SEI Institutional Investment Trust


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 94.8%

Consumer Discretionary — 11.0%
99 Cents Only Stores *	7,300	$	120
Abercrombie & Fitch, Cl A	2,100		77
Advance Auto Parts	3,700		151
Aeropostale *	9,900		350
Amazon.com *	58,913		6,975
American Eagle Outfitters	5,500		93
American Greetings, Cl A	8,800		168
Apollo Group, Cl A * (A)	20,900		1,251
ArvinMeritor *	5,200		61
Asbury Automotive Group *	9,400		109
Autoliv (A)	15,800		705
AutoNation * (A)	1,000		18
AutoZone * (A)	587		97
Bed Bath & Beyond * (A)	3,300		137
Best Buy	47,035		1,717
Big Lots *	14,500		486
Black & Decker	600		44
Bob Evans Farms	2,900		83
BorgWarner	3,000		112
Brinker International	1,100		20
Brink’s Home Security Holdings *	3,000		126
Cablevision Systems, Cl A	8,326		200
Career Education *	2,100		58
Carmax * (A)	13,600		275
Carnival	1,300		47
CBS, Cl B	69,400		902
Chico’s FAS	47,600		645
Chipotle Mexican Grill, Cl A * (A)	1,200		126
Coach	84,550		3,081
Comcast, Cl A	328,957		5,408
Cooper Tire & Rubber	34,400		603
Core-Mark Holding *	2,100		67
Darden Restaurants	18,800		762
DeVry	300		19
Dick’s Sporting Goods *	3,100		75
DIRECTV, Cl A *	132,374		4,481
Discovery Communications, Cl C *	9,000		239
DISH Network, Cl A	32,200		643
Dollar Tree *	9,200		513
DreamWorks Animation SKG, Cl A *	1,700		74
Eastman Kodak (A)	309,300		1,837
Education Management *	6,000		119
Expedia (A)	9,000		200
Family Dollar Stores (A)	2,500		83
Ford Motor * (A)	268,900		3,157
Gannett (A)	40,600		615
Gap	62,400		1,342
Garmin (A)	17,600		562
Gentex	1,800		35
Goodyear Tire & Rubber *	2,500		33
Hanesbrands * (A)	1,500		39
Harley-Davidson	1,400		34
Harman International Industries	1,500		65
Hasbro	14,100		504
Helen of Troy *	5,800		140
Home Depot	42,800		1,335
International Game Technology	11,300		198
Interpublic Group *	4,000		30
J.C. Penney	58,700		1,619


Description	Shares	Market Value ($ Thousands)
Jarden	12,900	$	414
Johnson Controls (A)	83,969		2,611
Jones Apparel Group	11,300		190
Kohl’s *	5,994		323
Lamar Advertising, Cl A *	900		27
Las Vegas Sands *	700		12
Leggett & Platt	14,800		281
Lennar, Cl A	3,500		57
Liberty Global, Cl A *	26,000		699
Liberty Media - Capital, Ser A *	3,600		122
Liberty Media - Interactive, Cl A *	8,500		107
Liberty Media - Starz *	3,500		178
Limited Brands (A)	8,900		197
Lithia Motors, Cl A *	5,700		36
LKQ *	500		10
Lowe’s	229,051		5,431
Macy’s	99,600		1,907
Madison Square Garden, Cl A *	2,081		41
Magna International, Cl A	1,800		103
Marriott International, Cl A (A)	6,728		182
Mattel	2,400		53
McDonald’s	28,925		1,847
McGraw-Hill	8,400		287
MGM Mirage * (A)	7,000		74
NetFlix * (A)	400		27
Newell Rubbermaid	13,700		188
News, Cl A (A)	99,300		1,328
NIKE, Cl B (A)	76,890		5,198
Nordstrom (A)	1,400		52
NutriSystem (A)	2,500		49
NVR *	100		71
Office Depot *	6,700		48
Omnicom Group	25,700		941
O’Reilly Automotive * (A)	6,200		244
Oxford Industries	2,500		48
Penn National Gaming *	2,800		65
PetSmart	23,000		626
Phillips-Van Heusen	10,700		466
Polo Ralph Lauren, Cl A	1,700		136
priceline.com * (A)	14,400		3,265
RadioShack	29,500		577
Ross Stores	27,100		1,325
Royal Caribbean Cruises *	1,700		48
Sally Beauty Holdings * (A)	19,100		156
Scholastic (A)	1,800		53
Scripps Networks Interactive, Cl A	4,900		194
Sears Holdings * (A)	35,500		3,396
Service International	20,200		163
Sherwin-Williams	16,500		1,046
Signet Jewelers *	3,600		104
Sonic Automotive, Cl A * (A)	10,600		109
Stanley Works (A)	500		29
Staples	224,067		5,772
Starbucks * (A)	17,300		396
Starwood Hotels & Resorts Worldwide (A)	1,000		39
Strayer Education (A)	1,100		250
Superior Industries International	2,100		30
Target	88,281		4,548
Tempur-Pedic International *	9,800		278
Thor Industries	4,200		143
Tiffany	1,200		53


Description	Shares	Market Value ($ Thousands)
Time Warner	177,856	$	5,165
Time Warner Cable, Cl A (A)	52,493		2,451
TJX	32,400		1,349
TRW Automotive Holdings *	47,500		1,276
Universal Technical Institute *	4,300		109
Urban Outfitters *	5,100		164
VF	8,659		670
Viacom, Cl B *	67,828		2,011
Virgin Media (A)	12,500		202
Walt Disney	85,461		2,670
Wendy’s, Cl A	6,600		32
Whirlpool (A)	11,400		959
Williams-Sonoma	3,100		67
WMS Industries * (A)	4,200		159
Wyndham Worldwide	20,100		462
Wynn Resorts * (A)	300		19
Yum! Brands	69,500		2,343

			109,823


Consumer Staples — 8.3%
Altria Group	8,964		180
Archer-Daniels-Midland	65,700		1,929
Avon Products	30,330		923
BJ’s Wholesale Club * (A)	27,000		977
Bunge	17,200		1,025
Campbell Soup (A)	18,500		617
Chiquita Brands International *	1,500		22
Clorox	4,200		258
Coca-Cola	103,581		5,461
Coca-Cola Enterprises	73,200		1,870
Colgate-Palmolive (A)	31,739		2,632
ConAgra Foods	88,200		2,157
Corn Products International	14,000		456
Costco Wholesale (A)	34,870		2,126
CVS Caremark	66,767		2,253
Dean Foods *	10,300		150
Del Monte Foods	56,700		665
Diageo ADR (A)	25,200		1,645
Dole Food * (A)	15,800		185
Dr Pepper Snapple Group	16,700		530
Estee Lauder, Cl A	1,400		84
General Mills	14,146		1,019
Green Mountain Coffee Roasters * (A)	1,600		135
Herbalife	16,600		665
Hershey (A)	6,300		250
HJ Heinz	2,507		115
Hormel Foods	2,800		115
JM Smucker	3,000		179
Kellogg	6,182		322
Kimberly-Clark	11,854		720
Kraft Foods, Cl A	66,834		1,900
Kroger	28,422		628
Lorillard	2,159		158
Mead Johnson Nutrition, Cl A	44,100		2,086
Molson Coors Brewing, Cl B	1,200		48
NBTY *	4,200		191
Pepsi Bottling Group	7,000		268
PepsiAmericas	3,400		102
PepsiCo	153,898		9,614
Philip Morris International	75,787		3,712
Prestige Brands Holdings *	12,300		99
Procter & Gamble	284,821		18,024


Description	Shares	Market Value ($ Thousands)
Ralcorp Holdings *	11,400	$	762
Reynolds American (A)	37,084		1,958
Safeway	59,800		1,490
Sanderson Farms (A)	6,600		323
Sara Lee	43,500		590
Smithfield Foods * (A)	5,500		95
Supervalu (A)	31,400		480
Sysco	5,300		153
Tyson Foods, Cl A	13,500		230
USANA Health Sciences *	600		16
Walgreen	128,900		4,543
Wal-Mart Stores	104,649		5,658
Whole Foods Market * (A)	5,800		206

			82,999


Energy — 9.7%
Alpha Natural Resources *	767		35
Anadarko Petroleum	4,500		316
Apache	23,000		2,384
Arch Coal	500		11
Atwood Oceanics *	1,000		33
Baker Hughes (A)	1,301		62
BJ Services	8,100		177
Cabot Oil & Gas	4,100		164
Cal Dive International *	12,300		87
Cameron International *	2,858		117
Canadian Natural Resources	28,237		1,915
Chesapeake Energy	96,000		2,551
Chevron	199,184		14,401
Cimarex Energy	5,600		335
Concho Resources *	1,200		56
ConocoPhillips	170,297		8,174
Consol Energy	300		15
Devon Energy	30,900		2,128
Diamond Offshore Drilling (A)	7,100		620
Dresser-Rand Group *	3,000		93
El Paso	40,900		428
Encore Acquisition *	500		25
EOG Resources	36,800		3,461
Exxon Mobil	347,655		22,597
FMC Technologies * (A)	7,500		421
Halliburton	85,030		2,564
Helix Energy Solutions Group *	69,800		803
Helmerich & Payne	500		20
Hess	10,753		632
Holly	14,100		362
James River Coal *	4,400		70
Marathon Oil	105,364		3,050
Massey Energy (A)	600		26
Murphy Oil	48,200		2,502
Nabors Industries *	600		13
National Oilwell Varco	43,344		1,884
Newfield Exploration *	1,500		77
Noble	16,300		689
Noble Energy	2,200		160
Occidental Petroleum	66,929		5,344
Oceaneering International *	2,100		127
Oil States International *	19,400		835
Overseas Shipholding Group (A)	6,300		280
Patterson-UTI Energy	41,300		638
Peabody Energy	6,200		285
PetroHawk Energy *	700		15
Pioneer Natural Resources	1,100		51


Description	Shares	Market Value ($ Thousands)
Plains Exploration & Production *	1,000	$	33
Pride International *	700		20
Quicksilver Resources *	900		13
Range Resources	30,702		1,554
Rowan *	800		21
SandRidge Energy * (A)	3,800		30
Schlumberger	67,906		4,149
SEACOR Holdings *	500		38
Southern Union	64,700		1,549
Southwestern Energy *	30,500		1,298
Spectra Energy	18,700		408
St. Mary Land & Exploration	600		19
Stone Energy *	18,400		314
Suncor Energy	11,934		345
Sunoco (A)	17,900		472
Tidewater	11,300		504
Transocean *	18,300		1,461
Unit *	800		35
Valero Energy	47,300		829
Williams	90,200		1,943
XTO Energy	16,587		758

			96,826


Financials — 15.0%
ACE	4,200		210
Affiliated Managers Group *	800		57
Aflac	112,340		5,555
Allied World Assurance Holdings	8,900		410
Allstate	114,000		3,562
American Equity Investment Life Holding	9,700		85
American Express	154,967		5,918
American Financial Group	9,900		256
American International Group * (A)	5,800		144
AmeriCredit * (A)	5,800		129
Ameriprise Financial	54,600		2,186
Annaly Capital Management ‡	79,900		1,469
Anworth Mortgage Asset ‡	4,100		28
Argo Group International Holdings	4,400		122
Associated Banc (A)	1,900		25
Assurant	22,507		687
AvalonBay Communities ‡ (A)	203		16
Axis Capital Holdings	17,100		538
Bancorpsouth (A)	1,100		21
Bank of America	764,958		12,744
Bank of New York Mellon	134,686		3,841
BB&T (A)	19,401		554
BlackRock, Cl A	2,900		635
BOK Financial (A)	12,300		566
Boston Properties ‡	400		27
Brandywine Realty Trust ‡	29,300		328
Brookfield Asset Management, Cl A	32,100		760
Camden Property Trust ‡	1,100		44
Capital One Financial (A)	104,400		3,941
Cardinal Financial	4,400		43
CB Richard Ellis Group, Cl A *	8,800		116
CBL & Associates Properties ‡ (A)	6,600		78
Charles Schwab (A)	41,385		758
Chimera Investment ‡	107,900		432
Chubb	41,000		2,069


Description	Shares	Market Value ($ Thousands)
Cincinnati Financial	10,500	$	282
Citigroup *	997,830		3,393
CME Group, Cl A	20,095		6,062
Colony Financial ‡	700		14
Comerica	14,700		530
Cowen Group, Cl A *	5,200		28
Credicorp	2,700		211
Cullen/Frost Bankers	700		38
Discover Financial Services	16,700		228
Eaton Vance (A)	4,400		133
Endurance Specialty Holdings (A)	25,400		977
Equity Residential ‡	700		25
Essex Property Trust ‡ (A)	300		26
Everest Re Group	14,300		1,221
Federal Realty Investment Trust ‡	300		21
Federated Investors, Cl B (A)	11,000		275
Fifth Third Bancorp	18,000		220
First American	2,400		77
First Bancorp	1,300		18
First Community Bancshares (A)	3,300		38
First Financial Holdings	2,700		32
First Horizon National *	4,081		52
Flagstone Reinsurance Holdings	4,600		53
FNB (Pennsylvania) (A)	4,300		33
Franklin Resources	15,271		1,553
Fulton Financial	6,000		58
Genworth Financial, Cl A *	11,800		188
Goldman Sachs Group	55,389		8,660
Greenhill (A)	300		21
Hartford Financial Services Group	39,223		956
HCC Insurance Holdings	500		14
HCP ‡ (A)	10,600		305
Hospitality Properties Trust ‡	17,200		378
Host Hotels & Resorts ‡ * (A)	5,515		65
HRPT Properties Trust ‡	134,600		945
Hudson City Bancorp	105,900		1,432
Huntington Bancshares	149,100		717
IntercontinentalExchange *	32,000		3,433
Invesco	19,400		380
Jefferies Group (A)	5,900		147
Jones Lang LaSalle	15,500		987
JPMorgan Chase	416,896		17,497
Keycorp	23,400		167
Lakeland Bancorp	2,700		21
Lazard, Cl A	2,500		90
Legg Mason	600		15
Liberty Property Trust ‡	3,300		102
Lincoln National	14,600		368
Loews	10,247		374
M&T Bank (A)	1,500		116
Macerich ‡ (A)	1,314		47
Mack-Cali Realty ‡	400		13
Marsh & McLennan	1,700		39
Marshall & Ilsley	16,000		113
MBIA * (A)	1,300		6
MetLife	67,390		2,452
MFA Mortgage Investments ‡	41,600		301
Montpelier Re Holdings (A)	27,200		483
Moody’s (A)	34,800		926
Morgan Stanley	89,517		2,523
MSCI, Cl A *	5,800		174
Nationwide Health Properties ‡	1,000		33
Nelnet, Cl A	6,200		98


Description	Shares	Market Value ($ Thousands)
Northern Trust (A)	15,985	$	852
NYSE Euronext (A)	106,500		2,810
OceanFirst Financial	2,300		24
Parkway Properties ‡	2,700		45
PartnerRe	300		24
People’s United Financial	26,060		411
Phoenix * (A)	13,300		32
Platinum Underwriters Holdings	13,200		494
PNC Financial Services Group	54,729		2,942
Presidential Life	3,200		31
Principal Financial Group (A)	13,400		311
Progressive	16,500		283
Protective Life	5,700		105
Provident Financial Services	2,600		28
Prudential Financial	37,600		1,971
Public Storage ‡	1,600		131
Ramco-Gershenson Properties ‡	4,200		42
Raymond James Financial (A)	1,000		26
Rayonier ‡	400		17
Regions Financial (A)	47,455		320
RenaissanceRe Holdings	4,100		227
Resource Capital ‡	6,800		43
Senior Housing Properties Trust ‡	4,200		87
Simon Property Group ‡	1,023		80
SL Green Realty ‡ (A)	1,500		77
SLM *	14,500		162
St. Joe * (A)	1,500		41
StanCorp Financial Group	900		39
State Street	58,800		2,641
SunTrust Banks (A)	17,300		412
T. Rowe Price Group (A)	28,132		1,426
Taubman Centers ‡ (A)	29,900		1,158
TCF Financial (A)	700		10
TD Ameritrade Holding * (A)	4,300		75
Torchmark (A)	20,845		969
Transatlantic Holdings	1,500		75
Travelers	76,518		4,024
Trustco Bank (A)	19,200		116
UDR ‡	4,200		71
Unitrin	1,500		36
Unum Group	74,200		1,544
US Bancorp	126,055		3,102
Ventas ‡	1,200		53
Waddell & Reed Financial, Cl A	3,700		122
Webster Financial (A)	9,900		158
Wells Fargo	441,264		12,064
White Mountains Insurance Group	300		104
WR Berkley (A)	5,700		147
XL Capital, Cl A	62,000		1,133
Zions Bancorporation (A)	7,900		147

			149,780


Health Care — 13.0%
Abbott Laboratories	75,741		4,111
Aetna	104,900		3,146
Allergan	150,520		8,795
Allscripts-Misys Healthcare Solutions * (A)	19,300		345
American Medical Systems Holdings *	8,300		150
AmerisourceBergen	31,700		889
Amgen *	109,506		6,199


Description	Shares	Market Value ($ Thousands)
Amylin Pharmaceuticals *	3,100	$	59
Atrion	100		16
Baxter International	58,016		3,303
Beckman Coulter	2,400		157
Becton Dickinson	18,451		1,437
Biogen Idec *	33,240		1,829
Boston Scientific * (A)	110,800		858
Bristol-Myers Squibb	155,713		3,817
Bruker *	10,700		134
C.R. Bard	4,250		356
Cantel Medical	2,300		45
Cardinal Health	5,000		170
Celgene *	1,776		106
Cerner * (A)	2,500		208
Charles River Laboratories International * (A)	4,500		171
CIGNA	27,314		936
Community Health Systems *	2,000		69
Cooper (A)	1,300		52
Covance * (A)	2,600		147
Coventry Health Care *	22,500		522
Covidien	37,993		1,866
Dendreon *	6,800		212
Edwards Lifesciences *	1,300		119
Eli Lilly	74,904		2,572
Endo Pharmaceuticals Holdings *	18,900		430
Express Scripts *	7,750		744
Forest Laboratories *	70,800		2,115
Genzyme *	68,050		3,892
Gilead Sciences *	145,512		6,928
Health Management Associates, Cl A *	8,700		64
Health Net *	5,300		122
Henry Schein *	1,000		57
Hill-Rom Holdings	3,800		100
Hologic * (A)	2,800		48
Hospira *	13,500		706
Humana *	26,500		1,254
Idexx Laboratories * (A)	5,800		306
Intuitive Surgical *	3,400		1,180
Invacare	2,400		65
Inverness Medical Innovations * (A)	2,500		98
Johnson & Johnson	194,346		12,244
Kinetic Concepts *	15,900		667
King Pharmaceuticals * (A)	41,600		468
Laboratory Corp of America Holdings *	2,652		194
Life Technologies *	7,800		396
LifePoint Hospitals *	700		21
Lincare Holdings * (A)	1,200		48
McKesson	17,200		1,017
Medco Health Solutions *	83,046		5,252
Medicis Pharmaceutical, Cl A	2,300		52
Mednax *	3,800		203
Medtronic	92,771		4,026
Merck	151,692		5,594
Meridian Bioscience	5,600		124
Mettler Toledo International *	4,200		417
Millipore *	2,900		274
Mylan Laboratories * (A)	13,500		288
Novo Nordisk ADR (A)	46,300		3,293
Par Pharmaceutical *	8,700		218


Description	Shares	Market Value ($ Thousands)
Patterson *	3,700	$	110
PerkinElmer	3,600		80
Perrigo (A)	4,000		198
Pfizer	474,389		8,326
Quest Diagnostics	15,300		868
ResMed *	400		23
Sirona Dental Systems *	800		29
St. Jude Medical *	78,446		2,998
Stryker (A)	42,200		2,241
Tenet Healthcare *	31,600		167
Teva Pharmaceutical Industries ADR (A)	29,972		1,799
Thermo Fisher Scientific *	30,794		1,502
United Therapeutics *	1,000		57
UnitedHealth Group	268,300		9,085
Universal Health Services, Cl B	19,900		617
Valeant Pharmaceuticals International * (A)	28,700		1,068
Vertex Pharmaceuticals * (A)	1,000		41
Waters *	1,400		83
Watson Pharmaceuticals * (A)	21,500		855
WellPoint *	60,100		3,718
Zimmer Holdings *	10,300		591

			130,157


Industrials — 7.8%
3M	32,198		2,581
Aecom Technology *	1,500		41
AGCO * (A)	700		24
Aircastle	4,300		42
Alexander & Baldwin	2,100		68
Alliant Techsystems * (A)	8,300		659
AO Smith	1,100		50
Avery Dennison	1,800		57
Avis Budget Group * (A)	3,000		32
BE Aerospace *	1,200		31
Boeing (A)	36,330		2,295
Bucyrus International, Cl A	400		25
C.H. Robinson Worldwide (A)	3,787		202
Canadian National Railway	12,700		669
Carlisle	2,700		92
Caterpillar	4,600		262
Cintas	200		5
Con-way (A)	2,900		94
Copa Holdings, Cl A	1,800		98
Corrections of America *	7,400		159
Crane	10,000		317
CSX	9,990		474
Cummins	29,632		1,682
Danaher	24,085		1,782
Deere	2,700		155
Dollar Thrifty Automotive Group * (A)	4,500		135
Dover	12,100		548
Dun & Bradstreet	207		15
DynCorp International, Cl A *	9,300		104
Eaton	8,900		606
Emerson Electric	32,133		1,521
Ennis	4,200		65
Equifax	600		19
Expeditors International Washington (A)	106,300		3,877
FedEx	21,300		1,805


Description	Shares	Market Value ($ Thousands)
Flowserve	1,400	$	140
Fluor	3,100		133
Foster Wheeler *	17,100		421
Gardner Denver	20,400		890
General Cable * (A)	900		22
General Dynamics	42,586		3,090
General Electric	825,743		13,261
Gibraltar Industries *	1,800		21
Goodrich (A)	25,600		1,680
Harsco	26,600		799
Herman Miller	1,800		33
Hertz Global Holdings *	700		7
Honeywell International	15,222		611
Hubbell, Cl B	4,800		225
Illinois Tool Works	36,900		1,680
Iron Mountain	2,100		54
ITT	4,460		228
JB Hunt Transport Services	1,100		39
Joy Global	5,600		284
Kansas City Southern *	1,900		65
KBR (A)	39,300		814
Kirby *	1,400		46
L-3 Communications Holdings, Cl 3	20,200		1,847
Lennox International	1,300		55
Lincoln Electric Holdings (A)	1,000		48
Lockheed Martin	11,185		870
Manpower	6,800		350
Masco	1,200		16
McDermott International *	4,100		94
Norfolk Southern	10,300		530
Northrop Grumman	63,659		3,900
Oshkosh Truck	16,900		644
Owens Corning *	10,100		238
Parker Hannifin	36,501		2,201
Precision Castparts	1,925		217
Quanta Services *	69,600		1,322
Raytheon	75,544		4,248
Rockwell Automation	6,200		335
Rockwell Collins	3,600		203
RR Donnelley & Sons	61,300		1,219
Ryder System	4,600		162
Schawk, Cl A	1,400		18
Shaw Group *	100		3
Southwest Airlines	2,400		30
Spirit Aerosystems Holdings, Cl A *	4,600		88
SPX	12,000		714
Standex International	1,200		30
Tennant	1,200		29
Textron (A)	2,400		48
Thomas & Betts *	800		29
Toro (A)	5,600		246
Towers Watson, Cl A	3,900		172
TransDigm Group	500		25
Tredegar	800		13
Tyco International	27,400		988
Union Pacific	32,423		2,184
United Parcel Service, Cl B	41,545		2,440
United Technologies	94,438		6,483
URS *	900		42
Valmont Industries	300		21
Verisk Analytics, Cl A *	1,000		29


Description	Shares	Market Value ($ Thousands)

WABCO Holdings	2,000	$	53
Waste Management	11,000		363
Werner Enterprises (A)	6,000		134
WESCO International *	800		23
WW Grainger	5,900		600

			78,438


Information Technology — 20.1%
Activision Blizzard	4,500		48
Adobe Systems *	121,417		4,207
Advanced Micro Devices * (A)	6,100		48
Agilent Technologies *	5,000		157
Alliance Data Systems * (A)	1,100		61
Altera (A)	3,400		83
Amdocs *	45,400		1,320
Amphenol, Cl A	1,600		67
Analog Devices	7,800		228
Ansys *	500		22
AOL *	503		12
Apple *	89,268		18,266
Applied Materials	4,200		51
Arris Group *	4,600		47
Arrow Electronics *	5,000		141
Autodesk *	46,500		1,296
Automatic Data Processing	1,446		60
Avnet *	22,700		627
BMC Software *	17,400		641
Brightpoint *	6,400		46
Broadcom, Cl A (A)	52,960		1,659
Broadridge Financial Solutions	7,000		147
Brocade Communications Systems *	6,500		38
CA	110,800		2,493
Cadence Design Systems *	11,800		67
Cirrus Logic *	4,800		34
Cisco Systems *	505,545		12,300
Citrix Systems * (A)	41,498		1,785
Cognizant Technology Solutions, Cl A *	7,700		371
CommScope *	800		20
Computer Sciences *	22,100		1,145
Corning	107,500		1,895
Cree *	1,800		122
Cypress Semiconductor *	4,400		52
DealerTrack Holdings *	1,600		23
Dell *	47,100		623
Diebold	1,700		49
Dolby Laboratories, Cl A *	700		37
DST Systems * (A)	6,900		265
eBay *	248,420		5,719
EchoStar, Cl A *	5,200		105
Electronic Arts * (A)	31,350		520
EMC *	335,499		5,868
Equinix * (A)	600		57
F5 Networks *	3,600		201
Factset Research Systems (A)	2,400		159
Fairchild Semiconductor International, Cl A *	10,700		110
Fidelity National Information Services	17,706		399
Fiserv *	7,200		347
Flextronics International *	110,600		770
Global Payments	1,500		64


Description	Shares	Market Value ($ Thousands)

Google, Cl A *	27,408	$	14,438
Harris	26,300		1,189
Hewitt Associates, Cl A *	5,000		190
Hewlett-Packard	203,919		10,357
IAC *	9,100		204
infoGROUP *	1,800		14
Ingram Micro, Cl A *	47,300		837
Intel	439,204		9,017
International Business Machines	84,433		10,737
Intersil, Cl A (A)	10,100		150
Intuit * (A)	127,000		4,110
Jabil Circuit	13,900		211
Juniper Networks *	7,600		213
Kla-Tencor (A)	8,500		248
Lam Research *	6,100		207
Lender Processing Services	2,600		99
Lexmark International, Cl A *	700		24
Linear Technology (A)	5,100		139
Loral Space & Communications *	700		23
LSI *	19,900		107
Marvell Technology Group *	46,000		889
Mastercard, Cl A (A)	17,140		3,846
Maxim Integrated Products (A)	5,700		106
McAfee *	8,800		349
Microchip Technology (A)	8,800		238
Micron Technology * (A)	126,200		1,143
Micros Systems *	6,800		204
Microsoft	560,524		16,065
Molex (A)	3,800		78
Monster Worldwide * (A)	5,900		82
Motorola *	40,700		275
National Instruments	800		25
National Semiconductor (A)	7,300		106
NCR *	28,000		353
NetApp *	10,000		300
NeuStar, Cl A *	7,500		174
Nokia ADR	127,100		1,712
Nortel Networks *	5		—
Novellus Systems *	6,700		148
Nuance Communications *	1,900		27
Nvidia *	1,200		19
ON Semiconductor * (A)	1,900		15
Oracle	192,808		4,753
Paychex (A)	59,300		1,775
Pegasystems	2,300		83
PMC - Sierra *	23,800		198
QLogic *	1,300		24
Qualcomm	262,435		9,629
Rackspace Hosting * (A)	80,100		1,588
Rambus * (A)	3,300		72
Red Hat *	47,100		1,321
Rovi * (A)	7,308		245
SAIC *	31,400		619
Salesforce.com *	2,100		143
Seagate Technology	90,900		1,810
Semtech *	7,500		119
Silicon Laboratories * (A)	2,000		91
Sybase *	3,000		133
Symantec *	213,040		3,526
Synopsys *	5,100		112
Tech Data *	15,000		643
Tellabs	19,200		133
Teradata *	110,500		3,369


Description	Shares	Market Value ($ Thousands)

Teradyne * (A)	2,400	$	24
Texas Instruments (A)	202,132		4,928
Total System Services (A)	12,900		184
Trimble Navigation *	600		16
Tyco Electronics	28,700		735
Varian Semiconductor Equipment Associates *	700		21
VeriSign * (A)	147,200		3,668
Visa, Cl A (A)	89,676		7,648
Vishay Intertechnology *	45,000		461
VMware, Cl A * (A)	1,100		54
WebMD Health, Cl A * (A)	3,310		143
Western Digital *	37,800		1,460
Western Union	63,542		1,003
Xerox	94,263		883
Xilinx (A)	32,440		838
Yahoo! *	299,481		4,585
Zebra Technologies, Cl A *	20,200		577

			201,154


Materials — 3.4%
A. Schulman	4,000		94
AEP Industries *	2,900		101
Air Products & Chemicals	4,800		329
Albemarle	4,000		150
Alcoa (A)	67,400		896
Allegheny Technologies	400		17
Ashland	17,800		838
Ball	14,500		784
Bemis	7,300		214
Boise *	5,100		24
Cabot	800		23
Celanese, Cl A	12,400		387
CF Industries Holdings	500		53
Commercial Metals (A)	1,200		20
Compass Minerals International	300		23
Crown Holdings *	9,700		265
Cytec Industries	1,600		68
Dow Chemical	2,500		71
E.I. Du Pont de Nemours	35,000		1,180
Eagle Materials	600		14
Eastman Chemical	27,300		1,626
Ecolab	11,860		500
FMC	100		6
Freeport-McMoRan Copper & Gold, Cl B	58,000		4,359
Greif, Cl A	3,000		154
Huntsman	11,400		157
International Flavors & Fragrances	600		25
International Paper	43,200		1,001
Lubrizol	23,900		1,888
MeadWestvaco	7,700		177
Monsanto	16,917		1,195
Nalco Holding	62,900		1,463
NewMarket	2,900		258
Newmont Mining	13,000		641
Nucor	35,800		1,482
Omnova Solutions *	8,600		53
Owens-Illinois *	16,000		474
Packaging of America	1,200		29
Pactiv *	16,100		399
Potash Corp of Saskatchewan	12,389		1,368


Description	Shares	Market Value ($ Thousands)

PPG Industries	3,400	$	209
Praxair	40,931		3,076
Reliance Steel & Aluminum	1,800		80
Rock-Tenn, Cl A	15,750		659
RPM International	8,700		167
Scotts Miracle-Gro, Cl A	6,900		269
Sealed Air	42,500		868
Sigma-Aldrich	500		24
Sonoco Products	25,300		748
Southern Copper (A)	49,300		1,447
Spartech	7,900		81
Stepan	800		38
Syngenta ADR (A)	49,500		2,570
Temple-Inland	6,400		119
Terra Industries	1,600		66
Valspar (A)	3,200		88
Walter Industries	4,700		369
WR Grace *	3,000		87

			33,771


Telecommunication Services — 3.1%
American Tower, Cl A *	27,054		1,154
AT&T	534,434		13,259
BCE	39,100		1,085
CenturyTel	33,891		1,162
Crown Castle International *	136,373		5,155
NII Holdings *	19,700		737
Qwest Communications International (A)	7,900		36
SBA Communications, Cl A *	2,000		71
Sprint Nextel *	151,900		506
Telephone & Data Systems	27,400		855
tw telecom , Cl A *	1,600		26
Verizon Communications	238,962		6,913

			30,959


Utilities — 3.4%
AES *	506,887		5,926
AGL Resources	8,100		294
Allegheny Energy	1,300		29
Alliant Energy	17,200		544
Ameren	18,200		450
American Electric Power	36,900		1,241
American Water Works	2,200		49
Aqua America (A)	7,400		127
Atmos Energy	11,900		327
Calpine *	7,700		84
CMS Energy (A)	32,300		493
Consolidated Edison	300		13
Constellation Energy Group	27,700		971
Dominion Resources	35,500		1,349
DPL	40,200		1,067
DTE Energy (A)	36,100		1,567
Duke Energy	9,100		149
Edison International	77,200		2,519
Energen	22,900		1,041
Entergy	21,000		1,595
Equities	9,400		411
Exelon	50,454		2,185
FirstEnergy	24,400		943
FPL Group	26,300		1,220
Mirant *	98,000		1,233


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)

National Fuel Gas	15,100	$	751
NiSource	3,700		55
NRG Energy *	11,100		242
NV Energy	56,200		624
OGE Energy	1,900		69
Oneok	700		31
Pepco Holdings	13,800		232
PG&E (A)	17,619		739
Pinnacle West Capital (A)	16,800		612
PPL	2,565		73
Public Service Enterprise Group	65,040		1,933
Questar	2,300		97
Sempra Energy	46,467		2,285
TECO Energy	3,800		58
Xcel Energy	945		20

			33,648

Total Common Stock (Cost $823,269) ($ Thousands)			947,555


AFFILIATED PARTNERSHIP — 8.9%
SEI Liquidity Fund, L.P.,
0.240% (B) ** †	89,460,883		88,794

Total Affiliated Partnership (Cost $89,461) ($ Thousands)			88,794


CASH EQUIVALENT — 1.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.070% ** †	17,704,558		17,705

Total Cash Equivalent (Cost $17,705) ($ Thousands)			17,705


U.S. TREASURY OBLIGATION — 0.8%
U.S. Treasury Bill (C) (D)
0.126%, 06/03/10	$7,761		7,758

Total U.S. Treasury Obligation (Cost $7,758) ($ Thousands)			7,758

Total Investments — 106.3% (Cost $938,193)($ Thousands)††		$	1,061,812

Percentages are based on a Net Assets of $998,939 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	133	Mar-2010	$	496
S&P Mid 400 E-MINI	66	Mar-2010		101

			$	597

For the period ended February 28, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $938,193 ($Thousands), and the unrealized appreciation and depreciation were $152,766 ($Thousands) and $(29,147) ($Thousands) respectively.

(A)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $87,475 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of February 28, 2010 was $88,794 ($ Thousands).

(C)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(D)

Zero coupon security. The rate reported is the effective yield at time of purchase

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

Ser — Series

See end of Form N-Q Filing for ASC 820 disclosure.

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


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 80.6%

Consumer Discretionary — 9.5%
99 Cents Only Stores *	5,000	$	83
Abercrombie & Fitch, Cl A	900		33
Advance Auto Parts	1,900		77
Aeropostale *	1,900		67
Amazon.com *	10,936		1,295
American Eagle Outfitters	2,800		47
American Greetings, Cl A	5,000		95
Apollo Group, Cl A *	4,975		298
ArvinMeritor *	1,600		19
Asbury Automotive Group *	5,000		58
Autoliv	3,100		138
AutoNation *	600		11
AutoZone *	300		50
Bed Bath & Beyond *	1,500		62
Best Buy	10,213		373
Black & Decker	621		45
Bob Evans Farms	1,400		40
BorgWarner	1,500		56
Brinker International	600		11
Brink’s Home Security Holdings *	1,748		73
Cablevision Systems, Cl A	4,100		99
Career Education *	400		11
Carmax *	6,700		135
Carnival	700		25
CBS, Cl B	2,100		27
Chico’s FAS	22,000		298
Chipotle Mexican Grill, Cl A *	2,800		293
Coach	33,700		1,228
Comcast, Cl A	187,515		3,083
Cooper Tire & Rubber	2,400		42
Core-Mark Holding *	400		13
Darden Restaurants	2,700		109
DeVry	4,700		297
Dick’s Sporting Goods *	1,600		39
DIRECTV, Cl A *	38,100		1,290
Discovery Communications, Cl C *	4,300		114
DISH Network, Cl A	21,275		425
Dollar Tree *	3,900		217
DreamWorks Animation SKG, Cl A *	700		30
Eastman Kodak	83,900		498
Education Management *	2,600		52
Expedia	4,300		96
Family Dollar Stores	1,400		46
Ford Motor *	148,062		1,739
Fossil *	9,400		341
Gannett	1,600		24
Gap	37,500		806
Garmin	13,200		422
Gentex	1,300		25
Goodyear Tire & Rubber *	1,300		17
Hanesbrands *	800		21
Harley-Davidson	700		17
Harman International Industries	700		30
Helen of Troy *	3,200		77
Home Depot	12,400		387
International Game Technology	5,500		97
Interpublic Group *	2,000		15
ITT Educational Services *	4,600		501
J.C. Penney	15,475		427


Description	Shares	Market Value ($ Thousands)
Jarden	500	$	16
Johnson Controls	15,100		470
Jones Apparel Group	5,000		84
Kenneth Cole Productions, Cl A	1,000		11
Kohl’s *	20,047		1,079
Lamar Advertising, Cl A *	100		3
Las Vegas Sands *	500		8
Leggett & Platt	7,800		148
Lennar, Cl A	1,800		30
Liberty Global, Cl A *	1,400		38
Liberty Media - Capital, Ser A *	1,800		61
Liberty Media - Interactive, Cl A *	4,600		58
Liberty Media - Starz *	1,710		87
Limited Brands	17,900		396
Lithia Motors, Cl A *	2,800		18
Lowe’s	31,900		756
Macy’s	25,300		484
Madison Square Garden, Cl A *	1,025		20
Marriott International, Cl A	6,783		184
McDonald’s	8,100		517
McGraw-Hill	4,000		137
MGM Mirage *	3,300		35
NetFlix *	7,300		482
Newell Rubbermaid	5,900		81
News, Cl A	10,200		136
NIKE, Cl B	18,300		1,237
Nordstrom	700		26
Office Depot *	3,300		24
Omnicom Group	2,600		95
O’Reilly Automotive *	3,000		118
Oxford Industries	2,000		39
Penn National Gaming *	1,200		28
PetSmart	1,000		27
Phillips-Van Heusen	5,400		235
Polo Ralph Lauren, Cl A	900		72
priceline.com *	4,300		975
RadioShack	700		14
Ross Stores	19,700		964
Royal Caribbean Cruises *	900		25
Sally Beauty Holdings *	7,600		62
Scripps Networks Interactive, Cl A	2,400		95
Sears Holdings *	7,600		727
Service International	9,900		80
Signet Jewelers *	1,800		52
Sonic Automotive, Cl A *	10,900		112
Stanley Works	400		23
Staples	40,200		1,036
Starbucks *	19,600		449
Starwood Hotels & Resorts Worldwide	500		19
Strayer Education	300		68
Superior Industries International	1,100		16
Target	18,100		933
Tempur-Pedic International *	5,700		162
Thor Industries	2,600		88
Tiffany	600		27
Time Warner	49,062		1,425
Time Warner Cable, Cl A	8,079		377
TJX	12,900		537
TRW Automotive Holdings *	9,600		258
Universal Technical Institute *	1,600		40
Urban Outfitters *	2,500		80


Description	Shares	Market Value ($ Thousands)
VF	3,800	$	294
Viacom, Cl B *	11,500		341
Virgin Media	6,100		99
Walt Disney	11,562		361
Wendy’s, Cl A	3,200		16
Whirlpool	3,400		286
Williams-Sonoma	1,800		39
WMS Industries *	2,000		76
Wyndham Worldwide	500		12
Wynn Resorts *	200		13
Yum! Brands	19,225		648

			34,413


Consumer Staples — 7.5%
Altria Group	4,600		93
Andersons	300		10
Archer-Daniels-Midland	35,900		1,054
Avon Products	4,300		131
BJ’s Wholesale Club *	8,000		289
Bunge	5,100		304
Clorox	2,900		178
Coca-Cola	18,700		986
Coca-Cola Enterprises	19,200		491
Colgate-Palmolive	2,800		232
ConAgra Foods	30,700		751
Corn Products International	9,600		313
Costco Wholesale	4,000		244
CVS Caremark	5,804		196
Dean Foods *	4,600		67
Del Monte Foods	9,700		114
Diageo ADR	5,700		372
Dole Food *	5,200		61
Dr Pepper Snapple Group	8,100		257
Estee Lauder, Cl A	700		42
General Mills	900		65
Green Mountain Coffee Roasters *	800		67
Herbalife	13,500		541
Hershey	3,200		127
HJ Heinz	1,100		50
Hormel Foods	1,500		62
JM Smucker	1,500		90
Kellogg	2,200		115
Kimberly-Clark	6,400		389
Kraft Foods, Cl A	13,160		374
Kroger	24,900		550
Lorillard	1,000		73
Mead Johnson Nutrition, Cl A	900		42
Molson Coors Brewing, Cl B	200		8
NBTY *	2,000		91
Pepsi Bottling Group	4,389		168
PepsiAmericas	1,905		57
PepsiCo	26,850		1,677
Philip Morris International	66,277		3,246
Prestige Brands Holdings *	4,200		34
Procter & Gamble	69,600		4,404
Reynolds American	5,100		269
Sanderson Farms	2,600		127
Sara Lee	83,381		1,131
Smithfield Foods *	2,200		38
Supervalu	67,740		1,034
Sysco	86,953		2,513
Tyson Foods, Cl A	24,200		412
USANA Health Sciences *	400		11


Description	Shares	Market Value ($ Thousands)
Walgreen	39,443	$	1,390
Wal-Mart Stores	35,600		1,925
Weis Markets	400		14
Whole Foods Market *	3,300		117

			27,396


Energy — 7.2%
Alpha Natural Resources *	333		15
Anadarko Petroleum	2,200		154
Apache	600		62
Arch Coal	300		7
Atwood Oceanics *	400		13
Baker Hughes	800		38
BJ Services	5,586		122
Cabot Oil & Gas	2,100		84
Cameron International *	1,400		58
Chesapeake Energy	21,900		582
Chevron	76,421		5,525
Cimarex Energy	900		54
Concho Resources *	600		28
ConocoPhillips	82,989		3,983
Consol Energy	200		10
Devon Energy	5,900		406
Diamond Offshore Drilling	700		61
Dresser-Rand Group *	1,700		53
El Paso	6,600		69
Encore Acquisition *	697		35
EOG Resources	11,000		1,035
Exxon Mobil	104,073		6,765
FMC Technologies *	2,600		146
Gulfport Energy *	1,000		9
Halliburton	10,900		329
Helix Energy Solutions Group *	15,900		183
Helmerich & Payne	200		8
Hess	18,103		1,064
James River Coal *	2,200		35
Marathon Oil	31,400		909
Massey Energy	300		13
Murphy Oil	28,349		1,471
Nabors Industries *	300		7
National Oilwell Varco	1,689		73
Newfield Exploration *	700		36
Noble Energy	1,000		73
Occidental Petroleum	4,000		319
Oceaneering International *	900		54
Patterson-UTI Energy	30,800		476
Peabody Energy	2,800		129
PetroHawk Energy *	400		9
Pioneer Natural Resources	400		19
Plains Exploration & Production *	500		16
Pride International *	300		8
Quicksilver Resources *	1,100		16
Range Resources	1,100		56
Rowan *	400		10
SandRidge Energy *	900		7
Schlumberger	8,600		526
SEACOR Holdings *	100		8
Southern Union	4,100		98
Southwestern Energy *	1,100		47
Spectra Energy	8,200		179
St. Mary Land & Exploration	500		16
Stone Energy *	8,300		142
Tidewater	1,100		49


Description	Shares	Market Value ($ Thousands)
Transocean *	2,900	$	232
Unit *	400		17
Williams	9,000		194
XTO Energy	5,011		229

			26,371


Financials — 11.6%
Affiliated Managers Group *	500		36
Aflac	35,625		1,762
Allied World Assurance Holdings	3,700		170
Allstate	23,400		731
American Equity Investment Life Holding	3,200		28
American Express	69,427		2,651
American Financial Group	11,700		303
American International Group *	2,600		64
AmeriCredit *	2,600		58
Ameriprise Financial	5,900		236
Annaly Capital Management ‡	22,800		419
Anworth Mortgage Asset ‡	7,700		52
Argo Group International Holdings	3,000		83
Associated Banc	100		1
Assurant	1,300		40
AvalonBay Communities ‡	103		8
Axis Capital Holdings	9,300		292
Bancorpsouth	500		10
Bank of America	126,405		2,106
Bank of New York Mellon	37,550		1,071
BB&T	2,600		74
BlackRock, Cl A	3,056		669
Boston Properties ‡	200		14
Brandywine Realty Trust ‡	14,700		165
Camden Property Trust ‡	800		32
Capital One Financial	22,300		842
CB Richard Ellis Group, Cl A *	4,300		57
CBL & Associates Properties ‡	3,900		46
Charles Schwab	2,000		37
Chimera Investment ‡	118,005		472
Chubb	16,500		833
Citigroup *	150,553		512
CME Group, Cl A	4,275		1,290
Colony Financial ‡	400		8
Comerica	2,400		87
Compass Diversified Holdings	700		9
Cowen Group, Cl A *	1,500		8
Credicorp	8,300		648
Cullen/Frost Bankers	400		22
Discover Financial Services	81,897		1,118
Eaton Vance	2,200		66
Endurance Specialty Holdings	11,800		454
Equity Residential ‡	100		4
Essex Property Trust ‡	100		9
Everest Re Group	6,200		530
Federal Realty Investment Trust ‡	100		7
Federated Investors, Cl B	3,300		83
Fifth Third Bancorp	8,700		106
First American	1,200		39
First Commonwealth Financial	8,000		45
First Community Bancshares	800		9
First Horizon National *	1,850		24
Flagstone Reinsurance Holdings	1,900		22
Franklin Resources	9,400		956


Description	Shares	Market Value ($ Thousands)
Fulton Financial	3,400	$	33
Genworth Financial, Cl A *	5,500		88
Goldman Sachs Group	12,835		2,007
Greenhill	100		7
Hartford Financial Services Group	10,900		266
HCC Insurance Holdings	300		8
HCP ‡	1,700		49
Hospitality Properties Trust ‡	400		9
Host Hotels & Resorts ‡ *	2,826		33
HRPT Properties Trust ‡	10,100		71
Hudson City Bancorp	75,178		1,016
Huntington Bancshares	20,200		97
IntercontinentalExchange *	9,400		1,008
Invesco	6,400		125
Invesco Mortgage Capital ‡	500		11
Jefferies Group	2,800		70
Jones Lang LaSalle	300		19
JPMorgan Chase	46,000		1,931
Keycorp	4,900		35
Lazard, Cl A	1,400		50
Legg Mason	500		13
Liberty Property Trust ‡	1,500		46
Lincoln National	1,700		43
Loews	5,100		186
M&T Bank	600		46
Macerich ‡	605		22
Mack-Cali Realty ‡	100		3
Marsh & McLennan	800		18
Marshall & Ilsley	8,200		58
MetLife	2,500		91
MFA Mortgage Investments ‡	18,400		133
Moody’s	27,308		727
Morgan Stanley	8,800		248
MSCI, Cl A *	2,900		87
Nationwide Health Properties ‡	700		23
Nelnet, Cl A	1,500		24
New York Community Bancorp	61,054		946
Northern Trust	1,200		64
NYSE Euronext	43,100		1,137
OceanFirst Financial	900		9
PartnerRe	100		8
Phoenix *	7,300		17
Platinum Underwriters Holdings	11,500		430
Plum Creek Timber ‡	2,328		83
PNC Financial Services Group	13,205		710
Presidential Life	1,300		13
Principal Financial Group	2,800		65
Progressive	4,000		69
Protective Life	3,300		60
Prudential Financial	8,200		430
Public Storage ‡	800		66
Ramco-Gershenson Properties ‡	2,000		20
Raymond James Financial	400		10
Rayonier ‡	300		12
Regions Financial	10,850		73
RenaissanceRe Holdings	1,500		83
Resource Capital ‡	3,900		25
Senior Housing Properties Trust ‡	1,700		35
Simon Property Group ‡	517		41
SL Green Realty ‡	600		31
SLM *	7,100		79
St. Joe *	900		25
StanCorp Financial Group	400		17


Description	Shares	Market Value ($ Thousands)
State Street	17,050	$	766
SunTrust Banks	2,300		55
Susquehanna Bancshares	2,400		20
T. Rowe Price Group	30,961		1,569
Taubman Centers ‡	400		16
TCF Financial	400		6
TD Ameritrade Holding *	1,800		31
Torchmark	200		9
Transatlantic Holdings	600		30
Travelers	19,600		1,031
Trustco Bank	9,900		60
UDR ‡	2,100		35
United America Indemnity, Cl A *	1,100		9
Unitrin	1,500		36
Unum Group	600		12
US Bancorp	67,297		1,656
Ventas ‡	700		31
Waddell & Reed Financial, Cl A	1,700		56
Webster Financial	1,300		21
Wells Fargo	133,428		3,648
WesBanco	1,200		18
White Mountains Insurance Group	100		35
XL Capital, Cl A	8,100		148
Zions Bancorporation	4,100		76

			42,051


Health Care — 11.2%
Abbott Laboratories	9,367		508
Aetna	23,800		714
Allergan	35,900		2,098
Allscripts-Misys Healthcare Solutions *	10,500		188
American Medical Systems Holdings *	3,700		67
AmerisourceBergen	51,029		1,431
Amgen *	64,704		3,663
Amylin Pharmaceuticals *	1,300		25
Baxter International	2,800		159
Beckman Coulter	1,100		72
Becton Dickinson	1,900		148
Biogen Idec *	15,917		876
Boston Scientific *	11,000		85
Bristol-Myers Squibb	30,300		743
Bruker *	4,200		53
Cardinal Health	53,537		1,819
Celgene *	800		48
Cerner *	1,200		99
Charles River Laboratories International *	2,200		83
CIGNA	4,100		140
Community Health Systems *	1,100		38
Cooper	400		16
Covance *	1,200		68
Coventry Health Care *	5,000		116
Dendreon *	3,500		109
Edwards Lifesciences *	600		55
Eli Lilly	10,600		364
Endo Pharmaceuticals Holdings *	2,700		61
Express Scripts *	9,298		893
Forest Laboratories *	5,700		170
Genzyme *	16,425		939
Gilead Sciences *	44,000		2,095


Description	Shares	Market Value ($ Thousands)
Health Management Associates, Cl A *	4,300	$	31
Health Net *	18,200		420
Henry Schein *	400		23
Hill-Rom Holdings	1,900		50
Hologic *	1,100		19
Hospira *	5,400		283
Humana *	300		14
Idexx Laboratories *	3,100		164
Intuitive Surgical *	1,400		486
Inverness Medical Innovations *	1,400		55
Johnson & Johnson	67,845		4,274
Kinetic Concepts *	1,500		63
King Pharmaceuticals *	4,400		49
Laboratory Corp of America Holdings *	1,900		139
Life Technologies *	3,800		193
LifePoint Hospitals *	300		9
McKesson	41,551		2,458
Medco Health Solutions *	26,700		1,688
Medicis Pharmaceutical, Cl A	1,400		32
Mednax *	1,700		91
Medtronic	31,325		1,359
Merck	27,838		1,027
Meridian Bioscience	2,000		44
Mettler Toledo International *	1,800		179
Millipore *	1,400		132
Mylan Laboratories *	6,900		147
Novo Nordisk ADR	13,400		953
Par Pharmaceutical *	3,800		95
Patterson *	1,800		53
PerkinElmer	1,800		40
Perrigo	8,100		402
Pfizer	132,395		2,324
Quest Diagnostics	6,300		358
ResMed *	100		6
St. Jude Medical *	1,400		53
Stryker	10,621		564
Tenet Healthcare *	15,500		82
Thermo Fisher Scientific *	8,600		419
United Therapeutics *	600		34
UnitedHealth Group	59,500		2,015
Universal Health Services, Cl B	3,300		102
Valeant Pharmaceuticals International *	12,500		465
Vertex Pharmaceuticals *	500		20
Waters *	700		42
Watson Pharmaceuticals *	1,200		48
WellPoint *	16,600		1,027
Zimmer Holdings *	1,200		69

			40,543


Industrials — 7.5%
3M	10,700		858
Aecom Technology *	700		19
AGCO *	100		3
Aircastle	2,400		23
Alexander & Baldwin	1,000		32
Alliant Techsystems *	3,200		254
AO Smith	500		23
Avery Dennison	900		28
BE Aerospace *	500		13
Boeing	3,925		248


Description	Shares	Market Value ($ Thousands)
Bucyrus International, Cl A	100	$	6
C.H. Robinson Worldwide	5,700		304
Carlisle	1,900		65
Caterpillar	2,200		126
Cintas	200		5
Con-way	1,400		45
Copa Holdings, Cl A	800		44
Corrections of America *	,600		77
Crane	5,200		165
CSX	3,900		185
Cummins	100		6
Deere	1,400		80
Dollar Thrifty Automotive Group *	2,000		60
Dover	10,500		475
Dun & Bradstreet	100		7
DynCorp International, Cl A *	3,000		34
Eaton	3,600		245
Emerson Electric	200		9
Ennis	2,900		45
Expeditors International Washington	28,400		1,036
FedEx	5,800		492
Flowserve	600		60
Fluor	33,205		1,421
Foster Wheeler *	8,100		199
Gardner Denver	8,600		375
General Cable *	400		10
General Dynamics	30,948		2,245
General Electric	131,720		2,115
Gibraltar Industries *	1,000		12
Goodrich	8,000		525
Harsco	1,900		57
Herman Miller	800		15
Hertz Global Holdings *	400		4
Honeywell International	3,300		133
Hubbell, Cl B	3,618		170
Illinois Tool Works	41,657		1,896
Iron Mountain	1,000		26
ITT	3,500		179
JB Hunt Transport Services	400		14
Joy Global	2,500		127
Kansas City Southern *	900		31
KBR	27,300		566
Kirby *	700		23
L-3 Communications Holdings, Cl 3	3,200		293
Lennox International	1,000		42
Lincoln Electric Holdings	600		29
Lockheed Martin	20,473		1,592
Manpower	3,300		170
Masco	700		9
McDermott International *	2,300		52
Navistar International *	5,800		227
Norfolk Southern	200		10
Northrop Grumman	21,552		1,320
Oshkosh Truck	20,000		762
Owens Corning *	14,800		348
Parker Hannifin	4,700		284
Precision Castparts	900		102
Quanta Services *	16,100		306
Raytheon	16,200		911
Rockwell Automation	2,800		151
Rockwell Collins	1,800		101


Description	Shares	Market Value ($ Thousands)
RR Donnelley & Sons	15,400	$	306
Ryder System	2,600		92
Schawk, Cl A	1,000		13
Shaw Group *	400		14
Southwest Airlines	38,573		485
Spirit Aerosystems Holdings, Cl A *	1,900		36
SPX	200		12
Standex International	400		10
Tennant	1,200		29
Textron	1,300		26
Thomas & Betts *	500		18
Toro	2,000		88
Towers Watson, Cl A	2,500		110
TransDigm Group	100		5
Tyco International	17,300		624
Union Pacific	11,600		782
United Parcel Service, Cl B	15,413		905
United Technologies	16,350		1,122
URS *	300		14
Valmont Industries	200		14
Verisk Analytics, Cl A *	500		14
WABCO Holdings	1,000		27
Waste Management	3,363		111
Werner Enterprises	3,300		74
WESCO International *	500		15
WW Grainger	3,200		325

			27,195


Information Technology — 18.2%
Activision Blizzard	2,100		22
Adobe Systems *	24,400		845
Advanced Micro Devices *	2,200		17
Agilent Technologies *	2,400		75
Alliance Data Systems *	500		28
Altera	1,800		44
Amdocs *	400		12
Amphenol, Cl A	800		33
Analog Devices	3,800		111
Ansys *	400		18
AOL *	293		7
Apple *	17,075		3,494
Applied Materials	2,800		34
Arris Group *	1,800		19
Arrow Electronics *	2,200		62
Autodesk *	10,500		293
Automatic Data Processing	700		29
Avnet *	19,000		525
AVX	1,000		12
BMC Software *	7,800		287
Brightpoint *	3,800		27
Broadcom, Cl A	10,600		332
Broadridge Financial Solutions	3,600		76
Brocade Communications Systems *	3,700		22
CA	31,000		697
Cadence Design Systems *	5,200		30
Celestica *	29,600		303
Cirrus Logic *	3,000		21
Cisco Systems *	135,000		3,285
Citrix Systems *	800		34
Cognizant Technology Solutions, Cl A *	3,700		178


Description	Shares	Market Value ($ Thousands)
CommScope *	600	$	15
Computer Sciences *	8,146		422
Corning	97,699		1,722
Cree *	1,000		68
Cypress Semiconductor *	2,400		28
Dell *	109,614		1,450
Diebold	800		23
Dolby Laboratories, Cl A *	300		16
DST Systems *	2,000		77
eBay *	39,200		902
EchoStar, Cl A *	2,600		52
Electronic Arts *	8,500		141
EMC *	64,700		1,132
Equinix *	300		28
F5 Networks *	1,900		106
Factset Research Systems	1,300		86
Fidelity National Information Services	8,059		182
Fiserv *	2,900		140
Flextronics International *	67,700		471
Global Payments	700		30
Google, Cl A *	8,105		4,270
Harris	13,100		592
Hewlett-Packard	46,000		2,336
IAC *	3,800		85
infoGROUP *	1,000		8
Ingram Micro, Cl A *	27,800		492
Intel	128,000		2,628
International Business Machines	46,827		5,955
Intersil, Cl A	6,200		92
Intuit *	39,200		1,268
Jabil Circuit	22,100		335
Juniper Networks *	1,500		42
Kla-Tencor	4,200		122
Lam Research *	3,800		129
Lender Processing Services	1,300		49
Lexmark International, Cl A *	300		10
Linear Technology	2,600		71
Loral Space & Communications *	400		13
LSI *	2,100		11
Marvell Technology Group *	20,300		392
Mastercard, Cl A	4,700		1,054
Maxim Integrated Products	2,800		52
McAfee *	3,400		135
Microchip Technology	4,300		116
Micron Technology *	15,300		139
Micros Systems *	3,100		93
Microsoft	275,998		7,910
Molex	1,400		29
Monster Worldwide *	2,900		40
Motorola *	19,900		135
National Instruments	400		13
National Semiconductor	3,900		57
NetApp *	4,900		147
NeuStar, Cl A *	17,600		408
Nokia ADR	28,600		385
Novellus Systems *	3,400		75
Nuance Communications *	900		13
Nvidia *	600		10
ON Semiconductor *	1,100		9
Oplink Communications *	400		6
Oracle	37,200		917
Paychex	13,600		407


Description	Shares	Market Value ($ Thousands)
Pegasystems	1,100	$	40
PMC—Sierra *	12,500		104
Power Integrations	400		14
QLogic *	600		11
Qualcomm	55,875		2,050
Rackspace Hosting *	18,000		357
Rambus *	1,600		35
Red Hat *	12,000		337
Research In Motion *	3,700		262
Rovi *	3,600		121
Salesforce.com *	1,200		81
Seagate Technology	53,700		1,069
Semtech *	3,300		52
Silicon Laboratories *	1,000		46
Sybase *	1,500		67
Symantec *	98,300		1,627
Synopsys *	2,600		57
Tech Data *	13,816		592
Tellabs	8,900		62
Teradata *	35,000		1,067
Teradyne *	1,200		12
Texas Instruments	143,514		3,499
Total System Services	7,000		100
Trimble Navigation *	400		11
Varian Semiconductor Equipment Associates *	400		12
VeriSign *	42,900		1,069
Visa, Cl A	23,700		2,021
Vishay Intertechnology *	2,400		25
VMware, Cl A *	600		30
WebMD Health, Cl A *	1,788		77
Western Digital *	19,100		738
Western Union	13,500		213
Xerox	7,435		70
Xilinx	3,000		78
Yahoo! *	54,450		834
Zebra Technologies, Cl A *	2,000		57

			66,010


Materials — 3.1%
A. Schulman	1,600		38
AEP Industries *	500		17
Air Products & Chemicals	2,300		158
Airgas	440		28
Albemarle	2,100		79
Alcoa	26,000		346
Allegheny Technologies	200		9
Ashland	1,600		75
Ball	2,600		141
Bemis	13,800		404
Boise *	2,000		9
Cabot	11,100		322
Celanese, Cl A	5,500		171
CF Industries Holdings	471		50
Commercial Metals	100		2
Compass Minerals International	100		7
Crown Holdings *	4,700		128
Cytec Industries	800		34
Dow Chemical	1,200		34
E.I. Du Pont de Nemours	35,233		1,188
Eagle Materials	300		7
Eastman Chemical	1,400		83
Ecolab	300		13


Description	Shares	Market Value ($ Thousands)
FMC	200	$	11
Freeport-McMoRan Copper & Gold, Cl B	6,400		481
Greif, Cl A	1,400		72
Huntsman	81,421		1,118
International Flavors & Fragrances	200		8
International Paper	1,100		26
Lubrizol	11,100		877
MeadWestvaco	3,800		87
Monsanto	4,100		290
Nalco Holding	18,200		423
NewMarket	1,200		107
Newmont Mining	6,100		300
Nucor	6,300		261
Owens-Illinois *	2,500		74
Packaging of America	200		5
Pactiv *	9,804		243
PPG Industries	1,700		105
Praxair	10,300		774
Rock-Tenn, Cl A	1,600		67
RPM International	4,300		83
Scotts Miracle-Gro, Cl A	3,500		137
Sealed Air	4,900		100
Sigma-Aldrich	100		5
Sonoco Products	400		12
Southern Copper	31,100		913
Spartech	3,400		35
Stepan	500		24
Syngenta ADR	14,400		747
Temple-Inland	3,100		58
Terra Industries	1,138		47
Valspar	1,500		41
Walter Industries	5,300		416
	1,100		32

			11,322


Telecommunication Services — 2.5%
AT&T	194,276		4,820
BCE	9,700		269
CenturyTel	9,273		318
Crown Castle International *	33,800		1,278
NII Holdings *	13,600		509
Qwest Communications International	4,000		18
Rogers Communications, Cl B	7,900		261
SBA Communications, Cl A *	1,200		42
Sprint Nextel *	169,905		566
tw telecom , Cl A *	100		2
Verizon Communications	34,600		1,001

			9,084


Utilities — 2.3%
AES *	162,426		1,899
AGL Resources	400		15
Allegheny Energy	1,715		39
American Water Works	1,100		25
Aqua America	4,700		80
Atmos Energy	300		8
Calpine *	3,800		41
CMS Energy	3,600		55
Consolidated Edison	100		4


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Constellation Energy Group		11,000	$	386
Dominion Resources		2,700		103
DPL		2,900		77
DTE Energy		500		22
Edison International		19,300		630
Energen		2,900		132
Entergy		300		23
Equities		4,900		214
Exelon		300		13
FirstEnergy		21,198		819
FPL Group		10,700		496
Mirant *		45,300		570
National Fuel Gas		1,900		95
NiSource		1,800		27
NRG Energy *		1,800		39
NV Energy		41,400		460
OGE Energy		1,000		37
Oneok		300		13
PG&E		900		38
Pinnacle West Capital		1,400		51
PPL		9,554		272
Public Service Enterprise Group		20,000		594
Questar		1,000		42
Sempra Energy		15,200		747
TECO Energy		2,200		34
UGI		16,879		423
Xcel Energy		500		10

				8,533

Total Common Stock (Cost $262,710) ($ Thousands)				292,918


AFFILIATED PARTNERSHIP — 12.2%
SEI LIBOR Plus Portfolio †		6,723,909		44,378


Total Affiliated Partnership (Cost $58,112) ($ Thousands)				44,378


CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% ** †		17,638,446		17,638

Total Cash Equivalent (Cost $17,638) ($ Thousands)				17,638


U.S. TREASURY OBLIGATIONS — 2.2%
U.S. Treasury Bills 0.122%, 06/03/10 (A) (B) 0.326%, 02/10/11 (A) (B) (C)	$	7,698 300		7,695 299

Total U.S. Treasury Obligations (Cost $7,994) ($ Thousands)				7,994

Total Investments — 99.8% (Cost $346,454)($ Thousands) ††			$	362,928

Percentages are based on a Net Assets of $363,579 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI	26	Mar-2010	$	8
S&P 500 Composite Index	245	Mar-2010		539

			$	547

Non-income producing security.

Rate shown is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $346,454 ($Thousands), and the unrealized appreciation and depreciation were $37,183 ($Thousands) and $(20,709) ($Thousands) respectively.

(A)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(B)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(C)

Security is when issued.

ADR — American Depositary Receipt

Cl — Class

LIBOR — London Interbank Offered Rate

Ser — Series

S&P — Standard & Poor’s

See end of Form N-Q Filing for ASC 820 disclosure.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 81.6%

Consumer Discretionary — 8.6%
99 Cents Only Stores *	22,500	$	371
Abercrombie & Fitch, Cl A	32,600		1,187
Aeropostale * (A)	22,300		789
Amazon.com *	215,581		25,525
American Greetings, Cl A	22,100		421
Apollo Group, Cl A * (A)	138,072		8,268
Asbury Automotive Group *	13,100		152
Autoliv	4,608		206
AutoNation * (A)	71,200		1,264
AutoZone * (A)	14,300		2,373
Bed Bath & Beyond * (A)	33,100		1,377
Best Buy	446,493		16,297
Big Lots *	9,700		325
Black & Decker	16,719		1,212
Carnival	52,800		1,899
CBS, Cl B	39,700		516
Chico’s FAS (A)	362,400		4,911
Chipotle Mexican Grill, Cl A * (A)	5,600		586
Coach (A)	412,100		15,017
Comcast, Cl A	3,879,765		63,783
Cooper Tire & Rubber	24,500		430
Darden Restaurants (A)	520,900		21,122
DIRECTV, Cl A *	92,200		3,121
DISH Network, Cl A	303,944		6,070
Dollar Tree * (A)	37,300		2,079
DR Horton (A)	23,700		293
Eastman Kodak (A)	207,071		1,230
Education Management *	11,900		237
Expedia (A)	105,300		2,342
Family Dollar Stores (A)	20,900		690
Ford Motor * (A)	3,236,424		37,996
Gannett (A)	258,800		3,921
Gap	225,400		4,846
Gentex	19,500		378
Goodyear Tire & Rubber * (A)	61,600		800
Harley-Davidson (A)	28,700		706
Harman International Industries (A)	29,800		1,285
Hasbro (A)	338,090		12,097
Helen of Troy *	11,100		268
Home Depot (A)	833,298		25,999
International Game Technology	109,900		1,929
Interpublic Group *	97,500		731
J Crew Group * (A)	—		—
J.C. Penney (A)	65,600		1,809
Johnson Controls (A)	1,030,316		32,043
Jones Apparel Group	101,300		1,708
Kohl’s * (A)	220,238		11,853
Las Vegas Sands * (A)	334,130		5,557
Leggett & Platt	199,300		3,777
Lennar, Cl A (A)	98,400		1,615
Limited Brands (A)	907,620		20,068
Lithia Motors, Cl A *	19,300		123
Lowe’s	188,100		4,460
Macy’s	1,242,918		23,802
Maidenform Brands *	8,900		153
Marriott International, Cl A (A)	287,837		7,803
Mattel	28,000		616
McDonald’s (A)	282,232		18,020
McGraw-Hill (A)	111,200		3,803


Description	Shares	Market Value ($ Thousands)
Meredith (A)	24,200	$	743
New York Times, Cl A * (A)	119,929		1,312
Newell Rubbermaid (A)	353,900		4,866
News, Cl A (A)	435,000		5,816
NIKE, Cl B (A)	40,700		2,751
Nordstrom (A)	16,426		607
NutriSystem (A)	56,000		1,084
NVR * (A)	18,575		13,157
Office Depot * (A)	140,100		1,012
Omnicom Group (A)	66,800		2,446
O’Reilly Automotive * (A)	56,600		2,224
Oxford Industries	7,900		154
Phillips-Van Heusen	16,300		709
Polo Ralph Lauren, Cl A (A)	36,900		2,950
priceline.com *	11,900		2,698
RadioShack	50,400		986
Ross Stores (A)	163,800		8,011
Royal Caribbean Cruises *	468,210		13,236
Sally Beauty Holdings * (A)	58,800		482
Scripps Networks Interactive, Cl A	65,600		2,597
Sears Holdings * (A)	8,100		775
Sherwin-Williams	6,000		380
Sonic Automotive, Cl A * (A)	130,800		1,347
Stanley Works (A)	12,800		733
Staples	23,300		600
Starbucks * (A)	926,525		21,227
Starwood Hotels & Resorts Worldwide (A)	13,200		511
Target	398,662		20,539
Tempur-Pedic International *	123,600		3,510
Thor Industries	20,500		695
Tiffany	36,500		1,620
Time Warner (A)	764,075		22,189
Time Warner Cable, Cl A (A)	406,752		18,991
TJX	266,500		11,094
TRW Automotive Holdings * (A)	117,800		3,165
Ulta Salon Cosmetics & Fragrance *	9,500		174
Universal Technical Institute * (A)	9,500		240
Urban Outfitters *	20,200		651
VF (A)	23,900		1,849
Viacom, Cl B *	453,700		13,452
Walt Disney	448,650		14,016
Whirlpool (A)	34,300		2,887
Wyndham Worldwide	59,800		1,375
Wynn Resorts * (A)	10,500		667
Yum! Brands	158,500		5,345

			628,132


Consumer Staples — 9.1%
Altria Group	1,453,114		29,237
Andersons	5,300		171
Archer-Daniels-Midland	777,310		22,822
Avon Products	61,300		1,866
Brown-Forman, Cl B	23,232		1,216
Bunge (A)	52,000		3,099
Chiquita Brands International *	17,900		261
Coca-Cola	701,684		36,993
Coca-Cola Enterprises	901,877		23,043
Colgate-Palmolive (A)	90,500		7,506
Constellation Brands, Cl A *	12,000		181
Costco Wholesale	75,000		4,573


Description	Shares	Market Value ($ Thousands)
CVS Caremark	215,208	$	7,263
Dean Foods *	550,231		8,028
Dole Food * (A)	19,900		233
Dr Pepper Snapple Group	142,600		4,528
Estee Lauder, Cl A (A)	101,269		6,089
General Mills	284,940		20,518
Hershey (A)	137,347		5,461
Hormel Foods (A)	24,600		1,011
JM Smucker	17,000		1,015
Kellogg	26,900		1,403
Kimberly-Clark	286,511		17,402
Kraft Foods, Cl A (A)	324,883		9,236
Kroger	5,300		117
Lorillard	16,500		1,205
Mead Johnson Nutrition, Cl A	37,600		1,779
Molson Coors Brewing, Cl B	11,300		456
Pepsi Bottling Group	109,651		4,192
PepsiCo (A)	719,707		44,960
Philip Morris International	1,555,026		76,165
Procter & Gamble	1,565,767		99,082
Reynolds American (A)	122,900		6,489
Safeway	34,900		870
Sanderson Farms (A)	42,500		2,081
Sara Lee (A)	1,492,515		20,238
Supervalu (A)	1,226,858		18,734
Sysco	953,119		27,545
Tyson Foods, Cl A (A)	1,117,085		19,035
Walgreen	944,870		33,297
Wal-Mart Stores	1,672,832		90,450
Whole Foods Market * (A)	148,000		5,253

			665,103


Energy — 9.0%
Anadarko Petroleum (A)	87,400		6,129
Apache	153,490		15,908
Baker Hughes (A)	73,673		3,531
BJ Services	125,030		2,732
Cabot Oil & Gas (A)	37,200		1,493
Cal Dive International *	162,200		1,144
Cameron International *	49,300		2,028
Chesapeake Energy (A)	363,100		9,648
Chevron	1,903,319		137,610
ConocoPhillips	1,225,346		58,817
Consol Energy	3,900		196
Denbury Resources * (A)	18,700		263
Devon Energy (A)	197,000		13,565
Diamond Offshore Drilling (A)	19,700		1,720
El Paso	1,561,400		16,348
EOG Resources	18,100		1,702
Exxon Mobil	3,230,837		210,004
FMC Technologies * (A)	110,600		6,213
Halliburton	485,680		14,643
Helix Energy Solutions Group * (A)	207,400		2,387
Hess	663,851		39,035
James River Coal *	13,500		215
Marathon Oil	672,530		19,470
Massey Energy (A)	11,000		474
Murphy Oil	329,385		17,095
Nabors Industries * (A)	19,200		423
National Oilwell Varco	318,200		13,832
Noble Energy	18,300		1,329
Occidental Petroleum	189,398		15,124


Description	Shares	Market Value ($ Thousands)
Patterson-UTI Energy	150,653	$	2,326
Peabody Energy	39,200		1,802
Pioneer Natural Resources (A)	33,200		1,549
Range Resources (A)	29,400		1,488
Rowan *	18,000		468
Schlumberger	383,427		23,427
Smith International (A)	9,200		377
Southwestern Energy * (A)	18,100		770
Spectra Energy	42,100		918
Stone Energy *	50,800		866
Tesoro (A)	13,200		157
Williams	177,400		3,821
XTO Energy	240,895		11,009

			662,056


Financials — 12.3%
Affiliated Managers Group * (A)	78,000		5,548
Aflac	67,600		3,343
Allied World Assurance Holdings	43,100		1,987
Allstate	56,994		1,781
American Express	1,818,566		69,451
American International Group * (A)	92,400		2,289
Ameriprise Financial (A)	106,436		4,261
Annaly Capital Management ‡ (A)	906,495		16,661
Anworth Mortgage Asset ‡	95,800		648
Argo Group International Holdings	5,000		139
Assurant	102,600		3,131
AvalonBay Communities ‡ (A)	4,100		334
Bank of America	4,741,450		78,993
Bank of New York Mellon	705,198		20,112
BB&T (A)	46,100		1,315
Berkshire Hathaway, Cl B *	156,674		12,554
Berkshire Hathaway, Cl A *	65		7,787
BlackRock, Cl A (A)	86,481		18,922
Boston Private Financial Holdings (A)	44,400		304
Boston Properties ‡ (A)	22,100		1,501
Capital One Financial (A)	137,300		5,183
CB Richard Ellis Group, Cl A * (A)	136,400		1,800
Charles Schwab (A)	33,800		619
Chimera Investment ‡	2,020,104		8,080
Citigroup * (A)	7,032,816		23,912
CME Group, Cl A	35,210		10,622
Colonial Properties Trust ‡ (A)	42,800		505
Comerica (A)	87,500		3,157
Community Bank System (A)	22,300		500
Discover Financial Services	1,136,156		15,509
Endurance Specialty Holdings (A)	33,140		1,275
Federated Investors, Cl B (A)	95,100		2,379
Fifth Third Bancorp	304,900		3,723
First Horizon National * (A)	46,110		590
Franklin Resources (A)	93,609		9,522
Genworth Financial, Cl A * (A)	140,200		2,235
Goldman Sachs Group	390,609		61,072
Hartford Financial Services Group	402,164		9,801
HCP ‡ (A)	53,800		1,548
Host Hotels & Resorts ‡ * (A)	134,562		1,576
Hudson City Bancorp	1,068,080		14,440
Huntington Bancshares (A)	1,267,300		6,096
IntercontinentalExchange *	16,800		1,802
Invesco	176,500		3,459


Description	Shares	Market Value ($ Thousands)
JPMorgan Chase	1,676,462	$	70,361
Keycorp (A)	223,100		1,595
Legg Mason (A)	17,800		460
Leucadia National * (A)	14,300		339
Lincoln National	184,700		4,651
Loews (A)	87,000		3,172
M&T Bank (A)	18,000		1,394
Marsh & McLennan	16,200		376
Marshall & Ilsley (A)	341,300		2,416
MBIA * (A)	28,400		137
MetLife	855,363		31,127
MFA Mortgage Investments ‡ (A)	601,700		4,356
Montpelier Re Holdings	19,600		348
Moody’s (A)	591,878		15,756
Morgan Stanley	213,616		6,020
New York Community Bancorp (A)	960,120		14,872
Northern Trust (A)	2,800		149
NYSE Euronext (A)	211,445		5,578
PartnerRe	7,674		611
People’s United Financial	581,770		9,175
Platinum Underwriters Holdings	11,100		415
Plum Creek Timber ‡ (A)	49,145		1,756
PNC Financial Services Group (A)	521,837		28,054
Principal Financial Group (A)	82,800		1,922
Progressive	90,000		1,543
Prudential Financial (A)	421,500		22,091
Public Storage ‡ (A)	14,000		1,151
Regions Financial (A)	772,500		5,214
Simon Property Group ‡ (A)	40,889		3,201
SLM * (A)	268,900		3,006
State Street	113,900		5,115
SunTrust Banks (A)	83,400		1,986
Susquehanna Bancshares (A)	25,000		209
T. Rowe Price Group (A)	574,949		29,144
Torchmark	8,500		395
Travelers (A)	635,295		33,410
Unum Group	50,500		1,051
US Bancorp (A)	1,657,677		40,795
Ventas ‡ (A)	25,000		1,105
Vornado Realty Trust ‡ (A)	2,141		141
Wells Fargo	3,510,894		95,988
XL Capital, Cl A	418,200		7,640
Zions Bancorporation (A)	116,700		2,164

			900,855


Health Care — 10.4%
Abbott Laboratories	736,414		39,973
Aetna	36,400		1,092
Allergan	169,800		9,921
Allscripts-Misys Healthcare Solutions * (A)	34,400		615
American Medical Systems Holdings * (A)	53,100		962
AmerisourceBergen	853,376		23,929
Amgen * (A)	1,160,028		65,669
Baxter International	200,600		11,420
Becton Dickinson	45,500		3,543
Biogen Idec *	184,903		10,172
Boston Scientific * (A)	225,100		1,742
Bristol-Myers Squibb (A)	869,447		21,310
Bruker *	13,400		168
Cardinal Health	765,477		26,003


Description	Shares	Market Value ($ Thousands)
CareFusion *	34,900	$	881
Celgene * (A)	88,400		5,262
CIGNA	105,400		3,611
Coventry Health Care * (A)	151,400		3,509
DaVita *	1,700		105
Eli Lilly	351,272		12,063
Express Scripts *	258,312		24,801
Forest Laboratories *	61,000		1,823
Gilead Sciences *	466,656		22,217
Haemonetics * (A)	6,800		364
Hospira *	112,000		5,861
Humana *	12,600		596
Intuitive Surgical * (A)	35,800		12,428
Invacare (A)	21,800		595
Johnson & Johnson	2,077,824		130,903
King Pharmaceuticals * (A)	130,800		1,472
Laboratory Corp of America Holdings * (A)	21,200		1,554
Life Technologies * (A)	75,400		3,827
Lincare Holdings *	114,000		4,578
McKesson	744,109		44,014
Medco Health Solutions *	220,248		13,928
Medicis Pharmaceutical, Cl A	30,700		691
Medtronic	791,699		34,360
Merck	739,107		27,258
Meridian Bioscience	19,900		441
Mettler Toledo International * (A)	17,800		1,770
Millipore *	42,700		4,031
Mylan Laboratories * (A)	171,700		3,664
Par Pharmaceutical *	62,300		1,559
Patterson *	41,600		1,235
PerkinElmer	56,000		1,244
Pfizer	4,385,069		76,958
Quest Diagnostics (A)	92,800		5,266
Quidel * (A)	47,800		624
Sirona Dental Systems *	20,900		750
St. Jude Medical *	35,500		1,357
Stryker (A)	207,236		11,004
Tenet Healthcare *	486,300		2,563
Thermo Fisher Scientific * (A)	354,900		17,308
UnitedHealth Group	204,900		6,938
Waters *	152,340		9,089
Watson Pharmaceuticals * (A)	93,300		3,712
WellPoint *	640,438		39,624
Zimmer Holdings *	32,500		1,863

			764,220


Industrials — 8.6%
3M	629,529		50,457
Alaska Air Group *	7,800		273
Alliant Techsystems * (A)	40,300		3,202
Avery Dennison	68,700		2,171
Boeing (A)	153,818		9,715
C.H. Robinson Worldwide (A)	32,900		1,755
Caterpillar (A)	177,888		10,148
Cintas (A)	1,700		42
Crane	7,500		238
CSX	91,500		4,343
Cummins	6,040		343
Deere	38,100		2,183
Dollar Thrifty Automotive Group * (A)	31,500		946
Dover	133,200		6,029


Description	Shares	Market Value ($ Thousands)
Dun & Bradstreet	11,600	$	814
DynCorp International, Cl A *	10,600		119
Eaton (A)	239,020		16,282
Emerson Electric	153,930		7,287
Equifax	61,100		1,971
FedEx	61,300		5,196
First Solar * (A)	4,300		455
Flowserve	14,300		1,431
Fluor	502,267		21,497
General Dynamics	625,110		45,352
General Electric	4,959,281		79,646
Goodrich (A)	77,300		5,073
Honeywell International	161,553		6,488
Hubbell, Cl B	64,601		3,027
Illinois Tool Works	617,839		28,124
Iron Mountain (A)	28,200		730
ITT (A)	87,800		4,498
Jacobs Engineering Group *	8,600		334
Joy Global	10,900		554
Lockheed Martin	755,133		58,719
Masco (A)	55,200		738
Navistar International *	41,099		1,609
Northrop Grumman	516,416		31,635
Oshkosh Truck	73,200		2,790
Owens Corning *	32,600		767
Paccar (A)	65,969		2,332
Parker Hannifin	98,700		5,953
Pitney Bowes (A)	51,713		1,184
Precision Castparts	66,980		7,552
Raytheon	144,100		8,104
Robert Half International (A)	23,200		647
Rockwell Automation (A)	66,100		3,575
Rockwell Collins	28,000		1,576
Roper Industries (A)	32,500		1,802
RR Donnelley & Sons	183,900		3,658
Ryder System (A)	87,700		3,095
Southwest Airlines	1,042,170		13,111
Textron (A)	78,300		1,559
Toro (A)	13,900		612
Towers Watson, Cl A	7,100		314
UAL *	387,000		6,637
Union Pacific (A)	214,150		14,427
United Parcel Service, Cl B (A)	860,920		50,570
United Technologies	903,757		62,043
Waste Management	154,159		5,090
WESCO International * (A)	200,989		5,807
WW Grainger (A)	100,800		10,246

			626,875


Information Technology — 15.7%
Activision Blizzard	1,329,560		14,133
Adobe Systems *	575,110		19,928
Advanced Micro Devices * (A)	96,000		759
Agilent Technologies *	83,700		2,633
Akamai Technologies * (A)	4,700		124
Altera (A)	74,400		1,818
Amphenol, Cl A	25,900		1,079
Analog Devices	134,300		3,927
Apple *	473,728		96,934
Applied Materials	93,400		1,143
Arris Group * (A)	55,200		570
Aruba Networks * (A)	20,500		240
Autodesk *	21,300		594


Description	Shares	Market Value ($ Thousands)
Automatic Data Processing	20,153	$	839
BMC Software *	138,800		5,113
Broadcom, Cl A (A)	281,500		8,817
CA	14,300		322
Cirrus Logic *	26,300		188
Cisco Systems *	2,767,373		67,330
Citrix Systems *	15,100		650
Cognizant Technology Solutions, Cl A *	553,250		26,628
Computer Sciences *	107,172		5,550
Corning	1,953,489		34,440
Dell * (A)	2,593,444		34,311
DST Systems * (A)	14,400		553
eBay *	672,416		15,479
EchoStar, Cl A *	16,200		326
Electronic Arts *	39,100		648
EMC *	861,900		15,075
Fidelity National Information Services	130,100		2,932
Fiserv *	78,600		3,791
Google, Cl A *	143,421		75,554
Hewlett-Packard	949,224		48,211
IAC * (A)	47,000		1,052
Ingram Micro, Cl A *	666,564		11,798
Intel	5,195,015		106,654
International Business Machines	958,962		121,942
Intuit * (A)	195,400		6,323
Jabil Circuit	937,898		14,228
JDS Uniphase * (A)	10,500		113
Juniper Networks * (A)	172,200		4,818
Kla-Tencor (A)	122,700		3,574
Lexmark International, Cl A *	13,402		452
Linear Technology (A)	95,300		2,589
LSI *	57,000		307
Mastercard, Cl A (A)	17,700		3,971
McAfee * (A)	116,800		4,636
Microchip Technology (A)	145,500		3,937
Micron Technology * (A)	356,425		3,229
Microsoft	4,812,110		137,915
Molex (A)	18,600		381
Monster Worldwide * (A)	83,600		1,166
Motorola *	391,100		2,644
National Instruments	5,000		158
National Semiconductor (A)	151,100		2,188
NetApp *	119,500		3,586
Novell *	68,500		321
Novellus Systems * (A)	98,200		2,172
Nvidia * (A)	69,550		1,127
Oracle	2,055,381		50,665
Paychex (A)	34,800		1,042
Qualcomm	303,300		11,128
Red Hat *	48,700		1,366
SAIC *	17,500		345
Salesforce.com * (A)	22,100		1,502
SanDisk * (A)	13,400		390
Seagate Technology (A)	875,056		17,422
Semtech * (A)	18,800		298
Symantec *	533,372		8,827
Tech Data *	87,797		3,761
Tellabs	175,700		1,214
Teradata *	147,000		4,482
Teradyne * (A)	45,800		458
Texas Instruments	1,771,701		43,194


Description	Shares	Market Value ($ Thousands)
Total System Services (A)	209,700	$	2,986
Tyco Electronics	373,860		9,582
VeriSign *	12,100		301
Visa, Cl A (A)	389,910		33,252
Western Digital *	231,800		8,955
Western Union	346,800		5,473
Xerox	635,701		5,957
Xilinx (A)	153,200		3,957
Yahoo! *	173,200		2,652

			1,151,129


Materials — 2.8%
A. Schulman	7,300		172
Air Products & Chemicals	71,800		4,924
Airgas	17,981		1,153
AK Steel Holding	7,200		155
Alcoa (A)	337,387		4,487
Allegheny Technologies	5,600		245
Ashland	19,200		904
Ball (A)	84,900		4,588
Bemis	4,000		117
Celanese, Cl A	622,560		19,418
CF Industries Holdings (A)	18,321		1,946
Cliffs Natural Resources (A)	308,290		17,388
Dow Chemical (A)	606,012		17,156
E.I. Du Pont de Nemours	841,441		28,373
Eastman Chemical	36,700		2,185
Freeport-McMoRan Copper & Gold, Cl B (A)	207,653		15,607
Huntsman	1,055,263		14,489
International Flavors & Fragrances	3,700		156
International Paper	40,300		934
MeadWestvaco (A)	99,100		2,273
Monsanto	73,620		5,201
Nalco Holding	36,100		840
NewMarket (A)	30,400		2,707
Newmont Mining	219,213		10,803
Nucor	45,300		1,875
Owens-Illinois *	122,700		3,637
Pactiv *	162,797		4,031
PPG Industries (A)	297,550		18,311
Praxair	96,300		7,236
Rock-Tenn, Cl A (A)	21,600		904
Scotts Miracle-Gro, Cl A	28,200		1,101
Sealed Air	149,600		3,056
Sigma-Aldrich (A)	6,200		296
Solutia *	30,600		431
Southern Copper (A)	125,000		3,670
United States Steel (A)	4,000		212
Walter Industries	14,800		1,163
Weyerhaeuser (A)	7,900		319
WR Grace *	57,100		1,654

			204,117


Telecommunication Services — 2.7%
AT&T	5,307,499		131,679
CenturyTel (A)	616,284		21,120
Qwest Communications International (A)	79,600		363
Sprint Nextel *	3,805,202		12,671
Verizon Communications	1,072,698		31,033


Description	Shares	Market Value ($ Thousands)
Windstream	36,913	$	374

			197,240


Utilities — 2.4%
AES *	314,064		3,671
Allegheny Energy	156,431		3,543
American Electric Power	16,300		548
CMS Energy (A)	175,700		2,683
Constellation Energy Group	767,490		26,916
Dominion Resources	60,000		2,279
DPL	201,050		5,336
DTE Energy (A)	15,700		682
Edison International	112,800		3,681
Energen	145,388		6,609
Entergy	7,985		607
Equities	121,800		5,330
Exelon	217,769		9,429
FirstEnergy	560,642		21,669
FPL Group	282,500		13,099
Mirant *	16,700		210
NiSource (A)	643,360		9,663
NRG Energy * (A)	44,900		981
NV Energy	14,300		159
PG&E (A)	443,214		18,580
Pinnacle West Capital (A)	26,600		968
PPL	757,227		21,566
Public Service Enterprise Group	377,866		11,230
Questar	23,800		1,000
Sempra Energy	128,000		6,294
Southern	7,300		232
TECO Energy (A)	56,100		860
Xcel Energy	9,800		204

			178,029

Total Common Stock (Cost $5,095,886) ($ Thousands)			5,977,756


AFFILIATED PARTNERSHIPS — 21.9%
SEI LIBOR Plus Portfolio †	124,403,038		821,060
SEI Liquidity Fund, L.P. 0.240% (B) ** †	792,180,894		783,010

Total Affiliated Partnerships (Cost $1,852,539) ($ Thousands)			1,604,070


CASH EQUIVALENT — 5.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% ** †	421,987,703		421,988

Total Cash Equivalent (Cost $421,988) ($ Thousands)			421,988


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 1.7%
U.S. Treasury Bills
0.133%, 06/03/10 (C) (D)	$	111,566	$	111,529
0.180%, 06/10/10 (C) (D)		4,277		4,275
0.139%, 06/17/10 (C) (D)		2,150		2,149
0.330%, 02/10/11 (C) (D) (E)		3,645		3,635

Total U.S. Treasury Obligations (Cost $121,584) ($ Thousands)				121,588

Total Investments — 110.9% (Cost $7,491,997)($ Thousands) ††			$	8,125,402

Percentages are based on a Net Assets of $7,327,507 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI	767	Mar-2010	$	242
S&P 500 Composite Index	4719	Mar-2010		8,636

			$	8,878

Non-income producing security.

