UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

**FORM N-Q**

**QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF        REGISTERED**

**MANAGEMENT INVESTMENT COMPANY**

**_______________________________**

Investment Company Act file number        811-1236

DWS        Balanced Fund

(Exact name of registrant as specified in        charter)

 

222        South Riverside Plaza

Chicago, IL 60606

(Address of principal executive offices)                    (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY 10154

(Name and address of agent for        service)

Registrant's telephone number, including area        code:(212) 454-7190

Date of fiscal year end:10/31

Date of reporting        period:01/31/08

 

ITEM 1.        SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of January 31, 2008 (Unaudited)** |
|----------------------|----------------------------------------|

         

**DWS        Balanced Fund**

 

|                                                                      | **Shares**              |    | **Value                        ($)** |
|---------------------------------------------------------------------------|-------------------------|---------|--------------------------------------|
|                                                                           |
|                                                                      | **Common Stocks 58.7%** |    |
| **Consumer Discretionary 6.2%**                                           |                    |
| **Auto Components                        1.0%**                           |                    |
| Aftermarket Technology Corp.*                                             |                    | 7,600   |                                 | 193,116 |
| Aisin Seiki Co., Ltd.                                                     |                    | 400     |                                 | 16,188 |
| American Axle & Manufacturing Holdings,                        Inc.   |                    | 33,600  |                                 | 730,800 |
| Autoliv, Inc.                                                             |                    | 144,000 |                                 | 7,192,800 |
| Bridgestone Corp.                                                         |                    | 1,000   |                                 | 16,974 |
| Compagnie Generale des Etablissements Michelin                        "B" |                    | 332     |                                 | 31,870 |
| Continental AG                                                            |                    | 298     |                                 | 30,945 |
| Cooper Tire & Rubber Co.                                              |                    | 37,200  |                                 | 635,004 |
| Denso Corp.                                                               |                    | 700     |                                 | 25,311 |
| Drew Industries, Inc.*                                                    |                    | 21,200  |                                 | 574,308 |
|                                                                           |                         |         |                                      |  |  |  |  |

| Johnson Controls, Inc.                                                      |           | 103,200 |   | 3,650,184   |
|-----------------------------------------------------------------------------|----------------|---------|--------|-------------|
| Lear Corp.*                                                                 |           | 25,100  |   | 736,936     |
| Magna International, Inc. "A"                                               |           | 1,000   |   | 78,522      |
| Nokian Renkaat Oyj                                                          |           | 44,800  |   | 1,522,338   |
| Rieter Holding AG (Registered)                                              |           | 52      |   | 18,865      |
| Toyota Industries Corp.                                                     |           | 400     |   | 15,596      |
|                                                                             |
|                                                                        | **15,469,757** |
| **Automobiles                        0.2%**                                 |           |
| Daimler AG (Registered)                                                     |           | 6,251   |   | 489,001     |
| Fiat SpA                                                                    |           | 7,977   |   | 186,600     |
| Harley-Davidson, Inc.                                                       |           | 25,740  |   | 1,044,529   |
| Honda Motor Co., Ltd.                                                       |           | 1,900   |   | 59,946      |
| Nissan Motor Co., Ltd.                                                      |           | 3,000   |   | 28,793      |
| PSA Peugeot Citroen                                                         |           | 354     |   | 26,135      |
| Renault SA                                                                  |           | 409     |   | 46,624      |
| Suzuki Motor Corp.                                                          |           | 53,000  |   | 1,335,180   |
| Toyota Motor Corp.                                                          |           | 3,200   |   | 174,122     |
| Volkswagen AG                                                               |           | 294     |   | 66,570      |
|                                                                             |
|                                                                        | **3,457,500**  |
| **Distributors                        0.0%**                                |           |
| Li & Fung Ltd.                                                          |           | 86,000  |   | **330,758** |
| **Diversified Consumer Services                        0.1%**               |           |
| Capella Education Co.*                                                      |           | 4,000   |   | 252,320     |
| DeVry, Inc.                                                                 |           | 9,400   |   | 518,786     |
| Sotheby's                                                                   |           | 18,100  |   | 562,367     |
| Strayer Education, Inc.                                                     |           | 5,000   |   | 862,900     |
|                                                                             |
|                                                                        | **2,196,373**  |
| **Hotels Restaurants & Leisure                        0.8%**            |           |
| Accor SA                                                                    |           | 479     |   | 36,672      |
| AFC Enterprises, Inc.*                                                      |           | 22,300  |   | 206,721     |
| Aristocrat Leisure Ltd.                                                     |           | 7,145   |   | 64,310      |
| Carnival PLC                                                                |           | 469     |   | 20,376      |
| Chipotle Mexican Grill, Inc. "B"*                                           |           | 2,900   |   | 277,878     |
| CKE Restaurants, Inc.                                                       |           | 57,300  |   | 751,776     |
| Compass Group PLC                                                           |           | 4,408   |   | 27,901      |
| Enterprise Inns PLC                                                         |           | 1,529   |   | 13,645      |
| Greene King PLC                                                             |           | 29,798  |   | 445,746     |
| InterContinental Hotel Group PLC                                            |           | 796     |   | 12,287      |
| Lottomatica SpA                                                             |           | 972     |   | 35,648      |
| McCormick & Schmick's Seafood Restaurants,                        Inc.* |           | 7,800   |   | 102,336     |
| McDonald's Corp.                                                            |           | 113,600 |   | 6,083,280   |
| Monarch Casino & Resort, Inc.*                                          |           | 5,300   |   | 113,261     |
| Premier Exhibitions, Inc.*                                                  |           | 39,200  |   | 238,336     |
| Ruby Tuesday, Inc.                                                          |           | 22,700  |   | 174,563     |
| Shangri-La Asia Ltd.                                                        |           | 46,000  |   | 134,247     |
| Sodexho Alliance SA                                                         |           | 268     |   | 14,545      |
| TABCORP Holding Ltd.                                                        |           | 10,926  |   | 137,505     |
| Tatts Group Ltd.                                                            |           | 22,410  |   | 76,681      |
| Town Sports International Holdings, Inc.*                                   |           | 25,900  |   | 225,330     |
| TUI AG*                                                                     |           | 491     |   | 10,741      |
| Whitbread PLC                                                               |           | 725     |   | 19,740      |
| WMS Industries, Inc.*                                                       |           | 8,900   |   | 332,860     |
| Yum! Brands, Inc.                                                           |           | 85,900  |   | 2,934,344   |
|                                                                             |
|                                                                        | **12,490,729** |
|                                                                             |                |         |        |             |  |

| **Household Durables                        0.4%**               |          |
|------------------------------------------------------------------|---------------|
| American Greetings Corp. "A"                                     |          | 21,200 |   | 435,024 |
| Blyth, Inc.                                                      |          | 27,700 |   | 603,583 |
| CSS Industries, Inc.                                             |          | 12,300 |   | 358,914 |
| Electrolux AB "B"                                                |          | 2,600 |   | 40,765 |
| Fortune Brands, Inc.                                             |          | 9,110 |   | 636,971 |
| Garmin Ltd.                                                      |          | 21,300 |   | 1,536,795 |
| Hooker Furniture Corp.                                           |          | 25,600 |   | 561,664 |
| Husqvarna AB "B"                                                 |          | 2,800 |   | 28,565 |
| Makita Corp.                                                     |          | 16,000 |   | 594,335 |
| Matsushita Electric Industrial Co., Ltd.                         |          | 3,000 |   | 64,120 |
| NVR, Inc.*                                                       |          | 1,600 |   | 1,010,400 |
| Persimmon PLC                                                    |          | 863 |   | 13,321 |
| Sharp Corp.                                                      |          | 1,000 |   | 17,263 |
| Sony Corp.                                                       |          | 1,200 |   | 57,377 |
| Taylor Wimpey PLC                                                |          | 3,576 |   | 12,858 |
|                                                                  |
|                                                             | **5,971,955** |
| **Internet & Catalog Retail                        0.1%**    |          |
| Amazon.com, Inc.*                                                |          | 3,600 |   | 279,720 |
| GSI Commerce, Inc.*                                              |          | 8,700 |   | 141,636 |
| Home Retail Group PLC                                            |          | 2,228 |   | 12,649 |
| Overstock.com, Inc.*                                             |          | 32,400 |   | 337,932 |
| Shutterfly, Inc.*                                                |          | 8,200 |   | 159,490 |
| Systemax, Inc.                                                   |          | 19,700 |   | 272,254 |
|                                                                  |
|                                                             | **1,203,681** |
| **Leisure Equipment & Products                        0.1%** |          |
| Callaway Golf Co.                                                |          | 18,100 |   | 324,352 |
| Hasbro, Inc.                                                     |          | 19,100 |   | 496,027 |
| Polaris Industries, Inc.                                         |          | 10,500 |   | 456,120 |
| Sturm, Ruger & Co., Inc.*                                    |          | 29,000 |   | 260,130 |
|                                                                  |
|                                                             | **1,536,629** |
| **Media 1.3%**                                                   |          |
| British Sky Broadcasting Group PLC                               |          | 2,491 |   | 27,234 |
| CBS Corp. "B"                                                    |          | 240,300 |   | 6,053,157 |
| DG Fastchannel, Inc.*                                            |          | 16,100 |   | 340,837 |
| Fairfax Media Ltd.                                               |          | 24,526 |   | 88,722 |
| Gestevision Telecinco SA                                         |          | 12,402 |   | 265,323 |
| Global Sources Ltd.*                                             |          | 15,490 |   | 205,243 |
| Interactive Data Corp.                                           |          | 9,100 |   | 263,445 |
| ITV PLC                                                          |          | 10,128 |   | 14,600 |
| Lagardere SCA                                                    |          | 340 |   | 24,954 |
| Liberty Global, Inc. "A"*                                        |          | 81,300 |   | 3,285,333 |
| McGraw-Hill Companies, Inc.                                      |          | 20,390 |   | 871,876 |
| Mediaset SpA                                                     |          | 8,980 |   | 79,188 |
| Modern Times Group MTG AB "B"                                    |          | 525 |   | 31,641 |
| Omnicom Group, Inc.                                              |          | 18,780 |   | 852,049 |
| Pearson PLC                                                      |          | 2,050 |   | 28,361 |
| Publicis Groupe                                                  |          | 417 |   | 15,029 |
| Reed Elsevier NV                                                 |          | 3,933 |   | 71,854 |
| Reed Elsevier PLC                                                |          | 2,623 |   | 31,694 |
| Reuters Group PLC                                                |          | 2,684 |   | 32,556 |
| Seat Pagine Gialle SpA                                           |          | 57,838 |   | 19,118 |
| Shaw Communications, Inc. "B"                                    |          | 3,700 |   | 72,485 |
| Singapore Press Holdings Ltd.                                    |          | 673,000 |   | 2,094,879 |
|                                                                  |               |  |  |  |  |

| The DIRECTV Group, Inc.*                                             |           | 159,500 |   | 3,601,510 |
|----------------------------------------------------------------------|----------------|---------|--------|-----------|
| Thomson Corp.                                                        |           | 2,400   |   | 85,669    |
| Time Warner Cable, Inc. "A"*                                         |           | 16,400  |   | 412,624   |
| Vivendi                                                              |           | 2,506   |   | 100,845   |
| Walt Disney Co.                                                      |           | 59,800  |   | 1,789,814 |
| Wolters Kluwer NV                                                    |           | 1,898   |   | 54,260    |
| WPP Group PLC                                                        |           | 2,683   |   | 33,111    |
| Yell Group PLC                                                       |           | 2,167   |   | 14,441    |
| Yellow Pages Income Fund (Unit)                                      |           | 2,800   |   | 33,492    |
|                                                                      |
|                                                                 | **20,895,344** |
| **Multiline Retail                        0.4%**                     |           |
| Big Lots, Inc.*                                                      |           | 110,800 |   | 1,923,488 |
| Canadian Tire Corp. Ltd. "A"                                         |           | 900     |   | 57,780    |
| Kohl's Corp.*                                                        |           | 37,590  |   | 1,715,608 |
| Marks & Spencer Group PLC                                        |           | 3,639   |   | 32,112    |
| Next PLC                                                             |           | 536     |   | 15,104    |
| PPR                                                                  |           | 179     |   | 25,301    |
| Target Corp.                                                         |           | 55,300  |   | 3,073,574 |
|                                                                      |
|                                                                 | **6,842,967**  |
| **Specialty Retail                        1.5%**                     |           |
| Barnes & Noble, Inc.                                             |           | 188,800 |   | 6,409,760 |
| Best Buy Co., Inc.                                                   |           | 68,430  |   | 3,340,068 |
| Esprit Holdings Ltd.                                                 |           | 151,300 |   | 1,961,818 |
| GameStop Corp. "A"*                                                  |           | 31,200  |   | 1,613,976 |
| Hennes & Mauritz AB "B"                                          |           | 4,525   |   | 245,188   |
| Hot Topic, Inc.*                                                     |           | 44,200  |   | 245,310   |
| Industria de Diseno Textil SA                                        |           | 35,623  |   | 1,788,231 |
| J. Crew Group, Inc.*                                                 |           | 2,500   |   | 114,300   |
| Jo-Ann Stores, Inc.*                                                 |           | 38,400  |   | 486,528   |
| Jos. A. Bank Clothiers, Inc.*                                        |           | 19,000  |   | 517,560   |
| Kingfisher PLC                                                       |           | 6,218   |   | 18,187    |
| New York & Co., Inc.*                                            |           | 74,000  |   | 411,440   |
| RadioShack Corp.                                                     |           | 120,400 |   | 2,088,940 |
| Rent-A-Center, Inc.*                                                 |           | 46,000  |   | 786,600   |
| RONA, Inc.*                                                          |           | 1,400   |   | 22,491    |
| Staples, Inc.                                                        |           | 56,680  |   | 1,356,919 |
| Talbots, Inc.                                                        |           | 13,600  |   | 131,512   |
| The Buckle, Inc.                                                     |           | 19,300  |   | 802,687   |
| Tiffany & Co.                                                    |           | 27,300  |   | 1,089,270 |
| TJX Companies, Inc.                                                  |           | 33,500  |   | 1,057,260 |
| West Marine, Inc.*                                                   |           | 8,600   |   | 73,444    |
| Yamada Denki Co., Ltd.                                               |           | 150     |   | 16,023    |
|                                                                      |
|                                                                 | **24,577,512** |
| **Textiles, Apparel & Luxury                        Goods 0.3%** |           |
| Adidas AG                                                            |           | 7,810   |   | 498,762   |
| Billabong International Ltd.                                         |           | 3,675   |   | 39,689    |
| Burberry Group PLC                                                   |           | 1,345   |   | 11,710    |
| Compagnie Financiere Richemont SA "A" (Unit)                         |           | 18,731  |   | 1,071,264 |
| Fossil, Inc.*                                                        |           | 17,200  |   | 584,456   |
| Gildan Activewear, Inc.*                                             |           | 1,300   |   | 48,023    |
| Hermes International                                                 |           | 172     |   | 17,279    |
| Luxottica Group SpA                                                  |           | 1,559   |   | 44,455    |
| LVMH Moet Hennessy Louis Vuitton SA                                  |           | 524     |   | 53,916    |
| Movado Group, Inc.                                                   |           | 8,700   |   | 210,714   |
|                                                                      |                |         |        |           |  |

| NIKE, Inc. "B"                                               |           | 17,300  |   | 1,068,448 |
|--------------------------------------------------------------|----------------|---------|--------|-----------|
| Perry Ellis International, Inc.*                             |           | 29,850  |   | 523,867   |
| Swatch Group AG (Bearer)                                     |           | 305     |   | 82,085    |
| Swatch Group AG (Registered)                                 |           | 513     |   | 26,890    |
| The Warnaco Group, Inc.*                                     |           | 22,000  |   | 789,580   |
|                                                              |
|                                                         | **5,071,138**  |
| **Consumer Staples 4.9%**                                    |           |
| **Beverages                        1.3%**                    |           |
| Asahi Breweries Ltd.                                         |           | 2,400   |   | 42,771    |
| Carlsberg AS "B"                                             |           | 1,850   |   | 195,443   |
| Coca-Cola Amatil Ltd.                                        |           | 6,417   |   | 54,176    |
| Coca-Cola Enterprises, Inc.                                  |           | 258,900 |   | 5,972,823 |
| Diageo PLC                                                   |           | 102,357 |   | 2,059,812 |
| Foster's Group Ltd.                                          |           | 23,198  |   | 117,530   |
| Heineken NV                                                  |           | 2,161   |   | 121,416   |
| InBev NV                                                     |           | 20,321  |   | 1,673,588 |
| Kirin Holdings Co., Ltd.                                     |           | 4,000   |   | 64,195    |
| Pepsi Bottling Group, Inc.                                   |           | 106,000 |   | 3,694,100 |
| PepsiAmericas, Inc.                                          |           | 8,500   |   | 209,440   |
| PepsiCo, Inc.                                                |           | 95,050  |   | 6,481,459 |
| Pernod Ricard SA                                             |           | 978     |   | 104,299   |
| SABMiller PLC                                                |           | 2,214   |   | 47,855    |
| Scottish & Newcastle PLC                                 |           | 2,105   |   | 32,880    |
|                                                              |
|                                                         | **20,871,787** |
| **Food & Staples Retailing                        1.2%** |           |
| AEON Co., Ltd.                                               |           | 3,700   |   | 44,871    |
| Alimentation Couche-Tard, Inc. "B"                           |           | 3,800   |   | 64,075    |
| BJ's Wholesale Club, Inc.*                                   |           | 132,600 |   | 4,301,544 |
| Carrefour SA                                                 |           | 3,327   |   | 234,010   |
| Casey's General Stores, Inc.                                 |           | 12,500  |   | 325,000   |
| Casino Guichard-Perrachon SA                                 |           | 260     |   | 28,651    |
| Colruyt SA                                                   |           | 258     |   | 64,928    |
| Delhaize Group                                               |           | 1,556   |   | 119,125   |
| George Weston Ltd.                                           |           | 1,400   |   | 75,114    |
| Ingles Markets, Inc. "A"                                     |           | 11,000  |   | 256,190   |
| J Sainsbury PLC                                              |           | 4,178   |   | 33,205    |
| Kesko Oyj "B"                                                |           | 423     |   | 21,628    |
| Koninklijke Ahold NV*                                        |           | 11,407  |   | 148,938   |
| Kroger Co.                                                   |           | 100,100 |   | 2,547,545 |
| Loblaw Companies Ltd.                                        |           | 3,000   |   | 96,449    |
| Longs Drug Stores Corp.                                      |           | 3,300   |   | 151,833   |
| Metro AG                                                     |           | 4,411   |   | 362,536   |
| Olam International Ltd.                                      |           | 121,000 |   | 229,539   |
| Ruddick Corp.                                                |           | 9,400   |   | 320,352   |
| Seven & I Holdings Co., Ltd.                             |           | 4,500   |   | 111,368   |
| Shoppers Drug Mart Corp.                                     |           | 33,500  |   | 1,638,215 |
| SUPERVALU, Inc.                                              |           | 167,700 |   | 5,041,062 |
| Tesco PLC                                                    |           | 18,684  |   | 155,886   |
| Walgreen Co.                                                 |           | 43,920  |   | 1,542,031 |
| Wesfarmers Ltd.                                              |           | 4,643   |   | 149,528   |
| Woolworths Ltd.                                              |           | 13,887  |   | 362,210   |
|                                                              |
|                                                         | **18,425,833** |
| **Food Products                        0.9%**                |           |
| Ajinomoto Co., Inc.                                          |           | 4,000   |   | 43,047    |
|                                                              |                |         |        |           |  |

| Cadbury Schweppes PLC                                           |           | 5,101   |   | 56,305    |
|-----------------------------------------------------------------|----------------|---------|--------|-----------|
| Cal-Maine Foods, Inc.                                           |           | 20,800  |   | 599,664   |
| Danisco AS                                                      |           | 2,700   |   | 181,114   |
| Dean Foods Co.                                                  |           | 70,810  |   | 1,982,680 |
| Flowers Foods, Inc.                                             |           | 29,200  |   | 700,800   |
| Fresh Del Monte Produce, Inc.*                                  |           | 16,500  |   | 528,660   |
| Groupe Danone                                                   |           | 22,935  |   | 1,843,279 |
| IAWS Group PLC                                                  |           | 7,831   |   | 159,827   |
| Imperial Sugar Co.                                              |           | 16,800  |   | 369,264   |
| Kellogg Co.                                                     |           | 33,120  |   | 1,586,448 |
| Kerry Group PLC "A"                                             |           | 8,021   |   | 215,802   |
| Nestle SA (Registered)                                          |           | 4,694   |   | 2,097,902 |
| Nissin Food Products Co., Ltd.                                  |           | 500     |   | 16,684    |
| Parmalat SpA                                                    |           | 9,453   |   | 34,172    |
| Saputo, Inc.                                                    |           | 3,800   |   | 105,441   |
| Tate & Lyle PLC                                             |           | 1,463   |   | 14,235    |
| Unilever NV (CVA)                                               |           | 15,195  |   | 494,430   |
| Unilever PLC                                                    |           | 3,062   |   | 100,624   |
| Wm. Wrigley Jr. Co.                                             |           | 55,900  |   | 3,210,337 |
| Yakult Honsha Co., Ltd.                                         |           | 700     |   | 18,967    |
|                                                                 |
|                                                            | **14,359,682** |
| **Household Products                        0.9%**              |           |
| Colgate-Palmolive Co.                                           |           | 54,440  |   | 4,191,880 |
| Kao Corp.                                                       |           | 3,000   |   | 91,007    |
| Kimberly-Clark Corp.                                            |           | 103,300 |   | 6,781,645 |
| Procter & Gamble Co.                                        |           | 36,650  |   | 2,417,068 |
| WD-40 Co.                                                       |           | 1,100   |   | 37,136    |
|                                                                 |
|                                                            | **13,518,736** |
| **Personal Products                        0.0%**               |           |
| Beiersdorf AG                                                   |           | 2,419   |   | 186,946   |
| Elizabeth Arden, Inc.*                                          |           | 12,100  |   | 242,605   |
| L'Oreal SA                                                      |           | 1,377   |   | 170,290   |
| Shiseido Co., Ltd.                                              |           | 2,000   |   | 47,090    |
|                                                                 |
|                                                            | **646,931**    |
| **Tobacco                        0.6%**                         |           |
| Altria Group, Inc.                                              |           | 86,500  |   | 6,558,430 |
| British American Tobacco PLC                                    |           | 3,562   |   | 127,564   |
| Imperial Tobacco Group PLC                                      |           | 10,273  |   | 500,495   |
| Japan Tobacco, Inc.                                             |           | 434     |   | 2,311,539 |
| Swedish Match AB                                                |           | 35,400  |   | 782,640   |
|                                                                 |
|                                                            | **10,280,668** |
| **Energy 7.0%**                                                 |           |
| **Energy Equipment & Services                        1.2%** |           |
| Acergy SA                                                       |           | 1,100   |   | 20,017    |
| Aker Kvaerner ASA                                               |           | 950     |   | 17,734    |
| Atwood Oceanics, Inc.*                                          |           | 7,500   |   | 623,175   |
| Baker Hughes, Inc.                                              |           | 38,970  |   | 2,530,322 |
| Bronco Drilling Co., Inc.*                                      |           | 5,800   |   | 90,828    |
| Dril-Quip, Inc.*                                                |           | 10,400  |   | 504,816   |
| Fugro NV (CVA)                                                  |           | 2,486   |   | 170,119   |
| Global Industries Ltd.*                                         |           | 71,100  |   | 1,255,626 |
| Grey Wolf, Inc.*                                                |           | 86,600  |   | 516,136   |
| Helmerich & Payne, Inc.                                     |           | 56,300  |   | 2,208,086 |
| Noble Corp.                                                     |           | 37,740  |   | 1,651,880 |
|                                                                 |                |         |        |           |  |

