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)

 

345 Park Avenue

New York, NY 10154

(Address of principal executive offices)             (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY 10154-0004

(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:07/31/08

 

ITEM 1. SCHEDULE OF INVESTMENTS

 

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

 

 

**DWS Balanced Fund**

 

 

|                                               | **Shares**              |   | **Value ($)** |
|----------------------------------------------------|-------------------------|--------|---------------|
|                                                    |
|                                               | **Common Stocks 57.8%** |   |
| **Consumer Discretionary 5.0%**                    |                    |
| **Auto Components 0.4%**                           |                    |
| Aisin Seiki Co., Ltd.                              |                    | 400    |          | 10,413 |
| American Axle & Manufacturing Holdings, Inc.   |                    | 71,500 |          | 420,420 |
| Autoliv, Inc.                                      |                    | 42,600 |          | 1,663,104 |
| Bridgestone Corp.                                  |                    | 1,000  |          | 16,258 |
| Compagnie Generale des Etablissements Michelin "B" |                    | 332    |          | 21,779 |
| Continental AG                                     |                    | 298    |          | 33,611 |
| Denso Corp.                                        |                    | 700    |          | 18,156 |
| Fuel Systems Solutions, Inc.*                      |                    | 9,100  |          | 340,522 |
| GKN PLC                                            |                    | 2,953  |          | 12,398 |
|                                                    |                         |        |               |  |  |  |  |

 

 

 

| Lear Corp.*                               |          | 29,900  |   | 430,859   |
|-------------------------------------------|---------------|---------|--------|-----------|
| Magna International, Inc. "A"             |          | 1,200   |   | 70,714    |
| Nokian Renkaat Oyj                        |          | 37,902  |   | 1,633,917 |
| Rieter Holding AG (Registered)            |          | 52      |   | 16,456    |
| Stanley Electric Co., Ltd.                |          | 600     |   | 12,316    |
| Stoneridge, Inc.*                         |          | 26,000  |   | 342,420   |
| Tenneco, Inc.*                            |          | 2,900   |   | 41,818    |
| Toyota Industries Corp.                   |          | 400     |   | 11,546    |
|                                           |
|                                      | **5,096,707** |
| **Automobiles 0.1%**                      |          |
| Bayerische Motoren Werke (BMW) AG         |          | 271     |   | 12,166    |
| Daimler AG (Registered)                   |          | 1,751   |   | 101,599   |
| Fiat SpA                                  |          | 13,867  |   | 237,129   |
| Harley-Davidson, Inc.                     |          | 23,340  |   | 883,186   |
| Honda Motor Co., Ltd.                     |          | 2,400   |   | 76,733    |
| Isuzu Motors Ltd.                         |          | 3,000   |   | 12,859    |
| Mazda Motor Corp.                         |          | 3,000   |   | 17,289    |
| Mitsubishi Motors Corp.*                  |          | 8,000   |   | 13,126    |
| Nissan Motor Co., Ltd.                    |          | 3,000   |   | 23,068    |
| PSA Peugeot Citroen                       |          | 354     |   | 17,207    |
| Renault SA                                |          | 409     |   | 34,016    |
| Suzuki Motor Corp.                        |          | 17,800  |   | 386,587   |
| Toyota Motor Corp.                        |          | 3,900   |   | 167,582   |
| Volkswagen AG                             |          | 294     |   | 93,790    |
|                                           |
|                                      | **2,076,337** |
| **Distributors 0.1%**                     |          |
| Genuine Parts Co.                         |          | 46,115  |   | 1,849,673 |
| Li & Fung Ltd.                        |          | 50,000  |   | 169,807   |
|                                           |
|                                      | **2,019,480** |
| **Hotels Restaurants & Leisure 0.8%** |          |
| Accor SA                                  |          | 479     |   | 31,920    |
| Bally Technologies, Inc.*                 |          | 1,300   |   | 41,327    |
| Buffalo Wild Wings, Inc.*                 |          | 15,300  |   | 503,829   |
| California Pizza Kitchen, Inc.*           |          | 6,400   |   | 83,520    |
| Carnival PLC                              |          | 469     |   | 16,378    |
| CEC Entertainment, Inc.*                  |          | 17,200  |   | 599,592   |
| CKE Restaurants, Inc.                     |          | 14,300  |   | 175,461   |
| Compass Group PLC                         |          | 6,414   |   | 46,188    |
| Crown Ltd.                                |          | 9,182   |   | 67,834    |
| Darden Restaurants, Inc.                  |          | 24,100  |   | 784,937   |
| Enterprise Inns PLC                       |          | 1,529   |   | 9,305     |
| InterContinental Hotel Group PLC          |          | 796     |   | 10,410    |
| Jack in the Box, Inc.*                    |          | 11,500  |   | 248,170   |
| Ladbrokes PLC                             |          | 2,594   |   | 12,866    |
| Lottomatica SpA                           |          | 972     |   | 30,343    |
| McDonald's Corp.                          |          | 116,900 |   | 6,989,451 |
| P.F. Chang's China Bistro, Inc.*          |          | 22,600  |   | 587,600   |
| Shangri-La Asia Ltd.                      |          | 30,000  |   | 64,361    |
| Sodexo                                    |          | 268     |   | 17,460    |
| TABCORP Holding Ltd.                      |          | 12,865  |   | 103,983   |
| Tatts Group Ltd.                          |          | 28,901  |   | 66,310    |
| Town Sports International Holdings, Inc.* |          | 44,100  |   | 440,559   |
| TUI AG                                    |          | 491     |   | 11,267    |
| Whitbread PLC                             |          | 725     |   | 15,851    |
|                                           |               |         |        |           |  |

 

 

 

| WMS Industries, Inc.*                    |           | 22,800  |   | 642,504   |
|------------------------------------------|----------------|---------|--------|-----------|
| Yum! Brands, Inc.                        |           | 9,800   |   | 351,036   |
|                                          |
|                                     | **11,952,462** |
| **Household Durables 0.4%**              |           |
| CSS Industries, Inc.                     |           | 7,800   |   | 220,584   |
| D.R. Horton, Inc.                        |           | 108,600 |   | 1,207,632 |
| Electrolux AB "B"                        |           | 2,600   |   | 31,294    |
| Furniture Brands International, Inc.     |           | 15,100  |   | 179,237   |
| Hooker Furniture Corp.                   |           | 9,400   |   | 157,168   |
| Husqvarna AB "B"                         |           | 2,800   |   | 23,156    |
| Leggett & Platt, Inc.                |           | 25,100  |   | 489,450   |
| Lennar Corp. "A"                         |           | 117,800 |   | 1,425,380 |
| Libbey, Inc.                             |           | 7,700   |   | 69,839    |
| Makita Corp.                             |           | 15,000  |   | 514,018   |
| Matsushita Electric Industrial Co., Ltd. |           | 3,000   |   | 63,555    |
| NVR, Inc.*                               |           | 700     |   | 386,624   |
| Persimmon PLC                            |           | 863     |   | 4,878     |
| Ryland Group, Inc.                       |           | 13,900  |   | 286,201   |
| Sharp Corp.                              |           | 1,000   |   | 13,896    |
| Sony Corp.                               |           | 1,500   |   | 56,495    |
| Tupperware Brands Corp.                  |           | 19,600  |   | 764,400   |
|                                          |
|                                     | **5,893,807**  |
| **Internet & Catalog Retail 0.1%**   |           |
| Amazon.com, Inc.*                        |           | 3,500   |   | 267,190   |
| Home Retail Group PLC                    |           | 2,228   |   | 9,520     |
| Netflix, Inc.*                           |           | 16,600  |   | 512,774   |
| Stamps.com, Inc.*                        |           | 3,700   |   | 50,357    |
|                                          |
|                                     | **839,841**    |
| **Media 1.2%**                           |           |
| British Sky Broadcasting Group PLC       |           | 4,143   |   | 37,109    |
| CBS Corp. "B"                            |           | 103,700 |   | 1,696,532 |
| Comcast Corp. "A"                        |           | 65,300  |   | 1,346,486 |
| DENTSU, Inc.                             |           | 6       |   | 13,237    |
| Fairfax Media Ltd.                       |           | 32,003  |   | 82,034    |
| Gannett Co., Inc.                        |           | 70,631  |   | 1,279,834 |
| Gestevision Telecinco SA                 |           | 1,501   |   | 20,195    |
| Global Sources Ltd.*                     |           | 29,090  |   | 402,024   |
| ITV PLC                                  |           | 10,128  |   | 8,477     |
| Lagardere SCA                            |           | 340     |   | 18,620    |
| Liberty Media Corp. - Capital "A"*       |           | 6,000   |   | 93,240    |
| Mediaset SpA                             |           | 13,494  |   | 95,665    |
| Modern Times Group MTG AB "B"            |           | 525     |   | 29,534    |
| Morningstar, Inc.*                       |           | 6,200   |   | 390,352   |
| Omnicom Group, Inc.                      |           | 96,580  |   | 4,123,000 |
| Pearson PLC                              |           | 3,225   |   | 41,332    |
| Publicis Groupe                          |           | 417     |   | 13,576    |
| Reed Elsevier NV                         |           | 10,499  |   | 173,281   |
| Reed Elsevier PLC                        |           | 4,259   |   | 48,408    |
| Seat Pagine Gialle SpA*                  |           | 57,838  |   | 6,541     |
| SES "A" (FDR)                            |           | 606     |   | 14,748    |
| Shaw Communications, Inc. "B"            |           | 5,300   |   | 112,423   |
| Singapore Press Holdings Ltd.            |           | 304,000 |   | 894,610   |
| The DIRECTV Group, Inc.*                 |           | 44,200  |   | 1,194,284 |
| Thomson Reuters Corp.                    |           | 3,100   |   | 100,059   |
|                                          |                |         |        |           |  |

 

 

 

| Thomson Reuters PLC                           |           | 923     |   | 24,867    |
|-----------------------------------------------|----------------|---------|--------|-----------|
| United Business Media Ltd.                    |           | 1,276   |   | 14,219    |
| Vivendi                                       |           | 2,506   |   | 104,744   |
| Walt Disney Co.                               |           | 155,300 |   | 4,713,355 |
| Wolters Kluwer NV                             |           | 5,260   |   | 122,109   |
| WPP Group PLC                                 |           | 4,008   |   | 38,149    |
| Yellow Pages Income Fund (Unit)               |           | 2,800   |   | 24,693    |
|                                               |
|                                          | **17,277,737** |
| **Multiline Retail 0.4%**                     |           |
| Canadian Tire Corp. Ltd. "A"                  |           | 3,900   |   | 207,464   |
| Kohl's Corp.*                                 |           | 51,690  |   | 2,166,328 |
| Macy's, Inc.                                  |           | 94,400  |   | 1,775,664 |
| Marks & Spencer Group PLC                 |           | 3,639   |   | 18,580    |
| Next PLC                                      |           | 536     |   | 10,073    |
| PPR                                           |           | 179     |   | 19,390    |
| Target Corp.                                  |           | 33,800  |   | 1,528,774 |
|                                               |
|                                          | **5,726,273**  |
| **Specialty Retail 1.0%**                     |           |
| America's Car-Mart, Inc.*                     |           | 14,900  |   | 296,808   |
| AnnTaylor Stores Corp.*                       |           | 87,300  |   | 1,968,615 |
| Best Buy Co., Inc.                            |           | 58,500  |   | 2,323,620 |
| Children's Place Retail Stores, Inc.*         |           | 12,200  |   | 464,210   |
| Esprit Holdings Ltd.                          |           | 119,800 |   | 1,280,447 |
| GameStop Corp. "A"*                           |           | 28,500  |   | 1,154,535 |
| Gymboree Corp.*                               |           | 13,200  |   | 493,680   |
| Hennes & Mauritz AB "B"                   |           | 5,025   |   | 269,151   |
| Hot Topic, Inc.*                              |           | 34,300  |   | 215,747   |
| Industria de Diseno Textil SA                 |           | 8,494   |   | 408,236   |
| Jo-Ann Stores, Inc.*                          |           | 12,300  |   | 270,231   |
| Jos. A. Bank Clothiers, Inc.*                 |           | 20,600  |   | 461,440   |
| Kingfisher PLC                                |           | 6,218   |   | 14,454    |
| Lowe's Companies, Inc.                        |           | 50,400  |   | 1,024,128 |
| Rent-A-Center, Inc.*                          |           | 27,300  |   | 578,760   |
| Staples, Inc.                                 |           | 76,780  |   | 1,727,550 |
| Systemax, Inc.                                |           | 23,200  |   | 380,712   |
| The Buckle, Inc.                              |           | 11,400  |   | 586,758   |
| Tiffany & Co.                             |           | 24,900  |   | 940,971   |
| Tween Brands, Inc.*                           |           | 12,700  |   | 174,879   |
| Yamada Denki Co., Ltd.                        |           | 150     |   | 10,131    |
|                                               |
|                                          | **15,045,063** |
| **Textiles, Apparel & Luxury Goods 0.5%** |           |
| Adidas AG                                     |           | 8,510   |   | 522,589   |
| Billabong International Ltd.                  |           | 772     |   | 7,313     |
| Burberry Group PLC                            |           | 1,345   |   | 11,943    |
| Compagnie Financiere Richemont SA "A" (Unit)  |           | 4,954   |   | 297,274   |
| Deckers Outdoor Corp.*                        |           | 4,700   |   | 531,147   |
| Fossil, Inc.*                                 |           | 20,300  |   | 543,634   |
| G-III Apparel Group Ltd.*                     |           | 8,300   |   | 133,049   |
| Gildan Activewear, Inc.*                      |           | 1,800   |   | 45,776    |
| Hanesbrands, Inc.*                            |           | 73,600  |   | 1,577,984 |
| Hermes International                          |           | 172     |   | 27,304    |
| Luxottica Group SpA                           |           | 1,559   |   | 38,018    |
| LVMH Moet Hennessy Louis Vuitton SA           |           | 524     |   | 57,825    |
| NIKE, Inc. "B"                                |           | 12,000  |   | 704,160   |
|                                               |                |         |        |           |  |

 

 

 

| Perry Ellis International, Inc.*      |           | 17,650  |   | 383,887   |
|---------------------------------------|----------------|---------|--------|-----------|
| Quiksilver, Inc.*                     |           | 68,400  |   | 524,628   |
| Steven Madden Ltd.*                   |           | 4,600   |   | 103,454   |
| Swatch Group AG (Bearer)              |           | 305     |   | 70,646    |
| Swatch Group AG (Registered)          |           | 513     |   | 22,438    |
| Timberland Co. "A"*                   |           | 11,400  |   | 163,476   |
| True Religion Apparel, Inc.*          |           | 15,400  |   | 397,936   |
| UniFirst Corp.                        |           | 9,300   |   | 416,361   |
|                                       |
|                                  | **6,580,842**  |
| **Consumer Staples 4.8%**             |           |
| **Beverages 0.9%**                    |           |
| Asahi Breweries Ltd.                  |           | 2,400   |   | 44,922    |
| Carlsberg AS "B"                      |           | 18,950  |   | 1,537,434 |
| Coca-Cola Amatil Ltd.                 |           | 6,417   |   | 46,208    |
| Diageo PLC                            |           | 95,245  |   | 1,661,930 |
| Dr. Pepper Snapple Group, Inc.*       |           | 67,782  |   | 1,401,054 |
| Foster's Group Ltd.                   |           | 14,875  |   | 68,926    |
| Heineken NV                           |           | 1,879   |   | 87,395    |
| InBev NV                              |           | 9,620   |   | 647,642   |
| Kirin Holdings Co., Ltd.              |           | 5,000   |   | 76,059    |
| Pepsi Bottling Group, Inc.            |           | 104,900 |   | 2,921,465 |
| PepsiCo, Inc.                         |           | 76,950  |   | 5,121,792 |
| Pernod Ricard SA                      |           | 978     |   | 85,059    |
| SABMiller PLC                         |           | 2,214   |   | 45,938    |
|                                       |
|                                  | **13,745,824** |
| **Food & Staples Retailing 1.3%** |           |
| AEON Co., Ltd.                        |           | 3,700   |   | 44,889    |
| Carrefour SA                          |           | 2,828   |   | 143,855   |
| Casino Guichard-Perrachon SA          |           | 260     |   | 25,860    |
| Colruyt SA                            |           | 258     |   | 71,793    |
| CVS Caremark Corp.                    |           | 84,038  |   | 3,067,387 |
| Delhaize Group                        |           | 1,558   |   | 85,572    |
| George Weston Ltd.                    |           | 1,100   |   | 47,859    |
| J Sainsbury PLC                       |           | 4,178   |   | 26,055    |
| Kesko Oyj "B"                         |           | 423     |   | 11,682    |
| Koninklijke Ahold NV                  |           | 7,918   |   | 90,152    |
| Kroger Co.                            |           | 84,700  |   | 2,395,316 |
| Lawson, Inc.                          |           | 300     |   | 15,517    |
| Loblaw Companies Ltd.                 |           | 2,500   |   | 70,804    |
| Metro AG                              |           | 2,692   |   | 152,075   |
| Metro, Inc. "A"                       |           | 1,400   |   | 33,648    |
| Nash Finch Co.                        |           | 2,500   |   | 98,675    |
| Seven & I Holdings Co., Ltd.      |           | 5,000   |   | 152,830   |
| Shoppers Drug Mart Corp.              |           | 23,100  |   | 1,226,345 |
| SUPERVALU, Inc.                       |           | 62,600  |   | 1,603,812 |
| Sysco Corp.                           |           | 89,400  |   | 2,535,384 |
| Tesco PLC                             |           | 18,684  |   | 132,754   |
| Wal-Mart Stores, Inc.                 |           | 70,600  |   | 4,138,572 |
| Walgreen Co.                          |           | 40,020  |   | 1,374,287 |
| Wesfarmers Ltd.                       |           | 4,643   |   | 148,929   |
| Wesfarmers Ltd. (PPS)                 |           | 464     |   | 14,895    |
| William Morrison Supermarkets PLC     |           | 5,191   |   | 26,464    |
| Winn-Dixie Stores, Inc.*              |           | 28,600  |   | 454,454   |
|                                       |                |         |        |           |  |

 

 

 

| Woolworths Ltd.                           |           | 8,539   |   | 200,555   |
|-------------------------------------------|----------------|---------|--------|-----------|
|                                           |
|                                      | **18,390,420** |
| **Food Products 1.2%**                    |           |
| Ajinomoto Co., Inc.                       |           | 4,000   |   | 41,068    |
| Cadbury PLC                               |           | 3,264   |   | 38,538    |
| Cal-Maine Foods, Inc.                     |           | 13,100  |   | 496,490   |
| Chaoda Modern Agriculture (Holdings) Ltd. |           | 258,000 |   | 298,390   |
| Danisco AS                                |           | 2,100   |   | 143,233   |
| Darling International, Inc.*              |           | 44,000  |   | 711,920   |
| Dean Foods Co.*                           |           | 64,310  |   | 1,369,803 |
| Flowers Foods, Inc.                       |           | 31,900  |   | 959,233   |
| Fresh Del Monte Produce, Inc.*            |           | 10,700  |   | 225,556   |
| General Mills, Inc.                       |           | 37,166  |   | 2,393,119 |
| Golden Agri-Resources Ltd.                |           | 22,000  |   | 11,463    |
| Groupe DANONE                             |           | 21,159  |   | 1,574,913 |
| IAWS Group PLC                            |           | 660     |   | 15,345    |
| Imperial Sugar Co.                        |           | 18,800  |   | 262,824   |
| Kellogg Co.                               |           | 30,120  |   | 1,598,167 |
| Kerry Group PLC "A" (b)                   |           | 7,547   |   | 212,845   |
| Kerry Group PLC "A" (b)                   |           | 5,090   |   | 141,184   |
| Kraft Foods, Inc. "A"                     |           | 70,501  |   | 2,243,342 |
| Nestle SA (Registered)                    |           | 45,232  |   | 1,982,321 |
| Nissin Food Products Co., Ltd.            |           | 500     |   | 16,368    |
| Parmalat SpA                              |           | 9,453   |   | 23,426    |
| Ralcorp Holdings, Inc.*                   |           | 4,200   |   | 226,632   |
| Sanderson Farms, Inc.                     |           | 11,600  |   | 460,984   |
| Saputo, Inc.                              |           | 3,200   |   | 82,816    |
| Tate & Lyle PLC                       |           | 1,463   |   | 11,276    |
| Tyson Foods, Inc. "A"                     |           | 105,400 |   | 1,570,460 |
| Unilever NV (CVA)                         |           | 10,778  |   | 297,946   |
| Unilever PLC                              |           | 3,062   |   | 83,857    |
| Wilmar International Ltd.                 |           | 4,000   |   | 12,767    |
| Yakult Honsha Co., Ltd.                   |           | 700     |   | 20,028    |
|                                           |
|                                      | **17,526,314** |
| **Household Products 0.5%**               |           |
| Colgate-Palmolive Co.                     |           | 50,940  |   | 3,783,314 |
| Henkel AG & Co. KGaA                  |           | 1,850   |   | 70,903    |
| Kao Corp.                                 |           | 3,000   |   | 77,765    |
| Procter & Gamble Co.                  |           | 56,950  |   | 3,729,086 |
| Reckitt Benckiser Group PLC               |           | 1,071   |   | 58,538    |
|                                           |
|                                      | **7,719,606**  |
| **Personal Products 0.1%**                |           |
| Alberto-Culver Co.                        |           | 14,400  |   | 386,352   |
| American Oriental Bioengineering, Inc.*   |           | 39,200  |   | 370,440   |
| Beiersdorf AG                             |           | 1,967   |   | 126,844   |
| Estee Lauder Companies, Inc. "A"          |           | 4,700   |   | 207,270   |
| L'Oreal SA                                |           | 1,245   |   | 130,585   |
| Shiseido Co., Ltd.                        |           | 2,000   |   | 44,408    |
|                                           |
|                                      | **1,265,899**  |
| **Tobacco 0.8%**                          |           |
| Alliance One International, Inc.*         |           | 43,100  |   | 192,657   |
| Altria Group, Inc.                        |           | 78,900  |   | 1,605,615 |
| British American Tobacco PLC              |           | 3,562   |   | 128,504   |
| Imperial Tobacco Group PLC                |           | 16,163  |   | 604,103   |
| Japan Tobacco, Inc.                       |           | 27      |   | 126,343   |
|                                           |                |         |        |           |  |

 

 

 

| Philip Morris International, Inc.        |           | 127,346 |   | 6,577,421 |
|------------------------------------------|----------------|---------|--------|-----------|
| Reynolds American, Inc.                  |           | 31,693  |   | 1,769,420 |
| Swedish Match AB                         |           | 28,400  |   | 562,728   |
|                                          |
|                                     | **11,566,791** |
| **Energy 9.3%**                          |           |
| **Energy Equipment & Services 2.1%** |           |
| Acergy SA                                |           | 1,100   |   | 18,499    |
| Aker Solutions ASA                       |           | 5,800   |   | 136,985   |
| AMEC PLC                                 |           | 158,606 |   | 2,649,068 |
| Baker Hughes, Inc.                       |           | 35,470  |   | 2,940,818 |
| ENSCO International, Inc.                |           | 33,781  |   | 2,335,618 |
| Fugro NV (CVA)                           |           | 1,904   |   | 135,033   |
| Halliburton Co.                          |           | 148,867 |   | 6,672,219 |
| Noble Corp.                              |           | 85,106  |   | 4,414,448 |
| Petroleum Geo-Services ASA*              |           | 3,600   |   | 83,571    |
| Prosafe Production Public Ltd.*          |           | 1,100   |   | 4,616     |
| ProSafe SE                               |           | 1,100   |   | 9,574     |
| RPC, Inc.                                |           | 24,700  |   | 424,593   |
| Saipem SpA                               |           | 631     |   | 24,401    |
| SBM Offshore NV                          |           | 5,256   |   | 117,507   |
| Schlumberger Ltd.                        |           | 51,150  |   | 5,196,840 |
| Seadrill Ltd.                            |           | 1,500   |   | 45,072    |
| Technip SA                               |           | 239     |   | 20,236    |
| Transocean, Inc.*                        |           | 25,528  |   | 3,472,574 |
| Trico Marine Services, Inc.*             |           | 16,000  |   | 408,320   |
| Weatherford International Ltd.*          |           | 46,982  |   | 1,772,631 |
| WorleyParsons Ltd.                       |           | 832     |   | 24,674    |
|                                          |
|                                     | **30,907,297** |
| **Oil, Gas & Consumable Fuels 7.2%** |           |
| Alpha Natural Resources, Inc.*           |           | 12,200  |   | 1,207,190 |
| Apache Corp.                             |           | 22,600  |   | 2,535,042 |
| ATP Oil & Gas Corp.*                 |           | 19,100  |   | 543,395   |
| Berry Petroleum Co. "A"                  |           | 14,100  |   | 606,864   |
| BG Group PLC                             |           | 42,293  |   | 955,568   |
| Bill Barrett Corp.*                      |           | 12,000  |   | 493,680   |
| BP PLC                                   |           | 12,587  |   | 129,280   |
| Brigham Exploration Co.*                 |           | 31,800  |   | 445,200   |
| Callon Petroleum Co.*                    |           | 23,300  |   | 535,667   |
| Cameco Corp. (b)                         |           | 58,049  |   | 2,085,701 |
| Cameco Corp. (b)                         |           | 500     |   | 17,852    |
| Canadian Natural Resources Ltd.          |           | 500     |   | 39,069    |
| Canadian Oil Sands Trust (Unit)          |           | 300     |   | 15,071    |
| Chevron Corp.                            |           | 94,050  |   | 7,952,868 |
| Cimarex Energy Co.                       |           | 32,000  |   | 1,667,520 |
| Clayton Williams Energy, Inc.*           |           | 5,500   |   | 512,600   |
| CNOOC Ltd.                               |           | 598,400 |   | 881,983   |
| Comstock Resources, Inc.*                |           | 14,100  |   | 860,241   |
| ConocoPhillips                           |           | 104,237 |   | 8,507,824 |
| Devon Energy Corp.                       |           | 69,852  |   | 6,628,256 |
| El Paso Corp.                            |           | 121,200 |   | 2,173,116 |
| Enbridge, Inc.                           |           | 400     |   | 17,552    |
| EnCana Corp.                             |           | 700     |   | 50,520    |
| Encore Acquisition Co.*                  |           | 48,100  |   | 2,975,947 |
| Eni SpA                                  |           | 9,530   |   | 322,373   |
|                                          |                |         |        |           |  |

