-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WTSup1z+5heMgjTHG2vwEHmPoLVKE76TOUmUm0YNDEkAzri7yylbY6ruAG+oA4ao DsOK9yNLYJ6/2OFSsy0W4Q== 0000935069-06-002253.txt : 20060822 0000935069-06-002253.hdr.sgml : 20060822 20060822163822 ACCESSION NUMBER: 0000935069-06-002253 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060630 FILED AS OF DATE: 20060822 DATE AS OF CHANGE: 20060822 EFFECTIVENESS DATE: 20060822 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RYDEX SERIES FUNDS CENTRAL INDEX KEY: 0000899148 IRS NUMBER: 521820225 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07584 FILM NUMBER: 061049073 BUSINESS ADDRESS: STREET 1: 9601 BLACKWELL ROAD STREET 2: SUITE 500 CITY: ROCKVILLE STATE: MD ZIP: 20850 BUSINESS PHONE: 301-296-5100 MAIL ADDRESS: STREET 1: 9601 BLACKWELL ROAD STREET 2: SUITE 500 CITY: ROCKVILLE STATE: MD ZIP: 20850 FORMER COMPANY: FORMER CONFORMED NAME: RYDEX SERIES TRUST DATE OF NAME CHANGE: 19930714 0000899148 S000003657 U.S. Government Money Market Fund C000010172 Investor RYMXX C000010173 Advisor RYDXX C000010174 A RYAXX C000010175 C RYCXX 0000899148 S000003683 Banking Fund C000010303 Investor RYKIX C000010304 Advisor RYKAX C000010305 A RYBKX C000010306 C RYKCX 0000899148 S000003684 Government Long Bond Advantage Fund C000010307 Investor RYGBX C000010308 Advisor RYADX C000010309 A RYABX C000010310 C RYCGX 0000899148 S000003685 Mid-Cap Advantage Fund C000010311 H RYMDX C000010312 A RYAHX C000010313 C RYDCX 0000899148 S000003686 Sector Rotation Fund C000010314 H RYSRX C000010315 A RYAMX C000010316 C RYISX 0000899148 S000003687 Multi-Cap Core Equity Fund C000010317 H RYQMX C000010318 A RYASX C000010319 C RYQCX 0000899148 S000003688 Large-Cap Value Fund C000010320 H RYZAX C000010321 A RYLVX C000010322 C RYVVX 0000899148 S000003689 Large-Cap Growth Fund C000010323 H RYAWX C000010324 A RYLGX C000010325 C RYGRX 0000899148 S000003690 Inverse Government Long Bond Fund C000010326 Investor RYJUX C000010327 Advisor RYJAX C000010328 A RYAQX C000010329 C RYJCX 0000899148 S000003691 Nova Fund C000010330 Investor RYNVX C000010331 Advisor RYNAX C000010332 A RYANX C000010333 C RYNCX 0000899148 S000003692 Inverse S&P 500 Fund C000010334 Investor RYURX C000010335 Advisor RYUAX C000010336 A RYARX C000010337 C RYUCX 0000899148 S000003693 OTC Fund C000010338 Investor RYOCX C000010339 Advisor RYAOX C000010340 A RYATX C000010341 C RYCOX 0000899148 S000003694 Inverse OTC Fund C000010342 Investor RYAIX C000010343 Advisor RYAAX C000010344 A RYAPX C000010345 C RYACX 0000899148 S000003695 Europe Advantage Fund C000010346 H RYEUX C000010347 A RYAEX C000010348 C RYCEX 0000899148 S000003696 Japan Advantage Fund C000010349 H RYJPX C000010350 A RYAJX C000010351 C RYCJX 0000899148 S000003697 Russell 2000 Advantage Fund C000010352 H RYMKX C000010353 A RYAKX C000010354 C RYCMX 0000899148 S000003760 Small-Cap Value Fund C000010429 H RYAZX C000010430 A RYSVX C000010431 C RYYCX 0000899148 S000003761 Dynamic Weakening Dollar Fund C000010432 H RYWBX C000010433 A RYWDX C000010434 C RYWJX 0000899148 S000003762 Hedged Equity Fund C000010435 H RYSTX C000010436 A RYSLX C000010437 C RYSSX 0000899148 S000003763 Absolute Return Strategies Fund C000010438 H RYMSX C000010439 A RYMQX C000010440 C RYMRX 0000899148 S000003768 Small-Cap Growth Fund C000010445 H RYWAX C000010446 A RYSGX C000010447 C RYWCX 0000899148 S000003769 Mid-Cap Value Fund C000010448 H RYAVX C000010449 A RYMVX C000010450 C RYMMX 0000899148 S000003770 Mid-Cap Growth Fund C000010451 H RYBHX C000010452 A RYMGX C000010453 C RYCKX 0000899148 S000003771 Inverse Mid-Cap Fund C000010454 H RYMHX C000010455 A RYAGX C000010456 C RYCLX 0000899148 S000003772 Inverse Russell 2000 Fund C000010457 H RYSHX C000010458 A RYAFX C000010459 C RYCQX 0000899148 S000003773 Real Estate Fund C000010460 H RYHRX C000010461 A RYREX C000010462 C RYCRX 0000899148 S000003774 Commodities Fund C000010463 H RYMBX C000010464 A RYMEX C000010465 C RYMJX 0000899148 S000003775 Dynamic Strengthening Dollar Fund C000010466 H RYSBX C000010467 A RYSDX C000010468 C RYSJX 0000899148 S000003798 Precious Metals Fund C000010578 Investor RYPMX C000010579 Advisor RYMPX C000010580 A RYMNX C000010581 C RYZCX 0000899148 S000003799 Telecommunications Fund C000010582 Investor RYMIX C000010583 Advisor RYMAX C000010584 A RYTLX C000010585 C RYCSX 0000899148 S000003800 Transportation Fund C000010586 Investor RYPIX C000010587 Advisor RYPAX C000010588 A RYTSX C000010589 C RYCNX 0000899148 S000003801 Energy Services Fund C000010590 Investor RYVIX C000010591 Advisor RYVAX C000010592 A RYESX C000010593 C RYVCX 0000899148 S000003802 Biotechnology Fund C000010594 Investor RYOIX C000010595 Advisor RYOAX C000010596 A RYBOX C000010597 C RYCFX 0000899148 S000003803 Electronics Fund C000010598 Investor RYSIX C000010599 Advisor RYSAX C000010600 A RYELX C000010601 C RYSCX 0000899148 S000003804 Internet Fund C000010602 Investor RYIIX C000010603 Advisor RYIAX C000010604 A RYINX C000010605 C RYICX 0000899148 S000003805 Utilities Fund C000010606 Investor RYUIX C000010607 Advisor RYAUX C000010608 A RYUTX C000010609 C RYCUX 0000899148 S000003806 Energy Fund C000010610 Investor RYEIX C000010611 Advisor RYEAX C000010612 A RYENX C000010613 C RYECX 0000899148 S000003807 Financial Services Fund C000010614 Investor RYFIX C000010615 Advisor RYFAX C000010616 A RYFNX C000010617 C RYFCX 0000899148 S000003808 Health Care Fund C000010618 Investor RYHIX C000010619 Advisor RYHAX C000010620 A RYHEX C000010621 C RYHCX 0000899148 S000003809 Technology Fund C000010622 Investor RYTIX C000010623 Advisor RYTAX C000010624 A RYTHX C000010625 C RYCHX 0000899148 S000003810 Basic Materials Fund C000010626 Investor RYBIX C000010627 Advisor RYBAX C000010628 A RYBMX C000010629 C RYBCX 0000899148 S000003811 Consumer Products Fund C000010630 Investor RYCIX C000010631 Advisor RYCAX C000010632 A RYPDX C000010633 C RYCPX 0000899148 S000003812 Leisure Fund C000010634 Investor RYLIX C000010635 Advisor RYLAX C000010636 A RYLSX C000010637 C RYLCX 0000899148 S000003813 Retailing Fund C000010638 Investor RYRIX C000010639 Advisor RYRAX C000010640 A RYRTX C000010641 C RYRCX 0000899148 S000012221 S&P 500 Fund C000033368 A-Class Shares C000033369 C-Class Shares C000033370 H-Class Shares 0000899148 S000012222 Russell 2000 Fund C000033371 A-Class Shares C000033372 C-Class Shares C000033373 H-Class Shares 0000899148 S000012545 Essential Portfolio Conservative Fund C000034110 A-Class Shares C000034111 C-Class Shares C000034112 H-Class Shares 0000899148 S000012546 Essential Portfolio Moderate Fund C000034113 A-Class Shares C000034114 C-Class Shares C000034115 H-Class Shares 0000899148 S000012547 Essential Portfolio Aggressive Fund C000034116 A-Class Shares C000034117 C-Class Shares C000034118 H-Class Shares N-Q 1 g35045_benchmarknq.txt G35045_BENCHMARKNQ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, State DC FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-07584 ------------------- Rydex Series Funds ---------------------------------------------------------- (Exact name of registrant as specified in charter) 9601 Blackwell Road, Suite 500 Rockville, Maryland 20850 ---------------------------------------------------------- (Address of principal executive offices) (Zip code) Carl G. Verboncoeur Rydex Series Funds 9601 Blackwell Road, Suite 500 Rockville, Maryland 20850 ---------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 301-296-5100 ------------ Date of fiscal year end: March 31, 2007 -------------- Date of reporting period: June 30, 2006 ------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.sS. 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, addressStreet450 Fifth Street, NW, CityWashington, StateDC PostalCode20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. SCHEDULE OF INVESTMENTS. NOVA MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 83.6% FINANCIALS 18.0% DIVERSIFIED FINANCIALS 4.6% Citigroup, Inc. 72,940 $ 3,518,626 Bank of America Corp. 50,710 2,439,151 J.P. Morgan Chase & Co.+ 50,930 2,139,060 Moody's Corp.+ 11,790 642,083 -------------- TOTAL DIVERSIFIED FINANCIALS 8,738,920 -------------- INSURANCE 4.0% American International Group, Inc. 26,897 1,588,268 Loews Corp. 24,310 861,789 Genworth Financial, Inc. -- Class A 24,370 849,051 ACE Ltd. 16,320 825,629 Aon Corp.+ 22,090 769,174 Ambac Financial Group, Inc.+ 8,490 688,539 UnumProvident Corp.+ 36,520 662,108 Principal Financial Group, Inc.+ 8,630 480,259 MetLife, Inc.+ 7,680 393,293 Hartford Financial Services Group, Inc.+ 2,600 219,960 AFLAC, Inc. 4,030 186,790 -------------- TOTAL INSURANCE 7,524,860 -------------- BANKS 3.5% Wachovia Corp.+ 34,070 1,842,506 Wells Fargo & Co.+ 15,245 1,022,635 PNC Financial Services Group, Inc.+ 13,240 929,051 KeyCorp 23,190 827,419 U.S. Bancorp+ 25,730 794,542 AmSouth Bancorp+ 28,930 765,198 Zions Bancorporation 6,230 485,566 -------------- TOTAL BANKS 6,666,917 -------------- CAPITAL MARKETS 2.9% Lehman Brothers Holdings, Inc.+ 16,022 1,043,833 Charles Schwab Corp.+ 52,450 838,151 State Street Corp. 13,470 782,472 E*Trade Financial Corp.* 26,090 595,374 Bank of New York Co., Inc. 17,470 562,534 Legg Mason, Inc.+ 5,290 526,461 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Goldman Sachs Group, Inc. 3,390 $ 509,958 Merrill Lynch & Co., Inc. 3,922 272,814 Morgan Stanley 4,150 262,322 -------------- TOTAL CAPITAL MARKETS 5,393,919 -------------- THRIFTS & MORTGAGE FINANCE 1.4% Washington Mutual, Inc.+ 27,450 1,251,171 MGIC Investment Corp.+ 10,770 700,050 Sovereign Bancorp, Inc.+ 29,791 605,045 Fannie Mae+ 820 39,442 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 2,595,708 -------------- CONSUMER FINANCE 0.8% Capital One Financial Corp.+ 11,810 1,009,165 American Express Co.+ 11,000 585,420 -------------- TOTAL CONSUMER FINANCE 1,594,585 -------------- REAL ESTATE 0.8% Boston Properties, Inc.+ 7,530 680,712 Public Storage, Inc.+ 4,980 377,982 ProLogis 4,940 257,473 KIMCO Realty Corp.+ 4,940 180,260 Vornado Realty Trust+ 260 25,363 -------------- TOTAL REAL ESTATE 1,521,790 -------------- TOTAL FINANCIALS 34,036,699 -------------- INFORMATION TECHNOLOGY 12.3% COMPUTERS & PERIPHERALS 2.9% International Business Machines Corp. 25,795 1,981,572 Hewlett-Packard Co. 58,497 1,853,185 NCR Corp.*+ 19,100 699,824 QLogic Corp.*+ 37,710 650,120 Dell, Inc.* 7,470 182,343 Apple Computer, Inc.* 2,550 145,656 -------------- TOTAL COMPUTERS & PERIPHERALS 5,512,700 -------------- SOFTWARE 2.5% Microsoft Corp. 149,535 3,484,166 CA, Inc.+ 28,900 593,895 Compuware Corp.* 73,736 494,031 Oracle Corp.* 6,660 96,503 Autodesk, Inc.* 1,970 67,886 - -------------------------------------------------------------------------------- 1 NOVA MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Parametric Technology Corp.*+ 3,366 $ 42,782 -------------- TOTAL SOFTWARE 4,779,263 -------------- COMMUNICATIONS EQUIPMENT 2.3% Cisco Systems, Inc.* 102,560 2,002,997 Motorola, Inc.+ 64,110 1,291,817 Tellabs, Inc.*+ 47,040 626,102 Qualcomm, Inc. 9,120 365,438 -------------- TOTAL COMMUNICATIONS EQUIPMENT 4,286,354 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.2% Intel Corp. 45,330 859,004 Freescale Semiconductor, Inc. -- Class B* 25,870 760,578 National Semiconductor Corp.+ 28,950 690,458 LSI Logic Corp.*+ 62,370 558,212 Advanced Micro Devices, Inc.*+ 21,050 514,041 Micron Technology, Inc.*+ 25,870 389,602 Texas Instruments, Inc.+ 6,380 193,250 Nvidia Corp.* 6,460 137,533 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 4,102,678 -------------- INTERNET SOFTWARE & SERVICES 1.2% Google, Inc. -- Class A*+ 2,780 1,165,737 Yahoo!, Inc.*+ 20,190 666,270 eBay, Inc.*+ 15,420 451,652 -------------- TOTAL INTERNET SOFTWARE & SERVICES 2,283,659 -------------- IT CONSULTING & SERVICES 0.9% Affiliated Computer Services, Inc. -- Class A* 13,730 708,605 Convergys Corp.* 36,260 707,070 Electronic Data Systems Corp.+ 11,960 287,758 -------------- TOTAL IT CONSULTING & SERVICES 1,703,433 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.2% Agilent Technologies, Inc.*+ 8,500 268,260 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Jabil Circuit, Inc.+ 6,030 $ 154,368 Tektronix, Inc. 250 7,355 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 429,983 -------------- OFFICE ELECTRONICS 0.1% Xerox Corp.*+ 12,800 178,048 -------------- TOTAL OFFICE ELECTRONICS 178,048 -------------- TOTAL INFORMATION TECHNOLOGY 23,276,118 -------------- HEALTH CARE 10.3% PHARMACEUTICALS 5.3% Pfizer, Inc. 105,188 2,468,762 Johnson & Johnson, Inc. 30,340 1,817,973 Merck & Co., Inc. 49,070 1,787,620 Wyeth 31,880 1,415,791 Forest Laboratories, Inc.* 18,200 704,158 Mylan Laboratories, Inc.+ 33,800 676,000 Barr Pharmaceuticals, Inc.* 13,350 636,662 Abbott Laboratories 6,300 274,743 Eli Lilly & Co.+ 3,170 175,206 King Pharmaceuticals, Inc.* 6,070 103,190 Bristol-Myers Squibb Co.+ 1,400 36,204 -------------- TOTAL PHARMACEUTICALS 10,096,309 -------------- HEALTH CARE PROVIDERS & SERVICES 2.3% WellPoint, Inc.* 17,860 1,299,672 UnitedHealth Group, Inc. 24,510 1,097,558 Aetna, Inc.+ 23,800 950,334 Express Scripts, Inc.* 5,160 370,178 Coventry Health Care, Inc.* 5,870 322,498 McKesson Corp. 5,636 266,470 IMS Health, Inc.+ 2,720 73,032 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 4,379,742 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.4% Becton, Dickinson & Co. 13,860 847,262 Zimmer Holdings, Inc.*+ 13,920 789,542 St. Jude Medical, Inc.* 12,400 402,008 C.R. Bard, Inc. 4,480 328,205 - -------------------------------------------------------------------------------- 2 NOVA MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Medtronic, Inc.+ 4,000 $ 187,680 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,554,697 -------------- BIOTECHNOLOGY 1.3% Amgen, Inc.*+ 22,050 1,438,321 Gilead Sciences, Inc.*+ 8,910 527,116 Applera Corp. - Applied Biosystems Group+ 14,520 469,722 -------------- TOTAL BIOTECHNOLOGY 2,435,159 -------------- TOTAL HEALTH CARE 19,465,907 -------------- INDUSTRIALS 9.8% INDUSTRIAL CONGLOMERATES 3.4% General Electric Co. 134,320 4,427,187 Tyco International Ltd.+ 39,070 1,074,425 Textron, Inc. 8,620 794,592 3M Co. 2,770 223,733 -------------- TOTAL INDUSTRIAL CONGLOMERATES 6,519,937 -------------- AEROSPACE & DEFENSE 2.0% Boeing Co.+ 13,060 1,069,744 Raytheon Co. 20,010 891,846 Northrop Grumman Corp. 12,190 780,891 General Dynamics Corp. 8,080 528,917 United Technologies Corp. 3,788 240,235 Lockheed Martin Corp.+ 2,689 192,909 L-3 Communications Holdings, Inc. 2,000 150,840 -------------- TOTAL AEROSPACE & DEFENSE 3,855,382 -------------- MACHINERY 1.4% Caterpillar, Inc. 14,330 1,067,298 Cummins, Inc.+ 6,320 772,620 Parker Hannifin Corp. 9,490 736,424 Navistar International Corp.* 1,050 25,841 -------------- TOTAL MACHINERY 2,602,183 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- AIR FREIGHT & COURIERS 0.9% United Parcel Service, Inc. -- Class B+ 20,760 $ 1,709,171 -------------- TOTAL AIR FREIGHT & COURIERS 1,709,171 -------------- ROAD & RAIL 0.7% Norfolk Southern Corp. 17,810 947,848 Burlington Northern Santa Fe Corp. 4,420 350,285 -------------- TOTAL ROAD & RAIL 1,298,133 -------------- COMMERCIAL SERVICES & SUPPLIES 0.6% Monster Worldwide, Inc.* 14,850 633,501 Equifax, Inc. 12,470 428,220 Robert Half International, Inc. 290 12,180 Waste Management, Inc. 50 1,794 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,075,695 -------------- ELECTRICAL EQUIPMENT 0.4% Emerson Electric Co. 9,230 773,566 Cooper Industries Ltd. -- Class A 330 30,664 -------------- TOTAL ELECTRICAL EQUIPMENT 804,230 -------------- BUILDING PRODUCTS 0.2% American Standard Cos., Inc.+ 6,670 288,611 -------------- TOTAL BUILDING PRODUCTS 288,611 -------------- AIRLINES 0.1% Southwest Airlines Co. 9,730 159,280 -------------- TOTAL AIRLINES 159,280 -------------- CONSTRUCTION & ENGINEERING 0.1% Fluor Corp.+ 1,180 109,657 -------------- TOTAL CONSTRUCTION & ENGINEERING 109,657 -------------- - -------------------------------------------------------------------------------- 3 NOVA MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS 0.0% W.W. Grainger, Inc. 1,030 $ 77,487 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 77,487 -------------- TOTAL INDUSTRIALS 18,499,766 -------------- CONSUMER DISCRETIONARY 8.7% MEDIA 2.9% The Walt Disney Co.+ 51,280 1,538,400 McGraw-Hill Cos., Inc. 16,980 852,905 Omnicom Group, Inc.+ 9,090 809,828 Gannett Co., Inc.+ 14,190 793,647 Meredith Corp. 13,200 653,928 Time Warner, Inc.+ 25,060 433,538 Comcast Corp. -- Class A*+ 10,140 331,984 Viacom, Inc. - Class B*+ 4,000 143,360 -------------- TOTAL MEDIA 5,557,590 -------------- SPECIALTY RETAIL 1.7% Office Depot, Inc.*+ 19,140 727,320 Sherwin-Williams Co.+ 14,530 689,884 TJX Cos., Inc. 30,070 687,400 AutoZone, Inc.*+ 7,750 683,550 Home Depot, Inc. 12,550 449,165 Lowe's Cos., Inc. 620 37,615 -------------- TOTAL SPECIALTY RETAIL 3,274,934 -------------- HOTELS, RESTAURANTS & LEISURE 1.3% McDonald's Corp. 34,880 1,171,968 Darden Restaurants, Inc. 19,940 785,636 Carnival Corp.+ 13,060 545,124 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 2,502,728 -------------- MULTILINE RETAIL 1.0% J.C. Penney Holding Co., Inc.+ 13,090 883,706 Nordstrom, Inc.+ 20,260 739,490 Federated Department Stores, Inc.+ 4,210 154,086 Target Corp.+ 1,780 86,989 -------------- TOTAL MULTILINE RETAIL 1,864,271 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- HOUSEHOLD DURABLES 0.6% Whirlpool Corp.+ 5,460 $ 451,269 Stanley Works+ 6,070 286,626 Snap-On, Inc. 6,070 245,349 KB Home+ 840 38,514 -------------- TOTAL HOUSEHOLD DURABLES 1,021,758 -------------- AUTOMOBILES 0.3% Harley-Davidson, Inc.+ 11,550 633,980 -------------- TOTAL AUTOMOBILES 633,980 -------------- TEXTILES & APPAREL 0.3% Jones Apparel Group, Inc. 17,250 548,378 -------------- TOTAL TEXTILES & APPAREL 548,378 -------------- LEISURE EQUIPMENT & PRODUCTS 0.2% Hasbro, Inc. 14,800 268,028 Mattel, Inc. 140 2,311 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 270,339 -------------- AUTO COMPONENTS 0.1% Goodyear Tire & Rubber Co.*+ 18,740 208,014 Johnson Controls, Inc.+ 460 37,821 -------------- TOTAL AUTO COMPONENTS 245,835 -------------- COMMERCIAL SERVICES & SUPPLIES 0.1% Apollo Group, Inc. -- Class A*+ 3,830 197,896 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 197,896 -------------- INTERNET & CATALOG RETAIL 0.1% Amazon.com, Inc.*+ 4,230 163,616 -------------- TOTAL INTERNET & CATALOG RETAIL 163,616 -------------- - -------------------------------------------------------------------------------- 4 NOVA MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- DISTRIBUTORS 0.1% Genuine Parts Co. 2,360 $ 98,318 -------------- TOTAL DISTRIBUTORS 98,318 -------------- TOTAL CONSUMER DISCRETIONARY 16,379,643 -------------- ENERGY 8.5% OIL & GAS 6.8% Exxon Mobil Corp.+ 73,860 4,531,311 ConocoPhillips 22,506 1,474,818 Occidental Petroleum Corp.+ 12,340 1,265,467 Valero Energy Corp.+ 18,980 1,262,550 Chevron Corp.+ 20,170 1,251,750 Marathon Oil Corp.+ 13,010 1,083,733 EOG Resources, Inc.+ 13,060 905,580 Sunoco, Inc. 9,660 669,341 Anadarko Petroleum Corp. 8,850 422,057 -------------- TOTAL OIL & GAS 12,866,607 -------------- ENERGY EQUIPMENT & SERVICES 1.7% Schlumberger Ltd.+ 14,990 975,999 Halliburton Co. 11,770 873,452 Weatherford International Ltd.* 11,880 589,485 Rowan Cos., Inc.+ 15,380 547,374 Noble Corp.+ 2,140 159,259 Nabors Industries Ltd.*+ 720 24,329 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 3,169,898 -------------- TOTAL ENERGY 16,036,505 -------------- CONSUMER STAPLES 7.8% BEVERAGES 1.8% PepsiCo, Inc. 12,270 736,691 Pepsi Bottling Group, Inc.+ 22,290 716,623 Constellation Brands, Inc. -- Class A* 28,430 710,750 Molson Coors Brewing Co. -- Class B+ 10,460 710,025 Coca-Cola Co. 13,710 589,804 Coca-Cola Enterprises, Inc. 800 16,296 -------------- TOTAL BEVERAGES 3,480,189 -------------- HOUSEHOLD PRODUCTS 1.8% Procter & Gamble Co. 42,958 2,388,465 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Colgate-Palmolive Co.+ 17,640 $ 1,056,636 -------------- TOTAL HOUSEHOLD PRODUCTS 3,445,101 -------------- FOOD & DRUG RETAILING 1.7% CVS Corp.+ 33,720 1,035,204 Wal-Mart Stores, Inc.+ 21,090 1,015,905 Kroger Co.+ 41,590 909,158 Walgreen Co. 4,900 219,716 Costco Wholesale Corp.+ 2,060 117,688 -------------- TOTAL FOOD & DRUG RETAILING 3,297,671 -------------- TOBACCO 1.3% Altria Group, Inc. 21,080 1,547,904 Reynolds American, Inc.+ 6,910 796,723 UST, Inc.+ 220 9,942 -------------- TOTAL TOBACCO 2,354,569 -------------- FOOD PRODUCTS 1.0% General Mills, Inc.+ 17,280 892,685 Campbell Soup Co. 20,550 762,610 Dean Foods Co.*+ 7,630 283,760 -------------- TOTAL FOOD PRODUCTS 1,939,055 -------------- PERSONAL PRODUCTS 0.2% Avon Products, Inc. 7,430 230,330 Alberto-Culver Co. -- Class B 1,620 78,926 -------------- TOTAL PERSONAL PRODUCTS 309,256 -------------- TOTAL CONSUMER STAPLES 14,825,841 -------------- UTILITIES 2.8% ELECTRIC UTILITIES 1.6% Edison International 20,660 805,740 Allegheny Energy, Inc.* 19,820 734,727 TXU Corp. 11,680 698,347 American Electric Power Co., Inc. 19,660 673,355 Progress Energy, Inc.+ 2,550 109,319 -------------- TOTAL ELECTRIC UTILITIES 3,021,488 -------------- - -------------------------------------------------------------------------------- 5 NOVA MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MULTI-UTILITIES 1.2% Duke Energy Corp.+ 27,450 $ 806,207 Xcel Energy, Inc.+ 39,440 756,459 TECO Energy, Inc.+ 41,483 619,756 Sempra Energy 1,590 72,313 Constellation Energy Group, Inc. 210 11,449 -------------- TOTAL MULTI-UTILITIES 2,266,184 -------------- GAS UTILITIES 0.0% Nicor, Inc.+ 1,070 44,405 -------------- TOTAL GAS UTILITIES 44,405 -------------- TOTAL UTILITIES 5,332,077 -------------- TELECOMMUNICATION SERVICES 2.8% DIVERSIFIED TELECOMMUNICATION SERVICES 2.1% AT&T, Inc.+ 58,740 1,638,259 Embarq Corp.* 17,489 716,874 CenturyTel, Inc.+ 18,560 689,504 Verizon Communications, Inc.+ 20,150 674,824 BellSouth Corp.+ 8,930 323,266 Citizens Communications Co.+ 420 5,481 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 4,048,208 -------------- WIRELESS TELECOMMUNICATION SERVICES 0.7% Alltel Corp.+ 14,700 938,301 Sprint Nextel Corp.+ 16,380 327,436 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,265,737 -------------- TOTAL TELECOMMUNICATION SERVICES 5,313,945 -------------- MATERIALS 2.6% CHEMICALS 1.3% Monsanto Co. 11,230 945,454 Ashland, Inc.+ 11,110 741,037 Sigma-Aldrich Corp.+ 9,190 667,561 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Dow Chemical Co.+ 4,960 $ 193,589 -------------- TOTAL CHEMICALS 2,547,641 -------------- METALS & MINING 0.8% Nucor Corp.+ 11,240 609,770 Allegheny Technologies, Inc.+ 8,070 558,767 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 6,550 362,935 -------------- TOTAL METALS & MINING 1,531,472 -------------- PAPER & FOREST PRODUCTS 0.3% Louisiana-Pacific Corp. 22,400 490,560 -------------- TOTAL PAPER & FOREST PRODUCTS 490,560 -------------- CONTAINERS & PACKAGING 0.1% Sealed Air Corp.+ 4,970 258,838 Temple-Inland, Inc. 300 12,861 -------------- TOTAL CONTAINERS & PACKAGING 271,699 -------------- CONSTRUCTION MATERIALS 0.1% Vulcan Materials Co. 1,360 106,080 -------------- TOTAL CONSTRUCTION MATERIALS 106,080 -------------- TOTAL MATERIALS 4,947,452 -------------- TOTAL COMMON STOCKS (Cost $132,825,978) 158,113,953 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 12.0% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 1,807,236 1,807,236 Credit Suisse at 4.55% due 07/03/06 8,458,499 8,458,499 - -------------------------------------------------------------------------------- 6 NOVA MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 1,729 $ 1,729 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 5,771,012 5,771,012 Morgan Stanley at 4.40% due 07/03/06 3,270,239 3,270,239 Citigroup, Inc. at 4.10% due 07/03/06 3,366,423 3,366,423 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $22,675,138) 22,675,138 -------------- SECURITIES LENDING COLLATERAL 25.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 48,656,504 48,656,504 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $48,656,504) 48,656,504 -------------- TOTAL INVESTMENTS 121.3% (Cost $204,157,620) 229,445,595 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (21.3)% (40,318,682) -------------- NET ASSETS - 100.0% 189,126,913 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $30,138,113) 471 18,237 -------------- UNITS ------------ EQUITY INDEX SWAP AGREEMENTS September 2006 S&P 500 Index Swap, Maturing 09/28/2006** (Notional Market Value $86,227,810) 67,885 1,636,743 September 2006 S&P 500 Index Swap, Maturing 09/14/2006** (Notional Market Value $8,857,309) 6,973 146,261 (TOTAL NOTIONAL MARKET VALUE $95,085,119) 1,783,004 -------------- * Non-Income Producing Security. ** Price Return based on S&P 500 Index +/- financing at a variable rate. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 7 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 33.2% FINANCIALS 7.1% DIVERSIFIED FINANCIALS 1.8% Citigroup, Inc. 1,780 $ 85,867 Bank of America Corp. 1,640 78,884 J.P. Morgan Chase & Co. 1,250 52,500 Moody's Corp. 90 4,902 CIT Group, Inc. 70 3,660 -------------- TOTAL DIVERSIFIED FINANCIALS 225,813 -------------- INSURANCE 1.6% American International Group, Inc. 930 54,916 Prudential Financial, Inc. 180 13,986 MetLife, Inc. 270 13,827 Allstate Corp. 230 12,588 St. Paul Travelers Cos., Inc. 250 11,145 Hartford Financial Services Group, Inc. 110 9,306 AFLAC, Inc. 180 8,343 Chubb Corp. 150 7,485 Progressive Corp. 280 7,199 Lincoln National Corp. 110 6,208 ACE Ltd. 120 6,071 Principal Financial Group, Inc. 100 5,565 Marsh & McLennan Cos., Inc. 200 5,378 Loews Corp. 150 5,317 Genworth Financial, Inc. -- Class A 130 4,529 XL Capital Ltd. 70 4,291 Aon Corp. 120 4,178 Cincinnati Financial Corp. 70 3,291 Ambac Financial Group, Inc. 40 3,244 MBIA, Inc. 50 2,928 Torchmark Corp. 40 2,429 SAFECO Corp. 40 2,254 UnumProvident Corp. 110 1,994 -------------- TOTAL INSURANCE 196,472 -------------- BANKS 1.4% Wells Fargo & Co. 600 40,248 Wachovia Corp. 580 31,366 U.S. Bancorp 640 19,763 SunTrust Banks, Inc. 130 9,914 BB&T Corp. 200 8,318 MARKET SHARES VALUE - ------------------------------------------------------------------------------- PNC Financial Services Group, Inc. 110 $ 7,719 Fifth Third Bancorp 200 7,390 National City Corp. 200 7,238 Regions Financial Corp. 170 5,630 KeyCorp 150 5,352 North Fork Bancorporation, Inc. 170 5,129 Zions Bancorporation 50 3,897 Marshall & Ilsley Corp. 80 3,659 M&T Bank Corp. 30 3,538 Synovus Financial Corp. 120 3,214 AmSouth Bancorp 120 3,174 Comerica, Inc. 60 3,119 Compass Bancshares, Inc. 50 2,780 Commerce Bancorp, Inc./NJ 70 2,497 Huntington Bancshares, Inc. 90 2,122 First Horizon National Corp. 40 1,608 -------------- TOTAL BANKS 177,675 -------------- CAPITAL MARKETS 1.2% Morgan Stanley 390 24,652 Goldman Sachs Group, Inc. 160 24,069 Merrill Lynch & Co., Inc. 330 22,955 Lehman Brothers Holdings, Inc. 190 12,378 Bank of New York Co., Inc. 280 9,016 State Street Corp. 120 6,971 Charles Schwab Corp. 370 5,913 Bear Stearns Cos., Inc. 40 5,603 Franklin Resources, Inc. 60 5,209 Mellon Financial Corp. 150 5,164 Legg Mason, Inc. 50 4,976 Ameriprise Financial, Inc. 100 4,467 Northern Trust Corp. 70 3,871 T. Rowe Price Group, Inc. 100 3,781 E*Trade Financial Corp.* 150 3,423 Janus Capital Group, Inc. 80 1,432 Federated Investors, Inc. -- Class B 30 945 -------------- TOTAL CAPITAL MARKETS 144,825 -------------- THRIFTS & MORTGAGE FINANCE 0.5% Fannie Mae 350 16,835 Washington Mutual, Inc. 340 15,497 Freddie Mac 250 14,253 Countrywide Financial Corp. 230 8,759 Golden West Financial Corp. 90 6,678 - -------------------------------------------------------------------------------- 1 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Sovereign Bancorp, Inc. 140 $ 2,843 MGIC Investment Corp. 30 1,950 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 66,815 -------------- REAL ESTATE 0.3% Simon Property Group, Inc. 70 5,806 Equity Residential 110 4,920 Equity Office Properties Trust 130 4,746 ProLogis 90 4,691 Archstone-Smith Trust 80 4,070 Vornado Realty Trust 40 3,902 Boston Properties, Inc. 40 3,616 Public Storage, Inc. 40 3,036 KIMCO Realty Corp. 80 2,919 Plum Creek Timber Co., Inc. (REIT) 70 2,485 Apartment Investment & Management Co. -- Class A 30 1,304 -------------- TOTAL REAL ESTATE 41,495 -------------- CONSUMER FINANCE 0.3% American Express Co. 440 23,417 Capital One Financial Corp. 110 9,399 SLM Corp. 150 7,938 -------------- TOTAL CONSUMER FINANCE 40,754 -------------- TOTAL FINANCIALS 893,849 -------------- INFORMATION TECHNOLOGY 4.9% COMPUTERS & PERIPHERALS 1.1% International Business Machines Corp. 560 43,019 Hewlett-Packard Co. 1,000 31,680 Dell, Inc.* 820 20,016 Apple Computer, Inc.* 310 17,707 EMC Corp./MA* 850 9,325 Sun Microsystems, Inc.* 1,260 5,229 Network Appliance, Inc.* 130 4,589 SanDisk Corp.* 70 3,569 NCR Corp.* 70 2,565 Lexmark International, Inc.* 40 2,233 QLogic Corp.* 60 1,034 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Gateway, Inc.* 100 $ 190 -------------- TOTAL COMPUTERS & PERIPHERALS 141,156 -------------- SOFTWARE 1.0% Microsoft Corp. 3,150 73,395 Oracle Corp.* 1,400 20,286 Adobe Systems, Inc.* 210 6,376 Symantec Corp.* 370 5,750 Electronic Arts, Inc.* 110 4,735 Intuit, Inc.* 60 3,623 CA, Inc. 160 3,288 Autodesk, Inc.* 90 3,101 Citrix Systems, Inc.* 70 2,810 BMC Software, Inc.* 80 1,912 Compuware Corp.* 140 938 Novell, Inc.* 130 862 Parametric Technology Corp.* 40 508 -------------- TOTAL SOFTWARE 127,584 -------------- COMMUNICATIONS EQUIPMENT 0.9% Cisco Systems, Inc.* 2,200 42,966 Qualcomm, Inc. 600 24,042 Motorola, Inc. 890 17,934 Corning, Inc.* 560 13,546 Lucent Technologies, Inc.* 1,610 3,896 Juniper Networks, Inc.* 200 3,198 Tellabs, Inc.* 160 2,130 Avaya, Inc.* 150 1,713 JDS Uniphase Corp.* 610 1,543 Comverse Technology, Inc.* 70 1,384 Ciena Corp.* 220 1,058 ADC Telecommunications, Inc.* 50 843 Andrew Corp.* 60 532 -------------- TOTAL COMMUNICATIONS EQUIPMENT 114,785 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.9% Intel Corp. 2,090 39,605 Texas Instruments, Inc. 560 16,962 Applied Materials, Inc. 560 9,117 Broadcom Corp. -- Class A* 170 5,109 Freescale Semiconductor, Inc. -- Class B* 150 4,410 Analog Devices, Inc. 130 4,178 - -------------------------------------------------------------------------------- 2 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Advanced Micro Devices, Inc.* 170 $ 4,151 Micron Technology, Inc.* 270 4,066 Maxim Integrated Products, Inc. 120 3,853 Linear Technology Corp. 110 3,684 National Semiconductor Corp. 130 3,101 KLA-Tencor Corp. 70 2,910 Nvidia Corp.* 130 2,768 Xilinx, Inc. 120 2,718 Altera Corp.* 130 2,282 LSI Logic Corp.* 140 1,253 Novellus Systems, Inc.* 50 1,235 Teradyne, Inc.* 80 1,114 PMC - Sierra, Inc.* 70 658 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 113,174 -------------- INTERNET SOFTWARE & SERVICES 0.5% Google, Inc. -- Class A* 70 29,353 Yahoo!, Inc.* 450 14,850 eBay, Inc.* 420 12,302 VeriSign, Inc.* 90 2,085 -------------- TOTAL INTERNET SOFTWARE & SERVICES 58,590 -------------- IT CONSULTING & SERVICES 0.3% First Data Corp. 270 12,161 Automatic Data Processing, Inc. 210 9,523 Paychex, Inc. 120 4,678 Electronic Data Systems Corp. 190 4,571 Computer Sciences Corp.* 70 3,391 Fiserv, Inc.* 60 2,722 Affiliated Computer Services, Inc. -- Class A* 40 2,064 Sabre Holdings Corp. 50 1,100 Convergys Corp.* 50 975 Unisys Corp.* 120 754 -------------- TOTAL IT CONSULTING & SERVICES 41,939 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.1% Agilent Technologies, Inc.* 150 4,734 Molex, Inc. 50 1,678 Jabil Circuit, Inc. 60 1,536 Solectron Corp.* 330 1,129 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Symbol Technologies, Inc. 90 $ 971 Tektronix, Inc. 30 883 Sanmina-SCI Corp.* 190 874 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 11,805 -------------- OFFICE ELECTRONICS 0.1% Xerox Corp.* 330 4,590 -------------- TOTAL OFFICE ELECTRONICS 4,590 -------------- TOTAL INFORMATION TECHNOLOGY 613,623 -------------- HEALTH CARE 4.1% PHARMACEUTICALS 2.1% Johnson & Johnson, Inc. 1,060 63,515 Pfizer, Inc. 2,630 61,726 Merck & Co., Inc. 780 28,415 Abbott Laboratories 550 23,985 Eli Lilly & Co. 410 22,661 Wyeth 490 21,761 Bristol-Myers Squibb Co. 710 18,360 Schering-Plough Corp. 530 10,086 Allergan, Inc. 60 6,436 Forest Laboratories, Inc.* 120 4,643 Barr Pharmaceuticals, Inc.* 40 1,908 Mylan Laboratories, Inc. 80 1,600 King Pharmaceuticals, Inc.* 90 1,530 Watson Pharmaceuticals, Inc.* 40 931 -------------- TOTAL PHARMACEUTICALS 267,557 -------------- HEALTH CARE PROVIDERS & SERVICES 0.9% UnitedHealth Group, Inc. 490 21,942 WellPoint, Inc.* 230 16,737 Cardinal Health, Inc. 150 9,649 Aetna, Inc. 210 8,385 Caremark Rx, Inc. 160 7,979 HCA, Inc. 150 6,473 Medco Health Solutions, Inc.* 110 6,301 McKesson Corp. 110 5,201 CIGNA Corp. 40 3,940 Quest Diagnostics, Inc. 60 3,595 Express Scripts, Inc.* 50 3,587 AmerisourceBergen Corp. 80 3,354 Coventry Health Care, Inc.* 60 3,296 Humana, Inc.* 60 3,222 - -------------------------------------------------------------------------------- 3 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Laboratory Corporation of America Holdings* 40 $ 2,489 IMS Health, Inc. 80 2,148 Health Management Associates, Inc. -- Class A 90 1,774 Patterson Cos., Inc.* 50 1,747 Manor Care, Inc. 30 1,408 Tenet Healthcare Corp.* 170 1,187 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 114,414 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.6% Medtronic, Inc. 430 20,175 Baxter International, Inc. 240 8,822 Boston Scientific Corp.* 440 7,410 Becton, Dickinson & Co. 90 5,502 Zimmer Holdings, Inc.* 90 5,105 Stryker Corp. 110 4,632 St. Jude Medical, Inc.* 130 4,215 C.R. Bard, Inc. 50 3,663 Fisher Scientific International, Inc.* 40 2,922 Biomet, Inc. 90 2,816 Hospira, Inc.* 60 2,576 Waters Corp.* 50 2,220 Thermo Electron Corp.* 60 2,174 Millipore Corp.* 20 1,260 PerkinElmer, Inc. 50 1,045 Bausch & Lomb, Inc. 20 981 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 75,518 -------------- BIOTECHNOLOGY 0.5% Amgen, Inc.* 430 28,049 Gilead Sciences, Inc.* 170 10,057 Biogen Idec, Inc.* 120 5,560 Genzyme Corp.* 90 5,494 Medimmune, Inc.* 90 2,439 Applera Corp. - Applied Biosystems Group 70 2,265 -------------- TOTAL BIOTECHNOLOGY 53,864 -------------- TOTAL HEALTH CARE 511,353 -------------- INDUSTRIALS 3.9% INDUSTRIAL CONGLOMERATES 1.4% General Electric Co. 3,740 123,270 MARKET SHARES VALUE - ------------------------------------------------------------------------------- 3M Co. 270 $ 21,808 Tyco International Ltd. 740 20,350 Textron, Inc. 50 4,609 -------------- TOTAL INDUSTRIAL CONGLOMERATES 170,037 -------------- AEROSPACE & DEFENSE 0.8% Boeing Co. 290 23,754 United Technologies Corp. 360 22,831 Honeywell International, Inc. 300 12,090 General Dynamics Corp. 150 9,819 Lockheed Martin Corp. 130 9,326 Northrop Grumman Corp. 120 7,687 Raytheon Co. 160 7,131 Rockwell Collins, Inc. 60 3,352 L-3 Communications Holdings, Inc. 40 3,017 Goodrich Corp. 40 1,612 -------------- TOTAL AEROSPACE & DEFENSE 100,619 -------------- MACHINERY 0.5% Caterpillar, Inc. 240 17,875 Illinois Tool Works, Inc. 150 7,125 Deere & Co. 80 6,679 Danaher Corp. 80 5,146 Ingersoll-Rand Co. -- Class A 120 5,134 Paccar, Inc. 60 4,943 Dover Corp. 80 3,954 Eaton Corp. 50 3,770 ITT Industries, Inc. 70 3,465 Parker Hannifin Corp. 40 3,104 Cummins, Inc. 20 2,445 Pall Corp. 40 1,120 Navistar International Corp.* 20 492 -------------- TOTAL MACHINERY 65,252 -------------- AIR FREIGHT & COURIERS 0.4% United Parcel Service, Inc. -- Class B 390 32,109 FedEx Corp. 110 12,854 -------------- TOTAL AIR FREIGHT & COURIERS 44,963 -------------- ROAD & RAIL 0.3% Burlington Northern Santa Fe Corp. 130 10,302 - -------------------------------------------------------------------------------- 4 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Union Pacific Corp. 100 $ 9,296 Norfolk Southern Corp. 150 7,983 CSX Corp. 90 6,340 Ryder System, Inc. 30 1,753 -------------- TOTAL ROAD & RAIL 35,674 -------------- COMMERCIAL SERVICES & SUPPLIES 0.2% Waste Management, Inc. 200 7,176 Cendant Corp. 360 5,865 Pitney Bowes, Inc. 80 3,304 Robert Half International, Inc. 70 2,940 RR Donnelley & Sons Co. 80 2,556 Avery Dennison Corp. 40 2,322 Monster Worldwide, Inc.* 50 2,133 Cintas Corp. 50 1,988 Equifax, Inc. 50 1,717 Allied Waste Industries, Inc.* 100 1,136 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 31,137 -------------- ELECTRICAL EQUIPMENT 0.2% Emerson Electric Co. 150 12,572 Rockwell Automation, Inc. 70 5,041 Cooper Industries Ltd. -- Class A 40 3,717 American Power Conversion Corp. 60 1,169 -------------- TOTAL ELECTRICAL EQUIPMENT 22,499 -------------- BUILDING PRODUCTS 0.1% Masco Corp. 140 4,150 American Standard Cos., Inc. 70 3,029 -------------- TOTAL BUILDING PRODUCTS 7,179 -------------- AIRLINES 0.0% Southwest Airlines Co. 260 4,256 -------------- TOTAL AIRLINES 4,256 -------------- CONSTRUCTION & ENGINEERING 0.0% Fluor Corp. 30 2,788 -------------- TOTAL CONSTRUCTION & ENGINEERING 2,788 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS 0.0% W.W. Grainger, Inc. 30 $ 2,257 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 2,257 -------------- TOTAL INDUSTRIALS 486,661 -------------- CONSUMER DISCRETIONARY 3.4% MEDIA 1.1% Time Warner, Inc. 1,540 26,642 Comcast Corp. -- Class A* 760 24,882 The Walt Disney Co. 790 23,700 News Corp. -- Class A 850 16,303 Viacom, Inc. - Class B* 270 9,677 CBS Corporation 280 7,574 McGraw-Hill Cos., Inc. 140 7,032 Clear Channel Communications, Inc. 190 5,881 Omnicom Group, Inc. 60 5,345 Gannett Co., Inc. 90 5,034 Univision Communications, Inc. -- Class A* 90 3,015 Tribune Co. 80 2,594 Interpublic Group of Cos., Inc.* 160 1,336 EW Scripps Co. -- Class A 30 1,294 New York Times Co. -- Class A 50 1,227 Meredith Corp. 20 991 Dow Jones & Co., Inc. 20 700 -------------- TOTAL MEDIA 143,227 -------------- SPECIALTY RETAIL 0.7% Home Depot, Inc. 740 26,485 Lowe's Cos., Inc. 280 16,988 Best Buy Co., Inc. 150 8,226 Staples, Inc. 270 6,566 Office Depot, Inc.* 110 4,180 TJX Cos., Inc. 170 3,886 The Gap, Inc. 200 3,480 Limited Brands, Inc. 130 3,327 Bed Bath & Beyond, Inc.* 100 3,317 Sherwin-Williams Co. 40 1,899 AutoZone, Inc.* 20 1,764 Tiffany & Co. 50 1,651 Circuit City Stores, Inc. 60 1,633 OfficeMax, Inc. 30 1,222 AutoNation, Inc.* 50 1,072 - -------------------------------------------------------------------------------- 5 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- RadioShack Corp. 50 $ 700 -------------- TOTAL SPECIALTY RETAIL 86,396 -------------- HOTELS, RESTAURANTS & LEISURE 0.5% McDonald's Corp. 450 15,120 Starbucks Corp.* 280 10,573 Carnival Corp. 160 6,678 Yum! Brands, Inc. 100 5,027 Harrah's Entertainment, Inc. 70 4,983 International Game Technology, Inc. 130 4,932 Starwood Hotels & Resorts Worldwide, Inc. 80 4,827 Marriott International, Inc. -- Class A 120 4,574 Hilton Hotels Corp. 120 3,394 Wendy's International, Inc. 40 2,332 Darden Restaurants, Inc. 50 1,970 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 64,410 -------------- MULTILINE RETAIL 0.4% Target Corp. 320 15,638 Federated Department Stores, Inc. 200 7,320 Kohl's Corp.* 120 7,094 Sears Holdings Corp.* 40 6,194 J.C. Penney Holding Co., Inc. 80 5,401 Nordstrom, Inc. 80 2,920 Dollar General Corp. 120 1,678 Family Dollar Stores, Inc. 60 1,466 Dillard's, Inc. -- Class A 30 955 Big Lots, Inc.* 40 683 -------------- TOTAL MULTILINE RETAIL 49,349 -------------- HOUSEHOLD DURABLES 0.2% Fortune Brands, Inc. 50 3,550 Newell Rubbermaid, Inc. 100 2,583 Harman International Industries, Inc. 30 2,561 Black & Decker Corp. 30 2,534 Whirlpool Corp. 30 2,479 D.R. Horton, Inc. 100 2,382 Pulte Homes, Inc. 80 2,303 Lennar Corp. -- Class A 50 2,219 Centex Corp. 40 2,012 Leggett & Platt, Inc. 70 1,749 Stanley Works 30 1,417 MARKET SHARES VALUE - ------------------------------------------------------------------------------- KB Home 30 $ 1,376 Snap-On, Inc. 20 808 -------------- TOTAL HOUSEHOLD DURABLES 27,973 -------------- AUTOMOBILES 0.1% General Motors Corp. 210 6,256 Harley-Davidson, Inc. 100 5,489 Ford Motor Co. 680 4,712 -------------- TOTAL AUTOMOBILES 16,457 -------------- TEXTILES & APPAREL 0.1% Nike, Inc. -- Class B 70 5,670 Coach, Inc.* 140 4,186 VF Corp. 40 2,717 Liz Claiborne, Inc. 40 1,482 Jones Apparel Group, Inc. 40 1,272 -------------- TOTAL TEXTILES & APPAREL 15,327 -------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Eastman Kodak Co. 110 2,616 Mattel, Inc. 140 2,311 Hasbro, Inc. 70 1,268 Brunswick Corp. 30 997 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 7,192 -------------- AUTO COMPONENTS 0.1% Johnson Controls, Inc. 70 5,756 Goodyear Tire & Rubber Co.* 60 666 Cooper Tire & Rubber Co. 30 334 -------------- TOTAL AUTO COMPONENTS 6,756 -------------- COMMERCIAL SERVICES & SUPPLIES 0.1% H&R Block, Inc. 120 2,863 Apollo Group, Inc. -- Class A* 50 2,584 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 5,447 -------------- INTERNET & CATALOG RETAIL 0.0% Amazon.com, Inc.* 120 4,642 -------------- TOTAL INTERNET & CATALOG RETAIL 4,642 -------------- - -------------------------------------------------------------------------------- 6 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- DISTRIBUTORS 0.0% Genuine Parts Co. 70 $ 2,916 -------------- TOTAL DISTRIBUTORS 2,916 -------------- TOTAL CONSUMER DISCRETIONARY 430,092 -------------- ENERGY 3.4% OIL & GAS 2.7% Exxon Mobil Corp. 2,170 133,129 Chevron Corp. 800 49,648 ConocoPhillips 600 39,318 Occidental Petroleum Corp. 160 16,408 Valero Energy Corp. 220 14,634 Marathon Oil Corp. 140 11,662 Devon Energy Corp. 160 9,666 Apache Corp. 120 8,190 Anadarko Petroleum Corp. 170 8,107 EOG Resources, Inc. 90 6,241 XTO Energy, Inc. 130 5,755 Kerr-McGee Corp. 80 5,548 Williams Cos., Inc. 210 4,906 Hess Corp. 90 4,756 Chesapeake Energy Corp. 150 4,537 Kinder Morgan, Inc. 40 3,996 El Paso Corp. 250 3,750 Sunoco, Inc. 50 3,465 Murphy Oil Corp. 60 3,352 Consol Energy, Inc. 70 3,270 -------------- TOTAL OIL & GAS 340,338 -------------- ENERGY EQUIPMENT & SERVICES 0.7% Schlumberger Ltd. 430 27,997 Halliburton Co. 190 14,100 Baker Hughes, Inc. 120 9,822 Transocean, Inc.* 120 9,638 Weatherford International Ltd.* 130 6,451 BJ Services Co. 120 4,471 National-Oilwell Varco, Inc.* 70 4,432 Noble Corp. 50 3,721 Nabors Industries Ltd.* 110 3,717 Rowan Cos., Inc. 40 1,424 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 85,773 -------------- TOTAL ENERGY 426,111 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CONSUMER STAPLES 3.2% FOOD & DRUG RETAILING 0.8% Wal-Mart Stores, Inc. 900 $ 43,353 Walgreen Co. 360 16,143 Costco Wholesale Corp. 180 10,283 CVS Corp. 290 8,903 Sysco Corp. 220 6,723 Kroger Co. 270 5,902 Safeway, Inc. 160 4,160 Whole Foods Market, Inc. 50 3,232 Supervalu, Inc. 70 2,149 -------------- TOTAL FOOD & DRUG RETAILING 100,848 -------------- HOUSEHOLD PRODUCTS 0.7% Procter & Gamble Co. 1,180 65,608 Colgate-Palmolive Co. 180 10,782 Kimberly-Clark Corp. 160 9,872 Clorox Co. 60 3,658 -------------- TOTAL HOUSEHOLD PRODUCTS 89,920 -------------- BEVERAGES 0.7% PepsiCo, Inc. 590 35,424 Coca-Cola Co. 740 31,835 Anheuser-Busch Cos., Inc. 280 12,765 Brown-Forman Corp. -- Class B 40 2,858 Coca-Cola Enterprises, Inc. 110 2,241 Constellation Brands, Inc. -- Class A* 70 1,750 Pepsi Bottling Group, Inc. 50 1,607 Molson Coors Brewing Co. -- Class B 20 1,358 -------------- TOTAL BEVERAGES 89,838 -------------- TOBACCO 0.5% Altria Group, Inc. 750 55,073 Reynolds American, Inc. 40 4,612 UST, Inc. 60 2,711 -------------- TOTAL TOBACCO 62,396 -------------- FOOD PRODUCTS 0.4% Archer-Daniels-Midland Co. 240 9,907 General Mills, Inc. 130 6,716 H.J. Heinz Co. 130 5,359 Kellogg Co. 90 4,359 - -------------------------------------------------------------------------------- 7 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Sara Lee Corp. 270 $ 4,325 ConAgra Foods, Inc. 190 4,201 WM Wrigley Jr Co. 90 4,082 Hershey Co. 60 3,304 Campbell Soup Co. 70 2,598 Dean Foods Co.* 50 1,859 McCormick & Co., Inc. 50 1,678 Tyson Foods, Inc. -- Class A 90 1,337 -------------- TOTAL FOOD PRODUCTS 49,725 -------------- PERSONAL PRODUCTS 0.1% Avon Products, Inc. 160 4,960 Estee Lauder Cos., Inc. -- Class A 40 1,547 Alberto-Culver Co. -- Class B 30 1,461 -------------- TOTAL PERSONAL PRODUCTS 7,968 -------------- TOTAL CONSUMER STAPLES 400,695 -------------- UTILITIES 1.1% ELECTRIC UTILITIES 0.6% Exelon Corp. 240 13,639 TXU Corp. 170 10,164 Southern Co. 270 8,654 FirstEnergy Corp. 120 6,505 FPL Group, Inc. 150 6,207 Entergy Corp. 80 5,660 American Electric Power Co., Inc. 140 4,795 Edison International 120 4,680 PPL Corp. 140 4,522 Progress Energy, Inc. 90 3,858 Allegheny Energy, Inc.* 60 2,224 Pinnacle West Capital Corp. 40 1,597 -------------- TOTAL ELECTRIC UTILITIES 72,505 -------------- MULTI-UTILITIES 0.5% Duke Energy Corp. 440 12,923 Dominion Resources, Inc./VA 120 8,975 Public Service Enterprise Group, Inc. 90 5,951 PG&E Corp. 130 5,106 AES Corp.* 240 4,428 Sempra Energy 90 4,093 Ameren Corp. 80 4,040 Consolidated Edison, Inc. 90 4,000 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Constellation Energy Group, Inc. 70 $ 3,816 Xcel Energy, Inc. 150 2,877 DTE Energy Co. 70 2,852 KeySpan Corp. 70 2,828 NiSource, Inc. 100 2,184 CenterPoint Energy, Inc. 110 1,375 TECO Energy, Inc. 70 1,046 CMS Energy Corp.* 80 1,035 Dynegy, Inc. -- Class A* 130 711 -------------- TOTAL MULTI-UTILITIES 68,240 -------------- GAS UTILITIES 0.0% Nicor, Inc. 20 830 Peoples Energy Corp. 20 718 -------------- TOTAL GAS UTILITIES 1,548 -------------- TOTAL UTILITIES 142,293 -------------- TELECOMMUNICATION SERVICES 1.1% DIVERSIFIED TELECOMMUNICATION SERVICES 0.9% AT&T, Inc. 1,400 39,046 Verizon Communications, Inc. 1,050 35,165 BellSouth Corp. 650 23,530 Qwest Communications International, Inc.* 560 4,530 Embarq Corp.* 60 2,459 Citizens Communications Co. 120 1,566 CenturyTel, Inc. 40 1,486 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 107,782 -------------- WIRELESS TELECOMMUNICATION SERVICES 0.2% Sprint Nextel Corp. 1,070 21,390 Alltel Corp. 140 8,936 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 30,326 -------------- TOTAL TELECOMMUNICATION SERVICES 138,108 -------------- - -------------------------------------------------------------------------------- 8 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MATERIALS 1.0% CHEMICALS 0.5% E.I. du Pont de Nemours and Co. 330 $ 13,728 Dow Chemical Co. 350 13,660 Monsanto Co. 100 8,419 Praxair, Inc. 120 6,480 Air Products & Chemicals, Inc. 80 5,114 PPG Industries, Inc. 60 3,960 Ecolab, Inc. 70 2,841 Rohm & Haas Co. 50 2,506 Sigma-Aldrich Corp. 30 2,179 Eastman Chemical Co. 40 2,160 Ashland, Inc. 30 2,001 International Flavors & Fragrances, Inc. 30 1,057 Hercules, Inc.* 40 610 -------------- TOTAL CHEMICALS 64,715 -------------- METALS & MINING 0.3% Alcoa, Inc. 310 10,031 Newmont Mining Corp. 170 8,998 Phelps Dodge Corp. 80 6,573 Nucor Corp. 120 6,510 Freeport-McMoRan Copper & Gold, Inc. -- Class B 70 3,879 United States Steel Corp. 40 2,805 Allegheny Technologies, Inc. 40 2,770 -------------- TOTAL METALS & MINING 41,566 -------------- PAPER & FOREST PRODUCTS 0.1% International Paper Co. 180 5,814 Weyerhaeuser Co. 90 5,603 MeadWestvaco Corp. 70 1,955 Louisiana-Pacific Corp. 40 876 -------------- TOTAL PAPER & FOREST PRODUCTS 14,248 -------------- CONTAINERS & PACKAGING 0.1% Temple-Inland, Inc. 40 1,715 Sealed Air Corp. 30 1,562 Ball Corp. 40 1,482 Pactiv Corp.* 50 1,237 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Bemis Co. 40 $ 1,225 -------------- TOTAL CONTAINERS & PACKAGING 7,221 -------------- CONSTRUCTION MATERIALS 0.0% Vulcan Materials Co. 40 3,120 -------------- TOTAL CONSTRUCTION MATERIALS 3,120 -------------- TOTAL MATERIALS 130,870 -------------- TOTAL COMMON STOCKS (Cost $4,172,381) 4,173,655 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 3.1% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 40,192 40,192 Credit Suisse at 4.55% due 07/03/06+ 72,737 72,737 Lehman Brothers, Inc. at 4.45% due 07/03/06 38 38 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 128,343 128,343 Morgan Stanley at 4.40% due 07/03/06 72,728 72,728 Citigroup, Inc. at 4.10% due 07/03/06 74,867 74,867 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $388,904) 388,905 -------------- TOTAL INVESTMENTS 36.3% (Cost $4,561,285) $ 4,562,560 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 63.7% $ 8,015,420 -------------- NET ASSETS - 100.0% $ 12,577,980 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,919,625) 30 $ 41,826 - -------------------------------------------------------------------------------- 9 S&P 500 FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- UNREALIZED UNITS GAIN - ------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS September 2006 S&P 500 Index Swap, Maturing 09/14/06** (Notional Market Value $5,702,552) 4,489 $ 5,552 September 2006 S&P 500 Swap, Maturing 09/28/06** (Notional Market Value $741,500) 584 14,075 (TOTAL NOTIONAL MARKET VALUE $6,444,052) $ 19,627 -------------- * Non-Income Producing Security. ** Price Return based on S&P 500 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 10 INVERSE S&P 500 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 84.0% Farmer Mac* 5.25% due 09/29/06 $ 50,000,000 $ 49,358,333 Federal Farm Credit Bank* 4.74% due 09/14/06 25,000,000 24,759,708 Federal Home Loan Bank* 5.20% due 09/15/06 100,000,000 98,931,111 4.76% due 07/05/06 50,000,000 49,986,778 5.20% due 09/20/06 50,000,000 49,429,445 Freddie Mac* 5.00% due 08/29/06 50,000,000 49,604,167 4.86% due 09/19/06 50,000,000 49,473,500 5.20% due 09/19/06 50,000,000 49,436,666 5.00% due 10/10/06 50,000,000 49,313,188 5.00% due 11/14/06 50,000,000 49,069,444 -------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $519,362,340) 519,362,340 -------------- REPURCHASE AGREEMENTS 19.7% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 7,469,179 7,469,179 Credit Suisse at 4.55% due 07/03/06+ 17,453,821 17,453,821 Lehman Brothers, Inc. at 4.45% due 07/03/06+ 45,414,058 45,414,058 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 23,851,185 23,851,185 Morgan Stanley at 4.40% due 07/03/06 13,515,671 13,515,671 Citigroup, Inc. at 4.10% due 07/03/06 13,913,191 13,913,191 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $121,617,105) 121,617,105 -------------- TOTAL INVESTMENTS 103.7% (Cost $640,979,445) $ 640,979,445 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (3.7)% $ (22,834,205) -------------- NET ASSETS - 100.0% $ 618,145,240 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS LOSS - ------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT September 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $124,519,675) 1,946 $ (1,990,934) UNREALIZED UNITS LOSS - ------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENT SOLD SHORT September 2006 S&P 500 Index Swap, Maturing 09/14/06** (Notional Market Value $348,160,926) 274,099 $ (10,869,578) September 2006 S&P 500 Index Swap, Maturing 09/28/06** (Notional Market Value $146,478,187) 115,319 (2,774,059) -------------- (TOTAL NOTIONAL MARKET VALUE $494,639,113) $ (13,643,637) -------------- * The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. ** Price Return based on S&P 500 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 OTC FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 97.2% INFORMATION TECHNOLOGY 59.1% SOFTWARE 16.3% Microsoft Corp. 1,843,280 $ 42,948,424 Oracle Corp.*+ 962,027 13,939,771 Electronic Arts, Inc.*+ 311,180 13,393,187 Adobe Systems, Inc.*+ 313,520 9,518,467 Symantec Corp.*+ 386,830 6,011,338 Check Point Software Technologies Ltd.*+ 281,804 4,954,115 Intuit, Inc.* 80,380 4,854,148 Autodesk, Inc.* 132,630 4,570,430 Citrix Systems, Inc.* 113,632 4,561,189 BEA Systems, Inc.*+ 251,000 3,285,590 Red Hat, Inc.*+ 113,368 2,652,811 -------------- TOTAL SOFTWARE 110,689,470 -------------- COMMUNICATIONS EQUIPMENT 11.4% Qualcomm, Inc. 990,030 39,670,502 Cisco Systems, Inc.*+ 1,371,296 26,781,411 Tellabs, Inc.*+ 216,289 2,878,806 Juniper Networks, Inc.*+ 146,500 2,342,535 JDS Uniphase Corp.*+ 887,589 2,245,600 Telefonaktiebolaget LM Ericsson -- SP ADR+ 54,970 1,816,209 Research In Motion, Ltd.*+ 15,210 1,061,202 Comverse Technology, Inc.* 44,830 886,289 -------------- TOTAL COMMUNICATIONS EQUIPMENT 77,682,554 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 11.2% Intel Corp.+ 985,540 18,675,983 Altera Corp.*+ 506,624 8,891,251 Applied Materials, Inc. 497,030 8,091,648 Broadcom Corp. -- Class A*+ 223,253 6,708,753 Marvell Technology Group Ltd.* 145,707 6,459,191 Lam Research Corp.* 123,359 5,750,997 Xilinx, Inc.+ 213,090 4,826,488 Nvidia Corp.* 210,816 4,488,273 Maxim Integrated Products, Inc. 116,220 3,731,824 Novellus Systems, Inc.*+ 127,570 3,150,979 Microchip Technology, Inc.+ 89,981 3,018,863 MARKET SHARES VALUE - ------------------------------------------------------------------------------- KLA-Tencor Corp.+ 65,040 $ 2,703,713 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 76,497,963 -------------- COMPUTERS & PERIPHERALS 8.6% Apple Computer, Inc.* 602,640 34,422,797 Dell, Inc.*+ 405,220 9,891,420 Network Appliance, Inc.*+ 203,090 7,169,077 SanDisk Corp.*+ 96,710 4,930,276 Sun Microsystems, Inc.* 479,110 1,988,306 -------------- TOTAL COMPUTERS & PERIPHERALS 58,401,876 -------------- INTERNET SOFTWARE & SERVICES 7.4% Google, Inc. -- Class A*+ 64,930 27,227,097 eBay, Inc.*+ 415,880 12,181,125 Yahoo!, Inc.*+ 188,970 6,236,010 Akamai Technologies, Inc.*+ 110,230 3,989,224 VeriSign, Inc.*+ 30,190 699,502 -------------- TOTAL INTERNET SOFTWARE & SERVICES 50,332,958 -------------- IT CONSULTING & SERVICES 3.4% Fiserv, Inc.* 299,728 13,595,662 Paychex, Inc.+ 190,364 7,420,389 CheckFree Corp.*+ 45,198 2,240,013 -------------- TOTAL IT CONSULTING & SERVICES 23,256,064 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.8% CDW Corp.