N-CSRS 1 sr63011vipsci.htm DWS SMALL CAP INDEX VIP sr63011vipsci.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549

FORM N-CSRS

Investment Company Act file number:  811-07507

 
DWS Investments VIT Funds
 (Exact Name of Registrant as Specified in Charter)

345 Park Avenue
New York, NY 10154-0004
 (Address of Principal Executive Offices) (Zip Code)

Registrant’s Telephone Number, including Area Code: (201) 593-6408

Paul Schubert
100 Plaza One
Jersey City, NJ 07311
 (Name and Address of Agent for Service)

Date of fiscal year end:
12/31
   
Date of reporting period:
6/30/2011

ITEM 1.
REPORT TO STOCKHOLDERS
   
 

 
JUNE 30, 2011
 
SEMIANNUAL REPORT
 
DWS INVESTMENTS VIT FUNDS
DWS Small Cap Index VIP
 
Contents
3 Performance Summary
4 Information About Your Fund's Expenses
5 Portfolio Summary
7 Investment Portfolio
41 Statement of Assets and Liabilities
42 Statement of Operations
43 Statement of Changes in Net Assets
44 Financial Highlights
45 Notes to Financial Statements
49 Proxy Voting
50 Summary of Management Fee Evaluation by Independent Fee Consultant
 
This report must be preceded or accompanied by a prospectus. To obtain an additional prospectus or summary prospectus, if available, call (800) 728-3337 or your financial representative. We advise you to consider the Fund's objectives, risks, charges and expenses carefully before investing. The summary prospectus and prospectus contain this and other important information about the Fund. Please read the prospectus carefully before you invest.
 
Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility. Various factors, including costs, cash flows and security selection, may cause the fund's performance to differ from that of the index. Any decline in value of a fund security that is out on loan by the portfolio will adversely affect performance. Financial failure of the borrower may mean a delay in recovery or loss of rights in the collateral. Stocks of smaller companies involve greater risk than securities of larger, more-established companies. Stocks may decline in value. See the prospectus for details.
 
DWS Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
 
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT
 
NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
 
Performance Summary June 30. 2011
 
Fund performance shown is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Please contact your participating insurance company for the Fund's most recent month-end performance. Performance figures for Classes A and B differ because each class maintains a distinct expense structure. Performance doesn't reflect charges and fees ("contract charges") associated with the separate account that invests in the Fund or any variable life insurance policy or variable annuity contract for which the Fund is an investment option. These charges and fees will reduce returns.
 
The gross expense ratios of the Fund, as stated in the fee table of the prospectus dated May 1, 2011 are 0.57% and 0.82% for Class A and Class B shares, respectively, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report.
Growth of an Assumed $10,000 Investment
[] DWS Small Cap Index VIP — Class A
[] Russell 2000® Index
The Russell 2000® Index is an unmanaged, capitalization-weighted measure of approximately 2,000 of the smallest companies in the Russell 3000 Index.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
 
Yearly periods ended June 30
  
 

Comparative Results (as of June 30, 2011)
  
DWS Small Cap Index VIP
  
6-Month‡
    
1-Year
    
3-Year
    
5-Year
    
10-Year
  
Class A
Growth of $10,000
   $ 10,606     $ 13,711     $ 12,378     $ 11,960     $ 17,661  
Average annual total return
     6.06 %     37.11 %     7.37 %     3.64 %     5.85 %
Russell 2000 Index
Growth of $10,000
   $ 10,621     $ 13,741     $ 12,518     $ 12,215     $ 18,365  
Average annual total return
     6.21 %     37.41 %     7.77 %     4.08 %     6.27 %
DWS Small Cap Index VIP
  
6-Month‡
    
1-Year
    
3-Year
    
5-Year
    
Life of Class*
  
Class B
Growth of $10,000
   $ 10,596     $ 13,673     $ 12,284     $ 11,810     $ 17,174  
Average annual total return
     5.96 %     36.73 %     7.10 %     3.38 %     6.08 %
Russell 2000 Index
Growth of $10,000
   $ 10,621     $ 13,741     $ 12,518     $ 12,215     $ 18,248  
Average annual total return
     6.21 %     37.41 %     7.77 %     4.08 %     6.78 %
 
The growth of $10,000 is cumulative.
 
‡ Total returns shown for periods less than one year are not annualized.
 
* The Fund commenced offering Class B shares on April 30, 2002. Index returns began on April 30, 2002.
 
Information About Your Fund's Expenses
 
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include contract charges, redemption fees and account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (January 1, 2011 to June 30, 2011).
 
The tables illustrate your Fund's expenses in two ways:
 
•Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
 
• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical Fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
 
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. If these transaction costs had been included, your costs would have been higher.
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2011
  
Actual Fund Return
  
Class A
    
Class B
  
Beginning Account Value 1/1/11
   $ 1,000.00     $ 1,000.00  
Ending Account Value 6/30/11
   $ 1,060.60     $ 1,059.60  
Expenses Paid per $1,000*
   $ 2.55     $ 3.83  
Hypothetical 5% Fund Return
  
Class A
    
Class B
  
Beginning Account Value 1/1/11
   $ 1,000.00     $ 1,000.00  
Ending Account Value 6/30/11
   $ 1,022.32     $ 1,021.08  
Expenses Paid per $1,000*
   $ 2.51     $ 3.76  
 
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.
Annualized Expense Ratios
Class A
  
Class B
  
DWS Small Cap Index VIP
.50%
  
.75%
  
 
For more information, please refer to the Fund's prospectus.
 
These tables do not reflect charges and fees ("contract charges") associated with the separate account that invests in the Fund or any variable life insurance policy or variable annuity contract for which the Fund is an investment option.
 
Portfolio Summary
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
6/30/11
12/31/10
     
Common Stocks
96%
97%
Cash Equivalents*
4%
3%
 
100%
100%
 

Sector Diversification (As a % of Common Stocks and Rights)
6/30/11
12/31/10
     
Financials
21%
20%
Information Technology
19%
19%
Industrials
15%
16%
Consumer Discretionary
13%
14%
Health Care
13%
12%
Energy
7%
6%
Materials
5%
6%
Consumer Staples
3%
3%
Utilities
3%
3%
Telecommunication Services
1%
1%
 
100%
100%
 

Ten Largest Equity Holdings (2.0% of Net Assets)
1. Healthspring, Inc.
Offers managed care services
0.2%
2. Sotheby's
Auctions fine arts, antiques and collectibles
0.2%
3. MFA Financial, Inc.
Operator of a real estate investment trust
0.2%
4. Netlogic Microsystems, Inc.
Designs and markets high performance knowledge-based processors
0.2%
5. Berry Petroleum Co.
Operator of crude petroleum and natural gas extraction machinery
0.2%
6. Parametric Technology Corp.
Develops, markets and supports integrated product development and processes lifecycle management solutions
0.2%
7. Rosetta Resources, Inc.
An oil and gas exploration and production company
0.2%
8. CBL & Associates Properties, Inc.
Owner of regional shopping malls and community shopping centers
0.2%
9. Dana Holding Corp.
Engineers, manufactures and distributes components for worldwide automotive markets
0.2%
10. Tenneco, Inc.
Designs, manufactures and markets emission control and ride control products and systems for the automotive market
0.2%
 
Asset allocation, sector diversification and holdings are subject to change.
 
* In order to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the market, the Fund invests in futures contracts.
 
For more complete details about the Fund's investment portfolio, see page 7.
 
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. The Fund's portfolio holdings are also posted on www.dws-investments.com from time to time. Please see the Fund's current prospectus for more information.
 
Investment Portfolio June 30, 2011 (Unaudited)
   
Shares
    
Value ($)
  
       
Common Stocks 97.1%
  
Consumer Discretionary 13.0%
  
Auto Components 0.9%
  
American Axle & Manufacturing Holdings, Inc.*
     18,058       205,500  
Amerigon, Inc.* (a)
     5,872       102,055  
Cooper Tire & Rubber Co. (a)
     16,614       328,791  
Dana Holding Corp.* (a)
     39,117       715,841  
Dorman Products, Inc.*
     3,023       119,650  
Drew Industries, Inc.
     5,172       127,852  
Exide Technologies*
     20,949       160,050  
Fuel Systems Solutions, Inc.*
     4,366       108,932  
Modine Manufacturing Co.*
     12,554       192,955  
Motorcar Parts of America, Inc.*
     3,229       48,467  
Shiloh Industries, Inc.
     1,452       15,653  
Spartan Motors, Inc. (a)
     8,264       44,626  
Standard Motor Products, Inc. (a)
     5,063       77,110  
Stoneridge, Inc.*
     7,033       103,666  
Superior Industries International, Inc.
     6,167       136,352  
Tenneco, Inc.*
     16,167       712,480  
Tower International, Inc.*
     1,701       30,091  
              3,230,071  
Automobiles 0.0%
  
Winnebago Industries, Inc.* (a)
     7,961       76,903  
Distributors 0.2%
  
Audiovox Corp. "A"*
     4,797       36,265  
Core-Mark Holding Co., Inc.* (a)
     3,041       108,564  
Pool Corp. (a)
     12,871       383,685  
Weyco Group, Inc. (a)
     1,997       49,126  
              577,640  
Diversified Consumer Services 1.3%
  
American Public Education, Inc.* (a)
     4,923       219,123  
Archipelago Learning, Inc.* (a)
     3,236       31,907  
Bridgepoint Education, Inc.* (a)
     4,764       119,100  
Cambium Learning Group, Inc.*
     4,460       15,030  
Capella Education Co.* (a)
     4,177       174,807  
Coinstar, Inc.* (a)
     8,376       456,827  
Corinthian Colleges, Inc.* (a)
     20,624       87,858  
Grand Canyon Education, Inc.*
     8,233       116,744  
Hillenbrand, Inc. (a)
     16,740       395,901  
K12, Inc.* (a)
     6,930       229,660  
Lincoln Educational Services Corp.
     5,887       100,962  
Mac-Gray Corp.
     3,169       48,961  
Matthews International Corp. "A"
     7,881       316,422  
National American University Holdings, Inc.
     2,172       20,439  
Pre-Paid Legal Services, Inc.* (a)
     2,010       133,645  
Regis Corp. (a)
     15,265       233,860  
Sotheby's
     18,054       785,349  
Steiner Leisure Ltd.*
     3,957       180,756  
Stewart Enterprises, Inc. "A"
     21,529       157,162  
Strayer Education, Inc. (a)
     3,262       412,284  
Universal Technical Institute, Inc. (a)
     5,662       111,938  
              4,348,735  
Hotels Restaurants & Leisure 2.6%
  
AFC Enterprises, Inc.*
     6,833       112,403  
Ambassadors Group, Inc.
     4,979       43,965  
Ameristar Casinos, Inc.
     8,518       201,962  
   
Shares
    
Value ($)
  
