SEI Institutional Investments Trust

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

I. Objective:

The Large Cap Fund (the “Fund) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilized the following sub-advisers as of May 31, 2010: Quantitative Management Associates, LLC, Legg Mason Capital Management Inc., Delaware Investments Company, Neuberger Berman Management LLC, Aronson + Johnson + Ortiz L.P. and LSV Asset Management. For the fiscal year ended May 31, 2010, Neuberger Berman Management LLC was added to the Fund, while Intech Investment Management, LLC and Goldman Sachs Asset Management were terminated.

III. Market Commentary:

The U.S. equity market, as measured by the Russell 1000 Index, gained 22.33% during the fiscal year ended May 31, 2010. After a historic fall in 2008, equity markets staged a strong rebound in 2009 off the heels of unprecedented global intervention by governments and central banks. Stocks and sectors that suffered the steepest declines in the year prior drove market returns in 2009. More specifically, smaller-cap and lower-quality names, most of which were assumed to be insolvent, posted significant gains.

For the fiscal year, value stocks outperformed their growth counterparts in the large-cap universe. All ten Global Industry Classification Standard (GICS) sectors posted positive performance during the period. A renewed confidence in economic recovery revived investors’ willingness for risk taking. The Consumer Discretionary sector was the best-performing sector, up 44%, followed by Industrials and Information Technology. Conversely, more defensive sectors, which performed well during the year before, lagged the broad market. Utilities, Consumer Staples and Healthcare names failed to keep pace with the market, as investors sought higher returns in riskier assets. Energy shares were a surprise during the fiscal year. Widely thought of as a cyclical sector, Energy was the worst-performing sector during the period. Exxon Mobil and Chevron, both significant constituents of the sector, trailed the benchmark. From a factor perspective, small-size and value factors, both traditional and relative, were the best-performing factors. Earnings and price momentum factors performed worst.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund underperformed the Russell 1000 Index, returning 20.05% versus the index return of 22.33%.

V. Fund Attribution:

Although it posted a strong absolute return, the Fund lagged its benchmark, mostly due to an underweight to Financials and poor stock selection in Information Technology. The sudden rebound in banks and real estate caught managers short-handed, as many had been focusing instead on the less risky industry of diversified financials, as these names were more insulated from the recent credit crisis. On the Technology side, many software and hardware names that did well in the early part of 2009 had a reversal during the subsequent rally and continued to lag in 2010. In general, the Fund’s managers hold higher-quality names and thus did not participate in the rebound experienced by stocks that were priced for bankruptcy. The Fund benefited from an underweight to one of the defensive sectors, Consumer Staples, which lagged during the fiscal year ended May 31, 2010. A similar story can be told for the Energy sector, which the Fund also underweighted and which has come down in valuation over the past year.

Large Cap Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized 10 Year Return	Annualized Inception to Date
Large Cap Fund, Class A	20.05%	(8.31)%	0.84%	(0.75)%	5.34%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, versus the Russell 1000 Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Large Cap Diversified Alpha Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilized the following sub-advisers as of May 31, 2010: Quantitative Management Associates, LLC, Analytic Investors, LLC, Intech Investment Management, LLC, Legg Mason Capital Management, Inc., Delaware Management Company and Aronson + Johnson + Ortiz L.P. There were no changes to the portfolio in the fiscal year.

III. Market Commentary:

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the Russell 1000 Index, returning 22.61% versus the index return of 22.33%.

V. Fund Attribution:

The Fund delivered strong performance, with the LIBOR Plus portfolio and an allocation to Consumer Staples as major contributors. On the Technology side, many software and hardware names that did well in the early part of 2009 had a reversal during the subsequent rally and continued to lag in 2010. In general, the Fund’s managers hold higher-quality names and thus did not participate in the bounce experienced by many stocks that were priced for bankruptcy. Positioning in Financials also detracted from performance. The sudden rebound in real estate caught managers short-handed, as many had instead been focusing on the less risky industry of diversified financials, where companies were more insulated from the recent credit crisis. On the bright side, strong stock selection in the Healthcare sector boosted returns, especially once investors came back to the sector after decisions were finalized surrounding potential government regulation. In addition, the Fund benefited from an underweight to the Energy sector, which had come down in valuation over the past year.

Large Cap Diversified Alpha Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized Inception to Date
Large Cap Diversified Alpha Fund, Class A	22.61%	(11.18)%	(3.61)%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, versus the Russell 1000 Index

LOGO

For the period ended May 31, 2010. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Large Cap Disciplined Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilized the following sub-advisers as of May 31, 2010: Quantitative Management Associates, LLC, Analytic Investors, Inc., INTECH Investment Management, LLC, Massachusetts Financial Services Company and Lazard Asset Management LLC. For the one-year period ending May 31,2010, Lazard Asset Management LLC was added to the Fund.

III. Market Commentary:

The U.S. equity market, as measured by the Russell 1000 Index, gained 22.33% during the fiscal year ending May 31, 2010. After a historic fall in 2008, equity markets staged a strong rebound in 2009 off the heels of unprecedented global intervention by governments and central banks. Stocks and sectors that suffered the steepest declines in the year prior drove market returns in 2009. More specifically, smaller-cap and lower-quality names, most of which were assumed to be insolvent, posted significant gains.

For the fiscal year, value stocks outperformed their growth counterparts in the large-cap universe. All ten Global Industry Classification Standard (GICS) sectors posted positive performance during the period. A renewed confidence in economic recovery revived investors’ willingness for risk taking. The Consumer Discretionary sector was the best-performing sector, up 44%, followed by Industrials and Information Technology. Conversely, more defensive sectors, which performed well during the year before, lagged the broad market. Telecommunications, Healthcare and Materials names failed to keep pace with the market, as investors sought higher returns in riskier assets. Energy shares were a surprise during the fiscal year. Widely thought of as a cyclical sector, Energy was the worst-performing sector during the period. Exxon Mobil and Chevron, both significant constituents of the sector, trailed the benchmark. From a factor perspective, small size and expected growth were the best-performing factors. Momentum factors for both earnings and prices were negative.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the S&P 500 Index, returning 22.32% versus the index return of 20.99%.

V. Fund Attribution:

After a difficult time for quantitative managers, the tide turned during the past year for all but the factor rotation manager. The latter manager had a difficult time during the choppy markets, as its process relies on a trending market with a clear direction to add value. A decrease in the Chicago Board Options Exchange Volatility Index (VIX), a measure of implied volatility in S&P 500 Index options that is also known as the “fear index,” benefited the volatility capture manager for most of the period, as did the out-performance of smaller stocks, which the manager is typically biased towards. Investors began rewarding value factors once more—a boon to the traditional quantitative managers in the Fund—although this was dampened by the headwind from lower-quality names (usually underweighted by quantitative managers) outperforming during the market rally. The Fund’s hybrid manager did especially well, namely due to holdings in the Consumer Discretionary sector. The Libor Plus portfolio added significant alpha to the Fund as well, as credit spreads have continued to narrow.

Large Cap Disciplined Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized Inception to Date
Large Cap Disciplined Equity Fund, Class A	22.32%	(11.90)%	(1.64)%	2.08%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Disciplined Equity Fund, versus the S&P 500 Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 8/28/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Large Cap Index Fund (the “Fund”) seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the Russell 1000 Index.

II. Manager Approach Statement:

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). Currently, the sub-advisor is State Street Global Advisors. There were no manager changes during the period.

III. Market Commentary:

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the Russell 1000 Index, returning 22.34% versus the benchmark return of 22.33%.

V. Fund Attribution:

Incremental excess return was generated due to cash flows. As an index fund, performance is designed to track that of the index.

Large Cap Index Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized Inception to Date
Large Cap Index Fund, Class A	22.34%	(8.40)%	0.64%	1.77%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Index Fund, versus the Russell 1000 Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 4/1/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2010: AQR Capital Management, LLC, Artisan Partners Limited Partnership, Janus Capital Management, Inc., Lee Munder Capital Group LLC, Los Angeles Capital Management & Equity Research, Inc., LSV Asset Management, Oppenheimer Capital, LC, Robeco Investment Management, Inc., Security Capital Research and Management, Inc. and Wellington Management Company, LLP.

For the fiscal year ended May 31, 2010, BlackRock Capital Management, Inc., McKinley Capital Management, Inc., Neuberger Berman Management, LLC, PanAgora Asset Management, Inc and Martingale Asset Management, L.P. were removed from the Fund. AQR Capital Management, LLC was added during the period.

III. Market Commentary:

The U.S. small-cap equity market, as measured by the Russell 2000 Index, gained over 33% during the fiscal year ended May 31, 2010. After small-cap stocks lost nearly half of their value in 2008 and early 2009, U.S. Small Cap stocks turned decisively positive in March 2009 as the extreme fear over the state of the U.S. and world financial systems subsided. An extended rally followed as investors discounted government intervention and became hopeful of an economic recovery, albeit a moderate one. From a factor perspective, price and earnings momentum performed very poorly for the fiscal year. Value, small market cap and low price were the best factors as the companies investors believed to be the most likely bankruptcy candidates during the downturn tended to lead the market during the rebound.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the Russell 2000 Index, returning 35.32% versus the index return of 33.62%.

V. Fund Attribution:

The majority of out-performance occurred in the third quarter of 2009, as the initial rally from the March 2009 low extended, and an underweight to the lagging banking industry added to performance. The Fund posted solid performance on a relative basis, principally due to stock selection within the Financials sector, particularly the real estate investment trust (REIT) industry. Strong stock selection in the Industrials sector contributed meaningfully as well. The core quantitative managers outperformed for the period, as factor returns began to trend and value factors saw positive returns. The value managers also contributed to performance, with a majority of them outperforming the Russell 2000 Value Index.

Small Cap Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized 10 Year Return	Annualized Inception to Date
Small Cap Fund, Class A	35.32%	(8.39)%	1.93%	4.54%	6.66%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, versus the Russell 2000 Index

LOGO

I. Objective:

The Small/Mid Cap Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2010: Integrity Asset Management, LLC, Janus Capital Management, Inc., Lee Munder Capital Group LLC, Los Angeles Capital Management & Equity Research, Inc., LSV Asset Management, PanAgora Asset Management, Inc., Security Capital Research and Management, Inc., Wellington Management Company, LLP and Wells Capital Management, Inc.

For the fiscal year ended May 31, 2010, BlackRock Capital Management, Inc. and Martingale Asset Management, L.P. were removed from the Fund. Wellington’s Small Cap Growth product was added during the period.

III. Market Commentary:

The U.S. small/mid cap equity market, as measured by the Russell 2500 Index, gained over 35% during the fiscal year ended May 31, 2010. After small- and mid-cap stocks lost nearly half of their value in 2008 and early 2009, these markets turned decisively positive in March 2009 as the extreme fear over the state of the U.S. and world financial systems subsided. An extended rally followed as investors discounted government intervention and became hopeful of an economic recovery, albeit a moderate one. From a factor perspective, price and earnings momentum performed very poorly for the fiscal year. Value, small market cap and low price were the best factors as the companies investors believed to be the most likely bankruptcy candidates during the downturn tended to lead the market during the rebound.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the Russell 2500 Index, returning 35.79% versus the index return of 35.07%.

V. Fund Attribution:

The majority of out-performance occurred in the third quarter of 2009 as markets continued to rally off of March lows. The Fund posted solid performance on a relative basis, largely due to stock selection within the Financials sector, particularly the REIT industry. Strong stock selection in the Materials sector was also beneficial. From a style perspective, the Fund’s value managers contributed to performance, with each outperforming the Russell 2000 Value Index, and Wells Capital, added in 2008, contributed to performance as the best-performing growth manager over the period.

Small/Mid Cap Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized Inception to Date
Small/Mid Cap Equity Fund, Class A	35.79%	(7.99)%	2.17%	4.78%

Comparison of Change in the Value of a $100,000 Investment in the Small Mid Cap Equity Fund, versus the Russell 2500 Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 12/15/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The U.S. Managed Volatility Fund (the “Fund”) seeks to provide capital appreciation with less volatility than the broad U.S. equity markets.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of Sub-Advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SIMC. The Fund utilized the following sub-advisors as of May 31, 2010: Aronson + Johnson + Ortiz, LP and Analytic Investors LLC. No manager changes were made during the period.

III. Market Commentary:

Economic recovery and excess liquidity prompted a sharp market rebound. Cyclical sectors, which previously experienced the heaviest declines, led the rally. Consumer Discretionary and Industrials posted the best returns, with the defensive Utilities and Telecommunications sectors lagging the broader market.

Companies that seemed to have a questionable chance for survival in 2008 were rewarded the most. These stocks generally had high levels of debt and a high beta, or more sensitivity to the movements in the broader market. High-beta names outperformed the low-beta ones overall.

May 2010 saw an increase in risk aversion compared to the last 12 months. Concerns over Southern European sovereign debt, an overheating Chinese property market and possibly the economy, as well as consequences of BP’s oil spill for the entire industry caused investors to seek refuge in the safer Consumer Staples, Telecommunications and Utilities sectors.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund underperformed the Russell 3000 Index, returning 21.12% versus the index return of 23.20%.

V. Fund Attribution:

The Fund’s underperformance was primarily driven by its defensive stance, which is required to achieve the primary objective of lowering volatility and providing downside protection to investors. In fact, the volatility reduction goal was comfortably achieved. For the fiscal year ended May 31, 2010, the Fund realized an annualized standard deviation of 14% (daily frequency) as compared to the benchmark’s results of 19%.

To achieve its intended low risk profile, the managers target lower-beta, lower-risk names with stable earnings streams and lower leverage ratios. In the early stages of market recovery, such positioning prevented the Fund from fully participating in the rally. As low-beta stocks lagged their high-beta counterparts by over 18%, this has had a major negative allocation effect. After adjusting for the beta positioning, stock selection was strong. From a more traditional sector perspective, the Fund’s overweight to the defensive Consumer Staples, Utilities, and Healthcare sectors detracted significantly.

U.S. Managed Volatility Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized Inception to Date
U.S. Managed Volatility Fund	21.12%	11.08%

Comparison of Change in the Value of a $100,000 Investment in the US Managed Volatility Fund, versus the Russell 3000 Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 12/31/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The International Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2010: Acadian Asset Management, LLC, AXA Rosenberg Investment Management, LLC, Declaration Management and Research, LLC, INTECH Investment Management, LLC, Neuberger Berman Management, LLC, Quantitative Management Associates, LLC, and Schroder Investment Management North America, Inc.

For the fiscal year ended May 31, 2010, Neuberger Berman Management and Schroder Investment Management were added to the Fund; McKinley Capital Management, Principal Global Investors, and Wellington Management Company were terminated.

III. Market Commentary:

Global equity markets continued their tumble from 2008 well into the first quarter of 2009. However, hopeful signs emerged in March 2009 as global stimulus efforts began to take effect. Investors started to feel more confident about a global economic recovery and their appetite for risk returned, fueling a strong rally through the end of the year. Starting in March, stocks that had suffered the most during the credit crisis led the rally. This was reflected in the leadership by the cheapest stocks, particularly as measured by prices relative to book values (assets minus liabilities). Companies that had the highest levels of debt also outperformed the index. In the third quarter, earnings releases for many companies were better than expected, pushing prices higher. However, as the rally matured, investors began to favor companies with higher-quality balance sheets and opportunities to gain market share. In the first five months of 2010, global equity markets were down overall as macroeconomic events, which included the European sovereign debt crisis, a slowdown in Chinese growth, and the oil spill in the Gulf of Mexico, took center stage.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the MSCI EAFE Index, returning 6.68% versus the index return of 6.38%.

V. Fund Attribution:

The Fund outperformed the benchmark, driven primarily by positive stock selection by the sub-advisors; however, allocation also contributed to performance. From a regional perspective, in addition to positive stock selection, the Fund’s underweight allocation to Europe ex-UK was beneficial as the region struggled with mounting

sovereign debt issues and fears of contagion. On the other hand, the Fund’s underweight allocation and stock selection in Pacific ex-Japan detracted from performance. Australia, the largest constituent in Pacific ex-Japan, was one of the hottest markets during the period and the Fund’s underweight allocation detracted. From a sector perspective, performance was diverse, favoring neither cyclical nor defensive sectors. Consumer Discretionary stocks performed the best, with automobile companies dominating positive performance. Industrial and Health Care detracted due to weak stock selection for the time period.

International Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹

One Year
Return

Annualized
3 Year

Return

Annualized
5 Year
Return

Annualized
10 Year
Return

Annualized
Inception
to Date

International Equity Fund, Class A

6.68%

(17.51)%

(1.24)%

(1.19)%

2.35%

Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, versus the Morgan Stanley MSCI EAFE Index

LOGO

I. Objective:

The objective of the World Equity Ex-US Fund (the “Fund”) is to provide capital appreciation.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisors as of May 31, 2010: Acadian Asset Management, Inc., Artisan Partners Limited Partnership, Declaration Management & Research LLC, McKinley Capital Management, LLC, NFJ Investment Group LLC, Principal Global Investors, LLC, Quantitative Management Associates, LLC and Thornburg Investment Management LLC.

For the fiscal year ended May 31, 2010, NFJ Investment Group LLC and Thornburg Investment Management LLC were added to the Fund; Wellington Management Company, LLC, AXA Rosenberg Investment Management, LLC, INTECH Investment Management, LLC and Rexiter Capital Management Limited were terminated.

III. Market Commentary:

In the first five months of 2010, global equity markets were down overall as macroeconomic events, which included the European sovereign debt crisis, a slowdown in Chinese growth and the oil spill in the Gulf of Mexico, took center stage. For the time period, emerging markets outperformed developed markets and sector performance was mixed.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the MSCI All Country World Ex-U.S. Index, returning 10.74% versus the index return of 10.63%.

V. Fund Attribution:

The Fund outperformed the benchmark, driven primarily by positive stock selection by the sub-advisors; however, allocation also contributed to performance. From a regional perspective, emerging markets outperformed developed markets, so the Fund’s overweight allocation to emerging markets benefitted performance. Brazilian and Mexican stocks were especially strong. The Fund’s underweight allocation to Europe Ex-U.K. was beneficial, as the region struggled with mounting sovereign debt issues and fears of contagion. On the other hand, the Fund’s underweight allocation and stock selection in Pacific Ex-Japan detracted from performance. Australia, the largest constituent in Pacific Ex-Japan, was one of the hottest performers among the developed markets, and the Fund’s underweight positioning detracted from performance.

From a sector perspective, performance was diverse, favoring neither cyclical nor defensive sectors. Consumer Discretionary stocks performed the best, with automobile companies dominating positive performance. Telecommunication Services was the largest detractor with wireless services stocks down the most.

World Equity Ex-US Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized Inception to Date
World Equity Ex-US Fund, Class A	10.74%	(14.24)%	1.88%	1.44%

Comparison of Change in the Value of a $100,000 Investment in the World Ex-US Equity Fund, versus the MSCI All Country World Ex-US Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 3/28/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Screened World Equity Ex-US Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2010: Acadian Asset Management LLC, McKinley Capital Management, LLC, Principal Global Investors, LLC, Quantitative Management Associates, LLC, and Thornburg Investment Management LLC.

For the fiscal year ended May 31, 2010, Acadian Asset Management and Thornburg Investment Management LLC were added to the Fund; AXA Rosenberg Investment Management, LLC was terminated.

III. Market Commentary:

Global equity markets continued their tumble from 2008 well into the first quarter of 2009. However, hopeful signs emerged in March 2009 as global stimulus efforts began to take effect. Investors started to feel more confident about a global economic recovery and their appetite for risk returned, fueling a strong rally through the end of the year. Starting in March, stocks that had suffered the most during the credit crisis led the rally. This was reflected by the leadership of the cheapest stocks, particularly as measured by prices relative to book values (assets minus liabilities). Companies that had the highest levels of debt also outperformed the index. In the third quarter, earnings releases for many companies were better than expected, pushing prices higher. However, as the rally matured, investors began to favor companies with higher-quality balance sheets and opportunities to gain market share.

In the first five months of 2010, global equity markets were down overall as macroeconomic events, which included the European sovereign debt crisis, a slowdown in Chinese growth, and the oil spill in the Gulf of Mexico, took center stage. For the time period, emerging markets outperformed developed markets and sector performance was diverse.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the MSCI All Country World Ex-U.S. Index, returning 11.00% versus the index return of 10.63%.

V. Fund Attribution:

The Fund outperformed the benchmark, driven primarily by positive stock selection by the sub-advisors; however, allocation was slightly beneficial. From a regional perspective, stock selection was especially strong in Europe Ex-U.K. despite the region’s sovereign debt crisis. Stock selection in emerging markets was also positive, with Latin American stocks posting the largest returns. On the other hand, the Fund’s underweight allocation and stock selection in Pacific Ex-Japan detracted from performance. Australia, the largest constituent in Pacific Ex-Japan, was one of the hottest performers among the developed markets, and the Fund’s underweight positioning and stock selection detracted. From a sector perspective, performance was diverse across cyclical and defensive sectors. Industrials, Information Technology and Energy were the best performers, while Telecommunication Services and Materials lagged the index the most.

Screened World Equity Ex-US Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized Inception to Date
Screened World Equity Ex-US Fund, Class A	11.00%	(15.74)%

Comparison of Change in the Value of a $100,000 Investment in the Screened World Ex-US Equity Fund, versus the MSCI All Country World Ex-US Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 6/30/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Enhanced LIBOR Opportunities Fund (the “Fund”) seeks to provide capital appreciation and income.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilizes the following sub-advisors as of May 31, 2010: Declaration Management & Research LLC, UBS Global Asset Management (Americas), Inc., Wellington Management Company, LLP and Ares Management LLC. No changes were made to the Fund during the period.

III. Market Commentary:

Fixed-income market conditions for the fiscal year ended May 31, 2010 reflected a dramatic recovery from the crisis conditions of 2008, including the bankruptcy of Lehman Brothers. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors in the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability, which included the Term Asset-Backed Securities Lending Facility (TALF), the Public-Private Investment Program (PPIP) and a $1.25 trillion purchase program of agency mortgage-backed securities (MBS) by the U.S. Federal Reserve (Fed). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP programs helped drive strong performance in the non-agency MBS market, including commercial MBS, and the asset-backed securities market. The corporate bond market was supported by stabilizing economic conditions, lower default rates and improved market liquidity. The senior bank loan market also saw stellar returns, as fundamental credit conditions continued to improve and the technical environment remained supportive of higher loan prices, with demand outpacing supply. The strong market recovery was interrupted in the spring of 2010, as the European sovereign credit crisis triggered a modest flight to quality that served to bring Treasury yields back to the lower end of their trading range. Despite the more recent caution displayed by market participants, the rallies in the non-Treasury sectors provided very strong performance for the fixed income markets for the twelve-month period.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the Bank of America (“BofA”) Merrill Lynch 3-Month London Interbank Offered Rate (LIBOR) Constant Maturity Index, returning 12.66% versus the index return of 0.39%.

V. Fund Attribution:

During the fiscal year ended May 31, 2010, the Fund’s large allocation to non-Treasury sectors outperformed—particularly the portfolio’s allocations to non-agency mortgage-backed securities, commercial mortgage-backed securities and senior bank loans.

Enhanced LIBOR Opportunities Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized Inception to Date
Enhanced LIBOR Opportunities Fund, Class A	12.66%	(6.21)%	(4.59)%

Comparison of Change in the Value of a $100,000 Investment in the Enhanced LIBOR Opportunities Fund, versus the BofA Merrill Lynch 3-Month LIBOR Constant-Maturity Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilized the following sub-advisors as of May 31, 2010: Trust Company of the West (formerly Metropolitan West Asset Management), J.P. Morgan Investment Management, Inc., Western Asset Management Company, Wells Capital Management, Inc. and Jennison Associates LLC. During the fiscal year ended May 31, 2010, Jennison Associates LLC was added to the Fund.

III. Market Commentary:

Fixed-income market conditions for the fiscal year ended May 31, 2010 reflected a dramatic recovery from the crisis conditions of 2008 and the post-Lehman bankruptcy. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors of the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability. These programs included the Term Asset-Backed Securities Loan Facility (TALF), the Public-Private Investment Program (PPIP) and a $1.25 trillion purchase program of agency mortgage-backed securities (MBS) by the U.S. Federal Reserve (Fed). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP programs helped drive strong performance in the non-agency MBS market (including commercial MBS) and the asset-backed securities market. The corporate market was supported by stabilizing economic conditions, lower default rates and improved market liquidity. The strong market recovery was interrupted in the spring of 2010, as the European sovereign credit crisis triggered a modest flight to quality that served to bring Treasury yields back to the lower end of their trading range. Despite this more recent market caution, the rallies in the non-Treasury sectors provided very strong performance for fixed-income markets during the twelve-month period.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the Barclays Capital U.S. Aggregate Bond Index, returning 15.34% versus the index return of 8.42%.

V. Fund Attribution:

The Fund’s overweight positions in corporate bonds, non-agency MBS and commercial MBS were the key drivers of performance. In addition, the Fund entered the year with a positive bias towards agency MBS due to the Federal Reserve’s purchase program, but as

prices relative to Treasuries continued to climb, managers moved to an increasingly underweight position. As the Fed discontinued these purchases, prices relative to Treasuries weakened modestly, and the Fund gradually added exposure toward the end of the measurement period. Duration exposure did not have a meaningful impact on performance, as managers chose to utilize their risk budgets on securities within the non-Treasury sectors.

Specifically, an overweight to corporate bonds, especially those issued by large-cap financial firms, generated significant out-performance relative to Treasuries. The steep yield curve combined with improved access to the capital markets allowed the largest of the U.S. banking institutions to repair their balance sheets and return to profitability throughout the year. Non-agency mortgages recovered dramatically as the forced selling resulting from ratings downgrades and the unwinding of large levered positions abated. The announcement and implementation of PPIP and TALF during the year restored confidence in the market, thereby allowing private capital to flow back into the securitized markets. Finally, the Fund’s overweight to commercial MBS contributed to performance, as these securities posted the largest out-performance versus Treasuries of any sector within the Barclays Capital U.S. Aggregate Bond Index.

Core Fixed Income Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized 10 Year Return	Annualized Inception to Date
Core Fixed Income Fund, Class A	15.34%	7.28%	5.70%	6.73%	6.67%

Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, versus the Barclays Capital U.S. Aggregate Bond Index

LOGO

I. Objective:

The High Yield Bond Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilizes the following sub-advisers as of May 31, 2010: Ares Management, LLC, Brigade Capital Management, LLC, Delaware Management Company, Guggenheim Partners, LLC, J.P. Morgan Investment Management, Inc., and SEI Structured Credit. During the one-year period ended May 31, 2010, the Fund did not make any manager changes.

III. Market Commentary:

For the fiscal year ended May 31, 2010, the high-yield market, as measured by the Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index, returned 29.91%. Credit quality spreads tightened 473 basis points (bps) to finish the period at 698 bps, down significantly from the peak of 2,168 basis points reached in December 2008. The Moody’s U.S. issuer-default rate fell from 10.86% to 7.91% over the fiscal year, after peaking at an all-time high of 14.51% in November 2009. Default rates are projected to continue their descent to 2.7% by the end of 2010. The significant amount of new issuance over the past 12 months, particularly for refinancing purposes, has improved the creditworthiness of many high-yield companies. Also putting downward pressure on the default rate is the fact that a large number of defaults occurred in the first half of 2009, therefore moving out of the 12-month window. Issuance in the primary market has been extremely robust over the period, with $247.5 billion coming to market, the second largest 12-month stretch on record (12 months ended April 30, 2010 saw the highest volume). The technical condition of the market was positive, as high-yield mutual funds saw $18.1 billion of inflows during the period, although May 2010 was a weak month due to European sovereign debt concerns; $3.5 billion exited funds, which reversed most of the YTD inflows. For the fiscal year, an increase in investor risk appetites and improved market

liquidity led to strong returns across all quality segments, but lower- quality credits outperformed, with CCCs up 60.72%, followed by Bs up 23.21%, and BBs up 23.15%.

The best-performing sectors were the higher-beta segments of the market, such as the Financial-related and Technology sectors. Insurance, Real Estate, Financial Services and Banking all outperformed the market, with the first three mentioned generating returns greater than twice the index gain. AIG, which has subsidiaries that operate in the Insurance and Financial Services sectors, had the largest impact on returns, while Realogy and iStar Financial boosted the performance in the Real Estate space. AIG was up on optimism about the insurer’s success in raising capital by selling off business units. AIG was scheduled to sell its Asian Life Unit to Prudential for $35.5B (Prudential pulled out of this deal in June, 2010), and to sell American Life Insurance Company (Alico) to MetLife for $15.5B, as they work to repay TARP money to the U.S. government. Technology companies did well over the year also, as investors moved into these high-growth companies as confidence in the economic recovery increased. Semiconductor firms were particularly strong, as many of these firms cut staff in 2008/2009, which has resulted in better earnings as chip sales for personal computers and cell phones, the biggest market drivers, are projected to grow in the low-to-mid-teens in 2010.

The Utilities and Telecommunications sectors lagged the overall high-yield market over the year, producing the lowest total returns among the sectors in the index. These sectors are both considered to be more defensive in nature and thus would be expected to under-perform in an environment where high-risk securities rally sharply. More specifically, electric generation companies within the Utilities sector were negatively impacted by numerous issues. Weak demand for power and natural gas hurt this sector, as well as unimpressive earnings results that reflected a poor operating environment and bleak future outlook for the sector. Uncertainty surrounding future environmental regulations and commodity prices remains. Within telecom, wireless companies have suffered from increased competition within the industry, which has created both pricing pressures and subscriber losses, two factors that have led to weaker earnings across many companies in the sector.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the Bank of America (“BofA”) Merrill Lynch U.S. High Yield Master II Constrained Index, returning 37.60% versus the index return of 29.91%.

V. Fund Attribution:

The Fund’s allocation to CLOs and other structured investments outperformed the high-yield market, enhancing relative performance. The fundamental picture of the CLO marketplace has improved drastically due to the continued upturn in the high-yield loan and bond markets, the slowing pace of defaults/downgrades, and the ability of borrowers to successfully amend their credit agreements. Additionally, the technical picture has been a large driver of the rally, with the prospects for new issuance dim and a significant amount of money on the sidelines waiting to invest.

Another contributor to out-performance was the Fund’s underweight to and strong security selection within the Energy sector. An underweight to gas distribution companies’ debt boosted returns, since these firms were negatively impacted by low natural gas prices and a poor outlook for the industry. Security selection was strong within the integrated energy industry due to an overweight to ethanol producer Aventine Renewable Energy. Aventine emerged from Chapter 11 bankruptcy during the year and has also benefited from rumors that the EPA will boost the limit for blending ethanol with gasoline from 10% to 12-15%, which would increase demand for ethanol.

Security selection in the Media and Insurance sectors detracted from performance during the period. Poor security selection in the Media sector was largely impacted by an underweight to Clear Channel Communications, as the broadcasting company’s bonds benefited from improving financial results, the successful execution of several exchange offers for existing debt, and several new issues. These actions were taken to address immediate liquidity concerns and they dramatically improved the financial health of the company. Within the Insurance sector, an underweight to AIG hampered returns, as the company’s bonds rallied after it was able to raise a substantial amount of capital through both the new-issue market and asset sales, as mentioned above in the Market Commentary section.

I. Objective:

The Long Duration Fund (the “Fund”) seeks to provide return characteristics similar to those of high-quality corporate bonds with a duration range of 9 to 14 years.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilizes the following sub-advisors as of May 31, 2010: Trust Company of the West (formerly Metropolitan West Asset Management LLC), Jennison Associates LLC and Income Research & Management. For the fiscal year ended May 31, 2010, Jennison Associates LLC and Income Research & Management were added to the Fund.

III. Market Commentary:

Fixed-income market conditions for the fiscal year ended May 31, 2010 reflected a dramatic recovery from the crisis conditions of 2008, including the bankruptcy of Lehman Brothers. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors in the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability, which included the Term Asset-Backed Securities Lending Facility (TALF), the Public-Private Investment Program (PPIP) and a $1.25 trillion purchase program of agency mortgage-backed securities (MBS) by the U.S. Federal Reserve (Fed). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP programs helped drive strong performance in the non-agency MBS market, including commercial MBS, and the asset-backed securities market. The corporate bond market was supported by stabilizing economic conditions, lower default rates and improved market liquidity. The strong market recovery was interrupted in the spring of 2010, as the European sovereign credit crisis triggered a modest flight to quality that served to bring Treasury yields back to the lower end of their trading range. Despite this more recent market caution, the rallies in the non-Treasury sectors provided very strong performance for the fixed-income markets for the one-year period.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the SIIT Long Duration Fund returned 18.11% compared to 15.11% for its benchmark, the Barclays Long U.S. Government/Credit Index.

V. Fund Attribution:

The Fund’s out-performance came from its overweight exposure to the corporate bond sector. The corporate overweight was focused on the Financials sector, which led the strong rally in the corporate market. The modest drop in intermediate- and longer-term Treasury yields served to support the very strong absolute return of the Fund.

Long Duration Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized Inception to Date
Long Duration Fund, Class A	18.11%	2.72%	1.85%	3.60%

Comparison of Change in the Value of a $100,000 Investment in the Long Duration Fund, versus the Barclays Long US Government/Credit Index², the Barclays 15 Year Bellwether Swap Index², 60/40 Blend of the Barclays Long Credit Index & Barclays Long Government Index, the Barclays Long US Credit Index, and the Barclays Long US Government Index

LOGO

For the period ended May 31, 2010. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

This table compares the Fund’s average annual total returns for Class A Shares to those of the Barclays Long U.S. Government/Credit Index. In prior years, the Fund’s return had been compared to the Barclays 15 Year Bellwether Swap Index. The Fund’s adviser believes that the Barclays Long U.S. Government/Credit Index better represents the Fund’s investment opportunities.

I. Objective:

The Emerging Markets Debt Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilized the following sub-advisors as of May 31, 2010: Ashmore Investment Management Limited, ING Investment Management Advisors, B.V. and Stone Harbor Investment Partners L.P. For the fiscal year ended May 31, 2010, no sub-advisor changes were made in the Fund.

III. Market Commentary:

The credit crisis abated and risk appetite amongst investors returned very quickly, which led to emerging markets debt posting its strongest annual performance since 1996. The market returned 29% in 2009 and carried the momentum into 2010 with a 3.55% return through the end of May. Spreads began the fiscal year at 478 basis points and tightened by as much as 222 basis points over U.S. Treasuries before widening in April and May to 338 basis points on broader risk aversion emanating from the Greek and eurozone sovereign debt crisis.

The fundamentals of emerging-markets debt remain strong and are supported by various factors. Stable and rising commodity prices, rising foreign currency reserves, declining debt levels and less political turbulence all contribute to a favorable outlook for the asset class. These factors have contributed to a substantial increase in credit-rating upgrades, with only a handful of downgrades during the last 12 months. Positive surprises to economic growth across the broader emerging markets universe have been supportive, while election results and unorthodox policy changes (which have rattled emerging markets in the past) have been conducted in more democratic ways with less violence and protest.

In addition to solid fundamentals, technical factors greatly contributed to performance for the period. The ability of emerging markets to weather the credit crisis of 2008 better than other spread sectors caught the attention of both new and existing investors. As a result, inflows into the asset class amounted to $54 billion for the period. Inflows are rising and becoming increasingly diversified, especially with more instrument selection coming from the growing local and corporate sectors of the market. As investors poured historically high amounts of money into emerging-markets debt, emerging-market issuers took advantage of lower financing rates and issued record amounts of bonds to meet the rising demand for emerging-market debt assets. In 2009 alone, emerging-market issuers raised $210 billion via new external debt issuance and have sold $105 billion through the first five months of 2010. With another $90 billion still in the pipeline for the remainder of the year, technicals are still expected to remain a key driver of performance going forward. The proceeds of these sales will be used for deficit funding, refinancing and infrastructure & development projects.

Central banks and local governments have done their part to improve confidence amongst investors and market participants. Fiscal policy continues to improve, and although monetary policy has been accommodative and successful in implementing counter-cyclical measures during the last 12 months, policymakers will be challenged going forward as inflationary pressures, stimulus unwinding, financial reforms and the fiscal crisis in Europe pose potential risks that could hinder growth. The outlook for emerging markets is positive, and fundamentals have not yet been threatened by any potential risks. Emerging countries are expected to grow approximately 6.2% in 2010, while the developed world is expected to grow by less than 3%. Problems in Europe and the rest of the developed world should only benefit the asset class as investors look for alternative opportunities.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund outperformed the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, returning 24.93% versus the index return of 17.85%.

V. Fund Attribution:

Security selection in Argentina contributed to positive relative performance for the period. The country had been plagued by political problems and fiscal concerns prior to and during the credit crisis that nearly led to a default. Fortunately, rising commodity prices led to strong export revenues, and the country’s endless commitment to comforting creditors and servicing debt was fulfilled via multiple debt swaps and an eventual decision to proceed with what the country hopes to be the final restructuring of past defaulted debt. Markets reacted favorably to the news and Argentina finished the period returning 69%, one of the top-performing countries in emerging-markets debt universe. An overweight to Russia added to out-performance, as rising oil prices helped support a country with one of the worst primary fiscal balances in emerging markets. Additionally, the government increased support to the struggling banking sector while inflation continued to slow, allowing rate cuts to follow and help revive the economy. Russia is better positioned to service its debt than its emerging-markets peers, and its rising level of foreign currency reserves has improved its financial flexibility. Allocations to local currency debt in Brazil also added to relative performance, as the country was marginally impacted by the credit crisis. The country’s diversified export base benefited from rising commodities, foreign currency reserves continued to rise, and loan growth and consumption helped drive its first-quarter 2010 gross domestic product growth to an annualized rate of 11.25%, one of the highest in the world.

The Fund’s underweight in Belize detracted from relative performance, as bonds returned 100% for the period. Belize makes up a very small portion of the index and generates most of its growth from agriculture and tourism. The country is a low-quality credit and rallied with other risky assets. An underweight in Ghana also detracted from performance. Similar to Belize, Ghana is a lower-quality country and also one of the smallest countries in the index. The country carries a higher beta than the index and outperformed the market on improved sentiment and a rally in commodity prices. Fund managers chose not to allocate to Belize or Ghana because the risk/reward opportunities were more attractive in more fiscally sound countries.

I. Objective:

The Real Return Fund (the “Fund”) seeks to provide total return exceeding the rate of inflation.

II. Multi-Manager Approach Statement:

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). Currently, the sub-advisor is Wellington Management Company, LLC. There were no manager changes during the period.

III. Market Commentary:

Fixed-income market conditions for the fiscal year ended May 31, 2010 reflected a dramatic recovery from the crisis conditions of 2008, including the bankruptcy of Lehman Brothers. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors in the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability, which included the Term Asset-Backed Securities Lending Facility (TALF), the Public-Private Investment Program (PPIP) and a $1.25 trillion purchase program of agency mortgage-backed securities (MBS) by the U.S. Federal Reserve (Fed). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP programs helped drive strong performance in the non-agency MBS market, including commercial MBS, and the asset-backed securities market. These actions helped stabilize economic conditions, which in turn supported the Treasury Inflation-Protected Securities (TIPS) market, as there were higher inflation expectations among investors and improved market liquidity. The strong market recovery was interrupted in the spring of 2010, as the European sovereign credit crisis triggered a modest flight to quality that served to bring Treasury yields back to the lower end of their trading range. Despite the more recent caution displayed by market participants, the rally in TIPS provided strong performance for the for the twelve month period.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2010, the Fund returned 5.70% compared to 5.63% for its benchmark. The Fund’s adviser believes the Barclays 1-5 Year U.S. TIPS Index better represents the Fund’s investment opportunities.

V. Fund Attribution:

The Fund’s out-performance was a result of its tactical and timely allocation to nominal Treasuries. As Treasuries were the main beneficiaries of the recent flight to quality, this allocation helped the Fund outperform its benchmark. In addition, the modest drop in TIPS yields served to support the absolute return of the Fund.

Real Return Fund

AVERAGE ANNUAL TOTAL RETURN¹

One Year
Return

Annualized
3 Year
Return

Annualized
Inception

to Date

Real Return Fund, Class A

5.70%

6.14%

5.99%

Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, versus the Barclays 1-5 Year US TIPS Index², and the Barclays 1-10 Year US TIPS Index²

LOGO

As of July 1, 2009, the Real Return Fund changed its benchmark from the Barclays Capital 1-10 Year U.S. TIPS Index to the Barclays Capital 1-5 Year U.S. TIPS Index.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 95.2%

Consumer Discretionary — 11.4%
Amazon.com*	0.9	%	83,899	$	10,526
Comcast, Cl A	0.5		340,900		6,167
DIRECTV, Cl A*	0.5		175,401		6,611
Lowe’s	0.5		267,523		6,621
NIKE, Cl B (A)	0.6		102,550		7,423
Time Warner	0.6		254,140		7,876
Other Securities	7.8				94,721

					139,945


Consumer Staples — 8.6%
Coca-Cola	0.7		165,661		8,515
PepsiCo	0.9		173,822		10,932
Procter & Gamble	1.8		360,398		22,017
Other Securities	5.2				63,800

					105,264


Energy — 9.1%
Chevron	1.4		239,596		17,699
ConocoPhillips	1.0		227,871		11,817
EOG Resources (A)	0.5		55,600		5,829
Exxon Mobil	2.0		414,201		25,043
Other Securities	4.2				51,421

					111,809


Financials — 15.3%
American Express	0.8		235,300		9,381
Bank of America	1.5		1,168,802		18,397
Citigroup*	0.8		2,492,800		9,871
Goldman Sachs Group	0.9		73,409		10,590
JPMorgan Chase	1.7		539,201		21,341
Wells Fargo	1.5		619,912		17,785
Other Securities	8.1				100,855

					188,220


Health Care — 12.9%
Aetna	0.6		238,369		6,951
Allergan	1.1		221,939		13,359


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Amgen*	0.6	%	153,538	$	7,950
Genzyme*	0.6		145,650		7,086
Johnson & Johnson	1.4		294,565		17,173
Medco Health Solutions*	0.6		125,700		7,246
Medtronic	0.6		191,200		7,491
Merck	0.5		174,490		5,879
Pfizer	1.2		980,103		14,927
UnitedHealth Group	1.1		478,105		13,898
Other Securities	4.6				57,170

					159,130


Industrials — 8.7%
Expeditors International Washington	0.5		164,300		6,275
General Electric	1.3		988,703		16,165
Raytheon	0.5		113,329		5,939
United Technologies	0.7		129,319		8,713
Other Securities	5.7				69,500

					106,592


Information Technology — 20.2%
Apple*	2.5		117,753		30,281
Cisco Systems*	1.3		687,033		15,912
EMC*	0.8		569,745		10,609
Google, Cl A*	1.3		32,170		15,608
Hewlett-Packard	1.2		311,910		14,351
Intel	0.7		418,448		8,963
International Business Machines	0.6		65,157		8,162
Intuit*	0.5		177,100		6,330
Microsoft	1.6		758,430		19,568
Paychex (A)	0.5		203,200		5,799
Qualcomm	1.0		356,900		12,691
Texas Instruments	0.5		252,632		6,169
Visa, Cl A	0.9		152,701		11,065
Other Securities	6.8				83,692

					249,200


Materials — 3.1%
Other Securities	3.1				38,161


Telecommunication Services — 3.1%
AT&T	1.2		623,046		15,140
Verizon Communications	0.8		345,072		9,496
Other Securities	1.1				14,030

					38,666


Utilities — 2.8%
AES*	0.5		677,787		6,961
Other Securities	2.3				27,891

					34,852

Total Common Stock (Cost $1,106,713) ($ Thousands)					1,171,839


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 10.8%
SEI Liquidity Fund, L.P. 0.240% (B)**†	10.8	%		133,363,080	$	132,534

Total Affiliated Partnership (Cost $133,363) ($ Thousands)						132,534


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†	2.1			25,945,718		25,946

Total Cash Equivalent (Cost $25,946) ($ Thousands)						25,946


U.S. TREASURY OBLIGATION (C) (D) — 1.2%
U.S. Treasury Bill 0.134%, 06/03/10	1.2		$	14,608		14,608

Total U.S. Treasury Obligation (Cost $14,608) ($ Thousands)						14,608

Total Investments — 109.3% (Cost $1,280,630) ($ Thousands)					$	1,344,927

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 Composite Index	174	Jun-2010	$	(1,472	)
S&P Mid 400 E-Mini	87	Jun-2010		(111	)

			$	(1,583	)

For the year ended May 31, 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.

Percentages are based on Net Assets of $1,230,382 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $128,195 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $132,534 ($ Thousands).

(C)

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

(D)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,171,839	$	—	$	—	$	1,171,839
Affiliated Partnership		—		132,534		—		132,534
Cash Equivalent		25,946		—		—		25,946
U.S. Treasury Obligation		—		14,608		—		14,608

Total Investments in Securities	$	1,197,785	$	147,142	$	—	$	1,344,927


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,583	)	$	—	$	—	$	(1,583	)

Total Other Financial Instruments	$	(1,583	)	$	—	$	—	$	(1,583	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 80.5%

Consumer Discretionary — 9.3%
DIRECTV, Cl A*	0.4	%	36,600	$	1,379
Ford Motor*	0.4		114,145		1,339
Time Warner	0.9		102,435		3,174
Other Securities	7.6				26,865

					32,757


Consumer Staples — 8.0%
Coca-Cola	0.4		26,200		1,347
PepsiCo	0.5		25,115		1,579
Philip Morris International	0.8		64,834		2,861
Procter & Gamble	1.3		73,200		4,472
Sysco	0.5		63,788		1,902
Walgreen	0.7		77,364		2,479
Wal-Mart Stores	0.6		43,000		2,174
Other Securities	3.2				11,251

					28,065


Energy — 7.1%
Chevron	1.6		75,687		5,591
ConocoPhillips	1.1		76,046		3,944
Exxon Mobil	1.7		100,300		6,064
Murphy Oil	0.5		34,981		1,867
Other Securities	2.2				7,563

					25,029


Financials — 11.9%
American Express	0.6		55,598		2,217
Bank of America	0.6		137,454		2,164
Franklin Resources	0.5		16,486		1,617
Goldman Sachs Group	0.8		20,213		2,916
JPMorgan Chase	0.9		76,789		3,039
Wells Fargo	1.4		169,223		4,855
Other Securities	7.1				25,185

					41,993


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 11.2%
Allergan	0.6	%	31,900	$	1,920
AmerisourceBergen	0.4		45,238		1,415
Amgen*	0.9		61,513		3,185
Cardinal Health	0.6		54,603		1,883
Johnson & Johnson	1.4		85,190		4,967
McKesson	0.6		30,785		2,155
Medco Health Solutions*	0.5		30,900		1,781
Medtronic	0.5		40,075		1,570
Pfizer	0.4		99,595		1,517
UnitedHealth Group	0.7		85,300		2,480
WellPoint*	0.4		27,562		1,414
Other Securities	4.2				15,042

					39,329


Industrials — 7.1%
General Electric	0.6		119,100		1,947
Lockheed Martin	0.4		17,859		1,427
Other Securities	6.1				21,797

					25,171


Information Technology — 18.3%
Apple*	1.3		17,964		4,620
Cisco Systems*	0.8		115,900		2,684
Google, Cl A*	1.1		7,812		3,790
Hewlett-Packard	0.8		60,316		2,775
Intel	0.8		128,300		2,748
International Business Machines	1.8		51,446		6,444
Intuit*	0.4		36,900		1,319
Microsoft	2.0		275,427		7,106
Qualcomm	0.6		63,725		2,266
Texas Instruments	1.0		136,008		3,321
Visa, Cl A	0.6		30,400		2,203
Other Securities	7.1				25,221

					64,497


Materials — 2.7%
E.I. Du Pont de Nemours	0.4		40,355		1,460
Other Securities	2.3				8,118

					9,578


Telecommunication Services — 2.5%
AT&T	1.0		152,913		3,716
Crown Castle International*	0.4		35,000		1,296
Other Securities	1.1				3,936

					8,948


Utilities — 2.4%
AES*	0.4		146,131		1,501
Exelon	0.5		45,064		1,739
Other Securities	1.5				5,189

					8,429

Total Common Stock (Cost $266,331) ($ Thousands)					283,796


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 12.8%
SEI LIBOR Plus Portfolio†	12.8	%		6,723,909	$	44,983

Total Affiliated Partnership (Cost $58,111) ($ Thousands)						44,983


CASH EQUIVALENT — 4.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†	4.4			15,628,672		15,629

Total Cash Equivalent (Cost $15,629) ($ Thousands)						15,629


U.S. TREASURY OBLIGATIONS (A) (B) — 2.3%
U.S. Treasury Bills
0.122%, 06/03/10	2.2		$	7,698		7,698
0.326%, 02/10/11	0.1			300		299

Total U.S. Treasury Obligations (Cost $7,997) ($ Thousands)						7,997

Total Investments — 100.0% (Cost $348,068) ($ Thousands)					$	352,405

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 Composite Index	242	Jun-2010	$	(2,097	)
S&P 500 E-Mini	10	Jun-2010		(29	)

			$	(2,126	)

Percentages are based on Net Assets of $352,500 ($ Thousands)

Non-income producing security.

Rate shown is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

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.

Cl — Class

LIBOR — London Interbank Offered Rate

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	283,796	$	—	$	—	$	283,796
Affiliated Partnership		44,983		—		—		44,983
Cash Equivalent		15,629		—		—		15,629
U.S. Treasury Obligations		—		7,997		—		7,997

Total Investments in Securities	$	344,408	$	7,997	$	—	$	352,405


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(2,126	)	$	—	$	—	$	(2,126	)

Total Other Financial Instruments	$	(2,126	)	$	—	$	—	$	(2,126	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 84.2%

Consumer Discretionary — 8.2%
Ford Motor* (A)	0.6	%	3,418,609	$	40,101
Time Warner (A)	0.6		1,354,150		41,965
Viacom, Cl B	0.5		993,208		33,382
Other Securities	6.5				457,845

					573,293


Consumer Staples — 9.6%
Coca-Cola	0.7		926,633		47,629
Kimberly-Clark	0.5		585,508		35,540
PepsiCo	0.6		670,081		42,142
Philip Morris International	0.9		1,414,864		62,424
Procter & Gamble	1.2		1,373,110		83,883
Walgreen	0.5		989,061		31,690
Wal-Mart Stores	1.4		1,922,558		97,205
Other Securities	3.8				268,237

					668,750


Energy — 9.6%
Chevron	2.0		1,891,023		139,690
ConocoPhillips	1.1		1,403,847		72,804
Exxon Mobil (A)	2.8		3,251,158		196,565
Other Securities	3.7				259,191

					668,250


Financials — 13.6%
American Express	0.7		1,187,264		47,336
Bank of America	1.4		6,271,682		98,716
Franklin Resources (A)	0.5		353,978		34,722
Goldman Sachs Group	1.0		490,601		70,774
JPMorgan Chase	1.6		2,745,164		108,654
MetLife	0.4		737,986		29,881
PNC Financial Services Group	0.5		520,612		32,668
Wells Fargo	1.4		3,470,846		99,579
Other Securities	6.1				427,118

					949,448


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 10.6%
Abbott Laboratories	0.4	%	626,229	$	29,783
Amgen*	0.8		1,096,084		56,755
Johnson & Johnson	1.6		1,872,488		109,166
McKesson (A)	0.6		585,903		41,013
Medtronic	0.5		936,832		36,705
Merck	0.5		1,068,677		36,004
Pfizer	1.1		5,095,311		77,602
WellPoint*	0.7		1,005,893		51,602
Other Securities	4.4				296,491

					735,121


Industrials — 8.7%
3M	0.5		464,992		36,878
General Dynamics	0.6		599,255		40,689
General Electric	1.3		5,419,488		88,609
Lockheed Martin	0.7		583,492		46,633
United Parcel Service, Cl B	0.5		564,342		35,418
United Technologies	1.0		987,722		66,553
Other Securities	4.1				288,476

					603,256


Information Technology — 15.4%
Apple*	1.4		375,328		96,519
Cisco Systems*	0.8		2,353,994		54,518
Google, Cl A*	1.3		177,710		86,221
Hewlett-Packard	1.0		1,549,342		71,285
Intel	1.0		3,308,904		70,877
International Business Machines	1.7		938,255		117,526
Microsoft	1.9		5,012,069		129,311
Oracle	0.6		1,719,529		38,810
Texas Instruments (A)	0.6		1,789,272		43,694
Other Securities	5.1				363,417

					1,072,178


Materials — 3.0%
E.I. Du Pont de Nemours (A)	0.6		1,049,712		37,968
Other Securities	2.4				170,769

					208,737


Telecommunication Services — 2.8%
AT&T	2.0		5,518,434		134,098
Verizon Communications	0.5		1,215,398		33,448
Other Securities	0.3				27,621

					195,167


Utilities — 2.7%
Constellation Energy Group (A)	0.5		1,019,657		36,075
Exelon	0.5		956,995		36,940
Other Securities	1.7				112,286

					185,301

Total Common Stock (Cost $5,357,245) ($ Thousands)					5,859,501


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIPS — 21.7%
SEI Liquidity Fund, L.P. 0.240%**† (B)	11.0	%		775,044,706	$	766,164
SEI LIBOR Plus Portfolio†	10.7			111,582,526		746,487

Total Affiliated Partnerships (Cost $1,707,198) ($ Thousands)						1,512,651


CASH EQUIVALENT — 4.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†	4.9			342,669,118		342,669

Total Cash Equivalent (Cost $342,669) ($ Thousands)						342,669


U.S. TREASURY OBLIGATIONS (C) (D) — 1.6%
U.S. Treasury Bills
0.118%, 06/03/10	1.4		$	98,566		98,565
0.180%, 06/10/10	0.1			4,277		4,277
0.139%, 06/17/10	0.0			2,150		2,150
0.330%, 02/10/11	0.1			3,645		3,639

Total U.S. Treasury Obligations (Cost $108,628) ($ Thousands)						108,631

Total Investments — 112.4% (Cost $7,515,740) ($ Thousands)					$	7,823,452

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 Composite Index	3,978	Jun-2010	$	(32,209	)
S&P 500 E-Mini	647	Jun-2010		(1,882	)

			$	(34,091	)

Percentages are based on Net Assets of $6,960,762 ($ Thousands)

Non-income producing security.

Rate shown is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $743,579 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities on May 31, 2010 was $766,164 ($ Thousands).

(C)

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.

Cl — Class

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	5,859,501	$	—	$	—	$	5,859,501
Affiliated Partnerships		746,487		766,164		—		1,512,651
Cash Equivalent		342,669		—		—		342,669
U.S. Treasury Obligations		—		108,631		—		108,631

Total Investments in Securities	$	6,948,657	$	874,795	$	—	$	7,823,452


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(34,091	)	$	—	$	—	$	(34,091	)

Total Other Financial Instruments	$	(34,091	)	$	—	$	—	$	(34,091	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 98.9%

Consumer Discretionary — 11.1%
Amazon.com*	0.4	%	15,089	$	1,893
Comcast, Cl A	0.5		132,125		2,390
Home Depot	0.5		78,015		2,642
McDonald’s	0.7		50,880		3,402
Target	0.4		34,485		1,881
Walt Disney	0.6		87,172		2,913
Other Securities	8.0				41,111

					56,232


Consumer Staples — 10.5%
Altria Group (A)	0.4		94,868		1,925
Coca-Cola	1.1		106,820		5,491
Colgate-Palmolive	0.4		22,875		1,786
CVS Caremark	0.4		62,552		2,166
Kraft Foods, Cl A	0.5		79,415		2,271
PepsiCo	0.9		74,552		4,689
Philip Morris International	0.7		85,368		3,766
Procter & Gamble	1.6		134,674		8,227
Wal-Mart Stores	1.0		102,079		5,161
Other Securities	3.5				17,934

					53,416


Energy — 10.5%
Chevron	1.4		92,602		6,841
ConocoPhillips	0.7		68,276		3,541
Exxon Mobil (A)	2.7		225,712		13,647
Occidental Petroleum	0.6		37,354		3,082
Schlumberger (A)	0.6		55,100		3,094
Other Securities	4.5				23,152

					53,357


Financials — 15.5%
American Express	0.4		46,534		1,855
Bank of America	1.4		459,518		7,233
Citigroup*	0.7		871,245		3,450
Goldman Sachs Group	0.7		23,175		3,343


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

JPMorgan Chase	1.4	%	183,534	$	7,264
SEI (C)	0.0		5,642		119
US Bancorp	0.4		87,143		2,088
Wells Fargo	1.4		239,166		6,862
Other Securities	9.1				46,776

					78,990


Health Care — 11.7%
Abbott Laboratories	0.7		71,176		3,385
Amgen*	0.5		44,067		2,282
Bristol-Myers Squibb	0.4		78,461		1,821
Johnson & Johnson	1.5		127,309		7,422
Medtronic	0.4		51,385		2,013
Merck	0.9		140,743		4,742
Pfizer	1.1		372,180		5,668
Other Securities	6.2				32,146

					59,479


Industrials — 10.7%
3M	0.5		31,946		2,534
Boeing (A)	0.4		33,391		2,143
General Electric	1.6		489,423		8,002
United Parcel Service, Cl B	0.4		31,741		1,992
United Technologies	0.5		38,466		2,592
Other Securities	7.3				37,404

					54,667


Information Technology — 18.5%
Apple*	2.1		41,223		10,601
Cisco Systems* (A)	1.2		266,427		6,170
Google, Cl A*	1.1		11,044		5,358
Hewlett-Packard	1.0		110,401		5,080
Intel	1.1		257,858		5,523
International Business Machines	1.5		61,098		7,653
Microsoft	1.8		356,300		9,193
Oracle	0.8		176,267		3,978
Qualcomm	0.5		76,150		2,708
Other Securities	7.4				38,103

					94,367


Materials — 3.9%
Other Securities	3.9				19,956


Telecommunication Services — 2.8%
AT&T	1.3		272,533		6,623
Verizon Communications	0.7		130,915		3,603
Other Securities	0.8				4,145

					14,371


Utilities — 3.7%
Other Securities	3.7				18,954

Total Common Stock (Cost $412,459) ($ Thousands)					503,789


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 13.4%
SEI Liquidity Fund, L.P. 0.240% (B)**†	13.4	%	69,016,757	$	68,233

Total Affiliated Partnership (Cost $69,017) ($ Thousands)					68,233


CASH EQUIVALENT — 1.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†	1.1		5,427,614		5,428

Total Cash Equivalent (Cost $5,428) ($ Thousands)					5,428


U.S. TREASURY OBLIGATION (D) — 0.2%
Other Securities	0.2				828

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

Total Investments — 113.6% (Cost $487,732) ($ Thousands)				$	578,278

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 E-Mini	137	Jun-2010	$	(394	)
S&P Mid 400 E-Mini	6	Jun-2010		(12	)

			$	(406	)

Percentages are based on Net Assets of $509,120 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $66,147 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities on May 31, 2010 was $68,233 ($ 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)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	503,789	$	—	$	—	$	503,789
Affiliated Partnership		—		68,233		—		68,233
Cash Equivalent		5,428		—		—		5,428
U.S. Treasury Obligation		—		828		—		828

Total Investments in Securities	$	509,217	$	69,061	$	—	$	578,278


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(406	)	$	—	$	—	$	(406	)

Total Other Financial Instruments	$	(406	)	$	—	$	—	$	(406	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 96.8%

Consumer Discretionary — 13.8%
American Public Education*	0.4	%	116,228	$	4,753
Cato, Cl A (A)	0.3		172,237		4,087
Eastman Kodak* (A)	0.2		586,500		3,308
Iconix Brand Group*	0.2		207,835		3,377
Life Time Fitness* (A)	0.3		117,361		4,355
MDC Partners, Cl A	0.3		288,400		3,513
Rent-A-Center, Cl A* (A)	0.2		137,000		3,318
Talbots*	0.3		236,340		3,555
Other Securities	11.6				155,214

					185,480


Consumer Staples — 3.5%
Del Monte Foods	0.4		332,300		4,845
Other Securities	3.1				41,662

					46,507


Energy — 5.3%
Comstock Resources*	0.4		186,118		5,554
Goodrich Petroleum* (A)	0.3		302,672		3,705
PetroHawk Energy*	0.3		215,057		4,136
Scorpio Tankers*	0.3		289,637		3,308
World Fuel Services	0.3		129,971		3,383
Other Securities	3.7				50,408

					70,494


Financials — 18.6%
Affiliated Managers Group* (A)	0.2		47,117		3,376
Equity Residential‡	0.3		78,250		3,531
MarketAxess Holdings	0.2		230,376		3,400
MGIC Investment*	0.3		371,705		3,479


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Platinum Underwriters Holdings (A)	0.4	%	143,296	$	5,275
Simon Property Group‡ (A)	0.3		40,847		3,473
Other Securities	16.9				227,119

					249,653


Health Care — 11.4%
AMAG Pharmaceuticals*	0.3		113,424		3,611
ICU Medical*	0.3		108,500		3,452
LHC Group* (A)	0.3		111,456		3,433
NuVasive* (A)	0.3		102,687		4,033
Par Pharmaceutical*	0.3		142,320		3,951
Other Securities	9.9				134,517

					152,997


Industrials — 16.6%
Acuity Brands (A)	0.2		78,280		3,220
Aegean Marine Petroleum Network (A)	0.3		199,149		4,588
Airtran Holdings*	0.4		1,028,886		5,803
CoStar Group* (A)	0.3		98,973		4,035
EMCOR Group*	0.4		216,618		5,409
FTI Consulting* (A)	0.3		89,700		3,836
Innerworkings* (A)	0.3		563,463		3,905
WESCO International* (A)	0.3		111,065		4,154
Other Securities	14.1				187,130

					222,080


Information Technology — 19.0%
Advanced Energy Industries* (A)	0.2		259,929		3,213
Atheros Communications*	0.3		131,939		4,486
DTS*	0.3		120,962		3,995
Earthlink (A)	0.2		371,100		3,188
Imation* (A)	0.3		379,866		3,905
Mantech International, Cl A* (A)	0.3		79,332		3,668
Netlogic Microsystems*	0.3		120,985		3,481
Quest Software*	0.3		178,118		3,447
SS&C Technologies Holdings*	0.2		201,131		3,282
VistaPrint* (A)	0.4		128,244		5,988
Other Securities	16.2				216,238

					254,891


Materials — 4.3%
NewMarket	0.3		36,475		3,756
WR Grace* (A)	0.3		129,971		3,331
Other Securities	3.7				50,501

					57,588


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Telecommunication Services — 1.0%
SBA Communications, Cl A* (A)	0.3	%	127,562	$	4,213
Other Securities	0.7				9,200

					13,413


Utilities — 3.3%
El Paso Electric*	0.3		184,300		3,653
NorthWestern (A)	0.4		216,881		5,712
Portland General Electric	0.5		311,775		5,896
Other Securities	2.1				28,341

					43,602

Total Common Stock (Cost $1,138,707) ($ Thousands)					1,296,705


PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Other Securities	0.1				1,483


Financials — 0.1%
Other Securities	0.1				673

Total Preferred Stock (Cost $1,755) ($ Thousands)					2,156


CONVERTIBLE BONDS — 0.2%

Consumer Discretionary — 0.0%
Other Securities	0.0				252


Energy — 0.2%
Other Securities	0.2				2,070

Total Convertible Bonds (Cost $3,725) ($ Thousands)					2,322


WARRANTS — 0.0%
Other Securities	0.0				56

Total Warrants (Cost $53) ($ Thousands)					56


RIGHT — 0.0%

United States — 0.0%
Other Securities	0.0				—

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


EXCHANGE TRADED FUNDS — 0.0%
Other Securities	0.0				342

Total Exchange Traded Funds (Cost $374) ($ Thousands)					342


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 17.6%
SEI Liquidity Fund, L.P. 0.240%**† (B)	17.6	%		241,968,446	$	235,812

Total Affiliated Partnership (Cost $241,968) ($ Thousands)						235,812


CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†	3.8			50,578,993		50,579

Total Cash Equivalent (Cost $50,579) ($ Thousands)						50,579


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

Total U.S. Treasury Obligation (Cost $3,329) ($ Thousands)						3,329

Total Investments — 118.8% (Cost $1,440,490)($ Thousands)					$	1,591,301

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-Mini	513	Jun-2010	$	160

Percentages are based on Net Assets of $1,339,748 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $231,332 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $235,812 ($ Thousands).

(C)

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

(D)

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

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 97.4%

Consumer Discretionary — 16.3%
Carter’s*	0.3	%	164,600	$	5,030
Cooper Tire & Rubber	0.2		249,752		4,723
Dick’s Sporting Goods* (A)	0.4		299,188		8,530
Jarden	0.3		198,225		5,770
Live Nation*	0.3		556,375		6,805
National CineMedia	0.3		311,775		5,453
Penn National Gaming*	0.3		218,402		5,591
PetSmart (A)	0.4		254,739		8,090
Scientific Games, Cl A*	0.3		526,749		5,383
Other Securities	13.5				280,251

					335,626


Consumer Staples — 3.4%
Other Securities	3.4				67,921


Energy — 4.6%
Dresser-Rand Group* (A)	0.4		245,774		7,823
Key Energy Services* (A)	0.3		535,164		5,116
World Fuel Services	0.2		180,500		4,698
Other Securities	3.7				77,415

					95,052


Financials — 16.9%
Affiliated Managers Group* (A)	0.2		66,610		4,773
Boston Properties‡ (A)	0.3		82,333		6,313
Jones Lang LaSalle	0.3		67,157		5,011
Reinsurance Group of America, Cl A	0.2		100,054		4,700
Zions Bancorporation (A)	0.3		273,430		6,549
Other Securities	15.6				321,544

					348,890


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 11.8%
Incyte* (A)	0.3	%	408,640	$	5,267
Pharmaceutical Product Development	0.3		188,070		5,048
SXC Health Solutions*	0.2		72,390		5,325
Other Securities	11.0				229,719

					245,359


Industrials — 14.9%
Acuity Brands (A)	0.2		116,962		4,810
CoStar Group* (A)	0.2		130,898		5,337
Gardner Denver	0.5		210,061		9,566
IHS, Cl A*	0.4		149,224		7,724
JB Hunt Transport Services (A)	0.3		159,617		5,512
SYKES Enterprises* (A)	0.4		439,033		7,578
Tetra Tech*	0.2		219,610		4,978
WESCO International*	0.4		218,319		8,165
Other Securities	12.3				253,296

					306,966


Information Technology — 18.9%
Alliance Data Systems*	0.3		83,600		5,907
Brocade Communications Systems*	0.2		909,305		4,956
Diebold	0.3		178,298		5,167
Equinix* (A)	0.3		65,495		6,026
Fairchild Semiconductor International, Cl A* (A)	0.3		564,834		5,648
Gartner*	0.5		392,853		9,723
GSI Commerce* (A)	0.7		530,024		14,925
Microsemi* (A)	0.3		432,213		6,691
PMC — Sierra*	0.3		759,400		6,151
Power Integrations (A)	0.2		142,139		4,830
Sanmina-SCI*	0.2		326,387		4,977
Sapient (A)	0.2		478,300		4,855
Trimble Navigation* (A)	0.2		172,824		4,965
VistaPrint* (A)	0.5		243,044		11,348
Other Securities	14.4				295,095

					391,264


Materials — 5.2%
Ashland (A)	0.2		88,799		4,761
Silgan Holdings	0.2		166,735		4,757
Other Securities	4.8				99,147

					108,665


Telecommunication Services — 1.8%
NII Holdings*	0.3		175,395		6,397
SBA Communications, Cl A* (A)	0.5		285,982		9,446
Other Securities	1.0				21,124

					36,967


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Utilities — 3.6%
AGL Resources	0.3	%	158,311	$	5,778
Great Plains Energy	0.2		285,578		5,012
Portland General Electric	0.3		348,763		6,595
Other Securities	2.8				57,886

					75,271

Total Common Stock (Cost $1,715,523) ($ Thousands)					2,011,981


PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Other Securities	0.1				1,870


Financials — 0.1%
Other Securities	0.1				1,469

Total Preferred Stock (Cost $2,830) ($ Thousands)					3,339


CONVERTIBLE BONDS — 0.1%

Consumer Discretionary — 0.0%
Other Securities	0.0				252


Energy — 0.1%
Other Securities	0.1				1,940

Total Convertible Bonds (Cost $3,809) ($ Thousands)					2,192


EXCHANGE TRADED FUNDS — 0.3%
iShares Russell 2000 Growth Index Fund (A)	0.3		79		5,626
Other Securities	0.0				406

Total Exchange Traded Funds (Cost $6,252) ($ Thousands)					6,032


WARRANTS — 0.0%
Other Securities	0.0				71

Total Warrants (Cost $196) ($ Thousands)					71


AFFILIATED PARTNERSHIP — 16.4%
SEI Liquidity Fund, L.P. 0.240%**† (B)	16.4		345,579,629		338,195

Total Affiliated Partnership (Cost $345,580) ($ Thousands)					338,195


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†	3.6	%	73,966,794	$	73,967

Total Cash Equivalent (Cost $73,967) ($ Thousands)					73,967


U.S. TREASURY OBLIGATIONS (C) — 0.2%
Other Securities	0.2				4,533

Total U.S. Treasury Obligations (Cost $4,533) ($ Thousands)					4,533

Total Investments — 118.2% (Cost $2,152,690)($ Thousands)				$	2,440,310

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-Mini	163	Jun-2010	$	313
S&P Mid 400 Index E-Mini	110	Jun-2010		228

			$	541

Percentages are based on Net Assets of $2,064,443 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $331,075 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $338,195 ($ Thousands).

(C)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 97.7%

Consumer Discretionary — 8.7%
Amazon.com*	1.1	%	22,953	$	2,880
priceline.com*	0.8		10,041		1,919
Strayer Education	0.8		8,204		1,969
Other Securities	6.0				15,479

					22,247


Consumer Staples — 16.5%
Altria Group	1.2		149,435		3,032
Brown-Forman, Cl B	1.2		54,460		3,020
Campbell Soup	0.8		55,513		1,988
Hershey	1.1		58,981		2,760
Hormel Foods	1.6		104,380		4,154
Kellogg	1.5		72,251		3,860
Kimberly-Clark	0.7		28,141		1,708
Lorillard	1.2		40,707		2,910
Philip Morris International	1.1		65,399		2,885
Reynolds American	1.2		59,465		3,101
Sysco	1.2		105,412		3,142
Other Securities	3.7				9,599

					42,159


Energy — 4.1%
Chevron	0.8		27,607		2,039
Other Securities	3.3				8,519

					10,558


Financials — 14.9%
Bank of Hawaii	1.1		58,591		2,814
Capitol Federal Financial	0.6		47,636		1,524
Commerce Bancshares	1.4		97,076		3,608
Cullen/Frost Bankers	1.2		54,888		3,012
TFS Financial	0.9		180,662		2,392
Other Securities	9.7				24,559

					37,909


Health Care — 20.8%
Abbott Laboratories	1.4		75,445		3,588
AmerisourceBergen	1.7		140,920		4,408


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Amgen*	1.2	%	56,964	$	2,950
Baxter International	0.7		39,470		1,667
Becton Dickinson	1.1		40,042		2,855
Biogen Idec*	1.0		55,744		2,644
C.R. Bard	1.4		43,690		3,538
Cardinal Health	1.0		72,112		2,487
Forest Laboratories*	0.9		88,533		2,291
Genzyme*	0.6		32,371		1,575
Johnson & Johnson	1.1		49,001		2,857
McKesson	1.8		65,981		4,619
Millipore*	1.1		25,495		2,708
Techne	1.1		48,170		2,917
Other Securities	4.7				12,077

					53,181


Industrials — 3.8%
Other Securities	3.8				9,610


Information Technology — 10.7%
Analog Devices	1.1		95,180		2,777
Google, Cl A*	1.1		5,685		2,758
International Business Machines	1.4		28,454		3,564
Tech Data*	1.1		67,553		2,746
Texas Instruments	1.2		125,486		3,064
Other Securities	4.8				12,359

					27,268


Materials — 3.4%
Newmont Mining	1.2		57,997		3,122
Other Securities	2.2				5,542

					8,664


Telecommunication Services — 2.7%
AT&T	0.6		59,600		1,448
Verizon Communications	0.6		50,894		1,401
Other Securities	1.5				4,059

					6,908


Utilities — 12.1%
AGL Resources	0.8		57,898		2,113
Atmos Energy	0.9		82,948		2,250
Nicor	1.1		66,816		2,700
NSTAR	1.1		82,384		2,893
UGI	0.6		62,796		1,642
Vectren	0.7		82,749		1,907
Wisconsin Energy	1.3		66,796		3,273
Other Securities	5.6				14,115

					30,893

Total Common Stock (Cost $211,505) ($ Thousands)					249,397


Description	Percentage of Net Assets (%)		Face Amount (000)/Shares		Market Value ($ Thousands)


U.S. TREASURY OBLIGATION — 1.3%
U.S. Treasury Bill 0.134%, 06/03/10 (A) (B)	1.3	%	$	3,248	$	3,248

Total U.S. Treasury Obligation (Cost $3,248) ($ Thousands)						3,248


CASH EQUIVALENT — 1.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090%**†	1.0			2,452,491		2,452

Total Cash Equivalent (Cost $2,452) ($ Thousands)						2,452

Total Investments — 100.0% (Cost $217,205)($ Thousands)					$	255,097

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI	58	Jun-2010	$	(140	)

			$	(140	)

Percentages are based on Net Assets of $255,094 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

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.

Cl — Class

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	249,397	$	—	$	—	$	249,397
U.S. Treasury Obligations		—		3,248		—		3,248
Cash Equivalent		2,452		—		—		2,452

Total Investments in Securities	$	251,849	$	3,248	$	—	$	255,097

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 93.6%

Argentina — 0.2%
Other Securities	0.2	%		$	873


Australia — 5.6%
Australia & New Zealand Banking Group	0.6		191,848		3,628
BHP Billiton	0.9		159,934		5,185
BHP Billiton ADR	0.2		22,300		1,446
Commonwealth Bank of Australia	0.4		60,231		2,623
Rio Tinto	0.5		49,848		2,837
Other Securities	3.0				18,153

					33,872


Austria — 0.2%
Other Securities	0.2				1,201


Belgium — 1.1%
Other Securities	1.1				6,891


Bermuda — 0.0%
Other Securities	0.0				144


Brazil — 1.7%
Other Securities	1.7				10,174


Canada — 2.7%
Other Securities	2.7				16,208


Chile — 0.6%
Other Securities	0.6				3,330


China — 1.5%
Other Securities	1.5				9,310


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Denmark — 1.1%
Novo-Nordisk, Cl B	0.5	%	41,762	$	3,236
Other Securities	0.6				3,497

					6,733


Finland — 0.8%
Other Securities	0.8				4,754


France — 7.6%
BNP Paribas	0.7		74,281		4,241
Gaz de France	0.5		95,538		2,976
Sanofi-Aventis (A)	0.7		73,819		4,501
Schneider Electric	0.7		44,727		4,522
Vivendi	0.6		148,235		3,224
Other Securities	4.4				26,594

					46,058


Germany — 7.2%
BASF	0.6		76,083		4,046
DaimlerChrysler	0.6		66,637		3,362
Linde	0.7		38,312		3,957
Siemens	1.0		66,215		6,041
Other Securities	4.3				26,172

					43,578


Greece — 0.2%
Other Securities	0.2				1,365


Hong Kong — 2.9%
Swire Pacific, Cl A	0.5		261,944		2,892
Other Securities	2.4				14,313

					17,205


India — 0.2%
Other Securities	0.2				930


Ireland — 0.8%
Experian	0.5		302,008		2,684
Other Securities	0.3				2,006

					4,690


Israel — 0.4%
Other Securities	0.4				2,359


Italy — 1.4%
Other Securities	1.4				8,557


Japan — 17.1%
Bridgestone	0.4		160,700		2,608
Canon	0.5		78,700		3,241
Fujitsu	0.5		446,000		2,869
Hitachi	0.4		634,000		2,593
Honda Motor	0.6		111,200		3,387


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Mitsubishi	0.6	%	170,500	$	3,847
Unicharm	0.4		26,200		2,650
Other Securities	13.7				82,587

					103,782


Macau — 0.1%
Other Securities	0.1				387


Mauritius — 0.0%
Other Securities	0.0				44


Netherlands — 6.5%
Koninklijke Ahold	0.5		222,083		2,804
Koninklijke Philips Electronics	0.6		114,787		3,453
Royal Dutch Shell, Cl A	0.5		107,571		2,811
Royal Dutch Shell, Cl A (GBP)	0.4		84,844		2,225
Royal Dutch Shell, Cl B	0.2		54,298		1,366
Unilever	1.2		256,012		7,056
Other Securities	3.1				19,628

					39,343


New Zealand — 0.1%
Other Securities	0.1				664


Norway — 1.2%
DnB	0.7		439,489		4,383
Other Securities	0.5				2,669

					7,052


Portugal — 0.2%
Other Securities	0.2				1,459


Singapore — 1.5%
Other Securities	1.5				8,964


South Africa — 0.3%
Other Securities	0.3				1,601


South Korea — 1.1%
Other Securities	1.1				6,815


Spain — 1.3%
Banco Santander Central Hispano	0.5		261,347		2,683
Other Securities	0.8				5,140

					7,823


Sweden — 2.1%
Svenska Handelsbanken, Cl A	0.4		109,213		2,658
Other Securities	1.7				10,061

					12,719


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Switzerland — 8.3%
Credit Suisse Group	0.6	%	99,124	$	3,845
Nestle	1.3		172,223		7,797
Novartis	1.3		177,941		8,071
Roche Holding	0.8		35,580		4,878
SGS	0.7		3,497		4,381
Other Securities	3.6				21,265

					50,237


Taiwan — 0.1%
Other Securities	0.1				801


Thailand — 0.3%
Other Securities	0.3				1,896


United Kingdom — 16.7%
AstraZeneca	0.8		105,860		4,449
BAE Systems	0.6		776,789		3,601
Barclays	0.5		699,822		3,052
BG Group	0.6		250,260		3,809
BHP Billiton	0.2		45,791		1,252
BP	1.1		918,446		6,547
Cairn Energy*	0.7		696,575		4,026
GlaxoSmithKline	0.5		191,684		3,187
HSBC Holdings	1.1		705,633		6,383
Imperial Tobacco Group	0.4		100,554		2,604
Kingfisher	0.6		1,169,987		3,757
Rio Tinto	0.7		89,727		4,117
Sage Group	0.6		944,549		3,227
Tesco	0.7		729,509		4,324
Unilever	0.2		44,426		1,193
Vodafone Group	1.4		4,307,906		8,531
Other Securities	6.1				37,751

					101,810


United States — 0.5%
Other Securities	0.5				2,724

Total Common Stock (Cost $595,230) ($ Thousands)					566,353


MORTGAGE-BACKED SECURITIES — 0.7%

Non-Agency Mortgage-Backed Obligations — 0.7%
Other Securities	0.7				4,280

Total Mortgage-Backed Securities (Cost $4,325) ($ Thousands)					4,280


PREFERRED STOCK — 0.4%

Germany — 0.4%
Other Securities	0.4				2,632

Total Preferred Stock (Cost $2,702) ($ Thousands)					2,632


Description	Percentage of Net Assets (%)		Shares/ Face Amount ($ Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATION — 0.1%

Financials — 0.1%
Other Securities	0.1	%			$	310

Total Corporate Obligation (Cost $490) ($ Thousands)						310


WARRANTS — 0.1%

Hong Kong — 0.1%
Henderson Land Development, Expires 12/31/49*	0.0			3		—
Other Securities	0.1					774

Total Warrants (Cost $839) ($ Thousands)						774


RIGHTS — 0.0%

Australia — 0.0%
Other Securities	0.0					—


United Kingdom — 0.0%
Other Securities	0.0					39

Total Rights (Cost $—) ($ Thousands)						39


AFFILIATED PARTNERSHIP — 4.8%
SEI Liquidity Fund, L.P. 0.240%**† (B)	4.8			30,032,225		29,209

Total Affiliated Partnership (Cost $30,032) ($ Thousands)						29,209


U.S. TREASURY OBLIGATIONS — 0.6%
U.S. Treasury Bills 0.134%, 06/03/10 (C) (D)	0.5		$	2,967		2,967
Other Securities	0.1					482

Total U.S. Treasury Obligations (Cost $3,449) ($ Thousands)						3,449


CASH EQUIVALENT — 0.5%

United States — 0.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090**†	0.5			3,212,787		3,213

Total Cash Equivalent (Cost $3,213) ($ Thousands)						3,213


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


TIME DEPOSITS — 4.4%

United States — 4.4%
Brown Brothers Harriman
5.450%, 06/01/10	ZAR	5	$	1
3.410%, 06/01/10	AUD	86		73
1.700%, 06/01/10	NZD	9		6
0.080%, 06/01/10	GBP	124		180
0.070%, 06/01/10	CAD	1		1
0.070%, 06/01/10	NOK	106		16
0.050%, 06/01/10	DKK	281		46
0.050%, 06/01/10	EUR	179		221
0.030%, 06/01/10		25,971		25,971
0.010%, 06/01/10	CHF	9		8
0.010%, 06/01/10	HKD	882		113
0.010%, 06/01/10	JPY	5,875		65
0.010%, 06/01/10	SEK	1,277		163
0.010%, 06/01/10	SGD	36		25

Total Time Deposits (Cost $26,889) ($ Thousands)				26,889

Total Investments — 105.2% (Cost $667,169) ($ Thousands)			$	637,148

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	75	Jun-2010	$	(1	)
FTSE Index	22	Jun-2010		(15	)
Hang Seng Index	1	Jun-2010		—
MSCI EAFE Index E-MINI	15	Jun-2010		(148	)
Nikkei 225 Index	13	Jun-2010		(34	)
SPI 200 Index	6	Jun-2010		(5	)
Topix Index	12	Jun-2010		3

			$	(200	)

A summary of outstanding swap agreements held by the Fund at May 31, 2010, is as follows:

Percentages are based on Net Assets of $605,479 ($ Thousands)

Non-income producing

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment is Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $27,726 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities on May 31, 2010 was $29,209 ($Thousands).

(C)

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.

AUD —Australian Dollar

ADR — American Depositary Receipt

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

LIBOR — London Interbank Offered Rate

MSCI EAFE — Morgan Stanley Capital International Europe, Australia, and the Far East

NOK — Norwegian Krone

NZD — New Zealand Dollar

SEK — Swedish Krone

SGD —Singapore Dollar

SPI — Share Price Index

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	457,261	$	109,092	$	—	$	566,353
Mortgage-Backed Securities		—		4,280		—		4,280
Preferred Stock		2,632		—		—		2,632
Warrants		—		774		—		774
Corporate Obligation		—		310		—		310
Rights		39		—		—		39
Affiliated Partnership		—		29,209		—		29,209
U.S. Treasury Obligations		—		3,449		—		3,449
Cash Equivalent		3,213		—		—		3,213
Time Deposits		—		26,889		—		26,889

Total Investments in Securities	$	463,145	$	174,003	$	—	$	637,148


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(200	)	$	—		$	—	$	(200	)
Total Return Swap		—			(4,287	)		—		(4,287	)

Total Other Financial Instruments	$	(200	)	$	(4,287	)	$	—	$	(4,487	)

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 89.4%

Argentina — 0.0%
Other Securities	0.0	%		$	1,151


Australia — 3.4%
BHP Billiton	0.7		741,685		24,042
Rio Tinto	0.5		290,198		16,516
Other Securities	2.2				86,907

					127,465


Austria — 0.1%
Other Securities	0.1				2,884


Belgium — 1.0%
Delhaize Group ADR (A)	0.5		265,300		20,781
Other Securities	0.5				16,263

					37,044


Brazil — 3.5%
Cia de Saneamento Basico do Estado de Sao Paulo ADR (A)	0.8		753,700		28,505
Cia Paranaense de Energia ADR (A)	0.5		1,025,600		19,025
Petroleo Brasileiro ADR (A)	0.7		664,200		23,659
Other Securities	1.5				58,346

					129,535


Canada — 6.7%
Canadian National Railway	0.6		387,260		22,685
Canadian Natural Resources	0.6		669,100		23,701
Other Securities	5.5				202,820

					249,206


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Chile — 0.2%
Other Securities	0.2	%		$	5,821


China — 1.8%
Industrial & Commercial Bank of China	0.5		25,872,000		19,173
Other Securities	1.3				49,493

					68,666


Colombia — 0.4%
BanColombia ADR	0.4		340,900		16,302


Cyprus — 0.0%
Other Securities	0.0				1,356


Czech Republic — 0.1%
Other Securities	0.1				3,535


Denmark — 1.3%
Novo-Nordisk, Cl B	0.8		379,442		29,401
Other Securities	0.5				18,138

					47,539


Egypt — 0.1%
Other Securities	0.1				3,370


Finland — 0.8%
Other Securities	0.8				31,102


France — 5.6%
Air Liquide	0.5		173,876		17,112
BNP Paribas	0.5		355,284		20,283
France Telecom ADR (A)	0.5		929,900		17,752
LVMH Moet Hennessy Louis Vuitton (A)	0.5		177,336		18,855
Sanofi-Aventis (A)	0.5		310,108		18,910
Other Securities	3.1				113,080

					205,992


Germany — 4.8%
BASF	0.7		472,150		25,106
Deutsche Bank (A)	0.7		433,455		25,951
SAP (A)	0.5		417,229		18,116
Other Securities	2.9				109,865

					179,038


Greece — 0.1%
Other Securities	0.1				1,948


Guernsey — 0.3%
Other Securities	0.3				10,123


Hong Kong — 2.8%
China Mobile	0.5		2,016,000		19,083


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

CNOOC	0.5	%	11,306,000	$	18,093
Other Securities	1.8				67,294

					104,470


Hungary — 0.2%
Other Securities	0.2				6,758


India — 1.2%
Other Securities	1.2				45,288


Indonesia — 0.4%
Other Securities	0.4				16,612


Ireland — 1.0%
Covidien	0.5		464,200		19,678
Other Securities	0.5				18,949

					38,627


Israel — 1.3%
Teva Pharmaceutical Industries ADR	1.0		660,620		36,215
Other Securities	0.3				10,247

					46,462


Italy — 1.3%
Other Securities	1.3				49,092


Japan — 11.0%
Fanuc	0.5		182,300		19,265
Hitachi	0.6		5,098,000		20,854
Mitsubishi UFJ Financial Group	0.5		3,574,186		17,333
Other Securities	9.4				352,433

					409,885


Kazakhstan — 0.1%
Other Securities	0.1				2,258


Macau — 0.0%
Other Securities	0.0				860


Malaysia — 0.4%
Other Securities	0.4				16,338


Mauritius — 0.0%
Other Securities	0.0				353


Mexico — 1.9%
Coca-Cola Femsa ADR	0.6		338,300		22,504
Other Securities	1.3				49,148

					71,652


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Netherlands — 3.5%
Koninklijke Philips Electronics	0.5	%	625,325	$	18,808
Royal Dutch Shell, Cl A (GBP)	0.3		392,096		10,285
Royal Dutch Shell, Cl A	0.4		586,457		15,324
Royal Dutch Shell, Cl B	0.2		285,139		7,173
Royal Dutch Shell ADR, Cl A	0.5		368,600		19,315
Other Securities	1.6				60,491

					131,396


Netherlands Antilles — 0.3%
Other Securities	0.3				12,086


New Zealand — 0.0%
Other Securities	0.0				1,476


Norway — 1.1%
Statoil ADR (A)	0.5		890,600		17,901
Other Securities	0.6				21,753

					39,654


Pakistan — 0.0%
Other Securities	0.0				331


Panama — 0.2%
Other Securities	0.2				6,360


Poland — 0.1%
Other Securities	0.1				4,886


Portugal — 0.2%
Other Securities	0.2				6,935


Russia — 0.4%
Other Securities	0.4				16,296


Singapore — 0.9%
Other Securities	0.9				26,351


South Africa — 1.1%
Sasol ADR	0.5		535,800		19,289
Other Securities	0.6				20,277

					39,566


South Korea — 3.4%
Samsung Electronics	0.8		45,079		29,282
Other Securities	2.6				98,401

					127,683


Spain — 1.0%
Other Securities	1.0				35,207


Sweden — 1.6%
Hennes & Mauritz, Cl B (A)	0.5		317,642		18,005


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Other Securities	1.1	%		$	43,084

					61,089


Switzerland — 4.6%
Nestle	0.9		730,279		33,061
Novartis	0.9		745,057		33,794
Roche Holding	0.6		153,713		21,076
Other Securities	2.2				81,471

					169,402


Taiwan — 1.7%
Other Securities	1.7				61,808


Thailand — 0.6%
Other Securities	0.6				20,968


Turkey — 0.9%
Other Securities	0.9				33,894


United Kingdom — 14.6%
AstraZeneca	0.6		527,646		22,176
AstraZeneca ADR(A)	0.5		471,800		19,934
BHP Billiton	0.5		594,815		16,260
BP	0.8		3,917,534		27,921
British American Tobacco	0.8		989,976		29,061
British American Tobacco ADR	0.4		222,600		13,033
Carnival	0.5		521,607		19,606
GlaxoSmithKline ADR(A)	0.5		560,300		18,748
Pearson ADR	0.5		1,384,300		19,048
Prudential ADR	0.5		1,079,900		16,857
Reckitt Benckiser Group	0.5		430,379		20,030
SABMiller	0.4		583,464		16,386
Standard Chartered	0.6		1,003,230		23,597
Tesco	0.5		3,051,651		18,087
Other Securities	7.0				262,614

					543,358


United States — 1.4%
Other Securities	1.4				50,937

Total Common Stock (Cost $3,422,768) ($ Thousands)					3,320,415


MORTGAGE-BACKED SECURITIES — 0.2%

Non-Agency Mortgage-Backed Obligations — 0.2%
Other Securities	0.2				8,947

Total Mortgage-Backed Securities (Cost $8,995) ($ Thousands)					8,947


PREFERRED STOCK — 1.0%

Brazil — 0.3%
Other Securities	0.3				11,550


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Germany — 0.7%
Other Securities	0.7	%		$	25,338

Total Preferred Stock (Cost $36,232) ($ Thousands)					36,888


ASSET-BACKED SECURITIES — 0.1%

Mortgage Related Securities — 0.1%
Other Securities	0.1				1,590

Total Asset-Backed Securities (Cost $1,837) ($ Thousands)					1,590


WARRANTS — 0.0%

Hong Kong — 0.0%
Henderson Land Development, Expires 12/31/49**	0.0		43		—
Other Securities	0.0				44

Total Warrants (Cost $0) ($ Thousands)					44


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Other Securities	0.0				345

Total Corporate Obligation (Cost $545) ($ Thousands)					345


RIGHTS — 0.0%

United Kingdom — 0.0%
Other Securities	0.0				170

Total Rights (Cost $0) ($ Thousands)					170


AFFILIATED PARTNERSHIP — 6.3%
SEI Liquidity Fund, L.P. 0.240%*† (B)	6.3		235,887,837		233,575

Total Affiliated Partnership (Cost $235,888) ($ Thousands)					233,575


CASH EQUIVALENT — 1.0%

United States — 1.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090*†	1.0		36,630,196		36,630

Total Cash Equivalent (Cost $36,630) ($ Thousands)					36,630


Description	Percentage of Net Assets (%)		Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 1.0%
U.S. Treasury Bills (C) (D)
0.134%, 06/03/10	0.9	%$		34,059	$	34,058
0.140%, 06/17/10	0.0			750		750
0.155%, 08/26/10	0.1			2,750		2,749

Total U.S. Treasury Obligations (Cost $37,557) ($ Thousands)						37,557


TIME DEPOSITS — 2.0%

United States — 2.0%
Brown Brothers Harriman
3.410%, 06/01/10			AUD	1,602		1,358
0.080%, 06/01/10			GBP	453		655
0.070%, 06/01/10			CAD	18		17
0.070%, 06/01/10			NOK	34		5
0.050%, 06/01/10			DKK	10		2
0.050%, 06/01/10			EUR	1,702		2,098
0.030%, 06/01/10				67,216		67,216
0.010%, 06/01/10			CHF	1,870		1,616
0.010%, 06/01/10			HKD	2,757		354
0.010%, 06/01/10			JPY	180,625		1,986
0.010%, 06/01/10			SEK	110		14
0.010%, 06/01/10			SGD	78		56

Total Time Deposits (Cost $75,377) ($ Thousands)						75,377

Total Investments — 101.0% (Cost $3,855,829) ($ Thousands)					$	3,751,538

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	2,148		Jun-2010	$	181
FTSE Index	638		Jun-2010		(82	)
Hang Seng Index	41		Jun-2010		101
MSCI EAFE Index E-MINI	(9	)	Jun-2010		42
MSCI Emerging Markets E-MINI	316		Jun-2010		(1,357	)
Nikkei 225 Index	47		Jun-2010		(156	)
S&P TSE 60 Index	221		Jun-2010		(219	)
SPI 200 Index	190		Jun-2010		2
Topix Index	469		Jun-2010		(694	)

				$	(2,182	)

Percentages are based on Net Assets of $3,712,614 ($ Thousands)

The rate reported is the 7-day effective yield as of May 31, 2010.

Non-income producing.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $224,904 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $233,575 ($ Thousands).

(C)

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.

