-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, I3wrtaYteEHrI9KgJxe9saEylGweIfWdWm6dkUHGtd/zqihr55oBgcAhhD+Na64j jdksXNvng+mEBGPtK2ZcjA== 0000891079-09-000006.txt : 20090223 0000891079-09-000006.hdr.sgml : 20090223 20090223101342 ACCESSION NUMBER: 0000891079-09-000006 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20081231 FILED AS OF DATE: 20090223 DATE AS OF CHANGE: 20090223 EFFECTIVENESS DATE: 20090223 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GE INSTITUTIONAL FUNDS CENTRAL INDEX KEY: 0001040061 IRS NUMBER: 061495734 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-08257 FILM NUMBER: 09626803 BUSINESS ADDRESS: STREET 1: 3001 SUMMER STREET CITY: STAMFORD STATE: CT ZIP: 06905 BUSINESS PHONE: 203-708-3133 MAIL ADDRESS: STREET 1: 3001 SUMMER STREET CITY: STAMFORD STATE: CT ZIP: 06905 0001040061 S000001626 Income Fund C000004419 Service Class C000004420 Investment Class GFIIX 0001040061 S000001627 International Equity Fund C000004421 Service Class C000004422 Investment Class GIEIX 0001040061 S000001628 Money Market Fund C000004423 Investment Class GEIXX C000004424 Service Class GESXX 0001040061 S000001629 Premier Growth Equity Fund C000004425 Investment Class GEIPX C000004426 Service Class GEPSX 0001040061 S000001630 S&P 500 Index Fund C000004427 Service Class C000004428 Investment Class GIDIX 0001040061 S000001631 Small-Cap Equity Fund C000004429 Investment Class C000004430 Service Class 0001040061 S000001632 Strategic Investment Fund C000004431 Investment Class C000004432 Service Class 0001040061 S000001633 U.S. Equity Fund C000004433 Service Class C000004434 Investment Class GUSSX 0001040061 S000001634 Core Value Equity Fund C000004435 Service Class C000004436 Investment Class GEIVX N-Q 1 insti.txt E INSTITUTIONAL FUNDS - SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 OMB APPROVAL OMB Number: 3235-0578 Expires: April 30, 2010 Estimated average burden hours per response:10.50 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-08257 - ----------------------------------------------------------------- GE INSTITUTIONAL FUNDS - ------------------------------------------------------------------ (Exact name of registrant as specified in charter) 3001, SUMMER STREET,STAMFORD, CONNECTICUT, 06905 - ------------------------------------------------------------------- (Address of principal executive offices) (Zip code) GE ASSET MANAGEMENT, INC.,3001, SUMMER STREET,STAMFORD,CONNECTICUT, 06905 - ------------------------------------------------------------------ (Name and address of agent for service) Registrant"s telephone number, including area code: 800-242-0134 ---------------------------- Date of fiscal year end: 09/30 --------------------------- Date of reporting period: : 12/31/08 ------------------------- ITEM 1. SCHEDULE OF INVESTMENTS GE INSTITUTIONAL U.S. EQUITY SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE COMMON STOCK - 95.6% - ------------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE - 1.6% CAE, Inc. 254,656 $ 1,670,890 Hexcel Corp. 71,018 524,823 (a) Honeywell International, Inc. 25,771 846,062 Rockwell Collins, Inc. 34,361 1,343,171 United Technologies Corp. 24,173 1,295,673 5,680,619 BEVERAGES - 2.9% Pepsi Bottling Group, Inc. 101,727 2,289,875 PepsiCo, Inc. 151,106 8,276,076 10,565,951 BIOTECHNOLOGY - 6.3% Amgen, Inc. 190,993 11,029,846 (a,h) Genentech, Inc. 87,631 7,265,486 (a) Gilead Sciences, Inc. 85,144 4,354,264 (a) 22,649,596 CAPITAL MARKETS - 4.7% Ameriprise Financial, Inc. 65,557 1,531,412 Bank of New York Mellon Corp. 88,163 2,497,658 Charles Schwab Corp. 54,861 887,102 Goldman Sachs Group, Inc. 72,682 6,133,634 State Street Corp. 155,283 6,107,280 (e) 17,157,086 CHEMICALS - 1.1% Monsanto Co. 49,887 3,509,550 Praxair, Inc. 9,023 535,605 4,045,155 COMMERCIAL BANKS - 1.3% Lloyds TSB Group PLC ADR 36,217 278,871 SunTrust Banks, Inc. 57,364 1,694,533 US Bancorp. 45,212 1,130,752 Wells Fargo & Co. 56,515 1,666,062 4,770,218 COMMERCIAL SERVICES & SUPPLIES - 1.2% Corrections Corporation of America 67,818 1,109,502 (a) Iron Mountain, Inc. 127,177 3,145,087 (a) 4,254,589 COMMUNICATIONS EQUIPMENT - 6.1% Cisco Systems, Inc. 544,329 8,872,563 (a,h) Corning Inc. 125,768 1,198,569 QUALCOMM Inc. 241,553 8,654,844 Research In Motion Ltd. 80,383 3,261,942 (a) 21,987,918 COMPUTERS & PERIPHERALS - 2.1% Dell, Inc. 65,557 671,304 (a) Hewlett-Packard Co. 136,709 4,961,170 International Business Machines Corp. 24,414 2,054,682 7,687,156 DIVERSIFIED FINANCIAL SERVICES - 4.0% Bank of America Corp. 133,616 1,881,313 Citigroup, Inc. 126,594 849,446 CME Group Inc. 16,315 3,395,315 JP Morgan Chase & Co. 262,227 8,268,017 14,394,091 DIVERSIFIED TELECOMMUNICATION SERVICES - 1.0% AT&T, Inc. 42,951 1,224,103 Verizon Communications, Inc. 70,983 2,406,324 3,630,427 ELECTRIC UTILITIES - 1.7% American Electric Power Company, Inc. 84,547 2,813,724 Edison International 75,052 2,410,670 FPL Group, Inc. 19,185 965,581 6,189,975 ELECTRICAL EQUIPMENT - 0.6% ABB Ltd. ADR 108,509 1,628,720 (h) Emerson Electric Co. 17,313 633,829 2,262,549 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.2% Molex Inc. (Class A) 58,026 751,437 ENERGY EQUIPMENT & SERVICES - 3.5% Halliburton Co. 64,653 1,175,392 Nabors Industries Ltd. 18,085 216,477 (a) National Oilwell Varco, Inc. 19,441 475,138 (a) Schlumberger Ltd. 133,901 5,668,029 Transocean Ltd. 104,860 4,954,635 (a) 12,489,671 FOOD & STAPLES RETAILING - 1.3% Wal-Mart Stores, Inc. 81,412 4,563,957 FOOD PRODUCTS - 2.1% Archer-Daniels-Midland Co. 15,824 456,206 General Mills, Inc. 13,467 818,120 Kraft Foods, Inc. (Class A) 78,161 2,098,623 McCormick & Company, Inc. 87,558 2,789,598 Nestle S.A. ADR 39,334 1,561,560 7,724,107 HEALTHCARE EQUIPMENT & SUPPLIES - 3.4% Baxter International, Inc. 22,056 1,181,981 Boston Scientific Corp. 240,182 1,859,009 (a) Covidien Ltd. 65,202 2,362,920 Hologic, Inc. 106,700 1,394,569 (a) Medtronic, Inc. 101,323 3,183,569 Resmed, Inc. 56,849 2,130,701 (a) 12,112,749 HEALTHCARE PROVIDERS & SERVICES - 2.3% Aetna, Inc. 51,856 1,477,896 (h) Cardinal Health, Inc. 49,281 1,698,716 McKesson Corp. 38,005 1,471,934 UnitedHealth Group, Inc. 132,740 3,530,884 8,179,430 HOTELS RESTAURANTS & LEISURE - 0.6% Carnival Corp. 67,210 1,634,547 Darden Restaurants, Inc. 20,345 573,322 2,207,869 HOUSEHOLD PRODUCTS - 2.0% Clorox Co. 55,774 3,098,803 Colgate-Palmolive Co. 5,878 402,878 Kimberly-Clark Corp. 54,373 2,867,632 (h) Procter & Gamble Co. 12,207 754,637 (h) 7,123,950 INDUSTRIAL CONGLOMERATES - 0.9% Textron, Inc. 237,884 3,299,451 INSURANCE - 3.3% ACE Ltd. 77,176 4,084,154 AON Corp. 37,978 1,734,835 Chubb Corp. 36,170 1,844,670 HCC Insurance Holdings, Inc. 30,904 826,682 Marsh & McLennan Companies, Inc. 20,798 504,767 MetLife, Inc. 47,473 1,654,909 Prudential Financial, Inc. 5,878 177,868 Travelers Companies, Inc. 22,606 1,021,791 11,849,676 INTERNET SOFTWARE & SERVICES - 0.8% Baidu.com ADR 3,988 520,713 (a) Google, Inc. (Class A) 7,234 2,225,540 (a) 2,746,253 IT SERVICES - 3.3% Affiliated Computer Services, Inc. (Class A) 30,744 1,412,687 (a) Cognizant Technology Solutions Corp. (Class A) 69,202 1,249,788 (a) Paychex, Inc. 150,791 3,962,787 Visa, Inc. (Class A) 9,042 474,253 Western Union Co. 338,057 4,847,737 11,947,252 LIFE SCIENCES TOOLS & SERVICES - 0.3% Thermo Fisher Scientific, Inc. 32,837 1,118,757 (a) MACHINERY - 1.2% Deere & Co. 41,143 1,576,600 Eaton Corp. 21,702 1,078,806 ITT Corp. 36,754 1,690,316 4,345,722 MEDIA - 6.0% Comcast Corp. (Class A) 585,412 9,454,404 (h) Liberty Global, Inc. (Series C) 55,087 836,221 (a) Liberty Media Corp - Entertainment (Series A) 92,776 1,621,724 (a) Omnicom Group, Inc. 204,414 5,502,825 The Walt Disney Co. 37,526 851,465 Time Warner, Inc. 280,315 2,819,969 Viacom, Inc. (Class B) 40,691 775,570 (a) 21,862,178 METALS & MINING - 1.8% Allegheny Technologies Inc. 104,839 2,676,540 Barrick Gold Corp. 87,259 3,208,513 Freeport-McMoRan Copper & Gold, Inc. 28,936 707,196 6,592,249 MULTILINE RETAIL - 0.4% Kohl's Corp. 22,606 818,337 (a) Target Corp. 21,250 733,762 1,552,099 MULTI-UTILITIES - 1.3% Dominion Resources, Inc. 101,495 3,637,581 PG&E Corp. 27,750 1,074,202 4,711,783 OIL, GAS & CONSUMABLE FUELS - 7.1% Apache Corp. 15,372 1,145,675 Chevron Corp. 16,171 1,196,169 ConocoPhillips 7,686 398,135 Devon Energy Corp. 41,993 2,759,360 Exxon Mobil Corp. 140,317 11,201,506 (h) Hess Corp. 10,851 582,048 Marathon Oil Corp. 175,480 4,801,133 Occidental Petroleum Corp. 9,042 542,430 Southwestern Energy Co. 44,512 1,289,513 (a) Suncor Energy, Inc. 54,254 1,057,953 Valero Energy Corp. 26,223 567,466 25,541,388 PERSONAL PRODUCTS - 0.9% Alberto-Culver Co. 71,100 1,742,661 The Estee Lauder Cos. Inc. (Class A) 51,994 1,609,734 3,352,395 PHARMACEUTICALS - 5.9% Abbott Laboratories 75,211 4,014,011 Bristol-Myers Squibb Co. 247,291 5,749,516 Johnson & Johnson 9,947 595,129 Merck & Company, Inc. 68,862 2,093,405 Pfizer, Inc. 253,187 4,483,942 Wyeth 113,055 4,240,693 21,176,696 PROFESSIONAL SERVICES - 0.2% Monster Worldwide, Inc. 71,236 861,243 (a) REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.1% CB Richard Ellis Group, Inc. (Class A) 119,087 514,456 (a) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.6% Analog Devices, Inc. 30,292 576,154 Intel Corp. 480,401 7,042,679 (h) Kla-Tencor Corp. 25,771 561,550 Lam Research Corp. 45,212 962,111 (a) MEMC Electronic Materials, Inc. 24,414 348,632 (a) Microchip Technology Inc. 24,867 485,653 National Semiconductor Corp. 42,951 432,517 Taiwan Semiconductor Manufacturing Company Ltd. ADR 135,636 1,071,524 Texas Instruments Inc. 96,302 1,494,607 12,975,427 SOFTWARE - 3.9% Intuit, Inc. 103,787 2,469,093 (a) Microsoft Corp. 530,127 10,305,669 (h) Oracle Corp. 81,382 1,442,903 (a) 14,217,665 SPECIALTY RETAIL - 3.0% Bed Bath & Beyond, Inc. 219,645 5,583,376 (a,h) Lowe's Companies, Inc. 155,435 3,344,961 O'Reilly Automotive, Inc. 17,706 544,282 (a) Staples, Inc. 76,613 1,372,905 10,845,524 TOBACCO - 0.3% Altria Group, Inc. 58,776 885,167 WIRELESS TELECOMMUNICATION SERVICES - 1.3% American Tower Corp. (Class A) 31,798 932,317 (a) NII Holdings, Inc. (Class B) 160,878 2,924,762 (a) Vodafone Group PLC ADR 40,691 831,724 4,688,803 TOTAL COMMON STOCK 345,512,684 (COST $466,198,678) - -------------------------------------------------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS - 2.2% - -------------------------------------------------------------------------------------------------------------------------- Financial Select Sector SPDR Fund 128,426 1,620,736 (m) Industrial Select Sector SPDR Fund 269,729 6,333,237 (m) TOTAL EXCHANGE TRADED FUNDS 7,953,973 (COST $12,616,889) - -------------------------------------------------------------------------------------------------------------------------- OTHER INVESTMENTS - 0.0%* - -------------------------------------------------------------------------------------------------------------------------- GEI Investment Fund 76,863 (k) (COST $139,750) TOTAL INVESTMENTS IN SECURITIES 353,543,520 (COST $478,955,317) - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 2.3% - -------------------------------------------------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% 8,324,524 (d,n) (COST $8,324,524) TOTAL INVESTMENTS 361,868,044 (COST $487,279,841) LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.1)% (303,762) ------------ NET ASSETS - 100.0% $361,564,282 ============ - -------------------------------------------------------------------------------------------------------------------------- OTHER INFORMATION - --------------------------------------------------------------------------------------------------------------------------
The GE Institutional U.S.Equity Fund had the following long futures contracts open at December 31, 2008 (unaudited):
CURRENT EXPIRATION NUMBER OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ---------------------------------------------------------------------------------------------------------------------------- S&P 500 Index Futures March 2009 17 $ 3,825,425 $ 153,075
GE INSTITUTIONAL S&P 500 INDEX SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE COMMON STOCK - 100.0% - --------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE - 2.8% Boeing Co. 2,700 $ 115,209 General Dynamics Corp. 1,400 80,626 Goodrich Corp. 500 18,510 Honeywell International, Inc. 2,650 86,999 L-3 Communications Holdings, Inc. 400 29,512 Lockheed Martin Corp. 1,200 100,896 Northrop Grumman Corp. 1,184 53,327 Precision Castparts Corp. 500 29,740 Raytheon Co. 1,500 76,560 Rockwell Collins, Inc. 600 23,454 United Technologies Corp. 3,500 187,600 802,433 AIR FREIGHT & LOGISTICS - 1.1% CH Robinson Worldwide, Inc. 600 33,018 Expeditors International of Washington, Inc. 800 26,616 FedEx Corp. 1,100 70,565 United Parcel Service, Inc. (Class B) 3,600 198,576 328,775 AIRLINES - 0.1% Southwest Airlines Co. 2,950 25,429 AUTO COMPONENTS - 0.2% Goodyear Tire & Rubber Co. 1,000 5,970 (a) Johnson Controls, Inc. 2,100 38,136 44,106 AUTOMOBILES - 0.2% Ford Motor Co. 9,414 21,558 (a) General Motors Corp. 2,412 7,718 Harley-Davidson, Inc. 900 15,273 44,549 BEVERAGES - 2.6% Brown-Forman Corp. (Class B) 325 16,734 Coca-Cola Enterprises, Inc. 1,200 14,436 Constellation Brands, Inc. (Class A) 800 12,616 (a) Dr Pepper Snapple Group, Inc. 1,000 16,250 (a) Molson Coors Brewing Co. (Class B) 500 24,460 Pepsi Bottling Group, Inc. 500 11,255 PepsiCo, Inc. 5,710 312,737 The Coca-Cola Co. 7,300 330,471 (h) 738,959 BIOTECHNOLOGY - 2.2% Amgen, Inc. 3,876 223,839 (a) Biogen Idec, Inc. 1,100 52,393 (a) Celgene Corp. 1,700 93,976 (a) Cephalon, Inc. 240 18,490 (a) Genzyme Corp. 1,000 66,370 (a) Gilead Sciences, Inc. 3,400 173,876 (a) 628,944 BUILDING PRODUCTS - 0.1% Masco Corp. 1,400 15,582 CAPITAL MARKETS - 2.3% American Capital Ltd. 800 2,592 Ameriprise Financial, Inc. 860 20,090 Bank of New York Mellon Corp. 4,241 120,148 Charles Schwab Corp. 3,400 54,978 E*Trade Financial Corp. 2,200 2,530 (a) Federated Investors Inc. (Class B) 300 5,088 Franklin Resources, Inc. 500 31,890 Goldman Sachs Group, Inc. 1,570 132,492 Invesco Ltd. 1,500 21,660 Janus Capital Group, Inc. 600 4,818 Legg Mason, Inc. 600 13,146 Merrill Lynch & Company, Inc. 5,800 67,512 Morgan Stanley 3,900 62,556 Northern Trust Corp. 800 41,712 State Street Corp. 1,600 62,928 (e) T Rowe Price Group, Inc. 1,000 35,440 679,580 CHEMICALS - 1.7% Air Products & Chemicals, Inc. 800 40,216 CF Industries Holdings, Inc. 150 7,374 Dow Chemical Co. 3,394 51,216 E.I. du Pont de Nemours and Co. 3,303 83,566 Eastman Chemical Co. 300 9,513 Ecolab, Inc. 600 21,090 International Flavors & Fragrances Inc. 300 8,916 Monsanto Co. 2,006 141,122 PPG Industries, Inc. 600 25,458 Praxair, Inc. 1,100 65,296 Rohm & Haas Co. 400 24,716 Sigma-Aldrich Corp. 500 21,120 499,603 COMMERCIAL BANKS - 3.2% BB&T Corp. 2,000 54,920 Comerica Inc. 550 10,917 Fifth Third Bancorp 2,319 19,155 First Horizon National Corp. 819 8,651 Huntington Bancshares Inc. 1,478 11,322 Keycorp 1,900 16,188 M&T Bank Corp. 300 17,223 Marshall & Ilsley Corp. 998 13,613 National City Corp. 8,000 14,480 PNC Financial Services Group, Inc. 1,300 63,700 Regions Financial Corp. 2,773 22,073 SunTrust Banks, Inc. 1,300 38,402 US Bancorp. 6,406 160,214 Wachovia Corp. 7,824 43,345 Wells Fargo & Co. 13,900 409,772 Zions Bancorporation 500 12,255 916,230 COMMERCIAL SERVICES & SUPPLIES - 0.6% Avery Dennison Corp. 400 13,092 Cintas Corp. 500 11,615 Pitney Bowes, Inc. 800 20,384 Republic Services, Inc. 1,200 29,748 RR Donnelley & Sons Co. 800 10,864 Stericycle, Inc. 300 15,624 (a) Waste Management, Inc. 1,770 58,658 159,985 COMMUNICATIONS EQUIPMENT - 2.5% Ciena Corp. 357 2,392 (a) Cisco Systems, Inc. 21,500 350,450 (a) Corning Inc. 5,600 53,368 Harris Corp. 500 19,025 JDS Uniphase Corp. 850 3,102 (a) Juniper Networks, Inc. 1,900 33,269 (a) Motorola, Inc. 8,161 36,153 QUALCOMM Inc. 6,100 218,563 Tellabs, Inc. 1,600 6,592 (a) 722,914 COMPUTERS & PERIPHERALS - 4.2% Apple, Inc. 3,304 281,996 (a) Dell, Inc. 6,300 64,512 (a) EMC Corp. 7,462 78,127 (a) Hewlett-Packard Co. 9,028 327,626 International Business Machines Corp. 4,900 412,384 (h) Lexmark International, Inc. (Class A) 300 8,070 (a) NetApp, Inc. 1,300 18,161 (a) QLogic Corp. 500 6,720 (a) SanDisk Corp. 900 8,640 (a) Sun Microsystems, Inc. 2,950 11,269 (a) Teradata Corp. 700 10,381 (a) 1,227,886 CONSTRUCTION & ENGINEERING - 0.2% Fluor Corp. 680 30,512 Jacobs Engineering Group, Inc. 400 19,240 (a) 49,752 CONSTRUCTION MATERIALS - 0.1% Vulcan Materials Co. 400 27,832 CONSUMER FINANCE - 0.5% American Express Co. 4,200 77,910 (h) Capital One Financial Corp. 1,369 43,657 Discover Financial Services 1,850 17,630 SLM Corp. 1,800 16,020 (a) 155,217 CONTAINERS & PACKAGING - 0.1% Ball Corp. 300 12,477 Bemis Company, Inc. 400 9,472 Pactiv Corp. 500 12,440 (a) Sealed Air Corp. 600 8,964 43,353 DISTRIBUTORS - 0.1% Genuine Parts Co. 600 22,716 DIVERSIFIED CONSUMER SERVICES - 0.2% Apollo Group, Inc. (Class A) 400 30,648 (a) H&R Block, Inc. 1,300 29,536 60,184 DIVERSIFIED FINANCIAL SERVICES - 3.4% Bank of America Corp. 18,421 259,368 (h) Citigroup, Inc. 19,913 133,616 Citigroup, Inc. 1,400 6,356 CME Group Inc. 240 49,946 IntercontinentalExchange, Inc. 295 24,320 (a) JP Morgan Chase & Co. 13,667 430,921 Leucadia National Corp. 700 13,860 Moody's Corp. 800 16,072 NYSE Euronext 1,000 27,380 The Nasdaq OMX Group. 