+ 104,080 5,687,972 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 5,687,972 -------------- TOTAL INFORMATION TECHNOLOGY 402,548,857 -------------- CONSUMER DISCRETIONARY 16.2% MEDIA 5.0% EchoStar Communications Corp.*+ 300,586 9,261,055 Comcast Corp. -- Class A*+ 278,010 9,102,047 Sirius Satellite Radio, Inc.*+ 1,293,226 6,142,824 NTL, Inc.+ 197,650 4,921,485 Lamar Advertising Co. -- Class A*+ 77,136 4,154,545 - -------------------------------------------------------------------------------- 1 OTC FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Liberty Global, Inc. -- Class A* 34,864 $ 749,576 -------------- TOTAL MEDIA 34,331,532 -------------- HOTELS, RESTAURANTS & LEISURE 3.5% Starbucks Corp.*+ 509,230 19,228,525 Wynn Resorts Ltd.*+ 59,661 4,373,151 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 23,601,676 -------------- SPECIALTY RETAIL 2.6% Staples, Inc.+ 334,885 8,144,403 Bed Bath & Beyond, Inc.* 151,280 5,017,957 Ross Stores, Inc.+ 86,200 2,417,910 Urban Outfitters, Inc.*+ 75,140 1,314,199 Petsmart, Inc.+ 31,270 800,512 -------------- TOTAL SPECIALTY RETAIL 17,694,981 -------------- MULTILINE RETAIL 1.9% Sears Holdings Corp.*+ 84,615 13,101,787 -------------- TOTAL MULTILINE RETAIL 13,101,787 -------------- INTERNET & CATALOG RETAIL 1.7% IAC/InterActiveCorp*+ 351,590 9,313,619 Amazon.com, Inc.*+ 56,510 2,185,807 Expedia, Inc.* 15,640 234,131 -------------- TOTAL INTERNET & CATALOG RETAIL 11,733,557 -------------- HOUSEHOLD DURABLES 0.8% Garmin Ltd.+ 52,610 5,547,198 -------------- TOTAL HOUSEHOLD DURABLES 5,547,198 -------------- COMMERCIAL SERVICES & SUPPLIES 0.7% Apollo Group, Inc. -- Class A*+ 86,000 4,443,620 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 4,443,620 -------------- TOTAL CONSUMER DISCRETIONARY 110,454,351 -------------- HEALTH CARE 13.9% BIOTECHNOLOGY 9.4% Amgen, Inc.*+ 316,022 20,614,115 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Gilead Sciences, Inc.*+ 241,500 $ 14,287,140 Genzyme Corp.*+ 139,020 8,487,171 Celgene Corp.*+ 178,381 8,460,611 Biogen Idec, Inc.*+ 166,410 7,709,775 Amylin Pharmaceuticals, Inc.*+ 60,210 2,972,568 Medimmune, Inc.*+ 50,480 1,368,008 -------------- TOTAL BIOTECHNOLOGY 63,899,388 -------------- PHARMACEUTICALS 1.9% Teva Pharmaceutical Industries Ltd. -- SP ADR+ 311,160 9,829,544 Sepracor, Inc.*+ 50,203 2,868,599 -------------- TOTAL PHARMACEUTICALS 12,698,143 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.3% Biomet, Inc.+ 170,586 5,337,636 Intuitive Surgical, Inc.*+ 16,800 1,981,896 DENTSPLY International, Inc. 29,800 1,805,880 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 9,125,412 -------------- HEALTH CARE PROVIDERS & SERVICES 1.3% Express Scripts, Inc.* 63,457 4,552,405 Patterson Cos., Inc.*+ 71,130 2,484,571 Lincare Holdings, Inc.* 39,795 1,505,843 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 8,542,819 -------------- TOTAL HEALTH CARE 94,265,762 -------------- INDUSTRIALS 4.8% MACHINERY 1.6% Paccar, Inc.+ 93,083 7,668,178 Joy Global, Inc.+ 57,100 2,974,339 -------------- TOTAL MACHINERY 10,642,517 -------------- AIR FREIGHT & COURIERS 1.5% Expeditors International Washington, Inc. 104,536 5,855,061 - -------------------------------------------------------------------------------- 2 OTC FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CH Robinson Worldwide, Inc.+ 82,373 $ 4,390,481 -------------- TOTAL AIR FREIGHT & COURIERS 10,245,542 -------------- COMMERCIAL SERVICES & SUPPLIES 1.0% Cintas Corp.+ 97,065 3,859,304 Monster Worldwide, Inc.*+ 66,566 2,839,706 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 6,699,010 -------------- TRADING COMPANIES & DISTRIBUTORS 0.4% Fastenal Co.+ 72,980 2,940,364 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 2,940,364 -------------- ELECTRICAL EQUIPMENT 0.3% American Power Conversion Corp.+ 99,271 1,934,792 -------------- TOTAL ELECTRICAL EQUIPMENT 1,934,792 -------------- TOTAL INDUSTRIALS 32,462,225 -------------- CONSUMER STAPLES 1.7% FOOD & DRUG RETAILING 1.7% Costco Wholesale Corp. 125,940 7,194,952 Whole Foods Market, Inc.+ 63,598 4,110,975 -------------- TOTAL FOOD & DRUG RETAILING 11,305,927 -------------- TOTAL CONSUMER STAPLES 11,305,927 -------------- TELECOMMUNICATION SERVICES 0.9% WIRELESS TELECOMMUNICATION SERVICES 0.9% NII Holdings, Inc. -- Class B*+ 71,292 4,019,443 Millicom International Cellular SA*+ 47,200 2,144,296 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 6,163,739 -------------- TOTAL TELECOMMUNICATION SERVICES 6,163,739 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- ENERGY 0.3% ENERGY EQUIPMENT & SERVICES 0.3% Patterson-UTI Energy, Inc.+ 79,939 $ 2,263,073 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 2,263,073 -------------- TOTAL ENERGY 2,263,073 -------------- MATERIALS 0.3% CHEMICALS 0.3% Sigma-Aldrich Corp.+ 26,866 1,951,546 -------------- TOTAL CHEMICALS 1,951,546 -------------- TOTAL MATERIALS 1,951,546 -------------- TOTAL COMMON STOCKS (Cost $415,837,692) 661,415,480 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 491,245 491,245 Credit Suisse at 4.55% due 07/03/06+ 114,864 114,864 Lehman Brothers, Inc. at 4.45% due 07/03/06 470 470 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 1,568,684 1,568,684 Morgan Stanley at 4.40% due 07/03/06 888,921 88,921 Citigroup, Inc. at 4.10% due 07/03/06 915,066 915,066 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $3,979,250) 3,979,250 - -------------------------------------------------------------------------------- 3 OTC FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 36.0% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp $245,342,151 $ 245,342,151 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $245,342,151) 245,342,151 -------------- TOTAL INVESTMENTS 133.8% (Cost $665,159,093) $ 910,736,881 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (33.8)% $ (230,100,015) -------------- NET ASSETS - 100.0% $ 680,636,866 UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 Nasdaq 100 Index Mini Futures Contracts (Aggregate Market Value of Contracts 8,768,375 ) 275 $ 55,762 -------------- UNITS - -------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS September 2006 Nasdaq 100 Index Swap, Maturing 09/26/06** (Notional Market Value $9,776,249) 6,206 $ 27,604 September 2006 Nasdaq 100 Index Swap, Maturing 9/14/06** (Notional Market Value $707,977) 449 1,618 (TOTAL NOTIONAL MARKET VALUE $10,484,226) $ 29,222 -------------- * Non-Income Producing Security. ** Price Return based on Nasdaq 100 Index +/- financing at a variable rate. + All or a portion of this security is on loan at June 30, 2006. ++ All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 4 INVERSE OTC MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 107.1% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 24,985,193 $ 24,985,193 Credit Suisse at 4.55% due 07/03/06+ 10,959,348 10,959,348 Lehman Brothers, Inc. at 4.45% due 07/03/06+ 19,517,148 19,517,148 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 79,784,741 79,784,741 Morgan Stanley at 4.40% due 07/03/06 45,211,352 45,211,352 Citigroup, Inc. at 4.10% due 07/03/06 46,541,098 46,541,098 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $226,998,880) 226,998,880 -------------- TOTAL INVESTMENTS 107.1% (Cost $226,998,880) $ 226,998,880 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (7.1)% $ (15,026,312) -------------- NET ASSETS - 100.0% $ 211,972,568 -------------- UNREALIZED CONTRACTS LOSS - ------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT September 2006 Nasdaq 100 Index Mini Futures Contracts (Aggregate Market Value of Contracts $27,580,525) 865 $ (805,005) -------------- UNITS ------------ EQUITY INDEX SWAP AGREEMENT SOLD SHORT September 2006 Nasdaq 100 Index Swap, Maturing 09/14/06* (Notional Market Value $112,147,988) 71,195 $ (3,482,367) September 2006 Nasdaq 100 Index Swap, Maturing 09/28/06* (Notional Market Value $74,919,728) 47,561 (1,935,081) (TOTAL NOTIONAL MARKET VALUE $187,067,716) $ (5,417,448) -------------- * Price Return based on Nasdaq 100 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 MID-CAP ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 91.9% FINANCIALS 15.8% INSURANCE 4.7% W.R. Berkley Corp. 20,165 $ 688,231 HCC Insurance Holdings, Inc.+ 17,940 528,154 Old Republic International Corp. 24,205 517,261 American Financial Group, Inc./OH 10,720 459,888 Protective Life Corp. 9,040 421,445 Horace Mann Educators Corp.+ 21,760 368,832 Stancorp Financial Group, Inc. 6,560 333,970 Fidelity National Financial, Inc. 2,460 95,817 Everest Re Group Ltd. 190 16,448 -------------- TOTAL INSURANCE 3,430,046 -------------- REAL ESTATE 3.9% Macerich Co. 9,210 646,542 AMB Property Corp. 12,090 611,150 Rayonier, Inc.+ 13,440 509,510 Potlatch Corp. 11,160 421,290 Liberty Property Trust+ 7,895 348,959 Highwoods Properties, Inc. 7,600 274,968 Developers Diversified Realty Corp. 136 7,096 -------------- TOTAL REAL ESTATE 2,819,515 -------------- BANKS 2.6% Wilmington Trust Corp.+ 11,960 504,473 Cullen/Frost Bankers, Inc. 8,790 503,667 Bank of Hawaii Corp. 9,750 483,600 Mercantile Bankshares Corp. 11,700 417,339 -------------- TOTAL BANKS 1,909,079 -------------- THRIFTS & MORTGAGE FINANCE 2.1% Radian Group, Inc.+ 10,630 656,721 PMI Group, Inc.+ 12,920 575,974 Astoria Financial Corp.+ 8,020 244,209 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Webster Financial Corp.+ 1,390 $ 65,942 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,542,846 -------------- CAPITAL MARKETS 1.8% Raymond James Financial, Inc. 11,030 333,878 Jefferies Group, Inc.+ 10,060 298,078 Investors Financial Services Corp.+ 6,490 291,401 SEI Investments Co. 5,120 250,266 A.G. Edwards, Inc. 1,470 81,320 Eaton Vance Corp. 1,500 37,440 -------------- TOTAL CAPITAL MARKETS 1,292,383 -------------- DIVERSIFIED FINANCIALS 0.4% Leucadia National Corp. 10,010 292,192 -------------- TOTAL DIVERSIFIED FINANCIALS 292,192 -------------- CONSUMER FINANCE 0.3% AmeriCredit Corp.*+ 7,870 219,730 -------------- TOTAL CONSUMER FINANCE 219,730 -------------- TOTAL FINANCIALS 11,505,791 -------------- INDUSTRIALS 15.0% MACHINERY 3.9% Joy Global, Inc.+ 13,690 713,112 Crane Co.+ 11,430 475,488 Timken Co. 13,720 459,757 Nordson Corp. 9,090 447,046 Trinity Industries, Inc.+ 10,770 435,108 Federal Signal Corp.+ 9,710 147,010 AGCO Corp.*+ 4,320 113,703 Oshkosh Truck Corp. 1,720 81,734 -------------- TOTAL MACHINERY 2,872,958 -------------- COMMERCIAL SERVICES & SUPPLIES 3.5% Republic Services, Inc. 11,920 480,853 Adesa, Inc. 20,340 452,361 Manpower, Inc. 6,880 444,448 Korn/Ferry International, Inc.*+ 19,100 374,169 Herman Miller, Inc. 13,740 354,080 Deluxe Corp. 13,340 233,183 - -------------------------------------------------------------------------------- 1 MID-CAP ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Banta Corp. 4,230 $ 195,976 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 2,535,070 -------------- AIR FREIGHT & COURIERS 1.8% CH Robinson Worldwide, Inc.+ 15,760 840,008 Expeditors International Washington, Inc. 8,290 464,323 -------------- TOTAL AIR FREIGHT & COURIERS 1,304,331 -------------- ELECTRICAL EQUIPMENT 1.1% Roper Industries, Inc.+ 8,320 388,960 Hubbell, Inc. -- Class B 3,340 159,151 Thomas & Betts Corp.* 2,970 152,361 AMETEK, Inc. 1,910 90,496 -------------- TOTAL ELECTRICAL EQUIPMENT 790,968 -------------- AEROSPACE & DEFENSE 1.1% Precision Castparts Corp. 8,090 483,459 DRS Technologies, Inc.+ 3,140 153,075 Alliant Techsystems, Inc.*+ 1,815 138,575 -------------- TOTAL AEROSPACE & DEFENSE 775,109 -------------- TRADING COMPANIES & DISTRIBUTORS 1.0% MSC Industrial Direct Co. -- Class A 8,380 398,637 United Rentals, Inc.*+ 6,840 218,743 Fastenal Co.+ 3,170 127,719 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 745,099 -------------- ROAD & RAIL 0.9% Con-way, Inc. 7,770 450,116 J.B. Hunt Transport Services, Inc.+ 6,930 172,626 -------------- TOTAL ROAD & RAIL 622,742 -------------- CONSTRUCTION & ENGINEERING 0.7% Granite Construction, Inc.+ 7,420 335,904 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Jacobs Engineering Group, Inc.*+ 2,160 $ 172,022 -------------- TOTAL CONSTRUCTION & ENGINEERING 507,926 -------------- AIRLINES 0.4% AirTran Holdings, Inc.*+ 17,940 266,588 Alaska Air Group, Inc.*+ 1,030 40,603 -------------- TOTAL AIRLINES 307,191 -------------- INDUSTRIAL CONGLOMERATES 0.4% Teleflex, Inc. 5,340 288,467 -------------- TOTAL INDUSTRIAL CONGLOMERATES 288,467 -------------- MARINE 0.2% Alexander & Baldwin, Inc.+ 2,680 118,643 -------------- TOTAL MARINE 118,643 -------------- TOTAL INDUSTRIALS 10,868,504 -------------- INFORMATION TECHNOLOGY 14.9% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.7% Lam Research Corp.*+ 15,900 741,258 Intersil Corp. -- Class A 20,860 484,995 MEMC Electronic Materials, Inc.*+ 12,370 463,875 Cree, Inc.*+ 18,550 440,748 Silicon Laboratories, Inc.* 4,450 156,418 Micrel, Inc.*+ 12,260 122,723 Microchip Technology, Inc.+ 3,350 112,393 Atmel Corp.*+ 16,300 90,465 Cabot Microelectronics Corp.* 1,640 49,708 Credence Systems Corp.*+ 6,140 21,490 Cypress Semiconductor Corp.* 1,210 17,593 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,701,666 -------------- IT CONSULTING & SERVICES 3.5% DST Systems, Inc.*+ 9,560 568,820 Acxiom Corp. 18,830 470,750 CSG Systems International, Inc.* 17,370 429,734 - -------------------------------------------------------------------------------- 2 MID-CAP ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MPS Group, Inc.* 28,080 $ 422,885 CheckFree Corp.*+ 5,832 289,034 Cognizant Technology Solutions Corp. -- Class A*+ 2,920 196,720 Ceridian Corp.*+ 3,280 80,163 BISYS Group, Inc.* 4,560 62,472 -------------- TOTAL IT CONSULTING & SERVICES 2,520,578 -------------- SOFTWARE 2.7% RSA Security, Inc.* 23,568 640,814 Fair Isaac Corp. 12,770 463,679 Sybase, Inc.*+ 22,020 427,188 Advent Software, Inc.*+ 6,880 248,161 Reynolds & Reynolds Co. -- Class A 3,830 117,466 McAfee, Inc.*+ 3,770 91,498 -------------- TOTAL SOFTWARE 1,988,806 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.3% Ingram Micro, Inc. -- Class A*+ 26,830 486,428 Tech Data Corp.*+ 10,430 399,573 Arrow Electronics, Inc.* 11,140 358,708 Plexus Corp.*+ 10,460 357,837 Vishay Intertechnology, Inc.*+ 3,770 59,302 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,661,848 -------------- COMMUNICATIONS EQUIPMENT 1.7% Polycom, Inc.*+ 16,090 352,693 Plantronics, Inc.+ 15,640 347,364 Harris Corp.+ 5,040 209,210 F5 Networks, Inc.* 3,590 191,993 Avocent Corp.*+ 5,210 136,763 -------------- TOTAL COMMUNICATIONS EQUIPMENT 1,238,023 -------------- COMPUTERS & PERIPHERALS 0.8% Western Digital Corp.* 27,110 537,049 Imation Corp. 620 25,451 -------------- TOTAL COMPUTERS & PERIPHERALS 562,500 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- OFFICE ELECTRONICS 0.2% Zebra Technologies Corp. -- Class A* 4,280 $ 146,205 -------------- TOTAL OFFICE ELECTRONICS 146,205 -------------- TOTAL INFORMATION TECHNOLOGY 10,819,626 -------------- CONSUMER DISCRETIONARY 13.3% SPECIALTY RETAIL 5.5% Abercrombie & Fitch Co. -- Class A 11,170 619,153 Williams-Sonoma, Inc.+ 16,290 554,674 GameStop Corp. -- Class A*+ 11,250 472,500 Aeropostale, Inc.*+ 16,130 465,996 Claire's Stores, Inc. 17,835 454,971 Barnes & Noble, Inc.+ 11,960 436,540 Pacific Sunwear of California, Inc.*+ 20,840 373,661 AnnTaylor Stores Corp.*+ 6,720 291,514 Rent-A-Center, Inc.* 11,220 278,929 Chico's FAS, Inc.* 1,830 49,373 -------------- TOTAL SPECIALTY RETAIL 3,997,311 -------------- HOTELS, RESTAURANTS & LEISURE 1.9% GTECH Holdings Corp.+ 15,190 528,308 Brinker International, Inc.+ 14,470 525,261 Ruby Tuesday, Inc.+ 13,500 329,535 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,383,104 -------------- HOUSEHOLD DURABLES 1.5% Mohawk Industries, Inc.*+ 5,850 411,547 Ryland Group, Inc.+ 7,880 343,332 Furniture Brands International, Inc.+ 14,900 310,516 -------------- TOTAL HOUSEHOLD DURABLES 1,065,395 -------------- MEDIA 1.4% Lee Enterprises, Inc. 14,750 397,513 Scholastic Corp.* 15,110 392,407 Entercom Communications Corp.+ 4,840 126,614 - -------------------------------------------------------------------------------- 3 MID-CAP ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Harte-Hanks, Inc. 3,230 $ 82,817 -------------- TOTAL MEDIA 999,351 -------------- COMMERCIAL SERVICES & SUPPLIES 1.1% Career Education Corp.*+ 16,530 494,082 ITT Educational Services, Inc.*+ 4,508 296,671 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 790,753 -------------- AUTO COMPONENTS 0.8% ArvinMeritor, Inc.+ 24,130 414,795 Modine Manufacturing Co. 4,700 109,792 BorgWarner, Inc.+ 1,260 82,026 -------------- TOTAL AUTO COMPONENTS 606,613 -------------- MULTILINE RETAIL 0.5% Dollar Tree Stores, Inc.*+ 13,090 346,885 -------------- TOTAL MULTILINE RETAIL 346,885 -------------- TEXTILES & APPAREL 0.4% Polo Ralph Lauren Corp.+ 4,810 264,069 Timberland Co. -- Class A* 1,110 28,971 -------------- TOTAL TEXTILES & APPAREL 293,040 -------------- AUTOMOBILES 0.1% Thor Industries, Inc.+ 2,100 101,745 -------------- TOTAL AUTOMOBILES 101,745 -------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Callaway Golf Co.+ 4,000 51,960 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 51,960 -------------- TOTAL CONSUMER DISCRETIONARY 9,636,157 -------------- ENERGY 9.6% OIL & GAS 5.5% Peabody Energy Corp.+ 17,800 992,350 Noble Energy, Inc.+ 18,500 866,910 Southwestern Energy Co.* 20,780 647,505 Western Gas Resources, Inc.+ 10,080 603,288 Pogo Producing Co.+ 10,650 490,965 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Denbury Resources, Inc.*+ 8,970 $ 284,080 Arch Coal, Inc.+ 1,680 71,182 Quicksilver Resources, Inc.*+ 950 34,969 Newfield Exploration Co.*+ 80 3,915 -------------- TOTAL OIL & GAS 3,995,164 -------------- ENERGY EQUIPMENT & SERVICES 4.1% Grant Prideco, Inc.* 15,200 680,200 Patterson-UTI Energy, Inc.+ 21,620 612,062 Tidewater, Inc.+ 10,420 512,664 Helmerich & Payne, Inc. 7,900 476,054 ENSCO International, Inc.+ 4,450 204,789 Smith International, Inc.+ 4,510 200,560 Cameron International Corp.*+ 3,490 166,717 Pride International, Inc.*+ 3,380 105,558 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 2,958,604 -------------- TOTAL ENERGY 6,953,768 -------------- HEALTH CARE 9.3% HEALTH CARE PROVIDERS & SERVICES 3.6% Omnicare, Inc.+ 14,660 695,177 Health Net, Inc.* 14,700 663,999 Lincare Holdings, Inc.* 14,840 561,545 Covance, Inc.* 6,740 412,623 Apria Healthcare Group, Inc.*+ 5,350 101,115 Pharmaceutical Product Development, Inc.+ 2,480 87,098 Community Health Systems, Inc.* 1,660 61,005 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,582,562 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 2.9% Intuitive Surgical, Inc.*+ 4,780 563,897 Edwards Lifesciences Corp.* 11,270 511,996 Cytyc Corp.* 20,160 511,258 Varian Medical Systems, Inc.*+ 6,860 324,821 Steris Corp. 9,840 224,942 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,136,914 -------------- - -------------------------------------------------------------------------------- 4 MID-CAP ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- BIOTECHNOLOGY 2.0% Vertex Pharmaceuticals, Inc.*+ 11,660 $ 428,039 Invitrogen Corp.*+ 5,820 384,527 PDL BioPharma, Inc.*+ 15,360 282,778 Techne Corp.* 5,490 279,551 Cephalon, Inc.*+ 910 54,691 Millennium Pharmaceuticals, Inc.* 4,130 41,176 Charles River Laboratories International, Inc.*+ 120 4,416 -------------- TOTAL BIOTECHNOLOGY 1,475,178 -------------- PHARMACEUTICALS 0.8% Medicis Pharmaceutical Corp. -- Class A+ 8,960 215,040 Sepracor, Inc.*+ 3,140 179,419 Par Pharmaceutical Cos., Inc.*+ 9,310 171,863 Perrigo Co. 810 13,041 -------------- TOTAL PHARMACEUTICALS 579,363 -------------- TOTAL HEALTH CARE 6,774,017 -------------- UTILITIES 7.3% MULTI-UTILITIES 3.1% Wisconsin Energy Corp. 15,590 628,277 MDU Resources Group, Inc. 16,750 613,218 NSTAR 18,620 532,532 Aquila, Inc.*+ 71,740 302,025 OGE Energy Corp.+ 5,480 191,964 -------------- TOTAL MULTI-UTILITIES 2,268,016 -------------- ELECTRIC UTILITIES 2.0% Pepco Holdings, Inc.+ 26,240 618,739 Westar Energy, Inc. 21,130 444,787 IDACORP, Inc. 6,730 230,772 Sierra Pacific Resources*+ 6,930 97,020 Black Hills Corp. 2,010 69,003 -------------- TOTAL ELECTRIC UTILITIES 1,460,321 -------------- GAS UTILITIES 1.9% Questar Corp.+ 9,760 785,582 Oneok, Inc. 17,200 585,488 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Equitable Resources, Inc. 530 $ 17,755 -------------- TOTAL GAS UTILITIES 1,388,825 -------------- WATER UTILITIES 0.3% Aqua America, Inc. 7,850 178,902 -------------- TOTAL WATER UTILITIES 178,902 -------------- TOTAL UTILITIES 5,296,064 -------------- MATERIALS 4.6% CHEMICALS 2.6% Airgas, Inc. 12,970 483,133 Albemarle Corp. 9,350 447,678 Valspar Corp. 16,880 445,801 Lyondell Chemical Co.+ 14,220 322,225 Cytec Industries, Inc.+ 2,250 120,735 Olin Corp. 5,810 104,173 -------------- TOTAL CHEMICALS 1,923,745 -------------- METALS & MINING 0.9% Steel Dynamics, Inc.+ 5,080 333,959 Reliance Steel & Aluminum Co. 1,980 164,241 Worthington Industries, Inc.+ 6,310 132,195 -------------- TOTAL METALS & MINING 630,395 -------------- CONSTRUCTION MATERIALS 0.5% Martin Marietta Materials, Inc.+ 3,470 316,290 Florida Rock Industries, Inc. 1,710 84,936 -------------- TOTAL CONSTRUCTION MATERIALS 401,226 -------------- CONTAINERS & PACKAGING 0.4% Sonoco Products Co. 8,530 269,974 -------------- TOTAL CONTAINERS & PACKAGING 269,974 -------------- - -------------------------------------------------------------------------------- 5 MID-CAP ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS 0.2% Glatfelter+ 7,240 $ 114,899 -------------- TOTAL PAPER & FOREST PRODUCTS 114,899 -------------- TOTAL MATERIALS 3,340,239 -------------- CONSUMER STAPLES 1.7% FOOD PRODUCTS 0.8% Smithfield Foods, Inc.* 18,240 525,859 Hormel Foods Corp. 1,440 53,482 Lancaster Colony Corp. 600 23,682 -------------- TOTAL FOOD PRODUCTS 603,023 -------------- HOUSEHOLD PRODUCTS 0.5% Energizer Holdings, Inc.*+ 5,730 335,606 Church & Dwight Co., Inc. 1,070 38,969 -------------- TOTAL HOUSEHOLD PRODUCTS 374,575 -------------- FOOD & DRUG RETAILING 0.2% BJ's Wholesale Club, Inc.* 5,800 164,430 -------------- TOTAL FOOD & DRUG RETAILING 164,430 -------------- BEVERAGES 0.1% PepsiAmericas, Inc.+ 3,710 82,028 -------------- TOTAL BEVERAGES 82,028 -------------- TOBACCO 0.1% Universal Corp./VA 1,550 57,691 -------------- TOTAL TOBACCO 57,691 -------------- TOTAL CONSUMER STAPLES 1,281,747 -------------- TELECOMMUNICATION SERVICES 0.4% WIRELESS TELECOMMUNICATION SERVICES 0.3% Telephone & Data Systems, Inc.+ 6,250 258,750 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 258,750 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES 0.1% Cincinnati Bell, Inc.* 15,030 $ 61,623 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 61,623 -------------- TOTAL TELECOMMUNICATION SERVICES 320,373 -------------- TOTAL COMMON STOCKS (Cost $63,801,314) 66,796,286 -------------- FACE AMOUNT ----------- REPURCHASE AGREEMENTS 22.7% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 1,774,530 1,774,530 Credit Suisse at 4.55% due 07/03/06++ 2,515,431 2,515,431 Lehman Brothers, Inc. at 4.45% due 07/03/06 1,698 1,698 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 5,666,572 5,666,572 Morgan Stanley at 4.40% due 07/03/06 3,211,057 3,211,057 Citigroup, Inc. at 4.10% due 07/03/06 3,305,500 3,305,500 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $16,474,788) 16,474,788 -------------- SECURITIES LENDING COLLATERAL 16.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank 12,264,385 12,264,385 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $12,264,385) 12,264,385 -------------- TOTAL INVESTMENTS 131.5% (Cost $92,540,487) $ 95,535,459 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (31.5)% $ (22,908,698) -------------- - -------------------------------------------------------------------------------- 6 MID-CAP ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- NET ASSETS - 100.0% $ 72,626,761 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $33,225,120) 432 $ 329,081 -------------- UNITS ---------- EQUITY INDEX SWAP AGREEMENT August 2006 S&P MidCap 400 Index Swap, Maturing 08/23/06** (Notional Market Value $40,934,914) 53,519 $ 323,452 --------------- * Non-Income Producing Security. * Price Return based on S&P MidCap 400 Index +/- financing at a variable rate. + All or a portion of this security is on loan at June 30, 2006. ++ All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 7 INVERSE MID-CAP FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 110.8% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 6,477,891 $ 6,477,891 Credit Suisse at 4.55% due 07/03/06+ 4,374,941 4,374,941 Lehman Brothers, Inc. at 4.45% due 07/03/06 6,197 6,197 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 20,685,724 20,685,724 Morgan Stanley at 4.40% due 07/03/06 11,721,911 11,721,911 Citigroup, Inc. at 4.10% due 07/03/06 12,066,673 12,066,673 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $55,333,337) 55,333,337 -------------- TOTAL INVESTMENTS 110.8% (Cost $55,333,337) $ 55,333,337 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (10.8)% $ (5,414,464) -------------- NET ASSETS - 100.0% $ 49,918,873 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS LOSS - ------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT September 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $5,768,250) 75 $ (236,126) -------------- UNITS ------------ EQUITY INDEX SWAP AGREEMENT SOLD SHORT August 2006 S&P MidCap 400 Index Swap, Maturing 08/24/06* (Notional Market Value $49,027,378) 64,099 $ (624,594) -------------- * Price Return based on S&P MidCap 400 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 62.3% FINANCIALS 13.7% REAL ESTATE 4.7% Alexandria Real Estate Equities, Inc. 2,420 $ 214,606 Highwoods Properties, Inc. 5,042 182,420 LaSalle Hotel Properties+ 3,762 174,181 Post Properties, Inc.+ 3,682 166,942 American Home Mortgage Investment Corp. 4,250 156,655 BioMed Realty Trust, Inc.+ 5,210 155,987 Nationwide Health Properties, Inc.+ 6,840 153,968 KKR Financial Corp. 7,210 150,040 Pennsylvania Real Estate Investment Trust 3,712 149,853 Washington Real Estate Investment Trust 4,010 147,167 Potlatch Corp. 3,810 143,827 Corporate Office Properties Trust SBI/MD 3,382 142,315 Maguire Properties, Inc.+ 3,372 118,593 FelCor Lodging Trust, Inc. 5,422 117,874 Mid-America Apartment Communities, Inc.+ 2,080 115,960 Trammell Crow Co.* 3,182 111,911 Strategic Hotel Capital, Inc. 5,342 110,793 National Retail Properties, Inc. 5,440 108,528 Entertainment Properties Trust+ 2,510 108,056 Colonial Properties Trust 2,150 106,210 Sunstone Hotel Investors, Inc. 3,652 106,127 Senior Housing Properties Trust 5,882 105,347 PS Business Parks, Inc. 1,760 103,840 Jones Lang LaSalle, Inc.+ 1,180 103,309 Taubman Centers, Inc. 2,500 102,250 Home Properties, Inc.+ 1,840 102,138 Tanger Factory Outlet Centers, Inc. 3,152 102,030 Eastgroup Properties, Inc.+ 2,170 101,296 Highland Hospitality Corp.+ 7,069 99,532 Heritage Property Investment Trust 2,760 96,379 Impac Mortgage Holdings, Inc. 8,520 95,254 Equity Inns, Inc.+ 5,740 95,054 Sovran Self Storage, Inc.+ 1,860 94,469 Spirit Finance Corp. 8,212 92,467 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Equity Lifestyle Properties, Inc.+ 2,100 $ 92,043 DiamondRock Hospitality Co. 6,210 91,970 Innkeepers USA Trust+ 5,262 90,927 Kilroy Realty Corp.+ 1,200 86,700 Brandywine Realty Trust+ 2,350 75,600 Cousins Properties, Inc. 2,100 64,953 Acadia Realty Trust 2,710 64,092 First Potomac Realty Trust+ 2,030 60,474 LTC Properties, Inc. 2,450 54,758 Saul Centers, Inc. 1,340 54,645 Fieldstone Investment Corp.+ 5,882 53,879 Digital Realty Trust, Inc. 2,080 51,355 -------------- TOTAL REAL ESTATE 5,076,774 -------------- BANKS 4.5% First Midwest Bancorp, Inc./IL+ 4,542 168,417 Westamerica Bancorporation 3,242 158,761 SVB Financial Group*+ 3,392 154,200 UCBH Holdings, Inc.+ 8,790 145,387 Hancock Holding Co. 2,590 145,040 United Bankshares, Inc. 3,860 141,392 Umpqua Holding Corp.+ 5,472 140,357 Greater Bay Bancorp+ 4,840 139,150 Pacific Capital Bancorp 4,430 137,862 Central Pacific Financial Corp. 2,912 112,694 Sterling Financial Corp./WA+ 3,692 112,643 Provident Bankshares Corp. 3,042 110,698 Wintrust Financial Corp.+ 2,170 110,344 First Community Bancorp/CA 1,860 109,889 Susquehanna Bancshares, Inc. 4,510 107,789 Chittenden Corp. 4,162 107,588 Alabama National Bancorporation 1,530 104,269 BancorpSouth, Inc.+ 3,820 104,095 First Republic Bank+ 2,250 103,050 Republic Bancorp, Inc./MI 8,314 103,010 UMB Financial Corp. 3,062 102,087 Signature Bank/New York NY* 3,090 100,054 Boston Private Financial Holdings, Inc.+ 3,512 97,985 Glacier Bancorp, Inc.+ 3,282 96,064 Sterling Bancshares, Inc./TX 5,122 96,037 National Penn Bancshares, Inc.+ 4,760 94,534 Citizens Banking Corp./MI+ 3,862 94,271 FNB Corp.+ 5,892 92,917 - -------------------------------------------------------------------------------- 1 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Frontier Financial Corp.+ 2,720 $ 92,453 Texas Regional Bancshares, Inc. -- Class A 2,390 90,629 MB Financial Corp.+ 2,440 86,278 Hanmi Financial Corp. 4,400 85,536 PrivateBancorp, Inc.+ 1,960 81,164 First Bancorp Puerto Rico+ 8,680 80,724 Prosperity Bancshares, Inc.+ 2,310 75,976 Trustmark Corp. 2,390 74,018 City Holding Co. 1,720 62,161 First Citizens BancShares, Inc. -- Class A 310 62,155 Columbia Banking Systems, Inc. 1,610 60,182 Independent Bank Corp./MI 2,200 58,030 Community Trust Bancorp, Inc. 1,610 56,237 Capitol Bancorp, Ltd. 1,400 54,530 Sandy Spring Bancorp, Inc.+ 1,510 54,451 First State Bancorporation/NM 2,050 48,749 1st Source Corp. 1,230 41,611 Centennial Bank Holdings, Inc.* 3,810 39,395 Center Financial Corp. 1,430 33,805 Midwest Banc Holdings, Inc.+ 1,510 33,598 Oriental Financial Group 2,630 33,559 R&G Financial Corp. -- Class B+ 3,890 33,415 Nara Bancorp, Inc. 1,780 33,375 First Indiana Corp. 1,260 32,798 Cathay General Bancorp 900 32,742 Wilshire Bancorp, Inc. 1,800 32,436 Seacoast Banking Corporation of Florida 1,210 32,222 Preferred Bank/CA 600 32,166 Sterling Bancorp/NY 1,630 31,785 -------------- TOTAL BANKS 4,856,764 -------------- THRIFTS & MORTGAGE FINANCE 1.5% MAF Bancorp, Inc. 3,312 141,886 Downey Financial Corp. 2,000 135,700 First Niagara Financial Group, Inc. 9,010 126,320 Corus Bankshares, Inc.+ 3,702 96,918 FirstFed Financial Corp.*+ 1,660 95,732 Bankunited Financial Corp. -- Class A 3,130 95,528 TrustCo Bank Corp./NY+ 8,282 91,268 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Accredited Home Lenders Holding Co.*+ 1,870 $ 89,405 Harbor Florida Bancshares, Inc.+ 2,360 87,650 PFF Bancorp, Inc. 2,430 80,579 Anchor BanCorp Wisconsin, Inc. 2,410 72,710 Fremont General Corp.+ 3,440 63,846 BankAtlantic Bancorp, Inc. -- Class A 4,060 60,250 TierOne Corp.+ 1,740 58,760 Flagstar Bancorp, Inc.+ 3,552 56,690 Triad Guaranty, Inc.* 1,100 53,768 Partners Trust Financial Group, Inc. 4,650 53,056 Fidelity Bankshares, Inc. 1,150 36,593 City Bank/WA 760 35,462 Federal Agricultural Mortgage Corp. 1,280 35,456 First Place Financial Corp./OH 1,480 34,055 Ocwen Financial Corp.* 2,600 33,046 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,634,678 -------------- INSURANCE 1.4% Ohio Casualty Corp.+ 5,532 164,466 National Financial Partners Corp.+ 3,472 153,844 Delphi Financial Group, Inc. -- Class A+ 4,172 151,694 Selective Insurance Group, Inc.+ 2,710 151,408 ProAssurance Corp.*+ 2,942 141,746 RLI Corp.+ 2,190 105,514 LandAmerica Financial Group, Inc.+ 1,610 104,006 Zenith National Insurance Corp. 2,510 99,572 Argonaut Group, Inc.* 3,072 92,283 Safety Insurance Group, Inc. 1,270 60,389 Stewart Information Services Corp. 1,630 59,185 Tower Group, Inc. 1,740 52,635 Navigators Group, Inc.* 1,200 52,584 Presidential Life Corp. 2,100 51,618 American Physicians Capital, Inc.*+ 900 47,331 Infinity Property & Casualty Corp. 980 40,180 - -------------------------------------------------------------------------------- 2 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- SeaBright Insurance Holdings, Inc.* 2,000 $ 32,220 -------------- TOTAL INSURANCE 1,560,675 -------------- CAPITAL MARKETS 0.8% Waddell & Reed Financial, Inc. -- Class A 7,710 158,518 Knight Capital Group, Inc. -- Class A* 9,940 151,386 Piper Jaffray Cos., Inc.*+ 2,180 133,438 Investment Technology Group, Inc.* 1,710 86,971 Calamos Asset Management, Inc. -- Class A 2,820 81,752 LaBranche & Co., Inc.*+ 6,672 80,798 Greenhill & Co., Inc.+ 1,320 80,203 optionsXpress Holdings, Inc. 2,330 54,312 GFI Group, Inc.*+ 650 35,067 -------------- TOTAL CAPITAL MARKETS 862,445 -------------- CONSUMER FINANCE 0.5% Cash America International, Inc. 3,302 105,664 CompuCredit Corp.*+ 2,270 87,259 Advanta Corp.+ 2,280 81,966 World Acceptance Corp.* 1,800 63,936 Advance America Cash Advance Centers, Inc. 3,334 58,478 Asta Funding, Inc.+ 1,180 44,191 ACE Cash Express, Inc.*+ 1,300 38,051 Ezcorp, Inc. -- Class A* 900 33,921 -------------- TOTAL CONSUMER FINANCE 513,466 -------------- DIVERSIFIED FINANCIALS 0.3% Financial Federal Corp.+ 3,062 85,154 Portfolio Recovery Associates, Inc.*+ 1,770 80,889 Nasdaq Stock Market, Inc.*+ 2,000 59,800 International Securities Exchange, Inc. 1,200 45,684 -------------- TOTAL DIVERSIFIED FINANCIALS 271,527 -------------- TOTAL FINANCIALS 14,776,329 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- INFORMATION TECHNOLOGY 11.8% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.6% Varian Semiconductor Equipment Associates, Inc.*+ 5,102 $ 166,376 Cymer, Inc.*+ 3,492 162,238 Microsemi Corp.* 6,302 153,643 Sirf Technology Holdings, Inc.*+ 3,390 109,226 Zoran Corp.* 4,432 107,875 OmniVision Technologies, Inc.*+ 5,052 106,698 Trident Microsystems, Inc.* 5,461 103,650 Rambus, Inc.*+ 4,470 101,961 Silicon Image, Inc.* 9,074 97,818 ON Semiconductor Corp.*+ 16,570 97,432 Semtech Corp.* 6,732 97,277 Amkor Technology, Inc.*+ 10,110 95,641 ATMI, Inc.* 3,809 93,778 Cabot Microelectronics Corp.* 2,962 89,778 Cirrus Logic, Inc.* 10,740 87,424 Formfactor, Inc.* 1,930 86,136 Atheros Communications, Inc.* 4,212 79,860 MKS Instruments, Inc.* 3,952 79,514 Silicon Laboratories, Inc.* 2,140 75,221 Photronics, Inc.* 4,952 73,290 Integrated Device Technology, Inc.*+ 5,100 72,318 Micrel, Inc.*+ 7,090 70,971 Diodes, Inc.* 1,610 66,718 Atmel Corp.*+ 11,240 62,382 Veeco Instruments, Inc.*+ 2,510 59,838 RF Micro Devices, Inc.*+ 9,965 59,491 Fairchild Semiconductor International, Inc.*+ 3,250 59,052 Cypress Semiconductor Corp.*+ 3,600 52,344 Intevac, Inc.* 2,390 51,815 Netlogic Microsystems, Inc.*+ 1,410 45,472 Power Integrations, Inc.* 2,410 42,127 Asyst Technologies, Inc.* 4,540 34,186 ADE Corp.* 920 29,891 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,771,441 -------------- - -------------------------------------------------------------------------------- 3 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- SOFTWARE 2.4% RSA Security, Inc.* 7,030 $ 191,146 Ansys, Inc.* 3,400 162,588 Micros Systems, Inc.*+ 3,622 158,209 MicroStrategy, Inc. -- Class A* 1,560 152,131 Hyperion Solutions Corp.* 5,510 152,076 Transaction Systems Architects, Inc. -- Class A* 3,622 151,001 TIBCO Software, Inc.* 20,620 145,371 Nuance Communications, Inc.* 12,070 121,424 Informatica Corp.*+ 8,232 108,333 Macrovision Corp.* 4,722 101,617 Quest Software, Inc.* 7,070 99,263 Intergraph Corp.* 2,830 89,117 Advent Software, Inc.*+ 2,400 86,568 Sybase, Inc.* 4,410 85,554 Internet Security Systems, Inc.*+ 4,342 81,847 Factset Research Systems, Inc. 1,630 77,099 SPSS, Inc.* 2,320 74,565 THQ, Inc.*+ 3,300 71,280 Aspen Technology, Inc.* 4,780 62,714 Quality Systems, Inc.+ 1,620 59,648 Blackboard, Inc.* 1,950 56,472 Open Solutions, Inc.* 2,060 54,817 Progress Software Corp.* 2,340 54,779 Lawson Software, Inc.*+ 7,440 49,848 Secure Computing Corp.* 5,670 48,762 Filenet Corp.* 1,300 35,009 Smith Micro Software, Inc.* 2,100 33,642 -------------- TOTAL SOFTWARE 2,564,880 -------------- COMMUNICATIONS EQUIPMENT 1.7% Interdigital Communications Corp.* 5,211 181,916 Polycom, Inc.* 7,772 170,362 CommScope, Inc.*+ 5,312 166,903 Foundry Networks, Inc.*+ 13,680 145,829 ADTRAN, Inc. 6,390 143,328 Avocent Corp.*+ 4,732 124,215 Arris Group, Inc.* 9,400 123,328 Plantronics, Inc.+ 4,730 105,053 3Com Corp.*+ 20,350 104,192 Redback Networks, Inc.*+ 5,352 98,156 Netgear, Inc.*+ 4,040 87,466 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Powerwave Technologies, Inc.* 8,770 $ 79,982 Sycamore Networks, Inc.* 19,698 79,974 Black Box Corp.+ 2,040 78,193 Ciena Corp.*+ 15,610 75,084 Extreme Networks, Inc.* 12,634 52,557 Packeteer, Inc.* 4,140 46,948 -------------- TOTAL COMMUNICATIONS EQUIPMENT 1,863,486 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.6% Plexus Corp.*+ 4,392 150,250 Benchmark Electronics, Inc.*+ 6,092 146,939 Itron, Inc.*+ 2,420 143,409 Flir Systems, Inc.* 6,310 139,199 Coherent, Inc.* 3,042 102,607 Rogers Corp.* 1,780 100,285 Global Imaging Systems, Inc.* 2,390 98,659 Rofin-Sinar Technologies, Inc.* 1,660 95,400 Scansource, Inc.*+ 2,980 87,374 MTS Systems Corp. 2,070 81,786 Brightpoint, Inc.* 5,380 72,791 Littelfuse, Inc.* 2,000 68,760 TTM Technologies, Inc.* 4,262 61,671 CTS Corp. 4,000 59,560 KEMET Corp.* 6,410 59,100 Agilsys, Inc. 2,990 53,820 Park Electrochemical Corp.+ 2,050 52,788 Electro Scientific Industries, Inc.* 2,902 52,207 Checkpoint Systems, Inc.*+ 1,950 43,310 LoJack Corp.*+ 1,940 36,588 Multi-Fineline Electronix, Inc.*+ 1,030 34,186 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,740,689 -------------- INTERNET SOFTWARE & SERVICES 1.5% aQuantive, Inc.*+ 6,592 166,975 Digital River, Inc.*+ 3,612 145,889 ValueClick, Inc.*+ 8,944 137,290 j2 Global Communications, Inc.*+ 4,232 132,123 RealNetworks, Inc.*+ 11,424 122,237 Openwave Systems, Inc.*+ 9,734 112,330 EarthLink, Inc.* 12,820 111,021 - -------------------------------------------------------------------------------- 4 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Digital Insight Corp.* 3,140 $ 107,670 Websense, Inc.* 4,742 97,401 Digitas, Inc.*+ 8,364 97,190 United Online, Inc.+ 7,242 86,904 InfoSpace, Inc.* 3,762 85,284 WebEx Communications, Inc.*+ 1,730 61,484 CNET Networks, Inc.* 6,920 55,222 Vignette Corp.* 3,472 50,622 Click Commerce, Inc.*+ 1,690 33,344 Bankrate, Inc.*+ 880 33,229 -------------- TOTAL INTERNET SOFTWARE & SERVICES 1,636,215 -------------- IT CONSULTING & SERVICES 1.0% MPS Group, Inc.*+ 9,860 148,492 BISYS Group, Inc.* 10,720 146,864 Perot Systems Corp. -- Class A* 7,742 112,104 CSG Systems International, Inc.* 4,512 111,627 Acxiom Corp. 4,290 107,250 MoneyGram International, Inc.+ 3,110 105,585 eFunds Corp.* 4,482 98,828 Talx Corp. 3,912 85,555 MAXIMUS, Inc. 2,230 51,625 Mantech International Corp. -- Class A* 1,620 49,993 SYKES Enterprises, Inc.* 2,390 38,622 Euronet Worldwide, Inc.* 990 37,986 infoUSA, Inc. -- Class B 3,199 32,982 -------------- TOTAL IT CONSULTING & SERVICES 1,127,513 -------------- COMPUTERS & PERIPHERALS 1.0% Komag, Inc.* 3,060 141,311 Palm, Inc.*+ 8,314 133,856 Brocade Communications Systems, Inc.*+ 21,430 131,580 Electronics for Imaging, Inc.*+ 5,222 109,035 Rackable Systems, Inc.* 2,710 107,018 Intermec, Inc.*+ 4,480 102,771 Emulex Corp.* 6,290 102,338 Imation Corp. 1,780 73,069 McData Corp. -- Class A*+ 14,690 59,935 Synaptics, Inc.*+ 2,260 48,364 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Neoware, Inc.* 2,810 $ 34,535 -------------- TOTAL COMPUTERS & PERIPHERALS 1,043,812 -------------- TOTAL INFORMATION TECHNOLOGY 12,748,036 -------------- CONSUMER DISCRETIONARY 9.7% SPECIALTY RETAIL 2.4% Payless Shoesource, Inc.*+ 6,062 164,705 Aeropostale, Inc.*+ 5,610 162,073 Regis Corp.+ 4,322 153,906 Charming Shoppes, Inc.*+ 12,384 139,196 Group 1 Automotive, Inc.+ 2,460 138,596 Too, Inc.* 3,410 130,910 Children's Place Retail Stores, Inc.*+ 1,930 115,896 Pantry, Inc.* 2,000 115,080 Pacific Sunwear of California, Inc.* 6,310 113,138 Select Comfort Corp.*+ 4,903 112,622 Gymboree Corp.*+ 3,152 109,564 Dress Barn, Inc.*+ 4,282 108,549 GameStop Corp. -- Class A*+ 2,520 105,840 Christopher & Banks Corp. 3,572 103,588 Cato Corp. -- Class A 3,682 95,180 Hibbett Sporting Goods, Inc.* 3,730 89,147 Genesco, Inc.* 2,490 84,336 Guess ?, Inc.*+ 1,990 83,083 Sonic Automotive, Inc.+ 3,612 80,114 Tractor Supply Co.*+ 1,430 79,036 CSK Auto Corp.* 4,510 53,923 Jos. A. Bank Clothiers, Inc.*+ 2,250 53,910 United Auto Group, Inc.+ 2,460 52,521 Talbots, Inc. 2,460 45,387 Buckle, Inc. 860 36,008 Citi Trends, Inc.* 830 35,433 Home Solutions of America, Inc.* 5,310 32,763 -------------- TOTAL SPECIALTY RETAIL 2,594,504 -------------- HOTELS, RESTAURANTS & LEISURE 1.8% Aztar Corp.* 3,172 164,817 Pinnacle Entertainment, Inc.* 4,742 145,342 Ruby Tuesday, Inc.+ 5,742 140,162 Jack in the Box, Inc.* 3,532 138,454 Vail Resorts, Inc.* 3,282 121,762 Shuffle Master, Inc.*+ 3,680 120,630 - -------------------------------------------------------------------------------- 5 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CEC Entertainment, Inc.*+ 3,152 $ 101,242 Bob Evans Farms, Inc. 3,370 101,134 Rare Hospitality International, Inc.* 3,510 100,948 CKE Restaurants, Inc.+ 5,962 99,029 IHOP Corp. 2,020 97,122 Domino's Pizza, Inc. 3,792 93,814 Papa John's International, Inc.*+ 2,670 88,644 WMS Industries, Inc.* 2,170 59,436 Speedway Motorsports, Inc. 1,540 58,120 CBRL Group, Inc. 1,700 57,664 Landry's Restaurants, Inc.+ 1,750 56,788 Ameristar Casinos, Inc. 2,630 51,154 Steak n Shake Co.*+ 3,200 48,448 Six Flags, Inc.* 6,110 34,338 Krispy Kreme Doughnuts, Inc.*+ 4,114 33,488 Monarch Casino & Resort, Inc.* 1,190 33,463 Applebee's International, Inc. 1,700 32,674 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,978,673 -------------- MEDIA 1.1% Catalina Marketing Corp. 5,140 146,284 Reader's Digest Association, Inc. 9,570 133,597 Valassis Communications, Inc.*+ 5,320 125,499 Arbitron, Inc. 2,840 108,857 Lee Enterprises, Inc. 4,010 108,069 Entercom Communications Corp.+ 3,812 99,722 Scholastic Corp.* 3,512 91,207 Belo Corp. -- Class A 4,910 76,596 Advo, Inc.+ 2,850 70,138 Morningstar, Inc.* 1,420 58,902 Cumulus Media, Inc. -- Class A*+ 4,740 50,576 Courier Corp. 910 36,418 Playboy Enterprises, Inc. -- Class B* 3,440 34,331 Citadel Broadcasting Corp. 3,750 33,375 Journal Register Co. 3,710 33,242 World Wrestling Entertainment, Inc. 1,940 32,767 -------------- TOTAL MEDIA 1,239,580 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TEXTILES & APPAREL 1.1% Phillips-Van Heusen Corp. 4,590 $ 175,154 Brown Shoe Co., Inc. 2,882 98,218 Warnaco Group, Inc.* 5,100 95,268 Carter's, Inc.* 3,590 94,884 Kellwood Co.+ 2,962 86,698 K-Swiss, Inc. -- Class A 3,092 82,556 Timberland Co. -- Class A* 3,010 78,561 Steven Madden, Ltd. 2,535 75,087 Fossil, Inc.* 4,110 74,021 Wolverine World Wide, Inc. 2,885 67,307 Columbia Sportswear Co.* 1,300 58,838 Oxford Industries, Inc.+ 1,490 58,721 Skechers U.S.A., Inc. -- Class A* 2,170 52,319 Deckers Outdoor Corp.* 920 35,475 True Religion Apparel, Inc.* 1,900 33,630 -------------- TOTAL TEXTILES & APPAREL 1,166,737 -------------- HOUSEHOLD DURABLES 1.0% Ethan Allen Interiors, Inc.+ 3,232 118,130 Furniture Brands International, Inc.+ 5,032 104,867 Jarden Corp.*+ 3,440 104,748 Meritage Homes Corp.* 2,200 103,950 American Greetings Corp. -- Class A 4,810 101,058 Yankee Candle Co., Inc. 3,852 96,339 Champion Enterprises, Inc.*+ 8,560 94,502 WCI Communities, Inc.*+ 4,332 87,246 La-Z-Boy, Inc.+ 5,800 81,200 Brookfield Homes Corp.+ 1,750 57,662 Interface, Inc. -- Class A* 4,662 53,380 Avatar Holdings, Inc.*+ 600 34,182 -------------- TOTAL HOUSEHOLD DURABLES 1,037,264 -------------- COMMERCIAL SERVICES & SUPPLIES 0.5% Sotheby's Holdings, Inc. -- Class A* 5,580 146,475 DeVry, Inc.*+ 6,310 138,631 Strayer Education, Inc. 1,400 135,951 Jackson Hewitt Tax Service, Inc.+ 3,342 104,772 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 525,829 -------------- AUTO COMPONENTS 0.5% Tenneco Automotive, Inc.* 4,592 119,392 - -------------------------------------------------------------------------------- 6 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- ArvinMeritor, Inc.+ 6,240 $ 107,266 Modine Manufacturing Co. 3,772 88,114 LKQ Corp.*+ 4,244 80,636 Aftermarket Technology Corp.* 2,170 53,924 Drew Industries, Inc.*+ 1,610 52,164 -------------- TOTAL AUTO COMPONENTS 501,496 -------------- INTERNET & CATALOG RETAIL 0.4% Netflix, Inc.*+ 4,130 112,377 Priceline.com, Inc.*+ 2,890 86,296 Coldwater Creek, Inc.*+ 2,650 70,914 Nutri/System, Inc.*+ 1,080 67,100 Stamps.com, Inc.* 1,910 53,136 -------------- TOTAL INTERNET & CATALOG RETAIL 389,823 -------------- MULTILINE RETAIL 0.2% Big Lots, Inc.*+ 9,860 168,409 99 Cents Only Stores*+ 3,530 36,924 Conn's, Inc.*+ 1,230 32,657 Bon-Ton Stores, Inc.+ 1,480 32,382 -------------- TOTAL MULTILINE RETAIL 270,372 -------------- LEISURE EQUIPMENT & PRODUCTS 0.2% Marvel Entertainment, Inc.* 4,810 96,200 RC2 Corp.* 1,659 64,137 Jakks Pacific, Inc.* 2,710 54,444 Callaway Golf Co.+ 3,150 40,918 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 255,699 -------------- DISTRIBUTORS 0.2% Building Material Holding Corp.+ 3,150 87,791 Keystone Automotive Industries, Inc.* 1,960 82,751 DXP Enterprises, Inc.* 1,100 34,177 -------------- TOTAL DISTRIBUTORS 204,719 -------------- AUTOMOBILES 0.2% Winnebago Industries, Inc.+ 3,382 104,977 Thor Industries, Inc.+ 1,640 79,458 -------------- TOTAL AUTOMOBILES 184,435 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES 0.1% Alderwoods Group, Inc.* 4,480 $ 87,181 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 87,181 -------------- TOTAL CONSUMER DISCRETIONARY 10,436,312 -------------- INDUSTRIALS 9.1% COMMERCIAL SERVICES & SUPPLIES 2.3% United Stationers, Inc.* 3,352 165,321 Waste Connections, Inc.*+ 4,262 155,137 Brady Corp. -- Class A+ 4,052 149,276 Watson Wyatt & Co., Holdings 4,110 144,405 Labor Ready, Inc.*+ 4,992 113,069 John H. Harland Co. 2,520 109,620 Mine Safety Appliances Co.+ 2,720 109,344 FTI Consulting, Inc.*+ 3,842 102,850 Resources Connection, Inc.* 4,073 101,906 American Reprographics Co.* 2,680 97,150 Advisory Board Co.*+ 1,950 93,775 NCO Group, Inc.*+ 3,510 92,804 Covanta Holding Corp.* 4,880 86,132 Administaff, Inc.+ 2,390 85,586 Viad Corp. 2,710 84,823 Korn/Ferry International, Inc.*+ 4,197 82,219 IKON Office Solutions, Inc. 5,840 73,584 Consolidated Graphics, Inc.* 1,090 56,745 Corrections Corporation of America*+ 1,020 53,999 Rollins, Inc. 2,700 53,028 CRA International, Inc.* 1,140 51,460 Cenveo, Inc.* 2,830 50,798 Banta Corp. 1,000 46,330 Spherion Corp.*+ 5,060 46,147 Mobile Mini, Inc.* 1,534 44,885 School Specialty, Inc.* 1,263 40,227 Sourcecorp, Inc.* 1,350 33,467 Hudson Highland Group, Inc.* 3,070 33,125 ICT Group, Inc.* 1,300 31,889 Sirva, Inc.* 4,870 31,509 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 2,420,610 -------------- MACHINERY 1.8% Wabtec Corp.+ 4,402 164,635 - -------------------------------------------------------------------------------- 7 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Bucyrus International, Inc. -- Class A 2,912 $ 147,056 Navistar International Corp.* 4,910 120,835 Mueller Industries, Inc. 3,362 111,047 JLG Industries, Inc. 4,900 110,250 Albany International Corp. -- Class A 2,530 107,247 Manitowoc Co., Inc. 2,400 106,800 Lincoln Electric Holdings, Inc.+ 1,680 105,252 Crane Co.+ 2,520 104,832 Kennametal, Inc.+ 1,670 103,958 Trinity Industries, Inc.+ 2,290 92,516 Valmont Industries, Inc. 1,860 86,471 Gardner Denver, Inc.* 2,190 84,315 EnPro Industries, Inc.* 2,480 83,328 Barnes Group, Inc. 4,080 81,396 AGCO Corp.*+ 2,390 62,905 Kaydon Corp.+ 1,520 56,711 Freightcar America, Inc.+ 1,020 56,620 Astec Industries, Inc.* 1,600 54,592 American Science & Engineering, Inc.*+ 870 50,390 Middleby Corp.* 570 49,339 -------------- TOTAL MACHINERY 1,940,495 -------------- ELECTRICAL EQUIPMENT 1.0% Genlyte Group, Inc.*+ 2,180 157,897 General Cable Corp.* 4,473 156,555 Acuity Brands, Inc. 4,002 155,718 Regal-Beloit Corp.+ 3,220 142,163 Belden CDT, Inc.+ 4,290 141,784 Woodward Governor Co. 3,062 93,422 Encore Wire Corp.*+ 2,570 92,366 A.O. Smith Corp.+ 1,970 91,329 Superior Essex, Inc.* 2,020 60,459 -------------- TOTAL ELECTRICAL EQUIPMENT 1,091,693 -------------- AEROSPACE & DEFENSE 1.0% BE Aerospace, Inc.*+ 7,042 160,980 Hexcel Corp.*+ 8,890 139,662 Ceradyne, Inc.*+ 2,530 125,210 Moog, Inc. -- Class A* 3,580 122,508 Teledyne Technologies, Inc.* 3,202 104,898 Armor Holdings, Inc.* 1,820 99,791 DRS Technologies, Inc.+ 1,930 94,087 Triumph Group, Inc.* 1,840 88,320 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Esterline Technologies Corp.*+ 1,275 $ 53,027 United Industrial Corp./NY+ 1,150 52,037 Herley Industries, Inc.* 3,010 33,742 -------------- TOTAL AEROSPACE & DEFENSE 1,074,262 -------------- TRADING COMPANIES & DISTRIBUTORS 0.6% Watsco, Inc. 1,910 114,256 United Rentals, Inc.*+ 3,320 106,174 WESCO International, Inc.*+ 1,500 100,140 Beacon Roofing Supply, Inc.*+ 4,300 94,643 UAP Holding Corp. 3,842 83,794 Applied Industrial Technologies, Inc. 2,040 49,592 GATX Corp.+ 1,120 47,600 BlueLinx Holdings, Inc. 2,600 33,931 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 630,130 -------------- ROAD & RAIL 0.5% Genesee & Wyoming, Inc. -- Class A*+ 3,462 122,797 Arkansas Best Corp.+ 2,390 120,002 Knight Transportation, Inc.+ 5,432 109,726 Amerco, Inc.*+ 1,000 100,660 Kansas City Southern*+ 1,880 52,076 SCS Transportation, Inc.* 1,340 36,890 Florida East Coast Industries, Inc.+ 650 34,015 -------------- TOTAL ROAD & RAIL 576,166 -------------- BUILDING PRODUCTS 0.5% Simpson Manufacturing Co., Inc.+ 3,232 116,513 NCI Building Systems, Inc.*+ 1,940 103,150 Universal Forest Products, Inc.+ 1,600 100,368 Lennox International, Inc. 2,750 72,820 ElkCorp 2,000 55,540 Ameron International Corp. 630 42,223 Builders FirstSource, Inc.* 1,650 33,594 PW Eagle, Inc. 1,100 33,264 -------------- TOTAL BUILDING PRODUCTS 557,472 -------------- - -------------------------------------------------------------------------------- 8 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- AIRLINES 0.5% SkyWest, Inc.+ 6,540 $ 162,192 AirTran Holdings, Inc.*+ 8,524 126,666 Continental Airlines, Inc. -- Class B*+ 3,570 106,386 Alaska Air Group, Inc.*+ 2,640 104,069 -------------- TOTAL AIRLINES 499,313 -------------- CONSTRUCTION & ENGINEERING 0.4% Granite Construction, Inc.+ 3,422 154,914 EMCOR Group, Inc.* 3,062 149,027 Quanta Services, Inc.*+ 6,220 107,793 URS Corp.* 1,090 45,780 -------------- TOTAL CONSTRUCTION & ENGINEERING 457,514 -------------- AIR FREIGHT & COURIERS 0.4% EGL, Inc.*+ 3,212 161,243 Pacer International, Inc.+ 3,542 115,398 HUB Group, Inc. -- Class A*+ 4,010 98,365 Forward Air Corp.+ 980 39,916 -------------- TOTAL AIR FREIGHT & COURIERS 414,922 -------------- INDUSTRIAL CONGLOMERATES 0.1% Walter Industries, Inc.+ 1,770 102,041 -------------- TOTAL INDUSTRIAL CONGLOMERATES 102,041 -------------- MARINE 0.0% American Commercial Lines, Inc.* 600 36,516 -------------- TOTAL MARINE 36,516 -------------- TOTAL INDUSTRIALS 9,801,134 -------------- HEALTH CARE 7.7% HEALTH CARE EQUIPMENT & SUPPLIES 2.4% Hologic, Inc.* 4,060 200,402 Kyphon, Inc.*+ 4,010 153,824 Steris Corp. 6,652 152,065 Mentor Corp.+ 3,292 143,202 American Medical Systems Holdings, Inc.*+ 7,372 122,744 Haemonetics Corp./MA* 2,630 122,321 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Immucor, Inc.*+ 5,684 $ 109,303 West Pharmaceutical Services, Inc. 2,992 108,550 Lifecell Corp.*+ 3,452 106,736 Bio--Rad Laboratories, Inc. -- Class A*+ 1,620 105,203 Intuitive Surgical, Inc.*+ 840 99,095 Dionex Corp.* 1,800 98,388 DJ Orthopedics, Inc.* 2,510 92,443 PolyMedica Corp. 2,530 90,979 Palomar Medical Technologies, Inc.*+ 1,950 88,978 Integra LifeSciences Holdings Corp.* 2,220 86,158 Biosite, Inc.* 1,880 85,841 Invacare Corp. 3,410 84,841 Thoratec Corp.*+ 5,900 81,833 Conmed Corp.*+ 2,942 60,899 ICU Medical, Inc.* 1,430 60,403 Molecular Devices Corp.*+ 1,770 54,091 ArthroCare Corp.*+ 1,280 53,773 SurModics, Inc.*+ 1,480 53,443 Candela Corp.* 3,050 48,373 Abaxis, Inc.* 1,930 43,174 OraSure Technologies, Inc.*+ 3,910 37,223 Aspect Medical Systems, Inc.*+ 1,960 34,182 Varian, Inc.* 800 33,208 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,611,675 -------------- BIOTECHNOLOGY 2.3% ICOS Corp.*+ 7,110 156,349 Alkermes, Inc.*+ 8,192 154,993 Cubist Pharmaceuticals, Inc.* 5,642 142,066 United Therapeutics Corp.*+ 2,170 125,361 Myogen, Inc.*+ 3,960 114,840 Vertex Pharmaceuticals, Inc.*+ 3,070 112,700 BioMarin Pharmaceuticals, Inc.* 7,800 112,086 Serologicals Corp.*+ 3,552 111,675 Illumina, Inc.* 3,702 109,801 Martek Biosciences Corp.*+ 3,600 104,220 Myriad Genetics, Inc.* 4,092 103,323 Amylin Pharmaceuticals, Inc.*+ 2,050 101,208 Nuvelo, Inc.* 5,710 95,071 Telik, Inc.*+ 5,700 94,050 Exelixis, Inc.* 8,774 88,179 Digene Corp.*+ 1,642 63,611 - -------------------------------------------------------------------------------- 9 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Medarex, Inc.*+ 6,400 $ 61,504 Neurocrine Biosciences, Inc.*+ 5,090 53,954 Luminex Corp.* 2,952 51,335 Keryx Biopharmaceuticals, Inc.*+ 3,450 48,990 Pharmion Corp.*+ 2,670 45,470 Nektar Therapeutics*+ 2,290 41,999 Alexion Pharmaceuticals, Inc.* 1,150 41,538 Senomyx, Inc.* 2,430 35,065 Phase Forward, Inc.* 3,010 34,675 Momenta Pharmaceuticals, Inc.*+ 2,700 34,317 Enzon Pharmaceuticals, Inc.*+ 4,510 34,005 BioCryst Pharmaceuticals, Inc.* 2,300 32,959 Novavax, Inc.* 6,510 32,810 Tanox, Inc.*+ 2,330 32,224 Renovis, Inc.*+ 2,100 32,151 Sirna Therapeutics, Inc.* 5,610 31,977 -------------- TOTAL BIOTECHNOLOGY 2,434,506 -------------- HEALTH CARE PROVIDERS & SERVICES 2.0% Healthways, Inc.*+ 3,042 160,131 Psychiatric Solutions, Inc.*+ 4,962 142,211 Chemed Corp.+ 2,540 138,506 United Surgical Partners International, Inc.*+ 4,412 132,669 Sunrise Senior Living, Inc.