ADR — American Depositary Receipt

AUD —Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

MSCI EAFE — Morgan Stanley Capital International Europe, Australia, and the Far East

NOK — Norwegian Krone

S&P — Standard & Poor’s

SEK — Swedish Krone

Ser — Series

SGD —Singapore Dollar

SPI — Share Price Index

TSE — Toronto Stock Exchange

USD — U.S. Dollar

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	2,909,249	$	411,166	$	—	$	3,320,415
Preferred Stock		36,888		—		—		36,888
Mortgage-Backed Securities		—		8,947		—		8,947
Asset-Backed Securities		—		1,590		—		1,590
Corporate Obligation		—		345		—		345
Right		170		—		—		170
Warrants		3		41		—		44
Affiliated Partnership		—		233,575		—		233,575
U.S. Treasury Obligations		—		37,557		—		37,557
Cash Equivalent		36,630		—		—		36,630
Time Deposits		75,377		—		—		75,377

Total Investments in Securities	$	3,058,317	$	693,221	$	—	$	3,751,538


Other Financial Instruments		Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(2,182	)	$	—		$	—	$	(2,182	)
Total Return Swaps		—			(6,885	)		—		(6,885	)

Total Other Financial Instruments	$	(2,182	)	$	(6,885	)	$	—	$	(9,067	)

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 91.0%

Australia — 3.4%
BHP Billiton	1.2	%	25,289	$	820
Rio Tinto	0.7		7,871		448
Other Securities	1.5				1,101

					2,369


Austria — 0.1%
Other Securities	0.1				59


Belgium — 0.7%
Other Securities	0.7				513


Brazil — 1.1%
Other Securities	1.1				748


Canada — 7.6%
Canadian National Railway	0.8		9,100		533
Canadian Natural Resources	0.8		15,200		538
EnCana	0.6		13,169		416
Toronto-Dominion Bank	0.6		5,750		392
Other Securities	4.8				3,344

					5,223


Chile — 0.0%
Other Securities	0.0				13


China — 2.1%
China Merchants Bank, Cl H	0.5		147,500		350
Industrial & Commercial Bank of China	0.8		701,000		519
Other Securities	0.8				579

					1,448



Denmark — 1.7%
Novo-Nordisk, Cl B	1.0		9,080		704
Other Securities	0.7				429

					1,133


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Finland — 0.9%
Other Securities	0.9	%		$	632


France — 6.1%
Air Liquide	0.6		4,117		405
BNP Paribas	0.8		9,099		520
LVMH Moet Hennessy Louis Vuitton	0.6		4,120		438
Safran	0.5		11,717		321
Sanofi-Aventis	0.8		9,232		563
Other Securities	2.8				1,914

					4,161


Germany — 5.1%
Allianz	0.6		4,040		406
BASF	1.1		14,171		754
Deutsche Bank	0.6		6,747		404
Fresenius Medical Care	0.5		6,393		324
SAP	0.5		7,867		342
Other Securities	1.8				1,287

					3,517


Greece — 0.1%
Other Securities	0.1				77


Guernsey — 0.3%
Other Securities	0.3				222


Hong Kong — 3.1%
China Mobile	0.4		32,500		308
Other Securities	2.7				1,839

					2,147


Hungary — 0.2%
Other Securities	0.2				115


India — 0.4%
Other Securities	0.4				307


Indonesia — 0.3%
Other Securities	0.3				191


Ireland — 0.2%
Other Securities	0.2				165


Israel — 1.4%
Teva Pharmaceutical Industries
ADR	1.0		12,530		687
Other Securities	0.4				280

					967



Italy — 1.5%
Enel	0.7		99,357		458
Other Securities	0.8				538

					996


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Japan — 15.6%
Chugai Pharmaceutical	0.1	%	2,200	$	39
Fanuc	0.6		3,700		391
Hitachi	0.8		140,000		573
Komatsu	0.5		17,300		325
Mitsubishi UFJ Financial Group	0.5		71,100		345
Nippon Telegraph & Telephone	0.5		9,100		369
Nissan Motor	0.5		43,700		319
Sumitomo	0.5		29,400		319
Toyota Motor	0.5		10,233		369
Other Securities	11.1				7,679

					10,728


Macau — 0.1%
Other Securities	0.1				50


Malaysia — 0.6%
Other Securities	0.6				390


Mexico — 1.4%
Other Securities	1.4				941


Netherlands — 3.2%
Koninklijke Philips Electronics	0.9		20,643		621
Unilever	0.7		16,958		467
Other Securities	1.6				1,098

					2,186


Netherlands Antilles — 0.5%
Schlumberger	0.5		6,100		343


New Zealand — 0.1%
Other Securities	0.1				48


Norway — 0.7%
Other Securities	0.7				456


Poland — 0.1%
Other Securities	0.1				71


Portugal — 0.3%
Other Securities	0.3				216


Russia — 0.1%
Other Securities	0.1				88


Singapore — 1.0%
Other Securities	1.0				699



South Africa — 0.2%
Other Securities	0.2				160


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

South Korea — 2.5%
Samsung Electronics	0.7	%	705	$	458
Other Securities	1.8				1,287

					1,745


Spain — 1.0%
Telefonica	0.6		20,697		397
Other Securities	0.4				288

					685


Sweden — 1.9%
Hennes & Mauritz, Cl B	0.6		6,939		393
Other Securities	1.3				904

					1,297


Switzerland — 6.2%
Nestle	1.4		21,673		981
Novartis	1.2		18,161		824
Roche Holding	0.9		4,314		591
Other Securities	2.7				1,892

					4,288


Taiwan — 1.1%
Other Securities	1.1				748


Thailand — 0.4%
Other Securities	0.4				282


Turkey — 0.7%
Other Securities	0.7				491


United Kingdom — 15.9%
AstraZeneca	0.9		14,616		614
BHP Billiton	0.7		17,598		481
BP	1.0		92,296		658
British American Tobacco	1.1		26,816		787
Carnival	0.7		13,376		503
Reckitt Benckiser Group	0.6		8,402		391
Rio Tinto	0.5		8,098		372
SABMiller	0.6		15,729		442
Standard Chartered	0.9		26,037		612
Tesco	0.6		72,310		429
Other Securities	8.3				5,608

					10,897


United States — 1.1%
Other Securities	1.1				762

Total Common Stock (Cost $65,654) ($ Thousands)					62,574


Description	Percentage of Net Assets (%)				Shares/ Face Amount ($ Thousands)	Market Value ($ Thousands)


PREFERRED STOCK — 0.6%

Germany — 0.6%
Other Securities	0.6	%				$	431

South Korea — 0.0%
Other Securities	0.0	%					7

Total Preferred Stock (Cost $444) ($ Thousands)							438


WARRANTS — 0.0%
Other Securities	0.0						1

Total Warrants (Cost $—) ($ Thousands)							1


RIGHT — 0.0%

United Kingdom — 0.0%
Other Securities	0.0						3

Total Right (Cost $—) ($ Thousands)							3


CASH EQUIVALENT — 5.2%

United States — 5.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090%*†	5.2				3,595,702		3,596

Total Cash Equivalent (Cost $3,596) ($ Thousands)							3,596


U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bill 0.134%, 06/03/10 (A) (B)	0.5		$		308		308
Other Securities	0.0						10

Total U.S. Treasury Obligations (Cost $318) ($ Thousands)							318


TIME DEPOSITS — 1.3%

United States — 1.3%
Brown Brothers Harriman
3.410%, 06/01/10				AUD	49		41
1.700%, 06/01/10				NZD	1		1
0.080%, 06/01/10				GBP	38		56
0.070%, 06/01/10				CAD	100		95
0.070%, 06/01/10				NOK	44		7
0.050%, 06/01/10				DKK	72		12
0.050%, 06/01/10				EUR	131		162
0.030%, 06/01/10					351		351
0.010%, 06/01/10				CHF	33		29
0.010%, 06/01/10				HKD	105		13
0.010%, 06/01/10				JPY	7,548		83
0.010%, 06/01/10				SEK	131		17


Description		Shares	Market Value ($ Thousands)
0.010%, 06/01/10	SGD	15	$	10

Total Time Deposits (Cost $877) ($ Thousands)				877

Total Investments — 98.6% (Cost $70,889) ($ Thousands)			$	67,807

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	43	Jun-2010	$	(71	)
FTSE Index	12	Jun-2010		(53	)
Hang Seng Index	1	Jun-2010		4
S&P TSE 60 Index	4	Jun-2010		(7	)
SPI 200 Index	3	Jun-2010		(26	)
Topix Index	10	Jun-2010		(36	)

			$	(189	)

Percentages

are based on Net Assets of $68,743 ($ Thousands)

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(B)

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and London Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

S&P — Standard & Poor’s

SEK — Swedish Krone

Ser — Series

SGD — Singapore Dollar

SPI — Stock Price Index

TSE — Toronto Stock Exchange

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	51,632	$	10,942	$	—	$	62,574
Preferred Stock		438		—		—		438
Right		3		—		—		3
Warrants		—		1		—		1
U.S. Treasury Obligations		—		318		—		318
Cash Equivalent		3,596		—		—		3,596
Time Deposits		877		—		—		877

Total Investments in Securities	$	56,546	$	11,261	$	—	$	67,807


Other Financial Instruments		Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(189	)	$	—	$	—	$	(189	)

Total Other Financial Instruments	$	(189	)	$	—	$	—	$	(189	)

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts

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

The accompanying notes are an integral part of the financial statements.

LOGO


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


LOAN PARTICIPATIONS — 32.8%
Aeroflex, Ser B-1
3.500%, 08/15/14	$	595	$	578
Affinion Group Holdings
5.000%, 10/08/16		500		480
Alliant Insurance Service Term Loan
3.290%, 08/21/14		698		649
Allison Transmission
3.100%, 08/07/14		363		330
3.050%, 08/07/14		124		113
3.010%, 08/07/14		199		181
Aramark Facility
2.126%, 01/26/14		27		26
Aramark US Term Loan
2.165%, 01/26/14		418		398
Asurion 1st Lien Term Loan
3.421%, 07/03/14		75		72
3.349%, 07/03/14		241		231
3.278%, 07/03/14		207		199
Asurion 2nd Lien
6.849%, 07/03/15		500		488
BBN Acquisitions
5.000%, 09/14/15		394		392
Biomet Dollar Term Loan
3.284%, 03/25/15		414		403
3.273%, 03/25/15		21		21
Booz Allen Hamilton Tranche B Term Loan
7.500%, 07/31/15		111		111
Burlington Coat Factory
4.500%, 05/28/13		2		2
2.570%, 05/28/13		291		267
2.510%, 05/28/13		292		268
Calpine
3.165%, 03/29/14		698		652
Cedar Fair
4.273%, 08/30/14		522		518
2.273%, 08/30/12		120		119


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

Celanese US Holdings LLC Term Loan
2.041%, 04/02/14	$	456	$	434
Cengage Learning Holdco
2.790%, 06/28/14		594		513
CF Industries Term Loan B1
5.750%, 04/05/15		270		270
Charter Communications Term Loan C
3.550%, 09/06/16		529		492
Charter Term Loan B
2.300%, 03/15/14		65		60
Cinemark USA
2.180%, 10/05/13		53		51
2.090%, 10/05/13		74		71
2.060%, 10/05/13		215		207
2.050%, 10/05/13		36		35
2.010%, 10/05/13		79		76
Clear Channel
3.923%, 01/29/16		927		711
Community Health Systems Delayed Draw Term Loan
2.502%, 07/25/14		44		41
Community Health Systems Funded Term Loan
2.502%, 07/25/14		853		798
Dana Holding
4.600%, 01/31/15		119		115
4.580%, 01/31/15		57		54
4.550%, 01/31/15		78		75
4.530%, 01/31/15		60		57
4.510%, 01/31/15		58		56
Dex Media West LLC
7.500%, 10/24/14		374		341
Discovery Communications
5.250%, 05/14/14		520		519
2.290%, 05/14/14		499		496
Dollar General Term Loan B-2
3.023%, 07/07/14		250		238
3.006%, 07/07/14		604		575
Dynegy Holdings
4.030%, 04/02/13		685		650
Education Media Term Loan A
5.535%, 06/12/14		498		456
Enterprise GP Holdings
2.545%, 11/10/14		208		204
2.501%, 11/10/14		139		136
Federal Mogul
2.278%, 12/29/14		72		63
2.278%, 12/28/15		234		205
2.217%, 12/29/14		387		337
Flextronics International Term A-2
2.540%, 10/01/14		263		245
Flextronics International Term A-3
2.523%, 10/01/14		306		285


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

Ford Motor Company
3.263%, 11/08/14	$	500	$	458
Freescale Semiconductor
4.528%, 12/01/16		566		498
Graphic Packaging International Incremental Term Loan
3.050%, 05/16/14		48		46
3.044%, 05/16/14		123		118
3.041%, 05/16/14		221		212
Hanesbrands Term Loan B
5.250%, 12/10/15		182		182
Harrah’s Operating, Ser B-2
3.316%, 01/28/15		668		558
HCA Tranche B Term Loan
2.540%, 11/18/13		858		812
Hertz
2.090%, 12/21/12		360		344
2.021%, 12/21/12		116		111
Hertz, Ser B
2.020%, 12/21/12		150		143
2.010%, 12/21/12		120		114
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13		359		330
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13		159		146
Hub International
6.750%, 06/13/14		348		338
Hub International Delayed Draw Term Loan
2.790%, 06/13/14		91		83
Hub International Initial Term Loan
2.790%, 06/13/14		407		370
Iasis Healthcare LLC Delayed Draw Term Loan
2.273%, 03/15/14		229		215
Iasis Healthcare LLC Synthetic Letter of Credit
2.252%, 03/15/14		62		58
Iasis Healthcare LLC Term Loan B
2.273%, 03/15/14		663		622
IMS Health Term Loan B
5.250%, 02/26/16		198		196
Infor Enterprise Solutions Holdings
6.030%, 07/28/12		221		208
4.030%, 07/28/12		346		325
Infor Enterprise Solutions Holdings Tranche 1
4.030%, 07/28/12		77		73
Infor Global Enterprise Solutions
6.604%, 03/02/14		27		21
Infor Global Enterprise Solutions Tranche 1
6.604%, 03/02/14		138		105


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

Infor Global Solutions Intermediate Holdings
6.604%, 03/02/14	$	305	$	232
Integra Telecom
9.250%, 04/07/15		570		566
Intelsat
3.292%, 02/01/14		1,050		961
Intersil Term Loan B
5.500%, 04/26/16		1		1
4.750%, 04/26/16		249		248
Inverness Medical Innovations
4.502%, 06/26/15		440		430
Jetro Holdings Tranche 1
2.510%, 07/02/14		409		394
Lamar Media
4.250%, 10/01/16		450		450
Las Vegas Sands LLC
2.050%, 05/17/14		500		444
Live Nation Entertainment
4.500%, 10/20/16		250		250
Meg Energy
6.000%, 04/03/16		436		423
Metroflag, 2nd Lien
11.250%, 01/06/09 (C) (D)		1,500		—
Mylan Laboratories Term Loan B
3.562%, 10/02/14		668		663
Nalco Term Loan B
6.500%, 05/06/16		437		436
Nielsen Finance New Facility
2.297%, 12/31/17		608		566
NRG Holdings Letter of Credit
0.190%, 02/01/13		153		146
NRG Holdings Term Loan B
2.040%, 02/01/13		182		174
2.023%, 02/01/13		50		48
Oshkosh Term Loan B
6.260%, 12/06/13		213		213
re/max International
5.500%, 03/11/16		500		496
Reable Therapeutics (DJO Finance) Term Loan B
3.273%, 05/20/14		392		376
Realogy
3.294%, 10/10/13		338		285
3.292%, 10/10/13		360		303
Regal Cinemas
3.790%, 10/27/13		351		349
Reynold
6.250%, 11/05/15		835		830
Reynolds Group
5.750%, 05/13/16		499		497
Sensata Technology
2.078%, 04/27/13		436		405
2.047%, 04/27/13		1		1


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

Sirva Revolving Credit Loan
13.000%, 05/12/12	$	28	$	19
9.500%, 05/12/12		53		36
Sirva Worldwide (Unfunded)
0.500%, 05/12/12		200		66
Solutia 1st Lien Term Loan
4.750%, 03/02/17		170		169
Sungard Data Systems
3.999%, 02/28/16		424		408
3.895%, 02/28/16		32		31
Texas Competitive Electric
4.066%, 10/10/14		533		410
3.874%, 10/10/14		373		286
3.797%, 10/10/14		84		64
3.790%, 10/10/14		8		6
Travelport LLC Letter of Credit
2.790%, 08/23/13		45		43
Travelport LLC Term Loan B
2.790%, 08/23/13		393		371
Travelport LLC Term Loan C-1
10.500%, 08/23/13		158		158
United Surgical Partners International
2.320%, 04/19/14		174		162
2.270%, 04/19/14		189		176
2.270%, 04/21/14		83		77
Univision Communications
2.540%, 09/29/14		624		534
Vanguard Health Term Loan
5.000%, 01/15/16		400		395
Verint Systems
3.520%, 05/25/14		1,025		951
VWR International Term Loan B
2.773%, 06/30/14		466		432
Warner Chilcott PLC, Ser A
5.500%, 10/30/14		165		165
Warner Chilcott PLC, Ser B
5.750%, 04/30/15		76		76
Warner Chilcott PLC, Ser B2
5.750%, 04/30/15		127		126
Wide Open West Finance 1st Lien
2.874%, 06/30/14		183		169
2.795%, 06/30/14		179		165
2.752%, 06/30/14		175		161

Total Loan Participations (Cost $39,053) ($ Thousands)				37,893


CORPORATE OBLIGATIONS — 8.8%

Consumer Discretionary — 0.6%
Ferrellgas
9.125%, 10/01/17		450		466


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

Macy’s Retail Holdings
5.350%, 03/15/12	$	100	$	102
Sirius XM Radio
9.750%, 09/01/15 (A)		90		95

				663


Consumer Staples — 0.4%
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)		450		402


Energy — 0.1%
Canadian Natural Resources
5.700%, 05/15/17		150		164


Financials — 5.4%
Ameriprise Financial
5.350%, 11/15/10		300		305
Bank of America MTN
0.638%, 04/30/12 (B)		200		202
0.471%, 06/22/12 (B)		500		503
Capital One Financial MTN
5.700%, 09/15/11		150		156
Citigroup
0.807%, 06/09/16 (B)		150		126
Citigroup Funding
0.668%, 04/30/12 (B)		125		126
0.486%, 06/03/11 (B)		135		135
General Electric Capital
0.414%, 04/28/11 (B)		140		139
Genworth Global Funding Trusts MTN
5.200%, 10/08/10		400		404
GMAC
0.266%, 12/19/12 (B)		350		350
Hartford Financial Services Group
7.900%, 06/15/10		250		251
JPMorgan Chase
0.487%, 06/15/12 (B)		500		503
JPMorgan Chase Capital XXI, Ser U
1.294%, 02/02/37 (B)		250		174
Liberty Property L.P.
7.250%, 03/15/11‡		300		311
Monumental Global Funding
0.503%, 01/15/14 (A) (B)		230		219
Morgan Stanley
0.654%, 02/10/12 (B)		350		352
0.595%, 01/09/14 (B)		200		184
0.457%, 03/13/12 (B)		200		201
Prudential Financial MTN
5.100%, 12/14/11		150		156
Reinsurance Group of America
5.625%, 03/15/17		200		205
State Street
0.438%, 04/30/12 (B)		135		134


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

State Street Bank and Trust
0.457%, 09/15/11 (B)	$	295	$	296
Unitrin
6.000%, 05/15/17		110		108
4.875%, 11/01/10		300		302
Wachovia
0.377%, 03/15/11 (B)		425		424

				6,266


Health Care — 0.2%
UnitedHealth Group
1.660%, 02/07/11 (B)		250		251


Industrials — 0.5%
Berry Plastics
5.053%, 02/15/15 (B)		460		431
Continental Airlines, Ser 061G
0.886%, 06/02/13 (B)		142		120

				551


Materials — 0.9%
NewPage
11.375%, 12/31/14		380		355
Verso Paper Holdings LLC
11.500%, 07/01/14 (A)		675		721

				1,076


Telecommunication Services — 0.4%
Corning
6.050%, 06/15/15		150		152
Telecom Italia Capital
0.914%, 07/18/11 (B)		150		149
Vodafone Group PLC
0.816%, 02/27/12 (B)		150		150

				451


Utilities — 0.3%
KeySpan
7.625%, 11/15/10		300		309

Total Corporate Obligations (Cost $10,081) ($ Thousands)				10,133


MORTGAGE-BACKED SECURITIES — 4.1%

Non-Agency Mortgage-Backed Obligations — 4.1%
American Tower Trust, Ser 2007-1A, Cl D
5.957%, 04/15/37		125		131
Banc of America Funding, Ser 2005-F, Cl 4A1
5.193%, 09/20/35 (B)		419		313
Banc of America Funding, Ser 2006-D, Cl 3A1
5.448%, 05/20/36 (B)		341		276


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

Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.847%, 08/15/29 (B)	$	166	$	150
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
3.180%, 02/25/35 (B)		186		158
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1
4.625%, 02/25/36 (B)		347		315
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		439		449
Crusade Global Trust, Ser 2007-1, Cl A1
0.364%, 04/19/38 (B)		167		146
GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
5.294%, 04/19/36 (B)		374		295
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
5.373%, 06/25/37 (B)		332		273
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
4.003%, 07/25/35 (B)		371		297
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 08/25/36 (B)		374		299
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 2A1
3.070%, 12/25/34 (B)		317		305
MortgageIT Trust, Ser 2005-4, Cl A1
0.623%, 10/25/35 (B)		352		238
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A
5.293%, 11/25/35 (B)		140		115
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4
5.048%, 12/25/35 (B)		363		306
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1
2.971%, 12/25/34 (B)		315		310
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
3.981%, 10/25/35 (B)		124		119
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
2.941%, 10/25/35 (B)		82		72
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3
4.896%, 03/25/36 (B)		132		112

Total Mortgage-Backed Securities (Cost $5,450) ($ Thousands)				4,679


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


ASSET-BACKED SECURITIES — 2.9%

Automotive — 1.2%
AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A
5.550%, 04/07/14	$	250	$	262
Americredit Prime Automobile Receivable, Ser 2007-2M, Cl A3
5.220%, 06/08/12		136		137
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A
5.020%, 09/15/11		30		30
Capital One Auto Finance Trust, Ser 2007-C, Cl A3A
5.130%, 04/16/12		141		143
CarMax Auto Owner Trust, Ser 2007-1, Cl C
5.530%, 07/15/13		50		51
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A3A
5.000%, 02/08/12		139		140
Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A
5.150%, 11/15/11		91		92
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
0.737%, 01/17/12 (B)		28		28
Merrill Auto Trust Securitization, Ser 2007-1, Cl C
5.960%, 12/15/13		101		102
Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A3
5.030%, 05/16/11		8		8
Swift Master Auto Receivables Trust, Ser 2007-2, Cl A
0.987%, 10/15/12 (B)		200		199
USAA Auto Owner Trust, Ser 2007-2, Cl A3
4.900%, 02/15/12		28		29

				1,330


Credit Cards — 0.7%
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.517%, 09/15/16 (B)		145		141
Chase Issuance Trust, Ser 2005-C2, Cl C2
0.777%, 01/15/15 (B)		200		195


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

Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.971%, 11/07/14 (B)	$	250	$	249
GE Capital Credit Card Master Note Trust, Ser 2007-3, Cl C
0.637%, 06/15/13 (B)		250		250

				835


Mortgage Related Securities — 0.7%
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1
0.793%, 08/25/35 (B)		350		272
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1
0.753%, 09/25/35 (B)		370		180
Option One Mortgage Loan Trust, Ser 2005-5, Cl M1
0.733%, 12/25/35 (B)		470		242
Residential Asset Securities, Ser 2005-KS12, Cl M1
0.783%, 01/25/36 (B)		375		136

				830


Other Asset-Backed Securities — 0.3%
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37		400		373

Total Asset-Backed Securities (Cost $4,126) ($ Thousands)				3,368


U.S. GOVERNMENT AGENCY OBLIGATION — 1.3%
FHLB
1.375%, 05/16/11		1,500		1,511

Total U.S. Government Agency Obligation (Cost $1,499) ($ Thousands)				1,511


U.S. TREASURY OBLIGATION — 0.5%
U.S. Treasury Notes
0.875%, 01/31/11		600		602

Total U.S. Treasury Obligation (Cost $601) ($ Thousands)				602


CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090%*†		5,337,012		5,337

Total Cash Equivalent (Cost $5,337) ($ Thousands)				5,337


Description	Shares	Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 44.1%
SEI LIBOR Plus Portfolio†	7,611,979	$	50,924

Total Affiliated Partnership (Cost $72,725) ($ Thousands)			50,924

Total Investments — 99.1% (Cost $138,872) ($ Thousands)		$	114,447

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note	(10	)	Sep-2010	$	5
U.S. 2-Year Treasury Note	(14	)	Oct-2010		(5	)
U.S. 5-Year Treasury Note	10		Oct-2010		(4	)
U.S. Long Treasury Bond	(2	)	Oct-2010		2

				$	(2	)

Percentages are based on Net Assets of $115,519 ($ Thousands).

Rate shown is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (See Note 5).

‡

Real Estate Investment Trust

(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 May 31, 2010. The date reported is the final maturity date.

(C)

Security in default on interest payments.

(D)

Securities considered illiquid and restricted. The total value of such securities as of May 31, 2010 was $0 ($ Thousands) and represented 0.0% of net assets. (Unaudited in regards to illiquid status)

Cl — Class

FHLB — Federal Home Loan Bank

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.

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations	$	—	$	37,893	$	—	$	37,893
Corporate Obligations		—		10,133		—		10,133
Mortgage-Backed Securities		—		4,679		—		4,679
Asset-Backed Securities		—		3,368		—		3,368
U.S. Government Agency
Obligation		—		1,511		—		1,511
U.S. Treasury Obligation		—		602		—		602
Cash Equivalent		5,337		—		—		5,337
Affiliated Partnership		50,924		—		—		50,924

Total Investments in Securities	$	56,261	$	58,186	$	—	$	114,447


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(2	)	$	—	$	—	$	(2	)

Total Other Financial Instruments	$	(2	)	$	—	$	—	$	(2	)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Investments in Common Stock
Beginning balance as of June 1, 2009	$	88
Accrued discounts/premiums		—
Realized gain/(loss)		22
Change in unrealized appreciation/depreciation		(88	)
Net purchases/sales		(22	)
Net transfer in and/or out of Level 3		—

Ending balance as of May 31, 2010	$	—

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		—

Futures contracts are valued at the unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


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


MORTGAGE-BACKED SECURITIES — 45.8%

Agency Mortgage-Backed Obligations — 32.1%
Federal Home Loan Banks CMO, Cl 1
5.300%, 06/15/12	$	684	$	728
FHLMC
11.000%, 02/17/21		2,152		2,379
10.000%, 03/17/26 to 10/01/30		3,897		4,556
7.500%, 08/01/30 to 09/20/38		3,652		4,105
7.000%, 11/01/15 to 09/01/25		155		173
6.500%, 06/01/17 to 09/01/38		34,548		37,813
6.000%, 03/01/20 to 08/01/38		39,287		42,460
5.500%, 12/01/13 to 12/01/37		73,895		79,315
5.000%, 04/18/17 to 12/01/34		38,933		41,721
4.000%, 10/01/33		1,649		1,637
2.875%, 02/09/15		3,390		3,468
1.125%, 07/27/12		7,814		7,820
0.469%, 02/03/12 (A)		14,170		14,177
FHLMC ARM (A)
6.697%, 08/01/36		1,939		2,042
6.604%, 08/01/36		792		837
6.597%, 07/01/36		1,196		1,257
6.455%, 02/01/37		794		858
6.410%, 12/01/36		1,239		1,335
6.409%, 11/01/37		382		410
6.364%, 12/01/36		1,765		1,870
6.355%, 10/01/36		480		508
6.306%, 09/01/36 to 10/01/36		9,338		9,840
6.274%, 09/01/37		5,948		6,340
6.261%, 09/01/36		737		775
6.203%, 02/01/37		1,900		2,022
6.195%, 06/01/36 to 03/01/37		2,570		2,716
6.183%, 12/01/36		1,092		1,158
6.179%, 09/01/36		459		493


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

6.150%, 12/01/36	$	557	$	588
6.143%, 06/01/37		469		504
6.132%, 05/01/37		1,096		1,170
6.106%, 11/01/37		1,603		1,701
6.085%, 01/01/37		3,058		3,254
6.040%, 10/01/37		2,402		2,554
6.032%, 10/01/36		1,217		1,279
6.013%, 12/01/36		2,143		2,279
5.965%, 11/01/36 to 09/01/37		729		775
5.956%, 03/01/37		1,475		1,565
5.952%, 01/01/37		546		585
5.910%, 04/01/37		1,848		1,957
5.889%, 02/01/37		451		477
5.888%, 07/01/37		795		856
5.874%, 11/01/36		953		1,012
5.841%, 05/01/36		1,112		1,176
5.838%, 05/01/37		5,593		5,931
5.816%, 05/01/37		379		400
5.791%, 11/01/38		748		802
5.765%, 05/01/37		2,349		2,475
5.739%, 05/01/37		1,004		1,060
5.717%, 03/01/36		945		1,010
5.693%, 04/01/37		1,134		1,200
5.688%, 03/01/36		1,857		1,981
5.686%, 06/01/37		1,251		1,339
5.652%, 04/01/38		400		421
5.642%, 10/01/38		930		989
5.641%, 04/01/37		360		380
5.610%, 05/01/37		802		846
5.551%, 05/01/36		810		854
5.547%, 05/01/36		2,008		2,130
5.465%, 08/01/37		3,704		3,927
5.322%, 05/01/38		1,182		1,245
5.134%, 01/01/36		3,782		4,004
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19		25		27
FHLMC CMO, Ser 1142, Cl IA
7.000%, 10/15/21		393		428
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23		12,104		12,955
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28		1,553		1,646
FHLMC CMO, Ser 2075, Cl D
6.500%, 08/15/28		1,765		1,910
FHLMC CMO, Ser 2138, Cl KS, IO
7.363%, 02/15/29 (A)		1,929		191
FHLMC CMO, Ser 2293, Cl ZA
6.000%, 03/15/31		1,939		2,109
FHLMC CMO, Ser 2312, Cl Z
6.500%, 05/15/31		1,198		1,305
FHLMC CMO, Ser 2357, Cl ZJ
6.500%, 09/15/31		291		320
FHLMC CMO, Ser 2434, Cl ZA
6.500%, 04/15/32		3,151		3,480


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

FHLMC CMO, Ser 2456, Cl CJ
6.500%, 06/15/32	$	934	$	1,034
FHLMC CMO, Ser 2458, Cl ZM
6.500%, 06/15/32		1,711		1,896
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17		1,228		1,317
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18		4,137		4,479
FHLMC CMO, Ser 2587, Cl CO, PO
0.000%, 03/15/32		1,155		1,078
FHLMC CMO, Ser 2590, Cl BY
5.000%, 03/15/18		1,346		1,457
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17		908		943
FHLMC CMO, Ser 2591, Cl QO
4.500%, 03/15/18		1,000		1,065
FHLMC CMO, Ser 2631, Cl SA
14.232%, 06/15/33 (A)		876		1,044
FHLMC CMO, Ser 2671, Cl S
14.141%, 09/15/33 (A)		815		963
FHLMC CMO, Ser 2676, Cl CY
4.000%, 09/15/18		2,291		2,394
FHLMC CMO, Ser 2684, Cl SN
26.566%, 10/15/33 (A)		200		239
FHLMC CMO, Ser 2690, Cl TV
4.500%, 11/15/25		1,800		1,910
FHLMC CMO, Ser 2690, Cl SJ
8.645%, 10/15/33 (A)		692		643
FHLMC CMO, Ser 2691, Cl SE
9.081%, 12/15/28 (A)		556		589
FHLMC CMO, Ser 2694, Cl QG
4.500%, 01/15/29		270		283
FHLMC CMO, Ser 2695, Cl SX
15.665%, 10/15/33 (A)		256		272
FHLMC CMO, Ser 2695, Cl OB, PO
0.000%, 10/15/33		307		239
FHLMC CMO, Ser 2698, Cl SV
8.495%, 11/15/33 (A)		353		332
FHLMC CMO, Ser 2725, Cl SC
8.544%, 11/15/33 (A)		322		287
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29		383		391
FHLMC CMO, Ser 2754, Cl JG
4.500%, 03/15/33		780		786
FHLMC CMO, Ser 2765, Cl CT
4.000%, 03/15/19		1,557		1,606
FHLMC CMO, Ser 2778, Cl JD
5.000%, 12/15/32		1,974		2,116
FHLMC CMO, Ser 2812, Cl NO, PO
0.000%, 10/15/33		459		334
FHLMC CMO, Ser 2827, Cl CS
15.574%, 04/15/32 (A)		137		143
FHLMC CMO, Ser 2833, Cl KO, PO
0.000%, 08/15/34		250		210


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

FHLMC CMO, Ser 2843, Cl BC
5.000%, 08/15/19	$	1,740	$	1,882
FHLMC CMO, Ser 2864, Cl NB
5.500%, 07/15/33		2,000		2,194
FHLMC CMO, Ser 2865, Cl GO, PO
0.000%, 10/15/33		463		346
FHLMC CMO, Ser 2875, Cl HB
4.000%, 10/15/19		954		978
FHLMC CMO, Ser 2897, Cl EO, PO
0.000%, 10/15/31		557		512
FHLMC CMO, Ser 2903, Cl UZ
5.500%, 07/15/31		522		546
FHLMC CMO, Ser 2934, Cl CI
5.000%, 01/15/34		9,978		10,733
FHLMC CMO, Ser 2945, Cl SA
11.688%, 03/15/20 (A)		3,168		3,615
FHLMC CMO, Ser 2950, Cl JO, PO
0.000%, 03/15/20		556		502
FHLMC CMO, Ser 2957, Cl PT
5.500%, 11/15/33		6,333		6,806
FHLMC CMO, Ser 2981, Cl FA
0.737%, 05/15/35 (A)		952		928
FHLMC CMO, Ser 2982, Cl CI
5.500%, 02/15/34		7,882		8,459
FHLMC CMO, Ser 2990, Cl LK
0.707%, 10/15/34 (A)		890		886
FHLMC CMO, Ser 3001, Cl HP
20.652%, 05/15/35 (A)		148		166
FHLMC CMO, Ser 3006, Cl QS
19.209%, 07/15/35 (A)		888		1,044
FHLMC CMO, Ser 3012, Cl GK
23.234%, 06/15/35 (A)		138		172
FHLMC CMO, Ser 3028, Cl PG
5.500%, 09/15/35		412		452
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35		996		1,094
FHLMC CMO, Ser 3049, Cl XF
0.687%, 05/15/33 (A)		1,144		1,137
FHLMC CMO, Ser 3052, Cl MH
5.250%, 10/15/34		2,980		3,166
FHLMC CMO, Ser 3076, Cl MP
0.000%, 10/15/30		48		48
FHLMC CMO, Ser 3137, Cl XP
6.000%, 04/15/36		1,214		1,344
FHLMC CMO, Ser 3195, Cl PD
6.500%, 07/15/36		2,500		2,790
FHLMC CMO, Ser 3202, Cl HI, IO
6.313%, 08/15/36 (A)		1,347		178
FHLMC CMO, Ser 3217, Cl CX, IO
6.253%, 09/15/36 (A)		1,113		144
FHLMC CMO, Ser 3234, Cl MC
4.500%, 10/15/36		166		172
FHLMC CMO, Ser 3262, Cl SG, IO
6.063%, 01/15/37 (A)		1,600		173


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

FHLMC CMO, Ser 3263, Cl WE
0.438%, 08/15/35 (A)	$	148	$	145
FHLMC CMO, Ser 3312, Cl BP
5.500%, 01/15/31		300		318
FHLMC CMO, Ser 3336, Cl FA
0.567%, 02/15/19 (A)		17,450		17,433
FHLMC CMO, Ser 3342, Cl VG
6.000%, 11/15/23		1,000		1,111
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22		2,533		2,674
FHLMC CMO, Ser 3373, Cl TO, PO
0.000%, 04/15/37		387		333
FHLMC CMO, Ser 3383, Cl SA, IO
6.113%, 11/15/37 (A)		1,471		186
FHLMC CMO, Ser 3387, Cl SA, IO
6.083%, 11/15/37 (A)		1,108		95
FHLMC CMO, Ser 3422, Cl SE
16.608%, 02/15/38 (A)		296		363
FHLMC CMO, Ser 3437, Cl AI, IO
1.335%, 09/15/11		2,272		26
FHLMC CMO, Ser 3455, Cl SE, IO
5.863%, 06/15/38 (A)		4,420		440
FHLMC CMO, Ser 3461, Cl LZ
6.000%, 06/15/38		561		613
FHLMC CMO, Ser 3465, Cl HA
4.000%, 07/15/17		4,841		5,054
FHLMC CMO, Ser 3515, Cl PIM15, IO
5.500%, 07/15/37		1,301		187
FHLMC CMO, Ser 3546, Cl A
6.017%, 02/15/39 (A)		700		743
FHLMC CMO, Ser 3607, Cl BOPO, PO
0.000%, 04/15/36		500		352
FHLMC CMO, Ser 3611, Cl PO, PO
0.000%, 07/15/34		878		759
FHLMC CMO, Ser 3626, Cl MA
5.000%, 02/15/30		13,676		14,625
FHLMC CMO, Ser 3631, Cl PA
4.000%, 02/15/40		5,261		5,503
FHLMC CMO, Ser 3632, Cl BS
16.377%, 02/15/40 (A)		400		526
FHLMC CMO, Ser 3652, Cl AP
4.500%, 03/15/40		10,451		11,122
FHLMC CMO, Ser T-41, Cl 2A
6.968%, 07/25/32 (A)		881		980
FHLMC CMO, Ser T-42, Cl A5
7.500%, 02/25/42		1,206		1,367
FHLMC CMO, Ser T-54, Cl 3A
7.000%, 02/25/43		803		898
FHLMC CMO, Ser T-54, Cl 2A
6.500%, 02/25/43		644		708
FHLMC CMO, Ser T-57, Cl 1A1
6.500%, 07/25/43		761		836


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

FHLMC CMO, Ser T-58, Cl 4A
7.500%, 09/25/43	$	990	$	1,122
FHLMC CMO, Ser T-60, Cl 1A2
7.000%, 03/25/44		741		830
FHLMC CMO, Ser T-76, Cl 2A
4.811%, 10/25/37 (A)		1,578		1,618
FHLMC Multifamily Structured Pass Through Certificates, Ser K003, Cl AAB
4.768%, 05/25/18		2,824		3,035
FHLMC Multifamily Structured Pass Through Certificates, Ser K005, Cl A2
4.317%, 11/25/19		2,945		3,000
FHLMC Reference REMIC CMO, Ser R007, Cl ZA
6.000%, 05/15/36		1,143		1,244
FHLMC STRIP CMO, Ser 239, Cl S30, IO
7.363%, 08/15/36 (A)		1,990		280
FHLMC TBA
5.500%, 06/01/33		24,000		25,560
5.000%, 06/12/37		2,000		2,094
FHLMC-GNMA CMO, Ser 21, Cl L
6.250%, 10/25/23		934		986
FNMA
8.000%, 04/01/15 to 11/01/37		1,601		1,768
7.500%, 06/01/30 to 04/01/39		4,593		5,132
7.000%, 12/01/15 to 01/01/39		10,117		11,265
6.500%, 05/01/17 to 10/01/38		39,841		43,638
6.000%, 03/01/19 to 08/01/37		102,289		110,890
5.500%, 04/01/14 to 08/01/37		174,852		188,143
5.000%, 02/01/20 to 09/01/35		59,048		62,411
4.500%, 07/01/20 to 02/01/40		39,266		41,016
4.000%, 04/01/19 to 11/01/20		3,462		3,613
FNMA TBA
6.500%, 06/01/37		9,200		10,008
6.000%, 06/01/37		300		323
5.000%, 07/15/38		31,800		33,156
4.500%, 06/14/40		31,150		31,783
FNMA ARM (A)
6.526%, 09/01/36		512		542
6.478%, 01/01/37		1,321		1,423
6.257%, 10/01/36		668		717
6.237%, 09/01/36		462		488
6.180%, 10/01/36		980		1,038
6.178%, 08/01/36		475		509
6.150%, 02/01/37		974		1,036
6.138%, 07/01/37		637		678
6.110%, 09/01/36		1,825		1,955
6.080%, 09/01/37		324		349
6.056%, 09/01/36		1,623		1,716


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

6.035%, 12/01/36	$	775	$	831
6.021%, 09/01/37		1,295		1,379
6.020%, 10/01/37		544		585
6.007%, 08/01/36		774		822
5.996%, 11/01/37		799		858
5.993%, 05/01/36		739		780
5.962%, 10/01/37		1,451		1,561
5.961%, 07/01/37		1,006		1,082
5.953%, 04/01/37		439		469
5.939%, 07/01/36		1,702		1,809
5.929%, 10/01/37		1,915		2,052
5.926%, 01/01/37		1,156		1,239
5.921%, 07/01/37		1,516		1,604
5.919%, 10/01/36		555		589
5.910%, 03/01/37		1,049		1,126
5.908%, 04/01/37		1,334		1,433
5.904%, 06/01/36		934		988
5.902%, 03/01/37 to 07/01/37		2,572		2,765
5.898%, 07/01/37		1,660		1,786
5.896%, 01/01/37		1,909		2,049
5.895%, 09/01/37		838		905
5.882%, 11/01/36		1,441		1,531
5.871%, 07/01/37 to 12/01/37		4,053		4,353
5.857%, 02/01/37		994		1,067
5.855%, 04/01/37		1,752		1,870
5.847%, 11/01/37		11		12
5.845%, 12/01/36		2,368		2,507
5.831%, 03/01/37		696		742
5.817%, 10/01/36		2,864		3,029
5.804%, 04/01/37		1,299		1,385
5.796%, 11/01/37		1,426		1,522
5.795%, 02/01/37		397		424
5.794%, 05/01/37		365		386
5.781%, 03/01/37		1,598		1,706
5.772%, 08/01/37		1,376		1,461
5.756%, 02/01/37		1,310		1,382
5.750%, 05/01/37		670		716
5.720%, 03/01/37		10,141		10,799
5.718%, 03/01/37		1,774		1,893
5.703%, 10/01/37		960		1,025
5.686%, 01/01/23		1,170		1,241
5.684%, 04/01/37		1,651		1,743
5.679%, 11/01/36		1,201		1,265
5.620%, 05/01/37		3,916		4,131
5.610%, 02/01/39		2,444		2,607
5.601%, 11/01/37		881		933
5.599%, 06/01/36		2,103		2,218
5.556%, 01/01/37		1,947		2,055
5.516%, 10/01/36		2,745		2,892
5.501%, 07/01/37		798		846
FNMA CMO, Cl IO, IO
6.087%, 03/25/37 (A)		22,045		3,111
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/21		345		382


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

FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/22	$	921	$	1,030
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/22		795		889
FNMA CMO, Ser 1992-96, Cl B, PO
0.000%, 05/25/22		1		1
FNMA CMO, Ser 1993-149, Cl SH
11.500%, 08/25/23 (A)		350		445
FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/23		1,451		1,579
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/23		1,903		2,104
FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/24		1,243		1,368
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/24		1,121		1,256
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/27		847		923
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		2,210		2,396
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/41		999		1,117
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/16		1,618		1,749
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		679		758
FNMA CMO, Ser 2001-81, Cl HE
6.500%, 01/25/32		14,537		15,813
FNMA CMO, Ser 2002-10, Cl SB
18.377%, 03/25/17 (A)		187		225
FNMA CMO, Ser 2002-81, Cl JO, PO
0.000%, 04/25/32		477		436
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/42		875		963
FNMA CMO, Ser 2002-94, Cl HQ
4.500%, 01/25/18		2,400		2,547
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18		241		251
FNMA CMO, Ser 2003-125, Cl AY
4.000%, 12/25/18		667		692
FNMA CMO, Ser 2003-131, Cl SK
15.514%, 01/25/34 (A)		942		1,153
FNMA CMO, Ser 2003-24, Cl MV
5.500%, 02/25/14		1,218		1,305
FNMA CMO, Ser 2003-3, Cl HJ
5.000%, 02/25/18		1,018		1,094
FNMA CMO, Ser 2003-30, Cl HS, IO
7.307%, 07/25/17 (A)		1,607		110
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/33		761		582
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/23		1,243		1,353
FNMA CMO, Ser 2003-50, Cl QJ
5.000%, 08/25/28		163		164


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

FNMA CMO, Ser 2003-91, Cl XT
4.500%, 12/25/17	$	1,321	$	1,354
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/20		2,500		2,701
FNMA CMO, Ser 2004-3, Cl HT
4.000%, 02/25/19		10		10
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/32		379		353
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34		1,362		1,467
FNMA CMO, Ser 2004-61, Cl CO, PO
0.000%, 10/25/31		416		395
FNMA CMO, Ser 2005-106, Cl US
23.310%, 11/25/35 (A)		1,339		2,023
FNMA CMO, Ser 2005-123, Cl FG
0.793%, 07/25/34 (A)		905		891
FNMA CMO, Ser 2005-14, Cl BA
4.500%, 04/25/19		1,786		1,871
FNMA CMO, Ser 2005-30, Cl UE
5.000%, 01/25/34		2,419		2,597
FNMA CMO, Ser 2005-45, Cl BG
4.500%, 06/25/25		634		632
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		789		867
FNMA CMO, Ser 2005-72, Cl SB
16.018%, 08/25/35 (A)		813		974
FNMA CMO, Ser 2005-74, Cl CS
19.077%, 05/25/35 (A)		695		934
FNMA CMO, Ser 2005-88, Cl QO, PO
0.000%, 11/25/33		484		418
FNMA CMO, Ser 2005-90, Cl PO, PO
0.000%, 09/25/35		485		443
FNMA CMO, Ser 2005-90, Cl ES
16.018%, 10/25/35 (A)		528		652
FNMA CMO, Ser 2005-96, Cl BP
5.900%, 02/25/15		848		834
FNMA CMO, Ser 2006-118, Cl A2
0.403%, 12/25/36 (A)		1,992		1,964
FNMA CMO, Ser 2006-15, Cl OP, PO
0.000%, 03/25/36		531		444
FNMA CMO, Ser 2006-23, Cl FK
0.593%, 04/25/36 (A)		630		625
FNMA CMO, Ser 2006-27, Cl OH, PO
0.000%, 04/25/36		702		623
FNMA CMO, Ser 2006-3, Cl D0, PO
0.000%, 03/25/36		735		647
FNMA CMO, Ser 2006-33, Cl LS
28.607%, 05/25/36 (A)		528		830


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

FNMA CMO, Ser 2006-43, Cl VB
6.500%, 10/25/17	$	726	$	787
FNMA CMO, Ser 2006-44, Cl FP
0.743%, 06/25/36 (A)		907		903
FNMA CMO, Ser 2006-44, Cl P, PO
0.000%, 12/25/33		464		395
FNMA CMO, Ser 2006-46, Cl SW
22.942%, 06/25/36 (A)		631		923
FNMA CMO, Ser 2006-60, Cl UO, PO
0.000%, 07/25/36		1,211		1,048
FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/36		838		926
FNMA CMO, Ser 2006-75, Cl VD
6.500%, 05/25/17		1,437		1,529
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/36		641		712
FNMA CMO, Ser 2007-100, Cl SM, IO
6.107%, 10/25/37 (A)		3,518		430
FNMA CMO, Ser 2007-112, Cl SA, IO
6.107%, 12/25/37 (A)		2,021		272
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22		3,696		3,895
FNMA CMO, Ser 2007-114, Cl A6
0.543%, 10/27/37 (A)		2,000		1,996
FNMA CMO, Ser 2007-116, Cl HI, IO
6.289%, 01/25/38 (A)		3,395		254
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37		1,206		1,267
FNMA CMO, Ser 2007-39, Cl NA
4.250%, 01/25/37		201		210
FNMA CMO, Ser 2007-43, Cl FL
0.643%, 05/25/37 (A)		550		543
FNMA CMO, Ser 2007-53, Cl SH, IO
5.757%, 06/25/37 (A)		2,694		261
FNMA CMO, Ser 2007-54, Cl FA
0.743%, 06/25/37 (A)		2,480		2,474
FNMA CMO, Ser 2007-60, Cl AX, IO
6.807%, 07/25/37 (A)		3,109		482
FNMA CMO, Ser 2007-74, Cl A
5.000%, 04/25/34		1,539		1,617
FNMA CMO, Ser 2007-75, Cl EO, PO
0.000%, 01/25/36		1,257		1,163
FNMA CMO, Ser 2007-79, Cl SB
22.760%, 08/25/37 (A)		260		340
FNMA CMO, Ser 2007-92, Cl YS, IO
5.437%, 06/25/37 (A)		2,622		298
FNMA CMO, Ser 2008-1, Cl BI, IO
5.567%, 02/25/38 (A)		3,039		313


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

FNMA CMO, Ser 2008-20, Cl SA, IO
6.647%, 03/25/38 (A)	$	1,641	$	218
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/23		1,500		1,620
FNMA CMO, Ser 2008-32, Cl SA, IO
6.507%, 04/25/38 (A)		1,391		124
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (A)		3,673		48
FNMA CMO, Ser 2008-4, Cl SD, IO
5.657%, 02/25/38 (A)		4,599		511
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/23		3,500		3,774
FNMA CMO, Ser 2008-66, Cl B
5.000%, 08/25/23		676		731
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/24		643		696
FNMA CMO, Ser 2009-103, Cl MB
4.000%, 12/25/39		2,000		2,099
FNMA CMO, Ser 2009-31, Cl A2
4.287%, 07/25/19		3,868		3,990
FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/39		1,726		268
FNMA CMO, Ser 2009-71, Cl JT
6.000%, 06/25/36		3,087		3,355
FNMA CMO, Ser 2009-78, Cl J
5.000%, 09/25/19		5,564		5,912
FNMA CMO, Ser 2009-84, Cl WS, IO
5.557%, 10/25/39 (A)		2,275		213
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/37		12,763		11,076
FNMA CMO, Ser 2009-99, Cl SC, IO
5.837%, 12/25/39 (A)		2,679		157
FNMA CMO, Ser 2010-1, Cl WA
6.127%, 02/25/40 (A)		965		1,066
FNMA CMO, Ser 2010-16, Cl WA
6.428%, 03/25/40		974		1,061
FNMA CMO, Ser 2010-23, Cl KS, IO
6.757%, 02/25/40 (A)		2,401		402
FNMA CMO, Ser 2010-54, Cl EA
4.500%, 06/25/40		7,732		8,262
FNMA CMO, Ser 2010-64, Cl DM
5.000%, 06/25/40		2,000		2,114
FNMA CMO, Ser 2010-M1, Cl A2
4.450%, 09/25/19		1,374		1,402
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (A)		8,896		9,007
FNMA CMO, Ser ACES, Cl A3
4.001%, 01/25/19		4,134		4,191
FNMA CMO, Ser G92-41, Cl MA
8.000%, 08/25/22		1,094		1,224
FNMA Grantor Trust CMO, Ser 2000-86, Cl A1
7.500%, 06/25/30		1,189		1,352


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

FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41	$	2,675	$	3,041
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42		786		872
FNMA Grantor Trust CMO, Ser 2002-T3, Cl B
5.763%, 12/25/11		727		773
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		1,010		1,131
FNMA Interest STRIP CMO, Ser 323, Cl 16, IO
7.000%, 01/01/32		1,003		233
FNMA Interest STRIP CMO, Ser 334, Cl 16, IO
6.500%, 02/01/33		1,653		343
FNMA TBA
5.500%, 06/01/22 to 07/01/37		68,620		73,207
5.000%, 06/17/21 to 08/01/38		21,800		22,758
4.500%, 06/17/19 to 07/01/37		74,420		76,019
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.500%, 12/25/42		1,067		1,212
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/42		1,813		1,980
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/42		891		969
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/42		722		802
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33		1,127		1,266
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		1,290		1,452
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/44		1,022		1,125
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.563%, 03/25/45 (A)		1,917		1,824
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45		447		508
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.563%, 02/25/36 (A)		965		933


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

FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.603%, 11/25/46 (A)	$	2,320	$	2,343
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
37.123%, 07/25/37 (A)		134		224
GNMA TBA
5.500%, 06/19/33		3,800		4,075
5.000%, 08/01/33 to 06/15/40		16,600		17,426
4.500%, 06/01/39 to 06/15/40		159,680		163,808
GNMA
9.500%, 12/15/20		10		12
7.500%, 10/15/37		3,203		3,533
7.000%, 04/15/26 to 06/15/35		5,203		5,839
6.500%, 01/15/24 to 02/15/39		16,498		18,220
6.000%, 11/15/23 to 09/15/34		20,937		23,002
5.500%, 11/01/18		2,116		2,289
5.000%, 05/15/33 to 02/15/35		24,736		26,285
GNMA CMO, Ser 2001-18, Cl WH
31.081%, 04/20/31 (A)		140		221
GNMA CMO, Ser 2001-22, Cl PS
20.132%, 03/17/31 (A)		1,040		1,319
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31		1,869		2,078
GNMA CMO, Ser 2002-23, Cl SD
20.054%, 04/16/32 (A)		1,561		1,913
GNMA CMO, Ser 2002-51, Cl SG
31.028%, 04/20/31 (A)		131		207
GNMA CMO, Ser 2002-57, Cl SB
107.447%, 08/16/32		102		296
GNMA CMO, Ser 2002-69, Cl SC
15.753%, 02/20/32 (A)		404		461
GNMA CMO, Ser 2003-60, Cl GS
11.855%, 05/16/33 (A)		231		256
GNMA CMO, Ser 2003-97, Cl SA, IO
6.213%, 11/16/33 (A)		784		127
GNMA CMO, Ser 2004-28, Cl SV
8.660%, 04/20/34 (A)		1,691		1,740
GNMA CMO, Ser 2004-34, Cl CS
18.879%, 02/20/34 (A)		96		116
GNMA CMO, Ser 2004-34, Cl JO, PO
0.000%, 02/20/34		288		273
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (A)		505		539
GNMA CMO, Ser 2004-85, Cl PO, PO
0.000%, 01/17/33		223		211
GNMA CMO, Ser 2004-87, Cl SB
7.284%, 03/17/33 (A)		407		410
GNMA CMO, Ser 2005-3, Cl SB, IO
5.760%, 01/20/35 (A)		2,150		250
GNMA CMO, Ser 2005-7, Cl JM
15.977%, 05/18/34 (A)		432		522


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

GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35	$	1,000	$	1,127
GNMA CMO, Ser 2006-34, Cl PO, PO
0.000%, 07/20/36		274		247
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36		1,723		1,857
GNMA CMO, Ser 2006-38, Cl SW, IO
6.160%, 06/20/36 (A)		2,251		224
GNMA CMO, Ser 2007-17, Cl AF
0.537%, 04/16/37 (A)		1,033		1,025
GNMA CMO, Ser 2007-27, Cl SD, IO
5.860%, 05/20/37 (A)		1,445		151
GNMA CMO, Ser 2007-42, Cl SB, IO
6.410%, 07/20/37 (A)		2,087		222
GNMA CMO, Ser 2007-45, Cl QA, IO
6.300%, 07/20/37 (A)		1,377		120
GNMA CMO, Ser 2007-72, Cl USIO, IO
6.210%, 11/20/37 (A)		1,680		145
GNMA CMO, Ser 2007-78, Cl SA, IO
6.193%, 12/16/37 (A)		18,694		2,169
GNMA CMO, Ser 2007-81, Cl SP, IO
6.310%, 12/20/37 (A)		2,075		192
GNMA CMO, Ser 2007-82, Cl SA, IO
6.190%, 12/20/37 (A)		1,356		112
GNMA CMO, Ser 2007-9, Cl CI, IO
5.860%, 03/20/37 (A)		1,773		184
GNMA CMO, Ser 2008-10, Cl S, IO
5.490%, 02/20/38 (A)		2,473		212
GNMA CMO, Ser 2008-2, Cl MS, IO
6.823%, 01/16/38 (A)		1,803		181
GNMA CMO, Ser 2008-29, Cl PO, PO
0.000%, 02/17/33		598		539
GNMA CMO, Ser 2008-33, Cl XS, IO
7.363%, 04/16/38 (A)		1,000		127
GNMA CMO, Ser 2008-55, Cl SA, IO
5.860%, 06/20/38 (A)		2,425		202
GNMA CMO, Ser 2009-106, Cl AS, IO
6.063%, 11/16/39 (A)		3,894		418
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/39		65		10
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		1,326		188
GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/37		1,698		256
GNMA CMO, Ser 2009-22, Cl SA, IO
5.930%, 04/20/39 (A)		3,645		374
GNMA CMO, Ser 2009-24, Cl DS, IO
5.960%, 03/20/39 (A)		2,274		232


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

GNMA CMO, Ser 2009-25, Cl SE, IO
7.260%, 09/20/38 (A)	$	1,398	$	167
GNMA CMO, Ser 2009-31, Cl TS, IO
5.960%, 03/20/39 (A)		3,677		376
GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/39		599		96
GNMA CMO, Ser 2009-42, Cl SC, IO
5.740%, 06/20/39 (A)		1,284		140
GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/37 (A)		3,073		82
GNMA CMO, Ser 2009-43, Cl SA, IO
5.610%, 06/20/39 (A)		3,265		281
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/20		1,407		1,575
GNMA CMO, Ser 2009-6, Cl SH, IO
5.700%, 02/20/39 (A)		2,725		290
GNMA CMO, Ser 2009-65, Cl TS, IO
6.060%, 12/20/38 (A)		4,908		508
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		1,636		187
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/39		2,245		2,521
GNMA CMO, Ser 2009-67, Cl SA, IO
5.713%, 08/16/39 (A)		3,436		352
GNMA CMO, Ser 2009-79, Cl OK, PO
0.000%, 11/16/37		1,897		1,711
GNMA CMO, Ser 2010-14, Cl CO, PO
0.000%, 08/20/35		425		268
GNMA CMO, Ser 2010-59, Cl LB
4.500%, 10/20/39		2,900		3,008
GNMA CMO, Ser 2010-H08, Cl FC
1.264%, 06/30/60 (G)		5,530		5,680
GNMA TBA
6.000%, 06/01/34		2,200		2,385

				1,830,483


Non-Agency Mortgage-Backed Obligations — 13.7%
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1
5.150%, 03/25/58 (A) (B)		864		863
American Home Mortgage Assets, Ser 2006-5, Cl A1
1.341%, 11/25/46 (A)		1,594		776
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.468%, 03/25/47 (A)		13,431		7,536
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.755%, 05/24/36 (A) (B)		1,025		1,030
ASG Resecuritization Trust, Ser 2009-3, Cl A65
5.595%, 03/26/37 (A) (B)		2,247		2,248


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

ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/37 (B)	$	1,706	$	1,714
Asset Securitization, Ser 1996-D3, Cl A2
7.558%, 10/13/26 (A)		2,159		2,254
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34		412		410
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		820		817
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/33		608		625
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/18		1,095		1,110
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33		953		963
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		670		669
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		590		597
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
6.168%, 11/25/21 (A)		289		257
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
6.145%, 04/25/37 (A)		480		302
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4
6.186%, 06/11/35		5,062		5,335
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35		916		963
Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1
3.878%, 09/11/36		2,277		2,305
Banc of America Commercial Mortgage Securities, Ser 2004-6, Cl A3
4.512%, 12/10/42		895		912
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43		4,794		4,811


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

Banc of America Commercial Mortgage Securities, Ser 2005-4, Cl A5A
4.930%, 07/10/45	$	2,943	$	2,914
Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4
5.115%, 10/10/45 (A)		300		310
Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A4
5.634%, 07/10/46		800		809
Banc of America Commercial Mortgage, Ser 2002-2, Cl E
7.634%, 09/15/32 (A)		767		765
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		500		453
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/45 (A)		500		510
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (A)		3,863		3,880
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		5,751		5,773
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/34		675		648
Banc of America Funding, Ser 2004-3, Cl 1A7
5.500%, 10/25/34		1,120		1,116
Banc of America Funding, Ser 2004-C, Cl 1A1
5.052%, 12/20/34 (A)		516		512
Banc of America Funding, Ser 2005-B, Cl 2A1
3.018%, 04/20/35 (A)		4,513		3,279
Banc of America Funding, Ser 2010-R5, Cl 5A6
0.643%, 05/26/37 (A) (B) (G)		1,945		1,894
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.893%, 05/25/18 (A)		457		434
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.793%, 08/25/18 (A)		488		471
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2
3.335%, 06/25/33 (A)		435		411
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/19		476		479


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

Banc of America Mortgage Securities, Ser 2004-3, Cl 1A23
4.500%, 04/25/34	$	779	$	781
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		434		433
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/32		286		284
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1
5.750%, 06/26/37 (B)		2,129		2,129
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1
5.250%, 05/26/37 (A) (B)		696		696
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (B)		1,399		1,399
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.180%, 04/26/37 (A) (B)		1,100		1,096
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1
5.500%, 11/26/37 (A) (B)		1,000		1,002
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
5.151%, 05/25/34 (A)		534		550
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.267%, 05/25/34 (A)		2,878		2,893
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.530%, 08/25/35 (A)		646		617
Bear Stearns Alt-A Trust, Ser 2005-2, Cl 2A4
3.044%, 04/25/35 (A)		264		198
Bear Stearns Asset Backed Securities Trust, Ser 2006-AC1, Cl 1A1
5.750%, 02/25/36		2,290		1,612
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		243		249
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33		1,457		1,504
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		454		474
Bear Stearns Commercial Mortgage Securities, Ser 2003-T-12, Cl A3
4.240%, 08/13/39 (A)		598		613


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

Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR4, Cl A3
5.468%, 06/11/41 (A)	$	691	$	726
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/41		1,110		1,133
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.149%, 10/12/42 (A)		6,500		6,815
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.456%, 03/11/39 (A)		300		310
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4
5.537%, 10/12/41		300		312
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4
5.405%, 12/11/40 (A)		2,143		2,200
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A3
5.736%, 06/11/50		2,640		2,685
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.793%, 01/25/34 (A)		522		514
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
0.000%, 10/25/18		325		261
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
5.229%, 12/25/35 (A)		13,166		11,182
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
4.549%, 02/25/37 (A)		429		433
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
3.815%, 02/25/37 (A)		472		462
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
3.253%, 07/25/37 (A)		723		698
Citicorp Mortgage Securities, Ser 2003-6, Cl 1A2
4.500%, 05/25/33		217		219
Citicorp Mortgage Securities, Ser 2004-3, Cl A8
5.250%, 05/25/34		404		404
Citigroup Deutsche Bank Commercial Mortgage, Ser 2007-CD4, Cl A4
5.322%, 12/11/49		6,855		6,489
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
5.073%, 08/25/34 (A)		800		829


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

Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3
4.900%, 12/25/35 (A)	$	6,218	$	5,197
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/36 (B) (G)		1,508		1,393
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (A)		4,560		4,983
Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2
7.546%, 11/17/32 (A)		20		20
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl AJ
6.019%, 12/10/49 (A)		1,210		618
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.019%, 12/10/49 (A)		6,930		6,673
Commercial Mortgage Pass Through Certificates, Ser 2004-LB2A, Cl A4
4.715%, 03/10/39		1,421		1,453
Commercial Mortgage Pass Through Certificates, Ser 2005-LP5, Cl A4
4.982%, 05/10/43 (A)		600		618
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (B)		239		250
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33		2,662		2,692
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34		2,333		2,372
Countrywide Alternative Loan Trust, Ser 2004-32CB, Cl 2A3, IO
4.757%, 02/25/35 (A)		42,735		4,387
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		421		426
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/31		376		271
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/31		1,345		1,374
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.521%, 08/25/35 (A)		1,051		543
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1
1.791%, 08/25/35 (A)		4,133		1,940


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

Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1
0.653%, 11/25/35 (A)	$	7,852	$	4,270
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.586%, 11/20/35 (A)		5,522		3,213
Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1
0.613%, 01/25/36 (A)		2,946		1,788
Countrywide Alternative Loan Trust, Ser 2006-0A9, Cl 2A1A
0.550%, 07/20/46 (A)		633		250
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-39, Cl A6
5.000%, 10/25/33		840		807
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-56, Cl 6A1
3.476%, 12/25/33 (A)		594		516
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J1, Cl A6
5.250%, 09/25/33		1,000		1,023
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J13, Cl 1A7
5.250%, 01/25/34		1,406		1,375
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J7, Cl 4A3
9.331%, 08/25/18 (A)		232		224
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-20, Cl 2A1
2.964%, 09/25/34 (A)		93		39
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/19		1,748		1,759
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7
5.250%, 12/25/27		804		745
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.743%, 09/25/35 (A) (B)		6,972		5,601
Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl A4
5.435%, 09/15/34		427		441
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1
4.485%, 11/15/36		35		35


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

Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36	$	3,030	$	3,168
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35		841		881
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/33		1,125		1,096
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/33		332		334
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/18		659		665
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl A2
4.597%, 03/15/35		1,452		1,513
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2
2.708%, 06/25/34 (A)		888		867
Credit Suisse First Boston Mortgage Securities, Ser 2005-4, Cl 3A24
18.160%, 06/25/35 (A)		357		370
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		332		336
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37		1,987		1,974
Credit Suisse First Boston Mortgage Securities, Ser 2005-C6, Cl A4
5.230%, 12/15/40 (A)		13,000		13,379
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3
5.657%, 03/15/39 (A)		825		825
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		10,517		10,179
Credit Suisse Mortgage Capital Certificates, Ser 2007-C5, Cl A3
5.694%, 09/15/40 (A)		1,960		1,945
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (B)		951		955
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1
1.354%, 06/28/47 (A) (B)		1,775		1,773
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		7,865		7,542
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1
5.590%, 02/25/20 (A)		420		422


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

Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (B)	$	2,736	$	2,818
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.739%, 11/19/44 (A)		2,209		813
DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1A
1.341%, 03/19/46 (A)		412		180
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.823%, 02/25/48 (A) (B)		7,516		7,544
FHLMC Multifamily Structured Pass Through Certificates, Ser FHMS, Cl A1
3.398%, 07/25/19		9		9
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/18		1,478		1,504
First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl B
7.281%, 10/15/32 (A)		500		506
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		789		823
First Union National Bank Commercial Mortgage, Ser 2002-C1, Cl A2
6.141%, 02/12/34		794		830
GE Capital Commercial Mortgage, Ser 2001-3, Cl A1
5.560%, 06/10/38		180		182
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		1,562		1,648
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4
5.334%, 11/10/45 (A)		3,518		3,669
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4
5.543%, 12/10/49		1,000		916
GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 (A) (G)		8		8
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		404		420
GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39		3,009		3,155


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

GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D
5.501%, 05/10/40 (A)	$	654	$	668
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.485%, 05/10/40 (A)		1,073		1,153
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		760		800
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4
5.301%, 08/10/38 (A)		1,299		1,321
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/45 (A)		700		716
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
4.067%, 10/19/33 (A)		2,317		2,278
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/33		746		732
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33		1,106		1,001
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		270		268
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7
6.500%, 01/25/35		1,056		1,094
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1
5.000%, 01/25/20		683		697
GMAC Mortgage Loan Trust, Ser 2005-AR5 , Cl 3A1
4.852%, 09/19/35 (A)		222		209
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
5.145%, 11/19/35 (A)		1,004		757
Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A
0.423%, 02/25/47 (A)		12,021		8,491
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (A)		1,622		1,700
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (A)		4,580		4,605
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl AAB
5.190%, 04/10/37 (A)		286		301


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

Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
5.888%, 07/10/38 (A)	$	12,222	$	12,398
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		7,000		6,764
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2
6.449%, 08/05/18 (A) (B)		6,987		7,331
GS Mortgage Securities II, Ser 2004-C1, Cl A2
4.319%, 10/10/28		1,869		1,880
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA
4.680%, 07/10/39		5,745		5,935
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/38 (A)		1,000		995
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (A) (B)		5		5
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF
0.693%, 09/25/35 (A) (B)		2,973		2,234
GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1
0.743%, 04/25/36 (A) (B)		2,162		1,831
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/34		694		709
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 2A3
5.500%, 06/25/35		557		565
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3
0.843%, 06/25/35 (A)		825		742
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		125		101
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		948		961
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.693%, 08/25/36 (A)		1,590		1,286
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
6.127%, 11/25/37 (A)		1,940		1,538
JP Morgan Chase Commercial Mortgage Securities, Ser 2002- C2, Cl B
5.211%, 12/12/34 (A)		403		416


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

JP Morgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42	$	4,619	$	4,740
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-CB16, Cl A4
5.552%, 05/12/45		1,371		1,383
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A3
5.962%, 02/15/51 (A)		2,209		2,226
JP Morgan Mortgage Trust
4.478%, 02/25/35 (A)		688		690
JP Morgan Mortgage Trust, Ser 2005-A1, Cl 3A4
5.016%, 02/25/35 (A)		1,000		996
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (A)		11,300		4,291
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3
6.465%, 11/15/35		1,955		2,046
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37		969		1,020
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4
4.879%, 01/12/38 (A)		2,490		2,589
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-PM1A, Cl A4
5.326%, 08/12/40 (A)		1,629		1,733
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4
5.371%, 06/12/41 (A)		651		676
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/42 (A)		500		511
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4
5.399%, 05/15/45		500		505
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		3,588		3,448


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

JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl A4
5.716%, 02/15/51	$	2,465	$	2,397
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/51 (A)		7,877		7,695
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A2S
5.305%, 01/15/49		6,589		6,533
JPMorgan Chase Commercial Mortgage Securities, Ser 2008-C2, Cl A1
5.017%, 02/12/51		115		118
JPMorgan Chase Commercial Mortgage Securities, Ser 2009- IWST, Cl A2
5.633%, 12/05/27 (B)		4,593		4,891
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl C
7.639%, 08/15/32 (A)		903		903
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
4.280%, 07/25/34 (A)		310		314
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
4.556%, 06/25/34 (A)		3,957		3,987
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
4.609%, 09/25/34 (A)		361		369
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.817%, 12/25/34 (A)		2,620		2,663
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4
4.817%, 12/25/34 (A)		11,500		11,127
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.310%, 04/25/35 (A)		360		355
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2
4.504%, 06/25/35 (A)		13,065		10,811
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
3.900%, 08/25/34 (A)		2,299		2,243
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2
5.754%, 04/25/36 (A)		13,400		11,003
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4
5.733%, 05/25/36 (A)		14,500		12,035
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
3.894%, 08/25/34 (A)		1,024		925


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

LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
5.940%, 07/15/44 (A)	$	844	$	861
LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2
5.594%, 06/15/31		12,470		13,160
LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2
6.653%, 11/15/27		930		956
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4
4.563%, 09/15/26		707		725
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		1,848		1,929
LB-UBS Commercial Mortgage Trust, Ser 2003-C3, Cl A4
4.166%, 05/15/32		752		777
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (A)		18,003		19,119
LB-UBS Commercial Mortgage Trust, Ser 2004-C2, Cl A4
4.367%, 03/15/36		1,699		1,697
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		853		874
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		350		355
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A2
5.868%, 06/15/32 (A)		395		405
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
5.882%, 06/15/38 (A)		4,560		4,706
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl A4
5.372%, 09/15/39		1,247		1,249
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		272		281
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB
5.403%, 02/15/40		352		360
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2
6.155%, 04/15/41 (A)		5,813		5,955
LVII Resecuritization Trust, Ser 2009-2, Cl A3
3.000%, 09/27/37 (A) (B)		1,000		997
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
3.075%, 11/21/34 (A)		1,585		1,372


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

Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6
3.075%, 11/21/34 (A)	$	1,076	$	1,075
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
3.075%, 11/21/34 (A)		11,650		10,944
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1
0.543%, 05/25/47 (A)		17,130		8,676
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/34		2,311		2,372
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (B)		3,655		3,412
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.693%, 05/25/35 (A) (B)		702		569
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F
0.703%, 07/25/35 (A) (B)		1,596		1,319
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO
0.000%, 05/28/35 (B)		608		365
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/33		600		596
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3
6.250%, 07/25/36		802		592
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/18		205		212
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/33		695		714
MASTR Asset Securitization Trust, Ser 2004-10, Cl SA1
0.743%, 11/25/34 (A)		117		112
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A
3.227%, 07/25/33 (A)		242		244
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
2.811%, 02/25/34 (A)		248		231
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.261%, 02/25/34 (A)		4,735		4,840
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2
2.892%, 08/25/34 (A)		484		483
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
2.800%, 02/25/35 (A)		227		222


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

Merrill Lynch Mortgage Trust
5.047%, 07/12/38 (A)	$	1,762	$	1,810
Merrill Lynch Mortgage Trust, Ser 2003-KEY1, Cl A4
5.236%, 11/12/35 (A)		2,392		2,513
Merrill Lynch Mortgage Trust, Ser 2004-KEY2, Cl A4
4.864%, 08/12/39 (A)		1,031		1,050
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (A)		1,069		1,091
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
2.686%, 02/25/36 (A)		466		374
Merrill Lynch Mortgage Trust, Ser 2006-C1
5.655%, 05/12/39 (A)		505		516
Merrill Lynch Mortgage Trust, Ser 2007-C1, Cl A3
5.826%, 06/12/50 (A)		2,256		2,267
Merrill Lynch, Ser 2006-4, Cl A3
5.172%, 12/12/49 (A)		16,900		16,187
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/51 (A)		3,700		3,421
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-7, Cl A4
5.747%, 06/12/50 (A)		6,740		6,439
MLCC Mortgage Investors, Ser 2004-A, Cl A2
0.684%, 04/25/29 (A)		431		386
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.010%, 05/25/29 (A)		595		562
MLCC Mortgage Investors, Ser 2004-D, Cl A2
0.754%, 08/25/29 (A)		521		472
MLCC Mortgage Investors, Ser 2005-1, Cl 2A2
2.361%, 04/25/35 (A)		274		253
MLCC Mortgage Investors, Ser 2005-1, Cl 2A1
2.361%, 04/25/35 (A)		88		83
Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4
5.010%, 04/15/38		9		10
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/41		1,923		1,982
Morgan Stanley Capital I, Ser 2004-HQ4, Cl A7
4.970%, 04/14/40		6,639		6,665


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

Morgan Stanley Capital I, Ser 2004-IQ7, Cl A4
5.401%, 06/15/38 (A)	$	2,922	$	3,039
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4
4.900%, 06/15/40		2,536		2,614
Morgan Stanley Capital I, Ser 2004-T15, Cl A4
5.270%, 06/13/41 (A)		1,073		1,113
Morgan Stanley Capital I, Ser 2004-T15, Cl A2
4.690%, 06/13/41		473		475
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		3,786		3,949
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42		3,780		3,880
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.185%, 11/14/42 (A)		418		436
Morgan Stanley Capital I, Ser 2005-T17, Cl A4
4.520%, 12/13/41		178		182
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (A)		7,300		7,390
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.649%, 06/11/42 (A)		300		308
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl B
6.550%, 07/15/33		815		851
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl A3
6.510%, 04/15/34		532		556
Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A4
5.740%, 12/15/35		453		475
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		3,133		3,296
Morgan Stanley Dean Witter Capital I, Ser 2003-TOP9, Cl A2
4.740%, 11/13/36		1,132		1,188
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.453%, 02/25/47 (A)		529		411
New York Mortgage Trust, Ser 2006-1, Cl 2A2
5.548%, 05/25/36 (A)		788		685
Nomura Asset Securities, Ser 1998-D6, Cl A2
7.070%, 03/15/30 (A)		476		533


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

Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
0.000%, 02/25/34	$	153	$	90
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/34		430		442
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/35 (B)		2,940		2,594
Prudential Mortgage Capital Funding LLC, Ser 2001-ROCK, Cl B
6.760%, 05/10/34		867		902
RBSGC Mortgage Pass Through Certificates, Ser 2007-B, Cl 1A4
0.793%, 01/25/37 (A)		6,260		3,509
RBSSP Resecuritization Trust, Ser 2010-4, Cl 12A1
4.500%, 03/26/21 (B)		1,200		1,223
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		593		595
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/33		584		563
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/34		1,390		1,103
Residential Accredit Loans, Ser 2005-Q02, Cl A1
1.781%, 09/25/45 (A)		1,162		659
Residential Accredit Loans, Ser 2006-QO8, Cl 1A1A
0.433%, 10/25/46 (A)		4,311		4,132
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		1,040		1,014
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31		1,974		1,932
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33		664		644
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.897%, 12/25/34 (A)		1,914		1,755
Salomon Brothers Mortgage Securities VII, Ser 2000-C2 C, Cl C
7.727%, 07/18/33 (A)		1,398		1,394
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36		1,577		1,623


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

Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
3.690%, 09/25/33 (A)	$	974	$	958
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (A)		1,570		1,586
Station Place Securitization Trust, Ser 2009-1, Cl A
1.843%, 01/25/40 (A) (B) (G)		1,000		1,002
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-18, Cl 1A1
5.534%, 09/25/35 (A)		4,694		3,642
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.663%, 10/25/35 (A)		5,680		3,434
Structured Asset Mortgage Investments, Ser 2004-AR8, Cl A1
0.679%, 05/19/35 (A)		236		168
Structured Asset Mortgage Investments, Ser 2006-AR6, Cl 1A3
0.533%, 07/25/46 (A)		214		110
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A
0.543%, 10/25/36 (A)		6,597		3,628
Structured Asset Mortgage Investments, Ser 2007-AR4, Cl GA4B
0.523%, 09/25/47 (A)		18,561		9,768
Structured Asset Securities, Ser 2003-16, Cl A3
0.843%, 06/25/33 (A)		1,310		1,197
Structured Asset Securities, Ser 2003-31A, Cl 2A7
2.495%, 10/25/33 (A)		11,211		10,650
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.145%, 11/25/33 (A)		328		335
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33		1,144		1,085
Structured Asset Securities, Ser 2003-37A, Cl 2A
4.997%, 12/25/33 (A)		452		458
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33		1,000		967
Structured Asset Securities, Ser 2005-6, Cl 5A8
13.214%, 05/25/35 (A)		178		171


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

Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.663%, 09/25/43 (A)	$	232	$	210
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1
6.201%, 09/25/37 (A)		6,213		5,840
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1
6.205%, 09/25/37 (A)		6,283		6,011
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
6.071%, 08/15/39 (A)		2,500		2,694
US Bank National Mortgage Association, Ser 2007-1, Cl A
5.920%, 05/25/12		4,729		4,957
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23		2,989		3,345
Virginia Housing Development Authority, Ser 2006-2, Cl CTFS
6.000%, 06/25/34		614		616
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34		2,587		2,741
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (B)		358		361
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		870		887
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/42		1,658		1,708
WaMu Mortgage Pass Through Certificates, Ser 2004-S1, Cl 1A3
0.743%, 03/25/34 (A)		548		535
WaMu Mortgage Pass Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/34		695		677
WaMu Mortgage Pass Through Certificates, Ser 2006-AR7, Cl 2A
1.401%, 07/25/46 (A)		1,268		797
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
2.771%, 01/25/33 (A)		380		366
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.825%, 10/25/33 (A)		670		633


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

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1
3.019%, 06/25/33 (A)	$	657	$	636
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.831%, 08/25/33 (A)		595		583
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.847%, 08/25/33 (A)		355		351
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A
2.882%, 09/25/33 (A)		411		411
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.833%, 09/25/33 (A)		1,265		1,241
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		536		543
WaMu Mortgage Pass-Through Certificates, Ser 2003-S11, Cl 2A5
16.107%, 11/25/33 (A)		975		1,020
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18		680		697
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.520%, 06/25/33 (A)		192		192
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		2,127		1,966
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR11, Cl A
2.890%, 10/25/34 (A)		49		47
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR14, Cl A1
2.740%, 01/25/35 (A)		1,734		1,698
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
2.712%, 06/25/34 (A)		344		329
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19		777		793
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR11, Cl A1A
0.663%, 08/25/45 (A)		165		128
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.633%, 10/25/45 (A)		4,144		3,171


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

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.623%, 11/25/45 (A)	$	6,514	$	4,311
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
5.070%, 12/25/35 (A)		13,585		11,087
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.633%, 12/25/45 (A)		6,168		4,168
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
1.491%, 01/25/46 (A)		3,349		887
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A
3.359%, 10/25/46 (A)		1,608		1,046
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
5.570%, 11/25/36 (A)		510		390
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B
3.359%, 11/25/46 (A)		2,112		697
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B
1.261%, 11/25/46 (A)		1,832		410
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A
1.261%, 11/25/46 (A)		3,175		1,935
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
1.231%, 12/25/46 (A)		636		194
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
3.359%, 12/25/46 (A)		728		409
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA
1.411%, 06/25/46 (A)		1,359		593
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B
1.361%, 09/25/46 (A)		1,070		120
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1
5.610%, 02/25/37 (A)		6,636		4,867


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

WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 4A1
5.370%, 02/25/37 (A)	$	9,138	$	6,686
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 4A1
5.348%, 03/25/37 (A)		437		382
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 1A1
5.520%, 03/25/37 (A)		7,723		5,630
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl A1B
1.281%, 05/25/47 (A)		16,266		3,577
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A
1.191%, 06/25/47 (A)		13,072		7,738
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A
1.251%, 07/25/47 (A)		13,165		7,593
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/35		850		126
Washington Mutual Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A2
2.712%, 06/25/34 (A)		451		441
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS8, Cl 1P, PO
1.656%, 05/25/33		417		266
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS9, Cl 2P, PO
1.655%, 04/25/33		845		593
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18		2,473		2,532
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-C, Cl A6
3.292%, 02/25/33 (A)		747		754
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-J, Cl 2A5
4.438%, 10/25/33 (A)		343		348
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-K, Cl 1A1
4.472%, 11/25/33 (A)		1,533		1,556


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

Wells Fargo Mortgage Backed Securities Trust, Ser 2004-0, Cl A1
4.862%, 08/25/34 (A)	$	681	$	689
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-B, Cl A1
4.896%, 02/25/34 (A)		1,091		1,108
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (A)		265		264
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A8
4.858%, 05/25/34 (A)		1,000		1,003
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A2
3.596%, 12/25/34 (A)		504		515
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A1
3.050%, 12/25/34 (A)		1,052		1,049
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A1
3.596%, 12/25/34 (A)		336		338
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl 1A1
3.322%, 07/25/34 (A)		1,021		998
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-L, Cl A5
4.756%, 07/25/34 (A)		571		575
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-L, Cl A6
4.756%, 07/25/34 (A)		895		915
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-P, Cl 2A1
3.060%, 09/25/34 (A)		679		665
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A1
3.143%, 10/25/34 (A)		910		926
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A2
3.143%, 10/25/34 (A)		728		723


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

Wells Fargo Mortgage Backed Securities Trust, Ser 2005-13, Cl A1
5.000%, 11/25/20	$	672	$	681
Wells Fargo Mortgage Backed Securities Trust, Ser 2005- AR14, Cl A1
5.368%, 08/25/35 (A)		936		903
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR8, Cl 2A1
3.098%, 06/25/35 (A)		1,254		1,242
Wells Fargo Mortgage Backed Securities Trust, Ser 2006- AR18, Cl 1A1
5.795%, 11/25/36 (A)		1,101		978
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
3.050%, 12/25/34 (A)		702		695

				784,945

Total Mortgage-Backed Securities (Cost $2,612,579) ($ Thousands)				2,615,428


CORPORATE OBLIGATIONS — 26.8%

Consumer Discretionary — 1.4%
British Sky Broadcasting Group
9.500%, 11/15/18 (B)		1,895		2,434
CBS
7.875%, 07/30/30		160		175
5.750%, 04/15/20		92		94
Comcast
6.500%, 01/15/17 (C)		7,925		8,869
6.500%, 01/15/15 (C)		3,635		4,121
6.400%, 03/01/40 (C)		1,900		1,999
5.150%, 03/01/20		2,984		3,068
4.950%, 06/15/16		4,125		4,350
Comcast Cable Communications
8.375%, 03/15/13		3,307		3,832
6.750%, 01/30/11 (C)		1,840		1,905
COX Communications
5.450%, 12/15/14		235		257
CVS
5.789%, 01/10/26 (B)		1,942		1,912

CVS Caremark
6.600%, 03/15/19		280		318
CVS Lease Pass-Through
6.036%, 12/10/28 (B)		6,065		6,138
5.880%, 01/10/28 (B)		176		178
DaimlerChrysler
7.300%, 01/15/12		2,515		2,725
6.500%, 11/15/13 (C)		460		512


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Eastman Kodak
7.250%, 11/15/13	$	2,445	$	2,360
Grupo Televisa
6.625%, 01/15/40		2,445		2,448
Historic TW
9.150%, 02/01/23		500		655
Kohl’s
6.250%, 12/15/17 (C)		255		289
Lowe’s MTN
7.110%, 05/15/37		400		475
McDonald’s MTN
5.350%, 03/01/18 (C)		2,350		2,617
News America
6.650%, 11/15/37		260		281
Staples
9.750%, 01/15/14 (C)		305		374
Target
4.000%, 06/15/13		355		377
Thomson Reuters
5.950%, 07/15/13		1,350		1,498
4.700%, 10/15/19		250		257
Time Warner
7.625%, 04/15/31		4,680		5,381
6.875%, 05/01/12		130		142
Time Warner Cable
8.750%, 02/14/19		3,320		4,141
8.250%, 04/01/19		3,235		3,938
7.300%, 07/01/38 (C)		400		457
6.750%, 07/01/18 (C)		120		135
6.550%, 05/01/37		5,050		5,265
5.850%, 05/01/17		1,230		1,336
Viacom
6.250%, 04/30/16		300		337
Wal-Mart Stores
5.800%, 02/15/18		1,990		2,288

				77,938


Consumer Staples — 1.3%
Altria Group
10.200%, 02/06/39		855		1,104
9.700%, 11/10/18 (C)		3,450		4,190
9.250%, 08/06/19		1,690		2,005
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (B)		7,240		8,580
7.200%, 01/15/14 (B)		100		114
5.375%, 01/15/20		4,550		4,745

5.375%, 11/15/14 (B)		4,885		5,299
5.000%, 04/15/20 (B)		910		923
4.125%, 01/15/15		5,305		5,475
Bunge Finance
8.500%, 06/15/19		350		408
5.900%, 04/01/17		107		113
Cargill
7.350%, 03/06/19 (B)		400		483


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Diageo Capital
4.828%, 07/15/20	$	300	$	306
Diageo Finance BV
5.500%, 04/01/13		300		330
Dr Pepper Snapple Group
6.820%, 05/01/18		2,870		3,354
2.350%, 12/21/12		2,735		2,756
Kraft Foods
6.750%, 02/19/14 (C)		200		228
6.500%, 02/09/40		7,440		7,898
6.500%, 08/11/17		100		113
6.125%, 08/23/18		700		771
5.375%, 02/10/20		10,910		11,331
PepsiCo
7.900%, 11/01/18 (C)		1,580		2,027
5.500%, 01/15/40		1,915		1,970
Reynolds American
7.250%, 06/01/12		2,090		2,256
SABMiller
5.500%, 08/15/13 (B)		320		350
Safeway
6.350%, 08/15/17		2,726		3,111
Wal-Mart Stores
5.625%, 04/01/40		5,430		5,659
5.250%, 09/01/35		1,035		1,025

				76,924


Energy — 2.5%
Anadarko Finance
7.500%, 05/01/31		273		284
Anadarko Petroleum
8.700%, 03/15/19		150		176
7.625%, 03/15/14		450		501
6.950%, 06/15/19		90		97
6.450%, 09/15/36		2,258		2,138
5.950%, 09/15/16		5,010		5,337
ANR Pipeline
9.625%, 11/01/21		100		137
Apache
6.000%, 09/15/13		3,300		3,701
5.625%, 01/15/17		390		438
Baker Hughes
7.500%, 11/15/18		2,290		2,769
Cenovus Energy
5.700%, 10/15/19 (B)		150		158

CenterPoint Energy Resources
7.875%, 04/01/13		170		195
Conoco Funding
7.250%, 10/15/31		885		1,077
6.950%, 04/15/29 (C)		2,515		2,999
6.350%, 10/15/11		430		460
ConocoPhillips
6.000%, 01/15/20 (C)		460		524
5.900%, 05/15/38		3,845		4,156


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.900%, 10/15/32	$	10	$	11
Duke Capital LLC
8.000%, 10/01/19		702		842
El Paso
6.950%, 06/01/28		2,250		1,948
EnCana
6.500%, 05/15/19		565		629
6.500%, 02/01/38		3,735		3,948
Energy Transfer Partners
9.000%, 04/15/19		2,605		3,067
8.500%, 04/15/14		1,060		1,237
6.700%, 07/01/18		4,030		4,315
Enterprise Products Operating LLC
9.750%, 01/31/14 (C)		3,610		4,356
Gaz Capital for Gazprom
6.212%, 11/22/16 (B)		427		417
Halliburton
6.150%, 09/15/19		300		328
Hess
8.125%, 02/15/19		4,200		5,183
7.300%, 08/15/31		1,445		1,680
Husky Energy
5.900%, 06/15/14		1,625		1,787
Kerr-McGee
6.950%, 07/01/24		2,325		2,453
Kinder Morgan Energy Partners
7.125%, 03/15/12		1,760		1,901
6.550%, 09/15/40		2,110		2,077
6.000%, 02/01/17		610		656
5.000%, 12/15/13		1,190		1,263
Marathon Oil
7.500%, 02/15/19 (C)		300		349
Motiva Enterprises LLC
6.850%, 01/15/40 (B)		3,050		3,375
Occidental Petroleum
7.000%, 11/01/13		4,440		5,157
Pemex Project Funding Master Trust
6.625%, 06/15/35		5,602		5,490
1.136%, 12/03/12 (A) (B)		201		199
Petrobras International Finance
7.875%, 03/15/19 (C)		1,585		1,793
6.875%, 01/20/40		1,490		1,495
6.125%, 10/06/16		1,300		1,384
5.750%, 01/20/20		1,127		1,118

Petro-Canada
6.800%, 05/15/38 (C)		4,610		4,980
6.050%, 05/15/18		260		284
Ras Laffan Liquefied Natural Gas III
5.500%, 09/30/14 (B)		2,900		3,099
4.500%, 09/30/12 (B)		1,995		2,058
Rockies Express Pipeline LLC
5.625%, 04/15/20 (B)		1,965		1,939
3.900%, 04/15/15 (B)		4,445		4,373


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Shell International Finance BV
6.375%, 12/15/38	$	2,790	$	3,185
4.375%, 03/25/20		90		91
4.300%, 09/22/19		1,000		1,009
Sonat
7.625%, 07/15/11		2,880		2,975
Suncor Energy
6.500%, 06/15/38		2,120		2,212
Talisman Energy
7.750%, 06/01/19 (C)		390		470
Tosco
7.800%, 01/01/27		210		254
Total Capital
3.125%, 10/02/15		2,390		2,423
TransCanada Pipelines
6.200%, 10/15/37		3,240		3,252
TransCanada PipeLines
6.500%, 08/15/18 (C)		425		480
Union Pacific Resources Group
7.150%, 05/15/28		150		160
Valero Energy
9.375%, 03/15/19		8,370		9,912
Williams
8.750%, 03/15/32 (C)		1,606		1,913
7.875%, 09/01/21		2,862		3,308
7.750%, 06/15/31		548		598
Williams Partners
5.250%, 03/15/20 (B) (C)		1,140		1,140
Williams, Ser A
7.500%, 01/15/31		2,265		2,407
XTO Energy
7.500%, 04/15/12		1,320		1,468
6.750%, 08/01/37		1,075		1,277
6.250%, 08/01/17		380		440
5.650%, 04/01/16		390		442
5.500%, 06/15/18		2,692		2,965
4.625%, 06/15/13		100		107

				142,826


Financials — 14.4%
Achmea Hypotheekbank
3.200%, 11/03/14 (B)		7,010		7,105
Aegon, Ser CMS
3.891%, 07/29/49 (A)		2,180		1,304

AEP Texas Central Transition Funding LLC
5.090%, 07/01/15		8,975		9,908
4.980%, 07/01/13		949		1,000
Aiful
5.000%, 08/10/10 (B)		1,800		1,674
Allstate
6.200%, 05/16/14		4,765		5,360
5.000%, 08/15/14 (C)		300		325


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Express
7.250%, 05/20/14	$	2,450	$	2,780
7.000%, 03/19/18 (C)		500		569
6.800%, 09/01/66 (A)		2,545		2,405
5.875%, 05/02/13		2,100		2,282
American Express Credit MTN
7.300%, 08/20/13		500		562
5.125%, 08/25/14		5,900		6,313
American General Finance MTN
6.900%, 12/15/17		1,500		1,193
American Honda Finance
2.375%, 03/18/13 (B)		150		151
American International Group
8.250%, 08/15/18		980		956
6.250%, 03/15/37		5,000		3,125
5.850%, 01/16/18		2,670		2,256
ANZ National Int’l
2.375%, 12/21/12 (B)		190		191
ASIF Global Financing XIX
4.900%, 01/17/13 (B)		450		423
Associates Corp of North America
6.950%, 11/01/18		450		466
Australia & New Zealand Banking Group
3.700%, 01/13/15 (B)		4,000		4,039
0.681%, 10/29/49 (A)		1,400		959
BA Covered Bond Issuer
5.500%, 06/14/12 (B)		1,500		1,598
BAC Capital Trust XIV
5.630%, 03/15/12 (A)		180		124
BAC Capital Trust XV
1.338%, 06/01/56 (A)		9,235		5,593
Bank of America
7.625%, 06/01/19		1,015		1,152
7.400%, 01/15/11		2,500		2,587
7.375%, 05/15/14		3,905		4,312
6.500%, 08/01/16		8,755		9,325
6.000%, 09/01/17		2,115		2,167
5.750%, 12/01/17		3,190		3,231
5.650%, 05/01/18		240		241
5.420%, 03/15/17		4,730		4,615
4.500%, 04/01/15		9,492		9,435
Bank of Ireland
0.886%, 12/29/49 (A)		1,030		417

Bank of New York Mellon MTN
4.600%, 01/15/20		160		163
Bank of Nova Scotia
3.400%, 01/22/15		328		334
Bank of Scotland
0.687%, 11/29/49 (A)		330		153
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (B) (C)		2,227		2,312
Bank One
7.875%, 08/01/10		4,440		4,486


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Barclays Bank MTN
6.050%, 12/04/17 (B)	$	2,490	$	2,432
5.200%, 07/10/14		1,430		1,480
5.125%, 01/08/20		4,330		4,117
5.000%, 09/22/16		5,635		5,568
2.500%, 01/23/13		500		491
0.500%, 08/07/49 (A)		380		231
Barnett Capital III
0.969%, 02/01/27 (A)		600		402
BB&T
6.850%, 04/30/19		115		131
4.900%, 06/30/17		400		406
3.950%, 04/29/16		555		558
3.850%, 07/27/12		150		155
3.375%, 09/25/13 (C)		620		635
Bear Stearns
7.250%, 02/01/18		2,930		3,340
6.950%, 08/10/12 (C)		1,670		1,834
6.400%, 10/02/17		3,910		4,297
4.650%, 07/02/18		3,000		2,892
Bear Stearns LLC
5.700%, 11/15/14		1,320		1,442
Berkshire Hathaway
3.200%, 02/11/15		3,400		3,478
Berkshire Hathaway Finance
5.400%, 05/15/18 (C)		400		436
BlackRock
6.250%, 09/15/17		280		317
Boeing Capital
4.700%, 10/27/19		920		961
BP Capital Markets
3.875%, 03/10/15 (C)		430		435
3.625%, 05/08/14 (C)		100		101
Branch Banking & Trust
5.625%, 09/15/16 (C)		325		355
Capital One Bank USA
8.800%, 07/15/19		2,115		2,522
Capital One Financial
7.375%, 05/23/14 (C)		450		511
6.750%, 09/15/17 (C)		590		664
Caterpillar Financial Services MTN
7.150%, 02/15/19		250		302
6.200%, 09/30/13		5,640		6,373
5.850%, 09/01/17		580		638

CDP Financial
3.000%, 11/25/14 (B)		6,800		6,753
Cedar Brakes I LLC
8.500%, 02/15/14 (B)		941		943
Chase Capital VI
0.969%, 08/01/28 (A)		2,000		1,573
Citigroup
8.500%, 05/22/19 (C)		4,390		5,144
8.125%, 07/15/39		400		457
6.875%, 03/05/38		6,660		6,746


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.500%, 08/19/13	$	2,920	$	3,078
6.375%, 08/12/14 (C)		4,896		5,173
6.125%, 05/15/18 (C)		1,429		1,462
6.125%, 08/25/36		1,500		1,300
6.010%, 01/15/15		1,330		1,384
6.000%, 08/15/17 (C)		6,175		6,240
5.875%, 02/22/33		6,150		5,174
5.500%, 04/11/13		3,699		3,810
5.500%, 10/15/14 (C)		1,000		1,010
5.500%, 02/15/17		6,880		6,655
5.000%, 09/15/14		2,890		2,857
4.750%, 05/19/15		2,110		2,084
1.047%, 08/25/36 (A)		2,839		1,976
Citigroup Capital III
7.625%, 12/01/36		2,000		1,730
Citigroup Funding MTN
1.875%, 10/22/12 (C)		6,280		6,362
0.668%, 04/30/12 (A)		4,900		4,941
City National Capital Trust I
9.625%, 02/01/40		5,010		5,103
Comerica Capital Trust II
6.576%, 02/20/37 (A)		220		183
Commonwealth Bank of Australia
5.000%, 03/19/20 (B) (C)		2,180		2,171
5.000%, 10/15/19 (B)		3,370		3,417
3.750%, 10/15/14 (B)		4,580		4,668
Corestates Capital I
8.000%, 12/15/26 (B)		629		635
Countrywide Financial MTN
5.800%, 06/07/12		8,783		9,258
4.000%, 03/22/11		2,250		2,291
Credit Agricole
8.375%, 12/31/49 (A) (B)		4,740		4,479
Credit Suisse NY MTN
6.000%, 02/15/18 (C)		9,040		9,227
5.500%, 05/01/14		125		135
5.400%, 01/14/20		2,065		2,019
5.300%, 08/13/19		600		616
5.000%, 05/15/13		5,300		5,638
3.450%, 07/02/12 (C)		300		310
Credit Suisse USA
5.125%, 01/15/14 (C)		335		356
5.125%, 08/15/15		310		333

Depfa ACS Bank
5.125%, 03/16/37 (B)		4,200		2,955
Deutsche Bank
3.875%, 08/18/14 (C)		295		303
2.375%, 01/11/13		2,500		2,484
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		4,789		3,544
Dexia Credit Local
2.750%, 04/29/14 (B)		13,575		13,735


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Discover Financial Services
0.786%, 06/11/10 (A)	$	3,547	$	3,546
Dresdner Funding Trust I
8.151%, 06/30/31 (B)		365		267
ERP Operating
5.750%, 06/15/17‡ (C)		500		529
5.125%, 03/15/16‡		1,000		1,052
Export-Import Bank of Korea
5.875%, 01/14/15		2,545		2,720
5.500%, 10/17/12		1,510		1,603
Farmers Exchange Capital
7.200%, 07/15/48 (B)		2,519		2,301
7.050%, 07/15/28 (B)		1,063		1,019
Farmers Insurance Exchange
8.625%, 05/01/24 (B)		4,118		4,470
First Chicago NBD Institutional Capital I
0.894%, 02/01/27 (A)		3,750		2,946
First Industrial MTN
7.500%, 12/01/17		1,765		1,585
Fleet Capital Trust II
7.920%, 12/11/26		1,600		1,544
FMR LLC
6.450%, 11/15/39 (B) (C)		250		254
General Electric Capital MTN
6.875%, 01/10/39 (C)		5,361		5,700
6.375%, 11/15/67 (A)		8,925		8,256
6.000%, 08/07/19		920		975
5.900%, 05/13/14 (C)		5,010		5,474
5.875%, 01/14/38		6,875		6,435
5.625%, 09/15/17		800		848
5.625%, 05/01/18 (C)		6,775		7,045
5.500%, 01/08/20 (C)		480		492
5.450%, 01/15/13 (C)		180		193
5.400%, 02/15/17		1,800		1,880
0.727%, 05/05/26 (A)		4,345		3,490
0.595%, 03/20/14 (A)		2,000		1,868
0.517%, 09/15/14 (A)		6,550		6,152
0.414%, 04/10/12 (A)		500		492
Glitnir Banki
7.451%, 09/14/16 (B) (D)		500		1
6.693%, 06/15/16 (B) (D)		4,480		6
6.375%, 09/25/12 (B) (D)		3,100		860
6.330%, 07/28/11 (B) (D)		2,440		677

GMAC
7.250%, 03/02/11		1,744		1,751
2.738%, 12/01/14 (A)		4,579		3,762
1.750%, 10/30/12		3,960		4,001
Goldman Sachs Capital II
5.793%, 12/29/49 (A) (C)		18,565		14,202
Goldman Sachs Group
7.500%, 02/15/19		8,855		9,776
6.750%, 10/01/37		7,096		6,644
6.600%, 01/15/12 (C)		2,960		3,107