                 
Benihana, Inc. "A"*
     3,462       36,316  
Biglari Holdings, Inc.*
     327       127,873  
BJ's Restaurants, Inc.* (a)
     6,397       334,947  
Bob Evans Farms, Inc. (a)
     8,165       285,530  
Boyd Gaming Corp.* (a)
     14,427       125,515  
Bravo Brio Restaurant Group, Inc.* (a)
     5,008       122,345  
Buffalo Wild Wings, Inc.*
     4,892       324,389  
California Pizza Kitchen, Inc.*
     5,166       95,416  
Caribou Coffee Co., Inc.* (a)
     3,616       47,876  
Carrols Restaurant Group, Inc.*
     3,474       36,269  
CEC Entertainment, Inc.
     5,282       211,861  
Churchill Downs, Inc.
     3,458       155,887  
Cracker Barrel Old Country Store, Inc.
     6,124       301,974  
Denny's Corp.*
     26,161       101,505  
DineEquity, Inc.*
     4,139       216,346  
Domino's Pizza, Inc.* (a)
     16,479       415,930  
Einstein Noah Restaurant Group, Inc.
     1,465       21,931  
Gaylord Entertainment Co.* (a)
     9,553       286,590  
International Speedway Corp. "A"
     7,879       223,842  
Interval Leisure Group, Inc.*
     10,729       146,880  
Isle of Capri Casinos, Inc.*
     5,455       48,277  
Jack in the Box, Inc.* (a)
     13,259       302,040  
Jamba, Inc.* (a)
     16,512       35,336  
Krispy Kreme Doughnuts, Inc.* (a)
     15,826       150,505  
LIFE TIME FITNESS, Inc.* (a)
     11,303       451,103  
Luby's, Inc.* (a)
     5,004       27,622  
Marcus Corp.
     5,319       52,552  
McCormick & Schmick's Seafood Restaurants, Inc.* (a)
     3,869       33,235  
Monarch Casino & Resort, Inc.*
     2,791       29,138  
Morgans Hotel Group Co.*
     5,613       40,357  
Multimedia Games Holding Co., Inc*
     6,526       29,693  
O'Charley's, Inc.*
     4,969       36,323  
Orient-Express Hotels Ltd. "A"* (a)
     25,520       274,340  
P.F. Chang's China Bistro, Inc. (a)
     6,164       248,039  
Papa John's International, Inc.* (a)
     5,215       173,451  
Peet's Coffee & Tea, Inc.* (a)
     3,399       196,122  
Pinnacle Entertainment, Inc.*
     16,599       247,325  
Red Lion Hotels Corp.*
     3,771       29,791  
Red Robin Gourmet Burgers, Inc.*
     3,501       127,366  
Ruby Tuesday, Inc.* (a)
     17,232       185,761  
Ruth's Hospitality Group, Inc.*
     9,324       52,308  
Scientific Games Corp. "A"*
     15,267       157,861  
Shuffle Master, Inc.*
     14,371       134,441  
Six Flags Entertainment Corp. (a)
     11,156       417,792  
Sonic Corp.*
     16,489       175,278  
Speedway Motorsports, Inc. (a)
     3,181       45,107  
Summit Hotel Properties, Inc.
     7,070       80,244  
Texas Roadhouse, Inc.
     16,849       295,447  
The Cheesecake Factory, Inc.*
     15,422       483,788  
Town Sports International Holdings, Inc.*
     5,124       38,994  
Vail Resorts, Inc. (a)
     9,656       446,300  
              9,023,488  
Household Durables 0.8%
  
American Greetings Corp. "A" (a)
     10,784       259,247  
Beazer Homes USA, Inc.* (a)
     20,100       68,139  
Blyth, Inc.
     1,364       68,677  
Cavco Industries, Inc.*
     1,729       77,805  
   
Shares
    
Value ($)
  
                 
CSS Industries, Inc.
     2,108       44,121  
Ethan Allen Interiors, Inc. (a)
     6,553       139,513  
Furniture Brands International, Inc.*
     12,765       52,847  
Helen of Troy Ltd.*
     8,173       282,214  
Hovnanian Enterprises, Inc. "A"* (a)
     15,802       38,083  
iRobot Corp.* (a)
     6,290       221,974  
KB HOME (a)
     20,531       200,793  
La-Z-Boy, Inc.*
     13,965       137,835  
Libbey, Inc.* (a)
     5,503       89,259  
Lifetime Brands, Inc. (a)
     2,536       29,773  
M.D.C. Holdings, Inc.
     10,017       246,819  
M/I Homes, Inc.* (a)
     4,785       58,664  
Meritage Homes Corp.*
     7,455       168,185  
Ryland Group, Inc. (a)
     11,789       194,872  
Sealy Corp.* (a)
     13,302       33,654  
Skyline Corp.
     1,800       31,500  
Standard Pacific Corp.* (a)
     29,406       98,510  
Universal Electronics, Inc.*
     3,966       100,181  
              2,642,665  
Internet & Catalog Retail 0.4%
  
1-800 FLOWERS.COM, Inc. "A"*
     6,901       21,393  
Blue Nile, Inc.* (a)
     3,382       148,740  
Geeknet, Inc.*
     1,184       31,637  
HSN, Inc.*
     10,700       352,244  
NutriSystem, Inc. (a)
     7,197       101,190  
Orbitz Worldwide, Inc.*
     5,489       13,668  
Overstock.com, Inc.* (a)
     2,996       45,599  
PetMed Express, Inc. (a)
     6,237       73,908  
Shutterfly, Inc.*
     7,967       457,465  
US Auto Parts Network, Inc.*
     4,076       31,222  
ValueVision Media, Inc. "A"*
     10,642       81,411  
              1,358,477  
Leisure Equipment & Products 0.4%
  
Arctic Cat, Inc.*
     3,341       44,870  
Black Diamond, Inc.*
     3,689       29,069  
Brunswick Corp. (a)
     23,689       483,256  
Callaway Golf Co. (a)
     17,117       106,468  
Eastman Kodak Co.* (a)
     72,956       261,183  
JAKKS Pacific, Inc.* (a)
     7,396       136,160  
Johnson Outdoors, Inc. "A"* (a)
     1,177       20,150  
Leapfrog Enterprises, Inc.*
     10,869       45,867  
Marine Products Corp.* (a)
     3,050       20,496  
Smith & Wesson Holding Corp.* (a)
     15,947       47,841  
Steinway Musical Instruments, Inc.*
     1,742       44,752  
Sturm, Ruger & Co., Inc. (a)
     5,033       110,474  
Summer Infant, Inc.* (a)
     3,510       28,501  
              1,379,087  
Media 1.4%
  
AH Belo Corp. "A" (a)
     4,929       36,672  
Arbitron, Inc.
     7,247       299,518  
Ascent Media Corp. "A"*
     3,823       202,504  
Belo Corp. "A"*
     24,469       184,252  
Central European Media Enterprises Ltd. "A"* (a)
     9,880       195,130  
Cinemark Holdings, Inc. (a)
     24,899       515,658  
Crown Media Holdings, Inc.* (a)
     7,874       15,039  
Cumulus Media, Inc. "A"* (a)
     6,071       21,248  
E.W. Scripps Co. "A"*
     9,100       87,997  
Entercom Communications Corp. "A"*
     6,479       56,238  
Entravision Communications Corp. "A"*
     13,431       24,847  
   
Shares
    
Value ($)
  
                 
Fisher Communications, Inc.*
     2,319       69,153  
Global Sources Ltd.* (a)
     3,115       28,627  
Global Traffic Network, Inc.*
     3,847       44,202  
Gray Television, Inc.* (a)
     13,451       35,511  
Harte-Hanks, Inc.
     12,756       103,579  
interCLICK, Inc.*
     5,565       44,297  
Journal Communications, Inc. "A"*
     11,334       58,597  
Knology, Inc.*
     8,381       124,458  
Lin TV Corp. "A"*
     7,600       37,012  
Lions Gate Entertainment Corp.* (a)
     11,937       79,023  
Live Nation Entertainment, Inc.*
     37,616       431,456  
Martha Stewart Living Omnimedia, Inc. "A"* (a)
     6,536       28,366  
McClatchy Co. "A"* (a)
     16,458       46,247  
MDC Partners, Inc. "A"
     6,735       121,634  
Meredith Corp. (a)
     9,641       300,124  
National CineMedia, Inc.
     14,682       248,273  
New York Times Co. "A"*
     36,613       319,265  
Nexstar Broadcasting Group, Inc. "A"* (a)
     2,951       24,228  
Outdoor Channel Holdings, Inc.*
     3,731       25,520  
PRIMEDIA, Inc. (a)
     5,413       38,162  
ReachLocal, Inc.*
     2,611       54,387  
Rentrak Corp.*
     2,627       46,603  
Saga Communications, Inc. "A"*
     945       34,965  
Scholastic Corp. (a)
     7,079       188,301  
Sinclair Broadcast Group, Inc. "A"
     13,480       148,010  
Valassis Communications, Inc.*
     13,115       397,384  
Value Line, Inc. (a)
     300       4,023  
Warner Music Group Corp.* (a)
     15,166       124,665  
Westwood One, Inc.* (a)
     1,464       7,554  
World Wrestling Entertainment, Inc. "A" (a)
     7,267       69,255  
              4,921,984  
Multiline Retail 0.3%
  
99 Cents Only Stores* (a)
     12,552       254,052  
Fred's, Inc. "A" (a)
     10,406       150,159  
Gordmans Stores, Inc.*
     1,495       25,998  
Saks, Inc.* (a)
     30,831       344,382  
The Bon-Ton Stores, Inc. (a)
     3,254       31,629  
Tuesday Morning Corp.*
     13,071       60,780  
              867,000  
Specialty Retail 3.1%
  
Aeropostale, Inc.*
     21,551       377,142  
America's Car-Mart, Inc.* (a)
     2,527       83,391  
Ann, Inc.* (a)
     13,907       362,973  
Asbury Automotive Group, Inc.*
     7,796       144,460  
Ascena Retail Group, Inc.* (a)
     16,782       571,427  
Barnes & Noble, Inc. (a)
     7,608       126,141  
bebe stores, inc. (a)
     10,068       61,515  
Big 5 Sporting Goods Corp. (a)
     5,758       45,258  
Body Central Corp.* (a)
     3,083       72,543  
Brown Shoe Co., Inc. (a)
     11,620       123,753  
Build-A-Bear Workshop, Inc.* (a)
     4,581       29,822  
Cabela's, Inc.* (a)
     11,585       314,533  
Casual Male Retail Group, Inc.*
     11,533       47,862  
Cato Corp. "A" (a)
     7,404       213,235  
Charming Shoppes, Inc.*
     31,436       130,774  
Children's Place Retail Stores, Inc.* (a)
     6,927       308,182  
Christopher & Banks Corp.
     9,416       54,142  
Citi Trends, Inc.* (a)
     3,928       59,234  
Coldwater Creek, Inc.*
     16,271       22,779  
Collective Brands, Inc.* (a)
     16,441       241,518  
   
Shares
    
Value ($)
  
                 
Conn's, Inc.* (a)
     3,877       33,536  
Cost Plus, Inc.* (a)
     4,911       49,110  
Destination Maternity Corp.
     2,818       56,304  
Express, Inc.
     14,762       321,812  
Genesco, Inc.* (a)
     6,428       334,899  
GNC Holdings, Inc. "A"* (a)
     6,162       134,393  
Group 1 Automotive, Inc. (a)
     6,427       264,664  
Haverty Furniture Companies, Inc.
     4,666       53,706  
hhgregg, Inc.* (a)
     5,030       67,402  
Hibbett Sports, Inc.* (a)
     7,325       298,201  
Hot Topic, Inc.
     12,049       89,645  
Jos. A. Bank Clothiers, Inc.* (a)
     7,387       369,424  
Kirkland's, Inc.* (a)
     4,641       55,785  
Lithia Motors, Inc. "A" (a)
     5,825       114,345  
Lumber Liquidators Holdings, Inc.* (a)
     6,173       156,794  
MarineMax, Inc.*
     6,120       53,611  
Monro Muffler Brake, Inc. (a)
     8,126       303,018  
New York & Co., Inc.*
     6,834       33,828  
Office Depot, Inc.*
     74,109       312,740  
OfficeMax, Inc.* (a)
     22,661       177,889  
Pacific Sunwear of California, Inc.* (a)
     12,387       32,330  
Penske Automotive Group, Inc. (a)
     11,996       272,789  
Pier 1 Imports, Inc.* (a)
     28,459       329,271  
Rent-A-Center, Inc.
     17,026       520,315  
Rue21, Inc.* (a)
     4,038       131,235  
Select Comfort Corp.*
     14,935       268,531  
Shoe Carnival, Inc.*
     2,522       76,038  
Sonic Automotive, Inc. "A" (a)
     10,694       156,667  
Stage Stores, Inc. (a)
     9,812       164,842  
Stein Mart, Inc.
     7,238       69,774  
Syms Corp.*
     1,843       19,868  
Systemax, Inc.* (a)
     2,979       44,506  
Talbots, Inc.* (a)
     18,603       62,134  
The Buckle, Inc. (a)
     7,195       307,226  
The Finish Line, Inc. "A" (a)
     13,848       296,347  
The Men's Wearhouse, Inc.
     13,760       463,712  
The Pep Boys — Manny, Moe & Jack (a)
     13,995       152,965  
The Wet Seal, Inc. "A"* (a)
     26,409       118,048  
Vitamin Shoppe, Inc.* (a)
     6,644       304,029  
West Marine, Inc.* (a)
     3,594       37,270  
Winmark Corp. (a)
     666       28,858  
Zale Corp.* (a)
     8,416       47,130  
Zumiez, Inc.* (a)
     5,682       141,880  
              10,717,555  
Textiles, Apparel & Luxury Goods 1.6%
  