 

 

 

| EOG Resources, Inc.                           |            | 41,230  |   | 4,144,852 |
|-----------------------------------------------|-----------------|---------|--------|-----------|
| EXCO Resources, Inc.*                         |            | 24,700  |   | 643,435   |
| ExxonMobil Corp.                              |            | 85,200  |   | 6,852,636 |
| Frontline Ltd.                                |            | 29,000  |   | 1,860,930 |
| Gazprom (ADR)                                 |            | 31,950  |   | 1,530,772 |
| Hess Corp.                                    |            | 44,635  |   | 4,525,989 |
| Husky Energy, Inc.                            |            | 400     |   | 17,712    |
| Imperial Oil Ltd.                             |            | 500     |   | 24,635    |
| INPEX Holdings, Inc.                          |            | 10      |   | 100,491   |
| James River Coal Co.*                         |            | 9,600   |   | 416,160   |
| KazMunaiGas Exploration Production (GDR) 144A |            | 22,500  |   | 573,750   |
| Knightsbridge Tankers Ltd.                    |            | 11,600  |   | 372,476   |
| Marathon Oil Corp.                            |            | 51,344  |   | 2,539,988 |
| Mariner Energy, Inc.*                         |            | 48,400  |   | 1,280,664 |
| McMoRan Exploration Co.*                      |            | 21,000  |   | 563,430   |
| Mongolia Energy Corp., Ltd.*                  |            | 35,000  |   | 36,353    |
| Murphy Oil Corp.                              |            | 6,300   |   | 502,299   |
| Neste Oil Oyj                                 |            | 358     |   | 8,648     |
| Nexen, Inc. (b)                               |            | 700     |   | 22,020    |
| Nexen, Inc. (b)                               |            | 64,354  |   | 2,036,161 |
| Nippon Mining Holdings, Inc.                  |            | 11,000  |   | 66,406    |
| Nippon Oil Corp.                              |            | 17,000  |   | 106,947   |
| Noble Energy, Inc.                            |            | 88,494  |   | 6,537,052 |
| Occidental Petroleum Corp.                    |            | 75,590  |   | 5,958,760 |
| OMV AG                                        |            | 4,449   |   | 306,577   |
| Origin Energy Ltd.                            |            | 5,715   |   | 85,014    |
| Paladin Energy Ltd.*                          |            | 4,648   |   | 23,628    |
| Parallel Petroleum Corp.*                     |            | 9,600   |   | 157,248   |
| Petro-Canada                                  |            | 600     |   | 27,693    |
| Petroleo Brasileiro SA (ADR)                  |            | 17,400  |   | 972,834   |
| PetroQuest Energy, Inc.*                      |            | 26,500  |   | 553,055   |
| PT Bumi Resources Tbk                         |            | 566,200 |   | 418,294   |
| Repsol YPF SA                                 |            | 18,651  |   | 626,263   |
| Rosetta Resources, Inc.*                      |            | 20,100  |   | 474,762   |
| Royal Dutch Shell PLC "A"                     |            | 2,398   |   | 85,425    |
| Royal Dutch Shell PLC "B"                     |            | 1,824   |   | 64,251    |
| Santos Ltd.                                   |            | 3,740   |   | 63,098    |
| StatoilHydro ASA                              |            | 37,450  |   | 1,216,721 |
| Suncor Energy, Inc. (b)                       |            | 10,900  |   | 592,504   |
| Suncor Energy, Inc. (b)                       |            | 78,252  |   | 4,264,734 |
| Sunoco, Inc.                                  |            | 36,600  |   | 1,486,326 |
| Swift Energy Co.*                             |            | 13,900  |   | 706,398   |
| Talisman Energy, Inc. (b)                     |            | 800     |   | 14,305    |
| Talisman Energy, Inc. (b)                     |            | 87,395  |   | 1,558,253 |
| TonenGeneral Sekiyu KK                        |            | 4,000   |   | 33,805    |
| Total SA                                      |            | 11,747  |   | 900,635   |
| Valero Energy Corp.                           |            | 13,600  |   | 454,376   |
| W&T Offshore, Inc.                        |            | 31,100  |   | 1,376,486 |
| Williams Companies, Inc.                      |            | 82,700  |   | 2,650,535 |
| Woodside Petroleum Ltd.                       |            | 2,906   |   | 145,415   |
| XTO Energy, Inc.                              |            | 50,795  |   | 2,399,048 |
|                                               |
|                                          | **104,540,628** |

 

 

 

| **Financials 7.4%**                            |           |
|------------------------------------------------|----------------|
| **Capital Markets 1.1%**                       |           |
| 3i Group PLC                                   |           | 82,430 |   | 1,463,631 |
| Bank of New York Mellon Corp.                  |           | 85,900 |   | 3,049,450 |
| BGC Partners, Inc. "A"*                        |           | 7,700 |   | 54,670 |
| Charles Schwab Corp.                           |           | 40,950 |   | 937,345 |
| Credit Suisse Group (Registered)               |           | 1,813 |   | 91,016 |
| Daiwa Securities Group, Inc.                   |           | 3,000 |   | 25,914 |
| IGM Financial, Inc.                            |           | 400 |   | 16,696 |
| Julius Baer Holding AG (Registered)            |           | 373 |   | 23,798 |
| Lehman Brothers Holdings, Inc.                 |           | 74,500 |   | 1,291,830 |
| Man Group PLC                                  |           | 68,792 |   | 830,999 |
| Mediobanca SpA                                 |           | 1,107 |   | 16,094 |
| Morgan Stanley                                 |           | 17,595 |   | 694,651 |
| Nomura Holdings, Inc.                          |           | 2,900 |   | 41,833 |
| Prospect Capital Corp.                         |           | 34,694 |   | 457,961 |
| Raymond James Financial, Inc.                  |           | 31,300 |   | 904,570 |
| State Street Corp.                             |           | 71,890 |   | 5,150,200 |
| UBS AG (Registered)*                           |           | 5,807 |   | 111,119 |
|                                                |
|                                           | **15,161,777** |
| **Commercial Banks 2.2%**                      |           |
| Allied Irish Banks PLC                         |           | 12,988 |   | 159,294 |
| Anglo Irish Bank Corp. PLC                     |           | 15,387 |   | 121,075 |
| Australia & New Zealand Banking Group Ltd. |           | 2,816 |   | 42,295 |
| Banca Monte dei Paschi di Siena SpA            |           | 2,902 |   | 8,228 |
| Banca Popolare di Milano Scarl                 |           | 11,718 |   | 117,882 |
| Banco Bilbao Vizcaya Argentaria SA             |           | 7,772 |   | 142,179 |
| Banco Bradesco SA (ADR) (Preferred)            |           | 47,100 |   | 999,933 |
| Banco Comercial Portugues SA (Registered)      |           | 227,729 |   | 406,044 |
| Banco Espirito Santo SA (Registered)           |           | 17,025 |   | 254,556 |
| Banco Latinoamericano de Exportaciones SA "E"  |           | 6,400 |   | 117,376 |
| Banco Popolare Societa Cooperativa             |           | 804 |   | 14,439 |
| Banco Popular Espanol SA                       |           | 1,775 |   | 19,436 |
| Banco Santander SA                             |           | 9,357 |   | 180,556 |
| Bank of East Asia Ltd.                         |           | 6,000 |   | 28,915 |
| Bank of Ireland                                |           | 16,126 |   | 133,981 |
| Bank of Montreal                               |           | 900 |   | 42,137 |
| Bank of Nova Scotia                            |           | 1,700 |   | 82,979 |
| Barclays PLC                                   |           | 4,711 |   | 31,637 |
| BB&T Corp.                                 |           | 151,836 |   | 4,254,445 |
| BNP Paribas                                    |           | 10,259 |   | 1,018,640 |
| BOC Hong Kong (Holdings) Ltd.                  |           | 15,500 |   | 39,072 |
| Canadian Imperial Bank of Commerce (b)         |           | 30,635 |   | 1,861,076 |
| Canadian Imperial Bank of Commerce (b)         |           | 600 |   | 36,318 |
| Chuo Mitsui Trust Holdings, Inc.               |           | 2,000 |   | 12,336 |
| City Holding Co.                               |           | 5,400 |   | 240,192 |
| Commercial Bank of Qatar (GDR) 144A*           |           | 148,700 |   | 1,116,715 |
| Commerzbank AG                                 |           | 1,288 |   | 41,663 |
| Commonwealth Bank of Australia                 |           | 1,927 |   | 71,021 |
| Credit Agricole SA                             |           | 1,154 |   | 24,727 |
| Danske Bank AS                                 |           | 9,200 |   | 259,869 |
| DBS Group Holdings Ltd.                        |           | 9,000 |   | 125,702 |
| Deutsche Postbank AG                           |           | 203 |   | 14,386 |
| Dexia SA                                       |           | 2,113 |   | 28,817 |
| DnB NOR ASA                                    |           | 61,800 |   | 789,323 |
| Erste Bank der oesterreichischen Sparkassen AG |           | 9,708 |   | 622,994 |
|                                                |                |  |  |  |  |

 

 

 

| First Financial Bankshares, Inc.         |           | 4,800   |   | 220,272   |
|------------------------------------------|----------------|---------|--------|-----------|
| First Merchants Corp.                    |           | 3,500   |   | 73,500    |
| Grupo Financiero Banorte SAB de CV "O"   |           | 180,900 |   | 778,471   |
| Hang Seng Bank Ltd.                      |           | 4,200   |   | 82,565    |
| HBOS PLC                                 |           | 2,564   |   | 14,716    |
| HSBC Holdings PLC (Registered)           |           | 33,352  |   | 551,814   |
| ICICI Bank Ltd. (ADR)                    |           | 11,500  |   | 340,515   |
| Intesa Sanpaolo                          |           | 252,909 |   | 1,425,154 |
| Intesa Sanpaolo (RNC)                    |           | 1,308   |   | 6,865     |
| Jyske Bank AS (Registered)*              |           | 1,200   |   | 75,780    |
| KBC Groep NV                             |           | 5,170   |   | 524,180   |
| Lakeland Bancorp., Inc.                  |           | 4,800   |   | 55,248    |
| Lloyds TSB Group PLC                     |           | 4,121   |   | 24,058    |
| Mitsubishi UFJ Financial Group, Inc.     |           | 77,900  |   | 686,403   |
| Mizuho Financial Group, Inc.             |           | 13      |   | 62,252    |
| National Australia Bank Ltd.             |           | 2,506   |   | 57,069    |
| National Bank of Canada                  |           | 400     |   | 19,532    |
| National Penn Bancshares, Inc.           |           | 46,800  |   | 628,524   |
| Nordea Bank AB                           |           | 11,800  |   | 168,269   |
| Old National Bancorp.                    |           | 21,600  |   | 327,888   |
| Oriental Financial Group, Inc.           |           | 33,500  |   | 581,895   |
| Oversea-Chinese Banking Corp., Ltd.      |           | 24,000  |   | 147,395   |
| PNC Financial Services Group, Inc.       |           | 11,900  |   | 848,351   |
| Qatar National Bank*                     |           | 2,907   |   | 187,170   |
| Raiffeisen International Bank-Holding AG |           | 1,156   |   | 144,210   |
| Republic Bancorp., Inc. "A"              |           | 4,700   |   | 145,418   |
| Resona Holdings, Inc.                    |           | 9       |   | 12,879    |
| Royal Bank of Canada                     |           | 2,200   |   | 101,519   |
| Royal Bank of Scotland Group PLC         |           | 6,738   |   | 28,196    |
| Santander BanCorp.                       |           | 17,600  |   | 193,248   |
| Skandinaviska Enskilda Banken AB "A"     |           | 2,700   |   | 55,816    |
| Societe Generale                         |           | 900     |   | 83,794    |
| Southside Bancshares, Inc.               |           | 3,500   |   | 69,405    |
| Standard Chartered PLC                   |           | 24,584  |   | 747,333   |
| Sterling Bancshares, Inc.                |           | 25,050  |   | 243,486   |
| Sumitomo Mitsui Financial Group, Inc.    |           | 9       |   | 69,341    |
| Sumitomo Trust & Banking Co., Ltd.   |           | 3,000   |   | 20,479    |
| Susquehanna Bancshares, Inc.             |           | 32,700  |   | 468,264   |
| Svenska Handelsbanken AB "A"             |           | 2,800   |   | 71,314    |
| Swedbank AB "A"                          |           | 800     |   | 16,722    |
| Sydbank AS                               |           | 1,650   |   | 62,765    |
| Synovus Financial Corp.                  |           | 101,104 |   | 961,499   |
| The Bank of Yokohama Ltd.                |           | 2,000   |   | 12,822    |
| The Chiba Bank Ltd.                      |           | 2,000   |   | 13,343    |
| Tompkins Financial Corp.                 |           | 3,800   |   | 162,298   |
| Toronto-Dominion Bank                    |           | 500     |   | 30,417    |
| UMB Financial Corp.                      |           | 15,800  |   | 870,106   |
| UniCredit SpA                            |           | 138,485 |   | 825,240   |
| Unione di Banche Italiane ScpA           |           | 1,201   |   | 28,492    |
| United Overseas Bank Ltd.                |           | 49,000  |   | 695,732   |
| US Bancorp.                              |           | 137,400 |   | 4,205,814 |
| VTB Bank OJSC (GDR) 144A*                |           | 103,100 |   | 720,669   |
| Westpac Banking Corp.                    |           | 2,811   |   | 56,047    |
|                                          |
|                                     | **32,464,792** |

 

 

 

| **Consumer Finance 0.1%**                    |           |
|----------------------------------------------|----------------|
| Advanta Corp. "B"                            |           | 36,000 |   | 284,760 |
| Cash America International, Inc.             |           | 15,700 |   | 661,912 |
| Credit Saison Co., Ltd.                      |           | 600 |   | 12,554 |
| EZCORP, Inc. "A"*                            |           | 25,100 |   | 451,298 |
| First Cash Financial Services, Inc.*         |           | 3,100 |   | 59,117 |
| ORIX Corp.                                   |           | 160 |   | 24,217 |
| World Acceptance Corp.*                      |           | 12,200 |   | 399,672 |
|                                              |
|                                         | **1,893,530**  |
| **Diversified Financial Services 0.8%**      |           |
| ASX Ltd.                                     |           | 363 |   | 11,676 |
| Bank of America Corp.                        |           | 40,700 |   | 1,339,030 |
| CIT Group, Inc.                              |           | 121,900 |   | 1,033,712 |
| Citigroup, Inc.                              |           | 33,900 |   | 633,591 |
| CME Group, Inc.                              |           | 4,487 |   | 1,615,903 |
| Compagnie Nationale a Portefeuille           |           | 196 |   | 15,423 |
| Deutsche Boerse AG                           |           | 3,695 |   | 421,312 |
| Encore Capital Group, Inc.*                  |           | 7,300 |   | 89,425 |
| Fortis                                       |           | 25,633 |   | 362,208 |
| Groupe Bruxelles Lambert SA                  |           | 343 |   | 38,058 |
| Hong Kong Exchanges & Clearing Ltd.      |           | 3,600 |   | 53,282 |
| ING Groep NV (CVA)                           |           | 7,493 |   | 244,947 |
| Interactive Brokers Group, Inc. "A"*         |           | 4,800 |   | 134,688 |
| Investor AB "B"                              |           | 2,000 |   | 43,542 |
| JPMorgan Chase & Co.                     |           | 119,605 |   | 4,859,551 |
| KBC Ancora                                   |           | 162 |   | 12,930 |
| Mitsubishi UFJ Lease & Finance Co., Ltd. |           | 310 |   | 13,538 |
| Singapore Exchange Ltd.                      |           | 7,000 |   | 34,652 |
| The Nasdaq OMX Group, Inc.*                  |           | 21,980 |   | 610,385 |
|                                              |
|                                         | **11,567,853** |
| **Insurance 2.1%**                           |           |
| ACE Ltd.                                     |           | 87,960 |   | 4,459,572 |
| Aegon NV                                     |           | 5,816 |   | 68,277 |
| Aflac, Inc.                                  |           | 37,562 |   | 2,088,823 |
| Alleanza Assicurazioni SpA                   |           | 735 |   | 7,179 |
| Alleghany Corp.*                             |           | 2,384 |   | 751,604 |
| Allianz SE (Registered)                      |           | 4,372 |   | 741,470 |
| Allied World Assurance Co. Holdings Ltd.     |           | 29,700 |   | 1,235,817 |
| Allstate Corp.                               |           | 34,634 |   | 1,600,783 |
| American Physicians Capital, Inc.            |           | 2,200 |   | 109,516 |
| AMP Ltd.                                     |           | 3,058 |   | 18,630 |
| AmTrust Financial Services, Inc.             |           | 38,400 |   | 559,488 |
| Aspen Insurance Holdings Ltd.                |           | 17,400 |   | 441,786 |
| Assicurazioni Generali SpA                   |           | 1,665 |   | 57,818 |
| Aviva PLC                                    |           | 1,867 |   | 18,525 |
| Axa                                          |           | 14,927 |   | 440,885 |
| AXA Asia Pacific Holdings Ltd.               |           | 1,676 |   | 6,999 |
| Cincinnati Financial Corp.                   |           | 24,195 |   | 673,589 |
| CNP Assurances                               |           | 77 |   | 8,576 |
| Crawford & Co. "B"*                      |           | 12,500 |   | 127,500 |
| Fidelity National Financial, Inc. "A"        |           | 50,111 |   | 669,483 |
| First American Corp.                         |           | 15,900 |   | 400,680 |
| Genworth Financial, Inc. "A"                 |           | 79,859 |   | 1,275,348 |
| Great-West Lifeco, Inc.                      |           | 500 |   | 14,566 |
| Greenlight Capital Re Ltd. "A"*              |           | 4,600 |   | 94,760 |
| Hallmark Financial Services, Inc.*           |           | 14,800 |   | 143,116 |
|                                              |                |  |  |  |  |

 

 

 

| Hartford Financial Services Group, Inc.                    |           | 8,000  |   | 507,120   |
|------------------------------------------------------------|----------------|--------|--------|-----------|
| Insurance Australia Group Ltd.                             |           | 3,370  |   | 12,281    |
| Irish Life & Permanent PLC                             |           | 17,050 |   | 137,163   |
| Legal & General Group PLC                              |           | 6,916  |   | 13,300    |
| Loews Corp.                                                |           | 38,448 |   | 1,713,243 |
| Manulife Financial Corp.                                   |           | 2,500  |   | 92,094    |
| MetLife, Inc.                                              |           | 83,404 |   | 4,234,421 |
| Millea Holdings, Inc.                                      |           | 1,100  |   | 41,053    |
| Mitsui Sumitomo Insurance Group Holdings, Inc.*            |           | 600    |   | 19,764    |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) |           | 406    |   | 67,621    |
| Navigators Group, Inc.*                                    |           | 10,400 |   | 494,624   |
| NIPPONKOA Insurance Co., Ltd.                              |           | 1,000  |   | 7,994     |
| Odyssey Re Holdings Corp.                                  |           | 23,322 |   | 911,190   |
| Old Mutual PLC                                             |           | 28,741 |   | 54,816    |
| Platinum Underwriters Holdings Ltd.                        |           | 17,200 |   | 620,920   |
| Power Corp. of Canada                                      |           | 600    |   | 18,300    |
| Power Financial Corp.                                      |           | 400    |   | 13,204    |
| Prudential PLC                                             |           | 73,698 |   | 790,352   |
| QBE Insurance Group Ltd.                                   |           | 28,126 |   | 597,585   |
| Reinsurance Group of America, Inc.                         |           | 17,500 |   | 869,750   |
| Sampo Oyj "A"                                              |           | 14,219 |   | 357,450   |
| Seabright Insurance Holdings*                              |           | 16,600 |   | 190,900   |
| Sompo Japan Insurance, Inc.                                |           | 2,000  |   | 19,809    |
| Storebrand ASA                                             |           | 21,900 |   | 151,436   |
| Sun Life Financial, Inc.                                   |           | 900    |   | 34,982    |
| Suncorp-Metway Ltd.                                        |           | 1,450  |   | 18,013    |
| Swiss Life Holding (Registered)*                           |           | 62     |   | 15,941    |
| Swiss Re (Registered)                                      |           | 602    |   | 37,386    |
| T&D Holdings, Inc.                                     |           | 300    |   | 18,862    |
| The Travelers Companies, Inc.                              |           | 25,440 |   | 1,122,413 |
| Topdanmark AS*                                             |           | 425    |   | 61,599    |
| Unum Group                                                 |           | 49,225 |   | 1,189,276 |
| Vienna Insurance Group                                     |           | 541    |   | 36,100    |
| Zurich Financial Services AG (Registered)                  |           | 243    |   | 63,844    |
|                                                            |
|                                                       | **30,549,596** |
| **Real Estate Investment Trusts 0.7%**                     |           |
| Annaly Capital Management, Inc. (REIT)                     |           | 13,700 |   | 206,459   |
| Apartment Investment & Management Co. "A" (REIT)       |           | 5,610  |   | 191,694   |
| AvalonBay Communities, Inc. (REIT)                         |           | 3,700  |   | 368,927   |
| BioMed Realty Trust, Inc. (REIT)                           |           | 7,700  |   | 198,660   |
| Boston Properties, Inc. (REIT)                             |           | 6,100  |   | 586,759   |
| CapitaMall Trust (REIT)                                    |           | 10,000 |   | 21,851    |
| Corio NV (REIT)                                            |           | 227    |   | 17,431    |
| Corporate Office Properties Trust (REIT)                   |           | 8,800  |   | 342,144   |
| Cousins Properties, Inc. (REIT)                            |           | 11,000 |   | 241,670   |
| Equity Lifestyle Properties, Inc. (REIT)                   |           | 5,400  |   | 259,254   |
| Equity Residential (REIT)                                  |           | 14,100 |   | 608,697   |
| First Industrial Realty Trust, Inc. (REIT)                 |           | 12,700 |   | 314,833   |
| Glimcher Realty Trust (REIT)                               |           | 11,300 |   | 105,203   |
| Goodman Group (REIT)                                       |           | 3,467  |   | 8,201     |
| GPT Group (REIT)                                           |           | 4,877  |   | 6,852     |
| HCP, Inc. (REIT)                                           |           | 5,800  |   | 209,206   |
| Healthcare Realty Trust, Inc. (REIT)                       |           | 8,300  |   | 240,783   |
| Home Properties, Inc. (REIT)                               |           | 7,100  |   | 390,642   |
| Hospitality Properties Trust (REIT)                        |           | 9,400  |   | 200,220   |
|                                                            |                |        |        |           |  |

 

 