*+ 4,422 122,268 Magellan Health Services, Inc.*+ 2,560 115,994 American Retirement Corp.* 3,222 105,585 Owens & Minor, Inc.+ 3,662 104,733 Pediatrix Medical Group, Inc.*+ 2,270 102,831 LCA-Vision, Inc. 1,930 102,116 Genesis HealthCare Corp.* 2,010 95,214 inVentiv Health, Inc.* 3,222 92,729 Per-Se Technologies, Inc.*+ 3,632 91,454 Apria Healthcare Group, Inc.*+ 4,630 87,507 Eclipsys Corp.*+ 4,532 82,301 HealthExtras, Inc.*+ 2,350 71,017 The Trizetto Group, Inc.* 4,060 60,048 Centene Corp.*+ 2,200 51,766 Odyssey HealthCare, Inc.* 2,495 43,837 PSS World Medical, Inc.* 2,020 35,653 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Vital Images, Inc.* 1,380 $ 34,086 Gentiva Health Services, Inc.* 2,100 33,663 PRA International* 1,500 33,405 Dendrite International, Inc.* 3,610 33,356 Visicu, Inc.* 1,800 31,770 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,104,850 -------------- PHARMACEUTICALS 1.0% Valeant Pharmaceuticals International 8,720 147,542 MGI Pharma, Inc.*+ 5,930 127,495 Medicis Pharmaceutical Corp. -- Class A+ 5,172 124,128 Perrigo Co. 6,910 111,251 Alpharma, Inc. -- Class A 4,086 98,228 KV Pharmaceutical Co.*+ 4,270 79,678 Adolor Corp.* 2,990 74,780 Par Pharmaceutical Cos., Inc.* 3,902 72,031 Viropharma, Inc.* 6,710 57,840 Sciele Pharma, Inc.*+ 2,480 57,511 CNS, Inc. 1,430 35,035 New River Pharmaceuticals, Inc.*+ 1,190 33,915 Pozen, Inc.* 4,810 33,862 Pain Therapeutics, Inc.* 4,010 33,484 Connetics Corp.* 2,810 33,046 Hi-Tech Pharmacal Co., Inc.* 1 8 -------------- TOTAL PHARMACEUTICALS 1,119,834 -------------- TOTAL HEALTH CARE 8,270,865 -------------- ENERGY 3.7% OIL & GAS 2.0% KCS Energy, Inc.* 4,980 147,906 Penn Virginia Corp. 1,790 125,085 Swift Energy Co.*+ 2,640 113,335 World Fuel Services Corp. 2,400 109,656 Frontier Oil Corp.+ 3,350 108,540 Berry Petroleum Co. -- Class A 3,262 108,135 Cimarex Energy Co.+ 2,500 107,500 St. Mary Land & Exploration Co. 2,630 105,857 Cabot Oil & Gas Corp.+ 2,160 105,840 Alpha Natural Resources, Inc.*+ 5,160 101,239 Giant Industries, Inc.* 1,490 99,160 - -------------------------------------------------------------------------------- 10 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Atlas America, Inc.* 2,050 $ 91,861 Parallel Petroleum Corp.* 3,700 91,427 Holly Corp.+ 1,830 88,206 Helix Energy Solutions Group, Inc.*+ 2,010 81,124 Rosetta Resources, Inc.* 4,510 74,956 Petroleum Development Corp.* 1,610 60,697 Pacific Ethanol, Inc.*+ 2,490 57,569 Western Refining, Inc. 2,620 56,540 Crosstex Energy, Inc. 590 56,097 Foundation Coal Holdings, Inc.+ 1,140 53,500 Harvest Natural Resources, Inc.* 3,910 52,941 USEC, Inc. 3,490 41,357 GMX Resources, Inc.* 1,100 34,012 Edge Petroleum Corp.* 1,630 32,567 Alon USA Energy, Inc. 1,030 32,414 W&T Offshore, Inc.+ 640 24,890 Cheniere Energy, Inc.* 1 37 -------------- TOTAL OIL & GAS 2,162,448 -------------- ENERGY EQUIPMENT & SERVICES 1.7% Maverick Tube Corp.*+ 3,282 207,390 Lone Star Technologies, Inc.*+ 3,060 165,301 Oil States International, Inc.*+ 4,430 151,860 Grey Wolf, Inc.* 18,906 145,576 W-H Energy Services, Inc.* 2,840 144,357 Hydril* 1,673 131,364 NS Group, Inc.*+ 2,100 115,668 Superior Energy Services, Inc.*+ 3,170 107,463 Lufkin Industries, Inc. 1,620 96,277 Parker Drilling Co.* 12,154 87,266 SEACOR Holdings, Inc.*+ 820 67,322 Veritas DGC, Inc.*+ 1,220 62,928 Todco -- Class A 1,540 62,909 Oceaneering International, Inc.* 1,350 61,897 Tetra Technologies, Inc.*+ 1,870 56,642 Atwood Oceanics, Inc.* 870 43,152 Hornbeck Offshore Services, Inc.*+ 990 35,165 GulfMark Offshore, Inc.* 1,350 34,870 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Warrior Energy Service Corp.* 1,400 $ 34,062 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,811,469 -------------- TOTAL ENERGY 3,973,917 -------------- MATERIALS 2.7% METALS & MINING 1.3% Aleris International, Inc.* 3,260 149,471 Oregon Steel Mills, Inc.*+ 2,750 139,315 Quanex Corp. 2,960 127,487 Cleveland-Cliffs, Inc. 1,380 109,420 Reliance Steel & Aluminum Co. 1,290 107,006 Commercial Metals Co. 3,970 102,029 Steel Dynamics, Inc.+ 1,530 100,582 Carpenter Technology Corp.+ 860 99,330 Ryerson Tull, Inc.+ 3,162 85,374 Titanium Metals Corp.*+ 2,430 83,544 Metal Management, Inc. 2,670 81,755 AK Steel Holding Corp.*+ 5,820 80,491 Coeur d'Alene Mines Corp.*+ 13,000 62,530 Chaparral Steel Co.* 720 51,854 -------------- TOTAL METALS & MINING 1,380,188 -------------- CHEMICALS 0.9% H.B. Fuller Co. 3,032 132,104 Olin Corp. 6,402 114,788 Hercules, Inc.*+ 6,710 102,395 Georgia Gulf Corp. 3,710 92,824 NewMarket Corp. 1,880 92,233 Rockwood Holdings, Inc.* 3,650 83,986 Spartech Corp. 3,642 82,309 A. Schulman, Inc. 3,582 81,992 OM Group, Inc.* 2,400 74,040 Ferro Corp. 3,331 53,163 Pioneer Cos., Inc.* 1,180 32,190 -------------- TOTAL CHEMICALS 942,024 -------------- CONSTRUCTION MATERIALS 0.3% Texas Industries, Inc.+ 2,100 111,510 Eagle Materials, Inc.+ 2,220 105,450 Headwaters, Inc.* 3,950 100,962 -------------- TOTAL CONSTRUCTION MATERIALS 317,922 -------------- - -------------------------------------------------------------------------------- 11 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CONTAINERS & PACKAGING 0.1% Silgan Holdings, Inc. 2,360 $ 87,344 Greif, Inc. -- Class A 1,115 83,580 -------------- TOTAL CONTAINERS & PACKAGING 170,924 -------------- PAPER & FOREST PRODUCTS 0.1% Deltic Timber Corp. 960 54,115 Glatfelter+ 2,350 37,295 -------------- TOTAL PAPER & FOREST PRODUCTS 91,410 -------------- TOTAL MATERIALS 2,902,468 -------------- CONSUMER STAPLES 1.6% FOOD & DRUG RETAILING 0.6% Longs Drug Stores Corp. 3,072 140,145 United Natural Foods, Inc.*+ 3,990 131,750 Performance Food Group Co.*+ 3,266 99,221 Central European Distribution Corp.*+ 3,675 92,463 Andersons, Inc. 1,660 69,072 Wild Oats Markets, Inc.*+ 3,162 61,975 Great Atlantic & Pacific Tea Co.+ 2,300 52,256 Nash Finch Co. 1,500 31,935 -------------- TOTAL FOOD & DRUG RETAILING 678,817 -------------- FOOD PRODUCTS 0.5% Flowers Foods, Inc.+ 4,952 141,825 Ralcorp Holdings, Inc.* 2,430 103,348 Corn Products International, Inc. 2,920 89,352 Tootsie Roll Industries, Inc. 2,962 86,283 Hain Celestial Group, Inc.*+ 2,570 66,203 Seaboard Corp. 50 64,000 Reddy Ice Holdings, Inc. 1,660 33,781 -------------- TOTAL FOOD PRODUCTS 584,792 -------------- PERSONAL PRODUCTS 0.3% NBTY, Inc.* 5,700 136,287 Chattem, Inc.* 1,740 52,844 Elizabeth Arden, Inc.* 1,940 34,687 Medifast, Inc.* 1,900 33,953 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Parlux Fragrances, Inc.* 3,310 $ 32,074 -------------- TOTAL PERSONAL PRODUCTS 289,845 -------------- BEVERAGES 0.1% Hansen Natural Corp.* 550 104,704 -------------- TOTAL BEVERAGES 104,704 -------------- HOUSEHOLD PRODUCTS 0.1% Central Garden and Pet Co.* 2,270 97,724 -------------- TOTAL HOUSEHOLD PRODUCTS 97,724 -------------- TOBACCO 0.0% Alliance One International, Inc. 7,892 35,040 -------------- TOTAL TOBACCO 35,040 -------------- TOTAL CONSUMER STAPLES 1,790,922 -------------- UTILITIES 1.6% ELECTRIC UTILITIES 0.8% IDACORP, Inc. 4,110 140,932 Duquesne Light Holdings, Inc. 6,992 114,948 Cleco Corp. 4,682 108,857 Sierra Pacific Resources*+ 7,600 106,400 Unisource Energy Corp. 3,342 104,103 Otter Tail Power Co. 3,592 98,169 Portland General Electric Co. 3,310 82,651 Allete, Inc.+ 900 42,615 Westar Energy, Inc. 1,500 31,575 -------------- TOTAL ELECTRIC UTILITIES 830,250 -------------- GAS UTILITIES 0.5% Nicor, Inc.+ 4,142 171,893 Southwest Gas Corp. 3,692 115,707 Northwest Natural Gas Co.+ 2,822 104,499 South Jersey Industries, Inc. 3,232 88,525 Laclede Group, Inc. 2,540 87,274 Southern Union, Co. 1 19 -------------- TOTAL GAS UTILITIES 567,917 -------------- - -------------------------------------------------------------------------------- 12 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MULTI-UTILITIES 0.2% Avista Corp. 4,692 $ 107,119 Ormat Technologies, Inc. 900 34,335 Aquila, Inc.* 7,810 32,880 -------------- TOTAL MULTI-UTILITIES 174,334 -------------- WATER UTILITIES 0.1% California Water Service Group 2,130 76,126 American States Water Co. 1,090 38,858 SJW Corp. 1,410 35,885 -------------- TOTAL WATER UTILITIES 150,869 -------------- TOTAL UTILITIES 1,723,370 -------------- TELECOMMUNICATION SERVICES 0.7% DIVERSIFIED TELECOMMUNICATION SERVICES 0.4% Time Warner Telecom, Inc. -- Class A*+ 7,400 109,890 Level 3 Communications, Inc.*+ 22,800 101,232 Broadwing Corp.*+ 8,180 84,663 Golden Telecom, Inc. 2,160 54,756 NeuStar, Inc.*+ 1,530 51,637 Valor Communications Group, Inc.+ 4,440 50,838 Iowa Telecommunications Services, Inc. 2,040 38,597 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 491,613 -------------- WIRELESS TELECOMMUNICATION SERVICES 0.3% SBA Communications Corp.* 4,170 109,004 Dobson Communications Corp. -- Class A*+ 12,903 99,740 Ubiquitel, Inc.* 9,044 93,515 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 302,259 -------------- TOTAL TELECOMMUNICATION SERVICES 793,872 -------------- TOTAL COMMON STOCKS (Cost $59,100,545) 67,217,225 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 28.6% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 3,352,893 $ 3,352,893 Credit Suisse at 4.55% due 07/03/06++ 4,526,797 4,526,797 Lehman Brothers, Inc. at 4.45% due 07/03/06 3,208 3,208 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 10,706,730 10,706,730 Morgan Stanley at 4.40% due 07/03/06 6,067,147 6,067,147 Citigroup, Inc. at 4.10% due 07/03/06 6,245,593 6,245,593 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $30,902,368) 30,902,368 -------------- SECURITIES LENDING COLLATERAL 15.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 17,023,932 17,023,932 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $17,023,932) 17,023,932 -------------- TOTAL INVESTMENTS 106.7% (Cost $107,026,845) $ 115,143,525 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (6.7)% $ (7,238,361) -------------- NET ASSETS - 100.0% $ 107,905,164 - -------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $43,476,000) 600 $ 521,417 -------------- - -------------------------------------------------------------------------------- 13 RUSSELL 2000(R) ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- UNREALIZED UNITS GAIN - ------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS August 2006 Russell 2000 Index Swap, Maturing 08/23/06** (Notional Market Value $35,639,271) 49,180 $ 836,569 September 2006 Russell 2000 Index Swap, Maturing 09/28/06** (Notional Market Value $14,818,760) 20,449 409,993 (TOTAL NOTIONAL MARKET VALUE $50,458,031) $ 1,246,562 -------------- * Non-Income Producing Security. ** Price Return based on Russell 2000 Index +/- financing at a variable rate. + All or a portion of this security is on loan at June 30, 2006. ++ All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 14 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 36.5% FINANCIALS 8.0% REAL ESTATE 2.8% Alexandria Real Estate Equities, Inc. 130 $ 11,528 Highwoods Properties, Inc. 256 9,262 LaSalle Hotel Properties 188 8,704 Post Properties, Inc. 186 8,433 American Home Mortgage Investment Corp. 220 8,109 BioMed Realty Trust, Inc. 270 8,084 Nationwide Health Properties, Inc. 350 7,878 Washington Real Estate Investment Trust 210 7,707 KKR Financial Corp. 370 7,700 Pennsylvania Real Estate Investment Trust 190 7,670 Potlatch Corp. 200 7,550 Corporate Office Properties Trust SBI/MD 174 7,322 Mid-America Apartment Communities, Inc. 110 6,133 FelCor Lodging Trust, Inc. 282 6,131 Maguire Properties, Inc. 170 5,979 Strategic Hotel Capital, Inc. 280 5,807 Trammell Crow Co.* 160 5,627 Entertainment Properties Trust 130 5,597 National Retail Properties, Inc. 280 5,586 Home Properties, Inc. 100 5,551 Colonial Properties Trust 110 5,434 Sunstone Hotel Investors, Inc. 186 5,405 Senior Housing Properties Trust 300 5,373 Taubman Centers, Inc. 130 5,317 Jones Lang LaSalle, Inc. 60 5,253 Highland Hospitality Corp. 370 5,210 Eastgroup Properties, Inc. 110 5,135 PS Business Parks, Inc. 86 5,074 Tanger Factory Outlet Centers, Inc. 156 5,050 Equity Inns, Inc. 300 4,968 Impac Mortgage Holdings, Inc. 440 4,919 Heritage Property Investment Trust 140 4,889 Sovran Self Storage, Inc. 96 4,876 DiamondRock Hospitality Co. 320 4,739 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Equity Lifestyle Properties, Inc. 108 $ 4,734 Spirit Finance Corp. 420 4,729 Innkeepers USA Trust 270 4,666 Kilroy Realty Corp. 60 4,335 Brandywine Realty Trust 120 3,860 Cousins Properties, Inc. 110 3,402 Acadia Realty Trust 140 3,311 First Potomac Realty Trust 106 3,158 LTC Properties, Inc. 130 2,906 Saul Centers, Inc. 68 2,773 Fieldstone Investment Corp. 302 2,766 Digital Realty Trust, Inc. 110 2,716 -------------- TOTAL REAL ESTATE 261,356 -------------- BANKS 2.6% First Midwest Bancorp, Inc./IL 230 8,528 Westamerica Bancorporation 172 8,423 SVB Financial Group* 182 8,274 UCBH Holdings, Inc. 446 7,377 United Bankshares, Inc. 200 7,326 Hancock Holding Co. 130 7,280 Umpqua Holding Corp. 282 7,233 Greater Bay Bancorp 250 7,187 Pacific Capital Bancorp 230 7,158 Sterling Financial Corp./WA 194 5,919 First Community Bancorp/CA 100 5,908 Provident Bankshares Corp. 160 5,822 Chittenden Corp. 222 5,739 Central Pacific Financial Corp. 146 5,650 Susquehanna Bancshares, Inc. 230 5,497 Alabama National Bancorporation 80 5,452 BancorpSouth, Inc. 200 5,450 First Republic Bank 118 5,404 Wintrust Financial Corp. 106 5,390 UMB Financial Corp. 160 5,334 Republic Bancorp, Inc./MI 430 5,328 Signature Bank/NY* 160 5,181 Glacier Bancorp, Inc. 170 4,976 National Penn Bancshares, Inc. 250 4,965 Boston Private Financial Holdings, Inc. 176 4,910 Citizens Banking Corp./MI 200 4,882 Sterling Bancshares, Inc./TX 260 4,875 Frontier Financial Corp. 140 4,759 FNB Corp. 300 4,731 - -------------------------------------------------------------------------------- 1 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MB Financial Corp. 130 $ 4,597 Texas Regional Bancshares, Inc. -- Class A 120 4,550 Hanmi Financial Corp. 230 4,471 First Bancorp Puerto Rico 450 4,185 PrivateBancorp, Inc. 100 4,141 First Citizens BancShares, Inc. -- Class A 20 4,010 Prosperity Bancshares, Inc. 120 3,947 Trustmark Corp. 120 3,716 City Holding Co. 86 3,108 Independent Bank Corp./MI 110 2,901 Sandy Spring Bancorp, Inc. 80 2,885 Columbia Banking Systems, Inc. 76 2,841 Community Trust Bancorp, Inc. 80 2,794 Capitol Bancorp, Ltd. 70 2,727 First State Bancorporation/NM 106 2,521 Centennial Bank Holdings, Inc.* 200 2,068 1st Source Corp. 60 2,030 Cathay General Bancorp 50 1,819 Midwest Banc Holdings, Inc. 80 1,780 First Indiana Corp. 68 1,770 Oriental Financial Group 138 1,761 R&G Financial Corp. -- Class B 200 1,718 Nara Bancorp, Inc. 90 1,688 Center Financial Corp. 70 1,655 Wilshire Bancorp, Inc. 90 1,622 Preferred Bank/CA 30 1,608 Sterling Bancorp/NY 80 1,560 Seacoast Banking Corporation of Florida 58 1,545 -------------- TOTAL BANKS 250,976 -------------- THRIFTS & MORTGAGE FINANCE 0.9% MAF Bancorp, Inc. 170 7,283 Downey Financial Corp. 100 6,785 First Niagara Financial Group, Inc. 470 6,590 Corus Bankshares, Inc. 190 4,974 Accredited Home Lenders Holding Co.* 104 4,972 FirstFed Financial Corp.* 86 4,960 Bankunited Financial Corp. -- Class A 160 4,883 TrustCo Bank Corp./NY 430 4,739 MARKET SHARES VALUE - ------------------------------------------------------------------------------- PFF Bancorp, Inc. 130 $ 4,311 Harbor Florida Bancshares, Inc. 116 4,308 Anchor BanCorp Wisconsin, Inc. 120 3,621 Fremont General Corp. 180 3,341 BankAtlantic Bancorp, Inc. -- Class A 210 3,116 TierOne Corp. 90 3,039 Triad Guaranty, Inc.* 60 2,933 Flagstar Bancorp, Inc. 180 2,873 Partners Trust Financial Group, Inc. 240 2,738 Federal Agricultural Mortgage Corp. 70 1,939 Fidelity Bankshares, Inc. 60 1,909 City Bank/WA 40 1,866 First Place Financial Corp./OH 80 1,841 Ocwen Financial Corp.* 130 1,652 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 84,673 -------------- INSURANCE 0.8% Ohio Casualty Corp. 290 8,622 National Financial Partners Corp. 180 7,976 Delphi Financial Group, Inc. -- Class A 218 7,926 Selective Insurance Group, Inc. 140 7,822 ProAssurance Corp.* 150 7,227 Zenith National Insurance Corp. 130 5,157 RLI Corp. 106 5,107 LandAmerica Financial Group, Inc. 76 4,910 Argonaut Group, Inc.* 160 4,806 Safety Insurance Group, Inc. 66 3,138 Stewart Information Services Corp. 78 2,832 Tower Group, Inc. 90 2,722 Presidential Life Corp. 110 2,704 American Physicians Capital, Inc.* 50 2,630 Navigators Group, Inc.* 56 2,454 Infinity Property & Casualty Corp. 50 2,050 - -------------------------------------------------------------------------------- 2 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- SeaBright Insurance Holdings, Inc.* 100 $ 1,611 -------------- TOTAL INSURANCE 79,694 -------------- CAPITAL MARKETS 0.5% Waddell & Reed Financial, Inc. -- Class A 400 8,224 Knight Capital Group, Inc. -- Class A* 510 7,767 Piper Jaffray Cos., Inc.* 108 6,611 Investment Technology Group, Inc.* 90 4,577 Calamos Asset Management, Inc. -- Class A 148 4,291 LaBranche & Co., Inc.* 352 4,263 Greenhill & Co., Inc. 66 4,010 optionsXpress Holdings, Inc. 120 2,797 GFI Group, Inc.* 30 1,618 -------------- TOTAL CAPITAL MARKETS 44,158 -------------- CONSUMER FINANCE 0.3% Cash America International, Inc. 168 5,376 CompuCredit Corp.* 120 4,613 Advanta Corp. 120 4,314 World Acceptance Corp.* 90 3,197 Advance America Cash Advance Centers, Inc. 170 2,982 Asta Funding, Inc. 60 2,247 ACE Cash Express, Inc.* 68 1,990 Ezcorp, Inc. -- Class A* 50 1,884 -------------- TOTAL CONSUMER FINANCE 26,603 -------------- DIVERSIFIED FINANCIALS 0.1% Financial Federal Corp. 160 4,450 Portfolio Recovery Associates, Inc.* 86 3,930 Nasdaq Stock Market, Inc.* 100 2,990 International Securities Exchange, Inc. 60 2,284 -------------- TOTAL DIVERSIFIED FINANCIALS 13,654 -------------- TOTAL FINANCIALS 761,114 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- INFORMATION TECHNOLOGY 6.9% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.5% Varian Semiconductor Equipment Associates, Inc.* 260 $ 8,479 Cymer, Inc.* 176 8,177 Microsemi Corp.* 326 7,948 Sirf Technology Holdings, Inc.* 180 5,800 Zoran Corp.* 228 5,550 OmniVision Technologies, Inc.* 260 5,491 Rambus, Inc.* 230 5,246 Trident Microsystems, Inc.* 276 5,238 Semtech Corp.* 354 5,115 Silicon Image, Inc.* 470 5,067 ON Semiconductor Corp.* 860 5,057 Amkor Technology, Inc.* 520 4,919 ATMI, Inc.* 198 4,875 Cirrus Logic, Inc.* 560 4,558 Formfactor, Inc.* 100 4,463 Cabot Microelectronics Corp.* 146 4,425 Atheros Communications, Inc.* 216 4,095 MKS Instruments, Inc.* 196 3,944 Silicon Laboratories, Inc.* 110 3,866 Photronics, Inc.* 258 3,818 Micrel, Inc.* 370 3,704 Integrated Device Technology, Inc.* 260 3,687 Diodes, Inc.* 78 3,232 Atmel Corp.* 580 3,219 RF Micro Devices, Inc.* 520 3,104 Veeco Instruments, Inc.* 130 3,099 Fairchild Semiconductor International, Inc.* 170 3,089 Cypress Semiconductor Corp.* 190 2,763 Intevac, Inc.* 120 2,602 Netlogic Microsystems, Inc.* 70 2,257 Power Integrations, Inc.* 120 2,098 Asyst Technologies, Inc.* 230 1,732 ADE Corp.* 50 1,625 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 142,342 -------------- SOFTWARE 1.4% RSA Security, Inc.* 360 9,788 - -------------------------------------------------------------------------------- 3 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Ansys, Inc.* 180 $ 8,608 Micros Systems, Inc.* 190 8,299 Transaction Systems Architects, Inc. -- Class A* 190 7,921 Hyperion Solutions Corp.* 280 7,728 TIBCO Software, Inc.* 1,070 7,543 MicroStrategy, Inc. -- Class A* 76 7,412 Nuance Communications, Inc.* 620 6,237 Informatica Corp.* 432 5,685 Quest Software, Inc.* 370 5,195 Macrovision Corp.* 236 5,079 Intergraph Corp.* 150 4,724 Sybase, Inc.* 230 4,462 Advent Software, Inc.* 120 4,328 Internet Security Systems, Inc.* 220 4,147 SPSS, Inc.* 120 3,857 Factset Research Systems, Inc. 80 3,784 THQ, Inc.* 170 3,672 Aspen Technology, Inc.* 250 3,280 Blackboard, Inc.* 100 2,896 Open Solutions, Inc.* 106 2,821 Progress Software Corp.* 120 2,809 Quality Systems, Inc. 76 2,798 Lawson Software, Inc.* 380 2,546 Secure Computing Corp.* 290 2,494 Filenet Corp.* 70 1,885 Smith Micro Software, Inc.* 110 1,762 -------------- TOTAL SOFTWARE 131,760 -------------- COMMUNICATIONS EQUIPMENT 1.0% Interdigital Communications Corp.* 270 9,426 Polycom, Inc.* 398 8,724 CommScope, Inc.* 266 8,358 Foundry Networks, Inc.* 710 7,569 ADTRAN, Inc. 330 7,402 Arris Group, Inc.* 490 6,429 Avocent Corp.* 240 6,300 3Com Corp.* 1,050 5,376 Plantronics, Inc. 240 5,330 Redback Networks, Inc.* 284 5,209 Netgear, Inc.* 210 4,546 Sycamore Networks, Inc.* 1,020 4,141 Powerwave Technologies, Inc.* 450 4,104 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Black Box Corp. 106 $ 4,063 Ciena Corp.* 810 3,896 Extreme Networks, Inc.* 650 2,704 Packeteer, Inc.* 210 2,381 -------------- TOTAL COMMUNICATIONS EQUIPMENT 95,958 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.9% Plexus Corp.* 226 7,731 Benchmark Electronics, Inc.* 320 7,718 Itron, Inc.* 126 7,467 Flir Systems, Inc.* 330 7,280 Coherent, Inc.* 156 5,262 Rogers Corp.* 90 5,071 Rofin-Sinar Technologies, Inc.* 88 5,057 Global Imaging Systems, Inc.* 120 4,954 Scansource, Inc.* 150 4,398 MTS Systems Corp. 106 4,188 Brightpoint, Inc.* 280 3,788 Littelfuse, Inc.* 100 3,438 TTM Technologies, Inc.* 220 3,183 CTS Corp. 210 3,127 KEMET Corp.* 330 3,043 Park Electrochemical Corp. 110 2,832 Agilsys, Inc. 150 2,700 Electro Scientific Industries, Inc.* 150 2,699 Checkpoint Systems, Inc.* 100 2,221 LoJack Corp.* 100 1,886 Multi-Fineline Electronix, Inc.* 50 1,660 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 89,703 -------------- INTERNET SOFTWARE & SERVICES 0.9% aQuantive, Inc.* 342 8,663 Digital River, Inc.* 190 7,674 ValueClick, Inc.* 460 7,061 j2 Global Communications, Inc.* 216 6,743 RealNetworks, Inc.* 586 6,270 Openwave Systems, Inc.* 500 5,770 EarthLink, Inc.* 660 5,716 Digital Insight Corp.* 160 5,486 Websense, Inc.* 246 5,053 Digitas, Inc.* 430 4,997 United Online, Inc. 370 4,440 - -------------------------------------------------------------------------------- 4 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- InfoSpace, Inc.* 190 $ 4,307 WebEx Communications, Inc.* 90 3,199 CNET Networks, Inc.* 360 2,873 Vignette Corp.* 180 2,624 Bankrate, Inc.* 50 1,888 Click Commerce, Inc.* 90 1,776 -------------- TOTAL INTERNET SOFTWARE & SERVICES 84,540 -------------- IT CONSULTING & SERVICES 0.6% MPS Group, Inc.* 510 7,681 BISYS Group, Inc.* 550 7,535 Perot Systems Corp. -- Class A* 400 5,792 CSG Systems International, Inc.* 230 5,690 Acxiom Corp. 220 5,500 MoneyGram International, Inc. 160 5,432 eFunds Corp.* 230 5,072 Talx Corp. 200 4,374 MAXIMUS, Inc. 116 2,685 Mantech International Corp. -- Class A* 76 2,345 SYKES Enterprises, Inc.* 120 1,939 Euronet Worldwide, Inc.* 50 1,919 infoUSA, Inc. -- Class B 168 1,732 -------------- TOTAL IT CONSULTING & SERVICES 57,696 -------------- COMPUTERS & PERIPHERALS 0.6% Komag, Inc.* 160 7,389 Palm, Inc.* 430 6,923 Brocade Communications Systems, Inc.* 1,110 6,815 Electronics for Imaging, Inc.* 266 5,554 Rackable Systems, Inc.* 140 5,529 Emulex Corp.* 330 5,369 Intermec, Inc.* 230 5,276 Imation Corp. 90 3,694 McData Corp. -- Class A* 760 3,101 Synaptics, Inc.* 116 2,482 Neoware, Inc.* 150 1,844 -------------- TOTAL COMPUTERS & PERIPHERALS 53,976 -------------- TOTAL INFORMATION TECHNOLOGY 655,975 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CONSUMER DISCRETIONARY 5.7% SPECIALTY RETAIL 1.4% Aeropostale, Inc.* 290 $ 8,378 Payless Shoesource, Inc.* 308 8,368 Regis Corp. 216 7,692 Charming Shoppes, Inc.* 640 7,194 Group 1 Automotive, Inc. 126 7,099 Too, Inc.* 180 6,910 Pacific Sunwear of California, Inc.* 330 5,917 Children's Place Retail Stores, Inc.* 98 5,885 Pantry, Inc.* 100 5,754 Select Comfort Corp.* 250 5,742 Gymboree Corp.* 160 5,562 Dress Barn, Inc.* 216 5,476 GameStop Corp. -- Class A* 130 5,460 Christopher & Banks Corp. 176 5,104 Cato Corp. -- Class A 190 4,911 Hibbett Sporting Goods, Inc.* 190 4,541 Genesco, Inc.* 126 4,268 Sonic Automotive, Inc. 186 4,125 Guess ?, Inc.* 98 4,091 Tractor Supply Co.* 70 3,869 Jos. A. Bank Clothiers, Inc.* 118 2,827 United Auto Group, Inc. 130 2,775 CSK Auto Corp.* 230 2,750 Talbots, Inc. 128 2,362 Citi Trends, Inc.* 40 1,708 Buckle, Inc. 40 1,675 Home Solutions of America, Inc.* 270 1,666 -------------- TOTAL SPECIALTY RETAIL 132,109 -------------- HOTELS, RESTAURANTS & LEISURE 1.1% Aztar Corp.* 160 8,313 Pinnacle Entertainment, Inc.* 252 7,724 Ruby Tuesday, Inc. 304 7,421 Jack in the Box, Inc.* 178 6,977 Shuffle Master, Inc.* 190 6,228 Vail Resorts, Inc.* 166 6,159 Rare Hospitality International, Inc.* 180 5,177 CEC Entertainment, Inc.* 160 5,139 Bob Evans Farms, Inc. 170 5,102 CKE Restaurants, Inc. 306 5,083 Domino's Pizza, Inc. 196 4,849 IHOP Corp. 98 4,712 - -------------------------------------------------------------------------------- 5 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Papa John's International, Inc.* 136 $ 4,515 CBRL Group, Inc. 90 3,053 WMS Industries, Inc.* 110 3,013 Speedway Motorsports, Inc. 76 2,868 Landry's Restaurants, Inc. 86 2,791 Ameristar Casinos, Inc. 138 2,684 Steak n Shake Co.* 170 2,574 Six Flags, Inc.* 320 1,798 Krispy Kreme Doughnuts, Inc.* 214 1,742 Applebee's International, Inc. 90 1,730 Monarch Casino & Resort, Inc.* 60 1,687 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 101,339 -------------- MEDIA 0.7% Catalina Marketing Corp. 270 7,684 Reader's Digest Association, Inc. 490 6,840 Valassis Communications, Inc.* 280 6,605 Arbitron, Inc. 150 5,749 Lee Enterprises, Inc. 210 5,660 Entercom Communications Corp. 202 5,284 Scholastic Corp.* 180 4,675 Belo Corp. -- Class A 250 3,900 Advo, Inc. 150 3,692 Morningstar, Inc.* 70 2,904 Cumulus Media, Inc. -- Class A* 240 2,561 Courier Corp. 50 2,001 Playboy Enterprises, Inc. -- Class B* 180 1,796 Journal Register Co. 190 1,702 Citadel Broadcasting Corp. 190 1,691 World Wrestling Entertainment, Inc. 100 1,689 -------------- TOTAL MEDIA 64,433 -------------- TEXTILES & APPAREL 0.6% Phillips-Van Heusen Corp. 240 9,158 Brown Shoe Co., Inc. 148 5,044 Carter's, Inc.* 190 5,022 Warnaco Group, Inc.* 260 4,857 Kellwood Co. 150 4,390 K-Swiss, Inc. -- Class A 158 4,219 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Timberland Co. -- Class A* 160 $ 4,176 Steven Madden, Ltd. 130 3,851 Fossil, Inc.* 210 3,782 Wolverine World Wide, Inc. 150 3,499 Columbia Sportswear Co.* 70 3,168 Oxford Industries, Inc. 80 3,153 Skechers U.S.A., Inc. -- Class A* 110 2,652 Deckers Outdoor Corp.* 50 1,928 True Religion Apparel, Inc.* 100 1,770 -------------- TOTAL TEXTILES & APPAREL 60,669 -------------- HOUSEHOLD DURABLES 0.6% Ethan Allen Interiors, Inc. 174 6,360 Jarden Corp.* 180 5,481 Furniture Brands International, Inc. 260 5,418 American Greetings Corp. -- Class A 250 5,252 Meritage Homes Corp.* 110 5,197 Yankee Candle Co., Inc. 196 4,902 Champion Enterprises, Inc.* 440 4,858 WCI Communities, Inc.* 218 4,391 La-Z-Boy, Inc. 300 4,200 Brookfield Homes Corp. 90 2,966 Interface, Inc. -- Class A* 236 2,702 Avatar Holdings, Inc.* 30 1,709 -------------- TOTAL HOUSEHOLD DURABLES 53,436 -------------- COMMERCIAL SERVICES & SUPPLIES 0.3% Sotheby's Holdings, Inc. -- Class A* 290 7,612 DeVry, Inc.* 330 7,250 Strayer Education, Inc. 70 6,798 Jackson Hewitt Tax Service, Inc. 170 5,329 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 26,989 -------------- AUTO COMPONENTS 0.3% Tenneco Automotive, Inc.* 242 6,292 ArvinMeritor, Inc. 320 5,501 Modine Manufacturing Co. 190 4,438 LKQ Corp.* 220 4,180 Aftermarket Technology Corp.* 110 2,734 - -------------------------------------------------------------------------------- 6 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Drew Industries, Inc.* 80 $ 2,592 -------------- TOTAL AUTO COMPONENTS 25,737 -------------- INTERNET & CATALOG RETAIL 0.2% Netflix, Inc.* 210 5,714 Priceline.com, Inc.* 150 4,479 Coldwater Creek, Inc.* 140 3,747 Nutri/System, Inc.* 60 3,728 Stamps.com, Inc.* 98 2,726 -------------- TOTAL INTERNET & CATALOG RETAIL 20,394 -------------- MULTILINE RETAIL 0.1% Big Lots, Inc.* 510 8,711 99 Cents Only Stores* 180 1,883 Bon-Ton Stores, Inc. 80 1,750 Conn's, Inc.* 60 1,593 -------------- TOTAL MULTILINE RETAIL 13,937 -------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Marvel Entertainment, Inc.* 250 5,000 RC2 Corp.* 94 3,634 Jakks Pacific, Inc.* 136 2,732 Callaway Golf Co. 160 2,079 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 13,445 -------------- DISTRIBUTORS 0.1% Building Material Holding Corp. 160 4,459 Keystone Automotive Industries, Inc.* 100 4,222 DXP Enterprises, Inc.* 60 1,864 -------------- TOTAL DISTRIBUTORS 10,545 -------------- AUTOMOBILES 0.1% Winnebago Industries, Inc. 170 5,277 Thor Industries, Inc. 80 3,876 -------------- TOTAL AUTOMOBILES 9,153 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES 0.1% Alderwoods Group, Inc.* 230 $ 4,476 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 4,476 -------------- TOTAL CONSUMER DISCRETIONARY 536,662 -------------- INDUSTRIALS 5.3% COMMERCIAL SERVICES & SUPPLIES 1.3% United Stationers, Inc.* 166 8,187 Waste Connections, Inc.* 220 8,008 Brady Corp. -- Class A 208 7,663 Watson Wyatt & Co., Holdings 210 7,378 Labor Ready, Inc.* 264 5,980 John H. Harland Co. 130 5,655 Mine Safety Appliances Co. 136 5,467 FTI Consulting, Inc.* 200 5,354 Resources Connection, Inc.* 210 5,254 American Reprographics Co.* 140 5,075 NCO Group, Inc.* 180 4,759 Advisory Board Co.* 98 4,713 Covanta Holding Corp.* 250 4,412 Korn/Ferry International, Inc.* 220 4,310 Administaff, Inc. 120 4,297 Viad Corp. 136 4,257 IKON Office Solutions, Inc. 300 3,780 Consolidated Graphics, Inc.* 56 2,915 Rollins, Inc. 140 2,750 Cenveo, Inc.* 150 2,693 Corrections Corporation of America* 50 2,647 CRA International, Inc.* 58 2,618 Spherion Corp.* 260 2,371 Mobile Mini, Inc.* 80 2,341 Banta Corp. 50 2,317 School Specialty, Inc.* 60 1,911 Sourcecorp, Inc.* 70 1,735 Hudson Highland Group, Inc.* 160 1,726 ICT Group, Inc.* 70 1,717 Sirva, Inc.* 250 1,618 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 123,908 -------------- MACHINERY 1.1% Wabtec Corp. 230 8,602 - -------------------------------------------------------------------------------- 7 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Bucyrus International, Inc. -- Class A 150 $ 7,575 Navistar International Corp.* 250 6,152 Lincoln Electric Holdings, Inc. 90 5,638 JLG Industries, Inc. 250 5,625 Kennametal, Inc. 90 5,602 Albany International Corp. -- Class A 130 5,511 Mueller Industries, Inc. 166 5,483 Crane Co. 130 5,408 Manitowoc Co., Inc. 120 5,340 Trinity Industries, Inc. 120 4,848 Valmont Industries, Inc. 100 4,649 EnPro Industries, Inc.* 128 4,301 Gardner Denver, Inc.* 110 4,235 Barnes Group, Inc. 206 4,110 AGCO Corp.* 120 3,158 Kaydon Corp. 80 2,985 American Science & Engineering, Inc.* 50 2,896 Freightcar America, Inc. 50 2,776 Astec Industries, Inc.* 80 2,730 Middleby Corp.* 30 2,597 -------------- TOTAL MACHINERY 100,221 -------------- AEROSPACE & DEFENSE 0.6% BE Aerospace, Inc.* 358 8,184 Hexcel Corp.* 460 7,226 Ceradyne, Inc.* 130 6,434 Moog, Inc. -- Class A* 180 6,160 Teledyne Technologies, Inc.* 166 5,438 Armor Holdings, Inc.* 90 4,935 DRS Technologies, Inc. 100 4,875 Triumph Group, Inc.* 100 4,800 Esterline Technologies Corp.* 70 2,911 United Industrial Corp./NY 60 2,715 Herley Industries, Inc.* 160 1,794 -------------- TOTAL AEROSPACE & DEFENSE 55,472 -------------- ELECTRICAL EQUIPMENT 0.6% Acuity Brands, Inc. 210 8,171 General Cable Corp.* 230 8,050 Genlyte Group, Inc.* 110 7,967 Regal-Beloit Corp. 166 7,329 Belden CDT, Inc. 220 7,271 Woodward Governor Co. 156 4,760 Encore Wire Corp.* 126 4,528 MARKET SHARES VALUE - ------------------------------------------------------------------------------- A.O. Smith Corp. 96 $ 4,451 Superior Essex, Inc.* 96 2,873 -------------- TOTAL ELECTRICAL EQUIPMENT 55,400 -------------- TRADING COMPANIES & DISTRIBUTORS 0.3% Watsco, Inc. 100 5,982 WESCO International, Inc.* 80 5,520 United Rentals, Inc.* 170 5,437 Beacon Roofing Supply, Inc.* 220 4,842 UAP Holding Corp. 198 4,318 Applied Industrial Technologies, Inc. 110 2,674 GATX Corp. 60 2,550 BlueLinx Holdings, Inc. 130 1,697 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 33,020 -------------- ROAD & RAIL 0.3% Genesee & Wyoming, Inc. -- Class A* 176 6,243 Arkansas Best Corp. 120 6,025 Knight Transportation, Inc. 280 5,656 Amerco, Inc.* 50 5,033 Kansas City Southern* 100 2,770 SCS Transportation, Inc.* 70 1,927 Florida East Coast Industries, Inc. 30 1,570 -------------- TOTAL ROAD & RAIL 29,224 -------------- BUILDING PRODUCTS 0.3% Simpson Manufacturing Co., Inc. 168 6,057 NCI Building Systems, Inc.* 96 5,104 Universal Forest Products, Inc. 80 5,019 Lennox International, Inc. 140 3,707 ElkCorp 96 2,666 Ameron International Corp. 30 2,011 Builders FirstSource, Inc.* 90 1,832 PW Eagle, Inc. 60 1,814 -------------- TOTAL BUILDING PRODUCTS 28,210 -------------- AIRLINES 0.3% SkyWest, Inc. 340 8,432 AirTran Holdings, Inc.* 438 6,508 - -------------------------------------------------------------------------------- 8 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Alaska Air Group, Inc.* 140 $ 5,519 Continental Airlines, Inc. -- Class B* 180 5,364 -------------- TOTAL AIRLINES 25,823 -------------- CONSTRUCTION & ENGINEERING 0.2% Granite Construction, Inc. 184 8,330 EMCOR Group, Inc.* 160 7,787 Quanta Services, Inc.* 320 5,545 URS Corp.* 60 2,520 -------------- TOTAL CONSTRUCTION & ENGINEERING 24,182 -------------- AIR FREIGHT & COURIERS 0.2% EGL, Inc.* 170 8,534 Pacer International, Inc. 178 5,799 HUB Group, Inc. -- Class A* 206 5,053 Forward Air Corp. 50 2,037 -------------- TOTAL AIR FREIGHT & COURIERS 21,423 -------------- INDUSTRIAL CONGLOMERATES 0.1% Walter Industries, Inc. 90 5,188 -------------- TOTAL INDUSTRIAL CONGLOMERATES 5,188 -------------- MARINE 0.0% American Commercial Lines, Inc.* 30 1,808 -------------- TOTAL MARINE 1,808 -------------- TOTAL INDUSTRIALS 503,879 -------------- HEALTH CARE 4.5% HEALTH CARE EQUIPMENT & SUPPLIES 1.4% Hologic, Inc.* 210 10,366 Kyphon, Inc.* 210 8,056 Steris Corp. 340 7,772 Mentor Corp. 170 7,395 Haemonetics Corp./MA* 140 6,511 American Medical Systems Holdings, Inc.* 382 6,360 Immucor, Inc.* 290 5,577 Lifecell Corp.* 176 5,442 West Pharmaceutical Services, Inc. 146 5,297 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Bio--Rad Laboratories, Inc. -- Class A* 76 $ 4,935 Dionex Corp.* 90 4,919 Intuitive Surgical, Inc.* 40 4,719 DJ Orthopedics, Inc.* 128 4,714 Biosite, Inc.* 100 4,566 PolyMedica Corp. 126 4,531 Invacare Corp. 180 4,478 Palomar Medical Technologies, Inc.* 98 4,472 Thoratec Corp.* 310 4,300 Integra LifeSciences Holdings Corp.* 108 4,192 Conmed Corp.* 150 3,105 ICU Medical, Inc.* 70 2,957 ArthroCare Corp.* 70 2,941 SurModics, Inc.* 80 2,889 Molecular Devices Corp.* 86 2,628 Candela Corp.* 160 2,538 Abaxis, Inc.* 100 2,237 OraSure Technologies, Inc.* 200 1,904 Aspect Medical Systems, Inc.* 100 1,744 Varian, Inc.* 40 1,660 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 133,205 -------------- BIOTECHNOLOGY 1.3% ICOS Corp.* 370 8,136 Alkermes, Inc.* 420 7,946 Cubist Pharmaceuticals, Inc.* 290 7,302 United Therapeutics Corp.* 106 6,124 Myogen, Inc.* 204 5,916 Vertex Pharmaceuticals, Inc.* 160 5,874 Serologicals Corp.* 184 5,785 BioMarin Pharmaceuticals, Inc.* 400 5,748 Illumina, Inc.* 190 5,635 Martek Biosciences Corp.* 190 5,500 Amylin Pharmaceuticals, Inc.* 110 5,431 Myriad Genetics, Inc.* 206 5,202 Nuvelo, Inc.* 300 4,995 Telik, Inc.* 290 4,785 Exelixis, Inc.* 450 4,523 Medarex, Inc.* 330 3,171 Digene Corp.* 76 2,944 Neurocrine Biosciences, Inc.* 260 2,756 Luminex Corp.* 150 2,609 Keryx Biopharmaceuticals, Inc.* 180 2,556 - -------------------------------------------------------------------------------- 9 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Pharmion Corp.* 140 $ 2,384 Nektar Therapeutics* 120 2,201 Alexion Pharmaceuticals, Inc.* 60 2,167 Phase Forward, Inc.* 160 1,843 Senomyx, Inc.* 126 1,818 Momenta Pharmaceuticals, Inc.* 140 1,779 Enzon Pharmaceuticals, Inc.* 230 1,734 BioCryst Pharmaceuticals, Inc.* 120 1,720 Novavax, Inc.* 340 1,714 Renovis, Inc.* 110 1,684 Sirna Therapeutics, Inc.* 290 1,653 Tanox, Inc.* 118 1,632 -------------- TOTAL BIOTECHNOLOGY 125,267 -------------- HEALTH CARE PROVIDERS & SERVICES 1.2% Healthways, Inc.* 156 8,212 Psychiatric Solutions, Inc.* 256 7,337 Chemed Corp. 130 7,089 United Surgical Partners International, Inc.* 228 6,856 Sunrise Senior Living, Inc.* 230 6,359 Magellan Health Services, Inc.* 130 5,890 American Retirement Corp.* 166 5,440 Pediatrix Medical Group, Inc.* 120 5,436 Owens & Minor, Inc. 188 5,377 LCA-Vision, Inc. 98 5,185 inVentiv Health, Inc.* 168 4,835 Genesis HealthCare Corp.* 100 4,737 Per-Se Technologies, Inc.* 186 4,683 Apria Healthcare Group, Inc.* 240 4,536 Eclipsys Corp.* 230 4,177 HealthExtras, Inc.* 120 3,626 The Trizetto Group, Inc.* 210 3,106 Centene Corp.* 110 2,588 Odyssey HealthCare, Inc.* 130 2,284 PRA International* 80 1,782 PSS World Medical, Inc.* 100 1,765 Gentiva Health Services, Inc.* 110 1,763 Dendrite International, Inc.* 190 1,756 Vital Images, Inc.* 70 1,729 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Visicu, Inc.* 90 $ 1,589 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 108,137 -------------- PHARMACEUTICALS 0.6% Valeant Pharmaceuticals International 450 7,614 MGI Pharma, Inc.* 310 6,665 Medicis Pharmaceutical Corp. -- Class A 270 6,480 Perrigo Co. 360 5,796 Alpharma, Inc. -- Class A 206 4,952 KV Pharmaceutical Co.* 220 4,105 Adolor Corp.* 150 3,751 Par Pharmaceutical Cos., Inc.* 200 3,692 Viropharma, Inc.* 350 3,017 Sciele Pharma, Inc.* 130 3,015 Connetics Corp.* 150 1,764 Pozen, Inc.* 250 1,760 Pain Therapeutics, Inc.* 210 1,754 CNS, Inc. 70 1,715 New River Pharmaceuticals, Inc.* 60 1,710 -------------- TOTAL PHARMACEUTICALS 57,790 -------------- TOTAL HEALTH CARE 424,399 -------------- ENERGY 2.2% OIL & GAS 1.2% KCS Energy, Inc.* 260 7,722 Penn Virginia Corp. 90 6,289 Swift Energy Co.* 136 5,838 St. Mary Land & Exploration Co. 140 5,635 Cimarex Energy Co. 130 5,590 Frontier Oil Corp. 170 5,508 Berry Petroleum Co. -- Class A 166 5,503 World Fuel Services Corp. 120 5,483 Cabot Oil & Gas Corp. 110 5,390 Alpha Natural Resources, Inc.* 270 5,297 Giant Industries, Inc.* 78 5,191 Atlas America, Inc.* 110 4,929 Parallel Petroleum Corp.* 190 4,695 Holly Corp. 90 4,338 Helix Energy Solutions Group, Inc.* 100 4,036 - -------------------------------------------------------------------------------- 10 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Rosetta Resources, Inc.* 230 $ 3,808 Western Refining, Inc. 140 3,021 Pacific Ethanol, Inc.* 130 3,006 Petroleum Development Corp.* 76 2,865 Foundation Coal Holdings, Inc. 60 2,816 Harvest Natural Resources, Inc.* 200 2,708 Crosstex Energy, Inc. 26 2,472 USEC, Inc. 180 2,133 GMX Resources, Inc.* 60 1,855 Edge Petroleum Corp.* 80 1,598 Alon USA Energy, Inc. 50 1,574 W&T Offshore, Inc. 30 1,167 Cheniere Energy, Inc.* 2 78 -------------- TOTAL OIL & GAS 110,545 -------------- ENERGY EQUIPMENT & SERVICES 1.0% Maverick Tube Corp.* 170 10,742 Lone Star Technologies, Inc.* 160 8,643 Oil States International, Inc.* 230 7,884 W-H Energy Services, Inc.* 150 7,625 Grey Wolf, Inc.* 982 7,561 Hydril* 90 7,067 NS Group, Inc.* 106 5,838 Superior Energy Services, Inc.* 160 5,424 Lufkin Industries, Inc. 78 4,636 Parker Drilling Co.* 628 4,509 SEACOR Holdings, Inc.* 40 3,284 Todco -- Class A 80 3,268 Oceaneering International, Inc.* 70 3,210 Veritas DGC, Inc.* 60 3,095 Tetra Technologies, Inc.* 100 3,029 Atwood Oceanics, Inc.* 50 2,480 GulfMark Offshore, Inc.* 70 1,808 Hornbeck Offshore Services, Inc.* 50 1,776 Warrior Energy Service Corp.* 70 1,703 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 93,582 -------------- TOTAL ENERGY 204,127 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MATERIALS 1.6% METALS & MINING 0.8% Aleris International, Inc.* 170 $ 7,794 Oregon Steel Mills, Inc.* 140 7,092 Quanex Corp. 150 6,461 Reliance Steel & Aluminum Co. 70 5,807 Cleveland-Cliffs, Inc. 70 5,550 Commercial Metals Co. 210 5,397 Steel Dynamics, Inc. 80 5,259 Carpenter Technology Corp. 40 4,620 Titanium Metals Corp.* 130 4,469 Metal Management, Inc. 140 4,287 Ryerson Tull, Inc. 156 4,212 AK Steel Holding Corp.* 300 4,149 Coeur d'Alene Mines Corp.* 670 3,223 Chaparral Steel Co.* 40 2,881 -------------- TOTAL METALS & MINING 71,201 -------------- CHEMICALS 0.5% H.B. Fuller Co. 164 7,145 Olin Corp. 330 5,917 Hercules, Inc.* 350 5,341 NewMarket Corp. 100 4,906 Georgia Gulf Corp. 190 4,754 Rockwood Holdings, Inc.* 194 4,464 A. Schulman, Inc. 194 4,441 Spartech Corp. 190 4,294 OM Group, Inc.* 120 3,702 Ferro Corp. 170 2,713 Pioneer Cos., Inc.* 60 1,637 -------------- TOTAL CHEMICALS 49,314 -------------- CONSTRUCTION MATERIALS 0.2% Texas Industries, Inc. 110 5,841 Eagle Materials, Inc. 110 5,225 Headwaters, Inc.* 200 5,112 -------------- TOTAL CONSTRUCTION MATERIALS 16,178 -------------- CONTAINERS & PACKAGING 0.1% Greif, Inc. -- Class A 60 4,497 Silgan Holdings, Inc. 116 4,293 -------------- TOTAL CONTAINERS & PACKAGING 8,790 -------------- - -------------------------------------------------------------------------------- 11 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS 0.0% Deltic Timber Corp. 50 $ 2,819 Glatfelter 120 1,904 -------------- TOTAL PAPER & FOREST PRODUCTS 4,723 -------------- TOTAL MATERIALS 150,206 -------------- CONSUMER STAPLES 1.0% FOOD & DRUG RETAILING 0.4% Longs Drug Stores Corp. 160 7,299 United Natural Foods, Inc.* 210 6,934 Performance Food Group Co.* 170 5,165 Central European Distribution Corp.* 190 4,780 Andersons, Inc. 90 3,745 Wild Oats Markets, Inc.* 160 3,136 Great Atlantic & Pacific Tea Co. 116 2,636 Nash Finch Co. 80 1,703 -------------- TOTAL FOOD & DRUG RETAILING 35,398 -------------- FOOD PRODUCTS 0.3% Flowers Foods, Inc. 260 7,446 Ralcorp Holdings, Inc.* 130 5,529 Corn Products International, Inc. 150 4,590 Tootsie Roll Industries, Inc. 150 4,369 Hain Celestial Group, Inc.* 130 3,349 Reddy Ice Holdings, Inc. 90 1,832 -------------- TOTAL FOOD PRODUCTS 27,115 -------------- PERSONAL PRODUCTS 0.1% NBTY, Inc.* 290 6,934 Chattem, Inc.* 90 2,733 Elizabeth Arden, Inc.* 100 1,788 Medifast, Inc.* 100 1,787 Parlux Fragrances, Inc.* 170 1,647 -------------- TOTAL PERSONAL PRODUCTS 14,889 -------------- BEVERAGES 0.1% Hansen Natural Corp.* 30 5,711 -------------- TOTAL BEVERAGES 5,711 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS 0.1% Central Garden and Pet Co.* 120 $ 5,166 -------------- TOTAL HOUSEHOLD PRODUCTS 5,166 -------------- TOBACCO 0.0% Alliance One International, Inc. 406 1,803 -------------- TOTAL TOBACCO 1,803 -------------- TOTAL CONSUMER STAPLES 90,082 -------------- UTILITIES 0.9% ELECTRIC UTILITIES 0.4% IDACORP, Inc. 210 7,201 Duquesne Light Holdings, Inc. 360 5,918 Cleco Corp. 240 5,580 Sierra Pacific Resources* 390 5,460 Otter Tail Power Co. 194 5,302 Unisource Energy Corp. 170 5,295 Portland General Electric Co. 170 4,245 Allete, Inc. 50 2,368 Westar Energy, Inc. 80 1,684 -------------- TOTAL ELECTRIC UTILITIES 43,053 -------------- GAS UTILITIES 0.3% Nicor, Inc. 206 8,549 Southwest Gas Corp. 190 5,955 Northwest Natural Gas Co. 146 5,407 South Jersey Industries, Inc. 170 4,656 Laclede Group, Inc. 126 4,329 -------------- TOTAL GAS UTILITIES 28,896 -------------- MULTI-UTILITIES 0.1% Avista Corp. 240 5,479 Ormat Technologies, Inc. 50 1,908 Aquila, Inc.* 400 1,684 -------------- TOTAL MULTI-UTILITIES 9,071 -------------- WATER UTILITIES 0.1% California Water Service Group 108 3,860 American States Water Co. 60 2,139 - -------------------------------------------------------------------------------- 12 RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- SJW Corp. 70 $ 1,781 -------------- TOTAL WATER UTILITIES 7,780 -------------- TOTAL UTILITIES 88,800 -------------- TELECOMMUNICATION SERVICES 0.4% DIVERSIFIED TELECOMMUNICATION SERVICES 0.3% Time Warner Telecom, Inc. -- Class A* 380 5,643 Level 3 Communications, Inc.* 1,180 5,239 Broadwing Corp.* 420 4,347 Golden Telecom, Inc. 110 2,788 NeuStar, Inc.* 80 2,700 Valor Communications Group, Inc. 230 2,634 Iowa Telecommunications Services, Inc. 110 2,081 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 25,432 -------------- WIRELESS TELECOMMUNICATION SERVICES 0.1% SBA Communications Corp.* 220 5,751 Dobson Communications Corp. -- Class A* 670 5,179 Ubiquitel, Inc.* 470 4,860 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 15,790 -------------- TOTAL TELECOMMUNICATION SERVICES 41,222 -------------- TOTAL COMMON STOCKS (Cost $3,434,850) 3,456,466 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 33.1% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 393,965 393,965 Credit Suisse at 4.55% due 07/03/06+ 36,395 36,395 Lehman Brothers, Inc. at 4.45% due 07/03/06 377 377 FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- Bear Stearns Cos., Inc. at $ 1,258,042 $ 1,258,042 4.40% due 07/03/06 Morgan Stanley at 4.40% due 07/03/06 712,890 712,890 Citigroup, Inc. at 4.10% due 07/03/06 733,858 733,858 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $3,135,527) 3,135,528 -------------- TOTAL INVESTMENTS 69.6% (Cost $6,570,377) $ 6,591,994 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 30.4% $ 2,876,585 -------------- NET ASSETS - 100.0% $ 9,468,579 -------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,739,040) 24 $ 38,438 -------------- UNITS ------------ EQUITY INDEX SWAP AGREEMENTS August 2006 Russell 2000 Index Swap, Maturing 8/23/2006** (Notional Market Value $2,201,516) 3,038 $ 100,080 September 2006 Russell 2000 Index Swap, Maturing 9/28/2006** (Notional Market Value $2,083,329) 2,875 19,358 (TOTAL NOTIONAL MARKET VALUE $4,284,845) $ 119,438 -------------- * Non-Income Producing Security. ** Price Return based on Russell 2000 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 13 INVERSE RUSSELL 2000(R) FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 109.1% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 17,121,868 $ 17,121,868 Credit Suisse at 4.55% due 07/03/06+ 10,492,532 10,492,532 Lehman Brothers, Inc. at 4.45% due 07/03/06 16,381 16,381 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 54,674,933 54,674,933 Morgan Stanley at 4.40% due 07/03/06 30,982,462 30,982,462 Citigroup, Inc. at 4.10% due 07/03/06 31,893,711 31,893,711 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $145,181,887) 145,181,887 -------------- TOTAL INVESTMENTS 109.1% (Cost $145,181,887) $ 145,181,887 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (9.1)% $ (12,120,915) -------------- NET ASSETS - 100.0% $ 133,060,972 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS LOSS - ------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT September 2006 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $10,651,620) 147 $ (526,076) -------------- UNITS - ------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENT SOLD SHORT August 2006 Russell 2000 Index Swap, Maturing 08/23/06* (Notional Market Value $126,459,229) 174,506 $ (1,977,236) -------------- * Price Return based on Russell 2000 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 GOVERNMENT LONG BOND ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 94.2% United States Treasury Bond 4.50% due 02/15/36 $ 91,645,000 $ 82,136,832 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $81,052,407) 82,136,832 -------------- REPURCHASE AGREEMENTS 5.0% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 560,897 560,897 Lehman Brothers, Inc. at 4.45% due 07/03/06 537 537 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 1,791,103 1,791,103 Morgan Stanley at 4.40% due 07/03/06 1,014,959 1,014,959 Citigroup, Inc. at 4.10% due 07/03/06 1,044,810 1,044,810 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $4,412,306) 4,412,306 -------------- TOTAL INVESTMENTS 99.2% (Cost $85,464,713) 86,549,138 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% 657,821 -------------- NET ASSETS - 100.0% 87,206,959 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $33,586,875) 315 260,960 -------------- - -------------------------------------------------------------------------------- 1 INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 53.8% Farmer Mac* 4.85% due 08/17/06 $ 50,000,000 $ 49,696,875 5.20% due 09/19/06 50,000,000 49,436,667 5.21% due 09/29/06 50,000,000 49,363,222 Federal Home Loan Bank* 4.95% due 07/03/06 100,000,000 100,000,000 5.20% due 09/13/06 50,000,000 49,480,000 5.20% due 09/15/06 50,000,000 49,465,555 5.26% due 09/22/06+ 50,000,000 49,408,250 Freddie Mac* 4.80% due 08/01/06+ 70,000,000 69,729,333 5.00% due 08/29/06+ 50,000,000 49,604,167 4.97% due 10/17/06+ 50,000,000 49,268,305 5.01% due 10/17/06+ 50,000,000 49,262,417 5.02% due 11/21/06+ 50,000,000 49,016,917 5.00% due 12/29/06+ 50,000,000 48,756,944 4.84% due 07/31/06 25,000,000 24,905,889 4.89% due 09/12/06+ 25,000,000 24,758,896 -------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $762,153,437) 762,153,437 -------------- CONTRACTS ------------- OPTIONS PURCHASED 0.0% Call Options on: September 2006 U.S. Treasury Bond Index Futures Contracts Expiring August 2006 with strike price of 119++ 524 -- September 2006 U.S. Treasury Bond Index Futures Contracts Expiring August 2006 with strike price of 122++ 2,682 -- -------------- TOTAL OPTIONS PURCHASED (Cost $63,719) -- -------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 125.2% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06+ $ 88,590,249 88,590,249 Lehman Brothers, Inc. at 4.45% due 07/03/06+ 84,754 84,754 FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- Bear Stearns Cos., Inc. at 4.40% due 07/03/06+ $ 282,893,554 $ 282,893,554 Morgan Stanley at 4.40% due 07/03/06+ 160,306,347 160,306,347 Citigroup, Inc. at 4.10% due 07/03/06+ 165,021,240 165,021,240 Individual Repurchase Agreement Lehman Brothers, Inc. at 4.30% due 07/03/06 (Secured by U.S. Treasury Bonds, at a rate of 4.50% and maturing 02/15/36 as collateral, with a Market Value of $1,096,988,748) and a Maturity Value of $1,075,855,377 1,075,470,000 1,075,470,000 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,772,366,144) 1,772,366,144 -------------- TOTAL LONG SECURITIES 179.0% (Cost $2,534,583,300) 2,534,519,581 -------------- U.S. TREASURY OBLIGATIONS SOLD SHORT (75.1)% U.S. Treasury Bond at 4.50% due 02/15/36 1,186,325,000 (1,063,243,781) TOTAL U.S. TREASURY OBLIGATIONS SOLD SHORT (Proceeds $1,164,746,165) (1,063,243,781) -------------- TOTAL SHORT SALES (Proceeds $1,164,746,165) (1,063,243,781) -------------- TOTAL INVESTMENTS 103.9% (Cost $1,369,837,135) $1,471,275,800 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (3.9)% $ (55,216,526) -------------- NET ASSETS - 100.0% $1,416,059,274 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT September 2006 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $571,296,750) 5,358 $ 90,543 -------------- * The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. + All or a portion of this security is held as collateral at June 30, 2006. ++ Security is fair valued. - -------------------------------------------------------------------------------- 1 EUROPE ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 49.7% FINANCIALS 13.7% BANKS 8.7% HSBC Holdings PLC -- SP ADR 13,150 $ 1,161,803 Banco Santander Central Hispano SA -- SP ADR 40,350 589,917 Barclays PLC -- SP ADR 11,040 505,411 ABN AMRO Holding NV -- SP ADR 16,440 449,798 Lloyds TSB Group PLC -- SP ADR 10,070 397,463 Banco Bilbao Vizcaya Argentaria SA -- SP ADR 11,550 237,930 -------------- TOTAL BANKS 3,342,322 -------------- CAPITAL MARKETS 2.6% UBS AG 5,350 586,895 Deutsche Bank AG 2,300 258,750 Credit Suisse Group -- SP ADR 2,520 141,095 -------------- TOTAL CAPITAL MARKETS 986,740 -------------- INSURANCE 1.3% Allianz AG -- SP ADR 18,460 291,668 AXA -- SP ADR 6,360 208,481 -------------- TOTAL INSURANCE 500,149 -------------- DIVERSIFIED FINANCIALS 1.1% ING Groep NV -- SP ADR 10,620 417,578 -------------- TOTAL DIVERSIFIED FINANCIALS 417,578 -------------- TOTAL FINANCIALS 5,246,789 -------------- ENERGY 8.9% OIL & GAS 8.9% BP PLC -- SP ADR 18,930 1,317,717 Royal Dutch Shell PLC -- SP ADR 11,470 768,261 Total SA -- SP ADR 10,210 668,959 ENI-Ente Nazionale Idrocarburi -- SP ADR 9,570 562,238 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Repsol YPF SA -- SP ADR 3,450 $ 96,807 -------------- TOTAL OIL & GAS 3,413,982 -------------- TOTAL ENERGY 3,413,982 -------------- HEALTH CARE 6.1% PHARMACEUTICALS 5.7% GlaxoSmithKline PLC -- SP ADR 15,400 859,320 Novartis AG -- SP ADR 15,180 818,506 AstraZeneca PLC -- SP ADR 8,750 523,425 -------------- TOTAL PHARMACEUTICALS 2,201,251 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.4% Alcon, Inc. 1,440 141,912 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 141,912 -------------- TOTAL HEALTH CARE 2,343,163 -------------- TELECOMMUNICATION SERVICES 5.6% DIVERSIFIED TELECOMMUNICATION SERVICES 3.9% Telefonica SA 11,010 547,637 BT Group PLC -- SP ADR 8,640 382,665 Deutsche Telekom AG -- SP ADR 13,750 220,550 Telecom Italia -- SP ADR 6,630 185,110 France Telecom SA -- SP ADR 7,610 166,355 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 1,502,317 -------------- WIRELESS TELECOMMUNICATION SERVICES 1.7% Vodafone Group PLC -- SP ADR 30,810 656,253 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 656,253 -------------- TOTAL TELECOMMUNICATION SERVICES 2,158,570 -------------- - -------------------------------------------------------------------------------- 1 EUROPE ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MATERIALS 3.7% METALS & MINING 2.6% Anglo American PLC -- ADR 25,590 $ 523,060 Rio Tinto PLC -- SP ADR 2,300 482,333 -------------- TOTAL METALS & MINING 1,005,393 -------------- CHEMICALS 1.1% BASF AG -- SP ADR 4,950 397,435 -------------- TOTAL CHEMICALS 397,435 -------------- TOTAL MATERIALS 1,402,828 -------------- INFORMATION TECHNOLOGY 3.5% COMMUNICATIONS EQUIPMENT 2.1% Nokia OYJ -- SP ADR 25,480 516,225 Telefonaktiebolaget LM Ericsson -- SP ADR 8,500 280,840 -------------- TOTAL COMMUNICATIONS EQUIPMENT 797,065 -------------- SOFTWARE 1.0% SAP AG -- SP ADR 5,950 312,494 Business Objects SA -- SP ADR* 3,340 90,848 -------------- TOTAL SOFTWARE 403,342 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.4% STMicroelectronics/NV 9,610 154,432 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 154,432 -------------- TOTAL INFORMATION TECHNOLOGY 1,354,839 -------------- UTILITIES 2.7% ELECTRIC UTILITIES 1.5% E.ON AG -- SP ADR 15,470 593,274 -------------- TOTAL ELECTRIC UTILITIES 593,274 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MULTI-UTILITIES 1.2% Suez SA -- SP ADR 10,740 $ 448,395 -------------- TOTAL MULTI-UTILITIES 448,395 -------------- TOTAL UTILITIES 1,041,669 -------------- CONSUMER STAPLES 2.6% FOOD PRODUCTS 1.5% Unilever NV 17,100 385,605 Cadbury Schweppes PLC -- SP ADR 4,880 189,442 -------------- TOTAL FOOD PRODUCTS 575,047 -------------- BEVERAGES 1.1% Diageo PLC -- SP ADR 6,300 425,565 -------------- TOTAL BEVERAGES 425,565 -------------- TOTAL CONSUMER STAPLES 1,000,612 -------------- CONSUMER DISCRETIONARY 1.6% AUTOMOBILES 0.6% DaimlerChrysler AG 4,860 239,890 -------------- TOTAL AUTOMOBILES 239,890 -------------- TEXTILES & APPAREL 0.5% Luxottica Group 7,370 199,948 -------------- TOTAL TEXTILES & APPAREL 199,948 -------------- MEDIA 0.5% WPP Group PLC -- SP ADR 3,100 186,899 -------------- TOTAL MEDIA 186,899 -------------- TOTAL CONSUMER DISCRETIONARY 626,737 -------------- INDUSTRIALS 1.3% INDUSTRIAL CONGLOMERATES 0.9% Siemens AG -- SP ADR 3,940 342,071 -------------- TOTAL INDUSTRIAL CONGLOMERATES 342,071 -------------- - -------------------------------------------------------------------------------- 2 EUROPE ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- AIRLINES 0.4% Ryanair Holdings PLC -- SP ADR* 2,830 $ 149,197 -------------- TOTAL AIRLINES 149,197 -------------- TOTAL INDUSTRIALS 491,268 -------------- TOTAL COMMON STOCKS (Cost $17,060,563) 19,080,457 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 50.6% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 1,925,903 1,925,903 Credit Suisse at 4.55% due 07/03/06+ 878,549 878,549 Lehman Brothers, Inc. at 4.45% due 07/03/06+ 3,408,843 3,408,843 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 6,149,948 6,149,948 Morgan Stanley at 4.40% due 07/03/06 3,484,970 3,484,970 Citigroup, Inc. at 4.10% due 07/03/06 3,587,469 3,587,469 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $19,435,682) 19,435,682 -------------- TOTAL INVESTMENTS 100.3% (Cost $36,496,245) $ 38,516,139 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% $ (102,660) -------------- NET ASSETS - 100.0% $ 38,413,479 - ------------------------------------------------------------------------------- UNREALIZED UNITS GAIN - ------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS September 2006 Dow Jones Europe ST0XX 50 Index Swap, Maturing 09/14/06** (Notional Market Value $21,458,312) 4,973 $ 1,580,336 September 2006 Dow Jones Europe STOXX 50 Index Swap, Maturing 09/28/06** (Notional Market Value $6,820,768) 1,580 167,373 (TOTAL NOTIONAL MARKET VALUE $28,279,080) $ 1,747,709 -------------- * Non-Income Producing Security. ** Price Return based on Dow Jones STOXX 50 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 3 JAPAN ADVANTAGE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 99.1% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 6,108,420 $ 6,108,420 Lehman Brothers, Inc. at 4.45% due 07/03/06+ 10,051,992 10,051,992 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 19,505,901 19,505,901 Morgan Stanley at 4.40% due 07/03/06 11,053,343 11,053,343 Citigroup, Inc. at 4.10% due 07/03/06 11,378,442 11,378,442 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $58,098,098) 58,098,098 -------------- TOTAL INVESTMENTS 99.1% (Cost $58,098,098) $ 58,098,098 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% $ 517,364 -------------- NET ASSETS - 100.0% $ 58,615,462 UNREALIZED CONTRACTS GAIN (LOSS) ------------ -------------- FUTURES CONTRACTS PURCHASED September 2006 Nikkei 225 Index Futures Contracts (Aggregate Market Value of Contracts $5,366,475) 69 $ 21,963 September 2006 Yen Currency Exchange Futures Contracts (Aggregate Market Value of Contracts $5,299,200) 48 (1,859) -------------- (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $ 10,665,675) $ 20,104 ============== UNITS ------------ EQUITY INDEX SWAP AGREEMENT September 2006 Topix 100 Index Swap, Maturing 09/14/06* (Notional Market Value $67,881,072) 6,879,170 $ 6,424,578 -------------- * Price Return based on Topix 100 Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 SMALL-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.5% CONSUMER DISCRETIONARY 22.4% SPECIALTY RETAIL 7.3% Group 1 Automotive, Inc.