N-CSRS 1 sr043010bf.htm DWS BALANCED FUND

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D. C. 20549

 

FORM N-CSRS

 

Investment Company Act file number

811-01236

 

DWS Balanced Fund

(Exact Name of Registrant as Specified in Charter)

 

345 Park Avenue

New York, NY 10154-0004

(Address of Principal Executive Offices) (Zip Code)

 

Registrant’s Telephone Number, including Area Code: (212) 454-7190

 

Paul Schubert

345 Park Avenue

New York, NY 10154-0004

(Name and Address of Agent for Service)

 

Date of fiscal year end:

10/31

 

Date of reporting period:

4/30/2010

 

ITEM 1.

REPORT TO STOCKHOLDERS

 

 

 

APRIL 30, 2010

Semiannual Report
to Shareholders

 

 

DWS Balanced Fund

bal_cover2c0

Contents

4 Performance Summary

7 Information About Your Fund's Expenses

9 Portfolio Summary

11 Investment Portfolio

54 Financial Statements

58 Financial Highlights

63 Notes to Financial Statements

77 Summary of Management Fee Evaluation by Independent Fee Consultant

82 Account Management Resources

83 Privacy Statement

This report must be preceded or accompanied by a prospectus. To obtain a summary prospectus, if available, or prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The summary prospectus and prospectus contain this and other important information about the fund. Please read the prospectus carefully before you invest.

Although allocation among different asset categories generally limits risk, the investment advisor may favor an asset category that underperforms other assets or markets as a whole. Bond investments are subject to interest-rate and credit risks. When interest rates rise, bond prices generally fall. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increased volatility. Stocks may decline in value. See the prospectus for details.

DWS Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.

NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY

Performance Summary April 30, 2010

Average Annual Total Returns as of 4/30/10

Unadjusted for Sales Charge

6-Month‡

1-Year

3-Year

5-Year

10-Year

 

Class A

9.38%

27.22%

-2.08%

2.67%

0.65%

 

Class B

8.83%

26.24%

-2.53%

2.25%

-0.01%

 

Class C

8.92%

26.14%

-2.89%

1.82%

-0.20%

 

Adjusted for the Maximum Sales Charge

 

 

 

 

 

 

Class A (max 5.75% load)

3.09%

19.90%

-3.99%

1.46%

0.05%

 

Class B (max 4.00% CDSC)

4.83%

23.24%

-3.14%

2.07%

-0.01%

 

Class C (max 1.00% CDSC)

7.92%

26.14%

-2.89%

1.82%

-0.20%

 

No Sales Charges

 

 

 

 

 

Life of Class S*

Class S

9.65%

27.50%

-1.83%

2.91%

N/A

2.40%

Institutional Class

9.57%

27.59%

-1.77%

2.98%

0.96%

N/A

Russell 1000® Index+

16.77%

40.21%

-4.71%

3.07%

0.16%

2.64%

Barclays Capital US Aggregate Bond Index++

2.54%

8.30%

6.32%

5.38%

6.43%

5.56%

Blended Index+++

9.95%

28.27%

-0.34%

4.50%

2.88%

4.11%

Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.

‡ Total returns shown for periods less than one year are not annualized.
* Class S shares commenced operations on March 14, 2005. Index returns began on March 31, 2005.

Performance in the Average Annual Total Returns table above and the Growth of an Assumed $10,000 Investment line graph that follows is historical and does not guarantee future results. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit www.dws-investments.com for the Fund's most recent month-end performance. Performance includes reinvestment of all distributions. Unadjusted returns do not reflect sales charges and would have been lower if they had.

The gross expense ratios of the Fund, as stated in the fee table of the prospectus dated March 1, 2010 are 0.99%, 1.91%, 1.82%, 0.81% and 0.58% for Class A, Class B, Class C, Class S and Institutional Class shares, respectively, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report.

Equity index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. Fixed income index returns, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest into an index.

Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

Growth of an Assumed $10,000 Investment (Adjusted for Maximum Sales Charge)

[] DWS Balanced Fund — Class A

[] Russell 1000 Index+

[] Barclays Capital US Aggregate Bond Index++

[] Blended Index+++

bal_g10k280

Yearly periods ended April 30

The Fund's growth of an assumed $10,000 investment is adjusted for the maximum sales charge of 5.75%. This results in a net initial investment of $9,425.

The growth of $10,000 is cumulative.

Performance of other share classes will vary based on the sales charges and the fee structure of those classes.

+ The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index.
++ The Barclays Capital US Aggregate Bond Index is an unmanaged, market-value-weighted measure of Treasury issues, corporate bond issues and mortgage securities.
+++ The Blended Index consists of the Barclays Capital US Aggregate Bond Index (27%), Russell 1000 Growth Index (20%), Russell 1000 Value Index (20%), MSCI EAFE Index (8%), Russell 2000 Index (6%), Merrill Lynch 3 Month Treasury Bill Index (5%), Barclays Capital Global Inflation-Linked Index (5%), Credit Suisse High Yield Index (3%), MSCI Emerging Markets Index (3%) and the MSCI EAFE Small Cap Index (3%).

Net Asset Value and Distribution Information

 

Class A

Class B

Class C

Class S

Institutional Class

Net Asset Value:

4/30/10

$ 8.68

$ 8.69

$ 8.67

$ 8.69

$ 8.70

10/31/09

$ 8.10

$ 8.11

$ 8.08

$ 8.10

$ 8.11

Distribution Information:

Six Months as of 4/30/10:

Income Dividends

$ .10

$ .07

$ .07

$ .12

$ .12

Capital Gain Distributions

$ .07

$ .07

$ .07

$ .07

$ .07

Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 4/30/10

Period

Rank

 

Number of Fund Classes Tracked

Percentile Ranking (%)

Class A

1-Year

273

of

486

57

3-Year

326

of

453

72

5-Year

297

of

365

82

10-Year

166

of

181

92

Class B

1-Year

304

of

486

63

3-Year

352

of

453

78

5-Year

320

of

365

88

10-Year

173

of

181

96

Class C

1-Year

308

of

486

64

3-Year

365

of

453

81

5-Year

331

of

365

91

10-Year

176

of

181

97

Class S

1-Year

269

of

486

56

3-Year

313

of

453

69

5-Year

279

of

365

77

Institutional Class

1-Year

266

of

486

55

3-Year

306

of

453

68

5-Year

272

of

365

75

10-Year

160

of

181

88

Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return unadjusted for sales charges with distributions reinvested. If sales charges had been included, rankings might have been less favorable.

Information About Your Fund's Expenses

As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses for Class B shares; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (November 1, 2009 to April 30, 2010).

The tables illustrate your Fund's expenses in two ways:

• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.

• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. An account maintenance fee of $6.25 per quarter for Class S shares may apply for certain accounts whose balances do not meet the applicable minimum initial investment. This fee is not included in these tables. If it was, the estimate of expenses paid for Class S shares during the period would be higher, and account value during the period would be lower, by this amount.

Expenses and Value of a $1,000 Investment for the six months ended April 30, 2010

Actual Fund Return

Class A

Class B

Class C

Class S

Institutional Class

Beginning Account Value 11/1/09

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

Ending Account Value 4/30/10

$ 1,093.80

$ 1,088.30

$ 1,089.20

$ 1,096.50

$ 1,095.70

Expenses Paid per $1,000*

$ 4.98

$ 10.46

$ 9.32

$ 4.05

$ 3.12

Hypothetical 5% Fund Return

Class A

Class B

Class C

Class S

Institutional Class

Beginning Account Value 11/1/09

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

Ending Account Value 4/30/10

$1,020.03

$ 1,014.78

$ 1,015.87

$ 1,020.93

$ 1,021.82

Expenses Paid per $1,000*

$ 4.81

$ 10.09

$ 9.00

$ 3.91

$ 3.01

* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.

Annualized Expense Ratios

Class A

Class B

Class C

Class S

Institutional Class

DWS Balanced Fund

.96%

2.02%

1.80%

.78%

.60%

For more information, please refer to the Fund's prospectus.

Portfolio Summary

Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)

4/30/10

10/31/09

 

 

 

Common Stocks

55%

54%

Government & Agency Obligations

16%

13%

Cash Equivalents

8%

9%

Exchange-Traded Funds

8%

6%

Corporate Bonds

6%

8%

Mortgage-Backed Securities Pass-Throughs

6%

9%

Commercial Mortgage-Backed Securities

1%

1%

 

100%

100%

Sector Diversification (As a % of Equities, Corporate Bonds and Senior Bank Loans)

4/30/10

10/31/09

 

 

 

Information Technology

15%

15%

Financials

15%

17%

Health Care

12%

13%

Consumer Discretionary

12%

10%

Industrials

12%

10%

Energy

10%

11%

Consumer Staples

10%

9%

Materials

6%

6%

Telecommunication Services

4%

5%

Utilities

4%

4%

 

100%

100%

Asset allocation and sector diversification are subject to change.

Ten Largest Equity Holdings at April 30, 2010 (5.8% of Net Assets)

1. Apple, Inc.
Manufacturer of personal computers and communication solutions

0.9%

2. Microsoft Corp.
Developer of computer software

0.8%

3. Cisco Systems, Inc.
Developer of computer network products

0.6%

4. ExxonMobil Corp.
Explorer and producer of oil and gas

0.6%

5. Bank of America Corp.
Provider of commercial banking services

0.5%

6. International Business Machines Corp.
Manufacturer of computers and provider of information processing services

0.5%

7. McKesson Corp.
Provider of health care services

0.5%

8. AT&T, Inc.
Provider of communications services

0.5%

9. JPMorgan Chase & Co.
Provider of global financial services

0.5%

10. Johnson & Johnson
Provider of health care products

0.4%

Portfolio holdings are subject to change.

For more complete details about the Fund's investment portfolio, see page 11. A quarterly Fact Sheet is available upon request. Please see the Account Management Resources section for contact information.

Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. A complete list of the Fund's portfolio holdings is also posted on www.dws-investments.com from time to time. Please see the Fund's current prospectus for more information.

Investment Portfolio as of April 30, 2010 (Unaudited)

 


Shares

Value ($)

 

 

Common Stocks 55.4%

Consumer Discretionary 6.7%

Auto Components 0.4%

Autoliv, Inc.* (a)

4,600

251,850

BorgWarner, Inc.* (a)

21,300

923,142

Bridgestone Corp.

1,000

16,687

Compagnie Generale des Etablissements Michelin "B"

332

24,022

Cooper Tire & Rubber Co.

15,800

335,276

Denso Corp.

700

20,282

Johnson Controls, Inc.

70,600

2,371,454

Magna International, Inc. "A"*

400

26,304

Minth Group Ltd.

343,800

484,447

Nippon Seiki Co., Ltd.

21,000

231,114

Pirelli & C. SpA*

48,975

28,309

S&T Dynamics Co., Ltd.

20,110

286,671

Standard Motor Products, Inc.

40,800

434,928

Stanley Electric Co., Ltd.

600

12,308

 

5,446,794

Automobiles 0.3%

Bayerische Motoren Werke (BMW) AG

19,448

952,933

Daimler AG (Registered)*

2,472

127,559

Fiat SpA (a)

61,595

814,087

Ford Motor Co.*

39,200

510,384

Honda Motor Co., Ltd.

2,400

81,097

Mazda Motor Corp.

169,000

503,616

Mitsubishi Motors Corp.*

8,000

10,952

Nissan Motor Co., Ltd.*

3,000

26,276

PSA Peugeot Citroen*

354

10,556

Suzuki Motor Corp.

600

12,666

Toyota Motor Corp.

4,600

177,652

 

3,227,778

Distributors 0.2%

Genuine Parts Co.

51,159

2,189,605

Jardine Cycle & Carriage Ltd.

3,000

65,910

Li & Fung Ltd.

26,000

125,843

 

2,381,358

Diversified Consumer Services 0.2%

Career Education Corp.*

29,700

869,319

CPI Corp.

1,000

26,530

DeVry, Inc.

1,000

62,390

H&R Block, Inc.

65,408

1,197,620

Universal Technical Institute, Inc.*

8,600

206,056

 

2,361,915

Hotels Restaurants & Leisure 1.0%

Accor SA

479

27,373

Benihana, Inc. "A"*

3,100

21,111

Biglari Holdings, Inc.*

200

78,250

Bluegreen Corp.*

11,700

71,019

bwin Interactive Entertainment AG*

874

47,065

Caribou Coffee Co., Inc.* (a)

17,100

151,335

Carnival Corp. (Units)

43,959

1,833,090

Compass Group PLC

6,414

52,353

Cracker Barrel Old Country Store, Inc.

7,200

355,464

Crown Ltd.

7,270

54,981

Darden Restaurants, Inc.

53,300

2,385,175

Domino's Pizza, Inc.*

22,300

343,643

Genting Singapore PLC*

109,000

74,930

Lottomatica SpA

972

17,665

Marriott International, Inc. "A" (a)

40,918

1,504,146

McDonald's Corp.

17,700

1,249,443

OPAP SA

12,754

259,179

Paddy Power PLC

14,251

499,281

PartyGaming PLC*

57,117

268,085

REXLot Holdings Ltd.

4,925,000

588,988

Shangri-La Asia Ltd.

18,000

34,803

Sodexo

268

16,463

Starbucks Corp.

60,600

1,574,388

TABCORP Holdings Ltd.

8,322

52,566

Tatts Group Ltd.

13,216

30,264

Whitbread PLC

725

17,038

Wyndham Worldwide Corp.

3,800

101,878

 

11,709,976

Household Durables 0.3%

Advanced Digital Broadcast Holdings SA (Registered)*

4,055

158,704

American Greetings Corp. "A"

9,100

223,496

Blyth, Inc.

5,300

305,492

Electrolux AB "B"

1,828

47,255

Garmin Ltd. (a)

18,200

680,316

Husqvarna AB "B" (a)

2,800

20,708

Jarden Corp.

7,100

228,052

NVR, Inc.*

457

328,149

Panasonic Corp.

29,886

436,887

Sekisui House Ltd.

3,000

28,629

Sharp Corp.

1,000

13,048

Sony Corp.

1,500

51,277

Tempur-Pedic International, Inc.* (a)

14,200

478,540

Whirlpool Corp.

5,200

566,124

 

3,566,677

Internet & Catalog Retail 0.4%

Amazon.com, Inc.*

10,300

1,411,718

Expedia, Inc.

5,900

139,299

Liberty Media Corp. — Interactive "A"*

86,000

1,321,820

Priceline.com, Inc.* (a)

5,300

1,388,865

US Auto Parts Network, Inc.*

7,300

68,620

 

4,330,322

Leisure Equipment & Products 0.1%

Mattel, Inc.

58,800

1,355,340

Nikon Corp.

1,000

22,475

Universal Entertainment Corp.

19,100

372,046

 

1,749,861

Media 1.2%

Aegis Group PLC

104,563

206,485

British Sky Broadcasting Group PLC

4,143

38,857

Comcast Corp. "A"

147,500

2,911,650

Dex One Corp.*

819

24,824

Fairfax Media Ltd.

24,519

38,645

Gestevision Telecinco SA

1,501

21,411

JC Decaux SA*

17,186

495,097

Journal Communications, Inc. "A"*

10,400

58,968

Lagardere SCA

340

13,731

Live Nation Entertainment, Inc.*

25,400

398,526

Mediaset SpA

10,772

85,549

New York Times Co. "A"*

41,100

407,712

Omnicom Group, Inc.

1,400

59,724

Pearson PLC

3,225

51,773

Publicis Groupe

417

18,448

Reed Elsevier NV (a)

46,056

546,752

Reed Elsevier PLC

3,294

25,944

Scholastic Corp. (a)

17,600

475,376

Scripps Networks Interactive "A"

63,900

2,897,226

SES "A" (FDR)

606

13,922

Shaw Communications, Inc. "B"

2,600

48,862

Singapore Press Holdings Ltd.

46,000

137,463

SuperMedia, Inc.*

154

6,909

Television Broadcasts Ltd.

5,000

24,004

Thomson Reuters Corp. (a)

4,400

158,535

Time Warner Cable, Inc.

30,136

1,695,150

Time Warner, Inc.

39,800

1,316,584

Vertis Holdings, Inc.*

5,114

0

Viacom, Inc. "B"*

14,100

498,153

Vivendi

1,276

33,584

Walt Disney Co.

4,500

165,780

Wolters Kluwer NV

17,751

364,032

World Wrestling Entertainment, Inc. "A"

20,800

379,600

WPP PLC

72,321

768,895

Yellow Pages Income Fund (Units)

2,800

18,759

 

14,406,930

Multiline Retail 0.4%

Big Lots, Inc.* (a)

28,200

1,077,240

Canadian Tire Corp., Ltd. "A"

600

33,030

Dillard's, Inc. "A"

18,100

508,248

Dollar General Corp.*

23,900

682,823

Kohl's Corp.*

22,790

1,253,222

Marks & Spencer Group PLC

3,639

20,384

Nordstrom, Inc. (a)

39,500

1,632,535

PPR

179

23,954

Retail Ventures, Inc.*

3,200

34,624

Tuesday Morning Corp.*

44,500

251,425

 

5,517,485

Specialty Retail 1.4%

Advance Auto Parts, Inc.

25,300

1,141,030

Aeropostale, Inc.* (a)

17,200

499,488

American Eagle Outfitters, Inc.

17,200

289,132

Barnes & Noble, Inc. (a)

6,200

136,648

Big 5 Sporting Goods Corp.

13,200

223,740

Brown Shoe Co., Inc.

16,000

300,800

DSW, Inc. "A"* (a)

4,800

144,960

Esprit Holdings Ltd.

12,442

89,116

Fast Retailing Co., Ltd.

100

15,136

Hennes & Mauritz AB "B" (a)

12,936

824,623

Home Depot, Inc. (a)

55,400

1,952,850

Industria de Diseno Textil SA

2,967

182,385

J. Crew Group, Inc.*

1,300

60,411

Jo-Ann Stores, Inc.*

8,900

392,668

Jumbo SA

16,820

122,988

Kingfisher PLC

6,218

23,759

Kirkland's, Inc.*

19,900

443,173

Limited Brands, Inc. (a)

136,000

3,644,800

Nitori Co., Ltd.

4,100

321,832

Rent-A-Center, Inc.*

4,000

103,280

Ross Stores, Inc.

18,300

1,024,800

Stage Stores, Inc.

3,800

57,950

Syms Corp.*

1,200

10,932

The Finish Line, Inc. "A"

28,400

457,524

The Gap, Inc.

14,300

353,639

TJX Companies, Inc.

44,700

2,071,398

Ulta Salon, Cosmetics & Fragrance, Inc.*

17,500

404,600

Urban Outfitters, Inc.*

13,100

491,381

Yamada Denki Co., Ltd.

9,617

748,000

 

16,533,043

Textiles, Apparel & Luxury Goods 0.8%

Adidas AG

817

47,975

Carter's, Inc.*

14,100

454,302

Compagnie Financiere Richemont SA "A"

21,649

800,309

Deckers Outdoor Corp.*

3,800

534,204

Fossil, Inc.*

13,900

540,710

Gildan Activewear, Inc.*

1,100

31,924

Jones Apparel Group, Inc.

24,600

535,296

Luxottica Group SpA

1,559

42,535

LVMH Moet Hennessy Louis Vuitton SA

263

30,066

Maidenform Brands, Inc.*

1,300

29,666

NIKE, Inc. "B"

37,500

2,846,625

Oxford Industries, Inc.

10,400

224,536

Perry Ellis International, Inc.*

1,600

38,608

Quiksilver, Inc.*

72,600

386,958

Skechers USA, Inc. "A"*

13,200

506,220

Swatch Group AG (Bearer)

970

285,929

UniFirst Corp.

5,915

289,066

VF Corp.

19,126

1,652,869

Yue Yuen Industrial (Holdings) Ltd.

12,500

43,397

 

9,321,195

Consumer Staples 5.2%

Beverages 0.7%

Anheuser-Busch InBev NV (a)

3,900

189,763

Asahi Breweries Ltd.