 

| Host Hotels & Resorts, Inc. (REIT)            |           | 17,200  |   | 225,492   |
|---------------------------------------------------|----------------|---------|--------|-----------|
| Kimco Realty Corp. (REIT)                         |           | 6,100   |   | 215,269   |
| LaSalle Hotel Properties (REIT)                   |           | 8,200   |   | 186,222   |
| Lexington Realty Trust (REIT)                     |           | 18,900  |   | 272,160   |
| Link (REIT)                                       |           | 8,000   |   | 17,932    |
| Maguire Properties, Inc. (REIT)                   |           | 8,600   |   | 92,794    |
| Mid-America Apartment Communities, Inc. (REIT)    |           | 5,800   |   | 333,326   |
| OMEGA Healthcare Investors, Inc. (REIT)           |           | 9,000   |   | 155,430   |
| Parkway Properties, Inc. (REIT)                   |           | 8,100   |   | 285,849   |
| Pennsylvania Real Estate Investment Trust (REIT)  |           | 7,200   |   | 132,624   |
| Potlatch Corp. (REIT)                             |           | 5,700   |   | 265,449   |
| ProLogis (REIT)                                   |           | 5,500   |   | 268,840   |
| Public Storage (REIT)                             |           | 3,700   |   | 302,993   |
| Realty Income Corp. (REIT)                        |           | 12,900  |   | 324,951   |
| Redwood Trust, Inc. (REIT)                        |           | 3,800   |   | 82,954    |
| Senior Housing Properties Trust (REIT)            |           | 18,500  |   | 389,425   |
| Simon Property Group, Inc. (REIT)                 |           | 10,800  |   | 1,000,404 |
| Sovran Self Storage, Inc. (REIT)                  |           | 4,900   |   | 204,869   |
| Stockland (REIT)                                  |           | 2,927   |   | 12,548    |
| Strategic Hotels & Resorts, Inc. (REIT)       |           | 15,600  |   | 123,084   |
| Sunstone Hotel Investors, Inc. (REIT)             |           | 14,900  |   | 192,806   |
| Unibail-Rodamco (REIT)                            |           | 125     |   | 28,087    |
| Vornado Realty Trust (REIT)                       |           | 5,200   |   | 494,364   |
| Washington Real Estate Investment Trust (REIT)    |           | 11,100  |   | 380,286   |
| Wereldhave NV (REIT)                              |           | 152     |   | 16,304    |
| Westfield Group (REIT)                            |           | 2,826   |   | 42,462    |
|                                                   |
|                                              | **10,566,410** |
| **Real Estate Management & Development 0.1%** |           |
| Brookfield Asset Management, Inc. "A"             |           | 1,000   |   | 33,693    |
| CapitaLand Ltd.                                   |           | 12,000  |   | 49,727    |
| Cheung Kong (Holdings) Ltd.                       |           | 4,000   |   | 56,242    |
| City Developments Ltd.                            |           | 2,000   |   | 16,551    |
| Hang Lung Properties Ltd.                         |           | 7,000   |   | 21,961    |
| Henderson Land Development Co., Ltd.              |           | 4,000   |   | 24,759    |
| Hopewell Holdings Ltd.                            |           | 10,000  |   | 35,854    |
| Immoeast AG*                                      |           | 9,787   |   | 70,060    |
| Immofinanz Immobilien Anlagen AG                  |           | 11,323  |   | 102,737   |
| Kerry Properties Ltd.                             |           | 1,500   |   | 7,914     |
| Lend Lease Corp., Ltd.                            |           | 911     |   | 8,570     |
| Meinl European Land Ltd.*                         |           | 6,556   |   | 65,382    |
| Mitsubishi Estate Co., Ltd.                       |           | 2,000   |   | 47,920    |
| Mitsui Fudosan Co., Ltd.                          |           | 2,000   |   | 44,905    |
| New World Development Co., Ltd.                   |           | 7,000   |   | 13,106    |
| Sino Land Co., Ltd.                               |           | 8,000   |   | 16,022    |
| Sumitomo Realty & Development Co., Ltd.       |           | 1,000   |   | 20,376    |
| Sun Hung Kai Properties Ltd.                      |           | 5,000   |   | 74,600    |
| Swire Pacific Ltd. "A"                            |           | 3,000   |   | 31,928    |
| Wharf Holdings Ltd.                               |           | 119,000 |   | 526,910   |
|                                                   |
|                                              | **1,269,217**  |
| **Thrifts & Mortgage Finance 0.3%**           |           |
| Capitol Federal Financial                         |           | 21,501  |   | 869,500   |
| Dime Community Bancshares                         |           | 33,000  |   | 552,090   |
| Doral Financial Corp.*                            |           | 13,200  |   | 183,348   |
| Flagstar Bancorp., Inc.                           |           | 86,800  |   | 385,392   |
| Flushing Financial Corp.                          |           | 16,500  |   | 290,895   |
|                                                   |                |         |        |           |  |

 

 

 

| New York Community Bancorp., Inc.             |           | 58,100  |   | 965,622   |
|-----------------------------------------------|----------------|---------|--------|-----------|
| Northwest Bancorp., Inc.                      |           | 4,000   |   | 103,800   |
| Ocwen Financial Corp.*                        |           | 27,900  |   | 168,516   |
| WSFS Financial Corp.                          |           | 2,500   |   | 136,125   |
|                                               |
|                                          | **3,655,288**  |
| **Health Care 8.0%**                          |           |
| **Biotechnology 1.2%**                        |           |
| Actelion Ltd. (Registered)*                   |           | 272     |   | 14,777    |
| Alnylam Pharmaceuticals, Inc.*                |           | 16,400  |   | 570,392   |
| Celgene Corp.*                                |           | 27,000  |   | 2,038,230 |
| CSL Ltd.                                      |           | 9,966   |   | 323,617   |
| Cubist Pharmaceuticals, Inc.*                 |           | 23,700  |   | 537,042   |
| Emergent Biosolutions, Inc.*                  |           | 20,000  |   | 269,400   |
| Enzon Pharmaceuticals, Inc.*                  |           | 60,300  |   | 493,254   |
| Genentech, Inc.*                              |           | 32,000  |   | 3,048,000 |
| Gilead Sciences, Inc.*                        |           | 144,820 |   | 7,817,384 |
| Grifols SA                                    |           | 953     |   | 28,509    |
| Isis Pharmaceuticals, Inc.*                   |           | 30,500  |   | 522,465   |
| Onyx Pharmaceuticals, Inc.*                   |           | 11,000  |   | 445,500   |
| OSI Pharmaceuticals, Inc.*                    |           | 14,500  |   | 763,135   |
| PDL BioPharma, Inc.                           |           | 46,800  |   | 522,756   |
|                                               |
|                                          | **17,394,461** |
| **Health Care Equipment & Supplies 1.7%** |           |
| Baxter International, Inc.                    |           | 142,344 |   | 9,766,222 |
| Becton, Dickinson & Co.                   |           | 42,600  |   | 3,617,166 |
| C.R. Bard, Inc.                               |           | 17,920  |   | 1,663,693 |
| Cochlear Ltd.                                 |           | 1,073   |   | 44,539    |
| Cynosure, Inc. "A"*                           |           | 3,600   |   | 88,992    |
| Essilor International SA                      |           | 1,930   |   | 95,389    |
| Getinge AB "B"                                |           | 800     |   | 18,591    |
| Hologic, Inc.*                                |           | 33,100  |   | 611,357   |
| Hospira, Inc.*                                |           | 17,200  |   | 656,352   |
| Intuitive Surgical, Inc.*                     |           | 900     |   | 280,161   |
| Kensey Nash Corp.*                            |           | 1,000   |   | 34,730    |
| Medtronic, Inc.                               |           | 41,560  |   | 2,195,615 |
| Merit Medical Systems, Inc.*                  |           | 28,200  |   | 569,922   |
| Nobel Biocare Holding AG (Bearer)             |           | 485     |   | 14,918    |
| Olympus Corp.                                 |           | 2,000   |   | 67,127    |
| Quidel Corp.*                                 |           | 23,100  |   | 468,006   |
| Smith & Nephew PLC                        |           | 4,258   |   | 45,405    |
| Sonova Holding AG (Registered)                |           | 186     |   | 13,520    |
| STERIS Corp.                                  |           | 22,100  |   | 755,157   |
| SurModics, Inc.*                              |           | 8,800   |   | 370,392   |
| Synthes, Inc.                                 |           | 232     |   | 32,073    |
| Terumo Corp.                                  |           | 16,000  |   | 823,998   |
| William Demant Holding AS*                    |           | 125     |   | 7,576     |
| Zimmer Holdings, Inc.*                        |           | 25,270  |   | 1,741,356 |
|                                               |
|                                          | **23,982,257** |
| **Health Care Providers & Services 1.5%** |           |
| Aetna, Inc.                                   |           | 130,300 |   | 5,343,603 |
| Alliance Imaging, Inc.*                       |           | 6,500   |   | 61,620    |
| Almost Family, Inc.*                          |           | 11,200  |   | 367,920   |
| Apria Healthcare Group, Inc.*                 |           | 13,700  |   | 263,177   |
| Celesio AG                                    |           | 2,085   |   | 68,216    |
|                                               |                |         |        |           |  |

 

 

 

| Centene Corp.*                              |           | 21,900  |   | 488,589   |
|---------------------------------------------|----------------|---------|--------|-----------|
| Chindex International, Inc.*                |           | 7,400   |   | 114,774   |
| CorVel Corp.*                               |           | 15,300  |   | 501,075   |
| Express Scripts, Inc.*                      |           | 38,100  |   | 2,687,574 |
| Fresenius Medical Care AG & Co. KGaA    |           | 24,386  |   | 1,348,194 |
| Health Management Associates, Inc. "A"*     |           | 142,700 |   | 877,605   |
| Healthspring, Inc.*                         |           | 31,400  |   | 610,730   |
| Kindred Healthcare, Inc.*                   |           | 20,700  |   | 558,279   |
| Laboratory Corp. of America Holdings*       |           | 19,500  |   | 1,317,810 |
| Landauer, Inc.                              |           | 400     |   | 25,732    |
| LifePoint Hospitals, Inc.*                  |           | 29,200  |   | 835,996   |
| Mediceo Paltac Holdings Co., Ltd.           |           | 1,400   |   | 23,336    |
| Owens & Minor, Inc.                     |           | 19,600  |   | 900,032   |
| RehabCare Group, Inc.*                      |           | 13,000  |   | 215,280   |
| Res-Care, Inc.*                             |           | 10,200  |   | 187,272   |
| Sonic Healthcare Ltd.                       |           | 6,569   |   | 85,185    |
| Suzuken Co., Ltd.                           |           | 600     |   | 20,631    |
| UnitedHealth Group, Inc.                    |           | 26,660  |   | 748,613   |
| WellPoint, Inc.*                            |           | 86,349  |   | 4,529,005 |
|                                             |
|                                        | **22,180,248** |
| **Health Care Technology 0.0%**             |           |
| Agfa Gevaert NV*                            |           | 956     |   | 7,109     |
| Phase Forward, Inc.*                        |           | 6,400   |   | 117,760   |
|                                             |
|                                        | **124,869**    |
| **Life Sciences Tools & Services 0.5%** |           |
| Albany Molecular Research, Inc.*            |           | 2,000   |   | 30,600    |
| Cambrex Corp.*                              |           | 14,200  |   | 108,062   |
| eResearchTechnology, Inc.*                  |           | 32,700  |   | 476,112   |
| Gerresheimer AG                             |           | 18,826  |   | 976,876   |
| Lonza Group AG (Registered)                 |           | 9,470   |   | 1,376,057 |
| MDS, Inc.*                                  |           | 700     |   | 9,831     |
| Thermo Fisher Scientific, Inc.*             |           | 66,167  |   | 4,004,427 |
|                                             |
|                                        | **6,981,965**  |
| **Pharmaceuticals 3.1%**                    |           |
| Abbott Laboratories                         |           | 66,594  |   | 3,751,906 |
| Astellas Pharma, Inc.                       |           | 5,300   |   | 229,186   |
| AstraZeneca PLC                             |           | 6,600   |   | 319,909   |
| Bayer AG                                    |           | 20,181  |   | 1,744,226 |
| Caraco Pharmaceutical Laboratories Ltd.*    |           | 17,400  |   | 242,730   |
| Chugai Pharmaceutical Co., Ltd.             |           | 2,900   |   | 46,047    |
| Cypress Bioscience, Inc.*                   |           | 40,300  |   | 350,610   |
| Daiichi Sankyo Co., Ltd.                    |           | 7,000   |   | 208,644   |
| Eisai Co., Ltd.                             |           | 2,600   |   | 92,744    |
| Elan Corp. PLC*                             |           | 36,705  |   | 758,684   |
| Eli Lilly & Co.                         |           | 110,750 |   | 5,217,433 |
| GlaxoSmithKline PLC                         |           | 24,939  |   | 580,601   |
| Hisamitsu Pharmaceutical Co., Inc.          |           | 600     |   | 25,064    |
| Johnson & Johnson                       |           | 87,066  |   | 5,961,409 |
| Kyowa Hakko Kogyo Co., Ltd.                 |           | 3,000   |   | 33,455    |
| Medicines Co.*                              |           | 30,700  |   | 681,847   |
| Medicis Pharmaceutical Corp. "A"            |           | 33,400  |   | 613,224   |
| Merck & Co., Inc.                       |           | 163,846 |   | 5,390,533 |
| Merck KGaA                                  |           | 1,877   |   | 226,916   |
| Mitsubishi Tanabe Pharma Corp.              |           | 3,000   |   | 38,965    |
|                                             |                |         |        |           |  |

 

 

 

| Novartis AG (Registered)                    |           | 8,447   |   | 500,697   |
|---------------------------------------------|----------------|---------|--------|-----------|
| Novo Nordisk AS "B"                         |           | 23,650  |   | 1,504,572 |
| Ono Pharmaceutical Co., Ltd.                |           | 900     |   | 49,529    |
| Pfizer, Inc.                                |           | 475,707 |   | 8,881,450 |
| POZEN, Inc.*                                |           | 7,400   |   | 90,132    |
| Roche Holding AG (Genusschein)              |           | 10,678  |   | 1,971,890 |
| Salix Pharmaceuticals Ltd.*                 |           | 57,800  |   | 461,244   |
| Sanofi-Aventis                              |           | 10,531  |   | 739,061   |
| Shionogi & Co., Ltd.                    |           | 3,000   |   | 58,601    |
| Shire Ltd.                                  |           | 2,151   |   | 35,210    |
| Taisho Pharmaceutical Co., Ltd.             |           | 1,000   |   | 20,672    |
| Takeda Pharmaceutical Co., Ltd.             |           | 8,900   |   | 472,767   |
| Teva Pharmaceutical Industries Ltd. (ADR)   |           | 35,544  |   | 1,593,793 |
| UCB SA                                      |           | 14,451  |   | 492,865   |
| Wyeth                                       |           | 44,903  |   | 1,819,470 |
|                                             |
|                                        | **45,206,086** |
| **Industrials 6.8%**                        |           |
| **Aerospace & Defense 1.8%**            |           |
| BAE Systems PLC                             |           | 68,474  |   | 608,953   |
| Boeing Co.                                  |           | 58,100  |   | 3,550,491 |
| Bombardier, Inc. "B"                        |           | 11,600  |   | 83,152    |
| CAE, Inc.                                   |           | 2,600   |   | 28,083    |
| Cobham PLC                                  |           | 3,674   |   | 14,684    |
| Esterline Technologies Corp.*               |           | 12,200  |   | 595,116   |
| European Aeronautic Defence & Space Co. |           | 703     |   | 13,211    |
| Finmeccanica SpA                            |           | 654     |   | 19,309    |
| Goodrich Corp.                              |           | 38,400  |   | 1,886,976 |
| Honeywell International, Inc.               |           | 153,477 |   | 7,802,771 |
| Northrop Grumman Corp.                      |           | 19,500  |   | 1,314,105 |
| Raytheon Co.                                |           | 32,557  |   | 1,853,470 |
| Rolls-Royce Group PLC*                      |           | 6,433   |   | 45,312    |
| Singapore Technologies Engineering Ltd.     |           | 31,000  |   | 62,400    |
| Teledyne Technologies, Inc.*                |           | 11,800  |   | 742,220   |
| Thales SA                                   |           | 226     |   | 12,757    |
| Triumph Group, Inc.                         |           | 11,000  |   | 582,560   |
| United Technologies Corp.                   |           | 97,040  |   | 6,208,619 |
|                                             |
|                                        | **25,424,189** |
| **Air Freight & Logistics 0.1%**        |           |
| Deutsche Post AG (Registered)               |           | 1,628   |   | 38,238    |
| FedEx Corp.                                 |           | 6,500   |   | 512,460   |
| Hub Group, Inc. "A"*                        |           | 7,500   |   | 291,450   |
| Pacer International, Inc.                   |           | 29,700  |   | 705,078   |
| TNT NV                                      |           | 2,576   |   | 90,014    |
| Toll Holdings Ltd.                          |           | 4,940   |   | 29,933    |
|                                             |
|                                        | **1,667,173**  |
| **Airlines 0.0%**                           |           |
| Air France-KLM                              |           | 357     |   | 8,845     |
| Deutsche Lufthansa AG (Registered)          |           | 586     |   | 13,444    |
| Iberia Lineas Aereas de Espana SA           |           | 3,905   |   | 11,673    |
| Qantas Airways Ltd.                         |           | 8,803   |   | 27,075    |
| Singapore Airlines Ltd.                     |           | 9,000   |   | 99,065    |
| Virgin Blue Holdings Ltd.                   |           | 4,940   |   | 3,578     |
|                                             |
|                                        | **163,680**    |
|                                             |                |         |        |           |  |

 

 

 

| **Building Products 0.1%**                      |          |
|-------------------------------------------------|---------------|
| AAON, Inc.                                      |          | 3,800 |   | 72,238 |
| Ameron International Corp.                      |          | 3,800 |   | 491,302 |
| Asahi Glass Co., Ltd.                           |          | 2,000 |   | 22,125 |
| Assa Abloy AB "B"                               |          | 1,200 |   | 16,361 |
| Compagnie de Saint-Gobain                       |          | 572 |   | 35,556 |
| Daikin Industries Ltd.                          |          | 400 |   | 16,958 |
| Geberit AG (Registered)                         |          | 186 |   | 23,713 |
| Gibraltar Industries, Inc.                      |          | 14,600 |   | 230,826 |
| Insteel Industries, Inc.                        |          | 21,300 |   | 376,371 |
| Owens Corning, Inc.*                            |          | 14,200 |   | 369,342 |
| Wienerberger AG                                 |          | 215 |   | 5,760 |
|                                                 |
|                                            | **1,660,552** |
| **Commercial Services & Supplies 0.5%**     |          |
| Adecco SA (Registered)                          |          | 573 |   | 26,176 |
| American Ecology Corp.                          |          | 6,100 |   | 192,211 |
| Babcock International Group PLC                 |          | 85,009 |   | 1,013,816 |
| Brambles Ltd.                                   |          | 14,334 |   | 110,195 |
| Capita Group PLC                                |          | 1,502 |   | 20,453 |
| Comfort Systems USA, Inc.                       |          | 10,300 |   | 136,578 |
| COMSYS IT Partners, Inc.*                       |          | 31,600 |   | 323,900 |
| Consolidated Graphics, Inc.*                    |          | 9,000 |   | 301,500 |
| Dai Nippon Printing Co., Ltd.                   |          | 1,000 |   | 13,754 |
| Experian Group Ltd.                             |          | 2,421 |   | 18,695 |
| Exponent, Inc.*                                 |          | 8,000 |   | 244,320 |
| G4S PLC                                         |          | 3,161 |   | 12,033 |
| Hudson Highland Group, Inc.*                    |          | 9,100 |   | 81,081 |
| IKON Office Solutions, Inc.                     |          | 45,200 |   | 646,360 |
| Intertek Group PLC                              |          | 18,010 |   | 359,422 |
| Manpower, Inc.                                  |          | 3,900 |   | 187,200 |
| Randstad Holdings NV                            |          | 992 |   | 27,985 |
| Rentokil Initial PLC                            |          | 5,625 |   | 7,434 |
| Secom Co., Ltd.                                 |          | 300 |   | 13,788 |
| Securitas AB "B"                                |          | 1,200 |   | 13,883 |
| Serco Group PLC                                 |          | 1,430 |   | 11,600 |
| SGS SA (Registered)                             |          | 21 |   | 29,512 |
| Standard Register Co.                           |          | 4,300 |   | 37,969 |
| Team, Inc.*                                     |          | 10,900 |   | 397,959 |
| The Brink's Co.                                 |          | 36,200 |   | 2,496,352 |
| Toppan Printing Co., Ltd.                       |          | 1,000 |   | 10,350 |
| Volt Information Sciences, Inc.*                |          | 27,300 |   | 378,651 |
|                                                 |
|                                            | **7,113,177** |
| **Construction & Engineering 0.5%**         |          |
| Acciona SA                                      |          | 502 |   | 105,507 |
| ACS, Actividades de Construccion y Servicios SA |          | 3,230 |   | 158,728 |
| Arabtec Holding Co.*                            |          | 43,696 |   | 226,620 |
| Balfour Beatty PLC                              |          | 1,558 |   | 12,160 |
| Boart Longyear Group                            |          | 10,954 |   | 20,907 |
| Bouygues SA                                     |          | 742 |   | 47,761 |
| EMCOR Group, Inc.*                              |          | 26,800 |   | 807,216 |
| FLSmidth & Co. AS                           |          | 6,100 |   | 591,503 |
| Fluor Corp.                                     |          | 23,600 |   | 1,919,860 |
| Fomento de Construcciones y Contratas SA        |          | 881 |   | 46,299 |
| Granite Construction, Inc.                      |          | 2,200 |   | 69,586 |
|                                                 |               |  |  |  |  |

 

 

 

| Grupo Ferrovial SA                            |           | 964     |   | 48,605    |
|-----------------------------------------------|----------------|---------|--------|-----------|
| Leighton Holdings Ltd.                        |           | 31,035  |   | 1,222,958 |
| MasTec, Inc.*                                 |           | 41,600  |   | 596,960   |
| Michael Baker Corp.*                          |           | 4,500   |   | 132,570   |
| Northwest Pipe Co.*                           |           | 4,400   |   | 255,860   |
| Orascom Construction Industries (GDR) (REG S) |           | 600     |   | 87,045    |
| Perini Corp.*                                 |           | 16,900  |   | 462,384   |
| Skanska AB "B"                                |           | 1,600   |   | 20,615    |
| SNC-Lavalin Group, Inc.                       |           | 1,400   |   | 77,966    |
| Vinci SA                                      |           | 844     |   | 47,677    |
| YIT Oyj                                       |           | 2,643   |   | 44,964    |
|                                               |
|                                          | **7,003,751**  |
| **Electrical Equipment 0.3%**                 |           |
| ABB Ltd. (Registered)*                        |           | 7,928   |   | 208,910   |
| Alstom                                        |           | 416     |   | 46,870    |
| AZZ, Inc.*                                    |           | 10,000  |   | 457,700   |
| Brady Corp. "A"                               |           | 3,400   |   | 124,678   |
| Emerson Electric Co.                          |           | 46,200  |   | 2,249,940 |
| Gamesa Corp. Tecnologica SA                   |           | 2,321   |   | 110,494   |
| GrafTech International Ltd.*                  |           | 25,500  |   | 597,975   |
| Mitsubishi Electric Corp.                     |           | 3,000   |   | 29,100    |
| Polypore International, Inc.*                 |           | 9,800   |   | 256,270   |
| Q-Cells AG*                                   |           | 131     |   | 12,846    |
| Renewable Energy Corp. AS*                    |           | 550     |   | 15,974    |
| Schneider Electric SA                         |           | 420     |   | 46,385    |
| Solarworld AG                                 |           | 188     |   | 8,838     |
| Sumitomo Electric Industries Ltd.             |           | 1,500   |   | 18,242    |
| Vestas Wind Systems AS*                       |           | 1,650   |   | 216,918   |
|                                               |
|                                          | **4,401,140**  |
| **Industrial Conglomerates 0.7%**             |           |
| CSR Ltd.                                      |           | 10,121  |   | 19,887    |
| Fraser & Neave Ltd.                       |           | 17,000  |   | 54,842    |
| General Electric Co.                          |           | 343,452 |   | 9,716,257 |
| Hutchison Whampoa Ltd.                        |           | 33,000  |   | 309,752   |
| Keppel Corp., Ltd.                            |           | 20,000  |   | 153,851   |
| Koninklijke (Royal) Philips Electronics NV    |           | 6,784   |   | 225,122   |
| Orkla ASA                                     |           | 3,000   |   | 38,029    |
| SembCorp Industries Ltd.                      |           | 16,000  |   | 52,617    |
| Siemens AG (Registered)                       |           | 1,959   |   | 240,320   |
| Smiths Group PLC                              |           | 1,308   |   | 26,956    |
|                                               |
|                                          | **10,837,633** |
| **Machinery 1.4%**                            |           |
| Actuant Corp. "A"                             |           | 5,600   |   | 170,576   |
| AGCO Corp.*                                   |           | 41,100  |   | 2,459,835 |
| Alfa Laval AB                                 |           | 1,500   |   | 23,349    |
| Ampco-Pittsburgh Corp.                        |           | 900     |   | 39,132    |
| Atlas Copco AB "A"                            |           | 1,800   |   | 27,884    |
| Atlas Copco AB "B"                            |           | 1,000   |   | 14,053    |
| Badger Meter, Inc.                            |           | 9,500   |   | 535,135   |
| Caterpillar, Inc.                             |           | 52,160  |   | 3,626,163 |
| China Infrastructure Machinery Holdings Ltd.  |           | 69,000  |   | 55,861    |
| CIRCOR International, Inc.                    |           | 2,400   |   | 142,944   |
| Columbus McKinnon Corp.*                      |           | 17,600  |   | 452,496   |
| Dover Corp.                                   |           | 48,296  |   | 2,396,930 |
|                                               |                |         |        |           |  |