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.250%, 09/01/17	$	1,400	$	1,451
6.150%, 04/01/18		7,800		7,968
6.000%, 06/15/20		2,310		2,336
5.950%, 01/18/18 (C)		500		507
5.450%, 11/01/12		750		780
5.375%, 03/15/20 (C)		540		521
5.300%, 02/14/12		150		156
5.250%, 10/15/13		680		708
5.150%, 01/15/14		470		486
4.750%, 07/15/13		230		234
4.500%, 06/15/10		450		451
3.625%, 08/01/12 (C)		770		774
0.794%, 01/12/15 (A)		3,000		2,773
0.707%, 07/22/15 (A)		1,000		912
Hartford Financial Services Group
5.500%, 03/30/20		2,975		2,829
HBOS
6.750%, 05/21/18 (B)		5,100		4,814
HBOS Capital Funding
6.071%, 06/30/49 (A) (B)		1,920		1,373
HCP MTN
6.700%, 01/30/18‡		5,383		5,629
6.300%, 09/15/16‡		780		818
6.000%, 01/30/17‡		6,550		6,720
5.650%, 12/15/13‡		2,765		2,906
Highwoods Properties
7.500%, 04/15/18‡		1,339		1,446
Hongkong & Shanghai Banking
0.500%, 07/22/49 (A)		195		122
HRPT Properties Trust
6.650%, 01/15/18‡		255		263
6.250%, 08/15/16‡		300		309
HSBC Bank
0.538%, 06/29/49 (A)		1,160		754
HSBC Bank USA NY
4.625%, 04/01/14		300		315
HSBC Finance
8.000%, 07/15/10		2,330		2,347
7.000%, 05/15/12		1,975		2,132
6.375%, 11/27/12 (C)		365		394
5.500%, 01/19/16 (C)		600		640
4.750%, 07/15/13		166		172
0.553%, 01/15/14 (A)		500		477

HSBC Holdings
6.800%, 06/01/38		1,755		1,843
Hutchison Whampoa International
4.625%, 09/11/15 (B)		6,120		6,266
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (B) (C)		1,200		732
International Lease Finance MTN
5.250%, 01/10/13 (C)		400		358
Itau Unibanco Holding MTN
6.200%, 04/15/20 (B) (C)		2,670		2,675


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (B)	$	610	$	653
Jefferies Group
6.450%, 06/08/27		590		545
6.250%, 01/15/36		400		344
John Deere Capital MTN
5.750%, 09/10/18		300		337
JPMorgan Chase
6.400%, 05/15/38		3		3
6.000%, 10/01/17		4,185		4,471
5.750%, 01/02/13		810		869
5.150%, 10/01/15		240		253
5.125%, 09/15/14		756		805
4.950%, 03/25/20		1,690		1,690
3.700%, 01/20/15		370		373
JPMorgan Chase Bank
6.000%, 07/05/17		2,300		2,450
0.587%, 06/13/16 (A)		4,250		3,996
JPMorgan Chase Capital XIII
1.239%, 09/30/34 (A)		1,440		1,116
JPMorgan Chase Capital XXII
6.450%, 02/02/37		500		463
JPMorgan Chase Capital XXIII
1.436%, 05/15/47 (A)		4,000		2,952
JPMorgan Chase Capital XXV
6.800%, 10/01/37		2,665		2,585
Kaupthing Bank
7.625%, 02/28/15 (B) (D)		8,130		1,870
7.125%, 05/19/16 (B) (D)		12,000		1
5.750%, 10/04/11 (B) (D)		1,120		258
KeyBank
5.800%, 07/01/14		600		637
Kilroy Realty
6.625%, 06/01/20‡ (B)		1,260		1,258
Korea Development Bank
4.375%, 08/10/15 (C)		2,375		2,365
Kreditanstalt fuer Wiederaufbau
3.500%, 03/10/14		3,080		3,234
Landsbanki Islands
6.100%, 08/25/11 (B) (D)		6,520		668
Lazard Group
7.125%, 05/15/15		3,890		4,119
6.850%, 06/15/17		3,825		3,939

LBG Capital No 1 MTN
8.000%, 12/15/49 (A)		8,400		6,720
Lehman Brothers Holdings MTN
6.750%, 12/28/17 (D)		10,370		13
6.500%, 07/19/17 (D)		4,040		15
6.200%, 09/26/14 (D)		1,560		324
5.250%, 02/06/12 (D)		965		200
Lehman Brothers Holdings Capital Trust VII MTN
5.857%, 11/29/49 (D)		20,630		2


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Liberty Mutual Group
7.500%, 08/15/36 (B)	$	1,678	$	1,540
Lloyds TSB Bank MTN
5.800%, 01/13/20 (B) (C)		3,040		2,856
4.375%, 01/12/15 (B)		3,050		2,915
M&T Bank
5.375%, 05/24/12		325		343
Mack-Cali Realty
7.750%, 08/15/19‡		895		1,035
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (B)		3,010		3,952
MassMutual Global Funding II
3.625%, 07/16/12 (B)		150		155
2.875%, 04/21/14 (B)		122		124
MBNA Capital, Ser A
8.278%, 12/01/26		2,465		2,403
Merna Reinsurance
2.040%, 07/07/10 (A) (B)		4,950		4,932
Merrill Lynch
7.430%, 09/01/22 (G)		4		4
6.875%, 04/25/18		980		1,011
6.400%, 08/28/17		900		923
6.150%, 04/25/13		210		222
5.700%, 05/02/17		600		594
MetLife
7.717%, 02/15/19		3,500		4,050
6.750%, 06/01/16		2,950		3,306
6.400%, 12/15/36		10,020		8,667
MetLife Capital Trust X
9.250%, 04/08/38 (A) (B)		2,700		2,943
MetLife Global Funding I
2.875%, 09/17/12 (B)		600		613
Metropolitan Life Global Funding I
5.125%, 04/10/13 (B)		200		216
5.125%, 06/10/14 (B)		1,575		1,690
2.500%, 01/11/13 (B)		325		327
Monumental Global Funding
5.500%, 04/22/13 (B)		235		248
Morgan Stanley MTN
7.250%, 04/01/32		215		236
6.625%, 04/01/18 (C)		5,190		5,329
6.250%, 08/28/17		550		551
6.000%, 05/13/14		5,135		5,323

5.950%, 12/28/17 (C)		1,688		1,683
5.625%, 09/23/19		725		693
5.550%, 04/27/17		7,214		7,116
5.500%, 01/26/20		5,259		4,980
5.300%, 03/01/13 (C)		400		413
4.750%, 04/01/14		2,270		2,253
4.200%, 11/20/14 (C)		1,836		1,778
0.754%, 10/18/16 (A)		7,725		6,629
0.621%, 06/20/12 (A)		7,510		7,577
0.595%, 01/09/14 (A)		1,475		1,355


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
0.554%, 01/18/11 (A)	$	215	$	214
MUFG Capital Finance 1
6.346%, 07/25/49 (A)		1,840		1,628
6.346%, 07/25/49 (A)		378		342
National Australia Bank
5.350%, 06/12/13 (B)		5,495		5,950
3.750%, 03/02/15 (B)		455		459
2.500%, 01/08/13 (B) (C)		550		550
National Capital Trust II
5.486%, 12/29/49 (A) (B)		3,207		2,822
National City
4.900%, 01/15/15 (C)		400		427
National City Bank
5.800%, 06/07/17		250		266
0.908%, 06/07/17 (A)		3,000		2,681
National Rural Utilities Cooperative Finance
2.625%, 09/16/12		95		97
Nationwide Mutual Insurance
6.600%, 04/15/34 (B)		2,483		2,122
5.810%, 12/15/24 (A) (B)		3,900		3,392
NB Capital Trust IV
8.250%, 04/15/27		2,305		2,236
New Communications Holdings
8.500%, 04/15/20 (B)		1,475		1,453
8.250%, 04/15/17 (B)		1,700		1,683
New York Life Global Funding
4.650%, 05/09/13 (B)		300		320
3.000%, 05/04/15 (B)		4,980		4,965
NIBC Bank MTN
2.800%, 12/02/14 (B)		4,220		4,236
Nomura Holdings
6.700%, 03/04/20		429		442
Nordea Bank
4.875%, 01/27/20 (B)		1,780		1,769
3.700%, 11/13/14 (B) (C)		5,780		5,811
2.500%, 11/13/12 (B)		2,430		2,467
Northern Trust
5.500%, 08/15/13		85		94
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (B)		2,655		2,688
Pacific Life Global Funding MTN
5.150%, 04/15/13 (B)		370		388
5.000%, 05/15/17 (B)		170		172

PNC Funding
5.125%, 02/08/20		340		345
Power Receivables Finance
6.290%, 01/01/12 (B)		452		462
6.290%, 01/01/12		1,431		1,462
PPF Funding
5.500%, 01/15/14‡ (B)		5,000		4,942
Pricoa Global Funding I
5.450%, 06/11/14 (B)		300		323


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Prime Property Funding II
5.600%, 06/15/11 (B)	$	3,380	$	3,469
Principal Life Global Funding I
6.250%, 02/15/12 (B)		600		641
5.050%, 03/15/15 (B)		750		763
Principal Life Income Funding Trusts MTN
5.100%, 04/15/14		600		639
Private Export Funding
3.050%, 10/15/14		1,010		1,044
Prudential Holdings LLC
8.695%, 12/18/23 (B)		2,500		2,949
1.136%, 12/18/17 (A) (B)		3,725		3,169
Rabobank Nederland
11.000%, 12/31/49 (A) (B)		2,823		3,425
3.200%, 03/11/15 (B)		700		703
Reckson Operating Partnership
7.750%, 03/15/20‡ (B)		3,175		3,259
Resona Preferred Global Securities Cayman
7.191%, 07/30/49 (A) (B)		3,240		2,749
Royal Bank of Canada
0.500%, 06/29/85 (A)		860		516
Royal Bank of Scotland
4.875%, 03/16/15		800		791
Royal Bank of Scotland Group MTN
7.640%, 09/29/17		1,300		734
6.400%, 10/21/19		4,330		4,290
RSHB Capital
6.299%, 05/15/17 (B)		1,190		1,160
Santander US Debt Unipersonal
3.724%, 01/20/15 (B)		3,100		2,961
Security Benefit Life Insurance
8.750%, 05/15/16 (B)		5,200		4,335
Shinsei Finance Cayman
6.418%, 01/29/49 (A) (B)		5,605		3,552
Simon Property Group
10.350%, 04/01/19‡ (C)		520		675
6.750%, 05/15/14‡ (C)		165		184
5.650%, 02/01/20‡ (C)		133		137
SLM MTN
8.450%, 06/15/18		550		500
Societe Generale
0.844%, 11/29/49 (A)		180		104
0.844%, 11/29/49 (A)		680		392

Standard Chartered
3.850%, 04/27/15 (B) (C)		1,785		1,742
State Street
4.300%, 05/30/14		60		63
SunTrust Capital VIII
6.100%, 12/15/36 (A)		5,570		4,233
SunTrust Preferred Capital I
5.853%, 12/15/11 (A) (C)		2,643		1,797


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (B)	$	4,870	$	5,353
TNK-BP Finance
7.500%, 07/18/16 (B)		1,800		1,858
6.625%, 03/20/17 (B)		1,070		1,027
Toll Road Investors Partnership II
5.667%, 02/15/45 (B) (E)		7,178		1,073
Travelers
6.250%, 03/15/37 (A)		6,250		5,826
5.900%, 06/02/19		145		159
Travelers Property Casualty
7.750%, 04/15/26		300		355
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE
0.485%, 02/26/19 (A) (B)		2,969		2,730
UBS MTN
5.875%, 12/20/17 (C)		520		535
3.875%, 01/15/15		2,690		2,677
UDR MTN
5.000%, 01/15/12‡		2,000		2,039
US Bancorp MTN
2.875%, 11/20/14		415		414
Wachovia
5.750%, 06/15/17 (C)		690		734
5.500%, 05/01/13 (C)		600		650
5.250%, 08/01/14		650		690
0.678%, 10/28/15 (A)		3,760		3,491
Wachovia Bank
6.600%, 01/15/38		2,875		2,997
6.000%, 11/15/17		3,650		3,952
0.587%, 03/15/16 (A)		1,200		1,086
Wachovia Capital Trust III
5.800%, 03/15/11 (A)		3,252		2,569
WEA Finance LLC
7.500%, 06/02/14 (B)		1,700		1,930
7.125%, 04/15/18 (B)		4,578		5,077
6.750%, 09/02/19 (B)		136		150
Wells Fargo
5.625%, 12/11/17		350		375
5.000%, 11/15/14		1,145		1,202
3.750%, 10/01/14 (C)		1,830		1,861
Wells Fargo Capital X
5.950%, 12/15/36		1,630		1,353
Wells Fargo Capital XV
9.750%, 12/31/49 (A)		7,770		8,314

Westfield Capital
4.375%, 11/15/10 (B)		4,600		4,665
Westfield Group
5.400%, 10/01/12 (B)		2,093		2,219
Westpac Banking
4.875%, 11/19/19 (C)		2,734		2,724
2.250%, 11/19/12		4,895		4,918


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Woodbourne Capital Trust I
3.824%, 04/08/49 (A) (B)	$	625	$	269
Woodbourne Capital Trust II
3.824%, 04/08/49 (A) (B)		625		269
Woodbourne Capital Trust III
3.824%, 04/08/49 (A) (B)		625		269
ZFS Finance USA Trust I
6.150%, 12/15/65 (A) (B)		4,049		3,806
ZFS Finance USA Trust II
6.450%, 12/15/65 (A) (B)		2,700		2,457
ZFS Finance USA Trust III
1.407%, 12/15/65 (A) (B)		620		560

				821,451


Health Care — 0.7%
Abbott Laboratories
5.600%, 11/30/17		470		530
5.300%, 05/27/40		3,190		3,134
Amgen
5.750%, 03/15/40		1,627		1,682
5.700%, 02/01/19 (C)		100		113
4.500%, 03/15/20		84		87
CareFusion
4.125%, 08/01/12		1,595		1,663
Coventry Health Care
5.950%, 03/15/17		2,680		2,647
GlaxoSmithKline Capital
4.375%, 04/15/14		200		215
GlaxoSmithKline Capital
5.650%, 05/15/18		2,250		2,505
HCA
5.750%, 03/15/14		5,548		5,118
Hospira
6.400%, 05/15/15		20		23
5.550%, 03/30/12		200		213
Humana
7.200%, 06/15/18		2,210		2,451
Life Technologies
6.000%, 03/01/20		2,430		2,573
4.400%, 03/01/15		1,870		1,932
Medtronic
4.450%, 03/15/20		1,370		1,413
Pfizer
5.350%, 03/15/15		1,739		1,947
Pharmacia
6.500%, 12/01/18 (C)		430		505

Roche Holdings
6.000%, 03/01/19 (B)		2,310		2,612
Tenet Healthcare
7.375%, 02/01/13		168		168
UnitedHealth Group
6.875%, 02/15/38		3,400		3,716
WellPoint
5.875%, 06/15/17		350		381


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wyeth
5.950%, 04/01/37	$	3,610	$	3,889

				39,517


Industrials — 1.0%
Air 2 US
8.027%, 10/01/19 (B)		2,242		1,995
Allied Waste North America
6.875%, 06/01/17		115		125
Boeing
4.875%, 02/15/20		2,760		2,925
Browning-Ferris Industries
9.250%, 05/01/21		65		78
Burlington Northern Santa Fe
7.290%, 06/01/36		200		232
4.700%, 10/01/19		375		385
Burlington Northern Santa Fe LLC
5.750%, 05/01/40		2,110		2,119
Canadian National Railway
5.850%, 11/15/17		150		169
Continental Airlines
7.256%, 03/15/20		1,242		1,254
6.545%, 02/02/19		144		147
6.236%, 03/15/20		2,014		1,853
5.983%, 04/19/22 (C)		3,270		3,254
Continental Airlines 2000-1 Class A-1 Pass Through Trust
8.048%, 11/01/20		2,400		2,400
CSX
9.780%, 02/14/11		100		104
7.375%, 02/01/19		460		552
6.300%, 03/15/12		110		118
Delta Air Lines
6.821%, 08/10/22 (C)		2,191		2,136
6.619%, 03/18/11		197		199
Delta Air Lines, Ser 2001-1, Cl A- 2
7.111%, 09/18/11 (C)		14,850		15,258
General Electric
5.250%, 12/06/17 (C)		250		268
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.811%, 08/15/16 (A)		5,626		4,642
Lockheed Martin
5.720%, 06/01/40 (B)		405		423
Northrop Grumman Systems
7.750%, 03/01/16		200		244

Northwest Airlines, Ser 1A-2
6.841%, 04/01/11		4,500		4,534
Systems 2001 Asset Trust LLC
6.664%, 09/15/13 (B)		180		189
Tyco International Finance
8.500%, 01/15/19		170		217
Tyco International Group
6.750%, 02/15/11		1,170		1,214


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.000%, 11/15/13	$	1,945	$	2,166
Union Pacific
7.000%, 02/01/16		500		583
Union Pacific Railroad 2003 Pass Through Trust
4.698%, 01/02/24		177		189
United Parcel Service
4.500%, 01/15/13 (C)		3,820		4,110
United Parcel Service of America
8.375%, 04/01/20		140		187
United Technologies
8.875%, 11/15/19		400		535
5.400%, 05/01/35		670		677
Waste Management
7.125%, 12/15/17		1,720		2,033

				57,514


Information Technology — 0.2%
Adobe Systems
4.750%, 02/01/20		2,025		2,032
3.250%, 02/01/15		775		788
Arrow Electronics
6.875%, 07/01/13		100		110
6.875%, 06/01/18		270		293
Cisco Systems
5.900%, 02/15/39		250		265
5.500%, 01/15/40		2,620		2,628
4.450%, 01/15/20		4,295		4,410
Dell
5.650%, 04/15/18		415		452
Hewlett-Packard
2.950%, 08/15/12		80		83
International Business Machines
8.000%, 10/15/38		100		136
7.625%, 10/15/18 (C)		365		459
Intuit
5.750%, 03/15/17 (C)		255		279
National Semiconductor
6.600%, 06/15/17		300		332
Oracle
5.000%, 07/08/19		450		484
Xerox
8.250%, 05/15/14		320		373

				13,124



Materials — 0.8%
Alcoa
6.000%, 07/15/13 (C)		270		286
Barrick Gold
6.950%, 04/01/19 (C)		1,760		2,050
BHP Billiton Finance USA
6.500%, 04/01/19		445		518
Codelco
4.750%, 10/15/14 (B)		900		952


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Dow Chemical
8.550%, 05/15/19	$	8,215	$	9,743
5.900%, 02/15/15		1,785		1,923
4.850%, 08/15/12		3,765		3,956
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		3,005		3,268
PPG Industries
9.000%, 05/01/21		515		645
6.650%, 03/15/18		615		714
5.750%, 03/15/13		615		670
Praxair
5.200%, 03/15/17		215		232
4.375%, 03/31/14		250		268
Rio Tinto Finance USA
9.000%, 05/01/19		2,050		2,591
8.950%, 05/01/14		265		318
6.500%, 07/15/18		5,080		5,618
5.875%, 07/15/13		2,315		2,527
Southern Copper
6.750%, 04/16/40 (C)		2,531		2,513
Stauffer Chemical
6.117%, 04/15/18 (E) (G) (H)		860		179
5.975%, 04/15/17 (E) (G) (H)		350		82
Vale Overseas
8.250%, 01/17/34		365		410
6.875%, 11/10/39		1,720		1,713
6.875%, 11/21/36		2,958		2,948

				44,124


Sovereign — 0.7%
Banco Nacional de Desenvolvimento Economico e Social
5.500%, 07/12/20 (B)		3,380		3,279
International Bank for Reconstruction & Development
2.375%, 05/26/15		9,340		9,343
Kommunalbanken
2.750%, 05/05/15 (B)		3,692		3,718
Province of Manitoba Canada
2.125%, 04/22/13		162		165
Province of Ontario Canada
4.400%, 04/14/20		2,330		2,393
4.100%, 06/16/14		5,355		5,705
2.950%, 02/05/15		850		862

Qatar Government International Bond
4.000%, 01/20/15 (B)		895		917
Russian Federation
7.500%, 03/31/30 (I)		991		1,107
Russian Foreign Bond - Eurobond
3.625%, 04/29/15 (B) (C)		1,800		1,722
Societe Financement de l’Economie Francaise
2.875%, 09/22/14 (B)		1,010		1,031


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
State of Qatar
6.400%, 01/20/40 (B)	$	2,550	$	2,639
Svensk Exportkredit
3.250%, 09/16/14		5,729		5,930
United Mexican States MTN
7.500%, 04/08/33		218		259
6.375%, 01/16/13		350		382
5.625%, 01/15/17		84		90
United Mexican States, Ser A MTN
6.750%, 09/27/34		798		876

				40,418


Telecommunication Services — 1.9%
America Movil
6.125%, 03/30/40 (B) (C)		2,090		2,009
5.625%, 11/15/17		1,450		1,543
5.000%, 10/16/19 (B)		2,415		2,414
5.000%, 03/30/20 (B)		740		737
AT&T
8.000%, 11/15/31		1,250		1,542
6.700%, 11/15/13 (C)		500		572
6.550%, 02/15/39		3,870		4,192
6.300%, 01/15/38		8,590		8,944
5.875%, 02/01/12		500		536
5.600%, 05/15/18		400		436
5.500%, 02/01/18 (C)		150		163
5.100%, 09/15/14 (C)		2,410		2,641
BellSouth
4.750%, 11/15/12 (C)		190		203
BellSouth Telecommunications
6.300%, 12/15/15		262		278
British Telecommunications
9.625%, 12/15/30 (I)		1,060		1,325
9.125%, 12/15/10 (I)		1,460		1,521
5.950%, 01/15/18 (I)		1,711		1,769
Cellco Partnership
8.500%, 11/15/18 (C)		2,310		2,888
7.375%, 11/15/13		810		944
Comcast Cable Holdings LLC
10.125%, 04/15/22		190		261
COX Enterprises
7.375%, 07/15/27 (B)		170		189

Deutsche Telekom International Finance
6.000%, 07/08/19		600		646
5.750%, 03/23/16		2,175		2,345
Discovery Communications LLC
6.350%, 06/01/40		2,610		2,628
5.050%, 06/01/20		1,370		1,369
France Telecom
8.500%, 03/01/31		170		227
7.750%, 03/01/11		1,610		1,688
Frontier Communications
8.125%, 10/01/18		1,130		1,107


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

GTE
8.750%, 11/01/21	$	600	$	775
New Cingular Wireless Services
8.125%, 05/01/12		1,255		1,410
News America
7.300%, 04/30/28		350		384
6.200%, 12/15/34		315		323
6.150%, 03/01/37		3,365		3,409
News America Holdings
8.875%, 04/26/23		200		262
Qwest
7.875%, 09/01/11		1,560		1,634
7.500%, 10/01/14		2,160		2,273
Reed Elsevier Capital
8.625%, 01/15/19		2,460		3,088
Rogers Communications
6.375%, 03/01/14		4,340		4,879
5.500%, 03/15/14		590		645
Royal
8.000%, 10/01/10 (C)		5,100		5,215
Sprint Capital
8.750%, 03/15/32		390		372
8.375%, 03/15/12		5,300		5,486
6.900%, 05/01/19		120		108
TCI Communications
8.750%, 08/01/15		701		855
7.125%, 02/15/28		400		432
Telecom Italia Capital
6.999%, 06/04/18		4,480		4,717
5.250%, 11/15/13		580		603
5.250%, 10/01/15		370		370
4.950%, 09/30/14		1,320		1,309
Telefonica Emisiones
5.984%, 06/20/11		2,320		2,421
5.877%, 07/15/19 (C)		115		119
Telefonica Emisiones SAU
6.221%, 07/03/17		190		205
5.134%, 04/27/20		7,725		7,452
2.582%, 04/26/13		680		672
Verizon Communications
8.750%, 11/01/18 (C)		194		247
7.350%, 04/01/39		2,885		3,428
6.400%, 02/15/38		2,800		2,975
6.100%, 04/15/18		630		702
5.850%, 09/15/35		150		148
5.500%, 02/15/18		2,810		3,025
Verizon Global Funding
7.750%, 12/01/30		500		601
7.375%, 09/01/12		1,730		1,945
6.875%, 06/15/12		465		513
Verizon Maryland
7.150%, 05/01/23		600		640


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

Vodafone Group
5.450%, 06/10/19 (C)	$	226	$	237

				108,996


Utilities — 1.9%
AGL Capital
5.250%, 08/15/19		170		176
4.450%, 04/15/13		400		418
Appalachian Power
5.950%, 05/15/33		200		201
Arizona Public Services
8.000%, 12/30/15		553		593
Atmos Energy
4.950%, 10/15/14		260		279
Carolina Power & Light
5.300%, 01/15/19		400		433
Cedar Brakes II LLC
9.875%, 09/01/13 (B)		3,188		3,269
CenterPoint Energy Houston Electric LLC
7.000%, 03/01/14		150		171
Cleveland Electric Illuminating
7.880%, 11/01/17		310		375
Consumers Energy
6.700%, 09/15/19		400		464
Dominion Resources
8.875%, 01/15/19		4,645		5,948
6.400%, 06/15/18		300		339
5.700%, 09/17/12		3,560		3,840
4.750%, 12/15/10		740		755
DPL
6.875%, 09/01/11		3,220		3,422
Duke Energy
6.300%, 02/01/14		2,805		3,148
5.625%, 11/30/12		425		466
Enel Finance International
6.000%, 10/07/39 (B)		5,980		5,574
5.125%, 10/07/19 (B)		500		490
3.875%, 10/07/14 (B)		2,700		2,680
Exelon
5.625%, 06/15/35		2,605		2,440
Exelon Generation LLC
6.250%, 10/01/39		900		922
5.200%, 10/01/19		125		129
FirstEnergy Solutions
6.800%, 08/15/39		770		740
6.050%, 08/15/21		3,180		3,153
4.800%, 02/15/15		885		913
FirstEnergy, Ser B
6.450%, 11/15/11		14		15
FirstEnergy, Ser C
7.375%, 11/15/31		5,315		5,491
Hydro Quebec, Ser JL
6.300%, 05/11/11		1,050		1,103


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

Jersey Central Power & Light
7.350%, 02/01/19	$	500	$	591
KCP&L Greater Missouri Operations
11.875%, 07/01/12		3,360		3,871
8.270%, 11/15/21		2,894		3,240
Massachusetts Electric
5.900%, 11/15/39 (B)		210		219
MidAmerican Energy
5.300%, 03/15/18		750		817
Midamerican Energy Holdings
6.500%, 09/15/37		3,155		3,445
Nevada Power
8.250%, 06/01/11		4,765		5,069
7.125%, 03/15/19		400		464
Niagara Mohawk Power
4.881%, 08/15/19 (B) (C)		180		183
Nisource Finance
10.750%, 03/15/16 (C)		500		641
6.800%, 01/15/19		3,547		3,922
6.125%, 03/01/22		2,400		2,501
Northern States Power
6.250%, 06/01/36		350		395
5.350%, 11/01/39		56		56
Oncor Electric Delivery
6.800%, 09/01/18 (C)		4,535		5,229
Pacific Gas & Electric
8.250%, 10/15/18		1,320		1,635
6.050%, 03/01/34		1,615		1,683
5.800%, 03/01/37		840		855
5.400%, 01/15/40		156		149
PacifiCorp
6.250%, 10/15/37		310		344
5.650%, 07/15/18		100		111
5.500%, 01/15/19 (C)		400		440
Progress Energy
6.850%, 04/15/12		1,710		1,863
6.000%, 12/01/39		200		200
PSEG Power LLC
5.500%, 12/01/15		445		486
5.320%, 09/15/16 (B)		126		133
5.125%, 04/15/20 (B)		120		123
Public Service Electric & Gas MTN
5.375%, 11/01/39		97		97
2.700%, 05/01/15		135		134
Public Service of New Mexico
7.950%, 05/15/18		3,000		3,134
Public Service of Oklahoma
5.150%, 12/01/19		170		174
Sempra Energy
8.900%, 11/15/13		400		476
6.500%, 06/01/16		135		154
6.000%, 10/15/39		170		173
Southern
4.150%, 05/15/14		85		89


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

Southern California Edison
5.500%, 03/15/40	$	170	$	173
4.650%, 04/01/15		200		217
Southern Union
8.250%, 11/15/29		5,018		5,724
Southwestern Public Service
8.750%, 12/01/18		300		383
Tennessee Valley Authority
5.250%, 09/15/39		8,248		8,620
Texas-New Mexico Power
9.500%, 04/01/19 (B)		875		1,096
TXU
6.500%, 11/15/24		410		187
TXU, Ser P
5.550%, 11/15/14		370		260
TXU, Ser R
6.550%, 11/15/34		4,385		1,940
Virginia Electric and Power
5.400%, 04/30/18		300		323

				109,966

Total Corporate Obligations (Cost $1,560,717) ($ Thousands)				1,532,798


U.S. TREASURY OBLIGATIONS — 21.3%
U.S. Treasury Bills
0.151%, 06/10/10		7,905		7,905
0.149%, 08/12/10 (E)		380		380
0.140%, 06/17/10 (E)		17,115		17,114

				25,399

U.S. Treasury Bonds
9.250%, 02/15/16 (E)		750		900
9.000%, 11/15/18		900		1,302
8.875%, 08/15/17 (C)		26,200		36,655
8.875%, 02/15/19		13,870		19,961
8.750%, 05/15/17 (C)		21,675		30,006
8.750%, 08/15/20		4,250		6,205
8.000%, 11/15/21		11,355		16,060
7.500%, 11/15/16 (C)		20,700		26,703
7.125%, 02/15/23 (C)		11,185		15,014
6.750%, 08/15/26		250		335
6.500%, 11/15/26		100		131
6.375%, 08/15/27 (E)		650		474
6.250%, 08/15/23		11,405		14,328
6.125%, 11/15/27 (E)		750		552
6.000%, 02/15/26		100		125
5.500%, 08/15/28		200		238
5.375%, 02/15/31 (C)		20,883		24,668
4.786%, 05/15/26 (E)		500		253
4.748%, 08/15/25 (E)		400		210
4.745%, 05/15/28 (E)		100		46
4.718%, 02/15/27 (E)		200		98
4.718%, 11/15/31 (E)		200		78
4.625%, 02/15/17 (C)		30,500		34,208


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

4.625%, 02/15/40	$	10,415	$	11,121
4.375%, 11/15/39 (C)		25,177		25,806
4.375%, 05/15/40		233		239
4.250%, 05/15/39 (C)		24,429		24,528
3.991%, 08/15/19 (E)		2,325		1,682
3.625%, 02/15/20 (C)		17,977		18,843
3.500%, 02/15/39		19,900		17,506
3.375%, 11/15/19		26,740		26,905
3.250%, 12/31/16		2,220		2,292
3.202%, 01/15/16 (E)		7,570		6,436
2.625%, 12/31/14 (C)		6,500		6,685

				370,593

U.S. Treasury Inflation-Protected Securities
6.450%, 02/15/17 (E)		17,420		14,396
5.294%, 02/15/21 (E)		200		133
4.726%, 11/15/24 (E)		200		109
4.637%, 02/15/24 (E)		75		42
4.622%, 11/15/27 (E)		31,090		14,802
4.601%, 02/15/25 (E)		21,110		11,431
4.593%, 05/15/36 (E)		300		94
4.583%, 08/15/24 (E)		200		111
4.532%, 05/15/29 (E)		100		44
4.520%, 05/15/24 (E)		800		448
4.459%, 02/15/32 (E)		200		77
4.316%, 11/15/20 (E)		1,000		673
4.233%, 05/15/20 (E)		2,900		2,006
4.130%, 02/15/22 (E)		300		189
4.097%, 08/15/20 (E)		4,550		3,102
3.947%, 05/15/30 (E)		9,150		3,879
3.931%, 05/15/19 (E)		2,450		1,799
3.875%, 04/15/29 (C)		430		754
3.845%, 08/15/17 (E)		4,000		3,226
3.691%, 08/15/18 (E)		800		616
3.626%, 11/15/17 (E)		6,150		4,902
3.625%, 04/15/28		8,180		14,018
3.572%, 02/15/18 (E)		1,350		1,065
3.234%, 08/15/16 (E)		5,100		4,310
2.875%, 02/15/14 (E)		8,550		8,034
2.733%, 05/15/14 (E)		2,150		2,004
2.695%, 02/15/15 (E)		200		181
2.375%, 01/15/25		160		202
2.375%, 01/15/27		10,019		11,782
2.180%, 02/15/13 (E)		1,000		970
2.000%, 01/15/16 (C)		11,126		13,040
1.750%, 01/15/28		24,854		25,710

				144,149

U.S. Treasury Notes
4.750%, 08/15/17 (C)		6,000		6,794
4.500%, 11/30/11		1,000		1,058
4.500%, 05/15/17		1,600		1,786


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

3.750%, 11/15/18	$	8,400	$	8,798
3.625%, 08/15/19 (C)		19,225		19,749
3.500%, 05/15/20		7,000		7,116
3.125%, 10/31/16		4,400		4,519
3.125%, 04/30/17		20,733		21,238
3.000%, 09/30/16		8,790		8,971
2.750%, 11/30/16		2,437		2,446
2.750%, 05/31/17		17,620		17,612
2.750%, 02/15/19 (C)		5,710		5,524
2.625%, 07/31/14		2,800		2,889
2.500%, 03/31/15 (C)		28,805		29,417
2.500%, 04/30/15		6,060		6,182
2.375%, 10/31/14		39,845		40,580
2.375%, 02/28/15 (C)		135,875		138,061
2.375%, 03/31/16		2,000		1,988
2.125%, 05/31/15		50,805		50,869
1.875%, 02/28/14		19,243		19,386
1.750%, 04/15/13		2,069		2,100
1.375%, 02/15/13		149,216		150,032
1.375%, 03/15/13 (C)		7,202		7,240
1.375%, 05/15/13		67,058		67,315
1.000%, 04/30/12		45,795		46,004
0.750%, 05/31/12		6,533		6,529

				674,203

Total U.S. Treasury Obligations (Cost $1,184,277) ($ Thousands)				1,214,344


ASSET-BACKED SECURITIES — 5.9%

Automotive — 0.5%
Ally Auto Receivables Trust, Ser 2009-1, Cl A3
2.330%, 06/17/13 (B)		500		507
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		285		285
AmeriCredit Automobile Receivables Trust, Ser 2010-1, 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
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-3A, Cl A
4.640%, 05/20/16 (B)		1,490		1,519
Bank of America Auto Trust, Ser 2009-14, Cl A3
2.670%, 07/15/13 (B)		600		610
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (B)		200		208


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (B)	$	650	$	658
Bank of America Auto Trust, Ser 2009-3A, Cl A3
1.670%, 12/15/13 (B)		350		352
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (B)		430		430
Bank of America Auto Trust, Ser 2010-1A, Cl A4
2.180%, 02/15/17 (B)		310		312
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		300		300
Chrysler Financial Auto Securitization Trust, Ser 2009- A, Cl A3
2.820%, 01/15/16		250		255
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3
2.590%, 10/15/13 (B)		695		702
Ford Credit Auto Owner Trust, Ser 2007-A, Cl A4A
5.470%, 06/15/12		800		827
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		350		356
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4
4.500%, 07/15/14		300		319
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		865		887
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
4.550%, 01/15/17		1,211		1,280
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		278		287
Harley-Davidson Motorcycle Trust, Ser 2009-3, Cl A4
2.540%, 04/15/17		209		211
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		592		596

Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (B)		2,910		3,103
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4
3.300%, 09/15/15		250		259


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Honda Auto Receivables Owner Trust, Ser 2009-S1, Cl A3
2.310%, 05/15/13	$	2,480	$	2,516
Huntington Auto Trust, Ser 2009- 1A, Cl A4
5.730%, 01/15/14 (B)		3,653		3,916
Nissan Auto Receivables Owner Trust, Ser 2009-1, Cl A3
5.000%, 09/15/14		5,774		5,978
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		365		372
USAA Auto Owner Trust, Ser 2009-2, Cl A3
1.540%, 02/18/14		470		472
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4
2.210%, 05/15/15		550		554

				28,351


Credit Cards — 1.4%
American Express Credit Account Master Trust, Ser 2010-1, Cl A
0.530%, 11/16/15 (A)		4,208		4,208
BA Credit Card Trust, Ser 2010- A1, Cl A1
0.640%, 09/15/15 (A)		2,131		2,131
Bank of America Credit Card Trust, Ser 2008-A1, Cl A1
0.917%, 04/15/13 (A)		34,573		34,639
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14		2,244		2,319
Chase Issuance Trust, Ser 2007- A17, Cl A
5.120%, 10/15/14		6,980		7,552
Chase Issuance Trust, Ser 2009- A2, Cl A2
1.887%, 04/15/14 (A)		2,150		2,201
Citibank Credit Card Issuance Trust, Ser 2006-A3, Cl A3
5.300%, 03/15/18		654		728
Citibank Credit Card Issuance Trust, Ser 2009-A1, Cl A1
2.087%, 03/17/14 (A)		3,038		3,120
Citibank Credit Card Issuance Trust, Ser 2009-A5, Cl A5
2.250%, 12/23/14		5,310		5,372

Discover Card Master Trust, Ser 2009-A1, Cl A1
1.637%, 12/15/14 (A)		2,512		2,535
Discover Card Master Trust, Ser 2009-A2, Cl A2
1.637%, 02/17/15 (A)		12,592		12,874


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nordstrom Private Label Credit Card Master Note Trust, Ser 2007-2A, Cl A
0.397%, 05/15/15 (A) (B)	$	2,115	$	2,074

				79,753


Mortgage Related Securities — 0.9%
ABFS Mortgage Loan Trust, Ser 2002-3, Cl A
4.763%, 09/15/33		8		8
ABS Home Equity, Ser 2001-HE3, Cl A1
0.877%, 11/15/31 (A)		232		197
ACE Securities, Ser 2006-SL3, Cl A1
0.443%, 06/25/36 (A)		6,595		998
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.583%, 03/25/30 (A)		2,447		683
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.383%, 12/25/36 (A)		557		518
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.190%, 11/15/32 (A)		4,575		4,598
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		6		6
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
1.157%, 09/15/29 (A)		310		164
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.813%, 05/25/39 (A) (B)		933		708
GMAC Mortgage Loan Trust, Ser 2007-HE2, Cl A6
6.249%, 12/25/37		863		439
GSAA Trust, Ser 2005-6, Cl A3
0.713%, 06/25/35 (A)		4,100		2,445
HFC Home Equity Loan Asset Backed Certificates, Ser 2006- 2, Cl A1
0.490%, 03/20/36 (A)		418		382
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.453%, 07/25/37 (A)		2,775		2,653
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2
0.830%, 01/20/35 (A)		572		496

HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1
0.610%, 01/20/35 (A)		5,139		4,558
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.500%, 01/20/36 (A)		614		570


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F
5.600%, 03/20/36	$	750	$	767
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.540%, 03/20/36 (A)		328		300
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.540%, 11/20/36 (A)		959		807
Indymac Home Equity Loan Asset-Backed Trust, Ser 2001- A, Cl AV
0.603%, 03/25/31 (A)		37		18
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
1.093%, 01/25/35 (A)		289		281
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.383%, 01/25/37 (A)		260		252
Morgan Stanley Home Equity Loans , Ser 2007-1, Cl A1
0.393%, 12/25/36 (A)		243		234
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/47		31		19
MSDWCC Heloc Trust, Ser 2003- 1, Cl A
0.883%, 11/25/15 (A)		75		61
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3
0.513%, 09/25/36 (A)		6,400		4,480
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.943%, 01/25/32 (A)		242		200
Option One Mortgage Loan Trust, Ser 2007-14, Cl 2A3
0.483%, 01/25/37 (A)		17,000		6,667
Option One Mortgage Loan Trust, Ser 2007-5, Cl 2A4
0.643%, 05/25/37 (A)		10,000		3,493
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3R
4.499%, 08/25/35		1,357		1,297
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.790%, 02/25/25		897		763
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.450%, 04/25/32 (B)		369		308

Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A
0.693%, 04/25/37 (A) (B) (G) (H)		972		439
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A1
0.423%, 06/25/37 (A)		5,012		4,427


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Structured Asset Securities, Ser 2002-AL1, Cl A2
3.450%, 02/25/32	$	372	$	335
Terwin Mortgage Trust, Ser 2005- 9HGS, Cl A1
4.000%, 08/25/35 (A) (B)		468		438
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.515%, 11/26/21 (A) (B)		4,452		3,983
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/30		36		33

				49,025


Other Asset-Backed Securities — 3.1%
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, CI GI
0.557%, 06/14/37 (A) (B)		3,477		2,817
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (B)		5,651		5,673
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
1.023%, 01/25/32 (A)		422		326
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1
0.638%, 10/14/33 (A) (B)		3,009		2,280
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
0.843%, 03/25/32 (A)		966		630
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/34		641		622
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/34		1,090		987
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/36		6,340		5,507
Citigroup Mortgage Loan Trust, Ser 2007-SHL1, Cl A
0.743%, 11/25/46 (A) (B)		1,186		536
CNH Equipment Trust, Ser 2009- B, Cl A3
2.970%, 03/15/13		131		132

CNH Equipment Trust, Ser 2009- C, Cl A3
1.850%, 12/16/13		130		131


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CNH Equipment Trust, Ser 2010- A, Cl A3
1.540%, 07/15/14	$	725	$	725
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (A)		1,849		1,765
Conseco Finance Securitizations, Ser 2000-4, Cl A6
8.310%, 05/01/32 (A)		759		593
Consumer Funding LLC, Ser 2001-1, Cl A5
5.430%, 04/20/15		440		467
Countrywide Asset-Backed Certificates, Cl A
1.003%, 04/25/32 (A)		63		35
Countrywide Asset-Backed Certificates, Cl A1
0.673%, 07/25/36 (A) (B)		460		244
Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A
0.823%, 12/25/31 (A)		51		25
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.943%, 06/25/33 (A)		115		105
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3
5.711%, 05/25/36 (A)		10,000		3,609
Countrywide Asset-Backed Certificates, Ser 2005-6, Cl M1
0.833%, 12/25/35 (A)		320		288
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.689%, 10/25/46 (A)		208		130
Countrywide Asset-Backed Certificates, Ser 2007-7, Cl 2A2
0.503%, 10/25/47 (A)		7,500		5,843
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.543%, 02/25/37 (A) (B)		1,239		783
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1
0.793%, 03/25/47 (A) (B)		936		383
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.637%, 02/15/34 (A)		888		411
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A
0.577%, 12/15/35 (A)		2,052		803
Credit Suisse First Boston Mortgage Securities, Ser 2001- MH29, Cl A
5.600%, 09/25/31		451		457

Credit-Based Asset Servicing and Securitization LLC, Ser 2006- CB2, Cl AF2
5.501%, 12/25/36		764		550


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit-Based Asset Servicing and Securitization LLC, Ser 2006- CB2, Cl AF4
5.704%, 12/25/36	$	1,584	$	1,238
Credit-Based Asset Servicing and Securitization LLC, Ser 2007- CB4, Cl A1A
0.433%, 04/25/37 (A)		4,119		3,506
Credit-Based Asset Servicing and Securitization LLC, Ser 2007- RP1, Cl A
0.653%, 05/25/46 (A) (B)		13,043		7,905
Diamond Investment Grade CDO, Ser 1X, Cl A1
0.853%, 10/11/14 (G)		2,040		1,938
Embarcadero Aircraft Securitization Trust, Ser 2000- A, Cl A1
0.817%, 08/15/25 (A) (B)		3,248		1,656
Equity One, Ser 2003-2, Cl M1
5.050%, 09/25/33 (A)		558		498
Fieldstone Mortgage Investment, Ser 2007-A, Cl 2A2
0.613%, 04/25/47 (A)		2,000		689
First Horizon Asset Back Trust, Ser 2004-HE2, Cl A
0.563%, 02/25/34 (A)		1,009		562
First Horizon Asset Back Trust, Ser 2006-HE2, Cl A
0.473%, 10/25/26 (A)		631		468
Ford Credit Floorplan Master Owner Trust, Ser 2010-3, Cl A1
4.200%, 02/15/17 (B)		2,963		3,067
GE Seaco Finance Srl, Ser 2005- 1A, Cl A
0.587%, 11/17/20 (A) (B)		3,493		3,152
GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN
0.603%, 02/25/36 (A)		6,404		2,496
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		452		460
GSAMP Trust, Ser 2003-SEA, Cl A1
0.743%, 02/25/33 (A)		1,885		1,410
GSAMP Trust, Ser 2006-SD2, Cl A1
0.453%, 05/25/46 (A) (B)		2,249		2,142
John Deere Owner Trust, Ser 2009-A, Cl A3
2.590%, 10/15/13		276		279
John Deere Owner Trust, Ser 2009-B, Cl A3
1.570%, 10/15/13		535		537

JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6
5.501%, 11/25/36		9,494		7,592


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lehman XS Trust, Ser 2005-5N, Cl 1A1
0.643%, 11/25/35 (A)	$	4,318	$	2,918
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.643%, 12/25/35 (A)		3,327		1,064
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.673%, 05/25/46 (A)		8,114		2,294
Lone Star CDO Funding, Ser IX, Cl A
0.936%, 12/15/12 (G)		2,985		2,895
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D
5.895%, 03/25/37		5,520		2,444
Merit Securities, Ser 2003-13, CI A4
7.950%, 12/28/33 (A)		3,252		3,264
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		2,729		2,608
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/40 (B)		6,556		6,640
MSCC Heloc Trust, Ser 2005-1, Cl A
0.533%, 07/25/17 (A)		495		322
Nelnet Student Loan Trust, Ser 2008-3, Cl A4
2.147%, 11/25/24 (A)		8,152		8,446
Nelnet Student Loan Trust, Ser 2008-4, Cl A4
1.796%, 04/25/24 (A)		4,540		4,677
Oakwood Mortgage Investors, Ser 2002-C, Cl AIO, IO
6.000%, 08/15/10		4,436		50
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.577%, 05/15/32 (A)		34		31
Park Place Securities, Ser 2004-MHQ1, Cl M1
1.043%, 12/25/34 (A)		7,391		7,198
Popular ABS Mortgage Pass- Through Trust, Ser 2007-A, Cl A3
0.653%, 06/25/47 (A)		10,380		3,895
RAAC Series, Ser 2007-RP4, Cl A
0.693%, 11/25/46 (A) (B)		14,437		7,028
RAAC Series, Ser 2007-SP3, Cl A1
1.543%, 09/25/47 (A)		389		268
SLC Student Loan Trust, Ser 2008-1, Cl A4A
1.857%, 12/15/32 (A)		12,024		12,487
SLM Student Loan Trust, Ser 2005-9, Cl A4
0.416%, 01/25/23 (A)		2,491		2,474
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.426%, 01/25/27 (A)		2,830		2,665


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

SLM Student Loan Trust, Ser 2008-5, Cl A4
2.016%, 07/25/23 (A)	$	7,930	$	8,361
SLM Student Loan Trust, Ser 2008-8, Cl A4
1.966%, 07/25/22 (A)		1,784		1,872
SLM Student Loan Trust, Ser 2010-1, Cl A
0.743%, 03/25/25 (A)		9,210		9,202
Swift Master Auto Receivables Trust, Ser 2007-1, Cl A
0.437%, 06/15/12 (A)		1,249		1,249
Textainer Marine Containers, Ser 2005-1A, Cl A
0.587%, 05/15/20 (A) (B)		3,450		3,133
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1
0.433%, 04/25/37 (A)		3,416		3,269

				178,985

Total Asset-Backed Securities (Cost $374,654) ($ Thousands)				336,114


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.1%
FHLB
5.500%, 08/13/14 (C)		5,000		5,712
5.000%, 11/17/17		5,000		5,601
1.500%, 01/16/13 (C)		2,010		2,018
FHLMC
5.625%, 11/23/35		1,620		1,685
5.500%, 07/18/16		4,000		4,600
FICO STRIPS, PO (E)
4.840%, 09/26/19		180		123
4.790%, 06/06/19		470		327
4.750%, 03/07/19		1,450		1,024
4.650%, 11/02/18		3,410		2,471
4.580%, 08/03/18		9,280		6,834
4.520%, 05/11/18		3,620		2,704
4.510%, 04/06/18		2,920		2,191
4.480%, 02/08/18		960		726
0.000%, 09/26/19		1,655		1,129
FNMA
7.735%, 10/09/19 (E)		670		408
FNMA
7.125%, 01/15/30		4,090		5,383
6.250%, 05/15/29		3,730		4,468
5.375%, 06/12/17		250		286
5.250%, 08/01/12		2,800		3,019
5.000%, 02/13/17		5,000		5,605
1.250%, 06/22/12		5,500		5,524

Total U.S. Government Agency Obligations (Cost $59,382) ($ Thousands)				61,838


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


MUNICIPAL BONDS — 0.3%
County of Clark Nevada, RB
6.820%, 07/01/45	$	2,120	$	2,392
Los Angeles Unified School District, GO
6.758%, 07/01/34		1,930		2,098
Louisiana Public Facilities Authority, RB
4.500%, 02/01/14		722		733
North Texas Tollway Authority, RB
6.718%, 01/01/49		1,035		1,122
State of California, Build America Project, GO
7.550%, 04/01/39		1,760		1,864
7.300%, 10/01/39		6,815		7,003
State of California, GO
7.625%, 03/01/40		660		711
6.650%, 03/01/22		1,700		1,781
State of Illinois, GO
5.100%, 06/01/33		270		233

Total Municipal Bonds (Cost $17,170) ($ Thousands)				17,937


PURCHASED OPTIONS — 0.0%
July 2010 90Day EURO$ Future Call, Expires 06/28/2010, Strike Price $121.00*		348		234
September 2010 90Day EURO$ Future Call, Expires 08/30/2010, Strike Price $119.50*		94		192

Total Purchased Options (Cost $285) ($ Thousands)				426


CASH EQUIVALENTS — 2.0%
Evergreen Institutional Money Market Fund, Cl I, 0.090%**		3,318,666		3,319
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090%**†		110,080,882		110,081

Total Cash Equivalents (Cost $113,400) ($ Thousands)				113,400


COMMERCIAL PAPER — 0.4%
BNP Paribas Finance 0.230%, 06/03/10		23,320		23,319

Total Commercial Paper (Cost $23,320) ($ Thousands)				23,319


AFFILIATED PARTNERSHIP — 7.4%
SEI Liquidity Fund, L.P. 0.240%**†		431,338,806		421,924

Total Affiliated Partnership (Cost $431,339) ($ Thousands)				421,924


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


REPURCHASE AGREEMENTS — 5.1%
Barclays 0.160%, dated 05/28/10, to be repurchased on 06/01/10, repurchase price $140,702,501 (collateralized by U.S. Government obligations, par value $142,623,000, 0.875%, 01/31/12 with total market value $143,514,000)	$	140,700		$	140,700
Deutsche 0.180%, dated 05/28/10, to be repurchased on 06/01/10, repurchase price $147,602,952 (collateralized by U.S. Government Agency obligations, par value $150,894,000, 0.00%, 01/24/11; with total market value $150,552,000)		147,600			147,600

Total Repurchase Agreements (Cost $288,300) ($ Thousands)					288,300

Total Investments — 116.1% (Cost $6,665,423) ($ Thousands)				$	6,625,828


WRITTEN OPTIONS — 0.0%
September 2010 90Day EURO$ Future Call, Expires 09/14/10, Strike Price $99.25*		(75	)	$	(23	)
September 2010 90Day EURO$ Future Call, Expires 08/30/2010, Strike Price $121.00*		(136	)		(183	)
September 2010 90Day EURO$ Future Put, Expires 08/30/2010, Strike Price $115.00*		(136	)		(58	)

Total Written Options (Premiums Received $234) ($ Thousands)					(264	)

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$	(26	)	Dec-2010	$	(240	)
90-Day Euro$	(26	)	Jun-2011		(227	)
90-Day Euro$	(26	)	Mar-2011		(234	)
90-Day Euro$	241		Sep-2010		18
90-Day Euro$	(26	)	Sep-2010		(241	)
U.S. 10-Year Treasury Note	33		Sep-2010		5
U.S. 10-Year Treasury Note	(9	)	Sep-2010		7
U.S. 2-Year Treasury Note	1		Jul-2010		2
U.S. 2-Year Treasury Note	85		Oct-2010		20
U.S. 5-Year Treasury Note	2,175		Oct-2010		(221	)
U.S. Long Treasury Bond	208		Oct-2010		(379	)
U.S. Long Treasury Bond	(389	)	Oct-2010		954
U.S. Ultra Long Treasury Bond	233		Oct-2010		(663	)

				$	(1,199	)

A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2010, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
8/17/10	EUR	6,938	USD	8,945	$	385
8/17/10	USD	8,451	EUR	6,649		(247	)

					$	138

Percentages are based on Net Assets of $5,705,708 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

(A)

Variable Rate Security—The rate reported is the rate in effect as of May 31, 2010. The date reported is the final maturity date.

(B)

(C)

This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $419,251 ($ 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 May 31, 2010 was $421,924 ($ 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 May 31, 2010 was $15,513 ($ Thousands) and represented 0.27% of net assets.

(H)

Securities considered illiquid. The total value of such securities as of May 31, 2010 was $700 ($ Thousands) and represented 0.01% of net assets. (Unaudited in regards to illiquid status)

(I)

Step Bond—The rate reported is the effective yield on May 31, 2010. The coupon on a step bond changes on a specific date.

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

FICO — Fair Isaac Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only—face amount represents notional amount

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PO — Principal Only

REMIC — Real Estate Mortgage Investment Conduit

RB — Revenue Bond

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.

A summary of outstanding swap agreements held by the Fund at May 31, 2010, is as follows:

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


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


CORPORATE OBLIGATIONS — 84.4%

Consumer Discretionary — 16.6%
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		2,099
American Airlines
13.000%, 08/01/16		2,544		2,817
American Tire Distributors
9.750%, 06/01/17 (A)		775		765
Ameristar Casinos
9.250%, 06/01/14		1,050		1,076
Amscan Holdings
8.750%, 05/01/14		2,811		2,762
ArvinMeritor
8.125%, 09/15/15		1,295		1,201
Ashtead Capital
9.000%, 08/15/16 (A)		2,324		2,312
Avis Budget Car Rental LLC
7.750%, 05/15/16		705		656
Beazer Homes USA
12.000%, 10/15/17		1,290		1,432
9.125%, 06/15/18		460		432
8.125%, 06/15/16		810		741
Belo
8.000%, 11/15/16		2,575		2,581
7.750%, 06/01/27		2,025		1,721


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

Bon-Ton Department Stores
10.250%, 03/15/14	$	715	$	711
Boyd Gaming
7.125%, 02/01/16		1,375		1,176
Brunswick
11.250%, 11/01/16 (A)		1,440		1,613
Burlington Coat Factory Investment Holdings
14.500%, 10/15/14		4,480		4,704
Burlington Coat Factory Warehouse
11.125%, 04/15/14		1,435		1,482
Cablevision Systems
8.625%, 09/15/17 (A)		1,170		1,176
8.000%, 04/15/20		535		527
7.750%, 04/15/18		900		880
Charter Communications Operating LLC
10.875%, 09/15/14 (A)		530		579
Continental Airlines 2000-1 Class B Pass Through Trust
8.388%, 11/01/20		1,168		1,110
Couche-Tard US
7.500%, 12/15/13		330		329
Dana (escrow security) (B)
7.000%, 03/01/09		175		4
7.000%, 03/15/28		200		5
6.500%, 03/15/08		100		2
6.500%, 03/01/29		1,100		28
Dave & Buster’s
11.250%, 03/15/14		2,081		2,201
Delta Air Lines
7.711%, 09/18/11		1,900		1,881
Dex One
12.000%, 01/29/17		724		702
Dillard’s
7.875%, 01/01/23		50		45
7.750%, 07/15/26		99		85
7.750%, 05/15/27		540		470
7.000%, 12/01/28		150		128
6.625%, 01/15/18		351		328
DISH DBS
7.125%, 02/01/16		3,200		3,136
Dollar General
11.875%, 07/15/17		1,520		1,733
Eastman Kodak
9.750%, 03/01/18 (A)		1,700		1,687
7.250%, 11/15/13		2,930		2,827
Easton-Bell Sports
9.750%, 12/01/16 (A)		2,310		2,385
El Dorado Casino Shreveport PIK
10.000%, 08/01/12		1,102		937
El Pollo Loco
11.750%, 12/01/12		2,250		2,273


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

Equinox Holdings
9.500%, 02/01/16 (A)	$	1,240	$	1,215
Ferrellgas
9.125%, 10/01/17 (A)		2,500		2,588
Fontainebleau Las Vegas
11.000%, 06/15/15 (A) (B)		3,500		39
Ford Motor
7.450%, 07/16/31		1,975		1,758
Ford Motor, Ser 1999-
6.375%, 02/01/29		1,080		837
Games Merger
11.000%, 06/01/18 (A)		9,045		8,909
Gaylord Entertainment
6.750%, 11/15/14		310		287
Goodyear Tire & Rubber
10.500%, 05/15/16		325		345
9.000%, 07/01/15		51		52
8.750%, 08/15/20		110		110
8.625%, 12/01/11		831		854
Gray Television
10.500%, 06/29/15 (A)		1,298		1,227
GWR Operating Partnership LLP
10.875%, 04/01/17 (A)		835		819
Hanesbrands
8.000%, 12/15/16		2,730		2,771
Hanesbrands, Ser B
3.831%, 12/15/14 (C)		985		921
Harrah’s Operating
12.750%, 04/15/18 (A)		400		370
11.250%, 06/01/17		9,245		9,684
10.000%, 12/15/18		5,706		4,508
5.750%, 10/01/17		1,000		591
Hertz
8.875%, 01/01/14		1,480		1,487
Hillman Group
10.875%, 06/01/18 (A)		560		556
HSN
11.250%, 08/01/16		1,700		1,879
Inergy
8.750%, 03/01/15		850		867
8.250%, 03/01/16		515		520
6.875%, 12/15/14		245		240
Intcomex
13.250%, 12/15/14 (A)		3,315		3,398
Isle of Capri Casinos
7.000%, 03/01/14		590		510
Jarden
8.000%, 05/01/16		640		654
7.500%, 05/01/17		1,610		1,578
JC Penney
7.400%, 04/01/37		1,860		1,911
K Hovnanian Enterprises
7.500%, 05/15/16		685		514
6.250%, 01/15/15		835		655


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

Landry’s Restaurants
11.625%, 12/01/15 (A)	$	2,514	$	2,621
11.625%, 12/01/15 (A)		936		976
Lear
8.125%, 03/15/20		980		958
7.875%, 03/15/18		965		941
Levi Strauss
7.625%, 05/15/20 (A)		990		965
Libbey Glass
10.000%, 02/15/15 (A)		885		918
Lions Gate Entertainment
10.250%, 11/01/16 (A)		3,465		3,491
Live Nation Entertainment
8.125%, 05/15/18 (A)		1,585		1,569
M/I Homes
6.875%, 04/01/12		640		622
MCE Finance
10.250%, 05/15/18 (A)		1,430		1,423
McJunkin Red Man
9.500%, 12/15/16 (A)		1,050		1,019
MDC Partners
11.000%, 11/01/16 (A)		3,400		3,638
MGM Mirage
11.375%, 03/01/18 (A)		5,995		5,545
11.125%, 11/15/17 (A)		595		644
10.375%, 05/15/14 (A)		775		823
9.000%, 03/15/20 (A)		3,985		3,995
7.500%, 06/01/16		2,375		1,900
6.875%, 04/01/16		250		191
6.750%, 04/01/13		1,235		1,081
5.875%, 02/27/14		3,085		2,491
Michaels Stores
11.375%, 11/01/16 (A)		21		22
Mohegan Tribal Gaming Authority
7.125%, 08/15/14		905		670
6.875%, 02/15/15		250		182
MTR Gaming Group
12.625%, 07/15/14		1,055		1,055
NCL
11.750%, 11/15/16 (A)		1,210		1,295
Neiman-Marcus Group PIK
9.000%, 10/15/15		1,868		1,824
Niska Gas Storage US LLC
8.875%, 03/15/18 (A)		1,845		1,854
Norcraft
10.500%, 12/15/15 (A)		625		656
Norcraft Holdings
9.750%, 09/01/12		671		611
OSI Restaurant Partners
10.000%, 06/15/15		3,533		3,462
Peninsula Gaming LLC
10.750%, 08/15/17 (A)		1,740		1,714
8.375%, 08/15/15 (A)		3,150		3,166


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

Penn National Gaming
6.750%, 03/01/15	$	3,490	$	3,446
Penske Auto Group
7.750%, 12/15/16		1,700		1,602
Phillips-Van Heusen
7.375%, 05/15/20		5,540		5,568
Pinnacle Entertainment
8.750%, 05/15/20 (A)		6,370		5,892
Quiksilver
6.875%, 04/15/15		1,755		1,535
QVC
7.500%, 10/01/19 (A)		4,215		4,110
7.375%, 10/15/20 (A)		470		456
River Rock Entertainment Authority
9.750%, 11/01/11		4,717		4,399
RJ Tower
12.000%, 06/01/13 (B)		210		1
Royal Caribbean Cruises
11.875%, 07/15/15		900		1,021
7.250%, 06/15/16		640		616
7.000%, 06/15/13		925		910
RSC Equipment Rental
9.500%, 12/01/14		3,505		3,330
Sabre Holdings
8.350%, 03/15/16		2,100		1,932
Salem Communications
9.625%, 12/15/16		1,152		1,166
Sally Holdings LLC
9.250%, 11/15/14		1,615		1,655
San Pasqual Casino
8.000%, 09/15/13 (A)		1,530		1,453
Sbarro
10.375%, 02/01/15		1,866		1,437
Sealy Mattress
8.250%, 06/15/14		3,690		3,672
Service International
7.375%, 10/01/14		1,035		1,045
6.750%, 04/01/15		1,895		1,876
Shingle Springs Tribal Group
9.375%, 06/15/15 (A)		1,685		1,314
Simmons Bedding
11.250%, 07/15/15 (A)		4,710		5,004
Sinclair Broadcast Group
8.000%, 03/15/12		2,025		2,000
Sirius XM Radio
9.750%, 09/01/15 (A)		1,380		1,463
8.750%, 04/01/15 (A)		2,000		1,940
Speedway Motorsports
8.750%, 06/01/16		1,750		1,829
Stanadyne Holdings
12.000%, 02/15/15		1,500		1,080
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		475		423


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

Standard Pacific Escrow LLC
10.750%, 09/15/16	$	2,275	$	2,468
8.375%, 05/15/18		1,049		1,005
Starwood Hotels & Resorts Worldwide
6.750%, 05/15/18		1,390		1,373
Station Casinos
6.875%, 03/01/16 (B)		960		8
6.625%, 03/15/18 (B)		2,090		16
Steinway Musical Instruments
7.000%, 03/01/14 (A)		5,070		4,893
Suburban Propane Partners
7.375%, 03/15/20		2,500		2,488
Sun Media
7.625%, 02/15/13		505		501
Tenneco
8.625%, 11/15/14		585		579
Travelport LLC
11.875%, 09/01/16		7,455		7,511
9.875%, 09/01/14		690		688
4.877%, 09/01/14 (C)		1,444		1,343
TRW Automotive (A)
7.250%, 03/15/17		575		558
7.000%, 03/15/14		840		825
Turning Stone Resort Casino Enterprise
9.125%, 09/15/14 (A)		1,970		1,960
UAL Pass Through Trust Series 2000-1
8.030%, 07/01/11		540		804
United Air Lines
12.000%, 11/01/13 (A)		1,735		1,774
10.400%, 11/01/16		1,662		1,803
9.875%, 08/01/13 (A)		1,370		1,401
9.750%, 01/15/17		1,415		1,521
United Air Lines, Ser 95A1
9.020%, 04/19/12 (B)		530		132
United Components
9.375%, 06/15/13		1,030		1,025
Univision Communications
9.750%, 03/15/15 (A)		4,329		3,674
Vail Resorts
6.750%, 02/15/14		1,970		1,960
Videotron
6.875%, 01/15/14		1,234		1,228
VWR Funding
10.250%, 07/15/15		3,777		3,815
WMG Acquisition
9.500%, 06/15/16 (A)		2,600		2,691
Wynn Las Vegas LLC
7.875%, 05/01/20 (A)		620		611
7.875%, 11/01/17 (A)		155		153

				271,704


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


Consumer Staples — 8.9%
Accellent
10.500%, 12/01/13	$	915	$	883
8.375%, 02/01/17 (A)		1,705		1,645
Alion Science and Technology
12.000%, 11/01/14 (A)		8		8
12.000%, 11/01/14 (A)		3,590		3,572
Alliance One International
10.000%, 07/15/16 (A)		220		225
10.000%, 07/15/16 (A)		715		729
American Renal Holdings
8.375%, 05/15/18 (A)		3,830		3,725
Apria Healthcare Group
12.375%, 11/01/14 (A)		5,120		5,478
Avis Budget Car Rental LLC
9.625%, 03/15/18 (A)		1,745		1,745
B&G Foods
7.625%, 01/15/18		2,920		2,913
Bausch & Lomb
9.875%, 11/01/15		2,190		2,234
Biomet
11.625%, 10/15/17		7,300		7,793
Bumble Bee Foods LLC
7.750%, 12/15/15 (A)		630		627
C&S Group Enterprises LLC
8.375%, 05/01/17 (A)		4,225		4,035
Catalent Pharma Solutions
9.500%, 04/15/15		5,314		5,168
Central Garden and Pet
8.250%, 03/01/18		940		931
Chiquita Brands International
8.875%, 12/01/15		1,495		1,454
Constellation Brands
8.375%, 12/15/14		2,000		2,080
7.250%, 05/15/17		1,250		1,237
7.250%, 09/01/16		2,190		2,179
Cott Beverages
8.375%, 11/15/17 (A)		2,325		2,348
Dean Foods
7.000%, 06/01/16		690		634
DJO Finance LLC
10.875%, 11/15/14 (A)		825		858
10.875%, 11/15/14		1,905		1,981
Dole Food
13.875%, 03/15/14		517		597
8.000%, 10/01/16 (A)		405		406
Fleming
10.125%, 04/01/08 (B) (F)		943		—
HCA
9.875%, 02/15/17 (A)		170		179
9.625%, 11/15/16		9,111		9,589
9.250%, 11/15/16		4,820		5,061
8.500%, 04/15/19 (A)		2,640		2,759
7.875%, 02/15/20 (A)		4,010		4,080


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

JBS USA LLC
11.625%, 05/01/14	$	560	$	615
JohnsonDiversey
8.250%, 11/15/19 (A)		1,410		1,445
Johnsondiversey Holdings
10.500%, 05/15/20 (A)		2,595		2,790
Lantheus Medical Imaging
9.750%, 05/15/17 (A)		2,965		2,846
Laureate Education
11.750%, 08/15/17 (A)		1,100		1,133
10.000%, 08/15/15 (A)		525		530
Novasep Holding SAS
9.750%, 12/15/16 (A)		870		844
Pantry
7.750%, 02/15/14		3,785		3,634
PharmaNet Development Group
10.875%, 04/15/17 (A)		2,775		2,720
Radiation Therapy Services
9.875%, 04/15/17 (A)		1,815		1,761
Rite Aid
10.375%, 07/15/16		3,455		3,524
10.250%, 10/15/19		1,170		1,191
9.750%, 06/12/16		2,340		2,483
9.500%, 06/15/17		3,720		2,985
9.375%, 12/15/15		705		580
7.500%, 03/01/17		1,080		972
RSC Equipment Rental
10.000%, 07/15/17 (A)		2,000		2,153
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)		1,000		892
ServiceMaster
10.750%, 07/15/15 (A)		5,675		5,675
7.450%, 08/15/27		1,500		1,125
7.250%, 03/01/38		1,145		790
7.100%, 03/01/18		1,155		970
Smithfield Foods
7.750%, 07/01/17		580		545
Spectrum Brands
12.000%, 08/28/19		2,005		2,125
SuperValu
8.000%, 05/01/16		3,725		3,669
Ticketmaster Entertainment LLC
10.750%, 08/01/16		5,495		5,962
Tops Markets LLC
10.125%, 10/15/15 (A)		1,330		1,373
United Rentals North America
10.875%, 06/15/16		3,000		3,195
9.250%, 12/15/19		1,085		1,089
Universal Hospital Services
8.500%, 06/01/15		960		922
US Oncology
9.125%, 08/15/17		1,620		1,634
US Oncology Holdings
6.427%, 03/15/12 (C)		1,270		1,165


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

Vanguard Health Holding II LLC
8.000%, 02/01/18	$	2,965	$	2,817
Yankee Acquisition, Ser B
9.750%, 02/15/17		2,320		2,337

				145,644


Energy — 7.6%
American Petroleum Tankers LLC
10.250%, 05/01/15 (A)		585		579
Antero Resources Finance
9.375%, 12/01/17 (A)		990		970
Aquilex Holdings LLC
11.125%, 12/15/16 (A)		2,220		2,220
Arch Coal
8.750%, 08/01/16 (A)		2,390		2,438
Atlas Energy Operating LLC
12.125%, 08/01/17		190		211
10.750%, 02/01/18		1,845		1,956
Aventine Renewable Energy Holdings
13.000%, 03/15/15 (A) (F) (I)		932		979
Basic Energy Services
11.625%, 08/01/14		1,300		1,411
Bill Barrett
9.875%, 07/15/16		1,000		1,035
Calfrac Holdings
7.750%, 02/15/15 (A)		3,000		2,910
Chesapeake Energy
9.500%, 02/15/15		2,545		2,755
7.500%, 06/15/14		219		224
6.875%, 01/15/16		560		573
6.500%, 08/15/17		875		851
Cloud Peak Energy Resources LLC
8.250%, 12/15/17 (A)		1,205		1,190
Complete Production Services
8.000%, 12/15/16		760		749
Compton Petroleum Finance
7.625%, 12/01/13		350		273
Consol Energy
8.250%, 04/01/20 (A)		2,090		2,134
8.000%, 04/01/17 (A)		2,200		2,236
Continental Resources
7.375%, 10/01/20 (A)		2,500		2,438
Copano Energy LLC
7.750%, 06/01/18		2,930		2,784
Crosstex Energy
8.875%, 02/15/18 (A)		2,175		2,142
Denbury Resources
9.750%, 03/01/16		675		721
7.500%, 04/01/13		375		377
Drummond
9.000%, 10/15/14 (A)		1,220		1,214
Dynegy Holdings
8.375%, 05/01/16		1,000		825
7.750%, 06/01/19		3,930		2,839


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

7.625%, 10/15/26	$	1,230	$	799
7.500%, 06/01/15		1,900		1,558
El Paso
8.250%, 02/15/16		470		486
7.420%, 02/15/37		1,000		858
7.250%, 06/01/18		2,425		2,375
7.000%, 06/15/17		270		264
Forbes Energy Services LLC
11.000%, 02/15/15		806		746
Forest Oil
8.500%, 02/15/14		385		396
8.000%, 12/15/11		800		832
7.250%, 06/15/19		2,490		2,344
General Maritime
12.000%, 11/15/17 (A)		1,215		1,245
Global Geophysical Services
10.500%, 05/01/17 (A)		540		518
Helix Energy Solutions Group
9.500%, 01/15/16 (A)		3,290		3,224
Hercules Offshore
10.500%, 10/15/17 (A)		1,260		1,172
Hilcorp Energy I
8.000%, 02/15/20 (A)		1,280		1,242
Holly
9.875%, 06/15/17 (A)		3,135		3,166
International Coal Group
9.125%, 04/01/18		1,165		1,165
Key Energy Services
8.375%, 12/01/14		960		955
Linn Energy LLC
11.750%, 05/15/17 (A)		260		287
8.625%, 04/15/20 (A)		3,900		3,861
MarkWest Energy Partners
8.750%, 04/15/18		1,045		1,055
MarkWest Energy Partners, Ser B
8.500%, 07/15/16		250		251
Murray Energy
10.250%, 10/15/15 (A)		1,150		1,144
Newfield Exploration
7.125%, 05/15/18		5,635		5,565
6.875%, 02/01/20		2,075		2,002
NFR Energy LLC
9.750%, 02/15/17 (A)		1,900		1,777
OPTI Canada
9.000%, 12/15/12 (A)		275		276
8.250%, 12/15/14		3,445		2,945
7.875%, 12/15/14		1,605		1,364
Parker Drilling
9.125%, 04/01/18 (A)		3,010		2,860
Penn Virginia
10.375%, 06/15/16		400		426
Petrohawk Energy
10.500%, 08/01/14		2,185		2,311


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

9.125%, 07/15/13	$	1,335	$	1,368
7.875%, 06/01/15		1,895		1,836
Petroleum Development
12.000%, 02/15/18		2,325		2,395
Pioneer Drilling
9.875%, 03/15/18 (A)		1,060		1,049
Plains Exploration & Production
10.000%, 03/01/16		1,140		1,183
7.750%, 06/15/15		75		73
7.625%, 06/01/18		350		327
7.625%, 04/01/20		725		671
7.000%, 03/15/17		600		549
Quicksilver Resources
11.750%, 01/01/16		2,200		2,398
9.125%, 08/15/19		180		180
7.125%, 04/01/16		2,970		2,680
Range Resources
8.000%, 05/15/19		4,575		4,712
7.500%, 05/15/16		350		351
SandRidge Energy
9.875%, 05/15/16 (A)		1,595		1,571
8.750%, 01/15/20 (A)		2,280		2,063
8.625%, 04/01/15		2,290		2,130
Southwestern Energy
7.500%, 02/01/18		1,125		1,181
Targa Resources Partners
11.250%, 07/15/17 (A)		4,435		4,768
Tesoro
9.750%, 06/01/19		2,800		2,863
Thermon Industries
9.500%, 05/01/17 (A)		1,790		1,772

				124,623


Financials — 12.7%
Algoma Acquisition
9.875%, 06/15/15 (A)		1,400		1,302
ALH Finance LLC
8.500%, 01/15/13		2,365		2,306
Alliant Holdings
11.000%, 05/01/15 (A)		3,350		3,337
Allied Capital
6.625%, 07/15/11		1,525		1,530
6.000%, 04/01/12		1,345		1,347
Ally Financial
8.000%, 11/01/31		3,883		3,534
8.000%, 12/31/18		1,250		1,175
6.875%, 08/28/12		2,925		2,888
6.750%, 12/01/14		2,506		2,387
6.625%, 05/15/12		354		349
American General Finance MTN
5.375%, 10/01/12		100		90
4.875%, 07/15/12		360		324
American International Group
8.175%, 05/15/58 (C)		2,100		1,638


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

Bank of America
8.000%, 12/29/49 (C)	$	635	$	610
Capital One Capital V
10.250%, 08/15/39		1,545		1,661
Cardtronics
9.250%, 08/15/13		2,040		2,040
Cemex Finance LLC
9.500%, 12/14/16 (A)		6,720		6,132
CEVA Group
11.625%, 10/01/16 (A)		3,155		3,289
11.500%, 04/01/18 (A)		2,500		2,575
Chukchansi Economic Development Authority
4.123%, 11/15/12 (A) (C)		2,185		1,486
CIT Group
7.000%, 05/01/13		483		465
7.000%, 05/01/14		4,709		4,427
7.000%, 05/01/15		824		760
7.000%, 05/01/16		5,392		4,893
7.000%, 05/01/17		4,040		3,646
Citigroup Capital XXI
8.300%, 12/21/57 (C)		635		606
City National Bank
9.000%, 08/12/19		4,062		4,062
City National Capital Trust I
9.625%, 02/01/40		1,975		2,012
Credit Acceptance
9.125%, 02/01/17 (A)		2,600		2,626
Delphi Financial Group
7.875%, 01/31/20		4,050		4,384
DuPont Fabros Technology
8.500%, 12/15/17‡ (A)		450		454
E*Trade Financial
7.875%, 12/01/15		825		759
E*Trade Financial PIK
12.500%, 11/30/17		2,010		2,231
Express LLC
8.750%, 03/01/18 (A)		790		796
Felcor Lodging
10.000%, 10/01/14‡		1,320		1,320
FireKeepers Development Authority
13.875%, 05/01/15 (A)		3,420		3,916
Ford Motor Credit LLC
12.000%, 05/15/15		1,070		1,247
8.700%, 10/01/14		3,235		3,327
8.000%, 06/01/14		2,000		2,022
8.000%, 12/15/16		2,100		2,104
7.000%, 10/01/13		8,445		8,518
7.000%, 04/15/15		2,965		2,935
Fresenius US Finance II
9.000%, 07/15/15 (A)		800		872
Genworth Financial
6.500%, 06/15/34		1,045		916


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

6.150%, 11/15/66 (C)	$	5,472	$	3,803
HBOS Capital Funding
6.071%, 06/30/49 (A) (C)		4,200		3,003
Hellas II
6.881%, 01/15/15 (A) (B) (C)		2,100		63
Host Hotels & Resorts
9.000%, 05/15/17‡		470		498
Host Hotels & Resorts L.P.
6.875%, 11/01/14‡		545		541
Host Marriott LP, Ser Q
6.750%, 06/01/16‡		1,600		1,568
HUB International Holdings
10.250%, 06/15/15 (A)		410		375
9.000%, 12/15/14 (A)		2,270		2,134
Icahn Enterprises
8.000%, 01/15/18 (A)		3,400		3,196
7.750%, 01/15/16 (A)		4,800		4,512
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (C)		1,770		1,080
International Lease Finance
8.750%, 03/15/17 (A)		4,955		4,534
8.625%, 09/15/15 (A)		4,430		4,076
6.375%, 03/25/13		2,630		2,393
5.650%, 06/01/14		790		679
Ironshore Holdings US
8.500%, 05/15/20 (A)		5,000		4,975
LBG Capital No.1
7.875%, 11/01/20		1,005		789
Lehman Brothers Holdings MTN
6.875%, 05/02/18 (B)		3,500		752
5.625%, 01/24/13 (B)		1,000		217
Liberty Mutual Group
7.000%, 03/15/37 (A) (C)		1,530		1,188
Lincoln National
6.050%, 04/20/67 (C)		370		285
Lloyds Banking Group
6.267%, 11/14/16 (A)		310		164
5.920%, 09/29/49 (A) (C)		470		249
Marlin Water Trust II
6.310%, 07/15/03 (A) (B)		4,000		—
MBIA
5.700%, 12/01/34		2,390		1,283
MetLife Capital Trust X
9.250%, 04/08/38 (A) (C)		3,135		3,417
National Life Insurance
10.500%, 09/15/39 (A)		1,100		1,239
Nuveen Investments
10.500%, 11/15/15		11,010		9,909
5.500%, 09/15/15		765		581
Ohio Casualty
7.300%, 06/15/14		1,050		1,136
Omega Healthcare Investors
7.500%, 02/15/20‡ (A)		3,505		3,470


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

Penson Worldwide
12.500%, 05/15/17 (A)	$	1,270	$	1,259
Pinnacle Foods Finance LLC
10.625%, 04/01/17		1,675		1,721
9.250%, 04/01/15		170		170
9.250%, 04/01/15 (A)		1,745		1,741
PNC Preferred Funding Trust II
6.113%, 03/29/49 (A) (C)		2,640		1,901
Protective Life
8.450%, 10/15/39		3,140		3,272
Rabobank Nederland
11.000%, 12/31/49 (A) (C)		1,465		1,777
Realogy
12.375%, 04/15/15		950		712
10.500%, 04/15/14		1,660		1,411
Regions Financing Trust II
6.625%, 05/15/47 (C)		470		341
Reynolds Group Issuer
8.500%, 05/15/18 (A)		2,345		2,228
7.750%, 10/15/16 (A)		6,650		6,583
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		3,070		2,579
4.136%, 02/01/14 (A) (C)		445		356
SSI Investments II
11.125%, 06/01/18 (A)		780		768
Susquehanna Capital II
11.000%, 03/23/40		1,300		1,362
Susser Holdings LLC
8.500%, 05/15/16 (A)		4,015		3,965
Symetra Financial
6.125%, 04/01/16 (A)		565		559
UCI Holdco
8.257%, 12/15/13 (C)		1,255		1,193
Unitrin
6.000%, 05/15/17		1,140		1,117
Universal City Development Partners
10.875%, 11/15/16 (A)		2,470		2,495
8.875%, 11/15/15 (A)		1,515		1,500
USI Holdings
9.750%, 05/15/15 (A)		3,687		3,355
Ventas Realty LP
7.125%, 06/01/15‡		1,026		1,065
6.750%, 04/01/17‡		775		777
XL Capital
6.500%, 12/31/49 (C)		750		525
Yankee Acquisition, Ser B
8.500%, 02/15/15		1,705		1,709
Zions Bancorporation
5.650%, 05/15/14		160		150

				207,998


Health Care — 3.9%
Biomet
10.375%, 10/15/17		6,935		7,377


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

10.000%, 10/15/17	$	4,220	$	4,463
BioScrip
10.250%, 10/01/15 (A)		4,780		4,660
Community Health Systems
8.875%, 07/15/15		2,075		2,124
Cooper
7.125%, 02/15/15		1,185		1,179
Health Management Associates
6.125%, 04/15/16		2,140		2,009
Healthsouth
8.125%, 02/15/20		3,210		3,114
Inverness Medical Innovations
9.000%, 05/15/16		5,650		5,565
Mylan
7.875%, 07/15/20 (A)		1,495		1,497
7.625%, 07/15/17 (A)		5,815		5,859
Omnicare
7.750%, 06/01/20		6,340		6,356
Phibro Animal Health
13.000%, 08/01/14 (A)		1,000		1,015
Psychiatric Solutions
7.750%, 07/15/15		1,000		1,025
ReAble Therapeutics Finance LLC
11.750%, 11/15/14		3,127		3,197
Select Medical
7.625%, 02/01/15		4,970		4,672
Surgical Care Affiliates
8.875%, 07/15/15 (A)		1,736		1,701
Talecris Biotherapeutics Holdings
7.750%, 11/15/16 (A)		1,990		1,940
Tenet Healthcare
10.000%, 05/01/18 (A)		45		49
9.250%, 02/01/15		1,990		2,045
8.875%, 07/01/19 (A)		495		519
United Surgical Partners International
8.875%, 05/01/17		105		105
United Surgical Partners International PIK
9.250%, 05/01/17		3,190		3,166

				63,637


Industrials — 7.0%
ACCO Brands
10.625%, 03/15/15		3,605		3,902
7.625%, 08/15/15		905		842
Actuant
6.875%, 06/15/17		2,575		2,433
Aleris International PIK
9.000%, 12/15/14 (B)		950		5
Aleris International
10.000%, 12/15/16 (B)		1,675		11
Alliant Techsystems
6.750%, 04/01/16		3,300		3,250


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

Allison Transmission
11.000%, 11/01/15 (A)	$	1,558	$	1,628
American Axle & Manufacturing
7.875%, 03/01/17		1,705		1,509
Ames True Temper
10.000%, 07/15/12		1,115		1,076
4.303%, 01/15/12 (C)		1,730		1,631
Amsted Industries
8.125%, 03/15/18 (A)		3,730		3,693
ArvinMeritor
10.625%, 03/15/18		610		625
Associated Materials
11.250%, 03/01/14 (D)		910		905
Associated Materials LLC
9.875%, 11/15/16		630		677
Atrium
15.000%, 12/15/12 (A) (B) (E)		1,593		24
Baker & Taylor
11.500%, 07/01/13 (A)		925		686
Baldor Electric
8.625%, 02/15/17		990		1,007
BE Aerospace
8.500%, 07/01/18		650		673
Belden
9.250%, 06/15/19 (A)		655		685
Berry Plastics
10.250%, 03/01/16		2,400		2,136
9.500%, 05/15/18 (A)		3,076		2,753
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,050		369
Case New Holland
7.750%, 09/01/13 (A)		1,210		1,231
Casella Waste Systems
11.000%, 07/15/14 (A)		30		32
9.750%, 02/01/13		1,335		1,308
Cemex Espana Luxembourg
9.250%, 05/12/20 (A)		808		691
Chart Industries
9.125%, 10/15/15		2,000		1,995
Clean Harbors
7.625%, 08/15/16		575		589
Coleman Cable
9.000%, 02/15/18 (A)		3,845		3,759
Corrections Corp of America
7.750%, 06/01/17		1,650		1,704
CPM Holdings
10.625%, 09/01/14 (A)		735		784
Crown Americas LLC
7.625%, 05/15/17 (A)		590		593
DAE Aviation Holdings
11.250%, 08/01/15 (A)		1,070		1,073
Delta Air Lines
12.250%, 03/15/15 (A)		4,355		4,518


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

Douglas Dynamics LLC
7.750%, 01/15/12 (A)	$	2,584	$	2,634
ESCO
4.132%, 12/15/13 (A) (C)		400		369
ESCO
8.625%, 12/15/13 (A)		105		107
General Cable
7.125%, 04/01/17		1,120		1,100
Geo Group
7.750%, 10/15/17 (A)		585		583
Global Aviation Holdings
14.000%, 08/15/13 (A)		2,850		2,879
Goodman Global Group
12.795%, 12/15/14 (A)		4,800		2,856
Graham Packaging
8.250%, 01/01/17 (A)		65		63
Graphic Packaging International
9.500%, 06/15/17		1,245		1,295
Harland Clarke Holdings
9.500%, 05/15/15		3,950		3,525
6.000%, 05/15/15 (C)		545		435
Interface
11.375%, 11/01/13		475		531
9.500%, 02/01/14		146		149
Interline Brands
8.125%, 06/15/14		810		818
International Wire Group
9.750%, 04/15/15 (A)		1,105		1,095
Iron Mountain
8.750%, 07/15/18		1,265		1,297
8.375%, 08/15/21		1,115		1,132
Kansas City Southern de Mexico
12.500%, 04/01/16		345		398
8.000%, 02/01/18 (A)		1,530		1,528
KAR Holdings
10.000%, 05/01/15		28		28
Koppers
7.875%, 12/01/19 (A)		1,245		1,251
Kratos Defense & Security Solutions
10.000%, 06/01/17 (A)		2,250		2,227
L-3 Communications, Ser B
6.375%, 10/15/15		315		315
Manitowoc
9.500%, 02/15/18		1,610		1,582
Masco
7.125%, 03/15/20		825		799
Millar Western Forest
7.750%, 11/15/13		650		572
NXP BV
10.000%, 07/15/13 (A)		598		635
Oshkosh
8.500%, 03/01/20		1,200		1,242
8.250%, 03/01/17		1,380		1,422


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

Plastipak Holdings
10.625%, 08/15/19 (A)	$	665	$	725
Ply Gem Industries
13.125%, 07/15/14 (A)		1,290		1,303
Pregis
12.375%, 10/15/13		2,436		2,399
Quality Distribution LLC
11.750%, 11/01/13		812		763
Quebecore
0.000%, 11/15/13 (B) (F)		1,800		—
0.000%, 03/15/16 (F) (I)		2,175		141
Radnet Management
10.375%, 04/01/18 (A)		1,205		1,102
RailAmerica
9.250%, 07/01/17		1,085		1,129
RBS Global
8.500%, 05/01/18 (A)		4,090		3,885
RBS Global & Rexnord
11.750%, 08/01/16		1,395		1,458
Sequa
11.750%, 12/01/15 (A)		1,925		1,925
Solo Cup
10.500%, 11/01/13		990		1,007
Spirit Aerosystems
7.500%, 10/01/17		800		788
SPX
7.625%, 12/15/14		1,330		1,353
Syncreon Global Ireland
9.500%, 05/01/18 (A)		2,187		2,100
Terex
10.875%, 06/01/16		1,000		1,075
8.000%, 11/15/17		5,690		5,278
Thermadyne Holdings
9.500%, 02/01/14		1,040		1,067
Trimas
9.750%, 12/15/17 (A)		620		629
Triumph Group
8.000%, 11/15/17		135		130
United Air Lines
9.125%, 01/15/12 (B) (F)		625		—
United Air Lines, Ser A
10.670%, 05/01/04 (B) (F)		325		—
USG
9.750%, 08/01/14 (A)		265		278
Vought Aircraft Industries
8.000%, 07/15/11		2,900		2,893
Wyle Services
10.500%, 04/01/18 (A)		1,800		1,764

				114,856


Information Technology — 5.0%
Activant Solutions
9.500%, 05/01/16		1,975		1,876


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

Amkor Technology
9.250%, 06/01/16	$	3,015	$	3,162
7.750%, 05/15/13		1,335		1,348
7.375%, 05/01/18 (A)		2,345		2,263
Aspect Software
10.625%, 05/15/17 (A)		2,715		2,691
Brocade Communications Systems
6.875%, 01/15/20 (A)		480		473
6.625%, 01/15/18 (A)		480		473
Compucom Systems
12.500%, 10/01/15 (A)		3,515		3,730
Equinix
8.125%, 03/01/18		3,150		3,197
First Data
9.875%, 09/24/15		9,463		7,712
1.755%, 09/24/15		1,958		1,513
Freescale Semiconductor
10.125%, 03/15/18 (A)		200		207
10.125%, 12/15/16		2,455		1,976
9.250%, 04/15/18 (A)		7,845		7,786
JDA Software Group
8.000%, 12/15/14 (A)		1,010		1,023
MagnaChip Semiconductor
10.500%, 04/15/18 (A)		4,755		4,880
NXP Funding LLC
9.500%, 10/15/15		1,500		1,292
7.875%, 10/15/14		4,095		3,778
Open Solutions
9.750%, 02/01/15 (A)		5,090		3,970
Sanmina-SCI
8.125%, 03/01/16		960		915
Sensata Technologies
8.000%, 05/01/14		206		211
Smart Modular
5.791%, 04/01/12 (C)		760		737
Stratus Technologies
12.000%, 03/29/15 (A)		2,575		2,372
Sungard Data Systems
10.250%, 08/15/15		5,745		5,810
9.125%, 08/15/13		3,465		3,500
Terremark Worldwide
12.000%, 06/15/17 (A)		3,090		3,507
Unisys
14.250%, 09/15/15 (A)		1,660		1,942
12.750%, 10/15/14 (A)		6,695		7,666
Viasat
8.875%, 09/15/16		665		671

				80,681


Materials — 7.2%
AK Steel
7.625%, 05/15/20		1,992		1,967
Appleton Papers
10.500%, 06/15/15 (A)		1,040		946


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

Arch Western Finance LLC
6.750%, 07/01/13	$	1,050	$	1,037
Ashland
9.125%, 06/01/17 (A)		3,005		3,291
Boise Paper Holdings LLC
9.000%, 11/01/17 (A)		2,670		2,820
Cascades
7.875%, 01/15/20 (A)		1,440		1,426
Century Aluminum
8.000%, 05/15/14		1,071		1,034
CF Industries
7.125%, 05/01/20		1,884		1,900
6.875%, 05/01/18		4,225		4,230
Clearwater Paper
10.625%, 06/15/16 (A)		855		938
CPG International I
10.500%, 07/01/13		2,100		2,121
Crown Americas
7.750%, 11/15/15		695		707
Domtar
10.750%, 06/01/17		3,500		4,095
9.500%, 08/01/16		250		284
Essar Steel Algoma
9.375%, 03/15/15 (A)		125		128
FMG Finance
10.625%, 09/01/16 (A)		4,070		4,477
Georgia-Pacific
8.000%, 01/15/24		3,070		3,200
7.125%, 01/15/17 (A)		5,480		5,453
7.000%, 01/15/15 (A)		2,010		2,010
Georgia-Pacific LLC
8.250%, 05/01/16 (A)		2,220		2,309
Glatfelter
7.125%, 05/01/16 (A)		175		166
Graham Packaging
9.875%, 10/15/14		3,535		3,561
Headwaters
11.375%, 11/01/14		1,335		1,345
Hexion Finance Escrow LLC
8.875%, 02/01/18 (A)		1,895		1,753
Hexion US Fin/Nova Scotia
9.750%, 11/15/14		3,384		3,232
4.750%, 11/15/14 (C)		750		637
Huntsman International LLC
8.625%, 03/15/20 (A)		1,965		1,852
7.875%, 11/15/14		2,140		2,044
7.375%, 01/01/15		505		477
5.500%, 06/30/16 (A)		755		657
Ineos Finance
9.000%, 05/15/15 (A)		3,140		3,124
Innophos
8.875%, 08/15/14		2,745		2,814
Intertape Polymer
8.500%, 08/01/14		835		680


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

LBI Escrow
8.000%, 11/01/17 (A)	$	6,105	$	6,212
Lyondell Chemical
11.000%, 05/01/18		3,607		3,824
MacDermid
9.500%, 04/15/17 (A)		2,325		2,331
Neenah Foundry
9.500%, 01/01/17 (B)		500		246
NewPage
11.375%, 12/31/14		4,740		4,432
Noranda Aluminium Acquisition
5.370%, 05/15/15 (C)		2,976		2,418
Novelis
11.500%, 02/15/15		675		732
7.250%, 02/15/15 (D)		2,570		2,409
P.H. Glatfelter
7.125%, 05/01/16		1,115		1,059
Packaging Dynamics Finance
10.000%, 05/01/16 (A)		1,165		998
PE Paper Escrow GmbH
12.000%, 08/01/14 (A)		590		646
PolyOne
8.875%, 05/01/12		1,325		1,388
Reichhold Industries
9.000%, 08/15/14 (A)		2,716		2,472
Ryerson
12.000%, 11/01/15		1,725		1,764
Scotts Miracle-Gro
7.250%, 01/15/18		385		383
Sealed Air
7.875%, 06/15/17 (A)		1,320		1,395
Solo Cup
8.500%, 02/15/14		905		835
Solutia
8.750%, 11/01/17		2,095		2,147
7.875%, 03/15/20		1,000		995
Standard Steel LLC
12.000%, 05/01/15 (A)		3,270		3,290
Steel Dynamics
7.750%, 04/15/16		1,500		1,493
7.625%, 03/15/20 (A)		905		896
Teck Resources
10.750%, 05/15/19		760		916
10.250%, 05/15/16		70		82
Verso Paper Holdings LLC
11.500%, 07/01/14 (A)		1,460		1,559
9.125%, 08/01/14		3,200		3,024
Verso Paper Holdings LLC, Ser B
11.375%, 08/01/16		1,080		937
Viskase
9.875%, 01/15/18 (A)		1,300		1,313


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

Vitro
9.125%, 02/01/17 (B)	$	2,305	$	1,026

				117,937


Telecommunication Services — 12.5%
Aeroflex
11.750%, 02/15/15		1,650		1,753
Affinion Group
11.500%, 10/15/15		1,640		1,693
10.125%, 10/15/13		4,025		4,095
Avaya
10.125%, 11/01/15		786		770
9.750%, 11/01/15		860		830
CCH II LLC
13.500%, 11/30/16		4,005		4,591
CCO Holdings LLC
8.125%, 04/30/20 (A)		1,941		1,922
7.875%, 04/30/18 (A)		2,135		2,095
Cengage Learning Acquisitions
10.500%, 01/15/15 (A)		1,420		1,289
Cequel Communications Holdings I LLC and Cequel Capital
8.625%, 11/15/17 (A)		5,520		5,327
Clear Channel Communications
10.750%, 08/01/16		1,185		877
Clear Channel Worldwide Holdings
9.250%, 12/15/17 (A)		2,650		2,694
Clearwire Communications LLC
12.000%, 12/01/15 (A)		7,840		7,629
Cleveland Unlimited
13.500%, 12/15/10 (A) (C)		4,260		4,090
Columbus International
11.500%, 11/20/14 (A)		1,465		1,553
Cricket Communications
10.000%, 07/15/15		2,000		2,050
Cricket Communications I
9.375%, 11/01/14		3,002		3,024
Crown Castle International
9.000%, 01/15/15		2,815		2,959
CSC Holdings
8.625%, 02/15/19 (A)		2,650		2,763
Digicel Group
12.000%, 04/01/14 (A)		600		666
10.500%, 04/15/18 (A)		1,340		1,357
9.125%, 01/15/15 (A)		300		292
8.875%, 01/15/15 (A)		900		871
8.250%, 09/01/17 (A)		1,520		1,490
DISH DBS
7.875%, 09/01/19		1,200		1,212
7.750%, 05/31/15		4,740		4,764