Rate shown is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $7,491,997 ($Thousands), and the unrealized appreciation and depreciation were $934,718 ($Thousands) and $(301,313) ($Thousands) respectively.

(A)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $772,770 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities on February 28, 2010 was $783,010 ($ Thousands).

(C)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(D)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(E)

Security is when issued.

Cl — Class

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

S&P — Standard & Poor’s

Amounts designated as “—” are $0 or have been rounded to $0.

See end of Form N-Q Filing for ASC 820 disclosure.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 97.8%

Consumer Discretionary — 10.3%
Aaron’s (A)	1,800	$	53
Abercrombie & Fitch, Cl A	4,302		157
Advance Auto Parts	4,408		180
Aeropostale *	3,200		113
Amazon.com *	15,489		1,834
American Eagle Outfitters	8,871		150
Apollo Group, Cl A * (A)	6,264		375
Autoliv (A)	3,918		175
AutoNation * (A)	2,832		50
AutoZone * (A)	1,407		233
Barnes & Noble (A)	1,238		25
Bed Bath & Beyond * (A)	12,415		517
Best Buy	16,047		586
Big Lots *	3,500		117
Black & Decker	2,968		215
BorgWarner	5,382		202
Boyd Gaming * (A)	1,651		13
Brinker International	4,483		81
Brink’s Home Security Holdings *	2,200		92
Burger King Holdings	5,000		90
Cablevision Systems, Cl A	11,442		275
Career Education * (A)	3,259		91
Carmax * (A)	10,360		209
Carnival	20,800		748
CBS, Cl B	29,269		380
Central European Media Enterprises, Cl A *	1,800		48
Chico’s FAS	8,600		117
Chipotle Mexican Grill, Cl A * (A)	1,500		157
Choice Hotels International (A)	1,484		49
Clear Channel Outdoor Holdings, Cl A *	700		7
Coach (A)	15,067		549
Comcast, Cl A	135,425		2,226
CTC Media *	1,100		19
Darden Restaurants	6,322		256
DeVry	2,900		183
Dick’s Sporting Goods *	4,258		104
DIRECTV, Cl A *	46,229		1,565
Discovery Communications, Cl C *	13,521		359
DISH Network, Cl A	9,862		197
Dollar General *	2,000		48
Dollar Tree *	4,153		232
DR Horton	12,868		159
DreamWorks Animation SKG, Cl A *	3,434		149
Education Management *	1,500		30
Expedia	8,134		181
Family Dollar Stores (A)	6,462		213
Federal Mogul, Cl A *	1,500		29
Foot Locker	6,869		89
Ford Motor * (A)	147,484		1,731
Fortune Brands	7,320		321
GameStop, Cl A * (A)	7,700		132
Gannett (A)	11,259		171
Gap	22,859		492
Garmin (A)	5,300		169
Gentex	6,132		119
Genuine Parts	7,771		314


Description	Shares	Market Value ($ Thousands)
Goodyear Tire & Rubber *	11,052	$	143
Guess? (A)	2,900		118
H&R Block	16,425		284
Hanesbrands *	4,143		108
Harley-Davidson (A)	10,803		266
Harman International Industries (A)	3,568		154
Hasbro	5,867		210
Hillenbrand	2,824		57
Home Depot	79,915		2,493
Hyatt Hotels, Cl A *	2,300		77
Interactive Data	1,900		58
International Game Technology	13,643		239
International Speedway, Cl A	1,512		40
Interpublic Group *	22,775		171
ITT Educational Services * (A)	1,921		209
J.C. Penney	10,851		299
Jarden	4,300		138
John Wiley & Sons, Cl A	1,842		77
Johnson Controls	31,845		990
KB Home (A)	3,380		55
Kohl’s *	14,519		781
Lamar Advertising, Cl A *	2,540		76
Las Vegas Sands * (A)	13,793		229
Leggett & Platt	7,819		148
Lennar, Cl A (A)	7,230		119
Liberty Global, Cl A *	12,971		349
Liberty Media - Capital, Ser A *	3,492		118
Liberty Media - Interactive, Cl A *	27,147		342
Liberty Media - Starz *	2,436		124
Limited Brands (A)	12,057		267
LKQ *	7,100		136
Lowe’s	69,610		1,650
Macy’s	19,330		370
Madison Square Garden, Cl A *	2,860		56
Marriott International, Cl A (A)	14,287		387
Mattel	17,342		381
McDonald’s	52,280		3,338
McGraw-Hill	15,039		514
MDC Holdings	1,516		52
Meredith (A)	1,358		42
MGM Mirage * (A)	8,439		89
Mohawk Industries * (A)	2,866		148
Morningstar * (A)	900		40
NetFlix * (A)	2,100		138
New York Times, Cl A * (A)	4,824		53
Newell Rubbermaid (A)	13,065		180
News, Cl A (A)	107,585		1,438
NIKE, Cl B (A)	17,148		1,159
Nordstrom	7,412		274
NVR * (A)	324		230
Office Depot *	14,189		102
Omnicom Group (A)	14,944		547
O’Reilly Automotive * (A)	6,240		245
Panera Bread, Cl A * (A)	1,162		85
Penn National Gaming *	2,989		69
Penske Auto Group * (A)	1,200		17
PetSmart	6,373		174
Phillips-Van Heusen	2,300		100
Polo Ralph Lauren, Cl A	2,680		214
priceline.com *	2,100		476
Pulte Homes * (A)	15,545		168
RadioShack	5,571		109


Description	Shares	Market Value ($ Thousands)
Regal Entertainment Group, Cl A	4,188	$	62
Ross Stores	5,771		282
Royal Caribbean Cruises *	5,900		167
Scientific Games, Cl A * (A)	2,366		40
Scripps Networks Interactive, Cl A	4,072		161
Sears Holdings * (A)	2,328		223
Service International	11,194		90
Sherwin-Williams	4,837		307
Signet Jewelers *	3,800		110
Stanley Works (A)	3,709		212
Staples (A)	33,964		875
Starbucks *	34,906		800
Starwood Hotels & Resorts Worldwide (A)	8,684		336
Strayer Education (A)	600		136
Target	35,485		1,828
Thor Industries	1,900		65
Tiffany	6,025		267
Time Warner	56,479		1,640
Time Warner Cable, Cl A (A)	16,784		784
TJX	19,654		818
Toll Brothers * (A)	6,051		114
TRW Automotive Holdings * (A)	2,793		75
Urban Outfitters * (A)	5,920		191
VF	4,317		334
Viacom, Cl B *	25,769		764
Virgin Media (A)	13,620		221
Walt Disney	89,072		2,783
Warner Music Group *	662		4
Washington Post, Cl B	357		150
Weight Watchers International (A)	1,662		43
Wendy's, Cl A	19,400		95
Whirlpool (A)	3,687		310
Williams-Sonoma (A)	4,662		100
WMS Industries * (A)	2,600		99
Wyndham Worldwide	8,668		199
Wynn Resorts * (A)	3,096		197
Yum! Brands	21,948		740

			54,718


Consumer Staples — 10.8%
Alberto-Culver, Cl B	3,687		102
Altria Group	97,468		1,961
Archer-Daniels-Midland	29,979		880
Avon Products	20,306		618
BJ's Wholesale Club * (A)	2,672		97
Brown-Forman, Cl B	4,418		231
Bunge (A)	6,100		364
Campbell Soup	9,578		319
Central European Distribution *	3,100		103
Church & Dwight	3,132		210
Clorox	6,603		405
Coca-Cola	109,420		5,769
Coca-Cola Enterprises	14,215		363
Colgate-Palmolive (A)	23,575		1,955
ConAgra Foods	21,186		518
Constellation Brands, Cl A *	9,131		137
Corn Products International	3,900		127
Costco Wholesale	20,681		1,261
CVS Caremark	68,552		2,314
Dean Foods *	8,087		118


Description	Shares	Market Value ($ Thousands)
Del Monte Foods	8,458	$	99
Dr Pepper Snapple Group	12,300		391
Energizer Holdings *	3,341		194
Estee Lauder, Cl A	5,454		328
Flowers Foods (A)	4,100		105
General Mills	15,596		1,123
Green Mountain Coffee Roasters * (A)	1,700		143
Hansen Natural *	2,900		121
Herbalife	3,000		120
Hershey (A)	7,498		298
HJ Heinz	14,837		681
Hormel Foods	3,339		137
JM Smucker	5,711		341
Kellogg	12,103		631
Kimberly-Clark	19,718		1,198
Kraft Foods, Cl A	81,615		2,320
Kroger	31,073		687
Lorillard	8,050		588
McCormick (A)	5,793		215
Mead Johnson Nutrition, Cl A	9,586		454
Molson Coors Brewing, Cl B	6,262		253
NBTY *	2,600		118
Pepsi Bottling Group	6,282		240
PepsiAmericas	2,594		78
PepsiCo	73,637		4,600
Philip Morris International	92,768		4,544
Procter & Gamble	137,674		8,712
Ralcorp Holdings *	2,600		174
Reynolds American (A)	8,010		423
Rite Aid * (A)	19,101		29
Safeway	20,320		506
Sara Lee	33,251		451
Smithfield Foods * (A)	5,975		103
Supervalu	10,789		165
Sysco	28,048		810
Tyson Foods, Cl A	13,965		238
Walgreen	46,825		1,650
Wal-Mart Stores	104,479		5,649
Whole Foods Market * (A)	5,052		179

			56,948


Energy — 10.8%
Alpha Natural Resources * (A)	5,868		270
Anadarko Petroleum	23,540		1,651
Apache	15,859		1,644
Arch Coal	7,712		173
Atwood Oceanics *	2,800		94
Baker Hughes (A)	14,501		695
BJ Services	13,588		297
Cabot Oil & Gas	5,100		205
Cameron International *	11,444		471
Chesapeake Energy	29,066		772
Chevron	94,702		6,847
Cimarex Energy	4,000		239
CNX Gas *	800		21
Comstock Resources *	2,400		83
Concho Resources *	3,700		172
ConocoPhillips	70,276		3,373
Consol Energy	8,744		440
Continental Resources * (A)	1,600		63
Denbury Resources * (A)	11,648		164
Devon Energy	20,913		1,440


Description	Shares	Market Value ($ Thousands)
Diamond Offshore Drilling (A)	3,309	$	289
Dresser-Rand Group *	3,934		121
El Paso	33,503		351
Encore Acquisition *	2,800		139
EOG Resources (A)	11,845		1,114
EXCO Resources	6,800		129
Exterran Holdings * (A)	2,900		66
Exxon Mobil	230,712		14,996
FMC Technologies *	5,660		318
Forest Oil * (A)	4,914		133
Frontier Oil	4,600		57
Frontline	2,200		59
Halliburton	42,697		1,287
Helix Energy Solutions Group *	5,300		61
Helmerich & Payne (A)	5,150		209
Hess	13,512		794
Holly	2,000		51
Marathon Oil	32,976		955
Mariner Energy *	5,200		78
Massey Energy (A)	3,761		162
Murphy Oil	9,054		470
Nabors Industries * (A)	13,100		289
National Oilwell Varco	19,880		864
Newfield Exploration *	6,099		311
Noble Energy	8,262		600
Occidental Petroleum	38,154		3,047
Oceaneering International *	2,600		157
Oil States International *	2,600		112
Overseas Shipholding Group (A)	1,327		59
Patterson-UTI Energy	8,032		124
Peabody Energy	12,674		583
PetroHawk Energy *	13,800		295
Pioneer Natural Resources	5,544		259
Plains Exploration & Production *	6,491		213
Pride International * (A)	8,029		225
Quicksilver Resources * (A)	5,102		76
Range Resources	7,439		376
Rowan * (A)	5,386		140
SandRidge Energy * (A)	6,400		51
Schlumberger	56,700		3,464
SEACOR Holdings *	900		69
Seahawk Drilling *	535		11
Smith International (A)	11,631		477
Southern Union	5,368		128
Southwestern Energy *	16,376		697
Spectra Energy	30,509		665
St. Mary Land & Exploration	2,700		88
Sunoco	5,556		147
Superior Energy Services *	3,500		72
Teekay	2,100		53
Tesoro (A)	6,846		82
Tidewater	2,170		97
Unit *	2,127		92
Valero Energy	27,136		475
Whiting Petroleum *	2,400		180
Williams	27,446		591
XTO Energy	27,388		1,252

			57,374


Financials — 14.7%
Affiliated Managers Group *	1,733		123
Aflac	22,156		1,096
Alexandria Real Estate Equities ‡	2,000		123


Description	Shares	Market Value ($ Thousands)
Alleghany *	238	$	66
Allied World Assurance Holdings	2,600		120
Allstate	24,925		779
AMB Property ‡	6,644		162
American Express	47,834		1,827
American Financial Group	4,214		109
American International Group * (A)	6,023		149
American National Insurance	722		78
AmeriCredit * (A)	4,672		104
Ameriprise Financial	12,200		488
Annaly Capital Management ‡	25,811		475
AON	13,150		538
Apartment Investment & Management, Cl A ‡ (A)	6,199		104
Arch Capital Group *	2,400		178
Arthur J Gallagher	4,804		114
Aspen Insurance Holdings	3,700		105
Associated Banc (A)	5,184		67
Assurant	5,193		159
AvalonBay Communities ‡ (A)	3,941		321
Axis Capital Holdings (A)	6,400		201
Bancorpsouth (A)	3,600		70
Bank of America	408,718		6,809
Bank of Hawaii (A)	1,982		84
Bank of New York Mellon (A)	56,409		1,609
BB&T	32,706		933
BlackRock, Cl A	1,485		325
BOK Financial (A)	775		36
Boston Properties ‡ (A)	6,684		454
Brandywine Realty Trust ‡	6,600		74
BRE Properties ‡ (A)	2,920		99
Brown & Brown (A)	4,724		79
Camden Property Trust ‡	3,247		130
Capital One Financial	21,425		809
CapitalSource	11,382		63
Capitol Federal Financial (A)	1,027		36
CB Richard Ellis Group, Cl A *	10,217		135
Charles Schwab (A)	45,085		825
Chimera Investment ‡	32,100		128
Chubb	16,718		844
Cincinnati Financial	6,786		183
Citigroup * (A)	894,845		3,042
City National (A)	2,338		117
CME Group, Cl A	3,174		958
CNA Financial * (A)	700		17
Comerica	7,053		254
Commerce Bancshares	2,618		106
Corporate Office Properties Trust ‡ (A)	2,800		103
Cullen/Frost Bankers (A)	2,368		128
Digital Realty Trust ‡ (A)	3,600		186
Discover Financial Services	24,489		334
Douglas Emmett ‡ (A)	5,400		76
Duke Realty ‡	10,909		121
Eaton Vance (A)	5,310		160
Endurance Specialty Holdings (A)	2,200		85
Equity Residential ‡ (A)	13,087		472
Erie Indemnity, Cl A	1,119		44
Essex Property Trust ‡ (A)	1,469		126
Everest Re Group	3,000		256
Federal Realty Investment Trust ‡ (A)	2,796		193


Description	Shares	Market Value ($ Thousands)
Federated Investors, Cl B (A)	3,658	$	91
Fidelity National Financial, Cl A	10,604		151
Fifth Third Bancorp	37,982		464
First American	4,584		148
First Citizens BancShares, Cl A	400		73
First Horizon National *	11,017		141
First Niagara Financial Group	9,400		132
Forest City Enterprises, Cl A * (A)	5,142		61
Franklin Resources	7,203		733
Fulton Financial (A)	8,095		78
Genworth Financial, Cl A * (A)	23,292		371
GLG Partners * (A)	10,000		28
Goldman Sachs Group	23,875		3,733
Greenhill (A)	800		57
Hanover Insurance Group	2,193		92
Hartford Financial Services Group	17,810		434
HCC Insurance Holdings	5,641		157
HCP ‡ (A)	13,374		385
Health Care REIT ‡ (A)	5,783		245
Hospitality Properties Trust ‡	5,966		131
Host Hotels & Resorts ‡ * (A)	29,940		351
HRPT Properties Trust ‡	11,302		79
Hudson City Bancorp	21,328		288
Huntington Bancshares	34,934		168
Interactive Brokers Group, Cl A * (A)	2,200		38
IntercontinentalExchange *	3,500		375
Invesco	19,800		388
Investment Technology Group *	1,500		26
Janus Capital Group	9,365		117
Jefferies Group (A)	5,414		135
Jones Lang LaSalle	2,100		134
JPMorgan Chase	177,534		7,451
Keycorp (A)	40,695		291
Kimco Realty ‡	16,944		235
Lazard, Cl A	3,800		137
Legg Mason	7,681		199
Leucadia National * (A)	8,420		200
Liberty Property Trust ‡	5,006		155
Lincoln National	13,788		347
Loews	15,536		566
M&T Bank (A)	3,583		277
Macerich ‡ (A)	4,836		172
Mack-Cali Realty ‡	3,798		127
Markel *	450		159
Marsh & McLennan	24,665		573
Marshall & Ilsley	25,860		183
MBIA * (A)	4,859		23
Mercury General	1,196		49
MetLife	27,309		994
Moody's (A)	8,627		230
Morgan Stanley	64,078		1,806
MSCI, Cl A *	4,700		141
NASDAQ OMX Group *	6,700		125
Nationwide Health Properties ‡	5,700		189
New York Community Bancorp (A)	19,972		309
Northern Trust (A)	11,405		608
NYSE Euronext (A)	11,800		311
Old Republic International (A)	11,490		130
OneBeacon Insurance Group, Cl A	1,100		17
PartnerRe	3,400		271


Description	Shares	Market Value ($ Thousands)
People's United Financial	16,934	$	267
Plum Creek Timber ‡ (A)	7,921		283
PNC Financial Services Group	21,722		1,168
Popular	29,530		57
Principal Financial Group (A)	14,818		344
Progressive	32,280		554
ProLogis ‡ (A)	22,388		289
Protective Life	3,309		61
Prudential Financial	21,963		1,151
Public Storage ‡ (A)	6,368		523
Raymond James Financial (A)	4,221		109
Rayonier ‡ (A)	3,503		146
Realty Income ‡ (A)	4,600		129
Regency Centers ‡ (A)	3,808		132
Regions Financial (A)	55,687		376
Reinsurance Group of America, Cl A	3,199		152
RenaissanceRe Holdings	2,900		161
SEI (C)	5,642		99
Senior Housing Properties Trust ‡	5,400		112
Simon Property Group ‡ (A)	11,481		899
SL Green Realty ‡ (A)	3,668		187
SLM * (A)	20,814		233
St. Joe * (A)	4,761		131
StanCorp Financial Group	2,042		88
State Street	23,394		1,051
Student Loan	102		3
SunTrust Banks (A)	23,646		563
Synovus Financial (A)	19,972		57
T. Rowe Price Group (A)	11,880		602
Taubman Centers ‡ (A)	2,200		85
TCF Financial (A)	6,301		91
TD Ameritrade Holding * (A)	11,645		204
TFS Financial	3,700		48
Torchmark	3,750		174
Transatlantic Holdings	1,355		67
Travelers	25,844		1,359
UDR ‡	7,393		124
Unitrin	2,460		59
Unum Group	16,105		335
US Bancorp	89,343		2,199
Validus Holdings	4,600		129
Valley National Bancorp (A)	7,630		110
Ventas ‡	7,644		338
Vornado Realty Trust ‡ (A)	7,336		482
Waddell & Reed Financial, Cl A	4,100		135
Washington Federal	4,563		89
Weingarten Realty Investors ‡ (A)	4,467		92
Wells Fargo	244,566		6,686
Wesco Financial	41		15
White Mountains Insurance Group	347		120
Whitney Holding (A)	5,557		71
Wilmington Trust (A)	2,292		33
WR Berkley (A)	6,714		173
XL Capital, Cl A	15,400		281
Zions Bancorporation (A)	7,602		141

			77,635


Health Care — 12.4%
Abbott Laboratories	73,276		3,977
Abraxis Bioscience *	340		11
Aetna	21,234		637


Description	Shares	Market Value ($ Thousands)
Alexion Pharmaceuticals *	4,400	$	218
Allergan	14,496		847
Allscripts-Misys Healthcare Solutions * (A)	2,400		43
AmerisourceBergen	14,524		407
Amgen *	47,667		2,699
Amylin Pharmaceuticals *	7,200		136
Baxter International	28,575		1,627
Beckman Coulter	3,212		211
Becton Dickinson	11,344		883
Biogen Idec *	13,400		737
BioMarin Pharmaceutical * (A)	4,100		82
Bio-Rad Laboratories, Cl A *	1,000		93
Boston Scientific * (A)	70,939		549
Bristol-Myers Squibb	80,661		1,977
Brookdale Senior Living * (A)	2,500		45
C.R. Bard	4,785		401
Cardinal Health	17,229		585
CareFusion *	8,864		224
Celgene *	21,792		1,297
Cephalon * (A)	3,348		230
Cerner * (A)	3,074		255
Charles River Laboratories International * (A)	2,843		108
CIGNA	13,255		454
Community Health Systems *	4,062		139
Cooper (A)	2,304		92
Covance * (A)	3,036		172
Coventry Health Care *	7,462		173
DaVita *	4,708		290
Dendreon *	6,600		206
Dentsply International	6,898		228
Edwards Lifesciences *	2,607		239
Eli Lilly	47,761		1,640
Emdeon, Cl A *	1,900		30
Endo Pharmaceuticals Holdings *	6,197		141
Express Scripts *	13,022		1,250
Forest Laboratories *	14,373		429
Gen-Probe *	2,227		100
Genzyme *	12,853		735
Gilead Sciences *	42,750		2,035
Health Management Associates, Cl A * (A)	12,422		91
Health Net *	4,702		109
Henry Schein *	4,184		238
Hill-Rom Holdings	2,724		71
Hologic * (A)	12,000		207
Hospira * (A)	7,681		402
Humana *	8,175		387
Idexx Laboratories * (A)	2,552		135
Illumina * (A)	5,700		207
Intuitive Surgical * (A)	1,800		625
Inverness Medical Innovations * (A)	3,600		140
Johnson & Johnson	130,109		8,197
Kinetic Concepts *	3,113		131
King Pharmaceuticals * (A)	12,426		140
Laboratory Corp of America Holdings *	5,211		382
Life Technologies *	8,370		425
LifePoint Hospitals *	2,376		72
Lincare Holdings * (A)	3,027		122
McKesson	12,866		761


Description	Shares	Market Value ($ Thousands)
Medco Health Solutions *	22,820	$	1,443
Mednax *	2,000		107
Medtronic	52,685		2,287
Merck	144,143		5,316
Mettler Toledo International *	1,536		153
Millipore *	2,586		244
Mylan Laboratories * (A)	14,119		301
Myriad Genetics *	4,500		104
Omnicare	5,431		147
OSI Pharmaceuticals *	2,600		96
Patterson * (A)	4,783		142
PerkinElmer	4,834		107
Perrigo (A)	3,800		188
Pfizer	380,780		6,683
Pharmaceutical Product Development	5,384		113
Quest Diagnostics	7,444		422
ResMed * (A)	3,555		203
St. Jude Medical *	16,346		625
Stryker (A)	16,104		855
Talecris Biotherapeutics Holdings *	2,700		58
Techne (A)	1,541		99
Teleflex	1,640		100
Tenet Healthcare *	23,094		122
Thermo Fisher Scientific *	19,825		967
United Therapeutics * (A)	2,200		126
UnitedHealth Group	56,129		1,900
Universal Health Services, Cl B	4,376		136
Valeant Pharmaceuticals International * (A)	3,400		127
Varian Medical Systems *	6,130		300
VCA Antech * (A)	3,539		84
Vertex Pharmaceuticals * (A)	9,100		370
Waters *	4,472		267
Watson Pharmaceuticals * (A)	4,918		196
WellPoint *	21,631		1,338
Zimmer Holdings *	10,225		586

			65,786


Industrials — 10.3%
3M	32,646		2,617
A123 Systems * (A)	1,800		30
Aecom Technology *	4,800		130
AGCO * (A)	4,700		161
Alexander & Baldwin (A)	1,782		57
Alliant Techsystems *	1,636		130
Ametek	5,047		197
AMR * (A)	17,086		157
Armstrong World Industries *	700		26
Avery Dennison	5,310		168
BE Aerospace *	4,800		124
Boeing (A)	34,191		2,160
Brink's	1,800		46
Bucyrus International, Cl A	3,600		225
C.H. Robinson Worldwide (A)	8,086		431
Carlisle	2,666		91
Caterpillar (A)	28,388		1,620
Cintas (A)	6,157		153
Continental Airlines, Cl B * (A)	6,800		140
Con-way (A)	2,223		72
Copa Holdings, Cl A (A)	1,600		87
Copart *	3,213		115


Description	Shares	Market Value ($ Thousands)
Corrections of America *	5,600	$	120
Covanta Holding * (A)	6,200		104
Crane	2,400		76
CSX	18,632		884
Cummins	9,612		546
Danaher	12,251		906
Deere	20,018		1,147
Delta Air Lines *	35,500		459
Donaldson	3,772		156
Dover	8,957		405
Dun & Bradstreet	2,456		172
Eaton	7,826		533
Emerson Electric	35,520		1,682
Equifax	6,156		199
Expeditors International Washington (A)	10,148		370
Fastenal (A)	6,462		287
FedEx	14,744		1,250
First Solar * (A)	2,500		265
Flowserve	2,600		260
Fluor	8,508		364
FTI Consulting * (A)	2,400		88
Gardner Denver	2,300		100
GATX (A)	2,100		56
General Cable * (A)	2,500		61
General Dynamics	16,372		1,188
General Electric	500,123		8,032
Goodrich	5,992		393
Graco (A)	2,624		72
Harsco	3,470		104
Hertz Global Holdings * (A)	9,400		88
Honeywell International	35,090		1,409
Hubbell, Cl B	2,892		135
IDEX	3,593		111
IHS, Cl A *	2,200		114
Illinois Tool Works	21,280		969
Iron Mountain (A)	7,963		206
ITT	8,602		441
Jacobs Engineering Group *	5,502		213
JB Hunt Transport Services (A)	3,972		141
Joy Global	4,633		235
Kansas City Southern *	4,500		154
KBR	7,284		151
Kennametal	3,300		86
Kirby *	2,300		76
L-3 Communications Holdings, Cl 3	5,577		510
Landstar System	2,165		86
Lennox International	2,300		97
Lincoln Electric Holdings (A)	2,200		105
Lockheed Martin	15,029		1,169
Manitowoc (A)	5,700		66
Manpower	3,684		190
Masco	16,009		214
McDermott International *	10,200		233
MSC Industrial Direct, Cl A (A)	2,120		96
Navistar International *	3,000		117
Norfolk Southern	17,433		897
Northrop Grumman	15,378		942
Oshkosh Truck	4,259		162
Owens Corning * (A)	4,200		99
Paccar (A)	17,270		610
Pall	5,545		219


Description	Shares	Market Value ($ Thousands)
Parker Hannifin	7,604	$	459
Pentair	4,961		162
Pitney Bowes (A)	9,185		210
Precision Castparts	6,646		749
Quanta Services *	9,200		175
Raytheon	18,668		1,050
Republic Services, Cl A	15,342		432
Robert Half International (A)	6,876		192
Rockwell Automation	6,504		352
Rockwell Collins	7,562		426
Roper Industries	4,200		233
RR Donnelley & Sons	9,677		192
Ryder System	2,306		82
Shaw Group *	4,300		149
Snap-On	2,391		101
Southwest Airlines (A)	35,620		448
Spirit Aerosystems Holdings, Cl A *	4,700		90
SPX	2,211		132
Stericycle * (A)	3,826		211
SunPower, Cl A * (A)	4,400		82
Terex *	5,648		110
Textron (A)	13,222		263
Thomas & Betts *	2,867		103
Timken	4,260		112
Toro (A)	1,560		69
TransDigm Group	2,000		100
Trinity Industries (A)	3,500		59
Union Pacific	23,816		1,605
United Parcel Service, Cl B	32,641		1,918
United Technologies	39,366		2,702
URS *	4,100		191
USG * (A)	2,298		31
UTi Worldwide	5,100		76
Valmont Industries	1,000		71
Verisk Analytics, Cl A *	4,500		127
WABCO Holdings	3,424		92
Wabtec (A)	2,400		92
Waste Connections *	3,900		131
Waste Management	23,394		772
WESCO International *	2,000		58
WW Grainger	2,781		283

			54,449


Information Technology — 18.2%
Activision Blizzard	26,756		284
Adobe Systems *	24,902		863
Advanced Micro Devices * (A)	26,734		211
Agilent Technologies *	16,264		512
Akamai Technologies * (A)	8,118		213
Alliance Data Systems * (A)	2,612		145
Altera (A)	14,273		349
Amdocs *	8,900		259
Amphenol, Cl A	7,892		329
Analog Devices	13,912		407
Ansys *	4,100		180
AOL *	5,034		125
Apple *	42,123		8,619
Applied Materials	63,155		773
Arrow Electronics *	6,089		172
Atmel *	18,900		85
Autodesk *	11,337		316
Automatic Data Processing	23,392		973
Avnet *	7,410		205


Description	Shares	Market Value ($ Thousands)
AVX	1,424	$	18
BMC Software *	8,989		331
Broadcom, Cl A (A)	23,368		732
Broadridge Financial Solutions	7,073		149
Brocade Communications Systems *	22,200		129
CA	18,738		422
Cadence Design Systems *	13,063		74
Ciena * (A)	4,114		59
Cisco Systems *	272,527		6,631
Citrix Systems *	8,687		374
Cognizant Technology Solutions, Cl A *	13,788		664
CommScope *	3,900		100
Computer Sciences *	7,264		376
Compuware *	11,951		89
Convergys *	3,469		43
Corning	73,458		1,295
Cree * (A)	5,022		341
Cypress Semiconductor *	7,200		85
Dell *	81,543		1,079
Diebold	2,729		79
Dolby Laboratories, Cl A * (A)	2,643		141
DST Systems *	1,695		65
eBay *	53,211		1,225
EchoStar, Cl A *	2,132		43
Electronic Arts *	15,865		263
EMC *	94,964		1,661
Equinix * (A)	1,700		161
F5 Networks *	3,738		209
Factset Research Systems (A)	1,800		119
Fairchild Semiconductor International, Cl A *	6,600		68
Fidelity National Information Services	15,690		354
Fiserv *	7,469		360
FLIR Systems *	6,800		182
Genpact *	3,100		47
Global Payments	3,734		160
Google, Cl A *	11,344		5,976
Harris	6,189		280
Hewitt Associates, Cl A *	3,863		147
Hewlett-Packard	113,001		5,739
IAC *	5,132		115
Ingram Micro, Cl A *	7,023		124
Integrated Device Technology *	5,600		31
Intel	263,958		5,419
International Business Machines	62,398		7,935
International Rectifier *	3,355		68
Intersil, Cl A	5,361		80
Intuit * (A)	15,386		498
Itron *	1,900		127
Jabil Circuit	9,174		139
JDS Uniphase *	10,640		114
Juniper Networks * (A)	24,925		697
Kla-Tencor	7,809		227
Lam Research * (A)	5,891		200
Lender Processing Services	4,714		180
Lexmark International, Cl A *	3,986		134
Linear Technology (A)	10,857		295
LSI *	31,948		172
Marvell Technology Group *	24,500		473
Mastercard, Cl A (A)	4,000		897


Description	Shares	Market Value ($ Thousands)
Maxim Integrated Products (A)	15,100	$	280
McAfee *	7,573		301
MEMC Electronic Materials *	10,338		125
Microchip Technology (A)	8,422		228
Micron Technology * (A)	41,116		373
Micros Systems *	3,600		108
Microsoft	363,900		10,429
Molex (A)	6,370		130
Monster Worldwide * (A)	5,218		73
Motorola *	108,934		736
National Instruments	2,536		80
National Semiconductor (A)	11,556		167
NCR *	6,689		84
NetApp * (A)	15,555		467
NeuStar, Cl A *	3,900		90
Novell *	15,326		72
Novellus Systems *	4,377		97
Nuance Communications *	10,000		144
Nvidia * (A)	26,056		422
ON Semiconductor * (A)	19,200		153
Oracle	181,167		4,466
Paychex (A)	15,307		458
PMC—Sierra *	12,100		100
QLogic * (A)	5,980		109
Qualcomm	77,850		2,856
Rambus * (A)	4,500		99
Red Hat * (A)	8,527		239
Rovi * (A)	4,800		161
SAIC *	18,100		356
Salesforce.com *	5,238		356
SanDisk * (A)	10,543		307
Seagate Technology (A)	22,600		450
Silicon Laboratories * (A)	2,200		100
Sohu.com *	1,400		72
Sybase *	3,900		173
Symantec *	39,048		646
Synopsys *	6,882		151
Tech Data *	2,250		96
Tellabs	16,789		116
Teradata *	7,989		244
Teradyne * (A)	8,863		89
Texas Instruments (A)	60,108		1,465
Total System Services (A)	6,691		95
Trimble Navigation *	6,114		164
Varian Semiconductor Equipment Associates *	3,200		96
VeriSign * (A)	8,985		224
Visa, Cl A (A)	21,200		1,808
Vishay Intertechnology *	9,550		98
VMware, Cl A * (A)	2,500		124
WebMD Health, Cl A * (A)	2,722		117
Western Digital *	10,630		411
Western Union	33,128		523
Xerox	63,196		592
Xilinx (A)	13,357		345
Yahoo! *	55,481		849
Zebra Technologies, Cl A *	3,025		86

			96,415


Materials — 3.8%
Air Products & Chemicals	9,994		685
Airgas	4,015		258
AK Steel Holding	5,300		114


Description	Shares	Market Value ($ Thousands)
Albemarle	4,444	$	167
Alcoa (A)	46,402		617
Allegheny Technologies	4,697		205
Aptargroup	2,800		108
Ashland	3,476		164
Ball	4,575		247
Bemis	4,774		140
Cabot	3,373		98
Carpenter Technology	2,300		69
Celanese, Cl A	6,483		202
CF Industries Holdings (A)	2,400		255
Cliffs Natural Resources (A)	6,400		361
Commercial Metals (A)	4,900		80
Compass Minerals International	1,600		121
Crown Holdings *	7,451		204
Cytec Industries	2,381		102
Dow Chemical (A)	52,570		1,488
E.I. Du Pont de Nemours	42,692		1,440
Eagle Materials (A)	2,000		47
Eastman Chemical	3,642		217
Ecolab	11,391		480
FMC	3,460		198
Freeport-McMoRan Copper & Gold, Cl B	19,412		1,459
Greif, Cl A	1,500		77
Huntsman	8,329		114
International Flavors & Fragrances	3,991		168
International Paper	20,655		479
Intrepid Potash * (A)	1,500		41
Lubrizol	3,234		255
Martin Marietta Materials (A)	1,963		156
MeadWestvaco	8,258		189
Monsanto	25,750		1,819
Mosaic	7,578		442
Nalco Holding	7,017		163
Newmont Mining	22,633		1,115
Nucor	14,790		612
Owens-Illinois *	7,791		231
Packaging of America	4,599		109
Pactiv *	6,183		153
PPG Industries	7,823		481
Praxair	14,525		1,091
Reliance Steel & Aluminum	2,900		129
Royal Gold (A)	1,400		63
RPM International	6,269		121
Schnitzer Steel Industries, Cl A	1,000		46
Scotts Miracle-Gro, Cl A	1,806		71
Sealed Air	7,768		159
Sigma-Aldrich (A)	5,948		284
Sonoco Products	5,046		149
Southern Copper (A)	7,848		230
Steel Dynamics	10,100		165
Temple-Inland	5,375		100
Terra Industries	4,900		202
Titanium Metals *	3,358		40
United States Steel (A)	6,583		348
Valspar (A)	4,764		130
Vulcan Materials (A)	5,757		250
Walter Industries	2,400		189
Weyerhaeuser (A)	10,078		407

			20,304


Description	Shares	Market Value ($ Thousands)

Telecommunication Services — 2.8%
American Tower, Cl A *	18,922	$	807
AT&T	278,633		6,913
CenturyTel	14,175		486
Clearwire, Cl A * (A)	2,500		16
Crown Castle International *	13,796		522
Frontier Communications (A)	12,955		101
Leap Wireless International * (A)	2,900		41
Level 3 Communications * (A)	67,400		107
MetroPCS Communications * (A)	11,800		73
NII Holdings *	7,720		289
Qwest Communications International (A)	71,796		327
SBA Communications, Cl A * (A)	5,300		187
Sprint Nextel *	132,344		441
Telephone & Data Systems	4,102		128
tw telecom , Cl A *	7,400		118
US Cellular *	831		30
Verizon Communications	134,615		3,895
Windstream	20,347		206

			14,687


Utilities — 3.7%
AES *	31,624		370
AGL Resources	3,247		118
Allegheny Energy	7,566		171
Alliant Energy	5,176		164
Ameren (A)	11,290		279
American Electric Power (A)	22,650		762
American Water Works	2,900		65
Aqua America (A)	6,977		119
Atmos Energy	4,691		129
Calpine *	14,900		163
Centerpoint Energy	18,715		250
CMS Energy (A)	11,342		173
Consolidated Edison (A)	12,816		548
Constellation Energy Group	8,358		293
Dominion Resources (A)	28,112		1,068
DPL	5,446		145
DTE Energy	7,964		346
Duke Energy	60,919		996
Dynegy, Cl A *	22,518		34
Edison International	15,479		505
Energen	3,537		161
Entergy	9,198		699
Equities	6,466		283
Exelon	31,129		1,348
FirstEnergy	14,181		548
FPL Group	19,573		908
Great Plains Energy	6,471		115
Hawaiian Electric Industries (A)	3,746		76
Integrys Energy Group (A)	3,702		163
ITC Holdings	2,400		128
MDU Resources Group	8,621		176
Mirant *	6,461		81
National Fuel Gas	3,289		164
NiSource (A)	12,821		193
Northeast Utilities	7,907		202
NRG Energy *	12,700		278
NSTAR	5,028		170
NV Energy	10,800		120


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
OGE Energy (A)		4,568	$	167
Oneok		4,929		219
Ormat Technologies (A)		1,000		29
Pepco Holdings		10,044		169
PG&E		17,518		734
Pinnacle West Capital (A)		4,792		174
PPL		18,126		516
Progress Energy		13,261		508
Public Service Enterprise Group		24,052		715
Questar		8,346		350
RRI Energy *		14,659		62
SCANA		5,420		195
Sempra Energy		11,523		567
Southern		37,003		1,176
TECO Energy (A)		10,600		163
UGI		4,850		121
Vectren		3,491		81
Westar Energy		5,300		113
Wisconsin Energy		5,249		254
Xcel Energy		21,681		451

				19,275

Total Common Stock (Cost $424,447) ($ Thousands)				517,591


AFFILIATED PARTNERSHIP — 12.6%
SEI Liquidity Fund, L.P.
0.240% (B) ** †		67,618,365		66,822

Total Affiliated Partnership
(Cost $67,618) ($ Thousands)				66,822


CASH EQUIVALENT — 1.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.070% ** †		5,992,337		5,992

Total Cash Equivalent
(Cost $5,992) ($ Thousands)				5,992


U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill
0.018%, 03/11/10 (D) (E)	$	828		828

Total U.S. Treasury Obligation
(Cost $828) ($ Thousands)				828


	Number Of Rights

RIGHTS — 0.0%
Clearwire, Expires 06/23/10 *		2,500		1

Total Rights (Cost $0) ($ Thousands)				1

Total Investments — 111.7%
(Cost $498,885)($ Thousands) ††			$	591,234

Percentages are based on a Net Assets of $529,289 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 E-MINI	137	Mar-2010	$	54
S&P Mid 400 Index E-MINI	6	Mar-2010		23

			$	77

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund's investments was $498,885 ($Thousands), and the unrealized appreciation and depreciation were $129,623 ($Thousands) and $(37,274) ($Thousands) respectively.

(A)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $66,038 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities on February 28, 2010, was $66,822 ($ Thousands).

(C)

The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index.

(D)

Zero coupon security. Rate shown is the effective yield at time of purchase.

(E)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

Ser — Series

See end of Form N-Q Filing for ASC 820 disclosure.

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


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 95.3%

Consumer Discretionary — 13.6%
Aaron’s	18,300	$	543
Abercrombie & Fitch, Cl A	15,164		552
American Axle & Manufacturing Holdings *	31,500		309
American Eagle Outfitters	115,860		1,955
American Greetings, Cl A (A)	108,300		2,065
American Public Education *	68,290		2,954
America’s Car-Mart *	28,900		764
Amerigon * (A)	98,682		965
Ameristar Casinos (A)	46,000		694
AnnTaylor Stores *	36,400		626
Arctic Cat *	54,500		586
ArvinMeritor *	39,400		460
Ascent Media, Cl A *	2,100		55
Bally Technologies *	4,900		203
Barnes & Noble	80,300		1,612
Beazer Homes USA *	81,600		339
Bebe Stores	21,823		184
Belo, Cl A	76,318		514
Big Lots *	38,000		1,273
Bluegreen *	15,899		41
Blyth	11,031		318
Bob Evans Farms	19,500		556
Boyd Gaming * (A)	27,200		208
Brinker International (A)	20,200		366
Brown Shoe	72,500		1,003
Brunswick	3,000		35
Buckle	9,400		275
Buffalo Wild Wings *	22,778		1,001
Cabela’s * (A)	61,500		951
California Pizza Kitchen * (A)	76,939		1,196
Callaway Golf (A)	103,116		818
Capella Education * (A)	40,717		3,382
Career Education * (A)	7,600		211
Carter’s *	81,800		2,344
Casual Male Retail Group *	240,900		742
Cato, Cl A (A)	169,637		3,325
Century Casinos *	227,272		568
Cheesecake Factory * (A)	19,100		452
Chico’s FAS	31,900		432
Childrens Place Retail Stores * (A)	5,600		214
Christopher & Banks	64,329		446
Citi Trends *	6,700		199
CKE Restaurants	55,700		633
Collective Brands * (A)	34,400		777
Cooper Tire & Rubber	81,579		1,431
Corinthian Colleges * (A)	93,300		1,513
Cracker Barrel Old Country Store (A)	37,100		1,620
CSS Industries	17,600		297
Dana Holdings *	30,501		347
Dick’s Sporting Goods * (A)	75,170		1,829
Dillard’s, Cl A (A)	33,900		572
DineEquity *	8,800		258
Domino’s Pizza *	31,200		390
Dress Barn *	20,534		511
DSW, Cl A * (A)	78,200		2,106
Eastman Kodak (A)	276,600		1,643
Ethan Allen Interiors (A)	32,497		519
Exide Technologies * (A)	63,700		366


Description	Shares	Market Value ($ Thousands)
Finish Line, Cl A	185,610	$	2,244
Foot Locker	117,600		1,525
Fossil *	28,900		1,048
Fred’s, Cl A (A)	67,200		696
Furniture Brands International *	41,008		225
Gaylord Entertainment * (A)	9,100		205
Grand Canyon Education * (A)	74,455		1,619
Group 1 Automotive * (A)	26,800		744
Gymboree * (A)	4,900		213
Harte-Hanks	42,400		504
Helen of Troy *	8,100		196
hhgregg * (A)	25,274		527
Hibbett Sports * (A)	63,546		1,462
Hillenbrand	47,361		950
HOT Topic * (A)	374,000		2,420
HSN *	54,000		1,169
Iconix Brand Group *	240,410		3,133
Interactive Data	50,059		1,517
International Speedway, Cl A (A)	47,500		1,269
Interval Leisure Group *	1,600		23
J Crew Group *	46,065		1,938
Jack in the Box * (A)	89,200		1,884
Jackson Hewitt Tax Service (A)	111,700		273
Jakks Pacific * (A)	24,500		303
Jarden	95,836		3,072
Jo-Ann Stores * (A)	27,004		1,022
Jones Apparel Group	113,500		1,914
Jos. A. Bank Clothiers * (A)	11,800		528
Journal Communications, Cl A	152,400		570
K12 * (A)	34,379		692
Kirkland’s *	83,200		1,378
Lakeland Industries *	92,805		789
Landry’s Restaurants * (A)	12,100		247
Las Vegas Sands *	28,100		467
Leggett & Platt	13,100		248
Life Time Fitness * (A)	210,553		5,340
Lifetime Brands *	54,800		442
Lincoln Educational Services *	83,300		1,858
Lions Gate Entertainment *	157,900		861
Live Nation *	60,492		786
Liz Claiborne * (A)	59,700		413
LodgeNet Interactive *	65,600		409
Lululemon Athletica * (A)	74,003		2,120
Matthews International, Cl A	44,900		1,505
MDC Partners, Cl A	416,400		3,889
Men’s Wearhouse	20,811		445
Meredith (A)	45,800		1,407
Meritage Homes * (A)	97,150		2,078
Morningstar * (A)	43,279		1,909
National CineMedia	78,344		1,260
New Frontier Media *	209,862		376
Nordstrom	43,530		1,608
NutriSystem (A)	40,300		780
NVR *	1,880		1,332
O’Charleys * (A)	27,900		226
Office Depot *	75,185		543
OfficeMax * (A)	97,160		1,552
Orient-Express Hotels, Cl A *	105,502		1,206
Oxford Industries	16,100		313
Papa John’s International *	12,600		307
Peet’s Coffee & Tea * (A)	24,485		890
Penske Auto Group *	21,200		308
PetSmart (A)	82,388		2,243


Description	Shares	Market Value ($ Thousands)
PF Chang’s China Bistro * (A)	27,638	$	1,173
Phillips-Van Heusen	15,200		662
Pinnacle Entertainment * (A)	263,466		1,905
Polaris Industries (A)	22,200		1,015
Pool	43,200		863
Pre-Paid Legal Services * (A)	16,300		679
Princeton Review *	255,069		969
Pulte Homes *	117,325		1,271
RadioShack	78,200		1,530
Red Robin Gourmet Burgers * (A)	113,896		2,258
Regis (A)	168,451		2,785
Rent-A-Center, Cl A * (A)	131,800		2,931
Retail Ventures *	61,467		549
Ruby Tuesday * (A)	73,100		591
Rue21 *	52,758		1,516
Ryland Group (A)	77,000		1,747
Saks *	309,590		2,161
Scholastic (A)	59,300		1,743
Scientific Games, Cl A * (A)	29,059		491
Sealy *	80,100		277
Shutterfly * (A)	51,800		994
Signet Jewelers *	5,800		167
Sinclair Broadcast Group, Cl A *	39,677		199
Sonic *	21,300		181
Sonic Automotive, Cl A *	31,600		326
Sotheby’s	28,093		683
Spartan Motors	20,900		117
Spectrum Group International *	9,759		17
Stage Stores	149,500		1,988
Standard Pacific *	99,315		419
Steiner Leisure * (A)	30,100		1,293
Stewart Enterprises, Cl A	75,104		368
Stoneridge *	21,800		182
Sturm Ruger (A)	92,300		1,085
Superior Industries International (A)	15,100		218
Systemax	13,500		220
Talbots	125,565		1,361
Tempur-Pedic International * (A)	72,275		2,053
Tenneco *	112,993		2,278
Texas Roadhouse, Cl A *	20,100		270
Timberland, Cl A *	72,300		1,337
Tractor Supply (A)	13,059		715
Tupperware Brands	7,500		350
Ulta Salon Cosmetics & Fragrance *	61,968		1,136
Under Armour, Cl A *	38,850		1,012
Unifirst	3,700		194
Universal Electronics * (A)	1,800		41
Volcom *	13,100		211
Warnaco Group *	4,000		167
Williams-Sonoma	23,000		494
World Wrestling Entertainment, Cl A	26,500		452

			171,612


Consumer Staples — 3.5%
Alliance One International *	266,600		1,368
American Italian Pasta, Cl A * (A)	12,000		466
American Oriental Bioengineering * (A)	104,300		433
Andersons (A)	53,600		1,731
BJ’s Wholesale Club * (A)	15,904		575


Description	Shares	Market Value ($ Thousands)
Cal-Maine Foods (A)	36,700	$	1,177
Casey’s General Stores (A)	50,460		1,535
Central Garden and Pet *	35,415		373
Central Garden and Pet, Cl A * (A)	40,666		388
Chiquita Brands International * (A)	162,336		2,364
Corn Products International	23,610		769
Cosan Industria e Comercio (Brazil) *	81,700		1,055
Darling International *	44,100		355
Dean Foods *	59,156		863
Del Monte Foods (A)	345,100		4,045
Diedrich Coffee *	3,300		114
Dole Food * (A)	42,796		502
Flowers Foods	13,900		354
Fresh Del Monte Produce *	88,000		1,708
Great Atlantic & Pacific Tea *	59,500		433
Herbalife	56,417		2,260
Ingles Markets, Cl A	25,700		362
Kulim Malaysia	485,500		1,014
Lancaster Colony (A)	18,900		1,087
Lance (A)	50,314		1,091
Mead Johnson Nutrition, Cl A	5,600		265
Molson Coors Brewing, Cl B	8,900		359
Nash Finch (A)	16,900		596
NBTY *	28,000		1,271
Nu Skin Enterprises, Cl A	42,100		1,125
Pantry *	160,879		2,108
Prestige Brands Holdings *	56,700		455
Pricesmart	7,400		157
Rite Aid *	52,800		80
Ruddick (A)	50,500		1,480
Sanderson Farms (A)	28,931		1,416
Saskatchewan Wheat Pool, Cl Common Subscription Recei *	129,800		1,194
Smart Balance *	325,058		1,629
United Natural Foods *	17,600		517
Universal (A)	57,900		3,072
USANA Health Sciences *	6,000		166
Vector Group	20,600		297
Village Super Market, Cl A	6,600		163
Weis Markets (A)	13,300		464
Winn-Dixie Stores * (A)	45,600		499

			43,735


Energy — 6.0%
Allis-Chalmers Energy * (A)	106,988		404
Alon USA Energy (A)	26,200		183
Approach Resources *	145,993		1,213
Arena Resources * (A)	47,101		1,951
Atlas Energy	7,300		238
ATP Oil & Gas * (A)	5,300		96
Basic Energy Services *	78,100		738
Berry Petroleum, Cl A	47,306		1,268
Boots & Coots *	245,250		444
BPZ Energy PIPE *	46,900		367
BPZ Resources * (A)	147,200		1,151
Bristow Group *	8,000		290
Cal Dive International *	523,537		3,691
CARBO Ceramics	14,500		885
Clayton Williams Energy *	40,300		1,503
Complete Production Services *	36,400		508


Description	Shares	Market Value ($ Thousands)
Comstock Resources *	116,843	$	4,033
Contango Oil & Gas *	2,700		139
CVR Energy *	164,673		1,354
Delek US Holdings	18,134		132
Denbury Resources *	16,000		225
DHT Maritime	17,800		63
Dresser-Rand Group *	71,360		2,206
Encore Acquisition *	3,800		188
Energy Partners *	24,100		243
Exterran Holdings *	25,457		579
Forest Oil * (A)	64,700		1,753
Frontier Oil	29,727		368
GeoMet *	221,500		224
Global Industries * (A)	90,000		608
GMX Resources *	101,703		936
Goodrich Petroleum * (A)	88,584		1,707
Gulfmark Offshore, Cl A *	11,600		285
Gulfport Energy *	15,300		139
Hercules Offshore *	118,900		435
Holly	92,800		2,383
Hornbeck Offshore Services * (A)	27,600		521
Key Energy Services *	165,318		1,676
Kinder Morgan Escrow *	40,730		—
Kinder Morgan Management LLC *	38,248		2,194
Knightsbridge Tankers	47,300		729
Matrix Service *	7,100		76
McMoRan Exploration * (A)	3,900		67
Newpark Resources * (A)	58,400		302
Nordic American Tanker Shipping	15,600		453
Northern Oil And Gas * (A)	104,000		1,286
Oil States International *	12,300		529
Oilsands Quest * (A)	1,735,100		1,180
Oilsands Quest Private Placement *	144,700		98
Overseas Shipholding Group (A)	35,600		1,584
Parker Drilling * (A)	173,600		891
Patterson-UTI Energy	91,000		1,405
PetroHawk Energy *	155,157		3,320
Petroleum Development *	23,000		541
Petroquest Energy * (A)	242,863		1,302
Quicksilver Resources *	110,784		1,653
Rentech * (A)	315,200		337
Rosetta Resources *	68,000		1,274
RPC (A)	42,600		527
SandRidge Energy *	391,378		3,108
SEACOR Holdings *	9,400		718
Seahawk Drilling * (A)	36,100		742
Ship Finance International (A)	21,200		337
StealthGas	119,700		558
Stone Energy *	50,200		856
Superior Energy Services *	28,300		585
Swift Energy * (A)	85,542		2,548
Teekay	45,600		1,146
Tesoro (A)	71,200		849
Tidewater	7,116		317
USEC * (A)	323,800		1,412
Vaalco Energy	176,400		753
W&T Offshore (A)	151,300		1,333
Western Refining *	49,200		214
Willbros Group * (A)	100,544		1,518


Description	Shares	Market Value ($ Thousands)
World Fuel Services (A)	151,981	$	4,015

			75,884


Financials — 17.8%
Acadia Realty Trust ‡	8,600		144
Advance America Cash Advance Centers	91,500		574
Affiliated Managers Group * (A)	41,269		2,936
Agree Realty ‡	300		7
Alexander's ‡ *	400		117
Allied Capital (A)	101,000		420
Allied World Assurance Holdings	39,700		1,830
AMB Property ‡	87,750		2,136
American Campus Communities ‡ (A)	31,200		862
American Capital Agency ‡ (A)	10,600		268
American Equity Investment Life Holding	36,900		325
American Physicians Capital (A)	33,999		966
Amtrust Financial Services (A)	64,700		917
Annaly Capital Management ‡	94,200		1,731
Anworth Mortgage Asset ‡	383,659		2,594
Apartment Investment & Management, Cl A ‡ (A)	106,314		1,774
Apollo Investments * (A)¹	73,838		861
Argo Group International Holdings	24,900		693
Artio Global Investors, Cl A	47,400		1,156
Aspen Insurance Holdings (A)	71,900		2,032
Associated Banc (A)	32,600		421
Assured Guaranty	40,800		861
Astoria Financial (A)	33,218		441
AvalonBay Communities ‡ (A)	19,233		1,566
Axis Capital Holdings	9,400		296
Banco Latinoamericano de Comercio Exterior, Cl E	56,900		804
Bancorp Rhode Island	16,477		469
Bancorpsouth (A)	22,390		436
Bank Mutual	35,700		232
Bank of Hawaii	13,500		570
Bank of the Ozarks (A)	6,200		190
BGC Partners, Cl A	42,630		211
BioMed Realty Trust ‡ (A)	54,300		839
Boston Private Financial Holdings (A)	54,970		377
Boston Properties ‡ (A)	43,500		2,955
Brandywine Realty Trust ‡ (A)	76,100		853
Brasil Brokers Participacoes	253,100		1,161
Calamos Asset Management, Cl A	19,022		254
Camden National	10,600		320
CapitalSource	397,985		2,189
Capstead Mortgage ‡ (A)	153,700		1,912
Cardinal Financial	41,372		402
Cardtronics *	134,188		1,326
Cathay General Bancorp (A)	83,240		810
CBL & Associates Properties ‡ (A)	153,079		1,820
Centerstate Banks	46,490		499
Central Pacific Financial * (A)	29,400		38
Chemical Financial	16,248		335
Chimera Investment ‡	392,932		1,572


Description	Shares	Market Value ($ Thousands)
Cincinnati Financial	12,800	$	344
Citizens Republic Bancorp *	36,000		25
City Holding	1,300		42
CNA Surety *	26,160		422
Cohen & Steers	13,600		296
Colonial Properties Trust ‡ (A)	11,100		131
Community Bank System (A)	51,288		1,149
Conseco * (A)	248,500		1,237
Corporate Office Properties Trust ‡ (A)	21,250		783
Cousins Properties ‡ (A)	16,058		115
Cowen Group, Cl A *	260,900		1,419
Crawford, Cl B *	14,724		56
CreXus Investment ‡ *	44,500		615
DCT Industrial Trust ‡ (A)	44,100		217
Delphi Financial Group, Cl A	87,900		1,875
Developers Diversified Realty ‡ (A)	68,000		722
DiamondRock Hospitality ‡ (A)	25,692		230
Dime Community Bancshares (A)	33,400		405
Dollar Financial * (A)	59,600		1,337
Douglas Emmett ‡ (A)	58,700		827
Duff & Phelps, Cl A (A)	61,634		1,028
DuPont Fabros Technology ‡ (A)	45,800		898
Dynex Capital ‡	500		4
ETrade Financial	437,700		705
EastGroup Properties ‡	5,600		201
Education Realty Trust ‡	74,576		406
EMC Insurance Group	4,371		88
Employers Holdings	81,628		1,076
Encore Bancshares *	68,836		558
Encore Capital Group *	30,600		552
Endurance Specialty Holdings (A)	42,353		1,629
Entertainment Properties Trust ‡ (A)	9,300		355
Equity Lifestyle Properties ‡ (A)	5,600		279
Equity One ‡ (A)	83,186		1,536
Equity Residential ‡	68,800		2,482
ESSA Bancorp	36,900		432
Essex Property Trust ‡ (A)	24,800		2,130
Extra Space Storage ‡ (A)	91,500		1,032
FBL Financial Group, Cl A (A)	32,400		658
FBR Capital Markets *	286,600		1,551
Federal Realty Investment Trust ‡ (A)	24,300		1,676
Federated Investors, Cl B (A)	25,322		633
FelCor Lodging Trust ‡ *	13,600		51
First Bancorp	208,147		441
First Busey (A)	76,721		288
First Commonwealth Financial	34,404		193
First Financial Bancorp (A)	156,911		2,912
First Financial Bankshares (A)	700		37
First Financial Holdings	38,600		462
First Horizon National * (A)	36,959		473
First Industrial Realty Trust ‡	56,400		312
First Merchants (A)	9,500		55
First Potomac Realty Trust ‡	9,000		123
FirstMerit (A)	22,496		476
Flushing Financial	141,000		1,789
FNB (Pennsylvania)	47,042		358
FPIC Insurance Group * (A)	11,600		428
Franklin Street Properties ‡ (A)	14,800		192
GAMCO Investors, Cl A (A)	2,400		104
General Shopping Brasil (Brazil) *	204,100		1,102


Description	Shares	Market Value ($ Thousands)
Getty Realty ‡	3,100	$	68
GFI Group	98,500		543
Gladstone Capital	19,782		193
Gluskin Sheff + Associates	37,100		741
Great American Group *	234,582		704
Greenhill	19,354		1,383
Grubb & Ellis * (A)	735,960		1,111
Hancock Holding (A)	34,983		1,410
Harleysville Group	8,100		272
Hatteras Financial ‡ (A)	45,400		1,179
HCP ‡ (A)	85,200		2,452
Health Care REIT ‡	12,900		546
Healthcare Realty Trust ‡ (A)	13,300		278
Hercules Technology Growth Capital	102,265		1,006
Hersha Hospitality Trust ‡	72,700		302
Highwoods Properties ‡ (A)	48,700		1,415
Home Bancshares	48,500		1,178
Home Federal Bancorp	37,800		504
Home Properties ‡ (A)	7,300		334
Horace Mann Educators	139,378		1,873
Horizon Financial * (A)	400		—
Hospitality Properties Trust ‡	19,100		420
Host Hotels & Resorts ‡ * (A)	140,712		1,648
HRPT Properties Trust ‡	172,600		1,212
Hudson Valley Holding	46,710		1,133
Iberiabank (A)	6,656		380
Infinity Property & Casualty (A)	46,449		1,893
Inland Real Estate ‡	49,300		414
International Bancshares (A)	105,800		2,243
Investors Real Estate Trust ‡ (A)	149,400		1,336
iStar Financial ‡	43,500		168
Jones Lang LaSalle	31,820		2,027
Kansas City Life Insurance	3,249		95
Kennedy-Wilson Holdings *	42,710		411
Kilroy Realty ‡ (A)	9,300		263
Knight Capital Group, Cl A *	34,700		560
LaBranche *	1,400		7
LaSalle Hotel Properties ‡ (A)	13,900		270
Lexington Realty Trust ‡ (A)	14,172		84
Liberty Property Trust ‡	22,350		691
Life Partners Holdings (A)	9,600		198
LTC Properties ‡	60,393		1,575
Macerich ‡ (A)	44,038		1,570
Mack-Cali Realty ‡	28,650		961
MainSource Financial Group (A)	22,500		144
MarketAxess Holdings	219,121		3,278
Max Capital Group (A)	103,800		2,506
MB Financial	76,600		1,559
Meadowbrook Insurance Group	334,968		2,372
Medical Properties Trust ‡ (A)	111,500		1,147
MF Global Holdings * (A)	189,951		1,315
MFA Mortgage Investments ‡	393,643		2,850
MGIC Investment *	432,416		3,312
Mid-America Apartment Communities ‡ (A)	19,834		1,030
Montpelier Re Holdings	89,113		1,581
MSCI, Cl A *	38,292		1,148
National Health Investors ‡	5,900		205
National Penn Bancshares (A)	129,595		893
National Retail Properties ‡ (A)	18,100		384
Nationwide Health Properties ‡	7,613		253
Nelnet, Cl A	177,275		2,787


Description	Shares	Market Value ($ Thousands)
NorthStar Realty Finance ‡	1,044	$	4
Northwest Bancshares	66,500		785
NYSE Euronext	13,000		343
OceanFirst Financial	13,950		143
Old National Bancorp	64,300		730
Omega Healthcare Investors ‡ (A)	18,100		343
Oriental Financial Group	113,000		1,248
Pacific Capital Bancorp	157,165		193
PacWest Bancorp (A)	37,514		762
Parkway Properties ‡ (A)	32,800		545
Pebblebrook Hotel Trust ‡ *	25,700		521
Pennsylvania Real Estate Investment Trust ‡	29,900		301
PHH * (A)	58,733		1,087
Phoenix * (A)	202,000		479
Pico Holdings *	36,458		1,241
Piedmont Office Realty Trust, Cl A ‡ (A)	13,850		232
Piper Jaffray * (A)	4,500		195
Platinum Underwriters Holdings (A)	125,996		4,711
PMA Capital, Cl A *	108,819		618
Post Properties ‡ (A)	37,800		727
Potlatch ‡ (A)	8,600		284
Presidential Life	13,709		134
ProAssurance * (A)	22,341		1,191
Prosperity Bancshares	43,300		1,811
Provident Financial Services (A)	43,800		480
PS Business Parks ‡	3,900		191
Public Storage ‡	26,174		2,151
Radian Group	43,700		429
RAIT Financial Trust ‡ (A)	219,600		373
Raymond James Financial (A)	12,700		328
Redwood Trust ‡	57,800		824
Reinsurance Group of America, Cl A	16,412		780
Renasant	47,800		729
Republic Bancorp, Cl A (A)	42,800		722
Riskmetrics Group *	134,690		2,509
S&T Bancorp	17,300		307
Safeguard Scientifics *	28,600		336
Safety Insurance Group	41,700		1,549
Sandy Spring Bancorp (A)	8,500		120
Saul Centers ‡	15,800		564
SCBT Financial	31,400		1,142
SeaBright Insurance Holdings	52,900		556
Selective Insurance Group	40,800		661
Senior Housing Properties Trust ‡	100,250		2,084
Signature Bank NY * (A)	28,897		1,076
Simmons First National, Cl A	17,300		459
Simon Property Group ‡	36,247		2,838
SL Green Realty ‡	7,550		386
South Financial Group (A)	26,000		15
Sovran Self Storage ‡ (A)	20,903		663
Starwood Property Trust ‡	55,700		1,042
Sterling Bancshares	60,200		284
Stewart Information Services (A)	55,100		775
Student Loan	14,700		531
Sun Communities ‡ (A)	3,600		69
Sunstone Hotel Investors ‡	54,800		490
Susquehanna Bancshares (A)	85,735		716
SVB Financial Group * (A)	40,495		1,804
SWS Group	70,069		844


Description	Shares	Market Value ($ Thousands)

Synovus Financial (A)	384,125	$	1,095
Tanger Factory Outlet Centers ‡ (A)	8,900		371
Taubman Centers ‡ (A)	23,500		910
TCF Financial (A)	21,100		305
TD Ameritrade Holding *	40,131		702
Texas Capital Bancshares *	51,200		863
Thomas Weisel Partners Group *	101,300		408
Titanium Asset Management *	10,500		26
Titanium Asset Management * (H) (J)	122,200		364
Tower Group	33,488		762
TradeStation Group *	43,400		299
Trustco Bank	162,967		986
Trustmark (A)	27,500		627
Union First Market Bankshares	24,250		303
United Bankshares (A)	43,600		1,073
United Community Banks *	47,039		195
United Financial Bancorp	30,700		402
Universal Health Realty Income Trust ‡	3,000		102
Uranium Participation *	192,500		1,122
Urstadt Biddle Properties, Cl A ‡	4,600		73
U-Store-It Trust ‡	17,500		114
Validus Holdings	67,747		1,896
Value Creation * (H) (J)	119,600		13
Ventas ‡ (A)	7,600		336
ViewPoint Financial Group	42,600		622
Vornado Realty Trust ‡ (A)	17,737		1,166
Walter Investment Management ‡	4,500		65
Washington Real Estate Investment Trust ‡ (A)	33,200		925
Webster Financial (A)	16,000		256
WesBanco (A)	24,100		365
Westamerica Bancorporation	15,000		823
Whitney Holding (A)	44,231		568
Willis Group Holdings	18,662		556
Wilshire Bancorp	13,100		123
Wintrust Financial (A)	8,400		286
World Acceptance * (A)	52,375		2,189
WSFS Financial	31,000		951
Zenith National Insurance	41,500		1,581
Zions Bancorporation (A)	40,708		755

			224,302


Health Care — 11.7%
Abaxis * (A)	88,049		2,236
Acadia Pharmaceuticals * (A)	249,100		326
Achillion Pharmaceuticals *	171,072		398
Acorda Therapeutics * (A)	66,695		2,013
Affymetrix * (A)	83,600		611
Air Methods *	18,600		495
Albany Molecular Research *	50,519		454
Alexion Pharmaceuticals *	51,387		2,545
Align Technology * (A)	53,863		975
Alkermes * (A)	64,734		742
Allscripts-Misys Healthcare Solutions *	37,400		669
Alnylam Pharmaceuticals * (A)	26,170		456
AMAG Pharmaceuticals * (A)	106,026		4,049
Amedisys *	41,226		2,377
American Medical Systems
Holdings * (A)	22,700		411
AMERIGROUP *	23,801		625
AMN Healthcare Services * (A)	183,300		1,690


Description	Shares	Market Value ($ Thousands)
Amsurg, Cl A *	119,803	$	2,475
Analogic	7,556		312
Angiodynamics *	21,314		347
Arena Pharmaceuticals * (A)	321,302		977
Assisted Living Concepts, Cl A *	39,400		1,090
athenahealth *	29,420		1,084
BioMarin Pharmaceutical *	123,894		2,478
Cambrex *	73,000		275
Cardiome Pharma *	317,749		1,646
Catalyst Health Solutions *	70,400		2,653
Cepheid * (A)	41,727		630
Chemed (A)	37,095		1,987
Conceptus * (A)	111,124		2,181
Conmed *	141,170		3,089
Cooper (A)	17,854		715
Covance *	11,400		646
Cross Country Healthcare *	103,700		1,019
CryoLife *	12,100		85
Cubist Pharmaceuticals *	14,300		301
Cyberonics *	15,700		280
Cypress Bioscience * (A)	88,077		462
Durect *	445,774		1,065
Emergency Medical Services, Cl A *	21,700		1,130
Ensign Group	7,200		120
Enzo Biochem *	23,656		124
eResearch Technology *	51,503		312
Exactech *	52,314		1,014
Exelixis * (A)	12,100		78
Genoptix *	48,185		1,569
Gen-Probe *	30,396		1,370
Gentiva Health Services *	19,600		543
Haemonetics * (A)	8,100		433
Hanger Orthopedic Group *	9,500		177
Healthsouth * (A)	114,200		1,976
Healthspring *	21,700		399
HealthTronics *	298,265		901
Healthways *	8,000		120
Hill-Rom Holdings (A)	36,000		945
HMS Holdings *	21,300		981
Human Genome Sciences * (A)	66,598		1,875
ICU Medical *	89,510		3,077
Idexx Laboratories *	11,300		597
Illumina *	11,300		410
Immucor *	27,700		536
Incyte * (A)	232,330		2,477
Inspire Pharmaceuticals *	118,300		731
Integra LifeSciences Holdings * (A)	14,129		562
InterMune *	29,143		400
Invacare (A)	21,200		578
inVentiv Health * (A)	1,300		19
Inverness Medical Innovations *	4,300		168
IPC The Hospitalist *	26,220		867
Kendle International * (A)	64,017		1,090
Kensey Nash *	23,941		528
Kindred Healthcare *	124,950		2,177
Kinetic Concepts * (A)	21,300		893
King Pharmaceuticals * (A)	109,900		1,236
LCA-Vision *	10,700		85
LHC Group * (A)	113,565		3,418
Lincare Holdings * (A)	16,300		655
Luminex * (A)	47,260		692


Description	Shares	Market Value ($ Thousands)
Magellan Health Services *	21,800	$	914
Martek Biosciences * (A)	43,976		872
Masimo *	58,750		1,627
MedAssets *	49,220		1,065
Medical Staffing Network Holdings *	88,000		18
Medicines *	196,500		1,513
Medicis Pharmaceutical, Cl A (A)	66,700		1,501
Medivation * (A)	17,412		627
Mednax *	52,778		2,824
Meridian Bioscience	38,800		860
Merit Medical Systems *	15,838		233
Molina Healthcare * (A)	25,300		541
MWI Veterinary Supply *	40,813		1,681
Myriad Genetics *	56,280		1,294
National Dentex *	12,400		103
Neogen * (A)	37,800		916
Nighthawk Radiology Holdings *	54,381		162
NovaMed *	107,100		406
NPS Pharmaceuticals *	18,400		61
NuVasive * (A)	127,649		5,100
Odyssey HealthCare * (A)	61,400		1,076
Omnicare	11,300		306
Omnicell *	130,749		1,769
Onyx Pharmaceuticals * (A)	28,357		787
Orthofix International *	7,600		259
Par Pharmaceutical *	144,795		3,624
Parexel International *	33,100		667
Patterson * (A)	15,459		459
PDL BioPharma (A)	675,794		4,730
PerkinElmer	900		20
Perrigo	8,200		407
Pharmaceutical Product Development	22,993		484
PharMerica * (A)	13,400		230
Phase Forward *	140,475		1,676
Pozen *	190,513		1,145
Providence Service *	20,559		249
PSS World Medical * (A)	45,566		961
Psychiatric Solutions *	44,800		961
Quality Systems (A)	30,916		1,770
Questcor Pharmaceuticals *	153,300		717
Quidel * (A)	136,323		1,780
RehabCare Group *	7,954		221
Res-Care *	108,000		985
Rigel Pharmaceuticals * (A)	195,600		1,477
Savient Pharmaceuticals * (A)	5,400		73
Seattle Genetics *	54,506		556
Sirona Dental Systems *	5,300		190
Skilled Healthcare Group, Cl A *	50,800		329
Somanetics *	9,736		164
SonoSite * (A)	18,700		554
STERIS	75,600		2,390
Sun Healthcare Group *	60,000		533
Symmetry Medical *	8,000		69
Techne	31,125		1,990
Teleflex	18,166		1,107
Theravance *	41,655		454
Thoratec * (A)	54,501		1,572
United Therapeutics * (A)	13,952		801
Universal American Financial * (A)	65,700		947
Universal Health Services, Cl B	27,200		844


Description	Shares	Market Value ($ Thousands)
Varian *	1,700	$	88
Viropharma *	83,131		1,036
Volcano *	30,770		634
WellCare Health Plans * (A)	60,634		1,619
Wright Medical Group * (A)	26,873		453
Zoll Medical *	12,400		321

			147,934


Industrials — 15.5% AAR *	20,200		458
ACCO Brands *	119,700		858
Acuity Brands (A)	78,538		3,061
Administaff (A)	28,500		514
Advisory Board * (A)	36,087		1,146
Aegean Marine Petroleum Network	118,104		3,385
AerCap Holdings *	300,768		2,860
Aerovironment *	41,408		1,004
Airtran Holdings *	819,486		3,950
Alamo Group	21,600		385
Alaska Air Group *	23,200		812
Alliant Techsystems *	16,005		1,272
Ameron International (A)	15,800		1,088
Ampco-Pittsburgh	23,100		595
AMR *	36,000		331
AO Smith	23,800		1,078
APAC Customer Services * (A)	102,000		528
Apogee Enterprises	104,400		1,492
Applied Industrial Technologies (A)	83,500		1,882
Arkansas Best (A)	49,600		1,301
Armstrong World Industries *	21,900		806
Astec Industries * (A)	53,100		1,290
ATC Technology * (A)	56,032		1,256
Atlas Air Worldwide Holdings * (A)	69,829		3,148
Avis Budget Group * (A)	68,900		725
AZZ	7,000		220
Barnes Group	125,690		2,019
BE Aerospace *	59,650		1,545
Beacon Roofing Supply *	49,600		863
Belden	35,665		755
Brady, Cl A	23,954		671
Briggs & Stratton	48,015		841
Brink’s	12,600		321
CAE	11,100		306
Carlisle	28,000		960
Celadon Group *	142,873		1,746
Cenveo *	102,111		762
Ceradyne * (A)	27,100		611
Chart Industries *	59,200		1,205
Chicago Bridge & Iron *	27,595		598
CIRCOR International (A)	3,200		99
Clean Harbors *	9,174		521
Columbus McKinnon *	81,666		1,175
Comfort Systems USA (A)	158,900		1,862
Continental Airlines, Cl B *	49,900		1,031
Copa Holdings, Cl A	17,672		961
Copart *	78,267		2,793
Cornell *	124,300		2,317
Corporate Executive Board	74,549		1,706
CoStar Group * (A)	83,513		3,286
Courier	15,336		236
CRA International *	87,324		2,323


Description	Shares	Market Value ($ Thousands)
Crane	21,500	$	681
Cubic	56,800		1,959
Deluxe	79,400		1,425
Diamond Management & Technology Consultants, Cl A	38,400		278
Dycom Industries *	78,592		710
DynCorp International, Cl A *	140,000		1,568
EMCOR Group *	203,818		4,692
Encore Wire (A)	36,100		726
EnerNOC * (A)	62,535		1,653
EnerSys * (A)	81,900		1,867
Ennis	28,321		435
EnPro Industries * (A)	36,400		1,008
Esterline Technologies *	25,500		1,049
Fastenal	13,100		581
Force Protection *	201,800		1,082
Forward Air	51,300		1,255
FTI Consulting *	36,416		1,338
G&K Services, Cl A	46,715		1,166
Gardner Denver	71,668		3,125
Genco Shipping & Trading * (A)	11,200		235
GenCorp *	18,900		82
Generac Holdings *	84,500		1,135
General Cable *	16,705		408
Genesee & Wyoming, Cl A *	7,000		223
Geo Group *	50,000		989
GeoEye * (A)	101,571		2,419
Gibraltar Industries * (A)	23,200		271
Graham	60,372		974
Granite Construction (A)	75,000		2,072
Great Lakes Dredge & Dock	211,900		960
Griffon *	42,500		526
GT Solar International * (A)	24,500		146
H&E Equipment Services * (A)	92,700		901
Hawaiian Holdings *	53,700		418
Healthcare Services Group	67,674		1,486
Heico, Cl A	16,287		604
Hexcel *	64,200		707
Hill International *	5,500		29
HNI (A)	31,900		758
Horizon Lines, Cl A	248,063		1,002
Hubbell, Cl B	11,100		520
Hudson Highland Group *	73,000		318
ICF International *	23,674		555
IDEX	50,707		1,572
IHS, Cl A *	34,135		1,768
II-VI *	24,067		675
Innerworkings * (A)	507,086		2,875
Insteel Industries (A)	8,700		88
Interface, Cl A	54,027		465
John Bean Technologies	19,400		317
Kadant *	27,116		368
Kaman	13,767		330
Kansas City Southern * (A)	16,569		568
Kaydon (A)	63,539		2,065
KBR	24,800		514
Kelly Services, Cl A * (A)	42,376		667
Kirby * (A)	59,900		1,977
Knight Transportation (A)	48,376		955
Knoll	49,500		595
Korn/Ferry International * (A)	26,800		458
Ladish *	3,300		55
Landstar System	52,785		2,106


Description	Shares	Market Value ($ Thousands)
LB Foster, Cl A *	13,200	$	401
LECG *	256,433		731
Lincoln Electric Holdings (A)	3,000		143
LS Starrett, Cl A	1,700		19
Lydall *	15,960		128
Marten Transport * (A)	16,800		317
McDermott International *	21,100		482
Mcgrath Rentcorp	11,279		270
Michael Baker *	41,200		1,394
Mine Safety Appliances	32,928		836
Mueller Industries	98,900		2,213
MYR Group * (A)	67,186		1,062
NACCO Industries, Cl A	12,100		566
Navistar International *	26,000		1,018
Northwest Pipe *	600		14
Old Dominion Freight Line *	82,855		2,547
Orbital Sciences * (A)	37,000		683
Owens Corning *	13,001		306
Pacer International * (A)	49,100		236
Powell Industries *	12,200		351
Quanex Building Products	83,675		1,304
Rand Logistics *	40,900		178
Raven Industries (A)	20,700		607
Republic Airways Holdings *	34,800		212
Resources Connection *	76,992		1,312
Ritchie Bros Auctioneers	57,600		1,208
RSC Holdings * (A)	169,500		1,195
Rush Enterprises, Cl A *	123,808		1,353
Ryder System	45,400		1,602
Sauer-Danfoss	18,200		219
School Specialty * (A)	84,723		1,809
Skywest	54,264		801
Spherion *	44,400		349
Spirit Aerosystems Holdings, Cl A *	61,500		1,176
Standard Parking *	127,364		2,091
Standard Register	32,494		179
Standex International	18,500		461
Steelcase, Cl A (A)	41,300		271
SYKES Enterprises * (A)	38,200		910
TAL International Group (A)	76,100		1,388
Teledyne Technologies *	52,100		1,963
Terex * (A)	138,209		2,691
Tetra Tech *	93,623		1,959
Textainer Group Holdings (A)	80,000		1,652
Titan International	120,711		996
Titan Machinery *	101,958		1,214
Towers Watson, Cl A (A)	62,162		2,746
TransDigm Group	56,805		2,853
Tredegar (A)	37,805		633
Trex * (A)	6,700		134
Triumph Group (A)	14,688		769
TrueBlue *	85,700		1,137
Tutor Perini *	43,606		862
UAL *	109,300		1,874
United Rentals * (A)	62,500		472
Universal Forest Products (A)	21,100		744
US Airways Group *	163,800		1,201
US Ecology	15,681		234
Vitran, Cl A *	72,360		702
Wabtec	59,500		2,269
Watts Water Technologies, Cl A (A)	30,236		882


Description	Shares	Market Value ($ Thousands)
Werner Enterprises	24,500	$	547
WESCO International * (A)	133,858		3,867
Woodward Governor (A)	55,800		1,606
YRC Worldwide *	65,300		30

			196,091


Information Technology — 18.6%
3Com *	135,900		1,037
ACI Worldwide *	5,000		91
Actel *	94,300		1,208
Acxiom * (A)	39,700		669
ADC Telecommunications * (A)	35,400		224
Advanced Energy Industries *	320,767		4,658
Advent Software * (A)	42,239		1,703
Akamai Technologies * (A)	38,600		1,015
Amkor Technology *	106,000		638
Ancestry.com *	103,239		1,645
Anixter International * (A)	36,717		1,533
Ansys *	15,896		697
AOL *	53,940		1,337
Applied Micro Circuits *	173,600		1,552
Archipelago Learning *	50,011		909
Ariba *	82,700		993
Arris Group *	178,800		1,845
Arrow Electronics *	45,200		1,275
Art Technology Group *	508,556		2,019
AsiaInfo Holdings *	32,300		789
Atheros Communications * (A)	109,977		3,947
Atmel *	407,330		1,837
ATMI *	110,554		1,862
Benchmark Electronics *	174,000		3,445
Black Box	17,200		498
Blackbaud	8,100		189
Blackboard *	58,438		2,284
Blue Coat Systems *	11,300		328
Brightpoint *	126,800		904
Brocade Communications Systems *	201,400		1,172
CACI International, Cl A *	41,588		2,061
CDC Software ADR *	182,800		1,817
Checkpoint Systems *	36,486		752
Ciber *	418,934		1,563
Cirrus Logic *	65,666		469
Cognex	39,092		739
Cogo Group *	45,800		322
Coherent * (A)	48,599		1,545
CommScope *	58,005		1,479
CommVault Systems *	49,225		1,078
Compuware *	133,600		1,001
Comtech Telecommunications * (A)	42,687		1,350
Comverse Technology * (A)	140,600		1,209
Concur Technologies * (A)	5,146		202
Convergys *	83,600		1,032
CSG Systems International *	97,693		1,966
CTS	106,057		844
Cypress Semiconductor *	20,900		247
Daktronics	25,500		193
DealerTrack Holdings * (A)	176,989		2,517
Diebold (A)	23,475		680
Digi International *	153,300		1,556
Digital River *	93,484		2,458
Dolby Laboratories, Cl A *	5,700		304


Description	Shares	Market Value ($ Thousands)
Double-Take Software *	85,500	$	758
DragonWave *	68,084		834
DSP Group *	99,641		730
DTS *	99,498		3,184
Earthlink (A)	366,100		3,053
EF Johnson Technologies *	77,700		80
Electro Rent	12,171		142
Electronic Arts *	6,667		110
Electronics for Imaging *	23,457		278
Emulex *	150,737		1,914
Entegris *	41,300		185
Epicor Software *	3,600		31
EPIQ Systems * (A)	52,056		605
Euronet Worldwide * (A)	85,350		1,547
Fair Isaac (A)	75,600		1,736
FLIR Systems *	36,250		972
Forrester Research * (A)	14,300		428
Gartner *	121,170		2,883
GSI Commerce * (A)	74,411		1,858
Hackett Group *	85,800		236
Heartland Payment Systems	111,052		1,698
Hittite Microwave *	12,100		505
IAC *	44,400		994
Imation * (A)	371,866		3,421
Insight Enterprises *	76,700		981
Integral Systems *	97,800		837
InterDigital *	7,000		180
Intermec *	111,251		1,584
Intersil, Cl A	42,600		632
IXYS *	22,800		194
Jabil Circuit	16,600		252
Jack Henry & Associates	50,600		1,143
JDA Software Group *	73,206		2,072
KIT Digital * (A)	113,600		1,102
Knot * (A)	280,518		2,146
Lam Research *	21,900		743
Lawson Software * (A)	377,676		2,274
LeCroy *	71,700		280
Lexmark International, Cl A *	49,600		1,672
Linear Technology	23,900		649
Littelfuse * (A)	20,870		743
LivePerson *	18,300		127
LTX-Credence *	194,200		604
Manhattan Associates * (A)	111,100		2,807
Mantech International, Cl A *	62,532		3,088
MAXIMUS	59,400		3,420
Methode Electronics (A)	176,392		2,194
Micrel	34,000		335
Microsemi * (A)	119,362		1,851
MicroStrategy, Cl A *	30,055		2,666
MKS Instruments *	42,235		762
ModusLink Global Solutions *	24,817		246
MoneyGram International *	117,000		324
Monotype Imaging Holdings *	102,710		977
Monster Worldwide * (A)	87,600		1,222
Move *	140,803		221
MTS Systems	17,599		479
Multi-Fineline Electronix *	20,550		448
NCR *	32,600		411
Net 1 UEPS Technologies *	88,411		1,560
Netgear * (A)	108,100		2,740
Netlogic Microsystems *	43,657		2,366
NetSuite *	116,761		1,443


Description	Shares	Market Value ($ Thousands)
Novatel Wireless * (A)	198,800	$	1,324
Novell *	261,220		1,225
Nuance Communications * (A)	57,708		830
Omnivision Technologies *	123,100		1,789
Openwave Systems *	67,800		176
Orbotech *	109,800		988
OSI Systems *	45,700		1,409
Palm *	40,400		247
Parametric Technology *	45,382		790
Park Electrochemical	60,900		1,655
Parkervision * (A)	278,985		488
Plantronics (A)	34,900		992
Power Integrations	64,252		2,311
Progress Software *	43,400		1,216
Quantum *	689,224		1,709
Quest Software *	86,523		1,458
Radisys * (A)	71,700		590
RADWARE *	29,500		502
RealNetworks *	62,100		286
Richardson Electronics	25,765		203
RightNow Technologies *	23,541		366
Rogers *	11,036		303
Rosetta Stone * (A)	101,335		2,229
Rubicon Technology * (A)	37,604		590
Rudolph Technologies * (A)	96,300		767
Sapient	285,374		2,574
SAVVIS *	80,942		1,140
Scansource *	31,200		811
Seachange International *	183,800		1,301
Semtech *	34,300		544
Sigma Designs * (A)	32,600		381
Silicon Image *	94,000		228
Skyworks Solutions * (A)	19,600		299
Smith Micro Software *	91,615		803
Solera Holdings	63,948		2,184
Sourcefire *	26,908		629
SRA International, Cl A *	86,227		1,643
Stamps.com *	14,025		127
Standard Microsystems *	50,771		991
STEC * (A)	66,400		683
SuccessFactors *	62,325		1,129
Sybase *	28,770		1,277
Synaptics * (A)	40,113		1,071
Synchronoss Technologies *	87,236		1,519
SYNNEX * (A)	35,700		1,023
Synopsys *	21,004		460
Syntel	31,100		1,054
Take-Two Interactive Software *	32,600		314
Taleo, Cl A *	137,725		3,242
Tech Data *	42,900		1,838
Technitrol	53,500		235
Techwell *	52,600		660
Tekelec *	28,714		474
TeleTech Holdings *	93,115		1,629
Teradyne *	321,926		3,216
Tessera Technologies * (A)	20,000		359
THQ *	51,811		314
TIBCO Software * (A)	141,000		1,293
TiVo * (A)	17,200		163
Trimble Navigation * (A)	107,400		2,886
TriQuint Semiconductor *	116,800		840
TTM Technologies * (A)	143,800		1,228
Ultra Clean Holdings *	73,200		649


Description	Shares	Market Value ($ Thousands)
Ultratech *	77,800	$	1,004
Unisys *	34,880		1,218
United Online (A)	250,400		1,567
Valueclick *	108,600		1,031
VanceInfo Technologies ADR *	90,799		1,797
Varian Semiconductor Equipment Associates * (A)	20,100		605
Vasco Data Security International *	15,300		121
Veeco Instruments * (A)	57,686		1,967
VeriFone Holdings *	700		13
Verigy *	151,047		1,504
Vishay Intertechnology *	31,700		325
VistaPrint *	80,015		4,618
Vocus *	107,028		1,523
Volterra Semiconductor *	13,800		301
Web.com Group *	51,800		246
Websense * (A)	70,900		1,521
Wright Express * (A)	33,500		949
Xyratex *	41,611		550
Zebra Technologies, Cl A *	30,143		861
Zoran *	208,166		2,361

			235,380


Materials — 4.3%
A. Schulman	55,782		1,314
AEP Industries *	9,800		342
AK Steel Holding	15,075		325
Allied Nevada Gold * (A)	106,300		1,463
AM Castle	30,669		353
Aptargroup	43,790		1,687
Arch Chemicals	25,818		797
Brush Engineered Materials * (A)	6,200		127
Buckeye Technologies *	52,300		578
Cabot (A)	14,429		419
Carpenter Technology (A)	62,600		1,870
Century Aluminum *	26,700		325
Coeur d’Alene Mines * (A)	17,600		258
Commercial Metals (A)	81,315		1,334
Crown Holdings *	55,105		1,506
Cytec Industries	19,873		848
Domtar *	8,900		465
Eagle Materials (A)	15,000		354
Ferro	26,506		217
Gammon Gold *	130,700		1,274
General Steel Holdings *	72,757		298
Glatfelter	41,800		564
Globe Specialty Metals *	75,010		770
Graham Packaging *	22,000		230
H.B. Fuller	107,858		2,264
Haynes International	29,000		842
Headwaters *	67,675		338
Hecla Mining * (A)	43,500		226
Innophos Holdings	33,800		785
Intrepid Potash *	34,671		954
Jaguar Mining * (A)	121,700		1,146
Kaiser Aluminum (A)	29,700		992
Koppers Holdings	69,122		1,922
Landec *	13,462		82
LSB Industries *	6,000		85
Minerals Technologies	6,400		313
Myers Industries	68,193		632
Nalco Holding	70,725		1,645


Description	Shares	Market Value ($ Thousands)
Neenah Paper	17,559	$	249
New Gold *	287,900		1,264
NewMarket (A)	35,375		3,150
Olin (A)	119,927		2,100
Olympic Steel	16,500		456
OM Group * (A)	71,006		2,444
PolyOne *	104,900		834
Quaker Chemical	28,200		559
Rock-Tenn, Cl A	21,100		883
Rockwood Holdings *	15,600		374
RTI International Metals *	48,300		1,161
Schweitzer-Mauduit International	25,889		1,188
Sensient Technologies (A)	70,300		1,857
Silgan Holdings	11,038		630
Solutia *	5,000		70
Spartech	29,490		300
Stepan (A)	10,700		509
Universal Stainless & Alloy *	59,000		1,101
US Gold * (A)	70,900		191
Wausau Paper	14,400		122
Westlake Chemical	2,400		49
Worthington Industries (A)	68,400		1,083
WR Grace *	117,771		3,411

			53,929


Telecommunication Services — 1.1%
Alaska Communications Systems Group	30,864		224
Atlantic Telegraph-Network (A)	12,100		531
Cbeyond * (A)	61,231		759
Cincinnati Bell * (A)	259,600		768
Cogent Communications Group * (A)	12,000		118
Consolidated Communications Holdings	25,186		424
Global Crossing * (A)	27,900		398
Leap Wireless International * (A)	74,500		1,063
Neutral Tandem * (A)	138,466		2,232
Premiere Global Services *	59,300		446
SBA Communications, Cl A *	136,401		4,823
Syniverse Holdings * (A)	400		7
tw telecom , Cl A *	93,425		1,485
USA Mobility (A)	83,700		943

			14,221


Utilities — 3.2%
AGL Resources	23,975		871
Allete (A)	65,140		2,049
Avista (A)	37,000		753
Black Hills	300		9
Central Vermont Public Service	17,800		350
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	62,400		871
Cleco	62,700		1,582
El Paso Electric *	217,600		4,378
Empire District Electric (A)	88,092		1,578
Great Plains Energy (A)	106,967		1,905
IDACORP	52,456		1,732
ITC Holdings	29,878		1,595
Laclede Group	4,000		131
Mirant *	32,000		402
New Jersey Resources (A)	2,400		87


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Nicor (A)		30,500	$	1,270
Northwest Natural Gas (A)		12,600		554
NorthWestern		220,381		5,521
Portland General Electric		285,875		5,143
RRI Energy *		51,000		217
South Jersey Industries		12,954		517
UGI		46,700		1,170
UIL Holdings		28,300		778
Unisource Energy		94,058		2,741
Vectren		77,300		1,797
Westar Energy		80,626		1,725
WGL Holdings (A)		8,300		273

				39,999

Total Common Stock (Cost $1,053,761) ($ Thousands)				1,203,087


EXCHANGE TRADED FUNDS — 0.3%
iShares Russell 2000 Index Fund (A)		3,408		214
Powershares QQQ		35,807		1,603
SPDR S&P MidCap 400 ETF Trust (A)		11,921		1,597

Total Exchange Traded Funds (Cost $3,364) ($ Thousands)				3,414


PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Callaway Golf (B)		11,100		1,410


Financials — 0.1%
Grubb & Ellis *		6,600		688

Total Preferred Stock (Cost $1,755) ($ Thousands)				2,098


CONVERTIBLE BONDS — 0.2%

Consumer Discretionary — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/14 (C) (H) (J)	$	3,147		252


Energy — 0.2%
Nova Biosource Fuels
10.000%, 09/30/12 * (B) (C) (H) (J)		3,332		8
Rentech
4.000%, 04/15/13		1,795		1,169
Scorpio Mining (H) (J) (I)
7.000%, 05/05/11		887		764

				1,941

Total Convertible Bonds (Cost $3,585) ($ Thousands)				2,193


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
	Number of Warrants

WARRANTS — 0.0%
Oilsands Quest Expires 05/12/11 *		247,050	$	37
Rentech
Expires 04/25/12 * (H) (I) (J)		16,100		2
Titanium Asset Management
Expires 06/21/11 * (H) (J)		122,200		—
Washington Mutual (D)		17,435		2

Total Warrants (Cost $52) ($ Thousands)				41


	Number of Rights

RIGHT — 0.0%
Ligand Pharma
Expires 01/05/12 * (H)		64,529		—

Total Right (Cost $0) ($ Thousands)				—


U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill
0.102%, 06/03/10 (E) (F)	$	3,329		3,328

Total U.S. Treasury Obligation (Cost $3,328) ($ Thousands)				3,328


CASH EQUIVALENT — 4.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.070% ** †		54,446,429		54,446

Total Cash Equivalent (Cost $54,446) ($ Thousands)				54,446


AFFILIATED PARTNERSHIP — 19.2%
SEI Liquidity Fund, L.P.,
0.240% (G) ** †		248,191,089		241,941

Total Affiliated Partnership (Cost $248,191) ($ Thousands)				241,941

Total Investments — 119.7% (Cost $1,368,482)($ Thousands)††			$	1,510,548

Percentages are based on a Net Assets of $1,261,785 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI	543	Mar-2010	$	498

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $1,368,482 ($Thousands), and the unrealized appreciation and depreciation were $205,673 ($Thousands) and $(63,607) ($Thousands) respectively.