 

 

 

| EnPro Industries, Inc.*                          |           | 16,500 |   | 594,165   |
|--------------------------------------------------|----------------|--------|--------|-----------|
| FANUC Ltd.                                       |           | 300    |   | 23,571    |
| Flowserve Corp.                                  |           | 15,100 |   | 2,013,434 |
| Gardner Denver, Inc.*                            |           | 29,900 |   | 1,363,440 |
| Gorman-Rupp Co.                                  |           | 1,500  |   | 66,810    |
| Invensys PLC*                                    |           | 2,690  |   | 14,976    |
| Japan Steel Works Ltd.                           |           | 1,000  |   | 17,822    |
| KCI Konecranes Oyj                               |           | 336    |   | 13,371    |
| Komatsu Ltd.                                     |           | 28,700 |   | 707,459   |
| Kone Oyj "B"                                     |           | 3,282  |   | 98,864    |
| Kubota Corp.                                     |           | 2,000  |   | 12,635    |
| MAN AG                                           |           | 1,086  |   | 109,515   |
| Metso Corp.                                      |           | 2,672  |   | 95,910    |
| Mitsubishi Heavy Industries Ltd.                 |           | 5,000  |   | 21,797    |
| Mueller Industries, Inc.                         |           | 3,900  |   | 100,113   |
| Parker Hannifin Corp.                            |           | 65,500 |   | 4,040,040 |
| Robbins & Myers, Inc.                        |           | 12,700 |   | 644,779   |
| Sandvik AB                                       |           | 3,600  |   | 47,264    |
| Sauer-Danfoss, Inc.                              |           | 2,800  |   | 82,180    |
| Scania AB "B"                                    |           | 8,000  |   | 125,467   |
| Schindler Holding AG                             |           | 266    |   | 18,181    |
| SembCorp. Marine Ltd.                            |           | 7,000  |   | 21,342    |
| SKF AB "B"                                       |           | 1,800  |   | 30,512    |
| Sulzer AG (Registered)                           |           | 140    |   | 16,768    |
| Sumitomo Heavy Industries Ltd.                   |           | 15,000 |   | 94,104    |
| Twin Disc, Inc.                                  |           | 8,200  |   | 164,902   |
| Vallourec SA                                     |           | 105    |   | 31,179    |
| Volvo AB "A"                                     |           | 1,800  |   | 20,645    |
| Volvo AB "B"                                     |           | 11,500 |   | 138,617   |
| Wartsila Oyj                                     |           | 1,747  |   | 106,490   |
| Xerium Technologies, Inc.                        |           | 12,100 |   | 56,023    |
| Zardoya Otis SA                                  |           | 2,140  |   | 43,793    |
|                                                  |
|                                             | **20,880,526** |
| **Marine 0.2%**                                  |           |
| A P Moller-Maersk AS "A"                         |           | 3      |   | 34,536    |
| A P Moller-Maersk AS "B"                         |           | 11     |   | 127,791   |
| Kawasaki Kisen Kaisha Ltd.                       |           | 1,000  |   | 7,820     |
| Kirby Corp.*                                     |           | 45,500 |   | 2,171,260 |
| Kuehne & Nagel International AG (Registered) |           | 248    |   | 20,700    |
| Mitsui O.S.K. Lines Ltd.                         |           | 2,000  |   | 25,772    |
| Nippon Yusen Kabushiki Kaisha                    |           | 2,000  |   | 16,993    |
| Pacific Basin Shipping Ltd.                      |           | 19,000 |   | 26,671    |
| TBS International Ltd. "A"*                      |           | 9,800  |   | 358,092   |
|                                                  |
|                                             | **2,789,635**  |
| **Road & Rail 0.9%**                         |           |
| Burlington Northern Santa Fe Corp.               |           | 12,400 |   | 1,291,212 |
| Canadian National Railway Co. (b)                |           | 45,900 |   | 2,421,225 |
| Canadian National Railway Co. (b)                |           | 4,000  |   | 210,909   |
| Canadian Pacific Railway Ltd.                    |           | 1,300  |   | 81,635    |
| Central Japan Railway Co.                        |           | 2      |   | 20,321    |
| DSV AS                                           |           | 2,200  |   | 46,828    |
| East Japan Railway Co.                           |           | 5      |   | 39,129    |
| FirstGroup PLC                                   |           | 1,366  |   | 13,952    |
| Marten Transport Ltd.*                           |           | 6,300  |   | 131,166   |
| MTR Corp., Ltd.                                  |           | 23,500 |   | 76,607    |
|                                                  |                |        |        |           |  |

 

 

 

| Norfolk Southern Corp.                                  |           | 48,900  |   | 3,516,888 |
|---------------------------------------------------------|----------------|---------|--------|-----------|
| Ryder System, Inc.                                      |           | 57,700  |   | 3,805,892 |
| Werner Enterprises, Inc.                                |           | 26,900  |   | 640,489   |
| West Japan Railway Co.                                  |           | 4       |   | 18,953    |
|                                                         |
|                                                    | **12,315,206** |
| **Trading Companies & Distributors 0.3%**           |           |
| Bunzl PLC                                               |           | 1,161   |   | 14,488    |
| Finning International, Inc.                             |           | 1,800   |   | 48,078    |
| Itochu Corp.                                            |           | 2,000   |   | 19,617    |
| Marubeni Corp.                                          |           | 3,000   |   | 21,848    |
| Mitsubishi Corp.                                        |           | 39,700  |   | 1,151,218 |
| Mitsui & Co., Ltd.                                  |           | 38,000  |   | 789,172   |
| Noble Group Ltd.                                        |           | 351,400 |   | 545,633   |
| Sumitomo Corp.                                          |           | 1,600   |   | 21,518    |
| United Rentals, Inc.*                                   |           | 73,600  |   | 1,190,848 |
| Wolseley PLC                                            |           | 1,672   |   | 11,228    |
|                                                         |
|                                                    | **3,813,648**  |
| **Transportation Infrastructure 0.0%**                  |           |
| Abertis Infraestructuras SA                             |           | 4,546   |   | 96,361    |
| Atlantia SpA                                            |           | 591     |   | 15,775    |
| Brisa                                                   |           | 39,358  |   | 399,049   |
| Cintra Concesiones de Infraestructuras de Transporte SA |           | 4,048   |   | 45,414    |
| Macquarie Infrastructure Group (Unit)                   |           | 24,494  |   | 58,413    |
| Transurban Group (Unit)                                 |           | 9,967   |   | 47,956    |
|                                                         |
|                                                    | **662,968**    |
| **Information Technology 7.7%**                         |           |
| **Communications Equipment 1.0%**                       |           |
| ADTRAN, Inc.                                            |           | 5,500   |   | 122,980   |
| Alcatel-Lucent*                                         |           | 21,660  |   | 129,133   |
| Black Box Corp.                                         |           | 3,500   |   | 103,950   |
| Brocade Communications Systems, Inc.*                   |           | 292,965 |   | 1,977,514 |
| Cisco Systems, Inc.*                                    |           | 140,830 |   | 3,096,852 |
| Corning, Inc.                                           |           | 127,900 |   | 2,559,279 |
| DG Fastchannel, Inc.*                                   |           | 22,800  |   | 387,600   |
| Harmonic, Inc.*                                         |           | 48,700  |   | 379,373   |
| Nokia Oyj                                               |           | 40,531  |   | 1,107,859 |
| Nortel Networks Corp.*                                  |           | 2,700   |   | 20,699    |
| Oplink Communications, Inc.*                            |           | 2,600   |   | 28,262    |
| Plantronics, Inc.                                       |           | 16,900  |   | 411,515   |
| QUALCOMM, Inc.                                          |           | 50,870  |   | 2,815,146 |
| Research In Motion Ltd.* (b)                            |           | 2,800   |   | 344,111   |
| Research In Motion Ltd.* (b)                            |           | 3,400   |   | 417,588   |
| Tandberg ASA                                            |           | 500     |   | 8,738     |
| Tekelec*                                                |           | 33,500  |   | 522,265   |
| Telefonaktiebolaget LM Ericsson "B"                     |           | 32,200  |   | 337,433   |
|                                                         |
|                                                    | **14,770,297** |
| **Computers & Peripherals 2.3%**                    |           |
| Apple, Inc.*                                            |           | 34,180  |   | 5,432,911 |
| EMC Corp.*                                              |           | 307,690 |   | 4,618,427 |
| Fujitsu Ltd.                                            |           | 4,000   |   | 29,104    |
| Hewlett-Packard Co.                                     |           | 154,600 |   | 6,926,080 |
| International Business Machines Corp.                   |           | 70,340  |   | 9,002,113 |
| Intevac, Inc.*                                          |           | 1,600   |   | 17,040    |
| Lexmark International, Inc. "A"*                        |           | 47,600  |   | 1,669,808 |
|                                                         |                |         |        |           |  |

 

 

 

| Logitech International SA (Registered)*         |           | 27,741  |   | 734,859   |
|-------------------------------------------------|----------------|---------|--------|-----------|
| NEC Corp.                                       |           | 4,000   |   | 21,856    |
| Novatel Wireless, Inc.*                         |           | 45,700  |   | 427,295   |
| Seagate Technology                              |           | 195,900 |   | 2,932,623 |
| STEC, Inc.*                                     |           | 40,600  |   | 406,000   |
| Toshiba Corp.                                   |           | 7,000   |   | 45,295    |
| Western Digital Corp.*                          |           | 51,200  |   | 1,474,048 |
| Wincor Nixdorf AG                               |           | 264     |   | 19,769    |
|                                                 |
|                                            | **33,757,228** |
| **Electronic Equipment & Instruments 0.4%** |           |
| Arrow Electronics, Inc.*                        |           | 2,800   |   | 90,216    |
| Avnet, Inc.*                                    |           | 17,400  |   | 474,324   |
| Benchmark Electronics, Inc.*                    |           | 2,100   |   | 30,744    |
| Daktronics, Inc.                                |           | 23,600  |   | 421,260   |
| Electro Rent Corp.                              |           | 16,000  |   | 219,200   |
| Electrocomponents PLC                           |           | 7,201   |   | 21,993    |
| Fujifilm Holdings Corp.                         |           | 1,000   |   | 31,332    |
| Hirose Electric Co., Ltd.                       |           | 100     |   | 9,472     |
| Hitachi Ltd.                                    |           | 6,000   |   | 42,948    |
| Hoya Corp.                                      |           | 800     |   | 16,321    |
| IBIDEN Co., Ltd.                                |           | 200     |   | 5,818     |
| Jabil Circuit, Inc.                             |           | 107,500 |   | 1,747,950 |
| Keyence Corp.                                   |           | 100     |   | 21,609    |
| Kyocera Corp.                                   |           | 300     |   | 25,867    |
| Mettler-Toledo International, Inc.*             |           | 18,100  |   | 1,945,931 |
| Multi-Fineline Electronix, Inc.*                |           | 11,800  |   | 314,824   |
| Murata Manufacturing Co., Ltd.                  |           | 400     |   | 16,465    |
| Nidec Corp.                                     |           | 200     |   | 14,177    |
| Nippon Electric Glass Co., Ltd.                 |           | 1,000   |   | 14,704    |
| Plexus Corp.*                                   |           | 5,600   |   | 159,600   |
| SYNNEX Corp.*                                   |           | 8,700   |   | 203,232   |
| TDK Corp.                                       |           | 300     |   | 17,426    |
| TTM Technologies, Inc.*                         |           | 30,900  |   | 347,625   |
|                                                 |
|                                            | **6,193,038**  |
| **Internet Software & Services 0.6%**       |           |
| CMGI, Inc.*                                     |           | 18,800  |   | 230,112   |
| EarthLink, Inc.*                                |           | 30,100  |   | 270,900   |
| eBay, Inc.*                                     |           | 36,800  |   | 926,256   |
| Google, Inc. "A"*                               |           | 9,090   |   | 4,306,387 |
| GSI Commerce, Inc.*                             |           | 8,800   |   | 134,112   |
| InfoSpace, Inc.                                 |           | 8,600   |   | 81,184    |
| Marchex, Inc. "B"                               |           | 5,400   |   | 62,748    |
| United Internet AG (Registered)                 |           | 793     |   | 15,287    |
| United Online, Inc.                             |           | 22,400  |   | 243,264   |
| ValueClick, Inc.*                               |           | 19,600  |   | 233,240   |
| Vocus, Inc.*                                    |           | 11,800  |   | 419,962   |
| Websense, Inc.*                                 |           | 3,300   |   | 68,871    |
| Yahoo! Japan Corp.                              |           | 28      |   | 10,669    |
| Yahoo!, Inc.*                                   |           | 37,800  |   | 751,842   |
|                                                 |
|                                            | **7,754,834**  |
| **IT Services 1.1%**                            |           |
| Accenture Ltd. "A"                              |           | 84,740  |   | 3,538,742 |
| Atos Origin SA                                  |           | 562     |   | 32,392    |
| Cap Gemini SA                                   |           | 1,078   |   | 69,171    |
|                                                 |                |         |        |           |  |

 

 

 

| CGI Group, Inc. "A"*                                  |           | 2,000   |   | 21,290    |
|-------------------------------------------------------|----------------|---------|--------|-----------|
| CIBER, Inc.*                                          |           | 13,600  |   | 96,152    |
| Computer Sciences Corp.*                              |           | 28,500  |   | 1,350,045 |
| CSG Systems International, Inc.*                      |           | 39,300  |   | 697,182   |
| Fiserv, Inc.*                                         |           | 25,400  |   | 1,214,628 |
| Gartner, Inc.*                                        |           | 32,600  |   | 794,136   |
| Global Cash Access Holdings, Inc.*                    |           | 21,000  |   | 125,790   |
| iGATE Corp.*                                          |           | 43,800  |   | 431,430   |
| Indra Sistemas SA                                     |           | 31,724  |   | 845,883   |
| Integral Systems, Inc.                                |           | 2,000   |   | 94,060    |
| Logica PLC                                            |           | 65,225  |   | 136,010   |
| MasterCard, Inc. "A"                                  |           | 3,120   |   | 761,748   |
| NTT Data Corp.                                        |           | 3       |   | 12,357    |
| Redecard SA (GDR) 144A                                |           | 21,300  |   | 794,177   |
| SAIC, Inc.*                                           |           | 24,300  |   | 459,027   |
| Sapient Corp.*                                        |           | 40,500  |   | 261,630   |
| TNS, Inc.*                                            |           | 4,900   |   | 111,720   |
| Visa, Inc. "A"*                                       |           | 60,600  |   | 4,427,436 |
|                                                       |
|                                                  | **16,275,006** |
| **Office Electronics 0.1%**                           |           |
| Brother Industries Ltd.                               |           | 1,000   |   | 12,595    |
| Canon, Inc.                                           |           | 36,100  |   | 1,649,629 |
| Konica Minolta Holdings, Inc.                         |           | 1,000   |   | 16,375    |
| Neopost SA                                            |           | 285     |   | 28,269    |
| Ricoh Co., Ltd.                                       |           | 1,000   |   | 16,097    |
|                                                       |
|                                                  | **1,722,965**  |
| **Semiconductors & Semiconductor Equipment 0.8%** |           |
| ANADIGICS, Inc.*                                      |           | 35,600  |   | 212,532   |
| ARM Holdings PLC                                      |           | 8,017   |   | 15,114    |
| ASML Holding NV                                       |           | 17,999  |   | 413,381   |
| Broadcom Corp. "A"*                                   |           | 28,980  |   | 703,924   |
| Elpida Memory, Inc.*                                  |           | 400     |   | 11,445    |
| Infineon Technologies AG*                             |           | 5,522   |   | 41,742    |
| Intel Corp.                                           |           | 160,300 |   | 3,557,057 |
| Microsemi Corp.*                                      |           | 9,300   |   | 241,428   |
| Monolithic Power Systems, Inc.*                       |           | 17,700  |   | 384,975   |
| OmniVision Technologies, Inc.*                        |           | 40,400  |   | 442,380   |
| PMC-Sierra, Inc.*                                     |           | 71,900  |   | 520,556   |
| ROHM Co., Ltd.                                        |           | 200     |   | 11,338    |
| Skyworks Solutions, Inc.*                             |           | 63,300  |   | 598,818   |
| STMicroelectronics NV                                 |           | 5,331   |   | 58,719    |
| Taiwan Semiconductor Manufacturing Co., Ltd. (ADR)*   |           | 227,452 |   | 2,160,790 |
| Techwell, Inc.*                                       |           | 4,100   |   | 44,936    |
| Tokyo Electron Ltd.                                   |           | 300     |   | 16,836    |
| TriQuint Semiconductor, Inc.*                         |           | 87,400  |   | 492,062   |
| Ultratech, Inc.*                                      |           | 17,000  |   | 250,580   |
| Volterra Semiconductor Corp.*                         |           | 27,900  |   | 457,560   |
| Zoran Corp.*                                          |           | 24,200  |   | 200,134   |
|                                                       |
|                                                  | **10,836,307** |
| **Software 1.4%**                                     |           |
| Activision Blizzard, Inc.*                            |           | 54,100  |   | 1,946,518 |
| Adobe Systems, Inc.*                                  |           | 49,150  |   | 2,032,352 |
| Dassault Systemes SA                                  |           | 503     |   | 32,558    |
| Electronic Arts, Inc.*                                |           | 27,250  |   | 1,176,655 |
|                                                       |                |         |        |           |  |

 

 

 

| i2 Technologies, Inc.*                   |           | 5,500   |   | 71,005    |
|------------------------------------------|----------------|---------|--------|-----------|
| JDA Software Group, Inc.*                |           | 34,200  |   | 583,794   |
| Konami Corp.                             |           | 400     |   | 12,623    |
| Mentor Graphics Corp.*                   |           | 40,500  |   | 562,140   |
| Microsoft Corp.                          |           | 387,800 |   | 9,974,216 |
| Misys PLC                                |           | 5,338   |   | 18,065    |
| Nintendo Co., Ltd.                       |           | 3,500   |   | 1,687,770 |
| Parametric Technology Corp.*             |           | 32,600  |   | 631,462   |
| Renaissance Learning, Inc.               |           | 5,700   |   | 72,504    |
| SAP AG                                   |           | 6,376   |   | 369,050   |
| SPSS, Inc.*                              |           | 10,600  |   | 350,330   |
| Sybase, Inc.*                            |           | 15,900  |   | 534,399   |
| Symantec Corp.*                          |           | 7,400   |   | 155,918   |
| The Sage Group PLC                       |           | 58,210  |   | 224,501   |
| Trend Micro, Inc.                        |           | 500     |   | 17,346    |
| VASCO Data Security International, Inc.* |           | 3,800   |   | 51,984    |
|                                          |
|                                     | **20,505,190** |
| **Materials 3.7%**                       |           |
| **Chemicals 1.9%**                       |           |
| Agrium, Inc. (b)                         |           | 300     |   | 26,363    |
| Agrium, Inc. (b)                         |           | 19,025  |   | 1,674,200 |
| Air Liquide SA                           |           | 211     |   | 27,683    |
| Air Products & Chemicals, Inc.       |           | 30,703  |   | 2,923,233 |
| Akzo Nobel NV                            |           | 3,435   |   | 196,128   |
| Asahi Kasei Corp.                        |           | 4,000   |   | 20,440    |
| BASF SE                                  |           | 2,026   |   | 128,463   |
| Calgon Carbon Corp.*                     |           | 34,400  |   | 653,600   |
| CF Industries Holdings, Inc.             |           | 10,700  |   | 1,749,022 |
| Ciba Holding AG                          |           | 544     |   | 14,145    |
| Cytec Industries, Inc.                   |           | 2,600   |   | 140,556   |
| Dow Chemical Co.                         |           | 36,300  |   | 1,209,153 |
| Ecolab, Inc.                             |           | 37,570  |   | 1,679,379 |
| GenTek, Inc.*                            |           | 6,800   |   | 196,248   |
| Givaudan SA (Registered)                 |           | 43      |   | 35,032    |
| Incitec Pivot Ltd.                       |           | 85      |   | 12,955    |
| Innophos Holdings, Inc.                  |           | 3,000   |   | 88,110    |
| Innospec, Inc.                           |           | 1,800   |   | 31,932    |
| JSR Corp.                                |           | 600     |   | 10,650    |
| K+S AG                                   |           | 192     |   | 23,803    |
| Koninklijke DSM NV                       |           | 1,744   |   | 105,730   |
| Kuraray Co., Ltd.                        |           | 1,000   |   | 10,822    |
| Linde AG                                 |           | 5,363   |   | 740,573   |
| Mitsubishi Chemical Holdings Corp.       |           | 3,500   |   | 20,831    |
| Mitsubishi Gas Chemical Co., Inc.        |           | 2,000   |   | 13,193    |
| Mitsui Chemicals, Inc.                   |           | 2,000   |   | 9,565     |
| Monsanto Co.                             |           | 28,500  |   | 3,394,635 |
| NewMarket Corp.                          |           | 7,800   |   | 481,728   |
| Nitto Denko Corp.                        |           | 500     |   | 14,302    |
| Novozymes AS "B"                         |           | 5,375   |   | 506,130   |
| Olin Corp.                               |           | 11,200  |   | 333,088   |
| Orica Ltd.                               |           | 632     |   | 14,091    |
| Potash Corp. of Saskatchewan, Inc.       |           | 7,203   |   | 1,479,796 |
| Praxair, Inc.                            |           | 58,185  |   | 5,453,680 |
| ShengdaTech, Inc.*                       |           | 4,200   |   | 40,908    |
|                                          |                |         |        |           |  |

 

 