Carter's, Inc.* (a)
     13,145       404,340  
Cherokee, Inc. (a)
     1,925       33,033  
Columbia Sportswear Co. (a)
     3,260       206,684  
Crocs, Inc.*
     22,871       588,928  
Delta Apparel, Inc.* (a)
     1,898       32,266  
G-III Apparel Group Ltd.* (a)
     4,404       151,850  
Iconix Brand Group, Inc.*
     19,513       472,215  
K-Swiss, Inc. "A"* (a)
     7,254       77,110  
Kenneth Cole Productions, Inc. "A"*
     2,090       26,104  
Liz Claiborne, Inc.* (a)
     25,312       135,419  
Maidenform Brands, Inc.*
     6,156       170,275  
Movado Group, Inc.
     4,617       78,997  
Oxford Industries, Inc.
     3,379       114,075  
Perry Ellis International, Inc.* (a)
     3,448       87,062  
Quiksilver, Inc.*
     34,760       163,372  
R.G. Barry Corp.
     2,256       25,448  
   
Shares
    
Value ($)
  
                 
Skechers USA, Inc. "A"* (a)
     9,992       144,684  
Steven Madden Ltd.*
     10,119       379,564  
The Jones Group, Inc.
     23,267       252,447  
The Warnaco Group, Inc.* (a)
     11,776       615,296  
Timberland Co. "A"*
     10,629       456,728  
True Religion Apparel, Inc.*
     6,811       198,064  
Unifi, Inc.*
     3,776       52,109  
Vera Bradley, Inc.* (a)
     5,335       203,797  
Wolverine World Wide, Inc. (a)
     13,234       552,519  
              5,622,386  
Consumer Staples 3.2%
  
Beverages 0.2%
  
Boston Beer Co., Inc. "A"* (a)
     2,191       196,313  
Central European Distribution Corp.* (a)
     19,550       218,960  
Coca-Cola Bottling Co. Consolidated (a)
     1,174       79,433  
Craft Brewers Alliance, Inc.*
     2,920       25,141  
Heckmann Corp.* (a)
     24,616       148,681  
MGP Ingredients, Inc. (a)
     3,092       26,931  
National Beverage Corp.
     2,978       43,628  
Primo Water Corp.* (a)
     3,208       46,163  
              785,250  
Food & Staples Retailing 1.0%
  
Arden Group, Inc. "A" (a)
     314       28,894  
Casey's General Stores, Inc.
     10,071       443,124  
Ingles Markets, Inc. "A"
     3,451       57,114  
Nash Finch Co. (a)
     3,191       114,270  
Pantry, Inc.* (a)
     6,094       114,506  
PriceSmart, Inc. (a)
     4,756       243,650  
Rite Aid Corp.* (a)
     156,967       208,766  
Ruddick Corp.
     13,126       571,506  
Spartan Stores, Inc. (a)
     6,153       120,168  
Susser Holdings Corp.*
     2,300       36,156  
The Andersons, Inc.
     5,003       211,377  
The Fresh Market, Inc.* (a)
     7,514       290,642  
United Natural Foods, Inc.* (a)
     12,909       550,827  
Village Super Market, Inc. "A"
     1,627       45,084  
Weis Markets, Inc. (a)
     2,968       120,887  
Winn-Dixie Stores, Inc.* (a)
     14,945       126,285  
              3,283,256  
Food Products 1.3%
  
Alico, Inc. (a)
     948       24,288  
B&G Foods, Inc. "A"
     12,848       264,926  
Cal-Maine Foods, Inc. (a)
     3,751       119,882  
Calavo Growers, Inc.
     3,141       66,149  
Chiquita Brands International, Inc.* (a)
     11,975       155,914  
Darling International, Inc.* (a)
     31,254       553,196  
Diamond Foods, Inc. (a)
     5,905       450,788  
Dole Food Co., Inc.* (a)
     9,680       130,874  
Farmer Brothers Co. (a)
     1,596       16,183  
Fresh Del Monte Produce, Inc.
     9,739       259,739  
Griffin Land & Nurseries, Inc.
     617       20,046  
Hain Celestial Group, Inc.*
     9,485       316,420  
Harbinger Group, Inc.*
     2,645       16,161  
Imperial Sugar Co. (a)
     3,462       69,240  
J & J Snack Foods Corp. (a)
     3,766       187,735  
Lancaster Colony Corp. (a)
     4,988       303,370  
Lifeway Foods, Inc.* (a)
     1,481       16,558  
Limoneira Co. (a)
     2,264       51,144  
Omega Protein Corp.*
     5,139       70,918  
Pilgrim's Pride Corp.* (a)
     13,749       74,382  
Sanderson Farms, Inc. (a)
     5,903       282,045  
   
Shares
    
Value ($)
  
                 
Seneca Foods Corp. "A"* (a)
     2,383       60,957  
Smart Balance, Inc.*
     16,748       86,755  
Snyders-Lance, Inc. (a)
     12,516       270,721  
Tootsie Roll Industries, Inc. (a)
     6,462       189,078  
TreeHouse Foods, Inc.*
     9,480       517,703  
              4,575,172  
Household Products 0.1%
  
Central Garden & Pet Co. "A"* (a)
     12,217       124,003  
Oil-Dri Corp. of America (a)
     1,524       32,644  
Spectrum Brands Holdings, Inc.* (a)
     4,470       143,040  
WD-40 Co. (a)
     4,497       175,563  
              475,250  
Personal Products 0.4%
  
Elizabeth Arden, Inc.* (a)
     6,467       187,737  
Female Health Co. (a)
     4,952       24,760  
Inter Parfums, Inc. (a)
     4,266       98,246  
Medifast, Inc.* (a)
     3,817       90,577  
Nature's Sunshine Products, Inc.* (a)
     3,265       63,602  
Nu Skin Enterprises, Inc. "A"
     14,645       549,920  
Nutraceutical International Corp.*
     2,493       38,342  
Prestige Brands Holdings, Inc.*
     13,150       168,846  
Revlon, Inc. "A"*
     2,941       49,409  
Schiff Nutrition International, Inc. (a)
     3,390       37,934  
Synutra International, Inc.* (a)
     4,980       48,904  
USANA Health Sciences, Inc.* (a)
     1,775       55,522  
              1,413,799  
Tobacco 0.2%
  
Alliance One International, Inc.*
     24,294       78,470  
Star Scientific, Inc.* (a)
     28,481       128,165  
Universal Corp.
     6,144       231,444  
Vector Group Ltd. (a)
     12,243       217,803  
              655,882  
Energy 6.8%
  
Energy Equipment & Services 2.1%
  
Basic Energy Services, Inc.*
     6,468       203,548  
Bristow Group, Inc.
     9,714       495,608  
Cal Dive International, Inc.* (a)
     25,460       152,251  
Complete Production Services, Inc.*
     21,104       704,029  
Dawson Geophysical Co.*
     2,084       71,169  
Dril-Quip, Inc.* (a)
     9,188       623,222  
Exterran Holdings, Inc.*
     17,071       338,518  
Geokinetics, Inc.*
     2,625       20,685  
Global Geophysical Services, Inc.*
     4,804       85,511  
Global Industries Ltd.*
     27,189       148,996  
Gulf Island Fabrication, Inc.
     3,835       123,794  
GulfMark Offshore, Inc. "A"*
     6,358       280,960  
Helix Energy Solutions Group, Inc.* (a)
     28,332       469,178  
Hercules Offshore, Inc.* (a)
     30,600       168,606  
Hornbeck Offshore Services, Inc.* (a)
     6,171       169,703  
ION Geophysical Corp.* (a)
     35,057       331,639  
Key Energy Services, Inc.*
     33,328       599,904  
Lufkin Industries, Inc.
     8,147       701,049  
Matrix Service Co.* (a)
     7,104       95,052  
Mitcham Industries, Inc.*
     2,594       44,876  
Natural Gas Services Group*
     3,396       54,879  
Newpark Resources, Inc.* (a)
     23,930       217,045  
OYO Geospace Corp.*
     1,125       112,500  
Parker Drilling Co.*
     31,208       182,567  
   
Shares
    
Value ($)
  
                 
PHI, Inc. (Non Voting)*
     3,613       78,510  
Pioneer Drilling Co.* (a)
     14,569       222,032  
RigNet, Inc.*
     1,395       23,715  
Tesco Corp.*
     8,150       158,192  
TETRA Technologies, Inc.*
     20,691       263,396  
Union Drilling, Inc.*
     3,732       38,402  
Vantage Drilling Co.*
     46,355       84,366  
Willbros Group, Inc.* (a)
     10,522       89,858  
              7,353,760  
Oil, Gas & Consumable Fuels 4.7%
  
Abraxas Petroleum Corp.* (a)
     21,828       83,601  
Alon USA Energy, Inc. (a)
     3,815       42,995  
Amyris, Inc.* (a)
     4,647       130,534  
Apco Oil & Gas International, Inc. (a)
     2,449       212,892  
Approach Resources, Inc.*
     5,991       135,816  
ATP Oil & Gas Corp.* (a)
     11,968       183,230  
Berry Petroleum Co. "A" (a)
     13,823       734,416  
Bill Barrett Corp.*
     12,640       585,864  
BPZ Resources, Inc.* (a)
     27,518       90,259  
Callon Petroleum Co.*
     11,052       77,585  
CAMAC Energy, Inc.* (a)
     13,139       17,475  
Carrizo Oil & Gas, Inc.* (a)
     10,416       434,868  
Cheniere Energy, Inc.* (a)
     18,827       172,455  
Clayton Williams Energy, Inc.* (a)
     1,610       96,680  
Clean Energy Fuels Corp.* (a)
     13,177       173,277  
Cloud Peak Energy, Inc.*
     16,334       347,914  
Comstock Resources, Inc.* (a)
     12,739       366,756  
Contango Oil & Gas Co.* (a)
     3,234       188,995  
Crimson Exploration, Inc.*
     5,588       19,837  
Crosstex Energy, Inc.
     10,946       130,257  
CVR Energy, Inc.* (a)
     23,452       577,388  
Delek US Holdings, Inc.
     3,761       59,048  
DHT Holdings, Inc. (a)
     16,723       64,049  
Endeavour International Corp.* (a)
     9,754       146,993  
Energy Partners Ltd.*
     7,741       114,644  
Energy XXI (Bermuda) Ltd.*
     20,134       668,851  
Evolution Petroleum Corp.* (a)
     3,988       28,315  
Frontline Ltd. (a)
     13,711       202,100  
FX Energy, Inc.* (a)
     14,511       127,407  
Gastar Exploration Ltd.*
     14,946       51,265  
General Maritime Corp. (a)
     35,786       48,311  
GeoResources, Inc.* (a)
     5,434       122,211  
Gevo, Inc.*
     1,541       24,240  
GMX Resources, Inc.* (a)
     15,860       70,577  
Golar LNG Ltd. (a)
     9,767       340,771  
Goodrich Petroleum Corp.* (a)
     6,925       127,489  
Green Plains Renewable Energy, Inc.* (a)
     5,472       59,043  
Gulfport Energy Corp.* (a)
     10,396       308,657  
Hallador Energy Co. (a)
     983       9,427  
Harvest Natural Resources, Inc.* (a)
     8,927       98,465  
Houston American Energy Corp. (a)
     4,390       79,591  
Hyperdynamics Corp.* (a)
     41,592       178,846  
Isramco, Inc.* (a)
     336       22,203  
James River Coal Co.* (a)
     9,427       196,270  
Knightsbridge Tankers Ltd. (a)
     5,847       128,809  
Kodiak Oil & Gas Corp.* (a)
     47,705       275,258  
L&L Energy, Inc.* (a)
     5,784       29,672  
Magnum Hunter Resources Corp.* (a)
     29,433       198,967  
McMoRan Exploration Co.* (a)
     26,270       485,470  
Miller Energy Resources, Inc.* (a)
     8,307       53,165  
   
Shares
    
Value ($)
  