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

Frontier Communications
6.625%, 03/15/15	$	1,100	$	1,044
GCI
8.625%, 11/15/19 (A)		2,605		2,527
Global Crossing
12.000%, 09/15/15 (A)		1,615		1,760
GXS Worldwide
9.750%, 06/15/15 (A)		11,655		10,926
Inmarsat Finance
7.375%, 12/01/17 (A)		2,450		2,444
Integra Telecom Holdings
10.750%, 04/15/16 (A)		1,000		965
Intelsat
9.250%, 06/15/16		275		282
Intelsat Bermuda
11.250%, 06/15/16		3,300		3,481
Intelsat Jackson Holdings
9.500%, 06/15/16		1,300		1,339
8.500%, 11/01/19 (A)		1,830		1,821
Intelsat Luxembourg
11.500%, 02/04/17		4,453		4,375
11.250%, 02/04/17		3,780		3,723
Intelsat Subsidiary Holding
8.875%, 01/15/15 (A)		2,250		2,261
8.875%, 01/15/15		2,025		2,045
iPCS PIK
3.594%, 05/01/14 (C)		2,800		2,520
ITC Deltacom
10.500%, 04/01/16 (A)		750		720
Lamar Media
7.875%, 04/15/18 (A)		2,470		2,433
Level 3 Financing
10.000%, 02/01/18 (A)		3,305		2,908
4.140%, 02/15/15 (C)		100		77
Liberty Media LLC
8.250%, 02/01/30		2,240		2,072
MetroPCS Wireless
9.250%, 11/01/14		375		382
9.250%, 11/01/14		3,390		3,492
Nexstar Broadcasting
8.875%, 04/15/17 (A)		1,840		1,822
Nextel Communications
6.875%, 10/31/13		1,991		1,906
Nielsen Finance LLC
11.500%, 05/01/16		275		291
10.000%, 08/01/14		940		955
1.606%, 08/01/11 (D)		4,325		4,001
NII Capital
10.000%, 08/15/16		3,150		3,370
Nordic Telephone Holdings
8.875%, 05/01/16 (A)		1,795		1,840
Orascom Telecom Finance
7.875%, 02/08/14 (A)		1,000		900


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

PAETEC Holding
9.500%, 07/15/15	$	2,691	$	2,617
8.875%, 06/30/17		1,960		1,935
Primus Telecommunications Holding
13.000%, 12/15/16 (A)		705		705
Quebecor Media
7.750%, 03/15/16		4,360		4,196
Qwest
7.500%, 06/15/23		710		689
7.250%, 09/15/25		375		367
7.250%, 10/15/35		1,200		1,116
6.875%, 09/15/33		275		252
Qwest Communications International
7.500%, 02/15/14		295		291
7.125%, 04/01/18 (A)		810		790
Qwest Communications International, Ser B
7.500%, 02/15/14		1,970		1,940
Sable International Finance
7.750%, 02/15/17 (A)		1,180		1,204
SBA Telecommunications
8.250%, 08/15/19 (A)		435		453
8.000%, 08/15/16 (A)		435		448
Sinclair Television Group
9.250%, 11/01/17 (A)		1,005		995
Sitel LLC
11.500%, 04/01/18 (A)		1,180		1,121
Sprint Capital
8.750%, 03/15/32		3,585		3,415
6.900%, 05/01/19		4,150		3,750
Telcordia Technologies
11.000%, 05/01/18 (A)		5,765		5,585
Telesat Canada
12.500%, 11/01/17		935		1,056
11.000%, 11/01/15		795		863
tw telecom holdings inc
8.000%, 03/01/18 (A)		2,455		2,461
Univision Communications
12.000%, 07/01/14 (A)		608		654
UPC Holding BV
9.875%, 04/15/18 (A)		3,085		3,116
Videotron Ltee
9.125%, 04/15/18		1,045		1,118
Virgin Media Finance
9.500%, 08/15/16		3,680		3,772
8.375%, 10/15/19		2,050		2,045
Visant Holding
10.250%, 12/01/13 (D)		4,330		4,417
West
11.000%, 10/15/16		1,905		1,924
9.500%, 10/15/14		1,539		1,531
Wind Acquisition Finance
11.750%, 07/15/17 (A)		2,188		2,231
10.750%, 12/01/15 (A)		3,015		3,105


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

Wind Acquisition Holdings Finance
12.250%, 07/15/17 (A)	$	1,550	$	1,457
Windstream
8.625%, 08/01/16		2,160		2,149
XM Satellite Radio
11.250%, 06/15/13 (A)		2,210		2,365
XM Satellite Radio Holdings
13.000%, 08/01/13 (A)		4,820		5,278
Zayo Group LLC
10.250%, 03/15/17 (A)		1,085		1,096

				203,845


Utilities — 3.0%
AES
9.750%, 04/15/16 (A)		2,320		2,465
8.000%, 06/01/20		575		558
8.000%, 10/15/17		280		277
Calpine Construction Finance and CCFC Finance
8.000%, 06/01/16 (A)		450		454
Calpine Generating LLC
14.320%, 04/01/11 (B) (C)		1,500		191
Edison Mission Energy
7.625%, 05/15/27		1,400		882
7.500%, 06/15/13		600		532
7.200%, 05/15/19		3,700		2,405
Elwood Energy LLC
8.159%, 07/05/26		957		907
Energy Future Holdings
10.875%, 11/01/17		3,775		2,775
10.000%, 01/15/20 (A)		2,080		2,070
Ferrellgas Partners
6.750%, 05/01/14		1,500		1,463
Mirant Americas Generation LLC
8.500%, 10/01/21		1,750		1,601
Mirant North America LLC
7.375%, 12/31/13		3,555		3,564
North American Energy Alliance LLC
10.875%, 06/01/16 (A)		1,300		1,329
NRG Energy
8.500%, 06/15/19		1,895		1,833
7.375%, 02/01/16		4,440		4,296
7.375%, 01/15/17		1,210		1,150
7.250%, 02/01/14		1,800		1,777
Public Service of New Mexico
7.950%, 05/15/18		2,800		2,925
Puget Sound Energy
6.974%, 06/01/67 (C)		1,035		946
Sabine Pass LNG LP
7.500%, 11/30/16 (A)		620		515
7.500%, 11/30/16		6,070		5,038
Texas Competitive Electric Holdings LLC
10.250%, 11/01/15		3,275		2,194


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

TXU
6.500%, 11/15/24	$	1,010	$	459
TXU, Ser P
5.550%, 11/15/14		1,215		853
TXU, Ser R
6.550%, 11/15/34		2,105		931
United Maritime Group LLC
11.750%, 06/15/15 (A)		4,100		4,018

				48,408

Total Corporate Obligations (Cost $1,356,031) ($ Thousands)				1,379,333


LOAN PARTICIPATIONS — 5.8%
Advantage Sales
8.500%, 04/15/17		1,800		1,776
Affinion Group Holdings
7.641%, 03/01/12		5,127		4,819
Allison Transmission
3.100%, 08/07/14		348		316
3.050%, 08/07/14		141		129
3.010%, 08/07/14		99		90
American General Finance
7.250%, 04/08/15		2,170		2,098
Asurion 2nd Lien
6.849%, 07/03/15		3,450		3,367
Aventi
0.000%, 10/15/49 (B) (F) (H) (I)		2,600		456
Boston Generating
7.290%, 12/20/16		173		4
4.540%, 06/20/14		650		157
BWAY
0.000%, 07/20/13 (H)		2,510		2,504
CDW
4.234%, 10/12/14		995		877
Central Parking
2.563%, 05/22/14 (C)		616		540
Central Parking 1st Lien Term Loan
2.813%, 05/22/14		1,723		1,510
CF Industries
10.000%, 12/02/16		1,870		1,868
Chester Downs
12.375%, 12/31/49		650		645
CIT Group
9.500%, 01/20/12		2,635		2,681
0.000%, 01/20/12 (H)		2,748		2,796
Claire’s Stores
3.040%, 05/27/14		1,784		1,500
DAE Aviation Holdings Tranche B-1 Loan
4.090%, 07/31/14		277		251
DAE Aviation Holdings Tranche B-2 Loan
4.090%, 09/27/14		269		245


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

Dana
0.000%, 01/31/15 (H)	$	755	$	726
Dex Media West LLC
9.250%, 06/30/11		1,200		1,109
7.500%, 10/24/14		1,483		1,348
Federal Mogul
2.278%, 12/28/15		706		616
2.278%, 12/29/14		217		189
2.217%, 12/29/14		1,167		1,018
First Data
3.091%, 09/24/14		2,113		1,780
3.040%, 09/24/14		129		109
3.032%, 09/24/14		241		203
Gambro Aktiebolag
7.054%, 11/24/16		1,014		869
5.186%, 12/05/15		922		832
Georgia Pacific
2.538%, 12/20/12		199		194
2.290%, 12/23/10		26		25
2.290%, 12/20/12		26		25
Greektown Casino (B) (H)
0.000%, 09/30/10		1,100		1,006
0.000%, 12/03/12		725		781
Green Valley Ranch Gaming
3.507%, 08/06/14		2,000		104
Guitar Center
3.850%, 10/09/13		2,086		1,850
Harrah’s Operating
9.500%, 01/28/15		2,993		2,991
3.316%, 01/28/15		1,575		1,313
3.290%, 01/28/15		17		14
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13 (C)		1,401		1,290
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13 (C)		514		474
Iasis Healthcare
5.588%, 06/13/14		3,357		3,016
Ineos US Finance LLC
8.000%, 12/16/14		1,665		1,615
7.500%, 12/16/13		1,456		1,403
Infor Enterprise Solution
0.000%, 03/02/14 (H)		1,094		832
Infor Global Enterprise Solutions Tranche 1
6.604%, 03/02/14		2,217		1,686
Infor Global Solutions
8.240%, 08/29/14		3,873		1,840
6.479%, 03/02/14		1,283		976
0.000%, 08/29/14 (H)		210		100
0.000%, 07/28/12 (H)		1,203		1,131
Integra Telecom
9.250%, 04/07/15		270		268

Intelsat Jackson Holdings
2.804%, 02/01/14 (C)		2,400		2,118


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

2.574%, 02/14/14	$	1,005	$	821
2.543%, 02/14/14		2		2
2.540%, 02/07/14		52		42
Metroflag, 2nd Lien
14.000%, 01/06/09 (B) (F)		325		—
Millennium
7.625%, 11/15/26 (B)		200		—
Nuveen Investments
12.500%, 11/09/14		810		835
12.500%, 07/31/15		725		747
Open Link Financial
10.250%, 11/06/15		2,750		2,860
OSI Restaurant Partners LLC
2.563%, 06/14/13		76		66
2.563%, 06/14/14		3,987		3,451
0.074%, 06/14/13		205		178
PQ
6.740%, 06/14/14		1,450		1,316
Proquest
6.110%, 02/09/15		1,100		990
6.090%, 02/09/15		100		90
Realogy
3.294%, 10/13/13		594		500
3.292%, 10/13/13		632		531
Rexnord
7.252%, 03/01/13		2,072		1,347
Reynold
6.250%, 11/05/15		1,441		1,433
Rite Aid
9.500%, 06/01/15		1,036		1,056
Sabre
2.494%, 09/30/14		848		760
2.479%, 09/30/14		480		431
Simmons Holdco, Unsecured
0.000%, 02/15/12 (H)		1,635		—
Targa Resources
5.337%, 02/09/15		1,544		1,309
0.000%, 02/09/16 (H)		400		339
Texas Competitive Electric
4.066%, 10/10/14		5,033		3,864
3.874%, 10/10/14		1,831		1,406
3.797%, 10/10/14		4,134		3,172
3.790%, 10/10/14		85		66
Tronox
9.000%, 09/20/10		805		809
Wide Open West Finance
7.256%, 06/27/15		1,513		1,279
6.624%, 06/27/15		785		663
0.000%, 06/27/15 (H)		525		444

Zuffa
7.500%, 06/18/15		1,791		1,795

Total Loan Participations (Cost $92,467) ($ Thousands)				95,082


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)
COLLATERALIZED DEBT OBLIGATION — 1.7%


Other Asset-Backed Securities — 1.7%
ACAS, Ser 2007-1A, Cl A1J
0.615%, 04/20/21 (C)	$	3,800	$	2,888
Ares IIIR CLO, Ser 2007-3RA, Cl SUB
0.000%, 04/16/21		5,000		1,500
CIFC Funding, Ser 2007-3A, Cl B
1.566%, 07/26/21 (C)		2,700		1,423
CIT CLO, Ser 2007-1A, Cl E
5.271%, 06/20/21 (C)		926		370
CIT CLO, Ser 2007-1A, Cl D
2.271%, 06/20/21 (C)		3,000		1,410
Connecticut Valley Structured Credit CDO, Ser 2006-3A
0.000%, 03/23/23		1,200		6
De Meer Middle Market CLO, Ser 2006-1A, Cl INC
0.000%, 10/20/18		3,167		1,267
De Meer Middle Market CLO, Ser 2006-1A, Cl B
0.705%, 10/20/18 (C)		1,200		948
Duane Street CLO, Ser 2007-5A, Cl SN
0.000%, 10/14/21		3,500		1,050
Emporia Preferred Funding, Cl C
1.213%, 04/23/21 (C)		2,024		1,255
Gleneagles CLO, Ser AI
0.000%, 11/01/17 (C)		6		720
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (A)		10,013		6,208
Peritus I CDO,
0.000%, 12/19/07		3,000		600
Rockwall CDO, Cl A1LA
0.644%, 08/01/21 (A) (C)		6,878		4,815
Rockwall Investors CDO,
0.000%, 08/01/21 (A) (C)		3,000		270
Stone Tower CDO, Cl A1LA
0.828%, 01/29/20 (C)		1,950		1,658
Waterfront CLO, Ser 2007-1A, Cl A2
0.703%, 08/02/20 (C)		1,444		1,083

Total Collateralized Debt Obligation (Cost $40,454) ($ Thousands)				27,471


COMMON STOCK — 0.7%
Aventine Renewable Energy Holdings* (F) (I)		57,685		2,488

Core-Mark Holding*		812		22
Dana Holdings*		67,821		736
Dex One*		43,745		896
LyondellBasell Industries, Cl B*		136,954		2,424
LyondellBasell Industries, Cl A*		149,388		2,655
Solutia*		368		5


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)
Spectrum Brands*		17,187	$	477

VSS AHC, Cl A*(F) (I) (J)		43,496		519
World Color Press*		14,266		160

Total Common Stock (Cost $11,549) ($ Thousands)				10,382


ASSET-BACKED SECURITIES — 0.5%

Other Asset-Backed Securities — 0.5%
ACAS Business Loan Trust, Ser 2007-2A, Cl A 0.836%, 11/18/19 (C)	$	1,212		1,066
Applebee’s Enterprises LLC 6.427%, 12/20/37 (A)		3,937		3,642
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37		1,403		1,308
Grayson CLO, Cl A1B 0.704%, 11/01/21 (C)		3,684		2,579

Total Asset-Backed Securities (Cost $4,520) ($ Thousands)				8,595


AUCTION RATE PREFERRED SECURITIES — 0.4%
BlackRock Insured Municipal Income Trust		14,500		1,247
BlackRock Municipal Income Trust		27		2,322
BlackRock MuniVest Fund II		9,250		796
BlackRock MuniYield Fund		11,750		1,010
BlackRock MuniYield New Jersey Fund		14,500		1,247

Total Auction Rate Preferred Securities (Cost $6,459) ($ Thousands)				6,622


CONVERTIBLE BONDS — 0.2%
Hologic
2.000%, 12/15/37		535		457
Leap Wireless International
4.500%, 07/15/14		703		590
Liberty Media LLC
4.000%, 11/15/29		375		196
3.750%, 02/15/30		565		282
Lions Gate Entertainment
2.938%, 10/15/24		1,555		1,524
Live Nation Entertainment
2.875%, 07/15/27		268		232
Mirant CV to 131.9888
0.000%, 07/15/49 (B) (F)		750		—

Mirant CV to 14.7167
0.000%, 06/15/21 (B)		1,950		4
Vector Group
5.750%, 06/15/26 (C)		410		439

Total Convertible Bonds (Cost $3,453) ($ Thousands)				3,724


Description	Shares	Market Value ($ Thousands)
PREFERRED STOCK — 0.1%
Ally Financial (A)	923	$	694
Axis Capital Holdings (C)	12,600		1,140
Dana*	5,754		362

Total Preferred Stock (Cost $1,268) ($ Thousands)			2,196

	Number of Warrants

WARRANTS — 0.0%
Atrium, Expires 10/14/08* (E) (F)	691		—
World Color Press, Expires 07/20/14*	15,736		31
World Color Press, Expires 07/20/14*	15,736		83

Total Warrants (Cost $499) ($ Thousands)			114


AFFILIATED PARTNERSHIP — 0.0%
SEI Liquidity Fund, L.P. 0.240%**† (G)	6,416		6

Total Affiliated Partnership (Cost $6) ($ Thousands)			6



CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†	37,795,477		37,795

Total Cash Equivalent (Cost $37,795) ($ Thousands)			37,795

Total Investments — 96.1% (Cost $1,554,501) ($ Thousands)		$	1,571,320

Percentages are based on Net Assets of $1,634,608 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

(B)

Security in default on interest payments.

(C)

Variable Rate Security — The rate reported is the rate in effect as of May 31, 2010. The date reported is the final maturity date.

(D)

Step Bonds — The rate reflected is the effective yield on May 31, 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 May 31, 2010. The total value of securities on loan at May 31, 2010 was $5 ($ Thousands).

(F)

Securities considered illiquid. The total value of such securities as of May 31, 2010 was $4,582 ($ Thousands) and represented 0.28% of Net Assets. (Unaudited in regards to illiquid status)

(G)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $6 ($ Thousands).

(H)

Unsettled Loan Participation. Interest rate not available.

(I)

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 May 31, 2010 was $4,582 ($ Thousands) and represents 0.28% of net assets.

(J)

Securities considered restricted. The total value of such securities as of May 31, 2010 was $519 ($ Thousands) and represented 0.03% of Net Assets.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

LLC — Limited Liability Company

LLP — Limited Liability Partnership

L.P. — Limited Partnership

MTN — Medium Term Note

PIK — Payment-in-Kind

Ser — Series

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

A summary of outstanding swap agreements held by the Fund at May 31, 2010, is as follows:

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,362,885	$	16,448	$	1,379,333
Loan Participations		—		78,713		16,369		95,082
Collateralized Debt Obligations		—		—		27,471		27,471
Convertible Bonds		—		3,720		4		3,724
Asset-Backed Securities		—		1,308		7,287		8,595
Auction Rate Preferred Securities		—		—		6,622		6,622
Common Stock		7,375		—		3,007		10,382
Preferred Stock		—		2,196		—		2,196
Warrants		—		114		—		114
Affiliated Partnerships		—		6		—		6
Cash Equivalent		37,795		—		—		37,795

Total Investments in Securities	$	45,170	$	1,448,942	$	77,208	$	1,571,320


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Credit Default Swaps	$	—	$	(723	)	$	—	$	(723	)

Total Other Financial Instruments	$	—	$	(723	)	$	—	$	(723	)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Investments in Corporate Obligations			Investments in Collateralized Debt Obligations			Investments in Convertible Bonds
Beginning balance as of June 1, 2009	$	3,656		$	28,879		$	4
Accrued discounts/premiums		(44	)		(563	)		—
Realized gain/(loss)		205			(6,974	)		17
Change in unrealized appreciation/(depreciation)		69			73,133			—
Net purchases/sales		63			(74,467	)		(17	)
Net transfer in and/or out of Level 3		12,499			7,463			—

Ending balance as of May 31, 2010	$	16,448		$	27,471		$	4

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	(181	)	$	11,102		$	—


	Investments in Asset-Backed Securities		Investments in Common Stock		Investments in Loan Participation
Beginning balance as of June 1, 2009	$	3,886	$	—	$	10,731
Accrued discounts/premiums		37		—		117
Realized gain/(loss)		230		—		(2,505	)
Change in unrealized appreciation/(depreciation)		1,273		—		8,208
Net purchases/sales		1,861		—		(11,354	)
Net transfer in and/or out of Level 3		—		3,007		11,172

Ending balance as of May 31, 2010	$	7,287	$	3,007	$	16,369

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	1,110	$	—	$	2,397


`	Investments in Auction Rate Preferred Securities
Beginning balance as of June 1, 2009	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/ (depreciation)		13
Net purchases/sales		2,309
Net transfer in and/or out of Level 3		4,300

Ending balance as of May 31, 2010	$	6,622

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	—

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

The accompanying notes are an integral part of the financial statements.

LOGO


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


CORPORATE OBLIGATIONS — 65.4%

Consumer Discretionary — 5.6%
Comcast
6.450%, 03/15/37	$	13,705	$	14,366
6.400%, 05/15/38		700		734
6.400%, 03/01/40		4,389		4,617
Comcast Cable Communications Holdings
9.455%, 11/15/22		3,750		5,040
COX Communications
8.375%, 03/01/39 (A)		5,975		7,787
6.950%, 06/01/38		4,883		5,388
Discovery Communications LLC
6.350%, 06/01/40 (F)		3,095		3,116
Historic TW
6.625%, 05/15/29		3,995		4,232
Lowe’s
7.110%, 05/15/37		1,402		1,665
5.800%, 04/15/40		4,000		4,217
McDonald’s MTN
6.300%, 03/01/38		5,430		6,188
NBC Universal
6.400%, 04/30/40		5,169		5,366
News America
7.850%, 03/01/39 (A)		6,275		7,685
6.900%, 08/15/39		2,775		3,085
6.750%, 01/09/38		2,260		2,431
6.650%, 11/15/37 (A)		4,855		5,253
6.150%, 03/01/37		1,945		1,970
Target
7.000%, 01/15/38		3,560		4,243
Time Warner
7.700%, 05/01/32		425		492
7.625%, 04/15/31		14,455		16,620
7.570%, 02/01/24		295		347
Time Warner Cable
8.750%, 02/14/19		6,730		8,395


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

8.250%, 04/01/19	$	3,075	$	3,743
7.300%, 07/01/38		925		1,057
6.750%, 06/15/39		6,690		7,190
5.000%, 02/01/20		4,390		4,382
Time Warner Entertainment
8.375%, 07/15/33		5,700		6,912
Wal-Mart Stores
6.200%, 04/15/38		8,250		9,220
Yum! Brands
6.875%, 11/15/37		5,620		6,302

				152,043


Consumer Staples — 4.4%
Altria Group
10.200%, 02/06/39		10,950		14,142
Anheuser-Busch
6.450%, 09/01/37		945		1,033
Anheuser-Busch InBev Worldwide
8.200%, 01/15/39 (A)		4,430		5,792
6.875%, 11/15/19 (A)		6,000		6,922
6.375%, 01/15/40		6,295		6,898
CVS Caremark
6.125%, 09/15/39		14,825		15,244
Diageo Capital
5.875%, 09/30/36		4,508		4,735
Dr Pepper Snapple Group
6.820%, 05/01/18		2,000		2,337
General Mills
5.400%, 06/15/40 (F)		3,040		2,987
HJ Heinz Finance
7.125%, 08/01/39 (A)		8,060		9,643
Kraft Foods
6.875%, 02/01/38		11,385		12,638
6.500%, 02/09/40		7,600		8,068
Mead Johnson Nutrition
5.900%, 11/01/39 (A)		5,350		5,478
PepsiCo
5.500%, 01/15/40		4,215		4,336
Philip Morris International
6.375%, 05/16/38		3,500		3,943
President and Fellows of Harvard College
5.625%, 10/01/38		2,430		2,571
Ralcorp Holdings
6.625%, 08/15/39 (A)		5,000		5,167
Wal-Mart Stores
5.625%, 04/01/40		7,517		7,834

				119,768


Energy — 6.9%
Anadarko Petroleum
6.200%, 03/15/40		2,160		1,995
Canadian Natural Resources
6.250%, 03/15/38		3,000		3,104


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

Cenovus Energy
6.750%, 11/15/39 (A)	$	6,515	$	7,070
CenterPoint Energy Resources
6.625%, 11/01/37		3,862		4,200
ConocoPhillips
6.500%, 02/01/39		18,055		20,729
5.900%, 05/15/38		6,380		6,895
Diamond Offshore Drilling
5.700%, 10/15/39		828		781
EnCana
6.500%, 02/01/38		3,625		3,831
EQT
8.125%, 06/01/19		9,365		11,199
Husky Energy
7.250%, 12/15/19		11,200		13,136
Marathon Oil
7.500%, 02/15/19		2,441		2,842
6.600%, 10/01/37		5,700		6,002
Motiva Enterprises LLC
6.850%, 01/15/40 (A)		10,380		11,486
Panhandle Eastern Pipeline
8.125%, 06/01/19		2,900		3,312
7.000%, 06/15/18		700		777
Petrobras International Finance
6.875%, 01/20/40		4,600		4,616
Petro-Canada
6.800%, 05/15/38		3,725		4,024
Shell International Finance BV
6.375%, 12/15/38		920		1,050
5.500%, 03/25/40		16,871		16,939
Spectra Energy Capital LLC
7.500%, 09/15/38		1,913		2,105
Suncor Energy
6.850%, 06/01/39		3,675		3,967
Talisman Energy
7.750%, 06/01/19		3,075		3,706
6.250%, 02/01/38		2,060		2,117
TransCanada Pipelines
7.625%, 01/15/39		2,500		2,974
7.250%, 08/15/38		3,100		3,594
6.100%, 06/01/40 (F)		18,440		18,284
Valero Energy
6.625%, 06/15/37		7,205		6,879
6.125%, 02/01/20		3,007		3,043
Williams
7.875%, 09/01/21		1,592		1,840
7.750%, 06/15/31		1,394		1,521
Williams, Ser A
7.500%, 01/15/31		1,000		1,063
XTO Energy
6.750%, 08/01/37		4,465		5,304
6.100%, 04/01/36		8,315		9,269

				189,654


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


Financials — 24.3%
ACE INA Holdings
6.700%, 05/15/36	$	4,677	$	5,279
American Express
8.150%, 03/19/38		3,910		5,121
8.125%, 05/20/19		7,475		9,104
7.000%, 03/19/18		1,840		2,095
BAC Capital Trust VI
5.625%, 03/08/35		2,700		2,177
BAC Capital Trust XV
1.338%, 06/01/56 (B)		8,000		4,845
Bank of America
6.500%, 09/15/37		2,700		2,646
5.750%, 12/01/17		5,750		5,823
5.650%, 05/01/18		22,040		22,167
Bank of America, Ser A
8.070%, 12/31/26 (A)		5,095		4,942
Barclays Bank
5.125%, 01/08/20		5,150		4,896
Bear Stearns
7.250%, 02/01/18		8,768		9,995
6.400%, 10/02/17		9,175		10,084
Blackstone Holdings Finance LLC
6.625%, 08/15/19 (A)		5,523		5,764
BRE Properties
5.500%, 03/15/17‡		750		743
Capital One Capital VI
8.875%, 05/15/40		4,000		4,123
CDP Financial
5.600%, 11/25/39 (A)		15,585		16,155
Chase Capital II
0.844%, 02/01/27 (B)		4,984		4,024
Chubb
6.500%, 05/15/38		8,725		9,767
Citigroup
8.500%, 05/22/19		7,600		8,905
8.125%, 07/15/39		5,410		6,176
6.875%, 02/15/98		1,400		1,261
6.875%, 03/05/38		29,020		29,395
5.875%, 05/29/37		6,551		5,914
City National Capital Trust I
9.625%, 02/01/40		4,500		4,583
Commonwealth Bank of Australia
5.000%, 10/15/19 (A)		4,250		4,309
Coso Geothermal Power Holdings
7.000%, 07/15/26 (A)		3,963		3,842
Credit Suisse NY MTN
6.000%, 02/15/18		7,600		7,757
5.300%, 08/13/19		6,250		6,421
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		3,195		2,364
Discover Bank
8.700%, 11/18/19		5,200		5,689


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

ERP Operating
5.750%, 06/15/17‡	$	6,250	$	6,611
Farmers Exchange Capital
7.050%, 07/15/28 (A)		17,515		16,788
First Union Institutional Capital I
8.040%, 12/01/26		1,250		1,255
FleetBoston Financial
6.875%, 01/15/28		3,250		3,252
General Electric Capital MTN
6.875%, 01/10/39		31,445		33,434
6.150%, 08/07/37		8,775		8,471
5.875%, 01/14/38		16,152		15,118
Goldman Sachs Group
7.500%, 02/15/19		4,174		4,608
6.750%, 10/01/37		34,125		31,950
6.150%, 04/01/18		1,400		1,430
5.375%, 03/15/20		2,560		2,470
0.533%, 02/06/12 (B)		5,000		4,857
Guardian Life Insurance of America
7.375%, 09/30/39 (A)		13,635		14,963
HBOS
6.750%, 05/21/18 (A)		3,700		3,493
HCP MTN
6.700%, 01/30/18‡		2,295		2,400
6.300%, 09/15/16‡		2,255		2,365
Health Care REIT
6.125%, 04/15/20‡		3,050		3,134
5.875%, 05/15/15‡		7,725		8,253
HSBC Holdings
6.500%, 09/15/37		8,275		8,401
JPMorgan Chase
6.400%, 05/15/38		6,577		7,266
6.300%, 04/23/19		5,555		6,047
6.000%, 01/15/18		2,671		2,884
6.000%, 10/01/17		4,170		4,455
JPMorgan Chase Capital XXVII
7.000%, 11/01/39		5,250		5,140
LBG Capital No.. 1 MTN
8.000%, 12/15/49 (B)		2,800		2,240
Lloyds TSB Bank MTN
5.800%, 01/13/20 (A)		2,610		2,452
Macquarie Group
6.000%, 01/14/20 (A)		6,380		6,201
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (A)		16,445		21,593
MBNA Capital, Ser B
1.144%, 02/01/27 (B)		2,151		1,453
Merrill Lynch
8.950%, 05/18/17 (B)		1,340		1,414
8.680%, 05/02/17 (B)		1,305		1,377
6.110%, 01/29/37		9,680		8,358
MetLife
7.717%, 02/15/19		8,100		9,373


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

Metropolitan Life Insurance
7.800%, 11/01/25	$	4,700	$	5,293
Morgan Stanley
7.300%, 05/13/19		6,445		6,770
6.625%, 04/01/18		10,760		11,049
5.625%, 09/23/19		15,625		14,933
5.500%, 01/26/20		4,218		3,994
NASDAQ OMX Group
5.550%, 01/15/20		1,442		1,442
Nationwide Mutual Insurance
6.600%, 04/15/34 (A)		12,040		10,289
New York Life Insurance
6.750%, 11/15/39 (A)		18,475		20,288
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (A)		8,790		8,900
Pacific Life Insurance
9.250%, 06/15/39 (A)		4,245		5,286
PNC Funding
6.700%, 06/10/19		3,235		3,650
5.125%, 02/08/20		8,475		8,602
Power Receivables Finance
6.290%, 01/01/12 (A)		641		655
Prudential Financial MTN
5.700%, 12/14/36		4,845		4,520
Prudential Holdings LLC
8.695%, 12/18/23 (A)		7,700		9,082
Prudential Insurance of America
8.300%, 07/01/25 (A)		5,500		6,589
Raymond James Financial
8.600%, 08/15/19		1,655		1,908
Security Benefit Life
7.450%, 10/01/33 (A)		4,000		3,240
Sempra Energy ESOP & Trust
5.781%, 11/01/14		2,000		2,000
Simon Property Group
10.350%, 04/01/19‡		1,995		2,589
6.750%, 02/01/40‡		5,791		6,130
6.125%, 05/30/18‡		1,965		2,109
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (A)		9,430		10,365
Wachovia
6.605%, 10/01/25		3,100		3,162
0.678%, 10/28/15 (B)		1,590		1,476
Wachovia Bank
6.600%, 01/15/38		12,400		12,928
5.850%, 02/01/37		6,545		6,188
WEA Finance LLC
7.125%, 04/15/18		4,513		5,005
6.750%, 09/02/19		2,780		3,075
Westpac Banking
4.875%, 11/19/19		5,035		5,017
ZFS Finance USA Trust I
5.875%, 05/09/32 (A) (B)		5,000		4,387


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

ZFS Finance USA Trust II
6.450%, 12/15/65 (A) (B)	$	3,650	$	3,322

				664,115


Health Care — 4.8%
Abbott Laboratories
6.000%, 04/01/39		2,820		3,048
5.300%, 05/27/40		9,487		9,319
Aetna
6.750%, 12/15/37		3,400		3,788
Amgen
6.400%, 02/01/39		3,685		4,149
5.750%, 03/15/40		9,280		9,589
AstraZeneca
6.450%, 09/15/37		6,625		7,486
Boston Scientific
7.375%, 01/15/40		1,425		1,400
6.000%, 01/15/20		3,760		3,640
Bristol-Myers Squibb
6.125%, 05/01/38		6,775		7,531
CIGNA
8.500%, 05/01/19		5,825		7,184
Eli Lilly
5.950%, 11/15/37		3,000		3,246
Merck
5.850%, 06/30/39		7,370		8,166
Pfizer
7.200%, 03/15/39		17,205		21,289
Roche Holdings
7.000%, 03/01/39		13,150		16,225
UnitedHealth Group
6.875%, 02/15/38		3,260		3,563
6.625%, 11/15/37		8,855		9,396
6.500%, 06/15/37		4,100		4,282
5.800%, 03/15/36		5,000		4,825
Wyeth
5.950%, 04/01/37		3,300		3,555
Zimmer Holdings
5.750%, 11/30/39		397		405

				132,086


Industrials — 4.0%
American Airlines Pass-Through Trust, Ser 2003-01
3.857%, 07/09/10		4,756		4,750
American Airlines Pass-Through Trust, Ser 2009-1A
10.375%, 07/02/19		576		660
Boeing
6.875%, 03/15/39		5,400		6,538
5.875%, 02/15/40		4,975		5,299
Burlington Northern Santa Fe LLC
6.200%, 08/15/36		5,100		5,430
5.750%, 05/01/40		2,460		2,470
5.650%, 05/01/17		2,830		3,098


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

Canadian National Railway
6.900%, 07/15/28	$	1,000	$	1,187
5.550%, 03/01/19		3,900		4,287
Caterpillar
6.050%, 08/15/36		3,430		3,781
Continental Airlines
9.000%, 07/08/16		6,393		6,745
5.983%, 04/19/22		7,048		7,013
Delta Air Lines
7.750%, 12/17/19		5,200		5,590
Delta Air Lines, Ser 2001-1, Cl A-2
7.111%, 09/18/11		6,700		6,884
Lockheed Martin
5.500%, 11/15/39		5,850		5,962
Meccanica Holdings USA
7.375%, 07/15/39 (A)		5,570		6,016
6.250%, 01/15/40		4,315		3,912
Norfolk Southern
5.900%, 06/15/19		4,395		4,900
5.750%, 01/15/16		1,500		1,680
Union Pacific
6.625%, 02/01/29		1,941		2,179
6.125%, 02/15/20		2,000		2,256
United Parcel Service
6.200%, 01/15/38		2,085		2,355
United Technologies
5.700%, 04/15/40		11,110		11,755
Waste Management
6.125%, 11/30/39		4,240		4,434

				109,181


Information Technology — 1.9%
Cisco Systems
5.900%, 02/15/39		2,450		2,598
5.500%, 01/15/40		18,275		18,327
International Business Machines
5.600%, 11/30/39		9,775		10,255
Oracle
6.500%, 04/15/38		6,200		7,147
6.125%, 07/08/39		11,710		13,003

				51,330


Materials — 0.9%
ArcelorMittal
7.000%, 10/15/39		3,275		3,156
Barrick North America Finance LLC
7.500%, 09/15/38		6,435		7,697
Dow Chemical
9.400%, 05/15/39		5,265		6,888
8.550%, 05/15/19		2,605		3,090
Southern Copper
7.500%, 07/27/35		4,999		5,170

				26,001


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


Telecommunication Services — 3.5%
AT&T
6.550%, 02/15/39	$	11,760	$	12,738
6.300%, 01/15/38		15,000		15,619
Bellsouth Capital Funding
7.120%, 07/15/97		3,485		3,746
BellSouth Telecommunications
7.000%, 12/01/95		1,709		1,820
British Telecommunications
9.625%, 12/15/30 (E)		3,170		3,962
Telecom Italia Capital
7.721%, 06/04/38		7,275		7,443
7.175%, 06/18/19		5,375		5,694
Telefonica Emisiones
7.045%, 06/20/36		1,815		1,933
Verizon Communications
8.950%, 03/01/39		2,650		3,646
7.350%, 04/01/39		16,900		20,082
6.400%, 02/15/38		9,502		10,095
6.350%, 04/01/19		828		938
Vodafone Group
6.150%, 02/27/37		6,840		6,964

				94,680


Utilities — 9.1%
Alabama Power
6.000%, 03/01/39		1,850		1,977
Appalachian Power
7.950%, 01/15/20		4,160		5,104
Arizona Public Service
8.750%, 03/01/19		5,025		6,304
Cedar Brakes II LLC
9.875%, 09/01/13 (A)		1,068		1,095
Consolidated Edison of New York
6.750%, 04/01/38		3,845		4,451
6.650%, 04/01/19		2,310		2,714
6.200%, 06/15/36		2,225		2,400
5.500%, 12/01/39		4,130		4,058
Duke Energy Carolinas LLC
6.100%, 06/01/37		5,000		5,440
5.300%, 02/15/40		5,585		5,558
EDF
5.600%, 01/27/40 (A)		8,575		8,486
Enel Finance International
6.000%, 10/07/39 (A)		8,035		7,489
Entergy Texas
7.125%, 02/01/19		11,750		13,619
Exelon Generation LLC
6.250%, 10/01/39		4,480		4,588
Florida Gas Transmission LLC
7.900%, 05/15/19 (A)		6,000		7,219
Florida Power & Light
5.960%, 04/01/39		3,225		3,486


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

5.400%, 09/01/35	$	710	$	714
FPL Group Capital
6.000%, 03/01/19		4,000		4,413
Georgia Power
5.950%, 02/01/39		3,850		4,057
5.400%, 06/01/40 (F)		13,530		13,193
Iberdrola Finance Ireland
5.000%, 09/11/19 (A)		3,700		3,553
Kansas City Power & Light
7.150%, 04/01/19		10,930		13,017
KCP&L Greater Missouri Operations
8.270%, 11/15/21		5,100		5,710
Metropolitan Edison
7.700%, 01/15/19		2,500		2,957
Midamerican Energy Holdings
6.500%, 09/15/37		19,440		21,229
Nisource Finance
10.750%, 03/15/16		5,575		7,150
6.125%, 03/01/22		1,767		1,841
Northern States Power
5.350%, 11/01/39		4,625		4,644
Oncor Electric Delivery
7.500%, 09/01/38		3,200		3,863
6.800%, 09/01/18		6,680		7,702
Pacific Gas & Electric
6.250%, 03/01/39		4,500		4,833
6.050%, 03/01/34		4,100		4,273
5.800%, 03/01/37		648		659
PacifiCorp
5.750%, 04/01/37		615		643
Pennsylvania Electric
6.150%, 10/01/38		3,680		3,693
Progress Energy
7.050%, 03/15/19		4,500		5,182
San Diego Gas & Electric
5.350%, 05/15/40		1,350		1,370
Southern California Edison
6.050%, 03/15/39		7,050		7,746
Southern Union
8.250%, 11/15/29		6,375		7,272
Southwestern Electric Power
6.450%, 01/15/19		6,000		6,601
6.200%, 03/15/40		6,680		6,705
Texas-New Mexico Power
9.500%, 04/01/19		8,560		10,721
Union Electric
8.450%, 03/15/39		3,000		4,015
Virginia Electric and Power
8.875%, 11/15/38		5,500		7,624

				249,368

Total Corporate Obligations (Cost $1,666,027) ($ Thousands)				1,788,226


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


U.S. TREASURY OBLIGATIONS (C) — 26.2%
U.S. Treasury Bills
0.151%, 06/10/10	$	43,890	$	43,889
0.140%, 06/17/10		87,535		87,529
0.149%, 08/12/10 (D)		5,825		5,823

				137,241

U.S. Treasury Bonds
3.625%, 02/15/20		23,971		24,587
6.250%, 08/15/23		67,180		84,395
7.625%, 02/15/25		23,880		33,984
4.250%, 05/15/39		204,236		205,066
4.375%, 11/15/39 (D)		91,525		93,813
4.625%, 02/15/40		38,328		40,927

				482,772

U.S. Treasury STRIPS
4.101%, 11/15/21		120,165		76,914
4.485%, 02/15/23		35,235		21,092

				98,006

Total U.S. Treasury Obligations (Cost $686,432) ($ Thousands)				718,019


U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.2%
FICO STRIPS, PO
0.000%, 08/03/18 to 03/07/19 (G)		34,625		25,224
FICO STRIPS
4.471%, 03/26/19 (C)		12,000		8,437
4.928%, 09/26/19 (C)		12,145		8,282
FNMA
2.625%, 07/22/10 (D)		14,200		14,204
Resolution Funding STRIPS
3.794%, 10/15/17 (C)		6,445		5,014

Total U.S. Government Agency Obligations (Cost $58,403) ($ Thousands)				61,161


MUNICIPAL BONDS — 1.8%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/49		5,000		5,320
Dallas County Hospital District,
Ser C, GO
5.621%, 08/15/44		4,993		5,374
Indianapolis Local Public Improvement Bond Bank, RB
6.116%, 01/15/40		440		474
Los Angeles, Department of Water & Power, RB
6.008%, 07/01/39		5,000		5,087
New York City Municipal Water Finance Authority, RB Callable 06/15/20 @ 100
6.491%, 06/15/42		6,630		6,948


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

North Texas Tollway Authority, RB
6.718%, 01/01/49	$	4,247	$	4,605
State of California, Build America Project, GO
7.550%, 04/01/39		8,000		8,471
7.300%, 10/01/39		1,500		1,541
State of Illinois, GO
6.630%, 02/01/35		3,275		3,371
5.100%, 06/01/33		6,810		5,870
State of Washington, Ser D, GO
5.481%, 08/01/39		2,455		2,598

Total Municipal Bonds (Cost $47,745) ($ Thousands)				49,659


MORTGAGE-BACKED SECURITIES — 0.6%

Agency Mortgage-Backed Obligations — 0.1%
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24		531		577
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34		698		807
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34		409		419
GNMA ARM
4.375%, 06/20/32 (B)		179		186

				1,989


Non-Agency Mortgage-Backed Obligations — 0.5%
American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1
0.573%, 03/25/47 (B)		1,744		914
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.583%, 07/25/37 (B)		2,150		1,621
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.019%, 12/10/49 (B)		1,775		1,709
Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5
0.623%, 06/25/35 (B) (E)		451		159
Countrywide Home Loans, Ser 2006-2, Cl 1A1
0.663%, 03/25/35 (B)		214		117
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		6,560		6,349
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.549%, 03/19/45 (B) (E)		319		187
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.739%, 11/19/34 (B)		397		242


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

Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.649%, 08/19/45 (B) (E)	$	560	$	353
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.733%, 12/25/34 (B)		190		101
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
1.143%, 08/25/34 (B)		119		72
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.203%, 09/25/34 (B)		48		27
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.653%, 10/25/36 (A) (B)		23		14
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4
5.874%, 04/15/45 (B)		535		557
Washington Mutual Mortgage Pass-Through Certificates, Ser 2000-1, Cl M2
1.643%, 01/25/40 (B)		104		99
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21
0.673%, 01/25/45 (B)		305		206
Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 4A1
1.211%, 04/25/47 (B)		243		129

				12,856

Total Mortgage-Backed Securities (Cost $14,470) ($ Thousands)				14,845


ASSET-BACKED SECURITIES — 0.4%

Mortgage Related Securities — 0.4%
Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1
1.354%, 02/28/40 (B)		3,818		2,100
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B
0.160%, 09/25/36 (B)		9,567		4,298
Indymac Home Equity Loan Asset-Backed Trust, Ser 2002- A, Cl M1
1.468%, 05/25/33 (B)		494		289
JPMorgan Mortgage Acquisition, Ser 2007-HE1, Cl AV1
0.403%, 03/25/47 (B)		453		314
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3
0.513%, 09/25/36 (B)		2,565		1,796


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

Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.515%, 11/26/21 (B)	$	1,365	$	1,221

Total Asset-Backed Securities (Cost $12,165) ($ Thousands)				10,018


COMMERCIAL PAPER (C) — 1.7%
BNP Paribas Finance
0.230%, 06/03/10		16,655		16,654
Lloyds TSB Bank
0.245%, 06/17/10		12,245		12,243
Moody’s
0.280%, 06/10/10		18,770		18,768

Total Commercial Paper (Cost $47,667) ($ Thousands)				47,665


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.090%*†		46,555,386		46,555

Total Cash Equivalent (Cost $46,555) ($ Thousands)				46,555

Total Investments — 100.0% (Cost $2,579,464) ($ Thousands)			$	2,736,148

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note	(250	)	Sept-2010	$	188
U.S. Long Treasury Bond	688		Oct-2010		(1,147	)
U.S. Ultra Long Treasury Bond	1,272		Oct-2010		(2,721	)

				$	(3,680	)

A summary of outstanding swap agreements held by the Fund at May 31, 2010, is as follows:

Percentages are based on Net Assets of $2,736,187 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (See Note 5).

‡

Real Estate Investment Trust

(A)

(B)

Variable Rate Security—The rate reported is the rate in effect as of May 31, 2010. The date reported is the final maturity date.

(C)

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 May 31, 2010. The coupon on a step bond changes on a specific date.

(F)

Security is when issued.

(G)

Zero Coupon Security. The rate reported is the effective yield at time of purchase.

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

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

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

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,788,226	$	—	$	1,788,226
U.S. Treasury Obligations		—		718,019		—		718,019
U.S. Government Agency Obligations		—		61,161		—		61,161
Municipal Bonds		—		49,659		—		49,659
Mortgage-Backed Securities		—		14,845		—		14,845
Asset-Backed Securities		—		10,018		—		10,018
Commercial Paper		—		47,665		—		47,665
Cash Equivalent		46,555		—		—		46,555

Total Investments in Securities	$	46,555	$	2,689,593	$	—	$	2,736,148


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(3,680	)	$	—		$	—	$	(3,680	)
Credit Default Swap		—			(511	)		—		(511	)

Total Other Financial Instruments	$	(3,680	)	$	(511	)	$	—	$	(4,191	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description		Face Amount (Thousands) (1)	Market Value ($ Thousands)


GLOBAL BONDS — 91.8%

Argentina — 3.2%
Provincia de Buenos Aires
9.625%, 04/18/28 (A)		1,460	$	1,029
9.625%, 04/18/28		1,335		941
9.375%, 09/14/18		440		319
9.375%, 09/14/18		1,000		728
4.000%, 05/15/35		439		158
Provincia de Mendoza Argentina
5.500%, 09/04/18		307		234
Provincia de Neuquen Argentina
8.656%, 10/18/14 (A)		153		158
Republic of Argentina
10.250%, 02/06/03 (B)		1,400		351
10.250%, 01/26/07 (B)	EUR	850		425
9.000%, 11/19/08		1,000		230
9.000%, 05/26/09 (B)	EUR	1,595		634
8.500%, 07/01/04 (B)	EUR	4,500		2,109
8.280%, 12/31/33		10,813		6,975
8.125%, 04/21/08 (B)	EUR	2,818		1,181
7.875%, 07/29/05 (B)		275		65
7.000%, 10/03/15		5,800		4,230
6.000%, 03/31/23 (B)		172		96
3.169%, 12/15/35 (C)		11,725		797
2.500%, 03/31/19 (D)		7,920		2,851
0.389%, 08/03/12 (C)		14,560		4,732
0.000%, 03/31/23 (B) (C)		1,680		924
0.000%,12/15/35 (C)		2,905		196
Republic of Argentina, Ser E MTN
9.250%, 07/20/04 (B)	EUR	2,100		984
7.000%, 03/18/04 (B)	EUR	2,554		1,030
Transportadora Gas Norte (B)
7.500%, 12/31/12 (D)		100		48
7.500%, 12/31/12 (A) (D)		210		101
7.500%, 12/31/12		350		168
6.500%, 12/31/12 (A) (D)		30		15
6.500%, 12/31/12 (D)		60		29
6.500%, 12/31/12 (D)		60		29

				31,767


Description		Face Amount (Thousands) (1)	Market Value ($ Thousands)


Bahrain — 0.1%
Kingdom of Bahrain
5.500%, 03/31/20 (A)		1,444	$	1,415


Barbados — 0.2%
Columbus International
11.500%, 11/20/14 (A)		1,900		2,014


Belize — 0.0%
Government of Belize
6.000%, 02/20/29		330		238


Bosnia and Herzegovina — 0.1%
Republic of Bosnia & Herzegovina
10.039%, 12/11/21 (C)	EUR	2,000		908


Brazil — 9.3%
Banco Nacional de Desenvolvimento Economico e Social
6.500%, 06/10/19 (A)		2,605		2,683
5.500%, 07/12/20 (A)		700		679
Banco Votorantim
7.375%, 01/21/20 (A)		840		857
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/17	BRL	9,250		4,743
10.000%, 01/01/21		48,255		23,746
Federal Republic of Brazil
12.250%, 03/06/30		195		341
11.000%, 08/17/40		5,795		7,685
10.125%, 05/15/27		2,695		4,009
8.875%, 04/15/24		3,710		4,916
8.875%, 10/14/19		1,355		1,748
8.750%, 02/04/25		3,568		4,754
8.250%, 01/20/34		6,495		8,395
8.000%, 01/15/18		1,973		2,251
7.125%, 01/20/37		2,625		3,019
6.000%, 01/17/17		5,270		5,710
5.875%, 01/15/19		6,110		6,538
5.625%, 01/07/41		950		915
4.875%, 01/22/21		3,990		3,900
Fibria Overseas Finance
7.500%, 05/04/20 (A)		1,597		1,565
Petrobras International Finance
7.875%, 03/15/19		740		837
Rearden G Holdings
7.875%, 03/30/20 (A)		207		202
Voto-Votorantim
6.750%, 04/05/21 (A) (E)		2,170		2,132


Description		Face Amount (Thousands) (1)	Market Value ($ Thousands)

Voto-Votorantim Overseas Trading Operations
6.625%, 09/25/19 (A)		600	$	589

				92,214


Chile — 0.3%
Empresa Nacional del Petroleo
6.250%, 07/08/19 (A)		1,300		1,302
Nacional del Cobre de Chile
7.500%, 01/15/19		450		530
6.150%, 10/24/36		200		206
6.150%, 10/24/36 (A)		905		929

				2,967


China — 0.1%
Evergrande
13.000%, 01/27/15		800		752


Colombia — 4.5%
Ecopetrol
7.625%, 07/23/19 (A)		750		834
Republic of Colombia
11.750%, 02/25/20		2,258		3,291
10.375%, 01/28/33		450		642
9.850%, 06/28/27	COP	1,572,000		990
8.375%, 02/15/27		3,100		3,550
8.125%, 05/21/24		3,180		3,768
7.375%, 09/18/37		9,080		10,033
7.375%, 01/27/17		5,285		6,065
7.375%, 03/18/19		5,545		6,391
6.125%, 01/18/41		1,375		1,306
Santa Fe de Bogota
9.750%, 07/26/28 (A)	COP	13,095,000		7,457

				44,327


Croatia — 0.2%
Republic of Croatia
6.750%, 11/05/19 (A)		200		209
6.750%, 11/05/19		300		311
Zagrebacki Holding D.O.O.
5.500%, 07/10/17		1,500		1,480

				2,000


Czech Republic — 0.1%
Central European Media Enterprises
11.625%, 09/15/16 (A)		600		721


Dominican Republic — 0.1%
Republic of Dominican Republic
9.040%, 01/23/18		27		30
7.500%, 05/06/21 (A)		1,130		1,115

				1,145


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)


Ecuador — 0.1%
Republic of Ecuador
9.375%, 12/15/15	1,150	$	1,090


Egypt — 0.2%
Arab Republic of Egypt
5.750%, 04/29/20 (A)	1,783		1,796


El Salvador — 0.9%
Republic of El Salvador
8.250%, 04/10/32	100		107
8.250%, 04/10/32	3,710		4,044
7.650%, 06/15/35	3,744		3,875
7.375%, 12/01/19	200		214
7.375%, 12/01/19 (A)	500		536

			8,776


Georgia — 0.5%
BG Finance for JSC Bank of Georgia
9.000%, 02/08/12	2,500		2,375
Republic of Georgia
7.500%, 04/15/13	2,800		2,891

			5,266


Ghana — 0.2%
Republic of Ghana
8.500%, 10/04/17 (A)	600		618
8.500%, 10/04/17	1,250		1,287

			1,905


Hong Kong — 0.2%
Bank of China Hong Kong
5.550%, 02/11/20 (A)	2,450		2,433


Hungary — 0.4%
Republic of Hungary
6.250%, 01/29/20	3,720		3,700


India — 0.4%
Indian Oil
4.750%, 01/22/15	550		558
State Bank of India MTN
4.500%, 10/23/14	850		869
Vedanta Resources
9.500%, 07/18/18 (A)	2,295		2,341

			3,768


Indonesia — 7.4%
Adaro Indonesia
7.625%, 10/22/19	1,965		1,994
Majapahit Holding
8.000%, 08/07/19 (A)	1,415		1,514


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

7.875%, 06/29/37 (A)	415	$	407
7.750%, 10/17/16 (A)	150		162
7.750%, 10/17/16	1,250		1,327
7.750%, 01/20/20 (A)	2,295		2,415
7.250%, 10/17/11 (A)	885		931
Republic of Indonesia
11.625%, 03/04/19 (A)	5,610		8,008
11.625%, 03/04/19	1,700		2,427
11.500%, 09/15/19	7,300,000		909
11.000%, 11/15/20	17,100,000		2,081
10.375%, 05/04/14 (A)	300		369
10.375%, 05/04/14	1,000		1,230
10.000%, 06/17/21	46,100,000		6,221
8.500%, 10/12/35	4,612		5,719
7.750%, 01/17/38	650		743
7.750%, 01/17/38	16,415		18,754
7.500%, 01/15/16	3,390		3,858
7.250%, 04/20/15	1,390		1,570
6.875%, 01/17/18 (A)	1,500		1,680
6.875%, 01/17/18	3,630		4,066
6.750%, 03/10/14	1,450		1,581
6.750%, 03/10/14 (A)	500		549
6.625%, 02/17/37	2,500		2,512
5.875%, 03/13/20 (A)	1,800		1,863
Star Energy
11.500%, 02/12/15	500		513

			73,403


Iraq — 1.2%
Republic of Iraq
5.800%, 01/15/28	14,165		11,651


Ivory Coast — 0.2%
Government of Ivory Coast
2.450%, 12/31/32	3,437		1,718


Jamaica — 0.0%
Digicel Group
8.875%, 01/15/15 (A)	450		435


Kazakhstan — 3.6%
CenterCredit International
8.625%, 01/30/14	2,249		2,142
Citigroup Global Markets for JSC Kazkommertsbank
8.700%, 04/07/14 (C)	1,550		1,325
Halyk Savings Bank of Kazakhstan
9.250%, 10/16/13	875		884
7.750%, 05/13/13	100		100
7.250%, 05/03/17	650		586
Kazatomprom
6.250%, 05/20/15	1,050		1,037


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

Kazkommertsbank
8.500%, 04/16/13	1,350	$	1,239
8.000%, 11/03/15	1,650		1,485
7.875%, 04/07/14	900		812
7.500%, 11/29/16	2,350		2,056
6.875%, 02/13/17	500		547
KazMunaiGaz Finance MTN
11.750%, 01/23/15 (A)	3,910		4,653
9.125%, 07/02/18 (A)	3,125		3,437
9.125%, 07/02/18	4,323		4,764
8.375%, 07/02/13	4,450		4,717
7.000%, 05/05/20 (A)	5,655		5,443
Tengizchevroil Finance
6.124%, 11/15/14	412		416

			35,643


Lithuania — 0.5%
Republic of Lithuania
7.375%, 02/11/20 (A)	2,150		2,220
7.375%, 02/11/20	1,700		1,779
6.750%, 01/15/15 (A)	1,405		1,442

			5,441


Malaysia — 3.2%
Government of Malaysia
4.378%, 11/29/19	12,720		3,961
3.741%, 02/27/15	12,440		3,798
Malaysia Sukuk Global Berhad
3.928%, 06/04/15 (A)	450		450
Petroliam Nasional
7.750%, 08/15/15	1,460		1,758
7.625%, 10/15/26	430		512
Petronas Capital
7.875%, 05/22/22	4,930		5,921
7.875%, 05/22/22 (A)	450		543
7.000%, 05/22/12	3,055		3,334
5.250%, 08/12/19 (A)	11,115		11,350
5.250%, 08/12/19	500		513

			32,140


Mexico — 8.9%
BBVA Bancomer
6.008%, 05/17/22 (C)	780		703
Cemex Espana Luxembourg
9.250%, 05/12/20 (A)	1,739		1,487
Grupo Senda
10.500%, 10/03/15	4,590		4,177
Mexican Bonos
9.500%, 12/18/14	12,283		1,076
8.500%, 05/31/29	24,800		2,040
8.000%, 12/17/15	33,430		2,776
8.000%, 06/11/20	30,860		2,516
7.500%, 06/03/27	50,230		3,785


Description		Face Amount (Thousands) (1)	Market Value ($ Thousands)

Mexican Bonos, Ser M10
7.250%, 12/15/16	MXP	13,000	$	1,035
NII Capital
10.000%, 08/15/16		4,900		5,243
Oceanografia
11.250%, 07/15/15		1,286		797
Pemex Finance
9.150%, 11/15/18		1,895		2,402
Pemex Project Funding Master Trust
6.625%, 06/15/35		400		392
5.750%, 03/01/18		1,670		1,696
Petroleos Mexicanos
8.000%, 05/03/19 (A)		465		536
8.000%, 05/03/19		1,150		1,325
6.000%, 03/05/20 (A)		500		506
United Mexican States
11.375%, 09/15/16		540		748
8.300%, 08/15/31		13,060		16,847
8.125%, 12/30/19		1,290		1,583
7.500%, 04/08/33		1,430		1,702
6.625%, 03/03/15		2,650		2,975
6.050%, 01/11/40		10,274		10,325
5.950%, 03/19/19		4,890		5,269
5.625%, 01/15/17		4,550		4,880
5.125%, 01/15/20		3,662		3,726
United Mexican States, Ser A MTN
6.750%, 09/27/34		6,568		7,208

				87,755


Nigeria — 0.1%
GTB Finance
8.500%, 01/29/12		500		507
UBS
0.000%,
09/04/17 (A) (C)		800		787

				1,294


Oman — 0.0%
Blue City Investments
13.750%, 11/07/13		2,750		275
4.174%, 11/07/13 (C)		500		175

				450


Pakistan — 0.6%
Pakistan Mobile Communications
8.625%, 11/13/13 (A)		330		297
Republic of Pakistan
7.125%, 03/31/16		3,650		3,368
6.875%, 06/01/17		2,850		2,565

				6,230


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)


Panama — 2.1%
Republic of Panama
9.375%, 04/01/29	7,540	$	10,443
9.375%, 01/16/23	595		777
8.875%, 09/30/27	3,400		4,556
8.125%, 04/28/34	940		1,180
7.250%, 03/15/15	2,150		2,483
6.700%, 01/26/36	1,650		1,819

			21,258


Peru — 2.7%
Interoceanica IV Finance
3.966%, 11/30/25 (A) (F)	749		333
3.899%, 11/30/18 (A) (F)	358		257
3.230%, 11/30/18	656		470
Peru Enhanced Pass-Through Finance
7.295%, 06/02/25 (A) (F)	500		224
4.417%, 05/31/18 (F)	1,623		1,299
3.998%, 05/31/18 (A) (F)	507		405
Republic of Peru
8.750%, 11/21/33	2,661		3,519
8.375%, 05/03/16	350		425
7.350%, 07/21/25	11,720		13,712
6.550%, 03/14/37	5,675		6,118

			26,762


Philippines — 5.7%
National Power
9.625%, 05/15/28	1,100		1,342
Power Sector
7.390%, 12/02/24	1,465		1,586
7.250%, 05/27/19	760		830
Republic of Philippines
10.625%, 03/16/25	4,661		6,712
9.500%, 02/02/30	2,730		3,668
9.500%, 10/21/24	200		264
9.375%, 01/18/17	10,040		12,763
8.875%, 03/17/15	500		613
8.375%, 06/17/19	650		803
8.250%, 01/15/14	2,575		3,000
8.000%, 01/15/16	4,650		5,592
7.750%, 01/14/31	3,624		4,199
7.500%, 09/25/24	7,964		9,298
6.500%, 01/20/20	500		544
6.375%, 10/23/34	4,290		4,279
6.375%, 01/15/32	890		890

			56,383


Poland — 1.6%
Republic of Poland
6.375%, 07/15/19	13,105		14,271


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

TVN Finance II
10.750%, 11/15/17 (A)	1,000	$	1,301

			15,572


Qatar — 1.2%
Qtel International Finance
7.875%, 06/10/19	3,050		3,424
6.500%, 06/10/14 (A)	600		649
State of Qatar
9.750%, 06/15/30	535		754
6.400%, 01/20/40 (A)	705		730
5.250%, 01/20/20 (A)	6,240		6,412

			11,969


Russia — 8.7%
Alfa Dividend Payment Rights Finance MTN
2.157%, 12/15/11 (A) (C)	165		151
Alfa Invest MTN
9.250%, 06/24/13 (A)	1,200		1,229
Alfa Issuance MTN
8.000%, 03/18/15	208		202
Edel Capital for Sinek Capital SA
7.700%, 08/03/15	600		600
Gaz Capital MTN
8.625%, 04/28/34	1,850		2,037
6.510%, 03/07/22	220		207
6.510%, 03/07/22 (A)	1,250		1,181
6.212%, 11/22/16	600		585
Kuznetski (Bank of Moscow)
7.500%, 11/25/15 (C)	1,300		1,297
Morgan Stanley Bank for GAZPROM
9.625%, 03/01/13	700		769
RSHB Capital for Russian Agricultural Bank
9.000%, 06/11/14	750		830
7.750%, 05/29/18	1,250		1,313
6.299%, 05/15/17	400		389
Russian Federation
12.750%, 06/24/28	4,270		7,131
11.200%, 12/17/14	49,200		1,868
7.500%, 03/31/30	40,567		45,334
Russian Foreign Bond - Eurobond
5.000%, 04/29/20 (A) (E)	3,300		3,143
Teorema Holding
11.000%, 10/27/08 (B)	2,000		200
TNK-BP Finance
7.875%, 03/13/18 (A)	325		328
7.500%, 07/18/16 (A)	415		429
7.250%, 02/02/20 (A)	1,098		1,068
6.250%, 02/02/15 (A)	598		592
TransCapitalInvest (Transneft)
8.700%, 08/07/18 (A)	465		519


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

UBS (Vimpelcom)
8.250%, 05/23/16	190	$	195
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/18 (A)	1,460		1,544
9.125%, 04/30/18	1,200		1,269
8.375%, 04/30/13	800		835
8.375%, 04/30/13 (A)	1,050		1,095
VTB Capital
6.875%, 05/29/18	7,550		7,710
6.609%, 10/31/12 (A)	1,500		1,535
6.250%, 06/30/35	498		492

			86,077


Saudi Arabia — 0.1%
Dar Al-Arkan International Sukuk
10.750%, 02/18/15 (A)	900		895


Singapore — 0.4%
Sea Production
4.500%, 02/14/12	8,800		3,960


South Africa — 1.7%
Consol Glass MTN
7.625%, 04/15/14	285		327
Edcon Proprietary
3.900%, 06/15/14 (C)	2,350		2,115
Republic of South Africa
13.500%, 09/15/15	5,840		946
8.500%, 06/23/17	815		974
7.500%, 01/15/14	7,420		963
6.875%, 05/27/19	3,095		3,455
6.500%, 06/02/14	2,905		3,206
5.875%, 05/30/22	2,445		2,506
5.500%, 03/09/20	1,950		1,965

			16,457


South Korea — 0.4%
Export-Import Bank of Korea
8.125%, 01/21/14	2,105		2,398
5.875%, 01/14/15	1,125		1,203

			3,601


Sri Lanka — 0.1%
Democratic Socialist Republic of Sri Lanka
7.400%, 01/22/15 (A)	500		510


Supra-National — 0.1%
Andina de Fomento
8.125%, 06/04/19	565		685
Central American Bank for Economic Integration
5.375%, 09/24/14 (A)	350		364


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

Eurasian Development Bank MTN
7.375%, 09/29/14 (A)	350	$	357

			1,406


Thailand — 0.2%
True Move
10.750%, 12/16/13 (A)	850		833
10.375%, 08/01/14 (A)	850		829

			1,662


Trinidad & Tobago — 0.4%
Petroleum of Trinidad & Tobago
9.750%, 08/14/19 (A)	653		715
6.000%, 05/08/22	2,375		2,155
6.000%, 05/08/22 (A)	900		817

			3,687


Tunisia — 0.3%
Banque Centrale de Tunisie
7.375%, 04/25/12	2,210		2,398
6.250%, 02/20/13	430		570

			2,968


Turkey — 4.2%
Globus Capital Finance
8.500%, 03/05/12	700		616
Republic of Turkey
11.875%, 01/15/30	625		1,008
9.500%, 01/15/14	300		356
8.000%, 02/14/34	2,150		2,489
7.500%, 11/07/19	2,535		2,890
7.500%, 07/14/17	2,975		3,391
7.375%, 02/05/25	5,975		6,676
7.250%, 03/05/38	640		674
7.250%, 03/15/15	1,200		1,350
7.000%, 06/05/20	550		605
7.000%, 09/26/16	1,450		1,613
7.000%, 03/11/19	800		884
6.875%, 03/17/36	6,895		7,016
6.750%, 05/30/40	4,927		4,890
6.750%, 04/03/18	6,230		6,806

			41,264


Ukraine — 3.9%
Biz Finance for Ukreximbank
8.375%, 04/27/15	1,450		1,373
Credit Suisse First Boston for City of Kiev
8.000%, 11/06/15	750		630
Credit Suisse First Boston International (Export/Import -Ukraine)
7.650%, 09/07/11	1,000		990


Description		Face Amount (Thousands) (1)	Market Value ($ Thousands)

6.800%, 10/04/12		800	$	740
Government of Ukraine
7.650%, 06/11/13		3,625		3,661
7.650%, 06/11/13		250		253
6.875%, 03/04/11		500		499
6.750%, 11/14/17		2,200		2,009
6.580%, 11/21/16		3,948		3,643
6.385%, 06/26/12		1,445		1,423
3.200%, 12/19/10		760,000		8,172
MHP
10.250%, 04/29/15		1,965		1,739
NAK Naftogaz Ukraine
9.500%, 09/30/14		8,373		8,582
9.500%, 09/30/14		2,050		2,108
Springvale Holdings
9.181%, 09/07/09 (B) (C) (H)		1,000		75
UK Private Bank
8.000%, 02/06/12		3,000		2,760

				38,657


United Arab Emirates — 1.9%
Dolphin Energy
5.888%, 06/15/19 (A)		446		454
5.888%, 06/15/19		1,832		1,868
Dubai DOF Sukuk MTN
6.396%, 11/03/14		1,200		1,142
Dubai Electricity & Water Authority
8.500%, 04/22/15 (A)		2,050		2,057
Dubai Holding Commercial Operations MTN
4.750%, 01/30/14		1,850		1,631
0.719%, 02/01/12 (C)		200		154
Dubai Sukuk Centre
0.632%, 06/13/12 (C)		750		533
Emirate of Abu Dhabi
6.750%, 04/08/19 (A)		670		757
Jafz Sukuk
3.446%, 11/27/12 (C)	AED	33,500		7,502
Nakheel Development 2
2.750%, 01/16/11		2,900		3,045

				19,143


Uruguay — 3.0%
Republic of Uruguay
9.250%, 05/17/17		5,670		7,045
8.000%, 11/18/22		12,047		14,155
7.625%, 03/21/36		2,086		2,347
6.875%, 09/28/25		761		818
Republic of Uruguay PIK
7.875%, 01/15/33		4,220		4,853

				29,218


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)


Venezuela — 6.1%
Bolivarian Republic of Venezuela
8.250%, 10/13/24	4,315	$	2,395
Government of Venezuela
13.625%, 08/15/18	2,435		2,058
10.750%, 09/19/13	700		604
9.375%, 01/13/34	2,370		1,434
9.250%, 05/07/28	7,065		4,186
9.250%, 09/15/27	4,025		2,636
9.000%, 05/07/23	8,545		5,106
8.500%, 10/08/14	3,675		2,756
7.750%, 10/13/19	400		238
7.650%, 04/21/25	5,065		2,786
7.000%, 12/01/18	255		152
7.000%, 03/31/38	200		103
6.000%, 12/09/20	2,300		1,219
5.750%, 02/26/16	2,250		1,372
1.307%, 04/20/11 (C)	22,615		20,014
Petroleos de Venezuela
5.500%, 04/12/37	2,650		1,186
5.375%, 04/12/27	5,305		2,427
5.250%, 04/12/17	12,890		7,089
5.000%, 10/28/15	1,700		939
4.900%, 10/28/14	2,175		1,316

			60,016


Vietnam — 0.2%
Socialist Republic of Vietnam
6.875%, 01/15/16	450		475
6.750%, 01/29/20 (A)	1,052		1,065

			1,540

Total Global Bonds (Cost $846,080) ($ Thousands)			908,367


LOAN PARTICIPATIONS — 0.9%

Angola — 0.1%
Republic of Angola (H) (I)
2.998%, 04/30/16	1,300		1,326


Cambodia — 0.3%
CAMGSM PIK
12.854%, 05/25/11	2,480		2,480


Georgia — 0.0%
Ashmore Cayman
0.000%, 04/16/14 (F) (H) (I)	221		227


Russia — 0.2%
Snegri Overseas
10.500%, 10/26/10 (H) (I)	2,560		2,048


Description	Face Amount (Thousands) (1)/ Shares	Market Value ($ Thousands)


Singapore — 0.3%
Morton Bay Senior
6.250%, 06/30/11 (H) (I)	3,054	$	3,054

Total Loan Participations (Cost $10,070) ($ Thousands)			9,135


CONVERTIBLE BONDS — 0.7%
FirstSource Solutions
6.214%, 12/04/12 (F)	2,300		2,340
Reliance Communications
0.000%, 03/01/12 (F)	1,400		1,512
Suzlon Energy
1.307%, 06/12/12	2,484		2,637
2.468%, 07/25/14	500		422

Total Convertible Bonds (Cost $6,261) ($ Thousands)			6,911


AFFILIATED PARTNERSHIP (G) — 0.4%
SEI Liquidity Fund, L.P.
0.240%**†	4,439,163		4,213

Total Affiliated Partnership (Cost $4,439) ($ Thousands)			4,213


WARRANTS — 0.0%

Russia — 0.0%
Teorema Holding A,
Expires 10/27/11* (H)	136		—
Teorema Holding B,
Expires 10/27/11* (H)	272		—

Total Warrants (Cost $47) ($ Thousands)			—


TIME DEPOSIT — 3.4%

United States — 3.4%
Brown Brothers Harriman
0.030%, 06/01/10	33,396		33,396

Total Time Deposit (Cost $33,396) ($ Thousands)			33,396


DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS — 0.0%

United States — 0.0%
Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding	400		400

Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $400) ($ Thousands)			400

Total Investments — 97.2% (Cost $900,693) ($ Thousands)		$	962,422

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:

For the year ended May 31, 2010, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2010, is as follows:

A summary of outstanding swap agreements help by the Fund at May 31, 2010, is as follows:

Percentages are based on Net Assets of $989,598 ($ Thousands)

(1)

In U.S. dollars unless otherwise indicated.

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2010.

†

Investment in Affiliated Security (See Note 5).

(A)

(B)

Security in default on interest payments.

(C)

Variable Rate Security — The rate reported is the rate in effect as of May 31, 2010. The date reported is the next reset date.

(D)

Step Bonds — The rate reflected is the effective yield on May 31, 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 May 31, 2010. The total value of securities on loan at May 31, 2010 was $4,235 ($ Thousands).

(F)

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

(G)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $4,213 ($ Thousands).

(H)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2010 was $6,730 ($ Thousands) and represented 0.7% of Net Assets.

(I)

Securities considered illiquid. The total value of such securities as of May 31, 2010 was $6,655 ($ Thousands) and represented 0.7% of Net Assets. (Unaudited in regards to illiquid status)

AED — United Arab Emirates Dirham

BRL — Brazilian Real

CNY — Chinese Yuan Renminbi

COP — Colombian Peso

EUR — Euro

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

RUB — Russian Ruble

Ser — Series

SGD — Singapore Dollar

USD — U.S. Dollar

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

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Global Bonds	$	—	$	908,367	$	—	$	908,367
Convertible Bonds		—		6,911		—		6,911
Loan Participations		—		—		9,135		9,135
Affiliated Partnership		—		4,213		—		4,213
Warrants		—		—		—		—
Deposit with Counterparty as Collateral for Swap Contracts		—		400		—		400
Time Deposit		33,396		—		—		33,396

Total Investments in Securities	$	33,396	$	919,891	$	9,135	$	962,422


Other Financial Instruments	Level 1			Level 2			Level 3			Total
Future Contracts*	$	(8	)	$	—		$	—		$	(8	)
Forwards		(1,199	)		—			—			(1,199	)
Total Return Swaps		—			(73	)		(4	)		(77	)

Total Other Financial Instruments	$	(1,207	)	$	(73	)	$	(4	)	$	(1,284	)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Investments in Loan Participations			Investments in Total Return Swaps
Beginning balance as of June 1, 2009	$	11,161		$	(975	)
Accrued discounts/premiums		26			9
Realized gain/(loss)		(869	)		25
Change in unrealized appreciation/(depreciation)		2,860			971
Net purchases/sales		(4,043	)		(25	)
Net transfer in and/or out of
Level 3		—			—

Ending balance as of May 31, 2010	$	9,135		$	5

Changes in unrealized gain/(loss) included in earnings related to securities still held at reporting date	$	147		$	479

Future contracts are valued at the unrealized depreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

The following is a summary of the inputs used as of May 31, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

1. ORGANIZATION

SEI Institutional Investments Trust (the “Trust”) was organized as a Massachusetts business trust under a Declaration of Trust dated March 1, 1995. The Trust commenced operations on June 14, 1996.

The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 20 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Strategic U.S. Large Cap Equity, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, International Equity, World Equity Ex-US, Screened World Equity Ex-US, Emerging Markets Equity, Global Equity, Enhanced LIBOR Opportunities, Core Fixed Income, High Yield Bond, Long Duration, Emerging Markets Debt, Real Return and Dynamic Asset Allocation Funds (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust’s prospectus provides a description of each Fund’s investment objectives, policies, and strategies.

As of May 31, 2010, the Dynamic Asset Allocation, Strategic U.S. Large Cap Equity, Emerging Markets Equity and Global Equity Funds have not yet commenced operations.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies followed by the Funds.

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued

at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, the adviser or sub-adviser may request that a Fair Value Committee Meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided.

The International Equity, World Equity Ex-US and Screened World Equity Ex-US Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these funds based on certain factors and method-

ologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these funds that hold international securities will value the non-U.S. securities within that fund that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.

In accordance with GAAP, Fair Value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 —

quoted prices in active markets for identical investments

Level 2 —

other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

Level 3 —

significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The valuation techniques used by the Funds to measure fair value during the fiscal year ended May 31, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the fiscal year ended May 31, 2010, there have been no significant changes to the Trust’s fair valuation methodologies.

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining net

realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting.

Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

Repurchase Agreements — A Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.

Reverse Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, those Funds use of the proceeds under the reverse repurchase agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no outstanding reverse repurchase agreements as of May 31, 2010.

Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.

Foreign Currency Translation — The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:

(I) market value of investment securities, assets and liabilities at the current rate of exchange; and

(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.

The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. A Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

Finally, the risk exists that losses could exceed amounts disclosed on the Summary Schedule of Investments/Schedule of Investments or the Statement of Assets and Liabilities.

Futures Contracts — All Funds, with the exception of the High Yield Bond and Real Return Funds, utilized futures contracts during the fiscal year ended May 31, 2010. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in

an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Summary Schedule of Investments/Schedule of Investments or the Statement of Assets and Liabilities.

Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. A Fund may also invest in financial option/swaption contracts to enhance its returns. When the Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/ swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The Core Fixed Income Fund had options contracts as of May 31, 2010, as disclosed in the Fund’s Schedule of Investments.

The risk in writing a call option/swaption is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is a Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is a Fund may pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Finally, the risk exists that losses could exceed amounts disclosed on the Summary Schedule of Investments/Schedule of Investments or the Statement of Assets and Liabilities.

Securities Sold Short — As consistent with each Fund’s investment objectives, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. That Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the

security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.

Until a Fund closes its short position or replaces the borrowed security, that Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover a Fund’s short positions. As of May 31, 2010, none of the Funds held any short positions.

Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Credit default swaps involve the periodic payment by a Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage-backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or losses. A Fund

could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities/cash may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund’s value from changes in interest rates; or expose a Fund to a different security or market.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details.

Forward Treasury Commitments — A Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance.

Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, that fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when

determining its net asset value. Those Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those Funds have sold a security on a delayed delivery basis, that Fund does not participate in future gains and losses with respect to the security.

Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in U.S. dollar-denominated fixed- and floating-rate loans (“Loans”) arranged through private negotiations between a foreign sovereign entity and one or more financial institutions (“Lenders”). The Fund invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties. Participations typically result in this Fund having a contractual relationship only with the Lenders, not with the sovereign borrowers. This Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation.

Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.

Collateralized Debt Obligations — A Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed security. A CLO is a trust, typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.

For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by a Fund as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) a Fund may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, Enhanced LIBOR Opportunities and Emerging Markets Debt Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration and High Yield Bond Funds; and declared and paid at least annually for the International Equity, World Equity Ex-US, Screened World Equity Ex-US and Real Return Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — As of May 31, 2010, the following Funds 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 therefrom. In addition, these Funds have 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 private placement investments. The acquisition dates of these investments, the enforceable right to acquire these private placement investments, along with the cost and values at May 31, 2010, were as follows:

Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

3. CREDIT DERIVATIVES

A 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. A Fund uses these swaps to reduce risk where a 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 Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

As of May 31, 2010, the Core Fixed Fund is the buyer (“receiving protection”) on a total notional amount of $63.9 million, and the Core Fixed and Long Duration Funds are the sellers (“providing protection”) on a total notional amount of $75.0 million and $1.2 million, respectively. The notional amounts of the swaps are not recorded in the financial statements; however the notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the sellers of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:

The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2010.

Amount of realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands):

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):

The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.

Written options transactions entered into during the fiscal year ended May 31, 2010 are summarized as follows:


	Core Fixed Income Fund
	Number of Contracts		Premium ($ Thousands)
Balance at the beginning of period	992		$	609
Written	7,593			5,056
Expired	(3,639	)		(2,030	)
Closing buys	(4,599	)		(3,401	)
Balance at the end of period	347		$	234

Written swaptions transactions entered into during the fiscal year ended May 31, 2010 are summarized as follows:


	Core Fixed Income Fund
	Number of Contracts		Premium ($ Thousands)
Balance at the beginning of period	—		$	—
Written	48,340			1,013
Expired	(24,170	)		(465	)
Closing buys	(24,170	)		(548	)
Balance at the end of period	—		$	—

As of May 31, 2010 the Funds had cash and/or securities at least equal to the value of written options.

5. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Administration and Transfer Agency Agreement — The Trust and SEI Investments Global Funds Services (the “Administrator”) are parties to an Amended and Restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the fiscal year ended May 31, 2010, and until further notice, the Administrator has voluntarily agreed to waive all of its fee.

Investment Advisory Agreement — SEI Investments Management Corporation (“SIMC”) serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee that is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of acquired fund fees expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be

terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:


	Advisory Fees		Voluntary Expense Limitations
Large Cap Fund	0.400	%	0.260	%
Large Cap Diversified Alpha Fund	0.400		0.350
Large Cap Disciplined Equity Fund	0.400		0.220
Large Cap Index Fund	0.170		0.060
Small Cap Fund	0.650		0.540
Small/Mid Cap Equity Fund	0.650		0.500
U.S. Managed Volatility Fund	0.650		0.350
International Equity Fund	0.505		0.390
World Equity Ex-US Fund	0.550		0.450
Screened World Equity Ex-US Fund	0.650		0.800
Enhanced LIBOR Opportunities Fund	0.450		0.440
Core Fixed Income Fund	0.300		0.140
High Yield Bond Fund	0.4875		0.350
Long Duration Fund	0.300		0.200
Emerging Markets Debt Fund	0.850		0.550
Real Return Fund	0.220	*	0.200	*

The Advisory Fee and Voluntary Expense Limitation for the Real Return Fund changed from 0.700% and 0.360%, respectively, as of January 1, 2010.

As of May 31, 2010, SIMC has entered into investment sub-advisory agreements with the following parties and pays the sub-advisers out of the fee that it receives from the Funds:

Investment Sub-Adviser

Large Cap Fund

Aronson + Johnson + Ortiz, L.P.

Delaware Management Company

Legg Mason Capital Management, Inc.

LSV Asset Management

Neuberger Berman Management LLC

Quantitative Management Associates, LLC

Large Cap Diversified Alpha Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, L.P.

Delaware Management Company

INTECH Investment Management, LLC

Legg Mason Capital Management, Inc.

Quantitative Management Associates, LLC

Large Cap Disciplined Equity Fund

Analytic Investors, Inc.

INTECH Investment Management, LLC

Lazard Asset Management LLC

Massachusetts Financial Services Company

Quantitative Management Associates, LLC

Large Cap Index Fund

SSgA Funds Management, Inc.

Small Cap Fund

AQR Capital Management, LLC

Artisan Partners Limited Partnership

Janus Capital Management, Inc.

Lee Munder Capital Group LLC

Investment Sub-Adviser

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

Oppenheimer Capital, LLC

Robeco Investment Management, Inc.

Security Capital Research and Management, Inc.

Wellington Management Company, LLP

Small/Mid Cap Equity Fund

Integrity Asset Management, LLC

Janus Capital Management, Inc.

Lee Munder Capital Group LLC

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

PanAgora Asset Management, Inc.

Security Capital Research and Management Incorporated

Wellington Management Company, LLP

Wells Capital Management, Inc.

U.S. Managed Volatility Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, LP

International Equity Fund

Acadian Asset Management, LLC

AXA Rosenberg Investment Management, LLC

Declaration Management & Research, LLC

INTECH Investment Management, LLC

Neuberger Berman Management LLC

Quantitative Management Associates, LLC

Schroder Investment Management North America, Inc.

World Equity Ex-US Fund

Acadian Asset Management, Inc.

Artisan Partners Limited Partnership

Declaration Management & Research, LLC

McKinley Capital Management, LLC

NFJ Investment Group LLC

Principal Global Investors, LLC

Quantitative Management Associates, LLC

Thornburg Investment Management LLC

Screened World Equity Ex-US Fund

Acadian Asset Management LLC

McKinley Capital Management, LLC

Principal Global Investors, LLC

Quantitative Management Associates, LLC

Thornburg Investment Management LLC

Enhanced LIBOR Opportunities Fund

Ares Management, LLC

Declaration Management & Research, LLC*

UBS Global Asset Management (Americas), Inc.

Wellington Management Company, LLP

Core Fixed Income Fund

J.P. Morgan Investment Management, Inc.

Jennison Associates LLC

Metropolitan West Asset Management, LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

Investment Sub-Adviser

High Yield Bond Fund

Ares Management, LLC

Brigade Capital Management, LLC

Delaware Management Company

Guggenheim Partners, LLC

J.P. Morgan Investment Management, Inc.

Long Duration Fund

Income Research & Management

Jennison Associates LLC

Trust Company of the West (formerly Metropolitan West Asset Management, LLC)

Emerging Markets Debt Fund

Ashmore Investment Management Limited

ING Investment Management Advisors, B.V.

Stone Harbor Investment Partners, L.P.

Real Return Fund

Wellington Management Company, LLC

* As of May 31, 2010, this manager has not been allocated assets to manage.

Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a Distribution Agreement with the Trust.

Other —The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission (“SEC”) rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions.

Such commissions for the year ended May 31, 2010 were as follows ($ Thousands):


Large Cap Fund	$	78
Large Cap Diversified Alpha Fund		1
Large Cap Disciplined Equity Fund		118
Small Cap Fund		355
Small/Mid Cap Equity Fund		300
International Equity Fund		182
World Equity Ex-US Fund		1,093
Screened World Equity Ex-US Fund		16

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Distributor or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.

7. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the fiscal year ended May 31, 2010, were as follows:


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	1,195,012	$	1,195,012
Sales		—		617,352		617,352
Large Cap Diversified Alpha Fund
Purchases		—		311,253		311,253
Sales		—		325,802		325,802
Large Cap Disciplined Equity Fund
Purchases		—		6,785,463		6,785,463
Sales		—		6,809,591		6,809,591
Large Cap Index Fund
Purchases		—		128,797		128,797
Sales		—		51,772		51,772
Small Cap Fund
Purchases		—		1,251,129		1,251,129
Sales		—		1,223,737		1,223,737
Small/Mid Cap Fund
Purchases		—		1,930,183		1,930,183
Sales		—		2,136,773		2,136,773
U.S. Managed Volatility Fund
Purchases		—		149,633		149,633
Sales		—		173,448		173,448
International Equity Fund
Purchases		36,695		993,422		1,030,117
Sales		43,657		1,083,407		1,127,064
World Equity Ex-US Fund
Purchases		121,511		5,062,615		5,184,126
Sales		145,303		4,470,821		4,616,124
Screened World Equity Ex-US Fund
Purchases		—		113,051		113,051
Sales		—		102,788		102,788


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Enhanced LIBOR Opportunities Fund
Purchases	$	3,032	$	7,870	$	10,902
Sales		6,085		34,729		40,814
Core Fixed Income Fund
Purchases		9,716,032		2,608,618		12,324,650
Sales		9,146,201		2,611,087		11,757,288
High Yield Bond Fund
Purchases		353		1,513,678		1,514,031
Sales		716		1,370,186		1,370,902
Long Duration Bond Fund
Purchases		1,672,961		1,469,802		3,142,763
Sales		1,496,563		541,787		2,038,350
Emerging Markets Debt Fund
Purchases		—		555,613		555,613
Sales		—		637,338		637,338
Real Return Fund
Purchases		601,890		10		601,900
Sales		552,252		10		552,262

8. FEDERAL TAX INFORMATION

It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.


	Undistributed Net Investment Income (Loss) ($ Thousands)			Accumulated Realized Gain (Loss) ($ Thousands)			Paid-in Capital ($ Thousands)
Large Cap Fund	$	93		$	(93	)	$	—
Large Cap Diversified Alpha Fund		1,326			(1,326	)		—
Large Cap Disciplined Equity Fund		23,490			(23,566	)		76
Large Cap Index Fund		110			(110	)		—
Small Cap Fund		949			(940	)		(9	)
Small/Mid Cap Equity Fund		808			(808	)		—
U.S. Managed Volatility Fund		52			(52	)		—
International Equity Fund		15,570			(15,570	)		—
World Equity Ex-US Fund		29,891			(29,891	)		—
Screened World Equity Ex-US Fund		84			(84	)		—
Enhanced LIBOR Opportunities Fund		1,045			(1,045	)		—
Core Fixed Income Fund		6,994			(6,994	)		—
High Yield Bond Fund		(8,568	)		8,568			—
Long Duration Fund		(1,308	)		1,308			—
Emerging Markets Debt Fund		4,546			(4,546	)		—
Real Return Fund		318			(318	)		—

These reclassifications have no impact on net assets or net asset value per share.

The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2010 were as follows:

As of May 31, 2010, the components of Distributable Earnings/(Accumulated Losses) were as follows:

Post-October losses represent losses realized on investment transactions from November 1, 2009 through May 31, 2010 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:


	Federal Tax Cost ($ Thousands)	Appreciated Securities ($ Thousands)	Depreciated Securities ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
International Equity Fund	690,320	20,483	(73,655	)	(53,172	)
World Equity Ex-US Fund	3,923,548	134,504	(306,514	)	(172,010	)
Screened World Equity Ex-US Fund	72,511	2,246	(6,950	)	(4,704	)
Enhanced LIBOR Opportunities Fund	114,532	25,500	(25,585	)	(85	)
Core Fixed Income Fund	6,691,597	231,050	(296,819	)	(65,769	)
High Yield Bond Fund	1,564,500	78,672	(71,852	)	6,820
Long Duration Fund	2,587,820	172,506	(24,178	)	148,328
Emerging Markets Debt Fund	907,646	85,877	(31,101	)	54,776
Real Return Fund	320,801	6,851	(1,634	)	5,217

Management has analyzed the Fund’s tax position taken on federal income tax returns for all open tax years and has concluded that as of May 31, 2010, no provision for income tax would be required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

9. CONCENTRATION/RISKS

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.

The market values of the Core Fixed Income, Long Duration and High Yield Bond Funds’ investments may change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.

The International Equity, World Equity Ex-US, Screened World Equity Ex-US and Emerging Markets Debt Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.

10. IN-KIND TRANSFERS OF SECURITIES

During the fiscal year ended May 31, 2010, the Large Cap Fund, Large Cap Disciplined Equity Fund and Small Cap Fund issued shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.


	Shares Issued	Value ($ Thousands)
Large Cap Fund
03/31/10	2,998,170	$	47,731
Large Cap Disciplined Equity Fund
08/31/09	7,632,084	$	62,736
Small Cap Fund
03/31/10	562,704	$	6,162

During the fiscal year ended May 31, 2009, the Large Cap Disciplined Equity Fund issued shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.


	Shares Issued	Value ($ Thousands)
Large Cap Disciplined Equity Fund
09/30/08	7,801,537	$	76,845

11. SECURITIES LENDING

Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity.

Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.

Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.

12. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of May 31, 2010.

13. OTHER MATTERS

Due to volatility in the fixed income and equity markets, the market value of a Fund’s holdings may be materially different than shown in the Summary Schedule of Investments/Schedule of Investments (“SOI”). The values shown in the SOIs were the market values as of May 31, 2010 and do not reflect any market events after May 31, 2010.

We have audited the accompanying statements of assets and liabilities, including the schedules of investments of SEI Institutional Investments Trust, comprising the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small/Mid Cap Equity Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund, Screened World Equity Ex-US Fund, Enhanced LIBOR Opportunities Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Fund, Emerging Markets Debt Fund, and Real Return Fund, (collectively, the “Funds”), as of May 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2010, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Investments Trust as of May 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.

All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

• Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.


	Beginning Account Value 12/1/2009		Ending Account Value 5/31/2010		Annualized Expense Ratios		Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,004.50	0.26	%	$	1.30
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.64	0.26	%	$	1.31
Large Cap Diversified Alpha Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,013.70	0.31	%	$	1.56
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.39	0.31	%	$	1.56
Large Cap Disciplined Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,011.60	0.18	%	$	0.90
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.03	0.18	%	$	0.91
Large Cap Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,014.90	0.06	%	$	0.30
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.63	0.06	%	$	0.30
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,134.40	0.54	%	$	2.87
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.24	0.54	%	$	2.72
Small/Mid Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,127.70	0.49	%	$	2.60
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.49	0.49	%	$	2.47
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,046.30	0.35	%	$	1.79
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.19	0.35	%	$	1.77
International Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	910.40	0.39	%	$	1.86
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.99	0.39	%	$	1.97
World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	934.30	0.45	%	$	2.17
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.69	0.45	%	$	2.27
Screened World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	929.90	0.80	%	$	3.85
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.94	0.80	%	$	4.03
Enhanced LIBOR Opportunities Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,039.20	0.41	%	$	2.08
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.89	0.41	%	$	2.07
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,042.80	0.14	%	$	0.71
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.23	0.14	%	$	0.71


	Beginning Account Value 12/1/2009		Ending Account Value 5/31/2010		Annualized Expense Ratios		Expense Paid During Period*
HighYield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,081.50	0.35	%	$	1.82
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.19	0.35	%	$	1.77
Long Duration Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,035.90	0.20	%	$	1.02
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.93	0.20	%	$	1.01
Emerging Markets Debt Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,062.50	0.57	%	$	2.93
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.09	0.57	%	$	2.87
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,007.20	0.22	%	$	1.10
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.83	0.22	%	$	1.11

*	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period shown).

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)

SEI Institutional Investments Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission (“SEC”) takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

Consistent with these responsibilities, the Trust’s Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (b) SIMC’s and the Sub-Advisers’ investment management personnel; (c) SIMC’s and the Sub-Advisers’ operations and financial condition; (d) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds’ overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (h) SIMC’s and the Sub-Advisers’ compliance systems; (i) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (j) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds’ performance compared with similar mutual funds.

At the December 9-10, 2009 and March 24-25, 2010 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

Nature, Extent and Quality of Services. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Advisers’ personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.

Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.

Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.

Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.

For shareholders who do not have a May 31, 2010, taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2010, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended May 31, 2010, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

Items (A) and (B) are based on the percentage of each fund’s total distribution.

Items (C) and (D) are based on the percentage of ordinary income distributions of each fund. Item (E) is based on the percentage of gross income of each fund.

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.

Robert A. Nesher, Chairman

Trustees

William M. Doran

James M. Storey

George J. Sullivan, Jr.

Rosemarie B. Greco

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Officers

Robert A. Nesher

President and Chief Executive Officer

Stephen F. Panner

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

James Ndiaye

Vice President, Assistant Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

John J. McCue

Vice President

Andrew S. Decker

Anti-Money Laundering Compliance Officer

Keri E. Rohn

Privacy Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG LLP

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.

For more information call

1 800 DIAL SEI

(1 800 342 5734)

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.

(a)(1) The Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Mrrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2010 and 2009 as follows:

(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.

In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

(g) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2010 and 2009 were $244,500 and $234,500, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant.