+ 5,916 $ 333,307 Haverty Furniture Cos., Inc. 15,065 236,370 Sonic Automotive, Inc.+ 8,816 195,539 PEP Boys-Manny Moe & Jack 16,631 195,082 Stage Stores, Inc.+ 5,847 192,951 Cato Corp. -- Class A 6,474 167,353 Jo-Ann Stores, Inc.*+ 10,494 153,737 Hancock Fabrics, Inc./DE 39,119 130,657 Zale Corp.* 2,085 50,228 -------------- TOTAL SPECIALTY RETAIL 1,655,224 -------------- TEXTILES & APPAREL 4.3% Kellwood Co.+ 10,129 296,476 Brown Shoe Co., Inc. 6,326 215,590 Ashworth, Inc.* 21,112 190,008 Russell Corp. 9,996 181,527 Stride Rite Corp. 4,137 54,567 Oxford Industries, Inc. 833 32,829 -------------- TOTAL TEXTILES & APPAREL 970,997 -------------- HOUSEHOLD DURABLES 3.0% Bassett Furniture Industries, Inc. 9,007 166,720 La-Z-Boy, Inc.+ 10,110 141,540 Standard-Pacific Corp. 4,404 113,183 National Presto Industries, Inc. 1,840 96,195 Libbey, Inc. 11,566 85,010 Lenox Group, Inc.* 7,516 53,288 Russ Berrie & Co., Inc.* 3,213 39,391 -------------- TOTAL HOUSEHOLD DURABLES 695,327 -------------- HOTELS, RESTAURANTS & LEISURE 2.8% O'Charleys, Inc.* 12,904 219,368 Bally Total Fitness Holding Corp.*+ 21,843 148,095 Ryan's Restaurant Group, Inc.* 8,311 98,984 Lone Star Steakhouse & Saloon, Inc. 3,507 91,989 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Marcus Corp. 3,524 $ 73,581 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 632,017 -------------- AUTO COMPONENTS 1.6% Standard Motor Products, Inc.+ 25,190 210,085 Superior Industries International, Inc.+ 9,073 165,945 -------------- TOTAL AUTO COMPONENTS 376,030 -------------- AUTOMOBILES 1.5% Coachmen Industries, Inc. 17,133 204,568 Monaco Coach Corp. 10,733 136,309 -------------- TOTAL AUTOMOBILES 340,877 -------------- LEISURE EQUIPMENT & PRODUCTS 1.2% K2, Inc.* 11,304 123,666 Jakks Pacific, Inc.* 5,960 119,736 Sturm Ruger & Co., Inc. 5,954 37,213 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 280,615 -------------- MULTILINE RETAIL 0.6% Fred's, Inc. 9,854 131,551 -------------- TOTAL MULTILINE RETAIL 131,551 -------------- DISTRIBUTORS 0.1% Audiovox Corp. -- Class A*+ 2,506 34,232 -------------- TOTAL DISTRIBUTORS 34,232 -------------- TOTAL CONSUMER DISCRETIONARY 5,116,870 -------------- MATERIALS 18.9% CHEMICALS 6.6% A. Schulman, Inc. 11,588 265,249 Quaker Chemical Corp. 12,172 227,616 Arch Chemicals, Inc. 5,761 207,684 Penford Corp. 10,740 181,506 Wellman, Inc.+ 41,052 165,850 PolyOne Corp.* 16,590 145,660 H.B. Fuller Co. 2,899 126,310 Georgia Gulf Corp. 4,373 109,413 - -------------------------------------------------------------------------------- 1 SMALL-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Tronox, Inc. 6,255 $ 82,378 -------------- TOTAL CHEMICALS 1,511,666 -------------- METALS & MINING 5.2% Chaparral Steel Co.* 3,946 284,191 A.M. Castle & Co. 6,768 218,268 Ryerson Tull, Inc.+ 7,273 196,371 Steel Technologies, Inc. 7,398 143,817 Brush Engineered Materials, Inc.*+ 5,203 108,483 Aleris International, Inc.* 1,917 87,895 Century Aluminum Co.* 2,447 87,333 Quanex Corp. 1,502 64,691 -------------- TOTAL METALS & MINING 1,191,049 -------------- CONTAINERS & PACKAGING 3.6% Myers Industries, Inc. 14,884 255,856 Rock-Tenn Co. -- Class A 14,855 236,937 Chesapeake Corp. 14,359 235,631 Caraustar Industries, Inc.* 9,224 83,016 -------------- TOTAL CONTAINERS & PACKAGING 811,440 -------------- PAPER & FOREST PRODUCTS 3.2% Schweitzer-Mauduit International, Inc. 10,000 216,500 Pope & Talbot, Inc.+ 27,312 170,154 Wausau Paper Corp. 9,780 121,761 Neenah Paper, Inc. 3,596 109,498 Buckeye Technologies, Inc.*+ 13,832 105,676 -------------- TOTAL PAPER & FOREST PRODUCTS 723,589 -------------- CONSTRUCTION MATERIALS 0.3% Texas Industries, Inc.+ 1,175 62,393 -------------- TOTAL CONSTRUCTION MATERIALS 62,393 -------------- TOTAL MATERIALS 4,300,137 -------------- INDUSTRIALS 18.1% COMMERCIAL SERVICES & SUPPLIES 6.5% Volt Information Sciences, Inc.* 8,859 412,829 Spherion Corp.*+ 19,740 180,029 NCO Group, Inc.*+ 5,875 155,335 Standard Register Co. 12,294 145,684 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Angelica Corp. 7,695 $ 134,970 Bowne & Co., Inc. 8,301 118,704 United Stationers, Inc.* 1,427 70,380 Consolidated Graphics, Inc.* 1,073 55,860 ABM Industries, Inc.+ 3,227 55,182 Central Parking Corp. 3,385 54,160 CDI Corp. 1,686 48,894 Viad Corp. 1,255 39,282 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,471,309 -------------- ELECTRICAL EQUIPMENT 2.9% A.O. Smith Corp. 5,491 254,563 MagneTek, Inc.* 48,028 129,676 Belden CDT, Inc. 3,563 117,757 C&D Technologies, Inc. 12,056 90,661 Acuity Brands, Inc. 1,916 74,551 -------------- TOTAL ELECTRICAL EQUIPMENT 667,208 -------------- MACHINERY 2.5% Robbins & Myers, Inc. 6,080 158,931 Lydall, Inc.* 14,140 130,371 Wolverine Tube, Inc.*+ 24,581 90,212 Briggs & Stratton Corp. 2,437 75,815 Mueller Industries, Inc. 2,140 70,684 Barnes Group, Inc. 2,388 47,641 -------------- TOTAL MACHINERY 573,654 -------------- INDUSTRIAL CONGLOMERATES 1.6% Tredegar Corp. 12,649 200,107 Standex International Corp. 5,215 158,275 -------------- TOTAL INDUSTRIAL CONGLOMERATES 358,382 -------------- CONSTRUCTION & ENGINEERING 0.9% EMCOR Group, Inc.* 4,034 196,335 -------------- TOTAL CONSTRUCTION & ENGINEERING 196,335 -------------- ROAD & RAIL 0.9% Arkansas Best Corp.+ 3,838 192,706 -------------- TOTAL ROAD & RAIL 192,706 -------------- - -------------------------------------------------------------------------------- 2 SMALL-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- AIR FREIGHT & COURIERS 0.8% HUB Group, Inc. -- Class A*+ 7,438 $ 182,454 -------------- TOTAL AIR FREIGHT & COURIERS 182,454 -------------- BUILDING PRODUCTS 0.7% Lennox International, Inc. 2,755 72,952 NCI Building Systems, Inc.*+ 1,133 60,242 Griffon Corp.*+ 1,353 35,313 -------------- TOTAL BUILDING PRODUCTS 168,507 -------------- AEROSPACE & DEFENSE 0.6% Cubic Corp.+ 3,886 76,205 Triumph Group, Inc.* 1,463 70,224 -------------- TOTAL AEROSPACE & DEFENSE 146,429 -------------- TRADING COMPANIES & DISTRIBUTORS 0.5% Lawson Products, Inc. 1,801 70,996 Kaman Corp. -- Class A 2,927 53,271 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 124,267 -------------- AIRLINES 0.2% Frontier Airlines Holdings, Inc.*+ 5,708 41,155 -------------- TOTAL AIRLINES 41,155 -------------- TOTAL INDUSTRIALS 4,122,406 -------------- UTILITIES 11.8% GAS UTILITIES 6.0% Southwest Gas Corp. 6,997 219,286 South Jersey Industries, Inc. 7,873 215,641 UGI Corp.+ 7,851 193,292 Atmos Energy Corp. 6,467 180,494 Laclede Group, Inc. 4,741 162,901 Cascade Natural Gas Corp. 7,359 155,201 Northwest Natural Gas Co.+ 2,473 91,575 Piedmont Natural Gas Co. 3,192 77,566 Energen Corp. 2,017 77,473 -------------- TOTAL GAS UTILITIES 1,373,429 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- ELECTRIC UTILITIES 4.1% Central Vermont Public Service Corp. 14,147 $ 261,436 UIL Holding Corp. 3,792 213,452 Green Mountain Power Corp. 5,299 180,113 Unisource Energy Corp. 3,288 102,421 Allete, Inc.+ 1,891 89,539 Cleco Corp. 3,607 83,863 -------------- TOTAL ELECTRIC UTILITIES 930,824 -------------- MULTI-UTILITIES 1.5% Avista Corp. 8,949 204,306 CH Energy Group, Inc. 3,045 146,160 -------------- TOTAL MULTI-UTILITIES 350,466 -------------- WATER UTILITIES 0.2% American States Water Co.+ 1,219 43,457 -------------- TOTAL WATER UTILITIES 43,457 -------------- TOTAL UTILITIES 2,698,176 -------------- FINANCIALS 11.6% INSURANCE 4.0% LandAmerica Financial Group, Inc. 4,038 260,855 Stewart Information Services Corp. 3,791 137,651 Safety Insurance Group, Inc. 2,760 131,238 Selective Insurance Group, Inc. 2,330 130,177 Presidential Life Corp. 4,312 105,989 Infinity Property & Casualty Corp. 1,993 81,713 Delphi Financial Group, Inc. -- Class A+ 1,828 66,466 -------------- TOTAL INSURANCE 914,089 -------------- REAL ESTATE 2.8% Glenborough Realty Trust, Inc. 6,440 138,718 National Retail Properties, Inc. 5,412 107,969 Parkway Properties, Inc./MD+ 2,313 105,242 Colonial Properties Trust+ 1,903 94,008 - -------------------------------------------------------------------------------- 3 SMALL-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Lexington Corporate Properties Trust+ 3,312 $ 71,539 Sovran Self Storage, Inc.+ 1,345 68,313 Entertainment Properties Trust 1,426 61,389 -------------- TOTAL REAL ESTATE 647,178 -------------- BANKS 2.7% Whitney Holding Corp. 3,540 125,210 First Bancorp Puerto Rico+ 9,261 86,127 Sterling Financial Corp./WA+ 2,493 76,061 Community Bank System, Inc.+ 3,333 67,227 Susquehanna Bancshares, Inc. 2,804 67,016 First Commonwealth Financial Corp. 5,236 66,497 Provident Bankshares Corp. 1,638 59,607 South Financial Group, Inc. 2,198 58,049 -------------- TOTAL BANKS 605,794 -------------- CAPITAL MARKETS 1.9% Piper Jaffray Cos., Inc.*+ 3,652 223,539 SWS Group, Inc. 8,286 199,858 -------------- TOTAL CAPITAL MARKETS 423,397 -------------- THRIFTS & MORTGAGE FINANCE 0.2% Brookline Bancorp, Inc. 3,696 50,894 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 50,894 -------------- TOTAL FINANCIALS 2,641,352 -------------- INFORMATION TECHNOLOGY 8.2% ELECTRONIC EQUIPMENT & INSTRUMENTS 5.0% Planar Systems, Inc.* 18,355 220,994 Gerber Scientific, Inc.* 15,836 206,027 Technitrol, Inc. 6,294 145,706 Insight Enterprises, Inc.*+ 5,926 112,890 Agilsys, Inc. 4,966 89,388 Bell Microproducts, Inc.*+ 16,242 88,032 Anixter International, Inc. 1,366 64,830 CTS Corp. 4,034 60,066 Benchmark Electronics, Inc.* 2,175 52,461 Methode Electronics, Inc. -- Class A 4,766 50,091 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Brightpoint, Inc.* 3,178 $ 42,998 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,133,483 -------------- IT CONSULTING & SERVICES 1.5% Startek, Inc. 16,444 245,838 Ciber, Inc.*+ 8,618 56,793 Keane, Inc.*+ 4,183 52,287 -------------- TOTAL IT CONSULTING & SERVICES 354,918 -------------- COMPUTERS & PERIPHERALS 0.6% Adaptec, Inc.*+ 34,075 147,886 -------------- TOTAL COMPUTERS & PERIPHERALS 147,886 -------------- COMMUNICATIONS EQUIPMENT 0.5% Ditech Networks, Inc.* 12,106 105,564 -------------- TOTAL COMMUNICATIONS EQUIPMENT 105,564 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3% Axcelis Technologies, Inc.* 7,091 41,837 Photronics, Inc.* 1,764 26,107 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 67,944 -------------- SOFTWARE 0.3% THQ, Inc.* 2,768 59,789 -------------- TOTAL SOFTWARE 59,789 -------------- TOTAL INFORMATION TECHNOLOGY 1,869,584 -------------- CONSUMER STAPLES 5.4% FOOD PRODUCTS 2.2% American Italian Pasta Co. -- Class A*+ 21,348 182,739 Lance, Inc. 5,394 124,170 Corn Products International, Inc. 3,733 114,230 Flowers Foods, Inc. 2,815 80,621 -------------- TOTAL FOOD PRODUCTS 501,760 -------------- - -------------------------------------------------------------------------------- 4 SMALL-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- FOOD & DRUG RETAILING 1.7% Performance Food Group Co.* 3,704 $ 112,527 Longs Drug Stores Corp. 2,445 111,541 Nash Finch Co. 4,344 92,484 Casey's General Stores, Inc. 3,263 81,608 -------------- TOTAL FOOD & DRUG RETAILING 398,160 -------------- TOBACCO 1.5% Alliance One International, Inc. 74,324 329,998 -------------- TOTAL TOBACCO 329,998 -------------- TOTAL CONSUMER STAPLES 1,229,918 -------------- HEALTH CARE 2.9% HEALTH CARE PROVIDERS & SERVICES 1.9% Genesis HealthCare Corp.* 2,903 137,515 Owens & Minor, Inc.+ 3,598 102,903 Chemed Corp. 1,712 93,355 Hooper Holmes, Inc. 21,703 66,194 Gentiva Health Services, Inc.*+ 2,103 33,711 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 433,678 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.7% Datascope Corp. 3,915 120,739 Osteotech, Inc.* 8,598 34,736 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 155,475 -------------- BIOTECHNOLOGY 0.3% Cambrex Corp.+ 3,298 68,697 -------------- TOTAL BIOTECHNOLOGY 68,697 -------------- TOTAL HEALTH CARE 657,850 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- ENERGY 0.2% ENERGY EQUIPMENT & SERVICES 0.2% Lufkin Industries, Inc. 813 $ 48,317 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 48,317 -------------- TOTAL ENERGY 48,317 -------------- TOTAL COMMON STOCKS (Cost $19,496,740) 22,684,610 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 17.0% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 493,942 493,942 Lehman Brothers, Inc. at 4.45% due 07/03/06 472 472 Bear Stearns Cos., Inc. at 4.40%due 07/03/06 1,577,295 1,577,295 Morgan Stanley at 4.40% due 07/03/06 893,800 893,800 Citigroup, Inc. at 4.10% due 07/03/06 920,088 920,088 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $3,885,597) 3,885,597 -------------- SECURITIES LENDING COLLATERAL 8.2% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 1,863,577 1,863,577 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $1,863,577) 1,863,577 ============== TOTAL INVESTMENTS 124.7% (Cost $25,245,914) $ 28,433,784 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (24.7)% $ (5,637,385) -------------- NET ASSETS - 100.0% $ 22,796,399 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 5 MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 97.7% UTILITIES 24.3% MULTI-UTILITIES 11.0% NSTAR+ 23,450 $ 670,670 OGE Energy Corp.+ 15,730 551,022 Alliant Energy Corp. 14,428 494,880 Puget Energy, Inc.+ 21,826 468,823 Energy East Corp. 17,909 428,562 WPS Resources Corp. 7,414 367,734 Vectren Corp.+ 10,189 277,650 SCANA Corp.+ 6,578 253,779 PNM Resources, Inc.+ 9,836 245,507 Wisconsin Energy Corp. 5,000 201,500 MDU Resources Group, Inc. 3,095 113,308 -------------- TOTAL MULTI-UTILITIES 4,073,435 -------------- ELECTRIC UTILITIES 9.9% Northeast Utilities 37,634 777,895 Pepco Holdings, Inc.+ 28,160 664,013 IDACORP, Inc. 12,609 432,363 Great Plains Energy, Inc. 14,009 390,291 Hawaiian Electric Industries, Inc.+ 11,533 321,886 Westar Energy, Inc. 14,489 304,993 Sierra Pacific Resources*+ 21,673 303,422 Duquesne Light Holdings, Inc. 17,699 290,971 Black Hills Corp. 5,684 195,132 -------------- TOTAL ELECTRIC UTILITIES 3,680,966 -------------- GAS UTILITIES 3.4% Oneok, Inc.+ 10,595 360,654 National Fuel Gas Co.+ 9,910 348,237 WGL Holdings, Inc. 11,345 328,438 AGL Resources, Inc.+ 5,543 211,299 -------------- TOTAL GAS UTILITIES 1,248,628 -------------- TOTAL UTILITIES 9,003,029 -------------- INDUSTRIALS 16.9% MACHINERY 5.9% Tecumseh Products Co. -- Class A* 30,821 591,763 AGCO Corp.*+ 21,312 560,932 Timken Co. 10,330 346,158 MARKET SHARES VALUE - ------------------------------------------------------------------------------- SPX Corp.+ 5,380 $ 301,011 Kennametal, Inc.+ 3,777 235,118 Harsco Corp. 1,755 136,820 -------------- TOTAL MACHINERY 2,171,802 -------------- ROAD & RAIL 4.7% J.B. Hunt Transport Services, Inc.+ 21,970 547,273 Swift Transportation Co., Inc.*+ 16,643 528,582 YRC Worldwide, Inc.*+ 9,900 416,889 Werner Enterprises, Inc.+ 13,038 264,280 -------------- TOTAL ROAD & RAIL 1,757,024 -------------- COMMERCIAL SERVICES & SUPPLIES 2.9% Manpower, Inc. 6,390 412,794 Kelly Services, Inc. 11,572 314,411 Brink's Co. 3,680 207,589 Banta Corp. 2,750 127,408 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,062,202 -------------- AIRLINES 1.7% Alaska Air Group, Inc.*+ 16,106 634,899 -------------- TOTAL AIRLINES 634,899 -------------- INDUSTRIAL CONGLOMERATES 1.4% Sequa Corp. -- Class A* 6,385 520,377 -------------- TOTAL INDUSTRIAL CONGLOMERATES 520,377 -------------- TRADING COMPANIES & DISTRIBUTORS 0.3% GATX Corp.+ 2,751 116,917 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 116,917 -------------- TOTAL INDUSTRIALS 6,263,221 -------------- FINANCIALS 16.5% INSURANCE 9.8% American Financial Group, Inc./OH 14,399 617,717 Old Republic International Corp.+ 17,627 376,689 - -------------------------------------------------------------------------------- 1 MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Protective Life Corp. 7,946 $ 370,442 HCC Insurance Holdings, Inc.+ 11,463 337,471 First American Corp.+ 7,710 325,902 Ohio Casualty Corp.+ 9,591 285,140 Stancorp Financial Group, Inc. 4,680 238,259 Horace Mann Educators Corp.+ 13,428 227,605 Hanover Insurance Group, Inc. 4,714 223,726 Unitrin, Inc. 5,016 218,647 Mercury General Corp.+ 3,615 203,778 AmerUs Group Co.+ 3,443 201,588 -------------- TOTAL INSURANCE 3,626,964 -------------- REAL ESTATE 4.9% Highwoods Properties, Inc. 9,572 346,315 New Plan Excel Realty Trust+ 11,882 293,366 Mack-Cali Realty Corp.+ 5,334 244,937 Hospitality Properties Trust 5,049 221,752 Liberty Property Trust+ 4,238 187,320 Potlatch Corp.+ 3,892 146,923 Rayonier, Inc.+ 3,705 140,456 United Dominion Realty Trust, Inc.+ 4,870 136,409 AMB Property Corp. 2,116 106,964 -------------- TOTAL REAL ESTATE 1,824,442 -------------- THRIFTS & MORTGAGE FINANCE 1.6% New York Community Bancorp, Inc.+ 20,581 339,792 Webster Financial Corp.+ 2,557 121,304 Washington Federal, Inc. 4,898 113,585 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 574,681 -------------- BANKS 0.2% FirstMerit Corp.+ 3,840 80,410 -------------- TOTAL BANKS 80,410 -------------- TOTAL FINANCIALS 6,106,497 -------------- CONSUMER DISCRETIONARY 13.3% AUTO COMPONENTS 4.6% ArvinMeritor, Inc.+ 41,563 714,468 MARKET SHARES VALUE - -------------------------------------------------------------------------------- Lear Corp.+ 21,712 $ 482,224 Bandag, Inc.+ 6,633 242,701 BorgWarner, Inc.+ 2,361 153,701 Modine Manufacturing Co. 4,824 112,689 -------------- TOTAL AUTO COMPONENTS 1,705,783 -------------- HOUSEHOLD DURABLES 2.8% Furniture Brands International, Inc.+ 30,229 629,972 Blyth, Inc. 10,789 199,165 American Greetings Corp. -- Class A+ 5,020 105,470 Tupperware Brands Corp.+ 4,455 87,719 -------------- TOTAL HOUSEHOLD DURABLES 1,022,326 -------------- SPECIALTY RETAIL 2.7% Borders Group, Inc.+ 17,747 327,610 Foot Locker, Inc.+ 11,822 289,521 Pier 1 Imports, Inc.+ 30,442 212,485 Payless Shoesource, Inc.*+ 6,300 171,171 -------------- TOTAL SPECIALTY RETAIL 1,000,787 -------------- HOTELS, RESTAURANTS & LEISURE 1.6% Bob Evans Farms, Inc.+ 15,565 467,105 CBRL Group, Inc. 4,329 146,840 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 613,945 -------------- MULTILINE RETAIL 0.7% Saks, Inc.+ 16,536 267,387 -------------- TOTAL MULTILINE RETAIL 267,387 -------------- MEDIA 0.6% Media General, Inc. 2,710 113,522 Scholastic Corp.* 4,317 112,112 -------------- TOTAL MEDIA 225,634 -------------- - -------------------------------------------------------------------------------- 2 MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS 0.3% Callaway Golf Co.+ 7,344 $ 95,399 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 95,399 -------------- TOTAL CONSUMER DISCRETIONARY 4,931,261 -------------- MATERIALS 12.1% CHEMICALS 4.8% Sensient Technologies Corp. 20,276 423,971 Ferro Corp. 18,884 301,389 Lubrizol Corp. 6,712 267,473 Cabot Corp.+ 6,508 224,656 RPM International, Inc.+ 11,051 198,918 Albemarle Corp.+ 3,552 170,070 Lyondell Chemical Co.+ 5,355 121,344 Chemtura Corp.+ 9,785 91,392 -------------- TOTAL CHEMICALS 1,799,213 -------------- METALS & MINING 4.3% Steel Dynamics, Inc.+ 8,950 588,373 Worthington Industries, Inc.+ 22,289 466,955 Commercial Metals Co. 11,110 285,527 Reliance Steel & Aluminum Co. 3,080 255,486 -------------- TOTAL METALS & MINING 1,596,341 -------------- PAPER & FOREST PRODUCTS 1.6% Bowater, Inc.+ 14,256 324,324 Glatfelter+ 16,298 258,649 -------------- TOTAL PAPER & FOREST PRODUCTS 582,973 -------------- CONTAINERS & PACKAGING 1.4% Packaging Corporation of America+ 12,175 268,093 Sonoco Products Co. 8,024 253,960 -------------- TOTAL CONTAINERS & PACKAGING 522,053 -------------- TOTAL MATERIALS 4,500,580 -------------- INFORMATION TECHNOLOGY 7.9% ELECTRONIC EQUIPMENT & INSTRUMENTS 4.3% Tech Data Corp.*+ 11,452 438,726 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Ingram Micro, Inc. -- Class A*+ 17,775 $ 322,261 Vishay Intertechnology, Inc.*+ 19,709 310,023 Arrow Electronics, Inc.* 8,496 273,571 Avnet, Inc.* 12,053 241,301 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,585,882 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.1% Atmel Corp.*+ 206,385 1,145,437 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1,145,437 -------------- SOFTWARE 0.5% Mentor Graphics Corp.* 14,230 184,705 -------------- TOTAL SOFTWARE 184,705 -------------- TOTAL INFORMATION TECHNOLOGY 2,916,024 -------------- CONSUMER STAPLES 4.4% FOOD & DRUG RETAILING 1.9% Ruddick Corp. 16,733 410,126 BJ's Wholesale Club, Inc.*+ 9,940 281,799 -------------- TOTAL FOOD & DRUG RETAILING 691,925 -------------- TOBACCO 1.5% Universal Corp./VA 14,735 548,437 -------------- TOTAL TOBACCO 548,437 -------------- FOOD PRODUCTS 1.0% Smithfield Foods, Inc.*+ 13,617 392,578 -------------- TOTAL FOOD PRODUCTS 392,578 -------------- TOTAL CONSUMER STAPLES 1,632,940 -------------- - -------------------------------------------------------------------------------- 3 MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 1.4% WIRELESS TELECOMMUNICATION SERVICES 1.4% Telephone & Data Systems, Inc.+ 12,077 $ 499,988 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 499,988 -------------- TOTAL TELECOMMUNICATION SERVICES 499,988 -------------- HEALTH CARE 0.6% HEALTH CARE PROVIDERS & SERVICES 0.6% Triad Hospitals, Inc.* 6,002 237,559 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 237,559 -------------- TOTAL HEALTH CARE 237,559 -------------- ENERGY 0.3% OIL & GAS 0.3% Forest Oil Corp.* 3,415 113,241 -------------- TOTAL OIL & GAS 113,241 -------------- TOTAL ENERGY 113,241 -------------- TOTAL COMMON STOCKS (Cost $31,946,693) 36,204,340 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.4% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 20,419 20,419 Lehman Brothers, Inc. at 4.45% due 07/03/06 20 20 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 65,204 65,204 Morgan Stanley at 4.40% due 07/03/06 36,949 36,949 FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- Citigroup, Inc. at 4.10% due 07/03/06 $ 38,036 $ 38,036 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $160,628) 160,628 -------------- SECURITIES LENDING COLLATERAL 22.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 8,461,037 8,461,037 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $8,461,037) 8,461,037 ============== TOTAL INVESTMENTS 121.0% (Cost $40,568,358) $ 44,826,005 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (21.0)% $ (7,776,702) -------------- NET ASSETS - 100.0% $ 37,049,303 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 4 LARGE-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.7% FINANCIALS 20.0% INSURANCE 8.4% ACE Ltd. 28,087 $ 1,420,921 XL Capital Ltd. 22,017 1,349,642 UnumProvident Corp. 68,788 1,247,126 Chubb Corp. 22,488 1,122,151 St. Paul Travelers Cos., Inc.+ 23,637 1,053,738 Genworth Financial, Inc. -- Class A+ 28,618 997,051 MetLife, Inc.+ 16,215 830,370 Lincoln National Corp.+ 13,416 757,199 Allstate Corp. 12,810 701,091 SAFECO Corp. 12,415 699,585 Loews Corp. 17,817 631,613 Hartford Financial Services Group, Inc.+ 6,746 570,712 Aon Corp.+ 16,262 566,243 -------------- TOTAL INSURANCE 11,947,442 -------------- BANKS 6.0% First Horizon National Corp.+ 24,438 982,408 National City Corp.+ 20,635 746,781 KeyCorp 20,658 737,077 North Fork Bancorporation, Inc. 24,016 724,563 Huntington Bancshares, Inc.+ 30,668 723,151 Regions Financial Corp.+ 20,961 694,228 SunTrust Banks, Inc. 9,060 690,916 PNC Financial Services Group, Inc.+ 8,206 575,815 BB&T Corp.+ 12,617 524,741 AmSouth Bancorp+ 18,752 495,990 Wells Fargo & Co.+ 6,813 457,016 Wachovia Corp.+ 7,436 402,139 U.S. Bancorp+ 12,112 374,019 Comerica, Inc.+ 6,471 336,427 -------------- TOTAL BANKS 8,465,271 -------------- REAL ESTATE 2.3% Equity Office Properties Trust+ 27,516 1,004,609 Apartment Investment & Management Co. -- Class A+ 22,059 958,464 KIMCO Realty Corp.+ 17,519 639,268 Archstone-Smith Trust+ 7,619 387,578 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Equity Residential+ 7,972 $ 356,588 -------------- TOTAL REAL ESTATE 3,346,507 -------------- DIVERSIFIED FINANCIALS 1.9% J.P. Morgan Chase & Co.+ 30,496 1,280,832 Citigroup, Inc. 16,275 785,106 CIT Group, Inc. 12,066 630,931 -------------- TOTAL DIVERSIFIED FINANCIALS 2,696,869 -------------- THRIFTS & MORTGAGE FINANCE 0.7% Washington Mutual, Inc.+ 23,214 1,058,094 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,058,094 -------------- CAPITAL MARKETS 0.7% Morgan Stanley 7,920 500,623 Bear Stearns Cos., Inc.+ 3,354 469,829 -------------- TOTAL CAPITAL MARKETS 970,452 -------------- TOTAL FINANCIALS 28,484,635 -------------- UTILITIES 17.4% MULTI-UTILITIES 10.5% KeySpan Corp. 39,399 1,591,720 Dynegy, Inc. -- Class A* 275,136 1,504,994 NiSource, Inc.+ 57,659 1,259,273 Xcel Energy, Inc.+ 63,408 1,216,165 Duke Energy Corp.+ 40,394 1,186,372 Consolidated Edison, Inc.+ 25,333 1,125,798 DTE Energy Co.+ 26,566 1,082,299 CMS Energy Corp.*+ 75,470 976,582 PG&E Corp.+ 23,099 907,329 Ameren Corp.+ 16,402 828,301 CenterPoint Energy, Inc.+ 60,945 761,812 Sempra Energy 15,002 682,291 Constellation Energy Group, Inc. 11,218 611,605 Dominion Resources, Inc./VA+ 6,347 474,692 Public Service Enterprise Group, Inc. 6,841 452,327 TECO Energy, Inc.+ 18,195 271,833 -------------- TOTAL MULTI-UTILITIES 14,933,393 -------------- - -------------------------------------------------------------------------------- 1 LARGE-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- ELECTRIC UTILITIES 5.1% Progress Energy, Inc.+ 35,672 $ 1,529,259 PPL Corp.+ 44,978 1,452,789 Pinnacle West Capital Corp.+ 24,149 963,787 American Electric Power Co., Inc. 26,488 907,214 Entergy Corp.+ 9,784 692,218 FirstEnergy Corp. 11,555 626,396 Southern Co.+ 17,891 573,407 FPL Group, Inc.+ 12,881 533,016 -------------- TOTAL ELECTRIC UTILITIES 7,278,086 -------------- GAS UTILITIES 1.8% Peoples Energy Corp.+ 36,114 1,296,854 Nicor, Inc.+ 28,332 1,175,778 -------------- TOTAL GAS UTILITIES 2,472,632 -------------- TOTAL UTILITIES 24,684,111 -------------- CONSUMER DISCRETIONARY 17.0% SPECIALTY RETAIL 4.1% OfficeMax, Inc.+ 50,854 2,072,301 Circuit City Stores, Inc.+ 60,895 1,657,562 AutoNation, Inc.*+ 56,801 1,217,813 Limited Brands, Inc.+ 32,460 830,651 -------------- TOTAL SPECIALTY RETAIL 5,778,327 -------------- MULTILINE RETAIL 4.0% Dillard's, Inc. -- Class A+ 91,478 2,913,574 Big Lots, Inc.*+ 105,066 1,794,527 Federated Department Stores, Inc.+ 19,134 700,305 Nordstrom, Inc.+ 9,706 354,269 -------------- TOTAL MULTILINE RETAIL 5,762,675 -------------- AUTOMOBILES 2.7% General Motors Corp.+ 73,632 2,193,497 Ford Motor Co.+ 240,951 1,669,791 -------------- TOTAL AUTOMOBILES 3,863,288 -------------- HOUSEHOLD DURABLES 2.7% Whirlpool Corp.+ 13,841 1,143,959 Pulte Homes, Inc.+ 27,167 782,138 Snap-On, Inc. 16,324 659,816 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Newell Rubbermaid, Inc.+ 24,925 $ 643,813 Leggett & Platt, Inc.+ 24,773 618,829 -------------- TOTAL HOUSEHOLD DURABLES 3,848,555 -------------- AUTO COMPONENTS 1.7% Johnson Controls, Inc.+ 15,925 1,309,354 Cooper Tire & Rubber Co.+ 97,943 1,091,085 -------------- TOTAL AUTO COMPONENTS 2,400,439 -------------- LEISURE EQUIPMENT & PRODUCTS 0.9% Eastman Kodak Co.+ 41,665 990,794 Brunswick Corp.+ 8,073 268,427 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 1,259,221 -------------- TEXTILES & APPAREL 0.9% Jones Apparel Group, Inc. 38,875 1,235,836 -------------- TOTAL TEXTILES & APPAREL 1,235,836 -------------- TOTAL CONSUMER DISCRETIONARY 24,148,341 -------------- INDUSTRIALS 10.8% ROAD & RAIL 3.3% Ryder System, Inc.+ 51,736 3,022,935 Union Pacific Corp.+ 9,867 917,236 CSX Corp.+ 11,842 834,150 -------------- TOTAL ROAD & RAIL 4,774,321 -------------- MACHINERY 2.9% Ingersoll-Rand Co. -- Class A+ 25,497 1,090,762 Deere & Co.+ 11,220 936,758 Caterpillar, Inc.+ 11,794 878,417 Cummins, Inc.+ 7,146 873,599 Navistar International Corp.* 11,771 289,684 -------------- TOTAL MACHINERY 4,069,220 -------------- COMMERCIAL SERVICES & SUPPLIES 2.1% Allied Waste Industries, Inc.*+ 168,824 1,917,840 RR Donnelley & Sons Co. 22,027 703,763 - -------------------------------------------------------------------------------- 2 LARGE-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Avery Dennison Corp.+ 7,262 $ 421,632 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 3,043,235 -------------- AEROSPACE & DEFENSE 1.9% United Technologies Corp. 17,245 1,093,678 Northrop Grumman Corp. 15,942 1,021,245 Raytheon Co. 13,250 590,552 -------------- TOTAL AEROSPACE & DEFENSE 2,705,475 -------------- BUILDING PRODUCTS 0.3% Masco Corp.+ 13,479 399,518 -------------- TOTAL BUILDING PRODUCTS 399,518 -------------- INDUSTRIAL CONGLOMERATES 0.3% Textron, Inc. 4,252 391,949 -------------- TOTAL INDUSTRIAL CONGLOMERATES 391,949 -------------- TOTAL INDUSTRIALS 15,383,718 -------------- MATERIALS 10.6% PAPER & FOREST PRODUCTS 3.3% International Paper Co.+ 41,791 1,349,849 MeadWestvaco Corp.+ 43,355 1,210,905 Weyerhaeuser Co.+ 18,556 1,155,111 Louisiana-Pacific Corp.+ 42,034 920,545 -------------- TOTAL PAPER & FOREST PRODUCTS 4,636,410 -------------- METALS & MINING 3.2% United States Steel Corp.+ 37,947 2,660,844 Alcoa, Inc.+ 24,303 786,445 Nucor Corp.+ 11,262 610,964 Phelps Dodge Corp.+ 6,977 573,230 -------------- TOTAL METALS & MINING 4,631,483 -------------- CHEMICALS 3.0% Ashland, Inc.+ 20,817 1,388,494 Eastman Chemical Co.+ 19,725 1,065,150 Rohm & Haas Co. 10,096 506,011 E.I. du Pont de Nemours and Co.+ 11,935 496,496 PPG Industries, Inc. 6,420 423,720 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Dow Chemical Co.+ 9,191 $ 358,725 -------------- TOTAL CHEMICALS 4,238,596 -------------- CONTAINERS & PACKAGING 1.1% Bemis Co. 26,802 820,677 Temple-Inland, Inc. 16,871 723,260 -------------- TOTAL CONTAINERS & PACKAGING 1,543,937 -------------- TOTAL MATERIALS 15,050,426 -------------- CONSUMER STAPLES 8.7% FOOD & DRUG RETAILING 3.1% Supervalu, Inc.+ 52,131 1,600,422 Safeway, Inc.+ 43,579 1,133,054 CVS Corp.+ 30,994 951,516 Costco Wholesale Corp.+ 13,665 780,681 -------------- TOTAL FOOD & DRUG RETAILING 4,465,673 -------------- FOOD PRODUCTS 2.6% Archer-Daniels-Midland Co.+ 40,083 1,654,626 Tyson Foods, Inc. -- Class A+ 82,634 1,227,941 ConAgra Foods, Inc.+ 39,631 876,242 -------------- TOTAL FOOD PRODUCTS 3,758,809 -------------- BEVERAGES 2.2% Molson Coors Brewing Co. -- Class B+ 20,321 1,379,389 Coca-Cola Enterprises, Inc. 54,827 1,116,826 Constellation Brands, Inc. -- Class A* 22,800 570,000 -------------- TOTAL BEVERAGES 3,066,215 -------------- TOBACCO 0.8% Reynolds American, Inc. 9,945 1,146,659 -------------- TOTAL TOBACCO 1,146,659 -------------- TOTAL CONSUMER STAPLES 12,437,356 -------------- INFORMATION TECHNOLOGY 5.4% IT CONSULTING & SERVICES 3.0% Unisys Corp.* 200,459 1,258,883 - -------------------------------------------------------------------------------- 3 LARGE-CAP VALUE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Computer Sciences Corp.* 24,877 $ 1,205,042 Electronic Data Systems Corp.+ 47,972 1,154,206 Sabre Holdings Corp.+ 31,469 692,318 -------------- TOTAL IT CONSULTING & SERVICES 4,310,449 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.5% Sanmina-SCI Corp.* 276,495 1,271,877 Solectron Corp.*+ 241,229 825,003 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,096,880 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.6% Micron Technology, Inc.*+ 56,786 855,197 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 855,197 -------------- COMMUNICATIONS EQUIPMENT 0.3% Andrew Corp.* 39,340 348,552 -------------- TOTAL COMMUNICATIONS EQUIPMENT 348,552 -------------- TOTAL INFORMATION TECHNOLOGY 7,611,078 -------------- TELECOMMUNICATION SERVICES 5.2% DIVERSIFIED TELECOMMUNICATION SERVICES 5.2% Verizon Communications, Inc.+ 42,812 1,433,774 AT&T, Inc.+ 45,424 1,266,875 BellSouth Corp.+ 34,135 1,235,687 Qwest Communications International, Inc.*+ 134,356 1,086,940 Citizens Communications Co.+ 72,088 940,748 Embarq Corp.*+ 17,228 706,176 CenturyTel, Inc.+ 17,911 665,394 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 7,335,594 -------------- TOTAL TELECOMMUNICATION SERVICES 7,335,594 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- ENERGY 3.5% OIL & GAS 3.5% ConocoPhillips 29,308 $ 1,920,553 Sunoco, Inc. 16,299 1,129,358 Marathon Oil Corp.+ 12,275 1,022,507 El Paso Corp.+ 56,614 849,210 -------------- TOTAL OIL & GAS 4,921,628 -------------- TOTAL ENERGY 4,921,628 -------------- HEALTH CARE 1.1% HEALTH CARE PROVIDERS & SERVICES 1.1% WellPoint, Inc.*+ 11,308 822,883 Tenet Healthcare Corp.*+ 55,819 389,616 McKesson Corp. 8,081 382,070 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,594,569 -------------- TOTAL HEALTH CARE 1,594,569 -------------- TOTAL COMMON STOCKS (Cost $131,505,584) 141,651,456 -------------- FACE AMOUNT ---------- SECURITIES LENDING COLLATERAL 27.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 39,012,963 39,012,963 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $39,012,963) 39,012,963 ============== TOTAL INVESTMENTS 127.2% (Cost $170,518,547) $ 180,664,419 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (27.2)% $ (38,614,205) -------------- NET ASSETS - 100.0% $ 142,050,214 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 4 SMALL-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.8% HEALTH CARE 24.9% HEALTH CARE EQUIPMENT & SUPPLIES 12.3% BioLase Technology, Inc.*+ 66,669 $ 560,020 ResMed, Inc.* 7,787 365,600 Integra LifeSciences Holdings Corp.* 8,887 344,904 Biosite, Inc.*+ 5,347 244,144 ICU Medical, Inc.* 4,843 204,568 SurModics, Inc.*+ 5,359 193,513 Dionex Corp.* 3,520 192,403 Possis Medical, Inc.* 20,326 179,072 PolyMedica Corp. 4,648 167,142 Immucor, Inc.*+ 8,201 157,705 Kensey Nash Corp.*+ 4,792 141,364 Idexx Laboratories, Inc.* 1,732 130,125 Mentor Corp.+ 2,759 120,017 Respironics, Inc.* 3,454 118,196 American Medical Systems Holdings, Inc.* 6,881 114,569 Greatbatch, Inc.* 4,735 111,746 Diagnostic Products Corp. 1,905 110,814 Cooper Cos., Inc.+ 2,400 106,296 Merit Medical Systems, Inc.*+ 7,609 104,700 ArthroCare Corp.*+ 2,200 92,422 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,759,320 -------------- HEALTH CARE PROVIDERS & SERVICES 9.0% Odyssey HealthCare, Inc.* 23,945 420,714 Centene Corp.*+ 13,591 319,796 Healthways, Inc.*+ 5,814 306,049 AMERIGROUP Corp.* 9,191 285,289 Sierra Health Services, Inc.* 6,121 275,629 United Surgical Partners International, Inc.*+ 6,638 199,605 Per-Se Technologies, Inc.*+ 7,310 184,066 Sunrise Senior Living, Inc.* 6,150 170,047 AmSurg Corp.*+ 6,280 142,870 Pediatrix Medical Group, Inc.* 2,292 103,827 Cerner Corp.*+ 2,789 103,500 Amedisys, Inc.*+ 2,725 103,277 SFBC International, Inc.*+ 5,967 90,460 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Dendrite International, Inc.* 4,458 $ 41,192 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,746,321 -------------- PHARMACEUTICALS 3.6% CNS, Inc. 13,862 339,619 Connetics Corp.*+ 22,178 260,813 Bradley Pharmaceuticals, Inc.*+ 18,063 184,242 Noven Pharmaceuticals, Inc.*+ 8,810 157,699 Sciele Pharma, Inc.*+ 6,530 151,431 -------------- TOTAL PHARMACEUTICALS 1,093,804 -------------- TOTAL HEALTH CARE 7,599,445 -------------- CONSUMER DISCRETIONARY 23.0% SPECIALTY RETAIL 6.9% Christopher & Banks Corp. 20,874 605,346 HOT Topic, Inc.* 21,956 252,714 Select Comfort Corp.* 9,172 210,681 Too, Inc.*+ 5,440 208,842 Children's Place Retail Stores, Inc.*+ 3,348 201,047 Tractor Supply Co.*+ 3,474 192,008 Hibbett Sporting Goods, Inc.*+ 6,767 161,731 Guitar Center, Inc.*+ 3,194 142,037 Genesco, Inc.* 4,161 140,933 -------------- TOTAL SPECIALTY RETAIL 2,115,339 -------------- HOTELS, RESTAURANTS & LEISURE 6.1% Shuffle Master, Inc.*+ 13,052 427,845 Multimedia Games, Inc.* 38,778 392,821 Panera Bread Co. -- Class A*+ 4,557 306,413 Papa John's International, Inc.* 7,573 251,424 Sonic Corp.* 9,893 205,665 P.F. Chang's China Bistro, Inc.*+ 3,811 144,894 CEC Entertainment, Inc.*+ 4,278 137,409 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,866,471 -------------- LEISURE EQUIPMENT & PRODUCTS 2.5% Pool Corp. 8,403 366,623 - -------------------------------------------------------------------------------- 1 SMALL-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Nautilus, Inc.+ 15,502 $ 243,536 Polaris Industries, Inc.+ 3,857 167,008 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 777,167 -------------- COMMERCIAL SERVICES & SUPPLIES 1.9% Pre-Paid Legal Services, Inc.+ 8,758 302,151 Vertrue, Inc.* 6,395 275,177 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 577,328 -------------- HOUSEHOLD DURABLES 1.5% Meritage Homes Corp.*+ 4,793 226,470 NVR, Inc.*+ 449 220,571 -------------- TOTAL HOUSEHOLD DURABLES 447,041 -------------- TEXTILES & APPAREL 1.3% K-Swiss, Inc. -- Class A 8,861 236,589 Fossil, Inc.* 9,339 168,195 -------------- TOTAL TEXTILES & APPAREL 404,784 -------------- INTERNET & CATALOG RETAIL 1.1% PetMed Express, Inc.* 29,834 327,279 -------------- TOTAL INTERNET & CATALOG RETAIL 327,279 -------------- MEDIA 1.1% Arbitron, Inc. 4,785 183,409 Advo, Inc.+ 5,571 137,102 -------------- TOTAL MEDIA 320,511 -------------- AUTOMOBILES 0.6% Winnebago Industries, Inc.+ 6,087 188,940 -------------- TOTAL AUTOMOBILES 188,940 -------------- TOTAL CONSUMER DISCRETIONARY 7,024,860 -------------- INFORMATION TECHNOLOGY 18.7% INTERNET SOFTWARE & SERVICES 5.7% j2 Global Communications, Inc.*+ 20,062 626,336 Bankrate, Inc.*+ 9,300 351,168 Websense, Inc.* 13,773 282,897 MIVA, Inc.*+ 47,821 193,675 MARKET SHARES VALUE - ------------------------------------------------------------------------------- WebEx Communications, Inc.*+ 4,128 $ 146,709 Digital Insight Corp.* 4,019 137,812 -------------- TOTAL INTERNET SOFTWARE & SERVICES 1,738,597 -------------- SOFTWARE 4.7% Factset Research Systems, Inc 7,878 372,629 Ansys, Inc.* 4,848 231,831 Internet Security Systems, Inc.* 10,770 203,015 Manhattan Associates, Inc.*+ 7,583 153,859 Quality Systems, Inc.+ 4,155 152,987 EPIQ Systems, Inc.*+ 8,594 143,004 Kronos, Inc./MA* 2,748 99,505 Take-Two Interactive Software, Inc.*+ 8,333 88,830 -------------- TOTAL SOFTWARE 1,445,660 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 3.6% Daktronics, Inc. 12,616 364,224 Scansource, Inc.* 10,008 293,435 Flir Systems, Inc.*+ 10,337 228,034 LoJack Corp.*+ 8,175 154,180 Mercury Computer Systems, Inc.* 2,780 42,784 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,082,657 -------------- IT CONSULTING & SERVICES 2.3% eFunds Corp.* 9,421 207,733 Mantech International Corp. -- Class A* 6,180 190,715 Talx Corp. 8,580 187,645 CACI International, Inc. -- Class A*+ 2,161 126,051 -------------- TOTAL IT CONSULTING & SERVICES 712,144 -------------- COMPUTERS & PERIPHERALS 2.1% Komag, Inc.* 7,117 328,663 Synaptics, Inc.* 11,093 237,390 Neoware, Inc.* 6,150 75,584 -------------- TOTAL COMPUTERS & PERIPHERALS 641,637 -------------- - -------------------------------------------------------------------------------- 2 SMALL-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT 0.3% Comtech Telecommunications Corp.* 3,321 $ 97,206 -------------- TOTAL COMMUNICATIONS EQUIPMENT 97,206 -------------- TOTAL INFORMATION TECHNOLOGY 5,717,901 -------------- ENERGY 10.2% OIL & GAS 8.0% Frontier Oil Corp.+ 17,804 576,850 St. Mary Land & Exploration Co. 8,416 338,744 World Fuel Services Corp.+ 5,664 258,788 Stone Energy Corp.* 5,290 246,249 Penn Virginia Corp. 3,109 217,257 Swift Energy Co.* 4,468 191,811 Cimarex Energy Co.+ 4,020 172,860 Petroleum Development Corp.* 4,494 169,424 Helix Energy Solutions Group, Inc.*+ 3,509 141,623 Cabot Oil & Gas Corp.+ 2,471 121,079 -------------- TOTAL OIL & GAS 2,434,685 -------------- ENERGY EQUIPMENT & SERVICES 2.2% W-H Energy Services, Inc.* 5,080 258,216 Unit Corp.* 2,839 161,511 Hydril* 1,916 150,444 CARBO Ceramics, Inc.+ 1,896 93,151 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 663,322 -------------- TOTAL ENERGY 3,098,007 -------------- FINANCIALS 9.6% BANKS 3.3% Nara Bancorp, Inc. 15,650 293,438 Wilshire Bancorp, Inc. 11,710 211,014 PrivateBancorp, Inc.+ 4,614 191,066 UCBH Holdings, Inc.+ 7,028 116,243 Wintrust Financial Corp. 2,285 116,192 East-West Bancorp, Inc. 2,429 92,083 -------------- TOTAL BANKS 1,020,036 -------------- THRIFTS & MORTGAGE FINANCE 2.1% Flagstar Bancorp, Inc.+ 21,211 338,527 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Fremont General Corp.+ 16,403 $ 304,440 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 642,967 -------------- INSURANCE 1.3% Hilb Rogal & Hobbs Co.+ 5,933 221,123 Philadelphia Consolidated Holding Corp.*+ 5,819 176,665 -------------- TOTAL INSURANCE 397,788 -------------- DIVERSIFIED FINANCIALS 1.3% Portfolio Recovery Associates, Inc.*+ 8,545 390,507 -------------- TOTAL DIVERSIFIED FINANCIALS 390,507 -------------- CAPITAL MARKETS 0.8% Investment Technology Group, Inc.* 4,994 253,995 -------------- TOTAL CAPITAL MARKETS 253,995 -------------- CONSUMER FINANCE 0.8% World Acceptance Corp.* 6,641 235,888 -------------- TOTAL CONSUMER FINANCE 235,888 -------------- TOTAL FINANCIALS 2,941,181 -------------- INDUSTRIALS 8.1% ROAD & RAIL 2.1% Landstar System, Inc. 5,782 273,084 Knight Transportation, Inc.+ 10,817 218,503 Heartland Express, Inc.+ 9,174 164,123 -------------- TOTAL ROAD & RAIL 655,710 -------------- COMMERCIAL SERVICES & SUPPLIES 2.1% Coinstar, Inc.*+ 20,605 493,284 Waste Connections, Inc.*+ 4,343 158,085 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 651,369 -------------- AEROSPACE & DEFENSE 2.1% Ceradyne, Inc.*+ 8,202 405,917 Curtiss-Wright Corp.+ 5,380 166,134 - -------------------------------------------------------------------------------- 3 SMALL-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Gencorp, Inc.*+ 3,885 $ 62,277 -------------- TOTAL AEROSPACE & DEFENSE 634,328 -------------- MACHINERY 0.8% EnPro Industries, Inc.* 4,655 156,408 ASV, Inc.*+ 4,212 97,045 -------------- TOTAL MACHINERY 253,453 -------------- AIR FREIGHT & COURIERS 0.6% Forward Air Corp.+ 4,225 172,084 -------------- TOTAL AIR FREIGHT & COURIERS 172,084 -------------- BUILDING PRODUCTS 0.4% Simpson Manufacturing Co., Inc. 3,046 109,808 -------------- TOTAL BUILDING PRODUCTS 109,808 -------------- TOTAL INDUSTRIALS 2,476,752 -------------- CONSUMER STAPLES 4.4% BEVERAGES 2.4% Hansen Natural Corp.* 3,811 725,500 -------------- TOTAL BEVERAGES 725,500 -------------- PERSONAL PRODUCTS 1.4% NBTY, Inc.* 8,963 214,305 USANA Health Sciences, Inc.*+ 5,616 212,847 -------------- TOTAL PERSONAL PRODUCTS 427,152 -------------- FOOD PRODUCTS 0.6% Delta & Pine Land Co. 4,153 122,098 Peet's Coffee & Tea, Inc.* 2,313 69,829 -------------- TOTAL FOOD PRODUCTS 191,927 -------------- TOTAL CONSUMER STAPLES 1,344,579 -------------- MARKET SHARES VALUE - -------------------------------------------------------------------------------- MATERIALS 0.9% CONSTRUCTION MATERIALS 0.9% Headwaters, Inc.* 10,967 $ 280,317 -------------- TOTAL CONSTRUCTION MATERIALS 280,317 -------------- TOTAL MATERIALS 280,317 -------------- TOTAL COMMON STOCKS (Cost $26,604,342) 30,483,042 FACE AMOUNT --------- SECURITIES LENDING COLLATERAL 13.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 4,198,342 4,198,342 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,198,342) 4,198,342 -------------- TOTAL INVESTMENTS 113.6% (Cost $30,802,684) $ 34,681,384 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (13.6)% $ (4,152,743) -------------- NET ASSETS - 100.0% $ 30,528,641 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 4 MID-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 97.1% CONSUMER DISCRETIONARY 28.5% SPECIALTY RETAIL 13.6% Aeropostale, Inc.*+ 21,981 $ 635,031 GameStop Corp. -- Class A*+ 12,238 513,996 Chico's FAS, Inc.* 15,250 411,445 Abercrombie & Fitch Co. -- Class A 6,584 364,951 Ross Stores, Inc.+ 11,895 333,655 American Eagle Outfitters, Inc.+ 9,096 309,628 Petsmart, Inc.+ 10,698 273,869 Pacific Sunwear of California, Inc.*+ 12,429 222,852 Advance Auto Parts, Inc. 7,277 210,305 Williams-Sonoma, Inc.+ 6,025 205,151 Urban Outfitters, Inc.*+ 7,516 131,455 -------------- TOTAL SPECIALTY RETAIL 3,612,338 -------------- COMMERCIAL SERVICES & SUPPLIES 4.9% Corinthian Colleges, Inc.*+ 34,430 494,415 ITT Educational Services, Inc.*+ 7,442 489,758 Career Education Corp.*+ 10,323 308,554 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,292,727 -------------- HOTELS, RESTAURANTS & LEISURE 4.3% Scientific Games Corp. -- Class A*+ 14,443 514,460 GTECH Holdings Corp. 8,073 280,779 Cheesecake Factory, Inc.*+ 6,710 180,834 Applebee's International, Inc. 9,138 175,632 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,151,705 -------------- HOUSEHOLD DURABLES 3.2% M.D.C. Holdings, Inc.+ 4,755 246,927 Hovnanian Enterprises, Inc. -- Class A*+ 7,418 223,134 Ryland Group, Inc.+ 4,868 212,099 Toll Brothers, Inc.*+ 6,190 158,278 -------------- TOTAL HOUSEHOLD DURABLES 840,438 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- AUTOMOBILES 1.0% Thor Industries, Inc.+ 5,763 $ 279,217 -------------- TOTAL AUTOMOBILES 279,217 -------------- TEXTILES & APPAREL 0.9% Timberland Co. -- Class A*+ 9,257 241,608 -------------- TOTAL TEXTILES & APPAREL 241,608 -------------- MEDIA 0.6% Catalina Marketing Corp. 6,033 171,699 -------------- TOTAL MEDIA 171,699 -------------- TOTAL CONSUMER DISCRETIONARY 7,589,732 -------------- INFORMATION TECHNOLOGY 18.9% IT CONSULTING & SERVICES 7.2% Cognizant Technology Solutions Corp. -- Class A*+ 10,446 703,747 CSG Systems International, Inc.* 11,003 272,214 Fidelity National Information Services, Inc. 7,547 267,164 Alliance Data Systems Corp.*+ 4,279 251,691 DST Systems, Inc.*+ 3,801 226,159 BISYS Group, Inc.* 14,990 205,363 -------------- TOTAL IT CONSULTING & SERVICES 1,926,338 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.6% Cree, Inc.*+ 15,448 367,045 Silicon Laboratories, Inc.*+ 9,285 326,368 Cabot Microelectronics Corp.* 8,620 261,272 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 954,685 -------------- SOFTWARE 2.4% Macrovision Corp.* 10,208 219,676 Jack Henry & Associates, Inc. 8,608 169,233 McAfee, Inc.*+ 4,135 100,357 Fair Isaac Corp. 2,190 79,519 - -------------------------------------------------------------------------------- 1 MID-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Activision, Inc.* 6,964 $ 79,250 -------------- TOTAL SOFTWARE 648,035 -------------- COMPUTERS & PERIPHERALS 2.0% Western Digital Corp.* 26,315 521,300 -------------- TOTAL COMPUTERS & PERIPHERALS 521,300 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.9% Amphenol Corp. -- Class A 4,683 262,061 CDW Corp. 4,542 248,220 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 510,281 -------------- COMMUNICATIONS EQUIPMENT 1.5% Plantronics, Inc.+ 8,730 193,893 F5 Networks, Inc.* 3,606 192,849 -------------- TOTAL COMMUNICATIONS EQUIPMENT 386,742 -------------- OFFICE ELECTRONICS 0.3% Zebra Technologies Corp. -- Class A* 2,443 83,453 -------------- TOTAL OFFICE ELECTRONICS 83,453 -------------- TOTAL INFORMATION TECHNOLOGY 5,030,834 -------------- INDUSTRIALS 15.8% COMMERCIAL SERVICES & SUPPLIES 5.0% Corporate Executive Board Co.+ 5,760 577,152 Stericycle, Inc.*+ 4,361 283,901 Copart, Inc.*+ 9,844 241,769 Rollins, Inc. 7,527 147,830 ChoicePoint, Inc.*+ 2,166 90,474 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,341,126 -------------- AIRLINES 3.3% AirTran Holdings, Inc.*+ 31,970 475,074 JetBlue Airways Corp.*+ 33,826 410,648 -------------- TOTAL AIRLINES 885,722 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- AIR FREIGHT & COURIERS 3.0% Expeditors International Washington, Inc. 8,808 $ 493,336 CH Robinson Worldwide, Inc.+ 5,593 298,107 -------------- TOTAL AIR FREIGHT & COURIERS 791,443 -------------- MACHINERY 1.7% Graco, Inc. 6,648 305,675 Donaldson Co., Inc.+ 4,321 146,352 -------------- TOTAL MACHINERY 452,027 -------------- AEROSPACE & DEFENSE 1.4% Alliant Techsystems, Inc.*+ 4,706 359,303 -------------- TOTAL AEROSPACE & DEFENSE 359,303 -------------- TRADING COMPANIES & DISTRIBUTORS 0.7% Fastenal Co.+ 4,919 198,186 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 198,186 -------------- CONSTRUCTION & ENGINEERING 0.7% Jacobs Engineering Group, Inc.*+ 2,400 191,136 -------------- TOTAL CONSTRUCTION & ENGINEERING 191,136 -------------- TOTAL INDUSTRIALS 4,218,943 -------------- HEALTH CARE 15.6% HEALTH CARE EQUIPMENT & SUPPLIES 5.1% Cytyc Corp.* 16,988 430,816 Gen-Probe, Inc.* 5,486 296,134 DENTSPLY International, Inc. 4,094 248,096 Intuitive Surgical, Inc.*+ 1,830 215,885 Beckman Coulter, Inc. 3,219 178,816 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,369,747 -------------- PHARMACEUTICALS 3.8% Sepracor, Inc.*+ 9,372 535,516 - -------------------------------------------------------------------------------- 2 MID-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Par Pharmaceutical Cos., Inc.*+ 19,260 $ 355,540 Medicis Pharmaceutical Corp. -- Class A+ 4,920 118,080 -------------- TOTAL PHARMACEUTICALS 1,009,136 -------------- HEALTH CARE PROVIDERS & SERVICES 3.7% Lincare Holdings, Inc.