                 
Nordic American Tanker Shipping Ltd. (a)
     12,545       285,273  
Northern Oil & Gas, Inc.* (a)
     16,873       373,737  
Oasis Petroleum, Inc.*
     15,930       472,802  
Overseas Shipholding Group, Inc. (a)
     7,107       191,463  
Panhandle Oil & Gas, Inc. (a)
     1,844       54,380  
Patriot Coal Corp.*
     24,407       543,300  
Penn Virginia Corp. (a)
     12,253       161,862  
Petroleum Development Corp.* (a)
     6,318       188,971  
PetroQuest Energy, Inc.* (a)
     14,506       101,832  
Rentech, Inc.* (a)
     59,802       63,390  
Resolute Energy Corp.* (a)
     12,386       200,158  
REX American Resources Corp.*
     1,849       30,693  
Rex Energy Corp.* (a)
     9,285       95,357  
Rosetta Resources, Inc.* (a)
     14,127       728,106  
Scorpio Tankers, Inc.* (a)
     6,716       67,093  
SemGroup Corp. "A"*
     11,032       283,191  
Ship Finance International Ltd. (a)
     11,970       215,699  
Solazyme, Inc.*
     2,872       65,970  
Stone Energy Corp.*
     13,107       398,322  
Swift Energy Co.* (a)
     11,403       424,990  
Syntroleum Corp.* (a)
     18,293       26,891  
Targa Resources Corp. (a)
     4,469       149,533  
Teekay Tankers Ltd. "A" (a)
     11,032       103,701  
Triangle Petroleum Corp.*
     11,109       71,764  
Ur-Energy, Inc.*
     26,820       42,912  
Uranerz Energy Corp.* (a)
     16,739       50,552  
Uranium Energy Corp.* (a)
     18,896       57,822  
Uranium Resources, Inc.* (a)
     24,024       40,120  
USEC, Inc.* (a)
     31,294       104,522  
VAALCO Energy, Inc.*
     13,865       83,467  
Venoco, Inc.*
     7,676       97,792  
Voyager Oil & Gas, Inc.* (a)
     12,342       36,656  
W&T Offshore, Inc. (a)
     9,322       243,491  
Warren Resources, Inc.*
     19,323       73,621  
Western Refining, Inc.* (a)
     14,108       254,931  
Westmoreland Coal Co.*
     2,516       44,659  
World Fuel Services Corp. (a)
     18,888       678,646  
Zion Oil & Gas, Inc.*
     6,769       40,275  
              16,271,152  
Financials 20.1%
  
Capital Markets 2.0%
  
Apollo Investment Corp. (a)
     52,293       533,911  
Arlington Asset Investment Corp. "A"
     1,872       58,762  
Artio Global Investors, Inc. "A" (a)
     8,152       92,118  
BGC Partners, Inc. "A" (a)
     20,278       156,749  
BlackRock Kelso Capital Corp. (a)
     19,528       175,166  
Calamos Asset Management, Inc. "A" (a)
     5,040       73,181  
Capital Southwest Corp.
     783       72,247  
CIFC Deerfield Corp.*
     2,899       19,858  
Cohen & Steers, Inc. (a)
     4,746       157,330  
Cowen Group, Inc. "A"* (a)
     19,704       74,087  
Diamond Hill Investment Group (a)
     700       56,903  
Duff & Phelps Corp. "A" (a)
     7,934       101,793  
Edelman Financial Group, Inc.
     6,136       48,413  
Epoch Holding Corp. (a)
     3,829       68,348  
Evercore Partners, Inc. "A"
     5,126       170,798  
FBR & Co.*
     14,578       49,565  
Fifth Street Finance Corp. (a)
     18,186       210,958  
Financial Engines, Inc.* (a)
     10,229       265,136  
FXCM, Inc. "A" (a)
     4,580       45,434  
   
Shares
    
Value ($)
  
                 
GAMCO Investors, Inc. "A" (a)
     1,843       85,313  
GFI Group, Inc.
     18,300       83,997  
Gladstone Capital Corp. (a)
     5,787       53,472  
Gladstone Investment Corp. (a)
     6,600       47,124  
Gleacher & Co., Inc.* (a)
     21,525       43,911  
Golub Capital BDC LLC (a)
     2,547       38,027  
Harris & Harris Group, Inc.* (a)
     8,500       43,605  
Hercules Technology Growth Capital, Inc.
     11,391       119,833  
HFF, Inc. "A"*
     7,703       116,238  
ICG Group, Inc.*
     9,722       118,900  
INTL FCStone, Inc.* (a)
     3,389       82,048  
Investment Technology Group, Inc.* (a)
     10,939       153,365  
JMP Group, Inc.
     4,691       32,978  
KBW, Inc.
     9,506       177,762  
Knight Capital Group, Inc. "A"* (a)
     26,722       294,476  
Kohlberg Capital Corp. (a)
     4,886       38,844  
Ladenburg Thalmann Financial Services, Inc.* (a)
     25,243       34,835  
Main Street Capital Corp. (a)
     5,256       99,601  
MCG Capital Corp. (a)
     21,116       128,385  
Medallion Financial Corp. (a)
     4,500       43,875  
Medley Capital Corp. (a)
     3,020       35,455  
MF Global Holdings Ltd.*
     43,692       338,176  
MVC Capital, Inc.
     6,694       88,562  
New Mountain Finance Corp.*
     1,846       23,444  
NGP Capital Resources Co.
     5,775       47,355  
Oppenheimer Holdings, Inc. "A" (a)
     2,665       75,180  
optionsXpress Holdings, Inc.
     11,380       189,818  
PennantPark Investment Corp. (a)
     12,083       135,450  
Piper Jaffray Companies, Inc.* (a)
     4,191       120,743  
Prospect Capital Corp. (a)
     25,922       262,071  
Pzena Investment Management, Inc. "A"
     2,325       13,206  
Safeguard Scientifics, Inc.*
     5,644       106,559  
Solar Capital Ltd. (a)
     9,653       238,333  
Solar Senior Capital Ltd.
     2,175       39,041  
Stifel Financial Corp.* (a)
     14,386       515,882  
SWS Group, Inc.
     7,909       47,375  
THL Credit, Inc. (a)
     2,474       32,162  
TICC Capital Corp. (a)
     8,742       83,923  
Triangle Capital Corp. (a)
     5,157       95,198  
Virtus Investment Partners, Inc.* (a)
     1,446       87,772  
Westwood Holdings Group, Inc.
     1,573       59,931  
              6,902,982  
Commercial Banks 5.5%
  
1st Source Corp.
     3,964       82,213  
1st United Bancorp., Inc.* (a)
     6,952       43,241  
Alliance Financial Corp.
     1,287       39,292  
Ameris Bancorp.*
     6,570       58,276  
Ames National Corp. (a)
     2,109       38,299  
Arrow Financial Corp. (a)
     2,657       65,017  
BancFirst Corp.
     1,825       70,445  
Banco Latinoamericano de Comercio Exterior SA "E"
     7,652       132,533  
Bancorp. Rhode Island, Inc. (a)
     1,041       47,178  
BancorpSouth, Inc. (a)
     22,319       276,979  
Bank of Kentucky Financial Corp.
     1,366       30,421  
Bank of Marin Bancorp. (a)
     1,461       51,676  
Bank of the Ozarks, Inc.
     3,738       194,600  
Banner Corp.
     4,286       75,005  
Boston Private Financial Holdings, Inc.
     20,690       136,140  
   
Shares
    
Value ($)
  
                 
Bridge Bancorp., Inc. (a)
     1,549       32,963  
Bridge Capital Holdings* (a)
     2,158       23,911  
Bryn Mawr Bank Corp. (a)
     2,771       56,113  
Camden National Corp.
     2,116       69,426  
Cape Bancorp., Inc.*
     2,636       26,360  
Capital Bank Corp.* (a)
     5,764       20,116  
Capital City Bank Group, Inc. (a)
     3,126       32,073  
Cardinal Financial Corp.
     7,879       86,275  
Cascade Bancorp.* (a)
     2,268       22,907  
Cathay General Bancorp. (a)
     20,989       344,010  
Center Bancorp., Inc.
     2,748       28,689  
Center Financial Corp.*
     9,881       62,744  
Centerstate Banks, Inc.
     7,374       51,028  
Central Pacific Financial Corp.* (a)
     3,632       50,848  
Century Bancorp., Inc. "A"
     1,033       27,333  
Chemical Financial Corp.
     7,548       141,600  
Citizens & Northern Corp. (a)
     3,007       45,315  
City Holding Co. (a)
     4,027       133,012  
CNB Financial Corp. (a)
     3,400       47,226  
CoBiz Financial, Inc.
     9,034       59,082  
Columbia Banking System, Inc. (a)
     10,504       180,879  
Community Bank System, Inc. (a)
     9,906       245,570  
Community Trust Bancorp., Inc. (a)
     3,759       104,199  
CVB Financial Corp. (a)
     24,126       223,165  
Danvers Bancorp., Inc. (a)
     5,171       112,573  
Eagle Bancorp., Inc.* (a)
     4,712       62,670  
Encore Bancshares, Inc.* (a)
     2,230       26,805  
Enterprise Bancorp., Inc.
     1,370       20,646  
Enterprise Financial Services Corp. (a)
     4,175       56,488  
Financial Institutions, Inc.
     4,070       66,829  
First BanCorp. — North Carolina (a)
     4,128       42,271  
First Bancorp., Inc. (a)
     2,700       40,122  
First Busey Corp. (a)
     20,315       107,466  
First Commonwealth Financial Corp. (a)
     27,969       160,542  
First Community Bancshares, Inc.
     4,380       61,320  
First Financial Bancorp.
     15,475       258,278  
First Financial Bankshares, Inc. (a)
     8,464       291,585  
First Financial Corp. — Indiana (a)
     3,054       99,988  
First Interstate BancSystem, Inc. "A" (a)
     4,171       61,481  
First Merchants Corp. (a)
     6,928       61,936  
First Midwest Bancorp., Inc. (a)
     19,812       243,489  
First of Long Island Corp.
     2,064       57,565  
FirstMerit Corp. (a)
     29,222       482,455  
FNB Corp. (a)
     33,979       351,683  
German American Bancorp., Inc. (a)
     3,215       53,305  
Glacier Bancorp., Inc. (a)
     19,268       259,733  
Great Southern Bancorp., Inc. (a)
     2,688       50,938  
Hampton Roads Bankshares, Inc.* (a)
     2,486       24,611  
Hancock Holding Co. (a)
     20,399       631,961  
Hanmi Financial Corp.* (a)
     28,808       30,825  
Heartland Financial USA, Inc. (a)
     3,621       52,686  
Heritage Commerce Corp.* (a)
     4,833       24,697  
Heritage Financial Corp.
     3,947       51,035  
Home Bancshares, Inc.
     6,054       143,117  
Hudson Valley Holding Corp. (a)
     3,621       69,921  
IBERIABANK Corp. (a)
     7,244       417,544  
Independent Bank Corp. — Massachusetts (a)
     5,748       150,885  
International Bancshares Corp.
     14,146       236,663  
Investors Bancorp., Inc.*
     12,502       177,528  
Lakeland Bancorp., Inc. (a)
     5,834       58,223  
   
Shares
    
Value ($)
  