(A)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010, was $240,123 ($ Thousands).

(B)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(C)

Security in default on interest payments. Security is non-income producing.

(D)

This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date.

(E)

Zero coupon security. Rate shown is the effective yield at time of purchase.

(F)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(G)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of February 28, 2010, was $241,941 ($ Thousands).

(H)

Securities considered illiquid. The total value of such securities as of February 28, 2010, was $1,403 ($ Thousands) and represents 0.11% of net assets.

(I)

Securities considered restricted. The total value of such securities as of February 28, 2010, was $766 ($ Thousands) and represents 0.06% of net assets.

(J)

Securities fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of February 28, 2010, was $1,403 ($ Thousands) and represents 0.11% of net assets.

ADR — American Depositary Receipt

Cl — Class

LLC — Limited Liability Company

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

SPDR — Standard & Poor’s Depositary Receipts

Amounts designated as “—” are $0 or have been rounded to $0.

See end of Form N-Q Filing for ASC 820 disclosure.

Restricted Securities — At February 28, 2010, the Fund owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there form. In addition, the Fund has generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, along with their cost and values at February 28, 2010, were as follows:


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 97.6%

Consumer Discretionary — 14.9%
Aaron’s	43,268	$	1,284
Abercrombie & Fitch, Cl A	38,815		1,414
Advance Auto Parts (A)	83,040		3,388
American Eagle Outfitters	405,903		6,848
American Greetings, Cl A (A)	33,400		637
AnnTaylor Stores *	27,800		478
Apollo Group, Cl A *	45,800		2,742
Arctic Cat *	68,000		732
ArvinMeritor *	162,273		1,892
Autoliv (A)	36,100		1,610
Barnes & Noble	23,071		463
Bebe Stores	45,936		387
Belo, Cl A	163,911		1,103
Big 5 Sporting Goods (A)	40,282		615
Big Lots * (A)	76,000		2,546
Blyth	9,087		262
Bob Evans Farms (A)	61,900		1,765
Books-A-Million, Cl A	10,529		66
BorgWarner	52,338		1,961
Brinker International (A)	92,600		1,677
Brown Shoe	114,396		1,582
Buckle	11,900		348
Cabela’s * (A)	74,000		1,144
Cablevision Systems, Cl A	26,300		633
California Pizza Kitchen *	52,486		816
Callaway Golf (A)	282,019		2,236
Capella Education * (A)	56,735		4,713
Career Education *	26,174		728
Carter’s * (A)	177,000		5,073
Cato, Cl A	203,974		3,998
CEC Entertainment * (A)	65,554		2,298
Central European Media Enterprises, Cl A *	6,100		165
Century Casinos *	334,249		836
Charming Shoppes *	46,641		278
Cheesecake Factory * (A)	107,482		2,542
Chipotle Mexican Grill, Cl A *	2,900		304
Christopher & Banks	78,897		548
Citi Trends *	42,920		1,276
CKE Restaurants	18,006		205
Collective Brands *	37,012		836
Cooper Tire & Rubber	191,933		3,367
Corinthian Colleges *	18,600		302
Cracker Barrel Old Country Store (A)	83,908		3,665
Dana Holdings *	40,202		457
Darden Restaurants	39,665		1,608
Dick’s Sporting Goods * (A)	309,457		7,529
Dillard’s, Cl A (A)	113,600		1,916
DineEquity *	8,166		240
Domino’s Pizza *	44,698		558
DR Horton (A)	148,190		1,832
DreamWorks Animation SKG, Cl A *	131,700		5,724
DSW, Cl A * (A)	64,800		1,745
Eastman Kodak	402,119		2,389
Entercom Communications, Cl A *	110,824		1,127
Ethan Allen Interiors	68,412		1,092
Expedia	98,300		2,186
Family Dollar Stores (A)	66,600		2,197
Focus Media Holding ADR * (A)	212,980		3,286
Foot Locker (A)	281,861		3,656


Description	Shares	Market Value ($ Thousands)
Fossil *	25,731	$	933
Furniture Brands International *	38,525		211
GameStop, Cl A *	175,975		3,027
Gannett (A)	272,699		4,131
Garmin (A)	–		—
Genesco *	94,210		2,254
Gentex (A)	148,997		2,892
Goodyear Tire & Rubber *	22,500		292
Grand Canyon Education * (A)	119,331		2,595
H&R Block	175,921		3,040
Hanesbrands *	193,850		5,026
Harley-Davidson	80,448		1,980
hhgregg *	53,206		1,110
Hibbett Sports * (A)	101,502		2,336
Hillenbrand	11,900		239
HOT Topic *	343,500		2,222
HSN *	65,570		1,420
Hyatt Hotels, Cl A *	55,750		1,864
Iconix Brand Group *	32,000		417
Interactive Data	73,274		2,221
Interpublic Group *	342,724		2,571
J Crew Group *	70,740		2,977
Jakks Pacific *	68,713		849
Jarden	164,670		5,279
Jo-Ann Stores *	35,792		1,355
Jones Apparel Group	199,323		3,361
Journal Communications, Cl A	36,924		138
Landry’s Restaurants * (A)	11,100		226
Las Vegas Sands *	55,700		926
La-Z-Boy, Cl Z *	88,912		1,121
Leggett & Platt	89,900		1,704
Liberty Global *	12,498		331
Liberty Media - Interactive, Cl A *	24,327		306
Life Time Fitness * (A)	205,449		5,210
Limited Brands	21,243		470
Lin TV, Cl A *	11,300		58
Lincoln Educational Services *	88,600		1,976
Live Nation *	415,020		5,391
Liz Claiborne *	201,962		1,395
LKQ *	85,200		1,632
Maidenform Brands *	13,628		235
MarineMax *	48,158		509
Mattel	84,145		1,850
MDC Holdings	11,645		398
Men’s Wearhouse	21,242		454
Meritage Homes *	95,895		2,051
MGM Mirage * (A)	147,137		1,551
Morningstar * (A)	58,295		2,571
National CineMedia	354,415		5,703
National Presto Industries	595		75
Navitas	294,171		1,272
NetFlix *	31,700		2,094
Nordstrom	64,035		2,366
NutriSystem (A)	89,470		1,731
NVR *	3,652		2,587
O’Charleys *	27,625		223
Office Depot *	68,547		495
OfficeMax * (A)	104,445		1,668
Oxford Industries	29,153		567
Penn National Gaming *	199,042		4,606
Penske Auto Group *	62,900		915
Perry Ellis International *	21,878		428
PetSmart (A)	361,252		9,833
PF Chang’s China Bistro * (A)	42,015		1,783
Phillips-Van Heusen	67,862		2,953


Description	Shares	Market Value ($ Thousands)
Pinnacle Entertainment *	19,200	$	139
Polaris Industries	64,325		2,942
Pool (A)	84,500		1,688
Pre-Paid Legal Services * (A)	9,200		383
priceline.com *	4,657		1,056
Pulte Homes *	269,675		2,920
RadioShack	116,200		2,273
RC2 *	171,051		2,414
Red Robin Gourmet Burgers * (A)	44,000		872
Regal Entertainment Group, Cl A	101,897		1,522
Regis (A)	167,540		2,769
Rent-A-Center, Cl A *	101,068		2,248
Retail Ventures *	106,044		948
Ross Stores	21,874		1,070
Rossi Residencial	224,380		1,736
Ruby Tuesday * (A)	79,800		645
Rue21 *	76,015		2,185
Ryland Group (A)	109,282		2,480
Saks *	452,515		3,159
Scholastic (A)	82,173		2,416
Scientific Games, Cl A *	433,649		7,324
Sherwin-Williams	4,926		312
Shutterfly *	82,700		1,587
Signet Jewelers *	6,802		196
Sinclair Broadcast Group, Cl A *	93,100		467
Sonic Automotive, Cl A *	51,263		528
Spectrum Group International *	3,929		7
Stage Stores	95,604		1,272
Standard Pacific *	53,493		226
Starwood Hotels & Resorts Worldwide (A)	91,802		3,553
Stein Mart *	21,173		173
Strayer Education (A)	19,111		4,335
Systemax	13,442		219
Talbots	181,560		1,968
Tempur-Pedic International * (A)	76,169		2,163
Tenneco * (A)	150,437		3,033
Texas Roadhouse, Cl A *	32,300		434
Tractor Supply (A)	20,808		1,139
TRW Automotive Holdings *	52,266		1,404
Tupperware Brands	45,830		2,142
Warnaco Group *	75,150		3,137
Weight Watchers International	86,200		2,217
Westport Innovations *	137,554		1,908
Whirlpool (A)	17,200		1,447
Williams-Sonoma	106,200		2,279
WMS Industries *	134,186		5,090
Wyndham Worldwide	142,380		3,273
Zumiez * (A)	59,435		852

			320,259


Consumer Staples — 3.0%
Alliance One International *	98,800		507
American Italian Pasta, Cl A *	19,134		742
Avon Products	38,469		1,171
BJ’s Wholesale Club *	74,309		2,688
Brown-Forman, Cl B	37,784		1,978
Cal-Maine Foods (A)	31,900		1,023
Casey’s General Stores	66,330		2,017
Central European Distribution * (A)	47,510		1,585
Central Garden and Pet, Cl A *	66,227		633
Central Garden and Pet *	73,524		774
Chiquita Brands International * (A)	118,410		1,724


Description	Shares	Market Value ($ Thousands)
Constellation Brands, Cl A *	102,772	$	1,546
Corn Products International	49,704		1,619
Cosan Industria e Comercio (Brazil) *	120,100		1,552
Cullen Agricultural Holding * (I)	38,000		257
Dean Foods *	305,725		4,461
Del Monte Foods	218,569		2,562
Diamond Foods	19,850		692
Dole Food *	90,081		1,057
Elizabeth Arden *	4,930		89
Estee Lauder, Cl A	19,761		1,188
Flowers Foods	18,800		479
Great Atlantic & Pacific Tea *	39,100		284
Green Mountain Coffee Roasters * (A)	38,300		3,232
Hansen Natural *	16,300		678
Herbalife	79,160		3,171
Hormel Foods	20,700		851
JM Smucker	17,861		1,066
Kulim Malaysia	633,200		1,322
Lance (A)	64,700		1,403
McCormick	52,180		1,936
Mead Johnson Nutrition, Cl A	27,600		1,306
Molson Coors Brewing, Cl B	53,916		2,177
Nash Finch	10,552		372
NBTY *	34,700		1,575
Nu Skin Enterprises, Cl A	10,480		280
Pantry *	115,051		1,507
Prestige Brands Holdings *	63,725		512
Rite Aid *	457,179		695
Sanderson Farms	71,875		3,519
Sara Lee	217,300		2,947
Saskatchewan Wheat Pool, Cl Common Subscription Recei *	150,300		1,382
Smithfield Foods *	18,300		315
Supervalu (A)	80,500		1,229
TreeHouse Foods *	20,988		903
Weis Markets	9,129		319
Whole Foods Market *	17,749		630

			63,955


Energy — 5.4%
Alpha Natural Resources *	12,425		572
Arena Resources * (A)	61,616		2,553
Berry Petroleum, Cl A	115,184		3,087
BPZ Energy PIPE *	52,200		408
BPZ Resources * (A)	316,666		2,476
Brigham Exploration *	38,900		639
Cal Dive International *	196,600		1,386
Cameron International *	26,983		1,110
Carrizo Oil & Gas * (A)	51,824		1,240
Clayton Williams Energy *	49,500		1,846
Complete Production Services *	10,825		151
Concho Resources * (A)	82,518		3,833
Contango Oil & Gas *	3,080		159
Continental Resources *	56,500		2,231
CVR Energy *	198,700		1,633
Denbury Resources *	49,200		693
Dresser-Rand Group *	197,805		6,114
Encore Acquisition *	8,400		416
Ensco International ADR	15,315		676
Exterran Holdings *	120,750		2,747
Frontier Oil	121,696		1,508
Goodrich Petroleum *	93,956		1,810


Description	Shares	Market Value ($ Thousands)
Gulfmark Offshore, Cl A *	10,042	$	247
Gulfport Energy *	118,272		1,076
Helix Energy Solutions Group *	75,975		875
Hercules Offshore *	45,000		165
Hornbeck Offshore Services * (A)	48,454		915
Key Energy Services *	489,271		4,961
Kinder Morgan Escrow * (G)	24,428		—
Kinder Morgan Management LLC *	56,231		3,225
Massey Energy (A)	33,900		1,460
Murphy Oil	54,790		2,844
Nabors Industries *	92,629		2,042
Newfield Exploration *	35,270		1,801
Nordic American Tanker Shipping	43,100		1,253
Northern Oil And Gas * (A)	134,000		1,656
Oceaneering International *	15,125		914
Oil States International *	4,763		205
Oilsands Quest * (A)	2,242,000		1,524
Oilsands Quest Private Placement *	304,800		207
Overseas Shipholding Group (A)	99,710		4,436
Patterson-UTI Energy	31,400		485
PetroHawk Energy *	77,464		1,658
Pioneer Natural Resources	39,301		1,833
Pride International *	5,577		156
Range Resources	83,032		4,202
Rentech * (A)	422,200		452
Rosetta Resources *	75,100		1,407
Rowan *	9,000		234
SEACOR Holdings *	17,300		1,321
Ship Finance International	13,100		208
Southwestern Energy *	39,913		1,698
Spectra Energy	91,231		1,989
St. Mary Land & Exploration	58,310		1,900
Stone Energy *	30,440		519
Sunoco (A)	108,974		2,874
Swift Energy * (A)	148,881		4,435
T-3 Energy Services, Cl 3 * (A)	48,582		1,153
Teekay	48,412		1,217
Tesoro (A)	139,121		1,658
Tidewater	62,024		2,765
Unit *	21,324		927
USEC * (A)	61,099		266
Venoco *	75,346		865
W&T Offshore (A)	168,400		1,484
Western Refining * (A)	88,000		382
Whiting Petroleum * (A)	54,517		4,081
Willbros Group * (A)	180,374		2,724
Williams	20,925		451
World Fuel Services	207,932		5,493

			115,931


Financials — 17.7%
1st Source	800		12
Advance America Cash Advance Centers	104,300		654
Affiliated Managers Group * (A)	63,134		4,491
Alexander’s ‡ *	1,686		492
Alexandria Real Estate Equities ‡	8,787		541
Allied Capital	26,700		111
Allied World Assurance Holdings	52,210		2,407
AMB Property ‡ (A)	152,950		3,723


Description	Shares	Market Value ($ Thousands)
American Capital Agency ‡	18,267	$	463
American Financial Group	199,220		5,154
AmeriCredit *	17,807		396
Ameriprise Financial	85,057		3,405
AMERISAFE *	10,640		183
Annaly Capital Management ‡	125,300		2,303
Anworth Mortgage Asset ‡	300,100		2,029
Apartment Investment & Management, Cl A ‡ (A)	185,308		3,093
Apollo Investments *	29,477		344
Arch Capital Group *	42,166		3,119
Artio Global Investors, Cl A	60,700		1,480
Aspen Insurance Holdings (A)	77,300		2,184
Associated Banc (A)	176,862		2,283
Assured Guaranty	97,820		2,064
AvalonBay Communities ‡ (A)	33,563		2,733
Axis Capital Holdings	8,700		274
Banco Latinoamericano de Comercio Exterior, Cl E	80,200		1,133
Bancorpsouth	47,408		923
Bank Mutual	25,400		165
BGC Partners, Cl A	290,847		1,443
BioMed Realty Trust ‡ (A)	65,700		1,015
BlackRock, Cl A	1,859		407
Boston Private Financial Holdings	31,618		217
Boston Properties ‡ (A)	110,033		7,475
Brandywine Realty Trust ‡	10,159		114
Brasil Brokers Participacoes	326,600		1,498
Calamos Asset Management, Cl A	29,256		390
CapitalSource	525,075		2,888
Capstead Mortgage ‡ (A)	180,100		2,240
Cardinal Financial	253,963		2,466
Cardtronics *	194,964		1,926
CB Richard Ellis Group, Cl A *	205,247		2,709
CBL & Associates Properties ‡	100,253		1,192
Cedar Shopping Centers ‡	151,500		998
Chemical Financial	20,942		431
Chimera Investment ‡	250,300		1,001
Chubb	2,900		146
Cincinnati Financial	31,800		855
CNA Financial * (A)	122,900		3,022
CNA Surety *	13,424		216
Colonial Properties Trust ‡ (A)	105,150		1,240
Comerica	118,254		4,267
Commerce Bancshares	1		—
Community Bank System	18,520		415
Corporate Office Properties Trust ‡ (A)	37,000		1,363
Cowen Group, Cl A *	336,200		1,829
CreXus Investment ‡ *	62,200		860
CVB Financial	53,000		493
Delphi Financial Group, Cl A	32,535		694
Developers Diversified Realty ‡ (A)	169,603		1,800
Digital Realty Trust ‡ (A)	37,835		1,952
Dime Community Bancshares	26,532		322
Dollar Financial * (A)	69,500		1,560
Douglas Emmett ‡ (A)	102,350		1,442
Duff & Phelps, Cl A	82,655		1,379
DuPont Fabros Technology ‡	18,849		369
ETrade Financial	345,100		556
Eaton Vance	41,747		1,260
Education Realty Trust ‡	388,077		2,115
eHealth * (A)	93,400		1,560
EMC Insurance Group	14,767		299


Description	Shares	Market Value ($ Thousands)
Employers Holdings	171,856	$	2,265
Endurance Specialty Holdings	105,241		4,048
Equity Lifestyle Properties ‡	8,488		422
Equity One ‡	108,824		2,010
Equity Residential ‡	119,950		4,328
Essex Property Trust ‡ (A)	43,250		3,715
Everest Re Group	26,000		2,221
Extra Space Storage ‡	126,000		1,421
Ezcorp, Cl A *	61,029		1,204
Federal Realty Investment Trust ‡ (A)	58,590		4,040
Federated Investors, Cl B	127,792		3,196
Fifth Third Bancorp	165,808		2,025
First Bancorp	164,448		349
First Busey (A)	125,019		470
First Community Bancshares	15,522		178
First Financial Bancorp	266,211		4,941
First Financial Holdings	30,782		368
First Horizon National *	180,819		2,314
First Mercury Financial	13,473		192
First Midwest Bancorp (A)	48,500		659
First Niagara Financial Group	24,200		340
First Potomac Realty Trust ‡	73,700		1,008
FirstMerit (A)	118,359		2,502
Flushing Financial	220,100		2,793
Forestar Group *	14,470		257
General Shopping Brasil (Brazil) *	130,700		706
General Shopping Brazil (Brazil) *	148,600		803
Genworth Financial, Cl A * (A)	131,608		2,098
Getty Realty ‡	14,499		320
GFI Group	157,800		869
Glimcher Realty Trust ‡	40,657		175
Gluskin Sheff + Associates	43,800		875
Greenlight Capital Re, Cl A *	12,492		316
Grubb & Ellis *	602,060		909
Hancock Holding (A)	95,259		3,841
Hanover Insurance Group (A)	102,808		4,333
Hatteras Financial ‡	24,100		626
HCP ‡ (A)	148,450		4,272
Health Care REIT ‡ (A)	79,067		3,349
Hercules Technology Growth Capital	94,618		931
Highwoods Properties ‡ (A)	64,600		1,877
Horace Mann Educators	135,085		1,816
Hospitality Properties Trust ‡ (A)	79,800		1,753
Host Hotels & Resorts ‡ * (A)	246,889		2,891
HRPT Properties Trust ‡	556,909		3,910
Hudson City Bancorp	134,106		1,813
Hudson Valley Holding	61,460		1,490
Huntington Bancshares (A)	245,800		1,182
Iberiabank	14,006		800
Independent Bank	14,352		353
Infinity Property & Casualty	53,189		2,168
Inland Real Estate ‡	127,151		1,068
International Bancshares (A)	87,391		1,853
Investment Technology Group *	45,513		775
Investors Bancorp *	31,609		407
Investors Real Estate Trust ‡ (A)	161,000		1,439
Jefferies Group	13,200		329
Jones Lang LaSalle	70,961		4,520
Kansas City Life Insurance	8,500		249
KBW * (A)	29,146		692
Keycorp	266,450		1,905
Kilroy Realty ‡	17,400		493
Kimco Realty ‡	21,900		304


Description	Shares	Market Value ($ Thousands)
Knight Capital Group, Cl A *	91,940	$	1,484
Lazard, Cl A	39,000		1,401
Liberty Property Trust ‡	126,456		3,911
LTC Properties ‡	22,000		574
M&T Bank	2,300		178
Macerich ‡ (A)	127,094		4,530
Mack-Cali Realty ‡	87,612		2,939
MarketAxess Holdings	336,150		5,029
MB Financial	50,000		1,017
Meadowbrook Insurance Group	184,100		1,304
Medical Properties Trust ‡ (A)	134,300		1,382
MFA Mortgage Investments ‡	627,287		4,542
MGIC Investment * (A)	213,466		1,635
Mid-America Apartment Communities ‡	28,281		1,469
Montpelier Re Holdings (A)	75,900		1,346
MSCI, Cl A *	72,612		2,177
National Health Investors ‡	15,762		549
National Penn Bancshares (A)	452,906		3,121
National Retail Properties ‡ (A)	69,093		1,466
Nationwide Health Properties ‡	82,426		2,736
Navigators Group *	7,176		272
New York Community Bancorp	64,601		1,001
NewAlliance Bancshares	79,283		950
NorthStar Realty Finance ‡	81,624		349
NYSE Euronext	9,425		248
Old National Bancorp	20,000		227
Old Republic International	17,564		198
Omega Healthcare Investors ‡	22,901		434
Oriental Financial Group	50,000		552
PacWest Bancorp	78,955		1,603
PartnerRe	38,638		3,076
People’s United Financial	186,108		2,935
PHH *	60,990		1,129
Piedmont Office Realty Trust, Cl A ‡ (A)	24,100		404
Piper Jaffray *	7,795		337
Platinum Underwriters Holdings (A)	96,235		3,598
Plum Creek Timber ‡	7,900		282
Post Properties ‡ (A)	105,108		2,022
ProAssurance *	70,242		3,745
Prosperity Bancshares	24,346		1,018
Protective Life	45,279		831
PS Business Parks ‡	18,267		895
Public Storage ‡ (A)	45,654		3,752
Radian Group (A)	214,592		2,107
RAIT Financial Trust ‡ (A)	69,000		117
Raymond James Financial	65,800		1,702
Rayonier ‡	13,179		548
Redwood Trust ‡	103,030		1,468
Regency Centers ‡	11,200		388
Regions Financial (A)	217,200		1,466
Reinsurance Group of America, Cl A	98,971		4,704
Riskmetrics Group * (A)	290,857		5,419
S&T Bancorp	23,500		417
Saul Centers ‡	27,500		981
Selective Insurance Group	41,000		665
Senior Housing Properties Trust ‡	186,015		3,867
Signature Bank NY *	90,564		3,372
Simmons First National, Cl A	6,600		175
Simon Property Group ‡ (A)	63,229		4,950
SL Green Realty ‡ (A)	28,750		1,468
Sovran Self Storage ‡	19,100		606


Description	Shares	Market Value ($ Thousands)
StanCorp Financial Group (A)	48,250	$	2,074
Stifel Financial * (A)	38,091		2,083
Sunstone Hotel Investors ‡ (A)	323,923		2,896
Susquehanna Bancshares (A)	133,850		1,118
SVB Financial Group *	49,540		2,207
SWS Group	41,300		498
Synovus Financial (A)	1,658,874		4,728
Tanger Factory Outlet Centers ‡	5,535		231
Taubman Centers ‡ (A)	41,000		1,588
TCF Financial (A)	61,600		889
TD Ameritrade Holding *	98,724		1,727
Titanium Asset Management *	42,000		105
Titanium Asset Management * (G) (I)	105,000		313
Tower Group	23,200		528
Transatlantic Holdings	26,237		1,304
Trustco Bank	112,300		679
Trustmark (A)	117,878		2,688
Unitrin	73,100		1,766
Unum Group	200,280		4,168
Uranium Participation *	250,100		1,458
U-Store-It Trust ‡	181,460		1,181
Validus Holdings	46,770		1,309
Value Creation * (G) (I)	85,600		9
Ventas ‡ (A)	31,685		1,400
Vornado Realty Trust ‡ (A)	30,841		2,027
Waddell & Reed Financial, Cl A	47,909		1,575
Washington Federal	48,800		951
Westamerica Bancorporation	8,200		450
Western Alliance Bancorp * (A)	354,009		2,039
White Mountains Insurance Group	3,510		1,217
Whitney Holding (A)	276,407		3,552
Willis Group Holdings	74,997		2,233
World Acceptance * (A)	111,977		4,680
WR Berkley (A)	48,300		1,243
Zions Bancorporation (A)	343,240		6,364

			380,705


Health Care — 13.1%
Abaxis *	30,322		770
Acadia Pharmaceuticals *	351,200		460
Achillion Pharmaceuticals *	254,177		592
Acorda Therapeutics *	123,487		3,727
Affymax *	54,900		1,027
Albany Molecular Research *	26,300		236
Alexion Pharmaceuticals *	103,364		5,119
Align Technology * (A)	45,868		830
Alkermes * (A)	132,600		1,520
Allergan	8,500		497
Allscripts-Misys Healthcare Solutions *	8,700		156
Almost Family * (A)	36,800		1,327
AMAG Pharmaceuticals * (A)	68,371		2,611
Amedisys *	10,400		600
American Medical Systems Holdings * (A)	144,562		2,619
AMERIGROUP * (A)	61,415		1,614
AmerisourceBergen	173,134		4,855
AMN Healthcare Services *	33,210		306
Amsurg, Cl A * (A)	152,727		3,155
Amylin Pharmaceuticals * (A)	140,176		2,649
Analogic	5,005		207
Angiodynamics *	35,840		583
Arena Pharmaceuticals * (A)	374,145		1,137
Arqule *	40,020		132
athenahealth *	43,275		1,594


Description	Shares	Market Value ($ Thousands)
Auxilium Pharmaceuticals * (A)	71,940	$	2,173
Beckman Coulter	18,963		1,243
BioMarin Pharmaceutical * (A)	93,695		1,874
Biovail	153,100		2,270
Bruker *	18,900		236
Cadence Pharmaceuticals * (A)	134,166		1,151
Catalyst Health Solutions *	103,535		3,902
Celera *	43,646		262
Cephalon * (A)	16,800		1,154
Cepheid * (A)	75,384		1,138
Charles River Laboratories International *	38,093		1,445
Chemed	21,077		1,129
Community Health Systems *	30,210		1,035
Conceptus * (A)	224,531		4,408
Conmed *	123,927		2,711
Cooper	84,338		3,379
Corvel *	2,262		73
Covance *	32,225		1,825
Coventry Health Care *	205,003		4,752
Cubist Pharmaceuticals * (A)	84,193		1,771
Cyberonics *	81,390		1,453
Dendreon * (A)	134,691		4,206
Dentsply International	72,800		2,409
Dyax *	74,994		263
Electro-Optical Sciences * (A)	87,515		854
Emergency Medical Services, Cl A *	27,420		1,428
Emergent Biosolutions *	17,124		251
Endo Pharmaceuticals Holdings *	99,273		2,258
Ensign Group	9,400		157
Enzo Biochem *	7,277		38
eResearch Technology *	43,993		266
ev3 *	247,200		3,597
Exelixis *	40,863		264
Forest Laboratories *	91,500		2,734
Genomic Health *	13,511		242
Genoptix *	57,875		1,885
Gen-Probe *	45,150		2,035
Health Management Associates, Cl A *	230,389		1,680
Health Net *	207,945		4,801
Healthsouth * (A)	95,830		1,658
Henry Schein *	27,859		1,583
Hill-Rom Holdings (A)	139,251		3,654
Hologic *	80,245		1,384
Hospira *	1,775		93
Human Genome Sciences * (A)	55,752		1,569
Humana *	58,381		2,763
ICON ADR *	67,860		1,598
ICU Medical *	51,982		1,787
Idexx Laboratories *	25,300		1,336
Illumina *	15,800		574
Impax Laboratories *	28,518		438
Incyte * (A)	458,970		4,893
Inspire Pharmaceuticals *	139,300		861
Integra LifeSciences Holdings *	6,028		240
Intuitive Surgical *	2,585		897
inVentiv Health *	24,235		356
Inverness Medical Innovations * (A)	83,883		3,273
Ironwood Pharmaceuticals, Cl A *	31,000		403
Kendle International *	41,857		713
Kensey Nash *	19,872		439
Kindred Healthcare *	42,127		734


Description	Shares	Market Value ($ Thousands)
Kinetic Concepts * (A)	135,163	$	5,666
King Pharmaceuticals *	633,849		7,131
Laboratory Corp of America Holdings *	21,200		1,554
LHC Group * (A)	143,533		4,320
Life Technologies *	5,200		264
LifePoint Hospitals *	66,200		2,019
Lincare Holdings * (A)	61,806		2,482
Magellan Health Services *	39,614		1,661
Martek Biosciences *	16,738		332
Masimo * (A)	31,772		880
MedAssets *	72,400		1,567
Medicines *	257,600		1,984
Medicis Pharmaceutical, Cl A	16,948		381
Mednax *	84,635		4,528
Meridian Bioscience	35,400		784
Millipore *	4,610		435
MWI Veterinary Supply *	78,352		3,228
Mylan Laboratories *	215,129		4,591
Myriad Genetics *	147,400		3,390
Neogen * (A)	55,882		1,354
Nighthawk Radiology Holdings *	44,105		131
NPS Pharmaceuticals *	47,943		160
NuVasive * (A)	146,265		5,843
Odyssey HealthCare *	78,500		1,376
Omnicell *	164,624		2,227
Onyx Pharmaceuticals *	126,450		3,510
OraSure Technologies *	14,189		78
OSI Pharmaceuticals * (A)	136,018		5,035
Osiris Therapeutics *	28,449		234
Owens & Minor (A)	65,250		2,913
Par Pharmaceutical *	74,044		1,853
Parexel International *	146,650		2,955
Patterson *	33,012		980
PDL BioPharma (A)	471,795		3,303
PerkinElmer	195,691		4,346
Perrigo	46,247		2,292
Pharmaceutical Product Development	56,350		1,187
Phase Forward *	205,089		2,447
Quality Systems (A)	60,027		3,436
Questcor Pharmaceuticals *	27,704		130
Quidel * (A)	187,269		2,446
Regeneron Pharmaceuticals * (A)	82,600		2,020
Res-Care *	144,500		1,318
ResMed *	19,725		1,126
Rigel Pharmaceuticals * (A)	384,100		2,900
Salix Pharmaceuticals *	45,420		1,297
Sciclone Pharmaceuticals *	59,477		196
Seattle Genetics *	109,340		1,115
Sirona Dental Systems *	52,121		1,871
SonoSite *	12,259		363
STERIS	109,146		3,450
SXC Health Solutions *	72,390		3,599
Symmetry Medical *	42,344		364
Synta Pharmaceuticals *	42,489		166
Team Health Holdings *	117,530		1,704
Techne	47,610		3,043
Teleflex	42,475		2,588
Tenet Healthcare *	134,800		710
Theravance *	61,260		667
Thoratec * (A)	53,084		1,531
United Therapeutics * (A)	52,254		3,000
Universal Health Services, Cl B	76,654		2,378


Description	Shares	Market Value ($ Thousands)
Valeant Pharmaceuticals International *	11,500	$	428
Vertex Pharmaceuticals *	31,600		1,283
Vical *	56,107		184
Viropharma *	70,200		875
Virtual Radiologic *	7,369		74
Volcano * (A)	126,400		2,603
Waters *	8,025		479
Watson Pharmaceuticals *	52,834		2,102
Wright Medical Group *	95,200		1,604
Zimmer Holdings *	21,472		1,231
Zymogenetics *	42,430		227

			280,250


Industrials — 14.1%
AAR * (A)	31,835		722
Actuant, Cl A (A)	80,962		1,466
Acuity Brands (A)	97,091		3,785
Advisory Board *	51,200		1,626
Aecom Technology *	74,371		2,016
Aegean Marine Petroleum Network	73,466		2,105
Air Transport Services Group *	10,214		26
Aircastle	47,000		457
Alaska Air Group *	47,813		1,673
Alexander & Baldwin	14,037		452
Allegiant Travel, Cl A *	16,121		841
Alliant Techsystems * (A)	44,958		3,572
Ameron International (A)	21,600		1,487
Ametek	51,366		2,005
AO Smith	55,460		2,512
Apogee Enterprises	49,100		702
Applied Industrial Technologies	76,600		1,727
Argon ST *	40,800		1,004
ATC Technology *	48,552		1,088
Atlas Air Worldwide Holdings *	48,300		2,177
Avery Dennison	62,344		1,970
Baldor Electric (A)	51,130		1,606
Barnes Group	184,375		2,961
BE Aerospace * (A)	322,684		8,358
Beacon Roofing Supply * (A)	158,770		2,763
Belden	64,344		1,363
Brady, Cl A	50,426		1,413
Briggs & Stratton	97,215		1,702
Brink’s	26,194		667
Bucyrus International, Cl A	37,100		2,321
C.H. Robinson Worldwide	7,416		396
Carlisle	71,748		2,461
Cenveo *	29,300		219
Chicago Bridge & Iron * (A)	44,487		965
Cintas	117,232		2,906
Clean Harbors *	19,310		1,098
Columbus McKinnon *	21,815		314
Consolidated Graphics * (A)	72,753		3,240
Continental Airlines, Cl B * (A)	378,814		7,826
Con-way	3,711		121
Copa Holdings, Cl A	33,750		1,836
Copart * (A)	128,036		4,568
Corporate Executive Board	64,200		1,469
Corrections of America * (A)	161,300		3,452
CoStar Group * (A)	125,392		4,934
Courier	32,275		497
CRA International *	77,500		2,062
Crane (A)	57,200		1,812
Cubic	30,885		1,065


Description	Shares	Market Value ($ Thousands)
Deluxe (A)	87,800	$	1,576
Dover	50,916		2,304
Dycom Industries *	281,086		2,538
DynCorp International, Cl A *	107,000		1,198
EMCOR Group * (A)	154,883		3,565
EnerSys *	10,460		238
Ennis	17,942		276
EnPro Industries * (A)	43,700		1,210
Equifax	20,414		659
Esterline Technologies *	50,423		2,075
Fastenal	31,527		1,399
Force Protection *	260,100		1,394
Forward Air	75,445		1,845
Franklin Electric	5,663		162
FTI Consulting *	42,489		1,561
G&K Services, Cl A	59,874		1,495
Gardner Denver	250,051		10,905
GATX	10,600		282
General Cable * (A)	62,352		1,523
Geo Group *	28,362		561
GeoEye * (A)	135,214		3,221
Goodrich (A)	22,000		1,444
Graham	95,534		1,542
Great Lakes Dredge & Dock	553,575		2,508
H&E Equipment Services *	118,200		1,149
Hansen Transmissions International *	675,030		974
Heidrick & Struggles International (A)	29,403		793
Hexcel * (A)	177,345		1,954
HNI	38,043		904
Horizon Lines, Cl A	332,849		1,345
HUB Group, Cl A *	13,800		372
Hubbell, Cl B	59,269		2,777
ICF International * (A)	38,492		902
IDEX	33,912		1,051
IHS, Cl A *	115,005		5,957
Interface, Cl A	113,722		978
Interline Brands *	19,471		345
ITT	18,416		943
Jacobs Engineering Group *	9,944		386
JB Hunt Transport Services (A)	200,741		7,122
Joy Global (A)	43,300		2,200
Kadant *	57,066		775
Kaman	13,404		321
Kansas City Southern *	34,285		1,176
Kaydon	50,683		1,647
KBR	17,500		362
Kirby * (A)	40,400		1,333
Knoll	138,210		1,661
Landstar System	77,425		3,089
Lennox International (A)	40,400		1,705
Lincoln Electric Holdings	12,959		618
Localiza Rent a Car	145,300		1,578
Lydall *	10,342		83
Manitowoc (A)	207,353		2,418
Manpower	40,100		2,066
Michael Baker *	38,400		1,300
Mine Safety Appliances	28,000		711
Mueller Industries	39,900		893
Mueller Water Products, Cl A (A)	451,412		2,090
MYR Group * (A)	70,423		1,113
Navistar International *	48,296		1,891
NN *	85,100		302
Old Dominion Freight Line * (A)	97,541		2,998


Description	Shares	Market Value ($ Thousands)
Oshkosh Truck	75,715	$	2,886
Paccar	55,231		1,952
Pitney Bowes	103,864		2,378
Quanta Services *	56,377		1,071
Regal-Beloit (A)	71,321		4,024
Resources Connection *	297,108		5,063
Ritchie Bros Auctioneers	84,400		1,770
Rockwell Collins	30,768		1,732
RR Donnelley & Sons	134,462		2,674
RSC Holdings * (A)	218,200		1,538
Rush Enterprises, Cl A * (A)	282,757		3,090
Ryder System	17,100		603
School Specialty *	44,751		955
Seaboard	420		534
Shaw Group *	32,257		1,119
Skywest	49,700		734
Spherion *	60,981		480
Spirit Aerosystems Holdings, Cl A *	115,228		2,203
Standard Parking *	183,350		3,011
Standard Register	28,668		158
Standex International	1,522		38
Steelcase, Cl A (A)	87,200		573
Stericycle * (A)	22,734		1,254
SYKES Enterprises * (A)	346,046		8,239
TAL International Group (A)	109,300		1,993
Tam ADR (A)	45,740		842
Teledyne Technologies *	43,574		1,641
Terex * (A)	153,274		2,984
Tetra Tech *	140,800		2,946
Textainer Group Holdings (A)	103,400		2,135
Thomas & Betts * (A)	67,150		2,424
Timken	96,282		2,526
Toro	3,724		164
Towers Watson, Cl A	51,271		2,265
TransDigm Group	83,225		4,180
Trex * (A)	115,739		2,314
Triumph Group (A)	57,833		3,027
Tutor Perini *	15,100		299
Twin Disc	11,134		122
UAL *	132,079		2,265
United Rentals *	57,877		437
United Stationers * (A)	30,557		1,745
URS *	38,003		1,767
US Airways Group * (A)	242,030		1,774
UTi Worldwide	81,000		1,209
Wabtec	87,180		3,325
Waste Connections *	8,695		292
Watsco	10,000		578
Watts Water Technologies, Cl A	34,801		1,015
Werner Enterprises (A)	46,200		1,031
WESCO International *	227,812		6,581
WW Grainger	3,276		333

			303,864


Information Technology — 18.4%
3Com *	151,600		1,157
ADC Telecommunications * (A)	157,079		996
Advanced Analogic Technologies *	546,831		1,794
Advent Software *	26,202		1,056
Agilysys	11,764		128
Akamai Technologies * (A)	85,701		2,254
Alliance Data Systems *	69,800		3,870
Amkor Technology *	75,300		453


Description	Shares	Market Value ($ Thousands)
Analog Devices	72,020	$	2,106
Ancestry.com * (A)	163,258		2,601
Ansys *	40,400		1,772
AOL *	79,045		1,959
Applied Micro Circuits *	290,500		2,597
Ariba *	105,181		1,263
Arris Group *	180,499		1,863
Arrow Electronics *	42,750		1,206
Art Technology Group *	713,704		2,833
Aruba Networks *	5,427		64
AsiaInfo Holdings *	44,100		1,077
Atheros Communications * (A)	148,579		5,332
Atmel *	846,617		3,818
ATMI * (A)	139,319		2,346
Aviat Networks *	87,310		537
Avnet *	81,005		2,237
Baidu ADR * (A)	2,240		1,162
Benchmark Electronics * (A)	168,350		3,333
Black Box	24,000		694
Blackboard *	78,010		3,049
Bottomline Technologies *	26,004		413
Brightpoint *	301,029		2,146
Broadridge Financial Solutions	25,287		532
Brocade Communications Systems *	601,874		3,503
CACI International, Cl A *	26,707		1,324
Celestica *	141,590		1,450
Ceragon Networks *	118,269		1,379
Checkpoint Systems *	30,234		623
Ciber *	136,500		509
Cognex	21,800		412
Cogo Group *	43,200		304
Coherent *	63,351		2,014
CommScope *	129,080		3,290
Computer Sciences *	52,217		2,704
Comtech Telecommunications * (A)	102,446		3,239
Comverse Technology *	185,900		1,599
Concur Technologies * (A)	53,755		2,115
Convergys *	118,100		1,457
Cree *	9,664		656
CSG Systems International *	45,494		915
CTS	127,190		1,012
Cybersource *	94,300		1,615
Cymer *	7,515		235
Cypress Semiconductor * (A)	205,500		2,433
Daktronics	22,500		170
DealerTrack Holdings * (A)	267,146		3,799
Diebold (A)	179,648		5,203
Digital River *	60,377		1,587
Diodes *	88,779		1,741
Dolby Laboratories, Cl A * (A)	74,294		3,958
DSP Group *	137,400		1,007
DST Systems *	14,600		561
DTS *	118,685		3,798
Earthlink	61,800		515
EchoStar, Cl A *	16,166		326
EF Johnson Technologies *	91,200		94
Electronics for Imaging *	27,753		329
Emulex *	239,796		3,045
Entegris *	332,145		1,488
Equinix * (A)	80,806		7,634
Euronet Worldwide *	231,938		4,203
Factset Research Systems (A)	21,130		1,399


Description	Shares	Market Value ($ Thousands)
Fairchild Semiconductor International, Cl A *	241,784	$	2,495
Fidelity National Information Services	2,668		60
FLIR Systems *	37,280		1,000
Gartner *	409,152		9,734
Gerber Scientific *	112,900		710
Global Payments	27,599		1,182
GSI Commerce * (A)	397,754		9,932
Harris	57,315		2,592
Heartland Payment Systems	128,506		1,965
Hewitt Associates, Cl A *	23,802		904
Hutchinson Technology *	18,411		121
IAC *	53,437		1,197
Imation * (A)	271,500		2,498
Informatica * (A)	126,950		3,240
Infospace *	122,127		1,231
Ingram Micro, Cl A *	179,889		3,184
Insight Enterprises *	126,265		1,615
Integral Systems *	139,100		1,191
Integrated Device Technology *	335,816		1,837
Intermec *	14,853		211
Internet Brands, Cl A * (A)	202,676		1,670
Intersil, Cl A	37,900		562
Jabil Circuit	287,423		4,360
Jack Henry & Associates	20,119		454
JDA Software Group *	121,554		3,440
KIT Digital *	146,400		1,420
Knot * (A)	372,987		2,853
Lam Research *	39,919		1,354
Lawson Software *	635,056		3,823
Lexmark International, Cl A *	82,634		2,786
Linear Technology	31,100		845
Littelfuse *	43,928		1,563
LSI *	84,100		453
Mantech International, Cl A *	33,824		1,670
MAXIMUS	22,100		1,273
Methode Electronics	181,251		2,255
Micrel	21,600		213
Micron Technology *	22,700		206
Microsemi * (A)	418,606		6,493
Microtune *	28,250		67
MKS Instruments *	164,867		2,973
Molex	132,341		2,706
Monolithic Power Systems *	25,686		522
Monotype Imaging Holdings *	157,599		1,499
Motorola *	100,500		679
Move *	222,716		350
MTS Systems	10,255		279
National Semiconductor	15,900		230
NCR *	66,725		842
Net 1 UEPS Technologies *	111,643		1,970
Netezza * (A)	73,400		671
Netgear *	104,494		2,649
Netscout Systems *	38,798		566
NeuStar, Cl A *	99,547		2,308
Novatel Wireless * (A)	256,600		1,709
Novell *	152,030		713
Nuance Communications * (A)	91,279		1,313
ON Semiconductor *	240,860		1,917
OSI Systems *	59,000		1,820
Parametric Technology * (A)	228,187		3,973
Park Electrochemical	50,800		1,381
Parkervision * (A)	343,100		600
Pericom Semiconductor *	171,793		1,613


Description	Shares	Market Value ($ Thousands)
Plantronics	3,670	$	104
Plexus * (A)	98,382		3,393
PMC - Sierra *	446,600		3,707
Polycom *	35,200		919
Power Integrations	102,119		3,672
Progress Software *	53,364		1,495
QLogic * (A)	140,540		2,558
Quantum *	640,300		1,588
Quest Software *	28,762		485
QuinStreet * (A)	184,617		2,695
Rackspace Hosting * (A)	94,200		1,868
RealNetworks *	27,900		128
Red Hat *	69,800		1,958
RF Micro Devices * (A)	268,350		1,130
Richardson Electronics	57,494		452
Riverbed Technology * (A)	147,105		4,009
Rosetta Stone * (A)	37,100		816
Rovi * (A)	38,500		1,290
Rubicon Technology * (A)	59,947		941
SAIC *	122,967		2,422
Sanmina-SCI *	320,439		5,300
Sapient (A)	506,350		4,567
SAVVIS *	119,073		1,678
Scansource *	17,700		460
Seachange International * (A)	210,500		1,490
Seagate Technology	158,720		3,160
Sigma Designs *	29,663		347
Silicon Laboratories *	16,597		754
SkillSoft ADR *	272,306		3,020
Skyworks Solutions * (A)	243,312		3,715
Sohu.com *	8,214		421
Solera Holdings	164,249		5,611
Stamps.com *	8,756		80
Stratasys * (A)	41,651		1,098
Sybase *	100,731		4,471
Symyx Technologies *	43,413		189
Synaptics *	13,800		368
Synchronoss Technologies *	125,796		2,190
SYNNEX *	23,343		669
Synopsys *	194,993		4,270
Take-Two Interactive Software *	53,900		519
Taleo, Cl A *	177,098		4,169
Tech Data *	68,384		2,930
Technitrol	116,576		513
TeleTech Holdings *	144,415		2,526
Teradata *	65,618		2,001
Teradyne *	26,411		264
TIBCO Software *	46,892		430
TiVo * (A)	405,600		3,845
Trimble Navigation * (A)	232,743		6,254
TriQuint Semiconductor *	328,959		2,365
TTM Technologies * (A)	160,100		1,367
Unisys *	65,084		2,272
United Online	301,460		1,887
Valueclick *	81,400		773
Varian Semiconductor Equipment Associates *	23,625		711
Veeco Instruments * (A)	83,284		2,840
VeriFone Holdings *	46,223		892
Vishay Intertechnology *	255,585		2,620
VistaPrint *	220,945		12,753
Vocus * (A)	331,474		4,717
WebMD Health, Cl A * (A)	26,113		1,125
Websense *	12,725		273
Western Digital *	56,100		2,167


Description	Shares	Market Value ($ Thousands)
Wright Express *	50,192	$	1,421
Xyratex *	87,597		1,157
Zebra Technologies, Cl A *	63,451		1,813
Zoran *	187,264		2,124

			394,451


Materials — 5.3%
A. Schulman	40,799		961
Airgas	33,060		2,120
AK Steel Holding (A)	116,909		2,517
Albemarle	51,276		1,922
Allegheny Technologies	93,858		4,098
Allied Nevada Gold * (A)	127,100		1,749
AM Castle	44,957		518
Aptargroup (A)	74,473		2,870
Ashland	90,234		4,248
Bemis	8,331		244
Buckeye Technologies *	71,300		788
Cabot	54,137		1,573
Carpenter Technology (A)	94,586		2,825
Celanese, Cl A	123,496		3,852
Century Aluminum *	45,142		550
CF Industries Holdings (A)	14,230		1,512
Cliffs Natural Resources	34,502		1,946
Commercial Metals (A)	84,377		1,384
Crown Holdings *	97,855		2,673
Cytec Industries	87,241		3,723
Domtar *	25,300		1,322
Eastman Chemical	33,100		1,971
FMC	5,609		321
Gammon Gold *	168,800		1,646
General Steel Holdings *	91,227		373
H.B. Fuller	50,700		1,064
Hawkins	10,492		209
Headwaters *	94,721		473
Innophos Holdings	122,189		2,837
Innospec	17,342		185
International Paper	20,146		467
Intrepid Potash * (A)	66,364		1,826
Jaguar Mining * (A)	157,000		1,479
Kaiser Aluminum	16,300		544
KapStone Paper and Packaging *	34,748		318
Koppers Holdings	31,211		868
LSB Industries *	11,902		169
Lubrizol	37,900		2,994
Minerals Technologies	22,174		1,083
Nalco Holding	219,414		5,104
Neenah Paper	76,218		1,080
New Gold * (A)	371,300		1,630
NewMarket (A)	26,936		2,399
Nucor	44,577		1,845
Olin	40,278		705
OM Group *	31,796		1,094
Owens-Illinois *	107,498		3,186
Packaging of America	73,850		1,758
Pactiv *	63,337		1,568
PolyOne *	379,560		3,018
Reliance Steel & Aluminum	51,902		2,301
Rockwood Holdings *	148,002		3,551
RPM International	19,054		367
RTI International Metals *	46,101		1,108
Schnitzer Steel Industries, Cl A (A)	46,149		2,107
Schweitzer-Mauduit International	13,660		627
Sensient Technologies	24,400		645
Silgan Holdings (A)	92,661		5,292


Description	Shares	Market Value ($ Thousands)
Solutia *	114,255	$	1,608
Sonoco Products	45,100		1,334
Spartech	38,433		392
Steel Dynamics	112,460		1,836
Stepan	8,581		408
Stillwater Mining *	33,100		376
Temple-Inland (A)	91,089		1,696
Titanium Metals *	33,300		393
Universal Stainless & Alloy *	71,400		1,333
Walter Industries	7,826		615
Westlake Chemical	11,130		225
Worthington Industries	44,300		702
WR Grace *	70,043		2,028

			114,553


Telecommunication Services — 2.0%
AboveNet * (A)	20,531		1,255
Alaska Communications Systems Group	104,525		759
Cbeyond * (A)	98,537		1,222
CenturyTel (A)	73,351		2,514
Cincinnati Bell * (A)	880,443		2,606
Consolidated Communications Holdings	28,993		488
Leap Wireless International * (A)	90,200		1,287
MetroPCS Communications *	260,700		1,609
Neutral Tandem * (A)	116,500		1,878
NII Holdings *	206,895		7,742
PAETEC Holding *	78,323		310
Qwest Communications International	76,400		348
SBA Communications, Cl A * (A)	436,483		15,434
Telephone & Data Systems, Cl L	11,589		329
tw telecom , Cl A *	170,857		2,715
US Cellular *	7,733		283
USA Mobility	75,203		847
Windstream	27,063		274

			41,900


Utilities — 3.7%
AGL Resources	155,540		5,651
Alliant Energy	43,300		1,370
Ameren	117,000		2,891
American Water Works	43,800		975
Atmos Energy	27,142		745
Avista	16,800		342
Black Hills	13,417		374
Centerpoint Energy	66,000		883
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	84,700		1,182
Cleco (A)	57,922		1,462
CMS Energy (A)	156,600		2,391
Consolidated Edison	31,009		1,326
Edison International	50,675		1,654
El Paso Electric *	19,430		391
Empire District Electric	40,548		726
Energen	21,151		962
Great Plains Energy	280,751		5,000
Hawaiian Electric Industries	45,000		917
IDACORP	17,450		576
ITC Holdings	48,247		2,575
Laclede Group	9,825		322
MDU Resources Group	116,443		2,380
Mirant *	50,600		637
New Jersey Resources (A)	50,120		1,825
NiSource	93,500		1,404


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)
Northeast Utilities	100,734	$	2,579
NorthWestern	134,625		3,372
NV Energy	54,876		610
OGE Energy (A)	42,633		1,559
Pepco Holdings	32,000		538
Pinnacle West Capital (A)	88,349		3,217
PNM Resources (A)	128,180		1,566
Portland General Electric	360,195		6,480
RRI Energy *	599,785		2,549
SCANA	87,897		3,169
South Jersey Industries	27,262		1,087
UGI	163,358		4,092
Unisource Energy	60,171		1,753
Vectren	56,984		1,325
Westar Energy	101,909		2,181
Wisconsin Energy	56,562		2,739
Xcel Energy	95,329		1,984

			79,761

Total Common Stock (Cost $1,787,676) ($ Thousands)			2,095,629


PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Callaway Golf (B)	14,000		1,778


Financials — 0.1%
Grubb & Ellis *	14,400		1,501

Total Preferred Stock (Cost $2,830) ($ Thousands)			3,279


CONVERTIBLE BONDS — 0.1%

Consumer Discretionary — 0.0%
Eddie Bauer Holdings 5.250%, 04/01/14 * (C) (G) (I)	$3,146		252


Energy — 0.1%
Nova Biosource Fuels 10.000%, 09/30/12 * (B) (C) (G) (I)	1,679		4
Rentech 4.000%, 04/15/13	1,647		1,073
Scorpio Mining 7.000%, 05/05/11 (G) (H) (I)	509		438

			1,515

Total Convertible Bonds (Cost $3,374) ($ Thousands)			1,767

	Number of Warrants

WARRANTS — 0.0%
Cullen Agricultural Holding, Expires 10/21/13 *	222,701		6
Oilsands Quest, Expires 05/12/11 *	330,350		50
Rentech, Expires 04/25/12 (G) (H) (I) *	13,800		2
Titanium Asset Management, Expires 06/21/11 (G) (I) *	105,000		—

Total Warrants (Cost $197) ($ Thousands)			58


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 17.9%
SEI Liquidity Fund, L.P., 0.240% ** † (E)	391,351,316	$	383,665

Total Affiliated Partnership (Cost $391,351) ($ Thousands)			383,665


CASH EQUIVALENT — 2.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% ** †	63,047,759		63,048

Total Cash Equivalent (Cost $63,048) ($ Thousands)			63,048


U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bills
0.151%, 06/03/10 (D) (F)	$11,613		11,609
0.165%, 06/10/10 (D) (F)	70		70

Total U.S. Treasury Obligations (Cost $11,678) ($ Thousands)			11,679

Total Investments — 119.2% (Cost $2,260,154) ($ Thousands)††		$	2,559,125

Percentages are based on a Net Assets of $2,147,556 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI	142	Mar-2010	$	413
S&P Mid 400 Index E-MINI	92	Mar-2010		322

			$	735

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $2,260,154 ($Thousands), and the unrealized appreciation and depreciation were $390,695 ($Thousands) and $(91,724) ($Thousands) respectively.

(A)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $381,142 ($ Thousands).

(B)

(C)

Security in default on interest payments. Security is non-income producing.

(D)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(E)

Security purchased with cash collateral held from securities on loan. The total value of such securities as of February 28, 2010 was $383,665 ($ Thousands).

(F)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(G)

Securities considered illiquid. The total value of such securities as of February 28, 2010 was $1,018 ($ Thousands) and represented 0.05% of net assets.

(H)

Securities considered restricted. The total value of such securities as of February 28, 2010 was $440 ($ Thousands) and represented 0.02% of net assets.

(I)

Securities fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of February 28, 2010, was $1,275 ($ Thousands) and represents 0.06% of net assets.

ADR — American Depositary Receipt

Cl — Class

LLC — Limited Liability Company

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

S&P — Standard & Poor’s

Amounts designated as “—” are $O or have been rounded to $O.

See end of Form N-Q Filing for ASC 820 disclosure.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 95.8%

Consumer Discretionary — 7.9%
Aaron’s	29,300	$	869
Amazon.com *	26,297		3,114
Autoliv	11,600		517
Buckle	15,000		439
Burger King Holdings	51,000		913
Career Education *	41,800		1,163
Carter’s *	29,900		857
Choice Hotels International	30,000		991
DIRECTV, Cl A *	42,100		1,425
Discovery Communications, Cl A *	40,800		1,271
DreamWorks Animation SKG, Cl A *	25,200		1,095
GameStop, Cl A *	20,800		358
Genuine Parts	23,200		936
Gildan Activewear, Cl A *	15,400		363
H&R Block	27,600		477
ITT Educational Services *	10,500		1,145
Panera Bread, Cl A *	14,000		1,019
Shaw Communications, Cl B	29,500		558
Strayer Education	8,204		1,861
Tractor Supply	19,800		1,084

			20,455


Consumer Staples — 15.2%
Altria Group	153,097		3,080
Brown-Forman, Cl B	55,134		2,887
Campbell Soup	55,513		1,850
Church & Dwight	16,900		1,135
Dean Foods *	64,700		944
General Mills	16,600		1,195
Hansen Natural *	11,600		482
Hershey	58,981		2,345
Hormel Foods	104,380		4,291
Kellogg	25,900		1,351
Kimberly-Clark	20,800		1,264
Lorillard	40,449		2,955
McCormick	27,485		1,020
PepsiCo	16,357		1,022
Philip Morris International	62,377		3,055
Ralcorp Holdings *	15,600		1,042
Reynolds American	58,619		3,095
Ruddick	23,500		688
Sara Lee	50,858		690
Sysco	107,009		3,093
Tyson Foods, Cl A	100,212		1,708

			39,192


Energy — 3.7%
Chevron	27,607		1,996
CNX Gas *	35,100		919
Dresser-Rand Group *	11,900		368
Enbridge	26,400		1,169
Exxon Mobil	21,935		1,426
FMC Technologies *	11,900		668
PetroHawk Energy *	31,300		670
SEACOR Holdings *	5,800		443
Teekay	34,600		870


Description	Shares	Market Value ($ Thousands)
TransCanada	33,400	$	1,102

			9,631


Financials — 14.1%
Alexandria Real Estate Equities ‡	11,900		733
Bancorpsouth	40,700		792
Bank of Hawaii	58,591		2,473
BOK Financial	14,677		675
Capitol Federal Financial	47,636		1,649
Commerce Bancshares	97,076		3,933
Corporate Office Properties Trust ‡	28,600		1,054
Cullen/Frost Bankers	57,660		3,122
Endurance Specialty Holdings	25,500		981
Erie Indemnity, Cl A	24,900		986
Essex Property Trust ‡	11,700		1,005
Federated Investors, Cl B	37,600		940
First Citizens BancShares, Cl A	8,008		1,465
First Niagara Financial Group	37,898		532
Health Care REIT ‡	29,800		1,263
Hudson City Bancorp	75,700		1,023
MFA Mortgage Investments ‡	68,200		494
NASDAQ OMX Group *	30,000		559
National Retail Properties ‡	38,700		821
Nationwide Health Properties ‡	12,900		428
PartnerRe	9,859		785
People’s United Financial	95,024		1,499
Platinum Underwriters Holdings	21,800		815
ProAssurance *	20,700		1,104
Prosperity Bancshares	29,300		1,226
Realty Income ‡	42,900		1,201
RenaissanceRe Holdings	5,700		315
TFS Financial	180,662		2,322
UMB Financial	26,000		996
Washington Real Estate Investment Trust ‡	38,200		1,064
Wesco Financial	449		169

			36,424


Health Care — 22.1%
Abbott Laboratories	75,445		4,095
Allscripts-Misys Healthcare Solutions *	5,648		101
AmerisourceBergen	156,968		4,401
Amgen *	54,348		3,077
Baxter International	39,470		2,247
Becton Dickinson	40,042		3,118
Biogen Idec *	55,744		3,066
C.R. Bard	30,751		2,576
Cardinal Health	60,456		2,054
Celgene *	12,500		744
Edwards Lifesciences *	8,000		735
Eli Lilly	30,072		1,033
Endo Pharmaceuticals Holdings *	52,700		1,199
Forest Laboratories *	88,533		2,645
Genzyme *	32,371		1,852
Gilead Sciences *	64,814		3,086
Haemonetics *	12,600		674
Henry Schein *	16,462		935
Johnson & Johnson	48,878		3,079
Kinetic Concepts *	19,700		826


Description	Shares	Market Value ($ Thousands)
Laboratory Corp of America Holdings *	8,100	$	594
LifePoint Hospitals *	14,500		442
McKesson	73,182		4,329
Medco Health Solutions *	5,687		360
Millipore *	25,495		2,407
Myriad Genetics *	33,300		766
Owens & Minor	24,100		1,076
Patterson *	34,500		1,024
Perrigo	7,600		377
Techne	45,462		2,906
United Therapeutics *	21,600		1,240

			57,064


Industrials — 4.0%
Alliant Techsystems *	13,500		1,073
C.H. Robinson Worldwide	24,000		1,280
Copa Holdings, Cl A	17,872		972
FTI Consulting *	21,800		801
Gardner Denver	11,200		488
IHS, Cl A *	10,700		554
KBR	60,800		1,259
Landstar System	24,800		989
Lennox International	22,600		954
Nordson	6,400		421
Rollins	47,200		1,003
Stericycle *	10,400		574

			10,368


Information Technology — 11.3%
ADTRAN	35,900		839
Analog Devices	95,180		2,783
AVX	38,600		475
Broadcom, Cl A	21,989		689
FLIR Systems *	19,100		512
Google, Cl A *	5,717		3,012
Harris	22,900		1,036
Hewitt Associates, Cl A *	32,900		1,250
IAC *	9,008		201
Ingram Micro, Cl A *	76,912		1,361
Intel	15,948		327
International Business Machines	24,464		3,111
Mantech International, Cl A *	22,300		1,101
Microchip Technology	23,448		635
Micros Systems *	13,600		408
NeuStar, Cl A *	16,300		378
SAIC *	1,135		22
Sybase *	27,500		1,221
Tech Data *	67,553		2,894
Texas Instruments	125,486		3,059
Visa, Cl A	21,658		1,847
Xilinx	46,916		1,212
Zebra Technologies, Cl A *	31,383		897

			29,270


Materials — 3.4%
Aptargroup	27,600		1,063
Compass Minerals International	13,200		997
Greif, Cl A	18,700		958
Intrepid Potash *	43,000		1,183
Newmont Mining	57,997		2,858
Sensient Technologies	23,800		629


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)
Silgan Holdings	16,800	$	960

			8,648


Telecommunication Services — 2.7%
AT&T	59,600		1,479
BCE	29,600		822
MetroPCS Communications *	184,900		1,141
Rogers Communications, Cl B	36,400		1,202
SBA Communications, Cl A *	15,800		559
Telephone & Data Systems	11,300		352
Verizon Communications	50,894		1,472

			7,027


Utilities — 11.4%
AGL Resources	57,898		2,104
Alliant Energy	31,800		1,006
Aqua America	13,497		231
Atmos Energy	82,948		2,278
Consolidated Edison	28,700		1,227
DTE Energy	24,600		1,068
Edison International	34,300		1,119
Energen	11,800		536
Hawaiian Electric Industries	21,600		440
IDACORP	25,500		842
Nicor	66,816		2,783
NSTAR	77,184		2,610
OGE Energy	27,700		1,013
PG&E	20,300		851
Piedmont Natural Gas	37,600		971
PPL	34,926		995
Sempra Energy	24,700		1,214
UGI	62,796		1,573
Vectren	82,749		1,924
Westar Energy	30,200		647
WGL Holdings	26,600		874
Wisconsin Energy	66,796		3,235

			29,541

Total Common Stock (Cost $207,115) ($ Thousands)			247,620


U.S. TREASURY OBLIGATION — 1.2%
U.S. Treasury Bill 0.104%, 06/03/10 (A) (B)	$3,248		3,247

Total U.S. Treasury Obligation (Cost $3,247) ($ Thousands)			3,247


CASH EQUIVALENT — 17.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% ** †	44,890,467		44,890

Total Cash Equivalent (Cost $44,890) ($ Thousands)			44,890

Total Investments — 114.4% (Cost $255,252)($ Thousands) ††		$	295,757

Percentages are based on a Net Assets of $258,497 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI	119	Mar-2010	$	66

Non-income producing security.

Rate shown is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $255,252 ($Thousands), and the unrealized appreciation and depreciation were $43,142 ($Thousands) and $(2,637) ($Thousands) respectively.

(A)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(B)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

— Class

REIT

— Real Estate Investment Trust

S&P

— Standard & Poor’s

See end of Form N-Q Filing for ASC 820 disclosure.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 90.3%

Argentina — 0.1%
Banco Macro ADR	10,000	$	261
BBVA Banco Frances ADR	18,011		109
Grupo Financiero Galicia ADR *	18,792		90
Telecom Argentina ADR *	8,200		132
Tenaris	21,965		457

			1,049


Australia — 5.6%
Amcor	82,999		441
AMP	56,350		300
Asciano Group	134,170		216
Australia & New Zealand Banking Group (A)	91,926		1,905
AXA Asia Pacific Holdings	47,260		273
Beach Energy	5,836		3
Bendigo Bank	24,567		212
BGP Holdings *	39,545		—
BHP Billiton	168,596		6,205
BHP Billiton ADR	19,700		1,445
Billabong International	9,765		89
Boral	30,015		144
Brambles	12,203		76
CFS Retail Property Trust ‡ (A)	109,700		186
Coca-Cola Amatil	100,703		1,012
Cochlear	8,023		456
Commonwealth Bank of Australia	94,640		4,570
Computershare	71,494		746
Crown	5,897		42
CSR	65,304		95
Dexus Property Group ‡	29,724		22
Downer EDI	13,200		93
Fairfax Media (A)	326,197		482
Fortescue Metals Group *	66,035		275
Foster’s Group	165,523		799
Goodman Fielder	58,884		79
Goodman Group ‡	189,374		102
GPT Group ‡	116,043		60
Harvey Norman Holdings	72,952		250
Hillgrove Resources	53,200		17
Incitec Pivot	22,848		66
Insurance Australia Group	47,911		169
Intoll Group (A)	44,098		44
JB Hi-Fi	700		12
Kingsgate Consolidated	3,100		25
Leighton Holdings (A)	13,398		452
Lend Lease Group	33,667		292
MacArthur Coal	13,678		125
Macquarie Group (A)	29,728		1,205
MAp Group	10,592		30
Metcash	47,013		173
Mirvac Group ‡	48,249		66
Mount Gibson Iron *	22,100		30
National Australia Bank (A)	61,449		1,400
OneSteel	82,659		255
Orica	46,936		1,051
Origin Energy	17,254		260
OZ Minerals	286,648		267


Description	Shares	Market Value ($ Thousands)
Pacific Brands	120,199	$	123
Primary Health Care	7,900		31
Qantas Airways	571,498		1,351
QBE Insurance Group	5,799		111
Rio Tinto (A)	20,946		1,322
Santos	114,741		1,332
Sonic Healthcare	28,795		349
SP AusNet, Cl Miscellaneous	18,992		16
Stockland ‡	71,729		261
Suncorp-Metway	82,895		634
TABCORP Holdings	43,984		267
Telstra	82,257		219
Toll Holdings	61,802		376
Transurban Group	74,716		351
Wesfarmers (A)	104,297		2,909
Westfield Group ‡	24,972		269
Westpac Banking	112,287		2,627
Woodside Petroleum	983		38
Woolworths	23,283		560
WorleyParsons	5,728		126

			39,789


Austria — 0.2%
Erste Group Bank	992		37
Immoeast *	90,347		430
OMV	22,099		820
Raiffeisen International Bank Holding	152		7
Strabag (A)	2,354		58
Vienna Insurance Group	693		34
Voestalpine	2,814		100

			1,486


Belgium — 1.8%
Colruyt	6,338		1,588
Delhaize Group (A)	34,176		2,652
Dexia (A)	18,639		101
D’ieteren	170		74
Fortis	249,759		857
Groupe Bruxelles Lambert	4,734		416
InBev (A)	76,868		3,856
KBC Groep	17,012		771
Solvay	4,000		383
Telenet Group Holding	7,330		219
UCB (A)	29,169		1,294
Umicore	8,286		249

			12,460


Brazil — 0.6%
Brasil Telecom ADR *	3,131		64
BRF - Brasil Foods	31,400		767
Cia Energetica de Minas Gerais ADR	41,250		675
Cyrela Brazil Realty	38,400		476
Petroleo Brasileiro ADR, Cl A	30,600		1,175
Porto Seguro	75,100		739

			3,896


Canada — 2.1%
Agrium (A)	12,000		777


Description	Shares	Market Value ($ Thousands)
Barrick Gold	47,200	$	1,774
Bombardier, Cl B	136,100		733
Cameco	47,300		1,293
Canadian National Railway	20,800		1,088
Canfor *	5,500		44
Cenovus Energy	8,547		208
Domtar *	4,400		230
EnCana	6,547		214
Gildan Activewear *	7,319		172
Goldcorp	28,940		1,093
IAMGOLD	15,931		233
Open Text *	19,100		929
Pacific Rubiales Energy *	78,366		1,242
Petrobank Energy & Resources *	4,300		221
Royal Bank of Canada	2,792		150
Silver Wheaton *	53,600		815
Sino-Forest, Cl A *	53,900		1,044
Talisman Energy	79,600		1,448
Teck Cominco, Cl B *	7,505		275
Toronto-Dominion Bank	9,900		630
West Fraser Timber	900		31
Yamana Gold	28,655		301

			14,945


Chile — 0.5%
Banco Santander Chile ADR	13,337		854
Embotelladora Andina ADR, Cl B	1,528		30
Enersis ADR	55,153		1,192
Madeco ADR	3,200		15
Sociedad Quimica y Minera de Chile ADR	39,500		1,444

			3,535


China — 0.9%
Bank of China	3,423,000		1,662
Baoye Group	44,000		26
Industrial & Commercial Bank of China	2,621,000		1,854
Perfect World ADR *	6,300		249
PetroChina ADR	7,600		851
Qingling Motors	298,000		72
Trina Solar ADR *	25,200		555
Xinao Gas Holdings	338,000		812

			6,081


Cyprus — 0.0%
Bank of Cyprus Public	21,444		128


Denmark — 1.1%
A P Moeller - Maersk, Cl B	146		1,119
A P Moeller - Maersk, Cl A	2		15
Carlsberg, Cl B	12,162		941
Coloplast, Cl B	4,132		471
Danske Bank	14,941		341
DSV	7,087		111
FLSmidth	5,540		353


Description	Shares	Market Value ($ Thousands)
H Lundbeck	1,315	$	23
Novo-Nordisk, Cl B	36,780		2,603
Novozymes, Cl B	434		45
PER Aarsleff, Cl B	416		37
Sydbank	1,730		43
TrygVesta	17,726		1,158
William Demant Holding *	2,784		199

			7,459


Finland — 0.7%
Elisa, Cl A	9,325		194
Fortum	3,859		98
Kesko, Cl B	4,409		160
Kone, Cl B	38,928		1,647
Metso	18,083		562
Nokia (A)	7,808		105
Orion, Cl B	5,833		130
Sampo, Cl A	24,047		584
Sanoma	6,419		129
Sponda	4,992		19
Stora Enso, Cl R	117,310		745
UPM-Kymmene	22,908		246

			4,619


France — 6.7%
Accor	14,922		756
Air France-KLM	1,515		20
Alcatel-Lucent	15,140		46
Alstom (A)	38,411		2,464
Arkema	2,929		99
Assystem	1,449		19
Atos Origin	4,713		220
AXA	23,774		480
BioMerieux	868		95
BNP Paribas	53,257		3,861
Bouygues	22,029		1,016
Capital Gemini (A)	9,600		443
Casino Guichard Perrachon (A)	2,693		217
Cegid Group	1,081		30
Christian Dior (A)	11,600		1,139
Cie Generale de Geophysique-Veritas *	1,003		24
Cie Generale d’Optique Essilor International	1,893		115
CNP Assurances	21,501		1,932
Compagnie de St.-Gobain (A)	10,700		504
Compagnie Generale des Etablissements Michelin, Cl B (A)	973		68
Credit Agricole (A)	33,386		498
Dassault Systemes	751		43
Electricite de France	13,315		669
Eurazeo	2,392		152
Eutelsat Communications	46,099		1,534
Fonciere Des Regions ‡	2,876		287
France Telecom (A)	68,206		1,603
Gaz de France (A)	610		23


Description	Shares	Market Value ($ Thousands)
Gecina ‡	3,809	$	396
Havas	86,480		355
Imerys	10,000		517
Ipsen	41,207		2,097
JC Decaux	3,889		97
Klepierre ‡	7,528		281
Lafarge	6,588		428
Lagardere S.C.A.	1,211		44
Legrand	3,165		99
L’Oreal	3,493		362
LVMH Moet Hennessy Louis Vuitton (A)	2,640		287
M6-Metropole Television	11,779		292
Natixis	164,957		816
Neopost	2,429		198
NetGem	7,913		35
Nexity	2,253		83
Pernod-Ricard (A)	2,332		176
Peugeot	21,013		556
PPR (A)	4,411		507
Publicis Groupe	12,570		497
Rallye	763		25
Renault	6,576		271
Rhodia *	11,809		225
Safran (A)	11,617		274
Sanofi-Aventis	86,372		6,332
Schneider Electric	14,055		1,504
SCOR	6,371		156
Societe BIC (A)	1,062		75
Societe Des Autoroutes Paris-Rhin-Rhone	1,370		99
Societe Generale	22,954		1,266
Societe Television Francaise 1	27,982		450
Sodexo	29,602		1,761
Suez Environnement	3,612		80
Technip	22,641		1,616
Thales	25,269		1,012
Total	57,096		3,193
Unibail-Rodamco ‡	2,446		484
Valeo	6,976		214
Vallourec	1,733		332
Video Futur Entertainment Group *	7,913		4
Vinci	12,320		647
Vivendi	38,688		977

			47,477


Germany — 6.3%
Adidas	2,651		131
Aixtron	21,696		639
Allianz	20,942		2,424
BASF	85,357		4,804
Bayer (A)	33,017		2,193
Bayerische Motoren Werke	24,430		993
Beiersdorf	3,583		220
Bilfinger Berger	2,913		184
DaimlerChrysler	24,753		1,036
Deutsche Bank (A)	25,283		1,609
Deutsche Boerse	39,511		2,754
Deutsche Lufthansa	10,341		155
Deutsche Post	150,652		2,456
Deutsche Postbank (A)	4,113		127


Description	Shares	Market Value ($ Thousands)
Deutsche Telekom	133,649	$	1,724
E.ON (A)	74,144		2,646
Fresenius	814		53
Fresenius Medical Care (A)	26,687		1,397
GAGFAH	13,000		119
GEA Group	1,327		25
Hannover Rueckversicherung	19,939		895
HeidelbergCement (A)	37,455		1,913
Henkel	11,873		525
Hochtief	16,372		1,155
Infineon Technologies *	159,090		870
Init Innovation In Traffic Systems	1,952		30
Linde	22,701		2,562
Metro	2,596		133
Puma Rudolf Dassler Sport	363		103
RWE	17,669		1,502
SAP ADR	29,600		1,319
SAP (A)	1,737		78
Siemens	44,810		3,852
Suedzucker (A)	17,166		400
Tognum	77,328		1,324
TUI	65,467		648
United Internet	30,421		472
Volkswagen	472		41
Wacker Chemie	354		42
Wincor Nixdorf	18,027		1,225

			44,778


Greece — 0.3%
Alpha Bank	4,980		47
Coca Cola Hellenic Bottling	9,756		240
EFG Eurobank Ergasias *	4,031		32
OPAP	10,308		213
Piraeus Bank *	9,004		76
Public Power	79,583		1,200
Titan Cement	875		21

			1,829


Guernsey — 0.1%
Resolution *	539,077		593


Hong Kong — 2.4%
ASM Pacific Technology	28,600		270
Bank of East Asia	12,000		44
BOC Hong Kong Holdings	1,081,542		2,438
Cathay Pacific Airways	57,000		106
Champion REIT ‡	48,000		22
Champion Technology Holdings	564,000		19
Cheung Kong Holdings	68,009		830
China Mobile ADR	30,400		1,503
Chinese Estates Holdings	20,000		32
CNOOC	427,000		673
Esprit Holdings	118,281		843
Fairwood	19,500		20
First Pacific	133,000		72
Genting Singapore *	510,400		325
Hang Lung Group	11,000		55
Hang Lung Properties	35,189		134
Henderson Land Development	71,900		486
Hengan International Group	35,974		247


Description	Shares	Market Value ($ Thousands)
HKR International	24,800	$	10
Hong Kong & China Gas	58,000		131
Hong Kong Exchanges and Clearing	9,500		159
Hongkong & Shanghai Hotels	51,000		71
Hongkong Land Holdings	55,200		254
Hopewell Holdings	72,068		211
Huabao International Holdings	378,000		382
Hutchison Telecommunications Hong Kong Holdings	228,000		37
Hutchison Whampoa	111,286		798
Hysan Development	92,635		246
Jardine Matheson Holdings	5,600		153
Kerry Properties	207,000		985
Lai Sun Development *	1,739,000		28
Li & Fung	100,000		465
Link REIT ‡	49,500		124
MTR	2,500		9
New World Development	253,000		464
Noble Group	238,167		537
NWS Holdings	17,000		29
Orient Overseas International	46,500		340
Pacific Andes Resources Development	28,000		6
Pacific Basin Shipping	206,535		165
Pacific Century Premium Developments	145,000		42
Pico Far East Holdings	202,000		38
RCG Holdings *	28,708		30
Shangri-La Asia	12,000		20
Sun Hung Kai Properties	92,000		1,278
Swire Pacific, Cl A	35,944		401
Television Broadcasts	18,000		82
Vedan International Holdings	220,000		23
VTech Holdings	12,754		128
Wharf Holdings	156,618		807
Wheelock	102,383		287
Wing Hang Bank	3,000		25
Wing On International	4,000		5
Yue Yuen Industrial Holdings	66,894		200

			17,089


India — 0.6%
HDFC Bank	30,230		1,118
Infosys Technologies	18,010		1,016
Reliance Industries GDR (B)	24,908		1,056
State Bank of India GDR	8,994		777
Sterlite Industries India	36,600		621

			4,588


Indonesia — 0.1%
Astra International (F)	117,700		458


Ireland — 0.6%
DCC	4,200		111
Experian	269,469		2,490
Kerry Group, Cl A	7,604		241
Willis Group Holdings	49,600		1,477

			4,319


Description	Shares	Market Value ($ Thousands)
Israel — 0.6%
Check Point Software Technologies *	16,410	$	535
Makhteshim-Agan Industries (F)	281,179		1,446
Teva Pharmaceutical Industries ADR	37,410		2,245

			4,226


Italy — 1.8%
ACEA	14,174		144
Assicurazioni Generali	2,225		50
Atlantia	26,231		606
Autogrill	8,725		109
Banca Intesa	160,991		567
Banca Intesa RNC	68,294		185
Banca Popolare di Milano	15,955		94
CIR-Compagnie Industriali Riunite	7,137		15
Edison	35,904		50
Enel	677,218		3,680
ENI	59,206		1,339
Fiat	40,582		428
Finmeccanica	26,000		337
Luxottica Group	2,690		71
Mediaset	266,460		2,022
Mediolanum	15,113		86
Parmalat	87,080		220
Saipem	1,183		39
Saras	318,438		733
Servizi Italia	2,512		17
Snam Rete Gas	43,870		208
Telecom Italia	669,048		946
Terna Rete Elettrica Nazionale	51,432		212
UniCredito Italiano	292,178		741
Unipol Gruppo Finanziario	48,000		54

