1/2036 70,000 68,616 Tampa Electric Co 6.55%, 5/15/2036 65,000 68,274 TXU Electric Delivery Co 6.38%, 5/ 1/2012 175,000 180,043 7.00%, 5/ 1/2032 85,000 91,949 TXU Energy Co LLC 6.13%, 3/15/2008 (d) 15,000 15,070 Virginia Electric & Power Co 4.50%, 12/15/2010 85,000 82,366 5.40%, 1/15/2016 115,000 112,809 Xcel Energy Inc 6.50%, 7/ 1/2036 65,000 67,935 -------------------- 3,796,863 -------------------- Electric Products - Miscellaneous (0.00%) Emerson Electric Co 6.00%, 8/15/2032 5,000 5,132 -------------------- Electronic Components - Miscellaneous (0.12%) Jabil Circuit Inc 5.88%, 7/15/2010 185,000 183,440 -------------------- Electronic Components - Semiconductors (0.08%) Chartered Semiconductor Manufacturing Ltd 6.25%, 4/ 4/2013 120,000 121,281 -------------------- Export & Import Bank (0.04%) Export-Import Bank Of Korea 4.50%, 8/12/2009 60,000 58,882 -------------------- Finance - Commercial (0.78%) Caterpillar Financial Services Corp 5.37%, 7/27/2007 (a) 300,000 300,126 5.05%, 12/ 1/2010 125,000 124,121 CIT Group Inc 5.57%, 2/15/2007 (a) 145,000 145,009 Finance - Commercial CIT Group Inc (continued) 5.59%, 4/27/2011 225,000 225,172 5.00%, 2/13/2014 15,000 14,406 6.10%, 3/15/2067 80,000 79,791 Textron Financial Corp 5.46%, 6/ 5/2009 (a)(b) 325,000 325,432 -------------------- 1,214,057 -------------------- Finance - Consumer Loans (0.76%) American General Finance Corp 5.75%, 3/15/2007 40,000 40,016 HSBC Finance Corp 4.13%, 12/15/2008 20,000 19,596 4.13%, 11/16/2009 355,000 344,780 5.65%, 11/16/2009 (a) 250,000 251,580 7.00%, 5/15/2012 180,000 192,979 4.75%, 7/15/2013 170,000 163,828 John Deere Capital Corp 7.00%, 3/15/2012 20,000 21,277 SLM Corp 2.51%, 3/ 2/2009 (a) 50,000 48,528 5.52%, 7/26/2010 (a) 100,000 100,033 -------------------- 1,182,617 -------------------- Finance - Credit Card (0.17%) American Express Co 4.88%, 7/15/2013 15,000 14,558 Capital One Bank 5.00%, 6/15/2009 110,000 109,162 6.50%, 6/13/2013 130,000 136,242 -------------------- 259,962 -------------------- Finance - Investment Banker & Broker (3.28%) Banque Paribas/New York 6.88%, 3/ 1/2009 25,000 25,768 Bear Stearns Cos Inc/The 5.30%, 10/30/2015 50,000 49,022 Citigroup Inc 5.00%, 9/15/2014 205,000 198,727 6.63%, 6/15/2032 55,000 59,976 5.88%, 2/22/2033 180,000 179,161 Credit Suisse USA Inc 5.60%, 1/15/2010 (a) 150,000 150,576 6.50%, 1/15/2012 50,000 52,486 Goldman Sachs Group Inc 3.88%, 1/15/2009 360,000 350,280 5.69%, 7/23/2009 (a) 150,000 150,951 5.57%, 3/ 2/2010 (a) 200,000 200,658 5.63%, 1/15/2017 300,000 296,142 5.95%, 1/15/2027 240,000 234,178 6.45%, 5/ 1/2036 100,000 102,522 Jefferies Group Inc 6.25%, 1/15/2036 200,000 191,251 JPMorgan Chase & Co 6.75%, 2/ 1/2011 510,000 533,478 4.75%, 3/ 1/2015 135,000 128,381 5.25%, 5/ 1/2015 295,000 289,757 Lehman Brothers Holdings Inc 5.62%, 11/10/2009 (a) 275,000 276,177 Finance - Investment Banker & Broker Merrill Lynch & Co Inc 5.62%, 2/ 6/2009 (a) 380,000 381,496 2.47%, 3/ 2/2009 (a) 20,000 19,091 5.59%, 2/ 5/2010 (a) 175,000 175,624 6.11%, 1/29/2037 170,000 167,926 Morgan Stanley 5.64%, 1/15/2010 (a)(b) 525,000 527,731 5.30%, 3/ 1/2013 20,000 19,915 4.75%, 4/ 1/2014 340,000 322,479 -------------------- 5,083,753 -------------------- Finance - Leasing Company (0.35%) EntreCap Financial Corp 5.75%, 8/15/2008 30,000 30,108 International Lease Finance Corp 5.76%, 1/15/2010 (a) 170,000 171,484 5.59%, 5/24/2010 (b) 200,000 200,723 5.63%, 9/20/2013 140,000 140,265 -------------------- 542,580 -------------------- Finance - Mortgage Loan/Banker (3.42%) Countrywide Financial Corp 5.64%, 12/19/2008 (a) 145,000 145,401 5.59%, 3/24/2009 150,000 150,340 6.25%, 5/15/2016 125,000 128,026 Countrywide Home Loans Inc 4.25%, 12/19/2007 100,000 98,976 Fannie Mae 3.70%, 11/ 1/2007 45,000 44,455 2.88%, 5/19/2008 50,000 48,521 6.13%, 3/15/2012 (d) 475,000 496,646 5.62%, 2/25/2018 (a) 126,882 127,184 5.57%, 11/25/2022 (a) 147,132 147,592 5.52%, 1/25/2023 (a) 179,731 180,111 7.25%, 5/15/2030 225,000 281,865 5.62%, 2/25/2032 (a) 195,203 195,893 5.57%, 3/25/2035 (a) 244,821 245,083 Fannie Mae Whole Loan 5.52%, 5/25/2035 (a) 251,757 252,614 Freddie Mac 4.75%, 5/ 6/2013 75,000 72,152 5.62%, 5/15/2013 (a) 69,237 69,284 4.63%, 5/28/2013 80,000 76,908 5.77%, 6/15/2023 (a) 143,030 144,431 5.67%, 2/15/2030 (a) 144,860 145,303 5.50%, 9/15/2031 325,000 320,558 6.25%, 7/15/2032 (d) 750,000 845,500 Residential Capital LLC 6.74%, 6/29/2007 (a) 150,000 150,614 5.85%, 6/ 9/2008 425,000 424,239 6.00%, 2/22/2011 165,000 164,119 6.50%, 4/17/2013 340,000 343,159 -------------------- 5,298,974 -------------------- Finance - Other Services (0.18%) Alamosa Delaware Inc 8.50%, 1/31/2012 140,000 148,431 Mizuho JGB Investment LLC 9.87%, 12/30/2025 (c) 100,000 105,496 Finance - Other Services National Rural Utilities Cooperative Finance Corp 5.75%, 8/28/2009 30,000 30,319 -------------------- 284,246 -------------------- Financial Guarantee Insurance (0.04%) MGIC Investment Corp 5.63%, 9/15/2011 65,000 64,820 -------------------- Food - Miscellaneous/Diversified (0.20%) General Mills Inc 5.49%, 1/22/2010 300,000 299,938 HJ Heinz Finance Co 6.75%, 3/15/2032 15,000 15,071 -------------------- 315,009 -------------------- Food - Retail (0.08%) Safeway Inc 5.72%, 3/27/2009 (a) 125,000 125,076 -------------------- Food - Wholesale & Distribution (0.01%) Sysco International Co 6.10%, 6/ 1/2012 15,000 15,418 -------------------- Gas - Distribution (0.10%) KeySpan Corp 7.63%, 11/15/2010 10,000 10,709 Sempra Energy 4.75%, 5/15/2009 60,000 59,171 Southern Union Co 6.15%, 8/16/2008 90,000 90,480 -------------------- 160,360 -------------------- Home Equity - Other (5.70%) ACE Securities Corp 5.53%, 5/25/2035 (a) 160,000 160,135 5.43%, 7/25/2035 (a) 44,776 44,780 5.57%, 7/25/2035 (a) 300,000 300,293 5.53%, 8/25/2035 (a)(b) 550,000 550,170 5.52%, 10/25/2035 (a)(b) 400,000 400,126 Asset Backed Funding Certificates 5.58%, 2/25/2035 (a) 44,428 44,442 5.50%, 6/25/2035 (a)(b) 327,843 327,885 Asset Backed Securities Corp Home Equity 5.61%, 3/25/2035 (a)(b) 192,970 193,081 Bear Stearns Asset Backed Securities Inc 5.97%, 2/25/2034 (a) 43,947 44,046 5.92%, 3/25/2034 (a) 170,494 170,493 5.56%, 2/25/2035 (a) 20,141 20,145 5.48%, 8/25/2036 (a)(b) 525,000 525,120 CDC Mortgage Capital Trust 5.89%, 6/25/2034 (a) 159,374 159,509 Countrywide Asset-Backed Certificates 6.09%, 6/25/2021 (a) 225,000 226,553 Financial Asset Securities Corp AAA Trust 5.59%, 2/27/2035 (a)(c) 17,097 17,107 First NLC Trust 5.62%, 9/25/2035 (a)(b) 169,221 169,404 GMAC Mortgage Corp Loan Trust 5.75%, 10/25/2036 150,000 149,904 5.81%, 10/25/2036 115,000 115,045 Home Equity - Other IXIS Real Estate Capital Trust 5.58%, 9/25/2035 (a)(b) 441,677 442,798 5.56%, 12/25/2035 (a) 260,000 260,260 Master Asset Backed Securities Trust 6.97%, 8/25/2033 (a) 100,965 101,119 5.55%, 12/25/2034 (a) 32,511 32,518 Morgan Stanley ABS Capital I 6.19%, 12/25/2034 (a) 50,000 50,345 5.42%, 7/25/2035 (a) 54,680 54,690 5.57%, 9/25/2035 (a)(b) 500,000 500,774 Morgan Stanley Home Equity Loans 5.43%, 8/25/2035 (a) 148,846 148,873 New Century Home Equity Loan Trust 6.04%, 1/25/2034 (a) 183,130 183,974 5.61%, 3/25/2035 (a) 98,006 98,128 5.59%, 7/25/2035 (a) 125,000 125,285 Nomura Home Equity Loan Inc 5.44%, 5/25/2035 (a) 34,013 34,016 5.54%, 5/25/2035 (a) 200,000 200,146 Option One Mortgage Loan Trust 5.85%, 5/25/2034 (a) 125,000 125,302 6.37%, 5/25/2034 (a) 125,000 124,999 5.62%, 11/25/2034 (a) 158 158 5.56%, 2/25/2035 (a) 46,648 46,678 6.32%, 2/25/2035 (a) 50,000 50,358 5.57%, 8/25/2035 (a) 175,000 175,295 Residential Asset Securities Corp 5.76%, 10/25/2033 (a) 49,112 49,121 6.47%, 3/25/2035 (a) 75,000 75,101 5.48%, 7/25/2035 (a)(b) 525,000 525,198 5.59%, 7/25/2035 (a) 250,000 250,870 Saxon Asset Securities Trust 6.45%, 3/25/2035 (a) 225,000 225,244 Soundview Home Equity Loan Trust 5.44%, 7/25/2036 (a)(b) 450,000 450,047 Wells Fargo Home Equity Trust 5.82%, 4/25/2034 (a) 175,000 175,002 5.61%, 10/25/2035 (b)(c) 703,767 704,346 -------------------- 8,828,883 -------------------- Home Equity - Sequential (0.32%) Countrywide Asset-Backed Certificates 5.39%, 4/25/2036 265,000 263,242 5.51%, 8/25/2036 220,000 219,092 New Century Home Equity Loan Trust 3.56%, 11/25/2033 19,831 19,757 -------------------- 502,091 -------------------- Hotels & Motels (0.16%) Starwood Hotels & Resorts Worldwide Inc 7.38%, 5/ 1/2007 250,000 251,049 -------------------- Industrial Gases (0.02%) Praxair Inc 6.38%, 4/ 1/2012 25,000 25,997 -------------------- Insurance Brokers (0.32%) AON Corp 8.21%, 1/ 1/2027 (d) 190,000 217,391 Insurance Brokers Marsh & McLennan Cos Inc 5.50%, 7/13/2007 (a) 275,000 275,012 3.63%, 2/15/2008 10,000 9,783 -------------------- 502,186 -------------------- Investment Companies (0.59%) Canadian Oil Sands Ltd 4.80%, 8/10/2009 (c) 150,000 146,830 Citadel Finance Ltd 6.25%, 12/15/2011 (c) 250,000 245,338 Xstrata Finance Canada Ltd 5.50%, 11/16/2011 (c) 140,000 139,592 5.80%, 11/15/2016 (c) 125,000 124,215 Xstrata Finance Dubai Ltd 5.72%, 11/13/2009 (c) 250,000 250,100 -------------------- 906,075 -------------------- Investment Management & Advisory Services (0.28%) Ameriprise Financial Inc 5.35%, 11/15/2010 140,000 139,923 7.52%, 6/ 1/2066 (a) 200,000 218,368 Janus Capital Group Inc 5.88%, 9/15/2011 75,000 75,111 -------------------- 433,402 -------------------- Life & Health Insurance (0.62%) AmerUs Group Co 5.95%, 8/15/2015 55,000 58,301 Cigna Corp 7.00%, 1/15/2011 105,000 109,932 6.15%, 11/15/2036 95,000 92,983 Hartford Life Global Funding Trusts 5.53%, 9/15/2009 (a) 300,000 300,984 Lincoln National Corp 5.25%, 6/15/2007 20,000 19,969 Prudential Financial Inc 5.51%, 6/13/2008 (a) 150,000 150,377 4.75%, 4/ 1/2014 150,000 142,444 Stancorp Financial Group Inc 6.88%, 10/ 1/2012 75,000 78,501 -------------------- 953,491 -------------------- Linen Supply & Related Items (0.01%) Cintas Corp No 2 5.13%, 6/ 1/2007 10,000 9,989 -------------------- Machinery - Construction & Mining (0.05%) Joy Global Inc 6.00%, 11/15/2016 (c) 70,000 70,248 -------------------- Medical - Drugs (0.14%) Allergan Inc 5.75%, 4/ 1/2016 160,000 160,551 Teva Pharmaceutical Finance LLC 6.15%, 2/ 1/2036 60,000 57,842 -------------------- 218,393 -------------------- Medical - HMO (0.11%) WellPoint Inc 6.80%, 8/ 1/2012 15,000 15,815 Medical - HMO WellPoint Inc (continued) 5.85%, 1/15/2036 155,000 150,576 -------------------- 166,391 -------------------- Medical Instruments (0.07%) Boston Scientific Corp 6.00%, 6/15/2011 (d) 110,000 111,249 -------------------- Medical Products (0.07%) Baxter International Inc 5.90%, 9/ 1/2016 100,000 101,970 -------------------- Metal - Aluminum (0.12%) Alcoa Inc 7.38%, 8/ 1/2010 30,000 31,939 5.90%, 2/ 1/2027 75,000 74,131 5.95%, 2/ 1/2037 75,000 74,170 -------------------- 180,240 -------------------- Metal - Diversified (0.19%) Falconbridge Ltd 7.35%, 6/ 5/2012 10,000 10,835 7.25%, 7/15/2012 255,000 275,516 5.38%, 6/ 1/2015 15,000 14,656 -------------------- 301,007 -------------------- Money Center Banks (0.10%) Rabobank Capital Funding Trust 5.25%, 12/29/2049 (a)(c) 165,000 159,282 -------------------- Mortgage Backed Securities (22.23%) Adjustable Rate Mortgage Trust 5.89%, 2/25/2035 (a) 111,630 111,937 5.08%, 11/25/2035 (a) 140,000 138,784 Banc of America Commercial Mortgage Inc 5.68%, 8/10/2016 (a) 300,000 302,451 7.33%, 11/15/2031 150,000 156,047 4.86%, 7/10/2043 265,000 254,034 4.97%, 7/10/2043 130,000 123,985 5.12%, 7/11/2043 250,000 246,721 5.33%, 9/10/2045 325,000 323,969 5.31%, 10/10/2045 365,000 363,301 Banc of America Funding Corp 5.38%, 7/20/2036 (b) 373,062 373,263 5.42%, 7/20/2036 (a)(b) 647,543 646,856 Bear Stearns Adjustable Rate Mortgage Trust 3.52%, 6/25/2034 (a) 75,000 73,032 5.10%, 8/25/2035 (a) 543,714 544,046 Bear Stearns Alt-A Trust 5.48%, 11/25/2036 (b) 311,796 312,251 Bear Stearns Asset Backed Securities Inc 5.55%, 4/25/2036 (a)(b) 609,226 609,338 Bear Stearns Commercial Mortgage Securities Inc 5.64%, 6/15/2017 (a)(c) 300,000 300,042 7.00%, 5/20/2030 185,000 193,119 3.97%, 11/11/2035 83,677 81,526 0.53%, 5/11/2039 (a)(c) 3,392,854 62,762 3.24%, 2/11/2041 108,087 104,918 Bella Vista Mortgage Trust 5.62%, 1/22/2045 (a) 130,444 130,701 Mortgage Backed Securities Bella Vista Mortgage Trust (continued) 5.57%, 5/20/2045 (a) 670,851 672,576 Chase Commercial Mortgage Securities Corp 7.32%, 10/15/2032 300,000 315,593 Citigroup Commercial Mortgage Trust 0.52%, 10/15/2049 4,870,000 138,162 Citigroup/Deutsche Bank Commercial Mortgage Trust 0.45%, 10/15/2048 8,110,000 197,492 Commercial Mortgage Pass Through Certificates 5.06%, 5/10/2043 (a) 100,000 96,848 0.05%, 12/10/2046 3,905,000 48,941 5.25%, 12/10/2046 235,000 233,091 Countrywide Alternative Loan Trust 5.57%, 5/25/2034 (a) 52,156 52,168 5.54%, 5/25/2035 (a) 135,840 136,064 6.19%, 7/20/2035 (a)(e) 134,294 134,654 5.49%, 6/25/2036 (a) 750,000 750,622 Countrywide Asset-Backed Certificates 5.60%, 11/25/2035 (a) 189,164 189,298 5.72%, 4/25/2036 (a) 325,000 325,898 Countrywide Home Loan Mortgage Pass Through Certificates 4.59%, 12/19/2033 (a) 50,000 48,074 5.52%, 4/25/2046 (a) 245,816 245,477 Credit Suisse Mortgage Capital Certificates 5.83%, 6/15/2038 (a) 325,000 333,570 0.59%, 9/15/2039 (c) 5,337,000 165,497 0.06%, 12/15/2039 1,445,000 25,044 0.67%, 12/15/2039 6,350,000 227,531 CS First Boston Mortgage Securities Corp 5.60%, 11/15/2020 (a)(b)(c) 203,781 203,873 1.38%, 3/15/2036 (a)(c) 1,243,243 30,990 0.46%, 5/15/2036 (a)(c) 1,097,894 13,558 0.61%, 7/15/2036 (a)(c) 1,184,336 24,654 0.16%, 11/15/2037 (a)(c) 2,009,557 41,620 7.64%, 9/15/2041 (a) 40,000 42,339 CW Capital Cobalt Ltd 5.17%, 8/15/2048 355,000 350,405 First Union National Bank Commercial Mortgage 7.84%, 5/17/2032 215,000 227,943 5.59%, 2/12/2034 52,106 52,154 First Union National Bank Commercial Mortgage Securities Inc 8.09%, 5/17/2032 65,000 69,897 6.14%, 2/12/2034 150,000 154,656 GE Capital Commercial Mortgage Corp 4.97%, 8/11/2036 74,743 73,951 0.60%, 3/10/2040 (a)(c) 1,647,234 31,423 4.98%, 5/10/2043 (a) 465,000 449,011 5.33%, 11/10/2045 (a) 1,045,000 1,034,342 GMAC Commercial Mortgage Securities Inc 6.96%, 9/15/2035 150,000 157,321 0.83%, 3/10/2038 (a)(c) 1,201,387 32,033 Greenpoint Mortgage Funding Trust 5.59%, 6/25/2045 (a)(b) 694,118 694,263 5.62%, 6/25/2045 (a) 115,809 116,205 Greenwich Capital Commercial Funding Corp 0.32%, 6/10/2036 (a)(c) 9,306,433 101,977 5.91%, 7/10/2038 (a) 230,000 237,179 GS Mortgage Securities Corp 0.65%, 11/10/2039 2,549,189 114,513 Mortgage Backed Securities GSR Mortgage Loan Trust 5.50%, 12/25/2035 (a) 129,929 129,959 5.58%, 8/25/2046 (a)(b) 698,195 699,522 Homebanc Mortgage Trust 5.66%, 1/25/2036 (a)(b) 649,442 651,370 HSI Asset Securitization Corp Trust 5.50%, 8/25/2035 (a)(b) 425,000 425,142 Impac CMB Trust 6.26%, 10/25/2033 (a) 62,314 62,774 6.32%, 10/25/2033 (a) 52,196 52,230 6.08%, 12/25/2033 (a) 23,996 23,995 5.70%, 1/25/2035 (a) 105,689 105,772 5.63%, 4/25/2035 (a) 95,386 95,502 5.75%, 4/25/2035 (a) 88,829 89,097 5.62%, 8/25/2035 (a) 124,916 125,009 5.83%, 8/25/2035 (a) 271,175 271,912 Impac Secured Assets CMN Owner Trust 5.59%, 12/25/2031 (a)(b) 324,268 325,360 5.60%, 3/25/2036 (b) 925,000 928,297 Indymac Index Mortgage Loan Trust 5.62%, 4/25/2034 (a) 181,858 182,198 5.55%, 4/25/2035 (a) 103,561 103,925 5.65%, 4/25/2035 (a) 102,199 102,539 5.62%, 8/25/2035 (a) 262,893 263,894 5.51%, 1/25/2037 (b)(e) 625,000 625,000 JP Morgan Chase Commercial Mortgage Securities 0.52%, 10/12/2035 (a)(c) 1,627,373 59,227 5.13%, 9/12/2037 (a) 100,000 96,383 1.12%, 1/12/2039 (a)(c) 1,065,168 35,186 0.20%, 1/15/2042 (a)(c) 1,963,048 35,054 4.78%, 7/15/2042 290,000 275,161 5.59%, 5/12/2045 (a) 190,000 190,277 5.44%, 5/15/2045 (a) 325,000 321,776 5.30%, 5/15/2047 355,000 352,407 JP Morgan Mortgage Trust 5.30%, 7/25/2035 (e) 200,000 197,898 4.95%, 11/25/2035 (a) 400,000 397,539 5.31%, 4/25/2036 (a) 223,308 222,637 5.84%, 6/25/2036 (a) 348,997 348,362 5.99%, 6/25/2036 (a) 114,484 114,271 5.97%, 8/25/2036 (a) 550,000 555,298 6.00%, 8/25/2036 (a) 286,576 285,560 5.58%, 10/25/2036 580,000 575,679 LB Commercial Conduit Mortgage Trust 7.33%, 10/15/2032 150,000 155,360 LB-UBS Commercial Mortgage Trust 6.06%, 6/15/2020 24,996 25,283 4.90%, 6/15/2026 116,458 115,886 5.59%, 6/15/2031 110,000 110,963 5.74%, 6/15/2032 240,432 242,503 0.26%, 3/15/2036 (a)(c) 704,119 19,805 1.15%, 3/15/2036 (a)(c) 2,347,073 69,899 0.69%, 8/15/2036 (a)(c) 923,624 19,156 5.90%, 6/15/2038 (a) 175,000 180,744 5.41%, 9/15/2039 (a) 80,000 79,125 Merrill Lynch Mortgage Investors Inc 5.44%, 8/25/2035 (a) 102,559 102,596 Merrill Lynch Mortgage Trust 5.78%, 8/12/2016 290,000 294,768 Mortgage Backed Securities Merrill Lynch Mortgage Trust (continued) 5.61%, 5/12/2039 275,000 277,633 5.66%, 5/12/2039 (a) 335,000 339,909 0.53%, 2/12/2042 (a) 2,414,411 34,594 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.46%, 7/12/2046 (a) 170,000 168,321 0.05%, 12/12/2049 2,455,000 36,487 5.11%, 12/12/2049 280,000 275,961 Morgan Stanley Capital I 7.11%, 4/15/2033 195,000 201,456 1.01%, 1/13/2041 (a)(c) 748,448 26,091 5.54%, 5/24/2043 (a)(b)(c)(e) 425,000 424,552 0.04%, 12/15/2043 (c) 2,790,000 37,762 5.92%, 12/20/2046 (e) 150,000 150,000 Morgan Stanley Dean Witter Capital I 6.54%, 2/15/2031 72,981 74,397 Nomura Asset Acceptance Corp 5.67%, 2/25/2035 (a) 117,411 117,581 Sequoia Mortgage Trust 5.55%, 2/20/2035 (a) 145,424 145,363 Specialty Underwriting & Residential Finance 5.83%, 2/25/2035 (a) 126,796 127,288 5.55%, 12/25/2035 (a) 111,809 111,842 5.55%, 3/25/2036 (a) 220,351 220,642 5.43%, 6/25/2036 (a) 70,989 70,998 Structured Adjustable Rate Mortgage Loan Trust 4.68%, 7/25/2034 (a) 400,000 391,154 6.02%, 8/25/2034 (a) 319,857 322,977 5.57%, 3/25/2035 (a) 110,624 110,693 5.25%, 12/25/2035 175,638 173,627 5.25%, 2/25/2036 (a) 239,968 237,975 Structured Asset Mortgage Investments Inc 5.62%, 5/25/2045 (a) 114,573 114,951 5.63%, 9/25/2045 (a) 183,951 184,731 Structured Asset Securities Corp 5.50%, 6/25/2036 (a) 325,000 324,888 Thornburg Mortgage Securities Trust 5.58%, 10/25/2035 (a) 355,540 355,940 Wachovia Bank Commercial Mortgage Trust 0.19%, 11/15/2035 (c) 5,336,734 59,574 0.22%, 1/15/2041 (a)(c) 891,665 6,685 0.44%, 10/15/2041 (a)(c) 5,109,356 85,251 0.27%, 3/15/2042 (a)(c) 8,369,099 96,341 4.94%, 4/15/2042 430,000 413,692 5.80%, 7/15/2045 345,000 350,332 Washington Mutual Alternative Mortgage 5.60%, 6/25/2046 (a)(b) 583,428 584,335 Washington Mutual Asset Securities Corp 3.83%, 1/25/2035 (c) 219,190 210,984 Washington Mutual Inc 5.64%, 12/25/2027 (a) 232,987 233,020 3.97%, 3/25/2033 34,548 34,048 3.80%, 6/25/2034 (a) 125,000 120,429 4.67%, 5/25/2035 (a) 75,000 73,725 6.08%, 9/25/2036 123,411 123,310 5.79%, 7/25/2044 (a) 88,580 88,920 5.63%, 1/25/2045 (a) 104,388 104,559 5.85%, 1/25/2045 (a) 224,351 225,027 5.55%, 4/25/2045 (a) 57,978 58,114 Mortgage Backed Securities Washington Mutual Inc (continued) 5.59%, 4/25/2045 (a) 104,360 104,663 5.61%, 7/25/2045 (a) 147,865 148,296 5.70%, 11/25/2045 (a)(b) 800,000 803,740 Wells Fargo Mortgage Backed Securities 4.19%, 3/25/2035 (a) 243,407 239,073 4.99%, 10/25/2035 (a) 419,902 414,848 -------------------- 34,423,069 -------------------- Multi-Line Insurance (0.96%) ACE Ltd 6.00%, 4/ 1/2007 140,000 140,093 Aegon NV 4.75%, 6/ 1/2013 10,000 9,607 American International Group Inc 4.25%, 5/15/2013 (d) 15,000 14,028 CNA Financial Corp 6.00%, 8/15/2011 130,000 131,572 Genworth Financial Inc 6.15%, 11/15/2066 (a) 90,000 89,637 Hartford Financial Services Group Inc 4.70%, 9/ 1/2007 15,000 14,932 5.25%, 10/15/2011 80,000 79,602 5.95%, 10/15/2036 55,000 54,765 ING Groep NV 5.78%, 12/ 8/2035 410,000 405,825 Metlife Inc 6.40%, 12/15/2036 295,000 295,557 Metropolitan Life Global Funding I 5.51%, 3/17/2009 (a)(c) 250,000 250,306 -------------------- 1,485,924 -------------------- Multimedia (0.92%) News America Inc 6.63%, 1/ 9/2008 150,000 151,332 4.75%, 3/15/2010 10,000 9,791 6.20%, 12/15/2034 55,000 53,356 6.40%, 12/15/2035 60,000 59,759 Thomson Corp/The 5.75%, 2/ 1/2008 15,000 15,027 4.75%, 5/28/2010 15,000 14,703 Time Warner Entertainment Co LP 8.38%, 3/15/2023 140,000 164,486 Time Warner Inc 6.15%, 5/ 1/2007 125,000 125,161 5.61%, 11/13/2009 200,000 200,182 5.50%, 11/15/2011 110,000 109,730 6.50%, 11/15/2036 85,000 84,601 Viacom Inc 5.74%, 6/16/2009 (d) 75,000 75,255 5.75%, 4/30/2011 80,000 80,087 Walt Disney Co/The 5.45%, 9/10/2009 (a)(b) 275,000 275,343 7.00%, 3/ 1/2032 10,000 11,430 -------------------- 1,430,243 -------------------- Mutual Insurance (0.04%) Liberty Mutual Group Inc 7.50%, 8/15/2036 (c)(d) 60,000 65,236 -------------------- Non-Ferrous Metals (0.06%) Codelco Inc 6.15%, 10/24/2036 (c) 90,000 91,537 -------------------- Non-Hazardous Waste Disposal (0.07%) Oakmont Asset Trust 4.51%, 12/22/2008 (c) 105,000 102,371 -------------------- Oil - Field Services (0.31%) BJ Services Co 5.54%, 6/ 1/2008 (a) 275,000 275,124 Halliburton Co 5.50%, 10/15/2010 15,000 14,989 Smith International Inc 6.00%, 6/15/2016 85,000 85,597 Weatherford International Ltd 6.50%, 8/ 1/2036 105,000 104,999 -------------------- 480,709 -------------------- Oil & Gas Drilling (0.24%) Transocean Inc 5.57%, 9/ 5/2008 (a)(b) 375,000 375,298 -------------------- Oil Company - Exploration & Production (0.80%) Anadarko Petroleum Corp 5.76%, 9/15/2009 (a) 200,000 200,503 6.45%, 9/15/2036 170,000 168,433 Apache Corp 5.63%, 1/15/2017 15,000 15,006 6.00%, 1/15/2037 55,000 54,773 Nexen Inc 5.05%, 11/20/2013 310,000 297,342 7.88%, 3/15/2032 20,000 23,674 Pemex Project Funding Master Trust 8.00%, 11/15/2011 (d) 240,000 261,600 XTO Energy Inc 5.65%, 4/ 1/2016 100,000 98,242 6.10%, 4/ 1/2036 125,000 120,380 -------------------- 1,239,953 -------------------- Oil Company - Integrated (0.22%) ConocoPhillips Co 8.75%, 5/25/2010 25,000 27,560 Husky Energy Inc 6.25%, 6/15/2012 40,000 41,060 6.15%, 6/15/2019 55,000 55,355 Marathon Oil Corp 6.80%, 3/15/2032 15,000 16,483 Occidental Petroleum Corp 4.00%, 11/30/2007 20,000 19,791 Petro-Canada 4.00%, 7/15/2013 15,000 13,607 5.95%, 5/15/2035 155,000 146,208 Petronas Capital Ltd 7.88%, 5/22/2022 (c) 10,000 12,114 -------------------- 332,178 -------------------- Oil Field Machinery & Equipment (0.06%) Cameron International Corp 2.65%, 4/15/2007 90,000 89,489 -------------------- Oil Refining & Marketing (0.19%) Premcor Refining Group Inc/The 9.25%, 2/ 1/2010 240,000 251,863 6.75%, 2/ 1/2011 40,000 41,336 -------------------- 293,199 -------------------- Paper & Related Products (0.01%) Celulosa Arauco y Constitucion SA 5.13%, 7/ 9/2013 10,000 9,570 MeadWestvaco Corp 6.85%, 4/ 1/2012 10,000 10,495 -------------------- 20,065 -------------------- Pharmacy Services (0.15%) Medco Health Solutions Inc 7.25%, 8/15/2013 225,000 238,995 -------------------- Pipelines (0.88%) Boardwalk Pipelines LLC 5.50%, 2/ 1/2017 45,000 43,262 Buckeye Partners LP 4.63%, 7/15/2013 50,000 46,624 Consolidated Natural Gas Co 5.00%, 3/ 1/2014 15,000 14,417 Enbridge Energy Partners LP 4.00%, 1/15/2009 35,000 33,885 5.95%, 6/ 1/2033 135,000 124,175 Energy Transfer Partners LP 6.63%, 10/15/2036 50,000 51,279 Kinder Morgan Energy Partners LP 6.75%, 3/15/2011 30,000 31,249 6.00%, 2/ 1/2017 185,000 185,548 6.50%, 2/ 1/2037 185,000 185,240 National Fuel Gas Co 5.25%, 3/ 1/2013 40,000 38,868 ONEOK Partners LP 5.90%, 4/ 1/2012 130,000 131,494 6.65%, 10/ 1/2036 120,000 123,545 Plains All American Pipeline LP 6.70%, 5/15/2036 125,000 127,742 TEPPCO Partners LP 7.63%, 2/15/2012 215,000 229,782 -------------------- 1,367,110 -------------------- Power Converter & Supply Equipment (0.01%) Cooper Industries Inc 5.25%, 7/ 1/2007 15,000 14,959 -------------------- Property & Casualty Insurance (0.28%) Arch Capital Group Ltd 7.35%, 5/ 1/2034 180,000 195,852 Markel Corp 6.80%, 2/15/2013 70,000 72,247 Progressive Corp/The 6.25%, 12/ 1/2032 5,000 5,251 Safeco Corp 7.25%, 9/ 1/2012 3,000 3,242 St Paul Travelers Cos Inc/The 5.75%, 3/15/2007 155,000 155,095 -------------------- 431,687 -------------------- Real Estate Magagement & Services (0.18%) EOP Operating LP 7.00%, 7/15/2011 35,000 37,375 5.88%, 1/15/2013 110,000 113,465 4.75%, 3/15/2014 125,000 123,256 -------------------- 274,096 -------------------- Real Estate Operator & Developer (0.04%) Duke Realty LP 5.63%, 8/15/2011 45,000 45,147 4.63%, 5/15/2013 10,000 9,485 -------------------- 54,632 -------------------- Regional Authority (0.03%) Province of Nova Scotia Canada 5.75%, 2/27/2012 25,000 25,633 Province of Ontario Canada 5.13%, 7/17/2012 25,000 24,965 -------------------- 50,598 -------------------- Regional Banks (1.39%) Bank of America Corp 3.88%, 1/15/2008 (d) 5,000 4,926 Bank One Corp 6.00%, 8/ 1/2008 50,000 50,509 Capital One Financial Corp 5.67%, 9/10/2009 (b) 250,000 251,154 5.70%, 9/15/2011 110,000 111,042 4.80%, 2/21/2012 130,000 125,881 5.50%, 6/ 1/2015 125,000 123,813 6.15%, 9/ 1/2016 215,000 220,429 Fifth Third Bancorp 3.38%, 8/15/2008 10,000 9,714 Fleet Capital Trust II 7.92%, 12/11/2026 300,000 311,988 PNC Funding Corp 0.00%, 1/31/2012 (f) 450,000 449,803 SunTrust Preferred Capital I 5.85%, 12/31/2049 95,000 95,854 Wachovia Corp 6.38%, 2/ 1/2009 180,000 183,506 Wells Fargo & Co 3.50%, 4/ 4/2008 (d) 10,000 9,788 3.12%, 8/15/2008 30,000 28,991 Wells Fargo Capital X 5.95%, 12/15/2036 180,000 176,899 -------------------- 2,154,297 -------------------- Reinsurance (0.44%) Endurance Specialty Holdings Ltd 7.00%, 7/15/2034 165,000 167,326 PartnerRe Finance II 6.44%, 12/ 1/2066 (a) 90,000 89,576 Platinum Underwriters Finance Inc 7.50%, 6/ 1/2017 175,000 183,031 Transatlantic Holdings Inc 5.75%, 12/14/2015 250,000 247,082 -------------------- 687,015 -------------------- REITS - Apartments (0.11%) AvalonBay Communities Inc 5.50%, 1/15/2012 120,000 120,060 REITS - Apartments Camden Property Trust 5.88%, 6/ 1/2007 15,000 15,018 United Dominion Realty Trust Inc 6.50%, 6/15/2009 40,000 40,980 -------------------- 176,058 -------------------- REITS - Diversified (0.51%) iStar Financial Inc 6.61%, 3/12/2007 (a) 150,000 150,172 5.70%, 9/15/2009 (a)(c) 125,000 125,103 5.65%, 9/15/2011 200,000 199,197 5.15%, 3/ 1/2012 140,000 135,472 5.95%, 10/15/2013 (c) 175,000 174,744 -------------------- 784,688 -------------------- REITS - Healthcare (0.32%) Health Care Property Investors Inc 5.81%, 9/15/2008 (a)(b) 150,000 149,882 5.65%, 12/15/2013 185,000 181,356 6.00%, 1/30/2017 125,000 123,610 Nationwide Health Properties Inc 6.50%, 7/15/2011 40,000 40,746 -------------------- 495,594 -------------------- REITS - Hotels (0.07%) Hospitality Properties Trust 6.30%, 6/15/2016 100,000 101,572 -------------------- REITS - Office Property (0.21%) Brandywine Operating Partnership LP/PA 5.63%, 12/15/2010 130,000 130,235 HRPT Properties Trust 5.96%, 3/16/2011 (a) 200,000 200,097 -------------------- 330,332 -------------------- REITS - Regional Malls (0.19%) Simon Property Group LP 5.38%, 8/28/2008 10,000 9,984 3.75%, 1/30/2009 15,000 14,553 5.60%, 9/ 1/2011 (d) 145,000 145,747 5.75%, 5/ 1/2012 125,000 126,309 -------------------- 296,593 -------------------- REITS - Shopping Centers (0.17%) Developers Diversified Realty Corp 5.38%, 10/15/2012 200,000 197,044 Federal Realty Investment Trust 6.20%, 1/15/2017 65,000 66,506 -------------------- 263,550 -------------------- REITS - Single Tenant (0.22%) Tanger Properties LP 9.13%, 2/15/2008 335,000 345,489 -------------------- REITS - Warehouse & Industrial (0.16%) Prologis 5.62%, 8/24/2009 (a)(b) 250,000 250,429 -------------------- Rental - Auto & Equipment (0.25%) Erac USA Finance Co 5.61%, 4/30/2009 (b)(c) 260,000 260,545 Rental - Auto & Equipment Erac USA Finance Co (continued) 5.62%, 8/28/2009 (a)(c) 125,000 125,240 -------------------- 385,785 -------------------- Retail - Building Products (0.28%) Home Depot Inc 5.49%, 12/16/2009 (b) 150,000 150,170 5.25%, 12/16/2013 170,000 168,184 5.88%, 12/16/2036 115,000 112,071 -------------------- 430,425 -------------------- Retail - Drug Store (0.01%) CVS Corp 3.88%, 11/ 1/2007 15,000 14,821 -------------------- Retail - Regional Department Store (0.13%) JC Penney Corp Inc 8.13%, 4/ 1/2027 185,000 189,835 Kohl's Corp 6.00%, 1/15/2033 10,000 9,521 -------------------- 199,356 -------------------- Retail - Restaurants (0.01%) McDonald's Corp 5.38%, 4/30/2007 15,000 15,001 -------------------- Savings & Loans - Thrifts (0.42%) Washington Mutual Bank 6.88%, 6/15/2011 75,000 78,737 Washington Mutual Inc 5.66%, 1/15/2010 (a)(b) 575,000 577,549 -------------------- 656,286 -------------------- Sovereign (0.34%) Chile Government International Bond 5.76%, 1/28/2008 (a) 175,000 175,437 5.50%, 1/15/2013 5,000 5,023 Poland Government International Bond 6.25%, 7/ 3/2012 15,000 15,643 South Africa Government International Bond 6.50%, 6/ 2/2014 65,000 67,925 United Mexican States 6.75%, 9/27/2034 243,000 257,580 -------------------- 521,608 -------------------- Special Purpose Banks (0.09%) Korea Development Bank 4.25%, 11/13/2007 10,000 9,899 3.88%, 3/ 2/2009 15,000 14,548 5.76%, 10/20/2009 (a) 110,000 110,716 -------------------- 135,163 -------------------- Special Purpose Entity (1.26%) BAE Systems Holdings Inc 6.40%, 12/15/2011 (c) 285,000 295,174 5.20%, 8/15/2015 (c) 205,000 198,552 Capital One Capital IV 6.75%, 2/17/2037 (g) 95,000 95,608 John Hancock Global Funding II 5.53%, 4/ 3/2009 (a)(b)(c) 300,000 300,782 JPMorgan Chase Capital XXII 6.45%, 2/ 2/2037 (g) 70,000 70,697 Special Purpose Entity MBIA Global Funding LLC 5.32%, 2/20/2007 (a)(c) 250,000 250,002 Rio Tinto Finance USA Ltd 2.63%, 9/30/2008 15,000 14,350 SMFG Preferred Capital USD 1 Ltd 6.08%, 12/29/2049 (c) 185,000 181,988 Swiss Re Capital I LP 6.85%, 5/29/2049 (a)(c) 150,000 157,025 Tyco International Group S.A. Participation Certification Trust 4.44%, 6/15/2007 (c) 350,000 348,591 Unilever Capital Corp 7.13%, 11/ 1/2010 30,000 31,737 -------------------- 1,944,506 -------------------- Supranational Bank (0.05%) Inter-American Development Bank 6.38%, 10/22/2007 75,000 75,562 -------------------- Telecommunication Services (0.39%) TELUS Corp 7.50%, 6/ 1/2007 190,000 191,037 Verizon Global Funding Corp 6.88%, 6/15/2012 15,000 15,968 7.75%, 12/ 1/2030 335,000 389,633 -------------------- 596,638 -------------------- Telephone - Integrated (1.27%) AT&T Inc 5.58%, 11/14/2008 (a)(b) 325,000 325,969 Deutsche Telekom International Finance BV 5.55%, 3/23/2009 (a) 250,000 250,418 France Telecom SA 7.75%, 3/ 1/2011 (a) 290,000 314,731 Sprint Nextel Corp 6.00%, 12/ 1/2016 335,000 325,683 Telecom Italia Capital SA 4.00%, 11/15/2008 15,000 14,616 5.85%, 2/ 1/2011 (a) 70,000 69,826 5.97%, 7/18/2011 (a) 150,000 150,155 Telefonica Emisiones SAU 5.66%, 6/19/2009 (a) 150,000 150,210 5.98%, 6/20/2011 100,000 101,588 7.05%, 6/20/2036 55,000 59,167 Telefonica Europe BV 7.75%, 9/15/2010 70,000 75,046 Telefonos de Mexico SA de CV 4.50%, 11/19/2008 100,000 98,096 Verizon Communications Inc 5.35%, 2/15/2011 (d) 35,000 34,927 -------------------- 1,970,432 -------------------- Television (0.16%) CBS Corp 5.63%, 5/ 1/2007 (b) 250,000 250,080 -------------------- Textile - Home Furnishings (0.02%) Mohawk Industries Inc 6.50%, 4/15/2007 30,000 30,048 -------------------- Tools - Hand Held (0.21%) Snap-On Inc 5.49%, 1/12/2010 (b) 225,000 224,970 5.25%, 1/15/2017 80,000 79,033 Stanley Works/The 4.90%, 11/ 1/2012 (d) 15,000 14,457 -------------------- 318,460 -------------------- Transport - Rail (0.22%) Burlington Northern Santa Fe Corp 7.95%, 8/15/2030 30,000 36,326 6.20%, 8/15/2036 150,000 151,012 Canadian National Railway Co 4.40%, 3/15/2013 15,000 14,172 CSX Corp 4.88%, 11/ 1/2009 100,000 98,598 Union Pacific Corp 4.70%, 1/ 2/2024 9,701 9,169 6.63%, 2/ 1/2029 35,000 37,385 -------------------- 346,662 -------------------- Transport - Services (0.22%) FedEx Corp 2.65%, 4/ 1/2007 300,000 298,682 3.50%, 4/ 1/2009 40,000 38,418 -------------------- 337,100 -------------------- TOTAL BONDS $ 118,241,527 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (54.26%) Federal Home Loan Mortgage Corporation (FHLMC) (13.76%) 4.50%, 2/ 1/2022 (h) 530,000 508,303 5.00%, 2/ 1/2022 (h) 1,815,000 1,774,163 5.00%, 2/ 1/2037 (h) 3,685,000 3,538,750 5.50%, 2/ 1/2037 (h) 7,060,000 6,947,478 6.00%, 2/ 1/2037 (h) 3,660,000 3,673,725 6.50%, 2/ 1/2037 (h) 400,000 406,625 5.50%, 3/ 1/2009 6,797 6,834 6.50%, 12/ 1/2015 9,565 9,777 7.50%, 12/ 1/2015 15,543 16,094 6.50%, 6/ 1/2017 51,929 53,080 6.00%, 7/ 1/2017 99,565 100,810 5.00%, 5/ 1/2018 119,233 116,845 5.00%, 1/ 1/2019 135,537 132,794 6.00%, 6/ 1/2028 46,178 46,601 6.50%, 3/ 1/2029 58,205 59,655 7.50%, 10/ 1/2030 24,756 25,824 8.00%, 11/ 1/2030 1,604 1,685 7.00%, 12/ 1/2030 19,311 19,940 7.50%, 12/ 1/2030 3,591 3,740 6.50%, 5/ 1/2031 40,517 41,461 6.50%, 10/ 1/2031 7,302 7,472 7.00%, 1/ 1/2032 18,678 19,265 6.50%, 2/ 1/2032 11,363 11,628 7.50%, 4/ 1/2032 10,506 10,911 6.50%, 5/ 1/2032 78,729 80,740 5.50%, 5/ 1/2033 132,252 130,486 5.50%, 8/ 1/2033 335,396 330,919 5.50%, 10/ 1/2033 121,830 120,203 5.50%, 12/ 1/2033 88,339 87,160 5.50%, 1/ 1/2034 980,370 966,734 5.50%, 9/ 1/2034 173,769 171,352 Federal Home Loan Mortgage Corporation (FHLMC) 5.50%, 3/ 1/2035 215,352 212,086 6.00%, 8/ 1/2036 133,837 134,368 6.50%, 11/ 1/2036 337,530 343,152 5.59%, 6/ 1/2035 (a) 391,764 396,821 4.69%, 8/ 1/2035 (a) 178,813 175,072 5.02%, 9/ 1/2035 355,227 354,211 5.57%, 2/ 1/2037 (e) 275,000 272,946 -------------------- 21,309,710 -------------------- Federal National Mortgage Association (FNMA) (14.92%) 4.50%, 2/ 1/2022 (h) 300,000 287,906 5.00%, 2/ 1/2022 (h) 570,000 557,531 5.50%, 2/ 1/2022 (h) 1,450,000 1,443,656 5.00%, 2/ 1/2037 (h) 3,335,000 3,199,516 5.50%, 2/ 1/2037 (h) 4,480,000 4,405,802 6.00%, 2/ 1/2037 (h) 3,790,000 3,803,030 6.50%, 2/ 1/2037 (h) 175,000 177,898 5.00%, 3/ 1/2037 (h) 1,250,000 1,199,219 5.50%, 2/ 1/2009 14,045 14,089 5.50%, 6/ 1/2009 25,877 25,958 6.00%, 10/ 1/2016 11,542 11,686 5.00%, 9/ 1/2017 411,516 403,505 5.50%, 1/ 1/2018 88,764 88,573 5.00%, 3/ 1/2018 455,193 446,224 6.00%, 10/ 1/2021 522,395 528,269 5.50%, 3/ 1/2023 266,398 263,996 5.50%, 7/ 1/2023 373,093 369,728 6.00%, 9/ 1/2031 54,218 54,618 7.00%, 9/ 1/2031 18,114 18,652 6.50%, 12/ 1/2031 33,141 33,912 6.00%, 4/ 1/2033 97,253 97,850 5.50%, 9/ 1/2033 200,815 198,021 4.23%, 6/ 1/2034 (a) 84,304 83,092 5.50%, 6/ 1/2034 37,556 37,009 4.36%, 7/ 1/2034 (a) 50,264 49,600 4.31%, 12/ 1/2034 (a) 137,248 135,340 4.60%, 3/ 1/2035 (a) 144,621 142,953 5.09%, 8/ 1/2035 235,929 235,095 5.00%, 2/ 1/2036 1,889,473 1,812,764 5.72%, 2/ 1/2036 (a) 101,447 101,550 6.85%, 3/ 1/2036 (a) 346,189 353,240 6.00%, 5/ 1/2036 92,630 92,971 5.79%, 6/ 1/2036 (a)(e) 56,989 57,153 6.00%, 7/ 1/2036 222,812 223,630 6.50%, 8/ 1/2036 315,825 321,086 6.50%, 12/ 1/2036 1,798,422 1,828,383 -------------------- 23,103,505 -------------------- Government National Mortgage Association (GNMA) (2.80%) 5.00%, 2/ 1/2037 (h) 350,000 337,859 5.50%, 2/ 1/2037 (h) 2,120,000 2,098,139 6.00%, 2/ 1/2037 (h) 250,000 252,344 7.00%, 7/15/2031 17,996 18,603 6.00%, 7/15/2032 20,216 20,441 6.00%, 12/15/2032 37,888 38,310 6.00%, 12/15/2033 531,612 537,320 5.00%, 2/15/2034 1,024,611 990,468 6.50%, 10/20/2028 22,546 23,116 8.00%, 8/20/2029 3,259 3,442 6.50%, 2/20/2032 12,662 12,966 Government National Mortgage Association (GNMA) 6.50%, 5/20/2032 4,001 4,097 -------------------- 4,337,105 -------------------- U.S. Treasury (21.73%) 4.38%, 5/15/2007 (d) 1,500,000 1,496,718 4.00%, 6/15/2009 (d) 1,250,000 1,225,440 3.63%, 7/15/2009 (d) 2,775,000 2,694,678 4.88%, 8/15/2009 (d) 2,634,551 2,633,934 3.50%, 2/15/2010 (d) 5,240,000 5,042,887 5.00%, 2/15/2011 (d) 1,750,000 1,763,057 4.88%, 2/15/2012 (d) 1,600,000 1,605,875 4.38%, 8/15/2012 (d) 1,675,000 1,641,761 3.88%, 2/15/2013 (d) 500,000 475,859 4.25%, 8/15/2013 (d) 900,000 872,086 4.00%, 2/15/2014 550,000 523,037 4.75%, 5/15/2014 (d) 750,000 746,602 4.25%, 11/15/2014 (d) 1,850,000 1,781,998 7.25%, 5/15/2016 (d) 1,375,000 1,619,062 4.88%, 8/15/2016 (d) 2,760,000 2,768,194 8.13%, 8/15/2019 (d) 825,000 1,067,215 6.25%, 8/15/2023 (d) 1,250,000 1,420,410 6.00%, 2/15/2026 (d) 1,440,000 1,610,888 6.25%, 5/15/2030 (d) 2,275,000 2,669,392 -------------------- 33,659,093 -------------------- U.S. Treasury Inflation-Indexed Obligations (1.05%) 3.88%, 1/15/2009 (d) 460,748 473,238 4.25%, 1/15/2010 359,298 378,119 2.00%, 1/15/2014 (d) 790,627 769,471 -------------------- 1,620,828 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 84,030,241 -------------------- SHORT TERM INVESTMENTS (10.08%) Commercial Paper (10.08%) Burlington Northern Santa Fe 5.33%, 2/ 1/2007 (b) 500,000 500,000 Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (f) 8,148,997 8,148,997 Investment in Joint Trading Account; General Electric Capital 5.26%, 2/ 1/2007 6,954,642 6,954,642 -------------------- 15,603,639 -------------------- TOTAL SHORT TERM INVESTMENTS $ 15,603,639 -------------------- MONEY MARKET FUNDS (4.72%) Money Center Banks (4.72%) BNY Institutional Cash Reserve Fund (b) 7,314,000 7,314,000 -------------------- TOTAL MONEY MARKET FUNDS $ 7,314,000 -------------------- Total Investments $ 225,189,407 Liabilities in Excess of Other Assets, Net - (45.42)% (70,337,033) -------------------- TOTAL NET ASSETS - 100.00% $ 154,852,374 ==================== -------------------- ====================
(a) Variable Rate (b) Security was purchased with the cash proceeds from securities loans. (c) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $9,488,541 or 6.13% of net assets. (d) Security or a portion of the security was on loan at the end of the period. (e) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $2,287,428 or 1.48% of net assets. (f) Non-Income Producing Security (g) Security purchased on a when-issued basis. (h) Security was purchased in a "to-be-announced" ("TBA") transaction. See Notes to Financial Statements. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 599,595 Unrealized Depreciation (1,776,341) -------------------- Net Unrealized Appreciation (Depreciation) (1,176,746) Cost for federal income tax purposes 226,366,153 SCHEDULE OF INTEREST RATE SWAPTION AGREEMENTS Floating Rate Pay/Receive Description Counterparty Index Floating Rate Call - OTC 3-Year Deutsche Bank 3-month LIBOR Receive Interest Rate Swap Call - OTC 3-Year Merrill Lynch 3-month LIBOR Receive Interest Rate Swap Notional Description Exercise Rate Expiration Date Amount Premium Value Call - OTC 3-Year 4.97% September-07 Interest Rate Swap 4,400,000 10,230 8,838 Call - OTC 3-Year 4.90% September-07 Interest Rate Swap 4,400,000 10,450 7,223
SCHEDULE OF TOTAL RETURN SWAP AGREEMENTS Unrealized Notional Appreciation/ Description Amount (Depreciation) ------------------------------------------------------------------------ ---------------------- ------------------------- Receive a monthly return equal to a 4.50% 15 year Fannie Mae Obligation and pay monthly a floating rate based on 1-month LIBOR less 40 basis points with UBS AG. Expires March 2007. $ 2,814,792 $ (26,981) Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on 1-month LIBOR less 10 basis points with Wachovia Bank. Expires April 2007. 1,400,000 (10,839) Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on 1-month LIBOR less 5 basis points with Wachovia Bank. Expires May 2007. 1,600,000 (12,456)
SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ---------------------------------------------------------------------------------------------- ---- ------------ Sell: Call Option; U.S. 10 Year Note; Strike Price 110; February 2007 55 $2,441 $859 $1,582 Put Option; U.S. 10 Year Note; Strike Price 106; February 2007 27 2,886 3,797 (911)
Portfolio Summary (unaudited) ------------------------------------------------------ -------------------- Sector Percent ------------------------------------------------------ -------------------- Mortgage Securities 60.00% Financial 26.71% Government 24.44% Asset Backed Securities 18.32% Communications 4.09% Utilities 2.71% Energy 2.70% Consumer, Non-cyclical 2.27% Industrial 1.98% Consumer, Cyclical 1.08% Basic Materials 0.96% Technology 0.16% Liabilities in Excess of Other Assets, Net (-45.42%) -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) ------------------------------------------------------ -------------------- Asset Type Percent ------------------------------------------------------ -------------------- Futures 0.00% Interest Rate Swaptions 0.01% Total Return Swaps 0.03%
Schedule of Investments January 31, 2007 (unaudited) High Yield Fund Principal Amount Value -------------------- -------------------- BONDS (91.73%) Advanced Materials & Products (0.47%) Hexcel Corp 6.75%, 2/ 1/2015 $ 500,000 $ 488,750 -------------------- Advertising Agencies (0.27%) Interpublic Group of Cos Inc 6.25%, 11/15/2014 (a) 300,000 281,250 -------------------- Advertising Services (0.72%) Advanstar Communications Inc 10.75%, 8/15/2010 700,000 752,500 -------------------- Aerospace & Defense Equipment (1.85%) GenCorp Inc 9.50%, 8/15/2013 346,000 368,490 Sequa Corp 8.88%, 4/ 1/2008 750,000 770,625 9.00%, 8/ 1/2009 750,000 795,000 -------------------- 1,934,115 -------------------- Apparel Manufacturers (1.80%) Levi Strauss & Co 12.25%, 12/15/2012 672,000 743,400 Phillips-Van Heusen 7.25%, 2/15/2011 500,000 510,000 8.13%, 5/ 1/2013 250,000 262,500 7.75%, 11/15/2023 350,000 367,500 -------------------- 1,883,400 -------------------- Auto - Car & Light Trucks (0.57%) General Motors Corp 7.40%, 9/ 1/2025 700,000 600,250 -------------------- Auto/Truck Parts & Equipment - Original (2.52%) Accuride Corp 8.50%, 2/ 1/2015 (a) 500,000 487,500 Tenneco Inc 10.25%, 7/15/2013 250,000 273,438 8.63%, 11/15/2014 (a) 500,000 518,750 Titan International Inc 8.00%, 1/15/2012 (b) 600,000 603,000 TRW Automotive Inc 9.38%, 2/15/2013 700,000 749,000 -------------------- 2,631,688 -------------------- Beverages - Non-Alcoholic (0.56%) Cott Beverages USA Inc 8.00%, 12/15/2011 576,000 588,960 -------------------- Broadcasting Services & Programming (0.41%) Fisher Communications Inc 8.63%, 9/15/2014 400,000 427,000 -------------------- Building - Heavy Construction (0.65%) Ahern Rentals Inc 9.25%, 8/15/2013 (b) 650,000 676,813 -------------------- Building - Residential & Commercial (1.07%) Beazer Homes USA Inc 8.38%, 4/15/2012 350,000 359,625 K Hovnanian Enterprises Inc 8.00%, 4/ 1/2012 (a) 500,000 514,375 KB Home 7.75%, 2/ 1/2010 235,000 238,819 -------------------- 1,112,819 -------------------- Building & Construction - Miscellaneous (0.32%) Dycom Industries Inc 8.13%, 10/15/2015 325,000 338,000 -------------------- Building Products - Wood (0.19%) Ainsworth Lumber Co Ltd 7.25%, 10/ 1/2012 (a) 250,000 197,500 -------------------- Cable TV (4.84%) Charter Communications Holdings II LLC/Charter Communications Holding II Capital Corp 10.25%, 9/15/2010 900,000 934,875 CSC Holdings Inc 8.13%, 8/15/2009 750,000 777,188 Echostar DBS Corp 6.63%, 10/ 1/2014 1,700,000 1,666,000 Insight Communications Co Inc 12.25%, 2/15/2011 250,000 260,937 Kabel Deutschland GmbH 10.63%, 7/ 1/2014 (a) 375,000 418,594 Unity Media GmbH 10.38%, 2/15/2015 (a)(b) 1,000,000 990,000 -------------------- 5,047,594 -------------------- Casino Hotels (1.91%) MGM Mirage 6.75%, 4/ 1/2013 1,000,000 981,250 Riviera Holdings Corp 11.00%, 6/15/2010 600,000 633,000 Station Casinos Inc 7.75%, 8/15/2016 (a) 375,000 382,500 -------------------- 1,996,750 -------------------- Casino Services (0.38%) Choctaw Resort Development Enterprise 7.25%, 11/15/2019 (b) 391,000 396,865 -------------------- Cellular Telecommunications (1.80%) Dobson Cellular Systems Inc 8.38%, 11/ 1/2011 550,000 580,937 Rural Cellular Corp 8.25%, 3/15/2012 1,250,000 1,303,125 -------------------- 1,884,062 -------------------- Chemicals - Diversified (3.41%) Equistar Chemicals LP/Equistar Funding Corp 10.63%, 5/ 1/2011 810,000 858,600 Huntsman LLC 11.50%, 7/15/2012 750,000 851,250 Chemicals - Diversified Lyondell Chemical Co 8.25%, 9/15/2016 850,000 901,000 Nova Chemicals Corp 6.50%, 1/15/2012 650,000 614,250 Phibro Animal Health Corp 10.00%, 8/ 1/2013 (b) 325,000 337,188 -------------------- 3,562,288 -------------------- Chemicals - Specialty (3.08%) Hercules Inc 6.75%, 10/15/2029 500,000 492,500 MacDermid Inc 9.13%, 7/15/2011 750,000 785,625 Nalco Co 7.75%, 11/15/2011 875,000 892,500 OM Group Inc 9.25%, 12/15/2011 500,000 519,375 Rhodia SA 8.88%, 6/ 1/2011 500,000 525,000 -------------------- 3,215,000 -------------------- Coal (0.92%) Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp 10.00%, 6/ 1/2012 (a) 500,000 541,250 Massey Energy Co 6.88%, 12/15/2013 450,000 416,250 -------------------- 957,500 -------------------- Commercial Services (0.51%) Iron Mountain Inc 8.75%, 7/15/2018 (a) 500,000 530,000 -------------------- Commercial Services - Finance (0.51%) Cardtronics Inc 9.25%, 8/15/2013 500,000 528,750 -------------------- Computer Services (0.71%) Sungard Data Systems Inc 9.13%, 8/15/2013 700,000 736,750 -------------------- Consumer Products - Miscellaneous (2.13%) American Achievement Corp 8.25%, 4/ 1/2012 750,000 764,062 Blyth Inc 7.90%, 10/ 1/2009 800,000 812,000 Prestige Brands Inc 9.25%, 4/15/2012 500,000 510,000 Visant Holding Corp 0.00%, 12/ 1/2013 (a)(c)(d) 150,000 135,750 -------------------- 2,221,812 -------------------- Containers - Metal & Glass (1.84%) Impress Holdings BV 8.58%, 9/15/2013 (a)(b) 600,000 600,000 Owens Brockway Glass Container Inc 8.75%, 11/15/2012 1,000,000 1,057,500 8.25%, 5/15/2013 250,000 260,625 -------------------- 1,918,125 -------------------- Containers - Paper & Plastic (1.83%) Graham Packaging Co Inc 8.50%, 10/15/2012 500,000 507,500 Intertape Polymer US Inc 8.50%, 8/ 1/2014 350,000 320,250 Jefferson Smurfit Corp US 8.25%, 10/ 1/2012 (a) 450,000 451,125 Plastipak Holdings Inc 8.50%, 12/15/2015 (b) 600,000 627,000 -------------------- 1,905,875 -------------------- Dialysis Centers (0.56%) DaVita Inc 7.25%, 3/15/2015 575,000 582,187 -------------------- Direct Marketing (0.49%) Visant Corp 7.63%, 10/ 1/2012 500,000 510,000 -------------------- Diversified Manufacturing Operations (0.78%) Bombardier Inc 6.30%, 5/ 1/2014 (b) 500,000 473,125 Jacuzzi Brands Inc 9.63%, 7/ 1/2010 325,000 345,313 -------------------- 818,438 -------------------- Diversified Operations & Commercial Services (0.91%) Aramark Corp 8.50%, 2/ 1/2015 (b) 425,000 435,094 Chemed Corp 8.75%, 2/24/2011 500,000 514,375 -------------------- 949,469 -------------------- E-Commerce - Products (0.31%) FTD Inc 7.75%, 2/15/2014 (a) 326,000 326,815 -------------------- Electric - Integrated (0.73%) Mirant Americas Generation LLC 8.30%, 5/ 1/2011 750,000 765,000 -------------------- Electronic Components - Miscellaneous (1.70%) Celestica Inc 7.88%, 7/ 1/2011 (a) 300,000 293,250 Communications & Power Industries Inc 8.00%, 2/ 1/2012 500,000 515,000 Flextronics International Ltd 6.50%, 5/15/2013 1,000,000 970,000 -------------------- 1,778,250 -------------------- Electronic Components - Semiconductors (1.93%) Amkor Technology Inc 7.75%, 5/15/2013 450,000 424,125 9.25%, 6/ 1/2016 (a) 350,000 350,437 Freescale Semiconductor Inc 9.13%, 12/15/2014 (b) 750,000 745,313 9.24%, 12/15/2014 (a)(b) 500,000 497,500 -------------------- 2,017,375 -------------------- Finance - Auto Loans (2.73%) Ford Motor Credit Co 5.80%, 1/12/2009 200,000 196,282 Finance - Auto Loans Ford Motor Credit Co (continued) 7.38%, 10/28/2009 250,000 251,584 10.61%, 6/15/2011 (b) 262,000 284,854 9.88%, 8/10/2011 200,000 214,138 8.11%, 1/13/2012 500,000 502,055 9.81%, 4/15/2012 (c) 500,000 542,072 GMAC LLC 6.88%, 9/15/2011 850,000 862,637 -------------------- 2,853,622 -------------------- Finance - Investment Banker & Broker (0.70%) E*Trade Financial Corp 8.00%, 6/15/2011 250,000 260,937 7.38%, 9/15/2013 450,000 466,875 -------------------- 727,812 -------------------- Finance - Other Services (0.77%) American Real Estate Partners LP/American Real Estate Finance Corp 8.13%, 6/ 1/2012 200,000 205,500 7.13%, 2/15/2013 600,000 594,000 -------------------- 799,500 -------------------- Funeral Services & Related Items (0.95%) Service Corp International/US 8.00%, 6/15/2017 1,000,000 990,000 -------------------- Independent Power Producer (1.32%) NRG Energy Inc 7.25%, 2/ 1/2014 875,000 877,188 7.38%, 2/ 1/2016 500,000 500,625 -------------------- 1,377,813 -------------------- Industrial Automation & Robots (0.58%) Intermec Inc 7.00%, 3/15/2008 600,000 603,000 -------------------- Machinery - Construction & Mining (0.49%) Terex Corp 7.38%, 1/15/2014 500,000 510,000 -------------------- Machinery - Electrical (0.35%) Baldor Electric Co 8.63%, 2/15/2017 350,000 361,375 -------------------- Machinery - Farm (1.37%) Case New Holland Inc 9.25%, 8/ 1/2011 1,350,000 1,431,000 -------------------- Machinery - General Industry (0.40%) Stewart & Stevenson LLC/Stewart & Stevenson Corp 10.00%, 7/15/2014 (b) 400,000 416,000 -------------------- Machinery - Material Handling (0.53%) Columbus McKinnon Corp/NY 8.88%, 11/ 1/2013 525,000 556,500 -------------------- Medical - Drugs (1.51%) Angiotech Pharmaceuticals Inc 9.10%, 12/ 1/2013 (b) 500,000 512,500 Medical - Drugs Biovail Corp 7.88%, 4/ 1/2010 500,000 510,625 Elan Finance PLC/Elan Finance Corp 8.88%, 12/ 1/2013 (b) 560,000 554,400 -------------------- 1,577,525 -------------------- Medical - Hospitals (1.17%) HCA Inc 9.25%, 11/15/2016 (b) 1,150,000 1,221,875 -------------------- Metal Processors & Fabrication (0.73%) Neenah Foundary Co 9.50%, 1/ 1/2017 (b) 750,000 761,250 -------------------- Multimedia (0.35%) CanWest MediaWorks Inc 8.00%, 9/15/2012 350,000 363,125 -------------------- Music (0.33%) WMG Acquisition Corp 7.38%, 4/15/2014 350,000 344,750 -------------------- Non-Ferrous Metals (0.35%) PNA Group Inc 10.75%, 9/ 1/2016 (b) 350,000 365,750 -------------------- Non-Hazardous Waste Disposal (0.50%) WCA Waste Corp 9.25%, 6/15/2014 500,000 520,000 -------------------- Oil - Field Services (0.52%) Hanover Compressor Co 8.63%, 12/15/2010 521,000 543,143 -------------------- Oil Company - Exploration & Production (4.06%) Chesapeake Energy Corp 7.75%, 1/15/2015 300,000 307,500 6.50%, 8/15/2017 1,000,000 955,000 Compton Petroleum Finance Corp 7.63%, 12/ 1/2013 575,000 549,125 PetroHawk Energy Corp 9.13%, 7/15/2013 (a) 400,000 414,000 Petroquest Energy Inc 10.38%, 5/15/2012 375,000 390,937 Stone Energy Corp 8.11%, 7/15/2010 (a)(b)(c) 600,000 599,250 Swift Energy Co 7.63%, 7/15/2011 (a) 1,000,000 1,017,500 -------------------- 4,233,312 -------------------- Oil Field Machinery & Equipment (0.48%) Complete Production Services Inc 8.00%, 12/15/2016 (b) 500,000 506,250 -------------------- Paper & Related Products (1.37%) Abitibi-Consolidated Inc 8.86%, 6/15/2011 400,000 401,000 Paper & Related Products Georgia-Pacific Corp 7.00%, 1/15/2015 (b) 550,000 547,250 Neenah Paper Inc 7.38%, 11/15/2014 500,000 481,250 -------------------- 1,429,500 -------------------- Pharmacy Services (0.66%) Omnicare Inc 6.88%, 12/15/2015 700,000 691,250 -------------------- Physician Practice Management (0.84%) US Oncology Inc 9.00%, 8/15/2012 250,000 265,000 10.75%, 8/15/2014 550,000 610,500 -------------------- 875,500 -------------------- Pipelines (0.68%) Holly Energy Partners LP 6.25%, 3/ 1/2015 750,000 706,875 -------------------- Poultry (1.02%) Pilgrim's Pride Corp 9.63%, 9/15/2011 600,000 627,000 8.38%, 5/ 1/2017 (a) 450,000 443,250 -------------------- 1,070,250 -------------------- Printing - Commercial (0.50%) Sheridan Group Inc/The 10.25%, 8/15/2011 500,000 521,875 -------------------- Private Corrections (0.52%) Corrections Corp of America 7.50%, 5/ 1/2011 (a) 525,000 538,781 -------------------- Publishing - Newspapers (0.37%) Block Communications Inc 8.25%, 12/15/2015 (b) 385,000 388,850 -------------------- Publishing - Periodicals (1.20%) Dex Media East LLC/Dex Media East Finance Co 9.88%, 11/15/2009 770,000 808,500 Dex Media Inc 0.00%, 11/15/2013 (c)(d) 200,000 181,500 Dex Media West LLC/Dex Media Finance Co 8.50%, 8/15/2010 (a) 250,000 260,937 -------------------- 1,250,937 -------------------- Quarrying (0.46%) Compass Minerals International Inc 0.00%, 6/ 1/2013 (c)(d) 500,000 480,625 -------------------- Real Estate Magagement & Services (0.24%) American Real Estate Partners LP 7.13%, 2/15/2013 (b) 250,000 247,500 -------------------- Recreational Centers (0.37%) AMF Bowling Worldwide Inc 10.00%, 3/ 1/2010 375,000 390,937 -------------------- REITS - Mortgage (0.32%) Thornburg Mortgage Inc 8.00%, 5/15/2013 340,000 338,300 -------------------- Rental - Auto & Equipment (1.14%) Avis Budget Car Rental LLC/Avis Budget Finance Inc 7.75%, 5/15/2016 (b) 500,000 496,250 United Rentals North America Inc 6.50%, 2/15/2012 700,000 689,500 -------------------- 1,185,750 -------------------- Retail - Auto Parts (0.45%) PEP Boys-Manny Moe & Jack 7.50%, 12/15/2014 500,000 467,500 -------------------- Retail - Automobile (1.59%) Asbury Automotive Group Inc 9.00%, 6/15/2012 500,000 523,125 Group 1 Automotive Inc 8.25%, 8/15/2013 375,000 386,250 United Auto Group Inc 7.75%, 12/15/2016 (b) 750,000 753,750 -------------------- 1,663,125 -------------------- Retail - Discount (0.51%) Dollar General Corp 8.63%, 6/15/2010 500,000 528,750 -------------------- Retail - Drug Store (0.69%) Rite Aid Corp 8.13%, 5/ 1/2010 700,000 715,750 -------------------- Retail - Propane Distribution (2.22%) Amerigas Partners LP 7.25%, 5/20/2015 1,125,000 1,113,750 Inergy LP/Inergy Finance Corp 6.88%, 12/15/2014 525,000 507,937 8.25%, 3/ 1/2016 (a) 250,000 258,125 Suburban Propane Partners LP/Suburban Energy Finance Corp 6.88%, 12/15/2013 (a) 450,000 437,625 -------------------- 2,317,437 -------------------- Retail - Restaurants (0.35%) Landry's Restaurants Inc 7.50%, 12/15/2014 375,000 369,375 -------------------- Rubber - Tires (0.52%) Goodyear Tire & Rubber Co 11.25%, 3/ 1/2011 490,000 540,838 -------------------- Satellite Telecommunications (0.50%) Intelsat Subsidiary Holding Co Ltd 8.25%, 1/15/2013 (c) 500,000 517,500 -------------------- Schools (0.75%) Knowledge Learning Corp Inc 7.75%, 2/ 1/2015 (b) 800,000 778,000 -------------------- Special Purpose Entity (4.01%) Altra Industrial Motion Inc 9.00%, 12/ 1/2011 300,000 309,750 Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp 0.00%, 10/ 1/2014 (a)(c)(d) 470,000 408,900 Hexion US Finance Corp/Hexion Nova Scotia Finance ULC 9.75%, 11/15/2014 (a)(b) 300,000 313,500 Idearc Inc 8.00%, 11/15/2016 (b) 900,000 914,625 Rainbow National Services LLC 10.38%, 9/ 1/2014 (b) 200,000 225,000 Regency Energy Partners 8.38%, 12/15/2013 (b) 950,000 952,375 Universal City Development Partners 11.75%, 4/ 1/2010 1,000,000 1,066,250 -------------------- 4,190,400 -------------------- Specified Purpose Acquisition (0.49%) Basell AF SCA 8.38%, 8/15/2015 (a)(b) 500,000 516,250 -------------------- Telecommunication Services (1.53%) Insight Midwest LP/Insight Capital Inc 9.75%, 10/ 1/2009 236,000 240,130 Mastec Inc 7.75%, 2/ 1/2008 450,000 450,562 West Corp 9.50%, 10/15/2014 (b) 900,000 911,250 -------------------- 1,601,942 -------------------- Television (0.96%) Allbritton Communications Co 7.75%, 12/15/2012 500,000 508,750 Videotron Ltee 6.88%, 1/15/2014 500,000 498,750 -------------------- 1,007,500 -------------------- Theaters (1.38%) AMC Entertainment Inc 9.88%, 2/ 1/2012 200,000 210,250 8.63%, 8/15/2012 (a) 750,000 788,438 Cinemark Inc 0.00%, 3/15/2014 (c)(d) 500,000 441,250 -------------------- 1,439,938 -------------------- Tobacco (0.65%) Reynolds American Inc 7.25%, 6/ 1/2013 400,000 416,411 7.30%, 7/15/2015 250,000 259,149 -------------------- 675,560 -------------------- Transport - Equipment & Leasing (0.33%) Greenbrier Cos Inc 8.38%, 5/15/2015 350,000 349,125 -------------------- Transport - Services (0.37%) CHC Helicopter Corp 7.38%, 5/ 1/2014 400,000 389,500 -------------------- Travel Services (0.38%) Travelport Ltd 9.88%, 9/ 1/2014 (b) 375,000 391,875 -------------------- Venture Capital (0.47%) Arch Western Finance LLC 6.75%, 7/ 1/2013 500,000 493,750 -------------------- Vitamins & Nutrition Products (0.48%) NBTY Inc 7.13%, 10/ 1/2015 500,000 498,750 -------------------- Wire & Cable Products (0.54%) Superior Essex Communications LLC/Essex Group Inc 9.00%, 4/15/2012 550,000 562,375 -------------------- TOTAL BONDS $ 95,757,722 -------------------- MONEY MARKET FUNDS (11.29%) Money Center Banks (11.29%) BNY Institutional Cash Reserve Fund (e) 11,783,000 11,783,000 -------------------- TOTAL MONEY MARKET FUNDS $ 11,783,000 -------------------- Total Investments $ 107,540,722 Liabilities in Excess of Other Assets, Net - (3.02)% (3,150,848) -------------------- TOTAL NET ASSETS - 100.00% $ 104,389,874 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $19,040,502 or 18.24% of net assets. (c) Variable Rate (d) Non-Income Producing Security (e) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 1,710,164 Unrealized Depreciation (400,294) -------------------- Net Unrealized Appreciation (Depreciation) 1,309,870 Cost for federal income tax purposes 106,230,852 Portfolio Summary (unaudited) -------------------------------------------------- -------------------- Sector Percent -------------------------------------------------- -------------------- Financial 20.53% Consumer, Cyclical 17.04% Industrial 15.82% Consumer, Non-cyclical 15.35% Communications 13.76% Basic Materials 8.67% Energy 6.66% Technology 2.64% Utilities 2.05% Diversified 0.50% Liabilities in Excess of Other Assets, Net (-3.02%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) High Yield Fund II Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (7.17%) Auto - Medium & Heavy Duty Trucks (1.08%) New Flyer Industries Inc 1,951,400 $ 14,675,297 -------------------- Building - Residential & Commercial (0.20%) Desarrolladora Homex SAB de CV ADR (a) 46,100 2,741,106 -------------------- Food - Dairy Products (0.20%) American Dairy Inc (a) 127,100 2,681,810 -------------------- Food - Miscellaneous/Diversified (0.52%) B&G Foods Inc 335,000 7,118,750 -------------------- Medical - Biomedical/Gene (0.26%) American Oriental Bioengineering Inc (a) 275,000 3,533,750 -------------------- REITS - Healthcare (4.85%) Health Care Property Investors Inc 313,800 12,944,250 Health Care REIT Inc 260,000 12,170,600 Nationwide Health Properties Inc 814,900 27,152,468 Omega Healthcare Investors Inc 769,200 13,945,596 -------------------- 66,212,914 -------------------- Satellite Telecommunications (0.06%) ICO Global Communications Holdings Ltd (a) 189,757 853,907 -------------------- TOTAL COMMON STOCKS $ 97,817,534 -------------------- CONVERTIBLE PREFERRED STOCKS (1.83%) Reinsurance (0.49%) Aspen Insurance Holdings Ltd 125,000 6,703,125 -------------------- Wireless Equipment (1.34%) Crown Castle International Corp 329,000 18,341,750 -------------------- TOTAL CONVERTIBLE PREFERRED STOCKS $ 25,044,875 -------------------- Principal Amount Value ----------------------- -------- -------------------- BONDS (79.73%) Aerospace & Defense Equipment (0.86%) Primus International Inc 11.50%, 4/15/2009 (b) 11,000,000 11,770,000 -------------------- Agricultural Operations (1.28%) Southern States Cooperative Inc 10.50%, 11/ 1/2010 (b) 16,500,000 17,531,250 -------------------- Applications Software (1.30%) SS&C Technologies Inc 11.75%, 12/ 1/2013 16,000,000 17,680,000 -------------------- Auto - Medium & Heavy Duty Trucks (0.72%) New Flyer Industries Ltd 14.00%, 8/19/2020 (b)(c) 10,000,000 9,772,264 -------------------- Auto/Truck Parts & Equipment - Original (0.93%) Accuride Corp 8.50%, 2/ 1/2015 13,000,000 12,675,000 -------------------- Cable TV (2.20%) Adelphia Communications Corp 10.25%, 6/15/2011 (a)(d) 5,650,000 5,960,750 Frontiervision Holdings LP 11.88%, 9/15/2007 (a)(d) 9,250,000 12,903,750 Frontiervision Operating PRT 0.00%, 10/15/2006 (a)(d) 7,250,000 11,101,563 -------------------- 29,966,063 -------------------- Casino Hotels (3.91%) 155 East Tropicana LLC/155 East Tropica 8.75%, 4/ 1/2012 15,500,000 14,260,000 MGM Mirage 6.00%, 10/ 1/2009 24,500,000 24,408,125 Riviera Holdings Corp 11.00%, 6/15/2010 14,000,000 14,770,000 -------------------- 53,438,125 -------------------- Casino Services (1.40%) OED Corp / DIAMOND JO LLC 8.75%, 4/15/2012 19,250,000 19,057,500 -------------------- Containers - Metal & Glass (1.50%) Crown Americas LLC / Crown Americas Cap 7.75%, 11/15/2015 5,000,000 5,175,000 Crown Cork & Seal Co Inc 8.00%, 4/15/2023 5,500,000 5,390,000 7.38%, 12/15/2026 10,500,000 9,870,000 -------------------- 20,435,000 -------------------- Containers - Paper & Plastic (1.89%) Graphic Packaging International Corp 8.50%, 8/15/2011 19,500,000 20,231,250 Jefferson Smurfit Corp US 8.25%, 10/ 1/2012 5,500,000 5,513,750 -------------------- 25,745,000 -------------------- Cruise Lines (1.94%) Royal Caribbean Cruises Ltd 8.75%, 2/ 2/2011 14,000,000 15,271,060 7.25%, 3/15/2018 11,000,000 11,205,359 -------------------- 26,476,419 -------------------- Dialysis Centers (2.08%) DaVita Inc 6.63%, 3/15/2013 28,500,000 28,357,500 -------------------- Electric - Integrated (2.05%) Mirant Americas Generation LLC 8.50%, 10/ 1/2021 27,500,000 27,912,500 -------------------- Finance - Leasing Company (0.11%) DVI Inc 0.00%, 2/ 1/2004 (a)(c)(d) 6,850,000 693,562 9.88%, 2/ 1/2004 (a)(c)(d) 8,575,000 868,219 -------------------- 1,561,781 -------------------- Food - Miscellaneous/Diversified (0.71%) Fuji Food 0.00%, 11/ 9/2009 (a) 66,500,000 9,675,848 -------------------- Independent Power Producer (1.85%) Reliant Energy Inc 9.50%, 7/15/2013 16,000,000 17,160,000 6.75%, 12/15/2014 8,250,000 8,126,250 -------------------- 25,286,250 -------------------- Medical - Biomedical/Gene (2.12%) ICOS Corp 2.00%, 7/ 1/2023 24,500,000 24,040,625 Nektar Therapeutics 5.00%, 2/ 8/2007 5,000,000 4,950,000 -------------------- 28,990,625 -------------------- Medical - Drugs (1.44%) Elan Finance PLC/Elan Finance Corp 7.75%, 11/15/2011 12,750,000 12,240,000 8.88%, 12/ 1/2013 (b) 7,500,000 7,425,000 -------------------- 19,665,000 -------------------- Medical - Hospitals (4.24%) HCA Inc 9.25%, 11/15/2016 (b) 6,000,000 6,375,000 7.50%, 11/ 6/2033 26,000,000 21,580,000 IASIS Healthcare LLC / IASIS Capital Co 8.75%, 6/15/2014 2,000,000 2,042,500 Tenet Healthcare Corp 9.25%, 2/ 1/2015 28,000,000 27,930,000 -------------------- 57,927,500 -------------------- MRI - Medical Diagnostic Imaging (1.87%) Alliance Imaging Inc 7.25%, 12/15/2012 26,500,000 25,506,250 -------------------- Non-Hazardous Waste Disposal (2.19%) Allied Waste North America Inc 7.88%, 4/15/2013 29,000,000 29,870,000 -------------------- Oil - Field Services (1.27%) Hanover Compressor Co 8.63%, 12/15/2010 14,750,000 15,376,875 7.50%, 4/15/2013 2,000,000 2,005,000 -------------------- 17,381,875 -------------------- Oil Refining & Marketing (2.13%) Tesoro Corp 6.63%, 11/ 1/2015 29,000,000 29,108,750 -------------------- Pharmacy Services (1.10%) Omnicare Inc 6.88%, 12/15/2015 9,000,000 8,887,500 3.25%, 12/15/2035 7,000,000 6,107,500 -------------------- 14,995,000 -------------------- Physical Therapy & Rehabilitation Centers (1.89%) Healthsouth Corp 10.75%, 6/15/2016 (b) 23,500,000 25,820,625 -------------------- Pipelines (4.11%) Dynegy Holdings Inc 8.38%, 5/ 1/2016 28,000,000 29,610,000 El Paso Natural Gas Co 7.63%, 8/ 1/2010 2,750,000 2,860,000 8.38%, 6/15/2032 12,500,000 15,009,587 Southern Natural Gas Co 8.00%, 3/ 1/2032 7,500,000 8,680,845 -------------------- 56,160,432 -------------------- Publishing - Periodicals (2.00%) Nielsen Finance LLC/Nielsen Finance Co 10.00%, 8/ 1/2014 (b) 25,000,000 27,250,000 -------------------- Radio (1.90%) Sirius Satellite Radio Inc 9.63%, 8/ 1/2013 26,000,000 25,870,000 -------------------- Retail - Automobile (0.35%) Asbury Automotive Group Inc 8.00%, 3/15/2014 4,750,000 4,821,250 -------------------- Retail - Regional Department Store (2.67%) Golden Eagle Retail Group Ltd 0.00%, 10/23/2011 (a) 81,000,000 11,810,829 Neiman-Marcus Group Inc 10.38%, 10/15/2015 22,000,000 24,585,000 -------------------- 36,395,829 -------------------- Retail - Video Rental (2.34%) Blockbuster Inc 9.00%, 9/ 1/2012 32,000,000 31,920,000 -------------------- Semiconductor Component - Integrated Circuits (1.07%) Triquint Semiconductor Inc 4.00%, 3/ 1/2007 14,710,000 14,654,838 -------------------- Sovereign (4.14%) Brazilian Government International Bond 9.25%, 10/22/2010 5,000,000 5,625,000 12.50%, 1/ 5/2016 35,400,000 19,002,552 8.75%, 2/ 4/2025 6,000,000 7,365,000 Mexican Bonds 8.00%, 12/19/2013 268,674,000 24,545,894 -------------------- 56,538,446 -------------------- Special Purpose Entity (15.69%) Britannia Bulk PLC 11.00%, 12/ 1/2011 (b) 19,000,000 18,050,000 CCM Merger Inc 8.00%, 8/ 1/2013 (b) 22,000,000 21,862,500 DJ CDX NA HY 8.75%, 12/29/2010 (b) 40,740,000 43,031,625 8.63%, 6/29/2011 (b) 22,400,000 23,380,000 8.38%, 12/29/2011 (b) 47,500,000 48,509,375 ISA Capital do Brasil SA 8.80%, 1/30/2017 (b) 10,000,000 10,285,000 TRAINS HY-1-2006 7.55%, 5/ 1/2016 (b) 44,640,000 45,158,270 Special Purpose Entity UCI Holdco Inc 12.36%, 12/15/2013 (b)(c) 4,000,000 3,950,000 -------------------- 214,226,770 -------------------- Telecommunication Services (1.83%) Qwest Corp 8.88%, 3/15/2012 (e) 22,500,000 24,975,000 -------------------- Transactional Software (0.65%) Open Solutions Inc 9.75%, 2/ 1/2015 (b) 8,750,000 8,925,000 -------------------- TOTAL BONDS $ 1,088,343,690 -------------------- CONVERTIBLE BONDS (6.35%) Airlines (0.52%) AMR Corp 4.50%, 2/15/2024 2,000,000 3,587,500 Continental Airlines Inc 5.00%, 6/15/2023 1,600,000 3,566,000 -------------------- 7,153,500 -------------------- Electronic Components - Semiconductors (1.50%) Conexant Systems Inc 4.00%, 2/ 1/2007 20,500,000 20,500,000 -------------------- Oil - Field Services (0.57%) Hanover Compressor Co 4.75%, 3/15/2008 7,950,000 7,711,500 -------------------- Pharmacy Services (0.86%) Omnicare Inc 6.13%, 6/ 1/2013 12,350,000 11,794,250 -------------------- Specified Purpose Acquisition (1.01%) Acquicor Technology Inc 8.00%, 12/31/2011 (b)(c) 13,500,000 13,837,500 -------------------- Therapeutics (1.89%) Cell Therapeutics Inc 4.00%, 7/ 1/2010 7,350,000 4,263,000 CV Therapeutics Inc 3.25%, 8/16/2013 8,500,000 7,522,500 2.00%, 5/16/2023 16,500,000 13,942,500 -------------------- 25,728,000 -------------------- TOTAL CONVERTIBLE BONDS $ 86,724,750 -------------------- SHORT TERM INVESTMENTS (3.45%) Commercial Paper (3.45%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (a) 47,038,580 47,038,580 -------------------- TOTAL SHORT TERM INVESTMENTS $ 47,038,580 -------------------- Total Investments $ 1,344,969,429 Other Assets in Excess of Liabilities, Net - 1.47% 20,134,932 -------------------- TOTAL NET ASSETS - 100.00% $ 1,365,104,361 ==================== -------------------- ====================
(a) Non-Income Producing Security (b) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $342,933,409 or 25.12% of net assets. (c) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $29,121,545 or 2.13% of net assets. (d) Security is illiquid. (e) Variable Rate Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 89,507,256 Unrealized Depreciation (19,343,100) -------------------- Net Unrealized Appreciation (Depreciation) 70,164,156 Cost for federal income tax purposes 1,274,805,273 Portfolio Summary (unaudited) ------------------------------------------------ -------- -------------------- Sector Percent ------------------------------------------------ -------- -------------------- Financial 21.15% Consumer, Non-cyclical 20.46% Consumer, Cyclical 16.05% Communications 9.32% Energy 8.09% Industrial 6.43% Technology 4.53% Government 4.14% Utilities 3.90% Mortgage Securities 3.45% Diversified 1.01% Other Assets in Excess of Liabilities, Net 1.47% -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Income Fund Principal Amount Value ----------------------- -------- -------------------- BONDS (61.75%) Aerospace & Defense (0.30%) Lockheed Martin Corp 7.75%, 5/ 1/2026 $ 3,000,000 $ 3,632,925 -------------------- Cable TV (2.38%) Comcast Cable Communications LLC 6.20%, 11/15/2008 550,000 558,015 7.13%, 6/15/2013 7,000,000 7,550,844 Comcast Cable Holdings LLC 7.88%, 8/ 1/2013 2,000,000 2,220,050 COX Communications Inc 6.75%, 3/15/2011 8,000,000 8,336,040 6.45%, 12/ 1/2036 (a) 4,000,000 3,978,544 Frontiervision Holdings LP 11.88%, 9/15/2007 (b)(c) 2,500,000 3,487,500 Frontiervision Operating PRT 0.00%, 10/15/2006 (b)(c) 2,000,000 3,062,500 -------------------- 29,193,493 -------------------- Casino Hotels (2.24%) 155 East Tropicana LLC/155 East Tropica 8.75%, 4/ 1/2012 4,250,000 3,910,000 Caesars Entertainment Inc 7.50%, 9/ 1/2009 1,500,000 1,562,336 Harrah's Operating Co Inc 6.50%, 6/ 1/2016 6,000,000 5,463,276 Mandalay Resort Group 10.25%, 8/ 1/2007 3,000,000 3,056,250 7.00%, 11/15/2036 5,000,000 5,100,000 Riviera Holdings Corp 11.00%, 6/15/2010 7,900,000 8,334,500 -------------------- 27,426,362 -------------------- Casino Services (0.97%) OED Corp / DIAMOND JO LLC 8.75%, 4/15/2012 12,000,000 11,880,000 -------------------- Cellular Telecommunications (0.69%) Vodafone Group PLC 7.75%, 2/15/2010 8,000,000 8,496,952 -------------------- Commercial Banks (0.95%) BB&T Corp 7.25%, 6/15/2007 690,000 694,480 US Bank NA/Cincinnati OH 6.38%, 8/ 1/2011 5,000,000 5,193,035 4.95%, 10/30/2014 6,000,000 5,803,962 -------------------- 11,691,477 -------------------- Containers - Paper & Plastic (0.93%) Sealed Air Corp 5.63%, 7/15/2013 (a) 4,000,000 3,941,768 3.00%, 6/30/2033 (a) 7,250,000 7,521,875 -------------------- 11,463,643 -------------------- Cruise Lines (1.02%) Royal Caribbean Cruises Ltd 8.75%, 2/ 2/2011 4,000,000 4,363,160 6.88%, 12/ 1/2013 6,000,000 6,092,652 7.25%, 3/15/2018 2,000,000 2,037,338 -------------------- 12,493,150 -------------------- Electric - Integrated (10.32%) Arizona Public Service Co 6.50%, 3/ 1/2012 5,000,000 5,147,650 Dominion Resources Inc/VA 5.00%, 3/15/2013 10,000,000 9,690,470 Florida Power Corp 5.90%, 3/ 1/2033 8,000,000 7,973,184 Illinois Power Co 7.50%, 6/15/2009 9,000,000 9,336,366 Metropolitan Edison Co 4.95%, 3/15/2013 7,000,000 6,740,916 Mirant Americas Generation LLC 8.50%, 10/ 1/2021 13,000,000 13,195,000 Nisource Finance Corp 6.15%, 3/ 1/2013 5,000,000 5,082,455 5.40%, 7/15/2014 5,000,000 4,836,610 Ohio Edison Co 5.45%, 5/ 1/2015 5,000,000 4,894,485 Ohio Power Co 5.50%, 2/15/2013 5,000,000 4,981,175 Pacific Gas & Electric Co 4.20%, 3/ 1/2011 10,250,000 9,798,856 Pacificorp 4.95%, 8/15/2014 7,500,000 7,201,965 5.25%, 6/15/2035 5,000,000 4,526,065 PPL Energy Supply LLC 6.40%, 11/ 1/2011 5,000,000 5,149,695 Public Service Co of New Mexico 4.40%, 9/15/2008 2,000,000 1,964,002 Southwestern Electric Power Co 5.38%, 4/15/2015 6,500,000 6,344,384 Texas-New Mexico Power Co 6.25%, 1/15/2009 6,845,000 6,910,979 TXU Electric Delivery Co 5.00%, 9/ 1/2007 1,000,000 995,909 7.00%, 9/ 1/2022 11,000,000 11,773,245 -------------------- 126,543,411 -------------------- Electronics - Military (0.10%) Loral Corp 7.63%, 6/15/2025 1,000,000 1,169,842 -------------------- Finance - Commercial (0.98%) CIT Group Inc 7.75%, 4/ 2/2012 3,000,000 3,298,569 5.00%, 2/ 1/2015 2,000,000 1,914,780 5.40%, 1/30/2016 7,000,000 6,854,169 -------------------- 12,067,518 -------------------- Finance - Consumer Loans (0.52%) American General Finance Corp 4.63%, 5/15/2009 6,500,000 6,381,817 -------------------- Finance - Credit Card (0.62%) FIA Card Services NA 7.13%, 11/15/2012 5,000,000 5,409,660 MBNA Corp 7.50%, 3/15/2012 2,000,000 2,187,676 -------------------- 7,597,336 -------------------- Finance - Investment Banker & Broker (6.01%) Citigroup Inc 5.85%, 8/ 2/2016 12,000,000 12,333,804 Goldman Sachs Group Inc 6.60%, 1/15/2012 10,000,000 10,520,050 5.35%, 1/15/2016 2,000,000 1,955,690 Jefferies Group Inc 7.75%, 3/15/2012 7,500,000 8,113,358 6.25%, 1/15/2036 5,000,000 4,781,280 JPMorgan Chase & Co 5.13%, 9/15/2014 12,000,000 11,706,156 Merrill Lynch & Co Inc 6.00%, 2/17/2009 5,000,000 5,066,285 5.00%, 1/15/2015 3,000,000 2,904,810 6.50%, 7/15/2018 2,000,000 2,141,310 6.75%, 6/ 1/2028 2,000,000 2,167,086 Morgan Stanley 4.75%, 4/ 1/2014 5,000,000 4,742,335 6.25%, 8/ 9/2026 7,000,000 7,239,757 -------------------- 73,671,921 -------------------- Finance - Leasing Company (0.07%) DVI Inc 0.00%, 2/ 1/2004 (b)(c)(d) 400,000 40,500 9.88%, 2/ 1/2004 (b)(c)(d) 8,125,000 822,656 -------------------- 863,156 -------------------- Finance - Other Services (0.85%) SB Treasury Co LLC 9.40%, 12/29/2049 (a) 10,000,000 10,481,600 -------------------- Food - Miscellaneous/Diversified (0.88%) Corn Products International Inc 8.45%, 8/15/2009 10,200,000 10,824,903 -------------------- Food - Retail (0.84%) Fred Meyer Inc 7.45%, 3/ 1/2008 5,000,000 5,092,490 Safeway Inc 7.50%, 9/15/2009 5,000,000 5,229,090 -------------------- 10,321,580 -------------------- Forestry (0.13%) Weyerhaeuser Co 7.38%, 3/15/2032 1,500,000 1,593,764 -------------------- Gas - Distribution (0.75%) Sempra Energy 6.00%, 2/ 1/2013 9,000,000 9,147,141 -------------------- Investment Management & Advisory Services (0.25%) Legg Mason Inc 6.75%, 7/ 2/2008 3,000,000 3,047,997 -------------------- Medical - Drugs (0.49%) Elan Finance PLC/Elan Finance Corp 7.75%, 11/15/2011 6,250,000 6,000,000 -------------------- Medical - Hospitals (1.54%) HCA Inc 9.25%, 11/15/2016 (a) 6,000,000 6,375,000 7.50%, 11/ 6/2033 1,700,000 1,411,000 Tenet Healthcare Corp 6.38%, 12/ 1/2011 12,000,000 11,100,000 -------------------- 18,886,000 -------------------- Medical - Wholesale Drug Distribution (0.85%) Cardinal Health Inc 6.75%, 2/15/2011 10,000,000 10,431,260 -------------------- Metal - Diversified (1.00%) Falconbridge Ltd 6.00%, 10/15/2015 12,000,000 12,223,176 -------------------- Money Center Banks (0.08%) BankAmerica Corp/Old 6.63%, 8/ 1/2007 1,000,000 1,005,195 -------------------- Multi-Line Insurance (0.48%) Farmers Insurance Exchange 6.00%, 8/ 1/2014 (a) 6,000,000 5,895,564 -------------------- Multimedia (1.19%) Historic TW Inc 9.15%, 2/ 1/2023 5,260,000 6,569,588 News America Inc 6.40%, 12/15/2035 8,000,000 7,967,872 -------------------- 14,537,460 -------------------- Non-Hazardous Waste Disposal (1.45%) Allied Waste North America Inc 7.88%, 4/15/2013 1,000,000 1,030,000 7.25%, 3/15/2015 9,000,000 9,011,250 Waste Management Inc 7.13%, 10/ 1/2007 495,000 498,884 6.88%, 5/15/2009 3,450,000 3,547,859 7.38%, 8/ 1/2010 3,500,000 3,706,878 -------------------- 17,794,871 -------------------- Oil - Field Services (0.76%) Hanover Compressor Co 8.63%, 12/15/2010 9,000,000 9,382,500 -------------------- Oil Company - Integrated (1.11%) Petro-Canada 4.00%, 7/15/2013 3,000,000 2,721,402 9.25%, 10/15/2021 8,500,000 10,845,524 -------------------- 13,566,926 -------------------- Oil Refining & Marketing (1.48%) Enterprise Products Operating LP 6.38%, 2/ 1/2013 6,000,000 6,160,194 Tesoro Corp 6.25%, 11/ 1/2012 12,000,000 12,045,000 -------------------- 18,205,194 -------------------- -------------------- Physical Therapy & Rehabilitation Centers (0.76%) Healthsouth Corp 10.75%, 6/15/2016 (a) 8,500,000 9,339,375 -------------------- Pipelines (2.61%) Consolidated Natural Gas Co 6.85%, 4/15/2011 7,500,000 7,860,157 El Paso Natural Gas Co 7.50%, 11/15/2026 10,000,000 10,955,330 Express Pipeline LP 7.39%, 12/31/2017 (a) 4,844,400 5,094,468 Southern Natural Gas Co 8.88%, 3/15/2010 1,000,000 1,047,641 8.00%, 3/ 1/2032 4,000,000 4,629,784 Tennessee Gas Pipeline Co 8.38%, 6/15/2032 2,000,000 2,390,406 -------------------- 31,977,786 -------------------- Publishing - Books (0.85%) Reed Elsevier Capital Inc 6.75%, 8/ 1/2011 10,000,000 10,418,740 -------------------- Regional Banks (1.51%) Bank of America Corp 5.42%, 3/15/2017 (a) 5,000,000 4,917,445 6.80%, 3/15/2028 670,000 740,473 Bank One Corp 10.00%, 8/15/2010 400,000 453,827 FleetBoston Financial Corp 6.88%, 1/15/2028 995,000 1,105,835 PNC Institutional Capital Trust B 8.32%, 5/15/2027 (a) 500,000 523,413 Wells Fargo & Co 4.63%, 4/15/2014 11,000,000 10,340,528 7.43%, 8/ 1/2022 (b)(d) 464,784 464,784 -------------------- 18,546,305 -------------------- Reinsurance (0.20%) Aspen Insurance Holdings Ltd 6.00%, 8/15/2014 2,500,000 2,459,265 -------------------- REITS - Diversified (0.25%) Franchise Finance Corp of America 7.07%, 1/15/2008 3,000,000 3,036,942 -------------------- REITS - Healthcare (3.30%) Health Care Property Investors Inc 6.45%, 6/25/2012 3,000,000 3,079,437 6.00%, 3/ 1/2015 1,750,000 1,728,678 7.07%, 6/ 8/2015 2,250,000 2,363,933 Health Care REIT Inc 7.50%, 8/15/2007 1,500,000 1,511,040 6.00%, 11/15/2013 8,000,000 7,938,648 6.20%, 6/ 1/2016 3,000,000 3,002,478 Healthcare Realty Trust Inc 8.13%, 5/ 1/2011 7,500,000 8,076,315 5.13%, 4/ 1/2014 1,000,000 948,415 Nationwide Health Properties Inc 6.00%, 5/20/2015 12,000,000 11,761,308 -------------------- 40,410,252 -------------------- -------------------- REITS - Office Property (0.80%) Arden Realty LP 5.20%, 9/ 1/2011 3,000,000 2,980,836 5.25%, 3/ 1/2015 7,000,000 6,862,765 -------------------- 9,843,601 -------------------- REITS - Shopping Centers (0.79%) Developers Diversified Realty Corp 4.63%, 8/ 1/2010 10,000,000 9,713,210 -------------------- REITS - Storage (0.75%) Shurgard Storage Centers Inc 5.88%, 3/15/2013 9,000,000 9,141,687 -------------------- Retail - Regional Department Store (0.55%) Neiman-Marcus Group Inc 10.38%, 10/15/2015 6,000,000 6,705,000 -------------------- Sovereign (0.40%) Brazilian Government International Bond 9.25%, 10/22/2010 2,750,000 3,093,750 8.75%, 2/ 4/2025 1,500,000 1,841,250 -------------------- 4,935,000 -------------------- Special Purpose Entity (1.89%) CCM Merger Inc 8.00%, 8/ 1/2013 (a) 11,000,000 10,931,250 DJ CDX NA HY 8.38%, 12/29/2011 (a) 12,000,000 12,255,000 -------------------- 23,186,250 -------------------- Telecommunication Equipment - Fiber Optics (0.99%) Corning Inc 5.90%, 3/15/2014 12,000,000 12,102,984 -------------------- Telecommunication Services (1.52%) Qwest Corp 8.88%, 3/15/2012 (e) 8,000,000 8,880,000 TELUS Corp 8.00%, 6/ 1/2011 9,000,000 9,793,530 -------------------- 18,673,530 -------------------- Telephone - Integrated (0.44%) Deutsche Telekom International Finance 8.00%, 6/15/2010 5,000,000 5,385,630 -------------------- Toys (0.09%) Mattel Inc 7.30%, 6/13/2011 1,000,000 1,050,843 -------------------- Transport - Rail (0.81%) Norfolk Southern Corp 6.20%, 4/15/2009 5,000,000 5,079,525 Union Pacific Corp 3.88%, 2/15/2009 5,000,000 4,851,910 -------------------- 9,931,435 -------------------- Transport - Services (1.01%) Trailer Bridge Inc 9.25%, 11/15/2011 12,000,000 12,375,000 -------------------- TOTAL BONDS $ 757,150,969 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (31.24%) Federal Home Loan Mortgage Corporation (FHLMC) (14.00%) Freddie Mac Gold Pool 6.50%, 1/ 1/2029 493,975 506,589 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 383,068,192 -------------------- CONVERTIBLE BONDS (1.04%) Electronic Components - Semiconductors (0.92%) Conexant Systems Inc 4.00%, 2/ 1/2007 11,250,000 11,250,000 -------------------- Oil - Field Services (0.12%) Hanover Compressor Co 4.75%, 3/15/2008 1,500,000 1,455,000 -------------------- TOTAL CONVERTIBLE BONDS $ 12,705,000 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (31.24%) Federal Home Loan Mortgage Corporation (FHLMC) (14.00%) 5.50%, 11/ 1/2017 5,139,097 5,123,528 5.50%, 1/ 1/2018 2,375,493 2,368,296 5.00%, 4/ 1/2018 9,505,927 9,315,185 5.00%, 9/ 1/2019 13,731,417 13,436,868 6.50%, 5/ 1/2029 593,716 608,507 6.50%, 6/ 1/2029 1,790,902 1,835,518 6.50%, 8/ 1/2029 514,897 527,725 6.00%, 3/ 1/2031 478,970 482,673 5.50%, 5/ 1/2031 2,214,689 2,185,719 7.00%, 1/ 1/2032 692,663 714,415 6.00%, 5/ 1/2032 2,452,358 2,469,995 5.00%, 5/ 1/2033 15,966,774 15,374,275 4.50%, 8/ 1/2033 38,572,185 35,996,420 5.50%, 6/ 1/2035 21,440,762 21,115,625 5.00%, 11/ 1/2035 18,620,319 17,894,222 5.50%, 1/ 1/2036 23,050,344 22,700,798 5.50%, 4/ 1/2036 19,258,715 18,954,734 -------------------- 171,611,092 -------------------- Federal National Mortgage Association (FNMA) (8.01%) 7.63%, 2/ 1/2010 8,000,000 8,368,133 7.45%, 6/ 1/2016 184,007 196,900 5.00%, 1/ 1/2018 5,488,233 5,380,090 4.00%, 9/ 1/2018 22,838,277 21,413,416 4.00%, 10/ 1/2018 10,992,409 10,306,602 6.50%, 9/ 1/2028 157,825 161,849 6.50%, 11/ 1/2028 166,148 170,385 7.00%, 1/ 1/2030 71,814 74,084 6.50%, 5/ 1/2031 578,663 592,127 6.00%, 4/ 1/2032 1,412,288 1,422,045 6.50%, 4/ 1/2032 1,677,214 1,715,206 6.50%, 5/ 1/2032 1,637,601 1,674,696 5.00%, 10/ 1/2032 3,964,480 3,814,796 5.50%, 3/ 1/2033 5,778,058 5,697,643 5.50%, 6/ 1/2033 18,210,548 17,966,095 5.50%, 2/ 1/2035 19,557,491 19,247,381 -------------------- 98,201,448 -------------------- Government National Mortgage Association (GNMA) (0.30%) 7.00%, 6/20/2031 400,440 412,701 6.00%, 5/20/2032 3,305,962 3,334,521 -------------------- 3,747,222 -------------------- U.S. Treasury (8.93%) 4.25%, 8/15/2014 23,000,000 22,171,632 U.S. Treasury 5.13%, 5/15/2016 18,000,000 18,386,010 5.38%, 2/15/2031 37,000,000 39,040,772 4.50%, 2/15/2036 32,000,000 29,910,016 -------------------- 109,508,430 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 383,068,192 -------------------- SHORT TERM INVESTMENTS (4.71%) Commercial Paper (4.71%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (c) 57,782,695 57,782,695 -------------------- TOTAL SHORT TERM INVESTMENTS $ 57,782,695 -------------------- Total Investments $ 1,210,706,856 Other Assets in Excess of Liabilities, Net - 1.26% 15,462,553 -------------------- TOTAL NET ASSETS - 100.00% $ 1,226,169,409 ==================== -------------------- ====================
(a) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $81,255,302 or 6.63% of net assets. (b) Security is illiquid. (c) Non-Income Producing Security (d) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $1,327,940 or 0.11% of net assets. (e) Variable Rate Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 23,496,727 Unrealized Depreciation (35,815,500) -------------------- Net Unrealized Appreciation (Depreciation) (12,318,773) Cost for federal income tax purposes 1,223,025,629 Portfolio Summary (unaudited) -------------------------------------------------- -------------------- Sector Percent -------------------------------------------------- -------------------- Mortgage Securities 27.02% Financial 20.31% Utilities 11.06% Government 9.33% Communications 8.06% Energy 6.08% Consumer, Non-cyclical 5.37% Consumer, Cyclical 4.86% Industrial 4.60% Basic Materials 1.13% Technology 0.92% Other Assets in Excess of Liabilities, Net 1.26% -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Inflation Protection Fund Principal Amount Value ----------------------- -------- -------------------- BONDS (73.67%) Aerospace & Defense Equipment (0.28%) Primus International Inc 11.50%, 4/15/2009 (a) $ 500,000 $ 535,000 -------------------- Apparel Manufacturers (0.37%) Levi Strauss & Co 12.25%, 12/15/2012 650,000 719,062 -------------------- Appliances (0.26%) Whirlpool Corp 5.86%, 6/15/2009 (b) 500,000 501,254 -------------------- Asset Backed Securities (11.77%) Ameriquest Mortgage Securities Inc 5.63%, 4/25/2034 (b)(c) 489,003 489,000 Argent Securities Inc 5.47%, 7/25/2036 3,000,000 3,002,148 Carrington Mortgage Loan Trust 5.55%, 12/25/2035 (b)(c) 796,711 796,992 5.60%, 12/25/2035 (b) 250,000 250,401 Citigroup Mortgage Loan Trust Inc 5.47%, 7/25/2035 (b)(c) 1,165,000 1,165,162 Countrywide Asset-Backed Certificates 6.45%, 12/25/2032 (b) 136,884 136,974 5.52%, 7/25/2035 (b) 125,526 125,562 5.59%, 1/25/2036 (b)(c) 250,000 250,358 5.57%, 3/25/2036 (c) 2,000,000 2,003,735 5.57%, 4/25/2036 (b)(c) 1,500,000 1,503,464 5.59%, 5/25/2036 (c) 301,358 301,909 5.49%, 6/25/2037 2,000,000 1,999,984 First Franklin Mortgage Loan Asset Backed Certificates 5.56%, 11/25/2035 (c) 1,500,000 1,503,629 First Horizon Asset Back Trust 5.45%, 10/25/2026 973,248 973,243 First-Citizens Home Equity Loan LLC 5.53%, 9/15/2022 (a)(b) 1,275,578 1,273,010 GMAC Mortgage Corp Loan Trust 5.53%, 11/25/2036 (b)(c) 1,500,000 1,500,670 Long Beach Mortgage Loan Trust 5.85%, 6/25/2034 (b) 200,000 200,697 5.49%, 12/25/2036 2,200,000 2,199,983 Morgan Stanley Capital I 5.50%, 2/25/2036 1,700,000 1,702,828 SACO I Inc 5.46%, 9/25/2036 1,362,963 1,362,958 -------------------- 22,742,707 -------------------- Auto - Car & Light Trucks (0.39%) DaimlerChrysler NA Holding Corp 5.79%, 3/13/2009 (b)(c) 750,000 751,423 -------------------- Automobile Sequential (0.19%) Carss Finance LP 6.27%, 1/15/2011 (a)(b) 63,402 63,739 Ford Credit Auto Owner Trust 5.30%, 6/15/2012 300,000 298,292 -------------------- 362,031 -------------------- Brewery (0.26%) SABMiller PLC 5.66%, 7/ 1/2009 (a)(b)(c) 500,000 500,550 -------------------- Building - Residential & Commercial (0.51%) DR Horton Inc 8.50%, 4/15/2012 200,000 209,171 K Hovnanian Enterprises Inc 10.50%, 10/ 1/2007 750,000 771,562 -------------------- 980,733 -------------------- Cable TV (0.88%) Comcast Cable Communications LLC 8.38%, 5/ 1/2007 185,000 186,343 Comcast Corp 5.66%, 7/14/2009 (b)(c) 500,000 501,193 COX Communications Inc 5.91%, 12/14/2007 (b)(c) 500,000 501,950 CSC Holdings Inc 7.88%, 12/15/2007 500,000 506,875 -------------------- 1,696,361 -------------------- Casino Hotels (0.26%) Caesars Entertainment Inc 9.38%, 2/15/2007 500,000 500,000 -------------------- Cellular Telecommunications (0.68%) America Movil SA de CV 5.99%, 4/27/2007 (b) 50,000 50,000 5.47%, 6/27/2008 (a) 750,000 749,475 Rogers Wireless Inc 8.48%, 12/15/2010 (b) 500,000 510,000 -------------------- 1,309,475 -------------------- Chemicals - Diversified (0.11%) Equistar Chemicals LP/Equistar Funding Corp 10.63%, 5/ 1/2011 200,000 212,000 -------------------- Chemicals - Specialty (0.27%) Rhodia SA 8.88%, 6/ 1/2011 500,000 525,000 -------------------- Commercial Banks (0.57%) HSBC America Capital Trust I 7.81%, 12/15/2026 (a) 100,000 103,904 ICICI Bank Ltd 5.90%, 1/12/2010 (a) 500,000 501,546 VTB Capital SA for Vneshtorgbank 5.97%, 8/ 1/2008 (a) 500,000 500,500 -------------------- 1,105,950 -------------------- Commercial Services (0.49%) Aramark Services Inc 7.00%, 5/ 1/2007 150,000 150,364 Commercial Services Brickman Group Ltd/The 11.75%, 12/15/2009 750,000 795,000 -------------------- 945,364 -------------------- Computers - Memory Devices (0.26%) Seagate Technology HDD Holdings 6.20%, 10/ 1/2009 500,000 500,000 -------------------- Containers - Metal & Glass (0.34%) Owens Brockway Glass Container Inc 8.88%, 2/15/2009 652,000 666,670 -------------------- Diversified Financial Services (0.27%) Citicorp Capital II 8.02%, 2/15/2027 (c) 500,000 521,150 -------------------- Electric - Integrated (0.26%) Appalachian Power Co 5.69%, 6/29/2007 (b) 305,000 305,298 Entergy Gulf States Inc 5.77%, 12/ 1/2009 (b) 200,000 199,635 -------------------- 504,933 -------------------- Electronic Components - Miscellaneous (0.26%) Jabil Circuit Inc 5.88%, 7/15/2010 500,000 495,783 -------------------- Electronic Components - Semiconductors (0.65%) Hynix Semiconductor Manufacturing America Inc 8.63%, 5/15/2007 (a) 1,250,000 1,256,040 -------------------- Finance - Commercial (1.36%) CIT Group Inc 5.59%, 4/27/2011 1,000,000 1,000,763 6.10%, 3/15/2067 120,000 119,686 Textron Financial Floorplan Master Note 5.64%, 5/13/2010 (a) 1,500,000 1,505,069 -------------------- 2,625,518 -------------------- Finance - Consumer Loans (0.52%) SLM Corp 5.56%, 3/15/2011 (b)(c) 1,000,000 1,000,170 -------------------- Finance - Investment Banker & Broker (2.07%) Bear Stearns Cos Inc/The 5.56%, 11/28/2011 1,000,000 1,000,630 Goldman Sachs Group Inc 5.57%, 3/ 2/2010 (b)(c) 1,000,000 1,003,291 Lehman Brothers Holdings Inc 5.59%, 1/12/2012 1,000,000 1,001,766 Morgan Stanley 5.66%, 1/ 9/2014 (d) 1,000,000 1,000,685 -------------------- 4,006,372 -------------------- Finance - Leasing Company (0.41%) International Lease Finance Corp 5.59%, 5/24/2010 (c) 800,000 802,892 -------------------- Finance - Mortgage Loan/Banker (8.60%) Countrywide Financial Corp 5.59%, 3/24/2009 750,000 751,700 Fannie Mae 2.45%, 2/17/2009 (b) 200,000 195,094 5.62%, 2/25/2018 (b) 114,194 114,465 5.62%, 3/25/2018 (b)(c) 614,179 617,113 5.62%, 10/25/2018 (b)(c) 836,080 838,571 5.57%, 11/25/2022 (b) 147,132 147,592 5.52%, 1/25/2023 (b) 143,785 144,089 5.72%, 6/25/2023 (b)(c) 896,871 898,535 5.72%, 2/25/2028 (b) 339,307 340,371 5.72%, 5/25/2030 (b)(c) 685,873 688,086 5.72%, 5/25/2031 (b)(c) 874,693 882,608 5.62%, 2/25/2032 (b) 156,162 156,714 5.52%, 4/25/2034 (b)(c) 840,247 840,117 5.57%, 3/25/2035 (b)(c) 326,428 326,777 5.54%, 4/25/2035 (b)(c) 855,250 855,675 Fannie Mae Grantor Trust 5.46%, 4/25/2035 (b)(c) 314,609 314,782 5.41%, 5/25/2035 (b) 130,149 129,824 5.48%, 6/25/2035 (b) 79,777 80,044 5.47%, 9/25/2035 (b)(c) 750,000 751,119 Fannie Mae Whole Loan 5.47%, 11/25/2033 (b) 30,995 30,994 5.47%, 5/25/2035 (b) 146,926 147,125 5.52%, 5/25/2035 (b) 143,861 144,351 5.57%, 6/25/2044 (b) 80,276 80,295 5.77%, 2/25/2047 (b)(c) 110,337 111,004 Freddie Mac 5.62%, 5/15/2013 (b)(c) 378,978 379,235 5.62%, 5/15/2017 (b)(c) 633,478 634,413 5.62%, 2/15/2018 (b)(c) 574,697 577,922 5.62%, 6/15/2018 (b)(c) 642,941 644,547 5.57%, 3/15/2023 (b)(c) 345,341 346,249 5.77%, 6/15/2023 (b) 131,111 132,395 5.72%, 7/15/2023 (b) 284,780 286,131 5.67%, 7/15/2028 (b)(c) 799,135 800,831 5.72%, 1/15/2030 (b)(c) 826,471 830,014 5.67%, 2/15/2030 (b) 57,944 58,121 5.52%, 4/15/2030 (b) 179,790 179,787 5.67%, 5/15/2030 (b) 136,879 137,221 5.72%, 9/15/2033 (b)(c) 468,015 470,437 5.62%, 10/15/2034 (b) 284,224 284,382 Ginnie Mae 1.82%, 10/16/2012 (b) 4,917,726 221,347 5.67%, 10/20/2031 (b) 295,288 296,892 Residential Capital LLC 6.74%, 6/29/2007 (b) 250,000 251,024 5.85%, 6/ 9/2008 500,000 499,105 -------------------- 16,617,098 -------------------- Finance - Other Services (0.71%) Alamosa Delaware Inc 8.50%, 1/31/2012 275,000 291,561 Beaver Valley II Funding 8.63%, 6/ 1/2007 545,000 549,153 Mizuho JGB Investment LLC 9.87%, 12/30/2025 (a) 500,000 527,477 -------------------- 1,368,191 -------------------- Food - Miscellaneous/Diversified (0.52%) General Mills Inc 5.49%, 1/22/2010 1,000,000 999,795 -------------------- Food - Retail (0.38%) Kroger Co/The 7.65%, 4/15/2007 500,000 501,960 Safeway Inc 7.00%, 9/15/2007 (c) 235,000 237,211 -------------------- 739,171 -------------------- Home Equity - Other (3.26%) ACE Securities Corp 5.53%, 9/25/2035 (b)(c) 1,000,000 1,000,337 Asset Backed Securities Corp Home Equit 5.52%, 1/25/2036 1,000,000 1,001,479 Bear Stearns Asset Backed Securities Inc 5.48%, 8/25/2036 (b) 400,000 400,092 Citigroup Mortgage Loan Trust Inc 5.59%, 10/25/2035 (b) 1,000,000 1,001,450 First NLC Trust 5.55%, 12/25/2035 (b) 274,600 274,681 New Century Home Equity Loan Trust 5.61%, 3/25/2035 (b)(c) 623,317 624,094 Option One Mortgage Loan Trust 6.32%, 2/25/2035 (b) 100,000 100,716 Residential Asset Securities Corp 5.76%, 10/25/2033 (b) 17,859 17,862 5.51%, 5/25/2034 (b)(c) 82,872 82,992 5.52%, 5/25/2035 (b) 147,585 147,667 Soundview Home Equity Loan Trust 5.50%, 3/25/2036 (b)(c) 1,000,000 1,001,304 Wells Fargo Home Equity Trust 5.61%, 10/25/2035 (a) 639,788 640,315 -------------------- 6,292,989 -------------------- Home Equity - Sequential (0.32%) Countrywide Asset-Backed Certificates 5.51%, 8/25/2036 615,000 612,463 -------------------- Hotels & Motels (0.20%) Hilton Hotels Corp 7.95%, 4/15/2007 130,000 130,459 Starwood Hotels & Resorts Worldwide Inc 7.38%, 5/ 1/2007 (c) 255,000 256,071 -------------------- 386,530 -------------------- Insurance Brokers (0.26%) Marsh & McLennan Cos Inc 5.50%, 7/13/2007 (b)(c) 500,000 500,022 -------------------- Investment Companies (0.52%) Xstrata Finance Dubai Ltd 5.72%, 11/13/2009 (a) 1,000,000 1,000,399 -------------------- Machinery - Farm (0.27%) Case New Holland Inc 9.25%, 8/ 1/2011 500,000 530,000 -------------------- Medical - Drugs (0.66%) Angiotech Pharmaceuticals Inc 9.10%, 12/ 1/2013 (a) 400,000 410,000 Biovail Corp 7.88%, 4/ 1/2010 600,000 612,750 Elan Finance PLC/Elan Finance Corp 9.50%, 12/ 1/2013 (a) 250,000 248,125 -------------------- 1,270,875 -------------------- Medical - HMO (0.18%) WellPoint Inc 3.50%, 9/ 1/2007 (c) 355,000 350,750 -------------------- Medical - Wholesale Drug Distribution (0.52%) Cardinal Health Inc 5.63%, 10/ 2/2009 (a)(b)(c) 1,000,000 1,000,705 -------------------- Mortgage Backed Securities (21.58%) Adjustable Rate Mortgage Trust 5.59%, 8/25/2036 (b)(c) 1,316,766 1,321,186 Banc of America Alternative Loan Trust 5.72%, 6/25/2036 (b)(c) 639,108 637,664 Banc of America Commercial Mortgage Inc 6.85%, 4/15/2036 300,000 315,575 5.31%, 10/10/2045 1,000,000 995,344 Banc of America Funding Corp 5.38%, 7/20/2036 (c) 2,331,637 2,332,893 Banc of America Large Loan 5.61%, 2/ 9/2021 (a)(b)(c) 1,050,000 1,052,358 Bear Stearns Alt-A Trust 5.48%, 11/25/2036 890,845 892,146 Bear Stearns Asset Backed Securities Inc 5.55%, 4/25/2036 (b) 243,690 243,735 Bear Stearns Commercial Mortgage Securities Inc 7.00%, 5/20/2030 720,731 752,359 Bella Vista Mortgage Trust 5.57%, 5/20/2045 (b) 2,012,554 2,017,729 Citigroup/Deutsche Bank Commercial Mortgage Trust 0.45%, 10/15/2048 39,565,000 963,471 Countrywide Alternative Loan Trust 5.74%, 12/25/2035 (b)(c) 790,231 793,823 5.49%, 6/25/2036 (b)(c) 3,000,000 3,002,489 5.60%, 6/25/2036 (b)(c) 1,353,388 1,357,212 5.58%, 7/25/2046 (b) 2,100,000 2,107,406 Countrywide Home Loan Mortgage Pass Through Certificates 5.52%, 4/25/2046 (b)(c) 1,340,817 1,338,966 CS First Boston Mortgage Securities Corp 7.64%, 9/15/2041 (b) 1,025,000 1,084,939 G-Force LLC 5.62%, 12/25/2039 (a)(b)(c) 1,000,000 999,989 Greenpoint Mortgage Funding Trust 5.63%, 10/25/2045 (b) 1,602,310 1,609,180 GSC Capital Corp Mortgage Trust 5.58%, 2/25/2036 846,779 851,727 GSR Mortgage Loan Trust 5.58%, 8/25/2046 (b) 279,278 279,809 Homebanc Mortgage Trust 5.66%, 1/25/2036 (b)(c) 1,298,885 1,302,740 Impac CMB Trust 6.07%, 8/25/2033 (b) 41,813 41,843 Mortgage Backed Securities Impac CMB Trust (continued) 5.81%, 10/25/2034 (b) 100,972 101,088 6.87%, 10/25/2034 (b)(c) 186,933 187,858 5.83%, 8/25/2035 (b) 108,471 108,765 5.97%, 8/25/2035 (b) 99,932 100,023 Impac Secured Assets CMN Owner Trust 5.49%, 9/25/2036 1,500,000 1,500,710 Indymac Index Mortgage Loan Trust 5.55%, 4/25/2035 (b) 236,712 237,544 5.51%, 1/25/2037 1,460,000 1,460,000 JP Morgan Chase Commercial Mortgage Securities 5.30%, 5/15/2047 1,000,000 992,696 JP Morgan Mortgage Trust 5.30%, 7/25/2035 (e) 1,000,000 989,490 5.87%, 1/25/2037 1,454,428 1,453,247 LB-UBS Commercial Mortgage Trust 5.59%, 6/15/2031 390,000 393,415 Merrill Lynch Mortgage Trust 5.66%, 5/12/2039 (b) 620,000 628,215 Merrill Lynch/Countrywide Commercial Mortgage Trust 0.05%, 7/12/2046 17,305,302 281,903 Morgan Stanley Capital I 5.48%, 8/15/2019 (a)(b)(c) 1,000,000 1,000,325 5.92%, 12/20/2046 (e) 200,000 200,000 Washington Mutual Alternative Mortgage 5.60%, 6/25/2046 (b)(c) 942,461 943,926 Washington Mutual Inc 5.64%, 12/25/2027 (b)(c) 1,281,431 1,281,612 5.79%, 7/25/2044 (b) 177,161 177,839 5.69%, 1/25/2045 (b)(c) 354,919 356,051 5.70%, 11/25/2045 (b) 2,000,000 2,009,350 5.54%, 8/25/2046 1,000,000 1,001,401 -------------------- 41,700,041 -------------------- Multimedia (0.66%) Time Warner Inc 6.15%, 5/ 1/2007 350,000 350,452 5.61%, 11/13/2009 650,000 650,592 Viacom Inc 5.74%, 6/16/2009 275,000 275,934 -------------------- 1,276,978 -------------------- Office Automation & Equipment (0.21%) Xerox Corp 6.11%, 12/18/2009 (b) 400,000 404,000 -------------------- Oil - Field Services (0.66%) BJ Services Co 5.54%, 6/ 1/2008 (b) 500,000 500,226 Hanover Equipment Trust 8.75%, 9/ 1/2011 750,000 780,000 -------------------- 1,280,226 -------------------- Oil & Gas Drilling (0.39%) Transocean Inc 5.57%, 9/ 5/2008 (b) 750,000 750,596 -------------------- Oil Company - Exploration & Production (1.19%) Anadarko Petroleum Corp 5.76%, 9/15/2009 (b) 250,000 250,628 Oil Company - Exploration & Production Hilcorp Energy I LP/Hilcorp Finance Co 10.50%, 9/ 1/2010 (a) 500,000 535,625 Houston Exploration Co 7.00%, 6/15/2013 500,000 503,750 Louis Dreyfus Natural Gas 6.88%, 12/ 1/2007 (c) 400,000 403,971 Newfield Exploration Co 7.45%, 10/15/2007 500,000 504,375 Vintage Petroleum Inc 8.25%, 5/ 1/2012 100,000 104,369 -------------------- 2,302,718 -------------------- Oil Refining & Marketing (0.44%) Giant Industries Inc 11.00%, 5/15/2012 300,000 319,500 Premcor Refining Group Inc/The 9.50%, 2/ 1/2013 500,000 538,126 -------------------- 857,626 -------------------- Optical Supplies (0.31%) Bausch & Lomb Inc 6.95%, 11/15/2007 (c) 600,000 600,295 -------------------- Paper & Related Products (0.26%) Bowater Inc 8.36%, 3/15/2010 (b) 500,000 505,000 -------------------- Pipelines (0.53%) El Paso Corp 7.63%, 8/16/2007 500,000 503,750 Northwest Pipeline Corp 8.13%, 3/ 1/2010 250,000 259,375 Southern Natural Gas Co 8.88%, 3/15/2010 250,000 261,910 -------------------- 1,025,035 -------------------- Publishing - Periodicals (0.39%) Dex Media East LLC/Dex Media East Finance Co 9.88%, 11/15/2009 100,000 105,000 12.13%, 11/15/2012 600,000 660,000 -------------------- 765,000 -------------------- Real Estate Operator & Developer (0.10%) First Industrial LP 7.60%, 5/15/2007 (c) 200,000 201,137 -------------------- Regional Banks (0.79%) Capital One Financial Corp 5.67%, 9/10/2009 500,000 502,308 Fleet Capital Trust II 7.92%, 12/11/2026 500,000 519,980 PNC Funding Corp 0.00%, 1/31/2012 (f) 500,000 499,781 -------------------- 1,522,069 -------------------- REITS - Diversified (0.52%) iStar Financial Inc 6.61%, 3/12/2007 (b)(c) 275,000 275,315 5.91%, 3/16/2009 (b)(c) 725,000 730,524 -------------------- 1,005,839 -------------------- REITS - Healthcare (0.23%) Health Care Property Investors Inc 5.81%, 9/15/2008 (b) 250,000 249,803 National Health Investors Inc 7.30%, 7/16/2007 200,000 199,716 -------------------- 449,519 -------------------- REITS - Office Property (0.52%) Crescent Real Estate Equities LP 7.50%, 9/15/2007 500,000 502,500 HRPT Properties Trust 5.96%, 3/16/2011 (b)(c) 500,000 500,243 -------------------- 1,002,743 -------------------- REITS - Warehouse & Industrial (0.26%) Prologis 5.62%, 8/24/2009 (b)(c) 500,000 500,858 -------------------- Rental - Auto & Equipment (0.65%) Erac USA Finance Co 5.61%, 4/30/2009 (a)(c) 1,250,000 1,252,623 -------------------- Retail - Building Products (0.36%) Home Depot Inc 5.49%, 12/16/2009 700,000 700,795 -------------------- Retail - Regional Department Store (0.26%) JC Penney Corp Inc 8.13%, 4/ 1/2027 (c) 500,000 513,069 -------------------- Rubber - Tires (0.13%) Goodyear Tire & Rubber Co/The 9.14%, 12/ 1/2009 (a) 250,000 251,875 -------------------- Satellite Telecommunications (0.27%) Intelsat Corp 6.38%, 1/15/2008 525,000 524,344 -------------------- Savings & Loans - Thrifts (0.26%) Washington Mutual Inc 5.66%, 1/15/2010 (b)(c) 500,000 502,217 -------------------- Special Purpose Banks (0.20%) Korea Development Bank 5.76%, 10/20/2009 (b)(c) 380,000 382,474 -------------------- Steel - Producers (0.22%) Ipsco Inc 8.75%, 6/ 1/2013 176,000 188,760 Steel Dynamics Inc 9.50%, 3/15/2009 225,000 230,625 -------------------- 419,385 -------------------- Telecommunication Services (0.40%) Mastec Inc 7.75%, 2/ 1/2008 200,000 200,250 TELUS Corp 7.50%, 6/ 1/2007 (c) 580,000 583,166 -------------------- 783,416 -------------------- Telephone - Integrated (0.75%) Deutsche Telekom International Finance BV 5.55%, 3/23/2009 (b) 200,000 200,334 Mountain States Telephone & Telegraph Co 6.00%, 8/ 1/2007 250,000 248,750 Telecom Italia Capital SA 5.97%, 7/18/2011 (b)(c) 300,000 300,310 Telefonica Emisiones SAU 5.66%, 6/19/2009 (b) 700,000 700,979 -------------------- 1,450,373 -------------------- Television (0.26%) CBS Corp 5.63%, 5/ 1/2007 500,000 500,161 -------------------- Tools - Hand Held (0.26%) Snap-On Inc 5.49%, 1/12/2010 500,000 499,933 -------------------- Transport - Rail (0.26%) Burlington Northern Santa Fe Corp 7.88%, 4/15/2007 (c) 500,000 502,153 -------------------- Transport - Services (0.26%) FedEx Corp 2.65%, 4/ 1/2007 500,000 497,803 -------------------- TOTAL BONDS $ 142,365,725 -------------------- CONVERTIBLE BONDS (0.38%) Retail - Auto Parts (0.38%) PEP Boys-Manny Moe & Jack 4.25%, 6/ 1/2007 750,000 744,375 -------------------- TOTAL CONVERTIBLE BONDS $ 744,375 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (50.89%) U.S. Treasury Inflation-Indexed Obligations (50.89%) 3.88%, 1/15/2009 (g) 4,724,198 4,852,266 4.25%, 1/15/2010 (g) 6,108,066 6,428,025 0.88%, 4/15/2010 (g) 11,168,115 10,618,867 3.50%, 1/15/2011 (g) 6,101,343 6,354,213 2.38%, 4/15/2011 (g) 6,608,822 6,591,011 3.38%, 1/15/2012 (g) 3,307,942 3,456,541 3.00%, 7/15/2012 (g) 5,491,381 5,662,987 1.88%, 7/15/2013 1,673,093 1,621,004 2.00%, 1/15/2014 (g) 9,116,747 8,872,801 2.00%, 7/15/2014 753,631 732,877 1.63%, 1/15/2015 (g) 2,010,308 1,896,050 1.88%, 7/15/2015 (g) 4,345,768 4,174,484 2.00%, 1/15/2016 (g) 3,832,493 3,708,983 2.50%, 7/15/2016 618,611 624,387 2.38%, 1/15/2017 4,696,381 4,685,739 2.38%, 1/15/2025 (g) 6,226,809 6,187,891 2.00%, 1/15/2026 568,529 533,151 2.38%, 1/15/2027 3,996,720 3,975,957 3.63%, 4/15/2028 4,671,863 5,624,848 3.88%, 4/15/2029 (g) 8,555,526 10,743,533 3.38%, 4/15/2032 828,703 998,263 -------------------- 98,343,878 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 98,343,878 -------------------- SHORT TERM INVESTMENTS (1.74%) Commercial Paper (1.74%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (f) 3,366,278 3,366,278 -------------------- TOTAL SHORT TERM INVESTMENTS $ 3,366,278 -------------------- MONEY MARKET FUNDS (3.79%) Money Center Banks (3.79%) BNY Institutional Cash Reserve Fund (c) 7,328,000 7,328,000 -------------------- TOTAL MONEY MARKET FUNDS $ 7,328,000 -------------------- Total Investments $ 252,148,256 Liabilities in Excess of Other Assets, Net - (30.47)% (58,891,460) -------------------- TOTAL NET ASSETS - 100.00% $ 193,256,796 ==================== -------------------- ====================
(a) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $15,908,649 or 8.23% of net assets. (b) Variable Rate (c) Security was purchased with the cash proceeds from securities loans. (d) Security purchased on a when-issued basis. (e) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $1,189,490 or 0.62% of net assets. (f) Non-Income Producing Security (g) Security or a portion of the security was on loan at the end of the period. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 236,625 Unrealized Depreciation (2,051,906) -------------------- Net Unrealized Appreciation (Depreciation) (1,815,281) Cost for federal income tax purposes 253,963,537
SCHEDULE OF STRADDLE OPTION AGREEMENTS Description Counterparty Exercise Price* Expiration Date Notional Amount Premium Value Call & Put - OTC 10 Year Interest Rate Morgan Stanley July-08 Swap $0.00 3,800,000.00 161,120 1,786
* Exercise price and final premium determined on a future date, based upon implied volatility parameters.