500 12,355 (a) 974,194 DIVERSIFIED TELECOMMUNICATION SERVICES - 3.6% AT&T, Inc. 21,631 616,483 (h) CenturyTel, Inc. 400 10,932 Embarq Corp. 535 19,239 Frontier Communications Corp. 1,200 10,488 Qwest Communications International, Inc. 5,817 21,174 Verizon Communications, Inc. 10,466 354,797 Windstream Corp. 1,718 15,806 1,048,919 ELECTRIC UTILITIES - 2.5% Allegheny Energy, Inc. 600 20,316 American Electric Power Company, Inc. 1,540 51,251 Duke Energy Corp. 4,608 69,166 Edison International 1,200 38,544 Entergy Corp. 700 58,191 Exelon Corp. 2,450 136,244 FirstEnergy Corp. 1,131 54,944 FPL Group, Inc. 1,500 75,495 Pepco Holdings, Inc. 900 15,984 Pinnacle West Capital Corp. 400 12,852 PPL Corp. 1,400 42,966 Progress Energy, Inc. 975 38,854 Southern Co. 2,800 103,600 718,407 ELECTRICAL EQUIPMENT - 0.5% Cooper Industries Ltd. 700 20,461 Emerson Electric Co. 2,800 102,508 Rockwell Automation, Inc. 500 16,120 139,089 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.3% Agilent Technologies, Inc. 1,355 21,179 (a) Amphenol Corp. (Class A) 700 16,786 Flir Systems, Inc. 100 3,068 (a) Jabil Circuit, Inc. 800 5,400 Molex Inc. 550 7,969 Tyco Electronics Ltd. 1,641 26,601 81,003 ENERGY EQUIPMENT & SERVICES - 1.6% Baker Hughes Inc. 1,170 37,522 BJ Services Co. 1,100 12,837 Cameron International Corp. 900 18,450 (a) ENSCO International Inc. 500 14,195 Halliburton Co. 3,245 58,994 Nabors Industries Ltd. 1,100 13,167 (a) National Oilwell Varco, Inc. 1,600 39,104 (a) Noble Corp. 1,000 22,090 Rowan Cos. Inc. 400 6,360 Schlumberger Ltd. 4,400 186,252 Smith International, Inc. 800 18,312 Weatherford International Ltd. 2,400 25,968 (a) 453,251 FOOD & STAPLES RETAILING - 3.3% Costco Wholesale Corp. 1,600 84,000 CVS/Caremark Corp. 5,281 151,776 Safeway, Inc. 1,500 35,655 SUPERVALU, Inc. 789 11,519 SYSCO Corp. 2,200 50,468 The Kroger Co. 2,400 63,384 Walgreen Co. 3,600 88,812 Wal-Mart Stores, Inc. 8,200 459,692 Whole Foods Market, Inc. 600 5,664 950,970 FOOD PRODUCTS - 1.8% Archer-Daniels-Midland Co. 2,308 66,540 Campbell Soup Co. 800 24,008 ConAgra Foods, Inc. 1,600 26,400 Dean Foods Co. 600 10,782 (a) General Mills, Inc. 1,200 72,900 HJ Heinz Co. 1,200 45,120 JM Smucker Co. 400 17,344 Kellogg Co. 900 39,465 Kraft Foods, Inc. (Class A) 5,426 145,688 McCormick & Company, Inc. 500 15,930 Ralcorp Holdings, Inc. - - (a) Sara Lee Corp. 2,506 24,534 The Hershey Co. 600 20,844 Tyson Foods, Inc. (Class A) 1,200 10,512 520,067 GAS UTILITIES - 0.1% Equitable Resources, Inc. 500 16,775 Nicor, Inc. 200 6,948 Questar Corp. 600 19,614 43,337 HEALTHCARE EQUIPMENT & SUPPLIES - 2.2% Baxter International, Inc. 2,300 123,257 Becton Dickinson & Co. 900 61,551 Boston Scientific Corp. 5,439 42,098 (a) C.R. Bard, Inc. 400 33,704 Covidien Ltd. 1,841 66,718 DENTSPLY International, Inc. 600 16,944 Hospira, Inc. 600 16,092 (a) Intuitive Surgical, Inc. 140 17,779 (a) Medtronic, Inc. 4,100 128,822 St. Jude Medical, Inc. 1,200 39,552 (a) Stryker Corp. 900 35,955 Varian Medical Systems, Inc. 500 17,520 (a) Zimmer Holdings, Inc. 790 31,932 (a) 631,924 HEALTHCARE PROVIDERS & SERVICES - 2.1% Aetna, Inc. 1,700 48,450 AmerisourceBergen Corp. 544 19,399 Cardinal Health, Inc. 1,375 47,396 Cigna Corp. 1,100 18,535 Coventry Health Care, Inc. 600 8,928 (a) DaVita, Inc. 400 19,828 (a) Express Scripts, Inc. 900 49,482 (a) Humana, Inc. 600 22,368 (a) Laboratory Corporation of America Holdings 400 25,764 (a) McKesson Corp. 1,044 40,434 Medco Health Solutions, Inc. 1,788 74,935 (a) Patterson Companies, Inc. 400 7,500 (a) Quest Diagnostics Inc. 600 31,146 Tenet Healthcare Corp. 1,600 1,840 (a) UnitedHealth Group, Inc. 4,400 117,040 WellPoint, Inc. 1,900 80,047 (a) 613,092 HEALTHCARE TECHNOLOGY - 0.0%* IMS Health Inc. 688 10,430 HOTELS RESTAURANTS & LEISURE - 1.6% Carnival Corp. 1,600 38,912 Darden Restaurants, Inc. 550 15,499 International Game Technology 1,200 14,268 Marriott International, Inc. (Class A) 1,000 19,450 McDonald's Corp. 4,089 254,295 Starbucks Corp. 2,900 27,434 (a) Starwood Hotels & Resorts Worldwide, Inc. 700 12,530 Wyndham Worldwide Corp. 727 4,762 Wynn Resorts Ltd. 200 8,452 (a) Yum! Brands, Inc. 1,700 53,550 449,152 HOUSEHOLD DURABLES - 3.5% Black & Decker Corp. 200 8,362 Centex Corp. 500 5,320 DR Horton, Inc. 1,100 7,777 Fortune Brands, Inc. 600 24,768 Harman International Industries, Inc. 200 3,346 KB Home 300 4,086 Leggett & Platt, Inc. 600 9,114 Lennar Corp. (Class A) 600 5,202 Newell Rubbermaid, Inc. 1,115 10,905 Pulte Homes, Inc. 800 8,744 (a) Snap-On, Inc. 200 7,876 The Stanley Works 300 10,230 Whirlpool Corp. 271 11,206 Clorox Co. 500 27,780 Colgate-Palmolive Co. 1,800 123,372 Kimberly-Clark Corp. 1,500 79,110 Procter & Gamble Co. 10,995 679,711 1,026,909 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.1% Constellation Energy Group, Inc. 700 17,563 Dynegy, Inc. (Class A) 2,000 4,000 (a) The AES Corp. 2,600 21,424 (a) 42,987 INDUSTRIAL CONGLOMERATES - 2.8% 3M Co. 2,500 143,850 General Electric Co. 38,600 625,320 (l) Textron, Inc. 900 12,483 Tyco International Ltd. 1,741 37,606 819,259 INSURANCE - 2.7% Aflac Inc. 1,700 77,928 Allstate Corp. 2,000 65,520 American International Group, Inc. 10,638 16,702 (h) AON Corp. 1,000 45,680 Assurant, Inc. 500 15,000 Chubb Corp. 1,300 66,300 Cincinnati Financial Corp. 638 18,547 Genworth Financial, Inc. (Class A) 1,700 4,811 Hartford Financial Services Group, Inc. 1,200 19,704 Lincoln National Corp. 1,022 19,255 Loews Corp. 1,305 36,866 Marsh & McLennan Companies, Inc. 1,900 46,113 MBIA, Inc. 700 2,849 MetLife, Inc. 2,921 101,826 Principal Financial Group, Inc. 1,000 22,570 Prudential Financial, Inc. 1,500 45,390 The Progressive Corp. 2,400 35,544 Torchmark Corp. 300 13,410 Travelers Companies, Inc. 2,176 98,355 Unum Group 1,146 21,316 XL Capital Ltd. 1,300 4,810 778,496 INTERNET & CATALOG RETAIL - 0.2% Amazon.com, Inc. 1,200 61,536 (a) Expedia, Inc. 800 6,592 (a) 68,128 INTERNET SOFTWARE & SERVICES - 1.4% Akamai Technologies, Inc. 700 10,563 (a) eBay, Inc. 3,900 54,444 (a) Google, Inc. (Class A) 880 270,732 (a) VeriSign, Inc. 800 15,264 (a) Yahoo! Inc. 5,000 61,000 (a) 412,003 IT SERVICES - 1.0% Affiliated Computer Services, Inc. (Class A) 400 18,380 (a) Automatic Data Processing, Inc. 1,900 74,746 Cognizant Technology Solutions Corp. (Class A) 1,100 19,866 (a) Computer Sciences Corp. 600 21,084 (a) Convergys Corp. 500 3,205 (a) Fidelity National Information Services, Inc. 700 11,389 Fiserv, Inc. 600 21,822 (a) Mastercard Inc. (Class A) 280 40,020 Paychex, Inc. 1,200 31,536 Total System Services, Inc. 738 10,332 Western Union Co. 2,550 36,567 288,947 LEISURE EQUIPMENT & PRODUCTS - 0.1% Eastman Kodak Co. 1,100 7,238 Hasbro, Inc. 450 13,126 Mattel, Inc. 1,400 22,400 42,764 LIFE SCIENCES TOOLS & SERVICES - 0.3% Life Technologies Corp. 685 15,967 (a) Millipore Corp. 200 10,304 (a) PerkinElmer, Inc. 500 6,955 Thermo Fisher Scientific, Inc. 1,500 51,105 (a) Waters Corp. 400 14,660 (a) 98,991 MACHINERY - 1.6% Caterpillar, Inc. 2,200 98,274 Cummins, Inc. 800 21,384 Danaher Corp. 900 50,949 Deere & Co. 1,600 61,312 Dover Corp. 700 23,044 Eaton Corp. 600 29,826 Flowserve Corp. 200 10,300 Illinois Tool Works, Inc. 1,400 49,070 Ingersoll-Rand Company Ltd. (Class A) 1,260 21,861 ITT Corp. 700 32,193 PACCAR, Inc. 1,325 37,895 Pall Corp. 500 14,215 Parker Hannifin Corp. 550 23,397 The Manitowoc Company, Inc. 500 4,330 478,050 MEDIA - 2.6% CBS Corp. 2,650 21,703 Comcast Corp. (Class A) 10,588 178,725 DIRECTV Group, Inc. 2,000 45,820 (a) Gannett Company, Inc. 900 7,200 Interpublic Group of Companies, Inc. 1,900 7,524 (a) McGraw-Hill Cos. Inc. 1,200 27,828 Meredith Corp. 100 1,712 New York Times Co. (Class A) 500 3,665 News Corp. (Class A) 8,400 76,356 Omnicom Group, Inc. 1,200 32,304 Scripps Networks Interactive, Inc. (Class A) 400 8,800 The Walt Disney Co. 6,800 154,292 Time Warner, Inc. 13,150 132,289 (h) Viacom, Inc. (Class B) 2,250 42,885 (a) Washington Post Co. (Class B) 20 7,805 748,908 METALS & MINING - 0.7% AK Steel Holding Corp. 400 3,728 Alcoa, Inc. 2,884 32,474 Allegheny Technologies Inc. 400 10,212 Freeport-McMoRan Copper & Gold, Inc. 1,374 33,581 Newmont Mining Corp. 1,700 69,190 Nucor Corp. 1,100 50,820 Titanium Metals Corp. 300 2,643 United States Steel Corp. 380 14,136 216,784 MULTILINE RETAIL - 0.7% Big Lots, Inc. 300 4,347 (a) Family Dollar Stores, Inc. 500 13,035 JC Penney Co. Inc. 900 17,730 Kohl's Corp. 1,100 39,820 (a) Macy's, Inc. 1,682 17,409 Nordstrom, Inc. 600 7,986 Sears Holdings Corp. 229 8,901 (a) Target Corp. 2,700 93,231 202,459 MULTI-UTILITIES - 1.6% Ameren Corp. 800 26,608 Centerpoint Energy, Inc. 1,400 17,668 CMS Energy Corp. 900 9,099 Consolidated Edison, Inc. 1,000 38,930 Dominion Resources, Inc. 2,100 75,264 DTE Energy Co. 600 21,402 Integrys Energy Group, Inc. 294 12,636 NiSource, Inc. 1,047 11,486 PG&E Corp. 1,300 50,323 Public Service Enterprise Group Inc. 1,800 52,506 SCANA Corp. 1,300 46,280 Sempra Energy 850 36,235 TECO Energy, Inc. 800 9,880 Wisconsin Energy Corp. 400 16,792 Xcel Energy, Inc. 1,615 29,958 455,067 OFFICE ELECTRONICS - 0.1% Xerox Corp. 3,400 27,098 OIL, GAS & CONSUMABLE FUELS - 11.7% Anadarko Petroleum Corp. 1,674 64,533 Apache Corp. 1,212 90,330 Cabot Oil & Gas Corp. 400 10,400 Chesapeake Energy Corp. 2,100 33,957 Chevron Corp. 7,514 555,811 ConocoPhillips 5,516 285,729 Consol Energy, Inc. 700 20,006 Devon Energy Corp. 1,628 106,976 El Paso Corp. 2,783 21,791 EOG Resources, Inc. 900 59,922 Exxon Mobil Corp. 18,716 1,494,098 (h) Hess Corp. 1,000 53,640 Marathon Oil Corp. 2,582 70,644 Massey Energy Co. 300 4,137 Murphy Oil Corp. 700 31,045 Noble Energy, Inc. 600 29,532 Occidental Petroleum Corp. 3,000 179,970 Peabody Energy Corp. 900 20,475 Pioneer Natural Resources Co. 500 8,090 Range Resources Corp. 600 20,634 Southwestern Energy Co. 1,200 34,764 (a) Spectra Energy Corp. 2,154 33,904 Sunoco, Inc. 400 17,384 Tesoro Corp. 500 6,585 Valero Energy Corp. 1,900 41,116 Williams Cos. Inc. 2,100 30,408 XTO Energy, Inc. 2,057 72,550 3,398,431 PACKAGING & CONTAINERS - 0.0%* Owens-Illinois, Inc. 200 5,466 (a) PAPER & FOREST PRODUCTS - 0.2% International Paper Co. 1,675 19,765 MeadWestvaco Corp. 700 7,833 Weyerhaeuser Co. 745 22,805 50,403 PERSONAL PRODUCTS - 0.2% Avon Products, Inc. 1,500 36,045 The Estee Lauder Cos. Inc. (Class A) 400 12,384 48,429 PHARMACEUTICALS - 7.9% Abbott Laboratories 5,700 304,209 (h) Allergan, Inc. 1,100 44,352 Bristol-Myers Squibb Co. 7,300 169,725 Eli Lilly & Co. 3,700 148,999 (h) Forest Laboratories, Inc. 1,100 28,017 (a) Johnson & Johnson 10,168 608,351 (h) King Pharmaceuticals, Inc. 966 10,259 (a) Merck & Company, Inc. 7,800 237,120 Mylan, Inc. 1,200 11,868 (a) Pfizer, Inc. 24,769 438,659 (h) Schering-Plough Corp. 5,900 100,477 Watson Pharmaceuticals, Inc. 400 10,628 (a) Wyeth 4,900 183,799 (h) 2,296,463 PROFESSIONAL SERVICES - 0.2% Dun & Bradstreet Corp. 200 15,440 Equifax, Inc. 500 13,260 Monster Worldwide, Inc. 500 6,045 (a) Robert Half International, Inc. 600 12,492 47,237 REAL ESTATE INVESTMENT TRUSTS (REITS) - 1.0% Apartment Investment & Management Co. (Class A) (REIT) 355 4,100 AvalonBay Communities, Inc. (REIT) 300 18,174 Boston Properties, Inc. (REIT) 400 22,000 Developers Diversified Realty Corp. (REIT) 500 2,440 Equity Residential (REIT) 1,000 29,820 HCP, Inc. (REIT) 1,000 27,770 Host Hotels & Resorts, Inc. (REIT) 2,100 15,897 Kimco Realty Corp. (REIT) 900 16,452 Plum Creek Timber Company, Inc. (REIT) 600 20,844 Prologis (REIT) 1,000 13,890 Public Storage (REIT) 500 39,750 Simon Property Group, Inc. (REIT) 800 42,504 Vornado Realty Trust (REIT) 500 30,175 283,816 REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.0%* CB Richard Ellis Group, Inc. (Class A) 900 3,888 (a) ROAD & RAIL - 1.0% Burlington Northern Santa Fe Corp. 1,000 75,710 CSX Corp. 1,400 45,458 Norfolk Southern Corp. 1,300 61,165 Ryder System, Inc. 200 7,756 Union Pacific Corp. 1,890 90,342 280,431 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 2.2% Advanced Micro Devices, Inc. 2,400 5,184 (a) Altera Corp. 1,200 20,052 Analog Devices, Inc. 1,100 20,922 Applied Materials, Inc. 4,900 49,637 Broadcom Corp. (Class A) 1,700 28,849 (a) Intel Corp. 20,400 299,064 (h) Kla-Tencor Corp. 700 15,253 Linear Technology Corp. 900 19,908 LSI Corp. 2,500 8,225 (a) MEMC Electronic Materials, Inc. 900 12,852 (a) Microchip Technology Inc. 700 13,671 Micron Technology, Inc. 3,000 7,920 (a) National Semiconductor Corp. 800 8,056 Novellus Systems, Inc. 400 4,936 (a) Nvidia Corp. 2,100 16,947 (a) Teradyne, Inc. 700 2,954 (a) Texas Instruments Inc. 4,700 72,944 Xilinx, Inc. 1,100 19,602 626,976 SOFTWARE - 3.7% Adobe Systems Inc. 1,900 40,451 (a) Autodesk, Inc. 900 17,685 (a) BMC Software, Inc. 700 18,837 (a) CA, Inc. 1,550 28,721 Citrix Systems, Inc. 700 16,499 (a) Compuware Corp. 1,000 6,750 (a) Electronic Arts, Inc. 1,300 20,852 (a) Intuit, Inc. 1,100 26,169 (a) McAfee, Inc. 600 20,742 (a) Microsoft Corp. 28,100 546,264 (h) Novell, Inc. 1,400 5,446 (a) Oracle Corp. 14,407 255,436 (a) Salesforce.com Inc. 400 12,804 (a) Symantec Corp. 3,059 41,358 (a) 1,058,014 SPECIALTY RETAIL - 1.8% Abercrombie & Fitch Co. (Class A) 300 6,921 AutoNation, Inc. 468 4,624 (a) Autozone, Inc. 150 20,920 (a) Bed Bath & Beyond, Inc. 1,000 25,420 (a) Best Buy Company, Inc. 1,250 35,137 GameStop Corp. (Class A) 600 12,996 (a) Home Depot, Inc. 6,200 142,724 Lowe's Companies, Inc. 5,400 116,208 Ltd Brands, Inc. 1,026 10,301 Office Depot, Inc. 1,100 3,278 (a) RadioShack Corp. 500 5,970 Staples, Inc. 2,550 45,696 The Gap, Inc. 1,862 24,932 The Sherwin-Williams Co. 300 17,925 Tiffany & Co. 500 11,815 TJX Cos. Inc. 1,600 32,912 517,779 TEXTILES APPAREL & LUXURY GOODS - 0.4% Coach, Inc. 1,200 24,924 (a) Jones Apparel Group, Inc. 300 1,758 Nike, Inc. (Class B) 1,400 71,400 Polo Ralph Lauren Corp. (Class A) 200 9,082 VF Corp. 300 16,431 123,595 THRIFTS & MORTGAGE FINANCE - 0.2% Hudson City Bancorp, Inc. 1,900 30,324 People's United Financial, Inc. 1,200 21,396 Sovereign Bancorp, Inc. 2,165 6,452 Washington Mutual, Inc. 17,314 372 58,544 TOBACCO - 1.8% Altria Group, Inc. 7,500 112,950 (h) Lorillard, Inc. 616 34,712 Philip Morris International, Inc. 7,400 321,974 Reynolds American Inc. 600 24,186 UST, Inc. 540 37,465 531,287 TRADING COMPANIES & DISTRIBUTORS - 0.1% Fastenal Co. 500 17,425 WW Grainger, Inc. 200 15,768 33,193 WIRELESS TELECOMMUNICATION SERVICES - 0.2% American Tower Corp. (Class A) 1,400 41,048 (a) Sprint Nextel Corp. (Series 1) 11,201 20,498 61,546 TOTAL COMMON STOCK 28,960,212 (COST $43,883,271) - ----------------------------------------------------------------------------------------------------------------------- OTHER INVESTMENTS - 0.1% - ----------------------------------------------------------------------------------------------------------------------- GEI Investment Fund 28,743 (k) (COST $52,259) TOTAL INVESTMENTS IN SECURITIES 28,988,955 (COST $43,935,530) - ----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 24.7% - ----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 0.0%* GE Money Market Fund Institutional Class 1.02% 1,000 (d,n) PRINCIPAL AMOUNT - ----------------------------------------------------------------------------------- Money Market Obligation Trust 1.68% 12/31/30 $ 10,601 10,601 1.83% 12/31/30 20 20 10,621 U.S. GOVERNMENT - 24.7% U.S. Treasury Bill 0.01% 03/12/09 297,000 296,971 2.50% 06/11/09 6,875,000 6,872,305 7,169,276 TOTAL SHORT-TERM INVESTMENTS 7,180,897 (COST $7,183,311) TOTAL INVESTMENTS 36,169,852 (COST $51,118,841) LIABILITIES IN EXCESS OTHER ASSETS, NET - (24.8)% (7,196,657) ----------- NET ASSETS - 100.0% $28,973,195 =========== - ----------------------------------------------------------------------------------------------------------------------- OTHER INFORMATION - -----------------------------------------------------------------------------------------------------------------------
The GE Institutional S&P 500 Index had the following long futures contracts open at December 31, 2008 (unaudited);
CURRENT EXPIRATION NUMBER OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ----------------------------------------------------------------------------------------------------------------------- S&P 500 E mini Index Futures March 2009 30 $ 1,350,150 $ 49,935
GE INSTITUTIONAL CORE VALUE EQUITY SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE COMMON STOCK - 99.1% - -------------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE - 1.4% Honeywell International, Inc. 14,079 $ 462,214 Rockwell Collins, Inc. 18,772 733,797 1,196,011 BEVERAGES - 4.0% Pepsi Bottling Group, Inc. 55,576 1,251,016 PepsiCo, Inc. 38,780 2,123,981 (h) 3,374,997 BIOTECHNOLOGY - 1.5% Amgen, Inc. 22,230 1,283,782 (a) CAPITAL MARKETS - 3.1% Ameriprise Financial, Inc. 35,816 836,662 Bank of New York Mellon Corp. 48,166 1,364,543 Charles Schwab Corp. 13,585 219,669 State Street Corp. 3,211 126,289 (e) 2,547,163 COMMERCIAL BANKS - 2.0% Lloyds TSB Group PLC ADR 19,761 152,160 US Bancorp. 24,700 617,747 Wells Fargo & Co. 30,876 910,224 1,680,131 COMMUNICATIONS EQUIPMENT - 1.2% Cisco Systems, Inc. 44,461 724,714 (a,h) Corning Inc. 33,346 317,787 1,042,501 COMPUTERS & PERIPHERALS - 3.6% Dell, Inc. 35,816 366,756 (a) Hewlett-Packard Co. 41,497 1,505,926 International Business Machines Corp. 13,338 1,122,526 (h) 2,995,208 DIVERSIFIED FINANCIAL SERVICES - 3.9% Bank of America Corp. 62,986 886,843 Citigroup, Inc. 69,161 464,070 JP Morgan Chase & Co. 60,516 1,908,069 3,258,982 DIVERSIFIED TELECOMMUNICATION SERVICES - 2.4% AT&T, Inc. 23,465 668,752 Verizon Communications, Inc. 38,780 1,314,642 1,983,394 ELECTRIC UTILITIES - 3.4% American Electric Power Company, Inc. 46,190 1,537,203 Edison International 41,003 1,317,016 2,854,219 ELECTRICAL EQUIPMENT - 1.1% ABB Ltd. ADR 59,281 889,808 ENERGY EQUIPMENT & SERVICES - 2.5% Halliburton Co. 35,322 642,154 Nabors Industries Ltd. 9,880 118,264 (a) National Oilwell Varco, Inc. 10,621 259,577 (a) Schlumberger Ltd. 12,597 533,231 Transocean Ltd. 12,103 571,867 (a) 2,125,093 FOOD & STAPLES RETAILING - 1.0% Wal-Mart Stores, Inc. 14,820 830,809 FOOD PRODUCTS - 6.8% Archer-Daniels-Midland Co. 8,645 249,235 Kraft Foods, Inc. (Class A) 27,170 729,514 McCormick & Company, Inc. 31,617 1,007,318 Nestle S.A. ADR 21,489 853,113 2,839,180 HEALTHCARE EQUIPMENT & SUPPLIES - 1.3% Boston Scientific Corp. 109,917 850,758 (a) Covidien Ltd. 6,193 224,434 1,075,192 HEALTHCARE PROVIDERS & SERVICES - 2.1% Cardinal Health, Inc. 26,923 928,036 McKesson Corp. 20,763 804,151 1,732,187 HOTELS RESTAURANTS & LEISURE - 0.4% Darden Restaurants, Inc. 11,115 313,221 HOUSEHOLD PRODUCTS - 3.8% Clorox Co. 25,688 1,427,225 (h) Colgate-Palmolive Co. 3,211 220,082 Kimberly-Clark Corp. 20,995 1,107,276 Procter & Gamble Co. 6,669 412,278 3,166,861 INDUSTRIAL CONGLOMERATES - 0.7% Textron, Inc. 44,461 616,674 INSURANCE - 6.4% ACE Ltd. 29,641 1,568,602 AON Corp. 20,748 947,769 Chubb Corp. 19,760 1,007,760 Marsh & McLennan Companies, Inc. 11,362 275,756 MetLife, Inc. 25,935 904,094 Prudential Financial, Inc. 3,211 97,165 Travelers Companies, Inc. 12,350 558,220 5,359,366 IT SERVICES - 1.5% Affiliated Computer Services, Inc. (Class A) 16,796 771,776 (a) Western Union Co. 35,816 513,601 1,285,377 LIFE SCIENCES TOOLS & SERVICES - 0.3% Thermo Fisher Scientific, Inc. 6,669 227,213 (a) MACHINERY - 2.3% Deere & Co. 22,477 861,319 Eaton Corp. 11,856 589,362 (h) ITT Corp. 9,880 454,381 1,905,062 MEDIA - 6.6% Comcast Corp. (Class A) 90,898 1,468,003 Omnicom Group, Inc. 60,763 1,635,740 The Walt Disney Co. 20,501 465,168 Time Warner, Inc. 153,143 1,540,619 (h) Viacom, Inc. (Class B) 22,230 423,704 (a) 5,533,234 METALS & MINING - 3.2% Allegheny Technologies Inc. 19,760 504,473 Barrick Gold Corp. 47,672 1,752,899 (h) Freeport-McMoRan Copper & Gold, Inc. 15,808 386,347 2,643,719 MULTI-UTILITIES - 1.7% Dominion Resources, Inc. 39,516 1,416,253 OIL, GAS & CONSUMABLE FUELS - 8.5% Apache Corp. 3,458 257,725 Chevron Corp. 3,705 274,059 ConocoPhillips 4,199 217,508 Devon Energy Corp. 10,621 697,906 Exxon Mobil Corp. 43,720 3,490,168 (h) Hess Corp. 5,928 317,978 Marathon Oil Corp. 44,955 1,229,969 Occidental Petroleum Corp. 4,940 296,351 Valero Energy Corp. 14,326 310,015 7,091,679 PERSONAL PRODUCTS - 0.7% The Estee Lauder Cos. Inc. (Class A) 19,760 611,770 PHARMACEUTICALS - 9.4% Abbott Laboratories 12,874 687,085 Bristol-Myers Squibb Co. 94,356 2,193,777 Johnson & Johnson 5,434 325,116 (h) Merck & Company, Inc. 19,266 585,686 Pfizer, Inc. 138,322 2,449,683 Wyeth 43,720 1,639,937 7,881,284 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.9% Analog Devices, Inc. 16,549 314,762 (h) Intel Corp. 114,363 1,676,562 Kla-Tencor Corp. 14,079 306,781 Lam Research Corp. 24,700 525,616 (a) MEMC Electronic Materials, Inc. 13,338 190,467 (a) Microchip Technology Inc. 13,585 265,315 National Semiconductor Corp. 23,465 236,293 Taiwan Semiconductor Manufacturing Company Ltd. ADR 74,101 585,398 Texas Instruments Inc. 52,612 816,538 4,917,732 SOFTWARE - 3.9% Microsoft Corp. 127,701 2,482,507 (h) Oracle Corp. 44,461 788,293 (a,h) 3,270,800 SPECIALTY RETAIL - 1.4% Bed Bath & Beyond, Inc. 34,581 879,049 (a) Lowe's Companies, Inc. 12,350 265,772 1,144,821 TOBACCO - 0.6% Altria Group, Inc. 32,111 483,592 WIRELESS TELECOMMUNICATION SERVICES - 0.5% Vodafone Group PLC ADR 22,230 454,381 TOTAL COMMON STOCK 80,031,696 (COST $97,622,782) - --------------------------------------------------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS - 2.2% - --------------------------------------------------------------------------------------------------------------------------- Financial Select Sector SPDR Fund 29,316 369,968 (m) Industrial Select Sector SPDR Fund 61,448 1,442,799 (m,h) TOTAL EXCHANGE TRADED FUNDS 1,812,767 (COST $2,454,316) - --------------------------------------------------------------------------------------------------------------------------- OTHER INVESTMENTS - 0.0%* - --------------------------------------------------------------------------------------------------------------------------- GEI Investment Fund 20,637 (k) (COST $37,522) TOTAL INVESTMENTS IN SECURITIES 81,865,100 (COST $100,114,620) - --------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 1.9% - --------------------------------------------------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% 1,602,862 (d,n) (COST $1,602,862) TOTAL INVESTMENTS 83,467,962 (COST $101,717,482) LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (3.2)% 174,838 ------------ NET ASSETS - 100.0% $ 83,642,800 ============ - --------------------------------------------------------------------------------------------------------------------------- OTHER INFORMATION - ---------------------------------------------------------------------------------------------------------------------------