 

| Shin-Etsu Chemical Co., Ltd.             |           | 1,500  |   | 91,857    |
|------------------------------------------|----------------|--------|--------|-----------|
| Showa Denko KK                           |           | 5,000  |   | 12,721    |
| Solvay SA                                |           | 2,689  |   | 321,022   |
| Sumitomo Chemical Co., Ltd.              |           | 6,000  |   | 39,333    |
| Syngenta AG (Registered)                 |           | 520    |   | 151,572   |
| Teijin Ltd.                              |           | 4,000  |   | 11,998    |
| Terra Industries, Inc.                   |           | 31,000 |   | 1,674,000 |
| Toray Industries, Inc.                   |           | 4,000  |   | 19,886    |
| Ube Industries Ltd.                      |           | 4,000  |   | 14,290    |
| Umicore                                  |           | 5,855  |   | 262,589   |
| Uralkali (GDR) 144A*                     |           | 16,200 |   | 955,800   |
| Yara International ASA                   |           | 6,550  |   | 466,087   |
|                                          |
|                                     | **27,481,322** |
| **Construction Materials 0.1%**          |           |
| CRH PLC (b)                              |           | 9,763  |   | 249,270   |
| CRH PLC (b)                              |           | 20,596 |   | 529,844   |
| Holcim Ltd. (Registered)                 |           | 1,277  |   | 90,980    |
| Imerys SA                                |           | 225    |   | 13,449    |
| Lafarge SA                               |           | 519    |   | 70,519    |
|                                          |
|                                     | **954,062**    |
| **Containers & Packaging 0.2%**      |           |
| Amcor Ltd.                               |           | 1,918  |   | 9,446     |
| Silgan Holdings, Inc.                    |           | 6,600  |   | 348,612   |
| Sonoco Products Co.                      |           | 65,318 |   | 2,130,673 |
| Toyo Seikan Kaisha Ltd.                  |           | 800    |   | 14,415    |
|                                          |
|                                     | **2,503,146**  |
| **Metals & Mining 1.4%**             |           |
| A.M. Castle & Co.                    |           | 3,800  |   | 76,912    |
| Acerinox SA                              |           | 20,726 |   | 408,571   |
| Agnico-Eagle Mines Ltd.                  |           | 300    |   | 16,436    |
| AK Steel Holding Corp.                   |           | 21,000 |   | 1,333,500 |
| Alumina Ltd.                             |           | 2,342  |   | 10,105    |
| Anglo American PLC                       |           | 12,802 |   | 733,921   |
| ArcelorMittal                            |           | 1,852  |   | 163,939   |
| Barrick Gold Corp.                       |           | 1,100  |   | 46,580    |
| BHP Billiton Ltd.                        |           | 25,798 |   | 963,563   |
| BHP Billiton PLC                         |           | 2,650  |   | 88,434    |
| BlueScope Steel Ltd.                     |           | 1,489  |   | 16,157    |
| Boliden AB                               |           | 19,100 |   | 112,135   |
| Companhia Vale do Rio Doce (ADR)         |           | 18,300 |   | 549,549   |
| Compass Minerals International, Inc.     |           | 10,400 |   | 786,240   |
| Eramet                                   |           | 16     |   | 11,037    |
| Fording Canadian Coal Trust (Unit)       |           | 100    |   | 8,839     |
| Fortescue Metals Group Ltd.*             |           | 2,210  |   | 17,820    |
| Freeport-McMoRan Copper & Gold, Inc. |           | 27,800 |   | 2,689,650 |
| Goldcorp, Inc.                           |           | 1,000  |   | 37,258    |
| JFE Holdings, Inc.                       |           | 1,900  |   | 91,759    |
| Kinross Gold Corp.                       |           | 700    |   | 12,763    |
| Kobe Steel Ltd.                          |           | 9,000  |   | 25,288    |
| Lonmin PLC                               |           | 229    |   | 10,955    |
| Mitsubishi Materials Corp.               |           | 4,000  |   | 15,657    |
| Newcrest Mining Ltd.                     |           | 837    |   | 23,248    |
| Nippon Steel Corp.                       |           | 19,000 |   | 108,006   |
| Nisshin Steel Co., Ltd.                  |           | 4,000  |   | 12,366    |
|                                          |                |        |        |           |  |

 

 

 

| Norsk Hydro ASA                                 |           | 31,800  |   | 400,024   |
|-------------------------------------------------|----------------|---------|--------|-----------|
| Nucor Corp.                                     |           | 55,800  |   | 3,192,876 |
| Olympic Steel, Inc.                             |           | 8,400   |   | 427,140   |
| Outokumpu Oyj                                   |           | 3,906   |   | 91,091    |
| OZ Minerals Ltd.                                |           | 3,269   |   | 6,094     |
| Rautaruukki Oyj                                 |           | 2,827   |   | 106,629   |
| Reliance Steel & Aluminum Co.               |           | 2,700   |   | 170,532   |
| Rio Tinto Ltd.                                  |           | 357     |   | 41,221    |
| Rio Tinto PLC                                   |           | 1,133   |   | 118,819   |
| Salzgitter AG                                   |           | 99      |   | 16,223    |
| Schnitzer Steel Industries, Inc. "A"            |           | 16,200  |   | 1,461,888 |
| SSAB Svenskt Stal AB "A"                        |           | 4,000   |   | 110,050   |
| Sumitomo Metal Industries Ltd.                  |           | 14,000  |   | 66,941    |
| Sumitomo Metal Mining Co., Ltd.                 |           | 2,000   |   | 25,584    |
| Teck Cominco Ltd. "B"                           |           | 600     |   | 27,558    |
| ThyssenKrupp AG                                 |           | 11,186  |   | 625,857   |
| United States Steel Corp.                       |           | 21,200  |   | 3,399,632 |
| Universal Stainless & Alloy Products, Inc.* |           | 4,700   |   | 179,352   |
| Vedanta Resources PLC                           |           | 18,201  |   | 723,155   |
| voestalpine AG                                  |           | 443     |   | 29,081    |
| Xstrata PLC                                     |           | 14,568  |   | 1,044,331 |
| Yamana Gold, Inc.                               |           | 700     |   | 8,655     |
|                                                 |
|                                            | **20,643,421** |
| **Paper & Forest Products 0.1%**            |           |
| Buckeye Technologies, Inc.*                     |           | 40,000  |   | 390,000   |
| Kapstone Paper and Packaging Corp.*             |           | 10,600  |   | 81,090    |
| Mercer International, Inc. *                    |           | 9,300   |   | 57,846    |
| Oji Paper Co., Ltd.                             |           | 3,000   |   | 15,102    |
| Schweitzer-Mauduit International, Inc.          |           | 8,000   |   | 148,880   |
| Stora Enso Oyj "R"                              |           | 29,134  |   | 262,825   |
| Svenska Cellulosa AB "B"                        |           | 11,000  |   | 124,445   |
| UPM-Kymmene Oyj                                 |           | 17,010  |   | 268,911   |
|                                                 |
|                                            | **1,349,099**  |
| **Telecommunication Services 2.3%**             |           |
| **Diversified Telecommunication Services 2.0%** |           |
| AT&T, Inc.                                  |           | 227,067 |   | 6,995,934 |
| Atlantic Tele-Network, Inc.                     |           | 13,800  |   | 422,142   |
| BCE, Inc. (b)                                   |           | 42,823  |   | 1,624,705 |
| BCE, Inc. (b)                                   |           | 3,800   |   | 144,511   |
| Belgacom SA                                     |           | 1,686   |   | 66,222    |
| BT Group PLC                                    |           | 32,185  |   | 108,217   |
| Cable & Wireless PLC                        |           | 10,538  |   | 34,313    |
| Deutsche Telekom AG (Registered)                |           | 29,000  |   | 504,129   |
| Elisa Oyj                                       |           | 1,543   |   | 32,584    |
| Embarq Corp.                                    |           | 58,700  |   | 2,686,699 |
| FairPoint Communications, Inc.                  |           | 3,072   |   | 21,320    |
| France Telecom SA                               |           | 23,257  |   | 738,438   |
| Global Crossing Ltd.*                           |           | 26,400  |   | 435,864   |
| Koninklijke (Royal) KPN NV                      |           | 29,264  |   | 509,851   |
| Nippon Telegraph & Telephone Corp.          |           | 93      |   | 471,434   |
| NTELOS Holdings Corp.                           |           | 1,900   |   | 45,429    |
| PCCW Ltd.                                       |           | 13,000  |   | 8,202     |
| Portugal Telecom SGPS SA (Registered)           |           | 39,966  |   | 436,578   |
| Premiere Global Services, Inc.*                 |           | 16,100  |   | 243,271   |
|                                                 |                |         |        |           |  |

 

 

 

| PT Telekomunikasi Indonesia (ADR)            |           | 10,700  |   | 352,886   |
|----------------------------------------------|----------------|---------|--------|-----------|
| Singapore Telecommunications Ltd.            |           | 404,000 |   | 1,054,651 |
| Swisscom AG (Registered)                     |           | 1,588   |   | 512,479   |
| Tele2 AB "B"                                 |           | 5,300   |   | 92,642    |
| Telecom Corp. of New Zealand Ltd.            |           | 349,989 |   | 968,675   |
| Telecom Italia SpA                           |           | 169,317 |   | 305,025   |
| Telecom Italia SpA (RNC)                     |           | 86,137  |   | 115,813   |
| Telefonica SA                                |           | 75,686  |   | 1,971,729 |
| Telekom Austria AG                           |           | 22,345  |   | 458,194   |
| Telenor ASA                                  |           | 41,000  |   | 619,553   |
| TeliaSonera AB                               |           | 35,500  |   | 270,288   |
| Telstra Corp., Ltd.                          |           | 182,567 |   | 767,608   |
| Telus Corp                                   |           | 900     |   | 33,400    |
| Telus Corp. (Non-Voting Shares)              |           | 2,000   |   | 70,316    |
| tw telecom, inc.*                            |           | 46,500  |   | 743,070   |
| Verizon Communications, Inc.                 |           | 137,200 |   | 4,670,288 |
| Windstream Corp.                             |           | 18,700  |   | 222,904   |
|                                              |
|                                         | **28,759,364** |
| **Wireless Telecommunication Services 0.3%** |           |
| America Movil SAB de CV "L" (ADR)            |           | 7,800   |   | 393,822   |
| Centennial Communications Corp.*             |           | 36,200  |   | 291,048   |
| China Mobile Ltd.                            |           | 52,500  |   | 702,253   |
| iPCS, Inc.*                                  |           | 8,400   |   | 225,960   |
| KDDI Corp.                                   |           | 53      |   | 303,738   |
| Millicom International Cellular SA (SDR)     |           | 1,000   |   | 73,221    |
| Mobistar SA                                  |           | 167     |   | 13,754    |
| NTT DoCoMo, Inc.                             |           | 288     |   | 464,239   |
| Rogers Communications, Inc. "B"              |           | 6,800   |   | 229,710   |
| Softbank Corp.                               |           | 13,800  |   | 252,190   |
| Syniverse Holdings, Inc.*                    |           | 23,300  |   | 377,460   |
| Telephone & Data Systems, Inc.           |           | 12,400  |   | 525,760   |
| USA Mobility, Inc.*                          |           | 26,900  |   | 218,428   |
| Vodafone Group PLC                           |           | 425,454 |   | 1,142,335 |
|                                              |
|                                         | **5,213,918**  |
| **Utilities 2.8%**                           |           |
| **Electric Utilities 2.2%**                  |           |
| Allegheny Energy, Inc.                       |           | 67,383  |   | 3,261,337 |
| American Electric Power Co., Inc.            |           | 78,400  |   | 3,096,800 |
| British Energy Group PLC                     |           | 7,256   |   | 104,953   |
| Chubu Electric Power Co., Inc.               |           | 8,000   |   | 191,697   |
| Chugoku Electric Power Co., Inc.             |           | 3,400   |   | 72,817    |
| CLP Holdings Ltd.                            |           | 58,500  |   | 479,902   |
| Duke Energy Corp.                            |           | 115,218 |   | 2,025,532 |
| E.ON AG                                      |           | 13,660  |   | 2,606,465 |
| Edison International                         |           | 58,800  |   | 2,842,392 |
| EDP - Energias de Portugal SA                |           | 80,533  |   | 439,446   |
| Electricite de France                        |           | 1,043   |   | 90,436    |
| Enel SpA                                     |           | 71,891  |   | 666,188   |
| Entergy Corp.                                |           | 19,962  |   | 2,134,337 |
| Exelon Corp.                                 |           | 49,754  |   | 3,911,659 |
| FirstEnergy Corp.                            |           | 41,716  |   | 3,068,212 |
| Fortis, Inc.                                 |           | 7,500   |   | 198,130   |
| Fortum Oyj                                   |           | 2,211   |   | 97,704    |
| FPL Group, Inc.                              |           | 45,016  |   | 2,904,882 |
|                                              |                |         |        |           |  |

 

 

 

| Hokkaido Electric Power Co., Inc.                         |           | 2,500   |   | 52,449     |
|-----------------------------------------------------------|----------------|---------|--------|------------|
| Hokuriku Electric Power Co.                               |           | 2,200   |   | 53,631     |
| HongKong Electric Holdings Ltd.                           |           | 43,000  |   | 248,728    |
| Iberdrola SA                                              |           | 129,719 |   | 1,761,451  |
| Kansai Electric Power Co., Inc.                           |           | 9,400   |   | 218,291    |
| Kyushu Electric Power Co., Inc.                           |           | 4,600   |   | 96,801     |
| Oesterreichische Elektrizitaetswirtschafts AG "A"         |           | 215     |   | 17,126     |
| Portland General Electric Co.                             |           | 6,100   |   | 143,289    |
| Red Electrica Corporacion SA                              |           | 695     |   | 41,824     |
| RWE AG                                                    |           | 1,954   |   | 234,358    |
| Scottish & Southern Energy PLC                        |           | 5,845   |   | 161,787    |
| Shikoku Electric Power Co., Inc.                          |           | 2,300   |   | 60,398     |
| Terna - Rete Elettrica Nationale SpA                      |           | 20,539  |   | 85,308     |
| Tohoku Electric Power Co., Inc.                           |           | 5,200   |   | 115,245    |
| Tokyo Electric Power Co., Inc.                            |           | 15,100  |   | 415,749    |
| Union Fenosa SA                                           |           | 5,118   |   | 137,122    |
| Westar Energy, Inc.                                       |           | 20,800  |   | 459,264    |
|                                                           |
|                                                      | **32,495,710** |
| **Gas Utilities 0.2%**                                    |           |
| Centrica PLC                                              |           | 29,415  |   | 182,575    |
| Enagas                                                    |           | 870     |   | 22,424     |
| Gas Natural SDG SA                                        |           | 1,848   |   | 89,784     |
| Gaz de France                                             |           | 838     |   | 52,369     |
| Hong Kong & China Gas Co., Ltd.                       |           | 116,600 |   | 257,427    |
| ONEOK, Inc.                                               |           | 2,300   |   | 104,604    |
| Osaka Gas Co., Ltd.                                       |           | 25,000  |   | 90,119     |
| Snam Rete Gas SpA                                         |           | 14,716  |   | 97,560     |
| South Jersey Industries, Inc.                             |           | 1,700   |   | 63,410     |
| The Laclede Group, Inc.                                   |           | 16,700  |   | 708,247    |
| Tokyo Gas Co., Ltd.                                       |           | 27,000  |   | 108,487    |
| WGL Holdings, Inc.                                        |           | 26,300  |   | 908,139    |
|                                                           |
|                                                      | **2,685,145**  |
| **Independent Power Producers & Energy Traders 0.0%** |           |
| Electric Power Development Co., Ltd.                      |           | 1,900   |   | 73,377     |
| Iberdrola Renovables SA*                                  |           | 4,169   |   | 27,617     |
| International Power PLC                                   |           | 13,366  |   | 108,710    |
| TransAlta Corp.                                           |           | 9,500   |   | 337,804    |
|                                                           |
|                                                      | **547,508**    |
| **Multi-Utilities 0.4%**                                  |           |
| A2A SpA                                                   |           | 14,784  |   | 53,303     |
| AGL Energy Ltd.                                           |           | 82,072  |   | 1,030,421  |
| Ameren Corp.                                              |           | 11,200  |   | 460,208    |
| Avista Corp.                                              |           | 1,300   |   | 29,406     |
| CH Energy Group, Inc.                                     |           | 1,800   |   | 65,250     |
| National Grid PLC                                         |           | 18,797  |   | 247,724    |
| NorthWestern Corp.                                        |           | 1,500   |   | 37,155     |
| PG&E Corp.                                            |           | 80,977  |   | 3,120,044  |
| Suez SA                                                   |           | 5,388   |   | 321,706    |
| United Utilities Group PLC                                |           | 5,466   |   | 18,418     |
| United Utilities Group PLC "B"                            |           | 4,223   |   | 58,027     |
| Veolia Environnement                                      |           | 1,889   |   | 100,864    |
|                                                           |
|                                                      | **5,542,526**  |
| **Water Utilities 0.0%**                                  |           |
| Severn Trent PLC                                          |           | 1,502   |   | **39,409** |
|                                                           |                |         |        |            |  |

 

 

 

|                                                                                                                                                                                                                     |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| **Total Common Stocks**(Cost $806,848,688)                                                                                                                                                                          |   | **839,932,450** |
|                                                                                                                                                                                                                | **Participatory Notes 0.1%** |   |
| Aldar Properties PJSC, Commercial Bank of Qatar, Dubai Islamic Bank, National Central Cooling Co., and Qatar Electricity & Water Co. (issuer Merrill Lynch International & Co.), Expiration Date 4/24/2009* |   | 5,400 |   | 500,634 |
| Arabtec Holding Co. (issuer Merrill Lynch International & Co.), Expiration Date 1/12/2010*                                                                                                                      |   | 9,000 |   | 46,440 |
| Merrill Lynch Frontier Index Trust (issuer Merrill Lynch International & Co.) Expiration Date 2/27/2009                                                                                                         |   | 3,600 |   | 313,200 |
|                                                                                                                                                                                                                     |
| **Total Participatory Notes**(Cost $941,062)                                                                                                                                                                        |   | **860,274** |
|                                                                                                                                                                                                                | **Rights 0.0%** |   |
| Orica Ltd., Expiration Date 8/18/2008*                                                                                                                                                                              |   | 79 |   | 103 |
| Suez Environnement SA, Expiration Date 6/22/2010*                                                                                                                                                                   |   | 10,776 |   | 77,488 |
|                                                                                                                                                                                                                     |
| **Total Rights**(Cost $74,739)                                                                                                                                                                                      |   | **77,591** |
|                                                                                                                                                                                                                | **Warrants 0.0%** |   |
| Dayton Superior Corp., 144A, Expiration Date 6/15/2009*                                                                                                                                                             |   | 15 |   | 0 |
| New ASAT (Finance) Ltd., Expiration Date 2/1/2011*                                                                                                                                                                  |   | 75,400 |   | 17,700 |
|                                                                                                                                                                                                                     |
| **Total Warrants**(Cost $0)                                                                                                                                                                                         |   | **17,700** |
|                                                                                                                                                                                                                | **Convertible Preferred Stock 0.0%** |   |
| ION Media Networks, Inc., 144A, 12.0% (Cost $17,340)                                                                                                                                                                |   | 25,001 |   | **813** |
|                                                                                                                                                                                                                | **Preferred Stocks 0.1%** |   |
| **Consumer Discretionary 0.1%**                                                                                                                                                                                     |   |
| Porsche Automobil Holding SE                                                                                                                                                                                        |   | 2,824 |   | 425,769 |
| Volkswagen AG                                                                                                                                                                                                       |   | 195 |   | 30,474 |
|                                                                                                                                                                                                                     |
|                                                                                                                                                                                                                | **456,243** |
| **Consumer Staples 0.0%**                                                                                                                                                                                           |   |
| Henkel AG & Co. KGaA                                                                                                                                                                                            |   | 3,926 |   | **156,295** |
| **Health Care 0.0%**                                                                                                                                                                                                |   |
| Fresenius SE                                                                                                                                                                                                        |   | 2,061 |   | **167,828** |
| **Utilities 0.0%**                                                                                                                                                                                                  |   |
| RWE AG                                                                                                                                                                                                              |   | 71 |   | **6,819** |
|                                                                                                                                                                                                                     |
| **Total Preferred Stocks**(Cost $972,696)                                                                                                                                                                           |   | **787,185** |
|                                                                                                                                                                                                                | **Principal****Amount ($)(a)** |   | **Value ($)** |
|                                                                                                                                                                                                                     |
|                                                                                                                                                                                                                | **Corporate Bonds 9.9%** |   |
| **Consumer Discretionary 1.0%**                                                                                                                                                                                     |   |
| AMC Entertainment, Inc., 8.0%, 3/1/2014                                                                                                                                                                             |   | 235,000 |   | 209,444 |
| American Achievement Corp., 8.25%, 4/1/2012                                                                                                                                                                         |   | 45,000 |   | 44,100 |
| American Achievement Group Holding Corp., 14.75%, 10/1/2012 (PIK)                                                                                                                                                   |   | 97,221 |   | 88,957 |
| Asbury Automotive Group, Inc.:                                                                                                                                                                                      |   |
|                                                                                                                                                                                                                | 7.625%, 3/15/2017 |   |   | 105,000 |   | 77,569 |
|                                                                                                                                                                                                                | 8.0%, 3/15/2014 |   |   | 50,000 |   | 41,000 |
| Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/2014                                                                                                                                                         |   | 45,000 |   | 33,244 |
| Cablevision Systems Corp., Series B, 7.133% ***, 4/1/2009                                                                                                                                                           |   | 55,000 |   | 55,344 |
| CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015                                                                                                                                                                        |   | 75,000 |   | 58,125 |
| Carrols Corp., 9.0%, 1/15/2013                                                                                                                                                                                      |   | 45,000 |   | 38,700 |
|                                                                                                                                                                                                                     |  |  |  |  |  |  |  |  |  |  |

 

 

 

| Charter Communications Holdings LLC, 11.0%, 10/1/2015                   |                                                  | 59,000    |   | 44,693    |
|-------------------------------------------------------------------------|-------------------------------------------------------|-----------|--------|-----------|
| Charter Communications Operating LLC, 144A, 10.875%, 9/15/2014          |                                                  | 240,000   |   | 249,600   |
| Comcast Corp., 6.4%, 5/15/2038                                          |                                                  | 3,750,000 |   | 3,410,647 |
| Cooper-Standard Automotive, Inc., 7.0%, 12/15/2012                      |                                                  | 55,000    |   | 45,375    |
| CSC Holdings, Inc.:                                                     |                                                  |
|                                                                    | 6.75%, 4/15/2012                                      |      |   | 75,000    |   | 71,438 |
|                                                                    | Series B, 8.125%, 7/15/2009                           |      |   | 85,000    |   | 85,850 |
|                                                                    | Series B, 8.125%, 8/15/2009                           |      |   | 170,000   |   | 171,700 |
| Denny's Holdings, Inc., 10.0%, 10/1/2012                                |                                                  | 30,000    |   | 28,950    |
| DIRECTV Holdings LLC, 144A, 7.625%, 5/15/2016                           |                                                  | 225,000   |   | 223,312   |
| Dollarama Group LP, 8.883% ***, 8/15/2012 (k)                           |                                                  | 108,000   |   | 97,740    |
| EchoStar DBS Corp.:                                                     |                                                  |
|                                                                    | 6.625%, 10/1/2014                                     |      |   | 130,000   |   | 119,275 |
|                                                                    | 7.125%, 2/1/2016                                      |      |   | 95,000    |   | 87,638 |
| Fontainebleau Las Vegas Holdings LLC, 144A, 10.25%, 6/15/2015           |                                                  | 100,000   |   | 53,000    |
| General Motors Corp.:                                                   |                                                  |
|                                                                    | 7.4%, 9/1/2025                                        |      |   | 25,000    |   | 11,500 |
|                                                                    | 8.375%, 7/15/2033                                     |      |   | 235,000   |   | 115,737 |
| Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015                     |                                                  | 90,000    |   | 85,950    |
| Group 1 Automotive, Inc., 8.25%, 8/15/2013                              |                                                  | 50,000    |   | 45,500    |
| Hertz Corp., 8.875%, 1/1/2014                                           |                                                  | 265,000   |   | 243,137   |
| Idearc, Inc., 8.0%, 11/15/2016                                          |                                                  | 195,000   |   | 88,725    |
| Indianapolis Downs LLC, 144A, 11.0%, 11/1/2012                          |                                                  | 60,000    |   | 48,600    |
| Isle of Capri Casinos, Inc., 7.0%, 3/1/2014                             |                                                  | 90,000    |   | 62,550    |
| Kabel Deutschland GmbH, 10.625%, 7/1/2014                               |                                                  | 150,000   |   | 153,375   |
| Lamar Media Corp., Series C, 6.625%, 8/15/2015                          |                                                  | 70,000    |   | 63,000    |
| Liberty Media LLC:                                                      |                                                  |
|                                                                    | 5.7%, 5/15/2013                                       |      |   | 15,000    |   | 13,500 |
|                                                                    | 8.25%, 2/1/2030                                       |      |   | 115,000   |   | 101,868 |
|                                                                    | 8.5%, 7/15/2029                                       |      |   | 170,000   |   | 150,390 |
| MediMedia USA, Inc., 144A, 11.375%, 11/15/2014                          |                                                  | 45,000    |   | 45,000    |
| MGM MIRAGE:                                                             |                                                  |
|                                                                    | 6.75%, 9/1/2012                                       |      |   | 40,000    |   | 35,100 |
|                                                                    | 8.375%, 2/1/2011                                      |      |   | 75,000    |   | 67,688 |
| MTR Gaming Group, Inc., Series B, 9.75%, 4/1/2010                       |                                                  | 130,000   |   | 128,700   |
| News America, Inc., 6.65%, 11/15/2037                                   |                                                  | 2,250,000 |   | 2,136,928 |
| Norcraft Holdings LP, Step-up Coupon, 0% to 9/1/2008, 9.75% to 9/1/2012 |                                                  | 250,000   |   | 227,500   |
| Penske Automotive Group, Inc., 7.75%, 12/15/2016                        |                                                  | 180,000   |   | 148,500   |
| Pinnacle Entertainment, Inc., 8.75%, 10/1/2013                          |                                                  | 95,000    |   | 90,725    |
| Quebecor Media, Inc., 7.75%, 3/15/2016                                  |                                                  | 60,000    |   | 55,350    |
| Quebecor World, Inc., 144A, 9.75%, 1/15/2015 **                         |                                                  | 115,000   |   | 52,325    |
| Quiksilver, Inc., 6.875%, 4/15/2015                                     |                                                  | 100,000   |   | 78,500    |
| Reader's Digest Association, Inc., 9.0%, 2/15/2017                      |                                                  | 65,000    |   | 36,725    |
| Sabre Holdings Corp., 8.35%, 3/15/2016                                  |                                                  | 80,000    |   | 56,000    |
| Seminole Hard Rock Entertainment, Inc., 144A, 5.276% ***, 3/15/2014     |                                                  | 105,000   |   | 85,050    |
| Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015        |                                                  | 75,000    |   | 60,750    |
| Simmons Co.:                                                            |                                                  |
|                                                                    | Step-up Coupon, 0% to 12/15/2009, 10.0% to 12/15/2014 |      |   | 310,000   |   | 210,025 |
|                                                                    | 7.875%, 1/15/2014                                     |      |   | 30,000    |   | 24,600 |
| Sinclair Television Group, Inc., 8.0%, 3/15/2012                        |                                                  | 51,000    |   | 51,000    |
| Sirius Satellite Radio, Inc., 9.625%, 8/1/2013                          |                                                  | 180,000   |   | 147,600   |
| Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013                     |                                                  | 90,000    |   | 72,000    |
| Station Casinos, Inc., 6.5%, 2/1/2014                                   |                                                  | 30,000    |   | 14,475    |
| TCI Communications, Inc., 8.75%, 8/1/2015                               |                                                  | 1,638,000 |   | 1,796,157 |
| Time Warner Cable, Inc., 6.2%, 7/1/2013                                 |                                                  | 2,000,000 |   | 2,042,740 |
| Travelport LLC:                                                         |                                                  |
|                                                                         |                                                       |           |        |           |  |  |  |