SCHEDULE OF TOTAL RETURN SWAP AGREEMENTS Unrealized Notional Appreciation/ Description Amount (Depreciation) ---------------------------------------------------------------------- ---------------------------------------- ----------------- Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on 1-month LIBOR less 10 basis points with Wachovia Bank. Expires April 2007. 1,000,000 $ (7,742) Receive a semi-annual return equal to a 0.875% U.S. Treasury Inflation Index Obligation and pay monthly a floating rate based on 1-month LIBOR less 3 basis points with Merrill Lynch. Expires March 2007. 2,500,000 (15,414) Receive a semi-annual return equal to a 1.625% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 2 basis points with Morgan Stanley. Expires June 2007. 8,000,000 (233,925) Receive a semi-annual return equal to a 1.875% U.S. Treasury Inflation Index Obligation and pay monthly a floating rate based on 1-month LIBOR less 3 basis points with Merrill Lynch. Expires May 2007. 4,600,000 (112,443) Receive a semi-annual return equal to a 1.875% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 2 basis points with Morgan Stanley. Expires May 2007. 8,000,000 (272,279) Receive a semi-annual return equal to a 2.00% U.S. Treasury Inflation Index Obligation and pay monthly a floating rate based on 1-month LIBOR less 3 basis points with Merrill Lynch. Expires March 2007. 2,400,000 (38,892) Receive a semi-annual return equal to a 2.00% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 2 basis points with Morgan Stanley. Expires July 2007. 9,000,000 (105,832) Receive a semi-annual return equal to a 2.00% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 2 basis points with Morgan Stanley. Expires July 2007. 8,400,000 78,912 Receive a semi-annual return equal to a 2.00% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 5 basis points with Morgan Stanley. Expires March 2007. 4,800,000 (153,084) Receive a semi-annual return equal to a 2.375% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 4 basis points with Morgan Stanley. Expires May 2007. 7,100,000 (427,499) Receive a semi-annual return equal to a 2.50% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 2 basis points with Morgan Stanley. Expires June 2007. 7,000,000 (284,147) Receive a semi-annual return equal to a 3.00% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 5 basis points with Morgan Stanley. Expires March 2007. 4,500,000 (147,235) Receive a semi-annual return equal to a 3.375% U.S. Treasury Inflation Index Obligation and pay semi-annually a floating rate based on 3-month LIBOR less 8 basis points with Morgan Stanley. Expires May 2007. 1,500,000 (110,134) Receive a semi-annual return equal to a 3.63% U.S. Treasury Inflation Index Obligation and pay monthly a floating rate based on 1-month LIBOR less 3 basis points with Merrill Lynch. Expires May 2007. 3,750,000 (203,484) Receive a semi-annual return equal to a 3.875% U.S. Treasury Inflation Index Obligation and pay monthly a floating rate based on 1-month LIBOR less 3 basis points with Merrill Lynch. Expires March 2007. 1,600,000 (86,557) Receive a semi-annual return equal to a 3.875% U.S. Treasury Inflation Index Obligation and pay monthly a floating rate based on 1-month LIBOR less 3 basis points with Merrill Lynch. Expires March 2007. 2,000,000 (45,159)
Portfolio Summary (unaudited) ------------------------------------------------ -------------------- Sector Percent ------------------------------------------------ -------------------- Government 50.99% Mortgage Securities 30.43% Asset Backed Securities 16.91% Financial 13.36% Communications 4.30% Consumer, Non-cyclical 3.96% Energy 3.22% Consumer, Cyclical 3.13% Industrial 1.93% Technology 1.12% Basic Materials 0.86% Utilities 0.26% Liabilities in Excess of Other Assets, Net (-30.47%) -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) ------------------------------------------------------ -------------------- Asset Type Percent ------------------------------------------------------ -------------------- Straddle Options 0.00% Total Return Swaps 1.20%
Schedule of Investments January 31, 2007 (unaudited) International Emerging Markets Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (85.78%) Agricultural Biotech (0.00%) Global Bio-Chem Technology Group Co Ltd (a) 73,093 $ 94 -------------------- Agricultural Operations (0.53%) Astra Agro Lestari Tbk PT 2,143,500 3,109,253 -------------------- Airlines (0.50%) Korean Air Lines Co Ltd 62,459 2,229,006 Thai Airways International Public Ltd (a)(b) 540,100 683,867 -------------------- 2,912,873 -------------------- Airport Development & Maintenance (0.22%) Grupo Aeroportuario ADR (a)(c) 53,288 1,292,767 -------------------- Apparel Manufacturers (0.57%) Youngone Corp (c) 569,130 3,324,711 -------------------- Applications Software (1.32%) Infosys Technologies Ltd ADR 79,109 4,588,322 Tata Consultancy Services Ltd 106,597 3,084,559 -------------------- 7,672,881 -------------------- Auto - Car & Light Trucks (0.83%) Denway Motors Ltd 8,422,000 3,548,921 Hyundai Motor Co 17,892 1,275,150 -------------------- 4,824,071 -------------------- Auto - Medium & Heavy Duty Trucks (0.57%) Mahindra & Mahindra Ltd 161,786 3,301,150 -------------------- Batteries & Battery Systems (0.52%) Simplo Technology Co Ltd 841,000 3,001,109 -------------------- Beverages - Non-Alcoholic (0.63%) Coca-Cola Femsa SA de CV 681,800 2,726,531 Coca-Cola Icecek AS (a) 122,487 923,115 -------------------- 3,649,646 -------------------- Beverages - Wine & Spirits (0.31%) United Spirits Ltd 87,991 1,816,027 -------------------- Brewery (0.30%) Compania Cervecerias Unidas SA 287,628 1,720,964 -------------------- Broadcasting Services & Programming (0.30%) Grupo Televisa SA ADR 58,623 1,727,034 -------------------- Building - Heavy Construction (1.06%) Daewoo Engineering & Construction Co Ltd 144,800 2,737,589 YTL Corp Bhd 1,618,200 3,420,848 -------------------- 6,158,437 -------------------- Building & Construction - Miscellaneous (0.56%) Murray & Roberts Holdings Ltd 496,636 3,249,245 -------------------- Building Products - Cement & Aggregate (2.13%) Cemex SAB de CV (a) 2,296,218 8,149,573 Grasim Industries Ltd (a) 66,553 4,246,512 -------------------- 12,396,085 -------------------- Casino Hotels (0.45%) Genting Bhd 242,886 2,636,671 -------------------- Cellular Telecommunications (4.22%) America Movil SA de CV ADR (c) 155,198 6,884,583 China Mobile Ltd 1,107,462 10,156,103 Mobile Telesystems OJSC ADR 89,637 4,854,740 SK Telecom Co Ltd 12,515 2,658,523 -------------------- 24,553,949 -------------------- Chemicals - Diversified (0.60%) Nan Ya Plastics Corp 2,122,140 3,499,627 -------------------- Commercial Banks (8.65%) Banco do Brasil SA 75,936 2,484,665 Banco Santander Chile SA ADR 57,460 2,841,972 Bank Millennium SA 819,555 3,009,800 Bank of Communications Co Ltd (c) 3,325,000 3,590,083 Bank Rakyat Indonesia 8,647,500 5,036,456 Bumiputra-Commerce Holdings Bhd 1,392,600 3,660,026 China Construction Bank, Class H 6,097,000 3,592,190 FirstRand Ltd 1,295,281 4,125,099 Kookmin Bank 72,623 5,777,443 Mizrahi Tefahot Bank Ltd 313,670 2,143,371 Powszechna Kasa Oszczednosci Bank Polaki SA 103,242 1,706,194 PT Bank Central Asia Tbk 4,519,500 2,532,906 Raiffeisen International Bank Holding AS 24,893 3,800,218 Sberbank 1,838 6,028,640 -------------------- 50,329,063 -------------------- Computer Services (0.38%) Sonda SA (a) 1,635,467 2,191,199 -------------------- Diversified Financial Services (3.66%) Cathay Financial Holding Co Ltd 525,449 1,164,934 First Financial Holding Co Ltd 2,499,000 1,821,484 Indiabulls Financial Serviced Ltd (a)(b)(d) 103,422 793,077 Indiabulls Financial Services Ltd 103,422 857,244 Investec Ltd 365,122 4,348,400 Mega Financial Holding Co Ltd 3,654,000 2,446,949 Shin Kong Financial Holding Co Ltd 2,413,940 2,419,292 Shinhan Financial Group Co Ltd 68,773 3,593,873 Woori Finance Holdings Co Ltd 164,250 3,838,024 -------------------- 21,283,277 -------------------- Diversified Minerals (0.66%) Antofagasta PLC 422,564 3,860,510 -------------------- Diversified Operations (3.41%) Barloworld Ltd 156,873 4,040,208 Bidvest Group Ltd (a) 173,988 3,252,337 Citic Pacific Ltd 1,033,000 3,618,619 Grupo Carso SA de CV 943,700 3,447,948 GS Holdings Corp 72,570 2,397,161 KOC Holding AS (a) 720,789 3,074,820 -------------------- 19,831,093 -------------------- Electric - Generation (1.49%) CEZ 18,520 790,363 China Power International Development Ltd 4,838,000 2,621,148 China Resources Power Holdings Co 1,950,000 3,057,041 Glow Energy PCL (b) 2,287,727 2,188,976 -------------------- 8,657,528 -------------------- Electric - Integrated (1.81%) Companhia Energetica de Minas Gerais - CEMIG (a) 289,968,783 3,527,597 Korea Electric Power Corp 53,610 2,414,301 Terna Participacoes SA (a) 161,165 1,745,154 Unified Energy System ADR (c) 24,287 2,841,579 -------------------- 10,528,631 -------------------- Electric Products - Miscellaneous (0.46%) LG Electronics Inc 47,921 2,656,905 -------------------- Electronic Components - Miscellaneous (1.73%) AAC Acoustic Technology Holdings Inc (a) 562,000 526,905 Asustek Computer Inc 1,070,000 2,827,163 HON HAI Precision Industry Co Ltd 979,750 6,694,924 -------------------- 10,048,992 -------------------- Electronic Components - Semiconductors (3.61%) Hynix Semiconductor Inc (a) 116,405 3,863,682 MediaTek Inc 189,950 2,071,007 Samsung Electronics Co Ltd 21,230 13,055,943 Sonix Technology Co Ltd 880,000 2,028,487 -------------------- 21,019,119 -------------------- Finance - Other Services (0.85%) Grupo Financiero Banorte SA de CV 1,249,900 4,973,381 -------------------- Food - Dairy Products (0.62%) Wimm-Bill-Dann Foods OJSC ADR (c) 55,723 3,625,338 -------------------- Food - Miscellaneous/Diversified (0.31%) Tiger Brands Ltd 75,849 1,809,579 -------------------- Food - Retail (0.97%) BIM Birlesik Magazalar AS 27,312 1,621,437 Shoprite Holdings Ltd 1,088,645 4,009,687 -------------------- 5,631,124 -------------------- Gas - Distribution (0.42%) Korea Gas Corp 61,980 2,452,209 -------------------- Independent Power Producer (0.02%) YTL Power International 143,198 90,406 -------------------- Life & Health Insurance (1.19%) China Life Insurance Co Ltd 1,224,000 3,574,386 Sanlam Ltd 1,298,807 3,354,023 -------------------- 6,928,409 -------------------- Machinery - General Industry (0.61%) Industrias CH SA (a) 814,185 3,544,536 -------------------- Medical - Drugs (0.46%) Dr Reddy's Laboratories Ltd ADR (c) 158,339 2,671,179 -------------------- Medical - Generic Drugs (0.55%) Teva Pharmaceutical Industries Ltd ADR (c) 91,363 3,206,841 -------------------- Medical - HMO (0.54%) Odontoprev SA (a) 169,510 3,128,359 -------------------- Metal - Diversified (1.27%) Hindustan Zinc Ltd 120,453 1,928,906 MMC Norilsk Nickel ADR 32,181 5,438,589 -------------------- 7,367,495 -------------------- Metal - Iron (0.29%) Novolipetsk Steel (b) 67,380 1,661,591 -------------------- Metal Processors & Fabrication (0.73%) Catcher Technology Co Ltd 394,339 4,227,584 -------------------- Multi-Line Insurance (0.52%) Porto Seguro SA 92,180 3,020,516 -------------------- Non-Ferrous Metals (0.59%) International Nickel Indonesia Tbk PT 432,000 1,566,594 Poongsan Corp (c) 91,780 1,857,046 -------------------- 3,423,640 -------------------- Oil Company - Exploration & Production (3.00%) Oao Gazprom (a)(b)(e) 23,609 2,552,723 Oao Gazprom (a) 343,872 14,872,464 -------------------- 17,425,187 -------------------- Oil Company - Integrated (6.34%) China Petroleum & Chemical Corp 7,206,000 6,026,882 LUKOIL ADR 147,766 11,969,046 PetroChina Co Ltd 3,950,807 4,842,649 Petroleo Brasileiro SA ADR (c) 121,696 11,960,283 Sasol Ltd 61,813 2,100,803 -------------------- 36,899,663 -------------------- Oil Refining & Marketing (1.02%) Reliance Industries Ltd 79,584 2,462,469 Thai Oil Public (a)(b) 936,900 1,550,266 Tupras Turkiye Petrol Rafinerileri AS 108,116 1,921,721 -------------------- 5,934,456 -------------------- Petrochemicals (0.88%) Formosa Chemicals & Fibre Corp 1,692,000 3,021,520 LG Petrochemical Co Ltd 66,460 2,082,390 -------------------- 5,103,910 -------------------- Pharmacy Services (0.45%) Profarma Distribuidora de Produtos Farmacenticos SA (a) 148,964 2,594,886 -------------------- Platinum (1.33%) Anglo Platinum Ltd 33,470 4,208,081 Impala Platinum Holdings Ltd 122,399 3,517,573 -------------------- 7,725,654 -------------------- Power Converter & Supply Equipment (0.58%) Delta Electronics Inc 1,027,650 3,355,070 -------------------- Property & Casualty Insurance (0.96%) Dongbu Insurance Co Ltd 110,450 2,897,626 Property & Casualty Insurance LIG Non-Life Insurance Co Ltd 167,190 2,690,312 -------------------- 5,587,938 -------------------- Real Estate Operator & Developer (2.44%) Huaku Construction Corp 1,408,000 2,728,169 Huang Hsiang Construction Co 1,349,047 2,822,891 Rodobens Negocios Imobiliarios SA (a) 146,955 1,552,539 Shenzhen Investment Ltd 11,884,000 4,840,330 Sistema-Hals (a)(b)(c) 176,479 2,250,107 -------------------- 14,194,036 -------------------- Retail - Automobile (0.36%) PT Astra International Tbk 1,266,500 2,066,761 -------------------- Retail - Major Department Store (0.81%) Grupo Famsa SA (a) 172,366 780,783 Hyundai Department Store Co Ltd 28,610 2,266,921 Parkson Retail Group Ltd 299,000 1,683,121 -------------------- 4,730,825 -------------------- Retail - Miscellaneous/Diversified (0.80%) Dufry South America Ltd (a) 130,425 2,081,593 Massmart Holdings Ltd 247,620 2,602,033 -------------------- 4,683,626 -------------------- Semiconductor Component - Integrated Circuits (2.20%) Powertech Technology Inc 732,000 3,045,646 Realtek Semiconductor Corp 1,973,000 3,163,799 Taiwan Semiconductor Manufacturing Co Ltd 3,229,227 6,610,074 -------------------- 12,819,519 -------------------- Shipbuilding (0.46%) Hyundai Heavy Industries 18,713 2,693,161 -------------------- Steel - Producers (3.82%) Angang Steel Co Ltd (c) 2,209,499 3,458,201 China Steel Corp 3,876,000 4,002,308 Evraz Group SA (b) 50,251 1,397,480 Maanshan Iron & Steel (c) 3,918,000 2,499,074 Mittal Steel South Africa Ltd 169,452 2,536,384 POSCO ADR (c) 65,262 5,754,803 Tenaris SA ADR 54,413 2,582,985 -------------------- 22,231,235 -------------------- Steel - Specialty (0.23%) Gloria Material Technology Corp 883,000 1,330,118 -------------------- Steel Pipe & Tube (0.60%) Confab Industrial SA (a) 322,221 916,275 TMK OAO (a)(c) 72,798 2,555,210 -------------------- 3,471,485 -------------------- Telecommunication Equipment (0.56%) Foxconn International Holdings Ltd (a) 1,085,143 3,245,332 -------------------- Telecommunication Services (0.56%) Digi.Com BHD 511,746 2,251,361 Telekomunikasi Indonesia Tbk PT 963,500 1,000,557 -------------------- 3,251,918 -------------------- Telephone - Integrated (2.55%) Carso Global Telecom SA de CV (a) 1,534,500 5,826,880 Telecom Argentina SA ADR (a) 67,500 1,390,500 Telephone - Integrated Telefonos de Mexico SA de CV ADR 151,423 4,648,686 Telkom SA Ltd 133,543 2,977,443 -------------------- 14,843,509 -------------------- Textile - Products (0.44%) Nishat Mills Ltd 1,517,500 2,586,435 -------------------- Tobacco (0.49%) KT&G Corp 46,933 2,856,358 -------------------- Transport - Marine (2.77%) Pacific Basin Shipping Ltd 4,378,000 3,050,422 Sincere Navigation 3,133,000 4,253,199 STX Pan Ocean Co Ltd 5,631,000 4,143,407 U-Ming Marine Transport Corp 3,219,000 4,663,234 Wan Hai Lines Ltd 1 1 -------------------- 16,110,263 -------------------- Web Portals (0.37%) LG Dacom Corp (c) 95,120 2,126,687 -------------------- Wire & Cable Products (0.34%) LS Cable Ltd (c) 56,330 1,992,341 -------------------- TOTAL COMMON STOCKS $ 498,875,471 -------------------- PREFERRED STOCKS (3.75%) Commercial Banks (0.36%) Banco Bradesco SA 51,879 2,107,596 -------------------- Diversified Minerals (1.44%) Cia Vale do Rio Doce 295,610 8,350,368 -------------------- Diversified Operations (0.97%) Bradespar SA (a) 211,600 5,638,549 -------------------- Electric - Integrated (0.59%) Cia Energetica de Minas Gerais 71,200,000 3,409,072 -------------------- Investment Companies (0.00%) Lereko Mobility Pty Ltd 4,384 26,103 -------------------- Steel - Producers (0.39%) Gerdau SA 134,389 2,265,072 -------------------- TOTAL PREFERRED STOCKS $ 21,796,760 -------------------- Principal Amount Value ----------------------- -------- -------------------- SHORT TERM INVESTMENTS (11.60%) Commercial Paper (11.60%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (a) 67,494,368 67,494,368 -------------------- TOTAL SHORT TERM INVESTMENTS $ 67,494,368 -------------------- MONEY MARKET FUNDS (5.46%) Money Center Banks (5.46%) BNY Institutional Cash Reserve Fund (f) 31,730,000 31,730,000 -------------------- TOTAL MONEY MARKET FUNDS $ 31,730,000 -------------------- Total Investments $ 619,896,599 Liabilities in Excess of Other Assets, Net - (6.59)% (38,336,962) -------------------- TOTAL NET ASSETS - 100.00% $ 581,559,637 ==================== -------------------- ====================
(a) Non-Income Producing Security (b) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $13,078,087 or 2.25% of net assets. (c) Security or a portion of the security was on loan at the end of the period. (d) Security is illiquid. (e) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $2,552,723 or 0.44% of net assets. (f) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 79,024,246 Unrealized Depreciation (8,082,071) -------------------- Net Unrealized Appreciation (Depreciation) 70,942,175 Cost for federal income tax purposes 548,806,076 Portfolio Summary (unaudited) --------------------------------------------------- -------------------- Country Percent --------------------------------------------------- -------------------- United States 17.06% Korea, Republic Of 14.38% Taiwan, Province Of China 12.24% Russian Federation 10.33% Brazil 9.06% South Africa 7.94% Mexico 7.57% Hong Kong 5.69% China 5.30% India 4.43% Indonesia 2.63% Malaysia 2.07% Turkey 1.30% Chile 1.16% Israel 0.92% Poland 0.81% Thailand 0.76% United Kingdom 0.66% Austria 0.65% Pakistan 0.45% Luxembourg 0.44% Bermuda 0.36% Argentina 0.24% Czech Republic 0.14% Liabilities in Excess of Other Assets, Net (-6.59%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) International Growth Fund Shares Held Value -------------------- -------- -------------------- COMMON STOCKS (98.09%) Advertising Services (0.43%) WPP Group PLC 449,907 $ 6,603,020 -------------------- Airlines (0.80%) Air France-KLM 127,289 5,726,968 British Airways PLC (a) 611,954 6,465,446 -------------------- 12,192,414 -------------------- Appliances (0.35%) Indesit Co SpA 297,985 5,297,511 -------------------- Auto - Car & Light Trucks (2.91%) Bayerische Motoren Werke AG 107,906 6,574,918 Honda Motor Co Ltd 327,200 12,878,687 Toyota Motor Corp 376,000 24,769,639 -------------------- 44,223,244 -------------------- Auto/Truck Parts & Equipment - Original (0.32%) Nippon Seiki Co Ltd 208,000 4,825,986 -------------------- Beverages - Wine & Spirits (0.43%) C&C Group PLC 442,498 6,563,216 -------------------- Brewery (0.98%) Heineken NV 137,266 6,954,095 InBev NV 123,897 7,972,362 -------------------- 14,926,457 -------------------- Building - Heavy Construction (1.94%) ACS Actividades de Construccion y Servicios SA (b) 130,390 7,091,788 Aker Kvaerner ASA 42,440 4,794,712 Daewoo Engineering & Construction Co Ltd 305,950 5,784,291 Vinci SA 86,177 11,838,457 -------------------- 29,509,248 -------------------- Building - Residential & Commercial (0.81%) Kaufman & Broad SA 88,161 5,745,259 Persimmon PLC 239,112 6,511,243 -------------------- 12,256,502 -------------------- Building & Construction - Miscellaneous (0.32%) Peab AB 219,100 4,807,625 -------------------- Building & Construction Products - Miscellaneous (0.81%) Geberit AG 3,622 6,118,942 Kingspan Group PLC 233,268 5,889,086 Kingspan Group PLC 11,822 298,612 -------------------- 12,306,640 -------------------- Building Products - Cement & Aggregate (0.96%) Buzzi Unicem SpA 174,873 4,950,462 Ciments Francais SA 22,156 4,874,464 Lafarge SA 30,677 4,698,009 -------------------- 14,522,935 -------------------- Chemicals - Diversified (1.21%) Bayer AG 169,875 9,983,270 Chemicals - Diversified Shin-Etsu Chemical Co Ltd 129,000 8,380,510 -------------------- 18,363,780 -------------------- Chemicals - Other (0.34%) Kingboard Chemical Holdings Ltd 1,267,000 5,217,264 -------------------- Chemicals - Specialty (0.43%) Umicore 37,576 6,592,023 -------------------- Circuit Boards (0.41%) Ibiden Co Ltd 126,900 6,298,732 -------------------- Commercial Banks (13.79%) Allied Irish Banks PLC 200,525 5,783,797 Alpha Bank AE 178,884 5,754,131 Anglo Irish Bank Corp PLC 394,303 7,986,274 Australia & New Zealand Banking Group Ltd 503,674 11,385,712 Banco Popolare di Verona e Novara Scrl (b) 137,883 4,334,621 Banco Popular Espanol SA 500,699 9,580,008 Banco Santander Central Hispano SA (b) 296,939 5,646,582 Bank of Novia Scotia (a)(b) 165,500 7,138,664 Barclays PLC 661,849 9,622,544 BNP Paribas 116,458 12,985,314 Chiba Bank Ltd/The 536,000 4,827,908 Deutsche Bank AG 64,492 9,105,791 HBOS PLC 780,101 17,028,021 KBC Groep NV 57,930 7,304,956 Mitsubishi UFJ Financial Group Inc 1,804 21,824,992 Mizuho Financial Group Inc 2,549 18,376,119 Raiffeisen International Bank Holding AS 52,449 8,006,975 Royal Bank of Canada (a)(b) 201,200 9,335,078 Societe Generale 58,335 10,302,238 Sumitomo Mitsui Financial Group Inc 869 8,857,060 Sumitomo Trust & Banking Co Ltd/The 445,000 4,760,482 Swedbank AB 172,200 6,504,004 UniCredito Italiano SpA 339,235 3,139,223 -------------------- 209,590,494 -------------------- Computer Services (0.34%) Computershare Ltd 716,377 5,095,720 -------------------- Computers (0.32%) Wincor Nixdorf AG 30,543 4,844,683 -------------------- Dialysis Centers (0.36%) Fresenius Medical Care AG & Co KGaA 40,375 5,401,751 -------------------- Distribution & Wholesale (0.81%) Esprit Holdings Ltd 703,500 7,131,818 Inchcape Plc 503,913 5,237,337 -------------------- 12,369,155 -------------------- Diversified Financial Services (0.33%) Acta Holding ASA 910,000 5,060,214 -------------------- Diversified Manufacturing Operations (1.64%) NKT Holding A/S 54,400 4,783,107 Siemens AG (b) 183,571 20,145,557 -------------------- 24,928,664 -------------------- Diversified Minerals (2.99%) Anglo American PLC 185,201 8,601,815 Antofagasta PLC 531,065 4,851,767 BHP Billiton Ltd 267,243 5,404,005 BHP Billiton PLC 162,105 3,019,284 Ludin Mining Corp (a) 128,939 4,423,239 Paladin Resources Ltd (a) 693,346 4,668,072 Tek Cominco Limited (a)(b) 87,100 6,421,479 Xstrata PLC 172,734 8,049,924 -------------------- 45,439,585 -------------------- Electric - Distribution (0.78%) National Grid PLC 786,681 11,870,231 -------------------- Electric - Integrated (3.26%) E.ON AG 115,902 15,719,468 Enel SpA 847,054 8,964,586 Fortis Inc (b) 144,900 3,310,980 International Power PLC 959,787 6,793,259 RWE AG 34,889 3,645,099 Scottish & Southern Energy PLC 377,941 11,108,486 -------------------- 49,541,878 -------------------- Electric Products - Miscellaneous (0.36%) Casio Computer Co Ltd 264,900 5,476,678 -------------------- Electronic Components - Miscellaneous (0.41%) Chemring Group PLC 188,394 6,236,864 -------------------- Electronic Components - Semiconductors (1.25%) Samsung Electronics Co Ltd 24,164 14,860,283 Sumco Corp 112,900 4,078,919 -------------------- 18,939,202 -------------------- Engineering - Research & Development Services (1.20%) ABB Ltd 357,258 6,319,846 Keller Group PLC 284,558 4,975,767 WorleyParsons Ltd 414,323 6,920,666 -------------------- 18,216,279 -------------------- Enterprise Software & Services (0.49%) Nomura Research Institute Ltd 30,800 4,798,144 SAP AG 57,163 2,641,158 -------------------- 7,439,302 -------------------- Entertainment Software (0.27%) Capcom Co Ltd (b) 218,200 4,122,439 -------------------- E-Services - Consulting (0.39%) Ementor ASA (a) 869,300 5,934,406 -------------------- Feminine Health Care Products (0.34%) Hengan International Group Co Ltd (b) 1,910,000 5,210,725 -------------------- Filtration & Separation Products (0.40%) Alfa Laval AB 131,100 6,149,483 -------------------- Finance - Investment Banker & Broker (1.07%) Macquarie Bank Ltd 147,501 9,276,728 UBS AG 112,653 7,047,323 -------------------- 16,324,051 -------------------- Finance - Leasing Company (1.03%) Banca Italease SpA 108,493 7,536,887 ORIX Corp 28,400 8,142,526 -------------------- 15,679,413 -------------------- Finance - Other Services (1.36%) Deutsche Boerse AG 52,823 11,111,935 Man Group Plc 906,737 9,526,457 -------------------- 20,638,392 -------------------- Fisheries (0.32%) Nippon Suisan Kaisha Ltd 831,400 4,891,399 -------------------- Food - Dairy Products (0.55%) Meiji Dairies Corp 522,000 3,992,426 Yakult Honsha Co Ltd 155,100 4,433,999 -------------------- 8,426,425 -------------------- Food - Miscellaneous/Diversified (2.17%) Groupe Danone 75,193 11,583,985 Nestle SA 42,504 15,593,173 Orkla ASA 97,280 5,830,331 -------------------- 33,007,489 -------------------- Food - Retail (2.00%) Colruyt SA 27,350 5,828,250 Metro Inc 160,800 5,166,424 Tesco PLC 462,542 3,798,628 WM Morrison Supermarkets PLC 1,076,040 5,972,363 Woolworths Ltd 525,542 9,692,582 -------------------- 30,458,247 -------------------- Food - Wholesale & Distribution (0.69%) Kesko OYJ 104,782 5,585,642 Sligro Food Group NV 72,470 4,949,401 -------------------- 10,535,043 -------------------- Footwear & Related Apparel (0.35%) Geox SpA 328,721 5,282,672 -------------------- Gas - Distribution (0.62%) Centrica PLC 1,286,912 9,380,415 -------------------- Gold Mining (0.34%) Inmet Mining Corp 99,300 5,137,982 -------------------- Human Resources (0.39%) Michael Page International Plc 638,575 5,990,797 -------------------- Internet Content - Information & News (0.31%) Seek Ltd (b) 953,269 4,648,829 -------------------- Lottery Services (0.33%) Intralot SA-Integrated Lottery Systems 148,402 4,994,121 -------------------- Machinery - Construction & Mining (1.06%) Hitachi Construction Machinery Co Ltd 202,900 5,699,627 Komatsu Ltd 493,200 10,421,445 -------------------- 16,121,072 -------------------- Machinery - General Industry (0.88%) MAN AG 59,677 6,269,099 Machinery - General Industry MMI Holding Ltd 8,181,000 7,138,465 -------------------- 13,407,564 -------------------- Machinery Tools & Related Products (0.28%) Mori Seiki Co Ltd 195,700 4,281,140 -------------------- Medical - Drugs (8.55%) Actelion Ltd (a) 25,211 6,132,214 AstraZeneca PLC 361,436 20,167,359 Eisai Co Ltd 131,400 6,739,857 GlaxoSmithKline PLC 745,960 20,005,411 Novartis AG 431,601 24,830,983 Novo-Nordisk A/S 92,250 7,949,806 Roche Holding AG 113,047 21,243,182 Sanofi-Aventis 110,552 9,718,778 Takeda Pharmaceutical Co Ltd 201,900 13,166,664 -------------------- 129,954,254 -------------------- Medical - Wholesale Drug Distribution (0.34%) OPG Groep NV 44,016 5,174,641 -------------------- Medical Products (0.36%) Phonak Holding AG 70,629 5,466,201 -------------------- Metal - Diversified (0.79%) Rio Tinto Ltd (b) 47,055 2,799,000 Rio Tinto PLC 81,747 4,360,547 Zinifex Ltd 377,501 4,807,623 -------------------- 11,967,170 -------------------- Metal Processors & Fabrication (0.51%) NSK Ltd 417,000 3,818,238 Tocalo Co Ltd 126,700 3,905,569 -------------------- 7,723,807 -------------------- Multi-Line Insurance (1.32%) Allianz SE 34,485 6,877,224 Grupo Catalana Occidente SA 145,980 5,745,971 Zurich Financial Services AG 27,628 7,431,002 -------------------- 20,054,197 -------------------- Multimedia (0.69%) Sanoma-WSOY Oyj (b) 165,784 4,809,843 Vivendi 136,472 5,617,185 -------------------- 10,427,028 -------------------- Networking Products (0.34%) NTT Data Corp 1,019 5,209,836 -------------------- Non-Ferrous Metals (0.28%) Korea Zinc Co Ltd 47,420 4,205,597 -------------------- Office Automation & Equipment (0.94%) Canon Inc 272,230 14,324,333 -------------------- Oil - Field Services (0.81%) Fugro NV 146,244 6,945,756 Petroleum Geo-Services ASA (a) 226,650 5,293,736 -------------------- 12,239,492 -------------------- Oil Company - Exploration & Production (0.83%) EnCana (a) 195,600 9,382,750 Oil Company - Exploration & Production Oilexco Inc (a) 467,700 3,278,828 -------------------- 12,661,578 -------------------- Oil Company - Integrated (4.84%) BG Group PLC 298,990 3,926,968 BP PLC 507,174 5,326,034 ENI SpA 440,462 14,179,748 Husky Energy Inc (b) 82,500 5,290,852 Imperial Oil Ltd (a) 184,600 6,511,511 Royal Dutch Shell PLC - A Shares 307,328 10,349,330 Royal Dutch Shell PLC - B Shares 305,814 10,250,279 Total SA 263,276 17,774,776 -------------------- 73,609,498 -------------------- Oil Refining & Marketing (0.19%) Caltex Australia Ltd 166,160 2,806,430 -------------------- Photo Equipment & Supplies (0.43%) Olympus Corp 203,000 6,493,039 -------------------- Property & Casualty Insurance (2.02%) Admiral Group PLC 235,272 4,717,181 Amlin PLC 919,993 5,512,945 FBD Holdings Plc 70,131 3,619,664 Promina Group Ltd 1,228,758 6,917,876 QBE Insurance Group Ltd 416,313 9,957,244 -------------------- 30,724,910 -------------------- Publishing - Periodicals (0.32%) United Business Media PLC 349,139 4,829,146 -------------------- Real Estate Magagement & Services (1.86%) Ardepro Co Ltd (b) 12,637 4,277,606 IMMOFINANZ AG (a) 494,940 7,515,218 Mitsubishi Estate Co Ltd 372,000 10,634,736 Nexity 69,555 5,820,047 -------------------- 28,247,607 -------------------- Real Estate Operator & Developer (1.48%) Joint Corp (b) 129,100 4,728,389 Sumitomo Realty & Development Co Ltd 198,000 6,874,544 UOL Group Ltd 1,782,000 5,917,953 Urban Corp 314,100 5,023,310 -------------------- 22,544,196 -------------------- Recreational Vehicles (0.28%) Yamaha Motor Co Ltd 135,200 4,189,990 -------------------- Recycling (0.24%) Asahi Pretec Corp 164,250 3,565,918 -------------------- REITS - Diversified (0.42%) British Land Co PLC 205,863 6,346,007 -------------------- Retail - Apparel & Shoe (0.64%) Inditex SA 170,753 9,674,334 KappAhl Holding AB 6,941 82,394 -------------------- 9,756,728 -------------------- Retail - Discount (0.08%) Canadian Tire Corp Ltd (b) 21,350 1,238,402 -------------------- Retail - Jewelry (0.43%) Swatch Group AG 27,571 6,545,521 -------------------- Retail - Major Department Store (0.65%) Marks & Spencer Group PLC 747,642 9,929,781 -------------------- Retail - Pubs (0.44%) Punch Taverns PLC 296,825 6,689,030 -------------------- Retail - Video Rental (0.29%) Geo Corp (b) 2,136 4,371,826 -------------------- Seismic Data Collection (0.34%) Compagnie Generale de Geophysique SA (a)(b) 25,773 5,115,970 -------------------- Semiconductor Equipment (0.52%) ASML Holding NV (a) 313,170 7,910,374 -------------------- Soap & Cleaning Products (0.69%) Reckitt Benckiser PLC 217,264 10,453,840 -------------------- Steel - Producers (2.25%) Arcelor Mittal (b) 271,039 12,604,329 IPSCO (a) 48,300 4,883,356 Nippon Steel Corp 1,583,000 9,339,543 Salzgitter AG 58,257 7,425,917 -------------------- 34,253,145 -------------------- Telecommunication Equipment (0.78%) Tandberg ASA 381,000 6,349,745 Vtech Holdings Ltd 900,000 5,550,397 -------------------- 11,900,142 -------------------- Telecommunication Services (0.63%) Telenor ASA 474,000 9,608,750 -------------------- Telephone - Integrated (2.08%) Belgacom SA (b) 115,944 5,249,781 BT Group PLC 2,020,679 12,148,371 Elisa OYJ 193,952 5,707,965 Telefonica SA 392,030 8,558,491 -------------------- 31,664,608 -------------------- Television (0.39%) Modern Times Group - B Shares 94,800 5,994,950 -------------------- Tobacco (0.35%) KT&G Corp 88,422 5,381,392 -------------------- Tools - Hand Held (0.48%) Makita Corp 208,900 7,218,371 -------------------- Toys (0.61%) Nintendo Co Ltd 31,300 9,233,344 -------------------- Transport - Marine (0.49%) Mitsui OSK Lines Ltd 715,000 7,441,498 -------------------- Transport - Rail (0.60%) Canadian National Railway (a) 200,700 9,149,860 -------------------- Wireless Equipment (0.58%) Nokia OYJ 235,685 5,157,577 Telefonaktiebolaget LM Ericsson 917,000 3,628,444 -------------------- 8,786,021 -------------------- TOTAL COMMON STOCKS $ 1,490,987,829 -------------------- PREFERRED STOCKS (0.48%) Auto - Car & Light Trucks (0.48%) Porsche AG (b) 5,734 7,237,657 -------------------- TOTAL PREFERRED STOCKS $ 7,237,657 -------------------- Principal Amount Value -------------------- -------- -------------------- SHORT TERM INVESTMENTS (1.25%) Commercial Paper (1.25%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 18,935,294 18,935,294 -------------------- TOTAL SHORT TERM INVESTMENTS $ 18,935,294 -------------------- MONEY MARKET FUNDS (5.78%) Money Center Banks (5.78%) BNY Institutional Cash Reserve Fund (c) 87,911,000 87,911,000 -------------------- TOTAL MONEY MARKET FUNDS $ 87,911,000 -------------------- Total Investments $ 1,605,071,780 Liabilities in Excess of Other Assets, Net - (5.60)% (85,137,093) -------------------- TOTAL NET ASSETS - 100.00% $ 1,519,934,687 ==================== -------------------- ====================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 216,673,791 Unrealized Depreciation (12,087,984) -------------------- Net Unrealized Appreciation (Depreciation) 204,585,807 Cost for federal income tax purposes 1,400,485,973 Portfolio Summary (unaudited) ---------------------------------------------------------- -------------------- Country Percent ---------------------------------------------------------- -------------------- Japan 20.18% United Kingdom 16.97% Germany 7.70% Switzerland 7.55% France 7.35% United States 7.03% Australia 5.55% Canada 5.31% Netherlands 4.28% Italy 3.53% Spain 3.05% Norway 2.82% Belgium 2.17% Korea, Republic Of 1.99% Ireland 1.98% Sweden 1.79% Hong Kong 1.52% Finland 1.40% Austria 1.02% Singapore 0.86% Denmark 0.84% Greece 0.71% Liabilities in Excess of Other Assets, Net (-5.60%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) LargeCap Growth Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (95.03%) Advertising Sales (1.50%) Lamar Advertising Co (a)(b) 804,300 $ 53,309,004 -------------------- Agricultural Chemicals (1.26%) Potash Corp of Saskatchewan 285,600 44,562,168 -------------------- Airlines (2.26%) UAL Corp (a)(b) 1,854,400 80,110,080 -------------------- Apparel Manufacturers (2.12%) Guess ? Inc (a) 421,400 30,387,154 Polo Ralph Lauren Corp 547,000 44,881,350 -------------------- 75,268,504 -------------------- Applications Software (2.50%) Microsoft Corp 2,875,300 88,731,758 -------------------- Beverages - Non-Alcoholic (5.21%) Coca-Cola Co/The 1,979,103 94,759,452 PepsiCo Inc 1,381,200 90,109,488 -------------------- 184,868,940 -------------------- Cable TV (1.22%) Comcast Corp (a)(b) 976,100 43,260,752 -------------------- Casino Hotels (1.92%) Las Vegas Sands Corp (a)(b) 653,600 68,020,152 -------------------- Casino Services (1.37%) International Game Technology (a) 1,116,677 48,530,782 -------------------- Commercial Services (2.69%) Alliance Data Systems Corp (a)(b) 1,404,800 95,428,064 -------------------- Computer Services (0.64%) Cognizant Technology Solutions Corp (b) 268,399 22,891,751 -------------------- Computers (9.43%) Apple Inc (b) 1,332,607 114,244,398 Hewlett-Packard Co 2,586,300 111,935,064 International Business Machines Corp 719,500 71,338,425 Research In Motion Ltd (a)(b) 292,200 37,337,316 -------------------- 334,855,203 -------------------- Computers - Memory Devices (1.06%) Network Appliance Inc (b) 1,000,100 37,603,760 -------------------- Cosmetics & Toiletries (1.87%) Procter & Gamble Co 1,025,700 66,537,159 -------------------- Diversified Manufacturing Operations (2.26%) Danaher Corp 468,200 34,674,892 Diversified Manufacturing Operations Textron Inc 490,200 45,671,934 -------------------- 80,346,826 -------------------- E-Commerce - Services (1.00%) eBay Inc (b) 1,100,000 35,629,000 -------------------- Electric Products - Miscellaneous (1.34%) Emerson Electric Co 1,057,500 47,555,775 -------------------- Electronic Components - Semiconductors (0.12%) Samsung Electronics (b) 14,307 4,399,232 -------------------- Fiduciary Banks (2.14%) State Street Corp 1,070,700 76,073,235 -------------------- Finance - Investment Banker & Broker (7.17%) Goldman Sachs Group Inc 592,100 125,619,936 Morgan Stanley 1,559,300 129,094,447 -------------------- 254,714,383 -------------------- Food - Confectionery (0.91%) WM Wrigley Jr Co 624,200 32,158,784 -------------------- Food - Miscellaneous/Diversified (0.92%) ConAgra Foods Inc 1,273,400 32,739,114 -------------------- Food - Retail (1.00%) Safeway Inc 981,400 35,359,842 -------------------- Home Decoration Products (1.43%) Newell Rubbermaid Inc 1,718,800 50,773,352 -------------------- Hotels & Motels (1.01%) Marriott International Inc 745,000 35,864,300 -------------------- Instruments - Scientific (1.00%) Thermo Fisher Scientific Inc (b) 743,000 35,552,550 -------------------- Medical - Biomedical/Gene (3.48%) Celgene Corp (a)(b) 906,400 48,655,552 Genentech Inc (a)(b) 856,200 74,806,194 -------------------- 123,461,746 -------------------- Medical - Drugs (3.18%) Abbott Laboratories 668,000 35,404,000 Schering-Plough Corp 1,423,800 35,595,000 Shire PLC ADR (a) 660,004 41,897,054 -------------------- 112,896,054 -------------------- Medical - Wholesale Drug Distribution (1.00%) Cardinal Health Inc 497,000 35,495,740 -------------------- Medical Instruments (2.19%) Intuitive Surgical Inc (a)(b) 428,000 42,119,480 St Jude Medical Inc (b) 837,000 35,790,120 -------------------- 77,909,600 -------------------- Medical Products (1.97%) Baxter International Inc 1,407,500 69,896,450 -------------------- Multimedia (0.95%) Gemstar-TV Guide International Inc (b) 672 2,715 Time Warner Inc 1,544,200 33,771,654 -------------------- 33,774,369 -------------------- Networking Products (3.15%) Cisco Systems Inc (b) 4,201,700 111,723,203 -------------------- Oil Company - Exploration & Production (3.46%) Apache Corp 757,700 55,289,369 Devon Energy Corp 965,700 67,685,913 -------------------- 122,975,282 -------------------- Pharmacy Services (1.90%) Caremark Rx Inc 1,101,200 67,459,512 -------------------- Retail - Drug Store (2.80%) CVS Corp 2,951,900 99,331,435 -------------------- Retail - Major Department Store (1.53%) Saks Inc 2,899,300 54,390,868 -------------------- Retail - Regional Department Store (1.97%) Kohl's Corp (a)(b) 988,900 70,122,899 -------------------- Retail - Restaurants (2.10%) McDonald's Corp 1,681,500 74,574,525 -------------------- Steel - Specialty (1.70%) Allegheny Technologies Inc 582,726 60,306,314 -------------------- Therapeutics (2.67%) Gilead Sciences Inc (b) 1,476,200 94,949,184 -------------------- Web Portals (4.10%) Google Inc (b) 290,290 145,522,377 -------------------- Wireless Equipment (1.53%) Qualcomm Inc 1,442,900 54,339,614 -------------------- TOTAL COMMON STOCKS $ 3,374,273,642 -------------------- Principal Amount Value ----------------------- -------- -------------------- SHORT TERM INVESTMENTS (3.53%) Commercial Paper (3.53%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 125,211,931 125,211,931 -------------------- TOTAL SHORT TERM INVESTMENTS $ 125,211,931 -------------------- MONEY MARKET FUNDS (2.91%) Money Center Banks (2.91%) BNY Institutional Cash Reserve Fund (c) 103,504,000 103,504,000 -------------------- TOTAL MONEY MARKET FUNDS $ 103,504,000 -------------------- Total Investments $ 3,602,989,573 Liabilities in Excess of Other Assets, Net - (1.47)% (52,185,609) -------------------- TOTAL NET ASSETS - 100.00% $ 3,550,803,964 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 288,978,193 Unrealized Depreciation (27,417,364) -------------------- Net Unrealized Appreciation (Depreciation) 261,560,829 Cost for federal income tax purposes 3,341,428,744 Portfolio Summary (unaudited) ------------------------------------------------------- -------------------- Sector Percent ------------------------------------------------------- -------------------- Consumer, Non-cyclical 28.99% Consumer, Cyclical 18.50% Technology 13.76% Communications 13.45% Financial 12.23% Industrial 4.60% Mortgage Securities 3.53% Energy 3.46% Basic Materials 2.95% Liabilities in Excess of Other Assets, Net (-1.47%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) LargeCap S&P 500 Index Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (97.61%) Advertising Agencies (0.18%) Interpublic Group of Cos Inc (a)(b) 33,414 $ 439,728 Omnicom Group Inc (a) 12,943 1,361,604 -------------------- 1,801,332 -------------------- Aerospace & Defense (1.48%) Boeing Co 59,888 5,363,569 General Dynamics Corp 30,646 2,394,985 Lockheed Martin Corp 26,968 2,621,020 Northrop Grumman Corp 26,160 1,855,790 Raytheon Co 33,675 1,747,733 Rockwell Collins Inc 12,663 863,743 -------------------- 14,846,840 -------------------- Aerospace & Defense Equipment (0.56%) Goodrich Corp 9,449 463,190 United Technologies Corp 76,013 5,170,404 -------------------- 5,633,594 -------------------- Agricultural Chemicals (0.23%) Monsanto Co 41,148 2,266,843 -------------------- Agricultural Operations (0.16%) Archer-Daniels-Midland Co 49,778 1,592,896 -------------------- Airlines (0.09%) Southwest Airlines Co 59,971 905,562 -------------------- Apparel Manufacturers (0.24%) Coach Inc (b) 27,831 1,276,330 Jones Apparel Group Inc 8,350 285,236 Liz Claiborne Inc (a) 7,762 344,633 VF Corp 6,772 513,791 -------------------- 2,419,990 -------------------- Appliances (0.05%) Whirlpool Corp (a) 5,936 542,729 -------------------- Applications Software (2.16%) Citrix Systems Inc (b) 13,677 433,151 Compuware Corp (b) 26,677 239,293 Intuit Inc (b) 26,406 830,469 Microsoft Corp 655,182 20,218,916 -------------------- 21,721,829 -------------------- Athletic Footwear (0.14%) Nike Inc 14,241 1,407,153 -------------------- Audio & Video Products (0.05%) Harman International Industries Inc 4,943 467,460 -------------------- Auto - Car & Light Trucks (0.26%) Ford Motor Co (a) 143,058 1,163,062 General Motors Corp (a) 42,837 1,406,767 -------------------- 2,569,829 -------------------- Auto - Medium & Heavy Duty Trucks (0.13%) Paccar Inc 18,806 1,257,557 -------------------- Auto/Truck Parts & Equipment - Original (0.14%) Johnson Controls Inc 14,828 1,370,997 -------------------- Beverages - Non-Alcoholic (1.62%) Coca-Cola Co/The 154,435 7,394,348 Coca-Cola Enterprises Inc (a) 20,991 430,735 Pepsi Bottling Group Inc (a) 10,367 327,908 PepsiCo Inc 124,366 8,113,638 -------------------- 16,266,629 -------------------- Beverages - Wine & Spirits (0.08%) Brown-Forman Corp 5,966 391,310 Constellation Brands Inc (a)(b) 15,911 393,638 -------------------- 784,948 -------------------- Brewery (0.32%) Anheuser-Busch Cos Inc 58,228 2,967,881 Molson Coors Brewing Co (a) 3,463 279,811 -------------------- 3,247,692 -------------------- Broadcasting Services & Programming (0.14%) Clear Channel Communications Inc 37,398 1,358,295 -------------------- Building - Residential & Commercial (0.25%) Centex Corp (a) 8,989 482,619 DR Horton Inc (a) 20,901 607,383 KB Home 5,948 322,501 Lennar Corp 10,441 567,782 Pulte Homes Inc (a) 16,003 549,543 -------------------- 2,529,828 -------------------- Building Products - Air & Heating (0.06%) American Standard Cos Inc 13,138 648,886 -------------------- Building Products - Wood (0.10%) Masco Corp (a) 29,855 955,061 -------------------- Cable TV (0.84%) Comcast Corp (a)(b) 157,619 6,985,674 DIRECTV Group Inc/The (a)(b) 58,382 1,423,937 -------------------- 8,409,611 -------------------- Casino Hotels (0.12%) Harrah's Entertainment Inc 14,089 1,190,239 -------------------- Casino Services (0.11%) International Game Technology 25,706 1,117,183 -------------------- Cellular Telecommunications (0.17%) Alltel Corp 28,298 1,734,384 -------------------- Chemicals - Diversified (0.78%) Dow Chemical Co/The 72,343 3,005,128 EI Du Pont de Nemours & Co 69,663 3,452,498 PPG Industries Inc 12,516 829,686 Rohm & Haas Co (a) 10,753 559,801 -------------------- 7,847,113 -------------------- Chemicals - Specialty (0.21%) Ashland Inc 4,330 301,151 Eastman Chemical Co 6,232 364,946 Ecolab Inc 13,505 592,869 Hercules Inc (b) 8,601 168,666 International Flavors & Fragrances Inc 5,910 286,517 Sigma-Aldrich Corp (a) 9,988 379,045 -------------------- 2,093,194 -------------------- Coal (0.13%) Consol Energy Inc 13,831 476,201 Peabody Energy Corp 19,980 815,784 -------------------- 1,291,985 -------------------- Coatings & Paint (0.06%) Sherwin-Williams Co/The 8,475 585,623 -------------------- Commercial Banks (0.83%) BB&T Corp 40,969 1,731,350 Commerce Bancorp Inc/NJ (a) 14,203 479,777 Compass Bancshares Inc (a) 9,833 598,830 First Horizon National Corp (a) 9,427 411,017 M&T Bank Corp (a) 5,867 711,726 Marshall & Ilsley Corp 19,321 909,246 Regions Financial Corp 55,218 2,002,205 Synovus Financial Corp 24,613 785,893 Zions Bancorporation 8,098 686,872 -------------------- 8,316,916 -------------------- Commercial Services (0.03%) Convergys Corp (b) 10,436 271,753 -------------------- Commercial Services - Finance (0.36%) Equifax Inc (a) 9,477 393,580 H&R Block Inc (a) 24,410 600,486 Moody's Corp 17,801 1,273,839 Western Union Co/The 58,049 1,296,815 -------------------- 3,564,720 -------------------- Computer Aided Design (0.08%) Autodesk Inc (b) 17,548 767,199 -------------------- Computer Services (0.33%) Affiliated Computer Services Inc (a)(b) 8,980 439,930 Cognizant Technology Solutions Corp (b) 10,739 915,929 Computer Sciences Corp (b) 13,006 682,295 Electronic Data Systems Corp (a) 39,173 1,030,642 Unisys Corp (a)(b) 26,097 224,956 -------------------- 3,293,752 -------------------- Computers (3.16%) Apple Inc (b) 64,415 5,522,298 Dell Inc (b) 172,044 4,172,067 Hewlett-Packard Co 207,439 8,977,960 International Business Machines Corp 114,086 11,311,627 Sun Microsystems Inc (a)(b) 266,559 1,769,952 -------------------- 31,753,904 -------------------- Computers - Integrated Systems (0.06%) NCR Corp (b) 13,496 639,575 -------------------- Computers - Memory Devices (0.41%) EMC Corp/Massachusetts (b) 166,802 2,333,560 Computers - Memory Devices Network Appliance Inc (a)(b) 28,313 1,064,569 SanDisk Corp (a)(b) 17,044 685,169 -------------------- 4,083,298 -------------------- Computers - Peripheral Equipment (0.05%) Lexmark International Inc (a)(b) 7,417 467,494 -------------------- Consumer Products - Miscellaneous (0.41%) Clorox Co 11,498 752,199 Fortune Brands Inc 11,465 959,850 Kimberly-Clark Corp 34,711 2,408,943 -------------------- 4,120,992 -------------------- Containers - Metal & Glass (0.04%) Ball Corp (a) 7,891 365,511 -------------------- Containers - Paper & Plastic (0.10%) Bemis Co 7,940 269,246 Pactiv Corp (a)(b) 10,078 326,930 Sealed Air Corp (a) 6,106 402,385 -------------------- 998,561 -------------------- Cosmetics & Toiletries (1.98%) Avon Products Inc 33,669 1,157,877 Colgate-Palmolive Co 38,953 2,660,490 Estee Lauder Cos Inc/The (a) 9,645 458,138 Procter & Gamble Co 239,990 15,568,151 -------------------- 19,844,656 -------------------- Cruise Lines (0.17%) Carnival Corp 33,702 1,737,675 -------------------- Data Processing & Management (0.56%) Automatic Data Processing Inc 41,701 1,989,972 Fidelity National Information Services 12,260 521,295 First Data Corp 57,999 1,441,855 Fiserv Inc (b) 13,116 689,508 Paychex Inc 25,643 1,025,977 -------------------- 5,668,607 -------------------- Dental Supplies & Equipment (0.04%) Patterson Cos Inc (a)(b) 10,524 395,808 -------------------- Disposable Medical Products (0.06%) CR Bard Inc 7,800 643,656 -------------------- Distribution & Wholesale (0.10%) Genuine Parts Co (a) 12,906 613,293 WW Grainger Inc (a) 5,539 430,103 -------------------- 1,043,396 -------------------- Diversified Manufacturing Operations (4.87%) 3M Co 55,770 4,143,711 Cooper Industries Ltd 6,885 629,220 Danaher Corp 17,950 1,329,377 Dover Corp (a) 15,463 766,965 Eaton Corp 11,285 884,180 General Electric Co (c) 780,700 28,144,235 Honeywell International Inc 61,840 2,825,470 Illinois Tool Works Inc (a) 31,771 1,620,003 Ingersoll-Rand Co Ltd 23,221 995,716 ITT Corp 13,988 834,384 Diversified Manufacturing Operations Leggett & Platt Inc (a) 13,556 328,597 Parker Hannifin Corp 8,931 739,130 Textron Inc 9,501 885,208 Tyco International Ltd 150,629 4,802,053 -------------------- 48,928,249 -------------------- Drug Delivery Systems (0.04%) Hospira Inc (a)(b) 11,801 434,041 -------------------- E-Commerce - Products (0.09%) Amazon.Com Inc (a)(b) 23,398 881,403 -------------------- E-Commerce - Services (0.35%) eBay Inc (b) 87,635 2,838,498 IAC/InterActiveCorp (a)(b) 16,904 649,113 -------------------- 3,487,611 -------------------- Electric - Generation (0.10%) AES Corp/The (b) 50,303 1,045,799 -------------------- Electric - Integrated (2.85%) Allegheny Energy Inc (b) 12,516 582,244 Ameren Corp (a) 15,622 829,684 American Electric Power Co Inc 29,959 1,304,115 Centerpoint Energy Inc (a) 23,693 408,941 CMS Energy Corp 16,846 281,160 Consolidated Edison Inc (a) 19,449 938,998 Constellation Energy Group Inc 13,633 989,074 Dominion Resources Inc/VA 26,789 2,222,416 DTE Energy Co (a) 13,478 624,975 Duke Energy Corp 95,104 1,872,598 Edison International 24,676 1,109,927 Entergy Corp 15,667 1,454,681 Exelon Corp 50,816 3,048,452 FirstEnergy Corp 24,176 1,434,362 FPL Group Inc (a) 30,616 1,734,396 PG&E Corp 26,418 1,233,192 Pinnacle West Capital Corp 7,562 368,950 PPL Corp 28,898 1,028,769 Progress Energy Inc 19,252 915,240 Public Service Enterprise Group Inc 19,101 1,280,340 Southern Co 56,253 2,054,922 TECO Energy Inc (a) 15,844 268,714 TXU Corp 34,781 1,880,957 Xcel Energy Inc (a) 30,816 718,937 -------------------- 28,586,044 -------------------- Electric Products - Miscellaneous (0.30%) Emerson Electric Co 60,769 2,732,782 Molex Inc 10,737 315,560 -------------------- 3,048,342 -------------------- Electronic Components - Miscellaneous (0.07%) Jabil Circuit Inc 13,988 335,572 Sanmina-SCI Corp (b) 40,355 141,242 Solectron Corp (a)(b) 69,266 225,115 -------------------- 701,929 -------------------- Electronic Components - Semiconductors (1.82%) Advanced Micro Devices Inc (a)(b) 41,550 646,103 Altera Corp (b) 27,405 549,470 Electronic Components - Semiconductors Broadcom Corp (b) 35,517 1,133,703 Intel Corp 436,697 9,153,169 LSI Logic Corp (a)(b) 30,341 285,205 Micron Technology Inc (a)(b) 57,136 739,911 National Semiconductor Corp (a) 21,855 505,506 Nvidia Corp (a)(b) 26,928 825,343 PMC - Sierra Inc (a)(b) 15,891 100,113 QLogic Corp (b) 11,939 218,484 Texas Instruments Inc 112,384 3,505,257 Xilinx Inc 25,465 618,800 -------------------- 18,281,064 -------------------- Electronic Forms (0.17%) Adobe Systems Inc (b) 44,180 1,717,277 -------------------- Electronic Measurement Instruments (0.12%) Agilent Technologies Inc (b) 30,952 990,464 Tektronix Inc 6,247 176,603 -------------------- 1,167,067 -------------------- Electronics - Military (0.08%) L-3 Communications Holdings Inc 9,462 779,101 -------------------- Engineering - Research & Development Services (0.05%) Fluor Corp (a) 6,668 550,777 -------------------- Engines - Internal Combustion (0.05%) Cummins Inc 3,973 534,607 -------------------- Enterprise Software & Services (0.67%) BMC Software Inc (a)(b) 15,533 534,180 CA Inc (a) 31,105 763,628 Novell Inc (a)(b) 25,676 186,151 Oracle Corp (b) 302,985 5,199,222 -------------------- 6,683,181 -------------------- Entertainment Software (0.12%) Electronic Arts Inc (b) 23,364 1,168,200 -------------------- Fiduciary Banks (0.63%) Bank of New York Co Inc/The 57,878 2,315,699 Mellon Financial Corp 31,193 1,333,189 Northern Trust Corp 14,198 862,528 State Street Corp 25,150 1,786,908 -------------------- 6,298,324 -------------------- Filtration & Separation Products (0.03%) Pall Corp 9,271 322,260 -------------------- Finance - Commercial (0.09%) CIT Group Inc 15,018 885,461 -------------------- Finance - Consumer Loans (0.14%) SLM Corp 30,958 1,422,830 -------------------- Finance - Credit Card (0.53%) American Express Co 91,245 5,312,284 -------------------- Finance - Investment Banker & Broker (6.04%) Bear Stearns Cos Inc/The 8,885 1,464,692 Finance - Investment Banker & Broker Charles Schwab Corp/The 77,468 1,465,695 Citigroup Inc 372,144 20,516,299 E*Trade Financial Corp (b) 32,336 788,352 Goldman Sachs Group Inc 32,251 6,842,372 JPMorgan Chase & Co 262,727 13,380,686 Lehman Brothers Holdings Inc 40,145 3,301,525 Merrill Lynch & Co Inc 66,949 6,263,748 Morgan Stanley 80,172 6,637,440 -------------------- 60,660,809 -------------------- Finance - Mortgage Loan/Banker (0.96%) Countrywide Financial Corp (a) 47,038 2,045,212 Fannie Mae 73,847 4,174,571 Freddie Mac 52,485 3,407,851 -------------------- 9,627,634 -------------------- Finance - Other Services (0.15%) Chicago Mercantile Exchange Holdings Inc (a) 2,637 1,485,422 -------------------- Financial Guarantee Insurance (0.18%) AMBAC Financial Group Inc 8,035 707,883 MBIA Inc (a) 10,210 733,384 MGIC Investment Corp 6,287 388,034 -------------------- 1,829,301 -------------------- Food - Confectionery (0.15%) Hershey Co/The 13,169 672,146 WM Wrigley Jr Co (a) 16,625 856,520 -------------------- 1,528,666 -------------------- Food - Dairy Products (0.04%) Dean Foods Co (b) 10,130 448,253 -------------------- Food - Meat Products (0.03%) Tyson Foods Inc (a) 19,083 338,723 -------------------- Food - Miscellaneous/Diversified (0.66%) Campbell Soup Co (a) 16,495 634,728 ConAgra Foods Inc 38,591 992,175 General Mills Inc 25,983 1,487,267 HJ Heinz Co (a) 24,954 1,175,832 Kellogg Co 19,006 936,426 McCormick & Co Inc/MD 9,953 388,565 Sara Lee Corp 56,562 970,038 -------------------- 6,585,031 -------------------- Food - Retail (0.31%) Kroger Co/The 54,335 1,390,976 Safeway Inc 33,574 1,209,671 Whole Foods Market Inc (a) 10,825 467,532 -------------------- 3,068,179 -------------------- Food - Wholesale & Distribution (0.22%) Supervalu Inc (a) 15,592 592,184 Sysco Corp (a) 46,815 1,617,458 -------------------- 2,209,642 -------------------- Forestry (0.19%) Plum Creek Timber Co Inc (a) 13,408 539,672 Weyerhaeuser Co 17,914 1,343,550 -------------------- 1,883,222 -------------------- Gas - Distribution (0.24%) KeySpan Corp 13,275 541,620 Nicor Inc (a) 3,386 154,063 NiSource Inc 20,676 492,089 Peoples Energy Corp (a) 2,914 126,905 Sempra Energy 19,856 1,139,337 -------------------- 2,454,014 -------------------- Gold Mining (0.15%) Newmont Mining Corp (a) 34,098 1,537,820 -------------------- Health Care Cost Containment (0.12%) McKesson Corp 22,416 1,249,692 -------------------- Home Decoration Products (0.06%) Newell Rubbermaid Inc 20,994 620,163 -------------------- Hotels & Motels (0.37%) Hilton Hotels Corp (a) 29,281 1,036,255 Marriott International Inc 25,454 1,225,356 Starwood Hotels & Resorts Worldwide Inc 16,056 1,004,784 Wyndham Worldwide Corp (a)(b) 15,006 468,187 -------------------- 3,734,582 -------------------- Human Resources (0.10%) Monster Worldwide Inc (b) 9,722 480,364 Robert Half International Inc 12,692 516,564 -------------------- 996,928 -------------------- Independent Power Producer (0.02%) Dynegy Inc (b) 28,969 204,231 -------------------- Industrial Automation & Robots (0.08%) Rockwell Automation Inc (a) 12,888 788,875 -------------------- Industrial Gases (0.28%) Air Products & Chemicals Inc 16,688 1,245,926 Praxair Inc 24,455 1,542,132 -------------------- 2,788,058 -------------------- Instruments - Scientific (0.26%) Applera Corp - Applied Biosystems Group 13,875 482,295 PerkinElmer Inc 9,313 222,301 Thermo Fisher Scientific Inc (b) 30,907 1,478,900 Waters Corp (b) 7,686 435,720 -------------------- 2,619,216 -------------------- Insurance Brokers (0.21%) AON Corp 23,454 841,060 Marsh & McLennan Cos Inc 41,740 1,231,330 -------------------- 2,072,390 -------------------- Internet Security (0.17%) Symantec Corp (a)(b) 71,042 1,258,154 VeriSign Inc (a)(b) 18,566 443,727 -------------------- 1,701,881 -------------------- Investment Management & Advisory Services (0.51%) Ameriprise Financial Inc 18,325 1,080,442 Federated Investors Inc 6,841 241,556 Franklin Resources Inc 12,625 1,503,764 Janus Capital Group Inc (a) 15,010 307,405 Legg Mason Inc 9,953 1,043,572 Investment Management & Advisory Services T Rowe Price Group Inc (a) 19,967 958,216 -------------------- 5,134,955 -------------------- Leisure & Recreation Products (0.02%) Brunswick Corp (a) 6,953 237,167 -------------------- Life & Health Insurance (0.85%) Aflac Inc 37,452 1,783,090 Cigna Corp 7,768 1,028,483 Lincoln National Corp 21,746 1,460,026 Prudential Financial Inc (a) 36,126 3,219,910 Torchmark Corp (a) 7,428 482,746 UnumProvident Corp 25,943 570,746 -------------------- 8,545,001 -------------------- Linen Supply & Related Items (0.04%) Cintas Corp 10,336 425,326 -------------------- Machinery - Construction & Mining (0.36%) Caterpillar Inc 49,269 3,156,665 Terex Corp (a)(b) 7,689 437,427 -------------------- 3,594,092 -------------------- Machinery - Farm (0.17%) Deere & Co 17,510 1,755,903 -------------------- Medical - Biomedical/Gene (1.11%) Amgen Inc (b) 88,348 6,217,049 Biogen Idec Inc (a)(b) 25,533 1,234,265 Celgene Corp (a)(b) 28,207 1,514,152 Genzyme Corp (b) 19,908 1,308,553 Medimmune Inc (a)(b) 18,117 627,935 Millipore Corp (a)(b) 4,045 277,001 -------------------- 11,178,955 -------------------- Medical - Drugs (4.69%) Abbott Laboratories 116,245 6,160,985 Allergan Inc 11,645 1,359,088 Bristol-Myers Squibb Co (a) 148,953 4,288,357 Eli Lilly & Co 74,561 4,035,241 Forest Laboratories Inc (b) 23,988 1,345,967 King Pharmaceuticals Inc (a)(b) 18,413 328,856 Merck & Co Inc 164,424 7,357,974 Pfizer Inc 546,094 14,329,507 Schering-Plough Corp 112,285 2,807,125 Wyeth 101,994 5,039,523 -------------------- 47,052,623 -------------------- Medical - Generic Drugs (0.10%) Barr Pharmaceuticals Inc (b) 8,057 431,211 Mylan Laboratories Inc (a) 16,049 355,325 Watson Pharmaceuticals Inc (b) 7,761 211,254 -------------------- 997,790 -------------------- Medical - HMO (1.20%) Aetna Inc 39,534 1,666,754 Coventry Health Care Inc (b) 12,069 622,157 Humana Inc (b) 12,590 698,745 UnitedHealth Group Inc 102,017 5,331,408 WellPoint Inc (b) 46,958 3,680,568 -------------------- 11,999,632 -------------------- Medical - Hospitals (0.06%) Health Management Associates Inc 18,219 354,359 Tenet Healthcare Corp (a)(b) 35,696 252,014 -------------------- 606,373 -------------------- Medical - Nursing Homes (0.03%) Manor Care Inc 5,601 298,197 -------------------- Medical - Wholesale Drug Distribution (0.29%) AmerisourceBergen Corp 14,548 762,024 Cardinal Health Inc 30,674 2,190,737 -------------------- 2,952,761 -------------------- Medical Information Systems (0.04%) IMS Health Inc (a) 15,029 433,737 -------------------- Medical Instruments (0.74%) Boston Scientific Corp (b) 89,306 1,647,696 Medtronic Inc 87,183 4,659,931 St Jude Medical Inc (b) 26,771 1,144,728 -------------------- 7,452,355 -------------------- Medical Laboratory & Testing Service (0.13%) Laboratory Corp of America Holdings (a)(b) 9,497 697,459 Quest Diagnostics Inc (a) 12,114 635,743 -------------------- 1,333,202 -------------------- Medical Products (2.22%) Baxter International Inc 49,566 2,461,448 Becton Dickinson & Co 18,679 1,437,162 Biomet Inc 18,549 785,736 Johnson & Johnson 219,587 14,668,412 Stryker Corp 22,511 1,394,331 Zimmer Holdings Inc (a)(b) 18,074 1,522,192 -------------------- 22,269,281 -------------------- Metal - Aluminum (0.21%) Alcoa Inc 65,671 2,121,173 -------------------- Metal - Copper (0.19%) Phelps Dodge Corp 15,449 1,909,496 -------------------- Metal - Diversified (0.09%) Freeport-McMoRan Copper & Gold Inc (a) 14,915 857,762 -------------------- Motorcycle/Motor Scooter (0.13%) Harley-Davidson Inc 19,626 1,339,867 -------------------- Multi-Line Insurance (2.77%) ACE Ltd 24,656 1,424,624 Allstate Corp/The 47,331 2,847,433 American International Group Inc 196,894 13,477,394 Cincinnati Financial Corp (a) 13,121 587,033 Genworth Financial Inc 33,567 1,171,488 Hartford Financial Services Group Inc 24,004 2,278,220 Loews Corp 34,608 1,504,064 Metlife Inc 57,578 3,576,745 XL Capital Ltd (a) 13,676 943,644 -------------------- 27,810,645 -------------------- Multimedia (2.06%) EW Scripps Co 6,311 308,166 Multimedia McGraw-Hill Cos Inc/The 26,826 1,799,488 Meredith Corp (a) 2,934 172,989 News Corp 177,277 4,121,690 Time Warner Inc (a) 302,367 6,612,766 Viacom Inc (b) 52,960 2,153,883 Walt Disney Co/The 156,658 5,509,662 -------------------- 20,678,644 -------------------- Networking Products (1.30%) Cisco Systems Inc (b) 459,927 12,229,459 Juniper Networks Inc (a)(b) 42,848 776,406 -------------------- 13,005,865 -------------------- Non-Hazardous Waste Disposal (0.18%) Allied Waste Industries Inc (a)(b) 19,231 245,964 Waste Management Inc 40,520 1,538,950 -------------------- 1,784,914 -------------------- Office Automation & Equipment (0.21%) Pitney Bowes Inc (a) 16,804 804,408 Xerox Corp (b) 73,107 1,257,440 -------------------- 2,061,848 -------------------- Office Supplies & Forms (0.05%) Avery Dennison Corp 7,150 488,774 -------------------- Oil - Field Services (1.18%) Baker Hughes Inc 24,292 1,676,877 BJ Services Co 22,202 614,107 Halliburton Co (a) 76,154 2,249,589 Schlumberger Ltd 89,234 5,665,467 Smith International Inc (a) 15,101 599,208 Weatherford International Ltd (a)(b) 25,728 1,038,896 -------------------- 11,844,144 -------------------- Oil & Gas Drilling (0.40%) ENSCO International Inc (a) 11,460 582,970 Nabors Industries Ltd (a)(b) 22,672 686,508 Noble Corp (a) 10,268 769,587 Rowan Cos Inc 8,364 275,092 Transocean Inc (b) 22,145 1,713,359 -------------------- 4,027,516 -------------------- Oil Company - Exploration & Production (1.00%) Anadarko Petroleum Corp 34,820 1,523,375 Apache Corp 24,949 1,820,528 Chesapeake Energy Corp (a) 31,499 932,685 Devon Energy Corp 33,476 2,346,333 EOG Resources Inc 18,440 1,274,757 Murphy Oil Corp (a) 14,167 704,242 XTO Energy Inc (a) 27,714 1,398,726 -------------------- 10,000,646 -------------------- Oil Company - Integrated (5.94%) Chevron Corp 165,104 12,032,780 ConocoPhillips 124,645 8,277,674 Exxon Mobil Corp 441,733 32,732,415 Hess Corp 20,504 1,107,011 Marathon Oil Corp 26,623 2,405,122 Occidental Petroleum Corp 65,250 3,024,990 -------------------- 59,579,992 -------------------- Oil Field Machinery & Equipment (0.08%) National Oilwell Varco Inc (b) 13,292 806,027 -------------------- Oil Refining & Marketing (0.31%) Sunoco Inc 9,324 588,624 Valero Energy Corp 45,792 2,485,590 -------------------- 3,074,214 -------------------- Optical Supplies (0.02%) Bausch & Lomb Inc (a) 4,072 226,729 -------------------- Paper & Related Products (0.20%) International Paper Co 34,458 1,161,235 MeadWestvaco Corp 13,722 413,581 Temple-Inland Inc 8,103 404,664 -------------------- 1,979,480 -------------------- Pharmacy Services (0.40%) Caremark Rx Inc 32,298 1,978,575 Express Scripts Inc (b) 10,258 713,136 Medco Health Solutions Inc (a)(b) 22,223 1,315,824 -------------------- 4,007,535 -------------------- Photo Equipment & Supplies (0.06%) Eastman Kodak Co (a) 21,759 562,688 -------------------- Pipelines (0.47%) El Paso Corp (a) 53,424 829,141 Kinder Morgan Inc 8,123 861,038 Questar Corp 6,503 528,044 Spectra Energy Corp 47,552 1,242,058 Williams Cos Inc 45,165 1,219,003 -------------------- 4,679,284 -------------------- Power Converter & Supply Equipment (0.04%) American Power Conversion Corp 12,803 393,564 -------------------- Printing - Commercial (0.06%) RR Donnelley & Sons Co 16,420 609,182 -------------------- Property & Casualty Insurance (0.61%) Chubb Corp 31,177 1,622,451 Progressive Corp/The 57,688 1,337,785 Safeco Corp (a) 7,972 510,288 St Paul Travelers Cos Inc/The 52,260 2,657,421 -------------------- 6,127,945 -------------------- Publicly Traded Investment Fund (0.26%) iShares S&P 500 Index Fund/US (a) 17,950 2,586,236 -------------------- Publishing - Newspapers (0.19%) Dow Jones & Co Inc 4,928 185,835 Gannett Co Inc (a) 17,746 1,031,753 New York Times Co (a) 10,890 251,450 Tribune Co (a) 14,439 440,967 -------------------- 1,910,005 -------------------- Quarrying (0.07%) Vulcan Materials Co (a) 7,151 728,258 -------------------- Real Estate Magagement & Services (0.10%) CB Richard Ellis Group Inc (b) 13,995 526,352 Real Estate Magagement & Services Realogy Corp (b) 16,236 485,456 -------------------- 1,011,808 -------------------- Regional Banks (5.19%) Bank of America Corp 340,109 17,882,931 Capital One Financial Corp 30,899 2,484,280 Comerica Inc 12,031 713,438 Fifth Third Bancorp (a) 42,266 1,686,413 Huntington Bancshares Inc/OH (a) 17,997 418,970 Keycorp 30,414 1,160,902 National City Corp 47,833 1,810,479 PNC Financial Services Group Inc 22,252 1,641,530 SunTrust Banks Inc 26,821 2,228,825 US Bancorp 133,134 4,739,571 Wachovia Corp 144,357 8,156,171 Wells Fargo & Co 255,684 9,184,169 -------------------- 52,107,679 -------------------- REITS - Apartments (0.36%) Apartment Investment & Management Co (a) 7,308 457,700 Archstone-Smith Trust 16,539 1,045,430 AvalonBay Communities Inc (a) 5,945 882,000 Equity Residential (a) 22,125 1,245,195 -------------------- 3,630,325 -------------------- REITS - Diversified (0.12%) Vornado Realty Trust 9,780 1,196,583 -------------------- REITS - Office Property (0.26%) Boston Properties Inc (a) 8,848 1,115,644 Equity Office Properties Trust (a) 26,620 1,478,741 -------------------- 2,594,385 -------------------- REITS - Regional Malls (0.19%) Simon Property Group Inc (a) 16,760 1,917,176 -------------------- REITS - Shopping Centers (0.08%) Kimco Realty Corp 17,118 849,053 -------------------- REITS - Storage (0.10%) Public Storage Inc 9,280 1,009,293 -------------------- REITS - Warehouse & Industrial (0.12%) Prologis 18,741 1,218,165 -------------------- Retail - Apparel & Shoe (0.24%) Gap Inc/The 39,906 764,998 Ltd Brands Inc 25,904 723,758 Nordstrom Inc (a) 17,326 965,231 -------------------- 2,453,987 -------------------- Retail - Auto Parts (0.05%) Autozone Inc (a)(b) 3,834 481,665 -------------------- Retail - Automobile (0.03%) Autonation Inc (a)(b) 11,329 254,336 -------------------- Retail - Bedding (0.09%) Bed Bath & Beyond Inc (a)(b) 21,409 903,246 -------------------- Retail - Building Products (1.01%) Home Depot Inc 154,569 6,297,141 Lowe's Cos Inc 115,331 3,887,808 -------------------- 10,184,949 -------------------- Retail - Consumer Electronics (0.20%) Best Buy Co Inc 30,553 1,539,871 Circuit City Stores Inc (a) 10,746 219,326 RadioShack Corp (a) 10,287 227,343 -------------------- 1,986,540 -------------------- Retail - Discount (1.68%) Big Lots Inc (a)(b) 8,293 215,037 Costco Wholesale Corp 34,708 1,949,895 Dollar General Corp 23,632 400,326 Family Dollar Stores Inc 11,484 372,082 Target Corp 65,049 3,991,407 TJX Cos Inc 34,468 1,019,219 Wal-Mart Stores Inc 186,246 8,882,072 -------------------- 16,830,038 -------------------- Retail - Drug Store (0.55%) CVS Corp (a) 62,374 2,098,885 Walgreen Co 75,997 3,442,664 -------------------- 5,541,549 -------------------- Retail - Jewelry (0.04%) Tiffany & Co (a) 10,251 402,454 -------------------- Retail - Major Department Store (0.25%) JC Penney Co Inc 17,039 1,384,248 Sears Holdings Corp (a)(b) 6,294 1,111,835 -------------------- 2,496,083 -------------------- Retail - Office Supplies (0.25%) Office Depot Inc (a)(b) 21,086 788,405 OfficeMax Inc 5,641 272,404 Staples Inc 54,730 1,407,656 -------------------- 2,468,465 -------------------- Retail - Regional Department Store (0.36%) Dillard's Inc (a) 4,611 158,342 Federated Department Stores Inc (a) 39,774 1,650,223 Kohl's Corp (b) 24,767 1,756,228 -------------------- 3,564,793 -------------------- Retail - Restaurants (0.80%) Darden Restaurants Inc 11,120 435,237 McDonald's Corp 93,667 4,154,132 Starbucks Corp (a)(b) 57,262 2,000,734 Wendy's International Inc 7,240 245,870 Yum! Brands Inc 20,076 1,204,761 -------------------- 8,040,734 -------------------- Rubber - Tires (0.03%) Goodyear Tire & Rubber Co/The (a)(b) 13,441 331,858 -------------------- Savings & Loans - Thrifts (0.38%) Sovereign Bancorp Inc 27,221 670,998 Washington Mutual Inc 71,588 3,192,109 -------------------- 3,863,107 -------------------- Schools (0.05%) Apollo Group Inc (a)(b) 10,599 459,997 -------------------- Semiconductor Component - Integrated Circuits (0.23%) Analog Devices Inc 25,902 848,291 Linear Technology Corp 22,642 700,770 Maxim Integrated Products Inc 24,288 748,070 -------------------- 2,297,131 -------------------- Semiconductor Equipment (0.31%) Applied Materials Inc 105,192 1,865,054 Kla-Tencor Corp (a) 15,078 742,290 Novellus Systems Inc (a)(b) 9,361 288,600 Teradyne Inc (a)(b) 14,373 214,158 Verigy Ltd (b) 25 458 -------------------- 3,110,560 -------------------- Steel - Producers (0.22%) Nucor Corp 22,881 1,476,740 United States Steel Corp 8,973 749,156 -------------------- 2,225,896 -------------------- Steel - Specialty (0.08%) Allegheny Technologies Inc 7,628 789,422 -------------------- Telecommunication Equipment (0.12%) ADC Telecommunications Inc (a)(b) 8,879 143,307 Avaya Inc (a)(b) 34,392 441,249 Comverse Technology Inc (a)(b) 15,299 296,036 Tellabs Inc (b) 33,459 336,932 -------------------- 1,217,524 -------------------- Telecommunication Equipment - Fiber Optics (0.29%) Ciena Corp (a)(b) 6,395 179,635 Corning Inc (b) 118,475 2,469,019 JDS Uniphase Corp (a)(b) 15,987 284,249 -------------------- 2,932,903 -------------------- Telecommunication Services (0.06%) Embarq Corp 11,322 628,484 -------------------- Telephone - Integrated (3.24%) AT&T Inc 474,095 17,840,195 CenturyTel Inc 8,694 389,839 Citizens Communications Co (a) 24,379 357,396 Qwest Communications International Inc (a)(b) 121,790 992,589 Sprint Nextel Corp 219,250 3,909,227 Verizon Communications Inc 221,114 8,517,311 Windstream Corp 36,110 537,317 -------------------- 32,543,874 -------------------- Television (0.25%) CBS Corp (a) 59,190 1,844,953 Univision Communications Inc (a)(b) 19,106 682,275 -------------------- 2,527,228 -------------------- Therapeutics (0.22%) Gilead Sciences Inc (b) 34,826 2,240,008 -------------------- Tobacco (1.54%) Altria Group Inc 158,735 13,871,852 Reynolds American Inc (a) 12,985 837,532 UST Inc (a) 12,186 699,964 -------------------- 15,409,348 -------------------- Tools - Hand Held (0.10%) Black & Decker Corp (a) 5,152 449,667 Tools - Hand Held Snap-On Inc 4,421 213,136 Stanley Works/The (a) 6,158 352,607 -------------------- 1,015,410 -------------------- Toys (0.10%) Hasbro Inc 12,029 341,624 Mattel Inc 28,887 703,687 -------------------- 1,045,311 -------------------- Transport - Rail (0.69%) Burlington Northern Santa Fe Corp 27,205 2,186,194 CSX Corp 32,959 1,212,562 Norfolk Southern Corp 30,059 1,492,429 Union Pacific Corp 20,428 2,063,228 -------------------- 6,954,413 -------------------- Transport - Services (0.87%) FedEx Corp 23,223 2,563,819 Ryder System Inc (a) 4,599 250,829 United Parcel Service Inc 81,306 5,876,798 -------------------- 8,691,446 -------------------- Travel Services (0.03%) Sabre Holdings Corp 10,026 323,940 -------------------- Web Portals (1.07%) Google Inc (b) 16,231 8,136,600 Yahoo! Inc (a)(b) 92,716 2,624,790 -------------------- 10,761,390 -------------------- Wireless Equipment (0.83%) Motorola Inc 183,090 3,634,336 Qualcomm Inc 125,159 4,713,488 -------------------- 8,347,824 -------------------- TOTAL COMMON STOCKS $ 979,841,501 -------------------- Principal Amount Value ----------------------- -------- -------------------- SHORT TERM INVESTMENTS (2.34%) Commercial Paper (2.34%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 23,530,255 23,530,255 -------------------- TOTAL SHORT TERM INVESTMENTS $ 23,530,255 -------------------- MONEY MARKET FUNDS (10.84%) Money Center Banks (10.84%) BNY Institutional Cash Reserve Fund (d) 108,859,000 108,859,000 -------------------- TOTAL MONEY MARKET FUNDS $ 108,859,000 -------------------- Total Investments $ 1,112,230,756 Liabilities in Excess of Other Assets, Net - (10.79)% (108,363,256) -------------------- TOTAL NET ASSETS - 100.00% $ 1,003,867,500 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $5,407,500 or 0.54% of net assets. (d) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 232,615,268 Unrealized Depreciation (33,330,422) -------------------- Net Unrealized Appreciation (Depreciation) 199,284,846 Cost for federal income tax purposes 912,945,910 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value Depreciation) ---------------------------------------------------------------- ------ Buy: S&P 500; March 2007 65 $23,281,411 $23,448,750 $167,339 Portfolio Summary (unaudited) ----------------------------------------------------------- -------------------- Sector Percent ----------------------------------------------------------- -------------------- Financial 32.25% Consumer, Non-cyclical 19.64% Communications 11.35% Industrial 10.72% Technology 10.38% Energy 9.49% Consumer, Cyclical 8.19% Utilities 3.22% Basic Materials 2.95% Mortgage Securities 2.34% Funds 0.26% Liabilities in Excess of Other Assets, Net (-10.79%) --------------- TOTAL NET ASSETS 100.00% =============== Other Assets Summary (unaudited) ------------------------------------------ ------------- -------------------- Asset Type Percent ------------------------------------------ ------------- -------------------- Futures 2.34%
Schedule of Investments January 31, 2007 (unaudited) LargeCap Value Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (99.56%) Advertising Agencies (0.31%) Omnicom Group Inc (a) 22,960 $ 2,415,392 -------------------- Aerospace & Defense (1.10%) General Dynamics Corp 72,540 5,669,001 Lockheed Martin Corp 28,860 2,804,903 -------------------- 8,473,904 -------------------- Aerospace & Defense Equipment (0.39%) United Technologies Corp 43,790 2,978,596 -------------------- Auto - Car & Light Trucks (0.46%) General Motors Corp (a) 107,280 3,523,075 -------------------- Beverages - Non-Alcoholic (0.64%) Coca-Cola Co/The 102,920 4,927,810 -------------------- Brewery (0.65%) Anheuser-Busch Cos Inc 97,790 4,984,356 -------------------- Cable TV (1.29%) Comcast Corp (a)(b) 158,930 7,043,778 DIRECTV Group Inc/The (a)(b) 120,260 2,933,141 -------------------- 9,976,919 -------------------- Chemicals - Diversified (0.45%) Celanese Corp 103,060 2,705,325 Dow Chemical Co/The 18,840 782,614 -------------------- 3,487,939 -------------------- Chemicals - Specialty (0.38%) Albemarle Corp 37,741 2,943,043 -------------------- Coatings & Paint (0.26%) Sherwin-Williams Co/The 28,900 1,996,990 -------------------- Commercial Banks (1.32%) Marshall & Ilsley Corp (a) 90,540 4,260,812 Regions Financial Corp (a) 162,760 5,901,678 -------------------- 10,162,490 -------------------- Commercial Services (0.38%) Convergys Corp (b) 113,200 2,947,728 -------------------- Computers (1.58%) Hewlett-Packard Co 184,190 7,971,743 International Business Machines Corp 42,920 4,255,518 -------------------- 12,227,261 -------------------- Computers - Integrated Systems (0.30%) NCR Corp (b) 49,370 2,339,644 -------------------- Computers - Peripheral Equipment (0.20%) Lexmark International Inc (a)(b) 24,549 1,547,323 -------------------- Containers - Paper & Plastic (0.56%) Bemis Co (a) 65,890 2,234,330 Sonoco Products Co 53,460 2,058,210 -------------------- 4,292,540 -------------------- Cosmetics & Toiletries (2.33%) Colgate-Palmolive Co 41,990 2,867,917 Procter & Gamble Co 233,140 15,123,792 -------------------- 17,991,709 -------------------- Diversified Manufacturing Operations (3.40%) General Electric Co 654,256 23,585,929 Parker Hannifin Corp 32,310 2,673,975 -------------------- 26,259,904 -------------------- Electric - Integrated (4.62%) Centerpoint Energy Inc (a) 219,890 3,795,301 Entergy Corp 30,380 2,820,783 FirstEnergy Corp 82,680 4,905,404 FPL Group Inc (a) 100,680 5,703,522 Great Plains Energy Inc (a) 79,250 2,482,903 Northeast Utilities (a) 137,650 3,806,022 OGE Energy Corp (a) 73,940 2,862,957 PG&E Corp (a) 100,560 4,694,141 Xcel Energy Inc (a) 197,190 4,600,443 -------------------- 35,671,476 -------------------- Electric Products - Miscellaneous (0.43%) Emerson Electric Co 74,623 3,355,796 -------------------- Electronic Design Automation (0.22%) Cadence Design Systems Inc (a)(b) 88,560 1,673,784 -------------------- Enterprise Software & Services (0.19%) BEA Systems Inc (b) 121,390 1,496,739 -------------------- Finance - Investment Banker & Broker (10.92%) Bear Stearns Cos Inc/The 24,930 4,109,711 Citigroup Inc 481,634 26,552,483 Goldman Sachs Group Inc 22,070 4,682,371 JPMorgan Chase & Co 409,628 20,862,354 Lehman Brothers Holdings Inc 84,522 6,951,089 Merrill Lynch & Co Inc 102,890 9,626,388 Morgan Stanley 140,060 11,595,567 -------------------- 84,379,963 -------------------- Finance - Mortgage Loan/Banker (0.69%) Fannie Mae 55,260 3,123,848 IndyMac Bancorp Inc 57,250 2,226,452 -------------------- 5,350,300 -------------------- Financial Guarantee Insurance (0.98%) AMBAC Financial Group Inc 23,360 2,058,016 PMI Group Inc/The (a) 62,940 3,009,791 Radian Group Inc (a) 41,170 2,479,257 -------------------- 7,547,064 -------------------- Food - Miscellaneous/Diversified (1.15%) Campbell Soup Co (a) 52,480 2,019,430 General Mills Inc 79,510 4,551,153 HJ Heinz Co 49,798 2,346,482 -------------------- 8,917,065 -------------------- Food - Retail (0.44%) Kroger Co/The 133,510 3,417,856 -------------------- Gas - Distribution (1.22%) Nicor Inc (a) 45,740 2,081,170 Sempra Energy 83,900 4,814,182 UGI Corp 93,680 2,567,769 -------------------- 9,463,121 -------------------- Health Care Cost Containment (0.26%) McKesson Corp 36,320 2,024,840 -------------------- Human Resources (0.23%) Manpower Inc 24,830 1,810,852 -------------------- Independent Power Producer (0.33%) Mirant Corp (b) 75,220 2,571,020 -------------------- Industrial Gases (0.61%) Air Products & Chemicals Inc 42,620 3,182,009 Airgas Inc 36,580 1,522,460 -------------------- 4,704,469 -------------------- Instruments - Scientific (0.77%) Applera Corp - Applied Biosystems Group 67,410 2,343,172 Thermo Fisher Scientific Inc (a)(b) 75,630 3,618,895 -------------------- 5,962,067 -------------------- Life & Health Insurance (1.05%) Cigna Corp 24,100 3,190,840 Lincoln National Corp 73,660 4,945,532 -------------------- 8,136,372 -------------------- Machinery - Construction & Mining (0.36%) Terex Corp (a)(b) 49,530 2,817,762 -------------------- Medical - Drugs (4.86%) Merck & Co Inc 235,480 10,537,730 Pfizer Inc (c) 863,890 22,668,474 Wyeth 87,260 4,311,516 -------------------- 37,517,720 -------------------- Medical - Wholesale Drug Distribution (0.38%) AmerisourceBergen Corp 56,574 2,963,346 -------------------- Metal - Diversified (0.38%) Freeport-McMoRan Copper & Gold Inc (a) 51,540 2,964,065 -------------------- Multi-Line Insurance (5.01%) Allstate Corp/The 114,410 6,882,906 American Financial Group Inc/OH (a) 58,065 2,050,856 American International Group Inc 165,400 11,321,630 Assurant Inc (a) 56,760 3,154,721 Genworth Financial Inc (a) 88,090 3,074,341 Hartford Financial Services Group Inc 59,950 5,689,854 Metlife Inc 104,770 6,508,312 -------------------- 38,682,620 -------------------- Multimedia (2.81%) McGraw-Hill Cos Inc/The 34,700 2,327,676 News Corp 221,970 5,160,802 Time Warner Inc (a) 245,950 5,378,927 Multimedia Walt Disney Co/The 250,430 8,807,623 -------------------- 21,675,028 -------------------- Non-Hazardous Waste Disposal (0.54%) Republic Services Inc 37,670 1,629,228 Waste Management Inc 67,450 2,561,751 -------------------- 4,190,979 -------------------- Oil - Field Services (0.53%) SEACOR Holdings Inc (a)(b) 18,640 1,886,927 Tidewater Inc (a) 43,111 2,223,234 -------------------- 4,110,161 -------------------- Oil Company - Integrated (12.30%) Chevron Corp 265,643 19,360,062 ConocoPhillips 213,319 14,166,515 Exxon Mobil Corp (c) 646,400 47,898,240 Marathon Oil Corp 75,770 6,845,062 Occidental Petroleum Corp 145,424 6,741,856 -------------------- 95,011,735 -------------------- Oil Field Machinery & Equipment (0.44%) Cameron International Corp (a)(b) 28,530 1,497,825 National Oilwell Varco Inc (a)(b) 31,325 1,899,548 -------------------- 3,397,373 -------------------- Oil Refining & Marketing (0.44%) Frontier Oil Corp 55,460 1,575,618 Tesoro Corp 21,643 1,783,167 -------------------- 3,358,785 -------------------- Pharmacy Services (0.44%) Medco Health Solutions Inc (a)(b) 57,120 3,382,075 -------------------- Property & Casualty Insurance (2.17%) Chubb Corp 96,760 5,035,390 Philadelphia Consolidated Holding Co (a)(b) 41,170 1,855,120 Safeco Corp (a) 36,780 2,354,288 St Paul Travelers Cos Inc/The 114,050 5,799,442 WR Berkley Corp (a) 51,662 1,709,496 -------------------- 16,753,736 -------------------- Regional Banks (10.52%) Bank of America Corp 521,596 27,425,518 Comerica Inc 74,620 4,424,966 Keycorp 133,700 5,103,329 National City Corp 113,050 4,278,942 PNC Financial Services Group Inc 68,210 5,031,852 US Bancorp 279,290 9,942,724 Wachovia Corp 206,657 11,676,120 Wells Fargo & Co 372,240 13,370,861 -------------------- 81,254,312 -------------------- REITS - Apartments (1.12%) AvalonBay Communities Inc 26,730 3,965,663 Camden Property Trust (a) 31,440 2,464,896 Essex Property Trust Inc (a) 15,410 2,224,279 -------------------- 8,654,838 -------------------- REITS - Diversified (0.30%) Duke Realty Corp (a) 52,550 2,318,506 -------------------- REITS - Healthcare (0.38%) Ventas Inc 63,830 2,952,138 -------------------- REITS - Hotels (0.28%) Hospitality Properties Trust 44,960 2,194,048 -------------------- REITS - Office Property (0.60%) Boston Properties Inc (a) 36,947 4,658,647 -------------------- REITS - Regional Malls (0.54%) Simon Property Group Inc (a) 36,250 4,146,638 -------------------- REITS - Shopping Centers (0.28%) Federal Realty Invs Trust (a) 23,120 2,159,870 -------------------- REITS - Warehouse & Industrial (0.38%) AMB Property Corp 48,370 2,943,315 -------------------- Retail - Apparel & Shoe (0.38%) Nordstrom Inc (a) 53,260 2,967,115 -------------------- Retail - Discount (0.23%) Dollar Tree Stores Inc (b) 56,540 1,778,748 -------------------- Retail - Major Department Store (0.31%) JC Penney Co Inc 29,070 2,361,647 -------------------- Retail - Office Supplies (0.24%) OfficeMax Inc (a) 38,530 1,860,614 -------------------- Retail - Restaurants (1.20%) McDonald's Corp 209,803 9,304,763 -------------------- Savings & Loans - Thrifts (0.23%) Washington Mutual Inc 40,050 1,785,830 -------------------- Semiconductor Component - Integrated Circuits (0.35%) Atmel Corp (b) 453,566 2,712,325 -------------------- Steel - Producers (1.41%) Carpenter Technology Corp 19,600 2,295,160 Nucor Corp 86,000 5,550,440 Steel Dynamics Inc (a) 78,247 3,068,065 -------------------- 10,913,665 -------------------- Telecommunication Equipment (0.20%) Harris Corp (a) 31,000 1,575,420 -------------------- Telecommunication Services (0.43%) Embarq Corp (a) 59,880 3,323,939 -------------------- Telephone - Integrated (5.93%) AT&T Inc 731,747 27,535,640 CenturyTel Inc (a) 73,670 3,303,363 Qwest Communications International Inc (a)(b) 505,007 4,115,807 Sprint Nextel Corp 39,154 698,116 Telephone - Integrated Verizon Communications Inc 262,943 10,128,564 -------------------- 45,781,490 -------------------- Tobacco (2.58%) Altria Group Inc 150,203 13,126,240 Loews Corp - Carolina Group 47,970 3,287,864 Reynolds American Inc (a) 54,410 3,509,445 -------------------- 19,923,549 -------------------- Tools - Hand Held (0.38%) Snap-On Inc 60,210 2,902,724 -------------------- Toys (0.52%) Mattel Inc 165,830 4,039,619 -------------------- TOTAL COMMON STOCKS $ 769,298,552 -------------------- Principal Amount Value ----------------------- -------- -------------------- SHORT TERM INVESTMENTS (0.39%) Commercial Paper (0.39%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 2,987,772 2,987,772 -------------------- TOTAL SHORT TERM INVESTMENTS $ 2,987,772 -------------------- MONEY MARKET FUNDS (10.82%) Money Center Banks (10.82%) BNY Institutional Cash Reserve Fund (d) 83,614,000 83,614,000 -------------------- TOTAL MONEY MARKET FUNDS $ 83,614,000 -------------------- Total Investments $ 855,900,324 Liabilities in Excess of Other Assets, Net - (10.77)% (83,191,249) -------------------- TOTAL NET ASSETS - 100.00% $ 772,709,075 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $1,759,452 or 0.23% of net assets. (d) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 136,781,816 Unrealized Depreciation (2,696,788) -------------------- Net Unrealized Appreciation (Depreciation) 134,085,028 Cost for federal income tax purposes 721,815,296 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) -------------------------------------------------------------------- Buy: Russell 1000; March 2007 7 $2,715,775 $2,755,200 $39,425 Portfolio Summary (unaudited) ------------------------------------------------------------- Sector Percent ------------------------------------------------------------- Financial 47.59% Consumer, Non-cyclical 14.34% Energy 13.70% Communications 10.97% Industrial 7.92% Utilities 6.17% Basic Materials 3.50% Consumer, Cyclical 3.34% Technology 2.85% Mortgage Securities 0.39% Liabilities in Excess of Other Assets, Net (-10.77%) ------------------ TOTAL NET ASSETS 100.00% ================== Other Assets Summary (unaudited) --------------------------------------------------------- Asset Type Percent --------------------------------------------------------- Futures 0.36%
Schedule of Investments January 31, 2007 (unaudited) MidCap Blend Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (99.93%) Aerospace & Defense Equipment (0.90%) Alliant Techsystems Inc (a)(b) 95,054 $ 7,699,374 -------------------- Applications Software (1.17%) Intuit Inc (a)(b) 319,190 10,038,525 -------------------- Broadcasting Services & Programming (4.20%) Discovery Holding Co (a)(b) 660,717 10,948,081 Liberty Global Inc - A Shares (a)(b) 143,649 4,318,089 Liberty Global Inc - B Shares (a)(b) 288,345 8,139,979 Liberty Media Holding Corp - Capital (b) 122,158 12,496,763 -------------------- 35,902,912 -------------------- Building Products - Cement & Aggregate (0.51%) Martin Marietta Materials Inc (a) 37,543 4,333,213 -------------------- Cable TV (1.57%) EchoStar Communications Corp (b) 332,173 13,399,859 -------------------- Casino Hotels (2.04%) Harrah's Entertainment Inc (a) 206,336 17,431,265 -------------------- Casino Services (1.02%) International Game Technology (a) 201,182 8,743,370 -------------------- Commercial Banks (2.62%) Commerce Bancorp Inc/NJ (a) 164,294 5,549,851 M&T Bank Corp (a) 52,917 6,419,361 TCF Financial Corp 409,314 10,388,390 -------------------- 22,357,602 -------------------- Commercial Services (3.26%) ChoicePoint Inc (b) 168,958 6,503,194 Iron Mountain Inc (a)(b) 165,162 4,621,233 ServiceMaster Co/The (a) 465,887 6,079,825 Weight Watchers International Inc (a) 197,347 10,662,658 -------------------- 27,866,910 -------------------- Commercial Services - Finance (0.98%) Western Union Co/The 374,449 8,365,191 -------------------- Data Processing & Management (5.39%) Automatic Data Processing Inc 159,070 7,590,820 Fidelity National Information Services 295,521 12,565,553 First Data Corp 260,188 6,468,274 Paychex Inc 374,104 14,967,901 SEI Investments Co (a) 71,813 4,476,104 -------------------- 46,068,652 -------------------- Dental Supplies & Equipment (1.25%) Dentsply International Inc 346,924 10,699,136 -------------------- Distribution & Wholesale (0.82%) Fastenal Co (a) 187,747 6,999,208 -------------------- Diversified Manufacturing Operations (1.97%) Dover Corp 162,088 8,039,565 Tyco International Ltd 275,633 8,787,180 -------------------- 16,826,745 -------------------- Diversified Operations (1.03%) Onex Corp (b) 373,017 8,806,931 -------------------- E-Commerce - Services (0.57%) Liberty Media Corp - Interactive (b) 201,152 4,902,074 -------------------- Electric - Integrated (1.36%) Ameren Corp (a) 134,379 7,136,869 SCANA Corp (a) 109,692 4,466,658 -------------------- 11,603,527 -------------------- Electronic Components - Miscellaneous (1.48%) Gentex Corp (a) 724,971 12,679,743 -------------------- Electronic Components - Semiconductors (0.79%) Microchip Technology Inc (a) 193,269 6,718,030 -------------------- Energy - Alternate Sources (1.78%) Covanta Holding Corp (a)(b) 643,219 15,218,562 -------------------- Financial Guarantee Insurance (1.44%) AMBAC Financial Group Inc 139,546 12,294,003 -------------------- Food - Wholesale & Distribution (1.69%) Sysco Corp (a) 417,756 14,433,470 -------------------- Gold Mining (1.62%) Newmont Mining Corp (a) 307,672 13,876,007 -------------------- Human Resources (0.63%) Robert Half International Inc (a) 131,476 5,351,073 -------------------- Independent Power Producer (0.00%) Dynegy Inc (b) 2,969 20,931 -------------------- Insurance Brokers (2.07%) AON Corp 210,898 7,562,802 Marsh & McLennan Cos Inc 343,131 10,122,365 -------------------- 17,685,167 -------------------- Investment Management & Advisory Services (2.24%) Eaton Vance Corp 123,245 4,227,303 Legg Mason Inc 68,209 7,151,714 Nuveen Investments Inc (a) 156,570 7,750,215 -------------------- 19,129,232 -------------------- Life & Health Insurance (1.78%) Aflac Inc 319,054 15,190,161 -------------------- Linen Supply & Related Items (3.34%) Cintas Corp 694,684 28,586,247 -------------------- Machinery - Print Trade (1.72%) Zebra Technologies Corp (a)(b) 423,346 14,677,406 -------------------- Medical - Biomedical/Gene (0.70%) Medimmune Inc (a)(b) 172,272 5,970,948 -------------------- Medical - Drugs (1.43%) Valeant Pharmaceuticals International (a) 691,965 12,199,343 -------------------- Medical - HMO (1.84%) Coventry Health Care Inc (b) 305,892 15,768,733 -------------------- Medical - Outpatient & Home Medical Care (1.47%) Lincare Holdings Inc (a)(b) 319,299 12,564,416 -------------------- Medical Instruments (1.51%) St Jude Medical Inc (b) 301,902 12,909,330 -------------------- Medical Laboratory & Testing Service (2.11%) Laboratory Corp of America Holdings (a)(b) 245,960 18,063,302 -------------------- Multi-Line Insurance (2.01%) Loews Corp 395,799 17,201,425 -------------------- Office Automation & Equipment (0.74%) Pitney Bowes Inc (a) 131,729 6,305,867 -------------------- Oil - Field Services (2.93%) BJ Services Co 446,760 12,357,382 Weatherford International Ltd (a)(b) 313,525 12,660,139 -------------------- 25,017,521 -------------------- Oil Company - Exploration & Production (3.44%) Cimarex Energy Co 264,044 9,896,369 Encore Acquisition Co (a)(b) 325,415 8,444,519 Rosetta Resources Inc (a)(b) 231,337 4,351,449 XTO Energy Inc 132,512 6,687,881 -------------------- 29,380,218 -------------------- Pipelines (3.88%) Equitable Resources Inc 296,133 12,807,752 Questar Corp (a) 141,794 11,513,673 Williams Cos Inc 326,819 8,820,845 -------------------- 33,142,270 -------------------- Property & Casualty Insurance (3.27%) Fidelity National Financial Inc (a) 79,915 1,897,182 Markel Corp (a)(b) 30,747 14,915,370 Mercury General Corp 212,696 11,094,223 -------------------- 27,906,775 -------------------- Publishing - Newspapers (1.66%) Washington Post Co/The 18,598 14,184,695 -------------------- Quarrying (1.07%) Vulcan Materials Co (a) 90,223 9,188,310 -------------------- Real Estate Operator & Developer (4.40%) Brookfield Asset Management Inc 462,058 22,626,980 Real Estate Operator & Developer Forest City Enterprises Inc (a) 248,231 15,005,564 -------------------- 37,632,544 -------------------- Reinsurance (1.44%) Everest Re Group Ltd 131,077 12,268,807 -------------------- Retail - Auto Parts (3.11%) Autozone Inc (a)(b) 70,024 8,797,115 O'Reilly Automotive Inc (a)(b) 508,914 17,766,188 -------------------- 26,563,303 -------------------- Retail - Automobile (1.57%) Carmax Inc (a)(b) 233,187 13,391,929 -------------------- Retail - Discount (1.34%) TJX Cos Inc 386,309 11,423,157 -------------------- Retail - Jewelry (0.91%) Tiffany & Co (a) 197,199 7,742,033 -------------------- Retail - Restaurants (1.62%) Yum! Brands Inc 230,383 13,825,284 -------------------- Schools (0.37%) Strayer Education Inc (a) 27,892 3,173,273 -------------------- Telephone - Integrated (1.82%) Citizens Communications Co (a) 340,309 4,988,930 Telephone & Data Systems Inc - Special Shares 208,148 10,605,141 -------------------- 15,594,071 -------------------- Textile - Home Furnishings (1.11%) Mohawk Industries Inc (a)(b) 114,939 9,473,272 -------------------- Transport - Truck (0.64%) Heartland Express Inc (a) 325,314 5,507,566 -------------------- Wireless Equipment (2.30%) American Tower Corp (b) 494,351 19,690,000 -------------------- TOTAL COMMON STOCKS $ 853,992,918 -------------------- Principal Amount Value ----------------------- -------- -------------------- SHORT TERM INVESTMENTS (0.16%) Commercial Paper (0.16%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 1,348,565 1,348,565 -------------------- TOTAL SHORT TERM INVESTMENTS $ 1,348,565 -------------------- MONEY MARKET FUNDS (25.92%) Money Center Banks (25.92%) BNY Institutional Cash Reserve Fund (c) 221,503,000 221,503,000 -------------------- TOTAL MONEY MARKET FUNDS $ 221,503,000 -------------------- Total Investments $ 1,076,844,483 Liabilities in Excess of Other Assets, Net - (26.01)% (222,276,137) -------------------- TOTAL NET ASSETS - 100.00% $ 854,568,346 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 178,525,043 Unrealized Depreciation (16,281,781) -------------------- Net Unrealized Appreciation (Depreciation) 162,243,262 Cost for federal income tax purposes 914,601,221 Portfolio Summary (unaudited) -------------------------------------------------- -------------------- Sector Percent -------------------------------------------------- -------------------- Financial 47.18% Consumer, Non-cyclical 17.24% Consumer, Cyclical 16.87% Communications 12.13% Energy 12.03% Technology 8.09% Industrial 7.22% Basic Materials 2.70% Utilities 1.36% Diversified 1.03% Mortgage Securities 0.16% Liabilities in Excess of Other Assets, Net (-26.01%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) MidCap Growth Fund Shares Held Value ---------------- -------- -------------------- COMMON STOCKS (97.87%) Advertising Agencies (0.97%) Interpublic Group of Cos Inc (a)(b) 22,800 $ 300,048 -------------------- Advertising Sales (2.81%) Focus Media Holding Ltd ADR (b) 2,300 190,118 Lamar Advertising Co (a)(b) 10,180 674,730 -------------------- 864,848 -------------------- Airlines (1.92%) JetBlue Airways Corp (a)(b) 43,200 590,976 -------------------- Apparel Manufacturers (2.79%) Coach Inc (b) 8,800 403,568 Phillips-Van Heusen 8,300 457,745 -------------------- 861,313 -------------------- Batteries & Battery Systems (2.68%) Energizer Holdings Inc (a)(b) 9,700 826,731 -------------------- Building - Heavy Construction (1.10%) Chicago Bridge & Iron Co NV 11,450 340,294 -------------------- Cellular Telecommunications (2.80%) NII Holdings Inc (a)(b) 11,685 862,353 -------------------- Chemicals - Specialty (3.29%) Albemarle Corp 9,100 709,618 International Flavors & Fragrances Inc 6,300 305,424 -------------------- 1,015,042 -------------------- Commercial Services (1.06%) Alliance Data Systems Corp (b) 4,800 326,064 -------------------- Computer Services (5.14%) Cognizant Technology Solutions Corp (b) 7,545 643,513 DST Systems Inc (a)(b) 2,200 155,056 Factset Research Systems Inc 13,523 785,416 -------------------- 1,583,985 -------------------- Computers - Memory Devices (2.18%) Network Appliance Inc (b) 17,900 673,040 -------------------- Containers - Metal & Glass (1.30%) Owens-Illinois Inc (b) 18,000 400,680 -------------------- Data Processing & Management (1.98%) Fiserv Inc (b) 11,600 609,812 -------------------- Diversified Manufacturing Operations (3.10%) Roper Industries Inc 13,663 709,383 SPX Corp 3,500 245,665 -------------------- 955,048 -------------------- Electronic Components - Semiconductors (1.21%) ON Semiconductor Corp (a)(b) 44,700 373,692 -------------------- Electronic Measurement Instruments (2.31%) Trimble Navigation Ltd (b) 12,560 710,645 -------------------- E-Marketing & Information (2.05%) Digital River Inc (a)(b) 12,320 630,538 -------------------- Engineering - Research & Development Services (1.75%) McDermott International, Inc. (b) 10,415 537,831 -------------------- Entertainment Software (1.29%) Activision Inc (b) 23,270 396,288 -------------------- Finance - Investment Banker & Broker (1.99%) Lazard Ltd (a) 12,090 613,688 -------------------- Food - Retail (1.37%) Safeway Inc 11,700 421,551 -------------------- Hazardous Waste Disposal (1.02%) Stericycle Inc (b) 4,100 315,700 -------------------- Hotels & Motels (2.38%) Hilton Hotels Corp 20,710 732,927 -------------------- Human Resources (0.95%) Manpower Inc 4,015 292,814 -------------------- Instruments - Controls (1.02%) Mettler Toledo International Inc (b) 3,800 314,640 -------------------- Instruments - Scientific (4.00%) Applera Corp - Applied Biosystems Group 17,000 590,920 Thermo Fisher Scientific Inc (b) 13,400 641,190 -------------------- 1,232,110 -------------------- Internet Infrastructure Software (3.22%) Akamai Technologies Inc (a)(b) 7,995 449,159 F5 Networks Inc (b) 7,600 542,944 -------------------- 992,103 -------------------- Investment Management & Advisory Services (3.54%) Amvescap PLC ADR 23,200 565,384 T Rowe Price Group Inc (a) 10,949 525,443 -------------------- 1,090,827 -------------------- Leisure & Recreation Products (0.50%) WMS Industries Inc (b) 3,900 154,674 -------------------- Medical - Biomedical/Gene (0.98%) Celgene Corp (b) 5,625 301,950 -------------------- Medical - Drugs (2.52%) Shire PLC ADR 12,230 776,360 -------------------- Medical Instruments (2.47%) Intuitive Surgical Inc (a)(b) 3,600 354,276 Medical Instruments St Jude Medical Inc (b) 9,500 406,220 -------------------- 760,496 -------------------- Metal Processors & Fabrication (2.09%) Precision Castparts Corp 7,250 644,452 -------------------- Networking Products (1.40%) Polycom Inc (a)(b) 12,800 430,336 -------------------- Oil Company - Exploration & Production (1.06%) Newfield Exploration Co (b) 7,600 325,356 -------------------- Oil Field Machinery & Equipment (1.79%) Cameron International Corp (b) 10,535 553,088 -------------------- Private Corrections (2.03%) Corrections Corp of America (b) 12,810 624,103 -------------------- Real Estate Magagement & Services (2.07%) CB Richard Ellis Group Inc (b) 16,962 637,941 -------------------- Respiratory Products (1.33%) Resmed Inc (a)(b) 7,800 410,124 -------------------- Retail - Apparel & Shoe (1.95%) J Crew Group Inc (b) 8,100 294,273 Nordstrom Inc 5,500 306,405 -------------------- 600,678 -------------------- Retail - Computer Equipment (1.00%) GameStop Corp (a)(b) 5,795 309,627 -------------------- Retail - Discount (1.99%) TJX Cos Inc 20,690 611,803 -------------------- Telecommunication Services (0.93%) NeuStar Inc (a)(b) 9,300 287,277 -------------------- Toys (2.02%) Hasbro Inc 21,940 623,096 -------------------- Veterinary Diagnostics (1.98%) VCA Antech Inc (b) 18,175 611,044 -------------------- Web Hosting & Design (1.75%) Equinix Inc (a)(b) 6,400 538,048 -------------------- Wireless Equipment (4.91%) American Tower Corp (b) 20,771 827,309 Crown Castle International Corp (a)(b) 19,470 684,565 -------------------- 1,511,874 -------------------- X-Ray Equipment (1.88%) Hologic Inc (a)(b) 10,430 579,386 -------------------- TOTAL COMMON STOCKS $ 30,157,301 -------------------- Principal Amount Value -------------- -------- -------------------- SHORT TERM INVESTMENTS (1.37%) Commercial Paper (1.37%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 422,666 422,666 -------------------- TOTAL SHORT TERM INVESTMENTS $ 422,666 -------------------- MONEY MARKET FUNDS (26.02%) Money Center Banks (26.02%) BNY Institutional Cash Reserve Fund (c) 8,018,000 8,018,000 -------------------- TOTAL MONEY MARKET FUNDS $ 8,018,000 -------------------- Total Investments $ 38,597,967 Liabilities in Excess of Other Assets, Net - (25.26)% (7,784,543) -------------------- TOTAL NET ASSETS - 100.00% $ 30,813,424 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 3,964,221 Unrealized Depreciation (276,203) -------------------- Net Unrealized Appreciation (Depreciation) 3,688,018 Cost for federal income tax purposes 34,909,949 Portfolio Summary (unaudited) ---------------------------------------------------------- -------------------- Sector Percent ---------------------------------------------------------- -------------------- Financial 33.62% Communications 20.83% Industrial 20.38% Consumer, Non-cyclical 16.56% Consumer, Cyclical 14.56% Technology 11.80% Basic Materials 3.29% Energy 2.85% Mortgage Securities 1.37% Liabilities in Excess of Other Assets, Net (-25.26%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) MidCap S&P 400 Index Fund Shares Held Value ----------------------- -------- -------------------- COMMON STOCKS (97.23%) Aerospace & Defense Equipment (0.48%) Alliant Techsystems Inc (a)(b) 5,092 $ 412,452 DRS Technologies Inc 6,226 344,921 Sequa Corp (b) 1,068 134,557 -------------------- 891,930 -------------------- Airlines (0.43%) Airtran Holdings Inc (a)(b) 14,080 155,865 Alaska Air Group Inc (b) 6,189 265,199 JetBlue Airways Corp (a)(b) 27,172 371,713 -------------------- 792,777 -------------------- Apparel Manufacturers (0.63%) Hanesbrands Inc (b) 14,892 380,938 Polo Ralph Lauren Corp 9,486 778,326 -------------------- 1,159,264 -------------------- Auction House & Art Dealer (0.39%) Adesa Inc 13,908 403,610 Sotheby's (a) 8,689 322,188 -------------------- 725,798 -------------------- Auto - Medium & Heavy Duty Trucks (0.33%) Oshkosh Truck Corp (a)(c) 11,408 602,342 -------------------- Auto/Truck Parts & Equipment - Original (0.71%) ArvinMeritor Inc 10,926 210,326 BorgWarner Inc 8,899 609,937 Lear Corp (a) 10,419 352,787 Modine Manufacturing Co 5,066 132,527 -------------------- 1,305,577 -------------------- Batteries & Battery Systems (0.41%) Energizer Holdings Inc (a)(b) 8,797 749,768 -------------------- Beverages - Non-Alcoholic (0.31%) Hansen Natural Corp (a)(b) 9,412 358,503 PepsiAmericas Inc 9,379 206,807 -------------------- 565,310 -------------------- Building - Heavy Construction (0.15%) Granite Construction Inc 5,241 280,708 -------------------- Building - Maintenance & Service (0.05%) Rollins Inc 4,612 100,634 -------------------- Building - Mobile Home & Manufactured Housing (0.12%) Thor Industries Inc (a) 5,427 229,345 -------------------- Building - Residential & Commercial (0.97%) Beazer Homes USA Inc (a) 6,055 263,453 Hovnanian Enterprises Inc (a)(b) 5,636 187,622 MDC Holdings Inc 5,362 312,444 Ryland Group Inc (a) 6,588 370,114 Toll Brothers Inc (a)(b) 19,462 658,400 -------------------- 1,792,033 -------------------- Building & Construction - Miscellaneous (0.08%) Dycom Industries Inc (b) 6,284 142,207 -------------------- Building Products - Cement & Aggregate (0.64%) Florida Rock Industries Inc (a) 7,632 377,402 Martin Marietta Materials Inc (a) 6,981 805,747 -------------------- 1,183,149 -------------------- Capacitors (0.05%) Kemet Corp (a)(b) 13,458 101,473 -------------------- Casino Hotels (0.17%) Boyd Gaming Corp 6,552 311,679 -------------------- Casino Services (0.17%) Scientific Games Corp (a)(b) 10,341 320,985 -------------------- Chemicals - Diversified (0.91%) FMC Corp 5,933 461,884 Lyondell Chemical Co 32,660 1,032,709 Olin Corp 11,276 189,888 -------------------- 1,684,481 -------------------- Chemicals - Specialty (1.49%) Albemarle Corp 6,094 475,210 Cabot Corp 9,794 438,183 Chemtura Corp 37,217 428,740 Cytec Industries Inc 6,468 376,567 Ferro Corp 6,619 141,051 Lubrizol Corp 10,638 548,070 Minerals Technologies Inc 2,962 172,003 Sensient Technologies Corp 7,185 177,326 -------------------- 2,757,150 -------------------- Coal (0.35%) Arch Coal Inc (a) 21,959 652,622 -------------------- Coatings & Paint (0.47%) RPM International Inc (a) 18,453 428,663 Valspar Corp 15,723 443,074 -------------------- 871,737 -------------------- Commercial Banks (3.06%) Associated Banc-Corp 20,150 687,518 Bank of Hawaii Corp 7,685 402,310 Cathay General Bancorp 8,013 277,731 City National Corp/Beverly Hills CA 6,182 444,671 Colonial BancGroup Inc/The 23,652 580,420 Cullen/Frost Bankers Inc 9,237 494,457 FirstMerit Corp 12,384 278,888 Greater Bay Bancorp 7,894 220,558 Mercantile Bankshares Corp 19,405 914,169 SVB Financial Group (a)(b) 5,307 247,571 TCF Financial Corp 17,412 441,917 Webster Financial Corp 8,684 432,637 Westamerica Bancorporation 4,759 237,236 -------------------- 5,660,083 -------------------- Commercial Services (0.84%) Alliance Data Systems Corp (b) 10,233 695,128 ChoicePoint Inc (a)(b) 12,335 474,774 Commercial Services Quanta Services Inc (a)(b) 18,329 377,027 -------------------- 1,546,929 -------------------- Commercial Services - Finance (0.13%) Deluxe Corp 7,965 238,313 -------------------- Computer Aided Design (0.18%) Parametric Technology Corp (b) 17,233 341,558 -------------------- Computer Services (0.89%) BISYS Group Inc/The (a)(b) 18,620 237,777 Ceridian Corp (a)(b) 21,514 644,775 DST Systems Inc (a)(b) 8,590 605,423 SRA International Inc (b) 6,347 160,579 -------------------- 1,648,554 -------------------- Computers (0.12%) Palm Inc (a)(b) 16,074 222,303 -------------------- Computers - Integrated Systems (0.39%) Diebold Inc 10,127 469,386 Jack Henry & Associates Inc 12,061 257,382 -------------------- 726,768 -------------------- Computers - Memory Devices (0.49%) Imation Corp 5,381 234,127 Western Digital Corp (b) 34,283 671,947 -------------------- 906,074 -------------------- Consulting Services (0.49%) Corporate Executive Board Co (a) 6,037 547,737 Gartner Inc (b) 8,821 192,827 Navigant Consulting Inc (b) 8,304 172,557 -------------------- 913,121 -------------------- Consumer Products - Miscellaneous (0.48%) American Greetings Corp 8,790 211,136 Blyth Inc (a) 3,889 80,852 Scotts Miracle-Gro Co/The 7,130 381,954 Tupperware Brands Corp (a) 9,354 218,229 -------------------- 892,171 -------------------- Containers - Paper & Plastic (0.48%) Packaging Corp of America 12,606 287,921 Sonoco Products Co 15,424 593,824 -------------------- 881,745 -------------------- Cosmetics & Toiletries (0.15%) Alberto-Culver Co 12,355 282,559 -------------------- Data Processing & Management (1.61%) Acxiom Corp 10,569 239,916 CSG Systems International Inc (a)(b) 7,294 182,934 Dun & Bradstreet Corp 9,496 807,160 Fair Isaac Corp 8,936 355,832 Global Payments Inc 10,512 396,933 MoneyGram International Inc (a) 12,997 389,780 SEI Investments Co 9,788 610,086 -------------------- 2,982,641 -------------------- Decision Support Software (0.06%) Wind River Systems Inc (b) 11,679 115,856 -------------------- Dental Supplies & Equipment (0.39%) Dentsply International Inc 23,481 724,154 -------------------- Diagnostic Equipment (0.50%) Cytyc Corp (b) 17,417 503,699 Gen-Probe Inc (b) 8,051 416,398 -------------------- 920,097 -------------------- Direct Marketing (0.20%) Catalina Marketing Corp 5,628 160,680 Harte-Hanks Inc 7,492 203,108 -------------------- 363,788 -------------------- Distribution & Wholesale (1.11%) CDW Corp (a) 9,333 598,898 Fastenal Co (a) 19,374 722,263 Ingram Micro Inc (b) 21,515 419,758 Tech Data Corp (b) 8,422 312,793 -------------------- 2,053,712 -------------------- Diversified Manufacturing Operations (2.53%) Brink's Co/The 7,454 463,266 Carlisle Cos Inc 4,770 388,469 Crane Co 7,927 307,806 Federal Signal Corp 7,370 121,015 Harsco Corp 6,497 557,962 Lancaster Colony Corp (a) 3,645 159,432 Pentair Inc 15,428 480,737 Roper Industries Inc 13,483 700,037 SPX Corp 8,874 622,866 Teleflex Inc 6,033 402,884 Trinity Industries Inc (a) 12,335 471,814 -------------------- 4,676,288 -------------------- Diversified Operations (0.37%) Leucadia National Corp 25,089 686,435 -------------------- Electric - Integrated (5.58%) Alliant Energy Corp 17,952 652,555 Aquila Inc (b) 57,907 262,319 Black Hills Corp (a) 5,151 190,948 DPL Inc (a)(c) 17,474 501,154 Duquesne Light Holdings Inc 13,548 271,096 Energy East Corp 22,841 548,641 Great Plains Energy Inc 12,418 389,056 Hawaiian Electric Industries Inc (a) 12,580 337,018 Idacorp Inc 6,639 245,311 MDU Resources Group Inc (a) 27,971 723,050 Northeast Utilities 23,817 658,540 NSTAR 16,516 551,634 OGE Energy Corp (a) 14,093 545,681 Pepco Holdings Inc (a) 29,588 756,861 PNM Resources Inc 11,668 355,641 Puget Energy Inc 18,000 442,080 SCANA Corp 18,014 733,530 Sierra Pacific Resources (b) 34,165 581,488 Westar Energy Inc (a) 13,505 358,693 Wisconsin Energy Corp 18,089 842,224 WPS Resources Corp 6,689 354,851 -------------------- 10,302,371 -------------------- Electric Products - Miscellaneous (0.31%) Ametek Inc 16,370 567,384 -------------------- Electronic Components - Miscellaneous (0.48%) Gentex Corp (a) 22,150 387,403 Plexus Corp (a)(b) 7,152 120,154 Vishay Intertechnology Inc (b) 28,524 374,805 -------------------- 882,362 -------------------- Electronic Components - Semiconductors (2.45%) Cree Inc (a)(b) 11,931 183,499 Fairchild Semiconductor International Inc (b) 18,959 337,660 International Rectifier Corp (b) 11,159 465,665 Intersil Corp (a) 21,350 503,006 Lattice Semiconductor Corp (b) 17,706 103,757 MEMC Electronic Materials Inc (b) 25,783 1,351,029 Microchip Technology Inc 33,370 1,159,941 Semtech Corp (b) 11,264 154,317 Silicon Laboratories Inc (b) 8,444 271,137 -------------------- 4,530,011 -------------------- Electronic Connectors (0.70%) Amphenol Corp 13,511 914,965 Thomas & Betts Corp (b) 8,059 385,945 -------------------- 1,300,910 -------------------- Electronic Design Automation (0.88%) Cadence Design Systems Inc (a)(b) 42,903 810,867 Mentor Graphics Corp (a)(b) 12,812 238,303 Synopsys Inc (b) 21,817 580,332 -------------------- 1,629,502 -------------------- Electronic Measurement Instruments (0.14%) National Instruments Corp 8,803 253,614 -------------------- Electronic Parts Distribution (0.69%) Arrow Electronics Inc (b) 18,902 666,295 Avnet Inc (a)(b) 19,737 612,834 -------------------- 1,279,129 -------------------- E-Marketing & Information (0.21%) Valueclick Inc (a)(b) 15,124 385,965 -------------------- Engineering - Research & Development Services (0.45%) Jacobs Engineering Group Inc (b) 9,133 826,993 -------------------- Enterprise Software & Services (0.26%) Advent Software Inc (b) 3,081 110,146 Sybase Inc (a)(b) 14,090 364,790 -------------------- 474,936 -------------------- Entertainment Software (0.36%) Activision Inc (b) 38,586 657,120 -------------------- Environmental Monitoring & Detection (0.10%) Mine Safety Appliances Co (a) 4,647 178,212 -------------------- Fiduciary Banks (0.50%) Investors Financial Services Corp 10,215 477,756 Wilmington Trust Corp 10,582 443,703 -------------------- 921,459 -------------------- Filtration & Separation Products (0.21%) Donaldson Co Inc (a) 10,857 382,384 -------------------- Finance - Auto Loans (0.26%) AmeriCredit Corp (a)(b) 17,862 484,775 -------------------- Finance - Investment Banker & Broker (0.91%) AG Edwards Inc 11,755 778,298 Jefferies Group Inc 15,626 460,342 Raymond James Financial Inc 14,002 446,944 -------------------- 1,685,584 -------------------- Finance - Mortgage Loan/Banker (0.23%) IndyMac Bancorp Inc 10,959 426,196 -------------------- Financial Guarantee Insurance (0.76%) PMI Group Inc/The 13,516 646,335 Radian Group Inc 12,462 750,462 -------------------- 1,396,797 -------------------- Food - Confectionery (0.30%) JM Smucker Co/The 8,782 417,057 Tootsie Roll Industries Inc (a) 4,073 129,196 -------------------- 546,253 -------------------- Food - Meat Products (0.45%) Hormel Foods Corp 11,310 428,649 Smithfield Foods Inc (a)(b) 15,392 404,194 -------------------- 832,843 -------------------- Food - Retail (0.08%) Ruddick Corp 5,548 154,234 -------------------- Footwear & Related Apparel (0.13%) Timberland Co (a)(b) 7,818 235,869 -------------------- Gas - Distribution (0.56%) AGL Resources Inc 12,015 472,190 Vectren Corp 11,784 331,366 WGL Holdings Inc 7,542 238,553 -------------------- 1,042,109 -------------------- Golf (0.09%) Callaway Golf Co (a) 9,616 158,856 -------------------- Hazardous Waste Disposal (0.29%) Stericycle Inc (a)(b) 6,863 528,451 -------------------- Home Furnishings (0.07%) Furniture Brands International Inc (a) 7,474 124,592 -------------------- Hospital Beds & Equipment (0.29%) Hillenbrand Industries Inc 9,501 541,652 -------------------- Human Resources (0.79%) Kelly Services Inc (a) 3,291 102,054 Korn/Ferry International (b) 6,512 155,507 Manpower Inc 13,135 957,935 MPS Group Inc (b) 15,847 237,388 -------------------- 1,452,884 -------------------- Industrial Automation & Robots (0.15%) Nordson Corp 5,206 269,254 -------------------- Industrial Gases (0.27%) Airgas Inc 12,063 502,062 -------------------- Instruments - Scientific (0.14%) Varian Inc (b) 4,704 251,711 -------------------- Insurance Brokers (0.51%) Arthur J Gallagher & Co (a) 15,170 434,924 Brown & Brown Inc 17,748 502,623 -------------------- 937,547 -------------------- Internet Infrastructure Equipment (0.15%) Avocent Corp (b) 7,862 271,554 -------------------- Internet Infrastructure Software (0.24%) F5 Networks Inc (b) 6,270 447,929 -------------------- Internet Security (0.70%) Checkfree Corp (a)(b) 13,687 567,052 McAfee Inc (b) 24,668 721,786 -------------------- 1,288,838 -------------------- Investment Management & Advisory Services (0.87%) Eaton Vance Corp 19,646 673,858 Nuveen Investments Inc 12,175 602,662 Waddell & Reed Financial Inc 13,012 334,018 -------------------- 1,610,538 -------------------- Lasers - Systems & Components (0.07%) Newport Corp (b) 6,344 126,626 -------------------- Life & Health Insurance (0.50%) Protective Life Corp 10,814 529,129 Stancorp Financial Group Inc 8,277 396,054 -------------------- 925,183 -------------------- Machinery - Construction & Mining (0.46%) Joy Global Inc (a) 18,351 852,771 -------------------- Machinery - Farm (0.26%) AGCO Corp (a)(b) 14,088 478,569 -------------------- Machinery - Print Trade (0.20%) Zebra Technologies Corp (a)(b) 10,892 377,626 -------------------- Machinery - Pumps (0.49%) Flowserve Corp (a)(b) 8,991 477,152 Graco Inc 10,398 423,927 -------------------- 901,079 -------------------- Machinery Tools & Related Products (0.42%) Kennametal Inc 5,977 369,379 Lincoln Electric Holdings Inc 6,594 400,717 -------------------- 770,096 -------------------- Medical - Outpatient & Home Medical Care (0.10%) Apria Healthcare Group Inc (a)(b) 6,592 183,060 -------------------- Medical - Biomedical/Gene (1.56%) Affymetrix Inc (a)(b) 10,492 261,880 Charles River Laboratories International (a)(b) 10,345 465,525 Invitrogen Corp (a)(b) 7,439 455,490 Martek Biosciences Corp (a)(b) 4,972 115,897 Millennium Pharmaceuticals Inc (a)(b) 47,312 525,163 PDL BioPharma Inc (a)(b) 17,818 365,447 Vertex Pharmaceuticals Inc (a)(b) 19,421 686,533 -------------------- 2,875,935 -------------------- Medical - Drugs (1.20%) Cephalon Inc (a)(b) 9,428 682,682 Medicis Pharmaceutical Corp (a) 8,508 322,708 Sepracor Inc (a)(b) 16,941 966,654 Valeant Pharmaceuticals International (a) 14,378 253,484 -------------------- 2,225,528 -------------------- Medical - Generic Drugs (0.19%) Par Pharmaceutical Cos Inc (a)(b) 5,420 142,979 Perrigo Co (a) 11,745 202,954 -------------------- 345,933 -------------------- Medical - HMO (0.48%) Health Net Inc (b) 18,025 877,998 -------------------- Medical - Hospitals (1.02%) Community Health Systems Inc (b) 14,710 525,882 LifePoint Hospitals Inc (b) 8,871 301,437 Triad Hospitals Inc (b) 13,611 578,467 Universal Health Services Inc 8,391 486,091 -------------------- 1,891,877 -------------------- Medical - Outpatient & Home Medical Care (0.31%) Lincare Holdings Inc (b) 14,318 563,413 -------------------- Medical Instruments (1.19%) Beckman Coulter Inc 9,632 621,457 Edwards Lifesciences Corp (a)(b) 8,952 457,984 Intuitive Surgical Inc (a)(b) 5,714 562,315 Techne Corp (b) 6,089 353,405 Ventana Medical Systems Inc (a)(b) 5,039 212,142 -------------------- 2,207,303 -------------------- Medical Laboratory & Testing Service (0.33%) Covance Inc (a)(b) 9,895 610,027 -------------------- Medical Products (0.87%) Henry Schein Inc (a)(b) 13,697 695,397 Varian Medical Systems Inc (b) 19,961 920,801 -------------------- 1,616,198 -------------------- Medical Sterilization Products (0.14%) STERIS Corp 9,993 258,219 -------------------- Metal Processors & Fabrication (1.62%) Commercial Metals Co 18,285 495,706 Precision Castparts Corp 20,985 1,865,357 Timken Co 14,557 416,476 Worthington Industries Inc (a) 11,262 216,005 -------------------- 2,993,544 -------------------- Motion Pictures & Services (0.11%) Macrovision Corp (a)(b) 7,925 195,985 -------------------- Multi-Line Insurance (1.38%) American Financial Group Inc/OH (a) 10,831 382,551 Hanover Insurance Group Inc. 7,887 378,970 HCC Insurance Holdings Inc (a) 17,195 536,484 Horace Mann Educators Corp 6,657 132,008 Old Republic International Corp 35,640 794,772 Unitrin Inc 6,228 318,936 -------------------- 2,543,721 -------------------- Multimedia (0.22%) Belo Corp 13,581 254,237 Media General Inc 3,723 148,957 -------------------- 403,194 -------------------- Networking Products (0.38%) 3Com Corp (b) 61,328 239,179 Polycom Inc (a)(b) 13,723 461,367 -------------------- 700,546 -------------------- Non-Hazardous Waste Disposal (0.41%) Republic Services Inc 17,554 759,211 -------------------- Office Furnishings - Original (0.40%) Herman Miller Inc (a) 10,040 377,504 HNI Corp (a) 7,518 364,924 -------------------- 742,428 -------------------- Oil - Field Services (0.42%) Hanover Compressor Co (a)(b) 15,967 308,961 Tidewater Inc (a) 8,887 458,303 -------------------- 767,264 -------------------- Oil & Gas Drilling (0.95%) Helmerich & Payne Inc 16,267 436,444 Patterson-UTI Energy Inc (a) 24,570 593,365 Pride International Inc (b) 25,370 730,910 -------------------- 1,760,719 -------------------- Oil Company - Exploration & Production (3.74%) Cimarex Energy Co 12,776 478,844 Denbury Resources Inc (b) 18,558 514,056 Encore Acquisition Co (b) 8,182 212,323 Forest Oil Corp (a)(b) 8,466 270,235 Newfield Exploration Co (b) 19,944 853,803 Noble Energy Inc 26,878 1,435,554 Pioneer Natural Resources Co 18,961 777,401 Plains Exploration & Production Co (b) 11,861 572,175 Pogo Producing Co 9,029 447,387 Quicksilver Resources Inc (a)(b) 8,513 337,625 Southwestern Energy Co (b) 26,021 1,000,768 -------------------- 6,900,171 -------------------- Oil Field Machinery & Equipment (1.26%) Cameron International Corp (b) 17,192 902,580 FMC Technologies Inc (a)(b) 10,520 651,504 Grant Prideco Inc (b) 19,800 775,764 -------------------- 2,329,848 -------------------- Optical Supplies (0.18%) Advanced Medical Optics Inc (a)(b) 9,158 336,557 -------------------- Paper & Related Products (0.39%) Bowater Inc (a) 8,649 236,723 Glatfelter (a) 6,925 112,116 Louisiana-Pacific Corp (a) 16,117 369,240 -------------------- 718,079 -------------------- Pharmacy Services (0.41%) Omnicare Inc 18,777 754,648 -------------------- Physical Therapy & Rehabilitation Centers (0.17%) Psychiatric Solutions Inc (b) 8,236 320,710 -------------------- Pipelines (1.11%) Equitable Resources Inc 18,668 807,391 National Fuel Gas Co 12,740 518,391 Oneok Inc 17,043 731,315 -------------------- 2,057,097 -------------------- Power Converter & Supply Equipment (0.24%) Hubbell Inc (a) 9,315 448,983 -------------------- Printing - Commercial (0.06%) Valassis Communications Inc (a)(b) 7,393 113,630 -------------------- Property & Casualty Insurance (1.55%) Fidelity National Financial Inc 34,078 809,012 First American Corp 14,945 633,369 Mercury General Corp 5,497 286,723 Ohio Casualty Corp (a) 9,432 278,621 WR Berkley Corp 26,076 862,855 -------------------- 2,870,580 -------------------- Publicly Traded Investment Fund (0.82%) iShares S&P MidCap 400 Index Fund (a) 18,350 1,522,867 -------------------- Publishing - Books (0.21%) John Wiley & Sons Inc 6,813 253,171 Scholastic Corp (b) 3,985 140,870 -------------------- 394,041 -------------------- Publishing - Newspapers (0.49%) Lee Enterprises Inc (a) 7,095 235,767 Washington Post Co/The 877 668,888 -------------------- 904,655 -------------------- Publishing - Periodicals (0.13%) Reader's Digest Association Inc/The 14,688 248,080 -------------------- Racetracks (0.16%) International Speedway Corp 5,530 288,832 -------------------- Radio (0.11%) Entercom Communications Corp (a) 4,333 122,147 Westwood One Inc (a) 10,842 75,135 -------------------- 197,282 -------------------- Reinsurance (0.51%) Everest Re Group Ltd 10,051 940,774 -------------------- REITS - Apartments (0.37%) United Dominion Realty Trust Inc (a) 20,828 682,950 -------------------- REITS - Diversified (0.94%) Liberty Property Trust (a) 13,982 723,429 Longview Fibre Co 10,169 213,346 Potlatch Corp 5,992 282,882 Rayonier Inc 11,852 512,006 -------------------- 1,731,663 -------------------- REITS - Hotels (0.35%) Hospitality Properties Trust 13,335 650,748 -------------------- REITS - Office Property (0.50%) Highwoods Properties Inc 8,669 378,835 Mack-Cali Realty Corp 9,681 538,651 -------------------- 917,486 -------------------- REITS - Regional Malls (0.57%) Macerich Co/The 11,104 1,060,765 -------------------- REITS - Shopping Centers (1.68%) Developers Diversified Realty Corp (a) 16,840 1,130,301 New Plan Excel Realty Trust (a) 15,972 465,105 Regency Centers Corp 10,656 928,138 Weingarten Realty Investors (a) 11,648 576,692 -------------------- 3,100,236 -------------------- REITS - Warehouse & Industrial (0.45%) AMB Property Corp 13,811 840,399 -------------------- Rental - Auto & Equipment (0.53%) Avis Budget Group Inc 15,598 397,125 Rent-A-Center Inc/TX (a)(b) 10,832 319,111 United Rentals Inc (a)(b) 10,285 264,839 -------------------- 981,075 -------------------- Research & Development (0.30%) Pharmaceutical Product Development Inc (a) 15,951 550,310 -------------------- Respiratory Products (0.33%) Resmed Inc (a)(b) 11,758 618,236 -------------------- Retail - Apparel & Shoe (3.41%) Abercrombie & Fitch Co 13,646 1,085,403 Aeropostale Inc (a)(b) 8,130 292,192 American Eagle Outfitters 31,030 1,004,751 AnnTaylor Stores Corp (b) 11,105 383,122 Charming Shoppes Inc (a)(b) 19,067 250,159 Chico's FAS Inc (b) 27,178 567,477 Claire's Stores Inc 14,391 495,050 Foot Locker Inc 24,068 540,086 Pacific Sunwear Of California (b) 10,741 210,524 Payless Shoesource Inc (b) 10,203 346,392 Ross Stores Inc 21,610 699,948 Urban Outfitters Inc (a)(b) 17,317 422,535 -------------------- 6,297,639 -------------------- Retail - Auto Parts (0.67%) Advance Auto Parts Inc 16,275 617,636 O'Reilly Automotive Inc (b) 17,573 613,474 -------------------- 1,231,110 -------------------- Retail - Automobile (0.69%) Carmax Inc (a)(b) 16,519 948,686 Retail - Automobile Copart Inc (a)(b) 10,925 321,632 -------------------- 1,270,318 -------------------- Retail - Bookstore (0.27%) Barnes & Noble Inc 7,913 308,053 Borders Group Inc (a) 9,187 192,743 -------------------- 500,796 -------------------- Retail - Catalog Shopping (0.29%) Coldwater Creek Inc (a)(b) 9,356 174,490 MSC Industrial Direct Co 8,390 362,364 -------------------- 536,854 -------------------- Retail - Computer Equipment (0.34%) GameStop Corp (a)(b) 11,728 626,627 -------------------- Retail - Discount (0.49%) 99 Cents Only Stores (b) 7,208 107,039 BJ's Wholesale Club Inc (b) 9,950 303,873 Dollar Tree Stores Inc (b) 15,866 499,144 -------------------- 910,056 -------------------- Retail - Hair Salons (0.16%) Regis Corp 6,968 291,193 -------------------- Retail - Mail Order (0.33%) Williams-Sonoma Inc 17,343 607,005 -------------------- Retail - Major Department Store (0.22%) Saks Inc (a) 21,475 402,871 -------------------- Retail - Pet Food & Supplies (0.35%) PetSmart Inc 20,986 640,912 -------------------- Retail - Restaurants (1.25%) Applebees International Inc (a) 11,480 289,755 Bob Evans Farms Inc 5,661 192,304 Brinker International Inc 18,996 599,324 CBRL Group Inc 4,015 188,263 Cheesecake Factory/The (a)(b) 12,033 332,472 OSI Restaurant Partners Inc 11,510 454,530 Ruby Tuesday Inc 9,063 259,293 -------------------- 2,315,941 -------------------- Retail - Sporting Goods (0.16%) Dick's Sporting Goods Inc (a)(b) 5,815 299,414 -------------------- Rubber - Tires (0.05%) Bandag Inc (a) 1,775 90,436 -------------------- Savings & Loans - Thrifts (0.88%) Astoria Financial Corp 13,180 389,996 First Niagara Financial Group Inc 17,124 248,127 New York Community Bancorp Inc 40,163 678,353 Washington Federal Inc 13,511 313,320 -------------------- 1,629,796 -------------------- Schools (1.07%) Career Education Corp (a)(b) 14,655 420,159 Corinthian Colleges Inc (a)(b) 13,352 174,377 DeVry Inc 9,201 259,100 Schools ITT Educational Services Inc (b) 4,989 387,147 Laureate Education Inc (a)(b) 7,954 479,944 Strayer Education Inc (a) 2,221 252,683 -------------------- 1,973,410 -------------------- Semiconductor Component - Integrated Circuits (0.79%) Atmel Corp (b) 66,243 396,133 Cypress Semiconductor Corp (a)(b) 22,252 410,549 Integrated Device Technology Inc (b) 30,720 464,794 Micrel Inc (b) 8,841 89,383 Triquint Semiconductor Inc (b) 21,227 99,767 -------------------- 1,460,626 -------------------- Semiconductor Equipment (0.55%) Lam Research Corp (a)(b) 22,034 1,009,378 -------------------- Soap & Cleaning Products (0.25%) Church & Dwight Co Inc (a) 10,088 457,087 -------------------- Steel - Producers (0.52%) Reliance Steel & Aluminum Co 9,927 413,360 Steel Dynamics Inc 14,081 552,116 -------------------- 965,476 -------------------- Telecommunication Equipment (1.15%) Adtran Inc 9,734 215,705 Andrew Corp (b) 24,689 262,197 CommScope Inc (a)(b) 9,218 297,834 Harris Corp 20,740 1,054,007 Plantronics Inc 7,359 144,972 Utstarcom Inc (a)(b) 16,444 145,201 -------------------- 2,119,916 -------------------- Telephone - Integrated (0.59%) Cincinnati Bell Inc (b)(c) 38,228 185,788 Telephone & Data Systems Inc 16,096 900,571 -------------------- 1,086,359 -------------------- Textile - Home Furnishings (0.37%) Mohawk Industries Inc (a)(b) 8,273 681,861 -------------------- Tobacco (0.10%) Universal Corp/Richmond VA 3,986 192,643 -------------------- Transactional Software (0.11%) Transaction Systems Architects Inc (b) 5,802 209,742 -------------------- Transport - Equipment & Leasing (0.20%) GATX Corp (a) 7,929 361,562 -------------------- Transport - Marine (0.33%) Alexander & Baldwin Inc (a) 6,608 326,700 Overseas Shipholding Group 4,586 284,928 -------------------- 611,628 -------------------- Transport - Services (1.54%) CH Robinson Worldwide Inc 26,931 1,428,690 Expeditors International Washington Inc (c) 32,964 1,407,233 -------------------- 2,835,923 -------------------- Transport - Truck (0.84%) Con-way Inc 7,277 361,958 Transport - Truck JB Hunt Transport Services Inc (a) 16,065 403,713 Swift Transportation Co Inc (a)(b) 8,340 254,537 Werner Enterprises Inc (a) 7,771 147,727 YRC Worldwide Inc (a)(b) 8,833 391,744 -------------------- 1,559,679 -------------------- Veterinary Diagnostics (0.24%) VCA Antech Inc (b) 12,912 434,101 -------------------- Water (0.25%) Aqua America Inc (a) 20,426 453,661 -------------------- Wireless Equipment (0.19%) Powerwave Technologies Inc (a)(b) 20,112 117,454 RF Micro Devices Inc (a)(b) 29,769 229,817 -------------------- 347,271 -------------------- TOTAL COMMON STOCKS $ 179,613,044 -------------------- Principal Amount Value ----------------------- -------- ------- SHORT TERM INVESTMENTS (2.61%) Commercial Paper (2.61%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 4,828,369 4,828,369 -------------------- TOTAL SHORT TERM INVESTMENTS $ 4,828,369 -------------------- MONEY MARKET FUNDS (24.56%) Money Center Banks (24.56%) BNY Institutional Cash Reserve Fund (d) 45,370,000 45,370,000 -------------------- TOTAL MONEY MARKET FUNDS $ 45,370,000 -------------------- Total Investments $ 229,811,413 Liabilities in Excess of Other Assets, Net - (24.40)% (45,081,751) -------------------- TOTAL NET ASSETS - 100.00% $ 184,729,662 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $595,698 or 0.32% of net assets. (d) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 35,040,245 Unrealized Depreciation (6,824,452) -------------------- Net Unrealized Appreciation (Depreciation) 28,215,793 Cost for federal income tax purposes 201,595,620 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ---------------------------------------------------------------------- Buy: MidCap 400; March 2007 12 $4,893,000 $5,021,400 $128,400 Portfolio Summary (unaudited) ------------------------------------------------- ------------------- Sector Percent ------------------------------------------------- ------------------- Financial 41.35% Consumer, Non-cyclical 16.69% Industrial 15.54% Consumer, Cyclical 14.62% Technology 9.16% Energy 7.83% Utilities 6.39% Communications 4.96% Basic Materials 4.06% Mortgage Securities 2.61% Funds 0.82% Diversified 0.37% Liabilities in Excess of Other Assets, Net (-24.40%) ------------ TOTAL NET ASSETS 100.00% ============ Other Assets Summary (unaudited) ------------------------------------------------- ------------------- Asset Type Percent ------------------------------------------------- ------------------- Futures 2.72%