			12,953


Japan — 16.9%
77 Bank	82,000		447
ABC-Mart	1,900		63
Able	1,500		13
Advantest	4,000		95
Aeon	24,400		251
Aeon Fantasy	200		2
Aichi Bank	400		29
Air Water	5,000		59
Aisin Seiki	5,700		150
Ajinomoto	61,000		621
Alfresa Holdings	1,400		58
Alpen	600		9
Alps Electric	23,383		138
Amano	1,400		12
AOKI Holdings	1,200		14
Aoyama Trading	1,800		29
Arakawa Chemical Industries	1,700		19
Asahi Breweries	23,200		445
Asahi Glass	219,834		2,194
Asahi Kasei	36,000		188
Asset Managers Holdings	176		19
Astellas Pharma	50,600		1,905


Description	Shares	Market Value ($ Thousands)
Bando Chemical Industries	16,000	$	48
Bank of Kyoto	99,000		858
Bank of Nagoya	6,000		23
Bank of Yokohama	52,985		265
Belluna	1,400		6
BML	100		2
Brother Industries	84,200		959
Canon	46,500		1,933
Canon Marketing Japan	16,600		220
Catena	4,669		10
Cawachi	4,700		95
Central Japan Railway	42		318
Chiba Bank	40,935		249
Chiba Kogyo Bank *	1,400		11
Chubu Electric Power	27,600		731
Chubu Shiryo	3,000		27
Chuetsu Pulp & Paper	8,000		15
Chugai Pharmaceutical	11,351		219
Circle K Sunkus	800		10
Cleanup	100		1
Corona	200		3
Dai Nippon Printing	45,645		604
Daicel Chemical Industries	135,036		904
Daihatsu Motor	11,000		105
Daiichi Jitsugyo	5,000		12
Daiichi Sankyo	58,000		1,173
Daiichikosho	6,000		81
Daikin Industries	1,700		66
Daikoku Denki	2,800		50
Daimei Telecom Engineering	800		6
Dainippon Screen Manufacturing	47,138		216
Dainippon Sumitomo Pharma	45,100		442
Daiwa House Industry	98,000		1,050
Daiwa Securities Group	51,000		252
Dena	15		117
Denki Kagaku Kogyo	83,000		335
Denso	2,600		70
Dentsu	12,100		287
Disco	2,481		137
eAccess	38		30
East Japan Railway	25,800		1,777
Eighteenth Bank	10,000		29
Eisai	1,100		43
Eizo Nanao	100		2
Elpida Memory *	26,332		471
Fast Retailing	6,000		1,013
Fuji Electric Holdings	8,000		19
Fuji Heavy Industries	28,000		128
Fuji Media Holdings	785		1,089
FUJI SOFT INC	1,200		20
FUJIFILM Holdings	69,249		2,202
Fujikura	4,000		21
Fujitec	1,000		5
Fujitsu	256,000		1,662
FuKoKu	2,800		23
Fukuda Denshi	400		10
Fukuoka Financial Group	155,000		570
Funai Electric	800		34
Furukawa Electric	41,000		198
Furuno Electric	1,000		4
Gree	9,600		591
GS Yuasa	1,000		7


Description	Shares	Market Value ($ Thousands)
GungHo Online Entertainment *	10	$	23
Gunma Bank	10,000		56
Hachijuni Bank	8,000		44
Hakuhodo DY Holdings	1,310		64
Hankyu Hanshin Holdings	18,000		86
Heiwa	2,300		24
Heiwado	1,200		15
Higashi-Nippon Bank	7,000		14
Hikari Tsushin	1,600		28
HI-LEX	1,100		12
Hino Motors	272,000		1,013
Hisamitsu Pharmaceutical	600		22
Hitachi	184,000		607
Hitachi Chemical	7,300		150
Hitachi Construction Machinery	7,800		160
Hitachi High-Technologies	1,200		24
Hokuhoku Financial Group	12,000		25
Honda Motor	140,610		4,873
Hosiden	1,900		23
Hoya	23,300		584
Ibiden	6,755		227
Idemitsu Kosan	4,000		294
IHI	27,000		48
Iida Home Max	3,600		59
Inabata	31,800		124
Inpex	58		424
Isuzu Motors	7,000		18
Itochu	80,000		645
Itochu Enex	300		1
Itochu-Shokuhin	400		13
Japan Digital Laboratory	900		10
Japan Tobacco	456		1,655
JBCC Holdings	3,700		23
JFE Holdings	57,399		2,135
JGC	1,000		19
JS Group	12,500		246
JSP	6,900		84
JSR	21,300		417
JTEKT	2,000		21
Jupiter Telecommunications	2,459		2,884
Kamigumi	11,000		86
Kaneka	43,000		256
Kansai Electric Power	3,300		78
Kansai Paint	18,000		146
Kao	800		21
Kasumi	1,300		7
Kato Sangyo	700		12
Kawasumi Laboratories	3,000		19
KDDI	448		2,390
Keio	8,000		54
Keisei Electric Railway	12,000		72
Kikkoman	2,000		24
Kirin Holdings	45,951		634
Kobe Steel	132,000		241
Kohnan Shoji	1,000		11
Koito Manufacturing	8,000		101
Komatsu	10,000		201
Konica Minolta Holdings	17,000		176
Konishi	2,300		25
Kubota	19,000		167
Kuraray	24,000		308
Kyocera	13,400		1,193


Description	Shares	Market Value ($ Thousands)
Kyoei Steel	1,500	$	27
Kyorin	7,443		112
Kyowa Hakko Kirin	1,000		10
Kyudenko	5,000		29
Mabuchi Motor	2,100		115
Maeda	5,000		16
Maeda Road Construction	3,000		25
Maezawa Kasei Industries	800		7
Makita	23,049		738
Mars Engineering	100		2
Marubeni	398,947		2,384
Marui Group	8,300		56
Maruichi Steel Tube	5,000		99
Maruzen Showa Unyu	5,000		16
Maxvalu Nishinihon	200		3
Mazda Motor	52,000		137
Mediceo Paltac Holdings	43,200		511
MEIJI Holdings	2,000		80
Mie Bank	4,000		11
Mikuni Coca-Cola Bottling	1,600		12
Mitsubishi	156,293		3,904
Mitsubishi Chemical Holdings	43,000		195
Mitsubishi Electric	21,000		172
Mitsubishi Heavy Industries	78,000		290
Mitsubishi Materials	8,000		21
Mitsubishi Rayon	41,000		174
Mitsubishi UFJ Financial Group	482,131		2,436
Mitsui	143,068		2,220
Mitsui Chemicals	50,000		137
Mitsui Engineering & Shipbuilding	101,000		239
Mitsui Mining & Smelting	4,000		11
Mitsui OSK Lines	125,000		806
Mitsui Sumitomo Insurance Group Holdings	10,900		280
Mizuho Securities	260,000		770
Mizuho Trust & Banking	15,000		15
Morinaga Milk Industry	7,000		29
Murata Manufacturing	9,956		528
Nafco	1,000		19
Nakanishi	200		19
Namco Bandai Holdings	8,800		82
NEC	92,000		256
NEC Mobiling	200		5
NEC Networks & System Integration	6,900		82
NET One Systems	13		14
NGK Insulators	16,000		345
NGK Spark Plug	2,000		24
NHK Spring	27,000		223
Nidec	12,800		1,243
Nihon Shokuhin Kako	3,000		22
Nikon	52,600		1,157
Nintendo	3,300		898
Nippo	4,000		31
Nippon Beet Sugar Manufacturing	3,000		8
Nippon Electric Glass	88,569		1,150
Nippon Express	9,000		37
Nippon Konpo Unyu Soko	1,000		11
Nippon Mining Holdings	13,000		65
Nippon Oil	83,000		445
Nippon Shokubai	1,000		9
Nippon Steel	17,000		63


Description	Shares	Market Value ($ Thousands)
Nippon Telegraph & Telephone	51,900	$	2,260
Nishi-Nippon City Bank	37,000		100
Nishio Rent All	2,900		21
Nissan Chemical Industries	11,000		148
Nissan Motor	475,367		3,771
Nissan Shatai	6,000		46
Nissha Printing	600		21
Nisshin Seifun Group	5,000		66
Nissin Food Products	4,800		166
Nissin Healthcare Food Service	1,700		22
Nitori	4,050		325
Nitto Denko	23,100		851
Nojima	729		6
NOK	3,100		43
NSK	73,000		514
NTT Data	58		180
NTT DoCoMo	407		629
Obic	1,110		194
Ohsho Food Service	1,600		45
Okinawa Electric Power	400		22
Olympus	26,000		803
Omron	19,555		426
Oracle Japan	1,600		74
ORIX	4,761		365
Osaka Gas	93,000		337
Osaka Steel	1,300		20
Otsuka	900		56
Panasonic	60,300		838
Panasonic Electric Works	27,000		315
Piolax	1,000		19
Plenus	400		6
Rakuten	379		292
Resona Holdings	11,900		144
Ricoh	24,000		333
Ricoh Leasing	300		7
Rinnai	2,200		116
Rohm	4,600		314
Roland	700		7
Ryoden Trading	7,000		34
S Foods	5,500		48
Sammy NetWorks	6		14
San-Ai Oil	3,000		11
San-In Godo Bank	4,000		32
Sankyo	27,600		1,332
Sanshin Electronics	8,000		62
Santen Pharmaceutical	5,914		190
Sapporo Hokuyo Holdings	254,000		1,115
Sazaby League	600		9
SBI Holdings	204		36
Secom	800		37
Sega Sammy Holdings	14,600		180
Seiko Epson	7,000		119
Seino Holdings	23,000		162
Sekisui Chemical	42,000		278
Sekisui House	8,000		78
Senshu Ikeda Holdings *	54,100		132
Seven & I Holdings	18,100		408
Sharp	61,000		707
Shimamura	1,900		166
Shimano	3,200		139
Shin-Etsu Polymer	6,100		42
Shinsei Bank	174,000		196


Description	Shares	Market Value ($ Thousands)
Shionogi	52,700	$	1,076
Shiseido	20,600		456
Showa Denko	36,000		73
Sinanen	2,000		9
Sintokogio	1,600		12
SKY Perfect JSAT Holdings	3		1
Softbank	5,800		152
Sojitz	124,700		222
So-net Entertainment	8		21
Sony	63,700		2,186
SRI Sports	8		8
Stanley Electric	6,000		110
Sumikin Bussan	3,000		7
Sumitomo	58,715		640
Sumitomo Chemical	49,000		217
Sumitomo Electric Industries	68,646		825
Sumitomo Heavy Industries	44,657		231
Sumitomo Metal Mining	51,000		724
Sumitomo Mitsui Financial Group	70,113		2,253
Sumitomo Realty & Development	2,000		35
Sumitomo Rubber Industries	5,400		44
Sumitomo Trust & Banking	76,000		429
Suncall	4,000		16
Suzuken	5,100		169
Suzuki Motor	11,500		244
Sysmex	2,600		154
T&D Holdings	4,450		96
T&K Toka	2,100		27
Tadano	2,000		9
Taisho Pharmaceutical	10,000		173
Taiyo Nippon Sanso	21,000		191
Takagi Securities	10,000		18
Takara Leben	6,700		38
Takata	100		2
Takeda Pharmaceutical	23,800		1,078
Tanabe Seiyaku	9,000		133
TDK	10,090		622
Teijin	46,000		135
Terumo	8,500		461
TKC	1,100		20
Toei	3,000		15
Toho Gas	31,000		170
Toho Holdings	3,100		42
Tohoku Electric Power	6,000		131
Tohokushinsha Film	1,300		8
Tokyo Broadcasting System HD	6,100		88
Tokyo Electron	6,814		421
Tokyo Gas	74,000		322
Tokyo Style	2,000		14
Tokyo Tekko	11,000		34
Tokyu Land	16,000		58
Tomoku	11,000		24
Toppan Forms	2,700		29
Toppan Printing	24,000		208
Topre	100		1
Torii Pharmaceutical	200		4
Toshiba	51,000		255
Toshiba TEC	20,000		78
Tosoh	13,000		31
Totetsu Kogyo	13,000		72
Toyo Kohan	4,000		22
Toyo Seikan Kaisha	5,200		85


Description	Shares	Market Value ($ Thousands)
Toyo Suisan Kaisha	13,544	$	377
Toyoda Gosei	12,100		314
Toyota Auto Body	2,700		43
Toyota Boshoku	5,800		100
Toyota Industries	4,900		129
Toyota Motor	63,158		2,367
Toyota Tsusho	36,300		521
Tsumura	700		21
TV Asahi	32		50
Unicharm	7,900		757
Universe	3,600		49
UNY	7,400		58
USS	1,120		73
Valor	1,600		13
West Japan Railway	56		197
Yahoo! Japan	4,795		1,794
Yakult Honsha	16,596		505
Yamada Denki	12,040		840
Yamaguchi Financial Group	12,000		131
Yamaha	2,500		30
Yamaha Motor	80,700		1,073
Yamato Holdings	15,300		204
Yaskawa Electric	18,000		142
Yokogawa Electric	17,900		147
Yokohama Rubber	8,000		34

			119,686


Jersey — 0.0%
Randgold Resources	1,066		76


Macau — 0.0%
Sands China *	17,200		24


Malaysia — 0.1%
CIMB Group Holdings (F)	105,300		403


Mauritius — 0.0%
Golden Agri-Resources	861,965		325


Netherlands — 5.7%
Aegon	36,719		232
Akzo Nobel	14,816		755
ArcelorMittal	49,912		1,905
ASML Holding	32,511		999
Boskalis Westminster	4,180		135
Corio ‡	1,083		67
CSM	7,982		212
European Aeronautic Defense + Space	62,702		1,297
Fugro	32,147		1,872
Heineken	13,406		660
Heineken Holding	15,053		615
ING Groep	57,426		515
James Hardie Industries	33,183		221
Koninklijke Ahold	191,083		2,347
Koninklijke DSM	51,901		2,172
Koninklijke Philips Electronics	137,826		4,038
Koninklijke Vopak *	8,816		650


Description	Shares	Market Value ($ Thousands)
Nutreco Holding	194	$	12
QIAGEN *	473		10
Randstad Holding	8,125		341
Royal Dutch Shell, Cl A (GBP)	71,474		1,948
Royal Dutch Shell, Cl B	89,635		2,342
Royal Dutch Shell, Cl A	142,671		3,897
Royal KPN	146,764		2,343
SBM Offshore	36,490		649
Teleplan International *	9,136		28
TNT	108,567		2,817
Unilever	231,830		6,992

			40,071


New Zealand — 0.1%
Air New Zealand	45,100		41
Fletcher Building	44,863		248
Telecom of New Zealand	355,137		578

			867


Norway — 1.4%
Aker Kvaerner	53,900		714
Atea	11,500		95
DnB	345,494		3,753
Marine Harvest *	440,418		384
Norsk Hydro	4,000		27
Petroleum Geo-Services *	630		8
Seadrill	47,250		1,086
Statoil	70,556		1,581
Telenor	147,858		1,869
Yara International	5,850		241

			9,758


Papua New Guinea — 0.0%
Lihir Gold	33,700		80


Portugal — 0.3%
Banco Comercial Portugues, Cl R	228,404		232
Banco Espirito Santo	74,003		369
Brisa Auto-Estradas de Portugal	14,133		114
Cimpor Cimentos de Portugal	11,743		87
Energias de Portugal	132,143		486
Jeronimo Martins	38,275		368
Portugal Telecom	63,148		666

			2,322


Russia — 0.3%
Gazprom OAO ADR	46,741		1,040
Vimpel-Communications ADR	52,100		966

			2,006


Singapore — 1.9%
Ascendas Real Estate Investment Trust ‡	51,000		70
CapitaCommercial Trust ‡	227,003		175
CapitaLand	10,000		27
CapitaMall Trust ‡	135,209		170
CapitaMalls Asia *	11,400		19
City Developments	11,000		80
ComfortDelgro	23,000		25


Description	Shares	Market Value ($ Thousands)
DBS Group Holdings	248,138	$	2,471
Fortune Real Estate Investment Trust ‡	13,000		5
Fraser and Neave	67,000		203
Ho Bee Investment	68,000		81
Jardine Cycle & Carriage	29,063		502
Keppel	13,000		78
Olam International	544,972		942
Oversea-Chinese Banking	261,099		1,577
SembCorp Industries	97,000		260
SembCorp Marine	15,000		40
SIA Engineering	35,000		87
Singapore Airlines	116,727		1,236
Singapore Airport Terminal Services	33,000		61
Singapore Exchange	8,000		44
Singapore Press Holdings	60,000		158
Singapore Technologies Engineering	64,000		143
Singapore Telecommunications	153,196		332
Starhill Global REIT ‡	40,000		15
United Overseas Bank	165,000		2,188
UOB-Kay Hian Holdings	13,000		15
UOL Group	37,000		105
Venture	6,000		36
Wheelock Properties Singapore	35,370		47
Wilmar International	442,500		2,046
Yangzijiang Shipbuilding Holdings	313,000		254

			13,492


South Africa — 0.1%
Group	59,182		864


South Korea — 0.6%
Hyundai Mobis	13,780		1,764
Hyundai Steel	9,180		703
Samsung Electronics	2,220		1,424
Samsung SDI	6,255		693

			4,584


Spain — 2.1%
Abertis Infraestructuras	5,454		103
Acerinox (A)	3,398		58
Banco Bilbao Vizcaya Argentaria (A)	163,553		2,132
Banco de Sabadell	9,045		44
Banco Popular Espanol (A)	11,622		77
Banco Santander Central Hispano	410,251		5,346
Bankinter (A)	19,867		162
Construcciones y Auxiliar de Ferrocarriles	14		8
Enagas	6,341		133
Ferrovial	32,441		287
Fomento de Construcciones y Contratas	3,343		112
Gas Natural	47,086		865
Gestevision Telecinco	6,430		85
Inditex	5,965		353
Mapfre	21,269		77
Red Electrica	14,387		726
Repsol	15,433		350


Description	Shares	Market Value ($ Thousands)
Telefonica (A)	162,620	$	3,827

			14,745


Sweden — 1.9%
Alfa Laval	35,616		506
Assa Abloy, Cl B	18,443		347
Atlas Copco, Cl A	10,118		144
Atlas Copco, Cl B	2,477		32
Bilia, Cl A	6,483		74
Boliden	14,454		177
Electrolux, Cl B	82,754		1,762
Getinge, Cl B	9,028		209
Hennes & Mauritz, Cl B	6,094		370
Industrivarden, Cl C	36,045		399
Investor, Cl A	12,815		222
Nordea Bank	102,060		999
Saab, Cl B	5,400		73
Sandvik	5,454		59
Scania, Cl B	7,057		100
Skanska, Cl B	18,154		301
SKF, Cl B	15,663		248
Svenska Cellulosa, Cl A	1,089		16
Svenska Cellulosa, Cl B	133,541		1,979
Svenska Handelsbanken, Cl A	70,756		1,935
Swedbank	148,102		1,417
Swedish Match	9,056		207
Tele2, Cl B	12,401		185
Telefonaktiebolaget LM Ericsson, Cl B	39,360		395
TeliaSonera	132,382		918
Trelleborg, Cl B	6,876		44

			13,118


Switzerland — 8.3%
Actelion *	7,818		399
Adecco	26,356		1,312
Baloise Holding	5,898		508
Banque Cantonale Vaudoise	411		183
Clariant	18,838		205
Coltene Holding	472		25
Compagnie Financiere Richemont	23,588		796
Credit Suisse Group	79,525		3,536
EGL	24		19
Geberit	2,832		485
Givaudan	2,108		1,734
Helvetia Holding	500		159
Holcim	41,488		2,748
Informa	371,043		1,895
Julius Baer Group	40,846		1,272
Kuehne + Nagel International	680		62
Lindt & Spruengli	69		162
Micronas Semiconductor Holding *	6,888		28
Nestle	211,848		10,555
Nobel Biocare Holding	47,282		1,204
Novartis	162,205		9,034
Panalpina Welttransport Holding	110		7
Pargesa Holding	1,565		123
PSP Swiss Property	170		10
Roche Holding	35,137		5,876
Schindler Holding	7,519		601


Description	Shares	Market Value ($ Thousands)
SGS	1,385	$	1,857
Sonova Holding	3,633		454
STMicroelectronics	4,610		40
Straumann Holding	563		138
Sulzer	12,546		1,122
Swatch Group, Cl B	5,132		1,429
Swatch Group	10,635		565
Swiss Life Holding	3,731		471
Swiss Reinsurance	10,719		482
Swisscom	4,476		1,540
Syngenta	1,630		422
Synthes	2,472		295
Temenos Group *	5,185		131
UBS	69,538		960
Valora Holding	166		37
Xstrata	174,997		2,744
Zurich Financial Services	13,855		3,345

			58,970


Taiwan — 0.6%
Chunghwa Telecom	475,725		887
MediaTek	54,000		850
Taishin Financial Holding	1,046,994		352
Taiwan Semiconductor Manufacturing ADR	70,300		686
Taiwan Semiconductor Manufacturing	332,389		609
United Microelectronics ADR	241,944		830

			4,214


Thailand — 0.0%
Charoen Pokphand Foods	654,700		244


Turkey — 0.3%
KOC Holding *	73,840		220
Turkcell Iletisim Hizmet	124,857		733
Turkiye Garanti Bankasi	224,350		830

			1,783


United Kingdom — 16.1%
3i Group	96,857		388
Acergy	17,700		292
Admiral Group	6,978		132
Aegis Group	65,000		115
Aggreko	3,640		54
Amlin	347,549		2,089
Anglo American	63,814		2,322
Antofagasta	114,793		1,544
Associated British Foods	45,471		658
AstraZeneca	168,328		7,389
Autonomy *	10,186		237
Aviva	114,143		678
BAE Systems	216,172		1,232
Balfour Beatty	31,274		131
Barclays	1,016,633		4,837
BG Group	83,487		1,455
BHP Billiton	142,872		4,365
BP	1,308,705		11,530
British Airways	2,993		10
British American Tobacco	158,935		5,395
British Sky Broadcasting Group	7,125		59


Description	Shares	Market Value ($ Thousands)
BT Group, Cl A	772,026	$	1,350
Bunzl	8,856		92
Burberry Group	22,973		219
Cairn Energy *	327,645		1,668
Cape *	36,691		124
Carnival	2,465		93
Carphone Warehouse Group	19,387		55
Catlin Group	38,637		204
Centrica	52,099		222
Charter International	17,580		178
Cobham	43,656		160
Compass Group	24,789		184
Computacenter	4,925		22
Cookson Group *	27,047		189
Davis Service Group PLC	60,400		373
Delta	12,138		29
Diageo	97,468		1,579
Drax Group	7,000		43
DS Smith	37,674		67
easyJet *	155,330		979
Education Development International	15,291		32
Eurasian Natural Resources	20,581		322
Firstgroup	40,872		221
Fresnillo	25,805		295
GlaxoSmithKline	174,736		3,230
Group 4 Securicor	15,885		65
Healthcare Locums	18,106		64
Hogg Robinson Group	38,599		20
Home Retail Group	237,759		923
HSBC Holdings	922,437		10,131
ICAP	146,646		727
Imperial Tobacco Group	110,215		3,433
Inchcape	570,584		221
Inmarsat	8,479		95
Intercontinental Hotels Group	15,690		220
International Power	261,357		1,290
Interserve	2,245		7
Invensys	87,129		418
Investec	12,742		86
ITV	164,150		135
Kazakhmys	33,275		679
Kingfisher	175,639		575
Land Securities Group ‡	4,097		39
Legal & General Group	580,034		681
Lloyds Banking Group	506,480		405
LogicaCMG	387,380		704
Man Group	1,623		6
Marks & Spencer Group	31,692		159
Meggitt	1,927		8
Millennium & Copthorne Hotels	18,390		117
Mondi	4,227		24
Morgan Sindall	3,027		26
National Grid	87,654		870
Next	30,582		873
Old Mutual	293,875		507
Pearson	27,336		380
Persimmon	30,686		182
Petrofac	30,644		479
Prudential	101,501		931
QinetiQ	16,978		33
Rank Group	41,599		65


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)
Reckitt Benckiser Group	27,225	$	1,429
Reed Elsevier	151,379		1,134
Rexam	192,342		817
Rio Tinto	66,026		3,382
Rolls-Royce Group	218,235		1,854
Royal & Sun Alliance Insurance Group	123,890		245
SABMiller	77,305		2,024
Sage Group	258,223		931
Schroders	1,646		30
Segro ‡	6,768		33
Serco Group	19,824		167
Severn Trent	20,326		360
Shire	48,129		1,031
Smith & Nephew	141,031		1,446
Smiths Group	11,031		175
Standard Chartered	99,630		2,369
Tesco	329,880		2,108
Thomas Cook Group	52,000		187
Tomkins	61,413		180
Travis Perkins	889		9
Tullett Prebon	39,004		170
Tullow Oil	76,970		1,393
Unilever	11,550		338
Vedanta Resources	8,294		322
Vodafone Group	3,259,664		7,019
Whitbread	13,045		282
WM Morrison Supermarkets	134,474		611
WPP	199,722		1,836

			114,302


United States — 0.5%
Buckeye Technologies *	3,802		42
Capital One Financial	19,060		720
Central European Distribution *	18,800		627
Clearwater Paper *	1,900		92
ConocoPhillips	23,214		1,114
John B. Sanfilippo & Son *	2,700		43
Kemet *	11,358		15
M&F Worldwide *	1,500		49
NGP Capital Resources	2,500		20
Omnova Solutions *	5,400		33
Rural *	3,600		21
Seagate Technology	29,847		594
TICC Capital	12,600		76

			3,446

Total Common Stock (Cost $599,076) ($ Thousands)			639,137


MORTGAGE-BACKED SECURITIES — 2.2%

Agency Mortgage-Backed Obligations — 0.6%
FHLMC ARM
5.743%, 03/01/36 (C)	$270		278
5.264%, 10/01/35 (C)	225		235
4.792%, 06/01/35 (C)	230		238
FHLMC CMO, Ser 3335, Cl BF
0.381%, 07/15/19 (C)	112		111
FHLMC CMO, Ser 3336, Cl FA
0.461%, 02/15/19 (C)	360		360
FNMA
6.000%, 07/01/37	232		246
FNMA ARM
5.120%, 10/01/35 (C)	313		329


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
4.515%, 05/01/35 (C)	$235	$	243
4.050%, 05/01/34 (C)	533		553
3.755%, 10/01/33 (C)	91		93
3.212%, 08/01/34 (C)	299		305
2.932%, 10/01/24 (C)	355		362
2.831%, 04/01/34 (C)	169		174
2.787%, 05/01/35 (C)	220		226
2.168%, 07/01/34 (C)	455		465

			4,218


Non-Agency Mortgage-Backed Obligations — 1.6%
Banc of America Funding, Ser 2006-G, Cl 2A2
0.309%, 07/20/36 (C)	409		400
Banc of America Commercial Mortgage, Ser 2005-4, Cl A2
5.522%, 07/10/46	312		321
Banc of America Commercial Mortgage, Ser 2005-4, Cl A2
4.764%, 07/10/45	400		407
Banc of America Commercial Mortgage, Ser 2008-5, Cl A1
5.185%, 09/10/47	154		157
Banc of America Funding, Ser 2004-5, Cl 1A19
5.250%, 12/20/34	303		303
Banc of America Funding, Ser 2005-2, Cl 1A2
5.500%, 04/25/35	337		332
Banc of America Funding, Ser 2006-A, Cl 2A2
3.469%, 02/20/36 (C)	115		25
Banc of America Mortgage Securities, Ser 2003-9, Cl 1A12
0.679%, 12/25/33 (C)	75		72
Banc of America Mortgage Securities, Ser 2004-10, Cl 2A1
5.000%, 12/25/19	374		376
BCAP LLC Trust, Ser 2006-RR1, Cl PA
5.000%, 11/25/36	205		207
Bear Stearns Commercial Mortgage Securities, Ser 2005- PWR9, Cl A2
4.735%, 09/11/42	350		352
Chase Mortgage Finance, Ser 2007-A1, Cl 7A1
4.592%, 02/25/37 (C)	225		213
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A3
5.000%, 09/25/33	92		92
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-5, Cl 2A14
5.000%, 05/25/34	73		72
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-24, Cl A2
4.500%, 07/25/33	308		311


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-13, Cl 2A17
5.750%, 08/25/34	$85	$	85
Credit Suisse First Boston Mortgage Securities, Ser 2001- CF2, Cl A4
6.505%, 02/15/34	201		207
Credit Suisse First Boston Mortgage Securities, Ser 2003-C3
3.382%, 05/15/38	32		32
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A2
4.609%, 02/15/38	89		89
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl A2
4.512%, 07/15/37	531		531
Credit Suisse First Boston Mortgage Securities, Ser 2005-C4, Cl A2
5.017%, 08/15/38	190		190
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006- AB3, Cl A1
6.250%, 07/25/36 (C)	335		240
DLJ Commercial Mortgage, Ser 2000-CF1, Cl A1B
7.620%, 06/10/33	32		32
DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33	195		198
First Horizon Asset Securities, Ser 2003-9, Cl 1A3
5.500%, 11/25/33	309		308
First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1
6.046%, 11/25/36 (C)	470		364
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A2
4.760%, 08/10/38	171		175
GMAC Mortgage Loan Trust, Ser 2004-J1, Cl A2
5.250%, 04/25/34	234		234
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34	155		154
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A
3.528%, 10/25/34 (C)	59		40
JPMorgan Chase Commercial Mortgage Securities, Ser 2000- C10, Cl A2
7.371%, 08/15/32 (C)	21		21
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.829%, 12/25/34 (C)	103		104
LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2
7.370%, 08/15/26	103		104
LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2
6.510%, 12/15/26	186		190


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser 2001-WM, Cl A2
6.530%, 07/14/16 (C)	$200	$	211
LB-UBS Commercial Mortgage Trust, Ser 2003-C7, Cl A2
4.064%, 09/15/27 (C)	422		425
LB-UBS Commercial Mortgage Trust, Ser 2004-C4, Cl A2
4.567%, 06/15/29 (C)	204		205
Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1
3.927%, 07/25/34 (C)	385		327
Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1
4.008%, 03/25/35 (C)	319		191
Master Alternative Loans Trust, Ser 2003-6, Cl 3A2
5.750%, 09/25/33	137		137
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A2
4.809%, 01/14/42	10		10
Nomura Asset Acceptance, Ser 2004-R1, Cl A1
6.500%, 03/25/34 (C)	248		237
Nomura Asset Acceptance, Ser 2004-R2, Cl A1
6.500%, 10/25/34 (C)	283		266
PNC Mortgage Acceptance, Ser 2000-C1, Cl A2
7.610%, 03/15/33	7		7
PNC Mortgage Acceptance, Ser 2000-C2, Cl A2
7.300%, 10/12/33	113		114
RBSSP Resecuritization Trust, Ser 2009-9, Cl 10A1
0.329%, 10/26/36 (C)	501		489
Residential Asset Securitization Trust, Ser 2003-A1, Cl A2
0.729%, 03/25/33 (C)	77		70
Residential Funding Mortgage Securities I, Ser 2004-S2, Cl A11
6.000%, 06/25/36	18		18
Residential Funding Mortgage Securities I, Ser 2006-S5, Cl A4
5.500%, 03/25/34	167		168
Thornburg Mortgage Securities Trust, Ser 2006-5, Cl A1
0.349%, 09/25/46 (C)	495		480
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl A2
4.782%, 03/15/42	203		203
WaMu Mortgage Pass Through Certificates, Ser 2004-AR9, Cl A6
2.953%, 08/25/34 (C)	5		5
WaMu Mortgage Pass Through Certificates, Ser 2005-AR10, Cl 1A1
4.792%, 09/25/35 (C)	306		302


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A5
4.500%, 06/25/33	$95	$	95
Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A1
5.500%, 06/25/34	161		161
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-6, Cl A5
3.213%, 08/25/34 (C)	2		2
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1
3.407%, 07/25/34 (C)	46		16
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-N, Cl A13
0.679%, 06/25/34 (C)	86		83
Wells Fargo Mortgage Backed Securities Trust, Ser 2005- AR12, Cl 2A4
3.049%, 07/25/35 (C)	52		52

			11,212

Total Mortgage-Backed Securities (Cost $15,980) ($ Thousands)			15,430


ASSET-BACKED SECURITIES — 1.6%

Automotive — 0.5%
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A2
1.400%, 11/15/12	160		160
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (C)	365		371
Bank of America Auto Trust, Ser 2010-1A, Cl A2
0.750%, 06/15/12 (C)	320		320
BMW Floorplan Master Owner Trust, Ser 2009-1A, Cl A
1.382%, 09/15/14 (C)	125		125
BMW Vehicle Lease Trust, Cl A2
2.040%, 04/15/11	329		330
Citifinancial Auto Issuance Trust, Ser 2009-1, Cl A2
1.830%, 11/15/12 (C)	195		196
Honda Auto Receivables Owner Trust, Ser 2008-1, Cl A3
4.470%, 01/18/12	122		124
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A2
2.220%, 08/15/11	220		222
Honda Auto Receivables Owner Trust, Ser 2009-S1, Cl A3
2.310%, 05/15/13	210		214
Mercedes-Benz Auto Receivables Trust, Ser 2009-1, Cl A3
1.670%, 01/15/14	105		106


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nissan Master Owner Trust Receivables, Ser 2010-AA, Cl A
1.378%, 01/15/15 (C)	$	280	$	280
Nissan Auto Lease Trust, Cl A2
2.010%, 04/15/11		335		337
USAA Auto Owner Trust, Ser 2009-I, Cl A2
2.640%, 08/15/11		414		416
Volkswagen Auto Lease Trust, Cl A2
2.870%, 07/15/11		286		288

				3,489


Credit Cards — 0.8%
American Express Credit Account Master Trust, Ser 2003-3, Cl A
1.581%, 12/15/14 (C)		785		803
American Express Credit Account Master Trust, Ser 2007-7, Cl A
0.272%, 02/17/15 (C)		518		514
Bank of America Credit Card Trust, Ser 2006-A6, Cl A6
0.262%, 11/15/13 (C)		200		199
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14		305		319
Capital One Multi-Asset Execution Trust, Ser 2009-A1, Cl A1
1.333%, 04/15/13 (C)		25		25
Chase Issuance Trust, Ser 2007- A10
0.272%, 06/16/14 (C)		305		303
Chase Issuance Trust, Ser 2009- A4, Cl A6
1.082%, 07/16/12 (C)		450		451
Chase Issuance Trust, Ser 2009- A6, Cl A4
0.982%, 06/15/12 (C)		350		351
Citibank Credit Card Issuance Trust, Ser 2005-A7, Cl A7
4.750%, 10/22/12		100		103
Citibank Credit Card Issuance Trust, Ser 2007-A7, Cl A7
0.579%, 08/20/14 (C)		320		319
Citibank Credit Card Issuance Trust, Ser 2009-A1, Cl A1
1.982%, 03/17/14 (C)		135		139
Citibank Credit Card Issuance Trust, Ser 2009-A7, Cl A7
0.342%, 11/25/13 (C)		420		418
MBNA Credit Card Master Note Trust, Ser 2003-A4, Cl A4
0.452%, 09/17/12 (C)		960		960
MBNA Credit Card Master Note Trust, Ser 2003-A8
0.422%, 12/17/12 (C)		700		699

				5,603


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)

Mortgage Related Securities — 0.3%
ACE Securities, Ser 2003-NC1, Cl M
1.399%, 07/25/33 (C)	$	600	$	399
Ameriquest Mortgage Securities, Ser 2005-R9, Cl AF3
5.098%, 11/25/35		151		148
Bayview Financial Acquisition Trust, Ser 2007-A, Cl 1A1
6.129%, 05/28/37		64		65
Credit Suisse First Boston Mortgage Securities, Ser 2005- FIX1, Cl A2
4.310%, 05/25/35		75		74
CNH Equipment Trust, Ser 2009- A, Cl A2
4.060%, 10/17/11		80		81
GSAMP Trust, Ser 2005-HE3, Cl M1
0.699%, 06/25/35 (C)		107		106
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-3, Cl A2A
0.279%, 06/25/37 (C)		295		292
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-5, Cl 2A1
0.929%, 10/25/37 (C)		306		294
Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2
1.879%, 07/25/34 (C)		37		10
Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1
1.249%, 10/25/33 (C)		484		388
RAAC Series, Ser 2005-RP2, Cl A
0.579%, 06/25/35 (C)		104		98
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1
1.324%, 12/25/33 (C)		54		38
Terwin Mortgage Trust, Ser 2006-6, Cl 2A1
4.500%, 06/25/36		203		52

				2,045

Total Asset-Backed Securities (Cost $11,559) ($ Thousands)				11,137


PREFERRED STOCK — 0.9%

Brazil — 0.4%
Banco Bradesco		78,400		1,350
Petroleo Brasileiro		72,200		1,379

				2,729


Germany — 0.5%
Bayerische Motoren Werke		1,507		46
Draegerwerk		1,189		76
Fresenius		411		29


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Henkel		47,528	$	2,454
Jungheinrich		1,164		24
KSB		173		109
Porsche Automobil Holding		2,510		127
ProSiebenSat.1 Media		12,502		182
RWE		2,499		198
STO		300		25
Volkswagen (A)		3,739		305

				3,575

Total Preferred Stock (Cost $5,937) ($ Thousands)				6,304

	Number Of Warrants

WARRANTS — 0.0%

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *		45,880		12


Italy — 0.0%
Mediobanca, Expires 2011 *		18,515		2

Total Warrants (Cost $0) ($ Thousands)				14

	Number Of Rights

RIGHTS — 0.0%

Australia — 0.0%
Lend Lease, Expires 04/08/10 *		7,652		14

Total Rights (Cost $0) ($ Thousands)				14


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Shinsei Finance Cayman
6.418%, 01/29/49 (C)	$	490		267

Total Corporate Obligation (Cost $490) ($ Thousands)				267


U.S. TREASURY OBLIGATIONS — 0.3%
U.S. Treasury Bills
0.150%, 06/17/10 (D) (E)		300		300
0.048%, 04/15/10 (D) (E)		106		106
0.110%, 06/03/10 (D) (E)		1,517		1,516

Total U.S. Treasury Obligations (Cost $1,923) ($ Thousands)				1,922


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)

CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.070% ** †	14,118	$	14,118

Total Cash Equivalent (Cost $14,118) ($ Thousands)			14,118


AFFILIATED PARTNERSHIP — 3.5%
SEI Liquidity Fund, L.P.,
0.240% ** † (G)	25,944,842		25,132

Total Affiliated Partnership (Cost $25,945) ($ Thousands)			25,132

Total Investments — 100.8% (Cost $675,028)($ Thousands) ††		$	713,475

Percentages are based on a Net Assets of $708,087 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	242	Mar-2010	$(311)
FTSE 100 Index	70	Mar-2010	50
Hang Seng Index	3	Mar-2010	8
MSCI EAFE Index E-MINI	13	Mar-2010	(27)
Nikkei 225 Index	7	Mar-2010	(2)
SPI 200 Index	20	Mar-2010	(54)
Topix Index	48	Mar-2010	(119)

			$(455)

A summary of the outstanding forward foreign currency contracts held by the Fund at February 28, 2010, is as follows:


Settlement Date	Currency to (Thousands)		Currency to (Thousands)		Unrealized Depreciation ($ Thousands)
5/13/10	USD	2,085	EUR	1,512	$(22)
5/13/10-11/12/10	EUR	754	USD	1,022	(7)

					$(29)

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $675,028 ($Thousands), and the unrealized appreciation and depreciation were $61,539 ($Thousands) and $(23,092) ($Thousands) respectively.

(A)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $25,024 ($ Thousands).

(B)

(C)

Variable Rate Security. The rate is the rate in effect as of February 28, 2010. The date reported is the final maturity date.

(D)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

(E)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(F)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such security as of February 28, 2010 was $2,307 ($ Thousands) and represents 0.33% of net assets.

(G)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of February 28, 2010 was $25,132 ($ Thousands).

ABS — Asset-Backed Security

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GDR — Global Depositary Receipt

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

Ser — Series

USD — U.S. Dollar

Amounts designated as “—” are $O or have been rounded to $O.

See end of Form N-Q Filing for ASC 820 disclosure.

A summary of outstanding swap agreements held by the Fund at February 28, 2010, is as follows:


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)

COMMON STOCK — 90.3%

Argentina — 0.2%
Banco Macro ADR	2,419	$	63
Telecom Argentina ADR *	2,952		47
Tenaris	77,011		1,603
Tenaris ADR	63,260		2,621
Ternium ADR	37,300		1,276

			5,610


Australia — 5.1%
Aditya Birla Minerals	166,691		142
Amcor ADR	364,700		7,757
Amcor	332,083		1,764
AMP	205,682		1,094
Asciano Group	481,157		776
Australia & New Zealand Banking Group (A)	317,008		6,569
Australia & New Zealand Banking Group ADR	402,500		8,340
AXA Asia Pacific Holdings	189,192		1,093
Beach Energy	1,033,673		616
Bendigo Bank	98,348		847
BGP Holdings *	239,898		—
BHP Billiton	848,934		31,245
Billabong International	38,797		353
Boral	111,059		534
Brambles	48,483		301
Centennial Coal	124,791		408
CFS Retail Property Trust ‡ (A)	517,319		880
Coca-Cola Amatil	476,875		4,792
Cochlear	22,147		1,258
Commonwealth Bank of Australia	312,653		15,097
Computershare	246,903		2,576
Crown	26,629		191
CSR	261,282		379
Dexus Property Group ‡	118,994		88
Downer EDI	40,300		285
Fairfax Media (A)	1,229,739		1,817
Fortescue Metals Group *	256,858		1,070
Foster’s Group	539,315		2,603
Goodman Fielder	172,600		233
Goodman Group ‡	954,699		513
GPT Group ‡	424,706		219
Harvey Norman Holdings	197,380		677
Hillgrove Resources	183,638		59
Incitec Pivot	91,467		265
Insurance Australia Group	190,312		673
Intoll Group (A)	790,021		796
JB Hi-Fi	2,300		40
Kingsgate Consolidated	5,200		41
Leighton Holdings	58,024		1,959
Lend Lease Group	136,205		1,180
MacArthur Coal	57,066		521
Macquarie Group (A)	55,021		2,230
Metcash	186,788		689
Mirvac Group ‡	191,988		263
Mount Gibson Iron *	94,500		129


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
National Australia Bank (A)	214,815	$	4,894
New Hope	252,430		1,013
OneSteel	103,140		319
Orica	170,769		3,825
Origin Energy	208,256		3,135
OZ Minerals	1,110,272		1,034
Pacific Brands	269,642		275
Primary Health Care	16,200		63
Qantas Airways	1,463,823		3,461
QBE Insurance Group	22,871		438
Rio Tinto	146,445		9,245
Santos	442,474		5,135
Sonic Healthcare	115,277		1,399
Stockland ‡	292,829		1,064
Suncorp-Metway	432,288		3,306
Super Cheap Auto Group	11,200		50
TABCORP Holdings	159,156		965
Tatts Group	202,500		435
Telstra	369,243		982
Telstra ADR	536,200		7,180
Toll Holdings	232,396		1,415
Transurban Group	299,112		1,403
Wesfarmers	417,021		11,629
Westfield Group ‡	103,008		1,109
Westpac Banking	377,007		8,822
Woodside Petroleum	3,919		152
Woolworths	97,570		2,345
WorleyParsons	22,757		501

			178,956


Austria — 0.2%
Erste Group Bank	3,942		149
Immoeast *	249,891		1,190
OMV	94,558		3,510
Raiffeisen International Bank Holding (A)	606		27
Strabag (A)	6,674		164
Vienna Insurance Group	2,753		133
Voestalpine	24,665		872

			6,045


Belgium — 1.2%
Barco	1,730		69
Delhaize Group ADR	148,900		11,519
Delhaize Group (A)	117,300		9,104
Dexia (A)	128,039		694
D’ieteren	556		242
Fortis	68,671		236
Groupe Bruxelles Lambert	13,857		1,216
InBev	178,209		8,940
KBC Groep	67,745		3,070
Nyrstar	99,479		1,290
Solvay	16,000		1,533
Telenet Group Holding	28,126		839
UCB	98,286		4,359
Umicore	3,854		116

			43,227


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)

Brazil — 2.8%
Agre Empreendimentos Imobiliarios *	35,340	$	156
Amil Participacoes	125,500		905
Banco do Brasil	312,500		5,131
Banestes Banco do Estado do Espirito Santo	22,600		87
BM&FBOVESPA	1,050,000		6,832
BRF - Brasil Foods	125,300		3,060
Cia de Saneamento Basico do Estado de Sao Paulo ADR	422,700		14,410
Cia de Saneamento Basico do Estado de Sao Paulo	51,800		874
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	34,600		483
Cia Energetica de Minas Gerais ADR	130,300		2,133
Cia Paranaense de Energia ADR	545,100		11,169
Cia Vale do Rio Doce ADR, Cl B	98,390		2,741
Cia Vale do Rio Doce	184,500		5,137
Cyrela Brazil Realty	127,100		1,575
EDP - Energias do Brasil	35,900		697
Empresa Brasileira de Aeronautica ADR	132,600		2,912
Empresa Brasileira de Aeronautica	179,400		976
Eternit	16,000		76
Ez Tec Empreendimentos e Participacoes	33,200		152
Fertilizantes Heringer *	11,000		70
Fleury *	74,400		822
Grendene	67,600		346
Hypermarcas *	93,100		1,101
Iguatemi Empresa de Shopping Centers	66,200		1,046
Itau Unibanco Holding ADR	69,351		1,384
Lojas Renner	72,400		1,561
Natura Cosmeticos	209,700		3,862
OGX Petroleo e Gas Participacoes	186,500		1,632
Petroleo Brasileiro ADR	372,414		15,884
Petroleo Brasileiro	287,000		6,122
Rodobens Negocios Imobiliarios	86,700		714
Santos Brasil Participacoes *	18,472		162
SLC Agricola	92,467		792
Tecnisa (Brazil)	19,700		102
Telegraph Norte Leste Participacoes	47,100		977
Usinas Siderurgicas de Minas Gerais	54,500		1,546
Wilson Sons, Cl BDR	81,880		1,057

			98,686


Canada — 5.1%
Agnico-Eagle Mines	12,100		696
Agrium (A)	176,500		11,423
Alimentation Couche Tard, Cl B	116,509		2,167
Atco, Cl I	3,930		179
Bank of Montreal (A)	113,125		5,994
Bank of Nova Scotia	89,200		4,034
Barrick Gold	178,700		6,715
BCE	68,200		1,884


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Bombardier, Cl B	450,000	$	2,423
Brookfield Asset Management, Cl A	54,958		1,299
Canadian Imperial Bank of Commerce	19,270		1,276
Canadian National Railway	212,560		11,121
Canadian Natural Resources	142,210		9,537
Canadian Pacific Railway	9,840		473
Canadian Tire, Cl A	8,020		399
Canadian Utilities, Cl A	14,106		596
Cascades	32,900		255
Celestica *	68,200		692
Cenovus Energy	174,739		4,249
CGI Group, Cl A *	371,709		5,205
Compton Petroleum *	28,962		25
Domtar *	1,800		94
Dorel Industries, Cl B	17,100		490
Dundee, Cl A *	6,800		86
Empire, Cl A	2,300		106
Enbridge	35,900		1,584
EnCana	191,413		6,246
Fairfax Financial Holdings	800		273
First Quantum Minerals	9,260		718
George Weston	360		24
Gildan Activewear *	30,447		715
Goldcorp	102,110		3,857
Grande Cache Coal *	31,400		201
Groupe Aeroplan	70,400		788
Husky Energy	15,640		398
IAMGOLD	74,232		1,087
IGM Financial	4,500		183
Industrial Alliance Insurance & Financial Services	5,700		179
Inmet Mining	1,900		103
Kinross Gold	1,700		31
Linamar	11,400		171
Loblaw	5,500		192
Lundin Mining *	143,600		605
Magna International, Cl A	22,100		1,255
Manulife Financial	21,200		387
Maple Leaf Foods	26,700		268
MDS *	27,930		232
Metro, Cl A	87,300		3,368
Mullen Group	11,000		160
National Bank of Canada	46,470		2,649
Nexen	386,603		8,697
Northgate Minerals *	261,100		711
Open Text *	60,600		2,948
Pacific Rubiales Energy *	81,858		1,297
Penn West Energy Trust	60,700		1,239
Petrobank Energy & Resources *	20,700		1,066
Potash Corp of Saskatchewan	49,150		5,429
Potash Saskatchewan	4,800		527
Power Financial	39,100		1,148
Provident Energy Trust	7,100		56
Quebecor, Cl B	18,920		538
Research In Motion *	15,400		1,086
Royal Bank of Canada (A)	94,011		5,053
Saputo	4,000		114
Sherritt International	214,900		1,511
Sino-Forest, Cl A *	228,063		4,417
Sun Life Financial	18,300		520


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Suncor Energy	44,024	$	1,267
Talisman Energy	81,400		1,481
Teck Cominco, Cl B *	146,803		5,375
TELUS, Cl A	4,700		147
Toronto-Dominion Bank	241,600		15,406
Transat AT, Cl B	15,700		280
TransCanada	245,100		8,088
Transcontinental, Cl A	18,400		213
West Energy *	17,000		69
West Fraser Timber	12,300		426
Western Coal *	69,438		245
Yamana Gold	1,009,457		10,630
Yellow Pages Income Fund (A)	196,540		1,088

			178,164


Chile — 0.2%
Banco de Chile ADR	5,300		329
Banco Santander Chile ADR	10,400		666
Cia Cervecerias Unidas ADR	10,800		418
Cia Cervecerias Unidas	137,120		1,053
CorpBanca ADR	6,900		285
Embotelladora Andina ADR, Cl B	600		12
Enersis ADR	146,989		3,176
ENTEL Chile	74,695		1,055
Sociedad Quimica y Minera de Chile ADR	14,800		541

			7,535


China — 2.1%
AirMedia Group ADR *	105,614		693
Ajisen China Holdings	1,298,909		1,193
Anhui Conch Cement (A)	180,639		1,070
Bank of China	7,899,000		3,836
Bank of Communications	835,000		918
Baoye Group	123,000		74
China BlueChemical	405,000		260
China Citic Bank	926,000		619
China Coal Energy	510,000		813
China Communications Construction	110,000		103
China Communications Services	432,000		222
China Construction Bank	5,422,000		4,100
China Dongxiang Group	2,521,000		1,689
China Life Insurance	138,000		612
China Merchants Bank	2,955,000		7,278
China Petroleum & Chemical	1,918,000		1,505
China Railway Construction	752,000		990
China Shipping Development (A)	804,000		1,369
China Telecom	2,052,000		901
China Vanke, Cl B	338,800		362
Chongqing Changan Automobile, Cl B	471,800		385
Country Garden Holdings	596,000		206
Ctrip.com International ADR *	36,800		1,407
Dongfeng Motor Group	1,136,000		1,648
Fosun International	759,000		571
Great Wall Motor	50,000		75
Great Wall Technology	224,000		94
Hangzhou Steam Turbine, Cl B	81,000		183
Industrial & Commercial Bank of China (A)	27,548,000		19,481


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Jiangling Motors, Cl B	237,800	$	389
Mindray Medical International ADR	41,352		1,578
New Oriental Education & Technology Group ADR *	11,384		890
Perfect World ADR *	20,750		821
PetroChina	168,000		188
PetroChina ADR	24,800		2,776
Ping An Insurance Group of China	174,000		1,327
Qingling Motors	564,000		136
Shandong Chenming Paper Holdings, Cl B	493,700		356
Shanghai Friendship Group, Cl B	241,620		396
Shanghai Mechanical and Electrical Industry, Cl B	72,400		78
Shenzhou International Group Holdings	179,000		241
Sinopharm Group *	760,400		3,423
Soho China	491,000		242
Tingyi Cayman Islands Holding	678,000		1,574
Trina Solar ADR *	83,380		1,834
Weiqiao Textile	70,000		48
Yangzijiang Shipbuilding Holdings	1,841,000		1,493
Yanzhou Coal Mining	352,000		744
Zhejiang Expressway	102,000		92
Zhuzhou CSR Times Electric	771,000		1,515

			72,798


Colombia — 0.2%
BanColombia ADR	182,622		8,470


Cyprus — 0.0%
Bank of Cyprus Public	85,924		511


Czech Republic — 0.1%
CEZ	25,617		1,173
Komercni Banka	10,577		2,086
Philip Morris CR	218		118

			3,377


Denmark — 0.8%
A P Moeller—Maersk, Cl A	11		80
Carlsberg, Cl B	49,644		3,842
Coloplast, Cl B	16,557		1,886
Danisco	2,067		139
Danske Bank	161,280		3,682
DSV	28,359		442
FLSmidth	18,360		1,172
H Lundbeck	15,300		271
Novo-Nordisk, Cl B	165,096		11,685
Novozymes, Cl B(A)	1,735		179
Sydbank	12,784		315
Vestas Wind Systems *	86,899		4,302
William Demant Holding *	12,768		913

			28,908


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)

Egypt — 0.1%
Commercial International Bank (G)	97,355	$	1,118
Egyptian Financial Group-Hermes Holding (G)	245,115		1,300
National Societe Generale Bank SAE (G)	21,811		129
Orascom Telecom Holding (G)	413,000		463
Talaat Moustafa Group * (G)	204,000		279
Telecom Egypt (G)	114,000		404

			3,693


Finland — 0.7%
Elisa, Cl A	37,330		779
Kesko, Cl B	18,670		679
Kone, Cl B	139,510		5,902
Konecranes	1,786		49
Metso	73,579		2,287
Nokia	57,594		778
Nokia ADR	309,400		4,167
Orion, Cl B	23,354		519
Sampo, Cl A	110,310		2,680
Sanoma	42,199		846
Stora Enso, Cl R	404,207		2,565
Tieto	12,801		288
UPM-Kymmene	154,024		1,655

			23,194


France — 5.8%
Accor(A)	47,399		2,403
Air France-KLM	6,125		82
Air Liquide	57,136		6,839
Alcatel-Lucent	188,279		573
Alstom	73,091		4,688
Arkema	22,877		776
Atos Origin	16,648		777
AXA ADR	713,400		14,361
AXA	377,079		7,608
BioMerieux	3,473		381
BNP Paribas	235,087		17,045
Bouygues	81,767		3,772
Capital Gemini	38,332		1,770
Casino Guichard Perrachon	3,431		277
Christian Dior	26,550		2,607
Cie Generale de Geophysique-Veritas *	4,017		97
Cie Generale d’Optique Essilor International	7,518		454
CNP Assurances	22,044		1,981
Compagnie de St.-Gobain (A)	28,754		1,355
Compagnie Generale des Etablissements Michelin, Cl B (A)	3,868		271
Credit Agricole	194,723		2,902
Credit Industriel et Commercial	65		12
Dassault Systemes	3,067		177
Electricite de France	42,329		2,126
Eurazeo	9,575		609
Eutelsat Communications	43,895		1,461
Fonciere Des Regions ‡	12,946		1,294


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
France Telecom (A)	286,656	$	6,738
France Telecom ADR	496,200		11,641
Gecina ‡	10,934		1,135
Groupe Steria SCA	3,004		85
Havas	276,941		1,136
Ipsen	7,041		358
JC Decaux	15,571		390
Klepierre ‡	30,119		1,124
Lafarge	109,979		7,149
Lagardere S.C.A.	4,811		176
Legrand	13,931		437
L’Oreal (A)	13,985		1,451
LVMH Moet Hennessy Louis Vuitton	102,259		11,109
M6-Metropole Television	48,482		1,202
Natixis	658,026		3,255
Neopost	3,579		291
Nexity	8,986		331
Pernod-Ricard	9,068		685
Peugeot	104,984		2,777
PPR	21,776		2,505
Publicis Groupe	57,302		2,265
Renault	37,507		1,546
Rhodia *	60,614		1,155
Safran	50,502		1,191
Sanofi-Aventis	335,684		24,610
Schneider Electric	25,682		2,749
SCOR	10,360		254
Societe BIC	5,755		408
Societe Des Autoroutes Paris- Rhin-Rhone	3,972		286
Societe Generale	38,142		2,103
Societe Television Francaise 1 (A)	89,961		1,446
Sodexo	4,206		250
Suez Environnement	14,452		319
Technip	78,259		5,586
Technip ADR	109,500		7,807
Total	212,513		11,885
Unibail-Rodamco ‡	6,730		1,332
Valeo	52,249		1,598
Vallourec	7,206		1,380
Vinci	36,850		1,933
Vivendi	107,576		2,716
Zodiac Aerospace (A)	1,823		83

			203,575


Germany — 4.5%
Adidas	10,612		527
ADVA Optical Networking *	49,708		191
Aixtron	79,144		2,333
Allianz	75,318		8,716
BASF	303,187		17,063
Bayer	92,813		6,165
Bayerische Motoren Werke	38,186		1,552
Beiersdorf	14,334		881
Bilfinger Berger	12,139		767
DaimlerChrysler	113,665		4,756
Deutsche Bank (A)	202,759		12,904
Deutsche Boerse	42,012		2,929
Deutsche Post	645,788		10,527


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Deutsche Postbank (A)	18,279	$	566
Deutsche Telekom	494,964		6,383
E.ON	329,071		11,746
Fresenius	3,262		213
Fresenius Medical Care	124,447		6,513
GAGFAH	52,278		480
GEA Group	5,309		99
Hannover Rueckversicherung	59,468		2,670
HeidelbergCement (A)	119,622		6,110
Henkel	47,412		2,095
Hochtief	56,588		3,993
Infineon Technologies *	501,320		2,741
Linde	18,824		2,124
Metro	10,757		553
MTU Aero Engines Holding (A)	261		13
Norddeutsche Affinerie	15,544		720
Puma Rudolf Dassler Sport	1,469		416
RWE	69,196		5,881
SAP	196,468		8,784
SAP ADR	84,300		3,758
Siemens	123,365		10,605
Siemens ADR	86,500		7,461
Suedzucker (A)	50,106		1,166
TUI	113,187		1,120
United Internet	81,378		1,262
Volkswagen	1,447		126
Wacker Chemie	1,432		172

			157,081


Greece — 0.3%
Alpha Bank	19,787		187
Coca Cola Hellenic Bottling	58,909		1,447
EFG Eurobank Ergasias *	16,015		128
National Bank of Greece	207,515		3,880
OPAP	31,119		642
Piraeus Bank *	35,770		300
Public Power	310,714		4,686
Titan Cement	3,476		85

			11,355


Guernsey — 0.2%
Amdocs *	180,100		5,237
Resolution *	1,750,693		1,926

			7,163


Hong Kong — 2.8%
ASM Pacific Technology	90,600		855
Bank of East Asia	48,000		175
Belle International Holdings	1,314,000		1,464
BOC Hong Kong Holdings	3,483,484		7,852
Cathay Pacific Airways	283,000		526
Champion REIT ‡	125,000		56
Chaoda Modern Agriculture	2,716,000		2,939
Cheung Kong Holdings	233,000		2,842
Cheung Kong Infrastructure Holdings	32,000		120
China Mobile	899,000		8,870
China Overseas Land & Investment	408,000		827
China Resources Power Holdings	380,000		755
China Properties Group	325,000		95
Chinese Estates Holdings	82,000		132
CLP Holdings	667,000		4,610
CNOOC	6,730,500		10,612


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
COSCO Pacific	624,000	$	973
Digital China Holdings	179,000		281
Esprit Holdings	430,070		3,066
First Pacific	468,000		251
Galaxy Entertainment Group *	267,000		103
Genting Singapore *	1,674,600		1,066
GOME Electrical Appliances Holdings	5,756,300		1,809
Guangdong Investment	598,000		303
Guoco Group	36,000		371
Hang Lung Group	45,000		226
Hang Lung Properties	310,000		1,184
Henderson Land Development	302,000		2,040
Hengan International Group	218,971		1,505
Hong Kong & China Gas	234,000		527
Hong Kong Exchanges and Clearing	474,900		7,946
Hongkong & Shanghai Hotels	162,000		226
HongKong Electric Holdings	121,000		677
Hongkong Land Holdings	232,007		1,067
Hopewell Holdings	200,020		586
Hopson Development Holdings	28,000		39
Huabao International Holdings	3,267,000		3,303
Hutchison Harbour Ring	734,000		103
Hutchison Telecommunications Hong Kong Holdings	1,170,000		190
Hutchison Telecommunications International *	334,000		92
Hutchison Whampoa	389,130		2,792
Hysan Development	287,000		763
Industrial & Commercial Bank of China Asia	202,000		435
Jardine Matheson Holdings	38,400		1,050
Jardine Strategic Holdings	23,500		388
Kerry Properties	83,500		397
Kingboard Laminates Holdings	95,500		74
Lai Sun Development *	5,616,000		90
Li & Fung	406,000		1,888
Link REIT ‡	180,000		453
MTR	9,500		33
New World Development	974,000		1,787
Noble Group	857,116		1,933
NWS Holdings	25,000		42
Orient Overseas International	91,500		669
Pacific Andes Resources Development (SGD)	5,000		1
Pacific Basin Shipping	859,428		685
Pacific Century Premium Developments	289,000		84
Polytec Asset Holdings	390,000		78
RCG Holdings *	137,229		144
Shanghai Industrial Holdings	116,000		498
Shangri-La Asia	50,000		83
SIM Technology Group	620,000		96
Sino Land	178,000		338
Sun Hung Kai Properties	351,000		4,874
Swire Pacific, Cl A	183,000		2,043
Television Broadcasts	63,000		288
TPV Technology	1,266,000		848


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Wharf Holdings	620,342	$	3,196
Wheelock	305,270		855
Wing Hang Bank	12,500		105
Yue Yuen Industrial Holdings	224,120		668

			98,342


Hungary — 0.1%
Egis Gyogyszergyar Nyrt	799		78
MOL Hungarian Oil and Gas	12,347		1,113
OTP Bank	93,422		2,578

			3,769


India — 1.1%
Apollo Tyres	8,123		10
Aurobindo Pharma	8,540		169
Bank of Baroda	27,204		344
Bank of India	195,086		1,411
Bank of Maharashtra	79,790		85
Bharat Petroleum	20,860		255
Birla	14,280		112
Cairn India *	359,217		2,073
Container of India	7,378		193
Dena Bank	53,180		93
Dr Reddys Laboratories	21,860		542
GAIL India	252,375		2,183
Grasim Industries	4,410		258
Great Eastern Shipping	16,536		94
Gujarat Alkalies & Chemicals	13,610		40
Gujarat Flourochemicals	3,780		12
Gujarat Narmada Valley Fertilizers	28,820		67
Gujarat State Fertilisers & Chemicals	14,780		62
HDFC Bank	98,920		3,658
Hero Honda Motors	43,676		1,684
Hindalco Industries	160,000		564
Hindustan Zinc	32,660		796
IDBI Bank	60,307		156
India Cements	623,293		1,590
Indian Bank	79,610		283
Infosys Technologies	59,580		3,362
Mahindra & Mahindra	25,000		546
Mangalore Refinery & Petrochemicals	271,970		437
Maruti Udyog	15,590		494
Nagarjuna Construction	327,626		1,099
Oil & Natural Gas	37,270		904
Patni Computer Systems ADR	7,700		160
Patni Computer Systems	107,969		1,112
Power Finance	210,298		1,142
Reliance Industries GDR (B)	78,759		3,340
Reliance Industries	9,810		208
Shipping Corp of India	33,186		103
State Bank of India GDR	4,006		346
Steel Authority of India	127,330		603
Sterlite Industries India	175,260		2,973
Syndicate Bank	96,850		176
Tata Consultancy Services	112,292		1,856
Tata Power	20,660		544
Tata Steel	54,890		684


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
UCO Bank	101,860	$	125
Union Bank of India	77,920		432
Welspun-Gujarat Stahl	153,049		798
Zee Entertainment Enterprises	238,780		1,279

			39,457


Indonesia — 0.4%
Adaro Energy (G)	1,880,000		371
Astra International (G)	824,500		3,207
Bank Mandiri (G)	5,504,500		2,645
Bank Rakyat Indonesia (G)	1,490,500		1,144
Gudang Garam	98,000		273
HM Sampoerna (G)	17,500		25
Indocement Tunggal Prakarsa (G)	1,143,920		1,683
Perusahaan Gas Negara (G)	302,000		118
Telekomunikasi Indonesia (G)	3,138,300		2,803
United Tractors (G)	278,000		513

			12,782


Ireland — 0.7%
Accenture, Cl A	81,100		3,242
Covidien	216,900		10,654
CRH ADR	316,500		7,346
DCC	17,500		461
Experian	141,421		1,307
Kerry Group, Cl A	30,425		965

			23,975


Israel — 1.0%
Bank Hapoalim * (G)	821,418		3,438
Bank Leumi Le-Israel (G)	184,836		790
Bezeq Israeli Telecommunication (G)	430,049		1,118
Check Point Software Technologies *	54,280		1,770
Delek Group (G)	270		60
Discount Investment (G)	9,900		253
First International Bank of Israel * (G)	10,000		176
Formula Systems 1985 * (G)	6,000		74
Israel Discount Bank, Cl A * (G)	615,825		1,358
Israel Land Development (G)	10,616		68
Koor Industries (G)	3,500		95
Makhteshim-Agan Industries (G)	54,450		280
Mizrahi Tefahot Bank * (G)	28,000		247
Teva Pharmaceutical Industries ADR	392,680		23,565
Teva Pharmaceutical Industries (G)	52,400		3,146
Union Bank of Israel * (G)	24,120		122

			36,560


Italy — 1.4%
ACEA	50,475		514
Amplifon	54,260		272
Assicurazioni Generali	8,839		201
Atlantia	83,914		1,940
Autogrill	32,007		398
Banca Intesa	1,662,501		5,859
Banca Intesa RNC	374,589		1,013
Banca Popolare di Milano	102,000		602
CIR-Compagnie Industriali Riunite	73,639		154
Danieli & C Officine Meccaniche	12,488		287
Edison	402,547		560


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Enel	2,517,096	$	13,680
ENI	185,013		4,184
Esprinet	15,215		157
Fiat	194,390		2,051
Finmeccanica	109,984		1,425
Iride	65,192		115
Italmobiliare	1,712		63
Luxottica Group	10,685		280
Mediaset	470,460		3,570
Mediolanum	60,042		341
Parmalat	345,954		875
Prysmian	8,926		154
Saipem	4,786		159
Saras	1,007,175		2,317
Snam Rete Gas	163,296		774
Telecom Italia	3,788,233		5,139
Terna Rete Elettrica Nazionale	195,895		807
UniCredito Italiano	77,127		195

			48,086


Japan — 12.3%
77 Bank	160,359		873
ABC-Mart	1,900		63
Advantest	16,100		382
Aeon	81,700		840
Aeon Fantasy	5,800		68
Aichi Bank	1,200		89
Aichi Machine Industry	1,000		4
Aichi Steel	15,000		62
Aida Engineering	1,000		3
Air Water	20,000		234
Aisan Industry	200		2
Aisin Seiki	9,400		247
Ajinomoto	184,000		1,874
Alfresa Holdings	7,500		310
Alpen	4,700		74
Alpine Electronics	11,900		144
Alps Electric	97,428		573
AOKI Holdings	4,000		48
Aoyama Trading	7,700		126
Arnest One	31,300		303
Asahi Breweries	111,100		2,130
Asahi Glass	816,866		8,154
Asahi Kasei	77,000		401
Astellas Pharma	211,000		7,942
Bank of Nagoya	23,000		88
Bank of Yokohama	221,796		1,111
Belluna	4,750		20
BML	700		18
Brother Industries	44,200		503
Canon	140,900		5,859
Canon Finetech	1,100		17
Canon Marketing Japan	16,500		219
Cawachi	9,100		183
Central Japan Railway	220		1,666
Chiba Bank	169,574		1,032
Chiba Kogyo Bank *	5,600		42
Chubu Electric Power	43,200		1,145
Chuetsu Pulp & Paper	22,000		40
Chugai Pharmaceutical	43,704		843
Circle K Sunkus	3,200		40
Cleanup	5,300		42


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Corona	700	$	9
Crescendo Investment, Cl A ‡	39		52
Dai Nippon Printing	148,268		1,961
Daicel Chemical Industries	305,219		2,044
Daihatsu Motor	46,000		440
Daiichi Kigenso Kagaku-Kogyo	2,600		99
Daiichi Sankyo	184,700		3,737
Daiichikosho	18,200		246
Daikin Industries	7,700		296
Daikyo	145,000		267
Dainippon Screen Manufacturing	197,322		904
Dainippon Sumitomo Pharma	59,700		585
Daiwa House Industry	224,000		2,400
Daiwa Securities Group	154,000		761
DCM Japan Holdings	3,500		20
Dena	60		466
Denki Kagaku Kogyo	388,000		1,568
Denso	26,500		718
Dentsu	52,700		1,252
Disco	10,406		573
eAccess	119		96
East Japan Railway	87,200		6,005
EDION	8,700		92
Eighteenth Bank	5,000		15
Eisai	4,600		179
Eizo Nanao	1,300		32
Elpida Memory *	176,432		3,155
Fanuc	61,600		6,017
Fast Retailing	22,800		3,848
Fuji Heavy Industries	120,000		547
FUJIFILM Holdings	262,055		8,334
Fujikura	21,000		111
Fujitec	3,000		16
Fujitsu	1,143,000		7,422
Fujitsu ADR	126,100		4,123
Fukuda Denshi	1,900		47
Fukuoka Financial Group	488,000		1,796
Fukuyama Transporting	12,000		59
Funai Electric	3,300		142
Furukawa Electric	170,000		823
Furuno Electric	4,100		18
GS Yuasa	4,000		28
Hakuhodo DY Holdings	3,170		155
Hankyu Hanshin Holdings	65,000		312
Heiwa	5,600		59
Heiwa Real Estate	2,000		6
Heiwado	5,700		73
Higashi-Nippon Bank	20,000		39
Hikari Tsushin	7,800		136
HI-LEX	4,300		48
Hino Motors	845,000		3,148
Hisamitsu Pharmaceutical	1,600		58
Hitachi	1,312,000		4,326
Hitachi Chemical	29,400		602
Hitachi Construction Machinery	30,500		624
Hitachi High-Technologies	5,000		102
Hokuhoku Financial Group	328,000		690
Honda Motor	517,470		17,935
Hosiden	7,800		94
Hoya	85,900		2,152
Hyakugo Bank	8,000		37
Ibiden	27,943		941


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Idemitsu Kosan	3,900	$	286
IHI	17,000		31
Inaba Denki Sangyo	600		14
Inpex	242		1,770
Isuzu Motors	28,000		70
Itochu	238,000		1,918
Itochu Enex	24,000		117
Itochu-Shokuhin	1,300		44
Japan Digital Laboratory	2,500		27
Japan Tobacco	1,905		6,913
JFE Holdings	187,306		6,966
JGC	10,000		188
JS Group	50,300		991
JSR	92,400		1,809
JTEKT	8,000		84
Jupiter Telecommunications	504		591
Kaken Pharmaceutical	4,000		35
Kandenko	70,000		441
Kaneka	97,000		579
Kansai Electric Power	8,900		211
Kansai Paint	71,000		575
Kao	3,100		79
Kasumi	6,800		35
Kato Sangyo	7,500		123
KDDI	467		2,491
Keihin Electric Express Railway	12,000		98
Keio	32,000		214
Keisei Electric Railway	63,000		376
Kikkoman	7,000		83
Kinden	29,000		255
Kirin Holdings	190,378		2,627
Kobe Steel	506,000		922
Kohnan Shoji	3,600		41
Koito Manufacturing	32,000		403
Komatsu	436,200		8,757
Konica Minolta Holdings	72,000		745
Kubota	78,000		687
Kuraray	117,500		1,507
Kyocera	46,800		4,166
Kyoei Steel	4,500		83
Kyorin	29,290		439
Kyowa Hakko Kirin	2,000		21
Kyudenko	11,000		65
Lintec	8,800		166
Mabuchi Motor	7,000		382
Maeda	19,000		59
Maeda Road Construction	38,000		322
Makita	85,023		2,722
Mars Engineering	300		6
Marubeni	1,336,819		7,988
Marubun	11,700		67
Marudai Food	2,000		6
Marui Group	34,200		232
Maruichi Steel Tube	5,400		107
Maxvalu Nishinihon	2,700		40
Mazda Motor	220,000		579
Mediceo Paltac Holdings	77,100		912
MEIJI Holdings	10,500		422
Mie Bank	13,000		34
Mikuni Coca-Cola Bottling	4,600		36
Minebea	57,000		311
Miraca Holdings	16,800		509


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Mitsubishi	543,266	$	13,572
Mitsubishi Chemical Holdings	170,000		771
Mitsubishi Electric	49,000		402
Mitsubishi Heavy Industries	142,000		527
Mitsubishi Rayon	165,000		700
Mitsubishi UFJ Financial Group	3,113,286		15,730
Mitsui ADR	26,800		8,375
Mitsui	625,830		9,712
Mitsui Chemicals	298,000		818
Mitsui Engineering & Shipbuilding	480,000		1,134
Mitsui Home	11,000		59
Mitsui Mining & Smelting	35,000		96
Mitsui OSK Lines	402,000		2,592
Mitsui Sumitomo Insurance Group Holdings	50,100		1,285
Mitsumi Electric	2,200		42
Mizuho Securities	47,000		139
Mizuho Trust & Banking	50,000		48
Morinaga Milk Industry	26,000		108
Murata Manufacturing	49,215		2,608
Nafco	2,700		50
Nagase	53,000		615
Nakanishi	700		66
Namco Bandai Holdings	36,400		337
NEC	300,000		834
NEC Fielding	4,000		54
NEC Mobiling	500		13
NEC Networks & System Integration	30,600		363
NET One Systems	58		61
NGK Insulators	68,000		1,467
NGK Spark Plug	6,000		71
NHK Spring	109,000		900
Nidec	50,700		4,924
Nihon Yamamura Glass	31,000		103
Nikon	184,500		4,059
Nippo	33,000		260
Nippon Beet Sugar Manufacturing	14,000		37
Nippon Building Fund, Cl A ‡	16		142
Nippon Electric Glass	339,517		4,409
Nippon Express	125,000		515
Nippon Flour Mills	65,000		335
Nippon Konpo Unyu Soko	4,000		45
Nippon Meat Packers	8,000		98
Nippon Mining Holdings	74,000		369
Nippon Oil	217,000		1,162
Nippon Paper Group	11,200		286
Nippon Shokubai	17,000		147
Nippon Steel	73,000		273
Nippon Steel Trading	9,000		15
Nippon Synthetic Chemical Industry	20,000		129
Nippon Telegraph & Telephone	201,600		8,779
Nishi-Nippon City Bank	60,000		162
Nissan Chemical Industries	53,000		713
Nissan Motor	1,784,780		14,160
Nissan Shatai	17,000		131
Nissha Printing	2,400		85
Nisshin Seifun Group	17,500		231
Nissin Food Products	4,400		152
Nissin Healthcare Food Service	900		12
Nitori	15,900		1,274


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Nittetsu Mining	11,000	$	48
Nitto Denko	83,200		3,066
Noevir	300		3
Nojima	3,545		31
NOK	5,600		78
Nomura Holdings	77,400		571
Noritsu Koki	8,200		51
NS Solutions	4,200		66
NSK	231,000		1,627
NTN	27,000		112
NTT Data	245		761
NTT DoCoMo	1,437		2,222
Obic	4,000		700
Okinawa Electric Power	2,000		110
Okuwa	5,000		48
Olympus	92,700		2,862
Omron	80,329		1,750
Ono Pharmaceutical	3,100		143
Oracle Japan	8,300		384
ORIX	19,918		1,528
Osaka Gas	444,000		1,609
Osaka Steel	13,600		207
Panasonic	226,900		3,153
Panasonic Electric Works	108,000		1,259
Plenus	3,300		46
Prospect Reit Investment ‡	40		33
Rakuten	1,518		1,170
Ricoh	67,000		930
Rinnai	8,600		454
Rohm	21,000		1,434
Roland	2,100		21
Sakai Chemical Industry	21,000		92
San-Ai Oil	3,000		12
San-In Godo Bank	20,000		158
Sanki Engineering	28,000		195
Sankyo	7,000		338
Sanoyas Hishino Meisho	12,400		62
Santen Pharmaceutical	23,245		747
Sapporo Hokuyo Holdings	429,400		1,885
Sazaby League	1,900		29
SBI Holdings	812		145
Secom	3,100		142
Sega Sammy Holdings	58,800		726
Seika	23,000		51
Seiko Epson	26,600		450
Seino Holdings	100,000		706
Sekisui House	59,000		576
Sekisui Jushi	3,000		26
Senshu Ikeda Holdings *	216,600		529
Seven & I Holdings	75,300		1,698
Sharp	163,000		1,889
Shimamura	7,700		671
Shimano	12,400		540
Shinmaywa Industries	23,000		76
Shinsei Bank	182,000		205
Shionogi	170,900		3,491
Shiseido	94,300		2,090
Showa Denko	144,000		292
Sinanen	2,000		9
Sintokogio	20,100		145
SKY Perfect JSAT Holdings	11		5
Softbank	23,100		605


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Sohgo Security Services	5,000	$	57
Sojitz	404,400		719
So-net Entertainment	26		68
Sony	213,700		7,335
SRI Sports	33		31
Stanley Electric	24,100		443
Sumikin Bussan	19,000		41
Sumisho Computer Systems	6,700		91
Sumitomo	282,411		3,076
Sumitomo Electric Industries	237,133		2,850
Sumitomo Heavy Industries	252,760		1,308
Sumitomo Metal Mining	135,000		1,917
Sumitomo Mitsui Financial Group	222,509		7,151
Sumitomo Realty & Development	9,000		160
Sumitomo Rubber Industries	4,600		37
Sumitomo Trust & Banking	313,000		1,768
Suzuken	17,600		582
Suzuki Motor	40,500		861
Sysmex	10,500		624
T&D Holdings	27,950		603
Tadano	5,000		24
Taisei	36,000		75
Taiyo Nippon Sanso	91,000		827
Takata	1,800		40
Takeda Pharmaceutical	75,100		3,402
Tanabe Seiyaku	58,000		856
TDK	35,116		2,165
Teijin	186,000		546
Tenma	1,800		20
Terumo	18,000		976
TKC	3,300		61
Toagosei	2,000		8
TOC	500		2
Toei	13,000		66
Toho Gas	126,000		689
Tohoku Electric Power	29,500		642
Tohokushinsha Film	5,200		30
Tokuyama	2,000		11
Tokyo Broadcasting System HD	19,400		280
Tokyo Electron	36,478		2,254
Tokyo Energy & Systems	14,000		90
Tokyo Gas	384,000		1,672
Tokyo Style	4,000		28
Tokyo Tekko	30,000		92
Tokyu Land	62,000		224
Toppan Forms	10,400		113
Toppan Printing	133,000		1,155
Topre	1,200		9
Topy Industries	33,000		60
Tosei	57		14
Toshiba	177,000		886
Toshiba TEC	159,000		617
Tosoh	75,000		180
Toyo Kohan	11,000		60
Toyo Seikan Kaisha	53,000		866
Toyo Suisan Kaisha	51,540		1,436
Toyoda Gosei	49,300		1,278
Toyota Auto Body	10,600		167
Toyota Boshoku	23,400		404
Toyota Industries	16,200		426
Toyota Motor	404,406		15,154
Toyota Tsusho	38,800		557


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Tri-Stage *	2,200	$	68
Tsumura	2,800		86
Tsuruha Holdings	15,000		581
TV Asahi	137		212
Unicharm	28,300		2,713
UNY	30,000		235
USS	4,540		294
Valor	6,600		54
VITAL KSK HOLDINGS	200		1
Warabeya Nichiyo	6,500		80
Watabe Wedding	9,200		115
West Japan Railway	233		819
Yahoo! Japan	443		166
Yakult Honsha	61,985		1,885
Yamada Denki	39,110		2,729
Yamaguchi Financial Group	32,000		350
Yamaha Motor	278,200		3,697
Yamato Holdings	60,800		810
Yaskawa Electric	78,000		616
Yokogawa Electric	64,900		534
Yokohama Rubber	32,000		138
Yurtec	9,000		42

			429,458


Jersey — 0.0%
Randgold Resources	4,236		302


Kazakhstan — 0.1%
Halyk Savings Bank of Kazakhstan JSC GDR *	33,244		328
KazMunaiGas Exploration Production GDR	76,995		1,858

			2,186


Macau — 0.0%
Sands China *	68,400		97


Malaysia — 0.5%
Affin Holdings (G)	88,200		69
CIMB Group Holdings (G)	1,959,900		7,498
Hong Leong Bank (G)	293,133		723
Hong Leong Financial Group (G)	94,700		214
KLCC Property Holdings (G)	103,700		100
OSK Holdings (G)	150,125		54
PPB Group (G)	105,300		501
Proton Holdings * (G)	233,700		278
Public Bank (G)	924,018		3,012
Public Bank (Foreign Market) (G)	77,200		252
RHB Capital (G)	474,500		736
Telekom Malaysia (G)	2,081,500		1,992
Tenaga Nasional (G)	316,000		739
Titan Chemicals (G)	324,000		119

			16,287


Mauritius — 0.0%
Golden Agri-Resources	3,259,790		1,229


Mexico — 1.5%
Alfa, Cl A	136,637		920


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
America Movil, Ser L	2,826,022	$	6,294
America Movil ADR, Ser L	161,850		7,214
Bolsa Mexicana de Valores *	644,513		923
Cemex ADR *	160,200		1,531
Coca-Cola Femsa ADR	192,200		12,341
Coca-Cola Femsa, Ser L	101,300		657
Desarrolladora Homex ADR *	20,119		550
Desarrolladora Homex *	7,500		34
Embotelladoras Arca	181,700		595
Fomento Economico Mexicano	306,836		1,320
GEO *	79,300		234
Grupo Aeroportuario del Pacifico, Ser B, Cl B	27		—
Grupo Carso, Ser A1	214,400		763
Grupo Financiero Banorte, Ser O *	724,555		2,715
Grupo Lamosa *	17,900		19
Grupo Mexico, Ser B	611,500		1,455
Grupo Simec, Ser B, Cl B *	104,100		263
Grupo Televisa ADR	80,100		1,479
Grupo Televisa	366,836		1,357
Kimberly-Clark de Mexico, Cl A	158,500		841
Telmex Internacional, Cl L	764,800		697
Urbi Desarrollos Urbanos *	1,090,632		2,456
Wal-Mart de Mexico	1,529,400		7,597

			52,255


Netherlands — 3.8%
Aegon	89,275		564
Akzo Nobel	75,589		3,852
ArcelorMittal	47,166		1,800
ASML Holding	131,455		4,038
Boskalis Westminster	16,734		540
Corio ‡	4,304		267
CSM	37,565		1,000
European Aeronautic Defense and Space	258,418		5,345
Fugro	11,303		658
Heineken	38,034		1,872
Heineken Holding	42,801		1,750
ING Groep	691,820		6,198
James Hardie Industries	132,770		885
Koninklijke Ahold	114,511		1,406
Koninklijke DSM	95,048		3,978
Koninklijke Philips Electronics	522,034		15,296
Koninklijke Vopak *	37,177		2,740
Nutreco Holding	868		52
Ordina	15,291		97
Plaza Centers	534,305		1,045
QIAGEN *	1,878		41
Randstad Holding	36,328		1,524
Royal Dutch Shell, Cl A	516,194		14,100
Royal Dutch Shell ADR, Cl A	204,000		11,167
Royal Dutch Shell, Cl A (GBP)	257,679		7,022
Royal Dutch Shell, Cl B	341,208		8,916
Royal KPN	790,793		12,627
SBM Offshore	117,047		2,082
TNT	136,079		3,530
Unilever	576,641		17,391

			131,783


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Netherlands Antilles — 0.2%
Schlumberger	91,350	$	5,582


New Zealand — 0.1%
Air New Zealand	135,000		122
Fletcher Building	178,224		987
Telecom of New Zealand	1,172,169		1,907

			3,016


Norway — 1.1%
Aker Kvaerner	170,500		2,257
Atea	10,600		87
DnB	577,010		6,267
Marine Harvest *	1,773,808		1,549
Norsk Hydro	14,800		100
Petroleum Geo-Services *	1,286		16
Seadrill	168,200		3,868
Statoil ADR	482,900		10,851
Statoil	296,866		6,655
Telenor	560,574		7,085
Yara International	22,700		935

			39,670


Pakistan — 0.0%
Oil & Gas Development	747,425		1,026
Pakistan Telecommunication	1,439,600		342

			1,368


Panama — 0.2%
Copa Holdings, Cl A	100,700		5,477


Papua New Guinea — 0.0%
Lihir Gold	159,900		379


Philippines — 0.0%
Philippine Long Distance Telephone ADR	12,317		693
Philippine Long Distance Telephone	13,520		762
San Miguel, Cl B	5,000		8

			1,463


Poland — 0.1%
Bank Zachodni WBK	10,955		664
Cyfrowy Polsat	94,076		469
Gant Development *	8,467		54
Getin Holding *	31,631		99
KGHM Polska Miedz	15,600		521
Kopex *	3,723		29
Netia *	107,362		177
Polish Oil & Gas	345,000		424
Polski Koncern Naftowy Orlen	125,817		1,427
Synthos *	159,000		74

			3,938


Portugal — 0.2%
Banco Comercial Portugues, Cl R	849,908		863


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Banco Espirito Santo	323,652	$	1,616
Brisa Auto-Estradas de Portugal	56,546		454
Cimpor Cimentos de Portugal	57,448		425
Energias de Portugal	354,027		1,302
Inapa-Invest Particip Gesta *	122,900		106
Jeronimo Martins	126,413		1,216
Portugal Telecom	256,117		2,702

			8,684


Russia — 1.0%
Alliance Oil *	87,777		1,234
Gazprom OAO ADR	358,195		7,966
Globaltrans Investment GDR *	186,743		2,147
Integra Group Holdings GDR *	161,515		509
LSR Group GDR *	50,995		405
Lukoil ADR	111,213		5,915
Magnit OAO GDR	55,970		711
Magnitogorsk Iron & Steel Works GDR	73,747		973
MMC Norilsk Nickel ADR *	113,077		1,706
Mobile Telesystems ADR	32,890		1,722
Novolipetsk Steel GDR	5,037		156
Novorossiysk Commercial Sea Port GDR	21,045		232
Rosneft Oil GDR	215,298		1,650
Sberbank GDR	4,234		1,150
Sistema GDR	1,800		46
Surgutneftegaz ADR	97,969		800
Tatneft ADR	26,900		819
Uralkali GDR	51,247		1,074
Vimpel-Communications ADR	172,400		3,198
VTB Bank GDR	280,878		1,354