The GE Institutional Core Value Equity had the following long futures contracts open at December 31, 2008 (unaudited):
CURRENT EXPIRATION NUMBER OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ---------------------------------------------------------------------------------------------------------------------------- S&P 500 Index Futures March 2009 4 $ 900,100 $ 35,600
GE INSTITUTIONAL SMALL-CAP EQUITY SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE COMMON STOCK - 93.6% - ------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE - 1.7% DynCorp International, Inc. (Class A) 31,400 476,338 (a) Esterline Technologies Corp. 23,434 887,914 (a) Stanley Inc. 37,204 1,347,529 (a) Teledyne Technologies Inc. 115,995 5,167,577 (a) 7,879,358 AIR FREIGHT & LOGISTICS - 0.5% Forward Air Corp. 47,073 1,142,462 UTI Worldwide, Inc. 88,000 1,261,920 2,404,382 AUTO COMPONENTS - 0.2% Exide Technologies 91,665 484,908 (a) Wonder Auto Technology, Inc. 135,307 530,403 (a) 1,015,311 BEVERAGES - 0.4% Central European Distribution Corp. 86,577 1,705,567 (a) BIOTECHNOLOGY - 1.4% Alexion Pharmaceuticals, Inc. 10,000 361,900 (a) Alkermes, Inc. 85,983 915,719 (a) Cubist Pharmaceuticals, Inc. 98,097 2,370,024 (a) Facet Biotech Corp. 15,415 147,826 (a) Martek Biosciences Corp. 24,870 753,810 OSI Pharmaceuticals, Inc. 30,566 1,193,602 (a) PDL BioPharma, Inc. 77,073 476,311 6,219,192 BUILDING PRODUCTS - 0.3% Insteel Industries, Inc. 61,417 693,398 NCI Building Systems, Inc. 35,300 575,390 (a) 1,268,788 CAPITAL MARKETS - 1.9% Affiliated Managers Group, Inc. 45,450 1,905,264 (a) GFI Group, Inc. 256,422 907,734 Raymond James Financial, Inc. 211,499 3,622,978 Waddell & Reed Financial, Inc. (Class A) 146,500 2,264,890 8,700,866 CHEMICALS - 2.4% Arch Chemicals, Inc. 93,587 2,439,813 Koppers Holdings, Inc. 80,530 1,741,059 NewMarket Corp. 22,275 777,620 Sensient Technologies Corp. 214,351 5,118,702 Terra Industries, Inc. 47,149 785,974 10,863,168 COMMERCIAL BANKS - 3.1% Cullen/Frost Bankers, Inc. 100,495 5,093,087 Fulton Financial Corp. 142,600 1,371,812 Independent Bank Corp. 17,700 463,032 Sandy Spring Bancorp, Inc. 49,173 1,073,447 Sterling Bancorp 71,188 998,768 SVB Financial Group 62,300 1,634,129 (a) Westamerica Bancorporation 52,500 2,685,375 Wilmington Trust Corp. 29,000 644,960 13,964,610 COMMERCIAL SERVICES & SUPPLIES - 3.3% ABM Industries Inc. 220,500 4,200,525 ATC Technology Corp. 8,000 117,040 (a) Comfort Systems USA, Inc. 81,050 863,993 Healthcare Services Group 108,828 1,733,630 Herman Miller, Inc. 71,535 932,101 Mcgrath Rentcorp. 12,763 272,618 Ritchie Bros Auctioneers Inc. 70,000 1,499,400 Schawk, Inc. (Class A) 117,000 1,340,820 Waste Connections, Inc. 134,500 4,246,165 (a) 15,206,292 COMMUNICATIONS EQUIPMENT - 1.2% BigBand Networks, Inc. 97,458 537,968 (a) Cogo Group, Inc. 78,426 381,150 (a) CommScope, Inc. 101,491 1,577,170 (a) Comtech Telecommunications Corp. 6,381 292,377 (a) Digi International, Inc. 43,700 354,407 (a) Oplink Communications, Inc. 33,300 286,380 (a) PC-Tel Inc. 100,768 662,046 Starent Networks Corp. 48,599 579,786 (a) Viasat Inc. 36,958 889,949 (a) 5,561,233 COMPUTERS & PERIPHERALS - 0.0%* Super Micro Computer, Inc. 37,534 237,590 (a) CONSTRUCTION & ENGINEERING - 1.8% Aecom Technology Corp. 22,200 682,206 (a) Chicago Bridge & Iron Co N.V. 106,350 1,068,817 EMCOR Group, Inc. 11,200 251,216 (a) Michael Baker Corp. 17,378 641,422 (a) Quanta Services, Inc. 152,787 3,025,183 (a) URS Corp. 65,295 2,662,077 (a) 8,330,921 CONSUMER FINANCE - 0.3% Cash America International, Inc. 14,700 402,045 Ezcorp Inc. (Class A) 36,200 550,602 (a) First Cash Financial Services, Inc. 25,100 478,406 (a) 1,431,053 CONTAINERS & PACKAGING - 1.4% Aptargroup, Inc. 103,000 3,629,720 Greif, Inc. (Class A) 17,700 591,711 Packaging Corporation of America 179,408 2,414,832 6,636,263 DISTRIBUTORS - 0.8% LKQ Corp. 318,800 3,717,208 (a) DIVERSIFIED CONSUMER SERVICES - 1.2% K12, Inc. 52,000 991,640 (a) Matthews International Corp. (Class A) 59,000 2,164,120 Pre-Paid Legal Services, Inc. 7,000 261,030 (a) Stewart Enterprises, Inc. (Class A) 530,000 1,595,300 Universal Technical Institute, Inc. 18,611 319,551 (a) 5,331,641 DIVERSIFIED FINANCIAL SERVICES - 0.3% MSCI Inc. (Class A) 87,500 1,554,000 (a) ELECTRIC UTILITIES - 0.9% Idacorp, Inc. 140,526 4,138,491 ELECTRICAL EQUIPMENT - 1.1% Baldor Electric Co. 73,200 1,306,620 Brady Corp. (Class A) 44,000 1,053,800 GrafTech International Ltd. 57,800 480,896 (a) Woodward Governor Co. 93,253 2,146,684 4,988,000 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 2.7% Anixter International, Inc. 15,963 480,806 (a) Benchmark Electronics, Inc. 62,766 801,522 (a) CPI International, Inc. 15,687 135,849 (a) FARO Technologies, Inc. 82,000 1,382,520 (a) Mettler Toledo International, Inc. 36,900 2,487,060 (a) National Instruments Corp. 111,500 2,716,140 Newport Corp. 250,644 1,699,366 (a) Plexus Corp. 45,061 763,784 (a) Trimble Navigation Ltd. 79,000 1,707,190 (a) 12,174,237 ENERGY EQUIPMENT & SERVICES - 2.9% Atwood Oceanics, Inc. 25,234 385,576 (a) Cal Dive International, Inc. 117,000 761,670 (a) Dril-Quip, Inc. 101,565 2,083,098 (a) Gulf Island Fabrication, Inc. 15,400 221,914 Gulfmark Offshore, Inc. 14,700 349,713 (a) Helix Energy Solutions Group, Inc. 40,600 293,944 (a) HIS, Inc. (Class A) 11,500 430,330 (a) Lufkin Industries, Inc. 10,233 353,038 NATCO Group, Inc. (Class A) 51,874 787,447 (a) Oceaneering International, Inc. 53,000 1,544,420 (a) Oil States International, Inc. 170,700 3,190,383 (a) PHI, Inc. 26,857 376,267 (a) Pioneer Drilling Co. 154,700 861,679 (a) RPC, Inc. 41,817 408,134 Superior Energy Services, Inc. 73,000 1,162,890 (a) T-3 Energy Services, Inc. 23,836 225,012 (a) 13,435,515 FOOD & STAPLES RETAILING - 0.2% Spartan Stores, Inc. 45,100 1,048,575 FOOD PRODUCTS - 4.4% American Dairy Inc. 25,052 376,782 (a) Darling International, Inc. 369,850 2,030,476 (a) Del Monte Foods Co. 321,500 2,295,510 Hain Celestial Group, Inc. 128,500 2,453,065 (a) Lancaster Colony Corp. 100,000 3,430,000 Lance, Inc. 88,500 2,030,190 Ralcorp Holdings, Inc. 56,900 3,322,960 (a) Smithfield Foods, Inc. 284,023 3,996,204 (a) 19,935,187 HEALTHCARE EQUIPMENT & SUPPLIES - 6.1% American Medical Systems Holdings, Inc. 235,000 2,112,650 (a) Analogic Corp. 5,197 141,774 Angiodynamics, Inc. 71,700 981,573 (a) Arthrocare Corp. 19,200 91,584 (a) Conmed Corp. 36,957 884,751 (a) ev3, Inc. 147,000 896,700 (a) Gen-Probe Inc. 29,500 1,263,780 (a) Greatbatch, Inc. 43,500 1,151,010 (a) Haemonetics Corp. 14,113 797,385 (a) Immucor, Inc. 97,900 2,602,182 (a) Integra LifeSciences Holdings Corp. 67,500 2,400,975 (a) Masimo Corp. 36,131 1,077,788 (a) Medical Action Industries, Inc. 221,704 2,217,040 (a) Meridian Bioscience Inc. 29,000 738,630 NuVasive, Inc. 29,500 1,022,175 (a) SonoSite, Inc. 46,500 887,220 (a) STERIS Corp. 21,062 503,171 SurModics, Inc. 29,500 745,465 (a) Teleflex Inc. 44,000 2,204,400 Thoratec Corp. 40,688 1,321,953 (a) West Pharmaceutical Services, Inc. 98,400 3,716,568 Zoll Medical Corp. 8,200 154,898 (a) 27,913,672 HEALTHCARE PROVIDERS & SERVICES - 4.4% Amedisys, Inc. 23,759 982,197 (a) AMN Healthcare Services, Inc. 140,526 1,188,850 (a) athenahealth, Inc. 29,000 1,090,980 (a) Bio-Reference Laboratories, Inc. 36,600 960,018 (a) Chemed Corp. 19,430 772,731 Corvel Corp. 5,305 116,604 (a) Healthways, Inc. 183,474 2,106,282 (a) HMS Holdings Corp. 72,520 2,285,830 (a) inVentiv Health, Inc. 94,800 1,093,992 (a) Mednax, Inc. 84,700 2,684,990 Molina Healthcare, Inc. 146,446 2,578,914 (a) National Healthcare Corp. 7,071 358,075 Owens & Minor, Inc. 55,300 2,082,045 Sun Healthcare Group Inc. 55,482 491,016 (a) VCA Antech, Inc. 59,000 1,172,920 (a) 19,965,444 HEALTHCARE TECHNOLOGY - 1.3% Allscripts-Misys Healthcare Solutions, Inc. 40,800 404,736 Computer Programs & Systems, Inc. 146,900 3,936,920 Eclipsys Corp. 14,556 206,550 (a) MedAssets, Inc. 75,500 1,102,300 (a) Phase Forward Inc. 43,210 540,989 (a) 6,191,495 HOTELS RESTAURANTS & LEISURE - 0.9% Cracker Barrel Old Country Store, Inc. 80,919 1,666,122 Denny's Corp. 361,251 718,889 (a) Shuffle Master, Inc. 101,300 502,448 (a) Wendy's/Arby's Group Inc. 254,153 1,255,516 4,142,975 HOUSEHOLD DURABLES - 0.2% Jarden Corp. 86,885 999,177 (a) HOUSEHOLD PRODUCTS - 0.4% WD-40 Co. 82,000 2,319,780 INSURANCE - 4.1% Alleghany Corp. 1,400 394,800 (a) Amtrust Financial Services, Inc. 19,500 226,200 Argo Group International Holdings Ltd. 61,100 2,072,512 (a) Arthur J Gallagher & Co. 49,500 1,282,545 Employers Holdings, Inc. 36,300 598,950 First Mercury Financial Corp. 163,200 2,327,232 (a) HCC Insurance Holdings, Inc. 250,435 6,699,136 National Interstate Corp. 58,500 1,045,395 Navigators Group, Inc. 73,600 4,041,376 (a) 18,688,146 INTERNET & CATALOG RETAIL - 0.1% priceline.com Inc. 8,600 633,390 (a) INTERNET SOFTWARE & SERVICES - 1.8% AsiaInfo Holdings, Inc. 31,300 370,592 (a) comScore, Inc. 87,500 1,115,625 (a) Constant Contact, Inc. 73,000 967,250 (a) Internet Capital Group Inc. 91,100 496,495 (a) Interwoven, Inc. 87,000 1,096,200 (a) j2 Global Communications, Inc. 37,922 759,957 (a) NIC, Inc. 117,500 540,500 Omniture, Inc. 88,000 936,320 (a) S1 Corp. 41,800 329,802 (a) Vignette Corp. 62,688 589,894 (a) Vocus, Inc. 47,800 870,438 (a) 8,073,073 IT SERVICES - 1.8% CSG Systems International, Inc. 17,366 303,384 (a) Euronet Worldwide, Inc. 162,000 1,880,820 (a) Global Cash Access Holdings, Inc. 293,040 650,549 (a) Hackett Group, Inc. 168,038 490,671 (a) iGate Corp. 159,958 1,041,327 (a) Mastech Holdings, Inc. 1,340 3,189 (a) Metavante Technologies, Inc. 5,000 80,550 (a) NeuStar, Inc. (Class A) 88,000 1,683,440 (a) Sapient Corp. 44,078 195,706 (a) SRA International, Inc. (Class A) 22,792 393,162 (a) VeriFone Holdings, Inc. 41,400 202,860 (a) Virtusa Corp. 36,328 204,890 (a) Wright Express Corp. 88,000 1,108,800 (a) 8,239,348 LEISURE EQUIPMENT & PRODUCTS - 0.5% Polaris Industries, Inc. 74,520 2,134,998 LIFE SCIENCES TOOLS & SERVICES - 3.0% Bio-Rad Laboratories, Inc. (Class A) 51,200 3,855,872 (a) Bruker Corp. 261,018 1,054,513 (a) Dionex Corp. 35,000 1,569,750 (a) Luminex Corp. 73,000 1,559,280 (a) Techne Corp. 23,500 1,516,220 Varian, Inc. 122,881 4,117,742 (a) 13,673,377 MACHINERY - 6.3% Actuant Corp (Class A) 58,500 1,112,670 AGCO Corp. 96,450 2,275,256 (a) American Railcar Industries, Inc. 9,347 98,424 Bucyrus International, Inc. (Class A) 17,189 318,340 Cascade Corp. 83,060 2,480,172 Chart Industries, Inc. 28,285 300,670 (a) CIRCOR International, Inc. 18,781 516,477 Clarcor, Inc. 44,000 1,459,920 Harsco Corp. 91,500 2,532,720 IDEX Corp. 122,500 2,958,375 Kaydon Corp. 73,000 2,507,550 Kennametal Inc. 87,500 1,941,625 Lincoln Electric Holdings, Inc. 10,500 534,765 Mueller Industries, Inc. 104,000 2,608,320 Nordson Corp. 53,450 1,725,901 Oshkosh Corp. 53,800 478,282 RBC Bearings Inc. 90,000 1,825,200 (a) Robbins & Myers, Inc. 22,000 355,740 The Manitowoc Company, Inc. 21,149 183,150 Trinity Industries Inc 149,400 2,354,544 28,568,101 MARINE - 0.1% TBS International Ltd. 25,245 253,207 (a) MEDIA - 2.8% Arbitron, Inc. 151,848 2,016,541 Interactive Data Corp. 321,177 7,920,225 John Wiley & Sons, Inc. (Class A) 66,200 2,355,396 Morningstar, Inc. 20,500 727,750 (a) 13,019,912 METALS & MINING - 1.4% Commercial Metals Co. 159,490 1,893,146 Compass Minerals International, Inc. 70,960 4,162,514 Olympic Steel, Inc. 21,500 437,955 6,493,615 MULTI-UTILITIES - 0.5% OGE Energy Corp. 81,250 2,094,625 OFFICE ELECTRONICS - 0.3% Zebra Technologies Corp. (Class A) 60,199 1,219,632 (a) OIL, GAS & CONSUMABLE FUELS - 3.5% Clayton Williams Energy, Inc. 6,930 314,899 (a) Comstock Resources, Inc. 35,000 1,653,750 (a) Concho Resources, Inc. 18,900 431,298 (a) CVR Energy, Inc. 56,680 226,720 (a) Encore Acquisition Co. 52,500 1,339,800 (a) Goodrich Petroleum Corp. 35,000 1,048,250 (a) James River Coal Co. 158,000 2,422,140 (a) Petroleum Development Corp. 4,444 106,967 (a) Petroquest Energy, Inc. 242,400 1,638,624 (a) Plains Exploration & Production Co. 58,500 1,359,540 (a) Ship Finance International Ltd. 34,100 376,805 St. Mary Land & Exploration Co. 84,368 1,713,514 USEC, Inc. 401,682 1,803,552 (a) Whiting Petroleum Corp. 44,000 1,472,240 (a) 15,908,099 PERSONAL PRODUCTS - 1.1% Alberto-Culver Co. 23,500 575,985 American Oriental Bioengineering, Inc. 122,067 828,835 (a) Bare Escentuals, Inc. 176,500 923,095 (a) Chattem, Inc. 35,200 2,517,856 (a) 4,845,771 PHARMACEUTICALS - 0.3% KV Pharmaceutical Co. (Class A) 13,300 38,304 (a) Obagi Medical Products, Inc. 60,503 451,352 (a) The Medicines Co. 50,673 746,413 (a) 1,236,069 PROFESSIONAL SERVICES - 1.2% Administaff, Inc. 88,000 1,907,840 CoStar Group, Inc. 49,500 1,630,530 (a) First Advantage Corp. (Class A) 67,200 950,880 (a) Hudson Highland Group, Inc. 47,272 158,361 (a) Kforce, Inc. 76,350 586,368 (a) LECG Corp. 31,500 211,365 (a) Spherion Corp. 123,159 272,181 (a) 5,717,525 REAL ESTATE INVESTMENT TRUSTS (REITS) - 3.8% BioMed Realty Trust, Inc. (REIT) 244,903 2,870,263 Digital Realty Trust, Inc. (REIT) 88,238 2,898,618 Federal Realty Investment Trust (REIT) 38,615 2,397,219 Healthcare Realty Trust Inc. (REIT) 161,000 3,780,280 Omega Healthcare Investors, Inc. (REIT) 331,705 5,297,329 17,243,709 REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.3% FirstService Corp. 88,000 1,151,040 (a) ROAD & RAIL - 2.1% Genesee & Wyoming, Inc. (Class A) 160,587 4,897,904 (a) Landstar System, Inc. 43,500 1,671,705 Old Dominion Freight Line, Inc. 109,163 3,106,779 (a) 9,676,388 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.6% Ceva, Inc. 37,270 260,890 (a) Hittite Microwave Corp. 61,600 1,814,736 (a) IXYS Corp. 95,824 791,506 Microsemi Corp. 37,000 467,680 (a) MIPS Technologies Inc. 233,500 259,185 (a) Omnivision Technologies, Inc. 51,084 268,191 (a) Rudolph Technologies, Inc. 184,889 652,658 (a) Semtech Corp. 169,645 1,911,899 (a) Silicon Image, Inc. 73,247 307,637 (a) Varian Semiconductor Equipment Associates, Inc. 21,608 391,537 (a) 7,125,919 SOFTWARE - 4.7% ACI Worldwide, Inc. 32,900 523,110 (a) Blackbaud, Inc. 294,930 3,981,555 Blackboard, Inc. 79,500 2,085,285 (a) Concur Technologies, Inc. 52,500 1,723,050 (a) Factset Research Systems, Inc. 59,000 2,610,160 Jack Henry & Associates, Inc. 59,200 1,149,072 Micros Systems Inc. 165,194 2,695,966 (a) NetSuite, Inc. 102,500 865,100 (a) Opnet Technologies, Inc. 36,981 364,633 (a) Parametric Technology Corp. 236,155 2,987,361 (a) Pegasystems, Inc. 35,600 440,016 Solera Holdings, Inc. 52,600 1,267,660 (a) Taleo Corp. (Class A) 58,500 458,055 (a) Vasco Data Security International, Inc. 19,149 197,809 (a) 21,348,832 SPECIALTY RETAIL - 3.0% Aaron Rents, Inc. 163,129 4,342,494 Aeropostale, Inc. 145,346 2,340,071 (a) American Eagle Outfitters, Inc. 125,961 1,178,995 Systemax, Inc. 30,761 331,296 The Buckle, Inc. 121,618 2,653,705 The Wet Seal, Inc. (Class A) 165,473 491,455 (a) Tractor Supply Co. 67,277 2,431,391 (a) 13,769,407 TEXTILES APPAREL & LUXURY GOODS - 0.9% Columbia Sportswear Co. 53,028 1,875,600 Deckers Outdoor Corp. 6,559 523,867 (a) Fossil, Inc. 22,000 367,400 (a) Skechers U.S.A. Inc. (Class A) 40,900 524,338 (a) True Religion Apparel, Inc. 15,000 186,600 (a) Wolverine World Wide, Inc. 21,000 441,840 3,919,645 THRIFTS & MORTGAGE FINANCE - 0.3% Washington Federal, Inc. 100,932 1,509,943 TRADING COMPANIES & DISTRIBUTORS - 0.4% Applied Industrial Technologies, Inc. 46,871 886,799 Kaman Corp. 21,500 389,795 TAL International Group, Inc. 32,400 456,840 1,733,434 TOTAL COMMON STOCK 427,557,196 (COST $610,438,670) - ------------------------------------------------------------------------------------------------------------------- OTHER INVESTMENTS - 0.1% - ------------------------------------------------------------------------------------------------------------------- GEI Investment Fund 77,141 (k) (COST $140,257) TOTAL INVESTMENTS IN SECURITIES 427,634,337 (COST $610,578,927) - ------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 7.0% - ------------------------------------------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% 32,057,510 (d,n) (COST $32,057,510) TOTAL INVESTMENTS 459,691,847 (COST $642,636,437) LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.7)% (3,128,748) ------------ NET ASSETS - 100.0% $456,563,099 ============ - ------------------------------------------------------------------------------------------------------------------- OTHER INFORMATION - ------------------------------------------------------------------------------------------------------------------- The GE Institutional Small-Cap Equity had the following written option open at December 31, 2008 (unaudited): DESCRIPTION EXPIRATION STRIKE NO.OF DATE PRICE CONTRACTS VALUE - ------------------------------------------------------------------------------------------------------------------- Call Cullen Frost January 2009 3.3 $ (1,000) $ (5,000)