 

 

 

|                                                         | 7.307% ***, 9/1/2014     |      |   | 70,000    |    | 54,250  |
|--------------------------------------------------------------|--------------------------|-----------|--------|-----------|---------|---------|
|                                                         | 9.875%, 9/1/2014         |      |   | 80,000    |    | 67,200  |
| Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015            |                     | 70,000    |   | 34,475    |
| United Components, Inc., 9.375%, 6/15/2013                   |                     | 15,000    |   | 13,575    |
| Unity Media GmbH:                                            |                     |
|                                                         | 144A, 8.75%, 2/15/2015   | EUR       |   | 140,000   |    | 199,271 |
|                                                         | 144A, 10.375%, 2/15/2015 |      |   | 75,000    |    | 71,625  |
| Univision Communications, Inc., 144A, 9.75%, 3/15/2015 (PIK) |                     |      | 70,000 |      | 53,375  |
| UPC Holding BV, 144A, 7.75%, 1/15/2014                       | EUR                      |      | 90,000 |      | 124,944 |
| Vitro SAB de CV:                                             |                     |
|                                                         | 9.125%, 2/1/2017         |      |   | 130,000   |    | 96,525  |
|                                                         | 11.75%, 11/1/2013        |      |   | 35,000    |    | 33,600  |
| Young Broadcasting, Inc., 8.75%, 1/15/2014                   |                     | 430,000   |   | 183,825   |
|                                                              |
|                                                         | **15,115,636**           |
| **Consumer Staples 0.7%**                                    |                     |
| Alliance One International, Inc., 8.5%, 5/15/2012            |                     | 45,000    |   | 42,188    |
| CVS Caremark Corp., 6.25%, 6/1/2027                          |                     | 2,250,000 |   | 2,170,260 |
| Delhaize America, Inc.:                                      |                     |
|                                                         | 8.05%, 4/15/2027         |      |   | 90,000    |    | 94,176  |
|                                                         | 9.0%, 4/15/2031          |      |   | 199,000   |    | 228,635 |
| General Nutrition Centers, Inc., 7.199% ***, 3/15/2014 (PIK) |                     | 55,000    |   | 46,750    |
| Harry & David Operations Corp., 7.682% ***, 3/1/2012     |                     | 130,000   |   | 100,100   |
| Kroger Co., 6.15%, 1/15/2020                                 |                     | 3,750,000 |   | 3,710,452 |
| North Atlantic Trading Co., 144A, 10.0%, 3/1/2012            |                     | 526,750   |   | 424,034   |
| Reynolds American, Inc., 7.75%, 6/1/2018                     |                     | 2,250,000 |   | 2,338,933 |
| Smithfield Foods, Inc., 7.75%, 7/1/2017                      |                     | 60,000    |   | 51,300    |
| Viskase Companies, Inc., 11.5%, 6/15/2011                    |                     | 1,425,000 |   | 1,239,750 |
|                                                              |
|                                                         | **10,446,578**           |
| **Energy 0.3%**                                              |                     |
| Atlas Energy Resources LLC, 144A, 10.75%, 2/1/2018           |                     | 185,000   |   | 189,162   |
| Belden & Blake Corp., 8.75%, 7/15/2012                   |                     | 416,000   |   | 420,160   |
| Bristow Group, Inc., 7.5%, 9/15/2017                         |                     | 95,000    |   | 93,575    |
| Chaparral Energy, Inc., 8.5%, 12/1/2015                      |                     | 120,000   |   | 103,500   |
| Chesapeake Energy Corp.:                                     |                     |
|                                                         | 6.25%, 1/15/2018         |      |   | 60,000    |    | 55,050  |
|                                                         | 6.875%, 1/15/2016        |      |   | 290,000   |    | 278,762 |
|                                                         | 7.5%, 6/15/2014          |      |   | 35,000    |    | 35,306  |
| Cimarex Energy Co., 7.125%, 5/1/2017                         |                     | 80,000    |   | 78,800    |
| Delta Petroleum Corp., 7.0%, 4/1/2015                        |                     | 185,000   |   | 153,550   |
| Dynegy Holdings, Inc.:                                       |                     |
|                                                         | 6.875%, 4/1/2011         |      |   | 30,000    |    | 29,625  |
|                                                         | 8.375%, 5/1/2016         |      |   | 165,000   |    | 163,762 |
| El Paso Corp., 7.25%, 6/1/2018                               |                     | 125,000   |   | 123,750   |
| Forest Oil Corp., 144A, 7.25%, 6/15/2019                     |                     | 45,000    |   | 42,300    |
| Frontier Oil Corp., 6.625%, 10/1/2011                        |                     | 65,000    |   | 63,050    |
| KCS Energy, Inc., 7.125%, 4/1/2012                           |                     | 345,000   |   | 331,200   |
| Mariner Energy, Inc.:                                        |                     |
|                                                         | 7.5%, 4/15/2013          |      |   | 75,000    |    | 71,063  |
|                                                         | 8.0%, 5/15/2017          |      |   | 65,000    |    | 61,263  |
| Newfield Exploration Co., 7.125%, 5/15/2018                  |                     | 135,000   |   | 127,575   |
| OPTI Canada, Inc.:                                           |                     |
|                                                         | 7.875%, 12/15/2014       |      |   | 115,000   |    | 114,138 |
|                                                         | 8.25%, 12/15/2014        |      |   | 225,000   |    | 226,687 |
| Petrohawk Energy Corp., 144A, 7.875%, 6/1/2015               |                     | 95,000    |   | 91,913    |
| Plains Exploration & Production Co., 7.0%, 3/15/2017     |                     | 65,000    |   | 60,775    |
|                                                              |                          |           |        |           |         |         |  |  |  |  |

 

 

 

| Quicksilver Resources, Inc., 7.125%, 4/1/2016                                 |               | 220,000   |   | 189,750   |
|-------------------------------------------------------------------------------|--------------------|-----------|--------|-----------|
| Range Resources Corp., 7.25%, 5/1/2018                                        |               | 15,000    |   | 14,625    |
| Sabine Pass LNG LP, 7.5%, 11/30/2016                                          |               | 170,000   |   | 146,200   |
| SandRidge Energy, Inc., 144A, 8.0%, 6/1/2018                                  |               | 60,000    |   | 59,400    |
| Stone Energy Corp.:                                                           |               |
|                                                                          | 6.75%, 12/15/2014  |      |   | 160,000   |   | 138,800 |
|                                                                          | 8.25%, 12/15/2011  |      |   | 250,000   |   | 243,750 |
| Tennessee Gas Pipeline Co., 7.625%, 4/1/2037                                  |               | 75,000    |   | 78,308    |
| Whiting Petroleum Corp.:                                                      |               |
|                                                                          | 7.0%, 2/1/2014     |      |   | 90,000    |   | 86,625 |
|                                                                          | 7.25%, 5/1/2012    |      |   | 160,000   |   | 157,200 |
|                                                                          | 7.25%, 5/1/2013    |      |   | 40,000    |   | 39,100 |
| Williams Companies, Inc.:                                                     |               |
|                                                                          | 8.125%, 3/15/2012  |      |   | 275,000   |   | 294,250 |
|                                                                          | 8.75%, 3/15/2032   |      |   | 365,000   |   | 414,275 |
| Williams Partners LP, 7.25%, 2/1/2017                                         |               | 75,000    |   | 74,813    |
|                                                                               |
|                                                                          | **4,852,062**      |
| **Financials 4.1%**                                                           |               |
| Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015                             |               | 235,000   |   | 220,900   |
| American Express Co., 8.15%, 3/19/2038                                        |               | 3,000,000 |   | 3,099,339 |
| Ashton Woods USA LLC, 9.5%, 10/1/2015                                         |               | 215,000   |   | 129,000   |
| Bank of America Corp., 5.65%, 5/1/2018                                        |               | 2,250,000 |   | 2,100,267 |
| BB&T Corp., 5.2%, 12/23/2015                                              |               | 3,000,000 |   | 2,660,145 |
| Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014               |               | 45,000    |   | 26,100    |
| CIT Group Funding Co. of Canada, 5.6%, 11/2/2011                              |               | 550,000   |   | 437,868   |
| Citigroup, Inc.:                                                              |               |
|                                                                          | 5.5%, 4/11/2013    |      |   | 4,500,000 |   | 4,395,667 |
|                                                                          | 6.875%, 3/5/2038   |      |   | 2,500,000 |   | 2,412,695 |
| Conproca SA de CV, Series REG S, 12.0%, 6/16/2010                             |               | 1,072,450 |   | 1,201,144 |
| Countrywide Home Loans, Inc., Series H, 6.25%, 4/15/2009 (c)                  |               | 375,000   |   | 371,292   |
| Daimler Finance North America LLC, Series E, 3.403% ***, 10/31/2008           |               | 1,165,000 |   | 1,163,687 |
| FIA Credit Services NA, 7.125%, 11/15/2012                                    |               | 3,750,000 |   | 3,959,385 |
| Ford Motor Credit Co., LLC:                                                   |               |
|                                                                          | 7.25%, 10/25/2011  |      |   | 600,000   |   | 453,586 |
|                                                                          | 7.375%, 10/28/2009 |      |   | 815,000   |   | 742,355 |
|                                                                          | 7.875%, 6/15/2010  |      |   | 290,000   |   | 246,982 |
| General Electric Capital Corp., Series A, 5.25%, 10/19/2012                   |               | 3,750,000 |   | 3,768,982 |
| GMAC LLC, 6.875%, 9/15/2011                                                   |               | 1,195,000 |   | 789,061   |
| Hawker Beechcraft Acquisition Co., LLC:                                       |               |
|                                                                          | 8.5%, 4/1/2015     |      |   | 155,000   |   | 155,000 |
|                                                                          | 9.75%, 4/1/2017    |      |   | 180,000   |   | 177,750 |
| Inmarsat Finance PLC, Step-up Coupon, 0% to 11/15/2008, 10.375% to 11/15/2012 |               | 95,000    |   | 95,475    |
| International Lease Finance Corp., 6.375%, 3/25/2013                          |               | 1,875,000 |   | 1,620,848 |
| iPayment, Inc., 9.75%, 5/15/2014                                              |               | 80,000    |   | 67,000    |
| JPMorgan Chase & Co., 4.75%, 5/1/2013                                     |               | 4,875,000 |   | 4,700,743 |
| Lehman Brothers Holdings, Inc., 5.625%, 1/24/2013                             |               | 1,875,000 |   | 1,752,893 |
| Local TV Finance LLC, 144A, 9.25%, 6/15/2015 (PIK)                            |               | 75,000    |   | 57,000    |
| Merrill Lynch & Co., Inc., 6.875%, 4/25/2018                              |               | 2,250,000 |   | 2,106,227 |
| Morgan Stanley, Series F, 5.75%, 8/31/2012                                    |               | 3,750,000 |   | 3,677,722 |
| New ASAT (Finance) Ltd., 9.25%, 2/1/2011                                      |               | 290,000   |   | 185,600   |
| PNC Bank NA, 6.875%, 4/1/2018                                                 |               | 3,000,000 |   | 2,957,805 |
| Popular North America, Inc., Series E, 3.875%, 10/1/2008                      |               | 3,000,000 |   | 2,996,610 |
| Qwest Capital Funding, Inc., 7.0%, 8/3/2009                                   |               | 75,000    |   | 74,250    |
| Rainbow National Services LLC, 144A, 10.375%, 9/1/2014                        |               | 17,000    |   | 17,999    |
| Regions Financial Corp., 7.375%, 12/10/2037                                   |               | 500,000   |   | 346,737   |
|                                                                               |                    |           |        |           |  |  |  |  |

 

 

 

| Simon Property Group LP, (REIT), 6.125%, 5/30/2018                                       |                         | 2,600,000 |   | 2,408,643 |
|------------------------------------------------------------------------------------------|------------------------------|-----------|--------|-----------|
| SLM Corp., Series A, 4.5%, 7/26/2010                                                     |                         | 375,000   |   | 345,446   |
| The Goldman Sachs Group, Inc., 6.15%, 4/1/2018                                           |                         | 3,000,000 |   | 2,889,906 |
| Travelers Companies, Inc., 5.8%, 5/15/2018                                               |                         | 1,500,000 |   | 1,459,760 |
| Tropicana Entertainment LLC, 9.625%, 12/15/2014 **                                       |                         | 235,000   |   | 63,450    |
| UCI Holdco, Inc., 10.276% ***, 12/15/2013 (PIK)                                          |                         | 108,558   |   | 86,304    |
| Universal City Development Partners, 11.75%, 4/1/2010                                    |                         | 390,000   |   | 397,800   |
| Wachovia Corp., Series G, 5.5%, 5/1/2013                                                 |                         | 3,375,000 |   | 3,116,117 |
|                                                                                          |
|                                                                                     | **59,935,540**               |
| **Health Care 0.2%**                                                                     |                         |
| Advanced Medical Optics, Inc., 7.5%, 5/1/2017                                            |                         | 135,000   |   | 121,500   |
| Bausch & Lomb, Inc., 144A, 9.875%, 11/1/2015                                         |                         | 125,000   |   | 128,125   |
| Boston Scientific Corp., 6.0%, 6/15/2011                                                 |                         | 80,000    |   | 79,000    |
| Community Health Systems, Inc., 8.875%, 7/15/2015                                        |                         | 600,000   |   | 604,500   |
| HCA, Inc.:                                                                               |                         |
|                                                                                     | 9.125%, 11/15/2014           |      |   | 115,000   |   | 118,450 |
|                                                                                     | 9.25%, 11/15/2016            |      |   | 265,000   |   | 272,950 |
|                                                                                     | 9.625%, 11/15/2016 (PIK)     |      |   | 125,000   |   | 128,750 |
| HEALTHSOUTH Corp., 10.75%, 6/15/2016                                                     |                         | 60,000    |   | 64,200    |
| IASIS Healthcare LLC, 8.75%, 6/15/2014                                                   |                         | 95,000    |   | 95,238    |
| Psychiatric Solutions, Inc., 7.75%, 7/15/2015                                            |                         | 80,000    |   | 78,200    |
| Surgical Care Affiliates, Inc., 144A, 8.875%, 7/15/2015 (PIK)                            |                         | 90,000    |   | 78,525    |
| The Cooper Companies, Inc., 7.125%, 2/15/2015                                            |                         | 150,000   |   | 144,000   |
| Vanguard Health Holding Co. I, LLC, Step-up Coupon, 0% to 10/1/2009, 11.25% to 10/1/2015 |                         | 100,000   |   | 88,000    |
| Vanguard Health Holding Co. II, LLC, 9.0%, 10/1/2014                                     |                         | 245,000   |   | 238,875   |
|                                                                                          |
|                                                                                     | **2,240,313**                |
| **Industrials 0.8%**                                                                     |                         |
| Actuant Corp., 6.875%, 6/15/2017                                                         |                         | 60,000    |   | 58,350    |
| Allied Security Escrow Corp., 11.375%, 7/15/2011                                         |                         | 175,000   |   | 175,000   |
| American Color Graphics, Inc., 144A, Promissory Note due 9/15/2008 (d)                   |                         | 26,100    |   | 0         |
| American Color Graphics, Inc., 10.0%, 6/15/2010**                                        |                         | 435,000   |   | 105,487   |
| American Railcar Industries, Inc., 7.5%, 3/1/2014                                        |                         | 75,000    |   | 69,375    |
| ARAMARK Corp.:                                                                           |                         |
|                                                                                     | 6.373% ***, 2/1/2015         |      |   | 110,000   |   | 101,200 |
|                                                                                     | 8.5%, 2/1/2015               |      |   | 30,000    |   | 29,888 |
| Baldor Electric Co., 8.625%, 2/15/2017                                                   |                         | 75,000    |   | 75,187    |
| BE Aerospace, Inc., 8.5%, 7/1/2018                                                       |                         | 160,000   |   | 165,200   |
| Belden, Inc., 7.0%, 3/15/2017                                                            |                         | 75,000    |   | 71,063    |
| Browning-Ferris Industries, Inc., 7.4%, 9/15/2035                                        |                         | 255,000   |   | 229,500   |
| Building Materials Corp. of America, 7.75%, 8/1/2014                                     |                         | 105,000   |   | 81,900    |
| Cenveo Corp., 144A, 10.5%, 8/15/2016                                                     |                         | 25,000    |   | 24,625    |
| Congoleum Corp., 8.625%, 8/1/2008 **                                                     |                         | 572,000   |   | 429,000   |
| DRS Technologies, Inc.:                                                                  |                         |
|                                                                                     | 6.625%, 2/1/2016             |      |   | 35,000    |   | 35,350 |
|                                                                                     | 6.875%, 11/1/2013            |      |   | 210,000   |   | 211,050 |
|                                                                                     | 7.625%, 2/1/2018             |      |   | 255,000   |   | 265,200 |
| Education Management LLC, 8.75%, 6/1/2014                                                |                         | 80,000    |   | 72,000    |
|                                                                                     |                         |
|  

Esco Corp.:                                                                      |                         |
|                                                                                     | 144A, 6.651% ***, 12/15/2013 |      |   | 50,000    |   | 47,000 |
|                                                                                     | 144A, 8.625%, 12/15/2013     |      |   | 155,000   |   | 154,612 |
| General Cable Corp., 7.125%, 4/1/2017                                                    |                         | 5,000     |   | 4,725     |
| Gibraltar Industries, Inc., Series B, 8.0%, 12/1/2015                                    |                         | 75,000    |   | 62,250    |
| Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013                                     |                         | 60,000    |   | 54,450    |
|                                                                                          |                              |           |        |           |  |  |  |  |

 

 

 

| Harland Clarke Holdings Corp., 9.5%, 5/15/2015          |                            | 75,000    |    | 61,125    |
|---------------------------------------------------------|---------------------------------|-----------|---------|-----------|
| K. Hovnanian Enterprises, Inc.:                         |                            |
|                                                    | 8.875%, 4/1/2012                |      |    | 285,000   |   | 190,950 |
|                                                    | 144A, 11.5%, 5/1/2013           |      |    | 15,000    |   | 15,188 |
| Kansas City Southern de Mexico SA de CV:                |                            |
|                                                    | 7.375%, 6/1/2014                |      |    | 65,000    |   | 62,563 |
|                                                    | 7.625%, 12/1/2013               |      |    | 200,000   |   | 196,000 |
|                                                    | 9.375%, 5/1/2012                |      |    | 190,000   |   | 196,175 |
| Kansas City Southern Railway Co., 7.5%, 6/15/2009       |                            | 60,000    |    | 60,675    |
| Lockheed Martin Corp., 4.121%, 3/14/2013                |                            | 4,500,000 |    | 4,354,114 |
| Mobile Services Group, Inc., 9.75%, 8/1/2014            |                            | 90,000    |    | 86,400    |
| Moog, Inc., 144A, 7.25%, 6/15/2018                      |                            | 30,000    |    | 29,325    |
| Navios Maritime Holdings, Inc., 9.5%, 12/15/2014        |                            | 115,000   |    | 112,412   |
| R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017    |                            | 250,000   |    | 120,000   |
| RBS Global & Rexnord Corp., 9.5%, 8/1/2014          |                            | 65,000    |    | 62,075    |
| Seitel, Inc., 9.75%, 2/15/2014                          |                            | 45,000    |    | 40,050    |
| Titan International, Inc., 8.0%, 1/15/2012              |                            | 265,000   |    | 258,375   |
| TransDigm, Inc., 7.75%, 7/15/2014                       |                            | 45,000    |    | 43,875    |
| U.S. Concrete, Inc., 8.375%, 4/1/2014                   |                            | 125,000   |    | 103,750   |
| Union Pacific Corp., 5.7%, 8/15/2018                    |                            | 3,750,000 |    | 3,623,156 |
| United Rentals North America, Inc.:                     |                            |
|                                                    | 6.5%, 2/15/2012                 |      |    | 50,000    |   | 45,125 |
|                                                    | 7.0%, 2/15/2014                 |      |    | 210,000   |   | 162,225 |
|                                                         |
|                                                    | **12,345,970**                  |
| **Information Technology 0.5%**                         |                            |
| Alion Science & Technology Corp., 10.25%, 2/1/2015  |                            | 60,000    |    | 41,475    |
| Freescale Semiconductor, Inc., 8.875%, 12/15/2014       |                            | 190,000   |    | 161,025   |
| L-3 Communications Corp.:                               |                            |
|                                                    | 5.875%, 1/15/2015               |      |    | 250,000   |   | 231,875 |
|                                                    | Series B, 6.375%, 10/15/2015    |      |    | 115,000   |   | 108,100 |
| Lucent Technologies, Inc., 6.45%, 3/15/2029             |                            | 135,000   |    | 95,175    |
| MasTec, Inc., 7.625%, 2/1/2017                          |                            | 105,000   |    | 89,775    |
| NXP BV, 7.713% ***, 10/15/2013                          | EUR                             |      | 100,000 |      | 119,329 |
| Sanmina-SCI Corp., 144A, 5.526% ***, 6/15/2010          |                            | 16,000    |    | 15,840    |
| Seagate Technology HDD Holdings, 6.8%, 10/1/2016        |                            | 140,000   |    | 126,000   |
| SunGard Data Systems, Inc., 10.25%, 8/15/2015           |                            | 195,000   |    | 197,925   |
| Tyco Electronics Group SA, 6.55%, 10/1/2017             |                            | 1,500,000 |    | 1,482,497 |
| Vangent, Inc., 9.625%, 2/15/2015                        |                            | 80,000    |    | 67,500    |
| Xerox Corp., 5.65%, 5/15/2013                           |                            | 3,900,000 |    | 3,863,827 |
|                                                         |
|                                                    | **6,600,343**                   |
| **Materials 0.5%**                                      |                            |
| Appleton Papers, Inc., Series B, 8.125%, 6/15/2011      |                            | 45,000    |    | 42,863    |
| ARCO Chemical Co., 9.8%, 2/1/2020                       |                            | 635,000   |    | 469,900   |
| Cascades, Inc., 7.25%, 2/15/2013                        |                            | 221,000   |    | 187,850   |
| Chemtura Corp., 6.875%, 6/1/2016                        |                            | 160,000   |    | 135,200   |
| Clondalkin Acquisition BV, 144A, 4.776% ***, 12/15/2013 |                            | 90,000    |    | 74,925    |
| CPG International I, Inc., 10.5%, 7/1/2013              |                            | 195,000   |    | 154,050   |
| Exopack Holding Corp., 11.25%, 2/1/2014                 |                            | 255,000   |    | 226,950   |
|  

                                           |                            |
| Freeport-McMoRan Copper & Gold, Inc.:               |                            |
|                                                    | 8.25%, 4/1/2015                 |      |    | 155,000   |   | 161,587 |
|                                                    | 8.375%, 4/1/2017                |      |    | 330,000   |   | 345,675 |
| GEO Specialty Chemicals, Inc.:                          |                            |
|                                                    | 144A, 7.5% ***, 3/31/2015 (PIK) |      |    | 574,069   |   | 429,834 |
|                                                         |                                 |           |         |           |  |  |  |  |  |

 

 