| Petroleum Geo-Services ASA                                      |           | 950     |   | 20,489     |
|-----------------------------------------------------------------|----------------|---------|--------|------------|
| Pioneer Drilling Co.*                                           |           | 11,500  |   | 119,715    |
| ProSafe SE                                                      |           | 1,100   |   | 15,835     |
| SBM Offshore NV                                                 |           | 6,068   |   | 175,684    |
| Schlumberger Ltd.                                               |           | 55,150  |   | 4,161,619  |
| Seadrill Ltd.*                                                  |           | 1,400   |   | 29,264     |
| Technip SA                                                      |           | 239     |   | 15,454     |
| Transocean, Inc.*                                               |           | 35,339  |   | 4,332,561  |
| Union Drilling, Inc.*                                           |           | 24,200  |   | 372,196    |
| WorleyParsons Ltd.                                              |           | 12,987  |   | 467,578    |
|                                                                 |
|                                                            | **19,299,134** |
| **Oil, Gas & Consumable Fuels                        5.8%** |           |
| Alon USA Energy, Inc.                                           |           | 26,000  |   | 473,200    |
| Alpha Natural Resources, Inc.*                                  |           | 20,800  |   | 695,968    |
| BG Group PLC                                                    |           | 42,138  |   | 927,314    |
| Bois d'Arc Energy, Inc.*                                        |           | 17,000  |   | 325,550    |
| BP PLC                                                          |           | 12,587  |   | 133,518    |
| Brigham Exploration Co.*                                        |           | 50,600  |   | 351,164    |
| Caltex Australia Ltd.                                           |           | 1,309   |   | 18,521     |
| Cameco Corp.                                                    |           | 500     |   | 16,931     |
| Canadian Natural Resources Ltd.                                 |           | 700     |   | 44,766     |
| Canadian Oil Sands Trust (Unit)                                 |           | 300     |   | 11,354     |
| Chevron Corp.                                                   |           | 94,300  |   | 7,968,350  |
| Comstock Resources, Inc.*                                       |           | 14,000  |   | 443,800    |
| ConocoPhillips                                                  |           | 155,010 |   | 12,450,403 |
| Devon Energy Corp.                                              |           | 40,820  |   | 3,468,884  |
| Enbridge, Inc.                                                  |           | 400     |   | 15,971     |
| EnCana Corp.                                                    |           | 900     |   | 59,331     |
| Eni SpA                                                         |           | 10,513  |   | 338,815    |
| EOG Resources, Inc.                                             |           | 37,430  |   | 3,275,125  |
| ExxonMobil Corp.                                                |           | 260,100 |   | 22,472,640 |
| Frontier Oil Corp.                                              |           | 118,600 |   | 4,183,022  |
| Gazprom (ADR)                                                   |           | 30,200  |   | 1,460,813  |
| Hess Corp.                                                      |           | 49,100  |   | 4,459,753  |
| Husky Energy, Inc.                                              |           | 400     |   | 16,569     |
| Imperial Oil Ltd.                                               |           | 500     |   | 24,580     |
| INPEX Holdings, Inc.                                            |           | 19      |   | 177,999    |
| KazMunaiGas Exploration Production (GDR) 144A                   |           | 23,900  |   | 623,790    |
| Marathon Oil Corp.                                              |           | 97,100  |   | 4,549,135  |
| Mariner Energy, Inc.*                                           |           | 31,600  |   | 791,896    |
| Massey Energy Co.                                               |           | 19,800  |   | 736,164    |
| Murphy Oil Corp.                                                |           | 8,000   |   | 588,320    |
| Neste Oil Oyj                                                   |           | 358     |   | 11,451     |
| Nexen, Inc.                                                     |           | 700     |   | 20,037     |
| Nippon Mining Holdings, Inc.                                    |           | 20,000  |   | 117,399    |
| Nippon Oil Corp.                                                |           | 28,000  |   | 189,558    |
| OMV AG                                                          |           | 5,176   |   | 372,077    |
| Origin Energy Ltd.                                              |           | 7,652   |   | 60,349     |
| Paladin Energy Ltd.*                                            |           | 4,648   |   | 18,554     |
| Petro-Canada                                                    |           | 600     |   | 27,268     |
| PetroQuest Energy, Inc.*                                        |           | 35,300  |   | 456,076    |
| Repsol YPF SA                                                   |           | 28,769  |   | 917,482    |
| Royal Dutch Shell PLC "A"                                       |           | 2,398   |   | 85,405     |
| Royal Dutch Shell PLC "B"                                       |           | 1,824   |   | 63,103     |
| Santos Ltd.                                                     |           | 5,033   |   | 54,767     |
|                                                                 |                |         |        |            |  |

| St. Mary Land & Exploration Co.              |           | 27,600  |   | 972,348    |
|--------------------------------------------------|----------------|---------|--------|------------|
| StatoilHydro ASA                                 |           | 54,350  |   | 1,421,010  |
| Suncor Energy, Inc.                              |           | 600     |   | 56,412     |
| Sunoco, Inc.                                     |           | 32,000  |   | 1,990,400  |
| Swift Energy Co.*                                |           | 13,800  |   | 595,470    |
| Talisman Energy, Inc.                            |           | 1,500   |   | 23,694     |
| Tesoro Corp.                                     |           | 40,600  |   | 1,585,430  |
| TonenGeneral Sekiyu KK                           |           | 7,000   |   | 60,411     |
| Total SA                                         |           | 17,408  |   | 1,262,696  |
| TransCanada Corp.                                |           | 600     |   | 23,646     |
| Valero Energy Corp.                              |           | 111,930 |   | 6,625,137  |
| Western Refining, Inc.                           |           | 10,200  |   | 217,770    |
| Woodside Petroleum Ltd.                          |           | 4,035   |   | 170,581    |
| XTO Energy, Inc.                                 |           | 68,395  |   | 3,552,436  |
|                                                  |
|                                             | **92,054,613** |
| **Financials 10.1%**                             |           |
| **Capital Markets                        2.6%**  |           |
| 3i Group PLC                                     |           | 76,003  |   | 1,416,142  |
| Ameriprise Financial, Inc.                       |           | 87,400  |   | 4,834,094  |
| Bank of New York Mellon Corp.                    |           | 147,900 |   | 6,896,577  |
| Credit Suisse Group (Registered)                 |           | 1,813   |   | 102,750    |
| Daiwa Securities Group, Inc.                     |           | 3,000   |   | 26,532     |
| Greenhill & Co., Inc.                        |           | 10,600  |   | 715,818    |
| IGM Financial, Inc.                              |           | 400     |   | 17,676     |
| Janus Capital Group, Inc.                        |           | 24,900  |   | 672,549    |
| Julius Baer Holding AG (Registered)              |           | 9,156   |   | 639,520    |
| Lehman Brothers Holdings, Inc.                   |           | 85,130  |   | 5,462,792  |
| Mediobanca SpA                                   |           | 1,107   |   | 20,869     |
| Morgan Stanley                                   |           | 102,600 |   | 5,071,518  |
| Nomura Holdings, Inc.                            |           | 2,900   |   | 42,520     |
| Northern Trust Corp.                             |           | 26,400  |   | 1,936,704  |
| optionsXpress Holdings, Inc.                     |           | 5,600   |   | 151,872    |
| Prospect Capital Corp.                           |           | 23,965  |   | 347,013    |
| Raymond James Financial, Inc.                    |           | 7,300   |   | 205,057    |
| State Street Corp.                               |           | 28,990  |   | 2,380,659  |
| The Goldman Sachs Group, Inc.                    |           | 50,000  |   | 10,038,500 |
| UBS AG (Registered)                              |           | 3,558   |   | 147,240    |
| Waddell & Reed Financial, Inc. "A"           |           | 15,700  |   | 520,926    |
|                                                  |
|                                             | **41,647,328** |
| **Commercial Banks                        2.4%** |           |
| Allied Irish Banks PLC                           |           | 15,685  |   | 348,376    |
| AmericanWest Bancorp.                            |           | 6,300   |   | 76,734     |
| Australia & New Zealand Banking Group Ltd.   |           | 2,816   |   | 66,812     |
| Banca Monte dei Paschi di Siena SpA              |           | 2,902   |   | 13,605     |
| Banca Popolare di Milano Scarl                   |           | 1,274   |   | 16,106     |
| Banco Bilbao Vizcaya Argentaria SA               |           | 6,207   |   | 130,918    |
| Banco Comercial Portugues SA (Registered)        |           | 61,507  |   | 191,362    |
| Banco Espirito Santo SA (Registered)             |           | 7,664   |   | 134,324    |
| Banco Popular Espanol SA                         |           | 1,775   |   | 27,424     |
| Banco Santander SA                               |           | 10,301  |   | 180,688    |
| Bancolombia SA (ADR) (REG S) (Preferred)         |           | 11,800  |   | 394,238    |
| Bank of Cyprus PCL                               |           | 45,693  |   | 725,101    |
| Bank of East Asia Ltd.                           |           | 8,800   |   | 51,522     |
| Bank of Ireland                                  |           | 17,830  |   | 259,900    |
|                                                  |                |         |        |            |  |

| Bank of Montreal                               |   | 900     |   | 50,869    |
|------------------------------------------------|--------|---------|--------|-----------|
| Bank of Nova Scotia                            |   | 1,700   |   | 81,593    |
| Barclays PLC                                   |   | 4,711   |   | 44,414    |
| BB&T Corp.                                 |   | 100,400 |   | 3,642,512 |
| BNP Paribas                                    |   | 1,357   |   | 134,160   |
| BOC Hong Kong (Holdings) Ltd.                  |   | 21,500  |   | 54,050    |
| Boston Private Financial Holdings, Inc.        |   | 17,300  |   | 394,959   |
| Canadian Imperial Bank of Commerce             |   | 600     |   | 43,773    |
| Cathay General Bancorp.                        |   | 17,300  |   | 448,589   |
| China Merchants Bank Co., Ltd. "H"             |   | 107,500 |   | 379,770   |
| Citizens Republic Bancorp., Inc.               |   | 27,400  |   | 387,436   |
| City Holding Co.                               |   | 4,700   |   | 180,574   |
| Commerzbank AG                                 |   | 1,288   |   | 39,336    |
| Commonwealth Bank of Australia                 |   | 1,927   |   | 86,830    |
| Credit Agricole SA                             |   | 1,154   |   | 35,541    |
| Danske Bank AS                                 |   | 11,200  |   | 401,252   |
| DBS Group Holdings Ltd.                        |   | 17,000  |   | 212,922   |
| Deutsche Postbank AG                           |   | 203     |   | 16,973    |
| Dexia SA                                       |   | 2,113   |   | 51,193    |
| DNB NOR ASA                                    |   | 17,900  |   | 233,716   |
| Erste Bank der oesterreichischen Sparkassen AG |   | 20,161  |   | 1,096,507 |
| FirstMerit Corp.                               |   | 21,700  |   | 485,429   |
| Frontier Financial Corp.                       |   | 14,000  |   | 285,040   |
| Glacier Bancorp., Inc.                         |   | 15,700  |   | 292,177   |
| Grupo Financiero Banorte SAB de CV "O"         |   | 154,400 |   | 641,640   |
| Hang Seng Bank Ltd.                            |   | 4,200   |   | 84,434    |
| HBOS PLC                                       |   | 2,564   |   | 35,410    |
| HSBC Holdings PLC                              |   | 7,271   |   | 109,019   |
| Hypo Real Estate Holding AG                    |   | 458     |   | 14,452    |
| Intesa Sanpaolo                                |   | 124,509 |   | 889,446   |
| Intesa Sanpaolo (RNC)                          |   | 1,308   |   | 8,984     |
| Jyske Bank AS (Registered)*                    |   | 1,500   |   | 96,657    |
| KBC Groep NV                                   |   | 7,420   |   | 946,138   |
| Kookmin Bank (ADR)                             |   | 10,000  |   | 665,000   |
| Lloyds TSB Group PLC                           |   | 4,121   |   | 36,284    |
| Mitsubishi UFJ Financial Group, Inc.           |   | 11,400  |   | 112,909   |
| Mizuho Financial Group, Inc.                   |   | 13      |   | 61,614    |
| National Australia Bank Ltd.                   |   | 2,506   |   | 79,184    |
| National Bank of Canada                        |   | 400     |   | 20,130    |
| National Bank of Greece SA                     |   | 12,100  |   | 741,192   |
| NBT Bancorp., Inc.                             |   | 10,300  |   | 232,574   |
| Nordea Bank AB                                 |   | 11,800  |   | 159,740   |
| Old National Bancorp.                          |   | 21,400  |   | 359,520   |
| Oversea-Chinese Banking Corp., Ltd.            |   | 37,000  |   | 196,380   |
| Pacific Capital Bancorp.                       |   | 18,800  |   | 404,200   |
| Provident Bankshares Corp.                     |   | 13,800  |   | 286,074   |
| Raiffeisen International Bank-Holding AG       |   | 951     |   | 121,392   |
| Regions Financial Corp.                        |   | 55,500  |   | 1,400,820 |
| Resona Holdings, Inc.                          |   | 9       |   | 14,258    |
| Royal Bank of Canada                           |   | 2,200   |   | 110,981   |
| Royal Bank of Scotland Group PLC               |   | 6,738   |   | 51,475    |
| Skandinaviska Enskilda Banken AB "A"           |   | 2,700   |   | 61,247    |
| Societe Generale                               |   | 619     |   | 76,801    |
| Standard Chartered PLC                         |   | 31,398  |   | 1,044,201 |
| Sterling Bancshares, Inc.                      |   | 52,550  |   | 527,076   |

| Sterling Financial Corp.                                       |           | 21,600  |   | 384,264    |
|----------------------------------------------------------------|----------------|---------|--------|------------|
| Sumitomo Mitsui Financial Group, Inc.                          |           | 9       |   | 71,123     |
| Sumitomo Trust & Banking Co., Ltd.                         |           | 3,000   |   | 19,063     |
| SVB Financial Group*                                           |           | 9,900   |   | 479,160    |
| Svenska Handelsbanken AB "A"                                   |           | 2,800   |   | 78,421     |
| Sydbank AS                                                     |           | 1,650   |   | 59,774     |
| The Bank of Yokohama Ltd.                                      |           | 2,000   |   | 13,082     |
| UniCredito Italiano SpA                                        |           | 227,440 |   | 1,669,645  |
| Unione di Banche Italiane SCPA                                 |           | 1,201   |   | 30,067     |
| United Overseas Bank Ltd.                                      |           | 18,000  |   | 222,874    |
| VTB Bank OJSC (GDR) 144A*                                      |           | 88,400  |   | 707,200    |
| Wells Fargo & Co.                                          |           | 390,200 |   | 13,270,702 |
| Westpac Banking Corp.                                          |           | 2,811   |   | 65,676     |
|                                                                |
|                                                           | **38,357,008** |
| **Consumer Finance                        0.0%**               |           |
| Cash America International, Inc.                               |           | 16,400  |   | 533,164    |
| ORIX Corp.                                                     |           | 160     |   | 27,227     |
|                                                                |
|                                                           | **560,391**    |
| **Diversified Financial Services                        1.6%** |           |
| ASX Ltd.                                                       |           | 363     |   | 15,691     |
| Bank of America Corp.                                          |           | 336,400 |   | 14,919,340 |
| Citigroup, Inc.                                                |           | 85,900  |   | 2,424,098  |
| CME Group, Inc.                                                |           | 8,187   |   | 5,066,934  |
| Deutsche Boerse AG                                             |           | 395     |   | 69,777     |
| Fortis                                                         |           | 8,305   |   | 186,936    |
| Groupe Bruxelles Lambert SA                                    |           | 343     |   | 39,848     |
| Hong Kong Exchanges & Clearing Ltd.                        |           | 6,000   |   | 124,627    |
| ING Groep NV (CVA)                                             |           | 7,493   |   | 243,942    |
| Interactive Brokers Group, Inc. "A"*                           |           | 2,100   |   | 73,101     |
| JPMorgan Chase & Co.                                       |           | 55,900  |   | 2,658,045  |
| OMX AB                                                         |           | 500     |   | 20,707     |
| Singapore Exchange Ltd.                                        |           | 12,000  |   | 84,032     |
|                                                                |
|                                                           | **25,927,078** |
| **Insurance                        2.2%**                      |           |
| ACE Ltd.                                                       |           | 101,800 |   | 5,939,012  |
| Aegon NV                                                       |           | 5,816   |   | 86,808     |
| Aflac, Inc.                                                    |           | 36,662  |   | 2,248,481  |
| Alleanza Assicurazioni SpA                                     |           | 735     |   | 9,400      |
| Allianz SE (Registered)                                        |           | 872     |   | 157,042    |
| Allied World Assurance Co. Holdings Ltd.                       |           | 20,400  |   | 971,652    |
| American International Group, Inc.                             |           | 11,500  |   | 634,340    |
| AMP Ltd.                                                       |           | 3,058   |   | 23,422     |
| AmTrust Financial Services, Inc.                               |           | 20,800  |   | 326,560    |
| Aspen Insurance Holdings Ltd.                                  |           | 21,300  |   | 601,086    |
| Assicurazioni Generali SpA                                     |           | 1,665   |   | 71,105     |
| Aviva PLC                                                      |           | 1,867   |   | 23,384     |
| Axa                                                            |           | 18,494  |   | 633,953    |
| AXA Asia Pacific Holdings Ltd.                                 |           | 1,676   |   | 9,058      |
| CNP Assurances                                                 |           | 77      |   | 9,376      |
| Endurance Specialty Holdings Ltd.                              |           | 2,800   |   | 113,456    |
| First Mercury Financial Corp.*                                 |           | 6,300   |   | 120,393    |
| Great-West Lifeco, Inc.                                        |           | 500     |   | 16,010     |
| Hallmark Financial Services, Inc.*                             |           | 17,600  |   | 228,976    |
| Hartford Financial Services Group, Inc.                        |           | 79,300  |   | 6,405,061  |
|                                                                |                |         |        |            |  |

| Insurance Australia Group Ltd.                                                    |           | 3,370   |   | 11,428    |
|-----------------------------------------------------------------------------------|----------------|---------|--------|-----------|
| Irish Life & Permanent PLC                                                    |           | 5,155   |   | 82,373    |
| Legal & General Group PLC                                                     |           | 6,916   |   | 18,296    |
| Manulife Financial Corp.                                                          |           | 2,500   |   | 94,169    |
| Max Capital Group Ltd.                                                            |           | 14,200  |   | 403,138   |
| MetLife, Inc.                                                                     |           | 8,000   |   | 471,760   |
| Millea Holdings, Inc.                                                             |           | 1,100   |   | 41,997    |
| Mitsui Sumitomo Insurance Co., Ltd.                                               |           | 2,000   |   | 20,638    |
| Muenchener Rueckversicherungs-Gesellschaft AG                        (Registered) |           | 406     |   | 73,334    |
| Navigators Group, Inc.*                                                           |           | 6,500   |   | 375,245   |
| Old Mutual PLC                                                                    |           | 4,270   |   | 10,640    |
| PartnerRe Ltd.                                                                    |           | 4,600   |   | 364,688   |
| Platinum Underwriters Holdings Ltd.                                               |           | 19,300  |   | 651,375   |
| Power Corp. of Canada                                                             |           | 600     |   | 21,274    |
| Power Financial Corp.                                                             |           | 400     |   | 14,561    |
| Prudential PLC                                                                    |           | 80,574  |   | 1,040,807 |
| QBE Insurance Group Ltd.                                                          |           | 23,226  |   | 589,539   |
| Sampo Oyj "A"                                                                     |           | 13,842  |   | 361,583   |
| Seabright Insurance Holdings*                                                     |           | 21,700  |   | 318,773   |
| Selective Insurance Group, Inc.                                                   |           | 7,600   |   | 181,716   |
| Sompo Japan Insurance, Inc.                                                       |           | 2,000   |   | 18,108    |
| Storebrand ASA                                                                    |           | 10,100  |   | 82,578    |
| Sun Life Financial, Inc.                                                          |           | 900     |   | 44,505    |
| Suncorp-Metway Ltd.                                                               |           | 1,450   |   | 20,159    |
| Swiss Life Holding (Registered)*                                                  |           | 62      |   | 15,037    |
| Swiss Re (Registered)                                                             |           | 602     |   | 45,099    |
| T&D Holdings, Inc.                                                            |           | 300     |   | 16,102    |
| The Travelers Companies, Inc.                                                     |           | 140,900 |   | 6,777,290 |
| Topdanmark AS*                                                                    |           | 425     |   | 63,592    |
| W.R. Berkley Corp.                                                                |           | 65,600  |   | 1,985,056 |
| XL Capital Ltd. "A"                                                               |           | 52,600  |   | 2,367,000 |
| Zurich Financial Services AG (Registered)                                         |           | 243     |   | 69,241    |
|                                                                                   |
|                                                                              | **35,279,676** |
| **Real Estate Investment Trusts                        1.0%**                     |           |
| Alexandria Real Estate Equities, Inc. (REIT)                                      |           | 5,000   |   | 491,150   |
| Apartment Investment & Management Co. "A"                        (REIT)       |           | 11,610  |   | 460,220   |
| AvalonBay Communities, Inc. (REIT)                                                |           | 7,900   |   | 742,205   |
| BioMed Realty Trust, Inc. (REIT)                                                  |           | 12,200  |   | 281,576   |
| CapitaMall Trust (REIT)                                                           |           | 20,000  |   | 42,658    |
| Corio NV (REIT)                                                                   |           | 227     |   | 18,701    |
| Corporate Office Properties Trust (REIT)                                          |           | 8,700   |   | 278,661   |
| Cousins Properties, Inc. (REIT)                                                   |           | 10,900  |   | 289,940   |
| Digital Realty Trust, Inc. (REIT)                                                 |           | 9,200   |   | 328,716   |
| Equity Lifestyle Properties, Inc. (REIT)                                          |           | 5,400   |   | 235,818   |
| Equity Residential (REIT)                                                         |           | 21,500  |   | 804,315   |
| First Industrial Realty Trust, Inc. (REIT)                                        |           | 12,500  |   | 435,375   |
| Glimcher Realty Trust (REIT)                                                      |           | 11,200  |   | 148,512   |
| Goodman Group (REIT)                                                              |           | 3,467   |   | 13,827    |
| GPT Group (REIT)                                                                  |           | 4,877   |   | 16,681    |
| HCP, Inc. (REIT)                                                                  |           | 11,900  |   | 361,879   |
| Healthcare Realty Trust, Inc. (REIT)                                              |           | 8,200   |   | 211,806   |
| Home Properties, Inc. (REIT)                                                      |           | 9,100   |   | 436,709   |
| Hospitality Properties Trust (REIT)                                               |           | 21,200  |   | 719,740   |
| Host Hotels & Resorts, Inc. (REIT)                                            |           | 38,400  |   | 642,816   |
| Kimco Realty Corp. (REIT)                                                         |           | 12,700  |   | 454,787   |
|                                                                                   |                |         |        |           |  |

| LaSalle Hotel Properties (REIT)                                          |           | 8,100   |   | 222,021   |
|--------------------------------------------------------------------------|----------------|---------|--------|-----------|
| Lexington Realty Trust (REIT)                                            |           | 18,700  |   | 279,565   |
| Link (REIT)                                                              |           | 14,000  |   | 35,679    |
| Maguire Properties, Inc. (REIT)                                          |           | 8,500   |   | 234,430   |
| Mid-America Apartment Communities, Inc. (REIT)                           |           | 5,800   |   | 265,698   |
| Nationwide Health Properties, Inc. (REIT)                                |           | 7,700   |   | 243,012   |
| OMEGA Healthcare Investors, Inc. (REIT)                                  |           | 8,900   |   | 146,850   |
| Parkway Properties, Inc. (REIT)                                          |           | 8,000   |   | 287,360   |
| Pennsylvania Real Estate Investment Trust                        (REIT)  |           | 7,200   |   | 191,880   |
| Potlatch Corp. (REIT)                                                    |           | 6,200   |   | 266,166   |
| ProLogis (REIT)                                                          |           | 9,100   |   | 540,085   |
| Public Storage (REIT)                                                    |           | 12,500  |   | 978,125   |
| Realty Income Corp. (REIT)                                               |           | 13,000  |   | 316,940   |
| Senior Housing Properties Trust (REIT)                                   |           | 18,300  |   | 409,737   |
| Simon Property Group, Inc. (REIT)                                        |           | 16,300  |   | 1,456,894 |
| Sovran Self Storage, Inc. (REIT)                                         |           | 4,900   |   | 194,138   |
| Stockland (REIT)                                                         |           | 2,927   |   | 19,304    |
| Strategic Hotels & Resorts, Inc. (REIT)                              |           | 15,500  |   | 222,425   |
| Sunstone Hotel Investors, Inc. (REIT)                                    |           | 14,700  |   | 244,608   |
| The Macerich Co. (REIT)                                                  |           | 1,000   |   | 68,370    |
| Unibail-Rodamco (REIT)                                                   |           | 125     |   | 29,648    |
| Vornado Realty Trust (REIT)                                              |           | 11,000  |   | 994,400   |
| Washington Real Estate Investment Trust (REIT)                           |           | 11,000  |   | 346,060   |
| Weingarten Realty Investors (REIT)                                       |           | 1,500   |   | 50,430    |
| Wereldhave NV (REIT)                                                     |           | 152     |   | 16,944    |
| Westfield Group (REIT)                                                   |           | 2,826   |   | 47,747    |
|                                                                          |
|                                                                     | **15,524,608** |
| **Real Estate Management &                        Development 0.2%** |           |
| Brookfield Asset Management, Inc. "A"                                    |           | 1,000   |   | 32,239    |
| Capitaland Ltd.                                                          |           | 24,000  |   | 100,921   |
| Cheung Kong (Holdings) Ltd.                                              |           | 8,000   |   | 129,748   |
| City Developments Ltd.                                                   |           | 8,000   |   | 64,376    |
| Hang Lung Properties Ltd.                                                |           | 12,000  |   | 49,012    |
| Henderson Land Development Co., Ltd.                                     |           | 6,000   |   | 51,776    |
| Immoeast AG*                                                             |           | 11,398  |   | 100,530   |
| Immofinanz Immobilien Anlagen AG                                         |           | 12,878  |   | 121,192   |
| Kerry Properties Ltd.                                                    |           | 4,000   |   | 26,936    |
| Lend Lease Corp., Ltd.                                                   |           | 911     |   | 11,788    |
| Meinl European Land Ltd.*                                                |           | 8,303   |   | 105,958   |
| Mitsubishi Estate Co., Ltd.                                              |           | 2,000   |   | 53,191    |
| Mitsui Fudosan Co., Ltd.                                                 |           | 26,000  |   | 595,959   |
| New World Development Co., Ltd.                                          |           | 14,000  |   | 43,530    |
| Sino Land Co., Ltd.                                                      |           | 8,000   |   | 24,828    |
| Sumitomo Realty & Development Co., Ltd.                              |           | 1,000   |   | 24,663    |
| Sun Hung Kai Properties Ltd.                                             |           | 8,000   |   | 160,719   |
| Swire Pacific Ltd. "A"                                                   |           | 5,000   |   | 68,312    |
| Wharf Holdings Ltd.                                                      |           | 103,000 |   | 563,348   |
|                                                                          |
|                                                                     | **2,329,026**  |
| **Thrifts & Mortgage Finance                        0.1%**           |           |
| Corus Bankshares, Inc.                                                   |           | 32,800  |   | 417,216   |
| First Niagara Financial Group, Inc.                                      |           | 12,500  |   | 159,000   |
| Flagstar Bancorp., Inc.                                                  |           | 43,800  |   | 361,350   |
| Ocwen Financial Corp.*                                                   |           | 70,900  |   | 442,416   |
| WSFS Financial Corp.                                                     |           | 5,200   |   | 277,160   |
|                                                                          |
|                                                                     | **1,657,142**  |
|                                                                          |                |         |        |           |  |