			33,767


Singapore — 1.0%
Ascendas Real Estate Investment Trust ‡	194,000		266
CapitaCommercial Trust ‡	946,527		727
CapitaLand	39,000		105
CapitaMall Trust ‡	564,217		711
CapitaMalls Asia *	45,800		74
City Developments	43,000		315
ComfortDelgro	94,000		104
DBS Group Holdings	404,261		4,026
Fortune Real Estate Investment Trust ‡	26,000		11
Fraser and Neave	234,000		709
GigaMedia *	26,761		77
Hi-P International, Cl P	24,000		11
Ho Bee Investment	71,000		84
Hong Leong Asia	38,000		100
Jardine Cycle & Carriage	108,144		1,868
Keppel	134,000		802
Olam International	1,732,223		2,995
OSIM International	212,000		113
Oversea-Chinese Banking	736,385		4,448
SembCorp Industries	386,000		1,035


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
SIA Engineering	102,000	$	254
Singapore Airlines	290,841		3,079
Singapore Airport Terminal Services	135,000		251
Singapore Exchange	31,000		170
Singapore Press Holdings	244,000		644
Singapore Technologies Engineering	256,000		570
Singapore Telecommunications	636,671		1,381
Starhill Global REIT, Cl REIT ‡	61,000		23
United Overseas Bank	159,000		2,108
UOB-Kay Hian Holdings	193,000		218
UOL Group	194,000		549
Venture	14,000		84
Wheelock Properties Singapore	29,000		39
Wilmar International	1,487,000		6,876

			34,827


South Africa — 1.1%
ABSA Group	98,232		1,702
African Bank Investments	279,423		1,129
African Rainbow Minerals	2,215		53
AngloGold Ashanti	3,936		142
ArcelorMittal South Africa	1,000		15
Assore	1,000		94
AST Group	422,010		67
Aveng	56,000		273
Barloworld	145,907		769
DataTec	24,000		96
Gold Fields	180,303		2,090
Grindrod	514,961		988
Group	278,930		4,072
Harmony Gold Mining	136,683		1,232
Iliad Africa	36,000		39
Impala Platinum Holdings	133,985		3,284
Imperial Holdings	11,049		135
Investec	51,000		362
Medi-Clinic	60,000		209
Mondi	256,863		1,475
Mr Price Group	182,555		918
Naspers, Cl N	2,652		100
Nedbank Group	31,000		485
Northam Platinum	36,000		209
Sanlam	210,000		669
Sappi	282,330		1,087
Sasol	66,513		2,447
Sasol ADR	297,400		10,894
Standard Bank Group	94,000		1,318
Steinhoff International Holdings *	86,473		216
Wilson Bayly Holmes-Ovcon	6,000		85

			36,654


South Korea — 2.7%
CJ	2,536		150
Daewoo Shipbuilding & Marine Engineering	67,870		1,179
Daou Technology	14,800		96
GS Home Shopping	1,220		77
Hana Financial Group	138,970		4,014
Hanwha Chemical	18,390		242
Hyundai Development	25,720		741


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Hyundai Engineering & Construction	27,554	$	1,423
Hyundai Motor	56,046		5,557
Hyundai Steel	30,390		2,327
KISCO Holdings	4,036		198
KISWIRE	1,860		55
Korea Development Financing	1,180		32
Korea Electric Power	36,690		1,173
Korea Zinc	2,050		323
Korean Air Lines *	30,836		1,545
KT	126,020		4,846
Kyeryong Construction Industrial	900		15
LG	91,967		4,837
LG Chemical	6,370		1,180
LG Electronics	31,310		2,888
LG Hausys	1,304		129
LG Telecom	1,921		13
LG.Philips LCD	189,190		5,644
MegaStudy	5,862		1,048
POSCO ADR	61,600		7,112
POSCO	8,593		3,927
Samsung Electronics	30,589		19,621
Samsung Fire & Marine Insurance	7,260		1,155
SeAH Holdings	317		16
Shinhan Financial Group	93,180		3,330
Shinsegae	7,081		3,236
SK Holdings	49,626		3,697
SK Telecom ADR	490,800		8,186
Woori Finance Holdings	248,010		2,790
Woori Investment & Securities	20,700		265
Youngone Holdings	3,524		91

			93,158


Spain — 1.9%
Abertis Infraestructuras	21,666		409
Acerinox (A)	13,500		231
Banco Bilbao Vizcaya Argentaria (A)	583,309		7,602
Banco Bilbao Vizcaya Argentaria ADR *	549,200		7,112
Banco de Sabadell	53,650		260
Banco Pastor	8,016		50
Banco Popular Espanol (A)	79,094		525
Banco Santander	4,786		62
Banco Santander Central Hispano	1,465,576		19,099
Bankinter (A)	79,810		653
Construcciones y Auxiliar de Ferrocarriles	550		309
Enagas	8,698		182
Ferrovial	129,878		1,147
Fomento de Construcciones y Contratas	11,100		373
Gas Natural	162,132		2,980
Gestevision Telecinco	25,730		341
Inditex	21,999		1,300
Mapfre	213,199		770
Red Electrica	45,935		2,317
Repsol	92,127		2,092
Telefonica	828,328		19,494

			67,308


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Sweden — 1.2%
Acando	10,251	$	19
Alfa Laval	106,994		1,521
Assa Abloy, Cl B	90,891		1,710
Atlas Copco, Cl B	9,901		128
Atlas Copco, Cl A	66,660		946
Billerud	13,219		93
Electrolux, Cl B	269,444		5,736
Getinge, Cl B	36,142		835
Hennes & Mauritz, Cl B	156,225		9,500
Nordea Bank	231,899		2,269
Sandvik	21,835		236
Skanska, Cl B	81,568		1,352
SKF, Cl B	64,418		1,020
Svenska Cellulosa, Cl B	523,770		7,762
Svenska Handelsbanken, Cl A	32,786		897
Swedbank	99,248		950
Swedish Match	27,394		625
Tele2, Cl B	48,236		719
Telefonaktiebolaget LM Ericsson, Cl B	163,046		1,635
TeliaSonera	485,373		3,368
Trelleborg, Cl B	15,822		102

			41,423


Switzerland — 5.5%
Actelion *	21,636		1,104
Adecco	95,421		4,750
Baloise Holding	23,061		1,986
Banque Cantonale Vaudoise	2,182		973
Clariant	80,955		878
Compagnie Financiere Richemont	96,371		3,254
Credit Suisse Group (A)	192,686		8,568
EGL	83		64
Geberit	12,565		2,154
Givaudan	1,029		847
Helvetia Holding	2,150		683
Holcim	152,785		10,119
Julius Baer Group	210,331		6,552
Kuehne + Nagel International	2,704		246
Lindt & Spruengli	310		739
Logitech International *	195,865		3,020
Nestle	772,559		38,491
Nobel Biocare Holding	31,200		795
Novartis	626,731		34,906
Pargesa Holding	1,775		139
PSP Swiss Property	4,241		252
Roche Holding	138,203		23,111
Schindler Holding	19,494		1,557
Sonova Holding	15,714		1,963
STMicroelectronics	30,664		266
Straumann Holding	2,340		571
Sulzer	3,147		282
Swatch Group, Cl B	18,020		5,017
Swatch Group	39,822		2,116
Swiss Life Holding	15,717		1,984
Swiss Reinsurance	22,062		993
Swisscom	17,804		6,126
Syngenta	5,214		1,351
Synthes	7,700		919


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Temenos Group *	21,622	$	544
UBS	178,853		2,469
Valora Holding	300		67
Xstrata	541,969		8,498
Zurich Financial Services	51,829		12,513

			190,867


Taiwan — 2.0%
Acer	740,990		2,079
Advanced Semiconductor Engineering	1,909,005		1,518
Asustek Computer	551,000		972
AU Optronics	1,020,000		1,049
Cathay Financial Holding	854,000		1,377
Cheng Loong	194,000		72
China Bills Finance	312,000		90
China Metal Products	52,000		67
Chinatrust Financial Holding	4,375,797		2,374
Chunghwa Telecom	2,193,890		4,090
Compal Electronics	576,000		826
CTCI	118,000		117
Elitegroup Computer Systems	203,000		81
Far Eastern Textile	990,720		1,072
Formosa Chemicals & Fibre	244,000		552
Fubon Financial Holding	4,198,000		4,647
Gigabyte Technology	118,000		108
High Tech Computer	168,650		1,704
HON HAI Precision Industry	1,621,458		6,421
Inventec	433,000		237
Jean *	177,000		95
Lite-On Technology	428,000		551
Long Bon International	157,000		88
Macronix International	761,000		408
MediaTek	477,616		7,520
Mega Financial Holding	1,308,000		724
POU Chen	542,000		400
Prime View International	460,000		905
Quanta Computer	367,000		750
Siliconware Precision Industries ADR	768,700		4,489
Siliconware Precision Industries	542,172		630
Taishin Financial Holding	4,357,659		1,467
Taiwan Fertilizer	913,000		2,761
Taiwan Semiconductor Manufacturing	3,667,925		6,725
Taiwan Semiconductor Manufacturing ADR	757,555		7,386
United Microelectronics ADR	653,300		2,241
United Microelectronics	3,673,000		1,769
Universal Scientific Industrial	200,000		122
Wistron	354,000		607

			69,091


Thailand — 0.7%
Advanced Info Service	426,400		1,135
Airports of Thailand	70,000		82
Bangkok Bank	623,600		2,197
Bangkok Bank NVDR	518,800		1,828
Bank of Ayudhya	3,209,400		1,990
Bumrungrad Hospital	928,400		870
Charoen Pokphand Foods	2,165,800		806
Glow Energy	913,855		919


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Kasikornbank	958,184	$	2,507
Krung Thai Bank	6,025,900		1,823
Krung Thai Bank NVDR	672,000		203
PTT NVDR	125,000		877
Siam Cement	205,000		1,383
Siam City Bank	394,800		358
Siam Commercial Bank	2,153,700		5,471
Thanachart Capital	713,600		434
Total Access Communication	827,300		869

			23,752


Turkey — 1.0%
Akbank	111,000		562
Aksa Akrilik Kimya Sanayii *	39,000		57
Anadolu Efes Biracilik Ve Malt Sanayii	60,626		614
Arcelik	553,608		1,868
Cimsa Cimento Sanayi VE Tica	259,243		1,337
Eczacibasi Ilac Sanayi	65,000		110
Ford Otomotiv Sanayi	183,008		1,098
Haci Omer Sabanci Holding	1,110,068		4,213
KOC Holding *	391,260		1,168
Sekerbank *	48,000		70
Tekfen Holding *	261,556		848
Tupras Turkiye Petrol Rafine	144,287		2,621
Turk Hava Yollari	15,345		49
Turk Sise ve Cam Fabrikalari	1,367,215		1,596
Turkcell Iletisim Hizmet ADR	217,200		3,217
Turkcell Iletisim Hizmet	1,138,468		6,684
Turkiye Garanti Bankasi	745,023		2,755
Turkiye Sinai Kalkinma Bankasi *	1,351,314		1,754
Turkiye Vakiflar Bankasi Tao, Cl D	1,640,480		3,746

			34,367


United Kingdom — 14.2%
3i Group	396,485		1,588
Acergy	53,600		883
Admiral Group	27,920		527
Aegis Group	263,977		468
Aggreko	12,040		179
Amlin	111,599		671
Anglo American	287,837		10,473
Antofagasta	55,559		747
ARM Holdings	1,334,922		4,142
Arriva	1,032		8
Associated British Foods	71,838		1,039
AstraZeneca ADR	253,200		11,171
AstraZeneca	614,464		26,974
Autonomy *	42,286		985
Aviva	754,735		4,485
BAE Systems ADR	347,700		7,945
BAE Systems	228,000		1,299
Balfour Beatty	90,743		381
Barclays	2,579,902		12,274
BG Group	289,388		5,044
BHP Billiton	492,145		15,037
BP	4,844,080		42,677
British Airways	12,111		39
British American Tobacco ADR	125,800		8,542
British American Tobacco	871,768		29,589
British Sky Broadcasting Group	694,333		5,750
BT Group, Cl A	2,257,863		3,949


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Bunzl	35,431	$	367
Burberry Group	104,633		996
Cairn Energy *	330,397		1,682
Cape *	122,741		413
Carnival	217,217		8,205
Carphone Warehouse Group	90,635		256
Catlin Group	148,476		784
Centrica	217,193		925
Charter International	73,253		742
Cobham	174,779		643
Compass Group ADR	1,115,800		8,402
Compass Group	102,869		764
Cookson Group *	112,789		790
Dairy Crest Group	27,800		152
Delta	27,337		66
Diageo	79,625		1,290
Diageo ADR	121,100		7,905
Dimension Data Holdings	8,000		11
Drax Group	77,379		471
DS Smith	173,654		307
easyJet *	507,721		3,201
Eurasian Natural Resources	92,070		1,440
Firstgroup	212,578		1,151
Fresnillo	42,177		482
GlaxoSmithKline	592,238		10,946
GlaxoSmithKline ADR	302,800		11,246
Group 4 Securicor	63,558		262
Hamworthy	22,253		101
Healthcare Locums	55,412		197
Home Retail Group	280,314		1,088
HSBC Holdings	2,210,593		24,218
ICAP	122,618		608
Imperial Tobacco Group	339,339		10,570
Inchcape	1,582,287		613
Inmarsat	33,946		379
Intercontinental Hotels Group	62,347		873
International Power	225,552		1,114
International Power ADR	80,200		4,001
Invensys	328,145		1,573
Investec	440,176		2,996
ITV	683,940		562
Jardine Lloyd Thompson Group	18,398		138
Kazakhmys	114,439		2,336
Kingfisher	2,548,467		8,341
Land Securities Group‡	16,277		157
Legal & General Group	1,878,527		2,206
Lloyds Banking Group	2,113,623		1,689
LogicaCMG	1,243,214		2,260
London Stock Exchange Group	4,561		46
Man Group	6,446		22
Marks & Spencer Group ADR	356,300		3,598
Marks & Spencer Group	125,910		633
Millennium & Copthorne Hotels	74,000		472
Mondi	29,765		172
National Grid	224,270		2,226
Next	104,011		2,969
Old Mutual	1,177,744		2,033
Pearson ADR	830,400		11,667
Pearson	418,008		5,804
Persimmon	117,958		701
Petrofac	124,692		1,950
Petropavlovsk	404		6


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Prudential ADR	567,200	$	10,493
Prudential	385,421		3,535
QinetiQ	26,011		50
Reckitt Benckiser Group	254,447		13,356
Rexam	626,748		2,663
Rio Tinto	249,804		12,793
Rolls-Royce Group	724,202		6,152
Royal & Sun Alliance Insurance Group	516,298		1,019
SABMiller	499,934		13,091
Sage Group	70,145		253
Schroders	6,541		119
Segro ‡	27,356		132
Serco Group	79,320		668
Severn Trent	39,955		709
Shire	182,538		3,910
Smith & Nephew	508,610		5,215
Smiths Group	44,164		699
Standard Chartered	671,786		15,975
Tesco	1,660,519		10,610
Thomas Cook Group	214,000		768
Tomkins	255,814		750
Travis Perkins	3,705		38
Tullow Oil	45,070		816
Unilever ADR	266,300		7,840
Unilever	49,114		1,439
Vedanta Resources	33,186		1,287
Vodafone Group	6,255,373		13,471
Whitbread	52,194		1,128
William Hill	33,110		98
WM Morrison Supermarkets	489,108		2,223
WPP	742,195		6,825

			497,209


United States — 0.8%
Atlas Pipeline Holdings	11,043		72
Axis Capital Holdings	121,700		3,827
Capital One Financial	74,803		2,824
Central European Distribution *	60,500		2,018
Clearwater Paper *	5,300		256
ConocoPhillips	104,265		5,004
Evraz Group GDR	24,814		829
Gannett	145,100		2,198
Lubrizol	11,374		899
MeadWestvaco	8,600		197
Omnova Solutions *	37,500		229
RenaissanceRe Holdings	70,700		3,914
Seagate Technology	15,302		305
Southern Copper	115,200		3,382
Spartech	10,300		105
Thomson Reuters (CAD)	62,870		2,173

			28,232

Total Common Stock (Cost $2,954,133) ($ Thousands)			3,155,148


PREFERRED STOCK — 1.3%

Brazil — 1.0%
Banco Bradesco	319,460		5,501
Banco Daycoval	17,800		99
Bombril *	10,900		57


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)
Brasil Telecom *	19,600	$	134
Centrais Eletricas Brasileiras, Cl B	36,000		574
Cia Energetica de Minas Gerais	64,500		1,050
Cia Paranaense de Energia	45,000		913
Cia Vale do Rio Doce, Cl A	211,000		5,187
Confab Industrial	93,500		247
Construtora Sultepa	3,000		9
Gerdau	38,901		572
Investimentos Itau	5,100		32
Itau Unibanco Holding	204,072		4,086
Marcopolo	259,000		1,160
NET Servicos de Comunicacao *	67,200		817
Petroleo Brasileiro	495,700		9,468
Randon Participacoes	89,000		739
Tekno Industria e Comercio	434		19
Telecomunicacoes de Sao Paulo	31,300		679
Telemar Norte Leste	5,500		156
Tim Participacoes	425,200		1,211
Universo Online	12,200		65
Usinas Siderurgicas de Minas Gerais, Cl A	15,600		442
Vivo Participacoes	30,000		813

			34,030


Germany — 0.3%
Bayerische Motoren Werke	5,985		183
Draegerwerk	3,838		247
Fresenius	1,645		116
Henkel	159,945		8,259
KSB	304		192
Porsche Automobil Holding	8,187		412
ProSiebenSat.1 Media	94,951		1,386
RWE	6,949		551
Volkswagen	12,569		1,026

			12,372

Total Preferred Stock (Cost $34,912) ($ Thousands)			46,402


MORTGAGE-BACKED SECURITIES — 1.0%

Agency Mortgage-Backed Obligations — 0.3%
FHLMC ARM
5.743%, 03/01/36 (E)	$660		678
5.264%, 10/01/35 (E)	545		569
4.792%, 06/01/35 (E)	574		595
FHLMC CMO, Ser 3335, Cl BF
0.381%, 07/15/19 (E)	347		343
FHLMC CMO, Ser 3336, Cl FA
0.461%, 02/15/19 (E)	790		790
FNMA
6.000%, 07/01/37	549		583
3.755%, 10/01/33 (E)	194		199
3.212%, 08/01/34 (E)	750		767
2.831%, 04/01/34 (E)	348		358
2.787%, 05/01/35 (E)	395		406
FNMA ARM
5.120%, 10/01/35 (E)	880		923
4.515%, 05/01/35 (E)	588		608
4.050%, 05/01/34 (E)	1,263		1,310
2.932%, 10/01/24 (E)	841		858
2.168%, 07/01/34 (E)	1,079		1,105

			10,092


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Non-Agency Mortgage-Backed Obligations — 0.7%
Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1
3.317%, 09/25/35 (D)	$714	$	471
Banc of America Commercial Mortgage, Ser 2005-4, Cl A2
5.522%, 07/10/46	700		721
Banc of America Commercial Mortgage, Ser 2005-4, Cl A2
4.764%, 07/10/45	560		569
Banc of America Commercial Mortgage, Ser 2008-5, Cl A1
5.185%, 09/10/47	335		340
Banc of America Funding, Ser 2006-G, Cl 2A2
0.309%, 07/20/36 (E)	850		831
Banc of America Funding, Ser 2004-5, Cl 1A19
5.250%, 12/20/34	760		758
Banc of America Funding, Ser 2005-2, Cl 1A2
5.500%, 04/25/35	452		445
Banc of America Funding, Ser 2006-A, Cl 2A2
3.469%, 02/20/36 (D)	115		25
Banc of America Mortgage Securities, Ser 2003-9, Cl 1A12
0.679%, 12/25/33 (D)	188		181
BCAP LLC Trust, Ser 2006-RR1, Cl PA
5.000%, 11/25/36	529		534
Bear Stearns Commercial Mortgage Securities, Ser 2005- PWR9, Cl A2
4.735%, 09/11/42	640		644
Chase Mortgage Finance, Ser 2007-A1, Cl 7A1
4.592%, 02/25/37 (D)	501		474
Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A
5.556%, 04/25/37 (D)	1,934		1,313
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A3
5.000%, 09/25/33	195		196
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-5, Cl 2A14
5.000%, 05/25/34	158		154
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-24, Cl A2
4.500%, 07/25/33	616		622
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-13, Cl 2A17
5.750%, 08/25/34	201		201
Credit Suisse First Boston Mortgage Securities, Ser 2001- CF2, Cl A4
6.505%, 02/15/34	483		497


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Credit Suisse First Boston Mortgage Securities, Ser 2003- C3
3.382%, 05/15/38	$43	$	43
Credit Suisse First Boston Mortgage Securities, Ser 2005- C1, Cl A2
4.609%, 02/15/38	214		214
Credit Suisse First Boston Mortgage Securities, Ser 2005- C3, Cl A2
4.512%, 07/15/37	648		648
Credit Suisse First Boston Mortgage Securities, Ser 2005- C4, Cl A2
5.017%, 08/15/38	470		471
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006- AB3, Cl A1
6.250%, 07/25/36 (D)	335		240
DLJ Commercial Mortgage, Ser 2000-CF1, Cl A1B
7.620%, 06/10/33	70		70
DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33	462		468
First Horizon Asset Securities, Ser 2003-9, Cl 1A3
5.500%, 11/25/33	754		750
First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1
6.046%, 11/25/36 (D)	940		729
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A2
4.760%, 08/10/38	394		402
GMAC Mortgage Loan Trust, Ser 2004-J1, Cl A2
5.250%, 04/25/34	518		517
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34	371		368
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A
3.528%, 10/25/34 (D)	65		44
JPMorgan Chase Commercial Mortgage Securities, Ser 2000- C10, Cl A2
7.371%, 08/15/32 (D)	58		58
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.829%, 12/25/34 (D)	247		250
LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2
7.370%, 08/15/26	154		155
LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2
6.510%, 12/15/26	418		427
LB-UBS Commercial Mortgage Trust, Ser 2001-WM, Cl A2
6.530%, 07/14/16 (E)	460		485


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser 2003-C7, Cl A2
4.064%, 09/15/27 (E)	$417	$	420
LB-UBS Commercial Mortgage Trust, Ser 2004-C4, Cl A2
4.567%, 06/15/29 (E)	374		377
Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1
3.927%, 07/25/34 (E)	481		409
Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1
4.008%, 03/25/35 (E)	637		382
Master Alternative Loans Trust, Ser 2003-6, Cl 3A2
5.750%, 09/25/33	384		385
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A2
4.809%, 01/14/42	25		25
Nomura Asset Acceptance, Ser 2004-R1, Cl A1
6.500%, 03/25/34 (E)	248		237
Nomura Asset Acceptance, Ser 2004-R2, Cl A1
6.500%, 10/25/34 (E)	283		266
PNC Mortgage Acceptance, Ser 2000-C1, Cl A2
7.610%, 03/15/33	16		16
PNC Mortgage Acceptance, Ser 2000-C2, Cl A2
7.300%, 10/12/33	268		272
RBSSP Resecuritization Trust, Ser 2009-9, Cl 10A1
0.329%, 10/26/36 (E)	735		718
Residential Asset Securitization Trust, Ser 2003-A1, Cl A2
0.729%, 03/25/33 (E)	201		183
Residential Funding Mortgage Securities I, Ser 2004-S2, Cl A11
6.000%, 06/25/36	45		44
Residential Funding Mortgage Securities I, Ser 2006-S5, Cl A4
5.500%, 03/25/34	762		766
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-9, Cl 2A1
5.858%, 10/25/47 (E)	1,524		918
Structured Asset Securities, Ser 2006-NC1, Cl A4
0.379%, 05/25/36 (E)	300		156
Thornburg Mortgage Securities Trust, Ser 2006-5, Cl A1
0.349%, 09/25/46 (E)	1,427		1,381
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl A2
4.782%, 03/15/42	400		400
WaMu Mortgage Pass Through Certificates, Ser 2004-AR9, Cl A6
2.953%, 08/25/34 (E)	67		67
WaMu Mortgage Pass Through Certificates, Ser 2005-AR10, Cl 1A1
4.792%, 09/25/35 (E)	781		772


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A5
4.500%, 06/25/33	$211	$	211
Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A1
5.500%, 06/25/34	411		412
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-6, Cl A5
3.213%, 08/25/34 (E)	31		31
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1
3.407%, 07/25/34 (E)	46		16
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-N, Cl A13
0.679%, 06/25/34 (E)	210		202
Wells Fargo Mortgage Backed Securities Trust, Ser 2005- AR12, Cl 2A4
3.049%, 07/25/35 (E)	26		26

			24,407

Total Mortgage-Backed Securities (Cost $35,870) ($ Thousands)			34,499


ASSET-BACKED SECURITIES — 0.8%

Automotive — 0.2%
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A2
1.400%, 11/15/12	150		150
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13	765		778
Bank of America Auto Trust, Ser 2010-1A, Cl A2
0.750%, 06/15/12	585		586
BMW Floorplan Master Owner Trust, Ser 2009-1A, Cl A
1.382%, 09/15/14 (E)	355		355
BMW Vehicle Lease Trust, Cl A2
2.040%, 04/15/11	552		555
Citifinancial Auto Issuance Trust, Ser 2009-1, Cl A2
1.830%, 11/15/12	610		614
Honda Auto Receivables Owner Trust, Ser 2008-1, Cl A3
4.470%, 01/18/12	294		299
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A2
2.220%, 08/15/11	604		608
Honda Auto Receivables Owner Trust, Ser 2009-S1, Cl A3
2.310%, 05/15/13	370		376
Mercedes-Benz Auto Receivables Trust, Ser 2009-1, Cl A3
1.670%, 01/15/14	295		298


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Nissan Master Owner Trust Receivables, Ser 2010-AA, Cl A
1.378%, 01/15/15 (E)	$470	$	470
Nissan Auto Lease Trust, Cl A2
2.010%, 04/15/11	590		593
USAA Auto Owner Trust, Ser 2009-I, Cl A2
2.640%, 08/15/11	655		658
Volkswagen Auto Lease Trust, Cl A2
2.870%, 07/15/11	484		487

			6,827


Credit Cards — 0.4%
American Express Credit Account Master Trust, Ser 2003-3, Cl A
1.581%, 12/15/14 (E)	2,195		2,244
American Express Credit Account Master Trust, Ser 2007-7, Cl A
0.272%, 02/17/15 (E)	862		856
Bank of America Credit Card Trust, Ser 2006-A6, Cl A6
0.262%, 11/15/13 (E)	460		457
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14	655		684
Capital One Multi-Asset Execution Trust, Ser 2009-A1, Cl A1
1.333%, 04/15/13 (E)	400		401
Chase Issuance Trust, Ser 2007- A10
0.272%, 06/16/14 (E)	650		646
Chase Issuance Trust, Ser 2009- A4, Cl A6
1.082%, 07/16/12 (E)	1,050		1,053
Chase Issuance Trust, Ser 2009- A6, Cl A4
0.982%, 06/15/12 (E)	850		852
Citibank Credit Card Issuance Trust, Ser 2005-A7, Cl A7
4.750%, 10/22/12	205		211
Citibank Credit Card Issuance Trust, Ser 2007-A7, Cl A7
0.579%, 08/20/14 (E)	630		628
Citibank Credit Card Issuance Trust, Ser 2009-A1, Cl A1
1.982%, 03/17/14 (E)	425		437
Citibank Credit Card Issuance Trust, Ser 2009-A7, Cl A7
0.342%, 11/25/13 (E)	865		860
MBNA Credit Card Master Note Trust, Ser 2003-A4, Cl A4
0.452%, 09/17/12 (E)	1,520		1,520
MBNA Credit Card Master Note Trust, Ser 2003-A8
0.422%, 12/17/12 (E)	1,050		1,049

			11,898


Mortgage Related Securities — 0.2%
ACE Securities, Ser 2003-NC1, Cl M
1.399%, 07/25/33 (E)	650		433
Ameriquest Mortgage Securities, Ser 2005-R9, Cl AF3
5.098%, 11/25/35 (E)	285		279


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Bayview Financial Aquisition Trust, Ser 2007-A, Cl 1A1
6.129%, 05/28/37 (E)	$142	$	144
Citigroup Mortgage Loan Trust, Ser 2007-AMC2, Cl A3A
0.309%, 01/25/37 (E)	582		341
CNH Equipment Trust, Ser 2009- A, Cl A2
4.060%, 10/17/11	196		197
Credit Suisse Asset-Backed Mortgage Backed Trust, Ser 2007-1, Cl 1A1A
5.898%, 05/25/37 (E)	2,036		1,236
Credit Suisse First Boston Mortgage Securities, Ser 2005- FIX1, Cl A2
4.310%, 05/25/35 (E)	176		172
First Franklin Mortgage Loan Asset Backed Certificates, Ser 2005-FF9, Cl A3
0.509%, 10/25/35 (E)	474		456
GSAMP Trust, Ser 2005-HE3, Cl M1
0.699%, 06/25/35 (E)	234		233
Home Equity Asset Trust, Ser 2006-5, Cl 2A3
0.379%, 10/25/36 (E)	250		94
Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2
1.879%, 07/25/34 (E)	47		13
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-3, Cl A2A
0.279%, 06/25/37 (E)	541		535
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-5, Cl 2A1
0.929%, 10/25/37 (E)	350		337
Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1
1.249%, 10/25/33 (E)	525		421
Morgan Stanley ABS Capital I, Ser 2005-HE6, Cl A2C
0.549%, 11/25/35 (E)	1,600		1,296
RAAC, Ser 2005-RP2, Cl A
0.579%, 06/25/35 (E)	187		177
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1
1.324%, 12/25/33 (E)	54		38
Structured Asset Securities, Ser 2007-GEL2, Cl A1
0.379%, 05/25/37 (E)	1,580		1,239
Terwin Mortgage Trust, Ser 2006- 6, Cl 2A1
4.500%, 06/25/36	203		52

			7,693

Total Asset-Backed Securities (Cost $29,543) ($ Thousands)			26,418


Description	Face Amount ($ Thousands)/Shares)	Market Value ($ Thousands
WARRANTS — 0.0%
	Number Of Warrants

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *	176,797	$	44


Italy — 0.0%
Mediobanca, Expires 2011 *	51,652		6

Total Warrants (Cost $0) ($ Thousands)			50


RIGHT — 0.0%
	Number Of Rights

Australia — 0.0%
Lend Lease, Expires 04/08/10 *	30,956		55

Total Right (Cost $0) ($ Thousands)			55


EXCHANGE TRADED FUND — 0.0%
iShares MSCI Canada Index Fund	27,500		712

Total Exchange Traded Fund (Cost $749) ($ Thousands)			712


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Shinsei Finance Cayman 6.418%, 01/29/49 (E)	$545		297

Total Corporate Obligation (Cost $545) ($ Thousands)			297


U.S. TREASURY OBLIGATIONS — 0.6%
U.S. Treasury Bills
0.110%, 05/27/10 (C) (D)	5,250		5,248
0.110%, 06/03/10 (C) (D)	15,988		15,983
0.150%, 06/17/10 (C) (D)	750		750

Total U.S. Treasury Obligations (Cost $21,982) ($ Thousands)			21,981


Description	Shares	Market Value ($ Thousands)
CASH EQUIVALENT — 2.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% ** †	102,652	$	102,652

Total Cash Equivalent (Cost $102,652) ($ Thousands)			102,652


AFFILIATED PARTNERSHIP — 4.7%
SEI Liquidity Fund, L.P., 0.240% ** † (F)	163,781,602		161,731

Total Affiliated Partnership (Cost $163,782) ($ Thousands)			161,731

Total Investments — 101.6% (Cost $3,344,168)($ Thousands) ††		$	3,549,945

Percentages are based on a Net Assets of $3,492,624 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	1512		Mar-2010	$	(964	)
FTSE 100 Index	442		Mar-2010		744
Hang Seng Index	23		Mar-2010		53
MSCI EAFE Index E-MINI	(10	)	Mar-2010		(35	)
MSCI Emerging Markets E-MINI	375		Mar-2010		(593	)
Nikkei 225 Index	51		Mar-2010		(4	)
S&P TSE 60 Index	168		Mar-2010		400
SPI 200 Index	127		Mar-2010		17
Topix Index	328		Mar-2010		(109	)

				$	(491	)

A summary of the outstanding forward foreign currency contracts held by the Fund at February 28, 2010, is as follows:


Settelement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Depreciation ($ Thousands)
3/4/10	USD	5,684	CAD	5,940	$	(64	)
5/13/10	EUR	2,422	USD	3,282		(22	)
5/13/10	USD	6,690	EUR	4,852		(70	)

					$	(156	)

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $3,344,168 ($Thousands), and the unrealized appreciation and depreciation were $316,613 ($Thousands) and $(110,836) ($Thousands) respectively.

(A)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $158,724 ($ Thousands).

(B)

(C)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open future contracts.

(E)

Variable Rate Security. The rate reported is the rate in effect as of February 28, 2010. The date reported is the final maturity date.

(F)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of February 28, 2010 was $161,731 ($ Thousands).

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such security as of February 28, 2010 was $43,714 ($ Thousands) and represents 1.25% of net assets.

ABS — Asset-Backed Security

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

CAD — Canadian Dollar

Cl — Class

CMO — Collateralized Mortgage Obligation

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GDR — Global Depositary Receipt

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

NVDR — Non-Voting Depositary Receipt

S&P — Standard & Poor’s

Ser — Series

USD — U.S. Dollar

Amounts designated as “—” are $0 or have been rounded to $0.

See end of Form N-Q Filing for ASC 820 disclosure.

A summary of outstanding swap agreements held by the Fund at February 28, 2010, is as follows:


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 91.0%

Argentina — 0.1%
Tenaris	4,437	$	92


Australia — 4.5%
AMP	7,756		41
Australia & New Zealand Banking Group	15,098		313
BGP Holdings *	4,500		—
BHP Billiton	9,878		363
Coca-Cola Amatil	5,559		56
Cochlear	114		6
Commonwealth Bank of Australia	10,149		490
Computershare	4,263		44
Crown	800		6
Downer EDI	7,900		56
Fairfax Media	15,600		23
Goodman Fielder	8,600		12
GPT Group‡	4,500		2
Harvey Norman Holdings	4,829		17
Incitec Pivot	3,000		9
Insurance Australia Group	12,418		44
Intoll Group	3,407		3
Kingsgate Consolidated	500		4
Leighton Holdings	900		30
MacArthur Coal	7,182		66
Macquarie Group	200		8
Mount Gibson Iron *	4,200		6
National Australia Bank	7,534		172
Orica	2,588		58
Primary Health Care	1,000		4
Qantas Airways	9,506		22
QBE Insurance Group	300		6
Rio Tinto	4,543		287
Stockland ‡	3,770		14
Suncorp-Metway	12,547		96
Super Cheap Auto Group	600		3
TABCORP Holdings	13,455		82
Tatts Group	8,006		17
Telstra	13,700		36
Toll Holdings	3,486		21
UGL	255		3
Wesfarmers	14,732		411
Westfield Group‡	7,926		85
Westpac Banking	15,499		363
Whitehaven Coal	1,600		7
Woodside Petroleum	100		4
Woolworths	3,209		77

			3,367


Austria — 0.3%
Erste Group Bank	339		13
Immoeast *	12,656		60
OMV	2,577		96
Strabag	1,067		26

			195


Belgium — 1.1%
Belgacom	144		5
Delhaize Group	1,945		151


Description	Shares	Market Value ($ Thousands)
Dexia	5,659	$	31
Groupe Bruxelles Lambert	224		20
InBev	7,534		378
KBC Groep	566		26
Solvay	511		49
Telenet Group Holding	1,528		46
UCB	1,135		50
Umicore	1,550		46

			802


Brazil — 1.0%
Agre Empreendimentos Imobiliarios *	1,504		7
Banco Bradesco ADR	11,331		196
Banco do Brasil	7,500		123
Banestes Banco do Estado do Espirito Santo	3,800		15
Cia de Saneamento Basico do Estado de Sao Paulo	6,000		101
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	2,900		40
Cia Siderurgica Nacional	200		7
Cyrela Brazil Realty	5,400		67
EDP - Energias do Brasil	3,900		76
Empresa Brasileira de Aeronautica	12,400		67
Eternit	1,800		8
Ez Tec Empreendimentos e Participacoes	3,700		17
Fertilizantes Heringer *	1,200		8
Grendene	7,100		36

			768


Canada — 7.1%
Agrium	500		32
Alimentation Couche Tard, Cl B	3,500		65
ARC Energy Trust	2,100		44
Atco, Cl I	270		12
Bank of Montreal	5,100		270
Bank of Nova Scotia	3,800		172
Barrick Gold	4,200		158
Baytex Energy Trust	3,200		102
BCE	3,000		83
Bombardier, Cl B	19,100		103
Brookfield Asset Management, Cl A	4,100		97
Canadian Imperial Bank of Commerce	300		20
Canadian National Railway	3,100		162
Canadian Natural Resources	5,300		355
Canadian Oil Sands Trust	2,800		74
Canadian Pacific Railway	500		24
Canadian Tire, Cl A	80		4
Canadian Utilities, Cl A	1,000		42
Celestica *	800		8
Cenovus Energy	6,869		167
CGI Group, Cl A *	7,400		104
Dundee, Cl A *	400		5
Enbridge	4,000		176
EnCana	6,969		227
Enerplus Resources Fund	400		9
First Quantum Minerals	600		47



Description	Shares	Market Value ($ Thousands)
George Weston	100	$	7
Gildan Activewear *	1,800		42
Goldcorp	4,270		162
Husky Energy	3,230		82
IAMGOLD	5,238		77
Imperial Oil	800		29
Industrial Alliance Insurance & Financial Services	200		6
Linamar	600		9
Magna International, Cl A	1,100		62
Manulife Financial	1,000		18
Maple Leaf Foods	1,100		11
MDS *	600		5
Metro, Cl A	1,200		46
Mullen Group	800		12
National Bank of Canada	1,800		103
Nexen	5,007		112
Pacific Rubiales Energy *	7,600		120
Penn West Energy Trust	2,370		48
PetroBakken Energy, Cl A	1,989		53
Petrobank Energy & Resources *	2,600		134
Potash Saskatchewan	200		22
Power Financial	1,700		50
Provident Energy Trust	1,700		13
Quebecor, Cl B	700		20
Research In Motion *	400		28
Rogers Communications, Cl B	300		10
Royal Bank of Canada	7,200		387
Sherritt International	6,200		44
Sierra Wireless *	600		5
Sino-Forest, Cl A *	3,400		66
Sun Life Financial	1,400		40
Talisman Energy	5,700		104
Teck Cominco, Cl B *	6,800		249
Toronto-Dominion Bank	5,470		348
TransCanada	400		13
Transcontinental, Cl A	700		8
West Fraser Timber	400		14
Yamana Gold	11,400		120
Yellow Pages Income Fund	4,000		22

			5,263


Chile — 0.3%
Cia Cervecerias Unidas ADR	1,400		54
CorpBanca ADR	803		33
Enersis ADR	5,000		108
Sociedad Quimica y Minera de Chile ADR	1,300		48

			243


China — 2.6%
Bank of China	475,000		231
Bank of Communications	88,000		97
Baoye Group	16,000		10
China BlueChemical	52,000		33
China Citic Bank	46,000		31
China Coal Energy	60,000		96
China Communications Services	42,000		22
China Construction Bank	286,000		216
China Life Insurance	18,000		80
China Shenhua Energy	27,000		116


Description	Shares	Market Value ($ Thousands)
China Telecom	236,000	$	104
China Vanke, Cl B	26,100		28
Fosun International	87,000		65
Great Wall Motor	20,000		30
Great Wall Technology	32,000		13
Industrial & Commercial Bank of China	540,000		382
Jiangling Motors, Cl B	28,400		46
Perfect World ADR *	880		35
Qingling Motors	60,000		14
Shandong Chenming Paper
Holdings, Cl B	68,700		50
Shenzhou International Group Holdings	13,000		17
Soho China	62,000		30
Trina Solar ADR *	3,540		78
Yanzhou Coal Mining	30,000		63

			1,887


Colombia — 0.1%
BanColombia ADR	1,669		77


Czech Republic — 0.2%
CEZ	2,400		110


Denmark — 0.6%
A P Moeller - Maersk, Cl A	1		7
Carlsberg, Cl B	2,318		180
Coloplast, Cl B	574		65
Danske Bank	1,069		25
H Lundbeck	1,378		24
Novo-Nordisk, Cl B	1,232		87
Sydbank	1,150		28
Topdanmark *	40		5
William Demant Holding *	441		32

			453


Egypt — 0.2%
Talaat Moustafa Group * (A)	34,000		46
Telecom Egypt (A)	22,000		78

			124


Finland — 0.8%
Fortum	2,567		66
Kone, Cl B	4,796		203
Metso	2,360		73
Nokia	2,049		28
Sampo, Cl A	7,033		171
UPM-Kymmene	6,000		64

			605


France — 4.4%
Air Liquide	102		12
Arkema	885		30
Atos Origin	600		28
AXA	3,596		72
BNP Paribas	1,881		136
Bouygues	4,271		197


Description	Shares	Market Value ($ Thousands)
Capital Gemini	1,704	$	79
Carrefour	120		5
Christian Dior	800		79
CNP Assurances	1,377		124
Compagnie de St.-Gobain	2,036		96
Credit Agricole	4,284		64
Eutelsat Communications	1,740		58
France Telecom	12,431		292
Gecina‡	596		62
Lafarge	445		29
LVMH Moet Hennessy Louis Vuitton	101		11
M6-Metropole Television	1,447		36
Natixis	17,729		88
Neopost	429		35
Nexity	646		24
Peugeot	750		20
PPR	1,167		134
Publicis Groupe	1,107		44
Renault	486		20
Rhodia *	2,478		47
Safran	1,492		35
Sanofi-Aventis	8,882		651
Schneider Electric	593		63
Societe BIC	219		15
Societe Des Autoroutes Paris-Rhin-Rhone	788		57
Societe Generale	937		52
Societe Television Francaise	3,903		63
Sodexo	1,041		62
Unibail-Rodamco‡	293		58
Valeo	2,352		72
Vallourec	313		60
Vinci	2,876		151
Vivendi	4,629		117

			3,278


Germany — 4.1%
Aixtron	3,339		98
Allianz	1,091		126
BASF	8,868		499
Bayer	2,999		199
Bayerische Motoren Werke	5,891		239
Bilfinger Berger	612		39
DaimlerChrysler	1,200		50
Deutsche Bank	4,483		285
Deutsche Post	12,884		210
Deutsche Telekom	16,553		213
E.ON	8,484		303
GAGFAH	4,000		37
Hannover Rueckversicherung	2,694		121
HeidelbergCement	2,811		144
Henkel	976		43
Hochtief	1,199		85
Infineon Technologies *	12,716		69
Lanxess	78		3
Merck KGaA	111		9
Metro	948		49
RWE	1,363		116
SAP	663		30
Suedzucker	637		15
United Internet	5,507		85


Description	Shares	Market Value ($ Thousands)
Volkswagen	67	$	6

			3,073


Greece — 0.2%
Coca Cola Hellenic Bottling	2,106		52
Hellenic Petroleum	2,749		31
Public Power	5,615		84

			167


Hong Kong — 3.2%
ASM Pacific Technology	1,400		13
Beijing Enterprises Holdings	14,000		88
BOC Hong Kong Holdings	48,000		108
Cathay Pacific Airways	8,000		15
Champion REIT‡	18,000		8
Chaoda Modern Agriculture	62,000		67
Cheung Kong Holdings	12,000		146
Cheung Kong Infrastructure Holdings	3,000		11
China Mobile	21,500		212
China Properties Group	43,000		13
Chinese Estates Holdings	8,000		13
CNOOC	81,500		128
Esprit Holdings	2,074		15
First Pacific	16,000		9
Genting Singapore *	65,000		41
Guangdong Investment	76,000		39
Guoco Group	2,000		21
Hang Lung Group	2,000		10
Hang Seng Bank	400		6
Henderson Land Development	16,000		108
Hengan International Group	7,000		48
HKR International	6,400		3
Hongkong & Shanghai Hotels	6,500		9
HongKong Electric Holdings	1,000		6
Hongkong Land Holdings	12,000		55
Hopewell Holdings	5,500		16
Hopson Development Holdings	12,000		17
Hutchison Whampoa	22,000		158
Hysan Development	5,000		13
Industrial & Commercial Bank of China Asia	27,000		58
Jardine Matheson Holdings	800		22
Jardine Strategic Holdings	1,000		16
Kerry Properties	1,000		5
Li & Fung	10,000		46
Link REIT ‡	5,000		13
New World Development	49,000		90
Noble Group	63,000		142
NWS Holdings	7,000		12
Orient Overseas International	500		4
Pacific Basin Shipping	99,000		79
Pacific Century Premium Developments	13,000		4
Road King Infrastructure	4,000		3
Shanghai Industrial Holdings	14,000		60
Sino Land	4,000		8
Sun Hung Kai Properties	11,000		153
Swire Pacific, Cl A	3,000		33
Television Broadcasts	2,000		9
VTech Holdings	3,000		30


Description	Shares	Market Value ($ Thousands)
Wharf Holdings	17,000	$	88
Wheelock	25,000		70
Yue Yuen Industrial Holdings	4,000		12

			2,353


Hungary — 0.2%
Magyar Telekom
Telecommunications	14,000		51
MOL Hungarian Oil and Gas	1,000		90
OTP Bank	1,200		33

			174


India — 2.1%
HDFC Bank ADR	3,171		386
Infosys Technologies ADR	13,733		781
ITC *	26,822		135
Sterlite Industries India ADR	14,566		246

			1,548


Indonesia — 0.6%
Adaro Energy (A)	76,000		15
Astra International (A)	49,500		192
Bank Mandiri (A)	173,000		83
Bank Negara Indonesia Persero (A)	81,000		17
Bank Rakyat Indonesia (A)	92,000		71
United Tractors (A)	40,000		74

			452


Ireland — 0.1%
DCC	960		25
Experian	4,661		43

			68


Israel — 1.1%
Check Point Software
Technologies *	2,300		75
Delek Group (A)	100		22
Discount Investment (A)	2,000		51
First International Bank of Israel * (A)	2,000		35
Israel Land Development (A)	5,000		32
Koor Industries (A)	1,600		44
Teva Pharmaceutical Industries ADR	3,260		196
Teva Pharmaceutical Industries (A)	4,646		279
Union Bank of Israel * (A)	12,000		61

			795


Italy — 1.7%
ACEA	2,697		28
Atlantia	3,564		82
Autogrill	1,305		16
Azimut Holding	3,462		40
Banca Intesa	21,185		75
Banca Intesa RNC	11,927		32
Benetton Group	1,918		15
CIR-Compagnie Industriali Riunite	7,958		17
Enel	77,965		424
Fiat	5,922		62
Fondiaria-Sai	459		7
Mediaset	12,210		93


Description	Shares	Market Value ($ Thousands)
Pirelli	22,605	$	11
Prysmian	5,975		103
Snam Rete Gas	3,239		15
Telecom Italia	143,842		198
Terna Rete Elettrica Nazionale	8,007		33
UniCredito Italiano	1,376		4
Unipol Gruppo Finanziario	16,000		18

			1,273


Japan — 13.3%
Aeon	3,600		37
Aichi Bank	200		15
Aichi Machine Industry	2,000		8
Ajinomoto	4,000		41
Alfresa Holdings	400		16
Alpen	300		5
Alps Electric	4,900		29
AOKI Holdings	300		4
Aoyama Trading	300		5
Asahi Breweries	1,600		31
Asahi Glass	35,000		349
Asahi Kasei	3,000		16
Astellas Pharma	1,500		56
Bank of Nagoya	2,000		8
Bank of Yokohama	11,000		55
Bridgestone	2,500		44
Brother Industries	500		6
Canon	4,100		170
Canon Finetech	300		5
Central Japan Railway	9		68
Chiba Bank	15,000		91
Chiba Kogyo Bank *	300		2
Chubu Electric Power	1,900		50
Chugai Pharmaceutical	2,200		42
Circle K Sunkus	100		1
Coca-Cola Central Japan	300		4
Dai Nippon Printing	6,000		79
Daicel Chemical Industries	12,000		80
Daihatsu Motor	3,000		29
Daiichikosho	300		4
Dainippon Screen Manufacturing	10,000		46
Dainippon Sumitomo Pharma	500		5
Daiwa House Industry	5,000		54
Daiwa Securities Group	11,000		54
Denki Kagaku Kogyo	8,000		32
Denso	2,600		70
Dentsu	600		14
Disco	800		44
eAccess	7		6
East Japan Railway	100		7
Electric Power Development	400		13
Elpida Memory *	5,700		102
Fast Retailing	500		84
Fuji Heavy Industries	5,000		23
FUJIFILM Holdings	5,300		169
Fujikura	1,000		5
Fujitsu	19,000		123
Fukuoka Financial Group	16,000		59
Funai Electric	300		13
Furukawa Electric	9,000		44
Gunma Bank	8,000		45


Description	Shares	Market Value ($ Thousands)
Hakuhodo DY Holdings	210	$	10
Hankyu Hanshin Holdings	7,000		34
Heiwa	500		5
Higashi-Nippon Bank	2,000		4
HI-LEX	200		2
Hitachi	18,000		59
Hokuhoku Financial Group	27,000		57
Honda Motor	16,435		570
Hosiden	400		5
Hoya	3,100		78
Ibiden	1,200		40
Idemitsu Kosan	900		66
Inaba Denki Sangyo	100		2
Inpex	18		132
Itochu	4,000		32
Itochu-Shokuhin	200		7
JFE Holdings	10,800		402
JSR	2,200		43
Kamigumi	4,000		31
Kaneka	8,000		48
Kansai Electric Power	1,200		28
Kato Sangyo	300		5
KDDI	25		133
Keisei Electric Railway	6,000		36
Kirin Holdings	6,998		97
Kobe Steel	20,000		36
Kohnan Shoji	200		2
Konica Minolta Holdings	3,000		31
Kuraray	5,500		71
Kyocera	1,200		107
Kyoei Steel	300		5
Kyorin	1,000		15
Maeda	2,000		6
Maeda Road Construction	1,000		8
Makita	3,400		109
Marui Group	1,300		9
Maruichi Steel Tube	900		18
Maxvalu Nishinihon	200		3
Mazda Motor	8,000		21
MEIJI Holdings	200		8
Minebea	3,000		16
Mitsubishi Chemical Holdings	7,000		32
Mitsubishi Electric	2,000		16
Mitsubishi Heavy Industries	24,000		89
Mitsubishi Materials	1,000		3
Mitsubishi UFJ Financial Group	1,700		9
Mitsubishi UFJ Lease & Finance	700		24
Mitsui OSK Lines	6,000		39
Mitsui Sumitomo Insurance Group Holdings	1,300		33
Morinaga Milk Industry	2,000		8
Murata Manufacturing	2,500		132
Nafco	200		4
Namco Bandai Holdings	1,500		14
NEC	12,000		33
NEC Mobiling	100		2
NEC Networks & System Integration	300		4
NET One Systems	2		2
Nidec	800		78
Nihon Yamamura Glass	2,000		7
Nikon	2,700		59


Description	Shares	Market Value ($ Thousands)
Nippo	1,000	$	8
Nippon Electric Glass	10,000		130
Nippon Mining Holdings	3,000		15
Nippon Shokubai	2,000		17
Nippon Steel	19,000		71
Nippon Telegraph & Telephone	1,700		74
Nishi-Nippon City Bank	12,000		32
Nissan Motor	49,500		393
Nissan Shatai	2,000		15
Nissin Food Products	300		10
Nissin Healthcare Food Service	100		1
Nitori	300		24
Nitto Denko	2,400		88
Nomura Holdings	1,100		8
NSK	8,000		56
NTT Data	9		28
NTT DoCoMo	80		124
Obic	190		33
OJI Paper	2,000		9
Okinawa Electric Power	200		11
Okuwa	1,000		10
Olympus	2,300		71
Omron	2,472		54
Ono Pharmaceutical	100		5
ORIX	1,180		91
Osaka Gas	8,000		29
Osaka Steel	300		5
Panasonic	8,300		115
Resona Holdings	1,800		22
Ricoh	3,000		42
Roland	200		2
San-Ai Oil	2,000		8
San-In Godo Bank	2,000		16
Sankyo	500		24
Santen Pharmaceutical	900		29
Sapporo Hokuyo Holdings	9,700		43
Sega Sammy Holdings	700		9
Seiko Epson	1,200		20
Seino Holdings	2,000		14
Sekisui House	4,000		39
Seven & I Holdings	3,500		79
Sharp	11,000		127
Shimano	600		26
Shinsei Bank	5,000		6
Shiseido	3,200		71
SKY Perfect JSAT Holdings	1		—
Sohgo Security Services	200		2
Sony	4,600		158
SRI Sports	2		2
Sumikin Bussan	2,000		4
Sumitomo	21,800		237
Sumitomo Chemical	7,000		31
Sumitomo Electric Industries	15,000		180
Sumitomo Heavy Industries	9,000		47
Sumitomo Metal Mining	3,000		43
Sumitomo Rubber Industries	200		2
Sumitomo Trust & Banking	27,000		152
Suzuken	200		7
Suzuki Motor	1,900		40
T&D Holdings	700		15
Tadano	1,000		5
Taisho Pharmaceutical	1,000		17


Description	Shares	Market Value ($ Thousands)
Takeda Pharmaceutical	3,700	$	168
TDK	1,600		99
Teijin	5,000		15
Terumo	100		5
Toei	2,000		10
Tohoku Electric Power	1,900		41
Tokyo Broadcasting System HD	900		13
Tokyo Electron	1,300		80
Tokyo Gas	13,000		57
Tokyu Land	3,000		11
Toppan Forms	400		4
Toppan Printing	4,000		35
Topre	300		2
Toshiba	2,000		10
Toshiba TEC	2,000		8
Tosoh	7,000		17
Toyo Kohan	2,000		11
Toyo Seikan Kaisha	1,200		20
Toyo Suisan Kaisha	2,000		56
Toyoda Gosei	1,600		41
Toyota Auto Body	500		8
Toyota Industries	400		10
Toyota Motor	11,333		425
Toyota Tsusho	2,600		37
TS Tech	300		5
TV Asahi	5		8
Unicharm	700		67
West Japan Railway	10		35
Yakult Honsha	2,300		70
Yamaguchi Financial Group	4,000		44
Yamaha Motor	1,700		23
Yokohama Rubber	2,000		9

			9,831


Malaysia — 0.7%
Axiata Group (A)	29,000		32
CIMB Group Holdings (A)	43,800		167
Genti (A)	40,000		74
Malaysia Airports Holdings (A)	7,000		10
PPB Group (A)	16,000		76
Proton Holdings * (A)	14,000		17
Tenaga Nasional (A)	38,000		89
Titan Chemicals (A)	43,000		16

			481


Mauritius — 0.1%
Golden Agri-Resources	153,398		58


Mexico — 1.1%
America Movil, Ser L	116,200		259
Coca-Cola Femsa, Ser L	11,500		74
Embotelladoras Arca	16,300		53
GEO*	13,200		39
Grupo Aeroportuario del Pacifico, Ser B, Cl B	11,500		39
Grupo Carso, Ser A1	33,300		119
Grupo Continental	16,000		43
Grupo Mexico, Ser B	61,601		147
Grupo Simec, Ser B, Cl B *	11,700		29


Description	Shares	Market Value ($ Thousands)
Wal-Mart de Mexico	9,000	$	45

			847


Netherlands — 2.4%
Aegon	1,775		11
Akzo Nobel	3,429		175
ArcelorMittal	2,705		103
ASML Holding	4,069		125
CSM	1,976		52
European Aeronautic Defense and Space	3,399		70
Heineken	543		27
Heineken Holding	1,322		54
Koninklijke Ahold	6,484		80
Koninklijke DSM	1,008		42
Koninklijke Philips Electronics	13,542		397
Koninklijke Vopak *	1,287		95
Royal KPN	9,938		159
TNT	1,148		30
Unilever	12,639		381

			1,801


New Zealand — 0.0%
Air New Zealand	5,300		5


Norway — 1.0%
DnB	30,449		331
Marine Harvest *	86,000		75
Seadrill	5,950		137
Telenor	15,200		192
Yara International	150		6

			741


Papua New Guinea — 0.0%
Lihir Gold	5,700		14


Peru — 0.0%
Cia de Minas Buenaventura ADR	300		10


Poland — 0.4%
Asseco Poland	2,000		38
Gant Development *	1,600		10
Grupa Lotos *	4,000		38
KGHM Polska Miedz	1,556		52
Polish Oil & Gas	48,000		59
Polski Koncern Naftowy Orlen	6,000		68
Powszechna Kasa Oszczednosci Bank Polski	2,000		26
Synthos*	30,000		14

			305


Portugal — 0.7%
Banco Comercial Portugues, Cl R	39,000		40
Banco Espirito Santo	15,587		78
Energias de Portugal	26,673		98
Galp Energia SGPS, Cl B	12,420		202
Jeronimo Martins	4,374		42


Description	Shares	Market Value ($ Thousands)
Portugal Telecom	8,277	$	87

			547


Russia — 0.8%
Alliance Oil *	913		13
MMC Norilsk Nickel ADR*	9,214		139
Mobile Telesystems ADR	485		25
NovaTek OAO GDR	1,500		96
Novolipetsk Steel GDR	2,389		74
Rosneft Oil GDR	3,900		30
Sberbank GDR	227		62
Surgutneftegaz ADR	4,600		38
Vimpel-Communications ADR	7,290		135
VTB Bank GDR	1,477		7

			619


Singapore — 1.4%
Ascendas Real Estate Investment Trust ‡	12,000		17
CapitaCommercial Trust ‡	47,000		36
CapitaMall Trust ‡	28,000		35
DBS Group Holdings	18,000		179
Fraser and Neave	8,000		24
Hi-P International, Cl P	4,000		2
Hong Leong Asia	3,000		8
Jardine Cycle & Carriage	4,000		69
Keppel	6,000		36
Oversea-Chinese Banking	25,000		151
SembCorp Industries	22,000		59
SIA Engineering	5,000		13
Singapore Airlines	3,699		39
Singapore Telecommunications	25,000		54
Starhill Global REIT, Cl REIT ‡	8,000		3
United Overseas Bank	3,000		40
UOL Group	8,000		23
Venture	1,000		6
Wheelock Properties Singapore	1,000		1
Wilmar International	47,000		217
Yangzijiang Shipbuilding Holdings	6,000		5

			1,017


South Africa — 1.8%
ABSA Group	399		7
African Rainbow Minerals	3,000		72
AngloGold Ashanti	2,430		88
Aveng	12,000		58
Bidvest Group	1,000		17
DataTec	16,000		64
Exxaro Resources	3,000		45
FirstRand	7,258		17
Gold Fields	8,000		93
Group	13,000		190
Harmony Gold Mining	4,658		42
Iliad Africa	9,808		10
Impala Platinum Holdings	1,200		29
Imperial Holdings	1,543		19
Investec	6,714		48
Medi-Clinic	22,000		77
Metmar	34,297		16
Naspers, Cl N	1,000		37
Nedbank Group	4,000		63
Sanlam	36,000		115


Description	Shares	Market Value ($ Thousands)
Standard Bank Group	11,821	$	166
Steinhoff International Holdings *	505		1
Wilson Bayly Holmes-Ovcon	4,000		57

			1,331


South Korea — 2.9%
CJ	670		40
GS Home Shopping	160		10
Hana Financial Group	3,160		91
Hanwha Chemical	2,330		31
Hyundai Steel	2,570		197
KISWIRE	240		7
Korea Electric Power	4,300		138
Korea Zinc	300		47
LG	1,680		88
LG Chemical	740		137
LG Electronics	1,530		141
LG Telecom	2,342		16
LG.Philips LCD	3,890		116
Lotte Shopping	240		66
Namyang Dairy Products	30		13
POSCO	500		229
Samsung C&T	490		25
Samsung Electronics	940		603
Shinhan Financial Group	880		31
SK Energy	720		66
SK Holdings	670		50
Woori Investment & Securities	2,560		33

			2,175


Spain — 2.2%
Banco Bilbao Vizcaya Argentaria	12,971		169
Banco de Sabadell	1,431		7
Banco Pastor	1,157		7
Banco Popular Espanol	3,058		20
Banco Santander Central Hispano	45,992		599
Bankinter	4,000		33
Construcciones y Auxiliar de Ferrocarriles	16		9
Enagas	290		6
Fomento de Construcciones y Contratas	600		20
Gas Natural	5,037		93
Iberdrola	5,101		41
Mapfre	7,871		29
Telefonica	25,801		607

			1,640


Sweden — 1.7%
Alfa Laval	3,350		48
Assa Abloy, Cl B	2,910		55
Atlas Copco, Cl A	3,897		55
Boliden	2,431		30
Electrolux, Cl B	3,685		78
Hennes & Mauritz, Cl B	609		37
Nordea Bank	15,110		148
SKF, Cl B	2,337		37
SSAB	320		5
SSAB, Cl A	2,708		45
Svenska Cellulosa, Cl A	547		8
Svenska Cellulosa, Cl B	20,793		308
Svenska Handelsbanken, Cl A	5,037		138


Description	Shares	Market Value ($ Thousands)
Swedbank	803	$	8
Swedish Match	1,199		27
Telefonaktiebolaget LM Ericsson, Cl B	7,821		78
TeliaSonera	16,820		117

			1,222


Switzerland — 6.9%
Actelion *	1,181		60
Adecco	3,284		164
Baloise Holding	945		81
Compagnie Financiere Richemont	2,491		84
Credit Suisse Group	7,400		329
Helvetia Holding	123		39
Holcim	6,628		439
Julius Baer Group	1,127		35
Nestle	16,292		812
Novartis	19,657		1,095
Pargesa Holding	300		24
Roche Holding	3,312		554
Sonova Holding	56		7
STMicroelectronics	764		7
Swatch Group, Cl B	505		141
Swatch Group	920		49
Swiss Life Holding	336		42
Swiss Reinsurance	1,491		67
Swisscom	446		153
Syngenta	348		90
Synthes	331		40
Temenos Group *	1,087		27
Vontobel Holding	614		18
Xstrata	27,553		432
Zurich Financial Services	1,421		343

			5,132


Taiwan — 2.6%
Acer	43,430		122
Asustek Computer	58,012		102
AU Optronics	122,000		126
China Bills Finance	40,000		11
China Metal Products	7,000		9
Chunghwa Telecom	125,780		234
Compal Electronics	72,822		104
CTCI	15,204		15
Gigabyte Technology	15,000		14
HON HAI Precision Industry	62,600		248
Inventec	56,000		31
Lite-On Technology	57,000		73
Macronix International	97,000		52
Mega Financial Holding	160,000		89
POU Chen	67,000		49
Quanta Computer	44,853		92
Taishin Financial Holding	147,306		50
Taiwan Semiconductor Manufacturing	156,769		287
United Microelectronics	228,000		110
Wistron	41,734		72

			1,890


Thailand — 0.3%
Airports of Thailand	33,000		39
Bangkok Bank NVDR	29,000		102


Description	Shares	Market Value ($ Thousands)
Charoen Pokphand Foods	92,000	$	34
Krung Thai Bank NVDR	82,000		25
Thanachart Capital	37,000		22

			222


Turkey — 0.7%
Akbank	6,000		30
Eczacibasi Ilac Sanayi	20,000		34
Haci Omer Sabanci Holding	7,920		30
KOC Holding *	34,370		103
Petrol Ofisi *	8,450		37
Turk Hava Yollari	18,619		59
Turk Sise ve Cam Fabrikalari	30,609		36
Turkiye Garanti Bankasi	40,044		148
Turkiye Vakiflar Bankasi Tao, Cl D	26,000		59

			536


United Kingdom — 13.3%
3i Group	21,364		86
Acergy	3,700		61
Aegis Group	6,081		11
Aggreko	510		8
Amlin	5,703		34
Anglo American	12,032		438
Arriva	3,000		23
AstraZeneca	15,570		683
Autonomy *	1,938		45
Aviva	27,267		162
BAE Systems	2,361		13
Balfour Beatty	5,381		23
Barclays	109,034		519
BG Group	11,719		204
BHP Billiton	14,725		450
BP	128,474		1,132
British American Tobacco	22,843		775
BT Group, Cl A	63,149		110
Cairn Energy *	17,600		90
Carphone Warehouse Group	8,019		23
Catlin Group	7,594		40
Centrica	9,861		42
Charter International	3,680		37
Cookson Group *	5,674		40
Diageo	5,466		88
easyJet *	5,417		34
Eurasian Natural Resources	6,147		96
Firstgroup	9,753		53
Fresnillo	3,566		41
GlaxoSmithKline	27,092		501
Home Retail Group	13,798		54
ICAP	5,072		25
Imperial Tobacco Group	8,451		263
Inchcape	83,504		32
International Power	19,563		97
Invensys	9,299		45
ITV	34,255		28
Kazakhmys	2,837		58
Kingfisher	21,756		71
Legal & General Group	78,736		92
Lloyds Banking Group	145,556		116
LogicaCMG	13,639		25
London Stock Exchange Group	1,250		13
Man Group	10,000		34


Description	Shares	Market Value ($ Thousands)
Meggitt	6,000	$	25
Millennium & Copthorne Hotels	2,724		17
Mondi	2,167		13
National Grid	12,260		122
Next	1,745		50
Old Mutual	48,790		84
Persimmon	6,030		36
Prudential	18,967		174
QinetiQ	4,931		9
Reckitt Benckiser Group	3,529		185
Rio Tinto	12,043		617
Rolls-Royce Group	31,289		266
Royal & Sun Alliance Insurance Group	28,276		56
Royal Bank of Scotland Group	43,866		25
SABMiller	8,091		212
Scottish & Southern Energy	1,002		17
Severn Trent	2,020		36
Shire	5,227		112
Standard Chartered	5,260		125
Sterling Energy *	8,566		18
Tesco	13,380		85
Thomas Cook Group	8,243		30
Tomkins	12,809		38
Travis Perkins	1,062		11
Unilever	2,679		78
Vodafone Group	148,535		320
WM Morrison Supermarkets	9,844		45
WPP	24,180		222

			9,843


United States — 0.1%
Thomson Reuters (CAD)	2,400		83

Total Common Stock (Cost $63,835) ($ Thousands)			67,517


PREFERRED STOCK — 2.8%

Brazil — 2.5%
Banco Bradesco	10,600		183
Banco Daycoval	1,800		10
Bombril *	1,400		7
Brasil Telecom *	2,300		16
Braskem	1,100		8
Centrais Eletricas Brasileiras, Cl B	4,000		64
Cia de Bebidas das Americas	2,000		192
Cia Paranaense de Energia	5,000		101
Cia Vale do Rio Doce, Cl A	21,900		538
Confab Industrial	10,300		27
Gerdau	8,700		128
Investimentos Itau	15,700		100
Itau Unibanco Holding	8,000		160
NET Servicos de Comunicacao *	7,900		96
Sao Paulo Alpargatas	2,000		7
Telecomunicacoes de Sao Paulo	2,300		50
Telegraph Norte Celular Participacoes	300		5


Description	Shares/Face Amount ($ thousands)	Market Value ($ Thousands)
Telegraph Norte Leste Participacoes	900	$	16
Telemar Norte Leste	2,300		65
Universo Online	1,400		8
Usinas Siderurgicas de Minas Gerais, Cl A	4,200		119

			1,900


Germany — 0.3%
Henkel	1,920		99
Porsche Automobil Holding	466		23
ProSiebenSat.1 Media	3,869		57
Volkswagen	249		20

			199

Total Preferred Stock (Cost $1,971) ($ Thousands)			2,099


RIGHT — 0.0%
	Number Of Rights

Poland — 0.0%
Asseco, Expires 03/01/10 *	2,000		—

Total Right (Cost $0) ($ Thousands)			—


WARRANT — 0.0%
	Number Of Warrantss

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *	5,951		2

Total Warrant (Cost $0) ($ Thousands)			2


U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bill
0.129%, 06/03/10 (B) (C)	198		198

Total U.S. Treasury Obligation (Cost $198) ($ Thousands)			198


CASH EQUIVALENT — 4.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.070% ** †	3,357,338		3,357

Total Cash Equivalent (Cost $3,357) ($ Thousands)			3,357

Total Investments — 98.6% (Cost $69,361)($ Thousands) ††		$	73,173

Percentages are based on a Net Assets of $74,236 Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)

LOAN PARTICIPATIONS — 28.4%
Aeroflex, Ser B-1
3.500%, 08/15/14	$595	$557
Affinion Term Loan B
2.731%, 10/17/12	440	427
Alliant Insurance Services Term Loan
0.000%, 08/21/14 (D)	700	665
Allison Transmission
3.000%, 08/07/14	514	472
2.980%, 08/07/14	180	165
Aramark Facility
2.025%, 01/26/14	27	26
Aramark US Term Loan
2.126%, 01/26/14	418	398
Ashland Term B
7.650%, 05/13/14	243	245
Asurion 1st Lien Term Loan
3.250%, 07/03/14	75	72
3.229%, 07/03/14	208	201
3.228%, 07/03/14	135	130
3.000%, 07/03/14	106	103
BBN Acquisitions
7.250%, 09/14/15	458	459
Biomet Dollar Term Loan
3.251%, 03/25/15	414	401
3.231%, 03/25/15	22	22
Booz Allen Hamilton Tranche B Term Loan
7.500%, 07/31/15	112	112
Burlington Coat Factory
2.490%, 05/28/13	593	544
Calpine
3.135%, 03/29/14	771	724
Cedar Fair
4.231%, 08/30/14	524	519
2.231%, 08/30/12	131	130
Celanese US Holdings LLC Term Loan
2.001%, 04/02/14	458	439
Cengage Learning Holdco
2.750%, 06/28/14	595	518
Cequel
6.251%, 05/05/14	216	217
Charter
2.230%, 03/15/14	596	556
Cinemark USA
2.010%, 10/05/13	331	327
2.000%, 10/05/13	53	52
1.990%, 10/05/13	74	73
Clear Channel
3.881%, 01/29/16	927	725
Community Health Systems Delayed Draw Term Loan
2.506%, 07/25/14	44	41
Community Health Systems Funded Term Loan
2.506%, 07/25/14	855	799
Da Vita, Ser B-1
1.760%, 10/05/12	106	105
1.740%, 10/05/12	344	337


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Dana Holding
6.500%, 01/31/15	$54	$53
4.500%, 01/31/15	233	227
4.490%, 01/31/15	68	66
4.480%, 01/31/15	47	45
Dealer Computer Services
2.251%, 10/26/12	671	639
Dex Media West LLC Term Loan B
0.000%, 10/24/14 (D)	414	394
Directv Term Loan C
5.250%, 04/13/13	437	438
Discovery Communications
5.250%, 05/14/14	521	524
Discovery Communications Term Loan B
0.000%, 05/14/14 (D)	500	497
Dollar General Term Loan B-2
2.981%, 07/07/14	854	822
Dynegy Holdings
3.990%, 04/02/13	685	667
Enterprise GP Holdings
2.500%, 11/10/14	208	205
2.478%, 11/10/14	139	136
Federal Mogul
2.167%, 12/29/14	460	403
2.167%, 12/28/15	235	206
Flextronics International Term A-2
2.481%, 10/01/14	263	249
Flextronics International Term A-3
2.481%, 10/01/14	307	290
Freescale Semiconductor
0.000%, 11/29/13 (D)	700	642
Georgia-Pacific LLC Term B Loan
2.256%, 12/20/12	726	710
2.251%, 12/20/12	52	51
Graphic Packaging International Incremental Term Loan
3.001%, 05/16/14	48	47
3.001%, 05/16/14	221	217
2.999%, 05/16/14	123	120
Green Valley Ranch Gaming
2.249%, 02/16/14	23	17
2.249%, 02/16/14	12	9
Green Valley Ranch Gaming, 1st Lien
0.000%, 02/16/14 (D)	414	313
Hanesbrands Term Loan B
5.250%, 12/10/15	198	199
Harrah’s Operating, Ser B-2
2.249%, 01/28/15	668	542
HCA Tranche B Term Loan
2.501%, 11/18/13	1,012	960
Hertz
1.750%, 12/21/12	70	68
0.292%, 12/21/12	47	46
Hertz Term Loan B
2.000%, 12/21/12	253	247
Hertz, Ser B
1.990%, 12/21/12	306	298
1.980%, 12/21/12	73	71


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13	$361	$331
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13	159	146
Hub International
6.750%, 06/13/14	349	343
Hub International Delayed Draw Term Loan
2.751%, 06/13/14	92	84
Hub International Initial Term Loan
2.751%, 06/13/14	409	374
Iasis Healthcare LLC Delayed Draw Term Loan
2.229%, 03/15/14	230	219
Iasis Healthcare LLC Synthetic Letter of Credit
2.100%, 03/15/14	62	59
Iasis Healthcare LLC Term Loan B
2.229%, 03/15/14	664	633
IMS Health Term Loan B
0.000%, 02/26/16 (D)	200	201
Infor Enterprise Solution, 2nd Lien
0.000%, 03/02/14 (D)	141	111
Infor Enterprise Solutions Holdings
3.990%, 07/28/12	569	529
Infor Enterprise Solutions Holdings Tranche 1
3.990%, 07/28/12	78	72
Infor Global Enterprise Solutions
6.481%, 03/02/14	27	21
Infor Global Enterprise Solutions Tranche 1
6.481%, 03/02/14	138	109
Infor Global Solutions Intermediate Holdings
6.481%, 03/02/14	305	240
Infor Global Solutions, Ser B
0.000%, 07/30/12 (D)	100	93
Integra Telecom
10.500%, 08/31/13	570	570
Intelsat
3.231%, 02/01/14	1,050	953
Inverness Medical Innovations
4.481%, 06/26/15	440	426
Jetro Holdings Tranche 1
2.510%, 07/02/14	203	195
2.480%, 07/02/14	206	197
Knology
2.481%, 06/30/12	943	907
Lake at Las Vegas Joint Venture
14.350%, 06/20/12 (C)	2,361	24
9.731%, 06/20/12 (C)	588	147
Lake at Las Vegas Joint Venture (Synthetic)
15.000%, 06/20/12 (C)	120	1
Lamar Media
5.500%, 09/30/12	316	318


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Meg Energy
6.000%, 04/03/16	$437	$429
Metroflag, 2nd Lien
11.250%, 01/06/09 (C) (E)	1,500	—
Mylan Laboratories Term Loan B
3.562%, 10/02/14	920	909
3.500%, 10/02/14	209	206
Nalco Term Loan B
6.500%, 05/06/16	438	441
Nielsen Finance New Facility
2.228%, 12/31/17	612	574
Niska Gas Storage US
1.979%, 05/12/13	90	89
Niska Gas Storage, Canada
1.979%, 05/12/13	457	450
NRG Holdings Letter of Credit
0.151%, 02/01/13	153	148
NRG Holdings Term Loan B
2.001%, 02/01/13	205	198
1.981%, 02/01/13	56	54
Oshkosh Term Loan B
6.260%, 12/06/13	117	117
6.250%, 12/06/13	259	259
Pilot Travel Centers
0.000%, 11/12/15 (D)	250	251
Reable Therapeutics (DJO Finance) Term Loan B
3.231%, 05/20/14	394	381
Realogy, Ser B
0.000%, 10/10/13 (D)	700	618
Regal Cinemas
4.001%, 10/27/13	352	352
ReMax International
9.760%, 12/17/12	3	3
5.760%, 12/17/12	66	66
5.740%, 12/17/12	47	47
ReMax International, Ser B-2
9.760%, 12/17/12	79	79
9.740%, 12/17/12	59	59
Reynold
6.250%, 11/05/15	840	844
Reynolds Group
5.750%, 05/13/16	500	502
Sensata Technology
1.999%, 04/27/13	438	407
Sirva Revolving Credit Loan
9.500%, 05/12/12	75	39
Sirva Worldwide (Unfunded)
0.500%, 05/12/12	207	100
Sungard Data Systems
3.874%, 02/28/16	423	413
3.864%, 02/28/16	34	34
Supervalu
1.104%, 06/02/11	280	276
Supervalu, Ser A
0.000%, 06/02/11 (D)	200	197
Texas Competitive Electric
3.751%, 10/10/14	20	16
3.728%, 10/10/14	1,945	1,567
Travelport LLC Letter of Credit
2.751%, 08/23/13	45	42


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Travelport LLC Term Loan B
2.751%, 08/23/13	$91	$84
2.741%, 08/23/13	158	148
2.739%, 08/23/13	145	137
Travelport LLC Term Loan C-1
10.500%, 08/23/13	159	160
United Surgical Partners (Delayed Draw)
2.240%, 04/19/14	83	78
United Surgical Partners, Ser B
2.240%, 04/19/14	364	340
Univision Communications
2.501%, 09/29/14	624	536
Vanguard Health Term Loan
5.000%, 01/15/16	400	401
Verint Systems
3.490%, 05/25/14	1,063	1,005
VWR International Term Loan B
2.731%, 06/30/14	473	432
Warner Chilcott PLC, Ser A
5.500%, 10/30/14	169	169
Warner Chilcott PLC, Ser B
5.750%, 04/30/15	85	85
Warner Chilcott PLC, Ser B2
5.750%, 04/30/15	186	186
Wide Open West Finance 1st Lien
2.755%, 06/30/14	183	169
2.750%, 06/30/14	179	165
2.749%, 06/30/14	183	169

Total Loan Participations (Cost $45,682) ($ Thousands)		42,713


CORPORATE OBLIGATIONS — 10.5%

Consumer Discretionary — 0.2%
Macy’s Retail Holdings
5.350%, 03/15/12	225	232
Sirius XM Radio
9.750%, 09/01/15 (A)	90	94

		326


Consumer Staples — 0.3%
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)	450	408


Energy — 0.1%
Canadian Natural Resources
5.700%, 05/15/17	150	162


Financials — 7.1%
Ameriprise Financial
5.350%, 11/15/10	300	308
Bank of America
0.549%, 04/30/12 (B)	200	202
0.451%, 06/22/12 (B)	500	503
Capital One Financial MTN
5.700%, 09/15/11	300	315


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Citibank
0.251%, 07/12/11(B)	$785	$785
Citigroup
0.527%, 06/09/16(B)	300	255
Citigroup Funding
0.579%, 04/30/12(B)	125	126
0.205%, 06/03/11(B)	135	135
Everest Reinsurance Holdings
8.750%, 03/15/10	295	295
General Electric Capital
0.339%, 04/28/11(B)	275	275
0.253%, 12/21/12(B)	1,600	1,602
Genworth Global Funding Trusts MTN
5.200%, 10/08/10	400	409
GMAC
0.253%, 12/19/12(B)	350	350
Hartford Financial Services Group
7.900%, 06/15/10	250	254
JPMorgan Chase
0.484%, 06/15/12(B)	500	503
JPMorgan Chase Capital XXI, Ser U
1.199%, 02/02/37(B)	550	397
Liberty Property L.P.
7.250%, 03/15/11 ‡	300	314
MBIA Insurance
14.000%, 01/15/33 (A) (B)	200	94
Monumental Global Funding
0.451%, 01/15/14 (A) (B)	450	418
Morgan Stanley
0.549%, 01/09/14(B)	400	382
0.530%, 02/10/12(B)	350	352
0.454%, 03/13/12(B)	200	201
Prudential Financial MTN
5.100%, 12/14/11	300	314
Reinsurance Group of America
5.625%, 03/15/17	300	302
State Street
0.349%, 04/30/12(B)	285	284
State Street Bank and Trust
0.454%, 09/15/11(B)	295	296
Unitrin
6.000%, 05/15/17	260	245
4.875%, 11/01/10	300	303
Wachovia
0.374%, 03/15/11(B)	425	423

		10,642


Health Care — 0.2%
UnitedHealth Group
1.549%, 02/07/11(B)	250	251


Industrials — 0.5%
Berry Plastics
5.001%, 02/15/15(B)	460	430
Continental Airlines, Ser 061G
0.607%, 06/02/13(B)	300	246

		676


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)

Materials — 0.7%
NewPage
11.375%, 12/31/14	$380	$363
Verso Paper Holdings LLC
11.500%, 07/01/14 (A)	675	709

		1,072


Telecommunication Services — 0.6%
Corning
6.050%, 06/15/15	300	302
Telecom Italia Capital
0.861%, 07/18/11 (B)	300	298
Vodafone Group PLC
0.532%, 02/27/12 (B)	300	300

		900


Utilities — 0.8%
Ferrellgas Partners
9.125%, 10/01/17 (A)	450	470
KeySpan
7.625%, 11/15/10	300	314
Ohio Power
0.431%, 04/05/10 (B)	270	270
Southern, Ser A
5.300%, 01/15/12	175	188

		1,242

Total Corporate Obligations (Cost $15,850) ($ Thousands)		15,679


MORTGAGE-BACKED SECURITIES — 5.0%

Non-Agency Mortgage-Backed Obligations — 5.0%
American Tower Trust, Ser 2007- 1A, Cl D
5.957%, 04/15/37 (A)	250	263
Banc of America Funding, Ser 2005-F, Cl 4A1
5.287%, 09/20/35 (B)	430	310
Banc of America Funding, Ser 2006-D, Cl 3A1
5.488%, 05/20/36 (B)	351	278
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.742%, 08/15/29 (B)	193	169
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
4.026%, 02/25/35 (B)	197	168
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1
4.625%, 02/25/36 (B)	363	322
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35	498	515
Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J
1.182%, 04/15/22 (B)	155	21
Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
4.900%, 10/25/35 (B)	395	330


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Credit Suisse First Boston Mortgage Securities, Ser 2000- C1, Cl A2
7.545%, 04/15/62	$29	$29
Crown Castle Towers LLC, Ser 2006-1A, Cl E
6.065%, 11/15/36	380	400
Crusade Global Trust, Ser 2007-1, Cl A1
0.311%, 04/19/38 (B)	176	166
First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1
5.327%, 05/25/35 (B)	220	183
First Horizon Mortgage Pass- Through Certificate, Ser 2005- AR4, Cl 2A1
5.338%, 10/25/35 (B)	190	155
GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
5.409%, 04/19/36 (B)	385	293
GS Mortgage Securities, Ser 2007-EOP, Cl K
1.278%, 03/06/20 (B)	75	60
Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A
5.319%, 12/19/35 (B)	220	171
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
5.369%, 06/25/37 (B)	348	269
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
4.939%, 07/25/35 (B)	381	287
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 08/25/36 (B)	388	298
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 2A1
3.112%, 12/25/34 (B)	327	294
Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E
5.143%, 12/25/35 (B)	314	244
MLCC Mortgage Investors, Ser 2006-1, Cl 2A1
5.568%, 02/25/36 (B)	177	152
Morgan Stanley Capital I, Ser 2007-XLFA, Cl C
0.389%, 10/15/20 (B)	240	89
MortgageIT Trust, Ser 2005-4, Cl A1
0.509%, 10/25/35 (B)	365	259
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A
5.299%, 11/25/35 (B)	144	108
Residential Funding Mortgage Securities, Ser 2006-SA1, Cl 1A1
5.665%, 02/25/36 (B)	126	91
Residential Funding Mortgage Securities, Ser 2007-SA2, Cl 2A2
5.641%, 04/25/37 (B)	255	178


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4
5.047%, 12/25/35 (B)	$376	$308
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR3, Cl A2
4.550%, 03/25/35 (B)	308	276
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1
2.971%, 12/25/34 (B)	331	311
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005- AR16, Cl 3A2
4.054%, 10/25/35 (B)	87	78
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005- AR16, Cl 6A3
5.001%, 10/25/35 (B)	131	118
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3
5.100%, 03/25/36 (B)	138	118
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1
5.236%, 04/25/36 (B)	240	201

Total Mortgage-Backed Securities (Cost $9,144) ($ Thousands)		7,512


ASSET-BACKED SECURITIES — 4.9%

Automotive — 2.1%
AmeriCredit Automobile Receivables Trust, Ser 2007- CM, Cl A4A
5.550%, 04/07/14	500	525
Americredit Prime Automobile Receivable, Ser 2007-2M, Cl A3
5.220%, 06/08/12	218	222
Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B
5.150%, 09/17/12	230	239
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A
5.020%, 09/15/11	60	61
Capital One Auto Finance Trust, Ser 2005-C, Cl A4A
4.710%, 06/15/12	44	44
Capital One Auto Finance Trust, Ser 2007-C, Cl A3A
5.130%, 04/16/12	206	210
CarMax Auto Owner Trust, Ser 2007-1, Cl C
5.530%, 07/15/13	50	52
CarMax Auto Owner Trust, Ser 2008-1, Cl A4B
1.532%, 02/15/13 (B)	485	490


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A3A
5.000%, 02/08/12	$224	$227
Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A
5.150%, 11/15/11	135	137
GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C
0.659%, 04/20/13 (B)	120	115
Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl C
5.540%, 04/15/15	105	109
Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3B
0.632%, 01/17/12 (B)	47	47
Merrill Auto Trust Securitization, Ser 2007-1, Cl C
5.960%, 12/15/13	152	154
Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A3
5.030%, 05/16/11	38	39
Swift Master Auto Receivables Trust, Ser 2007-2, Cl A
0.882%, 10/15/12 (B)	430	428
USAA Auto Owner Trust, Ser 2007-2, Cl A3
4.900%, 02/15/12	63	64

		3,163


Credit Cards — 1.3%
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.412%, 09/15/16 (B)	145	136
Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2
0.532%, 11/15/14 (B)	400	385
Chase Issuance Trust, Ser 2005- C2, Cl C2
0.672%, 01/15/15 (B)	400	389
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.848%, 11/07/14 (B)	500	489
GE Capital Credit Card Master Note Trust, Ser 2007-3, Cl C
0.532%, 06/15/13 (B)	500	494

		1,893


Mortgage Related Securities — 0.8%
First Franklin Mortgage Loan Asset, Ser 2006-FF18, Cl A2B
0.339%, 12/25/37 (B)	275	162
First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl M2
0.489%, 01/25/38 (B)	266	—
Morgan Stanley Capital I, Ser 2007-HE2, Cl M2
0.489%, 01/25/37 (B)	150	1
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1
0.679%, 08/25/35 (B)	350	271


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1
0.639%, 09/25/35 (B)	$370	$105
Option One Mortgage Loan Trust, Ser 2005-3, Cl M1
0.699%, 08/25/35 (B)	330	233
Option One Mortgage Loan Trust, Ser 2005-5, Cl M1
0.619%, 12/25/35 (B)	470	163
Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1
5.900%, 03/25/37	130	126
Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1
0.349%, 02/25/38 (B)	80	78
Residential Asset Securities, Ser 2005-KS12, Cl M1
0.669%, 01/25/36 (B)	375	131
Securitized Asset-Backed Receivables LLC, Ser 2007- NC2, Cl M2
0.489%, 01/25/37 (B)	145	1

		1,271


Other Asset-Backed Securities — 0.7%
ACAS Business Loan Trust, Ser 2006-1A, Cl A
0.486%, 11/27/19 (B)	359	309
ACAS Business Loan Trust, Ser 2007-1A, Cl C
1.100%, 08/16/19 (B)	425	115
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37	400	355
Lambda Finance, Ser 2005-1A, Cl A3
0.480%, 11/15/29 (B)	138	132
Sierra Receivables Funding, Ser 2007-2A, Cl A2
1.229%, 09/20/19 (B)	184	168

		1,079

Total Asset-Backed Securities (Cost $9,508) ($ Thousands)		7,406


U.S. TREASURY OBLIGATIONS — 2.8%
U.S. Treasury Inflation Protection Securities
0.875%, 04/15/10	3,145	3,602
U.S. Treasury Note
0.875%, 01/31/11	600	603

Total U.S. Treasury Obligations (Cost $4,188) ($ Thousands)		4,205


Description	Face Amount ($ Thousands)/Shares	Market Value ($ Thousands)

U.S. GOVERNMENT AGENCY OBLIGATION — 1.0%
FHLB
1.375%, 05/16/11	$1,500	$1,515

Total U.S. Government Agency Obligation (Cost $1,499) ($ Thousands)		1,515


CASH EQUIVALENT — 6.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.070% * †	9,324	9,324

Total Cash Equivalent (Cost $9,324) ($ Thousands)		9,324


AFFILIATED PARTNERSHIP — 43.0%
SEI LIBOR Plus Portfolio †	9,799,008	64,674

Total Affiliated Partnership (Cost $94,924) ($ Thousands)		64,674

Total Investments — 101.8% (Cost $190,119)($ Thousands)††		$153,028

Percentages are based on a Net Assets of $150,304 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note	(25	)	Jun-2010	$	(9	)
U.S. 2-Year Treasury Note	(12	)	Jul-2010		(5	)
U.S. 5-Year Treasury Note	27		Jul-2010		6
U.S. Long Treasury Bond	(5	)	Jun-2010		(4	)

				$	(12	)

Rate shown is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $190,119 ($Thousands), and the unrealized appreciation and depreciation were $1,804 ($Thousands) and $(38,895) ($Thousands) respectively.