 

|                                                                           | 144A, 10.698% ***, 12/31/2009 |      |    | 959,000   |    | 718,051 |
|--------------------------------------------------------------------------------|-------------------------------|-----------|---------|-----------|---------|---------|
| Georgia-Pacific LLC, 144A, 7.125%, 1/15/2017                                   |                          | 50,000    |    | 46,125    |
| Hexcel Corp., 6.75%, 2/1/2015                                                  |                          | 305,000   |    | 295,087   |
| Huntsman LLC, 11.625%, 10/15/2010                                              |                          | 400,000   |    | 416,000   |
| Innophos, Inc., 8.875%, 8/15/2014                                              |                          | 35,000    |    | 35,000    |
| Jefferson Smurfit Corp., 8.25%, 10/1/2012                                      |                          | 135,000   |    | 118,463   |
| Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014 |                          | 215,000   |    | 193,500   |
| Metals USA Holdings Corp., 8.791% ***, 7/1/2012 (PIK)                          |                          | 50,000    |    | 45,875    |
| Millar Western Forest Products Ltd., 7.75%, 11/15/2013                         |                          | 40,000    |    | 23,400    |
| Momentive Performance Materials, Inc., 9.75%, 12/1/2014                        |                          | 160,000   |    | 141,600   |
| Monsanto Co., 5.875%, 4/15/2038                                                |                          | 1,500,000 |    | 1,422,379 |
| NewMarket Corp., 7.125%, 12/15/2016                                            |                          | 195,000   |    | 189,150   |
| OI European Group BV, 144A, 6.875%, 3/31/2017                                  | EUR                           |      | 85,000  |      | 119,329 |
| Pliant Corp., 11.85%, 6/15/2009 (PIK)                                          |                          | 10        |    | 10        |
| Radnor Holdings Corp., 11.0%, 3/15/2010 **                                     |                          | 120,000   |    | 150       |
| Rhodia SA, 144A, 7.713% ***, 10/15/2013                                        | EUR                           |      | 85,000  |      | 119,329 |
| Smurfit-Stone Container Enterprises, Inc.:                                     |                          |
|                                                                           | 8.0%, 3/15/2017               |      |    | 110,000   |    | 89,925  |
|                                                                           | 8.375%, 7/1/2012              |      |    | 80,000    |    | 70,600  |
| Steel Dynamics, Inc.:                                                          |                          |
|                                                                           | 6.75%, 4/1/2015               |      |    | 120,000   |    | 112,800 |
|                                                                           | 7.375%, 11/1/2012             |      |    | 30,000    |    | 29,700  |
| Terra Capital, Inc., Series B, 7.0%, 2/1/2017                                  |                          | 160,000   |    | 158,000   |
| The Mosaic Co., 144A, 7.375%, 12/1/2014                                        |                          | 135,000   |    | 139,050   |
| Witco Corp., 6.875%, 2/1/2026                                                  |                          | 155,000   |    | 98,425    |
| Wolverine Tube, Inc., 10.5%, 4/1/2009                                          |                          | 135,000   |    | 125,212   |
|                                                                                |
|                                                                           | **6,935,994**                 |
| **Telecommunication Services 0.9%**                                            |                          |
| AT&T, Inc., 6.4%, 5/15/2038                                                |                          | 3,750,000 |    | 3,570,026 |
| BCM Ireland Preferred Equity Ltd., 144A, 11.856% ***, 2/15/2017 (PIK)          | EUR                           |      | 213,282 |      | 164,824 |
| Centennial Communications Corp.:                                               |                          |
|                                                                           | 10.0%, 1/1/2013               |      |    | 55,000    |    | 57,200  |
|                                                                           | 10.125%, 6/15/2013            |      |    | 120,000   |    | 124,800 |
| Cincinnati Bell, Inc.:                                                         |                          |
|                                                                           | 7.25%, 7/15/2013              |      |    | 155,000   |    | 149,575 |
|                                                                           | 8.375%, 1/15/2014             |      |    | 85,000    |    | 80,962  |
| Cricket Communications, Inc.:                                                  |                          |
|                                                                           | 9.375%, 11/1/2014             |      |    | 170,000   |    | 166,600 |
|                                                                           | 144A, 10.0%, 7/15/2015        |      |    | 155,000   |    | 156,162 |
| Embratel, Series B, 11.0%, 12/15/2008                                          |                          | 85,000    |    | 86,700    |
| Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012                              |                          | 48,081    |    | 44,235    |
| Hellas Telecommunications Luxembourg V, 144A, 8.463% ***, 10/15/2012           | EUR                           |      | 100,000 |      | 138,047 |
| Intelsat Corp.:                                                                |                          |
|                                                                           | 144A, 9.25%, 8/15/2014        |      |    | 30,000    |    | 29,625  |
|                                                                           | 144A, 9.25%, 6/15/2016        |      |    | 120,000   |    | 117,900 |
| Intelsat Subsidiary Holding Co., Ltd., 144A, 8.875%, 1/15/2015                 |                          | 190,000   |    | 187,150   |
| iPCS, Inc., 4.5% ***, 5/1/2013                                                 |                          | 35,000    |    | 31,150    |
| MetroPCS Wireless, Inc., 9.25%, 11/1/2014                                      |                          | 185,000   |    | 179,450   |
| Nortel Networks Ltd.:                                                          |                          |
|                                                                           | 7.041% ***, 7/15/2011         |      |    | 140,000   |    | 131,950 |
|                                                                           | 144A, 10.75%, 7/15/2016       |      |    | 110,000   |    | 107,800 |
| Qwest Corp.:                                                                   |                          |
|                                                                           | 7.25%, 9/15/2025              |      |    | 25,000    |    | 20,125  |
|                                                                           | 7.875%, 9/1/2011              |      |    | 210,000   |    | 206,850 |
| Rogers Communications, Inc., 6.8%, 8/15/2018                                   |                          | 3,750,000 |    | 3,755,025 |
| Rural Cellular Corp., 9.875%, 2/1/2010                                         |                          | 135,000   |    | 138,037   |
|                                                                                |                               |           |         |           |         |         |  |  |  |

 

 

 

| Sprint Nextel Corp., 6.0%, 12/1/2016                                                        |                   | 75,000          |   | 63,188        |
|---------------------------------------------------------------------------------------------|------------------------|-----------------|--------|---------------|
| Stratos Global Corp., 9.875%, 2/15/2013                                                     |                   | 55,000          |   | 57,750        |
| Telesat Canada, 144A, 11.0%, 11/1/2015                                                      |                   | 710,000         |   | 663,850       |
| US Unwired, Inc., Series B, 10.0%, 6/15/2012                                                |                   | 185,000         |   | 186,850       |
| Verizon Communications, Inc., 4.35%, 2/15/2013                                              |                   | 1,750,000       |   | 1,689,074     |
| Virgin Media Finance PLC:                                                                   |                   |
|                                                                                        | 8.75%, 4/15/2014       |            |   | 180,000       |   | 167,850 |
|                                                                                        | 8.75%, 4/15/2014       | EUR             |   | 200,000       |   | 282,333 |
| West Corp., 9.5%, 10/15/2014                                                                |                   | 90,000          |   | 77,400        |
|                                                                                             |
|                                                                                        | **12,832,488**         |
| **Utilities 0.9%**                                                                          |                   |
| AES Corp.:                                                                                  |                   |
|                                                                                        | 8.0%, 10/15/2017       |            |   | 150,000       |   | 147,750 |
|                                                                                        | 144A, 8.0%, 6/1/2020   |            |   | 155,000       |   | 149,188 |
|                                                                                        | 144A, 8.75%, 5/15/2013 |            |   | 486,000       |   | 504,225 |
|                                                                                        | 9.5%, 6/1/2009         |            |   | 85,000        |   | 87,125 |
| Allegheny Energy Supply Co., LLC, 144A, 8.25%, 4/15/2012                                    |                   | 595,000         |   | 624,750       |
| American Electric Power Co., Inc., Series C, 5.375%, 3/15/2010                              |                   | 3,000,000       |   | 3,031,371     |
| Appalachian Power Co., 7.0%, 4/1/2038                                                       |                   | 2,250,000       |   | 2,206,750     |
| CenterPoint Energy, Inc., 6.5%, 5/1/2018                                                    |                   | 2,250,000       |   | 2,200,468     |
| CMS Energy Corp., 8.5%, 4/15/2011                                                           |                   | 355,000         |   | 374,716       |
| DPL, Inc., 6.875%, 9/1/2011                                                                 |                   | 1,500,000       |   | 1,560,795     |
| Edison Mission Energy, 7.0%, 5/15/2017                                                      |                   | 160,000         |   | 151,200       |
| Energy Future Holdings Corp., 144A, 10.875%, 11/1/2017                                      |                   | 220,000         |   | 226,600       |
| Knight, Inc., 6.5%, 9/1/2012                                                                |                   | 45,000          |   | 44,550        |
| Mirant Americas Generation LLC, 8.3%, 5/1/2011                                              |                   | 130,000         |   | 132,600       |
| Mirant North America LLC, 7.375%, 12/31/2013                                                |                   | 60,000          |   | 60,000        |
| NRG Energy, Inc.:                                                                           |                   |
|                                                                                        | 7.25%, 2/1/2014        |            |   | 180,000       |   | 175,500 |
|                                                                                        | 7.375%, 2/1/2016       |            |   | 130,000       |   | 126,100 |
| Regency Energy Partners LP, 8.375%, 12/15/2013                                              |                   | 105,000         |   | 107,100       |
| Reliant Energy, Inc., 7.875%, 6/15/2017                                                     |                   | 180,000         |   | 173,700       |
| Sierra Pacific Resources:                                                                   |                   |
|                                                                                        | 6.75%, 8/15/2017       |            |   | 180,000       |   | 175,486 |
|                                                                                        | 8.625%, 3/15/2014      |            |   | 31,000        |   | 32,473 |
| Texas Competitive Electric Holdings Co., LLC, 144A, 10.25%, 11/1/2015                       |                   | 325,000         |   | 325,000       |
|                                                                                             |
|                                                                                        | **12,617,447**         |
|                                                                                             |
| **Total Corporate Bonds**(Cost $151,121,494)                                                |                   | **143,922,371** |
|                                                                                        | **Asset-Backed 1.1%**  |            |
| **Automobile Receivables 0.2%**                                                             |                   |
| Capital Auto Receivables Asset Trust, "B", Series 2006-1, 5.26%, 10/15/2010                 |                   | 1,643,000       |   | 1,658,062     |
| Ford Credit Auto Owner Trust, "B", Series 2007-B, 5.69%, 11/15/2012                         |                   | 1,517,000       |   | 1,455,140     |
|                                                                                             |
|                                                                                        | **3,113,202**          |
| **Home Equity Loans 0.5%**                                                                  |                   |
| Countrywide Asset-Backed Certificates, "1AF2", Series 2005-17, 5.363%, 5/25/2036            |                   | 2,066,000       |   | 1,888,675     |
| Credit-Based Asset Servicing and Securitization, "AF2", Series 2006-CB2, 5.501%, 12/25/2036 |                   | 4,448,457       |   | 4,327,297     |
|                                                                                             |
|                                                                                        | **6,215,972**          |
|  

**Miscellaneous 0.4%**                                                              |                   |
| SLM Student Loan Trust, "A3", Series 2008-6, 3.714% ***, 1/25/2019                          |                   | 6,000,000       |   | **5,931,564** |
|                                                                                             |
| **Total Asset-Backed**(Cost $15,673,760)                                                    |                   | **15,260,738**  |
|                                                                                             |                        |                 |        |               |  |  |  |  |  |

 

 

 

|                                                                                            | **Mortgage-Backed Securities Pass-Throughs 6.2%**               |           |
|-------------------------------------------------------------------------------------------------|-----------------------------------------------------------------|----------------|
| Federal Home Loan Bank, 6.0%, 11/1/2021                                                         |                                                            | 1,232,518      |   | 1,257,942 |
| Federal Home Loan Mortgage Corp.:                                                               |                                                            |
|                                                                                            | 5.0%, 10/1/2035                                                 |           |   | 7,322,688 |   | 6,982,583 |
|                                                                                            | 6.0%, 3/1/2038                                                  |           |   | 18,154,171 |   | 18,259,834 |
| Federal National Mortgage Association:                                                          |                                                            |
|                                                                                            | 4.5%, 11/1/2028 (f)                                             |           |   | 2,403,027 |   | 2,211,723 |
|                                                                                            | 5.5%, 4/1/2035 (e)                                              |           |   | 25,500,000 |   | 24,950,156 |
|                                                                                            | 6.0%, with various maturities from 11/1/2035 until 5/1/2038 (e) |           |   | 26,254,380 |   | 26,377,897 |
|                                                                                            | 6.5%, with various maturities from 4/1/2017 until 1/1/2038      |           |   | 9,261,865 |   | 9,527,774 |
|                                                                                            | 8.0%, 9/1/2015                                                  |           |   | 566,477 |   | 603,621 |
| Government National Mortgage Association, 6.5%, 8/20/2034                                       |                                                            | 375,319        |   | 388,675 |
|                                                                                                 |
| **Total Mortgage-Backed Securities Pass-Throughs**(Cost $90,928,701)                            |                                                            | **90,560,205** |
|                                                                                            | **Commercial and Non-Agency Mortgage-Backed Securities 9.9%**   |           |
| Adjustable Rate Mortgage Trust, "3A31", Series 2005-10, 5.417% ***, 1/25/2036                   |                                                            | 3,015,000      |   | 2,293,370 |
| Banc of America Mortgage Securities, "2A6", Series 2004-G, 4.652% ***, 8/25/2034                |                                                            | 6,600,000      |   | 6,495,936 |
| Bear Stearns Adjustable Rate Mortgage Trust:                                                    |                                                            |
|                                                                                            | "13A2", Series 2004-1, 4.274% ***, 4/25/2034                    |           |   | 6,642,083 |   | 6,180,400 |
|                                                                                            | "12A5", Series 2004-1, 4.379% ***, 4/25/2034                    |           |   | 5,576,608 |   | 4,786,747 |
| Citigroup Mortgage Loan Trust, Inc.:                                                            |                                                            |
|                                                                                            | "1A1A", Series 2007-AR5, 5.615% ***, 4/25/2037                  |           |   | 7,752,626 |   | 5,595,733 |
|                                                                                            | "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034                      |           |   | 775,993 |   | 750,046 |
| Countrywide Alternative Loan Trust:                                                             |                                                            |
|                                                                                            | "3A11", Series 2005-20CB, 2.761% ***, 7/25/2035                 |           |   | 3,563,398 |   | 3,508,615 |
|                                                                                            | "A1", Series 2004-1T1, 5.0%, 2/25/2034                          |           |   | 1,351,891 |   | 1,265,955 |
|                                                                                            | "1A5", Series 2003-J1, 5.25%, 10/25/2033                        |           |   | 1,176,285 |   | 1,145,449 |
|                                                                                            | "4A3", Series 2005-43, 5.714% ***, 10/25/2035                   |           |   | 3,527,794 |   | 2,252,366 |
|                                                                                            | "1A4", Series 2006-43CB, 6.0%, 2/25/2037                        |           |   | 3,308,529 |   | 3,186,072 |
|                                                                                            | "3A5", Series 2005-28CB, 6.0%, 8/25/2035                        |           |   | 3,813,525 |   | 3,658,422 |
|                                                                                            | "A1", Series 2004-35T2, 6.0%, 2/25/2035                         |           |   | 1,256,748 |   | 1,169,172 |
| First Horizon Alternative Mortgage Securities, "1A7", Series 2006-FA8, 6.0%, 2/25/2037          |                                                            | 5,362,500      |   | 4,881,709 |
| First Horizon Mortgage Pass-Through Trust, "1A15", Series 2006-2, 6.0%, 8/25/2036               |                                                            | 7,917,539      |   | 7,559,188 |
| GS Mortgage Securities Corp. II, "AAB", Series 2006-GG8, 5.535%, 11/10/2039                     |                                                            | 5,300,000      |   | 5,113,427 |
| JPMorgan Alternative Loan Trust, "2A4", Series 2006-S1, 5.5%, 2/25/2021                         |                                                            | 6,000,360      |   | 5,788,823 |
| JPMorgan Chase Commercial Mortgage Securities Corp., "ASB", Series 2007-CB20, 5.688%, 2/12/2051 |                                                            | 11,250,000     |   | 10,662,857 |
| MASTR Adjustable Rate Mortgages Trust, "2A1", Series 2007-1, 5.961% ***, 11/25/2036             |                                                            | 8,304,402      |   | 7,202,065 |
| MLCC Mortgage Investors, Inc., "2A", Series 2005-2, 4.25% ***, 10/25/2035                       |                                                            | 8,299,843      |   | 7,683,592 |
| NYC Mortgage Loan Trust, "A3", Series 1996, 144A, 6.75%, 9/25/2019                              |                                                            | 1,067,566      |   | 1,051,553 |
| Structured Adjustable Rate Mortgage Loan Trust:                                                 |                                                            |
|                                                                                            | "6A3", Series 2005-21, 5.4%, 11/25/2035                         |           |   | 2,725,000 |   | 1,991,443 |
|                                                                                            | "5A1", Series 2005-18, 5.524% ***, 9/25/2035                    |           |   | 1,931,167 |   | 1,655,089 |
| Structured Asset Securities Corp., "4A1", Series 2005-6, 5.0%, 5/25/2035                        |                                                            | 2,036,131      |   | 1,729,439 |
| Wachovia Bank Commercial Mortgage Trust:                                                        |                                                            |
|                                                                                            | "APB", Series 2006-C23, 5.446%, 1/15/2045                       |           |   | 5,900,000 |   | 5,687,317 |
|                                                                                            | "APB", Series 2007-C34, 5.617%, 5/15/2046                       |           |   | 8,625,000 |   | 8,137,067 |
| Wachovia Mortgage Loan Trust LLC, "1A1", Series 2006-A, 5.465% ***, 5/20/2036                   |                                                            | 14,994,300     |   | 12,102,147 |
| Washington Mutual Mortgage Pass-Through Certificates Trust:                                     |                                                            |
|                                                                                            | "1A6", Series 2005-AR12, 4.833% ***, 10/25/2035                 |           |   | 5,590,000 |   | 5,079,518 |
|                                                                                            | "1A3", Series 2005-AR16, 5.101% ***, 12/25/2035                 |           |   | 3,005,000 |   | 2,537,231 |
|  

 

Wells Fargo Mortgage Backed Securities Trust:                                   |                                                            |
|                                                                                            | "A1", Series 2005-6, 5.25%, 8/25/2035                           |           |   | 7,357,213 |   | 6,963,435 |
|                                                                                                 |                                                                 |                |  |  |  |  |  |  |  |

 

 

 

|                                                                                        | "1A1", Series 2006-AR12, 6.025% ***, 9/25/2036       |            |   | 5,763,264  |   | 5,218,022 |
|---------------------------------------------------------------------------------------------|------------------------------------------------------|-----------------|--------|------------|--------|-----------|
|                                                                                             |
| **Total Commercial and Non-Agency Mortgage-Backed Securities**(Cost $158,594,594)           |                                                 | **143,332,205** |
|                                                                                        | **Collateralized Mortgage Obligations 1.3%**         |            |
| Fannie Mae Whole Loan, "1A1", Series 2004-W15, 6.0%, 8/25/2044                              |                                                 | 1,395,020       |   | 1,407,519  |
| Federal Home Loan Mortgage Corp., "OS", Series 3102, Principal Only, Zero Coupon, 1/15/2036 |                                                 | 11,258,739      |   | 8,705,437  |
| Federal National Mortgage Association, "2", Series 379, Interest Only, 5.5%, 5/1/2037       |                                                 | 8,031,839       |   | 2,245,524  |
| Government National Mortgage Association, "CK", Series 2007-31, 5.0%, 5/16/2037             |                                                 | 7,500,000       |   | 7,166,805  |
|                                                                                             |
| **Total Collateralized Mortgage Obligations**(Cost $19,241,340)                             |                                                 | **19,525,285**  |
|                                                                                        | **Senior Loans*** 0.2%**                             |            |
| Advanced Medical Optics, Inc., Term Loan B, LIBOR plus 1.75%, 5.003%, 4/2/2014              |                                                 | 44,015          |   | 40,549     |
| Alliance Mortgage Cycle Loan Term Loan, LIBOR plus 7.25%, 10.503%, 6/4/2010**               |                                                 | 233,333         |   | 0          |
| Bausch & Lomb, Inc.:                                                                    |                                                 |
|                                                                                        | Term Delay Draw, LIBOR plus 3.25%, 6.503%, 4/11/2015 |            |   | 19,800     |   | 19,294    |
|                                                                                        | Term Loan B, LIBOR plus 3.25%, 6.503%, 4/11/2015     |            |   | 131,670    |   | 128,305   |
| Buffets, Inc.:                                                                              |                                                 |
|                                                                                        | Letter of Credit, 4.73%, 5/1/2013                    |            |   | 83,973     |   | 45,514    |
|                                                                                        | Term Loan B, 9.713%, 1/13/2011                       |            |   | 628,628    |   | 340,716   |
| Energy Future Holdings Corp.:                                                               |                                                 |
|                                                                                        | Term Loan B1, LIBOR plus 3.5%, 6.753%, 10/10/2014    |            |   | 676,100    |   | 635,152   |
|                                                                                        | Term Loan B3, LIBOR plus 3.5%, 6.753%, 10/10/2014    |            |   | 443,202    |   | 416,936   |
| Ford Motor Co., Term Loan B, LIBOR plus 3.0%, 6.253%, 12/16/2013                            |                                                 | 80,000          |   | 63,278     |
| General Nutrition Centers, Inc. Term Loan B, LIBOR plus 2.25%, 5.503%, 9/16/2013            |                                                 | 49,623          |   | 45,281     |
| Golden Nugget, Inc. Term Loan B, 5.72%, 6/16/2014                                           |                                                 | 100,000         |   | 64,000     |
| Hawker Beechcraft, Inc.:                                                                    |                                                 |
|                                                                                        | Letter of Credit, LIBOR plus 2.0%, 5.253%, 3/26/2014 |            |   | 2,939      |   | 2,763     |
|                                                                                        | Term Loan B, LIBOR plus 2.0%, 5.253%, 3/26/2014      |            |   | 50,435     |   | 47,044    |
| HCA, Inc. Term Loan A1, 4.301%, 11/18/2012                                                  |                                                 | 267,941         |   | 251,697    |
| Hexion Specialty Chemicals:                                                                 |                                                 |
|                                                                                        | Term Loan C1, LIBOR plus 2.25%, 5.503%, 5/5/2013     |            |   | 453,869    |   | 397,864   |
|                                                                                        | Term Loan C2, LIBOR plus 2.25%, 5.503%, 5/5/2013     |            |   | 92,863     |   | 81,404    |
| IASIS Healthcare LLC 8.043%, 6/15/2014                                                      |                                                 | 216,549         |   | 190,563    |
| Longview Power LLC:                                                                         |                                                 |
|                                                                                        | Demand Draw, 5.063%, 4/1/2014                        |            |   | 102,000    |   | 92,438    |
|                                                                                        | Letter of Credit, 5.063%, 4/1/2014                   |            |   | 27,000     |   | 24,469    |
|                                                                                        | Term Loan B, 5.063%, 4/1/2014                        |            |   | 81,000     |   | 73,406    |
| Sabre, Inc. Term Loan B, LIBOR plus 2.25%, 5.503%, 9/30/2014                                |                                                 | 78,657          |   | 61,991     |
| Symbion, Inc.:                                                                              |                                                 |
|                                                                                        | Term Loan A, 6.149%, 8/23/2013                       |            |   | 34,365     |   | 30,456    |
|                                                                                        | Term Loan B, 6.149%, 8/23/2014                       |            |   | 34,365     |   | 30,456    |
| Telesat Canada, Inc.:                                                                       |                                                 |
|                                                                                        | Term Loan, 5.9%, 9/1/2014                            |            |   | 60,236     |   | 57,605    |
|                                                                                        | Term Loan B, LIBOR plus 3.0%, 6.253%, 10/31/2014     |            |   | 187,147    |   | 178,973   |
| Tribune Co. Term Loan B, 5.786%, 5/24/2014                                                  |                                                 | 217,229         |   | 155,229    |
|                                                                                             |
| **Total Senior Loans**(Cost $4,254,878)                                                     |                                                 | **3,475,383**   |
|                                                                                        | **Government & Agency Obligations 6.5%**         |            |
| **US Government Sponsored Agencies 1.9%**                                                   |                                                 |
| Federal Home Loan Bank 4.375%, 10/22/2010                                                   |                                                 | 3,500,000       |   | 3,580,241  |
| Federal Home Loan Mortgage Corp.:                                                           |                                                 |
|                                                                                        | 4.75%, 11/3/2009                                     |            |   | 5,000,000  |   | 5,107,960 |
|                                                                                        | 5.5%, 8/20/2012 (f)                                  |            |   | 8,000,000  |   | 8,470,104 |
| Federal National Mortgage Association, 4.375%, 9/13/2010 (c)                                |                                                 | 10,000,000      |   | 10,245,490 |
|                                                                                             |
|                                                                                        | **27,403,795**                                       |
|                                                                                             |                                                      |                 |        |            |        |           |  |  |  |  |