| **Health Care 7.6%**                                                 |           |
|----------------------------------------------------------------------|----------------|
| **Biotechnology                        1.3%**                        |           |
| Alkermes, Inc.*                                                      |           | 38,700 |   | 515,484 |
| Amgen, Inc.*                                                         |           | 182,800 |   | 8,516,652 |
| Celgene Corp.*                                                       |           | 29,700 |   | 1,666,467 |
| CSL Ltd.                                                             |           | 22,923 |   | 713,167 |
| Cubist Pharmaceuticals, Inc.*                                        |           | 29,500 |   | 501,205 |
| Genentech, Inc.*                                                     |           | 41,000 |   | 2,877,790 |
| Gilead Sciences, Inc.*                                               |           | 87,020 |   | 3,975,944 |
| GTx, Inc.*                                                           |           | 7,200 |   | 79,848 |
| Isis Pharmaceuticals, Inc.*                                          |           | 11,100 |   | 173,160 |
| Onyx Pharmaceuticals, Inc.*                                          |           | 9,300 |   | 442,029 |
| OSI Pharmaceuticals, Inc.*                                           |           | 15,700 |   | 626,116 |
| United Therapeutics Corp.*                                           |           | 2,900 |   | 243,542 |
|                                                                      |
|                                                                 | **20,331,404** |
| **Health Care Equipment &                        Supplies 0.9%** |           |
| Analogic Corp.                                                       |           | 1,700 |   | 100,402 |
| Baxter International, Inc.                                           |           | 77,520 |   | 4,708,565 |
| C.R. Bard, Inc.                                                      |           | 19,720 |   | 1,904,360 |
| Cochlear Ltd.                                                        |           | 2,342 |   | 147,315 |
| Cutera, Inc.*                                                        |           | 26,400 |   | 329,736 |
| Cynosure, Inc. "A"*                                                  |           | 7,900 |   | 196,157 |
| Essilor International SA                                             |           | 1,930 |   | 111,643 |
| Getinge AB "B"                                                       |           | 800 |   | 18,699 |
| Hologic, Inc.*                                                       |           | 12,100 |   | 778,756 |
| Medtronic, Inc.                                                      |           | 52,760 |   | 2,457,033 |
| Nobel Biocare Holding AG (Bearer)                                    |           | 97 |   | 24,015 |
| Olympus Corp.                                                        |           | 2,000 |   | 67,044 |
| Quidel Corp.*                                                        |           | 26,000 |   | 410,020 |
| Smith & Nephew PLC                                               |           | 4,258 |   | 58,071 |
| Sonova Holding AG (Registered)                                       |           | 186 |   | 16,666 |
| SurModics, Inc.*                                                     |           | 5,800 |   | 253,228 |
| Synthes, Inc.                                                        |           | 232 |   | 29,645 |
| Terumo Corp.                                                         |           | 6,600 |   | 358,971 |
| William Demant Holding AS*                                           |           | 325 |   | 22,050 |
| Zimmer Holdings, Inc.*                                               |           | 27,770 |   | 2,173,558 |
|                                                                      |
|                                                                 | **14,165,934** |
| **Health Care Providers &                        Services 2.0%** |           |
| Aetna, Inc.                                                          |           | 110,100 |   | 5,863,926 |
| Air Methods Corp.*                                                   |           | 2,700 |   | 123,876 |
| Alliance Imaging, Inc.*                                              |           | 27,300 |   | 290,199 |
| Amedisys, Inc.*                                                      |           | 8,300 |   | 353,829 |
| AmSurg Corp.*                                                        |           | 9,700 |   | 249,872 |
| Apria Healthcare Group, Inc.*                                        |           | 33,700 |   | 715,114 |
| Celesio AG                                                           |           | 1,309 |   | 76,954 |
| Centene Corp.*                                                       |           | 21,400 |   | 512,316 |
| CorVel Corp.*                                                        |           | 15,400 |   | 381,150 |
| Fresenius Medical Care AG & Co. KGaA                             |           | 19,883 |   | 1,020,787 |
| Health Net, Inc.*                                                    |           | 28,500 |   | 1,324,965 |
| Healthspring, Inc.*                                                  |           | 31,900 |   | 660,011 |
| Humana, Inc.*                                                        |           | 32,500 |   | 2,609,750 |
| Kindred Healthcare, Inc.*                                            |           | 23,700 |   | 652,698 |
| Laboratory Corp. of America Holdings*                                |           | 18,300 |   | 1,352,004 |
| Magellan Health Services, Inc.*                                      |           | 11,000 |   | 481,140 |
|                                                                      |                |  |  |  |  |

| McKesson Corp.                                                     |           | 120,600 |   | 7,572,474  |
|--------------------------------------------------------------------|----------------|---------|--------|------------|
| Medco Health Solutions, Inc.*                                      |           | 65,000  |   | 3,255,200  |
| Owens & Minor, Inc.                                            |           | 8,300   |   | 342,956    |
| RehabCare Group, Inc.*                                             |           | 7,800   |   | 163,722    |
| Res-Care, Inc.*                                                    |           | 13,800  |   | 308,706    |
| Sonic Healthcare Ltd.                                              |           | 13,107  |   | 193,583    |
| UnitedHealth Group, Inc.                                           |           | 43,460  |   | 2,209,506  |
| WellPoint, Inc.*                                                   |           | 19,300  |   | 1,509,260  |
|                                                                    |
|                                                               | **32,223,998** |
| **Health Care Technology                        0.1%**             |           |
| Agfa Gevaert NV                                                    |           | 19,563  |   | 218,404    |
| Eclipsys Corp.*                                                    |           | 7,200   |   | 185,328    |
| Phase Forward, Inc.*                                               |           | 13,300  |   | 229,425    |
| TriZetto Group, Inc.*                                              |           | 19,000  |   | 370,880    |
|                                                                    |
|                                                               | **1,004,037**  |
| **Life Sciences Tools &                        Services 0.4%** |           |
| Albany Molecular Research, Inc.*                                   |           | 23,200  |   | 249,632    |
| Cambrex Corp.                                                      |           | 71,800  |   | 682,100    |
| Dionex Corp.*                                                      |           | 4,800   |   | 336,480    |
| Gerresheimer AG*                                                   |           | 15,301  |   | 768,722    |
| Lonza Group AG (Registered)                                        |           | 9,197   |   | 1,178,285  |
| MDS, Inc.                                                          |           | 29,000  |   | 492,744    |
| PAREXEL International Corp.*                                       |           | 5,000   |   | 272,050    |
| Pharmanet Development Group, Inc.*                                 |           | 11,100  |   | 452,436    |
| QIAGEN NV*                                                         |           | 2,780   |   | 56,438     |
| Thermo Fisher Scientific, Inc.*                                    |           | 33,600  |   | 1,730,064  |
| Varian, Inc.*                                                      |           | 5,300   |   | 287,525    |
| Ventana Medical Systems, Inc.*                                     |           | 8,100   |   | 721,305    |
|                                                                    |
|                                                               | **7,227,781**  |
| **Pharmaceuticals                        2.9%**                    |           |
| Abbott Laboratories                                                |           | 68,400  |   | 3,850,920  |
| Astellas Pharma, Inc.                                              |           | 4,900   |   | 212,246    |
| AstraZeneca PLC                                                    |           | 6,600   |   | 275,308    |
| Biovail Corp.                                                      |           | 34,200  |   | 466,991    |
| Bristol-Myers Squibb Co.                                           |           | 160,000 |   | 3,710,400  |
| Caraco Pharmaceutical Laboratories Ltd.*                           |           | 12,600  |   | 193,536    |
| Chugai Pharmaceutical Co., Ltd.                                    |           | 2,900   |   | 38,352     |
| Daiichi Sankyo Co., Ltd.                                           |           | 7,000   |   | 210,143    |
| Eisai Co., Ltd.                                                    |           | 2,600   |   | 106,977    |
| Elan Corp. PLC*                                                    |           | 45,632  |   | 1,162,441  |
| Eli Lilly & Co.                                                |           | 46,550  |   | 2,398,256  |
| GlaxoSmithKline PLC                                                |           | 24,939  |   | 588,630    |
| Johnson & Johnson                                              |           | 74,366  |   | 4,704,393  |
| Kyowa Hakko Kogyo Co., Ltd.                                        |           | 3,000   |   | 30,177     |
| Medicis Pharmaceutical Corp. "A"                                   |           | 25,500  |   | 517,905    |
| Merck & Co., Inc.                                              |           | 57,800  |   | 2,674,984  |
| Merck KGaA                                                         |           | 5,194   |   | 642,993    |
| Mitsubishi Tanabe Pharma Corp.                                     |           | 3,000   |   | 36,451     |
| Novartis AG (Registered)                                           |           | 8,740   |   | 442,283    |
| Noven Pharmaceuticals, Inc.*                                       |           | 22,800  |   | 306,204    |
| Novo Nordisk AS "B"                                                |           | 19,650  |   | 1,234,440  |
| Perrigo Co.                                                        |           | 23,600  |   | 727,824    |
| Pfizer, Inc.                                                       |           | 564,800 |   | 13,210,672 |
| Roche Holding AG (Genusschein)                                     |           | 9,998   |   | 1,811,426  |
|                                                                    |                |         |        |            |  |

| Sanofi-Aventis                                              |           | 9,985   |   | 813,183   |
|-------------------------------------------------------------|----------------|---------|--------|-----------|
| Schering-Plough Corp.                                       |           | 128,500 |   | 2,514,745 |
| Sepracor, Inc.*                                             |           | 73,200  |   | 2,067,168 |
| Shionogi & Co., Ltd.                                    |           | 3,000   |   | 56,368    |
| Taisho Pharmaceutical Co., Ltd.                             |           | 2,000   |   | 41,440    |
| Takeda Pharmaceutical Co., Ltd.                             |           | 8,400   |   | 510,137   |
| UCB SA                                                      |           | 16,579  |   | 805,324   |
| Valeant Pharmaceuticals International*                      |           | 40,800  |   | 461,856   |
| ViroPharma, Inc.*                                           |           | 41,100  |   | 364,146   |
|                                                             |
|                                                        | **47,188,319** |
| **Industrials 7.4%**                                        |           |
| **Aerospace & Defense                        1.4%**     |           |
| BAE Systems PLC                                             |           | 58,904  |   | 548,773   |
| Bombardier, Inc. "B"*                                       |           | 25,900  |   | 127,688   |
| CAE, Inc.                                                   |           | 4,700   |   | 52,802    |
| Cobham PLC                                                  |           | 3,674   |   | 13,475    |
| Cubic Corp.                                                 |           | 6,500   |   | 174,590   |
| European Aeronautic Defence & Space Co.                 |           | 703     |   | 17,809    |
| Finmeccanica SpA                                            |           | 654     |   | 19,582    |
| General Dynamics Corp.                                      |           | 3,200   |   | 270,272   |
| Goodrich Corp.                                              |           | 39,700  |   | 2,483,235 |
| Honeywell International, Inc.                               |           | 117,900 |   | 6,964,353 |
| Northrop Grumman Corp.                                      |           | 100,600 |   | 7,983,616 |
| Rolls-Royce Group PLC*                                      |           | 4,090   |   | 38,631    |
| Singapore Technologies Engineering Ltd.                     |           | 48,000  |   | 114,405   |
| Teledyne Technologies, Inc.*                                |           | 5,100   |   | 263,313   |
| Thales SA                                                   |           | 226     |   | 13,059    |
| United Technologies Corp.                                   |           | 40,780  |   | 2,993,660 |
|                                                             |
|                                                        | **22,079,263** |
| **Air Freight & Logistics                        0.0%** |           |
| Deutsche Post AG (Registered)                               |           | 1,628   |   | 52,905    |
| TNT NV*                                                     |           | 5,781   |   | 214,143   |
| Toll Holdings Ltd.                                          |           | 4,940   |   | 49,269    |
|                                                             |
|                                                        | **316,317**    |
| **Airlines                        0.3%**                    |           |
| Air France-KLM                                              |           | 357     |   | 9,916     |
| Alaska Air Group, Inc.*                                     |           | 27,800  |   | 703,340   |
| Cathay Pacific Airways Ltd.                                 |           | 41,000  |   | 92,057    |
| Continental Airlines, Inc. "B"*                             |           | 34,600  |   | 941,466   |
| Deutsche Lufthansa AG (Registered)                          |           | 586     |   | 14,052    |
| Iberia Lineas Aereas de Espana SA                           |           | 8,975   |   | 30,574    |
| Pinnacle Airlines Corp.*                                    |           | 25,400  |   | 341,376   |
| Qantas Airways Ltd.                                         |           | 8,803   |   | 37,344    |
| Singapore Airlines Ltd.                                     |           | 19,000  |   | 209,251   |
| SkyWest, Inc.                                               |           | 13,100  |   | 340,862   |
| US Airways Group, Inc.*                                     |           | 176,200 |   | 2,433,322 |
|                                                             |
|                                                        | **5,153,560**  |
| **Building Products                        0.1%**           |           |
| Apogee Enterprises, Inc.                                    |           | 18,600  |   | 324,570   |
| Asahi Glass Co., Ltd.                                       |           | 2,000   |   | 24,935    |
| Assa Abloy AB "B"                                           |           | 1,200   |   | 20,947    |
| Builders FirstSource, Inc.*                                 |           | 53,200  |   | 425,600   |
| Compagnie de Saint-Gobain                                   |           | 572     |   | 44,785    |
| Daikin Industries Ltd.                                      |           | 400     |   | 17,981    |
|                                                             |                |         |        |           |  |

| Geberit AG (Registered)                                            |           | 186     |   | 25,819    |
|--------------------------------------------------------------------|----------------|---------|--------|-----------|
| Wienerberger AG                                                    |           | 12,990  |   | 601,286   |
|                                                                    |
|                                                               | **1,485,923**  |
| **Commercial Services &                        Supplies 0.7%** |           |
| Adecco SA (Registered)                                             |           | 573     |   | 30,022    |
| Administaff, Inc.                                                  |           | 10,000  |   | 300,100   |
| Allied Waste Industries, Inc.*                                     |           | 237,600 |   | 2,340,360 |
| Bowne & Co., Inc.                                              |           | 3,100   |   | 38,130    |
| Brambles Ltd.                                                      |           | 12,353  |   | 120,057   |
| Casella Waste Systems, Inc. "A"*                                   |           | 11,500  |   | 139,495   |
| COMSYS IT Partners, Inc.*                                          |           | 22,700  |   | 244,025   |
| Consolidated Graphics, Inc.*                                       |           | 13,000  |   | 654,030   |
| Dai Nippon Printing Co., Ltd.                                      |           | 1,000   |   | 14,468    |
| Deluxe Corp.                                                       |           | 23,600  |   | 573,952   |
| Experian Group Ltd.                                                |           | 2,421   |   | 21,376    |
| G4S PLC                                                            |           | 3,161   |   | 13,877    |
| Hudson Highland Group, Inc.*                                       |           | 61,600  |   | 419,496   |
| IKON Office Solutions, Inc.                                        |           | 27,900  |   | 228,222   |
| Interface, Inc. "A"                                                |           | 12,200  |   | 194,712   |
| Intertek Group PLC                                                 |           | 38,076  |   | 667,350   |
| Kforce, Inc.*                                                      |           | 21,700  |   | 193,130   |
| PeopleSupport, Inc.*                                               |           | 14,900  |   | 186,399   |
| Randstad Holdings NV                                               |           | 787     |   | 30,252    |
| Rentokil Initial PLC                                               |           | 5,625   |   | 12,114    |
| Rollins, Inc.                                                      |           | 13,150  |   | 233,938   |
| Secom Co., Ltd.                                                    |           | 300     |   | 15,339    |
| Securitas AB "B"                                                   |           | 1,200   |   | 14,664    |
| Serco Group PLC                                                    |           | 78,761  |   | 656,493   |
| SGS SA (Registered)                                                |           | 21      |   | 27,291    |
| TeleTech Holdings, Inc.*                                           |           | 2,100   |   | 41,433    |
| The Brink's Co.                                                    |           | 46,200  |   | 2,801,106 |
| TrueBlue, Inc.*                                                    |           | 17,300  |   | 246,871   |
| United Stationers, Inc.*                                           |           | 8,800   |   | 486,288   |
| Vedior NV (CVA)                                                    |           | 2,521   |   | 61,848    |
|                                                                    |
|                                                               | **11,006,838** |
| **Construction & Engineering                        0.5%**     |           |
| Acciona SA                                                         |           | 502     |   | 127,794   |
| ACS Actividades de Construccion y Servicios SA                     |           | 3,742   |   | 196,417   |
| AMEC PLC                                                           |           | 192,101 |   | 2,634,788 |
| Balfour Beatty PLC                                                 |           | 1,558   |   | 13,094    |
| EMCOR Group, Inc.*                                                 |           | 31,400  |   | 688,602   |
| FLSmidth & Co. AS                                              |           | 600     |   | 53,563    |
| Fomento de Construcciones y Contratas SA                           |           | 881     |   | 58,699    |
| Grupo Ferrovial SA                                                 |           | 1,164   |   | 75,093    |
| Hochtief AG                                                        |           | 111     |   | 11,101    |
| Integrated Electrical Services, Inc.*                              |           | 14,500  |   | 196,185   |
| Leighton Holdings Ltd.                                             |           | 27,930  |   | 1,272,115 |
| Michael Baker Corp.*                                               |           | 13,500  |   | 462,105   |
| Orascom Construction Industries (GDR) (REG S)                      |           | 6,750   |   | 1,395,948 |
| Perini Corp.*                                                      |           | 13,300  |   | 464,835   |
| Sacyr Vallehermoso SA                                              |           | 1,555   |   | 49,741    |
| Skanska AB "B"                                                     |           | 1,600   |   | 27,438    |
| SNC-Lavalin Group, Inc.                                            |           | 2,800   |   | 120,416   |
| URS Corp.*                                                         |           | 11,300  |   | 496,070   |
| Vinci SA                                                           |           | 844     |   | 57,561    |
|                                                                    |                |         |        |           |  |

| YIT Oyj                                                  |           | 6,152   |   | 129,936    |
|----------------------------------------------------------|----------------|---------|--------|------------|
|                                                          |
|                                                     | **8,531,501**  |
| **Electrical Equipment                        0.6%**     |           |
| ABB Ltd. (Registered)                                    |           | 41,240  |   | 1,031,841  |
| Acuity Brands, Inc.                                      |           | 7,400   |   | 336,774    |
| Alstom                                                   |           | 208     |   | 41,998     |
| Belden, Inc.                                             |           | 11,500  |   | 486,450    |
| Emerson Electric Co.                                     |           | 85,600  |   | 4,351,904  |
| Encore Wire Corp.                                        |           | 15,100  |   | 251,868    |
| Gamesa Corporacion Tecnologica SA                        |           | 2,953   |   | 112,534    |
| GrafTech International Ltd.*                             |           | 31,300  |   | 471,065    |
| II-VI, Inc.*                                             |           | 8,800   |   | 285,296    |
| LSI Industries, Inc.                                     |           | 16,000  |   | 196,480    |
| Mitsubishi Electric Corp.                                |           | 3,000   |   | 27,962     |
| Polypore International, Inc.*                            |           | 4,500   |   | 83,565     |
| Regal-Beloit Corp.                                       |           | 5,500   |   | 208,560    |
| Renewable Energy Corp. AS*                               |           | 350     |   | 9,146      |
| Schneider Electric SA                                    |           | 420     |   | 48,709     |
| Solarworld AG                                            |           | 188     |   | 8,400      |
| Sumitomo Electric Industries Ltd.                        |           | 1,300   |   | 19,328     |
| Superior Essex, Inc.*                                    |           | 21,200  |   | 509,860    |
| Vestas Wind Systems AS*                                  |           | 1,950   |   | 189,095    |
| Woodward Governor Co.                                    |           | 11,700  |   | 734,526    |
|                                                          |
|                                                     | **9,405,361**  |
| **Industrial Conglomerates                        1.1%** |           |
| CSR Ltd.                                                 |           | 10,121  |   | 28,569     |
| Fraser & Neave Ltd.                                  |           | 31,000  |   | 105,884    |
| General Electric Co.                                     |           | 348,970 |   | 12,357,028 |
| Hutchison Whampoa Ltd.                                   |           | 62,000  |   | 609,518    |
| Keppel Corp., Ltd.                                       |           | 40,000  |   | 327,024    |
| Koninklijke (Royal) Philips Electronics NV               |           | 7,261   |   | 284,853    |
| Orkla ASA                                                |           | 1,900   |   | 25,101     |
| SembCorp Industries Ltd.                                 |           | 33,000  |   | 108,707    |
| Siemens AG (Registered)                                  |           | 12,888  |   | 1,669,950  |
| Smiths Group PLC                                         |           | 1,308   |   | 25,938     |
| Teleflex, Inc.                                           |           | 28,400  |   | 1,679,008  |
| Tredegar Corp.                                           |           | 19,900  |   | 275,814    |
|                                                          |
|                                                     | **17,497,394** |
| **Machinery                        1.3%**                |           |
| Actuant Corp. "A"                                        |           | 23,400  |   | 639,522    |
| AGCO Corp.*                                              |           | 45,600  |   | 2,746,032  |
| Alfa Laval AB                                            |           | 375     |   | 20,175     |
| American Railcar Industries, Inc.                        |           | 20,100  |   | 343,710    |
| Atlas Copco AB "A"                                       |           | 2,600   |   | 37,256     |
| Atlas Copco AB "B"                                       |           | 1,600   |   | 21,045     |
| Badger Meter, Inc.                                       |           | 10,800  |   | 408,240    |
| Caterpillar, Inc.                                        |           | 63,260  |   | 4,500,316  |
| China Infrastructure Machinery Holdings Ltd.             |           | 193,000 |   | 276,554    |
| Columbus McKinnon Corp.*                                 |           | 16,300  |   | 416,791    |
| EnPro Industries, Inc.*                                  |           | 8,300   |   | 249,000    |
| FANUC Ltd.                                               |           | 300     |   | 26,404     |
| Greenbrier Companies, Inc.                               |           | 8,400   |   | 163,296    |
| KCI Konecranes Oyj                                       |           | 2,990   |   | 90,885     |
| Komatsu Ltd.                                             |           | 38,200  |   | 922,117    |
|                                                          |                |         |        |            |  |