4,900

88,205

C&C Group PLC

124,414

592,597

Carlsberg AS "B"

6,018

489,740

Central European Distribution Corp.*

10,200

353,430

Coca-Cola Amatil Ltd.

2,452

25,254

Coca-Cola Co.

16,700

892,615

Coca-Cola West Co., Ltd.

1,700

30,092

Diageo PLC

2,978

50,786

Foster's Group Ltd.

5,730

28,760

Heineken Holding NV

719

29,463

Heineken NV (a)

2,701

125,376

Kirin Holdings Co., Ltd.

9,000

129,228

National Beverage Corp.

2,500

29,000

PepsiCo, Inc.

73,894

4,819,367

Pernod Ricard SA

1,816

154,493

SABMiller PLC

1,148

36,048

Sapporo Holdings Ltd.

5,000

24,640

 

8,088,857

Food & Staples Retailing 1.3%

AEON Co., Ltd.

8,200

94,343

Alimentation Couche-Tard, Inc. "B"

1,000

18,655

Carrefour SA

15,712

769,835

Casino Guichard-Perrachon SA

562

49,670

Colruyt SA

83

20,436

CVS Caremark Corp.

63,757

2,354,546

Delhaize Group

718

59,520

FamilyMart Co., Ltd.

1,000

34,437

Koninklijke Ahold NV (a)

42,044

577,259

Kroger Co.

137,759

3,062,383

Loblaw Companies Ltd.

1,100

40,435

Metro AG (a)

4,009

240,919

Metro, Inc. "A"

1,400

61,882

Seven & I Holdings Co., Ltd.

27,374

698,955

Shoppers Drug Mart Corp.

2,200

76,041

SUPERVALU, Inc.

7,700

114,730

Sysco Corp.

46,800

1,476,072

Tesco PLC

7,300

48,560

The Andersons, Inc.

13,400

484,276

Uny Co., Ltd.

3,100

28,138

Wal-Mart Stores, Inc.

96,900

5,198,685

Wesfarmers Ltd.

3,609

96,635

Wesfarmers Ltd. (PPS)

978

26,311

Whole Foods Market, Inc.* (a)

1,500

58,530

William Morrison Supermarkets PLC

5,191

22,977

Winn-Dixie Stores, Inc.*

17,900

225,719

Woolworths Ltd.

4,436

110,589

 

16,050,538

Food Products 1.4%

Ajinomoto Co., Inc.

8,000

75,120

Archer-Daniels-Midland Co.

26,700

745,998

Campbell Soup Co.

9,300

333,498

DANONE SA* (a)

4,520

266,788

Darling International, Inc.*

28,300

268,567

Del Monte Foods Co.

17,000

253,980

Diamond Foods, Inc. (a)

11,300

482,623

General Mills, Inc.

23,655

1,683,763

Green Mountain Coffee Roasters, Inc.* (a)

3,750

272,475

Kellogg Co.

25,739

1,414,101

Kikkoman Corp.

3,000

33,103

Kraft Foods, Inc. "A"

44,865

1,328,004

Lancaster Colony Corp.

5,800

318,826

Lindt & Spruengli AG (Registered)

1

26,043

Mead Johnson Nutrition Co.

18,589

959,378

Meiji Holdings Co., Ltd.

1,000

36,131

Nestle SA (Registered)

41,844

2,042,175

Nippon Meat Packers, Inc.

3,000

37,614

Nisshin Seifun Group, Inc.

3,000

36,935

Nissin Foods Holdings Co., Ltd.

500

16,773

Sanderson Farms, Inc.

9,000

510,030

Saputo, Inc.

1,400

39,431

Sara Lee Corp.

63,000

895,860

Seneca Foods Corp. "A"*

1,800

59,112

Smithfield Foods, Inc.* (a)

58,100

1,088,794

Suedzucker AG

2,735

55,375

SunOpta, Inc.*

86,600

392,298

The Hershey Co. (a)

27,500

1,292,775

The J.M. Smucker Co.

3,400

207,638

Toyo Suisan Kaisha Ltd.

1,000

24,024

Tyson Foods, Inc. "A"

67,800

1,328,202

Unilever NV (CVA)

17,420

532,370

Unilever PLC

12,591

377,180

Viterra, Inc.*

3,000

25,399

Yakult Honsha Co., Ltd.

700

18,320

Yamazaki Baking Co., Ltd.

2,000

25,451

 

17,504,154

Household Products 0.8%

Church & Dwight Co., Inc.

13,100

907,175

Colgate-Palmolive Co.

35,240

2,963,684

Energizer Holdings, Inc.* (a)

26,700

1,631,370

Henkel AG & Co. KGaA

4,414

199,181

Kao Corp.

6,000

145,231

Kimberly-Clark Corp.

31,500

1,929,690

Oil-Dri Corp. of America

1,900

38,950

Procter & Gamble Co.

29,700

1,846,152

Unicharm Corp.

400

38,837

 

9,700,270

Personal Products 0.3%

Beiersdorf AG (a)

3,138

176,713

Elizabeth Arden, Inc.*

6,600

120,186

Estee Lauder Companies, Inc. "A" (a)

20,200

1,331,584

Herbalife Ltd.

20,000

965,000

L'Occitane International SA*

125,250

245,723

L'Oreal SA (a)

2,022

209,222

Nutraceutical International Corp.*

1,800

27,846

Prestige Brands Holdings, Inc.*

4,300

41,882

Shiseido Co., Ltd.

4,000

83,642

 

3,201,798

Tobacco 0.7%

Altria Group, Inc.

136,313

2,888,473

British American Tobacco PLC

9,297

292,001

Imperial Tobacco Group PLC

1,200

34,254

Japan Tobacco, Inc.

46

159,046

Lorillard, Inc.

6,700

525,079

Philip Morris International, Inc.

76,666

3,762,767

Reynolds American, Inc.

6,200

331,204

 

7,992,824

Energy 5.5%

Energy Equipment & Services 1.8%

AMEC PLC

54,044

681,689

Cameron International Corp.*

5,200

205,192

Complete Production Services, Inc.* (a)

33,200

500,988

Dresser-Rand Group, Inc.*

10,000

352,800

Ensco PLC (ADR)

38,166

1,800,672

Exterran Holdings, Inc.* (a)

35,200

1,026,080

Geokinetics, Inc.*

29,900

261,326

Halliburton Co.

36,428

1,116,518

Helix Energy Solutions Group, Inc.*

15,400

224,532

Helmerich & Payne, Inc.

11,100

450,882

John Wood Group PLC

44,757

251,726

Lamprell PLC

85,997

311,180

Lufkin Industries, Inc.

1,600

136,208

National-Oilwell Varco, Inc.

32,700

1,439,781

Noble Corp.*

54,639

2,157,694

Oil States International, Inc.*

24,200

1,169,102

Patterson-UTI Energy, Inc. (a)

34,400

525,976

PHI, Inc.*

2,300

47,817

Pioneer Drilling Co.*

53,300

391,222

Prosafe Production Public Ltd.*

57,800

146,120

ProSafe SE

37,080

205,426

Rowan Companies, Inc.* (a)

69,700

2,077,060

Saipem SpA

21,718

814,688

SBM Offshore NV

25,902

513,306

Schlumberger Ltd.

37,750

2,696,105

Seadrill Ltd.

2,700

68,260

Technip SA

6,739

538,541

Tecnicas Reunidas SA

4,584

279,488

Tenaris SA

2,341

47,485

TGC Industries, Inc.

2,625

10,815

Transocean Ltd.*

20,606

1,492,905

Willbros Group, Inc.*

26,800

336,340

WorleyParsons Ltd.

832

20,199

 

22,298,123

Oil, Gas & Consumable Fuels 3.7%

Alpha Natural Resources, Inc.*

50,100

2,358,708

Anadarko Petroleum Corp.

47,000

2,921,520

Arrow Energy Ltd.*

4,971

23,425

BG Group PLC

2,292

38,482

BP PLC

93,162

811,592

Canadian Natural Resources Ltd. (b)

600

46,208

Canadian Natural Resources Ltd. (b)

19,935

1,533,799

Chevron Corp.

60,346

4,914,578

Cimarex Energy Co.

16,400

1,116,512

ConocoPhillips

7,700

455,763

Contango Oil & Gas Co.* (a)

900

49,410

Cosmo Oil Co., Ltd.

12,000

32,441

Crosstex Energy, Inc.*

1,800

16,254

Devon Energy Corp.

22,900

1,541,857

EnCana Corp.

800

26,462

Eni SpA

41,577

932,049

EXCO Resources, Inc.

17,800

330,190

ExxonMobil Corp.

103,855

7,046,562

Forest Oil Corp.*

4,500

131,850

Gran Tierra Energy, Inc.*

25,300

153,318

Gulfport Energy Corp.*

14,500

181,250

Idemitsu Kosan Co., Ltd.

400

33,338

Imperial Oil Ltd.

1,000

41,987

INPEX Corp.

10

70,690

Japan Petroleum Exploration Co., Ltd.

800

40,971

JX Holdings, Inc.*

28,120

156,863

LUKOIL (ADR) (b)

7,929

452,332

LUKOIL (ADR) (b)

514

29,401

Marathon Oil Corp.

80,017

2,572,547

Murphy Oil Corp.

6,800

409,020

Newfield Exploration Co.* (a)

23,900

1,390,741

Nexen, Inc. (b)

700

17,021

Nexen, Inc. (b)

59,079

1,434,438

Northern Oil & Gas, Inc.*

17,300

281,298

Occidental Petroleum Corp.

2,900

257,114

OMV AG

9,015

324,456

Origin Energy Ltd.

6,248

93,724

Paladin Energy Ltd.*

4,138

14,992

Patriot Coal Corp.*

11,200

220,528

Peabody Energy Corp.

7,200

336,384

Pioneer Natural Resources Co.

4,600

294,998

Repsol YPF SA

14,361

337,074

Royal Dutch Shell PLC "A"

34,577

1,081,855

Royal Dutch Shell PLC "B"

2,321

70,038

Santos Ltd.

4,665

59,496

Showa Shell Sekiyu KK

4,800

32,626

Spectra Energy Corp.

15,100

352,434

Statoil ASA

54,501

1,315,660

Suncor Energy, Inc. (b)

1,568

53,641

Suncor Energy, Inc. (b)

72,277

2,469,705

Teekay Corp.

43,700

1,094,685

TonenGeneral Sekiyu KK

4,000

34,129

Total SA

22,147

1,200,079

Tullow Oil PLC

1,051

18,180

Ultra Petroleum Corp.*

15,300

730,881

USEC, Inc.* (a)

9,800

58,800

Williams Companies, Inc.

61,800

1,459,098

Woodside Petroleum Ltd.

19,701

816,815

 

44,320,269

Financials 7.3%

Capital Markets 1.0%

Affiliated Managers Group, Inc.* (a)

3,100

260,958

Ameriprise Financial, Inc.

21,077

977,130

Ashmore Group PLC

111,076

449,562

Bank of New York Mellon Corp.

12,700

395,351

BGC Partners, Inc. "A"

4,000

26,080

Calamos Asset Management, Inc. "A"

13,600

169,320

Charles Schwab Corp.

63,400

1,222,986

Credit Suisse Group AG (Registered)*

1,472

67,339

Daiwa Securities Group, Inc.

3,000

15,536

Diamond Hill Investment Group

1,200

93,648

Franklin Resources, Inc.

12,200

1,410,808

GAMCO Investors, Inc. "A"

1,100

50,611

ICAP PLC

32,334

186,123

IGM Financial, Inc.

400

16,606

Jefferies Group, Inc. (a)

18,500

503,570

Lazard Ltd. "A"

8,500

328,610

Marfin Investment Group SA*

5,032

9,676

Morgan Stanley

40,500

1,223,910

Nomura Holdings, Inc.

7,600

52,426

Oppenheimer Holdings, Inc. "A"

9,900

287,793

Partners Group Holding AG

3,100

415,154

T. Rowe Price Group, Inc. (a)

29,700

1,708,047

The Goldman Sachs Group, Inc.

12,200

1,771,440

UBS AG (Registered)*

4,839

74,760

Waddell & Reed Financial, Inc. "A"

10,400

386,048

 

12,103,492

Commercial Banks 1.7%

1st Source Corp.

5,800

110,954

Alpha Bank AE*

4,851

38,895

Australia & New Zealand Banking Group Ltd.

1,976

43,590

BancFirst Corp.

3,400

150,076

Banco Bilbao Vizcaya Argentaria SA

3,608

47,243

Banco de Sabadell SA

2,069

10,445

Banco Latinoamericano de Comercio Exterior SA "E"

10,400

147,264

Banco Popular Espanol SA

1,810

12,789

Banco Santander SA

12,321

154,795

Bancorp. Rhode Island, Inc.

700

20,069

Bank of Cyprus PCL

5,903

34,143

Bank of East Asia Ltd.

6,600

23,456

Bank of Nova Scotia

1,100

56,072

Barclays PLC

6,490

33,229

BB&T Corp.

13,500

448,740

BNP Paribas

8,975

616,862

BOC Hong Kong (Holdings) Ltd.

5,500

13,306

Cardinal Financial Corp.

11,900

130,305

Comerica, Inc.

20,300

852,600

Commerce Bancshares, Inc.

27,570

1,141,949

Commerzbank AG*

2,063

16,188

Commonwealth Bank of Australia

1,183

63,311

Community Bank System, Inc. (a)

2,200

54,274

Credit Agricole SA

1,185

16,905

Dah Sing Banking Group Ltd.*

179,400

241,522

Danske Bank AS*

6,874

178,635

DBS Group Holdings Ltd.

6,000

66,473

Dexia SA*

4,147

22,487

DnB NOR ASA (a)

20,000

235,347

East West Bancorp., Inc.

19,900

389,841

EFG Eurobank Ergasias*

2,719

21,966

Erste Group Bank AG (a)

3,122

139,435

Fukuoka Financial Group, Inc.

7,000

30,108

Hang Seng Bank Ltd.

1,500

20,465

Heartland Financial USA, Inc.

1,700

32,487

HSBC Holdings PLC

26,882

273,858

Huntington Bancshares, Inc.

175,900

1,190,843

Intesa Sanpaolo*

13,254

43,619

KBC Groep NV*

1,553

70,314

Lakeland Bancorp., Inc.

2,400

25,200

Lloyds Banking Group PLC

704,327

704,344

Mitsubishi UFJ Financial Group, Inc.

226,638

1,179,181

Mizuho Financial Group, Inc.

30,800

59,311

Mizuho Trust & Banking Co., Ltd.*

10,000

9,770

National Australia Bank Ltd.

1,465

37,443

National Bank of Canada

400

24,454

National Bank of Greece SA*

4,641

76,009

Nordea Bank AB

9,870

96,870

Oversea-Chinese Banking Corp., Ltd.

9,000

57,134

Piraeus Bank SA

1,272

9,603

PNC Financial Services Group, Inc.

18,200

1,223,222

Prosperity Bancshares, Inc. (a)

8,400

329,448

Raiffeisen International Bank-Holding AG

880

42,946

Resona Holdings, Inc.

900

11,006

Royal Bank of Canada

900

54,569

S&T Bancorp., Inc. (a)

3,200

76,960

Santander BanCorp.*

16,400

196,144

Sberbank

432,228

1,163,760

Shinsei Bank Ltd.*

9,000

11,628

Skandinaviska Enskilda Banken AB "A"*

5,129

35,335

Societe Generale

645

34,318

Southside Bancshares, Inc.

7,130

153,865

Southwest Bancorp., Inc.

12,200

178,852

Standard Chartered PLC

1,246

33,213

StellarOne Corp.

2,900

43,239

Sumitomo Mitsui Financial Group, Inc.

38,418

1,267,464

Sumitomo Trust & Banking Co., Ltd.

3,000

18,200

Susquehanna Bancshares, Inc. (a)

14,500

158,050

Svenska Handelsbanken AB "A" (a)

1,666

46,968

The 77 Bank Ltd.

8,000

45,549

The Bancorp., Inc.*

5,700

50,559

The Bank of Yokohama Ltd.

2,000

10,452

The Shizuoka Bank Ltd.

3,000

25,184

Toronto-Dominion Bank

600

44,595

Umpqua Holdings Corp.

28,800

430,272

UniCredit SpA*

31,060

81,465

United Overseas Bank Ltd.

2,000

29,303

Webster Financial Corp.

25,400

526,288

Wells Fargo & Co.

125,000

4,138,750

Westpac Banking Corp.

2,232

55,471

Wing Hang Bank Ltd.

54,000

547,878

Yadkin Valley Financial Corp. (a)

3,500

16,030

 

20,555,162

Consumer Finance 0.6%

Advance America Cash Advance Centers, Inc.

64,100

366,652

American Express Co.

38,400

1,771,008

AmeriCredit Corp.* (a)

51,100

1,223,334

Capital One Financial Corp. (a)

63,700

2,765,217

Discover Financial Services

66,000

1,020,360

Kiatnakin Bank PCL

315,700

261,010

Nelnet, Inc. "A"

500

9,980

ORIX Corp.

210

19,233

 

7,436,794

Diversified Financial Services 1.3%

Bank of America Corp.

364,736

6,503,243

Citigroup, Inc.*

109,800

479,826

Compass Diversified Holdings

700

10,164

Deutsche Boerse AG

429

33,421

Encore Capital Group, Inc.*

9,700

223,197

Financiere Marc de Lacharriere SA

5,274

261,835

Groupe Bruxelles Lambert SA

647

54,836

Hellenic Exchanges SA

18,700

153,787

Hong Kong Exchanges & Clearing Ltd.

2,700

44,235

ING Groep NV (CVA)*

69,302

620,348

IntercontinentalExchange, Inc.*

7,100

828,073

Investor AB "B" (a)

662

12,580

JPMorgan Chase & Co.

132,435

5,639,082

Mitsubishi UFJ Lease & Finance Co., Ltd.

310

12,014

NewStar Financial, Inc.*

14,000

107,240

PHH Corp.* (a)

20,800

471,952

Pohjola Bank PLC "A"

3,799

41,804

Singapore Exchange Ltd.

5,000

29,686

 

15,527,323

Insurance 2.1%

Aegon NV*

8,236

57,655

Ageas* (a)

22,551

69,352

Allianz SE (Registered)* (a)

3,352

384,815

Allied World Assurance Co. Holdings Ltd.

6,600

287,562

Allstate Corp.

93,126

3,042,426

American Equity Investment Life Holding Co. (a)

8,300

87,316

American Safety Insurance Holdings Ltd.*

4,600

74,428

AMP Ltd.

3,058

17,583

Aon Corp.

7,100

301,466

Arch Capital Group Ltd.*

2,300

173,834

Assicurazioni Generali SpA (a)

1,739

36,658

Assurant, Inc.

54,944

2,001,610

Aviva PLC

1,867

9,880

AXA Asia Pacific Holdings Ltd.

1,676

9,594

AXA SA (a)

1,813

36,037

Axis Capital Holdings Ltd.

40,100

1,249,917

Chubb Corp.

16,000

845,920

Citizens, Inc.*

1,600

11,216

CNA Financial Corp.* (a)

10,100

284,012

EMC Insurance Group, Inc.

600

14,556

Endurance Specialty Holdings Ltd.

6,300

232,155

Fidelity National Financial, Inc. "A"

87,838

1,333,381

Great-West Lifeco, Inc.

500

13,571

Hallmark Financial Services, Inc.*

3,200

37,472

Hannover Rueckversicherung AG (Registered)*

234

10,988

Hartford Financial Services Group, Inc.

20,600

588,542

HCC Insurance Holdings, Inc.

44,234

1,202,722

Horace Mann Educators Corp.

11,000

189,310

Infinity Property & Casualty Corp.

2,000

92,260

Insurance Australia Group Ltd.

3,370

11,848

Kansas City Life Insurance Co.

1,000

34,000

Lincoln National Corp.

93,959

2,874,206

Loews Corp.

14,800

551,152

Manulife Financial Corp.

1,500

27,053

MetLife, Inc.

34,121

1,555,235

Mitsui Sumitomo Insurance Group Holdings, Inc.