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees.

(B)

Variable Rate Security. The rate reported is the rate in effect as of February 28, 2010. The date reported is the final maturity date.

(C)

Security in default on interest payments.

(D)

Unsettled Loan Participation. Interest rate not available.

(E)

Securities considered illiquid. The total value of such securities as of February 28, 2010 was $0 ($ Thousands) and represented 0.00% of net assets.

Cl — Class

FHLB — Federal Home Loan Bank

FNMA — Federal National Mortgage Association

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

Ser — Series

Amounts designated as “—” are $O or have been rounded to $O.

See end of Form N-Q Filing for ASC 820 disclosure.

For information on the Fund’s policy regarding significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 47.6%

Agency Mortgage-Backed Obligations — 32.3%
FHLB, CMO, Ser 1067, Cl 1
5.300%, 06/15/12	$	708	$	749
FHLMC TBA
5.000%, 03/01/35		1,000		1,039
FHLMC
11.000%, 02/17/21		2,331		2,576
10.000%, 03/17/26 to 10/01/30		4,100		4,787
7.500%, 08/01/30 to 09/20/38		4,200		4,681
7.000%, 11/01/15 to 09/01/25		158		176
6.500%, 06/01/17 to 09/01/38		38,868		42,178
6.000%, 10/01/19 to 08/01/38		39,667		42,604
5.500%, 12/01/13 to 12/01/37		87,404		93,126
5.000%, 12/01/34		36,388		38,852
4.000%, 10/01/33		1,711		1,688
FHLMC ARM (B)
6.717%, 08/01/36		3,114		3,240
6.692%, 07/01/36		1,687		1,753
6.675%, 08/01/36		1,636		1,713
6.600%, 11/01/37		1,089		1,135
6.515%, 12/01/36		1,948		2,033
6.502%, 10/01/36		711		746
6.466%, 02/01/37		1,602		1,671
6.409%, 09/01/36		13,027		13,606
6.349%, 12/01/36		2,937		3,070
6.302%, 10/01/36		4,209		4,393
6.288%, 09/01/37		1,167		1,222
6.273%, 09/01/37		6,011		6,419
6.258%, 02/01/37		3,618		3,768
6.248%, 09/01/36		1,208		1,256
6.227%, 03/01/37		1,339		1,389
6.204%, 11/01/37		2,647		2,761
6.202%, 06/01/36		2,379		2,481
6.193%, 05/01/37		2,191		2,292
6.186%, 12/01/36		1,049		1,088
6.170%, 12/01/36		1,736		1,810
6.144%, 01/01/37		5,731		5,983
6.141%, 06/01/37		587		617
6.137%, 09/01/36		652		681
6.124%, 04/01/37		514		540
6.059%, 11/01/36		1,064		1,108
6.038%, 12/01/36		3,144		3,275
5.988%, 10/01/36		1,651		1,682
5.968%, 02/01/37		1,124		1,171
5.957%, 03/01/38		5,744		6,122
5.954%, 04/01/37		4,346		4,528
5.953%, 01/01/37		587		620
5.933%, 03/01/37		2,593		2,701
5.924%, 11/01/36		1,743		1,817
5.917%, 07/01/37		957		1,000
5.872%, 05/01/36		1,481		1,544
5.869%, 05/01/37		8,947		9,363
5.861%, 09/01/38		60		63
5.846%, 05/01/37		572		596


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.832%, 04/01/37	$	2,965	$	3,097
5.830%, 11/01/36		2,466		2,577
5.823%, 05/01/37		3,704		3,854
5.818%, 06/01/37		1,614		1,680
5.809%, 11/01/38		915		975
5.803%, 05/01/37		1,322		1,405
5.738%, 04/01/38		747		792
5.723%, 02/01/37		1,595		1,659
5.710%, 03/01/36		1,169		1,228
5.697%, 04/01/37		1,069		1,110
5.682%, 03/01/36		2,177		2,284
5.653%, 10/01/38		1,098		1,165
5.628%, 05/01/37		1,043		1,084
5.607%, 07/01/38		4,443		4,725
5.569%, 05/01/36		1,063		1,110
5.552%, 05/01/36		2,269		2,356
5.550%, 08/01/37		4,381		4,565
5.423%, 05/01/38		1,776		1,879
5.122%, 01/01/36		4,446		4,672
FHLMC CMO, Ser 3067, Cl XP
6.000%, 04/15/36		1,267		1,382
FHLMC CMO, Ser 3515, IO
5.500%, 07/15/37		1,345		260
FHLMC CMO, Ser 2725, Cl SX
16.008%, 10/15/33 (B)		256		278
FHLMC CMO, Ser 3626, Cl MA
5.000%, 02/15/30		13,931		14,895
FHLMC CMO, Ser 3422, Cl SE
16.873%, 02/15/38 (B)		345		392
FHLMC CMO, Ser 2695, Cl SC
8.732%, 11/15/33 (B)		322		277
FHLMC CMO, Ser 3128, Cl BE
5.000%, 05/15/33		3,621		3,825
FHLMC CMO, Ser 2899, Cl PD
5.000%, 04/15/33		3,356		3,540
FHLMC CMO, Ser 2888, Cl CG
5.000%, 08/15/33		4,411		4,668
FHLMC CMO, Ser 3099, Cl OG
5.000%, 06/15/34		6,979		7,384
FHLMC CMO, Ser 1142, Cl IA
7.000%, 10/15/21		405		437
FHLMC CMO, Ser 2690, PO
4.800%, 10/15/33 to
04/15/37		2,462		1,922
FHLMC CMO, Ser 2591 Cl QO
4.500%, 03/15/18		1,000		1,057
FHLMC CMO, Ser T-76, Cl 2A
4.845%, 10/25/37 (B)		1,628		1,665
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19		27		30
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23		11,973		12,918
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23		1,270		1,371
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28		1,708		1,827
FHLMC CMO, Ser 2075, Cl D
6.500%, 08/15/28		1,877		2,039


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2138, Cl KS, IO
7.469%, 02/15/29 (B)	$	2,216	$	228
FHLMC CMO, Ser 2293, Cl ZA
6.000%, 03/15/31		2,082		2,256
FHLMC CMO, Ser 2312, Cl Z
6.500%, 05/15/31		1,269		1,371
FHLMC CMO, Ser 2357, Cl ZJ
6.500%, 09/15/31		310		340
FHLMC CMO, Ser 2434, Cl ZA
6.500%, 04/15/32		3,428		3,754
FHLMC CMO, Ser 2456, Cl CJ
6.500%, 06/15/32		1,072		1,177
FHLMC CMO, Ser 2458, Cl ZM
6.500%, 06/15/32		1,825		2,009
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17		1,000		1,067
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18		4,137		4,438
FHLMC CMO, Ser 2590, Cl BY
5.000%, 03/15/18		1,346		1,442
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17		1,000		1,044
FHLMC CMO, Ser 2631, Cl SA
14.427%, 06/15/33 (B)		961		1,034
FHLMC CMO, Ser 2631, Cl MC
5.000%, 02/15/32		484		512
FHLMC CMO, Ser 2671, Cl S
14.336%, 09/15/33 (B)		883		949
FHLMC CMO, Ser 2676, Cl CY
4.000%, 09/15/18		2,291		2,380
FHLMC CMO, Ser 2684, Cl SN
27.097%, 10/15/33 (B)		200		249
FHLMC CMO, Ser 2690, Cl TV
4.500%, 11/15/25		1,800		1,856
FHLMC CMO, Ser 2690, Cl SJ
8.804%, 10/15/33 (B)		704		642
FHLMC CMO, Ser 2698, Cl SV
8.654%, 11/15/33 (B)		380		353
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29		470		481
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34		6,302		6,492
FHLMC CMO, Ser 2765, Cl CT
4.000%, 03/15/19		1,557		1,599
FHLMC CMO, Ser 2778, Cl JD
5.000%, 12/15/32		1,974		2,087
FHLMC CMO, Ser 2790, Cl TN
4.000%, 05/15/24		2,779		2,805
FHLMC CMO, Ser 2827, Cl CS
15.866%, 04/15/32 (B)		150		159
FHLMC CMO, Ser 2833, Cl KO, PO
5.000%, 08/15/34		322		280
FHLMC CMO, Ser 2843, Cl BC
5.000%, 08/15/19		1,740		1,864
FHLMC CMO, Ser 2864, Cl NB
5.500%, 07/15/33		2,000		2,143
FHLMC CMO, Ser 2865, Cl GO, PO
8.800%, 10/15/33		521		438
FHLMC CMO, Ser 2875, Cl HB
4.000%, 10/15/19		954		971


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2945, Cl SA
11.879%, 03/15/20 (B)	$	3,414	$	3,721
FHLMC CMO, Ser 2950, Cl JO, PO
6.901% — 8.992%, 03/15/20		578		502
FHLMC CMO, Ser 2968, Cl FC
1.229%, 12/15/34 (B)		272		272
FHLMC CMO, Ser 2981, Cl FA
0.631%, 05/15/35 (B)		1,021		990
FHLMC CMO, Ser 2985, Cl JR
4.500%, 06/15/25		4,161		4,304
FHLMC CMO, Ser 2990, Cl LK
0.601%, 10/15/34 (B)		933		921
FHLMC CMO, Ser 3001, Cl HP
21.078%, 05/15/35 (B)		153		163
FHLMC CMO, Ser 3006, Cl QS
19.528%, 07/15/35 (B)		947		1,089
FHLMC CMO, Ser 3012, Cl GK
23.712%, 06/15/35 (B)		148		166
FHLMC CMO, Ser 3028, Cl PG
5.500%, 09/15/35		437		472
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35		1,045		1,129
FHLMC CMO, Ser 3047, Cl YT
0.000%, 09/15/34 (B)		198		196
FHLMC CMO, Ser 3049, Cl XF
0.581%, 05/15/33 (B)		1,162		1,142
FHLMC CMO, Ser 3076, Cl MP
0.000%, 10/15/30		108		108
FHLMC CMO, Ser 3167, Cl QA
6.000%, 10/15/26		137		138
FHLMC CMO, Ser 3195, Cl PD
6.500%, 07/15/36		2,500		2,773
FHLMC CMO, Ser 3202, Cl HI, IO
6.419%, 08/15/36 (B)		1,398		159
FHLMC CMO, Ser 3217, Cl CX, IO
6.359%, 09/15/36 (B)		1,274		126
FHLMC CMO, Ser 3263, Cl WE
0.000%, 08/15/35 (B)		164		152
FHLMC CMO, Ser 3273, Cl TH
7.500%, 08/15/35 (B)		170		170
FHLMC CMO, Ser 3312, Cl BP
5.500%, 01/15/31		300		315
FHLMC CMO, Ser 3336, Cl FA
0.461%, 02/15/19 (B)		18,952		18,952
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22		2,533		2,645
FHLMC CMO, Ser 3383, Cl SA, IO
6.219%, 11/15/37 (B)		1,670		138
FHLMC CMO, Ser 3387, Cl SA, IO
6.189%, 11/15/37 (B)		1,369		163
FHLMC CMO, Ser 3437, Cl AI, IO
1.335%, 09/15/11		4,262		48
FHLMC CMO, Ser 3455, Cl SE, IO
5.969%, 06/15/38 (B)		5,315		614
FHLMC CMO, Ser 3465, Cl HA
4.000%, 07/15/17		4,946		5,161
FHLMC CMO, Ser 3546, Cl A
6.124%, 02/15/39 (B)		1,006		1,054
FHLMC CMO, Ser T-41, Cl 2A
6.974%, 07/25/32 (B)		896		986


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser T-42, Cl A5
7.500%, 02/25/42	$	1,231	$	1,387
FHLMC CMO, Ser T-54, Cl 3A
7.000%, 02/25/43		821		907
FHLMC CMO, Ser T-57, Cl 1A1
6.500%, 07/25/43		778		850
FHLMC CMO, Ser T-58, Cl 4A
7.500%, 09/25/43		1,009		1,116
FHLMC CMO, Ser T-60, Cl 1A2
7.000%, 03/25/44		755		836
FHLMC-GNMA CMO, Cl L
6.250%, 10/25/23		973		1,031
FHLMC Multifamily Structured Pass Through Certificates, Ser K003, Cl AAB
4.768%, 05/25/18		2,824		2,957
FHLMC Multifamily Structured Pass Through Certificates, Ser K005, Cl A1
4.317%, 11/25/19		4,683		4,772
FHLMC Multifamily Structured Pass Through Certificates, Ser K004, Cl A2
4.186%, 08/25/19		2,334		2,361
FHLMC Multifamily Structured Pass Through Certificate, Ser K005, Cl A2
3.484%, 04/25/19		929		945
FNMA TBA
6.000%, 03/25/40		15,980		17,127
5.000%, 03/18/22 to
04/01/38		50,800		52,597
4.500%, 04/30/20 to
03/25/40		37,820		35,443
FNMA
8.000%, 04/01/15 to 11/01/37		3,438		3,765
7.500%, 06/01/30 to 04/01/39		6,302		6,993
7.000%, 12/01/15 to 01/01/39		12,320		13,559
6.500%, 08/01/36		163		174
6.500%, 05/01/17 to 10/01/37		53,466		57,399
6.000%, 03/01/19 to 08/01/37		130,278		138,935
5.500%, 04/01/14 to 08/01/37		265,366		282,807
5.000%, 02/01/20 to 09/01/35		67,180		70,376
4.500%, 07/01/20 to 02/01/40		75,708		77,343
4.000%, 04/01/19 to 11/01/20		3,710		3,804
FNMA ARM (B)
6.625%, 01/01/37		1,905		2,018
6.590%, 09/01/36		965		1,015
6.348%, 09/01/36		962		1,010
6.298%, 10/01/36		1,843		1,930
6.280%, 10/01/36		1,077		1,131
6.252%, 09/01/37		68		71
6.248%, 07/01/37		873		920


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.229%, 02/01/37	$	1,375	$	1,444
6.187%, 08/01/36		775		815
6.161%, 08/01/37		1,519		1,582
6.146%, 09/01/36		2,283		2,394
6.106%, 12/01/36		1,251		1,317
6.080%, 08/01/36		1,170		1,222
6.079%, 09/01/36		1,979		2,042
6.067%, 09/01/37		572		603
6.047%, 05/01/36		932		969
6.025%, 11/01/37		949		993
6.021%, 07/01/37		2,080		2,175
6.017%, 09/01/37		1,706		1,784
6.014%, 10/01/37		606		638
6.013%, 10/01/37		1,884		1,973
6.009%, 01/01/37		1,672		1,755
6.000%, 04/01/37		636		664
5.972%, 05/01/37		790		845
5.970%, 07/01/37		2,770		2,919
5.969%, 04/01/37		1,722		1,804
5.966%, 07/01/37		1,034		1,082
5.954%, 11/01/37		13		14
5.948%, 05/01/37		878		917
5.945%, 07/01/37		1,955		2,045
5.943%, 07/01/37		1,942		2,034
5.935%, 07/01/36		2,248		2,355
5.926%, 06/01/36 to 03/01/37		2,394		2,504
5.925%, 10/01/36		654		685
5.919%, 01/01/37		2,064		2,168
5.915%, 03/01/37		550		574
5.912%, 04/01/37 to 09/01/37		2,574		2,697
5.910%, 11/01/36		2,019		2,121
5.907%, 10/01/37		1,489		1,562
5.900%, 12/01/36		3,387		3,550
5.891%, 02/01/37		1,445		1,516
5.888%, 03/01/37		891		931
5.875%, 08/01/37		2,466		2,576
5.871%, 04/01/37 to 12/01/37		5,026		5,277
5.869%, 03/01/37		2,391		2,496
5.867%, 10/01/36		3,837		4,019
5.847%, 04/01/37		2,499		2,617
5.821%, 11/01/37		1,658		1,737
5.814%, 03/01/37		2,101		2,194
5.801%, 08/01/37		2,729		2,851
5.765%, 02/01/37		1,863		1,951
5.763%, 03/01/37		12,142		12,669
5.712%, 05/01/37		1,152		1,214
5.686%, 01/01/23		1,172		1,247
5.669%, 02/01/39		2,926		3,061
5.666%, 11/01/36		1,322		1,382
5.661%, 05/01/37		907		949
5.652%, 05/01/37		4,374		4,575
5.645%, 09/01/37		1,346		1,416
5.615%, 02/01/36 to 11/01/37		8,574		8,996
5.610%, 01/01/37		2,459		2,578
5.602%, 06/01/36		2,364		2,457
5.571%, 05/01/37		1,678		1,757
5.523%, 10/01/36		3,306		3,412


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.498%, 05/01/38	$	6,462	$	6,850
5.493%, 07/01/37		887		925
5.471%, 09/01/37		1,172		1,223
2.446%, 11/01/35		1,756		1,769
2.437%, 11/01/35		1,676		1,688
2.430%, 11/01/35		1,779		1,791
2.424%, 11/01/35		1,738		1,750
2.415%, 11/01/35		1,815		1,828
FNMA CMO, Ser 2008-20, Cl SA
6.761%, 03/25/38 (B)		1,813		278
FNMA CMO, Cl A6
0.429%, 10/27/37 (B)		2,000		1,975
FNMA CMO, Cl A1
3.305%, 06/25/19		886		890
FNMA CMO, Cl WA
6.135%, 02/25/40 (B)		992		1,083
FNMA CMO, Cl MB
4.000%, 12/25/39		2,000		2,094
FNMA CMO, Cl A2
4.450%, 09/25/19		1,374		1,381
FNMA CMO, Cl JT
6.000%, 06/25/36		3,411		3,652
FNMA CMO, Cl XB
5.000%, 03/25/38		3,092		3,202
FNMA CMO, Cl UE
5.000%, 01/25/34		2,396		2,528
FNMA CMO, Cl J
5.000%, 09/25/19		5,949		6,280
GNMA CMO
19.285%, 02/20/34 (B)		102		130
FNMA CMO, Ser 2007-116, Cl HI
6.586%, 01/25/38 (B)		5,918		374
FNMA CMO, Ser 2009-12, Cl SA
6.221%, 10/25/37 to 12/25/37 (B)		6,456		646
FNMA CMO, Ser 2009-84, Cl WS
5.671%, 10/25/39 (B)		3,255		265
FNMA CMO, Ser 2003-3, Cl HJ
5.000%, 07/25/39		1,797		356
FNMA CMO, Ser 2005-27, Cl SA
2.687%, 04/25/32 to 04/25/36		3,648		3,136
FNMA CMO, Ser ACES, Cl A3
4.001%, 01/25/19		4,134		4,117
FNMA CMO, Ser 2005-90, Cl ES
16.303%, 10/25/35 (B)		553		642
FHLMC CMO, Ser 2934, Cl CI
5.000%, 01/15/34		9,978		10,597
FHLMC CMO, Ser 3052, Cl MH
5.250%, 10/15/34		3,126		3,300
FHLMC CMO, Ser 3234, Cl MC
4.500%, 10/15/36		166		163
FHLMC CMO, Ser 3289, Cl PC
5.000%, 12/15/32		3,362		3,464


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2005-16, Cl PE
5.000%, 03/25/34	$	5,423	$	5,768
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/36		627		690
FNMA CMO, Ser 2006-43, Cl VB
6.500%, 10/25/17		746		813
FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/36		816		899
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/21		357		393
FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/22		961		1,068
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/22		825		917
FNMA CMO, Ser 1992-96, Cl B
11.282%, 05/25/22		1		1
FNMA CMO, Ser 1993-149, Cl SH
11.500%, 08/25/23 (B)		369		465
FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/23		1,535		1,639
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/23		2,026		2,177
FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/24		1,318		1,424
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/24		1,189		1,322
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/27		897		959
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		2,300		2,463
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/41		1,040		1,123
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/16		1,756		1,895
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		721		782
FNMA CMO, Ser 2001-81, Cl HE
6.500%, 01/25/32		18,827		20,098
FNMA CMO, Ser 2002-10, Cl SB
18.651%, 03/25/17 (B)		203		237
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/42		892		963
FNMA CMO, Ser 2002-94, Cl HQ
4.500%, 01/25/18		2,379		2,510
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18		230		238
FNMA CMO, Ser 2003-125, Cl AY
4.000%, 12/25/18		660		681
FNMA CMO, Ser 2003-131, Cl SK
15.743%, 01/25/34 (B)		1,032		1,201
FNMA CMO, Ser 2003-24, Cl MV
5.500%, 02/25/14		1,292		1,387
FNMA CMO, Ser 2003-3, Cl HJ
5.000%, 02/25/18		1,000		1,068
FNMA CMO, Ser 2003-30, Cl HS, IO
7.421%, 07/25/17 (B)		1,781		133
FNMA CMO, Ser 2003-35, Cl EA, PO
8.780%, 05/25/33		761		540
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/23		1,300		1,404


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2003-50, Cl QJ
5.000%, 08/25/28	$	262	$	265
FNMA CMO, Ser 2003-91, Cl XT
4.500%, 12/25/17		1,427		1,467
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/20		2,500		2,670
FNMA CMO, Ser 2004-52, Cl PX, PO
6.252%, 09/25/32		439		400
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34		1,413		1,511
FNMA CMO, Ser 2004-61, Cl CO, PO
4.921%, 10/25/31		469		446
FNMA CMO, Ser 2005-106, Cl US
23.728%, 11/25/35 (B)		1,396		1,994
FNMA CMO, Ser 2005-14, Cl BA
4.500%, 04/25/19		1,936		2,024
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		828		896
FNMA CMO, Ser 2005-72, Cl SB
16.303%, 08/25/35 (B)		913		1,050
FNMA CMO, Ser 2005-74, Cl CS
19.391%, 05/25/35 (B)		723		865
FNMA CMO, Ser 2005-88, Cl QO, PO
27.367%, 11/25/33		515		418
FNMA CMO, Ser 2005-96, Cl BP
5.900%, 02/25/15		887		912
FNMA CMO, Ser 2006-118, Cl A2
0.289%, 12/25/36 (B)		2,196		2,144
FNMA CMO, Ser 2006-23, Cl FK
0.479%, 04/25/36 (B)		633		624
FNMA CMO, Ser 2006-3, Cl D0, PO
5.929%, 03/25/36		1,011		871
FNMA CMO, Ser 2006-33, Cl LS
29.121%, 05/25/36 (B)		575		806
FNMA CMO, Ser 2006-44, Cl FP
0.629%, 06/25/36 (B)		1,008		995
FNMA CMO, Ser 2006-44, Cl P, PO
5.624%, 12/25/33		480		390
FNMA CMO, Ser 2006-46, Cl SW
23.361%, 06/25/36 (B)		652		884
FNMA CMO, Ser 2006-60, Cl UO, PO
4.641%, 07/25/36		1,368		1,190
FNMA CMO, Ser 2006-75, Cl VD
6.500%, 05/25/17		1,478		1,600
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22		3,664		3,812
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37		1,269		1,326
FNMA CMO, Ser 2007-39, Cl NA
4.250%, 01/25/37		183		191
FNMA CMO, Ser 2007-43, Cl FL
0.529%, 05/25/37 (B)		694		682
FNMA CMO, Ser 2007-53, Cl SH, IO
5.871%, 06/25/37 (B)		3,142		316


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2007-54, Cl FA
0.629%, 06/25/37 (B)	$	2,735	$	2,712
FNMA CMO, Ser 2007-60, Cl AX, IO
6.921%, 07/25/37 (B)		3,585		546
FNMA CMO, Ser 2007-79, Cl SB
23.178%, 08/25/37 (B)		272		341
FNMA CMO, Ser 2007-92, Cl YS, IO
5.551%, 06/25/37 (B)		2,966		264
FNMA CMO, Ser 2008-1, Cl BI, IO
5.681%, 02/25/38 (B)		3,722		317
FNMA CMO, Ser 2008-22, Cl SI
6.201%, 03/25/37 (B)		22,821		2,982
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/23		1,500		1,602
FNMA CMO, Ser 2008-32, Cl SA, IO
6.621%, 04/25/38 (B)		1,799		160
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (B)		5,201		73
FNMA CMO, Ser 2008-4, Cl SD, IO
5.771%, 02/25/38 (B)		5,358		490
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/23		3,500		3,731
FNMA CMO, Ser 2008-66, Cl B
5.000%, 08/25/23		669		708
FNMA CMO, Ser 2009-31, Cl A2
4.287%, 07/25/19		6,238		6,392
FNMA CMO, Ser 2009-99, Cl SC, IO
5.951%, 12/25/39 (B)		5,451		299
FNMA CMO, Ser G92-41, Cl MA
8.000%, 08/25/22		1,145		1,273
FNMA Grantor Trust CMO, Ser 2000-86, Cl A1
7.500%, 06/25/30		1,219		1,377
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41		2,789		3,152
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42		799		862
FNMA Grantor Trust CMO, Ser 2002-T3, Cl B
5.763%, 12/25/11		727		781
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		1,024		1,116
FNMA Interest STRIP CMO, IO
7.000%, 01/01/32		1,126		199
6.500%, 02/01/33		1,839		322
FNMA Whole Loan CMO, Cl 2A
7.000%, 10/25/42		741		800
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.500%, 12/25/42		1,093		1,213
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/42		1,840		1,938


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/42	$	914	$	987
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33		1,149		1,252
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		1,384		1,494
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/44		1,048		1,131
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.449%, 03/25/45 (B)		2,040		1,939
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45		462		520
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.449%, 02/25/36 (B)		1,053		1,017
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.489%, 11/25/46 (B)		1,588		1,596
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
37.808%, 07/25/37 (B)		150		251
GNMA TBA
4.500%, 03/01/38 to 03/15/40		58,265		59,097
GNMA
9.500%, 12/15/20		11		13
7.500%, 10/15/37		3,381		3,696
7.000%, 04/15/26 to 06/15/35		4,768		5,268
6.500%, 01/15/24 to 02/15/39		17,296		18,780
6.000%, 11/15/23 to 02/15/35		34,239		36,918
5.500%, 11/01/18		2,275		2,446
5.000%, 05/15/33 to 11/15/35		31,170		32,698
GNMA CMO, Ser 2004-34, Cl JO
0.000%, 01/17/33 to 11/16/37		3,121		2,726
GNMA CMO, Ser 2001-18, Cl WH
31.599%, 04/20/31 (B)		145		202
GNMA CMO, Ser 2001-22, Cl PS
20.413%, 03/17/31 (B)		1,081		1,415
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31		1,839		2,053
GNMA CMO, Ser 2002-23, Cl SD
20.327%, 04/16/32 (B)		1,631		2,033
GNMA CMO, Ser 2002-51, Cl SG
31.509%, 04/20/31 (B)		137		196
GNMA CMO, Ser 2002-69, Cl SC
15.997%, 02/20/32 (B)		438		482
GNMA CMO, Ser 2003-60, Cl GS
12.030%, 05/16/33 (B)		238		242
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33		11,933		12,175


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2003-97, Cl SA, IO
6.318%, 11/16/33 (B)	$	828	$	97
GNMA CMO, Ser 2004-28, Cl SV
8.771%, 04/20/34 (B)		1,720		1,721
GNMA CMO, Ser 2004-34, Cl JO, PO
2.656%, 02/20/34		293		282
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (B)		528		548
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34		502		2
GNMA CMO, Ser 2004-87, Cl SB
7.409%, 03/17/33 (B)		432		410
GNMA CMO, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28		419		2
GNMA CMO, Ser 2005-3, Cl SB, IO
5.871%, 01/20/35 (B)		2,279		191
GNMA CMO, Ser 2005-7, Cl JM
16.217%, 05/18/34 (B)		455		520
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35		1,000		1,090
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36		1,723		1,813
GNMA CMO, Ser 2006-38, Cl SW, IO
6.271%, 06/20/36 (B)		2,397		203
GNMA CMO, Ser 2007-17, Cl AF
0.432%, 04/16/37 (B)		1,076		1,061
GNMA CMO, Ser 2007-27, Cl SD, IO
5.971%, 05/20/37 (B)		1,538		138
GNMA CMO, Ser 2007-42, Cl SB, IO
6.521%, 07/20/37 (B)		2,229		203
GNMA CMO, Ser 2007-45, Cl QA, IO
6.411%, 07/20/37 (B)		1,463		133
GNMA CMO, Ser 2007-72, Cl USIO, IO
6.321%, 11/20/37 (B)		1,814		135
GNMA CMO, Ser 2007-81, Cl SP, IO
6.421%, 12/20/37 (B)		2,257		206
GNMA CMO, Ser 2007-82, Cl SA, IO
6.301%, 12/20/37 (B)		1,476		141
GNMA CMO, Ser 2007-9, Cl CI, IO
5.971%, 03/20/37 (B)		1,916		169
GNMA CMO, Ser 2008-10, Cl S, IO
5.601%, 02/20/38 (B)		2,610		232
GNMA CMO, Ser 2008-2, Cl MS, IO
6.928%, 01/16/38 (B)		1,936		205
GNMA CMO, Ser 2008-33, Cl XS, IO
7.468%, 04/16/38 (B)		1,158		140


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2008-55, Cl SA, IO
5.971%, 06/20/38 (B)	$	2,678	$	250
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		1,436		199
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/39		71		9
GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/37		1,761		208
GNMA CMO, Ser 2009-22, Cl SA, IO
6.041%, 04/20/39 (B)		3,985		348
GNMA CMO, Ser 2009-24, Cl DS, IO
6.071%, 03/20/39 (B)		2,369		261
GNMA CMO, Ser 2009-25, Cl SE, IO
7.371%, 09/20/38 (B)		1,530		157
GNMA CMO, Ser 2009-31, Cl TS, IO
6.071%, 03/20/39 (B)		4,084		389
GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/39		669		91
GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/37 (B)		3,261		75
GNMA CMO, Ser 2009-42, Cl SC, IO
5.851%, 06/20/39 (B)		1,423		132
GNMA CMO, Ser 2009-43, Cl SA, IO
5.721%, 06/20/39 (B)		3,557		326
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/20		1,433		1,574
GNMA CMO, Ser 2009-6, Cl SH, IO
5.811%, 02/20/39 (B)		3,019		283
GNMA CMO, Ser 2009-65, Cl TS, IO
6.171%, 12/20/38 (B)		5,430		575
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		1,810		238
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/39		2,245		2,432
GNMA, Ser 2002-57, Cl SB
109.022%, 08/16/32		106		331

				1,839,170


Non-Agency Mortgage-Backed Obligations — 15.3%
American Home Mortgage Assets, Ser 2006-5, Cl A1
1.391%, 11/25/46 (B)		1,640		763
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.354%, 03/25/47 (B)		13,856		7,354
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.800%, 05/24/36 (B) (D)		1,140		1,137


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ASG Resecuritization Trust, Ser 2009-3, Cl A65
5.573%, 03/26/37 (B) (D)	$	2,404	$	2,366
ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/37 (D)		1,774		1,757
Asset Securitization, Ser 1996-D3, Cl A2
7.776%, 10/13/26 (B)		2,159		2,288
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/18		514		516
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34		419		402
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		837		804
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/33		620		622
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33		988		991
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		702		677
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		619		616
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
6.194%, 11/25/21 (B)		309		271
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
6.172%, 04/25/37 (B)		488		301
Banc of America Commercial Mortgage, Cl E
7.634%, 09/15/32 (B)		767		765
Banc of America Commercial Mortgage, Cl A4
5.414%, 09/10/47		1,840		1,811
Banc of America Commercial Mortgage Securities, Ser 2002- PB2, Cl B
6.309%, 06/11/35		1,075		1,131
Banc of America Commercial Mortgage Securities, Ser 2002- PB2, Cl A4
6.186%, 06/11/35		5,100		5,403
Banc of America Commercial Mortgage Securities, Ser 2003- 1, Cl A1
3.878%, 09/11/36		2,394		2,434
Banc of America Commercial Mortgage Securities, Ser 2005- 3, Cl A4
4.668%, 07/10/43		4,794		4,746
Banc of America Commercial Mortgage Securities, Ser 2005- 4, Cl A5A
4.933%, 07/10/45		1,036		1,033


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Commercial Mortgage Securities, Ser 2005- 5, Cl A4
5.115%, 10/10/45 (B)	$	300	$	307
Banc of America Commercial Mortgage Securities, Ser 2005- 6, Cl A4
5.178%, 09/10/47 (B)		866		899
Banc of America Commercial Mortgage Securities, Ser 2006- 4, Cl A4
5.634%, 07/10/46		800		802
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		500		444
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/45 (B)		2,249		2,288
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/34		700		637
Banc of America Funding, Ser 2004-3, Cl 1A7
5.500%, 10/25/34		1,228		1,223
Banc of America Funding, Ser 2005-B, Cl 2A1
4.792%, 04/20/35 (B)		4,668		3,229
Banc of America Mortgage Securities, Cl 3A1
5.000%, 04/25/19		538		541
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.779%, 05/25/18 (B)		532		506
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		465		465
Banc of America Mortgage Securities
4.143%, 06/25/33 (B)		463		420
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A23
4.500%, 04/25/34		988		991
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/32		301		298
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (D)
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1		1,493		1,478
5.750%, 06/26/37 (D)		2,303		2,280
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1
5.250%, 05/26/37 (B) (D)		880		880
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 14A
5.163%, 05/25/34 (B)		619		625
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-3, Cl A1
2.530%, 08/25/35 (B)		681		658


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.273%, 05/25/34 (B)	$	3,257	$	3,190
Bear Stearns Alt-A Trust, Ser 2005-2, Cl 2A4
3.090%, 04/25/35 (B)		270		195
Bear Stearns Asset-Backed Securities Trust, Ser 2006-AC1, Cl 1A1
5.750%, 02/25/36		2,356		1,691
Bear Stearns Commercial Mortgage Securities, Ser 2005-5, Cl A1
5.455%, 03/11/39 (B)		300		311
Bear Stearns Commercial Mortgage Securities, Ser 2001- TOP4, Cl A3
5.610%, 11/15/33		1,709		1,779
Bear Stearns Commercial Mortgage Securities, Ser 2002- TOP6, Cl A2
6.460%, 10/15/36		3,645		3,881
Bear Stearns Commercial Mortgage Securities, Ser 2002- TOP8, Cl A2
4.830%, 08/15/38		3,071		3,201
Bear Stearns Commercial Mortgage Securities, Ser 2003- T-12, Cl A3
4.240%, 08/13/39 (B)		735		745
Bear Stearns Commercial Mortgage Securities, Ser 2004- PWR4, Cl A3
5.468%, 06/11/41 (B)		751		778
Bear Stearns Commercial Mortgage Securities, Ser 2004- PWR4, Cl A2
5.286%, 06/11/41 (B)		1,485		1,542
Bear Stearns Commercial Mortgage Securities, Ser 2005- PWR9, Cl AAB
4.804%, 09/11/42		1,280		1,326
Bear Stearns Commercial Mortgage Securities, Ser 2005- T20, Cl A4A
5.149%, 10/12/42 (B)		6,500		6,792
Bear Stearns Commercial Mortgage Securities, Ser 2006- T24, Cl A4
5.537%, 10/12/41		300		310
Bear Stearns Commercial Mortgage Securities, Ser 2007- PW10, Cl A4
5.405%, 12/11/40 (B)		4,367		4,489
Bear Stearns Commercial Mortgage Securities, Ser 2007- PW17, Cl A3
5.736%, 06/11/50		2,640		2,733
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.679%, 01/25/34 (B)		805		798


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
14.040%, 10/25/18	$	363	$	260
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
5.233%, 12/25/35 (B)		13,166		10,372
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
4.126%, 02/25/37 (B)		495		474
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
3.968%, 07/25/37 (B)		777		729
Citicorp Mortgage Securities, Cl 1A2
4.500%, 05/25/33		275		277
Citicorp Mortgage Securities, Ser 2004-3, Cl A8
5.250%, 05/25/34		507		507
Citigroup Deutsche Bank Commercial Mortgage, Ser 2007-CD4, Cl A4
5.322%, 12/11/49		6,855		6,202
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
5.072%, 08/25/34 (B)		874		892
Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3
4.900%, 12/25/35 (B)		6,355		5,404
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/36 (D)		1,513		1,395
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (B)		4,560		4,966
Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2
7.546%, 11/17/32 (B)		25		25
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.019%, 12/10/49 (B)		10,960		10,281
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl AJ
6.020%, 12/10/49 (B)		1,210		558
Commercial Mortgage Pass- Through Certificates, Ser 2004- LB3A, Cl A5
5.314%, 07/10/37 (B)		1,876		1,926
Commercial Mortgage Pass- Through Certificates, Ser 2004- LB2A, Cl A4
4.715%, 03/10/39		1,667		1,697
Commercial Mortgage Pass- Through Certificates, Ser 2005- LP5, Cl A4
4.982%, 05/10/43 (B)		600		614
Commercial Mortgage Pass- Through Certificates , Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (D)		5,564		5,816
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33		2,762		2,729


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34	$	2,391	$	1,986
Countrywide Alternative Loan Trust, Ser 2004-32CB, Cl 2A3, IO
4.871%, 02/25/35 (B)		45,502		4,315
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		439		435
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/31		1,356		1,244
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/31		382		237
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1
1.831%, 08/25/35 (B)		4,211		1,901
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.581%, 08/25/35 (B)		1,090		537
Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1
0.539%, 11/25/35 (B)		8,006		4,461
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.559%, 11/20/35 (B)		9,622		5,046
Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1
0.499%, 01/25/36 (B)		3,031		1,778
Countrywide Alternative Loan Trust, Ser 2006-0A9, Cl 2A1A
0.439%, 07/20/46 (B)		641		247
Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl A4
0.419%, 09/25/46 (B)		10,114		4,351
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-56, Cl 6A1
3.465%, 12/25/33 (B)		620		516
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J1, Cl A6
5.250%, 09/25/33		1,000		1,015
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3
9.477%, 08/25/18 (B)		252		228
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-20, Cl 2A1
3.083%, 09/25/34 (B)		96		40
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/19		1,892		1,875
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7
5.250%, 12/25/27		811		746


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.629%, 09/25/35 (B) (D)	$	7,494	$	6,310
Credit Suisse First Boston Mortgage Securities, 2005-C1, Cl A4
5.014%, 02/15/38 (B)		1,931		1,970
Credit Suisse First Boston Mortgage Securities, Ser 2003- 29, Cl 5A1
7.000%, 12/25/33		351		338
Credit Suisse First Boston Mortgage Securities, Ser 2001- CKN5, Cl A4
5.435%, 09/15/34		3,282		3,395
Credit Suisse First Boston Mortgage Securities, Ser 2002- CKS4, Cl A1
4.485%, 11/15/36		70		72
Credit Suisse First Boston Mortgage Securities, Ser 2002- CKS4, Cl A2
5.183%, 11/15/36		6,381		6,690
Credit Suisse First Boston Mortgage Securities, Ser 2002- CP5, Cl A2
4.940%, 12/15/35		987		1,031
Credit Suisse First Boston Mortgage Securities, Ser 2003- 29, Cl 8A1
6.000%, 11/25/18		709		690
Credit Suisse First Boston Mortgage Securities, Ser 2003- CK2, Cl A4
4.801%, 03/15/36		1,215		1,265
Credit Suisse First Boston Mortgage Securities, Ser 2003- CPN1, Cl A2
4.597%, 03/15/35		851		878
Credit Suisse First Boston Mortgage Securities, Ser 2004- AR5, Cl 7A2
3.618%, 06/25/34 (B)		909		869
Credit Suisse First Boston Mortgage Securities, Ser 2005- 4, Cl 3A24
18.208%, 06/25/35 (B)		362		340
Credit Suisse First Boston Mortgage Securities, Ser 2005- C1, Cl A3
4.813%, 02/15/38		397		399
Credit Suisse First Boston Mortgage Securities, Ser 2005- C5, Cl A4
5.100%, 08/15/38 (B)		1,333		1,364
Credit Suisse First Boston Mortgage Securities, Ser 2005- C2, Cl A4
4.832%, 04/15/37		1,199		1,205


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse First Boston Mortgage Securities, Ser 2005- C6, Cl A4
5.230%, 12/15/40 (B)	$	13,000	$	13,268
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/39		12,930		11,602
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		10,517		9,251
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (D)		1,043		1,040
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		7,040		6,513
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005- 1, Cl 2A1
5.626%, 02/25/20 (B)		437		435
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.629%, 11/19/44 (B)		2,232		813
DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1A
1.391%, 03/19/46 (B)		418		170
First Horizon Alternative Mortgage Securities, Ser 2006-FA6, Cl 2A10
6.000%, 11/25/36		23		18
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/18		1,630		1,632
First Horizon Home Loans, Ser 01K34, Cl 1K
6.054%, 10/01/37 (B)		2,936		3,047
First Union National Bank Commercial Mortgage, Ser 2002-C1, Cl A2
6.141%, 02/12/34		937		989
First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl B
7.281%, 10/15/32 (B)		500		512
First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl A2
7.202%, 10/15/32		54		55
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		926		948
GE Capital Commercial Mortgage, Ser 2001-2, Cl A3
6.030%, 08/11/33		190		192
GE Capital Commercial Mortgage, Ser 2001-3, Cl A1
5.560%, 06/10/38		238		243
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		1,562		1,659


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4
5.339%, 11/10/45 (B)	$	4,128	$	4,262
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4
5.543%, 12/10/49		1,000		863
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4
5.301%, 08/10/38 (B)		1,524		1,568
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		474		497
GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 (B)		74		74
GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39		3,009		3,150
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.485%, 05/10/40 (B)		1,259		1,339
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		5,138		5,385
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/45 (B)		700		710
GMAC Mortgage Loan Trust, Cl 1A1
5.000%, 01/25/20		726		729
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
4.098%, 10/19/33 (B)		2,457		2,322
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/33		777		742
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33		1,093		965
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		312		310
GMAC Mortgage Loan Trust, Ser 2005-AR5 , Cl 3A1
4.968%, 09/19/35 (B)		235		200
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
5.181%, 11/19/35 (B)		1,054		855
Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A
0.309%, 02/25/47 (B)		12,925		9,945
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (B)		1,156		1,196
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl AAB
5.190%, 04/10/37 (B)		335		350
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (B)		6,293		6,315


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A2
5.117%, 04/10/37	$	2,721	$	2,766
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
5.883%, 07/10/38 (B)		15,396		15,263
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		7,000		6,650
GS Mortgage Securities II, Ser 2004-C1, Cl A2
4.319%, 10/10/28		1,952		1,973
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2
6.449%, 08/05/18 (B) (D)		6,681		7,148
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA
4.680%, 07/10/39		6,026		6,192
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/38 (B)		1,000		983
GS Mortgage Securities II, Ser 2006-GG6, Cl A2
5.506%, 04/10/38 (B)		460		469
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (B) (D)		5		5
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF
0.579%, 09/25/35 (B) (D)		3,044		2,418
GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1
0.629%, 04/25/36 (B) (D)		2,218		1,847
GSR Mortgage Loan Trust, Cl 2A3
6.000%, 09/25/34		342		317
GSR Mortgage Loan Trust, Cl 8A3
0.729%, 06/25/35 (B)		926		833
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		125		99
Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO
2.390%, 03/19/35		11,200		415
Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO
2.141%, 10/19/35 (B)		22,354		803
Heller Financial Commercial Mortgage Asset, Ser 1999-PH1, Cl C
7.023%, 05/15/31 (B)		61		61
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		971		974
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.579%, 08/25/36 (B)		1,649		1,309
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
6.154%, 11/25/37 (B)		2,056		1,513


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (B)	$	11,300	$	4,352
JPMorgan Chase Commercial Mortgage Securities, 2006- LPD9, Cl A3
5.336%, 05/15/47		2,246		2,084
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- C1, Cl A4
5.716%, 02/15/51		2,893		2,536
JPMorgan Chase Commercial Mortgage Securities, Ser 2009- IWST, Cl A2
5.633%, 12/05/27 (D)		3,564		3,738
JPMorgan Chase Commercial Mortgage Securities, Ser 2008- C2, Cl A1
5.017%, 02/12/51		124		127
JPMorgan Chase Commercial Mortgage Securities, Ser 2000- C10, Cl A2
7.371%, 08/15/32 (B)		221		221
JPMorgan Chase Commercial Mortgage Securities, Ser 2001- CIB3, Cl A3
6.465%, 11/15/35		5,615		5,927
JPMorgan Chase Commercial Mortgage Securities, Ser 2002- CIB4, Cl A3
6.162%, 05/12/34		5,517		5,855
JPMorgan Chase Commercial Mortgage Securities, Ser 2002- CIB5, Cl A2
5.161%, 10/12/37		1,137		1,193
JPMorgan Chase Commercial Mortgage Securities, Ser 2003- PM1A, Cl A4
5.326%, 08/12/40 (B)		1,911		2,003
JPMorgan Chase Commercial Mortgage Securities, Ser 2004- C3, Cl A2
4.223%, 01/15/42		9,697		9,703
JPMorgan Chase Commercial Mortgage Securities, Ser 2004- CB9, Cl A4
5.376%, 06/12/41 (B)		3,594		3,688
JPMorgan Chase Commercial Mortgage Securities, Ser 2005- LDP4, Cl A4
4.918%, 10/15/42 (B)		1,777		1,802
JPMorgan Chase Commercial Mortgage Securities, Ser 2006- CB14, Cl A4
5.481%, 12/12/44 (B)		2,089		2,117
JPMorgan Chase Commercial Mortgage Securities, Ser 2006- LDP7, Cl A2
5.860%, 04/15/45 (B)		2,400		2,478


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2006- LDP8, Cl A4
5.399%, 05/15/45	$	500	$	497
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- CB19, Cl A2
5.747%, 02/12/49 (B)		774		811
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD12, Cl A4
5.882%, 02/15/51 (B)		7,877		7,518
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LDPX, Cl A3
5.420%, 01/15/49		10,442		9,530
JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LDPX, Cl A2S
5.305%, 01/15/49		7,733		7,638
JPMorgan Chase Commercial Mortgage Securities, Ser 2001- CIBC, Cl A3
6.260%, 03/15/33		679		697
JPMorgan Commercial Mortgage Finance, 2000-C10, Cl C
7.642%, 08/15/32 (B)		903		904
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
4.278%, 07/25/34 (B)		350		350
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
4.626%, 09/25/34 (B)		393		396
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
4.561%, 06/25/34 (B)		4,310		4,230
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4
4.830%, 12/25/34 (B)		11,500		10,343
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.829%, 12/25/34 (B)		2,974		3,011
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.309%, 04/25/35 (B)		360		330
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2
4.501%, 06/25/35 (B)		13,065		9,839
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2
5.759%, 04/25/36 (B)		13,400		10,809
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
4.055%, 08/25/34 (B)		2,489		2,378
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4
5.733%, 05/25/36 (B)		14,500		11,860
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
3.993%, 08/25/34 (B)		1,161		1,022


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A1
6.155%, 04/15/41 (B)	$	707	$	733
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl A4
5.882%, 06/15/38 (B)		3,035		3,040
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
5.372%, 09/15/39		2,290		2,310
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A2
5.868%, 06/15/32 (B)		463		479
LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2
6.510%, 12/15/26		6		6
LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2
6.653%, 11/15/27		608		632
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		13,224		14,005
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4
4.563%, 09/15/26		941		967
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		2,169		2,268
LB-UBS Commercial Mortgage Trust, Ser 2003-C3, Cl A4
4.166%, 05/15/32		576		591
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (B)		18,092		18,976
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		853		863
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		350		358
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A2
5.318%, 02/15/40		2,382		2,456
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB
5.403%, 02/15/40		413		414
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		1,841		1,886
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
3.097%, 11/21/34 (B)		11,650		10,852
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6
3.097%, 11/21/34 (B)		1,200		1,190
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
3.097%, 11/21/34 (B)		1,585		1,396
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1
0.429%, 05/25/47 (B)		17,946		9,125


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/34	$	2,439	$	2,423
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (D)		3,700		3,369
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.579%, 05/25/35 (B) (D)		714		580
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F
0.589%, 07/25/35 (B) (D)		1,632		1,345
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO
11.744%, 05/28/35 (D)		626		363
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/33		603		585
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3
6.250%, 07/25/36		802		584
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/18		221		227
MASTR Asset Securitization Trust, Ser 2004-10, Cl SA1
0.629%, 11/25/34 (B)		149		141
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl A2
3.441%, 07/25/33 (B)		262		256
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2
3.122%, 08/25/34 (B)		495		493
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.261%, 02/25/34 (B)		4,935		4,979
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
3.169%, 02/25/34 (B)		254		251
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
2.800%, 02/25/35 (B)		231		208
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4
5.656%, 05/12/39 (B)		355		364
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (B)		1,254		1,262
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
2.726%, 02/25/36 (B)		526		397
Merrill Lynch, Ser 2006-4, Cl A3
5.172%, 12/12/49 (B)		16,900		15,674
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/51 (B)		3,700		3,134
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-7, Cl A4
5.747%, 06/12/50 (B)		6,740		5,931


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MLCC Mortgage Investors, Ser 04D, Cl A2
0.754%, 08/25/29 (B)	$	527	$	499
MLCC Mortgage Investors, Ser 2004-A, Cl A2
0.889%, 04/25/29 (B)		442		360
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.425%, 05/25/29 (B)		631		587
MLCC Mortgage Investors, Ser 2005-1, Cl 2A2
3.012%, 04/25/35 (B)		311		277
MLCC Mortgage Investors, Ser 2005-1, Cl 2A1
3.012%, 04/25/35 (B)		100		90
Morgan Stanley Capital I, Ser 2004-T15, Cl A2
4.690%, 06/13/41		636		643
Morgan Stanley Capital I, Ser 2003-IQ4, Cl A2
4.070%, 05/15/40		449		457
Morgan Stanley Capital I, Ser 2006-T23, Cl A4
5.810%, 08/12/41 (B)		1,959		2,067
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.649%, 06/11/42 (B)		300		305
Morgan Stanley Capital I, Ser 2004-T15, Cl A4
5.270%, 06/13/41 (B)		1,135		1,160
Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4
5.010%, 04/15/38		3,605		3,729
Morgan Stanley Capital I, Ser 2003-T11, Cl A4
5.150%, 06/13/41		2,202		2,290
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/41		2,256		2,314
Morgan Stanley Capital I, Ser 2004-HQ4, Cl A7
4.970%, 04/14/40		8,260		8,233
Morgan Stanley Capital I, Ser 2004-IQ7, Cl A4
5.402%, 06/15/38 (B)		4,367		4,523
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A4
5.168%, 01/14/42		680		705
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		3,939		4,094
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42		5,756		5,883
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.184%, 11/14/42 (B)		2,829		2,963
Morgan Stanley Capital I, Ser 2005-T17, Cl A4
4.520%, 12/13/41		211		216


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Capital I, Ser 2005-T17, Cl A5
4.780%, 12/13/41	$	692	$	705
Morgan Stanley Capital I, Ser 2006-HQ8, Cl A4
5.385%, 03/12/44 (B)		3,345		3,432
Morgan Stanley Capital I, Ser 2006-HQ8, Cl A2
5.374%, 03/12/44		2,130		2,173
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (B)		7,300		7,591
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl B
6.550%, 07/15/33		956		999
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4
6.390%, 10/15/35		6,588		6,951
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl A3
6.510%, 04/15/34		640		676
Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A4
5.740%, 12/15/35		539		567
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		7,164		7,434
Morgan Stanley Dean Witter Capital I, Ser 2003-TOP9, Cl A2
4.740%, 11/13/36		1,328		1,382
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.339%, 02/25/47 (B)		599		456
New York Mortgage Trust, Ser 2006-1, Cl 2A2
5.582%, 05/25/36 (B)		788		706
Nomura Asset Securities, Ser 1998-D6, Cl A1C
6.690%, 03/15/30		3,457		3,733
Prime Mortgage Trust, Ser 2004- CL1, Cl 1PO, PO
22.469%, 02/25/34		168		112
Prime Mortgage Trust, Ser 2006- DR1, Cl 2A1
5.500%, 05/25/35 (D)		2,999		2,390
Prudential Mortgage Capital Funding LLC, Ser 2001-ROCK, Cl B
6.760%, 05/10/34		867		911
RBSGC Mortgage Pass Through Certificates, Ser 2007-B, Cl 1A4
0.679%, 01/25/37 (B)		6,392		3,556
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		630		620
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/33		609		577
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/34		1,352		979


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Residential Accredit Loans, Ser 2005-Q02, Cl A1
1.831%, 09/25/45 (B)	$1,193	$	586
Residential Accredit Loans, Ser 2006-QO8, Cl 1A1A
0.319%, 10/25/46 (B)	6,274		5,804
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31	1,158		1,109
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31	2,035		1,991
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33	669		641
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.151%, 12/25/34 (B)	1,981		1,737
Salomon Brothers Mortgage Securities VII, Ser 2000-C2, Cl C
7.727%, 07/18/33 (B)	1,398		1,400
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36	1,609		1,660
Station Place Securitization Trust Ser 2009-1, Cl A
1.729%, 01/25/40 (B) (D)	1,000		1,000
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-18, Cl 1A1
5.624%, 09/25/35 (B)	4,787		3,479
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.549%, 10/25/35 (B)	5,910		3,490
Structured Asset Mortgage Investments, Ser 2004-AR8, Cl A1
0.569%, 05/19/35 (B)	242		172
Structured Asset Mortgage Investments, Ser 2006-AR6, Cl 1A3
0.419%, 07/25/46 (B)	219		107
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A
0.429%, 10/25/36 (B)	6,765		3,584
Structured Asset Mortgage Investments, Ser 2007-AR4, Cl GA4B
0.409%, 09/25/47 (B)	19,156		9,788
Structured Asset Securities, Ser 2003-37A, Cl 2A
4.992%, 12/25/33 (B)	473		471
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.149%, 11/25/33 (B)	337		338
Structured Asset Securities, Ser 2003-16, Cl A3
0.729%, 06/25/33 (B)	1,380		1,256


Description	Face Amount ($ Thousands)	Market Value ($ Thousands)
Structured Asset Securities, Ser 2003-31A, Cl 2A7
2.963%, 10/25/33 (B)	$11,464	$	10,455
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33	1,208		1,176
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33	1,000		977
Structured Asset Securities, Ser 2005-6 , Cl 5A8
13.443%, 05/25/35 (B)	207		201
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.549%, 09/25/43 (B)	244		213
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1
6.201%, 09/25/37 (B)	6,518		5,844
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1
6.192%, 09/25/37 (B)	6,569		5,661
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
6.072%, 08/15/39 (B)	2,500		2,703
US Bank National Mortgage Association, Ser 2007-1, Cl A
5.920%, 05/25/12	6,131		6,385
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23	3,109		3,449
Virginia Housing Development Authority, Ser 2006-2, Cl CTFS
6.000%, 06/25/34	649		667
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34	2,587		2,756
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 (B)	1,341		1,370
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (D)	429		433
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35	1,021		1,030
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/42	1,945		1,999
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.833%, 09/25/33 (B)	1,315		1,296
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A
2.850%, 08/25/33 (B)	369		367


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A7
2.842%, 08/25/33 (B)	$	621	$	588
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
2.772%, 01/25/33 (B)		392		364
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.825%, 10/25/33 (B)		717		642
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1
3.048%, 06/25/33 (B)		682		642
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A
2.883%, 09/25/33 (B)		446		442
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		590		598
WaMu Mortgage Pass-Through Certificates, Ser 2003-S11, Cl 2A5
16.421%, 11/25/33 (B)		1,016		986
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18		749		758
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.833%, 06/25/33 (B)		192		165
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		2,072		1,884
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR11, Cl A
2.893%, 10/25/34 (B)		51		47
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR14, Cl A1
2.754%, 01/25/35 (B)		1,857		1,774
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
3.120%, 06/25/34 (B)		361		338
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19		829		826
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR11, Cl A1A
0.549%, 08/25/45 (B)		170		129


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.519%, 10/25/45 (B)	$	4,271	$	3,054
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.509%, 11/25/45 (B)		6,711		4,633
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
5.077%, 12/25/35 (B)		13,585		10,866
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.519%, 12/25/45 (B)		6,391		4,425
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
1.541%, 01/25/46 (B)		3,415		844
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A
3.594%, 10/25/46 (B)		1,634		982
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
5.597%, 11/25/36 (B)		527		402
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B
3.594%, 11/25/46 (B)		2,155		684
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B
1.311%, 11/25/46 (B)		1,888		551
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A
1.311%, 11/25/46 (B)		3,273		1,842
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
3.594%, 12/25/46 (B)		748		442
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
1.281%, 12/25/46 (B)		651		214
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA
1.441%, 06/25/46 (B)		1,405		528
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B
1.391%, 09/25/46 (B)		1,097		223
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 4A1
5.390%, 02/25/37 (B)		9,470		6,744


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1
5.677%, 02/25/37 (B)	$	7,020	$	5,086
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 4A1
5.313%, 03/25/37 (B)		463		383
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 1A1
5.567%, 03/25/37 (B)		7,988		5,683
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl A1B
1.311%, 05/25/47 (B)		16,743		3,572
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A
1.221%, 06/25/47 (B)		13,373		7,911
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A
1.281%, 07/25/47 (B)		13,449		7,877
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/35		867		127
Washington Mutual Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A2
3.120%, 06/25/34 (B)		473		445
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS8, Cl 1P, PO
11.599%, 05/25/33		441		296
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS9, Cl 2P, PO
15.920%, 04/25/33		863		559
Wells Fargo Mortgage Backed Securities Trust, Cl A1
5.000%, 11/25/20		749		763
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18		2,661		2,699
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-C, Cl A6
3.246%, 02/25/33 (B)		889		879
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-J, Cl 2A5
4.437%, 10/25/33 (B)		388		379
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-K, Cl 1A1
4.473%, 11/25/33 (B)		1,703		1,698


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-B, Cl A1
4.892%, 02/25/34 (B)	$	1,169	$	1,154
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A8
4.858%, 05/25/34 (B)		1,000		1,017
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (B)		290		289
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A2
3.901%, 12/25/34 (B)		552		553
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A1
3.901%, 12/25/34 (B)		368		368
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A1
3.091%, 12/25/34 (B)		1,123		1,099
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl 1A1
3.398%, 07/25/34 (B)		1,038		1,016
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-L, Cl A6
4.758%, 07/25/34 (B)		895		912
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-L, Cl A5
4.758%, 07/25/34 (B)		881		883
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-O, Cl A1
4.863%, 08/25/34 (B)		724		730
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-P, Cl 2A1
3.063%, 09/25/34 (B)		708		668
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A2
3.171%, 10/25/34 (B)		753		723
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A1
3.171%, 10/25/34 (B)		941		926
Wells Fargo Mortgage Backed Securities Trust, Ser 2005- AR14, Cl A1
5.388%, 08/25/35 (B)		984		849
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR8, Cl 2A1
3.206%, 06/25/35 (B)		1,310		1,223


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Mortgage Backed Securities Trust, Ser 2006-2, Cl 3A1
5.750%, 03/25/36	$	11,407	$	9,705
Wells Fargo Mortgage Backed Securities Trust, Ser 2006- AR18, Cl 1A1
5.846%, 11/25/36 (B)		1,157		1,000
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A2
3.091%, 12/25/34 (B)		749		719

				876,868

Total Mortgage-Backed Securities (Cost $2,736,345) ($ Thousands)				2,716,038


CORPORATE OBLIGATIONS — 26.6%

Consumer Discretionary — 1.4%
British Sky Broadcasting Group
9.500%, 11/15/18(D)		2,270		2,947
Comcast
6.500%, 01/15/17		2,425		2,710
6.500%, 01/15/15 (A)		3,635		4,125
6.400%, 03/01/40		2,005		2,040
5.150%, 03/01/20		2,920		2,947
Comcast Cable Communications
8.375%, 03/15/13		3,487		4,048
6.750%, 01/30/11 (A)		1,840		1,931
COX Communications
5.450%, 12/15/14		235		258
CVS Lease Pass-Through
6.600%, 03/15/19		280		314
6.036%, 12/10/28 (D)		10,045		10,032
5.880%, 01/10/28 (D)		177		176
5.789%, 01/10/26 (D)		1,962		1,928
DaimlerChrysler
7.300%, 01/15/12		2,515		2,746
6.500%, 11/15/13		460		513
Eastman Kodak
7.250%, 11/15/13		2,445		2,304
Grupo Televisa
6.625%, 01/15/40 (D)		3,005		2,953
Historic TW
9.150%, 02/01/23		500		615
Kohl’s
6.250%, 12/15/17		255		287
Lowe’s MTN
7.110%, 05/15/37		400		483
McDonald’s MTN
5.350%, 03/01/18 (A)		3,770		4,098
News America
7.300%, 04/30/28		350		388
6.650%, 11/15/37		260		276
6.200%, 12/15/34		315		317
News America Holdings
8.875%, 04/26/23		200		257
Reed Elsevier Capital
8.625%, 01/15/19		2,460		3,078
Staples
9.750%, 01/15/14 (A)		305		373
Target
4.000%, 06/15/13		355		375


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
TCI Communications
8.750%, 08/01/15	$	701	$	862
7.125%, 02/15/28		400		431
Thomson Reuters
5.950%, 07/15/13		1,705		1,900
4.700%, 10/15/19		250		253
Time Warner
7.700%, 05/01/32		1,385		1,632
6.875%, 05/01/12		130		143
Time Warner Cable
8.750%, 02/14/19		5,170		6,445
8.250%, 04/01/19		3,235		3,930
7.300%, 07/01/38 (A)		400		454
6.750%, 07/01/18		120		134
5.850%, 05/01/17		1,230		1,323
Time Warner Entertainment
8.375%, 07/15/33		1,180		1,439
Viacom
6.250%, 04/30/16		300		335
Wal-Mart Stores
6.200%, 04/15/38		1,550		1,697
5.800%, 02/15/18		3,360		3,771

				77,268


Consumer Staples — 1.2%
Altria Group
10.200%, 02/06/39		1,025		1,387
9.700%, 11/10/18		4,860		6,121
9.250%, 08/06/19		1,690		2,093
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (D)		4,050		4,875
7.200%, 01/15/14 (D)		100		115
5.375%, 01/15/20		3,150		3,308
4.125%, 01/15/15		5,465		5,630
Bunge Finance
8.500%, 06/15/19		350		408
5.900%, 04/01/17		107		110
Cargill
7.350%, 03/06/19 (D)		400		468
Diageo Capital
7.375%, 01/15/14		8,580		10,104
Diageo Finance BV
5.500%, 04/01/13		300		329
Kraft Foods
6.750%, 02/19/14		200		227
6.500%, 02/09/40		3,440		3,604
6.125%, 08/23/18		700		772
5.375%, 02/10/20		11,230		11,618
PepsiCo
7.900%, 11/01/18 (A)		4,170		5,224
5.500%, 01/15/40 (A)		3,735		3,790
Reynolds American
7.250%, 06/01/12		2,090		2,284
SABMiller
5.500%, 08/15/13 (D)		320		346
Safeway
6.350%, 08/15/17		5,196		5,811

				68,624


Energy — 3.0%
Anadarko Finance, Ser B
7.500%, 05/01/31		3,293		3,709


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Anadarko Petroleum
8.700%, 03/15/19	$	3,191	$	4,012
7.625%, 03/15/14		450		522
6.950%, 06/15/19 (A)		90		104
6.450%, 09/15/36		2,190		2,296
5.950%, 09/15/16		5,010		5,478
ANR Pipeline
9.625%, 11/01/21		100		135
Apache
6.000%, 09/15/13		3,300		3,716
5.625%, 01/15/17		390		432
Baker Hughes
7.500%, 11/15/18		4,440		5,386
Cenovus Energy
5.700%, 10/15/19 (D)		1,900		2,004
Conoco Funding
7.250%, 10/15/31		885		1,038
6.950%, 04/15/29 (A)		3,685		4,264
6.350%, 10/15/11		430		467
ConocoPhillips
6.000%, 01/15/20		460		514
5.900%, 10/15/32		10		10
5.900%, 05/15/38		700		726
Duke Capital LLC
8.000%, 10/01/19		702		837
El Paso
6.950%, 06/01/28		2,250		2,009
EnCana
6.500%, 05/15/19 (A)		565		638
Energy Transfer Partners
9.000%, 04/15/19 (A)		3,175		3,907
8.500%, 04/15/14		1,745		2,042
6.700%, 07/01/18		4,900		5,377
Enterprise Products Operating LLC
9.750%, 01/31/14		7,250		8,836
Gaz Capital for Gazprom
6.212%, 11/22/16 (D)		427		431
Halliburton
6.150%, 09/15/19 (A)		300		338
Hess
8.125%, 02/15/19		4,200		5,134
7.875%, 10/01/29		1,130		1,371
7.300%, 08/15/31		4,335		5,004
Husky Energy
7.250%, 12/15/19		2,935		3,423
5.900%, 06/15/14		1,715		1,881
Kerr-McGee
6.950%, 07/01/24		2,325		2,634
Kinder Morgan Energy Partners
7.125%, 03/15/12		1,760		1,941
6.950%, 01/15/38		385		421
6.000%, 02/01/17		3,140		3,393
5.950%, 02/15/18		350		377
5.000%, 12/15/13		1,190		1,284
Knight
6.500%, 09/01/12		7,315		7,662
Marathon Oil
7.500%, 02/15/19 (A)		300		350
Occidental Petroleum
7.000%, 11/01/13		7,060		8,251


Description	Face Amount ($` Thousands)		Market Value ($ Thousands)
Pemex Project Funding Master Trust
6.625%, 06/15/35	$	5,602	$	5,347
0.852%, 12/03/12 (B) (D)		201		198
Petrobras International Finance
7.875%, 03/15/19 (A)		3,520		4,054
6.875%, 01/20/40		1,890		1,925
6.125%, 10/06/16		1,300		1,383
5.750%, 01/20/20		1,127		1,137
Petro-Canada
6.800%, 05/15/38		250		275
6.050%, 05/15/18		260		281
Ras Laffan Liquefied Natural Gas III
5.500%, 09/30/14 (A) (D)		3,400		3,587
4.500%, 09/30/12(D)		2,340		2,439
Shell International Finance BV
6.375%, 12/15/38		2,790		3,125
4.300%, 09/22/19		1,000		994
4.000%, 03/21/14		2,380		2,517
Sonat
7.625%, 07/15/11		2,880		2,998
Suncor Energy
6.500%, 06/15/38		2,440		2,588
Talisman Energy
7.750%, 06/01/19		390		465
Tosco
7.800%, 01/01/27		210		253
Total Capital
3.125%, 10/02/15		3,985		3,989
TransCanada PipeLines
6.500%, 08/15/18		425		486
Union Pacific Resources Group
7.150%, 05/15/28		150		167
Valero Energy
9.375%, 03/15/19		7,860		9,444
6.625%, 06/15/37		1,500		1,439
Williams
8.750%, 03/15/32 (A)		1,606		2,031
7.875%, 09/01/21		2,862		3,506
7.750%, 06/15/31		548		631
Williams Partners
6.300%, 04/15/40 (D)		2,470		2,470
5.250%, 03/15/20 (A) (D)		1,140		1,158
3.800%, 02/15/15 (D)		1,505		1,520
Williams, Ser A
7.500%, 01/15/31		15		17
XTO Energy
7.500%, 04/15/12		1,320		1,480
6.750%, 08/01/37		1,130		1,332
6.250%, 08/01/17		380		434
5.650%, 04/01/16		390		437
5.500%, 06/15/18		4,802		5,228
4.625%, 06/15/13		100		108

				171,797


Financials — 13.5%
Achmea Hypotheekbank
3.200%, 11/03/14 (D)		7,475		7,624
Aegon, Ser CMS
3.923%, 07/29/49 (B)		2,180		1,300
Aiful
5.000%, 08/10/10 (A) (D)		1,800		1,703


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Allied World Assurance Holdings
7.500%, 08/01/16	$	2,000	$	2,175
Allstate
5.000%, 08/15/14		300		323
American Express
7.250%, 05/20/14 (A)		2,550		2,907
7.000%, 03/19/18 (A)		500		561
6.800%, 09/01/66 (B)		2,545		2,392
5.875%, 05/02/13		2,100		2,277
American Express Credit MTN
7.300%, 08/20/13		500		564
5.125%, 08/25/14		5,900		6,288
American General Finance MTN
6.900%, 12/15/17		1,500		1,076
American International Group
8.250%, 08/15/18		980		899
6.250%, 03/15/37		5,000		2,800
5.850%, 01/16/18		2,670		2,156
ANZ National Int’l
2.375%, 12/21/12 (D)		190		191
ASIF Global Financing XIX
4.900%, 01/17/13 (D)		450		441
Associates Corp of North America
6.950%, 11/01/18		450		471
Australia & New Zealand Banking
Group
0.720%, 10/29/49 (B)		1,400		886
BA Covered Bond Issuer
5.500%, 06/14/12 (D)		1,500		1,602
BAC Capital Trust XIV
5.630%, 03/15/12 (B)		180		126
BAC Capital Trust XV
1.056%, 06/01/56 (B)		9,235		5,685
Bank of America
7.625%, 06/01/19		5,145		5,818
7.375%, 05/15/14		4,025		4,526
6.500%, 08/01/16		500		537
6.000%, 09/01/17		2,220		2,287
5.750%, 12/01/17		3,235		3,276
5.420%, 03/15/17		2,500		2,444
Bank of America, Ser 2001-
7.400%, 01/15/11		2,500		2,633
Bank of Ireland
0.500%, 12/29/49 (B)		1,030		330
Bank of New York Mellon MTN
4.600%, 01/15/20		160		162
Bank of Nova Scotia
3.400%, 01/22/15		328		335
Bank of Scotland
0.687%, 11/29/49 (B)		330		158
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (A) (D)		2,227		2,285
Bank One
7.875%, 08/01/10		4,440		4,573
Barclays Bank
6.050%, 12/04/17 (D)		2,490		2,554
5.200%, 07/10/14		1,430		1,530
5.125%, 01/08/20		2,935		2,882
5.000%, 09/22/16		7,950		8,116
2.500%, 01/23/13		500		500
0.500%, 08/07/49 (B)		380		228


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Barnett Capital III
0.874%, 02/01/27 (B)	$	600	$	390
BB&T
6.850%, 04/30/19		115		131
4.900%, 06/30/17		400		400
3.850%, 07/27/12		150		157
3.375%, 09/25/13		620		636
Bear Stearns
7.250%, 02/01/18		2,930		3,399
6.950%, 08/10/12 (A)		1,730		1,927
6.400%, 10/02/17 (A)		11,750		12,973
4.650%, 07/02/18		3,000		2,927
Berkshire Hathaway
3.200%, 02/11/15		3,400		3,434
Berkshire Hathaway Finance
5.400%, 05/15/18		400		427
BlackRock
6.250%, 09/15/17		280		310
Boeing Capital
4.700%, 10/27/19		920		926
BP Capital Markets
5.250%, 11/07/13		5,770		6,375
3.875%, 03/10/15		5,930		6,197
3.625%, 05/08/14		100		104
Branch Banking & Trust
5.625%, 09/15/16 (A)		325		347
Capital One Bank USA
8.800%, 07/15/19		2,480		2,980
Capital One Financial
7.375%, 05/23/14		450		516
6.750%, 09/15/17		590		649
Caterpillar Financial Services MTN
7.150%, 02/15/19		250		295
6.200%, 09/30/13 (A)		5,640		6,386
5.850%, 09/01/17		580		633
Cedar Brakes I LLC
8.500%, 02/15/14 (D)		941		951
Cedar Brakes II LLC
9.875%, 09/01/13 (D)		3,592		3,687
Chase Capital VI
0.874%, 08/01/28 (B)		2,000		1,436
Citigroup
8.500%, 05/22/19		600		692
8.125%, 07/15/39		3,450		3,902
6.875%, 03/05/38 (A)		9,660		9,536
6.500%, 08/19/13		2,920		3,143
6.375%, 08/12/14		5,905		6,267
6.125%, 08/25/36		2,000		1,720
6.125%, 05/15/18		2,810		2,819
6.010%, 01/15/15		1,330		1,391
5.500%, 02/15/17		10,000		9,754
5.500%, 04/11/13		3,699		3,872
5.500%, 10/15/14		1,000		1,030
5.000%, 09/15/14		2,890		2,874
0.802%, 08/25/36 (B)		2,839		1,601
Citigroup Capital III
7.625%, 12/01/36		2,000		1,649
Citigroup Capital XXI
8.300%, 12/21/57 (B)		995		923


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Funding MTN
1.875%, 10/22/12	$	6,280	$	6,337
0.579%, 04/30/12 (B)		4,900		4,942
City National Capital Trust I
9.625%, 02/01/40		5,010		5,461
Comerica Capital Trust II
6.576%, 02/20/37 (B)		220		182
Commonwealth Bank of Australia
5.000%, 10/15/19 (D)		3,900		3,917
3.750%, 10/15/14 (D)		5,120		5,186
Corestates Capital I
8.000%, 12/15/26 (D)		629		647
Countrywide Financial MTN
5.800%, 06/07/12		8,783		9,353
4.000%, 03/22/11		2,250		2,318
Credit Agricole
8.375%, 12/31/49 (A) (B) (D)		4,740		4,983
Credit Suisse NY MTN
6.000%, 02/15/18		9,555		10,038
5.500%, 05/01/14		1,775		1,939
5.400%, 01/14/20		3,465		3,480
5.300%, 08/13/19		2,960		3,032
5.000%, 05/15/13		5,300		5,702
3.450%, 07/02/12		300		311
Credit Suisse USA
5.125%, 08/15/15		310		333
5.125%, 01/15/14		335		361
Depfa ACS Bank
5.125%, 03/16/37 (D)		4,200		3,133
Deutsche Bank
3.875%, 08/18/14		295		304
2.375%, 01/11/13		2,500		2,505
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (B) (D)		4,789		3,759
Digital Realty Trust
5.875%, 02/01/20 ‡(D)		1,865		1,844
Discover Financial Services
0.784%, 06/11/10 (B)		3,547		3,537
Dresdner Funding Trust I
8.151%, 06/30/31 (D)		365		282
ERP Operating
5.750%, 06/15/17 ‡		500		518
5.125%, 03/15/16 ‡		1,000		1,021
Export-Import Bank of Korea
5.875%, 01/14/15		3,660		3,945
5.500%, 10/17/12		2,320		2,488
Farmers Exchange Capital
7.200%, 07/15/48 (D)		2,519		2,102
7.050%, 07/15/28 (D)		1,063		946
Farmers Insurance Exchange
8.625%, 05/01/24(D)		4,118		4,322
First Chicago NBD Institutional Capital I
0.799%, 02/01/27 (B)		3,750		2,787
First Industrial MTN
7.500%, 12/01/17		1,765		1,421
Fleet Capital Trust II
7.920%, 12/11/26		1,600		1,528
FMR LLC
6.450%, 11/15/39 (A) (D)		250		241


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
General Electric Capital
6.875%, 01/10/39	$	6,761	$	7,062
6.375%, 11/15/67 (A) (B)		8,925		7,943
6.000%, 08/07/19		550		575
5.900%, 05/13/14		5,010		5,498
5.625%, 05/01/18 (A)		8,225		8,472
5.625%, 09/15/17		800		839
5.500%, 01/08/20 (A)		480		483
5.450%, 01/15/13 (A)		180		194
5.400%, 02/15/17		1,800		1,863
0.629%, 05/05/26 (B)		4,345		3,499
0.514%, 09/15/14 (B)		6,550		6,219
0.381%, 03/20/14 (B)		2,000		1,863
0.369%, 04/10/12 (B)		500		494
Glitnir Banki
7.451%, 09/14/16 (D) (E)		500		—
6.693%, 06/15/16 (D) (E)		4,480		—
6.375%, 09/25/12 (D) (E)		3,100		806
6.330%, 07/28/11 (D) (E)		2,440		634
GMAC
7.250%, 03/02/11		1,744		1,759
2.452%, 12/01/14 (B)		4,579		3,917
1.750%, 10/30/12		3,960		3,986
Goldman Sachs Capital II
5.793%, 12/29/49 (B)		22,270		17,760
Goldman Sachs Group
7.500%, 02/15/19		8,070		9,236
6.750%, 10/01/37		3,026		2,934
6.600%, 01/15/12		2,630		2,854
6.250%, 09/01/17		1,400		1,509
6.150%, 04/01/18		7,800		8,239
5.950%, 01/18/18 (A)		500		525
5.450%, 11/01/12		2,250		2,413
5.150%, 01/15/14		470		502
4.500%, 06/15/10		450		455
3.625%, 08/01/12 (A)		300		311
0.751%, 01/12/15 (B)		3,000		2,859
0.649%, 07/22/15 (B)		1,000		933
HBOS
6.750%, 05/21/18 (D)		5,100		4,705
HBOS Capital Funding
6.071%, 06/30/49 (B) (D)		1,920		1,402
HCP
6.700%, 01/30/18 ‡		1,185		1,190
6.300%, 09/15/16 ‡		1,040		1,044
6.000%, 01/30/17 ‡		6,675		6,474
5.650%, 12/15/13 ‡		3,415		3,519
Highwoods Properties
7.500%, 04/15/18 ‡		1,339		1,374
Hongkong & Shanghai Banking
0.438%, 07/22/49 (B)		195		121
HRPT Properties Trust
6.650%, 01/15/18 ‡		150		148
6.250%, 08/15/16 ‡		300		300
HSBC Bank
0.538%, 06/29/49 (B)		1,160		739


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSBC Finance
8.000%, 07/15/10	$	2,330	$	2,391
7.000%, 05/15/12		1,975		2,163
6.375%, 11/27/12 (A)		365		402
5.500%, 01/19/16		600		634
4.750%, 07/15/13		166		175
0.501%, 01/15/14 (B)		500		480
HSBC Holdings
6.800%, 06/01/38		1,855		1,979
Hutchison Whampoa International
4.625%, 09/11/15 (D)		7,575		7,791
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (B) (D)		1,200		630
International Lease Finance MTN
5.250%, 01/10/13		400		347
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (D)		610		655
Jefferies Group
6.450%, 06/08/27		590		523
6.250%, 01/15/36		400		333
John Deere Capital MTN
5.750%, 09/10/18		300		330
JPMorgan Chase
6.400%, 05/15/38		1,300		1,406
5.750%, 01/02/13		3,670		3,991
5.150%, 10/01/15		240		254
5.125%, 09/15/14		756		799
JPMorgan Chase Bank
6.000%, 07/05/17		2,300		2,452
6.000%, 10/01/17		3,900		4,192
0.584%, 06/13/16 (B)		4,250		3,912
JPMorgan Chase Capital XIII
1.201%, 09/30/34 (B)		1,440		1,049
JPMorgan Chase Capital XXII
6.450%, 02/02/37		500		457
JPMorgan Chase Capital XXIII
1.250%, 05/15/47 (B)		4,000		2,864
JPMorgan Chase Capital XXV
6.800%, 10/01/37		3,245		3,183
Kaupthing Bank
7.625%, 02/28/15 (D) (E)		8,130		2,033
7.125%, 05/19/16 (D) (E)		12,000		1
5.750%, 10/04/11 (D) (E)		1,120		280
KeyBank
5.800%, 07/01/14		600		613
Korea Development Bank
4.375%, 08/10/15 (A)		3,755		3,806
Landsbanki Islands
6.100%, 08/25/11 (D) (E)		6,520		571
Lazard Group
7.125%, 05/15/15		4,750		5,054
6.850%, 06/15/17		4,660		4,733
LBG Capital No 1 MTN
8.000%, 12/15/49 (B)		8,400		6,552
Lehman Brothers Holdings MTN
6.750%, 12/28/17 (E)		10,370		26
6.500%, 07/19/17 (E)		4,040		20
6.200%, 09/26/14 (E)		1,560		351
5.250%, 02/06/12 (E)		965		217


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lehman Brothers Holdings Capital Trust VII MTN
5.857%, 11/29/49 (E)	$	20,630	$	52
Liberty Mutual Group
7.500%, 08/15/36 (D)		2,088		1,989
Lloyds TSB Bank
5.800%, 01/13/20 (D)		3,040		2,942
4.375%, 01/12/15 (D)		3,050		2,999
M&T Bank
5.375%, 05/24/12		325		345
Mack-Cali Realty
7.750%, 08/15/19 ‡		1,095		1,210
MassMutual Global Funding II
3.625%, 07/16/12 (D)		150		156
MBNA Capital, Ser A
8.278%, 12/01/26		2,465		2,403
Merna Reinsurance
2.001%, 07/07/10 (B) (D)		4,950		4,896
Merrill Lynch
7.430%, 09/01/22		4		4
6.875%, 04/25/18 (A)		980		1,034
6.400%, 08/28/17		900		938
6.150%, 04/25/13		210		227
5.700%, 05/02/17		600		590
MetLife
7.717%, 02/15/19		3,500		4,070
6.400%, 12/15/36		10,020		8,617
MetLife Capital Trust X
9.250%, 04/08/38 (B) (D)		2,700		2,997
MetLife Global Funding I
2.875%, 09/17/12 (D)		600		611
Metropolitan Life Global Funding I
5.125%, 04/10/13 (D)		200		216
5.125%, 06/10/14 (D)		1,275		1,368
2.500%, 01/11/13 (D)		325		327
Monumental Global Funding
5.500%, 04/22/13 (D)		235		251
Morgan Stanley MTN
7.250%, 04/01/32		1,520		1,705
6.625%, 04/01/18		8,150		8,671
6.250%, 08/28/17		550		581
6.000%, 05/13/14		5,135		5,554
5.950%, 12/28/17		1,788		1,843
5.625%, 09/23/19		725		719
5.550%, 04/27/17		514		522
5.500%, 01/26/20		4,660		4,565
5.300%, 03/01/13		400		426
4.750%, 04/01/14		2,270		2,307
4.200%, 11/20/14 (A)		1,836		1,841
4.100%, 01/26/15		3,745		3,739
0.701%, 10/18/16 (B)		7,725		7,038
0.603%, 06/20/12 (B)		7,510		7,581
0.549%, 01/09/14 (B)		1,475		1,409
0.501%, 01/18/11 (B)		215		215
MUFG Capital Finance 1
6.346%, 07/25/49 (B)		1,840		1,798
6.346%, 07/25/49 (B)		378		361
National Australia Bank
5.350%, 06/12/13 (D)		5,495		5,964
3.750%, 03/02/15 (D)		455		459
2.500%, 01/08/13 (D)		550		552


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
National Capital Trust II
5.486%, 12/29/49 (B) (D)	$	3,207	$	2,809
National City
4.900%, 01/15/15		400		420
National City Bank
5.800%, 06/07/17		250		263
0.625%, 06/07/17 (B)		6,000		5,335
National Rural Utilities Cooperative Finance
2.625%, 09/16/12		95		97
Nationwide Mutual Insurance
6.600%, 04/15/34 (D)		2,483		2,055
5.810%, 12/15/24 (B) (D)		3,900		3,209
NB Capital Trust IV
8.250%, 04/15/27		2,305		2,236
New York Life Global Funding
4.650%, 05/09/13 (D)		300		321
NIBC Bank MTN
2.800%, 12/02/14 (D)		5,100		5,100
Nomura Holdings
6.700%, 03/04/20		429		438
Nordea Bank
4.875%, 01/27/20 (D)		1,780		1,777
3.700%, 11/13/14 (A) (D)		6,370		6,437
2.500%, 11/13/12 (D)		2,950		2,976
Northern Trust
5.500%, 08/15/13		85		94
Pacific Life Global Funding
5.150%, 04/15/13 (D)		370		392
PNC Funding
5.125%, 02/08/20		170		172
Power Receivables Finance
6.290%, 01/01/12 (D)		511		525
6.290%, 01/01/12		1,619		1,656
PPF Funding
5.500%, 01/15/14 ‡ (D)		5,000		4,775
Pricoa Global Funding I
5.450%, 06/11/14 (D)		3,300		3,590
Prime Property Funding II
5.600%, 06/15/11 (D)		3,380		3,380
Principal Life Global Funding I
6.250%, 02/15/12 (D)		600		632
5.050%, 03/15/15 (D)		750		738
Principal Life Income Funding Trusts MTN
5.100%, 04/15/14		600		637
Private Export Funding
3.050%, 10/15/14		1,320		1,331
Prudential Holdings LLC
8.695%, 12/18/23 (D)		2,500		2,931
1.129%, 12/18/17 (B) (D)		3,725		3,124
Rabobank Nederland
11.000%, 12/31/49 (B) (D)		2,823		3,577
Resona Preferred Global Securities Cayman
7.191%, 07/30/49 (B) (D)		3,240		2,939
Royal Bank of Canada
0.438%, 06/29/85 (B)		860		533


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Royal Bank of Scotland Group MTN
9.118%, 03/31/49	$	569	$	501
7.640%, 09/29/17 (B)		1,300		800
6.400%, 10/21/19		3,630		3,650
RSHB Capital
6.299%, 05/15/17 (D)		1,190		1,187
Santander US Debt Unipersonal
3.724%, 01/20/15 (D)		3,100		3,084
Security Benefit Life Insurance
8.750%, 05/15/16 (D)		5,200		4,680
Shinsei Finance Cayman
6.418%, 01/29/49 (B) (D)		5,605		3,055
Simon Property Group
10.350%, 04/01/19 ‡		520		664
6.750%, 05/15/14 ‡ (A)		165		183
5.650%, 02/01/20 ‡ (A)		133		132
SLM MTN
8.450%, 06/15/18		550		538
Societe Generale
0.563%, 11/29/49 (B)		180		100
0.563%, 11/29/49 (B)		680		380
State Street
4.300%, 05/30/14		60		63
SunTrust Capital VIII
6.100%, 12/15/36 (B)		5,570		4,280
SunTrust Preferred Capital I
5.853%, 12/15/11 (A) (B)		2,643		1,814
Svensk Exportkredit
3.250%, 09/16/14		7,104		7,272
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (D)		2,470		2,662
TNK-BP Finance
7.500%, 07/18/16 (D)		1,800		1,917
6.625%, 03/20/17 (D)		1,070		1,062
Toll Road Investors Partnership II
5.454%, 02/15/45 (C) (D)		7,178		603
Travelers
6.250%, 03/15/37 (B)		6,250		5,955
5.900%, 06/02/19		145		159
Travelers Property Casualty
7.750%, 04/15/26		300		343
UBS MTN
5.875%, 12/20/17		520		542
3.875%, 01/15/15		2,440		2,441
UDR MTN
5.000%, 01/15/12 ‡		2,000		2,049
US Bancorp MTN
2.875%, 11/20/14		415		415
Wachovia
5.750%, 06/15/17		690		728
5.500%, 05/01/13		600		649
5.250%, 08/01/14		650		687
0.589%, 10/28/15 (B)		3,760		3,460
Wachovia Bank
6.000%, 11/15/17		6,800		7,255
0.584%, 03/15/16 (B)		1,200		1,115
Wachovia Capital Trust III
5.800%, 03/15/11 (A) (B)		3,752		3,020