GE INSTITUTIONAL INTERNATIONAL EQUITY SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE COMMON STOCK - 95.1% - ------------------------------------------------------------------------------------------------------------------------------- AUSTRALIA - 2.1% Brambles Ltd. 5,197,534 $ 26,888,001 Paladin Energy Ltd. 4,411,217 7,627,239 (a) 34,515,240 BRAZIL - 1.1% Cia Vale do Rio Doce ADR 1,101,616 11,732,210 Petroleo Brasileiro S.A. ADR 281,062 5,736,475 17,468,685 CANADA - 0.7% Cameco Corp. 159,616 2,721,682 Potash Corporation of Saskatchewan 120,934 8,771,526 11,493,208 DENMARK - 0.5% Group 4 Securicor PLC 2,631,958 7,471,219 FINLAND - 1.6% Nokia Oyj 1,658,871 25,595,627 FRANCE - 17.3% Alstom S.A. 87,510 5,106,582 AXA S.A. 547,123 12,050,564 BNP Paribas 687,268 28,898,924 (h) Cie Generale d'Optique Essilor International S.A. 536,362 25,028,770 Credit Agricole S.A. 1,486,640 16,532,022 France Telecom S.A. 440,340 12,217,401 GDF Suez 472,432 23,198,059 Groupe Danone 743,622 44,633,921 Total S.A. 611,760 33,088,149 Unibail-Rodamco (REIT) 56,349 8,341,919 Veolia Environnement 1,125,632 34,735,982 Vinci S.A. 311,140 12,974,997 Vivendi 737,312 23,844,297 280,651,587 GERMANY - 8.5% Adidas AG 391,329 14,763,252 Bayer AG 498,593 28,797,009 E.ON AG 718,435 28,401,890 (h) Linde AG 221,993 18,468,584 Metro AG 425,835 16,911,486 RWE AG 63,591 5,630,737 Siemens AG (Regd.) 344,285 25,211,230 138,184,188 GREECE - 0.2% Hellenic Telecommunications Organization S.A. 212,658 3,517,700 HONG KONG - 0.3% Sun Hung Kai Properties Ltd. 636,035 5,301,523 INDIA - 0.8% ICICI Bank Ltd. 461,659 4,241,350 Larsen & Toubro Ltd. 531,849 8,428,038 12,669,388 ITALY - 2.0% Intesa Sanpaolo S.p.A. 4,858,622 17,137,574 Saipem S.p.A. 614,652 10,098,967 UniCredit S.p.A 2,295,247 5,567,433 32,803,974 JAPAN - 21.0% Bank of Yokohama Ltd. 2,329,768 13,390,062 East Japan Railway Co. 5,275 40,093,491 Mitsubishi Estate Company Ltd. 1,708,857 27,277,618 Mitsubishi Heavy Industries Ltd. 3,735,000 16,274,959 Mitsubishi UFJ Financial Group, Inc. 6,774,393 41,027,488 Nidec Corp. 77,222 2,930,432 Nintendo Company Ltd. 72,993 27,176,103 Nomura Holdings, Inc. 4,368,769 35,133,289 Shiseido Company Ltd. 1,977,216 39,806,059 Sony Financial Holdings Inc. 10,096 37,644,214 Sumitomo Metal Industries Ltd. 5,917,188 14,164,697 Sumitomo Mitsui Financial Group Inc. 1,238 5,135,003 Sumitomo Realty & Development Company Ltd. 214,000 3,101,997 Toray Industries Inc. 3,447,425 17,189,587 Toyota Motor Corp. 590,881 18,935,569 339,280,568 MEXICO - 0.6% America Movil SAB de C.V. ADR (Series L) 306,956 9,512,566 NETHERLANDS - 1.4% Koninklijke Philips Electronics N.V. 1,164,669 22,390,040 NORWAY - 0.3% Orkla ASA 364,472 2,365,755 Telenor ASA 273,950 1,811,440 4,177,195 RUSSIA - 0.0%* Gazprom OAO ADR 26,199 373,336 SINGAPORE - 1.0% CapitaLand Ltd. 3,152,000 6,803,901 Singapore Telecommunications Ltd. 5,129,631 9,078,993 15,882,894 SOUTH AFRICA - 1.3% Anglo Platinum Ltd. 27,038 1,513,777 MTN Group Ltd. 1,661,769 19,502,643 21,016,420 SOUTH KOREA - 1.0% KB Financial Group Inc. 247,425 6,620,001 (a) Samsung Electronics Company Ltd. 27,690 9,914,803 16,534,804 SPAIN - 2.7% ACS Actividades de Construccion y Servicios S.A. 95,826 4,349,073 Banco Santander S.A. (Regd.) 4,122,666 38,682,283 43,031,356 SWEDEN - 0.2% Hennes & Mauritz AB (Series B) 39,722 1,534,541 Sandvik AB 189,704 1,175,462 2,710,003 SWITZERLAND - 12.7% ABB Ltd. (Regd.) 1,208,406 17,688,698 Credit Suisse Group AG (Regd.) 264,337 7,078,127 Nestle S.A. (Regd.) 1,620,498 63,336,982 Novartis AG (Regd.) 674,909 33,417,301 Roche Holding AG 454,299 69,360,255 Swatch Group AG 15,339 2,101,213 Syngenta AG 69,417 13,070,106 206,052,682 TAIWAN - 1.2% Taiwan Semiconductor Manufacturing Company Ltd. 13,862,588 18,754,918 UNITED KINGDOM - 16.6% BG Group PLC 1,443,262 19,858,234 BHP Billiton PLC 1,092,099 20,317,946 (h) BP PLC 927,730 7,016,021 Capita Group PLC 750,765 7,966,066 Diageo PLC 2,061,034 28,476,857 Group 4 Securicor PLC 2,759,664 8,133,802 Lloyds TSB Group PLC 14,505,336 26,277,367 National Grid PLC 1,473,011 14,485,904 Prudential PLC 2,952,789 17,681,981 Reckitt Benckiser Group PLC 859,368 31,852,652 Rio Tinto PLC (Regd.) 169,824 3,638,052 Royal Bank of Scotland Group PLC 17,201,057 12,217,029 Tesco PLC 5,341,151 27,645,272 (h) Vodafone Group PLC 21,848,847 43,664,333 269,231,516 TOTAL COMMON STOCK 1,538,620,637 (COST $2,189,647,678) - ---------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCK - 0.2% - ---------------------------------------------------------------------------------------------------------------------------- BRAZIL All America Latina Logistica S.A. 763,400 3,273,585 (COST $8,376,091) - ---------------------------------------------------------------------------------------------------------------------------- RIGHTS - 0.0%* - ---------------------------------------------------------------------------------------------------------------------------- UNITED KINGDOM Lloyds TSB Group PLC 5,837,366 - (a) (COST $0) - ---------------------------------------------------------------------------------------------------------------------------- OTHER INVESTMENTS - 0.0%* - ---------------------------------------------------------------------------------------------------------------------------- GEI Investment Fund 215,734 (k) (COST $392,243) TOTAL INVESTMENTS IN SECURITIES 1,542,109,956 (COST $2,198,416,012) - ---------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 4.6% - ---------------------------------------------------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% 74,428,089 (d,p) (COST $74,428,089) TOTAL INVESTMENTS 1,616,538,045 (COST $2,272,844,101) OTHER ASSETS AND LIABILITIES, NET - 0.1% 1,036,076 -------------- NET ASSETS - 100.0% $1,617,574,121 ============== - ---------------------------------------------------------------------------------------------------------------------------- OTHER INFORMATION - ----------------------------------------------------------------------------------------------------------------------------
The GE Institutional International Equity had the following long futures contracts open at December 31, 2008 (unaudited):
CURRENT UNREALIZED EXPIRATION NUMBER OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ---------------------------------------------------------------------------------------------------------------------------- FTSE 100 Index Futures March 2009 31 $ 1,956,635 $ (1,571) Topix Index Futures March 2009 27 $ 2,567,457 $ (14,162)
The GE Institutional International Equity had the following Short futures contracts open at December 31, 2008 (unaudited):
CURRENT UNREALIZED EXPIRATION NUMBER OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ---------------------------------------------------------------------------------------------------------------------------- DJ Euro Stoxx 50 Index Futures March 2009 104 $(3,541,845) $ (61,398) -------------- $ (77,131) ==============
The GE Institutional International Equity was invested in the following sectors at December 31, 2008 (unaudited):
PERCENTAGE (BASED SECTOR ON MARKET VALUE) - ---------------------------------------------------------------------------------------------------------------------------- Commercial Banks 13.34% Pharmaceuticals 8.14% Food Products 6.68% Multi-Utilities 4.83% Oil, Gas & Consumable Fuels 4.73% Short-term 4.60% Wireless Telecommunication Services 4.50% Insurance 4.17% Chemicals 3.56% Metals & Mining 3.18% Industrial Conglomerates 3.09% Food & Staples Retailing 2.76% Road & Rail 2.68% Commercial Services & Supplies 2.63% Real Estate Management & Development 2.63% Capital Markets 2.61% Personal Products 2.47% Household Products 1.97% Semiconductors & Semiconductor Equipment 1.77% Beverages 1.76% Electric Utilities 1.76% Software 1.68% Diversified Telecommunication Services 1.65% Construction & Engineering 1.59% Communications Equipment 1.58% Healthcare Equipment & Supplies 1.55% Media 1.48% Electrical Equipment 1.41% Automobiles 1.17% Machinery 1.08% Textiles Apparel & Luxury Goods 1.04% Energy Equipment & Services 0.62% Real Estate Investment Trusts (Reits) 0.52% Professional Services 0.49% Electronic Equipment, Instruments & Components 0.18% Specialty Retail 0.09% Other Investments 0.01% -------------- 100.00% ==============
GE INSTITUTIONAL PREMIER GROWTH EQUITY SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE COMMON STOCK - 98.1% - ------------------------------------------------------------------------------------------------------------------ BEVERAGES - 3.5% PepsiCo, Inc. 123,462 $ 6,762,014 BIOTECHNOLOGY - 7.5% Amgen, Inc. 135,809 7,842,970 (a) Genentech, Inc. 51,442 4,265,056 (a) Gilead Sciences, Inc. 44,577 2,279,668 (a) 14,387,694 CAPITAL MARKETS - 5.7% Goldman Sachs Group, Inc. 48,012 4,051,733 State Street Corp. 178,332 7,013,798 (e) 11,065,531 CHEMICALS - 3.3% Monsanto Co. 89,167 6,272,898 COMMERCIAL SERVICES & SUPPLIES - 2.7% Iron Mountain, Inc. 209,199 5,173,491 (a) COMMUNICATIONS EQUIPMENT - 11.6% Cisco Systems, Inc. 432,116 7,043,491 (a,h) Corning Inc. 266,129 2,536,209 QUALCOMM Inc. 260,641 9,338,767 Research In Motion Ltd. 83,679 3,395,694 (a) 22,314,161 DIVERSIFIED FINANCIAL SERVICES - 2.3% CME Group Inc. 21,263 4,425,043 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 1.9% Molex Inc. (Class A) 279,161 3,615,135 ENERGY EQUIPMENT & SERVICES - 4.9% Schlumberger Ltd. 123,462 5,226,146 Transocean Ltd. 89,166 4,213,094 (a) 9,439,240 HEALTHCARE EQUIPMENT & SUPPLIES - 2.5% Medtronic, Inc. 150,898 4,741,215 HEALTHCARE PROVIDERS & SERVICES - 3.3% Lincare Holdings, Inc. 153,641 4,137,552 (a) VCA Antech, Inc. 116,603 2,318,068 (a) 6,455,620 HOTELS RESTAURANTS & LEISURE - 2.1% Carnival Corp. 168,047 4,086,903 INSURANCE - 2.4% Aflac Inc. 102,886 4,716,294 INTERNET SOFTWARE & SERVICES - 1.7% eBay, Inc. 236,635 3,303,425 (a) IT SERVICES - 9.1% Paychex, Inc. 267,500 7,029,900 Visa, Inc. (Class A) 44,583 2,338,378 Western Union Co. 576,149 8,261,977 17,630,255 MACHINERY - 3.5% Dover Corp. 202,341 6,661,066 MEDIA - 10.2% Comcast Corp. (Class A) 500,706 8,086,402 Liberty Global, Inc. (Series C) 274,358 4,164,754 (a) Liberty Media Corp - Entertainment (Series A) 423,887 7,409,545 (a) 19,660,701 METALS & MINING - 0.8% Allegheny Technologies Inc. 59,673 1,523,452 PHARMACEUTICALS - 2.6% Johnson & Johnson 82,310 4,924,607 REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.9% CB Richard Ellis Group, Inc. (Class A) 411,535 1,777,831 (a) SOFTWARE - 6.8% Intuit, Inc. 338,150 8,044,588 (a) Microsoft Corp. 264,075 5,133,618 (h) 13,178,206 SPECIALTY RETAIL - 6.2% Bed Bath & Beyond, Inc. 277,789 7,061,396 (a,h) Lowe's Companies, Inc. 229,776 4,944,780 12,006,176 WIRELESS TELECOMMUNICATION SERVICES - 2.6% American Tower Corp. (Class A) 168,044 4,927,050 (a) TOTAL COMMON STOCK 189,048,008 (COST $274,347,337) - ------------------------------------------------------------------------------------------------------------ OTHER INVESTMENTS - 0.1% - ------------------------------------------------------------------------------------------------------------ GEI Investment Fund 148,012 (k) (COST $269,113) TOTAL INVESTMENTS IN SECURITIES 189,196,020 (COST $274,616,450) - ------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 1.6% - ------------------------------------------------------------------------------------------------------------ GE Money Market Fund Institutional Class 1.02% 3,197,012 (d,n) (COST $3,197,012) TOTAL INVESTMENTS 192,393,032 (COST $277,813,462) OTHER ASSETS AND LIABILITIES, NET - 0.2% 328,169 ------------ NET ASSETS - 100.0% $192,721,201 ============ - ------------------------------------------------------------------------------------------------------------ OTHER INFORMATION - ------------------------------------------------------------------------------------------------------------
The GE Institutional Premier Growth Equity Fund had the following long futures contracts open at December 31, 2008 (unaudited):
CURRENT EXPIRATION NUMBER OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ------------------------------------------------------------------------------------------------------------ S&P 500 Index Futures March 2009 1 $225,025 $ 350
GE INSTITUTIONAL STRATEGIC INVESTMENT FUND SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------------------------------------------------------------ DOMESTIC EQUITY - 33.4% - ------------------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE - 0.4% Alliant Techsystems, Inc. 7,034 $ 603,236 (a) Hexcel Corp. 77,739 574,491 (a) Honeywell International, Inc. 6,493 213,165 Rockwell Collins, Inc. 8,656 338,363 1,729,255 BEVERAGES - 0.8% Pepsi Bottling Group, Inc. 46,280 1,041,763 PepsiCo, Inc. 45,110 2,470,675 (h) 3,512,438 BIOTECHNOLOGY - 2.7% Amgen, Inc. 92,587 5,346,900 (a,h) Amylin Pharmaceuticals, Inc. 24,353 264,230 (a) Genentech, Inc. 48,562 4,026,275 (a) Gilead Sciences, Inc. 46,642 2,385,272 (a) Vertex Pharmaceuticals Inc. 14,464 439,416 (a) 12,462,093 CAPITAL MARKETS - 1.8% Affiliated Managers Group, Inc. 8,755 367,010 (a) Ameriprise Financial, Inc. 16,515 385,790 Bank of New York Mellon Corp. 22,209 629,181 Charles Schwab Corp. 13,498 218,263 Goldman Sachs Group, Inc. 35,893 3,029,010 Greenhill & Company, Inc. 4,917 343,059 State Street Corp. 79,106 3,111,239 (e) 8,083,552 CHEMICALS - 0.7% Intrepid Potash, Inc. 16,288 338,302 (a) Monsanto Co. 32,215 2,266,326 Praxair, Inc. 8,237 488,948 3,093,576 COMMERCIAL BANKS - 0.4% Lloyds TSB Group PLC ADR 9,112 70,162 SunTrust Banks, Inc. 30,897 912,698 US Bancorp. 11,389 284,839 Wells Fargo & Co. 14,238 419,736 Zions Bancorporation 5,756 141,080 1,828,515 COMMERCIAL SERVICES & SUPPLIES - 0.7% Corrections Corporation of America 84,733 1,386,231 (a) Iron Mountain, Inc. 71,798 1,775,565 (a) 3,161,796 COMMUNICATIONS EQUIPMENT - 2.1% Cisco Systems, Inc. 244,246 3,981,210 (a,h) Corning Inc. 61,801 588,964 Harris Corp. 4,879 185,646 Juniper Networks, Inc. 19,063 333,793 (a) QUALCOMM Inc. 129,347 4,634,503 (h) 9,724,116 COMPUTERS & PERIPHERALS - 0.3% Dell, Inc. 16,514 169,103 (a) Hewlett-Packard Co. 19,135 694,409 International Business Machines Corp. 6,150 517,584 1,381,096 DIVERSIFIED FINANCIAL SERVICES - 1.1% Bank of America Corp. 29,047 408,982 Citigroup, Inc. 31,892 213,995 CME Group Inc. 10,006 2,082,348 JP Morgan Chase & Co. 66,241 2,088,579 4,793,904 DIVERSIFIED TELECOMMUNICATION SERVICES - 0.2% AT&T, Inc. 10,821 308,399 Verizon Communications, Inc. 17,880 606,132 914,531 ELECTRIC UTILITIES - 0.6% American Electric Power Company, Inc. 21,299 708,831 Edison International 18,908 607,325 ITC Holdings Corp. 18,805 821,402 Northeast Utilities 15,084 362,921 2,500,479 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.3% Cogent, Inc. 28,684 389,242 (a) Mettler Toledo International, Inc. 5,685 383,169 (a) Molex Inc. (Class A) 41,614 538,901 (h) 1,311,312 ENERGY EQUIPMENT & SERVICES - 1.6% Dresser-Rand Group, Inc. 16,750 288,938 (a) Halliburton Co. 16,287 296,098 HIS, Inc. (Class A) 9,769 365,556 (a) Nabors Industries Ltd. 4,556 54,535 (a) National Oilwell Varco, Inc. 4,898 119,707 (a) Schlumberger Ltd. 70,294 2,975,545 (h) Transocean Ltd. 58,599 2,768,802 (a) Weatherford International Ltd. 19,116 206,835 (a) 7,076,016 FOOD & STAPLES RETAILING - 0.1% Wal-Mart Stores, Inc. 6,834 383,114 FOOD PRODUCTS - 0.4% Archer-Daniels-Midland Co. 3,986 114,916 General Mills, Inc. 4,959 301,259 Kraft Foods, Inc. (Class A) 12,529 336,404 McCormick & Company, Inc. 38,961 1,241,297 1,993,876 HEALTHCARE EQUIPMENT & SUPPLIES - 1.6% Boston Scientific Corp. 50,682 392,279 (a) Covidien Ltd. 2,824 102,342 DENTSPLY International, Inc. 16,541 467,118 Gen-Probe Inc. 8,952 383,504 (a) Hologic, Inc. 111,258 1,454,142 (a) Masimo Corp. 29,063 866,949 (a) Medtronic, Inc. 72,668 2,283,229 (h) Resmed, Inc. 40,772 1,528,135 (a) 7,477,698 HEALTHCARE PROVIDERS & SERVICES - 1.1% Aetna, Inc. 37,191 1,059,944 Cardinal Health, Inc. 12,416 427,980 Catalyst Health Solutions, Inc. 1,771 43,124 (a) McKesson Corp. 9,574 370,801 Psychiatric Solutions, Inc. 24,885 693,047 (a) UnitedHealth Group, Inc. 95,201 2,532,347 (h) 5,127,243 HOTELS RESTAURANTS & LEISURE - 0.4% Carnival Corp. 48,203 1,172,297 Darden Restaurants, Inc. 5,124 144,394 Life Time Fitness, Inc. 14,673 190,015 (a) Penn National Gaming, Inc. 10,112 216,195 (a) The Cheesecake Factory 23,842 240,804 (a) 1,963,705 HOUSEHOLD PRODUCTS - 0.3% Clorox Co. 11,844 658,053 Colgate-Palmolive Co. 1,481 101,508 Kimberly-Clark Corp. 9,680 510,523 Procter & Gamble Co. 3,074 190,035 1,460,119 INDUSTRIAL CONGLOMERATES - 0.5% McDermott International, Inc. 9,892 97,733 (a) Textron, Inc. 141,840 1,967,320 (h) 2,065,053 INSURANCE - 1.1% ACE Ltd. 28,959 1,532,511 AON Corp. 9,566 436,975 Chubb Corp. 9,112 464,712 HCC Insurance Holdings, Inc. 68,632 1,835,906 Marsh & McLennan Companies, Inc. 5,238 127,126 MetLife, Inc. 11,959 416,891 Prudential Financial, Inc. 1,481 44,815 Travelers Companies, Inc. 5,697 257,504 5,116,440 INTERNET SOFTWARE & SERVICES - 0.5% Equinix, Inc. 1,770 94,146 (a) Google, Inc. (Class A) 5,188 1,596,088 (a) MercadoLibre, Inc. 23,148 379,859 (a) 2,070,093 IT SERVICES - 1.5% Affiliated Computer Services, Inc. (Class A) 18,076 830,592 (a) Cognizant Technology Solutions Corp. (Class A) 35,729 645,266 (a) DST Systems, Inc. 5,150 195,597 (a) Lender Processing Services, Inc. 7,129 209,949 NeuStar, Inc. (Class A) 5,911 113,077 (a) Paychex, Inc. 82,884 2,178,192 (h) Visa, Inc. (Class A) 6,485 340,138 Western Union Co. 154,582 2,216,706 6,729,517 LIFE SCIENCES TOOLS & SERVICES - 0.3% Covance, Inc. 7,255 333,948 (a) Illumina, Inc. 10,333 269,175 (a) Thermo Fisher Scientific, Inc. 22,081 752,299 (a) 1,355,422 MACHINERY - 0.5% Deere & Co. 10,366 397,225 Eaton Corp. 5,467 271,765 Harsco Corp. 18,180 503,222 ITT Corp. 14,061 646,665 Joy Global, Inc. 11,936 273,215 2,092,092 MEDIA - 2.1% Comcast Corp. (Class A) 265,242 4,283,658 (h) Liberty Global, Inc. (Series C) 54,587 828,630 (a) Liberty Media Corp - Entertainment (Series A) 78,140 1,365,887 (a) Omnicom Group, Inc. 59,936 1,613,478 Regal Entertainment Group (Class A) 39,836 406,726 The Walt Disney Co. 9,454 214,511 Time Warner, Inc. 70,613 710,367 Viacom, Inc. (Class B) 10,249 195,346 (a) 9,618,603 METALS & MINING - 0.3% Allegheny Technologies Inc. 41,300 1,054,389 Freeport-McMoRan Copper & Gold, Inc. 7,289 178,143 1,232,532 MULTILINE RETAIL - 0.3% Kohl's Corp. 25,512 923,535 (a) Target Corp. 15,240 526,237 1,449,772 MULTI-UTILITIES - 0.3% Dominion Resources, Inc. 18,220 653,005 DTE Energy Co. 8,169 291,388 SCANA Corp. 9,965 354,754 1,299,147 OIL, GAS & CONSUMABLE FUELS - 1.7% Apache Corp. 8,079 602,128 Chevron Corp. 1,709 126,415 ConocoPhillips 1,937 100,337 Devon Energy Corp. 4,899 321,913 Exxon Mobil Corp. 39,615 3,162,465 (h) Hess Corp. 7,698 412,921 Marathon Oil Corp. 66,666 1,823,981 Occidental Petroleum Corp. 2,279 136,717 Peabody Energy Corp. 8,698 197,880 Southwestern Energy Co. 19,995 579,255 (a) Valero Energy Corp. 6,605 142,932 7,606,944 PERSONAL PRODUCTS - 0.5% Alberto-Culver Co. 73,375 1,798,422 The Estee Lauder Cos. Inc. (Class A) 20,460 633,442 2,431,864 PHARMACEUTICALS - 1.2% Abbott