600

17,236

Muenchener Rueckversicherungs-Gesellschaft AG (Registered)

213

30,102

National Financial Partners Corp.*

21,100

324,729

NKSJ Holdings, Inc.*

2,000

14,521

NYMAGIC, Inc.

2,600

57,720

PartnerRe Ltd.

30,227

2,345,011

Platinum Underwriters Holdings Ltd.

15,400

573,034

PMA Capital Corp. "A"*

8,200

56,334

Power Corp. of Canada

600

16,645

Power Financial Corp.

400

12,128

Presidential Life Corp.

2,000

23,560

ProAssurance Corp.*

9,200

560,740

Prudential PLC

1,794

15,888

QBE Insurance Group Ltd.

1,226

23,855

Reinsurance Group of America, Inc.

15,300

789,939

Safety Insurance Group, Inc.

4,080

152,143

Sampo Oyj "A"

8,131

200,629

SCOR SE

488

11,498

State Auto Financial Corp.

2,800

50,092

Suncorp-Metway Ltd.

1,450

11,975

Swiss Reinsurance Co., Ltd. (Registered)

602

26,243

The Travelers Companies, Inc.

23,000

1,167,020

Tokio Marine Holdings, Inc.

1,100

32,761

Topdanmark AS*

246

30,277

Trygvesta AS

406

24,945

Vienna Insurance Group

558

27,360

XL Capital Ltd. "A"

29,400

523,320

Zurich Financial Services AG

183

40,801

 

24,910,238

Real Estate Investment Trusts 0.4%

American Capital Agency Corp. (REIT)

4,600

126,546

Annaly Capital Management, Inc. (REIT)

73,700

1,249,215

Ashford Hospitality Trust (REIT)*

51,600

479,880

Brandywine Realty Trust (REIT)

7,000

89,180

Colonial Properties Trust (REIT)

6,500

102,505

Dynex Capital, Inc. (REIT)

12,800

118,656

Equity Residential (REIT)

13,200

597,564

First Industrial Realty Trust, Inc. (REIT)* (a)

26,111

208,366

HCP, Inc. (REIT)

9,700

311,564

Hospitality Properties Trust (REIT)

6,700

177,483

Lexington Realty Trust (REIT)

23,299

164,957

Link (REIT)

8,000

19,793

National Retail Properties, Inc. (REIT) (a)

23,300

548,249

Nippon Building Fund, Inc. (REIT)

2

16,789

PS Business Parks, Inc. (REIT)

8,500

510,000

Unibail-Rodamco SE (REIT)

113

21,295

Washington Real Estate Investment Trust (REIT) (a)

8,800

276,760

Wereldhave NV (REIT)

152

12,688

Westfield Group (REIT) (Units)

2,826

33,435

 

5,064,925

Real Estate Management & Development 0.1%

Brookfield Asset Management, Inc. "A"

1,000

25,379

CapitaLand Ltd.

9,000

24,289

Cheung Kong (Holdings) Ltd.

2,000

24,785

China Housing & Land Development, Inc.*

23,600

81,656

Daito Trust Construction Co., Ltd.

300

16,061

Daiwa House Industry Co., Ltd.

2,000

21,484

Hang Lung Properties Ltd.

7,000

25,245

Henderson Land Development Co., Ltd.

4,000

25,042

Immofinanz AG* (a)

26,836

114,852

K Wah International Holdings Ltd.

645,000

231,880

Midland Holdings Ltd.

658,000

608,277

Mitsubishi Estate Co., Ltd.

2,000

36,152

Mitsui Fudosan Co., Ltd.

2,000

37,229

Sumitomo Realty & Development Co., Ltd.

14,000

288,236

Sun Hung Kai Properties Ltd.

3,000

41,848

Swire Pacific Ltd. "A"

3,000

33,479

Wharf Holdings Ltd.

5,000

27,043

 

1,662,937

Thrifts & Mortgage Finance 0.1%

Brookline Bancorp., Inc.

44,200

485,758

Dime Community Bancshares

600

7,650

First Defiance Financial Corp.

5,500

74,250

NewAlliance Bancshares, Inc. (a)

30,900

402,627

Provident Financial Services, Inc. (a)

34,300

452,074

Provident New York Bancorp.

7,000

71,890

 

1,494,249

Health Care 7.0%

Biotechnology 0.9%

Actelion Ltd. (Registered)*

371

14,930

Amgen, Inc.*

62,900

3,607,944

Celgene Corp.*

58,300

3,611,685

Cephalon, Inc.* (a)

1,200

77,040

CSL Ltd.

6,737

202,156

Gilead Sciences, Inc.*

43,020

1,706,603

Intercell AG* (a)

783

20,835

Metabolix, Inc.* (a)

14,500

180,815

Myriad Genetics, Inc.*

27,600

662,676

OncoGenex Pharmaceutical, Inc.*

3,100

68,200

Talecris Biotherapeutics Holdings Corp.

18,100

339,375

ZymoGenetics, Inc.*

8,000

47,520

 

10,539,779

Health Care Equipment & Supplies 1.0%

Align Technology, Inc.* (a)

500

8,490

Baxter International, Inc.

20,874

985,670

Becton, Dickinson & Co.

19,774

1,510,140

bioMerieux

251

27,209

Cochlear Ltd.

838

57,102

Coloplast AS "B"

863

96,494

Covidien PLC

34,900

1,674,851

Edwards Lifesciences Corp.*

17,300

1,783,284

Essilor International SA

2,535

154,911

ev3, Inc.*

15,000

286,950

Hill-Rom Holdings, Inc. (a)

34,300

1,087,653

Hospira, Inc.*

24,400

1,312,476

Nobel Biocare Holding AG (Registered)

11,402

250,470

NxStage Medical, Inc.* (a)

30,700

390,504

Olympus Corp.

2,000

60,043

Smith & Nephew PLC

5,175

53,721

Somanetics Corp.*

19,800

400,554

Sonova Holding AG (Registered)

186

23,199

Synthes, Inc.

309

35,198

Terumo Corp.

1,600

81,535

Thoratec Corp.* (a)

17,300

771,407

William Demant Holding AS*

749

51,379

Zimmer Holdings, Inc.*

24,000

1,461,840

 

12,565,080

Health Care Providers & Services 2.4%

Alfresa Holdings Corp.

600

30,153

Amedisys, Inc.*

4,400

253,352

AMERIGROUP Corp.*

15,600

565,344

AmerisourceBergen Corp.

53,600

1,653,560

BioScrip, Inc.*

26,500

236,910

Cardinal Health, Inc.

40,600

1,408,414

Catalyst Health Solutions, Inc.*

3,700

156,547

Centene Corp.*

8,700

199,230

Community Health Systems, Inc.* (a)

29,100

1,189,026

Continucare Corp.*

16,200

54,270

CorVel Corp.*

500

16,650

Coventry Health Care, Inc.* (a)

91,100

2,162,714

Diagnosticos da America

44,200

383,961

Emergency Medical Services Corp. "A"*

10,000

528,800

Express Scripts, Inc.*

26,700

2,673,471

Fleury SA*

23,600

240,718

Fresenius Medical Care AG & Co. KGaA

34,174

1,852,090

Genoptix, Inc.* (a)

4,800

185,712

Health Management Associates, Inc. "A"*

4,800

44,736

Healthspring, Inc.*

27,200

478,720

Humana, Inc.*

27,000

1,234,440

Magellan Health Services, Inc.*

12,800

540,288

McKesson Corp.

92,391

5,987,861

Medco Health Solutions, Inc.*

20,400

1,201,968

Medipal Holdings Corp.

1,400

17,416

Molina Healthcare, Inc.*

16,400

478,388

National Healthcare Corp.

1,800

63,648

Odyssey HealthCare, Inc.*

9,700

202,051

Omnicare, Inc.

6,600

183,414

Owens & Minor, Inc.

30,500

959,225

Providence Service Corp.*

15,900

264,099

Res-Care, Inc.*

1,700

19,788

Sonic Healthcare Ltd.

4,249

54,143

Suzuken Co., Ltd.

600

22,928

Triple-S Management Corp. "B"* (a)

16,600

302,120

UnitedHealth Group, Inc.

27,900

845,649

Universal American Financial Corp.*

30,400

466,640

WellPoint, Inc.*

30,239

1,626,858

 

28,785,302

Health Care Technology 0.1%

athenahealth, Inc.* (a)

6,600

191,532

M3, Inc. (a)

75

270,664

MedQuist, Inc.

3,300

30,723

Merge Healthcare, Inc.*

50,559

125,386

 

618,305

Life Sciences Tools & Services 0.3%

Accelrys, Inc.*

16,600

116,034

Albany Molecular Research, Inc.*

2,800

22,400

Cambrex Corp.*

13,400

58,826

ICON PLC (ADR)* (a)

16,000

466,720

Life Technologies Corp.* (a)

9,200

503,332

Lonza Group AG (Registered)

286

22,436

QIAGEN NV* (a)

21,900

503,730

Thermo Fisher Scientific, Inc.*

30,588

1,690,905

 

3,384,383

Pharmaceuticals 2.3%

Abbott Laboratories

31,900

1,632,004

Astellas Pharma, Inc.

4,600

161,436

AstraZeneca PLC

9,005

398,155

Bayer AG (a)

5,229

334,552

Caraco Pharmaceutical Laboratories Ltd.*

22,600

145,770

Chugai Pharmaceutical Co., Ltd.

2,000

36,277

Cornerstone Therapeutics, Inc.*

4,800

33,552

Daiichi Sankyo Co., Ltd.

6,400

111,345

Dainippon Sumitomo Pharma Co., Ltd.

2,800

23,094

Eisai Co., Ltd.

2,600

89,070

Eli Lilly & Co.

14,100

493,077

Flamel Technologies SA (ADR)* (a)

49,700

428,414

Forest Laboratories, Inc.*

22,700

618,802

GlaxoSmithKline PLC

62,257

1,152,993

H. Lundbeck AS (a)

2,343

38,365

Hi-Tech Pharmacal Co., Inc.* (a)

19,100

464,703

Hisamitsu Pharmaceutical Co., Inc.

600

22,163

Impax Laboratories, Inc.*

28,500

515,850

Ipsen SA

486

23,159

Johnson & Johnson

84,166

5,411,874

Kyowa Hakko Kirin Co., Ltd.

2,000

20,888

Lannett Co., Inc.* (a)

2,900

13,601

Medicis Pharmaceutical Corp. "A"

19,600

497,448

Merck & Co., Inc.

82,847

2,902,959

Mitsubishi Tanabe Pharma Corp.

2,000

26,527

Novartis AG (Registered)

8,882

453,170

Novo Nordisk AS "B"

14,208

1,160,473

Ono Pharmaceutical Co., Ltd.

900

37,188

Par Pharmaceutical Companies, Inc.*

18,700

507,518

Perrigo Co.

20,700

1,263,321

Pfizer, Inc.

171,011

2,859,304

Questcor Pharmaceuticals, Inc.*

70,900

690,566

Roche Holding AG (Genusschein)

3,136

495,278

Sanofi-Aventis*

16,356

1,119,951

Santarus, Inc.* (a)

48,100

157,768

Santen Pharmaceutical Co., Ltd.

1,100

35,129

Shionogi & Co., Ltd.

3,000

53,962

Shire PLC

3,953

87,224

Taisho Pharmaceutical Co., Ltd.

1,000

18,217

Takeda Pharmaceutical Co., Ltd.

6,900

296,948

Teva Pharmaceutical Industries Ltd. (ADR)

43,731

2,568,322

Tsumura & Co.

900

26,206

ViroPharma, Inc.*

39,500

502,440

VIVUS, Inc.* (a)

29,300

298,567

 

28,227,630

Industrials 6.9%

Aerospace & Defense 1.7%

BAE Systems PLC

12,694

66,725

BE Aerospace, Inc.*

16,100

478,331

Bombardier, Inc. "B"

4,700

24,522

CAE, Inc.

2,600

23,804

Cubic Corp.

12,300

458,913

Finmeccanica SpA

5,719

73,173

General Dynamics Corp.

5,300

404,708

Honeywell International, Inc.

42,371

2,011,351

ITT Corp.

24,500

1,361,465

L-3 Communications Holdings, Inc.

17,728

1,658,809

Ladish Co., Inc.*

3,600

98,964

Lockheed Martin Corp.

22,680

1,925,305

Northrop Grumman Corp.

41,200

2,794,596

Raytheon Co.

35,900

2,092,970

Rockwell Collins, Inc.

29,100

1,891,500

Rolls-Royce Group PLC*

6,433

56,812

Rolls-Royce Group PLC "C" (Interim Shares)*

578,970

886

Singapore Technologies Engineering Ltd.

12,000

27,554

TransDigm Group, Inc.

19,900

1,099,873

United Technologies Corp.

58,246

4,365,538

 

20,915,799

Air Freight & Logistics 0.2%

Atlas Air Worldwide Holdings, Inc.*

9,800

541,646

Deutsche Post AG (Registered)

1,211

19,610

FedEx Corp.

5,700

513,057

TNT NV

2,538

77,910

Toll Holdings Ltd.

4,606

30,101

United Parcel Service, Inc. "B"

16,800

1,161,552

Yamato Holdings Co., Ltd.

2,000

28,759

 

2,372,635

Airlines 0.2%

Alaska Air Group, Inc.*

10,400

430,664

Cathay Pacific Airways Ltd.*

19,000

39,351

Deutsche Lufthansa AG (Registered)*

905

15,103

Hawaiian Holdings, Inc.*

45,600

323,760

Iberia Lineas Aereas de Espana SA*

7,961

26,397

Korean Air Lines Co., Ltd.*

6,100

381,512

Ryanair Holdings PLC (ADR)*

11,700

329,472

Singapore Airlines Ltd.

3,000

32,926

SkyWest, Inc.

29,500

441,910

Southwest Airlines Co.

26,900

354,542

 

2,375,637

Building Products 0.3%

Armstrong World Industries, Inc.*

6,700

291,785

Asahi Glass Co., Ltd.

2,000

23,652

Assa Abloy AB "B" (a)

1,200

27,910

Compagnie de Saint-Gobain

14,926

729,007

Daikin Industries Ltd.

400

15,156

Geberit AG (Registered)

186

33,083

Owens Corning, Inc.* (a)

47,700

1,659,006

Universal Forest Products, Inc.

1,900

79,895

Wienerberger AG*

21,730

407,357

 

3,266,851

Commercial Services & Supplies 0.6%

Babcock International Group PLC (a)

53,170

475,438

Brambles Ltd.

9,183

61,148

Consolidated Graphics, Inc.*

10,300

431,673

Dai Nippon Printing Co., Ltd.

1,000

13,795

Daiseki Co., Ltd. (a)

14,000

307,445

G4S PLC

8,103

33,123

Kimball International, Inc. "B"

5,200

41,808

M&F Worldwide Corp.*

2,000

61,320

R.R. Donnelley & Sons Co.

113,100

2,430,519

Ritchie Bros. Auctioneers, Inc.

900

21,184

Schawk, Inc.

10,800

204,660

Secom Co., Ltd.

300

12,977

Serco Group PLC

50,255

480,338

Standard Register Co. (a)

12,700

65,405

Stericycle, Inc.*

28,300

1,666,870

The Brink's Co.

14,800

394,124

United Stationers, Inc.*

7,300

446,906

World Color Press, Inc.*

825

9,982

 

7,158,715

Construction & Engineering 0.3%

ACS, Actividades de Construccion y Servicios SA

1,263

56,815

Aecom Technology Corp.* (a)

15,000

451,050

Bouygues SA* (a)

9,464

471,464

Chicago Bridge & Iron Co. NV (NY Registered Shares)* (a)

16,400

384,416

EMCOR Group, Inc.*

2,900

82,824

Ferrovial SA

3,856

33,990

JGC Corp.

1,000

17,134

Koninklijke Boskalis Westminster NV

888

40,320

Leighton Holdings Ltd.

851

28,782

Shaw Group, Inc.*

32,500

1,244,100

Shui On Construction & Materials Ltd.

172,000

250,555

Skanska AB "B"

1,600

26,656

SNC-Lavalin Group, Inc.

800

39,724

URS Corp.*

6,000

308,100

Vinci SA

5,723

320,518

 

3,756,448

Electrical Equipment 0.8%

A.O. Smith Corp.

8,400

433,692

ABB Ltd. (Registered)*

12,420

239,021

Alstom SA

416

24,589

AMETEK, Inc. (a)

55,500

2,400,375

Emerson Electric Co.

49,170

2,568,149

EnerSys*

1,800

46,584

Gamesa Corp. Tecnologica SA

2,181

26,957

Mitsubishi Electric Corp.

3,000

26,783

Prysmian SpA (a)

51,061

917,361

Regal-Beloit Corp.

9,000

569,430

Renewable Energy Corp. ASA*

8,000

27,448

Rockwell Automation, Inc.

3,300

200,376

Roper Industries, Inc.

32,600

1,989,252

Schneider Electric SA

412

47,064

Sumitomo Electric Industries Ltd.

1,500

18,521

Vestas Wind Systems AS*

1,946

118,717

 

9,654,319

Industrial Conglomerates 0.7%

3M Co.

27,600

2,447,292

Carlisle Companies, Inc.

31,600

1,192,268

General Electric Co.

149,500

2,819,570

Hutchison Whampoa Ltd.

22,000

150,745

Keppel Corp., Ltd.

8,000

56,831

Koninklijke (Royal) Philips Electronics NV

5,988

202,345

NWS Holdings Ltd.

12,000

20,906

Orkla ASA (a)

20,400

171,957

SembCorp Industries Ltd.

7,000

21,294

Siemens AG (Registered)

10,303

1,018,582

Tredegar Corp.

27,800

474,268

 

8,576,058

Machinery 1.1%

AB SKF "B" (a)

460

9,258

Atlas Copco AB "A" (a)

1,993

32,369

Atlas Copco AB "B"

209

3,060

Austal Ltd.

140,515

306,284

Bucyrus International, Inc.

3,800

239,438

Cummins, Inc.

10,300

743,969

Dover Corp.

44,340

2,315,435

Eaton Corp.

2,400

185,184

FANUC Ltd.

7,917

936,496

Gardner Denver, Inc.

5,700

286,653

Graham Corp.

5,800

103,530

Greenbrier Companies, Inc.*

5,700

92,796

Hitachi Construction Machinery Co., Ltd.

600

12,754

Illinois Tool Works, Inc.

6,200

316,820

Joy Global, Inc.

10,800

613,548

Komatsu Ltd.

61,460

1,240,368

Kone Oyj "B"

3,354

148,172

Kubota Corp.

2,000

17,589

MAN SE

54

5,113

Metso Corp.

2,681

103,474

Mitsubishi Heavy Industries Ltd.

5,000

20,126

Nordson Corp.

8,000

574,560

Oshkosh Corp.*

26,300

1,015,706

Parker Hannifin Corp.

30,600

2,116,908

Rational AG

2,200

353,164

Sandvik AB* (a)

2,914

42,181

Scania AB "B"

809

14,245

Schindler Holding AG

266

23,386

SMC Corp.

300

43,057

Tennant Co.

5,000

172,450

Timken Co.

24,900

875,982

Vallourec SA

105

20,991

Volvo AB "B"*

2,241

27,737

Wartsila Corp.

1,476

75,779

Watts Water Technologies, Inc. "A"

8,900

315,772

Zardoya Otis SA

2,082

32,550

 

13,436,904

Marine 0.1%

A P Moller-Maersk AS "A" (a)

4

32,263

A P Moller-Maersk AS "B" (a)

101

837,862

International Shipholding Corp.

6,500

197,210

Kuehne & Nagel International AG (Registered)

248

25,799

Mitsui O.S.K Lines Ltd.

37,960

286,021

Orient Overseas International Ltd.*

2,500

18,818

 

1,397,973

Professional Services 0.2%

Adecco SA (Registered)

573

33,771

Brunel International NV

2,539

92,850

Capita Group PLC

1,502

18,339

Diamond Management & Technology Consultants, Inc.