Schedule of Investments January 31, 2007 (unaudited) MidCap Stock Fund Shares Held Value ----------------- ------------------- COMMON STOCKS (96.17%) Airlines (4.25%) Alaska Air Group Inc (a) 199,900 $ 8,565,715 AMR Corp (a) 433,000 16,042,650 Continental Airlines Inc (a) 322,300 13,372,227 -------------------- 37,980,592 -------------------- Auto - Medium & Heavy Duty Trucks (0.94%) Paccar Inc 126,350 8,449,024 -------------------- Auto/Truck Parts & Equipment - Original (1.95%) Magna International Inc 222,800 17,405,136 -------------------- Cellular Telecommunications (0.32%) US Cellular Corp (a) 39,300 2,833,530 -------------------- Chemicals - Specialty (3.54%) Cabot Corp 223,100 9,981,494 Lubrizol Corp 419,600 21,617,792 -------------------- 31,599,286 -------------------- Coatings & Paint (2.30%) Valspar Corp 729,500 20,557,310 -------------------- Commercial Banks (2.06%) TCF Financial Corp 727,000 18,451,260 -------------------- Commercial Services (2.43%) Convergys Corp (a) 89,000 2,317,560 Weight Watchers International Inc 358,800 19,385,964 -------------------- 21,703,524 -------------------- Computers - Integrated Systems (1.32%) Diebold Inc 254,000 11,772,900 -------------------- Computers - Memory Devices (2.15%) Network Appliance Inc (a) 510,500 19,194,800 -------------------- Computers - Peripheral Equipment (1.60%) Electronics for Imaging (a) 622,300 14,344,015 -------------------- Cosmetics & Toiletries (0.61%) Estee Lauder Cos Inc/The 114,000 5,415,000 -------------------- Data Processing & Management (3.76%) Acxiom Corp 580,600 13,179,620 Fidelity National Information Services 479,423 20,385,066 -------------------- 33,564,686 -------------------- Diversified Manufacturing Operations (2.93%) Federal Signal Corp 634,900 10,425,058 Teleflex Inc 235,600 15,733,368 -------------------- 26,158,426 -------------------- Electric - Integrated (2.24%) Pinnacle West Capital Corp 409,600 19,984,384 -------------------- Electronic Components - Semiconductors (2.70%) Microchip Technology Inc 694,800 24,151,248 -------------------- Electronic Design Automation (0.26%) Synopsys Inc (a) 88,700 2,359,420 -------------------- Electronic Parts Distribution (1.40%) Arrow Electronics Inc (a) 354,500 12,496,125 -------------------- Enterprise Software & Services (1.58%) BMC Software Inc (a) 411,100 14,137,729 -------------------- Finance - Investment Banker & Broker (1.48%) AG Edwards Inc 199,300 13,195,653 -------------------- Financial Guarantee Insurance (4.77%) AMBAC Financial Group Inc 203,200 17,901,920 MGIC Investment Corp 234,400 14,467,168 PMI Group Inc/The 215,200 10,290,864 -------------------- 42,659,952 -------------------- Food - Dairy Products (0.58%) Dean Foods Co (a) 117,350 5,192,738 -------------------- Gas - Distribution (2.44%) NiSource Inc 915,600 21,791,280 -------------------- Machinery Tools & Related Products (2.07%) Lincoln Electric Holdings Inc 305,000 18,534,850 -------------------- Medical - Generic Drugs (1.89%) Mylan Laboratories Inc 762,825 16,888,945 -------------------- Medical - Hospitals (2.09%) Universal Health Services Inc 322,400 18,676,632 -------------------- Medical - Wholesale Drug Distribution (0.73%) AmerisourceBergen Corp 124,000 6,495,120 -------------------- Medical Information Systems (2.13%) IMS Health Inc 660,082 19,049,967 -------------------- Medical Instruments (2.15%) Edwards Lifesciences Corp (a) 375,100 19,190,116 -------------------- Medical Laboratory & Testing Service (2.07%) Covance Inc (a) 299,600 18,470,340 -------------------- Multi-Line Insurance (2.54%) HCC Insurance Holdings Inc 726,600 22,669,920 -------------------- Non-Hazardous Waste Disposal (3.09%) Allied Waste Industries Inc (a) 676,600 8,653,714 Non-Hazardous Waste Disposal Republic Services Inc 439,300 18,999,725 -------------------- 27,653,439 -------------------- Office Furnishings - Original (2.29%) HNI Corp 420,900 20,430,486 -------------------- Oil - Field Services (2.23%) Tidewater Inc 386,100 19,911,177 -------------------- Oil & Gas Drilling (2.38%) Nabors Industries Ltd (a) 702,200 21,262,616 -------------------- Oil Company - Exploration & Production (4.04%) Cimarex Energy Co 385,700 14,456,036 Noble Energy Inc 404,900 21,625,709 -------------------- 36,081,745 -------------------- Oil Refining & Marketing (0.52%) Tesoro Corp 56,200 4,630,318 -------------------- Pharmacy Services (1.29%) Express Scripts Inc (a) 165,300 11,491,656 -------------------- Property & Casualty Insurance (1.99%) Fidelity National Financial Inc 750,538 17,817,772 -------------------- Reinsurance (1.02%) Max Re Capital Ltd 380,700 9,136,800 -------------------- REITS - Regional Malls (2.39%) General Growth Properties Inc 347,000 21,347,440 -------------------- Rental - Auto & Equipment (2.11%) Aaron Rents Inc 639,800 18,886,896 -------------------- Retail - Apparel & Shoe (1.53%) Nordstrom Inc 245,500 13,676,805 -------------------- Retail - Jewelry (2.05%) Tiffany & Co 467,300 18,346,198 -------------------- Retail - Restaurants (2.14%) Papa John's International Inc (a) 369,400 10,202,828 Yum! Brands Inc 149,200 8,953,492 -------------------- 19,156,320 -------------------- Savings & Loans - Thrifts (2.29%) Washington Federal Inc 881,750 20,447,783 -------------------- Toys (1.53%) Mattel Inc 561,200 13,670,832 -------------------- TOTAL COMMON STOCKS $ 859,322,191 -------------------- Principal Amount Value ------------------- -------- -------------------- SHORT TERM INVESTMENTS (3.51%) Commercial Paper (3.51%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (a) 31,379,904 31,379,904 -------------------- TOTAL SHORT TERM INVESTMENTS $ 31,379,904 -------------------- Total Investments $ 890,702,095 Other Assets in Excess of Liabilities, Net - 0.32% 2,845,676 -------------------- TOTAL NET ASSETS - 100.00% $ 893,547,771 ==================== --------------------
(a) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 289,287,401 Unrealized Depreciation (2,975,931) -------------------- Net Unrealized Appreciation (Depreciation) 286,311,470 Cost for federal income tax purposes 604,390,625 Portfolio Summary (unaudited) ----------------------------------------------------------- -------------------- Sector Percent ----------------------------------------------------------- -------------------- Financial 18.55% Consumer, Cyclical 16.69% Consumer, Non-cyclical 15.94% Technology 15.51% Industrial 9.49% Energy 9.16% Basic Materials 5.84% Utilities 4.67% Mortgage Securities 3.51% Communications 0.32% Other Assets in Excess of Liabilities, Net 0.32% -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) MidCap Value Fund Shares Held Value ------------------- -------- -------------------- COMMON STOCKS (99.69%) Aerospace & Defense Equipment (1.45%) Alliant Techsystems Inc (a) 4,300 $ 348,300 Goodrich Corp 37,600 1,843,152 -------------------- 2,191,452 -------------------- Airlines (0.11%) Continental Airlines Inc (a)(b) 4,200 174,258 -------------------- Apparel Manufacturers (0.39%) Liz Claiborne Inc 8,500 377,400 Polo Ralph Lauren Corp 2,612 214,315 -------------------- 591,715 -------------------- Appliances (0.89%) Whirlpool Corp (b) 14,800 1,353,164 -------------------- Auto/Truck Parts & Equipment - Original (0.61%) Autoliv Inc 15,300 923,202 -------------------- Batteries & Battery Systems (0.20%) Energizer Holdings Inc (a) 3,500 298,305 -------------------- Broadcasting Services & Programming (0.85%) Liberty Media Holding Corp - Capital (a) 12,500 1,278,750 -------------------- Building - Mobile Home & Manufactured Housing (0.49%) Winnebago Industries (b) 22,200 744,588 -------------------- Chemicals - Diversified (0.79%) Celanese Corp 10,400 273,000 FMC Corp 5,300 412,605 Lyondell Chemical Co (b) 16,000 505,920 -------------------- 1,191,525 -------------------- Chemicals - Specialty (0.72%) Albemarle Corp 7,100 553,658 International Flavors & Fragrances Inc 5,100 247,248 Sigma-Aldrich Corp (b) 7,400 280,830 -------------------- 1,081,736 -------------------- Coatings & Paint (1.97%) Sherwin-Williams Co/The 39,200 2,708,720 Valspar Corp (b) 9,800 276,164 -------------------- 2,984,884 -------------------- Commercial Banks (3.25%) Compass Bancshares Inc (b) 11,700 712,530 M&T Bank Corp (b) 7,540 914,677 Marshall & Ilsley Corp 24,300 1,143,558 South Financial Group Inc/The (b) 58,500 1,511,640 Webster Financial Corp 12,600 627,732 -------------------- 4,910,137 -------------------- Commercial Services (0.40%) Convergys Corp (a) 23,000 598,920 -------------------- Commercial Services - Finance (0.30%) Equifax Inc (b) 11,000 456,830 -------------------- Computer Services (0.79%) Computer Sciences Corp (a) 10,600 556,076 Electronic Data Systems Corp 24,000 631,440 -------------------- 1,187,516 -------------------- Computers - Integrated Systems (0.60%) NCR Corp (a) 19,074 903,917 -------------------- Computers - Peripheral Equipment (0.31%) Lexmark International Inc (a)(b) 7,500 472,725 -------------------- Containers - Paper & Plastic (0.24%) Bemis Co 10,500 356,055 -------------------- Cruise Lines (1.32%) Royal Caribbean Cruises Ltd (b) 44,300 1,990,399 -------------------- Data Processing & Management (1.09%) Global Payments Inc (b) 3,600 135,936 Mastercard Inc (b) 13,500 1,505,925 -------------------- 1,641,861 -------------------- Distribution & Wholesale (1.98%) Genuine Parts Co (b) 32,100 1,525,392 Tech Data Corp (a)(b) 30,389 1,128,647 WW Grainger Inc 4,400 341,660 -------------------- 2,995,699 -------------------- Diversified Manufacturing Operations (2.75%) Dover Corp 7,730 383,408 Eaton Corp 8,650 677,728 ITT Corp 28,896 1,723,646 Parker Hannifin Corp 10,800 893,808 Textron Inc 5,200 484,484 -------------------- 4,163,074 -------------------- Electric - Integrated (9.43%) Allegheny Energy Inc (a) 4,027 187,336 American Electric Power Co Inc 27,900 1,214,487 Centerpoint Energy Inc (b) 97,300 1,679,398 Entergy Corp 15,800 1,467,030 FirstEnergy Corp 3,909 231,921 MDU Resources Group Inc 55,100 1,424,335 Northeast Utilities 31,000 857,150 OGE Energy Corp (b) 21,750 842,160 PG&E Corp 31,200 1,456,416 Pinnacle West Capital Corp 32,900 1,605,191 Xcel Energy Inc (b) 140,600 3,280,198 -------------------- 14,245,622 -------------------- Electric Products - Miscellaneous (0.12%) Ametek Inc 5,238 181,549 -------------------- Electronic Components - Semiconductors (0.16%) Intersil Corp (b) 10,300 242,668 -------------------- Electronic Design Automation (0.22%) Cadence Design Systems Inc (a) 17,800 336,420 -------------------- Electronics - Military (1.31%) L-3 Communications Holdings Inc 24,100 1,984,394 -------------------- Engines - Internal Combustion (0.63%) Briggs & Stratton Corp (b) 22,200 658,008 Cummins Inc (b) 2,200 296,032 -------------------- 954,040 -------------------- Enterprise Software & Services (0.11%) BEA Systems Inc (a) 13,100 161,523 -------------------- Finance - Auto Loans (0.54%) AmeriCredit Corp (a)(b) 30,100 816,914 -------------------- Finance - Commercial (0.80%) CIT Group Inc 20,400 1,202,784 -------------------- Finance - Consumer Loans (1.19%) First Marblehead Corp/The (b) 33,150 1,803,360 -------------------- Financial Guarantee Insurance (3.23%) AMBAC Financial Group Inc 10,500 925,050 MGIC Investment Corp 11,547 712,681 PMI Group Inc/The 16,200 774,684 Radian Group Inc (b) 41,000 2,469,020 -------------------- 4,881,435 -------------------- Food - Meat Products (0.19%) Hormel Foods Corp 7,700 291,830 -------------------- Food - Miscellaneous/Diversified (1.71%) Campbell Soup Co (b) 21,700 835,016 ConAgra Foods Inc 29,400 755,874 General Mills Inc 2,400 137,376 HJ Heinz Co 12,000 565,440 McCormick & Co Inc/MD 7,400 288,896 -------------------- 2,582,602 -------------------- Food - Retail (1.00%) Kroger Co/The 52,300 1,338,880 Safeway Inc 4,700 169,341 -------------------- 1,508,221 -------------------- Funeral Services & Related Items (0.43%) Service Corp International/US 60,900 648,585 -------------------- Gas - Distribution (1.36%) Sempra Energy 24,400 1,400,072 UGI Corp 24,000 657,840 -------------------- 2,057,912 -------------------- Health Care Cost Containment (0.12%) McKesson Corp 3,400 189,550 -------------------- Home Decoration Products (0.49%) Newell Rubbermaid Inc 25,200 744,408 -------------------- Hospital Beds & Equipment (1.21%) Hillenbrand Industries Inc (b) 32,200 1,835,722 -------------------- Hotels & Motels (0.49%) Starwood Hotels & Resorts Worldwide Inc 11,800 738,444 -------------------- Human Resources (0.32%) Manpower Inc 6,600 481,338 -------------------- Independent Power Producer (1.12%) Mirant Corp (a) 34,600 1,182,628 NRG Energy Inc (a)(b) 8,600 515,398 -------------------- 1,698,026 -------------------- Industrial Gases (1.03%) Air Products & Chemicals Inc 16,800 1,254,288 Airgas Inc 7,400 307,988 -------------------- 1,562,276 -------------------- Instruments - Scientific (0.51%) Applera Corp - Applied Biosystems Group 11,522 400,505 Thermo Fisher Scientific Inc (a) 7,600 363,660 -------------------- 764,165 -------------------- Insurance Brokers (1.34%) Willis Group Holdings Ltd 49,500 2,022,570 -------------------- Investment Management & Advisory Services (0.79%) Ameriprise Financial Inc 20,300 1,196,888 -------------------- Life & Health Insurance (1.49%) Cigna Corp 8,900 1,178,360 Lincoln National Corp 3,300 221,562 Nationwide Financial Services 7,900 431,735 Reinsurance Group of America Inc 7,300 424,495 -------------------- 2,256,152 -------------------- Machinery - Construction & Mining (0.46%) Terex Corp (a) 12,100 688,369 -------------------- Medical - Drugs (0.63%) Valeant Pharmaceuticals International (b) 53,900 950,257 -------------------- Medical - HMO (1.45%) Coventry Health Care Inc (a) 38,900 2,005,295 Health Net Inc (a) 3,800 185,098 -------------------- 2,190,393 -------------------- Medical - Hospitals (1.24%) Triad Hospitals Inc (a) 44,200 1,878,500 -------------------- Medical - Wholesale Drug Distribution (0.51%) AmerisourceBergen Corp (b) 14,800 775,224 -------------------- Metal Processors & Fabrication (0.20%) Precision Castparts Corp 3,400 302,226 -------------------- Multi-Line Insurance (1.69%) American Financial Group Inc/OH 17,100 603,972 Assurant Inc (b) 15,697 872,439 Multi-Line Insurance XL Capital Ltd 15,600 1,076,400 -------------------- 2,552,811 -------------------- Music (0.33%) Warner Music Group Corp 23,200 497,408 -------------------- Non-Hazardous Waste Disposal (0.31%) Republic Services Inc 10,700 462,775 -------------------- Office Automation & Equipment (0.28%) Xerox Corp (a) 25,000 430,000 -------------------- Oil - Field Services (0.59%) SEACOR Holdings Inc (a)(b) 3,000 303,690 Smith International Inc 4,600 182,528 Tidewater Inc (b) 7,900 407,403 -------------------- 893,621 -------------------- Oil Company - Exploration & Production (1.04%) Murphy Oil Corp (b) 16,200 805,302 Noble Energy Inc 14,500 774,445 -------------------- 1,579,747 -------------------- Oil Company - Integrated (0.44%) Marathon Oil Corp 7,400 668,516 -------------------- Oil Field Machinery & Equipment (0.66%) Cameron International Corp (a)(b) 5,400 283,500 Grant Prideco Inc (a) 4,700 184,146 National Oilwell Varco Inc (a) 8,700 527,568 -------------------- 995,214 -------------------- Oil Refining & Marketing (0.81%) Frontier Oil Corp 15,000 426,150 Tesoro Corp (b) 9,700 799,183 -------------------- 1,225,333 -------------------- Pharmacy Services (0.88%) Omnicare Inc (b) 33,100 1,330,289 -------------------- Physical Therapy & Rehabilitation Centers (0.77%) Healthsouth Corp (a)(b) 50,100 1,171,839 -------------------- Pipelines (0.89%) El Paso Corp 42,300 656,496 Oneok Inc 16,000 686,560 -------------------- 1,343,056 -------------------- Power Converter & Supply Equipment (1.61%) American Power Conversion Corp 79,000 2,428,460 -------------------- Property & Casualty Insurance (1.07%) Philadelphia Consolidated Holding Co (a)(b) 11,720 528,103 Safeco Corp 9,100 582,491 WR Berkley Corp 15,461 511,605 -------------------- 1,622,199 -------------------- Publishing - Periodicals (0.98%) Idearc Inc (b) 45,600 1,478,352 -------------------- Regional Banks (1.38%) Comerica Inc 13,000 770,900 Regional Banks Keycorp 34,400 1,313,048 -------------------- 2,083,948 -------------------- Reinsurance (0.96%) Axis Capital Holdings Ltd (b) 44,200 1,456,390 -------------------- REITS - Apartments (1.64%) AvalonBay Communities Inc (b) 6,700 994,012 Camden Property Trust (b) 9,100 713,440 Essex Property Trust Inc (b) 5,300 765,002 -------------------- 2,472,454 -------------------- REITS - Diversified (0.97%) Duke Realty Corp (b) 16,100 710,332 Liberty Property Trust 14,506 750,540 -------------------- 1,460,872 -------------------- REITS - Healthcare (0.75%) Health Care Property Investors Inc 17,000 701,250 Ventas Inc (b) 9,200 425,500 -------------------- 1,126,750 -------------------- REITS - Hotels (0.50%) Hospitality Properties Trust 15,500 756,400 -------------------- REITS - Mortgage (0.84%) Annaly Capital Management Inc (b) 92,000 1,267,760 -------------------- REITS - Office Property (2.18%) American Financial Realty Trust (b) 109,000 1,218,620 Boston Properties Inc (b) 11,000 1,386,990 Equity Office Properties Trust 2,400 133,320 Mack-Cali Realty Corp (b) 10,100 561,964 -------------------- 3,300,894 -------------------- REITS - Regional Malls (0.23%) Taubman Centers Inc (b) 5,900 343,793 -------------------- REITS - Shopping Centers (0.63%) Federal Realty Invs Trust (b) 4,700 439,074 Weingarten Realty Investors (b) 10,300 509,953 -------------------- 949,027 -------------------- REITS - Warehouse & Industrial (1.85%) AMB Property Corp 14,600 888,410 First Industrial Realty Trust Inc (b) 21,700 1,025,542 Prologis 13,500 877,500 -------------------- 2,791,452 -------------------- Retail - Apparel & Shoe (0.22%) AnnTaylor Stores Corp (a) 4,600 158,700 Nordstrom Inc (b) 3,000 167,130 -------------------- 325,830 -------------------- Retail - Auto Parts (1.45%) Advance Auto Parts Inc 57,900 2,197,305 -------------------- Retail - Automobile (0.34%) United Auto Group Inc 21,600 517,752 -------------------- Retail - Discount (1.82%) Dollar Tree Stores Inc (a) 12,700 399,542 Retail - Discount Family Dollar Stores Inc 72,700 2,355,480 -------------------- 2,755,022 -------------------- Retail - Major Department Store (0.08%) JC Penney Co Inc 1,507 122,429 -------------------- Retail - Office Supplies (0.52%) Office Depot Inc (a)(b) 3,200 119,648 OfficeMax Inc 13,700 661,573 -------------------- 781,221 -------------------- Retail - Regional Department Store (0.21%) Dillard's Inc (b) 9,200 315,928 -------------------- Savings & Loans - Thrifts (1.76%) New York Community Bancorp Inc 53,500 903,615 People's Bank/Bridgeport CT 39,008 1,754,970 -------------------- 2,658,585 -------------------- Semiconductor Component - Integrated Circuits (0.27%) Atmel Corp (a) 68,000 406,640 -------------------- Semiconductor Equipment (0.16%) Teradyne Inc (a)(b) 16,600 247,340 -------------------- Steel - Producers (0.81%) Carpenter Technology Corp 2,800 327,880 Steel Dynamics Inc 22,900 897,909 -------------------- 1,225,789 -------------------- Telecommunication Equipment (0.40%) Avaya Inc (a) 32,600 418,258 Harris Corp (b) 3,609 183,409 -------------------- 601,667 -------------------- Telecommunication Equipment - Fiber Optics (0.15%) Ciena Corp (a)(b) 8,228 231,124 -------------------- Telecommunication Services (0.36%) Embarq Corp 9,700 538,447 -------------------- Telephone - Integrated (0.65%) Qwest Communications International Inc (a)(b) 119,800 976,370 -------------------- Tobacco (4.41%) Loews Corp - Carolina Group 44,479 3,048,591 Reynolds American Inc (b) 33,702 2,173,779 UST Inc (b) 25,000 1,436,000 -------------------- 6,658,370 -------------------- Tools - Hand Held (1.69%) Snap-On Inc 15,800 761,718 Stanley Works/The (b) 31,300 1,792,238 -------------------- 2,553,956 -------------------- Toys (1.72%) Hasbro Inc 29,500 837,800 Mattel Inc 72,400 1,763,664 -------------------- 2,601,464 -------------------- Transport - Services (1.06%) Ryder System Inc (b) 29,300 1,598,022 -------------------- TOTAL COMMON STOCKS $ 150,667,700 -------------------- Principal Amount Value ------------------- -------- -------------------- SHORT TERM INVESTMENTS (0.33%) Commercial Paper (0.33%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (a) 493,844 493,844 -------------------- TOTAL SHORT TERM INVESTMENTS $ 493,844 -------------------- MONEY MARKET FUNDS (30.74%) Money Center Banks (30.74%) BNY Institutional Cash Reserve Fund (c) 46,466,000 46,466,000 -------------------- TOTAL MONEY MARKET FUNDS $ 46,466,000 -------------------- Total Investments $ 197,627,544 Liabilities in Excess of Other Assets, Net - (30.76)% (46,489,802) -------------------- TOTAL NET ASSETS - 100.00% $ 151,137,742 ==================== -------------------- ====================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 22,088,715 Unrealized Depreciation (1,617,997) -------------------- Net Unrealized Appreciation (Depreciation) 20,470,718 Cost for federal income tax purposes 177,156,826 Portfolio Summary (unaudited) ----------------------------------------------------------- -------------------- Sector Percent ----------------------------------------------------------- -------------------- Financial 59.81% Consumer, Non-cyclical 15.58% Consumer, Cyclical 13.48% Industrial 12.52% Utilities 11.91% Basic Materials 5.32% Energy 4.44% Technology 3.99% Communications 3.38% Mortgage Securities 0.33% Liabilities in Excess of Other Assets, Net (-30.76%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Money Market Fund Principal Amount Value COMMERCIAL PAPER (65.46%) Asset Backed Securities (5.63%) CAFCO 5.25%, 2/ 8/2007 3,800,000 $ 3,796,121 5.27%, 2/20/2007 3,800,000 3,789,431 5.25%, 2/22/2007 3,100,000 3,090,506 5.245%, 2/27/2007 4,400,000 4,383,333 5.26%, 3/22/2007 12,950,000 12,857,285 FCAR Owner Trust I 5.25%, 2/13/2007 4,300,000 4,292,475 5.26%, 2/21/2007 15,000,000 14,956,167 5.24%, 3/15/2007 3,800,000 3,776,769 5.23%, 3/23/2007 3,800,000 3,772,397 5.25%, 4/16/2007 9,000,000 8,902,875 5.25%, 4/26/2007 5,000,000 4,938,750 Windmill Funding 5.24%, 2/ 6/2007 3,800,000 3,797,235 5.25%, 3/ 1/2007 4,280,000 4,262,523 5.24%, 3/ 9/2007 4,400,000 4,376,944 5.24%, 3/14/2007 4,500,000 4,473,145 5.24%, 3/15/2007 17,000,000 16,896,073 5.23%, 3/20/2007 5,000,000 4,965,860 5.25%, 5/17/2007 20,000,000 19,697,833 -------------------- 127,025,722 -------------------- Chemicals - Diversified (0.70%) BASF AG 5.23%, 2/ 2/2007 4,400,000 4,399,361 5.23%, 4/ 4/2007 4,000,000 3,963,971 5.22%, 5/11/2007 4,000,000 3,942,580 5.19%, 6/14/2007 3,470,000 3,403,465 -------------------- 15,709,377 -------------------- Commercial Banks (7.20%) Caylon North America 5.235%, 2/ 9/2007 4,760,000 4,754,463 5.235%, 2/20/2007 3,165,000 3,156,255 5.25%, 3/ 9/2007 4,500,000 4,476,375 Credit Suisse First Boston 5.31%, 2/28/2007 25,000,000 24,901,750 5.30%, 3/12/2007 15,000,000 14,915,013 Nordea North America 5.23%, 4/ 5/2007 4,400,000 4,359,729 5.21%, 6/11/2007 1,000,000 981,186 Skandinaviska Enskilda Banken 5.24%, 2/ 5/2007 4,000,000 3,997,671 5.23%, 2/26/2007 4,800,000 4,782,567 5.23%, 2/28/2007 3,000,000 2,988,232 5.225%, 3/14/2007 5,000,000 4,970,247 Societe Generale North America Inc 5.31%, 2/13/2007 15,000,000 14,973,800 5.23%, 2/16/2007 4,100,000 4,091,065 5.32%, 2/20/2007 10,000,000 9,972,292 5.24%, 3/ 1/2007 3,000,000 2,987,773 5.27%, 4/20/2007 10,000,000 9,887,333 Commercial Banks Societe Generale North America Inc (continued) 5.21%, 5/ 4/2007 2,320,000 2,289,110 5.22%, 6/20/2007 10,000,000 9,800,574 Svenska Handelsbanken 5.23%, 2/28/2007 3,400,000 3,386,663 5.23%, 3/ 8/2007 3,000,000 2,984,746 5.23%, 4/ 4/2007 3,100,000 3,072,078 5.23%, 4/10/2007 3,000,000 2,970,363 Westpac Banking Corp 5.23%, 2/ 5/2007 3,045,000 3,043,231 5.23%, 2/20/2007 4,300,000 4,288,131 5.24%, 3/29/2007 5,000,000 4,959,167 5.23%, 4/ 9/2007 5,000,000 4,951,332 Westpac Trust Securities Ltd. 5.26%, 3/ 6/2007 4,745,000 4,722,121 -------------------- 162,663,267 -------------------- Diversified Financial Services (3.15%) Amstel Funding 5.24%, 3/29/2007 3,970,000 3,937,640 5.20%, 4/17/2007 3,700,000 3,660,071 General Electric Capital 5.23%, 2/15/2007 5,000,000 4,989,831 5.24%, 2/21/2007 3,000,000 2,991,267 5.22%, 4/ 6/2007 2,050,000 2,030,976 5.185%, 6/25/2007 25,000,000 24,484,000 5.125%, 9/ 4/2007 15,000,000 14,542,229 5.104%, 9/20/2007 15,000,000 14,510,087 -------------------- 71,146,101 -------------------- Diversified Manufacturing Operations (0.83%) Danaher Corp 5.25%, 2/ 6/2007 15,000,000 14,989,062 General Electric 5.22%, 3/ 7/2007 3,640,000 3,622,055 -------------------- 18,611,117 -------------------- Finance - Auto Loans (1.50%) Paccar Financial 5.22%, 2/13/2007 3,675,000 3,668,605 5.22%, 3/ 1/2007 2,520,000 2,509,769 Toyota Motor Credit 5.31%, 2/20/2007 5,178,000 5,163,680 5.24%, 3/27/2007 1,000,000 992,140 5.22%, 4/ 5/2007 2,025,000 2,006,502 5.21%, 4/26/2007 5,000,000 4,939,217 5.097%, 9/25/2007 15,000,000 14,499,483 -------------------- 33,779,396 -------------------- Finance - Commercial (1.15%) CIT Group 5.24%, 2/14/2007 4,300,000 4,291,864 5.25%, 2/21/2007 4,200,000 4,187,750 5.25%, 2/23/2007 4,900,000 4,884,279 5.19%, 4/10/2007 2,100,000 2,079,413 5.22%, 7/11/2007 10,770,000 10,520,136 -------------------- 25,963,442 -------------------- Finance - Investment Banker & Broker (7.09%) Bear Stearns 5.25%, 2/ 7/2007 4,800,000 4,795,800 5.23%, 3/ 1/2007 3,800,000 3,784,542 Finance - Investment Banker & Broker Bear Stearns (continued) 5.23%, 3/ 2/2007 4,400,000 4,381,463 5.22%, 4/19/2007 4,700,000 4,647,524 Citigroup Funding 5.24%, 2/ 8/2007 5,000,000 4,994,906 5.26%, 2/12/2007 4,800,000 4,792,285 5.24%, 5/10/2007 10,000,000 9,857,355 ING U.S. Funding 5.235%, 2/ 9/2007 4,300,000 4,294,998 5.235%, 2/14/2007 4,400,000 4,391,682 5.23%, 3/30/2007 7,920,000 7,854,416 5.25%, 6/18/2007 14,000,000 13,724,021 JP Morgan Chase 5.24%, 2/ 6/2007 3,530,000 3,527,431 Morgan Stanley 5.24%, 2/22/2007 4,990,000 4,974,747 5.24%, 3/ 7/2007 4,000,000 3,980,204 5.23%, 3/15/2007 3,010,000 2,991,634 5.23%, 3/16/2007 4,300,000 4,273,138 5.23%, 4/18/2007 4,000,000 3,955,836 5.24%, 5/ 4/2007 860,000 848,528 5.26%, 6/14/2007 25,000,000 24,520,646 0.00%, 12/31/2007 (a) 43,600,000 43,600,000 -------------------- 160,191,156 -------------------- Finance - Leasing Company (0.64%) River Fuel Funding 5.25%, 4/27/2007 9,000,000 8,888,437 5.25%, 4/30/2007 5,640,000 5,567,620 -------------------- 14,456,057 -------------------- Finance - Other Services (5.23%) Commoloco 5.25%, 2/26/2007 10,000,000 9,963,542 5.245%, 3/ 2/2007 5,000,000 4,978,874 CRC Funding 5.25%, 2/26/2007 3,600,000 3,586,875 5.25%, 3/ 5/2007 15,000,000 14,930,000 5.24%, 3/ 7/2007 5,000,000 4,975,255 5.24%, 3/13/2007 5,000,000 4,970,889 5.25%, 3/19/2007 3,800,000 3,774,508 HSBC Funding 5.22%, 3/ 2/2007 2,260,000 2,250,497 5.23%, 3/ 9/2007 3,400,000 3,382,218 5.23%, 3/12/2007 2,715,000 2,699,617 5.24%, 3/13/2007 4,800,000 4,772,053 5.24%, 3/21/2007 4,600,000 4,567,861 5.21%, 3/22/2007 4,500,000 4,468,089 Park Avenue Receivables Company 5.25%, 2/ 8/2007 5,000,000 4,994,896 5.27%, 2/ 8/2007 10,000,000 9,989,753 5.26%, 2/21/2007 3,025,000 3,016,160 5.22%, 3/ 2/2007 3,000,000 2,987,385 5.24%, 3/27/2007 10,000,000 9,921,400 Private Export Funding 5.22%, 2/23/2007 4,760,000 4,744,816 5.19%, 3/13/2007 4,280,000 4,255,319 5.20%, 5/ 3/2007 4,700,000 4,638,221 Finance - Other Services Private Export Funding (continued) 5.20%, 5/17/2007 4,400,000 4,333,267 -------------------- 118,201,495 -------------------- Money Center Banks (9.09%) Allied Irish Bank 5.31%, 2/28/2007 25,000,000 24,901,750 5.23%, 7/25/2007 25,000,000 24,376,500 Bank of America 5.24%, 3/ 5/2007 4,700,000 4,678,108 5.24%, 3/12/2007 4,300,000 4,275,590 5.24%, 3/16/2007 4,885,000 4,854,425 5.235%, 4/25/2007 10,000,000 9,879,304 5.28%, 4/27/2007 7,500,000 7,407,740 BNP Paribas Finance 5.235%, 2/13/2007 4,125,000 4,117,802 5.245%, 2/14/2007 4,600,000 4,591,288 5.175%, 7/ 5/2007 25,000,000 24,447,632 Deutsche Bank Financial Inc 5.25%, 2/ 7/2007 30,000,000 29,973,750 HBOS Treasury Services 5.245%, 2/ 7/2007 2,400,000 2,397,902 5.24%, 3/ 5/2007 3,700,000 3,682,766 5.225%, 3/ 8/2007 3,800,000 3,780,697 5.25%, 3/19/2007 2,020,000 2,006,449 5.25%, 3/21/2007 1,000,000 993,000 5.24%, 4/23/2007 7,000,000 6,917,470 UBS Finance Delaware LLC 5.23%, 3/ 8/2007 3,300,000 3,283,220 5.24%, 3/ 8/2007 4,500,000 4,477,075 5.20%, 4/ 2/2007 3,125,000 3,097,917 5.23%, 4/ 5/2007 5,000,000 4,954,238 5.25%, 6/12/2007 11,799,000 11,576,595 5.171%, 7/ 9/2007 15,000,000 14,659,971 -------------------- 205,331,189 -------------------- Mortgage Banks (0.37%) Northern Rock PLC 5.245%, 2/ 2/2007 3,730,000 3,729,456 5.25%, 3/ 6/2007 4,590,000 4,567,911 -------------------- 8,297,367 -------------------- Multi-line Insurance (0.31%) Genworth Financial 5.23%, 2/ 9/2007 3,800,000 3,795,583 5.24%, 2/27/2007 3,251,000 3,238,697 -------------------- 7,034,280 -------------------- Special Purpose Entity (19.13%) Barclays U.S. Funding 5.25%, 3/19/2007 5,000,000 4,966,458 5.25%, 3/28/2007 3,900,000 3,868,719 5.23%, 4/20/2007 3,900,000 3,855,807 Charta LLC 5.26%, 2/13/2007 3,900,000 3,893,162 5.26%, 3/ 9/2007 10,000,000 9,947,400 5.27%, 3/20/2007 8,800,000 8,739,454 5.25%, 3/28/2007 10,000,000 9,919,792 5.23%, 4/12/2007 4,400,000 4,355,254 Compass Securitization 5.27%, 2/15/2007 4,800,000 4,790,163 Special Purpose Entity Compass Securitization (continued) 5.26%, 2/21/2007 9,260,000 9,232,940 5.25%, 3/15/2007 4,800,000 4,770,600 Coop Association of Tractor Dealers 5.35%, 2/ 5/2007 6,259,000 6,255,328 5.36%, 2/27/2007 10,000,000 9,961,794 5.36%, 3/ 2/2007 9,266,000 9,226,574 5.35%, 4/ 3/2007 4,016,000 3,980,070 5.33%, 4/10/2007 5,239,000 5,186,948 5.30%, 4/24/2007 4,148,000 4,098,586 5.30%, 4/27/2007 3,617,000 3,572,335 5.28%, 5/22/2007 8,000,000 7,872,644 5.28%, 6/ 8/2007 3,485,000 3,420,947 5.303%, 7/ 3/2007 6,600,000 6,454,815 Galaxy Funding 5.25%, 2/ 6/2007 4,400,000 4,396,792 5.23%, 3/ 6/2007 4,300,000 4,279,385 5.24%, 4/25/2007 9,000,000 8,891,270 5.24%, 4/30/2007 9,000,000 8,884,720 Grampian Funding 5.25%, 2/ 1/2007 4,100,000 4,100,000 5.25%, 2/15/2007 4,500,000 4,490,812 5.23%, 4/23/2007 4,400,000 4,348,223 5.22%, 5/25/2007 10,000,000 9,836,150 5.19%, 6/11/2007 3,040,000 2,983,025 Prudential Funding Corp 5.24%, 2/28/2007 3,900,000 3,884,673 5.24%, 4/19/2007 6,530,000 6,456,813 5.24%, 4/23/2007 10,000,000 9,882,100 5.24%, 4/24/2007 9,000,000 8,892,580 5.24%, 5/ 1/2007 15,000,000 14,805,683 Ranger Funding 5.24%, 2/ 5/2007 3,800,000 3,797,788 5.26%, 2/16/2007 15,000,000 14,967,125 5.26%, 2/23/2007 4,500,000 4,485,535 5.25%, 3/ 7/2007 9,255,000 9,209,111 5.25%, 3/12/2007 3,000,000 2,982,938 5.24%, 3/23/2007 7,230,000 7,177,382 Scaldis Capital 5.24%, 2/ 2/2007 3,400,000 3,399,505 5.26%, 2/ 2/2007 1,200,000 1,199,825 5.26%, 3/16/2007 4,400,000 4,372,356 5.23%, 3/26/2007 4,436,000 4,401,844 Sheffield Receivables 1.34%, 2/ 6/2007 3,600,000 3,597,370 5.26%, 2/ 7/2007 3,400,000 3,397,019 5.24%, 3/28/2007 2,180,000 2,162,548 Stanfield Victoria Funding 5.24%, 3/28/2007 3,600,000 3,571,180 5.23%, 4/ 3/2007 3,800,000 3,766,325 Surrey Funding 5.25%, 3/21/2007 15,730,000 15,619,995 5.25%, 3/26/2007 9,000,000 8,930,437 Tulip Funding Corp. 5.25%, 2/16/2007 3,300,000 3,292,781 Variable Funding Capital Corp LLC 5.25%, 2/ 5/2007 4,400,000 4,397,433 5.25%, 2/12/2007 12,100,000 12,080,571 5.26%, 2/14/2007 20,000,000 19,962,011 Special Purpose Entity Whistlejacket Capital Ltd 5.27%, 2/15/2007 14,400,000 14,370,488 White Pine Finance 5.27%, 2/21/2007 12,480,000 12,443,461 Yorktown Capital 5.26%, 2/ 1/2007 4,700,000 4,700,000 5.25%, 2/ 9/2007 15,000,000 14,982,500 5.25%, 2/14/2007 20,000,000 19,962,083 5.26%, 2/22/2007 4,400,000 4,386,499 -------------------- 432,118,126 -------------------- Supranational Bank (0.37%) Corp Andina de Fomento 5.26%, 2/12/2007 4,600,000 4,592,607 5.26%, 3/27/2007 3,800,000 3,770,018 -------------------- 8,362,625 -------------------- Telephone - Integrated (2.63%) AT&T Inc 5.24%, 2/14/2007 10,000,000 9,981,078 5.25%, 3/ 5/2007 3,560,000 3,543,387 5.24%, 3/22/2007 3,800,000 3,772,897 5.24%, 3/26/2007 10,200,000 10,121,313 Telstra Corp 5.29%, 2/ 1/2007 3,900,000 3,900,000 5.28%, 2/ 7/2007 4,500,000 4,496,040 5.27%, 2/21/2007 1,035,000 1,031,958 5.28%, 3/ 8/2007 10,000,000 9,948,667 5.28%, 4/11/2007 2,800,000 2,771,664 5.25%, 5/ 4/2007 10,000,000 9,865,833 -------------------- 59,432,837 -------------------- Tools - Hand held (0.44%) Stanley Works 5.25%, 2/22/2007 10,000,000 9,969,375 -------------------- TOTAL COMMERCIAL PAPER $ 1,478,292,929 -------------------- CERTIFICATE OF DEPOSIT (0.82%) Commercial Banks (0.82%) Citibank 5.32%, 2/16/2007 3,600,000 3,600,015 Toronto Dominion Bank 5.30%, 4/13/2007 15,000,000 14,998,580 -------------------- 18,598,595 -------------------- TOTAL CERTIFICATE OF DEPOSIT $ 18,598,595 -------------------- BONDS (25.02%) Asset Backed Securities (0.31%) Caterpillar Financial Asset Trust 5.45%, 3/26/2007 393,775 393,775 Household Automotive Trust 5.33%, 2/17/2008 6,700,000 6,700,000 -------------------- 7,093,775 -------------------- Auto - Car & Light Trucks (0.15%) BMW US Capital LLC 5.30%, 2/ 5/2007 (b)(c) 3,300,000 3,300,000 -------------------- Automobile Sequential (0.86%) AmeriCredit Automobile Receivables Trust 5.35%, 3/ 6/2007 832,498 832,498 5.31%, 7/ 6/2007 3,330,000 3,330,000 Automobile Sequential Capital Auto Receivables Asset Trust 5.34%, 5/15/2007 2,134,448 2,134,448 Carmax Auto Owner Trust 5.31%, 2/15/2008 5,400,000 5,400,000 CPS Auto Trust 5.39%, 4/16/2007 (b)(c) 1,571,162 1,571,162 Honda Auto Receivables Owner Trust 5.42%, 4/23/2007 970,742 970,742 JPMorgan Auto Receivables Trust 5.39%, 3/15/2007 (c) 1,105,261 1,105,261 Nissan Auto Lease Trust 5.35%, 6/15/2007 1,382,871 1,382,871 Triad Auto Receivables Owner Trust 5.34%, 5/14/2007 984,200 984,200 Volkswagen Auto Lease Trust 5.52%, 8/20/2007 1,643,862 1,643,862 -------------------- 19,355,043 -------------------- Commercial Banks (1.54%) Canadian Imperial Bank of Commerce/New 5.41%, 3/15/2007 20,860,000 20,861,335 US Bank NA/Cincinnati OH 2.87%, 2/ 1/2007 14,055,000 14,055,000 -------------------- 34,916,335 -------------------- Consulting Services (0.10%) Barnes & Thornburg LLP 5.37%, 12/ 1/2055 2,300,000 2,300,000 -------------------- Diversified Financial Services (0.26%) General Electric Capital Corp 5.00%, 2/15/2007 2,800,000 2,799,610 8.75%, 5/21/2007 3,100,000 3,129,460 -------------------- 5,929,070 -------------------- Finance - Auto Loans (2.97%) American Honda Finance Corp 5.48%, 2/12/2007 (c) 12,000,000 12,000,371 5.46%, 4/13/2007 (c) 15,000,000 15,003,804 5.46%, 4/27/2007 (c) 14,998,000 15,001,690 Toyota Motor Credit Corp 5.30%, 2/ 1/2007 25,000,000 25,000,000 -------------------- 67,005,865 -------------------- Finance - Commercial (0.97%) Caterpillar Financial Services Corp 5.39%, 2/12/2007 (b) 2,600,000 2,599,985 CIT Group Inc 7.38%, 4/ 2/2007 19,160,000 19,217,457 -------------------- 21,817,442 -------------------- Finance - Consumer Loans (0.51%) HSBC Finance Corp 7.88%, 3/ 1/2007 11,524,000 11,545,580 -------------------- Finance - Investment Banker & Broker (1.13%) JPMorgan Chase & Co 5.30%, 2/ 2/2007 2,500,000 2,500,000 Merrill Lynch & Co Inc 5.50%, 2/27/2007 13,763,000 13,764,271 5.34%, 3/27/2007 3,300,000 3,300,000 Finance - Investment Banker & Broker Morgan Stanley Group Inc 6.88%, 3/ 1/2007 5,918,000 5,924,640 -------------------- 25,488,911 -------------------- Medical - Hospitals (0.57%) Portland Clinic LLP/The 5.33%, 11/20/2027 12,960,000 12,960,000 -------------------- Medical - Outpatient & Home Medical Care (0.30%) Everett Clinic PS 5.32%, 5/ 1/2022 6,900,000 6,900,000 -------------------- Publishing - Newspapers (0.16%) Gannett Co Inc 5.50%, 4/ 1/2007 3,550,000 3,550,386 -------------------- Regional Banks (0.55%) Fifth Third Bancorp 5.37%, 6/ 1/2018 1,080,000 1,080,000 Wells Fargo & Co 5.43%, 3/23/2007 11,285,000 11,286,695 -------------------- 12,366,695 -------------------- REITS - Diversified (0.11%) Medical Properties Inc 5.33%, 12/22/2024 2,400,000 2,400,000 -------------------- Resorts & Theme Parks (0.11%) Sawmill Creek Lodge Co 5.37%, 10/ 1/2026 2,500,000 2,500,000 -------------------- Special Purpose Entity (14.42%) 2440 LLC 5.37%, 5/ 1/2024 (c) 3,540,000 3,540,000 2880 Stevens Creek LLC 5.35%, 11/ 1/2033 9,450,000 9,450,000 Advance Packaging Corp 5.33%, 10/ 1/2036 11,200,000 11,200,000 Aerospace Corp 5.31%, 6/ 1/2036 (c) 50,000,000 50,000,000 AFS Associates LP 5.37%, 9/ 1/2040 2,000,000 2,000,000 Allstate Life Global Funding Trusts 5.30%, 2/ 5/2007 (b) 3,200,000 3,200,000 Assk Properties 5.50%, 12/ 1/2017 2,450,000 2,450,000 Banaba Properties LLC 5.37%, 3/ 1/2020 900,000 900,000 Bedford Hills Golf Club Inc 5.37%, 4/ 1/2013 1,315,000 1,315,000 Boardwalk Enterprises Ltd 5.37%, 4/ 1/2024 2,245,000 2,245,000 Brookville Enterprises Inc 5.37%, 10/ 1/2025 2,810,000 2,810,000 Campus Research Corp 5.55%, 6/ 1/2013 3,000,000 3,000,000 Cannon County Hospital LLC 5.37%, 6/ 1/2026 2,000,000 2,000,000 Special Purpose Entity Chatham Capital Corp 5.33%, 11/ 1/2028 11,080,000 11,080,000 Community Housing Development Corp 5.40%, 8/ 1/2024 1,700,000 1,700,000 Corporate Finance Managers Inc 5.40%, 2/ 2/2043 18,340,000 18,340,000 CorVasc Real Estate Enterprises LLC 5.37%, 5/ 1/2024 1,165,000 1,165,000 D&I Properties LLC 5.35%, 11/ 1/2034 2,765,000 2,765,000 Exal Corp 5.37%, 3/ 1/2009 3,355,000 3,355,000 Forward Corp 5.33%, 12/ 1/2030 3,900,000 3,900,000 Foster/Schweihofer Real Estate Co LLC 5.37%, 9/20/2033 6,475,000 6,475,000 Gold Key Processing Ltd 5.37%, 7/ 1/2024 2,035,000 2,035,000 Golf Gate Apartments 5.40%, 9/ 1/2028 2,000,000 2,000,000 Henderson Regional Industrial Development Authority 5.37%, 7/ 1/2023 2,115,000 2,115,000 IHA Capital Development LLC 5.37%, 7/ 1/2028 2,955,000 2,955,000 ISO Building LLC 5.37%, 3/ 1/2023 (c) 1,000,000 1,000,000 Jul-Mark Investments LLC 5.37%, 10/ 1/2025 1,000,000 1,000,000 KAT LLC 5.37%, 6/ 1/2029 1,048,000 1,048,000 KL Morris Family LP 5.37%, 2/ 1/2020 1,795,000 1,795,000 LAL Holding Co 5.37%, 8/ 1/2019 1,500,000 1,500,000 Lauren Co LLC 5.40%, 7/ 1/2033 910,000 910,000 Lee Family Partnership LLC 5.37%, 6/ 1/2034 1,000,000 1,000,000 Martin Road Investments/Gardner Family 5.37%, 10/ 1/2027 700,000 700,000 MBIA Global Funding LLC 5.39%, 2/ 1/2007 (c) 81,000,000 81,000,000 Meyer Cookware Industries Inc 5.35%, 5/ 1/2027 6,465,000 6,465,000 Michigan Equity Group LLC 5.37%, 4/ 1/2034 6,820,000 6,820,000 National Coney Island Financial LLC 5.33%, 10/ 1/2030 6,400,000 6,400,000 Ness Family Partners LP 5.35%, 9/ 1/2034 2,920,000 2,920,000 NGSP Inc 5.35%, 6/ 1/2046 20,000,000 20,000,000 No S Properties LLC 5.37%, 8/ 1/2024 2,690,000 2,690,000 North Coast Quarry Ltd 5.37%, 7/ 1/2031 2,250,000 2,250,000 Pineview Estates LC 5.33%, 1/ 1/2023 5,140,000 5,140,000 Special Purpose Entity Realty Holding Co LLC 5.37%, 5/ 1/2024 (c) 1,530,000 1,530,000 RO Davis Real Estate LLC 5.37%, 4/ 1/2023 1,335,000 1,335,000 Robert C Fox Jr Inc 5.35%, 6/ 1/2033 3,370,000 3,370,000 Rockwood Quarry LLC 5.33%, 12/ 1/2022 4,200,000 4,200,000 Sanders CRS Exchange LLC 5.56%, 4/ 1/2007 1,200,000 1,200,000 SJD Service Co LLC 5.37%, 10/ 1/2023 1,190,000 1,190,000 Skeletal Properties LLC/Tri-State Ortho 5.37%, 11/ 1/2014 5,035,000 5,035,000 Spartan Medical Facility LP 5.37%, 12/ 1/2026 2,750,000 2,750,000 Tacoma Goodwill Industries Rehab Center 5.35%, 2/ 1/2023 3,060,000 3,060,000 Titan Holdings Group LLC 5.37%, 5/ 1/2012 3,890,000 3,890,000 Watts Brothers Frozen Foods LLC 5.37%, 7/ 1/2013 1,208,000 1,208,000 Westgate Investment Fund 5.40%, 2/ 1/2012 2,260,000 2,260,000 -------------------- 325,661,000 -------------------- TOTAL BONDS $ 565,090,102 -------------------- TAX-EXEMPT BONDS (8.93%) Alaska (0.17%) Four Dam Pool Power Agency Dexia 5.35%, 7/ 1/2026 3,930,000 3,930,000 -------------------- Arizona (0.49%) Glendale Industrial Development Authoriy Bank of New York 5.35%, 7/ 1/2035 7,495,000 7,495,000 Tucson Airport Authority Inc/AZ Bank of America 5.35%, 12/ 1/2018 3,635,000 3,635,000 -------------------- 11,130,000 -------------------- California (3.00%) Abag Finance Authority for Nonprofit Co Bank of New York 5.32%, 11/ 1/2031 2,000,000 2,000,000 Alameda County Industrial Development Authority Comerica Bank 5.35%, 6/ 1/2030 2,060,000 2,060,000 5.35%, 4/ 1/2034 635,000 635,000 California Statewide Communities Development Fannie Mae 5.34%, 8/15/2034 1,000,000 1,000,000 City of Fairfield CA Landesbank Hessen-Thueringen 5.32%, 6/ 1/2034 6,700,000 6,700,000 City of Long Beach CA Allied Irish Bank 5.35%, 11/ 1/2030 2,900,000 2,900,000 City of Richmond CA Fannie Mae 5.33%, 8/15/2037 3,200,000 3,200,000 City of Santa Rosa CA Lnadesbank Hessen- Thueringen 5.32%, 9/ 1/2024 4,835,000 4,835,000 Kern Water Bank Authority Wells Fargo 5.40%, 7/ 1/2028 2,700,000 2,700,000 San Jose Financing Authority Ambac 5.36%, 7/ 1/2024 8,000,000 8,000,000 California San Jose Redevelopment Agency/CA JP Morgan Chase 5.30%, 8/ 1/2028 33,750,000 33,750,000 -------------------- 67,780,000 -------------------- Colorado (0.17%) Colorado Housing & Finance Authority/CO Wells Fargo 5.40%, 4/ 1/2029 1,055,000 1,055,000 County of Kit Carson CO Wells Fargo 5.32%, 6/ 1/2027 2,100,000 2,100,000 County of Montrose CO Wells Fargo 5.40%, 6/ 1/2010 600,000 600,000 -------------------- 3,755,000 -------------------- Florida (0.10%) Orange County Housing Finance Authority Wachovia 5.34%, 9/15/2036 2,320,000 2,320,000 -------------------- Georgia (1.12%) Acworth Downtown Development Authority CIFG 5.35%, 1/ 1/2026 13,500,000 13,500,000 Savannah College of Art & Design Inc Bank of America 5.35%, 4/ 1/2024 2,600,000 2,600,000 South Fulton Municipal Regional Jail Authority MBIA 5.35%, 11/ 1/2017 9,100,000 9,100,000 -------------------- 25,200,000 -------------------- Illinois (0.86%) Memorial Health System/IL JP Morgan Chase 5.32%, 10/ 1/2024 19,430,000 19,430,000 -------------------- Kentucky (0.13%) Florence KY Fifth Third Bank 5.37%, 4/15/2035 3,000,000 3,000,000 -------------------- Massachusetts (0.10%) Massachusetts Development Finance Agency JP Morgan Chase 5.35%, 7/ 1/2016 2,165,000 2,165,000 -------------------- Michigan (0.38%) Michigan State Housing Development Authority MBIA 5.36%, 6/ 1/2030 8,570,000 8,570,000 -------------------- Minnesota (0.10%) City of Plymouth MN FSA 5.32%, 6/ 1/2024 2,240,000 2,240,000 -------------------- New Jersey (0.12%) New Jersey Economic Development Authority MBIA 3.50%, 3/15/2007 2,690,000 2,684,908 -------------------- New Mexico (0.23%) County of Bernalillo NM Bank of America 5.35%, 9/ 1/2030 5,200,000 5,200,000 -------------------- New York (0.24%) New York City Housing Development Corp Landesbank Hessen-Thueringen 5.33%, 6/ 1/2039 5,500,000 5,500,000 -------------------- North Carolina (0.48%) North Carolina Capital Facilities Finance Bank of America 5.35%, 9/ 1/2018 10,890,000 10,890,000 -------------------- Oklahoma (0.29%) University Hospital Bank of America 5.35%, 8/15/2021 6,580,000 6,580,000 -------------------- Oregon (0.06%) Lake Oswego Redevelopment Agency/OR Wells Fargo 5.40%, 6/ 1/2020 1,285,000 1,285,000 -------------------- Utah (0.31%) Utah Telecommunication Open Infrastructure Bank of America 5.35%, 7/15/2026 7,000,000 7,000,000 -------------------- Washington (0.58%) Washington State Housing Finance Commission Bank of America 5.35%, 3/15/2039 2,185,000 2,185,000 5.34%, 12/ 1/2040 2,020,000 2,020,000 Washington State Housing Finance Commission Fannie Mae 5.34%, 9/ 1/2028 1,505,000 1,505,000 5.33%, 9/15/2037 2,730,000 2,730,000 5.33%, 12/15/2037 3,855,000 3,855,000 Washington State Housing Finance Commission US Bank 5.37%, 12/ 1/2028 760,000 760,000 -------------------- 13,055,000 -------------------- TOTAL TAX-EXEMPT BONDS $ 201,714,908 -------------------- Total Investments $ 2,263,696,534 Liabilities in Excess of Other Assets, Net - (0.23)% (5,184,443) -------------------- TOTAL NET ASSETS - 100.00% $ 2,258,512,091 ==================== -------------------- ====================
(a) Non-Income Producing Security (b) Variable Rate (c) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $185,052,288 or 8.19% of net assets. Portfolio Summary (unaudited) ----------------------------------------------------- -------------------- Sector Percent ----------------------------------------------------- -------------------- Financial 77.19% Asset Backed Securities 6.79% Revenue 6.38% Communications 2.79% Insured 2.50% Fixed Income Funds 1.33% Industrial 1.26% Consumer, Non-cyclical 0.98% Basic Materials 0.69% Consumer, Cyclical 0.26% Tax Allocation 0.06% Liabilities in Excess of Other Assets, Net (-0.23%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Mortgage Securities Fund Principal Amount Value ----------------------- -------- -------------------- BONDS (22.03%) Finance - Mortgage Loan/Banker (9.50%) Fannie Mae 3.25%, 1/15/2008 $ 10,000,000 $ 9,813,480 5.80%, 7/16/2013 18,000,000 17,906,994 6.00%, 2/ 3/2020 20,000,000 19,657,660 9.00%, 5/25/2020 89,737 94,409 6.00%, 8/25/2023 1,497 1,491 5.00%, 2/25/2027 12,244,607 616,550 5.94%, 4/25/2027 83,603 84,733 5.50%, 2/25/2032 21,000,000 20,825,356 7.00%, 4/25/2032 9,031,680 9,338,898 6.21%, 8/ 6/2038 1,250,000 1,402,510 Fannie Mae Grantor Trust 7.30%, 5/25/2010 7,000,000 7,436,327 Fannie Mae Interest Strip 7.00%, 4/ 1/2024 427,303 99,754 Freddie Mac 6.00%, 6/15/2017 12,121,796 12,206,327 6.28%, 2/15/2021 143,045 143,021 6.50%, 8/15/2027 629,912 643,621 5.00%, 9/15/2027 22,139,547 2,162,177 6.50%, 5/15/2030 12,048,218 12,091,331 6.00%, 6/15/2030 2,221,560 2,223,798 6.50%, 6/15/2031 5,491,006 5,532,625 5.50%, 10/15/2031 25,000,000 24,855,270 4.50%, 5/15/2032 5,011,470 4,883,412 5.50%, 1/15/2033 9,000,000 8,893,800 LF Rothschild Mortgage Trust 9.95%, 9/ 1/2017 63,096 66,887 -------------------- 160,980,431 -------------------- Mortgage Backed Securities (12.53%) Banc of America Mortgage Securities Inc 4.75%, 8/25/2033 21,500,000 21,115,156 5.50%, 5/25/2034 12,807,691 12,593,938 Chase Mortgage Finance Corp 6.00%, 5/25/2035 21,000,000 20,898,339 Countrywide Alternative Loan Trust 4.00%, 8/25/2033 3,963,511 3,887,319 Countrywide Home Loan Mortgage Pass Through Certificates 5.00%, 11/25/2018 16,826,829 16,369,560 5.25%, 5/25/2034 21,500,000 21,037,944 CS First Boston Mortgage Securities Corp 5.75%, 4/25/2033 10,453,957 10,288,659 4.50%, 6/25/2033 9,398,237 9,249,953 6.00%, 12/25/2033 6,905,426 6,967,010 GSR Mortgage Loan Trust 5.00%, 5/25/2033 6,665,166 6,622,683 6.00%, 2/25/2035 13,506,177 13,527,816 Prime Mortgage Trust 4.75%, 11/25/2019 19,164,430 18,439,727 4.75%, 10/25/2020 18,006,983 17,588,998 Residential Funding Mortgage Securities 5.50%, 12/25/2033 17,000,000 16,626,122 Mortgage Backed Securities Structured Asset Securities Corp 5.00%, 5/25/2035 17,901,864 17,023,562 -------------------- 212,236,786 -------------------- TOTAL BONDS $ 373,217,217 -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (75.23%) Federal Home Loan Mortgage Corporation (FHLMC) (36.09%) 7.50%, 2/ 1/2007 97 97 7.50%, 5/ 1/2007 1,043 1,045 7.50%, 6/ 1/2007 927 930 9.00%, 12/ 1/2008 6,934 7,001 9.00%, 1/ 1/2009 4,032 4,123 6.50%, 2/ 1/2011 32,629 33,346 6.50%, 3/ 1/2011 608,171 621,531 6.50%, 4/ 1/2011 71,669 72,931 8.75%, 1/ 1/2013 6,063 6,131 7.50%, 3/ 1/2013 2,146,862 2,191,368 9.00%, 9/ 1/2016 8,178 8,526 6.50%, 11/ 1/2016 1,094,670 1,118,935 9.00%, 1/ 1/2017 4,414 4,558 6.00%, 4/ 1/2017 3,620,956 3,666,315 6.00%, 5/ 1/2017 2,193,928 2,221,394 9.00%, 5/ 1/2017 2,769 2,955 4.50%, 4/ 1/2018 8,211,735 7,889,426 5.00%, 4/ 1/2018 8,080,038 7,917,907 4.00%, 8/ 1/2018 13,922,287 13,049,046 5.50%, 11/ 1/2018 7,671,804 7,646,236 4.50%, 1/ 1/2019 14,465,731 13,897,954 8.50%, 4/ 1/2019 52,737 54,782 9.00%, 6/ 1/2019 712 761 4.50%, 7/ 1/2019 17,589,623 16,886,544 5.50%, 7/ 1/2019 8,877,304 8,839,777 9.00%, 5/ 1/2021 7,076 7,558 9.00%, 9/ 1/2021 5,684 6,071 6.50%, 12/ 1/2021 3,206,858 3,288,258 9.00%, 1/ 1/2022 12,051 12,731 6.50%, 4/ 1/2022 2,927,311 3,001,395 6.50%, 5/ 1/2022 1,926,510 1,974,268 9.00%, 8/ 1/2022 4,334 4,638 6.50%, 5/ 1/2023 224,184 228,807 6.50%, 7/ 1/2023 14,421 14,757 6.50%, 1/ 1/2024 33,529 34,308 5.50%, 6/ 1/2024 17,789,193 17,628,729 7.00%, 7/ 1/2024 19,769 20,357 6.50%, 7/ 1/2025 7,610 7,787 6.50%, 9/ 1/2025 13,620 13,938 6.50%, 10/ 1/2025 43,737 44,757 6.50%, 4/ 1/2027 9,577 9,824 7.00%, 1/ 1/2028 2,196,489 2,273,828 6.50%, 2/ 1/2028 1,771 1,817 6.50%, 3/ 1/2029 497,834 510,547 6.50%, 4/ 1/2029 5,775,001 5,975,462 7.00%, 6/ 1/2029 1,079,751 1,114,782 8.50%, 7/ 1/2029 222,045 238,073 8.00%, 12/ 1/2030 114,276 120,053 7.50%, 2/ 1/2031 298,066 310,923 7.00%, 3/ 1/2031 198,347 204,576 6.50%, 4/ 1/2031 1,466,337 1,505,278 7.00%, 4/ 1/2031 766,215 791,074 Federal Home Loan Mortgage Corporation (FHLMC) 6.00%, 5/ 1/2031 1,202,198 1,211,492 7.00%, 6/ 1/2031 302,657 312,161 6.50%, 10/ 1/2031 799,355 817,985 7.00%, 10/ 1/2031 473,961 488,845 6.50%, 1/ 1/2032 3,900,304 3,991,321 7.00%, 4/ 1/2032 1,588,074 1,635,292 6.00%, 9/ 1/2032 2,235,622 2,251,700 5.50%, 11/ 1/2032 7,053,941 6,962,119 5.00%, 2/ 1/2033 8,979,518 8,649,834 5.50%, 4/ 1/2033 13,252,862 13,080,500 5.00%, 6/ 1/2033 9,384,170 9,041,684 4.50%, 8/ 1/2033 9,406,010 8,777,897 5.00%, 8/ 1/2033 29,893,723 28,788,539 5.50%, 8/ 1/2033 11,326,734 11,193,292 6.00%, 11/ 1/2033 11,440,288 11,535,631 5.50%, 12/ 1/2033 14,379,177 14,187,208 6.00%, 12/ 1/2033 6,349,518 6,399,724 5.50%, 1/ 1/2034 31,359,121 30,922,935 5.00%, 5/ 1/2034 16,711,622 16,082,038 6.00%, 5/ 1/2034 11,129,214 11,190,292 5.50%, 11/ 1/2034 18,853,017 18,590,783 6.00%, 2/ 1/2035 9,258,002 9,308,810 5.00%, 5/ 1/2035 21,066,120 20,244,650 4.50%, 6/ 1/2035 26,256,955 24,443,927 5.00%, 7/ 1/2035 66,768,705 64,165,071 5.50%, 9/ 1/2035 26,647,263 26,243,172 5.00%, 10/ 1/2035 23,785,421 22,857,913 5.50%, 10/ 1/2035 23,048,743 22,699,222 5.00%, 6/ 1/2036 23,973,474 23,038,632 7.00%, 7/ 1/2036 23,082,991 23,665,458 9.50%, 6/ 1/2016 14,613 15,398 9.50%, 4/ 1/2017 17,936 19,451 5.85%, 1/ 1/2037 18,000,000 18,052,051 5.90%, 1/ 1/2037 25,000,000 25,247,381 -------------------- 611,600,623 -------------------- Federal National Mortgage Association (FNMA) (31.91%) 5.50%, 2/ 1/2009 1,473 1,469 7.00%, 6/ 1/2010 17,509 17,930 7.00%, 9/ 1/2010 58,174 59,572 7.00%, 10/ 1/2010 8,307 8,507 7.00%, 11/ 1/2010 12,609 12,912 7.00%, 1/ 1/2011 9,432 9,658 7.00%, 5/ 1/2011 17,175 17,680 7.00%, 3/ 1/2012 8,102 8,340 7.00%, 5/ 1/2012 982 1,011 6.00%, 12/ 1/2016 2,157,223 2,184,191 5.50%, 1/ 1/2017 4,381,487 4,390,917 9.00%, 3/ 1/2017 3,876 4,167 6.00%, 8/ 1/2017 4,823,688 4,884,243 5.50%, 12/ 1/2017 4,897,107 4,886,550 5.00%, 4/ 1/2018 6,744,261 6,611,369 5.50%, 5/ 1/2018 8,652,231 8,631,294 5.00%, 6/ 1/2018 16,086,077 15,776,297 6.00%, 8/ 1/2018 1,821,236 1,843,464 5.00%, 10/ 1/2018 11,576,593 11,351,285 4.50%, 12/ 1/2018 11,894,433 11,440,758 9.00%, 1/ 1/2019 839 903 5.00%, 2/ 1/2019 7,228,710 7,084,878 Federal National Mortgage Association (FNMA) 4.50%, 11/ 1/2019 20,921,815 20,098,641 5.00%, 12/ 1/2019 16,496,587 16,151,643 9.00%, 6/ 1/2021 2,572 2,781 8.00%, 5/ 1/2022 118,034 119,454 6.00%, 10/ 1/2022 3,907,394 3,948,815 8.50%, 2/ 1/2023 17,682 18,148 6.50%, 9/ 1/2024 2,160,806 2,205,591 8.00%, 9/ 1/2024 497 525 8.00%, 11/ 1/2024 545 575 7.50%, 12/ 1/2024 398,315 416,483 8.00%, 12/ 1/2024 3,534 3,734 8.00%, 1/ 1/2025 3,460 3,648 8.50%, 9/ 1/2025 5,553 5,956 7.00%, 3/ 1/2027 96,895 99,985 6.58%, 3/ 1/2028 35,819 36,526 6.50%, 8/ 1/2028 315,402 323,446 7.00%, 8/ 1/2028 387,400 400,385 6.50%, 9/ 1/2028 184,280 188,979 6.50%, 11/ 1/2028 416,817 427,702 6.50%, 12/ 1/2028 215,524 221,020 7.00%, 12/ 1/2028 343,793 355,317 6.50%, 1/ 1/2029 154,594 158,536 6.50%, 2/ 1/2029 254,331 260,817 6.00%, 3/ 1/2029 580,039 585,180 6.50%, 3/ 1/2029 348,291 356,956 6.50%, 4/ 1/2029 842,641 863,604 7.00%, 4/ 1/2029 108,712 112,148 7.00%, 7/ 1/2029 363,334 375,483 7.50%, 7/ 1/2029 378,206 394,773 7.50%, 2/ 1/2030 326,550 340,773 9.00%, 9/ 1/2030 183,429 199,786 6.50%, 6/ 1/2031 3,462,708 3,525,609 6.00%, 8/ 1/2031 2,644,641 2,664,139 7.00%, 11/ 1/2031 2,183,596 2,251,837 6.00%, 1/ 1/2032 1,986,694 2,004,415 6.50%, 1/ 1/2032 716,172 732,835 6.50%, 3/ 1/2032 2,872,784 2,938,468 6.50%, 4/ 1/2032 2,748,545 2,810,803 7.00%, 7/ 1/2032 479,533 494,631 6.50%, 8/ 1/2032 1,534,118 1,568,868 6.50%, 11/ 1/2032 3,760,405 3,852,011 6.50%, 12/ 1/2032 3,194,001 3,266,350 5.50%, 2/ 1/2033 10,487,574 10,365,239 6.50%, 2/ 1/2033 1,083,325 1,105,184 6.00%, 4/ 1/2033 1,612,895 1,626,768 5.50%, 5/ 1/2033 15,518,326 15,310,997 5.50%, 6/ 1/2033 15,175,457 14,971,746 6.00%, 1/ 1/2034 7,158,209 7,202,149 5.50%, 2/ 1/2034 31,495,757 31,001,298 6.00%, 2/ 1/2034 2,312,545 2,326,895 5.00%, 3/ 1/2034 8,197,762 7,881,256 5.50%, 3/ 1/2034 7,112,848 7,013,857 6.00%, 3/ 1/2034 3,540,374 3,558,801 5.50%, 4/ 1/2034 6,151,698 6,062,109 5.00%, 6/ 1/2034 14,357,700 13,803,366 5.50%, 7/ 1/2034 6,934,701 6,778,761 6.50%, 7/ 1/2034 8,399,831 8,575,902 5.50%, 9/ 1/2034 18,873,698 18,547,586 6.00%, 9/ 1/2034 24,597,183 24,710,487 Federal National Mortgage Association (FNMA) 5.50%, 1/ 1/2035 13,733,193 13,533,191 5.50%, 2/ 1/2035 15,645,992 15,397,905 5.50%, 3/ 1/2035 17,505,882 17,250,937 5.00%, 6/ 1/2035 20,225,163 19,418,162 5.50%, 8/ 1/2035 22,627,995 22,269,199 5.50%, 10/ 1/2035 20,069,596 19,751,366 6.00%, 10/ 1/2035 20,875,972 20,956,870 5.00%, 12/ 1/2035 20,676,524 19,851,513 6.50%, 2/ 1/2036 14,396,903 14,654,239 6.50%, 5/ 1/2036 20,692,892 21,037,626 5.99%, 10/ 1/2036 21,625,954 21,807,296 -------------------- 540,785,476 -------------------- Finance - Mortgage Loan/Banker (1.39%) 6.00%, 5/ 1/2034 10,515,917 10,560,588 6.00%, 1/ 1/2035 12,972,045 13,013,007 -------------------- 23,573,595 -------------------- Government National Mortgage Association (GNMA) (4.52%) 7.00%, 7/15/2008 32,901 33,227 13.50%, 9/15/2014 1,571 1,763 13.50%, 12/15/2014 5,080 5,700 9.50%, 4/15/2016 8,700 9,415 9.50%, 9/15/2016 9,081 9,828 9.50%, 11/15/2016 34,734 37,591 9.50%, 7/15/2017 95,756 103,963 9.50%, 8/15/2017 9,784 10,622 9.50%, 10/15/2017 17,320 18,805 9.50%, 11/15/2017 27,770 30,150 9.50%, 9/15/2020 24,079 26,328 9.50%, 8/15/2021 316,337 345,296 9.00%, 11/15/2021 376,783 404,301 8.00%, 4/15/2022 127,499 135,086 6.50%, 3/15/2024 394,542 405,067 7.50%, 3/15/2024 109,137 113,897 7.00%, 10/15/2027 106,664 110,440 7.00%, 11/15/2027 13,854 14,345 7.00%, 12/15/2027 8,626 8,932 7.00%, 2/15/2028 4,220 4,368 7.00%, 5/15/2028 2,571 2,661 7.00%, 6/15/2028 242,494 251,011 7.00%, 12/15/2028 271,549 281,087 7.00%, 1/15/2029 158,283 163,842 7.00%, 3/15/2029 145,032 150,126 7.00%, 4/15/2029 371,431 384,476 7.50%, 8/15/2029 403,563 421,362 7.50%, 9/15/2029 416,198 434,555 7.50%, 10/15/2029 279,110 291,420 7.50%, 11/15/2029 534,268 557,831 7.75%, 12/15/2029 87,732 92,364 6.50%, 7/15/2032 1,328,420 1,363,588 6.00%, 8/15/2034 15,663,808 15,824,172 9.50%, 9/20/2018 117,354 127,283 9.50%, 12/20/2020 52,424 57,111 9.50%, 1/20/2021 9,134 9,969 9.50%, 2/20/2021 5,594 6,105 9.50%, 3/20/2021 9,156 9,969 6.80%, 4/20/2025 107,519 110,353 6.00%, 4/20/2026 450,277 454,727 6.00%, 2/20/2029 611,331 617,141 Government National Mortgage Association (GNMA) 6.50%, 3/20/2031 559,214 572,750 6.50%, 4/20/2031 417,982 428,099 7.00%, 6/20/2031 299,298 308,462 6.00%, 5/20/2032 2,479,472 2,500,890 5.50%, 7/20/2033 11,486,401 11,361,238 6.00%, 7/20/2033 7,856,745 7,943,083 5.50%, 2/20/2034 12,163,725 12,027,828 5.50%, 3/20/2034 11,740,382 11,609,214 6.50%, 4/20/2034 3,602,374 3,681,765 6.50%, 5/20/2034 2,719,966 2,779,910 -------------------- 76,653,516 -------------------- U.S. Treasury (1.32%) 4.00%, 2/15/2014 5,000,000 4,754,885 4.88%, 8/15/2016 10,000,000 10,029,690 4.50%, 2/15/2036 8,000,000 7,477,504 -------------------- 22,262,079 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 1,274,875,289 -------------------- SHORT TERM INVESTMENTS (2.33%) Commercial Paper (2.33%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (a) 39,513,871 39,513,871 -------------------- TOTAL SHORT TERM INVESTMENTS $ 39,513,871 -------------------- Total Investments $ 1,687,606,377 Other Assets in Excess of Liabilities, Net - 0.41% 6,945,121 -------------------- TOTAL NET ASSETS - 100.00% $ 1,694,551,498 ==================== -------------------- ====================
(a) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 3,664,860 Unrealized Depreciation (39,502,380) -------------------- Net Unrealized Appreciation (Depreciation) (35,837,520) Cost for federal income tax purposes 1,723,443,897 Portfolio Summary (unaudited) ------------------------------------------------------- -------------------- Sector Percent ------------------------------------------------------- -------------------- Mortgage Securities 95.40% Government 4.19% Other Assets in Excess of Liabilities, Net 0.41% -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Partners Global Equity Fund Shares Held Value ----------------------------------------- -------------------- COMMON STOCKS (98.46%) Advertising Services (0.99%) WPP Group PLC 24,700 $ 362,507 -------------------- Aerospace & Defense (0.66%) Boeing Co 2,700 241,812 -------------------- Aerospace & Defense Equipment (1.63%) United Technologies Corp 8,800 598,576 -------------------- Applications Software (1.72%) Microsoft Corp 20,500 632,630 -------------------- Auto - Car & Light Trucks (1.07%) Nissan Motor Co Ltd 31,400 392,370 -------------------- Beverages - Wine & Spirits (1.26%) Pernod-Ricard SA 2,261 462,956 -------------------- Brewery (0.92%) Fomento Economico Mexicano SA de CV ADR 2,800 336,196 -------------------- Building Products - Cement & Aggregate (1.88%) Holcim Ltd 2,950 292,237 Lafarge SA 2,600 398,175 -------------------- 690,412 -------------------- Cable TV (1.10%) Comcast Corp (a)(b) 9,100 403,312 -------------------- Chemicals - Diversified (0.53%) Symrise AG (b) 7,404 194,931 -------------------- Chemicals - Specialty (0.60%) Rhodia SA 60,900 219,073 -------------------- Commercial Banks (12.07%) Banco Bilbao Vizcaya Argentaria SA 21,925 544,374 Bank of Yokohama/The 42,000 339,327 Barclays PLC 45,200 657,158 HSBC Holdings PLC 39,600 721,748 Intesa Sanpaolo SpA 52,100 392,830 Mitsubishi UFJ Financial Group Inc 38 459,728 Sumitomo Mitsui Financial Group Inc 59 601,342 UniCredito Italiano SpA 77,100 713,470 -------------------- 4,429,977 -------------------- Computer Aided Design (1.21%) Autodesk Inc (b) 10,131 442,927 -------------------- Consulting Services (1.40%) Accenture Ltd 13,650 515,288 -------------------- Cosmetics & Toiletries (1.86%) Procter & Gamble Co 10,500 681,135 -------------------- Distribution & Wholesale (1.86%) Esprit Holdings Ltd 34,000 344,679 Wolseley PLC 13,027 337,333 -------------------- 682,012 -------------------- Diversified Manufacturing Operations (3.78%) General Electric Co 23,700 854,385 Siemens AG 4,850 532,252 -------------------- 1,386,637 -------------------- Diversified Minerals (2.48%) BHP Billiton PLC 29,600 551,315 Cia Vale do Rio Doce ADR (a) 10,540 357,622 -------------------- 908,937 -------------------- Electronic Components - Miscellaneous (0.95%) Hoya Corp 9,600 348,426 -------------------- Electronic Components - Semiconductors (2.02%) MEMC Electronic Materials Inc (a)(b) 6,550 343,220 Samsung Electronics (b) 635 195,255 Sirf Technology Holdings Inc (a)(b) 6,919 203,142 -------------------- 741,617 -------------------- Finance - Investment Banker & Broker (5.64%) Credit Suisse Group 8,200 579,238 Friedman Billings Ramsey Group Inc (a) 9,500 74,670 Merrill Lynch & Co Inc 5,300 495,868 Nikko Cordial Corp 32,500 318,860 UBS AG 9,600 600,555 -------------------- 2,069,191 -------------------- Food - Dairy Products (0.82%) Parmalat SpA (b) 67,000 301,707 -------------------- Food - Retail (1.57%) Tesco PLC 70,000 574,875 -------------------- Gas - Distribution (0.79%) Centrica PLC 39,900 290,835 -------------------- Gold Mining (1.19%) Barrick Gold Corp. (b) 1,700 50,301 Yamana Gold Inc (b) 28,500 385,554 -------------------- 435,855 -------------------- Import & Export (0.89%) Mitsubishi Corp 16,200 327,544 -------------------- Life & Health Insurance (1.54%) Prudential Financial Inc (a) 6,350 565,976 -------------------- Machinery - Electrical (2.09%) Nidec Corp 4,000 282,731 SMC Corp/Japan 3,400 484,588 -------------------- 767,319 -------------------- Medical - Biomedical/Gene (1.72%) Amgen Inc (b) 8,950 629,811 -------------------- Medical - Drugs (6.84%) GlaxoSmithKline PLC 21,850 585,981 Merck & Co Inc 11,800 528,050 Roche Holding AG 2,950 554,348 Sanofi-Aventis 5,900 518,677 Sepracor Inc (a)(b) 5,700 325,242 -------------------- 2,512,298 -------------------- Medical Products (1.40%) Johnson & Johnson 7,700 514,360 -------------------- Multi-Line Insurance (5.25%) AXA SA 12,000 505,806 Hartford Financial Services Group Inc 5,500 522,005 ING Groep NV 7,200 314,839 Zurich Financial Services AG 2,180 586,347 -------------------- 1,928,997 -------------------- Multimedia (1.33%) News Corp 20,000 489,000 -------------------- Networking Products (1.05%) Juniper Networks Inc (b) 21,300 385,956 -------------------- Oil - Field Services (1.29%) Weatherford International Ltd (b) 11,759 474,828 -------------------- Oil & Gas Drilling (0.85%) Transocean Inc (a)(b) 4,050 313,349 -------------------- Oil Company - Exploration & Production (0.74%) Talisman Energy (b) 15,400 271,280 -------------------- Oil Company - Integrated (3.54%) ConocoPhillips 4,250 282,242 Petroleo Brasileiro SA ADR (a) 3,910 384,275 Total SA 9,400 634,630 -------------------- 1,301,147 -------------------- Pipelines (1.34%) El Paso Corp (a) 31,700 491,984 -------------------- Real Estate Magagement & Services (2.21%) Jones Lang LaSalle Inc (a) 4,900 512,050 Realogy Corp (b) 10,050 300,495 -------------------- 812,545 -------------------- Real Estate Operator & Developer (1.33%) Hang Lung Properties Ltd 46,000 125,494 Mitsui Fudosan Co Ltd 14,000 363,109 -------------------- 488,603 -------------------- Regional Banks (1.66%) Bank of America Corp 11,600 609,928 -------------------- Retail - Drug Store (1.12%) Shoppers Drug Mart Corp 9,650 412,470 -------------------- Retail - Miscellaneous/Diversified (0.52%) Seven & I Holdings Co Ltd 6,300 189,501 -------------------- Retail - Office Supplies (0.83%) Office Depot Inc (a)(b) 8,200 306,598 -------------------- Retail - Sporting Goods (0.64%) Dick's Sporting Goods Inc (a)(b) 4,600 236,854 -------------------- Telecommunication Equipment - Fiber Optics (1.51%) Corning Inc (b) 26,600 554,344 -------------------- Telecommunication Services (0.61%) NeuStar Inc (a)(b) 7,200 222,408 -------------------- Telephone - Integrated (1.08%) Telecom Italia SpA RNC 157,900 395,753 -------------------- Tobacco (1.54%) Altria Group Inc 6,450 563,665 -------------------- Transport - Services (1.18%) Deutsche Post AG 14,062 432,536 -------------------- Web Portals (0.85%) Yahoo! Inc (a)(b) 11,000 311,410 -------------------- Wireless Equipment (3.51%) Nokia OYJ 11,200 245,094 Qualcomm Inc 11,650 438,739 Telefonaktiebolaget LM Ericsson 152,900 605,004 -------------------- 1,288,837 -------------------- TOTAL COMMON STOCKS $ 36,143,495 -------------------- Principal Amount Value ---------- -------------------------------- ---- -------------------- MONEY MARKET FUNDS (10.49%) Money Center Banks (10.49%) BNY Institutional Cash Reserve Fund (c) 3,849,000 3,849,000 -------------------- TOTAL MONEY MARKET FUNDS $ 3,849,000 -------------------- Total Investments $ 39,992,495 Liabilities in Excess of Other Assets, Net - (8.95)% (3,284,546) -------------------- TOTAL NET ASSETS - 100.00% $ 36,707,949 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 3,919,139 Unrealized Depreciation (687,937) -------------------- Net Unrealized Appreciation (Depreciation) 3,231,202 Cost for federal income tax purposes 36,761,293 Portfolio Summary (unaudited) ------------------------------------------------------------------------- Country Percent ------------------------------------------------------------------------- United States 50.13% Japan 11.19% United Kingdom 11.12% France 7.46% Switzerland 7.12% Italy 4.91% Germany 3.16% Canada 3.05% Brazil 2.02% Sweden 1.65% Spain 1.48% Bermuda 1.40% Hong Kong 1.28% Mexico 0.92% Netherlands 0.86% Finland 0.67% Korea, Republic Of 0.53% Liabilities in Excess of Other Assets, Net (-8.95%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Partners International Fund Shares Held Value ------ ------------------------------------------------------ COMMON STOCKS (95.39%) Aerospace & Defense (1.19%) BAE Systems PLC 723,600 $ 5,939,013 Meggitt PLC 477,600 3,173,960 Rolls-Royce Group PLC (a) 671,828 6,177,362 -------------------- 15,290,335 -------------------- Agricultural Chemicals (0.19%) Syngenta AG (a) 12,995 2,395,974 -------------------- Airlines (0.24%) Air France-KLM 68,400 3,077,443 -------------------- Airport Development & Maintenance (0.17%) Macquarie Airports Management Ltd 819,604 2,259,440 -------------------- Apparel Manufacturers (0.45%) Billabong International Ltd 197,500 2,506,037 Burberry Group PLC 251,400 3,252,523 -------------------- 5,758,560 -------------------- Applications Software (0.21%) Sage Group PLC 509,900 2,697,367 -------------------- Audio & Video Products (0.45%) Sony Corp 125,400 5,767,070 -------------------- Auto - Car & Light Trucks (3.89%) DaimlerChrysler AG 104,250 6,496,178 Fiat SpA 168,000 3,641,368 Honda Motor Co Ltd 242,500 9,544,871 Nissan Motor Co Ltd 229,000 2,861,551 Peugeot SA 93,700 6,161,180 Toyota Motor Corp 324,700 21,390,164 -------------------- 50,095,312 -------------------- Auto - Medium & Heavy Duty Trucks (0.22%) Scania AB 39,700 2,844,711 -------------------- Beverages - Wine & Spirits (0.41%) Pernod-Ricard SA 25,740 5,270,452 -------------------- Brewery (0.16%) Foster's Group Ltd 181,200 952,610 SABMiller PLC 46,800 1,061,087 -------------------- 2,013,697 -------------------- Building - Heavy Construction (0.62%) Vinci SA 58,436 8,027,572 -------------------- Building - Residential & Commercial (0.53%) Daiwa House Industry Co Ltd 154,000 2,603,248 Haseko Corp (a) 291,000 1,121,271 Sekisui House Ltd 72,000 1,009,480 Building - Residential & Commercial Wilson Bowden PLC 45,700 2,053,438 -------------------- 6,787,437 -------------------- Building & Construction - Miscellaneous (0.48%) Bouygues SA 90,800 6,136,175 -------------------- Building & Construction Products - Miscellaneous (0.59%) Cie de Saint-Gobain 63,000 5,944,868 CSR Ltd 578,200 1,607,421 -------------------- 7,552,289 -------------------- Building Products - Cement & Aggregate (0.75%) Buzzi Unicem SpA 106,880 3,025,655 CRH PLC 71,700 2,828,751 CRH PLC 21,000 829,325 Rinker Group Ltd 206,700 2,985,533 -------------------- 9,669,264 -------------------- Cellular Telecommunications (1.99%) China Unicom Ltd 1,436,000 1,927,529 NTT DoCoMo Inc 3,871 5,902,088 Vodafone Group PLC 6,104,775 17,751,321 -------------------- 25,580,938 -------------------- Chemicals - Diversified (1.73%) Asahi Kasei Corp 280,000 1,860,789 BASF AG 47,400 4,567,945 Bayer AG 120,800 7,099,214 Nitto Denko Corp 38,100 1,865,852 Shin-Etsu Chemical Co Ltd 66,300 4,307,193 Tokuyama Corp 158,000 2,533,394 -------------------- 22,234,387 -------------------- Chemicals - Other (0.07%) Tokai Carbon Co Ltd 123,000 930,552 -------------------- Chemicals - Specialty (0.10%) Tokyo Ohka Kogyo Co Ltd 44,100 1,249,768 -------------------- Circuit Boards (0.17%) Ibiden Co Ltd 43,000 2,134,322 -------------------- Commercial Banks (15.77%) Allied Irish Banks PLC 4,500 130,088 Allied Irish Banks PLC 95,800 2,763,185 Australia & New Zealand Banking Group Ltd 266,075 6,014,710 Banco Bilbao Vizcaya Argentaria SA 408,400 10,140,137 Banco Popolare di Verona e Novara Scrl (b) 205,900 6,472,868 Banco Santander Central Hispano SA 825,100 15,690,074 Bank of East Asia Ltd 329,000 1,889,921 Barclays PLC 905,100 13,159,142 BNP Paribas 64,850 7,230,912 Chiba Bank Ltd/The 308,000 2,774,246 Commonwealth Bank of Australia 57,000 2,214,933 DBS Group Holdings Ltd 144,000 2,062,903 DNB NOR ASA 590,100 8,860,602 EFG International (a) 29,140 1,013,392 Hang Seng Bank Ltd 152,000 2,112,314 HSBC Holdings PLC 728,925 13,247,193 Intesa Sanpaolo SpA 323,846 2,441,771 Intesa Sanpaolo SpA 764,100 5,681,578 Commercial Banks Lloyds TSB Group PLC 325,100 3,714,206 Mitsubishi UFJ Financial Group Inc 384 4,645,674 Mizuho Financial Group Inc 1,511 10,893,023 National Australia Bank Ltd 302,800 9,504,311 Royal Bank of Scotland Group PLC 472,000 18,964,203 Skandinaviska Enskilda Banken AB 96,500 3,221,318 Societe Generale 72,215 12,753,513 Standard Chartered PLC 126,717 3,634,854 Sumitomo Mitsui Financial Group Inc 795 8,102,834 Sumitomo Trust & Banking Co Ltd/The 405,000 4,332,574 Tokyo Tomin Bank Ltd/The 59,600 2,316,241 UniCredito Italiano SpA 1,434,200 13,271,841 United Overseas Bank Ltd 195,000 2,399,883 Wing Hang Bank Ltd 121,000 1,526,535 -------------------- 203,180,979 -------------------- Computer Services (0.19%) Computershare Ltd 343,100 2,440,533 -------------------- Computers (0.36%) Wincor Nixdorf AG 29,350 4,655,451 -------------------- Computers - Integrated Systems (0.21%) Fujitsu Ltd 364,000 2,729,698 -------------------- Cosmetics & Toiletries (0.31%) Beiersdorf AG 40,550 2,714,960 Kose Corp 46,000 1,334,107 -------------------- 4,049,067 -------------------- Data Processing & Management (0.21%) Tele Atlas NV (a) 120,800 2,511,254 Tele Atlas NV (a) 11,100 231,187 -------------------- 2,742,441 -------------------- Distribution & Wholesale (0.36%) Cia de Distribucion Integral Logista SA 25,480 1,687,043 Esprit Holdings Ltd 293,500 2,975,393 -------------------- 4,662,436 -------------------- Diversified Financial Services (0.35%) Almancora Comm Va 30,040 4,502,574 -------------------- Diversified Manufacturing Operations (0.82%) Mitsubishi Heavy Industries Ltd 615,000 3,159,596 Siemens AG 56,550 6,205,943 Smiths Group PLC 55,100 1,153,465 -------------------- 10,519,004 -------------------- Diversified Minerals (1.64%) Anglo American PLC 257,500 11,959,802 BHP Billiton Ltd 254,900 5,154,413 Xstrata PLC 87,000 4,054,462 -------------------- 21,168,677 -------------------- Diversified Operations (0.51%) Keppel Corp Ltd 364,000 4,242,756 Swire Pacific Ltd 207,500 2,382,613 -------------------- 6,625,369 -------------------- Electric - Distribution (0.64%) National Grid PLC 543,100 8,194,837 -------------------- Electric - Integrated (3.46%) Chubu Electric Power Co Inc 112,900 3,592,443 E.ON AG 133,420 18,095,386 Fortum Oyj 115,300 3,173,850 International Power PLC 448,700 3,175,845 Kansai Electric Power Co Inc/The 75,900 2,125,804 RWE AG 44,350 4,633,556 Scottish & Southern Energy PLC 90,400 2,657,047 Tohoku Electric Power Co Inc 83,000 2,180,229 Tokyo Electric Power Co Inc/The 66,500 2,264,791 Verbund - Oesterreichische Elektrizitaetswirtschafts AG 54,520 2,636,288 -------------------- 44,535,239 -------------------- Electric Products - Miscellaneous (0.29%) Casio Computer Co Ltd 106,000 2,191,498 Stanley Electric Co Ltd 72,800 1,502,088 -------------------- 3,693,586 -------------------- Electronic Components - Miscellaneous (1.14%) Fanuc Ltd 29,400 2,716,357 Koninklijke Philips Electronics NV 81,400 3,165,821 Murata Manufacturing Co Ltd 44,900 3,177,378 Nippon Electric Glass Co Ltd 169,000 4,033,145 Omron Corp 60,000 1,615,844 -------------------- 14,708,545 -------------------- Electronic Components - Semiconductors (0.13%) United Test and Assembly Center Ltd (a)(b) 3,049,000 1,667,748 -------------------- Electronic Measurement Instruments (0.15%) Yokogawa Electric Corp 116,000 1,890,719 -------------------- Energy - Alternate Sources (0.25%) Q-Cells AG (a)(b) 63,270 3,253,179 -------------------- Engineering - Research & Development Services (0.34%) Linde AG 41,471 4,443,572 -------------------- Filtration & Separation Products (0.46%) Alfa Laval AB 125,600 5,891,496 -------------------- Finance - Investment Banker & Broker (2.64%) Babcock & Brown Ltd 67,800 1,368,899 Credit Suisse Group 166,855 11,786,445 Daiwa Securities Group Inc 335,000 4,097,282 Macquarie Bank Ltd 42,000 2,641,491 UBS AG 225,770 14,123,673 -------------------- 34,017,790 -------------------- Finance - Leasing Company (0.52%) ORIX Corp 23,200 6,651,641 -------------------- Finance - Other Services (1.20%) Deutsche Boerse AG 21,600 4,543,812 Hong Kong Exchanges and Clearing Ltd 290,000 3,146,058 Man Group Plc 542,800 5,702,823 Singapore Exchange Ltd 462,000 2,030,670 -------------------- 15,423,363 -------------------- Food - Catering (0.19%) Sodexho Alliance SA 35,400 2,470,733 -------------------- Food - Miscellaneous/Diversified (2.85%) Groupe Danone 38,300 5,900,371 Nestle SA 43,551 15,977,280 Nissin Food Products Co Ltd 73,500 2,673,724 Orkla ASA 80,000 4,794,680 Royal Numico NV 102,800 5,453,190 Unilever PLC 70,200 1,908,853 -------------------- 36,708,098 -------------------- Food - Retail (1.54%) Metro AG 40,950 2,804,188 Tesco PLC 1,458,400 11,977,115 Woolworths Ltd 277,035 5,109,362 -------------------- 19,890,665 -------------------- Gambling (Non-Hotel) (0.22%) OPAP SA 76,130 2,841,790 -------------------- Hotels & Motels (0.32%) Intercontinental Hotels Group PLC 166,500 4,157,757 -------------------- Import & Export (1.28%) Mitsui & Co Ltd 624,000 9,969,109 Sumitomo Corp 420,000 6,515,081 -------------------- 16,484,190 -------------------- Investment Companies (0.22%) Macquarie Infrastructure Group 1,005,631 2,858,171 -------------------- Investment Management & Advisory Services (0.24%) MPC Muenchmeyer Petersen Capital AG 35,560 3,151,619 -------------------- Life & Health Insurance (1.98%) AMP Ltd 309,600 2,517,190 Aviva PLC 311,055 5,017,410 Legal & General Group PLC 1,362,400 4,142,234 Old Mutual PLC 1,023,600 3,454,032 Prudential PLC 152,925 2,061,113 Swiss Life Holding (a) 17,265 4,345,230 T&D Holdings Inc 60,000 4,042,095 -------------------- 25,579,304 -------------------- Machinery - Electrical (0.73%) KCI Konecranes Oyj 168,900 5,446,186 Nidec Corp 55,300 3,908,758 -------------------- 9,354,944 -------------------- Machinery - Farm (0.20%) Kubota Corp 245,000 2,580,336 -------------------- Machinery - General Industry (0.40%) Metso Oyj 96,600 5,116,747 -------------------- Machinery Tools & Related Products (0.07%) Techtronic Industries Co 631,000 969,831 -------------------- Medical - Drugs (5.99%) Actelion Ltd (a) 24,890 6,054,135 Medical - Drugs AstraZeneca PLC 110,200 6,148,925 Chugai Pharmaceutical Co Ltd 103,800 2,326,641 CSL Ltd/Australia 86,197 4,647,375 Daiichi Sankyo Co Ltd 79,400 2,210,673 GlaxoSmithKline PLC 409,400 10,979,429 Merck KGaA 30,050 3,508,869 Novartis AG 256,860 14,777,737 Roche Holding AG 67,800 12,740,610 Shire PLC 249,000 5,224,803 Takeda Pharmaceutical Co Ltd 130,600 8,516,921 -------------------- 77,136,118 -------------------- Medical Products (0.30%) Nobel Biocare Holding AG 11,670 3,863,726 -------------------- Metal - Diversified (0.39%) Rio Tinto PLC 56,100 2,992,485 Zinifex Ltd 164,800 2,098,792 -------------------- 5,091,277 -------------------- Money Center Banks (0.03%) SNS Reaal 17,000 375,562 -------------------- Multi-Line Insurance (2.60%) Allianz SE 37,020 7,382,770 AXA SA 211,400 8,910,624 Baloise Holding AG 31,140 3,152,435 Fondiaria-Sai SpA 117,100 3,914,780 ING Groep NV 231,500 10,122,939 -------------------- 33,483,548 -------------------- Multimedia (1.28%) Pearson PLC 228,100 3,594,173 Publishing & Broadcasting Ltd (b) 80,700 1,229,535 Reuters Group PLC 568,500 4,819,595 Vivendi 166,290 6,844,494 -------------------- 16,487,797 -------------------- Office Automation & Equipment (0.98%) Canon Inc 161,500 8,497,887 Neopost SA 19,140 2,462,193 Ricoh Co Ltd 74,000 1,612,695 -------------------- 12,572,775 -------------------- Oil - Field Services (0.24%) Petroleum Geo-Services ASA (a) 132,700 3,099,399 -------------------- Oil Company - Exploration & Production (0.22%) Woodside Petroleum Ltd 98,400 2,854,001 -------------------- Oil Company - Integrated (5.67%) BG Group PLC 910,900 11,963,862 BP PLC 1,386,200 14,557,034 ENI SpA 364,700 11,740,749 OMV AG 76,020 4,069,262 Royal Dutch Shell PLC - A Shares 266,700 8,981,174 Royal Dutch Shell PLC - B Shares 224,604 7,528,281 Statoil ASA (b) 145,000 3,868,835 Total SA 153,850 10,387,006 -------------------- 73,096,203 -------------------- Oil Refining & Marketing (0.20%) Nippon Mining Holdings Inc 368,000 2,643,818 -------------------- Paper & Related Products (0.39%) Svenska Cellulosa AB 49,200 2,629,918 UPM-Kymmene Oyj 91,900 2,353,646 -------------------- 4,983,564 -------------------- Photo Equipment & Supplies (0.18%) FUJIFILM Holdings Corp 55,800 2,302,652 -------------------- Power Converter & Supply Equipment (1.12%) Schneider Electric SA 50,800 6,134,402 Vestas Wind Systems A/S (a) 189,150 8,348,548 -------------------- 14,482,950 -------------------- Printing - Commercial (0.04%) Toppan Forms Co Ltd 39,600 541,760 -------------------- Property & Casualty Insurance (0.42%) QBE Insurance Group Ltd 225,118 5,384,302 -------------------- Property Trust (0.33%) Westfield Group 246,000 4,261,899 -------------------- Publishing - Books (0.44%) Reed Elsevier PLC 492,300 5,619,598 -------------------- Real Estate Magagement & Services (0.61%) Mitsubishi Estate Co Ltd 187,000 5,345,956 Pirelli & C Real Estate SpA 34,710 2,532,507 -------------------- 7,878,463 -------------------- Real Estate Operator & Developer (0.48%) Cheung Kong Holdings Ltd 149,000 1,961,844 Mitsui Fudosan Co Ltd 77,000 1,997,100 Sumitomo Realty & Development Co Ltd 63,000 2,187,355 -------------------- 6,146,299 -------------------- Recreational Vehicles (0.11%) Yamaha Motor Co Ltd 46,000 1,425,588 -------------------- Reinsurance (0.68%) Muenchener Rueckversicherungs AG 55,450 8,728,903 -------------------- REITS - Diversified (0.91%) Ascendas Real Estate Investment Trust 776,000 1,253,161 British Land Co PLC 251,200 7,743,581 Rodamco Europe NV 20,500 2,770,740 -------------------- 11,767,482 -------------------- REITS - Office Property (0.06%) Orix JREIT Inc 92 717,368 -------------------- Retail - Apparel & Shoe (0.30%) Inditex SA 67,600 3,830,006 -------------------- Retail - Consumer Electronics (0.13%) Yamada Denki Co Ltd 19,600 1,627,378 -------------------- Retail - Jewelry (0.39%) Compagnie Financiere Richemont AG 89,387 4,988,106 -------------------- Retail - Major Department Store (0.42%) Marks & Spencer Group PLC 282,900 3,757,327 PPR 11,500 1,696,709 -------------------- 5,454,036 -------------------- Retail - Miscellaneous/Diversified (0.43%) Aeon Co Ltd 111,700 2,429,669 UNY Co Ltd 235,000 3,065,048 -------------------- 5,494,717 -------------------- Retail - Sporting Goods (0.07%) Alpen Co Ltd 38,600 959,563 -------------------- Rubber - Tires (0.29%) Bridgestone Corp 59,000 1,280,908 Continental AG 20,850 2,519,936 -------------------- 3,800,844 -------------------- Rubber & Vinyl (0.31%) JSR Corp 170,700 4,059,571 -------------------- Satellite Telecommunications (0.34%) SES Global SA 250,800 4,363,871 -------------------- Security Services (0.08%) Sohgo Security Services Co Ltd 56,000 1,092,807 -------------------- Soap & Cleaning Products (0.63%) Reckitt Benckiser PLC 170,100 8,184,504 -------------------- Steel - Producers (1.01%) Arcelor Mittal 126,200 5,863,838 JFE Holdings Inc 51,200 2,838,316 Nippon Steel Corp 730,000 4,306,928 -------------------- 13,009,082 -------------------- Steel - Specialty (0.20%) Hitachi Metals Ltd 221,000 2,541,830 -------------------- Telecommunication Equipment (0.74%) Alcatel-Lucent 292,780 3,773,990 Foxconn International Holdings Ltd (a)(b) 571,000 1,707,687 Tandberg ASA 242,400 4,039,838 -------------------- 9,521,515 -------------------- Telecommunication Services (1.07%) Cable & Wireless PLC 527,600 1,736,277 Fastweb 45,760 2,509,121 Tele2 AB 369,000 5,468,672 Telenor ASA 199,200 4,038,108 -------------------- 13,752,178 -------------------- Telephone - Integrated (1.51%) France Telecom SA 86,000 2,376,279 KDDI Corp 322 2,278,654 Royal KPN NV 345,800 4,980,241 Telefonica SA 452,400 9,876,442 -------------------- 19,511,616 -------------------- Television (0.38%) Modern Times Group - B Shares 52,000 3,288,369 Television Broadcasts Ltd 236,000 1,617,153 -------------------- 4,905,522 -------------------- Textile - Products (0.25%) Mitsubishi Rayon Co Ltd 266,000 1,822,854 Toray Industries Inc 182,000 1,382,947 -------------------- 3,205,801 -------------------- Tobacco (1.83%) Altadis SA 101,500 5,449,052 British American Tobacco PLC 283,200 8,590,923 Gallaher Group PLC 62,500 1,396,175 Imperial Tobacco Group PLC 111,300 4,544,017 Japan Tobacco Inc 754 3,623,799 -------------------- 23,603,966 -------------------- Toys (0.83%) Nintendo Co Ltd 36,400 10,737,819 -------------------- Transport - Marine (0.74%) Iino Kaiun Kaisha Ltd 168,200 1,786,812 Kawasaki Kisen Kaisha Ltd (b) 570,000 4,931,057 Mitsui OSK Lines Ltd 277,000 2,882,930 -------------------- 9,600,799 -------------------- Transport - Rail (0.37%) East Japan Railway Co 680 4,716,274 -------------------- Transport - Services (0.14%) TNT NV 40,400 1,817,144 -------------------- Venture Capital (0.44%) 3i Group PLC 271,200 5,621,360 -------------------- Water (0.58%) Severn Trent PLC 53,100 1,476,217 Veolia Environnement 85,500 5,989,736 -------------------- 7,465,953 -------------------- Web Portals (0.41%) United Internet AG 288,130 5,332,611 -------------------- Wire & Cable Products (0.35%) Sumitomo Electric Industries Ltd 293,000 4,486,775 -------------------- Wireless Equipment (0.68%) Nokia OYJ 284,650 6,229,096 Telefonaktiebolaget LM Ericsson 647,400 2,561,673 -------------------- 8,790,769 -------------------- TOTAL COMMON STOCKS $ 1,229,006,663 -------------------- PREFERRED STOCKS (0.44%) Auto - Car & Light Trucks (0.12%) Porsche AG (b) 1,250 1,577,794 -------------------- Dialysis Centers (0.32%) Fresenius AG 19,605 4,140,239 -------------------- TOTAL PREFERRED STOCKS $ 5,718,033 -------------------- ipal nt Value -------------------------- ------------------ -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (0.18%) U.S. Treasury Bill (0.18%) 0.00%, 3/ 8/2007 (a)(c) 1,380,000 1,373,386 0.00%, 4/ 5/2007 (a)(c) 1,000,000 991,285 -------------------- 2,364,671 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 2,364,671 -------------------- MONEY MARKET FUNDS (1.39%) Money Center Banks (1.39%) BNY Institutional Cash Reserve Fund (d) 17,895,000 17,895,000 -------------------- TOTAL MONEY MARKET FUNDS $ 17,895,000 -------------------- Total Investments $ 1,254,984,367 Other Assets in Excess of Liabilities, Net - 2.60% 33,471,945 -------------------- TOTAL NET ASSETS - 100.00% $ 1,288,456,312 ==================== -------------------- ====================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $2,364,671 or 0.18% of net assets. (d) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 190,640,200 Unrealized Depreciation (10,425,098) -------------------- Net Unrealized Appreciation (Depreciation) 180,215,102 Cost for federal income tax purposes 1,074,769,265
SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------------------------------ ----------------------------------------------- ------------ Buy: DJ Euro Stoxx 50; March 2007 362 $19,345,662 $19,783,199 $437,537 FTSE 100 Index; March 2007 104 12,608,153 12,641,911 (33,758) Topix Index; March 2007 77 10,225,583 11,006,381 780,798
Portfolio Summary (unaudited) ----------------------------------------------- -------------------- Country Percent ----------------------------------------------- -------------------- Japan 21.44% United Kingdom 20.90% France 8.66% Germany 8.22% Switzerland 7.70% Australia 5.48% Italy 4.29% Netherlands 4.18% Spain 3.62% Norway 2.23% Sweden 2.01% Finland 1.73% Hong Kong 1.59% United States 1.57% Singapore 1.06% Denmark 0.65% Austria 0.52% Ireland 0.51% Belgium 0.35% Luxembourg 0.34% Greece 0.22% China 0.13% Other Assets in Excess of Liabilities, Net 2.60% -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) ----------------------------------------------- -------------------- Asset Type Percent ----------------------------------------------- -------------------- Currency Contracts 3.24% Futures 3.37%
SCHEDULE OF FOREIGN CURRENCY CONTRACTS Foreign Currency Delivery Contracts In Value Net Unrealized Appreciation Purchase Contracts Date to Accept Exchange For ---------------------- ----------- ------------- ----------- ------------ --------------------------- ---------------------- ----------- ------------- ----------- ------------ --------------------------- Euro 02/15/2007 14,714,561 $19,000,000 $19,189,701 $189,701 British Pound 02/15/2007 6,310,940 12,000,000 12,398,338 398,338 Japanese Yen 02/15/2007 1,225,665,000 10,500,000 10,176,708 (323,292)
Schedule of Investments January 31, 2007 (unaudited) Partners LargeCap Blend Fund Shares Held Value ------------------------------------------------ ---------------- COMMON STOCKS (99.22%) Advertising Sales (0.19%) Lamar Advertising Co (a)(b) 29,000 $ 1,922,120 -------------------- Aerospace & Defense (1.35%) Boeing Co 55,200 4,943,712 General Dynamics Corp (a) 20,840 1,628,646 Raytheon Co 67,200 3,487,680 Rockwell Collins Inc 49,800 3,396,858 -------------------- 13,456,896 -------------------- Aerospace & Defense Equipment (0.67%) United Technologies Corp 97,200 6,611,544 -------------------- Agricultural Chemicals (0.25%) Monsanto Co (a) 45,000 2,479,050 -------------------- Agricultural Operations (0.10%) Archer-Daniels-Midland Co 29,800 953,600 -------------------- Airlines (0.28%) Southwest Airlines Co 183,300 2,767,830 -------------------- Applications Software (2.49%) Microsoft Corp 700,200 21,608,172 Red Hat Inc (a)(b) 136,500 3,102,645 -------------------- 24,710,817 -------------------- Athletic Footwear (0.14%) Nike Inc 14,500 1,432,745 -------------------- Audio & Video Products (0.07%) Harman International Industries Inc 6,900 652,533 -------------------- Auto - Car & Light Trucks (0.16%) Ford Motor Co (a) 193,900 1,576,407 -------------------- Beverages - Non-Alcoholic (1.74%) Coca-Cola Co/The 168,400 8,062,992 PepsiCo Inc 141,700 9,244,508 -------------------- 17,307,500 -------------------- Brewery (0.38%) Anheuser-Busch Cos Inc 74,000 3,771,780 -------------------- Broadcasting Services & Programming (0.29%) Clear Channel Communications Inc 39,700 1,441,904 Liberty Media Holding Corp - Capital (b) 13,895 1,421,459 -------------------- 2,863,363 -------------------- Building - Residential & Commercial (0.35%) DR Horton Inc (a) 53,800 1,563,428 Lennar Corp 35,100 1,908,738 -------------------- 3,472,166 -------------------- Building Products - Air & Heating (0.05%) American Standard Cos Inc (a) 11,000 543,290 -------------------- Building Products - Wood (0.17%) Masco Corp (a) 51,700 1,653,883 -------------------- Cable TV (1.00%) Comcast Corp (a)(b) 136,000 6,027,520 EchoStar Communications Corp (b) 39,100 1,577,294 Rogers Communications Inc (a) 75,000 2,321,250 -------------------- 9,926,064 -------------------- Casino Hotels (0.42%) Harrah's Entertainment Inc 17,500 1,478,400 Wynn Resorts Ltd (a) 24,200 2,704,108 -------------------- 4,182,508 -------------------- Casino Services (0.28%) International Game Technology 63,000 2,737,980 -------------------- Cellular Telecommunications (0.18%) Alltel Corp 28,900 1,771,281 -------------------- Chemicals - Diversified (0.71%) Dow Chemical Co/The 76,700 3,186,118 EI Du Pont de Nemours & Co 77,700 3,850,812 -------------------- 7,036,930 -------------------- Chemicals - Specialty (0.15%) Ecolab Inc (a) 25,400 1,115,060 Sigma-Aldrich Corp (a) 10,800 409,860 -------------------- 1,524,920 -------------------- Coal (0.30%) Consol Energy Inc 71,800 2,472,074 Peabody Energy Corp 12,900 526,707 -------------------- 2,998,781 -------------------- Commercial Banks (0.70%) First Horizon National Corp (a) 66,100 2,881,960 Synovus Financial Corp 126,500 4,039,145 -------------------- 6,921,105 -------------------- Commercial Services - Finance (0.38%) H&R Block Inc (a) 46,500 1,143,900 Moody's Corp 17,600 1,259,456 Western Union Co/The 61,800 1,380,612 -------------------- 3,783,968 -------------------- Computer Aided Design (0.21%) Autodesk Inc (b) 47,400 2,072,328 -------------------- Computer Services (0.16%) Affiliated Computer Services Inc (a)(b) 18,000 881,820 Computer Sciences Corp (a)(b) 12,800 671,488 -------------------- 1,553,308 -------------------- Computers (3.28%) Apple Inc (b) 53,300 4,569,409 Dell Inc (b) 256,100 6,210,425 Hewlett-Packard Co 235,300 10,183,784 International Business Machines Corp 56,000 5,552,400 Computers Sun Microsystems Inc (b) 910,900 6,048,376 -------------------- 32,564,394 -------------------- Computers - Memory Devices (0.36%) EMC Corp/Massachusetts (a)(b) 134,300 1,878,857 Network Appliance Inc (b) 23,800 894,880 SanDisk Corp (a)(b) 20,600 828,120 -------------------- 3,601,857 -------------------- Consulting Services (0.20%) Accenture Ltd 52,000 1,963,000 -------------------- Consumer Products - Miscellaneous (0.42%) Clorox Co 27,800 1,818,676 Fortune Brands Inc 5,100 426,972 Kimberly-Clark Corp 28,000 1,943,200 -------------------- 4,188,848 -------------------- Cosmetics & Toiletries (2.26%) Avon Products Inc 73,600 2,531,104 Colgate-Palmolive Co (a) 30,500 2,083,150 Procter & Gamble Co 274,157 17,784,565 -------------------- 22,398,819 -------------------- Data Processing & Management (0.66%) Automatic Data Processing Inc 74,700 3,564,684 Fidelity National Information Services (a) 11,400 484,728 First Data Corp 61,800 1,536,348 NAVTEQ Corp (a)(b) 26,100 926,028 -------------------- 6,511,788 -------------------- Disposable Medical Products (0.07%) CR Bard Inc 8,300 684,916 -------------------- Distribution & Wholesale (0.06%) Fastenal Co (a) 17,000 633,760 -------------------- Diversified Manufacturing Operations (6.60%) 3M Co 92,300 6,857,890 Danaher Corp 105,900 7,842,954 General Electric Co 808,000 29,128,400 Honeywell International Inc 55,700 2,544,933 Illinois Tool Works Inc 142,400 7,260,976 Tyco International Ltd 374,400 11,935,872 -------------------- 65,571,025 -------------------- E-Commerce - Products (0.35%) Amazon.Com Inc (a)(b) 92,300 3,476,941 -------------------- Electric - Generation (0.30%) AES Corp/The (b) 141,800 2,948,022 -------------------- Electric - Integrated (2.38%) American Electric Power Co Inc 19,400 844,482 Constellation Energy Group Inc 34,500 2,502,975 Duke Energy Corp 127,900 2,518,351 Edison International 59,900 2,694,302 Entergy Corp 45,100 4,187,535 Exelon Corp 84,200 5,051,158 PPL Corp 70,800 2,520,480 Public Service Enterprise Group Inc (a) 32,100 2,151,663 Electric - Integrated TECO Energy Inc (a) 67,900 1,151,584 -------------------- 23,622,530 -------------------- Electronic Components - Miscellaneous (0.19%) Flextronics International Ltd (b) 58,200 676,866 Jabil Circuit Inc 50,600 1,213,894 -------------------- 1,890,760 -------------------- Electronic Components - Semiconductors (1.41%) Advanced Micro Devices Inc (a)(b) 130,900 2,035,495 Broadcom Corp (b) 32,900 1,050,168 Intel Corp 443,000 9,285,280 Xilinx Inc 68,600 1,666,980 -------------------- 14,037,923 -------------------- Engineering - Research & Development Services (0.12%) Fluor Corp (a) 14,600 1,205,960 -------------------- Enterprise Software & Services (0.35%) Oracle Corp (b) 202,100 3,468,036 -------------------- Entertainment Software (0.11%) Electronic Arts Inc (b) 22,000 1,100,000 -------------------- Fiduciary Banks (0.81%) Investors Financial Services Corp 35,700 1,669,689 Northern Trust Corp 19,400 1,178,550 State Street Corp 73,000 5,186,650 -------------------- 8,034,889 -------------------- Filtration & Separation Products (0.07%) Pall Corp 19,600 681,296 -------------------- Finance - Consumer Loans (0.24%) SLM Corp 51,400 2,362,344 -------------------- Finance - Credit Card (0.45%) American Express Co 77,400 4,506,228 -------------------- Finance - Investment Banker & Broker (6.83%) Charles Schwab Corp/The 102,700 1,943,084 Citigroup Inc 509,400 28,083,222 E*Trade Financial Corp (b) 181,500 4,424,970 Goldman Sachs Group Inc 47,400 10,056,384 JPMorgan Chase & Co 141,828 7,223,300 Lehman Brothers Holdings Inc 75,000 6,168,000 Merrill Lynch & Co Inc 17,100 1,599,876 Morgan Stanley 100,500 8,320,395 -------------------- 67,819,231 -------------------- Finance - Mortgage Loan/Banker (0.47%) Countrywide Financial Corp (a) 108,100 4,700,188 -------------------- Finance - Other Services (0.76%) Chicago Mercantile Exchange Holdings Inc (a) 9,170 5,165,461 IntercontinentalExchange Inc (a)(b) 17,900 2,336,845 -------------------- 7,502,306 -------------------- Food - Miscellaneous/Diversified (0.43%) General Mills Inc 44,100 2,524,284 Food - Miscellaneous/Diversified Kellogg Co 34,700 1,709,669 -------------------- 4,233,953 -------------------- Food - Retail (0.10%) Kroger Co/The 31,600 808,960 Whole Foods Market Inc (a) 4,500 194,355 -------------------- 1,003,315 -------------------- Food - Wholesale & Distribution (0.23%) Sysco Corp 66,400 2,294,120 -------------------- Forestry (0.17%) Weyerhaeuser Co 22,200 1,665,000 -------------------- Gas - Distribution (0.12%) AGL Resources Inc (a) 25,800 1,013,940 NiSource Inc 8,800 209,440 -------------------- 1,223,380 -------------------- Gold Mining (0.18%) Newmont Mining Corp (a) 39,800 1,794,980 -------------------- Hotels & Motels (0.39%) Hilton Hotels Corp (a) 21,600 764,424 Marriott International Inc 59,100 2,845,074 Starwood Hotels & Resorts Worldwide Inc 4,800 300,384 -------------------- 3,909,882 -------------------- Human Resources (0.31%) Monster Worldwide Inc (b) 46,200 2,282,742 Robert Half International Inc 19,100 777,370 -------------------- 3,060,112 -------------------- Independent Power Producer (0.45%) Dynegy Inc (b) 243,900 1,719,495 Mirant Corp (b) 21,300 728,034 NRG Energy Inc (a)(b) 23,000 1,378,390 Reliant Energy Inc (b) 40,100 596,688 -------------------- 4,422,607 -------------------- Industrial Gases (0.20%) Air Products & Chemicals Inc 6,900 515,154 Praxair Inc (a) 23,100 1,456,686 -------------------- 1,971,840 -------------------- Instruments - Scientific (0.19%) Thermo Fisher Scientific Inc (b) 39,300 1,880,505 -------------------- Insurance Brokers (0.49%) AON Corp 87,600 3,141,336 Marsh & McLennan Cos Inc 22,800 672,600 Willis Group Holdings Ltd 25,600 1,046,016 -------------------- 4,859,952 -------------------- Internet Content - Information & News (0.03%) CNET Networks Inc (a)(b) 28,200 258,030 -------------------- Internet Security (0.58%) Checkfree Corp (a)(b) 10,800 447,444 McAfee Inc (b) 81,200 2,375,912 VeriSign Inc (a)(b) 124,700 2,980,330 -------------------- 5,803,686 -------------------- Investment Management & Advisory Services (0.78%) Affiliated Managers Group Inc (a)(b) 15,200 1,693,280 Ameriprise Financial Inc 32,700 1,927,992 Franklin Resources Inc 18,400 2,191,624 Legg Mason Inc (a) 18,900 1,981,665 -------------------- 7,794,561 -------------------- Life & Health Insurance (0.68%) Cigna Corp (a) 15,100 1,999,240 Prudential Financial Inc (a) 53,900 4,804,107 -------------------- 6,803,347 -------------------- Machinery - Construction & Mining (0.17%) Caterpillar Inc 21,800 1,396,726 Joy Global Inc (a) 6,600 306,702 -------------------- 1,703,428 -------------------- Medical - Biomedical/Gene (1.10%) Amgen Inc (b) 89,600 6,305,152 Biogen Idec Inc (a)(b) 33,200 1,604,888 Celgene Corp (a)(b) 28,400 1,524,512 Genentech Inc (a)(b) 9,200 803,804 Genzyme Corp (b) 10,900 716,457 -------------------- 10,954,813 -------------------- Medical - Drugs (4.30%) Abbott Laboratories 79,700 4,224,100 Allergan Inc (a) 19,400 2,264,174 Bristol-Myers Squibb Co (a) 23,600 679,444 Cephalon Inc (a)(b) 8,800 637,208 Eli Lilly & Co 87,800 4,751,736 Merck & Co Inc 162,300 7,262,925 Pfizer Inc 520,100 13,647,424 Schering-Plough Corp 146,400 3,660,000 Sepracor Inc (a)(b) 4,800 273,888 Wyeth 106,300 5,252,283 -------------------- 42,653,182 -------------------- Medical - Generic Drugs (0.14%) Barr Pharmaceuticals Inc (b) 25,300 1,354,056 -------------------- Medical - HMO (1.51%) Aetna Inc 58,600 2,470,576 Humana Inc (b) 34,000 1,887,000 UnitedHealth Group Inc 113,100 5,910,606 WellPoint Inc (b) 59,900 4,694,962 -------------------- 14,963,144 -------------------- Medical - Nursing Homes (0.17%) Manor Care Inc 31,800 1,693,032 -------------------- Medical Instruments (1.04%) Boston Scientific Corp (b) 130,200 2,402,190 Medtronic Inc 114,100 6,098,645 St Jude Medical Inc (b) 42,700 1,825,852 -------------------- 10,326,687 -------------------- Medical Products (1.96%) Baxter International Inc 19,600 973,336 Becton Dickinson & Co 29,300 2,254,342 Johnson & Johnson 239,500 15,998,600 Zimmer Holdings Inc (a)(b) 2,900 244,238 -------------------- 19,470,516 -------------------- Metal - Aluminum (0.17%) Alcoa Inc 52,300 1,689,290 -------------------- Metal - Copper (0.16%) Phelps Dodge Corp 13,000 1,606,800 -------------------- Metal - Diversified (0.21%) Rio Tinto PLC ADR 9,600 2,075,616 -------------------- Motorcycle/Motor Scooter (0.18%) Harley-Davidson Inc 26,800 1,829,636 -------------------- Multi-Line Insurance (3.17%) American International Group Inc 234,200 16,030,990 Genworth Financial Inc 67,500 2,355,750 Hartford Financial Services Group Inc 41,000 3,891,310 Loews Corp 24,100 1,047,386 Metlife Inc 99,200 6,162,304 XL Capital Ltd (a) 28,700 1,980,300 -------------------- 31,468,040 -------------------- Multimedia (1.88%) EW Scripps Co 28,300 1,381,889 McGraw-Hill Cos Inc/The 20,300 1,361,724 Meredith Corp (a) 8,700 512,952 News Corp 126,600 2,943,450 Time Warner Inc 227,100 4,966,677 Viacom Inc (b) 70,400 2,863,168 Walt Disney Co/The 131,500 4,624,855 -------------------- 18,654,715 -------------------- Networking Products (1.42%) Cisco Systems Inc (b) 393,400 10,460,506 Juniper Networks Inc (a)(b) 198,400 3,595,008 -------------------- 14,055,514 -------------------- Non-Hazardous Waste Disposal (0.35%) Republic Services Inc 58,400 2,525,800 Waste Management Inc 25,700 976,086 -------------------- 3,501,886 -------------------- Office Automation & Equipment (0.15%) Pitney Bowes Inc (a) 30,500 1,460,035 -------------------- Office Supplies & Forms (0.14%) Avery Dennison Corp 20,100 1,374,036 -------------------- Oil - Field Services (1.48%) Baker Hughes Inc 56,800 3,920,904 BJ Services Co 56,200 1,554,492 Schlumberger Ltd 145,800 9,256,842 -------------------- 14,732,238 -------------------- Oil & Gas Drilling (0.45%) Nabors Industries Ltd (a)(b) 38,400 1,162,752 Transocean Inc (b) 43,400 3,357,858 -------------------- 4,520,610 -------------------- Oil Company - Exploration & Production (0.85%) Anadarko Petroleum Corp 19,900 870,625 Devon Energy Corp 20,600 1,443,854 EOG Resources Inc 24,700 1,707,511 Oil Company - Exploration & Production Murphy Oil Corp (a) 53,600 2,664,456 XTO Energy Inc 33,966 1,714,264 -------------------- 8,400,710 -------------------- Oil Company - Integrated (5.76%) Chevron Corp 163,400 11,908,592 ConocoPhillips 87,000 5,777,670 Exxon Mobil Corp 482,600 35,760,660 Occidental Petroleum Corp 47,100 2,183,556 Total SA ADR (a) 22,600 1,537,930 -------------------- 57,168,408 -------------------- Oil Field Machinery & Equipment (0.39%) FMC Technologies Inc (a)(b) 24,200 1,498,706 Grant Prideco Inc (b) 59,600 2,335,128 -------------------- 3,833,834 -------------------- Oil Refining & Marketing (0.21%) Valero Energy Corp 37,600 2,040,928 -------------------- Optical Supplies (0.14%) Alcon Inc (a) 11,900 1,401,344 -------------------- Paper & Related Products (0.35%) Bowater Inc (a) 19,800 541,926 International Paper Co (a) 87,800 2,958,860 -------------------- 3,500,786 -------------------- Pharmacy Services (0.80%) Caremark Rx Inc 30,500 1,868,430 Express Scripts Inc (a)(b) 27,500 1,911,800 Medco Health Solutions Inc (a)(b) 36,000 2,131,560 Omnicare Inc (a) 50,800 2,041,652 -------------------- 7,953,442 -------------------- Pipelines (0.41%) Williams Cos Inc 152,700 4,121,373 -------------------- Property & Casualty Insurance (0.34%) Progressive Corp/The 67,400 1,563,006 St Paul Travelers Cos Inc/The 36,671 1,864,720 -------------------- 3,427,726 -------------------- Publishing - Newspapers (0.07%) Tribune Co (a) 22,800 696,312 -------------------- Regional Banks (5.06%) Bank of America Corp 192,470 10,120,073 Fifth Third Bancorp (a) 124,700 4,975,530 SunTrust Banks Inc (a) 124,300 10,329,330 US Bancorp 305,800 10,886,480 Wells Fargo & Co 388,400 13,951,328 -------------------- 50,262,741 -------------------- Reinsurance (0.12%) Axis Capital Holdings Ltd 35,900 1,182,905 -------------------- REITS - Apartments (0.39%) Archstone-Smith Trust 60,600 3,830,526 -------------------- REITS - Office Property (0.33%) Boston Properties Inc (a) 26,300 3,316,167 -------------------- REITS - Regional Malls (0.27%) Simon Property Group Inc (a) 23,800 2,722,482 -------------------- REITS - Warehouse & Industrial (0.18%) Prologis 27,700 1,800,500 -------------------- Retail - Apparel & Shoe (0.17%) Ross Stores Inc (a) 53,400 1,729,626 -------------------- Retail - Bedding (0.51%) Bed Bath & Beyond Inc (a)(b) 119,700 5,050,143 -------------------- Retail - Building Products (1.14%) Home Depot Inc 178,100 7,255,794 Lowe's Cos Inc 121,200 4,085,652 -------------------- 11,341,446 -------------------- Retail - Consumer Electronics (0.20%) Best Buy Co Inc 40,000 2,016,000 -------------------- Retail - Discount (1.97%) Costco Wholesale Corp 32,600 1,831,468 Target Corp 90,700 5,565,352 TJX Cos Inc 102,000 3,016,140 Wal-Mart Stores Inc 192,900 9,199,401 -------------------- 19,612,361 -------------------- Retail - Drug Store (0.60%) CVS Corp (a) 62,000 2,086,300 Walgreen Co 85,800 3,886,740 -------------------- 5,973,040 -------------------- Retail - Office Supplies (0.16%) Staples Inc (a) 60,750 1,562,490 -------------------- Retail - Regional Department Store (0.89%) Kohl's Corp (b) 124,500 8,828,295 -------------------- Savings & Loans - Thrifts (0.27%) Sovereign Bancorp Inc 38,400 946,560 Washington Mutual Inc 39,200 1,747,928 -------------------- 2,694,488 -------------------- Schools (0.04%) Apollo Group Inc (a)(b) 8,600 373,240 -------------------- Semiconductor Component - Integrated Circuits (0.59%) Analog Devices Inc 68,800 2,253,200 Marvell Technology Group Ltd (a)(b) 137,700 2,518,533 Maxim Integrated Products Inc 34,800 1,071,840 -------------------- 5,843,573 -------------------- Semiconductor Equipment (0.50%) Applied Materials Inc 194,900 3,455,577 ASML Holding NV (a)(b) 60,400 1,541,408 -------------------- 4,996,985 -------------------- Steel - Producers (0.23%) Nucor Corp (a) 35,300 2,278,262 -------------------- Telecommunication Equipment (0.16%) Alcatel-Lucent ADR (a) 121,812 1,583,556 -------------------- Telecommunication Equipment - Fiber Optics (0.10%) Corning Inc (b) 45,900 956,556 -------------------- Telephone - Integrated (2.33%) AT&T Inc 525,510 19,774,941 Verizon Communications Inc 86,300 3,324,276 -------------------- 23,099,217 -------------------- Therapeutics (0.28%) Gilead Sciences Inc (b) 42,500 2,733,600 -------------------- Tobacco (1.51%) Altria Group Inc (a) 171,700 15,004,863 -------------------- Toys (0.08%) Hasbro Inc 28,200 800,880 -------------------- Transport - Rail (0.67%) Canadian National Railway Co 42,400 1,937,256 Norfolk Southern Corp 87,300 4,334,445 Union Pacific Corp 3,500 353,500 -------------------- 6,625,201 -------------------- Transport - Services (0.48%) Expeditors International Washington Inc (a) 55,300 2,360,757 FedEx Corp 8,300 916,320 United Parcel Service Inc (a) 20,000 1,445,600 -------------------- 4,722,677 -------------------- Web Portals (1.33%) Google Inc (b) 21,300 10,677,690 Yahoo! Inc (a)(b) 89,000 2,519,590 -------------------- 13,197,280 -------------------- Wireless Equipment (1.94%) American Tower Corp (b) 129,492 5,157,666 Crown Castle International Corp (a)(b) 140,600 4,943,496 Motorola Inc 249,900 4,960,515 Qualcomm Inc 112,700 4,244,282 -------------------- 19,305,959 -------------------- TOTAL COMMON STOCKS $ 985,216,224 -------------------- Principal Amount Value --------------------------------------------- -------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (0.07%) U.S. Treasury Bill (0.07%) 0.00%, 3/ 8/2007 (b)(c) 700,000 696,645 -------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 696,645 -------------------- MONEY MARKET FUNDS (12.16%) Money Center Banks (12.16%) BNY Institutional Cash Reserve Fund (d) 120,750,000 120,750,000 -------------------- TOTAL MONEY MARKET FUNDS $ 120,750,000 -------------------- Total Investments $ 1,106,662,869 Liabilities in Excess of Other Assets, Net - (11.45)% (113,681,471) -------------------- TOTAL NET ASSETS - 100.00% $ 992,981,398 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $696,645 or 0.07% of net assets. (d) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 161,350,794 Unrealized Depreciation (19,119,722) -------------------- Net Unrealized Appreciation (Depreciation) 142,231,072 Cost for federal income tax purposes 964,431,797 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------ ----------------------- -------------- Buy: S&P 500 EMINI FUT MAR07 134 $9,613,213 $9,668,101 $54,888 Portfolio Summary (unaudited) ------------------------------------------------------------------- Sector Percent ------------------------------------------------------------------- Financial 34.52% Consumer, Non-cyclical 19.73% Communications 11.84% Industrial 11.08% Technology 10.26% Energy 9.85% Consumer, Cyclical 8.07% Utilities 3.25% Basic Materials 2.78% Government 0.07% Liabilities in Excess of Other Assets, Net (-11.45%) -------------- TOTAL NET ASSETS 100.00% ============== Other Assets Summary (unaudited) ------------------------------------------------------------------- Asset Type Percent ------------------------------------------------------------------- Futures 0.97%
Schedule of Investments January 31, 2007 (unaudited) Partners LargeCap Blend Fund I Shares Held Value --------------------------------- -------------------- COMMON STOCKS (98.94%) Aerospace & Defense (3.12%) Boeing Co 23,600 $ 2,113,616 Lockheed Martin Corp 60,400 5,870,276 Northrop Grumman Corp 67,600 4,795,544 Raytheon Co 87,000 4,515,300 -------------------- 17,294,736 -------------------- Agricultural Chemicals (0.46%) Monsanto Co 46,700 2,572,703 -------------------- Apparel Manufacturers (0.15%) Jones Apparel Group Inc 24,800 847,168 -------------------- Applications Software (2.66%) Intuit Inc (a)(b) 19,399 610,099 Microsoft Corp 458,900 14,161,654 -------------------- 14,771,753 -------------------- Batteries & Battery Systems (0.36%) Energizer Holdings Inc (a)(b) 23,700 2,019,951 -------------------- Beverages - Non-Alcoholic (1.31%) Coca-Cola Co/The 143,100 6,851,628 Coca-Cola Enterprises Inc (a) 15,400 316,008 PepsiCo Inc 1,600 104,384 -------------------- 7,272,020 -------------------- Brewery (0.03%) Molson Coors Brewing Co (a) 1,900 153,520 -------------------- Cable TV (1.98%) Comcast Corp (a)(b) 130,700 5,792,624 DIRECTV Group Inc/The (a)(b) 213,200 5,199,948 -------------------- 10,992,572 -------------------- Cellular Telecommunications (0.28%) Alltel Corp 19,800 1,213,542 US Cellular Corp (b) 4,800 346,080 -------------------- 1,559,622 -------------------- Chemicals - Diversified (0.02%) EI Du Pont de Nemours & Co 2,800 138,768 -------------------- Commercial Banks (0.20%) Regions Financial Corp 31,000 1,124,060 -------------------- Commercial Services - Finance (0.76%) Moody's Corp 59,000 4,222,040 -------------------- Computer Services (0.25%) Computer Sciences Corp (b) 26,700 1,400,682 -------------------- Computers (3.66%) Hewlett-Packard Co 218,100 9,439,368 International Business Machines Corp 71,400 7,079,310 Computers Sun Microsystems Inc (b) 573,300 3,806,712 -------------------- 20,325,390 -------------------- Computers - Peripheral Equipment (0.69%) Lexmark International Inc (a)(b) 60,700 3,825,921 -------------------- Consulting Services (0.80%) Accenture Ltd 117,200 4,424,300 -------------------- Consumer Products - Miscellaneous (0.19%) American Greetings Corp (a) 43,100 1,035,262 -------------------- Cosmetics & Toiletries (1.71%) Alberto-Culver Co 23,500 537,445 Colgate-Palmolive Co 71,800 4,903,940 Procter & Gamble Co 62,250 4,038,157 -------------------- 9,479,542 -------------------- Data Processing & Management (0.41%) First Data Corp 63,000 1,566,180 SEI Investments Co 11,300 704,329 -------------------- 2,270,509 -------------------- Disposable Medical Products (0.07%) CR Bard Inc 5,000 412,600 -------------------- Distribution & Wholesale (0.04%) Tech Data Corp (b) 6,200 230,268 -------------------- Diversified Manufacturing Operations (4.16%) 3M Co 27,300 2,028,390 General Electric Co 302,400 10,901,520 Honeywell International Inc 15,300 699,057 SPX Corp (a) 33,400 2,344,346 Tyco International Ltd 223,900 7,137,932 -------------------- 23,111,245 -------------------- E-Commerce - Services (0.41%) IAC/InterActiveCorp (a)(b) 59,900 2,300,160 -------------------- Electric - Generation (0.11%) AES Corp/The (b) 29,900 621,621 -------------------- Electric - Integrated (3.34%) American Electric Power Co Inc 45,600 1,984,968 Duke Energy Corp 170,800 3,363,052 Entergy Corp 51,700 4,800,345 OGE Energy Corp (a) 7,800 302,016 PG&E Corp 109,200 5,097,456 TXU Corp 55,300 2,990,624 -------------------- 18,538,461 -------------------- Electronic Components - Semiconductors (1.23%) Intel Corp 38,800 813,248 LSI Logic Corp (a)(b) 10,400 97,760 Micron Technology Inc (a)(b) 197,200 2,553,740 Nvidia Corp (a)(b) 19,900 609,935 Texas Instruments Inc 88,700 2,766,553 -------------------- 6,841,236 -------------------- Enterprise Software & Services (0.98%) Oracle Corp (b) 317,200 5,443,152 -------------------- Fiduciary Banks (0.12%) Bank of New York Co Inc/The 16,300 652,163 -------------------- Finance - Auto Loans (0.19%) AmeriCredit Corp (a)(b) 38,700 1,050,318 -------------------- Finance - Investment Banker & Broker (5.97%) Citigroup Inc 252,700 13,931,351 JPMorgan Chase & Co 212,580 10,826,699 Lehman Brothers Holdings Inc 6,000 493,440 Merrill Lynch & Co Inc 84,500 7,905,820 -------------------- 33,157,310 -------------------- Finance - Mortgage Loan/Banker (0.13%) Countrywide Financial Corp (a) 16,400 713,072 -------------------- Financial Guarantee Insurance (0.55%) AMBAC Financial Group Inc 6,900 607,890 MBIA Inc (a) 20,832 1,496,363 PMI Group Inc/The 12,600 602,532 Radian Group Inc (a) 5,700 343,254 -------------------- 3,050,039 -------------------- Food - Meat Products (0.18%) Tyson Foods Inc (a) 57,300 1,017,075 -------------------- Food - Miscellaneous/Diversified (1.30%) ConAgra Foods Inc 3,600 92,556 General Mills Inc 47,900 2,741,796 Kraft Foods Inc (a) 125,500 4,382,460 -------------------- 7,216,812 -------------------- Food - Retail (1.07%) Kroger Co/The 34,700 888,320 Safeway Inc (a) 140,700 5,069,421 -------------------- 5,957,741 -------------------- Gold Mining (0.05%) Newmont Mining Corp (a) 6,100 275,110 -------------------- Hotels & Motels (0.93%) Marriott International Inc (a) 107,600 5,179,864 -------------------- Human Resources (0.70%) Manpower Inc 53,400 3,894,462 -------------------- Industrial Gases (0.03%) Praxair Inc 2,300 145,038 -------------------- Instruments - Scientific (0.17%) Applera Corp - Applied Biosystems Group 20,600 716,056 Waters Corp (b) 4,500 255,105 -------------------- 971,161 -------------------- Internet Security (0.71%) Symantec Corp (a)(b) 223,100 3,951,101 -------------------- Investment Management & Advisory Services (1.52%) Ameriprise Financial Inc 56,000 3,301,760 Blackrock, Inc. (a) 18,700 3,137,112 T Rowe Price Group Inc 41,500 1,991,585 -------------------- 8,430,457 -------------------- Life & Health Insurance (1.33%) Cigna Corp 37,500 4,965,000 Lincoln National Corp 7,600 510,264 Nationwide Financial Services 4,200 229,530 Reinsurance Group of America Inc 28,847 1,677,453 -------------------- 7,382,247 -------------------- Machinery - Construction & Mining (0.21%) Terex Corp (a)(b) 20,300 1,154,867 -------------------- Machinery - Farm (1.51%) AGCO Corp (a)(b) 91,500 3,108,255 Deere & Co 52,700 5,284,756 -------------------- 8,393,011 -------------------- Medical - Biomedical/Gene (2.22%) Amgen Inc (b) 44,600 3,138,502 Biogen Idec Inc (a)(b) 49,400 2,387,996 Celgene Corp (a)(b) 88,000 4,723,840 Millennium Pharmaceuticals Inc (a)(b) 188,600 2,093,460 -------------------- 12,343,798 -------------------- Medical - Drugs (4.55%) Abbott Laboratories 8,000 424,000 Forest Laboratories Inc (b) 49,900 2,799,889 Merck & Co Inc 175,900 7,871,525 Pfizer Inc 473,820 12,433,037 Wyeth 35,300 1,744,173 -------------------- 25,272,624 -------------------- Medical - HMO (0.73%) Aetna Inc 51,600 2,175,456 Humana Inc (b) 18,000 999,000 WellCare Health Plans Inc (b) 11,100 860,028 -------------------- 4,034,484 -------------------- Medical - Wholesale Drug Distribution (0.87%) AmerisourceBergen Corp (a) 91,900 4,813,722 -------------------- Medical Instruments (0.19%) Medtronic Inc 19,400 1,036,930 -------------------- Medical Products (3.04%) Becton Dickinson & Co 5,200 400,088 Johnson & Johnson 174,800 11,676,640 Zimmer Holdings Inc (a)(b) 56,800 4,783,696 -------------------- 16,860,424 -------------------- Metal - Copper (0.66%) Phelps Dodge Corp 6,900 852,840 Southern Copper Corp (a) 44,600 2,787,500 -------------------- 3,640,340 -------------------- Motorcycle/Motor Scooter (0.64%) Harley-Davidson Inc 51,700 3,529,559 -------------------- Multi-Line Insurance (2.44%) Allstate Corp/The 25,000 1,504,000 Multi-Line Insurance American International Group Inc 46,600 3,189,770 Genworth Financial Inc 38,100 1,329,690 Loews Corp 120,900 5,254,314 Metlife Inc 36,700 2,279,804 -------------------- 13,557,578 -------------------- Multimedia (3.32%) McGraw-Hill Cos Inc/The 20,500 1,375,140 News Corp 93,100 2,276,295 News Corp 97,700 2,271,525 Time Warner Inc 367,700 8,041,599 Walt Disney Co/The 126,500 4,449,005 -------------------- 18,413,564 -------------------- Networking Products (2.16%) Cisco Systems Inc (b) 424,500 11,287,455 Polycom Inc (a)(b) 20,500 689,210 -------------------- 11,976,665 -------------------- Non-Hazardous Waste Disposal (0.04%) Waste Management Inc 5,800 220,284 -------------------- Oil - Field Services (0.93%) Schlumberger Ltd 33,300 2,114,217 SEACOR Holdings Inc (a)(b) 25,400 2,571,242 Tidewater Inc (a) 9,200 474,444 -------------------- 5,159,903 -------------------- Oil Company - Exploration & Production (1.27%) Anadarko Petroleum Corp 13,200 577,500 Apache Corp 13,000 948,610 Devon Energy Corp 78,700 5,516,083 -------------------- 7,042,193 -------------------- Oil Company - Integrated (6.87%) Chevron Corp 104,900 7,645,112 ConocoPhillips 50,668 3,364,862 Exxon Mobil Corp 306,900 22,741,290 Marathon Oil Corp 48,400 4,372,456 -------------------- 38,123,720 -------------------- Oil Refining & Marketing (0.62%) Holly Corp 4,600 242,374 Valero Energy Corp 58,600 3,180,808 -------------------- 3,423,182 -------------------- Pharmacy Services (0.10%) Caremark Rx Inc 9,300 569,718 -------------------- Pipelines (0.08%) Oneok Inc 9,800 420,518 -------------------- Property & Casualty Insurance (0.10%) Alleghany Corp (a)(b) 1,550 555,690 -------------------- Regional Banks (6.13%) Bank of America Corp 145,958 7,674,472 PNC Financial Services Group Inc 10,900 804,093 SunTrust Banks Inc (a) 53,700 4,462,470 US Bancorp 168,900 6,012,840 Wachovia Corp 125,875 7,111,937 Regional Banks Wells Fargo & Co 221,200 7,945,504 -------------------- 34,011,316 -------------------- Reinsurance (0.72%) Axis Capital Holdings Ltd (a) 120,800 3,980,360 -------------------- REITS - Diversified (0.15%) iStar Financial Inc (a) 16,600 832,490 -------------------- REITS - Office Property (1.02%) Equity Office Properties Trust (a) 85,600 4,755,080 HRPT Properties Trust (a) 68,800 895,776 -------------------- 5,650,856 -------------------- REITS - Storage (0.09%) Public Storage Inc 4,800 522,048 -------------------- Retail - Apparel & Shoe (0.47%) American Eagle Outfitters 79,950 2,588,781 -------------------- Retail - Automobile (0.15%) Autonation Inc (a)(b) 35,900 805,955 -------------------- Retail - Consumer Electronics (0.03%) Circuit City Stores Inc (a) 9,524 194,385 -------------------- Retail - Discount (0.21%) Costco Wholesale Corp 1,600 89,888 TJX Cos Inc 16,800 496,776 Wal-Mart Stores Inc 12,600 600,894 -------------------- 1,187,558 -------------------- Retail - Drug Store (0.17%) CVS Corp (a) 27,600 928,740 -------------------- Retail - Major Department Store (0.12%) JC Penney Co Inc 8,300 674,292 -------------------- Retail - Office Supplies (0.43%) Office Depot Inc (a)(b) 45,600 1,704,984 OfficeMax Inc 14,400 695,376 -------------------- 2,400,360 -------------------- Retail - Regional Department Store (0.62%) Dillard's Inc (a) 17,900 614,686 Kohl's Corp (b) 39,800 2,822,218 -------------------- 3,436,904 -------------------- Retail - Restaurants (0.86%) McDonald's Corp 76,600 3,397,210 Starbucks Corp (a)(b) 19,700 688,318 Yum! Brands Inc (a) 11,700 702,117 -------------------- 4,787,645 -------------------- Retail - Sporting Goods (0.17%) Dick's Sporting Goods Inc (a)(b) 18,000 926,820 -------------------- Savings & Loans - Thrifts (0.51%) Washington Mutual Inc 63,700 2,840,383 -------------------- Semiconductor Component - Integrated Circuits (0.27%) Atmel Corp (b) 251,100 1,501,578 -------------------- Semiconductor Equipment (0.74%) Novellus Systems Inc (a)(b) 133,700 4,121,971 -------------------- Steel - Producers (1.26%) Nucor Corp 84,200 5,434,268 Steel Dynamics Inc (a) 29,000 1,137,090 United States Steel Corp 5,000 417,450 -------------------- 6,988,808 -------------------- Telecommunication Equipment (0.10%) Utstarcom Inc (a)(b) 61,400 542,162 -------------------- Telecommunication Services (0.17%) Embarq Corp 16,590 920,911 -------------------- Telephone - Integrated (2.55%) AT&T Inc 169,427 6,375,538 CenturyTel Inc (a) 31,000 1,390,040 Sprint Nextel Corp 78,800 1,405,004 Telephone & Data Systems Inc - Special Shares (a) 3,100 157,945 Telephone & Data Systems Inc (a) 46,300 2,590,485 Verizon Communications Inc 57,600 2,218,752 -------------------- 14,137,764 -------------------- Television (0.29%) CBS Corp 51,507 1,605,473 -------------------- Tobacco (2.13%) Altria Group Inc 63,000 5,505,570 Loews Corp - Carolina Group 19,600 1,343,384 Reynolds American Inc (a) 4,100 264,450 UST Inc (a) 82,100 4,715,824 -------------------- 11,829,228 -------------------- Toys (0.06%) Mattel Inc 13,100 319,116 -------------------- Transport - Marine (0.12%) Overseas Shipholding Group (a) 11,000 683,430 -------------------- Transport - Rail (1.44%) CSX Corp (a) 109,800 4,039,542 Norfolk Southern Corp 59,800 2,969,070 Union Pacific Corp 9,800 989,800 -------------------- 7,998,412 -------------------- Transport - Services (0.05%) Ryder System Inc 4,800 261,792 -------------------- Web Portals (0.71%) Google Inc (b) 7,850 3,935,205 -------------------- Wireless Equipment (0.32%) Motorola Inc 90,600 1,798,410 -------------------- TOTAL COMMON STOCKS $ 549,229,159 -------------------- Principal Amount Value ------------------------ ------ ------------------------ MONEY MARKET FUNDS (14.60%) Money Center Banks (14.60%) BNY Institutional Cash Reserve Fund (c) 81,061,000 81,061,000 -------------------- TOTAL MONEY MARKET FUNDS $ 81,061,000 -------------------- Total Investments $ 630,290,159 Liabilities in Excess of Other Assets, Net - (13.54)% (75,157,282) -------------------- TOTAL NET ASSETS - 100.00% $ 555,132,877 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 46,932,412 Unrealized Depreciation (10,306,879) -------------------- Net Unrealized Appreciation (Depreciation) 36,625,533 Cost for federal income tax purposes 593,664,626 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------- ------------------------- ----------------------- Buy: S&P 500 EMINI FUT MAR07 60 $4,293,870 $4,329,000 $35,130 Portfolio Summary (unaudited) -------------------------------------------------------------------- Sector Percent -------------------------------------------------------------------- Financial 35.77% Consumer, Non-cyclical 21.95% Communications 12.99% Industrial 11.19% Technology 10.90% Energy 9.76% Consumer, Cyclical 5.05% Utilities 3.45% Basic Materials 2.48% Liabilities in Excess of Other Assets, Net (-13.54%) --------------- TOTAL NET ASSETS 100.00% =================== Other Assets Summary (unaudited) ------------------------------------------------- -------------------- Asset Type Percent ------------------------------------------------- -------------------- Futures 0.78%