                 
Lakeland Financial Corp.
     4,216       93,848  
MainSource Financial Group, Inc. (a)
     5,170       42,911  
MB Financial, Inc. (a)
     14,531       279,576  
Merchants Bancshares, Inc.
     1,476       36,118  
Metro Bancorp., Inc.*
     3,770       43,053  
MidSouth Bancorp., Inc. (a)
     2,182       29,741  
Nara Bancorp., Inc.*
     10,238       83,235  
National Bankshares, Inc. (a)
     1,801       45,097  
National Penn Bancshares, Inc.
     33,566       266,178  
NBT Bancorp., Inc. (a)
     9,198       203,552  
Northfield Bancorp., Inc. (a)
     4,859       68,318  
Old National Bancorp. (a)
     25,331       273,575  
OmniAmerican Bancorp., Inc.* (a)
     3,324       49,760  
Oriental Financial Group, Inc.
     12,315       158,740  
Orrstown Financial Services, Inc. (a)
     1,658       43,622  
Pacific Capital Bancorp.*
     1,023       32,521  
Pacific Continental Corp. (a)
     5,134       46,976  
PacWest Bancorp. (a)
     8,297       170,669  
Park National Corp. (a)
     3,457       227,678  
Park Sterling Corp.*
     7,306       36,238  
Penns Woods Bancorp., Inc. (a)
     938       32,230  
Peoples Bancorp., Inc. (a)
     2,888       32,548  
Pinnacle Financial Partners, Inc.* (a)
     9,119       141,892  
PrivateBancorp., Inc.
     16,031       221,228  
Prosperity Bancshares, Inc.
     12,550       549,941  
Renasant Corp. (a)
     6,723       97,416  
Republic Bancorp., Inc. "A" (a)
     2,649       52,715  
S&T Bancorp., Inc. (a)
     7,430       138,124  
S.Y. Bancorp., Inc. (a)
     3,280       76,260  
Sandy Spring Bancorp., Inc. (a)
     6,400       115,136  
SCBT Financial Corp. (a)
     3,587       102,875  
Seacoast Banking Corp. of Florida* (a)
     18,143       27,214  
Sierra Bancorp. (a)
     3,235       36,620  
Signature Bank*
     11,065       632,918  
Simmons First National Corp. "A"
     4,606       118,190  
Southside Bancshares, Inc. (a)
     4,280       84,958  
Southwest Bancorp., Inc.*
     5,458       53,434  
State Bancorp., Inc.
     3,955       52,760  
State Bank Financial Corp.* (a)
     8,376       137,115  
StellarOne Corp.
     6,044       73,193  
Sterling Bancorp. (a)
     8,060       76,489  
Sterling Bancshares, Inc.
     27,067       220,867  
Sterling Financial Corp.* (a)
     7,219       116,009  
Suffolk Bancorp. (a)
     2,554       35,654  
Sun Bancorp., Inc.*
     9,303       33,956  
Susquehanna Bancshares, Inc. (a)
     34,489       275,912  
SVB Financial Group* (a)
     11,475       685,172  
Taylor Capital Group, Inc.* (a)
     2,671       21,795  
Texas Capital Bancshares, Inc.* (a)
     10,005       258,429  
The Bancorp., Inc.*
     8,302       86,756  
Tompkins Financial Corp. (a)
     2,172       85,229  
Tower Bancorp., Inc.
     2,745       75,213  
TowneBank (a)
     6,517       87,197  
TriCo Bancshares (a)
     3,873       56,546  
Trustmark Corp. (a)
     17,236       403,495  
UMB Financial Corp. (a)
     8,578       359,247  
Umpqua Holdings Corp. (a)
     30,472       352,561  
Union First Market Bankshares Corp.
     5,314       64,724  
United Bankshares, Inc. (a)
     11,637       284,874  
United Community Banks, Inc.* (a)
     5,510       58,186  
   
Shares
    
Value ($)
  
                 
Univest Corp. of Pennsylvania
     4,332       67,709  
Virginia Commerce Bancorp., Inc.*
     5,560       32,860  
Washington Banking Co. (a)
     4,402       58,194  
Washington Trust Bancorp., Inc. (a)
     3,900       89,583  
Webster Financial Corp. (a)
     19,260       404,845  
WesBanco, Inc.
     6,130       120,516  
West Bancorp. (a)
     4,052       35,698  
West Coast Bancorp.* (a)
     5,214       87,387  
Westamerica Bancorp. (a)
     7,728       380,604  
Western Alliance Bancorp.*
     18,627       132,252  
Wilshire Bancorp., Inc.* (a)
     18,109       53,240  
Wintrust Financial Corp. (a)
     9,358       301,140  
              18,966,535  
Consumer Finance 0.7%
  
Advance America Cash Advance Centers, Inc. (a)
     14,750       101,627  
Cash America International, Inc.
     7,819       452,486  
Credit Acceptance Corp.* (a)
     1,757       148,414  
Dollar Financial Corp.*
     11,603       251,205  
EZCORP, Inc. "A"*
     12,423       441,948  
First Cash Financial Services, Inc.*
     8,320       349,357  
Imperial Holdings, Inc.*
     4,446       45,171  
Nelnet, Inc. "A"
     7,048       155,479  
Netspend Holdings, Inc.* (a)
     8,344       83,440  
Nicholas Financial, Inc.*
     2,270       26,968  
The First Marblehead Corp.* (a)
     15,439       27,327  
World Acceptance Corp.* (a)
     4,204       275,656  
              2,359,078  
Diversified Financial Services 0.5%
  
California First National Bancorp. (a)
     432       6,618  
Compass Diversified Holdings (a)
     11,234       185,249  
Encore Capital Group, Inc.* (a)
     4,495       138,086  
Gain Capital Holdings, Inc.*
     2,994       20,389  
MarketAxess Holdings, Inc.
     7,613       190,782  
Marlin Business Services Corp.*
     2,370       29,981  
NewStar Financial, Inc.* (a)
     7,313       78,103  
PHH Corp.* (a)
     15,071       309,257  
PICO Holdings, Inc.* (a)
     6,034       174,986  
Portfolio Recovery Associates, Inc.* (a)
     4,591       389,271  
Primus Guaranty Ltd.* (a)
     6,366       33,421  
              1,556,143  
Insurance 2.4%
  
Alterra Capital Holdings Ltd. (a)
     24,186       539,348  
American Equity Investment Life Holding Co. (a)
     15,761       200,322  
American Safety Insurance Holdings Ltd.*
     2,900       55,506  
AMERISAFE, Inc.*
     5,152       116,538  
AmTrust Financial Services, Inc.
     6,372       145,154  
Argo Group International Holdings Ltd.
     7,308       217,194  
Baldwin & Lyons, Inc. (a)
     2,192       50,789  
Citizens, Inc.* (a)
     10,066       68,650  
CNO Financial Group, Inc.* (a)
     59,212       468,367  
Crawford & Co. "B" (a)
     7,300       51,611  
Delphi Financial Group, Inc. "A"
     12,905       376,955  
Donegal Group, Inc. "A"
     2,772       35,482  
eHealth, Inc.* (a)
     5,935       79,292  
EMC Insurance Group, Inc. (a)
     1,245       23,780  
Employers Holdings, Inc.
     10,646       178,533  
Enstar Group Ltd.*
     1,833       191,530  
FBL Financial Group, Inc. "A" (a)
     3,526       113,361  
First American Financial Corp.
     28,064       439,202  
   
Shares
    
Value ($)
  
                 
Flagstone Reinsurance Holdings SA (a)
     14,398       121,375  
Fortegra Financial Corp.*
     2,494       19,553  
FPIC Insurance Group, Inc.*
     2,343       97,656  
Global Indemnity PLC*
     3,832       84,994  
Greenlight Capital Re Ltd. "A"* (a)
     7,555       198,621  
Hallmark Financial Services, Inc.*
     2,863       22,532  
Harleysville Group, Inc.
     3,078       95,941  
Hilltop Holdings, Inc.*
     10,486       92,696  
Horace Mann Educators Corp.
     10,579       165,138  
Independence Holding Co.
     1,918       20,024  
Infinity Property & Casualty Corp.
     3,340       182,564  
Kansas City Life Insurance Co. (a)
     1,074       33,455  
Maiden Holdings Ltd.
     13,227       120,366  
Meadowbrook Insurance Group, Inc. (a)
     14,628       144,964  
Montpelier Re Holdings Ltd. (a)
     16,633       299,394  
National Financial Partners Corp.* (a)
     11,470       132,364  
National Interstate Corp.
     1,857       42,525  
National Western Life Insurance Co. "A"
     577       92,014  
Navigators Group, Inc.*
     3,627       170,469  
OneBeacon Insurance Group Ltd. "A"
     5,801       77,675  
Phoenix Companies, Inc.*
     31,041       76,361  
Platinum Underwriters Holdings Ltd.
     9,911       329,442  
Presidential Life Corp.
     5,610       58,568  
Primerica, Inc.
     9,122       200,410  
ProAssurance Corp.*
     8,142       569,940  
RLI Corp. (a)
     4,860       300,931  
Safety Insurance Group, Inc.
     3,391       142,558  
Seabright Holdings, Inc.
     5,980       59,202  
Selective Insurance Group, Inc. (a)
     14,145       230,139  
State Auto Financial Corp. (a)
     3,829       66,739  
Stewart Information Services Corp. (a)
     4,645       46,589  
Symetra Financial Corp.
     18,177       244,117  
Tower Group, Inc. (a)
     9,766       232,626  
United Fire & Casualty Co. (a)
     6,107       106,079  
Universal Insurance Holdings, Inc.
     4,094       19,119  
              8,248,754  
Real Estate Investment Trusts 7.8%
  
Acadia Realty Trust (REIT)
     10,845       220,479  
Agree Realty Corp. (REIT) (a)
     2,410       53,815  
Alexander's, Inc. (REIT)
     548       217,556  
American Assets Trust, Inc. (REIT)
     8,738       196,168  
American Campus Communities, Inc. (REIT) (a)
     18,236       647,743  
Anworth Mortgage Asset Corp. (REIT)
     33,915       254,702  
Apollo Commercial Real Estate Finance, Inc. (REIT) (a)
     4,906       79,085  
ARMOUR Residential REIT, Inc. (REIT) (a)
     12,521       92,029  
Ashford Hospitality Trust (REIT)
     12,439       154,866  
Associated Estates Realty Corp. (REIT) (a)
     11,282       183,332  
BioMed Realty Trust, Inc. (REIT)
     34,965       672,727  
Campus Crest Communities, Inc. (REIT) (a)
     8,410       108,825  
CapLease, Inc. (REIT)
     17,895       87,864  
Capstead Mortgage Corp. (REIT) (a)
     20,949       280,717  
CBL & Associates Properties, Inc. (REIT) (a)
     39,640       718,673  
   
Shares
    
Value ($)
  
                 
Cedar Shopping Centers, Inc. (REIT)
     15,179       78,172  
Chatham Lodging Trust (REIT)
     3,672       59,156  
Chesapeake Lodging Trust (REIT) (a)
     8,430       143,816  
Cogdell Spencer, Inc. (REIT)
     11,972       71,712  
Colonial Properties Trust (REIT)
     22,202       452,921  
Colony Financial, Inc. (REIT)
     8,763       158,347  
Coresite Realty Corp. (REIT) (a)
     5,351       87,756  
Cousins Properties, Inc. (REIT) (a)
     24,417       208,521  
CreXus Investment Corp. (REIT) (a)
     15,408       171,183  
Cypress Sharpridge Investments, Inc. (REIT) (a)
     22,093       283,011  
DCT Industrial Trust, Inc. (REIT)
     65,748       343,862  
DiamondRock Hospitality Co. (REIT)
     44,790       480,597  
DuPont Fabros Technology, Inc. (REIT) (a)
     15,711       395,917  
Dynex Capital, Inc. (REIT) (a)
     10,603       102,637  
EastGroup Properties, Inc. (REIT)
     7,247       308,070  
Education Realty Trust, Inc. (REIT)
     19,770       169,429  
Entertainment Properties Trust (REIT) (a)
     12,431       580,528  
Equity Lifestyle Properties, Inc. (REIT)
     6,802       424,717  
Equity One, Inc. (REIT) (a)
     14,360       267,670  
Excel Trust, Inc. (REIT) (a)
     4,207       46,403  
Extra Space Storage, Inc. (REIT)
     25,035       533,997  
FelCor Lodging Trust, Inc. (REIT)* (a)
     33,050       176,157  
First Industrial Realty Trust, Inc. (REIT)*
     20,787       238,011  
First Potomac Realty Trust (REIT)
     13,458       206,042  
Franklin Street Properties Corp. (REIT) (a)
     18,824       243,018  
Getty Realty Corp. (REIT) (a)
     6,872       173,381  
Gladstone Commercial Corp. (REIT) (a)
     2,411       41,783  
Glimcher Realty Trust (REIT)
     26,637       253,051  
Government Properties Income Trust (REIT)
     8,197       221,483  
Hatteras Financial Corp. (REIT) (a)
     20,023       565,249  
Healthcare Realty Trust, Inc. (REIT) (a)
     19,347       399,129  
Hersha Hospitality Trust (REIT)
     37,500       208,875  
Highwoods Properties, Inc. (REIT) (a)
     19,306       639,608  
Home Properties, Inc. (REIT) (a)
     10,463       636,987  
Hudson Pacific Properties, Inc. (REIT) (a)
     5,779       89,748  
Inland Real Estate Corp. (REIT) (a)
     20,513       181,130  
Invesco Mortgage Capital (REIT)
     19,431       410,577  
Investors Real Estate Trust (REIT) (a)
     21,185       183,462  
iStar Financial, Inc. (REIT)*
     24,999       202,742  
Kilroy Realty Corp. (REIT) (a)
     15,692       619,677  
Kite Realty Group Trust (REIT)
     14,993       74,665  
LaSalle Hotel Properties (REIT) (a)
     22,632       596,127  
Lexington Realty Trust (REIT) (a)
     32,464       296,396  
LTC Properties, Inc. (REIT) (a)
     8,248       229,459  
Medical Properties Trust, Inc. (REIT) (a)
     29,895       343,792  
MFA Financial, Inc. (REIT)
     95,472       767,595  
Mid-America Apartment Communities, Inc. (REIT)
     9,821       662,623  
Mission West Properties, Inc. (REIT)
     4,927       43,259  
   