| Kone Oyj "B"                                                            |           | 3,646   |   | 243,762   |
|-------------------------------------------------------------------------|----------------|---------|--------|-----------|
| Kubota Corp.                                                            |           | 2,000   |   | 14,412    |
| MAN AG                                                                  |           | 250     |   | 31,049    |
| Metso Corp.                                                             |           | 6,066   |   | 284,852   |
| Mitsubishi Heavy Industries Ltd.                                        |           | 5,000   |   | 20,502    |
| Mueller Industries, Inc.                                                |           | 8,600   |   | 240,800   |
| Parker Hannifin Corp.                                                   |           | 104,100 |   | 7,038,201 |
| Robbins & Myers, Inc.                                               |           | 8,500   |   | 563,380   |
| Sandvik AB                                                              |           | 3,600   |   | 51,885    |
| Scania AB "B"                                                           |           | 1,400   |   | 28,951    |
| Schindler Holding AG                                                    |           | 266     |   | 15,927    |
| SKF AB "B"                                                              |           | 1,800   |   | 32,282    |
| Sulzer AG (Registered)                                                  |           | 14      |   | 14,963    |
| Sun Hydraulics Corp.                                                    |           | 11,800  |   | 271,400   |
| Vallourec SA                                                            |           | 2,676   |   | 536,155   |
| Volvo AB "A"                                                            |           | 1,800   |   | 24,097    |
| Volvo AB "B"                                                            |           | 4,100   |   | 54,774    |
| Wartsila Oyj "B"                                                        |           | 3,094   |   | 198,095   |
| Zardoya Otis SA                                                         |           | 2,140   |   | 50,093    |
|                                                                         |
|                                                                    | **20,576,923** |
| **Marine                        0.1%**                                  |           |
| A P Moller-Maersk AS "B"                                                |           | 11      |   | 108,831   |
| Kirby Corp.*                                                            |           | 40,600  |   | 1,866,788 |
| Kuehne & Nagel International AG                        (Registered) |           | 248     |   | 22,590    |
| Mitsui O.S.K. Lines Ltd.                                                |           | 2,000   |   | 24,394    |
| Nippon Yusen Kabushiki Kaisha                                           |           | 2,000   |   | 16,337    |
| TBS International Ltd. "A"*                                             |           | 12,400  |   | 413,044   |
|                                                                         |
|                                                                    | **2,451,984**  |
| **Road & Rail                        1.0%**                         |           |
| Canadian National Railway Co. (b)                                       |           | 50,400  |   | 2,540,664 |
| Canadian National Railway Co. (b)                                       |           | 9,100   |   | 460,506   |
| Canadian Pacific Railway Ltd.                                           |           | 2,800   |   | 186,955   |
| Celadon Group, Inc.*                                                    |           | 8,400   |   | 80,136    |
| Central Japan Railway Co.                                               |           | 2       |   | 18,505    |
| ComfortDelGro Corp., Ltd.                                               |           | 71,000  |   | 79,679    |
| Dollar Thrifty Automotive Group, Inc.*                                  |           | 3,800   |   | 92,758    |
| DSV AS                                                                  |           | 2,200   |   | 42,408    |
| East Japan Railway Co.                                                  |           | 5       |   | 41,301    |
| FirstGroup PLC                                                          |           | 1,366   |   | 17,941    |
| Marten Transport Ltd.*                                                  |           | 11,600  |   | 197,316   |
| MTR Corp., Ltd.                                                         |           | 41,500  |   | 159,312   |
| Ryder System, Inc.                                                      |           | 99,700  |   | 5,190,382 |
| Union Pacific Corp.                                                     |           | 55,100  |   | 6,889,153 |
| West Japan Railway Co.                                                  |           | 4       |   | 19,322    |
|                                                                         |
|                                                                    | **16,016,338** |
| **Trading Companies &                        Distributors 0.2%**    |           |
| Applied Industrial Technologies, Inc.                                   |           | 5,000   |   | 150,950   |
| Bunzl PLC                                                               |           | 1,161   |   | 14,618    |
| Electro Rent Corp.                                                      |           | 12,700  |   | 178,816   |
| Finning International, Inc.                                             |           | 3,300   |   | 86,539    |
| Hagemeyer NV                                                            |           | 8,465   |   | 58,897    |
| Itochu Corp.                                                            |           | 2,000   |   | 18,347    |
| Marubeni Corp.                                                          |           | 3,000   |   | 20,595    |
| Mitsubishi Corp.                                                        |           | 49,300  |   | 1,292,213 |
|                                                                         |                |         |        |           |  |

| Mitsui & Co., Ltd.                                                         |           | 2,000   |   | 41,167    |
|--------------------------------------------------------------------------------|----------------|---------|--------|-----------|
| Noble Group Ltd.                                                               |           | 313,000 |   | 394,863   |
| NuCo2, Inc.*                                                                   |           | 6,500   |   | 183,365   |
| Sumitomo Corp.                                                                 |           | 34,600  |   | 478,166   |
| Wolseley PLC                                                                   |           | 1,672   |   | 23,060    |
|                                                                                |
|                                                                           | **2,941,596**  |
| **Transportation Infrastructure                        0.1%**                  |           |
| Abertis Infraestructuras SA                                                    |           | 4,546   |   | 138,460   |
| Atlantia SpA                                                                   |           | 591     |   | 19,648    |
| Brisa                                                                          |           | 57,605  |   | 854,514   |
| Cintra Concesiones de Infraestructuras de Transporte                        SA |           | 4,048   |   | 58,780    |
| Hamburger Hafen-und Logistik AG*                                               |           | 2,700   |   | 202,322   |
| Hopewell Holdings Ltd.                                                         |           | 19,000  |   | 83,414    |
| Macquarie Infrastructure Group (Unit)                                          |           | 24,494  |   | 67,539    |
| Novorossiysk Sea Trade Port (GDR) 144A*                                        |           | 11,400  |   | 154,584   |
| Transurban Group (Unit)                                                        |           | 9,967   |   | 59,634    |
|                                                                                |
|                                                                           | **1,638,895**  |
| **Information Technology 7.3%**                                                |           |
| **Communications Equipment                        0.8%**                       |           |
| ADC Telecommunications, Inc.*                                                  |           | 114,300 |   | 1,690,497 |
| Alcatel-Lucent*                                                                |           | 17,742  |   | 111,939   |
| Avocent Corp.*                                                                 |           | 9,400   |   | 156,040   |
| Cisco Systems, Inc.*                                                           |           | 170,430 |   | 4,175,535 |
| Dycom Industries, Inc.*                                                        |           | 17,900  |   | 422,798   |
| MasTec, Inc.*                                                                  |           | 45,800  |   | 382,430   |
| Network Equipment Technologies, Inc.*                                          |           | 31,600  |   | 235,104   |
| Nokia Oyj                                                                      |           | 33,145  |   | 1,218,993 |
| Nortel Networks Corp.*                                                         |           | 2,700   |   | 33,560    |
| Oplink Communications, Inc.*                                                   |           | 31,900  |   | 407,363   |
| Plantronics, Inc.                                                              |           | 13,500  |   | 257,850   |
| QUALCOMM, Inc.                                                                 |           | 55,970  |   | 2,374,247 |
| Research In Motion Ltd.*                                                       |           | 3,100   |   | 290,410   |
| Tandberg ASA                                                                   |           | 2,700   |   | 47,233    |
| Tekelec*                                                                       |           | 13,900  |   | 166,661   |
| Telefonaktiebolaget LM Ericsson "B"                                            |           | 170,000 |   | 385,223   |
|                                                                                |
|                                                                           | **12,355,883** |
| **Computers & Peripherals                        1.8%**                    |           |
| Apple, Inc.*                                                                   |           | 38,980  |   | 5,276,333 |
| Dell, Inc.*                                                                    |           | 32,200  |   | 645,288   |
| EMC Corp.*                                                                     |           | 135,490 |   | 2,150,226 |
| Emulex Corp.*                                                                  |           | 26,200  |   | 408,720   |
| Fujitsu Ltd.                                                                   |           | 4,000   |   | 25,900    |
| Hewlett-Packard Co.                                                            |           | 81,900  |   | 3,583,125 |
| International Business Machines Corp.                                          |           | 80,740  |   | 8,666,632 |
| Intevac, Inc.*                                                                 |           | 26,500  |   | 288,585   |
| Lexmark International, Inc. "A"*                                               |           | 147,400 |   | 5,337,354 |
| Logitech International SA (Registered)*                                        |           | 9,094   |   | 277,292   |
| NEC Corp.                                                                      |           | 4,000   |   | 16,437    |
| Novatel Wireless, Inc.*                                                        |           | 32,400  |   | 518,400   |
| QLogic Corp.*                                                                  |           | 152,400 |   | 2,179,320 |
| Synaptics, Inc.*                                                               |           | 3,500   |   | 92,750    |
| Toshiba Corp.                                                                  |           | 5,000   |   | 33,824    |
| Wincor Nixdorf AG                                                              |           | 264     |   | 20,311    |
|                                                                                |
|                                                                           | **29,520,497** |
|                                                                                |                |         |        |           |  |

| **Electronic Equipment &                        Instruments 0.7%** |           |
|------------------------------------------------------------------------|----------------|
| Arrow Electronics, Inc.*                                               |           | 132,000 |   | 4,517,040 |
| Avnet, Inc.*                                                           |           | 93,000 |   | 3,311,730 |
| Checkpoint Systems, Inc.*                                              |           | 3,800 |   | 90,288 |
| Electrocomponents PLC                                                  |           | 12,062 |   | 45,791 |
| Fujifilm Holdings Corp.                                                |           | 600 |   | 23,524 |
| Hitachi Ltd.                                                           |           | 6,000 |   | 44,996 |
| Hoya Corp.                                                             |           | 800 |   | 21,808 |
| IBIDEN Co., Ltd.                                                       |           | 200 |   | 12,939 |
| Keyence Corp.                                                          |           | 100 |   | 21,309 |
| Kingboard Chemical Holdings Ltd.                                       |           | 40,800 |   | 171,654 |
| Kyocera Corp.                                                          |           | 300 |   | 23,966 |
| LoJack Corp.*                                                          |           | 9,600 |   | 118,464 |
| Mettler-Toledo International, Inc.*                                    |           | 16,400 |   | 1,628,520 |
| Multi-Fineline Electronix, Inc.*                                       |           | 21,400 |   | 281,838 |
| Murata Manufacturing Co., Ltd.                                         |           | 400 |   | 19,936 |
| Nidec Corp.                                                            |           | 200 |   | 13,204 |
| Rofin-Sinar Technologies, Inc.*                                        |           | 4,600 |   | 195,546 |
| TDK Corp.                                                              |           | 300 |   | 19,166 |
| Technitrol, Inc.                                                       |           | 8,200 |   | 185,812 |
|                                                                        |
|                                                                   | **10,747,531** |
| **Internet Software & Services                        0.6%**       |           |
| Chordiant Software, Inc.*                                              |           | 14,400 |   | 125,568 |
| CMGI, Inc.*                                                            |           | 14,300 |   | 184,470 |
| CNET Networks, Inc.*                                                   |           | 36,500 |   | 287,985 |
| EarthLink, Inc.*                                                       |           | 42,700 |   | 290,787 |
| eBay, Inc.*                                                            |           | 25,400 |   | 683,006 |
| Google, Inc. "A"*                                                      |           | 9,690 |   | 5,468,067 |
| Greenfield Online, Inc.*                                               |           | 10,600 |   | 136,316 |
| InfoSpace, Inc.                                                        |           | 8,500 |   | 80,835 |
| j2 Global Communications, Inc.*                                        |           | 12,200 |   | 267,302 |
| Tencent Holdings Ltd.                                                  |           | 1,400 |   | 8,358 |
| United Online, Inc.                                                    |           | 20,100 |   | 224,517 |
| ValueClick, Inc.*                                                      |           | 19,400 |   | 423,502 |
| Vocus, Inc.*                                                           |           | 7,100 |   | 208,882 |
| Websense, Inc.*                                                        |           | 9,400 |   | 192,700 |
| Yahoo! Japan Corp.                                                     |           | 28 |   | 10,724 |
| Yahoo!, Inc.*                                                          |           | 38,100 |   | 730,758 |
|                                                                        |
|                                                                   | **9,323,777**  |
| **IT Services                        0.7%**                            |           |
| Accenture Ltd. "A"                                                     |           | 66,040 |   | 2,286,305 |
| Atos Origin SA*                                                        |           | 562 |   | 28,045 |
| Cap Gemini SA                                                          |           | 1,078 |   | 58,649 |
| CGI Group, Inc. "A"*                                                   |           | 2,000 |   | 20,019 |
| Computer Sciences Corp.*                                               |           | 81,100 |   | 3,432,152 |
| CSG Systems International, Inc.*                                       |           | 47,700 |   | 608,652 |
| Fiserv, Inc.*                                                          |           | 27,900 |   | 1,433,223 |
| iGATE Corp.*                                                           |           | 10,900 |   | 90,252 |
| Indra Sistemas SA                                                      |           | 1,022 |   | 26,391 |
| LogicaCMG PLC                                                          |           | 38,328 |   | 82,856 |
| NTT Data Corp.                                                         |           | 3 |   | 13,275 |
| Paychex, Inc.                                                          |           | 38,830 |   | 1,270,518 |
| Redecard SA (GDR) 144A                                                 |           | 19,300 |   | 559,579 |
| Sapient Corp.*                                                         |           | 29,600 |   | 207,496 |
|                                                                        |                |  |  |  |  |

| SRA International, Inc. "A"*                                                 |           | 3,500   |   | 96,005     |
|------------------------------------------------------------------------------|----------------|---------|--------|------------|
| Syntel, Inc.                                                                 |           | 13,300  |   | 394,079    |
|                                                                              |
|                                                                         | **10,607,496** |
| **Office Electronics                        0.1%**                           |           |
| Canon, Inc.                                                                  |           | 38,000  |   | 1,640,129  |
| Konica Minolta Holdings, Inc.                                                |           | 1,000   |   | 16,054     |
| Neopost SA                                                                   |           | 285     |   | 29,006     |
| Ricoh Co., Ltd.                                                              |           | 1,000   |   | 15,617     |
|                                                                              |
|                                                                         | **1,700,806**  |
| **Semiconductors &                        Semiconductor Equipment 1.1%** |           |
| Amkor Technology, Inc.*                                                      |           | 52,100  |   | 398,044    |
| Analog Devices, Inc.                                                         |           | 70,600  |   | 2,002,216  |
| ARM Holdings PLC                                                             |           | 33,734  |   | 78,927     |
| ASML Holding NV*                                                             |           | 13,448  |   | 358,337    |
| ATMI, Inc.*                                                                  |           | 7,200   |   | 189,360    |
| Broadcom Corp. "A"*                                                          |           | 31,880  |   | 703,910    |
| Cymer, Inc.*                                                                 |           | 17,600  |   | 475,376    |
| Infineon Technologies AG*                                                    |           | 5,522   |   | 56,139     |
| Intel Corp.                                                                  |           | 387,300 |   | 8,210,760  |
| Micrel, Inc.                                                                 |           | 16,800  |   | 102,480    |
| NVIDIA Corp.*                                                                |           | 64,500  |   | 1,586,055  |
| OC Oerlikon Corp. AG (Registered)*                                           |           | 337     |   | 122,161    |
| Pericom Semiconductor Corp.*                                                 |           | 31,200  |   | 423,072    |
| RF Micro Devices, Inc.*                                                      |           | 108,800 |   | 351,424    |
| ROHM Co., Ltd.                                                               |           | 200     |   | 14,737     |
| Semtech Corp.*                                                               |           | 42,100  |   | 537,617    |
| Sigma Designs, Inc.*                                                         |           | 10,000  |   | 452,200    |
| Skyworks Solutions, Inc.*                                                    |           | 41,300  |   | 332,465    |
| STMicroelectronics NV                                                        |           | 5,331   |   | 66,613     |
| Texas Instruments, Inc.                                                      |           | 11,700  |   | 361,881    |
| Tokyo Electron Ltd.                                                          |           | 300     |   | 17,981     |
| TriQuint Semiconductor, Inc.*                                                |           | 81,900  |   | 388,206    |
| Zoran Corp.*                                                                 |           | 25,300  |   | 298,540    |
|                                                                              |
|                                                                         | **17,528,501** |
| **Software                        1.5%**                                     |           |
| Actuate Corp.*                                                               |           | 54,700  |   | 311,790    |
| Adobe Systems, Inc.*                                                         |           | 53,950  |   | 1,884,473  |
| Ansoft Corp.*                                                                |           | 4,500   |   | 95,580     |
| Aspen Technology, Inc.*                                                      |           | 3,400   |   | 47,770     |
| Commvault Systems, Inc.*                                                     |           | 11,900  |   | 221,578    |
| Compuware Corp.*                                                             |           | 156,500 |   | 1,330,250  |
| Dassault Systemes SA                                                         |           | 503     |   | 27,990     |
| Electronic Arts, Inc.*                                                       |           | 29,950  |   | 1,418,732  |
| FalconStor Software, Inc.*                                                   |           | 23,000  |   | 202,860    |
| Jack Henry & Associates, Inc.                                            |           | 17,000  |   | 417,860    |
| JDA Software Group, Inc.*                                                    |           | 27,600  |   | 491,004    |
| Macrovision Corp.*                                                           |           | 34,800  |   | 584,292    |
| MICROS Systems, Inc.*                                                        |           | 13,000  |   | 800,540    |
| Microsoft Corp.                                                              |           | 394,500 |   | 12,860,700 |
| Misys PLC                                                                    |           | 13,251  |   | 45,849     |
| Net 1 UEPS Technologies, Inc.*                                               |           | 6,900   |   | 197,892    |
| Nintendo Co., Ltd.                                                           |           | 2,700   |   | 1,349,733  |
| Nuance Communications, Inc.*                                                 |           | 14,200  |   | 225,638    |
| SAP AG                                                                       |           | 6,376   |   | 307,144    |
|                                                                              |                |         |        |            |  |

| SPSS, Inc.*                                            |           | 11,900 |   | 393,295   |
|--------------------------------------------------------|----------------|--------|--------|-----------|
| The Sage Group PLC                                     |           | 33,389 |   | 147,383   |
| Ultimate Software Group, Inc.*                         |           | 11,600 |   | 313,780   |
| VMware, Inc. "A"*                                      |           | 13,700 |   | 776,105   |
| Wind River Systems, Inc.*                              |           | 9,100  |   | 76,349    |
|                                                        |
|                                                   | **24,528,587** |
| **Materials 3.2%**                                     |           |
| **Chemicals                        1.3%**              |           |
| Agrium, Inc.                                           |           | 300    |   | 19,344    |
| Akzo Nobel NV                                          |           | 3,651  |   | 270,154   |
| Arch Chemicals, Inc.                                   |           | 10,100 |   | 340,067   |
| Asahi Kasei Corp.                                      |           | 4,000  |   | 24,421    |
| BASF AG                                                |           | 1,013  |   | 132,633   |
| Bayer AG                                               |           | 17,881 |   | 1,470,970 |
| Celanese Corp. "A"                                     |           | 21,900 |   | 814,242   |
| CF Industries Holdings, Inc.                           |           | 9,500  |   | 1,015,835 |
| Ciba Specialty Chemicals AG (Registered)               |           | 544    |   | 22,018    |
| Croda International PLC                                |           | 57,166 |   | 555,314   |
| Dow Chemical Co.                                       |           | 13,300 |   | 514,178   |
| Ecolab, Inc.                                           |           | 41,370 |   | 1,996,102 |
| GenTek, Inc.*                                          |           | 10,000 |   | 277,500   |
| Givaudan SA (Registered)                               |           | 43     |   | 42,267    |
| Hercules, Inc.                                         |           | 20,500 |   | 359,365   |
| JSR Corp.                                              |           | 600    |   | 13,937    |
| Koninklijke DSM NV                                     |           | 1,997  |   | 84,398    |
| Kuraray Co., Ltd.                                      |           | 1,500  |   | 17,893    |
| Linde AG                                               |           | 5,463  |   | 714,721   |
| Lubrizol Corp.                                         |           | 41,600 |   | 2,188,576 |
| Mitsubishi Chemical Holdings Corp.                     |           | 3,500  |   | 25,441    |
| Mitsubishi Gas Chemical Co., Inc.                      |           | 2,000  |   | 18,738    |
| Mitsui Chemicals, Inc.                                 |           | 2,000  |   | 13,393    |
| Monsanto Co.                                           |           | 31,300 |   | 3,519,372 |
| Nitto Denko Corp.                                      |           | 500    |   | 24,449    |
| Novozymes AS "B"                                       |           | 3,675  |   | 287,209   |
| Orica Ltd.                                             |           | 632    |   | 16,562    |
| PolyOne Corp.*                                         |           | 58,800 |   | 362,208   |
| Potash Corp of Saskatchewan, Inc.                      |           | 5,300  |   | 748,667   |
| Praxair, Inc.                                          |           | 31,600 |   | 2,556,756 |
| Rockwood Holdings, Inc.*                               |           | 4,600  |   | 135,056   |
| Shin-Etsu Chemical Co., Ltd.                           |           | 1,100  |   | 57,935    |
| Showa Denko KK                                         |           | 5,000  |   | 17,121    |
| Solvay SA                                              |           | 1,817  |   | 228,616   |
| Sumitomo Chemical Co., Ltd.                            |           | 4,000  |   | 28,285    |
| Syngenta AG (Registered)                               |           | 627    |   | 165,371   |
| Teijin Ltd.                                            |           | 4,000  |   | 15,785    |
| Terra Industries, Inc.*                                |           | 17,300 |   | 779,711   |
| Toray Industries, Inc.                                 |           | 4,000  |   | 27,090    |
| Umicore                                                |           | 717    |   | 163,403   |
| Uralkali (GDR) 144A*                                   |           | 26,200 |   | 831,850   |
| W.R. Grace & Co.*                                  |           | 8,200  |   | 185,484   |
| Yara International ASA                                 |           | 9,450  |   | 456,893   |
|                                                        |
|                                                   | **21,539,330** |
| **Construction Materials                        0.1%** |           |
| CRH PLC                                                |           | 10,366 |   | 391,259   |
|                                                        |                |        |        |           |  |

| Fletcher Building Ltd.                                     |          | 1,027   |   | 8,211     |
|------------------------------------------------------------|---------------|---------|--------|-----------|
| Holcim Ltd. (Registered)                                   |          | 1,277   |   | 123,600   |
| Imerys SA                                                  |          | 396     |   | 30,732    |
| Lafarge SA                                                 |          | 1,524   |   | 238,898   |
|                                                            |
|                                                       | **792,700**   |
| **Containers & Packaging                        0.2%** |          |
| Amcor Ltd.                                                 |          | 1,918   |   | 11,872    |
| AptarGroup, Inc.                                           |          | 10,800  |   | 407,376   |
| Greif, Inc. "A"                                            |          | 4,500   |   | 296,100   |
| Owens-Illinois, Inc.*                                      |          | 48,300  |   | 2,434,320 |
| Rock-Tenn Co. "A"                                          |          | 26,400  |   | 754,776   |
|                                                            |
|                                                       | **3,904,444** |
| **Metals & Mining                        1.4%**        |          |
| Acerinox SA                                                |          | 15,133  |   | 357,056   |
| Agnico-Eagle Mines Ltd.                                    |          | 300     |   | 18,994    |
| AK Steel Holding Corp.*                                    |          | 33,000  |   | 1,576,740 |
| Alcoa, Inc.                                                |          | 84,200  |   | 2,787,020 |
| Alumina Ltd.                                               |          | 2,342   |   | 11,028    |
| Anglo American PLC                                         |          | 23,143  |   | 1,265,578 |
| Barrick Gold Corp.                                         |          | 2,000   |   | 103,202   |
| BHP Billiton Ltd.                                          |          | 5,802   |   | 194,827   |
| BHP Billiton PLC                                           |          | 2,650   |   | 78,545    |
| BlueScope Steel Ltd.                                       |          | 1,489   |   | 13,835    |
| Boliden AB                                                 |          | 6,000   |   | 53,988    |
| Compass Minerals International, Inc.                       |          | 8,500   |   | 360,570   |
| First Quantum Minerals Ltd.                                |          | 200     |   | 14,977    |
| Fording Canadian Coal Trust (Unit)                         |          | 400     |   | 17,927    |
| Fortescue Metal Group Ltd.*                                |          | 2,210   |   | 12,694    |
| Goldcorp, Inc.                                             |          | 1,600   |   | 59,503    |
| JFE Holdings, Inc.                                         |          | 16,100  |   | 745,071   |
| Kinross Gold Corp.*                                        |          | 1,400   |   | 30,885    |
| Kobe Steel Ltd.                                            |          | 9,000   |   | 30,118    |
| Mitsubishi Materials Corp.                                 |          | 4,000   |   | 16,359    |
| Newcrest Mining Ltd.                                       |          | 837     |   | 26,257    |
| Nippon Steel Corp.                                         |          | 15,000  |   | 90,197    |
| Norsk Hydro ASA                                            |          | 3,700   |   | 44,332    |
| Nucor Corp.                                                |          | 100,900 |   | 5,832,020 |
| Outokumpu Oyj                                              |          | 1,759   |   | 55,497    |
| Rautaruukki Oyj                                            |          | 1,239   |   | 51,232    |
| Reliance Steel & Aluminum Co.                          |          | 59,600  |   | 2,932,916 |
| Rio Tinto Ltd.                                             |          | 4,287   |   | 474,151   |
| Rio Tinto PLC                                              |          | 1,133   |   | 113,082   |
| Salzgitter AG                                              |          | 99      |   | 15,609    |
| Schnitzer Steel Industries, Inc. "A"                       |          | 9,300   |   | 526,938   |
| SSAB Svenskt Stal AB "A"                                   |          | 3,700   |   | 97,431    |
| Sumitomo Metal Industries Ltd.                             |          | 11,000  |   | 51,941    |
| Sumitomo Metal Mining Co., Ltd.                            |          | 2,000   |   | 33,631    |
| Teck Cominco Ltd. "B"                                      |          | 1,000   |   | 32,648    |
| ThyssenKrupp AG                                            |          | 786     |   | 38,607    |
| United States Steel Corp.                                  |          | 31,300  |   | 3,196,043 |
| voestalpine AG                                             |          | 1,181   |   | 72,794    |
| Worthington Industries, Inc.                               |          | 21,300  |   | 349,107   |
| Xstrata PLC                                                |          | 15,713  |   | 1,201,212 |
| Yamana Gold, Inc.                                          |          | 1,500   |   | 24,874    |
|                                                            |               |         |        |           |  |