Schedule of Investments January 31, 2007 (unaudited) Partners LargeCap Growth Fund I Shares Held Value --------------------------------- -------------------- COMMON STOCKS (98.16%) Advertising Sales (2.13%) Lamar Advertising Co (a)(b) 434,400 $ 28,792,032 -------------------- Agricultural Chemicals (1.06%) Monsanto Co (a) 259,700 14,306,873 -------------------- Airlines (1.92%) Southwest Airlines Co 1,720,500 25,979,550 -------------------- Applications Software (4.53%) Microsoft Corp 1,653,600 51,030,096 Red Hat Inc (a)(b) 450,200 10,233,046 -------------------- 61,263,142 -------------------- Audio & Video Products (1.38%) Harman International Industries Inc 197,200 18,649,204 -------------------- Cable TV (1.21%) EchoStar Communications Corp (a)(b) 405,700 16,365,938 -------------------- Casino Hotels (1.24%) Wynn Resorts Ltd (a) 149,600 16,716,304 -------------------- Casino Services (2.00%) International Game Technology (a) 623,500 27,097,310 -------------------- Computer Aided Design (1.07%) Autodesk Inc (a)(b) 330,100 14,431,972 -------------------- Computers (1.22%) Apple Inc (b) 192,700 16,520,171 -------------------- Consulting Services (1.77%) Accenture Ltd 633,500 23,914,625 -------------------- Data Processing & Management (2.29%) Automatic Data Processing Inc 373,500 17,823,420 NAVTEQ Corp (a)(b) 369,600 13,113,408 -------------------- 30,936,828 -------------------- Diversified Manufacturing Operations (6.84%) Danaher Corp (a) 362,100 26,817,126 General Electric Co 1,820,000 65,611,000 -------------------- 92,428,126 -------------------- E-Commerce - Products (1.93%) Amazon.Com Inc (a)(b) 694,500 26,161,815 -------------------- E-Commerce - Services (0.91%) eBay Inc (b) 378,100 12,246,659 -------------------- Electronic Components - Semiconductors (4.17%) Broadcom Corp (b) 454,900 14,520,408 Electronic Components - Semiconductors Intel Corp 859,300 18,010,928 Xilinx Inc 980,400 23,823,720 -------------------- 56,355,056 -------------------- Electronic Forms (1.21%) Adobe Systems Inc (b) 422,200 16,410,914 -------------------- Fiduciary Banks (2.77%) State Street Corp 526,400 37,400,720 -------------------- Finance - Investment Banker & Broker (3.29%) E*Trade Financial Corp (b) 863,400 21,049,692 Morgan Stanley 283,400 23,462,686 -------------------- 44,512,378 -------------------- Finance - Other Services (1.65%) Chicago Mercantile Exchange Holdings Inc (a) 27,400 15,434,420 IntercontinentalExchange Inc (a)(b) 53,200 6,945,260 -------------------- 22,379,680 -------------------- Food - Wholesale & Distribution (1.42%) Sysco Corp (a) 554,900 19,171,795 -------------------- Hotels & Motels (1.06%) Marriott International Inc (a) 297,000 14,297,580 -------------------- Human Resources (1.10%) Monster Worldwide Inc (a)(b) 300,100 14,827,941 -------------------- Investment Management & Advisory Services (2.80%) Franklin Resources Inc 213,600 25,441,896 Legg Mason Inc 119,100 12,487,635 -------------------- 37,929,531 -------------------- Medical - Biomedical/Gene (4.02%) Amgen Inc (b) 319,400 22,476,178 Celgene Corp (a)(b) 223,800 12,013,584 Genentech Inc (a)(b) 227,200 19,850,464 -------------------- 54,340,226 -------------------- Medical - Drugs (1.97%) Cephalon Inc (a)(b) 110,800 8,023,028 Sepracor Inc (a)(b) 325,400 18,567,324 -------------------- 26,590,352 -------------------- Medical - HMO (3.77%) UnitedHealth Group Inc 551,800 28,837,068 WellPoint Inc (b) 282,800 22,165,864 -------------------- 51,002,932 -------------------- Medical Instruments (2.87%) Medtronic Inc (a) 449,900 24,047,155 St Jude Medical Inc (b) 345,300 14,765,028 -------------------- 38,812,183 -------------------- Networking Products (2.47%) Juniper Networks Inc (a)(b) 1,843,400 33,402,408 -------------------- Oil - Field Services (0.91%) Schlumberger Ltd 194,300 12,336,107 -------------------- Oil & Gas Drilling (0.93%) Transocean Inc (a)(b) 162,000 12,533,940 -------------------- Pharmacy Services (2.59%) Caremark Rx Inc 419,500 25,698,570 Medco Health Solutions Inc (a)(b) 158,600 9,390,706 -------------------- 35,089,276 -------------------- Retail - Bedding (1.34%) Bed Bath & Beyond Inc (a)(b) 430,800 18,175,452 -------------------- Retail - Discount (3.25%) Target Corp 418,500 25,679,160 Wal-Mart Stores Inc 384,200 18,322,498 -------------------- 44,001,658 -------------------- Retail - Drug Store (1.51%) Walgreen Co 449,700 20,371,410 -------------------- Retail - Regional Department Store (2.18%) Kohl's Corp (b) 415,400 29,456,014 -------------------- Semiconductor Component - Integrated Circuits (5.73%) Analog Devices Inc 710,900 23,281,975 Marvell Technology Group Ltd (a)(b) 1,562,800 28,583,612 Maxim Integrated Products Inc (a) 833,700 25,677,960 -------------------- 77,543,547 -------------------- Semiconductor Equipment (1.78%) Applied Materials Inc 1,358,400 24,084,432 -------------------- Therapeutics (2.05%) Gilead Sciences Inc (a)(b) 431,600 27,760,512 -------------------- Transport - Services (1.23%) Expeditors International Washington Inc (a) 391,200 16,700,328 -------------------- Web Portals (3.88%) Google Inc (b) 76,300 38,249,190 Yahoo! Inc (a)(b) 500,700 14,174,817 -------------------- 52,424,007 -------------------- Wireless Equipment (4.71%) American Tower Corp (a)(b) 1,331,500 53,033,645 Qualcomm Inc 281,600 10,605,056 -------------------- 63,638,701 -------------------- TOTAL COMMON STOCKS $ 1,327,359,629 -------------------- Principal Amount Value - ------------------ ------------- MONEY MARKET FUNDS (15.75%) Money Center Banks (15.75%) BNY Institutional Cash Reserve Fund (c) 212,924,000 212,924,000 -------------------- TOTAL MONEY MARKET FUNDS $ 212,924,000 -------------------- Total Investments $ 1,540,283,629 Liabilities in Excess of Other Assets, Net - (13.91)% (188,106,885) -------------------- TOTAL NET ASSETS - 100.00% $ 1,352,176,744 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 184,101,955 Unrealized Depreciation (33,434,409) -------------------- Net Unrealized Appreciation (Depreciation) 150,667,546 Cost for federal income tax purposes 1,389,616,083 Portfolio Summary (unaudited) ----------------------------------------------------- -------------------- Sector Percent ----------------------------------------------------- -------------------- Financial 26.26% Technology 22.01% Consumer, Non-cyclical 21.56% Communications 17.23% Consumer, Cyclical 15.88% Industrial 8.07% Energy 1.84% Basic Materials 1.06% Liabilities in Excess of Other Assets, Net (-13.91%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Partners LargeCap Growth Fund II Shares Held Value ------------------------------------- -------------------- COMMON STOCKS (98.37%) Advertising Sales (0.57%) Lamar Advertising Co (a)(b) 74,800 $ 4,957,744 -------------------- Aerospace & Defense (2.29%) Boeing Co 220,900 19,783,804 -------------------- Aerospace & Defense Equipment (1.81%) United Technologies Corp 230,400 15,671,808 -------------------- Agricultural Chemicals (0.31%) Monsanto Co 48,252 2,658,203 -------------------- Airlines (1.05%) Continental Airlines Inc (a)(b) 218,200 9,053,118 -------------------- Apparel Manufacturers (0.83%) Polo Ralph Lauren Corp (a) 87,400 7,171,170 -------------------- Applications Software (0.76%) Microsoft Corp 213,022 6,573,859 -------------------- Beverages - Non-Alcoholic (2.48%) PepsiCo Inc 328,700 21,444,388 -------------------- Brewery (0.42%) Anheuser-Busch Cos Inc 70,800 3,608,676 -------------------- Commercial Services - Finance (1.94%) Western Union Co/The 749,900 16,752,766 -------------------- Computers (4.84%) Apple Inc (b) 68,000 5,829,640 Hewlett-Packard Co 527,300 22,821,544 International Business Machines Corp 133,768 13,263,097 -------------------- 41,914,281 -------------------- Computers - Memory Devices (1.09%) Network Appliance Inc (b) 252,000 9,475,200 -------------------- Consulting Services (1.00%) Accenture Ltd 229,388 8,659,397 -------------------- Cosmetics & Toiletries (0.29%) Bare Escentuals Inc (a)(b) 69,771 2,545,944 -------------------- Dental Supplies & Equipment (0.17%) Dentsply International Inc 47,300 1,458,732 -------------------- Diagnostic Equipment (0.27%) Cytyc Corp (a)(b) 80,400 2,325,168 -------------------- Diagnostic Kits (0.20%) Idexx Laboratories Inc (b) 20,000 1,716,200 -------------------- Diversified Manufacturing Operations (5.46%) Cooper Industries Ltd 160,200 14,640,678 General Electric Co 577,300 20,811,665 Roper Industries Inc 166,757 8,658,024 Textron Inc (a) 33,702 3,140,015 -------------------- 47,250,382 -------------------- Electric Products - Miscellaneous (2.57%) Emerson Electric Co 494,200 22,224,174 -------------------- Electronic Components - Semiconductors (5.59%) Broadcom Corp (b) 153,400 4,896,528 Intel Corp 866,400 18,159,744 MEMC Electronic Materials Inc (b) 150,900 7,907,160 STMicroelectronics NV (a) 469,700 8,797,481 Xilinx Inc 352,800 8,573,040 -------------------- 48,333,953 -------------------- Enterprise Software & Services (1.25%) Business Objects SA ADR (a)(b) 181,500 6,831,660 Oracle Corp (b) 230,800 3,960,528 -------------------- 10,792,188 -------------------- Finance - Investment Banker & Broker (5.07%) Bear Stearns Cos Inc/The 43,900 7,236,915 Goldman Sachs Group Inc 87,700 18,606,432 JPMorgan Chase & Co 354,400 18,049,592 -------------------- 43,892,939 -------------------- Finance - Other Services (0.03%) Nymex Holdings Inc (a) 1,800 231,894 -------------------- Food - Miscellaneous/Diversified (2.11%) Campbell Soup Co (a) 234,500 9,023,560 ConAgra Foods Inc 358,500 9,217,035 -------------------- 18,240,595 -------------------- Home Decoration Products (1.33%) Newell Rubbermaid Inc 389,700 11,511,738 -------------------- Hotels & Motels (0.78%) Hilton Hotels Corp (a) 190,000 6,724,100 -------------------- Instruments - Scientific (1.13%) Thermo Fisher Scientific Inc (b) 203,700 9,747,045 -------------------- Machinery - Farm (1.34%) AGCO Corp (a)(b) 340,800 11,576,976 -------------------- Medical - Biomedical/Gene (2.21%) Amgen Inc (b) 169,692 11,941,226 Genentech Inc (a)(b) 82,300 7,190,551 -------------------- 19,131,777 -------------------- Medical - Drugs (7.01%) Allergan Inc 29,400 3,431,274 Novartis AG ADR (a) 176,300 10,170,747 Novo-Nordisk A/S ADR 63,571 5,456,299 Roche Holding AG ADR 142,500 13,437,750 Medical - Drugs Schering-Plough Corp 1,125,528 28,138,200 -------------------- 60,634,270 -------------------- Medical - Generic Drugs (1.00%) Teva Pharmaceutical Industries Ltd ADR (a) 246,500 8,652,150 -------------------- Medical Instruments (1.15%) DJO Inc (a)(b) 52,700 2,181,780 Medtronic Inc 146,300 7,819,735 -------------------- 10,001,515 -------------------- Medical Laboratory & Testing Service (0.62%) Laboratory Corp of America Holdings (a)(b) 73,400 5,390,496 -------------------- Medical Products (3.21%) Baxter International Inc 189,577 9,414,394 Becton Dickinson & Co 238,706 18,366,039 -------------------- 27,780,433 -------------------- Networking Products (4.28%) Cisco Systems Inc (b)(c) 1,091,200 29,015,008 Juniper Networks Inc (a)(b) 440,600 7,983,672 -------------------- 36,998,680 -------------------- Oil - Field Services (0.52%) Schlumberger Ltd 71,200 4,520,488 -------------------- Oil Company - Exploration & Production (1.76%) Apache Corp (a) 140,600 10,259,582 Devon Energy Corp (a) 70,600 4,948,354 -------------------- 15,207,936 -------------------- Oil Company - Integrated (1.07%) Occidental Petroleum Corp 199,600 9,253,456 -------------------- Oil Field Machinery & Equipment (0.57%) Cameron International Corp (a)(b) 94,800 4,977,000 -------------------- Property & Casualty Insurance (1.51%) St Paul Travelers Cos Inc/The 256,300 13,032,855 -------------------- Publicly Traded Investment Fund (0.73%) iShares Russell 1000 Growth Index Fund (a) 111,200 6,283,912 -------------------- Regional Banks (3.82%) Bank of America Corp 314,700 16,546,926 Wells Fargo & Co 459,100 16,490,872 -------------------- 33,037,798 -------------------- Retail - Apparel & Shoe (0.95%) DSW Inc (a)(b) 51,100 2,048,599 Gap Inc/The 323,400 6,199,578 -------------------- 8,248,177 -------------------- Retail - Building Products (1.82%) Home Depot Inc 145,400 5,923,596 Lowe's Cos Inc (a) 291,800 9,836,578 -------------------- 15,760,174 -------------------- Retail - Discount (4.86%) Target Corp 104,400 6,405,984 TJX Cos Inc 370,600 10,958,642 Retail - Discount Wal-Mart Stores Inc 518,100 24,708,189 -------------------- 42,072,815 -------------------- Retail - Office Supplies (0.85%) Office Depot Inc (a)(b) 196,700 7,354,613 -------------------- Retail - Restaurants (2.55%) Chipotle Mexican Grill Inc (a)(b) 95,155 5,265,878 Starbucks Corp (a)(b) 263,100 9,192,714 Wendy's International Inc 223,700 7,596,852 -------------------- 22,055,444 -------------------- Steel - Specialty (1.15%) Allegheny Technologies Inc 96,200 9,955,738 -------------------- Steel Pipe & Tube (0.32%) Valmont Industries Inc (a) 50,021 2,774,665 -------------------- Telecommunication Equipment - Fiber Optics (0.81%) Corning Inc (b) 335,300 6,987,652 -------------------- Telephone - Integrated (0.43%) AT&T Inc 99,000 3,725,370 -------------------- Textile - Home Furnishings (0.87%) Mohawk Industries Inc (a)(b) 91,000 7,500,220 -------------------- Therapeutics (1.29%) Gilead Sciences Inc (a)(b) 173,600 11,165,952 -------------------- Veterinary Diagnostics (0.21%) VCA Antech Inc (a)(b) 54,100 1,818,842 -------------------- Web Portals (2.52%) Google Inc (a)(b) 43,500 21,806,550 -------------------- Wireless Equipment (3.30%) American Tower Corp (b) 440,300 17,537,149 Crown Castle International Corp (a)(b) 312,400 10,983,984 -------------------- 28,521,133 -------------------- TOTAL COMMON STOCKS $ 850,946,553 -------------------- Principal Amount Value ------------------------------------------- -------------------- SHORT TERM INVESTMENTS (0.54%) Commercial Paper (0.54%) Abbott Laboratories 5.21%, 2/ 2/2007 1,000,000 999,855 Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 3,695,000 3,695,000 -------------------- 4,694,855 -------------------- TOTAL SHORT TERM INVESTMENTS $ 4,694,855 -------------------- MONEY MARKET FUNDS (12.49%) Money Center Banks (12.49%) BNY Institutional Cash Reserve Fund (d) 108,037,000 108,037,000 -------------------- TOTAL MONEY MARKET FUNDS $ 108,037,000 -------------------- Total Investments $ 963,678,408 Liabilities in Excess of Other Assets, Net - (11.40)% (98,598,874) -------------------- TOTAL NET ASSETS - 100.00% $ 865,079,534 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $13,295,000 or 1.54% of net assets. (d) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 87,978,918 Unrealized Depreciation (6,716,879) -------------------- Net Unrealized Appreciation (Depreciation) 81,262,039 Cost for federal income tax purposes 882,416,369 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) --------------------------- ---------------------------------- ----------------- Buy: S&P 500 eMini; March 2007 65 $4,675,233 $4,689,751 $14,518 Portfolio Summary (unaudited) ------------------------------------------------------------------ Sector Percent ------------------------------------------------------------------ Consumer, Non-cyclical 25.70% Financial 22.91% Consumer, Cyclical 15.89% Industrial 14.91% Technology 13.53% Communications 11.91% Energy 3.93% Basic Materials 1.46% Funds 0.73% Mortgage Securities 0.43% Liabilities in Excess of Other Assets, Net (-11.40%) -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) ----------------------------------------------------------- Asset Type Percent ----------------------------------------------------------- Currency Contracts 2.08% Futures 0.54% SCHEDULE OF FOREIGN CURRENCY CONTRACTS Foreign Currency Delivery Contracts In Value Net Unrealized Sale Contracts Date to Deliver Exchange Appreciation For --------------------------- ------------- ----------- ------------------------ --------------------------- ------------- ----------- ------------------------ Swiss Franc 02/28/2007 17,627,746 $14,108,066 $14,210,682 $(102,616) Danish Kroner 02/28/2007 21,533,994 3,749,281 3,768,948 (19,667)
Schedule of Investments January 31, 2007 (unaudited) Partners LargeCap Value Fund Shares Held Value -------------- ------------------ -------------------- COMMON STOCKS (95.45%) Advertising Agencies (0.39%) Interpublic Group of Cos Inc (a)(b) 812,200 $ 10,688,552 -------------------- Aerospace & Defense (1.69%) Boeing Co 160,200 14,347,512 Lockheed Martin Corp 138,200 13,431,658 Northrop Grumman Corp 256,100 18,167,734 -------------------- 45,946,904 -------------------- Agricultural Operations (0.19%) Bunge Ltd 68,800 5,294,160 -------------------- Apparel Manufacturers (0.62%) Jones Apparel Group Inc (a) 261,050 8,917,468 VF Corp 104,700 7,943,589 -------------------- 16,861,057 -------------------- Applications Software (0.54%) Microsoft Corp 474,600 14,646,156 -------------------- Auto - Car & Light Trucks (0.46%) DaimlerChrysler AG (a) 200,200 12,510,498 -------------------- Auto/Truck Parts & Equipment - Original (1.31%) Autoliv Inc 227,200 13,709,248 BorgWarner Inc 146,100 10,013,694 Magna International Inc (a) 153,500 11,991,420 -------------------- 35,714,362 -------------------- Beverages - Non-Alcoholic (0.25%) PepsiCo Inc 103,900 6,778,436 -------------------- Brewery (0.55%) Molson Coors Brewing Co (a) 184,700 14,923,760 -------------------- Cable TV (1.10%) Comcast Corp (a)(b) 675,500 29,938,160 -------------------- Chemicals - Diversified (1.54%) Dow Chemical Co/The 410,700 17,060,478 EI Du Pont de Nemours & Co 251,600 12,469,296 PPG Industries Inc 186,500 12,363,085 -------------------- 41,892,859 -------------------- Chemicals - Specialty (0.56%) Ashland Inc 71,550 4,976,303 Hercules Inc (a)(b) 115,100 2,257,111 Lubrizol Corp 157,000 8,088,640 -------------------- 15,322,054 -------------------- Commercial Banks (0.22%) BB&T Corp 139,700 5,903,722 -------------------- Computer Services (0.44%) Ceridian Corp (a)(b) 119,200 3,572,424 Computer Services Electronic Data Systems Corp (a) 315,900 8,311,329 -------------------- 11,883,753 -------------------- Computers (1.20%) Hewlett-Packard Co 306,200 13,252,336 International Business Machines Corp 196,000 19,433,400 -------------------- 32,685,736 -------------------- Consulting Services (0.46%) Accenture Ltd 333,500 12,589,625 -------------------- Consumer Products - Miscellaneous (1.13%) Clorox Co 254,500 16,649,390 Kimberly-Clark Corp 202,200 14,032,680 -------------------- 30,682,070 -------------------- Containers - Metal & Glass (0.69%) Crown Holdings Inc (a)(b) 464,000 10,240,480 Owens-Illinois Inc (a)(b) 381,300 8,487,738 -------------------- 18,728,218 -------------------- Containers - Paper & Plastic (0.37%) Sonoco Products Co 261,400 10,063,900 -------------------- Cosmetics & Toiletries (2.37%) Colgate-Palmolive Co 227,500 15,538,250 Procter & Gamble Co 752,700 48,827,649 -------------------- 64,365,899 -------------------- Distribution & Wholesale (0.19%) Tech Data Corp (a)(b) 136,700 5,077,038 -------------------- Diversified Manufacturing Operations (4.15%) Eaton Corp 215,550 16,888,342 General Electric Co 2,261,000 81,509,050 Ingersoll-Rand Co Ltd 3,200 137,216 SPX Corp (a) 142,700 10,016,113 Textron Inc (a) 45,200 4,211,284 -------------------- 112,762,005 -------------------- Electric - Integrated (2.71%) Allegheny Energy Inc (a)(b) 281,700 13,104,684 Constellation Energy Group Inc 192,800 13,987,640 Entergy Corp 187,800 17,437,230 Northeast Utilities (a) 142,500 3,940,125 Pinnacle West Capital Corp 248,100 12,104,799 TXU Corp 238,800 12,914,304 Wisconsin Energy Corp 6,400 297,984 -------------------- 73,786,766 -------------------- Electronic Components - Miscellaneous (0.83%) Celestica Inc (b) 218,600 1,302,856 Flextronics International Ltd (a)(b) 1,098,500 12,775,555 Sanmina-SCI Corp (b) 1,195,500 4,184,250 Solectron Corp (a)(b) 1,360,200 4,420,650 -------------------- 22,683,311 -------------------- Electronic Parts Distribution (0.19%) Arrow Electronics Inc (b) 150,400 5,301,600 -------------------- Engines - Internal Combustion (0.37%) Cummins Inc (a) 75,800 10,199,648 -------------------- Fiduciary Banks (0.53%) Mellon Financial Corp 334,100 14,279,434 -------------------- Finance - Commercial (0.16%) CIT Group Inc 72,200 4,256,912 -------------------- Finance - Investment Banker & Broker (9.26%) Citigroup Inc 2,028,900 111,853,257 Goldman Sachs Group Inc 32,200 6,831,552 JPMorgan Chase & Co 1,504,000 76,598,720 Merrill Lynch & Co Inc 441,100 41,269,316 Morgan Stanley 184,900 15,307,871 -------------------- 251,860,716 -------------------- Finance - Mortgage Loan/Banker (3.00%) Countrywide Financial Corp (a) 534,300 23,231,364 Fannie Mae 562,350 31,789,645 Freddie Mac 409,200 26,569,356 -------------------- 81,590,365 -------------------- Financial Guarantee Insurance (1.14%) MBIA Inc (a) 230,400 16,549,632 MGIC Investment Corp 236,300 14,584,436 -------------------- 31,134,068 -------------------- Food - Miscellaneous/Diversified (2.18%) ConAgra Foods Inc 545,100 14,014,521 General Mills Inc 239,950 13,734,738 Kellogg Co 261,700 12,893,959 Kraft Foods Inc (a) 86,500 3,020,580 Sara Lee Corp (a) 917,600 15,736,840 -------------------- 59,400,638 -------------------- Food - Retail (1.29%) Kroger Co/The 582,100 14,901,760 Safeway Inc (a) 559,000 20,140,770 -------------------- 35,042,530 -------------------- Home Decoration Products (0.01%) Newell Rubbermaid Inc 5,400 159,516 -------------------- Insurance Brokers (0.43%) AON Corp 322,700 11,572,022 -------------------- Investment Management & Advisory Services (0.51%) Janus Capital Group Inc (a) 437,100 8,951,808 Waddell & Reed Financial Inc (a) 193,600 4,969,712 -------------------- 13,921,520 -------------------- Life & Health Insurance (0.78%) Prudential Financial Inc (a) 132,100 11,774,073 Torchmark Corp 3,200 207,968 UnumProvident Corp 415,200 9,134,400 -------------------- 21,116,441 -------------------- Medical - Drugs (4.11%) Eli Lilly & Co 85,000 4,600,200 Merck & Co Inc 804,775 36,013,681 Pfizer Inc 2,707,200 71,036,928 -------------------- 111,650,809 -------------------- Medical - Hospitals (0.09%) Tenet Healthcare Corp (a)(b) 330,200 2,331,212 -------------------- Medical - Wholesale Drug Distribution (0.37%) AmerisourceBergen Corp (a) 192,900 10,104,102 -------------------- Multi-Line Insurance (5.82%) ACE Ltd (a) 117,500 6,789,150 Allstate Corp/The 127,700 7,682,432 American International Group Inc 868,600 59,455,670 Genworth Financial Inc 541,200 18,887,880 Hartford Financial Services Group Inc 194,100 18,422,031 Metlife Inc 374,550 23,267,046 Old Republic International Corp 636,100 14,185,030 XL Capital Ltd (a) 136,800 9,439,200 -------------------- 158,128,439 -------------------- Multimedia (1.99%) Time Warner Inc 1,719,500 37,605,465 Viacom Inc (b) 156,600 6,368,922 Walt Disney Co/The 291,100 10,237,987 -------------------- 54,212,374 -------------------- Networking Products (0.28%) Cisco Systems Inc (b) 282,400 7,509,016 -------------------- Office Supplies & Forms (0.47%) Avery Dennison Corp 188,400 12,879,024 -------------------- Oil & Gas Drilling (0.24%) GlobalSantaFe Corp (a) 113,500 6,584,135 -------------------- Oil Company - Integrated (11.35%) BP PLC ADR (a) 207,300 13,165,623 Chevron Corp 982,900 71,633,752 ConocoPhillips 424,800 28,210,968 Exxon Mobil Corp 1,919,200 142,212,720 Marathon Oil Corp 288,900 26,099,226 Occidental Petroleum Corp 89,800 4,163,128 Royal Dutch Shell PLC ADR (a) 156,400 10,674,300 Total SA ADR 181,100 12,323,855 -------------------- 308,483,572 -------------------- Paper & Related Products (0.75%) Smurfit-Stone Container Corp (a)(b) 480,200 5,186,160 Temple-Inland Inc (a) 304,600 15,211,724 -------------------- 20,397,884 -------------------- Property & Casualty Insurance (1.80%) Chubb Corp 260,300 13,546,012 Fidelity National Financial Inc (a) 439,400 10,431,356 St Paul Travelers Cos Inc/The 491,191 24,977,062 -------------------- 48,954,430 -------------------- Publishing - Periodicals (0.08%) Idearc Inc (a) 68,435 2,218,663 -------------------- Regional Banks (7.55%) Bank of America Corp 1,688,266 88,769,026 Comerica Inc 210,200 12,464,860 Fifth Third Bancorp (a) 205,800 8,211,420 Keycorp (a) 257,400 9,824,958 National City Corp 567,600 21,483,660 SunTrust Banks Inc (a) 176,500 14,667,150 US Bancorp (a) 366,500 13,047,400 Regional Banks Wachovia Corp 404,500 22,854,250 Wells Fargo & Co 390,500 14,026,760 -------------------- 205,349,484 -------------------- Reinsurance (0.39%) PartnerRe Ltd 29,200 1,985,600 RenaissanceRe Holdings Ltd (a) 161,900 8,624,413 -------------------- 10,610,013 -------------------- Retail - Apparel & Shoe (0.95%) Gap Inc/The 742,600 14,235,642 Ltd Brands Inc (a) 415,500 11,609,070 -------------------- 25,844,712 -------------------- Retail - Major Department Store (0.26%) Saks Inc (a) 373,200 7,001,232 -------------------- Retail - Office Supplies (0.56%) Office Depot Inc (a)(b) 404,600 15,127,994 -------------------- Retail - Restaurants (1.15%) McDonald's Corp 702,300 31,147,005 -------------------- Savings & Loans - Thrifts (1.33%) Astoria Financial Corp 282,200 8,350,298 Washington Mutual Inc 623,800 27,815,242 -------------------- 36,165,540 -------------------- Steel - Producers (0.55%) Arcelor Mittal 313,700 14,922,709 14,922,709 -------------------- Telecommunication Services (0.36%) Embarq Corp (a) 178,462 9,906,426 -------------------- Telephone - Integrated (6.19%) AT&T Inc 2,376,900 89,442,747 Sprint Nextel Corp (a) 1,462,400 26,074,592 Verizon Communications Inc 1,368,700 52,722,324 -------------------- 168,239,663 -------------------- Television (0.72%) CBS Corp 626,800 19,537,356 -------------------- Tobacco (1.81%) Altria Group Inc 545,825 47,699,647 UST Inc (a) 26,625 1,529,340 -------------------- 49,228,987 -------------------- Tools - Hand Held (0.51%) Black & Decker Corp (a) 157,700 13,764,056 -------------------- Toys (0.24%) Mattel Inc (a) 264,400 6,440,784 -------------------- Transport - Rail (0.64%) CSX Corp (a) 476,200 17,519,398 -------------------- Wireless Equipment (1.08%) American Tower Corp (a)(b) 120,000 4,779,600 Crown Castle International Corp (a)(b) 367,400 12,917,784 Wireless Equipment Nokia OYJ ADR 529,800 11,708,580 -------------------- 29,405,964 -------------------- TOTAL COMMON STOCKS $ 2,595,229,394 -------------------- Principal Amount Value -------------- ------------------ -------------------- SHORT TERM INVESTMENTS (3.55%) Commercial Paper (3.55%) Abbott Laboratories 5.21%, 2/ 2/2007 4,300,000 4,299,378 Alcon Capital Corp 5.22%, 2/ 1/2007 3,410,000 3,410,000 Anglesea Funding LLC 5.28%, 2/ 1/2007 4,300,000 4,300,000 Archer Daniels Midland 5.25%, 2/27/2007 3,000,000 2,988,625 Atlas Capital Funding Corp 5.27%, 2/ 1/2007 4,500,000 4,500,000 Australis & New Zealand Banking Co 5.24%, 2/ 5/2007 4,600,000 4,597,322 Beta Finance Inc 5.25%, 4/16/2007 4,100,000 4,055,754 5.245%, 4/18/2007 4,650,000 4,598,512 Coast Asset Corp 5.28%, 2/ 5/2007 1,187,000 1,186,304 Colonial Pipeline Co 5.25%, 2/12/2007 4,000,000 3,993,583 Concentrate Mfg Co Ireland 5.22%, 2/ 1/2007 4,000,000 4,000,000 Emerson Electric Co 5.23%, 2/ 6/2007 600,000 599,564 Eureka Securitization Inc 5.26%, 3/15/2007 3,650,000 3,627,601 Govco Inc 5.26%, 3/ 6/2007 4,000,000 3,980,713 HBOS Treasury Services 5.245%, 2/ 7/2007 2,300,000 2,297,987 5.24%, 4/ 4/2007 1,300,000 1,288,268 Hudson-Thames LLC 5.29%, 2/ 1/2007 4,607,000 4,607,000 Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 1,583,000 1,583,000 Koch Industries Inc 5.26%, 2/ 7/2007 3,200,000 3,197,195 MICA Funding LLC 5.30%, 2/ 1/2007 1,200,000 1,200,000 National Australia Funding 5.25%, 2/ 5/2007 3,685,000 3,682,850 Premier Asset Collateral Entity Ltd 5.28%, 2/15/2007 3,000,000 2,993,840 Skandinaviska Enskilda Banken 5.25%, 2/21/2007 2,000,000 1,994,167 Southern Company Funding 5.23%, 2/ 9/2007 4,000,000 3,995,351 Swedish Housing Finance Corp 5.27%, 2/ 8/2007 3,900,000 3,896,004 Sydney Capital Corp 5.275%, 2/28/2007 4,500,000 4,482,197 Commercial Paper Tierra Alta Funding Corp 5.27%, 3/ 1/2007 3,650,000 3,635,039 Total Capital 5.23%, 2/ 1/2007 4,621,000 4,621,000 Versailles CDS Ltd 5.27%, 2/ 1/2007 3,000,000 3,000,000 -------------------- 96,611,254 -------------------- TOTAL SHORT TERM INVESTMENTS $ 96,611,254 -------------------- MONEY MARKET FUNDS (9.84%) Money Center Banks (9.84%) BNY Institutional Cash Reserve Fund (c) 267,531,000 267,531,000 -------------------- TOTAL MONEY MARKET FUNDS $ 267,531,000 -------------------- Total Investments $ 2,959,371,648 Liabilities in Excess of Other Assets, Net - (8.84)% (240,412,620) -------------------- TOTAL NET ASSETS - 100.00% $ 2,718,959,028 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 584,769,823 Unrealized Depreciation (32,466,784) -------------------- Net Unrealized Appreciation (Depreciation) 552,303,039 Cost for federal income tax purposes 2,407,068,609 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------ ---------------------------------------------------- Buy: S&P 500 EMINI FUT MAR07 1,400 $99,807,466 $101,010,000 $1,202,534 Portfolio Summary (unaudited) ----------------------------------------------- -------------------- Sector Percent ----------------------------------------------- -------------------- Financial 45.05% Consumer, Non-cyclical 15.71% Communications 12.20% Energy 12.02% Industrial 9.47% Consumer, Cyclical 5.73% Basic Materials 3.40% Utilities 2.71% Technology 2.18% Special Purpose Entity 0.17% Government 0.14% Mortgage Securities 0.06% Liabilities in Excess of Other Assets, Net (-8.84%) -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) ----------------------------------------------- -------------------- Asset Type Percent ----------------------------------------------- -------------------- Futures 3.72%
Schedule of Investments January 31, 2007 (unaudited) Partners LargeCap Value Fund I Shares Held Value --------------------------------- -------------------- COMMON STOCKS (95.62%) Advertising Agencies (1.69%) Omnicom Group Inc (a) 123,600 $ 13,002,720 -------------------- Advertising Services (0.77%) RH Donnelley Corp (a)(b) 89,300 5,945,594 -------------------- Aerospace & Defense (1.91%) Lockheed Martin Corp (a) 55,000 5,345,450 Northrop Grumman Corp (a) 131,200 9,307,328 -------------------- 14,652,778 -------------------- Applications Software (1.91%) Microsoft Corp 474,300 14,636,898 -------------------- Auto - Medium & Heavy Duty Trucks (1.09%) Paccar Inc 124,800 8,345,376 -------------------- Auto/Truck Parts & Equipment - Original (3.65%) BorgWarner Inc 137,000 9,389,980 Johnson Controls Inc (a) 201,000 18,584,460 -------------------- 27,974,440 -------------------- Beverages - Wine & Spirits (0.62%) Constellation Brands Inc (a)(b) 192,100 4,752,554 -------------------- Brewery (1.15%) Anheuser-Busch Cos Inc 173,900 8,863,683 -------------------- Building Products - Wood (1.76%) Masco Corp (a) 422,000 13,499,780 -------------------- Commercial Banks (0.57%) City National Corp/Beverly Hills CA 60,500 4,351,765 -------------------- Consulting Services (0.98%) Accenture Ltd 198,400 7,489,600 -------------------- Consumer Products - Miscellaneous (0.90%) Fortune Brands Inc 82,700 6,923,644 -------------------- Diversified Manufacturing Operations (2.05%) Illinois Tool Works Inc (a) 308,600 15,735,514 -------------------- Electric - Integrated (6.16%) American Electric Power Co Inc 322,800 14,051,484 Exelon Corp 293,400 17,601,066 Northeast Utilities 326,000 9,013,900 Pepco Holdings Inc (a) 256,900 6,571,502 -------------------- 47,237,952 -------------------- Fiduciary Banks (2.72%) Mellon Financial Corp 268,000 11,454,320 Fiduciary Banks Northern Trust Corp (a) 155,100 9,422,325 -------------------- 20,876,645 -------------------- Finance - Investment Banker & Broker (14.01%) Citigroup Inc 658,400 36,297,592 JPMorgan Chase & Co 667,200 33,980,496 Morgan Stanley 449,400 37,205,826 -------------------- 107,483,914 -------------------- Finance - Mortgage Loan/Banker (1.09%) Freddie Mac 129,400 8,401,942 -------------------- Gas - Distribution (1.80%) NiSource Inc 245,500 5,842,900 Sempra Energy (a) 138,300 7,935,654 -------------------- 13,778,554 -------------------- Internet Security (1.69%) McAfee Inc (b) 68,300 1,998,458 Symantec Corp (a)(b) 620,800 10,994,368 -------------------- 12,992,826 -------------------- Medical - Drugs (5.63%) Bristol-Myers Squibb Co (a) 406,400 11,700,256 Cephalon Inc (a)(b) 56,000 4,054,960 Merck & Co Inc 270,700 12,113,825 Wyeth 309,900 15,312,159 -------------------- 43,181,200 -------------------- Medical - HMO (1.41%) UnitedHealth Group Inc 207,800 10,859,628 -------------------- Medical Products (0.72%) Johnson & Johnson 83,300 5,564,440 -------------------- Motorcycle/Motor Scooter (0.63%) Harley-Davidson Inc 71,000 4,847,170 -------------------- Multi-Line Insurance (5.79%) Allstate Corp/The 171,600 10,323,456 American International Group Inc 312,600 21,397,470 Hartford Financial Services Group Inc 134,300 12,746,413 -------------------- 44,467,339 -------------------- Multimedia (1.18%) News Corp 389,100 9,046,575 -------------------- Oil - Field Services (1.02%) Halliburton Co (a) 265,400 7,839,916 -------------------- Oil & Gas Drilling (2.18%) ENSCO International Inc (a) 161,200 8,200,244 GlobalSantaFe Corp (a) 146,600 8,504,266 -------------------- 16,704,510 -------------------- Oil Company - Integrated (6.42%) Chevron Corp 316,900 23,095,672 Exxon Mobil Corp 352,700 26,135,070 -------------------- 49,230,742 -------------------- Pharmacy Services (1.27%) Medco Health Solutions Inc (a)(b) 165,100 9,775,571 -------------------- Publicly Traded Investment Fund (1.36%) SPDR Trust Series 1 (a) 72,500 10,418,250 -------------------- Regional Banks (10.81%) Bank of America Corp 238,500 12,540,330 Fifth Third Bancorp (a) 515,800 20,580,420 PNC Financial Services Group Inc 242,200 17,867,094 Wells Fargo & Co 889,300 31,943,656 -------------------- 82,931,500 -------------------- Retail - Building Products (1.06%) Home Depot Inc 199,700 8,135,778 -------------------- Retail - Discount (1.68%) Costco Wholesale Corp 228,900 12,859,602 -------------------- Telecommunication Services (0.29%) Embarq Corp (a) 39,819 2,210,352 -------------------- Telephone - Integrated (4.16%) AT&T Inc 471,500 17,742,545 Sprint Nextel Corp 797,184 14,213,791 -------------------- 31,956,336 -------------------- Transport - Rail (1.95%) Burlington Northern Santa Fe Corp 186,700 15,003,212 -------------------- Transport - Services (1.54%) FedEx Corp 106,900 11,801,760 -------------------- TOTAL COMMON STOCKS $ 733,780,060 -------------------- Principal Amount Value ------------------------------------ -- -------------------- MONEY MARKET FUNDS (13.83%) Money Center Banks (13.83%) BNY Institutional Cash Reserve Fund (c) 106,124,000 106,124,000 -------------------- TOTAL MONEY MARKET FUNDS $ 106,124,000 -------------------- Total Investments $ 839,904,060 Liabilities in Excess of Other Assets, Net - (9.45)% (72,495,620) -------------------- TOTAL NET ASSETS - 100.00% $ 767,408,440 ==================== -------------------- ====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 92,738,941 Unrealized Depreciation (6,181,300) -------------------- Net Unrealized Appreciation (Depreciation) 86,557,641 Cost for federal income tax purposes 753,346,419 Portfolio Summary (unaudited) ------------------------------------------------ -------------------- Sector Percent ------------------------------------------------ -------------------- Financial 48.82% Consumer, Non-cyclical 12.69% Communications 9.79% Energy 9.62% Industrial 9.21% Consumer, Cyclical 8.10% Utilities 7.95% Technology 1.91% Funds 1.36% Liabilities in Excess of Other Assets, Net (-9.45%) -------------------- TOTAL NET ASSETS 100.00% ====================
Schedule of Investments January 31, 2007 (unaudited) Partners LargeCap Value Fund II Shares Held Value ----------- ----------- ----------------------- COMMON STOCKS (99.19%) Aerospace & Defense (0.93%) Northrop Grumman Corp 34,100 $ 2,419,054 ----------------------- Apparel Manufacturers (1.41%) Liz Claiborne Inc (a) 42,600 1,891,440 VF Corp 23,500 1,782,945 ----------------------- 3,674,385 ----------------------- Applications Software (1.73%) Microsoft Corp 146,300 4,514,818 ----------------------- Beverages - Non-Alcoholic (1.97%) Coca-Cola Co/The 63,900 3,059,532 Pepsi Bottling Group Inc 65,800 2,081,254 ----------------------- 5,140,786 ----------------------- Chemicals - Diversified (2.09%) EI Du Pont de Nemours & Co 53,000 2,626,680 PPG Industries Inc 42,700 2,830,583 ----------------------- 5,457,263 ----------------------- Commercial Services - Finance (0.55%) H&R Block Inc (a) 58,900 1,448,940 ----------------------- Computers (2.95%) Hewlett-Packard Co 96,400 4,172,192 International Business Machines Corp 35,500 3,519,825 ----------------------- 7,692,017 ----------------------- Data Processing & Management (0.54%) Fiserv Inc (b) 26,800 1,408,876 ----------------------- Diversified Manufacturing Operations (5.03%) Dover Corp 38,100 1,889,760 General Electric Co 103,500 3,731,175 Ingersoll-Rand Co Ltd (a) 54,400 2,332,672 Parker Hannifin Corp 21,900 1,812,444 Tyco International Ltd 105,600 3,366,528 ----------------------- 13,132,579 ----------------------- Electric - Integrated (2.69%) Exelon Corp 63,800 3,827,362 PPL Corp 89,400 3,182,640 ----------------------- 7,010,002 ----------------------- Electronic Components - Semiconductors (0.47%) Intel Corp 58,900 1,234,544 ----------------------- Enterprise Software & Services (0.59%) Oracle Corp (b) 90,100 1,546,116 ----------------------- Fiduciary Banks (1.06%) Bank of New York Co Inc/The 69,200 2,768,692 ----------------------- Finance - Investment Banker & Broker (10.92%) Citigroup Inc 232,000 12,790,160 Finance - Investment Banker & Broker JPMorgan Chase & Co 133,000 6,773,690 Merrill Lynch & Co Inc 47,900 4,481,524 Morgan Stanley 53,800 4,454,102 ----------------------- 28,499,476 ----------------------- Finance - Mortgage Loan/Banker (2.68%) Freddie Mac 107,600 6,986,468 ----------------------- Financial Guarantee Insurance (0.56%) MGIC Investment Corp 23,900 1,475,108 ----------------------- Food - Miscellaneous/Diversified (1.13%) Unilever NV 110,500 2,949,245 ----------------------- Food - Retail (1.21%) Kroger Co/The 123,400 3,159,040 ----------------------- Forestry (1.28%) Weyerhaeuser Co 44,700 3,352,500 ----------------------- Gas - Distribution (0.61%) NiSource Inc 67,000 1,594,600 ----------------------- Home Decoration Products (0.67%) Newell Rubbermaid Inc 59,100 1,745,814 ----------------------- Insurance Brokers (0.57%) Marsh & McLennan Cos Inc 50,400 1,486,800 ----------------------- Life & Health Insurance (0.65%) Torchmark Corp 26,200 1,702,738 ----------------------- Machinery - Construction & Mining (0.14%) Caterpillar Inc 5,800 371,606 ----------------------- Machinery - Farm (0.81%) Deere & Co 21,100 2,115,908 ----------------------- Medical - Drugs (6.03%) Abbott Laboratories 75,600 4,006,800 Eli Lilly & Co 20,600 1,114,872 Merck & Co Inc 42,300 1,892,925 Pfizer Inc 197,500 5,182,400 Wyeth 71,800 3,547,638 ----------------------- 15,744,635 ----------------------- Medical Laboratory & Testing Service (0.28%) Quest Diagnostics Inc (a) 13,800 724,224 ----------------------- Medical Products (1.46%) Johnson & Johnson 57,100 3,814,280 ----------------------- Multi-Line Insurance (5.25%) Allstate Corp/The (a) 57,100 3,435,136 American International Group Inc 68,000 4,654,600 Hartford Financial Services Group Inc 34,100 3,236,431 Multi-Line Insurance Loews Corp 54,800 2,381,608 ----------------------- 13,707,775 ----------------------- Multimedia (2.76%) Time Warner Inc (a) 229,600 5,021,352 Viacom Inc (b) 53,600 2,179,912 ----------------------- 7,201,264 ----------------------- Non-Hazardous Waste Disposal (0.58%) Waste Management Inc 40,100 1,522,998 ----------------------- Office Automation & Equipment (0.66%) Xerox Corp (b) 100,900 1,735,480 ----------------------- Oil Company - Exploration & Production (0.84%) Anadarko Petroleum Corp 21,400 936,250 Devon Energy Corp (a) 18,100 1,268,629 ----------------------- 2,204,879 ----------------------- Oil Company - Integrated (12.60%) Chevron Corp 111,600 8,133,408 ConocoPhillips 77,300 5,133,493 Exxon Mobil Corp 169,800 12,582,180 Royal Dutch Shell PLC ADR 103,100 7,036,575 ----------------------- 32,885,656 ----------------------- Oil Field Machinery & Equipment (0.19%) National Oilwell Varco Inc (b) 8,000 485,120 ----------------------- Printing - Commercial (0.70%) RR Donnelley & Sons Co 49,400 1,832,740 ----------------------- Publicly Traded Investment Fund (0.13%) SPDR Trust Series 1 (a) 2,300 330,510 ----------------------- Publishing - Newspapers (1.19%) Gannett Co Inc 53,600 3,116,304 ----------------------- Regional Banks (10.04%) Bank of America Corp 166,700 8,765,086 National City Corp (a) 47,100 1,782,735 PNC Financial Services Group Inc 24,700 1,822,119 US Bancorp (a) 106,600 3,794,960 Wachovia Corp 75,200 4,248,800 Wells Fargo & Co 161,500 5,801,080 ----------------------- 26,214,780 ----------------------- Retail - Apparel & Shoe (0.57%) Gap Inc/The 77,600 1,487,592 ----------------------- Retail - Building Products (0.83%) Home Depot Inc (a) 53,500 2,179,590 ----------------------- Retail - Discount (1.79%) Dollar General Corp (a) 125,900 2,132,746 Wal-Mart Stores Inc 53,000 2,527,570 ----------------------- 4,660,316 ----------------------- Retail - Restaurants (0.98%) McDonald's Corp 57,400 2,545,690 ----------------------- Savings & Loans - Thrifts (1.30%) Washington Mutual Inc 76,200 3,397,758 ----------------------- Semiconductor Equipment (0.23%) Applied Materials Inc 33,600 595,728 ----------------------- Steel - Producers (0.47%) Nucor Corp (a) 19,100 1,232,714 ----------------------- Telephone - Integrated (5.53%) AT&T Inc 229,500 8,636,085 Sprint Nextel Corp 130,400 2,325,032 Verizon Communications Inc 90,300 3,478,356 ----------------------- 14,439,473 ----------------------- Tobacco (1.54%) Altria Group Inc 46,000 4,019,940 ----------------------- TOTAL COMMON STOCKS $ 258,966,821 ----------------------- Principal Amount Value ----------- ----------- ----------------------- MONEY MARKET FUNDS (7.52%) Money Center Banks (7.52%) BNY Institutional Cash Reserve Fund (c) 19,629,000 19,629,000 ----------------------- TOTAL MONEY MARKET FUNDS $ 19,629,000 ----------------------- Total Investments $ 278,595,821 Liabilities in Excess of Other Assets, Net - (6.71)% (17,520,590) ----------------------- TOTAL NET ASSETS - 100.00% $ 261,075,231 ======================= ----------------------- =======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 45,439,110 Unrealized Depreciation (1,898,203) ----------------------- Net Unrealized Appreciation (Depreciation) 43,540,907 Cost for federal income tax purposes 235,054,914 Portfolio Summary (unaudited) ---------------------------------------------------------------- Sector Percent ---------------------------------------------------------------- Financial 40.55% Consumer, Non-cyclical 14.87% Energy 13.63% Communications 9.48% Industrial 7.49% Technology 7.17% Consumer, Cyclical 6.24% Basic Materials 3.85% Utilities 3.30% Funds 0.13% Liabilities in Excess of Other Assets, Net (-6.71%) ---------------- TOTAL NET ASSETS 100.00% ================
Schedule of Investments January 31, 2007 (unaudited) Partners MidCap Growth Fund Shares Held Value ----------- --------- ----------------------- COMMON STOCKS (96.02%) Advertising Sales (0.82%) Focus Media Holding Ltd ADR (a)(b) 51,970 $ 4,295,840 ----------------------- Agricultural Chemicals (0.77%) Agrium Inc (a) 117,040 4,058,947 ----------------------- Agricultural Operations (0.62%) Bunge Ltd 42,420 3,264,219 ----------------------- Airlines (1.13%) Continental Airlines Inc (a)(b) 57,730 2,395,218 US Airways Group Inc (a)(b) 62,940 3,523,381 ----------------------- 5,918,599 ----------------------- Apparel Manufacturers (3.99%) Coach Inc (b) 195,170 8,950,496 Guess ? Inc (a) 69,710 5,026,788 Polo Ralph Lauren Corp 85,640 7,026,762 ----------------------- 21,004,046 ----------------------- Applications Software (1.54%) Salesforce.com Inc (a)(b) 185,350 8,123,891 ----------------------- Audio & Video Products (1.12%) Harman International Industries Inc 62,230 5,885,091 ----------------------- Batteries & Battery Systems (0.39%) Energy Conversion Devices Inc (a)(b) 60,300 2,077,335 ----------------------- Beverages - Non-Alcoholic (0.74%) Hansen Natural Corp (a)(b) 102,850 3,917,557 ----------------------- Casino Hotels (1.65%) Wynn Resorts Ltd (a) 77,630 8,674,376 ----------------------- Casino Services (2.05%) International Game Technology 248,549 10,801,940 ----------------------- Cellular Telecommunications (3.34%) Leap Wireless International Inc (b) 47,418 3,114,888 NII Holdings Inc (a)(b) 196,130 14,474,394 ----------------------- 17,589,282 ----------------------- Commercial Banks (0.55%) Synovus Financial Corp 90,670 2,895,093 ----------------------- Computers - Memory Devices (2.06%) Isilon Systems Inc (a)(b) 83,755 1,933,903 Network Appliance Inc (b) 175,790 6,609,704 SanDisk Corp (a)(b) 56,860 2,285,772 ----------------------- 10,829,379 ----------------------- Containers - Metal & Glass (0.75%) Owens-Illinois Inc (b) 176,870 3,937,126 ----------------------- Data Processing & Management (2.13%) Fiserv Inc (b) 120,030 6,309,977 Paychex Inc 122,934 4,918,589 ----------------------- 11,228,566 ----------------------- Diversified Manufacturing Operations (1.75%) Harsco Corp 42,020 3,608,678 Roper Industries Inc 107,550 5,583,996 ----------------------- 9,192,674 ----------------------- E-Commerce - Products (0.65%) Nutri/System Inc (a)(b) 77,091 3,395,859 ----------------------- E-Commerce - Services (0.39%) Ctrip.com International Ltd ADR 28,691 2,040,217 ----------------------- Electric Products - Miscellaneous (1.03%) Ametek Inc 156,960 5,440,234 ----------------------- Electronic Components - Semiconductors (4.14%) Altera Corp (a)(b) 236,850 4,748,843 Intersil Corp (a) 101,870 2,400,057 MEMC Electronic Materials Inc (b) 84,110 4,407,364 Nvidia Corp (a)(b) 198,050 6,070,232 QLogic Corp (b) 225,700 4,130,310 ----------------------- 21,756,806 ----------------------- E-Marketing & Information (1.24%) aQuantive Inc (a)(b) 128,930 3,455,324 Digital River Inc (a)(b) 59,540 3,047,257 ----------------------- 6,502,581 ----------------------- Engineering - Research & Development Services (0.95%) McDermott International, Inc. (b) 96,350 4,975,514 ----------------------- Entertainment Software (1.99%) Activision Inc (a)(b) 263,500 4,487,405 Electronic Arts Inc (b) 119,596 5,979,800 ----------------------- 10,467,205 ----------------------- Fiduciary Banks (0.91%) Northern Trust Corp 78,470 4,767,053 ----------------------- Finance - Investment Banker & Broker (0.97%) Greenhill & Co Inc (a) 68,360 5,122,215 ----------------------- Finance - Other Services (2.15%) IntercontinentalExchange Inc (a)(b) 60,430 7,889,137 Nasdaq Stock Market Inc/The (a)(b) 100,766 3,434,105 ----------------------- 11,323,242 ----------------------- Food - Confectionery (1.15%) WM Wrigley Jr Co (a) 117,520 6,054,630 ----------------------- Food - Miscellaneous/Diversified (0.65%) McCormick & Co Inc/MD 88,110 3,439,814 ----------------------- Gambling (Non-Hotel) (0.49%) Pinnacle Entertainment Inc (b) 75,020 2,590,441 ----------------------- Hotels & Motels (1.69%) Hilton Hotels Corp 251,340 8,894,923 ----------------------- Human Resources (2.28%) Monster Worldwide Inc (b) 135,420 6,691,102 Robert Half International Inc (a) 129,780 5,282,046 ----------------------- 11,973,148 ----------------------- Instruments - Scientific (1.94%) Applera Corp - Applied Biosystems Group 90,580 3,148,561 Thermo Fisher Scientific Inc (b) 147,160 7,041,606 ----------------------- 10,190,167 ----------------------- Internet Infrastructure Software (3.47%) Akamai Technologies Inc (a)(b) 143,570 8,065,762 F5 Networks Inc (b) 142,886 10,207,776 ----------------------- 18,273,538 ----------------------- Internet Security (0.79%) VeriSign Inc (a)(b) 173,230 4,140,197 ----------------------- Investment Management & Advisory Services (2.99%) Affiliated Managers Group Inc (a)(b) 54,060 6,022,284 T Rowe Price Group Inc 202,170 9,702,138 ----------------------- 15,724,422 ----------------------- Lasers - Systems & Components (0.45%) Cymer Inc (a)(b) 56,520 2,386,840 ----------------------- Leisure & Recreation Products (1.03%) WMS Industries Inc (a)(b) 136,000 5,393,760 ----------------------- Medical - Biomedical/Gene (2.77%) Alexion Pharmaceuticals Inc (a)(b) 80,990 3,366,754 Celgene Corp (b) 137,424 7,376,920 Medimmune Inc (a)(b) 111,107 3,850,969 ----------------------- 14,594,643 ----------------------- Medical - Drugs (4.58%) Allergan Inc 63,140 7,369,069 Medicis Pharmaceutical Corp (a) 66,810 2,534,103 New River Pharmaceuticals Inc (a)(b) 44,750 2,501,525 Sepracor Inc (a)(b) 104,650 5,971,329 Shire PLC ADR (a) 89,920 5,708,122 ----------------------- 24,084,148 ----------------------- Medical Instruments (1.95%) Intuitive Surgical Inc (a)(b) 50,970 5,015,958 St Jude Medical Inc (b) 122,720 5,247,507 ----------------------- 10,263,465 ----------------------- Medical Laboratory & Testing Service (0.60%) Laboratory Corp of America Holdings (a)(b) 42,780 3,141,763 ----------------------- Medical Products (0.43%) Henry Schein Inc (a)(b) 45,030 2,286,173 ----------------------- Metal Processors & Fabrication (1.59%) Precision Castparts Corp 94,280 8,380,549 ----------------------- Networking Products (1.13%) Polycom Inc (a)(b) 177,340 5,962,171 ----------------------- Oil - Field Services (0.75%) Smith International Inc 99,380 3,943,398 ----------------------- Oil Company - Exploration & Production (2.66%) Quicksilver Resources Inc (a)(b) 98,620 3,911,269 Range Resources Corp (a) 254,705 7,816,896 Southwestern Energy Co (a)(b) 59,160 2,275,294 ----------------------- 14,003,459 ----------------------- Oil Field Machinery & Equipment (1.81%) Cameron International Corp (b) 95,640 5,021,100 National Oilwell Varco Inc (a)(b) 74,290 4,504,946 ----------------------- 9,526,046 ----------------------- Physical Therapy & Rehabilitation Centers (0.74%) Psychiatric Solutions Inc (a)(b) 100,020 3,894,779 ----------------------- Pipelines (1.44%) Williams Cos Inc 279,700 7,549,103 ----------------------- Printing - Commercial (0.80%) VistaPrint Ltd (b) 97,563 4,203,990 ----------------------- Property & Casualty Insurance (0.58%) Arch Capital Group Ltd (a)(b) 47,630 3,076,422 ----------------------- Real Estate Magagement & Services (1.27%) CB Richard Ellis Group Inc (a)(b) 178,000 6,694,580 ----------------------- REITS - Regional Malls (1.00%) Macerich Co/The (a) 55,100 5,263,703 ----------------------- Research & Development (0.98%) Pharmaceutical Product Development Inc (a) 149,100 5,143,950 ----------------------- Retail - Apparel & Shoe (1.08%) Under Armour Inc. - Class A (a)(b) 111,826 5,680,761 ----------------------- Retail - Computer Equipment (0.85%) GameStop Corp (a)(b) 84,170 4,497,203 ----------------------- Retail - Major Department Store (1.76%) JC Penney Co Inc 114,140 9,272,734 ----------------------- Rubber - Tires (0.75%) Goodyear Tire & Rubber Co/The (a)(b) 159,370 3,934,845 ----------------------- Semiconductor Component - Integrated Circuits (0.81%) Integrated Device Technology Inc (a)(b) 281,533 4,259,594 ----------------------- Semiconductor Equipment (2.79%) Kla-Tencor Corp (a) 179,010 8,812,662 Varian Semiconductor Equipment Associates Inc (a)(b) 141,901 5,839,226 ----------------------- 14,651,888 ----------------------- Steel - Specialty (0.94%) Allegheny Technologies Inc 47,531 4,918,983 ----------------------- Telecommunication Equipment - Fiber Optics (0.52%) JDS Uniphase Corp (a)(b) 153,735 2,733,408 ----------------------- Transport - Rail (0.62%) CSX Corp 89,020 3,275,046 ----------------------- Transport - Services (1.19%) CH Robinson Worldwide Inc (a) 117,540 6,235,497 ----------------------- Wire & Cable Products (0.65%) General Cable Corp (a)(b) 79,240 3,417,621 ----------------------- Wireless Equipment (2.23%) American Tower Corp (b) 180,710 7,197,680 Crown Castle International Corp (b) 128,920 4,532,827 ----------------------- 11,730,507 ----------------------- TOTAL COMMON STOCKS $ 505,167,196 ----------------------- Principal Amount Value ----------- --------- ----------------------- MONEY MARKET FUNDS (28.13%) Money Center Banks (28.13%) BNY Institutional Cash Reserve Fund (c) 147,979,000 147,979,000 ----------------------- TOTAL MONEY MARKET FUNDS $ 147,979,000 ----------------------- Total Investments $ 653,146,196 Liabilities in Excess of Other Assets, Net - (24.15)% (127,065,838) ----------------------- TOTAL NET ASSETS - 100.00% $ 526,080,358 ======================= ----------------------- =======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 80,009,232 Unrealized Depreciation (8,158,428) ----------------------- Net Unrealized Appreciation (Depreciation) 71,850,804 Cost for federal income tax purposes 581,295,392 Portfolio Summary (unaudited) ----------------------------------------------------- ----------------------- Sector Percent ----------------------------------------------------- ----------------------- Financial 38.56% Consumer, Non-cyclical 18.30% Consumer, Cyclical 17.59% Technology 15.46% Communications 14.57% Industrial 11.31% Energy 6.66% Basic Materials 1.70% Liabilities in Excess of Other Assets, Net (-24.15%) ----------------------- TOTAL NET ASSETS 100.00% =======================
Schedule of Investments January 31, 2007 (unaudited) Partners MidCap Growth Fund I Shares Held Value ----------- ------------ ----------------------- COMMON STOCKS (99.39%) Aerospace & Defense (0.55%) Rockwell Collins Inc 21,350 $ 1,456,283 ----------------------- Airlines (0.78%) Southwest Airlines Co 80,250 1,211,775 US Airways Group Inc (a) 15,000 839,700 ----------------------- 2,051,475 ----------------------- Apparel Manufacturers (1.80%) Coach Inc (a) 69,700 3,196,442 Polo Ralph Lauren Corp (b) 19,150 1,571,258 ----------------------- 4,767,700 ----------------------- Applications Software (1.48%) American Reprographics Co (a)(b) 24,250 759,510 Intuit Inc (a)(b) 100,600 3,163,870 ----------------------- 3,923,380 ----------------------- Brewery (0.44%) Molson Coors Brewing Co (b) 14,500 1,171,600 ----------------------- Broadcasting Services & Programming (1.15%) Discovery Holding Co (a)(b) 79,850 1,323,114 Liberty Media Holding Corp - Capital (a) 16,850 1,723,755 ----------------------- 3,046,869 ----------------------- Building - Heavy Construction (0.58%) Granite Construction Inc (b) 28,400 1,521,104 ----------------------- Building - Residential & Commercial (0.91%) Lennar Corp 21,350 1,161,013 NVR Inc (a)(b) 1,800 1,246,536 ----------------------- 2,407,549 ----------------------- Cable TV (0.39%) EchoStar Communications Corp (a) 25,600 1,032,704 ----------------------- Casino Services (0.60%) International Game Technology 36,750 1,597,155 ----------------------- Cellular Telecommunications (0.85%) NII Holdings Inc (a)(b) 30,600 2,258,280 ----------------------- Chemicals - Diversified (0.98%) Lyondell Chemical Co (b) 49,000 1,549,380 Westlake Chemical Corp (b) 31,250 1,036,875 ----------------------- 2,586,255 ----------------------- Chemicals - Specialty (0.26%) HB Fuller Co 26,150 676,501 ----------------------- Commercial Banks (0.50%) Synovus Financial Corp 41,400 1,321,902 ----------------------- Commercial Services - Finance (1.50%) Equifax Inc (b) 64,770 2,689,898 Commercial Services - Finance Moody's Corp 17,880 1,279,493 ----------------------- 3,969,391 ----------------------- Computer Aided Design (1.12%) Autodesk Inc (a) 67,500 2,951,100 ----------------------- Computer Services (2.41%) Cognizant Technology Solutions Corp (a) 40,100 3,420,129 Factset Research Systems Inc 31,200 1,812,096 IHS Inc (a)(b) 29,650 1,128,479 ----------------------- 6,360,704 ----------------------- Computers - Integrated Systems (0.76%) NCR Corp (a) 42,550 2,016,444 ----------------------- Computers - Memory Devices (0.74%) Western Digital Corp (a) 100,050 1,960,980 ----------------------- Computers - Peripheral Equipment (0.71%) Lexmark International Inc (a)(b) 29,600 1,865,688 ----------------------- Consulting Services (0.39%) Huron Consulting Group Inc (a)(b) 19,900 1,031,815 ----------------------- Cosmetics & Toiletries (1.60%) Avon Products Inc 57,200 1,967,108 Estee Lauder Cos Inc/The (b) 47,400 2,251,500 ----------------------- 4,218,608 ----------------------- Data Processing & Management (1.01%) Dun & Bradstreet Corp (b) 31,550 2,681,750 ----------------------- Dental Supplies & Equipment (0.75%) Dentsply International Inc 64,450 1,987,638 ----------------------- Disposable Medical Products (1.01%) CR Bard Inc 32,250 2,661,270 ----------------------- Distribution & Wholesale (0.25%) WESCO International Inc (a) 11,000 667,920 ----------------------- Diversified Manufacturing Operations (3.20%) Acuity Brands Inc 20,400 1,183,404 Dover Corp 50,150 2,487,440 Parker Hannifin Corp 30,000 2,482,800 Textron Inc 24,800 2,310,616 ----------------------- 8,464,260 ----------------------- Drug Delivery Systems (0.60%) Hospira Inc (a) 43,400 1,596,252 ----------------------- E-Commerce - Products (0.69%) Amazon.Com Inc (a)(b) 48,700 1,834,529 ----------------------- Electric - Integrated (1.47%) Alliant Energy Corp 32,900 1,195,915 OGE Energy Corp (b) 26,400 1,022,208 Pinnacle West Capital Corp 34,400 1,678,376 ----------------------- 3,896,499 ----------------------- Electric Products - Miscellaneous (0.33%) Molex Inc (b) 29,900 878,761 ----------------------- Electronic Components - Miscellaneous (0.47%) Gentex Corp (b) 70,450 1,232,170 ----------------------- Electronic Components - Semiconductors (3.27%) Altera Corp (a)(b) 91,400 1,832,570 Intersil Corp (b) 44,150 1,040,174 Microchip Technology Inc 75,250 2,615,690 National Semiconductor Corp (b) 96,650 2,235,514 Nvidia Corp (a) 30,350 930,228 ----------------------- 8,654,176 ----------------------- Electronic Connectors (0.56%) Thomas & Betts Corp (a) 31,000 1,484,590 ----------------------- Electronic Measurement Instruments (0.87%) Agilent Technologies Inc (a) 48,700 1,558,400 Tektronix Inc 25,950 733,606 ----------------------- 2,292,006 ----------------------- Engineering - Research & Development Services (0.89%) EMCOR Group Inc (a) 15,550 892,881 Jacobs Engineering Group Inc (a) 16,050 1,453,328 ----------------------- 2,346,209 ----------------------- Engines - Internal Combustion (0.68%) Cummins Inc (b) 13,450 1,809,832 ----------------------- Enterprise Software & Services (0.23%) BEA Systems Inc (a) 49,800 614,034 ----------------------- Fiduciary Banks (1.13%) Northern Trust Corp 28,200 1,713,150 Wilmington Trust Corp 30,650 1,285,154 ----------------------- 2,998,304 ----------------------- Finance - Auto Loans (0.54%) AmeriCredit Corp (a)(b) 52,200 1,416,708 ----------------------- Finance - Commercial (0.50%) CIT Group Inc 22,600 1,332,496 ----------------------- Finance - Investment Banker & Broker (0.41%) Knight Capital Group Inc (a)(b) 59,750 1,079,683 ----------------------- Finance - Other Services (1.63%) IntercontinentalExchange Inc (a)(b) 13,250 1,729,788 NYSE Group Inc (a)(b) 25,750 2,574,485 ----------------------- 4,304,273 ----------------------- Food - Meat Products (0.50%) Hormel Foods Corp 34,950 1,324,605 ----------------------- Food - Miscellaneous/Diversified (2.05%) Campbell Soup Co (b) 27,800 1,069,744 ConAgra Foods Inc 45,150 1,160,806 HJ Heinz Co 54,250 2,556,260 McCormick & Co Inc/MD 16,050 626,592 ----------------------- 5,413,402 ----------------------- Food - Retail (0.36%) Whole Foods Market Inc (b) 22,200 958,818 ----------------------- Garden Products (0.70%) Toro Co (b) 36,250 1,858,538 ----------------------- Hotels & Motels (1.77%) Choice Hotels International Inc (b) 36,900 1,560,501 Starwood Hotels & Resorts Worldwide Inc 50,000 3,129,000 ----------------------- 4,689,501 ----------------------- Human Resources (0.94%) Manpower Inc 34,100 2,486,913 ----------------------- Industrial Automation & Robots (0.60%) Rockwell Automation Inc 25,900 1,585,339 ----------------------- Industrial Gases (0.72%) Airgas Inc 45,750 1,904,115 ----------------------- Instruments - Scientific (1.19%) Thermo Fisher Scientific Inc (a) 34,650 1,658,002 Waters Corp (a) 26,200 1,485,278 ----------------------- 3,143,280 ----------------------- Internet Infrastructure Software (0.52%) Akamai Technologies Inc (a)(b) 24,450 1,373,601 ----------------------- Internet Security (1.27%) McAfee Inc (a) 68,450 2,002,847 VeriSign Inc (a)(b) 57,200 1,367,080 ----------------------- 3,369,927 ----------------------- Internet Telephony (0.28%) j2 Global Communications Inc (a)(b) 27,950 740,116 ----------------------- Investment Management & Advisory Services (1.90%) Blackrock, Inc. (b) 13,200 2,214,432 T Rowe Price Group Inc 58,600 2,812,214 ----------------------- 5,026,646 ----------------------- Machinery - Construction & Mining (0.33%) Terex Corp (a)(b) 15,550 884,639 ----------------------- Machinery - Pumps (0.61%) Graco Inc 39,600 1,614,492 ----------------------- Medical - Biomedical/Gene (2.05%) Celgene Corp (a)(b) 52,550 2,820,884 Invitrogen Corp (a)(b) 20,000 1,224,600 PDL BioPharma Inc (a)(b) 67,150 1,377,246 ----------------------- 5,422,730 ----------------------- Medical - Drugs (2.95%) Allergan Inc 12,260 1,430,865 Forest Laboratories Inc (a)(b) 38,650 2,168,651 King Pharmaceuticals Inc (a)(b) 99,500 1,777,070 Sepracor Inc (a)(b) 29,450 1,680,417 Viropharma Inc (a)(b) 44,000 749,320 ----------------------- 7,806,323 ----------------------- Medical - HMO (1.99%) Humana Inc (a) 48,400 2,686,200 Sierra Health Services Inc (a)(b) 27,900 1,121,580 WellCare Health Plans Inc (a)(b) 18,700 1,448,876 ----------------------- 5,256,656 ----------------------- Medical - Wholesale Drug Distribution (0.83%) AmerisourceBergen Corp 41,650 2,181,627 ----------------------- Medical Instruments (0.53%) Edwards Lifesciences Corp (a)(b) 27,200 1,391,552 ----------------------- Medical Laboratory & Testing Service (1.62%) Laboratory Corp of America Holdings (a)(b) 39,550 2,904,552 Quest Diagnostics Inc (b) 26,130 1,371,302 ----------------------- 4,275,854 ----------------------- Medical Products (0.89%) Henry Schein Inc (a) 46,550 2,363,344 ----------------------- Metal Processors & Fabrication (0.67%) Precision Castparts Corp (b) 19,850 1,764,466 ----------------------- Motorcycle/Motor Scooter (1.25%) Harley-Davidson Inc 48,400 3,304,268 ----------------------- Multi-Line Insurance (0.60%) HCC Insurance Holdings Inc (b) 50,800 1,584,960 ----------------------- Networking Products (0.29%) Juniper Networks Inc (a)(b) 42,400 768,288 ----------------------- Non-Hazardous Waste Disposal (0.41%) Republic Services Inc 25,300 1,094,225 ----------------------- Oil - Field Services (1.98%) Helix Energy Solutions Group Inc (a)(b) 28,750 924,888 SEACOR Holdings Inc (a)(b) 14,200 1,437,466 Superior Energy Services (a) 39,400 1,194,608 Tidewater Inc (b) 32,450 1,673,446 ----------------------- 5,230,408 ----------------------- Oil & Gas Drilling (1.18%) ENSCO International Inc 34,600 1,760,102 Patterson-UTI Energy Inc (b) 56,850 1,372,928 ----------------------- 3,133,030 ----------------------- Oil Company - Exploration & Production (1.80%) Cimarex Energy Co 37,200 1,394,256 Unit Corp (a)(b) 26,750 1,296,840 XTO Energy Inc 40,800 2,059,176 ----------------------- 4,750,272 ----------------------- Oil Refining & Marketing (1.63%) Frontier Oil Corp 51,900 1,474,479 Holly Corp (b) 20,550 1,082,780 Tesoro Corp (b) 21,200 1,746,668 ----------------------- 4,303,927 ----------------------- Pipelines (0.49%) Oneok Inc 30,250 1,298,028 ----------------------- Racetracks (0.56%) Penn National Gaming Inc (a)(b) 33,600 1,472,352 ----------------------- Real Estate Magagement & Services (0.80%) Jones Lang LaSalle Inc 20,200 2,110,900 ----------------------- REITS - Diversified (0.54%) Entertainment Properties Trust (b) 22,100 1,433,406 ----------------------- REITS - Hotels (0.44%) Host Hotels & Resorts Inc 43,450 1,150,122 ----------------------- REITS - Mortgage (0.52%) CapitalSource Inc (b) 49,250 1,368,657 ----------------------- REITS - Warehouse & Industrial (0.61%) Prologis 25,000 1,625,000 ----------------------- Retail - Apparel & Shoe (2.38%) Abercrombie & Fitch Co 13,750 1,093,675 American Eagle Outfitters 24,625 797,357 AnnTaylor Stores Corp (a) 28,700 990,150 Nordstrom Inc (b) 61,200 3,409,452 ----------------------- 6,290,634 ----------------------- Retail - Auto Parts (0.66%) Autozone Inc (a)(b) 13,800 1,733,694 ----------------------- Retail - Catalog Shopping (0.40%) MSC Industrial Direct Co 24,250 1,047,358 ----------------------- Retail - Computer Equipment (0.60%) GameStop Corp (a)(b) 29,550 1,578,857 ----------------------- Retail - Discount (2.01%) Big Lots Inc (a)(b) 55,650 1,443,005 Dollar Tree Stores Inc (a) 48,150 1,514,799 Family Dollar Stores Inc 20,900 677,160 TJX Cos Inc 57,150 1,689,925 ----------------------- 5,324,889 ----------------------- Retail - Major Department Store (1.15%) JC Penney Co Inc 37,400 3,038,376 ----------------------- Retail - Office Supplies (1.35%) Office Depot Inc (a)(b) 72,800 2,721,992 OfficeMax Inc 17,550 847,489 ----------------------- 3,569,481 ----------------------- Retail - Restaurants (1.65%) Brinker International Inc 30,900 974,895 Darden Restaurants Inc 40,200 1,573,428 Yum! Brands Inc 30,300 1,818,303 ----------------------- 4,366,626 ----------------------- Semiconductor Component - Integrated Circuits (1.57%) Analog Devices Inc 53,500 1,752,125 Emulex Corp (a) 26,550 471,262 Maxim Integrated Products Inc 62,500 1,925,000 ----------------------- 4,148,387 ----------------------- Semiconductor Equipment (0.89%) Lam Research Corp (a)(b) 51,450 2,356,925 ----------------------- Steel - Producers (1.60%) Carpenter Technology Corp 12,300 1,440,330 Steel Dynamics Inc 37,300 1,462,533 United States Steel Corp 16,050 1,340,015 ----------------------- 4,242,878 ----------------------- Steel - Specialty (0.77%) Allegheny Technologies Inc 19,700 2,038,753 ----------------------- Telecommunication Equipment (0.60%) Adtran Inc 71,950 1,594,412 ----------------------- Telephone - Integrated (0.31%) Telephone & Data Systems Inc (b) 14,550 814,073 ----------------------- Tools - Hand Held (0.25%) Snap-On Inc 13,850 667,709 ----------------------- Transport - Marine (0.55%) Overseas Shipholding Group (b) 23,600 1,466,268 ----------------------- Transport - Rail (0.81%) CSX Corp 58,450 2,150,375 ----------------------- Transport - Services (0.78%) Laidlaw International Inc 22,600 671,446 Ryder System Inc (b) 25,400 1,385,316 ----------------------- 2,056,762 ----------------------- Transport - Truck (0.48%) Con-way Inc 25,500 1,268,370 ----------------------- Wireless Equipment (1.22%) American Tower Corp (a) 80,900 3,222,247 ----------------------- TOTAL COMMON STOCKS $ 262,868,248 ----------------------- Principal Amount Value ----------- ------------ ----------------------- MONEY MARKET FUNDS (26.95%) Money Center Banks (26.95%) BNY Institutional Cash Reserve Fund (c) 71,277,000 71,277,000 ----------------------- TOTAL MONEY MARKET FUNDS $ 71,277,000 ----------------------- Total Investments $ 334,145,248 Liabilities in Excess of Other Assets, Net - (26.34)% (69,656,328) ----------------------- TOTAL NET ASSETS - 100.00% $ 264,488,920 ======================= ----------------------- =======================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 36,370,310 Unrealized Depreciation (5,038,598) ----------------------- Net Unrealized Appreciation (Depreciation) 31,331,712 Cost for federal income tax purposes 302,813,536 Portfolio Summary (unaudited) --------------------------------------------------- ----------------------- Sector Percent --------------------------------------------------- ----------------------- Financial 37.07% Consumer, Non-cyclical 20.99% Consumer, Cyclical 18.82% Industrial 14.81% Technology 14.19% Communications 7.58% Energy 7.08% Basic Materials 4.33% Utilities 1.47% Liabilities in Excess of Other Assets, Net (-26.34%) ----------------------- TOTAL NET ASSETS 100.00% =======================
Schedule of Investments January 31, 2007 (unaudited) Partners MidCap Growth Fund II Shares Held Value ----------- ----------- ----------------------- COMMON STOCKS (98.22%) Airlines (2.13%) AMR Corp (a)(b) 161,900 $ 5,998,395 Southwest Airlines Co 85,600 1,292,560 US Airways Group Inc (a)(b) 97,700 5,469,246 ----------------------- 12,760,201 ----------------------- Apparel Manufacturers (0.36%) Columbia Sportswear Co 33,100 2,146,204 ----------------------- Audio & Video Products (0.53%) Harman International Industries Inc 33,300 3,149,181 ----------------------- Batteries & Battery Systems (1.56%) Energy Conversion Devices Inc (a)(b) 271,600 9,356,620 ----------------------- Beverages - Non-Alcoholic (0.91%) Hansen Natural Corp (a)(b) 143,704 5,473,685 ----------------------- Building - Mobile Home & Manufactured Housing (0.78%) Thor Industries Inc (a) 111,000 4,690,860 ----------------------- Building - Residential & Commercial (4.47%) DR Horton Inc (a) 368,900 10,720,234 KB Home 65,100 3,529,722 NVR Inc (a)(b) 1,400 969,528 Ryland Group Inc (a) 206,100 11,578,698 ----------------------- 26,798,182 ----------------------- Cable TV (0.23%) EchoStar Communications Corp (a)(b) 33,943 1,369,261 ----------------------- Casino Services (0.73%) International Game Technology 100,400 4,363,384 ----------------------- Cellular Telecommunications (0.35%) NII Holdings Inc (a)(b) 28,209 2,081,824 ----------------------- Coal (0.18%) Consol Energy Inc 31,900 1,098,317 ----------------------- Commercial Banks (0.12%) Synovus Financial Corp (a) 21,900 699,267 ----------------------- Computer Services (0.19%) Cognizant Technology Solutions Corp (b) 9,200 784,668 Factset Research Systems Inc (a) 6,100 354,288 ----------------------- 1,138,956 ----------------------- Computers (1.63%) Apple Inc (b) 113,600 9,738,928 ----------------------- Computers - Integrated Systems (0.58%) Brocade Communications Systems Inc (a)(b) 405,000 3,474,900 ----------------------- Computers - Memory Devices (5.42%) Komag Inc (a)(b) 12,927 441,069 Network Appliance Inc (a)(b) 118,600 4,459,360 Seagate Technology 360,900 9,776,781 Western Digital Corp (b) 907,300 17,783,080 ----------------------- 32,460,290 ----------------------- Data Processing & Management (0.31%) Paychex Inc 46,100 1,844,461 ----------------------- Dental Supplies & Equipment (0.23%) Dentsply International Inc 45,600 1,406,304 ----------------------- Diagnostic Equipment (0.55%) Immucor Inc (a)(b) 104,600 3,299,084 ----------------------- Distribution & Wholesale (0.92%) Building Materials Holding Corp (a) 231,300 5,511,879 ----------------------- Diversified Manufacturing Operations (0.00%) Electric - Generation (0.77%) AES Corp/The (a)(b) 220,600 4,586,274 ----------------------- Electric - Integrated (0.34%) Allegheny Energy Inc (b) 43,200 2,009,664 ----------------------- Electronic Components - Semiconductors (2.16%) Intersil Corp (a) 57,600 1,357,056 LSI Logic Corp (a)(b) 760,900 7,152,460 MEMC Electronic Materials Inc (a)(b) 84,100 4,406,840 ----------------------- 12,916,356 ----------------------- Energy - Alternate Sources (0.05%) Sunpower Corp (a)(b) 7,300 323,390 ----------------------- Engineering - Research & Development Services (0.31%) Jacobs Engineering Group Inc (b) 20,500 1,856,275 ----------------------- Enterprise Software & Services (2.78%) BEA Systems Inc (b) 327,300 4,035,609 BMC Software Inc (a)(b) 175,400 6,032,006 Informatica Corp (a)(b) 523,000 6,568,880 ----------------------- 16,636,495 ----------------------- Fiduciary Banks (0.79%) Northern Trust Corp 78,200 4,750,650 ----------------------- Finance - Investment Banker & Broker (1.07%) Jefferies Group Inc 64,600 1,903,116 Knight Capital Group Inc (b) 248,800 4,495,816 ----------------------- 6,398,932 ----------------------- Finance - Mortgage Loan/Banker (0.09%) IndyMac Bancorp Inc 13,800 536,682 ----------------------- Financial Guarantee Insurance (1.61%) AMBAC Financial Group Inc 16,600 1,462,460 Radian Group Inc (a) 135,800 8,177,876 ----------------------- 9,640,336 ----------------------- Food - Miscellaneous/Diversified (0.08%) Seaboard Corp 240 462,480 ----------------------- Food - Retail (0.60%) Kroger Co/The 141,500 3,622,400 ----------------------- Footwear & Related Apparel (0.69%) Wolverine World Wide Inc (a) 133,600 4,110,872 ----------------------- Human Resources (0.19%) Robert Half International Inc (a) 27,900 1,135,530 ----------------------- Industrial Automation & Robots (0.78%) Rockwell Automation Inc (a) 76,300 4,670,323 ----------------------- Instruments - Scientific (1.24%) Thermo Fisher Scientific Inc (a)(b) 154,700 7,402,395 ----------------------- Investment Management & Advisory Services (0.64%) T Rowe Price Group Inc 79,800 3,829,602 ----------------------- Lasers - Systems & Components (2.53%) Cymer Inc (a)(b) 359,400 15,177,462 ----------------------- Life & Health Insurance (0.50%) Cigna Corp 21,400 2,833,360 Reinsurance Group of America Inc 3,200 186,080 ----------------------- 3,019,440 ----------------------- Machinery - Construction & Mining (5.45%) Bucyrus International Inc (a) 35,600 1,652,196 Joy Global Inc 389,800 18,114,006 Terex Corp (b) 226,466 12,883,651 ----------------------- 32,649,853 ----------------------- Machinery - General Industry (2.70%) Manitowoc Co Inc/The 311,730 16,166,318 ----------------------- Medical - Biomedical/Gene (3.66%) Biogen Idec Inc (b) 180,500 8,725,370 Celgene Corp (a)(b) 231,800 12,443,024 Medimmune Inc (a)(b) 22,200 769,452 ----------------------- 21,937,846 ----------------------- Medical - Drugs (1.50%) Endo Pharmaceuticals Holdings Inc (b) 67,900 2,085,888 Forest Laboratories Inc (b) 105,200 5,902,772 Sepracor Inc (a)(b) 18,000 1,027,080 ----------------------- 9,015,740 ----------------------- Medical - Generic Drugs (0.30%) Barr Pharmaceuticals Inc (b) 33,200 1,776,864 Impax Laboratories Inc (a)(b) 3,000 30,750 ----------------------- 1,807,614 ----------------------- Medical - HMO (2.52%) Health Net Inc (b) 98,300 4,788,193 Medical - HMO Sierra Health Services Inc (a)(b) 256,100 10,295,220 ----------------------- 15,083,413 ----------------------- Medical - Nursing Homes (0.24%) Manor Care Inc 26,600 1,416,184 ----------------------- Medical - Outpatient & Home Medical Care (0.14%) Lincare Holdings Inc (b) 20,700 814,545 ----------------------- Medical Products (0.82%) Varian Medical Systems Inc (b) 106,500 4,912,845 ----------------------- Non-Ferrous Metals (1.56%) Titanium Metals Corp (a)(b) 302,055 9,315,376 ----------------------- Oil - Field Services (0.36%) Smith International Inc (a) 54,100 2,146,688 ----------------------- Oil & Gas Drilling (0.68%) Diamond Offshore Drilling Inc (a) 7,400 624,856 Patterson-UTI Energy Inc (a) 67,100 1,620,465 Todco (a)(b) 53,400 1,849,242 ----------------------- 4,094,563 ----------------------- Oil Company - Exploration & Production (1.14%) Newfield Exploration Co (b) 86,500 3,703,065 Southwestern Energy Co (b) 81,200 3,122,952 ----------------------- 6,826,017 ----------------------- Oil Field Machinery & Equipment (0.29%) FMC Technologies Inc (a)(b) 14,200 879,406 National Oilwell Varco Inc (b) 14,000 848,960 ----------------------- 1,728,366 ----------------------- Oil Refining & Marketing (3.95%) Frontier Oil Corp 174,300 4,951,863 Holly Corp (a) 119,800 6,312,262 Sunoco Inc 98,381 6,210,792 Tesoro Corp (a) 75,000 6,179,250 ----------------------- 23,654,167 ----------------------- Pharmacy Services (0.13%) Express Scripts Inc (a)(b) 11,100 771,672 ----------------------- Pipelines (0.64%) Equitable Resources Inc 38,500 1,665,125 Questar Corp 26,900 2,184,280 ----------------------- 3,849,405 ----------------------- Printing - Commercial (0.21%) Cenveo Inc (a)(b) 54,300 1,269,534 ----------------------- Property & Casualty Insurance (0.94%) Philadelphia Consolidated Holding Co (a)(b) 124,700 5,618,982 ----------------------- Racetracks (1.02%) Penn National Gaming Inc (a)(b) 139,046 6,092,996 ----------------------- Real Estate Magagement & Services (1.78%) CB Richard Ellis Group Inc (b) 93,300 3,509,013 Real Estate Magagement & Services Jones Lang LaSalle Inc 68,500 7,158,250 ----------------------- 10,667,263 ----------------------- REITS - Hotels (0.18%) Host Hotels & Resorts Inc (a) 41,200 1,090,564 ----------------------- REITS - Office Property (0.35%) SL Green Realty Corp (a) 14,200 2,081,436 ----------------------- REITS - Storage (0.14%) Public Storage Inc (a) 7,700 837,452 ----------------------- Research & Development (1.86%) Pharmaceutical Product Development Inc (a) 322,200 11,115,900 ----------------------- Respiratory Products (0.35%) Resmed Inc (a)(b) 13,900 730,862 Respironics Inc (b) 32,400 1,380,240 ----------------------- 2,111,102 ----------------------- Retail - Apparel & Shoe (4.26%) Abercrombie & Fitch Co 15,900 1,264,686 AnnTaylor Stores Corp (b) 248,100 8,559,450 Men's Wearhouse Inc (a) 160,400 6,887,576 Nordstrom Inc 108,300 6,033,393 Ross Stores Inc (a) 20,000 647,800 Tween Brands Inc (a)(b) 62,700 2,143,713 ----------------------- 25,536,618 ----------------------- Retail - Bedding (0.44%) Bed Bath & Beyond Inc (b) 62,100 2,619,999 ----------------------- Retail - Catalog Shopping (0.40%) MSC Industrial Direct Co (a) 56,100 2,422,959 ----------------------- Retail - Consumer Electronics (0.69%) Circuit City Stores Inc (a) 203,500 4,153,435 ----------------------- Retail - Discount (1.30%) TJX Cos Inc 263,800 7,800,566 ----------------------- Retail - Major Department Store (3.20%) JC Penney Co Inc 235,798 19,156,229 ----------------------- Retail - Restaurants (0.95%) Cheesecake Factory/The (a)(b) 31,300 864,819 Darden Restaurants Inc (a) 16,800 657,552 Yum! Brands Inc 69,000 4,140,690 ----------------------- 5,663,061 ----------------------- Savings & Loans - Thrifts (0.60%) Hudson City Bancorp Inc 104,500 1,438,965 People's Bank/Bridgeport CT 48,400 2,177,516 ----------------------- 3,616,481 ----------------------- Schools (0.32%) Career Education Corp (a)(b) 67,900 1,946,693 ----------------------- Semiconductor Component - Integrated Circuits (1.05%) Integrated Device Technology Inc (b) 23,700 358,581 Semiconductor Component - Integrated Circuits Marvell Technology Group Ltd (a)(b) 323,800 5,922,302 ----------------------- 6,280,883 ----------------------- Semiconductor Equipment (1.68%) Lam Research Corp (a)(b) 219,839 10,070,825 ----------------------- Steel - Specialty (3.92%) Allegheny Technologies Inc 226,942 23,486,227 ----------------------- Telephone - Integrated (0.11%) Citizens Communications Co 44,900 658,234 ----------------------- Therapeutics (2.36%) Amylin Pharmaceuticals Inc (a)(b) 248,500 9,636,830 Gilead Sciences Inc (b) 69,700 4,483,104 ----------------------- 14,119,934 ----------------------- Tobacco (0.95%) Loews Corp - Carolina Group 27,800 1,905,412 UST Inc (a) 66,400 3,814,016 ----------------------- 5,719,428 ----------------------- Transport - Services (0.92%) CH Robinson Worldwide Inc (a) 80,853 4,289,252 Expeditors International Washington Inc (a) 28,900 1,233,741 ----------------------- 5,522,993 ----------------------- Wire & Cable Products (0.86%) Belden CDT Inc (a) 119,300 5,159,725 ----------------------- Wireless Equipment (1.63%) American Tower Corp (b) 66,020 2,629,577 Crown Castle International Corp (a)(b) 43,200 1,518,912 SBA Communications Corp (a)(b) 188,600 5,603,306 ----------------------- 9,751,795 ----------------------- X-Ray Equipment (0.27%) Hologic Inc (a)(b) 29,600 1,644,280 ----------------------- TOTAL COMMON STOCKS $ 588,353,552 ----------------------- Principal Amount Value ----------- ----------- ----------------------- MONEY MARKET FUNDS (28.69%) Money Center Banks (28.69%) BNY Institutional Cash Reserve Fund (c) 171,856,000 171,856,000 ----------------------- TOTAL MONEY MARKET FUNDS $ 171,856,000 ----------------------- Total Investments $ 760,209,552 Liabilities in Excess of Other Assets, Net - (26.91)% (161,200,533) ----------------------- TOTAL NET ASSETS - 100.00% $ 599,009,019 ======================= ----------------------- =======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 63,977,301 Unrealized Depreciation (21,085,332) ----------------------- Net Unrealized Appreciation (Depreciation) 42,891,969 Cost for federal income tax purposes 717,317,583 Portfolio Summary (unaudited) -------------------------------------------------- ----------------------- Sector Percent -------------------------------------------------- ----------------------- Financial 37.50% Consumer, Cyclical 22.87% Consumer, Non-cyclical 18.21% Industrial 16.35% Technology 15.79% Energy 7.30% Basic Materials 5.48% Communications 2.31% Utilities 1.10% Liabilities in Excess of Other Assets, Net (-26.91%) ----------------------- TOTAL NET ASSETS 100.00% =======================
Schedule of Investments January 31, 2007 (unaudited) Partners MidCap Value Fund Shares Held Value ----------- -------------- ----------------------- COMMON STOCKS (96.18%) Aerospace & Defense (0.58%) Empresa Brasileira de Aeronautica SA ADR 107,578 $ 4,362,288 ----------------------- Apparel Manufacturers (0.09%) Jones Apparel Group Inc (a) 20,400 696,864 ----------------------- Appliances (0.76%) Whirlpool Corp (a) 63,005 5,760,547 ----------------------- Auto - Car & Light Trucks (0.85%) Ford Motor Co (a) 789,800 6,421,074 ----------------------- Auto - Medium & Heavy Duty Trucks (0.59%) Paccar Inc 67,100 4,486,977 ----------------------- Auto/Truck Parts & Equipment - Original (1.35%) ArvinMeritor Inc (a) 55,800 1,074,150 Autoliv Inc 65,500 3,952,270 Johnson Controls Inc (a) 33,496 3,097,040 TRW Automotive Holdings Corp (b) 79,900 2,089,385 ----------------------- 10,212,845 ----------------------- Batteries & Battery Systems (0.26%) Energizer Holdings Inc (a)(b) 23,000 1,960,290 ----------------------- Beverages - Non-Alcoholic (0.14%) Pepsi Bottling Group Inc (a) 18,600 588,318 PepsiAmericas Inc 22,100 487,305 ----------------------- 1,075,623 ----------------------- Beverages - Wine & Spirits (1.21%) Constellation Brands Inc (b) 370,831 9,174,359 ----------------------- Brewery (0.33%) Molson Coors Brewing Co (a) 30,700 2,480,560 ----------------------- Building - Heavy Construction (0.51%) Chicago Bridge & Iron Co NV 128,396 3,815,929 ----------------------- Building - Residential & Commercial (5.37%) Beazer Homes USA Inc (a) 13,200 574,332 Centex Corp (a) 87,488 4,697,231 Hovnanian Enterprises Inc (a)(b) 148,754 4,952,021 KB Home 129,239 7,007,339 Lennar Corp 104,800 5,699,024 Meritage Homes Corp (a)(b) 116,600 5,182,870 NVR Inc (a)(b) 8,851 6,129,494 Pulte Homes Inc (a) 119,600 4,107,064 Ryland Group Inc (a) 38,900 2,185,402 ----------------------- 40,534,777 ----------------------- Building Products - Cement & Aggregate (0.21%) Texas Industries Inc 22,100 1,622,582 ----------------------- Chemicals - Diversified (1.07%) FMC Corp 30,300 2,358,855 PPG Industries Inc 53,800 3,566,402 Rockwood Holdings Inc (a)(b) 7,300 193,450 Rohm & Haas Co (a) 13,000 676,780 Westlake Chemical Corp (a) 39,438 1,308,553 ----------------------- 8,104,040 ----------------------- Chemicals - Specialty (1.96%) Albemarle Corp 50,200 3,914,596 Eastman Chemical Co (a) 66,800 3,911,808 Hercules Inc (b) 60,500 1,186,405 Lubrizol Corp 73,300 3,776,416 OM Group Inc (a)(b) 40,549 1,981,224 ----------------------- 14,770,449 ----------------------- Coal (0.64%) Arch Coal Inc (a) 95,103 2,826,461 Peabody Energy Corp 49,078 2,003,855 ----------------------- 4,830,316 ----------------------- Commercial Banks (2.39%) Colonial BancGroup Inc/The 80,500 1,975,470 Fulton Financial Corp (a) 39,658 634,528 M&T Bank Corp (a) 13,400 1,625,554 Marshall & Ilsley Corp (a) 57,200 2,691,832 Popular Inc (a) 35,300 644,578 South Financial Group Inc/The (a) 57,100 1,475,464 UnionBanCal Corp 55,800 3,605,796 Whitney Holding Corp (a) 23,079 730,220 Zions Bancorporation 55,200 4,682,064 ----------------------- 18,065,506 ----------------------- Computer Services (0.85%) Computer Sciences Corp (a)(b) 77,700 4,076,142 Unisys Corp (a)(b) 272,500 2,348,950 ----------------------- 6,425,092 ----------------------- Computer Software (0.13%) Blackbaud Inc (a) 41,100 985,167 ----------------------- Computers - Integrated Systems (0.10%) Brocade Communications Systems Inc (b) 85,800 736,164 ----------------------- Computers - Peripheral Equipment (0.97%) Lexmark International Inc (b) 116,231 7,326,040 ----------------------- Containers - Metal & Glass (0.18%) Greif Inc 11,800 1,348,858 ----------------------- Distribution & Wholesale (0.40%) Ingram Micro Inc (b) 155,000 3,024,050 ----------------------- Diversified Manufacturing Operations (2.09%) Eaton Corp 69,845 5,472,356 Ingersoll-Rand Co Ltd 112,604 4,828,459 Parker Hannifin Corp 45,500 3,765,580 Diversified Manufacturing Operations Teleflex Inc 25,400 1,696,212 ----------------------- 15,762,607 ----------------------- Diversified Minerals (0.57%) Teck Cominco Ltd (a) 58,500 4,319,640 ----------------------- Diversified Operations (0.35%) Walter Industries Inc (a) 92,600 2,609,468 ----------------------- Electric - Integrated (6.41%) American Electric Power Co Inc 133,400 5,806,902 Avista Corp 12,600 316,890 DPL Inc (a) 188,696 5,411,801 DTE Energy Co (a) 38,800 1,799,156 Edison International 261,812 11,776,304 Entergy Corp 34,600 3,212,610 Idacorp Inc 21,600 798,120 Northeast Utilities 28,000 774,200 Pepco Holdings Inc (a) 149,000 3,811,420 SCANA Corp 67,000 2,728,240 TECO Energy Inc (a) 133,800 2,269,248 TXU Corp 108,984 5,893,855 Wisconsin Energy Corp 81,800 3,808,608 ----------------------- 48,407,354 ----------------------- Electronic Components - Miscellaneous (0.44%) AVX Corp. 60,800 878,560 Vishay Intertechnology Inc (b) 186,900 2,455,866 ----------------------- 3,334,426 ----------------------- Electronic Components - Semiconductors (0.39%) International Rectifier Corp (b) 35,459 1,479,704 Spansion Inc (a)(b) 113,099 1,451,060 ----------------------- 2,930,764 ----------------------- Electronic Design Automation (0.84%) Cadence Design Systems Inc (a)(b) 146,000 2,759,400 Synopsys Inc (b) 135,400 3,601,640 ----------------------- 6,361,040 ----------------------- Electronic Parts Distribution (1.15%) Arrow Electronics Inc (b) 94,200 3,320,550 Avnet Inc (a)(b) 174,000 5,402,700 ----------------------- 8,723,250 ----------------------- Electronics - Military (0.49%) L-3 Communications Holdings Inc (a) 45,200 3,721,768 ----------------------- Engineering - Research & Development Services (0.05%) EMCOR Group Inc (b) 6,600 378,972 ----------------------- Engines - Internal Combustion (0.47%) Cummins Inc (a) 26,500 3,565,840 ----------------------- Fiduciary Banks (0.72%) Northern Trust Corp 60,300 3,663,225 Wilmington Trust Corp 41,600 1,744,288 ----------------------- 5,407,513 ----------------------- Finance - Commercial (0.61%) CIT Group Inc 78,500 4,628,360 ----------------------- Finance - Consumer Loans (0.14%) Nelnet Inc (a) 39,000 1,079,130 ----------------------- Finance - Investment Banker & Broker (1.48%) Bear Stearns Cos Inc/The 47,144 7,771,688 Raymond James Financial Inc 107,800 3,440,976 ----------------------- 11,212,664 ----------------------- Finance - Mortgage Loan/Banker (1.34%) IndyMac Bancorp Inc 172,483 6,707,864 Thornburg Mortgage Inc (a) 125,903 3,386,791 ----------------------- 10,094,655 ----------------------- Financial Guarantee Insurance (0.69%) PMI Group Inc/The 108,532 5,190,000 ----------------------- Food - Canned (0.27%) Del Monte Foods Co (a) 175,500 2,011,230 ----------------------- Food - Dairy Products (0.56%) Dean Foods Co (b) 96,200 4,256,850 ----------------------- Food - Meat Products (0.89%) Tyson Foods Inc (a) 378,500 6,718,375 ----------------------- Food - Miscellaneous/Diversified (2.13%) ConAgra Foods Inc 213,900 5,499,369 Corn Products International Inc 87,700 3,003,725 HJ Heinz Co 91,200 4,297,344 McCormick & Co Inc/MD 83,400 3,255,936 ----------------------- 16,056,374 ----------------------- Food - Wholesale & Distribution (0.42%) Supervalu Inc (a) 83,600 3,175,128 ----------------------- Gas - Distribution (1.17%) Atmos Energy Corp (a) 73,001 2,280,551 Sempra Energy 65,000 3,729,700 Southwest Gas Corp 17,700 694,725 UGI Corp 76,600 2,099,606 ----------------------- 8,804,582 ----------------------- Hospital Beds & Equipment (0.38%) Hillenbrand Industries Inc (a) 50,300 2,867,603 ----------------------- Human Resources (0.24%) Manpower Inc 24,900 1,815,957 ----------------------- Independent Power Producer (1.39%) Mirant Corp (b) 186,812 6,385,234 NRG Energy Inc (a)(b) 68,193 4,086,807 ----------------------- 10,472,041 ----------------------- Industrial Gases (0.80%) Air Products & Chemicals Inc 81,100 6,054,926 ----------------------- Internet Application Software (0.16%) RealNetworks Inc (a)(b) 115,400 1,231,318 ----------------------- Internet Security (0.35%) Check Point Software Technologies (a)(b) 110,918 2,646,504 ----------------------- Investment Management & Advisory Services (0.51%) Ameriprise Financial Inc 65,000 3,832,400 ----------------------- Life & Health Insurance (2.50%) Cigna Corp 60,300 7,983,720 Nationwide Financial Services 51,800 2,830,870 Protective Life Corp 72,000 3,522,960 Reinsurance Group of America Inc 34,900 2,029,435 Stancorp Financial Group Inc 51,900 2,483,415 ----------------------- 18,850,400 ----------------------- Machinery - Construction & Mining (1.17%) Joy Global Inc (a) 36,538 1,697,921 Terex Corp (b) 125,006 7,111,591 ----------------------- 8,809,512 ----------------------- Medical - Biomedical/Gene (0.37%) Bio-Rad Laboratories Inc (a)(b) 4,700 404,388 Millennium Pharmaceuticals Inc (a)(b) 216,600 2,404,260 ----------------------- 2,808,648 ----------------------- Medical - Drugs (0.90%) King Pharmaceuticals Inc (a)(b) 227,900 4,070,294 Shire PLC ADR (a) 43,120 2,737,258 ----------------------- 6,807,552 ----------------------- Medical - Generic Drugs (0.17%) Watson Pharmaceuticals Inc (b) 46,500 1,265,730 ----------------------- Medical - HMO (0.99%) Aetna Inc 107,705 4,540,843 AMERIGROUP Corp (a)(b) 19,000 688,940 Coventry Health Care Inc (b) 39,281 2,024,935 Magellan Health Services Inc (b) 4,800 195,888 ----------------------- 7,450,606 ----------------------- Medical - Hospitals (1.13%) LifePoint Hospitals Inc (b) 165,910 5,637,622 Universal Health Services Inc (a) 50,300 2,913,879 ----------------------- 8,551,501 ----------------------- Metal - Diversified (0.62%) Freeport-McMoRan Copper & Gold Inc (a) 81,200 4,669,812 ----------------------- Metal - Iron (0.80%) Cleveland-Cliffs Inc 110,600 6,045,396 ----------------------- Metal Processors & Fabrication (0.21%) Timken Co 55,600 1,590,716 ----------------------- Motion Pictures & Services (0.18%) DreamWorks Animation SKG Inc (a)(b) 47,600 1,341,368 ----------------------- Motorcycle/Motor Scooter (0.53%) Harley-Davidson Inc 58,364 3,984,510 ----------------------- Multi-Line Insurance (1.09%) CNA Financial Corp (a)(b) 49,600 2,016,240 HCC Insurance Holdings Inc (a) 88,700 2,767,440 Multi-Line Insurance Old Republic International Corp (a) 155,600 3,469,880 ----------------------- 8,253,560 ----------------------- Networking Products (0.35%) 3Com Corp (b) 122,200 476,580 Anixter International Inc (a)(b) 39,000 2,155,530 ----------------------- 2,632,110 ----------------------- Non-Hazardous Waste Disposal (0.29%) Republic Services Inc 51,000 2,205,750 ----------------------- Oil - Field Services (1.05%) Oceaneering International Inc (a)(b) 81,100 3,201,017 Oil States International Inc (a)(b) 98,600 2,841,652 Tidewater Inc (a) 36,600 1,887,462 ----------------------- 7,930,131 ----------------------- Oil & Gas Drilling (0.55%) Noble Corp (a) 55,600 4,167,220 ----------------------- Oil Company - Exploration & Production (3.43%) Canadian Natural Resources Ltd (a) 35,617 1,781,563 Chesapeake Energy Corp (a) 167,500 4,959,675 Cimarex Energy Co 72,500 2,717,300 Denbury Resources Inc (b) 79,807 2,210,654 Newfield Exploration Co (b) 96,800 4,144,008 Quicksilver Resources Inc (b) 55,699 2,209,022 Southwestern Energy Co (a)(b) 38,587 1,484,056 Swift Energy Co (b) 9,400 416,796 Talisman Energy Inc (a) 203,480 3,585,318 XTO Energy Inc 47,939 2,419,481 ----------------------- 25,927,873 ----------------------- Oil Refining & Marketing (2.00%) Alon USA Energy Inc (a) 33,900 911,571 Frontier Oil Corp 122,200 3,471,702 Sunoco Inc 82,626 5,216,179 Tesoro Corp (a) 57,900 4,770,381 Western Refining Inc (a) 27,500 752,125 ----------------------- 15,121,958 ----------------------- Paper & Related Products (0.02%) Smurfit-Stone Container Corp (a)(b) 12,900 139,320 ----------------------- Pharmacy Services (0.32%) Omnicare Inc (a) 60,528 2,432,620 ----------------------- Pipelines (1.20%) National Fuel Gas Co (a) 146,731 5,970,484 Williams Cos Inc 113,714 3,069,141 ----------------------- 9,039,625 ----------------------- Printing - Commercial (0.61%) RR Donnelley & Sons Co 124,100 4,604,110 ----------------------- Property & Casualty Insurance (1.22%) First American Corp (a) 72,400 3,068,312 RLI Corp (a) 20,200 1,117,868 WR Berkley Corp 101,200 3,348,708 Zenith National Insurance Corp 36,100 1,649,770 ----------------------- 9,184,658 ----------------------- Publishing - Books (0.07%) Scholastic Corp (b) 15,700 554,995 ----------------------- Publishing - Newspapers (1.27%) Gannett Co Inc (a) 100,000 5,814,000 McClatchy Co (a) 50,700 1,961,076 Washington Post Co/The 2,400 1,830,480 ----------------------- 9,605,556 ----------------------- Reinsurance (0.54%) Endurance Specialty Holdings Ltd 120,202 4,086,868 ----------------------- REITS - Apartments (1.26%) Apartment Investment & Management Co (a) 43,700 2,736,931 Archstone-Smith Trust 51,000 3,223,710 Essex Property Trust Inc (a) 24,500 3,536,330 ----------------------- 9,496,971 ----------------------- REITS - Diversified (2.68%) Colonial Properties Trust 184,205 9,053,676 Duke Realty Corp (a) 71,500 3,154,580 iStar Financial Inc (a) 159,985 8,023,248 ----------------------- 20,231,504 ----------------------- REITS - Healthcare (0.94%) Health Care REIT Inc 5,100 238,731 Ventas Inc (a) 147,900 6,840,375 ----------------------- 7,079,106 ----------------------- REITS - Hotels (0.84%) DiamondRock Hospitality Co (a) 62,100 1,170,585 FelCor Lodging Trust Inc (a) 57,100 1,260,197 Hospitality Properties Trust 80,600 3,933,280 ----------------------- 6,364,062 ----------------------- REITS - Mortgage (1.09%) Annaly Capital Management Inc (a) 197,500 2,721,550 CapitalSource Inc (a) 113,700 3,159,723 New Century Financial Corp (a) 77,900 2,358,033 ----------------------- 8,239,306 ----------------------- REITS - Office Property (0.34%) HRPT Properties Trust (a) 195,500 2,545,410 ----------------------- REITS - Regional Malls (0.37%) Taubman Centers Inc 47,700 2,779,479 ----------------------- REITS - Shopping Centers (1.99%) Developers Diversified Realty Corp (a) 92,975 6,240,482 Kimco Realty Corp 95,700 4,746,720 New Plan Excel Realty Trust (a) 67,500 1,965,600 Regency Centers Corp (a) 24,000 2,090,400 ----------------------- 15,043,202 ----------------------- REITS - Warehouse & Industrial (1.09%) EastGroup Properties Inc (a) 19,200 1,051,008 First Industrial Realty Trust Inc 151,941 7,180,732 ----------------------- 8,231,740 ----------------------- Rental - Auto & Equipment (0.91%) Rent-A-Center Inc/TX (b) 38,700 1,140,102 United Rentals Inc (a)(b) 222,127 5,719,770 ----------------------- 6,859,872 ----------------------- Retail - Apparel & Shoe (1.14%) AnnTaylor Stores Corp (b) 62,600 2,159,700 Foot Locker Inc 160,300 3,597,132 Ross Stores Inc (a) 88,834 2,877,333 ----------------------- 8,634,165 ----------------------- Retail - Auto Parts (0.31%) Advance Auto Parts Inc 60,769 2,306,184 ----------------------- Retail - Automobile (0.12%) Group 1 Automotive Inc (a) 16,800 890,400 ----------------------- Retail - Consumer Electronics (0.75%) Circuit City Stores Inc 276,800 5,649,488 ----------------------- Retail - Discount (1.02%) Dollar Tree Stores Inc (b) 84,300 2,652,078 Family Dollar Stores Inc (a) 49,300 1,597,320 TJX Cos Inc 117,482 3,473,943 ----------------------- 7,723,341 ----------------------- Retail - Pawn Shops (0.24%) Cash America International Inc 42,800 1,827,988 ----------------------- Retail - Restaurants (0.27%) CBRL Group Inc 3,493 163,787 CEC Entertainment Inc (a)(b) 28,300 1,196,807 Jack in the Box Inc (a)(b) 10,800 667,332 ----------------------- 2,027,926 ----------------------- Savings & Loans - Thrifts (0.25%) Hudson City Bancorp Inc 136,634 1,881,450 ----------------------- Semiconductor Component - Integrated Circuits (0.48%) Atmel Corp (b) 365,100 2,183,298 Cypress Semiconductor Corp (a)(b) 77,500 1,429,875 ----------------------- 3,613,173 ----------------------- Semiconductor Equipment (0.32%) MKS Instruments Inc (a)(b) 23,100 505,197 Teradyne Inc (a)(b) 127,600 1,901,240 ----------------------- 2,406,437 ----------------------- Steel - Producers (1.63%) United States Steel Corp 147,900 12,348,171 ----------------------- Telecommunication Equipment (1.63%) Arris Group Inc (a)(b) 358,318 5,095,282 Avaya Inc (b) 196,900 2,526,227 Tellabs Inc (b) 383,177 3,858,592 Utstarcom Inc (a)(b) 95,300 841,499 ----------------------- 12,321,600 ----------------------- Telecommunication Services (0.70%) Embarq Corp 77,500 4,302,025 RCN Corp (b) 34,200 1,015,398 ----------------------- 5,317,423 ----------------------- Toys (1.03%) Hasbro Inc 146,800 4,169,120 Marvel Entertainment Inc (a)(b) 11,900 332,248 Mattel Inc 136,100 3,315,396 ----------------------- 7,816,764 ----------------------- ----------------------- Transport - Marine (0.95%) Frontline Ltd (a) 47,880 1,575,252 Ship Finance International Ltd (a) 236,373 5,609,131 ----------------------- 7,184,383 ----------------------- Transport - Rail (0.75%) CSX Corp 154,200 5,673,018 ----------------------- Transport - Services (0.24%) Laidlaw International Inc 60,000 1,782,600 ----------------------- Vitamins & Nutrition Products (0.82%) NBTY Inc (a)(b) 119,224 6,181,764 ----------------------- TOTAL COMMON STOCKS $ 726,410,168 ----------------------- Principal Amount Value ----------- -------------- ----------------------- MONEY MARKET FUNDS (26.67%) Money Center Banks (26.67%) BNY Institutional Cash Reserve Fund (c) 201,443,000 201,443,000 ----------------------- TOTAL MONEY MARKET FUNDS $ 201,443,000 ----------------------- Total Investments $ 927,853,168 Liabilities in Excess of Other Assets, Net - (22.85)% (172,566,737) ----------------------- TOTAL NET ASSETS - 100.00% $ 755,286,431 ======================= ----------------------- =======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 85,981,704 Unrealized Depreciation (13,467,096) ----------------------- Net Unrealized Appreciation (Depreciation) 72,514,608 Cost for federal income tax purposes 855,338,560 Portfolio Summary (unaudited) ------------------------------------------------ ----------------------- Sector Percent ------------------------------------------------ ----------------------- Financial 50.74% Consumer, Cyclical 15.01% Consumer, Non-cyclical 12.79% Industrial 10.04% Utilities 8.96% Energy 8.87% Basic Materials 7.47% Communications 4.54% Technology 4.08% Diversified 0.35% Liabilities in Excess of Other Assets, Net (-22.85%) ----------------------- TOTAL NET ASSETS 100.00% =======================
Schedule of Investments January 31, 2007 (unaudited) Partners MidCap Value Fund I Shares Held Value ----------- ------------ ----------------------- COMMON STOCKS (97.83%) Aerospace & Defense (0.80%) Lockheed Martin Corp 1,600 $ 155,504 Northrop Grumman Corp 3,000 212,820 Raytheon Co 3,438 178,432 Rockwell Collins Inc 96,970 6,614,324 ----------------------- 7,161,080 ----------------------- Aerospace & Defense Equipment (0.72%) Alliant Techsystems Inc (a)(b) 61,450 4,977,450 DRS Technologies Inc 20,262 1,122,515 Goodrich Corp 7,823 383,483 ----------------------- 6,483,448 ----------------------- Agricultural Chemicals (0.56%) Agrium Inc (a) 144,860 5,023,745 ----------------------- Apparel Manufacturers (0.16%) Coach Inc (b) 1,500 68,790 Hanesbrands Inc (b) 1,900 48,602 Jones Apparel Group Inc 3,600 122,976 Liz Claiborne Inc 26,883 1,193,605 ----------------------- 1,433,973 ----------------------- Appliances (0.12%) Whirlpool Corp 11,500 1,051,445 ----------------------- Audio & Video Products (0.05%) Harman International Industries Inc 4,800 453,936 ----------------------- Auto - Car & Light Trucks (0.19%) Ford Motor Co 162,635 1,322,223 General Motors Corp 12,622 414,506 ----------------------- 1,736,729 ----------------------- Auto/Truck Parts & Equipment - Original (1.15%) Autoliv Inc 120,523 7,272,358 BorgWarner Inc 1,000 68,540 Dana Corp 11,100 13,098 Johnson Controls Inc 26,990 2,495,495 TRW Automotive Holdings Corp (b) 17,320 452,918 ----------------------- 10,302,409 ----------------------- Beverages - Non-Alcoholic (0.16%) Pepsi Bottling Group Inc 46,023 1,455,707 ----------------------- Beverages - Wine & Spirits (0.07%) Brown-Forman Corp 9,518 624,286 ----------------------- Brewery (0.18%) Molson Coors Brewing Co 19,668 1,589,174 ----------------------- Broadcasting Services & Programming (0.07%) Liberty Media Holding Corp - Capital (b) 6,200 634,260 ----------------------- Building - Residential & Commercial (1.22%) Centex Corp 2,200 118,118 DR Horton Inc 56,110 1,630,557 KB Home 3,903 211,621 Lennar Corp 154,991 8,428,410 Pulte Homes Inc 16,747 575,092 ----------------------- 10,963,798 ----------------------- Building & Construction Products - Miscellaneous (0.18%) USG Corp (b) 29,986 1,607,250 ----------------------- Building Products - Air & Heating (0.43%) American Standard Cos Inc 77,279 3,816,810 ----------------------- Cable TV (0.79%) Cablevision Systems Corp 104,885 3,176,967 Charter Communications Inc (a)(b) 926,920 3,244,220 EchoStar Communications Corp (b) 17,072 688,684 ----------------------- 7,109,871 ----------------------- Casino Hotels (1.05%) Boyd Gaming Corp 75,580 3,595,341 Harrah's Entertainment Inc 68,729 5,806,226 ----------------------- 9,401,567 ----------------------- Chemicals - Diversified (1.23%) Celanese Corp 85,757 2,251,121 Dow Chemical Co/The 119,638 4,969,763 EI Du Pont de Nemours & Co 2,300 113,988 FMC Corp 26,917 2,095,489 Huntsman Corp. 40,340 843,509 Lyondell Chemical Co 12,037 380,610 PPG Industries Inc 5,700 377,853 ----------------------- 11,032,333 ----------------------- Chemicals - Specialty (0.70%) Albemarle Corp 21,200 1,653,176 Cabot Corp 27,960 1,250,930 Chemtura Corp 143,180 1,649,434 Cytec Industries Inc 7,137 415,516 International Flavors & Fragrances Inc 19,700 955,056 Lubrizol Corp 7,162 368,986 ----------------------- 6,293,098 ----------------------- Coal (0.34%) Arch Coal Inc 102,363 3,042,228 ----------------------- Coatings & Paint (0.09%) RPM International Inc 35,798 831,588 ----------------------- Commercial Banks (4.63%) BOK Financial Corp 3,164 168,230 City National Corp/Beverly Hills CA 52,470 3,774,167 Colonial BancGroup Inc/The 4,173 102,406 Commerce Bancshares Inc/Kansas City MO 74,272 3,648,241 Compass Bancshares Inc 7,026 427,883 First Horizon National Corp 95,229 4,151,984 M&T Bank Corp (a) 44,294 5,373,305 Mercantile Bankshares Corp 17,050 803,226 Popular Inc 14,400 262,944 Regions Financial Corp 9,854 357,306 Synovus Financial Corp 5,600 178,808 Commercial Banks TD Banknorth Inc 151,050 4,871,363 UnionBanCal Corp 62,999 4,070,995 Webster Financial Corp 97,960 4,880,367 Zions Bancorporation 99,643 8,451,719 ----------------------- 41,522,944 ----------------------- Commercial Services (0.01%) Convergys Corp (b) 3,184 82,911 ----------------------- Commercial Services - Finance (0.34%) H&R Block Inc (a) 61,830 1,521,018 Moody's Corp 21,400 1,531,384 ----------------------- 3,052,402 ----------------------- Computer Services (0.58%) Computer Sciences Corp (b) 14,110 740,211 Electronic Data Systems Corp 159,956 4,208,442 Unisys Corp (b) 29,432 253,704 ----------------------- 5,202,357 ----------------------- Computers (0.03%) Sun Microsystems Inc (b) 42,200 280,208 ----------------------- Computers - Integrated Systems (0.01%) Diebold Inc 1,354 62,758 ----------------------- Computers - Memory Devices (1.06%) Seagate Technology 350,330 9,490,440 ----------------------- Consulting Services (0.62%) BearingPoint Inc (a)(b) 690,775 5,533,108 ----------------------- Consumer Products - Miscellaneous (1.54%) Clorox Co 176,685 11,558,733 Fortune Brands Inc 2,400 200,928 Jarden Corp (b) 57,090 2,093,490 ----------------------- 13,853,151 ----------------------- Containers - Metal & Glass (0.17%) Owens-Illinois Inc (b) 67,998 1,513,635 ----------------------- Containers - Paper & Plastic (0.83%) Bemis Co 27,900 946,089 Packaging Corp of America 240,150 5,485,026 Pactiv Corp (b) 2,600 84,344 Sealed Air Corp 900 59,310 Sonoco Products Co 21,800 839,300 ----------------------- 7,414,069 ----------------------- Cosmetics & Toiletries (0.24%) Avon Products Inc 63,896 2,197,383 ----------------------- Data Processing & Management (0.10%) Dun & Bradstreet Corp 5,616 477,360 Fair Isaac Corp 720 28,670 Fidelity National Information Services 5,414 230,203 First Data Corp 7,239 179,962 ----------------------- 916,195 ----------------------- Distribution & Wholesale (0.39%) Genuine Parts Co 2,000 95,040 Distribution & Wholesale Tech Data Corp (b) 92,677 3,442,024 ----------------------- 3,537,064 ----------------------- Diversified Manufacturing Operations (1.41%) Brink's Co/The 1,539 95,649 Carlisle Cos Inc 32,159 2,619,029 Cooper Industries Ltd (a) 76,848 7,023,138 Danaher Corp 416 30,809 Honeywell International Inc 6,400 292,416 Leggett & Platt Inc 3,700 89,688 Pentair Inc 1,180 36,769 SPX Corp 5,500 386,045 Teleflex Inc 10,200 681,156 Textron Inc 15,100 1,406,867 ----------------------- 12,661,566 ----------------------- Diversified Operations (0.12%) Leucadia National Corp 35,811 979,789 Walter Industries Inc 3,100 87,358 ----------------------- 1,067,147 ----------------------- E-Commerce - Products (0.03%) Amazon.Com Inc (b) 6,740 253,896 ----------------------- E-Commerce - Services (0.00%) IAC/InterActiveCorp (b) 650 24,960 ----------------------- Electric - Generation (0.19%) AES Corp/The (b) 84,100 1,748,439 ----------------------- Electric - Integrated (12.30%) Allegheny Energy Inc (b) 24,673 1,147,788 Alliant Energy Corp 15,900 577,965 American Electric Power Co Inc 30,449 1,325,445 Centerpoint Energy Inc 164,269 2,835,283 CMS Energy Corp 186,891 3,119,211 Consolidated Edison Inc 2,600 125,528 Constellation Energy Group Inc 40,620 2,946,981 DPL Inc 392,170 11,247,436 DTE Energy Co 3,540 164,150 Duke Energy Corp 41,000 807,290 Edison International 258,538 11,629,039 Energy East Corp 100 2,402 Entergy Corp 203,013 18,849,757 Exelon Corp 12,400 743,876 FirstEnergy Corp 75,217 4,462,625 FPL Group Inc 117,457 6,653,939 Great Plains Energy Inc 36,553 1,145,205 Hawaiian Electric Industries Inc 8,200 219,678 Northeast Utilities 106,930 2,956,615 NSTAR 1,298 43,353 PG&E Corp 292,274 13,643,350 Pinnacle West Capital Corp 18,815 917,984 PPL Corp 326,225 11,613,610 Progress Energy Inc 73,796 3,508,262 Public Service Enterprise Group Inc 9,894 663,195 SCANA Corp 22,300 908,056 Sierra Pacific Resources (a)(b) 25,770 438,605 TXU Corp 9,692 524,143 Wisconsin Energy Corp 101,741 4,737,061 Electric - Integrated WPS Resources Corp 36,485 1,935,529 Xcel Energy Inc 21,800 508,594 ----------------------- 110,401,955 ----------------------- Electric Products - Miscellaneous (0.01%) Molex Inc 1,800 52,902 ----------------------- Electronic Components - Semiconductors (0.74%) Agere Systems Inc (b) 3,336 67,187 International Rectifier Corp (b) 4,700 196,131 LSI Logic Corp (a)(b) 280,410 2,635,854 National Semiconductor Corp (a) 136,890 3,166,266 Spansion Inc (b) 41,833 536,717 ----------------------- 6,602,155 ----------------------- Electronic Connectors (1.36%) Amphenol Corp (a) 179,596 12,162,241 ----------------------- Electronic Design Automation (0.16%) Synopsys Inc (b) 52,642 1,400,277 ----------------------- Electronic Measurement Instruments (0.03%) Tektronix Inc 9,737 275,265 ----------------------- Engineering - Research & Development Services (0.09%) Fluor Corp 10,029 828,395 Shaw Group Inc/The (b) 452 15,260 ----------------------- 843,655 ----------------------- Engines - Internal Combustion (0.07%) Briggs & Stratton Corp 1,426 42,267 Cummins Inc 4,683 630,144 ----------------------- 672,411 ----------------------- Entertainment Software (1.13%) Activision Inc (a)(b) 592,922 10,097,462 ----------------------- Fiduciary Banks (1.30%) Mellon Financial Corp 53,400 2,282,316 Northern Trust Corp 145,342 8,829,527 State Street Corp 8,100 575,505 Wilmington Trust Corp 368 15,430 ----------------------- 11,702,778 ----------------------- Finance - Commercial (1.22%) CIT Group Inc 186,026 10,968,093 ----------------------- Finance - Consumer Loans (0.09%) SLM Corp 17,600 808,896 ----------------------- Finance - Investment Banker & Broker (2.33%) AG Edwards Inc 9,672 640,383 Bear Stearns Cos Inc/The 67,747 11,168,093 Charles Schwab Corp/The 22,200 420,024 E*Trade Financial Corp (b) 60,470 1,474,259 Goldman Sachs Group Inc 5,333 1,131,449 Lazard Ltd (a) 43,580 2,212,121 Lehman Brothers Holdings Inc 26,400 2,171,136 TD Ameritrade Holding Corp (b) 97,332 1,721,803 ----------------------- 20,939,268 ----------------------- Finance - Mortgage Loan/Banker (0.05%) Countrywide Financial Corp 7,760 337,405 Freddie Mac 1,300 84,409 ----------------------- 421,814 ----------------------- Finance - Other Services (0.05%) NYSE Group Inc (b) 4,616 461,508 ----------------------- Financial Guarantee Insurance (3.20%) AMBAC Financial Group Inc 172,010 15,154,081 MBIA Inc 5,612 403,110 MGIC Investment Corp 55,693 3,437,372 PMI Group Inc/The 149,129 7,131,349 Radian Group Inc 43,538 2,621,858 ----------------------- 28,747,770 ----------------------- Food - Meat Products (0.28%) Smithfield Foods Inc (a)(b) 71,707 1,883,026 Tyson Foods Inc 37,688 668,962 ----------------------- 2,551,988 ----------------------- Food - Miscellaneous/Diversified (0.31%) ConAgra Foods Inc 12,100 311,091 Corn Products International Inc 1,238 42,401 Kellogg Co 48,900 2,409,303 ----------------------- 2,762,795 ----------------------- Food - Retail (1.00%) Kroger Co/The 111,642 2,858,035 Safeway Inc 168,737 6,079,594 ----------------------- 8,937,629 ----------------------- Food - Wholesale & Distribution (1.40%) Supervalu Inc 311,662 11,836,923 Sysco Corp 20,824 719,469 ----------------------- 12,556,392 ----------------------- Forestry (0.27%) Plum Creek Timber Co Inc 55,000 2,213,750 Weyerhaeuser Co 2,701 202,575 ----------------------- 2,416,325 ----------------------- Funeral Services & Related Items (0.03%) Service Corp International/US 27,830 296,389 ----------------------- Gas - Distribution (0.98%) AGL Resources Inc (a) 97,596 3,835,523 Atmos Energy Corp 15,440 482,346 Energen Corp 28,600 1,323,608 NiSource Inc 110,413 2,627,829 Sempra Energy 8,000 459,040 Southern Union Co 900 25,029 ----------------------- 8,753,375 ----------------------- Home Decoration Products (1.12%) Newell Rubbermaid Inc 341,350 10,083,479 ----------------------- Hospital Beds & Equipment (0.01%) Hillenbrand Industries Inc 1,735 98,912 ----------------------- Hotels & Motels (0.18%) Starwood Hotels & Resorts Worldwide Inc 15,448 966,736 Wyndham Worldwide Corp (b) 20,489 639,257 ----------------------- 1,605,993 ----------------------- ----------------------- Human Resources (0.43%) Hewitt Associates Inc (b) 143,018 3,852,905 Manpower Inc 440 32,089 ----------------------- 3,884,994 ----------------------- Independent Power Producer (0.21%) Reliant Energy Inc (b) 125,900 1,873,392 ----------------------- Industrial Gases (1.08%) Air Products & Chemicals Inc 54,240 4,049,558 Airgas Inc 135,490 5,639,094 ----------------------- 9,688,652 ----------------------- Instruments - Scientific (0.70%) PerkinElmer Inc 261,314 6,237,565 Thermo Fisher Scientific Inc (b) 180 8,613 ----------------------- 6,246,178 ----------------------- Insurance Brokers (0.20%) AON Corp 24,900 892,914 Brown & Brown Inc 16,546 468,583 Marsh & McLennan Cos Inc 13,300 392,350 ----------------------- 1,753,847 ----------------------- Internet Infrastructure Software (0.01%) Akamai Technologies Inc (b) 2,000 112,360 ----------------------- Internet Security (0.01%) McAfee Inc (b) 4,259 124,618 ----------------------- Investment Companies (0.45%) Allied Capital Corp 54,407 1,570,186 American Capital Strategies Ltd (a) 51,300 2,495,745 ----------------------- 4,065,931 ----------------------- Investment Management & Advisory Services (0.38%) Eaton Vance Corp 74,220 2,545,746 Franklin Resources Inc 1,800 214,398 Legg Mason Inc 5,229 548,261 Nuveen Investments Inc 1,400 69,300 ----------------------- 3,377,705 ----------------------- Life & Health Insurance (1.92%) Cigna Corp 6,558 868,279 Conseco, Inc. (b) 21,100 418,835 Lincoln National Corp 72,222 4,848,985 Nationwide Financial Services 20,816 1,137,595 Reinsurance Group of America Inc 3,935 228,820 Torchmark Corp 37,207 2,418,083 UnumProvident Corp 331,070 7,283,540 ----------------------- 17,204,137 ----------------------- Machinery - Construction & Mining (0.04%) Caterpillar Inc 5,532 354,435 ----------------------- Machinery - Farm (0.47%) AGCO Corp (b) 123,166 4,183,949 ----------------------- Machinery - Pumps (0.07%) Flowserve Corp (b) 11,400 604,998 ----------------------- Medical - Biomedical/Gene (1.63%) Biogen Idec Inc (b) 18,600 899,124 Medical - Biomedical/Gene Charles River Laboratories International (a)(b) 101,436 4,564,620 Genzyme Corp (b) 44,909 2,951,869 Medimmune Inc (a)(b) 179,182 6,210,448 ----------------------- 14,626,061 ----------------------- Medical - Drugs (0.00%) Abraxis BioScience Inc (b) 663 17,331 ----------------------- Medical - HMO (1.15%) Coventry Health Care Inc (a)(b) 89,440 4,610,632 Health Net Inc (a)(b) 118,077 5,751,531 ----------------------- 10,362,163 ----------------------- Medical - Wholesale Drug Distribution (0.00%) AmerisourceBergen Corp 604 31,638 ----------------------- Medical Information Systems (0.95%) IMS Health Inc 295,908 8,539,905 ----------------------- Metal - Aluminum (0.08%) Alcoa Inc 23,300 752,590 ----------------------- Metal - Diversified (0.01%) Freeport-McMoRan Copper & Gold Inc 1,000 57,510 ----------------------- Metal Processors & Fabrication (0.93%) Commercial Metals Co 288,950 7,833,435 Precision Castparts Corp 200 17,778 Timken Co 16,402 469,261 ----------------------- 8,320,474 ----------------------- Miscellaneous Manufacturers (0.01%) Aptargroup Inc 1,200 73,212 ----------------------- Multi-Line Insurance (1.18%) Assurant Inc (a) 75,266 4,183,284 Cincinnati Financial Corp 98,406 4,402,684 Genworth Financial Inc 19,500 680,550 Hartford Financial Services Group Inc 2,200 208,802 Loews Corp 11,500 499,790 Old Republic International Corp 27,562 614,633 ----------------------- 10,589,743 ----------------------- Multimedia (0.01%) Viacom Inc (b) 2,583 105,051 ----------------------- Networking Products (0.29%) Juniper Networks Inc (b) 144,514 2,618,594 ----------------------- Non-Hazardous Waste Disposal (1.71%) Allied Waste Industries Inc (a)(b) 816,510 10,443,163 Republic Services Inc 113,001 4,887,293 ----------------------- 15,330,456 ----------------------- Office Automation & Equipment (0.07%) Pitney Bowes Inc 14,000 670,180 ----------------------- Office Furnishings - Original (0.07%) Steelcase Inc 33,460 655,481 ----------------------- Office Supplies & Forms (0.00%) ACCO Brands Corp (b) 400 9,652 ----------------------- Oil - Field Services (0.44%) BJ Services Co 56,563 1,564,533 Halliburton Co 5,400 159,516 W-H Energy Services Inc (a)(b) 48,380 2,195,484 ----------------------- 3,919,533 ----------------------- Oil Company - Exploration & Production (5.31%) Chesapeake Energy Corp 29,321 868,195 EOG Resources Inc (a) 213,028 14,726,625 Newfield Exploration Co (b) 5,291 226,508 Pioneer Natural Resources Co 23,541 965,181 Range Resources Corp (a) 642,051 19,704,545 Ultra Petroleum Corp (a)(b) 213,360 11,137,392 ----------------------- 47,628,446 ----------------------- Oil Company - Integrated (0.16%) Hess Corp 27,155 1,466,098 ----------------------- Oil Field Machinery & Equipment (0.14%) Dresser-Rand Group Inc (b) 42,914 1,114,047 National Oilwell Varco Inc (b) 1,700 103,088 ----------------------- 1,217,135 ----------------------- Paper & Related Products (0.70%) MeadWestvaco Corp 207,399 6,251,006 ----------------------- Pharmacy Services (0.18%) Caremark Rx Inc 26,800 1,641,768 ----------------------- Photo Equipment & Supplies (0.06%) Eastman Kodak Co 21,594 558,421 ----------------------- Pipelines (2.79%) El Paso Corp 2,250 34,920 Equitable Resources Inc 56,311 2,435,451 National Fuel Gas Co 30,364 1,235,511 Oneok Inc 30,217 1,296,611 Questar Corp 17,080 1,386,896 Spectra Energy Corp 19,400 506,728 Williams Cos Inc 672,094 18,139,817 ----------------------- 25,035,934 ----------------------- Printing - Commercial (0.00%) RR Donnelley & Sons Co 1,078 39,994 ----------------------- Private Corrections (0.34%) Corrections Corp of America (b) 62,419 3,041,054 ----------------------- Property & Casualty Insurance (0.15%) Fidelity National Financial Inc 16,897 401,135 First American Corp 23,014 975,333 ----------------------- 1,376,468 ----------------------- Publishing - Newspapers (0.34%) McClatchy Co 14,955 578,460 New York Times Co 59,279 1,368,752 Tribune Co 34,695 1,059,585 ----------------------- 3,006,797 ----------------------- Real Estate Magagement & Services (0.08%) CB Richard Ellis Group Inc (b) 555 20,874 Realogy Corp (b) 24,787 741,131 ----------------------- 762,005 ----------------------- Real Estate Operator & Developer (0.40%) Forest City Enterprises Inc 14,153 855,549 St Joe Co/The 47,358 2,742,028 ----------------------- 3,597,577 ----------------------- Regional Banks (1.61%) Capital One Financial Corp 3 241 Comerica Inc 5,100 302,430 Keycorp 370,258 14,132,748 ----------------------- 14,435,419 ----------------------- Reinsurance (1.82%) Everest Re Group Ltd 77,912 7,292,563 PartnerRe Ltd (a) 94,070 6,396,760 RenaissanceRe Holdings Ltd (a) 49,527 2,638,303 ----------------------- 16,327,626 ----------------------- REITS - Apartments (2.10%) Apartment Investment & Management Co 150,103 9,400,951 AvalonBay Communities Inc 1,757 260,668 Camden Property Trust 10,000 784,000 Equity Residential (a) 85,288 4,800,009 Home Properties Inc (a) 56,470 3,630,456 ----------------------- 18,876,084 ----------------------- REITS - Diversified (1.43%) Colonial Properties Trust 7,300 358,795 Duke Realty Corp 900 39,708 iStar Financial Inc (a) 102,840 5,157,426 Liberty Property Trust (a) 120,390 6,228,979 Rayonier Inc 6,547 282,830 Vornado Realty Trust 6,600 807,510 ----------------------- 12,875,248 ----------------------- REITS - Healthcare (0.10%) Health Care Property Investors Inc 22,500 928,125 ----------------------- REITS - Hotels (0.31%) Hospitality Properties Trust 6,268 305,878 Host Hotels & Resorts Inc 94,049 2,489,477 ----------------------- 2,795,355 ----------------------- REITS - Mortgage (0.28%) CapitalSource Inc 89,505 2,487,344 ----------------------- REITS - Office Property (2.51%) Boston Properties Inc 7,786 981,737 Brandywine Realty Trust (a) 143,895 5,016,180 Douglas Emmett Inc 25,681 702,632 Equity Office Properties Trust (a) 153,173 8,508,760 Highwoods Properties Inc 30,240 1,321,488 Mack-Cali Realty Corp (a) 108,070 6,013,015 ----------------------- 22,543,812 ----------------------- REITS - Regional Malls (0.34%) CBL & Associates Properties Inc 64,433 3,023,841 ----------------------- REITS - Shopping Centers (1.04%) Developers Diversified Realty Corp (a) 95,457 6,407,074 REITS - Shopping Centers Kimco Realty Corp 2,024 100,390 Regency Centers Corp 8,600 749,060 Weingarten Realty Investors 41,576 2,058,428 ----------------------- 9,314,952 ----------------------- REITS - Storage (0.23%) Public Storage Inc 18,710 2,034,900 ----------------------- Rental - Auto & Equipment (0.31%) Avis Budget Group Inc 87,820 2,235,897 Rent-A-Center Inc/TX (b) 19,262 567,459 ----------------------- 2,803,356 ----------------------- Retail - Apparel & Shoe (0.33%) AnnTaylor Stores Corp (b) 4,250 146,625 Foot Locker Inc 2,700 60,588 Ross Stores Inc (a) 86,139 2,790,042 ----------------------- 2,997,255 ----------------------- Retail - Automobile (0.00%) United Auto Group Inc 420 10,067 ----------------------- Retail - Bookstore (0.01%) Barnes & Noble Inc 847 32,974 Borders Group Inc 873 18,315 ----------------------- 51,289 ----------------------- Retail - Consumer Electronics (0.24%) Circuit City Stores Inc 20,576 419,956 RadioShack Corp 80,127 1,770,807 ----------------------- 2,190,763 ----------------------- Retail - Discount (0.02%) BJ's Wholesale Club Inc (b) 5,200 158,808 ----------------------- Retail - Drug Store (0.00%) CVS Corp 895 30,117 ----------------------- Retail - Jewelry (0.06%) Tiffany & Co 13,100 514,306 ----------------------- Retail - Mail Order (0.34%) Williams-Sonoma Inc (a) 86,050 3,011,750 ----------------------- Retail - Major Department Store (0.86%) JC Penney Co Inc 41,895 3,403,550 Saks Inc 207,855 3,899,360 Sears Holdings Corp (b) 2,527 446,394 ----------------------- 7,749,304 ----------------------- Retail - Office Supplies (0.20%) OfficeMax Inc 37,097 1,791,414 ----------------------- Retail - Regional Department Store (0.01%) Dillard's Inc 2,564 88,048 ----------------------- Retail - Restaurants (0.02%) Tim Hortons Inc 4,925 152,675 ----------------------- Rubber - Tires (0.01%) Goodyear Tire & Rubber Co/The (b) 3,913 96,612 ----------------------- Savings & Loans - Thrifts (0.80%) Hudson City Bancorp Inc 326,731 4,499,086 New York Community Bancorp Inc 157,546 2,660,952 ----------------------- 7,160,038 ----------------------- Semiconductor Component - Integrated Circuits (0.09%) Cypress Semiconductor Corp (b) 23,000 424,350 Integrated Device Technology Inc (b) 28,031 424,109 ----------------------- 848,459 ----------------------- Semiconductor Equipment (0.55%) Tessera Technologies Inc (a)(b) 130,189 4,978,427 ----------------------- Steel - Producers (0.15%) United States Steel Corp 15,983 1,334,421 ----------------------- Telecommunication Services (1.04%) Embarq Corp (a) 163,830 9,094,203 NTL Inc 10,100 275,225 ----------------------- 9,369,428 ----------------------- Telephone - Integrated (1.06%) CenturyTel Inc 21,600 968,544 Citizens Communications Co 208,135 3,051,259 Qwest Communications International Inc (b) 306,240 2,495,856 Sprint Nextel Corp 170,395 3,038,143 ----------------------- 9,553,802 ----------------------- Therapeutics (0.02%) Gilead Sciences Inc (b) 2,500 160,800 ----------------------- Tobacco (0.31%) Loews Corp - Carolina Group 18,600 1,274,844 Reynolds American Inc 12,518 807,411 UST Inc 11,900 683,536 ----------------------- 2,765,791 ----------------------- Toys (0.13%) Hasbro Inc 42,041 1,193,964 ----------------------- Transport - Equipment & Leasing (0.27%) GATX Corp 52,391 2,389,030 ----------------------- Transport - Marine (0.10%) Alexander & Baldwin Inc 17,900 884,976 ----------------------- Transport - Rail (1.31%) CSX Corp 76,422 2,811,565 Norfolk Southern Corp 178,104 8,842,864 Union Pacific Corp 921 93,021 ----------------------- 11,747,450 ----------------------- Transport - Services (0.17%) FedEx Corp 7,000 772,800 Laidlaw International Inc 14,220 422,476 Ryder System Inc 6,100 332,694 ----------------------- 1,527,970 ----------------------- Transport - Truck (0.20%) Landstar System Inc (a) 43,060 1,821,007 ----------------------- Water (0.02%) Aqua America Inc 7,941 176,370 ----------------------- Web Portals (0.01%) Yahoo! Inc (b) 4,200 118,902 ----------------------- TOTAL COMMON STOCKS $ 878,181,873 ----------------------- Principal Amount Value ----------- ------------ ----------------------- MONEY MARKET FUNDS (20.00%) Money Center Banks (20.00%) BNY Institutional Cash Reserve Fund (c) 179,513,000 179,513,000 ----------------------- TOTAL MONEY MARKET FUNDS $ 179,513,000 ----------------------- Total Investments $ 1,057,694,873 Liabilities in Excess of Other Assets, Net - (17.83)% (160,074,276) ----------------------- TOTAL NET ASSETS - 100.00% $ 897,620,597 ======================= ----------------------- =======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 137,097,603 Unrealized Depreciation (6,804,415) ----------------------- Net Unrealized Appreciation (Depreciation) 130,293,188 Cost for federal income tax purposes 927,401,685 Portfolio Summary (unaudited) ---------------------------------------------------- ----------------------- Sector Percent ---------------------------------------------------- ----------------------- Financial 50.20% Utilities 13.70% Industrial 12.11% Consumer, Non-cyclical 10.58% Energy 9.17% Consumer, Cyclical 7.94% Technology 5.47% Basic Materials 4.86% Communications 3.68% Diversified 0.12% Liabilities in Excess of Other Assets, Net (-17.83%) ----------------------- TOTAL NET ASSETS 100.00% =======================