(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

(a) The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small/Mid Cap Equity Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund and Screened World Equity Ex-US Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Enhanced LIBOR Opportunities Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Bond Fund, Emerging Markets Debt Fund and Real Return Fund are included as part of the report to shareholders filed under Item 1 of this form.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 95.2%
Consumer Discretionary —11.4%
99 Cents Only Stores *	12,500	$	191
Aeropostale *	6,450		179
Amazon.com *	83,899		10,526
American Greetings, Cl A	5,600		132
Apollo Group, Cl A * (A)	52,100		2,770
Autoliv (A)	17,100		812
Best Buy	27,600		1,166
Big 5 Sporting Goods	2,900		43
Big Lots *	17,400		615
Brinker International (A)	46,000		818
Career Education * (A)	1,700		48
Carnival	52,500		1,902
Carter’s *	1,100		34
CBS, Cl B (A)	66,700		971
Chico’s FAS	77,400		947
Coach (A)	118,929		4,889
Comcast, Cl A	340,900		6,167
Cooper Tire & Rubber	61,600		1,165
Core-Mark Holding *	4,700		127
Darden Restaurants (A)	13,300		571
Deckers Outdoor *	3,300		478
DeVry	600		34
DIRECTV, Cl A *	175,401		6,611
DISH Network, Cl A	22,600		471
Dollar Tree *	13,100		820
Eastman Kodak * (A)	453,300		2,556
Education Management * (A)	19,100		403
Ford Motor * (A)	362,900		4,257
Fossil *	7,400		277
Gannett (A)	50,300		782
Gap	70,200		1,530
Gentex	6,000		118
Hasbro	26,700		1,072
Helen of Troy *	10,000		258
Home Depot	72,200		2,445
ITT Educational Services * (A)	9,300		939
J.C. Penney (A)	76,700		2,109
Johnson Controls	129,295		3,689
Jones Apparel Group	8,700		171
Leggett & Platt	25,800		601
Liberty Global, Cl A * (A)	23,200		598
LKQ *	32,000		590
Lowe’s	267,523		6,621
Macy’s	107,400		2,385
Magna International, Cl A	1,800		121
Mattel	20,300		440
McDonald’s	64,031		4,282
McGraw-Hill	18,100		503
Newell Rubbermaid (A)	14,500		241
News, Cl A	93,400		1,233
NIKE, Cl B (A)	102,550		7,423
Omnicom Group (A)	19,800		751
Oxford Industries	4,300		90
PetSmart	20,600		654
Pre-Paid Legal Services * (A)	1,100		51
priceline.com * (A)	21,400		4,091
RadioShack	27,400		560
Ross Stores (A)	35,300		1,850
Scholastic	6,600		173
Sears Holdings * (A)	46,200		4,068


Description	Shares	Market Value ($ Thousands)
Staples (A)	199,900	$	4,302
Starbucks (A)	116,890		3,026
Superior Industries International	3,600		53
Target	87,731		4,784
Tempur-Pedic International *	17,000		564
Thor Industries (A)	11,700		341
Timberland, Cl A *	3,300		63
Time Warner	254,140		7,876
Time Warner Cable, Cl A	63,607		3,481
TJX	45,000		2,046
TRW Automotive Holdings *	58,900		1,772
Tupperware Brands	2,700		115
Ulta Salon Cosmetics & Fragrance *	7,600		194
Universal Technical Institute *	7,500		184
VF (A)	28,770		2,225
Viacom, Cl B	45,100		1,516
Walt Disney	76,300		2,550
Whirlpool (A)	24,000		2,506
Winnebago Industries *	6,600		80
Wolverine World Wide	4,200		120
Yum! Brands	42,200		1,728

			139,945

Consumer Staples — 8.6%
Archer-Daniels-Midland	94,000		2,375
BJ’s Wholesale Club * (A)	26,400		1,058
Brown-Forman, Cl B (A)	25,600		1,420
Bunge	22,400		1,092
Campbell Soup (A)	18,500		663
Coca-Cola	165,661		8,515
Colgate-Palmolive (A)	48,173		3,762
ConAgra Foods (A)	211,700		5,119
Corn Products International	14,000		467
Costco Wholesale (A)	43,650		2,543
CVS Caremark	124,100		4,297
Dean Foods *	17,600		187
Del Monte Foods	41,000		598
Diageo ADR	59,800		3,664
Dole Food * (A)	24,400		223
Dr. Pepper Snapple Group	18,200		689
General Mills	14,300		1,019
Herbalife	13,600		614
HJ Heinz (A)	5,000		221
Kellogg	51,900		2,773
Kimberly-Clark	76,840		4,664
Kroger	26,700		537
Lorillard	4,100		293
Mead Johnson Nutrition, Cl A	54,245		2,675
Medifast * (A)	21,300		669
PepsiCo	173,822		10,932
Philip Morris International	112,996		4,986
Prestige Brands Holdings *	17,500		135
Procter & Gamble	360,398		22,017
Ralcorp Holdings *	11,400		685
Reynolds American (A)	36,884		1,923
Safeway	76,100		1,685
Sanderson Farms (A)	10,400		570
Sara Lee	39,500		560
Supervalu	37,800		509
Sysco	5,300		158
Tyson Foods, Cl A	62,300		1,095
USANA Health Sciences * (A)	1,500		56


Description	Shares	Market Value ($ Thousands)
Walgreen	178,062	$	5,705
Wal-Mart Stores	81,304		4,111

			105,264

Energy — 9.1%
Apache (A)	49,300		4,414
Canadian Natural Resources	43,302		3,008
Chesapeake Energy (A)	104,300		2,330
Chevron	239,596		17,699
Cimarex Energy (A)	8,300		610
ConocoPhillips	227,871		11,817
Continental Resources * (A)	2,900		137
Denbury Resources *	64,528		1,061
Devon Energy	27,600		1,762
Diamond Offshore Drilling (A)	5,700		360
El Paso	37,000		420
EOG Resources (A)	55,600		5,829
Exxon Mobil	414,201		25,043
FMC Technologies * (A)	12,300		715
Halliburton	118,800		2,950
Hess	69,400		3,692
Marathon Oil	138,600		4,309
Murphy Oil	66,900		3,571
National Oilwell Varco	64,700		2,467
Noble	16,300		474
Occidental Petroleum	43,100		3,556
Oil States International *	19,400		757
Overseas Shipholding Group (A)	6,300		244
Patterson-UTI Energy (A)	40,000		561
Peabody Energy	7,900		308
Range Resources (A)	43,748		1,966
Schlumberger	45,299		2,544
Southern Union	56,500		1,230
Southwestern Energy *	50,934		1,916
Stone Energy *	31,500		422
Sunoco	17,900		535
Tidewater	9,100		380
Transocean *	37,400		2,123
Unit *	28,800		1,178
Valero Energy	23,800		445
Williams	49,400		976

			111,809

Financials — 15.3%
ACE	4,200		206
Aflac	99,200		4,395
Allied World Assurance Holdings	11,900		534
Allstate	128,100		3,924
Alterra Capital Holdings	1,100		21
American Equity Investment Life Holding	12,100		114
American Express	235,300		9,381
American Financial Group	7,700		215
Ameriprise Financial	63,500		2,527
Annaly Capital Management ‡ (A)	104,600		1,774
Apartment Investment &
Management, Cl A ‡ (A)	40,300		832
Assurant	61,200		2,124
Axis Capital Holdings (A)	17,100		520
Bank of America	1,168,802		18,397
Bank of Hawaii	31,000		1,489
Bank of New York Mellon	159,800		4,347
BOK Financial (A)	12,300		622


Description	Shares	Market Value ($ Thousands)
Brandywine Realty Trust ‡	87,500	$	1,014
Brookfield Asset Management, Cl A	32,100		764
Capital One Financial	119,600		4,940
Cardinal Financial	7,700		81
Cathay General Bancorp (A)	23,000		253
Chimera Investment ‡ (A)	232,500		916
Chubb (A)	79,700		4,004
Cincinnati Financial (A)	10,500		286
Citigroup *	2,492,800		9,871
CME Group, Cl A	18,300		5,795
CNA Financial *	30,300		790
Colony Financial ‡	7,100		129
Comerica	9,700		370
Cowen Group, Cl A *	5,500		26
Credicorp	2,700		238
Endurance Specialty Holdings (A)	15,700		582
Equity Residential ‡	21,900		988
Everest Re Group	14,000		1,018
First Citizens BancShares, Cl A	800		160
First Community Bancshares (A)	5,700		91
First Financial Holdings	3,600		51
Flagstone Reinsurance Holdings	8,100		96
Franklin Resources	20,900		2,050
Fulton Financial	27,900		278
Goldman Sachs Group	73,409		10,590
Hartford Financial Services Group	14,800		371
HCP ‡ (A)	7,700		245
Hospitality Properties Trust ‡	17,000		383
HRPT Properties Trust ‡	124,100		833
Hudson City Bancorp	132,700		1,673
Huntington Bancshares	108,000		665
IntercontinentalExchange * (A)	45,500		5,284
Invesco Mortgage Capital ‡	10,400		214
Jones Lang LaSalle	14,900		1,112
JPMorgan Chase	539,201		21,341
Keycorp (A)	13,300		107
Lakeland Bancorp	4,600		46
Lincoln National	11,400		302
MBIA * (A)	2,200		16
MetLife	109,170		4,420
MFA Mortgage Investments ‡ (A)	72,000		528
Montpelier Re Holdings	48,500		757
Moody’s (A)	41,000		840
Morgan Stanley	97,417		2,641
Nelnet, Cl A	10,600		210
NewStar Financial *	5,000		35
NYSE Euronext	129,600		3,716
OceanFirst Financial (A)	2,800		34
Parkway Properties ‡	9,500		160
PHH * (A)	24,400		538
Phoenix * (A)	15,300		43
Piedmont Office Realty Trust, Cl A ‡ (A)	1,400		27
Piper Jaffray *	2,100		69
Platinum Underwriters Holdings	13,200		486
PNC Financial Services Group	47,500		2,981
Presidential Life	7,100		74
Principal Financial Group	6,600		179
Progressive	8,500		167
Prosperity Bancshares	4,200		151
Prudential Financial	57,350		3,310
Regions Financial	42,755		326


Description	Shares	Market Value ($ Thousands)
RenaissanceRe Holdings	3,700	$	200
Resource Capital ‡	61,200		343
SLM *	55,300		614
State Street	73,900		2,821
Stewart Information Services (A)	13,900		147
SunTrust Banks	12,500		337
SWS Group	5,200		52
T. Rowe Price Group (A)	21,100		1,045
Taubman Centers ‡ (A)	29,100		1,178
Torchmark	20,300		1,046
Travelers	95,505		4,725
Trustco Bank (A)	22,200		138
Unitrin	4,800		128
Unum Group	73,400		1,696
US Bancorp	125,200		3,000
Vornado Realty Trust ‡	1,700		132
Webster Financial (A)	13,300		255
Wells Fargo	619,912		17,785
World Acceptance * (A)	5,000		179
WR Berkley	5,700		155
XL Capital, Cl A	63,000		1,109
Zions Bancorporation (A)	2,000		48

			188,220

Health Care — 12.9%
Abbott Laboratories	41,400		1,969
Aetna	238,369		6,951
Allergan	221,939		13,359
Allscripts-Misys Healthcare Solutions * (A)	27,700		521
AmerisourceBergen	28,800		901
Amgen *	153,538		7,950
Becton Dickinson	20,300		1,447
Biogen Idec *	23,000		1,091
Bristol-Myers Squibb	193,900		4,500
Bruker *	23,000		293
C.R. Bard	1,900		154
Cardinal Health	5,000		172
Celgene *	59,105		3,118
CIGNA	19,000		636
Coventry Health Care *	12,300		255
Covidien	80,789		3,425
Eli Lilly (A)	78,900		2,587
Endo Pharmaceuticals Holdings *	14,300		299
Forest Laboratories *	70,800		1,832
Genzyme *	145,650		7,086
Gilead Sciences *	126,300		4,537
Health Net *	21,000		518
Humana *	33,700		1,552
Idexx Laboratories * (A)	10,300		651
Impax Laboratories *	7,600		160
Intuitive Surgical * (A)	5,300		1,711
Invacare (A)	8,700		208
Johnson & Johnson	294,565		17,173
Kinetic Concepts *	13,100		542
King Pharmaceuticals * (A)	34,000		295
Laboratory Corp of America Holdings *	41,900		3,168
Life Technologies *	5,100		256
McKesson (A)	13,800		966
Medco Health Solutions *	125,700		7,246
Medtronic	191,200		7,491
Merck	174,490		5,879


Description	Shares	Market Value ($ Thousands)
Mettler Toledo International *	500	$	57
Novo Nordisk ADR (A)	66,500		5,109
Par Pharmaceutical *	15,100		419
Pfizer	980,103		14,927
Quidel * (A)	2,600		30
St. Jude Medical *	68,039		2,541
Teva Pharmaceutical Industries ADR (A)	35,825		1,964
Thermo Fisher Scientific *	31,700		1,650
UnitedHealth Group	478,105		13,898
Universal Health Services, Cl B	13,000		551
Valeant Pharmaceuticals International * (A)	18,600		865
Watson Pharmaceuticals *	18,800		830
WellPoint *	75,400		3,868
West Pharmaceutical Services	1,300		51
Zimmer Holdings *	26,300		1,471

			159,130

Industrials — 8.7%
3M	47,508		3,768
Alliant Techsystems * (A)	7,200		495
ArvinMeritor * (A)	8,800		128
Boeing	54,500		3,498
Canadian National Railway	12,700		729
Crane	14,300		465
CSX	9,100		475
Cummins	45,040		3,062
Danaher	28,368		2,252
Deere	8,500		490
Delta Air Lines * (A)	44,500		604
Dover	10,900		489
Eaton	34,700		2,427
Emerson Electric	49,666		2,306
Ennis	5,800		102
Expeditors International Washington	164,300		6,275
FedEx	24,400		2,037
Gardner Denver	18,700		852
General Dynamics	51,000		3,463
General Electric	988,703		16,165
Goodrich	33,500		2,325
Graco	38,600		1,223
Harsco	22,900		623
Honeywell International	8,600		368
Hubbell, Cl B	3,900		166
IDEX	12,800		391
Illinois Tool Works	39,000		1,811
Interline Brands *	1,400		28
ITT	9,800		473
Joy Global	8,900		454
Kansas City Southern *	8,800		336
KBR (A)	32,200		708
Kennametal	8,300		234
L-3 Communications Holdings, Cl 3	49,700		4,107
Lennox International	2,300		103
Lockheed Martin	18,747		1,498
NACCO Industries, CI A	1,600		135
Nordson	600		40
Norfolk Southern	5,400		305
Northrop Grumman	77,859		4,710
Oshkosh Truck *	24,100		856


Description	Shares	Market Value ($ Thousands)
Owens Corning *	10,700	$	357
Parker Hannifin	23,300		1,432
Polypore International *	2,300		47
Quanta Services * (A)	127,500		2,643
Raytheon	113,329		5,939
Republic Services, Cl A	13,600		396
Rockwell Automation	16,200		866
Rockwell Collins	65,267		3,808
RR Donnelley & Sons	83,300		1,596
Timken	1,400		41
Toro (A)	9,700		519
Towers Watson, Cl A	6,800		313
Tyco International	34,800		1,260
UAL * (A)	41,000		821
Union Pacific	9,500		679
United Parcel Service, Cl B	53,307		3,345
United Technologies	129,319		8,713
WABCO Holdings *	17,800		541
Waste Management	11,200		364
Werner Enterprises	2,400		54
WW Grainger (A)	18,500		1,882

			106,592

Information Technology — 20.2%
Activision Blizzard	53,800		578
Adobe Systems *	172,921		5,547
Amdocs *	33,800		963
Apple *	117,753		30,281
Autodesk * (A)	79,700		2,332
Avnet * (A)	29,500		847
AVX	2,500		35
BMC Software *	1,900		70
Brightpoint *	11,000		82
Broadcom, Cl A (A)	27,400		946
CA	147,000		2,977
Cisco Systems *	687,033		15,912
Citrix Systems * (A)	84,813		3,699
Computer Sciences	20,300		1,015
Corning	201,900		3,519
eBay *	172,000		3,683
EMC *	569,745		10,609
Fairchild Semiconductor International, Cl A * (A)	18,900		189
Flextronics International *	110,600		726
Google, Cl A *	32,170		15,608
Harris	26,300		1,234
Hewitt Associates, Cl A *	5,000		186
Hewlett-Packard	311,910		14,351
IAC *	11,300		265
Ingram Micro, Cl A *	46,400		787
Intel	418,448		8,963
International Business Machines	65,157		8,162
Intersil, Cl A	16,000		213
Intuit *	177,100		6,330
Jabil Circuit	22,000		301
Juniper Networks * (A)	34,800		926
Lam Research *	7,900		299
Lender Processing Services	3,000		102
Linear Technology	1,700		48
Loral Space & Communications *	1,200		48
Marvell Technology Group *	67,400		1,279
Mastercard, CI A (A)	24,000		4,842
McAfee *	11,600		369


Description	Shares	Market Value ($ Thousands)
Micron Technology * (A)	145,900	$	1,326
Microsoft	758,430		19,568
National Instruments	800		26
National Semiconductor	14,600		205
NCR *	28,000		372
NeuStar, Cl A *	6,600		141
Nokia ADR (A)	181,000		1,832
Nortel Networks *	5		—
Novellus Systems * (A)	3,500		90
Nuance Communications *	148,400		2,528
Oracle	245,544		5,542
Paychex (A)	203,200		5,799
PMC—Sierra *	35,100		284
Qualcomm	356,900		12,691
Rackspace Hosting * (A)	160,500		2,825
Red Hat *	78,700		2,307
Rovi *	8		—
SAIC *	31,400		540
Salesforce.com *	24,800		2,146
SanDisk *	25,900		1,207
Seagate Technology * (A)	119,400		1,834
Symantec *	308,500		4,371
Tech Data *	12,200		496
Teradata *	124,900		3,989
Texas Instruments	252,632		6,169
Tyco Electronics	28,700		827
VeriSign * (A)	196,000		5,470
Visa, Cl A	152,701		11,065
Vishay Intertechnology *	62,800		568
Western Digital *	49,000		1,706
Western Union	34,700		554
Xerox	147,500		1,373
Xilinx	3,700		91
Yahoo! *	159,400		2,445
Zebra Technologies, Cl A *	17,800		490

			249,200

Materials — 3.1%
Air Products & Chemicals	2,400		166
Alcoa (A)	108,500		1,263
Allegheny Technologies	69,830		3,818
Ashland (A)	48,000		2,573
Ball	17,800		877
Boise * (A)	25,000		153
Celanese, Cl A	28,900		829
Cytec Industries	28,900		1,235
E.I. Du Pont de Nemours	27,600		998
Eastman Chemical (A)	24,300		1,467
Freeport-McMoRan Copper & Gold, Cl B	36,600		2,564
H.B. Fuller	2,200		47
International Paper	51,200		1,189
Lubrizol	21,300		1,887
Monsanto	69,745		3,548
Mosaic	9,200		425
Nalco Holding (A)	130,700		2,962
Nucor (A)	16,400		706
Omnova Solutions *	7,100		57
Owens-Illinois *	16,800		510
Pactiv *	33,100		946
Rock-Tenn, CI A	18,050		929
Schnitzer Steel Industries, CI A	10,900		546
Sealed Air	48,000		1,000


Description	Shares	Market Value ($ Thousands)
Sherwin-Williams (A)	16,500	$	1,264
Solutia *	9,500		144
Sonoco Products	24,500		757
Southern Copper (A)	61,100		1,801
Spartech *	4,600		61
Syngenta ADR (A)	71,900		3,169
Walter Industries (A)	3,400		270

			38,161

Telecommunication Services — 3.1%
American Tower, Cl A *	77,595		3,145
AT&T	623,046		15,140
BCE	39,100		1,142
CenturyLink (A)	12,700		436
Crown Castle International *	155,300		5,751
NII Holdings *	18,600		678
Sprint Nextel *	385,400		1,977
Telephone & Data Systems	27,400		901
Verizon Communications	345,072		9,496

			38,666

Utilities — 2.8%
AES *	677,787		6,961
AGL Resources	7,400		270
Allegheny Energy	2,300		47
Alliant Energy	17,200		552
Ameren	18,200		449
American Electric Power	38,200		1,221
American Water Works	13,800		281
Aqua America (A)	12,900		225
Atmos Energy	11,200		304
CMS Energy (A)	25,200		370
DPL	35,700		894
DTE Energy	35,000		1,593
Duke Energy	9,100		145
Edison International	121,900		3,945
Energen	23,600		1,045
Entergy (A)	29,400		2,207
Exelon	99,500		3,841
FirstEnergy (A)	35,000		1,232
FPL Group	4,400		220
Mirant *	72,100		895
NV Energy	22,700		268
OGE Energy	39,000		1,421
Pepco Holdings	13,800		222
PG&E (A)	32,700		1,357
Pinnacle West Capital	17,300		607
Public Service Enterprise Group	115,700		3,544
Sempra Energy	16,000		736

			34,852

Total Common Stock (Cost $1,106,713) ($ Thousands)			1,171,839


Description	Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 10.8%
SEI Liquidity Fund, L.P. 0.240% (B)**†		133,363,080	$	132,534

Total Affiliated Partnership
(Cost $133,363) ($ Thousands)				132,534

CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†		25,945,718		25,946

Total Cash Equivalent
(Cost $25,946) ($ Thousands)				25,946

U.S. TREASURY OBLIGATION (C) (D) — 1.2%
U.S. Treasury Bill 0.134%, 06/03/10	$	14,608		14,608

Total U.S. Treasury Obligation
(Cost $14,608) ($ Thousands)				14,608

Total Investments — 109.3%
(Cost $1,280,630) ($ Thousands)			$	1,344,927


A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 Composite Index	174	Jun-2010	$	(1,472	)
S&P Mid 400 E-Mini	87	Jun-2010		(111	)

			$	(1,583	)

Percentages are based on Net Assets of $1,230,382 ($ Thousands).

(A)	This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $128,195 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $132,534 ($ Thousands).

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

(D)	The rate reported is the effective yield at time of purchase.

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 80.5%

Consumer Discretionary — 9.3%
99 Cents Only Stores *	5,000	$	76
Abercrombie & Fitch, Cl A	200		7
Amazon.com *	9,200		1,154
American Eagle Outfitters	1,200		16
American Greetings, Cl A	500		12
Apollo Group, Cl A *	18,375		977
Autoliv	3,100		147
Bed Bath & Beyond *	600		27
Best Buy	1,400		59
Big 5 Sporting Goods	1,000		15
Cablevision Systems, Cl A	19,582		486
Carmax *	5,800		126
Chico’s FAS	20,900		256
Coach	29,600		1,217
Comcast, Cl A	57,500		1,040
Cooper Tire & Rubber	2,400		46
Core-Mark Holding *	600		16
Darden Restaurants	200		8
Deckers Outdoor *	800		116
DeVry	1,500		86
DIRECTV, Cl A *	36,600		1,379
Discovery Communications, Cl C *	2,800		89
DISH Network, Cl A	15,507		323
Dollar Tree *	8,400		526
DreamWorks Animation SKG, Cl A *	3,400		101
Eastman Kodak *	87,400		493
Education Management *	5,500		116
Expedia	4,300		93
Family Dollar Stores	400		16
Ford Motor *	114,145		1,339
Fossil *	11,500		431
Gannett	5,200		81
Gap	35,600		776
Garmin	1,800		60
Gentex	2,300		45
Guess	600		23
H&R Block	2,500		40
Hanesbrands *	400		11
Harley-Davidson	700		21
Harman International Industries *	3,100		100
Hasbro	300		12
Helen of Troy *	3,200		82
Home Depot	7,400		250
Interactive Data	172		6
International Game Technology	700		14
ITT Educational Services *	4,600		465
J.C. Penney	13,875		381
Jarden	1,600		47
John Wiley & Sons, Cl A	300		12
Johnson Controls	16,200		462
Jones Apparel Group	1,700		33
Kohl’s *	2,200		112
Lamar Advertising, Cl A *	100		3
Leggett & Platt	9,800		228
Liberty Global, Cl A *	2,000		52
Liberty Media—Capital, Ser A *	1,300		55
Liberty Media—Interactive, Cl A *	7,200		93
Liberty Media—Starz *	1,910		100
Limited Brands	18,900		470


Description	Shares	Market Value ($ Thousands)
LKQ *	8,000	$	148
Lowe’s	30,600		757
Macy’s	17,400		387
Madison Square Garden, Cl A*	2,325		49
Marriott International, Cl A	415		14
Mattel	4,400		95
McDonald’s	11,700		782
McGraw-Hill	7,500		208
MGM Mirage *	700		9
NetFlix *	5,700		634
New York Times, Cl A *	1,100		10
Newell Rubbermaid	8,200		137
News, Cl A	13,600		180
NIKE, Cl B	17,800		1,288
Nordstrom	300		12
NVR *	335		230
Omnicom Group	1,100		42
Oxford Industries	2,000		42
Panera Bread, Cl A *	100		8
PetSmart	9,700		308
Phillips-Van Heusen	400		22
Polo Ralph Lauren, Cl A	1,600		139
Pre-Paid Legal Services *	300		14
priceline.com *	5,100		975
RadioShack	700		14
Ross Stores	8,900		466
Royal Caribbean Cruises *	11,400		331
Scholastic	1,400		37
Scripps Networks Interactive, Cl A	3,300		149
Sears Holdings *	7,800		687
Service International	9,900		85
Signet Jewelers *	1,300		40
Stanley Black & Decker	1,282		71
Staples	40,800		878
Starbucks	7,900		204
Starwood Hotels & Resorts Worldwide	500		23
Superior Industries International	1,100		16
Target	16,600		905
Tempur-Pedic International *	5,700		189
Thor Industries	3,300		96
Tiffany	2,400		109
Timberland, Cl A *	1,100		21
Time Warner	102,435		3,174
Time Warner Cable, Cl A	8,026		439
TJX	11,700		532
TRW Automotive Holdings *	10,100		304
Tupperware Brands	500		21
Ulta Salon Cosmetics & Fragrance *	1,900		49
Universal Technical Institute *	1,600		39
Urban Outfitters *	3,800		138
VF	4,600		356
Viacom, Cl B	19,060		641
Virgin Media	8,300		134
Walt Disney	11,562		386
Whirlpool	4,000		418
Williams-Sonoma	1,200		36
Winnebago Industries *	1,800		22
WMS Industries *	600		28
Wolverine World Wide	1,200		35
Wyndham Worldwide	1,400		33


Description	Shares	Market Value ($ Thousands)
Yum! Brands	8,150	$	334

			32,757

Consumer Staples — 8.0%
Altria Group	3,000		61
Archer-Daniels-Midland	20,200		510
Avon Products	4,100		109
BJ’s Wholesale Club *	6,700		268
Brown-Forman, Cl B	300		17
Bunge	4,600		224
Campbell Soup	1,700		61
Coca-Cola	26,200		1,347
Coca-Cola Enterprises	4,900		128
Colgate-Palmolive	4,300		336
ConAgra Foods	23,500		568
Constellation Brands, Cl A *	4,900		81
Corn Products International	10,000		333
Costco Wholesale	5,500		320
CVS Caremark	9,204		319
Dean Foods *	4,600		49
Del Monte Foods	7,100		103
Diageo ADR	6,200		380
Dole Food *	5,400		49
Dr. Pepper Snapple Group	7,600		288
Estee Lauder, Cl A	1,500		87
General Mills	3,000		214
Green Mountain Coffee Roasters *	1,600		38
Hansen Natural *	8,700		340
Herbalife	13,800		623
Hershey	300		14
HJ Heinz	2,900		128
Hormel Foods	300		12
JM Smucker	2,800		155
Kellogg	8,200		438
Kimberly-Clark	900		54
Kraft Foods, Cl A	3,660		105
Kroger	24,900		501
Lorillard	1,900		136
McCormick	300		12
Mead Johnson Nutrition, Cl A	3,600		178
Medifast *	6,300		198
Molson Coors Brewing, Cl B	500		20
NBTY *	2,500		86
PepsiCo	25,115		1,579
Philip Morris International	64,834		2,861
Prestige Brands Holdings *	2,700		21
Procter & Gamble	73,200		4,472
Reynolds American	7,100		370
Safeway	10,600		235
Sanderson Farms	2,600		143
Sara Lee	87,371		1,238
Smithfield Foods *	2,200		38
Supervalu	72,640		978
Sysco	63,788		1,902
Tyson Foods, Cl A	34,025		598
USANA Health Sciences *	600		22
Walgreen	77,364		2,479
Wal-Mart Stores	43,000		2,174
Whole Foods Market *	1,600		65

			28,065

Energy — 7.1%
Alpha Natural Resources *	833		32


Description	Shares	Market Value ($ Thousands)
Anadarko Petroleum	2,200	$	115
Apache	4,100		367
Atwood Oceanics *	700		19
Baker Hughes	2,761		105
Cabot Oil & Gas	500		17
Cameron International *	1,700		62
Chesapeake Energy	8,500		190
Chevron	75,687		5,591
Cimarex Energy	2,500		184
Concho Resources *	400		21
ConocoPhillips	76,046		3,944
Continental Resources *	600		28
Devon Energy	5,900		377
Diamond Offshore Drilling	700		44
Dresser-Rand Group *	600		19
El Paso	4,400		50
EOG Resources	11,500		1,206
Exxon Mobil	100,300		6,064
FMC Technologies *	500		29
Frontline	400		13
Halliburton	17,400		432
Hess	13,100		697
Marathon Oil	35,914		1,117
Mariner Energy *	482		10
Massey Energy	1,200		40
Murphy Oil	34,981		1,867
Nabors Industries *	300		6
National Oilwell Varco	2,089		80
Newfield Exploration *	200		10
Occidental Petroleum	3,800		313
Oil States International *	7,500		293
Patterson-UTI Energy	600		8
Peabody Energy	2,600		101
Pioneer Natural Resources	900		57
Pride International *	300		7
Range Resources	200		9
Rowan *	400		10
Schlumberger	8,600		483
Smith International	1,167		44
Southern Union	3,700		81
Southwestern Energy *	1,600		60
Spectra Energy	3,000		60
St. Mary Land & Exploration	200		9
Stone Energy *	8,300		111
Tidewater	400		17
Transocean *	3,300		187
Unit *	2,500		102
Whiting Petroleum *	300		25
Williams	9,500		188
XTO Energy	2,985		128

			25,029

Financials — 11.9%
Aflac	28,700		1,271
Alexandria Real Estate Equities ‡	1,200		79
Allied World Assurance Holdings	3,400		153
Allstate	10,800		331
Alterra Capital Holdings	300		6
American Equity Investment Life Holding	1,500		14
American Express	55,598		2,217
American Financial Group	10,900		304


Description	Shares	Market Value ($ Thousands)
American International Group *	800	$	28
AmeriCredit *	3,300		71
Ameriprise Financial	5,100		203
Annaly Capital Management ‡	25,400		431
Apartment Investment &
Management, CI A ‡	1,800		37
Arch Capital Group *	400		29
Assurant	9,000		312
AvalonBay Communities ‡	103		10
Bank of America	137,454		2,164
Bank of Hawaii	1,500		72
Bank of New York Mellon	33,050		899
BB&T	2,600		79
BlackRock, CI A	700		118
Boston Properties ‡	300		23
Brandywine Realty Trust ‡	13,300		154
BRE Properties ‡	600		24
Camden Property Trust ‡	800		36
Capital One Financial	26,700		1,103
Cathay General Bancorp	7,800		86
CB Richard Ellis Group, CI A *	900		14
Charles Schwab	600		10
Chimera Investment ‡	136,047		536
Chubb	16,800		844
Citigroup *	281,238		1,114
City National	200		11
CME Group, CI A	3,300		1,045
Colony Financial ‡	1,200		22
Comerica	3,100		118
Commerce Bancshares	1,000		37
Compass Diversified Holdings	700		10
Credicorp	6,700		592
Digital Realty Trust ‡	200		11
Discover Financial Services	9,400		127
Douglas Emmett ‡	2,500		39
Eaton Vance	100		3
Endurance Specialty Holdings	10,500		390
Equity Residential ‡	400		18
Essex Property Trust ‡	100		10
Everest Re Group	200		15
Federated Investors, CI B	2,412		54
Fifth Third Bancorp	11,400		148
First American	1,600		55
First Citizens BancShares, CI A	200		40
First Commonwealth Financial	5,500		29
First Community Bancshares	800		13
Flagstone Reinsurance Holdings	1,900		23
Franklin Resources	16,486		1,617
Fulton Financial	14,000		139
Genworth Financial, CI A*	7,400		115
Goldman Sachs Group	20,213		2,916
Hanover Insurance Group	700		31
Hartford Financial Services Group	200		5
HCP *	500		16
	600		26
Hospitality Properties Trust ‡	1,100		25
Host Hotels & Resorts ‡	826		12
HRPT Properties Trust ‡	10,100		68
Hudson City Bancorp	50,100		632
Huntington Bancshares	13,200		81
IntercontinentalExchange *	9,100		1,057
Invesco	1,100		20
Invesco Mortgage Capital ‡	3,100		64


Description	Shares	Market Value ($ Thousands)
Jefferies Group	1,700	$	40
Jones Lang LaSalle	7,600		567
JPMorgan Chase	76,789		3,039
Keycorp	1,600		13
Lazard, CI A	1,400		44
Legg Mason	100		3
Liberty Property Trust ‡	800		25
Lincoln National	500		13
Loews	7,800		254
M&T Bank	14,144		1,121
Macerich ‡	313		13
Mack-Cali Realty ‡	100		3
Marsh & McLennan	1,300		28
Marshall & Ilsley	2,200		18
MetLife	700		28
MFA Mortgage Investments ‡	18,400		135
Montpelier Re Holdings	6,400		100
Moody’s	7,624		156
Morgan Stanley	11,700		317
MSCI, CI A *	2,900		86
Nationwide Health Properties ‡	1,000		35
Nelnet, CI A	1,500		30
New York Community Bancorp	63,984		1,027
NewStar Financial *	1,000		7
NYSE Euronext	35,000		1,003
Parkway Properties ‡	2,000		34
PHH *	6,200		137
Phoenix *	3,600		10
Piper Jaffray *	400		13
PNC Financial Services Group	4,033		253
Presidential Life	2,000		21
Principal Financial Group	600		16
ProAssurance *	7,500		442
Progressive	600		12
Prosperity Bancshares	1,200		43
Protective Life	2,000		43
Prudential Financial	7,625		440
Public Storage ‡	200		18
Raymond James Financial	2,200		62
Regions Financial	12,350		94
RenaissanceRe Holdings	6,100		330
Resource Capital ‡	18,600		104
SCBT Financial	200		7
Senior Housing Properties Trust ‡	1,200		25
Simon Property Group ‡	717		61
SL Green Realty ‡	1,200		75
SLM *	21,900		243
StanCorp Financial Group	1,400		60
State Street	15,800		603
Stewart Information Services	3,800		40
SunTrust Banks	2,300		62
T. Rowe Price Group	14,500		718
Taubman Centers ‡	700		28
TD Ameritrade Holding *	1,200		21
Torchmark	200		10
Transatlantic Holdings	900		42
Travelers	21,900		1,083
Trustco Bank	4,500		28
UDR ‡	4,700		96
United America Indemnity, Cl A *	1,100		9
Unitrin	1,700		45
US Bancorp	29,908		717
Ventas ‡	700		33


Description	Shares	Market Value ($ Thousands)
Vornado Realty Trust ‡	500	$	39
Waddell & Reed Financial, CI A	500		13
Washington Federal	3,500		60
Webster Financial	1,300		25
Wells Fargo	169,223		4,855
WesBanco	1,200		23
White Mountains Insurance Group	300		98
World Acceptance *	1,800		64
XL Capital, CI A	9,500		167
Zions Bancorporation	2,500		60

			41,993

Health Care — 11.2%
Abbott Laboratories	10,000		476
Aetna	40,500		1,181
Alexion Pharmaceuticals *	1,200		60
Allergan	31,900		1,920
Allscripts-Misys Healthcare Solutions *	9,400		177
AmerisourceBergen	45,238		1,415
Amgen *	61,513		3,185
Amylin Pharmaceuticals *	3,000		50
Baxter International	1,500		63
Beckman Coulter	1,500		86
Becton Dickinson	5,200		371
Biogen Idec *	10,100		479
BioMarin Pharmaceutical *	1,200		24
Bio-Rad Laboratories, CI A *	500		47
Boston Scientific *	2,300		14
Bristol-Myers Squibb	31,100		722
Bruker *	5,300		67
C.R. Bard	400		32
Cardinal Health	54,603		1,883
CareFusion *	2,300		59
Celgene *	3,400		179
Cephalon *	6,625		390
Cerner *	1,400		117
Charles River Laboratories International *	2,200		74
CIGNA	6,500		218
Community Health Systems *	700		27
Cooper	400		15
Covance *	2,500		132
Coventry Health Care *	5,700		118
DaVita *	1,200		76
Dendreon *	1,200		52
Dentsply International	300		10
Edwards Lifesciences *	1,400		71
Eli Lilly	2,700		88
Endo Pharmaceuticals Holdings *	500		10
Express Scripts *	1,200		121
Forest Laboratories *	4,800		124
Genzyme *	18,950		922
Gilead Sciences *	33,500		1,203
Health Net *	25,700		633
Henry Schein *	400		23
Hill-Rom Holdings	2,500		70
Hospira *	3,500		182
Humana *	11,500		530
Idexx Laboratories *	3,100		196
Impax Laboratories *	2,000		42
Intuitive Surgical *	1,800		581


Description	Shares	Market Value ($ Thousands)
Invacare	1,900	$	45
Inverness Medical Innovations *	2,100		73
Johnson & Johnson	85,190		4,967
Kinetic Concepts *	2,100		87
King Pharmaceuticals *	9,800		85
Laboratory Corp of America Holdings *	800		60
Life Technologies *	3,700		185
Lincare Holdings	2,300		108
McKesson	30,785		2,155
Medco Health Solutions *	30,900		1,781
Mednax *	1,600		90
Medtronic	40,075		1,570
Merck	34,163		1,151
Mettler Toledo International *	1,100		126
Millipore *	297		31
Mylan Laboratories *	3,900		76
Novo Nordisk ADR	13,400		1,029
OSI Pharmaceuticals *	311		18
Par Pharmaceutical *	3,800		105
Patterson	2,600		77
PerkinElmer	3,200		73
Perrigo	2,100		125
Pfizer	99,595		1,517
Quest Diagnostics	1,300		69
Quidel *	600		7
ResMed *	400		25
Somanetics *	400		7
Stryker	2,200		117
Teleflex	1,100		62
Tenet Healthcare *	15,500		89
Thermo Fisher Scientific *	8,900		463
United Therapeutics *	1,800		92
UnitedHealth Group	85,300		2,480
Universal Health Services, CI B	900		38
ValeantPharmaceuticals International *	2,300		107
Varian Medical Systems *	1,200		60
Vertex Pharmaceuticals *	1,100		38
Waters *	1,400		96
Watson Pharmaceuticals *	200		9
WellPoint *	27,562		1,414
West Pharmaceutical Services	300		12
Zimmer Holdings *	1,700		95

			39,329
Industrials — 7.1%
3M	12,700		1,007
Alexander & Baldwin	1,300		42
Alliant Techsystems *	1,400		96
ArvinMeritor *	1,600		23
Avery Dennison	2,700		92
BE Aerospace *	900		24
Boeing	3,897		250
Bucyrus International, CI A	800		43
C.H. Robinson Worldwide	200		12
Carlisle	9,200		358
Caterpillar	3,300		200
Continental Airlines, Cl B *	1,950		41
Con-way	700		24
Copa Holdings, Cl A	1,000		51
Corrections of America *	4,000		80
Crane	4,800		156


Description	Shares	Market Value ($ Thousands)
CSX	4,900	$	256
Cummins	100		7
Deere	2,400		138
Delta Air Lines *	56,403		766
Dover	4,100		184
Eaton	5,700		399
Emerson Electric	200		9
Ennis	1,700		30
Expeditors International Washington	26,800		1,024
FedEx	7,000		584
Flowserve	300		28
Fluor	10,773		505
Gardner Denver	8,600		392
General Dynamics	16,710		1,135
General Electric	119,100		1,947
Goodrich	6,400		444
Graco	400		13
Honeywell International	1,100		47
Hubbell, Cl B	4,861		207
IDEX	3,300		101
Illinois Tool Works	5,100		237
ITT	3,500		169
Joy Global	2,500		127
Kansas City Southern *	4,700		179
KBR	24,300		534
Kennametal	2,200		62
L-3 Communications Holdings, Cl 3	9,300		769
Lennox International	1,000		45
Lockheed Martin	17,859		1,427
Manitowoc	1,100		13
Manpower	1,500		68
Masco	700		9
NACCO Industries, CI A	400		34
Norfolk Southern	2,500		141
Northrop Grumman	18,300		1,107
Oshkosh Truck *	22,200		789
Owens Corning *	24,068		802
Pall	300		10
Parker Hannifin	5,300		326
Polypore International *	900		18
Precision Castparts	1,300		152
Quanta Services *	13,200		274
Raytheon	16,500		865
Republic Services, CI A	41,264		1,202
Rockwell Automation	6,600		353
Rockwell Collins	1,800		105
RR Donnelley & Sons	16,600		318
Ryder System	8,600		387
Snap-On	300		13
Southwest Airlines	13,200		164
Spirit Aerosystems Holdings, ClA *	1,900		37
Textron	3,500		72
Thomas & Betts *	200		8
Timken	300		8
Toro	2,200		118
Towers Watson, Cl A	2,500		115
TransDigm Group	1,200		63
Tyco International	12,390		449
Union Pacific	9,400		672
United Parcel Service, Cl B	4,800		301


Description	Shares	Market Value ($ Thousands)
United Technologies	15,550	$	1,048
Valmont Industries	100		8
Verisk Analytics, CI A *	500		15
WABCO Holdings *	6,700		204
Waste Connections *	1,400		49
Waste Management	6,551		213
WW Grainger	3,700		377

			25,171

Information Technology — 18.3%
Activision Blizzard	13,900		150
Adobe Systems *	25,200		808
Advanced Micro Devices *	4,000		34
Agilent Technologies *	8,400		272
Alliance Data Systems *	1,000		71
Altera	1,800		42
Amdocs *	1,300		37
Amphenol, CI A	400		17
Analog Devices	3,500		102
Ansys *	1,700		74
AOL *	2,193		45
Apple *	17,964		4,620
Autodesk *	9,200		269
Automatic Data Processing	400		16
Avnet *	18,300		525
AVX	1,500		21
BMC Software *	200		7
Brightpoint *	3,800		28
Broadcom, CI A	8,500		293
Broadridge Financial Solutions	200		4
Brocade Communications Systems *	3,700		20
CA	28,928		586
Cisco Systems *	115,900		2,684
Citrix Systems *	1,500		65
Cognizant Technology Solutions, CI A *	4,800		240
Computer Sciences	17,691		884
Corning	9,500		166
Cree *	2,000		133
Dell *	75,882		1,011
Diebold	1,200		35
eBay *	37,500		803
EMC *	66,200		1,233
Equinix *	300		27
F5 Networks *	2,600		183
Factset Research Systems	800		55
Fairchild Semiconductor International, CI A *	3,000		30
Fidelity National Information Services	5,759		158
Fiserv *	200		10
Flextronics International *	67,700		444
FLIR Systems *	2,100		60
Global Payments	2,300		97
Google, CI A *	7,812		3,790
Harris	15,500		727
Hewlett-Packard	60,316		2,775
IAC *	2,600		61
Ingram Micro, Cl A *	38,241		648
Intel	128,300		2,748
International Business Machines	51,446		6,444
Intersil, Cl A	3,700		49


Description	Shares	Market Value ($ Thousands)
Intuit *	36,900	$	1,319
Jabil Circuit	63,889		875
JDS Uniphase *	1,200		14
Juniper Networks *	9,500		253
Kla-Tencor	1,700		52
Lam Research *	3,500		133
Lender Processing Services	7,162		243
Lexmark International, Cl A *	9,800		368
Linear Technology	2,700		76
Loral Space & Communications *	400		16
LSI *	2,100		11
Marvell Technology Group *	22,500		427
Mastercard, Cl A	5,400		1,090
Maxim Integrated Products	2,400		43
McAfee *	3,000		95
Microchip Technology	1,600		45
Micron Technology *	80,308		730
Micros Systems *	100		4
Microsoft	275,427		7,106
Molex	800		17
Monster Worldwide *	400		6
Motorola *	17,500		120
National Instruments	2,300		74
National Semiconductor	5,100		72
NCR *	1,200		16
NetApp *	5,900		222
NeuStar, Cl A *	16,900		362
Nokia ADR	18,800		190
Novellus Systems *	1,700		44
Nuance Communications *	15,400		262
Nvidia *	600		8
ON Semiconductor *	1,100		8
Oracle	29,800		673
Paychex	10,900		311
PMC—Sierra *	10,900		88
QLogic *	20,200		366
Qualcomm	63,725		2,266
Rackspace Hosting *	16,700		294
Rambus *	2,600		61
Red Hat *	11,200		328
Research In Motion *	6,800		413
Rovi *	2,800		105
Salesforce.com *	1,300		113
SanDisk *	700		33
Seagate Technology *	30,883		474
Silicon Laboratories *	700		32
Sybase *	393		25
Symantec *	86,900		1,231
Tech Data *	2,931		119
Tellabs	600		5
Teradata *	31,400		1,003
Texas Instruments	136,008		3,321
Total System Services	3,800		55
Trimble Navigation *	600		17
Tyco Electronics	9,600		277
Varian Semiconductor Equipment Associates *	100		3
VeriSign *	39,600		1,105
Visa, Cl A	30,400		2,203
Vishay Intertechnology *	7,800		71
VMware, Cl A *	500		33
WebMD Health, Cl A *	2,188		100
Western Digital *	19,900		693


Description	Shares	Market Value ($ Thousands)
Western Union	10,600	$	169
Xerox	7,435		69
Xilinx	600		15
Yahoo! *	30,900		474
Zebra Technologies, Cl A *	1,800		50

			64,497

Materials — 2.7%
Air Products & Chemicals	2,500		173
Airgas	440		27
Albemarle	300		13
Alcoa	26,000		303
Allegheny Technologies	300		17
Aptargroup	6,600		263
Ashland	1,800		96
Ball	1,400		69
Boise *	4,500		28
Cabot	12,000		336
Celanese, Cl A	8,200		235
CF Industries Holdings	285		20
Cliffs Natural Resources	500		28
Compass Minerals International	200		15
Crown Holdings *	600		14
Cytec Industries	6,600		282
Dow Chemical	7,358		198
E.I. Du Pont de Nemours	40,355		1,460
Eastman Chemical	6,000		362
Freeport-McMoRan Copper & Gold, Cl B	6,100		427
H.B. Fuller	700		15
Huntsman	87,252		871
International Flavors & Fragrances	400		18
International Paper	2,800		65
Lubrizol	10,300		912
MeadWestvaco	6,900		165
Monsanto	4,400		224
Mosaic	2,100		97
Nalco Holding	18,800		426
Newmont Mining	1,248		67
Owens-Illinois *	800		24
Packaging of America	1,200		27
PPG Industries	3,000		192
Rock-Tenn, Cl A	1,600		82
RPM International	3,400		67
Schnitzer Steel Industries, Cl A	3,000		150
Sealed Air	600		13
Solutia *	1,500		23
Southern Copper	31,100		917
Spartech *	1,500		20
Syngenta ADR	14,400		635
Temple-Inland	1,200		25
Valspar	100		3
Walter Industries	2,200		174

			9,578

Telecommunication Services — 2.5%
American Tower, Cl A *	300		12
AT&T	152,913		3,716
BCE	9,700		283
CenturyLink	6,273		215
Crown Castle International *	35,000		1,296


`Description	Shares	Market Value ($ Thousands)
Frontier Communications	2,000	$	16
NII Holdings *	34,907		1,273
Qwest Communications International	10,329		54
Rogers Communications, Cl B	7,900		269
SBA Communications, Cl A *	500		17
Sprint Nextel *	141,561		726
tw telecom , Cl A *	100		2
Verizon Communications	38,400		1,057
Windstream	1,100		12

			8,948

Utilities — 2.4%
AES *	146,131		1,501
Allegheny Energy	1,715		35
Alliant Energy	1,600		51
Ameren	1,900		47
American Electric Power	1,400		45
American Water Works	6,800		138
Aqua America	4,700		82
Calpine *	1,700		23
Centerpoint Energy	6,100		83
Chesapeake Utilities	300		9
Consolidated Edison	300		13
Constellation Energy Group	14,276		505
Dominion Resources	300		12
DPL	2,700		68
DTE Energy	3,100		141
Duke Energy	1,500		24
Edison International	25,800		835
Energen	9,000		398
Entergy	600		45
Equities	1,200		47
Exelon	45,064		1,739
FirstEnergy	2,900		102
FPL Group	500		25
Great Plains Energy	2,600		46
Hawaiian Electric Industries	1,900		42
Integrys Energy Group	2,600		118
MDU Resources Group	1,200		22
Mirant *	35,984		447
National Fuel Gas	2,500		122
NiSource	4,100		61
Northeast Utilities	600		15
NRG Energy *	1,300		31
NV Energy	24,700		291
OGE Energy	2,100		76
Oneok	2,700		120
Pepco Holdings	5,200		84
PG&E	4,300		178
Pinnacle West Capital	1,400		49
PPL	400		10
Public Service Enterprise Group	19,200		588
Questar	500		23
Sempra Energy	800		37
TECO Energy	5,500		86
Wisconsin Energy	300		15

			8,429

Total Common Stock (Cost $266,331) ($ Thousands)			283,796


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 12.8%
SEI LIBOR Plus Portfolio†		6,723,909	$	44,983

Total Affiliated Partnership
(Cost $58,111) ($ Thousands)				44,983

CASH EQUIVALENT — 4.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†		15,628,672		15,629

Total Cash Equivalent
(Cost $15,629) ($ Thousands)				15,629

U.S. TREASURY OBLIGATIONS (A) (B) — 2.3%
U.S. Treasury Bills 0.122%, 06/03/10	$	7,698		7,698
0.326%, 02/10/11		300		299

Total U.S. Treasury Obligations
(Cost $7,997) ($ Thousands)				7,997

Total Investments — 100.0%
(Cost $348,068) ($ Thousands)			$	352,405

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 Composite Index	242	Jun-2010	$	(2,097	)
S&P 500 E-Mini	10	Jun-2010		(29	)

			$	(2,126	)

Percentages are based on Net Assets of $352,500 ($ Thousands).

(A)	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.

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.

ADR — American Depositary Receipt

Cl — Class

LIBOR — London Interbank Offered Rate

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 84.2%

Consumer Discretionary — 8.2%
99 Cents Only Stores *	22,500	$	344
Abercrombie & Fitch, Cl A	14,200		509
Amazon.com * (A)	60,300		7,565
Apollo Group, Cl A *	197,380		10,493
AutoNation * (A)	35,900		719
AutoZone * (A)	17,300		3,302
Bed Bath & Beyond * (A)	16,200		727
Best Buy	79,835		3,373
Big Lots *	9,700		343
Cablevision Systems, Cl A	36,058		895
Carnival	20,200		732
CBS, Cl B (A)	719,149		10,471
Cheesecake Factory * (A)	22,500		574
Chico’s FAS (A)	362,400		4,432
Chipotle Mexican Grill, Cl A * (A)	5,600		797
Coach (A)	397,300		16,333
Comcast, Cl A	1,620,752		28,899
Darden Restaurants (A)	360,298		15,457
Deckers Outdoor *	11,500		1,664
DeVry	32,300		1,857
DIRECTV, Cl A *	347,620		13,102
Discovery Communications, Cl A * (A)	43,200		1,627
DISH Network, Cl A	182,785		3,811
Dollar Tree * (A)	37,300		2,334
Eastman Kodak * (A)	179,800		1,014
Education Management * (A)	17,900		378
Expedia (A)	105,300		2,271
Family Dollar Stores (A)	4,600		187
Ford Motor * (A)	3,418,609		40,101
Fossil * (A)	10,100		379
Gannett (A)	228,100		3,545
Gap (A)	208,300		4,541
Goodyear Tire & Rubber *	9,100		108
H&R Block	46,800		752
Harley-Davidson (A)	19,100		577
Harman International Industries *	76,700		2,477
Hasbro (A)	85,558		3,435
Helen of Troy *	7,700		198
Home Depot	655,647		22,200
International Game Technology	17,100		335
J.C. Penney (A)	12,000		330
Johnson Controls	807,468		23,037
Jones Apparel Group	18,200		357
Kohl’s *	28,000		1,421
Las Vegas Sands * (A)	137,536		3,229
Leggett & Platt	208,600		4,856
Lennar, Cl A (A)	32,000		554
Limited Brands (A)	691,370		17,187
LKQ *	37,800		696
Lowe’s	110,200		2,727
Macy’s	558,650		12,408
Marriott International, Cl A (A)	15,219		509
Mattel	167,000		3,617
McDonald’s	354,992		23,738
McGraw-Hill (A)	152,900		4,251
New York Times, Cl A * (A)	93,700		869
Newell Rubbermaid (A)	589,900		9,828
News, Cl A	734,000		9,689
NIKE, Cl B (A)	47,000		3,402


Description	Shares	Market Value ($ Thousands)
Nordstrom (A)	16,426	$	652
NVR * (A)	10,135		6,945
Office Depot *	37,300		216
Omnicom Group	44,300		1,681
PetSmart	42,747		1,358
Polo Ralph Lauren, Cl A (A)	50,200		4,360
priceline.com * (A)	19,900		3,804
RadioShack (A)	50,400		1,030
Ross Stores (A)	86,700		4,543
Royal Caribbean Cruises * (A)	295,660		8,574
Scholastic	7,700		201
Scripps Networks Interactive, Cl A (A)	74,200		3,352
Sears Holdings * (A)	10,300		907
Stanley Black & Decker (A)	26,860		1,499
Staples	8,200		177
Starbucks (A)	645,340		16,708
Starwood Hotels & Resorts Worldwide	13,200		610
Target	393,362		21,450
Tempur-Pedic International * (A)	123,600		4,104
Thor Industries (A)	23,600		688
Tiffany (A)	64,400		2,926
Time Warner (A)	1,354,150		41,965
Time Warner Cable, Cl A (A)	457,872		25,059
TJX	304,900		13,861
TRW Automotive Holdings *	116,400		3,502
Tupperware Brands	25,500		1,083
Ulta Salon Cosmetics & Fragrance *	17,300		443
Universal Technical Institute *	11,000		270
Urban Outfitters * (A)	76,500		2,777
VF (A)	49,200		3,806
Viacom, Cl B	993,208		33,382
Walt Disney	557,250		18,623
Washington Post, Cl B	1,200		559
Whirlpool (A)	47,200		4,930
Wyndham Worldwide	65,700		1,551
Wynn Resorts (A)	1,600		134

			573,293

Consumer Staples — 9.6%
Altria Group	977,441		19,832
Andersons	5,300		173
Archer-Daniels-Midland	620,796		15,687
Avon Products	87,200		2,310
Brown-Forman, Cl B	5,300		294
Bunge (A)	55,300		2,696
Campbell Soup (A)	32,700		1,171
Coca-Cola	926,633		47,629
Coca-Cola Enterprises	172,000		4,489
Colgate-Palmolive	162,800		12,713
Constellation Brands, Cl A *	108,100		1,801
Costco Wholesale (A)	50,800		2,959
CVS Caremark	473,808		16,408
Dean Foods *	327,600		3,489
Dole Food * (A)	43,900		402
Dr. Pepper Snapple Group	279,190		10,570
Energizer Holdings * (A)	79,700		4,479
Estee Lauder, Cl A	44,600		2,599
General Mills	250,771		17,862
Hershey	3,900		183
HJ Heinz (A)	50,400		2,227


Description	Shares	Market Value ($ Thousands)
Hormel Foods	18,100	$	720
JM Smucker	54,300		2,998
Kellogg	52,000		2,778
Kimberly-Clark	585,508		35,540
Kraft Foods, Cl A	145,383		4,158
Kroger	315,060		6,342
Lorillard	66,020		4,720
McCormick	7,900		305
Mead Johnson Nutrition, Cl A	79,500		3,921
Medifast * (A)	39,500		1,239
Molson Coors Brewing, Cl B	10,400		427
Nu Skin Enterprises, Cl A	40,200		1,156
PepsiCo	670,081		42,142
Philip Morris International	1,414,864		62,424
Procter & Gamble	1,373,110		83,883
Ralcorp Holdings *	56,000		3,364
Reynolds American (A)	214,700		11,194
Sanderson Farms (A)	41,700		2,287
Sara Lee (A)	1,900,477		26,930
Smithfield Foods *	21,500		371
Supervalu (A)	1,553,377		20,924
Sysco	866,432		25,828
Tyson Foods, Cl A (A)	1,396,854		24,557
Walgreen	989,061		31,690
Wal-Mart Stores	1,922,558		97,205
Whole Foods Market * (A)	41,400		1,674

			668,750

Energy — 9.6%
Anadarko Petroleum	142,700		7,468
Apache (A)	227,552		20,375
Baker Hughes (A)	293,685		11,201
Cabot Oil & Gas (A)	17,100		593
Cal Dive International *	61,000		337
Cameron International *	65,300		2,364
Chesapeake Energy (A)	318,900		7,124
Chevron	1,891,023		139,690
ConocoPhillips	1,403,847		72,804
Devon Energy	329,900		21,064
Diamond Offshore Drilling (A)	19,700		1,243
El Paso	53,400		606
EOG Resources (A)	15,000		1,573
Exxon Mobil (A)	3,251,158		196,565
FMC Technologies * (A)	21,900		1,273
Halliburton (A)	660,943		16,411
Helmerich & Payne (A)	43,400		1,635
Hess	413,178		21,981
Marathon Oil	805,522		25,044
Massey Energy (A)	35,300		1,169
Murphy Oil (A)	373,175		19,920
Nabors Industries * (A)	19,200		365
National Oilwell Varco	422,595		16,114
Noble Energy	52,200		3,105
Occidental Petroleum	322,298		26,593
Peabody Energy	39,200		1,527
Pioneer Natural Resources (A)	34,100		2,172
Range Resources	5,900		265
Rowan * (A)	18,000		446
Schlumberger (A)	347,268		19,499
Smith International	49,664		1,865
Spectra Energy	61,300		1,227
Stone Energy * (A)	50,800		681
Transocean *	34,800		1,976


Description	Shares	Market Value ($ Thousands)
Unit * (A)	43,700	$	1,787
Williams	666,097		13,155
XTO Energy	164,552		7,033

			668,250

Financials — 13.6%
ACE	124,700		6,130
Affiliated Managers Group * (A)	49,293		3,532
Aflac	185,200		8,204
Allied World Assurance Holdings	43,100		1,936
Allstate	252,894		7,746
Alterra Capital Holdings	7,300		136
American Express	1,187,264		47,336
American International Group * (A)	28,300		1,001
Ameriprise Financial (A)	142,836		5,684
Annaly Capital Management ‡ (A)	825,248		13,996
AON	84,700		3,343
Apartment Investment & Management, Cl A ‡ (A)	40,600		838
Assurant	141,000		4,893
AvalonBay Communities ‡ (A)	7,300		716
Bank of America	6,271,682		98,716
Bank of New York Mellon	806,712		21,943
BB&T (A)	56,800		1,718
Berkshire Hathaway, Cl B *	342,804		24,185
Boston Properties ‡ (A)	26,500		2,032
Capital One Financial (A)	181,900		7,513
CB Richard Ellis Group, Cl A * (A)	64,900		1,027
Charles Schwab (A)	17,100		279
Chimera Investment ‡ (A)	2,627,109		10,351
Chubb (A)	97,680		4,907
Citigroup * (A)	7,164,406		28,371
CME Group, Cl A	11,900		3,768
Comerica	89,500		3,410
Discover Financial Services	240,100		3,229
Equity Residential ‡	20,300		916
Everest Re Group	182,576		13,270
Federated Investors, Cl B (A)	91,026		2,022
Fifth Third Bancorp	571,027		7,418
Franklin Resources (A)	353,978		34,722
Fulton Financial	33,200		330
Genworth Financial, Cl A *	196,900		3,070
Goldman Sachs Group	490,601		70,774
Hartford Financial Services Group	32,064		804
HCP ‡ (A)	30,400		969
Health Care REIT ‡	7,600		327
Host Hotels & Resorts ‡ (A)	57,962		826
Hudson City Bancorp	241,400		3,044
Huntington Bancshares (A)	1,105,000		6,807
IntercontinentalExchange *	6,400		743
Invesco	49,700		922
JPMorgan Chase	2,745,164		108,654
Keycorp (A)	684,000		5,486
Legg Mason (A)	7,100		211
Leucadia National *	13,000		285
Lincoln National	223,500		5,914
Loews (A)	126,600		4,116
M&T Bank (A)	151,165		11,978
Marsh & McLennan	34,800		759
Marshall & Ilsley	156,300		1,274
Medical Properties Trust ‡	15,800		151
MetLife	737,986		29,881


Description	Shares	Market Value ($ Thousands)
MFA Mortgage Investments ‡ (A)	496,600	$	3,640
Montpelier Re Holdings	9,200		143
Moody’s (A)	577,154		11,832
Morgan Stanley	391,716		10,619
New York Community Bancorp (A)	1,057,626		16,975
NYSE Euronext (A)	414,855		11,894
PartnerRe	43,246		3,155
PHH * (A)	96,500		2,128
Platinum Underwriters Holdings	16,100		593
PNC Financial Services Group	520,612		32,668
Principal Financial Group (A)	34,200		930
Progressive	17,300		339
ProLogis ‡ (A)	23,700		270
Prosperity Bancshares	16,800		605
Prudential Financial	354,421		20,454
Public Storage ‡ (A)	3,300		306
Regions Financial (A)	737,500		5,627
RenaissanceRe Holdings (A)	66,900		3,616
Resource Capital ‡	80,700		453
Simon Property Group ‡ (A)	49,989		4,251
SLM *	607,400		6,748
State Street	64,400		2,458
SunTrust Banks (A)	83,400		2,248
T. Rowe Price Group (A)	40,128		1,987
Torchmark	8,500		438
Travelers (A)	564,972		27,949
Unitrin	6,500		173
Unum Group	65,400		1,511
US Bancorp (A)	1,000,644		23,975
Ventas ‡ (A)	32,300		1,516
Vornado Realty Trust ‡ (A)	49,541		3,848
Wells Fargo	3,470,846		99,579
White Mountains Insurance Group	1,939		634
Willis Group Holdings	93,200		2,854
XL Capital, Cl A (A)	434,600		7,653
Zions Bancorporation (A)	115,500		2,766

			949,448

Health Care — 10.6%
Abbott Laboratories	626,229		29,783
Aetna	147,200		4,292
Allergan	155,500		9,360
Allscripts-Misys Healthcare Solutions * (A)	21,800		410
AmerisourceBergen (A)	760,258		23,781
Amgen *	1,096,084		56,755
Baxter International	151,500		6,398
Becton Dickinson	169,637		12,095
Biogen Idec *	140,199		6,650
Boston Scientific * (A)	82,500		499
Bristol-Myers Squibb	904,547		20,995
Bruker *	39,900		508
C.R. Bard	14,200		1,150
Cardinal Health	653,706		22,546
CareFusion *	67,000		1,703
Celgene *	188,400		9,940
Cephalon * (A)	135,858		7,997
Cerner * (A)	18,500		1,549
CIGNA	147,500		4,937
Coventry Health Care * (A)	198,500		4,109
Covidien	94,100		3,989


Description	Shares	Market Value ($ Thousands)
DaVita *	29,800	$	1,890
Dentsply International (A)	9,100		295
Eli Lilly (A)	436,676		14,319
Express Scripts *	43,300		4,356
Forest Laboratories *	49,600		1,284
Gilead Sciences *	200,600		7,205
Health Net *	19,600		483
Hill-Rom Holdings	73,307		2,044
Hospira *	74,200		3,863
Humana *	77,800		3,583
Idexx Laboratories * (A)	17,400		1,100
Impax Laboratories *	14,900		314
Intuitive Surgical * (A)	41,800		13,492
Invacare (A)	23,500		561
Johnson & Johnson	1,872,488		109,166
King Pharmaceuticals * (A)	271,100		2,350
Laboratory Corp of America Holdings * (A)	5,700		431
Life Technologies * (A)	146,700		7,344
Lincare Holdings (A)	212,530		9,951
McKesson (A)	585,903		41,013
Medco Health Solutions *	303,948		17,523
Medtronic	936,832		36,705
Merck	1,068,677		36,004
Millipore *	9,068		963
Mylan Laboratories * (A)	92,100		1,790
Par Pharmaceutical *	57,500		1,596
Patterson	55,300		1,643
PerkinElmer	101,900		2,312
Pfizer	5,095,311		77,602
Quest Diagnostics	5,900		311
Stryker (A)	23,300		1,236
Talecris Biotherapeutics Holdings *	190,000		3,150
Tenet Healthcare *	431,700		2,469
Thermo Fisher Scientific *	313,117		16,301
UnitedHealth Group	644,500		18,736
Varian Medical Systems *	24,300		1,217
Waters *	79,843		5,464
Watson Pharmaceuticals *	35,900		1,585
WellPoint *	1,005,893		51,602
Zimmer Holdings *	43,300		2,422

			735,121

Industrials — 8.7%
3M	464,992		36,878
Alaska Air Group *	5,400		252
Avery Dennison	63,700		2,177
Boeing (A)	139,118		8,929
Caterpillar (A)	140,728		8,551
Crane	7,500		244
CSX	112,700		5,889
Cummins	6,040		411
Deere	96,400		5,560
Delta Air Lines * (A)	734,507		9,975
Dover (A)	133,200		5,979
Eaton (A)	119,900		8,387
Emerson Electric (A)	205,030		9,522
FedEx (A)	138,222		11,540
Flowserve	46,700		4,441
Fluor (A)	209,626		9,836
Foster Wheeler *	200,400		4,811
General Dynamics	599,255		40,689


Description	Shares	Market Value ($ Thousands)
General Electric	5,419,488	$	88,609
Goodrich	58,200		4,039
Honeywell International	191,953		8,210
Hubbell, Cl B	15,423		658
IDEX (A)	25,000		763
Illinois Tool Works	16,700		775
ITT	78,700		3,800
Joy Global	43,523		2,220
Kansas City Southern * (A)	19,300		737
Kennametal	18,000		508
L-3 Communications Holdings, Cl 3	40,800		3,371
Lennox International	6,300		282
Lockheed Martin	583,492		46,633
Masco	32,800		438
Norfolk Southern	62,700		3,540
Northrop Grumman	401,399		24,281
Oshkosh Truck *	111,700		3,969
Owens Corning * (A)	243,592		8,119
Paccar (A)	6,369		261
Pall	8,800		300
Parker Hannifin	114,600		7,043
Pitney Bowes	357,460		8,093
Precision Castparts	19,300		2,252
Raytheon	309,700		16,231
Republic Services, Cl A	890,305		25,926
Rockwell Automation (A)	209,810		11,210
Rockwell Collins	23,400		1,365
Roper Industries (A)	27,500		1,595
RR Donnelley & Sons	159,700		3,060
Ryder System	16,900		759
Snap-On	7,500		331
Southwest Airlines	264,200		3,287
SPX (A)	45,800		2,707
Textron (A)	106,200		2,195
Toro (A)	13,900		743
UAL * (A)	245,652		4,915
Union Pacific	167,945		11,996
United Parcel Service, Cl B	564,342		35,418
United Technologies	987,722		66,553
WABCO Holdings *	34,300		1,043
Waste Management	123,927		4,029
WESCO International * (A)	127,585		4,772
WW Grainger (A)	119,400		12,149

			603,256

Information Technology — 15.4%
Activision Blizzard (A)	840,773		9,038
Adobe Systems *	416,647		13,366
Advanced Micro Devices * (A)	425,621		3,648
Agilent Technologies * (A)	175,900		5,692
Akamai Technologies * (A)	329,292		13,080
Altera (A)	78,400		1,848
Amphenol, Cl A	16,900		717
Analog Devices (A)	128,400		3,745
Apple *	375,328		96,519
Applied Materials	3,200		41
Autodesk * (A)	33,100		969
Automatic Data Processing	12,053		493
Avnet *	28,700		824
BMC Software *	124,600		4,612
Broadcom, Cl A (A)	233,800		8,071
CA	395,626		8,011


Description	Shares	Market Value ($ Thousands)
Cisco Systems *	2,353,994	$	54,518
Citrix Systems *	29,200		1,273
Cognizant Technology Solutions, Cl A *	90,500		4,529
Computer Sciences	242,130		12,104
Corning	423,500		7,382
Dell *	2,012,994		26,833
Dolby Laboratories, Cl A *	9,800		647
eBay *	353,200		7,562
Electronic Arts *	22,400		370
EMC *	904,500		16,842
Fidelity National Information Services	79,700		2,193
Fiserv *	5,300		252
FLIR Systems *	35,000		997
Google, Cl A *	177,710		86,221
Harris	78,429		3,679
Hewlett-Packard	1,549,342		71,285
IAC *	75,300		1,766
Ingram Micro, Cl A *	623,321		10,572
Intel	3,308,904		70,877
International Business Machines	938,255		117,526
Intersil, Cl A	37,300		496
Intuit *	195,400		6,984
Jabil Circuit	1,254,995		17,181
JDS Uniphase *	38,700		445
Juniper Networks * (A)	220,500		5,870
Kla-Tencor (A)	73,500		2,262
Lender Processing Services	197,690		6,710
Lexmark International, Cl A *	80,500		3,023
Linear Technology (A)	64,200		1,795
LSI *	48,800		260
Marvell Technology Group *	55,700		1,057
Mastercard, Cl A (A)	35,965		7,257
McAfee *	179,100		5,695
Microchip Technology (A)	102,000		2,841
Micron Technology * (A)	1,445,149		13,136
Microsoft	5,012,069		129,311
Molex (A)	18,600		394
Monster Worldwide * (A)	13,500		200
Motorola *	374,790		2,567
National Instruments	5,000		161
National Semiconductor (A)	120,200		1,689
NetApp *	130,600		4,921
Novell *	68,500		399
Novellus Systems * (A)	76,700		1,980
Nvidia * (A)	54,650		718
Oracle	1,719,529		38,810
Paychex	24,400		696
QLogic *	35,500		643
Qualcomm	332,300		11,817
Red Hat *	60,400		1,770
SAIC *	12,294		211
Salesforce.com * (A)	29,300		2,535
SanDisk *	24,700		1,152
Seagate Technology * (A)	1,274,416		19,575
Symantec *	515,840		7,310
Tech Data *	87,797		3,569
Tellabs	48,300		435
Teradata *	143,400		4,580
Teradyne * (A)	45,600		501
Texas Instruments (A)	1,789,272		43,694
Total System Services (A)	137,900		2,013


Description	Shares	Market Value ($ Thousands)
Tyco Electronics	135,115	$	3,894
Visa, Cl A	334,526		24,240
Vishay Intertechnology *	36,400		329
Western Digital *	256,700		8,936
Western Union	135,600		2,164
Xerox	531,625		4,949
Xilinx (A)	94,800		2,318
Yahoo! *	38,000		583

			1,072,178

Materials — 3.0%
Air Products & Chemicals (A)	131,200		9,061
Airgas	17,981		1,123
Alcoa (A)	453,500		5,279
Allegheny Technologies	7,900		432
Ashland (A)	28,400		1,522
Ball	171,700		8,456
Boise * (A)	185,100		1,136
Celanese, Cl A	478,924		13,731
CF Industries Holdings	13,300		912
Cliffs Natural Resources	14,700		821
Dow Chemical (A)	1,048,999		28,229
E.I. Du Pont de Nemours (A)	1,049,712		37,968
Eastman Chemical (A)	72,600		4,384
Freeport-McMoRan Copper & Gold, Cl B (A)	329,658		23,093
H.B. Fuller	10,800		230
Huntsman	1,052,257		10,502
International Flavors &
Fragrances	10,300		458
International Paper	43,800		1,018
MeadWestvaco (A)	180,100		4,304
Monsanto	60,120		3,058
Mosaic	57,500		2,655
Nalco Holding (A)	139,100		3,152
NewMarket	7,500		772
Newmont Mining	30,923		1,664
Nucor	79,300		3,414
Owens-Illinois *	309,100		9,375
Pactiv *	162,200		4,636
PPG Industries	132,554		8,493
Praxair (A)	43,100		3,345
Schnitzer Steel Industries, Cl A	30,200		1,511
Sealed Air	31,700		661
Sherwin-Williams	1,800		138
Solutia *	105,400		1,597
Southern Copper (A)	42,300		1,247
United States Steel	219,450		10,360

			208,737

Telecommunication Services — 2.8%
American Tower, Cl A *	8,300		336
AT&T	5,518,434		134,098
CenturyLink (A)	443,257		15,217
Frontier Communications (A)	36,400		289
NII Holdings *	147,654		5,385
Qwest Communications International (A)	312,198		1,636
Sprint Nextel * (A)	787,317		4,039
Verizon Communications	1,215,398		33,448
Windstream	67,413		719

			195,167


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Utilities — 2.7%
AES *		418,378	$	4,297
AGL Resources		11,100		405
Allegheny Energy (A)		52,331		1,071
Ameren		46,400		1,144
American Electric Power		291,900		9,329
American Water Works		55,700		1,133
Centerpoint Energy		85,100		1,159
CMS Energy (A)		6,800		100
Consolidated Edison		10,100		430
Constellation Energy Group (A)		1,019,657		36,075
Dominion Resources		17,300		674
DPL		265,808		6,656
DTE Energy		75,100		3,418
Duke Energy		21,200		338
Edison International		206,400		6,679
Energen		83,983		3,718
Entergy (A)		71,600		5,375
Equities		66,500		2,606
Exelon		956,995		36,940
FirstEnergy (A)		96,037		3,381
FPL Group		34,600		1,728
Integrys Energy Group		65,000		2,939
Nicor		24,300		982
NiSource (A)		550,400		8,234
Northeast Utilities		15,000		389
NRG Energy * (A)		30,800		719
Oneok		65,000		2,891
Pepco Holdings		174,800		2,820
PG&E (A)		494,712		20,531
Pinnacle West Capital		25,000		878
PPL		125,500		3,239
Public Service Enterprise Group		315,206		9,655
Questar (A)		17,100		767
SCANA		6,100		221
Sempra Energy		17,300		796
Southern		9,200		301
TECO Energy (A)		133,900		2,082
Wisconsin Energy		6,200		304
Xcel Energy		43,800		897

				185,301

Total Common Stock
(Cost $5,357,245) ($ Thousands)				5,859,501

AFFILIATED PARTNERSHIPS — 21.7%
SEI Liquidity Fund, L.P. 0.240%**† (B)		775,044,706		766,164
SEI LIBOR Plus Portfolio†		111,582,526		746,487

Total Affiliated Partnerships
(Cost $1,707,198) ($ Thousands)				1,512,651

CASH EQUIVALENT — 4.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†		342,669,118		342,669

Total Cash Equivalent
(Cost $342,669) ($ Thousands)				342,669

U.S. TREASURY OBLIGATIONS (C) (D) — 1.6%
U.S. Treasury Bills 0.118%, 06/03/10	$	98,566		98,565


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
0.180%, 06/10/10	$	4,277	$	4,277
0.139%, 06/17/10		2,150		2,150
0.330%, 02/10/11		3,645		3,639

Total U.S. Treasury Obligations (Cost $108,628) ($ Thousands)				108,631

Total Investments — 112.4% (Cost $7,515,740)($ Thousands)			$	7,823,452

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 Composite Index	3,978	Jun-2010	$	(32,209	)
S&P 500 E-Mini	647	Jun-2010		(1,882	)

			$	(34,091	)

Percentages are based on Net Assets of $6,960,762 ($ Thousands)

(A)	This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $743,579 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan. The total value of such securities on May 31, 2010 was $766,164 ($ Thousands).

(C)	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.

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.

Cl — Class

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 98.9%

Consumer Discretionary — 11.1%
Aaron’s (A)	2,700	$	54
Abercrombie & Fitch, Cl A	4,302		154
Advance Auto Parts (A)	4,408		228
Aeropostale *	4,800		133
Amazon.com *	15,089		1,893
American Eagle Outfitters	8,871		116
Apollo Group, Cl A *	5,464		290
Autoliv	3,918		186
AutoNation * (A)	2,832		57
AutoZone * (A)	1,407		269
Barnes & Noble (A)	1,238		25
Bed Bath & Beyond *	12,415		557
Best Buy	16,047		678
Big Lots *	3,300		117
BorgWarner *	5,382		200
Boyd Gaming * (A)	1,651		22
Brinker International	4,483		80
Burger King Holdings	5,000		95
Cablevision Systems, Cl A	11,442		284
Career Education * (A)	3,259		91
Carmax * (A)	10,360		225
Carnival	20,800		754
CBS, Cl B (A)	29,269		426
Central European Media Enterprises, Cl A * (A)	1,800		45
Chico’s FAS	8,600		105
Chipotle Mexican Grill, Cl A * (A)	1,500		213
Choice Hotels International	1,484		49
Clear Channel Outdoor Holdings, Cl A *	700		6
Coach (A)	15,067		619
Comcast, Cl A	132,125		2,390
CTC Media	1,100		16
Darden Restaurants	6,322		271
DeVry (A)	2,900		167
Dick’s Sporting Goods *	4,258		121
DIRECTV, Cl A *	42,229		1,591
Discovery Communications, Cl C *	13,521		429
DISH Network, Cl A	9,862		206
Dollar General *	2,000		60
Dollar Tree *	4,153		260
DR Horton (A)	12,868		157
DreamWorks Animation SKG, Cl A *	3,434		102
Education Management *	1,500		32
Expedia	8,134		175
Family Dollar Stores (A)	6,462		263
Federal Mogul, Cl A *	1,500		26
Foot Locker	6,869		103
Ford Motor * (A)	151,884		1,782
Fortune Brands	7,320		347
GameStop, Cl A * (A)	7,700		176
Gannett (A)	11,259		175
Gap	22,859		498
Garmin (A)	5,300		178
Gentex	6,132		121
Genuine Parts	7,771		315
Goodyear Tire & Rubber *	11,052		131
Guess? (A)	2,900		110


Description	Shares	Market Value ($ Thousands)
H&R Block	16,425	$	264
Hanesbrands *	4,143		113
Harley-Davidson (A)	10,803		326
Harman International Industries *	3,568		115
Hasbro	5,867		235
Hillenbrand	2,824		69
Home Depot	78,015		2,642
Hyatt Hotels, Cl A * (A)	2,300		93
Interactive Data	1,900		62
International Game Technology	13,643		267
International Speedway, Cl A (A)	1,512		42
Interpublic Group * (A)	22,775		190
ITT Educational Services * (A)	1,621		164
J.C. Penney (A )	10,851		298
Jarden	4,300		125
John Wiley & Sons, Cl A	1,842		73
Johnson Controls	30,445		869
KB Home	3,380		49
Kohl’s *	13,719		696
Lamar Advertising, Cl A *	2,540		75
Las Vegas Sands * (A)	13,793		324
Leggett & Platt	6,119		142
Lennar, Cl A (A)	7,230		125
Liberty Global, Cl A * (A)	12,971		335
Liberty Media—Capital, Ser A *	3,492		147
Liberty Media—Interactive, Cl A *	26,247		340
Liberty Media—Starz *	2,436		127
Limited Brands (A)	11,557		287
LKQ *	7,100		131
Lowe’s	67,510		1,671
Macy’s	18,630		414
Madison Square Garden, Cl A *	2,860		60
Marriott International, Cl A (A)	14,287		478
Mattel	17,342		376
McDonald’s	50,880		3,402
McGraw-Hill	15,039		418
MDC Holdings	1,516		48
Meredith (A)	1,358		46
MGM Mirage * (A)	8,439		105
Mohawk Industries * (A)	2,866		161
Morningstar * (A)	900		44
NetFlix * (A)	1,800		200
New York Times, Cl A * (A)	4,824		45
Newell Rubbermaid (A)	13,065		218
News, Cl A	104,085		1,374
NIKE, Cl B (A)	16,448		1,191
Nordstrom	8,112		322
NVR * (A)	224		154
Office Depot *	14,189		82
Omnicom Group (A)	13,944		529
O’Reilly Automotive * (A)	6,240		318
Panera Bread, Cl A * (A)	1,162		94
Penn National Gaming *	2,989		77
Penske Auto Group *	1,200		16
PetSmart	4,873		155
Phillips-Van Heusen	2,300		126
Polo Ralph Lauren, Cl A (A)	2,680		233
priceline.com * (A)	2,100		402
Pulte Homes * (A)	15,545		173
RadioShack	5,571		114
Regal Entertainment Group, Cl A	4,188		64
Ross Stores	5,771		302
Royal Caribbean Cruises * (A)	5,900		171


Description	Shares	Market Value ($ Thousands)
Scientific Games, Cl A * (A)	2,366	$	24
Scripps Networks Interactive, Cl A	4,072		184
Sears Holdings * (A)	2,328		205
Service International	11,194		96
Signet Jewelers *	3,800		118
Stanley Black & Decker	7,493		418
Staples	33,964		731
Starbucks	33,406		865
Starwood Hotels & Resorts Worldwide	8,684		402
Strayer Education (A)	700		168
Target	34,485		1,881
Thor Industries	1,900		55
Tiffany	6,025		274
Time Warner	54,879		1,701
Time Warner Cable, Cl A	15,984		875
TJX	18,754		853
Toll Brothers * (A)	6,051		128
TRW Automotive Holdings *	2,793		84
Urban Outfitters * (A)	5,920		215
VF (A)	4,317		334
Viacom, Cl B	24,569		826
Virgin Media (A)	13,620		220
Walt Disney	87,172		2,913
Warner Music Group *	662		4
Washington Post, Cl B	257		120
Weight Watchers International (A)	1,662		45
Wendy’s, Cl A	19,400		87
Whirlpool (A)	3,287		343
Williams-Sonoma (A)	4,662		139
WMS Industries * (A)	2,600		120
Wyndham Worldwide	8,668		205
Wynn Resorts	3,096		260
Yum! Brands	20,948		858

			56,232

Consumer Staples — 10.5%
Alberto-Culver, Cl B	3,687		102
Altria Group (A)	94,868		1,925
Archer-Daniels-Midland	29,079		735
Avon Products	20,306		538
BJ’s Wholesale Club *	2,672		107
Brown-Forman, Cl B	4,418		245
Bunge (A)	6,500		317
Campbell Soup (A)	9,578		343
Central European Distribution *	3,100		79
Church & Dwight	3,132		206
Clorox	6,603		415
Coca-Cola	106,820		5,491
Coca-Cola Enterprises	14,215		371
Colgate-Palmolive	22,875		1,786
ConAgra Foods	21,186		512
Constellation Brands, Cl A *	9,131		152
Corn Products International	3,900		130
Costco Wholesale (A)	19,781		1,152
CVS Caremark	62,552		2,166
Dean Foods *	8,087		86
Del Monte Foods	8,458		123
Dr. Pepper Snapple Group	11,300		428
Energizer Holdings *	3,341		188
Estee Lauder, Cl A	5,454		318
Flowers Foods (A)	4,100		101


Description	Shares	Market Value ($ Thousands)
General Mills	14,996	$	1,068
Green Mountain Coffee Roasters * (A)	5,100		121
Hansen Natural *	2,700		105
Herbalife	3,000		135
Hershey	7,498		351
HJ Heinz (A)	14,837		656
Hormel Foods	3,339		133
JM Smucker	5,711		315
Kellogg	12,103		647
Kimberly-Clark	18,918		1,148
Kraft Foods, Cl A	79,415		2,271
Kroger	31,073		626
Lorillard	7,250		518
McCormick	5,593		216
Mead Johnson Nutrition, Cl A	9,586		473
Molson Coors Brewing, Cl B	6,262		257
NBTY *	2,600		89
PepsiCo	74,552		4,689
Philip Morris International	85,368		3,766
Procter & Gamble	134,674		8,227
Ralcorp Holdings *	2,600		156
Reynolds American (A)	8,010		418
Rite Aid * (A)	19,101		22
Safeway	17,220		381
Sara Lee (A)	33,251		471
Smithfield Foods * (A)	5,975		103
Supervalu	10,789		145
Sysco (A)	26,748		797
Tyson Foods, Cl A	13,965		246
Walgreen	45,425		1,456
Wal-Mart Stores	102,079		5,161
Whole Foods Market * (A)	5,752		233

			53,416

Energy — 10.5%
Alpha Natural Resources *	5,868		225
Anadarko Petroleum	22,840		1,195
Apache (A)	15,359		1,375
Arch Coal	7,712		166
Atwood Oceanics *	2,800		76
Baker Hughes (A)	19,940		761
Cabot Oil & Gas	5,100		177
Cameron International *	11,444		414
Chesapeake Energy (A)	28,166		629
Chevron	92,602		6,841
Cimarex Energy	4,000		294
CNX Gas *	800		31
Cobalt International Energy *	4,300		30
Comstock Resources *	2,400		72
Concho Resources *	3,700		193
ConocoPhillips	68,276		3,541
Consol Energy	8,744		319
Continental Resources * (A)	1,600		75
Denbury Resources *	18,124		298
Devon Energy	20,313		1,297
Diamond Offshore Drilling (A)	3,309		209
Dresser-Rand Group *	3,934		125
El Paso	33,503		380
EOG Resources (A)	11,445		1,200
EXCO Resources	6,800		117
Exterran Holdings * (A)	2,900		74
Exxon Mobil (A)	225,712		13,647


Description	Shares	Market Value ($ Thousands)
FMC Technologies * (A)	5,660	$	329
Forest Oil *	4,914		131
Frontier Oil	4,600		64
Frontline	2,200		72
Halliburton	40,897		1,015
Helix Energy Solutions Group *	5,300		58
Helmerich & Payne (A)	5,150		194
Hess	13,112		698
Holly	2,000		52
Marathon Oil	32,176		1,000
Mariner Energy * (A)	5,200		111
Massey Energy	4,861		161
Murphy Oil	9,054		483
Nabors Industries * (A)	13,100		249
National Oilwell Varco	18,880		720
Newfield Exploration *	6,099		318
Noble Energy	8,262		492
Occidental Petroleum	37,354		3,082
Oceaneering International *	2,600		120
Oil States International *	2,600		102
Overseas Shipholding Group (A)	1,327		51
Patterson-UTI Energy (A)	8,032		113
Peabody Energy	12,674		494
PetroHawk Energy *	13,800		265
Pioneer Natural Resources	5,544		353
Plains Exploration & Production *	6,491		143
Pride International *	8,029		199
Quicksilver Resources *	5,102		62
Range Resources	7,439		334
Rowan * (A)	5,386		133
SandRidge Energy * (A)	6,400		41
Schlumberger (A)	55,100		3,094
SEACOR Holdings *	900		66
Seahawk Drilling *	535		6
Smith International	11,631		437
Southern Union	5,368		117
Southwestern Energy *	16,376		616
Spectra Energy (A)	30,509		610
St. Mary Land & Exploration	2,700		117
Sunoco	5,556		166
Superior Energy Services *	3,500		76
Teekay	2,100		53
Tesoro (A)	6,846		80
Tidewater	2,170		91
Unit *	2,127		87
Valero Energy	25,136		470
Whiting Petroleum * (A)	2,400		201
Williams	27,446		542
XTO Energy	26,388		1,128

			53,357

Financials — 15.5%
Affiliated Managers Group * (A)	2,133		153
Aflac	21,256		942
Alexandria Real Estate Equities ‡ (A)	2,000		131
Alleghany *	242		71
Allied World Assurance Holdings	2,600		117
Allstate	24,225		742
AMB Property ‡	6,644		172
American Express	46,534		1,855
American Financial Group	4,214		118


Description	Shares	Market Value ($ Thousands)
American International Group * (A)	6,023	$	213
American National Insurance	722		75
AmeriCredit * (A)	4,672		101
Ameriprise Financial	12,200		485
Annaly Capital Management ‡	25,811		438
AON	13,150		519
Apartment Investment & Management, Cl A ‡ (A)	6,199		128
Arch Capital Group *	1,900		140
Arthur J Gallagher	4,804		119
Aspen Insurance Holdings	3,700		93
Associated Banc (A)	8,984		121
Assurant	5,193		180
AvalonBay Communities ‡ (A)	3,541		347
Axis Capital Holdings	6,400		195
Bancorpsouth (A)	3,600		70
Bank of America	459,518		7,233
Bank of Hawaii	1,982		95
Bank of New York Mellon	54,709		1,488
BB&T (A)	31,206		944
BlackRock, Cl A	1,485		249
BOK Financial (A)	775		39
Boston Properties ‡ (A)	6,184		474
Brandywine Realty Trust ‡	6,600		77
BRE Properties ‡ (A)	2,920		119
Brown & Brown (A)	6,124		120
Camden Property Trust ‡	3,247		148
Capital One Financial	20,525		848
CapitalSource	11,382		52
Capitol Federal Financial (A)	1,027		33
CB Richard Ellis Group, Cl A *	13,317		211
Charles Schwab (A)	45,085		737
Chimera Investment ‡ (A)	32,100		126
Chubb (A)	15,518		780
Cincinnati Financial (A)	6,786		185
Citigroup *	871,245		3,450
City National (A)	1,638		94
CME Group, Cl A	2,974		942
CNA Financial *	1,700		44
Comerica	8,653		330
Commerce Bancshares	3,218		120
Corporate Office Properties Trust ‡	2,800		106
Cullen/Frost Bankers	2,368		130
Digital Realty Trust ‡ (A)	3,600		205
Discover Financial Services	26,189		352
Douglas Emmett ‡ (A)	5,400		84
Duke Realty ‡	10,909		130
Eaton Vance (A)	5,310		159
Endurance Specialty Holdings (A)	2,200		82
Equity Residential ‡	13,087		591
Erie Indemnity, Cl A	1,119		51
Essex Property Trust ‡ (A)	1,469		155
Everest Re Group	3,000		218
Federal Realty Investment Trust ‡ (A)	2,796		206
Federated Investors, Cl B (A)	3,658		81
Fidelity National Financial, Cl A	10,604		153
Fifth Third Bancorp	37,982		493
First American	4,584		156
First Citizens BancShares, Cl A	300		60
First Horizon National *	11,177		139


Description	Shares	Market Value ($ Thousands)
First Niagara Financial Group	9,400	$	124
Forest City Enterprises, Cl A * (A)	5,142		68
Franklin Resources	6,803		667
Fulton Financial	8,095		80
Genworth Financial, Cl A *	23,292		363
GLG Partners * (A)	10,000		43
Goldman Sachs Group	23,175		3,343
Greenhill (A)	800		55
Hanover Insurance Group	2,193		95
Hartford Financial Services Group	20,610		517
HCC Insurance Holdings	5,641		141
HCP ‡ (A)	13,074		417
Health Care REIT ‡ (A)	5,783		249
Hospitality Properties Trust ‡	5,966		134
Host Hotels & Resorts ‡ (A)	29,040		414
HRPT Properties Trust ‡	11,302		76
Hudson City Bancorp	21,328		269
Huntington Bancshares	34,934		215
Interactive Brokers Group, Cl A * (A)	2,200		37
IntercontinentalExchange *	3,500		406
Invesco	19,800		368
Investment Technology Group *	1,500		25
Janus Capital Group	9,365		100
Jefferies Group (A)	5,414		126
Jones Lang LaSalle	2,100		157
JPMorgan Chase	183,534		7,264
Keycorp (A)	40,695		326
Kimco Realty ‡	20,044		287
Lazard, Cl A	3,800		120
Legg Mason	7,681		228
Leucadia National *	8,420		185
Liberty Property Trust ‡	5,006		154
Lincoln National	13,388		354
Loews	15,536		505
M&T Bank (A)	3,583		284
Macerich ‡ (A)	4,911		203
Mack-Cali Realty ‡	3,798		125
Markel * (A)	450		155
Marsh & McLennan	24,665		538
Marshall & Ilsley	25,860		211
MBIA * (A)	4,859		36
Mercury General	1,196		52
MetLife	26,309		1,065
Moody’s (A)	8,627		177
Morgan Stanley	62,278		1,688
MSCI, Cl A *	4,700		139
NASDAQ OMX Group *	6,700		125
Nationwide Health Properties ‡	5,700		202
New York Community Bancorp (A)	19,972		321
Northern Trust (A)	11,405		580
NYSE Euronext	12,700		364
Old Republic International (A)	11,490		159
OneBeacon Insurance Group, Cl A	1,100		16
PartnerRe	3,400		248
People’s United Financial	16,934		237
Plum Creek Timber ‡ (A)	7,921		277
PNC Financial Services Group	23,622		1,482
Popular	29,530		89
Principal Financial Group	14,818		403
Progressive	32,280		632


Description	Shares	Market Value ($ Thousands)
ProLogis ‡ (A)	22,388	$	255
Protective Life	3,509		76
Prudential Financial	21,063		1,216
Public Storage ‡	6,368		590
Raymond James Financial (A)	4,221		119
Rayonier ‡ (A)	3,503		157
Realty Income ‡ (A)	4,600		143
Regency Centers ‡ (A)	3,308		122
Regions Financial	55,687		425
Reinsurance Group of America, Cl A	3,199		150
RenaissanceRe Holdings	2,900		157
SEI (C)	5,642		119
Senior Housing Properties Trust ‡	5,400		113
Simon Property Group ‡	10,981		934
SL Green Realty ‡ (A)	3,668		228
SLM *	23,114		257
St. Joe * (A)	4,761		131
StanCorp Financial Group	2,042		87
State Street	22,394		855
Student Loan	102		3
SunTrust Banks	23,646		637
Symetra Financial	2,500		33
Synovus Financial (A)	19,972		59
T. Rowe Price Group (A)	11,480		569
Taubman Centers ‡ (A)	2,200		89
TCF Financial (A)	6,301		102
TD Ameritrade Holding * (A)	13,045		231
TFS Financial	3,700		49
Torchmark	3,750		193
Transatlantic Holdings	1,355		64
Travelers	23,444		1,160
UDR ‡ (A)	7,393		150
Unitrin	2,460		66
Unum Group	16,105		372
US Bancorp	87,143		2,088
Validus Holdings	4,600		113
Valley National Bancorp (A)	8,011		116
Ventas ‡ (A)	7,644		359
Vornado Realty Trust ‡	7,336		570
Waddell & Reed Financial, Cl A	4,100		110
Washington Federal	6,163		106
Weingarten Realty Investors ‡ (A)	4,467		93
Wells Fargo	239,166		6,862
Wesco Financial	41		14
White Mountains Insurance Group	347		113
Whitney Holding (A)	5,557		66
Wilmington Trust	4,892		74
WR Berkley	6,714		183
XL Capital, Cl A	16,800		296
Zions Bancorporation (A)	7,602		182

			78,990

Health Care — 11.7%
Abbott Laboratories	71,176		3,385
Abraxis Bioscience *	340		15
Aetna	21,234		619
Alexion Pharmaceuticals *	4,400		220
Allergan	13,796		830
Allscripts-Misys Healthcare Solutions * (A)	2,400		45
AmerisourceBergen	13,124		411


Description	Shares	Market Value ($ Thousands)
Amgen *	44,067	$	2,282
Amylin Pharmaceuticals *	7,200		119
Baxter International	27,575		1,164
Beckman Coulter	3,212		184
Becton Dickinson	11,344		809
Biogen Idec *	12,600		598
BioMarin Pharmaceutical * (A)	5,200		101
Bio-Rad Laboratories, Cl A *	1,000		94
Boston Scientific * (A)	70,939		429
Bristol-Myers Squibb	78,461		1,821
Brookdale Senior Living * (A)	2,500		44
C.R. Bard	4,785		387
Cardinal Health	17,229		594
CareFusion *	8,864		225
Celgene *	20,992		1,108
Cephalon * (A)	3,348		197
Cerner * (A)	3,074		258
Charles River Laboratories International * (A)	2,843		95
CIGNA	12,055		404
Community Health Systems *	4,062		158
Cooper (A)	2,304		85
Covance *	3,036		160
Coventry Health Care *	7,462		154
DaVita *	4,708		299
Dendreon * (A)	6,600		286
Dentsply International	6,898		224
Edwards Lifesciences *	5,214		263
Eli Lilly (A)	46,361		1,520
Emdeon, Cl A *	1,900		26
Endo Pharmaceuticals Holdings *	6,197		130
Express Scripts *	12,522		1,260
Forest Laboratories *	14,373		372
Gen-Probe *	2,227		98
Genzyme *	12,853		625
Gilead Sciences *	41,450		1,489
Health Management Associates, Cl A * (A)	12,422		116
Health Net *	4,702		116
Henry Schein *	4,184		236
Hill-Rom Holdings	2,724		76
Hologic *	12,000		179
Hospira * (A)	7,681		400
Humana *	8,175		376
Idexx Laboratories * (A)	2,952		187
Illumina * (A)	5,700		240
Intuitive Surgical * (A)	1,800		581
Inverness Medical Innovations * (A)	3,600		125
Johnson & Johnson	127,309		7,422
Kinetic Concepts *	3,113		129
King Pharmaceuticals * (A)	12,426		108
Laboratory Corp of America Holdings *	5,211		394
Life Technologies *	8,370		419
LifePoint Hospitals *	2,376		84
Lincare Holdings (A)	3,027		142
McKesson (A)	12,366		866
Medco Health Solutions *	20,820		1,200
Mednax *	2,000		113
Medtronic	51,385		2,013
Merck	140,743		4,742
Mettler Toledo International *	1,536		176


Description	Shares	Market Value ($ Thousands)
Millipore *	2,586	$	275
Mylan Laboratories * (A)	14,119		275
Myriad Genetics *	4,500		82
Omnicare	5,431		136
OSI Pharmaceuticals *	2,600		149
Patterson (A)	4,783		142
PerkinElmer	6,034		137
Perrigo (A)	3,800		226
Pfizer	372,180		5,668
Pharmaceutical Product Development	5,384		145
Quest Diagnostics	7,444		393
ResMed *	3,555		224
St. Jude Medical *	15,146		566
Stryker (A)	15,304		812
Talecris Biotherapeutics Holdings *	2,700		45
Techne	1,541		93
Teleflex	2,040		114
Tenet Healthcare *	23,094		132
Thermo Fisher Scientific *	19,025		990
United Therapeutics *	2,200		113
UnitedHealth Group	54,529		1,585
Universal Health Services, Cl B	4,376		185
Valeant Pharmaceuticals International * (A)	3,400		158
Varian Medical Systems *	6,130		307
VCA Antech *	3,539		92
Vertex Pharmaceuticals * (A)	9,100		315
Waters *	4,472		306
Watson Pharmaceuticals *	4,918		217
WellPoint *	20,331		1,043
Zimmer Holdings *	9,425		527

			59,479

Industrials — 10.7%
3M	31,946		2,534
A123 Systems * (A)	1,800		16
Aecom Technology *	4,800		122
AGCO *	4,700		135
Alexander & Baldwin (A)	1,782		57
Alliant Techsystems * (A)	1,636		113
Ametek	5,047		205
AMR * (A)	17,086		131
Armstrong World Industries *	700		26
Avery Dennison	5,310		182
BE Aerospace *	4,800		130
Boeing (A)	33,391		2,143
Brink’s	1,800		41
Bucyrus International, Cl A	4,000		214
C.H. Robinson Worldwide (A)	8,086		470
Carlisle	2,666		104
Caterpillar (A)	27,588		1,676
Cintas (A)	6,157		160
Continental Airlines, Cl B * (A)	6,800		143
Con-way (A)	2,223		75
Copa Holdings, Cl A (A)	1,600		82
Copart *	3,213		115
Corrections of America *	5,600		112
Covanta Holding *	6,200		96
Crane	2,400		78
CSX	17,832		932
Cummins	9,612		653


Description	Shares	Market Value ($ Thousands)
Danaher	11,751	$	933
Deere	19,318		1,114
Delta Air Lines * (A)	34,500		469
Donaldson	3,772		163
Dover	8,957		402
Dun & Bradstreet	2,456		179
Eaton	7,826		547
Emerson Electric	34,420		1,598
Equifax	6,156		186
Expeditors International Washington	10,148		388
Fastenal (A)	6,462		326
FedEx	14,244		1,189
First Solar * (A)	2,500		281
Flowserve	2,600		247
Fluor (A)	8,508		399
FTI Consulting * (A)	2,400		103
Gardner Denver	2,300		105
GATX (A)	2,100		61
General Cable *	2,500		78
General Dynamics	15,772		1,071
General Electric	489,423		8,002
Goodrich	5,992		416
Graco	2,624		83
Harsco	3,470		94
Hertz Global Holdings * (A)	9,400		107
Honeywell International	34,090		1,458
Hubbell, Cl B	2,892		123
IDEX	3,593		110
IHS, Cl A *	2,200		114
Illinois Tool Works	20,380		946
Iron Mountain	8,963		220
ITT	8,602		415
Jacobs Engineering Group * (A)	6,102		255
JB Hunt Transport Services (A)	3,972		137
Joy Global	4,633		236
Kansas City Southern *	4,500		172
KAR Auction Services *	2,100		29
KBR (A)	7,284		160
Kennametal	4,200		119
Kirby *	2,300		91
L-3 Communications Holdings, Cl 3	5,577		461
Landstar System	2,165		91
Lennox International	2,300		103
Lincoln Electric Holdings	2,200		123
Lockheed Martin	13,729		1,097
Manitowoc	5,700		68
Manpower	3,684		168
Masco	17,809		238
McDermott International *	11,300		251
MSC Industrial Direct, Cl A (A)	2,120		109
Navistar International * (A)	3,000		163
Norfolk Southern	16,733		945
Northrop Grumman	13,778		833
Oshkosh Truck *	4,259		151
Owens Corning *	4,200		140
Paccar (A)	17,270		708
Pall	5,545		189
Parker Hannifin	7,604		467
Pentair	4,961		171
Pitney Bowes	10,285		233
Precision Castparts	6,346		741


Description	Shares	Market Value ($ Thousands)
Quanta Services *	9,200	$	191
Raytheon	17,868		936
Republic Services, Cl A	15,342		447
Robert Half International (A)	6,876		174
Rockwell Automation	6,504		348
Rockwell Collins	7,562		441
Roper Industries	4,200		244
RR Donnelley & Sons	9,677		185
Ryder System	2,106		94
Shaw Group *	4,300		146
Snap-On	2,991		132
Southwest Airlines	35,620		443
Spirit Aerosystems Holdings, Cl A *	4,700		92
SPX	2,211		131
Stericycle *	3,826		224
SunPower, Cl A * (A)	4,400		58
Terex *	5,648		123
Textron (A)	13,222		273
Thomas & Betts *	2,867		110
Timken	4,260		123
Toro (A)	1,560		84
TransDigm Group	2,000		105
Trinity Industries (A)	3,500		77
Tyco International	100		3
Union Pacific	23,116		1,651
United Parcel Service, Cl B	31,741		1,992
United Technologies	38,466		2,592
URS *	4,100		183
USG * (A)	2,298		40
UTi Worldwide	5,100		74
Valmont Industries	1,000		79
Verisk Analytics, Cl A *	4,500		136
WABCO Holdings *	3,424		104
Wabtec (A)	2,400		104
Waste Connections *	3,900		137
Waste Management	22,194		722
WESCO International *	2,000		75
WW Grainger	2,681		273

			54,667

Information Technology — 18.5%
Activision Blizzard	26,756		288
Adobe Systems *	23,702		760
Advanced Micro Devices * (A)	26,734		229
Agilent Technologies *	16,264		526
Akamai Technologies * (A)	8,118		323
Alliance Data Systems * (A)	2,612		185
Altera (A)	14,273		336
Amdocs * (A)	8,900		254
Amphenol, Cl A	7,892		335
Analog Devices (A)	13,912		406
Ansys *	4,100		179
AOL * (A)	5,034		104
Apple *	41,223		10,601
Applied Materials	60,155		777
Arrow Electronics *	6,089		166
Atmel *	18,900		97
Autodesk *	9,937		291
Automatic Data Processing	22,792		932
Avnet *	7,410		213
AVX	1,424		20
BMC Software *	8,989		333


Description	Shares	Market Value ($ Thousands)
Broadcom, Cl A (A)	22,268	$	769
Broadridge Financial Solutions	7,073		135
Brocade Communications Systems *	22,200		121
CA	18,738		379
Cadence Design Systems *	13,063		87
Ciena * (A)	4,114		64
Cisco Systems * (A)	266,427		6,170
Citrix Systems * (A)	8,687		379
Cognizant Technology Solutions, Cl A *	13,788		690
CommScope *	3,700		104
Computer Sciences	7,264		363
Compuware *	11,951		98
Convergys *	5,569		61
Corning	70,958		1,237
Cree *	5,022		333
Cypress Semiconductor *	7,200		82
Dell *	78,043		1,040
Diebold	2,729		79
Dolby Laboratories, Cl A * (A)	2,643		174
DST Systems	1,695		65
eBay *	51,011		1,092
EchoStar, Cl A *	2,132		45
Electronic Arts *	15,865		262
EMC *	92,264		1,718
Equinix * (A)	1,700		156
F5 Networks *	3,738		263
Factset Research Systems (A)	1,800		122
Fairchild Semiconductor International, Cl A * (A)	6,600		66
Fidelity National Information Services	15,690		432
Fiserv *	7,469		355
FLIR Systems *	6,800		194
Genpact *	3,100		52
Global Payments (A)	3,734		158
Google, Cl A *	11,044		5,358
Harris	6,189		290
Hewitt Associates, Cl A *	3,863		144
Hewlett-Packard	110,401		5,080
IAC *	3,532		83
Ingram Micro, Cl A *	7,023		119
Integrated Device Technology *	5,600		33
Intel	257,858		5,523
International Business Machines	61,098		7,653
International Rectifier *	3,355		70
Intersil, Cl A (A)	5,361		71
Intuit *	15,386		550
Itron *	1,900		127
Jabil Circuit	9,174		125
JDS Uniphase *	10,640		122
Juniper Networks * (A)	24,925		664
Kla-Tencor	7,809		240
Lam Research *	5,891		223
Lender Processing Services	4,714		160
Lexmark International, Cl A *	3,986		150
Linear Technology (A)	10,857		304
LSI *	31,948		170
Marvell Technology Group *	24,500		465
Mastercard, Cl A (A)	4,000		807
Maxim Integrated Products (A)	15,100		268
McAfee *	7,573		241


Description	Shares	Market Value ($ Thousands)
MEMC Electronic Materials * (A)	10,338	$	117
Microchip Technology (A)	8,422		235
Micron Technology * (A)	41,116		374
Micros Systems *	3,600		123
Microsoft	356,300		9,193
Molex (A)	6,370		135
Monster Worldwide *	5,218		77
Motorola * (A)	108,934		746
National Instruments	2,536		82
National Semiconductor	11,556		162
NCR *	6,689		89
NetApp *	15,555		586
NeuStar, Cl A *	3,900		83
Novell *	15,326		89
Novellus Systems * (A)	4,377		113
Nuance Communications *	11,600		198
Nvidia * (A)	26,056		342
ON Semiconductor * (A)	19,200		140
Oracle	176,267		3,978
Paychex (A)	15,307		437
PMC—Sierra *	12,100		98
QLogic * (A)	5,980		108
Qualcomm	76,150		2,708
Rambus * (A)	4,500		106
Red Hat *	8,527		250
Rovi * (A)	4,800		179
SAIC *	18,100		311
Salesforce.com * (A)	4,838		419
SanDisk *	10,543		491
Seagate Technology * (A)	21,600		332
Silicon Laboratories * (A)	2,200		100
Sohu.com *	1,400		62
Sybase *	3,900		251
Symantec *	39,048		553
Synopsys *	6,882		147
Tech Data *	2,250		91
Tellabs	17,289		156
Teradata *	7,989		255
Teradyne * (A)	8,863		97
Texas Instruments	58,308		1,424
Total System Services (A)	8,391		122
Trimble Navigation * (A)	6,114		176
Varian Semiconductor Equipment Associates *	3,200		100
VeriSign * (A)	8,985		251
Visa, Cl A	20,600		1,493
Vishay Intertechnology *	9,550		86
VMware, Cl A * (A)	2,500		166
WebMD Health, Cl A *	2,422		110
Western Digital *	10,630		370
Western Union	33,128		529
Xerox	58,996		550
Xilinx (A)	13,357		327
Yahoo! *	53,881		827
Zebra Technologies, Cl A *	3,025		83

			94,367

Materials — 3.9%
Air Products & Chemicals	9,494		656
Airgas	4,015		251
AK Steel Holding	5,300		79
Albemarle	4,444		191
Alcoa	46,402		540


Description	Shares	Market Value ($ Thousands)
Allegheny Technologies (A)	4,697	$	257
Aptargroup	3,500		139
Ashland	3,476		186
Ball	4,575		225
Bemis	4,774		137
Cabot	3,373		95
Carpenter Technology	2,300		90
Celanese, Cl A	7,783		223
CF Industries Holdings (A)	2,866		197
Cliffs Natural Resources	5,800		324
Commercial Metals	4,900		76
Compass Minerals International	1,600		122
Crown Holdings *	7,451		175
Cytec Industries	2,381		102
Dow Chemical	50,870		1,369
E.I. Du Pont de Nemours	41,392		1,497
Eagle Materials (A)	2,000		61
Eastman Chemical (A)	3,642		220
Ecolab	10,591		500
FMC	3,460		210
Freeport-McMoRan Copper & Gold, Cl B (A)	19,712		1,381
Greif, Cl A	1,500		82
Huntsman	8,329		83
International Flavors & Fragrances	3,991		178
International Paper	20,655		480
Intrepid Potash * (A)	1,500		37
Lubrizol	3,234		286
Martin Marietta Materials (A)	1,963		183
MeadWestvaco	8,258		197
Monsanto	24,950		1,269
Mosaic	7,578		350
Nalco Holding	7,017		159
Newmont Mining	21,833		1,175
Nucor	14,790		637
Owens-Illinois *	7,791		236
Packaging of America	4,599		102
Pactiv *	6,183		177
PPG Industries	7,823		501
Praxair (A)	14,025		1,088
Reliance Steel & Aluminum	2,900		133
Royal Gold (A)	2,200		110
RPM International	6,269		124
Schnitzer Steel Industries, Cl A	1,000		50
Scotts Miracle-Gro, Cl A	2,406		107
Sealed Air	7,768		162
Sherwin-Williams (A)	4,237		325
Sigma-Aldrich (A)	5,948		317
Sonoco Products	5,046		156
Southern Copper (A)	8,748		258
Steel Dynamics	10,100		148
Temple-Inland	5,375		114
Titanium Metals *	3,358		59
United States Steel (A)	6,583		311
Valspar	4,764		149
Vulcan Materials (A)	5,757		291
Walter Industries	2,400		190
Weyerhaeuser	10,078		429

			19,956


Description	Shares	Market Value ($ Thousands)
Telecommunication Services — 2.8%
American Tower, Cl A *	18,022	$	730
AT&T	272,533		6,623
CenturyLink (A)	14,175		487
Clearwire, Cl A * (A)	2,500		20
Crown Castle International *	13,796		511
Frontier Communications (A)	12,955		103
Leap Wireless International * (A)	2,900		47
Level 3 Communications * (A)	84,300		113
MetroPCS Communications *	11,800		106
NII Holdings *	7,720		282
Qwest Communications International	71,796		376
SBA Communications, Cl A * (A)	5,300		175
Sprint Nextel *	132,344		679
Telephone & Data Systems	4,102		135
tw telecom , Cl A *	7,400		129
US Cellular *	831		35
Verizon Communications	130,915		3,603
Windstream	20,347		217

			14,371

Utilities — 3.7%
AES *	31,624		325
AGL Resources	3,947		144
Allegheny Energy	7,566		155
Alliant Energy	5,176		166
Ameren	11,290		278
American Electric Power	22,650		724
American Water Works	2,900		59
Aqua America (A)	6,977		122
Atmos Energy	4,691		127
Calpine *	14,900		204
Centerpoint Energy	18,715		255
CMS Energy (A)	11,342		167
Consolidated Edison (A)	12,816		546
Constellation Energy Group	8,358		296
Dominion Resources	26,912		1,049
DPL	5,446		136
DTE Energy	7,964		362
Duke Energy (A)	58,519		934
Dynegy, Cl A * (A)	4,503		24
Edison International	15,479		501
Energen	3,537		157
Entergy	9,198		690
Equities	7,066		277
Exelon	30,029		1,159
FirstEnergy	14,181		499
FPL Group	18,673		932
Great Plains Energy	6,471		114
Hawaiian Electric Industries (A)	3,746		82
Integrys Energy Group (A)	3,702		167
ITC Holdings	2,400		127
MDU Resources Group	8,621		161
Mirant *	6,461		80
National Fuel Gas	3,289		160
NiSource	12,821		192
Northeast Utilities	7,907		205
NRG Energy * (A)	12,700		296
NSTAR	5,028		177
NV Energy	10,800		127


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
OGE Energy		4,568	$	166
Oneok		4,929		219
Ormat Technologies (A)		1,000		28
Pepco Holdings		10,044		162
PG&E (A)		17,518		727
Pinnacle West Capital		4,792		168
PPL		18,126		468
Progress Energy		13,261		512
Public Service Enterprise Group		24,052		737
Questar (A)		8,346		374
RRI Energy *		14,659		65
SCANA		5,420		197
Sempra Energy		11,523		530
Southern		37,003		1,210
TECO Energy (A)		10,600		165
UGI		4,850		127
Vectren		3,491		80
Westar Energy		5,300		117
Wisconsin Energy		5,749		282
Xcel Energy (A)		21,681		444

				18,954

Total Common Stock (Cost $412,460) ($ Thousands)				503,789

AFFILIATED PARTNERSHIP — 13.4%
SEI Liquidity Fund, L.P. 0.240%(B)**†		69,016,757		68,233

Total Affiliated Partnership
(Cost $69,016) ($ Thousands)				68,233

CASH EQUIVALENT — 1.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†		5,427,614		5,428

Total Cash Equivalent
(Cost $5,428) ($ Thousands)				5,428

U.S. TREASURY OBLIGATION (D) (E) — 0.2%
U.S. Treasury Bill 0.140%, 06/17/10	$	828		828

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

Total Investments — 113.6%
(Cost $487,732)($ Thousands)			$	578,278

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contracts	Number of Contract Long (Short)	Expiration Date	Unrealized Depreciation ($ Thousands)
S&P 500 E-Mini	137	Jun-2010	$	(394	)
S&P Mid 400 E-Mini	6	Jun-2010		(12	)

			$	(406	)

Percentages are based on Net Assets of $509,120 ($ Thousands).