5,000

40,600

Experian PLC

2,421

22,401

FTI Consulting, Inc.*

12,300

505,899

Michael Page International PLC

70,685

462,197

Randstad Holding NV*

598

30,485

SFN Group, Inc.*

53,400

456,570

SGS SA (Registered)

21

27,244

Volt Information Sciences, Inc.*

6,800

85,272

 

1,775,628

Road & Rail 0.2%

AMERCO*

1,900

118,655

Asciano Group*

14,876

23,051

Avis Budget Group, Inc.*

8,300

125,496

Canadian National Railway Co.

1,900

113,705

Canadian Pacific Railway Ltd.

800

47,159

Central Japan Railway Co.

2

16,294

ComfortDelGro Corp., Ltd.

25,000

28,457

DSV AS

1,933

34,417

East Japan Railway Co.

500

33,396

Kansas City Southern*

3,200

129,760

Kintetsu Corp.

10,000

31,567

MTR Corp., Ltd.

20,000

70,000

Norfolk Southern Corp.

30,900

1,833,297

Northgate PLC*

56,723

183,994

Odakyu Electric Railway Co., Ltd.

3,000

25,029

Tokyu Corp.

3,000

12,557

 

2,826,834

Trading Companies & Distributors 0.4%

Aircastle Ltd.

39,900

479,199

Applied Industrial Technologies, Inc.

17,200

529,416

CAI International, Inc.*

5,200

70,772

Finning International, Inc.

1,800

35,139

Itochu Corp.

2,000

17,395

Marubeni Corp.

3,000

17,774

MISUMI Group, Inc.

19,500

387,778

Mitsubishi Corp.

38,409

911,436

Mitsui & Co., Ltd.

59,686

900,613

Noble Group Ltd.

11,000

23,803

PT AKR Corporindo Tbk

2,479,000

280,364

Sumitomo Corp.

1,600

19,363

WESCO International, Inc.* (a)

14,200

576,804

Willis Lease Finance Corp.*

2,100

29,484

Wolseley PLC*

995

25,024

 

4,304,364

Transportation Infrastructure 0.1%

Abertis Infraestructuras SA

3,075

53,054

Atlantia SpA

20,025

427,367

Intoll Group (Units)

11,440

11,889

Koninklijke Vopak NV

5,303

433,506

Transurban Group (Units)

6,919

32,675

 

958,491

Information Technology 9.2%

Communications Equipment 1.3%

Acme Packet, Inc.* (a)

4,000

104,560

Alcatel-Lucent*

15,034

47,980

Brocade Communications Systems, Inc.*

142,969

927,869

Cisco Systems, Inc.* (a)

270,530

7,282,667

Harris Corp.

12,700

653,796

InterDigital, Inc.* (a)

4,800

132,816

JDS Uniphase Corp.*

6,900

89,631

Loral Space & Communications, Inc.*

9,600

413,376

NETGEAR, Inc.*

18,100

489,786

Nokia Oyj* (a)

11,356

138,205

Oplink Communications, Inc.*

800

12,088

Plantronics, Inc. (a)

15,900

527,880

QUALCOMM, Inc.

86,270

3,342,100

Research In Motion Ltd.*

3,600

256,586

Telefonaktiebolaget LM Ericsson "B"

66,338

771,397

Tellabs, Inc.

17,500

158,900

 

15,349,637

Computers & Peripherals 2.0%

Apple, Inc.*

43,980

11,484,058

Compal Electronics, Inc.

256,755

355,663

Dell, Inc.*

15,400

249,172

Diebold, Inc. (a)

10,400

326,040

EMC Corp.*

116,890

2,222,079

Fujitsu Ltd.

4,000

28,312

Hewlett-Packard Co.

90,297

4,692,735

Lexmark International, Inc. "A"*

8,000

296,400

NEC Corp.

9,000

29,731

SanDisk Corp.*

24,800

989,272

Seagate Technology*

72,700

1,335,499

Teradata Corp.*

27,200

790,704

Toshiba Corp.*

11,000

63,074

Western Digital Corp.*

32,300

1,327,207

 

24,189,946

Electronic Equipment, Instruments & Components 1.1%

Agilysys, Inc.

21,200

230,020

Anixter International, Inc.*

6,500

340,600

Arrow Electronics, Inc.*

73,000

2,226,500

Avnet, Inc.*

55,200

1,764,744

AVX Corp.

10,000

154,500

Benchmark Electronics, Inc.*

24,300

525,852

Coherent, Inc.*

14,300

537,251

CTS Corp.

36,000

378,000

DDi Corp.*

4,100

35,096

Fujifilm Holdings Corp.

1,000

34,329

Hirose Electric Co., Ltd.

100

10,804

Hitachi Ltd.*

7,000

30,719

Hoya Corp.

800

22,005

IBIDEN Co., Ltd.

600

21,429

Ingram Micro, Inc. "A"*

34,700

630,152

Insight Enterprises, Inc.*

4,300

64,629

Itron, Inc.* (a)

8,900

708,529

Jabil Circuit, Inc.

87,100

1,334,372

Keyence Corp.

100

23,849

Kingboard Chemical Holdings Ltd.

117,500

634,619

Kyocera Corp.

300

29,507

Murata Manufacturing Co., Ltd.

400

23,545

Nan Ya Printed Circuit Board Corp.

52,000

214,727

Nidec Corp.

6,500

673,557

Nippon Electric Glass Co., Ltd.

1,000

15,258

OMRON Corp.

1,700

39,582

Plexus Corp.*

10,000

370,500

Rotork PLC

12,332

265,097

Smart Modular Technologies (WWH), Inc.*

58,000

407,160

TDK Corp.

300

18,993

Tech Data Corp.*

8,200

351,780

Venture Corp., Ltd.*

65,000

465,110

Vishay Intertechnology, Inc.* (a)

111,600

1,161,756

 

13,744,571

Internet Software & Services 0.8%

AOL, Inc.*

4,600

107,456

EarthLink, Inc.

55,600

501,512

Google, Inc. "A"* (a)

9,990

5,249,146

IAC/InterActiveCorp.*

73,900

1,656,838

Internet Initiative Japan, Inc.

129

316,524

LivePerson, Inc.*

42,500

351,050

LogMeIn, Inc.*

1,200

28,068

Meetic*

6,939

190,639

ModusLink Global Solutions, Inc.*

24,600

219,678

NIC, Inc.

33,400

235,470

United Internet AG (Registered)*

25,500

384,746

Yahoo! Japan Corp.

28

10,700

 

9,251,827

IT Services 1.1%

Accenture PLC "A"

20,940

913,822

Amdocs Ltd.*

3,000

95,820

Atos Origin SA*

562

28,369

Automatic Data Processing, Inc.

30,763

1,333,884

Cap Gemini SA

17,391

882,346

CGI Group, Inc. "A"*

2,000

29,612

CIBER, Inc.*

43,800

173,886

Cognizant Technology Solutions Corp. "A"*

8,200

419,676

Computer Sciences Corp.*

10,800

565,812

DST Systems, Inc.

7,300

309,885

iGATE Corp.

53,700

664,806

Indra Sistemas SA

1,676

33,422

International Business Machines Corp.

47,640

6,145,560

Lionbridge Technologies, Inc.*

9,800

53,018

MAXIMUS, Inc.

8,100

501,471

Ness Technologies, Inc.*

16,100

104,167

Telvent GIT SA*

12,500

361,250

Unisys Corp.*

17,700

495,954

VeriFone Holdings, Inc.*

26,400

502,392

 

13,615,152

Office Electronics 0.1%

Canon, Inc.

23,934

1,092,706

Konica Minolta Holdings, Inc.

1,000

12,588

Neopost SA

285

22,656

Ricoh Co., Ltd.

3,000

51,278

Xerox Corp.

58,600

638,740

 

1,817,968

Semiconductors & Semiconductor Equipment 1.0%

ARM Holdings PLC

156,391

605,266

ASML Holding NV

5,337

173,970

Broadcom Corp. "A"

87,480

3,017,185

Cirrus Logic, Inc.*

24,500

311,395

Entegris, Inc.*

11,600

71,804

Infineon Technologies AG*

2,406

17,065

Intel Corp.

166,100

3,792,063

Lam Research Corp.*

6,300

255,465

Lattice Semiconductor Corp.*

87,100

459,017

Micron Technology, Inc.* (a)

61,100

571,285

Photronics, Inc.*

42,100

229,445

RF Micro Devices, Inc.* (a)

52,500

295,050

ROHM Co., Ltd.

200

14,874

STMicroelectronics NV

4,632

43,329

Texas Instruments, Inc.

56,000

1,456,560

Tokyo Electron Ltd.

300

19,827

Volterra Semiconductor Corp.*

18,200

436,072

 

11,769,672

Software 1.8%

Autonomy Corp. PLC*

5,621

154,673

Check Point Software Technologies Ltd.*

27,200

968,864

Concur Technologies, Inc.* (a)

27,500

1,152,525

Dassault Systemes SA

485

31,644

ePlus, Inc.*

900

16,749

Manhattan Associates, Inc.*

16,200

464,292

Microsoft Corp.

314,700

9,610,938

MicroStrategy, Inc. "A"* (a)

5,000

383,000

Nintendo Co., Ltd.

3,159

1,061,709

Norkom Group PLC*

92,646

197,190

Oracle Corp.

154,900

4,002,616

Renaissance Learning, Inc. (a)

1,800

25,578

Rovi Corp.*

7,300

284,554

SAP AG

3,778

182,008

Solera Holdings, Inc.

16,300

633,581

Symantec Corp.*

63,500

1,064,895

The Sage Group PLC

33,540

125,709

TIBCO Software, Inc.*

18,900

215,460

TiVo, Inc.*

21,500

376,680

Trend Micro, Inc.

500

16,819

VanceInfo Technologies, Inc. (ADR)* (a)

20,000

477,000

VMware, Inc. "A"*

8,900

548,596

 

21,995,080

Materials 3.2%

Chemicals 1.5%

A. Schulman, Inc. (a)

14,100

366,741

Air Liquide SA

760

87,947

Air Products & Chemicals, Inc.

26,599

2,042,271

Akzo Nobel NV

2,155

126,671

Asahi Kasei Corp.

4,000

22,346

Ashland, Inc.

26,900

1,602,164

BASF SE (a)

15,988

934,825

Cabot Corp.

8,900

289,606

Celanese Corp. "A"

24,700

790,153

Cytec Industries, Inc.

9,500

456,570

E.I. du Pont de Nemours & Co.

47,000

1,872,480

Ferro Corp.*

9,600

104,832

Givaudan SA (Registered)

43

37,431

Huntsman Corp.

76,800

876,288

Incitec Pivot Ltd.

4,325

12,738

Innophos Holdings, Inc.

4,600

131,054

JSR Corp.

600

12,199

K+S AG

233

13,374

Koninklijke DSM NV

1,511

67,360

Kuraray Co., Ltd.

1,000

13,115

Linde AG

4,399

526,020

Lubrizol Corp.

13,700

1,237,658

LyondellBasell Industries "A"*

5,703

118,052

LyondellBasell Industries "B"*

5,148

115,830

Mitsubishi Chemical Holdings Corp.

3,500

18,672

Nitto Denko Corp.

500

19,575

Omnova Solutions, Inc.*

59,600

455,940

PolyOne Corp.*

44,500

503,295

Potash Corp. of Saskatchewan, Inc.

500

55,242

Praxair, Inc.

21,515

1,802,312

Shin-Etsu Chemical Co., Ltd.

15,891

917,613

Showa Denko KK

5,000

11,439

Solvay SA

1,533

145,842

Stepan Co.

6,200

469,650

Sumitomo Chemical Co., Ltd.

6,000

28,358

Syngenta AG (Registered)

534

135,597

Taiyo Nippon Sanso Corp.

4,000

35,970

Teijin Ltd.

4,000

12,675

The Mosaic Co.

29,000

1,483,060

Toray Industries, Inc.

4,000

22,822

Ube Industries Ltd.

4,000

10,061

Umicore* (a)

3,301

120,048

W.R. Grace & Co.*

2,200

63,558

Westlake Chemical Corp. (a)

3,500

98,280

Yara International ASA

4,380

152,896

 

18,420,630

Construction Materials 0.2%

CRH PLC (b)

8,310

233,133

CRH PLC (b)

32,762

932,970

HeidelbergCement AG (a)

13,499

839,086

Holcim Ltd. (Registered)*

1,277

95,759

Lafarge SA

989

71,938

Martin Marietta Materials, Inc. (a)

2,800

268,464

 

2,441,350

Containers & Packaging 0.4%

Boise, Inc.*

18,700

128,843

FP Corp.

4,300

197,790

Owens-Illinois, Inc.*

47,800

1,694,032

Sonoco Products Co.

59,965

1,986,640

Temple-Inland, Inc.

15,300

356,796

Toyo Seikan Kaisha Ltd.

800

13,712

 

4,377,813

Metals & Mining 0.7%

Agnico-Eagle Mines Ltd.

300

19,028

Anglo American PLC*

1,879

80,475

ArcelorMittal

3,095

121,925

Barrick Gold Corp.

1,600

69,777

BHP Billiton Ltd.

23,103

844,010

BHP Billiton PLC

2,896

88,972

Cliffs Natural Resources, Inc.

6,700

418,951

Freeport-McMoRan Copper & Gold, Inc.

35,800

2,703,974

Goldcorp, Inc.

1,300

56,195

Ivanhoe Mines Ltd.*

800

12,735

JFE Holdings, Inc.

2,200

79,259

Kinross Gold Corp. (b)

1,300

24,828

Kinross Gold Corp. (b)

62,114

1,178,303

Kobe Steel Ltd.

9,000

20,307

Mitsubishi Materials Corp.*

4,000

11,889

Newcrest Mining Ltd.

837

25,163

Nippon Steel Corp.

24,000

85,828

Norsk Hydro ASA*

16,600

128,613

North American Palladium Ltd.*

51,400

239,010

Northam Platinum Ltd.

35,301

249,737

OneSteel Ltd.

3,472

11,139

Outokumpu Oyj

1,840

39,054

Randgold Resources Ltd. (ADR) (a)

3,500

294,840

Rautaruukki Oyj (a)

1,934

40,693

Reliance Steel & Aluminum Co.

9,200

449,052

Rio Tinto Ltd.

759

49,378

Rio Tinto PLC

1,711

86,310

SSAB AB "A"

3,897

69,009

SSAB AB "B"

2,451

38,479

Steel Dynamics, Inc.

29,600

465,016

Sumitomo Metal Industries Ltd.

17,000

46,272

Sumitomo Metal Mining Co., Ltd.

2,000

29,638

Sutor Technology Group Ltd.*

13,500

37,125

Teck Resources Ltd. "B"*

800

31,439

ThyssenKrupp AG

652

21,356

Vedanta Resources PLC

477

18,381

Vista Gold Corp.*

45,700

113,793

voestalpine AG

9,985

376,954

Xstrata PLC

16,112

266,811

 

8,943,718

Paper & Forest Products 0.4%

Buckeye Technologies, Inc.*

18,200

256,984

Clearwater Paper Corp.* (a)

7,542

480,275

Domtar Corp.* (a)

5,700

403,788

Holmen AB "B"

1,156

29,309

International Paper Co.

52,700

1,409,198

KapStone Paper & Packaging Corp.*

21,400

276,060

MeadWestvaco Corp.

12,200

331,474

Nippon Paper Group, Inc.

500

14,077

OJI Paper Co., Ltd.

3,000

14,149

Schweitzer-Mauduit International, Inc.

12,500

711,500

Stora Enso Oyj "R"

10,870

91,151

Svenska Cellulosa AB "B" (a)

10,942

143,331

UPM-Kymmene Oyj

9,755

140,840

 

4,302,136

Telecommunication Services 2.2%

Diversified Telecommunication Services 1.7%

AT&T, Inc.

224,347

5,846,483

BCE, Inc. (b)

48,023

1,445,492

BCE, Inc. (b)

6,100

183,276

Belgacom SA (a)

11,484

402,751

BT Group PLC

32,185

62,328

Cable & Wireless Communications PLC

10,538

9,945

Cable & Wireless Worldwide PLC*

10,538

13,931

CenturyTel, Inc.

76,035

2,593,554

Deutsche Telekom AG (ADR)

92,692

1,111,377

Deutsche Telekom AG (Registered)

44,506

578,717

France Telecom SA

48,917

1,072,275

Frontier Communications Corp. (a)

21,600

171,936

HickoryTech Corp.

4,800

40,656

Iliad SA

233

23,274

Koninklijke (Royal) KPN NV (a)

35,041

523,911

Nippon Telegraph & Telephone Corp.

7,800

316,610

Qwest Communications International, Inc.

194,500

1,017,235

Singapore Telecommunications Ltd.

125,000

277,358

SureWest Communications*

3,500

30,100

Swisscom AG (Registered)

1,626

551,209

Tele2 AB "B"

3,037

51,623

Telecom Italia SpA*

280,109

392,056

Telecom Italia SpA (RSP)*

168,869

190,742

Telefonica SA

23,900

536,718

Telenor ASA*

22,700

324,316

TeliaSonera AB

15,956

109,597

Telstra Corp., Ltd.

99,975

292,653

Telus Corp.

700

24,856

Telus Corp. (Non-Voting Shares)

600

22,197

Verizon Communications, Inc.

98,497

2,845,578

 

21,062,754

Wireless Telecommunication Services 0.5%

American Tower Corp. "A"*

28,800

1,175,328

China Mobile Ltd.

25,741

252,033

KDDI Corp.

45

218,171

Millicom International Cellular SA (SDR)

604

52,903

Mobistar SA

2,118

129,642

NTT DoCoMo, Inc.

235

365,539

Rogers Communications, Inc. "B"

3,600

128,328

Softbank Corp.

11,200

250,672

StarHub Ltd.

15,000

25,420

USA Mobility, Inc.*

33,300

464,202

Vodafone Group PLC

434,456

965,798

Vodafone Group PLC (ADR)

82,725

1,836,495

 

5,864,531

Utilities 2.2%

Electric Utilities 1.4%

Allegheny Energy, Inc. (a)

77,877

1,696,161

American Electric Power Co., Inc.

44,362

1,521,617

Chubu Electric Power Co., Inc.

5,700

132,318

Chugoku Electric Power Co., Inc.

1,200

22,915

CLP Holdings Ltd.

18,000

126,070

Duke Energy Corp.

63,122

1,059,187

E.ON AG (a)

2,824

104,283

Edison International

22,500

773,325

EDP — Energias de Portugal SA

34,697

123,337

Electricite de France

11,684

628,592

Enel SpA

33,938

176,998

Entergy Corp.

16,241

1,320,231

Exelon Corp.

50,598

2,205,567

FirstEnergy Corp.

67,499

2,556,187

Fortis, Inc.

4,700

129,784

Fortum Oyj

60,733

1,573,537

Hokkaido Electric Power Co., Inc.

1,900

36,885

Hokuriku Electric Power Co.

1,600

33,028

HongKong Electric Holdings Ltd.

11,500

67,934

Iberdrola SA

13,150

104,752

IDACORP, Inc.

15,100

544,808

Kansai Electric Power Co., Inc.

6,500

144,600

Kyushu Electric Power Co., Inc.

3,200

64,743

PNM Resources, Inc.

38,600

524,574

Scottish & Southern Energy PLC

4,572

75,425

Shikoku Electric Power Co., Inc.

1,500

40,151

Southern Co.

39,038

1,349,153

SP Ausnet

149,825

122,284

Tohoku Electric Power Co., Inc.

4,600

93,769

Tokyo Electric Power Co., Inc.

10,900

273,474

 

17,625,689

Gas Utilities 0.1%

Enagas

870

17,381

Gas Natural SDG SA

1,085

18,584

Hong Kong & China Gas Co., Ltd.

39,600

96,070

National Fuel Gas Co.

4,500

234,090

Osaka Gas Co., Ltd.

22,000

76,503

Snam Rete Gas SpA

9,690

45,914

Southwest Gas Corp.

9,400

292,340

Toho Gas Co., Ltd.

6,000

30,336

Tokyo Gas Co., Ltd.