Schedule of Investments January 31, 2007 (unaudited) Partners SmallCap Blend Fund Shares Held Value ----------- -------------- ----------------------- COMMON STOCKS (100.61%) Advanced Materials & Products (0.30%) Ceradyne Inc (a)(b) 11,800 $ 638,144 ----------------------- Aerospace & Defense (0.69%) Armor Holdings Inc (a)(b) 24,700 1,494,350 ----------------------- Aerospace & Defense Equipment (0.27%) Orbital Sciences Corp (a)(b) 34,700 591,982 ----------------------- Agricultural Chemicals (0.55%) CF Industries Holdings Inc 39,100 1,192,550 ----------------------- Airlines (0.56%) Skywest Inc 44,800 1,215,872 ----------------------- Apparel Manufacturers (1.45%) Carter's Inc (a)(b) 53,800 1,366,520 Phillips-Van Heusen 31,900 1,759,285 ----------------------- 3,125,805 ----------------------- Applications Software (1.63%) Compuware Corp (b) 100,900 905,073 Mapinfo Corp (b) 71,800 980,070 Progress Software Corp (b) 57,400 1,630,734 ----------------------- 3,515,877 ----------------------- Batteries & Battery Systems (0.84%) Greatbatch Inc (a)(b) 61,800 1,816,302 ----------------------- Building - Residential & Commercial (0.99%) NVR Inc (a)(b) 3,100 2,146,812 ----------------------- Building & Construction Products - Miscellaneous (0.44%) USG Corp (a)(b) 17,700 948,720 ----------------------- Building Products - Air & Heating (1.04%) Comfort Systems USA Inc 70,300 859,066 Lennox International Inc (a) 45,800 1,389,572 ----------------------- 2,248,638 ----------------------- Building Products - Wood (0.18%) Universal Forest Products Inc (a) 7,800 381,420 ----------------------- Chemicals - Diversified (0.86%) Georgia Gulf Corp 26,900 559,789 Pioneer Cos Inc (b) 20,600 616,764 Westlake Chemical Corp (a) 20,200 670,236 ----------------------- 1,846,789 ----------------------- Chemicals - Specialty (1.09%) HB Fuller Co 68,500 1,772,095 OM Group Inc (b) 11,900 581,434 ----------------------- 2,353,529 ----------------------- Circuit Boards (0.63%) Park Electrochemical Corp 50,900 1,358,521 ----------------------- Commercial Banks (4.40%) Corus Bankshares Inc (a) 49,300 1,050,090 East West Bancorp Inc 43,400 1,666,560 Fremont General Corp (a) 56,200 764,320 Hanmi Financial Corp (a) 36,800 753,664 Integra Bank Corp (a) 20,900 517,693 Sterling Financial Corp/WA (a) 16,300 540,671 SVB Financial Group (a)(b) 27,900 1,301,535 Whitney Holding Corp 70,200 2,221,128 Wilshire Bancorp Inc 37,600 686,200 ----------------------- 9,501,861 ----------------------- Communications Software (0.29%) Avid Technology Inc (a)(b) 16,900 625,300 ----------------------- Computer Services (0.38%) Factset Research Systems Inc 14,050 816,024 ----------------------- Computers - Integrated Systems (1.88%) Agilysys Inc 38,500 729,575 Brocade Communications Systems Inc (a)(b) 101,200 868,296 Kronos Inc/MA (a)(b) 16,000 608,000 Micros Systems Inc (a)(b) 10,700 602,410 MTS Systems Corp 19,400 829,738 Radisys Corp (b) 25,100 421,931 ----------------------- 4,059,950 ----------------------- Computers - Memory Devices (0.66%) Komag Inc (a)(b) 41,700 1,422,804 ----------------------- Consulting Services (1.13%) Watson Wyatt Worldwide Inc 55,000 2,435,950 ----------------------- Consumer Products - Miscellaneous (0.20%) Jarden Corp (a)(b) 11,900 436,373 ----------------------- Containers - Metal & Glass (1.43%) Greif Inc 17,700 2,023,287 Silgan Holdings Inc (a) 22,800 1,067,724 ----------------------- 3,091,011 ----------------------- Data Processing & Management (0.67%) Global Payments Inc 38,200 1,442,432 ----------------------- Decision Support Software (0.32%) Cognos Inc (a)(b) 16,000 690,080 ----------------------- Diagnostic Kits (0.57%) Idexx Laboratories Inc (b) 14,300 1,227,083 ----------------------- Disposable Medical Products (0.49%) ICU Medical Inc (a)(b) 26,600 1,049,370 ----------------------- Distribution & Wholesale (0.97%) Building Materials Holding Corp (a) 66,100 1,575,163 Distribution & Wholesale Owens & Minor Inc 15,500 518,475 ----------------------- 2,093,638 ----------------------- Diversified Manufacturing Operations (2.11%) AO Smith Corp 18,600 713,310 EnPro Industries Inc (a)(b) 26,200 865,910 Federal Signal Corp (a) 69,600 1,142,832 Griffon Corp (a)(b) 43,500 1,120,560 Harsco Corp 8,300 712,804 ----------------------- 4,555,416 ----------------------- Diversified Operations & Commercial Services (0.66%) Chemed Corp 39,000 1,423,500 ----------------------- Drug Delivery Systems (0.22%) Noven Pharmaceuticals Inc (b) 17,400 476,064 ----------------------- Electric - Integrated (1.94%) Avista Corp 18,700 470,305 CH Energy Group Inc 10,200 520,608 El Paso Electric Co (b) 26,800 651,240 Idacorp Inc 14,300 528,385 PNM Resources Inc 36,300 1,106,424 Westar Energy Inc 34,600 918,976 ----------------------- 4,195,938 ----------------------- Electric Products - Miscellaneous (0.23%) Littelfuse Inc (a)(b) 16,000 502,240 ----------------------- Electronic Components - Miscellaneous (0.97%) CTS Corp (a) 37,200 576,600 Planar Systems Inc (b) 46,600 485,106 Vishay Intertechnology Inc (b) 78,100 1,026,234 ----------------------- 2,087,940 ----------------------- Electronic Measurement Instruments (1.06%) Itron Inc (a)(b) 23,100 1,331,484 Zygo Corp (b) 63,000 967,050 ----------------------- 2,298,534 ----------------------- Engineering - Research & Development Services (1.42%) EMCOR Group Inc (b) 19,700 1,131,174 Foster Wheeler Ltd (b) 14,600 780,662 Shaw Group Inc/The (a)(b) 34,300 1,157,968 ----------------------- 3,069,804 ----------------------- Engines - Internal Combustion (0.54%) Briggs & Stratton Corp (a) 39,500 1,170,780 ----------------------- Enterprise Software & Services (1.57%) Hyperion Solutions Corp (b) 27,550 1,163,161 MicroStrategy Inc (b) 9,900 1,202,058 Packeteer Inc (b) 76,100 1,019,740 ----------------------- 3,384,959 ----------------------- E-Services - Consulting (0.46%) Digital Insight Corp (b) 13,600 528,904 Websense Inc (a)(b) 21,400 463,310 ----------------------- 992,214 ----------------------- Fiduciary Banks (0.94%) Boston Private Financial Holdings Inc 31,500 910,980 Fiduciary Banks Wilmington Trust Corp 26,500 1,111,145 ----------------------- 2,022,125 ----------------------- Finance - Consumer Loans (0.54%) Asta Funding Inc (a) 23,788 766,449 Portfolio Recovery Associates (a)(b) 9,400 408,618 ----------------------- 1,175,067 ----------------------- Finance - Investment Banker & Broker (1.37%) Investment Technology Group Inc (b) 54,700 2,384,920 optionsXpress Holdings Inc 24,200 574,750 ----------------------- 2,959,670 ----------------------- Food - Baking (1.11%) Flowers Foods Inc (a) 85,200 2,395,824 ----------------------- Food - Miscellaneous/Diversified (1.17%) Corn Products International Inc 73,600 2,520,800 ----------------------- Food - Wholesale & Distribution (0.22%) Performance Food Group Co (b) 15,900 471,594 ----------------------- Footwear & Related Apparel (0.76%) Stride Rite Corp 42,500 733,550 Wolverine World Wide Inc 29,400 904,638 ----------------------- 1,638,188 ----------------------- Gambling (Non-Hotel) (0.46%) Dover Downs Gaming & Entertainment Inc 75,200 984,368 ----------------------- Garden Products (0.63%) Toro Co (a) 26,500 1,358,655 ----------------------- Gas - Distribution (3.08%) Atmos Energy Corp 63,800 1,993,112 Energen Corp 55,500 2,568,540 Northwest Natural Gas Co 13,100 533,039 Piedmont Natural Gas Co (a) 11,600 299,396 Southwest Gas Corp 31,900 1,252,075 ----------------------- 6,646,162 ----------------------- Hotels & Motels (0.30%) Choice Hotels International Inc (a) 15,100 638,579 ----------------------- Human Resources (1.31%) Heidrick & Struggles International Inc (a)(b) 22,100 965,107 MPS Group Inc (b) 84,800 1,270,304 Spherion Corp (b) 72,600 597,498 ----------------------- 2,832,909 ----------------------- Instruments - Controls (1.05%) Watts Water Technologies Inc (a) 51,500 2,264,455 ----------------------- Internet Content - Information & News (0.24%) Harris Interactive Inc (b) 101,200 527,252 ----------------------- Internet Infrastructure Equipment (0.47%) Avocent Corp (a)(b) 29,100 1,005,114 ----------------------- Internet Security (0.41%) SonicWALL Inc (b) 105,500 889,365 ----------------------- Internet Telephony (0.23%) j2 Global Communications Inc (a)(b) 18,400 487,232 ----------------------- Investment Management & Advisory Services (0.25%) Calamos Asset Management Inc 19,300 528,627 ----------------------- Lasers - Systems & Components (0.45%) Coherent Inc (b) 31,400 965,550 ----------------------- Leisure & Recreation Products (0.28%) K2 Inc (b) 49,500 597,960 ----------------------- Life & Health Insurance (0.36%) Presidential Life Corp (a) 35,900 780,107 ----------------------- Machinery - Electrical (0.51%) Regal-Beloit Corp 21,900 1,102,008 ----------------------- Machinery - General Industry (2.23%) Applied Industrial Technologies Inc 41,250 1,010,625 Manitowoc Co Inc/The 35,400 1,835,844 Wabtec Corp 61,500 1,969,230 ----------------------- 4,815,699 ----------------------- Medical - Drugs (1.46%) Sciele Pharma Inc (a)(b) 90,200 2,142,250 Viropharma Inc (a)(b) 59,800 1,018,394 ----------------------- 3,160,644 ----------------------- Medical - Generic Drugs (0.26%) Alpharma Inc (a) 20,100 553,755 ----------------------- Medical - HMO (2.35%) AMERIGROUP Corp (a)(b) 41,700 1,512,042 Sierra Health Services Inc (a)(b) 58,100 2,335,620 WellCare Health Plans Inc (b) 15,900 1,231,932 ----------------------- 5,079,594 ----------------------- Medical Information Systems (0.30%) Cerner Corp (a)(b) 14,500 651,485 ----------------------- Medical Instruments (1.05%) Arthrocare Corp (a)(b) 26,600 981,540 Datascope Corp (a) 17,300 639,062 Edwards Lifesciences Corp (a)(b) 12,600 644,616 ----------------------- 2,265,218 ----------------------- Medical Laser Systems (0.16%) Candela Corp (a)(b) 30,200 349,112 ----------------------- Medical Products (1.04%) Haemonetics Corp/Mass (a)(b) 18,500 892,440 Viasys Healthcare Inc (b) 20,100 591,543 West Pharmaceutical Services Inc 15,600 757,068 ----------------------- 2,241,051 ----------------------- Metal - Iron (0.75%) Cleveland-Cliffs Inc 29,600 1,617,936 ----------------------- Metal Processors & Fabrication (0.28%) Mueller Industries Inc 18,800 612,316 ----------------------- Multi-Line Insurance (0.39%) Horace Mann Educators Corp 42,500 842,775 ----------------------- Networking Products (0.57%) Aeroflex Inc (b) 58,800 703,248 Anixter International Inc (a)(b) 9,700 536,119 ----------------------- 1,239,367 ----------------------- Office Furnishings - Original (0.80%) Herman Miller Inc (a) 15,800 594,080 Knoll Inc 51,800 1,139,082 ----------------------- 1,733,162 ----------------------- Oil - Field Services (3.03%) Helix Energy Solutions Group Inc (a)(b) 72,500 2,332,325 Oceaneering International Inc (b) 25,000 986,750 SEACOR Holdings Inc (a)(b) 20,400 2,065,092 Tidewater Inc (a) 22,300 1,150,011 ----------------------- 6,534,178 ----------------------- Oil & Gas Drilling (0.89%) Grey Wolf Inc (a)(b) 151,100 1,032,013 Parker Drilling Co (b) 95,500 884,330 ----------------------- 1,916,343 ----------------------- Oil Company - Exploration & Production (2.26%) Cabot Oil & Gas Corp 7,000 454,020 Callon Petroleum Co (a)(b) 60,800 843,904 Cimarex Energy Co 11,700 438,516 Swift Energy Co (a)(b) 33,800 1,498,692 Unit Corp (a)(b) 33,800 1,638,624 ----------------------- 4,873,756 ----------------------- Oil Field Machinery & Equipment (0.26%) Lufkin Industries Inc 9,300 556,605 ----------------------- Oil Refining & Marketing (0.76%) Frontier Oil Corp 57,600 1,636,416 ----------------------- Physician Practice Management (0.47%) Pediatrix Medical Group Inc (b) 19,200 1,008,768 ----------------------- Power Converter & Supply Equipment (0.41%) Advanced Energy Industries Inc (b) 51,600 894,228 ----------------------- Property & Casualty Insurance (2.08%) Navigators Group Inc (b) 11,300 540,027 Philadelphia Consolidated Holding Co (a)(b) 22,900 1,031,874 ProAssurance Corp (b) 35,000 1,777,650 SeaBright Insurance Holdings Inc (a)(b) 62,900 1,132,829 ----------------------- 4,482,380 ----------------------- Publishing - Books (0.44%) Scholastic Corp (b) 26,800 947,380 ----------------------- Radio (0.26%) Cox Radio Inc (a)(b) 35,600 557,496 ----------------------- Recreational Vehicles (0.39%) Arctic Cat Inc 46,100 850,545 ----------------------- Recycling (0.70%) Metal Management Inc (a) 37,000 1,518,480 ----------------------- REITS - Diversified (0.30%) Lexington Realty Trust (a) 30,100 640,528 ----------------------- REITS - Healthcare (1.02%) Medical Properties Trust Inc (a) 56,700 886,221 Nationwide Health Properties Inc (a) 20,200 673,064 Omega Healthcare Investors Inc 36,000 652,680 ----------------------- 2,211,965 ----------------------- REITS - Hotels (0.22%) Winston Hotels Inc 34,400 479,192 ----------------------- REITS - Office Property (0.50%) BioMed Realty Trust Inc 36,100 1,076,863 ----------------------- REITS - Regional Malls (0.25%) Pennsylvania Real Estate Investment Trust (a) 12,600 538,020 ----------------------- REITS - Shopping Centers (0.50%) Cedar Shopping Centers Inc 65,000 1,088,750 ----------------------- Research & Development (0.81%) Kendle International Inc (b) 21,100 819,524 Parexel International Corp (b) 28,200 923,550 ----------------------- 1,743,074 ----------------------- Retail - Apparel & Shoe (2.58%) Cato Corp/The 26,400 595,848 Charlotte Russe Holding Inc (a)(b) 31,200 953,160 DSW Inc (a)(b) 15,900 637,431 Men's Wearhouse Inc 38,100 1,636,014 Shoe Carnival Inc (a)(b) 33,000 1,050,390 Tween Brands Inc (a)(b) 20,500 700,895 ----------------------- 5,573,738 ----------------------- Retail - Automobile (1.05%) Group 1 Automotive Inc (a) 14,800 784,400 Sonic Automotive Inc (a) 47,000 1,473,450 ----------------------- 2,257,850 ----------------------- Retail - Bedding (0.76%) Select Comfort Corp (a)(b) 89,500 1,650,380 ----------------------- Retail - Bookstore (0.33%) Barnes & Noble Inc 18,300 712,419 ----------------------- Retail - Computer Equipment (0.78%) Insight Enterprises Inc (b) 82,900 1,685,357 ----------------------- Retail - Convenience Store (0.49%) Casey's General Stores Inc 18,600 474,672 Retail - Convenience Store Pantry Inc/The (a)(b) 12,100 590,601 ----------------------- 1,065,273 ----------------------- Retail - Drug Store (0.58%) Longs Drug Stores Corp (a) 29,200 1,255,600 ----------------------- Retail - Petroleum Products (0.45%) World Fuel Services Corp (a) 21,200 972,020 ----------------------- Retail - Restaurants (1.87%) CBRL Group Inc 18,600 872,154 Domino's Pizza Inc 24,300 694,251 Jack in the Box Inc (a)(b) 24,900 1,538,571 Papa John's International Inc (a)(b) 33,800 933,556 ----------------------- 4,038,532 ----------------------- Retirement & Aged Care (0.29%) Five Star Quality Care Inc (a)(b) 52,400 635,612 ----------------------- Savings & Loans - Thrifts (2.45%) Bankunited Financial Corp (a) 77,200 2,129,948 Downey Financial Corp 8,300 593,782 FirstFed Financial Corp (a)(b) 37,200 2,564,940 ----------------------- 5,288,670 ----------------------- Semiconductor Component - Integrated Circuits (0.25%) Exar Corp (b) 41,900 548,890 ----------------------- Semiconductor Equipment (1.37%) Novellus Systems Inc (a)(b) 33,300 1,026,639 Photronics Inc (a)(b) 44,700 744,702 Varian Semiconductor Equipment Associates Inc (b) 28,700 1,181,005 ----------------------- 2,952,346 ----------------------- Steel - Producers (1.80%) Chaparral Steel Co 29,400 1,507,632 Reliance Steel & Aluminum Co 20,700 861,948 Ryerson Inc (a) 20,000 627,400 Steel Technologies Inc (a) 48,200 894,110 ----------------------- 3,891,090 ----------------------- Telecommunication Equipment (0.98%) CommScope Inc (a)(b) 17,900 578,349 Comtech Telecommunications Corp (a)(b) 30,900 1,112,400 Westell Technologies Inc (b) 190,700 434,796 ----------------------- 2,125,545 ----------------------- Telephone - Integrated (0.37%) Cincinnati Bell Inc (b) 162,100 787,806 ----------------------- Transport - Air Freight (0.28%) Atlas Air Worldwide Holdings Inc (a)(b) 12,600 604,170 ----------------------- Transport - Services (1.10%) Laidlaw International Inc 39,000 1,158,690 Pacer International Inc 38,700 1,205,892 ----------------------- 2,364,582 ----------------------- Transport - Truck (1.57%) Arkansas Best Corp 27,400 1,047,228 Old Dominion Freight Line (a)(b) 50,900 1,414,002 Transport - Truck US Xpress Enterprises Inc (a)(b) 50,800 938,276 ----------------------- 3,399,506 ----------------------- Vitamins & Nutrition Products (0.17%) Mannatech Inc (a) 22,400 361,312 ----------------------- Web Portals (0.26%) United Online Inc (a) 40,600 570,024 ----------------------- Wire & Cable Products (0.81%) General Cable Corp (b) 40,700 1,755,391 ----------------------- X-Ray Equipment (0.60%) Hologic Inc (a)(b) 23,300 1,294,315 ----------------------- TOTAL COMMON STOCKS $ 217,223,696 ----------------------- Principal Amount Value ----------- -------------- ----------------------- MONEY MARKET FUNDS (29.02%) Money Center Banks (29.02%) BNY Institutional Cash Reserve Fund (c) 62,659,000 62,659,000 ----------------------- TOTAL MONEY MARKET FUNDS $ 62,659,000 ----------------------- Total Investments $ 279,882,696 Liabilities in Excess of Other Assets, Net - (29.63)% (63,973,272) ----------------------- TOTAL NET ASSETS - 100.00% $ 215,909,424 ======================= ----------------------- =======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 25,174,899 Unrealized Depreciation (8,134,055) ----------------------- Net Unrealized Appreciation (Depreciation) 17,040,844 Cost for federal income tax purposes 262,841,852 Portfolio Summary (unaudited) --------------------------------------------------- ----------------------- Sector Percent --------------------------------------------------- ----------------------- Financial 44.59% Industrial 21.56% Consumer, Cyclical 16.49% Consumer, Non-cyclical 15.73% Technology 9.31% Energy 7.19% Basic Materials 5.05% Utilities 5.02% Communications 4.69% Liabilities in Excess of Other Assets, Net (-29.63%) ----------------------- TOTAL NET ASSETS 100.00% =======================
Schedule of Investments January 31, 2007 (unaudited) Partners SmallCap Growth Fund I Shares Held Value ----------- -------- ---------------------- COMMON STOCKS (96.17%) Advanced Materials & Products (1.33%) Hexcel Corp (a)(b) 94,000 $ 1,808,560 ---------------------- Apparel Manufacturers (0.47%) Carter's Inc (a)(b) 24,900 632,460 ---------------------- Applications Software (1.75%) American Reprographics Co (b) 68,400 2,142,288 Quest Software Inc (a)(b) 15,330 228,877 ---------------------- 2,371,165 ---------------------- Building Products - Cement & Aggregate (0.80%) Dayton Superior Corp (b) 95,100 1,088,895 ---------------------- Commercial Banks (1.60%) Community Bancorp/NV (b) 21,100 706,217 First Republic Bank/San Francisco CA (a) 27,300 1,466,556 ---------------------- 2,172,773 ---------------------- Commercial Services (1.18%) WNS Holdings Ltd ADR (b) 47,320 1,602,255 ---------------------- Commercial Services - Finance (2.90%) Clayton Holdings Inc (b) 47,690 880,357 Euronet Worldwide Inc (a)(b) 19,500 562,770 Global Cash Access Holdings Inc (b) 69,000 1,105,380 Morningstar Inc (a)(b) 30,500 1,396,900 ---------------------- 3,945,407 ---------------------- Communications Software (1.01%) Witness Systems Inc (a)(b) 60,500 1,369,720 ---------------------- Computer Software (1.05%) Blackbaud Inc 59,610 1,428,852 ---------------------- Computers - Integrated Systems (1.48%) Micros Systems Inc (b) 35,700 2,009,910 ---------------------- Computers - Peripheral Equipment (1.56%) Electronics for Imaging (a)(b) 38,300 882,815 Synaptics Inc (a)(b) 45,600 1,233,936 ---------------------- 2,116,751 ---------------------- Consulting Services (1.79%) Huron Consulting Group Inc (a)(b) 46,890 2,431,246 ---------------------- Data Processing & Management (0.49%) Commvault Systems Inc (b) 36,800 660,560 ---------------------- Diagnostic Equipment (0.59%) Hansen Medical Inc (a)(b) 49,780 795,982 ---------------------- Diagnostic Kits (1.27%) Meridian Bioscience Inc 58,400 1,731,560 ---------------------- Distribution & Wholesale (1.45%) LKQ Corp (a)(b) 92,150 1,973,853 ---------------------- E-Commerce - Products (0.49%) Nutri/System Inc (a)(b) 15,100 665,155 ---------------------- Electronic Components - Semiconductors (0.05%) ON Semiconductor Corp (a)(b) 8,100 67,716 ---------------------- Energy - Alternate Sources (0.28%) Aventine Renewable Energy Holdings Inc (a)(b) 24,000 379,200 ---------------------- Enterprise Software & Services (0.73%) Informatica Corp (a)(b) 57,090 717,050 Ultimate Software Group Inc (b) 11,000 268,180 ---------------------- 985,230 ---------------------- Entertainment Software (1.30%) THQ Inc (b) 58,100 1,760,430 ---------------------- Finance - Investment Banker & Broker (2.28%) Greenhill & Co Inc (a) 25,700 1,925,701 optionsXpress Holdings Inc 49,250 1,169,688 ---------------------- 3,095,389 ---------------------- Finance - Other Services (1.23%) GFI Group Inc (a)(b) 26,100 1,669,878 ---------------------- Financial Guarantee Insurance (0.53%) Primus Guaranty Ltd (a)(b) 61,200 725,220 ---------------------- Food - Miscellaneous/Diversified (0.86%) Hain Celestial Group Inc (b) 39,900 1,173,060 ---------------------- Hazardous Waste Disposal (1.87%) Stericycle Inc (b) 33,070 2,546,390 ---------------------- Hotels & Motels (1.72%) Home Inns & Hotels Management Inc ADR (a)(b) 3,800 170,012 Orient-Express Hotels Ltd 45,500 2,168,075 ---------------------- 2,338,087 ---------------------- Human Resources (4.14%) Administaff Inc (a) 49,600 2,030,624 Kenexa Corp (b) 25,000 912,500 Resources Connection Inc (a)(b) 85,200 2,675,280 ---------------------- 5,618,404 ---------------------- Instruments - Controls (1.14%) Watts Water Technologies Inc (a) 35,100 1,543,347 ---------------------- Internet Application Software (1.69%) DealerTrack Holdings Inc (b) 83,000 2,300,760 ---------------------- Internet Content - Information & News (1.47%) Knot Inc/The (a)(b) 33,340 1,005,868 Internet Content - Information & News LoopNet Inc (a)(b) 59,100 990,516 ---------------------- 1,996,384 ---------------------- Investment Management & Advisory Services (1.08%) Affiliated Managers Group Inc (a)(b) 13,200 1,470,480 ---------------------- Machinery - Construction & Mining (3.16%) Astec Industries Inc (a)(b) 61,800 2,225,418 Bucyrus International Inc (a) 44,500 2,065,245 ---------------------- 4,290,663 ---------------------- Machinery - Electrical (1.11%) Baldor Electric Co 42,800 1,511,696 ---------------------- Machinery - General Industry (1.43%) IDEX Corp 37,550 1,948,845 ---------------------- Medical - Biomedical/Gene (1.26%) Advanced Magnetics Inc (a)(b) 6,300 383,859 Alexion Pharmaceuticals Inc (a)(b) 13,600 565,352 Nektar Therapeutics (a)(b) 59,800 759,460 ---------------------- 1,708,671 ---------------------- Medical - Drugs (0.42%) Pozen Inc (a)(b) 33,700 569,867 ---------------------- Medical - HMO (1.00%) WellCare Health Plans Inc (b) 17,585 1,362,486 ---------------------- Medical - Outpatient & Home Medical Care (1.50%) LHC Group Inc (b) 78,100 2,032,943 ---------------------- Medical Instruments (2.93%) Abaxis Inc (a)(b) 48,300 1,043,280 Arthrocare Corp (a)(b) 40,800 1,505,520 DexCom Inc (a)(b) 20,300 180,670 Ventana Medical Systems Inc (a)(b) 29,600 1,246,160 ---------------------- 3,975,630 ---------------------- Medical Laboratory & Testing Service (1.02%) Icon Plc ADR (b) 37,100 1,383,830 ---------------------- Metal Processors & Fabrication (1.04%) RBC Bearings Inc (a)(b) 46,200 1,417,416 ---------------------- Multimedia (0.77%) Entravision Communications Corp (a)(b) 130,000 1,040,000 ---------------------- Office Furnishings - Original (1.60%) Knoll Inc 98,700 2,170,413 ---------------------- Oil - Field Services (2.77%) Core Laboratories NV (a)(b) 16,520 1,361,248 Tesco Corp (b) 47,000 987,000 W-H Energy Services Inc (a)(b) 31,100 1,411,318 ---------------------- 3,759,566 ---------------------- Oil Company - Exploration & Production (1.89%) Bill Barrett Corp (a)(b) 49,100 1,517,190 Oil Company - Exploration & Production EXCO Resources Inc (b) 62,900 1,056,720 ---------------------- 2,573,910 ---------------------- Oil Field Machinery & Equipment (2.93%) Dril-Quip Inc (b) 36,700 1,365,240 FMC Technologies Inc (b) 15,300 947,529 Hydril (a)(b) 21,000 1,661,100 ---------------------- 3,973,869 ---------------------- Pharmacy Services (0.57%) HealthExtras Inc (a)(b) 30,100 769,356 ---------------------- Physical Therapy & Rehabilitation Centers (1.73%) Psychiatric Solutions Inc (b) 60,300 2,348,082 ---------------------- Printing - Commercial (2.23%) VistaPrint Ltd (b) 70,200 3,024,918 ---------------------- Recreational Centers (1.49%) Life Time Fitness Inc (a)(b) 37,300 2,021,660 ---------------------- Research & Development (0.61%) Senomyx Inc (a)(b) 56,800 830,416 ---------------------- Retail - Apparel & Shoe (0.91%) Under Armour Inc. - Class A (a)(b) 24,320 1,235,456 ---------------------- Retail - Catalog Shopping (1.91%) Coldwater Creek Inc (a)(b) 70,250 1,310,162 MSC Industrial Direct Co 29,600 1,278,424 ---------------------- 2,588,586 ---------------------- Retail - Leisure Products (0.67%) MarineMax Inc (a)(b) 37,600 908,416 ---------------------- Retail - Restaurants (0.41%) Texas Roadhouse Inc (a)(b) 41,000 555,140 ---------------------- Retail - Sporting Goods (0.89%) Zumiez Inc (a)(b) 36,650 1,205,785 ---------------------- Schools (1.51%) Strayer Education Inc (a) 18,000 2,047,860 ---------------------- Schools - Day Care (0.99%) Bright Horizons Family Solutions Inc (b) 34,500 1,351,365 ---------------------- Semiconductor Component - Integrated Circuits (3.04%) Exar Corp (b) 77,300 1,012,630 Hittite Microwave Corp (a)(b) 24,700 859,066 Integrated Device Technology Inc (b) 62,660 948,046 Micrel Inc (b) 79,100 799,701 Vimicro International Corp ADR (a)(b) 53,300 504,751 ---------------------- 4,124,194 ---------------------- Semiconductor Equipment (0.96%) Entegris Inc (a)(b) 121,600 1,304,768 ---------------------- Software Tools (0.84%) Altiris Inc (b) 35,050 1,147,187 ---------------------- Telecommunication Equipment - Fiber Optics (1.58%) Oplink Communications Inc (a)(b) 113,300 2,150,434 ---------------------- Telecommunication Services (1.89%) Cbeyond Inc (a)(b) 56,400 1,676,208 NTELOS Holdings Corp (a)(b) 47,600 886,312 ---------------------- 2,562,520 ---------------------- Therapeutics (1.23%) BioMarin Pharmaceuticals Inc (a)(b) 58,100 1,100,414 United Therapeutics Corp (a)(b) 10,600 568,160 ---------------------- 1,668,574 ---------------------- Transactional Software (2.40%) Innerworkings Inc (a)(b) 95,100 1,222,035 VeriFone Holdings Inc (a)(b) 51,000 2,038,470 ---------------------- 3,260,505 ---------------------- Transport - Marine (1.45%) Kirby Corp (b) 55,500 1,970,805 ---------------------- Transport - Services (1.27%) UTi Worldwide Inc 56,800 1,726,720 ---------------------- Web Portals (1.18%) Trizetto Group (a)(b) 77,100 1,599,054 ---------------------- TOTAL COMMON STOCKS $ 130,596,685 ---------------------- Principal Amount Value ----------- -------- ---------------------- MONEY MARKET FUNDS (25.39%) Money Center Banks (25.39%) BNY Institutional Cash Reserve Fund (c) 34,478,000 34,478,000 ---------------------- TOTAL MONEY MARKET FUNDS $ 34,478,000 ---------------------- Total Investments $ 165,074,685 Liabilities in Excess of Other Assets, Net - (21.56)% (29,280,121) ---------------------- TOTAL NET ASSETS - 100.00% $ 135,794,564 ====================== ---------------------- ======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 17,581,260 Unrealized Depreciation (3,923,684) ---------------------- Net Unrealized Appreciation (Depreciation) 13,657,576 Cost for federal income tax purposes 151,417,109 Portfolio Summary (unaudited) --------------------------------------------------- ---------------------- Sector Percent --------------------------------------------------- ---------------------- Financial 32.11% Consumer, Non-cyclical 29.73% Technology 16.65% Industrial 14.62% Consumer, Cyclical 11.51% Communications 9.07% Energy 7.87% Liabilities in Excess of Other Assets, Net (-21.56%) ---------------------- TOTAL NET ASSETS 100.00% ======================
Schedule of Investments January 31, 2007 (unaudited) Partners SmallCap Growth Fund II Shares Held Value ----------- ------ ---------------------- COMMON STOCKS (97.03%) Aerospace & Defense (0.05%) Aerovironment Inc (a)(b) 14,200 $ 324,754 ---------------------- Aerospace & Defense Equipment (2.27%) AAR Corp (a)(b) 181,178 5,397,292 BE Aerospace Inc (b) 244,742 7,288,417 DRS Technologies Inc (a) 26,157 1,449,098 Triumph Group Inc 7,000 393,400 ---------------------- 14,528,207 ---------------------- Airlines (0.06%) Allegiant Travel Co (b) 12,200 405,650 ---------------------- Apparel Manufacturers (1.46%) Carter's Inc (a)(b) 39,300 998,220 Guess ? Inc 19,788 1,426,913 Phillips-Van Heusen 125,102 6,899,375 ---------------------- 9,324,508 ---------------------- Applications Software (2.10%) Applix Inc (b) 79,534 859,763 Callidus Software Inc (b) 34,030 256,246 Nuance Communications Inc (a)(b) 315,764 3,637,601 Progress Software Corp (a)(b) 110,323 3,134,276 VA Software Corp (a)(b) 522,590 2,680,887 Verint Systems Inc (a)(b) 85,633 2,830,171 ---------------------- 13,398,944 ---------------------- Auto - Medium & Heavy Duty Trucks (0.15%) Force Protection Inc (a)(b) 52,300 940,877 ---------------------- Batteries & Battery Systems (0.20%) Energy Conversion Devices Inc (a)(b) 37,590 1,294,975 ---------------------- Building - Heavy Construction (0.19%) Infrasource Services Inc (b) 56,400 1,198,500 ---------------------- Building & Construction - Miscellaneous (0.19%) Layne Christensen Co (a)(b) 34,547 1,210,181 ---------------------- Building & Construction Products - Miscellaneous (0.26%) Drew Industries Inc (a)(b) 30,666 849,142 NCI Building Systems Inc (b) 14,624 832,398 ---------------------- 1,681,540 ---------------------- Building Products - Doors & Windows (0.26%) Apogee Enterprises Inc 85,800 1,632,774 ---------------------- Building Products - Light Fixtures (0.63%) Genlyte Group Inc (a)(b) 52,950 4,012,021 ---------------------- Casino Services (0.60%) Shuffle Master Inc (a)(b) 144,915 3,856,188 ---------------------- Chemicals - Plastics (0.19%) Landec Corp (b) 96,408 1,180,998 ---------------------- Circuit Boards (0.14%) Merix Corp (a)(b) 86,498 745,613 TTM Technologies Inc (a)(b) 15,700 168,147 ---------------------- 913,760 ---------------------- Coffee (0.12%) Peet's Coffee & Tea Inc (a)(b) 30,385 785,452 ---------------------- Commercial Banks (2.35%) AmericanWest Bancorp (a) 30,734 691,822 Prosperity Bancshares Inc (a) 88,400 3,094,000 SVB Financial Group (a)(b) 25,000 1,166,250 Texas Capital Bancshares Inc (b) 93,969 1,828,637 UCBH Holdings Inc (a) 213,081 3,995,269 United Community Banks Inc/GA (a) 37,211 1,215,311 Virginia Commerce Bancorp (a)(b) 37,100 806,925 Wilshire Bancorp Inc (a) 121,260 2,212,995 ---------------------- 15,011,209 ---------------------- Commercial Services (2.34%) HMS Holdings Corp (a)(b) 86,959 1,693,961 PeopleSupport Inc (a)(b) 209,573 4,998,316 Providence Service Corp/The (a)(b) 25,328 557,216 TeleTech Holdings Inc (a)(b) 186,000 5,012,700 WNS Holdings Ltd ADR (a)(b) 79,400 2,688,484 ---------------------- 14,950,677 ---------------------- Commercial Services - Finance (0.43%) Bankrate Inc (a)(b) 69,800 2,757,798 ---------------------- Communications Software (0.54%) DivX Inc (a)(b) 20,400 432,072 Smith Micro Software Inc (a)(b) 223,494 3,048,458 ---------------------- 3,480,530 ---------------------- Computer Aided Design (0.58%) Ansys Inc (b) 74,115 3,697,597 ---------------------- Computer Services (2.22%) CACI International Inc (a)(b) 68,899 3,240,320 Cognizant Technology Solutions Corp (b) 54,000 4,605,660 Factset Research Systems Inc 60,329 3,503,908 iGate Corp (b) 102,450 694,611 LivePerson Inc (b) 155,243 960,954 Rainmaker Systems Inc (b) 114,684 1,190,420 ---------------------- 14,195,873 ---------------------- Computer Software (0.12%) Blackbaud Inc 31,836 763,109 ---------------------- Computers - Integrated Systems (0.44%) Micros Systems Inc (b) 21,397 1,204,651 Radisys Corp (a)(b) 94,824 1,593,992 ---------------------- 2,798,643 ---------------------- Computers - Memory Devices (0.11%) Isilon Systems Inc (a)(b) 8,900 205,501 Komag Inc (a)(b) 14,900 508,388 ---------------------- 713,889 ---------------------- Computers - Peripheral Equipment (0.15%) Icad Inc (a)(b) 196,601 943,685 ---------------------- Consulting Services (0.97%) CRA International Inc (b) 71,286 3,843,741 Diamond Management & Technology Consultants Inc (a) 190,983 2,383,468 ---------------------- 6,227,209 ---------------------- Consumer Products - Miscellaneous (0.57%) Central Garden and Pet Co (b) 81,172 3,635,694 ---------------------- Cosmetics & Toiletries (0.20%) Bare Escentuals Inc (a)(b) 35,100 1,280,799 ---------------------- Data Processing & Management (0.11%) Fair Isaac Corp (a) 17,063 679,449 ---------------------- Decision Support Software (0.55%) Interactive Intelligence Inc (b) 52,570 1,051,926 SPSS Inc (b) 79,924 2,479,242 ---------------------- 3,531,168 ---------------------- Diagnostic Equipment (1.07%) BioVeris Corp (b) 60,223 779,888 Gen-Probe Inc (b) 85,887 4,442,075 Hansen Medical Inc (a)(b) 102,700 1,642,173 ---------------------- 6,864,136 ---------------------- Diagnostic Kits (0.46%) Inverness Medical Innovations Inc (a)(b) 35,200 1,450,944 Meridian Bioscience Inc 49,250 1,460,263 ---------------------- 2,911,207 ---------------------- Disposable Medical Products (0.15%) Volcano Corp (b) 50,100 968,934 ---------------------- Distribution & Wholesale (1.44%) Beacon Roofing Supply Inc (a)(b) 67,445 1,405,554 LKQ Corp (a)(b) 122,823 2,630,868 WESCO International Inc (b) 85,200 5,173,344 ---------------------- 9,209,766 ---------------------- Diversified Manufacturing Operations (1.76%) Ameron International Corp 13,049 1,052,663 Barnes Group Inc (a) 42,073 901,204 ESCO Technologies Inc (a)(b) 170,199 8,130,406 Lydall Inc (b) 86,383 1,156,668 ---------------------- 11,240,941 ---------------------- Drug Delivery Systems (0.22%) Penwest Pharmaceuticals Co (a)(b) 97,055 1,382,063 ---------------------- E-Commerce - Products (0.74%) Nutri/System Inc (a)(b) 107,289 4,726,080 ---------------------- Educational Software (0.98%) Blackboard Inc (a)(b) 173,728 5,072,858 SkillSoft PLC ADR (b) 168,698 1,172,451 ---------------------- 6,245,309 ---------------------- Electronic Components - Miscellaneous (0.66%) Benchmark Electronics Inc (b) 155,505 3,522,188 Electronic Components - Miscellaneous Rogers Corp (b) 13,589 702,280 ---------------------- 4,224,468 ---------------------- Electronic Components - Semiconductors (2.16%) AXT Inc (b) 18,837 90,229 Diodes Inc (a)(b) 86,400 3,168,288 Fairchild Semiconductor International Inc (b) 30,500 543,205 Microsemi Corp (b) 211,353 3,846,625 Silicon Image Inc (a)(b) 112,994 1,366,097 Sirf Technology Holdings Inc (a)(b) 63,800 1,873,168 Syntax-Brillian Corp (a)(b) 281,200 2,224,292 Volterra Semiconductor Corp (a)(b) 52,760 695,377 ---------------------- 13,807,281 ---------------------- Electronic Design Automation (0.35%) Ansoft Corp (a)(b) 80,242 2,241,961 ---------------------- Electronic Measurement Instruments (0.34%) Analogic Corp 26,214 1,539,286 Measurement Specialties Inc (a)(b) 30,374 636,032 ---------------------- 2,175,318 ---------------------- Electronic Security Devices (0.51%) American Science & Engineering Inc (a)(b) 28,500 1,558,665 Taser International Inc (b) 217,391 1,684,780 ---------------------- 3,243,445 ---------------------- E-Marketing & Information (0.55%) 24/7 Real Media Inc (a)(b) 238,016 2,406,342 Digital River Inc (a)(b) 22,100 1,131,078 ---------------------- 3,537,420 ---------------------- Energy - Alternate Sources (0.26%) First Solar Inc (a)(b) 51,400 1,663,818 ---------------------- Engineering - Research & Development Services (0.62%) EMCOR Group Inc (b) 68,961 3,959,741 ---------------------- Enterprise Software & Services (1.63%) Concur Technologies Inc (a)(b) 52,475 789,749 Emageon Inc (b) 34,100 409,200 Neoware Inc (a)(b) 150,300 1,775,043 Omnicell Inc (b) 42,804 886,899 Opnet Technologies Inc (b) 211,515 2,857,567 Ultimate Software Group Inc (b) 152,358 3,714,488 ---------------------- 10,432,946 ---------------------- Entertainment Software (0.56%) THQ Inc (b) 118,792 3,599,398 ---------------------- E-Services - Consulting (1.62%) Access Integrated Technologies Inc (a)(b) 83,021 766,284 Corillian Corp (b) 276,716 924,231 GSI Commerce Inc (a)(b) 106,900 1,741,401 Perficient Inc (a)(b) 220,730 4,615,464 Saba Software Inc (a)(b) 134,938 994,493 WebSideStory Inc (a)(b) 92,831 1,328,412 ---------------------- 10,370,285 ---------------------- Fiduciary Banks (0.78%) Investors Financial Services Corp 105,925 4,954,112 ---------------------- Finance - Consumer Loans (0.16%) Portfolio Recovery Associates (a)(b) 23,050 1,001,984 ---------------------- Finance - Investment Banker & Broker (0.22%) Thomas Weisel Partners Group Inc (a)(b) 71,600 1,428,420 ---------------------- Firearms & Ammunition (0.41%) Smith & Wesson Holding Corp (a)(b) 233,148 2,587,943 ---------------------- Food - Retail (0.17%) Wild Oats Markets Inc (a)(b) 72,559 1,054,282 ---------------------- Food - Wholesale & Distribution (0.14%) United Natural Foods Inc (a)(b) 26,999 892,047 ---------------------- Footwear & Related Apparel (1.56%) CROCS Inc (b) 115,400 5,809,236 Iconix Brand Group Inc (a)(b) 209,006 4,161,309 ---------------------- 9,970,545 ---------------------- Gambling (Non-Hotel) (0.40%) Pinnacle Entertainment Inc (b) 47,900 1,653,987 Youbet.com Inc (b) 253,900 881,033 ---------------------- 2,535,020 ---------------------- Hotels & Motels (0.89%) Orient-Express Hotels Ltd 119,280 5,683,692 ---------------------- Housewares (0.33%) Lifetime Brands Inc (a) 108,854 2,138,981 ---------------------- Human Resources (2.17%) Kenexa Corp (b) 186,548 6,809,002 Korn/Ferry International (a)(b) 45,562 1,088,021 Labor Ready Inc (b) 181,621 3,410,842 On Assignment Inc (a)(b) 199,200 2,571,672 ---------------------- 13,879,537 ---------------------- Industrial Automation & Robots (0.43%) Cognex Corp 127,259 2,776,791 2,776,791 ---------------------- Industrial Gases (0.86%) Airgas Inc 132,400 5,510,488 ---------------------- Instruments - Controls (0.16%) Spectrum Control Inc (b) 87,296 1,049,298 ---------------------- Instruments - Scientific (0.19%) FEI Co (b) 47,617 1,198,044 ---------------------- Internet Application Software (0.87%) Cybersource Corp (b) 97,635 1,259,492 Interwoven Inc (a)(b) 76,159 1,195,696 Vignette Corp (a)(b) 51,185 917,235 WebEx Communications Inc (a)(b) 58,507 2,169,440 ---------------------- 5,541,863 ---------------------- Internet Connectivity Services (0.22%) Internap Network Services Corp (a)(b) 76,040 1,386,970 ---------------------- Internet Content - Entertainment (0.23%) Shanda Interactive Entertainment Ltd ADR (b) 64,235 1,438,222 ---------------------- Internet Content - Information & News (0.91%) Knot Inc/The (b) 106,336 3,208,157 LoopNet Inc (a)(b) 62,600 1,049,176 TheStreet.com Inc (a) 154,132 1,525,907 ---------------------- 5,783,240 ---------------------- Internet Incubators (0.19%) Internet Capital Group Inc (a)(b) 111,590 1,241,997 ---------------------- Internet Infrastructure Software (0.70%) Opsware Inc (a)(b) 199,663 1,597,304 TIBCO Software Inc (a)(b) 306,672 2,845,916 ---------------------- 4,443,220 ---------------------- Internet Security (0.32%) Entrust Inc (b) 251,742 969,207 Secure Computing Corp (a)(b) 165,861 1,104,634 ---------------------- 2,073,841 ---------------------- Internet Telephony (0.26%) j2 Global Communications Inc (a)(b) 63,400 1,678,832 ---------------------- Investment Management & Advisory Services (0.12%) Calamos Asset Management Inc 28,000 766,920 ---------------------- Lasers - Systems & Components (0.66%) II-VI Inc (a)(b) 140,269 4,213,681 ---------------------- Lighting Products & Systems (0.16%) Color Kinetics Inc (a)(b) 50,578 1,022,181 ---------------------- Machinery - Construction & Mining (0.29%) Bucyrus International Inc (a) 40,363 1,873,247 ---------------------- Machinery - General Industry (1.43%) DXP Enterprises Inc (a)(b) 25,424 846,619 Intevac Inc (a)(b) 34,949 772,723 Middleby Corp (a)(b) 33,821 3,780,511 Wabtec Corp 116,400 3,727,128 ---------------------- 9,126,981 ---------------------- Machinery - Material Handling (0.21%) Columbus McKinnon Corp/NY (a)(b) 57,980 1,332,380 ---------------------- Machinery - Print Trade (0.14%) Presstek Inc (a)(b) 146,469 896,390 ---------------------- Machinery Tools & Related Products (0.46%) Kennametal Inc 47,500 2,935,500 ---------------------- Medical - Biomedical/Gene (3.28%) ADVENTRX Pharmaceuticals Inc (a)(b) 435,800 1,054,636 Alexion Pharmaceuticals Inc (a)(b) 36,994 1,537,840 BioMimetic Therapeutics Inc (b) 12,500 192,500 Medical - Biomedical/Gene Charles River Laboratories International (b) 21,020 945,900 Digene Corp (a)(b) 47,942 2,466,616 Exelixis Inc (a)(b) 140,300 1,374,940 Illumina Inc (a)(b) 51,961 2,122,607 Keryx Biopharmaceuticals Inc (a)(b) 102,837 1,173,370 Lifecell Corp (a)(b) 226,215 5,408,801 Myriad Genetics Inc (a)(b) 84,500 3,020,030 Regeneron Pharmaceuticals Inc (b) 82,700 1,644,903 ---------------------- 20,942,143 ---------------------- Medical - Drugs (0.60%) Cardiome Pharma Corp (a)(b) 97,249 1,110,584 Cubist Pharmaceuticals Inc (a)(b) 57,200 1,052,480 Emergent Biosolutions Inc (a)(b) 112,600 1,699,134 ---------------------- 3,862,198 ---------------------- Medical - Hospitals (0.52%) United Surgical Partners International (b) 109,926 3,349,445 ---------------------- Medical - Outpatient & Home Medical Care (0.13%) NovaMed Inc (b) 115,002 857,915 ---------------------- Medical Imaging Systems (0.37%) Vital Images Inc (a)(b) 70,440 2,363,262 ---------------------- Medical Information Systems (1.19%) Allscripts Healthcare Solutions Inc (a)(b) 187,400 5,734,440 Eclipsys Corp (a)(b) 27,000 529,200 Phase Forward Inc (a)(b) 100,400 1,359,416 ---------------------- 7,623,056 ---------------------- Medical Instruments (2.26%) Angiodynamics Inc (b) 25,434 671,456 Arthrocare Corp (a)(b) 94,378 3,482,548 Conceptus Inc (a)(b) 42,598 987,848 DexCom Inc (a)(b) 104,151 926,944 DJO Inc (a)(b) 59,800 2,475,720 Kyphon Inc (a)(b) 36,183 1,693,002 Micrus Endovascular Corp (b) 93,229 2,214,189 Natus Medical Inc (a)(b) 74,236 1,128,387 Spectranetics Corp (a)(b) 80,600 857,584 ---------------------- 14,437,678 ---------------------- Medical Laboratory & Testing Service (0.19%) Bio-Reference Labs Inc (a)(b) 53,610 1,230,349 ---------------------- Medical Laser Systems (0.41%) Biolase Technology Inc (a)(b) 153,500 1,320,100 Cutera Inc (a)(b) 44,900 1,281,895 ---------------------- 2,601,995 ---------------------- Medical Products (2.13%) American Medical Systems Holdings Inc (a)(b) 172,607 3,434,879 Luminex Corp (a)(b) 77,273 982,140 Syneron Medical Ltd (a)(b) 37,677 926,854 ThermoGenesis Corp (a)(b) 160,079 643,518 Viasys Healthcare Inc (b) 225,279 6,629,961 Wright Medical Group Inc (a)(b) 44,402 971,960 ---------------------- 13,589,312 ---------------------- Metal Processors & Fabrication (0.37%) Ladish Co Inc (a)(b) 57,800 2,352,460 ---------------------- Networking Products (0.54%) Atheros Communications Inc (a)(b) 44,500 1,057,320 Ixia (a)(b) 256,500 2,423,925 ---------------------- 3,481,245 ---------------------- Oil - Field Services (1.82%) Core Laboratories NV (a)(b) 31,922 2,630,373 Hercules Offshore Inc (b) 16,144 426,847 Superior Energy Services (b) 55,500 1,682,760 Superior Well Services Inc (a)(b) 20,600 468,444 Tetra Technologies Inc (a)(b) 278,067 6,440,032 ---------------------- 11,648,456 ---------------------- Oil & Gas Drilling (0.55%) Atwood Oceanics Inc (a)(b) 23,992 1,160,493 Patterson-UTI Energy Inc (a) 96,847 2,338,855 ---------------------- 3,499,348 ---------------------- Oil Company - Exploration & Production (1.77%) EXCO Resources Inc (a)(b) 278,063 4,671,458 PetroHawk Energy Corp (a)(b) 316,772 3,655,549 Quicksilver Resources Inc (a)(b) 54,177 2,148,660 Toreador Resources Corp (a)(b) 31,836 853,842 ---------------------- 11,329,509 ---------------------- Oil Field Machinery & Equipment (0.25%) Dresser-Rand Group Inc (a)(b) 62,305 1,617,438 ---------------------- Patient Monitoring Equipment (0.29%) Aspect Medical Systems Inc (a)(b) 72,078 1,200,099 Somanetics Corp (a)(b) 33,106 639,608 ---------------------- 1,839,707 ---------------------- Physical Therapy & Rehabilitation Centers (1.96%) Psychiatric Solutions Inc (a)(b) 322,380 12,553,477 ---------------------- Physician Practice Management (1.35%) Pediatrix Medical Group Inc (b) 163,701 8,600,851 ---------------------- Property & Casualty Insurance (0.34%) Argonaut Group Inc (b) 33,344 1,118,358 United America Indemnity Ltd (b) 44,066 1,062,872 ---------------------- 2,181,230 ---------------------- Publicly Traded Investment Fund (0.29%) iShares Russell 2000 Index Fund (a) 23,500 1,865,195 ---------------------- REITS - Apartments (0.17%) Mid-America Apartment Communities Inc 18,300 1,100,196 ---------------------- REITS - Healthcare (0.94%) Ventas Inc 129,612 5,994,555 ---------------------- REITS - Office Property (0.33%) BioMed Realty Trust Inc 70,394 2,099,853 ---------------------- Rental - Auto & Equipment (0.65%) Aaron Rents Inc (a) 141,100 4,165,272 ---------------------- Research & Development (0.37%) Kendle International Inc (a)(b) 31,476 1,222,528 Parexel International Corp (b) 33,884 1,109,701 ---------------------- 2,332,229 ---------------------- Respiratory Products (0.36%) Resmed Inc (a)(b) 43,488 2,286,599 ---------------------- Retail - Apparel & Shoe (3.48%) Aeropostale Inc (a)(b) 68,000 2,443,920 Cache Inc. (a)(b) 73,434 1,689,716 Childrens Place Retail Stores Inc/The (a)(b) 84,269 4,568,223 Christopher & Banks Corp (a) 242,557 4,312,663 Dress Barn Inc (a)(b) 35,008 786,630 DSW Inc (a)(b) 35,680 1,430,411 Stein Mart Inc (a) 51,770 699,413 Tween Brands Inc (a)(b) 91,700 3,135,223 Wet Seal Inc/The (a)(b) 487,945 3,152,125 ---------------------- 22,218,324 ---------------------- Retail - Catalog Shopping (0.07%) Coldwater Creek Inc (a)(b) 24,003 447,656 ---------------------- Retail - Discount (0.10%) 99 Cents Only Stores (b) 41,900 622,215 ---------------------- Retail - Music Store (0.35%) Guitar Center Inc (a)(b) 48,493 2,218,555 ---------------------- Retail - Petroleum Products (0.07%) World Fuel Services Corp (a) 10,400 476,840 ---------------------- Retail - Restaurants (2.43%) Buffalo Wild Wings Inc (a)(b) 43,600 2,218,368 California Pizza Kitchen Inc (a)(b) 177,144 6,315,184 CKE Restaurants Inc 255,532 5,051,868 Texas Roadhouse Inc (a)(b) 143,388 1,941,473 ---------------------- 15,526,893 ---------------------- Retail - Sporting Goods (0.18%) Hibbett Sporting Goods Inc (b) 35,652 1,144,786 ---------------------- Rubber & Plastic Products (0.16%) PW Eagle Inc (a) 31,308 1,032,538 ---------------------- Semiconductor Component - Integrated Circuits (1.60%) Anadigics Inc (a)(b) 281,737 2,518,729 Exar Corp (b) 111,487 1,460,480 Hittite Microwave Corp (a)(b) 69,400 2,413,732 Power Integrations Inc (a)(b) 86,994 1,973,024 Standard Microsystems Corp (a)(b) 67,717 1,889,304 ---------------------- 10,255,269 ---------------------- Semiconductor Equipment (1.22%) BTU International Inc (a)(b) 55,955 620,541 LTX Corp (a)(b) 122,665 647,671 Photronics Inc (a)(b) 110,112 1,834,466 Rudolph Technologies Inc (a)(b) 158,598 2,478,887 Semitool Inc (a)(b) 80,203 901,481 Varian Semiconductor Equipment Associates Inc (b) 31,645 1,302,192 ---------------------- 7,785,238 ---------------------- Steel - Producers (0.82%) Steel Dynamics Inc 133,006 5,215,165 ---------------------- Steel - Specialty (0.70%) Allegheny Technologies Inc 32,200 3,332,378 Universal Stainless & Alloy (b) 26,470 1,171,297 ---------------------- 4,503,675 ---------------------- Storage & Warehousing (0.15%) Mobile Mini Inc (b) 35,639 947,641 ---------------------- Telecommunication Equipment (1.35%) Arris Group Inc (a)(b) 63,261 899,571 Nice Systems Ltd ADR (b) 173,417 5,490,382 Optium Corp (a)(b) 61,096 1,459,584 Sirenza Microdevices Inc (a)(b) 114,498 806,066 ---------------------- 8,655,603 ---------------------- Telecommunication Equipment - Fiber Optics (0.59%) Finisar Corp (a)(b) 609,000 1,973,160 Oplink Communications Inc (b) 96,100 1,823,978 ---------------------- 3,797,138 ---------------------- Telecommunication Services (0.62%) Eschelon Telecom Inc (b) 45,984 1,046,596 Harris Stratex Networks Inc (b) 48,266 1,060,887 NeuStar Inc (a)(b) 59,218 1,829,244 ---------------------- 3,936,727 ---------------------- Therapeutics (0.64%) BioMarin Pharmaceuticals Inc (a)(b) 93,800 1,776,572 Isis Pharmaceuticals Inc (a)(b) 132,586 1,377,569 MannKind Corp (a)(b) 15,700 259,992 Nuvelo Inc (a)(b) 87,663 305,944 Renovis Inc (b) 98,590 341,121 ---------------------- 4,061,198 ---------------------- Toys (0.44%) Marvel Entertainment Inc (a)(b) 101,800 2,842,256 ---------------------- Transactional Software (0.39%) Bottomline Technologies Inc (a)(b) 109,447 1,437,039 Synchronoss Technologies Inc (b) 68,060 1,048,124 ---------------------- 2,485,163 ---------------------- Transport - Services (1.30%) HUB Group Inc (b) 161,500 4,822,390 UTi Worldwide Inc 115,291 3,504,846 ---------------------- 8,327,236 ---------------------- Transport - Truck (1.21%) Forward Air Corp (a) 38,997 1,223,726 Landstar System Inc (a) 118,090 4,994,026 Old Dominion Freight Line (a)(b) 53,703 1,491,869 ---------------------- 7,709,621 ---------------------- Veterinary Diagnostics (1.11%) Neogen Corp (b) 43,873 999,865 VCA Antech Inc (b) 180,377 6,064,275 ---------------------- 7,064,140 ---------------------- Wireless Equipment (1.54%) Novatel Wireless Inc (a)(b) 152,686 1,723,825 SBA Communications Corp (a)(b) 97,400 2,893,754 Sierra Wireless (a)(b) 77,115 1,115,083 Wireless Equipment Viasat Inc (b) 124,700 4,111,359 ---------------------- 9,844,021 ---------------------- X-Ray Equipment (0.41%) Hologic Inc (a)(b) 46,700 2,594,185 ---------------------- TOTAL COMMON STOCKS $ 620,094,880 ---------------------- Principal Amount Value ----------- ------ ---------------------- MONEY MARKET FUNDS (29.11%) Money Center Banks (29.11%) BNY Institutional Cash Reserve Fund (c) 186,040,000 186,040,000 ---------------------- TOTAL MONEY MARKET FUNDS $ 186,040,000 ---------------------- Total Investments $ 806,134,880 Liabilities in Excess of Other Assets, Net - (26.14)% (167,077,027) ---------------------- TOTAL NET ASSETS - 100.00% $ 639,057,853 ====================== ---------------------- ======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 124,765,265 Unrealized Depreciation (27,972,102) ---------------------- Net Unrealized Appreciation (Depreciation) 96,793,163 Cost for federal income tax purposes 709,341,717 Portfolio Summary (unaudited) ---------------------------------------------------- ---------------------- Sector Percent ---------------------------------------------------- ---------------------- Financial 34.52% Consumer, Non-cyclical 26.02% Technology 17.00% Industrial 15.66% Consumer, Cyclical 14.16% Communications 11.26% Energy 4.66% Basic Materials 2.57% Funds 0.29% Liabilities in Excess of Other Assets, Net (-26.14%) ---------------------- TOTAL NET ASSETS 100.00% ======================
Schedule of Investments January 31, 2007 (unaudited) Partners SmallCap Growth Fund III Shares Held Value ----------- -------- ---------------------- COMMON STOCKS (95.91%) Aerospace & Defense (0.13%) TransDigm Group Inc (a) 11,100 $ 353,535 ---------------------- Aerospace & Defense Equipment (0.24%) Heico Corp 17,800 652,192 ---------------------- Agricultural Chemicals (0.36%) CF Industries Holdings Inc 31,910 973,255 ---------------------- Airlines (0.57%) Airtran Holdings Inc (a) 43,400 480,438 Alaska Air Group Inc (a) 24,600 1,054,110 ---------------------- 1,534,548 ---------------------- Apparel Manufacturers (2.21%) Columbia Sportswear Co 2,100 136,164 Quiksilver Inc (a)(b) 406,300 5,773,523 ---------------------- 5,909,687 ---------------------- Applications Software (3.50%) Nuance Communications Inc (a) 85,500 984,960 Quest Software Inc (a) 14,100 210,513 Red Hat Inc (a)(b) 357,900 8,135,067 ---------------------- 9,330,540 ---------------------- Audio & Video Products (1.60%) Harman International Industries Inc 45,100 4,265,107 ---------------------- Batteries & Battery Systems (0.69%) Energy Conversion Devices Inc (a)(b) 53,600 1,846,520 ---------------------- Broadcasting Services & Programming (0.40%) CKX Inc (a)(b) 83,200 1,074,112 ---------------------- Building - Heavy Construction (0.60%) Washington Group International Inc (a) 28,100 1,605,353 ---------------------- Building - Residential & Commercial (0.34%) Ryland Group Inc 9,000 505,620 Technical Olympic USA Inc 42,675 406,693 ---------------------- 912,313 ---------------------- Chemicals - Other (0.46%) US BioEnergy Corp (a) 107,700 1,234,242 ---------------------- Chemicals - Plastics (0.19%) Metabolix Inc (a) 32,300 516,154 ---------------------- Chemicals - Specialty (0.98%) Symyx Technologies (a) 134,700 2,615,874 ---------------------- Commercial Banks (2.18%) East West Bancorp Inc 65,500 2,515,200 Signature Bank/New York NY (a) 13,700 453,607 Commercial Banks SVB Financial Group (a) 41,100 1,917,315 Wintrust Financial Corp 20,400 934,116 ---------------------- 5,820,238 ---------------------- Commercial Services (0.64%) Arbitron Inc 10,700 496,159 PeopleSupport Inc (a) 28,900 689,265 WNS Holdings Ltd ADR (a) 15,100 511,286 ---------------------- 1,696,710 ---------------------- Commercial Services - Finance (0.56%) Dollar Financial Corp (a) 18,600 595,758 Morningstar Inc (a) 19,400 888,520 ---------------------- 1,484,278 ---------------------- Communications Software (0.24%) DivX Inc (a) 29,700 629,046 ---------------------- Computer Services (1.25%) Factset Research Systems Inc 13,000 755,040 IHS Inc (a) 24,800 943,888 Manhattan Associates Inc (a) 22,300 625,961 Syntel Inc 31,100 1,022,568 ---------------------- 3,347,457 ---------------------- Computer Software (0.18%) Omniture Inc (a) 31,900 484,242 ---------------------- Computers - Integrated Systems (0.51%) Jack Henry & Associates Inc 46,100 983,774 Riverbed Technology Inc (a) 12,300 376,380 ---------------------- 1,360,154 ---------------------- Computers - Memory Devices (0.17%) Western Digital Corp (a) 22,900 448,840 ---------------------- Computers - Peripheral Equipment (0.18%) Synaptics Inc (a) 17,500 473,550 ---------------------- Consulting Services (1.44%) Advisory Board Co/The (a) 7,800 439,218 Corporate Executive Board Co 10,700 970,811 Huron Consulting Group Inc (a) 30,100 1,560,685 Watson Wyatt Worldwide Inc 19,800 876,942 ---------------------- 3,847,656 ---------------------- Cosmetics & Toiletries (0.77%) Bare Escentuals Inc (a) 29,200 1,065,508 Chattem Inc (a) 17,100 982,224 ---------------------- 2,047,732 ---------------------- Decision Support Software (1.56%) Wind River Systems Inc (a) 420,000 4,166,400 ---------------------- Distribution & Wholesale (0.19%) MWI Veterinary Supply Inc (a) 15,200 497,952 ---------------------- Drug Delivery Systems (1.57%) Alkermes, Inc. (a) 240,700 3,591,244 Depomed Inc (a)(b) 169,600 600,384 ---------------------- 4,191,628 ---------------------- E-Commerce - Services (1.16%) Move Inc (a) 404,300 2,555,176 Priceline.com Inc (a) 12,400 528,488 ---------------------- 3,083,664 ---------------------- Educational Software (0.30%) INVESTools Inc (a) 55,300 801,850 ---------------------- Electric - Transmission (0.46%) ITC Holdings Corp 28,000 1,218,000 ---------------------- Electronic Components - Miscellaneous (3.20%) Daktronics Inc 11,800 407,926 Flextronics International Ltd (a) 542,200 6,305,786 Solectron Corp (a) 561,900 1,826,175 ---------------------- 8,539,887 ---------------------- Electronic Components - Semiconductors (3.11%) Cree Inc (a) 36,200 556,756 IPG Photonics Corp (a) 15,400 406,714 Lattice Semiconductor Corp (a) 590,500 3,460,330 Silicon Motion Technology Corp ADR (a) 60,600 1,116,858 Skyworks Solutions Inc (a) 419,900 2,758,743 ---------------------- 8,299,401 ---------------------- Electronic Design Automation (1.49%) Ansoft Corp (a) 18,400 514,096 Synopsys Inc (a) 130,300 3,465,980 ---------------------- 3,980,076 ---------------------- E-Marketing & Information (1.66%) aQuantive Inc (a)(b) 165,200 4,427,360 ---------------------- Energy - Alternate Sources (1.43%) First Solar Inc (a) 24,900 806,013 Headwaters Inc (a) 8,800 199,936 Sunpower Corp (a)(b) 48,600 2,152,980 VeraSun Energy Corp (a) 37,900 649,606 ---------------------- 3,808,535 ---------------------- Engineering - Research & Development Services (0.40%) Foster Wheeler Ltd (a) 20,200 1,080,094 ---------------------- Enterprise Software & Services (0.53%) Advent Software Inc (a)(b) 39,300 1,404,975 ---------------------- Entertainment Software (1.71%) THQ Inc (a) 150,950 4,573,785 ---------------------- Finance - Investment Banker & Broker (5.25%) E*Trade Financial Corp (a) 301,600 7,353,008 Greenhill & Co Inc (b) 43,100 3,229,483 Jefferies Group Inc 116,400 3,429,144 ---------------------- 14,011,635 ---------------------- Finance - Other Services (1.44%) GFI Group Inc (a) 7,800 499,044 Nasdaq Stock Market Inc/The (a) 98,100 3,343,248 ---------------------- 3,842,292 ---------------------- Footwear & Related Apparel (3.19%) CROCS Inc (a) 129,000 6,493,860 Deckers Outdoor Corp (a) 15,400 897,974 Footwear & Related Apparel Iconix Brand Group Inc (a) 38,900 774,499 Skechers U.S.A. Inc (a) 9,700 343,768 ---------------------- 8,510,101 ---------------------- Health Care Cost Containment (0.37%) Healthspring Inc (a) 50,700 997,269 ---------------------- Identification Systems - Development (0.31%) L-1 Identity Solutions Inc (a)(b) 56,820 820,481 ---------------------- Industrial Audio & Video Products (0.40%) Sonic Solutions Inc (a)(b) 58,500 1,073,475 ---------------------- Instruments - Scientific (0.49%) FEI Co (a)(b) 51,600 1,298,256 ---------------------- Internet Application Software (1.14%) DealerTrack Holdings Inc (a) 37,300 1,033,956 eResearch Technology Inc (a)(b) 208,300 1,458,100 Interwoven Inc (a) 35,600 558,920 ---------------------- 3,050,976 ---------------------- Internet Connectivity Services (0.31%) Internap Network Services Corp (a) 45,800 835,392 ---------------------- Internet Content - Information & News (1.51%) CNET Networks Inc (a)(b) 328,600 3,006,690 Knot Inc/The (a) 33,800 1,019,746 ---------------------- 4,026,436 ---------------------- Internet Infrastructure Equipment (0.49%) Avocent Corp (a) 37,600 1,298,704 ---------------------- Internet Infrastructure Software (0.36%) TIBCO Software Inc (a) 104,900 973,472 ---------------------- Internet Security (1.46%) Checkfree Corp (a)(b) 94,100 3,898,563 ---------------------- Investment Management & Advisory Services (1.57%) Affiliated Managers Group Inc (a)(b) 18,900 2,105,460 Cohen & Steers Inc 5,100 248,625 Federated Investors Inc 27,000 953,370 Nuveen Investments Inc 18,100 895,950 ---------------------- 4,203,405 ---------------------- Lasers - Systems & Components (0.99%) Cymer Inc (a) 62,500 2,639,375 ---------------------- Medical - Biomedical/Gene (2.36%) Affymetrix Inc (a)(b) 142,700 3,561,792 Alexion Pharmaceuticals Inc (a) 20,300 843,871 Geron Corp (a) 65,900 539,721 Metabasis Therapeutics Inc (a) 20,461 135,247 Omrix Biopharmaceuticals Inc (a) 35,500 1,209,840 ---------------------- 6,290,471 ---------------------- Medical - Drugs (5.07%) Cephalon Inc (a)(b) 121,500 8,797,815 Cubist Pharmaceuticals Inc (a)(b) 227,300 4,182,320 Medical - Drugs New River Pharmaceuticals Inc (a) 9,900 553,410 ---------------------- 13,533,545 ---------------------- Medical - Hospitals (0.14%) Universal Health Services Inc 6,500 376,545 ---------------------- Medical - Nursing Homes (0.08%) Kindred Healthcare Inc (a) 7,900 226,730 ---------------------- Medical - Outpatient & Home Medical Care (0.20%) Lincare Holdings Inc (a) 13,500 531,225 ---------------------- Medical Information Systems (0.49%) Allscripts Healthcare Solutions Inc (a) 26,400 807,840 Phase Forward Inc (a) 36,700 496,918 ---------------------- 1,304,758 ---------------------- Medical Instruments (0.41%) Conceptus Inc (a) 22,000 510,180 Micrus Endovascular Corp (a) 3,123 74,171 NuVasive Inc (a) 21,500 520,515 ---------------------- 1,104,866 ---------------------- Medical Laser Systems (0.37%) Palomar Medical Technologies Inc (a) 19,600 975,296 ---------------------- MRI - Medical Diagnostic Imaging (0.27%) Nighthawk Radiology Holdings Inc (a)(b) 28,500 718,485 ---------------------- Multimedia (0.74%) Martha Stewart Living Omnimedia 107,700 1,982,757 ---------------------- Networking Products (2.21%) Polycom Inc (a) 175,700 5,907,034 ---------------------- Office Furnishings - Original (2.14%) Herman Miller Inc 59,700 2,244,720 Knoll Inc 158,200 3,478,818 ---------------------- 5,723,538 ---------------------- Office Supplies & Forms (0.18%) ACCO Brands Corp (a) 19,400 468,122 ---------------------- Oil - Field Services (1.87%) Cal Dive International Inc (a) 135,300 1,673,661 Helix Energy Solutions Group Inc (a) 38,900 1,251,413 Tetra Technologies Inc (a) 89,700 2,077,452 ---------------------- 5,002,526 ---------------------- Oil & Gas Drilling (0.16%) Patterson-UTI Energy Inc 17,400 420,210 ---------------------- Oil Company - Exploration & Production (0.99%) Carrizo Oil & Gas Inc (a) 26,500 760,550 Range Resources Corp 61,400 1,884,366 ---------------------- 2,644,916 ---------------------- Oil Field Machinery & Equipment (2.00%) FMC Technologies Inc (a) 34,800 2,155,164 Oil Field Machinery & Equipment Grant Prideco Inc (a) 80,900 3,169,662 ---------------------- 5,324,826 ---------------------- Patient Monitoring Equipment (0.55%) Mindray Medical International Ltd ADR (a) 60,000 1,458,000 ---------------------- Physical Therapy & Rehabilitation Centers (0.43%) Psychiatric Solutions Inc (a) 29,200 1,137,048 ---------------------- Printing - Commercial (0.33%) VistaPrint Ltd (a) 20,300 874,727 ---------------------- Private Corrections (0.40%) Geo Group Inc/The (a) 24,400 1,069,208 ---------------------- Property & Casualty Insurance (0.35%) OneBeacon Insurance Group Ltd 35,600 921,684 ---------------------- Real Estate Operator & Developer (0.71%) Meruelo Maddux Properties Inc (a) 176,300 1,882,884 ---------------------- Recreational Centers (0.32%) Life Time Fitness Inc (a) 15,900 861,780 ---------------------- REITS - Mortgage (0.64%) CapitalSource Inc 61,668 1,713,753 ---------------------- Research & Development (0.07%) Pharmaceutical Product Development Inc 5,800 200,100 ---------------------- Retail - Apparel & Shoe (1.17%) Under Armour Inc. - Class A (a) 16,900 858,520 Urban Outfitters Inc (a)(b) 51,000 1,244,400 Wet Seal Inc/The (a)(b) 156,800 1,012,928 ---------------------- 3,115,848 ---------------------- Retail - Consumer Electronics (1.19%) Circuit City Stores Inc 155,300 3,169,673 ---------------------- Retail - Mail Order (0.24%) Williams-Sonoma Inc 18,000 630,000 ---------------------- Retail - Restaurants (1.00%) Chipotle Mexican Grill Inc (a) 17,400 1,033,908 Panera Bread Co (a)(b) 16,800 990,528 PF Chang's China Bistro Inc (a)(b) 16,600 657,526 ---------------------- 2,681,962 ---------------------- Retail - Sporting Goods (0.26%) Zumiez Inc (a) 21,000 690,900 ---------------------- Schools (0.24%) Strayer Education Inc 5,700 648,489 ---------------------- Semiconductor Equipment (1.82%) Brooks Automation Inc (a) 309,600 4,309,632 Novellus Systems Inc (a) 7,100 218,893 Semiconductor Equipment Teradyne Inc (a)(b) 21,200 315,880 ---------------------- 4,844,405 ---------------------- Telecommunication Equipment (1.04%) Avaya Inc (a) 139,800 1,793,634 Nice Systems Ltd ADR (a) 31,200 987,792 ---------------------- 2,781,426 ---------------------- Telecommunication Services (0.32%) SAVVIS Inc (a) 18,900 847,098 ---------------------- Therapeutics (2.82%) BioMarin Pharmaceuticals Inc (a) 41,500 786,010 Dendreon Corp (a)(b) 93,400 400,686 Medarex Inc (a) 447,400 6,026,478 Vanda Pharmaceuticals Inc (a) 10,740 320,804 ---------------------- 7,533,978 ---------------------- Transactional Software (0.16%) Innerworkings Inc (a) 33,500 430,475 ---------------------- Transport - Truck (0.17%) Landstar System Inc 10,500 444,045 ---------------------- Web Hosting & Design (0.21%) Equinix Inc (a) 6,700 563,269 ---------------------- Wireless Equipment (3.00%) RF Micro Devices Inc (a) 731,800 5,649,496 SBA Communications Corp (a) 79,300 2,356,003 ---------------------- 8,005,499 ---------------------- X-Ray Equipment (0.35%) Hologic Inc (a) 16,900 938,795 ---------------------- TOTAL COMMON STOCKS $ 255,997,670 ---------------------- Principal Amount Value ----------- -------- ---------------------- SHORT TERM INVESTMENTS (3.54%) Commercial Paper (3.54%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (a) 9,432,068 9,432,068 ---------------------- TOTAL SHORT TERM INVESTMENTS $ 9,432,068 ---------------------- MONEY MARKET FUNDS (8.81%) Money Center Banks (8.81%) BNY Institutional Cash Reserve Fund (c) 23,511,000 23,511,000 ---------------------- TOTAL MONEY MARKET FUNDS $ 23,511,000 ---------------------- Total Investments $ 288,940,738 Liabilities in Excess of Other Assets, Net - (8.26)% (22,036,395) ---------------------- TOTAL NET ASSETS - 100.00% $ 266,904,343 ====================== ---------------------- ======================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 26,291,090 Unrealized Depreciation (10,504,132) ---------------------- Net Unrealized Appreciation (Depreciation) 15,786,958 Cost for federal income tax purposes 273,153,780 Portfolio Summary (unaudited) -------------------------------------------- ---------------------- Sector Percent -------------------------------------------- ---------------------- Financial 20.95% Consumer, Non-cyclical 19.61% Technology 17.19% Communications 16.02% Consumer, Cyclical 14.43% Industrial 7.63% Energy 6.44% Mortgage Securities 3.53% Basic Materials 2.00% Utilities 0.46% Liabilities in Excess of Other Assets, Net (-8.26%) ---------------------- TOTAL NET ASSETS 100.00% ======================
Schedule of Investments January 31, 2007 (unaudited) Partners SmallCap Value Fund Shares Held Value ----------- --------- ---------------------- COMMON STOCKS (98.94%) Aerospace & Defense (0.39%) Esterline Technologies Corp (a) 27,448 $ 1,097,097 ---------------------- Aerospace & Defense Equipment (1.38%) Curtiss-Wright Corp 2,500 95,450 DRS Technologies Inc (b) 55,163 3,056,030 Kaman Corp 18,903 430,799 Moog Inc (a) 3,919 152,802 Triumph Group Inc (b) 1,893 106,387 ---------------------- 3,841,468 ---------------------- Airlines (0.51%) Airtran Holdings Inc (a)(b) 31,775 351,749 Alaska Air Group Inc (a) 23,455 1,005,047 Republic Airways Holdings Inc (a) 3,300 63,096 ---------------------- 1,419,892 ---------------------- Apparel Manufacturers (0.53%) Kellwood Co (b) 27,608 905,542 Phillips-Van Heusen 10,440 575,766 ---------------------- 1,481,308 ---------------------- Applications Software (0.00%) PDF Solutions Inc (a)(b) 800 8,888 ---------------------- Auction House & Art Dealer (0.47%) Adesa Inc 44,700 1,297,194 ---------------------- Audio & Video Products (0.00%) Audiovox Corp (a) 142 2,190 ---------------------- Auto/Truck Parts & Equipment - Original (0.71%) American Axle & Manufacturing Holdings (b) 8,389 174,323 ArvinMeritor Inc (b) 11,563 222,588 BorgWarner Inc 5,822 399,040 Lear Corp (b) 4,349 147,257 Tenneco Inc (a) 21,891 508,966 Titan International Inc (b) 23,176 537,451 ---------------------- 1,989,625 ---------------------- Batteries & Battery Systems (0.96%) Greatbatch Inc (a)(b) 91,475 2,688,450 ---------------------- Building - Heavy Construction (0.42%) Perini Corp (a)(b) 1,460 44,121 Washington Group International Inc (a)(b) 19,569 1,117,977 ---------------------- 1,162,098 ---------------------- Building - Mobile Home & Manufactured Housing (0.01%) Williams Scotsman International Inc (a) 1,544 31,220 ---------------------- Building - Residential & Commercial (1.09%) Beazer Homes USA Inc (b) 30,183 1,313,262 Levitt Corp 3,072 43,500 Building - Residential & Commercial Ryland Group Inc (b) 30,183 1,695,681 ---------------------- 3,052,443 ---------------------- Building & Construction - Miscellaneous (1.23%) Dycom Industries Inc (a) 151,957 3,438,787 ---------------------- Building Products - Cement & Aggregate (0.20%) Texas Industries Inc 7,443 546,465 ---------------------- Building Products - Light Fixtures (0.11%) Genlyte Group Inc (a) 4,000 303,080 ---------------------- Cellular Telecommunications (0.02%) Centennial Communications Corp (a) 8,045 61,705 ---------------------- Chemicals - Diversified (0.22%) FMC Corp 7,000 544,950 Rockwood Holdings Inc (a)(b) 2,661 70,517 ---------------------- 615,467 ---------------------- Chemicals - Plastics (0.09%) Schulman A Inc 6,600 137,808 Spartech Corp 3,683 103,198 ---------------------- 241,006 ---------------------- Chemicals - Specialty (1.99%) Arch Chemicals Inc 9,720 327,856 Cytec Industries Inc 61,407 3,575,116 Ferro Corp 988 21,054 HB Fuller Co 22,804 589,939 Minerals Technologies Inc 3,197 185,650 NewMarket Corp (b) 15,132 842,852 ---------------------- 5,542,467 ---------------------- Coal (0.00%) Alpha Natural Resources Inc (a) 200 2,696 ---------------------- Collectibles (0.96%) RC2 Corp (a) 67,569 2,669,651 Topps Co Inc/The (b) 1,400 13,776 ---------------------- 2,683,427 ---------------------- Commercial Banks (4.18%) Alabama National Bancorporation (b) 4,100 288,312 Bancfirst Corp 6,400 311,488 Bancorpsouth Inc 1,136 28,775 Bank Mutual Corp 14,100 166,380 Capitol Bancorp Ltd (b) 2,900 124,410 Cathay General Bancorp 2,500 86,650 Chittenden Corp 3,325 101,279 Citizens Banking Corp 11,772 288,532 Community Bank System Inc (b) 900 20,394 Community Banks Inc (b) 430 10,926 CVB Financial Corp (b) 511 6,388 East West Bancorp Inc 2,200 84,480 First Bancorp/Puerto Rico 26,900 287,292 First Financial Bancorp (b) 1,549 25,450 First Financial Corp/IN (b) 350 11,547 First Merchants Corp (b) 3,400 88,026 First Midwest Bancorp Inc/IL 8,800 330,352 First Republic Bank/San Francisco CA (b) 12,650 679,558 Commercial Banks FNB Corp/PA (b) 6,868 120,808 Greater Bay Bancorp 5,700 159,258 Hancock Holding Co (b) 4,700 220,853 Irwin Financial Corp 9,774 213,366 MB Financial Inc 3,900 143,988 MBT Financial Corp 32 454 Old National Bancorp/IN (b) 2,567 48,106 Old Second Bancorp Inc (b) 5,883 170,195 Peoples Bancorp Inc/OH 360 10,444 Prosperity Bancshares Inc (b) 13,700 479,500 Provident Bankshares Corp 7,942 281,464 R-G Financial Corp (b) 8,247 62,017 S&T Bancorp Inc 9,400 325,804 Santander BanCorp 2,100 38,850 Sterling Financial Corp/WA 3,250 107,802 Sun Bancorp Inc/NJ (a)(b) 1,743 34,180 Susquehanna Bancshares Inc 1,100 27,764 SVB Financial Group (a)(b) 17,329 808,398 Texas Capital Bancshares Inc (a) 35,700 694,722 Trustmark Corp (b) 13,780 405,959 UCBH Holdings Inc (b) 186,304 3,493,200 Umpqua Holdings Corp 5,200 147,940 United Bankshares Inc 2,500 91,300 United Community Banks Inc/GA 2,155 70,382 W Holding Co Inc 25,572 134,509 Wintrust Financial Corp 9,535 436,608 ---------------------- 11,668,110 ---------------------- Commercial Services (1.13%) PHH Corp (a)(b) 3,882 113,587 Quanta Services Inc (a)(b) 123,856 2,547,718 Source Interlink Cos Inc (a)(b) 1,200 8,820 TeleTech Holdings Inc (a) 18,028 485,855 ---------------------- 3,155,980 ---------------------- Commercial Services - Finance (0.04%) Rewards Network Inc (a)(b) 10,481 68,231 TNS Inc (a) 2,500 42,825 ---------------------- 111,056 ---------------------- Communications Software (0.00%) Avid Technology Inc (a)(b) 100 3,700 ---------------------- Computer Services (0.12%) Ciber Inc (a) 35,202 242,190 Perot Systems Corp (a) 6,300 102,942 ---------------------- 345,132 ---------------------- Computers - Integrated Systems (0.22%) Agilysys Inc 33,023 625,786 ---------------------- Computers - Peripheral Equipment (1.60%) Electronics for Imaging (a) 193,235 4,454,067 ---------------------- Consulting Services (2.52%) FTI Consulting Inc (a)(b) 127,337 3,490,307 Navigant Consulting Inc (a)(b) 170,692 3,546,980 ---------------------- 7,037,287 ---------------------- Consumer Products - Miscellaneous (0.05%) Blyth Inc (b) 4,331 90,041 Consumer Products - Miscellaneous Playtex Products Inc (a) 4,100 57,728 ---------------------- 147,769 ---------------------- Containers - Metal & Glass (0.76%) Owens-Illinois Inc (a) 93,724 2,086,296 Silgan Holdings Inc 562 26,319 ---------------------- 2,112,615 ---------------------- Cosmetics & Toiletries (0.03%) Elizabeth Arden Inc (a) 2,204 41,656 Parlux Fragrances Inc (a)(b) 6,400 37,184 ---------------------- 78,840 ---------------------- Data Processing & Management (0.54%) Acxiom Corp 66,611 1,512,070 ---------------------- Diagnostic Kits (0.33%) Inverness Medical Innovations Inc (a)(b) 22,111 911,415 ---------------------- Direct Marketing (0.06%) Valuevision Media Inc (a)(b) 13,231 162,212 ---------------------- Distribution & Wholesale (2.13%) Bell Microproducts Inc (a)(b) 12,798 92,402 Owens & Minor Inc (b) 79,467 2,658,171 Scansource Inc (a)(b) 94,307 2,766,967 United Stationers Inc (a) 8,400 428,064 ---------------------- 5,945,604 ---------------------- Diversified Manufacturing Operations (1.61%) Actuant Corp 10,877 541,566 AO Smith Corp 19,416 744,604 EnPro Industries Inc (a)(b) 12,995 429,485 Federal Signal Corp 1,134 18,620 Griffon Corp (a)(b) 15,700 404,432 Koppers Holdings Inc 927 23,555 Pentair Inc 66,611 2,075,599 Tredegar Corp (b) 11,185 256,919 ---------------------- 4,494,780 ---------------------- Diversified Operations (0.11%) Resource America Inc 11,400 306,090 ---------------------- E-Commerce - Products (0.18%) Overstock.com Inc (a)(b) 34,349 505,617 ---------------------- Electric - Integrated (3.59%) Allete Inc 43,685 2,100,812 Black Hills Corp (b) 24,602 911,996 CMS Energy Corp 24,164 403,297 El Paso Electric Co (a) 23,023 559,459 Idacorp Inc 29,478 1,089,212 NorthWestern Corp 7,400 265,364 PNM Resources Inc 116,593 3,553,755 Sierra Pacific Resources (a) 43,403 738,719 UIL Holdings Corp (b) 9,178 356,198 Unisource Energy Corp (b) 1,240 46,525 ---------------------- 10,025,337 ---------------------- Electronic Components - Miscellaneous (0.95%) Benchmark Electronics Inc (a)(b) 100,707 2,281,014 CTS Corp (b) 16,542 256,401 Electronic Components - Miscellaneous OSI Systems Inc (a)(b) 5,087 121,986 ---------------------- 2,659,401 ---------------------- Electronic Components - Semiconductors (0.43%) Bookham Inc (a)(b) 7,968 23,107 Kopin Corp (a)(b) 9,702 37,450 Mindspeed Technologies Inc (a)(b) 7,277 14,335 Monolithic Power Systems Inc (a)(b) 20,612 253,734 Skyworks Solutions Inc (a) 3,176 20,866 Supertex Inc (a)(b) 1,100 41,074 Zoran Corp (a)(b) 57,377 801,557 ---------------------- 1,192,123 ---------------------- Electronics - Military (0.01%) EDO Corp (b) 1,100 25,542 ---------------------- Energy - Alternate Sources (0.05%) FuelCell Energy Inc (a)(b) 20,700 136,827 ---------------------- Engineering - Research & Development Services (1.01%) EMCOR Group Inc (a) 574 32,959 Shaw Group Inc/The (a)(b) 68,693 2,319,076 URS Corp (a) 10,600 455,482 ---------------------- 2,807,517 ---------------------- Enterprise Software & Services (1.02%) Hyperion Solutions Corp (a) 64,530 2,724,457 Mantech International Corp (a) 3,400 116,008 ---------------------- 2,840,465 ---------------------- Environmental Consulting & Engineering (0.99%) Tetra Tech Inc (a)(b) 153,258 2,755,579 ---------------------- E-Services - Consulting (0.32%) Digital Insight Corp (a) 16,925 658,213 WebSideStory Inc (a)(b) 15,700 224,667 ---------------------- 882,880 ---------------------- Finance - Consumer Loans (0.16%) Ocwen Financial Corp (a)(b) 1,922 27,062 World Acceptance Corp (a)(b) 9,223 405,904 ---------------------- 432,966 ---------------------- Finance - Credit Card (0.14%) CompuCredit Corp (a)(b) 11,336 401,181 ---------------------- Finance - Investment Banker & Broker (0.57%) Friedman Billings Ramsey Group Inc (b) 58,899 462,946 Investment Technology Group Inc (a) 18,420 803,112 Piper Jaffray Cos (a) 4,541 313,057 ---------------------- 1,579,115 ---------------------- Finance - Leasing Company (0.61%) Financial Federal Corp (b) 59,326 1,696,724 ---------------------- Finance - Mortgage Loan/Banker (1.33%) CharterMac 544 11,489 Federal Agricultural Mortgage Corp 460 12,774 IndyMac Bancorp Inc 94,713 3,683,389 ---------------------- 3,707,652 ---------------------- Finance - Other Services (0.18%) Asset Acceptance Capital Corp (a) 16,300 251,509 Finance - Other Services Nasdaq Stock Market Inc/The (a)(b) 7,490 255,259 ---------------------- 506,768 ---------------------- Financial Guarantee Insurance (0.13%) Triad Guaranty Inc (a)(b) 7,260 373,890 ---------------------- Food - Miscellaneous/Diversified (1.89%) Chiquita Brands International Inc (b) 33,993 539,469 Corn Products International Inc 25,053 858,065 Ralcorp Holdings Inc (a)(b) 70,079 3,878,172 ---------------------- 5,275,706 ---------------------- Food - Retail (0.04%) Ruddick Corp 3,500 97,300 ---------------------- Food - Wholesale & Distribution (0.10%) Nash Finch Co (b) 3,240 93,571 Spartan Stores Inc 8,150 192,829 ---------------------- 286,400 ---------------------- Footwear & Related Apparel (1.94%) Wolverine World Wide Inc (b) 175,896 5,412,320 ---------------------- Funeral Services & Related Items (0.03%) Stewart Enterprises Inc (b) 11,500 81,765 ---------------------- Gas - Distribution (1.26%) Energen Corp 3,628 167,904 New Jersey Resources Corp (b) 4,329 201,731 Northwest Natural Gas Co 2,555 103,963 Peoples Energy Corp (b) 23,722 1,033,093 South Jersey Industries Inc (b) 3,760 124,231 Southwest Gas Corp 2,448 96,084 WGL Holdings Inc (b) 56,203 1,777,701 ---------------------- 3,504,707 ---------------------- Golf (0.82%) Callaway Golf Co (b) 138,708 2,291,456 ---------------------- Hazardous Waste Disposal (0.04%) Clean Harbors Inc (a)(b) 1,854 99,449 ---------------------- Home Furnishings (0.06%) Furniture Brands International Inc (b) 10,826 180,469 ---------------------- Human Resources (0.39%) Hudson Highland Group Inc (a)(b) 14,327 226,223 Kelly Services Inc (b) 20,830 645,938 Kforce Inc (a) 8,983 128,098 Spherion Corp (a) 9,201 75,724 ---------------------- 1,075,983 ---------------------- Identification Systems - Development (0.03%) Checkpoint Systems Inc (a)(b) 2,231 41,920 Cogent Inc (a)(b) 5,000 52,750 ---------------------- 94,670 ---------------------- Instruments - Controls (0.05%) Photon Dynamics Inc (a) 12,400 139,996 ---------------------- Instruments - Scientific (0.29%) Varian Inc (a) 14,925 798,637 ---------------------- Insurance Brokers (0.90%) Hilb Rogal & Hobbs Co (b) 57,244 2,418,559 USI Holdings Corp (a) 5,393 89,146 ---------------------- 2,507,705 ---------------------- Internet Application Software (0.09%) Art Technology Group Inc (a) 37,500 96,375 eResearch Technology Inc (a) 437 3,059 Lionbridge Technologies (a)(b) 22,000 142,340 ---------------------- 241,774 ---------------------- Internet Content - Information & News (0.01%) ProQuest Co (a)(b) 2,600 28,860 ---------------------- Internet Financial Services (0.02%) Netbank Inc 15,600 58,812 ---------------------- Internet Incubators (0.07%) CMGI Inc (a) 149,500 189,865 ---------------------- Internet Infrastructure Equipment (1.53%) Avocent Corp (a) 123,856 4,277,986 ---------------------- Internet Security (0.04%) Vasco Data Security International (a)(b) 7,347 108,001 ---------------------- Internet Telephony (0.05%) j2 Global Communications Inc (a)(b) 5,300 140,344 ---------------------- Intimate Apparel (0.23%) Warnaco Group Inc/The (a) 23,052 652,141 ---------------------- Investment Companies (0.03%) Harris & Harris Group Inc (a)(b) 8,084 89,409 ---------------------- Investment Management & Advisory Services (0.38%) Affiliated Managers Group Inc (a)(b) 2,200 245,080 GAMCO Investors Inc (b) 10,868 422,004 National Financial Partners Corp (b) 7,850 385,435 ---------------------- 1,052,519 ---------------------- Lasers - Systems & Components (0.01%) Ionatron Inc (a)(b) 6,732 34,737 ---------------------- Life & Health Insurance (1.36%) American Equity Investment Life Holding Co (b) 69 884 Delphi Financial Group 15,650 617,236 Phoenix Cos Inc/The 76,057 1,143,137 Stancorp Financial Group Inc 37,469 1,792,891 Universal American Financial Corp (a) 13,000 245,050 ---------------------- 3,799,198 ---------------------- Machinery - Electrical (0.72%) Regal-Beloit Corp 40,079 2,016,775 ---------------------- Machinery - Farm (0.39%) AGCO Corp (a)(b) 28,176 957,139 Machinery - Farm Gehl Co (a)(b) 4,778 127,811 ---------------------- 1,084,950 ---------------------- Machinery - General Industry (0.22%) Albany International Corp (b) 2,900 98,426 Gardner Denver Inc (a) 9,685 373,357 Wabtec Corp 4,000 128,080 ---------------------- 599,863 ---------------------- Machinery - Material Handling (0.28%) Cascade Corp 14,522 780,122 ---------------------- Machinery - Print Trade (0.00%) Presstek Inc (a)(b) 100 612 ---------------------- Medical - Drugs (1.10%) Sciele Pharma Inc (a)(b) 129,060 3,065,175 ---------------------- Medical - Hospitals (2.19%) LifePoint Hospitals Inc (a)(b) 119,609 4,064,314 Triad Hospitals Inc (a) 47,877 2,034,772 ---------------------- 6,099,086 ---------------------- Medical - Nursing Homes (0.14%) Genesis HealthCare Corp (a)(b) 1,250 76,525 Kindred Healthcare Inc (a)(b) 10,800 309,960 ---------------------- 386,485 ---------------------- Medical - Outpatient & Home Medical Care (0.97%) Amsurg Corp (a)(b) 108,243 2,381,346 Res-Care Inc (a) 18,814 326,799 ---------------------- 2,708,145 ---------------------- Medical Imaging Systems (0.03%) IRIS International Inc (a)(b) 7,243 83,584 ---------------------- Medical Laboratory & Testing Service (0.29%) Covance Inc (a)(b) 12,894 794,915 ---------------------- Medical Products (0.45%) Mentor Corp (b) 24,438 1,246,094 ---------------------- Metal Products - Distribution (0.02%) AM Castle & Co 2,284 57,100 ---------------------- Motion Pictures & Services (1.51%) Macrovision Corp (a)(b) 170,692 4,221,213 ---------------------- Multi-Line Insurance (2.00%) HCC Insurance Holdings Inc (b) 143,631 4,481,287 Horace Mann Educators Corp 8,200 162,606 United Fire & Casualty Co (b) 27,746 939,202 ---------------------- 5,583,095 ---------------------- Networking Products (1.99%) Aeroflex Inc (a) 19,880 237,765 Anixter International Inc (a)(b) 88,788 4,907,313 Black Box Corp 4,694 192,829 SafeNet Inc (a)(b) 8,800 220,088 ---------------------- 5,557,995 ---------------------- Non-Ferrous Metals (0.18%) USEC Inc (b) 37,827 512,934 ---------------------- Non-Hazardous Waste Disposal (0.06%) Casella Waste Systems Inc (a)(b) 4,588 57,350 Waste Connections Inc (a)(b) 2,300 100,211 ---------------------- 157,561 ---------------------- Office Automation & Equipment (0.36%) IKON Office Solutions Inc 68,292 1,017,551 ---------------------- Office Supplies & Forms (0.04%) ACCO Brands Corp (a)(b) 4,800 115,824 ---------------------- Oil - Field Services (2.17%) Oil States International Inc (a)(b) 105,027 3,026,878 SEACOR Holdings Inc (a)(b) 25,500 2,581,365 Trico Marine Services Inc (a) 1,100 35,783 Universal Compression Holdings Inc (a) 6,766 408,937 ---------------------- 6,052,963 ---------------------- Oil & Gas Drilling (1.80%) Bronco Drilling Co Inc (a)(b) 810 12,855 Helmerich & Payne Inc 96,795 2,597,010 Pioneer Drilling Co (a)(b) 188,614 2,389,739 Todco (a)(b) 400 13,852 ---------------------- 5,013,456 ---------------------- Oil Company - Exploration & Production (0.30%) ATP Oil & Gas Corp (a)(b) 700 29,106 Callon Petroleum Co (a) 92 1,277 Denbury Resources Inc (a) 6,000 166,200 Edge Petroleum Corp (a)(b) 200 2,962 Forest Oil Corp (a)(b) 1,223 39,038 RAM Energy Resources Inc (a) 375 1,706 Range Resources Corp (b) 19,374 594,588 ---------------------- 834,877 ---------------------- Oil Company - Integrated (0.02%) Delek US Holdings Inc 300 5,106 Occidental Petroleum Corp 1,354 62,771 ---------------------- 67,877 ---------------------- Paper & Related Products (0.27%) Bowater Inc (b) 7,739 211,816 Caraustar Industries Inc (a)(b) 22,929 182,515 Glatfelter (b) 2,722 44,069 Wausau Paper Corp 22,015 313,494 ---------------------- 751,894 ---------------------- Poultry (0.16%) Pilgrim's Pride Corp (b) 13,719 434,481 ---------------------- Power Converter & Supply Equipment (0.05%) Capstone Turbine Corp (a)(b) 140,336 129,109 ---------------------- Printing - Commercial (0.55%) Bowne & Co Inc 10,118 152,175 Valassis Communications Inc (a)(b) 90,550 1,391,753 ---------------------- 1,543,928 ---------------------- Private Corrections (0.32%) Corrections Corp of America (a) 18,397 896,302 ---------------------- Property & Casualty Insurance (2.83%) Argonaut Group Inc (a) 2,650 88,881 First American Corp (b) 44,700 1,894,386 LandAmerica Financial Group Inc (b) 6,888 434,357 Ohio Casualty Corp 10,393 307,009 Philadelphia Consolidated Holding Co (a) 6,700 301,902 PMA Capital Corp (a) 22,329 209,000 ProAssurance Corp (a) 800 40,632 RLI Corp 32,265 1,785,545 Selective Insurance Group (b) 39,388 2,026,513 Stewart Information Services Corp (b) 1,800 75,672 Tower Group Inc 5,996 201,466 Zenith National Insurance Corp 11,272 515,130 ---------------------- 7,880,493 ---------------------- Publishing - Books (0.27%) Scholastic Corp (a) 21,020 743,057 ---------------------- Quarrying (0.00%) (none) 323 10,023 ---------------------- Radio (0.06%) Cox Radio Inc (a) 11,550 180,873 ---------------------- Real Estate Magagement & Services (0.34%) Jones Lang LaSalle Inc 9,180 959,310 ---------------------- Real Estate Operator & Developer (0.09%) Affordable Residential Communities LP (a)(b) 22,276 244,145 ---------------------- Recycling (0.14%) Metal Management Inc (b) 9,767 400,838 ---------------------- Regional Banks (0.07%) National City Corp 5,470 207,040 ---------------------- REITS - Diversified (0.15%) Entertainment Properties Trust 2,800 181,608 PS Business Parks Inc 3,100 233,151 ---------------------- 414,759 ---------------------- REITS - Healthcare (0.56%) Omega Healthcare Investors Inc 23,400 424,242 Senior Housing Properties Trust 30,037 780,361 Universal Health Realty Income Trust 8,882 359,188 ---------------------- 1,563,791 ---------------------- REITS - Hotels (0.52%) Ashford Hospitality Trust Inc 23,700 291,747 FelCor Lodging Trust Inc (b) 47,696 1,052,651 Innkeepers USA Trust 2,700 44,253 LaSalle Hotel Properties 1,290 61,417 ---------------------- 1,450,068 ---------------------- REITS - Manufactured Homes (0.16%) Equity Lifestyle Properties Inc 6,214 343,199 REITS - Manufactured Homes Sun Communities Inc (b) 3,548 112,153 ---------------------- 455,352 ---------------------- REITS - Mortgage (0.34%) American Home Mortgage Investment Corp 40 1,398 Anthracite Capital Inc 16,090 219,950 Anworth Mortgage Asset Corp (b) 53,594 491,993 Luminent Mortgage Capital Inc (b) 7,900 73,154 Redwood Trust Inc (b) 2,600 165,256 ---------------------- 951,751 ---------------------- REITS - Office Property (0.09%) Alexandria Real Estate Equities Inc (b) 1,311 142,060 Brandywine Realty Trust (b) 935 32,594 Highwoods Properties Inc 1,800 78,660 Republic Property Trust 300 3,435 ---------------------- 256,749 ---------------------- REITS - Regional Malls (0.12%) Pennsylvania Real Estate Investment Trust (b) 8,100 345,870 ---------------------- REITS - Shopping Centers (0.04%) Equity One Inc (b) 600 16,644 Tanger Factory Outlet Centers Inc 2,300 93,380 ---------------------- 110,024 ---------------------- REITS - Single Tenant (0.02%) Realty Income Corp 1,977 56,898 ---------------------- REITS - Storage (0.04%) Sovran Self Storage Inc (b) 1,840 110,400 ---------------------- REITS - Warehouse & Industrial (0.45%) EastGroup Properties Inc (b) 1,190 65,141 First Industrial Realty Trust Inc (b) 25,092 1,185,848 ---------------------- 1,250,989 ---------------------- Rental - Auto & Equipment (1.58%) Dollar Thrifty Automotive Group (a)(b) 7,100 334,623 United Rentals Inc (a)(b) 158,202 4,073,701 ---------------------- 4,408,324 ---------------------- Research & Development (0.05%) PharmaNet Development Group Inc (a)(b) 6,450 128,032 ---------------------- Resorts & Theme Parks (0.12%) Bluegreen Corp (a)(b) 26,222 342,984 ---------------------- Retail - Apparel & Shoe (1.42%) Brown Shoe Co Inc 921 50,056 Genesco Inc (a)(b) 5,988 235,867 New York & Co Inc (a)(b) 18,348 268,064 Pacific Sunwear Of California (a)(b) 160,284 3,141,567 Stage Stores Inc 7,954 255,244 ---------------------- 3,950,798 ---------------------- Retail - Auto Parts (0.23%) CSK Auto Corp (a)(b) 39,054 647,125 ---------------------- Retail - Automobile (0.57%) Group 1 Automotive Inc 9,500 503,500 Lithia Motors Inc 11,410 327,923 Retail - Automobile United Auto Group Inc (b) 32,176 771,259 ---------------------- 1,602,682 ---------------------- Retail - Computer Equipment (0.31%) Insight Enterprises Inc (a) 42,533 864,696 ---------------------- Retail - Convenience Store (0.05%) Casey's General Stores Inc 4,964 126,681 ---------------------- Retail - Discount (0.36%) Big Lots Inc (a)(b) 38,801 1,006,110 ---------------------- Retail - Drug Store (0.05%) Longs Drug Stores Corp (b) 3,488 149,984 ---------------------- Retail - Hair Salons (0.30%) Regis Corp 19,952 833,794 ---------------------- Retail - Home Furnishings (0.33%) Cost Plus Inc (a)(b) 18,400 189,520 Pier 1 Imports Inc (b) 106,162 718,717 ---------------------- 908,237 ---------------------- Retail - Hypermarkets (0.08%) Smart & Final Inc (a) 12,472 231,231 ---------------------- Retail - Jewelry (0.92%) Zale Corp (a)(b) 92,977 2,558,727 ---------------------- Retail - Pawn Shops (0.15%) First Cash Financial Services Inc (a)(b) 17,326 406,814 ---------------------- Retail - Petroleum Products (0.01%) World Fuel Services Corp (b) 300 13,755 ---------------------- Retail - Regional Department Store (0.32%) Bon-Ton Stores Inc/The (b) 22,328 814,972 Retail Ventures Inc (a)(b) 3,900 77,025 ---------------------- 891,997 ---------------------- Retail - Restaurants (2.40%) CEC Entertainment Inc (a) 75,718 3,202,114 Domino's Pizza Inc 500 14,285 Landry's Restaurants Inc 810 24,260 O'Charleys Inc (a)(b) 68,352 1,451,796 Rare Hospitality International Inc (a)(b) 63,489 2,002,443 ---------------------- 6,694,898 ---------------------- Retail - Sporting Goods (0.01%) Big 5 Sporting Goods Corp 1,001 24,314 ---------------------- Retail - Video Rental (0.00%) Blockbuster Inc (a)(b) 100 649 ---------------------- Rubber & Plastic Products (0.04%) Myers Industries Inc 6,660 114,685 ---------------------- Savings & Loans - Thrifts (5.16%) Astoria Financial Corp 86,387 2,556,192 Savings & Loans - Thrifts BankAtlantic Bancorp Inc 2,915 38,711 Bankunited Financial Corp (b) 97,805 2,698,440 First Niagara Financial Group Inc 184,800 2,677,752 Flagstar Bancorp Inc (b) 176,879 2,566,514 MAF Bancorp Inc (b) 6,000 269,640 NewAlliance Bancshares Inc 16,100 257,600 PFF Bancorp Inc (b) 11,200 379,344 Provident Financial Services Inc (b) 22,311 406,060 Provident New York Bancorp 12,390 180,522 Washington Federal Inc 101,301 2,349,170 Washington Mutual Inc - Warrants (a) 3,800 551 ---------------------- 14,380,496 ---------------------- Semiconductor Component - Integrated Circuits (0.06%) Exar Corp (a) 4,552 59,631 Genesis Microchip Inc (a)(b) 5,173 40,919 Pericom Semiconductor Corp (a)(b) 2,400 23,928 Standard Microsystems Corp (a)(b) 1,100 30,690 ---------------------- 155,168 ---------------------- Semiconductor Equipment (2.39%) Credence Systems Corp (a)(b) 27,368 133,282 Entegris Inc (a) 22,886 245,567 MKS Instruments Inc (a)(b) 129,226 2,826,173 Photronics Inc (a) 166,024 2,765,960 Tessera Technologies Inc (a)(b) 1,700 65,008 Veeco Instruments Inc (a)(b) 33,319 639,391 ---------------------- 6,675,381 ---------------------- Steel - Producers (0.15%) AK Steel Holding Corp (a)(b) 5,565 117,088 Schnitzer Steel Industries Inc 1,850 71,225 Wheeling-Pittsburgh Corp (a)(b) 9,192 225,296 ---------------------- 413,609 ---------------------- Sugar (0.05%) Imperial Sugar Co (b) 4,330 134,879 ---------------------- Telecommunication Equipment (1.11%) Adtran Inc 123,856 2,744,649 CommScope Inc (a)(b) 400 12,924 Plantronics Inc 1,500 29,550 Utstarcom Inc (a)(b) 34,435 304,061 ---------------------- 3,091,184 ---------------------- Telecommunication Services (0.23%) Consolidated Communications Holdings Inc 6,075 133,953 FiberTower Corp (a) 10,560 55,229 Iowa Telecommunications Services Inc (b) 18,398 369,800 Lightbridge Inc (a)(b) 1,800 28,890 Vonage Holdings Corp (a)(b) 8,300 47,144 ---------------------- 635,016 ---------------------- Telephone - Integrated (0.17%) Alaska Communications Systems Group Inc (b) 13,814 223,234 Cincinnati Bell Inc (a) 42,290 205,530 CT Communications Inc 1,200 29,316 Windstream Corp 200 2,976 ---------------------- 461,056 ---------------------- Television (0.11%) Lin TV Corp (a) 28,298 310,995 ---------------------- Textile - Apparel (0.01%) Perry Ellis International Inc (a)(b) 1,284 38,636 ---------------------- Therapeutics (0.00%) Anadys Pharmaceuticals Inc (a) 1,822 8,800 ---------------------- Tobacco (0.39%) Universal Corp/Richmond VA 22,377 1,081,480 ---------------------- Transport - Air Freight (0.11%) ABX Air Inc (a)(b) 22,722 155,191 EGL Inc (a)(b) 3,748 142,837 ---------------------- 298,028 ---------------------- Transport - Equipment & Leasing (1.54%) GATX Corp (b) 94,260 4,298,256 ---------------------- Transport - Services (0.26%) Laidlaw International Inc 24,558 729,618 ---------------------- Transport - Truck (0.93%) Arkansas Best Corp 26 994 Heartland Express Inc (b) 144,672 2,449,297 Saia Inc (a)(b) 5,006 133,410 ---------------------- 2,583,701 ---------------------- Travel Services (0.02%) Ambassadors International Inc (b) 1,597 69,358 ---------------------- Water (0.03%) California Water Service Group 2,438 96,935 ---------------------- Wire & Cable Products (1.97%) Belden CDT Inc (b) 120,185 5,198,001 General Cable Corp (a) 6,958 300,099 ---------------------- 5,498,100 ---------------------- Wireless Equipment (0.03%) Powerwave Technologies Inc (a)(b) 13,700 80,008 Wireless Facilities Inc (a) 2,956 6,947 ---------------------- 86,955 ---------------------- TOTAL COMMON STOCKS $ 275,989,843 ---------------------- MONEY MARKET FUNDS (27.07%) Money Center Banks (27.07%) BNY Institutional Cash Reserve Fund (c) 75,529,000 75,529,000 ---------------------- TOTAL MONEY MARKET FUNDS $ 75,529,000 ---------------------- Total Investments $ 351,518,843 Liabilities in Excess of Other Assets, Net - (26.01)% (72,567,652) ---------------------- TOTAL NET ASSETS - 100.00% $ 278,951,191 ====================== ---------------------- ======================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 58,734,727 Unrealized Depreciation (7,610,695) ---------------------- Net Unrealized Appreciation (Depreciation) 51,124,032 Cost for federal income tax purposes 300,394,811 Portfolio Summary (unaudited) -------------------------------------------------- ---------------------- Sector Percent -------------------------------------------------- ---------------------- Financial 50.03% Consumer, Cyclical 18.19% Industrial 17.15% Consumer, Non-cyclical 15.30% Technology 6.75% Communications 6.35% Utilities 4.89% Energy 4.34% Basic Materials 2.90% Diversified 0.11% Liabilities in Excess of Other Assets, Net (-26.01%) ---------------------- TOTAL NET ASSETS 100.00% ======================
Schedule of Investments January 31, 2007 (unaudited) Partners SmallCap Value Fund I Shares Held Value ----------- ---------- ---------------------- COMMON STOCKS (98.21%) Advanced Materials & Products (0.07%) Ceradyne Inc (a)(b) 6,400 $ 346,112 ---------------------- Aerospace & Defense (0.28%) Armor Holdings Inc (a)(b) 12,100 732,050 Esterline Technologies Corp (b) 16,300 651,511 ---------------------- 1,383,561 ---------------------- Aerospace & Defense Equipment (1.07%) AAR Corp (a)(b) 7,900 235,341 Curtiss-Wright Corp 28,700 1,095,766 Heico Corp (a) 2,600 95,264 Kaman Corp 29,400 670,026 Moog Inc (a)(b) 35,650 1,389,993 Orbital Sciences Corp (a)(b) 71,100 1,212,966 Triumph Group Inc (a) 11,300 635,060 ---------------------- 5,334,416 ---------------------- Agricultural Chemicals (0.55%) CF Industries Holdings Inc 73,200 2,232,600 UAP Holding Corp 20,100 503,505 ---------------------- 2,736,105 ---------------------- Agricultural Operations (0.08%) Delta & Pine Land Co 9,600 390,720 ---------------------- Airlines (0.99%) Alaska Air Group Inc (a)(b) 18,300 784,155 Continental Airlines Inc (a)(b) 20,400 846,396 ExpressJet Holdings Inc (a)(b) 57,900 452,199 Republic Airways Holdings Inc (b) 25,600 489,472 Skywest Inc (a) 86,400 2,344,896 ---------------------- 4,917,118 ---------------------- Apparel Manufacturers (1.09%) Carter's Inc (a)(b) 25,300 642,620 Hartmarx Corp (b) 72,700 507,446 Kellwood Co (a) 18,100 593,680 Maidenform Brands Inc (b) 29,000 580,580 Oxford Industries Inc 2,200 105,138 Phillips-Van Heusen 46,800 2,581,020 Quiksilver Inc (a)(b) 31,100 441,931 ---------------------- 5,452,415 ---------------------- Applications Software (0.34%) American Reprographics Co (b) 18,700 585,684 Mapinfo Corp (b) 39,900 544,635 Progress Software Corp (b) 13,000 369,330 Quest Software Inc (a)(b) 13,900 207,527 ---------------------- 1,707,176 ---------------------- Auto/Truck Parts & Equipment - Original (0.88%) American Axle & Manufacturing Holdings (a) 11,600 241,048 ArvinMeritor Inc 64,400 1,239,700 Keystone Automotive Industries Inc (a)(b) 6,900 247,365 Lear Corp (a) 7,200 243,792 Modine Manufacturing Co 20,400 533,664 Auto/Truck Parts & Equipment - Original Tenneco Inc (b) 42,000 976,500 TRW Automotive Holdings Corp (b) 26,600 695,590 Visteon Corp (a)(b) 27,300 218,400 ---------------------- 4,396,059 ---------------------- Auto/Truck Parts & Equipment - Replacement (0.31%) Aftermarket Technology Corp (a)(b) 71,400 1,539,384 ---------------------- B2B - E-Commerce (0.22%) Ariba Inc (a)(b) 44,200 411,060 webMethods Inc (a)(b) 92,300 695,019 ---------------------- 1,106,079 ---------------------- Batteries & Battery Systems (0.26%) Greatbatch Inc (a)(b) 44,500 1,307,855 ---------------------- Building - Heavy Construction (0.54%) Granite Construction Inc 23,600 1,264,016 Washington Group International Inc (a)(b) 25,400 1,451,102 ---------------------- 2,715,118 ---------------------- Building - Maintenance & Service (0.18%) ABM Industries Inc 33,900 875,976 ---------------------- Building - Residential & Commercial (0.05%) WCI Communities Inc (a)(b) 11,300 244,645 ---------------------- Building & Construction - Miscellaneous (0.03%) Builders FirstSource Inc (b) 7,200 130,608 ---------------------- Building & Construction Products - Miscellaneous (0.17%) NCI Building Systems Inc (a)(b) 14,600 831,032 ---------------------- Building Products - Air & Heating (0.19%) Comfort Systems USA Inc 77,500 947,050 ---------------------- Building Products - Cement & Aggregate (0.13%) Eagle Materials Inc (a) 12,800 632,192 ---------------------- Building Products - Doors & Windows (0.06%) Apogee Enterprises Inc 15,000 285,450 ---------------------- Building Products - Light Fixtures (0.10%) Genlyte Group Inc (a)(b) 6,900 522,813 ---------------------- Building Products - Wood (0.17%) Universal Forest Products Inc 17,800 870,420 ---------------------- Cable TV (0.41%) Charter Communications Inc (a)(b) 283,000 990,500 Lodgenet Entertainment Corp (a)(b) 39,100 1,063,129 ---------------------- 2,053,629 ---------------------- Capacitors (0.02%) Kemet Corp (a)(b) 16,300 122,902 ---------------------- Casino Hotels (0.13%) Ameristar Casinos Inc 2,900 88,508 Casino Hotels Monarch Casino & Resort Inc (b) 21,900 550,347 ---------------------- 638,855 ---------------------- Cellular Telecommunications (0.13%) Centennial Communications Corp (b) 18,900 144,963 Dobson Communications Corp (a)(b) 49,600 480,624 ---------------------- 625,587 ---------------------- Chemicals - Diversified (0.58%) FMC Corp 4,300 334,755 Georgia Gulf Corp (a) 28,200 586,842 Innospec Inc 8,800 470,800 Pioneer Cos Inc (b) 15,700 470,058 Rockwood Holdings Inc (b) 21,000 556,500 Westlake Chemical Corp (a) 13,500 447,930 ---------------------- 2,866,885 ---------------------- Chemicals - Plastics (0.25%) PolyOne Corp (b) 66,600 488,178 Spartech Corp 26,500 742,530 ---------------------- 1,230,708 ---------------------- Chemicals - Specialty (1.44%) Arch Chemicals Inc 16,600 559,918 HB Fuller Co 103,100 2,667,197 Hercules Inc (b) 64,200 1,258,962 Minerals Technologies Inc 6,200 360,034 NewMarket Corp 5,800 323,060 OM Group Inc (b) 9,800 478,828 Sensient Technologies Corp 38,700 955,116 WR Grace & Co (a)(b) 26,800 581,560 ---------------------- 7,184,675 ---------------------- Circuit Boards (0.08%) Park Electrochemical Corp 7,900 210,851 TTM Technologies Inc (a)(b) 18,500 198,135 ---------------------- 408,986 ---------------------- Collectibles (0.12%) RC2 Corp (b) 15,600 616,356 ---------------------- Commercial Banks (10.47%) 1st Source Corp 20,370 588,082 Amcore Financial Inc (a) 9,900 334,323 AmericanWest Bancorp (a) 7,300 164,323 Ameris Bancorp (a) 11,660 300,711 Bancfirst Corp 6,500 316,355 Bancorp Inc/Wilmington DE (a)(b) 12,700 333,629 Bank of Granite Corp 15,775 297,990 Banner Corp 4,800 205,632 Camden National Corp 6,400 288,000 Capital Corp of the West (a) 1,440 44,496 Capitol Bancorp Ltd (a) 9,400 403,260 Cardinal Financial Corp 25,400 256,540 Cascade Bancorp (a) 12,800 337,024 Cathay General Bancorp 9,700 336,202 Central Pacific Financial Corp (a) 28,700 1,121,596 Chemical Financial Corp (a) 13,156 392,049 Chittenden Corp 18,100 551,326 Citizens Banking Corp 42,774 1,048,391 City Bank/Lynnwood WA (a) 9,050 307,700 City Holding Co 23,600 946,360 Commercial Banks Colonial BancGroup Inc/The 39,200 961,968 Columbia Bancorp/OR 1,200 29,856 Columbia Banking System Inc 10,935 372,993 Community Bancorp/NV (a)(b) 11,700 391,599 Community Bank System Inc (a) 13,000 294,580 Community Trust Bancorp Inc (a) 15,887 621,182 Corus Bankshares Inc (a) 104,100 2,217,330 Cullen/Frost Bankers Inc 14,200 760,126 CVB Financial Corp 34,610 432,625 East West Bancorp Inc 28,800 1,105,920 Farmers Capital Bank Corp 3,600 121,464 First Bancorp/Puerto Rico (a) 46,000 491,280 First Charter Corp 27,400 658,970 First Citizens BancShares Inc/NC 2,500 512,475 First Community Bancorp Inc/CA 23,500 1,252,550 First Community Bancshares Inc/VA 8,900 361,696 First Regional Bancorp/Los Angeles CA (a)(b) 6,000 205,080 First Republic Bank/San Francisco CA (a) 21,450 1,152,294 FNB Corp/PA 34,100 599,819 FNB Corp/VA 7,500 298,425 Fremont General Corp (a) 37,500 510,000 Great Southern Bancorp Inc (a) 8,600 251,808 Greater Bay Bancorp 73,300 2,048,002 Greene County Bancshares Inc (a) 3,700 135,827 Hanmi Financial Corp 127,400 2,609,152 Heartland Financial USA Inc (a) 5,300 151,527 Heritage Commerce Corp (a) 2,700 70,335 Horizon Financial Corp 5,575 138,706 IBERIABANK Corp 26,175 1,508,989 Independent Bank Corp/MI 28,906 637,955 Independent Bank Corp/Rockland MA (a) 25,000 804,000 Integra Bank Corp (a) 13,900 344,303 Intervest Bancshares Corp (b) 10,200 309,570 Irwin Financial Corp (a) 50,500 1,102,415 ITLA Capital Corp (a) 3,500 212,625 Lakeland Financial Corp (a) 3,200 79,136 MainSource Financial Group Inc (a) 15,552 264,384 MB Financial Inc 6,000 221,520 MBT Financial Corp (a) 6,100 86,559 Mercantile Bank Corp 5,731 200,241 Mid-State Bancshares (a) 13,700 502,242 Nara Bancorp Inc 20,100 394,563 National Penn Bancshares Inc 16,968 318,998 Old Second Bancorp Inc (a) 100 2,893 Oriental Financial Group (a) 18,970 243,195 Pacific Capital Bancorp 27,800 888,488 Peoples Bancorp Inc/OH 9,830 285,168 Prosperity Bancshares Inc (a) 11,400 399,000 Provident Bankshares Corp 23,800 843,472 Renasant Corp 11,750 333,583 Republic Bancorp Inc/KY 2,627 62,286 R-G Financial Corp (a) 53,500 402,320 Royal Bancshares of Pennsylvania 781 20,517 Santander BanCorp 2,200 40,700 SCBT Financial Corp 940 35,842 Security Bank Corp/GA (a) 9,800 214,914 Sierra Bancorp 900 27,117 Simmons First National Corp 16,000 491,840 Southwest Bancorp Inc/Stillwater OK 40,300 1,073,592 Commercial Banks Sterling Bancshares Inc/TX 173,700 2,093,085 Sterling Financial Corp/PA (a) 15,887 363,177 Sterling Financial Corp/WA 76,993 2,553,858 SVB Financial Group (a)(b) 25,900 1,208,235 Taylor Capital Group Inc (a) 9,700 368,309 Trico Bancshares (a) 9,400 253,424 UMB Financial Corp (a) 17,100 625,347 Umpqua Holdings Corp (a) 42,181 1,200,049 Union Bankshares Corp/VA (a) 5,300 153,223 United Bankshares Inc 7,700 281,204 United Community Banks Inc/GA 19,300 630,338 W Holding Co Inc 69,646 366,338 West Coast Bancorp/OR (a) 35,800 1,195,362 Whitney Holding Corp 36,900 1,167,516 ---------------------- 52,143,470 ---------------------- Commercial Services (0.50%) Arbitron Inc (a) 3,400 157,658 First Advantage Corp (a)(b) 22,200 501,720 Startek Inc 4,800 49,248 TeleTech Holdings Inc (a)(b) 36,900 994,455 Vertrue Inc (a)(b) 16,700 776,383 ---------------------- 2,479,464 ---------------------- Commercial Services - Finance (0.66%) CBIZ Inc (a)(b) 86,100 576,870 Deluxe Corp 74,200 2,220,064 Dollar Financial Corp (a)(b) 14,684 470,329 ---------------------- 3,267,263 ---------------------- Communications Software (0.40%) Avid Technology Inc (a)(b) 13,300 492,100 Digi International Inc (a)(b) 43,000 534,060 Inter-Tel Inc 43,400 982,142 ---------------------- 2,008,302 ---------------------- Computer Aided Design (0.18%) Aspen Technology Inc (b) 30,000 307,500 Parametric Technology Corp (b) 30,040 595,393 ---------------------- 902,893 ---------------------- Computer Services (0.61%) Ciber Inc (b) 37,000 254,560 Covansys Corp (b) 47,700 1,076,589 Perot Systems Corp (b) 59,600 973,864 SI International Inc (b) 5,800 167,330 SYKES Enterprises Inc (a)(b) 16,300 238,143 Tyler Technologies Inc (a)(b) 22,200 308,580 ---------------------- 3,019,066 ---------------------- Computers (0.19%) Gateway Inc (a)(b) 41,800 85,690 Palm Inc (a)(b) 60,642 838,679 ---------------------- 924,369 ---------------------- Computers - Integrated Systems (1.12%) Agilysys Inc 55,500 1,051,725 Brocade Communications Systems Inc (a)(b) 256,300 2,199,054 Kronos Inc/MA (a)(b) 22,700 862,600 MTS Systems Corp 15,700 671,489 Radisys Corp (a)(b) 46,200 776,622 ---------------------- 5,561,490 ---------------------- Computers - Memory Devices (0.39%) Hutchinson Technology Inc (a)(b) 10,800 239,976 Imation Corp (a) 18,600 809,286 Komag Inc (a)(b) 10,600 361,672 Quantum Corp (b) 183,300 456,417 Silicon Storage Technology Inc (b) 16,300 81,174 ---------------------- 1,948,525 ---------------------- Computers - Peripheral Equipment (0.15%) Electronics for Imaging (a)(b) 31,500 726,075 ---------------------- Computers - Voice Recognition (0.06%) Talx Corp (a) 9,400 299,484 ---------------------- Consulting Services (0.69%) BearingPoint Inc (a)(b) 122,800 983,628 Clark Inc 7,600 125,552 CRA International Inc (a)(b) 700 37,744 FTI Consulting Inc (a)(b) 21,800 597,538 Gartner Inc (a)(b) 29,600 647,056 MAXIMUS Inc 15,800 476,370 Watson Wyatt Worldwide Inc 12,700 562,483 ---------------------- 3,430,371 ---------------------- Consumer Products - Miscellaneous (0.84%) Prestige Brands Holdings Inc (a)(b) 69,500 883,345 Spectrum Brands Inc (a)(b) 10,800 130,680 Tupperware Brands Corp (a) 127,400 2,972,242 Yankee Candle Co Inc 5,400 187,002 ---------------------- 4,173,269 ---------------------- Containers - Metal & Glass (1.27%) Greif Inc 28,300 3,234,973 Silgan Holdings Inc 65,900 3,086,097 ---------------------- 6,321,070 ---------------------- Cosmetics & Toiletries (0.39%) Chattem Inc (a)(b) 9,700 557,168 Elizabeth Arden Inc (a)(b) 73,300 1,385,370 ---------------------- 1,942,538 ---------------------- Data Processing & Management (0.10%) CSG Systems International Inc (a)(b) 17,000 426,360 infoUSA Inc 5,400 64,854 ---------------------- 491,214 ---------------------- Decision Support Software (0.13%) QAD Inc 6,600 53,460 SPSS Inc (a)(b) 19,500 604,890 ---------------------- 658,350 ---------------------- Diagnostic Kits (0.05%) Biosite Inc (a)(b) 4,900 264,012 ---------------------- Disposable Medical Products (0.02%) ICU Medical Inc (a)(b) 3,000 118,350 ---------------------- Distribution & Wholesale (0.64%) Building Materials Holding Corp (a) 62,000 1,477,460 United Stationers Inc (a)(b) 27,100 1,381,016 Watsco Inc 6,800 346,936 ---------------------- 3,205,412 ---------------------- Diversified Manufacturing Operations (1.76%) Actuant Corp (a) 9,100 453,089 Acuity Brands Inc 23,700 1,374,837 Ameron International Corp 6,700 540,489 AO Smith Corp 28,300 1,085,305 Barnes Group Inc (a) 58,300 1,248,786 EnPro Industries Inc (a)(b) 89,800 2,967,890 Federal Signal Corp 56,500 927,730 Jacuzzi Brands Inc (b) 13,900 172,777 ---------------------- 8,770,903 ---------------------- Diversified Operations & Commercial Services (0.22%) Viad Corp 17,500 733,950 Volt Information Sciences Inc (a)(b) 10,050 355,368 ---------------------- 1,089,318 ---------------------- E-Commerce - Products (0.12%) FTD Group Inc (a) 31,200 575,952 ---------------------- Electric - Integrated (3.44%) Allete Inc 13,200 634,788 Avista Corp 71,800 1,805,770 Black Hills Corp (a) 5,100 189,057 CH Energy Group Inc 9,300 474,672 Cleco Corp 29,200 745,768 El Paso Electric Co (b) 67,900 1,649,970 Empire District Electric Co/The (a) 33,000 785,730 Great Plains Energy Inc 26,600 833,378 Idacorp Inc 40,700 1,503,865 PNM Resources Inc 85,200 2,596,896 UIL Holdings Corp (a) 14,066 545,901 Unisource Energy Corp (a) 61,400 2,303,728 Westar Energy Inc (a) 114,800 3,049,088 ---------------------- 17,118,611 ---------------------- Electronic Components - Miscellaneous (0.57%) Bel Fuse Inc (a) 9,400 305,312 Benchmark Electronics Inc (b) 35,325 800,111 CTS Corp (a) 62,000 961,000 Methode Electronics Inc 39,900 439,299 Plexus Corp (a)(b) 7,000 117,600 Technitrol Inc (a) 8,700 191,574 ---------------------- 2,814,896 ---------------------- Electronic Components - Semiconductors (0.55%) Actel Corp (a)(b) 11,400 203,604 AMIS Holdings Inc (a)(b) 23,700 245,058 Amkor Technology Inc (a)(b) 41,300 434,889 Applied Micro Circuits Corp (b) 84,700 291,368 Conexant Systems Inc (a)(b) 12,100 22,506 DSP Group Inc (b) 11,400 239,172 Kopin Corp (b) 4,400 16,984 Lattice Semiconductor Corp (a)(b) 31,400 184,004 Omnivision Technologies Inc (a)(b) 39,200 452,368 ON Semiconductor Corp (a)(b) 34,100 285,076 Skyworks Solutions Inc (a)(b) 28,000 183,960 Zoran Corp (a)(b) 14,000 195,580 ---------------------- 2,754,569 ---------------------- Electronic Design Automation (0.20%) Magma Design Automation Inc (a)(b) 19,100 162,350 Electronic Design Automation Mentor Graphics Corp (a)(b) 44,900 835,140 ---------------------- 997,490 ---------------------- Electronic Measurement Instruments (0.40%) Itron Inc (a)(b) 13,600 783,904 Molecular Devices Corp (a)(b) 17,800 626,204 Zygo Corp (b) 38,000 583,300 ---------------------- 1,993,408 ---------------------- Engineering - Research & Development Services (0.34%) EMCOR Group Inc (b) 3,300 189,486 Shaw Group Inc/The (a)(b) 18,300 617,808 URS Corp (b) 20,450 878,737 ---------------------- 1,686,031 ---------------------- Engines - Internal Combustion (0.21%) Briggs & Stratton Corp (a) 34,900 1,034,436 ---------------------- Enterprise Software & Services (0.57%) Lawson Software Inc (a)(b) 37,100 278,621 Mantech International Corp (b) 9,400 320,728 Packeteer Inc (b) 43,000 576,200 Sybase Inc (a)(b) 63,100 1,633,659 SYNNEX Corp (a)(b) 1,400 26,880 ---------------------- 2,836,088 ---------------------- Environmental Consulting & Engineering (0.01%) Tetra Tech Inc (b) 1,900 34,162 ---------------------- Fiduciary Banks (0.32%) Boston Private Financial Holdings Inc 16,400 474,288 Wilmington Trust Corp 27,300 1,144,689 ---------------------- 1,618,977 ---------------------- Finance - Consumer Loans (0.55%) Asta Funding Inc (a) 28,200 908,604 Ocwen Financial Corp (a)(b) 26,700 375,936 World Acceptance Corp (a)(b) 33,200 1,461,132 ---------------------- 2,745,672 ---------------------- Finance - Credit Card (0.38%) Advanta Corp - B Shares (a) 20,200 937,482 CompuCredit Corp (a)(b) 26,800 948,452 ---------------------- 1,885,934 ---------------------- Finance - Investment Banker & Broker (0.97%) Greenhill & Co Inc (a) 500 37,465 Investment Technology Group Inc (b) 31,400 1,369,040 Knight Capital Group Inc (a)(b) 143,100 2,585,817 Piper Jaffray Cos (a)(b) 5,500 379,170 SWS Group Inc 18,000 454,140 ---------------------- 4,825,632 ---------------------- Finance - Leasing Company (0.15%) Financial Federal Corp (a) 17,000 486,200 Marlin Business Services Corp (a)(b) 11,400 267,102 ---------------------- 753,302 ---------------------- Finance - Mortgage Loan/Banker (0.19%) Accredited Home Lenders Holding Co (a)(b) 12,300 341,571 CharterMac (a) 19,100 403,392 Doral Financial Corp (a) 24,500 63,455 Federal Agricultural Mortgage Corp 4,600 127,742 ---------------------- 936,160 ---------------------- ---------------------- Finance - Other Services (0.00%) eSpeed Inc (a)(b) 1,400 11,200 ---------------------- Food - Baking (0.37%) Flowers Foods Inc (a) 65,575 1,843,969 ---------------------- Food - Canned (0.15%) TreeHouse Foods Inc (b) 25,100 748,231 ---------------------- Food - Meat Products (0.01%) Premium Standard Farms Inc 3,700 70,374 ---------------------- Food - Miscellaneous/Diversified (0.42%) Chiquita Brands International Inc (a) 42,400 672,888 J&J Snack Foods Corp (a) 8,500 350,880 Ralcorp Holdings Inc (a)(b) 19,500 1,079,130 ---------------------- 2,102,898 ---------------------- Food - Retail (0.03%) Ruddick Corp (a) 5,800 161,240 ---------------------- Food - Wholesale & Distribution (0.32%) Nash Finch Co (a) 5,800 167,504 Performance Food Group Co (b) 14,100 418,206 Spartan Stores Inc (a) 43,600 1,031,576 ---------------------- 1,617,286 ---------------------- Footwear & Related Apparel (0.37%) Deckers Outdoor Corp (b) 4,300 250,733 Skechers U.S.A. Inc (a)(b) 25,500 903,720 Wolverine World Wide Inc 22,900 704,633 ---------------------- 1,859,086 ---------------------- Funeral Services & Related Items (0.13%) Stewart Enterprises Inc 88,400 628,524 ---------------------- Gas - Distribution (1.99%) Atmos Energy Corp (a) 24,200 756,008 Laclede Group Inc/The 28,600 928,928 New Jersey Resources Corp (a) 48,800 2,274,080 Nicor Inc (a) 23,000 1,046,500 Northwest Natural Gas Co 18,500 752,765 Piedmont Natural Gas Co (a) 11,500 296,815 South Jersey Industries Inc (a) 17,500 578,200 Southwest Gas Corp 68,300 2,680,775 WGL Holdings Inc 19,300 610,459 ---------------------- 9,924,530 ---------------------- Health Care Cost Containment (0.03%) Healthspring Inc (b) 7,300 143,591 ---------------------- Home Furnishings (0.45%) Ethan Allen Interiors Inc (a) 17,600 662,992 Furniture Brands International Inc (a) 51,700 861,839 Kimball International Inc (a) 16,700 411,488 Sealy Corp 20,900 313,709 ---------------------- 2,250,028 ---------------------- Human Resources (0.75%) AMN Healthcare Services Inc (a)(b) 25,100 649,588 Heidrick & Struggles International Inc (b) 16,900 738,023 Kforce Inc (a)(b) 21,400 305,164 Human Resources MPS Group Inc (b) 69,000 1,033,620 Spherion Corp (b) 125,300 1,031,219 ---------------------- 3,757,614 ---------------------- Identification Systems - Development (0.21%) Checkpoint Systems Inc (a)(b) 50,900 956,411 Paxar Corp (a)(b) 4,300 94,514 ---------------------- 1,050,925 ---------------------- Instruments - Controls (0.14%) Watts Water Technologies Inc (a) 15,900 699,123 ---------------------- Internet Application Software (0.10%) Interwoven Inc (a)(b) 31,800 499,260 ---------------------- Internet Content - Information & News (0.17%) Harris Interactive Inc (b) 142,000 739,820 ProQuest Co (a)(b) 11,900 132,090 ---------------------- 871,910 ---------------------- Internet Infrastructure Equipment (0.39%) Avocent Corp (b) 56,500 1,951,510 ---------------------- Internet Infrastructure Software (0.21%) TIBCO Software Inc (a)(b) 115,400 1,070,912 ---------------------- Internet Security (0.30%) Ipass Inc (a)(b) 15,400 80,234 Secure Computing Corp (a)(b) 75,100 500,166 SonicWALL Inc (b) 109,200 920,556 ---------------------- 1,500,956 ---------------------- Intimate Apparel (0.07%) Warnaco Group Inc/The (b) 13,100 370,599 ---------------------- Investment Companies (0.36%) MCG Capital Corp (a) 31,500 622,755 Medallion Financial Corp 15,900 179,511 Technology Investment Capital Corp (a) 59,449 992,798 ---------------------- 1,795,064 ---------------------- Investment Management & Advisory Services (0.33%) Calamos Asset Management Inc 23,000 629,970 National Financial Partners Corp (a) 20,500 1,006,550 ---------------------- 1,636,520 ---------------------- Lasers - Systems & Components (0.64%) Coherent Inc (b) 37,100 1,140,825 Cymer Inc (a)(b) 11,200 472,976 Electro Scientific Industries Inc (a)(b) 3,000 62,970 Newport Corp (b) 26,900 536,924 Rofin-Sinar Technologies Inc (b) 14,600 955,278 ---------------------- 3,168,973 ---------------------- Leisure & Recreation Products (0.42%) K2 Inc (b) 114,000 1,377,120 Multimedia Games Inc (a)(b) 69,000 715,530 ---------------------- 2,092,650 ---------------------- Life & Health Insurance (0.88%) Delphi Financial Group 69,975 2,759,814 Phoenix Cos Inc/The 53,700 807,111 Life & Health Insurance Universal American Financial Corp (a)(b) 42,700 804,895 ---------------------- 4,371,820 ---------------------- Machinery - Construction & Mining (0.04%) Astec Industries Inc (a)(b) 6,000 216,060 ---------------------- Machinery - Electrical (0.23%) Regal-Beloit Corp (a) 22,400 1,127,168 ---------------------- Machinery - Farm (0.03%) Gehl Co (a)(b) 5,300 141,775 ---------------------- Machinery - General Industry (0.79%) Applied Industrial Technologies Inc 86,775 2,125,987 Kadant Inc (b) 400 10,940 Sauer-Danfoss Inc 9,000 309,960 Tennant Co 10,500 324,660 Wabtec Corp 35,800 1,146,316 ---------------------- 3,917,863 ---------------------- Machinery - Material Handling (0.23%) Cascade Corp (a) 10,400 558,688 NACCO Industries Inc (a) 3,900 563,355 ---------------------- 1,122,043 ---------------------- Medical - Outpatient & Home Medical Care (0.04%) Apria Healthcare Group Inc (a)(b) 7,800 216,606 ---------------------- Medical - Biomedical/Gene (0.50%) Applera Corp - Celera Group (b) 10,400 164,944 Arena Pharmaceuticals Inc (a)(b) 11,300 144,301 Bio-Rad Laboratories Inc (b) 11,200 963,648 Exelixis Inc (a)(b) 33,400 327,320 Lifecell Corp (a)(b) 13,500 322,785 Martek Biosciences Corp (a)(b) 900 20,979 Medivation Inc (b) 6,700 92,795 Nektar Therapeutics (a)(b) 13,800 175,260 Savient Pharmaceuticals Inc (a)(b) 17,700 264,261 ---------------------- 2,476,293 ---------------------- Medical - Drugs (0.47%) Adams Respiratory Therapeutics Inc (a)(b) 7,500 336,375 Adolor Corp (a)(b) 12,923 90,332 Cubist Pharmaceuticals Inc (a)(b) 8,300 152,720 Sciele Pharma Inc (a)(b) 44,500 1,056,875 Valeant Pharmaceuticals International (a) 8,300 146,329 Viropharma Inc (a)(b) 33,900 577,317 ---------------------- 2,359,948 ---------------------- Medical - Generic Drugs (0.45%) Alpharma Inc (a) 51,100 1,407,805 Perrigo Co (a) 49,000 846,720 ---------------------- 2,254,525 ---------------------- Medical - HMO (0.90%) AMERIGROUP Corp (a)(b) 56,000 2,030,560 Magellan Health Services Inc (a)(b) 27,900 1,138,599 Molina Healthcare Inc (a)(b) 5,300 163,399 Sierra Health Services Inc (a)(b) 28,700 1,153,740 ---------------------- 4,486,298 ---------------------- Medical - Nursing Homes (0.11%) Genesis HealthCare Corp (a)(b) 600 36,732 Kindred Healthcare Inc (a)(b) 18,300 525,210 ---------------------- 561,942 ---------------------- Medical - Outpatient & Home Medical Care (0.38%) Gentiva Health Services Inc (a)(b) 88,800 1,758,240 Res-Care Inc (b) 6,800 118,116 ---------------------- 1,876,356 ---------------------- Medical Instruments (0.04%) Conmed Corp (a)(b) 7,800 188,760 SurModics Inc (a)(b) 200 7,192 ---------------------- 195,952 ---------------------- Medical Products (0.37%) Haemonetics Corp/Mass (b) 16,900 815,256 HealthTronics Inc (b) 14,600 94,170 Invacare Corp (a) 7,700 166,243 PSS World Medical Inc (a)(b) 28,000 560,560 Viasys Healthcare Inc (a)(b) 6,200 182,466 ---------------------- 1,818,695 ---------------------- Medical Sterilization Products (0.15%) STERIS Corp 28,200 728,688 ---------------------- Metal - Iron (0.04%) Gibraltar Industries Inc (a) 8,300 203,599 ---------------------- Metal Processors & Fabrication (0.81%) CIRCOR International Inc (a) 11,100 400,599 Commercial Metals Co 36,400 986,804 Mueller Industries Inc 8,400 273,588 NN INC 27,600 352,452 Quanex Corp (a) 51,175 2,005,548 ---------------------- 4,018,991 ---------------------- Miscellaneous Manufacturers (0.17%) Freightcar America Inc 8,500 493,935 Reddy Ice Holdings Inc 12,900 334,626 ---------------------- 828,561 ---------------------- Motion Pictures & Services (0.12%) Macrovision Corp (a)(b) 25,000 618,250 ---------------------- MRI - Medical Diagnostic Imaging (0.06%) Alliance Imaging Inc (a)(b) 46,000 321,540 ---------------------- Multi-Line Insurance (0.18%) Direct General Corp 10,800 224,640 Horace Mann Educators Corp 35,100 696,033 ---------------------- 920,673 ---------------------- Multimedia (0.12%) Entravision Communications Corp (b) 42,200 337,600 Media General Inc 6,100 244,061 ---------------------- 581,661 ---------------------- Music (0.09%) Steinway Musical Instruments (b) 12,300 430,131 ---------------------- Networking Products (0.86%) Adaptec Inc (a)(b) 47,100 169,560 Aeroflex Inc (b) 123,000 1,471,080 Networking Products Anixter International Inc (a)(b) 15,600 862,212 Black Box Corp (a) 11,600 476,528 Foundry Networks Inc (a)(b) 48,100 696,007 Polycom Inc (a)(b) 10,200 342,924 SafeNet Inc (a)(b) 11,052 276,411 ---------------------- 4,294,722 ---------------------- Non-Ferrous Metals (0.14%) USEC Inc 50,000 678,000 ---------------------- Non-Hazardous Waste Disposal (0.02%) Waste Services Inc (a)(b) 8,933 101,122 ---------------------- Office Automation & Equipment (0.19%) Global Imaging Systems Inc (a)(b) 1,000 19,250 IKON Office Solutions Inc 60,800 905,920 ---------------------- 925,170 ---------------------- Office Supplies & Forms (0.19%) Ennis Inc 7,500 188,925 John H Harland Co (a) 15,000 755,700 ---------------------- 944,625 ---------------------- Oil - Field Services (1.11%) Basic Energy Services Inc (a)(b) 24,200 573,782 Hanover Compressor Co (a)(b) 11,500 222,525 Oil States International Inc (a)(b) 27,400 789,668 RPC Inc 41,950 746,710 Tidewater Inc 12,200 629,154 Trico Marine Services Inc (b) 58,600 1,906,258 Union Drilling Inc (a)(b) 16,100 205,597 Universal Compression Holdings Inc (b) 7,800 471,432 ---------------------- 5,545,126 ---------------------- Oil & Gas Drilling (0.15%) Parker Drilling Co (b) 80,000 740,800 ---------------------- Oil Company - Exploration & Production (1.43%) Bois d'Arc Energy Inc (a)(b) 13,600 208,896 Callon Petroleum Co (b) 62,900 873,052 Cimarex Energy Co 23,900 895,772 Comstock Resources Inc (b) 15,900 508,005 Edge Petroleum Corp (a)(b) 23,000 340,630 Energy Partners Ltd (a)(b) 17,900 387,714 Harvest Natural Resources Inc (a)(b) 27,100 272,626 Houston Exploration Co (b) 11,600 606,912 PetroHawk Energy Corp (b) 21,200 244,648 Rosetta Resources Inc (a)(b) 3,400 63,954 Stone Energy Corp (b) 29,100 989,109 Swift Energy Co (a)(b) 39,500 1,751,430 ---------------------- 7,142,748 ---------------------- Oil Field Machinery & Equipment (0.09%) Lone Star Technologies Inc (b) 9,800 473,830 ---------------------- Oil Refining & Marketing (0.33%) Alon USA Energy Inc (a) 31,600 849,724 Giant Industries Inc (a)(b) 5,500 411,785 Western Refining Inc (a) 13,500 369,225 ---------------------- 1,630,734 ---------------------- Optical Supplies (0.12%) Oakley Inc (a) 25,300 585,948 ---------------------- Paper & Related Products (0.49%) Buckeye Technologies Inc (b) 29,300 350,721 Glatfelter (a) 16,100 260,659 Rock-Tenn Co 36,300 1,187,736 Schweitzer-Mauduit International Inc 26,300 638,827 ---------------------- 2,437,943 ---------------------- Physical Therapy & Rehabilitation Centers (0.21%) Psychiatric Solutions Inc (a)(b) 27,200 1,059,168 ---------------------- Power Converter & Supply Equipment (0.04%) Advanced Energy Industries Inc (a)(b) 12,900 223,557 ---------------------- Printing - Commercial (0.14%) Consolidated Graphics Inc (a)(b) 9,100 564,200 Valassis Communications Inc (a)(b) 9,700 149,089 ---------------------- 713,289 ---------------------- Private Corrections (0.22%) Geo Group Inc/The (b) 24,900 1,091,118 ---------------------- Property & Casualty Insurance (3.39%) American Physicians Capital Inc (b) 9,800 379,260 Argonaut Group Inc (b) 55,600 1,864,824 Fpic Insurance Group Inc (b) 4,200 184,338 Harleysville Group Inc 10,500 357,000 Infinity Property & Casualty Corp 12,900 617,136 James River Group Inc (a) 3,000 92,310 LandAmerica Financial Group Inc (a) 26,900 1,696,314 Navigators Group Inc (b) 11,600 554,364 Ohio Casualty Corp 43,700 1,290,898 PMA Capital Corp (b) 124,500 1,165,320 ProAssurance Corp (b) 31,800 1,615,122 RLI Corp (a) 3,300 182,622 Safety Insurance Group Inc 24,500 1,196,580 SeaBright Insurance Holdings Inc (a)(b) 63,800 1,149,038 Selective Insurance Group (a) 17,900 920,955 Stewart Information Services Corp (a) 14,300 601,172 Zenith National Insurance Corp 66,550 3,041,335 ---------------------- 16,908,588 ---------------------- Publicly Traded Investment Fund (1.39%) iShares Russell 2000 Value Index Fund (a) 85,400 6,934,480 ---------------------- Publishing - Books (0.31%) Scholastic Corp (b) 43,100 1,523,585 ---------------------- Publishing - Newspapers (0.48%) Journal Register Co (a) 21,900 153,081 Lee Enterprises Inc (a) 67,700 2,249,671 ---------------------- 2,402,752 ---------------------- Racetracks (0.11%) Speedway Motorsports Inc 13,600 524,688 ---------------------- Radio (0.64%) Cox Radio Inc (a)(b) 89,200 1,396,872 Entercom Communications Corp (a) 28,600 806,234 Radio Radio One Inc - Class D (a)(b) 98,600 724,710 Westwood One Inc (a) 36,700 254,331 ---------------------- 3,182,147 ---------------------- Recycling (0.12%) Metal Management Inc (a) 15,000 615,600 ---------------------- Reinsurance (0.35%) Odyssey Re Holdings Corp (a) 43,700 1,723,965 ---------------------- REITS - Apartments (0.58%) Post Properties Inc 59,300 2,876,050 ---------------------- REITS - Diversified (1.38%) Entertainment Properties Trust 20,900 1,355,574 Lexington Realty Trust (a) 137,400 2,923,872 Spirit Finance Corp 207,500 2,597,900 ---------------------- 6,877,346 ---------------------- REITS - Healthcare (1.31%) Health Care REIT Inc 20,250 947,902 LTC Properties Inc 21,700 611,940 Medical Properties Trust Inc (a) 66,600 1,040,958 National Health Investors Inc (a) 17,800 571,380 Nationwide Health Properties Inc (a) 34,000 1,132,880 Omega Healthcare Investors Inc 46,900 850,297 Senior Housing Properties Trust 52,200 1,356,156 ---------------------- 6,511,513 ---------------------- REITS - Hotels (2.60%) Ashford Hospitality Trust Inc 48,600 598,266 Equity Inns Inc (a) 92,300 1,522,950 FelCor Lodging Trust Inc (a) 200,600 4,427,242 Hersha Hospitality Trust 30,000 335,700 Highland Hospitality Corp (a) 94,400 1,499,072 Innkeepers USA Trust (a) 85,300 1,398,067 LaSalle Hotel Properties 16,300 776,043 Sunstone Hotel Investors Inc (a) 49,500 1,400,355 Winston Hotels Inc 69,700 970,921 ---------------------- 12,928,616 ---------------------- REITS - Manufactured Homes (0.17%) Equity Lifestyle Properties Inc 15,000 828,450 ---------------------- REITS - Mortgage (1.34%) American Home Mortgage Investment Corp (a) 45,821 1,600,986 Anthracite Capital Inc (a) 103,700 1,417,579 Capital Trust Inc/NY (a) 9,400 466,240 IMPAC Mortgage Holdings Inc (a) 42,600 367,212 MFA Mortgage Investments Inc 30,526 227,113 Newcastle Investment Corp (a) 26,600 862,372 RAIT Financial Trust (a) 45,800 1,712,462 ---------------------- 6,653,964 ---------------------- REITS - Office Property (1.09%) BioMed Realty Trust Inc 67,800 2,022,474 Columbia Equity Trust Inc 6,500 125,840 Government Properties Trust Inc 31,200 331,968 Kilroy Realty Corp 19,500 1,693,380 Maguire Properties Inc (a) 13,700 595,265 REITS - Office Property Parkway Properties Inc/Md (a) 11,800 647,230 ---------------------- 5,416,157 ---------------------- REITS - Regional Malls (0.71%) Pennsylvania Real Estate Investment Trust (a) 83,400 3,561,180 ---------------------- REITS - Shopping Centers (0.57%) Cedar Shopping Centers Inc 63,000 1,055,250 Kite Realty Group Trust (a) 25,300 493,350 Saul Centers Inc 23,800 1,283,296 ---------------------- 2,831,896 ---------------------- REITS - Single Tenant (0.45%) National Retail Properties Inc 44,700 1,061,625 Realty Income Corp 41,200 1,185,736 ---------------------- 2,247,361 ---------------------- REITS - Storage (0.04%) Extra Space Storage Inc (a) 9,100 179,634 ---------------------- REITS - Warehouse & Industrial (0.26%) First Potomac Realty Trust 43,300 1,300,299 ---------------------- Rental - Auto & Equipment (0.56%) Aaron Rents Inc (a) 5,500 162,360 Dollar Thrifty Automotive Group (a)(b) 18,300 862,479 Electro Rent Corp (b) 8,700 136,329 Rent-A-Center Inc/TX (b) 55,100 1,623,246 ---------------------- 2,784,414 ---------------------- Research & Development (0.30%) Kendle International Inc (b) 14,600 567,064 Parexel International Corp (b) 28,900 946,475 ---------------------- 1,513,539 ---------------------- Retail - Apparel & Shoe (2.30%) AnnTaylor Stores Corp (b) 24,500 845,250 Brown Shoe Co Inc 50,450 2,741,958 Cato Corp/The 36,300 819,291 Charlotte Russe Holding Inc (a)(b) 21,900 669,045 Charming Shoppes Inc (a)(b) 127,100 1,667,552 Christopher & Banks Corp (a) 20,500 364,490 Dress Barn Inc (a)(b) 13,000 292,110 Genesco Inc (a)(b) 25,900 1,020,201 Kenneth Cole Productions Inc (a) 10,500 248,640 Payless Shoesource Inc (a)(b) 22,000 746,900 Shoe Carnival Inc (a)(b) 6,000 190,980 Stage Stores Inc (a) 27,450 880,870 Talbots Inc (a) 12,500 295,000 Tween Brands Inc (a)(b) 19,900 680,381 ---------------------- 11,462,668 ---------------------- Retail - Auto Parts (0.09%) CSK Auto Corp (a)(b) 28,300 468,931 ---------------------- Retail - Automobile (1.20%) Asbury Automotive Group Inc 54,100 1,323,286 Group 1 Automotive Inc (a) 60,100 3,185,300 Lithia Motors Inc (a) 12,200 350,628 Sonic Automotive Inc 36,100 1,131,735 ---------------------- 5,990,949 ---------------------- Retail - Computer Equipment (0.28%) Insight Enterprises Inc (b) 43,100 876,223 Systemax Inc (a)(b) 23,100 504,042 ---------------------- 1,380,265 ---------------------- Retail - Convenience Store (0.45%) Casey's General Stores Inc 22,000 561,440 Pantry Inc/The (a)(b) 34,700 1,693,707 ---------------------- 2,255,147 ---------------------- Retail - Discount (0.25%) Big Lots Inc (a)(b) 48,500 1,257,605 ---------------------- Retail - Drug Store (0.13%) Longs Drug Stores Corp (a) 14,600 627,800 ---------------------- Retail - Jewelry (0.19%) Movado Group Inc 33,700 967,190 ---------------------- Retail - Pawn Shops (0.39%) Cash America International Inc 45,900 1,960,389 ---------------------- Retail - Regional Department Store (0.17%) Bon-Ton Stores Inc/The (a) 10,900 397,850 Retail Ventures Inc (a)(b) 21,700 428,575 ---------------------- 826,425 ---------------------- Retail - Restaurants (1.19%) Domino's Pizza Inc 42,100 1,202,797 Jack in the Box Inc (b) 44,600 2,755,834 McCormick & Schmick's Seafood Restaurant (a)(b) 20,500 515,575 Morton's Restaurant Group Inc (b) 27,800 520,138 O'Charleys Inc (a)(b) 33,900 720,036 Papa John's International Inc (a)(b) 7,300 201,626 ---------------------- 5,916,006 ---------------------- Retail - Toy Store (0.04%) Build-A-Bear Workshop Inc (a)(b) 7,000 210,630 ---------------------- Retail - Video Rental (0.05%) Blockbuster Inc (a)(b) 36,100 234,289 ---------------------- Retirement & Aged Care (0.11%) Five Star Quality Care Inc (a)(b) 44,700 542,211 ---------------------- Rubber & Plastic Products (0.13%) Myers Industries Inc 39,000 671,580 ---------------------- Savings & Loans - Thrifts (2.29%) Bankunited Financial Corp (a) 73,000 2,014,070 Berkshire Hills Bancorp Inc 800 27,144 Dime Community Bancshares 19,850 266,585 Downey Financial Corp 11,600 829,864 First Financial Holdings Inc 5,800 205,726 First Niagara Financial Group Inc 151,230 2,191,323 First Place Financial Corp/OH 12,400 295,368 FirstFed Financial Corp (a)(b) 21,000 1,447,950 Flagstar Bancorp Inc 22,700 329,377 KNBT Bancorp Inc 13,300 215,992 MAF Bancorp Inc (a) 18,049 811,122 NewAlliance Bancshares Inc 47,200 755,200 Savings & Loans - Thrifts Partners Trust Financial Group Inc (a) 37,800 430,542 TierOne Corp (a) 20,400 614,448 United Community Financial Corp/OH 26,900 332,484 WSFS Financial Corp 9,100 631,449 ---------------------- 11,398,644 ---------------------- Seismic Data Collection (0.12%) Compagnie Generale de Geophysique SA ADR (a)(b) 14,468 574,540 ---------------------- Semiconductor Component - Integrated Circuits (0.41%) Cirrus Logic Inc (b) 28,200 209,244 Emulex Corp (b) 51,400 912,350 Exar Corp (b) 34,200 448,020 Genesis Microchip Inc (a)(b) 7,300 57,743 Pericom Semiconductor Corp (b) 6,500 64,805 Standard Microsystems Corp (a)(b) 12,400 345,960 ---------------------- 2,038,122 ---------------------- Semiconductor Equipment (0.88%) Asyst Technologies Inc (b) 46,300 300,487 Axcelis Technologies Inc (b) 41,600 267,904 Brooks Automation Inc (b) 39,300 547,056 Cabot Microelectronics Corp (a)(b) 21,700 655,123 Cohu Inc (a) 48,600 972,000 Credence Systems Corp (a)(b) 24,400 118,828 Entegris Inc (a)(b) 47,237 506,853 Kulicke & Soffa Industries Inc (a)(b) 20,600 191,168 Mattson Technology Inc (a)(b) 10,300 89,713 MKS Instruments Inc (a)(b) 22,300 487,701 Photronics Inc (a)(b) 16,300 271,558 ---------------------- 4,408,391 ---------------------- Software Tools (0.08%) Altiris Inc (a)(b) 12,100 396,033 ---------------------- Steel - Producers (0.84%) Chaparral Steel Co 37,800 1,938,384 Reliance Steel & Aluminum Co (a) 14,600 607,944 Ryerson Inc (a) 32,100 1,006,977 Schnitzer Steel Industries Inc (a) 7,200 277,200 Steel Technologies Inc (a) 18,800 348,740 ---------------------- 4,179,245 ---------------------- Steel Pipe & Tube (0.27%) Valmont Industries Inc (a) 24,300 1,347,921 ---------------------- Telecommunication Equipment (0.62%) Adtran Inc 20,500 454,280 Andrew Corp (b) 55,100 585,162 Arris Group Inc (a)(b) 55,300 786,366 CommScope Inc (a)(b) 22,300 720,513 Ditech Networks Inc (b) 13,000 93,210 North Pittsburgh Systems Inc 700 16,499 Utstarcom Inc (a)(b) 18,600 164,238 Westell Technologies Inc (b) 121,100 276,108 ---------------------- 3,096,376 ---------------------- Telecommunication Equipment - Fiber Optics (0.11%) C-COR Inc (a)(b) 16,500 225,885 Finisar Corp (a)(b) 27,500 89,100 MRV Communications Inc (a)(b) 15,900 64,713 Telecommunication Equipment - Fiber Optics Optical Communication Products Inc (b) 28,600 44,616 Sycamore Networks Inc (b) 29,200 108,916 ---------------------- 533,230 ---------------------- Telecommunication Services (0.55%) Commonwealth Telephone Enterprises Inc (a) 6,800 287,232 Consolidated Communications Holdings Inc 29,800 657,090 Lightbridge Inc (a)(b) 13,500 216,675 Mastec Inc (a)(b) 23,700 266,625 Premiere Global Services Inc (b) 124,200 1,174,932 Time Warner Telecom Inc (a)(b) 6,100 142,008 ---------------------- 2,744,562 ---------------------- Telephone - Integrated (0.82%) Cincinnati Bell Inc (b) 483,800 2,351,268 CT Communications Inc (a) 40,100 979,643 General Communication Inc (b) 21,000 324,660 Level 3 Communications Inc (a)(b) 40,328 250,437 SureWest Communications (a) 6,100 170,617 ---------------------- 4,076,625 ---------------------- Television (0.04%) Lin TV Corp (a)(b) 5,100 56,049 Sinclair Broadcast Group Inc 12,400 145,948 ---------------------- 201,997 ---------------------- Textile - Apparel (0.04%) Perry Ellis International Inc (b) 6,800 204,612 ---------------------- Therapeutics (0.21%) Atherogenics Inc (a)(b) 8,726 102,967 AVANIR Pharmaceuticals (a)(b) 36,600 92,964 Cypress Bioscience Inc (a)(b) 36,500 301,490 Progenics Pharmaceuticals Inc (a)(b) 10,500 314,685 United Therapeutics Corp (a)(b) 4,500 241,200 ---------------------- 1,053,306 ---------------------- Tobacco (0.24%) Alliance One International Inc (b) 85,200 653,484 Universal Corp/Richmond VA (a) 10,800 521,964 ---------------------- 1,175,448 ---------------------- Toys (0.13%) Jakks Pacific Inc (a)(b) 30,900 626,343 ---------------------- Transport - Air Freight (0.18%) Atlas Air Worldwide Holdings Inc (a)(b) 18,800 901,460 ---------------------- Transport - Equipment & Leasing (0.23%) Amerco Inc (a)(b) 4,900 410,571 Greenbrier Cos Inc (a) 25,300 730,411 ---------------------- 1,140,982 ---------------------- Transport - Marine (0.08%) Gulfmark Offshore Inc (b) 10,400 375,544 ---------------------- Transport - Rail (0.35%) Genesee & Wyoming Inc (a)(b) 39,650 1,117,734 RailAmerica Inc (b) 38,300 620,843 ---------------------- 1,738,577 ---------------------- Transport - Services (0.38%) Bristow Group Inc (a)(b) 8,800 328,680 Transport - Services Laidlaw International Inc 17,500 519,925 Pacer International Inc 30,200 941,032 SIRVA Inc (b) 35,300 109,077 ---------------------- 1,898,714 ---------------------- Transport - Truck (0.13%) Arkansas Best Corp 3,200 122,304 Old Dominion Freight Line (a)(b) 18,100 502,818 ---------------------- 625,122 ---------------------- Vitamins & Nutrition Products (0.63%) NBTY Inc (a)(b) 60,300 3,126,555 ---------------------- Water (0.14%) American States Water Co (a) 6,800 266,492 SJW Corp 11,100 442,335 ---------------------- 708,827 ---------------------- Web Portals (0.38%) Earthlink Inc (a)(b) 125,600 918,136 United Online Inc (a) 70,500 989,820 ---------------------- 1,907,956 ---------------------- Wire & Cable Products (0.53%) Belden CDT Inc (a) 23,400 1,012,050 General Cable Corp (a)(b) 37,400 1,613,062 ---------------------- 2,625,112 ---------------------- Wireless Equipment (0.39%) CalAmp Corp (b) 30,400 241,984 EMS Technologies Inc (a)(b) 23,000 476,560 Powerwave Technologies Inc (a)(b) 47,500 277,400 RF Micro Devices Inc (a)(b) 81,700 630,724 Spectralink Corp 36,300 328,152 ---------------------- 1,954,820 ---------------------- TOTAL COMMON STOCKS $ 489,145,099 ---------------------- Principal Amount Value ----------- ---------- ---------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (0.12%) U.S. Treasury (0.12%) 4.25%, 11/30/2007 (c) 580,000 576,080 ---------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 576,080 ---------------------- MONEY MARKET FUNDS (33.58%) Money Center Banks (33.58%) BNY Institutional Cash Reserve Fund (d) 167,235,000 167,235,000 ---------------------- TOTAL MONEY MARKET FUNDS $ 167,235,000 ---------------------- Total Investments $ 656,956,179 Liabilities in Excess of Other Assets, Net - (31.91)% (158,907,630) ---------------------- TOTAL NET ASSETS - 100.00% $ 498,048,549 ====================== ---------------------- ======================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $576,080 or 0.12% of net assets. (d) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 75,817,312 Unrealized Depreciation (16,617,158) ---------------------- Net Unrealized Appreciation (Depreciation) 59,200,154 Cost for federal income tax purposes 597,756,025 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number Original Market Appreciation/ of Type Contracts Value Value (Depreciation) --------------------------- --------- --------------------- --- Buy: Russell 2000; March 2007 17 $6,733,781 $6,837,400 $103,619 Portfolio Summary (unaudited) ------------------------------------------------ ---------------------- Sector Percent ------------------------------------------------ ---------------------- Financial 64.88% Industrial 13.46% Consumer, Cyclical 12.76% Consumer, Non-cyclical 12.25% Communications 7.38% Technology 6.55% Utilities 5.57% Basic Materials 4.32% Energy 3.23% Funds 1.39% Government 0.12% Liabilities in Excess of Other Assets, Net (-31.91%) ---------------------- TOTAL NET ASSETS 100.00% ====================== Other Assets Summary (unaudited) ------------------------------------------------ ---------------------- Asset Type Percent ------------------------------------------------ ---------------------- Futures 1.37%