Shares
    
Value ($)
  
                 
Monmouth Real Estate Investment Corp. "A" (REIT)
     9,643       81,483  
MPG Office Trust, Inc. (REIT)* (a)
     13,374       38,250  
National Health Investors, Inc. (REIT)
     6,479       287,862  
National Retail Properties, Inc. (REIT) (a)
     22,776       558,240  
Newcastle Investment Corp. (REIT)
     20,878       120,675  
NorthStar Realty Finance Corp. (REIT) (a)
     25,495       102,745  
OMEGA Healthcare Investors, Inc. (REIT)
     27,159       570,611  
One Liberty Properties, Inc. (REIT)
     2,826       43,633  
Parkway Properties, Inc. (REIT)
     6,013       102,582  
Pebblebrook Hotel Trust (REIT)
     13,556       273,696  
Pennsylvania Real Estate Investment Trust (REIT) (a)
     14,959       234,856  
Pennymac Mortgage Investment Trust (REIT)
     7,195       119,221  
Post Properties, Inc. (REIT)
     13,332       543,412  
Potlatch Corp. (REIT)
     10,691       377,072  
PS Business Parks, Inc. (REIT) (a)
     4,959       273,241  
RAIT Financial Trust (REIT) (a)
     30,267       63,561  
Ramco-Gershenson Properties Trust (REIT)
     10,565       130,795  
Redwood Trust, Inc. (REIT) (a)
     20,999       317,505  
Resource Capital Corp. (REIT) (a)
     18,896       119,423  
Retail Opportunity Investments Corp. (a)
     11,150       119,974  
RLJ Lodging Trust (REIT)
     7,367       127,965  
Sabra Health Care REIT, Inc. (REIT)
     6,993       116,853  
Saul Centers, Inc. (REIT)
     1,933       76,102  
Sovran Self Storage, Inc. (REIT)
     7,439       304,999  
STAG Industrial, Inc. (REIT)
     3,937       48,228  
Starwood Property Trust, Inc. (REIT)
     25,044       513,652  
Strategic Hotels & Resorts, Inc. (REIT)* (a)
     46,630       330,140  
Sun Communities, Inc. (REIT)
     5,616       209,533  
Sunstone Hotel Investors, Inc. (REIT)* (a)
     31,508       292,079  
Tanger Factory Outlet Centers, Inc. (REIT) (a)
     21,748       582,194  
Terreno Realty Corp. (REIT) (a)
     2,555       43,461  
Two Harbors Investment Corp. (REIT)
     23,688       254,646  
U-Store-It Trust (REIT)
     26,557       279,380  
UMH Properties, Inc. (REIT)
     2,562       27,413  
Universal Health Realty Income Trust (REIT) (a)
     3,136       125,377  
Urstadt Biddle Properties "A" (REIT)
     6,217       112,590  
Walter Investment Management Corp. (REIT)
     6,939       153,976  
Washington Real Estate Investment Trust (REIT)
     17,633       573,425  
Whitestone REIT "B" (REIT)
     1,809       23,010  
Winthrop Realty Trust (REIT) (a)
     7,753       92,571  
              26,807,460  
Real Estate Management & Development 0.1%
  
Avatar Holdings, Inc.* (a)
     2,200       33,462  
Consolidated-Tomoka Land Co. (a)
     1,414       40,440  
Forestar Group, Inc.* (a)
     9,762       160,390  
Kennedy-Wilson Holdings, Inc. (a)
     6,244       76,489  
Tejon Ranch Co.*
     3,775       128,728  
              439,509  
   
Shares
    
Value ($)
  
                 
Thrifts & Mortgage Finance 1.1%
  
Abington Bancorp., Inc.
     5,774       60,223  
Astoria Financial Corp. (a)
     23,282       297,777  
Bank Mutual Corp. (a)
     12,588       46,198  
BankFinancial Corp. (a)
     5,273       44,662  
Beneficial Mutual Bancorp., Inc.*
     8,944       73,475  
Berkshire Hills Bancorp., Inc. (a)
     4,439       99,389  
BofI Holding, Inc.* (a)
     2,273       32,754  
Brookline Bancorp., Inc.
     15,533       143,991  
Chartar Financial Corp.
     2,039       20,186  
Clifton Savings Bancorp., Inc. (a)
     3,000       33,120  
Dime Community Bancshares (a)
     8,563       124,506  
Doral Financial Corp.* (a)
     32,447       63,596  
ESB Financial Corp. (a)
     3,014       38,941  
ESSA Bancorp., Inc. (a)
     2,756       34,230  
Federal Agricultural Mortgage Corp. "C" (a)
     2,672       59,105  
First Defiance Financial Corp.*
     2,223       32,656  
First Financial Holdings, Inc.
     4,361       39,118  
First PacTrust Bancorp, Inc.
     2,031       30,181  
Flagstar Bancorp., Inc.*
     49,355       58,732  
Flushing Financial Corp.
     8,390       109,070  
Fox Chase Bancorp. (a)
     3,633       49,227  
Franklin Financial Corp.* (a)
     3,391       40,895  
Home Federal Bancorp., Inc. (a)
     4,624       50,818  
Kearny Financial Corp.
     3,661       33,352  
Meridian Interstate Bancorp., Inc.* (a)
     2,448       33,513  
MGIC Investment Corp.* (a)
     50,010       297,560  
Northwest Bancshares, Inc.
     28,293       355,926  
OceanFirst Financial Corp.
     3,998       51,774  
Ocwen Financial Corp.* (a)
     20,040       255,710  
Oritani Financial Corp.
     14,778       189,011  
Provident Financial Services, Inc. (a)
     16,125       230,910  
Provident New York Bancorp. (a)
     10,753       89,895  
Radian Group, Inc. (a)
     35,700       151,011  
Rockville Financial, Inc. (a)
     7,797       77,190  
Roma Financial Corp.
     2,001       21,011  
Territorial Bancorp., Inc. (a)
     3,379       70,013  
The PMI Group, Inc.* (a)
     38,705       41,414  
TrustCo Bank Corp. (a)
     20,717       101,513  
United Financial Bancorp., Inc. (a)
     4,635       71,518  
ViewPoint Financial Group
     9,002       124,228  
Walker & Dunlop, Inc.*
     2,987       39,727  
Westfield Financial, Inc. (a)
     7,834       63,612  
WSFS Financial Corp.
     1,633       64,748  
              3,946,486  
Health Care 12.2%
  
Biotechnology 3.5%
  
Achillion Pharmaceuticals, Inc.*
     10,309       76,699  
Acorda Therapeutics, Inc.* (a)
     10,583       341,937  
Affymax, Inc.* (a)
     9,338       64,152  
Alkermes, Inc.* (a)
     25,389       472,235  
Allos Therapeutics, Inc.* (a)
     21,791       46,633  
Alnylam Pharmaceuticals, Inc.* (a)
     10,094       94,581  
AMAG Pharmaceuticals, Inc.* (a)
     5,672       106,634  
Amicus Therapeutics, Inc.* (a)
     4,392       26,088  
Anacor Pharmaceuticals, Inc.* (a)
     2,996       19,354  
Anthera Pharmaceuticals, Inc.* (a)
     4,609       37,656  
Ardea Biosciences, Inc.*
     4,478       114,010  
Arena Pharmaceuticals, Inc.* (a)
     37,960       51,626  
ARIAD Pharmaceuticals, Inc.* (a)
     35,207       398,895  
ArQule, Inc.* (a)
     14,046       87,787  
   
Shares
    
Value ($)
  
                 
Array BioPharma, Inc.*
     15,880       35,571  
Aveo Pharmaceuticals, Inc.* (a)
     7,127       146,887  
AVI BioPharma, Inc.*
     35,201       50,337  
BioCryst Pharmaceuticals, Inc.* (a)
     8,247       31,504  
BioMimetic Therapeutics, Inc.* (a)
     4,782       24,484  
BioSante Pharmaceuticals, Inc.* (a)
     25,672       70,598  
BioSpecifics Technologies Corp.* (a)
     1,133       25,379  
BioTime, Inc.* (a)
     7,062       36,228  
Cell Therapeutics, Inc.* (a)
     43,478       68,478  
Celldex Therapeutics, Inc.* (a)
     11,247       39,927  
Cepheid, Inc.* (a)
     16,513       572,010  
Chelsea Therapeutics International Ltd.*
     14,131       72,068  
Cleveland Biolabs, Inc.* (a)
     6,116       20,856  
Codexis, Inc.* (a)
     6,422       61,844  
Cubist Pharmaceuticals, Inc.* (a)
     15,986       575,336  
Curis, Inc.* (a)
     20,390       72,996  
Cytori Therapeutics, Inc.* (a)
     12,595       60,330  
DUSA Pharmaceuticals, Inc.*
     6,513       40,511  
Dyax Corp.*
     27,197       53,850  
Dynavax Technologies Corp.* (a)
     33,499       92,122  
Emergent Biosolutions, Inc.*
     6,398       144,275  
Enzon Pharmaceuticals, Inc.* (a)
     10,656       107,093  
Exact Sciences Corp.* (a)
     13,798       118,663  
Exelixis, Inc.* (a)
     33,916       303,887  
Genomic Health, Inc.* (a)
     4,463       124,562  
Geron Corp.* (a)
     34,552       138,553  
GTx, Inc.* (a)
     4,531       21,703  
Halozyme Therapeutics, Inc.* (a)
     21,706       149,988  
Idenix Pharmaceuticals, Inc.* (a)
     14,126       70,630  
ImmunoGen, Inc.* (a)
     19,979       243,544  
Immunomedics, Inc.* (a)
     17,735       72,181  
Incyte Corp.* (a)
     23,639       447,723  
Infinity Pharmaceuticals, Inc.* (a)
     4,819       39,805  
Inhibitex, Inc.* (a)
     18,766       73,563  
Insmed, Inc.* (a)
     6,508       78,031  
InterMune, Inc.* (a)
     13,072       468,631  
Ironwood Pharmaceuticals, Inc. "A"* (a)
     13,399       210,632  
Isis Pharmaceuticals, Inc.* (a)
     26,376       241,604  
Keryx Biopharmaceuticals, Inc.* (a)
     18,723       88,560  
Lexicon Pharmaceuticals, Inc.* (a)
     45,451       79,994  
Ligand Pharmaceuticals, Inc. "B"* (a)
     5,765       68,892  
MannKind Corp.* (a)
     20,303       77,151  
Maxygen, Inc. (a)
     9,217       50,417  
Medivation, Inc.*
     8,423       180,505  
Metabolix, Inc.* (a)
     10,282       73,413  
Micromet, Inc.* (a)
     24,640       141,434  
Momenta Pharmaceuticals, Inc.* (a)
     12,332       239,981  
Nabi Biopharmaceuticals*
     11,823       63,608  
Neurocrine Biosciences, Inc.* (a)
     13,100       105,455  
Novavax, Inc.* (a)
     25,493       51,496  
NPS Pharmaceuticals, Inc.* (a)
     23,422       221,338  
Nymox Pharmaceutical Corp.* (a)
     5,140       42,919  
OncoGenex Pharmaceutical, Inc.*
     2,677       45,589  
Oncothyreon, Inc.* (a)
     10,834       99,564  
Onyx Pharmaceuticals, Inc.*
     16,917       597,170  
Opko Health, Inc.* (a)
     30,336       111,940  
Orexigen Therapeutics, Inc.* (a)
     8,596       13,668  
Osiris Therapeutics, Inc.* (a)
     5,122       39,644  
PDL BioPharma, Inc. (a)
     37,433       219,732  
   
Shares
    
Value ($)
  