(A)	This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $66,147 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan. The total value of such securities on May 31, 2010 was $68,233 ($ 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)	Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(E)	The rate reported is the effective yield at time of purchase.

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 96.8%
Consumer Discretionary — 13.8%
Aaron’s	29,600	$	591
Abercrombie & Fitch, Cl A	14,628		524
American Axle & Manufacturing Holdings *	34,100		306
American Eagle Outfitters	52,900		693
American Greetings, Cl A (A)	90,100		2,125
American Public Education *	116,228		4,753
America’s Car-Mart *	28,900		700
Amerigon * (A)	63,619		561
Ameristar Casinos (A)	42,500		766
AnnTaylor Stores *	38,000		823
Arctic Cat *	54,500		625
Ascent Media, Cl A *	2,100		56
Barnes & Noble	41,500		840
Beazer Homes USA *	88,400		439
Bebe Stores	21,823		149
Belo, Cl A	126,757		922
Big Lots * (A)	37,000		1,307
Bluegreen *	7,325		35
Blyth	11,331		563
Bob Evans Farms	24,900		723
Boyd Gaming * (A)	2,000		26
Brinker International	20,200		359
Brown Shoe	81,200		1,354
Brunswick (A)	105,400		1,841
Buckle	10,200		363
Buffalo Wild Wings *	29,878		1,102
Cabela’s * (A)	97,950		1,686
California Pizza Kitchen * (A)	62,484		1,139
Callaway Golf (A)	95,399		803
Capella Education * (A)	23,523		2,021
Career Education * (A)	7,600		213
Carter’s *	47,200		1,442
Casual Male Retail Group *	173,800		652
Cato, Cl A (A)	172,237		4,087
Century Casinos *	65,685		150
Charming Shoppes *	78,400		357
Cheesecake Factory * (A)	1,700		43
Chico’s FAS	7,800		95
Childrens Place Retail Stores * (A)	5,600		264
Christopher & Banks	69,729		639
Citi Trends *	1,400		48
CKE Restaurants	17,100		211
Collective Brands *	34,400		770
Cooper Tire & Rubber	123,381		2,333
Corinthian Colleges * (A)	96,300		1,289
Cracker Barrel Old Country Store (A)	48,424		2,413
CSS Industries	17,600		333
Dana Holdings *	33,001		358
Deckers Outdoor *	3,400		492
Dick’s Sporting Goods * (A)	85,691		2,443
Dillard’s, Cl A (A)	36,200		1,039
DineEquity *	9,600		324
Domino’s Pizza *	33,800		439
Dress Barn *	11,800		323
Drew Industries *	4,000		88
DSW, Cl A * (A)	98,300		2,839
Eastman Kodak * (A)	586,500		3,308


Description	Shares	Market Value ($ Thousands)
Ethan Allen Interiors (A)	40,493	$	818
EW Scripps, Cl A *	22,600		200
Exide Technologies * (A)	74,400		317
Finish Line, Cl A	185,297		3,085
Foot Locker	92,300		1,376
Fossil * (A)	28,900		1,084
Fred’s, Cl A (A)	81,900		1,121
Furniture Brands International *	70,808		554
Gaylord Entertainment * (A)	9,100		242
Genesco * (A)	3,700		115
Grand Canyon Education * (A)	50,955		1,251
Group 1 Automotive * (A)	20,300		577
Gymboree * (A)	4,900		218
Harte-Hanks	42,400		579
Helen of Troy *	29,500		760
hhgregg *	21,741		652
Hibbett Sports * (A)	46,377		1,195
Hillenbrand	64,635		1,570
HOT Topic	250,800		1,394
HSN *	19,500		525
Iconix Brand Group *	207,835		3,377
International Speedway, Cl A (A)	56,485		1,575
J Crew Group *	49,730		2,270
Jack in the Box * (A)	61,800		1,387
Jackson Hewitt Tax Service * (A)	138,000		262
Jakks Pacific * (A)	40,500		600
Jarden	98,921		2,880
Jo-Ann Stores * (A)	33,804		1,544
Jones Apparel Group (A)	115,400		2,266
Jos. A. Bank Clothiers * (A)	11,800		716
Journal Communications, Cl A *	152,400		768
K12 * (A)	66,988		1,676
Kirkland’s *	71,400		1,537
Lakeland Industries *	85,300		882
Las Vegas Sands *	30,400		714
Leggett & Platt	14,300		333
Lennar, Cl A	35,400		612
Life Time Fitness * (A)	117,361		4,355
Lifetime Brands *	38,200		534
Lincoln Educational Services *	56,800		1,354
Lions Gate Entertainment *	56,633		385
Live Nation *	225,842		2,762
Liz Claiborne * (A)	71,400		438
LodgeNet Interactive *	51,505		274
Matthews International, Cl A	51,400		1,664
MDC Partners, Cl A	288,400		3,513
Men’s Wearhouse (A)	30,666		667
Meredith (A)	63,600		2,136
Meritage Homes * (A)	77,340		1,654
Morningstar *	6,600		322
Movado Group *	8,600		106
National CineMedia	101,147		1,769
New Frontier Media *	208,088		379
NutriSystem (A)	27,100		603
NVR *	1,985		1,360
O’Charleys *	27,900		208
Office Depot *	117,985		684
OfficeMax *	19,260		343
Oxford Industries	17,500		365
Papa John’s International *	12,600		313
Peet’s Coffee & Tea * (A)	31,085		1,208
Penske Auto Group *	22,900		299


Description	Shares	Market Value ($ Thousands)
PetSmart (A)	70,170	$	2,229
PF Chang’s China Bistro (A)	35,142		1,528
Pinnacle Entertainment * (A)	198,392		2,401
Polaris Industries (A)	17,200		1,010
Pool	25,300		607
Pre-Paid Legal Services * (A)	18,700		866
Princeton Review *	163,671		393
Pulte Homes *	72,725		810
RadioShack	80,800		1,652
Red Robin Gourmet Burgers * (A)	44,100		909
Regal Entertainment Group, Cl A	16,400		250
Regis (A)	116,451		2,142
Rent-A-Center, Cl A * (A)	137,000		3,318
Ruby Tuesday *	73,100		787
Ryland Group (A)	110,998		2,065
Saks *	325,340		2,987
Scholastic	97,641		2,553
Scientific Games, Cl A * (A)	29,059		297
Sealy *	84,400		274
Service International	42,999		367
Shutterfly * (A)	51,800		1,197
Signet Jewelers *	6,400		199
Sinclair Broadcast Group, Cl A *	39,677		263
Sonic Automotive, Cl A *	34,200		338
Sotheby’s	34,193		1,111
Spartan Motors	22,600		109
Spectrum Group International *	9,759		19
Stage Stores	151,900		2,152
Standard Pacific *	47,415		239
Steiner Leisure * (A)	56,000		2,324
Stewart Enterprises, Cl A	90,604		550
Stoneridge *	23,600		228
Sturm Ruger (A)	117,000		1,841
Superior Industries International	15,100		224
Systemax	14,700		284
Talbots *	236,340		3,555
Tempur-Pedic International *	52,889		1,756
Tenneco *	121,893		2,701
Texas Roadhouse, Cl A *	21,700		317
Timberland, Cl A *	72,300		1,389
Tractor Supply (A)	34,189		2,317
True Religion Apparel *	48,370		1,335
Tupperware Brands	8,100		344
Ulta Salon Cosmetics & Fragrance *	65,868		1,685
Under Armour, Cl A *	41,650		1,403
Unifirst	5,800		261
Universal Electronics * (A)	1,800		35
Universal Technical Institute *	6,300		155
Volcom *	14,300		285
Warnaco Group *	1,800		77
Wendy’s, Cl A	187,717		847
Williams-Sonoma (A)	37,100		1,109
Wolverine World Wide	29,400		844
World Wrestling Entertainment,
Cl A	32,900		545
Zumiez *	121,655		2,083

			185,480

Consumer Staples — 3.5%
Alliance One International *	266,600		1,112
American Italian Pasta, Cl A *	12,000		467


Description	Shares	Market Value ($ Thousands)
American Oriental Bioengineering * (A)	104,300	$	323
Andersons (A)	56,700		1,856
BJ’s Wholesale Club * (A)	14,846		595
Cal-Maine Foods	38,700		1,253
Casey’s General Stores (A)	40,329		1,487
Central Garden and Pet *	35,415		356
Central Garden and Pet, Cl A *	31,766		301
China-Biotics * (A)	91,500		1,310
Chiquita Brands International * (A)	179,296		2,214
Corn Products International	19,797		660
Cosan Industria e Comercio (Brazil) *	111,700		1,270
Darling International *	32,400		259
Dean Foods *	85,474		910
Del Monte Foods	332,300		4,845
Dole Food * (A)	32,164		294
Elizabeth Arden *	12,500		213
Flowers Foods	15,100		373
Fresh Del Monte Produce * (A)	70,200		1,404
Great Atlantic & Pacific Tea *	94,684		510
Herbalife	20,529		927
Ingles Markets, Cl A	25,700		390
Kulim Malaysia	584,500		1,298
Lancaster Colony (A)	18,900		1,033
Lance	78,914		1,523
Mead Johnson Nutrition, Cl A	4,400		217
Medifast * (A)	11,400		358
Nash Finch (A)	16,900		610
NBTY *	62,000		2,123
Nu Skin Enterprises, Cl A	17,600		506
Pantry *	118,879		1,818
Prestige Brands Holdings *	129,805		1,002
Pricesmart	8,900		214
Ruddick (A)	66,896		2,209
Sanderson Farms (A)	29,236		1,604
Saskatchewan Wheat Pool, Cl Common Subscription Recei *	163,300		1,187
Smart Balance *	348,758		2,086
United Natural Foods *	18,200		565
Universal	59,500		2,432
USANA Health Sciences *	1,900		71
Vector Group	31,881		500
Village Super Market, Cl A	6,600		177
Weis Markets (A)	13,300		449
Winn-Dixie Stores * (A)	106,762		1,196

			46,507

Energy — 5.3%
Allis-Chalmers Energy * (A)	113,088		326
Alon USA Energy (A)	26,200		177
Approach Resources *	125,600		901
Arena Resources * (A)	14,051		462
Atwood Oceanics *	3,500		95
Basic Energy Services *	22,800		186
Berry Petroleum, Cl A (A)	31,181		958
BPZ Resources * (A)	286,100		1,465
Cal Dive International *	403,037		2,225
Clayton Williams Energy *	30,100		1,366
Complete Production Services *	49,300		641


Description	Shares	Market Value ($ Thousands)
Comstock Resources *	186,118	$	5,554
CVR Energy *	215,173		1,627
Delek US Holdings	19,634		130
DHT Maritime (A)	51,300		213
Dresser-Rand Group *	75,040		2,389
Energy Partners *	11,600		147
Exterran Holdings *	27,557		703
Forest Oil * (A)	69,500		1,851
Frontier Oil	43,602		606
GeoMet *	214,366		270
Global Geophysical Services *	7,100		66
Global Industries * (A)	27,500		144
GMX Resources *	58,800		401
Goodrich Petroleum * (A)	302,672		3,705
Gulfmark Offshore, Cl A *	11,600		303
Hercules Offshore *	128,900		402
Holly (A)	75,900		1,966
Hornbeck Offshore Services *	27,600		422
International Coal Group *	198,825		861
InterOil *	6,600		325
Key Energy Services *	97,585		933
Kinder Morgan Escrow *	57,191		—
Knightsbridge Tankers	53,600		926
Matrix Service *	71,800		706
Newpark Resources *	76,400		490
Northern Oil And Gas * (A)	88,500		1,277
Oil States International *	12,300		480
Oilsands Quest * (A)	1,590,400		1,144
Oilsands Quest Private Placement *	144,700		104
Overseas Shipholding Group (A)	28,200		1,091
Parker Drilling * (A)	217,900		1,048
Patterson-UTI Energy (A)	133,700		1,876
PetroHawk Energy *	215,057		4,136
Petroquest Energy * (A)	88,427		555
Quicksilver Resources *	110,809		1,353
Rosetta Resources *	48,100		1,055
RPC (A)	33,200		375
SandRidge Energy *	217,575		1,401
Scorpio Tankers *	289,637		3,308
SEACOR Holdings *	9,400		686
Seahawk Drilling * (A)	36,100		436
Ship Finance International (A)	42,500		768
StealthGas *	112,100		572
Stone Energy *	58,700		787
Superior Energy Services *	60,000		1,306
Swift Energy * (A)	83,210		2,301
Teekay	37,600		949
Tesoro (A)	75,100		879
Tidewater	7,816		327
USEC * (A)	334,400		1,766
Vaalco Energy (A)	148,000		790
W&T Offshore (A)	163,900		1,596
Willbros Group * (A)	86,444		803
World Fuel Services	129,971		3,383

			70,494

Financials — 18.6%
Acadia Realty Trust ‡	8,600		154
Advance America Cash Advance Centers	91,500		442
Affiliated Managers Group * (A)	47,117		3,376


Description	Shares	Market Value ($ Thousands)
Alexander’s ‡	500	$	162
Allied World Assurance Holdings	27,100		1,217
Alterra Capital Holdings (A)	128,300		2,400
AMB Property ‡ (A)	69,250		1,796
American Campus Communities ‡ (A)	35,300		945
American Capital Agency ‡ (A)	10,600		278
American Equity Investment Life Holding	36,900		347
American Physicians Capital (A)	37,499		1,163
Amtrust Financial Services	64,700		852
Anworth Mortgage Asset ‡ (A)	275,509		1,868
Apartment Investment & Management, Cl A ‡ (A)	79,264		1,635
Apollo Investments *	77,138		805
Ares Capital	12,025		163
Argo Group International Holdings	24,900		752
Ashford Hospitality Trust ‡ *	36,500		290
Aspen Insurance Holdings	71,900		1,816
Associated Banc (A)	91,700		1,232
Assured Guaranty	47,100		791
Astoria Financial (A)	53,318		793
AvalonBay Communities ‡ (A)	24,733		2,425
Axis Capital Holdings	11,400		347
Banco Latinoamericano de Comercio Exterior, Cl E	74,200		959
Bancorp Rhode Island	35,399		1,012
Bancorpsouth (A)	25,930		503
Bank Mutual	44,500		286
Bank of Hawaii	22,800		1,095
Bank of the Ozarks (A)	14,800		522
BioMed Realty Trust ‡ (A)	54,300		924
Boston Private Financial Holdings (A)	195,758		1,433
Boston Properties ‡ (A)	36,350		2,787
Brandywine Realty Trust ‡	76,100		882
Brasil Brokers Participacoes	291,100		951
Brookline Bancorp	9,400		94
Calamos Asset Management, Cl A	20,522		226
Camden National	10,600		333
CapitalSource	639,381		2,903
Capstead Mortgage ‡ (A)	153,700		1,755
Cardinal Financial	40,784		428
Cardtronics *	140,318		1,817
Cathay General Bancorp (A)	100,100		1,103
CBL & Associates Properties ‡ (A)	140,597		2,009
Central Pacific Financial * (A)	29,400		71
Chatham Lodging Trust ‡ *	37,500		675
Chemical Financial	24,548		595
Chimera Investment ‡	210,300		829
Cincinnati Financial	13,900		378
Citizens Republic Bancorp * (A)	444,300		489
City Holding	8,200		263
CNA Surety *	26,160		430
CNO Financial Group * (A)	285,000		1,599
Cohen & Steers	14,800		358
Colonial Properties Trust ‡	15,600		235
Community Bank System (A)	46,788		1,069
Corporate Office Properties Trust ‡ (A)	27,250		1,033
Cousins Properties ‡	16,179		125


Description	Shares	Market Value ($ Thousands)
Cowen Group, Cl A *	305,400	$	1,448
Crawford, Cl B *	15,924		53
CreXus Investment ‡	44,500		580
DCT Industrial Trust ‡ (A)	44,100		213
Delphi Financial Group, Cl A (A)	84,100		2,184
Developers Diversified Realty ‡ (A)	82,500		944
DiamondRock Hospitality ‡ (A)	25,692		235
Dime Community Bancshares (A)	33,400		426
Dollar Financial * (A)	59,600		1,204
Douglas Emmett ‡ (A)	45,150		699
Duff & Phelps, Cl A	61,634		831
DuPont Fabros Technology ‡	46,500		1,188
Dynex Capital ‡ (A)	26,500		250
ETrade Financial	474,600		702
EastGroup Properties ‡ (A)	5,600		207
Education Realty Trust ‡	78,576		500
EMC Insurance Group	3,271		73
Employers Holdings	90,398		1,442
Encore Bancshares *	39,100		407
Encore Capital Group *	30,600		640
Endurance Specialty Holdings (A)	55,053		2,042
Entertainment Properties Trust ‡ (A)	9,300		381
Equity Lifestyle Properties ‡	5,600		290
Equity One ‡ (A)	86,386		1,483
Equity Residential ‡	78,250		3,531
ESSA Bancorp	36,900		463
Essex Property Trust ‡ (A)	20,400		2,147
Extra Space Storage ‡ (A)	56,750		854
FBL Financial Group, Cl A (A)	32,400		792
FBR Capital Markets *	334,000		1,353
Federal Realty Investment Trust ‡ (A)	24,300		1,791
Federated Investors, Cl B (A)	25,322		562
FelCor Lodging Trust ‡ *	13,600		92
Financial Engines *	56,535		862
First Bancorp	270,047		359
First Commonwealth Financial	37,304		195
First Financial Bancorp (A)	113,203		1,799
First Financial Bankshares (A)	700		35
First Financial Holdings	18,800		263
First Horizon National * (A)	37,497		467
First Industrial Realty Trust ‡ *	61,100		409
First Merchants (A)	9,500		82
First Potomac Realty Trust ‡	9,000		132
FirstMerit (A)	26,910		502
Flushing Financial	135,000		1,828
FNB (Pennsylvania)	50,942		417
FPIC Insurance Group *	17,400		475
Franklin Street Properties ‡ (A)	14,800		183
GAMCO Investors, Cl A	1,500		59
General Shopping Brasil (Brazil) *	173,100		664
Getty Realty ‡	4,100		92
GFI Group (A)	132,300		800
Gluskin Sheff + Associates	37,100		623
Great American Group *	234,582		422
Greenhill	20,754		1,438
Grubb & Ellis * (A)	524,460		761
Hancock Holding (A)	39,483		1,509
Harleysville Group	8,700		284
Hatteras Financial ‡ (A)	21,800		604
HCP ‡ (A)	88,550		2,821


Description	Shares	Market Value ($ Thousands)
Healthcare Realty Trust ‡ (A)	45,150	$	1,035
Hercules Technology Growth Capital	105,365		928
Highwoods Properties ‡ (A)	51,700		1,523
Home Bancshares	48,600		1,146
Home Federal Bancorp	37,800		579
Home Properties ‡ (A)	7,300		355
Horace Mann Educators	161,578		2,483
Horizon Financial * (A)	400		—
Hospitality Properties Trust ‡	19,100		430
Host Hotels & Resorts ‡ (A)	132,562		1,890
HRPT Properties Trust ‡	172,600		1,158
Hudson Valley Holding	45,710		1,093
Iberiabank (A)	11,541		634
Infinity Property & Casualty (A)	53,786		2,517
Inland Real Estate ‡ (A)	65,100		542
International Bancshares (A)	110,300		2,178
Investors Real Estate Trust ‡ (A)	141,400		1,234
iStar Financial ‡ *	122,300		742
Jones Lang LaSalle	33,440		2,495
Kennedy-Wilson Holdings *	42,710		471
Kilroy Realty ‡ (A)	9,300		306
Knight Capital Group, Cl A *	65,500		957
LaSalle Hotel Properties ‡ (A)	13,900		313
Lexington Realty Trust ‡ (A)	22,672		141
Life Partners Holdings (A)	9,600		194
LTC Properties ‡	65,093		1,672
Macerich ‡ (A)	45,196		1,869
Mack-Cali Realty ‡	55,750		1,839
MainSource Financial Group (A)	22,500		187
MarketAxess Holdings	230,376		3,400
MB Financial	55,400		1,211
Meadowbrook Insurance Group	327,868		2,849
Medical Properties Trust ‡	273,600		2,613
MF Global Holdings *	234,450		1,805
MFA Mortgage Investments ‡ (A)	414,111		3,035
MGIC Investment *	371,705		3,479
Mid-America Apartment Communities ‡ (A)	19,834		1,084
Montpelier Re Holdings	131,013		2,045
MSCI, Cl A *	45,412		1,347
National Health Investors ‡	5,900		243
National Penn Bancshares (A)	129,595		906
National Retail Properties ‡ (A)	18,100		398
Nationwide Health Properties ‡	8,213		292
Navios Maritime Acquisition *	117,200		769
NBT Bancorp	3,700		81
Nelnet, Cl A	149,800		2,966
Northwest Bancshares	57,900		673
NYSE Euronext	14,100		404
OceanFirst Financial (A)	13,950		170
Old National Bancorp	64,300		738
Omega Healthcare Investors ‡ (A)	18,100		359
Oriental Financial Group (A)	33,900		464
PacWest Bancorp (A)	36,961		770
Park National (A)	12,200		789
Parkway Properties ‡ (A)	32,800		553
Pebblebrook Hotel Trust ‡ *	25,700		527
Pennsylvania Real Estate Investment Trust ‡	32,300		445
PHH * (A)	82,933		1,829
Phoenix * (A)	332,500		938


Description	Shares	Market Value ($ Thousands)
Pico Holdings *	41,758	$	1,390
Piedmont Office Realty Trust,
Cl A ‡	21,245		403
Piper Jaffray *	4,500		149
Platinum Underwriters Holdings (A)	143,296		5,275
PMA Capital, Cl A *	83,953		567
Post Properties ‡	9,900		248
Potlatch ‡ (A)	18,500		645
Presidential Life	13,709		144
PrivateBancorp, Cl A	34,300		455
ProAssurance * (A)	25,199		1,483
ProLogis ‡ (A)	36,100		411
Prosperity Bancshares (A)	59,400		2,141
Protective Life (A)	11,300		243
Provident Financial Services (A)	88,100		1,089
PS Business Parks ‡	3,900		210
Public Storage ‡	32,374		3,001
Radian Group	182,500		1,876
RAIT Financial Trust ‡ * (A)	234,200		588
Redwood Trust ‡ (A)	61,200		930
Regency Centers ‡ (A)	15,300		562
Reinsurance Group of America, Cl A	16,412		771
Renasant	47,800		686
Republic Bancorp, Cl A (A)	53,900		1,248
S&T Bancorp (A)	23,700		511
Safeguard Scientifics *	28,600		323
Safety Insurance Group	45,600		1,648
SCBT Financial	26,160		936
SeaBright Insurance Holdings	52,900		545
Selective Insurance Group	44,600		696
Senior Housing Properties Trust ‡	71,850		1,497
Signature Bank NY *	22,597		855
Simmons First National, Cl A	21,780		574
Simon Property Group ‡ (A)	40,847		3,473
SL Green Realty ‡ (A)	12,600		785
South Financial Group (A)	401,300		109
Sovran Self Storage ‡ (A)	22,203		800
Starwood Property Trust ‡	72,800		1,327
Sterling Bancshares	137,500		736
Sterling Financial * (A)	69,700		59
Stewart Information Services (A)	55,100		584
Student Loan	17,800		522
Sun Communities ‡ (A)	3,600		107
Sunstone Hotel Investors ‡ *	97,750		1,078
Susquehanna Bancshares (A)	210,255		1,844
SVB Financial Group * (A)	42,220		1,894
SWS Group	54,169		544
Synovus Financial (A)	787,322		2,330
Tanger Factory Outlet Centers ‡ (A)	8,900		370
Taubman Centers ‡ (A)	46,450		1,881
TD Ameritrade Holding *	43,531		772
Texas Capital Bancshares *	34,100		623
THL Credit *	60,200		712
Thomas Weisel Partners Group *	74,000		508
Titanium Asset Management * (G)	122,200		358
Titanium Asset Management *	10,500		26
Tompkins Financial	5,200		207
Tower Group	13,900		305
TradeStation Group *	61,000		434


Description	Shares	Market Value ($ Thousands)
Trustco Bank (A)	191,167	$	1,191
Trustmark (A)	19,600		438
Umpqua Holdings	129,588		1,628
United Bankshares (A)	54,900		1,478
United Community Banks * (A)	69,539		322
United Financial Bancorp	30,700		416
United Fire & Casualty	5,800		124
Unitrin	7,300		195
Universal Health Realty Income Trust ‡	3,000		98
Uranium Participation *	206,900		1,115
Urstadt Biddle Properties, Cl A ‡	4,600		77
U-Store-It Trust ‡	17,500		144
Validus Holdings	68,347		1,679
Value Creation * (G)	119,600		114
Ventas ‡ (A)	29,800		1,399
ViewPoint Financial Group	42,300		672
Vornado Realty Trust ‡ (A)	12,137		943
Walter Investment Management ‡	4,500		73
Washington Federal	23,300		403
Washington Real Estate Investment Trust ‡ (A)	43,200		1,269
Webster Financial (A)	16,000		306
WesBanco (A)	30,100		567
Westamerica Bancorporation (A)	31,800		1,770
Whitney Holding (A)	84,267		999
Willis Group Holdings	14,562		446
Wilmington Trust	28,500		430
Wilshire Bancorp	14,100		144
Wintrust Financial (A)	8,400		300
World Acceptance * (A)	70,000		2,501
WSFS Financial	26,200		1,057
Zions Bancorporation (A)	19,295		462

			249,653

Health Care — 11.4%
Abaxis * (A)	132,345		2,979
Acadia Pharmaceuticals * (A)	249,100		334
Achillion Pharmaceuticals *	168,545		374
Acorda Therapeutics *	76,525		2,631
Affymetrix * (A)	68,700		450
Air Methods *	22,700		747
Albany Molecular Research *	58,119		373
Alexion Pharmaceuticals *	16,792		840
Align Technology * (A)	139,458		2,081
Allscripts-Misys Healthcare
Solutions *	45,100		848
Alnylam Pharmaceuticals * (A)	26,170		414
AMAG Pharmaceuticals *	113,424		3,611
Amedisys * (A)	10,476		521
American Medical Systems Holdings * (A)	22,700		512
AMERIGROUP *	14,901		535
AMN Healthcare Services * (A)	211,200		1,757
Amsurg, Cl A *	130,396		2,582
Analogic	9,256		400
Angiodynamics *	23,114		341
Arena Pharmaceuticals * (A)	321,302		990
Assisted Living Concepts, Cl A *	32,970		1,093
athenahealth *	79,450		1,967
BioMarin Pharmaceutical *	132,119		2,579
Biovail	94,600		1,420


Description	Shares	Market Value ($ Thousands)
Cambrex *	110,300	$	460
Cardiome Pharma *	241,241		2,039
Catalyst Health Solutions *	74,010		2,834
Cepheid * (A)	41,727		746
Chemed (A)	52,795		3,005
Conceptus * (A)	151,634		2,531
Conmed *	89,115		1,732
Cooper (A)	14,334		528
Covance *	12,500		660
Cross Country Healthcare *	100,300		854
CryoLife *	29,700		154
Cubist Pharmaceuticals *	115,091		2,474
Cyberonics *	8,300		146
Cypress Bioscience * (A)	14,100		58
Durect *	478,253		1,215
Emergency Medical Services, Cl A *	10,800		579
Emergent Biosolutions *	6,800		107
Ensign Group (A)	42,433		774
Enzo Biochem *	25,556		136
eResearch Technology *	73,463		583
Exactech *	52,314		907
Exelixis * (A)	104,062		539
Genoptix *	44,024		1,174
Gen-Probe *	32,796		1,442
Genta *	126		—
Gentiva Health Services *	25,400		702
GTx * (A)	7,400		15
Haemonetics *	8,500		459
Hanger Orthopedic Group * (A)	9,500		162
Healthsouth * (A)	122,377		2,430
Healthspring *	39,500		686
HealthTronics *	320,200		1,543
HeartWare International *	28,123		1,663
Hill-Rom Holdings	36,000		1,004
Human Genome Sciences * (A)	68,898		1,706
ICU Medical *	108,500		3,452
Idexx Laboratories *	12,400		784
Immucor *	13,100		257
Incyte * (A)	243,380		3,137
Inspire Pharmaceuticals *	118,300		673
Integra LifeSciences Holdings * (A)	14,129		557
Invacare (A)	17,300		413
inVentiv Health *	1,300		32
Inverness Medical Innovations *	4,600		160
IPC The Hospitalist *	60,817		1,780
Kendle International * (A)	65,917		929
Kensey Nash * (A)	28,041		648
Kindred Healthcare *	121,550		1,885
Kinetic Concepts * (A)	21,300		882
King Pharmaceuticals * (A)	132,400		1,148
LCA-Vision * (A)	24,100		181
LHC Group * (A)	111,456		3,433
Lincare Holdings (A)	13,600		637
Luminex * (A)	62,560		1,072
Magellan Health Services *	15,700		639
Martek Biosciences * (A)	43,976		818
Masimo	82,060		1,817
Matrixx Initiatives *	12,300		58
MedAssets *	71,155		1,615


Description	Shares	Market Value ($ Thousands)
Medical Staffing Network
Holdings *	88,000	$	4
Medicines *	223,000		1,874
Medicis Pharmaceutical, Cl A (A)	98,800		2,291
Medivation *	19,000		223
Mednax *	53,678		3,035
Meridian Bioscience	46,800		818
Merit Medical Systems *	5,250		80
Molina Healthcare * (A)	29,600		815
MWI Veterinary Supply *	29,348		1,438
Myriad Genetics *	59,145		1,079
Neogen * (A)	28,491		733
Nighthawk Radiology Holdings *	40,281		128
NuVasive * (A)	102,687		4,033
Obagi Medical Products *	59,105		751
Odyssey HealthCare * (A)	26,300		698
Omnicell *	148,999		1,952
Orthofix International *	2,900		93
Owens & Minor	8,900		266
Par Pharmaceutical *	142,320		3,951
Parexel International *	33,100		738
Patterson (A)	15,459		459
PDL BioPharma (A)	576,794		3,097
Perrigo	6,100		362
Pharmaceutical Product Development	24,893		668
PharMerica *	38,000		623
Pozen *	205,133		1,575
Providence Service *	41,000		672
PSS World Medical * (A)	109,236		2,503
Psychiatric Solutions *	10,500		340
Quality Systems	18,675		1,103
Questcor Pharmaceuticals * (A)	153,300		1,452
Quidel * (A)	148,823		1,741
Res-Care *	117,600		1,323
Rigel Pharmaceuticals * (A)	217,600		1,419
Savient Pharmaceuticals * (A)	5,400		65
Seattle Genetics * (A)	54,506		721
Sirona Dental Systems *	2,700		96
Skilled Healthcare Group, Cl A *	50,800		418
Somanetics *	3,300		59
STERIS	75,600		2,406
Sun Healthcare Group * (A)	60,000		547
Symmetry Medical *	27,400		298
Techne	39,055		2,365
Teleflex	23,766		1,333
Theravance * (A)	104,426		1,327
Thoratec *	17,810		781
United Therapeutics * (A)	20,720		1,061
Universal American Financial *	91,100		1,332
Universal Health Services, Cl B	27,200		1,153
Viropharma * (A)	74,464		906
Volcano * (A)	30,770		683
WellCare Health Plans *	47,109		1,284
Zoll Medical *	13,500		392

			152,997

Industrials — 16.6%
AAR * (A)	24,600		484
ACCO Brands *	123,800		874
Acuity Brands (A)	78,280		3,220
Administaff	5,900		142


Description	Shares	Market Value ($ Thousands)
Advisory Board * (A)	22,372	$	830
Aegean Marine Petroleum Network (A)	199,149		4,588
AerCap Holdings *	236,176		2,832
Aerovironment *	84,028		2,104
Air Transport Services Group *	39,500		222
Aircastle	79,000		778
Airtran Holdings *	1,028,886		5,803
Alamo Group	21,600		502
Alaska Air Group * (A)	41,500		1,938
Alliant Techsystems *	16,005		1,101
Ameron International	1,400		91
Ampco-Pittsburgh	23,100		535
AMR *	39,000		299
AO Smith	25,200		1,175
APAC Customer Services * (A)	90,700		587
Apogee Enterprises (A)	126,900		1,733
Applied Industrial Technologies	59,100		1,630
Arkansas Best (A)	60,600		1,418
Armstrong World Industries *	21,900		821
ArvinMeritor *	66,900		973
Astec Industries * (A)	47,500		1,419
ATC Technology * (A)	65,193		1,219
Atlas Air Worldwide Holdings *	17,300		904
Avis Budget Group * (A)	66,400		787
AZZ	11,300		417
Barnes Group	75,425		1,412
BE Aerospace *	44,578		1,209
Beacon Roofing Supply *	61,085		1,283
Belden (A)	36,215		938
Brady, Cl A	20,981		610
Briggs & Stratton	61,215		1,263
Brink’s	13,300		301
Carlisle	64,625		2,513
Cascade	12,200		406
CDI	3,400		54
Celadon Group *	132,098		1,799
Cenveo *	110,611		816
Ceradyne *	36,400		784
Chart Industries *	21,300		392
Clean Harbors *	14,037		890
Columbus McKinnon *	84,066		1,377
Comfort Systems USA (A)	167,100		1,841
Continental Airlines, Cl B *	44,800		945
Copa Holdings, Cl A	28,170		1,437
Copart *	80,817		2,901
Cornell *	104,000		2,812
Corporate Executive Board	60,327		1,954
CoStar Group * (A)	98,973		4,035
Courier	15,336		243
CRA International *	103,200		2,293
Crane	4,500		146
Cubic	60,000		2,183
Deluxe	81,000		1,739
Diamond Management & Technology Consultants, Cl A	5,200		52
Douglas Dynamics *	123,000		1,458
DXP Enterprises *	2,500		39
Dycom Industries *	108,292		1,070
DynCorp International, Cl A *	57,000		975
EMCOR Group *	216,618		5,409
Encore Wire	26,300		519


Description	Shares	Market Value ($ Thousands)
EnerNOC * (A)	99,209	$	2,788
EnerSys * (A)	34,900		785
Ennis	30,721		540
EnPro Industries * (A)	41,400		1,307
Esterline Technologies * (A)	25,500		1,368
Fastenal	14,200		716
Force Protection *	302,300		1,344
Franklin Electric	3,900		114
FTI Consulting * (A)	89,700		3,836
G&K Services, Cl A	50,915		1,232
Gardner Denver	60,934		2,775
Genco Shipping & Trading * (A)	42,500		809
Generac Holdings *	92,420		1,016
General Cable * (A)	16,705		521
Genesee & Wyoming, Cl A *	7,000		252
Geo Group *	60,700		1,281
GeoEye * (A)	96,071		3,052
Gibraltar Industries *	46,500		610
GrafTech International *	34,300		570
Graham	43,919		733
Granite Construction (A)	91,300		2,707
Great Lakes Dredge & Dock	199,400		1,162
Griffon *	42,500		516
GT Solar International * (A)	24,500		134
H&E Equipment Services * (A)	92,700		926
Harsco	300		8
Hawaiian Holdings * (A)	114,900		818
Healthcare Services Group	69,096		1,390
Heico, Cl A	27,913		838
Hexcel * (A)	9,000		144
Hill International *	18,300		86
HNI (A)	41,700		1,279
Horizon Lines, Cl A	253,678		1,035
Hubbell, Cl B	8,200		350
Hudson Highland Group *	62,800		322
ICF International *	61,264		1,374
IDEX (A)	50,707		1,549
IHS, Cl A *	34,885		1,806
II-VI *	33,872		1,135
Innerworkings * (A)	563,463		3,905
Insteel Industries (A)	14,900		189
Interface, Cl A	193,862		2,285
Interline Brands *	10,200		203
John Bean Technologies	7,600		131
Kadant *	31,055		607
Kaman	16,467		403
Kaydon (A)	60,627		2,276
KBR	26,900		591
Kelly Services, Cl A * (A)	29,600		432
Kirby *	46,100		1,817
Knight Transportation (A)	43,376		862
Knoll	15,500		229
Kratos Defense & Security Solutions *	108,700		1,333
Ladish *	14,400		364
Landstar System	55,375		2,322
LB Foster, Cl A *	13,200		371
LECG *	221,001		734
Lincoln Electric Holdings (A)	3,000		167
Lindsay Manufacturing (A)	2,300		79
LS Starrett, Cl A	1,700		16
Lydall *	15,060		121


Description	Shares	Market Value ($ Thousands)
Marten Transport * (A)	16,800	$	374
Mcgrath Rentcorp	5,576		130
Michael Baker *	51,500		1,867
Middleby *	23,390		1,317
Mine Safety Appliances	34,528		945
Mueller Industries	81,300		2,155
Mueller Water Products, Cl A	20,500		89
MYR Group * (A)	45,111		744
NACCO Industries, Cl A (A)	12,100		1,023
Navistar International *	17,300		937
Northwest Pipe *	5,100		105
Old Dominion Freight Line *	44,600		1,590
Orbital Sciences * (A)	37,000		587
Owens Corning *	14,101		470
Pacer International * (A)	101,700		828
Powell Industries *	17,900		526
Quanex Building Products	87,875		1,751
Raven Industries	22,400		794
RBC Bearings *	7,925		222
Republic Airways Holdings * (A)	58,800		344
Resources Connection *	143,737		2,320
Ritchie Bros Auctioneers	88,560		1,805
RSC Holdings * (A)	159,500		1,166
Rush Enterprises, Cl A *	93,643		1,422
Ryder System (A)	45,400		2,040
Sauer-Danfoss *	14,200		203
School Specialty * (A)	103,399		2,222
Skywest	57,264		840
Spirit Aerosystems Holdings, Cl A *	50,600		986
Standard Parking *	133,304		2,068
Standard Register	35,194		140
Standex International	18,500		481
SYKES Enterprises *	106,600		1,840
TAL International Group (A)	59,600		1,430
Teledyne Technologies *	47,002		1,848
Tennant	73,732		2,469
Terex *	57,224		1,245
Tetra Tech *	105,450		2,390
Textainer Group Holdings (A)	65,500		1,608
Titan Machinery *	82,626		1,071
Towers Watson, Cl A (A)	62,163		2,860
TransDigm Group	45,940		2,424
Tredegar	51,705		852
Trex * (A)	1,400		32
Triumph Group (A)	10,018		695
TrueBlue *	85,700		1,139
Tutor Perini *	79,606		1,775
UAL * (A)	80,211		1,605
United Rentals * (A)	31,900		388
United Stationers *	4,900		286
Universal Forest Products (A)	12,300		456
US Airways Group *	172,700		1,525
US Ecology	14,377		203
Vitran, Cl A *	77,660		1,097
Wabash National *	147,500		1,056
Wabtec	53,465		2,318
Watts Water Technologies, Cl A (A)	31,550		1,022
WESCO International * (A)	111,065		4,154
Woodward Governor (A)	55,800		1,601


Description	Shares	Market Value ($ Thousands)
YRC Worldwide *	31,300	$	11

			222,080

Information Technology — 19.0%
ACI Worldwide *	5,000		96
Acme Packet *	59,275		1,737
Actel *	99,900		1,410
Acxiom *	21,400		373
ADC Telecommunications * (A)	54,700		452
Advanced Energy Industries * (A)	259,929		3,213
Advent Software * (A)	57,059		2,467
Amkor Technology *	114,900		782
Ancestry.com * (A)	86,040		1,451
Anixter International * (A)	37,017		1,758
Ansys *	19,196		839
AOL *	56,835		1,172
Applied Micro Circuits *	41,800		461
Archipelago Learning *	85,219		1,237
Arris Group *	232,400		2,549
Arrow Electronics *	45,200		1,233
Art Technology Group * (A)	647,782		2,423
AsiaInfo Holdings *	35,000		750
Atheros Communications *	131,939		4,486
Atmel *	425,105		2,170
ATMI *	98,554		1,596
Benchmark Electronics *	170,500		3,151
Black Box	17,200		507
Blackbaud	8,100		183
Blackboard * (A)	56,261		2,253
Blue Coat Systems *	13,900		298
Brightpoint *	137,400		1,021
Brocade Communications Systems *	293,667		1,601
Cabot Microelectronics *	39,200		1,439
CACI International, Cl A *	47,756		2,208
CDC Software ADR *	192,612		1,645
Ceva *	179,990		2,091
Checkpoint Systems *	37,986		756
Ciber *	367,050		1,094
Cirrus Logic *	2,300		33
Cognex	47,092		899
Cogo Group *	44,900		304
Coherent *	36,774		1,298
CommScope *	60,890		1,717
CommVault Systems *	73,352		1,653
Compuware *	133,600		1,094
Comtech Telecommunications *	50,264		1,448
Comverse Technology * (A)	155,600		1,329
Concur Technologies * (A)	21,486		909
Convergys *	83,600		913
CSG Systems International *	147,593		3,029
CTS	110,657		1,165
Cymer *	38,000		1,150
Cypress Semiconductor *	43,100		491
Daktronics	27,600		232
DealerTrack Holdings * (A)	61,024		978
DG FastChannel *	49,682		2,110
Diebold (A)	63,575		1,842
Digi International *	164,700		1,522
Digital River *	105,212		2,898
DSP Group *	48,301		327
DTS *	120,962		3,995


Description	Shares	Market Value ($ Thousands)
Earthlink (A)	371,100	$	3,188
Echo Global Logistics *	41,398		543
EF Johnson Technologies *	73,200		73
Electro Rent	13,171		179
Electronics for Imaging *	33,857		377
EMS Technologies *	4,000		62
Emulex *	144,682		1,516
Entegris *	44,800		242
Entropic Communications *	170,849		912
Epicor Software *	3,600		34
EPIQ Systems	7,200		82
Euronet Worldwide *	100,840		1,326
Fair Isaac (A)	67,500		1,566
Forrester Research *	14,300		449
Gartner *	118,590		2,935
GSI Commerce * (A)	74,411		2,095
Hackett Group *	197,801		669
Heartland Payment Systems	108,652		1,785
Hittite Microwave *	13,100		599
IAC *	40,300		945
Imation * (A)	379,866		3,905
Insight Enterprises *	78,800		1,146
Integral Systems *	90,800		621
Integrated Device Technology *	108,149		632
InterDigital * (A)	7,000		183
Intermec * (A)	191,710		2,117
Internet Capital Group *	137,141		1,141
Intersil, Cl A	51,400		684
IXYS *	24,600		229
Jack Henry & Associates	47,800		1,149
JDA Software Group *	83,106		2,221
KIT Digital * (A)	114,705		1,265
Knot * (A)	263,719		1,973
Lawson Software *	346,738		2,859
LeCroy *	71,700		358
Lexmark International, Cl A *	32,500		1,220
Littelfuse * (A)	17,830		645
LivePerson *	19,800		128
LTX-Credence *	194,200		672
Manhattan Associates * (A)	105,800		3,063
Mantech International, Cl A * (A)	79,332		3,668
MAXIMUS	27,900		1,671
Meru Networks * (A)	71,264		934
Methode Electronics (A)	159,792		1,622
Micrel	41,100		456
Microsemi * (A)	120,562		1,866
MicroStrategy, Cl A *	36,600		2,820
Mitel Networks * (A)	137,100		1,522
MKS Instruments *	56,125		1,115
ModusLink Global Solutions *	33,317		255
MoneyGram International *	126,800		333
Monotype Imaging Holdings *	79,107		781
Monster Worldwide * (A)	90,200		1,334
Move *	152,603		320
MTS Systems	19,099		559
Multi-Fineline Electronix *	20,550		543
NCR *	70, 400		935
Net 1 UEPS Technologies *	114,046		1,633
Netgear *	78,400		1,781
Netlogic Microsystems *	120,985		3,481
NetSuite *	125,261		1,764
Novatel Wireless * (A)	252,400		1,552


Description	Shares	Market Value ($ Thousands)
Novell *	200,045	$	1,166
Nuance Communications * (A)	57,708		983
Omnivision Technologies * (A)	99,300		1,915
Openwave Systems *	73,400		158
Orbotech *	109,800		1,239
OSI Systems *	42,200		1,109
Palm *	69,600		397
Parametric Technology *	42,984		708
Park Electrochemical	77,300		2,000
Parkervision * (A)	376,271		662
Plantronics (A)	34,900		1,045
PMC - Sierra *	160,500		1,300
Power Integrations	64,252		2,183
Progress Software *	74,400		2,376
PROS Holdings *	76,632		507
Quantum *	766,424		1,801
Quest Software *	178,118		3,447
Radisys * (A)	71,700		673
RealNetworks *	60,300		217
Richardson Electronics	25,765		251
RightNow Technologies *	25,541		372
Rogers *	11,936		341
Rosetta Stone *	84,898		2,229
Rubicon Technology * (A)	58,057		1,578
Rudolph Technologies * (A)	96,300		855
Sapient	249,200		2,529
SAVVIS *	85,097		1,596
Scansource * (A)	32,400		835
Seachange International *	183,800		1,535
Sigma Designs * (A)	15,700		164
Silicon Image *	94,000		343
Smith Micro Software *	91,615		902
Solera Holdings	39,293		1,363
Sonic Solutions * (A)	85,631		1,018
Sourcefire * (A)	26,908		555
SRA International, Cl A * (A)	87,827		1,894
SS&C Technologies Holdings *	201,131		3,282
Stamps.com *	15,225		160
Standard Microsystems *	26,671		610
SuccessFactors *	51,550		1,148
Synaptics *	11,900		356
Synchronoss Technologies *	53,654		1,097
SYNNEX * (A)	36,500		976
Synopsys *	27,232		583
Syntel	38,650		1,292
Take-Two Interactive Software *	38,800		449
Taleo, Cl A *	58,280		1,460
Tech Data *	40,900		1,663
Technitrol (A)	53,500		206
Tekelec *	31,114		446
TeleNav *	10,600		89
TeleTech Holdings *	43,300		560
Teradyne *	289,524		3,179
Tessera Technologies * (A)	24,900		433
THQ *	56,211		337
TIBCO Software *	100,700		1,149
TiVo * (A)	17,200		156
TNS * (A)	32,397		623
Trimble Navigation *	79,165		2,274
TriQuint Semiconductor *	92,700		651
TTM T echnologies * (A)	191,400		2,214
Ultra Clean Holdings *	71,300		636


Description	Shares	Market Value ($ Thousands)
Ultratech *	78,600	$	1,096
Unisys *	57,280		1,329
United Online (A)	265,300		1,808
Valueclick *	102,700		1,194
VanceInfo Technologies ADR *	97,399		2,107
Varian Semiconductor Equipment
Associates *	23,600		734
Vasco Data Security International *	15,300		97
Veeco Instruments * (A)	51,038		1,948
VeriFone Holdings *	74,225		1,498
Verigy *	146,827		1,492
Vishay Intertechnology * (A)	31,700		287
VistaPrint * (A)	128,244		5,988
Vocus *	112,111		1,756
Volterra Semiconductor *	13,800		324
Web.com Group *	51,800		196
Websense * (A)	79,700		1,667
Xyratex *	63,974		1,038
Zebra Technologies, Cl A *	31,575		869
Zoran *	229,501		2,217

			254,891

Materials — 4.3%
A. Schulman	60,482		1,344
AEP Industries *	5,300		133
AK Steel Holding	35,375		529
Allied Nevada Gold * (A)	83,800		1,604
AM Castle *	33,269		495
Aptargroup	43,790		1,745
Arch Chemicals	26,418		905
Buckeye Technologies *	109,200		1,323
Bway Holding *	5,300		106
Cabot	14,429		404
Carpenter Technology (A)	34,000		1,323
Century Aluminum *	29,000		305
Coeur d’Alene Mines * (A)	17,600		266
Commercial Metals (A)	85,715		1,334
Crown Holdings *	57,930		1,362
Cytec Industries	19,131		818
Domtar	9,700		594
Eagle Materials (A)	15,000		460
Ferro *	28,606		258
Gammon Gold *	174,700		1,282
General Steel Holdings *	78,857		217
Glatfelter (A)	41,800		485
Globe Specialty Metals *	110,000		1,284
Graham Packaging *	22,000		276
H.B. Fuller	128,258		2,736
Haynes International	29,000		921
Headwaters *	73,275		290
Hecla Mining * (A)	43,500		234
Huntsman	38,278		382
Innophos Holdings	44,300		1,264
Jaguar Mining * (A)	148,200		1,338
Kaiser Aluminum (A)	27,000		1,010
Koppers Holdings	71,322		1,932
Landec *	13,462		83
LSB Industries * (A)	6,000		98
Minerals Technologies	11,300		604
Myers Industries	71,593		643
Nalco Holding	74,360		1,685


Description	Shares	Market Value ($ Thousands)
New Gold * (A)	231,900	$	1,408
NewMarket	36,475		3,756
Olin (A)	64,054		1,228
Olympic Steel	23,000		634
OM Group * (A)	54,706		1,633
PolyOne *	102,148		1,020
Quaker Chemical	28,200		779
Rock-Tenn, Cl A	21,100		1,086
Rockwood Holdings *	16,900		438
RTI International Metals *	52,683		1,397
Schweitzer-Mauduit International	37,092		2,047
Sensient Technologies (A)	76,100		2,107
Silgan Holdings	22,076		630
Spartech *	20,790		277
Stepan (A)	14,000		1,010
Universal Stainless & Alloy *	63,000		1,298
US Gold * (A)	70,900		280
Wausau Paper *	25,400		222
Worthington Industries (A)	63,500		935
WR Grace * (A)	129,971		3,331

			57,588

Telecommunication Services — 1.0%
Alaska Communications Systems Group	33,364		276
Atlantic Telegraph-Network (A)	12,100		506
Cbeyond * (A)	40,310		630
Cincinnati Bell *	269,300		856
Consolidated Communications Holdings	27,286		471
Frontier Communications	115,100		915
Global Crossing *	36,200		493
Leap Wireless International * (A)	70,000		1,143
Neutral Tandem * (A)	158,966		2,137
Premiere Global Services *	59,300		473
SBA Communications, Cl A * (A)	127,562		4,213
USA Mobility (A)	92,300		1,300

			13,413

Utilities — 3.3%
AGL Resources	28,212		1,030
Allete (A)	72,440		2,501
Avista (A)	51,300		990
California Water Service Group	14,000		502
Central Vermont Public Service	17,800		357
CH Energy Group	2,100		82
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	87,400		1,143
Cleco	69,000		1,826
El Paso Electric *	184,300		3,653
Empire District Electric (A)	93,192		1,700
Great Plains Energy	79,067		1,388
IDACORP	53,656		1,773
ITC Holdings	29,878		1,575
Laclede Group	6,900		228
Mirant *	32,000		397
New Jersey Resources	2,400		85
Nicor (A)	45,200		1,826
Northwest Natural Gas (A)	13,500		594
NorthWestern (A)	216,881		5,712
Portland General Electric	311,775		5,896


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
RRI Energy *		55,200	$	244
South Jersey Industries		12,954		569
UGI		60,000		1,568
UIL Holdings		39,800		1,006
Unisource Energy (A)		98,058		3,028
Vectren		81,300		1,874
Westar Energy		80,626		1,774
WGL Holdings (A)		8,300		281

				43,602

Total Common Stock (Cost $1,138,707) ($ Thousands)				1,296,705

PREFERRED STOCK — 0.2%
Consumer Discretionary — 0.1%
Callaway Golf (B)		11,100		1,483

Financials — 0.1%
Grubb & Ellis *		6,600		673

Total Preferred Stock (Cost $1,755) ($ Thousands)				2,156

CONVERTIBLE BONDS — 0.2%
Consumer Discretionary — 0.0%
Eddie Bauer Holdings 5.250%, 04/01/14 (E)	$	3,147		252

Energy — 0.2%
Nova Biosource Fuels 10.000%, 09/30/12 (E)		3,332		8
Rentech 4.000%, 04/15/13		1,915		1,283
Scorpio Mining 7.000%, 05/05/11 (G)		887		779

				2,070

Total Convertible Bonds (Cost $3,725) ($ Thousands)				2,322

WARRANTS — 0.0%
Oilsands Quest, Expires 05/12/11 *		247,050		49

Rentech, Expires 04/25/12 * (G)		16,100		2

Titanium Asset Management, Expires 06/21/11 * (G)		122,200		—

Washington Mutual (F)		17,435		5

Total Warrants (Cost $53) ($ Thousands)				56


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
	Number Of Rights
RIGHT — 0.0%
United States — 0.0%
Ligand Pharma, Expires 01/05/12		64,529	$	—

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

EXCHANGE TRADED FUNDS — 0.0%
Powershares QQQ		7,485		342

Total Exchange Traded Funds (Cost $374) ($ Thousands)				342

AFFILIATED PARTNERSHIP — 17.6%
SEI Liquidity Fund, L.P. 0.240%**†(B)		241,968,446		235,812

Total Affiliated Partnership (Cost $241,968) ($ Thousands)				235,812

CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†		50,578,993		50,579

Total Cash Equivalent (Cost $50,579) ($ Thousands)				50,579

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

Total U.S. Treasury Obligation (Cost $3,329) ($ Thousands)				3,329

Total Investments — 118.8% (Cost $1,440,490) ($ Thousands)			$	1,591,301

A summary of the open futures contracts held by the Fund at May 31, 2010,

is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-Mini	513	Jun-2010	$	160


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 97.4%
Consumer Discretionary — 16.3%
Aaron’s	64,902	$	1,297
Abercrombie & Fitch, Cl A	37,683		1,350
Advance Auto Parts	9,880		511
Aeropostale *	71,200		1,973
AFC Enterprises *	62,235		651
American Eagle Outfitters	308,162		4,037
American Greetings, Cl A (A)	33,400		788
AnnTaylor Stores *	27,800		602
Apollo Group, Cl A *	28,800		1,531
Arctic Cat *	68,000		780
Autoliv (A)	46,400		2,204
Barnes & Noble	23,071		467
Bebe Stores	45,936		315
Belo, Cl A	147,440		1,072
Big 5 Sporting Goods (A)	29,244		432
Big Lots * (A)	57,066		2,016
Blyth	5,589		277
Bob Evans Farms (A)	41,100		1,194
BorgWarner *	54,527		2,032
Bridgepoint Education *	178,500		3,850
Brinker International (A)	56,300		1,001
Brown Shoe	105,516		1,760
Brunswick (A)	122,100		2,133
Buckle	11,900		423
Cabela’s * (A)	74,000		1,273
Cablevision Systems, Cl A	26,300		653
California Pizza Kitchen *	4,175		76
Callaway Golf (A)	275,759		2,322
Capella Education * (A)	28,269		2,429
Career Education *	86,106		2,411
Carmike Cinemas *	14,421		160
Carter’s *	164,600		5,030
Cato, Cl A	166,805		3,958
CBS, Cl B	62,000		903
CEC Entertainment * (A)	59,421		2,403
Central European Media Enterprises, Cl A *	6,100		155
Century Casinos *	85,331		195
Charm Communications ADR * (A)	38,600		315
Charming Shoppes *	43,317		197
Cheesecake Factory * (A)	102,546		2,615
Childrens Place Retail Stores *	20,000		943
Chipotle Mexican Grill, Cl A *	2,900		413
Christopher & Banks	78,897		723
Citi Trends * (A)	43,920		1,497
Coinstar *	55,600		2,983
Collective Brands *	37,248		834
Cooper Tire & Rubber	249,752		4,723
Corinthian Colleges *	18,600		249
CPI	3,874		109
Cracker Barrel Old Country
Store (A)	76,924		3,833
CROCS *	206,100		2,133
Dana Holdings *	40,202		436
Darden Restaurants	32,954		1,414
DeVry	1,939		111
Dick’s Sporting Goods * (A)	299,188		8,530
Dillard’s, Cl A (A)	129,380		3,712
DineEquity *	5,066		171
Domino’s Pizza *	44,698		581


Description	Shares	Market Value ($ Thousands)
DR Horton (A)	142,390	$	1,736
DreamWorks Animation SKG, Cl A *	56,200		1,669
DSW, Cl A * (A)	55,800		1,611
Eastman Kodak * (A)	759,819		4,285
Entercom Communications, Cl A *	89,929		1,124
Ethan Allen Interiors	56,801		1,147
Expedia	119,400		2,574
Express *	74,300		1,062
Family Dollar Stores (A)	51,500		2,098
Focus Media Holding ADR * (A)	160,160		2,513
Foot Locker	274,511		4,093
Fossil *	21,178		794
GameStop, Cl A *	163,139		3,718
Gannett (A)	249,457		3,877
Gaylord Entertainment *	72,000		1,914
Genesco *	93,060		2,896
Gentex (A)	229,017		4,507
Goodyear Tire & Rubber *	48,115		572
Grand Canyon Education * (A)	182,699		4,487
Group 1 Automotive * (A)	63,810		1,815
H&R Block	147,622		2,374
Hanesbrands *	139,440		3,804
Harley-Davidson	62,260		1,881
hhgregg *	45,749		1,373
Hibbett Sports * (A)	63,662		1,641
Hillenbrand	39,800		967
Home Inns & Hotels Management ADR *	37,400		1,424
HOT Topic	280,000		1,557
HSN *	40,297		1,086
Hyatt Hotels, Cl A *	62,550		2,531
Iconix Brand Group *	32,000		520
Interactive Data	11,000		358
International Game Technology	89,112		1,744
International Speedway, Cl A	33,006		920
Interpublic Group *	511,239		4,269
J Crew Group *	64,610		2,949
Jakks Pacific *	42,270		626
Jarden	198,225		5,770
Jo-Ann Stores *	32,601		1,489
John Wiley & Sons, Cl A	6,900		273
Jones Apparel Group	183,150		3,597
Journal Communications, Cl A *	29,166		147
Las Vegas Sands *	55,700		1,308
La-Z-Boy, Cl Z *	18,470		219
Leggett & Platt	152,000		3,539
Lennar, Cl A	46,900		811
Liberty Global *	7,689		197
Life Time Fitness * (A)	55,022		2,042
Limited Brands	13,068		325
Lin TV, Cl A *	11,300		74
Lincoln Educational Services *	67,100		1,599
Live Nation *	556,375		6,805
Liz Claiborne *	123,625		758
LKQ *	86,100		1,586
Maidenform Brands *	8,383		194
MarineMax *	32,457		328
Marriott International, Cl A	36,200		1,211
Men’s Wearhouse	37,804		822
Meredith	14,000		470
Meritage Homes *	99,055		2,118
National American University Holdings	170,684		1,365
National CineMedia	311,775		5,453


Description	Shares	Market Value ($ Thousands)
Navitas	301,047	$	1,222
NetFlix *	17,300		1,923
New York Times, Cl A *	35,500		329
NutriSystem	19,400		432
NVR *	2,721		1,865
O’Charleys *	16,994		127
Office Depot *	215,470		1,250
OfficeMax * (A)	96,320		1,717
Oxford Industries	17,934		374
Penn National Gaming *	218,402		5,591
Penske Auto Group *	62,900		821
Perry Ellis International *	7,652		184
PetSmart (A)	254,739		8,090
PF Chang’s China Bistro	6,264		272
Phillips-Van Heusen	76,662		4,196
Polaris Industries	61,425		3,606
Pool (A)	66,900		1,605
Pre-Paid Legal Services * (A)	9,200		426
priceline.com *	2,865		548
Pulte Homes *	269,675		3,004
RadioShack	116,200		2,375
RC2 *	165,730		3,082
Red Robin Gourmet Burgers * (A)	50,328		1,037
Regal Entertainment Group, Cl A	130,597		1,990
Regis (A)	148,269		2,727
Rent-A-Center, Cl A *	81,865		1,983
Retail Ventures *	9,884		100
Ross Stores	12,436		652
Royal Caribbean Cruises *	11,100		322
Ruby Tuesday *	79,800		859
Ryland Group (A)	144,280		2,684
Saks *	422,705		3,880
Scholastic	83,038		2,171
Scientific Games, Cl A *	526,749		5,383
Scripps Networks Interactive, Cl A	13,900		628
Service International	66,200		565
Shutterfly *	63,298		1,462
Signet Jewelers *	4,677		145
Sinclair Broadcast Group, Cl A * (A)	93,100		618
Sonic * (A)	128,160		1,352
Sonic Automotive, Cl A *	20,500		203
Sotheby’s (A)	59,810		1,944
Spectrum Group International *	3,929		8
Stage Stores	95,604		1,355
Starwood Hotels & Resorts
Worldwide	77,852		3,601
Stein Mart *	16,724		133
Steiner Leisure *	54,100		2,245
Strayer Education	14,000		3,360
Systemax	13,442		259
Talbots *	170,160		2,559
Tempur-Pedic International * (A)	94,069		3,123
Tenneco *	129,137		2,862
Texas Roadhouse, Cl A * (A)	33,100		483
Tractor Supply (A)	45,336		3,072
True Religion Apparel *	62,837		1,735
TRW Automotive Holdings *	82,852		2,492
Tupperware Brands	33,122		1,407
Warnaco Group *	11,380		484
Wendy’s, Cl A	154,400		696
Westport Innovations *	118,255		1,929
Whirlpool (A)	27,400		2,862
Williams-Sonoma (A)	111,030		3,318


Description	Shares	Market Value ($ Thousands)
Winnebago Industries * (A)	125,390	$	1,521
WMS Industries *	90,186		4,178
Wyndham Worldwide (A)	102,440		2,418
Zumiez * (A)	209,141		3,580

			335,626

Consumer Staples — 3.4%
Alliance One International *	65,400		273
American Italian Pasta, Cl A *	14,603		568
Andersons	8,200		268
Avon Products	38,469		1,019
BJ’s Wholesale Club *	91,155		3,653
Brown-Forman, Cl B	37,784		2,095
Cal-Maine Foods (A)	31,900		1,033
Casey’s General Stores	39,738		1,465
Central European Distribution * (A)	40,310		1,030
Central Garden and Pet, Cl A *	66,227		626
Central Garden and Pet *	73,524		739
China-Biotics * (A)	106,500		1,525
Chiquita Brands International * (A)	91,010		1,124
Constellation Brands, Cl A *	99,916		1,665
Corn Products International	46,890		1,564
Cosan Industria e Comercio
(Brazil) *	135,100		1,537
Cullen Agricultural Holding *	38,000		257
Dean Foods *	388,936		4,142
Del Monte Foods	290,830		4,240
Diamond Foods	12,211		506
Dole Food *	67,698		619
Elizabeth Arden *	7,862		134
Estee Lauder, Cl A	12,156		708
Flowers Foods	18,800		465
Fresh Del Monte Produce *	48,300		966
Great Atlantic & Pacific Tea *	55,300		298
Green Mountain Coffee Roasters * (A)	119,900		2,836
Hansen Natural *	15,600		609
Herbalife	68,940		3,113
Hormel Foods	20,700		824
Kulim Malaysia	690,700		1,534
Lance (A)	91,700		1,770
McCormick	48,014		1,852
Mead Johnson Nutrition, Cl A	27,600		1,361
Molson Coors Brewing, Cl B	50,238		2,062
Nash Finch	10,552		381
NBTY *	55,200		1,890
Nu Skin Enterprises, Cl A	6,446		186
Nutraceutical International *	8,408		119
Pantry *	115,051		1,759
Prestige Brands Holdings *	193,033		1,490
Rite Aid *	457,179		526
Ruddick	35,200		1,162
Sanderson Farms	56,371		3,092
Sara Lee (A)	171,300		2,427
Saskatchewan Wheat Pool, Cl Common Subscription Recei *	188,800		1,372
Supervalu	94,000		1,266
TreeHouse Foods * (A)	47,573		2,193
Village Super Market, Cl A	3,068		83
Weis Markets	17,700		598
Whole Foods Market *	10,918		441


Description	Shares	Market Value ($ Thousands)
Winn-Dixie Stores *	40,735	$	456

			67,921

Energy — 4.4%
Atwood Oceanics *	32,900		893
Berry Petroleum, Cl A (A)	108,437		3,333
BPZ Resources * (A)	332,500		1,702
Brigham Exploration *	88,200		1,515
Cal Dive International *	14,264		79
Carrizo Oil & Gas * (A)	48,624		863
Cimarex Energy	1,736		128
Clayton Williams Energy *	33,842		1,536
Complete Production Services *	8,551		111
Concho Resources * (A)	24,153		1,257
Contango Oil & Gas *	2,433		122
CVR Energy *	238,700		1,805
Dresser-Rand Group * (A)	245,774		7,823
Ensco International ADR	9,422		352
Exterran Holdings *	113,606		2,897
Frontier Oil	91,748		1,276
Goodrich Petroleum *	134,227		1,643
Gulfmark Offshore, Cl A *	6,177		161
Gulfport Energy *	100,874		1,325
Helix Energy Solutions Group * (A)	205,369		2,237
Hornbeck Offshore Services *	85,756		1,310
Key Energy Services * (A)	535,164		5,116
Kinder Morgan Escrow *	24,428		—
Lufkin Industries	28,832		2,299
Murphy Oil	39,509		2,109
Nabors Industries *	111,739		2,126
Newfield Exploration *	35,270		1,836
Newpark Resources *	47,280		304
Nordic American Tanker
Shipping	34,900		991
Northern Oil And Gas * (A)	93,500		1,349
Oil States International *	5,737		224
Oilsands Quest * (A)	1,723,200		1,239
Oilsands Quest Private Placement *	304,800		219
Overseas Shipholding Group (A)	110,330		4,269
Patterson-UTI Energy	31,400		441
PetroHawk Energy *	78,364		1,507
Petroleum Development *	9,488		195
Pioneer Natural Resources	34,269		2,183
Quicksilver Resources *	7,503		92
Range Resources (A)	72,823		3,273
Rosetta Resources *	49,600		1,088
SEACOR Holdings *	13,912		1,015
Ship Finance International	13,100		237
Southern Union	4,786		104
Southwestern Energy *	26,498		997
Spectra Energy	103,920		2,079
Stone Energy *	18,726		251
Sunoco	89,145		2,663
Swift Energy * (A)	126,461		3,497
T-3 Energy Services, Cl 3 * (A)	51,915		1,385
Teekay	48,412		1,222
Tesoro (A)	125,913		1,473
Tetra Technologies *	28,850		290
Tidewater (A)	57,124		2,388
Unit *	13,118		536
USEC * (A)	61,099		323
Venoco *	72,946		1,056
W&T Offshore (A)	199,400		1,942


Description	Shares	Market Value ($ Thousands)
Western Refining * (A)	88,000	$	463
Whiting Petroleum * (A)	54,267		4,543
Willbros Group * (A)	71,241		662
World Fuel Services	180,500		4,698

			95,052

Financials — 17.0%
1st Source	800		15
Advance America Cash Advance Centers	104,300		504
Affiliated Managers Group * (A)	66,610		4,773
Alexander’s ‡	1,037		336
Alexandria Real Estate Equities ‡	5,406		355
Allied World Assurance Holdings	40,600		1,823
AMB Property ‡ (A)	91,650		2,377
American Capital Agency ‡	18,267		480
American Financial Group	164,635		4,593
AmeriCredit *	10,954		237
Ameriprise Financial	85,057		3,384
Annaly Capital Management ‡	65,700		1,114
Anworth Mortgage Asset ‡ (A)	248,000		1,681
Apartment Investment & Management, Cl A ‡ (A)	83,458		1,722
Apollo Investments *	18,133		189
Arch Capital Group * (A)	40,816		3,001
Ares Capital	8,677		117
Aspen Insurance Holdings	42,000		1,061
Associated Banc (A)	126,200		1,695
Assured Guaranty (A)	109,990		1,848
AvalonBay Communities ‡ (A)	32,763		3,213
Axis Capital Holdings	8,700		265
Banco Latinoamericano de Comercio Exterior, Cl E	80,200		1,036
Bancorpsouth	54,565		1,058
Bank Mutual	25,400		163
BGC Partners, Cl A	146,161		910
BioMed Realty Trust ‡ (A)	65,700		1,118
BlackRock, Cl A	1,859		312
Boston Private Financial Holdings	54,938		402
Boston Properties ‡ (A)	82,333		6,313
Brandywine Realty Trust ‡	64,775		751
Brasil Brokers Participacoes	337,600		1,103
Calamos Asset Management, Cl A	9,636		106
CapitalSource	486,090		2,207
Capstead Mortgage ‡ (A)	172,100		1,965
Cardinal Financial	239,884		2,519
Cardtronics *	182,314		2,361
CB Richard Ellis Group, Cl A *	173,908		2,753
CBL & Associates Properties ‡	74,039		1,058
Cedar Shopping Centers ‡	145,000		996
Chemical Financial	20,942		507
Cincinnati Financial (A)	31,800		865
City National	3,800		219
CNA Financial * (A)	90,700		2,365
CNA Surety *	8,258		136
Colonial Properties Trust ‡ (A)	102,050		1,539
Comerica	67,761		2,582
Commerce Bancshares	1		—
Community Bank System	11,393		260
Corporate Office Properties
Trust ‡ (A)	36,100		1,369
Cowen Group, Cl A *	354,700		1,681
CreXus Investment ‡	62,200		810
CVB Financial	53,000		526
Delphi Financial Group, Cl A	15,500		403


Description	Shares	Market Value ($ Thousands)
Developers Diversified Realty ‡ (A)	163,703	$	1,873
DiamondRock Hospitality ‡	207,394		1,896
Digital Realty Trust ‡ (A)	27,650		1,574
Dime Community Bancshares	16,322		208
Dollar Financial * (A)	63,000		1,273
Douglas Emmett ‡ (A)	59,850		927
Duff & Phelps, Cl A	78,655		1,061
DuPont Fabros Technology ‡	11,595		296
ETrade Financial	345,100		511
Eaton Vance	41,747		1,248
Education Realty Trust ‡	404,739		2,574
EMC Insurance Group	13,767		307
Employers Holdings	190,224		3,034
Endurance Specialty Holdings	108,045		4,008
Equity Lifestyle Properties ‡	5,222		271
Equity One ‡	108,824		1,869
Equity Residential ‡	103,700		4,680
Essex Property Trust ‡ (A)	27,050		2,846
Evercore Partners, Cl A	7,133		232
Everest Re Group	22,700		1,650
Extra Space Storage ‡	49,750		748
Ezcorp, Cl A *	39,572		724
FBL Financial Group, Cl A	4,420		108
Federal Realty Investment Trust ‡ (A)	47,440		3,496
Federated Investors, Cl B	148,479		3,298
Fifth Third Bancorp	165,808		2,154
Financial Engines *	74,186		1,131
First Bancorp	164,748		219
First Community Bancshares	4,459		72
First Financial Bancorp (A)	233,460		3,711
First Horizon National *	183,451		2,284
First Mercury Financial	10,642		130
First Niagara Financial Group	24,200		320
First Potomac Realty Trust ‡	73,700		1,083
FirstMerit	56,627		1,056
Flushing Financial	193,600		2,621
Forestar Group *	8,902		163
General Shopping Brasil (Brazil) *	201,300		772
Genworth Financial, Cl A *	98,169		1,530
Getty Realty ‡	8,920		199
GFI Group	157,800		955
Glimcher Realty Trust ‡	21,001		146
Gluskin Sheff + Associates	41,800		702
Gramercy Capital ‡ *	15,800		25
Greenlight Capital Re, Cl A *	7,685		186
Grubb & Ellis * (A)	308,560		448
Hancock Holding (A)	93,409		3,571
Hanover Insurance Group (A)	99,808		4,342
Hatteras Financial ‡	24,100		668
HCP ‡ (A)	117,200		3,734
Health Care REIT ‡ (A)	54,217		2,336
Healthcare Realty Trust ‡	42,150		967
Hercules Technology Growth Capital	94,618		834
Highwoods Properties ‡ (A)	62,000		1,827
Horace Mann Educators	135,085		2,076
Hospitality Properties Trust ‡	101,300		2,279
Host Hotels & Resorts ‡ (A)	291,214		4,153
HRPT Properties Trust ‡	434,071		2,913
Hudson City Bancorp	107,858		1,360
Hudson Valley Holding	44,960		1,075
Huntington Bancshares (A)	371,600		2,289
Iberiabank	24,289		1,334
Independent Bank	8,829		214


Description	Shares	Market Value ($ Thousands)
Infinity Property & Casualty	59,390	$	2,779
Inland Real Estate ‡	123,251		1,027
International Bancshares (A)	71,865		1,419
Investors Bancorp *	10,312		141
Investors Real Estate Trust ‡ (A)	133,500		1,165
Jefferies Group	13,200		308
Jones Lang LaSalle	67,157		5,011
Keycorp	253,750		2,035
Kilroy Realty ‡	17,400		572
Kimco Realty ‡	21,900		313
Kite Realty Group Trust ‡	22,941		112
Knight Capital Group, Cl A *	87,740		1,282
Lazard, Cl A	39,400		1,243
Lexington Realty Trust ‡ (A)	231,662		1,439
Liberty Property Trust ‡	74,012		2,280
LTC Properties ‡	22,000		565
M&T Bank	2,300		182
Macerich ‡ (A)	101,069		4,180
Mack-Cali Realty ‡	77,875		2,568
MarketAxess Holdings	314,941		4,649
MB Financial	42,000		918
Meadowbrook Insurance Group	184,100		1,600
Medical Properties Trust ‡	319,300		3,049
MFA Mortgage Investments ‡	630,994		4,625
MGIC Investment * (A)	254,256		2,380
Mid-America Apartment Communities ‡	28,281		1,545
Montpelier Re Holdings	75,900		1,185
MSCI, Cl A *	75,497		2,239
National Health Investors ‡	6,806		280
National Penn Bancshares (A)	436,406		3,050
National Retail Properties ‡ (A)	68,493		1,505
Nationwide Health Properties ‡	75,374		2,675
Nelnet, Cl A	78,800		1,560
New York Community Bancorp	31,399		504
NewAlliance Bancshares	56,848		669
NorthStar Realty Finance ‡	81,624		257
NYSE Euronext	9,425		270
Old National Bancorp	20,000		230
Old Republic International	12,078		167
Omega Healthcare Investors ‡	14,088		280
Oriental Financial Group (A)	50,000		684
PacWest Bancorp	77,775		1,621
PartnerRe	41,771		3,047
Pennsylvania Real Estate Investment Trust ‡ (A)	80,672		1,112
People’s United Financial	170,108		2,376
PHH *	71,398		1,574
Platinum Underwriters Holdings (A)	90,235		3,322
Plum Creek Timber ‡	7,900		277
Popular	80,693		245
Post Properties ‡	54,958		1,378
PrivateBancorp, Cl A (A)	64,640		856
ProAssurance *	75,653		4,453
ProLogis ‡ (A)	47,750		543
Prosperity Bancshares	14,976		540
Protective Life	29,479		634
PS Business Parks ‡	11,237		606
Public Storage ‡ (A)	42,854		3,972
Radian Group (A)	306,912		3,155
RAIT Financial Trust ‡ * (A)	69,000		173
Raymond James Financial	66,500		1,880
Rayonier ‡	8,107		364
Redwood Trust ‡	103,030		1,565


Description	Shares	Market Value ($ Thousands)
Regency Centers ‡ (A)	43,550	$	1,600
Regions Financial (A)	118,700		906
Reinsurance Group of America, Cl A	100,054		4,700
Republic Bancorp, Cl A (A)	25,594		592
S&T Bancorp	23,500		507
Selective Insurance Group	43,800		683
Senior Housing Properties Trust ‡ (A)	102,785		2,142
Signature Bank NY *	47,564		1,800
Simmons First National, Cl A	5,214		137
Simon Property Group ‡ (A)	54,129		4,603
SL Green Realty ‡	32,250		2,009
Sovran Self Storage ‡	19,100		688
StanCorp Financial Group (A)	43,804		1,874
Stewart Information Services	6,200		66
Stifel Financial * (A)	38,491		1,950
Sun Communities ‡	5,473		162
Sunstone Hotel Investors ‡ * (A)	355,123		3,917
Susquehanna Bancshares (A)	239,204		2,098
SVB Financial Group *	46,280		2,076
SWS Group	41,300		415
Synovus Financial	978,570		2,897
Tanger Factory Outlet Centers ‡	3,405		142
Taubman Centers ‡ (A)	35,150		1,423
TD Ameritrade Holding *	98,724		1,750
TFS Financial	16,800		223
Titanium Asset Management * (F)	105,000		308
Titanium Asset Management *	42,000		105
Tower Group	45,411		995
Transatlantic Holdings	16,056		755
Trustco Bank	112,300		700
Trustmark (A)	74,778		1,673
Umpqua Holdings	41,308		519
Unitrin	78,100		2,085
Unum Group	176,363		4,074
Uranium Participation *	259,700		1,400
U-Store-It Trust ‡ (A)	199,365		1,639
Validus Holdings	44,312		1,089
Value Creation * (F)	85,600		81
Ventas ‡ (A)	50,840		2,387
Vornado Realty Trust ‡ (A)	16,091		1,250
Waddell & Reed Financial, Cl A	9,848		264
Washington Federal	48,800		843
Weingarten Realty Investors ‡	42,856		894
Westamerica Bancorporation	8,200		456
Western Alliance Bancorp * (A)	246,785		1,987
White Mountains Insurance Group	2,900		948
Whitney Holding (A)	266,158		3,154
Willis Group Holdings	69,814		2,138
Winthrop Realty Trust ‡	11,191		143
World Acceptance * (A)	91,977		3,286
WR Berkley	39,600		1,080
XL Capital, Cl A	18,500		326
Zions Bancorporation (A)	273,430		6,549

			348,890

Health Care — 11.8%
Abaxis *	40,218		905
Acadia Pharmaceuticals *	377,800		506
Accretive Health *	39,200		508
Achillion Pharmaceuticals *	245,072		544
Acorda Therapeutics *	123,911		4,260
Affymax *	56,200		1,237


Description	Shares	Market Value ($ Thousands)
Albany Molecular Research *	26,300	$	169
Alexion Pharmaceuticals *	45,625		2,283
Align Technology * (A)	204,706		3,054
Alkermes * (A)	123,931		1,407
Allergan	8,500		512
Allscripts-Misys Healthcare Solutions *	63,100		1,187
AMAG Pharmaceuticals * (A)	25,500		812
American Medical Systems Holdings * (A)	119,499		2,696
AMERIGROUP * (A)	73,865		2,653
AmerisourceBergen (A)	131,977		4,128
AMN Healthcare Services *	20,430		170
Amsurg, Cl A * (A)	167,086		3,308
Analogic	5,005		216
Angiodynamics *	23,129		342
Arena Pharmaceuticals * (A)	374,145		1,152
Arqule *	31,612		193
athenahealth *	103,230		2,556
Auxilium Pharmaceuticals * (A)	128,540		3,699
Beckman Coulter	24,853		1,428
BioMarin Pharmaceutical * (A)	80,057		1,563
Biovail	277,710		4,168
Brookdale Senior Living *	96,700		1,701
Bruker *	18,900		241
Cadence Pharmaceuticals * (A)	123,560		980
Catalyst Health Solutions *	96,155		3,682
Celera *	26,849		190
Cephalon * (A)	16,800		989
Cepheid * (A)	60,251		1,077
Charles River Laboratories International *	33,851		1,135
Chemed	21,077		1,199
Codexis * (A)	42,300		437
Community Health Systems *	17,579		685
Conceptus * (A)	216,960		3,621
Conmed *	29,892		581
Cooper	71,166		2,623
Corvel *	1,462		52
Covance *	53,325		2,814
Coventry Health Care *	80,270		1,662
Cubist Pharmaceuticals * (A)	79,254		1,704
Cyberonics *	83,290		1,463
Dendreon * (A)	48,501		2,105
Dentsply International	63,300		2,053
Eclipsys *	5,279		101
Emergency Medical Services, Cl A *	23,595		1,264
Emergent Biosolutions *	10,534		166
Endo Pharmaceuticals Holdings *	93,357		1,955
Ensign Group (A)	54,254		989
eResearch Technology *	22,144		176
ev3 *	205,000		3,879
Exelixis *	25,137		130
Forest Laboratories *	56,400		1,460
Genomic Health *	5,555		83
Genoptix *	44,525		1,187
Gen-Probe *	89,195		3,921
Health Management Associates, Cl A * (A)	222,189		2,066
Health Net *	149,735		3,691
Healthsouth * (A)	88,250		1,753
HeartWare International *	36,537		2,161
Henry Schein *	27,859		1,572
Hill-Rom Holdings	97,639		2,722


Description	Shares	Market Value ($ Thousands)
Hologic *	33,590	$	500
Hospira *	1,551		81
Human Genome Sciences * (A)	69,995		1,733
Humana *	40,759		1,877
ICON ADR *	66,560		1,851
ICU Medical *	36,755		1,169
Idexx Laboratories *	25,300		1,600
Impax Laboratories *	19,401		409
Incyte * (A)	408,640		5,267
Inspire Pharmaceuticals *	125,800		715
Integra LifeSciences Holdings *	3,708		146
Intuitive Surgical *	2,585		834
inVentiv Health *	14,909		372
Inverness Medical Innovations *	54,083		1,883
Kendle International *	22,698		320
Kensey Nash *	19,313		446
Kindred Healthcare *	36,998		574
Kinetic Concepts * (A)	67,622		2,799
King Pharmaceuticals * (A)	496,238		4,302
LHC Group * (A)	136,303		4,198
LifePoint Hospitals *	53,200		1,888
Lincare Holdings (A)	87,610		4,102
Magellan Health Services *	49,425		2,011
Martek Biosciences *	10,296		192
MedAssets *	147,321		3,343
Medicines *	271,600		2,283
Medicis Pharmaceutical, Cl A	15,856		368
Mednax *	73,735		4,170
Meridian Bioscience	35,400		619
Millipore *	2,836		301
MWI Veterinary Supply *	53,845		2,639
Mylan Laboratories *	136,529		2,654
Myriad Genetics *	86,245		1,574
Nabi Biopharmaceuticals *	32,675		179
Nektar Therapeutics *	10,180		124
Neogen * (A)	35,115		903
NPS Pharmaceuticals *	32,967		217
NuVasive * (A)	104,985		4,123
Omnicell *	152,864		2,003
Onyx Pharmaceuticals *	184,650		4,116
OraSure Technologies *	12,396		56
Osiris Therapeutics *	11,698		72
Owens & Minor (A)	107,615		3,214
Par Pharmaceutical *	60,402		1,677
Parexel International * (A)	149,750		3,340
Patterson	33,012		981
PDL BioPharma (A)	301,287		1,618
PerkinElmer	195,291		4,431
Perrigo	36,400		2,163
Pharmaceutical Product
Development	188,070		5,048
Pharmasset *	36,600		1,078
PSS World Medical *	82,720		1,895
Quality Systems	48,320		2,853
Questcor Pharmaceuticals *	19,051		180
Quidel * (A)	122,300		1,431
Regeneron Pharmaceuticals * (A)	84,500		2,414
RehabCare Group *	82,840		2,410
Res-Care *	112,500		1,266
ResMed *	10,825		681
Rigel Pharmaceuticals * (A)	376,400		2,454
Salix Pharmaceuticals *	50,965		1,831
Sciclone Pharmaceuticals *	36,589		127
Seattle Genetics * (A)	111,940		1,481
Sirona Dental Systems *	38,840		1,374


Description	Shares	Market Value ($ Thousands)
STERIS	3,578	$	114
SXC Health Solutions *	72,390		5,325
Symmetry Medical *	26,048		284
Synta Pharmaceuticals *	33,562		105
Team Health Holdings * (A)	85,530		1,096
Techne	53,395		3,233
Teleflex	42,475		2,382
Theravance *	56,890		723
Thoratec * (A)	39,031		1,712
United Therapeutics * (A)	35,317		1,809
Universal Health Services, Cl B (A)	74,004		3,136
Valeant Pharmaceuticals
International *	15,989		743
Vertex Pharmaceuticals *	31,900		1,104
Vical *	39,649		132
Viropharma *	28,500		347
Virtual Radiologic *	6,438		109
Vital Images *	50,904		698
Volcano * (A)	123,980		2,751
Waters *	8,025		549
Zymogenetics *	26,102		121