19,000

80,609

 

891,827

Independent Power Producers & Energy Traders 0.1%

Calpine Corp.*

10,100

137,663

Constellation Energy Group, Inc.

6,300

222,705

Drax Group PLC

2,119

11,717

EDP Renovaveis SA*

6,197

44,021

Electric Power Development Co., Ltd.

1,000

30,817

Iberdrola Renovables SA

4,169

16,174

International Power PLC

8,058

40,713

NRG Energy, Inc.*

33,267

804,063

TransAlta Corp.

5,900

121,392

 

1,429,265

Multi-Utilities 0.6%

AGL Energy Ltd.

43,712

604,717

Ameren Corp.

8,000

207,680

Canadian Utilities Ltd. "A"

1,800

80,396

Centrica PLC

22,726

101,851

Consolidated Edison, Inc.

7,800

352,560

DTE Energy Co.

11,600

558,772

GDF Suez (a)

2,378

84,732

Integrys Energy Group, Inc. (a)

21,500

1,066,615

MDU Resources Group, Inc.

10,000

212,000

National Grid PLC

8,812

85,087

NSTAR

6,700

245,220

PG&E Corp. (a)

62,513

2,738,069

Public Service Enterprise Group, Inc.

13,100

420,903

RWE AG

838

68,572

Suez Environnement Co.

863

18,719

United Utilities Group PLC

4,223

34,646

Veolia Environnement

995

31,266

 

6,911,805

Water Utilities 0.0%

Severn Trent PLC

1,502

26,618

Total Common Stocks (Cost $554,695,708)

669,394,411

 

Preferred Stocks 0.0%

Consumer Discretionary 0.0%

Porsche Automobil Holding SE

418

24,287

Volkswagen AG

394

37,989

 

62,276

Consumer Staples 0.0%

Henkel AG & Co. KGaA (a)

5,958

318,822

Health Care 0.0%

Fresenius SE

295

21,347

Total Preferred Stocks (Cost $334,351)

402,445

 

Rights 0.0%

Industrials

Renewable Energy Corp. ASA, Expiration Date 5/20/2010* (Cost $0)

4,000

5,547

 

Warrants 0.0%

Consumer Discretionary 0.0%

Readers Digest Association, Inc., Expiration Date 2/15/2017*

207

0

Financials 0.0%

Henderson Land Development Co., Ltd., Expiration Date 12/31/2011*

800

340

New ASAT (Finance) Ltd., Expiration Date 2/1/2011*

75,400

0

 

340

Industrials 0.0%

World Color Press, Inc., Expiration Date 7/20/2014*

934

4,437

Information Technology 0.0%

Kingboard Chemical Holdings Ltd., Expiration Date 10/31/12*

12,800

25,614

Materials 0.0%

Ashland, Inc., Expiration Date 3/31/2029*

506

0

Total Warrants (Cost $90,209)

30,391

 

Principal
Amount ($) (c)

Value ($)

 

 

Corporate Bonds 5.7%

Consumer Discretionary 0.6%

AMC Entertainment, Inc.:

 

8.0%, 3/1/2014

 

135,000

137,025

 

8.75%, 6/1/2019

 

120,000

127,200

American Achievement Corp., 144A, 8.25%, 4/1/2012

 

45,000

44,888

Ameristar Casinos, Inc., 9.25%, 6/1/2014

 

75,000

78,750

Asbury Automotive Group, Inc.:

 

7.625%, 3/15/2017

 

105,000

100,800

 

8.0%, 3/15/2014

 

50,000

50,187

CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015**

 

75,000

34,500

Carrols Corp., 9.0%, 1/15/2013

 

45,000

46,012

CBS Corp., 7.875%, 7/30/2030

 

1,250,000

1,418,785

Clear Channel Worldwide Holdings, Inc.:

 

Series A, 144A, 9.25%, 12/15/2017

 

15,000

16,013

 

Series B, 144A, 9.25%, 12/15/2017

 

20,000

21,425

DirecTV Holdings LLC, 144A, 6.35%, 3/15/2040

 

196,000

202,459

DISH DBS Corp.:

 

6.625%, 10/1/2014

 

130,000

131,300

 

7.125%, 2/1/2016

 

95,000

96,425

Dollarama Group Holdings LP, 7.206%***, 8/15/2012 (d)

 

108,000

108,000

Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015**

 

100,000

1,375

Goodyear Tire & Rubber Co., 10.5%, 5/15/2016

 

45,000

50,119

Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015

 

90,000

89,212

Hertz Corp., 8.875%, 1/1/2014

 

195,000

201,337

Isle of Capri Casinos, Inc., 7.0%, 3/1/2014

 

50,000

46,250

Lamar Media Corp., Series C, 6.625%, 8/15/2015

 

20,000

19,400

MGM MIRAGE:

 

144A, 10.375%, 5/15/2014

 

65,000

71,175

 

144A, 11.125%, 11/15/2017

 

85,000

96,581

NBC Universal, Inc., 144A, 5.15%, 4/30/2020

 

310,000

313,618

Norcraft Holdings LP, 9.75%, 9/1/2012

 

114,000

107,872

Penske Automotive Group, Inc., 7.75%, 12/15/2016

 

180,000

176,400

Sabre Holdings Corp., 8.35%, 3/15/2016

 

80,000

77,200

Simmons Co., 10.0%, 12/15/2014**

 

310,000

5,813

Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013

 

25,000

25,565

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

 

638,000

779,239

Time Warner Cable, Inc., 8.25%, 2/14/2014

 

500,000

590,229

Time Warner, Inc., 5.875%, 11/15/2016

 

540,000

599,589

Travelport LLC:

 

4.877%***, 9/1/2014

 

70,000

67,725

 

9.875%, 9/1/2014

 

15,000

15,769

Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015**

 

20,000

100

United Components, Inc., 9.375%, 6/15/2013

 

15,000

15,075

UPC Holding BV, 144A, 7.75%, 1/15/2014

EUR

90,000

122,239

Vertis, Inc., 13.5%, 4/1/2014 (PIK)

 

124,028

53,332

Viacom, Inc., 6.875%, 4/30/2036

 

700,000

765,509

WMG Acquisition Corp., 144A, 9.5%, 6/15/2016

 

70,000

75,600

Young Broadcasting, Inc., 8.75%, 1/15/2014**

 

430,000

989

 

6,981,081

Consumer Staples 0.6%

Anheuser-Busch InBev Worldwide, Inc., 144A, 7.75%, 1/15/2019

 

1,750,000

2,106,363

CVS Caremark Corp.:

 

6.125%, 9/15/2039

 

925,000

948,561

 

6.25%, 6/1/2027

 

1,200,000

1,284,971

General Nutrition Centers, Inc., 5.75%***, 3/15/2014 (PIK)

 

55,000

52,387

Kraft Foods, Inc., 5.375%, 2/10/2020

 

2,510,000

2,603,407

North Atlantic Trading Co., 144A, 10.0%, 3/1/2012

 

526,750

460,906

SUPERVALU, Inc., 8.0%, 5/1/2016

 

35,000

35,613

 

7,492,208

Energy 0.6%

Anadarko Petroleum Corp., 6.45%, 9/15/2036

 

750,000

779,101

Atlas Energy Operating Co., LLC, 10.75%, 2/1/2018

 

185,000

204,887

Belden & Blake Corp., 8.75%, 7/15/2012

 

416,000

395,200

Bristow Group, Inc., 7.5%, 9/15/2017

 

95,000

96,069

Chaparral Energy, Inc., 8.5%, 12/1/2015

 

120,000

117,000

Chesapeake Energy Corp.:

 

6.25%, 1/15/2018

 

50,000

48,250

 

6.875%, 1/15/2016

 

45,000

44,888

 

6.875%, 11/15/2020

 

25,000

24,375

DCP Midstream LLC, 144A, 9.75%, 3/15/2019

 

850,000

1,106,809

El Paso Corp., 7.25%, 6/1/2018

 

90,000

93,547

Enterprise Products Operating LLC, 6.125%, 10/15/2039

 

860,000

879,547

Frontier Oil Corp., 6.625%, 10/1/2011

 

65,000

65,406

KCS Energy, Inc., 7.125%, 4/1/2012

 

345,000

345,000

Kinder Morgan Energy Partners LP:

 

5.625%, 2/15/2015

 

197,000

215,804

 

6.5%, 9/1/2039

 

300,000

317,966

 

7.3%, 8/15/2033

 

1,140,000

1,318,140

Linn Energy LLC, 144A, 11.75%, 5/15/2017

 

120,000

136,800

Newfield Exploration Co., 7.125%, 5/15/2018

 

135,000

139,050

OPTI Canada, Inc.:

 

7.875%, 12/15/2014

 

125,000

119,063

 

8.25%, 12/15/2014

 

45,000

43,200

Petrohawk Energy Corp., 7.875%, 6/1/2015

 

50,000

51,625

Plains Exploration & Production Co., 7.0%, 3/15/2017

 

65,000

64,350

Quicksilver Resources, Inc., 7.125%, 4/1/2016

 

80,000

77,400

Regency Energy Partners LP:

 

8.375%, 12/15/2013

 

105,000

108,413

 

144A, 9.375%, 6/1/2016

 

125,000

134,062

Stone Energy Corp., 6.75%, 12/15/2014

 

95,000

87,875

Whiting Petroleum Corp., 7.25%, 5/1/2013

 

20,000

20,250

Williams Partners LP, 144A, 6.3%, 4/15/2040

 

440,000

455,794

 

7,489,871

Financials 1.9%

Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015

 

190,000

181,450

American Express Co., 7.0%, 3/19/2018

 

1,411,000

1,613,350

Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015

 

111,800

67,080

Bank of America Corp., 7.625%, 6/1/2019

 

1,550,000

1,769,353

Barclays Bank PLC:

 

Series 1, 5.0%, 9/22/2016

 

320,000

331,548

 

5.2%, 7/10/2014

 

285,000

305,676

Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014**

 

45,000

7,538

Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016

 

105,000

108,675

Citigroup, Inc.:

 

6.125%, 5/15/2018

 

1,500,000

1,555,449

 

8.5%, 5/22/2019

 

474,000

559,570

Conproca SA de CV, REG S, 12.0%, 6/16/2010

 

297,635

301,228

Credit Suisse AG, 5.4%, 1/14/2020

 

322,000

327,820

DuPont Fabros Technology LP, (REIT), 144A, 8.5%, 12/15/2017

 

60,000

62,250

FCE Bank PLC, 9.375%, 1/17/2014

EUR

100,000

143,797

Ford Motor Credit Co., LLC:

 

7.25%, 10/25/2011

 

395,000

407,987

 

9.875%, 8/10/2011

 

285,000

301,598

General Electric Capital Corp., Series A, 5.25%, 10/19/2012

 

1,750,000

1,885,557

GMAC, Inc., 6.875%, 9/15/2011

 

459,000

467,032

Hartford Financial Services Group, Inc., 5.95%, 10/15/2036

 

570,000

525,917

iPayment, Inc., 9.75%, 5/15/2014

 

80,000

73,800

KeyBank NA, 5.7%, 11/1/2017

 

950,000

958,738

Lincoln National Corp., 8.75%, 7/1/2019

 

710,000

885,677

MetLife, Inc.:

 

6.75%, 6/1/2016

 

405,000

460,620

 

7.717%, 2/15/2019

 

750,000

888,233

Morgan Stanley:

 

Series F, 6.625%, 4/1/2018

 

900,000

954,223

 

7.3%, 5/13/2019

 

450,000

494,135

National Money Mart Co., 144A, 10.375%, 12/15/2016

 

115,000

121,900

New ASAT (Finance) Ltd., 9.25%, 2/1/2011**

 

290,000

51,475

Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014

 

100,000

98,000

Pinnacle Foods Finance LLC, 144A, 9.25%, 4/1/2015

 

105,000

109,200

PNC Bank NA, 6.875%, 4/1/2018

 

1,300,000

1,448,908

Principal Financial Group, Inc., 7.875%, 5/15/2014

 

1,170,000

1,330,553

Prudential Financial, Inc.:

 

Series B, 5.1%, 9/20/2014

 

350,000

374,521

 

6.2%, 1/15/2015

 

390,000

433,543

 

7.375%, 6/15/2019

 

115,000

135,453

Rainbow National Services LLC, 144A, 10.375%, 9/1/2014

 

17,000

17,850

Simon Property Group LP, (REIT), 6.75%, 5/15/2014

 

225,000

251,440

Sprint Capital Corp.:

 

7.625%, 1/30/2011

 

75,000

76,969

 

8.375%, 3/15/2012

 

310,000

327,050

Telecom Italia Capital SA, 5.25%, 11/15/2013

 

800,000

842,299

The Goldman Sachs Group, Inc., 6.15%, 4/1/2018

 

1,500,000

1,553,854

Tropicana Entertainment LLC, 9.625%, 12/15/2014**

 

235,000

24

UCI Holdco, Inc., 8.257%***, 12/15/2013 (PIK)

 

128,302

124,453

Virgin Media Finance PLC, 8.75%, 4/15/2014

 

90,000

91,912

Wind Acquisition Finance SA:

 

144A, 11.0%, 12/1/2015

EUR

250,000

352,834

 

144A, 12.0%, 12/1/2015

 

75,000

80,063

 

23,460,602

Health Care 0.5%

Community Health Systems, Inc., 8.875%, 7/15/2015

 

425,000

446,250

Express Scripts, Inc.:

 

6.25%, 6/15/2014

 

930,000

1,042,988

 

7.25%, 6/15/2019

 

960,000

1,134,983

HCA, Inc.:

 

144A, 8.5%, 4/15/2019

 

150,000

164,812

 

9.125%, 11/15/2014

 

115,000

122,331

 

9.25%, 11/15/2016

 

430,000

464,937

 

9.625%, 11/15/2016 (PIK)

 

131,000

142,463

HEALTHSOUTH Corp., 10.75%, 6/15/2016

 

60,000

65,400

IASIS Healthcare LLC, 8.75%, 6/15/2014

 

95,000

97,613

Medco Health Solutions, Inc., 7.125%, 3/15/2018

 

1,499,000

1,741,295

Quest Diagnostics, Inc., 6.95%, 7/1/2037

 

845,000

965,543

The Cooper Companies, Inc., 7.125%, 2/15/2015

 

150,000

150,562

Valeant Pharmaceuticals International, 8.375%, 6/15/2016

 

55,000

57,750

 

6,596,927

Industrials 0.3%

Actuant Corp., 6.875%, 6/15/2017

 

60,000

59,325

ARAMARK Corp., 8.5%, 2/1/2015

 

30,000

30,788

BE Aerospace, Inc., 8.5%, 7/1/2018

 

160,000

171,200

Belden, Inc., 7.0%, 3/15/2017

 

75,000

73,875

Cenveo Corp., 144A, 10.5%, 8/15/2016

 

25,000

26,125

Congoleum Corp., 8.625%, 8/1/2008**

 

572,000

111,540

Corrections Corp. of America, 7.75%, 6/1/2017

 

30,000

31,800

CSX Corp.:

 

6.15%, 5/1/2037

 

650,000

679,014

 

6.25%, 3/15/2018

 

710,000

791,666

Esco Corp., 144A, 4.132%***, 12/15/2013

 

50,000

46,375

Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013

 

60,000

60,675

K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012

 

90,000

86,850

Kansas City Southern de Mexico SA de CV:

 

7.375%, 6/1/2014

 

65,000

66,300

 

7.625%, 12/1/2013

 

400,000

411,000

McJunkin Red Man Corp., 144A, 9.5%, 12/15/2016

 

90,000

93,713

Mobile Mini, Inc., 9.75%, 8/1/2014

 

90,000

93,825

Navios Maritime Holdings, Inc., 9.5%, 12/15/2014

 

115,000

117,875

Owens Corning, Inc., 9.0%, 6/15/2019

 

40,000

48,293

Titan International, Inc., 8.0%, 1/15/2012

 

265,000

267,650

TransDigm, Inc., 7.75%, 7/15/2014

 

45,000

45,956

United Rentals North America, Inc.:

 

7.0%, 2/15/2014

 

210,000

205,275

 

10.875%, 6/15/2016

 

130,000

146,250

 

3,665,370

Information Technology 0.1%

Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029

 

105,000

76,913

L-3 Communications Corp.:

 

5.875%, 1/15/2015

 

105,000

106,575

 

Series B, 6.375%, 10/15/2015

 

115,000

117,731

MasTec, Inc., 7.625%, 2/1/2017

 

105,000

101,981

SunGard Data Systems, Inc., 10.25%, 8/15/2015

 

255,000

268,706

Vangent, Inc., 9.625%, 2/15/2015

 

80,000

75,400

 

747,306

Materials 0.4%

Appleton Papers, Inc., 144A, 11.25%, 12/15/2015

 

45,000

40,725

Clondalkin Acquisition BV, 144A, 2.257%***, 12/15/2013

 

90,000

85,050

CPG International I, Inc., 10.5%, 7/1/2013

 

195,000

196,950

Crown Americas LLC, 144A, 7.625%, 5/15/2017

 

30,000

31,238

Domtar Corp., 10.75%, 6/1/2017

 

70,000

85,750

Dow Chemical Co., 8.55%, 5/15/2019

 

1,475,000

1,802,328

Exopack Holding Corp., 11.25%, 2/1/2014

 

255,000

268,387

GEO Specialty Chemicals, Inc.:

 

144A, 7.5%, 3/31/2015 (PIK)

 

622,934

529,494

 

10.0%, 3/31/2015

 

613,760

521,696

Georgia-Pacific LLC, 144A, 7.125%, 1/15/2017

 

50,000

52,750

Graphic Packaging International, Inc., 9.5%, 6/15/2017

 

85,000

91,375

Hexcel Corp., 6.75%, 2/1/2015

 

305,000

303,475

Innophos, Inc., 8.875%, 8/15/2014

 

35,000

36,050

Millar Western Forest Products Ltd., 7.75%, 11/15/2013

 

40,000

36,900

NewMarket Corp., 7.125%, 12/15/2016

 

195,000

194,025

Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016

 

160,000

169,600

Radnor Holdings Corp., 11.0%, 3/15/2010**

 

120,000

12

Silgan Holdings, Inc., 7.25%, 8/15/2016

 

80,000

83,400

Viskase Companies, Inc., 144A, 9.875%, 1/15/2018

 

95,000

96,900

Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK)

 

141,295

120,807

 

4,746,912

Telecommunication Services 0.4%

American Tower Corp., 7.0%, 10/15/2017

 

810,000

905,175

AT&T Mobility LLC, 6.5%, 12/15/2011

 

1,125,000

1,218,385

Cricket Communications, Inc.:

 

9.375%, 11/1/2014 (a)

 

160,000

165,400

 

10.0%, 7/15/2015

 

155,000

163,913

ERC Ireland Preferred Equity Ltd., 144A, 7.662%***, 2/15/2017 (PIK)

EUR

252,950

129,340

Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012**

 

48,802

18,545

Intelsat Corp.:

 

9.25%, 8/15/2014

 

30,000

31,050

 

9.25%, 6/15/2016

 

415,000

437,825

Intelsat Subsidiary Holding Co. SA, 8.875%, 1/15/2015

 

190,000

197,600

iPCS, Inc., 2.374%***, 5/1/2013

 

35,000

33,075

MetroPCS Wireless, Inc., 9.25%, 11/1/2014 (a)

 

205,000

212,687

Millicom International Cellular SA, 10.0%, 12/1/2013

 

270,000

280,125

Telesat Canada, 11.0%, 11/1/2015

 

245,000

274,400

Windstream Corp.:

 

7.0%, 3/15/2019

 

90,000

84,825

 

7.875%, 11/1/2017

 

90,000

89,325

 

8.625%, 8/1/2016

 

15,000

15,356

 

4,257,026

Utilities 0.3%

AES Corp.:

 

8.0%, 10/15/2017

 

110,000

113,300

 

8.0%, 6/1/2020

 

95,000

97,375

 

144A, 8.75%, 5/15/2013

 

230,000

233,450

DTE Energy Co., 7.625%, 5/15/2014

 