                 
Peregrine Pharmaceuticals, Inc.* (a)
     17,300       32,178  
Pharmacyclics, Inc.* (a)
     12,193       127,295  
PharmAthene, Inc.*
     9,090       26,725  
Progenics Pharmaceuticals, Inc.* (a)
     7,920       56,866  
Raptor Pharmaceuticals Corp.* (a)
     8,408       52,046  
Rigel Pharmaceuticals, Inc.*
     18,118       166,142  
Sangamo BioSciences, Inc.* (a)
     14,968       88,161  
Savient Pharmaceuticals, Inc.* (a)
     18,881       141,419  
SciClone Pharmaceuticals, Inc.* (a)
     10,200       61,608  
Seattle Genetics, Inc.* (a)
     25,709       527,549  
SIGA Technologies, Inc.* (a)
     9,355       91,118  
Spectrum Pharmaceuticals, Inc.* (a)
     13,828       128,116  
Sunesis Pharmaceuticals, Inc.* (a)
     10,050       21,004  
SuperGen, Inc.*
     14,365       42,808  
Synta Pharmaceuticals Corp.* (a)
     6,786       34,134  
Targacept, Inc.*
     7,283       153,453  
Theravance, Inc.* (a)
     18,365       407,887  
Transcept Pharmaceuticals, Inc.* (a)
     1,485       16,261  
Trius Therapeutics, Inc.*
     2,670       21,146  
Vanda Pharmaceuticals, Inc.*
     7,331       52,343  
Vical, Inc.* (a)
     19,247       79,298  
Zalicus, Inc.* (a)
     20,253       48,202  
ZIOPHARM Oncology, Inc.* (a)
     16,804       102,840  
Zogenix, Inc.* (a)
     3,053       12,243  
              12,247,983  
Health Care Equipment & Supplies 3.1%
  
Abaxis, Inc.*
     5,983       163,037  
ABIOMED, Inc.* (a)
     8,507       137,813  
Accuray, Inc.*
     18,778       150,412  
Align Technology, Inc.* (a)
     16,360       373,008  
Alimera Sciences, Inc.* (a)
     2,841       23,154  
Alphatec Holdings, Inc.* (a)
     14,080       48,998  
Analogic Corp.
     3,451       181,488  
AngioDynamics, Inc.*
     6,799       96,750  
Antares Pharma, Inc.*
     22,677       50,116  
ArthroCare Corp.*
     7,213       241,419  
AtriCure, Inc.*
     3,732       48,143  
Atrion Corp.
     417       82,483  
Bacterin International Holdings, Inc.* (a)
     6,493       18,440  
Biolase Technology, Inc. (a)
     7,410       38,087  
Cantel Medical Corp. (a)
     3,443       92,651  
Cardiovascular Systems, Inc.*
     3,352       48,805  
Cerus Corp.* (a)
     12,563       37,689  
Conceptus, Inc.* (a)
     8,317       97,059  
CONMED Corp.*
     7,529       214,426  
CryoLife, Inc.*
     7,954       44,542  
Cyberonics, Inc.* (a)
     7,647       213,734  
Cynosure, Inc. "A"*
     2,868       34,703  
Delcath Systems, Inc.* (a)
     11,870       61,249  
Dexcom, Inc.* (a)
     17,839       258,487  
Dynavox, Inc. "A"* (a)
     2,601       19,768  
Endologix, Inc.* (a)
     12,831       119,328  
Exactech, Inc.*
     2,330       41,963  
Greatbatch, Inc.*
     6,278       168,376  
Haemonetics Corp.*
     6,865       441,900  
Hansen Medical, Inc.* (a)
     12,795       43,631  
HeartWare International, Inc.* (a)
     3,200       237,056  
ICU Medical, Inc.* (a)
     3,184       139,141  
Immucor, Inc.*
     16,225       331,315  
Insulet Corp.* (a)
     12,237       271,294  
   
Shares
    
Value ($)
  
                 
Integra LifeSciences Holdings*
     5,614       268,405  
Invacare Corp. (a)
     7,720       256,227  
IRIS International, Inc.*
     4,512       45,075  
Kensey Nash Corp.*
     2,205       55,632  
MAKO Surgical Corp.* (a)
     8,540       253,894  
Masimo Corp. (a)
     14,042       416,767  
Medical Action Industries, Inc.*
     4,273       34,825  
Meridian Bioscience, Inc.
     10,914       263,137  
Merit Medical Systems, Inc.*
     9,778       175,711  
Natus Medical, Inc.*
     7,709       116,791  
Neogen Corp.*
     6,183       279,533  
Neoprobe Corp.* (a)
     23,344       77,502  
NuVasive, Inc.* (a)
     10,642       349,909  
NxStage Medical, Inc.* (a)
     12,020       250,256  
OraSure Technologies, Inc.*
     12,467       106,344  
Orthofix International NV* (a)
     4,759       202,115  
Palomar Medical Technologies, Inc.*
     5,096       57,483  
Quidel Corp.*
     7,476       113,261  
Rockwell Medical Technologies, Inc.*
     4,284       55,007  
RTI Biologics, Inc.*
     14,435       39,119  
Solta Medical, Inc.* (a)
     16,467       45,449  
SonoSite, Inc.*
     3,580       125,909  
Spectranetics Corp.*
     8,299       51,620  
STAAR Surgical Co.* (a)
     9,642       51,103  
Stereotaxis, Inc.* (a)
     11,325       39,751  
STERIS Corp.
     15,783       552,089  
SurModics, Inc.* (a)
     3,941       43,745  
Symmetry Medical, Inc.*
     9,633       86,408  
Synergetics USA, Inc.*
     5,930       32,674  
Synovis Life Technologies, Inc.* (a)
     3,152       54,908  
Tornier NV* (a)
     2,752       74,166  
Unilife Corp.* (a)
     14,875       77,053  
Uroplasty, Inc.* (a)
     5,485       41,138  
Vascular Solutions, Inc.*
     4,436       55,006  
Volcano Corp.*
     13,918       449,412  
West Pharmaceutical Services, Inc.
     8,980       392,965  
Wright Medical Group, Inc.* (a)
     10,396       155,940  
Young Innovations, Inc. (a)
     1,416       40,384  
Zoll Medical Corp.*
     5,855       331,744  
              10,688,922  
Health Care Providers & Services 3.1%
  
Accretive Health, Inc.* (a)
     10,684       307,592  
Air Methods Corp.*
     2,995       223,846  
Alliance HealthCare Services, Inc.*
     6,523       24,787  
Almost Family, Inc.* (a)
     2,247       61,568  
Amedisys, Inc.* (a)
     7,861       209,338  
American Dental Partners, Inc.*
     4,113       53,305  
AMN Healthcare Services, Inc.* (a)
     10,673       88,799  
AmSurg Corp.*
     8,395       219,361  
Assisted Living Concepts, Inc. "A"
     5,298       88,900  
Bio-Reference Laboratories, Inc.*
     6,505       135,955  
BioScrip, Inc.* (a)
     10,874       70,572  
Capital Senior Living Corp.*
     7,192       66,814  
CardioNet, Inc.* (a)
     6,953       36,920  
Centene Corp.*
     13,334       473,757  
Chemed Corp.
     5,686       372,547  
Chindex International, Inc.* (a)
     3,630       49,441  
Continucare Corp.*
     7,832       48,402  
CorVel Corp.*
     1,590       74,571  
Cross Country Healthcare, Inc.*
     7,848       59,645  
Emeritus Corp.* (a)
     8,034       170,723  
ExamWorks Group, Inc.* (a)
     7,093       180,091  
   
Shares
    
Value ($)
  
                 
Five Star Quality Care, Inc.*
     8,717       50,646  
Gentiva Health Services, Inc.* (a)
     8,193       170,660  
Hanger Orthopedic Group, Inc.*
     8,937       218,688  
HEALTHSOUTH Corp.* (a)
     25,409       666,986  
Healthspring, Inc.* (a)
     18,121       835,559  
Healthways, Inc.*
     9,139       138,730  
HMS Holdings Corp.*
     7,581       582,752  
IPC The Hospitalist Co.*
     4,304       199,490  
Kindred Healthcare, Inc.* (a)
     13,891       298,240  
Landauer, Inc.
     2,510       154,591  
LHC Group, Inc.*
     4,193       96,691  
Magellan Health Services, Inc.* (a)
     8,586       469,998  
MedCath Corp.*
     5,521       75,030  
MedQuist Holdings, Inc.* (a)
     8,174       105,608  
Metropolitan Health Networks, Inc.*
     11,032       52,843  
Molina Healthcare, Inc.* (a)
     7,554       204,865  
MWI Veterinary Supply, Inc.*
     3,356       271,064  
National Healthcare Corp.
     2,716       134,632  
National Research Corp.
     400       14,612  
Owens & Minor, Inc. (a)
     17,044       587,848  
PharMerica Corp.*
     8,085       103,165  
Providence Service Corp.*
     3,580       45,287  
PSS World Medical, Inc.*
     14,808       414,772  
Radnet, Inc.* (a)
     7,934       34,910  
Rural/Metro Corp.* (a)
     5,268       90,820  
Select Medical Holdings Corp.* (a)
     11,943       105,934  
Skilled Healthcare Group, Inc. "A"*
     5,253       49,693  
Sun Healthcare Group, Inc.*
     6,638       53,237  
Sunrise Senior Living, Inc.* (a)
     15,357       146,352  
Team Health Holdings, Inc.*
     7,130       160,496  
The Ensign Group, Inc.
     4,476       136,026  
Triple-S Management Corp. "B"*
     5,372       116,734  
Universal American Corp.
     8,531       93,415  
US Physical Therapy, Inc.
     3,095       76,539  
WellCare Health Plans, Inc.* (a)
     11,332       582,578  
              10,556,425  
Health Care Technology 0.5%
  
athenahealth, Inc.* (a)
     9,274       381,161  
Computer Programs & Systems, Inc.
     2,980       189,170  
ePocrates, Inc.* (a)
     1,830       33,745  
HealthStream, Inc.*
     3,918       51,992  
MedAssets, Inc.*
     13,047       174,308  
Medidata Solutions, Inc.*
     5,904       140,929  
Merge Healthcare, Inc.*
     14,412       74,942  
Omnicell, Inc.*
     8,807       137,301  
Quality Systems, Inc. (a)
     5,168       451,167  
Transcend Services, Inc.* (a)
     2,329       68,449  
              1,703,164  
Life Sciences Tools & Services 0.5%
  
Affymetrix, Inc.* (a)
     19,192       152,193  
Albany Molecular Research, Inc.*
     5,601       26,941  
Caliper Life Sciences, Inc.* (a)
     12,435       100,848  
Cambrex Corp.*
     7,409       34,230  
Complete Genomics, Inc.* (a)
     2,711       41,424  
Enzo Biochem, Inc.* (a)
     9,716       41,293  
eResearchTechnology, Inc.*
     13,522       86,135  
Fluidigm Corp.* (a)
     2,296       38,504  
Furiex Pharmaceuticals, Inc.*
     2,680       47,677  
Harvard Bioscience, Inc.*
     5,909       31,495  
Kendle International, Inc.*
     3,895       58,737  
Luminex Corp.* (a)
     10,095       210,985  
MEDTOX Scientific, Inc.
     2,012       35,150  
   
Shares
    
Value ($)
  
                 
Pacific Biosciences of California, Inc.*
     9,016       105,487  
PAREXEL International Corp.* (a)
     15,806       372,389  
Sequenom, Inc.* (a)
     26,382       199,184  
              1,582,672  
Pharmaceuticals 1.5%
  