| Zinifex Ltd.                                                           |           | 1,024   |   | 9,725     |
|------------------------------------------------------------------------|----------------|---------|--------|-----------|
|                                                                        |
|                                                                   | **23,019,161** |
| **Paper & Forest Products                        0.2%**            |           |
| Buckeye Technologies, Inc.*                                            |           | 41,900  |   | 550,985   |
| International Paper Co.                                                |           | 53,300  |   | 1,718,925 |
| Oji Paper Co., Ltd.                                                    |           | 3,000   |   | 12,792    |
| Stora Enso Oyj "R"                                                     |           | 8,361   |   | 116,169   |
| Svenska Cellulosa AB "B"                                               |           | 11,000  |   | 176,828   |
| UPM-Kymmene Oyj                                                        |           | 7,624   |   | 144,337   |
|                                                                        |
|                                                                   | **2,720,036**  |
| **Telecommunication Services 2.7%**                                    |           |
| **Diversified Telecommunication                        Services 2.2%** |           |
| Alaska Communications Systems Group, Inc.                              |           | 41,100  |   | 577,044   |
| AT&T, Inc.                                                         |           | 208,600 |   | 8,029,014 |
| Atlantic Tele-Network, Inc.                                            |           | 11,300  |   | 355,837   |
| BCE, Inc.                                                              |           | 3,800   |   | 132,123   |
| Belgacom SA                                                            |           | 706     |   | 34,512    |
| BT Group PLC                                                           |           | 14,148  |   | 73,500    |
| Cable & Wireless PLC                                               |           | 4,648   |   | 14,761    |
| Cincinnati Bell, Inc.*                                                 |           | 122,900 |   | 476,852   |
| Deutsche Telekom AG (Registered)                                       |           | 19,081  |   | 389,856   |
| Elisa Oyj                                                              |           | 768     |   | 21,774    |
| France Telecom SA                                                      |           | 26,450  |   | 934,189   |
| Hellenic Telecommunications Organization SA                            |           | 31,400  |   | 981,709   |
| Koninklijke (Royal) KPN NV                                             |           | 39,650  |   | 719,663   |
| Nippon Telegraph & Telephone Corp.                                 |           | 88      |   | 421,135   |
| PCCW Ltd.                                                              |           | 956,000 |   | 545,674   |
| Portugal Telecom SGPS SA (Registered)                                  |           | 31,285  |   | 403,323   |
| Premiere Global Services, Inc.*                                        |           | 21,900  |   | 266,961   |
| PT Telekomunikasi Indonesia (ADR)                                      |           | 27,500  |   | 1,109,900 |
| Singapore Telecommunications Ltd.                                      |           | 303,000 |   | 787,234   |
| Swisscom AG (Registered)                                               |           | 1,832   |   | 729,658   |
| Tele2 AB "B"                                                           |           | 8,000   |   | 163,261   |
| Telecom Corp. of New Zealand Ltd.                                      |           | 245,120 |   | 777,768   |
| Telecom Italia SpA                                                     |           | 153,216 |   | 463,895   |
| Telecom Italia SpA (RNC)                                               |           | 86,137  |   | 198,488   |
| Telefonica SA                                                          |           | 71,086  |   | 2,081,543 |
| Telekom Austria AG                                                     |           | 37,862  |   | 1,056,552 |
| Telenor ASA*                                                           |           | 20,300  |   | 420,031   |
| TeliaSonera AB                                                         |           | 58,500  |   | 518,014   |
| Telstra Corp., Ltd.                                                    |           | 151,847 |   | 597,285   |
| Telstra Corp., Ltd. (Insurance Receipt)                                |           | 79,029  |   | 200,829   |
| Telus Corp.                                                            |           | 900     |   | 39,118    |
| Telus Corp. (Non-Voting Shares)                                        |           | 2,300   |   | 96,668    |
| Verizon Communications, Inc.                                           |           | 246,300 |   | 9,566,292 |
| Windstream Corp.                                                       |           | 178,400 |   | 2,071,224 |
|                                                                        |
|                                                                   | **35,255,687** |
| **Wireless Telecommunication                        Services 0.5%**    |           |
| America Movil SAB de CV "L" (ADR)                                      |           | 8,400   |   | 503,244   |
| American Tower Corp. "A"*                                              |           | 22,600  |   | 848,178   |
| Bouygues SA                                                            |           | 950     |   | 73,189    |
| China Mobile Ltd.                                                      |           | 36,500  |   | 540,415   |
| Hutchison Telecommunications International                        Ltd. |           | 335,000 |   | 470,144   |
| KDDI Corp.                                                             |           | 42      |   | 283,998   |
|                                                                        |                |         |        |           |  |

| Mobistar SA                                                                |           | 167     |   | 15,717    |
|----------------------------------------------------------------------------|----------------|---------|--------|-----------|
| NTT DoCoMo, Inc.                                                           |           | 272     |   | 427,962   |
| Rogers Communications, Inc. "B"                                            |           | 7,300   |   | 279,117   |
| Softbank Corp.                                                             |           | 12,600  |   | 230,332   |
| Telephone & Data Systems, Inc.                                         |           | 69,300  |   | 3,654,882 |
| USA Mobility, Inc.*                                                        |           | 42,400  |   | 509,224   |
| Vodafone Group PLC                                                         |           | 260,395 |   | 913,870   |
|                                                                            |
|                                                                       | **8,750,272**  |
| **Utilities 2.3%**                                                         |           |
| **Electric Utilities                        1.3%**                         |           |
| Allegheny Energy, Inc.                                                     |           | 16,000  |   | 876,640   |
| American Electric Power Co., Inc.                                          |           | 21,200  |   | 907,996   |
| Brookfield Infrastructure Partners LP*                                     |           | 40      |   | 840       |
| Chubu Electric Power Co., Inc.                                             |           | 7,900   |   | 199,975   |
| CLP Holdings Ltd.                                                          |           | 100,000 |   | 798,292   |
| E.ON AG                                                                    |           | 10,664  |   | 1,960,538 |
| Edison International                                                       |           | 107,100 |   | 5,586,336 |
| EDP - Energias de Portugal SA                                              |           | 61,521  |   | 392,381   |
| Enel SpA                                                                   |           | 71,891  |   | 801,908   |
| FirstEnergy Corp.                                                          |           | 82,000  |   | 5,840,040 |
| Fortis, Inc.                                                               |           | 8,600   |   | 245,396   |
| Fortum Oyj                                                                 |           | 1,222   |   | 49,423    |
| Hokkaido Electric Power Co., Inc.                                          |           | 2,500   |   | 54,735    |
| Hongkong Electric Holding Ltd.                                             |           | 43,000  |   | 245,446   |
| Iberdrola SA                                                               |           | 87,869  |   | 1,343,427 |
| Kansai Electric Power Co., Inc.                                            |           | 9,100   |   | 227,709   |
| Kyushu Electric Power Co., Inc.                                            |           | 4,600   |   | 116,440   |
| Oesterreichische Elektrizititaetswirtschafts AG                        "A" |           | 215     |   | 14,208    |
| Portland General Electric Co.                                              |           | 6,100   |   | 150,304   |
| RWE AG                                                                     |           | 845     |   | 103,628   |
| Scottish & Southern Energy PLC                                         |           | 5,137   |   | 156,088   |
| Terna SpA                                                                  |           | 20,539  |   | 86,223    |
| Tohoku Electric Power Co., Inc.                                            |           | 5,200   |   | 122,768   |
| Tokyo Electric Power Co., Inc.                                             |           | 14,500  |   | 376,582   |
| Union Fenosa SA                                                            |           | 8,008   |   | 533,674   |
| Westar Energy, Inc.                                                        |           | 18,300  |   | 445,788   |
|                                                                            |
|                                                                       | **21,636,785** |
| **Gas Utilities                        0.2%**                              |           |
| Centrica PLC                                                               |           | 22,059  |   | 145,481   |
| Gas Natural SDG SA                                                         |           | 8,378   |   | 462,094   |
| Gaz de France                                                              |           | 519     |   | 28,097    |
| Hong Kong & China Gas Co., Ltd.                                        |           | 112,000 |   | 307,734   |
| New Jersey Resources Corp.                                                 |           | 1,100   |   | 51,579    |
| ONEOK, Inc.                                                                |           | 5,500   |   | 258,500   |
| Osaka Gas Co., Ltd.                                                        |           | 25,000  |   | 95,644    |
| Piedmont Natural Gas Co., Inc.                                             |           | 15,500  |   | 388,585   |
| Snam Rete Gas SpA                                                          |           | 14,716  |   | 97,599    |
| South Jersey Industries, Inc.                                              |           | 10,300  |   | 360,809   |
| Southwest Gas Corp.                                                        |           | 11,900  |   | 339,745   |
| The Laclede Group, Inc.                                                    |           | 5,900   |   | 198,122   |
| Tokyo Gas Co., Ltd.                                                        |           | 27,000  |   | 125,814   |
| WGL Holdings, Inc.                                                         |           | 8,400   |   | 270,816   |
|                                                                            |
|                                                                       | **3,130,619**  |
|                                                                            |                |         |        |           |  |

| **Independent Power Producers                        & Energy Traders 0.2%** |                                 |
|----------------------------------------------------------------------------------|--------------------------------------|
| Constellation Energy Group                                                       |                                 | 12,700 |   | 1,193,292 |
| Electric Power Development Co., Ltd.                                             |                                 | 1,900 |   | 68,409 |
| Iberdrola Renovables*                                                            |                                 | 137,300 |   | 1,106,351 |
| International Power PLC                                                          |                                 | 9,288 |   | 73,694 |
| TransAlta Corp.                                                                  |                                 | 11,200 |   | 355,839 |
|                                                                                  |
|                                                                             | **2,797,585**                        |
| **Multi-Utilities                        0.6%**                                  |                                 |
| AGL Energy Ltd.                                                                  |                                 | 73,840 |   | 798,834 |
| Consolidated Edison, Inc.                                                        |                                 | 64,700 |   | 2,819,626 |
| National Grid PLC                                                                |                                 | 15,401 |   | 237,003 |
| PNM Resources, Inc.                                                              |                                 | 4,300 |   | 83,076 |
| Sempra Energy                                                                    |                                 | 95,100 |   | 5,316,090 |
| Suez SA                                                                          |                                 | 2,880 |   | 176,110 |
| United Utilities PLC                                                             |                                 | 5,466 |   | 77,933 |
| Veolia Environnement                                                             |                                 | 975 |   | 80,007 |
|                                                                                  |
|                                                                             | **9,588,679**                        |
| **Water Utilities                        0.0%**                                  |                                 |
| Kelda Group PLC                                                                  |                                 | 1,796 |   | 38,786 |
| Severn Trent PLC                                                                 |                                 | 1,502 |   | 42,472 |
|                                                                                  |
|                                                                             | **81,258**                           |
|                                                                                  |
| **Total Common Stocks**(Cost                        $873,021,182)                |                                 | **941,556,984** |
|                                                                             | **Warrants 0.0%**                    |   |
| Dayton Superior Corp., 144A, Expiration Date                        6/15/2009*   |                                 | 15 |   | 0 |
| New Asat Finance LLC Expiration Date 2/1/2011*                                   |                                 | 75,400 |   | 33,215 |
|                                                                                  |
| **Total Warrants**(Cost                        $0)                               |                                 | **33,215** |
|                                                                             | **Convertible Preferred Stock 0.0%** |   |
| ION Media Networks, Inc. 144A, 12.0% * (Cost                        $17,340)     |                                 | 25,001 |   | **5,687** |
|                                                                             | **Preferred Stocks 0.1%**            |   |
| **Consumer Discretionary 0.1%**                                                  |                                 |
| Porsche Automobil Holding SE                                                     |                                 | 746 |   | 1,342,060 |
| Volkswagen AG                                                                    |                                 | 195 |   | 27,146 |
|                                                                                  |
|                                                                             | **1,369,206**                        |
| **Consumer Staples 0.0%**                                                        |                                 |
| Henkel KGaA                                                                      |                                 | 4,833 |   | **221,238** |
| **Financials 0.0%**                                                              |                                 |
| Farm Credit Bank of Texas, Series 1, 7.561%                                      |                                 | 889,000 |   | **935,584** |
| **Utilities 0.0%**                                                               |                                 |
| RWE AG                                                                           |                                 | 71 |   | **7,496** |
|                                                                                  |
| **Total Preferred Stocks**(Cost                        $2,718,128)               |                                 | **2,533,524** |
|                                                                             | **Principal****Amount ($)(a)**       |   | **Value                        ($)** |
|                                                                                  |
|                                                                             | **Corporate Bonds 8.1%**             |   |
| **Consumer Discretionary 1.3%**                                                  |                                 |
| AAC Group Holding Corp., 14.75%, 10/1/2012                        (PIK)          |                                 | 90,544 |   | 78,773 |
| Affinia Group, Inc., 9.0%, 11/30/2014                                            |                                 | 460,000 |   | 407,100 |
| AMC Entertainment, Inc., 8.0%, 3/1/2014                                          |                                 | 250,000 |   | 219,375 |
| American Achievement Corp., 8.25%, 4/1/2012                                      |                                 | 45,000 |   | 41,175 |
|                                                                                  |                                      |  |  |  |  |  |  |  |  |

| American Media Operations, Inc., Series B, 10.25%,                        5/1/2009       |                        |      | 67,363 |      | 50,185 |
|------------------------------------------------------------------------------------------|-----------------------------|-----------|--------|-----------|--------|
| Asbury Automotive Group, Inc.:                                                           |                        |
|                                                                                     | 7.625%, 3/15/2017           |      |   | 110,000   |   | 89,100 |
|                                                                                     | 8.0%, 3/15/2014             |      |   | 50,000    |   | 44,500 |
| Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015                                             |                        | 110,000   |   | 90,200    |
| Burlington Coat Factory Warehouse Corp., 11.125%,                        4/15/2014 (c)   |                        | 100,000   |   | 78,375    |
| Cablevision Systems Corp., Series B, 9.644% **,                        4/1/2009          |                        | 65,000    |   | 65,000    |
| CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015                                             |                        | 80,000    |   | 75,600    |
| Carrols Corp., 9.0%, 1/15/2013                                                           |                        | 70,000    |   | 60,900    |
| Charter Communications Holdings LLC:                                                     |                        |
|                                                                                     | 10.25%, 9/15/2010           |      |   | 529,000   |   | 501,227 |
|                                                                                     | Series B, 10.25%, 9/15/2010 |      |   | 155,000   |   | 146,088 |
|                                                                                     | 11.0%, 10/1/2015            |      |   | 319,000   |   | 228,484 |
| Cirsa Capital Luxembourg, 144A, 7.875%,                        7/15/2012                 | EUR                         |      | 50,000 |      | 59,468 |
| Comcast Corp., 6.3%, 11/15/2017                                                          |                        | 3,750,000 |   | 3,863,760 |
| Cooper-Standard Automotive, Inc., 8.375%,                        12/15/2014              |                        | 70,000    |   | 52,850    |
| CSC Holdings, Inc.:                                                                      |                        |
|                                                                                     | 7.25%, 7/15/2008            |      |   | 85,000    |   | 85,000 |
|                                                                                     | Series B, 8.125%, 7/15/2009 |      |   | 95,000    |   | 96,663 |
|                                                                                     | Series B, 8.125%, 8/15/2009 |      |   | 185,000   |   | 188,237 |
| Denny's Corp. Holdings, Inc., 10.0%, 10/1/2012                                           |                        | 30,000    |   | 28,200    |
| Dollar General Corp., 144A, 10.625%, 7/15/2015                                           |                        | 30,000    |   | 27,750    |
| Dollarama Group LP, 144A, 10.579% **,                        8/15/2012                   |                        | 108,000   |   | 102,600   |
| EchoStar DBS Corp.:                                                                      |                        |
|                                                                                     | 6.625%, 10/1/2014           |      |   | 140,000   |   | 136,675 |
|                                                                                     | 7.125%, 2/1/2016            |      |   | 110,000   |   | 109,863 |
| Fontainebleau Las Vegas Holdings LLC, 144A, 10.25%,                        6/15/2015     |                        | 180,000   |   | 135,000   |
| Foot Locker, Inc., 8.5%, 1/15/2022                                                       |                        | 30,000    |   | 27,600    |
| French Lick Resorts & Casinos LLC, 144A, 10.75%,                        4/15/2014    |                        | 360,000   |   | 234,000   |
| General Motors Corp.:                                                                    |                        |
|                                                                                     | 7.2%, 1/15/2011             |      |   | 335,000   |   | 306,525 |
|                                                                                     | 7.4%, 9/1/2025              |      |   | 25,000    |   | 18,375 |
| Goodyear Tire & Rubber Co., 11.25%,                        3/1/2011                  |                        | 585,000   |   | 617,175   |
| Great Canadian Gaming Corp., 144A, 7.25%,                        2/15/2015               |                        | 100,000   |   | 95,750    |
| Group 1 Automotive, Inc., 8.25%, 8/15/2013                                               |                        | 50,000    |   | 47,000    |
| Hanesbrands, Inc., Series B, 8.204% **,                        12/15/2014                |                        | 145,000   |   | 131,225   |
| Hertz Corp.:                                                                             |                        |
|                                                                                     | 8.875%, 1/1/2014            |      |   | 235,000   |   | 226,775 |
|                                                                                     | 10.5%, 1/1/2016             |      |   | 55,000    |   | 52,869 |
| Idearc, Inc., 8.0%, 11/15/2016                                                           |                        | 500,000   |   | 447,500   |
| Indianapolis Downs LLC & Capital Corp, 144A, 11.0%,                        11/1/2012 |                        | 65,000    |   | 60,450    |
| ION Media Networks, Inc., 144A, 10.508% **,                        1/15/2013             |                        | 275,000   |   | 237,875   |
| Isle of Capri Casinos, Inc., 7.0%, 3/1/2014                                              |                        | 155,000   |   | 119,350   |
| Jarden Corp., 7.5%, 5/1/2017                                                             |                        | 80,000    |   | 68,400    |
| Kabel Deutschland GmbH, 10.625%, 7/1/2014                                                |                        | 75,000    |   | 75,938    |
| Lamar Media Corp., Series C, 6.625%, 8/15/2015                                           |                        | 70,000    |   | 66,325    |
| Liberty Media LLC:                                                                       |                        |
|                                                                                     | 5.7%, 5/15/2013             |      |   | 50,000    |   | 46,320 |
|                                                                                     | 8.25%, 2/1/2030             |      |   | 130,000   |   | 117,845 |
|                                                                                     | 8.5%, 7/15/2029             |      |   | 170,000   |   | 161,170 |
| Mediacom Broadband LLC, 8.5%, 10/15/2015                                                 |                        | 5,000     |   | 4,100     |
| MediMedia USA, Inc., 144A, 11.375%, 11/15/2014                                           |                        | 65,000    |   | 66,950    |
| MGM MIRAGE:                                                                              |                        |
|                                                                                     | 6.75%, 9/1/2012             |      |   | 40,000    |   | 38,500 |
|                                                                                     | 8.375%, 2/1/2011            |      |   | 75,000    |   | 76,688 |
| MTR Gaming Group, Inc., Series B, 9.75%,                        4/1/2010                 |                        | 170,000   |   | 163,200   |
|                                                                                          |                             |           |        |           |        |  |  |

| News America, Inc., 6.15%, 3/1/2037                                                            |                                                                         | 2,250,000 |   | 2,167,681 |
|------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------|-----------|--------|-----------|
| Norcraft Holdings LP, Step-up Coupon, 0% to 9/1/2008,                        9.75% to 9/1/2012 |                                                                         | 375,000   |   | 326,250   |
| Penske Automotive Group, Inc., 7.75%,                        12/15/2016                        |                                                                         | 350,000   |   | 313,250   |
| Pinnacle Entertainment, Inc., 8.75%, 10/1/2013                                                 |                                                                         | 105,000   |   | 102,375   |
| Quebecor Media, Inc., 144A, 7.75%, 3/15/2016                                                   |                                                                         | 70,000    |   | 64,925    |
| Quebecor World, Inc., 144A, 9.75%, 1/15/2015 *                                                 |                                                                         | 115,000   |   | 54,625    |
| Quiksilver, Inc., 6.875%, 4/15/2015                                                            |                                                                         | 200,000   |   | 155,000   |
| Reader's Digest Association, Inc., 144A, 9.0%,                        2/15/2017                |                                                                         | 135,000   |   | 104,288   |
| Sabre Holdings Corp., 8.35%, 3/15/2016                                                         |                                                                         | 120,000   |   | 97,200    |
| Seminole Hard Rock Entertainment, Inc., 144A, 7.491% **,                        3/15/2014      |                                                                         | 160,000   |   | 144,000   |
| Shingle Springs Tribal Gaming Authority, 144A, 9.375%,                        6/15/2015        |                                                                         | 110,000   |   | 99,000    |
| Simmons Co.:                                                                                   |                                                                         |
|                                                                                           | Step-up Coupon, 0% to 12/15/2009, 10.0% to                        12/15/2014 |      |   | 435,000   |   | 287,100 |
|                                                                                           | 7.875%, 1/15/2014                                                            |      |   | 90,000    |   | 75,150 |
| Sinclair Television Group, Inc., 8.0%,                        3/15/2012                        |                                                                         | 51,000    |   | 51,510    |
| Sirius Satellite Radio, Inc., 9.625%, 8/1/2013                                                 |                                                                         | 205,000   |   | 175,275   |
| Sonic Automotive, Inc., Series B, 8.625%,                        8/15/2013                     |                                                                         | 140,000   |   | 131,600   |
| Station Casinos, Inc., 6.5%, 2/1/2014                                                          |                                                                         | 210,000   |   | 144,900   |
| TCI Communications, Inc., 8.75%, 8/1/2015                                                      |                                                                         | 1,638,000 |   | 1,923,857 |
| Time Warner Cable, Inc., 5.4%, 7/2/2012                                                        |                                                                         | 2,430,000 |   | 2,467,240 |
| Toys "R" Us, Inc., 7.375%, 10/15/2018                                                          |                                                                         | 115,000   |   | 79,350    |
| Travelport LLC:                                                                                |                                                                         |
|                                                                                           | 9.749% **, 9/1/2014                                                          |      |   | 100,000   |   | 90,000 |
|                                                                                           | 9.875%, 9/1/2014                                                             |      |   | 80,000    |   | 76,800 |
| Trump Entertainment Resorts, Inc., 8.5%,                        6/1/2015                       |                                                                         | 155,000   |   | 111,600   |
| United Components, Inc., 9.375%, 6/15/2013                                                     |                                                                         | 20,000    |   | 18,600    |
| Unity Media GmbH, 144A, 10.375%, 2/15/2015                                                     |                                                                         | 75,000    |   | 72,000    |
| Univision Communications, Inc., 144A, 9.75%, 3/15/2015                        (PIK)            |                                                                         | 325,000   |   | 242,937   |
| UPC Holding BV:                                                                                |                                                                         |
|                                                                                           | 144A, 7.75%, 1/15/2014                                                       | EUR       |   | 140,000   |   | 191,487 |
|                                                                                           | 144A, 8.0%, 11/1/2016                                                        | EUR       |   | 50,000    |   | 65,415 |
| Vitro SAB de CV:                                                                               |                                                                         |
|                                                                                           | 8.625%, 2/1/2012                                                             |      |   | 60,000    |   | 57,000 |
|                                                                                           | 9.125%, 2/1/2017                                                             |      |   | 130,000   |   | 113,425 |
|                                                                                           | Series A, 11.75%, 11/1/2013                                                  |      |   | 35,000    |   | 36,470 |
| XM Satellite Radio, Inc., 9.75%, 5/1/2014                                                      |                                                                         | 270,000   |   | 245,025   |
| Young Broadcasting, Inc., 8.75%, 1/15/2014                                                     |                                                                         | 670,000   |   | 455,600   |
|                                                                                                |
|                                                                                           | **21,310,988**                                                               |
| **Consumer Staples 0.6%**                                                                      |                                                                         |
| Alliance One International, Inc., 8.5%,                        5/15/2012                       |                                                                         | 45,000    |   | 41,850    |
| CVS Caremark Corp., 6.25%, 6/1/2027                                                            |                                                                         | 2,250,000 |   | 2,242,258 |
| Del Laboratories, Inc., 8.0%, 2/1/2012                                                         |                                                                         | 235,000   |   | 244,400   |
| Delhaize America, Inc.:                                                                        |                                                                         |
|                                                                                           | 8.05%, 4/15/2027                                                             |      |   | 90,000    |   | 94,021 |
|                                                                                           | 9.0%, 4/15/2031                                                              |      |   | 284,000   |   | 335,677 |
| General Nutrition Centers, Inc., 10.009% **, 3/15/2014                        (PIK)            |                                                                         | 160,000   |   | 131,200   |
| Harry & David Holdings, Inc., 10.124% **,                        3/1/2012                  |                                                                         | 130,000   |   | 118,300   |
| Kroger Co., 6.15%, 1/15/2020                                                                   |                                                                         | 3,750,000 |   | 3,865,099 |
| North Atlantic Trading Co., 144A, 10.0%,                        3/1/2012                       |                                                                         | 1,076,750 |   | 958,307   |
| Pierre Foods, Inc., 9.875%, 7/15/2012                                                          |                                                                         | 80,000    |   | 52,400    |
| Pilgrim's Pride Corp., 7.625%, 5/1/2015                                                        |                                                                         | 40,000    |   | 37,900    |
| Rite Aid Corp., 7.5%, 3/1/2017                                                                 |                                                                         | 155,000   |   | 132,913   |
| Smithfield Foods, Inc., 7.75%, 7/1/2017                                                        |                                                                         | 120,000   |   | 113,400   |
| Viskase Companies, Inc., 11.5%, 6/15/2011                                                      |                                                                         | 1,425,000 |   | 1,425,000 |
|                                                                                                |
|                                                                                           | **9,792,725**                                                                |
|                                                                                                |                                                                              |           |        |           |  |  |  |  |