Schedule of Investments January 31, 2007 (unaudited) Partners SmallCap Value Fund II Shares Held Value ----------- ---- ---------------------- COMMON STOCKS (99.64%) Aerospace & Defense (0.42%) Esterline Technologies Corp (a) 31,600 $ 1,263,052 Herley Industries Inc (a)(b) 26,400 439,824 ---------------------- 1,702,876 ---------------------- Aerospace & Defense Equipment (1.24%) Alliant Techsystems Inc (a)(b) 17,525 1,419,525 Allied Defense Group Inc/The (a)(b) 3,900 69,420 DRS Technologies Inc 7,250 401,650 Ducommun Inc (a) 18,100 407,431 Fairchild Corp/The (a) 4,700 10,622 Kaman Corp (b) 8,188 186,605 Moog Inc (a) 25,550 996,194 Orbital Sciences Corp (a)(b) 26,800 457,208 SIFCO Industries Inc (a) 5,600 39,984 Triumph Group Inc (b) 18,500 1,039,700 ---------------------- 5,028,339 ---------------------- Agricultural Operations (0.02%) Griffin Land & Nurseries Inc (a) 1,602 52,834 Hines Horticulture Inc (a)(b) 12,456 23,666 ---------------------- 76,500 ---------------------- Airlines (1.74%) Alaska Air Group Inc (a) 49,400 2,116,790 Continental Airlines Inc (a) 552 22,903 ExpressJet Holdings Inc (a)(b) 44,400 346,764 Frontier Airlines Holdings Inc (a)(b) 64,300 477,749 MAIR Holdings Inc (a) 16,800 125,832 Mesa Air Group Inc (a)(b) 54,700 409,703 Midwest Air Group Inc (a) 255 3,404 Republic Airways Holdings Inc (a) 36,800 703,616 Skywest Inc 105,800 2,871,412 ---------------------- 7,078,173 ---------------------- Alternative Waste Tech (0.13%) Calgon Carbon Corp (b) 23,900 149,853 Synagro Technologies Inc 62,100 357,075 ---------------------- 506,928 ---------------------- Apparel Manufacturers (0.74%) Ashworth Inc (a) 9,600 73,056 Columbia Sportswear Co 7,610 493,432 Cutter & Buck Inc 8,400 108,948 Delta Apparel Inc 5,800 94,598 Hampshire Group Ltd (a) 688 9,942 Hartmarx Corp (a) 26,800 187,064 Kellwood Co (b) 50,500 1,656,400 Lakeland Industries Inc (a)(b) 5,060 74,230 Oxford Industries Inc 3,500 167,265 Superior Uniform Group Inc 3,700 48,655 Tandy Brands Accessories Inc 6,000 74,460 ---------------------- 2,988,050 ---------------------- Appliances (0.01%) Salton Inc (a)(b) 9,800 28,322 ---------------------- Applications Software (0.25%) Authentidate Holding Corp (a) 8,200 11,234 EPIQ Systems Inc (a)(b) 15,136 273,507 Keane Inc (a) 41,200 501,404 Mapinfo Corp (a)(b) 14,520 198,198 Moldflow Corp (a) 3,083 44,303 ---------------------- 1,028,646 ---------------------- Auction House & Art Dealer (0.01%) Escala Group Inc (a)(b) 16,250 58,825 ---------------------- Audio & Video Products (0.08%) Audiovox Corp (a)(b) 10,715 165,225 Cobra Electronics Corp 9,600 89,280 Emerson Radio Corp (a) 18,600 59,148 ---------------------- 313,653 ---------------------- Auto - Truck Trailers (0.02%) Wabash National Corp 4,700 74,918 ---------------------- Auto Repair Centers (0.16%) Monro Muffler Inc 16,900 637,806 ---------------------- Auto/Truck Parts & Equipment - Original (1.56%) American Axle & Manufacturing Holdings (b) 51,300 1,066,014 ArvinMeritor Inc (b) 80,000 1,540,000 Dura Automotive Systems Inc (a)(b) 34,700 13,880 Hayes Lemmerz International Inc (a)(b) 32,230 147,291 Lear Corp (b) 46,900 1,588,034 Modine Manufacturing Co 36,900 965,304 Superior Industries International (b) 48,800 994,056 Supreme Industries Inc 4,800 32,640 ---------------------- 6,347,219 ---------------------- Auto/Truck Parts & Equipment - Replacement (0.19%) Aftermarket Technology Corp (a) 7,900 170,324 Commercial Vehicle Group Inc (a) 7,000 141,400 Dorman Products Inc (a) 11,900 119,000 Proliance International Inc (a) 15,060 73,041 Standard Motor Products Inc 16,200 256,284 ---------------------- 760,049 ---------------------- B2B - E-Commerce (0.35%) Agile Software Corp (a) 158,600 992,836 Arbinet-thexchange Inc (a)(b) 4,500 27,450 Ariba Inc (a)(b) 24,611 228,882 ePlus Inc (a) 16,600 184,924 ---------------------- 1,434,092 ---------------------- Batteries & Battery Systems (0.50%) EnerSys (a)(b) 94,200 1,531,692 Greatbatch Inc (a)(b) 17,000 499,630 ---------------------- 2,031,322 ---------------------- Brewery (0.02%) Pyramid Breweries Inc (a) 5,050 18,736 Redhook ALE Brewery Inc (a)(b) 8,700 58,812 ---------------------- 77,548 ---------------------- Broadcasting Services & Programming (0.24%) 4Kids Entertainment Inc (a)(b) 11,300 221,141 Gray Television Inc (b) 77,300 691,062 Broadcasting Services & Programming Medialink Worldwide Inc (a)(b) 10,900 71,613 ---------------------- 983,816 ---------------------- Building - Heavy Construction (0.00%) Williams Industries Inc (a) 600 1,320 ---------------------- Building - Maintenance & Service (0.16%) Healthcare Services Group 23,105 668,197 ---------------------- Building - Mobile Home & Manufactured Housing (0.37%) Coachmen Industries Inc 12,800 138,240 Modtech Holdings Inc (a) 2,500 11,675 Monaco Coach Corp (b) 64,200 968,136 National RV Holdings Inc (a) 18,500 78,625 Palm Harbor Homes Inc (a)(b) 8,276 106,843 Skyline Corp (b) 5,000 188,950 ---------------------- 1,492,469 ---------------------- Building - Residential & Commercial (0.57%) Comstock Homebuilding Cos Inc (a)(b) 2,600 16,874 Dominion Homes Inc (a)(b) 7,000 33,530 Levitt Corp 12,300 174,168 M/I Homes Inc (b) 34,725 1,252,878 Orleans Homebuilders Inc (b) 3,700 67,969 Technical Olympic USA Inc (b) 22,600 215,378 WCI Communities Inc (a)(b) 26,300 569,395 ---------------------- 2,330,192 ---------------------- Building & Construction - Miscellaneous (0.00%) Devcon International Corp (a) 400 1,828 ---------------------- Building & Construction Products - Miscellaneous (0.05%) ElkCorp 1,000 43,360 International Aluminum Corp 2,800 146,104 Patrick Industries Inc (a) 2,100 24,633 ---------------------- 214,097 ---------------------- Building Products - Air & Heating (0.27%) Comfort Systems USA Inc 1,100 13,442 Lennox International Inc 35,865 1,088,144 ---------------------- 1,101,586 ---------------------- Building Products - Cement & Aggregate (0.03%) US Concrete Inc (a)(b) 14,000 112,420 ---------------------- Building Products - Light Fixtures (0.00%) Catalina Lighting Inc (a) 600 4,290 ---------------------- Capacitors (0.31%) American Technical Ceramics Corp (a) 2,800 54,992 Kemet Corp (a)(b) 156,900 1,183,026 ---------------------- 1,238,018 ---------------------- Casino Hotels (0.11%) Trump Entertainment Resorts Inc (a)(b) 24,100 428,016 ---------------------- Cellular Telecommunications (0.60%) Boston Communications Group (a)(b) 31,700 89,394 Price Communications Corp 102,100 2,159,415 SunCom Wireless Holdings Inc (a)(b) 152,100 197,730 ---------------------- 2,446,539 ---------------------- Chemicals - Diversified (0.31%) Aceto Corp 54,000 509,220 FMC Corp 9,600 747,360 ---------------------- 1,256,580 ---------------------- Chemicals - Fibers (0.01%) Wellman Inc (b) 12,000 34,200 ---------------------- Chemicals - Other (0.00%) CPAC Inc 2,200 18,678 ---------------------- Chemicals - Plastics (0.70%) PolyOne Corp (a) 73,800 540,954 Schulman A Inc 60,100 1,254,888 Spartech Corp 36,900 1,033,938 ---------------------- 2,829,780 ---------------------- Chemicals - Specialty (2.36%) American Pacific Corp (a) 4,900 45,521 Arch Chemicals Inc 11,900 401,387 Cytec Industries Inc 10,850 631,687 Ferro Corp 33,300 709,623 Minerals Technologies Inc 15,600 905,892 NL Industries (b) 23,700 256,434 OM Group Inc (a) 1,000 48,860 Penford Corp 15,900 284,769 Quaker Chemical Corp 8,400 186,396 Sensient Technologies Corp 98,200 2,423,576 Stepan Co 11,300 361,035 Terra Industries Inc (a)(b) 175,825 2,501,990 Tronox Inc (b) 56,600 816,172 ---------------------- 9,573,342 ---------------------- Circuit Boards (0.04%) Merix Corp (a)(b) 17,400 149,988 ---------------------- Coatings & Paint (0.17%) Valspar Corp 24,175 681,252 ---------------------- Coffee (0.08%) Diedrich Coffee Inc (a) 900 3,582 Farmer Bros Co 15,900 320,226 ---------------------- 323,808 ---------------------- Collectibles (0.25%) Lenox Group Inc (a) 28,400 106,784 RC2 Corp (a)(b) 15,400 608,454 Topps Co Inc/The 30,150 296,676 ---------------------- 1,011,914 ---------------------- Commercial Banks (4.54%) 1st Source Corp 31,989 923,522 AmericanWest Bancorp 7,700 173,327 AmeriServ Financial Inc (a)(b) 24,600 116,604 Bank of Florida Corp (a)(b) 7,000 138,390 Banner Corp (b) 466 19,963 Beverly Hills Bancorp Inc 23,030 180,786 BNCCORP Inc (a) 2,300 31,050 Capital Crossing Bank (a) 1,200 36,000 Centennial Bank Holdings Inc (a)(b) 46,396 411,069 Center Bancorp Inc 613 9,544 Central Bancorp Inc/MA 600 18,780 Commercial Banks Central Pacific Financial Corp 24,100 941,828 Chemical Financial Corp (b) 21,779 649,014 Citizens Banking Corp 21,550 528,191 Community Bank System Inc (b) 30,600 693,396 Community Banks Inc (b) 7,063 179,471 Dearborn Bancorp Inc (a)(b) 4,410 77,484 Financial Institutions Inc 2,600 56,602 First Bank of Delaware (a) 1,240 4,340 First Community Bancorp Inc/CA (b) 18,900 1,007,370 First Financial Corp/IN (b) 9,900 326,601 First Mariner Bancorp Inc (a) 2,400 41,400 First Merchants Corp (b) 19,700 510,033 FNB Financial Services Corp 1,500 21,750 FNB United Corp 1,500 26,010 Gateway Financial Holdings Inc 4,427 63,306 GB&T Bancshares Inc 11,600 246,036 German American Bancorp Inc 6,328 88,022 Irwin Financial Corp 53,100 1,159,173 ITLA Capital Corp 10,100 613,575 Lakeland Bancorp Inc 3,500 51,905 MainSource Financial Group Inc (b) 3,565 60,605 MB Financial Inc 39,916 1,473,699 Northeast Bancorp 900 17,604 Oak Hill Financial Inc 3,998 110,225 Omega Financial Corp (b) 9,900 327,591 Peoples Bancorp Inc/OH 8,300 240,783 Pinnacle Bancshares Inc 200 3,012 Premier Financial Bancorp 700 10,150 PrivateBancorp Inc (b) 11,625 434,659 PSB Bancorp Inc/PA (a) 5,000 81,200 Renasant Corp (b) 8,079 229,363 Republic First Bancorp Inc (a) 225 2,896 Security Bank Corp/GA (b) 3,800 83,334 Simmons First National Corp 25,900 796,166 Southern Community Financial Corp/NC 14,600 155,198 Sterling Financial Corp/WA 29,572 980,903 Sun American Bancorp (a) 500 2,580 Sun Bancorp Inc/NJ (a)(b) 34,550 677,525 Susquehanna Bancshares Inc 42,962 1,084,361 UMB Financial Corp (b) 20,632 754,512 Umpqua Holdings Corp 30,274 861,295 WesBanco Inc (b) 17,900 569,220 Wintrust Financial Corp 3,000 137,370 ---------------------- 18,438,793 ---------------------- Commercial Services (1.14%) Central Parking Corp (b) 66,000 1,314,720 Collectors Universe (b) 5,900 77,880 Intersections Inc (a) 7,000 83,860 Mac-Gray Corp (a)(b) 15,100 191,921 Perceptron Inc (a) 6,900 68,517 PHH Corp (a)(b) 68,100 1,992,606 Source Interlink Cos Inc (a)(b) 73,828 542,636 Startek Inc 1,100 11,286 Team Inc (a)(b) 10,640 363,356 ---------------------- 4,646,782 ---------------------- Commercial Services - Finance (0.02%) Newtek Business Services Inc (a) 22,400 47,488 Rewards Network Inc (a) 4,300 27,993 Commercial Services - Finance Track Data Corp (a) 5,000 16,500 ---------------------- 91,981 ---------------------- Communications Software (0.20%) CallWave Inc (a) 14,100 43,569 Digi International Inc (a) 18,297 227,249 Seachange International Inc (a)(b) 30,700 307,000 Ulticom Inc (a)(b) 28,475 243,461 ---------------------- 821,279 ---------------------- Computer Aided Design (0.00%) MSC.Software Corp (a) 900 14,130 ---------------------- Computer Data Security (0.01%) SCM Microsystems Inc (a) 11,000 35,640 ---------------------- Computer Services (0.35%) Analysts International Corp (a) 38,400 71,424 BISYS Group Inc/The (a) 19,300 246,461 Ciber Inc (a) 57,000 392,160 Computer Horizons Corp (a) 30,600 138,006 Computer Task Group Inc (a) 18,500 86,950 iGate Corp (a) 2,424 16,435 Inforte Corp (a) 8,920 33,718 Pomeroy IT Solutions Inc (a) 10,500 78,960 Technology Solutions Co (a) 1,480 10,774 TechTeam Global Inc (a) 800 8,824 Tier Technologies Inc (a) 7,000 42,350 Tripos Inc (a)(b) 1,800 1,386 Tyler Technologies Inc (a)(b) 19,675 273,482 Xanser Corp (a) 4,800 28,704 ---------------------- 1,429,634 ---------------------- Computer Software (0.10%) Accelrys Inc (a) 2,488 15,799 Blackbaud Inc 11,250 269,662 Phoenix Technologies Ltd (a) 18,200 114,478 ---------------------- 399,939 ---------------------- Computers - Integrated Systems (0.71%) Agilysys Inc 21,665 410,552 Brocade Communications Systems Inc (a)(b) 122,893 1,054,420 Catapult Communications Corp (a) 3,400 30,974 Delphax Technologies Inc (a) 5,800 7,076 Echelon Corp (a)(b) 48,109 359,374 Micros Systems Inc (a) 15,975 899,392 Netscout Systems Inc (a)(b) 11,430 95,441 NYFIX Inc (a)(b) 6,300 37,359 ---------------------- 2,894,588 ---------------------- Computers - Memory Devices (1.20%) Ciprico Inc (a) 6,700 49,580 Dataram Corp 200 898 Dot Hill Systems Corp (a) 42,300 161,586 Hutchinson Technology Inc (a)(b) 20,500 455,510 Imation Corp 61,900 2,693,269 Iomega Corp (a) 44,900 175,110 Overland Storage Inc (a) 12,600 54,180 Quantum Corp (a) 330,900 823,941 Silicon Storage Technology Inc (a) 90,400 450,192 ---------------------- 4,864,266 ---------------------- Computers - Peripheral Equipment (0.08%) Astro-Med Inc 11,500 120,635 Franklin Electronic Publishers Inc (a) 6,000 12,120 InFocus Corp (a) 34,185 91,616 KEY Tronic Corp (a) 7,695 30,780 Printronix Inc 3,300 40,425 Wells-Gardner Electronics Corp (a) 3,100 14,260 ---------------------- 309,836 ---------------------- Computers - Voice Recognition (0.00%) ThinkEngine Networks Inc (a) 1,100 3,465 ---------------------- Consulting Services (0.59%) Analex Corp (a) 5,100 18,513 BearingPoint Inc (a)(b) 133,200 1,066,932 Clark Inc 35,000 578,200 Franklin Covey Co (a) 4,800 33,840 Management Network Group Inc (a)(b) 28,120 44,148 MAXIMUS Inc 13,700 413,055 PDI Inc (a) 25,681 250,390 ---------------------- 2,405,078 ---------------------- Consumer Products - Miscellaneous (1.23%) American Greetings Corp (b) 80,800 1,940,816 Central Garden and Pet Co (a) 17,000 761,430 CSS Industries Inc (b) 21,500 775,505 Prestige Brands Holdings Inc (a)(b) 2,100 26,691 Russ Berrie & Co Inc (a)(b) 37,500 555,000 Scotts Miracle-Gro Co/The 17,275 925,422 ---------------------- 4,984,864 ---------------------- Containers - Paper & Plastic (0.48%) Chesapeake Corp 35,500 623,380 Graphic Packaging Corp (a) 269,600 1,302,168 Mod-Pac Corp (a) 895 9,943 ---------------------- 1,935,491 ---------------------- Crystal & Giftware (0.00%) Enesco Group Inc (a) 3,000 300 ---------------------- Data Processing & Management (0.09%) Pegasystems Inc 37,904 352,128 ---------------------- Decision Support Software (0.00%) GSE Systems Inc (a) 1,280 9,933 ---------------------- Diagnostic Kits (0.01%) Medtox Scientific Inc (a) 1,855 23,076 ---------------------- Direct Marketing (0.01%) Traffix Inc 10,700 59,385 ---------------------- Disposable Medical Products (0.12%) Medical Action Industries Inc (a) 9,074 286,285 Microtek Medical Holdings Inc (a) 48,672 206,856 ---------------------- 493,141 ---------------------- Distribution & Wholesale (0.69%) Advanced Marketing Services (a) 3,300 1,089 Bell Microproducts Inc (a)(b) 51,800 373,996 Brightpoint Inc (a) 23,275 256,258 Handleman Co (b) 39,400 295,500 Distribution & Wholesale Huttig Building Products Inc (a) 17,000 92,990 Industrial Distribution Group Inc (a) 10,000 106,900 Jaco Electronics Inc (a) 1,000 3,250 Strategic Distribution Inc (a) 4,900 48,804 Watsco Inc 16,000 816,320 WESCO International Inc (a) 13,535 821,845 ---------------------- 2,816,952 ---------------------- Diversified Manufacturing Operations (1.38%) Actuant Corp (b) 11,150 555,159 American Biltrite Inc (a) 1,000 9,070 Ameron International Corp 2,563 206,757 AO Smith Corp 200 7,670 AZZ Inc (a)(b) 8,952 358,349 Bairnco Corp 3,100 40,920 Bell Industries Inc (a) 2,900 12,992 EnPro Industries Inc (a)(b) 37,600 1,242,680 Federal Signal Corp (b) 15,500 254,510 GP Strategies Corp (a) 21,300 181,902 Lydall Inc (a) 5,600 74,984 Standex International Corp 6,100 177,754 Teleflex Inc 13,175 879,826 Tredegar Corp 70,300 1,614,791 ---------------------- 5,617,364 ---------------------- Diversified Operations (0.08%) Resource America Inc 3,315 89,008 Walter Industries Inc 7,700 216,986 ---------------------- 305,994 ---------------------- Diversified Operations & Commercial Services (0.09%) Avalon Holdings Corp (a) 4,600 34,730 Viad Corp 7,600 318,744 ---------------------- 353,474 ---------------------- E-Commerce - Services (0.00%) Napster Inc (a) 1,000 4,010 ---------------------- Educational Software (0.05%) PLATO Learning Inc (a)(b) 42,700 216,916 ---------------------- Electric - Integrated (0.16%) Maine & Maritimes Corp 2,700 42,525 Unitil Corp 2,100 53,340 Westar Energy Inc (b) 20,475 543,816 ---------------------- 639,681 ---------------------- Electronic Components - Miscellaneous (0.99%) Benchmark Electronics Inc (a) 47,566 1,077,370 Blonder Tongue Laboratories (a) 1,700 3,111 CTS Corp (b) 66,300 1,027,650 Cubic Corp 8,100 169,290 IntriCon Corp (a) 900 4,500 Methode Electronics Inc 29,869 328,857 OSI Systems Inc (a)(b) 29,200 700,216 Planar Systems Inc (a) 26,900 280,029 Sparton Corp (a) 3,836 31,417 Stoneridge Inc (a)(b) 9,400 96,162 Sypris Solutions Inc 45,293 284,893 ---------------------- 4,003,495 ---------------------- Electronic Components - Semiconductors (2.21%) Actel Corp (a)(b) 45,800 817,988 ALL American Semiconductor (a) 6,800 21,216 Alliance Semiconductor Corp (a) 11,350 49,373 Applied Micro Circuits Corp (a) 808,500 2,781,240 AXT Inc (a) 19,600 93,884 Bookham Inc (a)(b) 76,900 223,010 California Micro Devices Corp (a) 11,500 56,005 Ceva Inc (a)(b) 14,000 101,220 ESS Technology (a)(b) 71,500 79,365 Ibis Technology Corp (a)(b) 8,400 12,180 Integrated Silicon Solution Inc (a) 75,800 458,590 IXYS Corp (a) 20,200 182,002 Lattice Semiconductor Corp (a)(b) 285,700 1,674,202 Microsemi Corp (a) 19,850 361,270 Richardson Electronics Ltd 25,600 228,864 Skyworks Solutions Inc (a)(b) 155,011 1,018,422 White Electronic Designs Corp (a) 44,000 255,640 Zilog Inc (a) 9,057 40,304 Zoran Corp (a) 37,292 520,969 ---------------------- 8,975,744 ---------------------- Electronic Connectors (0.02%) Innovex Inc/MN (a) 34,600 70,238 ---------------------- Electronic Measurement Instruments (0.20%) Aehr Test Systems (a) 182 1,068 Analogic Corp 6,289 369,290 Axsys Technologies Inc (a) 8,800 146,784 Cyberoptics Corp (a) 7,100 96,063 LeCroy Corp (a)(b) 10,857 101,513 Zygo Corp (a)(b) 7,200 110,520 ---------------------- 825,238 ---------------------- Electronic Parts Distribution (0.04%) NU Horizons Electronics Corp (a) 15,500 156,705 ---------------------- Electronic Security Devices (0.03%) Compudyne Corp (a) 15,700 122,774 Vicon Industries Inc (a) 2,200 7,964 ---------------------- 130,738 ---------------------- Electronics - Military (0.00%) Merrimac Industries Inc (a) 800 7,520 ---------------------- E-Marketing & Information (0.05%) Netratings Inc (a) 11,800 214,170 ---------------------- Energy - Alternate Sources (0.06%) Headwaters Inc (a)(b) 8,500 193,120 Quantum Fuel Systems Technologies World (a)(b) 36,055 53,722 ---------------------- 246,842 ---------------------- Engineering - Research & Development Services (0.03%) National Technical SYS Inc (a) 5,700 34,257 Servidyne Inc 500 2,150 Shaw Group Inc/The (a)(b) 3,084 104,116 ---------------------- 140,523 ---------------------- Engines - Internal Combustion (0.14%) Briggs & Stratton Corp (b) 19,175 568,347 ---------------------- Enterprise Software & Services (0.44%) JDA Software Group Inc (a)(b) 25,971 415,536 Lawson Software Inc (a)(b) 87,500 657,125 Neoware Inc (a)(b) 3,200 37,792 Pervasive Software Inc (a) 41,400 151,938 SYNNEX Corp (a)(b) 28,200 541,440 ---------------------- 1,803,831 ---------------------- Environmental Consulting & Engineering (0.04%) TRC Cos Inc (a)(b) 16,000 165,120 ---------------------- E-Services - Consulting (0.02%) Keynote Systems Inc (a) 6,850 80,967 ---------------------- Fiduciary Banks (0.17%) Boston Private Financial Holdings Inc 23,300 673,836 ---------------------- Filtration & Separation Products (0.00%) Mfri Inc (a) 93 1,776 ---------------------- Finance - Auto Loans (0.01%) Consumer Portfolio Services (a) 3,165 23,168 First Investors Financial Services (a) 800 5,760 ---------------------- 28,928 ---------------------- Finance - Consumer Loans (0.05%) Firstcity Financial Corp (a) 8,580 93,522 Ocwen Financial Corp (a)(b) 7,400 104,192 ---------------------- 197,714 ---------------------- Finance - Credit Card (0.27%) Advanta Corp - A Shares 4,797 206,367 Advanta Corp - B Shares 8,255 383,115 CompuCredit Corp (a)(b) 13,775 487,497 ---------------------- 1,076,979 ---------------------- Finance - Investment Banker & Broker (1.72%) Cowen Group Inc (a) 1,700 35,317 Friedman Billings Ramsey Group Inc (b) 73,450 577,317 Knight Capital Group Inc (a)(b) 133,900 2,419,573 LaBranche & Co Inc (a)(b) 28,800 270,144 Piper Jaffray Cos (a)(b) 37,800 2,605,932 Raymond James Financial Inc 33,088 1,056,169 ---------------------- 6,964,452 ---------------------- Finance - Leasing Company (0.18%) California First National Bancorp 1,100 15,400 Financial Federal Corp 20,975 599,885 Marlin Business Services Corp (a)(b) 4,600 107,778 MicroFinancial Inc 5,975 23,004 ---------------------- 746,067 ---------------------- Finance - Mortgage Loan/Banker (0.12%) Accredited Home Lenders Holding Co (a)(b) 1,600 44,432 Delta Financial Corp (b) 18,200 198,744 Federal Agricultural Mortgage Corp 7,600 211,052 Franklin Credit Management Corp (a)(b) 5,500 27,995 ---------------------- 482,223 ---------------------- Finance - Other Services (0.02%) eSpeed Inc (a) 11,900 95,200 ---------------------- Financial Guarantee Insurance (0.33%) Triad Guaranty Inc (a)(b) 26,200 1,349,300 ---------------------- Fisheries (0.04%) Zapata Corp (a) 22,800 164,388 ---------------------- Food - Baking (0.01%) Tasty Baking Co 2,300 21,275 ---------------------- Food - Meat Products (0.02%) Premium Standard Farms Inc (b) 3,500 66,570 ---------------------- Food - Miscellaneous/Diversified (1.34%) American Italian Pasta Co (a)(b) 33,550 345,565 Cal-Maine Foods Inc 18,600 211,668 Chiquita Brands International Inc (b) 74,500 1,182,315 Corn Products International Inc 10,250 351,063 Golden Enterprises Inc 700 2,177 Hain Celestial Group Inc (a)(b) 65,873 1,936,666 John B Sanfilippo & Son (a)(b) 20,676 282,641 M&F Worldwide Corp (a) 15,500 528,550 Monterey Gourmet Foods Inc (a) 13,100 56,068 Ralcorp Holdings Inc (a) 9,825 543,715 ---------------------- 5,440,428 ---------------------- Food - Retail (0.17%) Ingles Markets Inc 3,680 134,761 Ruddick Corp 100 2,780 Weis Markets Inc (b) 12,353 534,638 ---------------------- 672,179 ---------------------- Food - Wholesale & Distribution (0.35%) Nash Finch Co (b) 10,400 300,352 Performance Food Group Co (a)(b) 38,000 1,127,080 ---------------------- 1,427,432 ---------------------- Footwear & Related Apparel (0.15%) Lacrosse Footwear Inc (a) 1,200 16,440 Phoenix Footwear Group Inc (a)(b) 20,000 107,000 Rocky Brands Inc (a)(b) 2,900 44,921 Stride Rite Corp 25,500 440,130 Vulcan International Corp 200 11,720 ---------------------- 620,211 ---------------------- Funeral Services & Related Items (0.38%) Carriage Services Inc (a)(b) 32,300 174,420 Stewart Enterprises Inc 190,600 1,355,166 ---------------------- 1,529,586 ---------------------- Gambling (Non-Hotel) (0.03%) Lakes Entertainment Inc (a)(b) 15,800 135,248 ---------------------- Gas - Distribution (0.59%) New Jersey Resources Corp 11,100 517,260 Northwest Natural Gas Co 12,425 505,573 South Jersey Industries Inc (b) 25,300 835,912 Vectren Corp 19,350 544,122 ---------------------- 2,402,867 ---------------------- Golf (0.10%) Callaway Golf Co (b) 23,900 394,828 ---------------------- Health Care Cost Containment (0.04%) Hooper Holmes Inc 48,100 162,097 Prospect Medical Holdings Inc (a) 1,200 7,044 ---------------------- 169,141 ---------------------- Healthcare Safety Device (0.05%) Cardiac Science Corp (a) 23,000 211,140 ---------------------- Home Furnishings (1.01%) Bassett Furniture Industries Inc 7,700 121,968 Chromcraft Revington Inc (a) 2,500 20,225 Flexsteel Industries 2,364 33,025 Furniture Brands International Inc (b) 96,500 1,608,655 Kimball International Inc 44,800 1,103,872 La-Z-Boy Inc (b) 94,600 1,218,448 Rowe Cos/The (a)(c) 6,200 62 ---------------------- 4,106,255 ---------------------- Hotels & Motels (0.41%) Interstate Hotels & Resorts Inc (a) 26,900 197,984 Lodgian Inc (a)(b) 21,900 288,861 Marcus Corp 31,764 759,477 Red Lion Hotels Corp (a) 33,800 406,614 ---------------------- 1,652,936 ---------------------- Housewares (0.21%) Libbey Inc (b) 11,750 139,825 National Presto Industries Inc (b) 11,500 722,200 ---------------------- 862,025 ---------------------- Human Resources (1.59%) Ablest Inc (a) 3,500 25,690 CDI Corp (b) 12,800 332,288 Cross Country Healthcare Inc (a)(b) 29,356 662,271 Edgewater Technology Inc (a) 11,900 75,208 Kelly Services Inc (b) 29,329 909,492 Medical Staffing Network Holdings Inc (a) 48,300 320,712 MPS Group Inc (a)(b) 188,100 2,817,738 On Assignment Inc (a)(b) 13,950 180,095 RCM Technologies Inc (a) 9,300 63,054 Spherion Corp (a) 127,400 1,048,502 Westaff Inc (a)(b) 6,500 32,435 ---------------------- 6,467,485 ---------------------- Identification Systems - Development (0.53%) L-1 Identity Solutions Inc (a)(b) 33,000 476,520 Paxar Corp (a)(b) 75,500 1,659,490 ---------------------- 2,136,010 ---------------------- Industrial Audio & Video Products (0.02%) Ballantyne of Omaha Inc (a) 10,600 52,788 Rockford Corp/Arizona (a)(b) 3,600 8,892 ---------------------- 61,680 ---------------------- Industrial Automation & Robots (0.22%) Nordson Corp 17,325 896,049 ---------------------- Instruments - Controls (0.08%) Frequency Electronics Inc (b) 10,900 130,909 Spectrum Control Inc (a) 15,900 191,118 Technology Research Corp 1,900 9,386 ---------------------- 331,413 ---------------------- Instruments - Scientific (0.04%) Meade Instruments Corp (a) 42,366 116,930 OI Corp 1,700 18,037 Winland Electronics Inc (a) 1,800 6,786 ---------------------- 141,753 ---------------------- Insurance Brokers (0.08%) Hilb Rogal & Hobbs Co (b) 7,925 334,831 ---------------------- Internet Application Software (0.81%) @Road Inc (a)(b) 46,247 343,153 Interwoven Inc (a)(b) 94,900 1,489,930 RealNetworks Inc (a) 7,303 77,923 S1 Corp (a)(b) 67,710 389,332 Vignette Corp (a)(b) 55,850 1,000,832 ---------------------- 3,301,170 ---------------------- Internet Connectivity Services (0.10%) PC-Tel Inc (a) 43,627 412,275 ---------------------- Internet Content - Entertainment (0.03%) Alloy Inc (a) 9,850 116,920 ---------------------- Internet Content - Information & News (0.56%) Autobytel Inc (a)(b) 103,540 384,134 Harris Interactive Inc (a) 179,400 934,674 Infospace Inc (a)(b) 27,300 634,452 Looksmart (a) 15,020 72,246 ProQuest Co (a)(b) 23,300 258,630 ---------------------- 2,284,136 ---------------------- Internet Financial Services (0.01%) Insweb Corp (a) 1,000 3,170 Netbank Inc 6,800 25,636 ---------------------- 28,806 ---------------------- Internet Incubators (0.13%) Internet Capital Group Inc (a)(b) 30,600 340,578 Safeguard Scientifics Inc (a) 70,800 186,912 ---------------------- 527,490 ---------------------- Internet Infrastructure Software (0.11%) Openwave Systems Inc (a)(b) 15,100 133,182 Quovadx Inc (a) 21,500 57,190 SupportSoft Inc (a) 32,400 220,320 TeleCommunication Systems Inc (a)(b) 8,300 31,623 ---------------------- 442,315 ---------------------- Internet Security (0.17%) ActivIdentity Corp (a) 35,514 182,897 Secure Computing Corp (a)(b) 9,700 64,602 SonicWALL Inc (a) 53,000 446,790 ---------------------- 694,289 ---------------------- Intimate Apparel (0.29%) Warnaco Group Inc/The (a)(b) 41,088 1,162,380 ---------------------- Investment Companies (0.57%) Hercules Technology Growth Capital Inc (b) 12,600 178,794 MCG Capital Corp 86,903 1,718,072 Medallion Financial Corp 35,900 405,311 ---------------------- 2,302,177 ---------------------- Investment Management & Advisory Services (0.33%) Affiliated Managers Group Inc (a)(b) 11,900 1,325,660 ---------------------- Lasers - Systems & Components (0.52%) Coherent Inc (a)(b) 27,500 845,625 Electro Scientific Industries Inc (a)(b) 26,216 550,274 Newport Corp (a)(b) 36,235 723,250 ---------------------- 2,119,149 ---------------------- Leisure & Recreation Products (0.42%) Brunswick Corp 9,750 332,573 Johnson Outdoors Inc (a) 6,500 120,315 K2 Inc (a) 86,200 1,041,296 Multimedia Games Inc (a)(b) 18,300 189,771 ---------------------- 1,683,955 ---------------------- Life & Health Insurance (2.07%) American Equity Investment Life Holding Co (b) 91,100 1,166,991 Delphi Financial Group 12,600 496,944 FBL Financial Group Inc 42,900 1,664,949 Great American Financial Resources Inc 35,100 777,114 Independence Holding Co 6,000 135,900 KMG America Corp (a) 18,550 171,588 Penn Treaty American Corp (a) 20,525 167,894 Phoenix Cos Inc/The 175,600 2,639,268 Presidential Life Corp (b) 53,596 1,164,641 ---------------------- 8,385,289 ---------------------- Linen Supply & Related Items (0.29%) Angelica Corp 6,950 186,330 G&K Services Inc (b) 17,200 641,388 Unifirst Corp/MA (b) 8,100 336,393 ---------------------- 1,164,111 ---------------------- Machinery - Electrical (0.12%) Regal-Beloit Corp 9,700 488,104 ---------------------- Machinery - Farm (0.12%) Alamo Group Inc 9,800 236,964 Gehl Co (a)(b) 9,500 254,125 ---------------------- 491,089 ---------------------- Machinery - General Industry (0.66%) Applied Industrial Technologies Inc 50,175 1,229,287 IDEX Corp 14,000 726,600 Kadant Inc (a)(b) 25,600 700,160 TB Wood's Corp 792 14,256 ---------------------- 2,670,303 ---------------------- Machinery - Material Handling (0.01%) Key Technology Inc (a) 2,700 39,690 ---------------------- Machinery - Pumps (0.11%) Tecumseh Products Co (a)(b) 24,200 433,422 ---------------------- Machinery - Thermal Processing (0.00%) Global Power Equipment Group Inc/ (a)(b) 7,895 9,079 ---------------------- Machinery Tools & Related Products (0.02%) Hardinge Inc 6,700 98,490 ---------------------- Medical - Biomedical/Gene (0.32%) Applera Corp - Celera Group (a) 2,400 38,064 Avigen Inc (a) 8,632 49,893 CuraGen Corp (a)(b) 10,200 45,084 Enzon Pharmaceuticals Inc (a)(b) 6,000 53,520 Gene Logic Inc (a) 48,833 80,574 Harvard Bioscience Inc (a) 47,800 253,340 Immunogen Inc (a)(b) 1,000 4,690 Martek Biosciences Corp (a)(b) 14,100 328,671 Maxygen Inc (a)(b) 19,119 217,192 Nanogen Inc (a)(b) 38,700 68,499 Neose Technologies Inc (a)(b) 47,700 104,463 Orchid Cellmark Inc (a) 5,600 21,112 Praecis Pharmaceuticals Inc (a) 9,200 45,816 ---------------------- 1,310,918 ---------------------- Medical - Drugs (0.11%) Bradley Pharmaceuticals Inc (a)(b) 12,500 251,375 Infinity Pharmaceuticals Inc (a) 13,900 202,523 ---------------------- 453,898 ---------------------- Medical - Generic Drugs (0.34%) Alpharma Inc (b) 50,100 1,380,255 ---------------------- Medical - Hospitals (0.11%) Medcath Corp (a)(b) 13,665 391,366 Symbion Inc (a) 3,300 61,710 ---------------------- 453,076 ---------------------- Medical - Nursing Homes (0.78%) Genesis HealthCare Corp (a)(b) 36,300 2,222,286 Kindred Healthcare Inc (a) 33,100 949,970 ---------------------- 3,172,256 ---------------------- Medical - Outpatient & Home Medical Care (0.38%) Allied Healthcare International Inc (a) 46,810 140,430 Amedisys Inc (a) 10,000 323,200 American Shared Hospital Services 800 5,200 Gentiva Health Services Inc (a) 19,000 376,200 LHC Group Inc (a)(b) 21,600 562,248 National Home Health Care Corp 1,200 14,028 Pediatric Services of America Inc (a) 8,100 104,652 Res-Care Inc (a) 1,200 20,844 ---------------------- 1,546,802 ---------------------- Medical Imaging Systems (0.01%) E-Z-Em-Inc (a) 2,000 35,640 ---------------------- Medical Information Systems (0.03%) AMICAS Inc (a) 43,300 132,498 ---------------------- Medical Instruments (0.28%) Angiodynamics Inc (a) 6,354 167,750 Bruker BioSciences Corp (a)(b) 23,414 174,434 Conmed Corp (a)(b) 21,900 529,980 Datascope Corp 5,654 208,859 New Brunswick Scientific Inc (a) 1,800 14,472 OccuLogix Inc (a)(b) 6,600 12,210 Orthologic Corp (a) 22,475 31,690 ---------------------- 1,139,395 ---------------------- Medical Products (0.32%) ATS Medical Inc (a)(b) 25,000 54,000 Medical Products Caliper Life Sciences Inc (a) 23,000 138,000 Cantel Medical Corp (a)(b) 12,100 196,504 Hanger Orthopedic Group Inc (a) 6,100 54,595 HealthTronics Inc (a)(b) 32,200 207,690 Kewaunee Scientific Corp 700 6,846 Langer Inc (a) 2,100 8,400 Misonix Inc (a) 15,200 79,800 North American Scientific Inc (a) 1,300 1,352 Osteotech Inc (a) 30,900 169,332 Sonic Innovations Inc (a) 10,000 60,400 Span-America Medical Systems Inc 1,400 23,786 SRI/Surgical Express Inc (a) 4,400 26,400 Synovis Life Technologies Inc (a)(b) 21,100 260,585 ---------------------- 1,287,690 ---------------------- Metal - Iron (0.35%) Cleveland-Cliffs Inc 14,325 783,004 Gibraltar Industries Inc (b) 26,109 640,454 ---------------------- 1,423,458 ---------------------- Metal Processors & Fabrication (0.73%) Ampco-Pittsburgh Corp 300 8,949 CIRCOR International Inc 28,200 1,017,738 Intermet Corp (a)(c)(d) 100 - NN INC 15,000 191,550 Quanex Corp (b) 14,000 548,660 Wolverine Tube Inc (a)(b) 9,500 7,885 Worthington Industries Inc (b) 61,300 1,175,734 ---------------------- 2,950,516 ---------------------- Metal Products - Distribution (0.01%) AM Castle & Co (b) 1,900 47,500 ---------------------- Metal Products - Fasteners (0.00%) Chicago Rivet & Machine Co 300 6,684 Eastern Co/The 600 12,066 ---------------------- 18,750 ---------------------- Motion Pictures & Services (0.01%) Image Entertainment Inc (a) 14,700 52,038 ---------------------- MRI - Medical Diagnostic Imaging (0.00%) RadNet Inc (a) 1,700 10,200 ---------------------- Multi-Line Insurance (1.47%) Alfa Corp 45,642 860,808 Atlantic American Corp (a) 7,500 25,050 Citizens Inc/TX (a)(b) 20,442 147,183 Direct General Corp 43,200 898,560 HCC Insurance Holdings Inc 28,340 884,208 Horace Mann Educators Corp 80,800 1,602,264 National Security Group Inc 300 5,079 United Fire & Casualty Co (b) 45,759 1,548,942 Vesta Insurance Group Inc (a) 2,000 3 ---------------------- 5,972,097 ---------------------- Multimedia (0.43%) Entravision Communications Corp (a)(b) 109,600 876,800 Journal Communications Inc 4,000 53,880 Media General Inc 18,300 732,183 Multimedia Triple Crown Media Inc (a) 7,730 85,030 ---------------------- 1,747,893 ---------------------- Music (0.03%) Steinway Musical Instruments (a) 3,600 125,892 ---------------------- Networking Products (1.60%) 3Com Corp (a)(b) 698,000 2,722,200 Adaptec Inc (a) 104,900 377,640 Aeroflex Inc (a)(b) 58,134 695,283 Avici Systems Inc (a) 8,300 57,602 Black Box Corp (b) 30,300 1,244,724 Performance Technologies Inc (a) 16,050 95,979 SafeNet Inc (a)(b) 44,000 1,100,440 Stratos International Inc (a) 13,900 100,636 Zhone Technologies Inc (a)(b) 97,700 115,286 ---------------------- 6,509,790 ---------------------- Non-Ferrous Metals (0.26%) USEC Inc 76,400 1,035,984 ---------------------- Non-Hazardous Waste Disposal (0.31%) Waste Connections Inc (a) 27,600 1,202,532 Waste Industries USA Inc 2,098 62,038 ---------------------- 1,264,570 ---------------------- Office Automation & Equipment (0.36%) IKON Office Solutions Inc 97,240 1,448,876 TRM Corp (a) 4,000 11,880 ---------------------- 1,460,756 ---------------------- Office Furnishings - Original (0.20%) HNI Corp (b) 16,625 806,978 ---------------------- Office Supplies & Forms (0.08%) Ennis Inc 11,700 294,723 Nashua Corp (a) 4,100 31,119 ---------------------- 325,842 ---------------------- Oil - Field Services (1.74%) Hanover Compressor Co (a)(b) 61,495 1,189,928 Hornbeck Offshore Services Inc (a) 8,750 240,800 Infinity Energy Resources Inc (a) 2,495 8,957 Newpark Resources (a)(b) 52,700 333,064 Oil States International Inc (a)(b) 15,275 440,226 Trico Marine Services Inc (a)(b) 12,200 396,866 Universal Compression Holdings Inc (a) 73,895 4,466,214 ---------------------- 7,076,055 ---------------------- Oil & Gas Drilling (0.05%) Pioneer Drilling Co (a)(b) 15,500 196,385 ---------------------- Oil Company - Exploration & Production (2.38%) Arena Resources Inc (a)(b) 17,905 762,932 Bois d'Arc Energy Inc (a)(b) 17,400 267,264 Bringham Exploration Co. (a)(b) 43,100 265,065 Callon Petroleum Co (a)(b) 24,300 337,284 Comstock Resources Inc (a) 30,200 964,890 Edge Petroleum Corp (a)(b) 9,900 146,619 Encore Acquisition Co (a)(b) 33,000 856,350 Gulfport Energy Corp (a)(b) 22,670 270,906 Harvest Natural Resources Inc (a)(b) 29,100 292,746 Oil Company - Exploration & Production Mariner Energy Inc (a)(b) 39,300 790,323 Meridian Resource Corp (a) 76,400 212,392 PetroHawk Energy Corp (a)(b) 46,018 531,048 Petroleum Development Corp (a)(b) 7,200 368,856 Rosetta Resources Inc (a)(b) 35,175 661,642 Stone Energy Corp (a) 21,800 740,982 Swift Energy Co (a)(b) 24,300 1,077,462 Whiting Petroleum Corp (a) 24,400 1,111,908 ---------------------- 9,658,669 ---------------------- Optical Recognition Equipment (0.04%) Digimarc Corp (a) 18,100 172,312 ---------------------- Paper & Related Products (1.20%) Bowater Inc (b) 26,700 730,779 Buckeye Technologies Inc (a) 30,100 360,297 Caraustar Industries Inc (a) 44,400 353,424 Glatfelter (b) 79,800 1,291,962 Pope & Talbot Inc (a)(b) 13,200 92,532 Rock-Tenn Co 24,600 804,912 Schweitzer-Mauduit International Inc 26,700 648,543 Wausau Paper Corp 40,900 582,416 ---------------------- 4,864,865 ---------------------- Pharmacy Services (0.04%) BioScrip Inc (a) 44,600 142,274 Curative Health Services Inc (a)(c)(d) 4,500 - Standard Management Corp (a) 1,700 136 ---------------------- 142,410 ---------------------- Photo Equipment & Supplies (0.00%) Concord Camera Corp (a) 1,442 6,994 ---------------------- Physical Therapy & Rehabilitation Centers (0.02%) RehabCare Group Inc (a)(b) 6,300 95,634 ---------------------- Physician Practice Management (0.34%) American Dental Partners Inc (a) 2,800 59,500 I-Trax Inc (a)(b) 23,300 86,210 OCA Inc (a)(b)(c)(d) 1,600 - Pediatrix Medical Group Inc (a) 23,700 1,245,198 ---------------------- 1,390,908 ---------------------- Pollution Control (0.00%) Catalytica Energy Systems Inc (a) 3,300 5,379 ---------------------- Poultry (0.11%) Sanderson Farms Inc 13,800 436,356 ---------------------- Power Converter & Supply Equipment (0.10%) C&D Technologies Inc (b) 49,600 267,840 Espey Manufacturing & Electronics Corp 1,400 25,620 Magnetek Inc (a) 23,600 123,192 ---------------------- 416,652 ---------------------- Printing - Commercial (0.05%) Bowne & Co Inc 1,800 27,072 Champion Industries Inc/WV 18,958 160,006 Tufco Technologies Inc (a) 1,300 9,737 ---------------------- 196,815 ---------------------- Private Corrections (0.04%) Cornell Cos Inc (a) 7,700 146,146 ---------------------- Property & Casualty Insurance (5.09%) 21st Century Insurance Group (b) 68,000 1,444,320 Affirmative Insurance Holdings Inc 3,900 67,665 American Physicians Capital Inc (a) 16,050 621,135 Argonaut Group Inc (a) 54,800 1,837,992 Baldwin & Lyons Inc (b) 33,400 872,408 Bancinsurance Corp (a) 600 3,660 Bristol West Holdings Inc (b) 11,600 192,212 CNA Surety Corp (a) 38,100 809,625 Donegal Group Inc 28,088 532,829 EMC Insurance Group Inc (b) 11,939 401,509 Fpic Insurance Group Inc (a)(b) 18,100 794,409 Harleysville Group Inc 49,321 1,676,914 Infinity Property & Casualty Corp (b) 37,300 1,784,432 Investors Title Co 700 37,604 LandAmerica Financial Group Inc (b) 32,700 2,062,062 Meadowbrook Insurance Group Inc (a) 81,800 821,272 Mercer Insurance Group Inc 5,400 98,280 Merchants Group Inc 1,500 49,245 Midland Co/The 19,900 915,002 Navigators Group Inc (a) 15,600 745,524 NYMAGIC Inc 8,700 354,351 Ohio Casualty Corp 1 30 PMA Capital Corp (a) 57,100 534,456 ProAssurance Corp (a) 1,400 71,106 Procentury Corp 11,000 216,150 RLI Corp (b) 1,900 105,146 RTW Inc (a) 18,600 171,864 SCPIE Holdings Inc (a) 9,300 243,474 Selective Insurance Group (b) 19,400 998,130 State Auto Financial Corp (b) 20,100 646,818 Stewart Information Services Corp (b) 31,200 1,311,648 Unico American Corp (a) 15,500 202,740 United America Indemnity Ltd (a) 2,404 57,984 ---------------------- 20,681,996 ---------------------- Protection - Safety (0.02%) Integrated Alarm Services Group Inc (a)(b) 19,000 66,500 Mace Security International Inc (a) 11,900 32,249 ---------------------- 98,749 ---------------------- Publicly Traded Investment Fund (0.52%) iShares Russell 2000 Value Index Fund (b) 25,800 2,094,960 ---------------------- Publishing - Books (0.45%) Scholastic Corp (a) 52,000 1,838,200 ---------------------- Racetracks (0.06%) Churchill Downs Inc 2,100 87,759 Dover Motorsports Inc 30,700 166,394 ---------------------- 254,153 ---------------------- Radio (1.36%) Beasley Broadcasting Group Inc 6,250 59,313 Citadel Broadcasting Corp 167,500 1,778,850 Cox Radio Inc (a) 28,900 452,574 Cumulus Media Inc (a)(b) 107,383 1,110,340 Emmis Communications Corp (b) 25,200 217,728 Radio Entercom Communications Corp 32,800 924,632 Radio One Inc - Class D (a)(b) 91,880 675,318 Regent Communications Inc (a) 8,500 26,095 Saga Communications Inc (a) 12,200 112,850 Salem Communications Corp (b) 3,300 40,491 Spanish Broadcasting System (a) 31,048 126,055 ---------------------- 5,524,246 ---------------------- Real Estate Magagement & Services (0.02%) United Capital Corp (a) 1,900 60,515 ZipRealty Inc (a)(b) 1,200 8,940 ---------------------- 69,455 ---------------------- Real Estate Operator & Developer (0.09%) Avatar Holdings Inc (a)(b) 1,700 137,156 California Coastal Communities Inc (a)(b) 10,800 217,404 Stratus Properties Inc (a) 600 20,418 ---------------------- 374,978 ---------------------- Recreational Centers (0.02%) Bally Total Fitness Holding Corp (a)(b) 35,000 69,300 ---------------------- Recreational Vehicles (0.03%) Arctic Cat Inc 6,100 112,545 ---------------------- Recycling (0.06%) Metal Management Inc 6,100 250,344 ---------------------- REITS - Diversified (0.55%) Longview Fibre Co 70,063 1,469,922 Potlatch Corp (b) 16,426 775,471 ---------------------- 2,245,393 ---------------------- REITS - Hotels (0.15%) Ashford Hospitality Trust Inc 24,925 306,827 Highland Hospitality Corp (b) 19,025 302,117 ---------------------- 608,944 ---------------------- REITS - Mortgage (0.54%) Alesco Financial Inc 38,825 439,887 JER Investors Trust Inc 17,475 357,888 MFA Mortgage Investments Inc 81,475 606,174 Redwood Trust Inc (b) 12,550 797,678 ---------------------- 2,201,627 ---------------------- Rental - Auto & Equipment (1.00%) Aaron Rents Inc (b) 34,250 1,011,060 Dollar Thrifty Automotive Group (a)(b) 46,000 2,167,980 Electro Rent Corp (a) 19,800 310,266 Mcgrath Rentcorp 19,075 584,267 ---------------------- 4,073,573 ---------------------- Research & Development (0.24%) Albany Molecular Research Inc (a)(b) 67,600 688,168 PharmaNet Development Group Inc (a)(b) 14,500 287,825 ---------------------- 975,993 ---------------------- Resorts & Theme Parks (0.50%) Bluegreen Corp (a)(b) 33,200 434,256 Great Wolf Resorts Inc (a)(b) 14,100 199,092 ILX Resorts Inc 8,000 75,920 Silverleaf Resorts Inc (a) 31,120 134,127 Six Flags Inc (a)(b) 170,300 979,225 Resorts & Theme Parks Sunterra Corp (a)(b) 17,594 219,925 ---------------------- 2,042,545 ---------------------- Respiratory Products (0.01%) Allied Healthcare Products (a) 6,400 32,960 ---------------------- Retail - Apparel & Shoe (0.93%) Charming Shoppes Inc (a)(b) 106,582 1,398,356 Finish Line (b) 34,300 438,011 Men's Wearhouse Inc 15,375 660,202 Shoe Carnival Inc (a)(b) 413 13,146 Stage Stores Inc 33,875 1,087,049 Syms Corp (a)(b) 6,300 116,676 Wilsons The Leather Experts (a) 28,200 52,452 ---------------------- 3,765,892 ---------------------- Retail - Arts & Crafts (0.04%) AC Moore Arts & Crafts Inc (a)(b) 8,148 164,753 ---------------------- Retail - Auto Parts (0.38%) Coast Distribution System/CA 2,900 24,940 PEP Boys-Manny Moe & Jack (b) 100,100 1,532,531 ---------------------- 1,557,471 ---------------------- Retail - Automobile (1.48%) America's Car-Mart Inc (a)(b) 4,900 51,009 Asbury Automotive Group Inc 27,700 677,542 Group 1 Automotive Inc (b) 18,400 975,200 Lithia Motors Inc 27,600 793,224 Rush Enterprises Inc (a)(b) 18,200 333,424 Sonic Automotive Inc (b) 53,900 1,689,765 United Auto Group Inc (b) 61,320 1,469,840 ---------------------- 5,990,004 ---------------------- Retail - Bookstore (0.21%) Borders Group Inc (b) 39,700 832,906 ---------------------- Retail - Computer Equipment (0.47%) GTSI Corp (a)(b) 7,478 69,471 Insight Enterprises Inc (a) 55,159 1,121,382 PC Connection Inc (a)(b) 44,300 723,419 ---------------------- 1,914,272 ---------------------- Retail - Consumer Electronics (0.01%) Rex Stores Corp (a) 400 6,592 Tweeter Home Entertainment Group Inc (a)(b) 16,350 22,727 ---------------------- 29,319 ---------------------- Retail - Discount (1.27%) 99 Cents Only Stores (a)(b) 54,300 806,355 Big Lots Inc (a)(b) 140,100 3,632,793 Duckwall-ALCO Stores Inc (a)(b) 6,900 243,777 Fred's Inc (b) 34,000 457,300 ---------------------- 5,140,225 ---------------------- Retail - Fabric Store (0.27%) Hancock Fabrics Inc /DE (a)(b) 13,500 54,000 Jo-Ann Stores Inc (a)(b) 41,500 1,049,120 ---------------------- 1,103,120 ---------------------- Retail - Hair Salons (0.18%) Regis Corp 17,320 723,803 ---------------------- Retail - Home Furnishings (0.18%) Bombay Co Inc/The (a)(b) 8,100 8,991 Cost Plus Inc (a)(b) 12,100 124,630 Haverty Furniture Cos Inc 15,600 238,836 Kirkland's Inc (a) 3,898 20,270 Pier 1 Imports Inc (b) 49,900 337,823 ---------------------- 730,550 ---------------------- Retail - Hypermarkets (0.05%) Smart & Final Inc (a) 11,907 220,756 ---------------------- Retail - Jewelry (0.33%) Finlay Enterprises Inc (a)(b) 16,200 147,420 Lazare Kaplan International Inc (a)(b) 12,200 120,170 Movado Group Inc 4,300 123,410 Zale Corp (a)(b) 34,700 954,944 ---------------------- 1,345,944 ---------------------- Retail - Leisure Products (0.25%) MarineMax Inc (a)(b) 14,600 352,736 West Marine Inc (a)(b) 37,600 654,992 ---------------------- 1,007,728 ---------------------- Retail - Mail Order (0.10%) Blair Corp (b) 2,714 113,879 Sharper Image Corp (a)(b) 28,300 275,076 ---------------------- 388,955 ---------------------- Retail - Miscellaneous/Diversified (0.03%) Hastings Entertainment Inc (a) 1,300 7,670 Pricesmart Inc 8,351 131,027 ---------------------- 138,697 ---------------------- Retail - Music Store (0.22%) Guitar Center Inc (a)(b) 19,500 892,125 Trans World Entertainment (a)(b) 1,700 9,520 ---------------------- 901,645 ---------------------- Retail - Office Supplies (0.18%) School Specialty Inc (a)(b) 18,515 721,159 ---------------------- Retail - Pawn Shops (0.13%) First Cash Financial Services Inc (a)(b) 22,475 527,713 ---------------------- Retail - Regional Department Store (0.07%) Bon-Ton Stores Inc/The (b) 554 20,221 Gottschalks Inc (a) 23,300 255,368 ---------------------- 275,589 ---------------------- Retail - Restaurants (1.16%) AFC Enterprises (a) 12,650 212,014 Bob Evans Farms Inc 72,500 2,462,825 Buca Inc (a)(b) 14,486 82,136 Champps Entertainment Inc (a) 8,575 53,336 Frisch's Restaurants Inc 800 23,600 J Alexander's Corp 4,900 43,365 Landry's Restaurants Inc 4,900 146,755 Luby's Inc (a) 3,300 35,739 O'Charleys Inc (a) 19,100 405,684 Smith & Wollensky Restaurant Group Inc (a)(b) 16,900 125,905 Sonic Corp (a)(b) 7,875 174,904 Steak N Shake Co/The (a)(b) 16,600 292,824 Retail - Restaurants Triarc Cos Inc 33,775 660,301 ---------------------- 4,719,388 ---------------------- Retail - Sporting Goods (0.04%) Gander Mountain Co (a)(b) 9,900 98,505 Sport Chalet Inc - A Shares (a) 5,700 54,150 Sport Chalet Inc - B Shares (a) 800 7,536 ---------------------- 160,191 ---------------------- Retail - Video Rental (0.32%) Blockbuster Inc (a)(b) 176,300 1,144,187 Blockbuster Inc (a)(b) 27,400 166,044 ---------------------- 1,310,231 ---------------------- Retail - Vitamins & Nutritional Suppliments (0.00%) AMS Health Sciences Inc (a) 100 57 ---------------------- Retirement & Aged Care (0.03%) Capital Senior Living Corp (a)(b) 13,200 140,448 ---------------------- Rubber - Tires (0.61%) Bandag Inc (b) 8,500 433,075 Cooper Tire & Rubber Co (b) 127,200 2,033,928 ---------------------- 2,467,003 ---------------------- Rubber & Plastic Products (0.06%) Myers Industries Inc 14,491 249,535 ---------------------- Savings & Loans - Thrifts (3.76%) Ameriana Bancorp 3,000 37,500 American Bancorp of New Jersey 7,792 91,868 BankAtlantic Bancorp Inc (b) 46,900 622,832 Bankunited Financial Corp (b) 29,948 826,265 Berkshire Hills Bancorp Inc 6,800 230,724 BFC Financial Corp (a)(b) 500 3,115 Brookline Bancorp Inc 62,200 827,882 Camco Financial Corp 10,400 127,920 CFS Bancorp Inc 14,400 212,976 Citizens First Bancorp Inc 6,200 167,214 Citizens South Banking Corp 12,800 168,704 Cooperative Bankshares Inc 350 6,611 Dime Community Bancshares 2,700 36,261 First Defiance Financial Corp 7,600 220,020 First Federal Bancshares of Arkansas Inc 500 12,325 First Keystone Financial Inc 100 1,995 First Niagara Financial Group Inc 86,200 1,249,038 First Pactrust Bancorp Inc 200 5,530 First Place Financial Corp/OH 22,544 536,998 FirstFed Financial Corp (a)(b) 18,600 1,282,470 Flagstar Bancorp Inc (b) 52,700 764,677 Flushing Financial Corp (b) 8,336 145,797 Franklin Bank Corp/Houston TX (a)(b) 21,377 406,163 Great Lakes Bancorp Inc (a) 11,580 158,646 HF Financial Corp 7,260 129,591 HMN Financial Inc 200 6,824 KNBT Bancorp Inc 28,600 464,464 Legacy Bancorp Inc/MA 300 4,725 LSB Corp 5,300 88,245 MAF Bancorp Inc 33,687 1,513,894 MASSBANK Corp 1,367 44,660 Meta Financial Group Inc 3,600 113,400 Savings & Loans - Thrifts MFB Corp 600 20,100 Pacific Premier Bancorp Inc (a) 10,400 124,904 Parkvale Financial Corp 3,700 111,222 Partners Trust Financial Group Inc (b) 63,849 727,240 Pocahontas Bancorp Inc 2,000 32,080 Provident Financial Holdings Inc 5,800 163,850 Provident Financial Services Inc (b) 79,900 1,454,180 Provident New York Bancorp 33,690 490,863 Rainier Pacific Financial Group Inc 4,800 98,832 Riverview Bancorp Inc 15,400 250,250 Rome Bancorp Inc 6,900 86,250 Synergy Financial Group Inc 5,727 93,923 TF Financial Corp 1,300 39,364 TierOne Corp 7,190 216,563 Timberland Bancorp Inc/WA 8,700 318,246 United Community Financial Corp/OH 27,260 336,934 Willow Financial Bancorp Inc 11,934 171,133 ---------------------- 15,245,268 ---------------------- Schools (0.07%) Universal Technical Institute Inc (a)(b) 12,460 294,679 ---------------------- Semiconductor Component - Integrated Circuits (0.72%) Atmel Corp (a) 57,879 346,116 Catalyst Semiconductor Inc (a) 14,400 50,688 Exar Corp (a) 31,445 411,930 Genesis Microchip Inc (a)(b) 11,000 87,010 Hifn Inc (a) 15,900 87,450 Pericom Semiconductor Corp (a) 47,700 475,569 Sigmatel Inc (a) 10,600 41,128 Sipex Corp (a)(b) 2,400 11,040 Standard Microsystems Corp (a)(b) 17,131 477,955 Triquint Semiconductor Inc (a) 128,970 606,159 Vitesse Semiconductor Corp (a)(b) 392,800 333,880 ---------------------- 2,928,925 ---------------------- Semiconductor Equipment (1.97%) Aetrium Inc (a) 1,400 5,838 Amtech Systems Inc (a) 300 2,160 ATMI Inc (a) 24,075 805,068 Axcelis Technologies Inc (a)(b) 84,476 544,025 Brooks Automation Inc (a) 59,561 829,089 Cohu Inc (b) 15,400 308,000 Credence Systems Corp (a) 181,400 883,418 Electroglas Inc (a) 39,400 94,166 Entegris Inc (a) 109,200 1,171,716 FSI International Inc (a) 25,214 123,549 Intest Corp (a) 7,190 31,276 MKS Instruments Inc (a)(b) 101,900 2,228,553 Nanometrics Inc (a) 22,700 183,416 Photronics Inc (a)(b) 26,600 443,156 Rudolph Technologies Inc (a)(b) 22,185 346,752 ---------------------- 8,000,182 ---------------------- Shipbuilding (0.03%) Todd Shipyards Corp 6,400 112,640 ---------------------- Software Tools (0.11%) Borland Software Corp (a)(b) 84,326 460,420 ---------------------- Steel - Producers (1.12%) Chaparral Steel Co 6,034 309,424 Friedman Industries 3,100 34,410 Olympic Steel Inc (b) 4,200 111,720 Ryerson Inc (b) 80,300 2,519,011 Schnitzer Steel Industries Inc 19,800 762,300 Shiloh Industries Inc 20,153 278,514 Steel Dynamics Inc (b) 148 5,803 Steel Technologies Inc 28,100 521,255 ---------------------- 4,542,437 ---------------------- Steel - Specialty (0.03%) Material Sciences Corp (a) 11,100 131,202 ---------------------- Steel Pipe & Tube (0.03%) Northwest Pipe Co (a) 3,200 120,352 Webco Industries Inc (a) 110 8,250 ---------------------- 128,602 ---------------------- Sugar (0.08%) Imperial Sugar Co (b) 10,663 332,152 ---------------------- Telecommunication Equipment (1.05%) Anaren Inc (a)(b) 3,480 57,420 Andrew Corp (a) 97,380 1,034,176 Applied Innovation Inc (a) 25,300 79,695 Arris Group Inc (a) 24,450 347,679 Channell Commercial Corp (a) 1,300 4,615 CommScope Inc (a)(b) 15,950 515,344 Communications Systems Inc 7,600 77,140 Ditech Networks Inc (a) 28,500 204,345 Network Equipment Technologies Inc (a) 44,900 404,998 Preformed Line Products Co 1,750 60,900 Sunrise Telecom Inc (a) 88,800 222,888 Symmetricom Inc (a)(b) 31,400 268,156 Tekelec (a)(b) 44,125 679,525 Tollgrade Communications Inc (a) 23,500 236,410 Wireless Telecom Group Inc 14,600 35,186 XETA Technologies Inc (a) 8,425 23,337 ---------------------- 4,251,814 ---------------------- Telecommunication Equipment - Fiber Optics (0.61%) APA Enterprises Inc (a) 2,500 3,675 Ciena Corp (a)(b) 14,371 403,681 MRV Communications Inc (a)(b) 13,600 55,352 Optical Cable Corp (a) 6,300 32,697 Optical Communication Products Inc (a)(b) 31,600 49,296 Sycamore Networks Inc (a) 513,800 1,916,474 ---------------------- 2,461,175 ---------------------- Telecommunication Services (0.32%) LCC International Inc (a) 43,900 177,356 RCN Corp (a) 37,800 1,122,282 ---------------------- 1,299,638 ---------------------- Telephone - Integrated (0.95%) CT Communications Inc (b) 33,700 823,291 D&E Communications Inc 11,107 142,059 IDT Corp - Class B (b) 144,700 1,946,215 IDT Corp 3,300 45,969 Level 3 Communications Inc (a)(b) 9,029 56,068 Telephone - Integrated SureWest Communications (b) 30,700 858,679 ---------------------- 3,872,281 ---------------------- Television (0.26%) Acme Communications Inc (a) 10,900 54,936 Lin TV Corp (a)(b) 49,400 542,906 Sinclair Broadcast Group Inc 39,300 462,561 ---------------------- 1,060,403 ---------------------- Textile - Apparel (0.21%) Perry Ellis International Inc (a)(b) 25,500 767,295 Tag-It Pacific Inc (a) 3,300 4,917 Unifi Inc (a) 26,200 71,002 ---------------------- 843,214 ---------------------- Textile - Home Furnishings (0.01%) Decorator Industries Inc 1,300 9,815 Quaker Fabric Corp (a) 11,600 13,224 ---------------------- 23,039 ---------------------- Textile - Products (0.03%) Culp Inc (a) 2,100 13,545 Dixie Group Inc (a)(b) 9,400 114,680 ---------------------- 128,225 ---------------------- Theaters (0.06%) Carmike Cinemas Inc (b) 10,000 223,400 ---------------------- Therapeutics (0.09%) Neurogen Corp (a) 6,096 36,759 Pharmacyclics Inc (a)(b) 3,500 16,870 Theragenics Corp (a) 58,900 291,555 Threshold Pharmaceuticals Inc (a)(b) 1,000 3,470 ---------------------- 348,654 ---------------------- Tobacco (0.63%) Alliance One International Inc (a) 45,400 348,218 Universal Corp/Richmond VA (b) 46,100 2,228,013 ---------------------- 2,576,231 ---------------------- Tools - Hand Held (0.00%) QEP Co Inc (a) 400 2,180 ---------------------- Toys (0.24%) Jakks Pacific Inc (a)(b) 47,300 958,771 ---------------------- Transport - Air Freight (0.00%) AirNet Systems Inc (a) 1,300 4,160 ---------------------- Transport - Equipment & Leasing (0.38%) Amerco Inc (a) 4,975 416,855 Interpool Inc 44,100 1,089,711 Willis Lease Finance Corp (a) 5,400 54,972 ---------------------- 1,561,538 ---------------------- Transport - Marine (0.14%) Arlington Tankers Ltd (b) 17,765 423,518 International Shipholding Corp (a) 8,700 127,281 ---------------------- 550,799 ---------------------- Transport - Rail (0.43%) Genesee & Wyoming Inc (a) 12,775 360,127 Kansas City Southern (a)(b) 3,028 91,022 Providence and Worcester Railroad Co 3,600 68,400 Transport - Rail RailAmerica Inc (a) 75,700 1,227,097 ---------------------- 1,746,646 ---------------------- Transport - Services (0.46%) Bristow Group Inc (a)(b) 41,900 1,564,965 PHI Inc (a)(b) 9,400 282,752 ---------------------- 1,847,717 ---------------------- Transport - Truck (0.89%) Arkansas Best Corp 17,600 672,672 Covenant Transport Inc (a)(b) 600 7,014 Frozen Food Express Industries 31,900 269,236 Landstar System Inc 15,515 656,129 Marten Transport Ltd (a)(b) 16,950 259,505 PAM Transportation Services (a) 14,700 323,106 Saia Inc (a)(b) 6,489 172,932 USA Truck Inc (a) 7,600 121,676 Werner Enterprises Inc (b) 60,300 1,146,303 ---------------------- 3,628,573 ---------------------- Travel Services (0.02%) Ambassadors International Inc (b) 1,849 80,302 ---------------------- Vitamins & Nutrition Products (0.09%) Natrol Inc (a) 7,900 19,750 Natural Alternatives International Inc (a) 3,300 29,700 Omega Protein Corp (a) 46,200 301,686 ---------------------- 351,136 ---------------------- Water (0.28%) Connecticut Water Service Inc 6,472 156,493 Pico Holdings Inc (a)(b) 22,300 958,900 ---------------------- 1,115,393 ---------------------- Web Hosting & Design (0.09%) Globix Corp (a)(b) 62,600 270,432 Web.com Inc (a) 16,808 75,636 ---------------------- 346,068 ---------------------- Wire & Cable Products (0.46%) Belden CDT Inc (b) 26,600 1,150,450 General Cable Corp (a) 16,825 725,662 ---------------------- 1,876,112 ---------------------- Wireless Equipment (0.23%) CalAmp Corp (a) 40,700 323,972 Carrier Access Corp (a)(b) 12,600 72,576 EFJ Inc (a) 4,200 27,552 EMS Technologies Inc (a)(b) 10,400 215,488 EndWave Corp (a) 5,800 74,646 Glenayre Technologies Inc (a) 15,800 40,448 Remec Inc 19,322 28,403 Telular Corp (a) 9,200 38,640 Tessco Technologies Inc (a) 900 20,115 Wireless Facilities Inc (a) 35,400 83,190 ---------------------- 925,030 ---------------------- TOTAL COMMON STOCKS $ 404,482,291 ---------------------- MONEY MARKET FUNDS (31.95%) Money Center Banks (31.95%) BNY Institutional Cash Reserve Fund (e) 129,725,000 129,725,000 ---------------------- TOTAL MONEY MARKET FUNDS $ 129,725,000 ---------------------- Total Investments $ 534,207,291 Liabilities in Excess of Other Assets, Net - (31.59)% (128,252,800) ---------------------- TOTAL NET ASSETS - 100.00% $ 405,954,491 ====================== ---------------------- ======================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security is illiquid. (d) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $0 or 0.00% of net assets. (e) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 67,070,383 Unrealized Depreciation (18,990,574) ---------------------- Net Unrealized Appreciation (Depreciation) 48,079,809 Cost for federal income tax purposes 486,127,482 Portfolio Summary (unaudited) --------------------------------------------------- ---------------------- Sector Percent --------------------------------------------------- ---------------------- Financial 54.08% Consumer, Cyclical 19.54% Consumer, Non-cyclical 13.24% Industrial 12.88% Communications 10.56% Technology 8.95% Basic Materials 6.50% Energy 4.23% Utilities 1.02% Funds 0.52% Diversified 0.07% Liabilities in Excess of Other Assets, Net (-31.59%) ---------------------- TOTAL NET ASSETS 100.00% ======================
Schedule of Investments January 31, 2007 (unaudited) Preferred Securities Fund Shares Held Value ------------- --- --------------------- PREFERRED STOCKS (67.38%) Building - Residential & Commercial (0.49%) Pulte Homes Inc (a) 111,700 $ 2,898,615 --------------------- Cable TV (1.90%) Comcast Corp - Series B 123,300 3,172,509 Comcast Corp 315,745 8,108,332 --------------------- 11,280,841 --------------------- Cellular Telecommunications (0.21%) US Cellular Corp 47,623 1,227,721 --------------------- Commercial Banks (4.80%) ASBC Capital I 19,800 502,722 Banco Santander Central Hispano SA 186,526 4,698,590 BancorpSouth Capital Trust I 49,800 1,261,932 Banesto Holdings (b) 11,700 352,463 Banknorth Capital Trust II 36,300 916,575 Barclays Bank PLC 3,200 84,896 Chittenden Capital Trust I (a) 42,300 1,082,034 Citizens Funding Trust I 40,000 1,036,400 Compass Capital III 67,100 1,689,578 HSBC Holdings PLC 106,818 2,723,859 Provident Financial Group Inc 48,300 1,242,218 Royal Bank of Scotland Group PLC - Series L 60,000 1,455,600 Royal Bank of Scotland Group PLC - Series M 55,555 1,429,430 Royal Bank of Scotland Group PLC - Series N 151,732 3,879,787 Royal Bank of Scotland Group PLC - Series Q (a) 230,600 6,122,430 --------------------- 28,478,514 --------------------- Diversified Financial Services (1.81%) Citigroup Capital VII 53,500 1,359,970 Citigroup Capital VIII 185,830 4,690,349 Citigroup Capital XI 82,900 2,064,210 Citigroup Capital XIV 2,500 65,300 General Electric Capital Corp 5.875% 92,996 2,308,161 General Electric Capital Corp 6.100% 9,600 240,576 --------------------- 10,728,566 --------------------- Electric - Integrated (3.51%) Alabama Power Co Series GG 800 20,120 Alabama Power Co Series II 371,600 9,137,644 Alabama Power Co Series JJ 17,900 460,567 Consolidated Edison Inc 3,000 76,170 Dte Energy Trust I 18,800 472,256 Entergy Louisiana LLC 57,400 1,447,628 Entergy Mississippi Inc 6.00% 4,300 105,866 Entergy Mississippi Inc 7.25% 44,000 1,126,400 Georgia Power Capital Trust V 1,800 45,342 Georgia Power Capital Trust VII 4,200 101,262 Georgia Power Co 5.70% 11,400 277,248 Georgia Power Co 5.75% 14,400 344,016 Georgia Power Co 5.90% 64,200 1,570,974 Georgia Power Co 6.00% - Series R 6,300 155,232 Gulf Power Co 2,900 70,992 Indiana Michigan Power Co 2,200 55,110 Electric - Integrated Mississippi Power Co 35,500 853,775 Northern States Power-Minnesota 6,200 159,340 PPL Energy Supply LLC 156,000 4,032,600 Southern Co Capital Trust VI 3,000 75,840 Virginia Power Capital Trust II 9,900 248,886 --------------------- 20,837,268 --------------------- Fiduciary Banks (0.39%) BNY Capital V 95,300 2,332,944 --------------------- Finance - Consumer Loans (0.86%) HSBC Finance Corp 6.875% 129,269 3,293,774 SLM Corp 73,800 1,807,362 --------------------- 5,101,136 --------------------- Finance - Credit Card (0.41%) Capital One Capital II (a) 91,500 2,440,305 --------------------- Finance - Investment Banker & Broker (4.03%) JP Morgan Chase Capital XI 25,700 623,225 Lehman Brothers Holdings Capital Trust III 127,228 3,187,061 Lehman Brothers Holdings Capital Trust IV 18,000 451,080 Lehman Brothers Holdings Capital Trust V 2,000 49,100 Lehman Brothers Holdings Capital Trust VI 61,257 1,523,462 Lehman Brothers Holdings Inc 58,500 1,525,680 Merrill Lynch Preferred Capital Trust III 67,100 1,710,379 Merrill Lynch Preferred Capital Trust IV 88,400 2,270,112 Merrill Lynch Preferred Capital Trust V 134,694 3,483,187 Morgan Stanley Capital Trust II 75,400 1,894,802 Morgan Stanley Capital Trust III 3,600 90,612 Morgan Stanley Capital Trust IV 27,100 678,855 Morgan Stanley Capital Trust V 34,500 827,655 Morgan Stanley Capital Trust VI 208,100 5,314,874 Morgan Stanley Capital Trust VII (a) 12,200 309,392 --------------------- 23,939,476 --------------------- Finance - Mortgage Loan/Banker (0.87%) Countrywide Capital 7.00% 72,100 1,821,967 Countrywide Financial Corp 133,900 3,362,229 --------------------- 5,184,196 --------------------- Finance - Other Services (1.51%) ABN AMRO Capital Funding Trust V 165,400 4,057,262 ABN AMRO Capital Funding Trust VII 161,000 4,037,880 National Rural Utilities Cooperative Finance Corp 5.950% (a) 7,100 171,181 National Rural Utilities Cooperative Finance Corp 6.100% 4,200 103,236 National Rural Utilities Cooperative Finance Corp 7.400% 22,600 566,582 --------------------- 8,936,141 --------------------- Financial Guarantee Insurance (0.77%) AMBAC Financial Group Inc 5.875% 57,800 1,416,100 AMBAC Financial Group Inc 5.950% 62,600 1,533,700 Financial Security Assurance Holdings Ltd 6.250% 65,325 1,626,592 --------------------- 4,576,392 --------------------- Life & Health Insurance (3.11%) Delphi Financial Group 41,400 1,069,776 Lincoln National Capital VI 124,537 3,181,920 PLC Capital Trust IV 33,900 858,348 PLC Capital Trust V 13,900 339,716 Protective Life Corp 395,200 10,338,432 Prudential PLC 6.50% (a) 9,917 255,859 Life & Health Insurance Prudential PLC 6.75% 91,800 2,386,800 --------------------- 18,430,851 --------------------- Money Center Banks (1.93%) S Finance (c) 279,848 7,022,450 Santander Finance Preferred SA Uniperso (b)(c) 175,000 4,402,352 --------------------- 11,424,802 --------------------- Mortgage Banks (0.17%) Abbey National PLC 7.375%; Series C 40,400 1,036,260 --------------------- Multi-Line Insurance (4.97%) ACE Ltd 296,450 7,746,239 Aegon NV 6.375% 386,565 9,984,974 Aegon NV 6.875% 3,600 93,888 ING Groep NV 7.05% 206,238 5,236,383 ING Groep NV 7.20% 172,600 4,403,026 Metlife Inc 6.500% 10,000 267,100 XL Capital Ltd 7.625% (a) 50,500 1,294,820 XL Capital Ltd 8.000% 18,375 468,011 --------------------- 29,494,441 --------------------- Multimedia (0.80%) Viacom Inc (c) 189,200 4,728,108 --------------------- Oil Company - Exploration & Production (0.30%) Nexen Inc 71,100 1,808,073 --------------------- Pipelines (0.45%) Dominion CNG Capital Trust I 86,600 2,173,660 TransCanada Pipelines Ltd 19,200 499,008 --------------------- 2,672,668 --------------------- Property & Casualty Insurance (2.53%) Arch Capital Group Ltd 7.875% 18,100 469,695 Arch Capital Group Ltd 8.000% 212,000 5,596,800 Berkley W R Capital Trust 207,300 5,192,865 Markel Corp 143,200 3,751,840 --------------------- 15,011,200 --------------------- Regional Banks (9.97%) BAC Capital Trust I 57,200 1,446,016 BAC Capital Trust II 185,400 4,636,854 BAC Capital Trust III 7,900 201,213 BAC Capital Trust VIII 18,400 450,984 BAC Capital Trust X 155,900 3,899,059 BAC Capital Trust XII 210,500 5,483,525 Bank One Capital VI 43,500 1,094,460 Comerica Capital Trust I 1,200 30,336 Fleet Capital Trust VIII 16,600 419,482 KeyCorp Capital IX (c) 37,600 959,552 KeyCorp Capital VIII 281,000 7,303,190 National City Capital Trust II 294,100 7,464,258 PNC Capital Trust D 118,900 2,942,775 Union Planter Preferred Funding Corp (b)(c) 10 1,090,938 USB Capital VI 103,100 2,442,439 USB Capital VII 58,800 1,409,436 Wachovia Corp 359,500 10,083,975 Wells Fargo Capital IV 97,600 2,475,136 Wells Fargo Capital IX 94,900 2,248,181 Wells Fargo Capital V 12,800 324,096 Regional Banks Wells Fargo Capital VII 113,000 2,743,640 --------------------- 59,149,545 --------------------- Reinsurance (2.45%) Everest Re Capital Trust 6.20% 154,419 3,701,423 Everest Re Capital Trust 7.85% 159,600 4,037,880 PartnerRe Ltd - Series C 58,200 1,483,518 PartnerRe Ltd - Series D 155,066 3,916,967 RenaissanceRe Holdings Ltd - Series B 35,800 929,726 RenaissanceRe Holdings Ltd - Series C 19,735 474,627 --------------------- 14,544,141 --------------------- REITS - Apartments (0.34%) AvalonBay Communities Inc 16,100 438,725 BRE Properties Inc - Series B 6,800 172,856 BRE Properties Inc - Series C 10,177 253,407 BRE Properties Inc - Series D (a) 12,876 323,188 Equity Residential 28,500 723,900 United Dominion Realty Trust Inc 5,200 133,380 --------------------- 2,045,456 --------------------- REITS - Diversified (3.66%) Duke Realty Corp - Series B (c) 10,000 501,000 Duke Realty Corp - Series L 46,100 1,168,635 Duke Realty Corp - Series M (a) 250,411 6,465,612 Duke Realty Corp - Series N 139,132 3,656,389 PS Business Parks Inc - Series H 1,000 25,180 PS Business Parks Inc - Series I 95,000 2,394,000 PS Business Parks Inc - Series K 118,600 3,154,760 PS Business Parks Inc - Series L 2,400 61,320 Vornado Realty Trust - Series F 25,448 638,999 Vornado Realty Trust - Series G (a) 82,700 2,052,614 Vornado Realty Trust - Series H 21,300 536,760 Vornado Realty Trust - Series I 41,600 1,031,680 --------------------- 21,686,949 --------------------- REITS - Office Property (1.77%) Equity Office Properties Trust 32,200 814,016 HRPT Properties Trust - Series B 102,103 2,593,416 HRPT Properties Trust - Series C 273,800 7,102,372 --------------------- 10,509,804 --------------------- REITS - Shopping Centers (2.62%) Developers Diversified Realty Corp 7.375% 18,000 457,920 Developers Diversified Realty Corp 7.500% 7,700 196,735 Developers Diversified Realty Corp 8.000% 128,700 3,307,590 Developers Diversified Realty Corp 8.600% 1,700 43,146 New Plan Excel Realty Trust - Series D 109,663 5,658,611 New Plan Excel Realty Trust - Series E 53,500 1,369,600 Regency Centers Corp 6.70% 131,400 3,292,884 Regency Centers Corp 7.25% 37,800 971,460 Regency Centers Corp 7.45% 6,500 168,025 Weingarten Realty Investors 2,500 64,000 --------------------- 15,529,971 --------------------- REITS - Single Tenant (0.31%) Realty Income Corp Series D 61,700 1,542,500 Realty Income Corp Series E 10,300 266,461 --------------------- 1,808,961 --------------------- REITS - Storage (2.61%) Public Storage Inc 6.450%; Series F 93,500 2,312,255 Public Storage Inc 6.450%; Seriex X 81,300 2,032,500 REITS - Storage Public Storage Inc 6.600%; Series C 400 10,000 Public Storage Inc 6.750%; Series E 15,728 396,188 Public Storage Inc 6.750%; Series L 89,100 2,242,647 Public Storage Inc 7.125%; Series B 3,200 82,432 Public Storage Inc 7.250%; Series I 27,200 708,016 Public Storage Inc 7.250%; Series K 106,933 2,785,605 Public Storage Inc 7.625%; Series T 38,100 968,502 Public Storage Inc 7.625%; Series U 60,200 1,515,836 Public Storage Inc; 6.850%; Series Y 98,900 2,447,775 --------------------- 15,501,756 --------------------- REITS - Warehouse & Industrial (3.31%) AMB Property Corp; Series L 189,800 4,745,000 AMB Property Corp; Series M 52,800 1,330,560 AMB Property Corp; Series P 161,400 4,075,350 First Industrial Realty Trust Inc - Series C 128,500 3,311,445 First Industrial Realty Trust Inc - Series J (a) 146,100 3,750,387 Prologis - Series F 1,400 35,686 Prologis - Series G 94,900 2,419,950 --------------------- 19,668,378 --------------------- Sovereign Agency (0.29%) Freddie Mac 44,000 1,100,000 Tennessee Valley Authority - Series D 26,200 617,010 --------------------- 1,717,010 --------------------- Special Purpose Entity (2.57%) Corporate-Backed Trust Certificates - Series BLS 44,900 1,137,317 Corporate-Backed Trust Certificates - Series BMY 14,100 347,283 Corporate-Backed Trust Certificates - Series CIT 13,000 346,840 Corporate-Backed Trust Certificates - Series DCX 19,000 475,000 Corporate-Backed Trust Certificates - Series GE 16,400 422,136 Corporate-Backed Trust Certificates - Series SO 27,800 696,390 Corporate-Backed Trust Certificates - Series VZ 22,200 566,544 Corporate-Backed Trust Certificates - Series WM 6,900 175,191 Corporate-Backed Trust Certificates - Series WM 3,000 76,290 CORTS Trust for Bellsouth Telecommunication 28,400 718,236 CORTS Trust for Bristol Meyers Squibb 2,000 50,200 CORTS Trust for Chrysler 12,100 300,806 CORTS Trust for First Union Institutional Capital I 8.20% 9,000 243,450 CORTS Trust for Goldman Sachs Capital I 13,900 344,025 CORTS Trust for IBM - Series IV 700 18,088 CORTS Trust for Safeco Capital Trust I 8.375% 10,800 294,408 CORTS Trust for Safeco Capital Trust I 8.750% (c) 2,400 68,040 CORTS Trust for Verizon Global Funding 6.250% (a) 1,300 32,929 CORTS Trust for Verizon Global Funding 7.375% 14,300 365,079 JPMorgan Chase Capital XIX (a) 36,200 928,168 PreferredPlus Trust BLS-1 54,900 1,392,264 PreferredPlus Trust GSC-3 11,000 267,300 PreferredPlus Trust MSD-1 57,050 1,458,198 Public Credit & Repackaged Securities Trust 11,500 289,340 SATURNS - Series BLS; 7.125% 31,700 791,866 SATURNS - Series CSFB; 6.25% 10,500 264,075 SATURNS - Series CSFB; 7.00% 20,100 508,530 SATURNS - Series GS; 5.750% 18,700 442,255 SATURNS - Series GS4; 6.000% 4,600 111,642 SATURNS - Series GS6; 6.000% 7,700 186,263 SATURNS - Series SAFC Capital; 8.25% 2,000 50,540 SATURNS - Series SAFC Debenture; 8.25% 8,200 208,444 Trust Certificates Series 2001-2 14,700 374,850 Special Purpose Entity Trust Certificates Series 2001-3 29,500 743,400 Trust Certificates Series 2001-4 21,800 549,578 --------------------- 15,244,965 --------------------- Telecommunication Services (0.39%) Centaur Funding Corp (b) 2,000 2,320,625 --------------------- Telephone - Integrated (0.67%) AT&T Inc 44,200 1,117,818 Verizon New England Inc 104,378 2,609,450 Verizon South Inc 9,000 226,800 --------------------- 3,954,068 --------------------- Television (0.60%) CBS Corp 141,400 3,566,108 --------------------- TOTAL PREFERRED STOCKS $ 399,816,255 --------------------- Principal Amount Value ------------- --- --------------------- BONDS (28.62%) Agricultural Operations (0.33%) Agfirst Farm Credit Bank 7.30%, 12/15/2008 (b) 2,000,000 1,958,740 --------------------- Commercial Banks (10.96%) Banponce Trust I 8.33%, 2/ 1/2027 2,000,000 2,085,762 Barclays Bank PLC 6.28%, 12/15/2034 11,300,000 11,045,920 BNP Paribas 5.19%, 3/29/2049 (b)(d) 5,000,000 4,777,360 BNP Paribas Capital Trust V 7.20%, 9/30/2049 1,900,000 1,911,476 BOI Capital Funding No. 3 6.11%, 2/ 4/2016 (b)(d) 13,500,000 13,210,520 Caisse Nationale des Caisses 6.75%, 1/27/2049 1,500,000 1,527,015 CBA Capital Trust I 5.81%, 12/31/2049 (a)(b) 7,000,000 6,960,520 Centura Capital Trust I 8.85%, 6/ 1/2027 (b) 3,000,000 3,157,497 First Empire Capital Trust I 8.23%, 2/ 1/2027 1,500,000 1,563,982 First Hawaiian Capital I 8.34%, 7/ 1/2027 5,000,000 5,244,650 HBOS PLC 6.41%, 10/ 1/2035 (b)(d) 4,500,000 4,406,350 North Fork Capital Trust II 8.00%, 12/15/2027 3,450,000 3,633,926 Popular North America Capital Trust I 6.56%, 9/15/2034 1,000,000 983,515 Riggs Capital Trust 8.88%, 3/15/2027 1,000,000 1,047,343 Swedbank AB 9.00%, 12/31/2049 (b)(d) 2,000,000 2,180,878 Westpac Capital Trust III 5.82%, 9/30/2013 (b) 1,300,000 1,290,640 --------------------- 65,027,354 --------------------- Diversified Financial Services (0.14%) Citicorp Capital I 7.93%, 2/15/2027 800,000 833,463 --------------------- Finance - Investment Banker & Broker (1.33%) Goldman Sachs Group Inc 6.35%, 2/15/2034 500,000 499,025 JP Morgan Chase Capital XVIII 6.95%, 8/17/2036 6,900,000 7,395,662 --------------------- 7,894,687 --------------------- Finance - Other Services (0.87%) Sun Life Canada US Capital Trust 8.53%, 5/ 6/2017 (b) 4,900,000 5,135,445 --------------------- Life & Health Insurance (2.09%) Great West Life & Annuity Insurance Co 7.15%, 5/16/2046 (b)(d) 6,000,000 6,348,684 MIC Financing Trust I 8.38%, 2/ 1/2027 (b) 1,000,000 1,001,396 Prudential PLC 6.50%, 12/23/2008 5,000,000 5,025,950 --------------------- 12,376,030 --------------------- Money Center Banks (2.40%) BankAmerica Institutional 8.07%, 12/31/2026 (b) 500,000 520,175 BCI US Funding Trust 8.01%, 7/15/2008 (b) 1,000,000 1,030,448 DBS Capital Funding Corp 7.66%, 3/15/2049 (b) 1,500,000 1,610,965 KBC Bank Funding Trust III 9.86%, 11/ 2/2009 (b) 2,700,000 2,986,654 Lloyds TSB Bank 6.90%, 11/22/2007 (a) 7,990,000 8,070,539 --------------------- 14,218,781 --------------------- Multi-Line Insurance (0.69%) USF&G Capital III 8.31%, 7/ 1/2046 (b) 3,000,000 3,592,536 Zurich Capital Trust I 8.38%, 6/ 1/2037 (b) 500,000 523,256 --------------------- 4,115,792 --------------------- Mutual Insurance (0.52%) Oil Insurance Ltd 7.56%, 12/29/2049 (b)(d) 3,000,000 3,096,450 --------------------- Property & Casualty Insurance (0.18%) Executive Risk Capital Trust 8.68%, 2/ 1/2027 1,000,000 1,046,316 --------------------- Real Estate Magagement & Services (0.17%) Socgen Real Estate Co LLC 7.64%, 12/31/2049 (b)(d) 1,000,000 1,013,013 --------------------- Regional Banks (1.83%) KeyCorp Capital II 6.88%, 3/17/2029 5,000,000 5,184,975 PNC Preferred Funding Trust I 6.52%, 12/12/2049 (a)(b) 2,500,000 2,565,590 Regional Banks Union Planters Capital Trust A 8.20%, 12/15/2026 3,000,000 3,121,038 --------------------- 10,871,603 --------------------- Savings & Loans - Thrifts (2.48%) Dime Capital Trust I 9.33%, 5/ 6/2027 2,500,000 2,635,898 Great Western Financial Corp 8.21%, 2/ 1/2027 2,131,000 2,222,021 Washington Mutual Preferred Funding Cayman 7.25%, 3/15/2011 (a)(b) 9,900,000 9,885,645 --------------------- 14,743,564 --------------------- Special Purpose Entity (3.09%) BankBoston Capital Trust II 7.75%, 12/15/2026 1,000,000 1,038,996 BankBoston Capital Trust III 6.11%, 6/15/2027 500,000 499,988 CA Preferred Trust 7.00%, 10/30/2048 (a) 7,300,000 7,453,081 Capital One Capital IV 6.75%, 2/17/2037 (e) 2,000,000 2,012,800 ILFC E-Capital Trust II 6.25%, 12/21/2065 (a)(b)(d) 2,000,000 2,036,062 Mangrove Bay Pass-Through Trust 6.10%, 7/15/2033 (b) 2,250,000 2,178,112 Old Mutual Capital Funding 8.00%, 12/22/2008 3,000,000 3,110,370 --------------------- 18,329,409 --------------------- Tools - Hand Held (1.09%) Stanley Works Capital Trust I 5.90%, 12/ 1/2045 (d) 7,000,000 6,484,975 --------------------- Transport - Rail (0.45%) BNSF Funding Trust I 6.61%, 12/15/2055 (d) 2,750,000 2,672,266 --------------------- TOTAL BONDS $ 169,817,888 --------------------- MONEY MARKET FUNDS (4.79%) Money Center Banks (4.79%) BNY Institutional Cash Reserve Fund (f) 28,405,000 28,405,000 --------------------- TOTAL MONEY MARKET FUNDS $ 28,405,000 --------------------- Total Investments $ 598,039,143 Liabilities in Excess of Other Assets, Net - (0.79)% (4,662,090) --------------------- TOTAL NET ASSETS - 100.00% $ 593,377,053 ===================== --------------------- =====================
(a) Security or a portion of the security was on loan at the end of the period. (b) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $89,633,314 or 15.11% of net assets. (c) Non-Income Producing Security (d) Variable Rate (e) Security purchased on a when-issued basis. (f) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 10,122,940 Unrealized Depreciation (7,137,816) --------------------- Net Unrealized Appreciation (Depreciation) 2,985,124 Cost for federal income tax purposes 594,136,332 Portfolio Summary (unaudited) ---------------------------------------------------------- Sector Percent ---------------------------------------------------------- Financial 89.31% Communications 4.56% Utilities 3.51% Industrial 1.54% Energy 0.76% Consumer, Cyclical 0.49% Consumer, Non-cyclical 0.33% Government 0.29% Liabilities in Excess of Other Assets, Net (-0.79%) --------------- TOTAL NET ASSETS 100.00% ===============
Schedule of Investments January 31, 2007 (unaudited) Principal LifeTime 2010 Fund Shares Held Value ----------------- --- --------------------- INVESTMENT COMPANIES (99.78%) Principal Investors Fund, Inc. Institutional Class (99.78%) Bond & Mortgage Securities Fund (a) 33,291,156 $ 352,886,253 Disciplined LargeCap Blend Fund (a) 7,463,374 121,354,453 High Yield Fund II (a) 830,921 7,295,486 Inflation Protection Fund (a) 3,821,888 35,963,963 International Emerging Markets Fund (a) 949,699 24,331,287 International Growth Fund (a) 6,993,070 89,301,501 LargeCap Growth Fund (a) 6,083,876 49,157,719 LargeCap Value Fund (a) 2,647,612 34,286,574 Partners International Fund (a) 3,553,932 55,441,345 Partners LargeCap Blend Fund I (a) 5,149,787 50,931,397 Partners LargeCap Growth Fund I (a) 4,917,127 41,402,210 Partners LargeCap Growth Fund II (a) 1,823,696 15,647,315 Partners LargeCap Value Fund (a) 2,996,956 46,392,882 Partners LargeCap Value Fund I (a) 1,871,709 26,297,508 Partners SmallCap Growth Fund III (a)(b) 1,385,193 16,428,388 Preferred Securities Fund (a) 8,421,541 90,447,352 Real Estate Securities Fund (a) 3,448,169 98,652,112 SmallCap S&P 600 Index Fund (a) 2,017,008 36,749,884 SmallCap Value Fund (a) 908,774 17,348,491 Ultra Short Bond Fund (a) 6,318,855 63,504,494 --------------------- 1,273,820,614 --------------------- TOTAL INVESTMENT COMPANIES $ 1,273,820,614 --------------------- Total Investments $ 1,273,820,614 Other Assets in Excess of Liabilities, Net - 0.22% 2,824,897 --------------------- TOTAL NET ASSETS - 100.00% $ 1,276,645,511 ===================== --------------------- =====================
(a) Affiliated Security (b) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 106,552,046 Unrealized Depreciation (7,631,707) --------------------- Net Unrealized Appreciation (Depreciation) 98,920,339 Cost for federal income tax purposes 1,174,900,275 Portfolio Summary (unaudited) --------------------------------------------- --- --------------------- Fund Type Percent --------------------------------------------- --- --------------------- Domestic Equity Funds 43.45% Fixed Income Funds 43.09% International Equity Funds 13.24% Other Assets in Excess of Liabilities, Net 0.22% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Bond & Mortgage Securities Fund 32,261,516 $ 344,546,085 1,714,797 $ 18,336,900 Disciplined LargeCap Blend Fund 6,931,290 96,471,939 536,506 8,654,970 High Yield Fund II - - 830,921 7,290,000 Inflation Protection Fund 923,703 8,853,150 2,930,644 27,957,495 International Emerging Markets Fund 302,245 7,166,923 654,794 16,748,016 International Growth Fund 4,800,501 48,906,210 2,207,417 28,719,197 LargeCap Growth Fund 5,682,761 37,726,356 405,588 3,237,419 LargeCap Value Fund 2,484,878 26,997,725 162,734 2,088,831 Partners International Fund 946,594 14,216,137 2,629,415 40,983,110 Partners LargeCap Blend Fund I 1,100,227 10,225,825 4,098,163 39,959,072 Partners LargeCap Growth Fund I 1,504,561 12,225,849 3,441,089 28,977,178 Partners LargeCap Growth Fund II 3,314,722 24,890,229 146,529 1,237,937 Partners LargeCap Value Fund 3,382,608 42,165,677 177,200 2,720,964 Partners LargeCap Value Fund I 596,502 7,980,637 1,288,845 17,973,532 Partners SmallCap Growth Fund III 441,603 5,421,725 957,822 11,492,670 Preferred Securities Fund 9,176,295 98,483,392 125,214 1,342,296 Real Estate Securities Fund 3,410,267 59,945,814 267,686 7,122,186 SmallCap S&P 600 Index Fund 2,094,783 30,438,801 129,479 2,359,611 SmallCap Value Fund 312,204 5,794,290 605,314 11,565,831 Ultra Short Bond Fund 9,186,820 92,324,998 110,448 1,111,115 ------------- ------------- $ 974,781,762 $ 279,878,330 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Bond & Mortgage Securities Fund 685,157 $ 7,290,000 33,291,156 $ 355,593,692 Disciplined LargeCap Blend Fund 4,422 70,937 7,463,374 105,055,972 High Yield Fund II - - 830,921 7,290,000 Inflation Protection Fund 32,459 307,388 3,821,888 36,503,257 International Emerging Markets Fund 7,340 189,162 949,699 23,725,704 International Growth Fund 14,848 189,162 6,993,070 77,436,245 LargeCap Growth Fund 4,473 35,468 6,083,876 40,928,262 LargeCap Value Fund - - 2,647,612 29,086,556 Partners International Fund 22,077 342,856 3,553,932 54,856,385 Partners LargeCap Blend Fund I 48,603 472,905 5,149,787 49,711,891 Partners LargeCap Growth Fund I 28,523 236,453 4,917,127 40,966,721 Partners LargeCap Growth Fund II 1,637,555 15,000,000 1,823,696 12,936,201 Partners LargeCap Value Fund 562,852 9,000,000 2,996,956 36,977,145 Partners LargeCap Value Fund I 13,638 189,162 1,871,709 25,765,007 Partners SmallCap Growth Fund III 14,232 165,517 1,385,193 16,747,876 Preferred Securities Fund 879,968 9,500,000 8,421,541 90,332,227 Real Estate Securities Fund 229,784 6,500,000 3,448,169 61,237,178 SmallCap S&P 600 Index Fund 207,254 4,000,000 2,017,008 28,952,295 SmallCap Value Fund 8,744 165,517 908,774 17,194,517 Ultra Short Bond Fund 2,978,413 30,000,000 6,318,855 63,496,632 -------------- --------------- $ 83,654,527 $ 1,174,793,763 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Other Investment Companies on Investments -------------------------------------- ---------------------- Bond & Mortgage Securities Fund $ 4,518,634 $ 707 Disciplined LargeCap Blend Fund 1,354,992 - High Yield Fund II 13,858 - Inflation Protection Fund 188,093 - International Emerging Markets Fund 821,907 -73 International Growth Fund 3,533,062 - LargeCap Growth Fund 327,669 -45 LargeCap Value Fund 587,467 - Partners International Fund 1,173,133 -6 Partners LargeCap Blend Fund I 243,458 -101 Partners LargeCap Growth Fund I 344,216 147 Partners LargeCap Growth Fund II 678,266 1,808,035 Partners LargeCap Value Fund 727,960 1,090,504 Partners LargeCap Value Fund I 230,237 - Partners SmallCap Growth Fund III 632,638 -1,002 Preferred Securities Fund 1,342,296 6,539 Real Estate Securities Fund 424,067 669,178 SmallCap S&P 600 Index Fund 616,478 153,883 SmallCap Value Fund 310,664 -87 Ultra Short Bond Fund 983,015 60,519 -------------------------------------- ---------------------- $ 19,052,110 $ 3,788,198 ====================================== ======================
Realized Gain/Loss from Other Investment Companies --------------------- Bond & Mortgage Securities Fund $ - Disciplined LargeCap Blend Fund 2,624,981 High Yield Fund II - Inflation Protection Fund - International Emerging Markets Fund 286,898 International Growth Fund 4,339,062 LargeCap Growth Fund 572,252 LargeCap Value Fund 1,501,363 Partners International Fund 1,386,708 Partners LargeCap Blend Fund I - Partners LargeCap Growth Fund I 1,049,637 Partners LargeCap Growth Fund II 559,671 Partners LargeCap Value Fund 1,993,004 Partners LargeCap Value Fund I 276,636 Partners SmallCap Growth Fund III 124,257 Preferred Securities Fund - Real Estate Securities Fund 6,698,119 SmallCap S&P 600 Index Fund 1,743,133 SmallCap Value Fund 174,289 Ultra Short Bond Fund 11,949 --------------------- $ 23,341,959 =====================
Schedule of Investments January 31, 2007 (unaudited) Principal LifeTime 2020 Fund Shares Held Value ------------ ------------------- INVESTMENT COMPANIES (99.79%) Principal Investors Fund, Inc. Institutional Class (99.79%) Bond & Mortgage Securities Fund (a) 51,820,197 $ 549,294,085 Disciplined LargeCap Blend Fund (a) 18,591,588 302,299,218 High Yield Fund II (a) 1,791,780 15,731,830 International Emerging Markets Fund (a) 1,927,700 49,387,663 International Growth Fund (a) 19,458,957 248,490,882 LargeCap Growth Fund (a) 14,571,372 117,736,682 LargeCap Value Fund (a) 6,539,576 84,687,509 Partners International Fund (a) 6,335,717 98,837,182 Partners LargeCap Blend Fund I (a) 9,856,619 97,481,966 Partners LargeCap Growth Fund I (a) 10,585,680 89,131,423 Partners LargeCap Growth Fund II (a) 4,719,099 40,489,868 Partners LargeCap Value Fund (a) 7,248,305 112,203,755 Partners LargeCap Value Fund I (a) 3,876,050 54,458,498 Partners MidCap Growth Fund (a)(b) 2,451,144 24,315,350 Partners MidCap Value Fund I (a) 1,699,186 24,536,247 Partners SmallCap Growth Fund III (a)(b) 3,453,991 40,964,334 Preferred Securities Fund (a) 15,042,935 161,561,120 Real Estate Securities Fund (a) 6,100,679 174,540,424 SmallCap S&P 600 Index Fund (a) 2,939,060 53,549,668 SmallCap Value Fund (a) 2,147,551 40,996,740 ---------------- 2,380,694,444 ---------------- TOTAL INVESTMENT COMPANIES $ 2,380,694,444 ---------------- Total Investments $ 2,380,694,444 Other Assets in Excess of Liabilities, Net - 0.21% 5,008,348 ---------------- TOTAL NET ASSETS - 100.00% $ 2,385,702,792 ===================== --------------------- =====================
(a) Affiliated Security (b) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 222,572,279 Unrealized Depreciation (12,213,192) --------------------- Net Unrealized Appreciation (Depreciation) 210,359,087 Cost for federal income tax purposes 2,170,335,357 Portfolio Summary (unaudited) ------------------------------------------------ --------------------- Fund Type Percent ------------------------------------------------ --------------------- Domestic Equity Funds 52.70% Fixed Income Funds 30.46% International Equity Funds 16.63% Other Assets in Excess of Liabilities, Net 0.21% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Bond & Mortgage Securities Fund 45,315,518 $ 483,757,200 8,082,642 $ 86,396,564 Disciplined LargeCap Blend Fund 19,051,862 266,736,790 631,959 10,180,510 High Yield Fund II - - 1,791,780 15,720,000 International Emerging Markets Fund 794,912 18,855,878 1,169,805 29,930,220 International Growth Fund 14,268,420 150,500,513 5,261,023 68,056,794 LargeCap Growth Fund 14,292,690 96,315,714 278,682 2,226,643 LargeCap Value Fund 6,286,768 69,472,417 401,950 5,159,392 Partners International Fund 1,984,659 29,807,838 4,431,691 69,359,469 Partners LargeCap Blend Fund I 3,504,317 32,542,712 6,469,603 62,946,990 Partners LargeCap Growth Fund I 2,889,385 23,542,712 7,828,708 66,339,187 Partners LargeCap Growth Fund II 8,488,405 65,130,074 379,166 3,203,354 Partners LargeCap Value Fund 8,195,597 104,108,586 428,567 6,580,801 Partners LargeCap Value Fund I 1,412,615 18,934,170 2,528,000 35,240,921 Partners MidCap Growth Fund 874,659 8,217,085 1,622,871 15,765,673 Partners MidCap Value Fund I 595,798 8,217,085 1,134,484 16,100,962 Partners SmallCap Growth Fund III 2,528,923 28,071,796 945,813 11,412,082 Preferred Securities Fund 17,126,196 183,756,951 232,848 2,496,126 Real Estate Securities Fund 6,246,722 115,011,632 487,944 12,982,478 SmallCap S&P 600 Index Fund 2,392,018 37,135,807 559,003 10,163,928 SmallCap Value Fund 1,659,944 27,573,634 499,043 9,538,933 $ 1,767,688,594 $ 539,801,027 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales January 31, 2007 -- ------------------------------- ------------------------------------- Shares Proceeds Shares Cost -- ------------- -------------- ----------- --------------- Bond & Mortgage Securities Fund 1,577,963 $ 16,795,407 51,820,197 $ 553,358,357 Disciplined LargeCap Blend Fund 1,092,233 18,000,000 18,591,588 260,148,156 High Yield Fund II - - 1,791,780 15,720,000 International Emerging Markets Fund 37,017 940,981 1,927,700 47,845,623 International Growth Fund 70,486 940,982 19,458,957 217,616,799 LargeCap Growth Fund - - 14,571,372 98,542,357 LargeCap Value Fund 149,142 2,000,000 6,539,576 72,748,895 Partners International Fund 80,633 1,254,642 6,335,717 97,913,667 Partners LargeCap Blend Fund I 117,301 1,120,216 9,856,619 94,369,243 Partners LargeCap Growth Fund I 132,413 1,120,216 10,585,680 88,767,148 Partners LargeCap Growth Fund II 4,148,472 38,000,000 4,719,099 34,628,801 Partners LargeCap Value Fund 1,375,859 22,000,000 7,248,305 91,310,027 Partners LargeCap Value Fund I 64,565 896,173 3,876,050 53,279,705 Partners MidCap Growth Fund 46,386 448,086 2,451,144 23,535,677 Partners MidCap Value Fund I 31,096 448,086 1,699,186 23,870,272 Partners SmallCap Growth Fund III 20,745 268,851 3,453,991 39,214,708 Preferred Securities Fund 2,316,109 25,000,000 15,042,935 161,241,076 Real Estate Securities Fund 633,987 17,500,000 6,100,679 111,960,652 SmallCap S&P 600 Index Fund 11,961 224,043 2,939,060 47,075,790 SmallCap Value Fund 11,436 224,043 2,147,551 36,889,325 $ 147,181,726 $ 2,170,036,278 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Other Investment Companies on Investments -------------------------------------- ---------------------- Bond & Mortgage Securities Fund $ 6,639,418 $ - Disciplined LargeCap Blend Fund 3,443,853 1,230,856 High Yield Fund II 29,882 - International Emerging Markets Fund 1,966,073 506 International Growth Fund 9,907,076 474 LargeCap Growth Fund 804,520 - LargeCap Value Fund 1,451,039 117,086 Partners International Fund 2,249,535 1,002 Partners LargeCap Blend Fund I 553,568 -243 Partners LargeCap Growth Fund I 728,731 5,465 Partners LargeCap Growth Fund II 1,755,119 4,295,373 Partners LargeCap Value Fund 1,760,611 2,620,640 Partners LargeCap Value Fund I 513,159 787 Partners MidCap Growth Fund 31,723 1,005 Partners MidCap Value Fund I 220,003 311 Partners SmallCap Growth Fund III 2,749,287 -319 Preferred Securities Fund 2,496,126 -12,001 Real Estate Securities Fund 772,998 1,466,542 SmallCap S&P 600 Index Fund 828,307 98 SmallCap Value Fund 1,153,661 801 -------------------------------------- ---------------------- $ 40,054,689 $ 9,728,383 ====================================== ======================
Realized Gain/Loss from Other Investment Companies --------------------- Bond & Mortgage Securities Fund $ - Disciplined LargeCap Blend Fund 6,736,657 High Yield Fund II - International Emerging Markets Fund 697,352 International Growth Fund 12,177,433 LargeCap Growth Fund 1,422,123 LargeCap Value Fund 3,708,353 Partners International Fund 2,697,580 Partners LargeCap Blend Fund I - Partners LargeCap Growth Fund I 2,217,035 Partners LargeCap Growth Fund II 1,448,236 Partners LargeCap Value Fund 4,820,190 Partners LargeCap Value Fund I 639,879 Partners MidCap Growth Fund 328,362 Partners MidCap Value Fund I 475,371 Partners SmallCap Growth Fund III 539,990 Preferred Securities Fund - Real Estate Securities Fund 12,209,480 SmallCap S&P 600 Index Fund 2,305,156 SmallCap Value Fund 682,478 --------------------- $ 53,105,675 =====================
Schedule of Investments January 31, 2007 (unaudited) Principal LifeTime 2030 Fund Shares Held Value ----------------- --- --------------------- INVESTMENT COMPANIES (99.82%) Principal Investors Fund, Inc. Institutional Class (99.82%) Bond & Mortgage Securities Fund (a) 26,789,891 $ 283,972,848 Disciplined LargeCap Blend Fund (a) 17,362,395 282,312,541 High Yield Fund II (a) 1,497,709 13,149,888 International Emerging Markets Fund (a) 2,277,203 58,341,942 International Growth Fund (a) 19,740,760 252,089,511 LargeCap Growth Fund (a) 14,532,578 117,423,234 LargeCap Value Fund (a) 6,641,249 86,004,172 Partners International Fund (a) 6,370,019 99,372,297 Partners LargeCap Blend Fund I (a) 9,209,703 91,083,963 Partners LargeCap Growth Fund I (a) 10,922,370 91,966,356 Partners LargeCap Growth Fund II (a) 4,696,300 40,294,256 Partners LargeCap Value Fund (a) 7,335,336 113,550,997 Partners LargeCap Value Fund I (a) 4,256,404 59,802,480 Partners MidCap Growth Fund (a)(b) 2,704,133 26,824,996 Partners MidCap Value Fund I (a) 1,876,327 27,094,162 Partners SmallCap Growth Fund I (a)(b) 1,987,665 19,618,249 Partners SmallCap Growth Fund III (a)(b) 2,803,702 33,251,911 Partners SmallCap Value Fund I (a) 1,028,425 19,313,820 Preferred Securities Fund (a) 9,124,147 97,993,341 Real Estate Securities Fund (a) 4,193,217 119,967,931 SmallCap S&P 600 Index Fund (a) 2,034,550 37,069,506 SmallCap Value Fund (a) 1,788,458 34,141,654 --------------------- 2,004,640,055 --------------------- TOTAL INVESTMENT COMPANIES $ 2,004,640,055 --------------------- Total Investments $ 2,004,640,055 Other Assets in Excess of Liabilities, Net - 0.18% 3,630,454 --------------------- TOTAL NET ASSETS - 100.00% $ 2,008,270,509 ===================== --------------------- =====================
(a) Affiliated Security (b) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 208,099,571 Unrealized Depreciation (7,618,082) --------------------- Net Unrealized Appreciation (Depreciation) 200,481,489 Cost for federal income tax purposes 1,804,158,566 Portfolio Summary (unaudited) -------------------------------------------------------- --------------------- Fund Type Percent -------------------------------------------------------- --------------------- Domestic Equity Funds 59.74% International Equity Funds 20.41% Fixed Income Funds 19.67% Other Assets in Excess of Liabilities, Net 0.18% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Bond & Mortgage Securities Fund 26,490,815 $ 282,644,546 1,534,050 $ 16,413,062 Disciplined LargeCap Blend Fund 17,682,412 246,222,431 590,177 9,507,420 High Yield Fund II - - 1,497,709 13,140,000 International Emerging Markets Fund 775,300 18,377,672 1,501,903 38,350,393 International Growth Fund 14,995,161 157,681,903 4,745,599 60,868,441 LargeCap Growth Fund 14,254,638 95,721,426 277,940 2,220,715 LargeCap Value Fund 6,419,477 70,610,928 408,199 5,239,607 Partners International Fund 1,938,344 29,075,811 4,431,675 69,251,695 Partners LargeCap Blend Fund I 2,909,451 26,981,393 6,300,252 61,425,276 Partners LargeCap Growth Fund I 3,222,569 26,179,532 7,699,801 65,328,607 Partners LargeCap Growth Fund II 8,467,438 64,556,688 377,334 3,187,878 Partners LargeCap Value Fund 8,246,213 103,759,798 433,713 6,659,818 Partners LargeCap Value Fund I 1,419,359 18,981,393 2,837,045 39,543,490 Partners MidCap Growth Fund 1,090,051 10,236,045 1,614,082 15,709,002 Partners MidCap Value Fund I 742,554 10,236,045 1,133,773 16,121,097 Partners SmallCap Growth Fund I 778,091 7,141,627 1,209,574 11,687,525 Partners SmallCap Growth Fund III 2,546,236 27,916,981 257,466 3,089,602 Partners SmallCap Value Fund I 391,885 7,141,627 636,540 11,892,536 Preferred Securities Fund 9,405,757 100,532,145 134,179 1,438,395 Real Estate Securities Fund 4,276,702 77,057,405 337,882 8,989,851 SmallCap S&P 600 Index Fund 1,903,947 28,341,032 130,603 2,380,136 SmallCap Value Fund 1,696,703 27,670,334 91,755 1,757,564 ------------- ------------- $ 1,437,066,762 $ 464,202,110 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Bond & Mortgage Securities Fund 1,234,974 $ 13,140,000 26,789,891 $ 285,917,700 Disciplined LargeCap Blend Fund 910,194 15,000,000 17,362,395 241,765,280 High Yield Fund II - - 1,497,709 13,140,000 International Emerging Markets Fund - - 2,277,203 56,728,065 International Growth Fund - - 19,740,760 218,550,344 LargeCap Growth Fund - - 14,532,578 97,942,141 LargeCap Value Fund 186,427 2,500,000 6,641,249 73,502,467 Partners International Fund - - 6,370,019 98,327,506 Partners LargeCap Blend Fund I - - 9,209,703 88,406,669 Partners LargeCap Growth Fund I - - 10,922,370 91,508,139 Partners LargeCap Growth Fund II 4,148,472 37,999,999 4,696,300 34,057,900 Partners LargeCap Value Fund 1,344,590 21,500,001 7,335,336 91,511,756 Partners LargeCap Value Fund I - - 4,256,404 58,524,883 Partners MidCap Growth Fund - - 2,704,133 25,945,047 Partners MidCap Value Fund I - - 1,876,327 26,357,142 Partners SmallCap Growth Fund I - - 1,987,665 18,829,152 Partners SmallCap Growth Fund III - - 2,803,702 31,006,583 Partners SmallCap Value Fund I - - 1,028,425 19,034,163 Preferred Securities Fund 415,789 4,500,000 9,124,147 97,469,428 Real Estate Securities Fund 421,367 11,500,000 4,193,217 75,267,414 SmallCap S&P 600 Index Fund - - 2,034,550 30,721,168 SmallCap Value Fund - - 1,788,458 29,427,898 -------------- --------------- $ 106,140,000 $ 1,803,940,845 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Other Investment Companies on Investments -------------------------------------- ---------------------- Bond & Mortgage Securities Fund $ 3,721,636 $ 92 Disciplined LargeCap Blend Fund 3,216,161 1,035,429 High Yield Fund II 24,978 - International Emerging Markets Fund 1,962,501 - International Growth Fund 10,002,718 - LargeCap Growth Fund 802,379 - LargeCap Value Fund 1,473,599 151,932 Partners International Fund 2,034,269 - Partners LargeCap Blend Fund I 469,688 - Partners LargeCap Growth Fund I 716,649 - Partners LargeCap Growth Fund II 1,746,639 4,313,333 Partners LargeCap Value Fund 1,781,751 2,592,141 Partners LargeCap Value Fund I 507,952 - Partners MidCap Growth Fund 39,705 - Partners MidCap Value Fund I 267,568 - Partners SmallCap Growth Fund I - - Partners SmallCap Growth Fund III 2,582,392 - Partners SmallCap Value Fund I 185,870 - Preferred Securities Fund 1,438,395 -1,112 Real Estate Securities Fund 535,271 720,158 SmallCap S&P 600 Index Fund 621,841 - SmallCap Value Fund 1,099,752 - -------------------------------------- ---------------------- $ 35,231,714 $ 8,811,973 ====================================== ======================
Realized Gain/Loss from Other Investment Companies --------------------- Bond & Mortgage Securities Fund $ - Disciplined LargeCap Blend Fund 6,291,259 High Yield Fund II - International Emerging Markets Fund 686,429 International Growth Fund 12,294,336 LargeCap Growth Fund 1,418,337 LargeCap Value Fund 3,766,008 Partners International Fund 2,398,636 Partners LargeCap Blend Fund I - Partners LargeCap Growth Fund I 2,163,369 Partners LargeCap Growth Fund II 1,441,239 Partners LargeCap Value Fund 4,878,067 Partners LargeCap Value Fund I 608,226 Partners MidCap Growth Fund 410,977 Partners MidCap Value Fund I 595,209 Partners SmallCap Growth Fund I 436,483 Partners SmallCap Growth Fund III 507,210 Partners SmallCap Value Fund I 455,624 Preferred Securities Fund - Real Estate Securities Fund 8,454,581 SmallCap S&P 600 Index Fund 1,758,295 SmallCap Value Fund 657,812 --------------------- $ 49,222,097 ===================== Schedule of Investments January 31, 2007 (unaudited) Principal LifeTime 2040 Fund Shares Held Value -------------- -------------- INVESTMENT COMPANIES (99.80%) Principal Investors Fund, Inc. Institutional Class (99.80%) Bond & Mortgage Securities Fund (a) 8,311,071 $ 88,097,348 Disciplined LargeCap Blend Fund (a) 7,734,099 125,756,454 High Yield Fund II (a) 697,563 6,124,605 International Emerging Markets Fund (a) 1,155,143 29,594,752 International Growth Fund (a) 9,733,064 124,291,228 LargeCap Growth Fund (a) 7,647,340 61,790,509 LargeCap Value Fund (a) 3,593,972 46,541,938 Partners International Fund (a) 3,845,932 59,996,540 Partners LargeCap Blend Fund I (a) 5,392,882 53,335,607 Partners LargeCap Growth Fund I (a) 6,783,504 57,117,104 Partners LargeCap Growth Fund II (a) 2,322,508 19,927,116 Partners LargeCap Value Fund (a) 3,696,092 57,215,497 Partners LargeCap Value Fund I (a) 2,328,068 32,709,360 Partners MidCap Growth Fund (a)(b) 1,536,051 15,237,629 Partners MidCap Value Fund I (a) 1,065,193 15,381,389 Partners SmallCap Growth Fund I (a)(b) 1,564,741 15,443,990 Partners SmallCap Growth Fund III (a)(b) 1,589,004 18,845,590 Partners SmallCap Value Fund I (a) 809,267 15,198,041 Preferred Securities Fund (a) 3,109,028 33,390,957 Real Estate Securities Fund (a) 1,449,293 41,464,284 SmallCap S&P 600 Index Fund (a) 858,005 15,632,845 SmallCap Value Fund (a) 958,512 18,298,003 ----------- 951,390,786 ----------- TOTAL INVESTMENT COMPANIES $ 951,390,786 ----------- Total Investments $ 951,390,786 Other Assets in Excess of Liabilities, Net - 0.20% 1,921,629 ----------- TOTAL NET ASSETS - 100.00% $ 953,312,415 =========== ------ (a) Affiliated Security (b) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 88,699,986 Unrealized Depreciation (3,542,897) --------------------- Net Unrealized Appreciation (Depreciation) 85,157,089 Cost for federal income tax purposes 866,233,697 Portfolio Summary (unaudited) --------------------------------------------- --- --------------------- Fund Type Percent --------------------------------------------- --- --------------------- Domestic Equity Funds 63.98% International Equity Funds 22.43% Fixed Income Funds 13.39% Other Assets in Excess of Liabilities, Net 0.20% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Bond & Mortgage Securities Fund 8,377,501 $ 89,201,234 508,763 $ 5,446,383 Disciplined LargeCap Blend Fund 8,866,835 124,287,660 262,895 4,235,091 High Yield Fund II - - 697,563 6,120,000 International Emerging Markets Fund 334,510 7,943,464 820,633 21,100,334 International Growth Fund 7,145,591 76,731,378 2,587,473 32,966,830 LargeCap Growth Fund 7,748,607 52,975,677 146,258 1,168,586 LargeCap Value Fund 3,522,214 39,529,720 220,901 2,835,461 Partners International Fund 1,024,203 15,377,450 2,821,729 44,212,997 Partners LargeCap Blend Fund I 1,464,293 13,584,967 3,928,589 38,265,583 Partners LargeCap Growth Fund I 1,935,156 15,688,725 4,848,348 41,296,322 Partners LargeCap Growth Fund II 4,646,818 36,127,055 186,607 1,576,533 Partners LargeCap Value Fund 4,415,641 56,923,723 218,537 3,355,715 Partners LargeCap Value Fund I 689,915 9,226,470 1,638,153 22,846,015 Partners MidCap Growth Fund 549,629 5,150,980 986,422 9,581,235 Partners MidCap Value Fund I 374,364 5,150,980 690,829 9,786,677 Partners SmallCap Growth Fund I 561,220 5,150,980 1,003,521 9,679,941 Partners SmallCap Growth Fund III 1,443,084 15,956,654 145,920 1,751,039 Partners SmallCap Value Fund I 282,693 5,150,980 526,574 9,831,016 Preferred Securities Fund 2,846,191 30,423,996 262,837 2,830,755 Real Estate Securities Fund 1,338,648 25,990,588 110,645 2,943,876 SmallCap S&P 600 Index Fund 1,061,995 16,376,000 55,077 1,003,744 SmallCap Value Fund 959,088 15,990,712 49,175 941,955 ------------- ------------- $ 662,939,393 $ 273,776,088 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Bond & Mortgage Securities Fund 575,193 $ 6,120,000 8,311,071 $ 88,528,290 Disciplined LargeCap Blend Fund 1,395,631 23,000,000 7,734,099 107,341,264 High Yield Fund II - - 697,563 6,120,000 International Emerging Markets Fund - - 1,155,143 29,043,798 International Growth Fund - - 9,733,064 109,698,208 LargeCap Growth Fund 247,525 2,000,000 7,647,340 52,185,725 LargeCap Value Fund 149,143 2,000,000 3,593,972 40,486,992 Partners International Fund - - 3,845,932 59,590,447 Partners LargeCap Blend Fund I - - 5,392,882 51,850,550 Partners LargeCap Growth Fund I - - 6,783,504 56,985,047 Partners LargeCap Growth Fund II 2,510,917 22,999,999 2,322,508 17,154,371 Partners LargeCap Value Fund 938,086 15,000,000 3,696,092 47,076,753 Partners LargeCap Value Fund I - - 2,328,068 32,072,485 Partners MidCap Growth Fund - - 1,536,051 14,732,215 Partners MidCap Value Fund I - - 1,065,193 14,937,657 Partners SmallCap Growth Fund I - - 1,564,741 14,830,921 Partners SmallCap Growth Fund III - - 1,589,004 17,707,693 Partners SmallCap Value Fund I - - 809,267 14,981,996 Preferred Securities Fund - - 3,109,028 33,254,751 Real Estate Securities Fund - - 1,449,293 28,934,464 SmallCap S&P 600 Index Fund 259,067 5,000,000 858,005 12,686,322 SmallCap Value Fund 49,751 1,000,000 958,512 15,976,660 -------------- --------------- $ 77,119,999 $ 866,176,609 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Realized Gain/Loss from Other Investment Companies on Investments Other Investment Companies ---------------------------------- ---------------------- --------------------- Bond & Mortgage Securities Fund $ 1,190,854 $ 673 $ - Disciplined LargeCap Blend Fund 1,432,643 1,818,513 2,802,449 High Yield Fund II 11,633 - - International Emerging Markets Fund 1,100,253 - 389,334 International Growth Fund 4,721,888 - 5,789,015 LargeCap Growth Fund 422,228 41,462 746,358 LargeCap Value Fund 797,451 121,811 2,038,010 Partners International Fund 1,282,720 - 1,531,513 Partners LargeCap Blend Fund I 300,841 - - Partners LargeCap Growth Fund I 469,119 - 1,439,734 Partners LargeCap Growth Fund II 863,783 2,450,782 712,750 Partners LargeCap Value Fund 897,780 1,797,315 2,457,935 Partners LargeCap Value Fund I 280,885 - 343,089 Partners MidCap Growth Fund 19,534 - 202,195 Partners MidCap Value Fund I 134,290 - 292,881 Partners SmallCap Growth Fund I - - 320,436 Partners SmallCap Growth Fund III 1,463,576 - 287,462 Partners SmallCap Value Fund I 137,024 - 334,486 Preferred Securities Fund 465,190 - - Real Estate Securities Fund 175,283 - 2,768,593 SmallCap S&P 600 Index Fund 262,241 306,578 741,503 SmallCap Value Fund 589,405 43,993 352,550 ---------------------------------- ---------------------- --------------------- $ 17,018,621 $ 6,581,127 $ 23,550,293 ================================== ====================== =====================
Schedule of Investments January 31, 2007 (unaudited) Principal LifeTime 2050 Fund Shares Held Value ------------ --- ------------ INVESTMENT COMPANIES (99.89%) Principal Investors Fund, Inc. Institutional Class (99.89%) Bond & Mortgage Securities Fund (a) 2,358,942 $ 25,004,787 Disciplined LargeCap Blend Fund (a) 3,495,284 56,833,317 High Yield Fund II (a) 311,168 2,732,054 International Emerging Markets Fund (a) 574,674 14,723,138 International Growth Fund (a) 4,705,562 60,090,026 LargeCap Growth Fund (a) 3,878,490 31,338,203 LargeCap Value Fund (a) 1,764,516 22,850,483 Partners International Fund (a) 1,739,843 27,141,551 Partners LargeCap Blend Fund I (a) 2,194,134 21,699,982 Partners LargeCap Growth Fund I (a) 3,025,195 25,472,143 Partners LargeCap Growth Fund II (a) 1,213,794 10,414,352 Partners LargeCap Value Fund (a) 1,786,776 27,659,288 Partners LargeCap Value Fund I (a) 1,064,868 14,961,397 Partners MidCap Growth Fund (a)(b) 562,967 5,584,634 Partners MidCap Value Fund I (a) 391,317 5,650,617 Partners SmallCap Growth Fund I (a)(b) 576,829 5,693,298 Partners SmallCap Growth Fund III (a)(b) 770,686 9,140,330 Partners SmallCap Value Fund I (a) 335,230 6,295,624 Preferred Securities Fund (a) 1,092,968 11,738,478 Real Estate Securities Fund (a) 522,508 14,948,966 SmallCap S&P 600 Index Fund (a) 328,911 5,992,760 SmallCap Value Fund (a) 545,578 10,415,079 ------------ 416,380,507 ------------ TOTAL INVESTMENT COMPANIES $ 416,380,507 ------------ Total Investments $ 416,380,507 Other Assets in Excess of Liabilities, Net - 0.11% 448,993 ------------ TOTAL NET ASSETS - 100.00% $ 416,829,500 ============ (a) Affiliated Security (b) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 40,637,344 Unrealized Depreciation (1,555,353) --------------------- Net Unrealized Appreciation (Depreciation) 39,081,991 Cost for federal income tax purposes 377,298,516 Portfolio Summary (unaudited) ---------------------------------------------------- --------------------- Fund Type Percent ---------------------------------------------------- --------------------- Domestic Equity Funds 65.96% International Equity Funds 24.46% Fixed Income Funds 9.47% Other Assets in Excess of Liabilities, Net 0.11% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Bond & Mortgage Securities Fund 2,129,778 $ 22,681,864 488,151 $ 5,219,991 Disciplined LargeCap Blend Fund 4,468,706 62,643,509 118,811 1,913,972 High Yield Fund II - - 311,168 2,730,000 International Emerging Markets Fund 153,633 3,639,516 421,991 10,938,164 International Growth Fund 3,829,217 40,873,903 878,381 11,202,443 LargeCap Growth Fund 3,804,313 26,022,062 74,177 592,670 LargeCap Value Fund 1,656,061 18,470,944 108,455 1,392,113 Partners International Fund 492,955 7,380,645 1,248,454 19,657,688 Partners LargeCap Blend Fund I 725,376 6,725,807 1,471,401 14,329,416 Partners LargeCap Growth Fund I 878,989 7,121,774 2,148,474 18,409,062 Partners LargeCap Growth Fund II 2,207,972 17,116,933 97,525 823,931 Partners LargeCap Value Fund 2,243,982 28,884,286 105,646 1,622,230 Partners LargeCap Value Fund I 340,789 4,553,226 725,839 10,140,247 Partners MidCap Growth Fund 306,701 2,862,903 257,536 2,509,415 Partners MidCap Value Fund I 208,917 2,862,903 183,261 2,608,603 Partners SmallCap Growth Fund I 313,777 2,862,903 264,322 2,558,988 Partners SmallCap Growth Fund III 775,556 8,605,138 70,773 849,274 Partners SmallCap Value Fund I 176,589 3,208,065 159,511 2,997,291 Preferred Securities Fund 864,458 9,244,331 229,560 2,474,193 Real Estate Securities Fund 331,292 6,807,614 192,053 5,178,220 SmallCap S&P 600 Index Fund 463,238 7,018,573 21,114 384,779 SmallCap Value Fund 517,587 8,634,629 27,991 536,154 ------------- ------------- $ 298,221,528 $ 119,068,844 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Bond & Mortgage Securities Fund 258,987 $ 2,755,858 2,358,942 $ 25,146,374 Disciplined LargeCap Blend Fund 1,092,233 18,000,000 3,495,284 48,115,089 High Yield Fund II - - 311,168 2,730,000 International Emerging Markets Fund 950 24,300 574,674 14,553,269 International Growth Fund 2,036 26,885 4,705,562 52,049,465 LargeCap Growth Fund - - 3,878,490 26,614,732 LargeCap Value Fund - - 1,764,516 19,863,057 Partners International Fund 1,566 24,273 1,739,843 27,014,060 Partners LargeCap Blend Fund I 2,643 25,336 2,194,134 21,029,887 Partners LargeCap Growth Fund I 2,268 19,112 3,025,195 25,511,645 Partners LargeCap Growth Fund II 1,091,703 10,000,000 1,213,794 8,975,829 Partners LargeCap Value Fund 562,852 9,000,000 1,786,776 22,613,432 Partners LargeCap Value Fund I 1,760 24,291 1,064,868 14,669,182 Partners MidCap Growth Fund 1,270 12,414 562,967 5,359,912 Partners MidCap Value Fund I 861 12,411 391,317 5,459,072 Partners SmallCap Growth Fund I 1,270 12,412 576,829 5,409,426 Partners SmallCap Growth Fund III 75,643 1,000,000 770,686 8,470,700 Partners SmallCap Value Fund I 870 16,554 335,230 6,188,811 Preferred Securities Fund 1,050 11,375 1,092,968 11,707,149 Real Estate Securities Fund 837 23,273 522,508 11,962,504 SmallCap S&P 600 Index Fund 155,441 3,000,000 328,911 4,646,013 SmallCap Value Fund - - 545,578 9,170,783 -------------- --------------- $ 43,988,494 $ 377,260,391 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Realized Gain/Loss from Other Investment Companies on Investments Other Investment Companies --------------------------------- ---------------------- --------------------- Bond & Mortgage Securities Fund $ 321,595 $ 377 $ - Disciplined LargeCap Blend Fund 647,457 1,557,608 1,266,515 High Yield Fund II 5,189 - - International Emerging Markets Fund 608,006 -111 216,507 International Growth Fund 2,476,514 4 3,053,129 LargeCap Growth Fund 214,141 - 378,529 LargeCap Value Fund 391,521 - 1,000,592 Partners International Fund 638,201 - 770,790 Partners LargeCap Blend Fund I 134,441 - - Partners LargeCap Growth Fund I 239,595 -79 750,747 Partners LargeCap Growth Fund II 451,432 1,034,965 372,499 Partners LargeCap Value Fund 434,007 1,106,916 1,188,223 Partners LargeCap Value Fund I 139,955 - 174,959 Partners MidCap Growth Fund 9,707 8 100,472 Partners MidCap Value Fund I 63,648 -23 145,719 Partners SmallCap Growth Fund I - -53 159,752 Partners SmallCap Growth Fund III 709,851 16,288 139,423 Partners SmallCap Value Fund I 76,944 9 195,821 Preferred Securities Fund 156,280 - - Real Estate Securities Fund 54,638 -57 802,935 SmallCap S&P 600 Index Fund 100,528 242,661 284,251 SmallCap Value Fund 335,485 - 200,669 --------------------------------- ---------------------- --------------------- $ 8,209,135 $ 3,958,513 $ 11,201,532 ================================= ====================== =====================
Schedule of Investments January 31, 2007 (unaudited) Principal LifeTime Strategic Income Fund Shares Held Value -------------- --- --------------------- INVESTMENT COMPANIES (99.78%) Principal Investors Fund, Inc. Institutional Class (99.78%) Bond & Mortgage Securities Fund (a) 17,783,999 $ 188,510,394 Disciplined LargeCap Blend Fund (a) 1,225,342 19,924,056 Inflation Protection Fund (a) 4,345,949 40,895,377 International Growth Fund (a) 1,404,568 17,936,327 LargeCap Growth Fund (a) 1,226,618 9,911,071 LargeCap Value Fund (a) 565,092 7,317,948 Partners International Fund (a) 698,539 10,897,212 Partners LargeCap Blend Fund I (a) 918,910 9,088,016 Partners LargeCap Growth Fund I (a) 933,170 7,857,289 Partners LargeCap Growth Fund II (a) 363,305 3,117,161 Partners LargeCap Value Fund (a) 621,637 9,622,934 Preferred Securities Fund (a) 3,293,397 35,371,088 Real Estate Securities Fund (a) 981,563 28,082,512 SmallCap S&P 600 Index Fund (a) 496,251 9,041,699 Ultra Short Bond Fund (a) 7,030,397 70,655,489 --------------------- 468,228,573 --------------------- TOTAL INVESTMENT COMPANIES $ 468,228,573 --------------------- Total Investments $ 468,228,573 Other Assets in Excess of Liabilities, Net - 0.22% 1,043,094 --------------------- TOTAL NET ASSETS - 100.00% $ 469,271,667 =====================
(a) Affiliated Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 28,585,649 Unrealized Depreciation (3,719,040) --------------------- Net Unrealized Appreciation (Depreciation) 24,866,609 Cost for federal income tax purposes 443,361,964 Portfolio Summary (unaudited) -------------------------------------------- --- --------------------- Fund Type Percent -------------------------------------------- --- --------------------- Fixed Income Funds 71.48% Domestic Equity Funds 22.15% International Equity Funds 6.15% Other Assets in Excess of Liabilities, Net 0.22% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Bond & Mortgage Securities Fund 14,556,253 $ 156,018,708 3,631,106 $ 38,837,494 Disciplined LargeCap Blend Fund 1,335,389 18,233,704 41,651 670,981 Inflation Protection Fund 552,402 5,298,448 4,054,872 38,712,516 International Growth Fund 1,124,864 10,625,886 309,260 3,925,697 LargeCap Growth Fund 1,203,158 7,749,083 23,460 187,439 LargeCap Value Fund 530,359 5,670,569 34,733 445,829 Partners International Fund 162,046 2,429,874 608,151 9,463,564 Partners LargeCap Blend Fund I 254,261 2,354,704 773,292 7,532,112 Partners LargeCap Growth Fund I 272,574 2,207,057 755,663 6,377,530 Partners LargeCap Growth Fund II 639,792 4,646,511 29,191 246,614 Partners LargeCap Value Fund 709,960 8,680,116 36,755 564,389 Preferred Securities Fund 3,774,552 40,768,195 51,168 548,524 Real Estate Securities Fund 1,021,139 16,370,470 80,855 2,151,260 SmallCap S&P 600 Index Fund 464,396 6,663,347 31,855 580,544 Ultra Short Bond Fund 8,829,006 88,734,076 112,619 1,132,991 ------------- ------------- $ 376,450,748 $ 111,377,484 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Bond & Mortgage Securities Fund 403,360 $ 4,314,478 17,783,999 $ 190,541,724 Disciplined LargeCap Blend Fund 151,698 2,500,000 1,225,342 16,608,707 Inflation Protection Fund 261,325 2,476,555 4,345,949 41,531,885 International Growth Fund 29,556 370,999 1,404,568 14,180,297 LargeCap Growth Fund - - 1,226,618 7,936,522 LargeCap Value Fund - - 565,092 6,116,398 Partners International Fund 71,658 1,095,287 698,539 10,798,507 Partners LargeCap Blend Fund I 108,643 1,057,284 918,910 8,832,013 Partners LargeCap Growth Fund I 95,067 797,712 933,170 7,789,257 Partners LargeCap Growth Fund II 305,678 2,800,000 363,305 2,461,310 Partners LargeCap Value Fund 125,078 2,000,000 621,637 7,495,455 Preferred Securities Fund 532,323 5,750,000 3,293,397 35,561,678 Real Estate Securities Fund 120,431 3,250,000 981,563 15,430,420 SmallCap S&P 600 Index Fund - - 496,251 7,243,891 Ultra Short Bond Fund 1,911,228 19,250,000 7,030,397 70,654,045 -------------- --------------- $ 45,662,315 $ 443,182,109 ============== ===============