			245,359

Industrials — 15.0%
AAR *	24,607		485
ABM Industries (A)	54,489		1,170
ACCO Brands *	96,500		681
Actuant, Cl A (A)	76,212		1,541
Acuity Brands (A)	116,962		4,810
Advisory Board *	59,700		2,216
Aecom Technology *	64,066		1,626
Aegean Marine Petroleum
Network (A)	63,258		1,457
AerCap Holdings *	88,100		1,056
Aircastle	24,100		237
Alaska Air Group *	44,498		2,078
Alexander & Baldwin	14,037		452
Allegiant Travel, Cl A (A)	47,943		2,651
Alliant Techsystems *	23,363		1,607
Ametek	43,957		1,785
AO Smith (A)	30,900		1,440
Apogee Enterprises	49,100		671
Applied Industrial Technologies	52,100		1,437
Arkansas Best	8,900		208
ArvinMeritor * (A)	316,583		4,603
ATC Technology *	61,850		1,157
Atlas Air Worldwide Holdings *	63,217		3,305
Avery Dennison	60,360		2,063
Avis Budget Group *	22,750		270
Baldor Electric	52,623		1,891
Barnes Group	98,000		1,835
BE Aerospace *	148,311		4,022
Beacon Roofing Supply * (A)	187,700		3,942
Belden	65,474		1,696
Brady, Cl A	44,151		1,284
Briggs & Stratton	97,215		2,006
Bucyrus International, Cl A	55,000		2,946
C.H. Robinson Worldwide	22,616		1,314
Carlisle	100,240		3,898
Cenveo *	41,900		309
Cintas	99,361		2,583
Clean Harbors *	54,439		3,451
Columbus McKinnon *	21,815		357
Consolidated Graphics * (A)	63,023		2,895


Description	Shares	Market Value ($ Thousands)
Continental Airlines, Cl B * (A)	194,139	$	4,096
Con-way	3,242		110
Copa Holdings, Cl A	43,790		2,234
Copart *	114,876		4,124
Corporate Executive Board	76,500		2,478
Corrections of America * (A)	231,280		4,603
CoStar Group * (A)	130,898		5,337
Courier	32,275		511
CRA International *	78,700		1,749
Crane	69,787		2,270
Cubic	25,888		942
Deluxe (A)	93,202		2,001
Douglas Dynamics *	144,100		1,708
Dover	48,774		2,189
Dycom Industries *	258,951		2,558
EMCOR Group *	185,797		4,639
EnerSys *	6,435		145
Ennis	17,942		316
EnPro Industries * (A)	43,700		1,380
Esterline Technologies *	32,918		1,766
Fastenal	31,527		1,590
Fluor	39,607		1,858
Force Protection *	350,100		1,556
Franklin Electric	4,473		130
G&K Services, Cl A	55,150		1,334
Gardner Denver	210,061		9,566
GATX	10,600		306
GenCorp *	22,000		114
GeoEye * (A)	99,713		3,168
Graham	50,077		836
Great Lakes Dredge & Dock	489,275		2,850
H&E Equipment Services *	113,200		1,131
Hertz Global Holdings *	133,600		1,518
Hexcel *	53,041		847
HNI	15,311		469
Horizon Lines, Cl A	296,784		1,211
Hubbell, Cl B	14,991		639
ICF International * (A)	83,872		1,881
IDEX	33,912		1,036
IHS, Cl A *	149,224		7,724
Interface, Cl A	288,206		3,397
Interline Brands *	11,978		238
ITT	11,329		547
Jacobs Engineering Group *	9,944		415
JB Hunt Transport Services (A)	159,617		5,512
Joy Global	42,900		2,188
Kadant *	65,361		1,276
Kaman	13,404		328
Kaydon	52,617		1,975
KBR	17,500		385
Kirby * (A)	36,400		1,435
Knoll	153,810		2,275
Kratos Defense & Security Solutions *	132,526		1,625
Landstar System	71,945		3,017
Lincoln Electric Holdings	12,959		723
Localiza Rent a Car	179,000		1,858
Manitowoc (A)	183,429		2,188
Manpower	45,900		2,098
Mcgrath Rentcorp	4,824		113
Michael Baker *	43,400		1,574
Mine Safety Appliances	28,000		766
Mueller Industries	39,900		1,058
Mueller Water Products, Cl A (A)	432,112		1,871
MYR Group * (A)	60,630		1,000


Description	Shares	Market Value ($ Thousands)
Navistar International *	43,487	$	2,356
NN *	85,100		527
Old Dominion Freight Line *	116,706		4,159
Orbital Sciences *	5,449		87
Oshkosh Truck *	65,131		2,314
Owens Corning *	42,100		1,403
Paccar	50,767		2,081
Pitney Bowes	91,764		2,078
PowerSecure International * (A)	126,541		1,196
Quanta Services *	48,530		1,006
Regal-Beloit	50,420		3,040
Resources Connection *	276,598		4,464
Ritchie Bros Auctioneers	165,165		3,366
Rockwell Collins	25,745		1,502
RR Donnelley & Sons	115,510		2,213
RSC Holdings * (A)	176,200		1,288
Rush Enterprises, Cl A * (A)	249,682		3,793
Ryder System	17,100		768
School Specialty *	56,401		1,212
SFN Group *	37,513		287
Shaw Group *	19,843		677
Skywest	49,700		729
Spirit Aerosystems Holdings, Cl A *	199,976		3,896
Standard Parking *	173,195		2,686
Standard Register	28,668		114
Standex International	6,106		159
Stericycle * (A)	13,469		790
SYKES Enterprises * (A)	439,033		7,578
TAL International Group (A)	69,300		1,663
Teledyne Technologies *	46,087		1,812
Terex *	74,903		1,630
Tetra Tech *	219,610		4,978
Textainer Group Holdings (A)	76,400		1,875
Thomas & Betts *	54,970		2,107
Timken	110,254		3,174
Toro	3,508		188
Towers Watson, Cl A	51,265		2,358
TransDigm Group	59,690		3,149
Trex * (A)	119,570		2,719
Trinity Industries (A)	70,830		1,548
Triumph Group	21,080		1,463
Tutor Perini *	15,100		337
Twin Disc	6,858		88
UAL *	89,392		1,789
United Rentals *	17,858		217
United Stationers *	30,557		1,785
URS *	37,183		1,658
US Airways Group *	185,030		1,634
US Ecology	6,595		93
UTi Worldwide	81,900		1,184
Vitran, Cl A *	134,810		1,903
Wabash National * (A)	187,980		1,346
Wabtec	69,475		3,012
Watsco	13,800		808
Watts Water Technologies, Cl A	37,566		1,217
Werner Enterprises	38,800		875
WESCO International *	218,319		8,165
WW Grainger	2,015		205

			306,966

Information Technology — 18.9%
ADC Telecommunications * (A)	187,719		1,550
Advanced Analogic Technologies *	435,832		1,508


Description	Shares	Market Value ($ Thousands)
Advent Software *	42,682	$	1,846
Agilysys	9,293		63
Akamai Technologies * (A)	80,260		3,188
Alliance Data Systems *	83,600		5,907
Amkor Technology *	75,300		513
Analog Devices	77,781		2,269
Ancestry.com * (A)	117,343		1,980
Ansys *	40,400		1,767
AOL *	73,845		1,523
Applied Micro Circuits * (A)	240,960		2,657
Arris Group *	151,452		1,661
Arrow Electronics *	26,299		717
Art Technology Group *	797,543		2,983
AsiaInfo Holdings *	44,100		945
Atheros Communications * (A)	73,251		2,491
Atmel *	771,362		3,938
ATMI * (A)	119,947		1,943
Avnet *	63,031		1,810
Baidu ADR * (A)	16,149		1,182
Benchmark Electronics * (A)	141,000		2,606
Black Box	24,000		708
Blackboard *	71,390		2,858
Blue Coat Systems *	64,100		1,376
Bottomline Technologies *	15,997		262
Brightpoint *	250,872		1,864
Broadridge Financial Solutions	15,556		297
Brocade Communications Systems *	909,305		4,956
Cabot Microelectronics * (A)	48,000		1,762
CACI International, Cl A *	29,368		1,358
Celestica *	149,720		1,394
Ceragon Networks *	101,834		850
Ceva *	233,850		2,717
Checkpoint Systems *	49,404		984
Ciber *	148,735		443
Cognex	21,800		416
Cogo Group *	28,800		195
Coherent *	57,813		2,041
CommScope *	121,370		3,423
Computer Sciences	45,014		2,250
Compuware *	11,899		97
Comtech Telecommunications *	124,288		3,581
Comverse Technology *	177,900		1,519
Concur Technologies * (A)	81,729		3,457
Convergys *	118,100		1,290
Cree *	9,664		641
CSG Systems International *	32,324		663
CTS	127,190		1,339
Cymer *	52,015		1,575
Cypress Semiconductor * (A)	165,900		1,890
Daktronics	22,500		189
DealerTrack Holdings * (A)	83,165		1,333
DG FastChannel *	46,231		1,963
Diebold	178,298		5,167
Digital River *	81,464		2,244
Diodes * (A)	84,429		1,668
Dolby Laboratories, Cl A * (A)	40,946		2,703
DSP Group *	45,099		305
DST Systems	14,600		560
DTS *	110,220		3,641
Earthlink	61,800		531
EF Johnson Technologies *	85,200		85
Electronics for Imaging *	27,753		309
Emulex *	212,177		2,224
Entegris *	317,995		1,717


Description	Shares	Market Value ($ Thousands)
Entropic Communications *	238,682	$	1,275
Equinix * (A)	65,495		6,026
Euronet Worldwide *	229,320		3,016
F5 Networks *	5,500		387
Factset Research Systems (A)	18,189		1,238
Fairchild Semiconductor International, Cl A * (A)	564,834		5,648
Finisar * (A)	156,130		2,373
FLIR Systems *	24,080		686
Gartner *	392,853		9,723
Gerber Scientific *	112,900		681
Global Payments	16,978		716
GSI Commerce * (A)	530,024		14,925
Harris	52,191		2,448
Heartland Payment Systems	91,331		1,501
Hewitt Associates, Cl A *	16,248		605
Hollysys Automation Technologies *	99,800		946
Hutchinson Technology *	16,084		88
IAC *	53,437		1,253
Imation * (A)	234,500		2,411
Informatica * (A)	129,950		3,353
Infospace *	216,880		1,785
Ingram Micro, Cl A *	146,683		2,488
Insight Enterprises *	105,575		1,535
Integral Systems *	100,100		685
Integrated Device Technology *	373,866		2,183
InterDigital *	19,503		509
Intermec *	118,932		1,313
Internap Network Services *	17,229		88
Internet Brands, Cl A * (A)	200,257		2,081
Intersil, Cl A	37,900		505
Ixia * (A)	114,000		1,140
Jabil Circuit	52,138		714
Jack Henry & Associates	12,376		298
JDA Software Group *	136,754		3,654
KIT Digital *	132,631		1,463
Knot * (A)	323,048		2,416
Lawson Software *	369,632		3,048
Lexmark International, Cl A * (A)	116,180		4,362
Linear Technology	18,000		503
Littelfuse *	37,519		1,356
LSI *	84,100		448
Mantech International, Cl A * (A)	25,824		1,194
MAXIMUS	6,279		376
Methode Electronics (A)	92,951		943
Micrel	32,366		359
Micros Systems *	49,000		1,676
Microsemi * (A)	432,213		6,691
Microtune *	28,250		67
Mitel Networks * (A)	158,900		1,764
MKS Instruments *	151,096		3,001
Molex	140,750		2,981
Monolithic Power Systems *	25,686		493
Monotype Imaging Holdings *	100,798		995
Move *	222,716		468
MTS Systems	10,255		300
Multi-Fineline Electronix *	47,300		1,250
National Semiconductor	15,900		223
NCR *	66,725		886
Ness Technologies *	19,170		100
Net 1 UEPS Technologies *	147,206		2,108
Netezza * (A)	173,130		2,256
Netgear *	95,031		2,158
Netlogic Microsystems * (A)	82,670		2,378


Description	Shares	Market Value ($ Thousands)
Netscout Systems *	23,868	$	323
NeuStar, Cl A *	32,813		702
Novatel Wireless * (A)	296,400		1,823
Novell *	105,744		616
Nuance Communications * (A)	78,213		1,332
OSI Systems *	54,500		1,432
Parametric Technology * (A)	215,402		3,550
Park Electrochemical	58,300		1,509
Parkervision * (A)	435,485		766
Pericom Semiconductor *	178,708		1,769
Plantronics	6,132		184
Plexus * (A)	81,752		2,784
PMC—Sierra *	759,400		6,151
Polycom *	66,720		2,004
Power Integrations (A)	142,139		4,830
Progress Software *	98,764		3,155
PROS Holdings *	99,557		658
QLogic * (A)	122,590		2,221
Quantum *	719,300		1,690
Quest Software *	132,803		2,570
QuinStreet * (A)	119,139		1,655
RF Micro Devices * (A)	196,530		943
Richardson Electronics	57,494		560
Riverbed Technology * (A)	64,520		1,725
Rovi * (A)	49,730		1,857
Rubicon Technology * (A)	79,072		2,149
SAIC *	17,881		307
Sanmina-SCI *	326,387		4,977
Sapient (A)	478,300		4,855
SAVVIS *	110,563		2,074
Scansource *	17,700		456
Seachange International * (A)	190,500		1,591
Silicon Laboratories *	16,597		754
Skyworks Solutions * (A)	218,508		3,481
Sohu.com *	5,053		224
Solera Holdings	78,669		2,728
Sonic Solutions * (A)	117,345		1,395
SPS Commerce *	62,576		756
SS&C Technologies Holdings *	268,196		4,377
Stamps.com *	8,756		92
Stratasys * (A)	21,574		502
SuccessFactors * (A)	104,590		2,328
Sybase *	25,982		1,671
Symyx Technologies *	34,513		221
Synaptics *	13,800		413
Synchronoss Technologies *	74,121		1,515
SYNNEX *	10,478		280
Synopsys *	172,089		3,686
Take-Two Interactive Software *	53,900		624
Taleo, Cl A *	111,421		2,791
Tech Data *	50,863		2,068
Technitrol (A)	43,000		165
TeleNav *	12,300		103
TeleTech Holdings *	2,890		37
Teradata *	49,333		1,576
Teradyne *	125,011		1,373
TIBCO Software *	28,846		329
TiVo * (A)	348,130		3,147
TNS *	68,174		1,311
Trimble Navigation * (A)	172,824		4,965
TriQuint Semiconductor *	315,277		2,213
TTM Technologies * (A)	281,510		3,257
Unisys *	62,108		1,441
United Online	301,460		2,054
Valueclick *	81,400		947


Description	Shares	Market Value ($ Thousands)
Varian Semiconductor Equipment Associates *	23,625	$	735
Veeco Instruments * (A)	69,902		2,668
VeriFone Holdings *	28,435		574
Vishay Intertechnology *	202,631		1,834
VistaPrint * (A)	243,044		11,348
Vocus * (A)	246,726		3,864
Volterra Semiconductor *	8,243		193
WebMD Health, Cl A *	22,357		1,018
Websense * (A)	147,871		3,093
Western Digital *	56,100		1,953
Wright Express *	67,392		2,116
Xyratex *	97,166		1,577
Zebra Technologies, Cl A *	66,441		1,827
Zoran *	205,996		1,990

			391,264

Materials — 5.2%
A. Schulman	40,799		907
AK Steel Holding (A)	115,409		1,727
Albemarle	49,876		2,148
Allegheny Technologies	42,280		2,312
Allied Nevada Gold * (A)	79,600		1,524
AM Castle *	44,957		669
Aptargroup	70,473		2,809
Ashland (A)	88,799		4,761
Bemis	6,128		176
Buckeye Technologies *	71,300		864
Cabot	54,137		1,516
Carpenter Technology (A)	104,942		4,083
Celanese, Cl A	121,946		3,496
Century Aluminum *	39,242		412
Cliffs Natural Resources	26,506		1,481
Commercial Metals	66,977		1,043
Crown Holdings *	80,778		1,899
Cytec Industries	73,180		3,127
Domtar	23,000		1,408
Eastman Chemical	33,100		1,999
Gammon Gold *	212,300		1,558
General Steel Holdings *	91,227		251
Greif, Cl A	6,500		356
H.B. Fuller	50,700		1,081
Hawkins	3,530		95
Headwaters *	70,221		277
Huntsman	297,256		2,967
Innophos Holdings	110,860		3,164
Innospec	17,342		216
International Paper	12,393		288
Jaguar Mining * (A)	172,000		1,553
Kaiser Aluminum	16,300		610
KapStone Paper and Packaging *	21,376		236
Koppers Holdings	30,173		817
LSB Industries * (A)	89,145		1,458
Lubrizol	30,918		2,738
Minerals Technologies	13,641		729
Nalco Holding	189,726		4,299
Neenah Paper	33,822		641
New Gold *	263,300		1,598
NewMarket	26,936		2,773
Nucor	47,115		2,028
Olin	17,100		328
OM Group *	31,796		949
Owens-Illinois *	107,998		3,276
Packaging of America	99,743		2,208
Pactiv *	63,337		1,810


Description	Shares	Market Value ($ Thousands)
PolyOne *	337,777	$	3,374
Reliance Steel & Aluminum (A)	41,088		1,886
Rockwood Holdings *	138,522		3,593
RPM International	11,721		232
RTI International Metals * (A)	91,423		2,424
Schnitzer Steel Industries, Cl A	45,099		2,257
Schweitzer-Mauduit International	18,715		1,033
Sensient Technologies	24,400		676
Silgan Holdings	166,735		4,757
Solutia *	110,555		1,675
Sonoco Products	32,600		1,008
Spartech *	16,233		216
Steel Dynamics	107,860		1,582
Stepan	5,278		381
Temple-Inland	88,139		1,862
Titanium Metals *	33,300		588
Universal Stainless & Alloy *	74,500		1,535
Walter Industries	4,814		382
Westlake Chemical	11,130		236
Worthington Industries	44,300		652
WR Grace *	64,421		1,651

			108,665

Telecommunication Services — 1.8%
AboveNet * (A)	17,659		810
Alaska Communications Systems Group	104,525		864
Cbeyond * (A)	90,264		1,411
CenturyLink (A)	63,900		2,194
Cincinnati Bell * (A)	926,961		2,948
Consolidated Communications Holdings	17,836		308
Frontier Communications	326,500		2,596
Global Crossing *	2,700		37
Leap Wireless International * (A)	71,700		1,171
Level 3 Communications *	221,900		297
MetroPCS Communications *	290,600		2,612
Neutral Tandem * (A)	162,097		2,179
NII Holdings *	175,395		6,397
NTELOS Holdings	66,400		1,192
Qwest Communications International	76,400		400
SBA Communications, Cl A * (A)	285,982		9,446
Telephone & Data Systems, Cl L	7,129		206
tw telecom , Cl A *	33,457		585
US Cellular *	4,757		197
USA Mobility	72,471		1,020
Windstream	9,095		97

			36,967

Utilities — 3.6%
AGL Resources	158,311		5,778
Alliant Energy	43,300		1,392
Ameren	42,000		1,036
American Water Works	26,800		545
Atmos Energy	16,697		453
Avista	16,800		324
Black Hills	13,417		385
Centerpoint Energy	66,000		899
Cia de Saneamento de Minas
Gerais-COPASA (Brazil)	105,700		1,382
Cleco (A)	56,172		1,487
CMS Energy (A)	135,800		1,994
Consolidated Edison	31,009		1,321


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Dynegy, Cl A *		62,300	$	326
Edison International		50,675		1,640
El Paso Electric *		11,953		237
Empire District Electric		40,548		740
Energen		13,012		576
Great Plains Energy		285,578		5,012
Hawaiian Electric Industries		45,000		988
IDACORP		17,450		577
ITC Holdings		41,532		2,189
Laclede Group		9,825		325
MDU Resources Group		109,493		2,047
Mirant *		50,600		628
New Jersey Resources (A)		48,670		1,725
NiSource		93,500		1,399
Northeast Utilities		122,474		3,178
NorthWestern (A)		134,625		3,546
NV Energy		25,822		304
OGE Energy		36,771		1,340
Pepco Holdings		32,000		516
Pinnacle West Capital		86,285		3,030
PNM Resources (A)		122,380		1,510
Portland General Electric		348,763		6,595
RRI Energy *		591,085		2,613
SCANA		73,497		2,667
South Jersey Industries		27,262		1,197
UGI		147,323		3,851
Unisource Energy		51,169		1,580
Vectren		56,834		1,310
Westar Energy		89,909		1,978
Wisconsin Energy		55,062		2,698
Xcel Energy		95,329		1,953

				75,271

Total Common Stock
(Cost $1,715,523) ($ Thousands)				2,011,981

PREFERRED STOCK — 0.2%
Consumer Discretionary — 0.1%
Callaway Golf (B)		14,000		1,870

Financials — 0.1%
Grubb & Ellis *		14,400		1,469

Total Preferred Stock (Cost $2,830) ($ Thousands)				3,339

CONVERTIBLE BONDS — 0.1%
Consumer Discretionary — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/14 (D)	$	3,146		252

Energy — 0.1%
Nova Biosource Fuels
10.000%, 09/30/12 (D)		1,679		4
Rentech
4.000%, 04/15/13		2,222		1,489
Scorpio Mining
7.000%, 05/05/11 (F)		509		447

				1,940

Total Convertible Bonds (Cost $3,809) ($ Thousands)				2,192


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
EXCHANGE TRADED FUNDS — 0.3%
iShares Russell 2000 Growth Index Fund (A)		78,800	$	5,626
iShares Russell 2000 Index Fund		3,062		203
SPDR S&P MidCap 400 ETF Trust		1,467		203

Total Exchange Traded Funds (Cost $6,252) ($ Thousands)				6,032

WARRANTS — 0.0% Cullen Agricultural Holding, Expires 2013		222,701		4

Oilsands Quest, Expires 05/12/11 *		330,350		66

Rentech, Expires 04/25/12 * (F)		13,800		1

Titanium Asset Management, Expires 06/21/11 * (F)		105,000		—

Total Warrants (Cost $196) ($ Thousands)				71

AFFILIATED PARTNERSHIP — 16.4% SEI Liquidity Fund, L.P. 0.240%**†(B)		345,579,629		338,195

Total Affiliated Partnership (Cost $345,580) ($ Thousands)				338,195

CASH EQUIVALENT — 3.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.090%**†		73,966,794		73,967

Total Cash Equivalent (Cost $73,967) ($ Thousands)				73,967

U.S. TREASURY OBLIGATIONS (C) (E) — 0.2%
U.S. Treasury Bills 0.165%, 06/10/10	$	70		70
0.078%, 06/03/10		4,463		4,463

Total U.S. Treasury Obligations (Cost $4,533) ($ Thousands)				4,533

Total Investments — 118.2% (Cost $2,152,690)($ Thousands)			$	2,440,310

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-Mini	163	Jun-2010	$	313
S&P Mid 400 Index E-Mini	110	Jun-2010		228

			$	541

Percentages are based on Net Assets of $2,064,443 ($ Thousands).

(A)	This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $331,075 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $338,195 ($ Thousands).

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

(D)	Security in default on interest payments.

(E) The rate reported is the effective yield at time of purchase.

(F) Securities considered restricted. The total value of such securities as of May 31, 2010 was $837 ($ Thousands) and represented 0.04% of Net Assets.

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.

CL — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

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


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 97.7%
Consumer Discretionary — 8.7%
Aaron’s	43,950	$	878
Amazon.com *	22,953		2,880
Autoliv	11,600		551
Buckle	15,000		533
Burger King Holdings	51,000		970
Career Education *	32,300		904
Carter’s *	29,900		914
Choice Hotels International	30,000		999
Cinemark Holdings	56,300		900
DIRECTV, Cl A *	29,400		1,108
Discovery Communications, Cl A *	33,200		1,251
DreamWorks Animation SKG, Cl A *	25,200		748
GameStop, Cl A *	33,700		768
Genuine Parts	23,200		942
Gildan Activewear, Cl A *	15,400		445
H&R Block	27,600		444
ITT Educational Services *	10,500		1,060
Panera Bread, Cl A *	5,200		420
priceline.com *	10,041		1,919
Regal Entertainment Group, Cl A	30,700		468
Shaw Communications, Cl B	29,500		539
Strayer Education	8,204		1,969
Tractor Supply	9,400		637

			22,247

Consumer Staples — 16.5%
Altria Group	149,435		3,032
Brown-Forman, Cl B	54,460		3,020
Campbell Soup	55,513		1,988
Church & Dwight	16,900		1,113
Dean Foods *	64,700		689
Flowers Foods	27,700		685
General Mills	16,600		1,183
Hansen Natural *	11,600		453
Hershey	58,981		2,760
Hormel Foods	104,380		4,154
Kellogg	72,251		3,860
Kimberly-Clark	28,141		1,708
Lorillard	40,707		2,910
McCormick	27,485		1,060
PepsiCo	16,357		1,029
Philip Morris International	65,399		2,885
Ralcorp Holdings *	15,600		937
Reynolds American	59,465		3,101
Ruddick	23,500		776
Sara Lee	50,858		721
Sysco	105,412		3,142
Tyson Foods, Cl A	54,203		953

			42,159

Energy — 4.1%
Chevron	27,607		2,039
CNX Gas *	24,000		918
Dresser-Rand Group *	22,800		726
Enbridge	26,400		1,184
Exxon Mobil	21,935		1,326
FMC Technologies *	16,700		971


Description	Shares	Market Value ($ Thousands)
Murphy Oil	15,400	$	822
PetroHawk Energy *	31,300		602
SEACOR Holdings *	5,800		423
Teekay	17,400		439
TransCanada	33,400		1,108

			10,558

Financials — 14.9%
Alleghany *	2,900		847
Allied World Assurance Holdings	22,700		1,020
Bancorpsouth	40,700		789
Bank of Hawaii	58,591		2,814
BOK Financial	14,677		742
Capitol Federal Financial	47,636		1,524
Commerce Bancshares	97,076		3,608
Corporate Office Properties Trust ‡	28,600		1,084
Cullen/Frost Bankers	54,888		3,012
Endurance Specialty Holdings	25,500		946
Erie Indemnity, Cl A	24,900		1,142
Essex Property Trust ‡	11,700		1,231
Federated Investors, Cl B	37,600		835
First Citizens BancShares, Cl A	6,708		1,342
First Niagara Financial Group	37,898		501
Health Care REIT ‡	29,800		1,284
Hudson City Bancorp	75,700		955
MFA Mortgage Investments ‡	68,200		500
NASDAQ OMX Group *	30,000		558
National Retail Properties ‡	38,700		850
Nationwide Health Properties ‡	12,900		458
PartnerRe	9,859		719
People’s United Financial	95,024		1,327
Platinum Underwriters Holdings	21,800		803
ProAssurance *	20,700		1,218
Prosperity Bancshares	29,300		1,056
Realty Income ‡	33,100		1,031
RenaissanceRe Holdings	19,000		1,027
TFS Financial	180,662		2,392
UMB Financial	26,000		1,013
Washington Real Estate Investment Trust ‡	38,200		1,122
Wesco Financial	449		159

			37,909

Health Care — 20.8%
Abbott Laboratories	75,445		3,588
Alexion Pharmaceuticals *	8,757		438
Allscripts-Misys Healthcare
Solutions *	5,648		106
AmerisourceBergen	140,920		4,408
Amgen *	56,964		2,950
Baxter International	39,470		1,667
Becton Dickinson	40,042		2,855
Biogen Idec *	55,744		2,644
C.R. Bard	43,690		3,538
Cardinal Health	72,112		2,487
Celgene *	6,200		327
Cephalon *	3,571		210
Edwards Lifesciences *	16,000		808
Eli Lilly	30,072		986
Endo Pharmaceuticals Holdings *	52,700		1,104
Forest Laboratories *	88,533		2,291


Description	Shares	Market Value ($ Thousands)
Genzyme *	32,371	$	1,575
Henry Schein *	18,912		1,067
InterMune *	8,700		79
Johnson & Johnson	49,001		2,857
Kinetic Concepts *	19,700		816
Laboratory Corp of America
Holdings *	8,100		612
LifePoint Hospitals *	14,500		514
McKesson	65,981		4,619
Medco Health Solutions *	5,687		328
Mettler Toledo International *	3,600		412
Millipore *	25,495		2,708
Myriad Genetics *	33,300		608
Owens & Minor	36,150		1,080
Patterson	34,500		1,025
Perrigo	7,600		451
Techne	48,170		2,917
United Therapeutics *	21,600		1,106

			53,181

Industrials — 3.8%
Alliant Techsystems *	13,500		929
C.H. Robinson Worldwide	19,000		1,104
Copa Holdings, Cl A	9,639		492
FTI Consulting *	21,800		932
Gardner Denver	11,200		510
KBR	48,700		1,070
Landstar System	24,800		1,040
Lennox International	22,600		1,011
Nordson	6,400		427
Raytheon	9,200		482
Rollins	47,200		1,003
Stericycle *	10,400		610

			9,610

Information Technology — 10.7%
ADTRAN	35,900		985
Analog Devices	95,180		2,777
AVX	38,600		539
Diebold	17,400		504
FLIR Systems *	19,100		544
Google, Cl A *	5,685		2,758
Harris	22,900		1,074
Hewitt Associates, Cl A *	32,900		1,226
Ingram Micro, Cl A *	76,912		1,305
Intel	15,948		342
International Business Machines	28,454		3,564
Lender Processing Services	4,395		149
Mantech International, Cl A *	22,300		1,031
Microchip Technology	23,448		653
Micros Systems *	13,600		465
NeuStar, Cl A *	16,300		349
SAIC *	1,135		19
Sybase *	17,300		1,113
Tech Data *	67,553		2,746
Texas Instruments	125,486		3,064
WebMD Health, Cl A *	1,124		51
Xilinx	46,916		1,147
Zebra Technologies, Cl A *	31,383		863

			27,268


Description	Shares	Market Value ($ Thousands)
Materials — 3.4%
Aptargroup	27,600	$	1,100
Compass Minerals International	13,200		1,001
Greif, Cl A	18,700		1,025
Intrepid Potash *	32,400		799
Newmont Mining	57,997		3,122
Sensient Technologies	23,800		659
Silgan Holdings	33,600		958

			8,664

Telecommunication Services —2.7%
AT&T	59,600		1,448
BCE	29,600		865
MetroPCS Communications *	118,100		1,062
Rogers Communications, Cl B	36,400		1,239
SBA Communications, Cl A *	15,800		522
Telephone & Data Systems	11,300		371
Verizon Communications	50,894		1,401

			6,908

Utilities — 12.1%
AGL Resources	57,898		2,113
Alliant Energy	31,800		1,022
Aqua America	13,497		235
Atmos Energy	82,948		2,250
Consolidated Edison	28,700		1,222
DPL	8,027		201
DTE Energy	24,600		1,120
Edison International	34,300		1,110
Energen	11,800		522
Hawaiian Electric Industries	39,300		863
IDACORP	25,500		843
Nicor	66,816		2,700
NSTAR	82,384		2,893
OGE Energy	27,700		1,009
Pepco Holdings	26,000		419
PG&E	20,300		842
Piedmont Natural Gas	37,600		956
PPL	34,926		902
SCANA	24,800		900
TECO Energy	24,800		386
UGI	62,796		1,642
Vectren	82,749		1,907
Westar Energy	30,200		664
WGL Holdings	26,600		900
Wisconsin Energy	66,796		3,273

			30,894

Total Common Stock (Cost $211,505) ($ Thousands)			249,398

CASH EQUIVALENT — 1.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090%**†	2,452,491		2,452

Total Cash Equivalent (Cost $2,452) ($ Thousands)			2,452


Description	Shares		Market Value ($ Thousands)
U.S. TREASURY OBLIGATION — 1.3%
U.S. Treasury Bill
0.103%, 06/03/10 (A)(B)	$	3,248	$	3,248

Total U.S. Treasury Obligation
(Cost $3,248) ($ Thousands)				3,248

Total Investments — 100.0%
(Cost $217,205)($ Thousands)			$	255,098

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized (Depreciation) ($ Thousands)
S&P 500 Index EMINI	58	Jun-2010	$	(140	)

			$	(140	)

Percentages are based on a Net Assets of $255,094($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.

(A)	Zero coupon security. The rate reportedis the effective yield at time of purchase.

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

Cl — Class

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 93.6%
Argentina — 0.2%
Banco Macro ADR	10,000	$	272
BBVA Banco Frances ADR	22,659		134
Telecom Argentina ADR	8,200		134
Tenaris	17,645		333

			873

Australia — 5.6%
AGL Energy	1,303		15
Amcor	101,988		531
AMP	41,174		195
Arrow Energy*	7,177		30
Asciano Group	171,031		232
Australia & New Zealand Banking Group	191,848		3,628
AXA Asia Pacific Holdings	76,189		376
Bendigo Bank	30,119		217
BGP Holdings*	39,545		—
BHP Billiton ADR	22,300		1,446
BHP Billiton	159,934		5,185
Billabong International	8,977		76
Boral	6,705		32
Brambles	19,010		107
Caltex Australia	61,209		564
CFS Retail Property Trust‡	100,643		165
Coca-Cola Amatil	100,703		929
Cochlear	4,217		260
Commonwealth Bank of Australia	60,231		2,623
Computershare	45,806		420
CSL	3,723		100
Dexus Property Group‡	113,523		75
Downer EDI	1,864		10
Fairfax Media(A)	355,873		456
Flight Centre	1,700		24
Fortescue Metals Group*	28,934		99
Goodman Fielder	58,884		67
Goodman Group‡	464,953		248
GPT Group‡	9,128		20
Harvey Norman Holdings	57,147		167
Hillgrove Resources	53,200		13
Incitec Pivot	25,197		65
Leighton Holdings(A)	15,707		434
Lend Lease Group	41,392		270
Macquarie Group	12,329		453
National Australia Bank	85,885		1,793
OneSteel	252,041		684
Orica	23,503		511
Origin Energy	4,195		53
OZ Minerals	99,199		90
Qantas Airways	106,172		225
QBE Insurance Group	500		8
Rio Tinto	49,848		2,837
Santos	130,960		1,379
Sonic Healthcare	31,535		273
Stockland‡	238,516		787
Suncorp-Metway	74,311		513
TABCORP Holdings	61,384		344
Telstra	51,800		129
Toll Holdings	9,202		48
Transurban Group	94,817		345


Description	Shares	Market Value ($ Thousands)
Wesfarmers	59,303	$	1,463
Westfield Group‡	22,899		247
Westpac Banking	97,120		1,889
WHK Group	22,891		19
Woodside Petroleum	600		22
Woolworths	18,186		411
WorleyParsons	12,910		270

			33,872

Austria — 0.2%
IMMOFINANZ	135,520		421
OMV(A)	9,600		307
RHI*	2,647		72
Strabag	2,354		56
Vienna Insurance Group	2,800		119
Voestalpine	8,160		226

			1,201

Belgium — 1.1%
Ageas	232,475		595
Belgacom	15,613		481
Colruyt	7,166		1,637
Delhaize Group(A)	10,818		859
D’ieteren	170		76
Fortis (Netherlands Line)* (A)	—		—
InBev	39,274		1,902
KBC Groep	13,912		547
Solvay	2,933		258
UCB	12,785		424
Umicore	3,674		112

			6,891

Bermuda — 0.0%
Montpelier Re Holdings	9,224		144

Brazil — 1.7%
Amil Participacoes	197,413		1,488
Anhanguera Educacional Participacoes	40,792		586
Banco Santander Brasil ADR	116,800		1,217
Centrais Eletricas Brasileiras ADR	38,243		477
Cia Vale do Rio Doce ADR, Cl B	3,400		93
Itau Unibanco Holding ADR	95,300		1,755
NET Servicos de Comunicacao ADR*	79,200		809
Petroleo Brasileiro ADR(A)	30,100		1,072
Porto Seguro	96,900		998
Totvs	23,597		1,679

			10,174

Canada — 2.7%
Bankers Petroleum*	159,300		1,156
Canadian Natural Resources	41,800		1,481
Celestica*	27,600		254
Cenovus Energy	45,600		1,260
CI Financial	13,200		232
Domtar	7,495		465
Dundee, Cl A*	6,000		76
Eldorado Gold	101,100		1,737
Fairfax Financial Holdings	700		262
Magna International, Cl A	4,200		288


Description	Shares	Market Value ($ Thousands)
Niko Resources	25,100	$	2,494
Pacific Rubiales Energy*	72,500		1,527
Research In Motion*	18,300		1,106
Silver Wheaton*	83,400		1,574
Suncor Energy	73,100		2,259
West Fraser Timber	900		37

			16,208

Chile — 0.6%
Banco Santander Chile ADR	12,737		790
Enersis ADR	55,153		1,040
Sociedad Quimica y Minera de Chile ADR(A)	44,700		1,500

			3,330

China — 1.5%
Bank of China, Cl H	2,650,000		1,321
Baoye Group, Cl H	44,000		26
China Minsheng Banking, Cl H*	227,000		228
Ctrip.com International ADR*	37,041		1,459
Industrial & Commercial Bank of China	1,998,000		1,481
Ping An Insurance Group of China, Cl H	236,500		1,903
Want Want China Holdings	2,383,000		1,879
Xinao Gas Holdings	382,000		1,013

			9,310

Denmark — 1.1%
A P Moeller - Maersk, Cl A	3		22
A P Moeller - Maersk, Cl B	3		23
Carlsberg, Cl B	14,933		1,143
Coloplast, Cl B	4,736		493
Danske Bank	19,231		391
Novo-Nordisk, Cl B	41,762		3,236
Novozymes, Cl B	1,901		205
PER Aarsleff, Cl B	416		34
Sydbank	1,730		41
TrygVesta	20,032		1,094
William Demant Holding*	716		51

			6,733

Finland — 0.8%
Elisa, Cl A	10,777		182
Fortum	33,472		751
Kesko, Cl B	5,499		177
Kone, Cl B	25,447		996
Metso	10,666		339
Nokia	7,808		81
Orion, Cl B	20,760		365
Pohjola Bank, Cl A	19,457		191
Sampo, Cl A	9,973		212
Sanoma	3,155		57
Stora Enso, Cl R	129,603		972
UPM-Kymmene	21,567		278
Wartsila, Cl B	3,543		153

			4,754

France — 7.6%
Alcatel-Lucent	313,584		812
Alstom	44,772		2,160
Arkema(A)	2,929		107


Description	Shares	Market Value ($ Thousands)
Assystem	1,449	$	21
Atos Origin	3,608		161
AXA	18,675		310
BioMerieux	441		46
BNP Paribas	74,281		4,241
Bouygues	23,761		1,021
Casino Guichard Perrachon	6,503		500
Cegid Group	1,081		27
Christian Dior	6,076		589
Cie Generale de Geophysique-Veritas*	5,091		114
Cie Generale d’Optique Essilor International(A)	1,278		73
CNP Assurances(A)	17,080		1,207
Compagnie de St.-Gobain(A)	9,748		377
Credit Agricole(A)	22,812		250
Danone	49,320		2,556
Dassault Systemes	1,574		92
Eurazeo(A)	2,392		146
Eutelsat Communications	41,462		1,363
Fonciere Des Regions‡	1,211		112
France Telecom	65,359		1,249
Gaz de France	95,538		2,976
Gecina‡	2,705		226
Groupe Eurotunnel	37,463		291
Havas	9,594		44
Ipsen(A)	55,046		2,346
JC Decaux	5,573		134
Klepierre‡	6,461		174
Legrand(A)	5,847		174
L’Oreal	4,284		403
LVMH Moet Hennessy Louis Vuitton	2,640		280
Metropole Television	2,232		46
Natixis	266,431		1,186
Neopost	2,429		178
NetGem	7,913		32
Nexity	2,253		65
Pernod-Ricard	1,490		114
Peugeot	28,819		694
PPR	958		116
Publicis Groupe(A)	4,551		191
Renault	15,481		561
Safran(A)	29,517		809
Sanofi-Aventis(A)	73,819		4,501
Schneider Electric	44,727		4,522
SEB	281		19
Sequana Capital	6,313		81
SES Global	2,159		45
Societe BIC	1,108		79
Societe Des Autoroutes Paris-Rhin-Rhone	812		50
Societe Generale	16,795		726
Societe Television Francaise 1	10,809		155
Sodexo	34,110		1,938
Suez Environnement	737		13
Technip	3,373		220
Total(A)	31,030		1,444
Unibail-Rodamco‡	682		107
Valeo	813		23
Vallourec(A)	1,056		198
Video Futur Entertainment Group*	7,913		2


Description	Shares	Market Value ($ Thousands)
Vinci	3,014	$	137
Vivendi	148,235		3,224

			46,058

Germany — 7.2%
Adidas	24,833		1,254
Allianz	22,702		2,282
BASF	76,083		4,046
Bayer	15,072		849
Bayerische Motoren Werke	287		13
Beiersdorf	2,218		121
Celesio	4,949		125
Continental	400		19
DaimlerChrysler	66,637		3,362
Deutsche Bank(A)	39,633		2,373
Deutsche Boerse(A)	32,341		1,991
Deutsche Lufthansa	12,648		169
Deutsche Post	25,145		376
Deutsche Telekom	131,705		1,477
E.ON	46,412		1,418
Fresenius	2,182		138
Fresenius Medical Care	30,403		1,542
GAGFAH	13,000		88
GEA Group	1,327		27
Hannover Rueckversicherung	19,169		819
HeidelbergCement	1,142		62
Henkel	12,066		486
Hochtief	1,384		89
Infineon Technologies*	361,384		2,081
Linde	38,312		3,957
MAN	487		42
MTU Aero Engines Holding	2,600		143
Norddeutsche Affinerie	2,100		97
Puma Rudolf Dassler Sport	26		7
Rheinmetall	110		6
RWE	9,793		706
Salzgitter	1,112		72
SAP	1,737		76
SAP ADR(A)	33,500		1,421
Siemens	66,215		6,041
Suedzucker(A)	17,166		315
ThyssenKrupp	76,906		2,089
Tognum(A)	87,663		1,620
TUI	55,942		512
United Internet	2,213		28
Volkswagen	276		24
Wincor Nixdorf	20,325		1,215

			43,578

Greece — 0.2%
Coca Cola Hellenic Bottling	16,093		361
OPAP	35,787		572
Public Power	27,806		432

			1,365

Hong Kong — 2.8%
ASM Pacific Technology	34,000		259
BOC Hong Kong Holdings	133,000		300
Cathay Pacific Airways	122,000		242
Champion REIT‡	66,000		30
Champion Technology Holdings	564,000		15
Cheung Kong Holdings	42,009		479


Description	Shares	Market Value ($ Thousands)
China Merchants Holdings International	398,000	$	1,242
China Mobile ADR(A)	34,400		1,602
China Mobile	115,500		1,093
Esprit Holdings	12,000		71
Fairwood	19,500		19
First Pacific	133,000		86
Great Eagle Holdings	2,000		5
Guoco Group	9,000		92
Hang Lung Group	10,000		48
Hang Lung Properties	2,000		7
Hongkong & Shanghai Hotels	47,500		75
Hongkong Land Holdings	69,000		328
Hopewell Holdings	42,000		115
Hutchison Telecommunications Hong Kong Holdings	228,000		46
Hutchison Whampoa	138,000		859
Hysan Development(A)	23,635		61
Jardine Matheson Holdings	5,600		194
Jardine Strategic Holdings	109,453		2,143
Kerry Properties	211,000		881
Lai Sun Development*	1,739,000		29
Li & Fung	106,000		460
Link REIT‡	58,000		140
New World Development	381,000		609
Noble Group	1,000		1
NWS Holdings	17,000		30
Orient Overseas International	55,500		370
Pacific Century Premium Developments	45,000		8
Pico Far East Holdings	202,000		37
Qingling Motors, Cl H	298,000		70
RCG Holdings*	28,708		23
Sun Hung Kai Properties	30,000		396
Swire Pacific, Cl A	261,944		2,892
Television Broadcasts	18,000		80
Vedan International Holdings	220,000		24
VTech Holdings	12,754		126
Wharf Holdings	139,000		693
Wheelock	255,383		684
Yue Yuen Industrial Holdings	77,894		241

			17,205

India — 0.2%
State Bank of India GDR	9,800		930

Ireland — 0.8%
DCC	4,200		97
Experian	302,008		2,684
Kerry Group, Cl A	6,851		191
Willis Group Holdings	56,100		1,718

			4,690

Israel — 0.4%
Bank Hapoalim*	7,093		27
Bezeq Israeli Telecommunication	12,377		27
Israel Chemicals	3,172		35
Makhteshim-Agan Industries	318,882		1,113
NICE Systems*	519		15
Teva Pharmaceutical Industries	6,646		358


Description	Shares	Market Value ($ Thousands)
Teva Pharmaceutical Industries ADR	14,300	$	784

			2,359

Italy — 1.4%
Atlantia(A)	8,370		156
Autogrill	851		10
Banca Popolare di Milano	15,955		68
Credito Emiliano	1,302		7
Edison	35,904		42
Enel	478,921		2,207
ENI	27,249		511
Fiat	34,191		376
Finmeccanica(A)	23,818		255
Italcementi	5,000		42
Mediaset(A)	189,642		1,180
Saipem	5,412		171
Servizi Italia	2,512		15
Snam Rete Gas(A)	27,713		113
Societa Iniziative Autostradali e Servizi	2,297		19
Telecom Italia(A)	2,061,995		2,373
Terna Rete Elettrica Nazionale	29,285		111
UniCredito Italiano	419,773		901

			8,557

Japan — 17.1%
77 Bank	82,000		423
ABC-Mart	1,900		67
Able	1,500		12
Advantest	1,200		27
Aeon(A)	72,800		761
Aeon Fantasy	200		2
Aichi Bank	400		25
Aichi Machine Industry	3,000		9
Aisin Seiki	19,600		547
Ajinomoto	49,000		417
Alfresa Holdings	2,400		115
Amada	10,000		73
Amano	1,400		12
AOKI Holdings	900		13
Aoyama Trading	1,800		31
Aozora Bank	136,000		167
Arakawa Chemical Industries	1,700		18
Asahi Breweries	22,900		387
Asahi Glass	107,000		1,135
Asahi Kasei	65,000		342
Astellas Pharma	50,800		1,640
Bando Chemical Industries	16,000		52
Bank of Nagoya	6,000		20
Belluna	1,150		6
Bridgestone	160,700		2,608
Brother Industries	134,800		1,494
Canon	78,700		3,241
Cawachi	3,700		76
Central Japan Railway	142		1,160
Chiba Bank	22,000		134
Chiba Kogyo Bank*	600		4
Chiyoda	6,000		47
Chubu Electric Power	24,300		564
Chubu Shiryo	3,000		20
Chuetsu Pulp & Paper	8,000		14


Description	Shares	Market Value ($ Thousands)
Citizen Holdings	14,400	$	86
Cleanup	100		1
Corona	200		2
Create SD Holdings	300		6
Credit Saison	8,400		99
Dai Nippon Printing	58,000		711
Daicel Chemical Industries	119,000		834
Daihatsu Motor	11,000		100
Daiichi Jitsugyo	5,000		16
Dai-ichi Life Insurance	66		109
Daiichikosho	5,100		63
Daikoku Denki	2,800		38
Daikyo	225,000		450
Dainippon Ink and Chemicals(A)	7,000		12
Daito Trust Construction	2,500		126
Daiwa House Industry	67,000		641
Daiwa Securities Group	6,000		27
Dena	34,200		1,034
Denki Kagaku Kogyo	52,000		245
Denso	7,900		213
Dentsu(A)	5,600		143
East Japan Railway	8,600		556
Eighteenth Bank	12,000		32
Eizo Nanao	500		11
Electric Power Development	5,100		153
Elpida Memory*	14,400		262
Fanuc	8,700		919
Fast Retailing	2,600		366
Fields	3		3
Fuji Electric Holdings	8,000		23
Fuji Heavy Industries	136,000		784
Fuji Media Holdings	636		941
FUJI SOFT INC	2,400		43
FUJIFILM Holdings	60,000		1,788
Fujikura	9,000		44
Fujitec	1,000		6
Fujitsu	446,000		2,869
FuKoKu	2,800		24
Fukuda Denshi	400		9
Fukuoka Financial Group	155,000		653
Funai Electric	6,100		246
Furukawa-Sky Aluminum	41,000		117
Furuno Electric	700		4
Gunma Bank	10,000		52
Hakuhodo DY Holdings	1,310		67
Hankyu Hanshin Holdings	18,000		80
Heiwado	1,200		15
Higashi-Nippon Bank	7,000		13
HI-LEX	1,100		13
Hitachi	634,000		2,593
Hitachi Chemical	2,200		43
Hitachi Construction Machinery	9,800		200
Hitachi High-Technologies	300		6
Honda Motor	111,200		3,387
H-One	1,900		17
Hosiden	1,900		21
Hoya	12,800		300
Idemitsu Kosan	4,000		300
IHI	23,000		40
Iida Home Max	10,500		88
Imasen Electric Industrial	4,600		62
Inaba Denki Sangyo	400		10


Description	Shares	Market Value ($ Thousands)
Inabata	36,200	$	177
Inpex	147		925
Isuzu Motors	49,000		152
Itochu	88,200		732
Itochu-Shokuhin	400		12
J Front Retailing	12,000		62
Japan Digital Laboratory	900		10
Japan Tobacco	192		603
JBCC Holdings	700		4
JFE Holdings	20,800		701
JFE Shoji Holdings	6,000		29
JS Group	21,800		420
JSP	6,900		67
JSR	39,800		727
JTEKT	4,900		50
Jupiter Telecommunications	2,348		2,324
JX Holdings*	107,270		586
Kaneka	9,000		55
Kansai Paint	2,000		17
Kao	800		18
Kasumi	600		3
Kato Sangyo	600		9
Kawasaki Heavy Industries	6,000		17
Kawasumi Laboratories	3,000		21
KDDI	428		1,939
Keio	5,000		31
Keisei Electric Railway	10,000		55
Keyence	300		67
Kirin Holdings	26,000		351
Kobe Steel	38,000		80
Kohnan Shoji	1,000		11
Komatsu	12,900		242
Konaka	5,000		16
Konica Minolta Holdings	19,500		220
Konishi	2,300		24
Kuraray	44,000		547
Kyocera	3,300		288
Kyoei Steel	1,500		22
Kyudenko	5,000		27
Lawson	2,500		106
Mabuchi Motor	2,100		107
Maeda	5,000		14
Maeda Road Construction	1,000		8
Maezawa Kasei Industries	800		7
Makita	50,100		1,402
Mars Engineering	100		2
Marubeni	450,000		2,509
Maruichi Steel Tube	5,000		91
Maruzen Showa Unyu	5,000		16
Maxvalu Nishinihon	300		4
Mazda Motor	52,000		136
Mediceo Paltac Holdings	42,600		500
MEIJI Holdings	2,200		80
Mie Bank	4,000		11
Mikuni Coca-Cola Bottling	1,600		13
Minebea	18,000		104
Mitsubishi	170,500		3,847
Mitsubishi Chemical Holdings	112,500		523
Mitsubishi Electric	105,000		862
Mitsubishi Heavy Industries	78,000		290
Mitsubishi Materials	8,000		22
Mitsubishi UFJ Financial Group	185,000		897


Description	Shares	Market Value ($ Thousands)
Mitsubishi UFJ Lease & Finance	1,170	$	44
Mitsui	18,200		259
Mitsui Chemicals	107,000		324
Mitsui Engineering &
Shipbuilding(A)	98,000		224
Mitsui Home	1,000		5
Mitsui OSK Lines	37,000		264
Mitsui Sumitomo Insurance Group Holdings	10,900		269
Mizuho Financial Group	84,900		153
Mizuho Securities	82,000		205
Murata Manufacturing	4,100		199
Nafco	1,000		17
Namco Bandai Holdings	8,800		80
NEC	73,000		206
NEC Mobiling	400		10
NEC Networks & System Integration	13,300		165
NGK Spark Plug	7,000		88
NHK Spring	27,000		255
Nichireki	10,000		47
Nidec	16,000		1,459
Nihon Shokuhin Kako	3,000		17
Nihon Yamamura Glass	1,000		3
Nikon	10,100		195
Nintendo	800		236
Nippo	4,000		31
Nippon Beet Sugar Manufacturing	3,000		6
Nippon Electric Glass	166,100		2,183
Nippon Express	9,000		40
Nippon Meat Packers	31,000		388
Nippon Steel	123,000		431
Nippon Steel Trading	1,000		3
Nippon Telegraph & Telephone	48,400		1,961
Nishi-Nippon City Bank	72,000		200
Nishio Rent All	2,900		20
Nissan Chemical Industries	2,000		24
Nissan Motor	320,400		2,339
Nissan Shatai	5,000		34
Nisshin Fudosan	8,300		56
Nissin Food Products	1,100		36
Nissin Healthcare Food Service	1,500		18
Nissin Sugar Manufacturing	11,000		22
Nitori	2,250		180
Nittetsu Mining	4,000		15
Nitto Denko	8,400		300
Nojima	729		6
NOK	5,100		82
NSK	49,000		359
NTN	4,000		17
NTT Data	21		78
Obic	1,110		214
Ohsho Food Service	800		21
Olympus	8,000		209
Omron	16,500		347
Oracle Japan	3,300		155
Oriental Land	2,400		183
Oriental Yeast	3,000		13
ORIX	2,710		207
Osaka Steel	1,300		17
Panasonic	36,600		467
Panasonic Electric Works	27,000		277


Description	Shares	Market Value ($ Thousands)
Penta-Ocean Construction	45,500	$	69
Piolax	1,000		19
Rakuten	433		302
Rengo	3,000		18
Resona Holdings	11,900		151
Ricoh	24,000		344
Rinnai	900		45
Rohm	400		26
Roland	600		6
Ryoden Trading	7,000		37
S Foods	5,500		45
Sammy NetWorks	6		18
San-Ai Oil	19,000		75
San-In Godo Bank	4,000		29
Sankyo	33,700		1,460
Sanshin Electronics	8,000		67
Sapporo Hokuyo Holdings	249,500		922
Sazaby League	600		10
Secom	500		22
Seiko Epson	7,000		95
Seino Holdings	24,000		170
Seiren	400		2
Sekisui Chemical	396,000		2,447
Sharp	138,000		1,506
Shimamura	200		18
Shimano	2,500		103
Shinsei Bank(A)	174,000		172
Shiseido	33,600		652
Showa Denko	31,000		62
Sinanen	6,000		24
Sintokogio	1,600		12
SKY Perfect JSAT Holdings	43		15
SMC	1,500		195
Softbank	2,500		60
Sojitz	176,400		301
Sony	73,800		2,285
Sony Financial Holdings	61		212
SRI Sports	8		8
Sumco	2,000		36
Sumikin Bussan	4,000		10
Sumitomo	174,900		1,898
Sumitomo Chemical	49,000		201
Sumitomo Electric Industries	35,000		414
Sumitomo Heavy Industries	8,000		46
Sumitomo Metal Mining	47,000		669
Sumitomo Mitsui Financial Group	20,600		612
Sumitomo Trust & Banking	6,000		32
Suncall	4,000		15
Suzuken	9,900		352
Suzuki Motor	10,300		207
Sysmex	2,600		150
SysproCatena	22		14
T&D Holdings	4,450		105
T&K Toka	2,100		23
Tachi-S, Cl S	4,200		40
Tact Home	36		29
Takagi Securities	10,000		17
Takara Leben(A)	6,700		27
Takata	100		2
Takeda Pharmaceutical	14,600		609
Tanabe Seiyaku	17,000		221
TDK	4,000		233


Description	Shares	Market Value ($ Thousands)
Teijin	37,000	$	105
Terumo	2,300		110
THK	3,700		76
TKC	1,100		19
Toho Gas	38,000		189
Toho Holdings	3,100		48
Tohokushinsha Film	1,300		7
Token	50		1
Tokuyama	7,000		36
Tokyo Broadcasting System HD	6,100		90
Tokyo Electron	3,600		209
Tokyo Gas	35,000		153
Tokyo Style	2,000		16
Tokyo Tekko	11,000		27
Tomoku	11,000		30
Toppan Printing	22,000		188
Topre	200		1
Torii Pharmaceutical	200		3
Tosei	112		47
Toshiba	21,000		108
Toshiba TEC	48,000		176
Tosoh	7,000		19
Totetsu Kogyo	13,000		84
Toyo Kohan	1,000		5
Toyo Seikan Kaisha	5,200		81
Toyo Suisan Kaisha	3,000		67
Toyoda Gosei	2,300		59
Toyota Auto Body	2,700		37
Toyota Industries	4,900		126
Toyota Motor	22,700		819
Toyota Tsusho	36,300		516
Trusco Nakayama	100		1
TS Tech	900		15
TV Asahi	32		48
Unicharm	26,200		2,650
Universe	3,600		49
UNY	2,700		21
USS	1,120		75
Valor	1,600		12
VITAL KSK HOLDINGS	300		1
West Japan Railway	56		200
Yahoo! Japan	5,725		2,015
Yakult Honsha	8,000		196
Yamada Denki	830		57
Yamaha	2,500		26
Yamaha Motor	10,900		158
Yaskawa Electric	18,000		142
Yokogawa Electric	7,200		50
Yokohama Rubber	3,000		14

			103,782

Macau — 0.1%
Wynn Macau*	13,100		21
Sands China*	247,200		366

			387

Mauritius — 0.0%
Golden Agri-Resources	120,560		44


Description	Shares	Market Value ($ Thousands)
Netherlands — 6.5%
Akzo Nobel	35,027	$	1,803
ArcelorMittal	8,078		248
ASML Holding	32,985		958
Boskalis Westminster	3,333		127
European Aeronautic Defense and Space(A)	62,702		1,260
Fugro	37,779		1,956
Heineken	31,314		1,354
Heineken Holding	10,321		388
Imtech	2,800		75
ING Groep	315,120		2,520
James Hardie Industries	33,183		208
Koninklijke Ahold	222,083		2,804
Koninklijke DSM(A)	63,910		2,567
Koninklijke Philips Electronics	114,787		3,453
Koninklijke Vopak	5,180		198
Nutreco Holding	2,000		110
Randstad Holding	8,125		345
Reed Elsevier	1,543		16
Royal Dutch Shell, Cl A	107,571		2,811
Royal Dutch Shell, Cl A (GBP)	84,844		2,225
Royal Dutch Shell, Cl B	54,298		1,366
Royal KPN	178,322		2,328
SBM Offshore	51,463		819
Teleplan International	9,136		24
TNT	93,105		2,324
Unilever	256,012		7,056

			39,343

New Zealand — 0.1%
Air New Zealand	45,100		36
Fletcher Building	32,059		179
Telecom of New Zealand	348,411		449

			664

Norway — 1.2%
Aker Kvaerner	1,400		19
Atea	11,500		81
DnB	439,489		4,383
Norsk Hydro	800		5
Seadrill	16,950		327
Statoil(A)	70,341		1,391
Telenor(A)	62,600		769
TGS Nopec Geophysical*	1,300		18
Yara International	2,000		59

			7,052

Portugal — 0.2%
Banco Comercial Portugues, Cl R	170,000		135
Energias de Portugal	245,756		762
Jeronimo Martins	58,810		547
Portugal Telecom	1,411		15

			1,459

Singapore — 1.5%
CapitaMalls Asia	11,400		17
DBS Group Holdings	192,000		1,916
Fortune Real Estate Investment Trust‡	13,000		6
Fraser and Neave	70,000		244
GP Batteries International*	16,000		21
Ho Bee Investment	98,000		101


Description	Shares	Market Value ($ Thousands)
Jardine Cycle & Carriage	15,000	$	295
Keppel	9,000		57
Keppel Land	6,000		15
K-REIT Asia‡	7,000		5
Oversea-Chinese Banking	288,000		1,710
SembCorp Industries	97,000		276
SembCorp Marine	15,000		42
SIA Engineering	18,000		48
Singapore Airlines	121,000		1,243
Singapore Airport Terminal Services	33,000		62
Singapore Press Holdings(A)	48,000		127
Singapore Technologies Engineering	115,000		256
Starhill Global REIT, Cl REIT‡	40,000		15
Suntec Real Estate Investment Trust, Cl REIT‡	22,000		20
Transpac Industrial Holdings	15,000		15
United Overseas Bank	20,000		258
UOL Group	160,000		432
Venture	6,000		37
Wheelock Properties Singapore	35,370		44
Wilmar International	209,000		868
Yangzijiang Shipbuilding Holdings	929,000		834

			8,964

South Africa — 0.3%
Group	112,660		1,601

South Korea — 1.1%
Hyundai Mobis	15,415		2,568
Samsung Electronics	2,642		1,716
Samsung SDI	6,988		956
Shinhan Financial Group	43,340		1,575

			6,815

Spain — 1.3%
Banco Bilbao Vizcaya Argentaria(A)	97,947		1,029
Banco Popular Espanol(A)	13,219		68
Banco Santander Central Hispano	261,347		2,683
Bankinter	16,434		95
Caja de Ahorros del Mediterraneo	3,673		27
Construcciones y Auxiliar de Ferrocarriles	165		70
Enagas	4,167		67
Ferrovial	5,354		36
Fomento de Construcciones y Contratas(A)	3,343		83
Gamesa Tecnologica	133,654		1,323
Gas Natural	45,149		663
Gestevision Telecinco	7,873		79
Inditex	10,940		613
Mapfre(A)	7,677		22
Telefonica	50,291		965

			7,823

Sweden — 2.1%
Alfa Laval	28,666		363
Assa Abloy, Cl B	18,443		372
Atlas Copco, Cl A	21,766		310


Description	Shares	Market Value ($ Thousands)
Atlas Copco, Cl B	12,809	$	166
Bilia, Cl A	6,483		76
Boliden	16,454		198
Electrolux, Cl B	68,380		1,541
Getinge, Cl B	16,896		335
Hennes & Mauritz, Cl B	14,980		849
Industrivarden, Cl C	36,045		402
Investor, Cl A	12,815		200
Kinnevik Investment, Cl B	18,215		284
Millicom International Cellular	246		19
Modern Times Group, Cl B	400		21
Nordea Bank	130,000		1,067
Ratos, Cl B	9,307		235
Saab, Cl B	5,381		71
Sandvik	8,942		106
Scania, Cl B	37,761		556
Securitas, Cl B	31,948		285
Skanska, Cl B	25,888		380
SKF, Cl B	1,909		33
SSAB, Cl A	1,174		17
Svenska Cellulosa, Cl B	74,681		869
Svenska Cellulosa, Cl A	555		6
Svenska Handelsbanken, Cl A	109,213		2,658
Swedbank	47,082		423
Swedish Match	11,671		244
Tele2, Cl B	22,718		329
Telefonaktiebolaget LM Ericsson, Cl B	1,336		14
TeliaSonera	37,100		222
Volvo, Cl B	6,507		68

			12,719

Switzerland — 8.3%
Actelion*	2,197		79
Adecco(A)	3,989		193
Aryzta	1,309		43
Baloise Holding	3,400		241
Banque Cantonale Vaudoise	189		73
Clariant	18,838		219
Coltene Holding	472		23
Compagnie Financiere Richemont	20,524		679
Credit Suisse Group	99,124		3,845
Emmi	200		28
Flughafen Zuerich*	28		8
Geberit	3,316		501
Givaudan	2,901		2,275
Helvetia Holding	500		134
Holcim	17,415		1,104
Informa	281,592		1,530
Kuehne + Nagel International	363		34
Micronas Semiconductor Holding*	6,888		31
Nestle	172,223		7,797
Nobel Biocare Holding	52,435		986
Novartis	177,941		8,071
PSP Swiss Property	428		24
Roche Holding	35,580		4,878
Schindler Holding	13,853		1,072
SGS	3,497		4,381
Sonova Holding	4,916		532
STMicroelectronics	33,574		266
Straumann Holding	218		46


Description	Shares	Market Value ($ Thousands)
Sulzer	21,758	$	1,809
Swatch Group	10,635		515
Swatch Group, Cl B	2,608		684
Swiss Life Holding	5,581		600
Swiss Reinsurance	8,031		328
Swisscom	3,867		1,230
Syngenta	7,173		1,591
Synthes	2,472		261
UBS	72,989		980
Xstrata	98,771		1,434
Zurich Financial Services	8,368		1,712

			50,237

Taiwan — 0.1%
United Microelectronics ADR(A)	241,944		801

Thailand — 0.3%
Kasikornbank	686,700		1,896

			1,896

United Kingdom — 16.8%
3i Group	188,762		773
Admiral Group	11,881		220
Aggreko	1,900		34
Amec	135,189		1,544
Amlin	360,181		1,943
Anglo American*	47,592		1,816
Antofagasta	119,897		1,522
ARM Holdings	9,400		33
Associated British Foods	49,085		676
AstraZeneca	105,860		4,449
Autonomy*	3,103		78
Aviva	78,243		359
BAE Systems	776,789		3,601
Balfour Beatty	11,760		43
Barclays	699,822		3,052
BG Group	250,260		3,809
BHP Billiton	45,791		1,252
BP	918,446		6,546
British Airways	2,993		9
British American Tobacco	68,090		1,999
BT Group, Cl A	378,254		692
Bunzl	15,500		159
Burberry Group	35,768		355
Cairn Energy*	696,575		4,026
Cape*	36,691		110
Carnival	7,515		283
Centrica	26,756		106
Cobham	61,854		205
Compass Group	170,492		1,312
Computacenter	4,925		22
Davis Service Group PLC	60,400		338
Diageo	64,458		983
DS Smith	8,312		14
easyJet*	28,355		163
Education Development International	15,291		24
Eurasian Natural Resources	103,231		1,483
Firstgroup	40,872		221
GlaxoSmithKline	191,684		3,187
Halfords Group	4,744		33


Description	Shares	Market Value ($ Thousands)
Healthcare Locums	18,106	$	59
Hogg Robinson Group	38,599		16
Home Retail Group	148,071		534
HSBC Holdings	705,633		6,383
ICAP	117,695		655
Imperial Tobacco Group	100,554		2,604
Inchcape	17,576		73
Inmarsat	21,128		229
Intercontinental Hotels Group	21,329		335
International Power	205,314		853
Invensys	22,624		90
Investec	45,032		317
ITV	31,000		25
Kazakhmys	20,760		352
Kingfisher	1,169,987		3,757
Legal & General Group	405,422		461
Lloyds Banking Group	880,094		712
Meggitt	1,927		8
Millennium & Copthorne Hotels	18,390		109
Mondi	4,227		25
Morgan Sindall	3,027		24
National Grid	49,328		356
Next	23,557		704
Old Mutual	229,674		376
Pearson	52,390		716
Petrofac	13,148		213
Prudential	3,222		25
Reckitt Benckiser Group	16,654		775
Reed Elsevier	217,344		1,505
Rexam	24,541		111
Rio Tinto	89,727		4,117
Rolls-Royce Group	79,110		670
Royal Bank of Scotland Group	1,424,371		949
SABMiller	27,076		761
Sage Group	944,549		3,227
Schroders	5,274		101
Serco Group	23,977		211
Shire	39,741		809
Smith & Nephew	151,080		1,360
Smiths Group	23,932		355
Standard Chartered	3,076		72
Standard Life	106,485		278
Tesco	729,509		4,324
Thomas Cook Group	52,000		155
Travis Perkins	55,257		626
Tullett Prebon	39,004		180
Tullow Oil	93,601		1,503
Unilever	44,426		1,193
Vedanta Resources	11,132		369
Vodafone Group	4,307,906		8,531
Whitbread	13,045		259
WM Morrison Supermarkets	164,071		624
WPP	134,438		1,259

			101,809

United States — 0.5%
AmeriCredit* (A)	5,135		111
BGC Partners, Cl A	8,210		51
Buckeye Technologies*	3,802		46
Central Garden and Pet*	4,700		47
Clearwater Paper*	1,900		116
Gladstone Capital	3,886		44


Description	Shares	Market Value ($ Thousands)
Hill-Rom Holdings	4,729	$	132
Horace Mann Educators	7,560		116
John B. Sanfilippo & Son*	2,700		39
JPMorgan Chase	4,574		181
Kemet*	11,358		24
KKR Financial Holdings LLC(A)	20,380		169
M&F Worldwide*	1,500		47
NGP Capital Resources	2,500		18
Och-Ziff Capital Management Group LLC, Cl A	15,920		229
Omnova Solutions*	5,400		43
Pre-Paid Legal Services* (A)	1,600		74
RAIT Financial Trust‡ * (A)	64,752		163
Seagate Technology*	45,828		704
TICC Capital	12,600		104
Valueclick*	3,593		42
Western Digital*	6,428		224

			2,724

Total Common Stock (Cost $595,230) ($ Thousands)			566,353

MORTGAGE-BACKED SECURITIES — 0.7%
Non-Agency Mortgage-Backed Obligations —0.7%
Banc of America Funding, Ser 2004-5, Cl 1A19
5.250%, 12/20/34	265		265
Banc of America Funding, Ser 2005-2, Cl 1A2
5.500%, 04/25/35	258		254
Banc of America Mortgage Securities, Ser 2003-9, Cl 1A12
0.793%, 12/25/33 (B)	58		56
Banc of America Mortgage Securities, Ser 2004-10, Cl 2A1
5.000%, 12/25/19	344		349
Bear Stearns Commercial Mortgage Securities, Ser 2005- PWR9, Cl A2
4.735%, 09/11/42	2		2
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A3
5.000%, 09/25/33	72		72
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-14, Cl A16
5.500%, 06/25/33	151		154
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-2, Cl A18
8.000%, 03/25/33	57		61
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-24, Cl A2
4.500%, 07/25/33	275		278
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-13, Cl 2A17
5.750%, 08/25/34	52		52
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-5, Cl 2A14
5.000%, 05/25/34	63		62


Description	Shares		Market Value ($Thousands)
Credit Suisse First Boston Mortgage Securities, Ser 2003-C3
3.382%, 05/15/38	$	6	$	6
DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33		138		138
First Horizon Asset Securities, Ser 2003-9, Cl 1A3
5.500%, 11/25/33		255		254
GMAC Mortgage Loan Trust, Ser 2004-J1, Cl A2
5.250%, 04/25/34		202		201
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		134		134
Greenwich Capital Commercial Funding, Ser 2003-C2, Cl A2
4.022%, 01/05/36		2		2
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.817%, 12/25/34 (B)		151		154
LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2
7.370%, 08/15/26		29		29
Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1
3.915%, 07/25/34 (B)		382		348
PNC Mortgage Acceptance, Ser 2000-C2, Cl A2
7.300%, 10/12/33		37		37
Residential Funding Mortgage Securities I, Ser 2004-S1, Cl A2
0.743%, 02/25/34 (B)		44		43
Residential Funding Mortgage Securities I, Ser 2006-S5, Cl A4
5.500%, 03/25/34		143		144
Thornburg Mortgage Securities Trust, Ser 2006-5, Cl A1
0.463%, 09/25/46 (B)		467		455
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl A2
4.782%, 03/15/42		176		176
WaMu Mortgage Pass Through Certificates, Ser 2004-AR9, Cl A6
2.950%, 08/25/34 (B)		2		2
WaMu Mortgage Pass Through Certificates, Ser 2005-AR10, Cl 1A1
4.750%, 09/25/35 (B)		252		253
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A5
4.500%, 06/25/33		28		28
Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A1
5.500%, 06/25/34		146		146


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1
3.220%, 07/25/34 (B)	$	45 $	15
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-N, Cl A13
0.793%, 06/25/34 (B)		76	74
Wells Fargo Mortgage Backed Securities Trust, Ser 2005- AR12, Cl 2A4
2.933%, 07/25/35 (B)		36	36

Total Mortgage-Backed Securities (Cost $4,325) ($ Thousands)			4,280

PREFERRED STOCK— 0.4%
Germany — 0.4%
Draegerwerk		1,189	71
Fresenius		3,718	237
Henkel		38,382	1,811
Jungheinrich		1,164	27
KSB		173	100
ProSiebenSat.1 Media		3,727	57
STO		300	27
Volkswagen		3,420	302

Total Preferred Stock (Cost $2,702) ($ Thousands)			2,632

WARRANTS — 0.1%

	Number Of Warrants
India — 0.1%
Shriram Transport Finance, Expires 2014 * (C)		64,656	774
Hong Kong — 0.0%
Henderson Land Development, Expires 12/31/49 *		2,780	—

Total Warrants (Cost $839) ($ Thousands)			774

CORPORATE OBLIGATION — 0.1%
Financials — 0.1%
Shinsei Finance Cayman
6.418%, 01/29/49 (B) (C)	$	490	310

Total Corporate Obligation (Cost $490) ($ Thousands)			310


	Number Of Rights
RIGHTS — 0.0%
Australia — 0.0%
Transurban Group, Expires 06/21/10		8,619	—


Description		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
United Kingdom — 0.0%
National Grid, PLC, Expires 06/13/10			19,731	$	39

Total Rights (Cost $0) ($ Thousands)					39

CASH EQUIVALENT — 0.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090%**†			3,212,787		3,213

Total Cash Equivalent (Cost $3,213) ($ Thousands)					3,213

U.S. TREASURY OBLIGATIONS — 0.6%
U.S. Treasury Bills (C)(D)
0.134%, 06/03/10		$	2,967		2,967
0.140%, 06/17/10			308		308
0.150%, 07/15/10			106		106
0.140%, 08/19/10			68		68

Total U.S. Treasury Obligations (Cost $3,449) ($ Thousands)					3,449

United States — 4.4%
Brown Brothers Harriman
5.450%, 06/01/10	ZAR		5		1
3.410%, 06/01/10	AUD		86		73
1.700%, 06/01/10	NZD		9		6
0.080%, 06/01/10	GBP		124		180
0.070%, 06/01/10	CAD		1		1
0.070%, 06/01/10	NOK		106		16
0.050%, 06/01/10	DKK		281		46
0.050%, 06/01/10	EUR		179		221
0.030%, 06/01/10			25,971		25,971
0.010%, 06/01/10	CHF		9		8
0.010%, 06/01/10	HKD		882		113
0.010%, 06/01/10	JPY		5,875		65
0.010%, 06/01/10	SEK		1,277		163
0.010%, 06/01/10	SGD		36		25

Total Time Deposits (Cost $26,889) ($ Thousands)					26,889

AFFILIATED PARTNERSHIP — 4.9%
SEI Liquidity Fund, L.P. 0.240% *†(F)		$	30,032	$	29,209

Total Affiliated Partnership (Cost $30,032) ($ Thousands)					29,209

Total Investments — 100.8% (Cost $667,169)($ Thousands)				$	637,148

A summary of outstanding swap agreements held by the Fund at May 31, 2010, is as follows:

Percentages are based on a Net Assets of $605,479 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.

(A)	This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $27,726 ($ Thousands).

(B)

(C)	Variable Rate Security. The rate is the rate in effect as of May 31, 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)	This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2010 was $29,209 ($ Thousands).

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

AUD — Australian Dollar

Cl — Class

DKK — Danish Krone

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

LLC — Limited Liability Company

L.P. — Limited Partnership

Ser — Series

SGD — Singapore Dollar

USD — U.S. Dollar

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


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 89.4%
Argentina — 0.0%
Tenaris ADR	30,999	$	1,151

Australia — 3.4%
Aditya Birla Minerals*	166,691		107
Amcor ADR	77,200		1,604
Australia & New Zealand Banking Group ADR	741,400		14,139
Australia & New Zealand Banking Group	194,986		3,688
Beach Energy	1,020,311		653
Bendigo Bank	46,055		331
BGP Holdings*	239,898		—
BHP Billiton	741,685		24,042
Caltex Australia	643,282		5,933
CFS Retail Property Trust‡	78,167		128
Coal & Allied Industries	5,259		401
Coca-Cola Amatil	197,438		1,821
Commonwealth Bank of Australia	213,729		9,307
Fairfax Media(A)	377,445		483
Fortescue Metals Group*	21,855		75
Incitec Pivot	553,668		1,417
Macquarie Group	54,620		2,006
National Australia Bank	211,258		4,411
New Hope	252,430		954
OneSteel	1,407,347		3,818
Origin Energy	219,141		2,787
OZ Minerals	1,822,194		1,653
Rio Tinto	290,198		16,516
Santos	859,596		9,050
SP AusNet, Cl Miscellaneous	657,720		468
Stockland‡	905,928		2,987
TABCORP Holdings	110,768		621
Telstra ADR	998,300		12,339
Wesfarmers	134,206		3,311
Westpac Banking	75,223		1,463
Woolworths	42,138		952

			127,465

Austria — 0.1%
Erste Group Bank	2,449		89
IMMOFINANZ	288,780		897
OMV	25,031		801
RHI*	2,622		72
Voestalpine	36,969		1,025

			2,884

Belgium — 1.0%
Belgacom	27,762		856
Delhaize Group ADR(A)	265,300		20,781
Delhaize Group(A)	35,137		2,791
D’ieteren	1,877		835
Groupe Bruxelles Lambert	6,282		456
InBev	141,063		6,834
KBC Groep	68,415		2,690
Nyrstar(A)	46,722		494
Telenet Group Holding	36,613		957


Description	Shares	Market Value ($ Thousands)
Umicore	11,503	$	350

			37,044

Brazil — 3.5%
BM&F Bovespa SA	2,033,200		13,517
Centrais Eletricas Brasileiras ADR	53,971		673
Cia de Saneamento Basico do Estado de Sao Paulo ADR(A)	753,700		28,505
Cia Paranaense de Energia ADR(A)	1,025,600		19,025
Cia Vale do Rio Doce	268,300		7,353
Empresa Brasileira de Aeronautica	247,200		1,321
Empresa Brasileira de Aeronautica ADR	263,500		5,739
Fleury*	206,200		2,012
Hypermarcas*	130,500		1,760
Iguatemi Empresa de Shopping Centers	119,200		1,958
Julio Simoes Logistica*	270,600		1,172
Natura Cosmeticos	453,300		9,416
Petroleo Brasileiro	428,600		8,006
Petroleo Brasileiro ADR(A)	664,200		23,659
Rodobens Negocios Imobiliarios	176,500		1,151
SLC Agricola	201,367		1,544
Telegraph Norte Leste Participacoes	75,000		1,471
Wilson Sons, Cl BDR	110,980		1,253

			129,535

Canada — 6.7%
Agrium	234,500		12,888
Alimentation Couche Tard, Cl B	31,930		587
Bank of Montreal(A)	136,425		8,063
Bank of Nova Scotia	77,800		3,570
BCE	137,300		4,008
Brookfield Asset Management, Cl A(A)	116,258		2,952
Canadian Imperial Bank of Commerce(A)	65,300		4,456
Canadian National Railway	387,260		22,685
Canadian Natural Resources	669,100		23,701
Canadian Pacific Railway	39,300		2,200
Canadian Utilities, Cl A	18,506		787
Cascades	32,900		215
Celestica*	85,800		791
Cenovus Energy	182,919		5,055
Centerra Gold*	69,900		852
CGI Group, Cl A*	338,909		5,237
Domtar	12,500		765
Dorel Industries, Cl B	33,200		1,201
Empire, Cl A	7,600		377
EnCana	448,013		14,161
Fairfax Financial Holdings	4,300		1,607
First Quantum Minerals	11,600		622
Flint Energy Services (Canada)*	9,700		113
Gildan Activewear*	53,047		1,580
Grande Cache Coal*	38,500		213
Groupe Aeroplan	26,800		243
IAMGOLD	96,832		1,687
IESI-BFC	28,500		574
IGM Financial	4,500		167


Description	Shares	Market Value ($ Thousands)
Lundin Mining*	471,200	$	1,833
Manulife Financial	12,200		209
MDS*	47		—
Metro, Cl A(A)	71,907		2,975
National Bank of Canada	26,400		1,455
Nexen	606,343		13,269
Norbord*	48,403		684
Northgate Minerals*	241,700		720
Onex	58,200		1,480
Pacific Rubiales Energy*	65,158		1,372
Petrobank Energy & Resources*	43,300		1,854
Potash Corp of Saskatchewan	80,750		8,009
Potash Saskatchewan	16,700		1,701
Provident Energy Trust	10,100		73
Quebecor, Cl B	24,700		819
Research In Motion*	154,985		9,404
Rogers Communications, Cl B	181,400		6,224
Royal Bank of Canada	133,810		7,014
Saputo	72,000		2,013
SEMAFO*	97,100		640
Sherritt International	152,000		966
Sino-Forest, Cl A*	71,063		1,229
Teck Cominco, Cl B	136,503		4,743
Tesco ADR	23,996		270
TMX Group	7,400		192
Toronto-Dominion Bank	422,400		28,870
Transat AT, Cl B*	15,700		164
TransCanada	417,900		13,892
West Fraser Timber	12,000		496
Western Coal*	69,438		347
Yamana Gold	1,277,500		13,752
Yellow Pages Income Fund(A)	193,840		1,180

			249,206

Chile — 0.2%
Banco Santander Chile ADR	7,648		475
Cia Cervecerias Unidas	179,986		1,498
Enersis ADR	109,089		2,056
ENTEL Chile	133,628		1,792

			5,821

China — 1.8%
AirMedia Group ADR*	202,106		817
Ajisen China Holdings	1,731,909		1,795
China Construction Bank, Cl H	2,917,000		2,361
China Life Insurance, Cl H	667,000		2,938
China Merchants Bank, Cl H(A)	6,666,150		15,822
China Petroleum & Chemical,
Cl H	8,260,000		6,567
China Railway Construction, Cl H	1,035,000		1,232
China Telecom, Cl H	1,214,000		563
Dongfeng Motor Group, Cl H	1,846,000		2,245
Industrial & Commercial Bank of
China	25,872,000		19,173
Luthai Textile*	142,800		110
Mindray Medical International
ADR	77,667		2,310
Shanghai Friendship Group, Cl B	241,620		311
Sinopharm Group, Cl H	1,940,800		7,690
Tingyi Cayman Islands Holding	1,132,000		2,603


Description	Shares	Market Value ($ Thousands)
Zhuzhou CSR Times Electric, Cl H	1,057,000	$	2,129

			68,666

Colombia — 0.4%
BanColombia ADR	340,900		16,302

Cyprus — 0.0%
Eurasia Drilling GDR(B)	57,349		1,061
Songa Offshore*	85,490		295

			1,356

Czech Republic — 0.1%
CEZ	49,926		2,121
Komercni Banka	8,077		1,414

			3,535

Denmark — 1.3%
Carlsberg, Cl B	39,481		3,023
Coloplast, Cl B	24,872		2,589
Danisco	18,580		1,117
Danske Bank	67,935		1,384
FLSmidth	28,162		1,774
Novo-Nordisk, Cl B	379,442		29,401
Vestas Wind Systems*	171,901		8,251

			47,539

Egypt — 0.1%
Egyptian Financial Group-Hermes
Holding	459,865		2,472
Orascom Construction Industries	20,858		898

			3,370

Finland — 0.8%
Fortum	151,783		3,405
Kone, Cl B	95,384		3,734
Metso	39,901		1,267
Nokia ADR(A)	551,100		5,577
Orion, Cl B	67,301		1,184
Pohjola Bank, Cl A	4,789		47
Sampo, Cl A	185,113		3,940
Stora Enso, Cl R	972,381		7,291
UPM-Kymmene	349,291		4,501
Wartsila, Cl B(A)	3,604		156

			31,102

France — 5.6%
Air Liquide	173,876		17,112
Alstom	32,846		1,585
Arkema(A)	42,082		1,545
AXA	34,904		579
BNP Paribas	355,284		20,283
Bouygues	14,872		639
Casino Guichard Perrachon	6,131		472
CNP Assurances(A)	12,194		862
Compagnie de St.-Gobain(A)	26,809		1,038
Credit Agricole(A)	13,815		151
Dassault Systemes(A)	34,959		2,045
Eutelsat Communications	29,895		982
Fonciere Des Regions‡	1,158		107


Description	Shares	Market Value ($ Thousands)
France Telecom	69,456	$	1,327
France Telecom ADR(A)	929,900		17,752
Gecina‡	1,777		149
Havas	410,200		1,883
Klepierre‡	29,416		794
Lafarge	175,873		10,218
Lagardere S.C.A.	29,160		942
Legrand(A)	1,256		37
LVMH Moet Hennessy Louis Vuitton(A)	177,336		18,855
Natixis	570,850		2,542
Neopost	3,579		263
Peugeot	199,125		4,798
PPR	17,605		2,129
Publicis Groupe	40,888		1,718
Renault	117,475		4,257
Rhodia	260,926		4,484
Safran(A)	281,740		7,718
Sanofi-Aventis(A)	310,108		18,910
Schneider Electric	70,929		7,172
SEB	8,776		594
Sequana Capital	7,402		94
Societe BIC	1,505		108
Societe Des Autoroutes Paris- Rhin-Rhone	3,319		202
Societe Generale	78,315		3,385
Societe Television Francaise 1	64,219		924
Technip	100,740		6,574
Technip ADR	189,300		12,305
Total(A)	154,158		7,172
Valeo	106,264		2,963
Vallourec(A)	8,009		1,503
Vinci	61,724		2,808
Vivendi	644,352		14,012

			205,992

Germany — 4.8%
Adidas	81,832		4,131
ADVA Optical Networking*	49,708		249
Aixtron(A)	105,282		2,869
Allianz	148,269		14,901
BASF	472,150		25,106
Bayer	44,834		2,526
Bilfinger Berger	24,216		1,361
DaimlerChrysler	157,840		7,963
Deutsche Bank(A)	433,455		25,951
Deutsche Post	176,007		2,633
Deutsche Telekom	500,444		5,613
E.ON	198,353		6,062
Fresenius Medical Care	237,246		12,037
Hannover Rueckversicherung(A)	79,639		3,403
Henkel	4,430		178
Hochtief	17,232		1,109
Infineon Technologies*	429,526		2,473
Linde	8,663		895
MAN	5,220		449
Metro	12,492		658
MTU Aero Engines Holding	23,500		1,291
Norddeutsche Affinerie	23,244		1,066
RWE	57,957		4,176
SAP ADR(A)	152,300		6,462
SAP(A)	417,229		18,116


Description	Shares	Market Value ($ Thousands)
Siemens ADR(A)	151,800	$	13,591
Siemens	109,430		9,983
Suedzucker(A)	107,306		1,970
TUI	113,187		1,035
United Internet(A)	54,274		695
Volkswagen	998		86

			179,038

Greece — 0.1%
OPAP	65,863		1,052
Public Power	57,700		896

			1,948

Guernsey — 0.3%
Amdocs*	355,200		10,123

Hong Kong — 2.8%
ASM Pacific Technology	109,200		830
BOC Hong Kong Holdings	1,411,794		3,188
Chaoda Modern Agriculture	3,298,000		3,151
Cheung Kong Holdings	185,000		2,108
China Dongxiang Group	4,322,000		2,903
China Mobile	2,016,000		19,083
Chinese Estates Holdings	26,500		44
CLP Holdings	1,171,000		8,249
CNOOC	11,306,000		18,093
First Pacific	1,406,000		912
GOME Electrical Appliances Holdings	9,925,300		3,047
Henderson Land Development	19,000		113
Hong Kong Exchanges and Clearing	859,100		13,197
Hongkong Land Holdings	302,007		1,437
Hopewell Holdings	96,000		261
Huabao International Holdings	3,391,000		4,181
Hutchison Telecommunications Hong Kong Holdings	1,170,000		236
Hutchison Whampoa	301,450		1,876
Hysan Development(A)	43,000		112
Jardine Matheson Holdings	20,000		695
Jardine Strategic Holdings	29,000		568
Link REIT‡	179,500		433
Midland Holdings	720,000		518
New World Development	1,410,000		2,253
Noble Group	1,676,816		2,163
Orient Overseas International	97,500		651
Polytec Asset Holdings	1,560,000		258
RCG Holdings*	137,229		108
Sun Hung Kai Properties	338,000		4,458
Swire Pacific, Cl A	106,000		1,170
TPV Technology	1,266,000		777
Wharf Holdings	805,342		4,013
Wheelock	393,270		1,053
Yue Yuen Industrial Holdings	753,000		2,331

			104,470

Hungary — 0.2%
MOL Hungarian Oil and Gas	17,193		1,411


Description	Shares	Market Value ($ Thousands)
OTP Bank	206,777	$	5,347

			6,758

India — 1.2%
Allahabad Bank	275,829		983
Andhra Bank	400,782		1,180
Cairn India*	412,130		2,669
Dena Bank	255,022		493
HDFC Bank	152,520		6,215
IDBI Bank	593,756		1,458
India Cements	623,293		1,450
Indian Bank	87,100		432
Indian Overseas Bank	118,213		232
Infosys Technologies	93,410		5,357
LIC Housing Finance	72,396		1,468
Nagarjuna Construction	395,189		1,479
Oil & Natural Gas	34,441		841
Oriental Bank of Commerce	135,995		985
Patni Computer Systems ADR	7,700		203
Power Finance	377,475		2,412
Sesa Goa* (C)	460,242		3,793
Sonata Software	73,006		75
State Bank of India GDR	4,006		380
State Bank of India	182,515		8,935
Syndicate Bank	86,740		172
UCO Bank	323,974		551
Union Bank of India	140,619		889
Vijaya Bank	396,817		505
Welspun	418,305		2,003
Zuari Industries	8,087		128

			45,288

Indonesia — 0.4%
Astra International	1,047,500		4,881
Bank Mandiri	5,352,000		3,092
Bank Negara Indonesia Persero	3,295,000		890
Bank Rakyat Indonesia	2,082,000		1,933
Gudang Garam	153,500		558
HM Sampoerna	17,500		28
Indocement Tunggal Prakarsa	1,578,420		2,557
Telekomunikasi Indonesia	3,194,500		2,673

			16,612

Ireland — 1.0%
Accenture, Cl A	158,500		5,947
Covidien	464,200		19,678
CRH ADR	573,800		13,002

			38,627

Israel — 1.3%
Bank Hapoalim*	1,516,308		5,754
Check Point Software Technologies* (A)	83,780		2,570
Israel Discount Bank, Cl A*	1,137,803		1,923
Teva Pharmaceutical Industries ADR	660,620		36,215

			46,462

Italy — 1.3%
Atlantia(A)	74,661		1,395
Banca Intesa(A)	2,182,792		5,848
Danieli & C Officine Meccaniche	12,488		244


Description	Shares	Market Value ($ Thousands)
Enel	3,141,714	$	14,480
ENI	164,634		3,086
Finmeccanica(A)	257,683		2,761
Indesit	34,599		371
Mediaset(A)	588,863		3,663
Parmalat	3,676,250		8,931
Prysmian	11,787		183
Saipem	53,916		1,699
Snam Rete Gas(A)	116,189		472
Telecom Italia(A)	4,861,815		5,381
Terna Rete Elettrica Nazionale	152,888		578

			49,092

Japan — 11.0%
77 Bank	224,359		1,157
Aeon(A)	216,900		2,268
Aeon Fantasy	5,800		64
Aisin Seiki	42,400		1,183
Ajinomoto	14,000		119
Alfresa Holdings	22,000		1,051
Alpine Electronics	23,000		279
Alps Electric	124,828		1,120
Arnest One	58,500		608
Asahi Glass	890,866		9,444
Asahi Kasei	400,000		2,107
Astellas Pharma	220,500		7,117
Bank of Yokohama	287,796		1,377
Brother Industries	189,000		2,095
Canon	293,695		12,095
Chiba Bank	219,574		1,340
Chubu Electric Power	67,200		1,558
Chugai Pharmaceutical	56,904		1,009
Dai Nippon Printing	10,000		123
Daicel Chemical Industries	564,219		3,952
Dai-ichi Life Insurance	5,940		9,798
Daiichikosho	23,200		286
Daikyo	963,000		1,927
Daito Trust Construction	58,100		2,935
Daiwa House Industry	377,000		3,607
Dena	186,000		5,621
Denki Kagaku Kogyo	170,000		802
Denso	71,200		1,922
Disco	20,906		1,407
EDION(A)	60,200		531
Elpida Memory*	6,100		111
Fanuc	182,300		19,265
Fuji Electric Holdings	625,000		1,759
Fuji Heavy Industries	553,000		3,186
FUJIFILM Holdings	178,155		5,309
Fujitsu	1,219,000		7,842
Fujitsu ADR(A)	221,700		7,141
Fukuoka Financial Group	389,000		1,638
Fukuyama Transporting	13,000		62
Furukawa Electric	289,000		1,246
Futaba Industrial	31,800		248
Gunma Bank	18,000		94
Hanwa	90,000		362
Hitachi	5,098,000		20,854
Honda Motor	401,570		12,232
Hosiden	34,100		381
Idemitsu Kosan	23,200		1,740
IHI	277,000		475


Description	Shares	Market Value ($ Thousands)
Inpex	207	$	1,302
Isuzu Motors	109,000		338
IT Holdings	29,900		358
Itochu	283,600		2,355
J Front Retailing	124,000		642
Japan Retail Fund Investment, Cl A‡	156		187
JFE Holdings	103,406		3,485
JGC	5,000		80
JSR	105,400		1,925
JX Holdings*	1,012,550		5,534
Kaken Pharmaceutical	62,000		530
KDDI	223		1,010
Kobe Steel	541,000		1,136
Komatsu	781,600		14,688
K’s Holdings	50,200		1,173
Kuraray	159,000		1,976
Kyocera	34,400		3,000
Lintec	5,600		100
Maeda Road Construction	71,000		566
Marubeni	2,437,819		13,591
Maruichi Steel Tube	5,400		98
Mediceo Paltac Holdings	159,500		1,871
Millea Holdings	55,300		1,550
Minebea	134,000		771
Miraca Holdings	50,400		1,511
Mitsubishi	468,366		10,568
Mitsubishi Chemical Holdings	153,000		712
Mitsubishi Electric	215,000		1,766
Mitsubishi Heavy Industries	142,000		528
Mitsubishi UFJ Financial Group	3,574,186		17,333
Mitsui ADR	46,000		13,294
Mitsui	183,000		2,604
Mitsui Chemicals	802,000		2,425
Mitsui Engineering & Shipbuilding(A)	481,000		1,100
Mitsui OSK Lines	930,000		6,627
Murata Manufacturing	3,500		170
Nagase	53,000		573
NEC Networks & System Integration	39,800		493
NHK Spring	131,000		1,239
Nichii Gakkan	33,900		315
Nidec	61,500		5,606
Nippo	62,000		487
Nippon Electric Glass	240,517		3,161
Nippon Express	47,000		208
Nippon Flour Mills	78,000		369
Nippon Light Metal	524,000		761
Nippon Meat Packers	117,000		1,463
Nippon Paper Group	51,200		1,475
Nippon Steel	73,000		256
Nippon Telegraph & Telephone	359,000		14,547
Nishi-Nippon City Bank	131,000		364
Nissan Motor	1,715,080		12,523
Nitori	6,200		496
Nitto Denko	88,400		3,159
Nojima	3,545		31
Noritsu Koki	8,200		60
NSK	276,000		2,024
NTT Data	163		607
NTT DoCoMo	1,870		2,782


Description	Shares	Market Value ($ Thousands)
Obic	2,890	$	557
Omron	88,400		1,861
Onward Holdings	60,000		451
ORIX	14,418		1,100
Rohm	6,000		382
Saizeriya	56,700		1,112
Sapporo Hokuyo Holdings	317,700		1,174
Secom	8,700		373
Seika	23,000		48
Seino Holdings	134,000		950
Shimamura	900		82
Shinsei Bank(A)	265,000		262
Shiseido	124,800		2,421
SMC	4,800		623
Sojitz	1,141,600		1,946
Sony	375,800		11,637
Sony Financial Holdings	32		111
Sumitomo	387,711		4,208
Sumitomo Electric Industries	343,633		4,062
Sumitomo Heavy Industries	307,760		1,773
Sumitomo Metal Mining	62,000		883
Sumitomo Mitsui Financial Group	94,909		2,821
Sumitomo Trust & Banking	311,000		1,662
Suzuken	30,900		1,099
Tachi-S, Cl S	4,700		45
Takefuji(A)	337,950		996
Tanabe Seiyaku	18,000		234
TDK	24,916		1,452
Toagosei	190,000		831
Tokyo Electron	30,778		1,790
Tokyo Energy & Systems	14,000		89
Tokyo Gas	551,000		2,405
Tokyo Tekko	30,000		73
Toshiba TEC	168,000		617
Toyo Seikan Kaisha	90,300		1,411
Toyo Suisan Kaisha	54,540		1,208
Toyoda Gosei	41,200		1,050
Toyota Industries	24,600		632
Toyota Motor	425,506		15,347
Unicharm	24,600		2,489
Warabeya Nichiyo	6,500		74
Watabe Wedding	9,200		104
Yahoo! Japan	7,835		2,757
Yamada Denki	16,410		1,130
Zeon	137,000		803

			409,885

Kazakhstan — 0.1%
KazMunaiGas Exploration
Production GDR	105,284		2,258

Macau — 0.0%
Sands China*	580,400		860

Malaysia — 0.4%
Affin Holdings	236,400		208
Axiata Group*	572,700		655
CIMB Group Holdings	4,309,400		8,865
EON Capital	119,600		254
Hong Leong Bank	293,133		760


Description	Shares	Market Value ($ Thousands)
Hong Leong Financial Group	94,700	$	236
KLCC Property Holdings	103,700		91
Malayan Banking	341,000		739
Proton Holdings*	131,700		188
Public Bank	256,864		892
RHB Capital	764,700		1,334
Telekom Malaysia	2,081,500		2,116