| **Energy 0.5%**                                                                           |                     |
|-------------------------------------------------------------------------------------------|--------------------------|
| Belden & Blake Corp., 8.75%, 7/15/2012                                                |                     | 436,000 |   | 433,820 |
| Chaparral Energy, Inc., 8.5%, 12/1/2015                                                   |                     | 120,000 |   | 100,200 |
| Chesapeake Energy Corp.:                                                                  |                     |
|                                                                                      | 6.25%, 1/15/2018         |   |   | 60,000 |   | 57,600 |
|                                                                                      | 6.875%, 1/15/2016        |   |   | 305,000 |   | 301,950 |
|                                                                                      | 7.75%, 1/15/2015         |   |   | 40,000 |   | 41,000 |
| Cimarex Energy Co., 7.125%, 5/1/2017                                                      |                     | 80,000 |   | 78,200 |
| Delta Petroleum Corp., 7.0%, 4/1/2015                                                     |                     | 220,000 |   | 188,100 |
| Dynegy Holdings, Inc.:                                                                    |                     |
|                                                                                      | 6.875%, 4/1/2011         |   |   | 30,000 |   | 29,100 |
|                                                                                      | 8.375%, 5/1/2016         |   |   | 180,000 |   | 175,050 |
| Energy Partners Ltd., 9.75%, 4/15/2014                                                    |                     | 80,000 |   | 68,800 |
| Frontier Oil Corp., 6.625%, 10/1/2011                                                     |                     | 70,000 |   | 68,950 |
| Kinder Morgan Energy Partners LP, 6.0%,                        2/1/2017                   |                     | 1,084,000 |   | 1,095,987 |
| Mariner Energy, Inc.:                                                                     |                     |
|                                                                                      | 7.5%, 4/15/2013          |   |   | 95,000 |   | 90,962 |
|                                                                                      | 8.0%, 5/15/2017          |   |   | 65,000 |   | 62,075 |
| OPTI Canada, Inc.:                                                                        |                     |
|                                                                                      | 144A, 7.875%, 12/15/2014 |   |   | 175,000 |   | 169,750 |
|                                                                                      | 144A, 8.25%, 12/15/2014  |   |   | 140,000 |   | 137,200 |
| Plains Exploration & Production Co., 7.0%,                        3/15/2017           |                     | 65,000 |   | 61,750 |
| Quicksilver Resources, Inc., 7.125%, 4/1/2016                                             |                     | 85,000 |   | 82,450 |
| Sabine Pass LNG LP, 7.5%, 11/30/2016                                                      |                     | 270,000 |   | 253,125 |
| Southern Natural Gas Co., 144A, 5.9%, 4/1/2017                                            |                     | 2,685,000 |   | 2,687,384 |
| Stone Energy Corp., 6.75%, 12/15/2014                                                     |                     | 400,000 |   | 370,000 |
| Tennessee Gas Pipeline Co., 7.625%, 4/1/2037                                              |                     | 115,000 |   | 125,365 |
| Tesoro Corp., 6.5%, 6/1/2017                                                              |                     | 180,000 |   | 175,500 |
| VeraSun Energy Corp., 144A, 9.375%, 6/1/2017                                              |                     | 90,000 |   | 71,550 |
| Whiting Petroleum Corp.:                                                                  |                     |
|                                                                                      | 7.0%, 2/1/2014           |   |   | 135,000 |   | 132,300 |
|                                                                                      | 7.25%, 5/1/2012          |   |   | 205,000 |   | 202,950 |
|                                                                                      | 7.25%, 5/1/2013          |   |   | 45,000 |   | 44,325 |
| Williams Companies, Inc.:                                                                 |                     |
|                                                                                      | 8.125%, 3/15/2012        |   |   | 430,000 |   | 469,775 |
|                                                                                      | 8.75%, 3/15/2032         |   |   | 595,000 |   | 711,025 |
| Williams Partners LP, 7.25%, 2/1/2017                                                     |                     | 115,000 |   | 119,025 |
|                                                                                           |
|                                                                                      | **8,605,268**            |
| **Financials 2.5%**                                                                       |                     |
| Algoma Acquisition Corp., 144A, 9.875%,                        6/15/2015                  |                     | 270,000 |   | 216,000 |
| Ashton Woods USA LLC, 9.5%, 10/1/2015                                                     |                     | 600,000 |   | 291,000 |
| Buffalo Thunder Development Authority, 144A, 9.375%,                        12/15/2014    |                     | 45,000 |   | 37,575 |
| CEVA Group PLC, 144A, 8.5%, 12/1/2014                                                     | EUR                      |   | 115,000 |   | 108,566 |
| Conproca SA de CV, Series REG S, 12.0%,                        6/16/2010                  |                     | 1,205,000 |   | 1,325,500 |
| Daimler Finance North America LLC, Series E, 5.441% **,                        10/31/2008 |                     | 1,165,000 |   | 1,162,937 |
| E*TRADE Financial Corp.:                                                                  |                     |
|                                                                                      | 7.375%, 9/15/2013        |   |   | 160,000 |   | 122,000 |
|                                                                                      | 7.875%, 12/1/2015        |   |   | 255,000 |   | 193,163 |
|                                                                                      | 8.0%, 6/15/2011          |   |   | 50,000 |   | 43,000 |
| Erac USA Finance Co.:                                                                     |                     |
|                                                                                      | 144A, 6.375%, 10/15/2017 |   |   | 1,500,000 |   | 1,475,937 |
|                                                                                      | 144A, 7.0%, 10/15/2037   |   |   | 2,250,000 |   | 2,044,082 |
| FIA Credit Services NA, 7.125%, 11/15/2012                                                |                     | 3,750,000 |   | 4,156,796 |
| Ford Motor Credit Co., LLC:                                                               |                     |
|                                                                                      | 7.25%, 10/25/2011        |   |   | 655,000 |   | 581,542 |
|                                                                                           |                          |  |  |  |  |  |  |  |

|                                                                                                            | 7.375%, 10/28/2009          |      |   | 1,170,000 |   | 1,126,726 |
|-----------------------------------------------------------------------------------------------------------------|-----------------------------|-----------|--------|-----------|--------|-----------|
|                                                                                                            | 7.875%, 6/15/2010           |      |   | 315,000   |   | 296,534   |
| General Electric Capital Corp., Series A, 5.25%,                        10/19/2012                              |                        | 3,750,000 |   | 3,891,619 |
| GMAC LLC, 6.875%, 9/15/2011                                                                                     |                        | 1,270,000 |   | 1,110,331 |
| Hawker Beechcraft Acquisition Co., LLC:                                                                         |                        |
|                                                                                                            | 144A, 8.5%, 4/1/2015        |      |   | 170,000   |   | 168,725   |
|                                                                                                            | 144A, 9.75%, 4/1/2017       |      |   | 120,000   |   | 114,300   |
| Inmarsat Finance PLC, Step-up Coupon, 0% to 11/15/2008,                        10.375% to 11/15/2012            |                        | 95,000    |   | 92,625    |
| iPayment, Inc., 9.75%, 5/15/2014                                                                                |                        | 255,000   |   | 235,875   |
| JPMorgan Chase Bank NA, 6.0%, 10/1/2017                                                                         |                        | 2,250,000 |   | 2,345,747 |
| KAR Holdings, Inc.:                                                                                             |                        |
|                                                                                                            | 144A, 8.75%, 5/1/2014       |      |   | 90,000    |   | 80,100    |
|                                                                                                            | 144A, 10.0%, 5/1/2015       |      |   | 70,000    |   | 58,450    |
| Lehman Brothers Holdings, Inc., 5.625%,                        1/24/2013                                        |                        | 3,750,000 |   | 3,798,446 |
| Local TV Finance LLC, 144A, 9.25%, 6/15/2015                        (PIK)                                       |                        | 110,000   |   | 96,250    |
| Morgan Stanley, Series F, 5.75%, 8/31/2012 (c)                                                                  |                        | 3,750,000 |   | 3,879,427 |
| New ASAT (Finance) Ltd., 9.25%, 2/1/2011                                                                        |                        | 290,000   |   | 230,550   |
| Petroplus Finance Ltd.:                                                                                         |                        |
|                                                                                                            | 144A, 6.75%, 5/1/2014       |      |   | 75,000    |   | 68,625    |
|                                                                                                            | 144A, 7.0%, 5/1/2017        |      |   | 75,000    |   | 68,063    |
| Pinnacle Foods Finance LLC, 144A, 9.25%,                        4/1/2015                                        |                        | 65,000    |   | 55,575    |
| Popular North America, Inc., Series E, 3.875%,                        10/1/2008                                 |                        | 3,000,000 |   | 2,991,903 |
| Residential Capital LLC:                                                                                        |                        |
|                                                                                                            | 5.646% **, 6/9/2008         |      |   | 80,000    |   | 68,400    |
|                                                                                                            | 7.625%, 11/21/2008          |      |   | 60,000    |   | 46,200    |
|                                                                                                            | 7.782% **, 11/21/2008       |      |   | 625,000   |   | 481,250   |
| The Goldman Sachs Group, Inc., 6.75%,                        10/1/2037                                          |                        | 1,500,000 |   | 1,471,575 |
| Triad Acquisition Corp., Series B, 11.125%,                        5/1/2013                                     |                        | 165,000   |   | 113,850   |
| Tropicana Entertainment LLC, 9.625%,                        12/15/2014                                          |                        | 315,000   |   | 190,575   |
| U.S.I. Holdings Corp.:                                                                                          |                        |
|                                                                                                            | 144A, 8.744% **, 11/15/2014 |      |   | 65,000    |   | 54,275    |
|                                                                                                            | 144A, 9.75%, 5/15/2015      |      |   | 55,000    |   | 42,900    |
| UCI Holdco, Inc., 12.491% **, 12/15/2013 (PIK)                                                                  |                        | 160,812   |   | 147,143   |
| Universal City Development Partners, 11.75%,                        4/1/2010                                    |                        | 405,000   |   | 417,150   |
| Wells Fargo & Co., 4.375%, 1/31/2013                                                                        |                        | 3,750,000 |   | 3,748,991 |
| Yankee Acquisition Corp., Series B, 8.5%,                        2/15/2015                                      |                        | 95,000    |   | 81,225    |
|                                                                                                                 |
|                                                                                                            | **39,331,503**              |
| **Health Care 0.2%**                                                                                            |                        |
| Advanced Medical Optics, Inc., 7.5%, 5/1/2017                                                                   |                        | 135,000   |   | 114,075   |
| Bausch & Lomb, Inc., 144A, 9.875%,                        11/1/2015                                         |                        | 135,000   |   | 137,025   |
| Boston Scientific Corp., 6.0%, 6/15/2011                                                                        |                        | 80,000    |   | 78,000    |
| Community Health Systems, Inc., 8.875%,                        7/15/2015                                        |                        | 655,000   |   | 659,094   |
| HCA, Inc.:                                                                                                      |                        |
|                                                                                                            | 9.125%, 11/15/2014          |      |   | 130,000   |   | 135,038   |
|                                                                                                            | 9.25%, 11/15/2016           |      |   | 295,000   |   | 309,381   |
|                                                                                                            | 9.625%, 11/15/2016 (PIK)    |      |   | 140,000   |   | 147,350   |
| HEALTHSOUTH Corp., 10.75%, 6/15/2016                                                                            |                        | 115,000   |   | 119,888   |
| IASIS Healthcare LLC, 8.75%, 6/15/2014                                                                          |                        | 70,000    |   | 70,000    |
| Psychiatric Solutions, Inc., 7.75%, 7/15/2015                                                                   |                        | 80,000    |   | 78,800    |
| Sun Healthcare Group, Inc., 9.125%, 4/15/2015                                                                   |                        | 115,000   |   | 115,575   |
| Surgical Care Affiliates, Inc., 144A, 8.875%, 7/15/2015                        (PIK)                            |                        | 275,000   |   | 233,750   |
| The Cooper Companies, Inc., 7.125%, 2/15/2015                                                                   |                        | 235,000   |   | 223,250   |
| Universal Hospital Services, Inc., 8.5%, 6/1/2015                        (PIK)                                  |                        | 75,000    |   | 75,750    |
| Vanguard Health Holding Co. I, LLC, Step-up Coupon, 0% to                        10/1/2009, 11.25% to 10/1/2015 |                        | 115,000   |   | 81,650    |
|                                                                                                                 |                             |           |        |           |        |           |  |  |

| Vanguard Health Holding Co. II, LLC, 9.0%,                        10/1/2014             |                        | 365,000   |   | 345,837   |
|-----------------------------------------------------------------------------------------|-----------------------------|-----------|--------|-----------|
|                                                                                         |
|                                                                                    | **2,924,463**               |
| **Industrials 0.7%**                                                                    |                        |
| Actuant Corp., 144A, 6.875%, 6/15/2017                                                  |                        | 65,000    |   | 63,050    |
| Aleris International, Inc., 9.0%, 12/15/2014                        (PIK)               |                        | 165,000   |   | 128,700   |
| Allied Security Escrow Corp., 11.375%,                        7/15/2011                 |                        | 390,000   |   | 351,975   |
| American Color Graphics, Inc., 10.0%,                        6/15/2010                  |                        | 435,000   |   | 218,044   |
| American Color Graphics, Inc., Promissory Note due                        3/15/2008 (d) |                        | 26,100    |   | 13,083    |
| American Railcar Industries, Inc., 7.5%,                        3/1/2014                |                        | 95,000    |   | 85,500    |
| ARAMARK Corp., 8.411% **, 2/1/2015                                                      |                        | 110,000   |   | 98,450    |
| Baldor Electric Co., 8.625%, 2/15/2017                                                  |                        | 85,000    |   | 82,450    |
| Belden, Inc., 7.0%, 3/15/2017                                                           |                        | 80,000    |   | 76,600    |
| Bristow Group, Inc., 144A, 7.5%, 9/15/2017                                              |                        | 95,000    |   | 95,950    |
| Browning-Ferris Industries, Inc., 7.4%,                        9/15/2035                |                        | 645,000   |   | 593,400   |
| Building Materials Corp. of America, 7.75%,                        8/1/2014             |                        | 110,000   |   | 81,400    |
| Cenveo Corp., 7.875%, 12/1/2013                                                         |                        | 200,000   |   | 176,000   |
| Congoleum Corp., 8.625%, 8/1/2008 *                                                     |                        | 572,000   |   | 429,000   |
| DRS Technologies, Inc.:                                                                 |                        |
|                                                                                    | 6.625%, 2/1/2016            |      |   | 45,000    |   | 43,988 |
|                                                                                    | 6.875%, 11/1/2013           |      |   | 235,000   |   | 230,300 |
|                                                                                    | 7.625%, 2/1/2018            |      |   | 275,000   |   | 271,562 |
| Education Management LLC, 8.75%, 6/1/2014                                               |                        | 80,000    |   | 77,000    |
| Esco Corp.:                                                                             |                        |
|                                                                                    | 144A, 8.625%, 12/15/2013    |      |   | 165,000   |   | 157,575 |
|                                                                                    | 144A, 8.866% **, 12/15/2013 |      |   | 95,000    |   | 85,500 |
| General Cable Corp., 7.125%, 4/1/2017                                                   |                        | 5,000     |   | 4,763     |
| Great Lakes Dredge & Dock Co., 7.75%,                        12/15/2013             |                        | 90,000    |   | 82,800    |
| Harland Clarke Holdings Corp., 9.5%, 5/15/2015                                          |                        | 80,000    |   | 61,600    |
| K. Hovnanian Enterprises, Inc.:                                                         |                        |
|                                                                                    | 6.25%, 1/15/2016            |      |   | 190,000   |   | 130,625 |
|                                                                                    | 8.875%, 4/1/2012            |      |   | 315,000   |   | 160,650 |
| Kansas City Southern de Mexico SA de CV:                                                |                        |
|                                                                                    | 144A, 7.375%, 6/1/2014      |      |   | 90,000    |   | 85,500 |
|                                                                                    | 7.625%, 12/1/2013           |      |   | 305,000   |   | 294,325 |
|                                                                                    | 9.375%, 5/1/2012            |      |   | 280,000   |   | 288,400 |
| Kansas City Southern Railway Co.:                                                       |                        |
|                                                                                    | 7.5%, 6/15/2009             |      |   | 80,000    |   | 80,500 |
|                                                                                    | 9.5%, 10/1/2008             |      |   | 785,000   |   | 799,719 |
| Mobile Services Storage Group, Inc., 9.75%,                        8/1/2014             |                        | 210,000   |   | 178,500   |
| Navios Maritime Holdings, Inc., 9.5%,                        12/15/2014                 |                        | 130,000   |   | 124,800   |
| Panolam Industries International, Inc., 10.75%,                        10/1/2013        |                        | 135,000   |   | 106,650   |
| R.H. Donnelley Corp., 144A, 8.875%, 10/15/2017                                          |                        | 320,000   |   | 271,200   |
| Rainbow National Services LLC, 144A, 10.375%,                        9/1/2014           |                        | 27,000    |   | 28,688    |
| RBS Global & Rexnord Corp., 9.5%, 8/1/2014                                          |                        | 100,000   |   | 90,250    |
| Swift Transportation Co., Inc., 144A, 12.5%,                        5/15/2017           |                        | 90,000    |   | 35,550    |
| Titan International, Inc., 8.0%, 1/15/2012                                              |                        | 405,000   |   | 379,687   |
| TransDigm, Inc., 7.75%, 7/15/2014                                                       |                        | 140,000   |   | 140,700   |
| U.S. Concrete, Inc., 8.375%, 4/1/2014                                                   |                        | 125,000   |   | 103,750   |
| Union Pacific Corp., 5.7%, 8/15/2018                                                    |                        | 3,750,000 |   | 3,737,287 |
| United Rentals North America, Inc.:                                                     |                        |
|                                                                                    | 6.5%, 2/15/2012             |      |   | 50,000    |   | 46,000 |
|                                                                                    | 7.0%, 2/15/2014             |      |   | 245,000   |   | 196,612 |
| Xerox Capital Trust I, 8.0%, 2/1/2027                                                   |                        | 195,000   |   | 195,337   |
|                                                                                         |
|                                                                                    | **10,983,420**              |
| **Information Technology 0.3%**                                                         |                        |
| Alion Science & Technology Corp., 10.25%,                        2/1/2015           |                        | 160,000   |   | 124,800   |
|                                                                                         |                             |           |        |           |  |  |  |  |

| Freescale Semiconductor, Inc., 8.875%,                        12/15/2014                              |                         | 80,000    |   | 65,000    |
|-------------------------------------------------------------------------------------------------------|------------------------------|-----------|--------|-----------|
| L-3 Communications Corp.:                                                                             |                         |
|                                                                                                  | 5.875%, 1/15/2015            |      |   | 275,000   |   | 267,438 |
|                                                                                                  | Series B, 6.375%, 10/15/2015 |      |   | 120,000   |   | 119,100 |
| Lucent Technologies, Inc., 6.45%, 3/15/2029                                                           |                         | 135,000   |   | 108,675   |
| MasTec, Inc., 7.625%, 2/1/2017                                                                        |                         | 285,000   |   | 263,625   |
| Sanmina-SCI Corp., 144A, 7.741% **, 6/15/2010                                                         |                         | 16,000    |   | 15,920    |
| Seagate Technology HDD Holdings, 6.8%,                        10/1/2016                               |                         | 215,000   |   | 209,625   |
| SunGard Data Systems, Inc., 10.25%, 8/15/2015                                                         |                         | 310,000   |   | 310,000   |
| Tyco Electronics Group SA:                                                                            |                         |
|                                                                                                  | 144A, 6.55%, 10/1/2017       |      |   | 1,500,000 |   | 1,578,059 |
|                                                                                                  | 144A, 7.125%, 10/1/2037      |      |   | 1,500,000 |   | 1,587,112 |
| Vangent, Inc., 9.625%, 2/15/2015                                                                      |                         | 185,000   |   | 140,600   |
|                                                                                                       |
|                                                                                                  | **4,789,954**                |
| **Materials 0.6%**                                                                                    |                         |
| Appleton Papers, Inc., Series B, 8.125%,                        6/15/2011                             |                         | 45,000    |   | 43,875    |
| ARCO Chemical Co., 9.8%, 2/1/2020                                                                     |                         | 2,110,000 |   | 1,920,100 |
| Associated Materials, Inc., Step-up Coupon, 0% to                        3/1/2009, 11.25% to 3/1/2014 |                         | 170,000   |   | 110,500   |
| Cascades, Inc., 7.25%, 2/15/2013                                                                      |                         | 246,000   |   | 225,705   |
| Chemtura Corp., 6.875%, 6/1/2016                                                                      |                         | 145,000   |   | 131,950   |
| Clondalkin Acquisition BV, 144A, 6.991% **,                        12/15/2013                         |                         | 165,000   |   | 143,550   |
| CPG International I, Inc.:                                                                            |                         |
|                                                                                                  | 10.5%, 7/1/2013              |      |   | 225,000   |   | 200,250 |
|                                                                                                  | 11.468% **, 7/1/2012         |      |   | 120,000   |   | 106,800 |
| Exopack Holding Corp., 11.25%, 2/1/2014                                                               |                         | 275,000   |   | 257,812   |
| Freeport-McMoRan Copper & Gold, Inc., 8.375%,                        4/1/2017                     |                         | 130,000   |   | 138,125   |
| GEO Specialty Chemicals, Inc., 144A, 13.729% **,                        12/31/2009 (e)                |                         | 1,462,000 |   | 1,094,672 |
| Georgia-Pacific Corp., 144A, 7.125%, 1/15/2017                                                        |                         | 55,000    |   | 52,388    |
| Gibraltar Industries, Inc., Series B, 8.0%,                        12/1/2015                          |                         | 200,000   |   | 168,000   |
| Hexcel Corp., 6.75%, 2/1/2015                                                                         |                         | 345,000   |   | 332,925   |
| Huntsman LLC, 11.625%, 10/15/2010                                                                     |                         | 1,160,000 |   | 1,218,000 |
| Innophos, Inc., 8.875%, 8/15/2014                                                                     |                         | 35,000    |   | 34,388    |
| Jefferson Smurfit Corp., 8.25%, 10/1/2012                                                             |                         | 125,000   |   | 120,000   |
| Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009,                        9.875% to 11/15/2014 |                         | 225,000   |   | 190,125   |
| Metals USA Holdings Corp., 144A, 10.729% **, 7/1/2012                        (PIK)                    |                         | 330,000   |   | 242,550   |
| Millar Western Forest Products Ltd., 7.75%,                        11/15/2013                         |                         | 40,000    |   | 29,400    |
| Momentive Performance Materials, Inc., 9.75%,                        12/1/2014                        |                         | 105,000   |   | 95,025    |
| Mueller Water Products, Inc., 7.375%, 6/1/2017                                                        |                         | 50,000    |   | 42,500    |
| NewMarket Corp., 7.125%, 12/15/2016                                                                   |                         | 195,000   |   | 192,075   |
| OI European Group BV, 144A, 6.875%, 3/31/2017                        EUR                              |                         | 135,000   |   | 172,606   |
| Pliant Corp., 11.625%, 6/15/2009 (PIK)                                                                |                         | 10        |   | 10        |
| Radnor Holdings Corp., 11.0%, 3/15/2010 *                                                             |                         | 120,000   |   | 900       |
| Rhodia SA, 144A, 7.326% **, 10/15/2013 EUR                                                            |                         | 135,000   |   | 182,641   |
| Smurfit-Stone Container Enterprises, Inc.:                                                            |                         |
|                                                                                                  | 8.0%, 3/15/2017              |      |   | 160,000   |   | 148,400 |
|                                                                                                  | 8.375%, 7/1/2012             |      |   | 80,000    |   | 77,400 |
| Steel Dynamics, Inc.:                                                                                 |                         |
|                                                                                                  | 6.75%, 4/1/2015              |      |   | 175,000   |   | 169,312 |
|                                                                                                  | 144A, 7.375%, 11/1/2012      |      |   | 45,000    |   | 44,888 |
| Terra Capital, Inc., Series B, 7.0%, 2/1/2017                                                         |                         | 260,000   |   | 255,450   |
| The Mosaic Co., 144A, 7.375%, 12/1/2014                                                               |                         | 150,000   |   | 162,000   |
| Witco Corp., 6.875%, 2/1/2026                                                                         |                         | 155,000   |   | 115,087   |
| Wolverine Tube, Inc., 10.5%, 4/1/2009                                                                 |                         | 405,000   |   | 372,600   |
|                                                                                                       |
|                                                                                                  | **8,792,009**                |
|                                                                                                       |                              |           |        |           |  |  |  |  |