305,000

351,991

Energy Future Holdings Corp., 10.875%, 11/1/2017

 

65,000

51,188

FirstEnergy Solutions Corp., 6.8%, 8/15/2039

 

838,000

840,110

Kinder Morgan, Inc., 6.5%, 9/1/2012

 

45,000

47,306

Mirant Americas Generation LLC, 8.3%, 5/1/2011

 

130,000

133,575

Mirant North America LLC, 7.375%, 12/31/2013

 

60,000

61,650

NRG Energy, Inc.:

 

7.25%, 2/1/2014

 

180,000

182,475

 

7.375%, 2/1/2016

 

165,000

163,350

 

7.375%, 1/15/2017

 

260,000

256,100

NV Energy, Inc.:

 

6.75%, 8/15/2017

 

80,000

81,967

 

8.625%, 3/15/2014

 

31,000

31,814

Sempra Energy, 6.5%, 6/1/2016

 

625,000

710,603

Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015

 

105,000

78,750

 

3,435,004

Total Corporate Bonds (Cost $65,233,004)

68,872,307

 

Asset-Backed 0.2%

Automobile Receivables 0.1%

Ford Credit Auto Owner Trust, "B", Series 2007-B, 5.69%, 11/15/2012

1,517,000

1,620,108

Credit Card Receivables 0.1%

Citibank Omni Master Trust, "A8", Series 2009-A8, 144A, 2.354%***, 5/16/2016

1,300,000

1,314,447

Total Asset-Backed (Cost $2,833,875)

2,934,555

 

Mortgage-Backed Securities Pass-Throughs 5.7%

Federal Home Loan Bank, 6.0%, 11/1/2021

634,868

691,766

Federal National Mortgage Association:

 

3.629%***, 3/1/2036

 

2,631,578

2,776,315

 

4.5%, with various maturities from 9/1/2020 until 11/1/2028 (e)

 

10,593,798

10,979,242

 

4.839%***, 8/1/2037

 

1,315,787

1,384,906

 

5.0%, with various maturities from 7/1/2035 until 2/1/2038

 

18,885,606

19,688,732

 

5.5%, with various maturities from 4/1/2035 until 4/1/2038 (e)

 

14,551,795

15,366,603

 

6.0%, with various maturities from 10/1/2035 until 8/1/2037 (e)

 

15,475,631

16,519,215

 

6.5%, with various maturities from 4/1/2017 until 11/1/2034 (e)

 

575,496

623,629

 

8.0%, 9/1/2015

 

385,364

420,123

Government National Mortgage Association, 6.5%, 8/20/2034

270,925

298,092

Total Mortgage-Backed Securities Pass-Throughs (Cost $67,214,661)

68,748,623

 

Commercial Mortgage-Backed Securities 0.9%

Banc of America Commercial Mortgage, Inc.:

 

"A4", Series 2007-2, 5.689%***, 4/10/2049

 

1,500,000

1,467,713

 

"A4", Series 2007-4, 5.744%***, 2/10/2051

 

2,000,000

2,049,009

Bear Stearns Commercial Mortgage Securities, Inc., "A4", Series 2007-PW18, 5.7%, 6/11/2050

1,350,000

1,342,497

LB-UBS Commercial Mortgage Trust:

 

"A4", Series 2006-C1, 5.156%, 2/15/2031

 

2,570,000

2,641,962

 

"A3", Series 2006-C7, 5.347%, 11/15/2038

 

1,100,000

1,104,346

 

"A4", Series 2007-C6, 5.858%, 7/15/2040

 

1,800,000

1,801,412

Total Commercial Mortgage-Backed Securities (Cost $9,386,653)

10,406,939

 

Collateralized Mortgage Obligation 0.2%

FDIC Structured Sale Guaranteed Notes, "1A", Series 2010-S1, 144A, 0.823%***, 2/25/2048 (Cost $2,766,754)

2,761,348

2,769,203

 

Government & Agency Obligations 16.0%

Sovereign Bonds 3.3%

Federal Republic of Germany, 2.25%, 4/15/2013

EUR

789,042

1,129,152

Government of Canada, 4.0%, 12/1/2031

CAD

1,593,686

2,308,130

Government of France:

 

1.0%, 7/25/2017

EUR

941,662

1,280,242

 

1.6%, 7/25/2011

EUR

2,731,121

3,764,750

 

2.25%, 7/25/2020

EUR

983,596

1,442,403

 

3.15%, 7/25/2032

EUR

2,705,030

4,778,618

Government of Japan, Series 9, 1.1%, 9/10/2016

JPY

237,600,000

2,510,438

Government of Sweden, Series 3105, 3.5%, 12/1/2015

SEK

9,500,000

1,777,184

Republic of Italy, 2.1%, 9/15/2017

EUR

4,218,361

5,832,492

Republic of Poland, 6.375%, 7/15/2019

 

385,000

424,350

State of Qatar, 144A, 6.4%, 1/20/2040

 

350,000

366,625

United Kingdom Treasury-Inflation Linked Bonds:

 

1.125%, 11/22/2037

GBP

2,167,260

3,588,695

 

1.25%, 11/22/2032

GBP

504,660

837,395

 

1.875%, 11/22/2022

GBP

1,438,614

2,506,409

 

2.0%, 1/26/2035

GBP

847,000

2,037,990

 

2.5%, 8/16/2013

GBP

450,000

1,873,099

 

2.5%, 7/26/2016

GBP

398,000

1,856,501

 

2.5%, 4/16/2020

GBP

361,000

1,702,719

 

40,017,192

US Treasury Obligations 12.7%

US Treasury Bills:

 

0.18%****, 9/16/2010 (f)

 

257,000

256,814

 

0.22%****, 9/16/2010 (f)

 

15,203,000

15,191,978

US Treasury Bonds:

 

4.75%, 2/15/2037

 

7,000,000

7,304,066

 

5.375%, 2/15/2031

 

9,250,000

10,501,635

US Treasury Inflation-Indexed Bonds:

 

2.375%, 1/15/2025

 

4,168,134

4,537,731

 

3.625%, 4/15/2028

 

2,010,075

2,557,034

 

3.875%, 4/15/2029

 

1,648,025

2,184,277

US Treasury Inflation-Indexed Notes:

 

1.875%, 7/15/2015

 

668,568

716,256

 

2.0%, 1/15/2014

 

428,141

458,546

 

2.0%, 1/15/2016

 

1,748,308

1,884,622

 

2.375%, 4/15/2011

 

3,330,478

3,433,516

 

2.375%, 1/15/2017

 

2,740,613

3,015,529

 

2.5%, 7/15/2016

 

1,819,108

2,022,337

US Treasury Notes:

 

0.875%, 3/31/2011

 

20,000,000

20,081,240

 

1.75%, 1/31/2014 (a)

 

33,000,000

32,827,278

 

3.625%, 2/15/2020 (a)

 

14,000,000

13,958,434

 

4.5%, 11/15/2015 (a)

 

30,000,000

33,028,140

 

153,959,433

Total Government & Agency Obligations (Cost $189,621,514)

193,976,625

 

Loan Participations and Assignments 0.1%

Senior Loans***

Alliance Mortgage Cycle Loan, Term Loan A, 9.5%, 6/1/2010**

233,333

0

Hawker Beechcraft Acquisition Co., LLC:

 

Term Loan, 2.273%, 3/26/2014

 

49,416

42,513

 

Letter of Credit, 2.29%, 3/26/2014

 

2,939

2,529

Hexion Specialty Chemicals, Inc.:

 

Term Loan C1, 2.563%, 5/6/2013

 

119,868

115,822

 

Term Loan C2, 2.563%, 5/6/2013

 

32,276

31,187

IASIS Healthcare LLC, Term Loan, 5.588%, 6/13/2014 (PIK)

253,736

242,635

Sabre, Inc., Term Loan B, 2.273%, 9/30/2014

77,940

74,157

Sbarro, Inc., Term Loan, 4.762%, 1/31/2014

55,000

52,594

Texas Competitive Electric Holdings Co., LLC:

 

Term Loan B2, 3.751%, 10/10/2014

 

41,353

34,022

 

Term Loan B3, 3.751%, 10/10/2014

 

364,800

298,073

Total Loan Participations and Assignments (Cost $1,209,339)

893,532

 

Municipal Bonds and Notes 0.0%

Illinois, State General Obligation, 4.421%, 1/1/2015 (g) (Cost $450,000)

 

450,000

457,974

 

Preferred Securities 0.1%

Financials 0.1%

Farm Credit Bank of Texas, Series 1, 7.561%, 12/15/2013 (h)

889,000

758,557

Materials 0.0%

Hercules, Inc., 6.5%, 6/30/2029

 

141,000

115,620

Total Preferred Securities (Cost $1,027,144)

874,177

 


Shares

Value ($)

 

 

Exchange-Traded Funds 7.9%

iShares Barclays Aggregate Bond Fund

545,416

57,235,955

iShares MSCI Japan Index Fund (a)

186,293

1,935,584

Vanguard Emerging Markets

866,718

36,454,159

Total Exchange-Traded Funds (Cost $76,193,923)

95,625,698

 

Securities Lending Collateral 10.8%

Daily Assets Fund Institutional, 0.25% (i) (j) (Cost $130,131,305)

130,131,305

130,131,305

 

Cash Equivalents 8.4%

Central Cash Management Fund, 0.21% (i) (Cost $101,481,139)

101,481,139

101,481,139

 

% of Net Assets

Value ($)

 

 

Total Investment Portfolio (Cost $1,202,669,579+

111.4

1,347,004,871

Other Assets and Liabilities, Net (a)

(11.4)

(137,383,726)

Net Assets

100.0

1,209,621,145

* Non-income producing security.
** Non-income producing security. Issuer has defaulted on the payment of principal or the interest or has filed for bankruptcy. The following table represents bonds that are in default:

Security

Coupon

Maturity Date

Principal Amount ($)

Acquisition Cost ($)

Value ($)

Alliance Mortgage Cycle Loan

9.5%

6/1/2010

233,333

USD

233,333

0

Buffalo Thunder Development Authority

9.375%

12/15/2014

45,000

USD

45,000

7,538

CanWest MediaWorks LP

9.25%

8/1/2015

75,000

USD

75,000

34,500

Congoleum Corp.

8.625%

8/1/2008

572,000

USD

573,205

111,540

Fontainebleau Las Vegas Holdings LLC

11.0%

6/15/2015

100,000

USD

100,000

1,375

Grupo Iusacell Celular SA de CV

10.0%

3/31/2012

48,802

USD

46,440

18,545

New ASAT (Finance) Ltd.

9.25%

2/1/2011

290,000

USD

253,681

51,475

Radnor Holdings Corp.

11.0%

3/15/2010

120,000

USD

79,038

12

Simmons Co.

10.0%

12/15/2014

310,000

USD

256,650

5,813

Tropicana Entertainment LLC

9.625%

12/15/2014

235,000

USD

172,931

24

Trump Entertainment Resorts, Inc.

8.5%

6/1/2015

20,000

USD

19,175

100

Young Broadcasting, Inc.

8.75%

1/15/2014

430,000

USD

367,438

989

 

 

 

 

2,221,891

231,911

*** These securities are shown at their current rate as of April 30, 2010. Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
**** Annualized yield at time of purchase; not a coupon rate.
+ The cost for federal income tax purposes was $1,229,917,711. At April 30, 2010, net unrealized appreciation for all securities based on tax cost was $117,087,160. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $161,405,273 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $44,318,113.
(a) All or a portion of these securities were on loan amounting to $117,689,118. In addition, included in other assets and liabilities, net are pending sales, amounting to $7,367,180, that are also on loan (see notes to Financial Statements). The value of all securities loaned at April 30, 2010 amounted to $125,056,298 which is 10.3% of net assets.
(b) Securities with the same description are the same corporate entity but trade on different stock exchanges.
(c) Principal amount stated in US dollars unless otherwise noted.
(d) Security has deferred its 6/15/2008, 12/15/2008 and 6/15/2009 interest payments until 8/15/2012.
(e) When-issued or delayed delivery security included.
(f) At April 30, 2010, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(g) Taxable issue.
(h) Date shown is call date; not a maturity date for the perpetual preferred securities.
(i) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(j) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.

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

ADR: American Depositary Receipt

CVA: Certificaten Van Aandelen

FDIC: Federal Deposit Insurance Corp.

FDR: Fiduciary Depositary Receipt

MSCI: Morgan Stanley Capital International

PIK: Denotes that all or a portion of the income is paid in-kind.

PPS: Price Protected Shares

REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, US persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act.

REIT: Real Estate Investment Trust.

RSP: Risparmio (Convertible Savings Shares)

SDR: Swedish Depositary Receipt

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

At April 30, 2010, open futures contracts purchased were as follows:

Futures

Currency

Expiration Date

Contracts

Notional Value ($)

Unrealized Appreciation/ (Depreciation) ($)

10 Year Canadian Government Bond

CAD

6/21/2010

40

4,637,133

(31,490)

10 Year US Treasury Note

USD

6/21/2010

785

92,556,406

1,950,055

5 Year US Treasury Note

USD

6/30/2010

1,020

118,176,563

1,682,135

ASX SPI 200 Index

AUD

6/17/2010

2

222,951

457

CAC 40 Index

EUR

5/21/2010

219

10,914,120

(723,682)

DJ Euro Stoxx 50 Index

EUR

6/18/2010

598

21,879,767

(558,498)

FTSE 100 Index

GBP

6/18/2010

197

16,600,709

(134,300)

IBEX 35 Index

EUR

5/21/2010

90

12,379,687

(1,197,562)

NASDAQ E-Mini 100 Index

USD

6/18/2010

143

5,715,710

232,512

Nikkei 225 Index

USD

6/10/2010

6

330,150

1,826

Russell 2000 Mini Index

USD

6/18/2010

5

357,750

21,663

S&P 500 E-Mini Index

USD

6/18/2010

20

1,183,400

8,117

S&P TSX 60 Index

CAD

6/17/2010

1

140,618

429

TOPIX Index

JPY

6/11/2010

93

9,732,155

202,874

United Kingdom Long Gilt Bond

GBP

6/28/2010

31

5,499,217

64,651

Total net unrealized appreciation

1,519,187

At April 30, 2010, open futures contracts sold were as follows:

Futures

Currency

Expiration Date

Contracts

Notional Value ($)

Unrealized Appreciation/ (Depreciation) ($)

10 Year Australian Treasury Bond

AUD

6/15/2010

197

18,613,033

223,783

10 Year Japanese Government Bond

JPY

6/10/2010

57

84,758,184

(809,524)

10 Year US Treasury Note

USD

6/21/2010

200

23,581,250

(142,275)

2 Year US Treasury Note

USD

6/30/2010

406

88,336,719

(436,172)

AEX Index

EUR

5/21/2010

5

457,486

11,167

ASX SPI 200 Index

AUD

6/17/2010

84

9,363,940

125,700

DAX Index

EUR

6/18/2010

83

16,937,090

(51,920)

Federal Republic of Germany Euro-Bund

EUR

6/8/2010

259

43,053,960

(602,511)

Federal Republic of Germany Euro-Schatz

EUR

6/8/2010

1,210

175,911,011

(861,267)

FTSE MIB Index

EUR

6/18/2010

3

422,283

19,083

Hang Seng Index

HKD

5/28/2010

12

1,613,725

12,364

Russell 2000 Mini Index

USD

6/18/2010

80

5,724,000

(185,828)

S&P 500 E-Mini Index

USD

6/18/2010

567

33,549,390

(1,044,665)

S&P TSX 60 Index

CAD

6/17/2010

40

5,624,729

(98,677)

Total net unrealized depreciation

(3,840,742)

As of April 30, 2010, the Fund had the following open forward foreign currency exchange contracts:

Contracts to Deliver

 

In Exchange For

 

Settlement Date

Unrealized Appreciation ($)

Counterparty

USD

5,136,575

 

NZD

7,222,000

 

5/20/2010

105,748

The Goldman Sachs & Co.

JPY

2,470,625,000

 

USD

26,457,328

 

5/20/2010

150,949

Bank of New York Mellon Corp.

CAD

5,517,000

 

USD

5,522,412

 

5/20/2010

90,904

The Goldman Sachs & Co.

GBP

8,627,000

 

USD

13,340,620

 

5/20/2010

142,021

HSBC Bank USA

EUR

47,692,000

 

USD

64,626,952

 

5/20/2010

1,122,681

UBS AG

JPY

328,000,000

 

USD

3,506,521

 

6/29/2010

24,674

Credit Suisse

Total unrealized appreciation
  
  

1,636,977

Contracts to Deliver

 

In Exchange For

 

Settlement Date

Unrealized Depreciation ($)

Counterparty

USD

10,438,243

 

NOK

61,349,000

 

5/20/2010

(48,326)

UBS AG

USD

43,392,585

 

AUD

46,723,000

 

5/20/2010

(260,849)

Royal Bank of Scotland PLC

USD

9,896,391

 

SEK

70,749,000

 

5/20/2010

(127,955)

UBS AG

USD

1,341,318

 

CHF

1,420,000

 

5/20/2010

(21,432)

Royal Bank of Scotland PLC

EUR

572,100

 

USD

760,878

 

5/26/2010

(919)

Citigroup, Inc.

Total unrealized depreciation
  
  

(459,481)

Currency Abbreviations

AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
USD United States Dollar

For information on the Fund's policy and additional disclosures regarding futures contracts and forward foreign currency exchange contracts, please refer to the Derivatives section of Note A in the accompanying Notes to Financial Statements.

Fair Value Measurements

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of April 30, 2010 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.

Assets

Level 1

Level 2

Level 3

Total

 

Common Stocks and/or Other Equity Investments (k)

Consumer Discretionary

$ 66,841,304

$ 13,774,306

$ 0

$ 80,615,610

Consumer Staples

52,478,160

10,379,103

—

62,857,263

Energy

54,748,977

11,869,415

—

66,618,392

Financials

74,968,161

13,786,959

340

88,755,460

Health Care

73,995,967

10,145,859

—

84,141,826

Industrials

65,592,594

17,194,046

—

82,786,640

Information Technology

102,106,304

9,653,163

—

111,759,467

Materials

29,353,156

9,132,491

0

38,485,647

Telecommunication Services

18,937,093

7,990,192

—

26,927,285

Utilities

21,375,062

5,510,142

—

26,885,204

Fixed Income Investments (k)

Corporate Bonds

—

67,754,037

1,118,270

68,872,307

Asset Backed

—

2,934,555

—

2,934,555

Mortgage-Backed Securities Pass-Throughs

—

68,748,623

—

68,748,623

Commercial Mortgage-Backed Securities

—

10,406,939

—

10,406,939

Collateralized Mortgage Obligation

—

2,769,203

—

2,769,203

Government & Agency Obligations

—

178,527,833

—

178,527,833

Loan Participations and Assignments

—

893,532

0

893,532

Municipal Bonds and Notes

—

457,974

—

457,974

Preferred Securities

—

874,177

—

874,177

Exchange-Traded Funds

95,625,698

—

—

95,625,698

Short-Term Investments (k)

231,612,444

15,448,792

—

247,061,236

Derivatives (l)

—

1,636,977

—

1,636,977

Total

$ 887,634,920

$ 459,888,318

$ 1,118,610

$ 1,348,641,848

Liabilities

 

 

 

 

Derivatives (l)

$ (2,321,555)

$ (459,481)

$ —

$ (2,781,036)

Total

$ (2,321,555)

$ (459,481)

$ —

$ (2,781,036)

(k) See Investment Portfolio for additional detailed categorizations.
(l) Derivatives include unrealized appreciation (depreciation) on open future contracts and forward foreign currency exchange contracts.