Income Distribution from Realized Gain/Loss Realized Gain/Loss from Other Investment Companies on Investments Other Investment Companies ------------------ -------------- -------------- Bond & Mortgage Securities Fund $ 2,182,385 $ - $ - Disciplined LargeCap Blend Fund 226,979 204,022 444,002 Inflation Protection Fund 206,619 -2,524 - International Growth Fund 716,027 -287 884,516 LargeCap Growth Fund 67,725 - 119,714 LargeCap Value Fund 125,386 - 320,443 Partners International Fund 181,563 356 218,347 Partners LargeCap Blend Fund I 34,192 2,481 - Partners LargeCap Growth Fund I 48,889 2,382 150,791 Partners LargeCap Growth Fund II 135,120 368,185 111,494 Partners LargeCap Value Fund 150,995 250,950 413,394 Preferred Securities Fund 548,524 -5,041 - Real Estate Securities Fund 128,090 158,690 2,023,170 SmallCap S&P 600 Index Fund 151,674 - 428,869 Ultra Short Bond Fund 1,048,984 36,978 13,069 ------------------ -------------- -------------- $ 5,953,152 $ 1,016,192 $ 5,127,809 ================== ============== ==============
Schedule of Investments January 31, 2007 (unaudited) Real Estate Securities Fund Shares Held Value ----------------- --- --------------------- COMMON STOCKS (97.75%) Hotels & Motels (1.77%) Starwood Hotels & Resorts Worldwide Inc 571,408 $ 35,758,713 --------------------- Real Estate Operator & Developer (2.12%) Brookfield Properties Corp (a) 916,800 42,667,872 --------------------- REITS - Apartments (23.29%) Archstone-Smith Trust 1,694,119 107,085,262 AvalonBay Communities Inc (a) 915,760 135,862,154 BRE Properties Inc (a) 471,596 32,733,478 Camden Property Trust 549,097 43,049,205 Equity Residential 1,128,419 63,507,421 Essex Property Trust Inc (a) 573,567 82,788,661 Mid-America Apartment Communities Inc (a) 72,770 4,374,932 --------------------- 469,401,113 --------------------- REITS - Diversified (5.38%) Entertainment Properties Trust (a) 289,480 18,775,673 Vornado Realty Trust 733,218 89,709,222 --------------------- 108,484,895 --------------------- REITS - Healthcare (3.15%) Health Care Property Investors Inc 472,929 19,508,321 Ventas Inc (a) 951,487 44,006,274 --------------------- 63,514,595 --------------------- REITS - Hotels (5.01%) Equity Inns Inc 41,913 691,565 Host Hotels & Resorts Inc 2,082,062 55,112,181 LaSalle Hotel Properties 800,968 38,134,086 Sunstone Hotel Investors Inc (a) 250,073 7,074,565 --------------------- 101,012,397 --------------------- REITS - Office Property (25.49%) Alexandria Real Estate Equities Inc (a) 289,469 31,366,861 BioMed Realty Trust Inc 636,541 18,988,018 Boston Properties Inc 905,301 114,149,403 Corporate Office Properties Trust SBI MD (a) 718,791 38,297,184 Douglas Emmett Inc 1,839,065 50,316,818 Equity Office Properties Trust (a) 1,768,487 98,239,453 Kilroy Realty Corp (a) 513,871 44,624,558 SL Green Realty Corp (a) 803,415 117,764,571 --------------------- 513,746,866 --------------------- REITS - Regional Malls (7.61%) Simon Property Group Inc 1,159,098 132,589,220 Taubman Centers Inc 358,485 20,888,921 --------------------- 153,478,141 --------------------- REITS - Shopping Centers (10.42%) Acadia Realty Trust (a) 801,075 20,579,617 Federal Realty Invs Trust (a) 737,416 68,889,403 Kimco Realty Corp (a) 1,958,670 97,150,032 Regency Centers Corp (a) 179,140 15,603,094 Tanger Factory Outlet Centers Inc 189,860 7,708,316 --------------------- 209,930,462 --------------------- REITS - Storage (5.29%) Public Storage Inc 979,580 106,539,121 --------------------- REITS - Warehouse & Industrial (8.22%) AMB Property Corp 714,429 43,473,005 DCT Industrial Trust Inc (a) 1,317,370 15,571,313 EastGroup Properties Inc 158,546 8,678,808 Prologis (a) 1,505,505 97,857,825 --------------------- 165,580,951 --------------------- TOTAL COMMON STOCKS $ 1,970,115,126 --------------------- Principal Amount Value ----------------- --- --------------------- SHORT TERM INVESTMENTS (2.25%) Commercial Paper (2.25%) Investment in Joint Trading Acount; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 45,412,143 45,412,143 --------------------- TOTAL SHORT TERM INVESTMENTS $ 45,412,143 --------------------- MONEY MARKET FUNDS (7.19%) Money Center Banks (7.19%) BNY Institutional Cash Reserve Fund (c) 144,881,000 144,881,000 --------------------- TOTAL MONEY MARKET FUNDS $ 144,881,000 --------------------- Total Investments $ 2,160,408,269 Liabilities in Excess of Other Assets, Net - (7.19)% (144,880,645) --------------------- TOTAL NET ASSETS - 100.00% $ 2,015,527,624 ===================== --------------------- =====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 659,474,821 Unrealized Depreciation (646,193) --------------------- Net Unrealized Appreciation (Depreciation) 658,828,628 Cost for federal income tax purposes 1,501,579,641 Portfolio Summary (unaudited) ----------------------------------------------------- --------------------- REIT Percent ----------------------------------------------------- --------------------- REITS - Office Property 25.49% REITS - Apartments 23.29% REITS - Shopping Centers 10.42% REITS - Warehouse & Industrial 8.22% REITS - Regional Malls 7.61% Money Center Banks 7.19% REITS - Diversified 5.38% REITS - Storage 5.29% REITS - Hotels 5.01% REITS - Healthcare 3.15% Federal Home Loan Mortgage Corporation (FHLMC) 2.25% Real Estate Operator & Developer 2.12% Hotels & Motels 1.77% Liabilities in Excess of Other Assets, Net (-7.19%) --------------------- TOTAL NET ASSETS 100.00% =====================
Schedule of Investments January 31, 2007 (unaudited) SAM Balanced Portfolio Shares Held Value ----------------- --- --------------------- INVESTMENT COMPANIES (99.84%) Principal Investors Fund, Inc. Institutional Class (99.84%) Disciplined LargeCap Blend Fund (a) 32,036,187 $ 520,908,397 Diversified International Fund (a) 25,428,451 353,201,185 Equity Income Fund I (a) 30,395,660 684,206,298 High Yield Fund II (a) 24,904,867 218,664,728 Income Fund (a) 53,937,840 488,137,451 International Emerging Markets Fund (a) 642,012 16,448,352 LargeCap Growth Fund (a) 99,085,681 800,612,301 MidCap Stock Fund (a) 8,640,915 187,248,638 Money Market Fund (a) 88,207,555 88,207,555 Mortgage Securities Fund (a) 76,621,842 803,763,124 Real Estate Securities Fund (a) 4,632,209 132,527,489 Short Term Income Fund (a) 3,690,764 42,775,960 SmallCap Growth Fund (a) 10,173,309 91,051,116 SmallCap Value Fund (a) 4,467,782 85,289,959 West Coast Equity Fund (a) 5,289,798 236,506,882 4,749,549,435 --------------------- TOTAL INVESTMENT COMPANIES $ 4,749,549,435 --------------------- Total Investments $ 4,749,549,435 Other Assets in Excess of Liabilities, Net - 0.16% 7,488,995 --------------------- TOTAL NET ASSETS - 100.00% $ 4,757,038,430 ===================== --------------------- =====================
(a) Affiliated Security (b) Purchases of the Principal Investors Funds, Inc. and sales of the WM Group of Funds include activity from the acquisition of the WM Group of Funds by the Principal Investors Funds, Inc. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ - Unrealized Depreciation - --------------------- Net Unrealized Appreciation (Depreciation) - Cost for federal income tax purposes - Portfolio Summary (unaudited) ------------------------------------------------ --- --------------------- Fund Type Percent ------------------------------------------------ --- --------------------- Domestic Equity Funds 59.42% Fixed Income Funds 32.65% International Equity Funds 7.77% Other Assets in Excess of Liabilities, Net 0.16% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases (b) ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Disciplined LargeCap Blend Fund - $ - 35,250,559 $ 491,727,716 Diversified International Fund - - 28,754,989 333,560,032 Equity Income Fund I - - 30,464,294 529,254,101 High Yield Fund II - - 25,054,883 197,889,065 Income Fund - - 54,194,756 494,828,928 International Emerging Markets Fund - - 649,640 16,617,247 LargeCap Growth Fund - - 99,311,344 658,182,475 MidCap Stock Fund - - 11,549,428 156,472,298 Money Market Fund - - 91,207,555 91,207,555 Mortgage Securities Fund - - 77,019,074 826,423,330 Real Estate Securities Fund - - 5,673,581 106,015,034 Short Term Income Fund - - 3,837,319 44,699,238 SmallCap Growth Fund - - 10,440,201 58,442,011 SmallCap Value Fund - - 5,046,520 88,990,522 West Coast Equity Fund - - 6,487,938 218,546,740 WM Equity Income Fund 25,458,844 417,465,203 1,486,126 32,646,136 WM Growth & Income Fund 20,623,762 452,982,940 2,081,911 54,054,192 WM Growth Fund 42,297,046 630,467,581 78,510 1,416,270 WM High Yield Fund II 24,313,798 191,474,397 1,037,707 9,097,206 WM Income Fund 52,806,166 482,485,235 793,480 7,242,509 WM International Growth Fund 29,047,984 265,161,514 6,847,393 78,894,223 WM Mid Cap Stock Fund 11,306,348 150,752,960 596,820 12,670,095 WM REIT Fund 6,946,852 76,711,291 1,988,176 37,470,497 WM SmallCap Growth Fund - - 5,751,117 58,356,348 WM Short Term Income Fund 18,932,127 44,108,912 201,982 468,598 WM U.S. Government Securities Fund 75,701,093 812,938,124 937,219 9,900,032 WM West Coast Equity Fund 6,469,718 217,571,847 189,015 8,367,733 WM WM Small Cap Value Fund 7,485,166 74,523,790 1,495,675 16,739,133 ------------- ------------- $ $ 3,875,000,142 4,581,822,916 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales (b) January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Disciplined LargeCap Blend Fund 3,214,372 $ 52,388,622 32,036,187 $ 439,820,306 Diversified International Fund 3,326,538 46,398,402 25,428,451 283,200,927 Equity Income Fund I 68,634 1,532,976 30,395,660 527,731,050 High Yield Fund II 150,016 1,317,027 24,904,867 196,555,416 Income Fund 256,916 2,326,239 53,937,840 492,391,102 International Emerging Markets Fund 7,628 195,692 642,012 16,423,682 LargeCap Growth Fund 225,663 1,814,862 99,085,681 656,348,170 MidCap Stock Fund 2,908,513 62,024,320 8,640,915 105,900,436 Money Market Fund 3,000,000 3,000,000 88,207,555 88,207,555 Mortgage Securities Fund 397,232 4,170,077 76,621,842 822,054,653 Real Estate Securities Fund 1,041,372 29,097,379 4,632,209 77,140,709 Short Term Income Fund 146,555 1,698,498 3,690,764 42,937,354 SmallCap Growth Fund 266,892 2,373,997 10,173,309 56,120,269 SmallCap Value Fund 578,738 10,983,439 4,467,782 77,773,483 West Coast Equity Fund 1,198,140 52,594,004 5,289,798 169,076,317 WM Equity Income Fund 26,944,970 450,929,972 - - WM Growth & Income Fund 22,705,673 508,163,973 - - WM Growth Fund 42,375,556 632,042,936 - - WM High Yield Fund II 25,351,505 200,530,532 - - - WM Income Fund 53,599,646 489,589,206 - - WM International Growth Fund 35,895,377 344,555,482 - - WM Mid Cap Stock Fund 11,903,168 164,035,049 - - WM REIT Fund 8,935,028 115,694,858 - - WM SmallCap Growth Fund - - 5,751,117 58,356,348 WM Short Term Income Fund - 19,134,109 44,577,510 - WM U.S. Government Securities Fund 76,638,312 822,640,159 - - WM West Coast Equity Fund 6,658,733 226,116,638 - - WM WM Small Cap Value Fund 8,980,841 91,467,601 - - -------------- --------------- $ $ 4,420,615,798 4,051,681,429 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Other Investment Companies on Investments -------------------------------------- ---------------------- ---------------------- Disciplined LargeCap Blend Fund $ - $ 481,212 Diversified International Fund - (3,960,702) Equity Income Fund I - 9,925 1 High Yield Fund II (16,623) 738,284 Income Fund (111,587) 1,208,115 International Emerging Markets Fund - 2,127 LargeCap Growth Fund - (19,443) MidCap Stock Fund - 11,452,458 Money Market Fund - 106,245 Mortgage Securities Fund (198,600) 1,696,509 Real Estate Securities Fund - 223,054 Short Term Income Fund (63,385) 78,719 SmallCap Growth Fund - 52,255 SmallCap Value Fund - (233,601) West Coast Equity Fund - 3,123,581 WM Equity Income Fund - 818,633 WM Growth & Income Fund 345,426 1,126,841 WM Growth Fund 83,173 159,085 WM High Yield Fund II - (41,071) WM Income Fund - (138,538) WM International Growth Fund 2,329,732 499,745 WM Mid Cap Stock Fund - 611,994 WM REIT Fund - 1,513,070 WM Short Term Income Fund - - WM U.S. Government Securities Fund - (197,997) WM West Coast Equity Fund - 177,058 WM WM Small Cap Value Fund - 204,678 ---------------------- -------------------------------------- ---------------------- $ $ 6,586,203 15,474,169 ====================================== ======================
Realized Gain/Loss from Other Investment Companies --------------------- Disciplined LargeCap Blend Fund $ - Diversified International Fund - Equity Income Fund I - High Yield Fund II - Income Fund - International Emerging Markets Fund - LargeCap Growth Fund - MidCap Stock Fund - Money Market Fund - Mortgage Securities Fund - Real Estate Securities Fund - Short Term Income Fund - SmallCap Growth Fund - SmallCap Value Fund - West Coast Equity Fund - WM Equity Income Fund - WM Growth & Income Fund 45,378,759 WM Growth Fund - WM High Yield Fund II - WM Income Fund - WM International Growth Fund 54,485,849 WM Mid Cap Stock Fund - WM REIT Fund 24,165,272 WM Short Term Income Fund - WM U.S. Government Securities Fund - WM West Coast Equity Fund - WM WM Small Cap Value Fund 12,977,661 --------------------- $ 137,007,541 ===================== Schedule of Investments January 31, 2007 (unaudited) SAM Conservative Balanced Portfolio Shares Held Value -------------- ------------------ INVESTMENT COMPANIES (99.85%) Principal Investors Fund, Inc. Institutional Class (99.85%) Disciplined LargeCap Blend Fund (a) 2,960,130 $ 48,131,715 Diversified International Fund (a) 2,348,107 32,615,208 Equity Income Fund I (a) 2,804,587 63,131,263 High Yield Fund II (a) 4,292,986 37,692,419 Income Fund (a) 12,658,394 114,558,469 International Emerging Markets Fund (a) 259,631 6,651,745 LargeCap Growth Fund (a) 9,064,421 73,240,525 MidCap Stock Fund (a) 828,449 17,952,483 Money Market Fund (a) 822,722 822,722 Mortgage Securities Fund (a) 16,014,755 167,994,778 Real Estate Securities Fund (a) 432,065 12,361,394 Short Term Income Fund (a) 3,074,020 35,627,891 SmallCap Growth Fund (a)(b) 872,105 7,805,339 SmallCap Value Fund (a) 408,697 7,802,022 West Coast Equity Fund (a) 488,617 21,846,059 648,234,032 ---------------- TOTAL INVESTMENT COMPANIES $ 648,234,032 ---------------- Total Investments $ 648,234,032 Other Assets in Excess of Liabilities, Net - 0.15% 948,741 ---------------- TOTAL NET ASSETS - 100.00% $ 649,182,773 ================ ---------------- ================ (a) Affiliated Security (b) Non-Income Producing Security (c) Purchases of the Principal Investors Funds, Inc. and sales of the WM Group of Funds include activity from the acquisition of the WM Group of Funds by the Principal Investors Funds, Inc. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 71,289,951 Unrealized Depreciation (7,839,928) --------------------- Net Unrealized Appreciation (Depreciation) 63,450,023 Cost for federal income tax purposes 584,784,009 Portfolio Summary (unaudited) -------------------------------------------- --- --------------------- Fund Type Percent -------------------------------------------- --- --------------------- Fixed Income Funds 54.82% Domestic Equity Funds 38.98% International Equity Funds 6.05% Other Assets in Excess of Liabilities, Net 0.15% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases (c) ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Disciplined LargeCap Blend Fund - $ - 3,212,384 $ 43,692,735 Diversified International Fund - - 2,601,462 29,008,011 Equity Income Fund I - - 2,811,805 48,068,757 High Yield Fund II - - 4,314,238 33,271,673 Income Fund - - 12,715,230 117,201,639 International Emerging Markets Fund - - 260,259 6,655,854 LargeCap Growth Fund - - 9,086,464 60,194,097 MidCap Stock Fund - - 1,064,061 15,733,893 Money Market Fund - - 822,722 822,722 Mortgage Securities Fund - - 16,083,233 173,653,462 Real Estate Securities Fund - - 526,644 10,055,148 Short Term Income Fund - - 3,087,434 36,368,614 SmallCap Growth Fund - - 879,063 4,587,574 SmallCap Value Fund - - 417,741 7,351,797 West Coast Equity Fund - - 591,005 19,061,790 WM Equity Income Fund 2,638,136 44,128,010 101,824 2,236,778 WM Growth & Income Fund 1,903,681 40,774,782 184,047 4,779,439 WM Growth Fund 3,652,830 53,622,409 6,364 114,802 WM High Yield Fund II 4,235,031 32,572,670 273,518 2,397,922 WM Income Fund 12,585,058 116,101,816 352,033 3,213,243 WM International Growth Fund 2,623,920 22,772,501 - - WM Mid Cap Stock Fund 1,049,968 15,368,094 60,931 1,293,542 WM REIT Fund 642,063 7,301,088 118,018 2,225,612 WM Short Term Income Fund 15,506,554 36,564,235 463,124 1,074,447 WM Small Cap Growth Fund 476,428 4,452,771 WM U.S. Government Securities Fund 15,982,471 172,750,373 314,385 3,320,935 WM West Coast Equity Fund 593,608 19,156,898 7,473 330,827 WM WM Small Cap Value Fund 621,416 6,177,418 147,327 1,649,686 ------------- ------------- $ $ 571,743,065 628,364,999 ============= ============= ------------- ------------- ============= =============
Affiliated Securities Sales (c) January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Disciplined LargeCap Blend Fund 252,254 $ 4,110,780 2,960,130 $ 39,635,771 Diversified International Fund 253,355 3,533,341 2,348,107 25,351,808 Equity Income Fund I 7,218 160,682 2,804,587 47,907,816 High Yield Fund II 21,252 186,503 4,292,986 33,085,356 Income Fund 56,836 514,461 12,658,394 116,663,408 International Emerging Markets Fund 628 16,068 259,631 6,639,899 LargeCap Growth Fund 22,043 176,750 9,064,421 60,014,446 MidCap Stock Fund 235,612 5,024,423 828,449 11,611,879 Money Market Fund - - 822,722 822,722 Mortgage Securities Fund 68,478 718,085 16,014,755 172,895,219 Real Estate Securities Fund 94,579 2,644,214 432,065 7,427,918 Short Term Income Fund 13,414 155,419 3,074,020 36,206,978 SmallCap Growth Fund 6,958 61,115 872,105 4,528,111 SmallCap Value Fund 9,044 171,115 408,697 7,155,649 West Coast Equity Fund 102,388 4,494,423 488,617 14,837,028 WM Equity Income Fund - - 2,739,960 46,495,303 WM Growth & Income Fund - - 2,087,728 45,763,181 WM Growth Fund - - 3,659,194 53,782,540 WM High Yield Fund II - - 4,508,549 34,977,198 WM Income Fund - - 12,937,091 119,240,313 WM International Growth Fund 2,623,920 - - 22,835,403 WM Mid Cap Stock Fund - - 1,110,899 16,734,591 WM REIT Fund - - 760,081 9,633,682 WM Short Term Income Fund - - 15,969,678 37,605,066 WM Small Cap Growth Fund 476,428 4,453,722 WM U.S. Government Securities Fund - - 16,296,856 175,922,447 WM West Coast Equity Fund - - 601,081 19,506,805 WM WM Small Cap Value Fund - - 768,743 7,841,541 -------------- --------------- $ $ 584,784,012 616,759,171 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Realized Gain/Loss from Other Investment Companies on Investments Other Investment Companies ------------ ------------- --------------- Disciplined LargeCap Blend Fund $ - $ 53,816 $ - Diversified International Fund - (122,862) - Equity Income Fund I - (258) - High Yield Fund II 186 - 127,762 Income Fund (23,770) - 285,951 International Emerging Markets Fund - 113 - LargeCap Growth Fund - (2,900) - MidCap Stock Fund - 902,410 - Money Market Fund - - 831 Mortgage Securities Fund (40,158) - 356,090 Real Estate Securities Fund - 16,984 - Short Term Income Fund (6,217) - 64,212 SmallCap Growth Fund - 1,652 - SmallCap Value Fund - (25,033) - West Coast Equity Fund - 269,661 - WM Equity Income Fund - 130,515 - WM Growth & Income Fund 31,462 208,960 4,133,220 WM Growth Fund 7,125 45,329 - WM High Yield Fund II - 6,606 - WM Income Fund - (74,746) - WM International Growth Fund 209,880 62,902 4,908,503 WM Mid Cap Stock Fund - 72,955 - WM REIT Fund - 106,982 2,241,959 WM Short Term Income Fund - (33,616) - WM Small Cap Growth Fund 952 WM U.S. Government Securities Fund - (148,861) - WM West Coast Equity Fund - 19,080 - WM WM Small Cap Value Fund - 14,437 1,073,745 ------------ ------------- --------------- $ $ $ 12,357,427 1,435,119 1,083,313 ============ ============= ===============
Schedule of Investments January 31, 2007 (unaudited) SAM Conservative Growth Portfolio Shares Held Value --------------- --- --------------------- INVESTMENT COMPANIES (99.95%) Principal Investors Fund, Inc. Institutional Class (99.95%) Disciplined LargeCap Blend Fund (a) 34,097,602 $ 554,427,004 Diversified International Fund (a) 27,035,687 375,525,692 Equity Income Fund I (a) 32,366,933 728,579,671 High Yield Fund II (a) 11,660,340 102,377,787 Income Fund (a) 18,500,394 167,428,562 International Emerging Markets Fund (a) 743,394 19,045,743 LargeCap Growth Fund (a) 102,436,871 827,689,915 MidCap Stock Fund (a) 10,034,616 217,450,137 Money Market Fund (a) 66,984,892 66,984,892 Mortgage Securities Fund (a) 26,524,228 278,239,153 Real Estate Securities Fund (a) 4,930,820 141,070,768 SmallCap Growth Fund (a)(b) 11,416,533 102,177,967 SmallCap Value Fund (a) 4,827,016 92,147,735 West Coast Equity Fund (a) 5,635,712 251,972,695 3,925,117,721 --------------------- TOTAL INVESTMENT COMPANIES $ 3,925,117,721 --------------------- Total Investments $ 3,925,117,721 Other Assets in Excess of Liabilities, Net - 0.05% 1,832,839 --------------------- TOTAL NET ASSETS - 100.00% $ 3,926,950,560 ===================== --------------------- =====================
(a) Affiliated Security (b) Non-Income Producing Security (c) Purchases of the Principal Investors Funds, Inc. and sales of the WM Group of Funds include activity from the acquisition of the WM Group of Funds by the Principal Investors Funds, Inc. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 715,315,677 Unrealized Depreciation (9,835,496) --------------------- Net Unrealized Appreciation (Depreciation) 705,480,181 Cost for federal income tax purposes 3,219,637,531 Portfolio Summary (unaudited) ------------------------------------------------------- --------------------- Fund Type Percent ------------------------------------------------------- --------------------- Domestic Equity Funds 75.95% Fixed Income Funds 13.95% International Equity Funds 10.05% Other Assets in Excess of Liabilities, Net 0.05% --------------------- TOTAL NET ASSETS 100.00%
Affiliated Securities October 31, 2006 Purchases (c) ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Disciplined LargeCap Blend Fund - $ - 38,521,565 $ 541,503,549 Diversified International Fund - - 29,182,861 342,581,239 Equity Income Fund I - - 32,450,494 577,639,848 High Yield Fund II - - 11,695,751 88,984,824 Income Fund - - 18,590,581 167,174,084 International Emerging Markets Fund - - 750,541 19,200,609 LargeCap Growth Fund - - 102,784,814 702,299,466 MidCap Stock Fund - - 12,209,413 164,457,035 Money Market Fund - - 73,984,892 73,984,892 Mortgage Securities Fund - - 26,657,182 285,813,514 Real Estate Securities Fund - - 6,190,818 117,482,794 SmallCap Growth Fund - - 11,841,854 69,962,903 SmallCap Value Fund - - 5,721,430 100,985,662 West Coast Equity Fund - - 6,965,356 236,779,677 WM Equity Income Fund 275,105,601 467,539,175 1,609,985 35,367,037 WM Growth & Income Fund 2,273,550 59,027,724 22,275,162 492,442,633 WM Growth Fund 42,764,512 658,078,141 80,179 1,446,375 WM High Yield Fund 10,986,128 82,764,493 470,294 4,122,875 WM Income Fund 16,276,623 146,262,313 244,810 2,234,509 WM International Growth Fund 29,315,101 6,946,264 80,027,760 271,085,181 WM Mid Cap Stock Fund 11,888,122 157,195,129 629,594 13,365,848 WM REIT Fund 7,500,801 2,165,539 40,803,107 84,240,651 WM SmallCap Growth Fund 6,543,442 70,201,084 - - WM WM Small Cap Value Fund 8,435,086 83,954,879 1,694,447 18,961,451 WM US Government Fund 26,461,920 283,838,552 327,957 3,464,268 WM West Coast Equity Fund 6,881,773 232,976,477 202,054 8,944,964 ------------- ------------- $ $ 3,030,578,708 3,756,616,014 ============= ============= ============= =============
Affiliated Securities Sales (c) January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Disciplined LargeCap Blend Fund 4,423,963 $ 72,111,996 34,097,602 $ 470,527,126 Diversified International Fund 2,147,174 29,944,336 27,035,687 309,402,285 Equity Income Fund I 83,561 1,866,160 32,366,933 575,781,760 High Yield Fund II 35,411 311,027 11,660,340 88,673,743 Income Fund 90,187 816,407 18,500,394 166,324,231 International Emerging Markets Fund 7,147 183,199 743,394 19,018,708 LargeCap Growth Fund 347,943 2,798,389 102,436,871 698,445,831 MidCap Stock Fund 2,174,797 46,380,281 10,034,616 125,754,400 Money Market Fund 7,000,000 7,000,000 66,984,892 66,984,892 Mortgage Securities Fund 132,954 1,395,236 26,524,228 284,355,010 Real Estate Securities Fund 1,259,998 35,210,426 4,930,820 82,539,125 SmallCap Growth Fund 425,321 3,773,064 11,416,533 66,243,040 SmallCap Value Fund 894,414 16,982,231 4,827,016 83,714,113 West Coast Equity Fund 1,329,644 58,365,957 5,635,712 181,873,265 WM Equity Income Fund - - 273,495,616 503,549,856 WM Growth & Income Fund - - 20,001,612 552,513,021 WM Growth Fund - - 42,684,333 656,951,057 WM High Yield Fund - - 10,515,834 86,879,146 WM Income Fund - - 16,031,813 148,443,075 WM International Growth Fund - - 22,368,837 351,501,802 WM Mid Cap Stock Fund - - 11,258,528 171,024,636 WM REIT Fund - - 5,335,262 126,132,094 WM SmallCap Growth Fund - - 6,543,442 70,187,902 WM WM Small Cap Value Fund - - 6,740,639 103,090,162 WM US Government Fund - - 26,133,963 287,220,922 WM West Coast Equity Fund - - 6,679,719 242,002,594 -------------- --------------- $ $ 3,576,634,976 $3,219,637,529 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Realized Gain/Loss from Other Investment Companies on Investments Other Investment Companies -------------------------------------- ---------------------- -------------------- Disciplined LargeCap Blend Fund $ - $ 1,135,573 $ - Diversified International Fund - (3,234,618) - Equity Income Fund I - 8,072 - High Yield Fund II (54) - 340,590 Income Fund (33,446) - 391,152 International Emerging Markets Fund - 1,298 - LargeCap Growth Fund - (1,055,246) - MidCap Stock Fund - 7,677,646 - Money Market Fund - - 72,755 Mortgage Securities Fund (63,268) - 591,256 Real Estate Securities Fund - 266,757 - SmallCap Growth Fund - 53,201 - SmallCap Value Fund - (289,318) - West Coast Equity Fund - 3,459,545 - WM Equity Income Fund 643,644 WM Growth & Income Fund 377,383 1,042,664 49,577,062 WM Growth Fund (2,573,459) WM High Yield Fund (8,222) WM Income Fund (53,747) WM International Growth Fund 2,364,440 388,861 55,297,582 WM Mid Cap Stock Fund 463,659 WM REIT Fund - 1,088,336 26,368,319 WM Small Cap Growth Fund (13,182) WM WM Small Cap Value Fund - 173,832 14,713,263 WM U.S. Government Fund (81,898) WM West Coast Equity Fund 81,153 ---------------------- -------------------------------------- ---------------------- -------------------- $ $ $ 145,956,226 4,137,576 9,077,783 ====================================== ====================== ====================
Schedule of Investments January 31, 2007 (unaudited) SAM Flexible Income Portfolio Shares Held Value ------------- --- --------------------- INVESTMENT COMPANIES (99.86%) Principal Investors Fund, Inc. Institutional Class (99.86%) Disciplined LargeCap Blend Fund (a) 2,882,564 $ 46,870,487 Equity Income Fund I (a) 2,027,872 45,647,389 High Yield Fund II (a) 6,277,796 55,119,051 Income Fund (a) 22,828,572 206,598,576 LargeCap Growth Fund (a) 7,806,260 63,074,584 MidCap Stock Fund (a) 899,172 19,485,061 Mortgage Securities Fund (a) 24,747,517 259,601,451 Real Estate Securities Fund (a) 364,400 10,425,494 Short Term Income Fund (a) 8,486,090 98,353,777 SmallCap Growth Fund (a)(b) 930,206 8,325,348 SmallCap Value Fund (a) 435,885 8,321,038 West Coast Equity Fund (a) 237,795 10,631,811 832,454,067 --------------------- TOTAL INVESTMENT COMPANIES $ 832,454,067 --------------------- Total Investments $ 832,454,067 Other Assets in Excess of Liabilities, Net - 0.14% 1,141,229 --------------------- TOTAL NET ASSETS - 100.00% $ 833,595,296 ===================== --------------------- =====================
(a) Affiliated Security (b) Non-Income Producing Security (c) Purchases of the Principal Investors Funds, Inc. and sales of the WM Group of Funds include activity from the acquisition of the WM Group of Funds by the Principal Investors Funds, Inc. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 76,566,677 Unrealized Depreciation (10,240,168) --------------------- Net Unrealized Appreciation (Depreciation) 66,326,509 Cost for federal income tax purposes 766,127,558 Portfolio Summary (unaudited) ---------------------------------------------------- --------------------- Fund Type Percent ---------------------------------------------------- --------------------- Fixed Income Funds 74.34% Domestic Equity Funds 25.52% International Equity Funds 0.00% Other Assets in Excess of Liabilities, Net 0.14% --------------------- TOTAL NET ASSETS 100.00%
Affiliated Securities October 31, 2006 Purchases (c) ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Disciplined LargeCap Blend Fund - $ - 3,109,343 $ 37,492,421 Equity Income Fund I - - 2,038,396 31,325,203 High Yield Fund II - - 6,420,063 47,593,402 Income Fund - - 23,115,177 210,835,032 LargeCap Growth Fund - - 7,853,047 47,578,810 MidCap Stock Fund - - 1,149,436 13,428,311 Mortgage Securities Fund - - 25,053,888 269,528,294 Real Estate Securities Fund - - 368,528 6,733,232 Short Term Income Fund - - 8,587,303 100,625,774 SmallCap Growth Fund - - 1,052,006 4,565,695 SmallCap Value Fund - - 495,540 8,691,386 West Coast Equity Fund - - 249,646 6,161,190 WM Equity Income Fund 1,774,927 25,223,880 101,824 2,236,778 WM Growth & Income Fund 1,938,075 36,710,433 184,047 4,779,439 WM Growth Fund 3,621,984 50,253,616 6,364 114,802 WM High Yield Fund 6,479,561 48,061,466 273,518 2,397,922 WM Income Fund 23,555,284 215,093,208 352,033 3,213,243 WM Mid Cap Stock Fund 1,181,439 13,857,743 60,931 1,293,542 WM REIT Fund 419,895 4,190,759 118,018 2,225,612 WM Short Term Income Fund 43,762,216 102,650,379 463,124 1,074,447 WM Small Cap Growth Fund 611,467 4,958,987 - - WM WM Small Cap Value Fund 765,097 7,614,759 147,327 1,649,686 WM US Government Fund 25,509,509 274,756,606 314,385 3,320,935 WM West Coast Equity Fund 262,137 6,582,606 7,473 330,827 ------------- ------------- $ $ 789,954,442 807,195,983 ============= ============= ------------- -------------
Affiliated Securities Sales (c) January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Disciplined LargeCap Blend Fund 226,779 $ 3,667,066 2,882,564 $ 33,851,821 Equity Income Fund I 10,524 234,799 2,027,872 31,090,550 High Yield Fund II 142,267 1,249,528 6,277,796 46,400,537 Income Fund 286,605 2,595,424 22,828,572 208,153,425 LargeCap Growth Fund 46,787 375,678 7,806,260 47,197,620 MidCap Stock Fund 250,264 5,338,791 899,172 9,997,037 Mortgage Securities Fund 306,371 3,215,619 24,747,517 266,162,190 Real Estate Securities Fund 4,128 114,647 364,400 6,600,566 Short Term Income Fund 101,213 1,172,702 8,486,090 99,416,272 SmallCap Growth Fund 121,800 1,081,334 930,206 3,882,408 SmallCap Value Fund 59,655 1,131,334 435,885 7,568,488 West Coast Equity Fund 11,851 520,770 237,795 5,806,644 WM Equity Income Fund - - 1,876,751 27,731,109 WM Growth & Income Fund - - 2,122,122 42,324,220 WM Growth Fund - - 3,628,348 50,521,817 WM High Yield Fund - - 6,753,079 50,519,039 WM Income Fund - - 23,907,317 218,095,245 WM Mid Cap Stock Fund - - 1,242,370 15,415,512 WM REIT Fund - - 537,913 6,582,032 WM Short Term Income Fund - - 44,225,340 103,618,732 WM Small Cap Growth Fund - - 611,467 5,066,695 WM WM Small Cap Value Fund - - 912,424 9,326,636 WM US Government Fund - - 25,823,894 277,679,987 WM West Coast Equity Fund - - 269,610 7,043,341 -------------- --------------- $ $ 766,127,558 834,622,057 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Other Investment Companies on Investments --------------------------------- ---------------------- Disciplined LargeCap Blend Fund $ - $ 26,466 Equity Income Fund I - 146 High Yield Fund II 56,663 188,574 Income Fund (86,183) 518,760 LargeCap Growth Fund - (5,512) MidCap Stock Fund - 1,907,517 Mortgage Securities Fund (150,485) 553,559 Real Estate Securities Fund - (18,019) Short Term Income Fund (36,800) 178,204 SmallCap Growth Fund - 398,047 SmallCap Value Fund - 8,436 West Coast Equity Fund - 166,224 WM Equity Income Fund 270,451 WM Growth & Income Fund 30,469 834,348 WM Growth Fund 153,399 WM High Yield Fund 59,651 WM Income Fund (211,206) WM Mid Cap Stock Fund 264,227 WM REIT Fund - 165,661 WM Short Term Income Fund (106,094) WM Small Cap Growth Fund 107,708 WM WM Small Cap Value Fund - 62,191 WM US Government Fund (397,554) WM West Coast Equity Fund 129,908 --------------------------------- ---------------------- $ $ 1,469,566 3,599,190.00 ================================= ======================
Realized Gain/Loss from Other Investment Companies --------------------- Disciplined LargeCap Blend Fund $ - Equity Income Fund I - High Yield Fund II - Income Fund - LargeCap Growth Fund - MidCap Stock Fund - Mortgage Securities Fund - Real Estate Securities Fund - Short Term Income Fund - SmallCap Growth Fund - SmallCap Value Fund - West Coast Equity Fund - WM Equity Income Fund WM Growth & Income Fund 4,002,720 WM Growth Fund WM High Yield Fund WM Income Fund WM Mid Cap Stock Fund WM REIT Fund 1,428,037 WM Short Term Income Fund WM Small Cap Growth Fund WM WM Small Cap Value Fund 1,274,334 WM US Government Fund WM West Coast Equity Fund --------------------- $ 6,705,091 =====================
Schedule of Investments January 31, 2007 (unaudited) SAM Strategic Growth Portfolio Shares Held Value ----------------- ------------------ INVESTMENT COMPANIES (99.99%) Principal Investors Fund, Inc. Institutional Class (99.99%) Disciplined LargeCap Blend Fund (a) 23,784,312 $ 386,732,916 Diversified International Fund (a) 18,626,904 258,727,692 Equity Income Fund I (a) 21,447,687 482,787,424 High Yield Fund II (a) 11,038,822 96,920,858 International Emerging Markets Fund (a) 1,402,095 35,921,680 LargeCap Growth Fund (a) 69,790,383 563,906,296 MidCap Stock Fund (a) 7,539,167 163,373,745 Money Market Fund (a) 22,177,375 22,177,375 Real Estate Securities Fund (a) 3,424,406 97,972,243 SmallCap Growth Fund (a)(b) 7,622,724 68,223,383 SmallCap Value Fund (a) 3,307,982 63,149,372 West Coast Equity Fund (a) 4,163,703 186,159,182 2,426,052,166 ---------------- TOTAL INVESTMENT COMPANIES $ 2,426,052,166 ---------------- Total Investments $ 2,426,052,166 Other Assets in Excess of Liabilities, Net - 0.01% 203,938 ---------------- TOTAL NET ASSETS - 100.00% $ 2,426,256,104 ================ ---------------- ================
(a) Affiliated Security (b) Non-Income Producing Security (c) Purchases of the Principal Investors Funds, Inc. and sales of the WM Group of Funds include activity from the acquisition of the WM Group of Funds by the Principal Investors Funds, Inc. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 450,840,127 Unrealized Depreciation (14,434,458) --------------------- Net Unrealized Appreciation (Depreciation) 436,405,669 Cost for federal income tax purposes 1,989,646,507 Portfolio Summary (unaudited) ------------------------------------------------------ --------------------- Fund Type Percent ------------------------------------------------------ --------------------- Domestic Equity Funds 83.85% International Equity Funds 12.14% Fixed Income Funds 4.00% Other Assets in Excess of Liabilities, Net 0.01% --------------------- TOTAL NET ASSETS 100.00% =====================
Affiliated Securities October 31, 2006 Purchases (c) ------------------------------------------- ----------------------------- Shares Cost Shares Cost ------------- ------------- ------------ ------------- Disciplined LargeCap Blend Fund - $ - 25,111,196 $ 361,556,101 Diversified International Fund - - 20,575,907 248,249,064 Equity Income Fund I - - 21,495,479 391,021,194 High Yield Fund II - - 11,088,649 87,525,629 International Emerging Markets Fund - - 1,406,582 36,078,394 LargeCap Growth Fund - - 69,942,955 500,768,467 MidCap Stock Fund - - 9,191,326 123,248,038 Money Market Fund - - 52,177,375 52,177,375 Real Estate Securities Fund - - 3,774,472 73,625,158 SmallCap Growth Fund - - 7,804,821 48,091,439 SmallCap Value Fund - - 3,773,405 66,681,221 West Coast Equity Fund - - 4,855,663 164,682,323 WM Equity Income Fund 17,834,100 309,510,116 1,044,964 22,955,063 WM Growth & Income Fund 14,479,726 1,482,094 38,479,179 328,573,876 WM Growth Fund 30,645,273 498,814,706 57,614 1,039,320 WM High Yield Fund 10,757,284 84,627,815 461,838 4,048,950 WM International Growth Fund 20,568,637 4,891,713 56,351,936 196,616,961 WM Mid Cap Stock Fund 8,900,737 116,738,433 471,673 10,013,475 WM REIT Fund 4,586,319 53,627,579 1,319,782 24,865,930 WM Small Cap Growth Fund 4,302,818 48,085,262 - - WM WM Small Cap Value Fund 5,533,190 1,115,822 12,485,551 55,090,813 WM West Coast Equity Fund 4,771,916 160,930,578 140,389 6,215,027 ------------- ------------- $ $ 1,852,616,139 2,330,158,834 ============= ============= ============= =============
Affiliated Securities Sales (c) January 31, 2007 ------------------------------- ------------------------------------- Shares Proceeds Shares Cost ------------- -------------- ----------- --------------- Disciplined LargeCap Blend Fund 1,326,884 $ 21,622,797 23,784,312 $ 339,859,754 Diversified International Fund 1,949,003 27,155,322 18,626,904 218,199,862 Equity Income Fund I 47,792 1,070,072 21,447,687 389,954,849 High Yield Fund II 49,827 437,493 11,038,822 87,088,694 International Emerging Markets Fund 4,487 115,473 1,402,095 35,963,873 LargeCap Growth Fund 152,572 1,230,583 69,790,383 498,871,628 MidCap Stock Fund 1,652,159 35,232,265 7,539,167 93,983,173 Money Market Fund 30,000,000 30,000,000 22,177,375 22,177,375 Real Estate Securities Fund 350,067 9,780,449 3,424,406 63,346,710 SmallCap Growth Fund 182,096 1,617,120 7,622,724 46,543,513 SmallCap Value Fund 465,423 8,837,977 3,307,982 57,580,753 West Coast Equity Fund 691,959 30,374,768 4,163,703 136,076,322 WM Equity Income Fund - - 16,789,136 332,801,955 WM Growth & Income Fund - - 12,997,632 365,709,658 WM Growth Fund - - 30,587,659 500,377,178 WM High Yield Fund - - 10,295,446 88,672,031 WM International Growth Fund - - 15,676,924 253,327,371 WM Mid Cap Stock Fund - - 8,429,064 126,915,899 WM REIT Fund - - 3,266,537 79,182,358 - WM Small Cap Growth Fund - - 4,302,818 48,080,782 WM WM Small Cap Value Fund - - 4,417,368 67,674,727 WM West Coast Equity Fund - - 4,631,527 167,180,867 -------------- --------------- $ $ 2,197,397,145 1,989,646,506 ============== =============== -------------- --------------- ============== ===============
Income Distribution from Realized Gain/Loss Other Investment Companies on Investments -------------------------------------- ---------------------- Disciplined LargeCap Blend Fund $ - $ (73,550) Diversified International Fund - (2,893,880) Equity Income Fund I - 3,727 High Yield Fund II 558 328,696 International Emerging Markets Fund - 952 LargeCap Growth Fund - (666,256) MidCap Stock Fund - 5,967,400 Money Market Fund - 44,309 Real Estate Securities Fund - (497,999) SmallCap Growth Fund - 69,194 SmallCap Value Fund - (262,491) West Coast Equity Fund - 1,768,767 WM Equity Income Fund 336,776 WM Growth Fund (1,343,397) WM Growth & Income Fund 246,021 523,152 WM High Yield Fund (4,734) WM Mid Cap Stock 358,474 WM International Growth Fund 1,666,111 163,991 WM REIT Fund - 688,849 WM WM Small Cap Growth Fund (4,480) WM WM Small Cap Value Fund - 98,363 WM West Coast Equity 35,262 ---------------------- -------------------------------------- ---------------------- $ $ 2,285,137 4,268,678 ====================================== ======================
Realized Gain/Loss from Other Investment Companies --------------------- Disciplined LargeCap Blend Fund $ - Diversified International Fund - Equity Income Fund I - High Yield Fund II - International Emerging Markets Fund - LargeCap Growth Fund - MidCap Stock Fund - Money Market Fund - Real Estate Securities Fund - SmallCap Growth Fund - SmallCap Value Fund - West Coast Equity Fund - WM Equity Income Fund WM Growth Fund WM Growth & Income Fund 32,319,928 WM High Yield Fund WM Mid Cap Stock WM International Growth Fund 38,965,638 WM REIT Fund 16,076,468 WM WM Small Cap Growth Fund WM WM Small Cap Value Fund 9,693,084 WM West Coast Equity --------------------- $ 97,055,118 =====================
Schedule of Investments January 31, 2007 (unaudited) Short-Term Bond Fund Principal Amount Value --------------- --- --------------------- BONDS (87.66%) Aerospace & Defense (0.06%) Raytheon Co 6.75%, 8/15/2007 131,000 $ 131,807 --------------------- Aerospace & Defense Equipment (0.05%) Sequa Corp 9.00%, 8/ 1/2009 100,000 106,000 --------------------- Agricultural Operations (0.29%) Bunge Ltd Finance Corp 4.38%, 12/15/2008 700,000 684,549 --------------------- Apparel Manufacturers (0.12%) Levi Strauss & Co 12.25%, 12/15/2012 250,000 276,562 --------------------- Appliances (0.09%) Whirlpool Corp 5.86%, 6/15/2009 (a) 200,000 200,501 --------------------- Asset Backed Securities (3.46%) Carrington Mortgage Loan Trust 5.60%, 12/25/2035 (a)(b) 475,000 475,763 Chase Funding Mortgage Loan Asset-Backed Certificates 5.55%, 12/25/2033 (a) 159,836 160,053 Countrywide Asset-Backed Certificates 4.32%, 10/25/2035 (a) 350,000 348,371 5.59%, 1/25/2036 (a)(b) 800,000 801,144 5.57%, 4/25/2036 (a)(b) 500,000 501,154 6.02%, 9/25/2046 (a) 1,900,000 1,906,881 Countrywide Home Equity Loan Trust 5.55%, 12/15/2035 (a) 181,818 181,913 5.56%, 2/15/2036 (a)(b) 475,000 475,096 Encore Credit Receivables Trust 5.52%, 2/25/2035 (a) 248,605 248,678 Equity One ABS Inc 4.26%, 7/25/2034 (a) 152,794 152,185 First-Citizens Home Equity Loan LLC 5.53%, 9/15/2022 (a)(c) 287,005 286,427 GMAC Mortgage Corp Loan Trust 5.50%, 8/25/2035 (a) 200,000 200,408 Great America Leasing Receivables 5.39%, 9/15/2011 (c) 925,000 923,513 Long Beach Mortgage Loan Trust 5.50%, 4/25/2035 (a) 75,170 75,177 Nomura Asset Acceptance Corp 5.55%, 6/25/2035 (a) 67,774 67,784 5.54%, 1/25/2036 (a)(b)(c) 493,683 493,849 Popular ABS Mortgage Pass-Through Trust 5.58%, 11/25/2035 (a)(b) 475,000 475,947 Residential Asset Mortgage Products Inc 5.55%, 12/25/2034 (a) 102,509 102,551 Asset Backed Securities SACO I Inc 5.59%, 4/25/2035 (a) 69,791 69,799 Saxon Asset Securities Trust 5.66%, 12/26/2034 (a) 103,452 103,511 Specialty Underwriting & Residential Finance 5.63%, 7/25/2035 (a) 49,153 49,167 --------------------- 8,099,371 --------------------- Auto - Car & Light Trucks (0.50%) DaimlerChrysler NA Holding Corp 4.05%, 6/ 4/2008 275,000 269,305 5.79%, 3/13/2009 (a) 375,000 375,711 5.88%, 3/15/2011 525,000 526,194 --------------------- 1,171,210 --------------------- Automobile Sequential (0.88%) Capital Auto Receivables Asset Trust 5.69%, 6/15/2010 (a) 185,000 185,853 Capital One Prime Auto Receivables Trust 3.11%, 11/15/2010 300,000 295,096 Carss Finance LP 6.27%, 1/15/2011 (a)(c) 106,034 106,598 Chase Manhattan Auto Owner Trust 2.06%, 12/15/2009 649,750 645,689 Daimler Chrysler Auto Trust 2.88%, 10/ 8/2009 57,497 57,463 Ford Credit Auto Owner Trust 5.47%, 9/15/2012 350,000 346,229 WFS Financial Owner Trust 4.50%, 5/17/2013 425,000 418,825 --------------------- 2,055,753 --------------------- Beverages - Non-Alcoholic (0.15%) Panamerican Beverages Inc 7.25%, 7/ 1/2009 350,000 361,620 --------------------- Beverages - Wine & Spirits (0.14%) Diageo Capital PLC 5.13%, 1/30/2012 325,000 320,296 --------------------- Brewery (0.44%) Coors Brewing Co 6.38%, 5/15/2012 600,000 617,779 SABMiller PLC 6.20%, 7/ 1/2011 (c) 400,000 408,917 --------------------- 1,026,696 --------------------- Building - Residential & Commercial (0.22%) K Hovnanian Enterprises Inc 10.50%, 10/ 1/2007 300,000 308,625 KB Home 9.50%, 2/15/2011 200,000 206,000 --------------------- 514,625 --------------------- Building & Construction Products - Miscellaneous (0.18%) CRH America Inc 6.95%, 3/15/2012 400,000 421,730 --------------------- Cable TV (0.57%) Comcast Corp 5.45%, 11/15/2010 300,000 301,109 Cable TV COX Communications Inc 4.63%, 1/15/2010 475,000 464,244 7.13%, 10/ 1/2012 300,000 321,636 CSC Holdings Inc 7.88%, 12/15/2007 250,000 253,438 --------------------- 1,340,427 --------------------- Casino Hotels (0.17%) Caesars Entertainment Inc 9.38%, 2/15/2007 200,000 200,000 Mirage Resorts Inc 6.75%, 8/ 1/2007 200,000 200,500 --------------------- 400,500 --------------------- Cellular Telecommunications (0.63%) America Movil SA de CV 5.99%, 4/27/2007 (a) 400,000 400,000 5.47%, 6/27/2008 (b)(c) 350,000 349,755 Rogers Wireless Inc 8.48%, 12/15/2010 (a) 100,000 102,000 7.25%, 12/15/2012 150,000 157,875 Vodafone Group PLC 5.70%, 6/15/2011 (a)(b) 475,000 476,545 --------------------- 1,486,175 --------------------- Chemicals - Diversified (0.16%) Chevron Phillips Chemical Co LLC 5.38%, 6/15/2007 145,000 144,874 Huntsman LLC 11.50%, 7/15/2012 200,000 227,000 --------------------- 371,874 --------------------- Chemicals - Specialty (0.09%) Rhodia SA 8.88%, 6/ 1/2011 200,000 210,000 --------------------- Coatings & Paint (0.10%) Valspar Corp 6.00%, 5/ 1/2007 235,000 235,207 --------------------- Commercial Banks (0.44%) Glitnir Banki HF 5.52%, 10/15/2008 (a)(c) 200,000 199,628 HSBC America Capital Trust I 7.81%, 12/15/2026 (c) 375,000 389,640 VTB Capital SA for Vneshtorgbank 6.11%, 9/21/2007 (a)(c) 180,000 180,288 Wachovia Bank NA/Charlotte NC 7.80%, 8/18/2010 250,000 267,288 --------------------- 1,036,844 --------------------- Commercial Services (0.14%) Brickman Group Ltd/The 11.75%, 12/15/2009 315,000 333,900 --------------------- Commercial Services - Finance (0.04%) Equifax Inc 4.95%, 11/ 1/2007 90,000 89,421 --------------------- Computer Services (0.06%) Sungard Data Systems Inc 3.75%, 1/15/2009 150,000 142,500 --------------------- Computers - Memory Devices (0.08%) Seagate Technology HDD Holdings 6.38%, 10/ 1/2011 (d) 200,000 199,500 --------------------- Containers - Metal & Glass (0.17%) Owens Brockway Glass Container Inc 8.88%, 2/15/2009 379,000 387,527 --------------------- Credit Card Asset Backed Securities (2.44%) American Express Credit Account Master Trust 5.72%, 9/15/2010 (a)(b) 250,000 250,818 Bank One Issuance Trust 5.69%, 12/15/2010 (a)(b) 750,000 752,741 Capital One Multi-Asset Execution Trust 5.54%, 12/15/2009 (a) 405,000 404,989 Chase Credit Card Master Trust 5.52%, 5/15/2009 (a)(b) 450,000 449,984 5.65%, 1/17/2011 (a) 750,000 753,211 Citibank Credit Card Issuance Trust 5.70%, 6/25/2009 (a) 300,000 300,459 6.50%, 12/15/2009 (a) 650,000 654,733 Citibank Credit Card Master Trust I 5.88%, 3/10/2011 700,000 708,183 Discover Card Master Trust I 5.15%, 10/15/2009 923,000 922,793 5.50%, 4/16/2010 (a) 350,000 350,121 GE Capital Credit Card Master Note Trust 5.49%, 3/15/2013 (a) 175,000 175,495 --------------------- 5,723,527 --------------------- Cruise Lines (0.14%) Royal Caribbean Cruises Ltd 7.00%, 10/15/2007 225,000 227,215 6.75%, 3/15/2008 100,000 101,054 --------------------- 328,269 --------------------- Data Processing & Management (0.17%) Fidelity National Information Services 4.75%, 9/15/2008 415,000 401,023 --------------------- Diversified Financial Services (0.32%) Citicorp Capital II 8.02%, 2/15/2027 425,000 442,977 Citigroup Capital II 7.75%, 12/ 1/2036 300,000 309,945 --------------------- 752,922 --------------------- Diversified Manufacturing Operations (0.10%) Tyco International Group SA 6.13%, 1/15/2009 240,000 243,220 --------------------- Electric - Generation (0.20%) CE Casecnan Water & Energy 11.95%, 11/15/2010 148,800 160,704 Electric - Generation Indiantown Cogeneration 9.26%, 12/15/2010 299,296 314,001 --------------------- 474,705 --------------------- Electric - Integrated (3.18%) Arizona Public Service Co 6.38%, 10/15/2011 350,000 358,303 Constellation Energy Group Inc 6.13%, 9/ 1/2009 750,000 762,877 Dominion Resources Inc/VA 5.66%, 9/28/2007 (a) 270,000 270,104 5.69%, 5/15/2008 225,000 225,351 DTE Energy Co 5.63%, 8/16/2007 (b) 425,000 424,931 6.65%, 4/15/2009 (d) 375,000 384,080 Entergy Gulf States Inc 3.60%, 6/ 1/2008 75,000 73,000 6.10%, 12/ 8/2008 (a)(c) 200,000 200,456 Entergy Louisiana LLC 5.83%, 11/ 1/2010 400,000 398,576 Exelon Corp 4.45%, 6/15/2010 300,000 290,274 FPL Group Capital Inc 4.09%, 2/16/2007 200,000 199,905 Georgia Power Co 5.55%, 2/17/2009 (a) 195,000 195,653 Ipalco Enterprises Inc 8.38%, 11/14/2008 150,000 154,875 Northeast Utilities 3.30%, 6/ 1/2008 250,000 242,975 Pepco Holdings Inc 5.50%, 8/15/2007 130,000 129,945 PSEG Power LLC 3.75%, 4/ 1/2009 525,000 506,750 Public Service Co of Colorado 4.38%, 10/ 1/2008 190,000 186,916 Scottish Power PLC 4.91%, 3/15/2010 450,000 441,672 Tampa Electric Co 5.38%, 8/15/2007 300,000 299,680 TECO Energy Inc 6.13%, 5/ 1/2007 175,000 175,000 Texas-New Mexico Power Co 6.13%, 6/ 1/2008 200,000 200,337 TXU Electric Delivery Co 5.00%, 9/ 1/2007 170,000 169,304 TXU Energy Co LLC 6.13%, 3/15/2008 (d) 225,000 226,049 Virginia Electric & Power Co 5.38%, 2/ 1/2007 200,000 200,000 WPS Resources Corp 7.00%, 11/ 1/2009 700,000 725,758 --------------------- 7,442,771 --------------------- Electronic Components - Miscellaneous (0.16%) Jabil Circuit Inc 5.88%, 7/15/2010 375,000 371,837 --------------------- Electronic Components - Semiconductors (0.29%) Chartered Semiconductor Manufacturing Ltd 6.25%, 4/ 4/2013 280,000 282,989 Hynix Semiconductor Manufacturing America Inc 8.63%, 5/15/2007 (c) 400,000 401,933 --------------------- 684,922 --------------------- Electronic Connectors (0.12%) Thomas & Betts Corp 6.63%, 5/ 7/2008 275,000 277,094 --------------------- Finance - Auto Loans (0.34%) Ford Motor Credit Co 9.88%, 8/10/2011 175,000 187,371 8.11%, 1/13/2012 125,000 125,514 GMAC LLC 6.31%, 11/30/2007 100,000 99,481 6.00%, 12/15/2011 135,000 133,014 Nissan Motor Acceptance Corp 4.63%, 3/ 8/2010 (c) 270,000 261,701 --------------------- 807,081 --------------------- Finance - Commercial (0.38%) CIT Group Inc 5.59%, 4/27/2011 350,000 350,267 5.80%, 7/28/2011 175,000 177,450 6.10%, 3/15/2067 95,000 94,752 Textron Financial Corp 6.82%, 11/15/2007 (a) 275,000 278,165 --------------------- 900,634 --------------------- Finance - Consumer Loans (0.74%) American General Finance Corp 4.88%, 5/15/2010 375,000 369,366 HSBC Finance Corp 5.65%, 11/16/2009 (a)(b) 475,000 478,003 5.71%, 9/14/2012 (a) 325,000 327,721 SLM Corp 2.51%, 3/ 2/2009 (a)(b) 475,000 461,016 5.52%, 7/26/2010 (a) 100,000 100,033 --------------------- 1,736,139 --------------------- Finance - Credit Card (0.22%) Capital One Bank 5.75%, 9/15/2010 500,000 506,220 --------------------- Finance - Investment Banker & Broker (1.38%) Credit Suisse USA Inc 5.48%, 6/ 2/2008 (a)(b) 550,000 550,945 Goldman Sachs Group Inc 5.69%, 7/23/2009 (a) 175,000 176,109 5.57%, 3/ 2/2010 (a) 300,000 300,987 6.88%, 1/15/2011 (d) 450,000 474,748 Lehman Brothers Holdings Inc 5.62%, 11/10/2009 (a)(b) 350,000 351,498 Merrill Lynch & Co Inc 5.62%, 2/ 6/2009 (a) 150,000 150,591 2.47%, 3/ 2/2009 (a) 195,000 186,133 5.59%, 2/ 5/2010 (a) 200,000 200,713 Morgan Stanley 5.64%, 1/15/2010 (a) 455,000 457,367 Finance - Investment Banker & Broker Morgan Stanley (continued) 5.63%, 1/ 9/2012 375,000 378,900 --------------------- 3,227,991 --------------------- Finance - Leasing Company (0.20%) Case Credit Corp 6.75%, 10/21/2007 200,000 200,250 International Lease Finance Corp 5.80%, 8/15/2007 165,000 165,139 5.76%, 1/15/2010 (a) 100,000 100,873 --------------------- 466,262 --------------------- Finance - Mortgage Loan/Banker (2.21%) Countrywide Financial Corp 5.62%, 5/ 5/2008 (a) 380,000 380,850 5.64%, 12/19/2008 (a) 230,000 230,636 Fannie Mae 5.62%, 2/25/2032 (a)(b) 429,446 430,964 5.57%, 3/25/2035 (a) 163,214 163,389 Fannie Mae Whole Loan 5.52%, 5/25/2035 (a) 467,549 469,141 Freddie Mac 5.13%, 12/15/2013 683,382 671,947 5.50%, 1/15/2017 75,196 75,118 4.00%, 1/15/2022 634,387 629,335 5.77%, 6/15/2023 (a) 321,816 324,969 5.52%, 4/15/2030 (a)(b) 179,790 179,787 5.62%, 10/15/2034 (a) 270,013 270,163 Ginnie Mae 1.82%, 10/16/2012 (a) 8,163,426 367,436 Residential Capital LLC 6.74%, 6/29/2007 (a)(b) 550,000 552,252 5.85%, 6/ 9/2008 (b) 225,000 224,597 6.50%, 4/17/2013 210,000 211,951 --------------------- 5,182,535 --------------------- Finance - Other Services (0.28%) Alamosa Delaware Inc 8.50%, 1/31/2012 200,000 212,045 Mizuho JGB Investment LLC 9.87%, 12/30/2025 (c) 425,000 448,355 --------------------- 660,400 --------------------- Food - Miscellaneous/Diversified (0.32%) ConAgra Foods Inc 7.88%, 9/15/2010 368,000 396,365 General Mills Inc 5.49%, 1/22/2010 (b) 350,000 349,928 --------------------- 746,293 --------------------- Food - Retail (0.53%) Delhaize America Inc 8.13%, 4/15/2011 100,000 108,040 Kroger Co/The 7.65%, 4/15/2007 300,000 301,176 6.38%, 3/ 1/2008 485,000 487,324 Safeway Inc 6.50%, 11/15/2008 175,000 177,778 5.72%, 3/27/2009 (a) 175,000 175,107 --------------------- 1,249,425 --------------------- Gas - Distribution (0.35%) Sempra Energy 4.75%, 5/15/2009 150,000 147,928 Southern California Gas Co 5.54%, 12/ 1/2009 (a) 100,000 100,215 Southern Union Co 6.15%, 8/16/2008 300,000 301,601 7.20%, 11/ 1/2066 (a) 280,000 279,203 --------------------- 828,947 --------------------- Home Equity - Other (6.59%) ACE Securities Corp 5.53%, 8/25/2035 (a)(b) 750,000 750,232 5.52%, 10/25/2035 (a) 400,000 400,126 Asset Backed Funding Certificates 5.58%, 2/25/2035 (a) 66,642 66,663 Bear Stearns Asset Backed Securities Inc 5.92%, 3/25/2034 (a)(b) 469,897 469,894 5.56%, 2/25/2035 (a)(b) 30,211 30,218 Countrywide Asset-Backed Certificates 6.09%, 6/25/2021 (a) 1,825,000 1,837,596 5.71%, 11/25/2035 1,450,000 1,442,373 Financial Asset Securities Corp AAA Trust 5.59%, 2/27/2035 (a)(b)(c) 32,058 32,077 First NLC Trust 5.65%, 5/25/2035 (a) 390,084 390,082 GMAC Mortgage Corp Loan Trust 4.62%, 6/25/2035 (a) 775,011 766,824 GSAA Trust 6.04%, 7/25/2036 900,000 901,462 IXIS Real Estate Capital Trust 5.56%, 12/25/2035 (a) 450,000 450,450 MASTR Asset Backed Securities Trust 5.82%, 3/25/2035 (a)(b) 575,000 577,239 Merrill Lynch Mortgage Investors Inc 5.52%, 2/25/2036 (a) 257,397 257,633 Morgan Stanley ABS Capital I 5.57%, 9/25/2035 (a)(b) 800,000 801,238 New Century Home Equity Loan Trust 5.61%, 3/25/2035 (a) 56,003 56,073 5.59%, 7/25/2035 (a)(b) 1,000,000 1,002,277 Option One Mortgage Loan Trust 5.56%, 2/25/2035 (a)(b) 233,242 233,392 5.54%, 5/25/2035 (a)(b) 600,000 600,554 Renaissance Home Equity Loan Trust 5.76%, 8/25/2036 (a) 1,375,000 1,373,256 Residential Asset Securities Corp 4.47%, 3/25/2032 1,124,455 1,106,917 5.58%, 12/25/2033 (a) 15,876 15,877 6.47%, 3/25/2035 (a) 50,000 50,068 5.52%, 5/25/2035 (a)(b) 424,308 424,544 Waverly Community School 5.77%, 5/25/2036 (a) 1,400,000 1,400,105 --------------------- 15,437,170 --------------------- Home Equity - Sequential (1.96%) Countrywide Asset-Backed Certificates 5.68%, 6/25/2035 2,000,000 1,998,648 5.56%, 4/25/2036 1,000,000 989,773 5.51%, 8/25/2036 570,000 567,648 Home Equity - Sequential New Century Home Equity Loan Trust 3.56%, 11/25/2033 35,885 35,751 4.76%, 11/25/2033 1,000,000 990,403 --------------------- 4,582,223 --------------------- Hotels & Motels (0.09%) Starwood Hotels & Resorts Worldwide Inc 7.38%, 5/ 1/2007 200,000 200,840 --------------------- Housewares (0.03%) Vitro SA de CV 8.63%, 2/ 1/2012 (c) 70,000 70,700 --------------------- Industrial Automation & Robots (0.09%) Intermec Inc 7.00%, 3/15/2008 200,000 201,000 --------------------- Insurance Brokers (0.17%) Marsh & McLennan Cos Inc 5.50%, 7/13/2007 (a) 175,000 175,008 3.63%, 2/15/2008 220,000 215,233 --------------------- 390,241 --------------------- Investment Companies (0.40%) Citadel Finance Ltd 6.25%, 12/15/2011 (c) 575,000 564,279 Xstrata Finance Canada Ltd 5.50%, 11/16/2011 (c) 375,000 373,908 --------------------- 938,187 --------------------- Investment Management & Advisory Services (0.03%) Janus Capital Group Inc 5.88%, 9/15/2011 75,000 75,111 --------------------- Life & Health Insurance (0.91%) Cigna Corp 7.00%, 1/15/2011 375,000 392,613 Lincoln National Corp 5.25%, 6/15/2007 160,000 159,749 Pacific Life Global Funding 5.60%, 6/22/2011 (a)(c) 175,000 175,215 Phoenix Cos Inc/The 6.68%, 2/16/2008 550,000 553,436 Prudential Financial Inc 5.51%, 6/13/2008 (a) 250,000 250,628 Stancorp Financial Group Inc 6.88%, 10/ 1/2012 235,000 245,972 Sun Life Financial Global Funding LP 5.61%, 7/ 6/2010 (a)(c) 175,000 175,391 UnumProvident Corp 6.00%, 5/15/2008 175,000 175,479 --------------------- 2,128,483 --------------------- Machinery - Farm (0.05%) Case New Holland Inc 9.25%, 8/ 1/2011 105,000 111,300 --------------------- Medical - Drugs (0.32%) Angiotech Pharmaceuticals Inc 9.10%, 12/ 1/2013 (c) 225,000 230,625 Medical - Drugs Biovail Corp 7.88%, 4/ 1/2010 275,000 280,844 Elan Finance PLC/Elan Finance Corp 9.50%, 12/ 1/2013 (c) 250,000 248,125 --------------------- 759,594 --------------------- Medical - Wholesale Drug Distribution (0.13%) Cardinal Health Inc 5.63%, 10/ 2/2009 (a)(c) 300,000 300,212 --------------------- Medical Products (0.13%) Mallinckrodt Inc 6.50%, 11/15/2007 300,000 301,349 --------------------- Metal - Diversified (0.16%) Falconbridge Ltd 7.25%, 7/15/2012 350,000 378,159 --------------------- Mortgage Backed Securities (38.29%) ACT Depositor Corp 5.62%, 9/22/2041 (a)(b)(c) 774,897 772,921 Banc of America Alternative Loan Trust 5.72%, 6/25/2036 (a)(b) 890,187 888,175 Banc of America Commercial Mortgage Inc 7.11%, 11/15/2031 208,477 210,238 6.85%, 4/15/2036 200,000 210,384 0.17%, 9/10/2045 87,120,946 856,765 0.09%, 10/10/2045 85,702,276 406,314 5.31%, 10/10/2045 1,000,000 995,344 0.41%, 7/10/2046 (a) 54,739,584 1,210,347 Banc of America Large Loan 5.61%, 2/ 9/2021 (a)(c) 200,000 200,449 Banc of America Mortgage Securities Inc 4.78%, 5/25/2035 (a) 950,000 935,471 Bear Stearns Adjustable Rate Mortgage Trust 5.08%, 9/25/2034 (a) 520,308 515,994 Bear Stearns Alt-A Trust 5.60%, 7/25/2035 (a) 65,854 65,912 6.24%, 8/25/2036 1,650,000 1,653,878 Bear Stearns Commercial Mortgage Securities Inc 5.64%, 6/15/2017 (a)(c) 525,000 525,074 7.00%, 5/20/2030 817,085 852,941 7.64%, 2/15/2032 271,975 276,247 3.97%, 11/11/2035 358,616 349,398 0.53%, 5/11/2039 (a)(c) 3,271,681 60,521 0.24%, 2/11/2041 (a) 24,266,062 266,347 4.13%, 11/11/2041 2,100,000 2,036,864 4.57%, 7/11/2042 500,000 483,262 Bella Vista Mortgage Trust 5.57%, 5/20/2045 (a) 308,592 309,385 Chase Commercial Mortgage Securities Corp 7.32%, 10/15/2032 1,000,000 1,051,976 7.56%, 10/15/2032 500,000 534,197 Chase Manhattan Bank-First Union National Bank 7.13%, 8/15/2031 258,422 258,711 Citigroup Commercial Mortgage Trust 0.52%, 10/15/2049 40,800,000 1,157,500 Citigroup/Deutsche Bank Commercial Mortgage Trust 0.45%, 10/15/2048 39,565,000 963,471 Mortgage Backed Securities Commercial Mortgage Pass Through Certificates 1.53%, 6/10/2010 (a)(c) 4,337,972 175,844 3.25%, 6/10/2038 243,329 229,580 0.05%, 12/10/2046 12,905,000 161,736 Countrywide Alternative Loan Trust 6.19%, 7/20/2035 (a)(e) 308,876 309,704 6.00%, 5/25/2036 (a) 1,841,756 1,835,062 5.49%, 6/25/2036 (a)(b) 800,000 800,664 5.60%, 6/25/2036 (a)(b) 1,804,517 1,809,616 5.59%, 5/20/2046 (a)(b) 1,782,603 1,789,109 Countrywide Asset-Backed Certificates 5.60%, 11/25/2035 (a) 357,310 357,563 Countrywide Home Loan Mortgage Pass Through Certificates 4.50%, 1/25/2033 36,695 36,406 5.50%, 7/25/2033 (a) 1,604,201 1,595,921 4.49%, 12/25/2033 1,500,000 1,467,831 4.48%, 6/20/2035 (a)(b) 780,250 774,114 Credit Suisse Mortgage Capital Certificates 0.59%, 9/15/2039 (c) 70,913,000 2,198,963 0.06%, 12/15/2039 7,640,285 132,420 CS First Boston Mortgage Securities Corp 6.25%, 12/16/2035 481,868 483,013 6.38%, 12/16/2035 600,000 617,584 0.46%, 11/15/2036 (a)(c) 15,134,921 625,649 0.25%, 8/15/2038 (c) 49,096,164 604,663 CW Capital Cobalt Ltd 5.17%, 8/15/2048 950,000 937,703 First Union National Bank Commercial Mortgage 5.59%, 2/12/2034 26,053 26,077 First Union-Lehman Brothers-Bank of America 6.56%, 11/18/2035 109,705 110,587 GE Capital Commercial Mortgage Corp 6.32%, 1/15/2033 2,330 2,326 5.99%, 12/10/2035 257,277 259,923 0.60%, 3/10/2040 (a)(c) 2,925,573 55,809 GMAC Commercial Mortgage Securities Inc 0.83%, 3/10/2038 (a)(c) 2,564,526 68,380 0.42%, 8/10/2038 (a)(c) 68,244,676 1,007,032 Greenpoint Mortgage Funding Trust 5.59%, 6/25/2045 (a)(b) 254,510 254,563 5.62%, 6/25/2045 (a) 250,919 251,776 5.63%, 10/25/2045 (a)(b) 387,225 388,885 Greenwich Capital Commercial Funding Corp 0.32%, 6/10/2036 (a)(c) 20,408,730 223,633 0.12%, 4/10/2037 (c) 161,676,767 932,002 0.79%, 8/10/2042 (a)(c) 7,881,010 204,196 GS Mortgage Securities Corp 0.65%, 11/10/2039 6,118,055 274,832 GSR Mortgage Loan Trust 4.76%, 7/25/2035 (a) 701,276 690,523 Heller Financial Commercial Mortgage Asset Corp 7.84%, 1/17/2034 (a) 1,000,000 1,064,607 7.94%, 1/17/2034 1,175,000 1,256,134 Impac CMB Trust 6.26%, 10/25/2033 (a) 135,623 136,625 6.32%, 10/25/2033 (a) 113,602 113,676 5.63%, 4/25/2035 (a)(b) 243,764 244,060 5.75%, 4/25/2035 (a) 190,348 190,922 5.62%, 8/25/2035 (a) 149,899 150,011 Mortgage Backed Securities Impac CMB Trust (continued) 5.83%, 8/25/2035 (a) 122,029 122,360 5.86%, 8/25/2035 (a) 189,823 190,427 Indymac Index Mortgage Loan Trust 5.62%, 4/25/2034 (a)(b) 389,470 390,198 5.55%, 4/25/2035 (a) 236,712 237,544 5.65%, 4/25/2035 (a) 204,397 205,078 5.62%, 8/25/2035 (a) 322,044 323,270 5.51%, 1/25/2037 (e) 930,000 930,000 JP Morgan Chase Commercial Mortgage Securities 0.52%, 10/12/2035 (a)(c) 11,348,212 413,009 6.04%, 11/15/2035 456,973 462,455 6.96%, 11/15/2035 (c) 350,000 373,251 0.60%, 10/12/2037 (a)(c) 4,338,651 180,761 4.37%, 10/12/2037 554,835 542,733 3.48%, 6/12/2041 487,740 473,592 JP Morgan Commercial Mortgage Finance Corp 7.16%, 9/15/2029 31,126 31,055 JP Morgan Mortgage Trust 3.81%, 5/25/2034 695,580 679,685 5.11%, 6/25/2035 (a) 566,693 559,907 5.30%, 7/25/2035 (e) 1,300,000 1,286,337 5.84%, 6/25/2036 (a) 1,221,491 1,219,268 5.87%, 1/25/2037 460,569 460,195 LB-UBS Commercial Mortgage Trust 6.06%, 6/15/2020 291,617 294,964 5.97%, 3/15/2026 115,758 116,088 4.90%, 6/15/2026 1,569,854 1,562,149 2.60%, 5/15/2027 58,913 57,357 3.09%, 5/15/2027 300,000 291,349 4.19%, 8/15/2029 220,000 213,540 3.63%, 10/15/2029 867,182 845,677 4.44%, 12/15/2029 (a) 1,000,000 966,830 0.66%, 7/15/2035 (a)(c) 5,052,257 159,915 0.63%, 10/15/2035 (a)(c) 10,397,700 428,484 1.15%, 3/15/2036 (a)(c) 2,190,601 65,239 0.69%, 8/15/2036 (a)(c) 2,288,468 47,464 MASTR Asset Securitization Trust 5.25%, 9/25/2033 (a) 515,928 510,087 Merrill Lynch Mortgage Trust 0.19%, 11/12/2035 (a)(c) 37,171,120 267,138 0.15%, 7/12/2038 139,806,773 1,163,025 5.61%, 5/12/2039 1,100,000 1,110,530 3.59%, 9/12/2041 244,361 238,804 0.28%, 9/12/2042 (a) 68,347,501 770,762 Merrill Lynch/Countrywide Commercial Mortgage Trust 0.05%, 7/12/2046 32,517,985 529,718 0.68%, 7/12/2046 52,200,000 1,935,800 0.05%, 12/12/2049 16,750,000 248,947 0.68%, 12/12/2049 28,500,000 1,005,751 5.11%, 12/12/2049 885,000 872,235 Morgan Stanley Capital I 5.54%, 5/24/2043 (a)(c) 750,000 749,209 0.04%, 12/15/2043 (c) 12,760,000 172,703 5.70%, 8/25/2046 (a)(b)(e) 725,000 723,414 5.92%, 12/20/2046 (e) 225,000 225,000 Morgan Stanley Dean Witter Capital I 6.54%, 2/15/2031 136,231 138,875 Mortgage Backed Securities Nationslink Funding Corp 7.23%, 6/20/2031 653,148 664,514 New Century Alternative Mortgage Loan Trust 5.91%, 7/25/2036 (a) 1,275,000 1,274,849 Prudential Securities Secured Financing 6.48%, 11/ 1/2031 366,010 370,219 Residential Accredit Loans Inc 5.74%, 12/25/2035 (e) 195,515 195,760 Residential Funding Mortgage Securities 5.19%, 11/25/2035 843,324 838,943 5.68%, 2/25/2036 364,507 365,437 Sequoia Mortgage Trust 5.55%, 2/20/2035 (a) 80,791 80,757 Specialty Underwriting & Residential Finance 5.83%, 2/25/2035 (a) 71,851 72,130 5.55%, 12/25/2035 (a) 447,236 447,369 5.55%, 3/25/2036 (a)(b) 450,494 451,090 Structured Adjustable Rate Mortgage Loan Trust 4.68%, 7/25/2034 (a) 1,000,000 977,886 6.02%, 8/25/2034 (a)(b) 467,483 472,044 5.57%, 3/25/2035 (a) 208,957 209,087 Structured Asset Mortgage Investments Inc 5.62%, 5/25/2045 (a) 253,016 253,849 5.63%, 9/25/2045 (a) 269,795 270,939 Structured Asset Securities Corp 5.50%, 6/25/2036 (a) 1,450,000 1,449,502 Thornburg Mortgage Securities Trust 5.58%, 10/25/2035 (a)(b) 533,309 533,910 Wachovia Bank Commercial Mortgage Trust 0.22%, 1/15/2041 (a)(c) 20,805,510 155,981 0.34%, 4/15/2042 (a)(c) 76,894,671 1,145,308 Washington Mutual Alternative Mortgage 5.60%, 6/25/2046 (a) 875,142 876,502 Washington Mutual Asset Securities Corp 3.83%, 1/25/2035 (c) 862,149 829,869 Washington Mutual Inc 4.47%, 3/25/2033 (a) 459,340 455,749 3.18%, 9/25/2033 30,765 30,601 4.06%, 10/25/2033 (a) 1,250,000 1,224,895 4.84%, 9/25/2035 (a) 917,889 904,482 6.08%, 9/25/2036 1,063,887 1,063,016 5.79%, 7/25/2044 (a)(b) 194,877 195,623 5.72%, 1/25/2045 (a)(b) 2,400,000 2,417,907 5.55%, 4/25/2045 (a) 34,787 34,868 5.59%, 4/25/2045 (a) 155,382 155,833 5.61%, 7/25/2045 (a) 295,731 296,592 5.57%, 11/25/2045 (a)(b) 349,755 350,467 Wells Fargo Mortgage Backed Securities 4.19%, 3/25/2035 (a) 1,721,726 1,691,071 5.24%, 4/25/2036 1,221,452 1,209,573 --------------------- 89,656,611 --------------------- Multi-Line Insurance (0.52%) ACE Ltd 6.00%, 4/ 1/2007 200,000 200,132 CNA Financial Corp 6.60%, 12/15/2008 549,000 558,836 6.00%, 8/15/2011 150,000 151,814 Multi-Line Insurance Genworth Financial Inc 6.15%, 11/15/2066 (a) 185,000 184,254 Hartford Financial Services Group Inc 5.25%, 10/15/2011 115,000 114,428 --------------------- 1,209,464 --------------------- Multimedia (0.67%) News America Inc 4.75%, 3/15/2010 400,000 391,626 Thomson Corp/The 5.75%, 2/ 1/2008 185,000 185,334 Time Warner Entertainment Co LP 7.25%, 9/ 1/2008 350,000 358,878 Time Warner Inc 6.15%, 5/ 1/2007 225,000 225,291 5.50%, 11/15/2011 200,000 199,509 Viacom Inc 5.74%, 6/16/2009 200,000 200,679 --------------------- 1,561,317 --------------------- Mutual Insurance (0.18%) Health Care Service Corp 7.75%, 6/15/2011 (c) 400,000 431,708 --------------------- Non-Hazardous Waste Disposal (0.23%) Oakmont Asset Trust 4.51%, 12/22/2008 (c) 550,000 536,230 --------------------- Office Automation & Equipment (0.15%) Xerox Corp 6.11%, 12/18/2009 (a) 350,000 353,500 --------------------- Office Furnishings - Original (0.08%) Steelcase Inc 6.50%, 8/15/2011 195,000 197,120 --------------------- Oil - Field Services (0.20%) Hanover Equipment Trust 8.50%, 9/ 1/2008 (a) 200,000 201,000 Weatherford International Inc 6.63%, 11/15/2011 250,000 258,261 --------------------- 459,261 --------------------- Oil & Gas Drilling (0.28%) ENSCO International Inc 6.75%, 11/15/2007 650,000 656,456 --------------------- Oil Company - Exploration & Production (1.04%) Anadarko Finance Co 6.75%, 5/ 1/2011 325,000 338,520 Anadarko Petroleum Corp 5.76%, 9/15/2009 (a)(b) 300,000 300,754 Apache Corp 5.63%, 1/15/2017 45,000 45,017 Hilcorp Energy I LP/Hilcorp Finance Co 10.50%, 9/ 1/2010 (c) 200,000 214,250 Houston Exploration Co 7.00%, 6/15/2013 200,000 201,500 Newfield Exploration Co 7.45%, 10/15/2007 200,000 201,750 Oil Company - Exploration & Production Pemex Project Funding Master Trust 6.13%, 8/15/2008 350,000 351,225 8.00%, 11/15/2011 (d) 125,000 136,250 Vintage Petroleum Inc 8.25%, 5/ 1/2012 200,000 208,738 XTO Energy Inc 7.50%, 4/15/2012 400,000 432,941 --------------------- 2,430,945 --------------------- Oil Company - Integrated (0.08%) Occidental Petroleum Corp 4.00%, 11/30/2007 190,000 188,018 --------------------- Oil Field Machinery & Equipment (0.10%) Cameron International Corp 2.65%, 4/15/2007 225,000 223,724 --------------------- Oil Refining & Marketing (0.41%) Giant Industries Inc 11.00%, 5/15/2012 200,000 213,000 Premcor Refining Group Inc/The 9.25%, 2/ 1/2010 225,000 236,122 9.50%, 2/ 1/2013 200,000 215,250 Valero Energy Corp 6.88%, 4/15/2012 275,000 290,378 --------------------- 954,750 --------------------- Optical Supplies (0.17%) Bausch & Lomb Inc 6.95%, 11/15/2007 400,000 400,196 --------------------- Paper & Related Products (0.08%) Bowater Inc 8.36%, 3/15/2010 (a)(d) 175,000 176,750 --------------------- Pipelines (0.83%) El Paso Corp 6.38%, 2/ 1/2009 150,000 150,937 Enbridge Energy Partners LP 4.00%, 1/15/2009 200,000 193,627 Kinder Morgan Energy Partners LP 5.35%, 8/15/2007 125,000 124,854 Kinder Morgan Inc 6.50%, 9/ 1/2012 350,000 354,070 Northwest Pipeline Corp 8.13%, 3/ 1/2010 275,000 285,313 ONEOK Partners LP 5.90%, 4/ 1/2012 255,000 257,931 Southern Natural Gas Co 8.88%, 3/15/2010 175,000 183,337 TEPPCO Partners LP 7.63%, 2/15/2012 375,000 400,782 --------------------- 1,950,851 --------------------- Power Converter & Supply Equipment (0.06%) Cooper Industries Inc 5.25%, 7/ 1/2007 140,000 139,618 --------------------- Property & Casualty Insurance (0.60%) Markel Corp 7.00%, 5/15/2008 450,000 455,874 6.80%, 2/15/2013 275,000 283,827 WR Berkley Corp 9.88%, 5/15/2008 625,000 656,169 --------------------- 1,395,870 --------------------- Property Trust (0.31%) Westfield Capital Corp Ltd 5.67%, 11/ 2/2007 (a)(c) 225,000 225,503 Westfield Group 5.40%, 10/ 1/2012 (c)(f) 500,000 497,990 --------------------- 723,493 --------------------- Publishing - Periodicals (0.14%) Dex Media East LLC/Dex Media East Finance Co 9.88%, 11/15/2009 200,000 210,000 12.13%, 11/15/2012 100,000 110,000 --------------------- 320,000 --------------------- Real Estate Operator & Developer (0.15%) Duke Realty LP 3.35%, 1/15/2008 175,000 171,050 5.63%, 8/15/2011 180,000 180,588 --------------------- 351,638 --------------------- Regional Banks (1.21%) Capital One Financial Corp 5.70%, 9/15/2011 300,000 302,840 First Union Institutional Capital I 8.04%, 12/ 1/2026 550,000 572,966 Fleet Capital Trust II 7.92%, 12/11/2026 525,000 545,979 NB Capital Trust 7.83%, 12/15/2026 375,000 389,792 SunTrust Preferred Capital I 5.85%, 12/31/2049 365,000 368,281 Wachovia Corp 5.52%, 3/ 1/2012 (a) 275,000 275,563 Wells Fargo & Co 4.00%, 9/10/2012 (a) 375,000 370,986 --------------------- 2,826,407 --------------------- REITS - Apartments (0.15%) Camden Property Trust 5.88%, 6/ 1/2007 45,000 45,055 4.38%, 1/15/2010 200,000 194,227 United Dominion Realty Trust Inc 4.50%, 3/ 3/2008 110,000 107,912 --------------------- 347,194 --------------------- REITS - Diversified (0.49%) iStar Financial Inc 6.61%, 3/12/2007 (a) 275,000 275,314 5.70%, 9/15/2009 (a)(c) 275,000 275,227 5.65%, 9/15/2011 200,000 199,197 Liberty Property LP 7.75%, 4/15/2009 385,000 401,329 --------------------- 1,151,067 --------------------- REITS - Healthcare (0.24%) Health Care Property Investors Inc 5.81%, 9/15/2008 (a) 250,000 249,803 REITS - Healthcare Health Care Property Investors Inc (continued) 5.65%, 12/15/2013 125,000 122,538 National Health Investors Inc 7.30%, 7/16/2007 200,000 199,716 --------------------- 572,057 --------------------- REITS - Office Property (0.50%) Brandywine Operating Partnership LP/PA 5.63%, 12/15/2010 205,000 205,371 Crescent Real Estate Equities LP 7.50%, 9/15/2007 225,000 226,125 HRPT Properties Trust 5.96%, 3/16/2011 (a) 375,000 375,182 6.95%, 4/ 1/2012 350,000 366,597 --------------------- 1,173,275 --------------------- REITS - Regional Malls (0.21%) Simon Property Group LP 3.75%, 1/30/2009 225,000 218,299 4.60%, 6/15/2010 65,000 63,358 5.60%, 9/ 1/2011 200,000 201,030 --------------------- 482,687 --------------------- REITS - Shopping Centers (0.36%) Developers Diversified Realty Corp 3.88%, 1/30/2009 510,000 493,582 Federal Realty Invs Trust 6.00%, 7/15/2012 350,000 355,183 --------------------- 848,765 --------------------- Rental - Auto & Equipment (0.17%) Erac USA Finance Co 5.61%, 4/30/2009 (c) 400,000 400,839 --------------------- Retail - Building Products (0.24%) Home Depot Inc 5.49%, 12/16/2009 (b) 225,000 225,256 5.25%, 12/16/2013 350,000 346,261 --------------------- 571,517 --------------------- Retail - Major Department Store (0.21%) May Department Stores Co/The 3.95%, 7/15/2007 455,000 451,202 7.45%, 9/15/2011 35,000 37,130 --------------------- 488,332 --------------------- Retail - Regional Department Store (0.13%) JC Penney Corp Inc 8.13%, 4/ 1/2027 300,000 307,841 --------------------- Retail - Restaurants (0.08%) Yum! Brands Inc 7.65%, 5/15/2008 175,000 179,583 --------------------- Rubber - Tires (0.09%) Goodyear Tire & Rubber Co/The 9.14%, 12/ 1/2009 (c) 200,000 201,500 --------------------- Satellite Telecommunications (0.14%) Intelsat Corp 6.38%, 1/15/2008 325,000 324,594 --------------------- Savings & Loans - Thrifts (0.36%) Washington Mutual Inc 5.51%, 3/20/2008 (a) 225,000 225,338 5.66%, 1/15/2010 (a) 275,000 276,219 5.66%, 3/22/2012 (a) 350,000 350,683 --------------------- 852,240 --------------------- Sovereign (0.12%) Mexico Government International Bond 8.38%, 1/14/2011 250,000 274,625 --------------------- Special Purpose Banks (0.07%) Korea Development Bank 3.88%, 3/ 2/2009 175,000 169,725 --------------------- Special Purpose Entity (0.62%) BAE Systems Holdings Inc 4.75%, 8/15/2010 (c) 500,000 486,555 Rio Tinto Finance USA Ltd 2.63%, 9/30/2008 185,000 176,982 USB Realty Corp 6.09%, 1/15/2012 (c) 330,000 331,063 Xlliac Global Funding 5.57%, 6/ 2/2008 (a)(b)(c) 450,000 450,715 --------------------- 1,445,315 --------------------- Steel - Producers (0.03%) Steel Dynamics Inc 9.50%, 3/15/2009 75,000 76,875 --------------------- Supranational Bank (0.23%) Corp Andina de Fomento 5.57%, 3/16/2007 (a) 225,000 225,080 7.38%, 1/18/2011 300,000 317,570 --------------------- 542,650 --------------------- Telecommunication Services (0.26%) Mastec Inc 7.75%, 2/ 1/2008 (d) 200,000 200,250 TELUS Corp 8.00%, 6/ 1/2011 375,000 408,064 --------------------- 608,314 --------------------- Telephone - Integrated (1.60%) AT&T Corp 7.75%, 3/ 1/2007 400,000 400,601 AT&T Inc 5.30%, 11/15/2010 250,000 249,235 Deutsche Telekom International Finance BV 5.55%, 3/23/2009 (a) 375,000 375,626 Mountain States Telephone & Telegraph Co 6.00%, 8/ 1/2007 325,000 323,375 Royal KPN NV 8.00%, 10/ 1/2010 475,000 510,248 Sprint Capital Corp 7.63%, 1/30/2011 250,000 266,961 8.38%, 3/15/2012 250,000 277,424 Telecom Italia Capital SA 4.00%, 11/15/2008 320,000 311,801 5.97%, 7/18/2011 (a) 240,000 240,248 Telefonica Emisiones SAU 5.66%, 6/19/2009 (a) 400,000 400,560 Telephone - Integrated Telefonos de Mexico SA de CV 4.50%, 11/19/2008 325,000 318,813 Verizon Communications Inc 5.35%, 2/15/2011 70,000 69,853 --------------------- 3,744,745 --------------------- Television (0.28%) British Sky Broadcasting Group PLC 6.88%, 2/23/2009 400,000 410,284 CBS Corp 5.63%, 5/ 1/2007 250,000 250,080 --------------------- 660,364 --------------------- Textile - Home Furnishings (0.33%) Mohawk Industries Inc 6.50%, 4/15/2007 780,000 781,238 --------------------- Tools - Hand Held (0.25%) Snap-On Inc 5.49%, 1/12/2010 (b) 575,000 574,922 --------------------- Transport - Rail (0.28%) Burlington Northern Santa Fe Corp 7.88%, 4/15/2007 665,000 667,863 --------------------- Transport - Services (0.08%) FedEx Corp 2.65%, 4/ 1/2007 200,000 199,121 --------------------- TOTAL BONDS $ 205,282,556 --------------------- CONVERTIBLE BONDS (0.14%) Retail - Auto Parts (0.14%) PEP Boys-Manny Moe & Jack 4.25%, 6/ 1/2007 325,000 322,563 --------------------- TOTAL CONVERTIBLE BONDS $ 322,563 --------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (21.90%) Federal Home Loan Mortgage Corporation (FHLMC) (2.79%) 5.50%, 12/ 1/2008 25,061 25,064 5.50%, 2/ 1/2009 54,044 54,340 5.50%, 3/ 1/2009 27,188 27,338 5.50%, 4/ 1/2009 56,510 56,820 6.50%, 4/ 1/2009 15,133 15,315 5.00%, 9/ 1/2009 72,228 71,791 9.00%, 9/ 1/2009 13,991 14,402 4.50%, 11/ 1/2009 126,019 123,660 4.50%, 12/ 1/2009 303,866 298,177 4.50%, 4/ 1/2010 186,928 184,124 4.50%, 9/ 1/2010 310,678 303,801 4.50%, 2/ 1/2011 123,641 120,585 4.50%, 4/ 1/2011 149,433 145,739 4.50%, 6/ 1/2011 477,699 469,299 4.50%, 7/ 1/2011 174,061 169,758 4.50%, 11/ 1/2011 704,140 686,736 6.50%, 4/ 1/2015 9,167 9,423 6.50%, 12/ 1/2015 35,071 35,850 7.00%, 12/ 1/2022 167,107 172,083 7.50%, 12/ 1/2029 3,965 4,136 7.25%, 12/ 1/2007 5,292 5,302 8.00%, 12/ 1/2011 3,725 3,769 4.55%, 1/ 1/2035 (a) 409,992 402,704 Federal Home Loan Mortgage Corporation (FHLMC) 5.59%, 6/ 1/2035 (a) 1,923,204 1,948,030 4.84%, 9/ 1/2035 (a) 710,528 704,776 5.02%, 9/ 1/2035 495,259 493,842 --------------------- 6,546,864 --------------------- Federal National Mortgage Association (FNMA) (5.08%) 5.50%, 2/ 1/2009 152,420 152,896 5.50%, 5/ 1/2009 7,501 7,525 5.50%, 10/ 1/2009 91,219 91,504 4.50%, 12/ 1/2009 26,417 25,893 4.50%, 3/ 1/2010 225,871 220,628 4.00%, 5/ 1/2010 511,260 494,618 4.50%, 5/ 1/2010 84,704 82,821 4.00%, 6/ 1/2010 263,847 255,258 4.00%, 7/ 1/2010 320,767 310,326 4.00%, 8/ 1/2010 191,337 185,109 4.50%, 8/ 1/2011 397,980 387,720 4.50%, 9/ 1/2011 162,586 158,395 8.50%, 5/ 1/2022 41,732 44,380 9.00%, 2/ 1/2025 6,764 7,293 8.00%, 5/ 1/2027 9,564 10,125 6.00%, 7/ 1/2028 82,619 83,351 7.50%, 10/ 1/2029 21,452 22,372 4.62%, 12/ 1/2032 (a) 910,486 913,121 4.29%, 7/ 1/2034 458,269 459,440 4.36%, 7/ 1/2034 (a) 803,585 792,975 4.31%, 8/ 1/2034 (a) 454,641 448,076 4.43%, 9/ 1/2034 (a) 674,812 663,642 4.46%, 1/ 1/2035 (a) 311,472 317,277 4.50%, 1/ 1/2035 (a) 667,966 658,135 5.04%, 2/ 1/2035 (a) 411,449 417,602 4.56%, 4/ 1/2035 (a) 844,700 834,745 5.55%, 6/ 1/2035 (a) 463,644 472,506 5.00%, 10/ 1/2035 1,856,241 1,854,808 4.70%, 2/ 1/2037 (a) 1,513,092 1,523,217 --------------------- 11,895,758 --------------------- U.S. Treasury (14.03%) 4.25%, 10/31/2007 (d) 13,375,000 13,292,971 4.13%, 8/15/2008 (d) 5,000,000 4,940,040 4.88%, 8/31/2008 (d) 3,000,000 2,994,258 3.88%, 5/15/2010 (d) 1,150,000 1,117,027 4.50%, 11/15/2010 500,000 494,472 4.50%, 11/30/2011 1,750,000 1,725,801 4.88%, 2/15/2012 (d) 3,625,000 3,638,311 4.38%, 8/15/2012 (d) 2,850,000 2,793,445 4.50%, 2/15/2016 (d) 1,900,000 1,855,320 --------------------- 32,851,645 --------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 51,294,267 --------------------- SHORT TERM INVESTMENTS (1.47%) Commercial Paper (1.47%) Investment in Joint Trading Account; General Electric Capital 5.26%, 2/ 1/2007 3,453,782 3,453,782 --------------------- TOTAL SHORT TERM INVESTMENTS $ 3,453,782 --------------------- MONEY MARKET FUNDS (1.86%) Money Center Banks (1.86%) BNY Institutional Cash Reserve Fund (b) 4,345,000 4,345,000 --------------------- TOTAL MONEY MARKET FUNDS $ 4,345,000 --------------------- Total Investments $ 264,698,168 Liabilities in Excess of Other Assets, Net - (13.03)% (30,520,850) --------------------- TOTAL NET ASSETS - 100.00% $ 234,177,318 ===================== --------------------- =====================
(a) Variable Rate (b) Security was purchased with the cash proceeds from securities loans. (c) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $23,516,638 or 10.04% of net assets. (d) Security or a portion of the security was on loan at the end of the period. (e) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $3,670,215 or 1.57% of net assets. (f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $59,759 or 0.03% of net assets. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 353,142 Unrealized Depreciation (2,692,560) --------------------- Net Unrealized Appreciation (Depreciation) (2,339,418) Cost for federal income tax purposes 267,037,586
SCHEDULE OF STRADDLE OPTION AGREEMENTS Exercise Expiration Notional Description Counterparty Price* Date Amount Premium Value Call & Put - OTC 10 Year Interest Rate Swap Morgan Stanley July-08 $0.00 4,500,000.00 190,800 2,116
* Exercise price and final premium determined on a future date, based upon implied volatility parameters.
SCHEDULE OF TOTAL RETURN SWAP AGREEMENTS Unrealized Notional Appreciation/ Description Amount (Depreciation) --------------------------------------------------------------------------- ----------------- --- --------------------- Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on < 1-month LIBOR less 10 basis points with Wachovia Bank. Expires April 2007. $ 3,200,000 $ (24,774) Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and pay monthly a floating rate based on 1-month LIBOR less 5 basis points with Wachovia Bank. Expires May 2007. 3,000,000 (23,355)
SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) --------------------------------------------------------------- ------------ Sell: U.S. 10 Year Note; March 2007 29 $3,107,533 $3,095,750 $11,783 Portfolio Summary (unaudited) -------------------------------------------------------------------------- Sector Percent -------------------------------------------------------------------------- Mortgage Securities 47.47% Financial 15.80% Asset Backed Securities 15.55% Government 14.38% Communications 4.29% Utilities 3.73% Consumer, Non-cyclical 2.98% Energy 2.93% Consumer, Cyclical 2.65% Industrial 1.87% Technology 0.76% Basic Materials 0.62% Liabilities in Excess of Other Assets, Net (-13.03%) -------------------- TOTAL NET ASSETS 100.00% ==================== Other Assets Summary (unaudited) -------------------------------------------------------------------------- Asset Type Percent -------------------------------------------------------------------------- Futures 1.32% Straddle Options 0.00% Total Return Swaps 0.02%
Schedule of Investments January 31, 2007 (unaudited) Short-Term Income Fund Principal Amount Value ----------------- --- --------------------- BONDS (82.53%) Aerospace & Defense Equipment (0.85%) United Technologies Corp 4.38%, 5/ 1/2010 $ 2,000,000 $ 1,947,888 --------------------- Asset Backed Securities (0.81%) Atlantic City Electric Transition Funding LLC 2.89%, 7/20/2011 1,928,249 1,868,718 --------------------- Automobile Sequential (2.04%) WFS Financial Owner Trust 3.93%, 2/17/2012 4,750,000 4,687,881 --------------------- Casino Hotels (2.14%) Harrah's Operating Co Inc 5.50%, 7/ 1/2010 5,000,000 4,914,940 --------------------- Commercial Services (1.52%) PHH Corp 6.00%, 3/ 1/2008 3,500,000 3,498,051 --------------------- Commercial Services - Finance (2.13%) Western Union Co/The 5.40%, 11/17/2011 (a) 5,000,000 4,912,935 --------------------- Cruise Lines (2.47%) Carnival Corp 3.75%, 11/15/2007 5,750,000 5,676,412 --------------------- Diversified Financial Services (2.18%) General Electric Capital Corp 5.72%, 8/22/2011 5,000,000 5,013,570 --------------------- Electric - Integrated (3.64%) Constellation Energy Group Inc 6.35%, 4/ 1/2007 4,000,000 4,004,004 Pacific Gas & Electric Co 3.60%, 3/ 1/2009 1,650,000 1,594,676 Texas-New Mexico Power Co 6.25%, 1/15/2009 2,750,000 2,776,507 --------------------- 8,375,187 --------------------- Finance (0.05%) Green Tree Financial Corp 7.70%, 9/15/2026 120,478 109,714 --------------------- Finance - Commercial (0.65%) CIT Group Inc 7.38%, 4/ 2/2007 1,500,000 1,504,621 --------------------- Finance - Consumer Loans (2.35%) HSBC Finance Corp 7.88%, 3/ 1/2007 1,500,000 1,502,654 Finance - Consumer Loans SLM Corp 4.00%, 1/15/2009 4,000,000 3,901,832 --------------------- 5,404,486 --------------------- Finance - Investment Banker & Broker (2.38%) Goldman Sachs Group Inc 4.13%, 1/15/2008 2,500,000 2,471,910 JPMorgan Chase & Co 5.35%, 3/ 1/2007 3,000,000 2,999,736 --------------------- 5,471,646 --------------------- Finance - Mortgage Loan/Banker (18.03%) Countrywide Home Loans Inc 5.50%, 2/ 1/2007 3,750,000 3,750,000 Fannie Mae 4.25%, 7/15/2007 4,000,000 3,981,652 4.00%, 9/ 2/2008 5,000,000 4,904,300 5.80%, 7/16/2013 3,000,000 2,984,499 5.00%, 11/25/2035 4,044,227 3,990,980 Federal Home Loan Bank System 5.27%, 12/28/2012 (b) 4,266,252 4,232,089 Freddie Mac 4.13%, 7/12/2010 1,000,000 970,360 5.25%, 7/18/2011 5,000,000 5,028,585 4.25%, 6/15/2027 1,531,993 1,517,602 4.50%, 5/15/2030 5,000,000 4,845,397 6.00%, 6/15/2030 2,019,600 2,021,635 4.50%, 5/15/2032 1,473,962 1,436,298 Government National Mortgage Association 4.50%, 8/20/2032 1,902,680 1,833,073 --------------------- 41,496,470 --------------------- Finance - Other Services (2.28%) SB Treasury Co LLC 9.40%, 12/29/2049 (a) 5,000,000 5,240,800 --------------------- Gas - Distribution (0.71%) Sempra Energy 4.75%, 5/15/2009 1,650,000 1,627,205 --------------------- Investment Management & Advisory Services (0.85%) Nuveen Investments Inc 5.00%, 9/15/2010 2,000,000 1,960,822 --------------------- Medical - Biomedical/Gene (2.31%) Amgen Inc 4.00%, 11/18/2009 5,500,000 5,321,894 --------------------- Medical - Wholesale Drug Distribution (1.75%) Cardinal Health Inc 6.25%, 7/15/2008 4,000,000 4,034,392 --------------------- Mortgage Backed Securities (7.55%) Banc of America Mortgage Securities Inc 4.75%, 8/25/2033 4,000,000 3,928,401 Cendant Mortgage Corp 5.50%, 4/25/2020 (a)(b) 3,729,547 3,707,257 Chase Mortgage Finance Corp 5.50%, 5/25/2035 4,118,029 4,105,118 Mortgage Backed Securities CS First Boston Mortgage Securities Corp 6.00%, 12/25/2033 2,040,240 2,058,435 GMAC Commercial Mortgage Securities Inc 7.15%, 12/15/2016 (a) 497,036 499,998 GSR Mortgage Loan Trust 6.00%, 2/25/2035 3,069,586 3,074,503 --------------------- 17,373,712 --------------------- Multimedia (3.45%) COX Enterprises Inc 4.38%, 5/ 1/2008 (a) 4,000,000 3,927,764 Time Warner Inc 6.15%, 5/ 1/2007 4,000,000 4,005,164 --------------------- 7,932,928 --------------------- Networking Products (1.84%) Cisco Systems Inc 5.25%, 2/22/2011 4,250,000 4,246,812 --------------------- Property & Casualty Insurance (1.91%) Fidelity National Financial Inc 7.30%, 8/15/2011 4,250,000 4,391,627 --------------------- Real Estate Magagement & Services (1.66%) EOP Operating LP 7.75%, 11/15/2007 3,750,000 3,817,804 --------------------- Real Estate Operator & Developer (1.75%) Duke Realty LP 7.38%, 8/ 1/2007 4,000,000 4,030,444 --------------------- Reinsurance (2.52%) Berkshire Hathaway Finance Corp 3.38%, 10/15/2008 6,000,000 5,811,402 --------------------- REITS - Shopping Centers (1.86%) Developers Diversified Realty Corp 6.63%, 1/15/2008 4,250,000 4,289,338 --------------------- REITS - Single Tenant (1.67%) CPG Partners LP 3.50%, 3/15/2009 4,000,000 3,846,072 --------------------- Retail - Drug Store (0.63%) CVS Corp 4.00%, 9/15/2009 1,500,000 1,446,936 --------------------- Telecommunication Services (2.16%) TELUS Corp 7.50%, 6/ 1/2007 1,500,000 1,508,187 Verizon Global Funding Corp 4.00%, 1/15/2008 3,500,000 3,455,091 --------------------- 4,963,278 --------------------- Telephone - Integrated (1.40%) Royal KPN NV 8.00%, 10/ 1/2010 3,000,000 3,222,618 --------------------- Television (1.33%) Univision Communications Inc 7.85%, 7/15/2011 3,000,000 3,056,250 --------------------- Textile - Home Furnishings (2.14%) Mohawk Industries Inc 7.20%, 4/15/2012 4,750,000 4,915,932 --------------------- Trucking & Leasing (1.52%) Rollins Truck Leasing Corp 8.38%, 2/15/2007 3,500,000 3,502,884 --------------------- TOTAL BONDS $ 189,915,669 --------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (7.99%) Federal Home Loan Mortgage Corporation (FHLMC) (0.45%) 9.50%, 8/ 1/2016 14,533 15,538 6.00%, 4/ 1/2017 321,553 325,587 6.00%, 5/ 1/2017 626,837 634,684 7.06%, 11/ 1/2021 56,002 57,042 --------------------- 1,032,851 --------------------- Federal National Mortgage Association (FNMA) (0.66%) 6.50%, 1/ 1/2012 226,358 231,157 6.50%, 1/ 1/2014 202,002 206,501 8.50%, 11/ 1/2017 29,132 30,763 5.85%, 1/ 1/2019 23,641 23,537 5.61%, 4/ 1/2019 9,071 9,145 7.13%, 11/ 1/2021 18,201 18,476 10.00%, 5/ 1/2022 17,249 18,870 7.29%, 11/ 1/2022 3,801 3,840 4.66%, 11/ 1/2032 920,489 931,573 5.73%, 11/ 1/2035 41,792 42,119 --------------------- 1,515,981 --------------------- Government National Mortgage Association (GNMA) (0.10%) 11.00%, 2/15/2010 10,501 11,257 8.00%, 3/15/2012 4,793 5,000 11.00%, 10/15/2015 24,986 27,555 11.00%, 11/15/2015 61,633 67,967 10.00%, 1/15/2019 88,454 97,488 10.00%, 2/15/2019 1,334 1,470 11.00%, 8/15/2020 10,035 11,154 9.00%, 4/20/2025 5,565 5,994 --------------------- 227,885 --------------------- U.S. Treasury (6.78%) 3.25%, 8/15/2008 (c) 5,000,000 4,875,195 2.63%, 3/15/2009 6,000,000 5,727,888 4.88%, 5/15/2009 5,000,000 4,996,485 --------------------- 15,599,568 --------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 18,376,285 --------------------- SHORT TERM INVESTMENTS (8.71%) Commercial Paper (8.71%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (d) 20,038,804 20,038,804 --------------------- TOTAL SHORT TERM INVESTMENTS $ 20,038,804 --------------------- Total Investments $ 228,330,758 Other Assets in Excess of Liabilities, Net - 0.77% 1,771,491 --------------------- TOTAL NET ASSETS - 100.00% $ 230,102,249 ===================== --------------------- =====================
(a) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $18,288,754 or 7.95% of net assets. (b) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $7,939,346 or 3.45% of net assets. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $170,632 or 0.07% of net assets. (d) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 285,552 Unrealized Depreciation (3,257,617) --------------------- Net Unrealized Appreciation (Depreciation) (2,972,065) Cost for federal income tax purposes 231,302,823
SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ----------------------------------------------------------------------- ---------- ------------- Sell: U.S. 5 Year Note; March 2007 100 $10,595,394 $10,453,125 $142,269
Portfolio Summary (unaudited) ---------------------------------------------- ----------------- Sector Percent ---------------------------------------------- ----------------- Mortgage Securities 26.10% Financial 23.70% Government 14.54% Communications 10.18% Consumer, Non-cyclical 7.72% Consumer, Cyclical 7.37% Utilities 4.35% Asset Backed Securities 2.90% Industrial 2.37% Other Assets in Excess of Liabilities, Net 0.77% --------------- TOTAL NET ASSETS 100.00% =============== Other Assets Summary (unaudited) ---------------------------------------------- ----------------- Asset Type Percent ---------------------------------------------- ----------------- Futures 4.54%
Schedule of Investments January 31, 2007 (unaudited) SmallCap Blend Fund Shares Held Value ----------------- --- --------------------- COMMON STOCKS (93.92%) Advertising Services (0.35%) inVentiv Health Inc (a)(b) 35,356 $ 1,240,642 --------------------- Aerospace & Defense (0.74%) Esterline Technologies Corp (b) 15,930 636,722 Teledyne Technologies Inc (b) 50,999 1,945,612 --------------------- 2,582,334 --------------------- Aerospace & Defense Equipment (0.62%) BE Aerospace Inc (b) 72,880 2,170,366 --------------------- Airlines (0.39%) Alaska Air Group Inc (b) 31,540 1,351,489 --------------------- Apparel Manufacturers (2.28%) Guess ? Inc 48,589 3,503,753 Oxford Industries Inc 28,815 1,377,069 Phillips-Van Heusen 56,490 3,115,423 --------------------- 7,996,245 --------------------- Applications Software (0.60%) Nuance Communications Inc (a)(b) 77,876 897,132 Verint Systems Inc (b) 36,768 1,215,182 --------------------- 2,112,314 --------------------- Auto/Truck Parts & Equipment - Original (0.26%) Tenneco Inc (a)(b) 38,569 896,729 --------------------- Auto/Truck Parts & Equipment - Replacement (0.15%) Aftermarket Technology Corp (b) 23,915 515,607 --------------------- Building - Mobile Home & Manufactured Housing (0.29%) Williams Scotsman International Inc (a)(b) 50,505 1,021,211 --------------------- Building & Construction Products - Miscellaneous (0.93%) Interline Brands Inc (b) 55,080 1,251,969 NCI Building Systems Inc (a)(b) 35,610 2,026,921 --------------------- 3,278,890 --------------------- Building Products - Cement & Aggregate (0.52%) Texas Industries Inc 24,736 1,816,117 --------------------- Building Products - Light Fixtures (0.60%) Genlyte Group Inc (b) 27,824 2,108,224 --------------------- Cellular Telecommunications (0.23%) Syniverse Holdings Inc (b) 55,970 821,640 --------------------- Chemicals - Diversified (0.43%) FMC Corp 19,587 1,524,848 --------------------- Chemicals - Specialty (0.50%) Arch Chemicals Inc 52,301 1,764,113 --------------------- Circuit Boards (0.32%) Park Electrochemical Corp 42,293 1,128,800 --------------------- Collectibles (0.40%) RC2 Corp (b) 35,830 1,415,643 --------------------- Commercial Banks (7.54%) Alabama National Bancorporation (a) 25,110 1,765,735 Bancfirst Corp 8,562 416,713 Bank of Hawaii Corp (a) 44,093 2,308,269 Banner Corp (a) 9,860 422,402 BOK Financial Corp 3,364 178,864 Capital Corp of the West (a) 10,213 315,582 Central Pacific Financial Corp (a) 44,508 1,739,373 City Bank/Lynnwood WA 13,579 461,686 City Holding Co 18,664 748,426 Columbia Banking System Inc 9,780 333,596 Community Bancorp/NV (b) 10,619 355,418 Cullen/Frost Bankers Inc 34,222 1,831,904 East West Bancorp Inc 60,192 2,311,373 First Community Bancorp Inc/CA 38,300 2,041,390 First State Bancorporation/NM 15,621 361,157 Greene County Bancshares Inc 6,786 249,114 Heartland Financial USA Inc (a) 6,734 192,525 Heritage Commerce Corp 11,833 308,250 IBERIABANK Corp 6,538 376,916 Intervest Bancshares Corp (b) 6,789 206,046 ITLA Capital Corp 6,174 375,070 Pinnacle Financial Partners Inc (a)(b) 13,171 419,101 Placer Sierra Bancshares 13,381 367,844 Preferred Bank/Los Angeles CA 18,308 1,196,977 Prosperity Bancshares Inc (a) 39,301 1,375,535 Security Bank Corp/GA 16,210 355,485 Southwest Bancorp Inc/Stillwater OK 13,699 364,941 Sterling Bancshares Inc/TX 40,860 492,363 Sterling Financial Corp/WA 45,246 1,500,810 Trustmark Corp (a) 20,400 600,984 Vineyard National Bancorp - Warrants (b)(c)(d)(e) 2,369 - Vineyard National Bancorp (a) 56,000 1,392,720 Virginia Commerce Bancorp (a)(b) 14,702 319,768 West Coast Bancorp/OR (a) 11,510 384,319 Wilshire Bancorp Inc 20,400 372,300 --------------------- 26,442,956 --------------------- Commercial Services (0.22%) Steiner Leisure Ltd (b) 16,740 782,762 --------------------- Commercial Services - Finance (0.80%) Wright Express Corp (a)(b) 91,485 2,824,142 --------------------- Communications Software (0.14%) Inter-Tel Inc 21,260 481,114 --------------------- Computer Aided Design (1.34%) Ansys Inc (b) 46,916 2,340,639 Aspen Technology Inc (a)(b) 52,656 539,724 MSC.Software Corp (b) 26,850 421,545 Parametric Technology Corp (b) 70,209 1,391,543 --------------------- 4,693,451 --------------------- Computer Graphics (0.62%) Trident Microsystems Inc (a)(b) 105,010 2,191,559 --------------------- Computer Services (0.41%) SI International Inc (a)(b) 21,050 607,293 SYKES Enterprises Inc (a)(b) 57,382 838,351 --------------------- 1,445,644 --------------------- Computers - Memory Devices (0.71%) Imation Corp 37,140 1,615,962 Komag Inc (a)(b) 25,628 874,427 --------------------- 2,490,389 --------------------- Consulting Services (0.64%) FTI Consulting Inc (a)(b) 67,960 1,862,783 Huron Consulting Group Inc (b) 7,382 382,757 --------------------- 2,245,540 --------------------- Consumer Products - Miscellaneous (0.68%) Central Garden and Pet Co (b) 45,100 2,020,029 Prestige Brands Holdings Inc (a)(b) 28,820 366,302 --------------------- 2,386,331 --------------------- Dental Supplies & Equipment (0.18%) Sirona Dental Systems Inc (a) 14,450 618,749 --------------------- Diagnostic Equipment (0.89%) Immucor Inc (b) 85,253 2,688,880 Neurometrix Inc (a) 32,020 425,866 --------------------- 3,114,746 --------------------- Diagnostic Kits (0.43%) Meridian Bioscience Inc 50,740 1,504,441 --------------------- Direct Marketing (0.62%) Harte-Hanks Inc 80,030 2,169,613 --------------------- Distribution & Wholesale (1.84%) Central European Distribution Corp (a)(b) 49,660 1,464,473 Directed Electronics Inc (b) 25,110 251,100 United Stationers Inc (b) 36,085 1,838,892 Watsco Inc (a) 20,190 1,030,094 WESCO International Inc (b) 30,856 1,873,576 --------------------- 6,458,135 --------------------- E-Commerce - Products (0.42%) Nutri/System Inc (a)(b) 21,425 943,771 Shutterfly Inc (b) 38,970 521,419 --------------------- 1,465,190 --------------------- Educational Software (0.40%) Blackboard Inc (a)(b) 47,502 1,387,058 --------------------- Electric - Integrated (1.79%) Allete Inc 59,100 2,842,119 OGE Energy Corp (a) 44,414 1,719,710 PNM Resources Inc 55,859 1,702,582 --------------------- 6,264,411 --------------------- Electronic Components - Semiconductors (1.40%) Diodes Inc (a)(b) 27,409 1,005,088 Microsemi Corp (b) 35,357 643,498 ON Semiconductor Corp (a)(b) 293,634 2,454,780 Silicon Image Inc (a)(b) 29,200 353,028 Electronic Components - Semiconductors Zoran Corp (a)(b) 33,470 467,576 --------------------- 4,923,970 --------------------- Electronic Design Automation (0.14%) Ansoft Corp (b) 17,552 490,403 --------------------- Electronic Measurement Instruments (0.75%) Itron Inc (a)(b) 23,601 1,360,362 Tektronix Inc 30,543 863,451 Zygo Corp (b) 26,710 409,998 --------------------- 2,633,811 --------------------- E-Marketing & Information (0.64%) aQuantive Inc (a)(b) 83,402 2,235,174 --------------------- Enterprise Software & Services (1.58%) Hyperion Solutions Corp (b) 48,066 2,029,346 Informatica Corp (a)(b) 162,100 2,035,976 Lawson Software Inc (a)(b) 84,683 635,969 Packeteer Inc (b) 64,069 858,525 --------------------- 5,559,816 --------------------- E-Services - Consulting (0.56%) Digital Insight Corp (b) 50,757 1,973,940 --------------------- Finance - Investment Banker & Broker (1.10%) Greenhill & Co Inc (a) 22,121 1,657,527 Investment Technology Group Inc (b) 23,479 1,023,684 KBW Inc (a)(b) 807 23,524 optionsXpress Holdings Inc 48,640 1,155,200 --------------------- 3,859,935 --------------------- Finance - Leasing Company (0.49%) Financial Federal Corp (a) 42,890 1,226,654 Marlin Business Services Corp (a)(b) 20,870 488,984 --------------------- 1,715,638 --------------------- Financial Guarantee Insurance (0.36%) Triad Guaranty Inc (a)(b) 24,687 1,271,380 --------------------- Food - Miscellaneous/Diversified (0.63%) Ralcorp Holdings Inc (a)(b) 39,950 2,210,833 --------------------- Footwear & Related Apparel (1.11%) Steven Madden Ltd 52,760 1,568,027 Wolverine World Wide Inc 75,840 2,333,597 --------------------- 3,901,624 --------------------- Gambling (Non-Hotel) (0.64%) Pinnacle Entertainment Inc (b) 65,200 2,251,356 --------------------- Gas - Distribution (0.61%) Energen Corp 46,253 2,140,589 --------------------- Human Resources (0.83%) AMN Healthcare Services Inc (b) 32,951 852,772 Kforce Inc (b) 28,240 402,702 Korn/Ferry International (a)(b) 69,308 1,655,075 --------------------- 2,910,549 --------------------- Independent Power Producer (0.13%) Ormat Technologies Inc (a) 11,590 454,212 --------------------- Instruments - Controls (0.58%) Mettler Toledo International Inc (b) 24,558 2,033,402 --------------------- Internet Application Software (0.77%) DealerTrack Holdings Inc (a)(b) 14,760 409,147 WebEx Communications Inc (a)(b) 61,720 2,288,578 --------------------- 2,697,725 --------------------- Investment Companies (0.48%) Ares Capital Corp (a) 84,941 1,685,229 --------------------- Lasers - Systems & Components (0.70%) Cymer Inc (a)(b) 47,600 2,010,148 Excel Technology Inc (b) 16,360 450,554 --------------------- 2,460,702 --------------------- Leisure & Recreation Products (0.14%) K2 Inc (b) 40,660 491,173 --------------------- Life & Health Insurance (0.59%) Delphi Financial Group 52,564 2,073,124 --------------------- Machinery - Construction & Mining (0.74%) Astec Industries Inc (a)(b) 33,550 1,208,135 Bucyrus International Inc (a) 29,850 1,385,339 --------------------- 2,593,474 --------------------- Machinery - General Industry (1.45%) Gardner Denver Inc (b) 58,314 2,248,005 Manitowoc Co Inc/The 33,260 1,724,864 Middleby Corp (b) 9,970 1,114,446 --------------------- 5,087,315 --------------------- Machinery Tools & Related Products (0.48%) Kennametal Inc 27,070 1,672,926 --------------------- Medical - Biomedical/Gene (1.63%) Applera Corp - Celera Group (b) 43,290 686,579 Bio-Rad Laboratories Inc (b) 21,440 1,844,698 Exelixis Inc (a)(b) 62,810 615,538 Incyte Corp (a)(b) 82,070 609,780 Lexicon Genetics Inc (b) 79,445 301,891 Myriad Genetics Inc (a)(b) 34,769 1,242,644 SuperGen Inc (a)(b) 79,380 408,807 --------------------- 5,709,937 --------------------- Medical - Drugs (1.65%) Adams Respiratory Therapeutics Inc (a)(b) 43,480 1,950,078 Cubist Pharmaceuticals Inc (a)(b) 26,206 482,190 New River Pharmaceuticals Inc (a)(b) 18,570 1,038,063 Viropharma Inc (a)(b) 99,970 1,702,489 Zymogenetics Inc (a)(b) 37,800 602,910 --------------------- 5,775,730 --------------------- Medical - HMO (0.86%) Centene Corp (a)(b) 58,479 1,457,297 Sierra Health Services Inc (a)(b) 39,073 1,570,734 --------------------- 3,028,031 --------------------- Medical - Outpatient & Home Medical Care (0.36%) Amedisys Inc (a)(b) 39,497 1,276,532 --------------------- Medical Imaging Systems (0.20%) IRIS International Inc (a)(b) 59,440 685,938 --------------------- Medical Instruments (0.48%) Kyphon Inc (a)(b) 35,707 1,670,731 --------------------- Medical Laboratory & Testing Service (0.43%) Icon Plc ADR (b) 40,800 1,521,840 --------------------- Medical Laser Systems (0.82%) LCA-Vision Inc (a) 26,680 1,033,050 Palomar Medical Technologies Inc (a)(b) 37,342 1,858,138 --------------------- 2,891,188 --------------------- Medical Products (0.48%) Haemonetics Corp/Mass (b) 17,542 846,226 Syneron Medical Ltd (a)(b) 34,368 845,453 --------------------- 1,691,679 --------------------- Metal Processors & Fabrication (1.53%) Commercial Metals Co 56,026 1,518,865 Dynamic Materials Corp 64,181 1,895,906 Ladish Co Inc (a)(b) 48,414 1,970,450 --------------------- 5,385,221 --------------------- Motion Pictures & Services (0.38%) Lions Gate Entertainment Corp (a)(b) 121,246 1,317,944 --------------------- Multi-Line Insurance (0.09%) Horace Mann Educators Corp 16,003 317,339 --------------------- Multimedia (0.33%) Journal Communications Inc 85,099 1,146,284 --------------------- Networking Products (1.29%) Anixter International Inc (a)(b) 23,432 1,295,087 Polycom Inc (a)(b) 96,400 3,240,968 --------------------- 4,536,055 --------------------- Non-Ferrous Metals (0.80%) Brush Engineered Materials Inc (a)(b) 8,354 276,434 RTI International Metals Inc (b) 30,770 2,515,447 --------------------- 2,791,881 --------------------- Office Supplies & Forms (0.09%) Ennis Inc 13,111 330,266 --------------------- Oil - Field Services (1.92%) Global Industries Ltd (b) 114,290 1,539,486 Helix Energy Solutions Group Inc (b) 33,580 1,080,269 Oceaneering International Inc (b) 51,400 2,028,758 Superior Energy Services (b) 69,094 2,094,936 --------------------- 6,743,449 --------------------- Oil Company - Exploration & Production (1.44%) Penn Virginia Corp (a) 26,385 1,933,493 St Mary Land & Exploration Co (a) 46,147 1,660,830 W&T Offshore Inc (a) 48,019 1,475,144 --------------------- 5,069,467 --------------------- --------------------- Oil Field Machinery & Equipment (0.70%) Dril-Quip Inc (b) 65,723 2,444,896 --------------------- Oil Refining & Marketing (0.45%) Holly Corp 29,868 1,573,745 --------------------- Paper & Related Products (0.13%) Rock-Tenn Co 14,270 466,914 --------------------- Physician Practice Management (0.38%) Pediatrix Medical Group Inc (b) 25,670 1,348,702 --------------------- Power Converter & Supply Equipment (0.43%) Advanced Energy Industries Inc (b) 87,294 1,512,805 --------------------- Printing - Commercial (0.55%) Consolidated Graphics Inc (a)(b) 30,851 1,912,762 --------------------- Private Corrections (0.45%) Geo Group Inc/The (b) 36,243 1,588,168 --------------------- Property & Casualty Insurance (2.10%) Argonaut Group Inc (b) 30,590 1,025,989 CNA Surety Corp (b) 22,240 472,600 Employers Holdings Inc (b) 1,875 37,444 Fpic Insurance Group Inc (a)(b) 13,079 574,037 Navigators Group Inc (a)(b) 9,410 449,704 Safety Insurance Group Inc (a) 28,769 1,405,078 Selective Insurance Group (a) 20,708 1,065,427 United America Indemnity Ltd (b) 15,170 365,900 Zenith National Insurance Corp 42,785 1,955,274 --------------------- 7,351,453 --------------------- Recreational Centers (0.71%) Life Time Fitness Inc (a)(b) 46,030 2,494,826 --------------------- REITS - Diversified (1.06%) Entertainment Properties Trust (a) 38,710 2,510,731 Washington Real Estate Investment Trust (a) 28,240 1,207,260 --------------------- 3,717,991 --------------------- REITS - Healthcare (0.81%) Senior Housing Properties Trust 109,520 2,845,330 --------------------- REITS - Hotels (1.35%) DiamondRock Hospitality Co (a) 69,760 1,314,976 FelCor Lodging Trust Inc (a) 63,660 1,404,976 Highland Hospitality Corp 93,340 1,482,239 Innkeepers USA Trust (a) 33,513 549,278 --------------------- 4,751,469 --------------------- REITS - Mortgage (1.41%) Anthracite Capital Inc (a) 25,080 342,844 Arbor Realty Trust Inc 24,631 785,975 Deerfield Triarc Capital Corp (a) 117,263 1,958,292 Gramercy Capital Corp/New York (a) 51,777 1,870,703 --------------------- 4,957,814 --------------------- REITS - Office Property (0.59%) BioMed Realty Trust Inc 69,672 2,078,316 --------------------- REITS - Shopping Centers (0.59%) Inland Real Estate Corp 36,340 734,795 Kite Realty Group Trust 19,880 387,660 Saul Centers Inc 10,460 564,003 Urstadt Biddle Properties Inc (a) 19,810 384,908 --------------------- 2,071,366 --------------------- REITS - Single Tenant (0.19%) Getty Realty Corp (a) 21,338 664,679 --------------------- REITS - Storage (0.18%) Sovran Self Storage Inc 10,287 617,220 --------------------- Rental - Auto & Equipment (0.46%) Dollar Thrifty Automotive Group (a)(b) 34,512 1,626,551 --------------------- Research & Development (0.44%) Parexel International Corp (a)(b) 47,430 1,553,332 --------------------- Resorts & Theme Parks (0.64%) Vail Resorts Inc (a)(b) 48,305 2,234,106 --------------------- Respiratory Products (0.38%) Respironics Inc (b) 31,606 1,346,416 --------------------- Retail - Apparel & Shoe (3.49%) Aeropostale Inc (a)(b) 25,878 930,055 Brown Shoe Co Inc 19,880 1,080,478 Cache Inc. (a)(b) 7,392 170,090 Charlotte Russe Holding Inc (a)(b) 85,780 2,620,579 Childrens Place Retail Stores Inc/The (a)(b) 27,630 1,497,822 Dress Barn Inc (a)(b) 28,470 639,721 Genesco Inc (a)(b) 40,746 1,604,985 Men's Wearhouse Inc 54,400 2,335,936 Shoe Carnival Inc (a)(b) 18,658 593,884 United Retail Group Inc (b) 29,030 379,712 Wet Seal Inc/The (a)(b) 60,064 388,014 --------------------- 12,241,276 --------------------- Retail - Automobile (0.18%) Asbury Automotive Group Inc 25,630 626,910 --------------------- Retail - Convenience Store (0.60%) Pantry Inc/The (a)(b) 43,099 2,103,662 --------------------- Retail - Restaurants (1.56%) AFC Enterprises (b) 26,180 438,777 CKE Restaurants Inc 108,574 2,146,508 Domino's Pizza Inc (a) 48,577 1,387,845 Morton's Restaurant Group Inc (a)(b) 23,050 431,265 Ruth's Chris Steak House (a)(b) 50,472 1,084,139 --------------------- 5,488,534 --------------------- Retail - Sporting Goods (0.57%) Hibbett Sporting Goods Inc (a)(b) 61,726 1,982,022 --------------------- Rubber & Plastic Products (0.14%) Myers Industries Inc 27,832 479,267 --------------------- Savings & Loans - Thrifts (1.13%) First Place Financial Corp/OH (a) 14,120 336,338 FirstFed Financial Corp (a)(b) 28,240 1,947,148 PFF Bancorp Inc 19,043 644,987 TierOne Corp 10,460 315,055 Willow Financial Bancorp Inc 11,493 164,810 WSFS Financial Corp 7,846 544,434 --------------------- 3,952,772 --------------------- Semiconductor Component - Integrated Circuits (0.87%) Cirrus Logic Inc (b) 151,160 1,121,607 Emulex Corp (b) 82,116 1,457,559 Micrel Inc (b) 45,210 457,073 --------------------- 3,036,239 --------------------- Semiconductor Equipment (0.30%) Entegris Inc (a)(b) 96,990 1,040,703 --------------------- Software Tools (0.19%) Altiris Inc (a)(b) 20,600 674,238 --------------------- Steel - Producers (0.85%) Chaparral Steel Co 37,349 1,915,257 Reliance Steel & Aluminum Co 25,672 1,068,982 --------------------- 2,984,239 --------------------- Telecommunication Equipment (1.31%) Anaren Inc (a)(b) 41,730 688,545 Arris Group Inc (a)(b) 121,454 1,727,076 Comtech Telecommunications Corp (a)(b) 39,698 1,429,128 Optium Corp (a)(b) 17,090 408,280 Sirenza Microdevices Inc (a)(b) 50,764 357,379 --------------------- 4,610,408 --------------------- Telecommunication Equipment - Fiber Optics (0.27%) Sycamore Networks Inc (b) 249,539 930,780 --------------------- Telecommunication Services (0.90%) Consolidated Communications Holdings Inc 68,000 1,499,400 NeuStar Inc (a)(b) 54,157 1,672,910 --------------------- 3,172,310 --------------------- Telephone - Integrated (0.34%) Alaska Communications Systems Group Inc (a) 74,059 1,196,793 --------------------- Therapeutics (1.88%) BioMarin Pharmaceuticals Inc (a)(b) 84,730 1,604,786 Isis Pharmaceuticals Inc (a)(b) 114,550 1,190,175 Medarex Inc (a)(b) 120,374 1,621,438 Progenics Pharmaceuticals Inc (a)(b) 31,730 950,948 Theravance Inc (a)(b) 36,120 1,239,638 --------------------- 6,606,985 --------------------- Toys (0.33%) Jakks Pacific Inc (a)(b) 56,702 1,149,350 --------------------- Transactional Software (0.93%) VeriFone Holdings Inc (a)(b) 81,260 3,247,962 --------------------- Transport - Services (1.13%) HUB Group Inc (b) 62,770 1,874,312 Pacer International Inc 67,380 2,099,561 --------------------- 3,973,873 --------------------- Transport - Truck (0.35%) Old Dominion Freight Line (a)(b) 44,506 1,236,377 --------------------- Travel Services (0.14%) Ambassadors Group Inc (a) 17,030 477,351 --------------------- Veterinary Products (0.28%) PetMed Express Inc (a)(b) 83,160 982,951 --------------------- Wire & Cable Products (0.89%) General Cable Corp (a)(b) 45,141 1,946,932 Insteel Industries Inc (a) 70,070 1,169,468 --------------------- 3,116,400 --------------------- Wireless Equipment (0.33%) EMS Technologies Inc (a)(b) 27,560 571,043 Viasat Inc (b) 18,307 603,582 --------------------- 1,174,625 --------------------- TOTAL COMMON STOCKS $ 329,574,143 --------------------- Principal Amount Value ----------------- --- --------------------- SHORT TERM INVESTMENTS (5.61%) Commercial Paper (5.61%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 19,680,277 19,680,277 --------------------- TOTAL SHORT TERM INVESTMENTS $ 19,680,277 --------------------- Total Investments $ 349,254,420 Other Assets in Excess of Liabilities, Net - 0.47% 1,657,354 --------------------- TOTAL NET ASSETS - 100.00% $ 350,911,774 ===================== --------------------- =====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $0 or 0.00% of net assets. (d) Security is Illiquid (e) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $0 or 0.00% of net assets. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 53,235,603 Unrealized Depreciation (8,324,551) --------------------- Net Unrealized Appreciation (Depreciation) 44,911,052 Cost for federal income tax purposes 304,343,368 Portfolio Summary (unaudited) ----------------------------------------------------- --------------------- Sector Percent ----------------------------------------------------- --------------------- Financial 20.05% Consumer, Non-cyclical 17.14% Consumer, Cyclical 16.08% Industrial 12.90% Technology 9.63% Communications 8.37% Mortgage Securities 5.61% Energy 4.51% Basic Materials 2.72% Utilities 2.52% Other Assets in Excess of Liabilities, Net 0.47% --------------------- TOTAL NET ASSETS 100.00% =====================
Schedule of Investments January 31, 2007 (unaudited) SmallCap Growth Fund Shares Held Value ----------------- --- --------------------- COMMON STOCKS (96.53%) Advanced Materials & Products (0.02%) Ceradyne Inc (a) 1,736 $ 93,883 --------------------- Advertising Services (0.83%) inVentiv Health Inc (a)(b) 105,036 3,685,713 --------------------- Aerospace & Defense (1.31%) Esterline Technologies Corp (a) 64,086 2,561,518 Teledyne Technologies Inc (a) 85,195 3,250,189 --------------------- 5,811,707 --------------------- Aerospace & Defense Equipment (0.94%) BE Aerospace Inc (a) 138,969 4,138,497 --------------------- Airlines (0.25%) Allegiant Travel Co (a) 33,550 1,115,538 --------------------- Apparel Manufacturers (1.33%) Carter's Inc (a)(b) 65,300 1,658,620 Phillips-Van Heusen 75,432 4,160,075 Volcom Inc (a) 1,931 61,772 --------------------- 5,880,467 --------------------- Applications Software (0.49%) American Reprographics Co (a) 69,010 2,161,393 --------------------- Building - Heavy Construction (0.65%) Infrasource Services Inc (a) 134,312 2,854,130 --------------------- Building - Mobile Home & Manufactured Housing (0.58%) Williams Scotsman International Inc (a)(b) 126,029 2,548,306 --------------------- Building & Construction Products - Miscellaneous (0.82%) NCI Building Systems Inc (a) 63,356 3,606,224 --------------------- Building Products - Cement & Aggregate (0.61%) Texas Industries Inc 36,887 2,708,244 --------------------- Building Products - Light Fixtures (0.67%) Genlyte Group Inc (a) 39,358 2,982,156 --------------------- Cable TV (0.26%) Lodgenet Entertainment Corp (a)(b) 42,204 1,147,527 --------------------- Cellular Telecommunications (0.41%) Syniverse Holdings Inc (a) 122,431 1,797,287 --------------------- Circuit Boards (0.48%) Park Electrochemical Corp 79,024 2,109,151 --------------------- Commercial Banks (2.18%) City Bank/Lynnwood WA 41,611 1,414,774 Commercial Banks City Holding Co 17,822 714,662 Hanmi Financial Corp 61,849 1,266,668 Midwest Banc Holdings Inc 24,600 526,932 Preferred Bank/Los Angeles CA 28,059 1,834,497 United Community Banks Inc/GA (b) 119,277 3,895,587 --------------------- 9,653,120 --------------------- Commercial Services (1.07%) Steiner Leisure Ltd (a) 100,872 4,716,775 --------------------- Commercial Services - Finance (1.37%) Euronet Worldwide Inc (a) 6,950 200,577 Jackson Hewitt Tax Service Inc 81,127 2,966,814 Wright Express Corp (a)(b) 93,896 2,898,570 --------------------- 6,065,961 --------------------- Computer Aided Design (0.77%) Ansys Inc (a) 68,668 3,425,847 --------------------- Computer Graphics (0.86%) Trident Microsystems Inc (a)(b) 183,153 3,822,403 --------------------- Computer Services (1.32%) Factset Research Systems Inc 42,871 2,489,948 SI International Inc (a) 33,697 972,158 Syntel Inc (b) 72,460 2,382,485 --------------------- 5,844,591 --------------------- Computer Software (0.62%) Blackbaud Inc 115,217 2,761,751 --------------------- Computers - Integrated Systems (1.05%) Micros Systems Inc (a) 55,478 3,123,411 MTS Systems Corp 35,701 1,526,932 --------------------- 4,650,343 --------------------- Computers - Memory Devices (0.61%) Komag Inc (a)(b) 78,467 2,677,294 --------------------- Consulting Services (1.44%) FTI Consulting Inc (a)(b) 86,101 2,360,028 Huron Consulting Group Inc (a)(b) 67,656 3,507,964 LECG Corp (a) 35,549 511,550 --------------------- 6,379,542 --------------------- Consumer Products - Miscellaneous (0.42%) Central Garden and Pet Co (a) 41,890 1,876,253 --------------------- Data Processing & Management (0.01%) FalconStor Software Inc (a) 4,173 38,350 --------------------- Diagnostic Equipment (1.24%) Home Diagnostics Inc (a) 12,700 151,130 Immucor Inc (a) 127,363 4,017,029 Neurometrix Inc (b) 100,079 1,331,051 --------------------- 5,499,210 --------------------- Diagnostic Kits (0.58%) Meridian Bioscience Inc 87,077 2,581,833 --------------------- Distribution & Wholesale (1.59%) Central European Distribution Corp (a)(b) 91,673 2,703,437 Directed Electronics Inc (a) 182,863 1,828,630 Pool Corp 1,400 51,240 Watsco Inc (b) 47,987 2,448,297 --------------------- 7,031,604 --------------------- Diversified Manufacturing Operations (0.02%) ESCO Technologies Inc (a) 2,005 95,779 --------------------- Drug Delivery Systems (0.36%) Nastech Pharmaceutical Co Inc (a) 121,705 1,597,987 --------------------- E-Commerce - Products (0.64%) Nutri/System Inc (a)(b) 27,392 1,206,617 Shutterfly Inc (a) 121,305 1,623,061 --------------------- 2,829,678 --------------------- Educational Software (0.51%) Blackboard Inc (a)(b) 77,305 2,257,306 --------------------- Electronic Components - Semiconductors (2.53%) Microsemi Corp (a)(b) 148,376 2,700,443 ON Semiconductor Corp (a)(b) 389,723 3,258,084 Sirf Technology Holdings Inc (a)(b) 105,456 3,096,188 Zoran Corp (a) 151,340 2,114,220 --------------------- 11,168,935 --------------------- Electronic Design Automation (0.78%) Ansoft Corp (a)(b) 123,814 3,459,363 --------------------- Electronic Measurement Instruments (0.59%) Itron Inc (a)(b) 45,005 2,594,088 --------------------- E-Marketing & Information (0.92%) aQuantive Inc (a)(b) 150,723 4,039,376 Valueclick Inc (a) 1,288 32,870 --------------------- 4,072,246 --------------------- Energy - Alternate Sources (0.00%) Canadian Solar Inc (a) 2,066 22,643 --------------------- Enterprise Software & Services (1.14%) Concur Technologies Inc (a) 3,010 45,300 Emageon Inc (a) 2,015 24,180 Informatica Corp (a)(b) 227,446 2,856,722 Omnicell Inc (a)(b) 100,951 2,091,705 --------------------- 5,017,907 --------------------- E-Services - Consulting (0.01%) RightNow Technologies Inc (a) 2,300 33,074 --------------------- Finance - Consumer Loans (0.11%) Portfolio Recovery Associates (a) 11,649 506,382 --------------------- Finance - Investment Banker & Broker (0.73%) Knight Capital Group Inc (a) 100,330 1,812,963 optionsXpress Holdings Inc 60,084 1,426,995 --------------------- 3,239,958 --------------------- Food - Miscellaneous/Diversified (0.00%) SunOpta Inc (a) 1,200 13,032 --------------------- Footwear & Related Apparel (1.34%) Steven Madden Ltd 94,987 2,823,014 Wolverine World Wide Inc 100,721 3,099,185 --------------------- 5,922,199 --------------------- Gambling (Non-Hotel) (0.69%) Pinnacle Entertainment Inc (a)(b) 88,234 3,046,720 --------------------- Human Resources (0.92%) AMN Healthcare Services Inc (a)(b) 115,881 2,999,000 Kenexa Corp (a) 1,251 45,662 Kforce Inc (a) 72,584 1,035,048 --------------------- 4,079,710 --------------------- Internet Application Software (1.17%) DealerTrack Holdings Inc (a) 62,245 1,725,431 WebEx Communications Inc (a)(b) 93,095 3,451,963 --------------------- 5,177,394 --------------------- Internet Content - Information & News (0.45%) LoopNet Inc (a)(b) 118,836 1,991,691 --------------------- Internet Security (0.01%) Vasco Data Security International (a) 4,500 66,150 --------------------- Internet Telephony (0.55%) j2 Global Communications Inc (a)(b) 91,722 2,428,799 --------------------- Lasers - Systems & Components (1.34%) Cymer Inc (a)(b) 69,117 2,918,811 Rofin-Sinar Technologies Inc (a) 45,684 2,989,104 --------------------- 5,907,915 --------------------- Leisure & Recreation Products (0.02%) WMS Industries Inc (a) 1,836 72,816 --------------------- Life & Health Insurance (0.31%) American Equity Investment Life Holding Co 900 11,529 Delphi Financial Group 34,752 1,370,619 --------------------- 1,382,148 --------------------- Machinery - Construction & Mining (1.69%) Astec Industries Inc (a) 96,395 3,471,184 Bucyrus International Inc (b) 85,850 3,984,298 --------------------- 7,455,482 --------------------- Machinery - General Industry (1.43%) Gardner Denver Inc (a) 91,966 3,545,289 Wabtec Corp 86,543 2,771,107 --------------------- 6,316,396 --------------------- Machinery Tools & Related Products (0.01%) Lincoln Electric Holdings Inc 564 34,274 --------------------- Medical - Biomedical/Gene (3.65%) Applera Corp - Celera Group (a) 122,500 1,942,850 Digene Corp (a) 55,309 2,845,648 Exelixis Inc (a)(b) 153,044 1,499,831 Genomic Health Inc (a)(b) 100,109 2,284,487 Incyte Corp (a)(b) 276,304 2,052,939 Medical - Biomedical/Gene Keryx Biopharmaceuticals Inc (a) 1,681 19,180 Lexicon Genetics Inc (a) 215,687 819,611 Lifecell Corp (a)(b) 68,775 1,644,410 Myriad Genetics Inc (a)(b) 81,332 2,906,806 PDL BioPharma Inc (a) 4,908 100,663 --------------------- 16,116,425 --------------------- Medical - Drugs (2.72%) Adams Respiratory Therapeutics Inc (a)(b) 49,900 2,238,015 Cardiome Pharma Corp (a) 5,332 60,891 Indevus Pharmaceuticals Inc (a)(b) 151,558 974,518 New River Pharmaceuticals Inc (a)(b) 52,041 2,909,092 Rigel Pharmaceuticals Inc (a) 33,446 379,612 Salix Pharmaceuticals Ltd (a) 15,878 225,468 Viropharma Inc (a)(b) 207,687 3,536,910 Zymogenetics Inc (a)(b) 106,021 1,691,035 --------------------- 12,015,541 --------------------- Medical - HMO (0.83%) Sierra Health Services Inc (a)(b) 91,534 3,679,667 --------------------- Medical - Outpatient & Home Medical Care (0.84%) Amedisys Inc (a) 114,489 3,700,284 --------------------- Medical Imaging Systems (0.14%) IRIS International Inc (a) 54,207 625,549 --------------------- Medical Instruments (2.00%) Arthrocare Corp (a) 2,700 99,630 Conceptus Inc (a)(b) 82,715 1,918,161 Kyphon Inc (a)(b) 67,819 3,173,251 Micrus Endovascular Corp (a) 6,600 156,750 Natus Medical Inc (a) 76,050 1,155,960 Spectranetics Corp (a) 3,872 41,198 Ventana Medical Systems Inc (a)(b) 54,944 2,313,142 --------------------- 8,858,092 --------------------- Medical Laboratory & Testing Service (0.53%) Icon Plc ADR (a) 62,414 2,328,042 --------------------- Medical Laser Systems (1.07%) LCA-Vision Inc (b) 51,187 1,981,961 Palomar Medical Technologies Inc (a)(b) 55,087 2,741,129 --------------------- 4,723,090 --------------------- Medical Products (1.27%) Haemonetics Corp/Mass (a) 51,715 2,494,731 Syneron Medical Ltd (a) 79,773 1,962,416 Vital Signs Inc 22,300 1,159,600 --------------------- 5,616,747 --------------------- Metal Processors & Fabrication (1.91%) Dynamic Materials Corp 79,461 2,347,278 Ladish Co Inc (a)(b) 109,752 4,466,906 RBC Bearings Inc (a) 52,385 1,607,172 --------------------- 8,421,356 --------------------- Miscellaneous Manufacturers (0.61%) Reddy Ice Holdings Inc (b) 103,971 2,697,008 --------------------- Multi-Line Insurance (0.28%) United Fire & Casualty Co 35,962 1,217,314 --------------------- Networking Products (0.62%) Acme Packet Inc (a) 7,890 125,293 Anixter International Inc (a)(b) 47,099 2,603,162 --------------------- 2,728,455 --------------------- Non-Ferrous Metals (0.72%) Brush Engineered Materials Inc (a)(b) 3,800 125,742 RTI International Metals Inc (a) 37,478 3,063,826 --------------------- 3,189,568 --------------------- Office Furnishings - Original (0.49%) Knoll Inc 98,448 2,164,872 --------------------- Oil - Field Services (1.75%) Basic Energy Services Inc (a) 1,297 30,752 Hercules Offshore Inc (a) 76,124 2,012,718 Oil States International Inc (a)(b) 86,783 2,501,086 RPC Inc 179,735 3,199,283 --------------------- 7,743,839 --------------------- Oil & Gas Drilling (0.40%) Grey Wolf Inc (a) 258,800 1,767,604 --------------------- Oil Company - Exploration & Production (2.07%) Arena Resources Inc (a)(b) 34,600 1,474,306 ATP Oil & Gas Corp (a) 2,876 119,584 Carrizo Oil & Gas Inc (a) 8,028 230,403 Comstock Resources Inc (a) 51,467 1,644,371 PetroHawk Energy Corp (a) 8,355 96,417 St Mary Land & Exploration Co (b) 70,024 2,520,164 Whiting Petroleum Corp (a) 66,815 3,044,759 --------------------- 9,130,004 --------------------- Oil Field Machinery & Equipment (0.73%) CARBO Ceramics Inc 1,563 57,643 Dril-Quip Inc (a)(b) 76,669 2,852,087 Lufkin Industries Inc 5,457 326,602 --------------------- 3,236,332 --------------------- Oil Refining & Marketing (0.48%) Holly Corp (b) 40,103 2,113,027 --------------------- Physician Practice Management (0.68%) Healthways Inc (a) 1,854 84,190 Pediatrix Medical Group Inc (a) 55,507 2,916,338 --------------------- 3,000,528 --------------------- Power Converter & Supply Equipment (0.86%) Advanced Energy Industries Inc (a) 220,400 3,819,532 --------------------- Precious Metals (0.59%) Coeur d'Alene Mines Corp (a)(b) 597,303 2,616,187 --------------------- Property & Casualty Insurance (1.96%) American Physicians Capital Inc (a) 41,800 1,617,660 Amerisafe Inc (a) 18,613 307,673 CRM Holdings Ltd (a) 76,408 656,345 Employers Holdings Inc (a) 955 19,071 OneBeacon Insurance Group Ltd 13,161 340,738 Property & Casualty Insurance ProAssurance Corp (a) 3,200 162,528 Selective Insurance Group (b) 36,768 1,891,714 Zenith National Insurance Corp 80,209 3,665,551 --------------------- 8,661,280 --------------------- Real Estate Magagement & Services (0.01%) HFF Inc - Class A (a) 1,303 24,366 --------------------- Recreational Centers (0.84%) Life Time Fitness Inc (a)(b) 68,246 3,698,933 --------------------- REITS - Diversified (1.84%) Digital Realty Trust Inc. (b) 111,476 4,006,447 Entertainment Properties Trust 63,467 4,116,470 --------------------- 8,122,917 --------------------- REITS - Mortgage (0.34%) Deerfield Triarc Capital Corp 88,918 1,484,931 --------------------- REITS - Shopping Centers (0.55%) Inland Real Estate Corp 119,180 2,409,820 --------------------- Research & Development (0.49%) Parexel International Corp (a) 66,449 2,176,205 --------------------- Retail - Apparel & Shoe (4.44%) Aeropostale Inc (a)(b) 55,373 1,990,106 Bebe Stores Inc (b) 105,284 1,949,860 Childrens Place Retail Stores Inc/The (a) 33,285 1,804,380 Genesco Inc (a)(b) 72,495 2,855,578 Men's Wearhouse Inc 89,278 3,833,597 Stage Stores Inc 79,855 2,562,547 Tween Brands Inc (a)(b) 88,385 3,021,883 United Retail Group Inc (a) 65,541 857,276 Wet Seal Inc/The (a)(b) 115,907 748,759 --------------------- 19,623,986 --------------------- Retail - Convenience Store (0.76%) Pantry Inc/The (a)(b) 68,977 3,366,767 --------------------- Retail - Discount (0.08%) Citi Trends Inc (a) 8,680 342,079 --------------------- Retail - Restaurants (1.91%) BJ's Restaurants Inc (a) 81,895 1,670,658 Buffalo Wild Wings Inc (a)(b) 69,089 3,515,248 McCormick & Schmick's Seafood Restaurant (a) 65,606 1,649,991 Morton's Restaurant Group Inc (a) 79,859 1,494,162 Sonic Corp (a) 5,838 129,662 --------------------- 8,459,721 --------------------- Retail - Sporting Goods (0.82%) Hibbett Sporting Goods Inc (a)(b) 112,380 3,608,522 --------------------- Schools (0.08%) Capella Education Co (a) 12,444 353,658 --------------------- Seismic Data Collection (0.53%) Compagnie Generale de Geophysique SA ADR (a) 59,361 2,357,206 --------------------- Semiconductor Component - Integrated Circuits (0.59%) Emulex Corp (a) 145,803 2,588,003 --------------------- Semiconductor Equipment (0.68%) ATMI Inc (a)(b) 89,888 3,005,855 --------------------- Steel - Producers (1.53%) Chaparral Steel Co 68,230 3,498,834 Claymont Steel Holdings Inc (a)(b) 45,893 855,905 Reliance Steel & Aluminum Co 57,296 2,385,805 --------------------- 6,740,544 --------------------- Telecommunication Equipment (1.64%) CommScope Inc (a)(b) 115,585 3,734,552 Optium Corp (a)(b) 47,262 1,129,089 Sirenza Microdevices Inc (a)(b) 340,179 2,394,860 --------------------- 7,258,501 --------------------- Telecommunication Equipment - Fiber Optics (0.02%) Oplink Communications Inc (a) 4,400 83,512 --------------------- Telecommunication Services (0.47%) NeuStar Inc (a)(b) 67,560 2,086,928 --------------------- Therapeutics (2.66%) BioMarin Pharmaceuticals Inc (a)(b) 133,367 2,525,971 Isis Pharmaceuticals Inc (a)(b) 228,304 2,372,079 Medarex Inc (a)(b) 169,109 2,277,898 Progenics Pharmaceuticals Inc (a) 70,860 2,123,674 Theravance Inc (a) 67,046 2,301,019 United Therapeutics Corp (a) 2,590 138,824 --------------------- 11,739,465 --------------------- Transactional Software (0.93%) VeriFone Holdings Inc (a)(b) 102,692 4,104,599 --------------------- Transport - Marine (1.39%) American Commercial Lines Inc (a)(b) 50,764 3,575,816 OMI Corp (b) 117,232 2,586,138 --------------------- 6,161,954 --------------------- Transport - Services (0.81%) HUB Group Inc (a) 119,459 3,567,046 --------------------- Transport - Truck (0.33%) Celadon Group Inc (a) 86,355 1,449,900 --------------------- Veterinary Products (0.35%) PetMed Express Inc (a)(b) 129,266 1,527,924 --------------------- Wire & Cable Products (1.41%) General Cable Corp (a) 91,419 3,942,901 Insteel Industries Inc (b) 135,865 2,267,587 --------------------- 6,210,488 --------------------- Wireless Equipment (0.78%) Powerwave Technologies Inc (a) 1,600 9,344 Sierra Wireless (a) 11,950 172,797 Wireless Equipment Viasat Inc (a) 98,932 3,261,788 --------------------- 3,443,929 --------------------- TOTAL COMMON STOCKS $ 426,623,274 --------------------- Principal Amount Value ----------------- --- --------------------- SHORT TERM INVESTMENTS (0.26%) Commercial Paper (0.26%) Investment in Joint Trading Account; General Electric Capital 5.26%, 2/ 1/2007 1,131,891 1,131,891 --------------------- TOTAL SHORT TERM INVESTMENTS $ 1,131,891 --------------------- MONEY MARKET FUNDS (4.24%) Money Center Banks (4.24%) BNY Institutional Cash Reserve Fund (c) 18,761,000 18,761,000 --------------------- TOTAL MONEY MARKET FUNDS $ 18,761,000 --------------------- Total Investments $ 446,516,165 Liabilities in Excess of Other Assets, Net - (1.03)% (4,570,420) --------------------- TOTAL NET ASSETS - 100.00% $ 441,945,745 ===================== --------------------- =====================