| **Telecommunication Services 0.8%**                                                        |                   |
|--------------------------------------------------------------------------------------------|------------------------|
| AT&T, Inc.:                                                                            |                   |
|                                                                                       | 5.5%, 2/1/2018         |   |   | 3,750,000 |   | 3,762,547 |
|                                                                                       | 6.3%, 1/15/2038        |   |   | 1,125,000 |   | 1,117,152 |
| BCM Ireland Preferred Equity Ltd., 144A, 11.58% **,                        2/15/2017 (PIK) | EUR                    |   | 250,005 |   | 291,918 |
| Cell C Property Ltd.:                                                                      |                   |
|                                                                                       | 144A, 8.625%, 7/1/2012 | EUR |   | 30,000 |   | 42,371 |
|                                                                                       | 144A, 11.0%, 7/1/2015  |   |   | 55,000 |   | 52,663 |
| Centennial Communications Corp.:                                                           |                   |
|                                                                                       | 10.0%, 1/1/2013        |   |   | 195,000 |   | 195,487 |
|                                                                                       | 10.125%, 6/15/2013     |   |   | 65,000 |   | 66,463 |
| Cincinnati Bell, Inc.:                                                                     |                   |
|                                                                                       | 7.25%, 7/15/2013       |   |   | 175,000 |   | 175,000 |
|                                                                                       | 8.375%, 1/15/2014      |   |   | 95,000 |   | 90,725 |
| Cricket Communications, Inc., 144A, 9.375%,                        11/1/2014               |                   | 185,000 |   | 168,350 |
| Embratel, Series B, 11.0%, 12/15/2008                                                      |                   | 85,000 |   | 89,250 |
| Grupo Iusacell Celular SA de CV, 10.0%,                        3/31/2012                   |                   | 47,371 |   | 45,239 |
| Intelsat Bermuda Ltd.:                                                                     |                   |
|                                                                                       | 7.581% **, 1/15/2015   |   |   | 20,000 |   | 20,000 |
|                                                                                       | 9.25%, 6/15/2016       |   |   | 50,000 |   | 49,875 |
|                                                                                       | 11.25%, 6/15/2016      |   |   | 155,000 |   | 155,000 |
| Intelsat Corp., 9.0%, 6/15/2016                                                            |                   | 80,000 |   | 79,400 |
| Intelsat Ltd., 5.25%, 11/1/2008                                                            |                   | 65,000 |   | 64,513 |
| Intelsat Subsidiary Holding Co., Ltd., 8.25%,                        1/15/2013             |                   | 170,000 |   | 168,300 |
| iPCS, Inc., 7.036% **, 5/1/2013                                                            |                   | 35,000 |   | 31,150 |
| MetroPCS Wireless, Inc., 9.25%, 11/1/2014                                                  |                   | 185,000 |   | 170,200 |
| Nortel Networks Ltd., 8.508% **, 7/15/2011                                                 |                   | 150,000 |   | 139,500 |
| Qwest Corp., 7.25%, 9/15/2025                                                              |                   | 40,000 |   | 37,600 |
| Rural Cellular Corp., 9.875%, 2/1/2010                                                     |                   | 145,000 |   | 150,075 |
| Stratos Global Corp., 9.875%, 2/15/2013                                                    |                   | 90,000 |   | 91,800 |
| SunCom Wireless Holdings, Inc., 8.5%, 6/1/2013                                             |                   | 495,000 |   | 509,850 |
| Telefonica Emisiones SAU, 6.221%, 7/3/2017                                                 |                   | 3,750,000 |   | 3,936,232 |
| US Unwired, Inc., Series B, 10.0%, 6/15/2012                                               |                   | 185,000 |   | 194,419 |
| Virgin Media Finance PLC:                                                                  |                   |   |   |   |
| 8.75%, 4/15/2014                                                                           |                   | 205,000 |   | 187,575 |
| 8.75%, 4/15/2014                        EUR                                                |                   | 200,000 |   | 262,402 |
| West Corp., 9.5%, 10/15/2014                                                               |                   | 130,000 |   | 120,900 |
|                                                                                            |
|                                                                                       | **12,465,956**         |
| **Utilities 0.6%**                                                                         |                   |
| AES Corp.:                                                                                 |                   |
|                                                                                       | 8.0%, 10/15/2017       |   |   | 170,000 |   | 173,400 |
|                                                                                       | 144A, 8.75%, 5/15/2013 |   |   | 516,000 |   | 539,220 |
| Allegheny Energy Supply Co., LLC, 144A, 8.25%,                        4/15/2012            |                   | 630,000 |   | 674,100 |
| American Electric Power Co., Inc., Series C, 5.375%,                        3/15/2010      |                   | 3,000,000 |   | 3,084,600 |
| CMS Energy Corp., 8.5%, 4/15/2011                                                          |                   | 375,000 |   | 403,443 |
| DPL, Inc., 6.875%, 9/1/2011                                                                |                   | 1,500,000 |   | 1,618,493 |
| Edison Mission Energy, 7.0%, 5/15/2017                                                     |                   | 140,000 |   | 136,150 |
| Energy Future Holdings Corp., 144A, 10.875%,                        11/1/2017              |                   | 255,000 |   | 252,450 |
| Mirant Americas Generation LLC, 8.3%, 5/1/2011                                             |                   | 130,000 |   | 131,300 |
| Mirant North America LLC, 7.375%, 12/31/2013                                               |                   | 60,000 |   | 60,000 |
|                                                                                       |                   |
|                                                                                       |                   |
| NRG Energy, Inc.:                                                                          |                   |
|                                                                                       | 7.25%, 2/1/2014        |   |   | 640,000 |   | 623,200 |
|                                                                                       | 7.375%, 2/1/2016       |   |   | 1,325,000 |   | 1,280,281 |
| Regency Energy Partners LP, 8.375%, 12/15/2013                                             |                   | 155,000 |   | 157,325 |
|                                                                                            |                        |  |  |  |  |  |  |  |

| Reliant Energy, Inc., 7.875%, 6/15/2017                                                                            |                                                                                  | 160,000         |   | 156,000    |
|--------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------|-----------------|--------|------------|
| Sierra Pacific Resources:                                                                                          |                                                                                  |
|                                                                                                               | 6.75%, 8/15/2017                                                                      |            |   | 265,000    |   | 268,032 |
|                                                                                                               | 8.625%, 3/15/2014                                                                     |            |   | 41,000     |   | 43,953 |
| Texas Competitive Electric Holdings Co., LLC, 144A,                        10.25%, 11/1/2015                       |                                                                                  | 520,000         |   | 510,900    |
|                                                                                                                    |
|                                                                                                               | **10,112,847**                                                                        |
|                                                                                                                    |
| **Total Corporate Bonds**(Cost                        $133,286,087)                                                |                                                                                  | **129,109,133** |
|                                                                                                               | **Asset Backed 2.6%**                                                                 |            |
| **Automobile Receivables 0.2%**                                                                                    |                                                                                  |
| Capital Auto Receivables Asset Trust, "B", Series 2006-1,                        5.26%, 10/15/2010                 |                                                                                  | 1,643,000       |   | 1,686,916  |
| Ford Credit Auto Owner Trust, "B", Series 2007-B, 5.69%,                        11/15/2012                         |                                                                                  | 1,517,000       |   | 1,495,851  |
|                                                                                                                    |
|                                                                                                               | **3,182,767**                                                                         |
| **Credit Card Receivables 2.0%**                                                                                   |                                                                                  |
| Capital One Multi-Asset Execution Trust, "A7", Series                        2007-A7, 5.75%, 7/15/2020             |                                                                                  | 6,562,000       |   | 6,703,267  |
| Chase Issuance Trust, "A", Series 2007-A17, 5.12%,                        10/15/2014                               |                                                                                  | 9,000,000       |   | 9,358,671  |
| Citibank Credit Card Issuance Trust, "B5", Series                        2007-B5, 5.16% **, 11/7/2014              |                                                                                  | 6,750,000       |   | 6,289,663  |
| MBNA Credit Card Master Note Trust, "B1", Series 2004-B1,                        4.45%, 8/15/2016                  |                                                                                  | 10,200,000      |   | 9,313,163  |
|                                                                                                                    |
|                                                                                                               | **31,664,764**                                                                        |
| **Home Equity Loans 0.4%**                                                                                         |                                                                                  |
| Countrywide Asset-Backed Certificates, "1AF2", Series                        2005-17, 5.363%, 5/25/2036            |                                                                                  | 2,066,000       |   | 2,052,088  |
| Credit-Based Asset Servicing and Securitization, "AF2",                        Series 2006-CB2, 5.501%, 12/25/2036 |                                                                                  | 4,839,000       |   | 4,846,166  |
|                                                                                                                    |
|                                                                                                               | **6,898,254**                                                                         |
|                                                                                                                    |
| **Total Asset Backed**(Cost                        $41,818,845)                                                    |                                                                                  | **41,745,785**  |
|                                                                                                               | **Mortgage Backed Securities Pass-Throughs                        1.7%**              |            |
| Federal Home Loan Bank, 6.0%, 11/1/2021                                                                            |                                                                                  | 1,396,352       |   | 1,472,561  |
| Federal Home Loan Mortgage Corp.:                                                                                  |                                                                                  |
|                                                                                                               | 5.647% **, 1/1/2038                                                                   |            |   | 13,400,000 |   | 13,671,136 |
|                                                                                                               | 5.736% **, 4/1/2037                                                                   |            |   | 7,426,394  |   | 7,628,993 |
| Federal National Mortgage Association:                                                                             |                                                                                  |
|                                                                                                               | 4.5%, 11/1/2028 (f)                                                                   |            |   | 2,514,724  |   | 2,442,425 |
|                                                                                                               | 6.5%, with various maturities from 4/1/2017 until                        6/1/2017     |            |   | 897,513    |   | 936,604 |
|                                                                                                               | 8.0%, 9/1/2015                                                                        |            |   | 629,573    |   | 688,123 |
| Government National Mortgage Association, 6.5%,                        8/20/2034                                   |                                                                                  | 414,887         |   | 431,482    |
|                                                                                                                    |
| **Total Mortgage Backed Securities                        Pass-Throughs**(Cost $27,059,308)                        |                                                                                  | **27,271,324**  |
|                                                                                                               | **Commercial and Non-Agency Mortgage-Backed Securities                        15.6%** |            |
| Adjustable Rate Mortgage Trust, "3A31", Series 2005-10,                        5.416% **, 1/25/2036                |                                                                                  | 3,015,000       |   | 2,952,971  |
| Banc of America Mortgage Securities, "2A6", Series                        2004-G, 4.657% **, 8/25/2034             |                                                                                  | 6,600,000       |   | 6,693,733  |
| Bear Stearns Adjustable Rate Mortgage Trust:                                                                       |                                                                                  |
|                                                                                                               | "13A2", Series 2004-1, 4.27% **, 4/25/2034                                            |            |   | 7,308,105  |   | 7,305,830 |
|                                                                                                               | "12A5", Series 2004-1, 4.369% **, 4/25/2034                                           |            |   | 6,343,258  |   | 6,372,395 |
| Bear Stearns Commercial Mortgage Securities:                                                                       |                                                                                  |
|                                                                                                               | "A3", Series 2006-T24, 5.531%, 10/12/2041                                             |            |   | 5,200,000  |   | 5,137,976 |
|                                                                                                               | "A4", Series 2007-PW17, 5.694%, 6/11/2050                                             |            |   | 2,644,000  |   | 2,639,850 |
|                                                                                                               | "A4", Series 2007-PW18, 5.7%, 6/11/2050                                               |            |   | 3,750,000  |   | 3,757,665 |
| Citicorp Mortgage Securities, Inc., "2A1", Series 2006-5,                        5.5%, 10/25/2021                  |                                                                                  | 18,890,049      |   | 19,037,637 |
| Citigroup Commercial Mortgage Trust, "A5", Series                        2004-C2, 4.733%, 10/15/2041               |                                                                                  | 6,000,000       |   | 5,823,058  |
| Citigroup Mortgage Loan Trust, Inc.:                                                                               |                                                                                  |
|                                                                                                               | "1A1A", Series 2007-AR5, 5.62% **, 4/25/2037                                          |            |   | 8,117,697  |   | 8,196,970 |
|                                                                                                               | "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034                                            |            |   | 816,718    |   | 847,601 |
| Countrywide Alternative Loan Trust:                                                                                |                                                                                  |
|                                                                                                               | "3A11", Series 2005-20CB, 3.676% **, 7/25/2035                                        |            |   | 5,936,995  |   | 5,889,975 |
|                                                                                                                    |                                                                                       |                 |        |            |  |  |  |  |  |

|                                                                                                                | "A1", Series 2004-1T1, 5.0%, 2/25/2034                                           |            |   | 1,644,190  |   | 1,632,695  |
|---------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------------------------|-----------------|--------|------------|--------|------------|
|                                                                                                                | "1A5", Series 2003-J1, 5.25%, 10/25/2033                                         |            |   | 1,335,168  |   | 1,345,550  |
|                                                                                                                | "4A3", Series 2005-43, 5.714% **, 10/25/2035                                     |            |   | 3,603,305  |   | 3,625,506  |
|                                                                                                                | "1A4", Series 2006-43CB, 6.0%, 2/25/2037                                         |            |   | 3,631,029  |   | 3,659,136  |
|                                                                                                                | "3A5", Series 2005-28CB, 6.0%, 8/25/2035                                         |            |   | 4,250,879  |   | 4,303,549  |
|                                                                                                                | "A1", Series 2004-35T2, 6.0%, 2/25/2035                                          |            |   | 1,482,102  |   | 1,533,118  |
| CS First Boston Mortgage Securities Corp., "A3", Series                        2005-C5, 5.1% **, 8/15/2038          |                                                                             | 6,000,000       |   | 5,874,983  |
| First Horizon Alternative Mortgage Securities Trust,                        "1A7", Series 2006-FA8, 6.0%, 2/25/2037 |                                                                             | 6,037,500       |   | 6,099,726  |
| First Horizon Mortgage Pass-Through Trust, "1A15", Series                        2006-2, 6.0%, 8/25/2036            |                                                                             | 8,265,216       |   | 8,324,411  |
| Greenwich Capital Commercial Funding Corp.:                                                                         |                                                                             |
|                                                                                                                | "A2", Series 2007-GG9, 5.381%, 3/10/2039                                         |            |   | 3,750,000  |   | 3,745,670  |
|                                                                                                                | "AM", Series 2007-GG11, 5.867%, 12/10/2049                                       |            |   | 7,500,000  |   | 7,159,759  |
| GS Mortgage Securities Corp. II, "AAB", Series 2006-GG8,                        5.535%, 11/10/2039                  |                                                                             | 5,300,000       |   | 5,242,483  |
| GSR Mortgage Loan Trust, "4A5", Series 2005-AR6, 4.551%                        **, 9/25/2035                        |                                                                             | 3,110,000       |   | 3,127,016  |
| JPMorgan Alternative Loan Trust, "2A4", Series 2006-S1,                        5.5%, 2/25/2021                      |                                                                             | 7,176,380       |   | 7,217,818  |
| JPMorgan Chase Commercial Mortgage Securities                        Corp.:                                         |                                                                             |
|                                                                                                                | "ASB", Series 2007-CB20, 5.688%, 2/12/2051                                       |            |   | 11,250,000 |   | 11,114,725 |
|                                                                                                                | "A4", Series 2007-C1, 5.716%, 2/15/2051                                          |            |   | 3,000,000  |   | 3,006,349  |
|                                                                                                                | "A4", Series 2007-CB20, 5.794%, 2/12/2051                                        |            |   | 944,000    |   | 948,912    |
| LB-UBS Commercial Mortgage Trust, "A2", Series 2006-C7,                        5.3%, 11/15/2038                     |                                                                             | 2,550,000       |   | 2,544,787  |
| Master Adjustable Rate Mortgages Trust, "2A1", Series                        2007-1, 5.977% **, 11/25/2036          |                                                                             | 9,072,385       |   | 9,178,241  |
| Master Alternative Loans Trust, "5A1", Series 2005-1,                        5.5%, 1/25/2020                        |                                                                             | 3,684,601       |   | 3,706,180  |
| Merrill Lynch/Countrywide Commercial Mortgage Trust,                        "A2", Series 2006-4, 5.112%, 12/12/2049 |                                                                             | 2,342,000       |   | 2,320,070  |
| MLCC Mortgage Investors, Inc., "2A", Series 2005-2, 4.25%                        **, 10/25/2035                     |                                                                             | 8,793,877       |   | 8,811,902  |
| NYC Mortgage Loan Trust, "A3", Series 1996, 144A, 6.75%,                        9/25/2019                           |                                                                             | 1,107,127       |   | 1,107,127  |
| Structured Adjustable Rate Mortgage Loan                        Trust:                                              |                                                                             |
|                                                                                                                | "6A3", Series 2005-21, 5.4%, 11/25/2035                                          |            |   | 2,725,000  |   | 2,609,617  |
|                                                                                                                | "5A1", Series 2005-18, 5.533% **, 9/25/2035                                      |            |   | 2,022,682  |   | 2,042,868  |
| Structured Asset Securities Corp., "4A1", Series 2005-6,                        5.0%, 5/25/2035                     |                                                                             | 2,135,119       |   | 2,091,750  |
| Wachovia Bank Commercial Mortgage Trust:                                                                            |                                                                             |
|                                                                                                                | "APB", Series 2006-C23, 5.446%, 1/15/2045                                        |            |   | 5,900,000  |   | 5,827,256  |
|                                                                                                                | "APB", Series 2007-C34, 5.617%, 5/15/2046                                        |            |   | 8,625,000  |   | 8,473,096  |
| Wachovia Mortgage Loan Trust LLC, "1A1", Series 2006-A,                        5.475% **, 5/20/2036                 |                                                                             | 15,820,823      |   | 15,896,652 |
| Washington Mutual Mortgage Pass-Through Certificates                        Trust:                                  |                                                                             |
|                                                                                                                | "A6", Series 2003-AR10, 4.055% **, 10/25/2033                                    |            |   | 5,235,000  |   | 5,246,221  |
|                                                                                                                | "1A6", Series 2005-AR12, 4.834% **, 10/25/2035                                   |            |   | 5,590,000  |   | 5,657,044  |
|                                                                                                                | "1A3", Series 2005-AR16, 5.102% **, 12/25/2035                                   |            |   | 3,005,000  |   | 3,061,611  |
| Wells Fargo Mortgage Backed Securities Trust:                                                                       |                                                                             |
|                                                                                                                | "A3", Series 2006-1, 5.0%, 3/25/2021                                             |            |   | 4,389,955  |   | 4,383,097  |
|                                                                                                                | "A1", Series 2005-6, 5.25%, 8/25/2035                                            |            |   | 7,689,126  |   | 7,611,522  |
|                                                                                                                | "1A1", Series 2006-AR12, 6.024% **, 9/25/2036                                    |            |   | 6,353,724  |   | 6,477,033  |
|                                                                                                                     |
| **Total Commercial and Non-Agency Mortgage-Backed                        Securities**(Cost $247,745,117)            |                                                                             | **249,663,141** |
|                                                                                                                | **Collateralized Mortgage Obligations                        2.7%**              |            |
| Fannie Mae Whole Loan, "1A1", Series 2004-W15, 6.0%,                        8/25/2044                               |                                                                             | 1,516,754       |   | 1,613,803  |
| Federal Home Loan Mortgage Corp.:                                                                                   |                                                                             |
|                                                                                                                | "OS", Series 3102, Principal Only, Zero Coupon,                        1/15/2036 |            |   | 12,100,000 |   | 9,853,041  |
|                                                                                                                | "DE", Series 3027, 5.0%, 9/15/2025                                               |            |   | 7,500,000  |   | 7,296,691  |
| Federal National Mortgage Association, "CA", Series                        2003-2, 5.0%, 12/25/2016                 |                                                                             | 11,703,224      |   | 11,836,883 |
| Government National Mortgage Association:                                                                           |                                                                             |
|                                                                                                                | "CK", Series 2007-31, 5.0%, 5/16/2037                                            |            |   | 7,500,000  |   | 7,406,583  |
|                                                                                                                | "Z" Series, 2007- 72, 5.5%, 9/20/2035                                            |            |   | 5,399,594  |   | 5,012,587  |
|                                                                                                                     |
| **Total Collateralized Mortgage Obligations**(Cost $41,518,456)                                                     |                                                                             | **43,019,588**  |
|                                                                                                                | **Senior Loans** 0.3%**                                                          |            |
| Advanced Medical Optics, Inc., Term Loan B, LIBOR plus                        1.75%, 4.599%, 4/2/2014               |                                                                             | 44,239          |   | 41,031     |
|                                                                                                                     |                                                                                  |                 |        |            |        |            |  |  |  |  |

| Aleris International, Inc., Term Loan B, LIBOR plus                        2.375%, 5.224%, 12/14/2013    |                                                                        | 189,046        |   | 157,300    |
|----------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------|----------------|--------|------------|
| Alliance Mortgage Cycle Loan, LIBOR plus 7.25%, 10.099%,                        6/4/2010*                |                                                                        | 233,333        |   | 23,333     |
| Bausch & Lomb, Inc.:                                                                                 |                                                                        |
|                                                                                                     | Term Delay Draw, LIBOR plus 3.25%, 6.099%,                        4/11/2015 |           |   | 16,500     |   | 15,922 |
|                                                                                                     | Term Loan B, LIBOR plus 3.25%, 6.099%,                        4/11/2015     |           |   | 132,000    |   | 129,045 |
| Buffets, Inc.:                                                                                           |                                                                        |
|                                                                                                     | Letter of Credit, 4.73%, 5/1/2013                                           |           |   | 83,973     |   | 52,640 |
|                                                                                                     | Term Loan B, 7.906%, 1/13/2011                                              |           |   | 629,283    |   | 394,482 |
| Dollar General Corp., Term Loan B1, LIBOR plus 2.75%,                        5.599%, 7/6/2014            |                                                                        | 115,000        |   | 101,559    |
| Energy Future Holdings Corp.:                                                                            |                                                                        |
|                                                                                                     | Term Loan B1, LIBOR plus 3.5%, 6.349%,                        10/10/2014    |           |   | 778,050    |   | 712,243 |
|                                                                                                     | Term Loan B3, LIBOR plus 3.5%, 6.349%,                        10/10/2014    |           |   | 507,275    |   | 464,157 |
| General Nutrition Centers, Inc., Term Loan B, LIBOR plus                        2.25%, 5.099%, 9/16/2013 |                                                                        | 49,648         |   | 43,525     |
| Golden Nugget, Inc., 7.21%, 6/16/2014                                                                    |                                                                        | 100,000        |   | 87,500     |
| Hawker Beechcraft, Inc.:                                                                                 |                                                                        |
|                                                                                                     | Letter of Credit, LIBOR plus 2.0%, 4.849%,                        3/26/2014 |           |   | 4,311      |   | 3,933 |
|                                                                                                     | Term Loan B, LIBOR plus 2.0%, 4.849%,                        3/26/2014      |           |   | 50,562     |   | 46,043 |
| HCA, Inc. Term Loan A1, 6.83%, 11/18/2012                                                                |                                                                        | 273,780        |   | 251,628    |
| IASIS Healthcare LLC, 8.494%, 6/15/2014                                                                  |                                                                        | 216,549        |   | 197,060    |
| Local TV On Satellite LLC, Term Loan B, LIBOR plus 2.25%,                        5.099%, 5/7/2013        |                                                                        | 49,526         |   | 42,345     |
| Longview Power LLC:                                                                                      |                                                                        |
|                                                                                                     | Demand Draw, 7.125%, 4/1/2014                                               |           |   | 77,811     |   | 72,754 |
|                                                                                                     | Letter of Credit, 7.125%, 4/1/2014                                          |           |   | 27,000     |   | 25,363 |
|                                                                                                     | Term Loan B, 7.25%, 4/1/2014                                                |           |   | 81,000     |   | 76,444 |
| Rail America, Inc. 7.12%, 10/2/2008                                                                      |                                                                        | 125,000        |   | 122,500    |
| Sabre, Inc., Term Loan B, LIBOR plus 2.25%, 5.099%,                        9/30/2014                     |                                                                        | 78,657         |   | 64,246     |
| Symbion, Inc.:                                                                                           |                                                                        |
|                                                                                                     | Term Loan A, 6.494%, 8/23/2013                                              |           |   | 114,713    |   | 111,558 |
|                                                                                                     | Term Loan B, 6.494%, 8/23/2014                                              |           |   | 114,713    |   | 108,260 |
| Telesat Canada, Inc.:                                                                                    |                                                                        |
|                                                                                                     | Term Loan B, LIBOR plus 3.0%, 5.849%,                        10/31/2014     |           |   | 195,493    |   | 184,942 |
|                                                                                                     | 8.09%, 9/1/2014                                                             |           |   | 60,236     |   | 57,074 |
|                                                                                                     | 9.0%, 10/31/2008                                                            |           |   | 710,000    |   | 663,850 |
| Tribune Co., Term Loan B, 7.91%, 5/24/2014                                                               |                                                                        | 218,326        |   | 165,086    |
|                                                                                                          |
| **Total Senior Loans**(Cost                        $5,131,286)                                           |                                                                        | **4,415,823**  |
|                                                                                                     | **Government & Agency Obligations                        4.6%**         |           |
| **US Government Sponsored Agencies 1.6%**                                                                |                                                                        |
| Federal Home Loan Bank, 4.375%, 10/22/2010                                                               |                                                                        | 4,000,000      |   | 4,150,680  |
| Federal Home Loan Mortgage Corp., 5.5%, 8/20/2012                        (c)                             |                                                                        | 10,000,000     |   | 10,904,640 |
| Federal National Mortgage Association, 4.375%, 9/13/2010                        (c)                      |                                                                        | 10,000,000     |   | 10,372,770 |
| **US Treasury Obligations 3.0%**                                                                         |                                                                        |
| US Treasury Bills:                                                                                       |                                                                        |
|                                                                                                     | 3.03% ***, 4/17/2008 (g)                                                    |           |   | 24,031,000 |   | 23,936,630 |
|                                                                                                     | 2.2% ***, 4/17/2008 (g)                                                     |           |   | 1,078,000  |   | 1,073,225 |
|                                                                                                     | 2.21% ***, 4/17/2008 (g)                                                    |           |   | 182,000    |   | 181,162 |
|                                                                                                     | 2.22% ***, 4/17/2008 (g)                                                    |           |   | 38,000     |   | 37,826 |
|                                                                                                     | 2.79% ***, 4/17/2008 (g)                                                    |           |   | 140,000    |   | 139,164 |
| US Treasury Inflation Index Bond, 2.625%, 7/15/2017                        (c)                           |                                                                        | 15,208,500     |   | 17,058,477 |
| US Treasury Notes, 4.875%, 8/15/2016 (c)                                                                 |                                                                        | 5,000,000      |   | 5,483,985  |
|                                                                                                          |
| **Total Government & Agency Obligations**(Cost $72,067,698)                                          |                                                                        | **73,338,559** |
|                                                                                                          |                                                                             |                |        |            |  |  |  |  |  |  |