Level 3 Reconciliation

The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value:

 

Common Stock and/or Other Equity Investments

Consumer Discretionary

Financials

Materials

Balance as of October 31, 2009

$ 0

$ 843,120

$ 0

Total realized gain (loss)

(17,340)

397,129

—

Change in unrealized appreciation (depreciation)

17,340

62,718

—

Amortization premium/discount

—

—

—

Net purchases (sales)

0

(1,302,627)

—

Net transfers in (out) of Level 3

—

—

—

Balance as of April 30, 2010

$ 0

$ 340

$ 0

Net change in unrealized appreciation (depreciation) from investments still held at April 30, 2010

$ —

$ (11,730)

$ —

 

Corporate Bonds

Loan Participations and Assignments

Total

Balance as of October 31, 2009

$ 1,139,905

$ 41,000

$ 2,024,025

Total realized gain (loss)

—

(56,269)

323,520

Change in unrealized appreciation (depreciation)

134,242

55,009

269,309

Amortization premium/discount

15,723

260

15,983

Net purchases (sales)

—

(40,000)

(1,342,627)

Net transfers in (out) of Level 3

(171,600)

—

(171,600)

Balance as of April 30, 2010

$ 1,118,270

$ —

$ 1,118,610

Net change in unrealized appreciation (depreciation) from investments still held at April 30, 2010

$ 134,242

$ —

$ 122,512

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

Financial Statements

Statement of Assets and Liabilities as of April 30, 2010 (Unaudited)

Assets

Investments:

Investments in securities, at value (cost $971,057,135) — including $117,689,118 of securities loaned

$ 1,115,392,427

Investment in Daily Assets Fund Institutional (cost $130,131,305)*

130,131,305

Investment in Central Cash Management Fund (cost $101,481,139)

101,481,139

Total investments, at value (cost $1,202,669,579)

1,347,004,871

Cash

301,197

Foreign currency, at value (cost $891,417)

881,751

Deposits with brokers for open future contracts

199

Receivable for investments sold

48,263,539

Receivable for when-issued and delayed delivery securities sold

13,051,370

Receivable for Fund shares sold

122,764

Dividends receivable

986,890

Interest receivable

3,263,293

Receivable for daily variation margin on open futures contracts

1,520,207

Unrealized appreciation on forward foreign currency exchange contracts

1,636,977

Foreign taxes recoverable

132,321

Other assets

82,891

Total assets

1,417,248,270

Liabilities

Payable upon return of securities loaned

130,131,305

Payable for investments purchased

37,625,295

Payable for when-issued and delayed delivery securities purchased

35,981,536

Payable for Fund shares redeemed

1,300,176

Unrealized depreciation on forward foreign currency exchange contracts

459,481

Accrued management fee

387,675

Other accrued expenses and payables

1,741,657

Total liabilities

207,627,125

Net assets, at value

$ 1,209,621,145

* Represents collateral of securities loaned.

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

Statement of Assets and Liabilities as of April 30, 2010 (Unaudited) (continued)

Net Assets Consist of

Undistributed net investment income

10,517,992

Net unrealized appreciation (depreciation) on:

Investments

144,335,292

Futures

(2,321,555)

Foreign currency

1,148,885

Accumulated net realized gain (loss)

(198,280,773)

Paid-in capital

1,254,221,304

Net assets, at value

$ 1,209,621,145

Net Asset Value

Class A

Net Asset Value and redemption price per share ($908,590,663 ÷ 104,624,756 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)

$ 8.68

Maximum offering price per share (100 ÷ 94.25 of $8.68)

$ 9.21

Class B

Net Asset Value, offering and redemption price (subject to contingent deferred sales charge) per share ($12,512,680 ÷ 1,440,640 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)

$ 8.69

Class C

Net Asset Value, offering and redemption price (subject to contingent deferred sales charge) per share ($22,414,968 ÷ 2,585,318 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)

$ 8.67

Class S

Net Asset Value, offering and redemption price per share ($262,451,719 ÷ 30,212,854 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)

$ 8.69

Institutional Class

Net Asset Value, offering and redemption price per share ($3,651,115 ÷ 419,904 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)

$ 8.70

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

Statement of Operations for the six months ended April 30, 2010 (Unaudited)

Investment Income

Income:
Dividends (net of foreign taxes withheld of $173,230)

$ 8,113,462

Interest

7,133,941

Income distributions — Central Cash Management Fund

112,819

Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates

102,842

Total Income

15,463,064

Expenses:
Management fee

2,212,158

Administration fee

597,880

Services to shareholders

1,174,692

Distribution and service fees

1,238,917

Custodian fee

137,093

Professional fees

63,069

Reports to shareholders

126,304

Registration fees

50,776

Trustees' fees and expenses

13,823

Other

73,352

Total expenses before expense reductions

5,688,064

Expense reductions

(2,453)

Total expenses after expense reductions

5,685,611

Net investment income

9,777,453

Realized and Unrealized Gain (Loss)

Net realized gain (loss) from:
Investments

46,300,853

Futures

4,689,726

Foreign currency

5,015,763

 

56,006,342

Change in net unrealized appreciation (depreciation) on:
Investments

45,707,317

Futures

(3,158,313)

Foreign currency

444,713

 

42,993,717

Net gain (loss)

99,000,059

Net increase (decrease) in net assets resulting from operations

$ 108,777,512

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

Statement of Changes in Net Assets

Increase (Decrease) in Net Assets

Six Months Ended April 30, 2010 (Unaudited)

Year Ended October 31, 2009

Operations:
Net investment income

$ 9,777,453

$ 24,316,423

Net realized gain (loss)

56,006,342

(152,027,550)

Change in net unrealized appreciation (depreciation)

42,993,717

290,202,445

Net increase (decrease) in net assets resulting from operations

108,777,512

162,491,318

Distributions to shareholders from:
Net investment income:

Class A

(11,128,123)

(13,882,537)

Class B

(126,177)

(258,855)

Class C

(175,213)

(160,007)

Class S

(3,521,384)

(4,511,663)

Institutional Class

(49,886)

(42,570)

Net realized gains:

Class A

(7,444,729)

—

Class B

(128,096)

—

Class C

(181,861)

—

Class S

(2,126,459)

—

Institutional Class

(28,716)

—

Total distributions

(24,910,644)

(18,855,632)

Fund share transactions:
Proceeds from shares sold

25,358,715

42,696,403

Net assets acquired in tax-free reorganization

—

59,603,712

Reinvestment of distributions

23,267,859

17,499,606

Cost of shares redeemed

(100,886,459)

(185,810,649)

Net increase (decrease) in net assets from Fund share transactions

(52,259,885)

(66,010,928)

Increase (decrease) in net assets

31,606,983

77,624,758

Net assets at beginning of period

1,178,014,162

1,100,389,404

Net assets at end of period (including undistributed net investment income of $10,517,992 and $15,741,322, respectively)

$ 1,209,621,145

$ 1,178,014,162

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

Financial Highlights

Class A

Years Ended October 31,

2010a

2009

2008

2007

2006

2005

Selected Per Share Data

Net asset value, beginning of period

$ 8.10

$ 7.11

$ 10.25

$ 9.70

$ 8.99

$ 8.68

Income (loss) from investment operations:

Net investment incomeb

.07

.16

.23

.26

.23e

.21

Net realized and unrealized gain (loss)

.68

.96

(3.05)

.61

.69

.31

Total from investment operations

.75

1.12

(2.82)

.87

.92

.52

Less distributions from:

Net investment income

(.10)

(.13)

(.23)

(.32)

(.21)

(.21)

Net realized gains

(.07)

—

(.05)

—

—

—

Tax return of capital

—

—

(.04)

—

—

—

Total distributions

(.17)

(.13)

(.32)

(.32)

(.21)

(.21)

Redemption fees

—

—

.00***

.00***

.00***

.00***

Net asset value, end of period

$ 8.68

$ 8.10

$ 7.11

$ 10.25

$ 9.70

$ 8.99

Total Return (%)c

9.38**

15.93d

(28.25)d

9.08d

10.40d,e

5.97d

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

909

885

815

1,299

1,367

1,459

Ratio of expenses before expense reductions (%)

.96*

.98

.99

.92

.97

.98

Ratio of expenses after expense reductions (%)

.96*

.97

.96

.92

.92

.96

Ratio of net investment income (%)

1.62*

2.24

2.51

2.59

2.56e

2.40

Portfolio turnover rate (%)

98**

204

276

188

98

158

a For the six months ended April 30, 2010 (Unaudited).
b Based on average shares outstanding during the period.
c Total return does not reflect the effect of any sales charges.
d Total return would have been lower had certain expenses not been reduced.
e Includes non-recurring income from the Advisor recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with sales of DWS Funds. The non-recurring income resulted in an increase in net investment income of $0.007 per share and an increase in the ratio of net investment income of 0.07%. Excluding this non-recurring income, total return would have been 0.07% lower.
* Annualized
** Not annualized
*** Amount is less than $.005.

Class B

Years Ended October 31,

2010a

2009

2008

2007

2006

2005

Selected Per Share Data

Net asset value, beginning of period

$ 8.11

$ 7.15

$ 10.30

$ 9.75

$ 9.01

$ 8.69

Income (loss) from investment operations:

Net investment incomeb

.02

.11

.22

.24

.21e

.16

Net realized and unrealized gain (loss)

.70

.95

(3.07)

.60

.70

.30

Total from investment operations

.72

1.06

(2.85)

.84

.91

.46

Less distributions from:

Net investment income

(.07)

(.10)

(.21)

(.29)

(.17)

(.14)

Net realized gains

(.07)

—

(.05)

—

—

—

Tax return of capital

—

—

(.04)

—

—

—

Total distributions

(.14)

(.10)

(.30)

(.29)

(.17)

(.14)

Redemption fees

—

—

.00***

.00***

.00***

.00***

Net asset value, end of period

$ 8.69

$ 8.11

$ 7.15

$ 10.30

$ 9.75

$ 9.01

Total Return (%)c,d

8.83**

15.19

(28.34)

8.79

10.18e

5.30

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

13

17

22

52

77

114

Ratio of expenses before expense reductions (%)

2.05*

1.90

1.90

1.89

1.99

1.94

Ratio of expenses after expense reductions (%)

2.02*

1.69

1.13

1.13

1.16

1.54

Ratio of net investment income (%)

.57*

1.51

2.34

2.37

2.32e

1.82

Portfolio turnover rate (%)

98**

204

276

188

98

158

a For the six months ended April 30, 2010 (Unaudited).
b Based on average shares outstanding during the period.
c Total return does not reflect the effect of any sales charges.
d Total return would have been lower had certain expenses not been reduced.
e Includes non-recurring income from the Advisor recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with sales of DWS Funds. The non-recurring income resulted in an increase in net investment income of $0.007 per share and an increase in the ratio of net investment income of 0.07%. Excluding this non-recurring income, total return would have been 0.07% lower.
* Annualized
** Not annualized
*** Amount is less than $.005.

Class C

Years Ended October 31,

2010a

2009

2008

2007

2006

2005

Selected Per Share Data

Net asset value, beginning of period

$ 8.08

$ 7.10

$ 10.22

$ 9.68

$ 8.97

$ 8.66

Income (loss) from investment operations:

Net investment incomeb

.03

.10

.15

.18

.16e

.14

Net realized and unrealized gain (loss)

.70

.94

(3.03)

.59

.69

.30

Total from investment operations

.73

1.04

(2.88)

.77

.85

.44

Less distributions from:

Net investment income

(.07)

(.06)

(.15)

(.23)

(.14)

(.13)

Net realized gains

(.07)

—

(.05)

—

—

—

Tax return of capital

—

—

(.04)

—

—

—

Total distributions

(.14)

(.06)

(.24)

(.23)

(.14)

(.13)

Redemption fees

—

—

.00***

.00***

.00***

.00***

Net asset value, end of period

$ 8.67

$ 8.08

$ 7.10

$ 10.22

$ 9.68

$ 8.97

Total Return (%)c

8.92**

15.11

(28.85)d

8.05

9.52d,e

5.09d

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

22

22

18

31

33

38

Ratio of expenses before expense reductions (%)

1.80*

1.81

1.82

1.75

1.77

1.86

Ratio of expenses after expense reductions (%)

1.80*

1.81

1.82

1.75

1.76

1.78

Ratio of net investment income (%)

.79*

1.39

1.65

1.75

1.72e

1.58

Portfolio turnover rate (%)

98**

204

276

188

98

158

a For the six months ended April 30, 2010 (Unaudited).
b Based on average shares outstanding during the period.
c Total return does not reflect the effect of any sales charges.
d Total return would have been lower had certain expenses not been reduced.
e Includes non-recurring income from the Advisor recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with sales of DWS Funds. The non-recurring income resulted in an increase in net investment income of $0.007 per share and an increase in the ratio of net investment income of 0.07%. Excluding this non-recurring income, total return would have been 0.07% lower.
* Annualized
** Not annualized
*** Amount is less than $.005.

Class S

Years Ended October 31,

2010a

2009

2008

2007

2006

2005b

Selected Per Share Data

Net asset value, beginning of period

$ 8.10

$ 7.11

$ 10.25

$ 9.71

$ 8.99

$ 8.98

Income (loss) from investment operations:

Net investment incomec

.08

.18

.25

.28

.25e

.14

Net realized and unrealized gain (loss)

.70

.95

(3.06)

.60

.70

.04

Total from investment operations

.78

1.13

(2.81)

.88

.95

.18

Less distributions from:

Net investment income

(.12)

(.14)

(.24)

(.34)

(.23)

(.17)

Net realized gains

(.07)

—

(.05)

—

—

—

Tax return of capital

—

—

(.04)

—

—

—

Total distributions

(.19)

(.14)

(.33)

(.34)

(.23)

(.17)

Redemption fees

—

—

.00***

.00***

.00***

.00d***

Net asset value, end of period

$ 8.69

$ 8.10

$ 7.11

$ 10.25

$ 9.71

$ 8.99

Total Return (%)

9.65**

16.17d

(28.11)d

9.17d

10.76d,e

1.97**

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

262

251

245

393

411

153

Ratio of expenses before expense reductions (%)

.78*

.80

.79

.73

.85

.79*

Ratio of expenses after expense reductions (%)

.78*

.72

.77

.73

.74

.74*

Ratio of net investment income (%)

1.81*

2.48

2.70

2.78

2.74e

2.43*

Portfolio turnover rate (%)

98**

204

276

188

98

158

a For the six months ended April 30, 2010 (Unaudited).
b For the period from March 14, 2005 (commencement of operations of Class S shares) to October 31, 2005.
c Based on average shares outstanding during the period.
d Total return would have been lower had certain expenses not been reduced.
e Includes non-recurring income from the Advisor recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with sales of DWS Funds. The non-recurring income resulted in an increase in net investment income of $0.007 per share and an increase in the ratio of net investment income of 0.07%. Excluding this non-recurring income, total return would have been 0.07% lower.
* Annualized
** Not annualized
*** Amount is less than $.005.

Institutional Class

Years Ended October 31,

2010a

2009

2008

2007

2006

2005

Selected Per Share Data

Net asset value, beginning of period

$ 8.11

$ 7.12

$ 10.26

$ 9.72

$ 9.01

$ 8.70

Income (loss) from investment operations:

Net investment incomeb

.08

.19

.26

.29

.26d

.24

Net realized and unrealized gain (loss)

.70

.95

(3.06)

.60

.69

.31

Total from investment operations

.78

1.14

(2.80)

.89

.95

.55

Less distributions from:

Net investment income

(.12)

(.15)

(.25)

(.35)

(.24)

(.24)

Net realized gains

(.07)

—

(.05)

—

—

—

Tax return of capital

—

—

(.04)

—

—

—

Total distributions

(.19)

(.15)

(.34)

(.35)

(.24)

(.24)

Redemption fees

—

—

.00***

.00***

.00***

.00***

Net asset value, end of period

$ 8.70

$ 8.11

$ 7.12

$ 10.26

$ 9.72

$ 9.01

Total Return (%)

9.57**

16.23

(27.99)c

9.32c

10.76c,d

6.32c

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

4

3

.27

.42

.42

.39

Ratio of expenses before expense reductions (%)

.60*

.57

.75

.68

.74

.69

Ratio of expenses after expense reductions (%)

.60*

.57

.71

.61

.60

.62

Ratio of net investment income (%)

1.98*

2.63

2.76

2.89

2.88d

2.74

Portfolio turnover rate (%)

98**

204

276

188

98

158

a For the six months ended April 30, 2010 (Unaudited).
b Based on average shares outstanding during the period.
c Total return would have been lower had certain expenses not been reduced.
d Includes non-recurring income from the Advisor recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with sales of DWS Funds. The non-recurring income resulted in an increase in net investment income of $0.007 per share and an increase in the ratio of net investment income of 0.07%. Excluding this non-recurring income, total return would have been 0.07% lower.
* Annualized
** Not annualized
*** Amount is less than $.005.

Notes to Financial Statements (Unaudited)

A. Organization and Significant Accounting Policies

DWS Balanced Fund (the ``Fund'') is registered under the Investment Company Act of 1940, as amended (the ``1940 Act''), as an open-end, diversified management investment company organized as a Massachusetts business trust.

The Fund offers multiple classes of shares which provide investors with different purchase options. Class A shares are offered to investors subject to an initial sales charge. Class B shares of the Fund are closed to new purchases, except exchanges or the reinvestment of dividends or other distributions. Class B shares were offered to investors without an initial sales charge and are subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions. Class B shares automatically convert to Class A shares six years after issuance. Class C shares are offered to investors without an initial sales charge but are subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions within one year of purchase. Class C shares do not automatically convert into another class. Institutional Class shares are offered to a limited group of investors, are not subject to initial or contingent deferred sales charges and have lower ongoing expenses than other classes. Class S shares are not subject to initial or contingent deferred sales charges and are generally not available to new investors except under certain circumstances.

Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares, except that each class bears certain expenses unique to that class such as distribution and service fees, administration fee, services to shareholders and certain other class-specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.

The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.

Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading. Equity securities and exchange traded funds ("ETFs") are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which the security or ETF is traded. Securities and ETFs for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.

Debt securities are valued by independent pricing services approved by the Trustees of the Fund. If the pricing services are unable to provide valuations, the securities are valued at the average of the means based on the most recent bid or evaluated price, as applicable, obtained from one or more broker-dealers. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.

Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost. Investments in open-end investments companies are valued at their net asset value each business day.

Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Trustees. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security's disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company's or issuer's financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which they trade. The value determined under these procedures may differ from published values for the same securities.

Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.

Foreign Currency Translations. The books and records of the Fund are maintained in US dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into US dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into US dollars at the prevailing exchange rates on the respective dates of the transactions.

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the disposition of forward foreign currency exchange contracts and foreign currencies, and the difference between the amount of net investment income accrued and the US dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

Securities Lending. The Fund may lend securities to certain financial institutions. The Fund retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the issuer of securities and to participate in any changes in their market value. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best efforts to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Fund or the borrower may terminate the loan. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund is also subject to all investment risks associated with the reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.

Senior Loans. Senior loans are portions of loans originated by banks and sold in pieces to investors. These US dollar-denominated fixed and floating rate loans ("Loans") in which the Fund invests, are arranged through private negotiations between the borrower 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 ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the borrower. The 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. Assignments typically result in the Fund having a direct contractual relationship with the borrower, and the Fund may enforce compliance by the borrower with the terms of the loan agreement. All Senior Loans involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower.

Mortgage Dollar Rolls. The Fund may enter into mortgage dollar rolls in which the Fund sells to a bank or broker/dealer (the "counterparty") mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities on a fixed date. The counterparty receives all principal and interest payments, including prepayments, made on the security while it is the holder. The Fund receives compensation as consideration for entering into the commitment to repurchase. The compensation is paid in the form of a lower price for the security upon its repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract.

Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of such securities may change adversely before the Fund is able to repurchase them. There can be no assurance that the Fund's use of the cash that it receives from a mortgage dollar roll will provide a return that exceeds its costs.

When-Issued/Delayed Delivery Securities. The Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.

Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.

Derivatives. Authoritative accounting guidance requires that disclosures about the Fund's derivative and hedging activities and derivatives accounted for as hedging instruments must be disclosed separately from derivatives that do not qualify for hedge accounting. Because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings, the Fund's derivatives are not accounted for as hedging instruments. As such, even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund's derivatives are not considered to be hedging instruments. The disclosure below is presented in accordance with authoritative accounting guidance.