Laboratories 42,976 2,293,629 (h) Bristol-Myers Squibb Co. 43,506 1,011,515 Johnson & Johnson 2,506 149,934 Merck & Company, Inc. 8,884 270,074 Pfizer, Inc. 63,781 1,129,562 Wyeth 20,159 756,164 5,610,878 PROFESSIONAL SERVICES - 0.1% Monster Worldwide, Inc. 32,824 396,842 (a) REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.1% Douglas Emmett, Inc. (REIT) 18,077 236,086 REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.1% CB Richard Ellis Group, Inc. (Class A) 128,268 554,118 (a) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.0% Analog Devices, Inc. 7,631 145,142 Hittite Microwave Corp. 17,357 511,337 (a) Intel Corp. 156,206 2,289,980 (h) Kla-Tencor Corp. 6,493 141,482 Lam Research Corp. 11,389 242,358 (a) Marvell Technology Group Ltd. 45,662 304,566 (a) MEMC Electronic Materials, Inc. 6,151 87,836 (a) Microchip Technology Inc. 6,266 122,375 National Semiconductor Corp. 10,820 108,957 Texas Instruments Inc. 24,259 376,500 4,330,533 SOFTWARE - 1.7% Activision Blizzard, Inc. 62,188 537,304 (a) Blackboard, Inc. 10,595 277,907 (a) Citrix Systems, Inc. 19,630 462,679 (a) Intuit, Inc. 74,436 1,770,832 (a,h) Macrovision Solutions Corp. 51,839 655,763 (a) Microsoft Corp. 182,114 3,540,296 (h) Oracle Corp. 20,499 363,447 (a) 7,608,228 SPECIALTY RETAIL - 1.1% Bed Bath & Beyond, Inc. 116,642 2,965,040 (a,h) Lowe's Companies, Inc. 68,087 1,465,232 O'Reilly Automotive, Inc. 23,341 717,502 (a) 5,147,774 TEXTILES APPAREL & LUXURY GOODS - 0.1% Coach, Inc. 18,085 375,625 (a) TOBACCO - 0.0%* Altria Group, Inc. 14,805 222,963 WATER UTILITIES - 0.1% American Water Works Company, Inc. 24,789 517,594 WIRELESS TELECOMMUNICATION SERVICES - 0.7% American Tower Corp. (Class A) 17,670 518,084 (a) NII Holdings, Inc. (Class B) 124,591 2,265,065 (a) Syniverse Holdings, Inc. 22,877 273,151 (a) 3,056,300 TOTAL DOMESTIC EQUITY 151,102,854 (COST $216,277,609) - ------------------------------------------------------------------------------------------------------------------------- FOREIGN EQUITY - 20.5% - ------------------------------------------------------------------------------------------------------------------------- COMMON STOCK - 20.4% AEROSPACE & DEFENSE - 0.3% CAE, Inc. 182,639 1,198,360 Elbit Systems Ltd. 3,009 137,584 1,335,944 AUTOMOBILES - 0.2% Toyota Motor Corp. 29,580 947,930 BEVERAGES - 0.3% Coca-Cola Icecek AS (Class C) 15,311 62,990 Diageo PLC 102,279 1,413,167 1,476,157 BIOTECHNOLOGY - 0.0%* WuXi PharmaTech Cayman, Inc. ADR 4,354 34,788 (a) CAPITAL MARKETS - 0.5% Credit Suisse Group AG (Regd.) 13,272 355,383 Egyptian Financial Group-Hermes Holding 14,719 45,963 Nomura Holdings, Inc. 223,499 1,797,361 Woori Investment & Securities Company Ltd. 6,880 68,551 2,267,258 CHEMICALS - 0.7% Israel Chemicals Ltd. 4,830 33,632 Linde AG 11,063 920,380 Makhteshim-Agan Industries Ltd. 20,789 67,590 Potash Corporation of Saskatchewan 6,368 461,904 Sinofert Holdings Ltd. 265,078 128,260 Sociedad Quimica y Minera de Chile S.A. ADR (Series B) 1,854 45,219 Syngenta AG 3,480 655,228 Taiwan Fertilizer Company Ltd. 47,000 74,758 Toray Industries Inc. 171,159 853,435 3,240,406 COMMERCIAL BANKS - 2.7% Akbank TAS 46,997 145,543 Banco do Brasil S.A. 15,134 95,269 Banco Santander Chile S.A. ADR 3,981 139,454 Banco Santander S.A. (Regd.) 207,269 1,944,770 Bank of Yokohama Ltd. 117,803 677,059 BNP Paribas 34,436 1,447,999 China Construction Bank Corp. 70,000 38,386 China Merchants Bank Company Ltd. 49,000 90,790 Credit Agricole S.A. 74,171 824,811 Grupo Financiero Banorte SAB de C.V. 53,407 96,413 ICICI Bank Ltd. 28,677 263,461 Industrial & Commercial Bank of China 252,495 132,923 Intesa Sanpaolo S.p.A. 242,846 856,579 KB Financial Group Inc. 16,860 451,099 (a) Lloyds TSB Group PLC 733,074 1,328,012 Metropolitan Bank & Trust 124,200 60,076 Mitsubishi UFJ Financial Group, Inc. 346,776 2,100,166 Royal Bank of Scotland Group PLC 874,626 621,202 Siam Commercial Bank PCL 77,500 109,186 Standard Bank Group Ltd. 8,304 74,552 State Bank of India Ltd. 320 8,473 State Bank of India Ltd. GDR 1,280 70,400 Sumitomo Mitsui Financial Group Inc. 63 261,313 UniCredit S.p.A 114,722 278,274 Woori Finance Holdings Company Ltd. 6,060 30,551 (a) 12,146,761 COMMERCIAL SERVICES & SUPPLIES - 0.5% Brambles Ltd. 260,514 1,347,697 Group 4 Securicor PLC 131,551 373,428 Group 4 Securicor PLC 138,097 407,026 2,128,151 COMMUNICATIONS EQUIPMENT - 0.8% Nokia Oyj 82,345 1,270,546 Research In Motion Ltd. 57,650 2,339,437 (a) ZTE Corp. 21,507 56,333 3,666,316 COMPUTERS & PERIPHERALS - 0.0%* Asustek Computer Inc. 50,586 56,724 CONSTRUCTION & ENGINEERING - 0.4% ACS Actividades de Construccion y Servicios S.A. 4,773 216,623 China Communications Construction Company Ltd. 108,055 133,288 China State Construction International Holdings Ltd. 184,803 32,191 Doosan Heavy Industries and Construction Company Ltd. 1,060 52,935 (a) Empresas ICA SAB de C.V. 22,732 37,508 (a) IVRCL Infrastructures & Projects Ltd. 10,563 30,982 Larsen & Toubro Ltd. 30,840 488,712 Vinci S.A. 15,565 649,083 1,641,322 DIVERSIFIED TELECOMMUNICATION SERVICES - 0.3% France Telecom S.A. 22,035 611,369 Hellenic Telecommunications Organization S.A. 10,674 176,565 Singapore Telecommunications Ltd. 256,990 454,850 Telekom Malaysia Bhd 93,000 82,786 Telekomunikasi Indonesia Tbk PT (Series B) 138,500 87,674 Telenor ASA 11,350 75,050 1,488,294 ELECTRIC UTILITIES - 0.3% E.ON AG 35,909 1,419,590 ELECTRICAL EQUIPMENT - 0.4% ABB Ltd. (Regd.) 60,397 884,094 ABB Ltd. ADR 27,335 410,298 Alstom S.A. 4,374 255,242 China High Speed Transmission Equipment Group Company Ltd. 89,652 108,505 Zhuzhou CSR Times Electric Company Ltd. 65,107 52,504 1,710,643 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.1% Byd Company Ltd. 2,594 4,251 Delta Electronics Inc. 59,141 114,433 HON HAI Precision Industry Company Ltd. 31,188 61,011 Nidec Corp. 4,024 152,703 332,398 ENERGY EQUIPMENT & SERVICES - 0.1% Saipem S.p.A. 30,399 499,467 Tesco Corp. 20,462 146,099 (a) 645,566 FOOD & STAPLES RETAILING - 0.5% Metro AG 21,307 846,180 Shinsegae Company Ltd. 130 49,748 (a) Tesco PLC 266,963 1,381,774 2,277,702 FOOD PRODUCTS - 1.4% Groupe Danone 37,139 2,229,169 IOI Corp. 85,000 87,457 Nestle India Ltd. 2,854 85,409 Nestle S.A. (Regd.) 82,928 3,241,232 Nestle S.A. ADR 9,908 393,348 Perdigao S.A. 6,000 76,518 Uni-President Enterprises Corp. 230,300 202,805 Want Want China Holdings Ltd. 217,698 90,167 6,406,105 HEALTHCARE EQUIPMENT & SUPPLIES - 0.3% Cie Generale d'Optique Essilor International S.A. 26,757 1,248,587 HEALTHCARE PROVIDERS & SERVICES - 0.0%* Diagnosticos da America S.A. 8,897 85,765 HOTELS RESTAURANTS & LEISURE - 0.0%* AGTech Holdings Ltd. 513,535 6,626 (a) Alsea SAB de C.V. 74,772 33,530 (a) China Travel International Inv. 464,597 90,519 130,675 HOUSEHOLD DURABLES - 0.0%* Urbi Desarrollos Urbanos SAB DE C.V. 25,923 35,379 (a) HOUSEHOLD PRODUCTS - 0.4% Reckitt Benckiser Group PLC 43,313 1,605,405 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.0%* Energy Development Corp. 782,880 31,282 Huaneng Power International, Inc. 94,000 67,921 99,203 INDUSTRIAL CONGLOMERATES - 0.6% Koninklijke Philips Electronics N.V. 58,213 1,119,109 Murray & Roberts Holdings Ltd. 16,576 86,063 Orkla ASA 17,221 111,780 Siemens AG (Regd.) 17,081 1,250,804 2,567,756 INSURANCE - 0.8% AXA S.A. 27,222 599,574 China Life Insurance Company Ltd. 32,801 99,670 Prudential PLC 146,710 878,533 Samsung Fire & Marine Insurance Company Ltd. 740 110,746 Sony Financial Holdings Inc. 505 1,882,956 3,571,479 INTERNET SOFTWARE & SERVICES - 0.1% Baidu.com ADR 2,990 390,404 (a) Sohu.com, Inc. 505 23,907 (a) 414,311 MACHINERY - 0.2% China South Locomotive and Rolling Stock Corp. 93,116 50,582 (a) Hyunjin Materials Company Ltd. 4,578 79,598 (a) Mitsubishi Heavy Industries Ltd. 185,000 806,122 Sandvik AB 9,341 57,880 994,182 MEDIA - 0.3% Focus Media Holding Ltd. ADR 13,488 122,606 (a) Vivendi 36,931 1,194,330 1,316,936 METALS & MINING - 0.8% Anglo Platinum Ltd. 1,351 75,638 Barrick Gold Corp. 21,982 808,278 BHP Billiton PLC 54,585 1,015,526 Cia Vale do Rio Doce ADR 54,996 585,707 (h) Harmony Gold Mining Company Ltd. ADR 11,750 128,898 (a) Polymetal GDR 20,759 93,416 (b) POSCO 300 90,509 Rio Tinto PLC (Regd.) 8,482 181,705 Sumitomo Metal Industries Ltd. 295,010 706,202 3,685,879 MULTI-UTILITIES - 0.9% GDF Suez 23,613 1,159,481 National Grid PLC 73,737 725,145 RWE AG 3,179 281,488 Veolia Environnement 56,444 1,741,811 3,907,925 OIL, GAS & CONSUMABLE FUELS - 1.2% BG Group PLC 71,987 990,489 BP PLC 47,093 356,144 Cameco Corp. 7,978 136,036 China Petroleum & Chemical Corp. 181,460 109,810 China Shenhua Energy Company Ltd. 42,000 88,875 CNOOC Ltd. 76,000 70,997 Gazprom OAO ADR 14,368 204,744 LUKOIL ADR 354 11,346 Paladin Energy Ltd. 220,482 381,226 (a) PetroChina Company Ltd. 66,000 57,823 Petroleo Brasileiro S.A. ADR 29,072 593,360 Reliance Industries Ltd. 1,509 38,176 Reliance Industries Ltd. GDR 1,746 89,744 (b) Suncor Energy, Inc. 38,911 758,765 Total S.A. 30,664 1,658,518 5,546,053 PAPER & FOREST PRODUCTS - 0.0%* China Grand Forestry Green Resources Group Ltd. 585,083 24,535 (a) PERSONAL PRODUCTS - 0.4% Shiseido Company Ltd. 100,592 2,025,156 PHARMACEUTICALS - 1.6% Bayer AG 24,747 1,429,301 Novartis AG (Regd.) 34,126 1,689,708 Ranbaxy Laboratories Ltd. 21,046 108,664 Roche Holding AG 23,207 3,543,137 Teva Pharmaceutical Industries Ltd. ADR 9,999 425,657 Yuhan Corp. 334 58,338 (a) 7,254,805 PROFESSIONAL SERVICES - 0.1% Capita Group PLC 37,574 398,683 REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.1% Unibail-Rodamco (REIT) 2,816 416,881 REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.5% CapitaLand Ltd. 158,000 341,058 Franshion Properties China Ltd. 141,799 38,422 Hung Poo Real Estate Development Corp. 159,353 115,807 Mitsubishi Estate Company Ltd. 85,000 1,356,812 Sumitomo Realty & Development Company Ltd. 10,000 144,953 Sun Hung Kai Properties Ltd. 30,087 250,783 2,247,835 ROAD & RAIL - 0.5% East Japan Railway Co. 269 2,044,578 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.5% ASM Pacific Technology Ltd. 15,500 50,799 MediaTek Inc. 10,362 69,621 Samsung Electronics Company Ltd. 1,960 701,806 Taiwan Semiconductor Manufacturing Company Ltd. 763,966 1,033,582 Taiwan Semiconductor Manufacturing Company Ltd. ADR 34,167 269,919 2,125,727 SOFTWARE - 0.3% Nintendo Company Ltd. 3,700 1,377,551 SPECIALTY RETAIL - 0.0%* Hennes & Mauritz AB (Series B) 2,050 79,196 TEXTILES APPAREL & LUXURY GOODS - 0.2% Adidas AG 19,560 737,919 Swatch Group AG 699 95,753 833,672 TOBACCO - 0.0%* ITC Ltd. 53,718 189,204 WATER UTILITIES - 0.0%* Pan Asia Environmental Protection Group Ltd. 262,000 33,806 WIRELESS TELECOMMUNICATION SERVICES - 1.1% America Movil SAB de C.V. ADR (Series L) 21,110 654,198 Bharti Airtel Ltd. 11,896 174,179 (a) China Mobile Ltd. 19,994 200,709 Egyptian Co for Mobile Services 2,749 72,326 MTN Group Ltd. 105,914 1,243,015 Orascom Telecom Holding SAE 4,360 23,496 Orascom Telecom Holding SAE GDR 1,379 37,633 Philippine Long Distance Telephone Co. 1,251 55,644 Turkcell Iletisim Hizmet AS 3,767 21,355 Turkcell Iletisim Hizmet AS ADR 8,361 121,903 Vodafone Group PLC 1,092,053 2,182,439 Vodafone Group PLC ADR 10,250 209,510 4,996,407 TOTAL COMMON STOCK 92,479,626 (COST $137,596,418) - ------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCK - 0.1% - ------------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS Banco Itau Holding Financeira S.A. 6,232 69,749 MEDIA NET Servicos de Comunicacao S.A. 8,734 49,775 (a) METALS & MINING Cia Vale do Rio Doce 11,169 114,420 OIL, GAS & CONSUMABLE FUELS Petroleo Brasileiro S.A. 10,837 106,139 ROAD & RAIL All America Latina Logistica S.A. 37,300 159,949 WIRELESS TELECOMMUNICATION SERVICES Vivo Participacoes S.A. 4,541 54,990 TOTAL PREFERRED STOCK 555,022 (COST $935,470) - ------------------------------------------------------------------------------------------------------------------------- RIGHTS - 0.0%* - ------------------------------------------------------------------------------------------------------------------------- Lloyds TSB Group PLC 294,780 - (a) (COST $0) TOTAL FOREIGN EQUITY 93,034,648 (COST $138,531,888) PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES - 27.4% - ------------------------------------------------------------------------------------------------------------------------- U.S. TREASURIES - 4.1% U.S. Treasury Bonds 4.38% 02/15/38 $1,865,600 $ 2,498,738 4.50% 05/15/38 1,035,900 1,413,842 U.S. Treasury Notes 1.25% 11/30/10 65,000 65,698 2.00% 11/30/13 3,521,700 3,613,046 3.13% 08/31/13 4,199,400 4,527,806 3.50% 02/15/18 8,500 9,408 3.63% 10/31/09 2,805,000 2,878,850 (h) 3.75% 11/15/18 536,200 606,994 4.00% 08/15/18 1,140,000 1,316,433 4.50% 11/15/10 - 05/15/17 88,000 101,966 4.63% 11/15/09 - 10/31/11 1,590,000 1,708,554 18,741,335 FEDERAL AGENCIES - 2.6% Federal Home Loan Banks 5.00% 11/17/17 500,000 573,250 Federal Home Loan Mortgage Corp. 4.13% 12/21/12 - 09/27/13 2,992,000 3,211,121 4.88% 02/09/10 1,055,000 1,098,576 (h) 5.13% 11/17/17 2,500,000 2,896,638 Federal National Mortgage Assoc. 3.63% 02/12/13 702,000 742,940 3.88% 07/12/13 2,946,000 3,126,286 11,648,811 AGENCY MORTGAGE BACKED - 9.9% Federal Home Loan Mortgage Corp. 4.50% 06/01/33 - 02/01/35 138,612 140,736 (h) 5.00% 07/01/35 - 10/01/35 280,216 286,641 (h) 5.50% 05/01/20 - 03/01/38 1,156,361 1,186,132 (h) 6.00% 04/01/17 - 11/01/37 1,228,157 1,266,876 (h) 6.50% 01/01/27 - 07/01/36 207,641 216,235 (h) 7.00% 10/01/16 - 08/01/36 312,734 326,907 (h) 7.50% 11/01/09 - 09/01/33 10,167 10,786 (h) 8.00% 04/01/30 - 11/01/30 1,824 1,935 (h) 9.00% 04/01/16 - 06/01/21 1,962 2,130 (h) 5.50% TBA 3,680,000 3,766,252 (c) Federal National Mortgage Assoc. 4.00% 05/01/19 - 06/01/19 96,981 98,569 (h) 4.50% 05/01/18 - 02/01/35 506,483 517,587 (h) 4.50% 02/01/20 16,029 16,427 (h,o) 5.00% 07/01/20 - 08/01/35 419,890 429,711 (h) 5.25% 04/01/37 99,504 101,318 (i) 5.47% 04/01/37 6,634 6,766 (i) 5.50% 03/01/14 - 04/01/38 1,427,827 1,468,243 (h) 5.50% 04/01/37 90,716 92,721 (i) 5.50% 06/01/20 17,853 18,445 (h,o) 5.52% 04/01/37 36,955 37,786 (i) 5.54% 04/01/37 86,654 88,572 (i) 5.57% 04/01/37 106,094 108,553 (i) 5.62% 03/01/37 8,307 8,486 (i) 5.67% 05/01/37 63,187 64,713 (i) 5.69% 04/01/37 78,928 80,866 (i) 5.71% 04/01/37 40,382 41,375 (i) 6.00% 07/01/14 - 03/01/38 2,161,624 2,229,887 (h) 6.00% 11/01/34 - 10/01/34 136,663 141,058 (h,o) 6.01% 10/01/37 179,012 184,129 (i) 6.50% 01/01/15 - 02/01/35 963,543 1,004,753 (h) 6.50% 10/01/34 - 12/01/34 46,104 48,021 (h,o) 7.00% 10/01/16 - 06/01/36 256,471 270,884 (h) 7.50% 12/01/09 - 03/01/34 31,218 33,006 (h) 8.00% 12/01/11 - 11/01/33 14,803 15,633 (h) 8.50% 07/01/30 - 05/01/31 1,466 1,585 (h) 9.00% 06/01/09 - 12/01/22 5,269 5,662 (h) 4.50% TBA 2,245,000 2,272,909 (c) 5.00% TBA 7,947,000 8,132,295 (c) 5.50% TBA 4,330,000 4,439,469 (c) 6.00% TBA 10,250,000 10,551,094 (c) 6.50% TBA 568,000 589,833 (c) 7.00% TBA 335,000 350,703 (c) Government National Mortgage Assoc. 4.50% 08/15/33 - 09/15/34 196,013 200,017 (h) 5.00% 08/15/33 48,435 49,743 (h,o) 6.00% 04/15/30 - 09/15/36 193,638 200,449 (h) 6.50% 02/15/24 - 06/15/34 20,341 21,227 (h,o) 6.50% 06/15/24 - 06/15/36 61,627 64,512 (h) 7.00% 03/15/12 - 10/15/36 78,988 82,692 (h) 7.00% 06/15/34 10,220 10,700 (h,o) 8.00% 06/15/30 62 66 (h) 8.50% 10/15/17 20,252 21,610 (h) 9.00% 11/15/16 - 12/15/21 25,076 26,803 (h) 5.50% TBA 3,390,000 3,490,642 (c) 44,824,150 AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4% Collateralized Mortgage Obligation Trust (Class B) 13.38% 11/01/18 710 528 (d,f,h) Federal Home Loan Mortgage Corp. 4.50% 03/15/18 - 03/15/19 58,882 3,311 (g,h,p) 5.00% 04/15/14 - 12/01/34 747,278 73,024 (g,h,p) 5.00% 05/15/38 112,311 108,530 5.29% 06/15/36 2,338,536 186,848 (g,i,p) 5.46% 05/15/36 - 11/15/36 1,111,496 99,149 (g,i,p) 5.50% 04/15/17 - 06/15/33 58,721 8,304 (g,h,p) 5.56% 05/15/37 508,278 44,331 (g,i,p) 5.81% 02/15/38 520,218 45,547 (g,i,p) 6.11% 09/15/35 430,064 48,671 (g,i,p) 7.50% 01/15/16 3,667 3,794 (h) 7.50% 07/15/27 6,015 939 (g,h,p) 8.00% 04/15/20 304 320 (h) 8.00% 02/01/23 - 07/01/24 2,262 476 (g,h,p) 8.56% 12/15/33 19,745 18,077 (h,i) 18.98% 11/15/37 254,828 222,218 (d,f) 55.02% 09/25/43 181,220 893 (d,g,h,i,p) Federal Home Loan Mortgage STRIPS 5.44% 08/01/27 509 435 (d,f,h) Federal National Mortgage Assoc. 