			16,338

Mauritius — 0.0%
Golden Agri-Resources	970,840		353

Mexico — 1.9%
Alfa, Cl A	150,804		1,071
America Movil, Ser L	6,391,874		15,711
America Movil ADR, Ser L(A)	251,150		11,890
Bolsa Mexicana de Valores*	859,517		1,288
Coca-Cola Femsa ADR	338,300		22,504
Grupo Financiero Banorte, Ser O	548,493		2,152
Grupo Lamosa*	17,900		18
Grupo Televisa	493,921		1,916
Telefonos de Mexico	436,600		329
Urbi Desarrollos Urbanos*	867,461		1,706
Wal-Mart de Mexico	5,848,500		13,067

			71,652

Netherlands — 3.5%
ArcelorMittal	82,462		2,531
ASML Holding	75,192		2,185
CSM	81,000		2,433
European Aeronautic Defense and Space(A)	254,525		5,113
Heineken	50,744		2,194
Heineken Holding	7,473		281
ING Groep	1,522,474		12,175
Koninklijke Ahold	433,395		5,473
Koninklijke DSM(A)	205,258		8,244
Koninklijke Philips Electronics	625,325		18,808
Koninklijke Vopak	43,370		1,657
Nutreco Holding	18,690		1,032
Plaza Centers	403,855		617
Royal Dutch Shell, Cl B	285,139		7,173
Royal Dutch Shell ADR, Cl A	368,600		19,315
Royal Dutch Shell, Cl A (GBP)	392,096		10,285
Royal Dutch Shell, Cl A	586,457		15,324
Royal KPN	500,690		6,535
SBM Offshore	4,153		66
TNT	25,678		641
Unilever	337,931		9,314

			131,396

Netherlands Antilles — 0.3%
Schlumberger(A)	215,250		12,086

New Zealand — 0.0%
Telecom of New Zealand	1,145,450		1,476

Norway — 1.1%
DnB	827,680		8,255


Description	Shares	Market Value ($ Thousands)
Marine Harvest(A)	5,142,521	$	4,151
Seadrill	16,450		317
Statoil ADR(A)	890,600		17,901
Statoil(A)	314,539		6,220
Telenor(A)	206,656		2,537
TGS Nopec Geophysical*	20,000		273

			39,654

Pakistan — 0.0%
Pakistan Telecommunication	1,439,600		331

Panama — 0.2%
Copa Holdings, Cl A	124,700		6,360

Poland — 0.1%
Bank Zachodni WBK	13,272		827
Getin Holding*	185,131		573
Netia*	107,362		160
Polski Koncern Naftowy Orlen	285,565		3,326

			4,886

Portugal — 0.2%
Banco Espirito Santo	51,355		199
Cimpor Cimentos de Portugal	9,503		51
Energias de Portugal	1,118,123		3,469
Inapa-Invest Particip Gesta*	122,900		76
Jeronimo Martins	203,901		1,896
Portugal Telecom	120,865		1,244

			6,935

Russia — 0.4%
Alliance Oil*	123,363		1,635
Globaltrans Investment GDR	179,595		2,299
LSR Group GDR*	140,513		1,124
Lukoil ADR	65,287		3,124
Magnit GDR	82,818		1,325
Magnitogorsk Iron & Steel Works
GDR	187,433		1,972
Mechel ADR(A)	97,390		2,112
Mobile Telesystems ADR	140,661		2,705

			16,296

Singapore — 0.9%
CapitaCommercial Trust‡	1,227,527		997
CapitaMall Trust‡	735,217		954
DBS Group Holdings	435,261		4,343
Fraser and Neave	180,000		627
Hong Leong Asia	116,000		261
Jardine Cycle & Carriage	44,144		868
SembCorp Industries	231,000		659
SembCorp Marine	27,000		75
Singapore Airlines	344,027		3,536
United Overseas Bank ADR	239,100		6,226
UOB-Kay Hian Holdings	82,000		86
UOL Group	383,000		1,034
Wilmar International	355,000		1,475
Yangzijiang Shipbuilding Holdings	5,802,000		5,210

			26,351

South Africa — 1.1%


Description	Shares	Market Value ($ Thousands)
ABSA Group	135,603	$	2,286
African Bank Investments	385,496		1,596
Barloworld	200,937		1,223
Grindrod	778,517		1,548
Group	220,871		3,139
Harmony Gold Mining	191,888		1,948
Impala Platinum Holdings	169,371		4,271
Mondi	358,609		2,219
Mr Price Group	252,166		1,487
Sasol ADR	535,800		19,289
Telkom	114,662		560

			39,566

South Korea — 3.4%
Daewoo Shipbuilding & Marine
Engineering	82,690		1,256
Hana Financial Group	282,130		7,380
Hyundai Development	51,500		1,056
Hyundai Motor	137,572		16,122
Hyundai Steel	55,239		4,078
Kia Motors	259,190		6,791
KISCO Holdings	4,036		151
KT	250,290		9,491
LG	123,552		6,950
LG Hausys	1,304		103
LG.Philips LCD	179,270		6,693
MegaStudy	8,276		1,129
POSCO ADR(A)	118,100		11,381
Samsung Electronics	45,079		29,282
Shinhan Financial Group	76,740		2,788
Shinsegae	5,517		2,230
SK Holdings	44,026		3,117
SK Telecom ADR	857,600		13,336
Woori Finance Holdings	347,520		4,349

			127,683

Spain — 1.0%
Banco Bilbao Vizcaya Argentaria ADR(A)	1,100,100		11,441
Banco Bilbao Vizcaya Argentaria(A)	213,519		2,243
Banco Pastor	160		1
Banco Santander Central Hispano	469,461		4,820
Gas Natural	88,514		1,299
Mapfre(A)	159,198		449
Red Electrica	6,535		260
Repsol	17,167		351
Telefonica	747,270		14,343

			35,207

Sweden — 1.6%
Alfa Laval	122,590		1,551
Assa Abloy, Cl B	17,102		345
Atlas Copco, Cl A(A)	88,395		1,260
Billerud	58,221		375
Electrolux, Cl B	379,854		8,560
Hennes & Mauritz, Cl B(A)	317,642		18,005
Nordea Bank	230,777		1,894
Saab, Cl B	16,300		215
Scania, Cl B	4,577		67
Securitas, Cl B	84,383		753
SKF, Cl B	60,502		1,063


Description	Shares	Market Value ($ Thousands)
Svenska Cellulosa, Cl B	154,809	$	1,801
Svenska Cellulosa ADR	946,500		11,074
Svenska Handelsbanken, Cl A	43,685		1,063
Tele2, Cl B(A)	182,530		2,641
Telefonaktiebolaget LM Ericsson, Cl B	231,857		2,373
TeliaSonera	701,005		4,199
Volvo, Cl B	369,273		3,850

			61,089

Switzerland — 4.6%
Actelion*	4,000		145
Adecco(A)	120,552		5,838
Baloise Holding	13,550		959
Clariant	186,400		2,171
Compagnie Financiere Richemont	48,769		1,614
Credit Suisse Group	72,648		2,818
EGL	83		54
Holcim	23,096		1,464
Julius Baer Group	153,233		4,448
Logitech International* (A)	387,449		5,553
Nestle	730,279		33,061
Novartis	745,057		33,794
Roche Holding	153,713		21,076
Schindler Holding	29,913		2,314
Sonova Holding	7,313		792
STMicroelectronics (EUR)	190,403		1,515
STMicroelectronics	518,513		4,111
Swatch Group	25,128		1,217
Swatch Group, Cl B	24,485		6,418
Swiss Life Holding	8,454		909
Swisscom	725		231
Syngenta	6,804		1,510
Temenos Group* (A)	28,143		655
UBS	342,745		4,599
Xstrata	592,482		8,600
Zurich Financial Services ADR	586,700		11,857
Zurich Financial Services	57,083		11,679

			169,402

Taiwan — 1.7%
Acer	637,990		1,599
Asia Polymer	443,000		378
Cathay Financial Holding	1,138,000		1,689
Chinatrust Financial Holding	2,585,345		1,347
Chunghwa Telecom	724,000		1,389
CMC Magnetics*	1,730,000		438
Elitegroup Computer Systems	704,000		249
Far Eastern Textile	1,404,720		1,391
Fubon Financial Holding	4,198,000		4,820
High Tech Computer	544,650		7,412
HON HAI Precision Industry	911,500		3,550
Hwa Fong Rubber*	616,000		229
Jean*	177,000		63
Long Bon International	488,000		202
MediaTek	186,248		3,048
Prime View International	1,409,000		2,145
Siliconware Precision Industries ADR	1,074,900		5,847
Taishin Financial Holding	743,000		261
Taiwan Fertilizer	720,000		2,005


Description	Shares	Market Value ($ Thousands)
Taiwan Semiconductor
Manufacturing ADR	785,250	$	7,656
Taiwan Semiconductor
Manufacturing	4,911,925		9,251
United Microelectronics ADR(A)	1,211,600		4,010
United Microelectronics	4,159,000		1,965
Yageo	1,423,000		630
Yosun Industrial	155,000		234

			61,808

Thailand — 0.6%
Bangkok Bank	1,324,700		4,761
Bangkok Bank NVDR	410,400		1,475
Bank of Ayudhya	4,743,100		2,710
Bumrungrad Hospital	1,198,400		1,132
Glow Energy	1,276,155		1,372
Kasikornbank	1,703,900		4,619
Krung Thai Bank	6,025,900		2,203
Siam Commercial Bank	744,000		1,862
Thai Airways International	451,200		326
Thanachart Capital	695,600		508

			20,968

Turkey — 0.9%
Arcelik	553,608		2,332
Cimsa Cimento Sanayi VE Tica	245,301		1,174
Ford Otomotiv Sanayi	181,031		1,150
Haci Omer Sabanci Holding	990,068		4,044
KOC Holding	568,981		1,979
Tekfen Holding	315,674		943
Tupras Turkiye Petrol Rafine	62,493		1,147
Turkcell Iletisim Hizmet ADR	430,100		5,798
Turkcell Iletisim Hizmet	454,230		2,464
Turkiye Garanti Bankasi	1,993,106		8,587
Turkiye Sinai Kalkinma Bankasi	1,046,412		1,175
Turkiye Vakiflar Bankasi Tao, Cl D	1,472,480		3,101

			33,894

United Kingdom — 14.6%
3i Group	578,688		2,369
Acergy	116,978		1,704
Aggreko	81,391		1,479
Amlin	144,920		782
Anglo American*	123,692		4,719
Antofagasta	80,653		1,024
ARM Holdings	2,319,176		8,229
Associated British Foods	184,689		2,542
AstraZeneca	527,646		22,176
AstraZeneca ADR(A)	471,800		19,934
Autonomy*	50,262		1,265
Aviva	633,934		2,908
BAE Systems ADR	643,600		11,958
Barclays	815,686		3,557
BG Group	343,567		5,229
BHP Billiton	594,815		16,260
BP	3,917,534		27,921
British American Tobacco ADR	222,600		13,033
British American Tobacco	989,976		29,061
British Sky Broadcasting Group	1,325,323		10,979
BT Group, Cl A	2,259,865		4,133
Cairn Energy*	972,386		5,620
Cape*	112,128		335


Description	Shares	Market Value ($ Thousands)
Carnival	521,607	$	19,606
Catlin Group	193,684		911
Compass Group	783,922		6,033
Compass Group ADR(A)	1,731,900		13,422
Cookson Group	147,334		1,006
Diageo ADR	215,600		13,212
Diageo	298,662		4,556
Dimension Data Holdings	726,115		1,062
DS Smith	173,654		290
EnQuest*	6,688		9
GlaxoSmithKline	469,043		7,799
GlaxoSmithKline ADR(A)	560,300		18,748
Hamworthy	22,253		89
Healthcare Locums	55,412		181
HSBC Holdings	672,264		6,059
Imperial Tobacco Group	470,431		12,183
International Power ADR	144,500		6,170
International Power	217,241		903
Invensys	242,406		964
Investec	447,774		3,137
ITV	1,487,310		1,195
Kingfisher	4,437,149		14,247
Legal & General Group	1,661,367		1,887
Lloyds Banking Group	6,111,370		4,943
Marks & Spencer Group ADR	649,100		6,511
National Grid	213,529		1,542
Next	43,980		1,314
Pearson	755,456		10,328
Pearson ADR	1,384,300		19,048
Persimmon	154,248		903
Petrofac	104,438		1,688
Prudential ADR	1,079,900		16,857
Reckitt Benckiser Group	430,379		20,030
Rexam	91,890		416
Rio Tinto	289,224		13,271
Rolls-Royce Group	510,757		4,324
SABMiller	583,464		16,386
Severn Trent	51,828		892
Shire	256,796		5,225
Smith & Nephew	872,645		7,858
Standard Chartered	1,003,230		23,597
Tesco	3,051,651		18,087
Tomkins	333,212		1,169
Unilever	155,595		4,178
Unilever ADR	485,700		13,133
United Utilities Group	168,601		1,309
Vedanta Resources	10,386		345
Vodafone Group	3,150,080		6,238
WM Morrison Supermarkets	292,454		1,112
Wolseley	138,400		3,263
WPP	908,029		8,505

			543,358

United States — 1.4%
Advance America Cash Advance
Centers	57,164		276
ATC Technology*	22,541		421
Avis Budget Group*	79,462		942
Axis Capital Holdings	255,900		7,779
Boise* (A)	348,844		2,142
Bon-Ton Stores	17,707		230
Buckeye Technologies*	20,509		249


Description	Shares/ Face Amount ($ Thousands)	Market Value ($ Thousands)
Calamos Asset Management, Cl A	36,343	$	400
Central Garden and Pet*	45,888		461
Clearwater Paper*	5,300		324
ConocoPhillips	7,204		374
Consolidated Graphics*	5,500		253
Gladstone Capital	20,956		236
Golden Star Resources* (A)	108,400		458
Golden Star Resources*	213,629		908
Healthspring*	42,987		747
Hercules Technology Growth Capital	23,506		207
KKR Financial Holdings LLC(A)	43,227		358
Lubrizol	6,854		607
Medifast* (A)	40,285		1,264
Omnova Solutions*	37,500		301
Par Pharmaceutical*	4,745		132
PHH*	83,149		1,833
PolyOne*	47,243		472
Questcor Pharmaceuticals*	34,949		331
RAIT Financial Trust‡ * (A)	139,296		350
RenaissanceRe Holdings	159,400		8,617
Sanderson Farms	4,200		230
Seagate Technology*	304,384		4,675
Southern Copper(A)	228,100		6,724
Spartech*	10,300		137
Thomson Reuters (CAD)(A)	146,300		5,181
USA Mobility	17,647		248
Western Digital*	74,127		2,581
World Acceptance* (A)	13,676		489

			50,937

Total Common Stock (Cost $3,422,768) ($ Thousands)			3,320,415

PREFERRED STOCK — 1.0%
Brazil — 0.3%
Banco Bradesco	228,100		3,801
Cia de Bebidas das Americas	23,400		2,224
Cia Energetica de Minas Gerais	115,310		1,643
Randon Participacoes	330,700		1,731
Tekno Industria e Comercio	1		—
Tim Participacoes	796,200		2,151

			11,550

Germany — 0.7%
Draegerwerk	3,838		231
Henkel	217,135		10,243
KSB	304		176
ProSiebenSat.1 Media(A)	162,055		2,484
RWE	1,075		73
Volkswagen	137,241		12,131

			25,338

Total Preferred Stock (Cost $36,232) ($ Thousands)			36,888

MORTGAGE-BACKED SECURITIES — 0.2%
Non-Agency Mortgage-Backed Obligations — 0.2%
Banc of America Funding, Ser 2004-5, Cl 1A19 5.250%, 12/20/34	664		663
Banc of America Funding, Ser 2005-2, Cl 1A2 5.500%, 04/25/35	345		340


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Mortgage Securities, Ser 2003-9, Cl 1A12
0.793%, 12/25/33 (D)	$	144	$	141
Bear Stearns Commercial Mortgage Securities, Ser 2005- PWR9, Cl A2
4.735%, 09/11/42		4		4
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A3
5.000%, 09/25/33		153		153
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-5, Cl 2A14
5.000%, 05/25/34		136		134
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-14, Cl A16
5.500%, 06/25/33		272		277
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-2, Cl A18
8.000%, 03/25/33		164		175
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-24, Cl A2
4.500%, 07/25/33		550		556
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-13, Cl 2A17
5.750%, 08/25/34		123		122
Credit Suisse First Boston Mortgage Securities, Ser 2003- C3
3.382%, 05/15/38		8		8
DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33		326		326
First Horizon Asset Securities, Ser 2003-9, Cl 1A3
5.500%, 11/25/33		622		620
GMAC Mortgage Loan Trust, Ser 2004-J1, Cl A2
5.250%, 04/25/34		447		445
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		321		319
Greenwich Capital Commercial Funding, Ser 2003-C2, Cl A2
4.022%, 01/05/36		6		6
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.817%, 12/25/34 (D)		328		333
LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2
7.370%, 08/15/26		44		44
Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1
3.915%, 07/25/34 (D)		478		435
PNC Mortgage Acceptance, Ser 2000-C2, Cl A2
7.300%, 10/12/33		87		88


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Funding Mortgage Securities I, Ser 2004-S1, Cl A2
0.743%, 02/25/34 (D)	$	124	$	123
Residential Funding Mortgage Securities I, Ser 2006-S5, Cl A4
5.500%, 03/25/34		651		655
Thornburg Mortgage Securities Trust, Ser 2006-5, Cl A1
0.463%, 09/25/46 (D)		1,346		1,311
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl A2
4.782%, 03/15/42		347		347
WaMu Mortgage Pass Through Certificates, Ser 2004-AR9, Cl A6
2.950%, 08/25/34 (D)		31		31
WaMu Mortgage Pass Through Certificates, Ser 2005-AR10, Cl 1A1
4.750%, 09/25/35 (D)		643		645
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A5
4.500%, 06/25/33		62		61
Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A1
5.500%, 06/25/34		372		373
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1
3.220%, 07/25/34 (D)		45		15
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-N, Cl A13
0.793%, 06/25/34 (D)		185		179
Wells Fargo Mortgage Backed Securities Trust, Ser 2005- AR12, Cl 2A4
2.933%, 07/25/35 (D)		18		18

				8,947

Total Mortgage-Backed Securities
(Cost $8,995) ($ Thousands)				8,947

ASSET-BACKED SECURITIES — 0.1%
Mortgage Related Securities — 0.1%
First Franklin Mortgage Loan Asset Backed Certificates, Ser 2005-FF9, Cl A3
0.623%, 10/25/35 (D)		437		420
Structured Asset Securities, Ser 2007-GEL2, Cl A1
0.493%, 05/25/37 (B) (D)		1,419		1,170

				1,590

Total Asset-Backed Securities
(Cost $1,837) ($ Thousands)				1,590


Description		Face Amount ($ Thousands)/ Number of Contracts		Market Value ($ Thousands)
WARRANTS — 0.0%

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *			176,797	$	41

Hong Kong — 0.0%
Henderson Land Development, Expires 12/31/49 *			43,200		—

Italy — 0.0%
Mediobanca, Expires 2011			51,652		3

Total Warrants
(Cost $0) ($ Thousands)					44

		Number Of Rights

RIGHT — 0.0%
United Kingdom — 0.0%
National Grid, PLC, Expires
06/13/10			85,411		170

Total Right (Cost $0) ($ Thousands)					170

CORPORATE OBLIGATION — 0.0%
Financials — 0.0%
Shinsei Finance Cayman
6.418%, 01/29/49 (B) (D)		$	545		345

Total Corporate Obligation
(Cost $545) ($ Thousands)					345

U.S. TREASURY OBLIGATIONS — 1.0%
U.S. Treasury Bills (C)(D)
0.134%, 06/03/10			34,059		34,058
0.140%, 06/17/10			750		750
0.155%, 08/26/10			2,750		2,749

Total U.S. Treasury Obligations
(Cost $37,557) ($ Thousands)					37,557

TIME DEPOSITS— 2.0%
United States — 2.0%
Brown Brothers Harriman
3.410%, 06/01/10	AUD		1,602		1,358
0.080%, 06/01/10	GBP		453		655
0.070%, 06/01/10	CAD		18		17
0.070%, 06/01/10	NOK		34		5
0.050%, 06/01/10	DKK		10		2
0.050%, 06/01/10	EUR		1,702		2,098
0.030%, 06/01/10			67,216		67,216
0.010%, 06/01/10	CHF		1,870		1,616
0.010%, 06/01/10	HKD		2,757		354
0.010%, 06/01/10	JPY		180,625		1,986
0.010%, 06/01/10	SEK		110		14
0.010%, 06/01/10	SGD		78		56


Description	Shares	Market Value ($ Thousands)
Total Time Deposits (Cost $75,377) ($ Thousands)		$	75,377

CASH EQUIVALENT — 1.0%
United States — 1.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.090%**†	36,630,196	$	36,630

Total Cash Equivalent (Cost $36,630) ($ Thousands)			36,630

AFFILIATED PARTNERSHIP — 6.3%
SEI Liquidity Fund, L.P.
0.240%*†(F)	235,888		233,575

Total Affiliated Partnership (Cost $235,888) ($ Thousands)			233,575

Total Investments — 101.0% (Cost $3,855,829)($ Thousands)		$	3,751,538

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	2,148		Jun-2010	$	181
FTSE Index	638		Jun-2010		(82	)
Hang Seng Index	41		Jun-2010		101
MSCI EAFE Index E-MINI	(9	)	Jun-2010		42
MSCI Emerging Markets E-MINI	316		Jun-2010		(1,357	)
Nikkei 225 Index	47		Jun-2010		(156	)
S&P TSE 60 Index	221		Jun-2010		(219	)
SPI 200 Index	190		Jun-2010		2
Topix Index	469		Jun-2010		(694	)

				$	(2,182	)

A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2010, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation ($ Thousands)
6/10/10	USD	4,764	CAD	5,050	$	38

A summary of outstanding swap agreements held by the Fund at May 31, 2010, is as follows:

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

‡	Real Estate Investment Trust.

(A)	This security or a partial position of this security is on loan at May 31, 2010. The total value of securities on loan at May 31, 2010 was $224,904 ($ 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 May 31, 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 May 31, 2010 was $233,575 ($ Thousands).

ABS — Asset-Backed Security

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

CMO — Collateralized Mortgage Obligation

DKK — Danish Krone

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

LLC — Limited Liability Company

L.P. — Limited Partnership

NOK — Norwegian Krone

NVDR — Non-Voting Depositary Receipt

S&P — Standard & Poor’s

SEK — Swedish Krone

Ser — Series

SGP — Singapore Dollar

USD — U.S. Dollar

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


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 91.1%
Australia — 3.4%
Australia & New Zealand Banking Group	10,798	$	204
Bendigo Bank	1,851		13
BGP Holdings*	4,500		—
BHP Billiton	25,289		820
Caltex Australia	14,432		133
Coca-Cola Amatil	1,323		12
Commonwealth Bank of Australia	5,404		235
Fairfax Media	16,318		21
Fortescue Metals Group*	7,389		25
Incitec Pivot	15,230		39
Minara Resources	15,406		9
National Australia Bank	4,705		98
OneSteel	11,654		32
Rio Tinto	7,871		448
Stockland‡	13,954		46
Thorn Group	18,819		18
Wesfarmers	3,710		92
Westpac Banking	4,413		86
Woodside Petroleum	891		33
Woolworths	238		5

			2,369

Austria — 0.1%
IMMOFINANZ	5,265		16
OMV	419		13
Voestalpine	1,070		30

			59

Belgium — 0.7%
Delhaize Group	942		75
D’ieteren	75		33
InBev	3,865		187
KBC Groep	2,233		88
Recticel	5,843		58
Telenet Group Holding	1,528		40
Umicore	1,051		32

			513

Brazil — 1.1%
Banco Bradesco ADR	6,011		98
Banco do Brasil	4,700		67
BM&F Bovespa SA	35,800		238
Empresa Brasileira de Aeronautica ADR	6,200		135
Natura Cosmeticos	10,100		210

			748

Canada — 7.6%
Agrium	100		6
ARC Energy Trust	1,300		26
Bank of Montreal	3,500		207
Bank of Nova Scotia	1,800		83
Baytex Energy Trust	3,200		100
BCE	1,200		35
Brookfield Asset Management, Cl A	4,700		119


Description	Shares	Market Value ($ Thousands)
Canadian Imperial Bank of Commerce	1,600	$	109
Canadian National Railway	9,100		533
Canadian Natural Resources	15,200		538
Canadian Oil Sands Trust	2,800		76
Canadian Pacific Railway	500		28
Canadian Utilities, Cl A	500		21
Cardiome Pharma*	3,600		30
Celestica*	1,800		17
Cenovus Energy	8,169		226
CGI Group, Cl A*	8,500		131
Cott*	14,400		108
Domtar	200		12
Dorel Industries, Cl B	1,100		40
Enbridge	1,500		68
EnCana	13,169		416
Flint Energy Services (Canada)*	8,100		95
Gildan Activewear*	1,800		54
IAMGOLD	5,238		91
Imperial Oil	100		4
MDS*	3		—
Metro, Cl A	1,200		50
National Bank of Canada	1,100		61
Nexen	1,607		36
Northgate Minerals*	8,100		24
Onex	1,000		25
Pacific Rubiales Energy*	7,600		160
PetroBakken Energy, Cl A	2,589		59
Petrobank Energy & Resources*	2,100		90
Potash Corp of Saskatchewan	2,200		218
Provident Energy Trust	8,400		61
Research In Motion*	4,500		273
Rogers Communications, Cl B	6,000		206
Royal Bank of Canada	3,400		178
Sino-Forest, Cl A*	3,400		59
Talisman Energy	300		5
Teck Cominco, Cl B	4,400		153
Toronto-Dominion Bank	5,750		392

			5,223

Chile — 0.0%
CorpBanca ADR	300		13

China — 2.1%
Bank of China, Cl H	36,000		18
China Construction Bank, Cl H	280,000		227
China Life Insurance, Cl H	14,000		62
China Merchants Bank, Cl H	147,500		350
Dongfeng Motor Group, Cl H	44,000		53
Industrial & Commercial Bank of China	701,000		519
Pacific Textile Holdings	75,000		40
Sinopharm Group, Cl H	45,200		179

			1,448

Denmark — 1.7%
Carlsberg, Cl B	1,078		82
Coloplast, Cl B	554		58
Danisco	386		23
FLSmidth	800		50
Novo-Nordisk, Cl B	9,080		704


Description	Shares	Market Value ($ Thousands)
Vestas Wind Systems*	4,501	$	216

			1,133

Finland — 0.9%
Fortum	2,567		58
Kone, Cl B	3,841		150
Metso	1,552		49
Norvestia, Cl B	934		9
Sampo, Cl A	4,329		92
Stora Enso, Cl R	20,451		153
UPM-Kymmene	9,347		121

			632

France — 6.1%
Air Liquide	4,117		405
Arkema	611		23
BNP Paribas	9,099		520
Bouygues	1,037		45
Carrefour	310		13
Casino Guichard Perrachon	872		67
Christian Dior	219		21
CNP Assurances	479		34
Compagnie de St.-Gobain	2,043		79
Dassault Systemes	1,010		59
Eutelsat Communications	2,200		72
France Telecom	1,576		30
Klepierre‡	1,155		31
Lafarge	3,816		222
Legrand	170		5
LVMH Moet Hennessy Louis Vuitton	4,120		438
Natixis	18,682		83
Peugeot	4,199		101
PPR	1,167		141
Publicis Groupe	1,224		51
Renault	486		18
Rhodia	6,174		106
Safran	11,717		321
Sanofi-Aventis	9,232		563
Societe Generale	418		18
Societe Television Francaise 1	2,457		35
Valeo	6,575		183
Vallourec	313		59
Vinci	2,876		131
Vivendi	13,196		287

			4,161

Germany — 5.1%
ADVA Optical Networking*	1,667		8
Aixtron	3,312		90
Allianz	4,040		406
BASF	14,171		754
Bayer	420		24
Bilfinger Berger	944		53
DaimlerChrysler	5,032		254
Deutsche Bank	6,747		404
Deutsche Post	6,024		90
Deutsche Telekom	3,899		44
E.ON	8,188		250
Fresenius Medical Care	6,393		324
Hannover Rueckversicherung	2,694		115
Henkel	143		6


Description	Shares	Market Value ($ Thousands)
Hochtief	670	$	43
Infineon Technologies*	13,101		75
Leifheit	675		15
Linde	184		19
Metro	948		50
MTU Aero Engines Holding	918		50
RWE	324		23
SAP	7,867		342
Siemens	168		15
Suedzucker	1,420		26
TUI	3,373		31
Volkswagen	67		6

			3,517

Greece — 0.1%
OPAP	2,017		32
Public Power	2,900		45

			77

Guernsey — 0.3%
Amdocs*	7,800		222

Hong Kong — 3.1%
Alco Holdings	54,000		17
ASM Pacific Technology	1,900		14
BOC Hong Kong Holdings	47,000		106
Cheung Kong Holdings	6,000		68
China Mobile	32,500		308
CLP Holdings	25,000		176
First Pacific	56,000		36
Hong Kong Exchanges and Clearing	18,700		287
Hong Kong Ferry Holdings	10,000		9
Hongkong Land Holdings	16,000		76
Hutchison Whampoa	20,000		124
Jardine Matheson Holdings	800		28
Jardine Strategic Holdings	2,342		46
Link REIT‡	6,000		14
New World Development	28,000		45
Noble Group	97,364		126
Orient Overseas International	500		3
Pacific Basin Shipping	59,000		41
Paliburg Holdings	64,000		20
Polytec Asset Holdings	70,000		12
Sun Hung Kai Properties	9,000		119
Swire Pacific, Cl A	20,000		221
Wharf Holdings	16,000		80
Wheelock	19,000		51
Wing On International	30,111		46
Yue Yuen Industrial Holdings	24,000		74

			2,147

Hungary — 0.2%
OTP Bank	4,436		115

India — 0.4%
HDFC Bank ADR	1,170		163


Description	Shares	Market Value ($ Thousands)
Infosys Technologies ADR	2,500	$	144
			307

Indonesia — 0.3%
Astra International	16,500		77
Bank Mandiri	159,500		92
Charoen Pokphand Indonesia	54,000		16
Titan Kimia Nusantara*	396,000		6

			191

Ireland — 0.2%
Covidien	3,900		165

Israel — 1.4%
Bank Hapoalim*	41,053		156
Check Point Software
Technologies*	2,300		71
Israel Discount Bank, Cl A*	31,634		53
Teva Pharmaceutical Industries ADR	12,530		687

			967

Italy — 1.5%
Amplifon	2,223		10
Atlantia	2,426		45
Azimut Holding	3,519		31
Banca Intesa	48,182		129
Danieli & C Officine Meccaniche	620		12
Enel	99,357		458
Mediaset	17,764		111
Saipem	1,874		59
Snam Rete Gas	11,653		47
Telecom Italia	56,838		64
Terna Rete Elettrica Nazionale	8,007		30

			996

Japan — 15.6%
Adores	9,000		8
Aeon	7,800		82
Aisin Seiki	1,600		45
Alps Electric	4,900		44
Arc Land Sakamoto	4,500		56
Arnest One	1,300		13
Asahi Glass	24,000		254
Asahi Kasei	4,000		21
Astellas Pharma	4,100		132
Bank of Yokohama	11,000		53
Belluna	5,450		27
Best Denki	14,000		36
Brother Industries	500		6
Canon	7,400		305
Chiba Bank	15,000		92
Chubu Electric Power	2,000		46
Chugai Pharmaceutical	2,200		39
Chuo Spring	3,000		11
Combi	2,000		14
Daicel Chemical Industries	12,000		84
Dai-ichi Life Insurance	125		206
Dainichi	1,700		10
Daito Trust Construction	600		30
Daiwa House Industry	5,000		48


Description	Shares	Market Value ($ Thousands)
Dena	3,000	$	91
Denso	2,600		70
Disco	800		54
Fanuc	3,700		391
First Juken	2,600		19
Fuji Electric Holdings	54,000		152
Fuji Heavy Industries	13,000		75
FUJIFILM Holdings	5,200		155
Fujitsu	35,000		225
Fukuoka Financial Group	4,000		17
Furukawa Electric	12,000		52
Gunma Bank	8,000		42
Hanwa	29,000		117
Happinet	600		7
Hitachi	140,000		573
Hokuriku Gas	1,000		3
Honda Motor	9,635		293
Idemitsu Kosan	700		52
Inabata	3,500		17
Inpex	13		82
IT Holdings	200		2
Itochu	9,700		81
Itochu Enex	3,400		18
Itochu-Shokuhin	800		25
J Front Retailing	6,000		31
Japan Retail Fund Investment, Cl A‡	23		28
Japan Wool Textile	5,000		34
JFE Holdings	4,800		162
JFE Shoji Holdings	4,000		19
JSR	1,700		31
JX Holdings*	16,100		88
Kamei	4,000		18
Kanaden	2,000		9
KDDI	10		45
Keiyo Gas	1,000		4
Kikuchi	600		10
Kobe Steel	20,000		42
Komatsu	17,300		325
K’s Holdings	7,800		182
Kuraray	5,000		62
Kyocera	1,200		105
Maruichi Steel Tube	500		9
Maruzen -General Commercial Kitchen Appliances & Equipment	1,000		5
Millea Holdings	2,600		73
Minebea	6,000		34
Mitani	3,100		19
Mitsubishi Chemical Holdings	6,000		28
Mitsubishi Electric	10,000		82
Mitsubishi UFJ Financial Group	71,100		345
Mitsui	1,400		20
Mitsui Chemicals	42,000		127
Mitsui OSK Lines	27,000		192
Murakami	1,000		11
NHK Spring	7,000		66
Nichireki	8,000		38
Nidec	1,600		146
Nippon Electric Glass	7,000		92
Nippon Game Card*	10		11
Nippon Light Metal	18,000		26


Description	Shares	Market Value ($ Thousands)
Nippon Telegraph & Telephone	9,100	$	369
Nishi-Nippon City Bank	12,000		33
Nissan Motor	43,700		319
Nisshin Fudosan	4,800		32
Nisshin Steel	7,000		13
Nissin Sugar Manufacturing	10,000		20
Nitto Denko	2,900		104
Noevir	1,100		12
NSK	9,000		66
NTT DoCoMo	77		115
Obayashi Road	14,000		30
OJI Paper	2,000		10
Omron	3,500		74
Onoken	3,300		29
ORIX	810		62
Raysum	59		18
Saison Information Systems	2,600		19
San-Ai Oil	3,000		12
Sanei Architecture Planning	200		5
Sanyo Housing Nagoya	20		17
Seino Holdings	21,000		149
Senshu Electric	1,600		15
Shidax	6,700		22
Shinsei Bank	15,000		15
Shiseido	5,700		111
Shoei Foods	1,000		5
SMC	1,200		156
Soken Chemical & Engineering	700		11
Sony	9,500		294
Starts	1,500		5
Sugimoto	700		6
Sumikin Bussan	6,000		14
Sumitomo	29,400		319
Sumitomo Electric Industries	12,200		144
Sumitomo Heavy Industries	9,000		52
Sumitomo Trust & Banking	25,000		134
Suzuken	1,600		57
Takagi Securities	12,000		21
Takamatsu Construction Group	1,600		18
Takeda Pharmaceutical	300		13
Takefuji	10,680		31
TDK	1,000		58
Tokai	1,200		16
Tokyo Electron	1,000		58
Tokyo Gas	22,000		96
Tomoe Engineering	1,000		13
Toyo Seikan Kaisha	2,100		33
Toyo Suisan Kaisha	2,000		44
Toyoda Gosei	1,600		41
Toyota Industries	400		10
Toyota Motor	10,233		369
Toyota Tsusho	1,200		17
Unicharm	700		71
Yagi	300		3
Yahoo! Japan	211		74
Yamada Denki	660		45
Zeon	6,000		35

			10,728

Macau — 0.1%


Description	Shares	Market Value ($ Thousands)
Sands China*	34,000	$	50

Malaysia — 0.6%
CIMB Group Holdings	147,800		304
EON Capital	9,500		20
HAP Seng Consolidated	11,800		10
Hong Leong Financial Group	7,200		18
Public Bank	10,800		38

			390

Mexico — 1.4%
Alfa, Cl A	4,500		32
America Movil, Ser L	116,500		286
America Movil ADR, Ser L	5,500		261
Telefonos de Mexico	99,400		75
Wal-Mart de Mexico	128,600		287

			941

Netherlands — 3.2%
ArcelorMittal	2,109		65
ASML Holding	3,455		100
CSM	2,132		64
European Aeronautic Defense and Space	7,162		144
Heineken	1,792		78
ING Groep	20,970		168
Koninklijke Ahold	15,361		194
Koninklijke Philips Electronics	20,643		621
Koninklijke Vopak	1,840		70
Royal KPN	16,462		215
Unilever	16,958		467

			2,186

Netherlands Antilles — 0.5%
Schlumberger	6,100		343

New Zealand — 0.1%
Telecom of New Zealand	37,529		48

Norway — 0.7%
DnB	28,108		280
Marine Harvest	86,000		70
Seadrill	390		8
Telenor	8,000		98

			456

Poland — 0.1%
Bank Zachodni WBK	313		20
Getin Holding*	3,605		11
KGHM Polska Miedz	287		9
Polish Oil & Gas	6,989		7
Polski Koncern Naftowy Orlen	2,076		24

			71

Portugal — 0.3%
Energias de Portugal	25,911		80
Jeronimo Martins	9,331		87


Description	Shares	Market Value ($ Thousands)
Portugal Telecom	4,718	$	49

			216

Russia — 0.1%
Mechel ADR	2,670		58
Surgutneftegaz ADR	3,407		30

			88

Singapore — 1.0%
CapitaCommercial Trust‡	47,000		38
CapitaMall Trust‡	28,000		36
DBS Group Holdings	11,000		110
GP Batteries International*	40,000		52
Hiap Seng Engineering	81,000		36
Ho Bee Investment	55,000		56
Jardine Cycle & Carriage	3,000		59
MCL Land	12,000		15
Oversea-Chinese Banking	1,000		6
SembCorp Marine	2,000		6
Singapore Airlines	5,633		58
United Overseas Bank	1,000		13
UOL Group	23,000		62
Wilmar International	12,000		50
Yangzijiang Shipbuilding Holdings	114,000		102

			699

South Africa — 0.2%
Group	11,277		160

South Korea — 2.5%
Hana Financial Group	5,850		153
Hyundai Steel	1,530		113
Kia Motors	7,260		190
Kolon Industries	4,900		104
KT	4,080		155
LG	2,459		138
LG Electronics	777		68
LG.Philips LCD	4,110		153
Samsung Electronics	705		458
Shinhan Financial Group	600		22
Taekwang Industrial	129		78
Woori Finance Holdings	9,050		113

			1,745

Spain — 1.0%
Banco Bilbao Vizcaya Argentaria	5,419		57
Banco Pastor	23		—
Banco Santander Central Hispano	19,241		197
Enagas	290		5
Inditex	512		29
Telefonica	20,697		397

			685

Sweden — 1.9%
Alfa Laval	3,350		42
Assa Abloy, Cl B	6,670		134
Atlas Copco, Cl A	2,208		31
Billerud	1,324		9
Electrolux, Cl B	4,327		98
Hennes & Mauritz, Cl B	6,939		393
Investor, Cl B	412		7


Description	Shares	Market Value ($ Thousands)
Kabe Husvagnar, Cl B	400	$	5
Nordea Bank	11,909		98
SKF, Cl B	2,337		41
Svenska Cellulosa, Cl B	7,329		85
Svenska Handelsbanken, Cl A	4,506		110
Telefonaktiebolaget LM Ericsson,
Cl B	8,018		82
TeliaSonera	9,422		56
Volvo, Cl B	10,180		106

			1,297

Switzerland — 6.2%
Adecco	3,734		181
Baloise Holding	523		37
Clariant	2,237		26
Compagnie Financiere Richemont	1,915		63
Credit Suisse Group	1,464		57
Holcim	897		57
Julius Baer Group	3,601		104
Logitech International*	8,789		126
Nestle	21,673		981
Novartis	18,161		824
Roche Holding	4,314		591
Schindler Holding	1,029		80
Sonova Holding	508		55
STMicroelectronics	12,305		98
Swatch Group, Cl B	734		192
Swatch Group	920		45
Swiss Life Holding	650		70
Swisscom	86		27
Syngenta	348		77
Temenos Group*	1,087		25
UBS	4,885		66
Xstrata	16,719		243
Zurich Financial Services	1,285		263

			4,288

Taiwan — 1.1%
Asia Polymer	25,000		21
Asustek Computer	1,350		9
CMC Magnetics*	78,000		20
Elitegroup Computer Systems	52,000		18
Formosa Chemicals & Fibre	5,000		11
Formosa Petrochemical*	7,000		17
High Tech Computer	9,000		122
HON HAI Precision Industry	6,000		23
Nan Ya Plastics	6,000		10
Pegatron*	3,634		5
Quanta Computer	8,000		15
Taiwan Semiconductor Manufacturing	63,258		119
Taiwan Semiconductor Manufacturing ADR	18,000		176
United Microelectronics ADR	41,062		136
Yageo	72,000		32
Zenitron*	23,000		14

			748

Thailand — 0.4%
Bangchak Petroleum	7,700		3
Bangkok Bank	34,600		124
Bank of Ayudhya	134,200		77


Description	Shares	Market Value ($ Thousands)
Thai Airways International	108,300	$	78

			282

Turkey — 0.7%
Akbank	2,399		12
Cimsa Cimento Sanayi VE Tica	2,750		13
KOC Holding	23,986		83
Tupras Turkiye Petrol Rafine	868		16
Turkiye Garanti Bankasi	53,581		231
Turkiye Halk Bankasi	1,638		11
Turkiye Is Bankasi, Cl C	5,107		16
Turkiye Vakiflar Bankasi Tao, Cl D	47,351		100
Yapi ve Kredi Bankasi*	3,676		9

			491

United Kingdom — 15.9%
3i Group	29,419		120
Acergy	4,500		66
Aggreko	2,230		41
Amlin	5,703		31
Anglo American*	6,832		261
ARM Holdings	53,023		188
Associated British Foods	5,689		78
AstraZeneca	14,616		614
Autonomy*	1,938		49
Aviva	24,035		110
BAE Systems	5,883		27
Barclays	46,217		202
BG Group	12,302		187
BHP Billiton	17,598		481
BP	92,296		658
British American Tobacco	26,816		787
British Sky Broadcasting Group	31,433		260
BT Group, Cl A	38,242		70
Cairn Energy*	45,006		260
Carnival	13,376		503
Catlin Group	9,629		45
Compass Group	26,124		201
Cookson Group	5,674		39
Diageo	5,466		83
Dimension Data Holdings	28,354		42
Firstgroup	2,249		12
GlaxoSmithKline	14,956		249
HSBC Holdings	8,266		75
Imperial Tobacco Group	10,653		276
International Power	8,492		35
Invensys	9,299		37
Investec	20,656		145
ITV	57,850		47
Kingfisher	95,082		305
Legal & General Group	75,646		86
Lloyds Banking Group	202,026		163
Meggitt	23,260		100
National Grid	3,462		25
Next	1,109		33
Pearson	19,215		263
Persimmon	6,030		35
Reckitt Benckiser Group	8,402		391
Rio Tinto	8,098		372
Rolls-Royce Group	14,090		119
Royal Bank of Scotland Group	189,740		126
SABMiller	15,729		442


Description	Shares	Market Value ($ Thousands)
Severn Trent	2,020	$	35
Shire	8,124		165
Smith & Nephew	19,355		174
Standard Chartered	26,037		612
Tesco	72,310		429
Tomkins	12,809		45
Unilever	3,271		88
United Utilities Group	6,613		51
Vedanta Resources	248		8
Vodafone Group	80,472		159
WM Morrison Supermarkets	10,667		41
Wolseley	4,000		94
WPP	27,397		257

			10,897

United States — 1.1%
Boise*	9,225		57
Calamos Asset Management, Cl A	900		10
Capital One Financial	341		14
ConocoPhillips	2,900		150
Exxon Mobil	100		6
Johnson & Johnson	163		10
PHH*	2,400		53
Sanderson Farms	441		24
Seagate Technology*	6,000		92
South Financial Group	72,147		20
Southern Copper	5,100		150
Thomson Reuters (CAD)	3,100		110
Western Digital*	1,900		66

			762

Total Common Stock (Cost $65,654) ($ Thousands)			62,581

PREFERRED STOCK — 0.6%
Germany — 0.6%
Henkel	1,920		91
ProSiebenSat.1 Media	6,263		96
RWE	88		6
Volkswagen	2,698		238

			431
South Korea — 0.0%
LG	280		7

Total Preferred Stock (Cost $444) ($ Thousands)			438


	Number Of Rights
RIGHT — 0.0%
United Kingdom — 0.0%
National Grid, PLC, Expires 06/13/10	1,384		3

Total Right (Cost $0) ($ Thousands)			3


	Number of Contracts
WARRANTS — 0.0%
Hong Kong — 0.0%
Henderson Land Development, Expires 12/31/49 *	2,600		—


Description		Number of Contracts/ Face Amount ($ Thousands)		Market Value ($ Thousands)
Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *		5,951		$	1

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

U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bills (A) (B)
0.140%, 06/17/10		10			10
0.134%, 06/03/10		308			308

					318

Total U.S. Treasury Obligations (Cost $318) ($ Thousands)					318

TIME DEPOSITS — 1.3%
United States — 1.3%
Brown Brothers Harriman
3.410%, 06/01/10	AUD	49			41
1.700%, 06/01/10	NZD	1			1
0.080%, 06/01/10	GBP	38			56
0.070%, 06/01/10	CAD	100			95
0.070%, 06/01/10	NOK	44			7
0.050%, 06/01/10	DKK	72			12
0.050%, 06/01/10	EUR	131			162
0.030%, 06/01/10		351			351
0.010%, 06/01/10	CHF	33			29
0.010%, 06/01/10	HKD	105			13
0.010%, 06/01/10	JPY	7,548			83
0.010%, 06/01/10	SEK	131			17
0.010%, 06/01/10	SGD	15			10

Total Time Deposits (Cost $877) ($ Thousands)					877

CASH EQUIVALENT — 5.2%
United States — 5.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.090%**†			3,595,702		3,596

Total Cash Equivalent (Cost $3,596) ($ Thousands)					3,596

Total Investments — 98.6% (Cost $70,889)($ Thousands)				$	67,807

Percentages are based on a Net Assets of $68,743 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of May 31, 2010.

†	Investment in Affiliated Security.

(A) The rate reported on the Schedule of Investments is the effective yield at time of purchase.

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NVDR — Non-Voting Depositary Receipt

NZD — New Zealand Dollar

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

SEK — Swedish Krone

Ser — Series

SGP — Singapore Dollar

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

A summary of the open futures contracts held by the Fund at May 31, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	43	Jun-2010	$	(71	)
FTSE Index	12	Jun-2010		(53	)
Hang Seng Index	1	Jun-2010		4
S&P TSE 60 Index	4	Jun-2010		(7	)
SPI 200 Index	3	Jun-2010		(26	)
Topix Index	10	Jun-2010		(36	)

			$	(189	)

(b) In accordance with Section 13(c) of the Investment Company Act of 1940 the Screened World Equity Ex-US Fund divested itself of the following security during the fiscal year ended May 31, 2010:

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

The Registrant has a standing Nominating Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective (except as noted below), based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

In connection with its audit of the Registrant’s financial statements for the period ended May 31, 2010, KPMG has advised management that management did not maintain effective internal controls related to changes to security terms recorded in the accounting system which have not been authorized by management, including security interest yields in the SEI Institutional Investments Trust Emerging Markets Debt Fund. KPMG’s internal control report, which discussed this matter, is filed as an Exhibit to the Registrant’s most recent Form N-SAR.

(b) There were no significant changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the last fiscal year that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. Subsequent to the registrant’s last fiscal half-year a new control has been implemented to ensure the timely detection of changes to fixed income securities that materially impact a security’s interest yield.

(a)(2) 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.

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.

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.



Management’s Discussion and Analysis of Fund Performance		1

Summary Schedules of Investments/Schedules of Investments		19

Statements of Assets and Liabilities		130

Statements of Operations		134

Statements of Changes in Net Assets		138

Financial Highlights		144

Notes to Financial Statements		147

Report of Independent Registered Public Accounting Firm		163

Trustees and Officers of the Trust		164

Disclosure of Fund Expenses		167

Board of Trustees Consideration in Approving the Advisory and Sub-Advisory Agreements		169

Notice to Shareholders		172


SEI Institutional Investments Trust / Annual Report / May 31, 2010		1


	Investments in Common Stock		Investments in Convertible Bonds
Beginning balance as of June 1, 2009	$	—	$	321
Accrued discounts/premiums		—		31
Realized gain/(loss)		—		—
Change in unrealized appreciation/(depreciation)		—		80
Net purchases/sales		—		347
Net transfer in and/or out of Level 3		358		252

Ending balance as of May 31, 2010	$	358	$	1,031

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—	$	80


Total Return Swaps
Counterparty	Reference Entity/Obligation	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Morgan Stanley	MSCI Daily TR NET EAFE USD MARKET Index	1-Month LIBOR	Price Return	08/03/10	(9,307	)	$	(1,001	)
Morgan Stanley	MSCI Daily TR NET EAFE USD MARKET Index	3-Month LIBOR Minus 24 Bps	Price Return	01/13/11	(40,262	)		(5,884	)

							$	(6,885	)


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		$	(1,450	)
Bank of America	Cmbx-Na-Aj 1 Index	BUY	(0.84	)	10/12/52	5,500			(2,121	)
Bank of America	Cmbx-Na-Aj 1 Index	BUY	(0.84	)	10/12/52	4,445			(160	)
Barclays Bank PLC	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37	(4,680	)		(1,988	)
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(4,581	)		268
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(3,984	)		269
Barclays Bank PLC	Cmbx-Na-Aj 1 Index	BUY	(0.84	)	10/12/52	4,880			(1,908	)
Barclays Bank PLC	Cmbx-Na-Aj 1 Index	BUY	(0.84	)	10/12/52	2,000			248
Barclays Bank PLC	Cmbx-Na-Aj 1 Index	BUY	(0.84	)	10/12/52	2,000			227
Citigroup	ABX.HE.AAA 06-2 Index	SELL	0.11		05/25/46	(2,067	)		(226	)
Citigroup	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37	(3,545	)		(1,495	)
Citigroup	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(4,083	)		476
Citigroup	ABX.HE.PENAAA 07-2 Index	SELL	0.76		01/25/38	(5,478	)		533
Citigroup	Darden Restaurants Inc., 6.000% 08/15/35	BUY	(2.73	)	03/20/14	1,435			(104	)
Citigroup	Darden Restaurants Inc., 7.125% 02/01/16	BUY	(2.40	)	03/20/15	1,200			(79	)
Citigroup	DR Horton, Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16	1,020			32
Citigroup	Home Depot, 5.875% 12/16/36	BUY	(2.67	)	03/20/14	5,100			(437	)
Citigroup	Lowes Cos. Inc., 8.250% 06/01/10	BUY	(1.20	)	03/20/14	5,320			(144	)
Credit Suisse	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46	(4,612	)		(261	)
Credit Suisse	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46	(4,889	)		(311	)
Credit Suisse	ABX.HE.AAA 06-1 Index	SELL	0.09		08/25/37	(4,000	)		(211	)
Credit Suisse	Cmbx-Na-Aj 1 Index	BUY	(0.84	)	10/12/52	390			(151	)
Credit Suisse	General Electric Corp., 5.625% 09/15/17	SELL	6.55		12/20/10	(2,570	)		102
Credit Suisse	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16	2,250			80
Credit Suisse	Target Corporation, 4.000% 6/15/13	BUY	(1.00	)	12/20/14	1,280			(13	)
Credit Suisse	Toll Brothers Inc., 5.150% 05/15/15	BUY	(1.00	)	09/20/16	6,700			307
Deutsche Bank	Centex Corporation, 5.250% 06/15/15	BUY	(4.40	)	12/20/13	600			(73	)
Deutsche Bank	Darden Restaurants Inc., 6.000% 08/15/35	BUY	(2.25	)	03/20/14	1,650			(89	)
Deutsche Bank	Darden Restaurants Inc., 7.125% 02/01/16	BUY	(2.25	)	03/20/13	600			(28	)
Deutsche Bank	DR Horton, Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16	800			13
Deutsche Bank	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16	3,050			114
Deutsche Bank	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16	2,250			119
Deutsche Bank	Target Corporation, 4.000% 6/15/13	BUY	(1.00	)	12/20/14	1,280			(13	)
Goldman Sachs	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46	(3,505	)		(207	)
Goldman Sachs	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37	(5,420	)		(549	)
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	BUY	(1.00	)	09/20/16	795			13
Goldman Sachs	Pulte Homes, Inc., 5.250% 1/15/14	BUY	(1.00	)	09/20/16	1,600			64
Merrill Lynch	Centex Corporation, 5.250% 06/15/15	BUY	(3.56	)	12/20/12	1,970			(144	)
Merrill Lynch	Centex Corporation, 5.250% 06/15/15	BUY	(3.56	)	12/20/12	1,375			(104	)
Morgan Stanley	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37	(2,100	)		(230	)
Morgan Stanley	ABX.HE.AAA 07-1 Index	SELL	0.09		08/25/37	(5,200	)		(527	)
Morgan Stanley	Berkshire Hathaway Inc., 4.625% 10/15/13	SELL	4.00		03/20/11	(5,400	)		165
Morgan Stanley	CDX.IG HVOL.12 Index	SELL	5.00		06/20/14	(6,090	)		738
Morgan Stanley	Darden Restaurants Inc., 7.125% 02/01/16	BUY	(2.25	)	03/20/13	600			(28	)
Royal Bank of Scotland	ABX.HE.AA 06-2 Index	SELL	0.17		05/25/46	(2,767	)		(156	)

								$	(9,439	)


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)	Net Unrealized (Depreciation) ($ Thousands)
Deutsche Bank	2.90%	3-Month LIBOR	02/28/14	87,200,000	$	(3,625	)
Morgan Stanley	0.00%	3MLIBOR (PAYMENT AT MATURITY)	11/15/27	29,630,000		(1,373	)
Morgan Stanley	0.00%	3MLIBOR (PAYMENT AT MATURITY)	02/15/25	19,470,000		(949	)

					$	(5,947	)


Liabilities	Level 1			Level 2		Level 3		Total
Written Options	$	(264	)	$	—	$	—	$	(264	)

Total Liabilities	$	(264	)	$	—	$	—	$	(264	)


	Investments in Corporate Obligations			Investments in Mortgage-Backed Securities		Investments in Asset-Backed Securities
Beginning balance as of June 1, 2009	$	442		$	6,160	$	6,790
Accrued discounts/premiums		43			108		9
Realized gain/(loss)		—			361		39
Change in unrealized appreciation/ (depreciation)		66			2,614		836
Net purchases/sales		(286	)		4,030		(4,340	)
Net transfer in and/or out of Level 3		—			—		—

Ending balance as of May 31, 2010	$	265		$	13,273	$	3,334

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	(52	)	$	2,620	$	701


Credit Default Swap
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate		Termination Date	Notional Amount (Thousands)			Net Unrealized Depreciation ($ Thousands)
Credit Suisse	ABX.HE.AAA 07-1 Index	SELL	0.09	%	08/25/37	$	(1,225	)	$	(511	)


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
6/2/10	BRL	7,970	USD	4,450	$	82
6/2/10-7/2/10	USD	18,429	BRL	33,889		103
6/8/10	KRW	247,544	USD	216		9
6/8/10-7/12/10	USD	9,182	KRW	10,297,799		(547	)
6/11/10-7/12/10	USD	13,138	INR	590,470		(430	)
6/11/10-7/19/10	USD	8,751	RUB	265,683		(106	)
6/14/10-7/26/10	MXP	30,323	USD	2,295		(48	)
6/14/10-7/26/10	USD	8,598	MXP	109,447		(127	)
6/21/10-7/26/10	PLN	16,183	USD	4,809		(78	)
6/24/10	RUB	72,477	USD	2,320		(37	)
6/24/10-7/26/10	USD	4,802	PLN	16,183		85
6/28/10-6/30/10	EUR	14,549	USD	18,014		71
6/30/10	JPY	748,763	USD	8,274		35
7/16/10	SGD	6,194	USD	4,362		(53	)
7/16/10	USD	4,500	SGD	6,194		(85	)
11/23/10-5/20/11	USD	5,840	CNY	39,069		(73	)

					$	(1,199	)


	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
ASSETS:
Investments at value†	$	1,186,447	*	$	291,793		$	5,968,132	*
Affiliated investment, at value††		158,480			60,612			1,855,320
Cash		78			8			52
Foreign currency, at value†††		—			—			—
Restricted cash held for forwards and swaps		—			—			—
Receivable for fund shares sold		24,150			430			52,081
Receivable for investment securities sold		3,454			1,465			89,236
Dividends and interest receivable		2,327			649			15,345
Receivable for variation margin		—			1			2
Foreign tax reclaim receivable		25			6			—
Unrealized gain on foreign spot currency contracts		—			—			—
Swap contracts at value††††		—			—			—
Prepaid expenses		6			2			46
Total Assets		1,374,967			354,966			7,980,214
LIABILITIES:
Payable upon return on securities loaned		133,363			—			775,045
Payable for investment securities purchased		6,330			1,575			91,217
Payable for fund shares redeemed		4,236			12			138,174
Swap contracts at value††††		—			—			—
Payable to custodian		—			—			—
Payable for variation margin		347			769			13,659
Unrealized loss on foreign spot currency contracts		—			—			—
Investment advisory fees payable		226			92			1,064
CCO fees payable		1			—			8
Accrued expense payable		82			18			285
Total Liabilities		144,585			2,466			1,019,452
Net Assets	$	1,230,382		$	352,500		$	6,960,762
† Cost of investments and repurchase agreements		1,121,321			274,328			5,465,873
†† Cost of affiliated investments		159,309			73,740			2,049,867
††† Cost of foreign currency		—			—			—
†††† Premiums received		—			—			—
* Includes market value of securities on loan		128,195			—			743,579
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	1,277,446		$	524,860		$	9,146,511
Undistributed net investment income		3,321			1,390			32,919
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, swap contracts and foreign currency		(113,099	)		(175,961	)		(2,492,289	)
Net unrealized appreciation (depreciation) on investments and option contracts		64,297			4,337			307,712
Net unrealized appreciation (depreciation) on futures contracts		(1,583	)		(2,126	)		(34,091	)
Net unrealized depreciation on swap contracts		—			—			—
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—
Net Assets	$	1,230,382		$	352,500		$	6,960,762
Net Asset Value, Offering and Redemption Price Per Share — Class A		$14.84			$7.69			$8.86
		($1,230,381,718 ÷ 82,904,747 shares	)		($352,500,474 ÷ 45,841,863 shares	)		($6,960,761,883 ÷ 785,479,184 shares	)


Large Cap Index Fund		Small Cap Fund		Smalll/Mid Cap Equity Fund		U.S. Managed Volatility Fund		International Equity Fund

$504,498	*	$1,304,910	*	$2,028,148	*	$252,645	*	$ 604,726	*
73,780		286,391		412,162		2,452		32,422
3		29		—		1		1,935
—		1		5		—		578
—		—		—		—		4,420
212		3,124		7,568		—		13,667
13,483		7,666		13,379		—		5,947
1,144		1,370		1,834		524		3,045
—		—		—		—		83
—		—		—		—		1,340
—		—		—		—		3
—		—		—		—		24,110
3		7		14		1		5
593,123		1,603,498		2,463,110		255,623		692,281

69,017		241,968		345,580		—		30,032
—		9,116		12,739		—		4,154
14,834		11,548		38,099		402		23,853
—		—		—		—		28,397
—		—		659		—		—
105		450		604		39		41
—		—		—		—		2
17		605		893		77		127
1		2		3		—		1
29		61		90		11		195
84,003		263,750		398,667		529		86,802
$509,120		$1,339,748		$2,064,443		$255,094		$ 605,479
413,190		1,147,943		1,733,143		214,753		633,924
74,542		292,547		419,547		2,452		33,245
—		1		5		—		573
—		—		—		—		—
66,147		231,332		331,075		—		27,726

$460,724		$1,647,609		$2,391,502		$202,702		$1,084,636
1,848		1,670		1,454		823		21,951
(43,592	)	(460,501	)	(616,671	)	13,817		(466,288	)
90,546		150,811		287,620		37,892		(30,021	)
(406	)	160		541		(140	)	(200	)
—		—		—		—		(4,287	)
—		(1	)	(3	)	—		(312	)
$509,120		$1,339,748		$2,064,443		$255,094		$ 605,479
$94.53		$10.69		$10.53		$11.16		$6.37
($509,119,961 ÷ 5,385,779 shares	)	($1,339,748,399 ÷ 125,307,764 shares	)	($2,064,442,640 ÷ 196,009,908 shares	)	($255,093,669 ÷ 22,860,421 shares	)	($605,478,845 ÷ 95,124,605 shares	)


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunity Fund
ASSETS:
Investments at value†	$	3,481,333	*	$	64,211		$	58,186
Affiliated investment, at value††		270,205			3,596			56,261
Cash		75,761			70			261
Foreign currency, at value†††		7,313			33			—
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts		7,001			—			200
Receivable for fund shares sold		120,591			299			24
Receivable for investment securities sold		36,461			1,052			524
Dividends and interest receivable		14,308			212			292
Receivable for variation margin		851			20			5
Foreign tax reclaim receivable		2,655			64			1
Unrealized gain on foreign spot currency contracts		527			1			—
Unrealized gain on forward foreign currency contracts		38			—			—
Swap contracts at value††††		42,703			—			—
Prepaid expenses		23			—			1
Total Assets		4,059,770			69,558			115,755
LIABILITIES:
Payable upon return on securities loaned		235,888			—			—
Payable for investment securities purchased		44,437			658			123
Payable for fund shares redeemed		14,976			22			46
Payable for loss on securities lending		—			—			—
Income distribution payable		—			—			—
Swap contracts at value††††		49,588			—			—
Options written, at value†††††		—			—			—
Payable to custodian		—			—			—
Payable for variation margin		256			7			10
Unrealized loss on foreign spot currency contracts		94			2			—
Unrealized loss on forward foreign currency contracts		—			—			—
Investment advisory fees payable		1,226			33			43
CCO fees payable		4			—			—
Accrued expense payable		575			93			14
Accrued foreign capital gains tax on appreciated securities		112			—			—
Total Liabilities		347,156			815			236
Net Assets	$	3,712,614		$	68,743		$	115,519
† Cost of investments and repurchase agreements		3,583,311			67,293			60,810
†† Cost of affiliated investments		272,518			3,596			78,062
††† Cost of foreign currency		7,212			529			—
†††† Premiums received		—			—			—
††††† Premiums received		—			—			—
* Includes market value of securities on loan		224,904			—			—
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	4,717,651		$	95,696		$	165,894
Undistributed (Distributions in excess of) net investment income		53,729			821			2,587
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, swap contracts and foreign currency		(945,231	)		(24,500	)		(28,535	)
Net unrealized appreciation (depreciation) on investments and option contracts		(104,291	)		(3,082	)		(24,425	)
Net unrealized depreciation on futures contracts		(2,182	)		(189	)		(2	)
Net unrealized depreciation on swap contracts		(6,885	)		—			—
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		(65	)		(3	)		—
Accumulated foreign capital gains tax on appreciated securities		(112	)		—			—
Net Assets	$	3,712,614		$	68,743		$	115,519
Net Asset Value, Offering and Redemption Price Per Share — Class A		$9.09			$7.04			$7.69
		($3,712,613,737 ÷ 408,505,323 shares	)		($68,742,935 ÷ 9,761,926 shares	)		($115,519,217 ÷ 15,020,650 shares	)


Core Fixed Income Fund		High Yield Bond Fund		Long Duration Fund		Emerging Markets Debt Fund		Real Return Fund

$6,093,823	*	$1,533,519	*	$2,689,593		$ 958,209	*	$326,018
532,005		37,801		46,555		4,213		—
—		557		678		—		4,095
—		—		—		94		—
42,403		1,571		960		3,312		—
33,491		57,243		7,000		28,326		584
746,933		18,534		4,132		11,305		—
40,087		32,490		31,121		17,356		1,682
1,398		—		820		5		—
27		65		58		—		—
—		—		—		—		—
385		—		—		385		—
24,469		211		—		2,202		—
34		10		14		4		2
7,515,055		1,682,001		2,780,931		1,025,411		332,381

431,339		6		—		4,439		—
1,150,925		20,489		38,426		13,832		—
156,832		23,967		4,975		14,314		5,554
—		1,912		—		—		—
1,166		455		—		—		—
63,842		—		718		—		—
264		—		—		—		—
2,682		—		—		1,067		—
1,056		—		94		—		—
—		—		—		52		—
247		—		—		1,584		—
692		464		359		444		54
7		2		3		1		—
295		98		169		80		15
—		—		—		—		—
1,809,347		47,393		44,744		35,813		5,623
$5,705,708		$1,634,608		$2,736,187		$ 989,598		$326,758
6,124,003		1,516,700		2,532,909		896,254		320,285
541,420		37,801		46,555		4,439		—
—		—		—		94		—
(23,987	)	934		(207	)	2,279		—
(234	)	—		—		—		—
419,251		5		—		4,235		—

$5,690,425		$1,781,429		$2,600,113		$1,000,469		$314,370
8,929		49		(3,008	)	(5,095	)	1,919
62,426		(162,966	)	(13,411	)	(66,112	)	4,736
(39,625	)	16,819		156,684		61,729		5,733
(1,199	)	—		(3,680	)	(8	)	—
(15,386	)	(723	)	(511	)	(77	)	—
138		—		—		(1,308	)	—
—		—		—		—		—
$5,705,708		$1,634,608		$2,736,187		$ 989,598		$326,758
$10.35		$8.74		$8.69		$10.47		$10.41
($5,705,708,019 ÷ 551,082,245 shares	)	($1,634,608,066 ÷ 186,991,591 shares	)	($2,736,186,746 ÷ 314,718,012 shares	)	($989,597,880 ÷ 94,481,965 shares	)	($326,758,153 ÷ 31,394,920 shares	)


Large Cap Index Fund			Small Cap Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund

$	10,625		$	15,770		$	25,366		$	6,558		$	19,205
	10			60			86			14			16
	7			606			730			3			908
	278			728			808			—			642
	—			(25	)		(32	)		(38	)		(1,525	)
	10,920			17,139			26,958			6,537			19,246

	833			7,980			13,640			1,781			3,686
	245			614			1,049			137			365
	9			23			40			5			15
	3			8			12			2			4
	26			65			111			13			429
	23			56			92			11			31
	7			8			11			3			5
	5			12			18			2			5
	—			—			—			—			7
	26			59			68			8			110
	1,177			8,825			15,041			1,962			4,657

	(638	)		(1,578	)		(3,497	)		(865	)		(1,440	)
	(245	)		(614	)		(1,049	)		(137	)		(365	)
	—			(64	)		(159	)		—			(23	)
	294			6,569			10,336			960			2,829
	10,626			10,570			16,622			5,577			16,417

	(13,183	)		101,908			174,538			19,411			73,050
	—			—			—			—			—
	2,982			13,510			14,322			1,962			2,042
	—			—			—			—			14,931
	—			(39	)		(215	)		—			4,439

	93,149			226,919			418,769			25,278			(41,967	)
	32			87			(58	)		—			204
	(1,483	)		(4,033	)		(263	)		(662	)		(1,130	)
	—			—			—			—			(10,421	)
	—			(2	)		(4	)		—			(1,623	)
$	92,123		$	348,920		$	623,711		$	51,566		$	55,942


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunities Fund
Investment Income
Dividends	$	89,076		$	1,846		$	—
Dividends from Affiliated Registered Investment Company⁽¹⁾		134			2			15
Interest Income		2,550			15			4,963
Security Lending Income — Net		2,172			—			—
Less: Foreign Taxes Withheld		(7,817	)		(161	)		—
		86,115			1,702			4,978
Expenses:
Investment Advisory Fees		18,540			444			687
Administration Fees		1,685			34			76
Trustee Fees		63			1			3
Chief Compliance Officer Fees		21			—			1
Custodian/Wire Agent Fees		1,079			176			7
Professional Fees		152			3			6
Registration Fees		50			—			1
Printing Fees		33			1			1
Overdraft Fees		36			2			—
Other Expenses		215			64			38
Total Expenses		21,874			725			820
Less:
Waiver of Investment Advisory Fees		(4,991	)		(145	)		(114	)
Waiver of Administration Fees		(1,685	)		(34	)		(76	)
Fees Paid Indirectly⁽¹⁾		(73	)		—			—
Net Expenses		15,125			546			630
Net Investment Income		70,990			1,156			4,348
Net Realized and Unrealized Gain (Loss) on Investments:
Investments		378,235			4,109			(10,614	)
Affiliated Investments		—			—			(10,003	)
Futures Contracts		2,591			606			(318	)
Written Options		—			—			—
Written Swaptions		—			—			—
Swap Contracts		19,419			—			—
Foreign Currency Transactions		13,721			(49	)		(78	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(197,328	)		368			17,651
Affiliated Investments		330			—			18,052
Futures Contracts		(10,932	)		(389	)		19
Written Options		—			—			—
Swap Contracts		(16,438	)		—			—
Foreign Capital Gains Tax		586			—			—
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		(7,251	)		(17	)		79
Net Increase in Net Assets Resulting from Operations	$	253,923		$	5,784		$	19,136


Core Fixed Income Fund			High Yield Bond Fund			Long Duration Fund			Emerging Markets Debt Fund			Real Return Fund

$	35		$	673		$	—		$	—		$	—
	248			55			72			—			1
	256,390			152,666			116,143			83,134			9,743
	979			182			—			31			—
	(23	)		(37	)		—			—			—
	257,629			153,539			116,215			83,165			9,744

	15,913			7,209			6,191			8,153			1,365
	2,652			739			1,032			480			141
	104			28			36			19			6
	33			9			13			6			2
	264			77			120			86			4
	245			67			99			43			13
	70			7			71			5			5
	47			14			23			7			2
	—			—			—			14			2
	184			173			104			89			7
	19,512			8,323			7,689			8,902			1,547

	(9,449	)		(2,408	)		(2,530	)		(3,134	)		(593	)
	(2,637	)		(739	)		(1,032	)		(480	)		(141	)
	—			—			—			—			—
	7,426			5,176			4,127			5,288			813
	250,203			148,363			112,088			77,877			8,931

	110,405			64,687			18,166			38,786			11,256
	—			—			—			—			—
	21,284			—			14,124			456			(168	)
	3,024			—			—			—			—
	900			—			—			—			—
	(4,835	)		(367	)		11			687			—
	416			—			—			5,771			44

	355,419			238,195			168,568			86,902			(5,139	)
	642			3,359			—			57			—
	(410	)		—			6,478			(42	)		—
	(240	)		—			—			—			—
	1,239			(723	)		164			1,043			—
	—			—			—			—			—
	541			—			—			(1,104	)		—
$	738,588		$	453,514		$	319,599		$	210,433		$	14,924


	Large Cap Fund						Large Cap Diversified Alpha Fund
	2010			2009			2010			2009
Operations:
Net Investment Income	$	14,146		$	7,363		$	4,520		$	5,503
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts		52,197			(62,797	)		45,041			(186,360	)
Net Realized Loss on Foreign Currency Transactions		—			—			(9	)		—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments and Future Contracts		51,674			(40,243	)		21,406			(48,205	)
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		—			—			1			(1	)
Net Increase (Decrease) in Net Assets Resulting from Operations		118,017			(95,677	)		70,959			(229,063	)
Dividends and Distributions From:
Net Investment Income:
Class A		(12,504	)		(6,781	)		(4,456	)		(772	)
Net Realized Gains:
Class A		—			—			—			—
Return of Capital
Class A		—			—			—			(2,889	)
Total Dividends and Distributions		(12,504	)		(6,781	)		(4,456	)		(3,661	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		780,894	⁽²⁾		331,341			53,221			188,769
Reinvestment of Dividends & Distributions		11,980			6,761			3,677			3,328
Cost of Shares Redeemed		(194,426	)		(70,379	)		(101,903	)		(180,732	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		598,448			267,723			(45,005	)		11,365
Net Increase (Decrease) in Net Assets		703,961			165,265			21,498			(221,359	)
Net Assets:
Beginning of Year		526,421			361,156			331,002			552,361
End of Year	$	1,230,382		$	526,421		$	352,500		$	331,002
Undistributed Net Investment Income Included in Net Assets at Period End	$	3,321		$	1,586		$	1,390		$	—


Large Cap Disciplined Equity Fund						Large Cap Index Fund						Small Cap Fund
2010			2009			2010			2009			2010			2009

$	122,842		$	126,794		$	10,626		$	8,446		$	10,570		$	14,533
	931,525			(2,910,132	)		(10,201	)		(29,441	)		115,418			(472,584	)
	(795	)		(1,882	)		—			—			(39	)		(114	)
	304,274			(668,153	)		91,698			(109,708	)		222,973			(139,527	)
	802			(451	)		—			—			(2	)		10
	1,358,648			(3,453,824	)		92,123			(130,703	)		348,920			(597,682	)


	(113,630	)		(10,906	)		(10,238	)		(8,380	)		(10,767	)		(23,822	)

	—			—			—			(620	)		—			—

	—			(79,835	)		—			—			—			—
	(113,630	)		(90,741	)		(10,238	)		(9,000	)		(10,767	)		(23,822	)


	1,258,268	⁽²⁾		2,154,108	⁽²⁾		142,340			156,678			229,238	⁽²⁾		174,015
	110,682			89,812			9,924			8,560			9,886			22,561
	(1,696,325	)		(1,423,578	)		(78,921	)		(58,516	)		(223,389	)		(408,912	)
	(327,375	)		820,342			73,343			106,722			15,735			(212,336	)
	917,643			(2,724,223	)		155,228			(32,981	)		353,888			(833,840	)

	6,043,119			8,767,342			353,892			386,873			985,860			1,819,700
$	6,960,762		$	6,043,119		$	509,120		$	353,892		$	1,339,748		$	985,860
$	32,919		$	217		$	1,848		$	1,350		$	1,670		$	918


	Small/Mid Cap Equity Fund						U.S. Managed Volatility Fund⁽²⁾
	2010			2009			2010			2009
Operations:
Net Investment Income	$	16,622		$	24,678		$	5,577		$	1,288
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts		188,860			(654,891	)		21,373			(3,011	)
Net Realized Gain (Loss) on Foreign Currency Transactions		(215	)		(404	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Future Contracts and Swap Contracts		418,448			(220,379	)		24,616			13,136
Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gains Tax		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		(4	)		9			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		623,711			(850,987	)		51,566			11,413
Dividends and Distributions From:
Net Investment Income:
Class A		(23,438	)		(27,726	)		(5,539	)		(555	)
Net Realized Gains:
Class A		—			—			(4,493	)		—
Return of Capital:
Class A		—			—			—			—
Total Dividends and Distributions		(23,438	)		(27,726	)		(10,032	)		(555	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		390,769			556,902			45,965			232,207
Reinvestment of Dividends & Distributions		22,917			27,474			10,025			555
Cost of Shares Redeemed		(674,340	)		(353,895	)		(80,290	)		(5,760	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(260,654	)		230,481			(24,300	)		227,002
Net Increase (Decrease) in Net Assets		339,619			(648,232	)		17,234			237,860
Net Assets:
Beginning of Period		1,724,824			2,373,056			237,860			—
End of Period	$	2,064,443		$	1,724,824		$	255,094		$	237,860
Undistributed Net Investment Income Included in Net Assets at Period End	$	1,454		$	7,462		$	823		$	733


International Equity Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund⁽³⁾						Enhanced LIBOR Opportunities Fund
2010			2009			2010			2009			2010			2009			2010			2009

$	16,417		$	26,627		$	70,990		$	73,495		$	1,156		$	1,211		$	4,348		$	5,626
	90,023			(529,662	)		400,245			(1,232,642	)		4,715			(29,065	)		(20,935	)		(13,555	)
	4,439			(19,516	)		13,721			(43,428	)		(49	)		(174	)		(78	)		(1,934	)
	(53,314	)		(158,270	)		(224,368	)		(190,170	)		(21	)		(3,250	)		35,722			(43,748	)
	—			—			586			(343	)		—			—			—			—
	(1,623	)		2,112			(7,251	)		7,784			(17	)		14			79			235
	55,942			(678,709	)		253,923			(1,385,304	)		5,784			(31,264	)		19,136			(53,376	)


	(13,386	)		(10,879	)		(75,180	)		—			(912	)		(561	)		(2,810	)		(3,100	)

	—			(2,062	)		—			—			—			—			—			—

	—			—			—			—			—			—			—			(929	)
	(13,386	)		(12,941	)		(75,180	)		—			(912	)		(561	)		(2,810	)		(4,029	)


	168,088			315,996			1,300,345			1,523,949			25,764			97,244			6,304			30,159
	11,628			12,425			73,000			—			785			507			1,051			3,943
	(321,669	)		(384,857	)		(561,231	)		(718,008	)		(14,785	)		(13,819	)		(73,275	)		(55,964	)
	(141,953	)		(56,436	)		812,114			805,941			11,764			83,932			(65,920	)		(21,862	)
	(99,397	)		(748,086	)		990,857			(579,363	)		16,636			52,107			(49,594	)		(79,267	)

	704,876			1,452,962			2,721,757			3,301,120			52,107			—			165,113			244,380
$	605,479		$	704,876		$	3,712,614		$	2,721,757		$	68,743		$	52,107		$	115,519		$	165,113
$	21,951		$	3,350		$	53,729		$	28,028		$	821		$	493		$	2,587		$	4


	Core Fixed Income Fund						High Yield Bond Fund
	2010			2009			2010			2009
Operations:
Net Investment Income	$	250,203		$	296,773		$	148,363		$	132,188
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts		130,778			(53,563	)		64,320			(189,876	)
Net Realized Gain (Loss) on Foreign Currency Transactions		416			12,443			—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts		356,650			(215,205	)		240,831			(135,013	)
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		541			(1,392	)		—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		738,588			39,056			453,514			(192,701	)
Dividends and Distributions From:
Net Investment Income:
Class A		(257,305	)		(298,149	)		(141,645	)		(125,601	)
Net Realized Gains:
Class A		—			(90,124	)		(3,523	)		(10,261	)
Return of Capital:
Class A		—			—			—			—
Total Dividends and Distributions		(257,305	)		(388,273	)		(145,168	)		(135,862	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		2,283,474			1,865,234			483,963			340,770
Reinvestment of Dividends & Distributions		235,877			374,113			138,393			133,130
Cost of Shares Redeemed		(1,835,519	)		(3,498,985	)		(535,365	)		(305,925	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		683,832			(1,259,638	)		86,991			167,975
Net Increase (Decrease) in Net Assets		1,165,115			(1,608,855	)		395,337			(160,588	)
Net Assets:
Beginning of Year		4,540,593			6,149,448			1,239,271			1,399,859
End of Year	$	5,705,708		$	4,540,593		$	1,634,608		$	1,239,271
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year End	$	8,929		$	9,037		$	49		$	1,899


Long Duration Fund						Emerging Markets Debt Fund						Real Return Fund
2010			2009			2010			2009			2010			2009

$	112,088		$	22,752		$	77,877		$	81,032		$	8,931		$	6,064
	32,301			(38,634	)		39,929			(96,832	)		11,088			(4,440	)
	—			—			5,771			(11,390	)		44			3,101
	175,210			(6,593	)		87,960			(24,829	)		(5,139	)		(5,506	)
	—			—			(1,104	)		756			—			(610	)
	319,599			(22,475	)		210,433			(51,263	)		14,924			(1,391	)


	(113,770	)		(24,618	)		(95,106	)		(76,229	)		(6,985	)		(19,450	)

	—			—			—			—			—			(63	)

	—			—			—			—			—			(1,496	)
	(113,770	)		(24,618	)		(95,106	)		(76,229	)		(6,985	)		(21,009	)


	1,092,791			1,468,293			257,845			238,272			162,256			70,945
	113,670			24,542			90,608			74,453			4,464			20,190
	(165,150	)		(72,449	)		(375,408	)		(346,498	)		(108,378	)		(170,387	)
	1,041,311			1,420,386			(26,955	)		(33,773	)		58,342			(79,252	)
	1,247,140			1,373,293			88,372			(161,265	)		66,281			(101,652	)

	1,489,047			115,754			901,226			1,062,491			260,477			362,129
$	2,736,187		$	1,489,047		$	989,598		$	901,226		$	326,758		$	260,477
$	(3,008	)	$	(18	)	$	(5,095	)	$	7,588		$	1,919		$	(345	)


	Net Asset Value, Beginning of Period		Net Investment Income⁽²⁾		Net Realized and Unrealized Gains (Losses) on Securities			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†		Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)		Ratio of Net Investment Income to Average Net Assets		Portfolio Turnover Rate†
Large Cap Fund
Class A
2010	$	12.55	$	0.23	$	2.28		$	2.51		$	(0.22	)	$	—		$	(0.22	)	$	14.84	20.05	%	$	1,230,382	0.26	%	0.26	%	0.47	%	1.56	%	72	%
2009		18.75		0.28		(6.22	)		(5.94	)		(0.26	)		—			(0.26	)		12.55	(31.73	)		526,421	0.25		0.26		0.48		2.16		81
2008		20.31		0.32		(1.52	)		(1.20	)		(0.36	)		—			(0.36	)		18.75	(5.95	)		361,156	0.26		0.26		0.47		1.66		57
2007		16.93		0.28		3.40			3.68			(0.30	)		—			(0.30	)		20.31	21.97			693,994	0.26		0.26		0.46		1.57		47
2006		15.53		0.24		1.44			1.68			(0.28	)		—			(0.28	)		16.93	10.87			801,217	0.25		0.26		0.48		1.47		103
Large Cap Diversified Alpha Fund
Class A
2010	$	6.35	$	0.09	$	1.34		$	1.43		$	(0.09	)	$	—		$	(0.09	)	$	7.69	22.61	%	$	352,500	0.31	%	0.31	%	0.47	%	1.26	%	95	%
2009		10.23		0.10		(3.91	)		(3.81	)		(0.07	)**		—			(0.07	)		6.35	(37.33	)		331,002	0.48	*	0.48	*	0.64		1.41		132
2008		11.94		0.13		(1.15	)		(1.02	)		(0.17	)		(0.52	)		(0.69	)		10.23	(8.80	)		552,361	0.64	*	0.64	*	0.79		1.17		77
2007		9.94		0.19		2.04			2.23			(0.16	)		(0.07	)		(0.23	)		11.94	22.64			453,954	0.62	*	0.62	*	0.74		1.77		132
2006⁽¹⁾		10.00		0.04		(0.09	)		(0.05	)		(0.01	)		—			(0.01	)		9.94	(0.49	)		139,046	0.45	*	0.45	*	0.66		1.70		47
Large Cap Disciplined Equity Fund
Class A
2010	$	7.36	$	0.15	$	1.49		$	1.64		$	(0.14	)	$	—		$	(0.14	)	$	8.86	22.32	%	$	6,960,762	0.18	%	0.18	%	0.47	%	1.74	%	104	%
2009		12.07		0.16		(4.75	)		(4.59	)		(0.12	)***		—			(0.12	)		7.36	(38.18	)		6,043,119	0.19		0.19		0.47		1.97		108
2008		14.38		0.22		(1.54	)		(1.32	)		(0.25	)		(0.74	)		(0.99	)		12.07	(9.57	)		8,767,342	0.19		0.19		0.47		1.70		111
2007††		12.36		0.51		2.27			2.78			(0.30	)		(0.46	)		(0.76	)		14.38	23.15			7,833,212	0.23	⁽³⁾	0.23	⁽³⁾	0.47	⁽³⁾	2.43		135
2006††		12.05		0.26		0.85			1.11			(0.22	)		(0.58	)		(0.80	)		12.36	9.33			4,938,416	0.24		0.24		0.47		2.10		140
Large Cap Index Fund
Class A
2010	$	78.92	$	2.01	$	15.53		$	17.54		$	(1.93	)	$	—		$	(1.93	)	$	94.53	22.34	%	$	509,120	0.06	%	0.06	%	0.24	%	2.17	%	11	%
2009		121.02		2.13		(41.96	)		(39.83	)		(2.13	)		(0.14	)		(2.27	)		78.92	(32.99	)		353,892	0.06		0.06		0.25		2.56		18
2008		135.30		2.47		(10.72	)		(8.25	)		(2.52	)		(3.51	)		(6.03	)		121.02	(6.25	)		386,873	0.06		0.06		0.24		1.97		14
2007		113.02		2.29		23.15			25.44			(2.33	)		(0.83	)		(3.16	)		135.30	22.87			416,933	0.06		0.06		0.24		1.88		10
2006		106.24		2.06		7.77			9.83			(1.94	)		(1.11	)		(3.05	)		113.02	9.34			367,084	0.08		0.08		0.24		1.84		20
Small Cap Fund
Class A
2010	$	7.97	$	0.08	$	2.73		$	2.81		$	(0.09	)	$	—		$	(0.09	)	$	10.69	35.32	%	$	1,339,748	0.53	%	0.54	%	0.72	%	0.86	%	106	%
2009		12.42		0.11		(4.37	)		(4.26	)		(0.19	)		—			(0.19	)		7.97	(34.27	)		985,860	0.52		0.54		0.72		1.26		122
2008		16.44		0.11		(2.26	)		(2.15	)		(0.12	)		(1.75	)		(1.87	)		12.42	(13.58	)		1,819,700	0.52		0.54		0.72		0.80		99
2007		15.52		0.10		2.85			2.95			(0.12	)		(1.91	)		(2.03	)		16.44	20.32			2,136,857	0.52		0.54		0.72		0.67		92
2006		14.27		0.07		2.55			2.62			(0.06	)		(1.31	)		(1.37	)		15.52	18.93			1,951,138	0.52		0.54		0.72		0.44		119


	Net Asset Value, Beginning of Period		Net Investment Income⁽³⁾		Net Realized and Unrealized Gains (Losses) on Securities			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†		Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)		Ratio of Net Investment Income to Average Net Assets		Portfolio Turnover Rate†
Small/Mid Cap Equity Fund
Class A
2010	$	7.85	$	0.08	$	2.71		$	2.79		$	(0.11	)	$	—		$	(0.11	)	$	10.53	35.79	%	$	2,064,443	0.49	%	0.50	%	0.72	%	0.79	%	97	%
2009		12.22		0.12		(4.36	)		(4.24	)		(0.13	)		—			(0.13	)		7.85	(34.70	)		1,724,824	0.48		0.50		0.72		1.40		125
2008		14.95		0.12		(1.91	)		(1.79	)		(0.12	)		(0.82	)		(0.94	)		12.22	(12.14	)		2,373,056	0.49		0.50		0.72		0.97		95
2007††		13.38		0.19		2.57			2.76			(0.13	)		(1.06	)		(1.19	)		14.95	21.60			1,865,746	0.48		0.50		0.72		0.85		104
2006††		11.96		0.09		1.97			2.06			(0.08	)		(0.56	)		(0.64	)		13.38	17.51			1,216,640	0.50		0.53		0.72		0.69		123
U.S. Managed Volatility Fund
Class A
2010	$	9.55	$	0.22	$	1.78		$	2.00		$	(0.22	)	$	(0.17	)	$	(0.39	)	$	11.16	21.12	%	$	255,094	0.35	%	0.35	%	0.72	%	2.04	%	58	%
2009⁽²⁾		10.00		0.09		(0.51	)		(0.42	)		(0.03	)		—			(0.03	)		9.55	(4.16	)		237,860	0.35		0.35		0.75		2.31		31
International Equity Fund
Class A
2010	$	6.08	$	0.15	$	0.27		$	0.42		$	(0.13	)	$	—		$	(0.13	)	$	6.37	6.68	%	$	605,479	0.39	%	0.39	%	0.64	%	2.25	%	153	%
2009		11.12		0.21		(5.15	)		(4.94	)		(0.09	)		(0.01	)		(0.10	)		6.08	(44.32	)		704,876	0.39	⁽⁸⁾	0.39	⁽⁸⁾	0.61	⁽⁸⁾	3.03		200
2008		14.27		0.37		(1.05	)		(0.68	)		(0.44	)		(2.03	)		(2.47	)		11.12	(5.52	)		1,452,962	0.40	⁽⁷⁾	0.41	⁽⁷⁾	0.62	⁽⁷⁾	2.99		145
2007		14.05		0.37		3.12			3.49			(0.50	)		(2.77	)		(3.27	)		14.27	28.00			1,790,634	0.50	⁽⁴⁾	0.50	⁽⁴⁾	0.71	⁽⁴⁾	2.69		153
2006		11.15		0.29		3.09			3.38			(0.37	)		(0.11	)		(0.48	)		14.05	30.77			1,656,985	0.36		0.36		0.63		2.30		116
World Equity Ex-US Fund
Class A
2010	$	8.39	$	0.20	$	0.72		$	0.92		$	(0.22	)	$	—		$	(0.22	)	$	9.09	10.74	%	$	3,712,614	0.45	%	0.45	%	0.65	%	2.10	%	149	%
2009		14.56		0.26		(6.43	)		(6.17	)		—			—			—			8.39	(42.38	)		2,721,757	0.45	⁽⁹⁾	0.45	⁽⁹⁾	0.66	⁽⁹⁾	3.03		171
2008		15.96		0.38		(0.51	)		(0.13	)		(0.39	)		(0.88	)		(1.27	)		14.56	(1.14	)		3,301,120	0.57		0.57		0.67		2.58		153
2007		12.99		0.35		3.47			3.82			(0.33	)		(0.52	)		(0.85	)		15.96	30.29			2,053,014	0.71	⁽⁵⁾	0.71	⁽⁵⁾	0.77	⁽⁵⁾	2.45		154
2006		9.81		0.27		3.01			3.28			(0.09	)		(0.01	)		(0.10	)		12.99	33.52			908,582	0.60		0.61		0.76		2.22		104
Screened World Equity Ex-US Fund
Class A
2010	$	6.42	$	0.13	$	0.58		$	0.71		$	(0.09	)	$	—		$	(0.09	)	$	7.04	11.00	%	$	68,743	0.80	%	0.80	%	1.06	%	1.69	%	161	%
2009⁽¹⁾		10.00		0.14		(3.66	)		(3.52	)		(0.06	)		—			(0.06	)		6.42	(35.12	)		52,107	0.80		0.80		1.10		2.38		101
Enhanced LIBOR Opportunities Fund
Class A
2010	$	6.95	$	0.21	$	0.67		$	0.88		$	(0.14	)	$	—		$	(0.14	)	$	7.69	12.66	%	$	115,519	0.41	%	0.41	%	0.54	%	2.85	%	12	%
2009		9.11		0.22		(2.22	)		(2.00	)		(0.16	)*		—			(0.16	)		6.95	(22.20	)		165,113	0.41		0.41		0.54		2.91		27
2008		10.14		0.42		(1.00	)		(0.58	)		(0.44	)		(0.01	)		(0.45	)		9.11	(5.88	)		244,380	0.42		0.42		0.55		4.45		25
2007⁽⁶⁾		10.00		0.27		0.03			0.30			(0.16	)		—			(0.16	)		10.14	3.02			123,430	0.44		0.44		0.54		5.84		53
Core Fixed Income Fund
Class A
2010	$	9.42	$	0.47	$	0.95		$	1.42		$	(0.49	)	$	—		$	(0.49	)	$	10.35	15.34	%	$	5,705,708	0.14	%	0.14	%	0.37	%	4.71	%	242	%
2009		9.95		0.52		(0.38	)		0.14			(0.52	)		(0.15	)		(0.67	)		9.42	1.85			4,540,593	0.14		0.14		0.37		5.56		411
2008		9.99		0.54		(0.04	)		0.50			(0.54	)		—			(0.54	)		9.95	5.10			6,149,448	0.14		0.14		0.37		5.35		432
2007		9.84		0.53		0.14			0.67			(0.52	)		—			(0.52	)		9.99	6.95			5,894,127	0.14		0.14		0.37		5.23		428
2006		10.34		0.47		(0.48	)		(0.01	)		(0.48	)		(0.01	)		(0.49	)		9.84	(0.09	)		4,646,403	0.14		0.14		0.37		4.62		545


	Number of Shares/ Face Amount ($ Thousands)	Acquisition Date	Right to Acquire Date	Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets

Small Cap Fund
Rentech	16,100	4/20/07	4/20/07	$	—	$	2	0.00	%
Scorpio Mining	887	5/5/08	5/5/08		795		779	0.06
Titanium Asset PP	122,200	8/6/07	8/6/07		729		358	0.03
Titanium Asset	122,000	6/14/07	6/14/07		—		—	0.00
Value Creation	119,600	2/29/08	2/29/08		1,225		114	0.01

				$	2,749	$	1,253	0.10	%


Small/Mid Cap Equity Fund
Rentech	13,800	4/20/07	4/20/07	$	—	$	1	0.00	%
Scorpio Mining	509	5/5/08	5/5/08		499		447	0.02
Titanium Asset PP	105,000	8/6/07	8/6/07		625		308	0.02
Titanium Asset	105,000	6/14/07	6/14/07		—		—	0.00
Value Creation	85,600	2/29/08	2/29/08		871		81	0.00

				$	1,995	$	837	0.04	%


Enhanced LIBOR Opportunities Fund
Metroflag	1,500	1/10/08	1/10/08	$	1,500	$	—	0.00	%


High Yield Bond Fund
VSS, AHC	43,496	9/25/09	9/25/09	$	551	$	519	0.03	%


CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS				CDS ON AN INDEX
REFERENCE ASSET	CORP US$			SOVEREIGN US$	ABS US$			CORP US$			Total
Fair value of written credit derivatives	$	266,086		—	$	(39,285,738	)	$	892,333		$	(38,127,319	)
Maximum potential amount of future payments	$	(7,970,000	)	—	$	(60,910,730	)	$	(6,089,958	)	$	(74,970,688	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)¹		—		—		—			—			—
Collateral held by the fund can obtain upon occurrence of triggering event		—		—		—			—			—


MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
CORE FIXED INCOME FUND	0-6 MONTHS	6-12 MONTHS			1-5 YEARS			5-10 YEARS		> 10 YEARS			Total
Current credit spread* on underlying (in basis points)
0-2,000	—	$	(7,970,000	)	$	(6,089,958	)	$	—		—		$	(14,059,958	)
2,001-4,000	—		—			—			—	$	(45,138,082	)	$	(45,138,082	)
4,001-6,000	—		—			—			—	$	(15,772,648	)	$	(15,772,648	)
Total	—	$	(7,970,000	)	$	(6,089,958	)	$	—	$	(60,910,730	)	$	(74,970,688	)


LONG DURATION FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS		CREDIT DEFAULT SWAP INDEX
REFERENCE ASSET	CORP US$	SOVEREIGN US$	ABS US$			CORP US$	Total
Fair value written credit derivatives	—	—	$	(708,328	)	—	$	(708,328	)
Maximum potential amount of future payments	—	—	$	1,225,000		—	$	1,225,000
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)¹	—	—		—		—		—
Collateral held by the fund can obtain upon occurrence of triggering event


	Asset Derivatives				Liability Derivatives
	Year ended May 31, 2010 ($ Thousands)				Year ended May 31, 2010 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Derivatives not accounted for as hedging instruments:

International Equity
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	3	*	Net Assets — Unrealized depreciation on futures contracts	$	203	*
	Net Assets — Unrealized appreciation on swap contracts		24,110	†	Net Assets — Unrealized depreciation on swap contracts		28,397	†

Total Derivatives not accounted for as hedging instruments		$	24,113			$	28,600


World Equity Ex-US
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	38		Unrealized loss on forward foreign currency contracts	$	—
Equity contracts	Net Assets — Unrealized appreciation on futures contracts		326	*	Net Assets — Unrealized depreciation on futures contracts		2,508	*
	Net Assets — Unrealized appreciation on swap contracts		42,703	†	Net Assets — Unrealized depreciation on swap contracts		49,588	†

Total Derivatives not accounted for as hedging instruments		$	43,067			$	52,096


Core Fixed Income
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	385		Unrealized loss on forward foreign currency contracts	$	247
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts		1,006	*	Net Assets — Unrealized depreciation on futures contracts		2,205	*
	Net Assets — Unrealized appreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		5,947	†
	Investments, at value		—		Options written, at value		264
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		3,768	†	Net Assets — Unrealized depreciation on swap contracts		13,207	†

Total Derivatives not accounted for as hedging instruments		$	5,159			$	21,870


Long Duration
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	188	*	Net Assets — Unrealized depreciation on futures contracts	$	3,868	*
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		511	†

Total Derivatives not accounted for as hedging instruments		$	188			$	4,379


Emerging Markets Debt
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	—		Net Assets — Unrealized depreciation on futures contracts	$	8	*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		385		Unrealized loss on forward foreign currency contracts		1,584
Equity contracts	Net Assets — Unrealized appreciation on swap contracts		5	†	Net Assets — Unrealized depreciation on swap contracts		82	†

Total Derivatives not accounted for as hedging instruments		$	390			$	1,674