* 7,023 265,750 Apria Healthcare Group, Inc.*+ 11,340 214,326 Pharmaceutical Product Development, Inc.+ 5,990 210,369 Community Health Systems, Inc.*+ 4,610 169,418 LifePoint Hospitals, Inc.*+ 4,256 136,745 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 996,608 -------------- BIOTECHNOLOGY 3.0% Cephalon, Inc.*+ 7,010 421,301 Techne Corp.* 3,143 160,041 Invitrogen Corp.*+ 1,680 110,998 Martek Biosciences Corp.*+ 3,150 91,192 -------------- TOTAL BIOTECHNOLOGY 783,532 -------------- TOTAL HEALTH CARE 4,159,023 -------------- ENERGY 9.7% OIL & GAS 8.6% Denbury Resources, Inc.*+ 14,955 473,625 Western Gas Resources, Inc.+ 6,532 390,940 Newfield Exploration Co.*+ 7,623 373,070 Pogo Producing Co.+ 7,813 360,179 Plains Exploration & Production Co.*+ 4,820 195,403 Southwestern Energy Co.* 5,470 170,445 Pioneer Natural Resources Co.+ 3,590 166,612 Noble Energy, Inc.+ 3,160 148,078 -------------- TOTAL OIL & GAS 2,278,352 -------------- ENERGY EQUIPMENT & SERVICES 1.1% Grant Prideco, Inc.* 3,420 153,045 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Patterson-UTI Energy, Inc.+ 5,265 $ 149,052 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 302,097 -------------- TOTAL ENERGY 2,580,449 -------------- FINANCIALS 7.6% CAPITAL MARKETS 5.1% SEI Investments Co. 8,303 405,851 Investors Financial Services Corp.+ 8,588 385,601 Eaton Vance Corp. 12,319 307,482 Waddell & Reed Financial, Inc. -- Class A+ 12,928 265,800 -------------- TOTAL CAPITAL MARKETS 1,364,734 -------------- INSURANCE 1.7% Brown & Brown, Inc.+ 15,628 456,650 -------------- TOTAL INSURANCE 456,650 -------------- THRIFTS & MORTGAGE FINANCE 0.8% Radian Group, Inc.+ 3,510 216,848 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 216,848 -------------- TOTAL FINANCIALS 2,038,232 -------------- CONSUMER STAPLES 1.0% HOUSEHOLD PRODUCTS 1.0% Energizer Holdings, Inc.*+ 2,681 157,026 Church & Dwight Co., Inc. 2,856 104,016 -------------- TOTAL HOUSEHOLD PRODUCTS 261,042 -------------- TOTAL CONSUMER STAPLES 261,042 -------------- TOTAL COMMON STOCKS (Cost $23,270,373) 25,878,255 -------------- - -------------------------------------------------------------------------------- 3 MID-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.5% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 18,299 $ 18,299 Lehman Brothers, Inc. at 4.45% due 07/03/06 18 18 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 58,435 58,435 Morgan Stanley at 4.40% due 07/03/06 33,113 33,113 Citigroup, Inc. at 4.10% due 07/03/06 34,087 34,087 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $143,952) 143,952 -------------- SECURITIES LENDING COLLATERAL 16.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 4,289,951 4,289,951 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,289,951) 4,289,951 ============== TOTAL INVESTMENTS 113.7% (Cost $27,704,276) $ 30,312,158 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (13.7)% $ (3,658,722) -------------- NET ASSETS - 100.0% $ 26,653,436 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 4 LARGE-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 100.8% CONSUMER DISCRETIONARY 27.0% SPECIALTY RETAIL 6.2% AutoZone, Inc.* 2,380 $ 209,916 TJX Cos., Inc.+ 8,502 194,356 Best Buy Co., Inc.+ 3,097 169,839 Bed Bath & Beyond, Inc.*+ 4,701 155,932 Lowe's Cos., Inc. 1,786 108,357 Home Depot, Inc.+ 2,477 88,652 RadioShack Corp.+ 4,084 57,176 Tiffany & Co.+ 1,540 50,851 -------------- TOTAL SPECIALTY RETAIL 1,035,079 -------------- HOTELS, RESTAURANTS & LEISURE 5.3% International Game Technology, Inc. 9,079 344,457 Starbucks Corp.*+ 5,396 203,753 Darden Restaurants, Inc. 2,755 108,547 Yum! Brands, Inc. 1,919 96,468 Wendy's International, Inc. 1,300 75,777 Starwood Hotels & Resorts Worldwide, Inc.+ 1,060 63,961 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 892,963 -------------- HOUSEHOLD DURABLES 4.7% Black & Decker Corp.+ 2,433 205,491 Lennar Corp. -- Class A+ 3,260 144,646 D.R. Horton, Inc.+ 5,090 121,244 Fortune Brands, Inc.+ 1,653 117,380 Centex Corp. 2,290 115,187 Harman International Industries, Inc. 920 78,540 -------------- TOTAL HOUSEHOLD DURABLES 782,488 -------------- MEDIA 2.1% Omnicom Group, Inc.+ 1,214 108,155 Clear Channel Communications, Inc.+ 3,340 103,373 Dow Jones & Co., Inc.+ 2,386 83,534 Univision Communications, Inc. -- Class A*+ 2,000 67,000 -------------- TOTAL MEDIA 362,062 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES 2.1% Apollo Group, Inc. -- Class A*+ 3,467 $ 179,140 H&R Block, Inc.+ 7,015 167,378 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 346,518 -------------- TEXTILES & APPAREL 1.9% Coach, Inc.*+ 6,378 190,702 Liz Claiborne, Inc. 2,220 82,273 Nike, Inc. -- Class B+ 606 49,086 -------------- TOTAL TEXTILES & APPAREL 322,061 -------------- MULTILINE RETAIL 1.7% Kohl's Corp.* 2,600 153,712 Sears Holdings Corp.*+ 542 83,924 Target Corp. 1,021 49,896 -------------- TOTAL MULTILINE RETAIL 287,532 -------------- INTERNET & CATALOG RETAIL 1.3% Amazon.com, Inc.*+ 5,630 217,768 -------------- TOTAL INTERNET & CATALOG RETAIL 217,768 -------------- AUTOMOBILES 1.1% Harley-Davidson, Inc.+ 3,297 180,972 -------------- TOTAL AUTOMOBILES 180,972 -------------- AUTO COMPONENTS 0.6% Goodyear Tire & Rubber Co.*+ 9,198 102,098 -------------- TOTAL AUTO COMPONENTS 102,098 -------------- TOTAL CONSUMER DISCRETIONARY 4,529,541 -------------- HEALTH CARE 24.7% HEALTH CARE PROVIDERS & SERVICES 10.7% Express Scripts, Inc.* 2,782 199,581 AmerisourceBergen Corp.+ 4,570 191,574 Coventry Health Care, Inc.* 3,230 177,456 Manor Care, Inc.+ 3,600 168,912 UnitedHealth Group, Inc.+ 3,478 155,745 Humana, Inc.* 2,670 143,379 - -------------------------------------------------------------------------------- 1 LARGE-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Caremark Rx, Inc. 2,830 $ 141,132 Quest Diagnostics, Inc.+ 2,165 129,727 IMS Health, Inc.+ 4,735 127,135 Cardinal Health, Inc.+ 1,730 111,291 Patterson Cos., Inc.*+ 3,022 105,558 Health Management Associates, Inc. -- Class A 4,550 89,681 Laboratory Corporation of America Holdings*+ 770 47,917 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,789,088 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 7.5% Fisher Scientific International, Inc.*+ 3,170 231,569 Hospira, Inc.* 4,021 172,662 Zimmer Holdings, Inc.* 2,774 157,341 Stryker Corp.+ 3,736 157,323 Waters Corp.*+ 2,908 129,115 Biomet, Inc.+ 3,076 96,248 Medtronic, Inc.+ 1,733 81,312 St. Jude Medical, Inc.* 2,215 71,810 Boston Scientific Corp.* 3,441 57,947 Becton, Dickinson & Co. 832 50,860 Millipore Corp.*+ 792 49,888 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,256,075 -------------- PHARMACEUTICALS 5.4% Forest Laboratories, Inc.*+ 5,314 205,599 King Pharmaceuticals, Inc.* 7,980 135,660 Barr Pharmaceuticals, Inc.* 2,600 123,994 Mylan Laboratories, Inc.+ 4,470 89,400 Schering-Plough Corp.+ 4,136 78,708 Pfizer, Inc. 3,060 71,818 Johnson & Johnson, Inc. 1,054 63,156 Wyeth 1,086 48,229 Eli Lilly & Co. 857 47,366 Watson Pharmaceuticals, Inc.*+ 1,500 34,920 -------------- TOTAL PHARMACEUTICALS 898,850 -------------- BIOTECHNOLOGY 1.1% Gilead Sciences, Inc.*+ 1,566 92,645 Amgen, Inc.*+ 744 48,531 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Medimmune, Inc.*+ 1,655 $ 44,850 -------------- TOTAL BIOTECHNOLOGY 186,026 -------------- TOTAL HEALTH CARE 4,130,039 -------------- INFORMATION TECHNOLOGY 16.9% COMPUTERS & PERIPHERALS 4.1% QLogic Corp.*+ 8,030 138,437 Network Appliance, Inc.*+ 3,823 134,952 Lexmark International, Inc.* 2,328 129,972 Dell, Inc.* 5,120 124,979 SanDisk Corp.*+ 2,118 107,976 International Business Machines Corp. 716 55,003 -------------- TOTAL COMPUTERS & PERIPHERALS 691,319 -------------- INTERNET SOFTWARE & SERVICES 4.0% Google, Inc. -- Class A*+ 720 301,918 eBay, Inc.*+ 5,228 153,128 Yahoo!, Inc.*+ 4,587 151,371 VeriSign, Inc.*+ 2,972 68,861 -------------- TOTAL INTERNET SOFTWARE & SERVICES 675,278 -------------- SOFTWARE 4.0% Citrix Systems, Inc.* 3,682 147,796 Adobe Systems, Inc.* 4,787 145,333 Oracle Corp.*+ 8,034 116,413 Electronic Arts, Inc.*+ 1,975 85,004 Symantec Corp.*+ 4,083 63,450 Intuit, Inc.* 978 59,061 Microsoft Corp. 2,303 53,660 -------------- TOTAL SOFTWARE 670,717 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.2% Nvidia Corp.* 13,430 285,925 Maxim Integrated Products, Inc.+ 1,518 48,743 Broadcom Corp. -- Class A*+ 1,143 34,347 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 369,015 -------------- - -------------------------------------------------------------------------------- 2 LARGE-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- IT CONSULTING & SERVICES 2.1% First Data Corp. 3,097 $ 139,489 Fiserv, Inc.* 2,290 103,874 Affiliated Computer Services, Inc. -- Class A* 1,990 102,704 -------------- TOTAL IT CONSULTING & SERVICES 346,067 -------------- COMMUNICATIONS EQUIPMENT 0.3% Cisco Systems, Inc.* 2,065 40,329 -------------- TOTAL COMMUNICATIONS EQUIPMENT 40,329 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.2% Jabil Circuit, Inc.+ 1,530 39,168 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 39,168 -------------- TOTAL INFORMATION TECHNOLOGY 2,831,893 -------------- FINANCIALS 9.4% THRIFTS & MORTGAGE FINANCE 3.4% Countrywide Financial Corp.+ 5,581 212,525 Freddie Mac+ 2,748 156,663 MGIC Investment Corp. 1,680 109,200 Golden West Financial Corp. 1,120 83,104 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 561,492 -------------- CONSUMER FINANCE 2.4% Capital One Financial Corp. 2,300 196,535 SLM Corp. 3,111 164,634 American Express Co. 777 41,352 -------------- TOTAL CONSUMER FINANCE 402,521 -------------- CAPITAL MARKETS 1.6% Federated Investors, Inc. -- Class B 4,873 153,500 Janus Capital Group, Inc. 3,930 70,347 Legg Mason, Inc.+ 412 41,002 -------------- TOTAL CAPITAL MARKETS 264,849 -------------- INSURANCE 1.5% Progressive Corp. 5,598 143,925 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Ambac Financial Group, Inc. 1,350 $ 109,485 -------------- TOTAL INSURANCE 253,410 -------------- BANKS 0.5% Commerce Bancorp, Inc./NJ+ 2,530 90,245 -------------- TOTAL BANKS 90,245 -------------- TOTAL FINANCIALS 1,572,517 -------------- CONSUMER STAPLES 8.7% FOOD PRODUCTS 2.9% General Mills, Inc.+ 2,893 149,452 Campbell Soup Co. 3,360 124,690 Kellogg Co. 1,904 92,211 McCormick & Co., Inc.+ 2,095 70,287 WM Wrigley Jr Co. 998 45,269 -------------- TOTAL FOOD PRODUCTS 481,909 -------------- FOOD & DRUG RETAILING 2.0% Sysco Corp.+ 3,084 94,247 Wal-Mart Stores, Inc.+ 1,954 94,124 Walgreen Co. 1,982 88,873 Whole Foods Market, Inc.+ 992 64,123 -------------- TOTAL FOOD & DRUG RETAILING 341,367 -------------- HOUSEHOLD PRODUCTS 2.0% Colgate-Palmolive Co. 2,291 137,231 Clorox Co. 2,198 134,012 Procter & Gamble Co. 1,023 56,879 -------------- TOTAL HOUSEHOLD PRODUCTS 328,122 -------------- BEVERAGES 1.2% Anheuser-Busch Cos., Inc. 3,144 143,335 PepsiCo, Inc. 851 51,094 -------------- TOTAL BEVERAGES 194,429 -------------- - -------------------------------------------------------------------------------- 3 LARGE-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TOBACCO 0.6% UST, Inc.+ 2,416 $ 109,179 -------------- TOTAL TOBACCO 109,179 -------------- TOTAL CONSUMER STAPLES 1,455,006 -------------- ENERGY 8.4% OIL & GAS 7.7% XTO Energy, Inc.+ 6,800 301,036 Devon Energy Corp.+ 3,510 212,039 Valero Energy Corp.+ 2,810 186,921 Anadarko Petroleum Corp.+ 3,400 162,146 Apache Corp. 2,370 161,752 Chesapeake Energy Corp.+ 4,400 133,100 EOG Resources, Inc. 1,878 130,221 -------------- TOTAL OIL & GAS 1,287,215 -------------- ENERGY EQUIPMENT & SERVICES 0.7% BJ Services Co. 2,307 85,959 Nabors Industries Ltd.*+ 1,100 37,169 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 123,128 -------------- TOTAL ENERGY 1,410,343 -------------- INDUSTRIALS 3.6% COMMERCIAL SERVICES & SUPPLIES 1.4% Cendant Corp. 8,960 145,958 Equifax, Inc. 1,390 47,733 Cintas Corp. 1,190 47,314 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 241,005 -------------- AEROSPACE & DEFENSE 1.3% L-3 Communications Holdings, Inc. 1,410 106,342 General Dynamics Corp. 1,550 101,463 -------------- TOTAL AEROSPACE & DEFENSE 207,805 -------------- MACHINERY 0.9% ITT Industries, Inc. 1,530 75,735 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Danaher Corp. 1,099 $ 70,688 -------------- TOTAL MACHINERY 146,423 -------------- TOTAL INDUSTRIALS 595,233 -------------- MATERIALS 2.1% CHEMICALS 1.2% Ecolab, Inc. 2,798 113,543 Sigma-Aldrich Corp.+ 1,070 77,725 -------------- TOTAL CHEMICALS 191,268 -------------- CONTAINERS & PACKAGING 0.9% Ball Corp.+ 4,231 156,716 -------------- TOTAL CONTAINERS & PACKAGING 156,716 -------------- TOTAL MATERIALS 347,984 -------------- TOTAL COMMON STOCKS (Cost $15,303,901) 16,872,556 -------------- FACE AMOUNT ---------- REPURCHASE AGREEMENTS 0.7% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 16,304 16,304 Lehman Brothers, Inc. at 4.45% due 07/03/06 16 16 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 52,065 52,065 Morgan Stanley at 4.40% due 07/03/06 29,503 29,503 Citigroup, Inc. at 4.10% due 07/03/06 30,371 30,371 TOTAL REPURCHASE AGREEMENTS (Cost $128,259) 128,259 -------------- - -------------------------------------------------------------------------------- 4 LARGE-CAP GROWTH FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 20.2% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 3,382,662 $ 3,382,662 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $3,382,662) 3,382,662 -------------- TOTAL INVESTMENTS 121.7% (Cost $18,814,822) $ 20,383,477 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (21.7)% $ (3,640,454) -------------- NET ASSETS - 100.0% $ 16,743,023 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 5 DYNAMIC STRENGTHENING DOLLAR FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 103.0% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 4,011,614 $ 4,011,614 Credit Suisse at 4.55% due 07/03/06+ 14,311,722 14,311,722 Lehman Brothers, Inc. at 4.45% due 07/03/06 3,838 3,838 Bear Stearns Cos., Inc. at 4.40%due 07/03/06 12,810,209 12,810,209 Morgan Stanley at 4.40% due 07/03/06 7,259,119 7,259,119 Citigroup, Inc. at 4.10% due 07/03/06 7,472,622 7,472,622 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $45,869,124) 45,869,124 -------------- TOTAL INVESTMENTS 103.0% (Cost $45,869,124) $ 45,869,124 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (3.0)% $ (1,334,755) -------------- NET ASSETS - 100.0% $ 44,534,369 - ------------------------------------------------------------------------------- UNREALIZED UNITS LOSS - ------------------------------------------------------------------------------- CURRENCY INDEX SWAP AGREEMENT August 2006 U.S. Dollar Index Swap, Maturing 08/30/06* (Notional Market Value $89,112,730) 1,050,502 $ (83,334) -------------- * Price Return based on U.S. Dollar Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 DYNAMIC WEAKENING DOLLAR FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 101.6% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 13,257,218 $ 13,257,218 Credit Suisse at 4.55% due 07/03/06+ 47,793,813 47,793,813 Lehman Brothers, Inc. at 4.45% due 07/03/06 12,683 12,683 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 42,334,021 42,334,021 Morgan Stanley at 4.40% due 07/03/06 23,989,278 23,989,278 Citigroup, Inc. at 4.10% due 07/03/06 24,694,845 24,694,845 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $152,081,858) 152,081,858 -------------- TOTAL INVESTMENTS 101.6% (Cost $152,081,858) $ 152,081,858 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (1.6)% $ (2,323,270) -------------- NET ASSETS - 100.0% $ 149,758,588 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT September 2006 U.S. Dollar Index Futures Contracts (Aggregate Market Value of Contracts $1,782,900 ) 21 $ 14,616 -------------- UNREALIZED UNITS LOSS ------------------------------ CURRENCY INDEX SWAP AGREEMENT SOLD SHORT August 2006 U.S. Dollar Index Swap, Maturing 08/30/06* (Notional Market Value $295,610,493) 3,484,793 $ (2,619,807) -------------- * Price Return based on U.S. Dollar Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 U.S. GOVERNMENT MONEY MARKET FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 79.0% Farmer Mac* 4.79% due 07/06/06 $ 50,000,000 $ 49,980,042 4.84% due 07/12/06 50,000,000 49,939,500 4.44% due 07/14/06 50,000,000 49,932,167 5.00% due 11/03/06 50,000,000 49,145,833 4.79% due 07/18/06 25,000,000 24,950,104 Federal Farm Credit Bank* 5.14% due 07/31/06 50,000,000 49,800,111 4.73% due 08/08/06 50,000,000 49,763,500 4.98% due 10/18/06 50,000,000 49,259,917 5.00% due 10/30/06 50,000,000 49,173,611 5.21% due 11/20/06 50,000,000 48,986,944 4.92% due 08/10/06 25,000,000 24,870,167 4.83% due 08/15/06 25,000,000 24,855,771 4.96% due 11/16/06 25,000,000 24,531,555 4.98% due 11/17/06 25,000,000 24,526,208 4.99% due 11/22/06 25,000,000 24,507,930 Federal Home Loan Bank* 4.95% due 07/03/06 100,000,000 100,000,000 4.99% due 08/25/06 50,000,000 49,632,681 5.21% due 09/20/06 50,000,000 49,428,347 5.27% due 09/27/06 50,000,000 49,370,528 4.73% due 07/24/06 25,000,000 24,931,021 5.19% due 08/18/06 25,000,000 24,834,208 5.21% due 09/22/06 25,000,000 24,706,937 5.24% due 12/15/06 25,000,000 24,399,583 4.83% due 09/20/06 20,000,000 19,788,017 Freddie Mac* 4.75% due 08/15/06 50,000,000 49,716,319 5.24% due 12/19/06 50,000,000 48,770,055 4.84% due 07/31/06 25,000,000 24,905,889 4.89% due 09/12/06 25,000,000 24,758,896 5.26% due 12/19/06 25,000,000 24,382,681 -------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $1,133,848,522) 1,133,848,522 -------------- FEDERAL AGENCY BONDS 1.7% Federal Home Loan Bank* 4.30% due 07/13/06 25,000,000 25,000,000 -------------- TOTAL FEDERAL AGENCY BONDS (Cost $25,000,000) 25,000,000 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 21.7% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 311,713,757 $ 311,713,757 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $311,713,757) 311,713,757 -------------- TOTAL INVESTMENTS 102.4% (Cost $1,470,562,279) $1,470,562,279 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (2.4)% $ (34,265,606) -------------- NET ASSETS - 100.0% $1,436,296,673 * The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. - -------------------------------------------------------------------------------- 1 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 94.2% FINANCIALS 20.3% INSURANCE 10.3% Principal Financial Group, Inc.+ 4,612 $ 256,658 American International Group, Inc. 4,256 251,317 Prudential Financial, Inc. 3,170 246,309 Cincinnati Financial Corp. 4,430 208,254 Lincoln National Corp.+ 3,591 202,676 Ambac Financial Group, Inc.+ 2,440 197,884 Hartford Financial Services Group, Inc.+ 2,327 196,864 MetLife, Inc.+ 3,817 195,469 Genworth Financial, Inc. -- Class A 5,478 190,854 Aon Corp.+ 5,450 189,769 AFLAC, Inc. 4,068 188,552 Chubb Corp. 3,770 188,123 Loews Corp. 4,980 176,541 Delphi Financial Group, Inc. -- Class A+ 4,815 175,073 Selective Insurance Group, Inc.+ 3,114 173,979 Ohio Casualty Corp.+ 5,795 172,285 Assurant, Inc. 3,550 171,820 Old Republic International Corp. 7,855 167,861 First American Corp.+ 3,921 165,741 W.R. Berkley Corp. 4,775 162,971 UnumProvident Corp. 8,851 160,469 Protective Life Corp. 3,391 158,088 RLI Corp.+ 3,234 155,814 Nationwide Financial Services, Inc. 3,534 155,779 AmerUs Group Co.+ 2,652 155,275 Harleysville Group, Inc.+ 4,877 154,698 Safety Insurance Group, Inc. 3,244 154,252 LandAmerica Financial Group, Inc. 2,374 153,360 American National Insurance Co. 1,181 153,199 American Physicians Capital, Inc.* 2,894 152,195 Phoenix Cos., Inc. 10,791 151,937 ProAssurance Corp.*+ 3,132 150,900 Reinsurance Group of America, Inc. 3,050 149,908 Conseco, Inc.*+ 6,441 148,787 MARKET SHARES VALUE - ------------------------------------------------------------------------------- National Western Life Insurance 620 $ 148,583 Co. -- Class A American Financial Group, Inc./OH 3,460 148,434 Stancorp Financial Group, Inc. 2,914 148,352 Donegal Group, Inc. -- Class A 7,559 146,720 HCC Insurance Holdings, Inc.+ 4,895 144,109 Infinity Property & Casualty Corp. 3,470 142,270 Hanover Insurance Group, Inc.+ 2,990 141,905 Argonaut Group, Inc.* 4,691 140,918 FPIC Insurance Group, Inc.*+ 3,521 136,439 First Acceptance Corp.*+ 11,498 135,446 Wesco Financial Corp. 350 133,350 EMC Insurance Group, Inc. 4,587 131,922 Philadelphia Consolidated Holding Corp.*+ 4,324 131,277 Great American Financial Resources, Inc. 6,135 128,406 Horace Mann Educators Corp.+ 7,251 122,904 CNA Surety Corp.* 4,089 70,658 The Midland Co. 1,440 54,691 Fidelity National Title Group, Inc. -- Class A+ 2,007 39,478 Kansas City Life Insurance Co. 909 38,333 Universal American Financial Corp.* 2,864 37,662 Crawford & Co. -- Class B 4,319 31,010 James River Group, Inc.* 727 18,102 -------------- TOTAL INSURANCE 8,404,630 -------------- DIVERSIFIED FINANCIALS 2.7% Citigroup, Inc. 16,998 819,983 Bank of America Corp. 13,927 669,889 J.P. Morgan Chase & Co.+ 12,738 534,996 Leucadia National Corp. 5,600 163,464 -------------- TOTAL DIVERSIFIED FINANCIALS 2,188,332 -------------- BANKS 2.0% Wachovia Corp.+ 6,790 367,203 KeyCorp 6,500 231,920 M&T Bank Corp. 1,697 200,110 - -------------------------------------------------------------------------------- 1 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- National City Corp.+ 5,217 $ 188,803 Wells Fargo & Co.+ 2,714 182,055 First Citizens BancShares, Inc. -- Class A 827 165,814 TD Banknorth, Inc. 5,560 163,742 North Fork Bancorporation, Inc.+ 3,696 111,509 U.S. Bancorp+ 640 19,763 R&G Financial Corp. -- Class B 880 7,559 -------------- TOTAL BANKS 1,638,478 -------------- CAPITAL MARKETS 1.9% Goldman Sachs Group, Inc. 1,940 291,834 E*Trade Financial Corp.* 8,090 184,614 Charles Schwab Corp.+ 10,670 170,507 Ameriprise Financial, Inc. 3,450 154,111 Allied Capital Corp.+ 5,300 152,481 Capital Southwest Corp.+ 1,457 152,184 Blackrock, Inc.+ 1,084 150,860 LaBranche & Co., Inc.*+ 10,270 124,370 Apollo Investment Corp.+ 3,280 60,614 Morgan Stanley 880 55,625 Merrill Lynch & Co., Inc. 772 53,700 -------------- TOTAL CAPITAL MARKETS 1,550,900 -------------- THRIFTS & MORTGAGE FINANCE 1.7% Washington Mutual, Inc.+ 5,788 263,817 Fannie Mae+ 5,230 251,563 Radian Group, Inc.+ 2,795 172,675 PMI Group, Inc. 3,608 160,845 Webster Financial Corp. 3,200 151,808 Corus Bankshares, Inc.+ 4,930 129,067 ITLA Capital Corp.+ 2,334 122,722 MGIC Investment Corp.+ 1,277 83,005 Doral Financial Corp.+ 7,979 51,145 Federal Agricultural Mortgage Corp. 648 17,950 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,404,597 -------------- REAL ESTATE 0.9% Highwoods Properties, Inc. 5,211 188,534 Winston Hotels, Inc. 12,566 153,934 LTC Properties, Inc. 6,135 137,117 AvalonBay Communities, Inc. 1,057 116,925 Fieldstone Investment Corp.+ 10,231 93,716 MARKET SHARES VALUE - ------------------------------------------------------------------------------- MFA Mortgage Investments, Inc. 6,625 $ 45,580 CB Richard Ellis Group, Inc. -- Class A* 640 15,936 -------------- TOTAL REAL ESTATE 751,742 -------------- CONSUMER FINANCE 0.8% Capital One Financial Corp.+ 2,304 196,877 Asta Funding, Inc.+ 3,970 148,677 Cash America International, Inc. 4,611 147,552 United PanAm Financial Corp.* 4,550 138,320 American Express Co.+ 400 21,288 -------------- TOTAL CONSUMER FINANCE 652,714 -------------- TOTAL FINANCIALS 16,591,393 -------------- INFORMATION TECHNOLOGY 15.2% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.5% Intel Corp. 22,048 417,810 Texas Instruments, Inc.+ 8,488 257,101 Freescale Semiconductor, Inc. -- Class B* 7,021 206,417 Micron Technology, Inc.*+ 12,630 190,208 Lam Research Corp.* 3,807 177,482 National Semiconductor Corp.+ 7,105 169,454 Cymer, Inc.*+ 3,340 155,176 Diodes, Inc.* 3,659 151,629 Silicon Image, Inc.*+ 14,053 151,491 Intersil Corp. -- Class A 5,703 132,595 Cirrus Logic, Inc.* 15,462 125,861 OmniVision Technologies, Inc.*+ 5,671 119,772 LSI Logic Corp.*+ 13,277 118,829 IXYS Corp.* 11,222 107,731 Nvidia Corp.* 5,034 107,174 Genesis Microchip, Inc.*+ 9,239 106,803 Portalplayer, Inc.*+ 6,100 59,841 Skyworks Solutions, Inc.* 10,662 58,748 Sigmatel, Inc.* 3,819 15,696 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,829,818 -------------- - -------------------------------------------------------------------------------- 2 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS 3.0% International Business Machines Corp. 6,124 $ 470,446 Hewlett-Packard Co. 12,247 387,985 Apple Computer, Inc.* 4,047 231,165 Komag, Inc.*+ 3,830 176,869 Brocade Communications Systems, Inc.*+ 28,101 172,540 EMC Corp./MA* 15,690 172,119 NCR Corp.*+ 4,680 171,475 Advanced Digital Information Corp.*+ 13,737 161,685 QLogic Corp.*+ 7,620 131,369 Emulex Corp.*+ 7,979 129,818 SanDisk Corp.*+ 2,478 126,329 Palm, Inc.*+ 7,630 122,843 Dell, Inc.* 974 23,775 -------------- TOTAL COMPUTERS & PERIPHERALS 2,478,418 -------------- IT CONSULTING & SERVICES 2.4% First Data Corp. 5,058 227,812 Computer Sciences Corp.* 3,660 177,290 Ceridian Corp.*+ 6,701 163,773 Forrester Research, Inc.* 5,691 159,234 MPS Group, Inc.* 10,560 159,034 Convergys Corp.* 8,137 158,672 Affiliated Computer Services, Inc. -- Class A* 2,921 150,753 Automatic Data Processing, Inc. 3,134 142,127 BISYS Group, Inc.* 9,049 123,971 Hewitt Associates, Inc. -- Class A* 5,070 113,974 SYKES Enterprises, Inc.* 5,993 96,847 infoUSA, Inc. -- Class B 7,303 75,294 MoneyGram International, Inc.+ 2,093 71,057 Global Payments, Inc. 1,177 57,143 Infocrossing, Inc.*+ 2,904 33,541 Covansys Corp.*+ 1,954 24,562 -------------- TOTAL IT CONSULTING & SERVICES 1,935,084 -------------- SOFTWARE 2.2% Microsoft Corp. 21,216 494,333 RSA Security, Inc.* 6,305 171,433 MicroStrategy, Inc. -- Class A*+ 1,660 161,883 CA, Inc.+ 6,706 137,808 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Lawson Software, Inc.* 18,255 $ 122,308 Fair Isaac Corp. 3,251 118,044 Pegasystems, Inc. 17,408 111,759 Compuware Corp.* 16,658 111,609 Internet Security Systems, Inc.* 5,681 107,087 Intergraph Corp.*+ 3,168 99,760 MRO Software, Inc.* 2,097 42,087 Secure Computing Corp.* 4,606 39,612 TIBCO Software, Inc.* 3,600 25,380 Oracle Corp.* 1,310 18,982 -------------- TOTAL SOFTWARE 1,762,085 -------------- COMMUNICATIONS EQUIPMENT 1.9% Motorola, Inc.+ 13,271 267,411 Cisco Systems, Inc.*+ 11,719 228,872 Polycom, Inc.*+ 8,107 177,705 Avaya, Inc.*+ 14,331 163,660 Tellabs, Inc.*+ 11,670 155,328 ADTRAN, Inc. 6,089 136,576 Juniper Networks, Inc.*+ 6,710 107,293 Andrew Corp.* 11,020 97,637 Ixia*+ 9,196 82,764 Qualcomm, Inc. 1,824 73,088 Digi International, Inc.* 1,964 24,609 -------------- TOTAL COMMUNICATIONS EQUIPMENT 1,514,943 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.3% Rofin-Sinar Technologies, Inc.* 2,750 158,042 Molex, Inc.+ 4,610 154,757 Vishay Intertechnology, Inc.*+ 9,630 151,480 Arrow Electronics, Inc.*+ 4,610 148,442 Coherent, Inc.* 4,330 146,051 Solectron Corp.*+ 40,352 138,004 Tech Data Corp.*+ 3,590 137,533 MTS Systems Corp. 1,327 52,430 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,086,739 -------------- INTERNET SOFTWARE & SERVICES 0.8% RealNetworks, Inc.*+ 15,843 169,520 Digital River, Inc.*+ 3,820 154,290 SonicWALL, Inc.* 16,968 152,542 United Online, Inc. 6,425 77,100 Google, Inc. -- Class A*+ 100 41,933 - -------------------------------------------------------------------------------- 3 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Digital Insight Corp.* 900 $ 30,861 EarthLink, Inc.* 3,479 30,128 -------------- TOTAL INTERNET SOFTWARE & SERVICES 656,374 -------------- OFFICE ELECTRONICS 0.1% Xerox Corp.*+ 8,956 124,578 -------------- TOTAL OFFICE ELECTRONICS 124,578 -------------- TOTAL INFORMATION TECHNOLOGY 12,388,039 -------------- INDUSTRIALS 12.6% MACHINERY 3.2% Eaton Corp. 2,810 211,874 Dover Corp. 4,140 204,640 Cummins, Inc.+ 1,610 196,822 Illinois Tool Works, Inc. 4,040 191,900 Parker Hannifin Corp. 2,467 191,439 Terex Corp.* 1,880 185,556 Crane Co. 4,190 174,304 Albany International Corp. -- Class A 3,970 168,288 Timken Co.+ 4,550 152,471 Circor International, Inc. 4,910 149,706 Watts Industries, Inc. -- Class A+ 4,290 143,930 Commercial Vehicle Group, Inc.* 6,553 135,516 EnPro Industries, Inc.* 4,030 135,408 Barnes Group, Inc. 6,760 134,862 Accuride Corp.*+ 10,164 126,745 Cascade Corp. 827 32,708 JLG Industries, Inc. 1,320 29,700 Caterpillar, Inc.+ 110 8,193 -------------- TOTAL MACHINERY 2,574,062 -------------- COMMERCIAL SERVICES & SUPPLIES 1.9% Waste Management, Inc. 5,210 186,935 Manpower, Inc. 2,740 177,004 Kforce, Inc.* 10,399 161,080 United Stationers, Inc.* 3,150 155,358 FTI Consulting, Inc.* 5,690 152,321 West Corp.* 3,122 149,575 Sourcecorp, Inc.* 5,862 145,319 Steelcase, Inc. -- Class A+ 7,780 127,981 CBIZ, Inc.*+ 17,072 126,503 M&F Worldwide Corp.* 7,856 126,482 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Spherion Corp.*+ 5,613 $ 51,191 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,559,749 -------------- AEROSPACE & DEFENSE 1.6% Boeing Co.+ 3,650 298,971 General Dynamics Corp. 3,138 205,413 Lockheed Martin Corp.+ 2,804 201,159 Raytheon Co. 4,245 189,200 L-3 Communications Holdings, Inc. 2,418 182,366 Armor Holdings, Inc.*+ 2,910 159,555 United Technologies Corp. 664 42,111 -------------- TOTAL AEROSPACE & DEFENSE 1,278,775 -------------- INDUSTRIAL CONGLOMERATES 1.5% General Electric Co. 25,351 835,569 Textron, Inc. 2,310 212,936 Teleflex, Inc. 2,294 123,922 3M Co. 500 40,385 -------------- TOTAL INDUSTRIAL CONGLOMERATES 1,212,812 -------------- ELECTRICAL EQUIPMENT 1.4% Belden CDT, Inc.+ 5,121 169,249 Roper Industries, Inc.+ 3,390 158,483 Regal-Beloit Corp.+ 3,400 150,110 A.O. Smith Corp.+ 3,080 142,789 Thomas & Betts Corp.* 2,750 141,075 LSI Industries, Inc. 7,371 125,233 Vicor Corp. 7,128 118,111 Preformed Line Products Co.+ 2,844 107,788 Global Power Equipment Group, Inc.*+ 13,141 41,788 -------------- TOTAL ELECTRICAL EQUIPMENT 1,154,626 -------------- ROAD & RAIL 1.2% Norfolk Southern Corp. 5,270 280,469 Burlington Northern Santa Fe Corp.+ 2,750 217,938 Union Pacific Corp. 2,180 202,653 SCS Transportation, Inc.* 5,180 142,605 RailAmerica, Inc.* 12,314 128,805 -------------- TOTAL ROAD & RAIL 972,470 -------------- - -------------------------------------------------------------------------------- 4 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- AIR FREIGHT & COURIERS 0.4% United Parcel Service, Inc. -- Class B+ 2,830 $ 232,994 HUB Group, Inc. -- Class A*+ 5,630 138,104 -------------- TOTAL AIR FREIGHT & COURIERS 371,098 -------------- BUILDING PRODUCTS 0.4% Lennox International, Inc. 5,320 140,873 ElkCorp 4,121 114,440 Universal Forest Products, Inc. 1,427 89,516 -------------- TOTAL BUILDING PRODUCTS 344,829 -------------- CONSTRUCTION & ENGINEERING 0.4% URS Corp.* 3,900 163,800 EMCOR Group, Inc.* 3,360 163,531 -------------- TOTAL CONSTRUCTION & ENGINEERING 327,331 -------------- AIRLINES 0.3% Southwest Airlines Co.+ 13,217 216,363 Mesa Air Group, Inc.*+ 6,832 67,295 -------------- TOTAL AIRLINES 283,658 -------------- TRADING COMPANIES & DISTRIBUTORS 0.3% W.W. Grainger, Inc. 2,270 170,772 MSC Industrial Direct Co. -- Class A 1,137 54,087 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 224,859 -------------- TOTAL INDUSTRIALS 10,304,269 -------------- CONSUMER DISCRETIONARY 11.9% SPECIALTY RETAIL 2.8% Home Depot, Inc.+ 9,095 325,510 Payless Shoesource, Inc.*+ 7,210 195,896 Staples, Inc. 7,290 177,293 Sherwin-Williams Co.+ 3,480 165,230 Group 1 Automotive, Inc.+ 2,691 151,611 Dress Barn, Inc.*+ 5,961 151,111 AnnTaylor Stores Corp.*+ 3,350 145,323 Rent-A-Center, Inc.* 5,105 126,910 Barnes & Noble, Inc.+ 3,399 124,064 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Men's Wearhouse, Inc. 3,980 $ 120,594 Claire's Stores, Inc. 4,630 118,111 Too, Inc.* 3,070 117,857 Sonic Automotive, Inc. 4,640 102,915 Talbots, Inc. 4,177 77,066 Guess ?, Inc.*+ 1,377 57,490 Pantry, Inc.* 950 54,663 Office Depot, Inc.* 1,092 41,496 Syms Corp.* 1,992 36,653 Stein Mart, Inc. 1,617 23,932 Charming Shoppes, Inc.*+ 570 6,407 -------------- TOTAL SPECIALTY RETAIL 2,320,132 -------------- MEDIA 2.5% The Walt Disney Co.+ 10,236 307,080 Omnicom Group, Inc.+ 2,012 179,249 McGraw-Hill Cos., Inc. 3,480 174,800 Lamar Advertising Co. -- Class A*+ 3,080 165,889 Meredith Corp. 3,100 153,574 World Wrestling Entertainment, Inc. 8,280 139,849 Clear Channel Outdoor Holdings, Inc. -- Class A* 6,050 126,808 Sinclair Broadcast Group, Inc. -- Class A 14,364 122,956 Cox Radio Inc. -- Class A*+ 8,401 121,142 John Wiley & Sons, Inc. -- Class A 3,378 112,150 Salem Communications Corp. /DE -- Class A* 6,468 84,149 Time Warner, Inc.+ 4,802 83,075 McClatchy Co. -- Class A+ 2,064 82,808 Morningstar, Inc.* 1,847 76,613 Journal Communications, Inc. -- Class A 4,109 46,185 Comcast Corp. -- Class A*+ 1,057 34,606 -------------- TOTAL MEDIA 2,010,933 -------------- HOUSEHOLD DURABLES 1.7% Whirlpool Corp.+ 2,020 166,953 Snap-On, Inc. 3,780 152,788 Furniture Brands International, Inc.+ 6,890 143,588 Dolby Laboratories, Inc. -- Class A* 6,050 140,965 - -------------------------------------------------------------------------------- 5 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- American Greetings Corp. -- Class A+ 6,490 $ 136,355 Pulte Homes, Inc.+ 4,705 135,457 Ryland Group, Inc.+ 2,565 111,757 Mohawk Industries, Inc.*+ 1,540 108,339 Meritage Homes Corp.*+ 2,278 107,635 Stanley Furniture Co. 4,216 101,057 NVR, Inc.*+ 205 100,706 Black & Decker Corp.+ 80 6,757 -------------- TOTAL HOUSEHOLD DURABLES 1,412,357 -------------- TEXTILES & APPAREL 1.4% Nike, Inc. -- Class B+ 2,204 178,524 Phillips-Van Heusen Corp. 4,100 156,456 Jones Apparel Group, Inc. 4,781 151,988 Polo Ralph Lauren Corp. 2,679 147,077 Kellwood Co.+ 4,675 136,837 Skechers U.S.A., Inc. -- Class A* 5,461 131,665 Steven Madden, Ltd. 4,161 123,249 K-Swiss, Inc. -- Class A 3,959 105,705 -------------- TOTAL TEXTILES & APPAREL 1,131,501 -------------- HOTELS, RESTAURANTS & LEISURE 1.0% McDonald's Corp. 7,071 237,586 Chipotle Mexican Grill, Inc. -- Class A* 2,670 162,736 Dover Motorsports, Inc. 20,984 123,176 Dover Downs Gaming & Entertainment, Inc. 5,566 109,316 GTECH Holdings Corp.+ 2,375 82,603 Bluegreen Corp.*+ 3,202 36,695 Luby's, Inc.* 1,523 15,885 Multimedia Games, Inc.* 1,130 11,447 Krispy Kreme Doughnuts, Inc.*+ 1,287 10,476 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 789,920 -------------- MULTILINE RETAIL 0.7% J.C. Penney Holding Co., Inc.+ 3,520 237,635 Dollar Tree Stores, Inc.*+ 5,970 158,205 Nordstrom, Inc.+ 2,472 90,228 Target Corp.+ 1,386 67,734 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Federated Department Stores, Inc. 270 $ 9,882 -------------- TOTAL MULTILINE RETAIL 563,684 -------------- INTERNET & CATALOG RETAIL 0.4% IAC/InterActiveCorp*+ 5,210 138,013 Systemax, Inc.* 15,891 123,950 Blair Corp. 3,500 104,125 -------------- TOTAL INTERNET & CATALOG RETAIL 366,088 -------------- AUTO COMPONENTS 0.4% ArvinMeritor, Inc.+ 9,670 166,227 Aftermarket Technology Corp.* 5,781 143,658 Modine Manufacturing Co. 557 13,012 -------------- TOTAL AUTO COMPONENTS 322,897 -------------- LEISURE EQUIPMENT & PRODUCTS 0.3% Hasbro, Inc. 6,716 121,627 RC2 Corp.* 3,040 117,526 Jakks Pacific, Inc.* 1,110 22,300 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 261,453 -------------- HEALTH CARE PROVIDERS & SERVICES 0.3% Alderwoods Group, Inc.* 8,020 156,069 Stewart Enterprises, Inc. -- Class A+ 15,296 87,952 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 244,021 -------------- DISTRIBUTORS 0.2% Building Material Holding Corp.+ 4,460 124,300 -------------- TOTAL DISTRIBUTORS 124,300 -------------- COMMERCIAL SERVICES & SUPPLIES 0.2% Career Education Corp.*+ 4,099 122,519 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 122,519 -------------- TOTAL CONSUMER DISCRETIONARY 9,669,805 -------------- - -------------------------------------------------------------------------------- 6 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- HEALTH CARE 11.5% HEALTH CARE PROVIDERS & SERVICES 4.2% WellPoint, Inc.* 3,655 $ 265,974 UnitedHealth Group, Inc. 5,625 251,888 McKesson Corp. 4,561 215,644 Caremark Rx, Inc.+ 4,181 208,506 Cardinal Health, Inc.+ 3,200 205,856 Laboratory Corporation of America Holdings*+ 3,274 203,741 Aetna, Inc. 5,054 201,806 AmerisourceBergen Corp. 4,580 191,994 CIGNA Corp. 1,907 187,859 Magellan Health Services, Inc.* 3,940 178,521 Medco Health Solutions, Inc.*+ 3,104 177,797 Coventry Health Care, Inc.* 3,134 172,182 Express Scripts, Inc.* 2,378 170,598 Henry Schein, Inc.*+ 3,440 160,751 inVentiv Health, Inc.* 5,070 145,915 Sunrise Senior Living, Inc.* 4,560 126,084 PRA International*+ 4,475 99,658 Vital Images, Inc.* 3,795 93,737 Allied Healthcare International, Inc.* 21,100 56,548 HCA, Inc.+ 1,036 44,703 The Trizetto Group, Inc.* 2,902 42,921 American Retirement Corp.* 737 24,151 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 3,426,834 -------------- PHARMACEUTICALS 3.3% Pfizer, Inc. 26,011 610,478 Merck & Co., Inc.+ 10,072 366,923 Johnson & Johnson, Inc. 5,880 352,330 Abbott Laboratories 7,308 318,702 Endo Pharmaceuticals Holdings, Inc.* 4,636 152,895 Alpharma, Inc. -- Class A 5,971 143,543 Medicis Pharmaceutical Corp. -- Class A+ 5,260 126,240 Kos Pharmaceuticals, Inc.* 2,616 98,414 Sciele Pharma, Inc.*+ 4,026 93,363 Andrx Corp.* 3,721 86,290 King Pharmaceuticals, Inc.* 5,050 85,850 Hi-Tech Pharmacal Co., Inc.*+ 4,142 68,633 CNS, Inc. 1,824 44,688 Connetics Corp.*+ 3,570 41,983 Wyeth 880 39,081 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Bentley Pharmaceuticals, Inc.*+ 1,453 $ 15,925 Eli Lilly & Co.+ 60 3,316 -------------- TOTAL PHARMACEUTICALS 2,648,654 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 2.8% Fisher Scientific International, Inc.*+ 2,750 200,887 Dade Behring Holdings, Inc. 4,240 176,554 Thermo Electron Corp.* 4,670 169,241 ICU Medical, Inc.* 3,610 152,486 Bio--Rad Laboratories, Inc. -- Class A*+ 2,274 147,674 DJ Orthopedics, Inc.* 3,920 144,374 Haemonetics Corp./MA* 3,090 143,716 Molecular Devices Corp.* 4,540 138,742 Zoll Medical Corp.* 4,086 133,857 Health Tronics Surgical Services, Inc.*+ 17,290 132,268 Intuitive Surgical, Inc.*+ 1,040 122,689 West Pharmaceutical Services, Inc. 3,040 110,291 Analogic Corp. 1,870 87,161 OraSure Technologies, Inc.*+ 8,995 85,632 Thoratec Corp.*+ 4,908 68,074 TriPath Imaging, Inc.*+ 9,772 64,691 Cantel Medical Corp.* 3,479 49,541 Integra LifeSciences Holdings Corp.* 1,207 46,844 Palomar Medical Technologies, Inc.*+ 877 40,018 Immucor, Inc.*+ 1,475 28,364 Medtronic, Inc.+ 560 26,275 Vital Signs, Inc. 404 20,010 Greatbatch, Inc.* 817 19,281 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,308,670 -------------- BIOTECHNOLOGY 1.2% Amgen, Inc.*+ 5,496 358,504 Applera Corp. - Applied Biosystems Group+ 6,094 197,141 United Therapeutics Corp.*+ 2,878 166,262 Charles River Laboratories International, Inc.*+ 3,480 128,064 Albany Molecular Research, Inc.*+ 9,572 102,229 Pharmion Corp.* 650 11,070 - -------------------------------------------------------------------------------- 7 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Savient Pharmaceuticals, Inc.* 1,553 $ 8,153 -------------- TOTAL BIOTECHNOLOGY 971,423 -------------- TOTAL HEALTH CARE 9,355,581 -------------- ENERGY 8.0% OIL & GAS 5.3% Exxon Mobil Corp. 15,483 949,882 ConocoPhillips 6,601 432,563 Kerr-McGee Corp. 4,210 291,963 Chevron Corp. 4,067 252,398 Occidental Petroleum Corp. 2,450 251,247 EOG Resources, Inc.+ 3,540 245,464 Valero Energy Corp.+ 3,680 244,794 Marathon Oil Corp.+ 2,674 222,744 Frontier Oil Corp.+ 6,640 215,136 Devon Energy Corp. 3,410 205,998 Tesoro Corp.+ 2,360 175,490 Sunoco, Inc. 2,482 171,978 Giant Industries, Inc.* 2,170 144,413 W&T Offshore, Inc.+ 3,240 126,004 Forest Oil Corp.* 2,007 66,552 Noble Energy, Inc.+ 1,417 66,401 Holly Corp.+ 1,280 61,696 Harvest Natural Resources, Inc.* 3,649 49,407 Hess Corp.+ 930 49,150 St. Mary Land & Exploration Co. 1,207 48,582 Penn Virginia Corp. 400 27,952 Western Refining, Inc. 520 11,222 -------------- TOTAL OIL & GAS 4,311,036 -------------- ENERGY EQUIPMENT & SERVICES 2.7% Maverick Tube Corp.*+ 3,180 200,944 Veritas DGC, Inc.*+ 3,500 180,530 Universal Compression Holdings, Inc.*+ 2,710 170,649 Lone Star Technologies, Inc.*+ 2,984 161,196 SEACOR Holdings, Inc.* 1,885 154,759 NS Group, Inc.*+ 2,800 154,224 Grey Wolf, Inc.*+ 19,910 153,307 Pride International, Inc.*+ 4,821 150,560 Patterson-UTI Energy, Inc.+ 5,130 145,230 Lufkin Industries, Inc.+ 2,382 141,562 Tidewater, Inc.+ 2,640 129,888 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Parker Drilling Co.* 17,510 $ 125,722 Helmerich & Payne, Inc. 1,860 112,084 GulfMark Offshore, Inc.* 4,169 107,685 Global Industries, Ltd.* 3,489 58,266 Superior Energy Services, Inc.*+ 1,617 54,816 Rowan Cos., Inc.+ 1,517 53,990 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 2,255,412 -------------- TOTAL ENERGY 6,566,448 -------------- CONSUMER STAPLES 5.4% BEVERAGES 1.4% Coca-Cola Co. 8,858 381,071 Constellation Brands, Inc. -- Class A* 6,820 170,500 Pepsi Bottling Group, Inc.+ 5,260 169,109 PepsiCo, Inc. 2,560 153,703 Brown-Forman Corp. -- Class B 2,124 152,270 PepsiAmericas, Inc.+ 4,330 95,736 Hansen Natural Corp.* 190 36,170 -------------- TOTAL BEVERAGES 1,158,559 -------------- TOBACCO 1.2% Altria Group, Inc. 7,598 557,921 Reynolds American, Inc.+ 1,825 210,423 Loews Corp. - Carolina Group 3,160 162,329 -------------- TOTAL TOBACCO 930,673 -------------- FOOD PRODUCTS 1.0% Corn Products International, Inc. 6,490 198,594 General Mills, Inc.+ 3,561 183,961 Kraft Foods, Inc. -- Class A 5,107 157,806 Del Monte Foods Co. 12,771 143,418 Seaboard Corp. 80 102,400 Archer-Daniels-Midland Co. 1,270 52,426 -------------- TOTAL FOOD PRODUCTS 838,605 -------------- HOUSEHOLD PRODUCTS 0.9% Procter & Gamble Co. 7,172 398,763 Kimberly-Clark Corp.+ 3,060 188,802 - -------------------------------------------------------------------------------- 8 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Energizer Holdings, Inc.*+ 2,430 $ 142,325 -------------- TOTAL HOUSEHOLD PRODUCTS 729,890 -------------- FOOD & DRUG RETAILING 0.8% Kroger Co.+ 11,950 261,227 Costco Wholesale Corp.+ 3,861 220,579 Wal-Mart Stores, Inc. 4,228 203,663 -------------- TOTAL FOOD & DRUG RETAILING 685,469 -------------- PERSONAL PRODUCTS 0.1% Estee Lauder Cos., Inc. -- Class A+ 2,590 100,155 -------------- TOTAL PERSONAL PRODUCTS 100,155 -------------- TOTAL CONSUMER STAPLES 4,443,351 -------------- MATERIALS 3.7% METALS & MINING 1.9% Nucor Corp.+ 4,580 248,465 Alcoa, Inc.+ 6,410 207,428 Steel Dynamics, Inc.+ 2,985 196,234 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 3,360 186,178 Reliance Steel & Aluminum Co. 2,130 176,683 Quanex Corp. 3,958 170,471 Ryerson Tull, Inc.+ 5,110 137,970 Cleveland-Cliffs, Inc. 1,530 121,314 Schnitzer Steel Industries, Inc. -- Class A+ 2,324 82,455 Carpenter Technology Corp.+ 260 30,030 Phelps Dodge Corp.+ 150 12,324 -------------- TOTAL METALS & MINING 1,569,552 -------------- CHEMICALS 1.3% Dow Chemical Co. 5,548 216,539 Monsanto Co.+ 2,260 190,269 FMC Corp. 2,400 154,536 Lyondell Chemical Co.+ 6,801 154,111 Valspar Corp. 5,600 147,896 Pioneer Cos., Inc.* 4,665 127,261 NewMarket Corp. 750 36,795 -------------- TOTAL CHEMICALS 1,027,407 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CONTAINERS & PACKAGING 0.2% Greif, Inc. -- Class A 2,324 $ 174,207 -------------- TOTAL CONTAINERS & PACKAGING 174,207 -------------- PAPER & FOREST PRODUCTS 0.2% Louisiana-Pacific Corp. 5,638 123,472 -------------- TOTAL PAPER & FOREST PRODUCTS 123,472 -------------- CONSTRUCTION MATERIALS 0.1% Eagle Materials, Inc.+ 1,941 92,197 -------------- TOTAL CONSTRUCTION MATERIALS 92,197 -------------- TOTAL MATERIALS 2,986,835 -------------- UTILITIES 3.4% ELECTRIC UTILITIES 1.6% Edison International 5,726 223,314 FirstEnergy Corp. 3,560 192,988 FPL Group, Inc.+ 4,520 187,038 Entergy Corp.+ 2,554 180,695 Pepco Holdings, Inc.+ 6,952 163,928 Cleco Corp.+ 7,026 163,355 Duquesne Light Holdings, Inc. 9,069 149,094 TXU Corp. 600 35,874 -------------- TOTAL ELECTRIC UTILITIES 1,296,286 -------------- MULTI-UTILITIES 1.4% Duke Energy Corp.+ 7,192 211,229 DTE Energy Co.+ 4,590 186,997 Wisconsin Energy Corp. 4,289 172,847 MDU Resources Group, Inc. 4,561 166,978 NSTAR 5,358 153,239 CenterPoint Energy, Inc.+ 11,369 142,112 NorthWestern Corp. 2,442 83,883 -------------- TOTAL MULTI-UTILITIES 1,117,285 -------------- GAS UTILITIES 0.4% Oneok, Inc.+ 5,003 170,302 Energen Corp. 4,380 168,236 - -------------------------------------------------------------------------------- 9 MULTI-CAP CORE EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Southern Union, Co. 1 $ 13 -------------- TOTAL GAS UTILITIES 338,551 -------------- TOTAL UTILITIES 2,752,122 -------------- TELECOMMUNICATION SERVICES 2.2% DIVERSIFIED TELECOMMUNICATION SERVICES 1.1% AT&T, Inc.+ 6,005 167,480 Citizens Communications Co.+ 12,235 159,667 Fairpoint Communications, Inc.+ 9,960 143,424 Verizon Communications, Inc.+ 3,890 130,276 Golden Telecom, Inc.+ 4,571 115,875 Arbinet-thexchange, Inc.* 10,599 59,460 SureWest Communications 2,038 39,374 BellSouth Corp. 1,010 36,562 Embarq Corp.*+ 534 21,889 Hungarian Telephone & Cable Corp.* 922 13,839 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 887,846 -------------- WIRELESS TELECOMMUNICATION SERVICES 1.1% Sprint Nextel Corp.+ 10,601 211,914 Alltel Corp.+ 3,110 198,511 Telephone & Data Systems, Inc. 4,171 172,679 Ubiquitel, Inc.* 14,791 152,939 U.S. Cellular Corp.* 2,095 126,957 Wireless Facilities, Inc.*+ 8,965 24,654 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 887,654 -------------- TOTAL TELECOMMUNICATION SERVICES 1,775,500 -------------- TOTAL COMMON STOCKS (Cost $68,019,239) 76,833,343 -------------- FACE AMOUNT ----------------- REPURCHASE AGREEMENTS 2.5% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 259,997 259,997 FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- Lehman Brothers, Inc. at $ 249 $ 249 4.45% due 07/03/06 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 830,244 830,244 Morgan Stanley at 4.40% due 07/03/06 470,471 470,471 Citigroup, Inc. at 4.10% due 07/03/06 484,309 484,309 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,045,270) 2,045,270 -------------- SECURITIES LENDING COLLATERAL 20.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 16,532,670 16,532,670 TOTAL SECURITIES LENDING COLLATERAL (Cost $16,532,670) 16,532,670 -------------- TOTAL INVESTMENTS 117.0% (Cost $86,597,179) 95,411,283 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (17.0)% (13,846,550) -------------- NET ASSETS - 100.0% 81,564,733 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN (LOSS) - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,279,750) 20 30,258 September 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $3,384,040) 44 (4,976) (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $4,663,790) 25,282 -------------- * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 10 SECTOR ROTATION FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 98.0% INDUSTRIALS 35.2% ROAD & RAIL 9.9% Burlington Northern Santa Fe Corp. 60,567 $ 4,799,935 Union Pacific Corp. 49,337 4,586,368 Norfolk Southern Corp. 80,180 4,267,180 Canadian National Railway Co. 95,587 4,181,931 CSX Corp.+ 57,328 4,038,184 Ryder System, Inc.+ 45,100 2,635,193 Canadian Pacific Railway Ltd.+ 50,537 2,584,462 J.B. Hunt Transport Services, Inc.+ 72,250 1,799,747 Con-way, Inc. 28,600 1,656,798 Swift Transportation Co., Inc.*+ 49,700 1,578,472 Landstar System, Inc. 31,100 1,468,853 Amerco, Inc.*+ 14,439 1,453,430 Kansas City Southern*+ 51,900 1,437,630 Laidlaw International, Inc. 54,337 1,369,292 YRC Worldwide, Inc.*+ 30,900 1,301,199 Knight Transportation, Inc. 58,900 1,189,780 -------------- TOTAL ROAD & RAIL 40,348,454 -------------- ELECTRICAL EQUIPMENT 8.6% ABB Ltd. -- SP ADR+ 472,161 6,119,207 Emerson Electric Co. 70,770 5,931,234 Rockwell Automation, Inc.+ 52,937 3,811,993 Cooper Industries Ltd. -- Class A 34,900 3,242,908 American Power Conversion Corp.+ 112,700 2,196,523 Roper Industries, Inc.+ 46,183 2,159,055 AMETEK, Inc.+ 41,900 1,985,222 Thomas & Betts Corp.* 36,900 1,892,970 Hubbell, Inc. -- Class B 38,800 1,848,820 Acuity Brands, Inc. 34,601 1,346,325 General Cable Corp.* 36,900 1,291,500 A.O. Smith Corp.+ 26,800 1,242,448 Regal-Beloit Corp.+ 27,900 1,231,785 Energy Conversion Devices, Inc.* 30,900 1,125,687 -------------- TOTAL ELECTRICAL EQUIPMENT 35,425,677 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS 8.2% W.W. Grainger, Inc. 75,499 $ 5,679,790 Fastenal Co.+ 119,829 4,827,910 MSC Industrial Direct Co. -- Class A 81,366 3,870,580 WESCO International, Inc.*+ 56,801 3,792,035 GATX Corp.+ 79,692 3,386,910 United Rentals, Inc.*+ 102,944 3,292,149 Watsco, Inc. 44,567 2,665,998 UAP Holding Corp. 104,307 2,274,936 Applied Industrial Technologies, Inc. 85,648 2,082,103 Beacon Roofing Supply, Inc.*+ 82,885 1,824,299 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 33,696,710 -------------- CONSTRUCTION & ENGINEERING 7.6% Fluor Corp.+ 66,228 6,154,568 Jacobs Engineering Group, Inc.* 51,523 4,103,292 Foster Wheeler, Ltd.* 65,988 2,850,682 Quanta Services, Inc.*+ 163,662 2,836,262 Shaw Group, Inc.*+ 101,619 2,825,008 URS Corp.*+ 62,757 2,635,794 Granite Construction, Inc.+ 55,865 2,529,009 Chicago Bridge & Iron NV Co.+ 94,088 2,272,225 Washington Group International, Inc.*+ 39,720 2,118,665 Insituform Technologies, Inc. -- Class A*+ 61,361 1,404,553 EMCOR Group, Inc.* 28,607 1,392,303 -------------- TOTAL CONSTRUCTION & ENGINEERING 31,122,361 -------------- INDUSTRIAL CONGLOMERATES 0.9% McDermott International, Inc.* 82,098 3,732,996 -------------- TOTAL INDUSTRIAL CONGLOMERATES 3,732,996 -------------- TOTAL INDUSTRIALS 144,326,198 -------------- CONSUMER DISCRETIONARY 14.1% AUTO COMPONENTS 7.6% Johnson Controls, Inc.+ 62,500 5,138,750 Magna International, Inc. -- Class A+ 52,100 3,749,637 - -------------------------------------------------------------------------------- 1 SECTOR ROTATION FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Autoliv, Inc. 52,100 $ 2,947,297 BorgWarner, Inc.+ 41,476 2,700,088 Gentex Corp.+ 142,300 1,992,200 Goodyear Tire & Rubber Co.*+ 168,000 1,864,800 TRW Automotive Holdings Corp.* 66,580 1,816,302 Lear Corp.+ 75,900 1,685,739 Tenneco Automotive, Inc.* 58,300 1,515,800 ArvinMeritor, Inc.+ 87,000 1,495,530 Visteon Corp.* 184,800 1,332,408 LKQ Corp.* 69,200 1,314,800 American Axle & Manufacturing Holdings, Inc.+ 76,400 1,307,204 Delphi Corp.* 750,800 1,276,360 Ballard Power Systems, Inc.*+ 174,800 1,022,580 -------------- TOTAL AUTO COMPONENTS 31,159,495 -------------- MEDIA 6.5% Time Warner, Inc.+ 168,800 2,920,240 Comcast Corp. -- Class A* 83,800 2,743,612 The Walt Disney Co. 89,600 2,688,000 News Corp. -- Class A 139,100 2,667,938 Vivendi SA -- SP ADR+ 60,400 2,108,564 Viacom, Inc. - Class B*+ 46,900 1,680,896 DIRECTV Group, Inc.*+ 93,900 1,549,350 CBS Corporation+ 56,800 1,536,440 McGraw-Hill Cos., Inc. 27,800 1,396,394 Clear Channel Communications, Inc.+ 43,900 1,358,705 WPP Group PLC -- SP ADR 22,300 1,344,467 Omnicom Group, Inc.+ 14,600 1,300,714 EchoStar Communications Corp.*+ 39,700 1,223,157 Gannett Co., Inc. 21,700 1,213,681 Liberty Media Holding Corp. - Capital* 13,900 1,164,403 -------------- TOTAL MEDIA 26,896,561 -------------- TOTAL CONSUMER DISCRETIONARY 58,056,056 -------------- UTILITIES 13.5% GAS UTILITIES 6.8% Questar Corp.+ 41,100 3,308,139 Equitable Resources, Inc. 69,900 2,341,650 Oneok, Inc. 68,100 2,318,124 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Southern Union, Co.+ 75,598 $ 2,045,682 National Fuel Gas Co.+ 57,600 2,024,064 AGL Resources, Inc. 52,800 2,012,736 Energen Corp. 52,400 2,012,684 Atmos Energy Corp. 62,800 1,752,748 UGI Corp. 68,036 1,675,046 Nicor, Inc.+ 37,500 1,556,250 Piedmont Natural Gas Co.+ 56,942 1,383,691 WGL Holdings, Inc. 47,200 1,366,440 New Jersey Resources Corp. 28,300 1,323,874 Peoples Energy Corp.+ 36,800 1,321,488 Southwest Gas Corp. 39,742 1,245,514 -------------- TOTAL GAS UTILITIES 27,688,130 -------------- MULTI-UTILITIES 4.7% AES Corp.* 244,200 4,505,490 Constellation Energy Group, Inc. 74,300 4,050,836 Mirant Corp.* 144,100 3,861,880 NRG Energy, Inc.*+ 71,600 3,449,688 Dynegy, Inc. -- Class A* 366,900 2,006,943 Ormat Technologies, Inc.+ 41,400 1,579,410 -------------- TOTAL MULTI-UTILITIES 19,454,247 -------------- ELECTRIC UTILITIES 2.0% TXU Corp. 116,000 6,935,640 Black Hills Corp. 39,300 1,349,169 -------------- TOTAL ELECTRIC UTILITIES 8,284,809 -------------- TOTAL UTILITIES 55,427,186 -------------- ENERGY 8.9% ENERGY EQUIPMENT & SERVICES 8.9% Halliburton Co. 60,550 4,493,415 Baker Hughes, Inc.+ 50,385 4,124,012 Transocean, Inc.*+ 49,250 3,955,760 Schlumberger Ltd.+ 55,270 3,598,630 GlobalSantaFe Corp.+ 46,968 2,712,402 Diamond Offshore Drilling, Inc.+ 31,323 2,628,939 BJ Services Co.+ 67,135 2,501,450 Smith International, Inc.+ 51,220 2,277,753 Noble Corp.+ 29,063 2,162,868 ENSCO International, Inc. 40,150 1,847,703 Precision Drilling Trust+ 45,900 1,523,880 Weatherford International Ltd.*+ 30,388 1,507,853 - -------------------------------------------------------------------------------- 2 SECTOR ROTATION FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Patterson-UTI Energy, Inc.+ 48,434 $ 1,371,167 Nabors Industries Ltd.*+ 32,400 1,094,796 Tenaris SA -- SP ADR+ 21,650 876,609 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 36,677,237 -------------- TOTAL ENERGY 36,677,237 -------------- MATERIALS 8.9% METALS & MINING 8.9% BHP Billiton Ltd. -- SP ADR+ 130,254 5,610,040 Rio Tinto PLC -- SP ADR+ 19,978 4,189,586 Companhia Vale do Rio Doce -- SP ADR 140,394 3,375,072 Falconbridge Ltd. 46,739 2,470,156 Alcoa, Inc.+ 75,897 2,456,027 POSCO -- SP ADR+ 35,980 2,407,062 Nucor Corp.+ 40,828 2,214,919 Newmont Mining Corp.