1.19% 12/25/42 80,804 2,523 (g,h,i,p) 4.50% 05/25/18 34,236 1,546 (g,h,p) 4.75% 11/25/14 5,912 129 (g,h,p) 5.00% 08/25/17 - 02/25/32 367,884 44,151 (g,h,p) 5.00% 10/25/35 - 08/25/38 289,161 283,777 5.50% 01/25/33 138,992 140,041 6.03% 04/25/38 621,424 45,905 (g,i,p) 6.53% 10/25/29 31,486 2,544 (g,h,i,p) 7.13% 09/25/42 110,384 13,874 (g,h,i,p) 7.23% 08/25/16 14,932 748 (g,h,i,p) Federal National Mortgage Assoc. (Class 1) 4.50% 09/01/35 - 01/01/36 891,307 145,511 (g,p) 5.00% 05/25/38 287,841 43,628 (g,p) Federal National Mortgage Assoc. (Class 2) 5.00% 09/01/33 - 03/25/38 1,045,243 126,617 (g,p) 5.50% 12/01/33 68,068 8,049 (g,h,p) Federal National Mortgage Assoc. REMIC 4.50% 11/25/13 6,805 27 (g,h,p) 5.00% 10/25/22 40,367 2,454 (g,h,p) 15.57% 03/25/31 30,678 33,189 (h,i) Federal National Mortgage Assoc. REMIC (Class B) 3.03% 12/25/22 814 747 (d,f,h) Federal National Mortgage Assoc. STRIPS (Class 2) 4.50% 08/01/35 283,377 44,467 (g,p) 5.00% 08/01/34 1,917,989 226,862 (g,h,p) 7.50% 11/01/23 16,132 2,985 (g,h,p) 8.00% 08/01/23 - 07/01/24 4,984 890 (g,h,p) 8.50% 03/01/17 - 07/25/22 1,790 360 (g,h,p) 9.00% 05/25/22 849 195 (g,h,p) 2,036,641 ASSET BACKED - 1.6% Bear Stearns Asset Backed Securities Trust (Class A) 1.77% 01/25/34 4,827 3,476 (d,h,i) Capital Auto Receivables Asset Trust (Class A) 1.98% 01/15/10 209,262 204,259 (b,i) Carmax Auto Owner Trust 4.35% 03/15/10 4,775 4,761 (h) Chase Funding Mortgage Loan Asset-Backed Certificates 1.90% 03/25/32 5,083 3,235 (d,h,i) Discover Card Master Trust I (Class A) 1.23% 04/17/12 3,500,000 3,351,880 (h,i) Fleet Home Equity Loan Trust (Class A) 1.70% 01/20/33 6,599 3,896 (h,i) Ford Credit Floorplan Master Owner Trust (Class A) 1.38% 06/15/11 800,000 772,337 (i) Mid-State Trust 7.54% 07/01/35 3,051 2,855 (h,o) Option One Mortgage Loan Trust 1.53% 07/25/37 1,000,000 596,726 (d,i,o) Peco Energy Transition Trust 6.52% 12/31/10 17,000 17,131 (h) Residential Asset Mortgage Products Inc. 1.64% 03/25/34 602 569 (d,h,i) Residential Asset Securities Corp. 1.90% 07/25/32 2,181 1,098 (d,h,i) Residential Asset Securities Corp. (Class A) 4.16% 07/25/30 6,254 6,046 (h,i) Swift Master Auto Receivables Trust (Class A) 1.30% 06/15/12 1,000,000 680,589 (i) Triad Auto Receivables Owner Trust (Class A) 1.50% 02/12/14 2,000,000 1,510,403 (i) Wells Fargo Home Equity Trust 3.97% 05/25/34 9,297 9,164 (h,i) 7,168,425 CORPORATE NOTES - 6.9% Abbott Laboratories 5.88% 05/15/16 224,000 242,607 AES Ironwood LLC 8.86% 11/30/25 236,656 205,890 (h) American Electric Power Company, Inc. (Series C) 5.38% 03/15/10 300,000 297,799 (h) American Railcar Industries, Inc. 7.50% 03/01/14 15,000 9,900 (h) ARAMARK Corp. 8.50% 02/01/15 284,000 257,020 (h) ArcelorMittal USA 6.50% 04/15/14 20,000 14,221 (h) Archer-Daniels-Midland Co. 6.45% 01/15/38 214,000 216,816 (h) Arizona Public Service Co. 6.25% 08/01/16 45,000 36,183 (h) AT&T, Inc. 5.60% 05/15/18 202,000 205,665 6.40% 05/15/38 572,000 612,716 6.70% 11/15/13 188,000 199,153 BAC Capital Trust VI 5.63% 03/08/35 222,000 186,499 (h) Baker Hughes Inc. 7.50% 11/15/18 105,000 116,409 Banco Mercantil del Norte S.A. 5.88% 02/17/14 60,000 49,800 (b,h,i) 6.14% 10/13/16 170,000 108,900 (b,h,i) Bank of America Corp. 4.88% 01/15/13 190,000 187,167 5.75% 12/01/17 355,000 354,447 8.00% 12/29/49 52,000 37,403 (h,i) Bear Stearns Companies Inc. 5.85% 07/19/10 145,000 146,475 (h) 6.95% 08/10/12 275,000 285,608 (h) BellSouth Corp. 6.55% 06/15/34 59,000 59,826 (h) Berkshire Hathaway Finance Corp. 5.00% 08/15/13 478,000 486,241 Bristol-Myers Squibb Co. 5.45% 05/01/18 138,000 142,883 5.88% 11/15/36 85,000 90,393 (h) Cardinal Health, Inc. 5.50% 06/15/13 114,000 107,769 Cargill Inc. 5.20% 01/22/13 218,000 199,709 (b) 6.00% 11/27/17 203,000 182,019 (b) Carolina Power & Light Co. 5.15% 04/01/15 34,000 34,087 (h) 5.70% 04/01/35 17,000 17,261 (h) 6.13% 09/15/33 22,000 23,573 (h) Cellco Partnership 7.38% 11/15/13 130,000 137,160 (b) Century Aluminum Co. 7.50% 08/15/14 290,000 166,750 Chesapeake Energy Corp. 7.25% 12/15/18 285,000 222,300 Citigroup, Inc. 6.13% 11/21/17 115,000 116,212 6.50% 08/19/13 631,000 636,733 Clarendon Alumina Production Ltd. 8.50% 11/16/21 205,000 120,950 (b,h) CME Group Inc. 5.40% 08/01/13 286,000 284,089 Community Health Systems, Inc. 8.88% 07/15/15 284,000 261,280 (h) Consolidated Edison Company of New York, Inc. 5.85% 04/01/18 222,000 223,551 7.13% 12/01/18 300,000 322,582 Constellation Brands, Inc. 7.25% 05/15/17 282,000 266,490 COX Communications Inc. 6.25% 06/01/18 239,000 212,134 (b) 7.13% 10/01/12 28,000 26,796 (h) 7.75% 11/01/10 85,000 83,429 (h) Credit Suisse 6.00% 02/15/18 242,000 222,235 CSC Holdings Inc. 8.50% 06/15/15 282,000 248,160 (b,h) CSX Transportation, Inc. 9.75% 06/15/20 211,000 239,174 (h) CVS/Caremark Corp. 5.75% 06/01/17 110,000 103,562 (h) DBS Bank Ltd. 7.88% 08/10/09 130,000 132,334 (b,h) Diageo Capital PLC 5.20% 01/30/13 93,000 91,514 (h) Dominion Resources, Inc. 6.30% 09/30/66 236,000 106,200 (h,i) Dover Corp. 6.50% 02/15/11 75,000 76,667 (h) DP World Ltd. 6.85% 07/02/37 100,000 51,507 (b,h) Duke Energy Carolinas LLC 5.38% 01/01/09 50,000 50,000 (h) Duke Energy Indiana, Inc. 6.35% 08/15/38 1,172,000 1,319,133 Duke Realty LP 6.25% 05/15/13 109,000 75,032 Dynegy Holdings, Inc. 7.50% 06/01/15 284,000 198,800 Echostar DBS Corp. 7.75% 05/31/15 282,000 239,700 EI Du Pont de Nemours & Co. 4.88% 04/30/14 70,000 69,055 (h) 6.00% 07/15/18 284,000 298,281 Empresa Energetica de Sergipe / S.A. de Eletrificacao da Paraiba 10.50% 07/19/13 16,000 14,080 (b,h) EOG Resources, Inc. 5.88% 09/15/17 206,000 209,129 6.88% 10/01/18 180,000 196,318 Ford Motor Credit Company LLC 7.88% 06/15/10 285,000 228,051 General Dynamics Corp. 5.25% 02/01/14 164,000 168,071 Georgia-Pacific LLC 9.50% 12/01/11 297,000 280,665 GlaxoSmithKline Capital Inc. 4.85% 05/15/13 108,000 108,330 6.38% 05/15/38 284,000 320,873 Golden West Financial Corp. 4.75% 10/01/12 10,000 9,303 (h) Goldman Sachs Group, Inc. 6.15% 04/01/18 350,000 336,336 6.60% 01/15/12 410,000 404,533 (h) GTE Corp. 7.51% 04/01/09 52,000 52,191 (h) Halliburton Co. 5.90% 09/15/18 78,000 82,291 Harrah's Operating Company Inc. 10.00% 12/15/18 49,000 17,885 (b) 10.75% 02/01/16 215,000 61,275 (b) HCA Inc. 9.25% 11/15/16 282,000 258,735 Hewlett-Packard Co. 5.50% 03/01/18 107,000 107,987 Hexion US Finance Corp. 9.75% 11/15/14 149,000 42,465 Honeywell International, Inc. 5.30% 03/01/18 322,000 328,529 Host Hotels & Resorts LP (REIT) 6.38% 03/15/15 430,000 320,350 HSBC Bank USA N.A. 4.63% 04/01/14 195,000 180,668 7.00% 01/15/39 250,000 276,346 HSBC Capital Funding LP (Series 1) 9.55% 12/29/49 18,000 14,261 (b,h,i) HSBC Finance Corp. 6.75% 05/15/11 60,000 59,740 (h) IIRSA Norte Finance Ltd. 8.75% 05/30/24 116,756 84,065 (b,h) Independencia International Ltd. 9.88% 05/15/15 50,000 27,500 (b) ING Capital Funding TR III 8.44% 12/29/49 181,000 91,099 (h,i) ING Groep N.V. 5.78% 12/29/49 149,000 63,816 (h,i) Ingersoll-Rand Global Holding Company Ltd. 6.88% 08/15/18 114,000 109,020 Intergen N.V. 9.00% 06/30/17 159,000 130,380 (b,h) International Business Machines Corp. 4.75% 11/29/12 125,000 129,099 (h) Interoceanica IV Finance Ltd. 6.51% 11/30/25 98,423 33,316 (b,d,h) Iron Mountain, Inc. 8.00% 06/15/20 283,000 227,108 John Deere Capital Corp. 4.50% 04/03/13 217,000 207,724 Johnson & Johnson 5.85% 07/15/38 288,000 347,946 JP Morgan Chase & Co. 6.40% 05/15/38 170,000 201,103 7.00% 11/15/09 55,000 55,581 (h) JPMorgan Chase Bank 5.88% 06/13/16 180,000 179,576 Kellogg Co. 5.13% 12/03/12 106,000 105,964 Kimberly-Clark Corp. 7.50% 11/01/18 62,000 73,009 Kraft Foods, Inc. 6.75% 02/19/14 62,000 64,341 Kroger Co. 6.15% 01/15/20 286,000 282,174 LyondellBasell Industries AF SCA 8.38% 08/15/15 130,000 3,250 (b) Markel Corp. 7.35% 08/15/34 73,000 49,491 (h) McDonald's Corp. 5.80% 10/15/17 94,000 100,521 6.30% 03/01/38 152,000 167,657 Mediacom LLC / Mediacom Capital Corp. 9.50% 01/15/13 105,000 79,275 (h) Merck & Company, Inc. 5.75% 11/15/36 85,000 89,507 (h) Merrill Lynch & Company, Inc. 6.05% 08/15/12 113,000 111,483 6.88% 04/25/18 233,000 243,724 MetLife, Inc. (Series A) 6.82% 08/15/18 642,000 611,442 Midamerican Energy Holdings Co. 6.13% 04/01/36 45,000 41,843 (h) Mizuho Financial Group Cayman Ltd. 8.38% 12/29/49 115,000 107,172 Morgan Stanley 5.05% 01/21/11 202,000 194,020 6.00% 04/28/15 200,000 172,546 Morgan Stanley (Series F) 6.63% 04/01/18 100,000 87,729 Munich Re America Corp. (Series B) 7.45% 12/15/26 70,000 73,281 (h) New York Life Global Funding 5.38% 09/15/13 122,000 120,754 (b) NGPL PipeCo LLC 7.12% 12/15/17 107,000 96,321 (b) Norfolk Southern Corp. 8.63% 05/15/10 110,000 111,584 (h) Northern States Power 6.25% 06/01/36 15,000 15,841 (h) NorthWestern Corp. 5.88% 11/01/14 82,000 75,617 (h) NRG Energy, Inc. 7.38% 02/01/16 285,000 265,050 Oncor Electric Delivery Co. 5.95% 09/01/13 711,000 663,099 (b) OPTI Canada Inc. 8.25% 12/15/14 92,000 49,680 Oracle Corp. 5.75% 04/15/18 44,000 46,023 Pacific Gas & Electric Co. 5.80% 03/01/37 125,000 129,651 Parker Hannifin Corp. 5.50% 05/15/18 172,000 166,285 Pemex Finance Ltd. 9.03% 02/15/11 46,350 47,277 (h) Pemex Project Funding Master Trust 5.75% 03/01/18 50,000 44,125 (b) 7.88% 02/01/09 36,000 36,034 PepsiCo, Inc. 5.00% 06/01/18 512,000 530,701 7.90% 11/01/18 62,000 75,990 Pitney Bowes, Inc. 3.88% 06/15/13 127,000 120,158 Potomac Edison Co. 5.35% 11/15/14 15,000 13,072 (h) Potomac Electric Power Co. 7.90% 12/15/38 47,000 52,353 President and Fellows of Harvard College 5.00% 01/15/14 100,000 103,153 (b) Procter & Gamble Co. 4.60% 01/15/14 126,000 132,036 5.50% 02/01/34 63,000 65,809 Public Service Company of Colorado 7.88% 10/01/12 115,000 120,941 (h) Puget Sound Energy, Inc. (Series A) 6.97% 06/01/67 160,000 72,000 (i) Rogers Communications, Inc. 6.80% 08/15/18 320,000 323,338 Royal Bank of Scotland Group PLC 5.00% 10/01/14 45,000 38,573 (h) Sabine Pass LNG LP 7.25% 11/30/13 70,000 51,100 7.50% 11/30/16 80,000 57,600 Safeway, Inc. 6.25% 03/15/14 38,000 38,197 Security Benefit Life Insurance 8.75% 05/15/16 75,000 54,593 (b,q) Skandinaviska Enskilda Banken AB 7.50% 03/29/49 250,000 231,012 (b,h,i) Southern California Edison Co. 5.50% 08/15/18 673,000 703,613 Sprint Capital Corp. 7.63% 01/30/11 58,000 48,430 Standard Chartered Bank Hong Kong Ltd. 4.38% 12/03/14 100,000 89,740 Telecom Italia Capital S.A. 6.20% 07/18/11 228,000 202,350 Telefonica Emisiones SAU 5.86% 02/04/13 150,000 145,807 6.22% 07/03/17 171,000 168,469 Tenneco, Inc. 8.63% 11/15/14 282,000 107,160 Terex Corp. 8.00% 11/15/17 296,000 251,600 Tesco PLC 5.50% 11/15/17 100,000 92,701 (b) Textron Inc. 6.50% 06/01/12 117,000 100,997 The Bank of New York Mellon Corp. 4.95% 11/01/12 650,000 659,924 The Travelers Companies, Inc. 5.80% 05/15/18 112,000 107,894 Thomson Reuters Corp. 5.95% 07/15/13 229,000 213,205 6.50% 07/15/18 115,730 105,238 TIAA Global Markets Inc. 4.95% 07/15/13 169,000 167,143 (b) Ticketmaster 10.75% 08/01/16 1,000,000 540,000 (b) Time Warner Cable, Inc. 6.20% 07/01/13 210,000 198,638 6.75% 07/01/18 394,000 379,345 8.75% 02/14/19 190,000 206,594 TransCanada Pipelines Ltd. 6.50% 08/15/18 161,000 157,951 Transocean, Inc. 6.00% 03/15/18 105,000 95,634 UBS Preferred Funding Trust I 8.62% 10/29/49 75,000 45,311 (i) United Technologies Corp. 6.13% 07/15/38 128,000 139,108 Verizon Communications, Inc. 6.90% 04/15/38 114,000 128,279 8.75% 11/01/18 210,000 246,377 Verizon Global Funding Corp. 7.25% 12/01/10 118,000 123,707 Verizon Pennsylvania, Inc. 8.35% 12/15/30 50,000 48,834 (h) 8.75% 08/15/31 52,000 51,552 (h) Walgreen Co. 4.88% 08/01/13 419,000 431,512 Wal-Mart Stores, Inc. 5.80% 02/15/18 226,000 250,080 6.20% 04/15/38 170,000 185,995 Wells Fargo & Co. 5.63% 12/11/17 50,000 52,164 Westar Energy, Inc. 7.13% 08/01/09 76,000 75,310 (h) Westlake Chemical Corp. 6.63% 01/15/16 150,000 87,000 (h) Wyeth 5.50% 03/15/13 309,000 314,753 XTO Energy, Inc. 6.38% 06/15/38 87,000 76,882 6.50% 12/15/18 150,000 145,203 31,432,890 NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 1.6% Banc of America Commercial Mortgage Inc. (Class C) 5.70% 04/10/49 100,000 18,037 (h,i,o) Banc of America Funding Corp. 5.72% 03/20/36 66,998 12,168 (h,i,o) 5.76% 02/20/36 134,914 30,282 (h,i,o) Banc of America Mortgage Securities Inc. (Class B) 5.35% 01/25/36 67,216 16,026 (h,i) Bear Stearns Commercial Mortgage Securities 5.71% 06/11/40 170,000 132,367 6.02% 02/14/31 15,075 15,028 (h,i) Bear Stearns Commercial Mortgage Securities (Class A) 5.46% 04/12/38 600,000 527,197 (h,i) 5.92% 06/11/50 295,000 146,849 Bear Stearns Commercial Mortgage Securities (Class D) 5.99% 09/11/42 30,000 4,134 (b,h,i,o) Citigroup Commercial Mortgage Trust 5.70% 12/10/49 180,000 135,681 (i) 6.10% 12/10/49 50,000 38,604 Commercial Mortgage Loan Trust 6.02% 12/10/49 300,000 217,003 Countrywide Alternative Loan Trust 5.97% 05/25/36 24,254 243 (h,i,o) 6.00% 03/25/36 - 08/25/36 102,529 2,214 (h,o) Countrywide Alternative Loan Trust (Class B) 6.00% 05/25/36 - 08/25/36 53,835 826 (h,o) Credit Suisse Mortgage Capital Certificates (Class C) 5.65% 02/25/36 24,182 3,543 (h,i,o) Crusade Global Trust (Class A) 2.04% 09/18/34 6,622 6,407 (h,i) CS First Boston Mortgage Securities Corp. 5.25% 08/25/34 39,421 36,072 (h) 5.34% 10/25/35 29,274 3,952 (h,i,o) 15.81% 07/15/37 411,071 5,926 (b,d,h,i,o) GMAC Commercial Mortgage Securities Inc. (Class X) 15.72% 12/10/41 620,967 7,243 (d,h,i,o) Greenwich Capital Commercial Funding Corp. 5.12% 04/10/37 35,182 31,934 (h) Indymac INDA Mortgage Loan Trust 5.15% 01/25/36 135,471 1,778 (h,i,o) Indymac INDA Mortgage Loan Trust (Class B) 5.15% 01/25/36 135,331 64,038 (h,i,o) JP Morgan Alternative Loan Trust 1.46% 10/25/36 551,734 470,348 (d,h,i) JP Morgan Chase Commercial Mortgage Securities Corp. 5.44% 06/12/47 210,000 151,531 5.72% 02/15/51 280,000 195,569 6.06% 02/15/51 380,000 178,446 (i) 6.07% 02/12/51 330,000 233,806 6.20% 02/12/51 50,000 7,594 (b,i,o) 6.47% 11/15/35 25,489 24,661 (h) LB-UBS Commercial Mortgage Trust 4.06% 09/15/27 34,039 33,011 (h,i) 5.66% 03/15/39 600,000 488,715 (h,i) 5.86% 07/15/40 170,000 120,959 (i) 15.64% 01/18/12 545,074 7,470 (d,h,i,o) 26.09% 03/15/36 420,732 7,281 (b,d,h,i,o) 27.04% 02/15/40 488,930 5,616 (b,d,h,i,o) LB-UBS Commercial Mortgage Trust (Class F) 6.24% 07/15/40 90,000 13,962 (i,o) LB-UBS Commercial Mortgage Trust (Class X) 27.91% 12/15/39 435,125 4,096 (b,d,h,i,o) Merrill Lynch/Countrywide Commercial Mortgage Trust 5.42% 08/12/48 175,000 79,577 MLCC Mortgage Investors Inc. 5.38% 02/25/36 49,996 1,500 (h,i) Morgan Stanley Capital I 5.28% 12/15/43 500,000 409,632 (h) 5.33% 12/15/43 500,000 376,151 (h) 5.44% 02/12/44 1,000,000 684,314 (b) 5.45% 02/12/44 60,000 44,502 (i) 5.69% 04/15/49 700,000 525,317 (i) 5.88% 06/11/49 210,000 155,583 7.11% 04/15/33 35,177 35,045 (h,i) Morgan Stanley Capital I (Class A) 5.36% 02/12/44 1,000,000 792,125 5.81% 12/12/49 80,000 59,905 Morgan Stanley Dean Witter Capital I (Class A) 6.54% 02/15/31 6,608 6,524 (h) Nomura Asset Securities Corp. (Class A) 6.59% 03/15/30 3,436 3,431 (h) Puma Finance Ltd. (Class A) 1.63% 03/25/34 7,225 6,365 (h,i) 4.94% 10/11/34 9,169 8,000 (h,i) Residential Accredit Loans Inc. 6.00% 01/25/36 325,605 20,759 (h,o) Residential Asset Securitization Trust (Class A) 1.80% 05/25/35 95,342 49,273 (d,h,i,o) Structured Asset Securities Corp. (Class X) 2.13% 02/25/28 22,743 1 (i,o) Wachovia Bank Commercial Mortgage Trust 5.74% 06/15/49 520,000 381,031 (i) Wachovia Bank Commercial Mortgage Trust (Class A) 5.42% 01/15/45 280,000 218,354 (i) Wachovia Bank Commercial Mortgage Trust (Class E) 5.90% 02/15/51 285,000 43,368 (i,o) Wells Fargo Mortgage Backed Securities Trust 5.50% 01/25/36 - 03/25/36 232,225 56,055 (h) Wells Fargo Mortgage Backed Securities Trust (Class B) 5.50% 03/25/36 138,577 34,566 (h) 7,391,995 SOVEREIGN BONDS - 0.3% Banco Nacional de Desenvolvimento Economico e Social 6.37% 06/16/18 200,000 190,000 (b,h) Government of Brazil 8.00% 01/15/18 109,000 122,080 (h) Government of Canada 5.00% 07/17/09 60,000 60,087 (h) 7.50% 09/15/29 110,000 156,244 Government of Indonesia 6.88% 01/17/18 100,000 83,000 (b) 7.75% 01/17/38 100,000 83,000 (b) Government of Manitoba Canada 4.90% 12/06/16 75,000 82,476 (h) Government of Pakistan 6.75% 02/19/09 145,000 139,273 Government of Panama 6.70% 01/26/36 75,000 67,500 Government of Venezuela 5.38% 08/07/10 59,000 45,873 9.00% 05/07/23 66,700 26,680 Republic of Turkey 7.00% 03/11/19 100,000 96,500 1,152,713 TOTAL BONDS AND NOTES 124,396,738 (COST $129,406,614) NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS - 0.7% - ------------------------------------------------------------------------------------------------------------------------- Financial Select Sector SPDR Fund 49,285 621,977 Industrial Select Sector SPDR Fund 107,183 2,516,657 TOTAL EXCHANGE TRADED FUNDS 3,138,634 (COST $5,152,577) - ------------------------------------------------------------------------------------------------------------------------- OTHER INVESTMENTS - 0.2% - ------------------------------------------------------------------------------------------------------------------------- GEI Investment Fund 908,407 (k) (COST $1,651,648) TOTAL INVESTMENTS IN SECURITIES 372,581,281 (COST $491,020,336) - ------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 24.9% - ------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 21.4% GE Money Market Fund Institutional Class 1.02% 97,173,160 (d,n) U.S. GOVERNMENTS - 3.5% Federal Home Loan Bank 1.00% 03/30/09 8,000,000 7,998,416 Freddie Discount 1.11% 03/11/09 8,000,000 7,998,752 (d) 15,997,168 TOTAL SHORT-TERM INVESTMENTS 113,170,328 (COST $113,139,804) TOTAL INVESTMENTS 485,751,609 (COST $604,160,140) LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (7.1)% (32,277,677) ------------- NET ASSETS - 100.0% $453,473,932 ============= - ----------------------------------------------------------------------------------------------------------------------------- OTHER INFORMATION - -----------------------------------------------------------------------------------------------------------------------------
The GE Institutional Strategic Investment Fund had the following long future contract open at December 31, 2008 (unaudited):
CURRENT UNREALIZED EXPIRATION NUMBER OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ---------------------------------------------------------------------------------------------------------------------------- DJ Euro Stoxx 50 Index Futures March 2009 13 $ 442,731 $ (375) FTSE 100 Index Future March 2009 7 441,821 4,779 S&P 500 Index Futures March 2009 4 900,100 (2,200) S&P 500 Index Futures March 2009 3 675,075 (1,463) S&P Midcap 400 Index Futures March 2009 16 859,520 7,278 Topix Index Futures March 2009 6 570,546 9,513 2 Yr. U.S.Treasury Notes Futures March 2009 82 17,881,125 129,681 5 Yr. U.S.Treasury Notes Futures March 2009 12 1,428,656 43,764
The GE Institutional Strategic Investment Fund had the following short future contract open at December 31, 2008 (unaudited):
CURRENT UNREALIZED EXPIRATION NUMBER OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ---------------------------------------------------------------------------------------------------------------------------- 10 Yr. U.S.Treasury Notes Futures March 2009 31 $(3,898,250) $ 26,821 ------------ $ 217,797 ============
The GE Institutional Strategic Investment Fund was invested in the following Countries at December 31, 2008 (unaudited):
PERCENTAGE (BASED COUNTRY ON MARKET VALUE) - ------------------------------------------------------------------------------------------------------------------------------- United States 80.18% Japan 3.53% France 2.89% United Kingdom 2.86% Switzerland 2.32% Germany 1.42% Canada 1.41% China 0.49% Brazil 0.48% Spain 0.48% Taiwan 0.41% Australia 0.36% South Korea 0.35% Italy 0.34% South Africa 0.33% India 0.32% Finland 0.26% Netherlands 0.24% Mexico 0.22% Singapore 0.16% Israel 0.14% Turkey 0.09% Hong Kong 0.08% Denmark 0.08% Russia 0.06% Indonesia 0.05% Luxembourg 0.04% Norway 0.04% Chile 0.04% Egypt 0.04% Greece 0.04% Malaysia 0.04% Philippines 0.03% Pakistan 0.03% Sweden 0.03% Jamaica 0.02% Peru 0.02% Thailand 0.02% Bermuda 0.02% Cayman Islands 0.02% Venezuela 0.01% Panama 0.01% ------------ 100.00% ============
The GE Institutional Strategic Investment Fund was invested in the following Sectors at December 31, 2008 (unaudited):
SECTOR PERCENTAGE (BASED ON MARKET VALUE) - ------------------------------------------------------------------------------------------------------------------------------- Short-Term Investments 23.30% Agency Mortgage Backed 9.23% Corporate Notes 6.47% U.S. Treasuries 3.86% Commercial Banks 2.89% Communications Equipment 2.76% Oil, Gas & Consumable Fuels 2.73% Pharmaceuticals 2.65% Biotechnology 2.57% Federal Agencies 2.40% Media 2.26% Capital Markets 2.13% Software 1.85% Healthcare Equipment & Supplies 1.80% Insurance 1.79% Food Products 1.73% Wireless Telecommunication Services 1.67% Energy Equipment & Services 1.59% Non-Agency Collateralized Mortgage Obligations 1.52% Asset Backed 1.47% IT Services 1.38% Semiconductors & Semiconductor Equipment 1.33% Chemicals 1.30% Commercial Services & Supplies 1.09% Specialty Retail 1.08% Healthcare Providers & Services 1.07% Multi-Utilities 1.07% Metals & Mining 1.04% Beverages 1.03% Diversified Financial Services 0.99% Industrial Conglomerates 0.95% Personal Products 0.92% Electric Utilities 0.81% Miscellaneous 0.65% Machinery 0.63% Household Products 0.63% Aerospace & Defense 0.63% Real Estate Management & Development 0.58% Food & Staples Retailing 0.55% Internet Software & Services 0.51% Diversified Telecommunication Services 0.49% Road & Rail 0.45% Hotels Restaurants & Leisure 0.43% Agency Collateralized Mortgage Obligations 0.42% Electrical Equipment 0.35% Electronic Equipment, Instruments & Components 0.34% Construction & Engineering 0.34% Multiline Retail 0.30% Computers & Peripherals 0.30% Life Sciences Tools & Services 0.28% Textiles Apparel & Luxury Goods 0.25% Sovereign Bonds 0.24% Automobiles 0.19% Other Investments 0.19% Professional Services 0.16% Real Estate Investment Trusts (Reits) 0.13% Water Utilities 0.11% Tobacco 0.08% Independent Power Producers & Energy Traders 0.02% Household Durables 0.01% Paper & Forest Products 0.01% Internet & Catalog Retail 0.00% ------------ 100.00% ============