 

 

 

|                            | **US Treasury Obligations 4.6%**                                                                                                                                                                              |                                                                                                                                                                                                                                    |
|---------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                            | US Treasury Bills:                                                                                                                                                                                            |                                                                                                                                                                                                                                    |
|                            |                                                                                                                                                                                                          | 1.35% ****, 10/16/2008 (g)                                                                                                                                                                                                              |   |   | 24,467,000 |   | 26,377,197 |
|                            |                                                                                                                                                                                                          | 1.44% ****, 10/16/2008 (g)                                                                                                                                                                                                              |   |   | 128,000 |   | 127,566 |
|                            | US Treasury Bond, 6.0%, 2/15/2026 (c)                                                                                                                                                                         |                                                                                                                                                                                                                                    | 13,000,000 |   | 15,146,014 |
|                            | US Treasury Inflation Indexed Note, 1.375%, 7/15/2015                                                                                                                                                         |                                                                                                                                                                                                                                    | 90,930 |   | 88,479 |
|                            | US Treasury Note, 3.875%, 5/15/2018 (c)                                                                                                                                                                       |                                                                                                                                                                                                                                    | 26,000,000 |   | 25,776,556 |
|                            |                                                                                                                                                                                                               |
|                            |                                                                                                                                                                                                          | **67,515,812**                                                                                                                                                                                                                          |
|                            |                                                                                                                                                                                                               |
|                            | **Total Government & Agency Obligations**(Cost $94,332,258)                                                                                                                                               |                                                                                                                                                                                                                                    | **94,919,607** |
|                            |                                                                                                                                                                                                          | **Exchange Traded Funds 0.2%**                                                                                                                                                                                                          |   |
|                            | iShares MSCI Japan Index Fund (Cost $2,491,251)                                                                                                                                                               |                                                                                                                                                                                                                                    | 187,505 |   | **2,250,060** |
|                            |                                                                                                                                                                                                          | **Preferred Securities 0.1%**                                                                                                                                                                                                           |   |
|                            | Farm Credit Bank of Texas, Series 1, 7.561%, 12/15/2013 (h)                                                                                                                                                   |                                                                                                                                                                                                                                    | 889,000 |   | 808,714 |
|                            | Xerox Capital Trust I, 8.0%, 2/1/2027                                                                                                                                                                         |                                                                                                                                                                                                                                    | 80,000 |   | 76,260 |
|                            |                                                                                                                                                                                                               |
|                            | **Total Preferred Securities**(Cost $1,042,603)                                                                                                                                                               |                                                                                                                                                                                                                                    | **884,974** |
|                            |                                                                                                                                                                                                          | **Units**                                                                                                                                                                                                                               |   | **Value ($)** |
|                            |                                                                                                                                                                                                               |
|                            |                                                                                                                                                                                                          | **Other Investments 0.0%**                                                                                                                                                                                                              |   |
|                            | Hercules, Inc., (Bond Unit), 6.5%, 6/30/2029 (Cost $347,456)                                                                                                                                                  |                                                                                                                                                                                                                                    | 506,000 |   | **414,920** |
|                            |                                                                                                                                                                                                          | **Securities Lending Collateral 5.0%**                                                                                                                                                                                                  |   |
|                            | Daily Assets Fund Institutional, 2.69% (i) (j)(Cost $72,942,750)                                                                                                                                              |                                                                                                                                                                                                                                    |   | 72,942,750 |   | **72,942,750** |
|                            |                                                                                                                                                                                                          | **Cash Equivalents 8.8%**                                                                                                                                                                                                               |   |
|                            | Cash Management QP Trust, 2.42% (i)(Cost $127,993,684)                                                                                                                                                        |                                                                                                                                                                                                                                    |   | 127,993,684 |   | **127,993,684** |
|                            |                                                                                                                                                                                                          | **% of****Net Assets**                                                                                                                                                                                                                  |   | **Value ($)** |
|                            |                                                                                                                                                                                                               |
|                            | **Total Investment Portfolio**(Cost $1,547,819,294) †                                                                                                                                                  | 107.2                                                                                                                                                                                                                                   |   | **1,557,158,195** |
|                            | **Other Assets and Liabilities, Net**(c)                                                                                                                                                                      | (7.2)                                                                                                                                                                                                                                   |   | **(104,615,791)** |
|                            |                                                                                                                                                                                                               |
|                            | **Net Assets**                                                                                                                                                                                                | 100.0                                                                                                                                                                                                                                   |   | **1,452,542,404** |
|                            | *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.*                                                                                                                                                                                                        |
|                            | ****                                                                                                                                                                                                          | *Non-income producing security. Issuer has defaulted on the payment of principal or 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*  | *10.503%*                                                                                                                                                                                                     | *6/4/2010*                                                                                                                                                                                                                              | *233,333* | *USD* | *233,333* | *0* |   |
| *American Color Graphics, Inc.* | *10.0%*                                                                                                                                                                                                       | *6/15/2010*                                                                                                                                                                                                                             | *435,000* | *USD* | *295,700* | *105,487* |   |
| *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* | *52,325* |   |
| *Radnor Holdings Corp.*         | *11.0%*                                                                                                                                                                                                       | *3/15/2010*                                                                                                                                                                                                                             | *120,000* | *USD* | *79,038* | *150* |   |
| *Tropicana Entertainment LLC*   | *9.625%*                                                                                                                                                                                                      | *12/15/2014*                                                                                                                                                                                                                            | *235,000* | *USD* | *172,931* | *63,450* |   |
|                            |                                                                                                                                                                                                          |                                                                                                                                                                                                                                    |   |   | ***1,469,207*** | ***650,412*** |   |
|                            | *****                                                                                                                                                                                                         | *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 July 31, 2008.* |
|                            | ******                                                                                                                                                                                                        | *Annualized yield at time of purchase; not a coupon rate.*                                                                                                                                                                              |
|                                 |                                                                                                                                                                                                               |                                                                                                                                                                                                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

 

 

 

| *†*                                                                                                                                                                                                    | *The cost for federal income tax purposes was $1,562,457,896. At July 31, 2008, net unrealized depreciation for all securities based on tax cost was $5,299,701. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $92,083,567 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $97,383,268.* |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| *(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 amounting to $59,935,198. In addition, included in other assets and liabilities are pending sales, amounting to $11,279,530, that are also on loan. The value of all securities loaned at July 31, 2008 amounted to $71,214,728 which is 4.9% of net assets.*                                                                                                                                     |
| *(d)*                                                                                                                                                                                                         | *Security issued in lieu of interest payment due 12/15/2007, which has been deferred until 9/15/2008. This security is deemed to be non-income producing.*                                                                                                                                                                                                                                                                                           |
| *(e)*                                                                                                                                                                                                         | *Mortgage dollar rolls included.*                                                                                                                                                                                                                                                                                                                                                                                                                    |
| *(f)*                                                                                                                                                                                                         | *At July 31, 2008, this security has been pledged, in whole or in part, as collateral for open credit default swaps.*                                                                                                                                                                                                                                                                                                                                |
| *(g)*                                                                                                                                                                                                         | *At July 31, 2008, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.*                                                                                                                                                                                                                                                                                                            |
| *(h)*                                                                                                                                                                                                         | *Date shown is call date; not a maturity date for the perpetual preferred securities.*                                                                                                                                                                                                                                                                                                                                                               |
| *(i)*                                                                                                                                                                                                         | *Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.*                                                                                                                                                                                                                                                                                                            |
| *(j)*                                                                                                                                                                                                         | *Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.*                                                                                                                                                                                                                                                                                                                            |
| *(k)*                                                                                                                                                                                                         | *Security has deferred its 6/15/2008 interest payment until 12/15/2008. This security is deemed to be non-income producing.*                                                                                                                                                                                                                                                                                                                         |
| *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*                                                                                                                                                                              |
| *FDR: Fiduciary Depositary Receipts*                                                                                                                                                                          |
| *GDR: Global Depositary Receipt*                                                                                                                                                                              |
| *Interest Only: Interest Only (IO) bonds represent the “interest only” portion of payments on a pool of underlying mortgages or mortgage*.                                                        |
| *LIBOR: Represents the London InterBank Offered Rate.*                                                                                                                                                        |
| *PIK: Denotes that all or a portion of the income is paid in kind.*                                                                                                                                           |
| *PPS: Price Protected Shares*                                                                                                                                                                                 |
| *Principal Only: Principal Only (PO) bonds represent the “principal only” portion of payments on a pool of underlying mortgages or mortgage-backed securities.*                                   |
| *REIT: Real Estate Investment Trust*                                                                                                                                                                          |
| *RNC: Riparmio Non-Convertible (Non-Convertible Savings Shares)*                                                                                                                                              |
| *SDR: Swedish Depositary Receipts*                                                                                                                                                                            |
| *At July 31, 2008, the Fund had unfunded loan commitments of $19,464, which could be extended at the option of the borrower, pursuant to the following loan agreements:*                                      |
|                                                                                                                                                                                                          | ***Unfunded Loan***                                                                                                                                                                                                                                                                                                                                                                                                                                  |   | ***Unrealized*** |   |
| ***Borrower***                                                                                                                                                                                                | ***Commitment ($)***                                                                                                                                                                                                                                                                                                                                                                                                                                 | ***Value ($)*** | ***Depreciation ($)*** |   |
| *Bausch & Lomb, Inc., Term Delay Draw, 4/11/2015*                                                                                                                                                         | *13,167*                                                                                                                                                                                                                                                                                                                                                                                                                                             | *12,862* | *(305)* |   |
| *Telesat Canada, Inc., Term Loan B, 10/31/2014*                                                                                                                                                               | *6,297*                                                                                                                                                                                                                                                                                                                                                                                                                                              | *6,145* | *(152)* |   |
| ***Total***                                                                                                                                                                                                   | ***19,464***                                                                                                                                                                                                                                                                                                                                                                                                                                         | ***19,007*** | ***(457)*** |   |
|                                                                                                                                                                                                               |                                                                                                                                                                                                                                                                                                                                                                                                                                                      |  |  |  |  |

 

 

 

 

 

 

 

|                                  | *At July 31, 2008, open futures contracts purchased were as follows:* |
|---------------------------------------|-----------------------------------------------------------------------|
|                                  | **Futures**                                                           |   | **Expiration****Date** |   | **Contracts** |   | **Aggregated****Face****Value ($)** |   | **Value ($)** |   | **Unrealized****Appreciation/****(Depreciation) ($)** |
|                                  |                                                                       |
|                                  |                                                                  |
|                                  | 10 Year Australian Treasury Bond                                      |   | 9/15/2008 |   | 384 |   | 34,352,441 |   | 35,611,252 |   | 1,258,811 |   |
|                                  | 10 Year Canadian Government Bond                                      |   | 9/19/2008 |   | 138 |   | 15,926,452 |   | 16,000,156 |   | 73,704 |   |
|                                  | 10 Year Japanese Government Bond                                      |   | 9/10/2008 |   | 29 |   | 36,216,134 |   | 36,667,655 |   | 451,521 |   |
|                                  | 10 Year US Treasury Note                                              |   | 9/19/2008 |   | 742 |   | 84,318,827 |   | 85,202,472 |   | 883,645 |   |
|                                  | 2 Year US Treasury Note                                               |   | 9/30/2008 |   | 273 |   | 57,685,796 |   | 57,876,000 |   | 190,204 |   |
|                                  | 5 Year US Treasury Note                                               |   | 9/30/2008 |   | 120 |   | 13,292,212 |   | 13,360,313 |   | 68,101 |   |
|                                  | DJ Euro Stoxx 50 Index                                                |   | 9/19/2008 |   | 22 |   | 1,164,093 |   | 1,159,562 |   | (4,531) |   |
|                                  | FTSE 100 Index                                                        |   | 9/19/2008 |   | 38 |   | 4,457,508 |   | 4,071,512 |   | (385,996) |   |
|                                  | Hang Seng Stock Index                                                 |   | 8/28/2008 |   | 117 |   | 16,587,216 |   | 17,077,747 |   | 490,531 |   |
|                                  | IBEX 35 Index                                                         |   | 8/15/2008 |   | 30 |   | 5,204,103 |   | 5,541,058 |   | 336,955 |   |
|                                  | Nikkei 225 Index                                                      |   | 9/11/2008 |   | 4 |   | 278,417 |   | 266,700 |   | (11,717) |   |
|                                  | Russell E Mini 2000 Index                                             |   | 9/19/2008 |   | 35 |   | 2,505,012 |   | 2,504,250 |   | (762) |   |
|                                  | S&P/Canada 60 Index                                               |   | 9/18/2008 |   | 130 |   | 22,658,477 |   | 20,648,664 |   | (2,009,813) |   |
|                                  | S&P 500 Index                                                     |   | 9/18/2008 |   | 18 |   | 6,118,709 |   | 5,701,950 |   | (416,759) |   |
|                                  | S&P MIB 30 Index                                                  |   | 9/19/2008 |   | 26 |   | 6,163,963 |   | 5,779,855 |   | (384,108) |   |
|                                  | S&P Mini 500 Index                                                |   | 9/19/2008 |   | 353 |   | 23,677,167 |   | 22,364,315 |   | (1,312,852) |   |
|                                  | SPI Index                                                             |   | 9/18/2008 |   | 70 |   | 8,855,287 |   | 8,202,749 |   | (652,538) |   |
|                                  | SPI 200 Index                                                         |   | 9/18/2008 |   | 3 |   | 367,726 |   | 351,546 |   | (16,180) |   |
|                                  | United Kingdom Treasury Bond                                          |   | 9/26/2008 |   | 725 |   | 152,095,734 |   | 154,282,532 |   | 2,186,798 |   |
| **Total net unrealized appreciation** | **745,014**                                                           |   |
|                                       |                                                                       |  |  |  |  |  |  |  |  |  |  |  |

 

| *At July 31, 2008, open futures contracts sold were as follows:* |
|------------------------------------------------------------------|
|                                                             | **Futures** |   |   | **Expiration****Date** |   | **Contracts** |   | **Aggregated****Face****Value ($)** |   | **Value ($)** |   | **Unrealized****Appreciation/****(Depreciation) ($)** |
|                                                             |  |
|                                                             |   |
|                                                             | 10 Year Federal Republic of Germany Bond |   | 9/8/2008 |   | 1,385 |   | 240,783,094 |   | 243,065,840 |   | (2,282,746) |   |
|                                                             | CAC 40 10 Euro Index |   | 8/15/2008 |   | 276 |   | 17,614,923 |   | 18,953,590 |   | (1,338,667) |   |
|                                                             | DAX Index |   | 9/19/2008 |   | 39 |   | 10,529,483 |   | 9,923,575 |   | 605,908 |   |
|                                                             | DJ Euro Stoxx 50 Index |   | 9/19/2008 |   | 116 |   | 6,489,291 |   | 6,114,053 |   | 375,238 |   |
|                                                             | EOE Dutch Stock Index |   | 8/15/2008 |   | 24 |   | 2,812,910 |   | 2,979,190 |   | (166,280) |   |
|                                                             | Russell E Mini 2000 Index |   | 9/19/2008 |   | 72 |   | 5,318,111 |   | 5,151,600 |   | 166,511 |   |
|                                                             | TOPIX Index |   | 9/12/2008 |   | 215 |   | 27,358,715 |   | 25,937,109 |   | 1,421,606 |   |
| **Total net unrealized depreciation**                            | **(1,218,430)** |   |
|                                                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |

 

 

 

| *At July 31, 2008, open credit default swap contracts sold were as follows:* |
|------------------------------------------------------------------------------|
|                                                                         | **Effective/****Expiration****Dates** |   | **Notional****Amount ($)** |   | **Cash Flows Received****by the Fund** |   | **Underlying Debt Obligation** |   | **Unrealized****Appreciation/****Depreciation ($)** |
|                                                                         |   |
|                                                                         | 10/9/2007

12/20/2008 |   | 235,0002 |   | Fixed — 3.1% |   | Ford Motor Co.,

6.5%, 8/1/2018 |   | (6,422) |   |
|                                                                         | 10/5/2007

12/20/2008 |   | 140,0003 |   | Fixed — 3.15% |   | Ford Motor Co.,

6.5%, 8/1/2018 |   | (3,799) |   |
|                                                                         | 10/13/2007

12/20/2009 |   | 265,0001 |   | Fixed — 3.85% |   | Ford Motor Co.,

6.5%, 8/1/2018 |   | (42,015) |   |
|                                                                         | 10/22/2007

12/20/2008 |   | 470,0004 |   | Fixed — 3.05% |   | Ford Motor Co.,

6.5%, 8/1/2018 |   | (12,936) |   |
|                                                                         | 12/13/2007

12/20/2009 |   | 80,0001 |   | Fixed — 5.05% |   | Ford Motor Co.,

6.5%, 8/1/2018 |   | (8,205) |   |
|                                                                         | 10/4/2007

12/20/2008 |   | 250,0005 |   | Fixed — 2.6% |   | General Motors Corp., 7.125%, 7/15/2013 |   | (10,558) |   |
|                                                                         | 10/22/2007

12/20/2008 |   | 470,0004 |   | Fixed — 3.06% |   | General Motors Corp., 7.125%, 7/15/2013 |   | (19,018) |   |
|                                                                         | 10/3/2007

12/20/2008 |   | 235,0003 |   | Fixed — 3.2% |   | General Motors Corp., 7.125%, 7/15/2013 |   | (9,382) |   |
|                                                                         | 2/19/2008

3/20/2009 |   | 130,0001 |   | Fixed — 3.8% |   | HCA, Inc.,

7.7%, 3/20/2009 |   | 1,546 |   |
|                                                                         | 1/29/2008

3/20/2013 |   | 65,0004 |   | Fixed — 3.0% |   | HCA, Inc.,

7.7%, 3/20/2009 |   | 304 |   |
|                                                                         | 1/28/2008

3/20/2009 |   | 105,0004 |   | Fixed — 2.65% |   | HCA, Inc.,

7.7%, 3/20/2009 |   | (794) |   |
|                                                                         | 2/26/2008

3/20/2009 |   | 180,0001 |   | Fixed — 5.0% |   | Tenet Healthcare Corp., 7.375%, 2/1/2013 |   | 3,428 |   |
|                                                                         | 12/19/2007

12/20/2008 |   | 105,0004 |   | Fixed — 2.9% |   | Tenet Healthcare Corp., 7.375%, 2/1/2013 |   | 383 |   |
| **Total net unrealized depreciation**                                        | **(107,468)** |
|                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |

 

| *At July 31, 2008, open credit default swap contracts purchased were as follows:* |
|-----------------------------------------------------------------------------------|
|                                                                              | **Effective/****Expiration****Dates** |   | **Notional****Amount ($)** |   | **Cash Flows Paid****by the Fund** |   | **Underlying Debt Obligation** |   | **Unrealized****Appreciation ($)** |
|                                                                              |   |
|                                                                              | 5/6/2008

6/20/2013 |   | 80,0001 |   | Fixed — 7.25% |   | ARCO Chemical Co.,9.8%, 2/1/2020 |   | **6,513** |   |
|                                                                                   |  |  |  |  |  |  |  |  |  |  |  |

 

| *Counterparties:* |
|-------------------|
| *1*               | *Merrill Lynch, Pierce, Fenner & Smith, Inc.* |
| *2*               | *Goldman Sachs & Co.* |
| *3*               | *JPMorgan Chase Securities, Inc.* |
| *4*               | *Lehman Brothers, Inc.* |
| *5*               | *Citigroup Global Markets, Inc.* |

 

 

 

 

 

 

 

| *As of July 31, 2008, the Portfolio had the following open forward foreign currency exchange contracts:* |
|----------------------------------------------------------------------------------------------------------|
| ***Contracts to Deliver***                                                                               | ***In Exchange For*** | ***Settlement Date*** | ***Unrealized***

***Appreciation***

***(US $)*** |   |
| *EUR*                                                                                                    | *842,500* | *USD* | *1,317,809* | *8/11/2008* | *4,414* |   |
| *AUD*                                                                                                    | *157,000* | *USD* | *149,855* | *9/17/2008* | *2,974* |   |
| *CAD*                                                                                                    | *5,192,000* | *USD* | *5,104,509* | *9/17/2008* | *37,043* |   |
| *CHF*                                                                                                    | *71,299,000* | *USD* | *68,637,908* | *9/17/2008* | *538,296* |   |
| *DKK*                                                                                                    | *65,272,000* | *USD* | *13,780,494* | *9/17/2008* | *172,084* |   |
| *EUR*                                                                                                    | *20,733,000* | *USD* | *32,701,539* | *9/17/2008* | *444,441* |   |
| *GBP*                                                                                                    | *2,281,000* | *USD* | *4,518,273* | *9/17/2008* | *13,436* |   |
| *JPY*                                                                                                    | *1,320,901,000* | *USD* | *12,376,330* | *9/17/2008* | *98,375* |   |
| *USD*                                                                                                    | *85,729,363* | *NOK* | *446,770,000* | *9/17/2008* | *1,063,889* |   |
| *SEK*                                                                                                    | *11,410,000* | *USD* | *1,881,596* | *9/17/2008* | *2,206* |   |
| *USD*                                                                                                    | *162,590,323* | *SGD* | *222,200,000* | *9/17/2008* | *311,709* |   |
| ***Total unrealized appreciation***                                                                      |   |   | ***2,688,867*** |   |
|                                                                                                     |   |   |   |   |   |   |
| ***Contracts to Deliver***                                                                               | ***In Exchange For*** | ***Settlement Date*** | ***Unrealized Depreciation***

***(US $)*** |   |
| *AUD*                                                                                                    | *202,585* | *USD* | *190,511* | *8/5/2008* | *(112)* |   |
| *CAD*                                                                                                    | *510,540* | *USD* | *498,039* | *8/5/2008* | *(526)* |   |
| *USD*                                                                                                    | *5,948* | *GBP* | *3,000* | *8/5/2008* | *(8)* |   |
| *USD*                                                                                                    | *26,151* | *JPY* | *2,821,000* | *8/5/2008* | *(46)* |   |
| *USD*                                                                                                    | *350,202* | *NOK* | *1,796,000* | *8/5/2008* | *(489)* |   |
| *USD*                                                                                                    | *265,398* | *SEK* | *1,606,000* | *8/5/2008* | *(172)* |   |
| *USD*                                                                                                    | *151,518* | *CAD* | *155,000* | *8/6/2008* | *(393)* |   |
| *USD*                                                                                                    | *12,453,300* | *CAD* | *12,700,000* | *9/17/2008* | *(57,921)* |   |
| *USD*                                                                                                    | *10,627,120* | *CHF* | *10,842,000* | *9/17/2008* | *(271,631)* |   |
| *DKK*                                                                                                    | *8,360,000* | *USD* | *1,730,849* | *9/17/2008* | *(12,108)* |   |
| *EUR*                                                                                                    | *18,951,000* | *USD* | *29,279,295* | *9/17/2008* | *(205,307)* |   |
| *GBP*                                                                                                    | *11,378,000* | *USD* | *22,135,899* | *9/17/2008* | *(334,965)* |   |
| *USD*                                                                                                    | *32,854,535* | *JPY* | *3,482,975,000* | *9/17/2008* | *(479,806)* |   |
| *USD*                                                                                                    | *12,541,270* | *NOK* | *64,005,000* | *9/17/2008* | *(107,127)* |   |
| *USD*                                                                                                    | *12,032,857* | *NZD* | *16,177,000* | *9/17/2008* | *(251,887)* |   |
| *USD*                                                                                                    | *2,012,212* | *NZD* | *2,674,000* | *9/17/2008* | *(64,860)* |   |
| *USD*                                                                                                    | *84,707* | *SEK* | *508,000* | *9/17/2008* | *(1,032)* |   |
| *USD*                                                                                                    | *1,380,752* | *SGD* | *1,869,000* | *9/17/2008* | *(10,528)* |   |
| ***Total unrealized depreciation***                                                                      |   |   | ***(1,798,918)*** |   |

 

 

 

 

 

| ***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* |   |
|                         | *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 the 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 fiscal quarter 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: | September 16, 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: | September 16, 2008 |
|-------|--------------------|

 

 

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

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

Chief Financial Officer and Treasurer

 

Date:                                        September 16, 2008