+ 40,969 2,168,489 Mittal Steel NV Co. -- Class A+ 65,047 1,984,584 Anglo American PLC -- ADR 93,036 1,901,656 Alcan, Inc. 40,001 1,877,647 Barrick Gold Corp.+ 61,308 1,814,717 AngloGold Ashanti Ltd. -- SP ADR 32,654 1,571,310 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 24,640 1,365,302 Phelps Dodge Corp.+ 11,331 930,955 -------------- TOTAL METALS & MINING 36,337,522 -------------- TOTAL MATERIALS 36,337,522 -------------- FINANCIALS 8.6% REAL ESTATE 8.6% Brookfield Asset Management, Inc. -- Class A 213,199 8,660,144 Brookfield Properties Corp. 194,645 6,261,730 Forest City Enterprises, Inc. -- Class A+ 104,175 5,199,374 CB Richard Ellis Group, Inc. -- Class A* 201,889 5,027,036 The St. Joe Co.+ 86,200 4,011,748 Jones Lang LaSalle, Inc. 41,297 3,615,552 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Trammell Crow Co.* 68,531 $ 2,410,235 -------------- TOTAL REAL ESTATE 35,185,819 -------------- TOTAL FINANCIALS 35,185,819 -------------- CONSUMER STAPLES 8.2% PERSONAL PRODUCTS 8.2% Avon Products, Inc. 333,260 10,331,060 Estee Lauder Cos., Inc. -- Class A+ 187,790 7,261,839 Alberto-Culver Co. -- Class B 120,091 5,850,834 Herbalife Ltd.* 110,600 4,412,940 NBTY, Inc.* 128,789 3,079,345 Nu Skin Enterprises, Inc. 172,740 2,565,189 -------------- TOTAL PERSONAL PRODUCTS 33,501,207 -------------- TOTAL CONSUMER STAPLES 33,501,207 -------------- INFORMATION TECHNOLOGY 0.6% COMMUNICATIONS EQUIPMENT 0.6% Dycom Industries, Inc.*+ 113,586 2,418,246 -------------- TOTAL COMMUNICATIONS EQUIPMENT 2,418,246 -------------- TOTAL INFORMATION TECHNOLOGY 2,418,246 -------------- TOTAL COMMON STOCKS (Cost $367,836,661) 401,929,471 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 3.6% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 1,857,471 1,857,471 Lehman Brothers, Inc. at 4.45% due 07/03/06 1,777 1,777 - -------------------------------------------------------------------------------- 3 SECTOR ROTATION FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- Bear Stearns Cos., Inc. at 4.40% due $ 5,931,427 $ 5,931,427 07/03/06 Morgan Stanley at 4.40% due 07/03/06 3,361,143 3,361,143 Citigroup, Inc. at 4.10% due 07/03/06 3,459,999 3,459,999 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $14,611,817) 14,611,817 -------------- SECURITIES LENDING COLLATERAL 23.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 96,662,502 96,662,502 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $96,662,502) 96,662,502 -------------- TOTAL INVESTMENTS 125.2% (Cost $479,110,980) $ 513,203,790 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (25.2)% $ (103,318,148) -------------- NET ASSETS - 100.0% $ 409,885,642 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 4 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 47.1% FINANCIALS 10.2% INSURANCE 3.0% MetLife, Inc. 11,400 $ 583,794 Ceres Group, Inc.* 77,307 480,850 Hartford Financial Services Group, Inc. 5,610 474,606 Chubb Corp. 8,660 432,134 Genworth Financial, Inc. -- Class A 10,690 372,440 UnumProvident Corp. 16,860 305,672 SAFECO Corp. 4,690 264,281 Fidelity National Financial, Inc. 6,490 252,785 First American Corp. 4,600 194,442 American Financial Group, Inc./OH 4,010 172,029 Old Republic International Corp. 7,189 153,629 AmerUs Group Co. 2,420 141,691 Ohio Casualty Corp. 4,190 124,569 Horace Mann Educators Corp. 4,710 79,834 Aon Corp. 1,980 68,944 -------------- TOTAL INSURANCE 4,101,700 -------------- BANKS 2.0% Interchange Financial Services Corp. 20,860 469,350 Texas Regional Bancshares, Inc. -- Class A 12,320 467,174 AmSouth Bancorp 17,469 462,055 First Oak Brook Bancshares, Inc. 11,510 425,870 State National Bancshares, Inc. 11,140 424,545 North Fork Bancorporation, Inc. 12,919 389,766 FirstMerit Corp. 2,270 47,534 SVB Financial Group* 960 43,642 -------------- TOTAL BANKS 2,729,936 -------------- REAL ESTATE 1.8% Shurgard Storage Centers, Inc. -- Class A 7,820 488,750 CarrAmerica Realty Corp. 10,500 467,775 Trizec Properties, Inc. 16,310 467,118 Longview Fibre Co. 18,999 362,691 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Brookfield Asset Management, Inc. -- Class A 2,759 $ 112,071 Brookfield Properties Corp. 2,519 81,036 Liberty Property Trust 1,770 78,234 Forest City Enterprises, Inc. -- Class A 1,349 67,329 CB Richard Ellis Group, Inc. -- Class A* 2,609 64,964 St. Joe Co. 1,110 51,659 AMB Property Corp. 970 49,033 Jones Lang LaSalle, Inc. 530 46,402 Trammell Crow Co.* 880 30,950 -------------- TOTAL REAL ESTATE 2,368,012 -------------- THRIFTS & MORTGAGE FINANCE 1.7% Washington Mutual, Inc. 13,689 623,945 Golden West Financial Corp. 6,450 478,590 Sound Federal Bancorp, Inc. 22,550 468,814 Commercial Capital Bancorp, Inc. 29,620 466,515 Radian Group, Inc. 3,390 209,434 IndyMac Bancorp, Inc. 1,460 66,941 Sovereign Bancorp, Inc. 2,080 42,245 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 2,356,484 -------------- DIVERSIFIED FINANCIALS 0.8% J.P. Morgan Chase & Co. 10,780 452,760 CIT Group, Inc. 7,840 409,954 Leucadia National Corp. 5,090 148,577 -------------- TOTAL DIVERSIFIED FINANCIALS 1,011,291 -------------- CAPITAL MARKETS 0.5% Lehman Brothers Holdings, Inc. 4,920 320,538 State Street Corp. 1,660 96,430 A.G. Edwards, Inc. 1,420 78,554 E*Trade Financial Corp.* 2,900 66,178 Raymond James Financial, Inc. 1,390 42,075 Jefferies Group, Inc. 1,310 38,815 LaBranche & Co., Inc.* 1,350 16,349 -------------- TOTAL CAPITAL MARKETS 658,939 -------------- - -------------------------------------------------------------------------------- 1 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CONSUMER FINANCE 0.4% ACE Cash Express, Inc.* 15,900 $ 465,393 AmeriCredit Corp.* 2,460 68,683 -------------- TOTAL CONSUMER FINANCE 534,076 -------------- TOTAL FINANCIALS 13,760,438 -------------- INFORMATION TECHNOLOGY 7.8% ELECTRONIC EQUIPMENT & INSTRUMENTS 1.7% Fargo Electronics, Inc.* 18,599 472,229 Applied Films Corp.* 16,430 468,091 Excel Technology, Inc.* 15,630 467,649 Lipman Electronic Engineering Ltd.* 15,410 437,336 Avnet, Inc.* 7,850 157,157 Arrow Electronics, Inc.* 4,060 130,732 Tech Data Corp.* 2,720 104,203 Sanmina-SCI Corp.* 13,840 63,664 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,301,061 -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.6% Intel Corp. 29,958 567,704 ADE Corp.* 14,430 468,831 Micron Technology, Inc.* 29,197 439,707 Nvidia Corp.* 6,500 138,385 LSI Logic Corp.* 12,150 108,742 KLA-Tencor Corp. 2,439 101,389 Lam Research Corp.* 1,880 87,645 International Rectifier Corp.* 2,170 84,804 Advanced Micro Devices, Inc.* 3,140 76,679 Intersil Corp. -- Class A 1,780 41,385 Semtech Corp.* 2,380 34,391 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,149,662 -------------- COMMUNICATIONS EQUIPMENT 1.5% Lucent Technologies, Inc.* 193,432 468,105 Andrew Corp.* 50,557 447,935 Inter-Tel, Inc. 19,450 409,617 Corning, Inc.* 15,000 362,850 Motorola, Inc. 11,660 234,949 Tellabs, Inc.* 4,410 58,697 JDS Uniphase Corp.* 19,600 49,588 Dycom Industries, Inc.* 1,470 31,296 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Powerwave Technologies, Inc.* 2,730 $ 24,898 -------------- TOTAL COMMUNICATIONS EQUIPMENT 2,087,935 -------------- SOFTWARE 1.2% Manugistics Group, Inc.* 188,739 471,848 SSA Global Technologies, Inc.* 24,159 468,201 NETIQ Corp.* 38,270 466,511 Novell, Inc.* 23,640 156,733 Activision, Inc.* 5,490 62,476 Parametric Technology Corp.* 2,090 26,564 -------------- TOTAL SOFTWARE 1,652,333 -------------- IT CONSULTING & SERVICES 1.2% Acxiom Corp. 20,249 506,225 TNS, Inc.* 23,449 485,160 Computer Sciences Corp.* 3,770 182,619 Sabre Holdings Corp. 5,430 119,460 Convergys Corp.* 6,070 118,365 BISYS Group, Inc.* 6,450 88,365 CheckFree Corp.* 1,500 74,340 -------------- TOTAL IT CONSULTING & SERVICES 1,574,534 -------------- COMPUTERS & PERIPHERALS 0.3% Apple Computer, Inc.* 4,080 233,050 Imation Corp. 2,050 84,152 SanDisk Corp.* 1,360 69,333 Western Digital Corp.* 2,590 51,308 -------------- TOTAL COMPUTERS & PERIPHERALS 437,843 -------------- OFFICE ELECTRONICS 0.2% Xerox Corp.* 17,549 244,107 -------------- TOTAL OFFICE ELECTRONICS 244,107 -------------- INTERNET SOFTWARE & SERVICES 0.1% Yahoo!, Inc.* 4,630 152,790 -------------- TOTAL INTERNET SOFTWARE & SERVICES 152,790 -------------- TOTAL INFORMATION TECHNOLOGY 10,600,265 -------------- - -------------------------------------------------------------------------------- 2 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CONSUMER DISCRETIONARY 5.7% HOTELS, RESTAURANTS & LEISURE 1.9% Riviera Holdings Corp.* 24,879 $ 514,995 GTECH Holdings Corp. 14,430 501,876 Kerzner International Ltd.* 5,880 466,166 Aztar Corp.* 8,950 465,042 Navigant International, Inc.* 28,720 460,382 Krispy Kreme Doughnuts, Inc.* 9,420 76,679 Wendy's International, Inc. 710 41,386 Darden Restaurants, Inc. 1,010 39,794 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 2,566,320 -------------- MEDIA 0.6% Gannett Co., Inc. 5,370 300,344 McClatchy Co. -- Class A 3,848 154,382 Scholastic Corp.* 3,060 79,468 Westwood One, Inc. 5,790 43,425 Comcast Corp. -- Class A* 940 30,776 Walt Disney Co. 1,010 30,300 News Corp. -- Class A 1,569 30,093 Vivendi SA -- SP ADR 680 23,739 Viacom, Inc. - Class B* 530 18,995 DIRECTV Group, Inc.* 1,060 17,490 CBS Corp. 640 17,312 Clear Channel Communications, Inc. 490 15,165 WPP Group PLC -- SP ADR 250 15,073 Omnicom Group, Inc. 160 14,254 EchoStar Communications Corp.* 450 13,865 Liberty Media Holding Corp. - Capital* 160 13,403 -------------- TOTAL MEDIA 818,084 -------------- HOUSEHOLD DURABLES 0.6% Lennar Corp. -- Class A 5,620 249,359 Mohawk Industries, Inc.* 2,260 158,991 American Greetings Corp. -- Class A 4,190 88,032 D.R. Horton, Inc. 2,830 67,411 Blyth, Inc. 2,660 49,104 Whirlpool Corp. 440 36,366 Ryland Group, Inc. 790 34,420 Pulte Homes, Inc. 1,130 32,533 Toll Brothers, Inc.* 1,000 25,570 MARKET SHARES VALUE - ------------------------------------------------------------------------------- KB HOME 500 $ 22,925 -------------- TOTAL HOUSEHOLD DURABLES 764,711 -------------- TEXTILES & APPAREL 0.5% Russell Corp. 25,800 468,528 VF Corp. 3,120 211,910 Polo Ralph Lauren Corp. 680 37,332 -------------- TOTAL TEXTILES & APPAREL 717,770 -------------- MULTILINE RETAIL 0.5% Federated Department Stores, Inc. 9,260 338,916 Dillard's, Inc. -- Class A 4,380 139,503 J.C. Penney Holding Co., Inc. 1,840 124,218 Nordstrom, Inc. 1,160 42,340 -------------- TOTAL MULTILINE RETAIL 644,977 -------------- SPECIALTY RETAIL 0.4% AutoNation, Inc.* 8,280 177,523 Circuit City Stores, Inc. 3,490 94,998 American Eagle Outfitters, Inc. 2,050 69,782 Aeropostale, Inc.* 1,320 38,135 Pier 1 Imports, Inc. 5,080 35,458 AnnTaylor Stores Corp.* 740 32,101 Payless Shoesource, Inc.* 930 25,268 Claire's Stores, Inc. 850 21,684 -------------- TOTAL SPECIALTY RETAIL 494,949 -------------- HEALTH CARE PROVIDERS & SERVICES 0.4% Alderwoods Group, Inc.* 24,070 468,402 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 468,402 -------------- INTERNET & CATALOG RETAIL 0.3% Sportsman's Guide, Inc.* 15,230 464,515 -------------- TOTAL INTERNET & CATALOG RETAIL 464,515 -------------- AUTO COMPONENTS 0.3% Modine Manufacturing Co. 3,740 87,366 Dana Corp. 27,179 71,753 Goodyear Tire & Rubber Co.* 5,539 61,483 - -------------------------------------------------------------------------------- 3 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Magna International, Inc. -- Class 650 $ 46,780 A Autoliv, Inc. 650 36,771 BorgWarner, Inc. 520 33,852 Tenneco Automotive, Inc.* 730 18,980 TRW Automotive Holdings Corp.* 690 18,823 Visteon Corp.* 2,299 16,576 LKQ Corp.* 860 16,340 American Axle & Manufacturing Holdings, Inc. 950 16,255 Delphi Corp.* 9,346 15,888 Ballard Power Systems, Inc.* 2,179 12,747 Gentex Corp. 130 1,820 -------------- TOTAL AUTO COMPONENTS 455,434 -------------- AUTOMOBILES 0.1% Ford Motor Co. 25,068 173,721 -------------- TOTAL AUTOMOBILES 173,721 -------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Brunswick Corp. 3,830 127,347 Callaway Golf Co. 3,250 42,218 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 169,565 -------------- TOTAL CONSUMER DISCRETIONARY 7,738,448 -------------- INDUSTRIALS 5.4% COMMERCIAL SERVICES & SUPPLIES 1.6% ARAMARK Corp. -- Class B 14,270 472,480 NCO Group, Inc.* 17,810 470,896 West Corp.* 9,800 469,518 Sourcecorp, Inc.* 18,870 467,787 Cendant Corp. 9,609 156,531 Robert Half International, Inc. 2,600 109,200 Korn/Ferry International, Inc.* 1,790 35,066 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 2,181,478 -------------- ROAD & RAIL 0.9% Ryder System, Inc. 3,810 222,618 Burlington Northern Santa Fe Corp. 2,430 192,578 YRC Worldwide, Inc.* 4,020 169,282 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Swift Transportation Co., Inc.* 5,320 $ 168,963 Werner Enterprises, Inc. 5,790 117,363 Union Pacific Corp. 640 59,495 Norfolk Southern Corp. 1,040 55,349 Canadian National Railway Co. 1,240 54,250 CSX Corp. 740 52,126 Canadian Pacific Railway Ltd. 650 33,241 Con-way, Inc. 370 21,434 Amerco, Inc.* 190 19,125 Landstar System, Inc. 400 18,892 Kansas City Southern* 670 18,559 Laidlaw International, Inc. 700 17,640 Knight Transportation, Inc. 760 15,352 -------------- TOTAL ROAD & RAIL 1,236,267 -------------- AEROSPACE & DEFENSE 0.9% Aviall, Inc.* 9,860 468,547 Northrop Grumman Corp. 6,290 402,937 Boeing Co. 3,610 295,695 Precision Castparts Corp. 980 58,565 -------------- TOTAL AEROSPACE & DEFENSE 1,225,744 -------------- INDUSTRIAL CONGLOMERATES 0.5% Tyco International Ltd. 20,499 563,722 McDermott International, Inc.* 1,250 56,838 Teleflex, Inc. 940 50,779 Sequa Corp. -- Class A* 420 34,230 -------------- TOTAL INDUSTRIAL CONGLOMERATES 705,569 -------------- CONSTRUCTION & ENGINEERING 0.4% Fluor Corp. 1,640 152,405 Granite Construction, Inc. 2,590 117,249 Jacobs Engineering Group, Inc.* 670 53,359 Foster Wheeler, Ltd.* 850 36,720 Shaw Group, Inc.* 1,310 36,418 URS Corp.* 810 34,020 Chicago Bridge & Iron NV Co. 1,220 29,463 Washington Group International, Inc. 520 27,737 Insituform Technologies, Inc. -- Class A* 800 18,312 - -------------------------------------------------------------------------------- 4 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- EMCOR Group, Inc.* 370 $ 18,008 -------------- TOTAL CONSTRUCTION & ENGINEERING 523,691 -------------- MACHINERY 0.3% Eaton Corp. 3,850 290,290 Timken Co. 2,130 71,376 Flowserve Corp.* 820 46,658 Trinity Industries, Inc. 1,050 42,420 -------------- TOTAL MACHINERY 450,744 -------------- ELECTRICAL EQUIPMENT 0.3% ABB Ltd. -- SP ADR 6,110 79,186 Emerson Electric Co. 920 77,105 Rockwell Automation, Inc. 680 48,967 Cooper Industries Ltd. -- Class A 450 41,814 Roper Industries, Inc. 600 28,050 AMETEK, Inc. 540 25,585 Thomas & Betts Corp.* 480 24,624 Hubbell, Inc. -- Class B 500 23,825 Acuity Brands, Inc. 450 17,509 General Cable Corp.* 480 16,800 A.O. Smith Corp. 350 16,226 Regal-Beloit Corp. 360 15,894 Energy Conversion Devices, Inc.* 400 14,572 -------------- TOTAL ELECTRICAL EQUIPMENT 430,157 -------------- AIRLINES 0.2% Southwest Airlines Co. 8,640 141,437 Alaska Air Group, Inc.* 2,800 110,376 -------------- TOTAL AIRLINES 251,813 -------------- TRADING COMPANIES & DISTRIBUTORS 0.2% W.W. Grainger, Inc. 980 73,725 WESCO International, Inc.* 740 49,402 Watsco, Inc. 580 34,696 UAP Holding Corp. 1,350 29,444 Applied Industrial Technologies, Inc. 1,110 26,984 Beacon Roofing Supply, Inc.* 1,070 23,551 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 237,802 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- BUILDING PRODUCTS 0.1% Masco Corp. 4,439 $ 131,572 -------------- TOTAL BUILDING PRODUCTS 131,572 -------------- TOTAL INDUSTRIALS 7,374,837 -------------- HEALTH CARE 4.9% HEALTH CARE PROVIDERS & SERVICES 2.3% WellPoint, Inc.* 8,569 623,566 American Retirement Corp.* 14,270 467,628 HCA, Inc. 9,920 428,048 Coventry Health Care, Inc.* 6,140 337,332 Community Health Systems, Inc.* 7,900 290,325 Health Management Associates, Inc. -- Class A 9,439 186,043 Triad Hospitals, Inc.* 4,700 186,026 Express Scripts, Inc.* 2,310 165,719 Health Net, Inc.* 2,920 131,896 LifePoint Hospitals, Inc.* 3,870 124,343 Humana, Inc.* 1,550 83,235 Apria Healthcare Group, Inc.* 3,950 74,655 Omnicare, Inc. 1,230 58,327 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 3,157,143 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.4% Fisher Scientific International, Inc.* 10,910 796,975 Diagnostic Products Corp. 8,060 468,850 Intermagnetics General Corp.* 15,410 415,762 Intuitive Surgical, Inc.* 1,580 186,393 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,867,980 -------------- PHARMACEUTICALS 0.7% Andrx Corp.* 20,200 468,438 King Pharmaceuticals, Inc.* 9,340 158,780 Watson Pharmaceuticals, Inc.* 6,490 151,087 Barr Pharmaceuticals, Inc.* 2,320 110,641 - -------------------------------------------------------------------------------- 5 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Valeant Pharmaceuticals 3,790 $ 64,127 International -------------- TOTAL PHARMACEUTICALS 953,073 -------------- BIOTECHNOLOGY 0.5% Serologicals Corp.* 14,880 467,827 Biogen Idec, Inc.* 4,820 223,311 -------------- TOTAL BIOTECHNOLOGY 691,138 -------------- TOTAL HEALTH CARE 6,669,334 -------------- ENERGY 4.2% OIL & GAS 3.1% Chevron Corp. 12,270 761,476 KCS Energy, Inc.* 17,489 519,423 Remington Oil & Gas Corp.* 11,510 506,095 TransMontaigne, Inc.* 41,370 463,758 Stone Energy Corp.* 9,940 462,707 ConocoPhillips 5,569 364,937 Devon Energy Corp. 5,390 325,610 Apache Corp. 4,320 294,840 Peabody Energy Corp. 3,790 211,292 Kinder Morgan, Inc. 1,580 157,826 Pogo Producing Co. 2,100 96,810 Overseas Shipholding Group, Inc. 1,180 69,797 -------------- TOTAL OIL & GAS 4,234,571 -------------- ENERGY EQUIPMENT & SERVICES 1.1% Maverick Tube Corp.* 6,610 417,686 Transocean, Inc.* 3,900 313,248 Patterson-UTI Energy, Inc. 4,470 126,546 Pride International, Inc.* 3,510 109,617 Rowan Cos., Inc. 2,600 92,534 Baker Hughes, Inc. 680 55,658 Helmerich & Payne, Inc. 820 49,413 GlobalSantaFe Corp. 630 36,382 Diamond Offshore Drilling, Inc. 420 35,251 BJ Services Co. 900 33,534 Smith International, Inc. 690 30,684 Noble Corp. 390 29,024 ENSCO International, Inc. 540 24,851 Precision Drilling Trust 620 20,584 Nabors Industries Ltd.* 440 14,868 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Tenaris SA -- SP ADR 290 $ 11,742 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,401,622 -------------- TOTAL ENERGY 5,636,193 -------------- CONSUMER STAPLES 2.8% FOOD PRODUCTS 1.2% General Mills, Inc. 8,660 447,376 Archer-Daniels-Midland Co. 10,730 442,935 ConAgra Foods, Inc. 15,639 345,778 Tyson Foods, Inc. -- Class A 12,269 182,317 Hormel Foods Corp. 2,170 80,594 Tootsie Roll Industries, Inc. 2,200 64,086 WM Wrigley Jr Co. 401 18,189 -------------- TOTAL FOOD PRODUCTS 1,581,275 -------------- FOOD & DRUG RETAILING 0.7% Kroger Co. 19,599 428,434 Supervalu, Inc. 6,990 214,593 Safeway, Inc. 4,610 119,860 CVS Corp. 3,650 112,055 BJ's Wholesale Club, Inc.* 2,400 68,040 -------------- TOTAL FOOD & DRUG RETAILING 942,982 -------------- BEVERAGES 0.4% Coca-Cola Enterprises, Inc. 15,369 313,067 Pepsi Bottling Group, Inc. 8,510 273,596 -------------- TOTAL BEVERAGES 586,663 -------------- TOBACCO 0.3% Reynolds American, Inc. 3,130 360,889 -------------- TOTAL TOBACCO 360,889 -------------- PERSONAL PRODUCTS 0.2% Estee Lauder Cos., Inc. -- Class A 2,429 93,929 Alberto-Culver Co. -- Class B 1,549 75,467 Herbalife Ltd.* 1,429 57,017 NBTY, Inc.* 1,669 39,906 Avon Products, Inc. 1,070 33,170 - -------------------------------------------------------------------------------- 6 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Nu Skin Enterprises, Inc. 2,229 $ 33,101 -------------- TOTAL PERSONAL PRODUCTS 332,590 -------------- TOTAL CONSUMER STAPLES 3,804,399 -------------- UTILITIES 2.7% MULTI-UTILITIES 1.9% Constellation Energy Group, Inc. 9,400 512,488 Public Service Enterprise Group, Inc. 7,070 467,468 NorthWestern Corp. 13,510 464,069 KeySpan Corp. 9,430 380,972 Xcel Energy, Inc. 7,250 139,055 DTE Energy Co. 3,220 131,183 AES Corp.* 5,849 107,914 Energy East Corp. 3,850 92,131 MDU Resources Group, Inc. 1,790 65,532 Dynegy, Inc. -- Class A* 8,669 47,419 Mirant Corp.* 1,599 42,853 NRG Energy, Inc.* 800 38,544 Wisconsin Energy Corp. 890 35,867 TECO Energy, Inc. 1,780 26,593 Ormat Technologies, Inc. 460 17,549 -------------- TOTAL MULTI-UTILITIES 2,569,637 -------------- ELECTRIC UTILITIES 0.6% American Electric Power Co., Inc. 5,380 184,265 Pepco Holdings, Inc. 6,020 141,952 Edison International 2,990 116,610 TXU Corp. 1,729 103,377 Pinnacle West Capital Corp. 2,390 95,385 Westar Energy, Inc. 3,120 65,676 Sierra Pacific Resources* 1,970 27,580 Black Hills Corp. 440 15,105 -------------- TOTAL ELECTRIC UTILITIES 749,950 -------------- GAS UTILITIES 0.2% Questar Corp. 1,010 81,295 Oneok, Inc. 770 26,211 National Fuel Gas Co. 650 22,841 Energen Corp. 590 22,662 AGL Resources, Inc. 590 22,491 Southern Union Co. 820 22,189 Atmos Energy Corp. 710 19,816 Nicor, Inc. 420 17,430 MARKET SHARES VALUE - ------------------------------------------------------------------------------- UGI Corp. 690 $ 16,988 WGL Holdings, Inc. 530 15,343 New Jersey Resources Corp. 320 14,970 Piedmont Natural Gas Co. 580 14,094 Southwest Gas Corp. 420 13,163 Peoples Energy Corp. 40 1,436 -------------- TOTAL GAS UTILITIES 310,929 -------------- TOTAL UTILITIES 3,630,516 -------------- TELECOMMUNICATION SERVICES 2.2% DIVERSIFIED TELECOMMUNICATION SERVICES 1.5% Verizon Communications, Inc. 20,539 687,851 BellSouth Corp. 12,900 466,980 PanAmSat Holding Corp. 18,450 461,066 AT&T, Inc. 10,589 295,327 CenturyTel, Inc. 3,980 147,857 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 2,059,081 -------------- WIRELESS TELECOMMUNICATION SERVICES 0.7% Ubiquitel, Inc.* 44,820 463,439 Alltel Corp. 5,280 337,022 Telephone & Data Systems, Inc. 2,980 123,372 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 923,833 -------------- TOTAL TELECOMMUNICATION SERVICES 2,982,914 -------------- MATERIALS 1.2% METALS & MINING 0.6% United States Steel Corp. 2,100 147,252 Allegheny Technologies, Inc. 1,630 112,861 Freeport-McMoRan Copper & Gold, Inc. -- Class B 1,640 90,872 BHP Billiton Ltd. -- SP ADR 1,750 75,372 Rio Tinto PLC -- SP ADR 270 56,622 Companhia Vale do Rio Doce -- SP ADR 1,890 45,436 Steel Dynamics, Inc. 540 35,500 Falconbridge Ltd. 630 33,295 Alcoa, Inc. 1,020 33,007 POSCO -- SP ADR 480 32,112 - -------------------------------------------------------------------------------- 7 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Nucor Corp. 550 $ 29,837 Newmont Mining Corp. 550 29,112 Mittal Steel NV Co. -- Class A 880 26,849 Anglo American PLC -- ADR 1,250 25,550 Alcan, Inc. 540 25,348 Barrick Gold Corp. 830 24,568 AngloGold Ashanti Ltd. -- SP ADR 440 21,173 Phelps Dodge Corp. 150 12,324 -------------- TOTAL METALS & MINING 857,090 -------------- CHEMICALS 0.5% Dow Chemical Co. 8,300 323,949 Lyondell Chemical Co. 8,370 189,664 Eastman Chemical Co. 1,020 55,080 Airgas, Inc. 880 32,780 Olin Corp. 1,460 26,178 Sensient Technologies Corp. 890 18,610 -------------- TOTAL CHEMICALS 646,261 -------------- PAPER & FOREST PRODUCTS 0.1% Louisiana-Pacific Corp. 3,430 75,117 Bowater, Inc. 730 16,607 -------------- TOTAL PAPER & FOREST PRODUCTS 91,724 -------------- TOTAL MATERIALS 1,595,075 -------------- TOTAL COMMON STOCKS (Cost $63,621,787) 63,792,419 -------------- EXCHANGE TRADED FUNDS 3.0% DB Commodity Index Tracking Fund* 161,332 4,089,766 -------------- TOTAL EXCHANGE TRADED FUNDS (Cost $4,155,176) 4,089,766 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 2.9% Federal Home Loan Bank** 5.19% due 09/08/06 $ 4,000,000 $ 3,961,363 -------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $3,961,363) 3,961,363 -------------- REPURCHASE AGREEMENTS 41.9%+ Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 5,599,678 5,599,678 Credit Suisse at 4.55% due 07/03/06 12,689,951 12,689,951 Lehman Brothers, Inc. at 4.45% due 07/03/06 5,357 5,357 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 17,881,346 17,881,346 Morgan Stanley at 4.40% due 07/03/06 10,132,763 10,132,763 Citigroup, Inc. at 4.10% due 07/03/06 10,430,785 10,430,785 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $56,739,880) 56,739,880 -------------- TOTAL LONG SECURITIES 94.9% (Cost $128,478,206) 128,583,428 -------------- SHARES ------ COMMON STOCKS SOLD SHORT (26.3)% MATERIALS (0.8)% CONSTRUCTION MATERIALS (0.1)% Martin Marietta Materials, Inc. 1,350 (123,053) -------------- TOTAL CONSTRUCTION MATERIALS (123,053) -------------- CONTAINERS & PACKAGING (0.1)% Temple-Inland, Inc. 470 (20,149) Pactiv Corp.* 6,770 (167,557) -------------- TOTAL CONTAINERS & PACKAGING (187,706) -------------- - -------------------------------------------------------------------------------- 8 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS (0.2)% MeadWestvaco Corp. 2,680 $ (74,852) Weyerhaeuser Co. 2,060 (128,235) -------------- TOTAL PAPER & FOREST PRODUCTS (203,087) -------------- CHEMICALS (0.4)% Valspar Corp. 590 (15,582) Scotts Miracle-Gro Co. -- Class A 390 (16,505) PPG Industries, Inc. 500 (33,000) Chemtura Corp. 5,110 (47,728) E.I. du Pont de Nemours and Co. 1,420 (59,072) Hercules, Inc.* 7,750 (118,265) Ecolab, Inc. 7,030 (285,277) -------------- TOTAL CHEMICALS (575,429) -------------- TOTAL MATERIALS (1,089,275) -------------- UTILITIES (1.6)% MULTI-UTILITIES 0.0% NSTAR 740 (21,164) NiSource, Inc. 1,330 (29,047) -------------- TOTAL MULTI-UTILITIES (50,211) -------------- WATER UTILITIES (0.1)% Aqua America, Inc. 4,120 (93,895) -------------- TOTAL WATER UTILITIES (93,895) -------------- GAS UTILITIES (0.1)% Equitable Resources, Inc. 5,140 (172,190) -------------- TOTAL GAS UTILITIES (172,190) -------------- ELECTRIC UTILITIES (1.4)% PPL Corp. 1,340 (43,282) DPL, Inc. 3,700 (99,160) Allegheny Energy, Inc.* 2,800 (103,796) FPL Group, Inc. 12,380 (512,285) MARKET SHARES VALUE - ------------------------------------------------------------------------------- Exelon Corp. 18,800 $ (1,068,404) -------------- TOTAL ELECTRIC UTILITIES (1,826,927) -------------- TOTAL UTILITIES (2,143,223) -------------- INDUSTRIALS (2.2)% CONSTRUCTION & ENGINEERING 0.0% Quanta Services, Inc.* 30 (520) -------------- TOTAL CONSTRUCTION & ENGINEERING (520) -------------- ELECTRICAL EQUIPMENT 0.0% American Power Conversion Corp. 140 (2,729) -------------- TOTAL ELECTRICAL EQUIPMENT (2,729) -------------- ROAD & RAIL 0.0% J.B. Hunt Transport Services, Inc. 400 (9,964) -------------- TOTAL ROAD & RAIL (9,964) -------------- AEROSPACE & DEFENSE (0.1)% United Technologies Corp. 2,230 (141,427) -------------- TOTAL AEROSPACE & DEFENSE (141,427) -------------- AIRLINES (0.1)% JetBlue Airways Corp.* 2,400 (29,136) AirTran Holdings, Inc.* 7,890 (117,245) -------------- TOTAL AIRLINES (146,381) -------------- MACHINERY (0.3)% Tecumseh Products Co. -- Class A* 490 (9,408) ITT Industries, Inc. 1,000 (49,500) Ingersoll-Rand Co. -- Class A 1,460 (62,459) SPX Corp. 1,770 (99,031) Joy Global, Inc. 2,340 (121,891) -------------- TOTAL MACHINERY (342,289) -------------- - -------------------------------------------------------------------------------- 9 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS (0.3)% GATX Corp. 680 $ (28,900) United Rentals, Inc.* 1,090 (34,858) MSC Industrial Direct Co. -- Class A 2,030 (96,567) Fastenal Co. 6,430 (259,065) -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS (419,390) -------------- AIR FREIGHT & COURIERS (0.5)% Expeditors International Washington, Inc. 6,500 (364,065) CH Robinson Worldwide, Inc. 7,160 (381,628) -------------- TOTAL AIR FREIGHT & COURIERS (745,693) -------------- COMMERCIAL SERVICES & SUPPLIES (0.9)% Navigant Consulting, Inc.* 880 (19,932) Deluxe Corp. 3,050 (53,314) Avery Dennison Corp. 2,100 (121,926) Monster Worldwide, Inc.* 2,870 (122,434) Cintas Corp. 3,270 (130,015) Herman Miller, Inc. 5,810 (149,724) Pitney Bowes, Inc. 3,690 (152,397) Stericycle, Inc.* 3,210 (208,971) Corporate Executive Board Co. 2,290 (229,458) -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES (1,188,171) -------------- TOTAL INDUSTRIALS (2,996,564) -------------- CONSUMER STAPLES (2.4)% TOBACCO (0.1)% Universal Corp./VA 2,390 (88,956) -------------- TOTAL TOBACCO (88,956) -------------- FOOD & DRUG RETAILING (0.5)% Whole Foods Market, Inc. 9,690 (626,361) -------------- TOTAL FOOD & DRUG RETAILING (626,361) -------------- BEVERAGES (0.5)% Constellation Brands, Inc. -- Class A* 2,690 (67,250) MARKET SHARES VALUE - ------------------------------------------------------------------------------- Molson Coors Brewing Co. -- Class B 3,250 $ (220,610) Brown-Forman Corp. -- Class B 5,590 (400,747) -------------- TOTAL BEVERAGES (688,607) -------------- FOOD PRODUCTS (1.3)% WM Wrigley Jr Co. -- Class B 401 (18,045) J.M. Smucker Co. 1,040 (46,488) Sara Lee Corp. 18,940 (303,419) McCormick & Co., Inc. 11,570 (388,173) Hershey Co. 19,280 (1,061,750) -------------- TOTAL FOOD PRODUCTS (1,817,875) -------------- TOTAL CONSUMER STAPLES (3,221,799) -------------- CONSUMER DISCRETIONARY (2.5)% MULTILINE RETAIL 0.0% Big Lots, Inc.* 2,600 (44,408) -------------- TOTAL MULTILINE RETAIL (44,408) -------------- LEISURE EQUIPMENT & PRODUCTS (0.1)% Mattel, Inc. 4,510 (74,460) -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS (74,460) -------------- AUTO COMPONENTS (0.1)% ArvinMeritor, Inc. 800 (13,752) Cooper Tire & Rubber Co. 2,130 (23,728) Johnson Controls, Inc. 690 (56,732) -------------- TOTAL AUTO COMPONENTS (94,212) -------------- HOUSEHOLD DURABLES (0.1)% Harman International Industries, Inc. 1,600 (136,592) -------------- TOTAL HOUSEHOLD DURABLES (136,592) -------------- AUTOMOBILES (0.2)% Thor Industries, Inc. 1,500 (72,675) - -------------------------------------------------------------------------------- 10 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- General Motors Corp. 4,890 $ (145,673) -------------- TOTAL AUTOMOBILES (218,348) -------------- INTERNET & CATALOG RETAIL (0.2)% Amazon.com, Inc.* 6,860 (265,345) -------------- TOTAL INTERNET & CATALOG RETAIL (265,345) -------------- TEXTILES & APPAREL (0.2)% Timberland Co. -- Class A* 690 (18,009) Coach, Inc.* 8,310 (248,469) -------------- TOTAL TEXTILES & APPAREL (266,478) -------------- COMMERCIAL SERVICES & SUPPLIES (0.3)% DeVry, Inc.* 1,650 (36,250) Apollo Group, Inc. -- Class A* 880 (45,470) Sotheby's Holdings, Inc. -- Class A* 2,790 (73,237) ITT Educational Services, Inc.* 1,300 (85,553) H&R Block, Inc. 5,280 (125,981) -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES (366,491) -------------- SPECIALTY RETAIL (0.3)% O'Reilly Automotive, Inc.* 890 (27,759) Chico's FAS, Inc.* 1,280 (34,534) OfficeMax, Inc. 1,270 (51,753) Urban Outfitters, Inc.* 4,290 (75,032) CarMax, Inc.* 3,460 (122,692) Office Depot, Inc.* 4,060 (154,280) -------------- TOTAL SPECIALTY RETAIL (466,050) -------------- HOTELS, RESTAURANTS & LEISURE (0.5)% Cheesecake Factory, Inc.* 3,180 (85,701) Harrah's Entertainment, Inc. 1,350 (96,093) International Game Technology, Inc. 4,470 (169,592) Starbucks Corp.* 8,800 (332,288) -------------- TOTAL HOTELS, RESTAURANTS & LEISURE (683,674) -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MEDIA (0.5)% Reader's Digest Association, Inc. 2,320 $ (32,387) McGraw-Hill Cos., Inc. 930 (46,714) Dow Jones & Co., Inc. 2,930 (102,579) McClatchy Co. -- Class A 3,850 (154,462) Interpublic Group of Cos., Inc.* 19,600 (163,660) Time Warner, Inc. 12,860 (222,478) -------------- TOTAL MEDIA (722,280) -------------- TOTAL CONSUMER DISCRETIONARY (3,338,338) -------------- ENERGY (2.6)% ENERGY EQUIPMENT & SERVICES (1.2)% Grant Prideco, Inc.* 870 (38,932) FMC Technologies, Inc.* 2,850 (192,261) Weatherford International Ltd.* 6,380 (316,576) Halliburton Co. 7,080 (525,407) Schlumberger Ltd. 9,090 (591,850) -------------- TOTAL ENERGY EQUIPMENT & SERVICES (1,665,026) -------------- OIL & GAS (1.4)% Southwestern Energy Co.* 1,520 (47,363) Newfield Exploration Co.* 1,240 (60,686) Murphy Oil Corp. 1,340 (74,852) Arch Coal, Inc. 4,170 (176,683) Quicksilver Resources, Inc.* 5,480 (201,719) Helix Energy Solutions Group, Inc.* 5,020 (202,607) El Paso Corp. 18,090 (271,350) PetroHawk Energy Corp.* 28,890 (364,014) Plains Exploration & Production Co.* 12,430 (503,912) -------------- TOTAL OIL & GAS (1,903,186) -------------- TOTAL ENERGY (3,568,212) -------------- HEALTH CARE (3.0)% HEALTH CARE PROVIDERS & SERVICES (0.4)% Tenet Healthcare Corp.* 3,620 (25,268) Patterson Cos., Inc.* 1,140 (39,820) AmerisourceBergen Corp. 1,150 (48,208) Quest Diagnostics, Inc. 1,090 (65,313) - -------------------------------------------------------------------------------- 11 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Aetna, Inc. 1,890 $ (75,468) UnitedHealth Group, Inc. 2,860 (128,071) CIGNA Corp. 1,340 (132,003) -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES (514,151) -------------- HEALTH CARE EQUIPMENT & SUPPLIES (0.7)% Advanced Medical Optics, Inc.* 1,580 (80,106) Boston Scientific Corp.* 8,460 (142,466) Varian Medical Systems, Inc.* 4,970 (235,330) Thermo Electron Corp.* 13,150 (476,556) -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (934,458) -------------- BIOTECHNOLOGY (0.9)% Martek Biosciences Corp.* 580 (16,791) PDL BioPharma, Inc.* 6,430 (118,376) Vertex Pharmaceuticals, Inc.* 5,570 (204,475) Medimmune, Inc.* 14,460 (391,866) Gilead Sciences, Inc.* 8,690 (514,100) -------------- TOTAL BIOTECHNOLOGY (1,245,608) -------------- PHARMACEUTICALS (1.0)% Perrigo Co. 3,130 (50,393) Sepracor, Inc.* 5,890 (336,554) Allergan, Inc. 3,710 (397,935) Pfizer, Inc. 23,160 (543,565) -------------- TOTAL PHARMACEUTICALS (1,328,447) -------------- TOTAL HEALTH CARE (4,022,664) -------------- INFORMATION TECHNOLOGY (5.4)% ELECTRONIC EQUIPMENT & INSTRUMENTS (0.2)% Symbol Technologies, Inc. 2,300 (24,817) KEMET Corp.* 4,900 (45,178) Plexus Corp.* 3,090 (105,709) National Instruments Corp. 5,750 (157,550) -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS (333,254) -------------- SOFTWARE (0.3)% Mercury Interactive Corp.* 730 (25,528) Adobe Systems, Inc.* 1,700 (51,612) MARKET SHARES VALUE - ------------------------------------------------------------------------------- Symantec Corp.* 3,880 $ (60,295) Advent Software, Inc.* 2,760 (99,553) Electronic Arts, Inc.* 4,310 (185,503) -------------- TOTAL SOFTWARE (422,491) -------------- COMPUTERS & PERIPHERALS (0.7)% Diebold, Inc. 630 (25,591) Lexmark International, Inc.* 750 (41,872) Dell, Inc.* 4,390 (107,160) International Business Machines Corp. 2,120 (162,858) Sun Microsystems, Inc.* 50,090 (207,874) Network Appliance, Inc.* 11,680 (412,304) -------------- TOTAL COMPUTERS & PERIPHERALS (957,659) -------------- IT CONSULTING & SERVICES (1.1)% SRA International, Inc. -- Class A* 600 (15,978) Unisys Corp.* 13,590 (85,345) Gartner, Inc. -- Class A* 11,320 (160,744) Electronic Data Systems Corp. 8,160 (196,330) VeriFone Holdings, Inc.* 7,830 (238,658) Cognizant Technology Solutions Corp. -- Class A* 5,410 (364,472) Paychex, Inc. 11,530 (449,439) -------------- TOTAL IT CONSULTING & SERVICES (1,510,966) -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (1.5)% Lattice Semiconductor Corp.* 7,740 (47,833) RF Micro Devices, Inc.* 9,160 (54,685) Cypress Semiconductor Corp.* 5,080 (73,863) Teradyne, Inc.* 6,330 (88,177) Silicon Laboratories, Inc.* 2,940 (103,341) PMC - Sierra, Inc.* 14,300 (134,420) Analog Devices, Inc. 5,740 (184,484) Xilinx, Inc. 8,270 (187,315) Applied Materials, Inc. 17,180 (279,690) Broadcom Corp. -- Class A* 13,070 (392,754) Micron Technology, Inc.* 29,220 (440,053) -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (1,986,615) -------------- - -------------------------------------------------------------------------------- 12 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT (1.6)% Utstarcom, Inc.* 9,600 $ (74,784) F5 Networks, Inc.* 3,040 (162,579) Ciena Corp.* 38,670 (186,003) ADC Telecommunications, Inc.* 24,220 (408,349) Alcatel SA -- SP ADR* 37,790 (476,532) Qualcomm, Inc. 21,010 (841,871) -------------- TOTAL COMMUNICATIONS EQUIPMENT (2,150,118) -------------- TOTAL INFORMATION TECHNOLOGY (7,361,103) -------------- FINANCIALS (5.8)% THRIFTS & MORTGAGE FINANCE (0.1)% New York Community Bancorp, Inc. 6,490 (107,150) -------------- TOTAL THRIFTS & MORTGAGE FINANCE (107,150) -------------- DIVERSIFIED FINANCIALS (0.2)% Moody's Corp. 5,570 (303,342) -------------- TOTAL DIVERSIFIED FINANCIALS (303,342) -------------- CONSUMER FINANCE (0.4)% SLM Corp. 4,550 (240,786) Capital One Financial Corp. 3,480 (297,366) -------------- TOTAL CONSUMER FINANCE (538,152) -------------- INSURANCE (1.2)% Stancorp Financial Group, Inc. 700 (35,637) HCC Insurance Holdings, Inc. 1,330 (39,155) Ambac Financial Group, Inc. 830 (67,313) Arthur J. Gallagher & Co. 2,950 (74,753) Everest Re Group Ltd. 1,340 (116,004) ACE Ltd. 4,020 (203,372) Progressive Corp. 8,660 (222,648) Brown & Brown, Inc. 7,800 (227,916) XL Capital Ltd. 3,880 (237,844) Marsh & McLennan Cos., Inc. 13,690 (368,124) -------------- TOTAL INSURANCE (1,592,766) -------------- BANKS (1.3)% Mercantile Bankshares Corp. 1,260 (44,944) First Horizon National Corp. 1,250 (50,250) MARKET SHARES VALUE - ------------------------------------------------------------------------------- Huntington Bancshares, Inc. 2,200 $ (51,876) Fifth Third Bancorp 2,650 (97,917) SunTrust Banks, Inc. 1,550 (118,203) National City Corp. 6,580 (238,130) MB Financial Corp. 9,710 (343,346) Wachovia Corp. 6,790 (367,203) Regions Financial Corp. 13,940 (461,693) -------------- TOTAL BANKS (1,773,562) -------------- CAPITAL MARKETS (1.3)% Janus Capital Group, Inc. 2,660 (47,614) Waddell & Reed Financial, Inc. -- Class A 6,190 (127,266) Legg Mason, Inc. 1,340 (133,357) Eaton Vance Corp. 6,860 (171,225) Franklin Resources, Inc. 2,180 (189,246) Federated Investors, Inc. -- Class B 6,970 (219,555) SEI Investments Co. 5,010 (244,889) T. Rowe Price Group, Inc. 7,980 (301,724) Charles Schwab Corp. 21,570 (344,689) -------------- TOTAL CAPITAL MARKETS (1,779,565) -------------- REAL ESTATE (1.3)% Potlatch Corp. 650 (24,538) Rayonier, Inc. 940 (35,635) Vornado Realty Trust 1,970 (192,174) United Dominion Realty Trust, Inc. 11,010 (308,390) Simon Property Group, Inc. 5,550 (460,317) Public Storage, Inc. 10,850 (823,515) -------------- TOTAL REAL ESTATE (1,844,569) -------------- TOTAL FINANCIALS (7,939,106) -------------- TOTAL COMMON STOCKS SOLD SHORT (Proceeds $36,060,532) (35,680,284) -------------- TOTAL INVESTMENTS 68.6% (Cost $92,417,674) $ 92,903,144 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 31.4% $ 42,586,128 NET ASSETS - 100.0% $ 135,489,272 - -------------------------------------------------------------------------------- 13 ABSOLUTE RETURN STRATEGIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN (LOSS) - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 U.S. 10-Year Treasury Note Futures Contracts (Aggregate Market Value of Contracts $11,111,782) 106 $ (75,912) -------------- September 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $11,075,040) 144 234,337 September 2006 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $11,158,840) 154 225,238 September 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $12,093,638) 189 45,194 (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $45,439,299) $ 428,857 -------------- FUTURES CONTRACTS SOLD SHORT September 2006 U.S. Dollar Index Futures Contracts (Aggregate Market Value of Contracts $14,602,800) 172 $ 118,668 -------------- NOTIONAL AMOUNT ----------- CREDIT DEFAULT SWAP AGREEMENT Dow Jones CDX North American Investment Grade Swap Agreement, Series 6 Interest Rate 0.40%, Maturing 06/20/11 65,000,000 13,953 -------------- * Non-Income Producing Security. ** The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. + All or a portion of this security was held as short security collateral at June 30, 2006. - -------------------------------------------------------------------------------- 14 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 47.9% FINANCIALS 9.2% INSURANCE 4.2% MetLife, Inc. + 4,070 $ 208,425 Hartford Financial Services Group, Inc. 2,010 170,046 Chubb Corp. + 3,090 154,191 Genworth Financial, Inc. -- Class A 3,820 133,089 UnumProvident Corp. 6,680 121,108 SAFECO Corp. 1,680 94,668 Fidelity National Financial, Inc. 2,320 90,364 First American Corp. 1,640 69,323 American Financial Group, Inc./OH 1,430 61,347 AmerUs Group Co. 860 50,353 Aon Corp. 1,409 49,061 Ohio Casualty Corp. 1,500 44,595 Old Republic International Corp. 1,770 37,825 Horace Mann Educators Corp. 1,680 28,476 -------------- TOTAL INSURANCE 1,312,871 -------------- DIVERSIFIED FINANCIALS 1.5% J.P. Morgan Chase & Co. 5,300 222,600 CIT Group, Inc. 3,110 162,622 Leucadia National Corp. 2,919 85,205 -------------- TOTAL DIVERSIFIED FINANCIALS 470,427 -------------- CAPITAL MARKETS 1.3% Lehman Brothers Holdings, Inc. + 2,819 183,658 State Street Corp. 1,180 68,546 E*Trade Financial Corp.* 2,059 46,986 A.G. Edwards, Inc. 700 38,724 Raymond James Financial, Inc. 990 29,967 Jefferies Group, Inc. 930 27,556 LaBranche & Co., Inc.* 960 11,626 -------------- TOTAL CAPITAL MARKETS 407,063 -------------- THRIFTS & MORTGAGE FINANCE 1.1% Washington Mutual, Inc. 4,890 222,886 Radian Group, Inc. 1,210 74,754 IndyMac Bancorp, Inc. 720 33,012 Sovereign Bancorp, Inc. 370 7,515 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 338,167 -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- REAL ESTATE 0.9% Brookfield Asset Management, Inc. -- Class A 1,327 $ 53,903 Brookfield Properties Corp. 1,207 38,829 Liberty Property Trust 870 38,454 AMB Property Corp. 690 34,880 Forest City Enterprises, Inc. -- Class A 649 32,392 CB Richard Ellis Group, Inc. -- Class A* 1,247 31,050 St. Joe Co. 529 24,620 Jones Lang LaSalle, Inc. 259 22,675 Trammell Crow Co.* 419 14,736 -------------- TOTAL REAL ESTATE 291,539 -------------- BANKS 0.1% FirstMerit Corp. 1,120 23,453 SVB Financial Group* 470 21,366 -------------- TOTAL BANKS 44,819 -------------- CONSUMER FINANCE 0.1% AmeriCredit Corp.* 1,210 33,783 -------------- TOTAL CONSUMER FINANCE 33,783 -------------- TOTAL FINANCIALS 2,898,669 -------------- INDUSTRIALS 6.8% ROAD & RAIL 1.7% Burlington Northern Santa Fe Corp. 1,549 122,758 Ryder System, Inc. 1,430 83,555 Swift Transportation Co., Inc.* 1,980 62,885 YRC Worldwide, Inc.* 1,490 62,744 Werner Enterprises, Inc. 2,070 41,959 Union Pacific Corp. 310 28,818 Norfolk Southern Corp. + 500 26,610 Canadian National Railway Co. 590 25,813 CSX Corp. 360 25,358 Canadian Pacific Railway Ltd. 310 15,853 Con-way, Inc. 180 10,427 Amerco, Inc.* 90 9,059 Landstar System, Inc. 190 8,974 Kansas City Southern* 320 8,864 Laidlaw International, Inc. 340 8,568 Knight Transportation, Inc. 370 7,474 -------------- TOTAL ROAD & RAIL 549,719 -------------- AEROSPACE & DEFENSE 1.0% Boeing Co. 1,780 145,800 Northrop Grumman Corp. + 2,250 144,135 - -------------------------------------------------------------------------------- 1 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Precision Castparts Corp. 320 $ 19,123 -------------- TOTAL AEROSPACE & DEFENSE 309,058 -------------- CONSTRUCTION & ENGINEERING 0.9% Fluor Corp. + 970 90,142 Granite Construction, Inc. 1,420 64,283 Jacobs Engineering Group, Inc.* + 320 25,485 Foster Wheeler, Ltd.* + 410 17,712 Shaw Group, Inc.* 630 17,514 URS Corp.* 390 16,380 Chicago Bridge & Iron NV Co. + 590 14,249 Washington Group International, Inc.* 250 13,335 EMCOR Group, Inc.* 180 8,761 Insituform Technologies, Inc. -- Class A* 380 8,698 Quanta Services, Inc.* 409 7,088 -------------- TOTAL CONSTRUCTION & ENGINEERING 283,647 -------------- INDUSTRIAL CONGLOMERATES 0.7% Tyco International Ltd. + 5,660 155,650 McDermott International, Inc.* 600 27,282 Teleflex, Inc. 460 24,849 Sequa Corp. -- Class A* 210 17,115 -------------- TOTAL INDUSTRIAL CONGLOMERATES 224,896 -------------- ELECTRICAL EQUIPMENT 0.7% ABB Ltd. -- SP ADR 2,929 37,960 Emerson Electric Co. 440 36,876 Rockwell Automation, Inc. 330 23,763 Cooper Industries Ltd. -- Class A 220 20,442 Roper Industries, Inc. 290 13,558 AMETEK, Inc. 260 12,319 Thomas & Betts Corp.* 230 11,799 Hubbell, Inc. -- Class B 240 11,436 Acuity Brands, Inc. 210 8,171 General Cable Corp.* 230 8,050 A.O. Smith Corp. 170 7,881 Regal-Beloit Corp. 170 7,506 Energy Conversion Devices, Inc.* 190 6,922 -------------- TOTAL ELECTRICAL EQUIPMENT 206,683 -------------- MACHINERY 0.6% Eaton Corp. 1,380 104,052 Timken Co. 1,050 35,185 Flowserve Corp.* 580 33,002 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Trinity Industries, Inc. 750 $ 30,300 -------------- TOTAL MACHINERY 202,539 -------------- TRADING COMPANIES & DISTRIBUTORS 0.4% W.W. Grainger, Inc. 470 35,358 WESCO International, Inc.* 350 23,366 Watsco, Inc. 280 16,750 UAP Holding Corp. 650 14,177 Applied Industrial Technologies, Inc. 530 12,884 Beacon Roofing Supply, Inc.* 520 11,445 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 113,980 -------------- AIRLINES 0.4% Southwest Airlines Co. 4,250 69,572 Alaska Air Group, Inc.* 1,000 39,420 -------------- TOTAL AIRLINES 108,992 -------------- COMMERCIAL SERVICES & SUPPLIES 0.3% Robert Half International, Inc. 1,280 53,760 Cendant Corp. 1,730 28,182 Korn/Ferry International, Inc.* 880 17,239 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 99,181 -------------- BUILDING PRODUCTS 0.1% Masco Corp. 800 23,712 -------------- TOTAL BUILDING PRODUCTS 23,712 -------------- TOTAL INDUSTRIALS 2,122,407 -------------- INFORMATION TECHNOLOGY 5.9% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.6% Intel Corp. 7,710 146,104 Nvidia Corp.* 3,779 80,455 LSI Logic Corp.* 7,069 63,268 Advanced Micro Devices, Inc.* 2,229 54,432 KLA-Tencor Corp. 1,200 49,884 Lam Research Corp.* 920 42,890 Intersil Corp. -- Class A 1,270 29,527 International Rectifier Corp.* 560 21,885 Semtech Corp.* 1,170 16,907 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 505,352 -------------- COMMUNICATIONS EQUIPMENT 1.5% Corning, Inc.* 8,718 210,888 - -------------------------------------------------------------------------------- 2 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Motorola, Inc. 5,740 $ 115,661 ADC Telecommunications, Inc.* 2,679 45,168 Tellabs, Inc.* 3,129 41,647 JDS Uniphase Corp.* 13,915 35,205 Powerwave Technologies, Inc.* 1,939 17,684 Dycom Industries, Inc.* 700 14,903 -------------- Total Communications Equipment 481,156 -------------- Computers & Peripherals 0.7% Apple Computer, Inc.* + 2,010 114,811 SanDisk Corp.* 970 49,451 Western Digital Corp.* 1,839 36,431 Imation Corp. 730 29,966 -------------- Total Computers & Peripherals 230,659 -------------- IT Consulting & Services 0.7% Computer Sciences Corp.* 1,350 65,394 Sabre Holdings Corp. 1,940 42,680 Convergys Corp.* 2,170 42,315 CheckFree Corp.* 740 36,674 BISYS Group, Inc.* 2,310 31,647 -------------- Total IT Consulting & Services 218,710 -------------- Electronic Equipment & Instruments 0.6% Avnet, Inc.* 3,170 63,463 Arrow Electronics, Inc.* 1,450 46,690 Tech Data Corp.* 970 37,161 Sanmina-SCI Corp.* 6,810 31,326 -------------- Total Electronic Equipment & Instruments 178,640 -------------- Software 0.3% Novell, Inc.* 9,550 63,317 Activision, Inc.* 2,700 30,726 Parametric Technology Corp.* 1,479 18,798 -------------- Total Software 112,841 -------------- Office Electronics 0.3% Xerox Corp.* 6,270 87,216 -------------- Total Office Electronics 87,216 -------------- Internet Software & Services 0.2% Yahoo!, Inc.* 1,550 51,150 -------------- Total Internet Software & Services 51,150 -------------- Total Information Technology 1,865,724 -------------- CONSUMER STAPLES 5.1% Food Products 2.1% Archer-Daniels-Midland Co. + 6,229 257,133 General Mills, Inc. 3,100 160,146 MARKET SHARES VALUE - ------------------------------------------------------------------------------- ConAgra Foods, Inc. 5,590 $ 123,595 Hormel Foods Corp. 1,539 57,159 Tyson Foods, Inc. -- Class A 2,800 41,608 Tootsie Roll Industries, Inc. 1,080 31,460 -------------- Total Food Products 671,101 -------------- Food & Drug Retailing 1.2% Kroger Co. 7,010 153,239 Safeway, Inc. + 3,269 84,994 Supervalu, Inc. 2,500 76,750 BJ's Wholesale Club, Inc.* 1,180 33,453 CVS Corp. 850 26,095 -------------- Total Food & Drug Retailing 374,531 -------------- Tobacco 0.7% Reynolds American, Inc. 1,820 209,846 -------------- Total Tobacco 209,846 -------------- Beverages 0.7% Coca-Cola Enterprises, Inc. 5,490 111,831 Pepsi Bottling Group, Inc. 3,040 97,736 -------------- Total Beverages 209,567 -------------- Personal Products 0.4% Estee Lauder Cos., Inc. -- Class A 1,168 45,166 Alberto-Culver Co. -- Class B 748 36,443 Herbalife Ltd.* 689 27,491 NBTY, Inc.* 798 19,080 Nu Skin Enterprises, Inc. 1,068 15,860 -------------- Total Personal Products 144,040 -------------- Total Consumer Staples 1,609,085 -------------- CONSUMER DISCRETIONARY 5.0% Household Durables 0.9% Lennar Corp. -- Class A 2,220 98,501 Mohawk Industries, Inc.* 810 56,983 D.R. Horton, Inc. 1,390 33,110 American Greetings Corp. -- Class A 1,500 31,515 Whirlpool Corp. 310 25,622 Ryland Group, Inc. 390 16,992 Blyth, Inc. 710 13,107 Pulte Homes, Inc. 280 8,061 Toll Brothers, Inc.* 250 6,393 KB Home 120 5,502 -------------- Total Household Durables 295,786 -------------- Media 0.8% Gannett Co., Inc. 1,950 109,064 Scholastic Corp.* 1,090 28,307 Comcast Corp. -- Class A* 449 14,700 - -------------------------------------------------------------------------------- 3 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- The Walt Disney Co. 479 $ 14,370 News Corp. -- Class A 748 14,347 Westwood One, Inc. 1,550 11,625 Vivendi SA -- SP ADR 329 11,485 Viacom, Inc. - Class B* 249 8,924 DIRECTV Group, Inc.* 509 8,399 CBS Corporation 309 8,358 Clear Channel Communications, Inc. 239 7,397 WPP Group PLC -- SP ADR 120 7,235 Omnicom Group, Inc. 80 7,127 Liberty Media Holding Corp. - Capital* 80 6,702 EchoStar Communications Corp.* 210 6,470 -------------- Total Media 264,510 -------------- Specialty Retail 0.8% AutoNation, Inc.* 2,960 63,462 Circuit City Stores, Inc. 1,990 54,168 American Eagle Outfitters, Inc. 1,010 34,380 AnnTaylor Stores Corp.* 520 22,558 Aeropostale, Inc.* 650 18,779 Payless Shoesource, Inc.* 660 17,932 Claire's Stores, Inc. 600 15,306 Pier 1 Imports, Inc. 1,360 9,493 Chico's FAS, Inc.* 280 7,554 -------------- Total Specialty Retail 243,632 -------------- Multiline Retail 0.8% Federated Department Stores, Inc. + 3,310 121,146 J.C. Penney Holding Co., Inc. 910 61,434 Dillard's, Inc. -- Class A 1,570 50,005 Nordstrom, Inc. 290 10,585 -------------- Total Multiline Retail 243,170 -------------- Auto Components 0.6% Modine Manufacturing Co. 1,480 34,573 Goodyear Tire & Rubber Co.* 2,698 29,948 Dana Corp. 9,720 25,661 Magna International, Inc. -- Class A 309 22,239 Autoliv, Inc. 309 17,480 BorgWarner, Inc. 249 16,210 Tenneco Automotive, Inc.* 349 9,074 TRW Automotive Holdings Corp.* 329 8,975 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Visteon Corp.* 1,108 $ 7,988 American Axle & Manufacturing Holdings, Inc. 459 7,853 LKQ Corp.* 409 7,771 Delphi Corp.* 4,480 7,616 Ballard Power Systems, Inc.* 1,048 6,131 -------------- Total Auto Components 201,519 -------------- Hotels, Restaurants & Leisure 0.4% Krispy Kreme Doughnuts, Inc.* 3,720 30,281 Wendy's International, Inc. 500 29,145 Darden Restaurants, Inc. 720 28,368 GTECH Holdings Corp. 700 24,346 -------------- Total Hotels, Restaurants & Leisure 112,140 -------------- Textiles & Apparel 0.3% VF Corp. 1,110 75,391 Polo Ralph Lauren Corp. 480 26,352 -------------- Total Textiles & Apparel 101,743 -------------- Leisure Equipment & Products 0.2% Brunswick Corp. 1,370 45,552 Callaway Golf Co. 1,850 24,032 -------------- Total Leisure Equipment & Products 69,584 -------------- Automobiles 0.2% Ford Motor Co. 6,960 48,233 -------------- Total Automobiles 48,233 -------------- Total Consumer Discretionary 1,580,317 -------------- HEALTH CARE 4.9% Health Care Providers & Services 3.2% WellPoint, Inc.* 2,470 179,742 HCA, Inc. 3,540 152,751 Coventry Health Care, Inc.* 2,190 120,319 Community Health Systems, Inc.* 3,190 117,232 Express Scripts, Inc.* 1,130 81,066 Triad Hospitals, Inc.* 1,680 66,494 Health Net, Inc.* 1,440 65,045 Humana, Inc.* 1,100 59,070 Health Management Associates, Inc. -- Class A 2,720 53,611 Omnicare, Inc. 870 41,255 LifePoint Hospitals, Inc.* 1,120 35,986 - -------------------------------------------------------------------------------- 4 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Apria Healthcare Group, Inc.* 1,140 $ 21,546 -------------- Total Health Care Providers & Services 994,117 -------------- Pharmaceuticals 0.7% King Pharmaceuticals, Inc.* 5,229 88,893 Barr Pharmaceuticals, Inc.* 1,140 54,367 Watson Pharmaceuticals, Inc.* 2,320 54,010 Valeant Pharmaceuticals International 1,870 31,640 -------------- Total Pharmaceuticals 228,910 -------------- Health Care Equipment & Supplies 0.7% Fisher Scientific International, Inc.* 1,550 113,227 Intuitive Surgical, Inc.* 880 103,814 -------------- Total Health Care Equipment & Supplies 217,041 -------------- Biotechnology 0.3% Biogen Idec, Inc.* 2,370 109,802 -------------- Total Biotechnology 109,802 -------------- Total Health Care 1,549,870 -------------- ENERGY 3.9% Oil & Gas 2.2% Chevron Corp. 4,380 271,823 Devon Energy Corp. 1,930 116,591 Apache Corp. 1,540 105,105 Peabody Energy Corp. 1,870 104,253 ConocoPhillips + 880 57,666 Pogo Producing Co. 750 34,575 Overseas Shipholding Group, Inc. 190 11,239 -------------- Total Oil & Gas 701,252 -------------- Energy Equipment & Services 1.7% Transocean, Inc.* + 1,910 153,411 Patterson-UTI Energy, Inc. 2,190 61,999 Pride International, Inc.* 1,730 54,028 Rowan Cos., Inc. 1,280 45,555 Helmerich & Payne, Inc. 580 34,951 Baker Hughes, Inc. 330 27,010 Grant Prideco, Inc.