GE INSTITUTIONAL INCOME FUND SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
PRINCIPAL AMOUNT VALUE BONDS AND NOTES - 106.0% - ------------------------------------------------------------------------------------------------------------------------------- U.S. TREASURIES - 15.4% U.S. Treasury Bonds 4.38% 02/15/38 $ 6,620,500 $ 8,867,332 4.50% 05/15/38 2,366,300 3,229,630 U.S. Treasury Notes 1.25% 11/30/10 318,700 322,123 2.00% 11/30/13 3,762,700 3,860,297 3.13% 08/31/13 16,085,100 17,343,003 3.50% 02/15/18 5,600 6,198 3.63% 10/31/09 8,399,000 8,620,129 3.75% 11/15/18 1,482,500 1,678,234 4.00% 08/15/18 2,899,000 3,347,667 4.50% 11/15/10 - 05/15/17 205,000 235,167 4.63% 11/15/09 1,865,000 1,932,679 49,442,459 FEDERAL AGENCIES - 10.2% Federal Home Loan Banks 5.00% 11/17/17 1,400,000 1,605,099 Federal Home Loan Mortgage Corp. 4.13% 12/21/12 - 09/27/13 7,678,000 8,236,566 4.88% 02/09/10 4,960,000 5,164,868 (h) 5.13% 11/17/17 6,400,000 7,415,392 Federal National Mortgage Assoc. 3.63% 02/12/13 1,966,000 2,080,655 (h) 3.88% 07/12/13 7,812,000 8,290,071 (h) 32,792,651 AGENCY MORTGAGE BACKED - 34.6% Federal Home Loan Mortgage Corp. 4.50% 06/01/33 - 02/01/35 552,726 561,118 (h) 5.00% 07/01/35 - 10/01/35 1,191,960 1,219,345 (h) 5.50% 05/01/20 - 03/01/38 3,279,656 3,364,502 (h) 6.00% 04/01/17 - 11/01/37 3,981,890 4,109,123 (h) 6.50% 01/01/27 - 08/01/36 1,534,455 1,598,033 (h) 7.00% 10/01/16 - 08/01/36 340,435 355,501 (h) 7.50% 11/01/09 - 09/01/33 41,222 43,605 (h) 8.00% 11/01/30 42,760 45,374 (h) 8.50% 04/01/30 - 05/01/30 73,670 79,534 (h) 9.00% 12/01/16 3,486 3,788 (h) 9.50% 04/01/21 282 309 (h) 5.50% TBA 9,350,000 9,569,145 (c) Federal National Mortgage Assoc. 4.00% 05/01/19 - 06/01/19 489,994 498,021 (h) 4.50% 05/01/18 - 02/01/35 2,483,841 2,538,156 (h) 4.50% 02/01/20 73,836 75,669 (h,o) 5.00% 07/01/20 - 08/01/35 1,976,783 2,022,909 (h) 5.25% 04/01/37 352,090 358,508 (i) 5.47% 04/01/37 23,601 24,071 (i) 5.50% 03/01/14 - 04/01/38 4,181,438 4,303,044 (h) 5.50% 10/01/24 - 04/01/37 407,102 414,250 (h,i) 5.50% 06/01/20 77,735 80,313 (h,o) 5.52% 04/01/37 131,494 134,451 (i) 5.54% 04/01/37 306,610 313,396 (i) 5.57% 04/01/37 375,403 384,106 (i) 5.62% 03/01/37 29,555 30,194 (i) 5.67% 05/01/37 230,182 235,742 (i) 5.69% 04/01/37 280,849 287,747 (i) 5.71% 04/01/37 143,691 147,224 (i) 6.00% 02/01/14 - 03/01/38 9,936,575 10,248,501 (h) 6.00% 10/01/34 - 03/01/35 342,267 353,206 (h,o) 6.01% 10/01/37 503,767 518,169 (i) 6.50% 07/01/17 - 08/01/36 3,596,862 3,746,696 (h) 6.50% 10/01/34 - 12/01/34 68,184 71,019 (h,o) 7.00% 08/01/13 - 06/01/36 1,135,145 1,197,936 (h) 7.00% 10/01/34 14,727 15,502 (h,o) 7.50% 12/01/09 - 03/01/34 426,036 450,890 (h) 8.00% 12/01/12 - 11/01/33 199,941 211,638 (h) 8.50% 05/01/31 11,279 12,191 (h) 9.00% 06/01/09 - 12/01/22 23,690 25,476 (h) 4.50% TBA 5,575,000 5,644,337 (c) 5.00% TBA 23,731,000 24,263,220 (c) 5.50% TBA 3,878,000 3,975,302 (c) 6.00% TBA 10,361,000 10,690,337 (c) 6.50% TBA 3,472,000 3,605,457 (c) 7.00% TBA 825,000 863,672 (c) Government National Mortgage Assoc. 4.50% 08/15/33 - 09/15/34 945,103 964,534 (h) 5.00% 08/15/33 172,855 177,525 (h,o) 6.00% 04/15/27 - 09/15/36 848,390 878,197 (h) 6.50% 04/15/19 - 09/15/36 647,945 677,286 (h) 6.50% 02/15/24 - 08/15/34 88,147 92,305 (h,o) 7.00% 03/15/12 - 10/15/36 345,898 361,838 (h) 7.00% 01/15/28 - 06/15/34 29,632 31,247 (h,o) 7.50% 01/15/23 - 10/15/33 100,735 106,954 (h) 7.50% 09/15/23 - 01/15/28 2,541 2,694 (h,o) 8.00% 02/15/30 - 09/15/30 2,059 2,194 (h) 8.50% 10/15/17 14,963 15,967 (h) 9.00% 11/15/16 - 12/15/21 90,348 96,590 (h) 5.50% TBA 8,560,000 8,814,129 (c) 110,912,187 AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 2.2% Collateralized Mortgage Obligation Trust (Class B) 13.38% 11/01/18 1,522 1,132 (d,f,h) Federal Home Loan Mortgage Corp. 4.50% 11/15/13 - 03/15/19 773,454 44,372 (g,h,p) 5.00% 03/15/11 - 12/01/34 5,204,006 493,971 (g,h,p) 5.00% 05/15/38 296,092 286,125 (h) 5.29% 06/15/36 5,863,761 468,513 (g,i,p) 5.46% 05/15/36 - 11/15/36 3,029,908 270,209 (g,h,i,p) 5.50% 04/15/17 - 06/15/33 642,161 93,627 (g,h,p) 5.56% 05/15/37 1,271,816 110,925 (g,i,p) 5.81% 02/15/38 1,295,817 113,454 (g,i,p) 6.11% 09/15/35 1,190,641 134,745 (g,i,p) 7.50% 01/15/16 37,018 38,299 (h) 7.50% 07/15/27 18,392 2,872 (g,h,p) 8.00% 04/15/20 530 558 (h) 8.00% 02/01/23 - 07/01/24 17,027 3,586 (g,h,p) 8.56% 12/15/33 231,580 212,020 (h,i) 18.98% 11/15/37 769,036 670,622 (d,f,h) 55.02% 09/25/43 2,117,298 10,429 (d,g,h,i,p) Federal Home Loan Mortgage STRIPS 5.44% 08/01/27 4,016 3,436 (d,f,h) Federal National Mortgage Assoc. 1.19% 12/25/42 461,868 14,421 (g,h,i,p) 4.00% 02/25/28 14,762 14,756 (h) 4.50% 05/25/18 165,961 7,494 (g,h,p) 4.75% 11/25/14 92,124 2,007 (g,h,p) 5.00% 08/25/17 - 02/25/32 1,180,949 130,151 (g,h,p) 5.00% 10/25/35 - 08/25/38 754,781 740,919 (h) 5.50% 01/25/33 354,430 357,105 6.03% 04/25/38 1,636,217 120,869 (g,h,i,p) 6.53% 10/25/29 495,908 40,071 (g,h,i,p) 7.03% 05/25/18 632,257 65,293 (g,h,i,p) 7.13% 09/25/42 1,252,587 157,439 (g,h,i,p) 7.23% 08/25/16 233,401 11,694 (g,h,i,p) Federal National Mortgage Assoc. (Class 1) 4.50% 09/01/35 - 01/01/36 2,518,862 411,219 (g,p) 5.00% 05/25/38 796,357 120,703 (g,p) 10.04% 11/01/34 236,739 213,986 (d,f,h) Federal National Mortgage Assoc. (Class 2) 5.00% 09/01/33 - 03/25/38 2,787,373 337,705 (g,p) 5.50% 12/01/33 202,141 23,904 (g,h,p) Federal National Mortgage Assoc. REMIC 4.50% 11/25/13 48,188 196 (g,h,p) 5.00% 10/25/22 211,986 12,888 (g,h,p) 15.57% 03/25/31 421,791 456,314 (h,i) Federal National Mortgage Assoc. REMIC (Class B) 3.03% 12/25/22 1,154 1,059 (d,f,h) Federal National Mortgage Assoc. REMIC (Class K) 1008.00% 05/25/22 21 438 (g,h,p) Federal National Mortgage Assoc. STRIPS (Class 2) 4.50% 08/01/35 738,848 115,939 (g,p) 5.00% 08/01/34 6,506,554 769,603 (g,h,p) 7.50% 11/01/23 100,190 18,540 (g,h,p) 8.00% 08/01/23 - 07/01/24 36,230 6,525 (g,h,p) 8.50% 03/01/17 - 07/25/22 3,604 721 (g,h,p) 9.00% 05/25/22 1,204 277 (g,h,p) 7,111,131 ASSET BACKED - 10.8% Accredited Mortgage Loan Trust (Class A) 1.70% 07/25/34 57,750 21,260 (d,h,i) AESOP Funding II LLC (Class A) 1.57% 04/20/11 2,000,000 1,696,186 (d,i,o) BA Credit Card Trust 1.20% 08/15/12 2,000,000 1,872,600 (h,i) Bear Stearns Asset Backed Securities Trust (Class A) 1.77% 01/25/34 52,644 37,914 (d,h,i) Capital Auto Receivables Asset Trust (Class A) 1.98% 01/15/10 576,276 562,499 (b,h,i) Capital One Auto Finance Trust 1.20% 04/15/12 1,273,795 1,108,202 (h,i,o) Carmax Auto Owner Trust 4.35% 03/15/10 59,883 59,709 (h) Chase Funding Mortgage Loan Asset-Backed Certificates 1.90% 03/25/32 33,280 21,177 (d,h,i) Chase Issuance Trust (Class A) 1.22% 11/15/11 4,000,000 3,855,828 (i) Countrywide Asset-Backed Certificates 1.51% 06/25/35 635,100 595,422 (d,i) 1.83% 05/25/33 1,500 1,330 (d,i) Countrywide Asset-Backed Certificates (Class 2) 1.07% 06/25/33 555 310 (i) Countrywide Asset-Backed Certificates (Class A) 0.14% 03/25/33 48,397 30,176 (i) 1.03% 08/25/32 7,609 3,088 (h,i) Discover Card Master Trust I 1.21% 04/15/10 4,500,000 4,155,590 (i) Discover Card Master Trust I (Class A) 1.23% 04/17/12 4,000,000 3,830,720 (h,i) First Franklin Mortgage Loan Asset Backed Certificates (Class M) 1.85% 03/25/35 2,000,000 1,310,386 (d,i,o) Fleet Home Equity Loan Trust (Class A) 1.70% 01/20/33 153,782 90,797 (h,i) Ford Credit Floorplan Master Owner Trust (Class A) 1.38% 06/15/11 2,000,000 1,930,842 (i) GMAC Mortgage Corp. Loan Trust 1.58% 08/25/35 850,267 448,553 (d,i,o) GSAA Trust 1.46% 10/25/36 1,293,156 1,088,856 (d,h,i) GSAMP Trust 0.14% 05/25/36 394,644 327,554 (b,i) 1.55% 12/25/35 100,967 96,555 (d,i) Indymac Residential Asset Backed Trust (Class M) 2.47% 04/25/47 133,000 4,597 (h,i,o) JP Morgan Mortgage Acquisition Corp. 1.55% 03/01/37 1,500,000 855,000 (d,h,i,o) Long Beach Mortgage Loan Trust 1.68% 09/25/35 389,148 336,542 (d,i) Mid-State Trust 7.54% 07/01/35 4,992 4,671 (h,o) Nissan Auto Lease Trust 1.27% 02/15/13 2,805,000 2,558,687 (i) Option One Mortgage Loan Trust 1.53% 07/25/37 2,500,000 1,491,814 (d,h,i,o) Option One Mortgage Loan Trust (Class A) 1.31% 02/25/33 683,536 465,598 (i) Peco Energy Transition Trust 6.52% 12/31/10 238,000 239,832 (h) Residential Asset Mortgage Products Inc. 1.64% 03/25/34 2,109 1,991 (d,h,i) Residential Asset Mortgage Products Inc. (Class A) 1.03% 06/25/32 8,374 5,997 (i) Residential Asset Securities Corp. 1.90% 07/25/32 11,933 6,006 (d,h,i) Residential Asset Securities Corp. (Class A) 1.05% 06/25/33 12,031 7,047 (h,i) 4.16% 07/25/30 27,583 26,667 (h,i) SLM Student Loan Trust (Class A) 2.05% 06/15/18 106,809 92,958 (h,i) Swift Master Auto Receivables Trust (Class A) 1.30% 06/15/12 1,500,000 1,020,883 (h,i) Triad Auto Receivables Owner Trust (Class A) 1.50% 02/12/14 1,000,000 755,202 (h,i) Wachovia Asset Securitization, Inc. (Class A) 1.62% 06/25/34 89,515 71,992 (d,h,i) Washington Mutual Master Note Trust 1.23% 05/15/14 5,000,000 3,561,950 (h,i,o) Wells Fargo Home Equity Trust 3.97% 05/25/34 95,230 93,865 (h,i) 34,746,853 CORPORATE NOTES - 24.8% Abbott Laboratories 5.88% 05/15/16 554,000 600,019 AES Ironwood LLC 8.86% 11/30/25 663,481 577,228 (h) American Electric Power Company, Inc. (Series C) 5.38% 03/15/10 665,000 660,120 (h) American Railcar Industries, Inc. 7.50% 03/01/14 100,000 66,000 (h) ARAMARK Corp. 8.50% 02/01/15 782,000 707,710 (h) ArcelorMittal USA 6.50% 04/15/14 71,000 50,483 Archer-Daniels-Midland Co. 6.45% 01/15/38 588,000 595,737 (h) Arizona Public Service Co. 6.25% 08/01/16 290,000 233,181 (h) AT&T, Inc. 5.60% 05/15/18 752,000 765,644 6.40% 05/15/38 550,000 589,150 6.70% 11/15/13 476,000 504,237 BAC Capital Trust VI 5.63% 03/08/35 376,000 315,872 (h) Baker Hughes Inc. 7.50% 11/15/18 275,000 304,881 Banco Mercantil del Norte S.A. 6.14% 10/13/16 200,000 128,118 (b,h,i) Bank of America Corp. 4.88% 01/15/13 1,000,000 985,091 5.75% 12/01/17 2,045,000 2,041,812 8.00% 12/29/49 149,000 107,174 (h,i) Bear Stearns Companies Inc. 5.85% 07/19/10 422,000 426,293 (h) 6.95% 08/10/12 845,000 877,594 (h) BellSouth Corp. 6.55% 06/15/34 356,000 360,984 (h) Berkshire Hathaway Finance Corp. 5.00% 08/15/13 1,204,000 1,224,758 Bristol-Myers Squibb Co. 5.45% 05/01/18 360,000 372,738 5.88% 11/15/36 250,000 265,862 (h) Cardinal Health, Inc. 5.50% 06/15/13 314,000 296,838 Cargill Inc. 5.20% 01/22/13 625,000 572,559 (b,h) 6.00% 11/27/17 554,000 496,741 (b,h) Carolina Power & Light Co. 5.15% 04/01/15 179,000 179,459 (h) 5.70% 04/01/35 92,000 93,413 (h) 6.13% 09/15/33 166,000 177,868 (h) Cellco Partnership 7.38% 11/15/13 326,000 343,956 (b) Century Aluminum Co. 7.50% 08/15/14 726,000 417,450 Chesapeake Energy Corp. 7.25% 12/15/18 781,000 609,180 Citigroup, Inc. 6.50% 08/19/13 2,075,000 2,093,853 Clarendon Alumina Production Ltd. 8.50% 11/16/21 385,000 227,150 (b,h) CME Group Inc. 5.40% 08/01/13 717,000 712,210 Community Health Systems, Inc. 8.88% 07/15/15 782,000 719,440 (h) Consolidated Edison Company of New York, Inc. 5.85% 04/01/18 588,000 592,107 7.13% 12/01/18 400,000 430,109 Constellation Brands, Inc. 7.25% 05/15/17 782,000 738,990 COX Communications Inc. 6.25% 06/01/18 662,000 587,586 (b) 7.13% 10/01/12 185,000 177,048 (h) 7.75% 11/01/10 295,000 289,547 (h) Credit Suisse 6.00% 02/15/18 647,000 594,156 (h) CSC Holdings Inc. 8.50% 06/15/15 783,000 689,040 (b,h) CSX Transportation, Inc. 9.75% 06/15/20 146,000 165,495 (h) CVS/Caremark Corp. 5.75% 06/01/17 306,000 288,090 (h) Diageo Capital PLC 5.20% 01/30/13 286,000 281,430 (h) Dominion Resources, Inc. 6.30% 09/30/66 806,000 362,700 (h,i) Dover Corp. 6.50% 02/15/11 225,000 229,999 (h) DP World Ltd. 6.85% 07/02/37 300,000 154,520 (b,h) Duke Energy Carolinas LLC 5.38% 01/01/09 125,000 125,000 (h) Duke Energy Indiana, Inc. 6.35% 08/15/38 431,000 485,108 Duke Realty LP 6.25% 05/15/13 305,000 209,953 Dynegy Holdings, Inc. 7.50% 06/01/15 782,000 547,400 Echostar DBS Corp. 7.75% 05/31/15 783,000 665,550 EI Du Pont de Nemours & Co. 4.88% 04/30/14 255,000 251,556 (h) 6.00% 07/15/18 712,000 747,803 Empresa Energetica de Sergipe / S.A. de Eletrificacao da Paraiba 10.50% 07/19/13 103,000 90,640 (b,h) EOG Resources, Inc. 5.88% 09/15/17 518,000 525,868 6.88% 10/01/18 405,000 441,716 Ford Motor Credit Company LLC 7.88% 06/15/10 782,000 625,741 General Dynamics Corp. 5.25% 02/01/14 407,000 417,102 Georgia-Pacific LLC 9.50% 12/01/11 781,000 738,045 GlaxoSmithKline Capital Inc. 4.85% 05/15/13 306,000 306,935 6.38% 05/15/38 725,000 819,130 Globo Comunicacao e Participacoes S.A. 7.25% 04/26/22 5,000 4,450 (b,h) Goldman Sachs Group, Inc. 6.15% 04/01/18 1,550,000 1,489,490 6.60% 01/15/12 905,000 892,932 (h) GTE Corp. 7.51% 04/01/09 250,000 250,921 (h) Halliburton Co. 5.90% 09/15/18 194,000 204,672 Harrah's Operating Company Inc. 10.00% 12/15/18 135,000 49,275 (b) 10.75% 02/01/16 588,000 167,580 (b) HCA Inc. 9.25% 11/15/16 782,000 717,485 Hewlett-Packard Co. 5.50% 03/01/18 307,000 309,832 (h) Hexion US Finance Corp. 9.75% 11/15/14 524,000 149,340 Honeywell International, Inc. 5.30% 03/01/18 834,000 850,911 Host Hotels & Resorts LP (REIT) 6.38% 03/15/15 1,136,000 846,320 HSBC Bank USA N.A. 4.63% 04/01/14 175,000 162,138 (h) 7.00% 01/15/39 750,000 829,038 HSBC Capital Funding LP (Series 1) 9.55% 12/29/49 109,000 86,360 (b,h,i) HSBC Finance Corp. 6.75% 05/15/11 220,000 219,047 (h) HSBC Holdings PLC 6.50% 05/02/36 100,000 101,531 (h) IIRSA Norte Finance Ltd. 8.75% 05/30/24 286,053 205,958 (b,h) Independencia International Ltd. 9.88% 05/15/15 230,000 126,500 (b) ING Capital Funding TR III 8.44% 12/29/49 718,000 361,378 (h,i) ING Groep N.V. 5.78% 12/29/49 188,000 80,519 (h,i) Ingersoll-Rand Global Holding Company Ltd. 6.88% 08/15/18 286,000 273,507 Intergen N.V. 9.00% 06/30/17 471,000 386,220 (b,h) International Business Machines Corp. 4.75% 11/29/12 300,000 309,837 (h) Interoceanica IV Finance Ltd. 6.51% 11/30/25 162,399 54,972 (b,d,h) 7.07% 11/30/18 265,000 133,056 (b,d,h) Iron Mountain, Inc. 8.00% 06/15/20 782,000 627,555 John Deere Capital Corp. 4.50% 04/03/13 597,000 571,479 Johnson & Johnson 5.85% 07/15/38 716,000 865,033 JP Morgan Chase & Co. 6.40% 05/15/38 473,000 559,540 7.00% 11/15/09 805,000 813,504 (h) JPMorgan Chase Bank 5.88% 06/13/16 135,000 134,682 (h) Kellogg Co. 5.13% 12/03/12 262,000 261,911 Kimberly-Clark Corp. 7.50% 11/01/18 160,000 188,409 Kraft Foods, Inc. 6.75% 02/19/14 156,000 161,892 Kroger Co. 6.15% 01/15/20 758,000 747,861 Lippo Karawaci Finance BV 8.88% 03/09/11 500,000 310,271 LyondellBasell Industries AF SCA 8.38% 08/15/15 763,000 19,075 (b) Markel Corp. 7.35% 08/15/34 225,000 152,541 (h) McDonald's Corp. 5.80% 10/15/17 287,000 306,909 6.30% 03/01/38 433,000 477,601 Mediacom LLC / Mediacom Capital Corp. 9.50% 01/15/13 505,000 381,275 (h) Merck & Company, Inc. 5.75% 11/15/36 170,000 179,014 (h) Merrill Lynch & Company, Inc. 6.05% 08/15/12 289,000 285,121 6.88% 04/25/18 617,000 645,398 MetLife, Inc. (Series A) 6.82% 08/15/18 1,058,000 1,007,641 Metropolitan Life Global Funding I 4.25% 07/30/09 460,000 450,100 (b,h) Midamerican Energy Holdings Co. 6.13% 04/01/36 245,000 227,811 (h) Mizuho Financial Group Cayman Ltd. 8.38% 12/29/49 405,000 377,432 Morgan Stanley 5.05% 01/21/11 93,000 89,326 6.00% 04/28/15 500,000 431,365 Morgan Stanley (Series F) 6.63% 04/01/18 300,000 263,187 Munich Re America Corp. (Series B) 7.45% 12/15/26 235,000 246,015 (h) Nakilat Inc. 6.07% 12/31/33 100,000 67,022 (b,h) New York Life Global Funding 5.38% 09/15/13 304,000 300,895 (b) NGPL PipeCo LLC 7.12% 12/15/17 305,000 274,559 (b) Norfolk Southern Corp. 8.63% 05/15/10 380,000 385,471 (h) Northern States Power 6.25% 06/01/36 115,000 121,447 (h) NorthWestern Corp. 5.88% 11/01/14 412,000 379,927 (h) NRG Energy, Inc. 7.38% 02/01/16 780,000 725,400 Oncor Electric Delivery Co. 5.95% 09/01/13 1,032,000 962,473 (b) OPTI Canada Inc. 8.25% 12/15/14 330,000 178,200 Oracle Corp. 5.75% 04/15/18 124,000 129,700 Pacific Gas & Electric Co. 5.80% 03/01/37 250,000 259,302 Parker Hannifin Corp. 5.50% 05/15/18 460,000 444,715 Pemex Finance Ltd. 9.03% 02/15/11 299,250 305,235 (h) Pemex Project Funding Master Trust 5.75% 03/01/18 130,000 114,725 (b) 7.88% 02/01/09 122,000 122,116 PepsiCo, Inc. 5.00% 06/01/18 1,013,000 1,050,001 7.90% 11/01/18 393,000 481,679 Pitney Bowes, Inc. 3.88% 06/15/13 356,000 336,820 Potomac Edison Co. 5.35% 11/15/14 178,000 155,126 (h) Potomac Electric Power Co. 7.90% 12/15/38 117,000 130,325 President and Fellows of Harvard College 5.00% 01/15/14 300,000 309,459 (b) Procter & Gamble Co. 4.60% 01/15/14 312,000 326,946 5.50% 02/01/34 156,000 162,957 Public Service Company of Colorado 7.88% 10/01/12 405,000 425,923 (h) Puget Sound Energy, Inc. (Series A) 6.97% 06/01/67 495,000 222,750 (i) Rogers Communications, Inc. 6.80% 08/15/18 858,000 866,950 Royal Bank of Scotland Group PLC 5.00% 10/01/14 162,000 138,864 Sabine Pass LNG LP 7.25% 11/30/13 255,000 186,150 7.50% 11/30/16 550,000 396,000 Safeway, Inc. 6.25% 03/15/14 94,000 94,487 Security Benefit Life Insurance 8.75% 05/15/16 265,000 192,894 (b,q) Skandinaviska Enskilda Banken AB 7.50% 03/29/49 295,000 272,594 (b,h,i) Southern California Edison Co. 5.50% 08/15/18 904,000 945,121 Sprint Capital Corp. 7.63% 01/30/11 203,000 169,505 Standard Bank London Holdings PLC for NAK Naftogaz Ukrainy 8.13% 09/30/09 100,000 44,500 Standard Chartered Bank Hong Kong Ltd. 4.38% 12/03/14 420,000 376,908 Telecom Italia Capital S.A. 6.20% 07/18/11 708,000 628,350 Telefonica Emisiones SAU 5.86% 02/04/13 375,000 364,518 6.22% 07/03/17 429,000 422,650 Tenneco, Inc. 8.63% 11/15/14 783,000 297,540 Terex Corp. 8.00% 11/15/17 782,000 664,700 Tesco PLC 5.50% 11/15/17 200,000 185,401 (b) Textron Inc. 6.50% 06/01/12 290,000 250,334 The Bank of New York Mellon Corp. 4.95% 11/01/12 250,000 253,817 The Travelers Companies, Inc. 5.80% 05/15/18 314,000 302,489 Thomson Reuters Corp. 5.95% 07/15/13 596,000 554,893 6.50% 07/15/18 286,939 260,926 TIAA Global Markets Inc. 4.95% 07/15/13 455,000 450,001 (b) Ticketmaster 10.75% 08/01/16 1,000,000 540,000 (b) Time Warner Cable, Inc. 6.20% 07/01/13 694,000 656,451 6.75% 07/01/18 630,000 606,567 8.75% 02/14/19 478,000 519,746 TNK-BP Finance S.A. 6.63% 03/20/17 180,000 86,400 (b) TransCanada Pipelines Ltd. 6.50% 08/15/18 402,000 394,387 Transocean, Inc. 6.00% 03/15/18 302,000 275,062 UBS Preferred Funding Trust I 8.62% 10/29/49 270,000 163,119 (i) Union Electric Co. 6.70% 02/01/19 636,000 579,511 United Technologies Corp. 6.13% 07/15/38 345,000 374,940 Verizon Communications, Inc. 6.90% 04/15/38 300,000 337,576 8.75% 11/01/18 688,000 807,177 Verizon Global Funding Corp. 7.25% 12/01/10 