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WEA Finance LLC
7.500%, 06/02/14 (D)	$	2,100	$	2,372
7.125%, 04/15/18 (D)		7,910		8,681
6.750%, 09/02/19 (D)		1,526		1,636
Wells Fargo
5.625%, 12/11/17 (A)		350		369
5.000%, 11/15/14		1,145		1,199
3.750%, 10/01/14 (A)		1,830		1,852
Wells Fargo Capital X
5.950%, 12/15/36		1,630		1,473
Wells Fargo Capital XV
9.750%, 12/31/49 (A) (B)		7,770		8,436
Westfield Capital
4.375%, 11/15/10 (D)		4,600		4,723
Westfield Group
5.400%, 10/01/12 (D)		2,698		2,880
Westpac Banking
4.875%, 11/19/19		2,844		2,807
2.250%, 11/19/12		5,180		5,206
Woodbourne Capital Trust I
1.346%, 04/08/49 (B) (D) (H)		625		131
Woodbourne Capital Trust II
1.346%, 04/08/49 (B) (D) (H)		625		131
Woodbourne Capital Trust III
1.346%, 04/08/49 (B) (D) (H)		625		131
Woodbourne Capital Trust IV
1.346%, 04/08/49 (B) (D) (H)		625		131
ZFS Finance USA Trust I
6.150%, 12/15/65 (A) (B) (D)		2,549		2,434
ZFS Finance USA Trust III
1.404%, 12/15/65 (B) (D)		620		563

				773,084


Health Care — 0.7%
Abbott Laboratories
5.600%, 11/30/17		470		521
Amgen
6.400%, 02/01/39		2,175		2,413
5.700%, 02/01/19 (A)		100		108
CareFusion
4.125%, 08/01/12		1,870		1,943
Coventry Health Care
5.950%, 03/15/17		3,265		3,094
GlaxoSmithKline Capital
5.650%, 05/15/18		4,350		4,759
4.375%, 04/15/14		200		213
HCA
5.750%, 03/15/14		5,548		5,187
Hospira
6.400%, 05/15/15		20		22
5.550%, 03/30/12		200		214
Humana
7.200%, 06/15/18		2,210		2,405
Life Technologies
6.000%, 03/01/20		2,925		3,016
4.400%, 03/01/15		1,655		1,675
Pfizer
5.350%, 03/15/15		3,959		4,401
Pharmacia
6.500%, 12/01/18		430		490
Roche Holdings
6.000%, 03/01/19 (D)		2,310		2,555


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Tenet Healthcare
7.375%, 02/01/13 (A)	$	168	$	167
UnitedHealth Group
6.875%, 02/15/38		3,590		3,945
WellPoint
5.875%, 06/15/17		350		381
Wyeth
5.950%, 04/01/37		3,610		3,811

				41,320


Industrials — 1.2%
Air 2 US
8.027%, 10/01/19 (D)		2,521		2,200
Allied Waste North America
6.875%, 06/01/17		115		124
Boeing
4.875%, 02/15/20		2,760		2,827
Browning-Ferris Industries
9.250%, 05/01/21		65		79
Burlington Northern Santa Fe
7.290%, 06/01/36		200		234
4.700%, 10/01/19 (A)		375		376
Canadian National Railway
5.850%, 11/15/17		150		164
Continental Airlines
7.256%, 03/15/20		1,250		1,256
6.545%, 02/02/19		144		145
6.236%, 03/15/20		2,026		1,874
5.983%, 04/19/22 (A)		3,329		3,204
Continental Airlines 2000-1 Class A-1 Pass Through Trust
8.048%, 11/01/20		2,815		2,808
CSX
9.780%, 02/14/11		100		105
7.375%, 02/01/19		210		246
6.300%, 03/15/12		110		119
Delta Air Lines
7.379%, 05/18/10		464		464
6.821%, 08/10/22		2,191		2,098
6.619%, 03/18/11		256		258
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 (A)		14,850		14,999
General Electric
5.250%, 12/06/17 (A)		250		262
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.625%, 08/15/16 (B)		5,725		4,537
Lockheed Martin
8.500%, 12/01/29		300		397
Northrop Grumman Systems
7.750%, 03/01/16		200		241
Northwest Airlines, Ser 1A-2
6.841%, 04/01/11		4,500		4,500
Systems 2001 Asset Trust LLC
6.664%, 09/15/13 (D)		188		199
Tyco International Finance
8.500%, 01/15/19		170		213
Tyco International Group
6.750%, 02/15/11		1,170		1,232
6.375%, 10/15/11		5,490		5,904
6.000%, 11/15/13		1,945		2,166
Union Pacific
7.000%, 02/01/16		500		578


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Union Pacific Railroad 2003 Pass Through Trust
4.698%, 01/02/24	$	177	$	179
United Parcel Service
4.500%, 01/15/13 (A)		6,720		7,236
United Parcel Service of America
8.375%, 04/01/20		140		184
United Technologies
8.875%, 11/15/19		400		526
5.400%, 05/01/35		670		660
Waste Management
7.125%, 12/15/17		1,720		1,990
7.100%, 08/01/26		1,375		1,525

				66,109


Information Technology — 0.3%
Adobe Systems
4.750%, 02/01/20		2,475		2,459
3.250%, 02/01/15		2,050		2,067
Arrow Electronics
6.875%, 06/01/18		270		293
Cisco Systems
5.900%, 02/15/39		250		257
5.500%, 01/15/40		4,595		4,457
4.450%, 01/15/20		4,475		4,471
Dell
5.650%, 04/15/18		415		442
Hewlett-Packard
4.750%, 06/02/14		2,667		2,892
2.950%, 08/15/12		80		83
International Business Machines
7.625%, 10/15/18		365		452
Intuit
5.750%, 03/15/17		255		271
National Semiconductor
6.600%, 06/15/17		400		416
Oracle
5.000%, 07/08/19		450		472
Xerox
8.250%, 05/15/14		320		377

				19,409


Materials — 0.9%
Alcoa
6.000%, 07/15/13 (A)		4,180		4,399
Barrick Gold
6.950%, 04/01/19 (A)		2,185		2,513
BHP Billiton Finance USA
6.500%, 04/01/19		445		512
Codelco
4.750%, 10/15/14 (D)		900		949
Dow Chemical
8.550%, 05/15/19		5,515		6,667
5.900%, 02/15/15		1,855		2,008
4.850%, 08/15/12		3,965		4,221
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		7,725		8,381
PPG Industries
9.000%, 05/01/21		515		636
6.650%, 03/15/18		615		691
5.750%, 03/15/13		615		671


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Rio Tinto Finance USA
9.000%, 05/01/19	$	2,495	$	3,233
6.500%, 07/15/18		5,080		5,728
5.875%, 07/15/13		2,830		3,112
Stauffer Chemical (C) (G) (H)
5.809%, 04/15/17		350		81
5.944%, 04/15/18		860		175
5.275%, 04/15/10		300		167
Vale Overseas
6.875%, 11/10/39		3,040		3,096
6.875%, 11/21/36		3,368		3,419

				50,659


Sovereign — 1.0%
Banco Nacional de Desenvolvimento Economico e Social
5.500%, 07/12/20		3,640		3,576
Brazilian Government International Bond
5.625%, 01/07/41		975		909
Hellenic Republic Government Bond
6.100%, 08/20/15		3,780		5,061
Japan Bank for International Incorporation
2.875%, 02/02/15		7,800		7,830
Province of Manitoba Canada
2.125%, 04/22/13		162		163
Province of Ontario Canada
4.100%, 06/16/14		5,665		6,021
2.950%, 02/05/15		12,380		12,486
Qatar Government International Bond
4.000%, 01/20/15 (D)		1,205		1,217
Republic of Hungary
6.250%, 01/29/20		3,740		3,825
Republic of Korea
7.125%, 04/16/19		3,750		4,390
Russian Federation
7.500%, 03/31/30		1,012		1,147
Societe Financement de l’Economie Francaise
2.875%, 09/22/14 (D)		6,755		6,860
State of Qatar
6.400%, 01/20/40 (D)		1,400		1,411
5.250%, 01/20/20 (D)		1,965		1,994
United Mexican States MTN
7.500%, 04/08/33		218		253
6.375%, 01/16/13		350		390
5.625%, 01/15/17		84		89
United Mexican States, Ser A MTN
6.750%, 09/27/34		798		856

				58,478


Telecommunication Services — 1.6%
America Movil
5.625%, 11/15/17		1,450		1,522
5.000%, 10/16/19 (D)		4,800		4,745


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AT&T
8.000%, 11/15/31 (A)	$	1,250	$	1,528
6.700%, 11/15/13		500		569
6.550%, 02/15/39		3,870		4,089
5.875%, 02/01/12		500		539
5.600%, 05/15/18		400		427
5.500%, 02/01/18		150		159
5.100%, 09/15/14 (A)		2,410		2,624
BellSouth
4.750%, 11/15/12 (A)		190		204
BellSouth Telecommunications
6.300%, 12/15/15		262		280
British Telecommunications
9.625%, 12/15/30 (F)		1,115		1,415
9.375%, 12/15/10 (F)		1,460		1,551
5.950%, 01/15/18 (A)		1,711		1,771
Cellco Partnership
8.500%, 11/15/18		2,440		3,073
7.375%, 11/15/13		5,770		6,698
3.750%, 05/20/11		4,650		4,803
Deutsche Telekom International Finance
6.000%, 07/08/19		600		642
5.750%, 03/23/16		2,175		2,348
France Telecom
7.750%, 03/01/11		1,990		2,123
GTE
8.750%, 11/01/21		600		752
New Cingular Wireless Services
8.125%, 05/01/12		1,255		1,421
Qwest
7.875%, 09/01/11		1,560		1,650
7.500%, 10/01/14		4,025		4,287
Rogers Communications
6.375%, 03/01/14		5,455		6,114
5.500%, 03/15/14		720		781
Royal
8.000%, 10/01/10		5,100		5,306
Sprint Capital
8.750%, 03/15/32		390		344
8.375%, 03/15/12 (A)		5,300		5,439
6.900%, 05/01/19		120		105
Telecom Italia Capital
6.999%, 06/04/18 (A)		4,480		4,913
5.250%, 10/01/15		370		388
5.250%, 11/15/13		580		616
4.950%, 09/30/14		1,320		1,378
Telefonica Emisiones
5.984%, 06/20/11		2,400		2,534
5.877%, 07/15/19		115		121
Verizon Communications
8.950%, 03/01/39		2,100		2,871
8.750%, 11/01/18		194		245
6.400%, 02/15/38		660		693
6.100%, 04/15/18		1,580		1,731
5.850%, 09/15/35		150		147
5.500%, 02/15/18		2,810		2,972
Verizon Global Funding
7.750%, 12/01/30		200		238
7.375%, 09/01/12		1,730		1,968
6.875%, 06/15/12		465		519


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Verizon Maryland
7.150%, 05/01/23	$	600	$	636
Vodafone Group
5.450%, 06/10/19		226		236

				89,515


Utilities — 1.8%
AGL Capital
5.250%, 08/15/19		170		175
4.450%, 04/15/13		400		421
Appalachian Power
5.950%, 05/15/33		200		200
Arizona Public Services
8.000%, 12/30/15		553		596
Carolina Power & Light
5.300%, 01/15/19		400		423
CenterPoint Energy Houston Electric LLC
7.000%, 03/01/14		150		172
Cleveland Electric Illuminating
7.880%, 11/01/17		310		371
Consumers Energy
6.700%, 09/15/19		400		456
Dominion Resources
8.875%, 01/15/19		6,735		8,589
6.400%, 06/15/18		300		334
5.700%, 09/17/12		3,560		3,883
4.750%, 12/15/10		740		762
DPL
6.875%, 09/01/11		3,970		4,274
Duke Energy
6.300%, 02/01/14		2,910		3,248
5.625%, 11/30/12		425		469
EDF
5.600%, 01/27/40 (D)		2,185		2,138
Enel Finance International
6.000%, 10/07/39 (D)		2,420		2,345
5.125%, 10/07/19 (D)		500		501
Exelon
5.625%, 06/15/35		2,605		2,421
Exelon Generation LLC
6.250%, 10/01/39		925		946
5.200%, 10/01/19		900		916
FirstEnergy Solutions
6.800%, 08/15/39		1,395		1,425
6.050%, 08/15/21		3,280		3,380
4.800%, 02/15/15		1,090		1,137
FirstEnergy, Ser B
6.450%, 11/15/11		14		15
FirstEnergy, Ser C
7.375%, 11/15/31		4,935		5,336
Hydro Quebec, Ser JL
6.300%, 05/11/11 (A)		1,050		1,118
Jersey Central Power & Light
7.350%, 02/01/19		500		584
KCP&L Greater Missouri Operations
11.875%, 07/01/12		3,360		3,925
8.270%, 11/15/21		2,894		3,067
Massachusetts Electric
5.900%, 11/15/39 (D)		210		214
MidAmerican Energy
5.300%, 03/15/18		750		788


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nevada Power
8.250%, 06/01/11	$	5,910	$	6,395
7.125%, 03/15/19		400		455
Niagara Mohawk Power
4.881%, 08/15/19 (A) (D)		180		182
Nisource Finance
10.750%, 03/15/16		500		641
6.800%, 01/15/19		3,547		3,881
6.125%, 03/01/22		2,400		2,500
Northern States Power
6.250%, 06/01/36		350		382
5.350%, 11/01/39		56		55
Oncor Electric Delivery
6.800%, 09/01/18 (A)		4,535		5,097
Pacific Gas & Electric
8.250%, 10/15/18		1,130		1,394
6.050%, 03/01/34		3,275		3,411
5.800%, 03/01/37		840		852
5.400%, 01/15/40 (A)		156		150
PacifiCorp
6.250%, 10/15/37		310		339
5.650%, 07/15/18		100		108
5.500%, 01/15/19		400		429
Progress Energy
6.850%, 04/15/12		1,795		1,976
6.000%, 12/01/39		200		196
PSEG Power LLC
5.500%, 12/01/15		445		483
5.320%, 09/15/16 (D)		126		131
Public Service Electric & Gas MTN
5.375%, 11/01/39		97		94
Public Service of New Mexico
7.950%, 05/15/18		3,000		3,157
Public Service of Oklahoma
5.150%, 12/01/19		170		173
Sempra Energy
8.900%, 11/15/13		400		480
6.500%, 06/01/16		135		151
Southern
4.150%, 05/15/14		85		90
Southern California Edison
4.650%, 04/01/15		200		216
Southern Union
8.250%, 11/15/29		5,018		5,843
Southwestern Public Service
8.750%, 12/01/18		300		374
Tennessee Valley Authority
5.250%, 09/15/39		1,828		1,853
Texas-New Mexico Power
9.500%, 04/01/19 (D)		875		1,081
TXU
6.500%, 11/15/24		410		206
TXU, Ser P
5.550%, 11/15/14		370		270
TXU, Ser R
6.550%, 11/15/34		4,385		2,202
Virginia Electric and Power
5.400%, 04/30/18		300		318

				100,194

Total Corporate Obligations (Cost $1,519,265) ($ Thousands)				1,516,457


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 14.2%
U.S. Treasury Bills
0.088%, 05/13/10 (C)	$	1,665	$	1,665

U.S. Treasury Bonds
2.625%, 12/31/14 (A)		6,968		7,102
9.250%, 02/15/16		500		683
7.500%, 11/15/16 (A)		20,700		26,468
3.250%, 12/31/16		1,970		2,001
3.125%, 01/31/17 (A)		15,530		15,637
4.625%, 02/15/17 (A)		30,500		33,691
8.750%, 05/15/17 (A)		21,675		29,680
8.875%, 08/15/17 (A)		25,400		35,102
8.875%, 02/15/19		8,158		11,572
3.375%, 11/15/19 (A)		36,911		36,268
3.625%, 02/15/20 to 02/15/20 (A)		4,437		4,490
8.750%, 08/15/20		3,950		5,684
8.000%, 11/15/21 (A)		11,085		15,375
7.125%, 02/15/23 (A)		3,742		4,903
6.250%, 08/15/23 (A)		9,565		11,681
6.750%, 08/15/26		250		323
6.500%, 11/15/26		100		126
6.375%, 08/15/27		200		250
6.125%, 11/15/27		150		183
5.500%, 08/15/28		200		229
5.375%, 02/15/31 (A)		26,454		29,922
3.500%, 02/15/39 (A)		27,405		22,866
4.250%, 05/15/39 (A)		25,169		24,036
4.500%, 08/15/39 (A)		45,140		44,935
4.375%, 11/15/39 (A)		36,875		35,942

				399,149

U.S. Treasury Bonds, Ser 1996
6.000%, 02/15/26		100		120

U.S. Treasury Inflation-Protected Securities
2.168%, 02/15/13 (C)		1,000		962
2.854%, 02/15/14 (C)		8,550		7,931
2.759%, 05/15/14 (C)		2,150		1,975
2.677%, 02/15/15 (C)		200		178
2.000%, 01/15/16 (A)		11,126		12,921
3.208%, 08/15/16 (C)		5,100		4,190
6.450%, 02/15/17 (C)		17,420		13,930
3.809%, 08/15/17 (C)		4,000		3,107
14.745%, 11/15/17 (C)		6,150		4,713
3.541%, 02/15/18 (C)		1,350		1,021
3.712%, 08/15/18 (C)		100		73
3.944%, 05/15/19 (C)		1,200		844
9.894%, 05/15/20 (C)		2,900		1,927
4.056%, 08/15/20 (C)		4,550		2,980
4.342%, 11/15/20 (C)		1,000		646
5.294%, 02/15/21 (C)		200		128
4.088%, 02/15/22 (C)		300		180
4.582%, 02/15/24 (C)		75		40
6.321%, 05/15/24 (C)		800		419
9.089%, 08/15/24 (C)		200		103
4.748%, 11/15/24 (C)		200		102
2.375%, 01/15/25		160		192
2.000%, 02/15/25 (C)		21,110		10,688
2.375%, 01/15/27 (A)		11,879		13,289


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.664%, 11/15/27 (C)	$	31,090	$	13,665
1.750%, 01/15/28 (A)		25,404		24,881
3.625%, 04/15/28 (A)		20,180		32,985
3.875%, 04/15/29		570		953
4.558%, 05/15/29 (C)		100		40
3.974%, 05/15/30 (C)		9,150		3,564
4.407%, 02/15/32 (C)		200		70
4.613%, 05/15/36 (C)		300		86
2.125%, 02/15/40		12,915		12,881

				171,664

U.S. Treasury Notes
1.000%, 09/30/11 (A)		15,030		15,129
4.500%, 11/30/11		1,000		1,067
1.000%, 12/31/11 (A)		6,167		6,198
0.875%, 01/31/12		1,549		1,552
1.875%, 06/15/12		2,007		2,049
1.375%, 10/15/12		1,397		1,405
1.125%, 12/15/12 (A)		4,103		4,092
1.375%, 01/15/13 (A)		16,427		16,472
1.375%, 02/15/13		28,914		28,959
1.875%, 02/28/14		1,000		1,002
2.625%, 06/30/14		9,730		9,988
2.125%, 11/30/14 (A)		9,921		9,906
2.250%, 01/31/15 (A)		30,415		30,434
2.375%, 02/28/15		44,310		44,501
2.375%, 03/31/16		2,000		1,958
3.125%, 10/31/16		1,000		1,011
2.750%, 11/30/16 (A)		2,681		2,644
3.000%, 02/28/17		3,950		3,942
4.500%, 05/15/17		1,600		1,752
4.750%, 08/15/17 (A)		6,000		6,661
3.750%, 11/15/18		8,400		8,600
2.750%, 02/15/19 (A)		6,701		6,321
3.125%, 05/15/19 (A)		21,445		20,770
3.625%, 08/15/19 (A)		9,610		9,658

				236,071

Total U.S. Treasury Obligations (Cost $799,472) ($ Thousands)				808,669


ASSET-BACKED SECURITIES — 4.7%

Automotive — 0.3%
Ally Auto Receivables Trust, Ser 2009-1, Cl A3
2.330%, 06/17/13 (D)		500		510
Ally Master Owner Trust, Ser 2009-1, Cl A
1.978%, 01/15/15 (B) (D)		13,373		13,373
AmeriCredit Automobile Receivables Trust, Cl A3
1.660%, 03/17/14		115		115
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A2
0.980%, 01/15/13		165		165
Bank of America Auto Trust, Cl A3
1.390%, 03/15/14 (D)		430		431
Bank of America Auto Trust, Cl A4
2.180%, 02/15/17 (D)		310		311


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bank of America Auto Trust, Ser 2009-14, Cl A3
2.670%, 07/15/13 (D)	$	600	$	614
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (D)		200		209
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (D)		650		661
Bank of America Auto Trust, Ser 2009-3A, Cl A3
1.670%, 12/15/13 (D)		350		353
CarMax Auto Owner Trust, Cl A3
1.560%, 07/15/14		300		301
Chrysler Financial Auto Securitization Trust, Ser 2009-A, Cl A3
2.820%, 01/15/16		250		256
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3
2.590%, 10/15/13 (D)		695		705
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		350		359
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4
4.500%, 07/15/14		300		321
Ford Credit Floorplan Master Owner Trust
1.882%, 12/15/14 (B) (D)		4,296		4,316
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		1,045		1,079
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
4.550%, 01/15/17		1,211		1,290
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		1,879		1,947
Harley-Davidson Motorcycle Trust, Ser 2009-3, Cl A4
2.540%, 04/15/17		1,413		1,427
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		592		595
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (D)		3,110		3,223
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4
3.300%, 09/15/15		250		260
Honda Auto Receivables Owner Trust, Ser 2009-S1, Cl A3
2.310%, 05/15/13		200		203
Swift Master Auto Receivables Trust, Ser 2007-1, Cl A
0.332%, 06/15/12 (B)		1,249		1,245
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		365		372


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
USAA Auto Owner Trust, Ser 2009-2, Cl A3
1.540%, 02/18/14	$	470	$	474
World Omni Auto Receivables Trust, Cl A4
2.210%, 05/15/15		550		553

				35,668


Credit Cards — 0.8%
Bank of America Credit Card Trust, Cl A1
0.811%, 04/15/13 (B)		708		709
Bank of America Credit Card Trust, Cl A2
0.251%, 06/17/13 (B)		2,147		2,138
Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3
5.050%, 02/15/16		3,915		4,262
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14		2,244		2,344
Citibank Credit Card Issuance Trust, Cl A5
2.250%, 12/23/14		3,850		3,876
Citibank Credit Card Issuance Trust, Ser 2008-A5, Cl A5
4.850%, 04/22/15		1,955		2,115
Discover Card Master Trust
0.881%, 09/15/15 (B)		8,231		8,218
Discover Card Master Trust, Cl A
1.532%, 02/17/15 (B)		17,867		18,158
Discover Card Master Trust I, Cl A1
0.292%, 06/18/13 (B)		890		888
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.531%, 12/15/14 (B)		2,948		2,978
Nordstrom Private Label Credit Card Master Note Trust, Ser 2007-2A, Cl A
0.292%, 05/15/15 (B) (D)		2,482		2,408

				48,094


Mortgage Related Securities — 0.8%
ABFS Mortgage Loan Trust, Ser 2002-3, Cl A
4.763%, 09/15/33		8		8
ABS Home Equity, Ser 2001-HE3, Cl A1
0.772%, 11/15/31 (B)		241		183
ACE Securities, Ser 2006-SL3, Cl A1
0.329%, 06/25/36 (B)		6,701		711
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.469%, 03/25/30 (B)		2,516		939
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.269%, 12/25/36 (B)		633		589
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.190%, 11/15/32 (B)		4,906		4,947


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28	$	8	$	8
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
1.052%, 09/15/29 (B)		310		155
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.699%, 05/25/39 (B) (D)		956		722
GMAC Mortgage Loan Trust, Ser 2007-HE2, Cl A6
6.249%, 12/25/37		904		486
GSAA Trust, Ser 2005-6, Cl A3
0.599%, 06/25/35 (B)		4,100		2,422
HFC Home Equity Loan Asset Backed Certificates, Ser 2005-2, Cl A1
0.499%, 01/20/35 (B)		5,253		4,922
HFC Home Equity Loan Asset Backed Certificates, Ser 2005-2, Cl M2
0.719%, 01/20/35 (B)		584		510
HFC Home Equity Loan Asset Backed Certificates, Ser 2006-1, Cl A1
0.389%, 01/20/36 (B)		641		559
HFC Home Equity Loan Asset Backed Certificates, Ser 2006-2, Cl A1
0.379%, 03/20/36 (B)		438		405
HFC Home Equity Loan Asset Backed Certificates, Ser 2007-1, Cl AS
0.429%, 03/20/36 (B)		343		301
HFC Home Equity Loan Asset Backed Certificates, Ser 2007-1, Cl A2F
5.600%, 03/20/36		750		769
HFC Home Equity Loan Asset Backed Certificates, Ser 2007-3, Cl APT
1.429%, 11/20/36 (B)		1,000		907
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.339%, 07/25/37 (B)		3,034		2,902
Indymac Home Equity Loan Asset-Backed Trust, Ser 2001-A, Cl AV
0.489%, 03/25/31 (B)		38		20
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
0.979%, 01/25/35 (B)		313		307
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.269%, 01/25/37 (B)		315		307
Morgan Stanley Home Equity Loans , Ser 2007-1, Cl A1
0.279%, 12/25/36 (B)		292		285
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/47		31		18


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MSDWCC Heloc Trust, Ser 2003-1, Cl A
0.769%, 11/25/15 (B)	$	83	$	69
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3
0.399%, 09/25/36 (B)		6,400		4,645
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.829%, 01/25/32 (B)		247		200
Option One Mortgage Loan Trust, Ser 2007-14, Cl 2A3
0.369%, 01/25/37 (B)		17,000		6,501
Option One Mortgage Loan Trust, Ser 2007-5, Cl 2A4
0.529%, 05/25/37 (B)		10,000		3,265
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3
4.499%, 08/25/35		1,378		1,352
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.790%, 02/25/25		970		818
Residential Funding Mortgage Securities II, Ser 2007-HSA3, Cl AI2
5.890%, 06/25/37 (B)		58		55
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.450%, 04/25/32 (D)		385		320
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A 0.579%,
04/25/37 (B) (D) (G) (H)		1,016		456
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A1
0.309%, 06/25/37 (B)		5,516		4,466
Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1
4.000%, 08/25/35 (B) (D)		536		500
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/30		36		31

				46,060


Other Asset-Backed Securities — 2.8%
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
0.909%, 01/25/32 (B)		436		349
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1
4.192%, 02/01/20		1,665		1,779
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2002-1, Cl 2A2
0.729%, 03/25/32 (B)		988		626
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/34		1,117		1,008
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/36		6,340		5,608


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Mortgage Loan Trust, Ser 2007-SHL1, Cl A
0.629%, 11/25/46 (B) (D)	$	1,229	$	609
CNH Equipment Trust, Ser 2009-B, Cl A3
2.970%, 03/15/13		174		177
CNH Equipment Trust, Ser 2009-C, Cl A3
1.850%, 12/16/13		130		131
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (B)		1,986		1,858
Conseco Finance Securitizations, Ser 2000-4, Cl A6
8.310%, 05/01/32 (B)		770		586
Countrywide Asset-Backed Certificates, Cl A1
0.559%, 07/25/36 (B) (D)		467		211
Countrywide Asset-Backed Certificates, Cl A
0.889%, 04/25/32 (B)		66		37
Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A
0.709%, 12/25/31 (B)		52		26
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.829%, 06/25/33 (B)		115		98
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3
5.711%, 05/25/36 (B)		10,000		4,524
Countrywide Asset-Backed Certificates, Ser 2005-6, Cl M1
0.719%, 12/25/35 (B)		320		288
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.689%, 10/25/46 (B)		208		128
Countrywide Asset-Backed Certificates, Ser 2007-7, Cl 2A2
0.389%, 10/25/47 (B)		7,500		6,042
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.429%, 02/25/37 (B) (D)		1,283		838
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1
0.679%, 03/25/47 (B) (D)		960		408
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.532%, 02/15/34 (B)		914		420
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A
0.472%, 12/15/35 (B)		2,096		936
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		489		466


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4
5.704%, 12/25/36	$	1,614	$	1,174
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2
5.501%, 12/25/36		827		619
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-CB4, Cl A1A
0.319%, 04/25/37 (B)		4,522		3,744
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A
0.539%, 05/25/46 (B) (D)		13,449		7,469
Diamond Investment Grade CDO, Ser 1X, Cl A1
0.997%, 10/11/14 (G)		3,262		3,017
Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1
0.711%, 08/15/25 (B) (D)		3,546		1,596
Equity One, Ser 2003-2, Cl M1
5.050%, 09/25/33 (B)		600		528
Fieldstone Mortgage Investment, Ser 2007-A, Cl 2A2
0.499%, 04/25/47 (B)		2,000		718
First Horizon Asset Back Trust, Ser 2004-HE2, Cl A
0.449%, 02/25/34 (B)		1,132		611
First Horizon Asset Back Trust, Ser 2006-HE2, Cl A
0.359%, 10/25/26 (B)		655		390
GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN
0.489%, 02/25/36 (B)		6,625		2,418
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		489		497
GSAMP Trust, Ser 2003-SEA, Cl A1
0.629%, 02/25/33 (B)		1,956		1,203
GSAMP Trust, Ser 2006-SD2, Cl A1
0.339%, 05/25/46 (B) (D)		2,767		2,625
John Deere Owner Trust, Ser 2009-A, Cl A3
2.590%, 10/15/13		300		305
John Deere Owner Trust, Ser 2009-B, Cl A3
1.570%, 10/15/13		535		539
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6
5.501%, 10/25/36		9,605		7,892
Lehman XS Trust, Ser 2005-5N, Cl 1A1
0.529%, 11/25/35 (B)		4,503		2,912
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.529%, 12/25/35 (B)		3,461		1,090


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.559%, 05/25/46 (B)	$	8,114	$	1,346
Lone Star CDO Funding, Ser IX, Cl A
0.936%, 12/15/12 (G)		2,985		2,895
Merit Securities, Ser 2003-13, Cl A4
7.955%, 12/28/33 (B)		3,373		3,387
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D
5.895%, 03/25/37		5,542		2,336
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		2,781		2,532
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/40 (D)		6,666		6,844
MSCC HELOC Trust, Ser 2005-1, Cl A
0.419%, 07/25/17 (B)		516		243
Nelnet Student Loan Trust, Ser 2008-4, Cl A4
1.729%, 04/25/24 (B)		4,540		4,774
Oakwood Mortgage Investors, Ser 2002-C, Cl AIO, IO
6.000%, 08/15/10		4,611		115
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.472%, 05/15/32 (B)		37		33
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3
0.539%, 06/25/47 (B)		10,380		4,565
RAAC Series, Ser 2007-RP4, Cl A
0.579%, 11/25/46 (B) (D)		15,022		7,187
RAAC Series, Ser 2007-SP3, Cl A1
1.429%, 09/25/47 (B)		411		279
SLC Student Loan Trust, Ser 2008-1, Cl A4A
1.854%, 12/15/32 (B)		12,147		12,840
SLM Student Loan Trust
1.349%, 10/25/16 (B)		1,286		1,308
SLM Student Loan Trust, Ser 2002-5, Cl A4L
0.404%, 09/17/18 (B)		696		692
SLM Student Loan Trust, Ser 2003-3, Cl A4
0.474%, 12/15/17 (B)		615		614
SLM Student Loan Trust, Ser 2003-6, Cl A4
0.454%, 12/17/18 (B)		563		561
SLM Student Loan Trust, Ser 2008-5, Cl A4
1.949%, 07/25/23 (B)		12,942		13,689
SLM Student Loan Trust, Ser 2008-8, Cl A4
1.899%, 07/25/22 (B)		2,093		2,198


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1
0.319%, 04/25/37 (B)	$	2,493	$	2,413

				137,351

Total Asset-Backed Securities (Cost $307,109) ($ Thousands)				267.173


U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.2%
FHLB
1.500%, 05/10/10 to 01/16/13 (A) (F)		10,960		10,963
5.500%, 08/13/14 (A)		5,000		5,665
5.000%, 11/17/17		5,000		5,509
0.090%, 03/15/10 to 03/19/10 (C)		16,115		16,115
FHLMC
5.625%, 11/23/35		1,620		1,654
5.500%, 07/18/16		4,000		4,549
5.000%, 04/18/17		5,471		5,513
3.000%, 07/28/14		3,750		3,862
2.875%, 02/09/15 (A)		10,800		10,971
0.374%, 02/03/12 (B)		14,170		14,186
0.110%, 05/04/10		53,700		53,690
FHLMC
0.100%, 03/09/10 to 05/18/10 (C)		78,765		78,759
FICO STRIPS, PO
4.848%, 02/08/18 to 09/26/19 (C)		22,790		15,900
FNMA
7.000%, 10/09/19 (C)		670		394
FNMA
5.250%, 08/01/12		2,800		3,044
5.000%, 02/13/17		5,000		5,528
6.250%, 05/15/29		3,730		4,380
7.125%, 01/15/30		4,090		5,274

				245,956

Total U.S. Government Agency Obligations (Cost $244,532) ($ Thousands)

MUNICIPAL BONDS — 0.3%
County of Clark Nevada, Ser C-BUILD, RB
6.820%, 07/01/45		2,340		2,391
Los Angeles Unified School District, GO
6.758%, 07/01/34		2,330		2,429
North Texas Tollway Authority, RB
6.718%, 01/01/49		1,250		1,333
State of California, Build America Project, GO
7.550%, 04/01/39		1,760		1,719
7.300%, 10/01/39		7,735		7,344
State of Illinois, GO
5.100%, 06/01/33		270		225

Total Municipal Bonds (Cost $15,766) ($ Thousands)				15,441


Description	Face Amount ($ Thousands)/Shares	Market Value ($ Thousands)

PREFERRED STOCK — 0.0%
GMAC, 7.000% (D)	1	$	455
Zurich RegCaPS Funding Trust, 0.959% (B) (D)	—		257

Total Preferred Stock (Cost $309) ($ Thousands)			712


COMMERCIAL PAPER — 1.6%(E)
Credit Agricole North America
0.145%, 03/25/10	24,355		24,352

Lloyds TSB Bank
0.180%, 03/19/10	8,385		8,384
0.170%, 03/23/10	9,090		9,089

			17,473

Societe Generale North America
0.160%, 03/04/10 (E)	25,454		25,453

UBS Finance Delaware LLC
0.140%, 03/26/10	24,365		24,363

Total Commercial Paper (Cost $91,642) ($ Thousands)			91,641


REPURCHASE AGREEMENT — 0.8%
Deutsche Bank 0.110%, dated 02/28/10, to be repurchased on 03/01/10, repurchase price $43,600,133 (collateralized by a U.S. government obligation, par value $43,600,400, 2.000%, 03/17/2010, with total market value $44,484,000)	43,600		43,600

Total Repurchase Agreement (Cost $43,600) ($ Thousands)			43,600


AFFILIATED PARTNERSHIP — 11.1%
SEI Liquidity Fund, L.P.,
0.240% † ** (F)	644,727,988		634,229

Total Affiliated Partnership (Cost $644,728) ($ Thousands)			634,229


CASH EQUIVALENT — 2.7%
Evergreen Institutional Money Market Fund, Cl I, 0.010% **	960,728		961
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% † **	151,081		151,080

Total Cash Equivalents (Cost $152,041) ($ Thousands)			152,041


Description	Contracts		Market Value ($ Thousands)
Total Investments — 113.8% (Cost $6,554,809) ($ Thousands) ††			$	6,491,957


WRITTEN OPTIONS — 0.0%
June 2010 90Day EURO$ Future Call, Expires 06/19/10, Strike Price $99.36	(235	)	$	(173	)
March 2010 90Day EURO$ Future Call, Expires 03/20/10, Strike Price $99.00	(147	)		(270	)
March 2010 90Day EURO$ Future Call, Expires 03/20/10, Strike Price $99.50	(136	)		(80	)
March 2010 90Day EURO$ Future Put, Expires 03/20/10, Strike Price $99.13	(219	)		(1	)
May 2010 90Day EURO$ Future Call, Expires 04/17/10, Strike Price $120.00	(304	)		(67	)
May 2010 90Day EURO$ Future Put, Expires 04/17/10, Strike Price $113.00	(304	)		(24	)
September 2010 90Day EURO$ Future Call, Expires 09/19/09, Strike Price $99.25	(75	)		(62	)
September 2010 90Day EURO$ Future Call, Expires 09/18/10, Strike Price $99.37	(299	)		(172	)
September 2010 90Day EURO$ Future Put, Expires 09/18/10, Strike Price $99.25	(299	)		(71	)

Total Written Options (Premiums Received $841) ($ Thousands)				(920	)

Percentages are based on a Net Assets of $5,702,780 ($ Thousands)

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$	(26	)	Dec-2010	$	(252	)
90-Day Euro$	(26	)	Jun-2011		(213	)
90-Day Euro$	(10	)	Mar-2010		(1	)
90-Day Euro$	(26	)	Mar-2011		(232	)
90-Day Euro$	(26	)	Sep-2010		(263	)
Euro-Bund	(129	)	Mar-2010		(153	)
U.S. 10-Year Treasury Note	842		Jun-2010		1,193
U.S. 2-Year Treasury Note	86		Jul-2010		37
U.S. 5-Year Treasury Note	4,010		Jul-2010		3,362
U.S. Long Treasury Bond	(505	)	Jun-2010		(1,409	)
U.S. Long Treasury Bond	70		Jun-2010		138

				$	2,207

A summary of the outstanding forward foreign currency contracts held by the Fund at February 28, 2010, is as follows:


Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
5/18/10	EUR	3,755	USD	5,201	$	78

The rate reported is the 7-day effective yield as of February 28, 2010.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $6,554,809 ($ Thousands), and the unrealized appreciation and depreciation were $231,940 and ($169,088) ($ Thousands), respectively.

(A)

Variable Rate Security — The rate reported is the rate in effect as of February 28, 2010. The date reported is the final maturity date.

(B)

(C)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at November 30, 2009 was $625,424 ($ Thousands).

(D)

Security in default on interest payments.

(E)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(F)

This security was purchased with cash collateral held from securities on loan. The total value of this security as of February 28, 2010 was $634,229 ($ Thousands).

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of February 28, 2010 was $6,449 ($ Thousands) and represented 0.11% of net assets.

(H)

Securities considered illiquid. The total value of such securities as of February 28, 2010 was $1,403 ($ Thousands) and represented 0.02% of net assets.

ABS — Asset-Backed Security

ARM — Adjustable Rate Mortgage

CDO — Collateralized Debt Obligation

Cl — Class

CMO — Collateralized Mortgage Obligation

EUR — Euro

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

IO — Interest Only — face amount represents notional amount

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PO — Principal Only

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — United States Dollar

Amounts designated as “—” are $O or have been rounded to $O.

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

See end of Form N-Q Filing for ASC 820 (formerly FAS 157) disclosure.

A summary of outstanding swap agreements held by the Fund at February 28, 2010, is as follows:

On September 12, 2008, the FASB issued FASB Staff Position (“FSP”) No. FAS 133-1 and FASB Interpretation Number (“FIN”) 45-4 (“FSP 133-1”), Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FASB Statement No. 161. The FSP is intended to improve disclosures about credit derivatives by requiring more information about the potential adverse effects of changes in credit risk on the financial position, financial performance, and cash flows of the sellers of credit derivatives. It amends FASB Statement No. 133, Accounting for Derivative Instruments and Hedging Activities, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instruments. The FSP also amends FIN 45, Guarantor’s Accounting and Disclosure Requirements for Guarantees, Including Indirect Guarantees of Indebtedness to Others, to require an additional disclosure about the current status of the payment/performance risk of a guarantee. FSP 133-1 and FIN 45-4 is effective for reporting periods (annual or interim) ending after November 15, 2008 and was adopted by the Fund effective November 30, 2008.

The Fund enters into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. The Fund uses these swaps to reduce risk where the Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. If a credit event occurs, the seller typically must pay the contingent payment to the buyer, which is typically the par value (full notional value) of the reference obligation, though the actual payment may be mitigated by terms of the International Swaps and Derivative Agreement (“ISDA”), allowing for netting arrangements and collateral. After a credit event occurs, this amount may be reduced by anticipated recovery rates, segregated collateral and netting arrangements that may incorporate multiple transactions with a given counterparty.

The contingent payment may be a cash settlement or a physical delivery of the reference obligation in return for payment of the face amount of the obligation. If the Fund is a buyer and no credit event occurs, the Fund may lose its investment and recover nothing. However, if a credit event occurs, the buyer typically receives full notional value for a reference obligation that may have little or no value. As a seller, the Buyer receives a fixed rate of income throughout the term of the contract, which typically is between one month and five years, provided that no credit event occurs. If a credit event occurs, the seller may pay the buyer the full notional value of the reference obligation. As of February 28, 2010, the Fund is the buyer (“receiving protection”) on a total notional amount of $86.8 million)1 and is the seller (“providing protection”) on a total notional amount of $79.3 million. The notional amounts of the swaps are not recorded in the financial statements; however the notional amount does approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund were the seller of protection and a credit event were to occur. Those credit default swaps for which the Fund is providing protection at balance sheet date are summarized as follows:


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS — 83.8%

Consumer Discretionary — 16.2%
Adelphia Communications (escrow security)
10.250%, 06/15/11 (B)	$	125	$	2
7.875%, 01/15/09 (B)		250		3
7.750%, 05/01/09 (B)		75		1
Adelphia Communications, Ser B (escrow security)
9.500%, 02/15/04		25		—
America West Airlines LLC
8.057%, 07/02/20		2,094		1,927
American Airlines
13.000%, 08/01/16 (A)		1,904		2,123
American Axle & Manufacturing Holdings
9.250%, 01/15/17 (A)		420		435
Ameristar Casinos
9.250%, 06/01/14 (A)		1,050		1,074
Amscan Holdings
8.750%, 05/01/14		2,620		2,541
ARAMARK
8.500%, 02/01/15		400		404
ArvinMeritor
8.125%, 09/15/15		1,295		1,178
Ashtead Capital
9.000%, 08/15/16 (A)		2,324		2,336
Avis Budget Car Rental LLC
7.750%, 05/15/16		780		704
Beazer Homes USA
12.000%, 10/15/17 (A)		1,290		1,438
8.375%, 04/15/12		785		773
8.125%, 06/15/16		515		435
6.500%, 11/15/13		1,475		1,335
Belo
8.000%, 11/15/16		3,250		3,364
7.750%, 06/01/27		2,025		1,635
Boyd Gaming
7.125%, 02/01/16		1,375		1,083
Brunswick
11.750%, 08/15/13		1,500		1,657
11.250%, 11/01/16 (A)		3,465		3,855
Burlington Coat Factory Investment Holdings
14.500%, 10/15/14		4,480		4,592
Burlington Coat Factory Warehouse
11.125%, 04/15/14		3,010		3,063
Cablevision Systems
8.625%, 09/15/17 (A)		1,305		1,344
Caesars Entertainment
7.875%, 03/15/10		682		679
CCO Holdings LLC
8.750%, 11/15/13 (B)		3,470		3,522
Charter Communications Operating LLC
10.875%, 09/15/14 (A) (B)		1,055		1,175
Couche-Tard US
7.500%, 12/15/13		330		332


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Dana (escrow security) (B)
7.000%, 03/01/09	$	175	$	4
7.000%, 03/01/29		1,100		28
6.500%, 03/15/08		100		2
6.500%, 03/15/28		200		5
Dave & Buster’s
11.250%, 03/15/14		2,081		2,175
Delta Air Lines
7.920%, 11/18/10		575		581
7.711%, 09/18/11		1,900		1,881
DISH DBS
7.125%, 02/01/16		2,770		2,777
Dollar General
11.875%, 07/15/17		1,520		1,759
DR Horton
6.000%, 04/15/11		730		745
Duane Reade
11.750%, 08/01/15 (A)		2,225		2,803
Eastman Kodak
9.750%, 03/01/18 (A)		1,700		1,659
7.250%, 11/15/13		2,930		2,762
Easton-Bell Sports
9.750%, 12/01/16 (A)		2,310		2,397
El Dorado Casino Shreveport PIK
10.000%, 08/01/12		1,102		937
El Pollo Loco
11.750%, 12/01/12		2,250		2,318
Equinox Holdings
9.500%, 02/01/16 (A)		1,240		1,221
Fontainebleau Las Vegas
10.250%, 06/15/15 (A) (B)		3,500		37
Ford Motor
7.450%, 07/16/31		1,975		1,736
Ford Motor, Ser 1999
6.375%, 02/01/29		1,080		864
Galaxy Entertainment Finance
9.875%, 12/15/12 (A)		1,565		1,624
Gaylord Entertainment
6.750%, 11/15/14		480		451
Goodyear Tire & Rubber
10.500%, 05/15/16		325		350
9.000%, 07/01/15		51		53
8.625%, 12/01/11		831		862
Group 1 Automotive
8.250%, 08/15/13		100		100
Hanesbrands
8.000%, 12/15/16		2,635		2,688
Hanesbrands, Ser B
3.831%, 12/15/14 (C)		1,185		1,111
Harrah’s Operating
11.250%, 06/01/17 (A)		575		597
11.250%, 06/01/17 (A)		1,240		1,286
10.000%, 12/15/18 (A)		5,056		3,817
5.750%, 10/01/17		1,000		488
5.500%, 07/01/10		248		244
Harrahs Operating Escrow LLC
11.250%, 06/01/17 (A)		7,430		7,709
Harry & David Operations
9.000%, 03/01/13		395		268
Hertz
8.875%, 01/01/14		1,480		1,502


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSN
11.250%, 08/01/16	$	1,700	$	1,908
Inergy
8.750%, 03/01/15 (A)		850		873
8.250%, 03/01/16		345		349
6.875%, 12/15/14		275		268
Intcomex
13.250%, 12/15/14 (A)		3,000		2,977
Isle of Capri Casinos
7.000%, 03/01/14		3,770		3,063
Jarden
8.000%, 05/01/16		500		522
7.500%, 05/01/17		1,910		1,920
JC Penney
7.400%, 04/01/37		1,860		1,837
K Hovnanian Enterprises
10.625%, 10/15/16 (A)		655		684
7.500%, 05/15/16		685		490
6.250%, 01/15/15		375		281
Lamar Media
7.250%, 01/01/13		900		900
Landry’s Restaurants
11.625%, 12/01/15 (A)		2,514		2,627
Levi Strauss
9.750%, 01/15/15		250		261
Libbey Glass
10.000%, 02/15/15 (A)		725		750
Lions Gate Entertainment
10.250%, 11/01/16 (A)		3,265		3,273
M/I Homes
6.875%, 04/01/12		640		621
Macy’s Retail Holdings
8.875%, 07/15/15		2,180		2,393
McJunkin Red Man
9.500%, 12/15/16 (A)		1,190		1,193
MDC Partners
11.000%, 11/01/16 (A)		3,400		3,638
Meritage Homes
7.000%, 05/01/14		995		965
6.250%, 03/15/15		205		193
MGM Mirage
13.000%, 11/15/13 (A)		75		85
11.375%, 03/01/18 (A)		2,085		1,929
11.125%, 11/15/17 (A)		1,045		1,129
10.375%, 05/15/14 (A)		775		822
8.500%, 09/15/10		102		102
7.500%, 06/01/16		3,490		2,766
6.875%, 04/01/16		250		195
6.750%, 04/01/13		1,235		1,108
6.750%, 09/01/12		1,070		990
5.875%, 02/27/14		3,085		2,599
Michaels Stores
11.375%, 11/01/16 (A)		21		21
Mohegan Tribal Gaming Authority
7.125%, 08/15/14		905		670
6.875%, 02/15/15		250		174
MTR Gaming Group
12.625%, 07/15/14 (A)		1,055		1,018
NCL
11.750%, 11/15/16 (A)		310		322
Nebraska Book
10.000%, 12/01/11 (A)		1,650		1,675


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Neiman-Marcus Group PIK
9.000%, 10/15/15	$	1,868	$	1,840
Norcraft
10.500%, 12/15/15 (A)		625		647
Norcraft Holdings
9.750%, 09/01/12		671		631
OSI Restaurant Partners LLC
10.000%, 06/15/15		3,533		3,339
Peninsula Gaming LLC
10.750%, 08/15/17 (A)		480		468
8.375%, 08/15/15 (A)		3,150		3,008
Penn National Gaming
6.750%, 03/01/15		3,490		3,333
Penske Auto Group
7.750%, 12/15/16		1,700		1,622
Pinnacle Entertainment
7.500%, 06/15/15		1,285		1,063
Quiksilver
6.875%, 04/15/15		1,455		1,240
QVC
7.500%, 10/01/19 (A)		2,960		2,997
River Rock Entertainment Authority
9.750%, 11/01/11		4,717		4,346
RJ Tower
12.000%, 06/01/13 (B)		210		1
Royal Caribbean Cruises
11.875%, 07/15/15		900		1,019
7.250%, 06/15/16		640		624
7.000%, 06/15/13		925		918
RSC Equipment Rental
9.500%, 12/01/14		3,505		3,391
Sabre Holdings
8.350%, 03/15/16		1,500		1,376
Salem Communications
9.625%, 12/15/16 (A)		1,152		1,189
Sally Holdings LLC
10.500%, 11/15/16		2,830		3,049
9.250%, 11/15/14		1,615		1,688
San Pasqual Casino
8.000%, 09/15/13 (A)		1,530		1,453
Sbarro
10.375%, 02/01/15		1,866		1,525
Sealy Mattress
10.875%, 04/15/16 (A)		35		38
8.250%, 06/15/14		3,805		3,729
Service International
7.375%, 10/01/14		1,035		1,053
6.750%, 04/01/15		1,395		1,381
Shingle Springs Tribal Group
9.375%, 06/15/15 (A)		1,260		1,002
Simmons
10.000%, 12/15/14 (B) (D)		6,595		544
Simmons Bedding
11.250%, 07/15/15 (B)		4,710		5,110
Sinclair Broadcast Group
8.000%, 03/15/12		2,025		1,990
Sirius XM Radio
9.750%, 09/01/15 (A)		1,380		1,442
Speedway Motorsports
8.750%, 06/01/16 (A)		1,750		1,846


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Stanadyne Holdings
12.000%, 02/15/15 (D)	$	1,500	$	1,102
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		475		430
Standard Pacific Escrow LLC
10.750%, 09/15/16 (A)		2,275		2,372
Starwood Hotels & Resorts Worldwide
6.750%, 05/15/18		2,095		2,085
Station Casinos
6.875%, 03/01/16 (B)		960		5
6.625%, 03/15/18 (B)		2,090		11
Steinway Musical Instruments
7.000%, 03/01/14 (A)		5,070		4,690
Sun Media
7.625%, 02/15/13		835		795
Tenneco
8.625%, 11/15/14		585		575
Toys R Us Property I LLC
10.750%, 07/15/17 (A)		640		702
Travelport LLC
11.875%, 09/01/16		6,805		7,094
9.875%, 09/01/14		690		706
4.877%, 09/01/14 (C)		2,044		1,901
TRW Automotive
7.250%, 03/15/17 (A)		575		543
7.000%, 03/15/14 (A)		1,130		1,079
Turning Stone Resort Casino Enterprise
9.125%, 09/15/14 (A)		1,970		1,970
UAL 1995 Pass Through Trust A
9.020%, 04/19/12		538		134
UAL Pass Through Trust Series 2000-1
8.030%, 07/01/11		540		788
United Air Lines
12.000%, 11/01/13 (A)		1,245		1,208
10.400%, 11/01/16		1,705		1,803
9.875%, 08/01/13 (A)		1,370		1,370
9.750%, 01/15/17		3,570		3,722
United Components
9.375%, 06/15/13		1,460		1,449
Univision Communications
9.750%, 03/15/15 (A)		3,543		3,135
Vail Resorts
6.750%, 02/15/14		1,970		1,955
Videotron
6.875%, 01/15/14		2,339		2,348
VWR Funding
10.250%, 07/15/15		3,777		4,004
WMG Acquisition
9.500%, 06/15/16 (A)		2,770		2,908
Wyndham Worldwide
7.375%, 03/01/20		1,250		1,257
Wynn Las Vegas LLC
6.625%, 12/01/14		520		503
6.625%, 12/01/14		100		97

				252,085


Consumer Staples — 8.5%
Accellent
10.500%, 12/01/13		915		913
8.375%, 02/01/17 (A)		1,705		1,718


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Alliance One International
10.000%, 07/15/16 (A)	$	220	$	229
10.000%, 07/15/16 (A)		1,090		1,134
Apria Healthcare Group
12.375%, 11/01/14 (A)		5,120		5,517
Avis Budget Car Rental LLC
7.625%, 05/15/14		1,870		1,744
B&G Foods
7.625%, 01/15/18		2,505		2,530
Bausch & Lomb
9.875%, 11/01/15		2,190		2,245
Biomet
11.625%, 10/15/17		6,105		6,746
Bumble Bee Foods LLC
7.750%, 12/15/15 (A)		630		632
Catalent Pharma Solutions
9.500%, 04/15/15		5,055		4,789
Central Garden and Pet
9.125%, 02/01/13		1,445		1,470
8.250%, 03/01/18		1,250		1,266
Chiquita Brands International
8.875%, 12/01/15		1,495		1,517
Constellation Brands
8.375%, 12/15/14		1,600		1,704
7.250%, 09/01/16		2,190		2,215
7.250%, 05/15/17		1,250		1,259
Cott Beverages
8.375%, 11/15/17 (A)		2,325		2,366
Del Monte
7.500%, 10/15/19 (A)		245		249
DJO Finance LLC
10.875%, 11/15/14		5,485		5,869
10.875%, 11/15/14 (A)		2,135		2,284
Dole Food
13.875%, 03/15/14 (A)		1,101		1,313
8.000%, 10/01/16 (A)		370		377
Fleming
10.125%, 04/01/08 (B) (F)		943		—
HCA
9.875%, 02/15/17 (A)		170		184
9.625%, 11/15/16		9,111		9,748
9.250%, 11/15/16		1,270		1,351
8.500%, 04/15/19 (A)		2,640		2,831
7.875%, 02/15/20 (A)		5,115		5,345
JBS USA LLC
11.625%, 05/01/14 (A)		560		633
JohnsonDiversey Holdings
10.500%, 05/15/20 (A)		2,595		2,699
Laureate Education
11.750%, 08/15/17 (A)		400		408
10.000%, 08/15/15 (A)		525		533
National Money Mart
10.375%, 12/15/16 (A)		1,215		1,267
Novasep Holding SAS
9.750%, 12/15/16 (A)		870		805
Pantry
7.750%, 02/15/14		3,785		3,624


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Rite Aid
10.375%, 07/15/16	$	3,455	$	3,619
10.250%, 10/15/19 (A)		250		264
9.750%, 06/12/16		510		545
9.500%, 06/15/17		2,665		2,205
9.375%, 12/15/15		1,425		1,190
7.700%, 02/15/27		150		86
7.500%, 03/01/17		685		635
6.875%, 12/15/28 (A)		350		187
RSC Equipment Rental
10.000%, 07/15/17 (A)		2,000		2,140
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)		1,000		907
5.798%, 10/01/13 (A)		2,195		2,160
ServiceMaster
10.750%, 07/15/15 (A)		4,495		4,607
7.450%, 08/15/27		1,500		1,080
7.250%, 03/01/38		1,145		761
7.100%, 03/01/18		1,155		936
Smithfield Foods
10.000%, 07/15/14 (A)		2,053		2,222
7.750%, 05/15/13		1,540		1,502
Southern States Cooperative
11.000%, 11/01/11 (A)		2,950		2,957
Spectrum Brands
12.000%, 08/28/19		1,302		1,321
SUPERVALU
8.000%, 05/01/16		3,550		3,577
Ticketmaster Entertainment LLC
10.750%, 08/01/16		3,315		3,646
Tops Markets LLC
10.125%, 10/15/15 (A)		1,330		1,373
Trico Shipping
11.875%, 11/01/14 (A)		1,230		1,192
United Rentals North America
10.875%, 06/15/16		3,000		3,150
9.250%, 12/15/19		1,040		1,014
Universal Hospital Services
8.500%, 06/01/15		960		931
US Oncology
9.125%, 08/15/17 (A)		1,330		1,380
US Oncology Holdings
6.428%, 03/15/12 (C)		1,231		1,157
Vanguard Health Holding II LLC
8.000%, 02/01/18 (A)		3,010		2,957
Yankee Acquisition, Ser B
9.750%, 02/15/17		2,665		2,658

				131,873


Energy — 8.6%
Allis-Chalmers Energy
8.500%, 03/01/17		560		477
Anadarko Petroleum
6.450%, 09/15/36		2,515		2,637
Antero Resources Finance
9.375%, 12/01/17 (A)		990		1,010
Aquilex Holdings LLC
11.125%, 12/15/16 (A)		1,720		1,797
Arch Coal
8.750%, 08/01/16 (A)		3,485		3,607
Atlas Energy Operating LLC
12.125%, 08/01/17		1,910		2,149
10.750%, 02/01/18		1,815		1,965


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Aventine Renewable Energy
10.000%, 04/01/17 (B)	$	2,600	$	2,613
Basic Energy Services
11.625%, 08/01/14		1,300		1,394
Bill Barrett
9.875%, 07/15/16		1,000		1,059
Calfrac Holdings
7.750%, 02/15/15 (A)		3,000		2,917
Chesapeake Energy
9.500%, 02/15/15		1,650		1,794
7.500%, 06/15/14		219		221
7.000%, 08/15/14		255		255
6.875%, 01/15/16		860		846
6.500%, 08/15/17		850		807
Cie Generale de Geophysique- Veritas
9.500%, 05/15/16 (A)		2,095		2,205
Cloud Peak Energy Resources LLC
8.250%, 12/15/17 (A)		1,205		1,202
Complete Production Services
8.000%, 12/15/16		760		739
Compton Petroleum Finance
7.625%, 12/01/13		350		282
Copano Energy LLC
7.750%, 06/01/18		2,930		2,864
Crosstex Energy
8.875%, 02/15/18 (A)		1,650		1,675
Denbury Resources
9.750%, 03/01/16		1,320		1,422
8.250%, 02/15/20		6,210		6,427
7.500%, 04/01/13		960		970
7.500%, 12/15/15		1,175		1,187
Drummond
9.000%, 10/15/14 (A)		1,220		1,220
Dynegy Holdings
8.375%, 05/01/16		2,200		1,925
7.750%, 06/01/19		3,555		2,791
7.625%, 10/15/26		1,230		849
7.500%, 06/01/15		1,900		1,653
El Paso
8.250%, 02/15/16		215		228
7.800%, 08/01/31		275		267
7.420%, 02/15/37		1,000		913
7.250%, 06/01/18		2,260		2,275
Enterprise Products Operating LLC
8.375%, 08/01/66 (C)		620		627
Forbes Energy Services LLC
11.000%, 02/15/15		916		870
Forest Oil
8.500%, 02/15/14 (A)		385		398
8.000%, 12/15/11		800		838
7.250%, 06/15/19		1,910		1,872
General Maritime
12.000%, 11/15/17 (A)		1,215		1,258
Gibson Energy ULC
10.000%, 01/15/18 (A)		685		668
Helix Energy Solutions Group
9.500%, 01/15/16 (A)		3,330		3,363
Hercules Offshore
10.500%, 10/15/17 (A)		1,075		1,070


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hilcorp Energy I
8.000%, 02/15/20 (A)	$	1,410	$	1,354
Hillcorp Energy
9.000%, 06/01/16 (A)		255		258
7.750%, 11/01/15 (A)		2,545		2,475
Holly
9.875%, 06/15/17 (A)		3,135		3,213
International Coal Group
10.250%, 07/15/14		1,360		1,387
Key Energy Services
8.375%, 12/01/14		960		951
Linn Energy LLC
11.750%, 05/15/17 (A)		260		294
Mariner Energy
8.000%, 05/15/17		1,200		1,146
MarkWest Energy Partners
8.750%, 04/15/18		1,645		1,665
MarkWest Energy Partners, Ser B
8.500%, 07/15/16		250		251
McMoRan Exploration
11.875%, 11/15/14		3,420		3,659
Murray Energy
10.250%, 10/15/15 (A)		990		991
Newfield Exploration
7.125%, 05/15/18		1,330		1,330
6.875%, 02/01/20		3,000		2,955
NFR Energy LLC
9.750%, 02/15/17 (A)		845		826
OPTI Canada
9.000%, 12/15/12 (A)		275		280
8.250%, 12/15/14		2,900		2,581
7.875%, 12/15/14		1,745		1,536
Penn Virginia
10.375%, 06/15/16		400		432
Petrohawk Energy
10.500%, 08/01/14		2,100		2,278
PetroHawk Energy
9.125%, 07/15/13		1,335		1,388
7.875%, 06/01/15		1,975		1,975
Petroleum Development
12.000%, 02/15/18		2,325		2,441
Plains Exploration & Production
10.000%, 03/01/16		1,140		1,240
7.750%, 06/15/15		75		76
7.625%, 06/01/18		350		351
7.000%, 03/15/17		600		586
Quicksilver Resources
11.750%, 01/01/16		2,200		2,497
7.125%, 04/01/16		2,970		2,762
Range Resources
8.000%, 05/15/19		4,615		4,834
7.500%, 05/15/16		350		358
SandRidge Energy
9.875%, 05/15/16 (A)		1,595		1,647
8.750%, 01/15/20 (A)		2,190		2,146
8.625%, 04/01/15		1,135		1,112
Southwestern Energy
7.500%, 02/01/18		1,125		1,187
Stone Energy
8.625%, 02/01/17		2,110		2,063
Swift Energy
7.125%, 06/01/17		185		175


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Targa Resources Partners
11.250%, 07/15/17 (A)	$	4,435	$	4,923
Tesoro
9.750%, 06/01/19		2,800		2,877
Valero Energy
10.500%, 03/15/39		960		1,272
Williams
7.875%, 09/01/21		204		250
7.750%, 06/15/31		259		298

				133,926


Financials — 12.6%
Algoma Acquisition
9.875%, 06/15/15 (A)		1,400		1,229
ALH Finance LLC
8.500%, 01/15/13		2,445		2,439
Alliant Holdings
11.000%, 05/01/15 (A)		2,500		2,544
Allied Capital
6.625%, 07/15/11		3,525		3,411
6.000%, 04/01/12		1,400		1,314
American General Finance MTN
5.375%, 10/01/12		260		221
4.875%, 07/15/12		795		676
0.504%, 12/15/11 (C)		3,025		2,573
American International Group
8.175%, 05/15/58 (C)		1,025		692
BAC Capital Trust XIV
5.630%, 03/15/12 (C)		2,135		1,495
Bank of America
8.125%, 05/15/18 (C)		650		619
8.000%, 12/29/49 (C)		1,260		1,201
C5 Capital SPV
6.196%, 12/31/11 (A) (C)		535		369
Capital One Capital V
10.250%, 08/15/39		1,545		1,752
Cardtronics
9.250%, 08/15/13		605		619
9.250%, 08/15/13		1,435		1,467
Cemex Finance LLC
9.500%, 12/14/16 (A)		4,325		4,412
CEVA Group
11.625%, 10/01/16 (A)		3,155		3,250
Chukchansi Economic Development Authority
4.024%, 11/15/12 (A) (C)		1,985		1,548
CIT Group
7.000%, 05/01/13		483		456
7.000%, 05/01/15		724		657
7.000%, 05/01/17		4,040		3,570
7.000%, 05/01/14		724		663
7.000%, 05/01/16		1,207		1,068
Citigroup Capital XXI
8.300%, 12/21/57 (C)		680		631
City National Bank
9.000%, 08/12/19		4,062		4,062
City National Capital Trust I
9.625%, 02/01/40		1,975		2,153
Comerica Bank
5.200%, 08/22/17		1,000		967
Corporate Office Properties
3.500%, 09/15/26 ‡ (A)		260		253


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Acceptance
9.125%, 02/01/17 (A)	$	2,600	$	2,587
Delphi Financial Group
7.875%, 01/31/20		5,500		5,665
DuPont Fabros Technology
8.500%, 12/15/17 ‡ (A)		2,000		2,030
E*Trade Financial
7.875%, 12/01/15		825		777
E*Trade Financial PIK
12.500%, 11/30/17		1,535		1,777
Felcor Lodging
10.000%, 10/01/14 ‡ (A)		1,320		1,284
FireKeepers Development Authority
13.875%, 05/01/15 (A)		3,420		3,933
Ford Motor Credit LLC
12.000%, 05/15/15		1,070		1,222
9.875%, 08/10/11		1,115		1,170
8.700%, 10/01/14		410		421
8.000%, 12/15/16		2,100		2,109
8.000%, 06/01/14		3,000		3,019
7.800%, 06/01/12		3,905		3,946
7.500%, 08/01/12		810		813
7.000%, 10/01/13		4,309		4,244
5.504%, 06/15/11 (C)		1,000		1,009
Fresenius US Finance II
9.000%, 07/15/15 (A)		800		884
Genworth Financial
6.500%, 06/15/34		1,045		854
6.150%, 11/15/66 (C)		3,995		2,766
GMAC
8.000%, 11/01/31		3,883		3,582
8.000%, 12/31/18		775		717
6.875%, 08/28/12		1,565		1,549
6.875%, 09/15/11		3,497		3,497
6.750%, 12/01/14		2,506		2,393
6.625%, 05/15/12		604		596
HBOS MTN
5.375%, 11/29/49 (A)		1,005		814
HBOS Capital Funding
6.071%, 06/30/49 (A) (C)		4,200		3,066
Hellas II
6.001%, 01/15/15 (A) (C)		2,100		89
Host Hotels & Resorts LP
6.875%, 11/01/14 ‡		545		542
Host Marriott LP, Ser O
6.375%, 03/15/15 ‡		385		378
Host Marriott LP, Ser Q
6.750%, 06/01/16 ‡		2,300		2,266
HUB International Holdings
10.250%, 06/15/15 (A)		410		380
9.000%, 12/15/14 (A)		2,270		2,168
Icahn Enterprises
8.000%, 01/15/18 (A)		3,400		3,196
7.750%, 01/15/16 (A)		4,800		4,512


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
International Lease Finance
6.625%, 11/15/13	$	2,365	$	2,084
6.375%, 03/25/13		335		295
5.625%, 09/20/13		475		405
5.550%, 09/05/12		430		385
5.350%, 03/01/12		125		116
5.250%, 01/10/13		375		325
5.000%, 09/15/12		2,170		1,926
Lehman Brothers Holdings MTN
6.875%, 05/02/18 (B)		3,500		805
5.625%, 01/24/13 (B)		1,000		234
Lincoln National
6.050%, 04/20/67 (C)		390		300
Lloyds Banking Group
6.267%, 11/14/16 (A)		310		164
5.920%, 09/29/49 (A) (C)		470		254
Marlin Water Trust II
6.310%, 07/15/03 (A) (B)		4,000		3
MBIA
5.700%, 12/01/34		2,400		1,060
MetLife
10.750%, 08/01/39		2,315		2,853
MetLife Capital Trust X
9.250%, 04/08/38 (A) (C)		5,285		5,866
MU Finance
8.375%, 02/01/17 (A)		1,130		1,059
National Life Insurance
10.500%, 09/15/39 (A)		1,100		1,157
Nuveen Investments
10.500%, 11/15/15		10,560		9,557
5.500%, 09/15/15		765		551
Ohio Casualty
7.300%, 06/15/14		1,050		1,113
Omega Healthcare Investors
7.500%, 02/15/20 ‡ (A)		3,505		3,474
PHH
7.125%, 03/01/13		1,385		1,304
Pinnacle Foods Finance LLC
10.625%, 04/01/17		1,675		1,734
9.250%, 04/01/15		170		173
9.250%, 04/01/15 (A)		1,745		1,771
PNC Preferred Funding Trust II
6.113%, 03/29/49 (A) (C)		1,640		1,233
Popular North America Capital Trust I
6.564%, 09/15/34		250		165
Protective Life
8.450%, 10/15/39		3,140		3,181
Rabobank Nederland
11.000%, 12/31/49 (A) (C)		1,465		1,856
Radian Group
7.750%, 06/01/11		1,705		1,594
5.625%, 02/15/13		1,050		788
Realogy
12.375%, 04/15/15		1,355		928
10.500%, 04/15/14		675		564
Regions Financing Trust II
6.625%, 05/15/47 (C)		470		333
Reynolds Group Issuer
7.750%, 10/15/16 (A)		6,960		7,047
Royal Bank of Scotland Group
7.640%, 09/29/17 (C)		1,720		1,058


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Senior Housing Properties Trust
7.875%, 04/15/15 ‡	$	645	$	644
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		2,725		1,880
4.136%, 02/01/14 (A) (C)		275		187
Susser Holdings LLC
10.625%, 12/15/13		225		233
Symetra Financial
6.125%, 04/01/16 (A)		565		551
Torchmark
9.250%, 06/15/19		2,625		3,113
UCI Holdco
9.250%, 12/15/13 (C)		1,227		1,129
Unitrin
6.000%, 05/15/17		1,140		1,075
Universal City Development Partners
8.875%, 11/15/15 (A)		1,515		1,526
USB Capital IX
6.189%, 04/15/49 (C)		1,015		837
USI Holdings
9.750%, 05/15/15 (A)		3,437		3,153
Ventas Realty LP
7.125%, 06/01/15 ‡		1,026		1,057
6.750%, 04/01/17 ‡		775		775
XL Capital
6.500%, 12/31/49 (C)		750		588
Yankee Acquisition, Ser B
8.500%, 02/15/15		1,705		1,705
Zions Bancorporation
7.750%, 09/23/14		620		596
6.000%, 09/15/15		1,305		1,128
5.650%, 05/15/14		160		140
5.500%, 11/16/15		500		428

				195,026


Health Care — 2.8%
Biomet
10.375%, 10/15/17		7,505		8,218
10.000%, 10/15/17		3,175		3,469
Bio-Rad Laboratories
8.000%, 09/15/16		870		909
Community Health Systems
8.875%, 07/15/15		1,995		2,065
Cooper
7.125%, 02/15/15		1,590		1,574
Health Management Associates
6.125%, 04/15/16		2,140		1,996
Healthsouth
8.125%, 02/15/20		1,615		1,575
Inverness Medical Innovations
9.000%, 05/15/16		6,965		7,000
Phibro Animal Health
13.000%, 08/01/14 (A)		1,000		1,015
Psychiatric Solutions
7.750%, 07/15/15 (A)		315		294
7.750%, 07/15/15		2,055		1,973
ReAble Therapeutics Finance LLC
11.750%, 11/15/14		1,882		1,961
Select Medical
7.625%, 02/01/15		1,720		1,617


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Surgical Care Affiliates
8.875%, 07/15/15 (A)	$	1,736	$	1,701
Talecris Biotherapeutics Holdings
7.750%, 11/15/16 (A)		1,990		2,000
Tenet Healthcare
10.000%, 05/01/18 (A)		45		49
9.250%, 02/01/15		1,870		1,898
8.875%, 07/01/19 (A)		495		522
United Surgical Partners International
8.875%, 05/01/17		105		107
United Surgical Partners International PIK
9.250%, 05/01/17		3,190		3,286

				43,229


Industrials — 7.3%
ACCO Brands
10.625%, 03/15/15 (A)		3,605		3,919
7.625%, 08/15/15		1,435		1,317
Actuant
6.875%, 06/15/17		2,575		2,485
Aleris International PIK
9.000%, 12/15/14 (B)		950		7
Aleris International
10.000%, 12/15/16 (B)		1,675		36
Alliant Techsystems
6.750%, 04/01/16		2,845		2,802
Allison Transmission
11.000%, 11/01/15 (A)		1,558		1,616
America West Airlines, Ser 99-1
7.930%, 01/02/19		167		153
American Axle & Manufacturing
7.875%, 03/01/17		1,340		1,166
Ames True Temper
10.000%, 07/15/12		355		346
4.251%, 01/15/12 (C)		1,730		1,618
Associated Materials
11.250%, 03/01/14		910		901
Associated Materials LLC
9.875%, 11/15/16		630		668
Atrium
15.000%, 12/15/12 (A) (B) (D)		1,593		24
Baker & Taylor
11.500%, 07/01/13 (A)		925		476
Baldor Electric
8.625%, 02/15/17		1,215		1,245
BE Aerospace
8.500%, 07/01/18		650		681
Belden
9.250%, 06/15/19 (A)		655		694
Berry Plastics
10.250%, 03/01/16		2,400		2,154
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,050		354
BWAY
10.000%, 04/15/14 (A)		4,585		4,723
C8 Capital SPV
6.640%, 12/31/14 (A) (C)		1,295		906
Case New Holland
7.750%, 09/01/13 (A)		1,210		1,216


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Casella Waste Systems
11.000%, 07/15/14 (A)	$	30	$	32
9.750%, 02/01/13		1,335		1,337
Chart Industries
9.125%, 10/15/15		2,000		1,995
Clean Harbors
7.625%, 08/15/16		2,670		2,697
Coleman Cable
9.000%, 02/15/18 (A)		3,845		3,807
Continental Airlines
9.000%, 07/08/16		892		954
7.339%, 04/19/14 (F) (I)		1,490		1,386
Continental Airlines 2009-2 Class A Pass Through Trust
7.250%, 11/10/19		1,525		1,582
Cornell
10.750%, 07/01/12		370		376
Corrections Corp of America
7.750%, 06/01/17		1,650		1,691
CPM Holdings
10.625%, 09/01/14 (A)		735		779
Crown Americas LLC
7.625%, 05/15/17 (A)		590		614
DAE Aviation Holdings
11.250%, 08/01/15 (A)		1,070		976
Delta Air Lines
12.250%, 03/15/15 (A)		3,260		3,313
Delta Air Lines, Ser 2002-1, Cl C
7.779%, 01/02/12		166		156
Douglas Dynamics LLC
7.750%, 01/15/12 (A)		3,975		4,015
DP World
6.850%, 07/02/37 (A)		960		733
DP World Sukuk
6.250%, 07/02/17 (A)		930		792
Dycom Investments
8.125%, 10/15/15		2,035		1,893
ESCO
4.129%, 12/15/13 (A) (C)		400		354
8.625%, 12/15/13 (A)		105		103
General Cable
7.125%, 04/01/17		1,120		1,092
Geo Group
7.750%, 10/15/17 (A)		60		61
GeoEye
9.625%, 10/01/15 (A)		840		853
Global Aviation Holdings
14.000%, 08/15/13 (A)		2,850		2,871
Goodman Global Group
0.000%, 12/15/14 (A) (E)		4,800		2,784
Graham Packaging
8.250%, 01/01/17 (A)		65		64
Graphic Packaging International
9.500%, 06/15/17		1,245		1,307
Harland Clarke Holdings
9.500%, 05/15/15		1,000		912
6.000%, 05/15/15 (C)		545		433
Interface
11.375%, 11/01/13		475		534
9.500%, 02/01/14		180		184
Interline Brands
8.125%, 06/15/14		810		814


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Iron Mountain
8.750%, 07/15/18	$	1,265	$	1,319
8.375%, 08/15/21		715		734
Kansas City Southern de Mexico
12.500%, 04/01/16		345		394
8.000%, 02/01/18 (A)		2,530		2,498
KAR Holdings
10.000%, 05/01/15		28		29
Koppers
7.875%, 12/01/19 (A)		1,245		1,267
L-3 Communications, Ser B
6.375%, 10/15/15		815		828
Manitowoc
9.500%, 02/15/18		1,230		1,227
Mobile Mini
6.875%, 05/01/15		700		647
Navistar International
8.250%, 11/01/21		1,145		1,162
NXP BV
10.000%, 07/15/13 (A)		598		615
Plastipak Holdings
10.625%, 08/15/19 (A)		665		733
8.500%, 12/15/15 (A)		660		660
Ply Gem Industries
13.125%, 07/15/14 (A)		1,210		1,216
Pregis
12.375%, 10/15/13		1,898		1,884
Quality Distribution LLC
11.750%, 11/01/13 (A)		806		669
Quebecore (escrow)
0.000%, 11/15/13 (F)		1,800		—
0.000%, 03/15/16 (I)		2,175		120
RailAmerica
9.250%, 07/01/17		1,148		1,204
RBS Global
9.500%, 08/01/14 (A)		2,627		2,660
RBS Global & Rexnord
11.750%, 08/01/16		1,395		1,451
9.500%, 08/01/14		40		41
Sequa
11.750%, 12/01/15 (A)		1,820		1,784
Solo Cup
10.500%, 11/01/13		990		1,037
Spirit Aerosystems
7.500%, 10/01/17 (A)		800		792
SPX
7.625%, 12/15/14		1,330		1,360
Terex
10.875%, 06/01/16		1,000		1,092
8.000%, 11/15/17		7,895		7,342
Thermadyne Holdings
11.500%, 02/01/14		1,040		1,017
Titan International
8.000%, 01/15/12		1,995		1,985
Trimas
9.750%, 12/15/17 (A)		620		623
Triumph Group
8.000%, 11/15/17 (A)		135		136
United Air Lines
9.125%, 01/15/12 (B) (F)		625		—


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
United Air Lines, Ser A
10.670%, 05/01/04 (B) (F)	$	325	$	—
USG
9.750%, 08/01/14 (A)		1,615		1,696
6.300%, 11/15/16		206		181
Vought Aircraft Industries
8.000%, 07/15/11		1,850		1,827

				113,231


Information Technology — 4.1%
Activant Solutions
9.500%, 05/01/16		1,975		1,889
Amkor Technology
9.250%, 06/01/16		3,015		3,113
7.750%, 05/15/13		1,335		1,352
Brocade Communications Systems
6.875%, 01/15/20 (A)		480		489
6.625%, 01/15/18 (A)		480		485
Compagnie Generale de Geophysique
7.750%, 05/15/17		300		294
7.500%, 05/15/15		850		833
Compucom Systems
12.500%, 10/01/15 (A)		3,215		3,344
First Data
10.550%, 09/24/15		1,860		1,613
9.875%, 09/24/15		8,568		7,411
Flextronics International
6.250%, 11/15/14		1,265		1,262
Freescale Semiconductor
10.125%, 12/15/16		1,955		1,525
8.875%, 12/15/14		1,605		1,424
JDA Software Group
8.000%, 12/15/14 (A)		1,010		1,040
NXP Funding LLC
7.875%, 10/15/14		3,070		2,840
Open Solutions
9.750%, 02/01/15 (A)		5,735		4,817
Sanmina-SCI
8.125%, 03/01/16		960		946
3.004%, 06/15/14 (A) (C)		1,250		1,163
Sensata Technologies
8.000%, 05/01/14		790		794
Smart Modular
5.751%, 04/01/12 (C)		760		714
Spansion
0.000%, 06/01/13 (A) (B)		585		579
Stream Global Services
11.250%, 10/01/14 (A)		734		750
Sungard Data Systems
10.250%, 08/15/15		6,015		6,241
9.125%, 08/15/13		3,465		3,547
SunGard Data Systems
10.625%, 05/15/15		1,295		1,399
Terremark Worldwide
12.250%, 06/15/17 (A)		3,090		3,391
Unisys
14.250%, 09/15/15 (A)		1,580		1,864
12.750%, 10/15/14 (A)		6,695		7,733


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Viasat
8.875%, 09/15/16 (A)	$	665	$	677

				63,529


Materials — 7.5%
AK Steel
7.750%, 06/15/12		2,400		2,403
Appleton Papers
10.500%, 06/15/15 (A)		1,040		962
Arch Western Finance LLC
6.750%, 07/01/13		2,345		2,351
Ashland
9.125%, 06/01/17 (A)		3,005		3,291
Boise Paper Holdings LLC
9.000%, 11/01/17 (A)		3,115		3,208
California Steel Industries
6.125%, 03/15/14		113		108
Cascades
7.875%, 01/15/20 (A)		1,440		1,454
Century Aluminum
7.500%, 08/15/14		1,060		1,041
Clearwater Paper
10.625%, 06/15/16 (A)		855		949
CPG International I
10.500%, 07/01/13		1,900		1,862
Crown Americas
7.750%, 11/15/15		695		718
Domtar
10.750%, 06/01/17		3,500		4,104
9.500%, 08/01/16		250		271
Dow Chemical
8.550%, 05/15/19		650		786
Evraz Group
9.500%, 04/24/18 (A)		700		726
FMG Finance
10.625%, 09/01/16 (A)		3,585		3,997
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		5,025		5,452
Georgia-Pacific
8.250%, 05/01/16 (A)		2,750		2,901
8.000%, 01/15/24		730		761
7.125%, 01/15/17 (A)		5,480		5,535
7.000%, 01/15/15 (A)		2,060		2,088
Glatfelter
7.125%, 05/01/16 (A)		1,115		1,070
Graham Packaging
9.875%, 10/15/14		3,535		3,606
Greif
7.750%, 08/01/19		190		196
Headwaters
11.375%, 11/01/14 (A)		1,335		1,348
Hexion Finance Escrow LLC
8.875%, 02/01/18 (A)		1,895		1,772
Hexion US Fin/Nova Scotia
9.750%, 11/15/14		3,384		3,198
4.750%, 11/15/14 (C)		750		638
Huntsman International LLC
7.875%, 11/15/14		2,140		2,076
7.375%, 01/01/15		505		477
5.500%, 06/30/16 (A)		755		664
Innophos
8.875%, 08/15/14		1,250		1,284


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Innophos Holdings
9.500%, 04/15/12 (A)	$	700	$	698
International Paper
7.950%, 06/15/18		2,138		2,484
Intertape Polymer
8.500%, 08/01/14		835		701
JohnsonDiversey
8.250%, 11/15/19 (A)		925		953
MacDermid
9.500%, 04/15/17 (A)		1,165		1,165
Millennium America
7.625%, 11/15/26 (B)		200		51
Momentive Performance Materials
12.500%, 06/15/14 (A)		310		341
Nalco
8.250%, 05/15/17 (A)		1,040		1,110
Neenah Foundry
9.500%, 01/01/17 (B)		500		255
NewPage
11.375%, 12/31/14		5,460		5,214
Noranda Aluminium Acquisition
5.274%, 05/15/15 (C)		2,899		2,269
Novelis
11.500%, 02/15/15		675		717
7.250%, 02/15/15		2,570		2,384
P.H. Glatfelter
7.125%, 05/01/16		1,155		1,109
Packaging Dynamics Finance
10.000%, 05/01/16 (A)		1,165		928
PE Paper Escrow GmbH
12.000%, 08/01/14 (A)		590		640
PolyOne
8.875%, 05/01/12		1,830		1,894
Reichhold Industries
9.000%, 08/15/14 (A)		2,716		2,539
Ryerson
12.000%, 11/01/15		1,725		1,781
Scotts Miracle-Gro
7.250%, 01/15/18		175		177
Sealed Air
7.875%, 06/15/17 (A)		1,320		1,400
Solo Cup
8.500%, 02/15/14		1,610		1,530
Solutia
8.750%, 11/01/17		2,095		2,189
Steel Capital for OAO Severstal
9.750%, 07/29/13 (A)		380		408
Steel Dynamics
7.750%, 04/15/16		2,200		2,189
6.750%, 04/01/15		250		241
Stone Container
8.375%, 07/01/12 (B)		505		418
Teck Resources
10.750%, 05/15/19		2,540		3,124
10.250%, 05/15/16		2,400		2,862
Terra Capital
7.750%, 11/01/19 (A)		3,015		3,362
U.S. Steel
6.650%, 06/01/37		970		816
6.050%, 06/01/17		1,040		975
Vedanta Resources
9.500%, 07/18/18 (A)		1,720		1,815


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Verso Paper Holdings LLC
11.500%, 07/01/14 (A)	$	1,460	$	1,533
9.125%, 08/01/14		3,700		3,404
Viskase
9.875%, 01/15/18 (A)		1,195		1,210
Vitro
9.125%, 02/01/17 (B)		2,495		1,129

				117,312


Telecommunication Services — 12.1%
Aeroflex
11.750%, 02/15/15		1,285		1,301
Affinion Group
11.500%, 10/15/15		640		653
10.125%, 10/15/13		1,500		1,515
10.125%, 10/15/13		2,525		2,550
Avaya
10.125%, 11/01/15		745		685
9.750%, 11/01/15		580		551
CCH II LLC
13.500%, 11/30/16		5,405		6,384
Cengage Learning Acquisitions
10.500%, 01/15/15 (A)		1,570		1,431
Cequel Communications Holdings I LLC and Cequel Capital
8.625%, 11/15/17 (A)		1,575		1,575
Charter Communications Operating LLC
8.375%, 04/30/14 (A)		945		959
Clear Channel Communications
10.750%, 08/01/16		1,660		1,270
Clear Channel Worldwide Holdings
9.250%, 12/15/17 (A)		2,515		2,584
9.250%, 12/15/17 (A)		905		923
Clearwire Communications LLC
12.000%, 12/01/15 (A)		3,000		2,933
12.000%, 12/01/15 (A)		3,170		3,099
Cleveland Unlimited
13.000%, 12/15/10 (A) (C)		4,260		4,004
Columbus International
11.500%, 11/20/14 (A)		1,155		1,224
Cricket Communications I
10.000%, 07/15/15		825		835
9.375%, 11/01/14		4,197		4,176
Crown Castle International
9.000%, 01/15/15		3,275		3,537
CSC Holdings
8.625%, 02/15/19 (A)		2,650		2,862
Digicel Group
12.000%, 04/01/14 (A)		600		669
9.125%, 01/15/15 (A)		300		289
8.875%, 01/15/15 (A)		1,585		1,514
8.250%, 09/01/17 (A)		1,750		1,663
DISH DBS
7.875%, 09/01/19		1,200		1,236
7.750%, 05/31/15		4,740		4,918
Frontier Communications
6.625%, 03/15/15		1,100		1,067
GCI
8.625%, 11/15/19 (A)		2,570		2,612
Global Crossing
12.000%, 09/15/15 (A)		1,325		1,441