* 570 25,507 GlobalSantaFe Corp. 300 17,325 Diamond Offshore Drilling, Inc. 200 16,786 BJ Services Co. 430 16,022 Smith International, Inc. 330 14,675 Noble Corp. 190 14,140 ENSCO International, Inc. 260 11,965 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Precision Drilling Trust 300 $ 9,960 Nabors Industries Ltd.* 210 7,096 Tenaris SA -- SP ADR 140 5,669 -------------- Total Energy Equipment & Services 516,099 -------------- Total Energy 1,217,351 -------------- UTILITIES 2.6% Multi-Utilities 1.1% AES Corp.* 2,847 52,527 Xcel Energy, Inc. 2,590 49,676 DTE Energy Co. 1,150 46,851 MDU Resources Group, Inc. 1,080 39,539 Energy East Corp. 1,380 33,024 Dynegy, Inc. -- Class A* 5,215 28,526 Constellation Energy Group, Inc. 399 21,754 Mirant Corp.* 768 20,582 NRG Energy, Inc.* 379 18,260 Wisconsin Energy Corp. 440 17,732 TECO Energy, Inc. 880 13,147 Ormat Technologies, Inc. 220 8,393 -------------- Total Multi-Utilities 350,011 -------------- Electric Utilities 1.0% Edison International 1,800 70,200 American Electric Power Co., Inc. 1,920 65,760 Pepco Holdings, Inc. 2,350 55,413 TXU Corp. 589 35,216 Pinnacle West Capital Corp. 860 34,323 Westar Energy, Inc. 1,110 23,366 Sierra Pacific Resources* 1,399 19,586 Black Hills Corp. 210 7,209 -------------- Total Electric Utilities 311,073 -------------- Gas Utilities 0.5% Questar Corp. 490 39,440 Oneok, Inc. 369 12,561 AGL Resources, Inc. 289 11,017 National Fuel Gas Co. 309 10,858 Southern Union, Co. 399 10,797 Energen Corp. 279 10,716 Atmos Energy Corp. 339 9,461 Nicor, Inc. 200 8,300 UGI Corp. 329 8,100 WGL Holdings, Inc. 259 7,498 New Jersey Resources Corp. 150 7,017 Piedmont Natural Gas Co. 279 6,780 Southwest Gas Corp. 200 6,268 -------------- Total Gas Utilities 148,813 -------------- Total Utilities 809,897 -------------- - -------------------------------------------------------------------------------- 5 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 2.3% Diversified Telecommunication Services 1.8% AT&T, Inc. 9,890 $ 275,832 Verizon Communications, Inc. + 7,340 245,816 CenturyTel, Inc. 1,420 52,753 -------------- Total Diversified Telecommunication Services 574,401 -------------- Wireless Telecommunication Services 0.5% Alltel Corp. 1,890 120,639 Telephone & Data Systems, Inc. 770 31,878 -------------- Total Wireless Telecommunication Services 152,517 -------------- Total Telecommunication Services 726,918 -------------- MATERIALS 2.2% Metals & Mining 1.3% Allegheny Technologies, Inc. 960 66,471 United States Steel Corp. 750 52,590 Freeport-McMoRan Copper & Gold, Inc. -- Class B 800 44,328 BHP Billiton Ltd. -- SP ADR 840 36,179 Rio Tinto PLC -- SP ADR 130 27,262 Steel Dynamics, Inc. 380 24,981 Companhia Vale do Rio Doce -- SP ADR 910 21,877 Alcoa, Inc. 490 15,856 Falconbridge Ltd. 300 15,855 POSCO -- SP ADR 230 15,387 Nucor Corp. 260 14,105 Newmont Mining Corp. 260 13,762 Mittal Steel NV Co. -- Class A 420 12,814 Anglo American PLC -- ADR 600 12,264 Alcan, Inc. 260 12,204 Barrick Gold Corp. 400 11,840 AngloGold Ashanti Ltd. -- SP ADR 210 10,105 Phelps Dodge Corp. + 70 5,751 -------------- Total Metals & Mining 413,631 -------------- Chemicals 0.8% Dow Chemical Co. 2,970 115,919 Lyondell Chemical Co. 3,360 76,138 Eastman Chemical Co. 500 27,000 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Airgas, Inc. 630 $ 23,467 Olin Corp. 720 12,910 Sensient Technologies Corp. 70 1,464 -------------- Total Chemicals 256,898 -------------- Paper & Forest Products 0.1% Louisiana-Pacific Corp. 1,230 26,937 Bowater, Inc. 260 5,915 -------------- Total Paper & Forest Products 32,852 -------------- Total Materials 703,381 -------------- TOTAL COMMON STOCKS (Cost $15,152,452) 15,083,619 -------------- FACE AMOUNT ----------- REPURCHASE AGREEMENTS 44.2% Collateralized by U.S. Treasury Obligations U.S. Bancorp at 5.17% due 07/03/06 $ 1,259,922 1,259,922 Credit Suisse at 4.55% due 07/03/06+ 4,016,499 4,016,499 Lehman Brothers, Inc. at 4.45% due 07/03/06 1,205 1,205 Bear Stearns Cos., Inc. at 4.40% due 07/03/06 4,023,284 4,023,284 Morgan Stanley at 4.40% due 07/03/06 2,279,861 2,279,861 Citigroup, Inc. at 4.10% due 07/03/06 2,346,916 2,346,916 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $13,927,687) 13,927,687 TOTAL LONG SECURITIES 92.1% (Cost $29,080,139) 29,011,306 -------------- SHARES ----------- COMMON STOCKS SOLD SHORT (39.1)% MATERIALS (1.5)% Construction Materials (0.1)% Martin Marietta Materials, Inc. 340 (30,991) -------------- Total Construction Materials (30,991) -------------- Containers & Packaging (0.3)% Temple-Inland, Inc. 340 (14,575) - -------------------------------------------------------------------------------- 6 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Pactiv Corp.* 2,440 $ (60,390) -------------- Total Containers & Packaging (74,965) -------------- Paper & Forest Products (0.3)% MeadWestvaco Corp. 1,330 (37,147) Weyerhaeuser Co. 1,020 (63,495) -------------- Total Paper & Forest Products (100,642) -------------- Chemicals (0.8)% Valspar Corp. 420 (11,092) Scotts Miracle-Gro Co. -- Class A 280 (11,850) Chemtura Corp. 2,530 (23,630) PPG Industries, Inc. 360 (23,760) E.I. du Pont de Nemours and Co. 1,010 (42,016) Hercules, Inc.* 2,790 (42,576) Ecolab, Inc. 2,530 (102,667) -------------- Total Chemicals (257,591) -------------- Total Materials (464,189) -------------- UTILITIES (1.6)% Water Utilities (0.1)% Aqua America, Inc. 1,480 (33,729) -------------- Total Water Utilities (33,729) -------------- Gas Utilities (0.2)% Peoples Energy Corp. 70 (2,514) Equitable Resources, Inc. 2,250 (75,375) -------------- Total Gas Utilities (77,889) -------------- Multi-Utilities (0.3)% NSTAR 530 (15,158) NiSource, Inc. 950 (20,748) KeySpan Corp. 1,070 (43,228) -------------- Total Multi-Utilities (79,134) -------------- Electric Utilities (1.0)% Allegheny Energy, Inc.* 620 (22,983) PPL Corp. 950 (30,685) DPL, Inc. 1,330 (35,644) Exelon Corp. 4,150 (235,845) -------------- Total Electric Utilities (325,157) -------------- Total Utilities (515,909) -------------- ENERGY (3.4)% Oil & Gas (1.7)% Southwestern Energy Co.* 1,080 (33,653) Arch Coal, Inc. 870 (36,862) Newfield Exploration Co.* 880 (43,067) Murphy Oil Corp. 960 (53,625) Quicksilver Resources, Inc.* 2,330 (85,767) El Paso Corp. 8,960 (134,400) MARKET SHARES VALUE - ------------------------------------------------------------------------------- Kinder Morgan, Inc. 1,540 $ (153,831) -------------- Total Oil & Gas (541,205) -------------- Energy Equipment & Services (1.7)% FMC Technologies, Inc.* 1,410 (95,119) Schlumberger Ltd. 1,680 (109,385) Weatherford International Ltd.* 3,160 (156,799) Halliburton Co. 2,450 (181,814) -------------- Total Energy Equipment & Services (543,117) -------------- Total Energy (1,084,322) -------------- INDUSTRIALS (3.8)% Electrical Equipment 0.0% American Power Conversion Corp. 440 (8,576) -------------- Total Electrical Equipment (8,576) -------------- Road & Rail 0.0% J.B. Hunt Transport Services, Inc. 500 (12,455) -------------- Total Road & Rail (12,455) -------------- Airlines (0.2)% JetBlue Airways Corp.* 1,720 (20,881) AirTran Holdings, Inc.* 2,120 (31,503) -------------- Total Airlines (52,384) -------------- Aerospace & Defense (0.3)% United Technologies Corp. 1,589 (100,774) -------------- Total Aerospace & Defense (100,774) -------------- Machinery (0.5)% Tecumseh Products Co. -- Class A* 350 (6,720) Joy Global, Inc. 270 (14,064) ITT Industries, Inc. 720 (35,640) Ingersoll-Rand Co. -- Class A 1,039 (44,449) SPX Corp. 880 (49,236) -------------- Total Machinery (150,109) -------------- Trading Companies & Distributors (0.5)% GATX Corp. 350 (14,875) United Rentals, Inc.* 559 (17,877) MSC Industrial Direct Co. -- Class A 400 (19,028) Fastenal Co. 2,469 (99,476) -------------- Total Trading Companies & Distributors (151,256) -------------- - -------------------------------------------------------------------------------- 7 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Air Freight & Couriers (0.8)% Expeditors International Washington, Inc. 1,740 $ (97,457) CH Robinson Worldwide, Inc. 2,580 (137,514) -------------- Total Air Freight & Couriers (234,971) -------------- Commercial Services & Supplies (1.5)% Monster Worldwide, Inc.* 330 (14,078) Navigant Consulting, Inc.* 630 (14,270) Deluxe Corp. 1,680 (29,367) Herman Miller, Inc. 2,090 (53,859) Avery Dennison Corp. 1,040 (60,382) Cintas Corp. 1,620 (64,411) Stericycle, Inc.* 1,150 (74,865) Pitney Bowes, Inc. 1,830 (75,579) Corporate Executive Board Co. 820 (82,164) -------------- Total Commercial Services & Supplies (468,975) -------------- Total Industrials (1,179,500) -------------- CONSUMER DISCRETIONARY (4.1)% Multiline Retail (0.1)% Big Lots, Inc.* 1,290 (22,033) -------------- Total Multiline Retail (22,033) -------------- Leisure Equipment & Products (0.1)% Mattel, Inc. 2,230 (36,817) -------------- Total Leisure Equipment & Products (36,817) -------------- Household Durables (0.1)% Harman International Industries, Inc. 580 (49,515) -------------- Total Household Durables (49,515) -------------- Auto Components (0.2)% Gentex Corp. 310 (4,340) Lear Corp. 220 (4,886) ArvinMeritor, Inc. 410 (7,048) Cooper Tire & Rubber Co. 1,060 (11,808) Johnson Controls, Inc. 350 (28,777) -------------- Total Auto Components (56,859) -------------- Automobiles (0.3)% Thor Industries, Inc. 350 (16,957) General Motors Corp. 2,420 (72,092) -------------- Total Automobiles (89,049) -------------- Internet & Catalog Retail (0.3)% Amazon.com, Inc.* 2,470 (95,540) -------------- Total Internet & Catalog Retail (95,540) -------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Textiles & Apparel (0.4)% Timberland Co. -- Class A* 490 $ (12,789) Coach, Inc.* 3,580 (107,042) -------------- Total Textiles & Apparel (119,831) -------------- Specialty Retail (0.5)% O'Reilly Automotive, Inc.* 640 (19,962) OfficeMax, Inc. 630 (25,673) Urban Outfitters, Inc.* 1,680 (29,383) Office Depot, Inc.* 960 (36,480) CarMax, Inc.* 1,240 (43,970) -------------- Total Specialty Retail (155,468) -------------- Commercial Services & Supplies (0.5)% DeVry, Inc.* 820 (18,016) ITT Educational Services, Inc.* 310 (20,401) Sotheby's Holdings, Inc. -- Class A* 1,000 (26,250) Apollo Group, Inc. -- Class A* 630 (32,552) H&R Block, Inc. 3,020 (72,057) -------------- Total Commercial Services & Supplies (169,276) -------------- Hotels, Restaurants & Leisure (0.8)% Cheesecake Factory, Inc.* 1,150 (30,993) International Game Technology, Inc. 1,060 (40,216) Harrah's Entertainment, Inc. 670 (47,691) Starbucks Corp.* 3,170 (119,699) -------------- Total Hotels, Restaurants & Leisure (238,599) -------------- Media (0.8)% Reader's Digest Association, Inc. 1,150 (16,054) McGraw-Hill Cos., Inc. 730 (36,668) Dow Jones & Co., Inc. 1,050 (36,760) Interpublic Group of Cos., Inc.* 7,880 (65,798) Time Warner, Inc. 6,390 (110,547) -------------- Total Media (265,827) -------------- Total Consumer Discretionary (1,298,814) -------------- CONSUMER STAPLES (4.3)% Personal Products 0.0% Avon Products, Inc. 230 (7,130) -------------- Total Personal Products (7,130) -------------- Tobacco (0.2)% Universal Corp./VA 1,180 (43,920) -------------- Total Tobacco (43,920) -------------- - -------------------------------------------------------------------------------- 8 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Food & Drug Retailing (0.8)% Whole Foods Market, Inc. 3,930 $ (254,035) -------------- Total Food & Drug Retailing (254,035) -------------- Beverages (0.9)% Constellation Brands, Inc. -- Class A* 1,920 (48,000) Molson Coors Brewing Co. -- Class B 1,610 (109,287) Brown-Forman Corp. -- Class B 1,730 (124,023) -------------- Total Beverages (281,310) -------------- Food Products (2.4)% J.M. Smucker Co. 750 (33,525) McCormick & Co., Inc. 4,160 (139,568) Sara Lee Corp. 9,380 (150,268) Hershey Co. 7,800 (429,546) -------------- Total Food Products (752,907) -------------- Total Consumer Staples (1,339,302) -------------- HEALTH CARE (4.5)% Health Care Equipment & Supplies (0.5)% Advanced Medical Optics, Inc.* 780 (39,546) Varian Medical Systems, Inc.* 1,350 (63,922) Boston Scientific Corp.* 4,190 (70,560) -------------- Total Health Care Equipment & Supplies (174,028) -------------- Health Care Providers & Services (1.1)% Tenet Healthcare Corp.* 2,589 (18,071) Patterson Cos., Inc.* 810 (28,293) AmerisourceBergen Corp. 820 (34,374) Quest Diagnostics, Inc. 780 (46,738) Aetna, Inc. 1,350 (53,906) CIGNA Corp. 660 (65,017) UnitedHealth Group, Inc. 2,050 (91,799) -------------- Total Health Care Providers & Services (338,198) -------------- Biotechnology (1.2)% Martek Biosciences Corp.* 410 (11,870) PDL BioPharma, Inc.* 1,740 (32,033) Vertex Pharmaceuticals, Inc.* 1,510 (55,432) Gilead Sciences, Inc.* 2,350 (139,026) Medimmune, Inc.* 5,700 (154,470) -------------- Total Biotechnology (392,831) -------------- Pharmaceuticals (1.7)% Perrigo Co. 1,550 (24,955) MARKET SHARES VALUE - ------------------------------------------------------------------------------- Allergan, Inc. 1,000 $ (107,260) Sepracor, Inc.* 2,120 (121,137) Pfizer, Inc. 11,469 (269,177) -------------- Total Pharmaceuticals (522,529) -------------- Total Health Care (1,427,586) -------------- INFORMATION TECHNOLOGY (7.8)% Electronic Equipment & Instruments (0.4)% Symbol Technologies, Inc. 1,640 (17,695) KEMET Corp.* 2,430 (22,405) Plexus Corp.* 810 (27,710) National Instruments Corp. 2,070 (56,718) -------------- Total Electronic Equipment & Instruments (124,528) -------------- Software (0.7)% Mercury Interactive Corp.* 520 (18,184) Advent Software, Inc.* 830 (29,938) Adobe Systems, Inc.* 1,220 (37,039) Symantec Corp.* 2,779 (43,186) Electronic Arts, Inc.* 2,130 (91,675) -------------- Total Software (220,022) -------------- Communications Equipment (1.4)% Utstarcom, Inc.* 5,199 (40,500) Ciena Corp.* 10,130 (48,726) F5 Networks, Inc.* 1,090 (58,293) Qualcomm, Inc. 7,560 (302,929) -------------- Total Communications Equipment (450,448) -------------- Computers & Peripherals (1.6)% Diebold, Inc. 450 (18,279) Lexmark International, Inc.* 530 (29,590) Dell, Inc.* 3,139 (76,623) Sun Microsystems, Inc.* 24,809 (102,957) International Business Machines Corp. 1,520 (116,767) Network Appliance, Inc.* 4,200 (148,260) -------------- Total Computers & Peripherals (492,476) -------------- IT Consulting & Services (1.6)% SRA International, Inc. -- Class A* 430 (11,451) Unisys Corp.* 6,730 (42,264) Gartner, Inc. -- Class A* 4,070 (57,794) Electronic Data Systems Corp. 4,040 (97,202) Cognizant Technology Solutions Corp. -- Class A* 1,950 (131,372) Paychex, Inc. 4,150 (161,767) -------------- Total IT Consulting & Services (501,850) -------------- - -------------------------------------------------------------------------------- 9 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Semiconductor & Semiconductor Equipment (2.1)% Lattice Semiconductor Corp.* 3,830 $ (23,669) Silicon Laboratories, Inc.* 770 (27,065) RF Micro Devices, Inc.* 4,540 (27,104) Cypress Semiconductor Corp.* 2,510 (36,495) Teradyne, Inc.* 3,130 (43,601) PMC - Sierra, Inc.* 5,140 (48,316) Analog Devices, Inc. 2,840 (91,278) Xilinx, Inc. 4,470 (101,246) Applied Materials, Inc. 8,510 (138,543) Broadcom Corp. -- Class A* 4,700 (141,235) -------------- Total Semiconductor & Semiconductor Equipment (678,552) -------------- Total Information Technology (2,467,876) -------------- FINANCIALS (8.1)% Thrifts & Mortgage Finance (0.2)% New York Community Bancorp, Inc. 3,210 (52,997) -------------- Total Thrifts & Mortgage Finance (52,997) -------------- Consumer Finance (0.4)% SLM Corp. 2,250 (119,070) -------------- Total Consumer Finance (119,070) -------------- Diversified Financials (0.4)% Moody's Corp. 2,190 (119,268) -------------- Total Diversified Financials (119,268) -------------- Banks (1.4)% Mercantile Bankshares Corp. 900 (32,103) First Horizon National Corp. 900 (36,180) Huntington Bancshares, Inc. 1,570 (37,021) North Fork Bancorporation, Inc. 1,970 (59,435) Fifth Third Bancorp 1,890 (69,835) SunTrust Banks, Inc. 1,110 (84,649) National City Corp. 3,260 (117,979) -------------- Total Banks (437,202) -------------- Capital Markets (1.6)% Legg Mason, Inc. 70 (6,966) Franklin Resources, Inc. 110 (9,549) Janus Capital Group, Inc. 840 (15,036) Waddell & Reed Financial, Inc. -- Class A 2,230 (45,849) Eaton Vance Corp. 2,470 (61,651) MARKET SHARES VALUE - ------------------------------------------------------------------------------- Federated Investors, Inc. -- Class B 2,450 $ (77,175) SEI Investments Co. 1,800 (87,984) Charles Schwab Corp. 5,610 (89,648) T. Rowe Price Group, Inc. 2,860 (108,137) -------------- Total Capital Markets (501,995) -------------- Real Estate (1.7)% Potlatch Corp. 470 (17,742) Rayonier, Inc. 680 (25,779) Vornado Realty Trust 980 (95,599) Public Storage, Inc. 1,590 (120,681) United Dominion Realty Trust, Inc. 4,450 (124,645) Simon Property Group, Inc. 2,000 (165,880) -------------- Total Real Estate (550,326) -------------- Insurance (2.4)% Stancorp Financial Group, Inc. 500 (25,455) HCC Insurance Holdings, Inc. 950 (27,968) Arthur J. Gallagher & Co. 1,460 (36,996) Ambac Financial Group, Inc. 590 (47,849) Everest Re Group Ltd. 660 (57,136) Brown & Brown, Inc. 3,300 (96,426) ACE Ltd. 1,990 (100,674) Progressive Corp. 4,290 (110,296) Marsh & McLennan Cos., Inc. 4,920 (132,299) XL Capital Ltd. 2,190 (134,247) -------------- Total Insurance (769,346) -------------- Total Financials (2,550,204) -------------- TOTAL COMMON STOCKS SOLD SHORT (Proceeds $12,779,117) (12,327,702) -------------- TOTAL INVESTMENTS 53.0% (Cost $16,301,022) $ 16,683,604 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 47.0% $ 14,812,521 -------------- NET ASSETS - 100.0% $ 31,496,125 - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED September 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $4,768,420) 62 $ 123,974 - -------------------------------------------------------------------------------- 10 HEDGED EQUITY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- UNREALIZED CONTRACTS GAIN - ------------------------------------------------------------------------------- September 2006 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $4,492,520) 62 76,420 September 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $6,654,700) 104 27,376 (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $15,915,640) $ 227,770 -------------- * Non-Income Producing Security. + All or a portion of this security was held as short security collateral at June 30, 2006. ADR - American Depository Receipt. - -------------------------------------------------------------------------------- 11 ESSENTIAL PORTFOLIO CONSERVATIVE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MUTUAL FUNDS 100.0% Rydex Investments Multi-Cap Core Equity Fund - Class A 1,491 $ 24,072 Rydex Investments Absolute Return Strategies Fund - Class A 807 20,706 Rydex Investments U.S. Government Money Market Fund - Class A 20,400 20,400 Rydex Investments Government Long Bond Advantage Fund - Class A 1,671 16,626 Rydex Investments Europe Advantage Fund - Class A 314 6,426 Rydex Investments Commodities Fund - Class A 185 5,406 Rydex Investments Hedged Equity Fund - Class A 115 2,958 Rydex Investments Small-Cap Value Fund - Class A 86 2,754 Rydex Investments Sector Rotation Fund - Class A 200 2,652 -------------- TOTAL MUTUAL FUNDS (Cost $102,000) 102,000 -------------- TOTAL INVESTMENTS 100.0% (Cost $102,000) $ 102,000 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - --% $ -- -------------- NET ASSETS - 100.0% $ 102,000 - -------------------------------------------------------------------------------- 1 ESSENTIAL PORTFOLIO MODERATE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MUTUAL FUNDS 100.0% Rydex Investments Multi-Cap Core Equity Fund - Class A 1,375 $ 22,200 Rydex Investments Absolute Return Strategies Fund - Class A 744 19,100 Rydex Investments Government Long Bond Advantage Fund - Class A 1,437 14,300 Rydex Investments Europe Advantage Fund - Class A 586 12,000 Rydex Investments Japan Advantage Fund - Class A 229 8,700 Rydex Investments Commodities Fund - Class A 298 8,700 Rydex Investments Nova Fund - Class A 227 6,100 Rydex Investments OTC Fund - Class A 514 5,200 Rydex Investments Sector Rotation Fund - Class A 278 3,700 -------------- TOTAL MUTUAL FUNDS (Cost $100,000) 100,000 -------------- TOTAL INVESTMENTS 100.0% (Cost $100,000) $ 100,000 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - --% $ -- -------------- NET ASSETS - 100.0% $ 100,000 - -------------------------------------------------------------------------------- 1 ESSENTIAL PORTFOLIO AGGRESSIVE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MUTUAL FUNDS 100.0% Rydex Investments Multi-Cap Core Equity Fund - Class A 1,218 $ 19,656 Rydex Investments Japan Advantage Fund - Class A 418 15,912 Rydex Investments Absolute Return Strategies Fund - Class A 486 12,480 Rydex Investments Europe Advantage Fund - Class A 589 12,064 Rydex Investments Commodities Fund - Class A 367 10,712 Rydex Investments Sector Rotation Fund - Class A 696 9,256 Rydex Investments Dynamic S&P 500 Fund - Class A 192 7,592 Rydex Investments Government Long Bond Advantage Fund - Class A 690 6,864 Rydex Investments Russell 2000 Advantage Fund - Class A 134 4,576 Rydex Investments Hedged Equity Fund - Class A 101 2,600 Rydex Investments Dynamic OTC Fund - Class A 118 2,288 -------------- TOTAL MUTUAL FUNDS (Cost $104,000) 104,000 -------------- TOTAL INVESTMENTS 100.0% (Cost $104,000) $ 104,000 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - --% $ -- -------------- NET ASSETS - 100.0% $ 104,000 - -------------------------------------------------------------------------------- 1 BANKING FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.1% Bank of America Corp. 15,661 $ 753,294 J.P. Morgan Chase & Co.+ 14,204 596,568 Wells Fargo & Co.+ 8,014 537,579 Wachovia Corp.+ 8,318 449,837 U.S. Bancorp+ 11,993 370,344 Washington Mutual, Inc.+ 7,627 347,639 Fannie Mae+ 6,908 332,275 Freddie Mac+ 5,282 301,127 SunTrust Banks, Inc.+ 3,480 265,385 Golden West Financial Corp. 3,327 246,863 Countrywide Financial Corp.+ 6,447 245,502 BB&T Corp.+ 5,735 238,519 National City Corp.+ 6,442 233,136 PNC Financial Services Group, Inc.+ 3,240 227,351 Fifth Third Bancorp+ 5,821 215,086 Regions Financial Corp.+ 5,667 187,691 North Fork Bancorporation, Inc. 6,138 185,183 KeyCorp 5,163 184,216 M&T Bank Corp.+ 1,560 183,955 Marshall & Ilsley Corp.+ 3,584 163,932 AmSouth Bancorp+ 5,479 144,919 UnionBanCal Corp.+ 2,222 143,519 Synovus Financial Corp.+ 5,211 139,551 Hudson City Bancorp, Inc. 10,293 137,206 Sovereign Bancorp, Inc.+ 6,580 133,639 Compass Bancshares, Inc. 2,394 133,106 Zions Bancorporation 1,707 133,044 Comerica, Inc.+ 2,533 131,691 TD Banknorth, Inc. 4,379 128,962 Commerce Bancorp, Inc./NJ+ 3,493 124,595 First Horizon National Corp.+ 2,794 112,319 MGIC Investment Corp.+ 1,726 112,190 Huntington Bancshares, Inc.+ 4,659 109,859 Popular, Inc. 5,678 109,018 Radian Group, Inc. 1,762 108,856 People's Bank/ Bridgeport CT 3,284 107,879 New York Community Bancorp, Inc.+ 6,264 103,419 PMI Group, Inc. 2,298 102,445 Mercantile Bankshares Corp. 2,827 100,839 Colonial BancGroup, Inc. 3,920 100,666 Cullen/Frost Bankers, Inc. 1,726 98,900 Associated Banc-Corp. 3,085 97,270 BOK Financial Corp. 1,895 94,125 IndyMac Bancorp, Inc.+ 2,035 93,305 Astoria Financial Corp.+ 3,026 92,142 TCF Financial Corp.+ 3,466 91,676 Valley National Bancorp+ 3,452 88,751 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Wilmington Trust Corp.+ 2,056 $ 86,722 Commerce Bancshares, Inc. 1,668 83,483 Bank of Hawaii Corp. 1,667 82,683 Texas Regional Bancshares, Inc. -- Class A 2,138 81,073 Capital Federal Financial 2,342 80,307 Fulton Financial Corp. 5,014 79,823 City National Corp. 1,189 77,392 Whitney Holding Corp. 2,153 76,152 Webster Financial Corp.+ 1,560 74,006 Sky Financial Group, Inc.+ 3,080 72,719 East-West Bancorp, Inc. 1,895 71,839 South Financial Group, Inc. 2,605 68,798 Washington Federal, Inc.+ 2,925 67,831 Downey Financial Corp. 987 66,968 Cathay General Bancorp 1,800 65,484 First Midwest Bancorp, Inc./IL+ 1,735 64,334 International Bancshares Corp.+ 2,330 64,028 United Bankshares, Inc. 1,735 63,553 NewAlliance Bancshares, Inc. 4,300 61,533 Central Pacific Financial Corp. 1,580 61,146 First Niagara Financial Group, Inc. 4,350 60,987 Greater Bay Bancorp+ 2,110 60,662 First Republic Bank+ 1,295 59,311 Westamerica Bancorporation 1,195 58,519 MAF Bancorp, Inc. 1,365 58,477 SVB Financial Group* 1,275 57,961 Bankunited Financial Corp. -- Class A+ 1,895 57,835 FirstMerit Corp.+ 2,750 57,585 UCBH Holdings, Inc.+ 3,450 57,063 Provident Bankshares Corp. 1,555 56,586 Chittenden Corp. 2,055 53,122 Fremont General Corp.+ 2,855 52,989 Flagstar Bancorp, Inc.+ 3,300 52,668 Wintrust Financial Corp. 1,035 52,630 Sterling Financial Corp./WA 1,691 51,592 Prosperity Bancshares, Inc.+ 1,555 51,144 Hanmi Financial Corp. 2,580 50,155 Susquehanna Bancshares, Inc. 2,085 49,831 Republic Bancorp, Inc./MI 3,983 49,349 Sterling Bancshares, Inc./TX 2,615 49,031 Umpqua Holding Corp.+ 1,895 48,607 FirstFed Financial Corp.*+ 837 48,270 Harbor Florida Bancshares, Inc.+ 1,290 47,911 W Holding Co., Inc.+ 7,120 47,348 Glacier Bancorp, Inc. 1,605 46,978 BankAtlantic Bancorp, Inc. -- Class A+ 3,035 45,039 - -------------------------------------------------------------------------------- 1 BANKING FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- PrivateBancorp, Inc.+ 1,060 $ 43,895 Boston Private Financial Holdings, Inc.+ 1,555 43,384 Brookline Bancorp, Inc. 3,135 43,169 TrustCo Bank Corp./NY+ 3,845 42,372 Anchor BanCorp Wisconsin, Inc. 1,351 40,760 Fidelity Bankshares, Inc. 1,245 39,616 Community Bank System, Inc.+ 1,895 38,222 Irwin Financial Corp. 1,920 37,229 First Bancorp Puerto Rico+ 3,899 36,261 Nara Bancorp, Inc. 1,925 36,094 Dime Community Bancshares 2,420 32,839 Franklin Bank Corp./Houston TX* 1,610 32,506 Doral Financial Corp.+ 4,795 30,736 -------------- TOTAL COMMON STOCKS (Cost $11,367,823) 12,667,980 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 69,309 69,309 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $69,309) 69,309 -------------- SECURITIES LENDING COLLATERAL 24.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 3,146,727 3,146,727 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $3,146,727) 3,146,727 ============== TOTAL INVESTMENTS 124.3% (Cost $14,583,859) $ 15,884,016 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (24.3)% $ (3,106,018) -------------- NET ASSETS - 100.0% $ 12,777,998 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 BASIC MATERIALS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.7% E.I. du Pont de Nemours and Co.+ 30,316 $ 1,261,146 Dow Chemical Co. 31,600 1,233,348 Alcoa, Inc.+ 34,659 1,121,565 Newmont Mining Corp.+ 18,409 974,388 Monsanto Co.+ 11,571 974,162 Nucor Corp.+ 15,820 858,235 Praxair, Inc. 15,695 847,530 Phelps Dodge Corp.+ 10,314 847,398 International Paper Co.+ 24,492 791,092 Southern Copper Corp.+ 8,562 763,131 Air Products & Chemicals, Inc.+ 11,816 755,279 Weyerhaeuser Co.+ 11,907 741,211 Rohm & Haas Co.+ 13,870 695,164 PPG Industries, Inc.+ 10,487 692,142 Ecolab, Inc.+ 16,709 678,051 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 11,524 638,545 United States Steel Corp.+ 8,687 609,132 Allegheny Technologies, Inc.+ 8,288 573,861 Vulcan Materials Co. 6,983 544,674 The Mosaic Co.*+ 33,551 525,073 Lyondell Chemical Co.+ 22,878 518,415 Sigma-Aldrich Corp.+ 6,543 475,284 MeadWestvaco Corp.+ 16,685 466,012 Eastman Chemical Co.+ 8,204 443,016 Temple-Inland, Inc. 10,242 439,075 Ashland, Inc.+ 6,490 432,883 Valhi, Inc. 16,610 407,775 Sealed Air Corp.+ 7,701 401,068 Carpenter Technology Corp.+ 3,353 387,271 Martin Marietta Materials, Inc.+ 4,242 386,658 Pactiv Corp.* 15,622 386,644 Quanex Corp.+ 8,970 386,338 Huntsman Corp.*+ 21,985 380,780 Steel Dynamics, Inc.+ 5,690 374,061 International Flavors & Fragrances, Inc.+ 10,549 371,747 Ball Corp.+ 10,020 371,141 Celanese Corp. 17,846 364,415 Bemis Co. 11,819 361,898 Sonoco Products Co. 11,073 350,460 Commercial Metals Co. 13,574 348,852 Florida Rock Industries, Inc. 7,013 348,336 Airgas, Inc. 9,131 340,130 Scotts Miracle-Gro Co. -- Class A 7,909 334,709 FMC Corp. 5,136 330,707 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Valspar Corp. 12,390 $ 327,220 Lubrizol Corp. 8,194 326,531 Nalco Holding Co.*+ 18,435 325,009 Owens-Illinois, Inc.*+ 19,255 322,714 Reliance Steel & Aluminum Co. 3,855 319,772 Albemarle Corp. 6,623 317,109 Crown Holdings, Inc.* 19,936 310,404 Packaging Corporation of America+ 13,957 307,333 Smurfit-Stone Container Corp.* 28,071 307,097 Cytec Industries, Inc.+ 5,722 307,043 Cabot Corp.+ 8,855 305,675 RPM International, Inc.+ 16,624 299,232 Worthington Industries, Inc.+ 13,630 285,549 Hercules, Inc.*+ 18,557 283,180 Louisiana-Pacific Corp.+ 12,817 280,692 Chaparral Steel Co.* 3,849 277,205 Chemtura Corp.+ 29,296 273,625 Cleveland-Cliffs, Inc. 3,262 258,644 AptarGroup, Inc. 5,178 256,881 Aleris International, Inc.* 5,231 239,841 RTI International Metals, Inc.* 4,211 235,142 OM Group, Inc.* 7,323 225,915 Sensient Technologies Corp. 10,378 217,004 H.B. Fuller Co. 4,908 213,842 Olin Corp. 11,894 213,259 Texas Industries, Inc.+ 4,006 212,719 Arch Chemicals, Inc. 5,763 207,756 Bowater, Inc.+ 8,920 202,930 Century Aluminum Co.*+ 5,665 202,184 Minerals Technologies, Inc.+ 3,790 197,080 Georgia Gulf Corp. 7,445 186,274 MacDermid, Inc. 6,346 182,765 PolyOne Corp.*+ 20,407 179,173 Amcol International Corp. 6,609 174,147 Headwaters, Inc.*+ 6,682 170,792 Deltic Timber Corp. 3,027 170,632 Ryerson Tull, Inc.+ 6,301 170,127 A. Schulman, Inc. 7,244 165,815 Myers Industries, Inc. 9,587 164,801 Rock-Tenn Co. -- Class A 10,115 161,334 Glatfelter+ 10,083 160,017 A.M. Castle & Co. 4,862 156,800 Wausau Paper Corp. 12,314 153,309 Ferro Corp. 9,391 149,880 Brush Engineered Materials, Inc.*+ 6,418 133,815 Neenah Paper, Inc.+ 4,353 132,549 Chesapeake Corp. 7,748 127,145 - -------------------------------------------------------------------------------- 1 BASIC MATERIALS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Schweitzer-Mauduit International, Inc. 5,204 $ 112,667 Buckeye Technologies, Inc.*+ 13,230 101,077 Tronox, Inc. 7,530 99,170 Caraustar Industries, Inc.* 10,904 98,136 Steel Technologies, Inc. 4,735 92,048 Penford Corp. 4,817 81,407 Quaker Chemical Corp. 4,346 81,270 Material Sciences Corp.* 7,154 64,601 Pope & Talbot, Inc.+ 10,053 62,630 Wellman, Inc.+ 14,712 59,436 -------------- TOTAL COMMON STOCKS (Cost $29,068,209) 37,183,206 -------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 0.3% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 94,102 94,102 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $94,101) 94,102 -------------- SECURITIES LENDING COLLATERAL 26.0% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 9,704,308 9,704,308 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $9,704,308) 9,704,308 -------------- TOTAL INVESTMENTS 126.0% (Cost $38,866,618) $ 46,981,616 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (26.0)% $ (9,686,579) -------------- NET ASSETS - 100.0% $ 37,295,037 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 BIOTECHNOLOGY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.2% Genentech, Inc.*+ 122,764 $ 10,042,095 Amgen, Inc.*+ 142,622 9,303,233 Gilead Sciences, Inc.*+ 94,500 5,590,620 Celgene Corp.*+ 96,753 4,588,995 Biogen Idec, Inc.*+ 92,580 4,289,231 Genzyme Corp.*+ 68,311 4,170,387 Applera Corp. - Applied Biosystems Group+ 91,445 2,958,246 Amylin Pharmaceuticals, Inc.*+ 52,287 2,581,409 Medimmune, Inc.*+ 90,331 2,447,970 Vertex Pharmaceuticals, Inc.*+ 59,807 2,195,515 ImClone Systems, Inc.*+ 54,442 2,103,639 Cephalon, Inc.*+ 34,150 2,052,415 Invitrogen Corp.*+ 30,169 1,993,266 Millennium Pharmaceuticals, Inc.*+ 193,068 1,924,888 Charles River Laboratories International, Inc.*+ 41,980 1,544,864 OSI Pharmaceuticals, Inc.*+ 44,060 1,452,218 Techne Corp.* 27,985 1,424,996 Illumina, Inc.*+ 45,845 1,359,763 Cubist Pharmaceuticals, Inc.*+ 53,224 1,340,180 Alkermes, Inc.*+ 70,826 1,340,028 Nektar Therapeutics*+ 72,144 1,323,121 ICOS Corp.*+ 59,672 1,312,187 Serologicals Corp.*+ 41,341 1,299,761 Human Genome Sciences, Inc.*+ 120,769 1,292,228 Affymetrix, Inc.*+ 49,623 1,270,349 United Therapeutics Corp.*+ 20,642 1,192,488 PDL BioPharma, Inc.*+ 64,258 1,182,990 BioMarin Pharmaceuticals, Inc.* 81,830 1,175,897 Alexion Pharmaceuticals, Inc.* 32,427 1,171,263 Zymogenetics, Inc.* 60,684 1,151,175 Myogen, Inc.*+ 37,480 1,086,920 Myriad Genetics, Inc.*+ 42,545 1,074,261 Digene Corp.*+ 26,376 1,021,806 Martek Biosciences Corp.*+ 34,348 994,375 Angiotech Pharmaceuticals, Inc.* 82,970 974,898 Medarex, Inc.*+ 101,081 971,388 Telik, Inc.*+ 57,003 940,550 Nuvelo, Inc.* 53,514 891,008 QLT, Inc.* 119,732 847,703 Encysive Pharmaceuticals, Inc.*+ 120,430 834,580 Progenics Pharmaceuticals, Inc.*+ 33,386 803,267 MARKET SHARES VALUE - -------------------------------------------------------------------------------- InterMune, Inc.*+ 46,086 $ 758,115 Onyx Pharmaceuticals, Inc.*+ 43,549 732,930 CV Therapeutics, Inc.*+ 49,563 692,395 Regeneron Pharmaceuticals, Inc.* 53,389 684,447 Geron Corp.*+ 97,766 674,585 Pharmion Corp.*+ 39,537 673,315 Idenix Pharmaceuticals, Inc.*+ 70,542 663,095 Nabi Biopharmaceuticals*+ 112,913 648,121 BioCryst Pharmaceuticals, Inc.*+ 43,920 629,374 Renovis, Inc.*+ 40,427 618,937 Arena Pharmaceuticals, Inc.*+ 46,570 539,281 Novavax, Inc.*+ 87,010 438,530 Genta, Inc.*+ 253,225 415,289 Momenta Pharmaceuticals, Inc.*+ 31,707 402,996 NPS Pharmaceuticals, Inc.*+ 80,719 393,909 Acadia Pharmaceuticals, Inc.*+ 42,160 355,830 AVI BioPharma, Inc.*+ 83,891 314,591 Neurocrine Biosciences, Inc.*+ 26,332 279,119 -------------- TOTAL COMMON STOCKS (Cost $57,522,653) 97,431,032 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 1.0% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 980,482 980,482 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $980,482) 980,482 -------------- SECURITIES LENDING COLLATERAL 39.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bankcorp 39,052,457 39,052,457 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $39,052,457) 39,052,457 ============== TOTAL INVESTMENTS 139.9% (Cost $97,555,592) $ 137,463,971 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (39.9)% $ (39,221,934) -------------- NET ASSETS - 100.0% $ 98,242,037 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- COMMODITIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 96.7% Credit Suisse at 4.55% due 07/03/06+ $ 7,251,761 $ 7,251,761 Lehman Brothers, Inc. at 4.45% due 07/03/06 36,157,933 36,157,933 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $43,409,694) 43,409,694 -------------- TOTAL INVESTMENTS 96.7% (Cost $43,409,694) $ 43,409,694 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 3.3% $ 1,471,417 -------------- NET ASSETS - 100.0% $ 44,881,111 - ------------------------------------------------------------------------------- UNREALIZED UNITS GAIN - ------------------------------------------------------------------------------- COMMODITY INDEX SWAP AGREEMENT August 2006 Goldman Sachs Commodity Index Swap, Maturing 08/31/06* (Notional Market Value $44,538,029) 6,384 $ 349,980 * Price Return based on Goldman Sachs Commodity Index +/- financing at a variable rate. + All or a portion of this security is held as equity index swap collateral at June 30, 2006. - -------------------------------------------------------------------------------- 1 CONSUMER PRODUCTS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.9% Procter & Gamble Co. 56,680 $ 3,151,408 Altria Group, Inc.+ 40,654 2,985,223 Coca-Cola Co. 56,430 2,427,619 PepsiCo, Inc. 40,157 2,411,026 Kraft Foods, Inc. -- Class A 55,915 1,727,773 Anheuser-Busch Cos., Inc.+ 31,961 1,457,102 Archer-Daniels-Midland Co.+ 33,070 1,365,130 Colgate-Palmolive Co. 22,594 1,353,381 Kimberly-Clark Corp.+ 21,200 1,308,040 Kellogg Co. 22,759 1,102,218 General Mills, Inc.+ 19,880 1,027,001 Reynolds American, Inc.+ 8,870 1,022,711 Sysco Corp.+ 32,958 1,007,196 Campbell Soup Co. 26,651 989,019 Kroger Co.+ 44,767 978,607 H.J. Heinz Co.+ 22,290 918,794 Avon Products, Inc. 28,768 891,808 Hershey Co.+ 16,154 889,601 Safeway, Inc.+ 31,729 824,954 ConAgra Foods, Inc.+ 36,906 815,992 WM Wrigley Jr Co.+ 17,492 793,437 Sara Lee Corp.+ 48,912 783,570 Coca-Cola Enterprises, Inc. 36,210 737,598 Clorox Co. 11,882 724,445 Whole Foods Market, Inc.+ 10,850 701,344 Estee Lauder Cos., Inc. -- Class A+ 17,946 693,972 Brown-Forman Corp. -- Class B 9,448 677,327 Pepsi Bottling Group, Inc.+ 21,037 676,340 UST, Inc.+ 14,830 670,168 Supervalu, Inc.+ 20,961 643,503 Hansen Natural Corp.* 3,100 590,147 Molson Coors Brewing Co. -- Class B+ 8,370 568,156 Tyson Foods, Inc. -- Class A+ 38,130 566,612 Hormel Foods Corp. 15,146 562,522 Constellation Brands, Inc. -- Class A* 22,295 557,375 Dean Foods Co.*+ 14,370 534,420 Alberto-Culver Co. -- Class B 10,670 519,842 McCormick & Co., Inc.+ 14,846 498,083 Energizer Holdings, Inc.*+ 8,150 477,345 Loews Corp. - Carolina Group 8,990 461,816 Smithfield Foods, Inc.*+ 14,602 420,976 J.M. Smucker Co. 9,100 406,770 PepsiAmericas, Inc.+ 17,600 389,136 Church & Dwight Co., Inc. 9,900 360,558 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Corn Products International, Inc. 11,750 $ 359,550 Del Monte Foods Co. 30,770 345,547 Pilgrim's Pride Corp.+ 13,150 339,270 NBTY, Inc.*+ 12,960 309,874 Flowers Foods, Inc.+ 10,730 307,307 Tootsie Roll Industries, Inc.+ 10,293 299,835 Casey's General Stores, Inc. 11,130 278,361 Ralcorp Holdings, Inc.* 6,440 273,893 United Natural Foods, Inc.*+ 8,190 270,434 Lancaster Colony Corp. 6,607 260,778 Ruddick Corp.+ 10,460 256,375 Performance Food Group Co.*+ 8,230 250,027 Delta & Pine Land Co. 8,180 240,492 Hain Celestial Group, Inc.*+ 9,051 233,154 Universal Corp./VA 6,180 230,020 Lance, Inc. 8,640 198,893 Sanderson Farms, Inc.+ 7,000 195,930 TreeHouse Foods, Inc.* 8,116 193,891 Playtex Products, Inc.* 18,490 192,851 USANA Health Sciences, Inc.*+ 4,980 188,742 Great Atlantic & Pacific Tea Co.+ 8,120 184,486 WD-40 Co.+ 5,430 182,285 J&J Snack Foods Corp.+ 5,458 180,496 Peet's Coffee & Tea, Inc.*+ 5,030 151,856 Spectrum Brands, Inc.*+ 11,540 149,097 Alliance One International, Inc. 33,164 147,248 American Italian Pasta Co. -- Class A*+ 12,870 110,167 Nash Finch Co.+ 4,906 104,449 Natures Sunshine Products, Inc. 8,186 76,375 -------------- TOTAL COMMON STOCKS (Cost $45,384,294) 49,181,748 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 269,951 269,951 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $269,951) 269,951 -------------- - -------------------------------------------------------------------------------- 1 CONSUMER PRODUCTS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 18.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 9,017,003 $ 9,017,003 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $9,017,003) 9,017,003 -------------- TOTAL INVESTMENTS 118.8% (Cost $54,671,248) $ 58,468,702 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (18.8)% $ (9,252,127) -------------- NET ASSETS - 100.0% $ 49,216,575 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 1 ELECTRONICS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.1% Intel Corp. 195,043 $ 3,696,065 Texas Instruments, Inc.+ 78,870 2,388,972 Applied Materials, Inc. 108,077 1,759,494 Micron Technology, Inc.*+ 76,434 1,151,096 Analog Devices, Inc. 34,886 1,121,236 Linear Technology Corp.+ 33,302 1,115,284 Broadcom Corp. -- Class A*+ 37,065 1,113,803 Maxim Integrated Products, Inc.+ 33,138 1,064,061 Advanced Micro Devices, Inc.*+ 43,024 1,050,646 Freescale Semiconductor, Inc. -- Class B*+ 35,181 1,034,321 MEMC Electronic Materials, Inc.*+ 26,902 1,008,825 KLA-Tencor Corp.+ 22,912 952,452 Lam Research Corp.* 20,351 948,764 Xilinx, Inc.+ 41,520 940,428 National Semiconductor Corp.+ 39,280 936,828 Microchip Technology, Inc.+ 27,331 916,955 Nvidia Corp.* 39,392 838,656 Altera Corp.*+ 47,071 826,096 Novellus Systems, Inc.*+ 26,541 655,563 Atmel Corp.*+ 114,518 635,575 LSI Logic Corp.*+ 65,982 590,539 Integrated Device Technology, Inc.*+ 41,415 587,265 Intersil Corp. -- Class A 25,013 581,552 International Rectifier Corp.*+ 14,765 577,016 Agere Systems, Inc.* 38,912 572,006 Teradyne, Inc.*+ 40,317 561,616 Varian Semiconductor Equipment Associates, Inc.*+ 16,132 526,065 Fairchild Semiconductor International, Inc.*+ 28,483 517,536 Cymer, Inc.*+ 10,304 478,724 Cypress Semiconductor Corp.*+ 32,332 470,107 PMC - Sierra, Inc.*+ 43,888 412,547 Microsemi Corp.* 16,853 410,876 Cree, Inc.*+ 17,209 408,886 Silicon Laboratories, Inc.* 11,317 397,793 Diodes, Inc.* 8,840 366,330 FEI Co.*+ 14,744 334,394 Semtech Corp.*+ 22,768 328,998 MARKET SHARES VALUE - ------------------------------------------------------------------------------- RF Micro Devices, Inc.*+ 52,786 $ 315,132 ATMI, Inc.* 12,595 310,089 Veeco Instruments, Inc.*+ 12,825 305,748 Brooks Automation, Inc.*+ 25,829 304,782 Skyworks Solutions, Inc.*+ 54,716 301,485 Lattice Semiconductor Corp.*+ 46,614 288,075 DSP Group, Inc.*+ 11,496 285,676 Cabot Microelectronics Corp.* 9,136 276,912 Axcelis Technologies, Inc.*+ 46,837 276,338 Supertex, Inc.* 6,771 270,434 Triquint Semiconductor, Inc.*+ 60,395 269,362 Micrel, Inc.*+ 26,847 268,738 Advanced Energy Industries, Inc.*+ 20,056 265,541 Applied Micro Circuits Corp.*+ 95,932 261,894 Photronics, Inc.* 16,753 247,944 Exar Corp.* 17,800 236,206 Standard Microsystems Corp.* 10,243 223,605 Power Integrations, Inc.* 12,321 215,371 Rudolph Technologies, Inc.*+ 14,539 210,815 Actel Corp.* 14,344 205,836 Cohu, Inc. 11,628 204,071 Kulicke & Soffa Industries, Inc.* 26,516 196,484 Ultratech, Inc.*+ 11,143 175,391 Pericom Semiconductor Corp.*+ 18,385 152,596 Kopin Corp.*+ 41,752 150,725 Credence Systems Corp.*+ 41,622 145,677 ESS Technologies, Inc.* 38,709 83,611 -------------- TOTAL COMMON STOCKS (Cost $26,803,944) 38,725,908 -------------- - -------------------------------------------------------------------------------- 1 ELECTRONICS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 5.2% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 2,009,851 $ 2,009,851 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,009,851) 2,009,851 -------------- SECURITIES LENDING COLLATERAL 22.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank 8,952,720 8,952,720 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $8,952,720) 8,952,720 -------------- TOTAL INVESTMENTS 127.2% (Cost $37,766,515) $ 49,688,479 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (27.2)% $ (10,616,964) -------------- NET ASSETS - 100.0% $ 39,071,515 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 ENERGY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.5% Exxon Mobil Corp. 135,141 $ 8,290,900 BP PLC -- SP ADR 94,581 6,583,783 Total SA -- SP ADR 82,394 5,398,455 Chevron Corp.+ 83,582 5,187,099 Royal Dutch Shell PLC -- SP ADR+ 75,420 5,051,632 ConocoPhillips 64,091 4,199,883 Schlumberger Ltd.+ 58,225 3,791,030 Occidental Petroleum Corp.+ 29,085 2,982,667 Valero Energy Corp.+ 43,462 2,891,092 Halliburton Co. 35,842 2,659,835 Repsol YPF SA -- SP ADR+ 88,306 2,477,866 Baker Hughes, Inc.+ 30,157 2,468,350 Marathon Oil Corp. 29,585 2,464,431 Devon Energy Corp.+ 36,197 2,186,661 Transocean, Inc.*+ 27,150 2,180,688 Apache Corp. 30,245 2,064,221 Kerr-McGee Corp. 29,416 2,040,000 Anadarko Petroleum Corp.+ 40,991 1,954,861 Weatherford International Ltd.*+ 37,865 1,878,861 Hess Corp.+ 32,722 1,729,358 XTO Energy, Inc.+ 39,015 1,727,194 Peabody Energy Corp.+ 30,920 1,723,790 EOG Resources, Inc.+ 24,765 1,717,205 Williams Cos., Inc. 71,159 1,662,274 Kinder Morgan, Inc.+ 16,302 1,628,407 BJ Services Co.+ 41,236 1,536,453 El Paso Corp.+ 99,876 1,498,140 Murphy Oil Corp.+ 26,149 1,460,683 Chesapeake Energy Corp.+ 47,023 1,422,446 National-Oilwell Varco, Inc.*+ 22,284 1,411,023 Smith International, Inc.+ 31,564 1,403,651 Consol Energy, Inc.+ 29,952 1,399,357 Diamond Offshore Drilling, Inc.+ 16,241 1,363,107 Nabors Industries Ltd.*+ 39,838 1,346,126 Noble Corp.+ 17,532 1,304,731 Noble Energy, Inc.+ 27,216 1,275,342 Sunoco, Inc. 17,716 1,227,542 Newfield Exploration Co.*+ 23,596 1,154,788 Arch Coal, Inc.+ 26,160 1,108,399 ENSCO International, Inc.+ 23,273 1,071,024 Pioneer Natural Resources Co.+ 23,021 1,068,405 Grant Prideco, Inc.* 23,555 1,054,086 FMC Technologies, Inc.*+ 15,552 1,049,138 Cameron International Corp.* 21,846 1,043,583 Western Gas Resources, Inc.+ 16,910 1,012,064 Tesoro Corp.+ 13,558 1,008,173 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Pride International, Inc.*+ 30,772 $ 961,010 Southwestern Energy Co.* 30,788 959,354 Patterson-UTI Energy, Inc.+ 31,310 886,386 Frontier Oil Corp.+ 26,236 850,046 Oceaneering International, Inc.* 18,462 846,483 Denbury Resources, Inc.*+ 25,784 816,579 Range Resources Corp.+ 29,509 802,350 Cimarex Energy Co.+ 18,612 800,316 Helix Energy Solutions Group, Inc.*+ 19,446 784,841 Plains Exploration & Production Co.*+ 19,244 780,152 Maverick Tube Corp.*+ 12,096 764,346 Rowan Cos., Inc.+ 21,354 759,989 Massey Energy Co.+ 20,310 731,160 Overseas Shipholding Group, Inc. 12,235 723,700 Tetra Technologies, Inc.*+ 23,240 703,940 Helmerich & Payne, Inc. 11,652 702,150 Quicksilver Resources, Inc.*+ 18,940 697,181 Unit Corp.* 12,240 696,334 Tidewater, Inc.+ 13,796 678,763 Cabot Oil & Gas Corp.+ 13,650 668,850 Pogo Producing Co.+ 14,504 668,634 St. Mary Land & Exploration Co. 15,916 640,619 Veritas DGC, Inc.*+ 11,974 617,619 SEACOR Holdings, Inc.*+ 7,483 614,354 Hanover Compressor Co.*+ 31,537 592,265 Dresser-Rand Group, Inc.* 25,032 587,751 Forest Oil Corp.* 17,555 582,124 Hydril* 6,897 541,552 Lone Star Technologies, Inc.*+ 10,020 541,280 Atwood Oceanics, Inc.* 10,462 518,915 NS Group, Inc.*+ 9,395 517,477 Swift Energy Co.*+ 11,855 508,935 World Fuel Services Corp.+ 11,074 505,971 Stone Energy Corp.* 10,622 494,454 Remington Oil & Gas Corp.* 10,924 480,328 Penn Virginia Corp. 6,854 478,958 CARBO Ceramics, Inc.+ 8,762 430,477 Bristow Group, Inc.*+ 11,621 418,356 Lufkin Industries, Inc.+ 6,952 413,157 Input/Output, Inc.*+ 38,689 365,611 Petroleum Development Corp.* 8,045 303,297 Tronox, Inc. 1 13 -------------- TOTAL COMMON STOCKS (Cost $85,632,589) 129,594,881 -------------- - -------------------------------------------------------------------------------- 1 ENERGY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.7% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 965,047 $ 965,047 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $965,047) 965,047 -------------- SECURITIES LENDING COLLATERAL 25.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bankcorp 33,057,420 33,057,420 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $33,057,420) 33,057,420 ============== TOTAL INVESTMENTS 125.6% (Cost $119,655,056) $ 163,617,348 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (25.6)% $ (33,301,714) -------------- NET ASSETS - 100.0% $ 130,315,634 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 ENERGY SERVICES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 100.5% Schlumberger Ltd.+ 335,622 $ 21,852,348 Halliburton Co. 206,630 15,334,012 Baker Hughes, Inc.+ 173,845 14,229,213 Transocean, Inc.*+ 156,664 12,583,252 Weatherford International Ltd.*+ 218,107 10,822,469 BJ Services Co.+ 237,888 8,863,707 National-Oilwell Varco, Inc.*+ 128,316 8,124,969 Smith International, Inc.+ 182,067 8,096,519 Diamond Offshore Drilling, Inc.+ 93,330 7,833,187 Nabors Industries Ltd.*+ 229,859 7,766,936 Noble Corp.+ 101,083 7,522,597 ENSCO International, Inc.+ 134,275 6,179,336 Grant Prideco, Inc.* 135,701 6,072,620 FMC Technologies, Inc.*+ 89,880 6,063,305 Cameron International Corp.* 125,771 6,008,081 Pride International, Inc.*+ 177,159 5,532,676 Patterson-UTI Energy, Inc.+ 180,677 5,114,966 Oceaneering International, Inc.* 106,366 4,876,881 Helix Energy Solutions Group, Inc.*+ 111,731 4,509,463 Maverick Tube Corp.*+ 70,186 4,435,053 Rowan Cos., Inc.+ 122,957 4,376,040 Tetra Technologies, Inc.*+ 134,076 4,061,162 Helmerich & Payne, Inc. 67,177 4,048,086 Unit Corp.* 70,755 4,025,252 Tidewater, Inc.+ 79,387 3,905,840 SEACOR Holdings, Inc.*+ 43,652 3,583,829 Veritas DGC, Inc.*+ 68,749 3,546,073 Hanover Compressor Co.*+ 181,968 3,417,359 Dresser-Rand Group, Inc.* 144,081 3,383,022 Lone Star Technologies, Inc.*+ 57,839 3,124,463 Hydril*+ 39,714 3,118,343 Atwood Oceanics, Inc.*+ 60,796 3,015,482 NS Group, Inc.*+ 54,244 2,987,760 CARBO Ceramics, Inc.+ 50,777 2,494,674 Bristow Group, Inc.*+ 67,598 2,433,528 Lufkin Industries, Inc.+ 40,033 2,379,161 Input/Output, Inc.*+ 222,711 2,104,619 -------------- TOTAL COMMON STOCKS (Cost $145,626,078) 227,826,283 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 1.1% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 2,420,846 $ 2,420,846 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,420,846) 2,420,846 -------------- SECURITIES LENDING COLLATERAL 33.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 76,395,410 76,395,410 TOTAL SECURITIES LENDING COLLATERAL (Cost $76,395,410) 76,395,410 ============== TOTAL INVESTMENTS 135.3% (Cost $224,442,334) $ 306,642,539 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (35.3)% $ (79,978,167) -------------- NET ASSETS - 100.0% $ 226,664,372 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 1 FINANCIAL SERVICES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.6% Citigroup, Inc. 7,140 $ 344,434 Bank of America Corp. 6,940 333,814 American International Group, Inc. 4,572 269,977 J.P. Morgan Chase & Co.+ 6,088 255,696 Wells Fargo & Co.+ 3,375 226,395 Wachovia Corp.+ 3,740 202,259 Goldman Sachs Group, Inc. 1,336 200,974 Morgan Stanley 3,132 197,974 Merrill Lynch & Co., Inc.+ 2,675 186,073 Washington Mutual, Inc.+ 3,896 177,580 Fannie Mae+ 3,597 173,016 American Express Co.+ 3,180 169,240 Golden West Financial Corp. 2,140 158,788 Freddie Mac+ 2,745 156,492 SunTrust Banks, Inc. 2,019 153,969 MetLife, Inc.+ 3,001 153,681 Prudential Financial, Inc. 1,934 150,272 Capital One Financial Corp.+ 1,694 144,752 U.S. Bancorp+ 4,554 140,628 St. Paul Travelers Cos., Inc.+ 3,125 139,312 National City Corp.+ 3,845 139,151 North Fork Bancorporation, Inc. 4,579 138,148 Lehman Brothers Holdings, Inc.+ 2,110 137,466 M&T Bank Corp.+ 1,159 136,669 Countrywide Financial Corp.+ 3,484 132,671 PNC Financial Services Group, Inc. 1,876 131,639 Allstate Corp. 2,389 130,750 Marshall & Ilsley Corp.+ 2,833 129,581 Loews Corp. 3,643 129,144 Fifth Third Bancorp+ 3,377 124,780 Bank of New York Co., Inc. 3,869 124,582 Hartford Financial Services Group, Inc.+ 1,460 123,516 SLM Corp. 2,306 122,034 AFLAC, Inc. 2,629 121,854 Compass Bancshares, Inc. 2,119 117,816 Progressive Corp. 4,560 117,238 Synovus Financial Corp.+ 4,361 116,788 Franklin Resources, Inc. 1,338 116,152 Chicago Mercantile Exchange Holdings, Inc.+ 236 115,911 Sovereign Bancorp, Inc.+ 5,570 113,131 BB&T Corp.+ 2,708 112,626 Torchmark Corp. 1,840 111,725 AmSouth Bancorp+ 4,218 111,566 Bear Stearns Cos., Inc.+ 795 111,364 MARKET SHARES VALUE - ------------------------------------------------------------------------------- State Street Corp.+ 1,906 $ 110,720 Charles Schwab Corp.+ 6,880 109,942 Comerica, Inc. 2,096 108,971 Principal Financial Group, Inc. 1,952 108,629 SEI Investments Co. 2,220 108,514 TD Banknorth, Inc. 3,650 107,492 Equity Office Properties Trust+ 2,875 104,966 Commerce Bancorp, Inc./NJ+ 2,899 103,407 UnionBanCal Corp.+ 1,598 103,215 Hudson City Bancorp, Inc. 7,710 102,774 Simon Property Group, Inc.+ 1,234 102,348 Genworth Financial, Inc. -- Class A 2,928 102,012 Huntington Bancshares, Inc.+ 4,326 102,007 Northern Trust Corp.+ 1,834 101,420 ACE Ltd. 2,004 101,382 First Horizon National Corp.+ 2,510 100,902 Regions Financial Corp.+ 3,038 100,619 Marsh & McLennan Cos., Inc.+ 3,724 100,138 KeyCorp 2,801 99,940 Lincoln National Corp.+ 1,760 99,334 SAFECO Corp.+ 1,761 99,232 Vornado Realty Trust+ 1,015 99,013 People's Bank 3,000 98,550 Mellon Financial Corp. 2,820 97,093 Zions Bancorporation 1,230 95,866 TCF Financial Corp.+ 3,594 95,061 New York Community Bancorp, Inc.+ 5,734 94,668 Valley National Bancorp+ 3,654 93,944 Markel Corp.* 270 93,690 Plum Creek Timber Co., Inc. (REIT) 2,638 93,649 Associated Banc-Corp 2,945 92,856 Chubb Corp. 1,852 92,415 MGIC Investment Corp.+ 1,390 90,350 Mercantile Bankshares Corp. 2,532 90,316 XL Capital Ltd. 1,466 89,866 Legg Mason, Inc.+ 895 89,070 A.G. Edwards, Inc. 1,610 89,065 Ameriprise Financial, Inc. 1,970 88,000 Commerce Bancshares, Inc. 1,757 87,938 Fidelity National Financial, Inc. 2,252 87,715 Conseco, Inc.*+ 3,789 87,526 AmeriCredit Corp.*+ 3,120 87,110 CIT Group, Inc. 1,636 85,546 Equity Residential+ 1,907 85,300 Colonial BancGroup, Inc. 3,309 84,975 Moody's Corp.+ 1,558 84,849 Boston Properties, Inc. 935 84,524 CapitalSource, Inc. 3,580 83,987 - -------------------------------------------------------------------------------- 1 FINANCIAL SERVICES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- CNA Financial Corp.*+ 2,548 $ 83,982 ProLogis 1,610 83,913 General Growth Properties, Inc. 1,860 83,812 Ambac Financial Group, Inc.+ 1,020 82,722 Popular, Inc. 4,282 82,214 City National Corp. 1,246 81,102 Everest Re Group Ltd. 935 80,943 T. Rowe Price Group, Inc. 2,136 80,762 PMI Group, Inc. 1,803 80,378 Astoria Financial Corp.+ 2,634 80,205 Nationwide Financial Services, Inc. 1,812 79,873 Bank of Hawaii Corp. 1,610 79,856 Host Marriott Corp.+ 3,644 79,694 Aon Corp.+ 2,282 79,459 Fulton Financial Corp. 4,990 79,441 Archstone-Smith Trust+ 1,551 78,899 AvalonBay Communities, Inc.+ 712 78,761 Unitrin, Inc. 1,780 77,590 Radian Group, Inc. 1,252 77,349 E*Trade Financial Corp.*+ 3,277 74,781 Public Storage, Inc.+ 985 74,761 KIMCO Realty Corp.+ 2,040 74,440 Assurant, Inc. 1,530 74,052 First American Corp.+ 1,746 73,803 MBIA, Inc.+ 1,235 72,309 Forest City Enterprises, Inc. -- Class A+ 1,398 69,774 Macerich Co. 991 69,568 Cbot Holdings, Inc.