Credit Default Swap Contracts. A credit default swap is a contract between a buyer and a seller of protection against pre-defined credit events for the reference entity. The Fund buys or sells credit default swap contracts to gain exposure to an underlying issuer's credit quality characteristics without directly investing in that issuer, or to hedge the risk of default on Fund securities. As a seller in the credit default swap contract, the Fund is required to pay the par (or other agreed-upon) value of the referenced entity to the counterparty with the occurrence of a credit event by a third party, such as a US or foreign corporate issuer, on the reference entity, which would likely result in a loss to the Fund. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund keeps the stream of payments with no payment obligations. The Fund also buys credit default swap contracts in order to hedge against the risk of a credit event on debt securities, in which case the Fund functions as the counterparty referenced above. This involves the risk that the contract may expire worthless. It also involves counterparty risk that the seller may fail to satisfy its payment obligations to the Fund with the occurrence of a credit event. When the Fund sells a credit default swap contract it will cover its commitment. This may be achieved by, among other methods, maintaining cash or liquid assets equal to the aggregate notional value of the reference entities for all outstanding credit default swap contracts sold by the Fund.

Credit default swap contracts are marked to market daily based upon quotations from a Board-approved pricing vendor and the change in value, if any, is recorded daily as unrealized gain or loss. An upfront payment made by the Fund is recorded as an asset in the Statement of Assets and Liabilities. An upfront payment received by the Fund is recorded as a liability in the Statement of Assets and Liabilities. Under the terms of the credit default swap contracts, the Fund receives or makes quarterly payments based on a specified interest rate on a fixed notional amount. These payments are recorded as a realized gain or loss in the Statement of Operations. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

There are no open credit default swap contracts as of April 30, 2010

Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). The Fund uses futures contracts to gain exposure to different parts of the yield curve while managing overall duration, and to gain an exposure to a particular asset class or to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the stock market. The Fund enters into futures contracts on global equities and bonds, including indices, as part of its global tactical asset allocation overlay strategy. As part of this strategy, the Fund uses futures contracts to attempt to take advantage of short-term and medium-term inefficiencies and relative mispricings within the global equity and bond markets.

Futures contracts are valued at the most recent settlement price. Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. Gains or losses are realized when the contract expires or is closed. Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty and guarantees the futures against default.

Certain risks may arise upon entering into futures contracts, including the risk that an illiquid market will limit the Fund's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the underlying hedged security, index or currency. Risk of loss may exceed amounts recognized in the Statement of Assets and Liabilities.

A summary of the open futures contracts as of April 30, 2010 is included in a table following the Fund's Investment Portfolio. For the six months ended April 30, 2010, the Fund invested in futures contracts with a total value generally indicative of a range from approximately $596,753,000 to $808,273,000.

Forward Foreign Currency Exchange Contracts. A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund enters into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated portfolio holdings, to facilitate transactions in foreign currency denominated securities and to enhance the total returns. The Fund also enters into forward currency contracts as part of its global tactical asset allocation overlay strategy.

Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.

A summary of the open forward foreign currency exchange contracts as of April 30, 2010 is included in a table following the Fund's Investment Portfolio. For the six months ended April 30, 2010, the Fund invested in forward foreign currency exchange contracts with a total contract value generally indicative of a range from approximately $118,396,000 to $180,914,000.

The following tables summarize the value of the Fund's derivative instruments held as of April 30, 2010 and the related location in the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:

Asset Derivatives

Forward Contracts

Foreign Exchange Contracts (a)

$ 1,636,977

 

$ 1,636,977

Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:

(a) Unrealized appreciation on forward foreign currency exchange contracts

Liability Derivatives

Forward Contracts

Futures Contracts

Total

Foreign Exchange Contracts (a)

$ (459,481)

$ —

$ (459,481)

Equity Contracts (b)

—

(3,358,940)

(3,358,940)

Interest Rate Contracts (b)

—

1,037,385

1,037,385

 

$ (459,481)

$ (2,321,555)

$ (2,781,036)

The above derivative is located in the following Statement of Assets and Liabilities accounts:

(a) Unrealized depreciation on forward foreign currency exchange contracts
(b) Net unrealized appreciation (depreciation) on open futures contracts. Receivable for daily variation margin on open futures contracts reflects unsettled variation margin.

Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the six months ended April 30, 2010 and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:

Realized Gain (Loss)

Forward Contracts

Futures Contracts

Total

Foreign Exchange Contracts (a)

$ 5,388,071

$ —

$ 5,388,071

Equity Contracts (b)

—

1,756,802

1,756,802

Interest Rate Contracts (b)

—

2,932,924

2,932,924

 

$ 5,388,071

$ 4,689,726

$ 10,077,797

Each of the above derivatives is located in the following Statement of Operations accounts:

(a) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions).
(b) Net realized gain (loss) from futures

Change in Net Unrealized Appreciation (Depreciation)

Forward Contracts

Futures Contracts

Total

Equity Contracts (a)

$ —

$ (2,672,629)

$ (2,672,629)

Interest Rate Contracts (a)

—

(485,684)

(485,684)

Foreign Exchange Contracts (b)

479,955

—

479,955

 

$ 479,955

$ (3,158,313)

$ (2,678,358)

Each of the above derivatives is located in the following Statement of Operations accounts:

(a) Change in net unrealized appreciation (depreciation) on futures
(b) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions).

Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders.

At October 31, 2009, the Fund had a net tax basis capital loss carryforward of approximately $216,837,000, including $10,349,000 inherited from its merger with DWS Value Builder Fund, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until October 31, 2015 ($3,597,000), October 31, 2016 ($55,109,000) and October 31, 2017 ($158,131,000), the respective expiration dates, whichever occurs first, subject to certain limitations under Section 381-384 of the Internal Revenue Service.

The Fund has reviewed the tax positions for the open tax years as of October 31, 2009 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.

Distribution of Income and Gains. Net investment income of the Fund, if any, is declared and distributed to shareholders quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.

The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in mortgage backed securities, premium amortization on debt securities, investments in futures and certain securities sold at a loss. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.

The tax character of current year distributions will be determined at the end of the current fiscal year.

Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.

Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Certain dividends from foreign securities may be recorded subsequent to the ex-dividend date as soon as the Fund is informed of such dividends. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes, with the exception of securities in default of principal.

B. Purchases and Sales of Securities

During the six months ended April 30, 2010, purchases and sales of investment securities (excluding short-term investments and US Treasury securities) aggregated $946,719,999 and $1,094,916,248, respectively. Purchases and sales of US Treasury securities aggregated $126,493,433 and $62,738,212, respectively.

C. Related Parties

Management Agreement. Under the Amended and Restated Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund or delegates such responsibility to the Fund's subadvisor. In addition to portfolio management services, the Advisor provides certain administrative services in accordance with the Amended and Restated Management Agreement.

On January 26, 2010, the Advisor announced its intention to transition members of its Quantitative Strategies Group (the "QS Group"), including members of the Fund's portfolio management team, out of the Advisor into a separate investment advisory firm named QS Investors, LLC ("QS Investors") that will be unaffiliated with the Advisor (the "Separation"). The Separation is expected to be completed during the third quarter of 2010. In order for the Fund to continue to access the investment expertise offered by the members of the QS Group following the Separation, the Advisor recommended that the Fund's Board approve a sub-advisory agreement between the Advisor and QS Investors (the "Sub-Advisory Agreement"). On May 4, 2010, following a review of QS Investors' capabilities, the terms of the Separation and Sub-Advisory Agreement, the Fund's Board approved the Sub-Advisory Agreement. This action was taken pursuant to an order the Fund and the Advisor requested and received from the Securities and Exchange Commission that permits the Advisor, with the approval of the Fund's Board, to appoint subadvisors that are not affiliated with the Advisor to manage all or a portion of the Fund's assets without the need for a shareholder meeting or vote. The Sub-Advisory Agreement will become effective upon the effective date of the Separation. As a subadvisor to the Fund, QS Investors will render strategic asset allocation services and manage the portion of assets allocated to the Fund's iGAP strategy. Pursuant to the Sub-Advisory Agreement, QS Investors will be paid for its services by the Advisor from its fees as investment advisor to the Fund.

Pursuant to a written contract with the Advisor, Deutsche Asset Management International GmbH ("DeAMi"), a direct, wholly owned subsidiary of Deutsche Bank AG, serves as the subadvisor to the Fund and is responsible for portfolio management of a portion of the large cap value allocation of the Fund. DeAMi is paid for its services by the Advisor from its fee as Investment Advisor to the Fund.

Under the Amended and Restated Management Agreement, the Fund pays a monthly management fee based on the Fund's average daily net assets, computed and accrued daily and payable monthly at the following rates:

First $1.5 billion of the Fund's average daily net assets

.370%

Next $500 million of such net assets

.345%

Next $1.5 billion of such net assets

.310%

Next $2.0 billion of such net assets

.300%

Next $2.0 billion of such net assets

.290%

Next $2.5 billion of such net assets

.280%

Next $2.5 billion of such net assets

.270%

Over $12.5 billion of such net assets

.260%

Accordingly, for the six months ended April 30, 2010, the fee pursuant to the Management Agreement was equivalent to an annualized effective rate of 0.37% of the Fund's average daily net assets.

For the period from November 1, 2009 through September 30, 2010, the Advisor has contractually agreed to waive its fees and/or reimburse certain operating expenses of Class B shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 2.01%.

Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the six months ended April 30, 2010, the Administration Fee was $597,880, of which $100,516 is unpaid.

Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement among DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended April 30, 2010, the amounts charged to the Fund by DISC were as follows:

Services to Shareholders

Total Aggregated

Waived

Unpaid at April 30, 2010

Class A

$ 664,551

$ —

$ 463,751

Class B

35,310

2,453

24,577

Class C

24,442

—

16,727

Class S

256,985

—

174,360

Institutional Class

543

—

302

 

$ 981,831

$ 2,453

$ 679,717

Distribution and Service Fees. Under the Fund's Class B and C 12b-1 Plans, DWS Investments Distributors, Inc. ("DIDI"), an affiliate of the Advisor, receives a fee ("Distribution Fee") of 0.75% of average daily net assets of each of Class B and C shares shares. In accordance with the Fund's Underwriting and Distribution Services Agreement, DIDI enters into related selling group agreements with various firms at various rates for sales of Class B and C shares. For the six months ended April 30, 2010, the Distribution Fee was as follows:

Distribution Fee

Total Aggregated

Unpaid at April 30, 2010

Class B

$ 55,568

$ 15,605

Class C

82,474

16,868

 

$ 138,042

$ 32,473

In addition, DIDI provides information and administrative services for a fee ("Service Fee") to Class A, B and C shareholders at an annual rate of up to 0.25% of average daily net assets for each such class. DIDI in turn has various agreements with financial services firms that provide these services and pays these fees based upon the assets of shareholder accounts the firms service. For the six months ended April 30, 2010, the Service Fee was as follows:

Service Fee

Total Aggregated

Unpaid at April 30, 2010

Annualized Effective Rate

Class A

$ 1,056,197

$ 525,326

.24%

Class B

17,836

6,750

.24%

Class C

26,842

11,791

.24%

 

$ 1,100,875

$ 543,867

 

Underwriting and Contingent Deferred Sales Charge. DIDI is the principal underwriter for the Fund. Underwriting commissions paid in connection with the distribution of Class A shares for the six months ended April 30, 2010 aggregated $6,945.

In addition, DIDI receives any contingent deferred sales charge ("CDSC") from Class B share redemptions occurring within six years of purchase and Class C share redemptions occurring within one year of purchase. There is no such charge upon redemption of any share appreciation or reinvested dividends. The CDSC is based on declining rates ranging from 4% to 1% for Class B and 1% for Class C, of the value of the shares redeemed. For the six months ended April 30, 2010, the CDSC for Class B and C shares aggregated $11,472 and $217, respectively. A deferred sales charge of up to 1% is assessed on certain redemptions for Class A shares. For the six months ended April 30, 2010, DIDI received $107 for Class A shares.

Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory, filing services to the Fund. For the six months ended April 30, 2010, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $25,343, of which $16,164 is unpaid.

Trustees' Fees and Expenses. The Fund paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.

Affiliated Cash Management Vehicles. The Fund may invest uninvested cash balances in Central Cash Management Fund and other affiliated money market funds managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of the underlying money market funds. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.

D. Line of Credit

The Fund and other affiliated funds (the "Participants") share in a $450 million revolving credit facility provided by a syndication of banks. The Fund may borrow for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated based on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if LIBOR exceeds the Federal Funds Rate the amount of such excess. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement.

E. Share Transactions

The following table summarizes share and dollar activity in the Fund:

 

Six Months Ended April 30, 2010

Year Ended October 31, 2009

 

Shares

Dollars

Shares

Dollars

Shares sold

Class A

2,021,327

$ 17,219,107

4,224,282

$ 30,224,415

Class B

66,016

554,011

251,709

1,806,583

Class C

129,553

1,093,808

345,357

2,432,886

Class S

758,418

6,490,960

1,140,565

8,232,064

Institutional Class

36

829

62

455

 

 

$ 25,358,715

 

$ 42,696,403

Shares issued in tax-free reorganization*

Class A

—

—

7,431,198

$ 51,798,537

Class B

—

—

177,610

1,243,213

Class C

—

—

425,411

2,960,757

Institutional Class

—

—

515,915

3,601,205

 

 

$ —

 

$ 59,603,712

Shares issued to shareholders in reinvestment of distributions

Class A

2,073,951

$ 17,436,719

1,805,271

$ 12,945,097

Class B

29,479

247,918

35,647

251,525

Class C

39,772

333,846

20,762

147,621

Class S

615,480

5,175,968

572,899

4,114,827

Institutional Class

8,719

73,408

5,315

40,536

 

 

$ 23,267,859

 

$ 17,499,606

Shares redeemed

Class A

(8,793,684)

$ (74,503,544)

(18,768,723)

$ (133,085,480)

Class B

(715,824)

(6,072,388)

(1,537,763)

(11,016,882)

Class C

(260,988)

(2,210,750)

(623,914)

(4,413,728)

Class S

(2,130,286)

(18,036,871)

(5,157,411)

(36,140,740)

Institutional Class

(7,633)

(62,906)

(140,358)

(1,153,819)

 

 

$ (100,886,459)

 

$ (185,810,649)

Net increase (decrease)

Class A

(4,698,406)

$ (39,847,718)

(5,307,972)

$ (38,117,431)

Class B

(620,329)

(5,270,459)

(1,072,797)

(7,715,561)

Class C

(91,663)

(783,096)

167,616

1,127,536

Class S

(756,388)

(6,369,943)

(3,443,947)

(23,793,849)

Institutional Class

1,122

11,331

380,934

2,488,377

 

 

$ (52,259,885)

 

$ (66,010,928)

* On April 17, 2009, DWS Value Builder Fund was acquired by the Fund through a tax-free reorganization (see Note F).

F. Fund Merger

On April 17, 2009, the Fund acquired all of the net assets of DWS Value Builder Fund pursuant to a plan of reorganization approved by shareholders on March 27, 2009. The acquisition was accomplished by a tax-free exchange of 7,460,097 Class A shares, 177,915 Class B shares, 421,956 Class C shares and 509,996 Institutional Class shares of DWS Value Builder Fund for 7,431,198 Class A shares, 177,610 Class B shares, 425,411 Class C shares and 515,915 Institutional Class shares of DWS Balanced Fund, respectively, outstanding on April 20, 2009. DWS Value Builder Fund's net assets at that date, $59,603,712, including $6,626,156 of net unrealized depreciation, were combined with those of the Fund. The aggregate net assets of the Fund immediately before the acquisition were $1,005,036,041. The combined net assets of the Fund immediately following the acquisition were $1,064,639,753.

G. Review for Subsequent Events

Management has evaluated the events and transactions subsequent to period end through the date the financial statements were available to be issued, and has determined that there were no material events that would require disclosure in the Fund's financial statements.

Summary of Management Fee Evaluation by Independent Fee Consultant

October 9, 2009, As Revised November 20, 2009

Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds (formerly the DWS Scudder Funds). My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2009, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007 and 2008.

Qualifications

For more than 35 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.

Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past ten years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.

I hold a Master of Business Administration degree, with highest honors, from Harvard University and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds and serve in various leadership and financial oversight capacities with non-profit organizations.

Evaluation of Fees for each DWS Fund

My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 124 publicly offered Fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).

In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper, Strategic Insight, and Morningstar databases and drew on my industry knowledge and experience.

To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.

In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.

Fees and Expenses Compared with Other Funds

The competitive fee and expense evaluation for each fund focused on two primary comparisons:

The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.

The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.

These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.

DeAM's Fees for Similar Services to Others

DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.

Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.

Costs and Profit Margins

DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.

Economies of Scale

Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:

The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.

Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.

How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.

Quality of Service — Performance

The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.

In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.

I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.

Complex-Level Considerations

While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:

I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.

I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.

I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.

I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.

Findings

Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.

bal_sigmack0
Thomas H. Mack

Account Management Resources

 

For More Information

The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Classes A, B, C and S also have the ability to purchase, exchange or redeem shares using this system.
For more information, contact your financial advisor. You may also access our automated telephone system or speak with a DWS Investments representative by calling the appropriate number below:

For shareholders of Classes A, B, C and Institutional Class:

(800) 621-1048

For shareholders of Class S:

(800) 728-3337

Web Site

www.dws-investments.com

View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.
Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more.

Written Correspondence

DWS Investments

PO Box 219151
Kansas City, MO 64121-9151

Proxy Voting

A description of the fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 is available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048.

Principal Underwriter

If you have questions, comments or complaints, contact:

DWS Investments Distributors, Inc.

222 South Riverside Plaza
Chicago, IL 60606-5808
(800) 621-1148

 

Class A

Class B

Class C

Class S

Institutional Class

Nasdaq Symbol

KTRAX
 KTRBX
 KTRCX
 KTRSX
 KTRIX

CUSIP Number

23336W 106
 23336W 205
 23336W 304
 23336W 502
 23336W 601

Fund Number

002
 202
 302
 2033
 1402

Privacy Statement

Dear Valued Client:

Your confidence is important to us. So we want to make sure you know our policies regarding the handling of our clients' private information. The following information is issued by DWS Investments Distributors, Inc., Deutsche Investment Management Americas Inc., DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.

We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. We never sell customer lists or individual client information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.

In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our Web sites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number, and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third-party service providers such as transfer agents, custodians and broker-dealers to assist us in processing transactions and servicing your account.

In addition, we may disclose the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. These organizations may only use client information for the purpose designated by the companies listed above. Additional requirements beyond federal law may be imposed by certain states. To the extent that these state laws apply, we will comply with them before we share information about you.

We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required to or may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.

At any time, if you have questions about our policy, please write to us at:

DWS Investments
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415 September 2009

Notes

Notes

Notes

Notes

Notes

bal_backcover0

 

 

ITEM 2.

CODE OF ETHICS

 

 

 

Not applicable.

 

 

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT

 

 

 

Not applicable.

 

 

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES

 

 

 

Not applicable.

 

 

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS

 

 

 

Not Applicable

 

 

ITEM 6.

SCHEDULE OF INVESTMENTS

 

 

 

Not Applicable

 

 

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

 

 

 

Not applicable.

 

 

ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

 

 

 

Not applicable.

 

 

ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS

 

 

 

Not applicable.

 

 

ITEM 10.

SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

 

 

 

There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833.

 

 

ITEM 11.

CONTROLS AND PROCEDURES

 

 

 

(a)        The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

 

 

(b)       There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.

 

 

ITEM 12.

EXHIBITS

 

 

 

(a)(1)   Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

 

 

(b)       Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

 

 

Form N-CSRS Item F

 

SIGNATURES

 

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

 

Registrant:

DWS Balanced Fund

 

 

 

 

By:

/s/Michael G. Clark

Michael G. Clark

President

 

 

Date:

June 29, 2010

 

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

 

Registrant:

DWS Balanced Fund

 

 

 

 

By:

/s/Michael G. Clark

Michael G. Clark

President

 

 

Date:

June 29, 2010

 

 

 

 

By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

 

 

Date:

June 29, 2010