429,000 449,747 Verizon Pennsylvania, Inc. 8.35% 12/15/30 165,000 161,151 (h) 8.75% 08/15/31 250,000 247,847 (h) Walgreen Co. 4.88% 08/01/13 1,075,000 1,107,101 Wal-Mart Stores, Inc. 5.80% 02/15/18 602,000 666,143 6.20% 04/15/38 468,000 512,033 Wells Fargo & Co. 5.63% 12/11/17 145,000 151,275 (h) Westar Energy, Inc. 7.13% 08/01/09 275,000 272,502 (h) Westlake Chemical Corp. 6.63% 01/15/16 528,000 306,240 (h) Wyeth 5.50% 03/15/13 916,000 933,054 XTO Energy, Inc. 6.38% 06/15/38 241,000 212,971 6.50% 12/15/18 376,000 363,977 79,742,126 NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 7.0% Banc of America Commercial Mortgage Inc. 5.32% 09/10/47 373,000 303,339 (h) Banc of America Commercial Mortgage Inc. (Class A) 5.49% 02/10/51 1,450,000 1,060,907 (h) Banc of America Commercial Mortgage Inc. (Class C) 5.70% 04/10/49 300,000 54,110 (h,i,o) Banc of America Funding Corp. 5.72% 03/20/36 204,868 37,208 (h,i,o) 5.76% 02/20/36 343,799 82,652 (h,i,o) Banc of America Mortgage Securities Inc. (Class B) 5.35% 01/25/36 214,063 70,938 (h,i) 5.55% 02/25/36 157,210 67,745 (h,i) Bear Stearns Commercial Mortgage Securities 5.41% 03/11/39 171,604 149,878 (h,i) 5.48% 10/12/41 619,000 505,141 (h) 5.53% 10/12/41 619,000 431,229 (h) 5.71% 06/11/40 450,000 350,384 6.02% 02/14/31 118,368 117,998 (h,i) Bear Stearns Commercial Mortgage Securities (Class A) 5.92% 06/11/50 775,000 385,790 Bear Stearns Commercial Mortgage Securities (Class D) 5.99% 09/11/42 100,000 13,780 (h,i,o) Citigroup Commercial Mortgage Trust 5.70% 12/10/49 460,000 346,739 (i) 6.10% 12/10/49 120,000 92,648 Commercial Mortgage Loan Trust 6.02% 12/10/49 800,000 578,674 Countrywide Alternative Loan Trust 5.97% 05/25/36 77,612 776 (h,i,o) 6.00% 03/25/36 - 08/25/36 376,407 7,938 (h,o) Countrywide Alternative Loan Trust (Class B) 6.00% 05/25/36 - 08/25/36 234,932 4,204 (h,o) Countrywide Asset-Backed Certificates 1.68% 11/25/35 288,908 244,059 (d,h,i) Credit Suisse Mortgage Capital Certificates 5.47% 09/15/39 549,000 403,934 (h) Credit Suisse Mortgage Capital Certificates (Class C) 5.65% 02/25/36 91,891 13,463 (h,i,o) Crusade Global Trust (Class A) 2.04% 09/18/34 135,683 131,285 (h,i) CS First Boston Mortgage Securities Corp. 1.38% 03/15/35 6,497,920 92,181 (h,i,o) 5.25% 08/25/34 137,317 125,650 (h) 5.34% 10/25/35 190,303 25,691 (h,i,o) 6.13% 04/15/37 1,285,560 1,223,560 (h) 15.81% 07/15/37 5,066,242 73,038 (d,h,i,o) DLJ Commercial Mortgage Corp. (Class A) 7.62% 06/10/33 954,858 955,718 (h) GMAC Commercial Mortgage Securities Inc. 6.47% 04/15/34 196,170 191,765 (h) GMAC Commercial Mortgage Securities Inc. (Class X) 15.72% 12/10/41 7,072,296 82,488 (d,h,i,o) Greenwich Capital Commercial Funding Corp. 5.12% 04/10/37 448,472 407,072 (h) Impac CMB Trust (Class A) 1.66% 10/25/35 383,091 180,682 (d,h,i) Indymac INDA Mortgage Loan Trust 5.15% 01/25/36 127,525 1,674 (h,i,o) Indymac INDA Mortgage Loan Trust (Class B) 5.15% 01/25/36 127,370 60,271 (h,i,o) Interstar Millennium Trust (Class A) 2.20% 03/14/36 65,448 62,754 (i) JP Morgan Alternative Loan Trust 1.46% 08/25/36 60,355 57,532 (d,i) JP Morgan Chase Commercial Mortgage Securities Corp. 1.11% 01/12/39 4,262,516 71,944 (h,i,o) 5.44% 06/12/47 540,000 389,650 5.72% 02/15/51 690,000 481,938 6.06% 02/15/51 1,050,000 493,074 (h,i) 6.07% 02/12/51 830,000 588,057 6.20% 02/12/51 150,000 22,782 (h,i,o) 6.47% 11/15/35 339,248 328,229 (h) LB-UBS Commercial Mortgage Trust 4.06% 09/15/27 444,562 431,146 (h,i) 5.86% 07/15/40 410,000 291,724 (i) 6.23% 03/15/26 37,134 36,847 (h) 15.64% 01/18/12 7,009,032 96,051 (d,h,i,o) 16.17% 09/15/39 15,906,311 318,786 (d,h,i,o) 24.89% 01/15/36 2,198,269 70,803 (d,h,o) 26.09% 03/15/36 4,966,522 85,945 (d,h,i,o) 27.04% 02/15/40 6,284,380 72,180 (d,h,i,o) LB-UBS Commercial Mortgage Trust (Class A) 6.13% 12/15/30 285,400 273,801 (h) LB-UBS Commercial Mortgage Trust (Class B) 6.65% 07/14/16 65,000 59,226 (b,h) LB-UBS Commercial Mortgage Trust (Class F) 6.24% 07/15/40 260,000 40,335 (h,i,o) LB-UBS Commercial Mortgage Trust (Class X) 27.91% 12/15/39 3,786,686 35,645 (d,h,i,o) Lehman Brothers Floating Rate Commercial Mortgage Trust 1.37% 10/15/17 517,994 434,341 (b,i) MASTR Alternative Loans Trust 5.00% 08/25/18 199,074 18,845 (g,h,p) Merrill Lynch Mortgage Trust (Class A) 5.61% 05/12/39 840,000 723,646 (h,i) Merrill Lynch/Countrywide Commercial Mortgage Trust 5.42% 08/12/48 475,000 215,994 MLCC Mortgage Investors Inc. 5.38% 02/25/36 175,865 5,276 (h,i) Morgan Stanley Capital I 5.28% 12/15/43 254,000 208,093 (h) 5.33% 12/15/43 254,000 191,085 (h) 5.39% 11/12/41 694,000 199,162 (h,i) 5.44% 02/12/44 1,000,000 684,314 (b,h) 5.45% 02/12/44 150,000 111,256 (i) 5.69% 04/15/49 1,900,000 1,425,860 (h,i) 5.71% 07/12/44 200,000 144,150 (h) 5.88% 06/11/49 580,000 429,707 7.11% 04/15/33 362,414 361,047 (h,i) Morgan Stanley Capital I (Class A) 5.36% 02/12/44 343,000 271,699 5.81% 12/12/49 200,000 149,762 Morgan Stanley Dean Witter Capital I (Class A) 6.54% 02/15/31 87,347 86,226 (h) MortgageIT Trust (Class 1) 1.66% 05/25/35 1,616,722 757,932 (d,i) National RMBS Trust 1.64% 03/20/34 109,920 105,394 (i) Puma Finance Ltd. (Class A) 1.63% 03/25/34 143,279 126,219 (h,i) 4.94% 10/11/34 71,332 62,237 (h,i) Residential Accredit Loans Inc. 1.70% 03/25/34 53,359 39,834 (d,i) 6.00% 01/25/36 305,719 19,491 (h,o) 6.01% 01/25/36 98,154 7,429 (h,i,o) Residential Funding Mortgage Securities I 5.75% 01/25/36 97,073 23,117 (h) 5.75% 01/25/36 113,475 29,553 (h,o) Structured Asset Securities Corp. (Class X) 2.13% 02/25/28 35,834 1 (i,o) Thornburg Mortgage Securities Trust (Class A) 1.15% 04/25/43 30,927 26,908 (i) Wachovia Bank Commercial Mortgage Trust 5.74% 06/15/49 1,480,000 1,084,473 (h,i) Wachovia Bank Commercial Mortgage Trust (Class A) 5.42% 01/15/45 730,000 569,280 (i) Wachovia Bank Commercial Mortgage Trust (Class E) 5.90% 02/15/51 820,000 124,778 (i,o) WaMu Mortgage Pass Through Certificates 1.74% 01/25/45 371,275 173,423 (d,i) Wells Fargo Mortgage Backed Securities Trust 5.39% 08/25/35 482,996 298,602 (h,i) 5.50% 01/25/36 188,988 61,752 (h) Wells Fargo Mortgage Backed Securities Trust (Class B) 5.50% 03/25/36 424,391 105,857 (h) 22,459,801 SOVEREIGN BONDS - 1.0% Banco Nacional de Desenvolvimento Economico e Social 6.37% 06/16/18 400,000 380,000 (b,h) Government of Brazil 8.00% 01/15/18 305,000 341,600 (h) Government of Canada 7.50% 09/15/29 380,000 539,753 Government of Colombia 7.38% 09/18/37 100,000 98,000 Government of Indonesia 6.88% 01/17/18 200,000 166,000 (b) 7.75% 01/17/38 200,000 166,000 (b) Government of Jamaica 8.00% 06/24/19 100,000 70,000 Government of Manitoba Canada 4.90% 12/06/16 260,000 285,916 (h) Government of Pakistan 6.75% 02/19/09 380,000 364,990 Government of Panama 6.70% 01/26/36 260,000 234,000 Government of Venezuela 5.38% 08/07/10 145,000 112,737 9.00% 05/07/23 168,900 67,560 Republic of Turkey 7.00% 03/11/19 200,000 193,000 3,019,556 TOTAL BONDS AND NOTES 340,226,764 (COST $360,339,947) - --------------------------------------------------------------------------------------------------------------------- OTHER INVESTMENTS - 0.3% - --------------------------------------------------------------------------------------------------------------------- GEI Investment Fund 1,044,231 (k) (COST $1,898,602) TOTAL INVESTMENTS IN SECURITIES 341,270,995 (COST $362,238,549) - --------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 13.4% - --------------------------------------------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% 43,022,714 (d,n) (COST $43,022,714) TOTAL INVESTMENTS 384,293,709 (COST $405,261,263) LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (19.7)% (63,262,753) ----------- NET ASSETS - 100.0% 321,030,956 =========== - --------------------------------------------------------------------------------------------------------------------- OTHER INFORMATION - ---------------------------------------------------------------------------------------------------------------------
The GE Institutional Income Fund had the following long futures contracts open at December 31, 2008 (unaudited):
CURRENT UNREALIZED EXPIRATION NUMBER OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ---------------------------------------------------------------------------------------------------------------------- 2Yr. U.S. Treasury Notes Futures March 2009 194 $42,304,125 $ 303,498
The GE Institutional Income Fund had the following Short futures contracts open at December 31, 2008 (unaudited):
CURRENT UNREALIZED EXPIRATION NUMBER OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ---------------------------------------------------------------------------------------------------------------------- 10Yr. U.S. Treasury Notes Futures March 2009 83 (10,437,250) 121,053 ------------ $ 424,551 ============
NOTES TO SCHEDULES OF INVESTMENTS December 31, 2008 (unaudited) - -------------------------------------------------------------------------------- (a) Non-income producing security. (b) Pursuant to Rule 144A of the Securities Act of 1933, these Securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2008, these securities amounted to $5,403,966, $11,510,213 and $2,987,450 or 1.19%, 3.59% and 7.96% of net assets for the GE Institutional Strategic Investment Fund, GE Institutional Income Fund and GE Institutional Money Market Fund respectively. These securities have been determined to be liquid using procedures established by the Board of Trustees. (c) Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (TBA) in the future. (d) Coupon amount represents effective yield. (e) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund's custodian and accounting agent. (f) Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder. (g) Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. (h) At December 31, 2008, all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA's. (i) Variable or floating rate security. The stated rate represents the rate at December 31, 2008. (j) All or a portion of security out on loan. (k) GEAM, the investment adviser of the Fund, also serves as investment adviser of the Trust. (l) General Electric Co. is the parent company of GE Asset Management Incorporated, the Fund's investment advisor. (m) Sponsored by SSgA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund's custodian and accounting agent. (n) GEAM, the investment adviser of the Fund, also serves as investment adviser of the GE Money Market Fund. (o) Illiquid Securities. At December 31, 2008, these securities amounted to $1,219,006 and $12,926,036 or 0.27% and 4.03% of net assets for the GE Institutional Strategic Investment Fund and GE Institutional Income Fund respectively. These securities have been determined to be illiquid using procedures established by the Board of Trustees. (p) Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based (q) Fair Valued Securities * Less than 0.1% Abbreviations: ADR American Depository Receipt GDR Global Depository Receipt NVDR Non-Voting Depository Receipt REGD. Registered REIT Real Estate Investment Trust REMIC Real Estate Mortgage Investment Conduit SPDR Standard and Poor's Depository Receipt STRIPS Separate Trading of Registered Interest and Principal of Security TBA To be Announced The funds adopted FASB Statement No. 157, Fair Value Measurements (FAS 157). FAS 157 establishes a single definition of fair value, a framework for measuring fair value, and expanded disclosures about fair value measurements. Various inputs are used in determining the value of the funds' investments. These inputs are classified into three broad levels: Level 1 includes quoted prices in active markets of securities identical to those of the funds. Level 2 includes: 1) quoted prices in active markets for similar securities to those of the funds; 2)quoted prices for identical or similar securities to those of the funds that trade in markets in which there are few transactions or the quoted prices are not current; 3) prices based on observable market data such as interest rates and yield curves, volatilities, bond prepayment speeds, and credit risk and; 4) prices based principally on observable market data by use of correlation techniques or other means. Level 3 includes unobservable market inputs used to fair value securities. These inputs are based on assumptions that market participants would use to price securities and may include the adviser's own assumptions. Other financial instruments are derivative instruments that are not reflected in Total Investments,such as futures, forwards, swaps, and written options contracts, which are valued based on the unrealized appreciation/depreciation of the instrument. GE Institutional U.S. Equity Fund Level 1 Level 2 Level 3 Total Investments in Securities $361,791,181 $76,863 $- $361,868,044 Other Financial Instruments $153,451 $- $- $153,451 Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $ - $- Accrued discounts/premiums $ - $- Realized gain (loss) $ - $- Change in unrealized appreciation/ (depreciation) $ - $- Net purchases (sales) $ - $- Net transfers in and out of Level 3 $ - $- Balance at 12/31/08 $ - $- GE Institutional S&P 500 Index Fund Level 1 Level 2 Level 3 Total Investments in Securities $28,971,833 $7,198,019 $- $36,169,852 Other Financial Instruments $49,935 $- $- $49,935 Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $- $- Accrued discounts/premiums $- $- Realized gain (loss) $- $- Change in unrealized appreciation/ (depreciation) $- $- Net purchases (sales) $- $- Net transfers in and out of Level 3 $- $- Balance at 12/31/08 $- $- GE Institutional Core Value Equity Fund Level 1 Level 2 Level 3 Total Investments in Securities $83,447,325 $20,637 $- $83,467,962 Other Financial Instruments $35,600 $- $- $35,600 Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $- $- Accrued discounts/premiums $- $- Realized gain (loss) $- $- Change in unrealized appreciation/ (depreciation) $- $- Net purchases (sales) $- $- Net transfers in and out of Level 3 $- $- Balance at 12/31/08 $- $- GE Institutional Small-Cap Equity Fund Level 1 Level 2 Level 3 Total Investments in Securities $459,614,707 $77,141 $- $459,691,848 Other Financial Instruments $(5,000) $- $- $(5,000) Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $- $- Accrued discounts/premiums $- $- Realized gain (loss) $- $- Change in unrealized appreciation/ (depreciation) $- $- Net purchases (sales) $- $- Net transfers in and out of Level 3 $- $- Balance at 12/31/08 $- $- GE Institutional International Equity Fund Level 1 Level 2 Level 3 Total Investments in Securities $1,616,322,311 $215,734 $- $1,616,538,045 Other Financial Instruments $(75,524) $- $- $(75,524) Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $- $- Accrued discounts/premiums $- $- Realized gain (loss) $- $- Change in unrealized appreciation/ (depreciation) $- $- Net purchases (sales) $- $- Net transfers in and out of Level 3 $- $- Balance at 12/31/08 $- $- GE Institutional Premier Growth Equity Fund Level 1 Level 2 Level 3 Total Investments in Securities $192,245,019 $148,013 $- $192,393,032 Other Financial Instruments $- $- $- $- Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $- $- Accrued discounts/premiums $- $- Realized gain (loss) $- $- Change in unrealized appreciation/ (depreciation) $- $- Net purchases (sales) $- $- Net transfers in and out of Level 3 $- $- Balance at 12/31/08 $- $- GE Institutional Strategic Investment Fund Level 1 Level 2 Level 3 Total Investments in Securities $344,449,291 $140,367,929 $934,583 $485,751,803 Other Financial Instruments $222,937 $- $- $222,937 Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $1,806,916 $- Accrued discounts/premiums $(11,012) $- Realized gain (loss) $(26,285) $- Change in unrealized appreciation/ (depreciation) $(343,403) $- Net purchases (sales) $(242,026) $- Net transfers in and out of Level 3 $(249,607) $- Balance at 12/31/08 $934,583 $- Unrealized loss at 12/31/08 $(637,542) $- GE Institutional Income Fund Level 1 Level 2 Level 3 Total Investments in Securities $43,022,714 $329,946,040 $11,324,955 $384,293,709 Other Financial Instruments $424,551 $- $- $424,551 Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $15,496,914 $- Accrued discounts/premiums $(7,092) $- Realized gain (loss) $(63,288) $- Change in unrealized appreciation/ (depreciation) $(2,546,621) $- Net purchases (sales) $(382,575) $- Net transfers in and out of Level 3 $(1,172,383) $- Balance at 12/31/08 $11,324,955 $- Unrealized loss at 12/31/08 $(4,900,342) $- GE Institutional Money Market Fund Level 1 Level 2 Level 3 Total Investments in Securities $- $37,486,630 $- $37,486,630 Other Financial Instruments $- $- $- $- Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value. investments other financial in securities instruments Balance at 09/30/08 $- $- Accrued discounts/premiums $- $- Realized gain (loss) $- $- Change in unrealized appreciation/ (depreciation) $- $- Net purchases (sales) $- $- Net transfers in and out of Level 3 $- $- Balance at 12/31/08 $- $- ITEM 2. CONTROLS AND PROCEDURES. (a) The officers providing the certifications in this report in accordance with Rule 30a-3 under the Investment Company Act of 1940 have concluded, based on their evaluation of the registrant's disclosure controls and procedures (as such term is defined in such rule), that such controls and procedures are adequate and reasonably designed to achieve the purpose described in paragraph (c) of such rule. (b) There were no significant changes in the registrant's internal controls orin other factors that could significantly affect these controls subsequent to the date of their last evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 3. EXHIBITS. Separate certifications by the registrant's principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached: EX-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. GE Institutional Funds By: /S/MICHAEL J. COSGROVE Michael J. Cosgrove Chairman, GE Institutional Funds Date: February 23, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and theInvestment Company Act of 1940, this Report has been signed below by thefollowing persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /S/MICHAEL J. COSGROVE Michael J. Cosgrove Chairman, GE Institutional Funds Date: February 23, 2009 By: /S/SCOTT RHODES Scott Rhodes Treasurer, GE Institutional Funds Date: February 23, 2009 EX-99.CERT 2 insticer.txt CERTIFICATION FOR GE INSTITUTIONAL FUNDS - DECEMBER 31, 2008 CERTIFICATIONS I, Michael J. Cosgrove, certify that: 1. I have reviewed this report on Form N-Q of the GE Institutional Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 23, 2009 ----------------------- /s/MICHAEL J. COSGROVE Michael J. Cosgrove Chairman, GE Institutional Funds I, Scott Rhodes, certify that: 1. I have reviewed this report on Form N-Q of the GE Institutional Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 23, 2009 ----------------------- /s/Scott Rhodes Scott Rhodes Treasurer, GE Institutional Funds -----END PRIVACY-ENHANCED MESSAGE-----