*+ 580 69,362 Downey Financial Corp. 1,020 69,207 UnumProvident Corp. 3,814 69,148 SVB Financial Group*+ 1,518 69,008 Arthur J. Gallagher & Co.+ 2,665 67,531 Glenborough Realty Trust, Inc.+ 3,129 67,399 Cullen/Frost Bankers, Inc. 1,170 67,041 W.R. Berkley Corp. 1,931 65,905 First Marblehead Corp.+ 1,150 65,481 TD Ameritrade Holding Corp.+ 4,419 65,445 Mercury General Corp.+ 1,140 64,262 Camden Property Trust+ 869 63,915 Leucadia National Corp. 2,150 62,758 Regency Centers Corp. 1,000 62,150 Eaton Vance Corp. 2,485 62,026 Trizec Properties, Inc. 2,164 61,977 SL Green Realty Corp.+ 564 61,741 CB Richard Ellis Group, Inc. -- Class A* 2,446 60,905 Jefferies Group, Inc.+ 2,050 60,741 AMB Property Corp. 1,195 60,407 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Wilmington Trust Corp.+ 1,424 $ 60,064 American Financial Group, Inc./OH 1,394 59,803 AmerUs Group Co.+ 1,020 59,721 Weingarten Realty Investors 1,560 59,717 Erie Indemnity Co. -- Class A 1,144 59,488 Liberty Property Trust+ 1,342 59,316 Investors Financial Services Corp.+ 1,315 59,044 Developers Diversified Realty Corp.+ 1,127 58,807 The St. Joe Co.+ 1,250 58,175 Nuveen Investments, Inc. -- Class A 1,350 58,118 United Dominion Realty Trust, Inc.+ 2,066 57,869 Apartment Investment & Management Co. -- Class A 1,315 57,137 Raymond James Financial, Inc. 1,867 56,514 Rayonier, Inc.+ 1,482 56,183 Fidelity National Title Group, Inc. -- Class A+ 2,850 56,060 Brown & Brown, Inc. 1,912 55,869 Federal Realty Investment Trust 795 55,650 Cincinnati Financial Corp. 1,180 55,472 Reckson Associates Realty Corp. 1,339 55,408 KKR Financial Corp.+ 2,650 55,147 Old Republic International Corp.+ 2,542 54,323 New Century Financial Corp.+ 1,183 54,122 Health Care Property Investors, Inc. 1,983 53,025 Whitney Holding Corp. 1,496 52,914 Federated Investors, Inc. -- Class B 1,668 52,542 Protective Life Corp. 1,118 52,121 LandAmerica Financial Group, Inc.+ 805 52,003 Stancorp Financial Group, Inc. 1,021 51,979 Student Loan Corp. 254 51,308 CBL & Associates Properties, Inc. 1,313 51,115 Janus Capital Group, Inc. 2,850 51,015 Affiliated Managers Group, Inc.*+ 580 50,396 Reinsurance Group of America, Inc. 1,021 50,182 Blackrock, Inc. 360 50,101 Allied Capital Corp.+ 1,734 49,887 HCC Insurance Holdings, Inc.+ 1,690 49,754 - -------------------------------------------------------------------------------- 2 FINANCIAL SERVICES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Ventas, Inc. 1,466 $ 49,668 Pan Pacific Retail Properties, Inc. 715 49,600 Duke Realty Corp.+ 1,400 49,210 Hanover Insurance Group, Inc.+ 1,021 48,457 BRE Properties, Inc. -- Class A 870 47,850 Thornburg Mortgage, Inc.+ 1,700 47,379 Global Signal, Inc. 1,020 47,246 Shurgard Storage Centers, Inc. -- Class A 751 46,938 Essex Property Trust, Inc.+ 420 46,897 iStar Financial, Inc. 1,230 46,433 American Financial Realty Trust+ 4,735 45,835 Ohio Casualty Corp.+ 1,530 45,487 New Plan Excel Realty Trust+ 1,830 45,183 Realty Income Corp.+ 2,046 44,807 Philadelphia Consolidated Holding Corp.* 1,460 44,326 Kilroy Realty Corp. 590 42,628 American Capital Strategies, Ltd.+ 1,240 41,515 Investment Technology Group, Inc.* 805 40,942 Colonial Properties Trust+ 805 39,767 Crescent Real Estate EQT Co.+ 2,094 38,865 HRPT Properties Trust 3,360 38,842 Healthcare Realty Trust, Inc.+ 1,176 37,456 National Retail Properties, Inc. 1,619 32,299 -------------- TOTAL COMMON STOCKS (Cost $15,575,148) 17,931,365 -------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 2.0% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 352,592 352,592 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $352,591) 352,592 -------------- SECURITIES LENDING COLLATERAL 21.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 3,907,008 3,907,008 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $3,907,008) 3,907,008 ============== TOTAL INVESTMENTS 123.3% (Cost $19,834,747) $ 22,190,965 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (23.3)% $ (4,187,018) -------------- NET ASSETS - 100.0% $ 18,003,947 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 3 HEALTH CARE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.5% Johnson & Johnson, Inc. 50,732 $ 3,039,861 Pfizer, Inc. 124,093 2,912,463 Genentech, Inc.*+ 21,302 1,742,504 Merck & Co., Inc. 45,848 1,670,243 Amgen, Inc.*+ 24,067 1,569,890 Abbott Laboratories+ 33,613 1,465,863 Eli Lilly & Co.+ 24,964 1,379,760 Wyeth 29,411 1,306,143 UnitedHealth Group, Inc. 28,554 1,278,648 Medtronic, Inc.+ 26,798 1,257,362 Bristol-Myers Squibb Co.+ 46,256 1,196,180 WellPoint, Inc.* 15,283 1,112,144 Schering-Plough Corp.+ 39,940 760,058 Gilead Sciences, Inc.*+ 12,409 734,116 Cardinal Health, Inc.+ 11,066 711,876 Boston Scientific Corp.* 40,056 674,543 Baxter International, Inc. 18,184 668,444 Caremark Rx, Inc.+ 12,735 635,094 Aetna, Inc.+ 15,336 612,366 Medco Health Solutions, Inc.*+ 9,254 530,069 Stryker Corp.+ 12,240 515,426 Celgene Corp.*+ 10,840 514,141 HCA, Inc.+ 11,716 505,545 Biogen Idec, Inc.* 10,647 493,276 Genzyme Corp.*+ 7,893 481,868 Becton, Dickinson & Co. 7,780 475,591 Allergan, Inc.+ 4,250 455,855 McKesson Corp. 9,510 449,633 Zimmer Holdings, Inc.* 7,616 431,980 Quest Diagnostics, Inc.+ 6,896 413,208 Forest Laboratories, Inc.*+ 10,362 400,906 St. Jude Medical, Inc.* 11,621 376,753 CIGNA Corp.+ 3,780 372,368 Express Scripts, Inc.* 4,804 344,639 Fisher Scientific International, Inc.*+ 4,510 329,455 Humana, Inc.* 5,952 319,622 Coventry Health Care, Inc.* 5,801 318,707 AmerisourceBergen Corp.+ 7,280 305,178 Laboratory Corporation of America Holdings*+ 4,726 294,099 C.R. Bard, Inc.+ 3,960 290,110 Biomet, Inc.+ 8,910 278,794 Hospira, Inc.* 6,339 272,197 Sepracor, Inc.*+ 4,317 246,673 Applera Corp. - Applied Biosystems Group+ 7,617 246,410 Medimmune, Inc.*+ 9,075 245,932 Varian Medical Systems, Inc.*+ 4,976 235,614 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Thermo Electron Corp.*+ 6,450 $ 233,748 Omnicare, Inc.+ 4,671 221,499 IMS Health, Inc.+ 8,226 220,868 Health Net, Inc.* 4,591 207,375 DENTSPLY International, Inc. 3,356 203,374 Patterson Cos., Inc.*+ 5,791 202,280 DaVita, Inc.* 3,992 198,402 Waters Corp.*+ 4,440 197,136 Intuitive Surgical, Inc.*+ 1,670 197,010 Health Management Associates, Inc. -- Class A 9,903 195,188 Barr Pharmaceuticals, Inc.* 4,083 194,718 Endo Pharmaceuticals Holdings, Inc.* 5,710 188,316 Pharmaceutical Product Development, Inc.+ 5,108 179,393 King Pharmaceuticals, Inc.* 10,520 178,840 Henry Schein, Inc.*+ 3,796 177,387 Vertex Pharmaceuticals, Inc.*+ 4,814 176,722 Mylan Laboratories, Inc.+ 8,770 175,400 Covance, Inc.*+ 2,820 172,640 Dade Behring Holdings, Inc. 4,080 169,891 Beckman Coulter, Inc. 3,034 168,539 Manor Care, Inc.+ 3,586 168,255 Cephalon, Inc.*+ 2,706 162,631 Community Health Systems, Inc.*+ 4,417 162,325 Lincare Holdings, Inc.* 4,270 161,577 Emdeon Corp.*+ 13,012 161,479 Advanced Medical Optics, Inc.*+ 3,180 161,226 Invitrogen Corp.*+ 2,375 156,916 ResMed, Inc.*+ 3,330 156,343 Triad Hospitals, Inc.* 3,919 155,114 ImClone Systems, Inc.*+ 4,005 154,753 Tenet Healthcare Corp.*+ 21,402 149,386 Kinetic Concepts, Inc.* 3,383 149,359 Millipore Corp.*+ 2,350 148,026 Millennium Pharmaceuticals, Inc.* 14,551 145,073 Hillenbrand Industries, Inc.+ 2,810 136,285 Cytyc Corp.* 5,350 135,676 Gen-Probe, Inc.* 2,457 132,629 VCA Antech, Inc.* 4,150 132,509 Edwards Lifesciences Corp.*+ 2,900 131,747 Sierra Health Services, Inc.* 2,910 131,037 Cerner Corp.*+ 3,510 130,256 PerkinElmer, Inc. 5,990 125,191 Universal Health Services, Inc. -- Class B+ 2,480 124,645 Bausch & Lomb, Inc.+ 2,450 120,148 - -------------------------------------------------------------------------------- 1 HEALTH CARE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Watson Pharmaceuticals, Inc.*+ 5,160 $ 120,125 Charles River Laboratories International, Inc.*+ 3,262 120,042 Respironics, Inc.* 3,470 118,743 Idexx Laboratories, Inc.* 1,530 114,949 Hologic, Inc.* 2,240 110,566 Pediatrix Medical Group, Inc.*+ 2,390 108,267 Techne Corp.* 1,974 100,516 Mentor Corp.+ 2,300 100,050 OSI Pharmaceuticals, Inc.*+ 3,035 100,034 LifePoint Hospitals, Inc.*+ 3,069 98,607 Cooper Cos., Inc.+ 2,220 98,324 Diagnostic Products Corp. 1,690 98,307 Healthways, Inc.*+ 1,860 97,910 AMERIGROUP Corp.* 3,140 97,466 MGI Pharma, Inc.*+ 4,480 96,320 PDL BioPharma, Inc.*+ 5,097 93,836 Abraxis BioScience, Inc.*+ 3,760 89,638 Kos Pharmaceuticals, Inc.* 2,380 89,536 Valeant Pharmaceuticals International+ 5,228 88,458 Affymetrix, Inc.*+ 3,426 87,706 Steris Corp. 3,700 84,582 Chemed Corp.+ 1,540 83,976 Perrigo Co. 5,210 83,881 Varian, Inc.* 1,820 75,548 Immucor, Inc.*+ 3,895 74,901 United Surgical Partners International, Inc.*+ 2,460 73,972 Sunrise Senior Living, Inc.* 2,640 72,996 LCA-Vision, Inc. 1,360 71,958 Haemonetics Corp./MA* 1,530 71,160 Medicis Pharmaceutical Corp. -- Class A+ 2,930 70,320 Intermagnetics General Corp.*+ 2,590 69,878 Dionex Corp.* 1,270 69,418 ArthroCare Corp.*+ 1,580 66,376 Owens & Minor, Inc.+ 2,320 66,352 Integra LifeSciences Holdings Corp.* 1,700 65,977 American Medical Systems Holdings, Inc.*+ 3,870 64,435 Genesis HealthCare Corp.* 1,330 63,002 Alpharma, Inc. -- Class A 2,550 61,302 Per-Se Technologies, Inc.* 2,396 60,331 Centene Corp.*+ 2,520 59,296 Martek Biosciences Corp.*+ 1,968 56,974 Biosite, Inc.* 1,210 55,249 DJ Orthopedics, Inc.* 1,500 55,245 Parexel International Corp.* 1,804 52,045 inVentiv Health, Inc.* 1,800 51,804 MARKET SHARES VALUE - ------------------------------------------------------------------------------- PolyMedica Corp. 1,440 $ 51,782 Viasys Healthcare, Inc.* 2,020 51,712 Laserscope* 1,630 50,220 Apria Healthcare Group, Inc.*+ 2,650 50,085 SurModics, Inc.*+ 1,360 49,110 Invacare Corp. 1,930 48,018 AmSurg Corp.*+ 2,040 46,410 ICU Medical, Inc.* 1,080 45,619 Amedisys, Inc.*+ 1,190 45,101 Vital Signs, Inc. 910 45,072 Regeneron Pharmaceuticals, Inc.* 3,474 44,537 Odyssey HealthCare, Inc.* 2,440 42,871 Conmed Corp.*+ 2,040 42,228 Analogic Corp. 890 41,483 Cross Country Healthcare, Inc.* 2,250 40,928 Cambrex Corp.+ 1,950 40,619 Greatbatch, Inc.* 1,720 40,592 Par Pharmaceutical Cos., Inc.*+ 2,180 40,243 Cyberonics, Inc.*+ 1,740 37,097 Enzo Biochem, Inc.*+ 2,460 37,097 Datascope Corp. 1,090 33,616 Noven Pharmaceuticals, Inc.*+ 1,820 32,578 Gentiva Health Services, Inc.*+ 1,980 31,739 Matria Healthcare, Inc.*+ 1,460 31,273 CNS, Inc. 1,270 31,115 Merit Medical Systems, Inc.*+ 2,240 30,822 Kensey Nash Corp.*+ 980 28,910 Dendrite International, Inc.* 3,080 28,459 Connetics Corp.*+ 2,400 28,224 Savient Pharmaceuticals, Inc.* 5,030 26,408 RehabCare Group, Inc.* 1,480 25,722 SFBC International, Inc.*+ 1,480 22,437 Hooper Holmes, Inc. 6,190 18,880 Arqule, Inc.* 3,270 18,443 BioLase Technology, Inc.*+ 2,110 17,724 Bradley Pharmaceuticals, Inc.*+ 1,560 15,912 Possis Medical, Inc.* 1,650 14,537 CryoLife, Inc.* 2,680 14,472 Theragenics Corp.* 3,533 12,048 Osteotech, Inc.* 2,040 8,242 -------------- TOTAL COMMON STOCKS (Cost $38,565,879) 47,295,682 -------------- - -------------------------------------------------------------------------------- 2 HEALTH CARE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.7% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 361,955 $ 361,955 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $361,955) 361,955 -------------- SECURITIES LENDING COLLATERAL 27.0% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 12,849,165 12,849,165 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $12,849,165) 12,849,165 ============== TOTAL INVESTMENTS 127.2% (Cost $51,776,999) $ 60,506,802 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (27.2)% $ (12,956,461) -------------- NET ASSETS - 100.0% $ 47,550,341 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006 - -------------------------------------------------------------------------------- 3 INTERNET FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.7% Cisco Systems, Inc.*+ 29,349 $ 573,186 Google, Inc. -- Class A*+ 1,287 539,678 Time Warner, Inc.+ 28,251 488,742 Qualcomm, Inc. 9,971 399,538 Yahoo!, Inc.*+ 11,536 380,688 eBay, Inc.*+ 10,441 305,817 Qwest Communications International, Inc.*+ 28,949 234,197 Amazon.com, Inc.*+ 5,856 226,510 Symantec Corp.*+ 13,695 212,820 Intuit, Inc.* 3,142 189,745 Sun Microsystems, Inc.* 45,256 187,812 Research In Motion, Ltd.*+ 2,561 178,681 Broadcom Corp. -- Class A*+ 5,735 172,337 E*Trade Financial Corp.* 6,874 156,865 IAC/InterActiveCorp*+ 5,851 154,993 Juniper Networks, Inc.*+ 9,434 150,850 BEA Systems, Inc.* 10,092 132,104 VeriSign, Inc.*+ 5,522 127,945 Monster Worldwide, Inc.*+ 2,816 120,131 CheckFree Corp.*+ 2,322 115,078 McAfee, Inc.*+ 4,554 110,526 Emdeon Corp.*+ 8,796 109,158 Check Point Software Technologies Ltd.*+ 6,060 106,535 Red Hat, Inc.*+ 4,449 104,107 Ciena Corp.*+ 18,478 88,879 RealNetworks, Inc.*+ 7,619 81,523 aQuantive, Inc.*+ 3,148 79,739 j2 Global Communications, Inc.*+ 2,465 76,957 WebEx Communications, Inc.*+ 2,021 71,826 F5 Networks, Inc.* 1,322 70,701 Digital River, Inc.*+ 1,677 67,734 Netflix, Inc.*+ 2,411 65,603 Priceline.com, Inc.*+ 2,191 65,423 TIBCO Software, Inc.* 8,729 61,540 Digital Insight Corp.* 1,735 59,493 Palm, Inc.*+ 3,669 59,071 EarthLink, Inc.* 6,440 55,770 Foundry Networks, Inc.*+ 4,941 52,671 United Online, Inc.+ 3,899 46,788 Websense, Inc.* 2,235 45,907 CNET Networks, Inc.* 5,672 45,263 Internet Security Systems, Inc.*+ 2,353 44,354 webMethods, Inc.* 4,398 43,408 S1 Corp.* 6,520 31,296 MARKET SHARES VALUE - ------------------------------------------------------------------------------- NetBank, Inc. 4,423 $ 29,325 -------------- TOTAL COMMON STOCKS (Cost $4,640,786) 6,721,314 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.4% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 28,479 28,479 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $28,479) 28,479 -------------- SECURITIES LENDING COLLATERAL 31.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 2,116,359 2,116,359 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $2,116,359) 2,116,359 ============== TOTAL INVESTMENTS 131.5% (Cost $6,785,624) $ 8,866,152 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (31.5)% $ (2,122,071) -------------- NET ASSETS - 100.0% $ 6,744,081 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 1 LEISURE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.4% The Walt Disney Co. 22,023 $ 660,690 Time Warner, Inc.+ 31,244 540,521 News Corp. -- Class A+ 22,110 424,070 McDonald's Corp. 11,635 390,936 Las Vegas Sands Corp.*+ 4,800 373,728 Starbucks Corp.*+ 8,658 326,926 Viacom, Inc. - Class B*+ 8,226 294,820 Carnival Corp.+ 7,050 294,267 Marriott International, Inc. -- Class A 6,682 254,718 Yum! Brands, Inc. 4,568 229,633 International Game Technology, Inc 5,974 226,654 Hilton Hotels Corp.+ 7,453 210,771 Harrah's Entertainment, Inc.+ 2,953 210,195 Starwood Hotels & Resorts Worldwide, Inc.+ 3,418 206,242 MGM Mirage, Inc.*+ 4,940 201,552 Electronic Arts, Inc.*+ 4,535 195,186 Wynn Resorts Ltd.*+ 2,209 161,920 Wendy's International, Inc. 2,651 154,527 Warner Music Group Corp.+ 5,080 149,758 Mattel, Inc.+ 8,903 146,989 Eastman Kodak Co.+ 6,133 145,843 Darden Restaurants, Inc.+ 3,672 144,677 Choice Hotels International, Inc.+ 2,302 139,501 GTECH Holdings Corp. 3,726 129,590 Station Casinos, Inc.+ 1,790 121,863 Scientific Games Corp. -- Class A*+ 3,090 110,066 Penn National Gaming, Inc.*+ 2,750 106,645 Boyd Gaming Corp. 2,580 104,129 Hasbro, Inc. 5,606 101,525 Brinker International, Inc.+ 2,750 99,825 Brunswick Corp.+ 2,992 99,484 Activision, Inc.* 8,618 98,073 Aztar Corp.* 1,800 93,528 Pool Corp. 2,020 88,133 OSI Restaurant Partners, Inc.+ 2,505 86,673 Panera Bread Co. -- Class A*+ 1,220 82,033 Marvel Entertainment, Inc.* 3,939 78,780 Sonic Corp.*+ 3,760 78,170 Pinnacle Entertainment, Inc.* 2,500 76,625 Cheesecake Factory, Inc.*+ 2,770 74,651 Regal Entertainment Group -- Class A+ 3,570 72,542 Polaris Industries, Inc.+ 1,658 71,791 Live Nation, Inc.*+ 3,480 70,853 MARKET SHARES VALUE - ------------------------------------------------------------------------------- CKX, Inc.* 5,142 $ 69,777 CBRL Group, Inc. 2,000 67,840 Jack in the Box, Inc.* 1,725 67,620 International Speedway Corp. -- Class A 1,450 67,236 THQ, Inc.*+ 3,040 65,664 Papa John's International, Inc.* 1,956 64,939 Bob Evans Farms, Inc. 2,150 64,521 Applebee's International, Inc.+ 3,337 64,137 Ruby Tuesday, Inc.+ 2,580 62,978 Shuffle Master, Inc.*+ 1,920 62,938 DreamWorks Animation SKG, Inc. -- Class A* 2,720 62,288 CEC Entertainment, Inc.* 1,910 61,349 IHOP Corp. 1,240 59,619 Rare Hospitality International, Inc.* 1,900 54,644 WMS Industries, Inc.* 1,980 54,232 P.F. Chang's China Bistro, Inc.* 1,410 53,608 Callaway Golf Co.+ 4,050 52,609 Triarc Cos., Inc. -- Class B 3,330 52,048 Landry's Restaurants, Inc.+ 1,500 48,675 Red Robin Gourmet Burgers, Inc.*+ 1,140 48,518 Nautilus, Inc.+ 2,890 45,402 Lone Star Steakhouse & Saloon, Inc. 1,630 42,755 K2, Inc.* 3,760 41,134 Marcus Corp. 1,970 41,134 Take-Two Interactive Software, Inc.*+ 3,810 40,615 Ryan's Restaurant Group, Inc.* 3,270 38,946 Jakks Pacific, Inc.* 1,930 38,774 Marinemax, Inc.*+ 1,420 37,247 O'Charleys, Inc.* 2,175 36,975 Steak n Shake Co.*+ 2,200 33,308 Arctic Cat, Inc. 1,380 26,924 4Kids Entertainment, Inc.* 1,656 26,844 Bally Total Fitness Holding Corp.*+ 3,910 26,510 Multimedia Games, Inc.* 2,580 26,135 Sturm Ruger & Co., Inc. 3,510 21,937 Napster, Inc.* 6,987 21,520 -------------- TOTAL COMMON STOCKS (Cost $7,533,849) 9,680,503 -------------- - -------------------------------------------------------------------------------- 1 LEISURE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.1% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 5,110 $ 5,110 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $5,110) 5,110 -------------- SECURITIES LENDING COLLATERAL 29.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 2,857,853 2,857,853 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $2,857,853) 2,857,853 ============== TOTAL INVESTMENTS 128.8% (Cost $10,396,812) $ 12,543,466 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (28.8)% $ (2,807,471) -------------- NET ASSETS - 100.0% $ 9,735,995 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 PRECIOUS METALS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.3% Newmont Mining Corp.+ 528,916 $ 27,995,524 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 325,864 18,056,124 Barrick Gold Corp.+ 589,609 17,452,426 Goldcorp, Inc. 458,679 13,861,279 AngloGold Ashanti Ltd. -- SP ADR+ 214,174 10,306,053 Glamis Gold Ltd.*+ 271,094 10,263,619 Gold Fields Ltd. -- SP ADR 442,958 10,143,738 Agnico-Eagle Mines Ltd.+ 285,651 9,449,335 Harmony Gold Mining Co. Ltd. -- SP ADR*+ 489,016 7,966,071 Bema Gold Corp.*+ 1,446,092 7,259,382 Meridian Gold, Inc.* 223,658 7,085,485 Cia de Minas Buenaventura SA -- SP ADR 249,702 6,811,871 Coeur d'Alene Mines Corp.*+ 1,312,967 6,315,371 Kinross Gold Corp.*+ 568,001 6,185,531 Pan American Silver Corp.*+ 331,773 5,968,596 Royal Gold, Inc.+ 201,721 5,611,878 Silver Standard Resources, Inc.*+ 266,443 5,328,860 Yamana Gold, Inc.* 528,618 5,217,460 Randgold Resources Ltd. -- SP ADR*+ 217,115 4,559,415 Silver Wheaton Corp.*+ 430,274 4,053,181 Golden Star Resources Ltd.*+ 1,335,577 3,953,308 Hecla Mining Co.*+ 739,941 3,884,690 Apex Silver Mines Ltd.*+ 239,550 3,605,228 Novagold Resources, Inc.* 268,122 3,437,324 Stillwater Mining Co.* 261,529 3,316,188 DRDGOLD Ltd. -- SP ADR+ 2,249,321 3,081,570 -------------- TOTAL COMMON STOCKS (Cost $106,456,390) 211,169,507 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.7% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 1,433,558 1,433,558 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,433,558) 1,433,558 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 35.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 76,122,705 $ 76,122,705 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $76,122,705) 76,122,705 -------------- TOTAL INVESTMENTS 135.8% (Cost $184,012,653) $ 288,725,770 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (35.8)% $ (76,115,631) -------------- NET ASSETS - 100.0% $ 212,610,139 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 1 REAL ESTATE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.5% Simon Property Group, Inc.+ 6,659 $ 552,297 Equity Office Properties Trust+ 13,683 499,566 Vornado Realty Trust+ 4,994 487,165 Equity Residential+ 10,248 458,393 ProLogis 8,792 458,239 General Growth Properties, Inc.+ 10,059 453,259 Archstone-Smith Trust+ 8,608 437,889 Boston Properties, Inc. 4,519 408,518 Public Storage, Inc.+ 5,196 394,376 Host Marriott Corp.+ 17,475 382,178 AvalonBay Communities, Inc.+ 3,394 375,444 KIMCO Realty Corp.+ 9,980 364,170 Plum Creek Timber Co., Inc. (REIT)+ 9,190 326,245 Developers Diversified Realty Corp.+ 5,806 302,957 CB Richard Ellis Group, Inc. -- Class A* 11,823 294,393 SL Green Realty Corp. 2,680 293,380 Trizec Properties, Inc. 10,161 291,011 Macerich Co. 4,041 283,678 Duke Realty Corp.+ 7,753 272,518 iStar Financial, Inc. 7,118 268,704 AMB Property Corp. 5,224 264,073 Forest City Enterprises, Inc. -- Class A+ 5,216 260,331 Camden Property Trust+ 3,509 258,087 Regency Centers Corp. 4,147 257,736 Apartment Investment & Management Co. -- Class A 5,925 257,441 CapitalSource, Inc. 10,820 253,837 United Dominion Realty Trust, Inc.+ 8,931 250,157 Liberty Property Trust+ 5,638 249,200 Ventas, Inc. 7,277 246,545 Federal Realty Investment Trust 3,455 241,850 Health Care Property Investors, Inc. 9,005 240,794 Weingarten Realty Investors 6,102 233,585 Hospitality Properties Trust 5,275 231,678 Reckson Associates Realty Corp. 5,539 229,204 Thornburg Mortgage, Inc.+ 8,179 227,949 Global Signal, Inc. 4,883 226,181 Brandywine Realty Trust+ 6,956 223,775 BRE Properties, Inc. -- Class A+ 3,954 217,470 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Pan Pacific Retail Properties, Inc. 3,125 $ 216,781 Shurgard Storage Centers, Inc. -- Class A 3,459 216,187 Mack-Cali Realty Corp.+ 4,686 215,181 CarrAmerica Realty Corp. 4,730 210,721 Essex Property Trust, Inc.+ 1,883 210,256 The St. Joe Co.+ 4,486 208,778 New Century Financial Corp.+ 4,539 207,659 New Plan Excel Realty Trust+ 8,251 203,717 Rayonier, Inc.+ 5,334 202,212 HRPT Properties Trust 17,395 201,086 Highwoods Properties, Inc. 5,459 197,507 CBL & Associates Properties, Inc. 5,055 196,791 Colonial Properties Trust+ 3,914 193,352 Taubman Centers, Inc. 4,597 188,017 LaSalle Hotel Properties+ 4,034 186,774 Friedman Billings Ramsey Group, Inc. -- Class A+ 17,016 186,666 Kilroy Realty Corp.+ 2,550 184,237 Post Properties, Inc.+ 4,004 181,541 Home Properties, Inc.+ 3,227 179,131 Health Care REIT, Inc. 5,105 178,420 Alexandria Real Estate Equities, Inc. 2,011 178,335 Realty Income Corp.+ 7,888 172,747 Nationwide Health Properties, Inc.+ 7,597 171,008 Annaly Mortgage Management, Inc.+ 13,134 168,247 Crescent Real Estate EQT Co.+ 9,033 167,652 Washington Real Estate Investment Trust+ 4,437 162,838 KKR Financial Corp.+ 7,791 162,131 Corporate Office Properties Trust SBI/MD 3,849 161,966 First Industrial Realty Trust, Inc.+ 4,197 159,234 Heritage Property Investment Trust+ 4,520 157,838 Cousins Properties, Inc. 5,065 156,660 Mills Corp.+ 5,851 156,514 BioMed Realty Trust, Inc.+ 5,170 154,790 Pennsylvania Real Estate Investment Trust 3,754 151,549 FelCor Lodging Trust, Inc. 6,968 151,484 Equity One, Inc.+ 7,222 150,940 PS Business Parks, Inc. 2,546 150,214 Healthcare Realty Trust, Inc.+ 4,649 148,071 Senior Housing Properties Trust 8,193 146,737 - -------------------------------------------------------------------------------- 1 REAL ESTATE FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Mid-America Apartment Communities, Inc.+ 2,618 $ 145,953 Lexington Corporate Properties Trust+ 6,550 141,480 Entertainment Properties Trust+ 3,258 140,257 American Financial Realty Trust+ 13,714 132,752 Eastgroup Properties, Inc.+ 2,802 130,797 Potlatch Corp.+ 3,410 128,728 National Retail Properties, Inc. 6,381 127,301 Tanger Factory Outlet Centers, Inc. 3,895 126,081 Equity Inns, Inc.+ 7,541 124,879 Inland Real Estate Corp. 8,370 124,546 Equity Lifestyle Properties, Inc.+ 2,830 124,039 Sovran Self Storage, Inc.+ 2,331 118,391 National Health Investors, Inc.+ 4,309 115,869 Glimcher Realty Trust+ 4,670 115,863 Trustreet Properties, Inc.+ 8,661 114,239 Innkeepers USA Trust+ 6,556 113,288 Acadia Realty Trust 4,774 112,905 Glenborough Realty Trust, Inc.+ 5,013 107,980 Parkway Properties, Inc./MD 2,347 106,789 Saul Centers, Inc. 2,538 103,500 Sun Communities, Inc. 2,935 95,476 LTC Properties, Inc. 4,118 92,037 Cedar Shopping Centers, Inc. 5,661 83,330 Ramco-Gershenson Properties Trust+ 3,067 82,594 Winston Hotels, Inc. 6,317 77,383 Universal Health Realty Income Trust 2,337 73,265 Urstadt Biddle Properties, Inc. 4,209 68,565 CentraCore Properties Trust 2,728 67,518 Windrose Medical Properties Trust 4,465 65,189 Associated Estates Realty Corp. 5,065 62,806 American Land Lease, Inc. 2,183 53,484 Monmouth Real Estate Investment Corp. -- Class A 6,256 50,423 -------------- TOTAL COMMON STOCKS (Cost $19,251,830) 22,295,949 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 1.0% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 206,637 $ 206,637 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $206,637) 206,637 -------------- SECURITIES LENDING COLLATERAL 15.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 3,454,093 3,454,093 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $3,454,093) 3,454,093 ============== TOTAL INVESTMENTS 115.9% (Cost $22,912,560) $ 25,956,679 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (15.9)% $ (3,553,400) -------------- NET ASSETS - 100.0% $ 22,403,279 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. REIT - Real Estate Investment Trust. - -------------------------------------------------------------------------------- 2 RETAILING FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.6% Wal-Mart Stores, Inc.+ 10,797 $ 520,091 Home Depot, Inc.+ 7,916 283,314 Walgreen Co. 5,332 239,087 Lowe's Cos., Inc. 3,940 239,040 Target Corp.+ 4,529 221,332 Sears Holdings Corp.*+ 1,278 197,886 Costco Wholesale Corp.+ 3,391 193,728 Best Buy Co., Inc.+ 3,365 184,537 CVS Corp.+ 5,996 184,077 Kohl's Corp.*+ 2,822 166,837 Federated Department Stores, Inc. 4,354 159,356 J.C. Penney Holding Co., Inc.+ 2,254 152,168 Staples, Inc.+ 6,177 150,225 Amazon.com, Inc.*+ 3,815 147,564 The Gap, Inc.+ 7,606 132,344 Office Depot, Inc.* 3,205 121,790 Limited Brands, Inc.+ 4,713 120,606 TJX Cos., Inc.+ 4,994 114,163 Nordstrom, Inc.+ 2,972 108,478 Bed Bath & Beyond, Inc.*+ 3,163 104,917 IAC/InterActiveCorp*+ 3,687 97,669 Genuine Parts Co. 2,325 96,859 Sherwin-Williams Co.+ 1,945 92,349 Dress Barn, Inc.*+ 3,602 91,311 AutoNation, Inc.*+ 4,214 90,348 Michaels Stores, Inc. 2,165 89,285 American Eagle Outfitters, Inc.+ 2,526 85,985 AutoZone, Inc.*+ 972 85,730 Circuit City Stores, Inc.+ 3,030 82,477 Abercrombie & Fitch Co. -- Class A 1,423 78,877 Tiffany & Co.+ 2,154 71,125 Ross Stores, Inc.+ 2,529 70,938 AnnTaylor Stores Corp.*+ 1,632 70,796 OfficeMax, Inc.+ 1,730 70,497 CarMax, Inc.*+ 1,981 70,246 Foot Locker, Inc.+ 2,850 69,796 Family Dollar Stores, Inc.+ 2,750 67,182 Expedia, Inc.*+ 4,460 66,766 Petsmart, Inc.+ 2,547 65,203 Dollar General Corp. 4,634 64,783 Chico's FAS, Inc.*+ 2,359 63,646 O'Reilly Automotive, Inc.* 2,025 63,160 Dollar Tree Stores, Inc.*+ 2,298 60,897 Dillard's, Inc. -- Class A+ 1,885 60,037 Williams-Sonoma, Inc.+ 1,730 58,906 Big Lots, Inc.*+ 3,400 58,072 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Rite Aid Corp.*+ 12,934 $ 54,840 Payless Shoesource, Inc.*+ 1,967 53,443 Urban Outfitters, Inc.*+ 2,989 52,278 Advance Auto Parts, Inc. 1,791 51,760 Saks, Inc.+ 3,150 50,935 Tractor Supply Co.*+ 913 50,462 Barnes & Noble, Inc.+ 1,374 50,151 Children's Place Retail Stores, Inc.* 786 47,199 BJ's Wholesale Club, Inc.*+ 1,663 47,146 Claire's Stores, Inc. 1,830 46,683 Longs Drug Stores Corp. 1,016 46,350 Rent-A-Center, Inc.* 1,860 46,240 Dick's Sporting Goods, Inc.* 1,148 45,461 GameStop Corp. -- Class A*+ 1,070 44,940 Too, Inc.* 1,161 44,571 Group 1 Automotive, Inc.+ 790 44,509 Gymboree Corp.*+ 1,270 44,145 Aeropostale, Inc.*+ 1,505 43,479 RadioShack Corp.+ 3,080 43,120 Men's Wearhouse, Inc. 1,397 42,329 Christopher & Banks Corp. 1,447 41,963 Zale Corp.* 1,630 39,267 Bebe Stores, Inc. 2,509 38,689 Aaron Rents, Inc.+ 1,420 38,170 Select Comfort Corp.*+ 1,632 37,487 Guitar Center, Inc.*+ 830 36,910 Pacific Sunwear of California, Inc.*+ 1,927 34,551 Borders Group, Inc.+ 1,825 33,689 Stage Stores, Inc.+ 1,020 33,660 Cato Corp. -- Class A+ 1,150 29,727 Genesco, Inc.* 867 29,365 99 Cents Only Stores*+ 2,763 28,901 Building Material Holding Corp.+ 1,026 28,595 Hibbett Sporting Goods, Inc.* 1,180 28,202 Sonic Automotive, Inc.+ 1,220 27,060 Fred's, Inc. 2,010 26,834 Insight Enterprises, Inc.*+ 1,330 25,337 Stein Mart, Inc. 1,694 25,071 PEP Boys-Manny Moe & Jack+ 2,090 24,516 HOT Topic, Inc.* 1,940 22,329 Jo-Ann Stores, Inc.*+ 1,520 22,268 Pier 1 Imports, Inc.+ 3,180 22,196 Finish Line, Inc. -- Class A+ 1,860 22,004 Haverty Furniture Cos., Inc. 1,400 21,966 Audiovox Corp. -- Class A*+ 1,509 20,613 Tuesday Morning Corp.+ 1,490 19,594 Cost Plus, Inc.* 1,270 18,618 Jos. A. Bank Clothiers, Inc.*+ 695 16,652 - -------------------------------------------------------------------------------- 1 RETAILING FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Midas, Inc.*+ 840 $ 15,456 Hancock Fabrics, Inc./DE+ 2,483 8,293 -------------- TOTAL COMMON STOCKS (Cost $5,042,525) 7,452,504 -------------- - ------------------------------------------------------------------------------- FACE AMOUNT - ------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 33.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 2,490,912 2,490,912 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $2,490,912) 2,490,912 ============== TOTAL INVESTMENTS 132.9% (Cost $7,533,437) $ 9,943,416 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (32.9)% $ (2,460,958) -------------- NET ASSETS - 100.0% $ 7,482,458 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 TECHNOLOGY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.7% Microsoft Corp. 21,025 $ 489,882 International Business Machines Corp. 4,699 360,977 Cisco Systems, Inc.*+ 18,178 355,016 Intel Corp.+ 18,650 353,417 Google, Inc. -- Class A*+ 784 328,755 Hewlett-Packard Co.+ 10,006 316,990 Oracle Corp.*+ 20,945 303,493 Qualcomm, Inc. 6,170 247,232 Yahoo!, Inc.*+ 7,147 235,851 Dell, Inc.*+ 9,499 231,871 Texas Instruments, Inc.+ 7,540 228,387 Apple Computer, Inc.* 3,977 227,166 Motorola, Inc.+ 11,232 226,325 Corning, Inc.* 8,180 197,874 First Data Corp. 4,362 196,464 eBay, Inc.*+ 6,483 189,887 Automatic Data Processing, Inc. 3,846 174,416 Applied Materials, Inc. 10,339 168,319 EMC Corp./MA* 14,216 155,950 Adobe Systems, Inc.*+ 4,474 135,831 Symantec Corp.*+ 8,491 131,950 Paychex, Inc.+ 3,259 127,036 Network Appliance, Inc.*+ 3,473 122,597 Intuit, Inc.* 1,949 117,700 Xerox Corp.*+ 8,439 117,386 Sun Microsystems, Inc.* 28,015 116,262 Agilent Technologies, Inc.*+ 3,660 115,510 Electronic Data Systems Corp.+ 4,723 113,635 Cognizant Technology Solutions Corp. -- Class A* 1,655 111,497 Micron Technology, Inc.*+ 7,305 110,013 Electronic Arts, Inc.*+ 2,538 109,236 Analog Devices, Inc. 3,340 107,348 Linear Technology Corp.+ 3,188 106,766 Broadcom Corp. -- Class A*+ 3,543 106,467 CA, Inc.+ 4,966 102,051 Maxim Integrated Products, Inc. 3,173 101,885 SanDisk Corp.*+ 1,982 101,042 Advanced Micro Devices, Inc.*+ 4,116 100,513 Fiserv, Inc.* 2,212 100,336 Lucent Technologies, Inc.*+ 41,290 99,922 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Freescale Semiconductor, Inc. -- Class B*+ 3,367 $ 98,990 j2 Global Communications, Inc.*+ 3,138 97,968 MEMC Electronic Materials, Inc.*+ 2,576 96,600 Computer Sciences Corp.* 1,977 95,766 Citrix Systems, Inc.* 2,341 93,968 Juniper Networks, Inc.*+ 5,852 93,573 Lexmark International, Inc.* 1,662 92,789 KLA-Tencor Corp.+ 2,193 91,163 Autodesk, Inc.* 2,642 91,043 Lam Research Corp.*+ 1,947 90,769 Xilinx, Inc.+ 3,968 89,875 National Semiconductor Corp.+ 3,752 89,485 Microchip Technology, Inc.+ 2,609 87,532 Akamai Technologies, Inc.*+ 2,333 84,431 Alliance Data Systems Corp.*+ 1,412 83,054 Fidelity National Information Services, Inc. 2,346 83,048 NCR Corp.*+ 2,249 82,403 BEA Systems, Inc.* 6,253 81,852 BMC Software, Inc.*+ 3,383 80,854 VeriSign, Inc.*+ 3,444 79,797 Amphenol Corp. -- Class A 1,424 79,687 Avaya, Inc.*+ 6,946 79,323 Altera Corp.*+ 4,505 79,063 Affiliated Computer Services, Inc. -- Class A* 1,523 78,602 Tellabs, Inc.* 5,740 76,399 Harris Corp.+ 1,811 75,175 Iron Mountain, Inc.*+ 1,944 72,667 Cadence Design Systems, Inc.*+ 4,219 72,356 Western Digital Corp.* 3,623 71,772 CheckFree Corp.*+ 1,446 71,664 DST Systems, Inc.*+ 1,185 70,507 CDW Corp.+ 1,258 68,750 McAfee, Inc.*+ 2,824 68,538 Arrow Electronics, Inc.* 2,083 67,073 Total System Services, Inc.+ 3,393 65,315 NAVTEQ Corp.*+ 1,453 64,920 Global Payments, Inc. 1,322 64,183 Red Hat, Inc.*+ 2,724 63,742 Ceridian Corp.*+ 2,592 63,348 Molex, Inc.+ 1,867 62,675 Novellus Systems, Inc.*+ 2,537 62,664 Comverse Technology, Inc.* 3,164 62,552 - -------------------------------------------------------------------------------- 1 TECHNOLOGY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- MoneyGram International, Inc.+ 1,793 $ 60,872 Atmel Corp.*+ 10,953 60,789 Jabil Circuit, Inc.+ 2,366 60,570 RSA Security, Inc.* 2,167 58,921 Vishay Intertechnology, Inc.*+ 3,719 58,500 Convergys Corp.*+ 2,991 58,324 Symbol Technologies, Inc. 5,278 56,950 Diebold, Inc.+ 1,394 56,624 Sanmina-SCI Corp.* 12,293 56,548 LSI Logic Corp.*+ 6,312 56,492 Integrated Device Technology, Inc.*+ 3,962 56,181 Sabre Holdings Corp.+ 2,551 56,122 Ingram Micro, Inc. -- Class A*+ 3,086 55,949 Solectron Corp.*+ 16,302 55,753 Intersil Corp. -- Class A 2,392 55,614 International Rectifier Corp.*+ 1,408 55,025 Activision, Inc.* 4,831 54,977 Ciena Corp.*+ 11,408 54,872 Agere Systems, Inc.*+ 3,723 54,728 JDS Uniphase Corp.*+ 21,631 54,726 Mettler Toledo International, Inc.* 890 53,907 Teradyne, Inc.*+ 3,852 53,658 QLogic Corp.*+ 3,112 53,651 Factset Research Systems, Inc. 1,124 53,165 AVX Corp.+ 3,365 53,133 Trimble Navigation Ltd.* 1,184 52,854 Avnet, Inc.*+ 2,593 51,912 Synopsys, Inc.* 2,733 51,298 Tech Data Corp.*+ 1,338 51,259 Novell, Inc.*+ 7,685 50,952 Compuware Corp.* 7,539 50,511 Varian Semiconductor Equipment Associates, Inc.*+ 1,545 50,382 Fair Isaac Corp. 1,386 50,326 Salesforce.com, Inc.*+ 1,883 50,201 Acxiom Corp.+ 1,978 49,450 Fairchild Semiconductor International, Inc.*+ 2,721 49,441 Transaction Systems Architects, Inc. -- Class A* 1,180 49,194 Reynolds & Reynolds Co. -- Class A 1,598 49,011 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Tektronix, Inc. 1,640 $ 48,249 3Com Corp.*+ 9,420 48,230 CommScope, Inc.* 1,530 48,073 Unisys Corp.* 7,608 47,778 Polycom, Inc.*+ 2,157 47,281 Zebra Technologies Corp. -- Class A* 1,354 46,253 Anixter International, Inc.+ 970 46,036 National Instruments Corp.+ 1,680 46,032 Cymer, Inc.*+ 987 45,856 Daktronics, Inc. 1,570 45,326 WebEx Communications, Inc.*+ 1,275 45,313 Cypress Semiconductor Corp.*+ 3,091 44,943 Belden CDT, Inc.+ 1,354 44,750 BISYS Group, Inc.* 3,226 44,196 Gartner, Inc. -- Class A*+ 3,087 43,835 Micros Systems, Inc.*+ 990 43,243 Sybase, Inc.*+ 2,222 43,107 F5 Networks, Inc.* 802 42,891 CACI International, Inc. -- Class A*+ 730 42,581 MPS Group, Inc.* 2,827 42,575 Jack Henry & Associates, Inc. 2,157 42,407 Itron, Inc.*+ 700 41,482 ADTRAN, Inc. 1,842 41,316 Advent Software, Inc.*+ 1,120 40,398 Hyperion Solutions Corp.* 1,460 40,296 Plexus Corp.* 1,170 40,026 Nvidia Corp.* 1,878 39,983 Imation Corp. 970 39,818 Komag, Inc.*+ 860 39,715 Ansys, Inc.*+ 830 39,691 PMC - Sierra, Inc.*+ 4,193 39,414 Microsemi Corp.* 1,612 39,301 Cree, Inc.*+ 1,640 38,966 ADC Telecommunications, Inc.* 2,305 38,862 CSG Systems International, Inc.* 1,548 38,298 Silicon Laboratories, Inc.*+ 1,084 38,103 Mentor Graphics Corp.*+ 2,907 37,733 Flir Systems, Inc.* 1,686 37,193 Utstarcom, Inc.*+ 4,725 36,808 THQ, Inc.*+ 1,696 36,634 Digital Insight Corp.* 1,054 36,142 Filenet Corp.*+ 1,340 36,086 Kronos, Inc./MA* 990 35,848 Quality Systems, Inc.+ 970 35,715 - -------------------------------------------------------------------------------- 2 TECHNOLOGY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Parametric Technology Corp.*+ 2,809 $ 35,702 Hewitt Associates, Inc. -- Class A* 1,578 35,473 Macrovision Corp.* 1,646 35,422 Avocent Corp.*+ 1,348 35,385 Avid Technology, Inc.*+ 1,060 35,330 Cognex Corp. 1,354 35,245 Diodes, Inc.* 840 34,810 Global Imaging Systems, Inc.* 840 34,675 Andrew Corp.* 3,881 34,386 Coherent, Inc.* 1,010 34,067 Rogers Corp.* 590 33,241 Dolby Laboratories, Inc. -- Class A* 1,400 32,620 Technitrol, Inc. 1,405 32,526 Paxar Corp.* 1,559 32,069 FEI Co.*+ 1,410 31,979 eFunds Corp.* 1,443 31,818 Dycom Industries, Inc.*+ 1,484 31,594 Semtech Corp.*+ 2,177 31,458 Netgear, Inc.* 1,420 30,743 Littelfuse, Inc.* 880 30,254 KEMET Corp.* 3,266 30,113 RF Micro Devices, Inc.*+ 5,043 30,107 SRA International, Inc. -- Class A*+ 1,120 29,826 Gevity HR, Inc.+ 1,120 29,736 Progress Software Corp.* 1,270 29,731 ATMI, Inc.* 1,200 29,544 Aeroflex, Inc.* 2,523 29,443 Veeco Instruments, Inc.*+ 1,230 29,323 Websense, Inc.* 1,424 29,249 Brooks Automation, Inc.*+ 2,472 29,170 Scansource, Inc.* 990 29,027 Checkpoint Systems, Inc.*+ 1,300 28,873 MTS Systems Corp. 730 28,842 Skyworks Solutions, Inc.* 5,227 28,801 Powerwave Technologies, Inc.*+ 3,107 28,336 Internet Security Systems, Inc.*+ 1,478 27,860 Comtech Telecommunications Corp.*+ 950 27,806 Agilsys, Inc. 1,540 27,720 Plantronics, Inc. 1,245 27,651 Lattice Semiconductor Corp.*+ 4,460 27,563 MRO Software, Inc.* 1,370 27,496 DSP Group, Inc.*+ 1,100 27,335 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Benchmark Electronics, Inc.* 1,133 $ 27,328 SPSS, Inc.* 840 26,998 ViaSat, Inc.* 1,050 26,964 Gateway, Inc.*+ 14,068 26,729 Axcelis Technologies, Inc.* 4,476 26,408 Cabot Microelectronics Corp.* 870 26,370 CTS Corp.+ 1,769 26,340 Supertex, Inc.* 650 25,961 Keane, Inc.*+ 2,070 25,875 InfoSpace, Inc.* 1,140 25,844 Triquint Semiconductor, Inc.*+ 5,777 25,765 Micrel, Inc.*+ 2,566 25,686 Newport Corp.*+ 1,574 25,373 Advanced Energy Industries, Inc.*+ 1,916 25,368 Inter-Tel, Inc.+ 1,200 25,272 Wind River Systems, Inc.*+ 2,818 25,080 Applied Micro Circuits Corp.*+ 9,177 25,053 Talx Corp. 1,145 25,041 Black Box Corp.+ 650 24,914 Open Solutions, Inc.* 930 24,747 Synaptics, Inc.*+ 1,147 24,546 Mantech International Corp. -- Class A* 790 24,379 Radisys Corp.* 1,110 24,376 Manhattan Associates, Inc.*+ 1,200 24,348 Photronics, Inc.*+ 1,604 23,739 Epicor Software Corp.*+ 2,180 22,955 Park Electrochemical Corp.+ 890 22,917 Exar Corp.* 1,704 22,612 Take-Two Interactive Software, Inc.*+ 2,112 22,514 Altiris, Inc.* 1,240 22,370 McData Corp. -- Class A*+ 5,459 22,273 Ciber, Inc.*+ 3,362 22,156 Electro Scientific Industries, Inc.* 1,230 22,128 JDA Software Group, Inc.* 1,530 21,466 Hutchinson Technology, Inc.*+ 990 21,414 Standard Microsystems Corp.* 980 21,393 Adaptec, Inc.* 4,900 21,266 Sonic Solutions, Inc.*+ 1,280 21,120 Methode Electronics, Inc. -- Class A 1,998 20,999 Gerber Scientific, Inc.* 1,590 20,686 Power Integrations, Inc.* 1,180 20,626 - -------------------------------------------------------------------------------- 3 TECHNOLOGY FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- Novatel Wireless, Inc.* 1,954 $ 20,283 Brightpoint, Inc.* 1,492 20,187 Rudolph Technologies, Inc.* 1,390 20,155 Secure Computing Corp.*+ 2,326 20,004 Actel Corp.* 1,370 19,660 C-COR, Inc.*+ 2,526 19,501 Cohu, Inc.+ 1,110 19,481 MAXIMUS, Inc. 830 19,215 Digi International, Inc.* 1,515 18,983 Mercury Computer Systems, Inc.* 1,230 18,930 Kulicke & Soffa Industries, Inc.* 2,534 18,777 EPIQ Systems, Inc.*+ 1,090 18,138 Bel Fuse, Inc. -- Class B 548 17,980 Symmetricom, Inc.* 2,506 17,717 Radiant Systems, Inc.* 1,630 17,229 MapInfo Corp.* 1,320 17,226 Ultratech, Inc.*+ 1,060 16,684 Ditech Networks, Inc.* 1,894 16,516 Harmonic, Inc.*+ 3,680 16,486 Carreker Corp.* 2,110 15,087 X-Rite, Inc. 1,360 14,946 Blue Coat Systems, Inc.* 880 14,837 Pericom Semiconductor Corp.* 1,760 14,608 Kopin Corp.*+ 3,993 14,415 Credence Systems Corp.* 3,982 13,937 PC-Tel, Inc.* 1,620 13,835 Keithley Instruments, Inc. 1,040 13,239 Bell Microproducts, Inc.*+ 2,388 12,943 Photon Dynamics, Inc.* 1,030 12,896 Startek, Inc. 850 12,708 Catapult Communications Corp.* 1,140 12,426 Captaris, Inc.* 2,668 12,406 Planar Systems, Inc.* 1,020 12,281 MIVA, Inc.*+ 2,974 12,045 Napster, Inc.* 3,892 11,987 Neoware, Inc.*+ 880 10,815 Tollgrade Communications, Inc.* 1,030 9,991 Phoenix Technologies, Ltd.* 2,070 9,957 Network Equipment Technologies, Inc.* 2,695 8,462 ESS Technologies, Inc.* 3,698 7,988 -------------- TOTAL COMMON STOCKS (Cost $13,454,198) 17,473,524 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 2.1% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 366,962 $ 366,962 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $366,962) 366,962 -------------- SECURITIES LENDING COLLATERAL 26.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 4,582,892 4,582,892 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,582,892) 4,582,892 ============== TOTAL INVESTMENTS 127.9% (Cost $18,404,052) $ 22,423,378 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (27.9)% $ (4,893,533) -------------- NET ASSETS - 100.0% $ 17,529,845 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006 - -------------------------------------------------------------------------------- 4 TELECOMMUNICATIONS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 100.7% Vodafone Group PLC -- SP ADR+ 51,229 $ 1,091,178 AT&T, Inc.+ 36,178 1,009,004 Cisco Systems, Inc.*+ 50,857 993,237 Verizon Communications, Inc.+ 27,981 937,084 Nokia OYJ -- SP ADR+ 44,164 894,763 BellSouth Corp.+ 21,770 788,074 Qualcomm, Inc. 17,274 692,169 Sprint Nextel Corp.+ 31,702 633,723 Motorola, Inc.+ 31,428 633,274 Telefonaktiebolaget LM Ericsson -- SP ADR+ 18,921 625,150 Corning, Inc.* 22,891 553,733 Alltel Corp.+ 7,385 471,385 Qwest Communications International, Inc.*+ 50,051 404,913 Alcatel SA -- SP ADR* 29,066 366,522 American Tower Corp. -- Class A*+ 11,244 349,913 Crown Castle International Corp.*+ 8,329 287,684 Lucent Technologies, Inc.*+ 115,557 279,648 NII Holdings, Inc. -- Class B*+ 4,852 273,556 Juniper Networks, Inc.*+ 16,375 261,836 Avaya, Inc.*+ 19,435 221,948 Tellabs, Inc.* 16,068 213,865 Harris Corp.+ 5,086 211,120 Citizens Communications Co.+ 15,020 196,011 CenturyTel, Inc.+ 5,176 192,288 Comverse Technology, Inc.* 8,844 174,846 U.S. Cellular Corp.* 2,879 174,467 PanAmSat Holding Corp. 6,710 167,683 Ciena Corp.*+ 31,914 153,506 JDS Uniphase Corp.*+ 60,527 153,133 Telephone & Data Systems, Inc. 3,650 151,110 3Com Corp.*+ 26,371 135,020 CommScope, Inc.*+ 4,280 134,478 Polycom, Inc.*+ 6,045 132,506 Belden CDT, Inc.+ 3,779 124,896 F5 Networks, Inc.* 2,240 119,795 ADTRAN, Inc. 5,171 115,986 ADC Telecommunications, Inc.*+ 6,450 108,747 Utstarcom, Inc.*+ 13,231 103,070 Avocent Corp.*+ 3,756 98,595 Andrew Corp.* 10,878 96,379 Cincinnati Bell, Inc.* 22,320 91,512 Dycom Industries, Inc.*+ 4,160 88,566 MARKET SHARES VALUE - ------------------------------------------------------------------------------- Netgear, Inc.*+ 3,980 $ 86,167 Commonwealth Telephone Enterprises, Inc. 2,405 79,750 Powerwave Technologies, Inc.*+ 8,687 79,225 Comtech Telecommunications Corp.*+ 2,670 78,151 Plantronics, Inc. 3,480 77,291 General Communication, Inc. -- Class A* 6,213 76,544 ViaSat, Inc.*+ 2,956 75,910 Inter-Tel, Inc.+ 3,349 70,530 Black Box Corp.+ 1,819 69,722 Embarq Corp.*+ 1,583 64,887 C-COR, Inc.*+ 7,060 54,503 Digi International, Inc.* 4,234 53,052 Bel Fuse, Inc. -- Class B 1,533 50,298 Symmetricom, Inc.* 7,005 49,525 Ditech Networks, Inc.* 5,313 46,329 Harmonic, Inc.*+ 10,297 46,131 Blue Coat Systems, Inc.* 2,460 41,476 PC-Tel, Inc.* 4,530 38,686 Tollgrade Communications, Inc.* 2,890 28,033 Network Equipment Technologies, Inc.* 7,546 23,694 -------------- TOTAL COMMON STOCKS (Cost $12,516,724) 16,096,277 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 1.5% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 232,301 232,301 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $232,301) 232,301 -------------- SECURITIES LENDING COLLATERAL 35.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 5,683,766 5,683,766 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $5,683,766) 5,683,766 ============== TOTAL INVESTMENTS 137.8% (Cost $18,432,791) $ 22,012,344 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (37.8)% $ (6,036,364) -------------- - -------------------------------------------------------------------------------- 1 TELECOMMUNICATIONS FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- NET ASSETS - 100.0% $ 15,975,980 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 TRANSPORTATION FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 99.8% United Parcel Service, Inc. -- Class B+ 67,905 $ 5,590,619 FedEx Corp.+ 39,003 4,557,890 Burlington Northern Santa Fe Corp. 49,704 3,939,042 Union Pacific Corp. 40,235 3,740,246 Norfolk Southern Corp. 67,375 3,585,697 CSX Corp.+ 45,614 3,213,050 Expeditors International Washington, Inc. 52,764 2,955,312 Southwest Airlines Co.+ 158,799 2,599,540 CH Robinson Worldwide, Inc.+ 44,577 2,375,954 Ryder System, Inc.+ 27,682 1,617,459 AMR Corp.*+ 62,241 1,582,166 J.B. Hunt Transport Services, Inc.+ 63,512 1,582,084 Con-way, Inc. 24,268 1,405,845 Swift Transportation Co., Inc.*+ 43,814 1,391,533 Landstar System, Inc. 27,426 1,295,330 YRC Worldwide, Inc.*+ 29,191 1,229,233 Kirby Corp.* 29,499 1,165,210 JetBlue Airways Corp.*+ 95,398 1,158,132 Laidlaw International, Inc. 45,630 1,149,876 Kansas City Southern*+ 40,930 1,133,761 EGL, Inc.*+ 22,423 1,125,635 Old Dominion Freight Line, Inc.* 27,930 1,049,889 Heartland Express, Inc.+ 58,322 1,043,381 Alexander & Baldwin, Inc.+ 22,908 1,014,137 Werner Enterprises, Inc.+ 49,515 1,003,669 Knight Transportation, Inc.+ 49,525 1,000,405 Arkansas Best Corp. 19,122 960,116 Alaska Air Group, Inc.*+ 23,079 909,774 Forward Air Corp.+ 21,792 887,588 SkyWest, Inc.+ 33,897 840,646 AirTran Holdings, Inc.*+ 52,713 783,315 HUB Group, Inc. -- Class A*+ 31,442 771,272 Mesa Air Group, Inc.*+ 41,514 408,913 Frontier Airlines Holdings, Inc.*+ 51,524 371,488 -------------- TOTAL COMMON STOCKS (Cost $47,856,036) 59,438,207 -------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 1.3% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 810,346 $ 810,346 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $810,346) 810,346 -------------- SECURITIES LENDING COLLATERAL 23.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bankcorp 14,108,242 14,108,242 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $14,108,242) 14,108,242 ============== TOTAL INVESTMENTS 124.8% (Cost $62,774,624) $ 74,356,795 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (24.8)% $ (14,781,803) -------------- NET ASSETS - 100.0% $ 59,574,992 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 1 UTILITIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- COMMON STOCKS 100.2% Exelon Corp.+ 21,475 $ 1,220,424 TXU Corp. 19,440 1,162,318 Dominion Resources, Inc./VA+ 13,572 1,015,050 Duke Energy Corp. 34,123 1,002,192 Southern Co.+ 28,764 921,886 FirstEnergy Corp. 15,707 851,476 Public Service Enterprise Group, Inc. 11,971 791,523 FPL Group, Inc.+ 18,964 784,730 Entergy Corp.+ 10,503 743,087 PG&E Corp.+ 18,014 707,590 American Electric Power Co., Inc. 20,571 704,557 PPL Corp.+ 21,746 702,396 AES Corp.*+ 37,501 691,893 Edison International 17,004 663,156 Sempra Energy 14,322 651,365 Consolidated Edison, Inc.+ 14,362 638,247 Progress Energy, Inc.+ 14,479 620,715 Ameren Corp.+ 12,260 619,130 Constellation Energy Group, Inc. 10,915 595,086 Xcel Energy, Inc.+ 28,527 547,148 Questar Corp.+ 6,681 537,754 DTE Energy Co.+ 12,738 518,946 NRG Energy, Inc.*+ 10,521 506,902 KeySpan Corp.+ 12,495 504,798 Allegheny Energy, Inc.*+ 13,280 492,290 NiSource, Inc.+ 22,209 485,045 MDU Resources Group, Inc. 11,447 419,075 Wisconsin Energy Corp. 10,340 416,702 Pepco Holdings, Inc.+ 17,466 411,848 Alliant Energy Corp. 11,670 400,281 SCANA Corp.+ 10,360 399,689 Oneok, Inc.+ 11,533 392,583 Reliant Energy, Inc.*+ 32,487 389,194 CenterPoint Energy, Inc.+ 30,867 385,837 Pinnacle West Capital Corp.+ 9,631 384,373 OGE Energy Corp.+ 10,685 374,296 Equitable Resources, Inc. 10,958 367,093 Energy East Corp.+ 14,907 356,724 Northeast Utilities 16,950 350,356 DPL, Inc.+ 13,059 349,981 Southern Union, Co.+ 12,820 346,909 National Fuel Gas Co.+ 9,720 341,561 AGL Resources, Inc.+ 8,889 338,849 Energen Corp. 8,760 336,472 NSTAR 11,680 334,048 UGI Corp.+ 13,502 332,419 MARKET SHARES VALUE - ------------------------------------------------------------------------------- TECO Energy, Inc.+ 21,742 $ 324,825 CMS Energy Corp.*+ 24,970 323,112 Sierra Pacific Resources*+ 23,064 322,896 Puget Energy, Inc.+ 14,145 303,835 Aqua America, Inc. 13,026 296,863 Atmos Energy Corp. 10,601 295,874 Hawaiian Electric Industries, Inc.+ 10,454 291,771 Vectren Corp.+ 10,278 280,075 Great Plains Energy, Inc.+ 9,861 274,727 WPS Resources Corp. 5,460 270,816 Nicor, Inc.+ 6,391 265,226 Dynegy, Inc. -- Class A* 48,170 263,490 Piedmont Natural Gas Co.+ 10,780 261,954 Westar Energy, Inc. 12,362 260,220 PNM Resources, Inc.+ 10,147 253,269 Aquila, Inc.*+ 58,528 246,403 IDACORP, Inc. 6,913 237,047 Allete, Inc.+ 4,870 230,594 Southwest Gas Corp. 7,195 225,491 Peoples Energy Corp.+ 6,270 225,156 WGL Holdings, Inc.+ 7,655 221,612 New Jersey Resources Corp. 4,725 221,035 Duquesne Light Holdings, Inc. 13,165 216,433 Avista Corp. 9,273 211,703 Cleco Corp.+ 9,058 210,598 Black Hills Corp. 5,975 205,122 Unisource Energy Corp. 6,471 201,572 Northwest Natural Gas Co.+ 5,330 197,370 El Paso Electric Co.* 9,630 194,141 UIL Holding Corp. 3,120 175,625 South Jersey Industries, Inc. 6,240 170,914 Laclede Group, Inc. 4,753 163,313 CH Energy Group, Inc. 3,370 161,760 -------------- TOTAL COMMON STOCKS (Cost $30,266,910) 34,112,836 -------------- FACE AMOUNT - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.3% Collateralized by U.S. Treasury Obligations Lehman Brothers, Inc. at 4.45% due 07/03/06 $ 119,658 119,658 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $119,658) 119,658 -------------- - -------------------------------------------------------------------------------- 1 UTILITIES FUND SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2006 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE - ------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 20.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp 6,915,290 $ 6,915,290 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $6,915,290) 6,915,290 ============== TOTAL INVESTMENTS 120.8% (Cost $37,301,858) $ 41,147,784 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (20.8)% $ (7,098,942) -------------- NET ASSETS - 100.0% $ 34,048,842 * Non-Income Producing Security. + All or a portion of this security is on loan at June 30, 2006. - -------------------------------------------------------------------------------- 2 For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report. ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation on August 21, 2006, the President (principal executive officer) and the Treasurer (principal financial officer) of the Rydex Series Funds (the "Trust") believe that there were no significant deficiencies in the design or operation of the internal controls of the Trust or Rydex Global Advisors ("RGA"), the investment advisor and manager of the Trust, or Rydex Distributors, Inc. ("RD"), which acts as distributor for the Trust, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) which would have adversely affected the ability of the Trust or RGA on behalf of the Trust, to record, process, summarize, and report the subject matter contained in this Report, and the President and Treasurer of the Trust have identified no material weaknesses in such internal controls on behalf of the Trust. There was no fraud, whether or not material, involving officers or employees of RGA, RD, or the Trust who have a significant role in the Trust's internal controls, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that has come to the attention of the Advisor or the officers of the Trust, including its President and Treasurer. (b) There were no significant changes in the Trust's and RGA's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached. EX.-3(i) CERTIFICATIONS I, Carl G. Verboncoeur, certify that: 1. I have reviewed this report on Form N-Q of Rydex Series Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 21, 2006 /s/ Carl G. Verboncoeur ----------------------- Carl G. Verboncoeur President EX.-3(ii) CERTIFICATIONS I, Nick Bonos, certify that: 1. I have reviewed this report on Form N-Q of Rydex Series Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 21, 2006 /s/ Nick Bonos -------------------------- Nick Bonos Vice President & Treasurer 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) Rydex Series Funds -------------------------------------------------------------------- By (Signature and Title)* /s/ Carl G. Verboncoeur ------------------------------------------------------ Carl G. Verboncoeur, President Date August 21, 2006 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. by (Signature and Title)* /s/ Carl G. Verboncoeur ------------------------------------------------------ Carl G. Verboncoeur, President Date August 21, 2006 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ Nick Bonos ------------------------------------------------------ Nick Bonos, Vice President & Treasurer Date August 21, 2006 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. -----END PRIVACY-ENHANCED MESSAGE-----