(a) Non-Income Producing Security (b) Security or a portion of the security was on loan at the end of the period. (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 36,948,820 Unrealized Depreciation (10,573,292) --------------------- Net Unrealized Appreciation (Depreciation) 26,375,528 Cost for federal income tax purposes 420,140,637 Portfolio Summary (unaudited) -------------------------------------------------- --------------------- Sector Percent -------------------------------------------------- --------------------- Consumer, Non-cyclical 24.72% Industrial 17.88% Consumer, Cyclical 15.13% Technology 12.89% Financial 12.81% Communications 8.79% Energy 5.97% Basic Materials 2.84% Liabilities in Excess of Other Assets, Net (-1.03%) --------------------- TOTAL NET ASSETS 100.00% =====================
Schedule of Investments January 31, 2007 (unaudited) SmallCap S&P 600 Index Fund Shares Held Value ----------------- --- --------------------- COMMON STOCKS (99.91%) Advanced Materials & Products (0.24%) Ceradyne Inc (a)(b) 18,303 $ 989,826 --------------------- Advertising Services (0.17%) inVentiv Health Inc (b) 20,121 706,046 --------------------- Aerospace & Defense (0.70%) Armor Holdings Inc (b) 20,469 1,238,375 Esterline Technologies Corp (b) 17,269 690,242 Teledyne Technologies Inc (b) 23,503 896,639 --------------------- 2,825,256 --------------------- Aerospace & Defense Equipment (1.12%) AAR Corp (a)(b) 24,904 741,890 Curtiss-Wright Corp 29,782 1,137,077 GenCorp Inc (a)(b) 37,757 564,845 Kaman Corp 16,325 372,047 Moog Inc (b) 28,680 1,118,233 Triumph Group Inc (a) 11,010 618,762 --------------------- 4,552,854 --------------------- Agricultural Operations (0.25%) Delta & Pine Land Co 24,713 1,005,819 --------------------- Airlines (0.38%) Frontier Airlines Holdings Inc (a)(b) 24,816 184,383 Mesa Air Group Inc (a)(b) 23,018 172,405 Skywest Inc (a) 43,337 1,176,166 --------------------- 1,532,954 --------------------- Apparel Manufacturers (1.31%) Ashworth Inc (b) 9,842 74,898 Gymboree Corp (a)(b) 21,436 927,964 Kellwood Co (a) 17,056 559,437 Oxford Industries Inc 10,335 493,910 Phillips-Van Heusen 37,643 2,076,011 Quiksilver Inc (a)(b) 81,560 1,158,968 --------------------- 5,291,188 --------------------- Applications Software (0.38%) EPIQ Systems Inc (a)(b) 9,769 176,526 Keane Inc (b) 30,216 367,729 Mapinfo Corp (b) 14,464 197,433 Progress Software Corp (b) 27,854 791,332 --------------------- 1,533,020 --------------------- Athletic Equipment (0.09%) Nautilus Inc 21,334 347,958 --------------------- Athletic Footwear (0.14%) K-Swiss Inc 17,984 568,654 --------------------- Audio & Video Products (0.05%) Audiovox Corp (b) 12,203 188,170 --------------------- Auto - Medium & Heavy Duty Trucks (0.06%) ASV Inc (a)(b) 13,926 236,046 --------------------- Auto - Truck Trailers (0.08%) Wabash National Corp (a) 21,121 336,669 --------------------- Auto Repair Centers (0.04%) Midas Inc (a)(b) 8,001 181,063 --------------------- Auto/Truck Parts & Equipment - Original (0.18%) Keystone Automotive Industries Inc (a)(b) 11,065 396,680 Superior Industries International (a) 15,512 315,980 --------------------- 712,660 --------------------- Auto/Truck Parts & Equipment - Replacement (0.03%) Standard Motor Products Inc 8,057 127,462 --------------------- Batteries & Battery Systems (0.11%) Greatbatch Inc (a)(b) 14,922 438,558 --------------------- Broadcasting Services & Programming (0.04%) 4Kids Entertainment Inc (b) 8,903 174,232 --------------------- Building - Maintenance & Service (0.32%) ABM Industries Inc 29,541 763,340 Healthcare Services Group 18,608 538,143 --------------------- 1,301,483 --------------------- Building - Mobile Home & Manufactured Housing (0.52%) Champion Enterprises Inc (a)(b) 51,827 425,500 Coachmen Industries Inc 10,612 114,610 Fleetwood Enterprises Inc (a)(b) 43,368 399,419 Monaco Coach Corp (a) 18,153 273,747 Skyline Corp 4,607 174,099 Winnebago Industries (a) 21,260 713,060 --------------------- 2,100,435 --------------------- Building - Residential & Commercial (1.08%) M/I Homes Inc (a) 8,194 295,639 Meritage Homes Corp (a)(b) 14,873 661,105 NVR Inc (a)(b) 3,220 2,229,914 Standard-Pacific Corp (a) 43,774 1,201,159 --------------------- 4,387,817 --------------------- Building & Construction - Miscellaneous (0.13%) Insituform Technologies Inc (a)(b) 18,458 515,163 --------------------- Building & Construction Products - Miscellaneous (0.62%) Drew Industries Inc (a)(b) 12,592 348,672 ElkCorp 13,955 605,089 NCI Building Systems Inc (a)(b) 13,443 765,176 Simpson Manufacturing Co Inc (a) 24,816 811,731 --------------------- 2,530,668 --------------------- Building Products - Air & Heating (0.29%) Lennox International Inc (a) 39,120 1,186,901 --------------------- Building Products - Cement & Aggregate (0.29%) Texas Industries Inc 16,254 1,193,369 --------------------- Building Products - Doors & Windows (0.09%) Apogee Enterprises Inc 19,135 364,139 --------------------- Building Products - Wood (0.15%) Universal Forest Products Inc 12,778 624,844 --------------------- Casino Services (0.16%) Shuffle Master Inc (a)(b) 23,681 630,151 --------------------- Chemicals - Diversified (0.12%) Georgia Gulf Corp (a) 23,196 482,709 --------------------- Chemicals - Fibers (0.02%) Wellman Inc (a) 22,169 63,182 --------------------- Chemicals - Plastics (0.20%) PolyOne Corp (a)(b) 62,874 460,866 Schulman A Inc 16,376 341,931 --------------------- 802,797 --------------------- Chemicals - Specialty (0.98%) Arch Chemicals Inc 16,357 551,722 HB Fuller Co 40,422 1,045,717 MacDermid Inc (a) 16,945 587,822 OM Group Inc (b) 19,908 972,705 Omnova Solutions Inc (b) 28,391 171,765 Penford Corp 6,070 108,714 Quaker Chemical Corp 6,719 149,095 Tronox Inc 27,959 398,695 --------------------- 3,986,235 --------------------- Circuit Boards (0.09%) Park Electrochemical Corp 13,684 365,226 --------------------- Coal (0.32%) Massey Energy Co (a) 54,504 1,291,200 --------------------- Coffee (0.06%) Peet's Coffee & Tea Inc (a)(b) 9,381 242,499 --------------------- Collectibles (0.15%) Lenox Group Inc (b) 9,575 36,002 RC2 Corp (b) 14,198 560,963 --------------------- 596,965 --------------------- Commercial Banks (6.00%) Bank Mutual Corp (a) 40,879 482,372 Cascade Bancorp (a) 19,098 502,850 Central Pacific Financial Corp (a) 20,788 812,395 Chittenden Corp 31,184 949,865 Community Bank System Inc 20,289 459,749 Corus Bankshares Inc (a) 22,362 476,311 East West Bancorp Inc 41,512 1,594,061 First Bancorp/Puerto Rico (a) 54,780 585,050 First Commonwealth Financial Corp (a) 42,570 559,796 First Financial Bancorp (a) 21,916 360,080 First Indiana Corp 8,837 209,879 First Midwest Bancorp Inc/IL 33,876 1,271,705 First Republic Bank/San Francisco CA (a) 20,945 1,125,165 Fremont General Corp (a) 45,918 624,485 Commercial Banks Glacier Bancorp Inc 35,404 830,932 Hanmi Financial Corp 28,559 584,888 Independent Bank Corp/MI 13,788 304,301 Irwin Financial Corp 12,737 278,049 Nara Bancorp Inc 14,209 278,923 PrivateBancorp Inc (a) 12,183 455,522 Prosperity Bancshares Inc 17,560 614,600 Provident Bankshares Corp 22,169 785,669 South Financial Group Inc/The (a) 50,998 1,317,788 Sterling Bancorp/NY (a) 12,684 235,922 Sterling Bancshares Inc/TX 48,118 579,822 Sterling Financial Corp/WA 28,319 939,341 Susquehanna Bancshares Inc 35,136 886,833 Trustco Bank Corp NY (a) 50,855 534,995 UCBH Holdings Inc (a) 67,392 1,263,600 Umpqua Holdings Corp (a) 39,340 1,119,223 United Bankshares Inc 24,831 906,828 Whitney Holding Corp 44,669 1,413,327 Wilshire Bancorp Inc 10,480 191,260 Wintrust Financial Corp 17,372 795,464 --------------------- 24,331,050 --------------------- Commercial Services (0.76%) Arbitron Inc 19,940 924,618 Central Parking Corp (a) 11,102 221,152 CPI Corp (a) 3,530 190,585 Live Nation Inc (b) 44,385 1,095,422 Pre-Paid Legal Services Inc (a)(b) 6,355 247,082 Startek Inc 7,671 78,704 Vertrue Inc (a)(b) 6,562 305,067 --------------------- 3,062,630 --------------------- Commercial Services - Finance (0.24%) Bankrate Inc (a)(b) 7,736 305,649 Coinstar Inc (a)(b) 18,753 567,091 Rewards Network Inc (a)(b) 18,021 117,317 --------------------- 990,057 --------------------- Communications Software (0.43%) Avid Technology Inc (a)(b) 27,787 1,028,119 Captaris Inc (b) 18,325 161,443 Digi International Inc (a)(b) 17,004 211,190 Inter-Tel Inc 14,492 327,954 --------------------- 1,728,706 --------------------- Computer Aided Design (0.32%) Ansys Inc (b) 26,116 1,302,927 --------------------- Computer Services (0.90%) CACI International Inc (a)(b) 20,784 977,471 Carreker Corp (b) 13,728 109,275 Ciber Inc (b) 36,842 253,473 Factset Research Systems Inc (a) 25,571 1,485,164 Manhattan Associates Inc (b) 18,469 518,425 SYKES Enterprises Inc (a)(b) 20,059 293,062 --------------------- 3,636,870 --------------------- Computer Software (0.03%) Phoenix Technologies Ltd (b) 17,239 108,433 --------------------- Computers - Integrated Systems (0.98%) Agilysys Inc 20,753 393,269 Catapult Communications Corp (b) 6,748 61,474 Kronos Inc/MA (a)(b) 21,603 820,914 Mercury Computer Systems Inc (b) 15,013 193,968 Micros Systems Inc (a)(b) 26,813 1,509,572 MTS Systems Corp 12,344 527,953 Radiant Systems Inc (b) 17,562 198,099 Radisys Corp (b) 14,754 248,015 --------------------- 3,953,264 --------------------- Computers - Memory Devices (0.27%) Hutchinson Technology Inc (a)(b) 17,587 390,783 Komag Inc (a)(b) 21,025 717,373 --------------------- 1,108,156 --------------------- Computers - Peripheral Equipment (0.11%) Synaptics Inc (a)(b) 17,163 464,431 --------------------- Computers - Voice Recognition (0.17%) Talx Corp (a) 21,167 674,381 --------------------- Consulting Services (0.42%) MAXIMUS Inc 14,597 440,100 Watson Wyatt Worldwide Inc 28,729 1,272,407 --------------------- 1,712,507 --------------------- Consumer Products - Miscellaneous (0.68%) Central Garden and Pet Co (b) 16,157 723,672 Fossil Inc (a)(b) 30,637 689,639 Playtex Products Inc (b) 37,726 531,182 Russ Berrie & Co Inc (a)(b) 7,797 115,396 Spectrum Brands Inc (a)(b) 25,663 310,522 WD-40 Co 11,538 379,946 --------------------- 2,750,357 --------------------- Containers - Paper & Plastic (0.06%) Chesapeake Corp 13,438 235,971 --------------------- Cosmetics & Toiletries (0.18%) Chattem Inc (a)(b) 12,592 723,284 --------------------- Data Processing & Management (0.21%) eFunds Corp (b) 31,743 848,173 --------------------- Decision Support Software (0.10%) SPSS Inc (b) 13,368 414,675 --------------------- Diagnostic Equipment (0.36%) Immucor Inc (a)(b) 45,912 1,448,064 --------------------- Diagnostic Kits (0.70%) Biosite Inc (a)(b) 11,023 593,919 Idexx Laboratories Inc (b) 21,216 1,820,545 Meridian Bioscience Inc 14,540 431,111 --------------------- 2,845,575 --------------------- Direct Marketing (0.17%) Advo Inc (a) 21,590 707,720 --------------------- Disposable Medical Products (0.17%) ICU Medical Inc (b) 9,948 392,449 Merit Medical Systems Inc (a)(b) 18,596 293,073 --------------------- 685,522 --------------------- Distribution & Wholesale (1.54%) Bell Microproducts Inc (a)(b) 20,612 148,819 Brightpoint Inc (b) 34,284 377,467 Building Materials Holding Corp 19,686 469,117 LKQ Corp (a)(b) 30,709 657,787 Owens & Minor Inc 27,248 911,446 Pool Corp (a) 34,377 1,258,198 Scansource Inc (a)(b) 17,438 511,631 United Stationers Inc (a)(b) 20,517 1,045,546 Watsco Inc (a) 16,597 846,779 --------------------- 6,226,790 --------------------- Diversified Manufacturing Operations (1.14%) Acuity Brands Inc (a) 29,180 1,692,732 AO Smith Corp 15,379 589,785 Barnes Group Inc (a) 26,883 575,834 EnPro Industries Inc (b) 14,350 474,267 Griffon Corp (b) 17,734 456,828 Lydall Inc (b) 10,995 147,223 Standex International Corp 8,420 245,359 Tredegar Corp 18,947 435,212 --------------------- 4,617,240 --------------------- Diversified Minerals (0.11%) AMCOL International Corp (a) 14,807 445,098 --------------------- Diversified Operations & Commercial Services (0.39%) Chemed Corp 17,807 649,956 Viad Corp 14,661 614,882 Volt Information Sciences Inc (a)(b) 8,447 298,668 --------------------- 1,563,506 --------------------- Drug Delivery Systems (0.11%) Noven Pharmaceuticals Inc (a)(b) 16,513 451,796 --------------------- E-Commerce - Products (0.13%) Blue Nile Inc (a)(b) 9,450 349,744 Stamps.com Inc (b) 12,968 189,722 --------------------- 539,466 --------------------- E-Commerce - Services (0.03%) Napster Inc (b) 30,436 122,048 --------------------- Electric - Integrated (1.47%) Allete Inc 20,594 990,365 Avista Corp 35,244 886,387 Central Vermont Public Service Corp 6,865 171,900 CH Energy Group Inc 9,189 469,007 Cleco Corp 38,969 995,268 El Paso Electric Co (b) 31,643 768,925 Green Mountain Power Corp 3,589 122,421 UIL Holdings Corp (a) 16,735 649,485 Unisource Energy Corp (a) 23,881 896,015 --------------------- 5,949,773 --------------------- Electric Products - Miscellaneous (0.12%) Littelfuse Inc (a)(b) 15,177 476,406 --------------------- Electronic Components - Miscellaneous (1.07%) Bel Fuse Inc 8,034 260,944 Benchmark Electronics Inc (b) 48,789 1,105,071 CTS Corp (a) 24,271 376,201 Cubic Corp 10,505 219,554 Daktronics Inc (a) 21,540 744,638 Methode Electronics Inc 25,356 279,170 Planar Systems Inc (b) 11,556 120,298 Rogers Corp (b) 11,949 617,524 Technitrol Inc 27,591 607,554 --------------------- 4,330,954 --------------------- Electronic Components - Semiconductors (0.84%) Actel Corp (a)(b) 17,657 315,354 Diodes Inc (a)(b) 13,539 496,475 DSP Group Inc (b) 19,692 413,138 Kopin Corp (a)(b) 46,011 177,602 Microsemi Corp (a)(b) 50,624 921,357 Skyworks Solutions Inc (b) 109,166 717,221 Supertex Inc (a)(b) 9,306 347,486 --------------------- 3,388,633 --------------------- Electronic Measurement Instruments (1.28%) Analogic Corp 9,466 555,844 Flir Systems Inc (a)(b) 44,421 1,373,053 Itron Inc (a)(b) 17,346 999,823 Keithley Instruments Inc 9,532 134,115 Trimble Navigation Ltd (b) 37,698 2,132,953 --------------------- 5,195,788 --------------------- Electronic Security Devices (0.05%) LoJack Corp (a)(b) 12,327 221,023 --------------------- Electronics - Military (0.06%) EDO Corp (a) 11,162 259,182 --------------------- E-Marketing & Information (0.02%) MIVA Inc (b) 18,999 82,646 --------------------- Energy - Alternate Sources (0.16%) Headwaters Inc (a)(b) 28,687 651,769 --------------------- Engineering - Research & Development Services (1.13%) EMCOR Group Inc (b) 21,500 1,234,530 Shaw Group Inc/The (a)(b) 54,560 1,841,946 URS Corp (b) 35,197 1,512,415 --------------------- 4,588,891 --------------------- Engines - Internal Combustion (0.24%) Briggs & Stratton Corp (a) 33,407 990,183 --------------------- Enterprise Software & Services (0.84%) Concur Technologies Inc (a)(b) 18,897 284,400 Epicor Software Corp (a)(b) 39,202 542,948 Hyperion Solutions Corp (b) 39,665 1,674,656 JDA Software Group Inc (a)(b) 19,880 318,080 Mantech International Corp (a)(b) 12,343 421,143 Neoware Inc (a)(b) 13,520 159,671 --------------------- 3,400,898 --------------------- Entertainment Software (0.54%) Take-Two Interactive Software Inc (a)(b) 49,178 854,713 Entertainment Software THQ Inc (b) 43,599 1,321,050 --------------------- 2,175,763 --------------------- Environmental Consulting & Engineering (0.17%) Tetra Tech Inc (b) 39,074 702,551 --------------------- E-Services - Consulting (0.37%) Digital Insight Corp (a)(b) 21,978 854,725 Websense Inc (a)(b) 30,296 655,908 --------------------- 1,510,633 --------------------- Fiduciary Banks (0.18%) Boston Private Financial Holdings Inc 24,751 715,799 --------------------- Filtration & Separation Products (0.30%) Clarcor Inc 34,586 1,198,751 --------------------- Finance - Consumer Loans (0.24%) Portfolio Recovery Associates (a)(b) 10,792 469,128 World Acceptance Corp (a)(b) 11,883 522,971 --------------------- 992,099 --------------------- Finance - Investment Banker & Broker (0.77%) Investment Technology Group Inc (b) 29,547 1,288,249 LaBranche & Co Inc (b) 35,817 335,964 Piper Jaffray Cos (b) 12,597 868,437 SWS Group Inc (a) 16,417 414,201 TradeStation Group Inc (b) 17,305 220,812 --------------------- 3,127,663 --------------------- Finance - Leasing Company (0.13%) Financial Federal Corp (a) 18,463 528,042 --------------------- Financial Guarantee Insurance (0.11%) Triad Guaranty Inc (b) 8,276 426,214 --------------------- Firearms & Ammunition (0.03%) Sturm Ruger & Co Inc (b) 12,430 129,396 --------------------- Food - Baking (0.24%) Flowers Foods Inc (a) 35,022 984,819 --------------------- Food - Canned (0.16%) TreeHouse Foods Inc (b) 21,150 630,481 --------------------- Food - Miscellaneous/Diversified (1.07%) Corn Products International Inc 50,318 1,723,392 Hain Celestial Group Inc (a)(b) 26,430 777,042 J&J Snack Foods Corp (a) 9,279 383,037 Lance Inc (a) 20,910 444,756 Ralcorp Holdings Inc (b) 18,072 1,000,104 --------------------- 4,328,331 --------------------- Food - Retail (0.09%) Great Atlantic & Pacific Tea Co (a) 13,220 381,661 --------------------- Food - Wholesale & Distribution (0.48%) Nash Finch Co (a) 9,412 271,818 Performance Food Group Co (b) 23,633 700,955 Food - Wholesale & Distribution United Natural Foods Inc (a)(b) 28,826 952,411 --------------------- 1,925,184 --------------------- Footwear & Related Apparel (0.93%) CROCS Inc (a)(b) 22,748 1,145,134 Deckers Outdoor Corp (b) 7,408 431,961 Skechers U.S.A. Inc (a)(b) 16,884 598,369 Stride Rite Corp 24,467 422,300 Wolverine World Wide Inc 37,728 1,160,891 --------------------- 3,758,655 --------------------- Forestry (0.09%) Deltic Timber Corp (a) 6,896 369,074 --------------------- Gambling (Non-Hotel) (0.34%) Pinnacle Entertainment Inc (b) 39,366 1,359,308 --------------------- Garden Products (0.35%) Toro Co (a) 27,767 1,423,614 --------------------- Gas - Distribution (3.33%) Atmos Energy Corp (a) 59,193 1,849,189 Cascade Natural Gas Corp 7,800 202,878 Energen Corp 49,046 2,269,849 Laclede Group Inc/The 14,499 470,928 New Jersey Resources Corp (a) 18,762 874,309 Northwest Natural Gas Co 18,644 758,624 Piedmont Natural Gas Co 51,061 1,317,884 South Jersey Industries Inc (a) 19,847 655,745 Southern Union Co 72,987 2,029,768 Southwest Gas Corp 28,107 1,103,200 UGI Corp 71,728 1,966,065 --------------------- 13,498,439 --------------------- Health Care Cost Containment (0.04%) Hooper Holmes Inc 45,853 154,525 --------------------- Home Furnishings (0.34%) Bassett Furniture Industries Inc 7,997 126,672 Ethan Allen Interiors Inc (a) 21,512 810,357 La-Z-Boy Inc (a) 34,817 448,443 --------------------- 1,385,472 --------------------- Hotels & Motels (0.09%) Marcus Corp 14,442 345,308 --------------------- Housewares (0.08%) Libbey Inc (a) 9,695 115,371 National Presto Industries Inc 3,194 200,583 --------------------- 315,954 --------------------- Human Resources (0.99%) Administaff Inc 16,409 671,784 AMN Healthcare Services Inc (a)(b) 23,065 596,922 CDI Corp (a) 8,814 228,811 Cross Country Healthcare Inc (a)(b) 14,751 332,783 Gevity HR Inc 17,070 376,735 Heidrick & Struggles International Inc (b) 11,883 518,931 Labor Ready Inc (b) 35,330 663,497 On Assignment Inc (a)(b) 22,348 288,513 Human Resources Spherion Corp (b) 38,338 315,522 --------------------- 3,993,498 --------------------- Identification Systems - Development (0.61%) Brady Corp 36,555 1,368,985 Checkpoint Systems Inc (a)(b) 26,614 500,077 Paxar Corp (a)(b) 27,974 614,868 --------------------- 2,483,930 --------------------- Industrial Audio & Video Products (0.08%) Sonic Solutions Inc (a)(b) 17,630 323,510 --------------------- Industrial Automation & Robots (0.21%) Cognex Corp 30,226 659,531 Gerber Scientific Inc (b) 15,575 192,040 --------------------- 851,571 --------------------- Instruments - Controls (0.51%) Photon Dynamics Inc (b) 11,561 130,524 Watts Water Technologies Inc (a) 19,696 866,033 Woodward Governor Co 19,904 832,783 X-Rite Inc (a) 19,425 218,143 --------------------- 2,047,483 --------------------- Instruments - Scientific (0.30%) Dionex Corp (a)(b) 13,032 774,362 FEI Co (a)(b) 17,184 432,349 --------------------- 1,206,711 --------------------- Insurance Brokers (0.26%) Hilb Rogal & Hobbs Co 24,517 1,035,843 --------------------- Internet Application Software (0.27%) WebEx Communications Inc (a)(b) 29,177 1,081,883 --------------------- Internet Connectivity Services (0.04%) PC-Tel Inc (b) 15,134 143,016 --------------------- Internet Content - Information & News (0.12%) Infospace Inc (a)(b) 21,256 493,989 --------------------- Internet Security (0.13%) Blue Coat Systems Inc (a)(b) 9,807 245,273 Secure Computing Corp (a)(b) 43,728 291,229 --------------------- 536,502 --------------------- Internet Telephony (0.22%) j2 Global Communications Inc (a)(b) 33,679 891,820 --------------------- Lasers - Systems & Components (0.53%) Coherent Inc (a)(b) 21,185 651,439 Cymer Inc (a)(b) 25,170 1,062,929 Electro Scientific Industries Inc (b) 19,726 414,049 --------------------- 2,128,417 --------------------- Leisure & Recreation Products (0.30%) K2 Inc (b) 33,439 403,943 Multimedia Games Inc (a)(b) 18,629 193,183 WMS Industries Inc (a)(b) 15,977 633,648 --------------------- 1,230,774 --------------------- Life & Health Insurance (0.36%) Delphi Financial Group 29,264 1,154,172 Life & Health Insurance Presidential Life Corp 14,582 316,867 --------------------- 1,471,039 --------------------- Linen Supply & Related Items (0.18%) Angelica Corp 6,435 172,523 G&K Services Inc 14,518 541,376 --------------------- 713,899 --------------------- Machinery - Construction & Mining (0.11%) Astec Industries Inc (a)(b) 12,765 459,668 --------------------- Machinery - Electrical (0.49%) Baldor Electric Co 25,997 918,214 Regal-Beloit Corp 20,965 1,054,959 --------------------- 1,973,173 --------------------- Machinery - Farm (0.06%) Lindsay Corp (a) 7,881 250,537 --------------------- Machinery - General Industry (1.86%) Albany International Corp 19,753 670,417 Applied Industrial Technologies Inc 25,283 619,434 Gardner Denver Inc (b) 35,591 1,372,033 IDEX Corp 36,351 1,886,617 Intevac Inc (a)(b) 14,337 316,991 Manitowoc Co Inc/The 41,751 2,165,207 Robbins & Myers Inc 11,378 494,715 --------------------- 7,525,414 --------------------- Medical - Biomedical/Gene (0.91%) Arqule Inc (a)(b) 19,156 125,472 Cambrex Corp 18,135 396,794 CryoLife Inc (b) 15,190 127,748 Digene Corp (a)(b) 16,062 826,390 Enzo Biochem Inc (a)(b) 20,496 304,160 Integra LifeSciences Holdings Corp (a)(b) 13,366 575,406 Regeneron Pharmaceuticals Inc (a)(b) 44,083 876,811 Savient Pharmaceuticals Inc (a)(b) 31,429 469,235 --------------------- 3,702,016 --------------------- Medical - Drugs (0.37%) Bradley Pharmaceuticals Inc (a)(b) 11,136 223,945 Sciele Pharma Inc (a)(b) 19,856 471,580 Viropharma Inc (a)(b) 47,225 804,242 --------------------- 1,499,767 --------------------- Medical - Generic Drugs (0.20%) Alpharma Inc 29,010 799,225 --------------------- Medical - HMO (0.88%) AMERIGROUP Corp (a)(b) 35,304 1,280,123 Centene Corp (b) 29,262 729,209 Sierra Health Services Inc (a)(b) 38,716 1,556,383 --------------------- 3,565,715 --------------------- Medical - Hospitals (0.23%) United Surgical Partners International (a)(b) 30,243 921,504 --------------------- Medical - Nursing Homes (0.20%) Genesis HealthCare Corp (a)(b) 13,319 815,389 --------------------- Medical - Outpatient & Home Medical Care (0.41%) Amedisys Inc (a)(b) 17,401 562,389 Amsurg Corp (a)(b) 20,283 446,226 Gentiva Health Services Inc (b) 18,501 366,320 Odyssey HealthCare Inc (b) 23,288 289,004 --------------------- 1,663,939 --------------------- Medical Information Systems (0.93%) Allscripts Healthcare Solutions Inc (a)(b) 32,379 990,797 Cerner Corp (a)(b) 43,963 1,975,258 Dendrite International Inc (b) 29,676 323,765 Quality Systems Inc. (a) 11,504 488,115 --------------------- 3,777,935 --------------------- Medical Instruments (0.71%) Arthrocare Corp (a)(b) 18,280 674,532 Conmed Corp (a)(b) 18,956 458,735 Datascope Corp 8,557 316,096 DJO Inc (b) 15,629 647,041 Kensey Nash Corp (a)(b) 7,934 251,349 Possis Medical Inc (b) 11,673 157,352 SurModics Inc (a)(b) 10,813 388,835 --------------------- 2,893,940 --------------------- Medical Laser Systems (0.32%) Biolase Technology Inc (a)(b) 16,050 138,030 LCA-Vision Inc (a) 14,090 545,565 Palomar Medical Technologies Inc (a)(b) 11,987 596,473 --------------------- 1,280,068 --------------------- Medical Products (1.76%) American Medical Systems Holdings Inc (a)(b) 48,084 956,872 Cooper Cos Inc/The 30,186 1,439,872 Cyberonics Inc (a)(b) 14,671 309,118 Haemonetics Corp/Mass (b) 18,248 880,284 Invacare Corp 21,617 466,711 Mentor Corp (a) 28,574 1,456,988 Osteotech Inc (b) 11,753 64,406 PolyMedica Corp 15,284 611,971 Viasys Healthcare Inc (b) 22,215 653,788 Vital Signs Inc 5,287 274,924 --------------------- 7,114,934 --------------------- Metal - Aluminum (0.18%) Century Aluminum Co (a)(b) 15,621 712,005 --------------------- Metal - Iron (0.50%) Cleveland-Cliffs Inc 27,921 1,526,162 Gibraltar Industries Inc 20,227 496,168 --------------------- 2,022,330 --------------------- Metal Processors & Fabrication (0.65%) Kaydon Corp (a) 19,105 823,425 Mueller Industries Inc 25,086 817,051 Quanex Corp 25,057 981,984 --------------------- 2,622,460 --------------------- Metal Products - Distribution (0.08%) AM Castle & Co 8,534 213,350 Lawson Products 2,827 125,491 --------------------- 338,841 --------------------- Miscellaneous Manufacturers (0.35%) Aptargroup Inc 23,353 1,424,767 --------------------- Multi-Line Insurance (0.12%) United Fire & Casualty Co (a) 14,236 481,889 --------------------- Networking Products (0.79%) Adaptec Inc (a)(b) 79,617 286,621 Aeroflex Inc (b) 49,843 596,123 Anixter International Inc (a)(b) 22,908 1,266,125 Black Box Corp 11,766 483,347 Netgear Inc (a)(b) 22,864 588,748 --------------------- 3,220,964 --------------------- Non-Ferrous Metals (0.42%) Brush Engineered Materials Inc (a)(b) 13,648 451,612 RTI International Metals Inc (a)(b) 15,490 1,266,308 --------------------- 1,717,920 --------------------- Non-Hazardous Waste Disposal (0.33%) Waste Connections Inc (a)(b) 30,706 1,337,860 --------------------- Office Automation & Equipment (0.16%) Global Imaging Systems Inc (a)(b) 34,652 667,051 --------------------- Office Furnishings - Original (0.13%) Interface Inc 35,285 537,038 --------------------- Office Supplies & Forms (0.24%) John H Harland Co (a) 17,317 872,431 Standard Register Co/The 8,432 106,496 --------------------- 978,927 --------------------- Oil - Field Services (1.84%) Helix Energy Solutions Group Inc (a)(b) 63,282 2,035,782 Hornbeck Offshore Services Inc (a)(b) 16,804 462,446 Oceaneering International Inc (a)(b) 36,749 1,450,483 SEACOR Holdings Inc (a)(b) 14,435 1,461,255 Tetra Technologies Inc (a)(b) 48,728 1,128,540 W-H Energy Services Inc (b) 20,418 926,569 --------------------- 7,465,075 --------------------- Oil & Gas Drilling (0.22%) Atwood Oceanics Inc (b) 18,307 885,510 --------------------- Oil Company - Exploration & Production (1.96%) Cabot Oil & Gas Corp 32,479 2,106,588 Penn Virginia Corp 12,672 928,604 Petroleum Development Corp (b) 10,013 512,966 St Mary Land & Exploration Co (a) 37,199 1,338,792 Stone Energy Corp (a)(b) 18,965 644,620 Swift Energy Co (a)(b) 20,016 887,509 Unit Corp (b) 31,370 1,520,818 --------------------- 7,939,897 --------------------- Oil Field Machinery & Equipment (0.93%) CARBO Ceramics Inc 13,723 506,104 Dril-Quip Inc (b) 16,176 601,747 Hydril (b) 13,009 1,029,012 Lone Star Technologies Inc (b) 20,984 1,014,576 Oil Field Machinery & Equipment Lufkin Industries Inc 10,362 620,166 --------------------- 3,771,605 --------------------- Oil Refining & Marketing (0.52%) Frontier Oil Corp 74,788 2,124,727 --------------------- Paper & Related Products (0.57%) Buckeye Technologies Inc (b) 25,530 305,594 Caraustar Industries Inc (a)(b) 19,713 156,916 Neenah Paper Inc 10,021 342,017 Pope & Talbot Inc (a)(b) 11,071 77,608 Rock-Tenn Co 22,336 730,834 Schweitzer-Mauduit International Inc 10,474 254,413 Wausau Paper Corp 30,305 431,543 --------------------- 2,298,925 --------------------- Physical Therapy & Rehabilitation Centers (0.04%) RehabCare Group Inc (b) 11,660 176,999 --------------------- Physician Practice Management (0.79%) Healthways Inc (a)(b) 23,496 1,066,953 Matria Healthcare Inc (a)(b) 14,535 401,602 Pediatrix Medical Group Inc (b) 32,876 1,727,305 --------------------- 3,195,860 --------------------- Poultry (0.08%) Sanderson Farms Inc 10,747 339,820 --------------------- Power Converter & Supply Equipment (0.19%) Advanced Energy Industries Inc (b) 23,996 415,851 C&D Technologies Inc (a) 17,385 93,879 Magnetek Inc (b) 19,869 103,716 Vicor Corp 13,242 140,497 --------------------- 753,943 --------------------- Printing - Commercial (0.20%) Bowne & Co Inc 19,678 295,957 Consolidated Graphics Inc (a)(b) 7,982 494,884 --------------------- 790,841 --------------------- Property & Casualty Insurance (2.06%) Infinity Property & Casualty Corp 13,436 642,778 LandAmerica Financial Group Inc 12,021 758,044 Philadelphia Consolidated Holding Co (a)(b) 38,676 1,742,741 ProAssurance Corp (b) 22,513 1,143,435 RLI Corp 13,739 760,316 Safety Insurance Group Inc 9,665 472,039 SCPIE Holdings Inc (a)(b) 6,806 178,181 Selective Insurance Group (a) 19,446 1,000,497 Stewart Information Services Corp 12,353 519,320 Zenith National Insurance Corp 25,079 1,146,110 --------------------- 8,363,461 --------------------- Publicly Traded Investment Fund (1.49%) iShares S&P SmallCap 600 Index Fund (a) 89,688 6,039,590 --------------------- Radio (0.09%) Radio One Inc - Class D (b) 52,191 383,604 --------------------- Recreational Vehicles (0.34%) Arctic Cat Inc 8,449 155,884 Recreational Vehicles Polaris Industries Inc 26,495 1,238,906 --------------------- 1,394,790 --------------------- REITS - Apartments (0.81%) Essex Property Trust Inc (a) 15,829 2,284,758 Mid-America Apartment Communities Inc 16,602 998,112 --------------------- 3,282,870 --------------------- REITS - Diversified (1.11%) Colonial Properties Trust 31,215 1,534,217 Entertainment Properties Trust 17,948 1,164,107 Lexington Realty Trust (a) 46,618 992,031 PS Business Parks Inc (a) 10,827 814,299 --------------------- 4,504,654 --------------------- REITS - Healthcare (0.50%) LTC Properties Inc 14,051 396,238 Medical Properties Trust Inc (a) 27,247 425,870 Senior Housing Properties Trust 46,369 1,204,667 --------------------- 2,026,775 --------------------- REITS - Mortgage (0.23%) New Century Financial Corp (a) 30,457 921,933 --------------------- REITS - Office Property (0.61%) Kilroy Realty Corp 21,955 1,906,572 Parkway Properties Inc/Md (a) 10,086 553,217 --------------------- 2,459,789 --------------------- REITS - Shopping Centers (0.37%) Acadia Realty Trust (a) 21,537 553,286 Inland Real Estate Corp 45,959 929,291 --------------------- 1,482,577 --------------------- REITS - Single Tenant (0.23%) National Retail Properties Inc 40,018 950,428 --------------------- REITS - Storage (0.20%) Sovran Self Storage Inc 13,645 818,700 --------------------- REITS - Warehouse & Industrial (0.22%) EastGroup Properties Inc 16,044 878,249 --------------------- Rental - Auto & Equipment (0.24%) Aaron Rents Inc 32,969 973,245 --------------------- Research & Development (0.29%) Kendle International Inc (b) 8,296 322,217 Parexel International Corp (b) 18,441 603,943 PharmaNet Development Group Inc (a)(b) 12,485 247,827 --------------------- 1,173,987 --------------------- Respiratory Products (0.52%) Respironics Inc (b) 49,477 2,107,720 --------------------- Retail - Apparel & Shoe (2.07%) Brown Shoe Co Inc 19,478 1,058,629 Cato Corp/The 21,366 482,231 Childrens Place Retail Stores Inc/The (a)(b) 15,815 857,331 Christopher & Banks Corp (a) 25,783 458,422 Dress Barn Inc (a)(b) 31,162 700,210 Finish Line 28,327 361,736 Retail - Apparel & Shoe Genesco Inc (a)(b) 15,237 600,185 HOT Topic Inc (a)(b) 29,960 311,884 JOS A Bank Clothiers Inc (a)(b) 12,212 378,083 Men's Wearhouse Inc (a) 35,856 1,539,657 Stage Stores Inc (a) 19,741 633,489 Stein Mart Inc (a) 18,309 247,355 Tween Brands Inc (a)(b) 21,670 740,897 --------------------- 8,370,109 --------------------- Retail - Auto Parts (0.14%) PEP Boys-Manny Moe & Jack (a) 36,871 564,495 --------------------- Retail - Automobile (0.37%) Group 1 Automotive Inc 16,330 865,490 Sonic Automotive Inc 20,379 638,882 --------------------- 1,504,372 --------------------- Retail - Bedding (0.16%) Select Comfort Corp (a)(b) 35,704 658,382 --------------------- Retail - Computer Equipment (0.16%) Insight Enterprises Inc (b) 32,771 666,234 --------------------- Retail - Convenience Store (0.22%) Casey's General Stores Inc 34,203 872,861 --------------------- Retail - Discount (0.17%) Fred's Inc 27,126 364,845 Tuesday Morning Corp (a) 20,206 336,632 --------------------- 701,477 --------------------- Retail - Drug Store (0.20%) Longs Drug Stores Corp 19,248 827,664 --------------------- Retail - Fabric Store (0.12%) Hancock Fabrics Inc /DE (a)(b) 12,974 51,896 Jo-Ann Stores Inc (a)(b) 16,550 418,384 --------------------- 470,280 --------------------- Retail - Gardening Products (0.29%) Tractor Supply Co (a)(b) 23,466 1,181,044 --------------------- Retail - Home Furnishings (0.10%) Cost Plus Inc (a)(b) 14,970 154,191 Haverty Furniture Cos Inc 15,338 234,825 --------------------- 389,016 --------------------- Retail - Jewelry (0.32%) Movado Group Inc (a) 13,781 395,514 Zale Corp (a)(b) 32,936 906,399 --------------------- 1,301,913 --------------------- Retail - Leisure Products (0.08%) MarineMax Inc (b) 12,699 306,808 --------------------- Retail - Music Store (0.22%) Guitar Center Inc (a)(b) 19,878 909,418 --------------------- Retail - Office Supplies (0.12%) School Specialty Inc (a)(b) 12,573 489,718 --------------------- Retail - Pawn Shops (0.32%) Cash America International Inc 20,071 857,232 First Cash Financial Services Inc (b) 18,598 436,681 --------------------- 1,293,913 --------------------- Retail - Petroleum Products (0.22%) World Fuel Services Corp 19,219 881,191 --------------------- Retail - Restaurants (2.66%) California Pizza Kitchen Inc (b) 12,968 462,309 CEC Entertainment Inc (b) 22,565 954,274 CKE Restaurants Inc 47,204 933,223 Ihop Corp 10,637 565,888 Jack in the Box Inc (b) 22,796 1,408,565 Landry's Restaurants Inc 11,495 344,275 O'Charleys Inc (a)(b) 15,826 336,144 Panera Bread Co (a)(b) 21,437 1,263,926 Papa John's International Inc (a)(b) 16,278 449,598 PF Chang's China Bistro Inc (a)(b) 18,058 715,277 Rare Hospitality International Inc (a)(b) 23,095 728,416 Red Robin Gourmet Burgers Inc (a)(b) 11,250 402,188 Sonic Corp (b) 47,166 1,047,557 Steak N Shake Co/The (a)(b) 19,118 337,242 Triarc Cos Inc (a) 42,190 824,815 --------------------- 10,773,697 --------------------- Retail - Sporting Goods (0.17%) Hibbett Sporting Goods Inc (b) 21,512 690,750 --------------------- Retirement & Aged Care (0.27%) Sunrise Senior Living Inc (a)(b) 30,365 1,085,852 --------------------- Rubber & Plastic Products (0.08%) Myers Industries Inc 18,301 315,143 --------------------- Savings & Loans - Thrifts (1.34%) Anchor Bancorp Wisconsin Inc 12,253 365,875 BankAtlantic Bancorp Inc 31,077 412,702 Bankunited Financial Corp (a) 21,619 596,468 Brookline Bancorp Inc 41,744 555,613 Dime Community Bancshares 18,606 249,879 Downey Financial Corp 13,217 945,544 FirstFed Financial Corp (a)(b) 11,261 776,446 Flagstar Bancorp Inc (a) 26,293 381,511 Franklin Bank Corp/Houston TX (a)(b) 15,971 303,449 MAF Bancorp Inc (a) 18,933 850,849 --------------------- 5,438,336 --------------------- Schools (0.09%) Universal Technical Institute Inc (a)(b) 15,660 370,359 --------------------- Schools - Day Care (0.17%) Bright Horizons Family Solutions Inc (b) 17,738 694,797 --------------------- Seismic Data Collection (0.16%) Compagnie Generale de Geophysique SA ADR (b) 1 38 Input/Output Inc (a)(b) 47,656 652,410 --------------------- 652,448 --------------------- Semiconductor Component - Integrated Circuits (0.23%) Exar Corp (b) 24,903 326,229 Semiconductor Component - Integrated Circuits Pericom Semiconductor Corp (b) 17,720 176,669 Standard Microsystems Corp (b) 15,017 418,974 --------------------- 921,872 --------------------- Semiconductor Equipment (1.61%) ATMI Inc (b) 23,667 791,424 Axcelis Technologies Inc (b) 68,665 442,203 Brooks Automation Inc (b) 51,079 711,020 Cabot Microelectronics Corp (a)(b) 16,240 490,286 Cohu Inc (a) 15,331 306,620 Kulicke & Soffa Industries Inc (a)(b) 38,679 358,941 MKS Instruments Inc (a)(b) 24,872 543,951 Photronics Inc (b) 28,279 471,128 Rudolph Technologies Inc (a)(b) 16,877 263,787 Ultratech Inc (a)(b) 15,720 190,841 Varian Semiconductor Equipment Associates Inc (b) 37,503 1,543,248 Veeco Instruments Inc (a)(b) 21,065 404,237 --------------------- 6,517,686 --------------------- Software Tools (0.13%) Altiris Inc (a)(b) 16,400 536,772 --------------------- Steel - Producers (1.07%) Carpenter Technology Corp 17,331 2,029,460 Chaparral Steel Co 31,383 1,609,320 Ryerson Inc (a) 17,798 558,323 Steel Technologies Inc 7,788 144,468 --------------------- 4,341,571 --------------------- Steel - Specialty (0.03%) Material Sciences Corp (b) 8,612 101,794 --------------------- Steel Pipe & Tube (0.16%) Valmont Industries Inc (a) 11,619 644,506 --------------------- Storage & Warehousing (0.16%) Mobile Mini Inc (a)(b) 24,180 642,946 --------------------- Telecommunication Equipment (0.33%) Applied Signal Technology Inc 8,062 117,786 Comtech Telecommunications Corp (a)(b) 15,646 563,256 Ditech Networks Inc (b) 22,087 158,364 Network Equipment Technologies Inc (b) 17,081 154,071 Symmetricom Inc (a)(b) 31,288 267,199 Tollgrade Communications Inc (b) 9,293 93,487 --------------------- 1,354,163 --------------------- Telecommunication Equipment - Fiber Optics (0.22%) C-COR Inc (a)(b) 32,691 447,540 Harmonic Inc (b) 50,624 458,147 --------------------- 905,687 --------------------- Telecommunication Services (0.15%) Commonwealth Telephone Enterprises Inc 14,305 604,243 --------------------- Telephone - Integrated (0.20%) CT Communications Inc (a) 13,575 331,637 General Communication Inc (b) 30,329 468,887 --------------------- 800,524 --------------------- Therapeutics (0.28%) MGI Pharma Inc (a)(b) 53,505 1,028,366 Therapeutics Theragenics Corp (b) 22,423 110,994 --------------------- 1,139,360 --------------------- Tobacco (0.11%) Alliance One International Inc (a)(b) 59,301 454,839 --------------------- Toys (0.09%) Jakks Pacific Inc (a)(b) 18,825 381,583 --------------------- Transport - Air Freight (0.20%) EGL Inc (b) 21,512 819,822 --------------------- Transport - Marine (0.31%) Kirby Corp (b) 35,884 1,274,241 --------------------- Transport - Rail (0.38%) Kansas City Southern (a)(b) 51,404 1,545,204 --------------------- Transport - Services (0.35%) Bristow Group Inc (a)(b) 15,924 594,761 HUB Group Inc (b) 26,946 804,608 --------------------- 1,399,369 --------------------- Transport - Truck (1.20%) Arkansas Best Corp 16,917 646,568 Forward Air Corp (a) 20,648 647,934 Heartland Express Inc 39,960 676,523 Knight Transportation Inc (a) 39,052 734,178 Landstar System Inc (a) 38,557 1,630,575 Old Dominion Freight Line (b) 18,955 526,570 --------------------- 4,862,348 --------------------- Veterinary Products (0.05%) PetMed Express Inc (a)(b) 16,413 194,002 --------------------- Vitamins & Nutrition Products (0.61%) Mannatech Inc (a) 10,738 173,204 NBTY Inc (b) 38,272 1,984,403 USANA Health Sciences Inc (a)(b) 6,147 326,283 --------------------- 2,483,890 --------------------- Water (0.11%) American States Water Co (a) 11,549 452,605 --------------------- Web Portals (0.15%) United Online Inc (a) 44,421 623,671 --------------------- Wire & Cable Products (0.31%) Belden CDT Inc (a) 29,448 1,273,626 --------------------- Wireless Equipment (0.19%) Novatel Wireless Inc (a)(b) 20,315 229,356 Viasat Inc (a)(b) 16,501 544,038 --------------------- 773,394 --------------------- X-Ray Equipment (0.49%) Hologic Inc (a)(b) 35,722 1,984,357 --------------------- TOTAL COMMON STOCKS $ 404,905,884 --------------------- Principal Amount Value - ----------------- --- --------------------- SHORT TERM INVESTMENTS (0.09%) Commercial Paper (0.09%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (b) 379,822 379,822 --------------------- TOTAL SHORT TERM INVESTMENTS $ 379,822 --------------------- MONEY MARKET FUNDS (27.77%) Money Center Banks (27.77%) BNY Institutional Cash Reserve Fund (c) 112,559,000 112,559,000 --------------------- TOTAL MONEY MARKET FUNDS $ 112,559,000 --------------------- Total Investments $ 517,844,706 Liabilities in Excess of Other Assets, Net - (27.77)% (112,557,570) --------------------- TOTAL NET ASSETS - 100.00% $ 405,287,136 ===================== --------------------- =====================
(a) Security or a portion of the security was on loan at the end of the period. (b) Non-Income Producing Security (c) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 82,123,544 Unrealized Depreciation (20,413,661) --------------------- Net Unrealized Appreciation (Depreciation) 61,709,883 Cost for federal income tax purposes 456,134,823 Portfolio Summary (unaudited) ------------------------------------------------- --------------------- Sector Percent ------------------------------------------------- --------------------- Financial 43.62% Industrial 18.85% Consumer, Non-cyclical 18.20% Consumer, Cyclical 17.18% Technology 9.17% Energy 6.12% Utilities 4.91% Basic Materials 4.28% Communications 3.86% Funds 1.49% Mortgage Securities 0.09% Liabilities in Excess of Other Assets, Net (-27.77%) --------------------- TOTAL NET ASSETS 100.00% =====================
Schedule of Investments January 31, 2007 (unaudited) SmallCap Value Fund Shares Held Value ----------------- --- --------------------- COMMON STOCKS (92.29%) Advertising Services (0.69%) inVentiv Health Inc (a) 106,660 $ 3,742,699 --------------------- Aerospace & Defense (0.68%) Esterline Technologies Corp (a) 92,620 3,702,021 --------------------- Aerospace & Defense Equipment (1.40%) BE Aerospace Inc (a) 139,630 4,158,181 Moog Inc (a) 88,597 3,454,397 --------------------- 7,612,578 --------------------- Airlines (0.48%) Alaska Air Group Inc (a) 61,240 2,624,134 --------------------- Apparel Manufacturers (0.74%) Phillips-Van Heusen 72,820 4,016,023 --------------------- Auto Repair Centers (0.62%) Monro Muffler Inc 88,786 3,350,784 --------------------- Auto/Truck Parts & Equipment - Original (0.73%) Accuride Corp (a) 67,600 758,472 Modine Manufacturing Co 122,470 3,203,815 --------------------- 3,962,287 --------------------- Auto/Truck Parts & Equipment - Replacement (0.57%) Aftermarket Technology Corp (a) 143,897 3,102,419 --------------------- Building - Heavy Construction (0.29%) Granite Construction Inc 29,510 1,580,556 --------------------- Building Products - Cement & Aggregate (0.45%) Texas Industries Inc 33,312 2,445,767 --------------------- Building Products - Light Fixtures (0.67%) Genlyte Group Inc (a) 48,380 3,665,753 --------------------- Chemicals - Diversified (0.59%) FMC Corp 41,230 3,209,755 --------------------- Chemicals - Specialty (1.95%) Arch Chemicals Inc 117,759 3,972,011 Cytec Industries Inc 46,810 2,725,278 HB Fuller Co 151,150 3,910,251 --------------------- 10,607,540 --------------------- Circuit Boards (0.30%) Park Electrochemical Corp 60,119 1,604,576 --------------------- Commercial Banks (12.09%) Alabama National Bancorporation 56,743 3,990,168 Bancfirst Corp 82,672 4,023,646 Capital Corp of the West 78,991 2,440,822 Commercial Banks City Holding Co 73,356 2,941,576 Columbia Banking System Inc 186,241 6,352,681 Community Bancorp/NV (a) 54,545 1,825,621 Community Trust Bancorp Inc 131,051 5,124,094 First State Bancorporation/NM 162,504 3,757,092 FirstMerit Corp 2,091 47,089 FNB Corp/PA 9,978 175,513 Greene County Bancshares Inc 86,801 3,186,465 Hanmi Financial Corp 201,061 4,117,729 IBERIABANK Corp 27,172 1,566,466 Placer Sierra Bancshares 30,650 842,569 Southwest Bancorp Inc/Stillwater OK 57,257 1,525,326 Sterling Bancshares Inc/TX 346,770 4,178,579 Sterling Financial Corp/WA 157,398 5,220,892 Taylor Capital Group Inc 118,725 4,507,988 Trico Bancshares 142,790 3,849,618 Trustco Bank Corp NY 46,122 485,203 United Community Banks Inc/GA 83,818 2,737,496 USB Holding Co Inc 127,300 2,934,265 --------------------- 65,830,898 --------------------- Commercial Services (0.54%) ICT Group Inc (a) 102,650 2,927,578 --------------------- Computers - Integrated Systems (0.46%) Radisys Corp (a) 149,863 2,519,197 --------------------- Computers - Memory Devices (0.67%) Imation Corp 83,420 3,629,604 --------------------- Consumer Products - Miscellaneous (0.56%) Central Garden and Pet Co (a) 67,870 3,039,897 --------------------- Decision Support Software (0.54%) SPSS Inc (a) 95,259 2,954,934 --------------------- Distribution & Wholesale (1.16%) Central European Distribution Corp (a) 140,530 4,144,230 Watsco Inc 42,740 2,180,595 --------------------- 6,324,825 --------------------- Diversified Manufacturing Operations (0.88%) Actuant Corp 53,970 2,687,166 AO Smith Corp 54,770 2,100,430 --------------------- 4,787,596 --------------------- Electric - Integrated (2.71%) Idacorp Inc 139,560 5,156,742 UIL Holdings Corp 145,290 5,638,705 WPS Resources Corp 74,390 3,946,389 --------------------- 14,741,836 --------------------- Electronic Components - Miscellaneous (1.21%) Bel Fuse Inc 71,536 2,323,490 Benchmark Electronics Inc (a) 102,965 2,332,157 Plexus Corp (a) 114,530 1,924,104 --------------------- 6,579,751 --------------------- Electronic Measurement Instruments (0.68%) LeCroy Corp (a) 33,262 311,000 Electronic Measurement Instruments Tektronix Inc 120,640 3,410,493 --------------------- 3,721,493 --------------------- Enterprise Software & Services (1.57%) Lawson Software Inc (a) 450,786 3,385,403 Mantech International Corp (a) 93,633 3,194,758 SYNNEX Corp (a) 101,320 1,945,344 --------------------- 8,525,505 --------------------- E-Services - Consulting (0.51%) WebSideStory Inc (a) 194,650 2,785,442 --------------------- Finance - Credit Card (0.78%) Advanta Corp - B Shares 91,498 4,246,422 --------------------- Finance - Investment Banker & Broker (0.05%) KBW Inc (a) 8,704 253,722 --------------------- Finance - Leasing Company (0.12%) Marlin Business Services Corp (a) 26,665 624,761 --------------------- Food - Miscellaneous/Diversified (1.44%) B&G Foods Inc 87,011 1,848,984 Chiquita Brands International Inc 133,220 2,114,202 Ralcorp Holdings Inc (a) 70,160 3,882,654 --------------------- 7,845,840 --------------------- Footwear & Related Apparel (0.39%) Steven Madden Ltd 71,985 2,139,394 --------------------- Gambling (Non-Hotel) (0.47%) Pinnacle Entertainment Inc (a) 74,030 2,556,256 --------------------- Gas - Distribution (1.78%) Atmos Energy Corp 168,020 5,248,945 Southwest Gas Corp 113,260 4,445,455 --------------------- 9,694,400 --------------------- Golf (0.51%) Callaway Golf Co 169,590 2,801,627 --------------------- Home Furnishings (0.79%) Furniture Brands International Inc 131,579 2,193,422 Sealy Corp 139,740 2,097,497 --------------------- 4,290,919 --------------------- Human Resources (1.83%) Cross Country Healthcare Inc (a) 84,828 1,913,719 Korn/Ferry International (a) 177,750 4,244,670 MPS Group Inc (a) 255,066 3,820,889 --------------------- 9,979,278 --------------------- Instruments - Scientific (0.48%) Varian Inc (a) 48,910 2,617,174 --------------------- Internet Infrastructure Software (0.25%) TIBCO Software Inc (a) 148,020 1,373,626 --------------------- Leisure & Recreation Products (1.13%) K2 Inc (a) 180,180 2,176,574 Leisure & Recreation Products WMS Industries Inc (a) 100,800 3,997,728 --------------------- 6,174,302 --------------------- Machinery - Electrical (0.81%) Regal-Beloit Corp 87,710 4,413,567 --------------------- Machinery - General Industry (0.68%) Gardner Denver Inc (a) 96,584 3,723,313 --------------------- Medical - Biomedical/Gene (0.46%) PDL BioPharma Inc (a) 121,100 2,483,761 --------------------- Medical - Drugs (0.49%) Viropharma Inc (a) 158,156 2,693,397 --------------------- Medical Instruments (0.30%) Symmetry Medical Inc (a) 119,800 1,650,844 --------------------- Medical Products (1.53%) Cooper Cos Inc/The 47,700 2,275,290 Haemonetics Corp/Mass (a) 72,241 3,484,906 Syneron Medical Ltd (a) 103,860 2,554,956 --------------------- 8,315,152 --------------------- Miscellaneous Manufacturers (0.29%) Arctic Glacier Income Fund (a) 148,351 1,594,773 --------------------- Multi-Line Insurance (0.76%) United Fire & Casualty Co 122,163 4,135,218 --------------------- Multimedia (0.57%) Journal Communications Inc 231,345 3,116,217 --------------------- Office Supplies & Forms (0.59%) Ennis Inc 127,340 3,207,695 --------------------- Oil - Field Services (1.67%) Global Industries Ltd (a) 184,359 2,483,316 Hornbeck Offshore Services Inc (a) 84,620 2,328,742 Oil States International Inc (a) 94,499 2,723,461 W-H Energy Services Inc (a) 34,600 1,570,148 --------------------- 9,105,667 --------------------- Oil & Gas Drilling (0.25%) Atwood Oceanics Inc (a) 28,310 1,369,355 --------------------- Oil Company - Exploration & Production (2.60%) Berry Petroleum Co 97,047 3,012,339 Penn Virginia Corp 33,870 2,481,993 St Mary Land & Exploration Co 83,170 2,993,288 W&T Offshore Inc 76,490 2,349,773 Whiting Petroleum Corp (a) 72,556 3,306,377 --------------------- 14,143,770 --------------------- Paper & Related Products (1.67%) Glatfelter 207,530 3,359,911 Rock-Tenn Co 104,160 3,408,115 Schweitzer-Mauduit International Inc 95,500 2,319,695 --------------------- 9,087,721 --------------------- Physician Practice Management (0.45%) Pediatrix Medical Group Inc (a) 46,258 2,430,395 --------------------- Printing - Commercial (0.54%) Consolidated Graphics Inc (a) 47,579 2,949,898 --------------------- Private Corrections (0.82%) Geo Group Inc/The (a) 101,860 4,463,505 --------------------- Property & Casualty Insurance (4.75%) American Physicians Capital Inc (a) 129,895 5,026,936 Argonaut Group Inc (a) 93,321 3,129,986 CRM Holdings Ltd (a) 99,103 851,295 Darwin Professional Underwriters Inc (a) 156,485 3,599,155 EMC Insurance Group Inc 23,920 804,430 Navigators Group Inc (a) 1,743 83,298 Selective Insurance Group 43,572 2,241,779 State Auto Financial Corp 41,348 1,330,579 United America Indemnity Ltd (a) 161,390 3,892,727 Zenith National Insurance Corp 106,731 4,877,607 --------------------- 25,837,792 --------------------- Publishing - Periodicals (0.44%) Playboy Enterprises Inc (a) 216,271 2,387,632 --------------------- Recreational Centers (0.60%) Life Time Fitness Inc (a) 60,293 3,267,881 --------------------- REITS - Apartments (0.51%) Post Properties Inc 57,760 2,801,360 --------------------- REITS - Diversified (1.22%) Entertainment Properties Trust 102,023 6,617,212 --------------------- REITS - Hotels (1.55%) Equity Inns Inc 887 14,636 LaSalle Hotel Properties 73,350 3,492,193 Winston Hotels Inc 355,610 4,953,647 --------------------- 8,460,476 --------------------- REITS - Mortgage (3.57%) Arbor Realty Trust Inc 205,740 6,565,163 Deerfield Triarc Capital Corp 374,938 6,261,465 Gramercy Capital Corp/New York 183,520 6,630,578 --------------------- 19,457,206 --------------------- REITS - Office Property (0.43%) Alexandria Real Estate Equities Inc 21,570 2,337,325 --------------------- REITS - Shopping Centers (2.16%) Inland Real Estate Corp 295,271 5,970,379 Urstadt Biddle Properties Inc 297,690 5,784,117 --------------------- 11,754,496 --------------------- REITS - Single Tenant (0.81%) Agree Realty Corp 122,830 4,415,738 --------------------- Rental - Auto & Equipment (0.62%) Dollar Thrifty Automotive Group (a) 72,050 3,395,717 --------------------- Resorts & Theme Parks (0.50%) Vail Resorts Inc (a) 58,790 2,719,037 --------------------- Retail - Apparel & Shoe (1.95%) Charlotte Russe Holding Inc (a) 101,750 3,108,463 Childrens Place Retail Stores Inc/The (a) 37,340 2,024,201 Stage Stores Inc 104,165 3,342,655 United Retail Group Inc (a) 162,577 2,126,507 --------------------- 10,601,826 --------------------- Retail - Automobile (0.46%) Sonic Automotive Inc 80,690 2,529,632 --------------------- Retail - Convenience Store (0.61%) Pantry Inc/The (a) 68,472 3,342,118 --------------------- Retail - Home Furnishings (0.40%) Haverty Furniture Cos Inc 141,500 2,166,365 --------------------- Retail - Petroleum Products (0.62%) World Fuel Services Corp 73,400 3,365,390 --------------------- Retail - Restaurants (1.56%) CKE Restaurants Inc 121,580 2,403,637 Morton's Restaurant Group Inc (a) 177,328 3,317,807 Rare Hospitality International Inc (a) 88,114 2,779,115 --------------------- 8,500,559 --------------------- Satellite Telecommunications (0.81%) Asia Satellite Telecommunications Holdi ADR 248,881 4,417,638 --------------------- Savings & Loans - Thrifts (1.72%) Bankunited Financial Corp 49,500 1,365,705 Dime Community Bancshares 7,800 104,754 PFF Bancorp Inc 122,800 4,159,236 WSFS Financial Corp 53,779 3,731,725 --------------------- 9,361,420 --------------------- Semiconductor Component - Integrated Circuits (1.04%) Cirrus Logic Inc (a) 361,490 2,682,256 Emulex Corp (a) 167,030 2,964,782 --------------------- 5,647,038 --------------------- Semiconductor Equipment (0.91%) Entegris Inc (a) 320,259 3,436,379 Veeco Instruments Inc (a) 78,110 1,498,931 --------------------- 4,935,310 --------------------- Software Tools (0.22%) Altiris Inc (a) 37,110 1,214,610 --------------------- Steel - Producers (1.56%) Carpenter Technology Corp 24,070 2,818,597 Chaparral Steel Co 75,249 3,858,769 Claymont Steel Holdings Inc (a) 96,858 1,806,401 --------------------- 8,483,767 --------------------- Telecommunication Equipment (2.13%) Andrew Corp (a) 288,629 3,065,240 Arris Group Inc (a) 246,050 3,498,831 CommScope Inc (a) 83,720 2,704,993 Telecommunication Equipment Comtech Telecommunications Corp (a) 65,290 2,350,440 --------------------- 11,619,504 --------------------- Telecommunication Services (1.31%) Iowa Telecommunications Services Inc 168,161 3,380,036 USA Mobility Inc 184,566 3,746,690 --------------------- 7,126,726 --------------------- Transport - Marine (0.73%) D/S Torm A/S ADR 62,700 4,000,260 --------------------- Transport - Services (0.51%) HUB Group Inc (a) 92,350 2,757,571 --------------------- Transport - Truck (0.35%) Old Dominion Freight Line (a) 68,390 1,899,874 --------------------- TOTAL COMMON STOCKS $ 502,498,897 --------------------- Principal Amount Value ----------------- --- --------------------- SHORT TERM INVESTMENTS (2.79%) Commercial Paper (2.79%) Investment in Joint Trading Account; General Electric Capital 5.26%, 2/ 1/2007 15,214,671 15,214,671 --------------------- TOTAL SHORT TERM INVESTMENTS $ 15,214,671 --------------------- MONEY MARKET FUNDS (14.71%) Money Center Banks (14.71%) BNY Institutional Cash Reserve Fund (b) 80,063,000 80,063,000 --------------------- TOTAL MONEY MARKET FUNDS $ 80,063,000 --------------------- Total Investments $ 597,776,568 Liabilities in Excess of Other Assets, Net - (9.79)% (53,302,239) --------------------- TOTAL NET ASSETS - 100.00% $ 544,474,329 ===================== --------------------- =====================
(a) Non-Income Producing Security (b) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 44,302,362 Unrealized Depreciation (9,541,281) --------------------- Net Unrealized Appreciation (Depreciation) 34,761,081 Cost for federal income tax purposes 563,015,487 Portfolio Summary (unaudited) --------------------------------------------------- --------------------- Sector Percent --------------------------------------------------- --------------------- Financial 48.01% Consumer, Cyclical 13.68% Consumer, Non-cyclical 10.79% Industrial 10.41% Communications 6.72% Basic Materials 5.77% Technology 5.40% Energy 4.52% Utilities 4.49% Liabilities in Excess of Other Assets, Net (-9.79%) --------------------- TOTAL NET ASSETS 100.00% =====================
Schedule of Investments January 31, 2007 (unaudited) Tax-Exempt Bond Fund I Principal Amount Value ----------------- --- --------------------- TAX-EXEMPT BONDS (106.59%) Alabama (1.54%) Birmingham Baptist Medical Centers Special Care Facilities Financing Authority 5.00%, 11/15/2030 $ 1,000,000 $ 1,016,280 Montgomery County Public Facilities Authority/AL MBIA 5.00%, 3/ 1/2031 2,000,000 2,102,740 University of Alabama/AL 5.00%, 9/ 1/2036 (a) 2,000,000 2,062,920 --------------------- 5,181,940 --------------------- Alaska (3.10%) City of Anchorage AK 6.38%, 1/ 1/2020 2,000,000 2,153,840 City of Anchorage AK MBIA 6.50%, 12/ 1/2013 1,235,000 1,424,313 Northern TOB Securitization Corp/AK 4.63%, 6/ 1/2023 1,000,000 989,320 5.00%, 6/ 1/2046 1,000,000 1,004,200 State of Alaska AMBAC 5.25%, 10/ 1/2027 4,500,000 4,831,965 --------------------- 10,403,638 --------------------- Arizona (2.01%) Arizona State University/AZ AMBAC AMBAC 5.25%, 9/ 1/2024 1,500,000 1,601,325 Arizona Tourism & Sports Authority MBIA 5.38%, 7/ 1/2019 2,000,000 2,173,060 Maricopa County AZ 5.00%, 4/ 1/2035 1,000,000 1,016,700 Pima County Industrial Development Authority Education Revenue 5.75%, 7/ 1/2036 100,000 100,427 Pima County Industrial Development Authority Education Revenue Choice Education and Development Corp 6.25%, 6/ 1/2026 160,000 164,653 Pima County Industrial Development Authority Education Revenue Paragon Management Inc 6.00%, 6/ 1/2036 160,000 162,958 University Medical Center Corp/AZ 5.00%, 7/ 1/2035 1,500,000 1,525,710 --------------------- 6,744,833 --------------------- Arkansas (0.32%) University of Arkansas FGIC 5.00%, 3/ 1/2021 1,000,000 1,062,970 --------------------- California (11.77%) California County TOB Securitization Agency 5.13%, 6/ 1/2038 1,000,000 1,015,860 California Health Facilities Financing Authority/CA 5.00%, 11/15/2034 (a) 2,000,000 2,063,000 5.00%, 4/ 1/2037 1,000,000 1,032,600 California State Department of Water Resources MBIA-IBC 5.25%, 5/ 1/2020 (a) 6,000,000 6,492,180 California State Public Works Board 5.00%, 4/ 1/2030 1,175,000 1,227,640 California Statewide Communities Development Authority 5.00%, 3/ 1/2035 1,000,000 1,026,030 California California Statewide Communities Development Authority Kaiser Permanente 3.85%, 11/ 1/2029 1,000,000 986,390 Clovis Public Financing Authority MBIA 5.25%, 8/ 1/2030 2,000,000 2,156,220 East Side Union High School District - Santa Clara County/CA MBIA 5.10%, 2/ 1/2019 1,000,000 1,101,020 Foothill Eastern Transportation Corridor Agency/CA MBIA 0.00%, 1/15/2018 (b) 2,000,000 1,152,960 Fremont Unified School District/Alameda County CA FGIC 5.00%, 8/ 1/2025 1,000,000 1,050,320 Golden State Tobacco Securitization Corp/CA 5.00%, 6/ 1/2045 1,000,000 1,032,260 Golden State Tobacco Securitization Corp/CA FGIC 5.50%, 6/ 1/2043 500,000 546,920 Independent Cities Lease Finance Authority Mobile Home Park Revenue Millenium Housing Corp 5.85%, 5/15/2041 100,000 102,539 Jurupa Unified School District FGIC 5.13%, 8/ 1/2022 2,700,000 2,841,831 Los Angeles County Public Works Financing Authority MBIA 5.00%, 12/ 1/2027 1,000,000 1,054,700 Los Angeles Regional Airports Improvement Corporation Lease Revenue 7.50%, 12/ 1/2024 100,000 115,214 Placentia-Yorba Linda Unified School District/CA FGIC 5.00%, 10/ 1/2030 2,000,000 2,100,280 San Diego Redevelopment Agency/CA XL Capital Ltd XLCA 5.00%, 9/ 1/2023 1,775,000 1,866,341 San Joaquin Hills Transportation Corridor Agency/CA MBIA 0.00%, 1/15/2034 (b) 7,000,000 2,081,660 State of California 5.25%, 11/ 1/2025 2,000,000 2,131,860 5.00%, 3/ 1/2027 2,000,000 2,101,220 5.50%, 4/ 1/2028 2,000,000 2,213,520 Tobacco Securitization Authority of Northern California/CA 5.38%, 6/ 1/2038 1,000,000 1,038,350 Tobacco Securitization Authority of Southern California/CA 5.00%, 6/ 1/2037 1,000,000 1,007,870 --------------------- 39,538,785 --------------------- Colorado (2.57%) Colorado Health Facilities Authority 5.00%, 12/ 1/2035 1,250,000 1,263,262 Colorado Housing & Finance Authority/CO 4.625%, 11/ 1/2036 (a) 4,000,000 3,895,640 Fort Collins CO AMBAC 5.38%, 6/ 1/2023 2,275,000 2,451,017 Park Creek Metropolitan District/CO 5.50%, 12/ 1/2030 500,000 530,435 Salida Hospital District 5.25%, 10/ 1/2036 500,000 504,870 --------------------- 8,645,224 --------------------- Connecticut (0.49%) State of Connecticut ACA 6.60%, 7/ 1/2024 1,500,000 1,631,910 --------------------- District of Columbia (0.17%) District of Columbia Water & Sewer Authority FSA 5.50%, 10/ 1/2017 500,000 562,955 --------------------- Florida (6.20%) Amelia Walk Community Development District 5.50%, 5/ 1/2037 100,000 101,512 Bay Laurel Center Community Development 5.45%, 5/ 1/2037 500,000 505,020 County of Miami-Dade FL FGIC 3.63%, 10/ 5/2022 1,000,000 1,000,000 County of Orange FL AMBAC 5.50%, 10/ 1/2032 3,000,000 3,238,500 Escambia County Health Facilities Authority AMBAC 5.95%, 7/ 1/2020 110,000 113,719 Escambia County Utilities Authority FGIC 5.25%, 1/ 1/2029 650,000 674,271 Florida Housing Finance Agency AMBAC 6.50%, 7/ 1/2036 900,000 917,820 Florida State Board of Education FGIC 5.25%, 7/ 1/2017 800,000 841,216 Highlands County Health Facilities Authority 5.00%, 11/15/2031 1,180,000 1,210,291 5.00%, 11/15/2035 1,000,000 1,024,950 Hillsborough County Port District MBIA 5.38%, 6/ 1/2027 1,000,000 1,058,120 Orange County Housing Finance Authority 7.00%, 10/ 1/2025 500,000 534,915 Orange County School Board MBIA 5.38%, 8/ 1/2022 310,000 315,220 Orlando Utilities Commission 6.00%, 10/ 1/2010 5,000,000 5,370,250 Osceola County School Board AMBAC 5.13%, 6/ 1/2022 1,300,000 1,372,111 South Broward Hospital District/FL MBIA 5.00%, 5/ 1/2021 2,000,000 2,127,780 Verandah East Community Development District 5.40%, 5/ 1/2037 100,000 101,820 Wentworth Estates Community Development District 5.63%, 5/ 1/2037 160,000 164,274 West Villages Improvement District 5.50%, 5/ 1/2037 160,000 160,827 --------------------- 20,832,616 --------------------- Georgia (1.88%) Monroe County Development Authority/GA MBIA 6.70%, 1/ 1/2009 2,500,000 2,631,750 6.75%, 1/ 1/2010 3,410,000 3,681,197 --------------------- 6,312,947 --------------------- Hawaii (0.65%) City & County of Honolulu HI 6.00%, 1/ 1/2012 2,000,000 2,192,953 --------------------- Idaho (1.48%) Idaho Health Facilities Authority/ID 6.65%, 2/15/2021 2,000,000 2,530,880 Idaho Health Facilities Authority/ID Radian Group 5.25%, 9/ 1/2025 2,000,000 2,114,520 Idaho Housing & Finance Association/ID 5.90%, 1/ 1/2015 320,000 321,126 --------------------- 4,966,526 --------------------- Illinois (10.54%) Chicago Board of Education/IL MBIA 5.50%, 12/ 1/2021 2,270,000 2,530,155 6.00%, 12/ 1/2021 1,540,000 1,743,065 Chicago O'Hare International Airport/IL AMBAC 5.50%, 1/ 1/2017 965,000 1,027,754 Chicago O'Hare International Airport/IL FGIC 5.25%, 1/ 1/2023 (a) 2,000,000 2,157,860 Chicago O'Hare International Airport/IL FSA 5.75%, 1/ 1/2020 (a) 10,000,000 10,896,600 Chicago O'Hare International Airport/IL MBIA 5.25%, 1/ 1/2025 (a) 2,250,000 2,422,395 City of Chicago IL 7.46%, 2/15/2026 250,000 266,653 City of Chicago IL GNMA/FNMA 6.30%, 9/ 1/2029 720,000 747,936 City of Yorkville IL 6.00%, 3/ 1/2036 660,000 685,410 Gilberts Special Service Area No 19 5.38%, 3/ 1/2016 500,000 492,260 Illinois Finance Authority 6.00%, 5/15/2025 500,000 530,260 5.00%, 8/15/2026 160,000 160,478 5.10%, 8/15/2031 505,000 511,459 Illinois Finance Authority Multi-Family Revenue Housing Plum Creek Rolling Meadows 6.50%, 12/ 1/2037 160,000 161,926 Illinois Health Facilities Authority 5.00%, 8/15/2024 2,000,000 2,080,840 Illinois Health Facilities Authority Advocate Health Care 5.25%, 8/15/2008 320,000 330,471 Illinois Health Facilities Authority Lake Forest Hospital 6.00%, 7/ 1/2017 1,500,000 1,624,245 Illinois Health Facilities Authority South Surburban Hospital 7.00%, 2/15/2009 145,000 149,498 7.00%, 2/15/2018 720,000 847,591 Metropolitan Pier & Exposition Authority/IL FGIC 0.00%, 6/15/2009 (b) 5,055,000 4,621,028 Pingree Grove Special Service Area No 7 Cambridge Lakes Project 6.00%, 3/ 1/2036 160,000 166,160 Village of Bolingbrook IL 0.00%, 1/ 1/2024 (b) 500,000 491,555 Village of Pingree Grove IL 5.25%, 3/ 1/2015 500,000 513,560 Volo Village Special Service Area No 3 6.00%, 3/ 1/2036 250,000 259,625 --------------------- 35,418,784 --------------------- Indiana (3.28%) County of St Joseph IN 6.00%, 5/15/2026 230,000 244,269 County of St Joseph IN Holy Cross Village 6.00%, 5/15/2038 100,000 105,524 Delaware County Hospital Authority/IN Cardinal Health System 5.25%, 8/ 1/2036 160,000 165,688 Hendricks County Building Facilities Corp 5.50%, 7/15/2020 2,500,000 2,729,550 Indiana Housing Finance Authority GNMA/FNMA 3.60%, 1/ 1/2032 680,000 677,926 Indiana Municipal Power Agency/IN MBIA 6.13%, 1/ 1/2013 6,000,000 6,430,380 Indiana Noblesville Redevelopment Authority 5.00%, 8/ 1/2021 655,000 685,766 --------------------- 11,039,103 --------------------- Iowa (0.34%) Iowa Finance Authority 5.50%, 7/ 1/2025 100,000 104,555 Tobacco Settlement Authority of Iowa/IA 5.50%, 6/ 1/2042 1,000,000 1,046,140 --------------------- 1,150,695 --------------------- Kansas (2.71%) City of Lawrence KS 5.13%, 7/ 1/2026 1,000,000 1,055,370 City of Topeka KS XL Capital Ltd XLCA 5.25%, 8/ 1/2035 5,490,000 5,928,871 Sedgwick & Shawnee Counties KS GNMA/FNMA 5.65%, 6/ 1/2037 1,955,000 2,127,724 --------------------- 9,111,965 --------------------- Kentucky (1.46%) Adair County School District Finance Corp School Building Revenue 5.10%, 9/ 1/2020 2,670,000 2,796,051 Louisville & Jefferson County Metropolitan Government 5.25%, 10/ 1/2036 (a) 2,000,000 2,097,154 --------------------- 4,893,205 --------------------- Louisiana (1.75%) Lafayette LA MBIA 5.25%, 11/ 1/2023 2,680,000 2,884,538 Louisiana Public Facilities Authority 0.00%, 12/ 1/2019 (b) 1,500,000 866,730 Louisiana State Citizens Property Insurance Corp AMBAC 5.00%, 6/ 1/2022 2,000,000 2,119,200 --------------------- 5,870,468 --------------------- Maryland (1.86%) City of Baltimore MD 6.50%, 10/ 1/2011 2,000,000 2,083,840 County of Prince Georges MD 5.20%, 7/ 1/2034 500,000 508,155 Maryland Health & Higher Educational Facilities Authority 5.25%, 1/ 1/2027 250,000 253,268 Maryland Health & Higher Educational Facilities Authority General German Aged PPLS 5.40%, 1/ 1/2037 600,000 620,010 Maryland Health & Higher Educational Facilities Authority MBIA 4.75%, 7/ 1/2036 1,500,000 1,531,935 Maryland State Economic Development Corp 5.63%, 6/ 1/2035 1,150,000 1,268,450 --------------------- 6,265,658 --------------------- Massachusetts (1.61%) Massachusetts Bay Transportation Authority 5.25%, 7/ 1/2028 2,000,000 2,294,640 Massachusetts Development Finance Agency 6.38%, 7/ 1/2029 900,000 919,854 Massachusetts Health & Educational Faciities Authority 6.00%, 7/ 1/2031 1,000,000 1,079,460 Massachusetts Health & Educational Facilities Authority 5.00%, 7/ 1/2033 1,100,000 1,112,001 --------------------- 5,405,955 --------------------- Michigan (3.24%) Chippewa County Hospital Finance Authority 5.63%, 11/ 1/2014 130,000 130,506 Kent Hospital Finance Authority/MI 5.25%, 7/ 1/2030 1,000,000 1,032,210 Michigan State Hospital Finance Authority/MI Trinity Health 6.00%, 12/ 1/2013 1,275,000 1,374,246 Michigan State Trunk Line/MI FSA 5.25%, 10/ 1/2021 1,000,000 1,065,370 Michigan Strategic Fund Detroit Edison Co 5.45%, 9/ 1/2029 2,000,000 2,092,480 Michigan Strategic Fund XLCA 5.45%, 12/15/2032 1,000,000 1,059,120 Saginaw Hospital Finance Authority/MI Covenant Medical Center 6.50%, 7/ 1/2030 2,050,000 2,215,640 Summit Academy North Michigan Public School Academy Revenue 5.00%, 11/ 1/2015 160,000 159,315 Walled Lake Consolidated School District/MI MBIA 5.25%, 5/ 1/2022 1,625,000 1,768,699 --------------------- 10,897,586 --------------------- Minnesota (1.23%) Aitkin MN Aitkin Community Hospital 5.60%, 2/ 1/2032 160,000 164,242 City of Minneapolis MN 5.35%, 2/ 1/2030 150,000 150,259 City of Pine City MN Lakes International Language Academy 6.25%, 5/ 1/2035 100,000 101,319 Inver Grove Heights MN 5.50%, 10/ 1/2033 500,000 506,005 Minnesota State Municipal Power Agency 5.25%, 10/ 1/2021 1,000,000 1,067,320 St Paul Housing & Redevelopment Authoriy/MN 6.00%, 11/15/2030 1,000,000 1,095,650 5.25%, 5/15/2036 1,000,000 1,043,480 --------------------- 4,128,275 --------------------- Mississippi (0.36%) Biloxi Housing Authority/MS Beauvoir Apartments LP 6.25%, 9/ 1/2031 150,000 158,421 State of Mississippi FSA 5.75%, 12/ 1/2013 480,000 505,536 5.75%, 12/ 1/2014 505,000 531,720 --------------------- 1,195,677 --------------------- Missouri (4.14%) Cape Girardeau County Building Corp/MO MBIA 5.25%, 3/ 1/2026 1,000,000 1,081,720 Cape Girardeau County Industrial Development Authority/MO 5.63%, 6/ 1/2027 1,000,000 1,039,770 Carthage MO 6.00%, 4/ 1/2038 750,000 762,878 Carthage MO Mccune-Brooks Hospital 5.88%, 4/ 1/2030 160,000 162,877 City of Fenton MO 7.00%, 10/ 1/2021 575,000 655,937 City of Kansas City MO 5.40%, 6/ 1/2024 120,000 122,281 City of Springfield MO FGIC 4.50%, 8/ 1/2036 1,000,000 990,320 Missouri Missouri Development Finance Board/MO 3.73%, 12/ 1/2031 300,000 300,000 Missouri Housing Development Commission GNMA/FNMA 5.05%, 9/ 1/2024 665,000 679,563 Missouri Joint Municipal Electric Utility Commission 5.00%, 1/ 1/2024 1,500,000 1,594,170 Missouri State Health & Educational Facilities Authority/MO 5.00%, 11/ 1/2018 1,000,000 1,044,130 3.66%, 6/ 1/2033 3,000,000 3,000,000 Missouri State Health & Educational Facilities Authority/MO BJC Health 5.00%, 5/15/2020 1,200,000 1,262,244 University of Missouri University Revenues 3.63%, 11/ 1/2031 1,200,000 1,200,000 --------------------- 13,895,890 --------------------- Nebraska (0.64%) Omaha Public Power District 6.15%, 2/ 1/2012 2,000,000 2,148,200 --------------------- Nevada (0.67%) County of Clark NV FGIC 5.00%, 7/ 1/2036 1,000,000 1,039,510 County of Clark NV Nevada Power Co 5.90%, 11/ 1/2032 160,000 160,062 Reno NV AMBAC 5.13%, 6/ 1/2037 1,000,000 1,061,880 --------------------- 2,261,452 --------------------- New Hampshire (0.64%) New Hampshire Health & Education Facilities Authority FSA 5.50%, 8/ 1/2027 2,000,000 2,138,660 --------------------- New Jersey (6.97%) Bergen County Improvement Authority 5.00%, 4/ 1/2032 2,000,000 2,106,700 New Jersey Economic Development Authority 5.63%, 6/15/2019 500,000 522,525 6.25%, 9/15/2029 100,000 104,246 5.75%, 4/ 1/2031 (c) 1,000,000 1,116,350 5.50%, 6/15/2031 1,000,000 1,052,670 New Jersey Economic Development Authority State of New Jersey 5.25%, 3/ 1/2024 2,000,000 2,148,280 New Jersey Economic Development Authority United Methodist Homes NJ 5.13%, 7/ 1/2025 160,000 156,725 New Jersey Economic Development Authority FGIC 5.00%, 6/15/2011 525,000 549,276 New Jersey State Educational Facilities Authority AMBAC 5.25%, 9/ 1/2020 1,340,000 1,438,972 New Jersey State Turnpike Authority AMBAC 5.00%, 1/ 1/2035 2,000,000 2,047,280 New Jersey State Turnpike Authority FGIC 3.58%, 1/ 1/2018 (d) 2,000,000 2,000,000 New Jersey Transportation Trust Fund Authority State of New Jersey 5.25%, 12/15/2020 2,000,000 2,216,760 Tobacco Settlement Financing Authority Corp/NJ 6.13%, 6/ 1/2024 2,845,000 3,041,675 5.00%, 6/ 1/2041 5,000,000 4,925,400 --------------------- 23,426,859 --------------------- New York (7.28%) City of New York NY 5.75%, 3/15/2013 345,000 374,484 5.00%, 8/ 1/2021 2,300,000 2,437,379 East Rochester Housing Authority/NY 5.50%, 8/ 1/2033 160,000 163,768 Metropolitan Transportation Authority 4.75%, 7/ 1/2019 1,265,000 1,348,148 Metropolitan Transportation Authority FGIC 5.25%, 11/15/2031 1,500,000 1,591,170 Metropolitan Transportation Authority XL Capital Ltd 3.63%, 11/ 1/2031 2,000,000 2,000,000 Nassau County Tabacco Settlement Corporation 5.00%, 6/ 1/2035 500,000 507,795 5.13%, 6/ 1/2046 500,000 509,815 New York City Industrial Development Agency 6.25%, 3/ 1/2015 1,000,000 1,062,350 3.05%, 3/ 1/2016 1,000,000 998,440 7.63%, 8/ 1/2025 800,000 976,240 6.50%, 3/ 1/2035 160,000 170,432 New York City Municipal Water Finance Authority MBIA 5.00%, 6/15/2027 (a) 5,000,000 5,279,650 New York Mortgage Agency/NY 5.65%, 4/ 1/2030 520,000 523,614 New York State Dormitory Authority 5.50%, 7/ 1/2026 1,000,000 1,016,970 New York State Dormitory Authority Lenox Hill Hospital Oblig Group 5.50%, 7/ 1/2030 160,000 166,595 New York State Dormitory Authority MBIA 5.25%, 10/ 1/2023 1,500,000 1,598,055 New York State Housing Finance Agency 6.63%, 8/15/2012 365,000 365,500 Tobacco Settlement Financing Authority AMBAC 5.25%, 6/ 1/2021 2,200,000 2,346,058 TSASC Inc/NY 5.13%, 6/ 1/2042 1,000,000 1,019,630 --------------------- 24,456,093 --------------------- North Carolina (0.32%) City of Charlotte NC 5.50%, 8/ 1/2019 1,000,000 1,085,310 --------------------- Ohio (1.62%) Adams County Hospital 6.25%, 9/ 1/2020 1,000,000 1,023,250 County of Cuyahoga OH 7.50%, 1/ 1/2030 1,000,000 1,097,240 Ohio County Commission Special District Excise Tax Revenue Fort Henry Economic Opportunity Development District - The Highlands Project 5.63%, 3/ 1/2036 160,000 165,040 Ohio State Turnpike Commission 5.50%, 2/15/2026 2,000,000 2,107,780 Ohio State University 5.13%, 12/ 1/2031 1,000,000 1,048,410 --------------------- 5,441,720 --------------------- Oklahoma (0.11%) Oklahoma Housing Finance Agency 8.00%, 8/ 1/2018 195,000 208,057 Oklahoma Weatherford Hospital Authority 6.00%, 5/ 1/2025 160,000 165,746 --------------------- 373,803 --------------------- Oregon (1.50%) City of Portland OR AMBAC 5.75%, 6/15/2016 1,000,000 1,068,950 City of Portland OR FSA 5.25%, 6/ 1/2020 2,000,000 2,142,000 Oregon Health & Science University MBIA 5.25%, 7/ 1/2022 1,000,000 1,062,540 Oregon State Housing & Community Services Department/OR 5.65%, 7/ 1/2028 750,000 754,080 --------------------- 5,027,570 --------------------- Pennsylvania (4.51%) Central Dauphin School District MBIA 6.75%, 2/ 1/2024 1,000,000 1,209,510 City of Philadelphia PA FSA 5.375%, 7/ 1/2020 (a) 4,810,000 5,172,433 5.25%, 7/ 1/2029 2,500,000 2,592,175 Fulton County Industustial Development Authority Hospital Revenue 5.90%, 7/ 1/2040 160,000 165,074 Pennsylvania Higher Educational Facilties Authority UPMC Health System 6.25%, 1/15/2018 3,000,000 3,277,170 Philadelphia Authority for Industrial Development 3.67%, 7/ 1/2025 1,500,000 1,500,000 Philadelphia Authority for Industrial Development Richard Allen Development & Improvement 6.25%, 5/ 1/2033 160,000 161,098 Philadelphia Redevelopment Authority FGIC 5.50%, 4/15/2017 1,000,000 1,070,140 --------------------- 15,147,600 --------------------- Puerto Rico (0.64%) Commonwealth of Puerto Rico 5.25%, 7/ 1/2017 1,000,000 1,080,130 5.25%, 7/ 1/2030 1,000,000 1,072,090 --------------------- 2,152,220 --------------------- South Carolina (1.31%) Lexington One School Facilities Corp Lexington County, South Carolina 5.25%, 12/ 1/2029 1,000,000 1,055,600 South Carolina Jobs-Economic Development Authority AMBAC 5.20%, 11/ 1/2027 1,000,000 1,053,160 South Carolina Jobs-Economic Development Authority CIFG 5.00%, 11/ 1/2030 2,200,000 2,299,264 --------------------- 4,408,024 --------------------- South Dakota (0.39%) South Dakota Health & Educational Facilities Authority/SD 5.25%, 11/ 1/2034 1,250,000 1,312,350 --------------------- Tennessee (3.44%) Chattanooga Health Educational & Housing Facility Board/TN 5.50%, 10/ 1/2020 565,000 579,718 Johnson City Health & Educational Facilities Board 7.50%, 7/ 1/2033 1,000,000 1,158,420 5.50%, 7/ 1/2036 500,000 530,915 Shelby County Health Educational & Housing Facilities Board 5.63%, 9/ 1/2026 500,000 511,045 Tennessee Energy Acquisition Corp/TN Goldman Sacs Group 5.25%, 9/ 1/2018 3,000,000 3,283,590 Tennessee Tennessee Housing Development Agency/TN 5.70%, 7/ 1/2031 450,000 455,999 4.85%, 1/ 1/2032 5,000,000 5,043,450 --------------------- 11,563,137 --------------------- Texas (5.06%) Alliance Airport Authority/TX Federal Express Corp 4.85%, 4/ 1/2021 1,000,000 1,010,780 Austin TX Convention Enterprises Inc/TX 5.75%, 1/ 1/2034 500,000 533,045 City of Houston TX AMBAC 5.75%, 9/ 1/2015 1,000,000 1,076,050 City of Houston TX FSA 5.75%, 3/ 1/2015 85,000 90,325 City of San Antonio TX FSA 5.50%, 5/15/2017 2,090,000 2,242,716 Dallas-Fort Worth International Airport Facilities Improvement Corp FGIC 5.50%, 11/ 1/2031 1,500,000 1,581,090 Harris County-Houston Sports Authority MBIA 5.25%, 11/15/2040 2,000,000 2,097,180 Lower Colorado River Authority FGIC 5.00%, 5/15/2033 1,000,000 1,025,510 Metro Health Facilities Development Corp/TX 7.20%, 1/ 1/2021 1,100,000 1,139,963 North Central Texas Health Facility Development Corp 5.13%, 5/15/2029 1,000,000 1,021,720 North Central Texas Health Facility Development Corp AMBAC 5.25%, 8/15/2032 1,000,000 1,051,890 Sea Breeze Public Facility Corp Sea Breeze Seniors LP 6.50%, 1/ 1/2046 100,000 101,273 Texas Municipal Gas Acquisition & Supply Corp I Gas Supply Revenue 5.00%, 12/15/2016 1,000,000 1,068,310 Texas State Department Of Housing & Community Affairs GNMA/FNMA 5.70%, 1/ 1/2033 1,865,000 1,921,752 Texas Tech University MBIA 5.00%, 8/15/2025 1,000,000 1,053,140 --------------------- 17,014,744 --------------------- Virginia (0.77%) Henrico County Economic Development Authority/VA 5.00%, 10/ 1/2027 1,000,000 1,023,030 Tobacco Settlement Financing Authority Corp/VA 5.63%, 6/ 1/2037 1,000,000 1,068,510 Virginia Beach Development Authority 5.38%, 11/ 1/2032 500,000 513,830 --------------------- 2,605,370 --------------------- Washington (3.75%) Franklin County School District No 1 Pasco FSA 5.25%, 12/ 1/2019 5,000,000 5,346,350 Grant County Public Utility District No 2 Priest Rapids FGIC 5.00%, 1/ 1/2024 1,550,000 1,629,530 King County School District No 415 Kent/WA 6.30%, 12/ 1/2008 2,065,000 2,126,950 State of Washington 6.40%, 6/ 1/2017 3,000,000 3,508,410 --------------------- 12,611,240 --------------------- West Virginia (0.75%) Harrison County County Commission MBIA 6.88%, 4/15/2022 2,500,000 2,505,975 --------------------- Wisconsin (1.52%) County of Milwaukee WI FSA 5.25%, 12/ 1/2025 4,000,000 4,272,080 Wisconsin Health & Educational Facilities Authority 6.00%, 8/15/2019 600,000 638,490 Wisconsin Health & Educational Facilities Authority AMBAC 7.13%, 8/15/2007 200,000 200,516 --------------------- 5,111,086 --------------------- TOTAL TAX-EXEMPT BONDS $ 358,141,971 --------------------- Total Investments $ 358,141,971 LIABILITY FOR FLOATING RATE NOTES ISSUED IN CONJUNCTION WITH SECURITIES HELD (-7.61%) Notes with interest rates ranging from 3.61% to 3.68% at January 31, 2007 and contractual maturities of collateral ranging from 2011 to 2041.(e) (25,585,000) (25,585,000) Total Net Investments 332,556,971 Other Assets in Excess of Liabilities, Net - (1.02)% 3,453,496 --------------------- TOTAL NET ASSETS - 100.00% $ 336,010,467 ===================== ---------------------
(a)Security or portion of underlying security related to Inverse Floaters entered into by the Fund. See notes. (b)Non-Income Producing Security (c)Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $1,116,350 or 0.33% of net assets. (d)Variable Rate (e)Floating rate securities. The interest rates shown reflect the rates in effect at January 31, 2007. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 14,723,405 Unrealized Depreciation (70,935) --------------------- Net Unrealized Appreciation (Depreciation) 14,652,470 Cost for federal income tax purposes 317,760,942 SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ------------------------------------------------------------- ------------ Sell: U.S. 10 Year Note; March 2007 75 $8,141,801 $8,006,250 $135,551 U.S. Long Bond; March 2007 76 8,449,340 8,369,500 79,840 Portfolio Summary (unaudited) -------------------------------------------- -------------- Sector Percent -------------------------------------------- -------------- Insured 43.47% Revenue 37.65% Prerefunded 15.59% General Obligation 7.08% Revenue - Special Tax 2.40% Tax Allocation 0.40% Liabilities in Excess of Other Assets, Net (-6.59%) -------------- TOTAL NET ASSETS 100.00% ============== Other Assets Summary (unaudited) -------------------------------------------- -------------- Asset Type Percent -------------------------------------------- -------------- Futures 4.87%
Schedule of Investments January 31, 2007 (unaudited) Ultra Short Bond Fund Principal Amount Value ----------------- --- --------------------- BONDS (83.60%) Apparel Manufacturers (0.14%) Levi Strauss & Co 12.25%, 12/15/2012 $ 275,000 $ 304,219 --------------------- Appliances (0.11%) Whirlpool Corp 5.86%, 6/15/2009 (a) 250,000 250,627 --------------------- Asset Backed Securities (8.39%) Ameriquest Mortgage Securities Inc 6.02%, 7/25/2035 (a) 1,000,000 1,008,656 Chase Funding Mortgage Loan Asset-Backed Certificates 3.34%, 5/25/2026 1,094,144 1,076,568 CNH Wholesale Master Note Trust 5.72%, 6/15/2011 (a) 336,000 336,628 Countrywide Asset-Backed Certificates 3.84%, 10/25/2030 (a) 146,243 145,579 6.24%, 12/25/2032 (a) 1,983,862 1,985,405 6.45%, 12/25/2032 (a) 410,651 410,923 6.77%, 5/25/2033 (a) 1,000,000 1,002,062 6.32%, 6/25/2035 (a) 1,000,000 1,008,378 5.97%, 11/25/2035 (a) 1,000,000 1,008,268 5.98%, 12/25/2035 (a) 875,000 880,539 Encore Credit Receivables NIM Trust 4.50%, 1/25/2036 (b) 171,114 170,780 First Franklin Mortgage Loan Asset Backed Certificates 6.00%, 3/25/2034 (b) 548,792 533,386 Lehman XS Trust 5.76%, 11/25/2035 (a) 769,353 773,527 5.69%, 5/25/2046 (a) 1,500,000 1,509,527 5.88%, 5/25/2046 (a)(c) 1,415,000 1,414,337 6.22%, 6/25/2046 (c) 2,002,735 2,001,483 Long Beach Asset Holdings Corp 5.93%, 10/25/2046 (b)(c) 1,222,054 1,216,677 Long Beach Mortgage Loan Trust 5.82%, 2/25/2035 (a) 1,000,000 1,005,912 Nomura Asset Acceptance Corp 5.54%, 1/25/2036 (a)(b) 1,161,608 1,161,998 Sail Net Interest Margin Notes 5.50%, 6/27/2035 (b) 174,650 173,116 --------------------- 18,823,749 --------------------- Auto - Car & Light Trucks (0.71%) DaimlerChrysler NA Holding Corp 4.13%, 3/ 7/2007 80,000 79,909 5.79%, 3/13/2009 (a) 1,500,000 1,502,845 --------------------- 1,582,754 --------------------- Automobile Sequential (0.09%) Carss Finance LP 6.27%, 1/15/2011 (a)(b) 189,932 190,942 --------------------- Brewery (0.11%) SABMiller PLC 5.66%, 7/ 1/2009 (a)(b) 250,000 250,275 --------------------- Building - Residential & Commercial (0.46%) DR Horton Inc 8.50%, 4/15/2012 500,000 522,926 K Hovnanian Enterprises Inc 10.50%, 10/ 1/2007 400,000 411,500 KB Home 9.50%, 2/15/2011 100,000 103,000 --------------------- 1,037,426 --------------------- Cable TV (0.29%) COX Communications Inc 5.91%, 12/14/2007 (a) 250,000 250,975 CSC Holdings Inc 7.88%, 12/15/2007 400,000 405,500 --------------------- 656,475 --------------------- Casino Hotels (0.39%) Caesars Entertainment Inc 9.38%, 2/15/2007 475,000 475,000 MGM Mirage 9.75%, 6/ 1/2007 400,000 404,500 --------------------- 879,500 --------------------- Cellular Telecommunications (0.61%) America Movil SA de CV 5.99%, 4/27/2007 (a) 350,000 350,000 Rogers Wireless Inc 8.48%, 12/15/2010 (a) 500,000 510,000 Vodafone Group PLC 5.70%, 6/15/2011 (a)(d) 500,000 501,626 --------------------- 1,361,626 --------------------- Chemicals - Diversified (0.46%) Equistar Chemicals LP/Equistar Funding Corp 10.63%, 5/ 1/2011 650,000 689,000 Huntsman LLC 11.50%, 7/15/2012 300,000 340,500 --------------------- 1,029,500 --------------------- Commercial Banks (0.70%) Glitnir Banki HF 5.52%, 10/15/2008 (a)(b) 250,000 249,535 HSBC America Capital Trust I 7.81%, 12/15/2026 (b) 750,000 779,280 VTB Capital SA for Vneshtorgbank 6.11%, 9/21/2007 (a)(b) 135,000 135,216 5.97%, 8/ 1/2008 (b) 400,000 400,400 --------------------- 1,564,431 --------------------- Commercial Services (0.43%) Aramark Services Inc 7.00%, 5/ 1/2007 500,000 501,212 Brickman Group Ltd/The 11.75%, 12/15/2009 430,000 455,800 --------------------- 957,012 --------------------- Computer Services (0.04%) Sungard Data Systems Inc 3.75%, 1/15/2009 100,000 95,000 --------------------- Computers - Memory Devices (0.22%) Seagate Technology HDD Holdings 6.20%, 10/ 1/2009 (d) 500,000 500,000 --------------------- Containers - Metal & Glass (0.22%) Owens Brockway Glass Container Inc 8.88%, 2/15/2009 486,000 496,935 --------------------- Credit Card Asset Backed Securities (1.08%) Citibank Credit Card Issuance Trust 6.50%, 12/15/2009 (a) 1,915,000 1,928,944 Discover Card Master Trust I 5.56%, 5/15/2012 (a) 500,000 502,418 --------------------- 2,431,362 --------------------- Cruise Lines (0.16%) Royal Caribbean Cruises Ltd 6.75%, 3/15/2008 350,000 353,690 --------------------- Diversified Financial Services (0.53%) Citicorp Capital II 8.02%, 2/15/2027 750,000 781,724 Citigroup Capital II 7.75%, 12/ 1/2036 400,000 413,260 --------------------- 1,194,984 --------------------- Electric - Generation (0.03%) CE Casecnan Water & Energy 11.95%, 11/15/2010 62,000 66,960 --------------------- Electric - Integrated (0.93%) DTE Energy Co 5.63%, 8/16/2007 310,000 309,950 Entergy Gulf States Inc 6.10%, 12/ 8/2008 (a)(b) 200,000 200,456 5.77%, 12/ 1/2009 (a) 405,000 404,261 FPL Group Capital Inc 4.09%, 2/16/2007 160,000 159,924 Ipalco Enterprises Inc 8.38%, 11/14/2008 200,000 206,500 TECO Energy Inc 6.13%, 5/ 1/2007 500,000 500,000 Texas-New Mexico Power Co 6.13%, 6/ 1/2008 300,000 300,505 --------------------- 2,081,596 --------------------- Electronic Components - Semiconductors (0.31%) Hynix Semiconductor Manufacturing America Inc 8.63%, 5/15/2007 (b) 700,000 703,382 --------------------- Finance - Auto Loans (0.17%) Ford Motor Credit Co 8.11%, 1/13/2012 250,000 251,027 GMAC LLC 6.31%, 11/30/2007 125,000 124,351 --------------------- 375,378 --------------------- Finance - Consumer Loans (0.54%) SLM Corp 5.52%, 7/26/2010 (a) 1,200,000 1,200,394 --------------------- Finance - Leasing Company (0.81%) Case Credit Corp 6.75%, 10/21/2007 (d) 551,000 551,689 International Lease Finance Corp 5.70%, 4/20/2009 (a) 750,000 753,129 5.76%, 1/15/2010 (a) 500,000 504,364 --------------------- 1,809,182 --------------------- Finance - Mortgage Loan/Banker (1.24%) Fannie Mae Grantor Trust 4.91%, 9/26/2033 (a) 1,341,075 1,337,521 Ginnie Mae 1.82%, 10/16/2012 (a) 9,904,242 445,790 Residential Capital LLC 6.74%, 6/29/2007 (a) 750,000 753,070 5.85%, 6/ 9/2008 250,000 249,552 --------------------- 2,785,933 --------------------- Finance - Other Services (0.35%) Mizuho JGB Investment LLC 9.87%, 12/30/2025 (b) 750,000 791,216 --------------------- Food - Miscellaneous/Diversified (0.15%) Corn Products International Inc 8.25%, 7/15/2007 330,000 333,111 --------------------- Food - Retail (0.75%) Kroger Co/The 7.65%, 4/15/2007 1,050,000 1,054,116 Safeway Inc 5.72%, 3/27/2009 (a) 625,000 625,382 --------------------- 1,679,498 --------------------- Gas - Distribution (0.16%) Sempra Energy 5.84%, 5/21/2008 (a) 350,000 350,610 --------------------- Home Equity - Other (4.41%) Adjustable Rate Mortage NIM Trust 6.50%, 4/27/2036 (b)(c) 913,347 905,857 Asset Backed Funding Corp NIM Trust 5.90%, 2/26/2007 (b) 58,584 58,526 Bear Stearns Asset Backed Securities NIM 5.50%, 12/25/2035 (b) 17,232 17,219 Citifinancial Mortgage Securities Inc 3.22%, 10/25/2033 (a) 81,110 80,055 Countrywide Asset-Backed Certificates 4.93%, 5/25/2032 (a) 407,938 403,806 First NLC Trust 6.07%, 9/25/2035 (a) 1,000,000 1,009,197 GSAA Trust 5.69%, 4/25/2034 2,000,000 1,993,348 JP Morgan Mortgage Acquisition Corp NIM 5.80%, 4/25/2036 (b)(c) 560,588 561,289 MASTR ABS NIM Trust 4.75%, 5/26/2035 (b) 45,197 44,897 Mastr Asset Backed Securities Trust 5.97%, 10/25/2035 (a) 475,000 477,825 New Century Home Equity Loan Trust 6.02%, 7/25/2035 (a) 1,000,000 1,003,860 Home Equity - Other Option One Mortgage Loan Trust 5.99%, 8/25/2035 (a) 1,000,000 1,009,221 Residential Asset Securities Corp 4.03%, 4/25/2030 309,583 306,038 6.00%, 4/25/2035 (a) 1,000,000 1,004,767 6.07%, 7/25/2035 (a) 1,000,000 1,007,144 --------------------- 9,883,049 --------------------- Home Equity - Sequential (1.01%) Argent Securities Inc 4.60%, 1/25/2034 (a) 341,558 338,256 Merrill Lynch Mortgage Investors Inc 4.50%, 1/25/2035 (b) 1,658,455 1,640,295 New Century Home Equity Loan Trust 3.56%, 11/25/2033 276,222 275,184 --------------------- 2,253,735 --------------------- Hotels & Motels (0.20%) Starwood Hotels & Resorts Worldwide Inc 7.38%, 5/ 1/2007 450,000 451,889 --------------------- Industrial Automation & Robots (0.11%) Intermec Inc 7.00%, 3/15/2008 250,000 251,250 --------------------- Insurance Brokers (0.60%) Marsh & McLennan Cos Inc 5.50%, 7/13/2007 (a) 1,350,000 1,350,059 --------------------- Investment Companies (0.45%) Xstrata Finance Dubai Ltd 5.72%, 11/13/2009 (b) 1,000,000 1,000,399 --------------------- Life & Health Insurance (0.61%) Cigna Corp 7.40%, 5/15/2007 475,000 477,375 Phoenix Cos Inc/The 6.68%, 2/16/2008 385,000 387,405 Sun Life Financial Global Funding LP 5.61%, 7/ 6/2010 (a)(b) 500,000 501,118 --------------------- 1,365,898 --------------------- Medical - Drugs (0.41%) Angiotech Pharmaceuticals Inc 9.10%, 12/ 1/2013 (b) 225,000 230,625 Biovail Corp 7.88%, 4/ 1/2010 350,000 357,437 Elan Finance PLC/Elan Finance Corp 9.50%, 12/ 1/2013 (b)(d) 325,000 322,563 --------------------- 910,625 --------------------- Medical - Wholesale Drug Distribution (0.11%) Cardinal Health Inc 5.63%, 10/ 2/2009 (a)(b) 250,000 250,176 --------------------- Mortgage Backed Securities (42.56%) ACT Depositor Corp 5.62%, 9/22/2041 (a)(b) 374,950 373,994 American Home Mortgage Assets 6.05%, 11/25/2035 (a)(c) 651,702 663,005 Mortgage Backed Securities American Home Mortgage Investment Trust 6.89%, 9/25/2045 (a) 808,755 824,036 Banc of America Alternative Loan Trust 5.72%, 6/25/2036 (a) 2,282,530 2,277,371 Banc of America Commercial Mortgage Inc 7.11%, 11/15/2031 28,021 28,258 0.19%, 7/10/2042 76,467,500 775,319 0.06%, 7/10/2043 (a)(b) 6,239,513 74,558 0.17%, 9/10/2045 130,696,372 1,285,294 Banc of America Large Loan 5.61%, 2/ 9/2021 (a)(b) 525,000 526,179 Bear Stearns Adjustable Rate Mortgage Trust 3.61%, 4/25/2034 (a) 368,217 370,414 Bear Stearns Alt-A Trust 5.97%, 7/25/2035 (a) 1,000,000 1,000,621 5.97%, 8/25/2035 (a) 1,002,000 1,006,516 Bear Stearns Commercial Mortgage Securities 5.76%, 6/15/2017 (a)(b) 1,000,000 1,000,140 Citicorp Mortgage Securities Inc 5.50%, 12/25/2033 1,578,972 1,545,874 Citigroup Commercial Mortgage Trust 0.46%, 5/15/2043 (b) 36,741,256 716,025 0.52%, 10/15/2049 25,800,000 731,949 Citigroup/Deutsche Bank Commercial Mortgage Trust 0.45%, 10/15/2048 11,870,000 289,053 Commercial Mortgage Pass Through Certificates 5.58%, 2/ 5/2019 (a)(b) 2,000,000 2,006,543 Countrywide Alternative Loan Trust 5.62%, 10/25/2034 (a) 712,000 718,004 6.37%, 2/25/2035 (a) 1,000,000 1,004,647 6.17%, 7/25/2035 (a) 998,302 1,002,703 6.23%, 8/25/2035 (a)(c) 2,821,266 2,833,609 5.74%, 12/25/2035 (a) 2,370,693 2,381,468 6.50%, 1/25/2036 (b) 357,568 356,449 5.67%, 5/25/2036 (a) 1,688,559 1,688,537 5.72%, 5/25/2036 (a) 2,062,400 2,058,439 6.00%, 5/25/2036 1,135,326 1,131,545 5.63%, 3/20/2046 (a) 1,638,599 1,640,792 Countrywide Asset-Backed Certificates 6.00%, 11/ 8/2036 (b) 892,975 884,488 Countrywide Home Loan Mortgage Pass Through Certificates 5.50%, 7/25/2033 (a) 1,754,595 1,745,539 5.62%, 3/25/2035 (a) 709,293 711,721 5.58%, 3/20/2036 (a) 936,967 932,629 CS First Boston Mortgage Securities Corp 5.60%, 11/15/2020 (a)(b) 1,630,246 1,630,983 0.46%, 11/15/2036 (a)(b) 7,984,476 330,063 0.66%, 7/15/2037 (b) 26,554,642 685,622 1.77%, 5/15/2038 (b) 1,783,180 71,998 Downey Savings & Loan Association Mortgage 5.58%, 4/19/2047 (a) 2,115,839 2,119,368 First Republic Mortgage Loan Trust 5.62%, 8/15/2032 (a) 448,101 449,081 First Union National Bank Commercial Mortgage Trust 0.94%, 1/12/2043 (a)(b) 28,441,654 898,278 G-Force LLC 5.62%, 12/25/2039 (a)(b) 1,000,000 999,989 GMAC Commercial Mortgage Securities Inc 0.77%, 5/10/2043 (a) 16,547,220 400,501 Mortgage Backed Securities Greenwich Capital Commercial Funding Corp 0.79%, 8/10/2042 (a)(b) 60,352,718 1,563,733 GS Mortgage Securities Corp II 0.71%, 7/10/2039 (a)(b) 7,813,000 222,848 Heller Financial Commercial Mortgage Asset Corp 7.94%, 1/17/2034 600,000 641,430 Homebanc Mortgage Trust 5.99%, 7/25/2035 (a) 1,000,000 1,004,175 5.65%, 10/25/2035 (a) 2,443,868 2,450,331 5.66%, 1/25/2036 (a) 2,164,808 2,171,233 Impac CMB Trust 6.82%, 9/25/2034 (a) 254,199 254,524 5.81%, 10/25/2034 (a) 1,262,151 1,263,606 6.87%, 10/25/2034 (a) 493,503 495,943 5.69%, 11/25/2034 (a) 149,682 149,784 5.70%, 1/25/2035 (a) 57,777 57,822 5.63%, 4/25/2035 (a) 1,318,156 1,319,866 5.83%, 8/25/2035 (a) 244,058 244,721 5.86%, 8/25/2035 (a) 271,176 272,039 Impac Secured Assets CMN Owner Trust 5.72%, 11/25/2034 (a) 197,394 197,804 Indymac Index Mortgage Loan Trust 5.39%, 5/25/2035 (a) 756,254 749,951 5.28%, 6/25/2035 2,037,228 2,059,890 0.80%, 7/25/2035 (a)(c) 39,605,222 365,113 JP Morgan Chase Commercial Mortgage Securities 0.52%, 10/12/2035 (a)(b) 31,208,066 1,135,793 0.26%, 7/12/2037 (b) 82,048,910 697,104 0.60%, 10/12/2037 (a)(b) 7,099,611 295,791 0.56%, 7/15/2042 (a) 24,632,513 519,869 JP Morgan Mortgage Trust 4.91%, 4/25/2035 (a) 593,434 585,888 LB-UBS Commercial Mortgage Trust 0.76%, 7/15/2040 (a) 23,555,733 701,676 Lehman XS Net Interest Margin Notes 6.25%, 5/28/2046 (b)(c) 1,226,847 1,227,614 Mastr Seasoned Securities Trust 5.29%, 10/25/2032 (a) 332,743 334,661 Merrill Lynch Mortgage Investors Inc 5.44%, 8/25/2035 (a) 109,885 109,924 5.67%, 8/25/2036 (a) 1,405,142 1,411,627 Merrill Lynch Mortgage Trust 0.57%, 5/12/2043 11,094,301 289,330 Merrill Lynch/Countrywide Commercial Mortgage Trust 0.05%, 7/12/2046 13,239,929 215,678 0.05%, 12/12/2049 13,400,000 199,157 0.68%, 12/12/2049 25,500,000 899,882 MLCC Mortgage Investors Inc 5.81%, 7/25/2029 (a) 1,446,166 1,450,741 Morgan Stanley Capital I 5.48%, 8/15/2019 (a)(b) 1,000,000 1,000,325 5.70%, 8/25/2046 (a)(c) 1,000,000 997,813 5.92%, 12/20/2046 (c) 200,000 200,000 Residential Funding Mortgage Securities I 5.92%, 7/25/2036 2,602,371 2,608,964 Structured Adjustable Rate Mortgage Loan Trust 6.02%, 8/25/2034 (a) 984,175 993,777 Structured Asset Mortgage Investments I 7.30%, 8/25/2035 (a)(c) 505,758 508,444 Mortgage Backed Securities Structured Asset Mortgage Investments I (continued) 5.62%, 5/25/2036 (a) 1,297,821 1,310,799 Structured Asset Mortgage Investments II 5.90%, 8/25/2035 (a) 997,264 1,006,799 5.63%, 2/25/2036 (a) 1,314,335 1,319,069 5.24%, 5/25/2036 (a)(c) 1,015,782 1,015,782 6.00%, 5/25/2045 (a) 899,179 907,389 Wachovia Bank Commercial Mortgage Trust 0.28%, 6/15/2035 (b) 9,768,059 322,860 0.44%, 10/15/2041 (a)(b) 2,270,825 37,889 0.27%, 3/15/2042 (a)(b) 3,328,619 38,317 0.64%, 5/15/2044 (a)(b) 20,712,397 522,079 Washington Mutual Alternative Mortgage 5.87%, 7/25/2046 (a)(c) 2,166,881 2,174,330 Washington Mutual Asset Securities Corp 3.83%, 1/25/2035 (b) 728,199 700,934 Washington Mutual Inc 5.64%, 12/25/2027 (a) 1,531,061 1,531,277 3.07%, 8/25/2033 572,287 560,772 3.18%, 9/25/2033 180,747 179,779 3.54%, 7/25/2034 279,397 278,562 3.62%, 4/25/2035 (a) 772,077 770,562 4.92%, 8/25/2035 (a) 675,655 666,443 4.84%, 9/25/2035 (a) 749,297 738,352 5.97%, 9/25/2036 2,021,551 2,019,878 6.28%, 4/25/2044 (a) 1,114,936 1,130,491 5.99%, 7/25/2045 (a) 995,595 1,007,014 5.57%, 11/25/2045 (a) 277,583 278,148 5.51%, 12/25/2045 (a) 10,968 10,971 5.87%, 1/25/2046 (a) 997,962 1,009,098 Wells Fargo Mortgage Backed Securities 5.24%, 4/25/2036 1,879,156 1,860,881 --------------------- 95,438,948 --------------------- Mortgage Securities (0.51%) Residential Accredit Loans Inc 6.82%, 2/25/2036 (a) 1,141,347 1,140,346 --------------------- Multi-Line Insurance (0.29%) ACE Ltd 6.00%, 4/ 1/2007 250,000 250,165 CNA Financial Corp 6.45%, 1/15/2008 400,000 402,725 --------------------- 652,890 --------------------- Multimedia (0.34%) Time Warner Inc 5.61%, 11/13/2009 500,000 500,456 Viacom Inc 5.74%, 6/16/2009 (d) 250,000 250,849 --------------------- 751,305 --------------------- Non-Hazardous Waste Disposal (0.17%) Allied Waste North America Inc 9.25%, 9/ 1/2012 350,000 370,563 --------------------- Office Automation & Equipment (0.23%) Xerox Corp 6.11%, 12/18/2009 (a) 500,000 505,000 --------------------- Oil - Field Services (0.30%) Hanover Equipment Trust 8.50%, 9/ 1/2008 (a) 399,000 400,995 Smith International Inc 7.00%, 9/15/2007 275,000 276,963 --------------------- 677,958 --------------------- Oil & Gas Drilling (0.14%) ENSCO International Inc 6.75%, 11/15/2007 322,000 325,198 --------------------- Oil Company - Exploration & Production (1.35%) Anadarko Petroleum Corp 5.76%, 9/15/2009 (a) 400,000 401,006 Hilcorp Energy I LP/Hilcorp Finance Co 10.50%, 9/ 1/2010 (b) 200,000 214,250 Houston Exploration Co 7.00%, 6/15/2013 250,000 251,875 Newfield Exploration Co 7.45%, 10/15/2007 500,000 504,375 Pemex Project Funding Master Trust 7.16%, 10/15/2009 (a)(b) 500,000 517,500 6.66%, 6/15/2010 (a)(b) 350,000 359,275 Vintage Petroleum Inc 8.25%, 5/ 1/2012 (e) 750,000 782,768 --------------------- 3,031,049 --------------------- Oil Refining & Marketing (0.68%) Giant Industries Inc 11.00%, 5/15/2012 200,000 213,000 Premcor Refining Group Inc/The 9.25%, 2/ 1/2010 1,240,000 1,301,294 --------------------- 1,514,294 --------------------- Optical Supplies (0.13%) Bausch & Lomb Inc 6.95%, 11/15/2007 (d) 300,000 300,147 --------------------- Paper & Related Products (0.14%) Bowater Inc 8.36%, 3/15/2010 (a)(d) 300,000 303,000 --------------------- Pipelines (0.52%) Northwest Pipeline Corp 8.13%, 3/ 1/2010 700,000 726,250 Southern Natural Gas Co 8.88%, 3/15/2010 (d) 425,000 445,247 --------------------- 1,171,497 --------------------- Property & Casualty Insurance (0.12%) WR Berkley Corp 9.88%, 5/15/2008 267,000 280,315 --------------------- Publishing - Periodicals (0.28%) Dex Media East LLC/Dex Media East Finance Co 9.88%, 11/15/2009 300,000 315,000 12.13%, 11/15/2012 275,000 302,500 --------------------- 617,500 --------------------- Real Estate Operator & Developer (0.11%) First Industrial LP 7.60%, 5/15/2007 250,000 251,421 --------------------- Regional Banks (1.17%) First Union Institutional Capital I 8.04%, 12/ 1/2026 1,200,000 1,250,108 Fleet Capital Trust II 7.92%, 12/11/2026 577,000 600,056 NB Capital Trust 7.83%, 12/15/2026 750,000 779,585 --------------------- 2,629,749 --------------------- REITS - Diversified (0.35%) iStar Financial Inc 5.91%, 3/16/2009 (a) 375,000 377,858 5.70%, 9/15/2009 (a)(b) 400,000 400,330 --------------------- 778,188 --------------------- REITS - Healthcare (0.18%) National Health Investors Inc 7.30%, 7/16/2007 400,000 399,432 --------------------- REITS - Office Property (0.52%) Crescent Real Estate Equities LP 7.50%, 9/15/2007 175,000 175,875 HRPT Properties Trust 5.96%, 3/16/2011 (a) 1,000,000 1,000,485 --------------------- 1,176,360 --------------------- REITS - Regional Malls (0.22%) Simon Property Group LP 6.38%, 11/15/2007 500,000 503,179 --------------------- REITS - Warehouse & Industrial (0.22%) Prologis 5.62%, 8/24/2009 (a) 500,000 500,858 --------------------- Rental - Auto & Equipment (0.45%) Erac USA Finance Co 5.61%, 4/30/2009 (b) 500,000 501,049 5.62%, 8/28/2009 (a)(b) 500,000 500,958 --------------------- 1,002,007 --------------------- Retail - Regional Department Store (0.46%) JC Penney Corp Inc 6.50%, 12/15/2007 765,000 769,620 8.13%, 4/ 1/2027 250,000 256,534 --------------------- 1,026,154 --------------------- Retail - Restaurants (0.23%) Darden Restaurants Inc 5.75%, 3/15/2007 515,000 514,792 --------------------- Rubber - Tires (0.11%) Goodyear Tire & Rubber Co/The 9.14%, 12/ 1/2009 (b)(d) 250,000 251,875 --------------------- Satellite Telecommunications (0.27%) Intelsat Corp 6.38%, 1/15/2008 610,000 609,238 --------------------- Special Purpose Banks (0.11%) Korea Development Bank 5.65%, 11/22/2012 (a) 250,000 250,460 --------------------- Special Purpose Entity (0.56%) Fondo LatinoAmericano De Reservas 5.57%, 2/15/2011 (a)(b) 1,000,000 1,000,324 Tyco International Group S.A. Participation Certification Trust 4.44%, 6/15/2007 (b) 250,000 248,994 --------------------- 1,249,318 --------------------- Steel - Producers (0.03%) Steel Dynamics Inc 9.50%, 3/15/2009 75,000 76,875 --------------------- Supranational Bank (0.22%) Corp Andina de Fomento 5.57%, 3/16/2007 (a) 500,000 500,178 --------------------- Telecommunication Services (0.21%) Mastec Inc 7.75%, 2/ 1/2008 (d) 300,000 300,375 Qwest Corp 5.63%, 11/15/2008 (d) 170,000 170,000 --------------------- 470,375 --------------------- Telephone - Integrated (1.49%) AT&T Inc 5.58%, 11/14/2008 (a) 700,000 702,087 Deutsche Telekom International Finance BV 5.55%, 3/23/2009 (a) 750,000 751,253 Mountain States Telephone & Telegraph Co 6.00%, 8/ 1/2007 100,000 99,500 New England Telephone & Telegraph 7.65%, 6/15/2007 230,000 231,597 Telecom Italia Capital SA 5.85%, 2/ 1/2011 (a) 160,000 159,603 5.97%, 7/18/2011 (a) 400,000 400,413 Telefonica Emisiones SAU 5.66%, 6/19/2009 (a) 1,000,000 1,001,399 --------------------- 3,345,852 --------------------- Television (0.11%) CBS Corp 5.63%, 5/ 1/2007 (d) 250,000 250,080 --------------------- Textile - Home Furnishings (0.22%) Mohawk Industries Inc 6.50%, 4/15/2007 500,000 500,794 --------------------- Transport - Services (0.11%) FedEx Corp 2.65%, 4/ 1/2007 250,000 248,902 --------------------- TOTAL BONDS $ 187,470,944 --------------------- CONVERTIBLE BONDS (0.17%) Retail - Auto Parts (0.17%) PEP Boys-Manny Moe & Jack 4.25%, 6/ 1/2007 375,000 372,188 --------------------- TOTAL CONVERTIBLE BONDS $ 372,188 --------------------- U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (9.78%) Federal Home Loan Mortgage Corporation (FHLMC) (1.23%) 5.32%, 7/ 1/2033 (a) 1,509,642 1,544,331 7.32%, 10/ 1/2033 (a) 272,992 275,837 6.36%, 8/ 1/2035 (a) 921,491 934,606 --------------------- 2,754,774 --------------------- Federal National Mortgage Association (FNMA) (8.55%) 5.00%, 6/ 1/2032 (a) 1,081,114 1,089,745 5.09%, 6/ 1/2032 (a) 1,116,124 1,121,963 6.36%, 8/ 1/2032 517,708 529,418 5.15%, 9/ 1/2032 (a) 1,675,473 1,695,402 7.05%, 10/ 1/2033 (a) 713,618 722,843 7.65%, 10/ 1/2033 (a) 365,768 374,555 4.72%, 1/ 1/2034 (a) 1,121,287 1,147,107 5.68%, 2/ 1/2034 (a) 402,482 406,392 3.63%, 3/ 1/2034 (a) 1,258,622 1,253,492 4.30%, 3/ 1/2034 (a) 1,742,561 1,769,648 4.97%, 3/ 1/2034 (a) 1,196,597 1,204,267 5.07%, 3/ 1/2034 (a) 1,416,567 1,441,228 4.57%, 7/ 1/2034 (a) 1,854,043 1,861,442 6.55%, 12/ 1/2034 (a) 977,352 991,171 4.46%, 1/ 1/2035 (a) 236,096 240,496 4.51%, 2/ 1/2035 (a) 1,708,736 1,737,147 4.57%, 2/ 1/2035 802,762 814,450 5.04%, 2/ 1/2035 (a) 369,604 375,131 6.27%, 1/ 1/2036 (a) 397,241 401,464 --------------------- 19,177,361 --------------------- TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 21,932,135 --------------------- SHORT TERM INVESTMENTS (4.03%) Commercial Paper (4.03%) Grampian Funding 5.26%, 2/ 6/2007 7,000,000 6,994,886 Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (f) 2,041,628 2,041,628 --------------------- 9,036,514 --------------------- TOTAL SHORT TERM INVESTMENTS $ 9,036,514 --------------------- MONEY MARKET FUNDS (1.70%) Money Center Banks (1.70%) BNY Institutional Cash Reserve Fund (g) 3,819,000 3,819,000 --------------------- TOTAL MONEY MARKET FUNDS $ 3,819,000 --------------------- Total Investments $ 222,630,781 Other Assets in Excess of Liabilities, Net - 0.72% 1,603,845 --------------------- TOTAL NET ASSETS - 100.00% $ 224,234,626 ===================== --------------------- =====================
(a) Variable Rate (b) 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. Unless otherwise indicated, these securities are not considered illiquid. At the end of the period, the value of these securities totaled $34,804,774 or 15.52% of net assets. (c) Market value is determined in accordance with procedures established in good faith by the Board of Directors. At the end of the period, the value of these securities totaled $16,085,353 or 7.17% of net assets. (d) Security or a portion of the security was on loan at the end of the period. (e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the end of the period, the value of these securities totaled $219,175 or 0.10% of net assets. (f) Non-Income Producing Security (g) Security was purchased with the cash proceeds from securities loans. Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 684,000 Unrealized Depreciation (617,142) --------------------- Net Unrealized Appreciation (Depreciation) 66,858 Cost for federal income tax purposes 222,563,923
SCHEDULE OF STRADDLE OPTIONS CONTRACTS Exercise Expiration Notional Description Counterparty Price* Date Amount Premium Value Call & Put - OTC 10 Year Interest Rate Swap Morgan Stanley July-08 $0.00 3,750,000.00 159,000 1,763
* Exercise price and final premium determined on a future date, based upon implied volatility parameters. SCHEDULE OF FUTURES CONTRACTS Current Unrealized Number of Original Market Appreciation/ Type Contracts Value Value (Depreciation) ----------------------------------------------------------------- ------------- Buy: U.S. 2 Year Note; March 2007 47 $9,635,998 $9,568,906 $(67,092) Portfolio Summary (unaudited) --------------------------------------------------------- Sector Percent --------------------------------------------------------- Mortgage Securities 54.36% Asset Backed Securities 15.17% Financial 13.89% Communications 3.60% Consumer, Cyclical 3.36% Energy 3.00% Consumer, Non-cyclical 2.53% Utilities 1.11% Technology 0.80% Basic Materials 0.63% Industrial 0.61% Government 0.22% Other Assets in Excess of Liabilities, Net 0.72% ------------ TOTAL NET ASSETS 100.00% ============ Other Assets Summary (unaudited) --------------------------------- --- --------------------- Asset Type Percent --------------------------------- --- --------------------- Futures 4.27% Straddle Options 0.00%
Schedule of Investments January 31, 2007 (unaudited) West Coast Equity Fund Shares Held Value ----------------- --- --------------------- COMMON STOCKS (98.74%) Advanced Materials & Products (0.07%) Ceradyne Inc (a) 25,000 $ 1,352,000 --------------------- Advertising Services (0.59%) Getty Images Inc (a) 220,800 10,872,192 --------------------- Aerospace & Defense (3.06%) Boeing Co 467,233 41,845,387 Northrop Grumman Corp 202,600 14,372,444 --------------------- 56,217,831 --------------------- Agricultural Biotech (0.00%) Eden Bioscience Corp (a) 144,125 77,828 --------------------- Agricultural Operations (0.18%) Archer-Daniels-Midland Co 102,900 3,292,800 --------------------- Airlines (1.42%) Alaska Air Group Inc (a) 389,510 16,690,503 Cathay Pacific Airways Ltd ADR 725,900 9,364,110 --------------------- 26,054,613 --------------------- Apparel Manufacturers (0.45%) Columbia Sportswear Co 127,550 8,270,342 --------------------- Applications Software (4.01%) Actuate Corp (a) 823,500 4,306,905 Microsoft Corp 1,993,478 61,518,731 Quest Software Inc (a) 523,300 7,812,869 --------------------- 73,638,505 --------------------- Athletic Footwear (1.25%) Nike Inc 231,300 22,854,753 --------------------- Auto - Car & Light Trucks (1.14%) Toyota Motor Corp ADR 158,700 20,913,486 --------------------- Auto - Medium & Heavy Duty Trucks (1.57%) Paccar Inc 430,830 28,809,602 --------------------- Beverages - Non-Alcoholic (0.20%) PepsiCo Inc 57,600 3,757,824 --------------------- Building - Mobile Home & Manufactured Housing (0.68%) Monaco Coach Corp 823,000 12,410,840 --------------------- Building - Residential & Commercial (0.27%) KB Home 90,600 4,912,332 --------------------- Building & Construction Products - Miscellaneous (0.78%) Simpson Manufacturing Co Inc 435,200 14,235,392 --------------------- Building Products - Cement & Aggregate (0.02%) Cemex SAB de CV ADR (a) 12,600 445,788 --------------------- Chemicals - Specialty (0.16%) Symyx Technologies (a) 149,832 2,909,737 --------------------- Commercial Banks (3.60%) Banner Corp 123,597 5,294,895 City National Corp/Beverly Hills CA 198,500 14,278,105 East West Bancorp Inc 507,300 19,480,320 First Republic Bank/San Francisco CA 54,500 2,927,740 Greater Bay Bancorp 301,900 8,435,086 Pacific Capital Bancorp 89,133 2,848,691 UCBH Holdings Inc 204,800 3,840,000 UnionBanCal Corp 138,500 8,949,870 --------------------- 66,054,707 --------------------- Computer Aided Design (0.12%) Autodesk Inc (a) 51,700 2,260,324 --------------------- Computers (1.70%) Apple Inc (a) 92,050 7,891,446 Hewlett-Packard Co 536,800 23,232,704 --------------------- 31,124,150 --------------------- Computers - Integrated Systems (0.22%) Radisys Corp (a) 239,108 4,019,405 --------------------- Computers - Memory Devices (0.14%) Network Appliance Inc (a) 68,700 2,583,120 --------------------- Computers - Peripheral Equipment (0.01%) InFocus Corp (a) 48,000 128,640 --------------------- Consumer Products - Miscellaneous (1.44%) Central Garden and Pet Co (a) 142,100 6,364,659 Clorox Co 307,430 20,112,071 --------------------- 26,476,730 --------------------- Cosmetics & Toiletries (1.92%) Colgate-Palmolive Co 127,100 8,680,930 Estee Lauder Cos Inc/The 140,300 6,664,250 Procter & Gamble Co 305,400 19,811,298 --------------------- 35,156,478 --------------------- Data Processing & Management (0.50%) Fair Isaac Corp 229,350 9,132,717 --------------------- Diagnostic Kits (0.37%) OraSure Technologies Inc (a) 826,881 6,846,575 --------------------- Dialysis Centers (0.70%) DaVita Inc (a) 235,400 12,852,840 --------------------- Disposable Medical Products (0.20%) CR Bard Inc 44,700 3,688,644 --------------------- Distribution & Wholesale (0.22%) Building Materials Holding Corp 166,150 3,959,355 --------------------- Diversified Manufacturing Operations (0.47%) General Electric Co 236,800 8,536,640 --------------------- E-Commerce - Products (0.34%) Blue Nile Inc (a) 170,200 6,299,102 --------------------- E-Commerce - Services (0.08%) eBay Inc (a) 43,000 1,392,770 --------------------- Electronic Components - Semiconductors (2.22%) Agere Systems Inc (a) 23,600 475,304 Intel Corp 829,300 17,382,128 International Rectifier Corp (a) 69,100 2,883,543 Lattice Semiconductor Corp (a) 654,380 3,834,667 LSI Logic Corp (a) 356,200 3,348,280 Nvidia Corp (a) 86,700 2,657,355 Pixelworks Inc (a) 744,900 1,296,126 QLogic Corp (a) 259,900 4,756,170 Sirf Technology Holdings Inc (a) 142,300 4,177,928 --------------------- 40,811,501 --------------------- Electronic Design Automation (0.09%) Mentor Graphics Corp (a) 90,300 1,679,580 --------------------- Electronic Forms (1.56%) Adobe Systems Inc (a) 734,600 28,553,902 --------------------- Electronic Measurement Instruments (1.19%) Itron Inc (a) 44,000 2,536,160 Tektronix Inc 460,200 13,009,854 Trimble Navigation Ltd (a) 110,734 6,265,330 --------------------- 21,811,344 --------------------- Engineering - Research & Development Services (1.70%) Jacobs Engineering Group Inc (a) 344,500 31,194,475 --------------------- Enterprise Software & Services (0.52%) Hyperion Solutions Corp (a) 19,700 831,734 Oracle Corp (a) 148,300 2,544,828 Sybase Inc (a) 234,600 6,073,794 --------------------- 9,450,356 --------------------- Entertainment Software (0.45%) Electronic Arts Inc (a) 164,000 8,200,000 --------------------- E-Services - Consulting (0.03%) Websense Inc (a) 25,600 554,240 --------------------- Finance - Auto Loans (0.06%) United PanAm Financial Corp (a) 76,340 1,072,577 --------------------- Finance - Investment Banker & Broker (1.75%) Charles Schwab Corp/The 1,526,500 28,881,380 Piper Jaffray Cos (a) 46,232 3,187,234 --------------------- 32,068,614 --------------------- Finance - Mortgage Loan/Banker (1.11%) Countrywide Financial Corp 467,500 20,326,900 --------------------- Food - Retail (0.49%) Dairy Farm International Holdings Ltd ADR 22,350 419,062 Kroger Co/The 331,400 8,483,840 --------------------- 8,902,902 --------------------- Forestry (2.56%) Plum Creek Timber Co Inc 364,100 14,655,025 Weyerhaeuser Co 430,700 32,302,500 --------------------- 46,957,525 --------------------- Gas - Distribution (0.69%) Sempra Energy 220,700 12,663,766 --------------------- Health Care Cost Containment (0.82%) McKesson Corp 270,817 15,098,048 --------------------- Hotels & Motels (2.08%) Hilton Hotels Corp 662,100 23,431,719 Red Lion Hotels Corp (a) 1,229,085 14,785,893 --------------------- 38,217,612 --------------------- Human Resources (0.83%) AMN Healthcare Services Inc (a) 273,500 7,078,180 Robert Half International Inc 201,800 8,213,260 --------------------- 15,291,440 --------------------- Industrial Automation & Robots (0.26%) Intermec Inc (a) 201,000 4,830,030 --------------------- Instruments - Scientific (2.06%) Applera Corp - Applied Biosystems Group 252,100 8,762,996 Dionex Corp (a) 337,680 20,064,946 FEI Co (a) 354,225 8,912,301 --------------------- 37,740,243 --------------------- Internet Application Software (0.78%) Art Technology Group Inc (a) 2,481,361 6,377,098 WebEx Communications Inc (a) 213,000 7,898,040 --------------------- 14,275,138 --------------------- Internet Security (0.09%) Symantec Corp (a) 25,978 460,070 VeriSign Inc (a) 50,000 1,195,000 --------------------- 1,655,070 --------------------- Investment Management & Advisory Services (2.20%) Franklin Resources Inc 339,700 40,461,667 --------------------- Lasers - Systems & Components (0.33%) Electro Scientific Industries Inc (a) 287,430 6,033,156 --------------------- Life & Health Insurance (1.46%) Stancorp Financial Group Inc 558,430 26,720,875 --------------------- Machinery - Material Handling (0.53%) Cascade Corp 181,200 9,734,064 --------------------- Medical - Biomedical/Gene (2.61%) Affymetrix Inc (a) 30,000 748,800 American Oriental Bioengineering Inc (a) 23,700 304,545 Amgen Inc (a) 353,039 24,843,355 Genentech Inc (a) 218,700 19,107,819 Medical - Biomedical/Gene Martek Biosciences Corp (a) 128,017 2,984,076 --------------------- 47,988,595 --------------------- Medical - Drugs (2.61%) Abbott Laboratories 203,450 10,782,850 Allergan Inc 301,725 35,214,325 Pfizer Inc 68,900 1,807,936 --------------------- 47,805,111 --------------------- Medical - Generic Drugs (0.32%) Watson Pharmaceuticals Inc (a) 216,100 5,882,242 --------------------- Medical - HMO (0.17%) Health Net Inc (a) 65,460 3,188,557 --------------------- Medical Products (2.97%) Johnson & Johnson 276,600 18,476,880 Mentor Corp 227,800 11,615,522 Stryker Corp 62,100 3,846,474 Varian Medical Systems Inc (a) 400,700 18,484,291 Zimmer Holdings Inc (a) 25,200 2,122,344 --------------------- 54,545,511 --------------------- Metal Processors & Fabrication (0.79%) Precision Castparts Corp 162,996 14,488,714 --------------------- Multimedia (1.27%) Walt Disney Co/The 661,010 23,247,722 --------------------- Networking Products (2.24%) Cisco Systems Inc (a) 1,389,900 36,957,441 Polycom Inc (a) 125,700 4,226,034 --------------------- 41,183,475 --------------------- Non-Hazardous Waste Disposal (0.35%) Waste Connections Inc (a) 148,200 6,457,074 --------------------- Office Supplies & Forms (0.23%) Avery Dennison Corp 60,700 4,149,452 --------------------- Oil & Gas Drilling (0.75%) Nabors Industries Ltd (a) 454,500 13,762,260 --------------------- Oil Company - Exploration & Production (1.44%) Apache Corp 164,700 12,018,159 Berry Petroleum Co 465,400 14,446,016 --------------------- 26,464,175 --------------------- Oil Company - Integrated (4.06%) Chevron Corp 586,726 42,760,591 Exxon Mobil Corp 78,700 5,831,670 Occidental Petroleum Corp 558,600 25,896,696 --------------------- 74,488,957 --------------------- Pharmacy Services (0.36%) Caremark Rx Inc 109,300 6,695,718 --------------------- Property & Casualty Insurance (0.14%) Safeco Corp 40,504 2,592,661 --------------------- Publishing - Newspapers (0.41%) McClatchy Co 194,573 7,526,084 --------------------- Regional Banks (5.05%) Bank of America Corp 135,800 7,140,364 US Bancorp 698,300 24,859,480 Wells Fargo & Co 1,690,532 60,723,909 --------------------- 92,723,753 --------------------- REITS - Apartments (0.87%) Essex Property Trust Inc 110,100 15,891,834 --------------------- REITS - Healthcare (1.02%) Health Care Property Investors Inc 393,585 16,235,381 Nationwide Health Properties Inc 72,000 2,399,040 --------------------- 18,634,421 --------------------- REITS - Warehouse & Industrial (1.03%) AMB Property Corp 312,000 18,985,200 --------------------- Respiratory Products (0.68%) Resmed Inc (a) 237,800 12,503,524 --------------------- Retail - Apparel & Shoe (0.63%) Nordstrom Inc 206,000 11,476,260 --------------------- Retail - Automobile (0.44%) Copart Inc (a) 273,000 8,037,120 --------------------- Retail - Discount (2.00%) Costco Wholesale Corp 653,240 36,699,023 --------------------- Retail - Restaurants (1.72%) Starbucks Corp (a) 905,000 31,620,700 --------------------- Savings & Loans - Thrifts (1.18%) Washington Federal Inc 933,955 21,658,416 --------------------- Semiconductor Component - Integrated Circuits (0.17%) Exar Corp (a) 71,700 939,270 Linear Technology Corp 17,400 538,530 Maxim Integrated Products Inc 52,200 1,607,760 --------------------- 3,085,560 --------------------- Semiconductor Equipment (0.86%) Applied Materials Inc 326,500 5,788,845 Kla-Tencor Corp 115,500 5,686,065 Novellus Systems Inc (a) 140,000 4,316,200 --------------------- 15,791,110 --------------------- Steel - Producers (1.08%) Reliance Steel & Aluminum Co 34,400 1,432,416 Schnitzer Steel Industries Inc 477,440 18,381,440 --------------------- 19,813,856 --------------------- Telephone - Integrated (0.18%) Sprint Nextel Corp 190,300 3,393,049 --------------------- Therapeutics (0.83%) Amylin Pharmaceuticals Inc (a) 90,000 3,490,200 CV Therapeutics Inc (a) 284,037 3,831,659 Therapeutics Dendreon Corp (a) 477,241 2,047,364 Gilead Sciences Inc (a) 90,800 5,840,256 --------------------- 15,209,479 --------------------- Toys (0.14%) Mattel Inc 106,500 2,594,340 --------------------- Transactional Software (0.07%) VeriFone Holdings Inc (a) 33,000 1,319,010 --------------------- Transport - Equipment & Leasing (0.53%) Greenbrier Cos Inc 335,500 9,685,885 --------------------- Transport - Services (1.49%) Expeditors International Washington Inc 642,640 27,434,302 --------------------- Travel Services (0.35%) Ambassadors Group Inc 228,415 6,402,472 --------------------- Ultra Sound Imaging Systems (1.15%) SonoSite Inc (a) 651,963 21,188,798 --------------------- Veterinary Diagnostics (0.61%) VCA Antech Inc (a) 335,000 11,262,700 --------------------- Web Portals (1.91%) Google Inc (a) 41,750 20,929,275 Yahoo! Inc (a) 501,500 14,197,465 --------------------- 35,126,740 --------------------- Wireless Equipment (0.29%) Qualcomm Inc 139,300 5,246,038 --------------------- TOTAL COMMON STOCKS $ 1,812,092,985 --------------------- Principal Amount Value ----------------- --- --------------------- SHORT TERM INVESTMENTS (0.55%) Commercial Paper (0.55%) Investment in Joint Trading Account; Federal Home Loan Bank 0.00%, 2/ 1/2007 (a) 10,163,399 10,163,399 --------------------- TOTAL SHORT TERM INVESTMENTS $ 10,163,399 --------------------- Total Investments $ 1,822,256,384 Other Assets in Excess of Liabilities, Net - 0.71% 12,949,818 --------------------- TOTAL NET ASSETS - 100.00% $ 1,835,206,202 ===================== --------------------- =====================
(a) Non-Income Producing Security Unrealized Appreciation (Depreciation) Unrealized Appreciation $ 683,085,585 Unrealized Depreciation (43,228,901) --------------------- Net Unrealized Appreciation (Depreciation) 639,856,684 Cost for federal income tax purposes 1,182,399,700 Portfolio Summary (unaudited) ---------------------------------------------- --- --------------------- Sector Percent ---------------------------------------------- --- --------------------- Consumer, Non-cyclical 19.72% Financial 19.46% Consumer, Cyclical 14.34% Industrial 13.63% Technology 12.63% Communications 8.22% Energy 6.25% Basic Materials 3.80% Utilities 0.69% Mortgage Securities 0.55% Other Assets in Excess of Liabilities, Net 0.71% --------------------- TOTAL NET ASSETS 100.00% ===================== The Fund's schedules of investments as of January 31, 2007 have not been audited. This report is provided for the general information of the Fund's shareholders. For more information regarding the Fund and its holdings, please see the Fund's prospectus, annual report, and the following additional notes. The Fund's schedules of investments as of January 31, 2007 have not been audited. This report is provided for the general information of the Fund's shareholders. For more information regarding the Fund and its holdings, please see the Fund's prospectus, annual report, and the following additional notes. Additional Notes to Schedules of Investments (unaudited) Currency Translation. Foreign holdings are translated to U.S. dollars using the exchange rate at the daily close of the New York Stock Exchange. The identified cost of the Funds' holdings are translated at approximate rates prevailing when acquired. Income and expense amounts are translated at approximate rates prevailing when received or paid, with daily accruals of such amounts reported at approximate rates prevailing at the date of valuation. Since the carrying amount of the foreign securities is determined based on the exchange rate and market values at the close of the period, it is not practicable to isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the period. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between trade and settlement dates on security transactions, and the difference between the amount of dividends and foreign withholding taxes recorded on the books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies arise from changes in the exchange rate relating to assets and liabilities, other than investments in securities, purchased and held in non-U.S. denominated currencies. Floating Rate Notes Issued in Conjunction with Securities Held. The Funds may enter into transactions in which they transfer fixed rate bonds to trusts in exchange for cash and residual interests in the trusts' assets and cash flows, which are in the form of inverse floating rate securities. The trusts fund the purchases of the fixed rate bonds by issuing floating rate notes to third parties. The Funds enter into shortfall and forbearance agreements with the trusts, which commit the Funds to pay the trusts, in certain circumstances, the difference between the liquidation value of the fixed rate bonds held by the trusts and the liquidation value of the floating rate notes held by third parties, as well as any shortfalls in interest cash flows. The residual interests held by the Funds (inverse floating rate securities) include the right of the Funds (1) to cause the holders of the floating rate notes to tender their notes at par at the next interest rate reset date, and (2) to transfer the fixed rate bond from the trusts to the Funds, thereby collapsing the trusts. The Funds account for the transfer of bonds to the trusts as secured borrowings, with the securities transferred remaining in the Funds' investment assets, and the related floating rate notes reflected as the Funds' liabilities under the caption "floating rate notes issued" in the "Statement of Assets and Liabilities". The notes issued by the trusts have interest rates that reset weekly, and the floating rate note holders have the option to tender their notes to the trusts for redemption at par at each reset date. Swaptions. The Funds (with the exception of Money Market Fund) may enter into options on swap agreements ("swaptions"). During the period the swaptions are open, daily changes in the value of the swaption are recognized as unrealized gains or losses. These unrealized gains or losses are included as a component of net unrealized appreciation (depreciation) of investments on the statements of assets and liabilities. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Funds' cost basis in the contract. Details of swaptions open at period end are included in the Funds' schedules of investments. Options Contracts. The Funds (with the exception of Money Market Fund) may enter into options on futures contracts for both hedging and non-hedging purposes. During the period the options contracts are open, daily changes in the value of the contracts are recognized as unrealized gains or losses. These unrealized gains or losses are included as a component of net unrealized appreciation (depreciation) of investments on the statements of assets and liabilities. When the contracts are closed, the fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the fund's cost basis in the contract. Details of options contracts open at period end are included in the Funds' schedules of investments. ITEM 2 - 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) are effective (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing). (b) There have been no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3 - EXHIBITS Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Principal Investors Fund, Inc. ----------------------------------------------------------- By /s/ Ralph C. Eucher ------------------------------------------------------------------- Ralph C. Eucher, President and CEO Date 03/27/2007 --------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By /s/ Ralph C. Eucher ------------------------------------------------------------------- Ralph C. Eucher, President and CEO Date 03/27/2007 --------------------------- By /s/ Jill R. Brown ------------------------------------------------------------------- Jill R. Brown, Vice President and Chief Financial Officer Date 03/27/2007 ---------------------------