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GXS Worldwide
9.750%, 06/15/15 (A)	$	10,270	$	9,756
Inmarsat Finance
7.375%, 12/01/17 (A)		2,450		2,511
Intelsat
9.250%, 06/15/16		275		285
Intelsat Bermuda
11.250%, 06/15/16		3,300		3,523
Intelsat Jackson Holdings
9.500%, 06/15/16		1,300		1,365
8.500%, 11/01/19 (A)		1,830		1,853
Intelsat Luxembourg
11.500%, 02/04/17		3,103		3,033
11.250%, 02/04/17		3,625		3,675
Intelsat Subsidiary Holding
8.875%, 01/15/15 (A)		2,250		2,284
8.875%, 01/15/15		2,025		2,065
iPCS PIK
4.249%, 05/01/14 (C)		2,870		2,469
Level 3 Financing
10.000%, 02/01/18 (A)		2,560		2,349
9.250%, 11/01/14		670		635
8.750%, 02/15/17		1,225		1,090
4.140%, 02/15/15 (C)		100		80
Liberty Media LLC
8.250%, 02/01/30		2,240		2,016
MetroPCS Wireless
9.250%, 11/01/14		4,250		4,239
9.250%, 11/01/14		1,150		1,147
Nextel Communications
6.875%, 10/31/13		1,991		1,911
Nielsen Finance LLC
12.500%, 08/01/11 (F)		625		566
11.500%, 05/01/16		275		306
10.000%, 08/01/14		940		975
NII Capital
10.000%, 08/15/16 (A)		3,150		3,418
Nordic Telephone Holdings
8.875%, 05/01/16 (A)		2,430		2,600
Orascom Telecom Finance
7.875%, 02/08/14 (A)		1,000		880
PAETEC Holding
9.500%, 07/15/15		2,691		2,617
8.875%, 06/30/17		1,960		1,975
Quebecor Media
7.750%, 03/15/16		3,795		3,804
Qwest
7.500%, 06/15/23		710		685
7.250%, 09/15/25		725		692
7.250%, 10/15/35		1,200		1,098
6.875%, 09/15/33		275		252
Qwest Capital Funding
7.750%, 02/15/31		710		625
Qwest Communications International
7.500%, 02/15/14		295		298
7.125%, 04/01/18 (A)		1,455		1,455
Qwest Communications International, Ser B
7.500%, 02/15/14		1,725		1,742
RH Donnelley
12.000%, 01/29/17		724		727


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sable International Finance
7.750%, 02/15/17 (A)	$	1,180	$	1,210
SBA Telecommunications
8.250%, 08/15/19 (A)		1,680		1,764
8.000%, 08/15/16 (A)		435		452
Sinclair Television Group
9.250%, 11/01/17 (A)		1,005		1,043
Sprint Capital
8.750%, 03/15/32		4,240		3,742
6.900%, 05/01/19		4,150		3,642
Telcordia Technologies
10.000%, 03/15/13 (A)		5,410		5,099
4.001%, 07/15/12 (A) (C)		1,500		1,417
Telesat Canada
12.500%, 11/01/17		935		1,047
11.000%, 11/01/15		795		867
Univision Communications
12.000%, 07/01/14 (A)		881		954
UPC Holding BV
9.875%, 04/15/18 (A)		3,085		3,208
Videotron Ltee
9.125%, 04/15/18		1,245		1,354
Virgin Media Finance
9.500%, 08/15/16		3,680		3,901
8.375%, 10/15/19		2,050		2,063
Visant Holding
10.250%, 12/01/13		4,505		4,629
West
11.000%, 10/15/16		1,905		1,910
9.500%, 10/15/14		1,539		1,527
Wind Acquisition Finance
12.000%, 12/01/15 (A)		3,015		3,226
11.750%, 07/15/17 (A)		2,188		2,341
Wind Acquisition Holdings Finance
12.250%, 07/15/17 (A)		3,000		2,775
Windstream
8.625%, 08/01/16		2,050		2,096
8.125%, 08/01/13		10		10
XM Satellite Radio
13.000%, 08/01/13 (A)		4,355		4,769
11.250%, 06/15/13 (A)		1,965		2,093

				188,600


Utilities — 4.1%
AES
9.750%, 04/15/16 (A)		2,125		2,268
8.000%, 06/01/20		575		564
8.000%, 10/15/17		480		479
Calpine Construction Finance and CCFC Finance
8.000%, 06/01/16 (A)		890		901
Calpine Generating LLC
14.320%, 04/01/11 (B) (C)		1,500		203
Edison Mission Energy
7.625%, 05/15/27		1,400		910
7.500%, 06/15/13		1,025		948
7.200%, 05/15/19		3,850		2,705
7.000%, 05/15/17		350		256
Elwood Energy LLC
8.159%, 07/05/26		957		916


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Energy Future Holdings
10.875%, 11/01/17	$	4,275	$	3,238
10.000%, 01/15/20 (A)		3,755		3,830
Ferrellgas Partners
9.125%, 10/01/17 (A)		2,500		2,612
6.750%, 05/01/14		1,500		1,463
Mirant Americas Generation LLC
8.500%, 10/01/21		3,768		3,523
Mirant North America LLC
7.375%, 12/31/13		5,170		5,151
North American Energy Alliance LLC
10.875%, 06/01/16 (A)		1,300		1,378
NRG Energy
8.500%, 06/15/19		1,895		1,893
7.375%, 02/01/16		3,690		3,639
7.375%, 01/15/17		2,740		2,696
7.250%, 02/01/14		2,460		2,479
Orion Power Holdings
12.000%, 05/01/10		930		936
Public Service of New Mexico
7.950%, 05/15/18		2,800		2,947
Puget Sound Energy
6.974%, 06/01/67 (C)		1,035		919
Sabine Pass LNG LP
7.500%, 11/30/16 (A)		620		544
7.500%, 11/30/16		6,070		5,327
Texas Competitive Electric Holdings LLC
10.250%, 11/01/15		950		710
10.250%, 11/01/15		4,235		3,165
TXU
6.500%, 11/15/24		1,010		507
TXU, Ser P
5.550%, 11/15/14		985		719
TXU, Ser R
6.550%, 11/15/34		2,105		1,057
United Maritime Group LLC
11.750%, 06/15/15 (A)		4,100		4,100

				62,983

Total Corporate Obligations (Cost $1,241,489) ($ Thousands)				1,301,794


LOAN PARTICIPATIONS — 8.1%
Affinion Group Holdings
8.273%, 03/01/12		4,924		4,659
Alion Science and Technology Commitment
9.500%, 02/06/13		8		7
Alion Science and Technology Traunche
9.500%, 02/06/13		3,033		3,016
Alliant Insurance Service Term Loan
3.251%, 08/21/14		522		496
Alliant insurance Service, Tranche C
8.000%, 08/21/14		796		788
Allison Transmission
3.000%, 08/07/14		444		408
2.980%, 08/07/14		151		139


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American General Finance
5.100%, 07/14/10	$	1,080	$	1,043
0.850%, 07/14/10		335		314
0.000%, 07/15/10 (J)		195		183
Aspect Software Tranche A1 Term Loan
3.250%, 07/11/11		1,169		1,128
Asurion 2nd Lien
6.728%, 07/03/15		3,450		3,368
ATP Oil and Gas
12.250%, 12/26/13		78		78
11.750%, 12/26/13		40		40
11.250%, 12/26/13		835		836
Boston Generating
7.251%, 12/20/16		169		2
4.501%, 06/20/14		650		102
CDW
4.234%, 10/12/14		997		851
Central Parking
1.843%, 05/22/14		616		490
Central Parking 1st Lien Term Loan
2.563%, 05/22/14		1,723		1,372
Chester Downs
12.375%, 12/31/49		662		666
CIT Group
13.000%, 01/20/12		760		784
9.500%, 01/20/12		689		706
0.000%, 01/20/12 (J)		5,113		5,241
Claire’s Stores
3.001%, 05/27/14		3,998		3,316
0.000%, 05/29/14 (J)		1,410		1,169
DAE Aviation Holdings Tranche B-1 Loan
4.000%, 07/31/14		277		256
DAE Aviation Holdings Tranche B-2 Loan
4.000%, 09/27/14		269		249
3.990%, 09/27/14		1		1
Dana
0.000%, 01/31/15 (J)		755		736
Dealer Computer Services
7.751%, 04/26/14		4,550		4,004
2.251%, 10/26/12		1,964		1,871
Dex Media West LLC
7.000%, 10/24/14		1,632		1,554
6.750%, 06/30/11		485		468
3.750%, 06/30/11		789		760
Federal Mogul
2.167%, 12/28/15		1,308		1,147
2.167%, 12/29/14		2,563		2,249
First Data
3.001%, 09/24/14		136		119
2.999%, 09/24/14		241		210
2.981%, 09/24/14		2,113		1,849
Flextronics
2.501%, 10/01/12		1,485		1,431
2.479%, 10/01/14		1,194		1,128
Ford Motor Company
3.510%, 12/14/11		1,267		1,082
0.000%, 12/14/11 (J)		121		18


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Freescale Semiconductor
12.500%, 12/15/14	$	3,384	$	3,482
1.979%, 11/29/13		275		252
0.000%, 12/01/13 (J)		520		477
Gambro Aktiebolag
10.000%, 11/24/16		965		752
5.000%, 05/24/16		922		806
Georgia Pacific
2.251%, 12/20/12		34		33
2.231%, 12/20/12		199		195
Greektown Casino
0.000%, 09/30/10 (J)		1,100		1,006
0.000%, 12/03/12 (J)		725		772
Green Valley Ranch Gaming
3.504%, 08/06/14		2,000		153
2.251%, 02/16/14		1		1
2.249%, 02/16/14		56		42
2.249%, 02/16/14		30		23
0.000%, 02/16/14 (J)		1,012		765
Guitar Center
3.740%, 10/09/13		1,974		1,742
3.730%, 10/09/13		146		129
Harrah’s Operating
9.500%, 01/28/15		3,000		2,995
3.250%, 01/28/15		22		18
3.249%, 01/28/15		1,575		1,271
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13		1,408		1,291
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13		516		473
Iasis Healthcare
6.290%, 06/13/14		610		551
5.499%, 06/13/14		3,106		2,807
Ineos US Finance LLC
10.001%, 12/16/14		1,665		1,546
9.501%, 12/16/13		1,665		1,538
Infor Global Solutions
8.240%, 08/29/14		1,845		1,107
6.481%, 03/02/14		3,500		6,259
0.000%, 08/29/14 (J)		961		577
0.000%, 03/02/14 (J)		1,094		862
0.000%, 07/28/12 (J)		1,203		1,118
Intelsat Jackson Holdings
2.731%, 02/01/14		2,400		2,094
Jacuzzi Brands
2.501%, 02/07/14		52		40
2.499%, 02/14/14		1,008		779
2.489%, 02/14/14		1		1
Lyondell Bank
13.000%, 12/15/09		298		310
13.000%, 04/06/10		1,374		1,429
3.731%, 04/30/14		339		237
3.731%, 12/20/13		1,482		419
Lyondell Chemical
3.731%, 12/20/13		90		63
Lyondell Dutch
5.750%, 12/20/13		2		2
3.731%, 12/20/13		205		143
Lyondell German
3.981%, 12/22/14		779		546


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lyondell Rollup
6.560%, 04/06/10	$	1	$	1
5.793%, 04/06/10		1,704		1,789
Lyondell US
7.000%, 12/22/14		1,127		789
7.000%, 12/22/13		1,127		789
7.000%, 12/20/14		1,127		789
Metroflag, 2nd Lien
14.000%, 01/06/09 (F)		325		—
Nuveen Investments
12.500%, 11/09/14		550		574
12.500%, 07/31/15		725		757
3.323%, 11/09/14		394		343
3.281%, 11/09/14		390		339
Open Link Financial
10.250%, 11/06/15		2,750		2,874
OSI Restaurant Partners LLC
4.500%, 06/14/14		160		141
2.563%, 06/14/13		50		45
2.563%, 06/14/14		3,320		2,929
0.074%, 06/14/13		168		148
PQ
6.740%, 06/14/14		1,450		1,312
Proquest
6.010%, 02/09/15		1,100		1,007
5.980%, 02/09/15		100		92
Realogy
3.250%, 10/13/13		1,229		1,085
Rexnord
7.256%, 03/01/13		2,035		1,323
Reynold
6.250%, 11/05/15		1,450		1,458
Rite Aid
9.500%, 06/01/15		3,105		3,227
Sabre
2.494%, 09/30/14		640		561
2.481%, 09/30/14		160		140
2.471%, 09/30/14		540		473
Simmons Holdco
7.313%, 02/15/12		1,199		12
Simmons Holdco, Unsecured
7.351%, 02/15/12		436		4
Targa Resources
0.000%, 02/09/16 (J)		1,500		1,215
Texas Competitive Electric
3.782%, 10/10/14		8		6
3.775%, 10/10/14		2,954		2,374
3.753%, 10/10/14		31		25
3.751%, 10/10/14		83		67
3.728%, 10/10/14		8,044		6,479
Tronox
9.000%, 06/01/10		805		821
Verint Systems
3.490%, 05/25/14		2,508		2,370
Wide Open West Finance
7.256%, 06/27/15		2,664		2,221
0.000%, 06/27/15 (J)		525		438
Zuffa
7.500%, 06/18/15		1,796		1,804

Total Loan Participations (Cost $121,694) ($ Thousands)				126,761


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

COLLATERALIZED DEBT OBLIGATIONS — 2.0%

Other Asset-Backed Securities — 2.0%
ACAS CLO, Ser 2007-1A, Cl A1J
0.559%, 04/20/21 (A) (C)	$	3,800	$	2,850
Ares IIIR CLO, Ser 2007-3RA, Cl SUB
0.000%, 04/16/21 (A)		5,000		1,600
CIFC Funding, Ser 2007-3A, Cl B
1.499%, 07/26/21 (A) (C)		2,700		1,763
CIT CLO, Ser 2007-1A, Cl D
2.253%, 06/20/21 (A) (C)		3,000		1,350
CIT CLO, Ser 2007-1A, Cl E
5.253%, 06/20/21 (C)		2,200		770
Connecticut Valley Structured Credit CDO, Ser 2006-3A
0.000%, 03/23/23 (A)		1,200		3
De Meer Middle Market CLO, Ser 2006-1A, Cl INC
0.000%, 10/20/18 (A)		3,167		1,053
De Meer Middle Market CLO, Ser 2006-1A, Cl B
0.649%, 10/20/18 (A) (C)		1,200		936
Duane Street CLO, Ser 2007-5A, Cl SN
0.000%, 10/14/21 (A)		3,500		315
Emporia Preferred Funding, Cl C
1.149%, 04/23/21 (A) (C)		2,024		1,174
Gleneagles CLO, Ser AI
0.000%, 11/01/17 (C)		6		300
Hudson Straits CLO, Cl B
1.001%, 10/15/16 (A) (C)		2,450		2,009
ING Investment Management I CLO
0.000%, 12/01/17 (A) (C)		2		600
ING Investment Management II CLO
0.000%, 08/01/20 (A) (C)		5		1,440
Lightpoint CLO, Ser 2006-4A, Cl INC
0.000%, 04/15/18 (A)		2,000		180
Marathon CLO, Ser 2005-2A, Cl INC
0.000%, 12/20/19 (A)		1,500		375
Marlborough Street CLO, Ser 2007-1A, Cl INC
0.000%, 04/18/19 (A)		2,300		230
Peritus I CDO
0.000%, 12/19/07 (G)		3,000		180
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (A)		10,161		5,385
Rockwall CDO, Cl A1LA
0.549%, 08/01/21 (A) (C)		5,201		4,160
Rockwall Investors CDO
0.000%, 08/01/21 (A) (C)		3,000		30
Stanfield Daytona CLO
0.000%, 04/27/21		36		1,215
Stanfield Veyron CLO, Ser 2006-1A, Cl SUB
0.000%, 07/15/18		2,000		360


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Stone Tower CDO, Cl A1LA
0.749%, 01/29/20 (A) (C)	$	2,117	$	1,768
Tralee CDO, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 (A)		2,500		188
Waterfront CLO, Ser 2007-1A, Cl A2
0.651%, 08/02/20 (A) (C)		1,444		1,097

Total Collateralized Debt Obligations (Cost $53,283) ($ Thousands)				31,331


CONVERTIBLE BONDS — 0.5%
ADC Telecommunications
3.500%, 07/15/15	$	870	$	671
3.500%, 07/15/17		405		287
Century Aluminum
1.750%, 08/01/24		190		169
Hologic
2.000%, 12/15/37		2,055		1,757
L-1 Identity Solutions
3.750%, 05/15/27		630		592
Leap Wireless International
4.500%, 07/15/14		800		690
Liberty Media LLC
4.000%, 11/15/29		375		197
3.750%, 02/15/30		565		286
Lions Gate Entertainment
2.938%, 10/15/24		1,555		1,465
Mirant CV to 131.9888
0.000%, 07/15/49 (F)		750		—
Mirant CV to 14.7167
0.000%, 06/15/21		1,950		4
Morgans Hotel Group
2.375%, 10/15/14		1,210		817
Vector Group
5.750%, 06/15/26 (C)		410		422

Total Convertible Bonds (Cost $6,903) ($ Thousands)				7,357


AUCTION RATE PREFERRED SECURITIES — 0.4%
BlackRock Insured Municipal Income Trust (C) (C)		14,500		1,233
BlackRock Municipal Income Trust (C) (C)		27,000		2,295
BlackRock MuniVest Fund II (C) (C)		9,250		786
BlackRock MuniYield Fund (C) (C)		11,750		999
BlackRock MuniYield New Jersey Fund (C) (C)		14,500		1,232

Total Auction Rate Preferred Securities (Cost $6,459) ($ Thousands)				6,545


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES — 0.4%

Other Asset-Backed Securities — 0.4%
ACAS Business Loan Trust, Ser 2007-2A, Cl A
0.650%, 11/18/19 (A) (C)	$	1,327	$	1,168
Applebee’s Enterprises LLC
6.427%, 12/20/37 (A)		3,358		3,056
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		1,403		1,245
				2,413

Total Asset-Backed Securities (Cost $5,147) ($ Thousands)				5,469


COMMON STOCK — 0.3%
CIT Group *		39,323		1,432
Dana Holdings *		67,821		771
Delta Air Lines *		250		3
Dex One *		43,745		1,304
Solutia *		368		5
Spectrum Brands *		34,321		807
VSS AHC, Cl A * (H) (I)		43,496		519
World Color Press *		25,483		286

Total Common Stock (Cost $5,983) ($ Thousands)				5,127


PREFERRED STOCK — 0.2%
Axis Capital Holdings,
7.843% (C) (F)		13		1,076
Dana, Ser B, 0.000% *		575		363
GMAC, 7.000% (A)		1		653

Total Preferred Stock (Cost $1,268) ($ Thousands)				2,092


WARRANTS — 0.0%
Atrium, Expires 10/14/18 * (F) (H)		691		—
World Color Press, Expires 07/20/14 *		14,442		29
World Color Press, Expires 07/20/14 *		14,442		29

Total Warrants (Cost $499) ($ Thousands)				58


AFFILIATED PARTNERSHIP — 0.0%
SEI Liquidity Fund, L.P.,
0.240% * † (G)		6,416		6

Total Affiliated Partnership (Cost $6) ($ Thousands)				6


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CASH EQUIVALENT — 2.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%,	$	44,284	$	44,284

Total Cash Equivalent (Cost $44,284) ($ Thousands)				44,284

Total Investments — 98.5% (Cost $1,487,015) ($ Thousands) † †			$	1,530,824

Percentages are based on a Net Assets of $1,554,795 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $1,487,015 ($ Thousands), and the unrealized appreciation and depreciation were $117,021 and ($73,212) ($ Thousands), respectively.

(A)

(B)

Security in default on interest payments.

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of February 28, 2010. The date reported on the Schedule of Investments is the next reset date.

(D)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on February 28, 2010. The coupon on a step bond changes on a specified date.

(E)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $5 ($ Thousands).

(F)

Securities considered illiquid. The total value of such securities as of February 28, 2010 was $3,028 ($ Thousands) and represented 0.19% of Net Assets.

(G)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of February 28, 2010 was $6 ($Thousands).

(H)

Securities considered restricted. The total value of such securities as of February 28, 2010 was $519 ($ Thousands) and represented 0.03% of net assets.

(I)

Securities fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities at February 28, 2010 was $1,924 ($ Thousands) and represented 1.24% of net assets.

(J)

Unsettled Loan Participation. Interest rate not available.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PIK — Payment-in-Kind

PLC — Public Limited Company

Ser — Series

See end of Form N-Q Filing for ASC 820 (formerly FAS 157) disclosure.

Amounts designated as “—” are $O or have been rounded to $O.

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

A summary of outstanding swap agreement help by the Fund at February 28, 2010, is as follows:


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS — 61.9%

Consumer Discretionary — 4.5%
Comcast
6.450%, 03/15/37	$	13,705	$	14,060
6.400%, 03/01/40 (F)		1,775		1,806
Comcast Cable Communications Holdings
9.455%, 11/15/22		3,750		5,017
COX Communications
8.375%, 03/01/39 (A)		5,975		7,522
Historic TW
6.625%, 05/15/29		11,585		12,253
McDonald’s MTN
6.300%, 03/01/38		3,415		3,772
News America
7.850%, 03/01/39		7,950		9,582
6.900%, 08/15/39 (A)		2,775		3,062
Target
7.000%, 01/15/38		3,560		4,131
Time Warner Cable
8.750%, 02/14/19		9,070		11,307
8.250%, 04/01/19		3,075		3,736
6.750%, 06/15/39		1,650		1,753
5.000%, 02/01/20		4,390		4,348
Time Warner Entertainment
8.375%, 07/15/33		5,700		6,951
Wal-Mart Stores
6.200%, 04/15/38		8,250		9,033
Yum! Brands
6.875%, 11/15/37		5,620		6,198

				104,531


Consumer Staples — 4.6%
Altria Group
10.200%, 02/06/39		10,950		14,820
Anheuser-Busch InBev Worldwide
8.200%, 01/15/39 (A)		5,210		6,852
6.875%, 11/15/19 (A)		8,400		9,675
6.375%, 01/15/40		6,295		6,813
CVS Caremark
6.125%, 09/15/39		12,445		12,658
Diageo Capital
5.875%, 09/30/36		4,508		4,718
Dr Pepper Snapple Group
6.820%, 05/01/18		2,000		2,279
General Mills
5.650%, 02/15/19		2,750		2,962
HJ Heinz Finance
7.125%, 08/01/39 (A)		8,060		9,355
Kraft Foods
6.875%, 02/01/38		11,385		12,398
6.500%, 02/09/40 (F)		11,175		11,707
Mead Johnson Nutrition
5.900%, 11/01/39 (A)		5,350		5,342
Philip Morris International
6.375%, 05/16/38		3,500		3,842
Ralcorp Holdings
6.625%, 08/15/39 (A)		5,000		4,945

				108,366


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Energy — 6.0%
Canadian Natural Resources
6.750%, 02/01/39	$	3,600	$	3,958
6.250%, 03/15/38		3,000		3,122
Cenovus Energy
6.750%, 11/15/39 (A)		6,515		7,159
CenterPoint Energy Resources MTN
6.625%, 11/01/37		7,665		8,009
6.000%, 05/15/18		3,500		3,675
ConocoPhillips
6.500%, 02/01/39		18,975		21,317
EnCana
6.500%, 02/01/38		3,625		3,926
EQT
8.125%, 06/01/19		9,365		11,207
Husky Energy
7.250%, 12/15/19		11,200		13,061
Marathon Oil
7.500%, 02/15/19		7,275		8,478
6.600%, 10/01/37		5,700		6,082
Motiva Enterprises LLC
6.850%, 01/15/40 (A)		1,730		1,870
Panhandle Eastern Pipeline
8.125%, 06/01/19		2,900		3,436
7.000%, 06/15/18		700		789
Petro-Canada
6.800%, 05/15/38		3,725		4,095
Spectra Energy Capital LLC
7.500%, 09/15/38		1,513		1,735
Suncor Energy
6.850%, 06/01/39		3,675		4,059
Talisman Energy
7.750%, 06/01/19		3,075		3,664
6.250%, 02/01/38		2,060		2,065
TransCanada Pipelines
7.625%, 01/15/39		2,500		3,086
7.250%, 08/15/38		3,100		3,688
Valero Energy
6.625%, 06/15/37		7,205		6,911
6.125%, 02/01/20 (F)		3,007		3,027
Williams
7.875%, 09/01/21		1,592		1,950
XTO Energy
6.100%, 04/01/36		8,315		9,111

				139,480


Financials — 24.4%
American Express
8.125%, 05/20/19		7,135		8,633
7.000%, 03/19/18		1,840		2,064
BAC Capital Trust VI
5.625%, 03/08/35		2,700		2,152
BAC Capital Trust XV
1.056%, 06/01/56 (B)		8,000		4,925
Bank of America
7.625%, 06/01/19		5,000		5,654
6.500%, 09/15/37		2,700		2,561
5.750%, 12/01/17		5,750		5,823
5.650%, 05/01/18		19,650		19,601
Bank of America, Ser A
8.070%, 12/31/26 (A)		5,095		4,910


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Barclays Bank
5.125%, 01/08/20	$	5,150	$	5,057
Bear Stearns
7.250%, 02/01/18		8,768		10,170
6.400%, 10/02/17		9,175		10,130
Berkshire Hathaway Finance
5.400%, 05/15/18		4,346		4,645
BRE Properties
5.500%, 03/15/17 ‡		750		726
Capital One Capital VI
8.875%, 05/15/40		4,000		4,244
CDP Financial
5.600%, 11/25/39 (A)		9,760		9,661
Cedar Brakes II LLC
9.875%, 09/01/13 (A)		1,204		1,236
Chase Capital II
0.749%, 02/01/27 (B)		4,984		3,693
Chubb
6.500%, 05/15/38		7,300		8,053
Citigroup
8.500%, 05/22/19		7,600		8,770
8.125%, 07/15/39		9,550		10,802
6.875%, 03/05/38		13,090		12,922
6.125%, 08/25/36		2,700		2,322
5.875%, 05/29/37		6,551		5,778
City National Capital Trust I
9.625%, 02/01/40		4,500		4,905
Commonwealth Bank of Australia
5.000%, 10/15/19 (A)		4,250		4,268
Coso Geothermal Power Holdings
7.000%, 07/15/26 (A)		3,963		3,779
Credit Suisse NY
6.000%, 02/15/18		7,600		7,984
5.300%, 08/13/19		6,250		6,403
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		3,195		2,508
Discover Bank
8.700%, 11/18/19		5,200		5,610
ERP Operating
5.750%, 06/15/17 ‡		6,250		6,475
Farmers Exchange Capital
7.050%, 07/15/28 (A)		17,515		15,582
First Union Institutional Capital I
8.040%, 12/01/26		1,250		1,262
FleetBoston Financial
6.875%, 01/15/28		3,250		3,311
General Electric Capital MTN
6.875%, 01/10/39		28,745		30,022
5.875%, 01/14/38		17,010		15,792
Goldman Sachs Group
7.500%, 02/15/19		4,174		4,777
6.750%, 10/01/37		26,395		25,592
6.150%, 04/01/18		1,400		1,479
0.429%, 02/06/12 (B)		5,000		4,969
Guardian Life Insurance of America
7.375%, 09/30/39 (A)		13,635		14,217
HBOS
6.750%, 05/21/18 (A)		3,700		3,414
HCP MTN
6.700%, 01/30/18 ‡		1,500		1,506
6.300%, 09/15/16 ‡		2,255		2,263


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Health Care REIT
5.875%, 05/15/15 ‡	$	7,725	$	8,022
HSBC Holdings
6.500%, 09/15/37		8,275		8,490
JPMorgan Chase
6.400%, 05/15/38		2,170		2,346
6.300%, 04/23/19		5,555		6,160
6.000%, 01/15/18		4,000		4,332
JPMorgan Chase Capital XXVII
7.000%, 11/01/39		3,500		3,557
LBG Capital No. 1 MTN
8.000%, 12/15/49 (B)		2,800		2,184
Lincoln National
6.300%, 10/09/37		175		171
Lloyds TSB Bank
5.800%, 01/13/20 (A)		2,610		2,526
Macquarie Group
6.000%, 01/14/20 (A)		6,380		6,189
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (A)		16,445		20,306
MBNA Capital, Ser B
1.049%, 02/01/27 (B)		2,151		1,466
Merrill Lynch MTN
8.950%, 05/18/17 (B)		1,340		1,387
8.680%, 05/02/17 (B)		1,305		1,344
MetLife
7.717%, 02/15/19		8,100		9,418
Metropolitan Life Insurance
7.800%, 11/01/25 (A)		4,700		4,993
Morgan Stanley
7.300%, 05/13/19		6,445		7,126
6.625%, 04/01/18		10,760		11,449
5.625%, 09/23/19		15,625		15,492
Nationwide Mutual Insurance
7.875%, 04/01/33 (A)		1,643		1,581
6.600%, 04/15/34 (A)		12,040		9,962
New York Life Insurance
6.750%, 11/15/39 (A)		16,800		18,102
Pacific Life Insurance
9.250%, 06/15/39 (A)		8,245		9,859
PNC Funding
6.700%, 06/10/19		3,235		3,640
5.125%, 02/08/20 (F)		3,150		3,195
Power Receivables Finance
6.290%, 01/01/12 (A)		726		746
Prudential Holdings LLC
8.695%, 12/18/23 (A)		7,700		9,027
Prudential Insurance of America
8.300%, 07/01/25 (A)		5,500		6,433
Raymond James Financial
8.600%, 08/15/19		1,655		1,878
Security Benefit Life
7.450%, 10/01/33 (A)		4,000		3,200
Sempra Energy ESOP & Trust
5.781%, 11/01/14 (A)		2,000		2,000
Simon Property Group
10.350%, 04/01/19 ‡		1,995		2,549
6.125%, 05/30/18 ‡		1,965		2,066


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (A)	$	10,235	$	11,030
Wachovia
6.605%, 10/01/25		3,100		3,157
0.589%, 10/28/15 (B)		6,090		5,603
Wachovia Bank
6.600%, 01/15/38		12,400		12,739
5.850%, 02/01/37		3,225		3,007
WEA Finance LLC
7.125%, 04/15/18 (A)		4,513		4,953
6.750%, 09/02/19 (A)		2,780		2,981
Westpac Banking
4.875%, 11/19/19		5,035		4,970
ZFS Finance USA Trust I
6.150%, 12/15/65 (A) (B)		3,606		3,444
5.875%, 05/09/32 (A) (B)		5,000		4,535

				568,265


Health Care — 4.5%
Aetna
6.750%, 12/15/37		3,400		3,701
Amgen
6.400%, 02/01/39		2,500		2,773
AstraZeneca
6.450%, 09/15/37		6,625		7,461
Bristol-Myers Squibb
6.125%, 05/01/38		6,775		7,347
CIGNA
8.500%, 05/01/19		5,825		7,082
Eli Lilly
5.950%, 11/15/37		3,000		3,196
Merck
5.850%, 06/30/39		7,370		7,600
Pfizer
7.200%, 03/15/39		17,965		22,065
Roche Holdings
7.000%, 03/01/39 (A)		13,150		15,753
UnitedHealth Group
6.875%, 02/15/38		3,260		3,583
6.625%, 11/15/37		8,855		9,496
6.500%, 06/15/37		4,100		4,294
5.800%, 03/15/36		5,000		4,818
WellPoint
7.000%, 02/15/19		2,406		2,776
Wyeth
5.950%, 04/01/37		2,420		2,555

				104,500


Industrials — 3.6%
American Airlines Pass-Through Trust, Ser 2003-01
3.857%, 07/09/10		4,756		4,673
American Airlines Pass-Through Trust, Ser 2009-1A
10.375%, 07/02/19		576		648
Boeing
6.875%, 03/15/39		5,400		6,356
Burlington Northern Santa Fe
5.650%, 05/01/17		2,830		3,064
Canadian National Railway
5.550%, 03/01/19		3,900		4,217


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Continental Airlines
9.000%, 07/08/16	$	6,393	$	6,841
5.983%, 04/19/22		7,175		6,906
Delta Air Lines
7.750%, 12/17/19		5,200		5,330
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11		6,700		6,767
Lockheed Martin
5.500%, 11/15/39		5,850		5,782
Meccanica Holdings USA
7.375%, 07/15/39 (A)		5,570		6,341
6.250%, 01/15/40 (A)		2,040		2,018
Norfolk Southern
5.900%, 06/15/19		4,395		4,835
5.750%, 01/15/16		1,500		1,649
Union Pacific
6.625%, 02/01/29		1,941		2,100
6.125%, 02/15/20		2,000		2,218
United Technologies
5.700%, 04/15/40 (F)		11,110		11,301
Waste Management
6.125%, 11/30/39		4,240		4,295

				85,341


Information Technology — 1.2%
Cisco Systems
5.900%, 02/15/39		2,450		2,512
5.500%, 01/15/40		12,920		12,532
Oracle
6.125%, 07/08/39		11,710		12,449

				27,493


Materials — 1.0%
ArcelorMittal
7.000%, 10/15/39		1,550		1,548
Barrick Gold Finance
5.800%, 11/15/34		1,370		1,308
Barrick North America Finance LLC
7.500%, 09/15/38		6,435		7,631
Dow Chemical
9.400%, 05/15/39		5,680		7,533
8.550%, 05/15/19		3,580		4,328

				22,348


Telecommunication Services — 3.4%
AT&T
6.550%, 02/15/39		6,075		6,418
6.300%, 01/15/38		15,000		15,277
British Telecommunications
9.625%, 12/15/30 (C)		5,170		6,562
Telecom Italia Capital
7.721%, 06/04/38		5,500		6,109
7.175%, 06/18/19		5,375		5,935
6.000%, 09/30/34		2,200		2,008
Telefonica Emisiones
7.045%, 06/20/36		3,330		3,701
5.877%, 07/15/19		2,850		3,008
Verizon Communications
8.950%, 03/01/39		2,650		3,623
7.350%, 04/01/39		14,135		16,526
6.400%, 02/15/38		4,750		4,989
6.350%, 04/01/19		828		919


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Vodafone Group
6.150%, 02/27/37	$	3,675	$	3,773

				78,848


Utilities — 8.7%
Alabama Power
6.000%, 03/01/39		1,850		1,947
Appalachian Power
7.950%, 01/15/20		4,160		5,109
Arizona Public Service
8.750%, 03/01/19		5,025		6,134
Consolidated Edison of New York
6.750%, 04/01/38		3,845		4,389
6.650%, 04/01/19		2,310		2,663
6.200%, 06/15/36		2,225		2,366
5.500%, 12/01/39		4,130		3,995
Duke Energy Carolinas LLC
6.100%, 06/01/37		5,000		5,253
EDF
6.950%, 01/26/39 (A)		7,190		8,319
Enel Finance International
6.000%, 10/07/39 (A)		8,035		7,786
Entergy Texas
7.125%, 02/01/19		11,750		13,308
Exelon Generation LLC
6.250%, 10/01/39		4,480		4,584
Florida Gas Transmission LLC
7.900%, 05/15/19 (A)		6,000		7,250
Florida Power & Light
5.960%, 04/01/39		3,225		3,376
FPL Group Capital
6.000%, 03/01/19		4,000		4,319
Georgia Power
5.950%, 02/01/39		3,850		4,053
Iberdrola Finance Ireland
5.000%, 09/11/19 (A)		3,700		3,669
Kansas City Power & Light
7.150%, 04/01/19		8,250		9,536
KCP&L Greater Missouri Operations
8.270%, 11/15/21		5,100		5,404
Metropolitan Edison
7.700%, 01/15/19		2,500		2,941
Midamerican Energy Holdings
6.500%, 09/15/37		15,600		16,799
Nisource Finance
10.750%, 03/15/16		5,575		7,146
6.125%, 03/01/22		1,767		1,841
Northern States Power
5.350%, 11/01/39		4,625		4,504
Oncor Electric Delivery
7.500%, 09/01/38		3,200		3,812
6.800%, 09/01/18		6,680		7,507
Pacific Gas & Electric
6.250%, 03/01/39		4,500		4,829
Progress Energy
7.050%, 03/15/19		4,500		5,079
Southern California Edison
6.050%, 03/15/39		7,050		7,577
Southern Union
8.250%, 11/15/29		6,375		7,423
Southwestern Electric Power
6.450%, 01/15/19		6,000		6,530


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Texas-New Mexico Power
9.500%, 04/01/19 (A)	$	8,560	$	10,570
Union Electric
8.450%, 03/15/39		3,000		4,041
Virginia Electric and Power
8.875%, 11/15/38		5,500		7,720

				201,779

Total Corporate Obligations (Cost $1,318,127) ($ Thousands)				1,440,951


MORTGAGE-BACKED SECURITIES — 1.0%

Agency Mortgage-Backed Obligations — 0.1%
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24		524		550
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34		687		742
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34		404		382
GNMA ARM
4.375%, 06/20/32 (B)		189		196

				1,870


Non-Agency Mortgage-Backed Obligations — 0.9%
American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1
0.459%, 03/25/47 (B)	$	1,786	$	949
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.469%, 07/25/37 (B)		2,177		1,514
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.019%, 12/10/49 (B)		1,775		1,665
Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5
0.509%, 06/25/35 (B) (E)		458		136
Countrywide Home Loans, Ser 2006-2, Cl 1A1
0.549%, 03/25/35 (B)		219		108
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		6,560		5,770
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.439%, 03/19/45 (B) (E)		327		190
GS Mortgage Securities II, Ser 2006-GG8, Cl A4
5.560%, 11/10/39		9,115		8,713
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.629%, 11/19/34 (B)		409		251
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.539%, 08/19/45 (B) (E)		571		358
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.619%, 12/25/34 (B)		197		110
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
1.029%, 08/25/34 (B)		124		74


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.089%, 09/25/34 (B)	$	50	$	29
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.539%, 10/25/36 (A) (B)		24		15
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4
5.874%, 04/15/45 (B)		535		541
Washington Mutual Mortgage Pass Through Certificates, Ser 2000-1, Cl M2
1.529%, 01/25/40 (B)		127		124
Washington Mutual Mortgage Pass Through Certificates, Ser 2005-AR2, Cl 2A21
0.559%, 01/25/45 (B)		318		228
Washington Mutual Mortgage Pass Through Certificates, Ser 2007-OA3, Cl 4A1
1.251%, 04/25/47 (B)		252		129

				20,904

Total Mortgage-Backed Securities (Cost $60,132) ($ Thousands)				22,774


MUNICIPAL BONDS — 1.3%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/49		5,000		5,048
Los Angeles, Department of Water & Power, RB
6.008%, 07/01/39		5,000		4,975
State of California, Build America Project, GO
7.550%, 04/01/39		8,000		7,816
7.300%, 10/01/39		1,500		1,424
State of Illinois, GO
6.630%, 02/01/35 (F)		3,275		3,247
5.100%, 06/01/33		8,925		7,432

Total Municipal Bonds (Cost $30,109) ($ Thousands)				29,942


ASSET-BACKED SECURITIES — 0.4%

Mortgage Related Securities — 0.4%
Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1
1.231%, 02/28/40 (B)		3,889		2,294
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B
0.160%, 09/25/36 (B)		9,665		4,402
Indymac Home Equity Loan Asset-Backed Trust, Ser 2002-A, Cl M1
1.354%, 05/25/33 (B)		494		286
JPMorgan Mortgage Acquisition, Ser 2007-HE1, Cl AV1
0.289%, 03/25/47 (B)		481		349


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3
0.399%, 09/25/36 (B)	$	2,565	$	1,862

Total Asset-Backed Securities (Cost $11,009) ($ Thousands)				9,193


U.S. TREASURY OBLIGATIONS — 21.7%
U.S. Treasury Bills
0.086%, 05/13/10 (C)		7,130		7,128
U.S. Treasury Bonds
6.250%, 08/15/23		78,425		95,776
7.625%, 02/15/25		23,945		33,097
4.250%, 05/15/39		171,116		163,416
4.500%, 08/15/39		11,140		11,089
4.375%, 11/15/39		104,700		102,050
U.S. Treasury STRIPS
4.121%, 11/15/21 (C)		120,165		73,248
4.435%, 02/15/23 (C)		35,235		19,963

Total U.S. Treasury Obligations (Cost $501,684) ($ Thousands)				505,767


U.S. GOVERNMENT AGENCY OBLIGATIONS (D) — 7.9%
FHLB
0.095%, 03/03/10 (C)		27,055		27,055
0.085%, 03/19/10 (C)		52,855		52,853
FHLMC DN
0.110%, 05/04/10 (C)		38,500		38,493
FICO STRIPS, PO
4.869%, 09/26/19 (C)		12,145		7,876
0.000%, 08/03/18 (C)		3,300		2,307
0.000%, 12/06/18 (C)		1,800		1,229
0.000%, 08/03/18 (C)		20,000		13,982
0.000%, 12/27/18 (C)		4,130		2,808
4.422%, 03/26/19 (C)		12,000		8,001
FNMA
0.750%, 07/22/10 (C)		14,200		14,218
FNMA STRIPS, PO
0.000%, 07/15/26 (C)		13,908		5,827
0.000%, 01/15/27 (C)		11,510		4,678
Resolution Funding STRIPS
3.890%, 10/15/17 (C)		6,675		4,990

Total U.S. Government Agency Obligations (Cost $145,492) ($ Thousands)				184,317


COMMERCIAL PAPER — 2.2%
Credit Agricole North America
0.145%, 03/25/10 (C) (F)		19,055		19,053
Lloyds TSB Bank
0.170%, 03/23/10 (C) (F)		14,205		14,203
UBS Finance Delaware LLC
0.140%, 03/26/10 (C) (F)		19,015		19,013

Total Commercial Paper (Cost $52,270) ($ Thousands)				52,269


Description	Shares	Market Value ($ Thousands)

CASH EQUIVALENT — 1.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% * †	27,727	$	27,727

Total Cash Equivalent (Cost $27,727) ($ Thousands)			27,727

Total Investments — 97.6% (Cost $2,146,550)($ Thousands) ††		$	2,272,940

Percentages are based on a Net Assets of $2,329,905 ($ Thousands).

A summary of the open futures contracts held by the Fund at February 28, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note	(199	)	Jun-2010	$	(331	)
U.S. Long Treasury Bond	3052		Jun-2010		5,415

				$	5,084

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

††

At February 28, 2010, the tax basis cost of the Fund’s investments was $2,146,550 ($Thousands), and the unrealized appreciation and depreciation were $142,350 ($Thousands) and $(15,960) ($Thousands) respectively.

(A)

(B)

Variable Rate Security. The rate reported is the rate in effect as of February 28, 2010. The date reported is the final maturity date.

(C)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(D)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(E)

Step Bonds. The rate reported is the effective yield as of February 28, 2010. The coupon on a step bond changes on a specific date.

(F)

Security is when issued.

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

DN — Discount Note

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Fair Isaac Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NY — New York

PO — Principal Only

RB — Revenue Bond

REIT — Real Estate Investment Trust

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

See end of Form N-Q Filing for ASC 820 disclosure.

A summary of outstanding swap agreement held by the Fund at February 28, 2010, is as follows:

On September 12, 2008, the FASB issued FASB Staff Position (“FSP”) No. FAS 133-1 and FASB Interpretation Number (“FIN”) 45-4 (“FSP 133-1”), Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No.133 and FASB Interpretation No.45; and Clarification of the Effective Date of FASB Statement No. 161. The FSP is intended to improve disclosures about credit derivatives by requiring more information about the potential adverse effects of changes in credit risk on the financial position, financial performance, and cash flows of the sellers of credit derivatives. It amends FASB Statement No. 133, Accounting for Derivative Instruments and Hedging Activities, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instruments. The FSP also amends FIN 45, Guarantor’s Accounting and Disclosure Requirements for Guarantees, Including Indirect Guarantees of Indebtedness to Others, to require an additional disclosure about the current status of the payment/performance risk of a guarantee. FSP 133-1 and FIN 45-4 is effective for reporting periods (annual or interim) ending after November 15, 2008 and was adopted by the Trust effective November 30, 2008.

The contingent payment may be a cash settlement or a physical delivery of the reference obligation in return for payment of the face amount of the obligation. If the Fund is a buyer and no credit event occurs, the Fund may lose its investment and recover nothing. However, if a credit event occurs, the buyer typically receives full notional value for a reference obligation that may have little or no value. As a seller, the Buyer receives a fixed rate of income throughout the term of the contract, which typically is between one month and five years, provided that no credit event occurs. If a credit event occurs, the seller may pay the buyer the full notional value of the reference obligation. As of February 28, 2010, the Fund is the buyer (“receiving protection”) on a total notional amount of $0.0 million)1 and is the seller (“providing protection”) on a total notional amount of $1.2 million. The notional amounts of the swaps are not recorded in the financial statements; however the notional amount does approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund were the seller of protection and a credit event were to occur. Those credit default swaps for which the Fund is providing protection at balance sheet date are summarized as follows:

The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include up front payment required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

GLOBAL BONDS — 91.8%

Argentina — 5.7%
Province Del Neuquen
8.656%, 10/18/14 (A)		162	$	165
Province of Buenos Aires
9.625%, 04/18/28 (A)		1,460		905
9.625%, 04/18/28		1,335		828
9.375%, 09/14/18		440		282
9.375%, 09/14/18		1,000		643
3.000%, 05/15/35 (B)		1,100		369
Province of Mendoza
5.500%, 09/04/18		321		237
Republic of Argentina
15.500%, 12/19/49 (C)		9,900		4,159
10.500%, 11/14/02 (C)		400		106
10.250%, 01/26/07 (C)	EUR	850		484
10.250%, 02/06/03 (C)		1,400		396
9.000%, 11/19/08 (C)		1,000		262
9.000%, 05/26/09 (C)	EUR	1,595		728
8.500%, 02/23/05 (C)		245		68
8.500%, 07/01/04 (C)	EUR	4,500		2,433
8.375%, 12/20/03 (C)		1,000		425
8.280%, 12/31/33		8,527		5,564
8.125%, 04/21/08 (C)	EUR	2,818		1,290
7.875%, 07/29/05 (C)		275		77
7.000%, 03/18/04 (C)		555		151
7.000%, 10/03/15		27,940		20,196
6.000%, 03/31/23 (C)		172		113
3.169%, 12/15/35 (C)		2,905		123
3.169%, 12/15/35 (C)		11,725		675
2.260%, 03/31/19 (B)		3,475		1,304
2.500%, 03/31/19 (B) (D)		9,220		2,960
0.000%, 08/03/12 (C)		17,710		5,734
0.000%, 03/31/23 (C)		1,680		924
Republic of Argentina, Ser E MTN
10.000%, 01/07/05 (C)	EUR	1,650		940
9.250%, 07/20/04 (C)	EUR	2,100		1,132
7.000%, 03/18/04 (C)	EUR	2,554		1,164
Transportadora Gas Norte
7.500%, 12/31/12 (A) (C)		100		42
7.500%, 12/31/12 (A) (C)		210		88
7.500%, 12/31/12 (C)		350		147
6.500%, 12/31/12 (A) (C)		30		13
6.500%, 12/31/12 (C)		60		25
6.500%, 12/31/12 (C)		60		25

				55,177


Barbados — 0.2%
Columbus International
11.500%, 11/20/14 (A)		1,900		2,014


Belize — 0.0%
Government of Belize
4.250%, 02/20/29 (B)		330		198


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

Bosnia and Herzegovina — 0.1%
Republic of Bosnia & Herzegovina
10.039%, 12/11/17 (E)	EUR	2,000	$	1,040


Brazil — 9.3%
Banco Nacional de Desenvol-vimento Economico e Social
6.500%, 06/10/19 (A)		3,055		3,227
5.500%, 06/10/19 (A)		700		688
Banco Votorantim
7.375%, 01/21/20 (A)		840		862
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/17	BRL	40,910		20,229
Federal Republic of Brazil
12.250%, 03/06/30		195		333
11.000%, 08/17/40		11,905		15,982
10.125%, 05/15/27		2,695		3,881
8.875%, 04/15/24		3,860		5,022
8.875%, 10/14/19		1,355		1,745
8.750%, 02/04/25		4,838		6,241
8.250%, 01/20/34		6,495		8,119
8.000%, 01/15/18		1,973		2,299
7.875%, 03/07/15		900		1,062
7.125%, 01/20/37		2,625		2,966
6.000%, 01/17/17		6,420		7,004
5.875%, 01/15/19		6,915		7,451
Fibria Overseas Finance
9.250%, 10/30/19 (A)		1,040		1,176
Petrobras International Finance
7.875%, 03/15/19		740		852
Voto-Votorantim Overseas Trading Operations
6.625%, 09/25/19 (A)		600		597

				89,736


Chile — 0.2%
Colbun
6.000%, 01/21/20 (A)		392		395
Empresa Nacional del Petroleo
6.250%, 07/08/19 (A)		1,300		1,339
Nacional del Cobre de Chile - CODELCO
7.500%, 01/15/19		450		534

				2,268


China — 0.1%
Evergrande
13.000%, 01/27/15		800		792


Colombia — 4.3%
Bogota District Capital
9.750%, 07/26/28 (A)	COP	12,895,000		6,909
Ecopetrol
7.625%, 07/23/19 (A)		750		825


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
Republic of Colombia
11.750%, 02/25/20		2,258	$	3,285
10.375%, 01/28/33		450		631
9.850%, 06/28/27	COP	128,000		75
8.375%, 02/15/27		3,100		3,332
8.125%, 05/21/24		3,180		3,792
7.375%, 09/18/37		8,395		9,130
7.375%, 03/18/19		5,545		6,349
7.375%, 01/27/17		5,085		5,835
6.125%, 01/18/41		1,175		1,099

				41,262


Croatia — 0.2%
Republic of Croatia
6.750%, 11/05/19 (A)		517		536
Zagrebacki Holding D.O.O.
5.500%, 07/10/17		1,500		1,668

				2,204


Czech Republic — 0.1%
Central European Media Enterprises
11.625%, 09/15/16 (A)		600		843


Dominican Republic — 0.0%
Republic of Dominican Republic
9.040%, 01/23/18		27		29


Ecuador — 0.1%
Republic of Ecuador
9.375%, 12/15/15		1,550		1,453


El Salvador — 1.0%
Republic of El Salvador
8.250%, 04/10/32		3,710		4,007
7.650%, 06/15/35		5,139		5,216
7.375%, 12/01/19 (A)		500		525

				9,748


Gabon — 0.2%
Gabonese Republic
8.200%, 12/12/17 (A)		2,100		2,244


Georgia — 0.6%
BG Finance for JSC Bank of Georgia
9.000%, 02/08/12		2,500		2,457
Republic of Georgia
7.500%, 04/15/13		3,350		3,442

				5,899


Ghana — 0.2%
Republic of Ghana
8.500%, 10/04/17 (A)		600		625
8.500%, 10/04/17		1,250		1,306

				1,931


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

Hong Kong — 0.2%
Bank of China Hong Kong
5.550%, 02/11/20 (A) (J)		1,700	$	1,684


Hungary — 0.3%
Republic of Hungary
6.250%, 01/29/20		3,020		3,088


India — 0.3%
Indian Oil
4.750%, 01/22/15		550		553
Vedanta Resources
9.500%, 07/18/18 (A)		2,295		2,421

				2,974


Indonesia — 7.3%
Adaro Indonesia
7.625%, 10/22/19 (A)		1,455		1,444
Majapahit Holding
8.000%, 08/07/19 (A)		1,415		1,500
7.875%, 06/29/37 (A)		415		403
7.750%, 10/17/16		200		212
7.750%, 01/20/20 (A)		2,795		2,900
7.750%, 10/17/16 (A)		1,200		1,284
7.250%, 10/17/11 (A)		885		934
Republic of Indonesia
12.800%, 06/17/21	IDR	31,500,000		4,054
12.800%, 06/17/21 (D)	IDR	14,600,000		1,879
11.625%, 03/04/19 (A)		6,210		8,911
11.625%, 03/04/19		1,100		1,579
11.000%, 11/15/20	IDR	17,100,000		1,985
10.375%, 05/04/14 (A)		300		376
10.375%, 05/04/14		400		501
8.500%, 10/12/35		4,612		5,546
7.750%, 01/17/38		650		723
7.750%, 01/17/38		17,115		19,040
7.500%, 01/15/16		2,940		3,344
7.250%, 04/20/15		2,840		3,203
6.875%, 01/17/18		3,930		4,362
6.750%, 03/10/14		1,450		1,598
6.750%, 03/10/14 (A)		500		553
6.625%, 02/17/37 (A)		225		226
6.625%, 02/17/37		2,500		2,453
5.875%, 03/13/20 (A)		1,535		1,587
Star Energy
11.500%, 02/12/15 (J)		500		510

				71,107


Iraq — 0.8%
Republic of Iraq
5.800%, 01/15/28		10,415		8,082


Ivory Coast — 0.1%
Republic of Ivory Coast
4.000%, 03/30/18 (C)		7,000		743


Description	Face Amount (1) (Thousands)	Market Value ($ Thousands)

Jamaica — 0.0%
Digicel Group
8.875%, 01/15/15 (A)	450	$	430


Kazakhstan — 3.2%
CenterCredit International
8.625%, 01/30/14	2,250		2,182
Citigroup Global Markets for JSC Kazkommertsbank
8.700%, 04/07/14 (C)	1,550		1,317
Halyk Savings Bank of Kazakhstan
9.250%, 10/16/13	875		898
7.750%, 05/13/13	100		99
HSBK Europe
9.250%, 10/16/13 (A)	800		822
7.250%, 05/03/17	650		601
Kazkommerts International
8.500%, 04/16/13	850		775
8.500%, 04/16/13	500		456
8.000%, 11/03/15	1,650		1,438
7.875%, 04/07/14	900		790
7.500%, 11/29/16	2,350		1,997
6.875%, 02/13/17	500		582
KazMunaiGaz Finance MTN
11.750%, 01/23/15 (A)	3,910		4,809
9.125%, 07/02/18 (A)	3,125		3,547
9.125%, 07/02/18	4,150		4,736
8.375%, 07/02/13	4,760		5,200
Tengizchevroil Finance
6.124%, 11/15/14	457		477

			30,726


Lithuania — 0.5%
Republic of Lithuania
7.375%, 02/11/20 (A) (J)	3,175		3,302
6.750%, 01/15/15 (A)	1,405		1,486

			4,788


Malaysia — 3.2%
Malaysia Government
4.378%, 11/29/19	12,720		3,763
3.741%, 02/27/15	12,440		3,636
Petroliam Nasional
7.750%, 08/15/15	1,460		1,726
7.625%, 10/15/26	430		515
Petronas Capital
7.875%, 05/22/22	4,930		5,907
7.875%, 05/22/22 (A)	650		786
7.000%, 05/22/12	3,055		3,370
5.250%, 08/12/19 (A)	10,865		10,957

			30,660


Mexico — 8.2%
C10 - EUR Capital
6.277%, 05/09/49 (C)	1,800		1,548


Description	Face Amount (1) (Thousands)	Market Value ($ Thousands)
Grupo Senda
10.500%, 10/03/15	4,590	$	3,752
Mexican Bonos
8.500%, 05/31/29	70,440		5,672
8.500%, 12/13/18	27,140		2,245
7.500%, 06/03/27	50,230		3,699
NII Capital
10.000%, 08/15/16	4,900		5,316
Oceanografia
11.250%, 07/15/15	1,286		747
Pemex Finance
9.150%, 11/15/18	1,895		2,390
Pemex Project Funding Master Trust
6.625%, 06/15/35	400		382
5.750%, 03/01/18	1,670		1,691
Petroleos Mexicanos
8.000%, 05/03/19 (A)	465		539
8.000%, 05/03/19	100		116
United Mexican States
11.375%, 09/15/16	540		753
8.300%, 08/15/31	13,060		16,325
8.125%, 12/30/19	2,495		3,088
7.500%, 04/08/33	1,430		1,659
6.625%, 03/03/15	3,650		4,106
6.050%, 01/11/40	8,942		8,808
5.950%, 03/19/19	6,174		6,606
5.875%, 02/17/14	1,000		1,115
5.625%, 01/15/17	4,400		4,664
United Mexican States, Ser A MTN
6.750%, 09/27/34	4,438		4,760

			79,981


Nigeria — 0.2%
GTB Finance
8.500%, 01/29/12	1,000		1,015
UBS
0.000%, 09/04/17 (A) (C)	800		770

			1,785


Oman — 0.1%
Blue City Investments
13.750%, 11/07/13	2,750		550
4.049%, 11/07/13 (C)	500		240

			790


Pakistan — 0.6%
Pakistan Mobile Communications
8.625%, 11/13/13 (A)	330		281
Republic of Pakistan
7.125%, 03/31/16	3,650		3,203
6.875%, 06/01/17	2,850		2,380

			5,864


Description	Face Amount (1) (Thousands)	Market Value ($ Thousands)

Panama — 2.2%
Republic of Panama
9.375%, 04/01/29	7,540	$	10,103
9.375%, 01/16/23	595		772
8.875%, 09/30/27	3,600		4,608
8.125%, 04/28/34	940		1,147
7.250%, 03/15/15	2,940		3,374
6.700%, 01/26/36	1,650		1,753

			21,757


Peru — 2.8%
Interoceanica IV Finance
3.393%, 11/30/25 (A) (E)	749		367
3.865%, 11/30/18 (A) (E)	358		271
3.280%, 11/30/18	678		512
Peru Enhanced Pass-Through Finance
7.178%, 06/02/25 (A) (E)	500		220
3.898%, 05/31/18 (E)	808		632
4.259%, 05/31/18 (A) (E)	1,322		1,034
Republic of Peru
8.750%, 11/21/33	1,680		2,192
8.375%, 05/03/16 (F)	1,625		1,979
7.350%, 07/21/25	12,420		14,469
6.550%, 03/14/37	5,675		5,959

			27,635


Philippines — 5.6%
National Power
9.625%, 05/15/28	1,100		1,314
Power Sector
7.390%, 12/02/24	1,465		1,505
7.250%, 05/27/19	760		797
Republic of Philippines
10.625%, 03/16/25	4,511		6,225
9.500%, 02/02/30	3,230		4,167
9.500%, 10/21/24	200		257
9.375%, 01/18/17	10,040		12,500
8.875%, 03/17/15	500		605
8.375%, 06/17/19	650		782
8.250%, 01/15/14	2,575		2,987
8.000%, 01/15/16	5,050		5,902
7.750%, 01/14/31	3,624		4,023
7.500%, 09/25/24	8,164		9,103
6.500%, 01/20/20	612		654
6.375%, 10/23/34	2,490		2,362
6.375%, 01/15/32	890		857

			54,040


Poland — 1.7%
Republic of Poland
6.375%, 07/15/19	13,655		14,665
TVN Finance
10.750%, 11/15/17 (A)	1,000		1,467

			16,132


Qatar — 1.3%
Qtel International Finance
7.875%, 06/10/19	3,050		3,472
6.500%, 06/10/14 (A)	600		653


Description	Face Amount (1) (Thousands)	Market Value ($ Thousands)
State of Qatar
9.750%, 06/15/30	535	$	749
6.400%, 01/20/40 (A)	705		710
5.250%, 01/20/20 (A)	6,740		6,841

			12,425


Russia — 9.0%
ABN Amro Bank
9.625%, 03/01/13	700		788
Alfa Dividend Payment Rights Finance MTN
2.154%, 12/15/11 (A) (C) (D)	188		171
Alfa Invest MTN
9.250%, 06/24/13 (A)	1,200		1,206
Edel Capital for Sinek Capital SA
7.700%, 08/03/15	600		603
Gaz Capital MTN
8.625%, 04/28/34	1,200		1,347
6.510%, 03/07/22	220		208
6.212%, 11/22/16	600		602
Kuznetski (Bank of Moscow)
7.500%, 11/25/15 (C)	1,300		1,302
RSHB Capital for Russian Agricultural Bank MTN
9.000%, 06/11/14 (A)	900		1,024
9.000%, 06/11/14	750		849
7.750%, 05/29/18	1,250		1,339
6.299%, 05/15/17	400		399
Russian Federation
12.750%, 06/24/28	5,220		9,018
7.500%, 03/31/30 (B)	44,293		50,188
Teorema Holding
11.000%, 10/27/09 (C) (K)	2,000		200
TNK-BP Finance
7.250%, 02/02/20 (A) (J)	1,098		1,090
6.250%, 02/02/15 (A) (J)	238		243
TransCapital (Transneft)
8.700%, 08/07/18 (A)	1,065		1,249
7.700%, 08/07/13 (A)	150		162
UBS (Vimpelcom)
8.250%, 05/23/16	190		200
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/18 (A)	1,160		1,263
9.125%, 04/30/18	1,200		1,307
8.375%, 04/30/13	300		321
8.375%, 04/30/13 (A)	1,265		1,354
VTB Capital
6.875%, 05/29/18	7,550		7,758
6.609%, 10/31/12 (A)	2,150		2,225
6.250%, 06/30/35	498		488

			86,904


Saudi Arabia — 0.1%
Dar Al-Arkan International Sukuk
10.750%, 02/18/15 (A) (J)	900		895


Description	Face Amount (1) (Thousands)	Market Value ($ Thousands)

Singapore — 0.7%
Sea Production
4.500%, 02/14/12	8,800	$	6,600


South Africa — 1.6%
Edcon Proprietary
3.964%, 06/15/14 (C)	2,350		2,197
PE Paper Escrow
12.000%, 08/01/14	900		979
Republic of South Africa
8.500%, 06/23/17	815		974
8.250%, 09/15/17	14,340		1,825
6.875%, 05/27/19	2,895		3,192
6.500%, 06/02/14	3,455		3,809
5.875%, 05/30/22	2,645		2,678

			15,654


South Korea — 0.5%
Export-Import Bank of Korea
8.125%, 01/21/14	2,105		2,452
5.875%, 01/14/15	1,125		1,213
Korea Hydro & Nuclear Power
6.250%, 06/17/14	1,100		1,208

			4,873


Sri Lanka — 0.0%
Democratic Socialist Republic of Sri Lanka
7.400%, 01/22/15 (A)	500		519


Supra-National — 0.1%
Andina de Fomento
8.125%, 06/04/19	565		667
Central American Bank for Economic Integration
5.375%, 09/24/14 (A)	350		363
Eurasian Development Bank MTN
7.375%, 09/29/14 (A)	350		370

			1,400


Thailand — 0.2%
True Move
10.750%, 12/16/13 (A)	850		851
10.375%, 08/01/14 (A)	850		846

			1,697


Trinidad & Tobago — 0.5%
Petroleum of Trinidad & Tobago
9.750%, 08/14/19 (A)	653		741
6.000%, 05/08/22	3,225		2,959
6.000%, 05/08/22 (A)	900		826

			4,526


Tunisia — 0.3%
Banque Centrale de Tunisie
7.375%, 04/25/12	2,210		2,414


Description	Face Amount (1) (Thousands)	Market Value ($ Thousands)
Tunisie Banque
6.250%, 02/20/13	430	$	625

			3,039


Turkey — 4.7%
Globus Capital Finance
8.500%, 03/05/12	700		637
Republic of Turkey
11.875%, 01/15/30	625		989
9.500%, 01/15/14	300		357
8.000%, 02/14/34	2,150		2,437
7.500%, 07/14/17	4,270		4,809
7.500%, 11/07/19	2,985		3,358
7.375%, 02/05/25	6,275		6,835
7.250%, 03/15/15	2,955		3,291
7.250%, 03/05/38	640		664
7.000%, 09/26/16	1,750		1,925
7.000%, 06/05/20	250		272
7.000%, 03/11/19	1,950		2,125
6.875%, 03/17/36 (F)	6,895		6,878
6.750%, 04/03/18	6,230		6,713
6.750%, 05/30/40	3,927		3,834

			45,124


Ukraine — 3.1%
Credit Suisse First Boston for City of Kiev
8.000%, 11/06/15	750		555
Credit Suisse First Boston International (Export/Import - Ukraine)
7.650%, 09/07/11	500		479
6.800%, 10/04/12	550		492
Government of Ukraine
7.650%, 06/11/13	3,340		3,198
6.875%, 03/04/11	400		395
6.875%, 03/04/11	100		99
6.750%, 11/14/17	800		686
6.580%, 11/21/16	4,310		3,707
6.385%, 06/26/12	680		651
3.200%, 12/19/10	760,000		7,934
MHP
10.250%, 11/30/11	1,850		1,771
NAK Naftogaz Ukraine
9.500%, 09/30/14	3,155		3,009
9.500%, 09/30/14	4,400		4,213
Springvale Holdings
9.181%, 09/07/09 (C) (K)	1,000		75
UK Private Bank
8.000%, 02/06/12	3,000		2,685

			29,949


United Arab Emirates — 1.5%
Dolphin Energy
5.888%, 06/15/19	446		448
5.888%, 06/15/19	1,834		1,845
Dubai DOF Sukuk MTN
6.396%, 11/03/14	200		181


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
Dubai Holding Commercial Operations MTN
4.750%, 01/30/14		1,850	$	1,641
Emirate of Abu Dhabi
6.750%, 04/08/19 (A)		1,420		1,598
Jafz Sukuk
3.446%, 11/27/12 (C)	AED	33,500		6,932
MDC-GMTN
7.625%, 05/06/19		800		865
Nakheel Development 2
2.750%, 01/16/11		1,350		699

				14,209


Uruguay — 3.0%
Republic of Uruguay
9.250%, 05/17/17		5,670		7,017
8.000%, 11/18/22		12,147		14,029
7.625%, 03/21/36		2,086		2,232
6.875%, 09/28/25		761		788
Republic of Uruguay PIK
7.875%, 01/15/33		4,220		4,578

				28,644


Venezuela — 5.4%
Bolivarian Republic of Venezuela
8.250%, 10/13/24		1,950		1,277
Government of Venezuela
13.625%, 08/15/18		1,525		1,472
10.750%, 09/19/13		700		656
9.375%, 01/13/34		2,370		1,677
9.250%, 09/15/27		2,875		2,149
9.250%, 05/07/28		6,800		4,726
9.000%, 05/07/23		5,095		3,515
8.500%, 10/08/14		2,100		1,764
7.750%, 10/13/19		400		272
7.650%, 04/21/25		4,150		2,621
7.000%, 03/31/38		200		111
6.000%, 12/09/20		2,300		1,340
5.750%, 02/26/16		4,850		3,334
1.249%, 04/20/11 (C)		22,845		20,903
Petroleos de Venezuela
5.500%, 04/12/37		800		372
5.375%, 04/12/27		3,105		1,514
5.250%, 04/12/17		5,800		3,523
5.000%, 10/28/15		1,200		747

				51,973


Vietnam — 0.2%
Socialist Republic of Vietnam
6.875%, 01/15/16		450		474
6.750%, 01/29/20 (A)		1,052		1,057

				1,531


Yemen — 0.0%
Pemberley SPV Finance 2008 Yemen MTN
11.500%, 02/19/14 (C) (K)		126		—

Total Global Bonds (Cost $813,234) ($ Thousands)				889,066


Description	Face Amount (1) (Thousands)/Contracts	Market Value ($ Thousands)

LOAN PARTICIPATIONS — 1.7%

Angola — 0.2%
Republic of Angola
2.998%, 04/30/16 (G) (K)	1,300	$	1,439


Cambodia — 0.3%
CAMGSM Co. PIK
12.731%, 05/25/11	2,573		2,573


Georgia — 0.0%
Ashmore Cayman
0.000%, 04/16/14 (E) (G) (K)	221		119


Indonesia — 0.4%
Star Energy
19.000%, 03/05/10	4,200		4,200


Russia — 0.2%
Snegri Overseas
10.500%, 04/21/10 (G) (K)	2,560		2,022


Singapore — 0.3%
Morton Bay Senior
6.250%, 04/30/10 (G) (K)	3,054		3,054


Turkey — 0.3%
Cukurova, Ser B
8.493%, 05/01/12 (G) (K)	3,361		3,058

Total Loan Participations (Cost $17,717) ($ Thousands)			16,465


CONVERTIBLE BONDS — 0.6%
FirstSource Solutions
0.000%, 12/04/12 (E)	2,300		2,019
Reliance Communications
0.000%, 03/01/12 (E)	1,400		1,544
Suzlon Energy
2.438%, 07/25/14	500		436
1.271%, 06/12/12	2,484		2,375

Total Convertible Bonds (Cost $6,223) ($ Thousands)			6,374


PURCHASED OPTIONS — 0.1%
Currency OTC option on Euro, Expires 05/04/10 Strike Price 1.39 *	15,825,000		381
Currency OTC option on Euro, Expires 05/04/10 Strike Price 1.39 *	18,950,000		456

Total Purchased Options (Cost $871) ($ Thousands)			837


Description	Face Amount (1) (Thousands)	Market Value ($ Thousands)

	Number of Warrants

WARRANTS — 0.0%

Russia — 0.0%
Teorema Holding A,
Expires 10/27/11 * (K)	136	$	—
Teorema Holding B,
Expires 10/27/11 *	272		—

Total Warrants (Cost $47) ($ Thousands)			—


AFFILIATED PARTNERSHIP — 0.2%
SEI Liquidity Fund, L.P.,
0.240% ** † (H)	2,452,277		2,234

Total Affiliated Partnership (Cost $2,452) ($ Thousands)			2,234


DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (I) — 0.1%
Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding	600		600

Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $600) ($ Thousands)			600

Total Investments — 94.5% (Cost $841,144)($ Thousands) ††		$	915,576

Percentages are based on a Net Assets of $968,745 ($ Thousands).

A summary of the outstanding forward foreign currency contracts held by the Fund at February 28, 2010, is as follows:


Settlement Date	Currency to Deliver (Thousands)		Currency to (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
3/8/10	KRW	1,845,831	USD	1,590	$ (2)
3/8/10-3/15/10	USD	6,146	KRW	7,074,380	(45)
3/22/10-3/31/10	EUR	19,028	USD	25,850	(114)
3/24/10	USD	4,400	MXP	56,364	1
3/31/10	JPY	707,225	USD	7,845	(116)
3/31/10	USD	1,430	EUR	1,057	11
4/5/10	USD	4,290	BRL	7,909	52
4/19/10	USD	4,363	INR	202,708	18
4/26/10	USD	4,380	PLN	12,841	49
11/23/10	USD	3,700	CNY	24,794	(1)

					$(147)

Non-income producing security.

The rate reported is the 7-day effective yield as of February 28, 2010.

†

Investment in Affiliated Security.

††

At February 28, 2010, the tax basis cost of the Fund's investments was $841,144 ($Thousands), and the unrealized appreciation and depreciation were $95,698 ($Thousands) and $(21,266) ($Thousands) respectively.

(1)

In U.S. dollars unless otherwise indicated.

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(B)

Step Bonds. The rate reported is the effective yield on February 28, 2010. The coupon on a step bond changes on a specified date.

(C)

Security in default on interest payments.

(D)

Variable Rate Security. The rate reported is the rate in effect as of February 28, 2010. The date reported is final maturity date.

(E)

Zero coupon security. The rate reported is the effective yield at time of purchase.

(F)

This security or a partial position of this security is on loan at February 28, 2010. The total value of securities on loan at February 28, 2010 was $2,296 ($ Thousands).

(G)

Securities considered illiquid. The total value of such securities as of February 28, 2010 was $9,692 ($ Thousands) and represents 1.00% of Net Assets.

(H)

This security was purchased with cash collateral held from the securities on loan. The total value of such securities as of February 28, 2010 was $2,234 ($ Thousands).

(I)

Cash on loan to swap counterparty as collateral for outstanding swap contracts.

(J)

Security is when issued.

(K)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such security as of February 28, 2010 was $9,967 ($ Thousands) and represents 1.03% of net assets.

AED — United Arab Emirates Dirham

BRL — Brazilian Real

CNY — Chinese Yuan Renminbi

COP — Colombian Peso

EUR — Euro

IDR — Indonesia Rupiah

INR — India Rupee

JPY — Japanese Yen

KRW — South Korean Won

L.P. — Limited Partnership

MTN — Medium Term Note

MXP — Mexican Peso

PIK — Payment-in-Kind

PLN — Polish Zloty

Ser — Series

USD — U.S. Dollar

Amounts designated as “—” are $O or have been rounded to $O.

See end of Form N-Q Filing for ASC 820 disclosure.

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

A summary of outstanding swap agreement help by the Fund at February 28, 2010, is as follows:


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 98.4%
U.S. Treasury Inflation-Protected Securities
0.875%, 04/15/10	$	7,300	$	8,360
3.375%, 01/15/12		11,683		15,281
2.000%, 04/15/12		1,246		1,394
3.000%, 07/15/12		20,513		26,662
0.625%, 04/15/13		19,995		20,945
1.875%, 07/15/13		29,820		37,294
2.000%, 01/15/14		33,524		41,816
1.250%, 04/15/14		18,250		19,396
2.000%, 07/15/14		31,486		38,597
1.625%, 01/15/15		29,975		35,598

				245,343

U.S. Treasury Notes
1.500%, 07/15/12		34,700		35,123
2.250%, 01/31/15		12,175		12,182

				47,305

Total U.S. Treasury Obligations (Cost $281,892) ($ Thousands)				292,648

Total Investments — 98.4% (Cost $281,892)($ Thousands) †			$	292,648

Percentages are based on a Net Assets of $297,520 ($ Thousands).

†

At February 28, 2010, the tax basis cost of the Fund's investments was $281,892 ($Thousands), and the unrealized appreciation and depreciation were $10,921 ($Thousands) and $(165) ($Thousands) respectively.

See end of Form N-Q Filing for ASC 820 disclosure.

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

The following is a summary of the inputs used, as of February 28, 2010, in valuing the Funds’ investments in accordance with ASC 820 (formerly FAS 157), carried at value ($ Thousands):

(a) The certifying officers, whose certifications are included herewith, have evaluated the Registrant’s disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the Registrant’s disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the Registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

(a) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

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.

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.


SEI Institutional Investments Trust/Quarterly Reporting/February 28, 2010		1


2		SEI Institutional Investments Trust /Quarterly Reporting/ February 28, 2010


	Number of Warrants/ Face Amount ($Thousands)	Acquisition Date	Right to Acquire Date	Cost ($Thousands)		Market Value ($Thousands)		% of Net Assets
Rentech	16,100	4/20/07	4/20/07	$	—	$	2	0.00	%
Scorpio Mining	887	5/5/08	5/5/08		786		764	0.06	%

				$	786	$	766	0.06	%


	Number of Warrants/ Face Amount ($ Thousands)	Acquisition Date	Right to Acquire Date	Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets
Rentech	13,800	4/20/07	4/20/07	$	—	$	2	0.00	%
Scorpio Mining	509	5/5/08	5/5/08		499		438	0.02	%

				$	499	$	440	0.02	%


SEI Institutional Investment Trust/Quarterly Reporting/February 28, 2010		1


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate		Termination Date	Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52	3,850		$	(1,212	)
Bank of America	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52	5,500			(1,781	)
Bank of America	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52	4,445			124
Barclays Bank PLC	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37	(4,680	)		(2,283	)
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(4,600	)		106
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(4,000	)		128
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52	16,235			(5,343	)
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/49	2,000			378
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/49	2,000			357
Citigroup	ABX.HE.AAA 06-2 Index	SELL	0.11		05/25/46	(2,084	)		(349	)
Citigroup	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37	(3,545	)		(1,719	)
Citigroup	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(8,100	)		662
Citigroup	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(5,500	)		342
Citigroup	Arrow Electric, 6.875% 06/01/18	BUY	(0.82	)	03/20/14	1,485			2
Citigroup	CMBX-NA-AJ 1 Index	BUY	(0.84	)	10/12/52	2,110			(675	)
Citigroup	Darden Restaurants Inc., 6.000% 08/15/35	BUY	(2.73	)	03/20/14	1,435			(116	)
Citigroup	Darden Restaurants Inc., 7.125% 02/01/16	BUY	(2.40	)	03/20/15	1,200			(88	)
Citigroup	DR Horton, Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16	1,020			21
Citigroup	Hewlett Packard, 5.400% 03/01/17	BUY	(0.72	)	03/20/14	1,485			(22	)
Citigroup	Home Depot, 5.875% 12/16/36	BUY	(2.67	)	03/20/14	5,100			(435	)
Citigroup	KB Home, 5.750% 2/01/14	BUY	(1.00	)	09/20/16	1,020			56
Citigroup	Lowes Cos. Inc., 8.250% 06/01/10	BUY	(1.20	)	03/20/14	5,320			(135	)
Citigroup	Nordstrom Inc., 6.950%, 03/15/28	BUY	(3.15	)	03/20/14	1,135			(116	)
Credit Suisse	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46	(4,689	)		(400	)
Credit Suisse	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46	(4,970	)		(460	)
Credit Suisse	ABX.HE.AAA 06-1 Index	SELL	0.09		08/25/37	(4,000	)		(449	)


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)	Net Unrealized Appreciation (Depreciation) ($ Thousands)
Deutsche Bank	2.90%	3-Month LIBOR	02/28/14	87,200,000	$	(2,577	)
Goldman Sachs	4.21%	10-YR CMS	05/25/10	9,180,000		129
Morgan Stanley	0.00%	3-Month LIBOR	11/15/27	29,630,000		(158	)
Morgan Stanley	0.00%	3-Month LIBOR	02/15/25	19,470,000		(159	)

					$	(2,765	)


WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CREDIT DEFAULT SWAPS				CREDIT DEFAULT SWAP INDEX
Reference Asset	Corporate Debt			Sovereign Debt	Asset Backed Securities			Corporate Debt		Total
Fair value of written credit derivatives	$	377,486.63		—	($	45,083,611.68	)	(817,112	)	($	45,523,237.49	)
Maximum potential amount of future payments	($	7,970,000.00	)	—	($	65,265,088.44	)	(6,089,958	)	($	79,325,046.44	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)[1]		—		—		—		—			—
Collateral held by the Partnership or other third parties which the Partnership can obtain upon occurrence of triggering event		—		—		—		—			—


MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
	0-6 months	6-12 months	1-5 years		5-10 years	More than 10 years		Total
Current credit spread* on underlying (in basis points)
0-2500	—	—	(14,059,958	)	—	—		(14,059,958	)
2501-5000	—	—	—		—	(22,200,000	)	(22,200,000	)
5001-7500	—	—	—		—	(27,028,783	)	(27,028,783	)
Greater than 7500	—	—	—		—	(16,036,306	)	(16,036,306	)
Total	—	—	(14,059,958	)	—	(65,265,088	)	(79,325,046	)


Credit Default Swap
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate	Termination Date	Notional Amount (Thousands)	Net Unrealized Depreciation ($ Thousands)
Barclays Bank PLC	CDX.NA.HY.13-V2 Index	BUY	5.00	12/20/14	14,058	$	(734	)

						$	(734	)


	Number of Warrants/ Face Amount ($ Thousands)	Acquisition Date	Right to Acquire Date	Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets
VSS AHC	43	9/25/09	9/25/09	$	551	$	519	0.03	%

				$	551	$	519	0.03	%


Large Cap Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		947,185		370		—		947,555
Cash Equivalent		17,705		—		—		17,705
U.S. Treasury Obligation		—		7,758		—		7,758
Affiliated Partnership		—		88,794		—		88,794

Total Investments in Securities	$	964,890	$	96,922	$	—	$	1,061,812


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	597	$	—	$	—	$	597

Total Other Financial Instruments	$	597	$	—	$	—	$	597


Large Cap Diversified Alpha Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		292,693		225		—		292,918
Cash Equivalent		17,638		—		—		17,638
U.S. Treasury Obligations		—		7,994		—		7,994
Affiliated Partnership		—		44,378		—		44,378

Total Investments in Securities	$	310,331	$	52,597	$	—	$	362,928


Large Cap Disciplined Equity Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		5,973,564		4,192		—		5,977,756
Cash Equivalent		421,988		—		—		421,988
U.S. Treasury Obligations		—		121,588		—		121,588
Affiliated Partnerships		—		1,604,070		—		1,604,070

Total Investments in Securities	$	6,395,552	$	1,729,850	$	—	$	8,125,402


Large Cap Index Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		517,273		318		—		517,591
U.S. Treasury Obligation		—		828		—		828
Rights		1		—		—		1
Cash Equivalent		5,992		—		—		5,992
Affiliated Partnership		—		66,822		—		66,822

Total Investments in Securities	$	523,266	$	67,968	$	—	$	591,234


Small Cap Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		1,202,586		137		364		1,203,087
Exchange Traded Funds		3,414		—		—		3,414
Preferred Stock		—		1,410		688		2,098
Convertible Bonds		—		1,177		1,016		2,193
Warrants		2		39		—		41
Right		—		—		—		—
U.S. Treasury Obligation		—		3,328		—		3,328
Cash Equivalent		54,446		—		—		54,446
Affiliated Partnership		—		241,941		—		241,941

Total Investments in Securities	$	1,260,448	$	248,032	$	2,068	$	1,510,548


	Common Stock		Preferred Stock		Convertible Bonds		Total
Beginning balance as of June 1, 2009	$	—	$	—	$	321	$	321
Accrued discounts/premiums		—		—		21		21
Realized gain/(loss)		—		—		—		—
Change in unrealized appreciation/(depreciation)		—		28		74		102
Net purchases/sales		—		660		348		1,008
Net transfer in and/or out of Level 3		364		—		252		616

Ending balance as of February 28, 2010	$	364	$	688	$	1,016	$	2,068

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—	$	—	$	74	$	74


Small/Mid Cap Equity Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		2,094,738		578		313		2,095,629
Preferred Stock		—		1,778		1,501		3,279
Convertible Bonds		—		1,077		690		1,767
Warrants		6		52		—		58
Affiliated Partnership		—		383,665		—		383,665
Cash Equivalent		63,048		—		—		63,048
U.S. Treasury Obligations		—		11,679		—		11,679

Total Investments in Securities	$	2,157,792	$	398,829	$	2,504	$	2,559,125


U.S. Managed Volatility Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		247,620		—		—		247,620
U.S. Treasury Obligation		—		3,247		—		3,247
Cash Equivalent		44,890		—		—		44,890

Total Investments in Securities	$	292,510	$	3,247	$	—	$	295,757


International Equity Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		635,385		3,752		—		639,137
Mortgage-Backed Securities		—		15,430		—		15,430
Asset-Backed Securities		—		11,137		—		11,137
Preferred Stock		6,304		—		—		6,304
Warrants		14		—		—		14
Rights		14		—		—		14
Corporate Obligation		—		267		—		267
U.S. Treasury Obligations		—		1,922		—		1,922
Cash Equivalent		14,118		—		—		14,118
Affiliated Partnership		—		25,132		—		25,132

Total Investments in Securities	$	655,835	$	57,640	$	—	$	713,475


World Equity Ex-US Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		3,106,319		48,829		—		3,155,148
Preferred Stock		46,402		—		—		46,402
Mortgage-Backed Securities		—		34,499		—		34,499
Asset-Backed Securities		—		26,418		—		26,418
Warrants		50		—		—		50
Right		55		—		—		55
Exchange Traded Fund		712		—		—		712
Corporate Obligation		—		297		—		297
U.S. Treasury Obligations		—		21,981		—		21,981
Cash Equivalents		102,652		—		—		102,652
Affiliated Partnership		—		161,731		—		161,731

Total Investments in Securities	$	3,256,190	$	293,755	$	—	$	3,549,945


Screened World Equity Ex-US Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		65,890		1,627		—		67,517
Preferred Stock		2,099		—		—		2,099
Right		—		—		—		—
Warrant		2		—		—		2
U.S. Treasury Obligation		—		198		—		198
Cash Equivalent		3,357		—		—		3,357

Total Investments in Securities	$	71,348	$	1,825	$	—	$	73,173


Enhanced LIBOR Opportunities Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations		—		41,868		845		42,713
Corporate Obligations		—		15,679		—		15,679
Mortgage-Backed Securities		—		7,512		—		7,512
Asset-Backed Securities		—		7,406		—		7,406
U.S. Treasury Obligations		—		4,205		—		4,205
U.S. Government Agency Obligation		—		1,515		—		1,515
Cash Equivalent		9,324		—		—		9,324
Affiliated Partnership		—		64,674		—		64,674

Total Investments in Securities	$	9,324	$	142,859	$	845	$	153,028


	Loan Participations			Common Stock			Total
Beginning balance as of June 1, 2009	$	—		$	88		$	88
Accrued discounts/premiums		2			—			2
Realized gain/(loss)		(22	)		22			—
Change in unrealized appreciation/(depreciation)		—			(88	)		(88	)
Net purchases/sales		20			(22	)		(2	)
Net transfer in and/or out of Level 3		845			—			845

Ending balance as of February 28, 2010	$	845		$	—		$	845

Changes in unrealized gains/(losses) in earnings related to securities still held at reporting date	$	—		$	—			—


Core Fixed Income Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities		—		2,705,009		11,029		2,716,038
Corporate Obligations		—		1,515,031		1,426		1,516,457
U.S. Treasury Obligations		—		808,669		—		808,669
Asset-Backed Securities		—		263,822		3,351		267,173
U.S. Government Agency
Obligations		—		245,956		—		245,956
Municipal Bonds		—		15,441		—		15,441
Preferred Stock		—		712		—		712
Commercial Paper		—		91,641		—		91,641
Repurchase Agreement		—		43,600		—		43,600
Affiliated Partnership		—		634,229		—		634,229
Cash Equivalent		152,041		—		—		152,041

Total Investments in Securities	$	152,041	$	6,324,110	$	15,806	$	6,491,957


Liabilities	Level 1			Level 2		Level 3		Total
Written Options	$	(920	)	$	—	$	—	$	(920	)

Total Investments in Securities	$	(920	)	$	—	$	—	$	(920	)


	Corporate Obligations			Mortgage-Backed Securities		Asset-Backed Securities			Total
Beginning balance as of June 1, 2009	$	442		$	6,159	$	6,789		$	13,390
Accrued discounts/premiums		44			85		26			166
Realized gain/(loss)		—			281		8			289
Change in unrealized appreciation/(depreciation)		(58	)		2,829		823			3,594
Net purchases/sales		998			1,675		(4,295	)		(1,622	)
Net transfer in and/or out of Level 3		—			—		—			—

Ending balance as of February 28, 2010	$	1,426		$	11,029	$	3,351		$	15,806

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—		$	—	$	54		$	54


High Yield Bond Fund
Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations		—		1,293,051		8,743		1,301,794
Loan Participations		—		118,637		8,124		126,761
Collateralized Debt Obligations		—		832		30,499		31,331
Convertible Bonds		—		7,353		4		7,357
Auction Rate Preferred Securities		—		—		6,545		6,545
Asset-Backed Securities		—		2,413		3,056		5,469
Common Stock		—		3,837		1,290		5,127
Preferred Stock		—		2,092		—		2,092
Warrants		—		58		—		58
Affiliated Partnership		—		6		—		6
Cash Equivalent		44,284		—		—		44,284

Total Investments in Securities	$	44,284	$	1,428,279	$	58,261	$	1,530,824


	Corporate Obligations			Collateralized Debt Obligations			Convertible Bonds			Asset- Backed Securities
Beginning balance as of June 1, 2009	$	5,656		$	30,765		$	4		$	—
Accrued discounts/premiums		34			(617	)		—			44
Realized gain/(loss)		216			(558	)		17			—
Change in unrealized appreciation/(depreciation)		(36	)		66,404			—			36
Net purchases/sales		(87	)		(70,881	)		(17	)		2,976
Net transfer in and/or out of Level 3		2,960			5,386			—			—

Ending balance as of February 28, 2010	$	8,743		$	30,499		$	4		$	3,056

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	90		$	14,070		$	—		$	—


	Common Stock			Loan Participations			Auction Rate Preferred Securities			Total
Beginning balance as of June 1, 2009	$	—		$	10,730		$	—		$	47,156
Accrued discounts/premiums		—			(33	)		—			(573	)
Realized gain/(loss)		—			(5,038	)		—			(5,363	)
Change in unrealized appreciation/(depreciation)		—			5,305			(14	)		71,695
Net purchases/sales		1,290			(8,702	)		2,309			(73,111	)
Net transfer in and/or out of Level 3		—			5,862			4,250			18,457

Ending balance as of February 28, 2010	$	1,290		$	8,124		$	6,545		$	58,261

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—		$	1,099		$	—		$	15,259