|                                                                                                                       | **Units**                                                                                                                                                                                                                                                                                                       |                       | **Value                        ($)** |
|----------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------------|--------------------------------------|
|                                                                                                                            |
|                                                                                                                       | **Other Investments 0.1%**                                                                                                                                                                                                                                                                                      |                       |
| Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029                                                                               |                                                                                                                                                                                                                                                                                                            | 506,000                    |                                 | 427,570 |
| IdleAire Technologies Corp. (Bond Unit), 144A, Step-up                        Coupon, 0% to 6/15/2008, 13.0% to 12/15/2012 |                                                                                                                                                                                                                                                                                                            | 800,000                    |                                 | 416,000 |
|                                                                                                                            |
| **Total Other Investments**(Cost $1,101,161)                                                                               |                                                                                                                                                                                                                                                                                                            | **843,570**                |
|                                                                                                                       | **Shares**                                                                                                                                                                                                                                                                                                      |                       | **Value                        ($)** |
|                                                                                                                            |
|                                                                                                                       | **Closed End Investment Company 0.0%**                                                                                                                                                                                                                                                                          |                       |
| Apollo Investment Corp. (Cost $532,074)                                                                                    |                                                                                                                                                                                                                                                                                                            | 26,454                     |                                 | **401,572** |
|                                                                                                                       | **Securities Lending Collateral 3.0%**                                                                                                                                                                                                                                                                          |                       |
| Daily Assets Fund Institutional, 4.22% (h) (i) (Cost                        $47,755,050)                                   |                                                                                                                                                                                                                                                                                                            |                       | 47,755,050                           |   | **47,755,050** |
|                                                                                                                       | **Cash Equivalents 5.0%**                                                                                                                                                                                                                                                                                       |                       |
| Cash Management QP Trust, 4.52% (h) (Cost                        $80,689,633)                                              |                                                                                                                                                                                                                                                                                                            |                       | 80,689,633                           |   | **80,689,633** |
|                                                                                                                       | **%                        of****Net Assets**                                                                                                                                                                                                                                                                   |                       | **Value                        ($)** |
|                                                                                                                            |
| **Total Investment Portfolio**(Cost $1,574,461,365)                                                                        | 102.5                                                                                                                                                                                                                                                                                                           |                       | **1,642,382,588**                    |
| **Other Assets and Liabilities, Net**                                                                                      | (2.5)                                                                                                                                                                                                                                                                                                           |                       | **(39,373,683)**                     |
|                                                                                                                            |
| **Net Assets**                                                                                                             | 100.0                                                                                                                                                                                                                                                                                                           |                       | **1,603,008,905**                    |
|                                                                                                                       | *For information on the Fund's policies regarding the                        valuation of investments and other significant accounting policies, please                        refer to the Fund's most recent semi-annual or annual financial                        statements.*                              |
| ***                                                                                                                        | *Non-income producing security. In the case of a bond,                        generally denotes that the 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:* |
| ***Securities***                                                                                                           | ***Coupon***                                                                                                                                                                                                                                                                                                    | ***Maturity***

***Date*** | ***Principal Amount ($)***           | ***Acquisition***

***Cost ($)*** | ***Value ($)*** |   |
| *Alliance Mortgage Cycle Loan*                                                                                             | *10.099%*                                                                                                                                                                                                                                                                                                       | *6/4/2010*                 | *233,333*                            | *USD* | *233,333* | *23,333* |   |
| *Congoleum Corp.*                                                                                                          | *8.625%*                                                                                                                                                                                                                                                                                                        | *8/1/2008*                 | *572,000*                            | *USD* | *573,205* | *429,000* |   |
| *Quebecor World, Inc.*                                                                                                     | *9.75%*                                                                                                                                                                                                                                                                                                         | *1/15/2015*                | *115,000*                            | *USD* | *115,000* | *54,625* |   |
| *Radnor Holdings Corp.*                                                                                                    | *11.0%*                                                                                                                                                                                                                                                                                                         | *3/15/2010*                | *120,000*                            | *USD* | *79,038* | *900* |   |
|                                                                                                                       |                                                                                                                                                                                                                                                                                                            |                       |                                 |   | ***1,000,576*** | ***507,858*** |   |
| ****                                                                                                                       | *Floating rate notes are securities whose yields vary                        with a designated market index or market rate, such as the                        coupon-equivalent of the US Treasury bill rate. These securities are shown                        at their current rate as of January 31, 2008.* |
| *****                                                                                                                      | *Annualized yield at time of purchase; not a coupon                        rate.*                                                                                                                                                                                                                               |
| *(a)*                                                                                                                      | *Principal amount stated in US dollars unless otherwise                        noted.*                                                                                                                                                                                                                          |
| *(b)*                                                                                                                      | *Securities with the same description are the same                        corporate entity but trade on different stock exchanges.*                                                                                                                                                                             |
| *(c)*                                                                                                                      | *All or a portion of these securities were on loan. The                        value of all securities loaned at January 31, 2007 amounted to $46,002,345                        which is 2.9% of net assets.*                                                                                                  |
| *(d)*                                                                                                                      | *Security issued in lieu of interest payment due                        12/15/2007, which has been deferred until 3/15/2008. This security is                        deemed to be non-income producing.*                                                                                                        |
| *(e)*                                                                                                                      | *Security has a deferred interest payment of $45,484                        from April 1, 2006.*                                                                                                                                                                                                                |
| *(f)*                                                                                                                      | *At January 31, 2008, this security has been pledged,                        in whole or in part, as collateral for open credit default                        swaps.*                                                                                                                                          |
| *(g)*                                                                                                                      | *At January 31, 2008, this security has been pledged,                        in whole or in part, to cover initial margin requirements for open futures                        contracts*                                                                                                                       |
| *(h)*                                                                                                                      | *Affiliated fund managed by Deutsche Investment                        Management Americas Inc. The rate shown is the annualized seven-day yield                        at period end.*                                                                                                                         |
| *(i)*                                                                                                                      | *Represents collateral held in connection with                        securities lending. Earned income by the Portfolio 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*                                                                                                                                                                                                                                                   |
| *GDR: Global Depositary Receipt*                                                                                                                                                                                                                                                   |
| *LIBOR: Represents the London InterBank Offered                        Rate.*                                                                                                                                                                                                      |
| *PIK: Denotes that all or a portion of the income is                        paid in kind.*                                                                                                                                                                                         |
| *REIT: Real Estate Investment Trust*                                                                                                                                                                                                                                               |
| *RNC: Riparmio Non-Convertible (Non-Convertible Savings                        Shares)*                                                                                                                                                                                            |
| *Principal Only: Principal Only (PO) bonds represent                        the “principal only” portion of payments on a pool of                        underlying mortgages or mortgage-backed securities.*                                                          |
| *At January 31, 2008 the Fund had unfunded loan                        commitments of $52,758 which could be extended at the option of the                        borrower, pursuant to the following loan agreement:*                                                             |

|                                                                         | ***Unfunded Loan***  |            | ***Unrealized***       |
|------------------------------------------------------------------------------|----------------------|-----------------|------------------------|
| ***Borrower***                                                               | ***Commitment ($)*** | ***Value ($)*** | ***Depreciation ($)*** |
| *Bausch & Lomb, Inc., Term Delay Draw,                        4/11/2015* | *16,459*             | *15,923*        | *(536)*                |
| *Longview Power LLC, Demand Draw, 4/1/2014*                                  | *22,919*             | *22,616*        | *(303)*                |
| *Telesat Canada, Inc., Term Loan B,                        10/31/2014*       | *13,380*             | *13,082*        | *(298)*                |
| ***Total***                                                                  | ***52,758***         | ***51,621***    | ***(1,137)***          |

| *At January 31, 2008, open futures contracts purchased                        were as follows:* |
|-------------------------------------------------------------------------------------------------|
| **Futures**                                                                                     |   | **Expiration****Date** |   | **Contracts** |   | **Aggregated****Face****Value ($)** |   | **Value                        ($)** |   | **Unrealized****Appreciation/****(Depreciation) ($)** |
|                                                                                                 |
|                                                                                            |
| 10 Year Canadian Government Bond                                                                |   | 3/19/2008 |   | 1,158 |   | 132,591,871 |   | 133,959,165 |   | 1,367,294 |   |
| 10 Year US Treasury Note                                                                        |   | 3/19/2008 |   | 616 |   | 70,121,435 |   | 71,898,750 |   | 1,777,315 |   |
| 2 Year US Treasury Note                                                                         |   | 3/31/2008 |   | 49 |   | 10,372,837 |   | 10,447,719 |   | 74,882 |   |
| 30 Year US Treasury Bond                                                                        |   | 3/19/2008 |   | 40 |   | 4,705,434 |   | 4,772,500 |   | 67,066 |   |
| 5 Year US Treasury Note                                                                         |   | 3/31/2008 |   | 950 |   | 106,806,013 |   | 107,350,000 |   | 543,987 |   |
| DJ Euro Stoxx 50 Index                                                                          |   | 3/20/2008 |   | 31 |   | 1,939,578 |   | 1,760,549 |   | (179,029) |   |
| EOE Dutch Stock Index                                                                           |   | 2/15/2008 |   | 66 |   | 9,166,538 |   | 8,659,280 |   | (507,258) |   |
| FTSE 100 Index                                                                                  |   | 3/20/2008 |   | 2 |   | 242,542 |   | 233,615 |   | (8,927) |   |
| Hang Seng Stock Index                                                                           |   | 2/28/2008 |   | 177 |   | 28,117,626 |   | 26,665,371 |   | (1,452,255) |   |
| IBEX 35 Index                                                                                   |   | 2/15/2008 |   | 8 |   | 1,663,886 |   | 1,575,901 |   | (87,985) |   |
| Nikkei 225 CMEindex                                                                             |   | 3/13/2008 |   | 5 |   | 363,023 |   | 340,000 |   | (23,023) |   |
| Russell 2000 Index                                                                              |   | 3/19/2008 |   | 14 |   | 5,188,238 |   | 5,005,000 |   | (183,238) |   |
| Russell E Mini 2000 Index                                                                       |   | 3/20/2008 |   | 71 |   | 5,243,345 |   | 5,076,500 |   | (166,845) |   |
| S&P/TSE 60 Index                                                                            |   | 3/19/2008 |   | 1 |   | 156,632 |   | 154,295 |   | (2,337) |   |
| S&P 500 Index                                                                               |   | 3/19/2008 |   | 75 |   | 27,407,528 |   | 25,867,500 |   | (1,540,028) |   |
| S&P/MIB Index                                                                               |   | 3/20/2008 |   | 4 |   | 1,122,046 |   | 1,020,351 |   | (101,695) |   |
| SPI 200 Equity Index                                                                            |   | 3/20/2008 |   | 21 |   | 2,979,926 |   | 2,646,591 |   | (333,335) |   |
|                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |

| United Kingdom Treasury Bond                                                               |   | 3/27/2008       |                   | 754    |          | 164,314,109 |                                | 165,784,970 |                                 | 1,470,861   |                                                  |
|--------------------------------------------------------------------------------------------|--------|-----------------|------------------------|--------|---------------|-------------|-------------------------------------|-------------|--------------------------------------|-------------|-------------------------------------------------------|
| **Total net unrealized appreciation**                                                      |   | **715,450**     |                   |
|                                                                                       |
| *At January 31, 2008, open futures contracts sold were                        as follows:* |
| **Futures**                                                                                |   |            | **Expiration****Date** |   | **Contracts** |        | **Aggregated****Face****Value ($)** |        | **Value                        ($)** |        | **Unrealized****Appreciation/****(Depreciation) ($)** |
|                                                                                            |
|                                                                                       |
| 10 Year Australian Bond                                                                    |   | 3/17/2008       |                   | 488    |          | 42,823,815  |                                | 43,475,272  |                                 | (651,457)   |                                                  |
| 10 Year Federal Republic of Germany Bond                                                   |   | 3/6/2008        |                   | 603    |          | 101,745,765 |                                | 104,610,210 |                                 | (2,864,445) |                                                  |
| 10 Year Japan Government Bond                                                              |   | 3/11/2008       |                   | 72     |          | 92,813,839  |                                | 93,262,495  |                                 | (448,656)   |                                                  |
| 2 Year Federal Republic of Germany Bond                                                    |   | 3/6/2008        |                   | 1,720  |          | 264,441,009 |                                | 267,244,894 |                                 | (2,803,885) |                                                  |
| CAC 40 10 Euro Index                                                                       |   | 2/15/2008       |                   | 17     |          | 1,324,922   |                                | 1,233,239   |                                 | 91,683      |                                                  |
| DAX Index                                                                                  |   | 3/20/2008       |                   | 66     |          | 19,402,446  |                                | 16,951,828  |                                 | 2,450,618   |                                                  |
| DJ Euro Stoxx 50 Index                                                                     |   | 3/20/2008       |                   | 85     |          | 5,468,970   |                                | 4,827,312   |                                 | 641,658     |                                                  |
| FTSE 100 Index                                                                             |   | 3/20/2008       |                   | 40     |          | 5,025,997   |                                | 4,672,297   |                                 | 353,700     |                                                  |
| S&P/TSE 60 Index                                                                       |   | 3/19/2008       |                   | 59     |          | 9,256,069   |                                | 9,103,411   |                                 | 152,658     |                                                  |
| TOPIX Index                                                                                |   | 3/14/2008       |                   | 150    |          | 20,481,076  |                                | 18,985,378  |                                 | 1,495,698   |                                                  |
| **Total net unrealized depreciation**                                                      |   | **(1,582,428)** |                   |
|                                                                                            |        |                 |                        |        |               |             |                                     |             |                                      |             |                                                       |  |  |  |  |

         

| *At January 31, 2008, open credit default swaps                        contracts sold were as follows:* |   |                       |   |
|---------------------------------------------------------------------------------------------------------|--------|----------------------------|--------|
| **Effective/****Expiration****Dates**                                                                   |   | **Notional****Amount ($)** |   | **Cash Flows                        Paid****by the Fund** |   | **Underlying                        Debt Obligation** |   | **Net                        Unrealized Appreciation/****(Depreciation) ($)** |
|                                                                                                    |
| 10/4/200712/20/2008                                                                                     |   |  

235,0001           |   | Fixed — 3.1% |   | Ford Motor Co.,                        6.5%, 8/1/2018 |   |  

(4,381) |   |
| 10/5/200712/20/2008                                                                                     |   |  

140,0002           |   | Fixed — 3.15% |   | Ford Motor                        Co.,

6.5%,                        8/1/2018 |   |  

(2,549) |   |
| 10/22/200712/20/2008                                                                                    |   |  

470,0003           |   | Fixed — 3.05% |   | Ford Motor                        Co.,

6.5%,                        8/1/2018 |   |  

(8,964) |   |
| 10/13/200712/20/2009                                                                                    |   |  

265,0004           |   | Fixed — 3.85% |   | Ford Motor                        Co.,

6.5%,                        8/1/2018 |   |  

(15,909) |   |
| 12/13/200712/20/2009                                                                                    |   |  

80,0004            |   | Fixed — 5.05% |   | Ford Motor Co.,                        6.5%, 8/1/2018 |   |  

(1,969) |   |
| 10/4/200712/20/2008                                                                                     |   |  

250,0005           |   | Fixed — 2.6% |   | General Motors                        Corp.,

7.125%,                        7/15/2013 |   |  

(4,721) |   |
| 10/22/200712/20/2008                                                                                    |   |  

470,0003           |   | Fixed — 3.06% |   | General Motors                        Corp.,

7.125%,                        7/15/2013 |   |  

(7,016) |   |
| 10/3/200712/20/2008                                                                                     |   |  

235,0002           |   | Fixed — 3.2% |   | General Motors                        Corp.,

7.125%,                        7/15/2013 |   |  

(3,225) |   |
| 1/28/20083/20/2008                                                                                      |   |  

105,0003           |   | Fixed — 2.65% |   | HCA,                        Inc.,

7.7%,                        3/20/2009 |   |  

787 |   |
| 1/29/20083/20/2013                                                                                      |   |  

65,0003            |   | Fixed — 3.0% |   | HCA,                        Inc.,

7.7%,                        3/20/2009 |   |  

(374) |   |
| 1/29/20083/20/2013                                                                                      |   |  

4,500,0005         |   | Fixed — 0.65% |   | Pitney Bowes,                        Inc.,

4.625%,                        10/1/2012 |   |  

(25,221) |   |
| 12/5/200712/20/2008                                                                                     |   |  

105,0003           |   | Fixed — 2.9% |   | Tenet                        Healthcare Corp.,

7.379%,                        2/1/2013 |   |  

(468) |   |
| 1/29/20083/20/2013                                                                                      |   |  

4,500,0005         |   | Fixed — 1.1% |   | Xerox                        Corp.,

6.875%,                        8/15/2011 |   |  

10,555 |   |
| **Total net unrealized depreciation**                                                                   |   | **(63,455)**               |   |
|                                                                                                         |        |                            |        |  |  |  |  |  |  |  |  |  |

         

*Counterparties:*

*1 Goldman Sachs & Co.*

*2 JPMorgan Chase*

*3 Lehman Brothers, Inc.*

*4 Merrill Lynch, Pierce, Fenner & Smith,        Inc.*

*5 Citigroup Global Markets, Inc.*

| *As of January 31, 2008, the Fund had the following                        open forward foreign currency exchange contracts:* |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                          |   |   |   | ***Settlement*** | ***Unrealized*** |   |
| ***Contracts to Deliver***                                                                                                    | ***In Exchange For*** | ***Date*** | ***Appreciation ($)*** |   |
| *USD*                                                                                                                         | *56,863* | *EUR* | *38,284* | *2/5/2008* | *46* |   |
| *USD*                                                                                                                         | *3,021,937* | *AUD* | *3,424,000* | *3/19/2008* | *30,419* |   |
| *USD*                                                                                                                         | *42,661,378* | *AUD* | *49,777,000* | *3/19/2008* | *1,712,780* |   |
| *USD*                                                                                                                         | *1,529,179* | *CAD* | *1,546,000* | *3/19/2008* | *8,882* |   |
| *CAD*                                                                                                                         | *11,699,000* | *USD* | *11,641,954* | *3/19/2008* | *3,035* |   |
| *USD*                                                                                                                         | *11,151,332* | *DKK* | *56,098,000* | *3/19/2008* | *21,268* |   |
| *USD*                                                                                                                         | *8,769,930* | *EUR* | *5,970,000* | *3/19/2008* | *93,191* |   |
| *USD*                                                                                                                         | *23,419,184* | *EUR* | *16,257,000* | *3/19/2008* | *716,119* |   |
| *USD*                                                                                                                         | *466,456* | *GBP* | *236,000* | *3/19/2008* | *1,451* |   |
| *USD*                                                                                                                         | *2,128,718* | *JPY* | *228,173,000* | *3/19/2008* | *24,027* |   |
| *USD*                                                                                                                         | *1,965,163* | *NOK* | *10,718,000* | *3/19/2008* | *9,452* |   |
| *USD*                                                                                                                         | *24,471,820* | *NOK* | *136,773,000* | *3/19/2008* | *726,356* |   |
| *USD*                                                                                                                         | *7,478,250* | *NZD* | *9,971,000* | *3/19/2008* | *329,277* |   |
| *USD*                                                                                                                         | *312,769* | *NZD* | *408,000* | *3/19/2008* | *6,705* |   |
| *USD*                                                                                                                         | *10,079,526* | *SGD* | *14,449,000* | *3/19/2008* | *136,636* |   |
| *USD*                                                                                                                         | *32,091,598* | *SGD* | *46,597,000* | *3/19/2008* | *854,799* |   |
| *USD*                                                                                                                         | *56,614,920* | *SGD* | *80,597,000* | *3/19/2008* | *371,167* |   |
| ***Total unrealized appreciation***                                                                                           |   |   | ***5,045,610*** |   |
|                                                                                                                          |   |   |   |   |   |   |
|                                                                                                                          |   |   |   | ***Settlement*** | ***Unrealized*** |   |
| ***Contracts to Deliver***                                                                                                    | ***In Exchange For*** | ***Date*** | ***Depreciation ($)*** |   |
| *EUR*                                                                                                                         | *919,075* | *USD* | *1,341,307* | *2/4/2008* | *(24,944)* |   |
| *EUR*                                                                                                                         | *76,000* | *USD* | *112,784* | *2/4/2008* | *(194)* |   |
| *EUR*                                                                                                                         | *878,400* | *USD* | *1,304,204* | *3/4/2008* | *(549)* |   |
| *AUD*                                                                                                                         | *14,461,000* | *USD* | *12,662,052* | *3/19/2008* | *(229,338)* |   |
| *USD*                                                                                                                         | *14,239,118* | *CAD* | *14,057,000* | *3/19/2008* | *(254,308)* |   |
| *CHF*                                                                                                                         | *12,949,000* | *USD* | *11,484,701* | *3/19/2008* | *(508,064)* |   |
| *CHF*                                                                                                                         | *54,903,000* | *USD* | *47,813,668* | *3/19/2008* | *(3,034,951)* |   |
| *EUR*                                                                                                                         | *577,000* | *USD* | *854,449* | *3/19/2008* | *(2,171)* |   |
| *USD*                                                                                                                         | *7,864,761* | *GBP* | *3,854,000* | *3/19/2008* | *(223,601)* |   |
| *USD*                                                                                                                         | *22,652,000* | *GBP* | *11,326,000* | *3/19/2008* | *(196,425)* |   |
| *USD*                                                                                                                         | *1,711,261* | *HKD* | *13,317,000* | *3/19/2008* | *(1,324)* |   |
| *JPY*                                                                                                                         | *900,064,000* | *USD* | *8,124,421* | *3/19/2008* | *(367,415)* |   |
| *JPY*                                                                                                                         | *6,009,055,000* | *USD* | *53,669,528* | *3/19/2008* | *(3,024,116)* |   |
| *USD*                                                                                                                         | *9,387,648* | *NOK* | *50,008,000* | *3/19/2008* | *(174,496)* |   |
| *SEK*                                                                                                                         | *16,054,000* | *USD* | *2,509,732* | *3/19/2008* | *(9,419)* |   |
| *USD*                                                                                                                         | *293,789* | *SEK* | *1,856,000* | *3/19/2008* | *(2,460)* |   |
| ***Total unrealized depreciation***                                                                                           |   |   | ***(8,053,775)*** |   |

 

 

| ***Currency Abbreviations*** |                |   |
|------------------------------|---------------------|--------|
| *AUD*                        | *Australian Dollar* | *JPY*  | *Japanese Yen* |   |
| *CAD*                        | *Canadian Dollar*   | *NOK*  | *Norwegian Krone* |   |
| *CHF*                        | *Swiss Franc*       | *NZD*  | *New Zealand Dollar* |   |
| *DKK*                        | *Danish Krone*      | *SEK*  | *Swedish Krona* |   |
| *EUR*                        | *Euro*              | *SGD*  | *Singapore Dollar* |   |
| *GBP*                        | *British Pound*     | *USD*  | *United States Dollar* |   |
| *HKD*                        | *Hong Kong Dollar*  |   |   |   |
|                              |                     |        |  |  |  |  |

 

*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.*

 

| **ITEM 2.** | **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 registrant’s last half-year (the                        registrant’s second fiscal half-year in the case of the annual                        report) that has materially affected, or is reasonably likely to materially                        affect, the registrant’s internal controls over financial                        reporting. |
|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
| **ITEM 3.** | **EXHIBITS**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|        | 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.                                                                                                                                                                                                                                                                                                                                                                                                                 |

 

**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: | March 17, 2008 |
|-------|----------------|

 

 

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: | March 17, 2008 |
|-------|----------------|

 

 

| By: | /s/Paul Schubert |
|-----|------------------|

|   | Paul Schubert |
|--------|---------------|

Chief Financial Officer and Treasurer

 

| Date: | March 17, 2008 |
|-------|----------------|