Acura Pharmaceuticals, Inc.* (a)
     2,300       8,901  
Aegerion Pharmaceuticals, Inc.* (a)
     1,975       31,106  
Akorn, Inc.* (a)
     15,409       107,863  
Ampio Pharmaceuticals, Inc.* (a)
     5,510       42,923  
Auxilium Pharmaceuticals, Inc.* (a)
     12,747       249,841  
AVANIR Pharmaceuticals, Inc. "A"* (a)
     32,225       108,276  
Cadence Pharmaceuticals, Inc.* (a)
     10,435       96,002  
Columbia Laboratories, Inc.*
     19,217       59,381  
Corcept Therapeutics, Inc.* (a)
     11,505       45,905  
Cornerstone Therapeutics, Inc.* (a)
     2,025       18,144  
DepoMed, Inc.* (a)
     14,001       114,528  
Durect Corp.*
     22,554       45,785  
Endocyte, Inc.*
     3,836       54,931  
Hi-Tech Pharmacal Co., Inc.* (a)
     2,732       79,037  
Impax Laboratories, Inc.*
     17,426       379,713  
Ista Pharmaceuticals, Inc.*
     6,848       52,353  
Jazz Pharmaceuticals, Inc.* (a)
     5,945       198,266  
K-V Pharmaceutical Co. "A"* (a)
     13,422       36,508  
Lannett Co., Inc.* (a)
     4,143       20,632  
MAP Pharmaceuticals, Inc.* (a)
     5,773       92,195  
Medicines Co.* (a)
     14,285       235,845  
Medicis Pharmaceutical Corp. "A" (a)
     16,496       629,652  
Nektar Therapeutics* (a)
     30,375       220,826  
NeoStem, Inc.* (a)
     7,214       10,677  
Obagi Medical Products, Inc.*
     4,784       45,113  
Optimer Pharmaceuticals, Inc.* (a)
     12,035       143,096  
Pacira Pharmaceuticals. Inc.*
     1,723       20,676  
Pain Therapeutics, Inc.* (a)
     9,645       37,326  
Par Pharmaceutical Companies, Inc.* (a)
     9,669       318,884  
Pernix Therapeutics Holdings, Inc.*
     792       6,859  
POZEN, Inc.* (a)
     6,813       28,615  
Questcor Pharmaceuticals, Inc.* (a)
     14,188       341,931  
Sagent Pharmaceuticals, Inc.*
     1,730       46,675  
Salix Pharmaceuticals Ltd.* (a)
     15,591       620,989  
Santarus, Inc.* (a)
     13,042       43,952  
Sucampo Pharmaceuticals, Inc. "A"*
     3,421       14,026  
ViroPharma, Inc.*
     20,221       374,088  
VIVUS, Inc.* (a)
     22,154       180,334  
XenoPort, Inc.* (a)
     9,635       68,601  
              5,230,455  
Industrials 15.0%
  
Aerospace & Defense 1.8%
  
AAR Corp.
     10,640       288,238  
Aerovironment, Inc.* (a)
     4,453       157,414  
American Science & Engineering, Inc.
     2,422       193,760  
Astronics Corp.* (a)
     2,379       73,273  
Ceradyne, Inc.*
     6,661       259,712  
Cubic Corp.
     4,201       214,209  
Curtiss-Wright Corp.
     12,433       402,456  
DigitalGlobe, Inc.*
     9,491       241,166  
Ducommun, Inc.
     2,748       56,526  
Esterline Technologies Corp.*
     8,160       623,424  
GenCorp, Inc.* (a)
     15,378       98,727  
GeoEye, Inc.* (a)
     5,891       220,323  
   
Shares
    
Value ($)
  
                 
HEICO Corp. (a)
     11,149       610,296  
Hexcel Corp.* (a)
     26,198       573,474  
Kratos Defense & Security Solutions, Inc.* (a)
     6,293       76,523  
LMI Aerospace, Inc.* (a)
     2,600       63,518  
Moog, Inc. "A"*
     12,087       526,026  
National Presto Industries, Inc. (a)
     1,284       130,313  
Orbital Sciences Corp.* (a)
     15,690       264,377  
Taser International, Inc.* (a)
     16,230       73,847  
Teledyne Technologies, Inc.*
     9,831       495,089  
The Keyw Holding Corp.* (a)
     4,886       60,538  
Triumph Group, Inc.
     5,037       501,585  
              6,204,814  
Air Freight & Logistics 0.4%
  
Air Transport Services Group, Inc.*
     14,420       98,777  
Atlas Air Worldwide Holdings, Inc.* (a)
     7,006       416,927  
Forward Air Corp. (a)
     7,792       263,292  
Hub Group, Inc. "A"*
     9,792       368,767  
Pacer International, Inc.*
     9,352       44,141  
Park-Ohio Holdings Corp.*
     2,182       46,127  
              1,238,031  
Airlines 0.6%
  
Alaska Air Group, Inc.*
     9,547       653,588  
Allegiant Travel Co.* (a)
     4,066       201,267  
Hawaiian Holdings, Inc.* (a)
     13,574       77,372  
JetBlue Airways Corp.* (a)
     65,943       402,252  
Republic Airways Holdings, Inc.*
     12,879       70,319  
SkyWest, Inc. (a)
     14,040       211,442  
Spirit Airlines, Inc.*
     4,132       49,543  
US Airways Group, Inc.* (a)
     43,239       385,260  
              2,051,043  
Building Products 0.7%
  
A.O. Smith Corp. (a)
     10,170       430,191  
AAON, Inc. (a)
     5,014       109,506  
Ameresco, Inc. " A "*
     4,752       67,383  
American Woodmark Corp. (a)
     2,550       44,166  
Ameron International Corp.
     2,438       160,128  
Apogee Enterprises, Inc.
     7,527       96,421  
Builders FirstSource, Inc.* (a)
     12,786       27,490  
Gibraltar Industries, Inc.*
     8,113       91,839  
Griffon Corp.*
     12,681       127,824  
Insteel Industries, Inc.
     4,711       59,076  
NCI Building Systems, Inc.* (a)
     5,312       60,504  
Quanex Building Products Corp.
     10,162       166,555  
Simpson Manufacturing Co., Inc.
     11,157       333,260  
Trex Co., Inc.* (a)
     4,150       101,592  
Universal Forest Products, Inc.
     5,114       122,531  
USG Corp.* (a)
     19,048       273,148  
              2,271,614  
Commercial Services & Supplies 2.5%
  
A.T. Cross Co. "A"*
     2,529       28,805  
ABM Industries, Inc.
     14,144       330,121  
Acco Brands Corp.*
     14,792       116,117  
American Reprographics Co.*
     9,656       68,268  
APAC Customer Services, Inc.*
     8,339       44,447  
Casella Waste Systems, Inc. "A"* (a)
     7,082       43,200  
Cenveo, Inc.*
     15,166       97,062  
Clean Harbors, Inc.* (a)
     6,265       646,861  
Consolidated Graphics, Inc.*
     2,473       135,891  
Courier Corp.
     2,510       27,736  
Deluxe Corp. (a)
     13,745       339,639  
EnergySolutions
     21,222       104,837  
   
Shares
    
Value ($)
  
                 
EnerNOC, Inc.* (a)
     6,722       105,804  
Ennis, Inc.
     7,025       122,235  
Fuel Tech, Inc.* (a)
     4,860       32,222  
G & K Services, Inc. "A"
     4,937       167,167  
Healthcare Services Group, Inc. (a)
     17,782       288,957  
Heritage-Crystal Clean, Inc.*
     1,264       24,244  
Herman Miller, Inc.
     15,236       414,724  
Higher One Holdings Inc.* (a)
     8,268       156,431  
HNI Corp. (a)
     12,080       303,450  
Innerworkings, Inc.* (a)
     6,765       56,420  
Interface, Inc. "A" (a)
     14,038       271,916  
Intersections, Inc.
     2,355       42,861  
Kimball International, Inc. "B"
     8,430       54,205  
Knoll, Inc.
     12,835       257,598  
M&F Worldwide Corp.* (a)
     2,757       71,241  
McGrath Rentcorp.
     6,401       179,740  
Metalico, Inc.* (a)
     10,662       62,906  
Mine Safety Appliances Co. (a)
     7,241       270,379  
Mobile Mini, Inc.*
     9,773       207,090  
Multi-Color Corp.
     2,978       73,527  
Quad Graphics, Inc. (a)
     6,794       264,015  
Rollins, Inc. (a)
     17,068       347,846  
Schawk, Inc.
     2,999       49,663  
Standard Parking Corp.* (a)
     4,313       68,879  
Steelcase, Inc. "A"
     21,189       241,343  
Swisher Hygiene, Inc.* (a)
     22,930       129,096  
Sykes Enterprises, Inc.*
     11,224       241,653  
Team, Inc.*
     5,080       122,580  
Tetra Tech, Inc.*
     16,652       374,670  
The Brink's Co. (a)
     12,464       371,801  
The Geo Group, Inc.*
     17,370       400,031  
TMS International Corp. "A"*
     3,322       43,352  
TRC Companies, Inc.*
     4,668       29,175  
UniFirst Corp.
     3,817       214,477  
United Stationers, Inc. (a)
     12,284       435,222  
US Ecology, Inc.
     5,022       85,876  
Viad Corp.
     5,490       122,372  
WCA Waste Corp.*
     4,524       26,058  
              8,714,210  
Construction & Engineering 0.7%
  
Argan, Inc.* (a)
     2,332       23,646  
Comfort Systems USA, Inc.
     10,209       108,318  
Dycom Industries, Inc.*
     9,581       156,554  
EMCOR Group, Inc.*
     17,864       523,594  
Furmanite Corp.*
     9,652       76,637  
Granite Construction, Inc. (a)
     10,314       253,002  
Great Lakes Dredge & Dock Co.
     15,595       87,020  
Insituform Technologies, Inc. "A"*
     10,453       219,199  
Layne Christensen Co.*
     5,272       159,953  
MasTec, Inc.*
     15,252       300,769  
Michael Baker Corp.*
     2,091       44,162  
MYR Group, Inc.* (a)
     5,313       124,324  
Northwest Pipe Co.*
     2,425       63,196  
Orion Marine Group, Inc.*
     7,484       70,424  
Pike Electric Corp.*
     4,276       37,800  
Primoris Services Corp. (a)
     7,191       92,764  
Sterling Construction Co., Inc.*
     4,300       59,211  
Tutor Perini Corp. (a)
     8,389       160,901  
UniTek Global Services, Inc.*
     2,715       21,476  
              2,582,950  
Electrical Equipment 1.3%
  
A123 Systems, Inc.* (a)
     23,545       125,259  
Active Power, Inc.*
     20,696       50,705  
Acuity Brands, Inc. (a)
     11,585       646,211  
   
Shares
    
Value ($)
  
                 
American Superconductor Corp.* (a)
     11,887       107,458  
AZZ, Inc.
     3,350       153,430  
Belden, Inc.
     12,680       442,025  
Brady Corp. "A" (a)
     12,704       407,290  
Broadwind Energy, Inc.* (a)
     29,588       42,903  
Capstone Turbine Corp.* (a)
     65,106       99,612  
Coleman Cable, Inc.*
     2,288       33,611  
Encore Wire Corp. (a)
     4,901       118,702  
Ener1, Inc.* (a)
     20,402       22,442  
EnerSys*
     13,449       462,915  
Franklin Electric Co., Inc. (a)
     6,217       291,888  
FuelCell Energy, Inc.* (a)
     32,515       42,595  
Generac Holdings, Inc.*
     6,696       129,902  
Global Power Equipment Group, Inc.* (a)
     4,204       111,490  
II-VI, Inc.*
     13,800       353,280  
LSI Industries, Inc.
     4,939       39,216  
Powell Industries, Inc.* (a)
     2,345       85,593  
PowerSecure International, Inc.* (a)
     4,785       34,548  
Preformed Line Products Co. (a)
     662       47,121  
SatCon Technology Corp.* (a)
     23,961       57,267  
Thermon Group Holdings, Inc.*
     2,389       28,668  
Valence Technology, Inc.* (a)
     17,823       21,031  
Vicor Corp. (a)
     5,406       87,415  
Woodward, Inc.
     16,452       573,517  
              4,616,094  
Industrial Conglomerates 0.2%
  
Raven Industries, Inc.
     4,827       268,912  
Seaboard Corp.
     83       200,694  
Standex International Corp.
     3,387       103,879  
Tredegar Corp. (a)
     6,531       119,844  
United Capital Corp.* (a)
     400       11,980  
              705,309  
Machinery 3.2%
  
3D Systems Corp.* (a)
     11,144       219,648  
Accuride Corp.*
     10,742       135,671  
Actuant Corp. "A"
     18,348       492,277  
Alamo Group, Inc.
     1,777       42,115  
Albany International Corp. "A"
     7,348       193,914  
Altra Holdings, Inc.* (a)
     7,106       170,473  
American Railcar Industries, Inc.* (a)
     2,611       61,228  
Ampco-Pittsburgh Corp.
     2,295       53,818  
Astec Industries, Inc.*
     5,390       199,322  
Badger Meter, Inc. (a)
     4,070       150,549  
Barnes Group, Inc. (a)
     14,576       361,631  
Blount International, Inc.*
     12,918       225,677  
Briggs & Stratton Corp. (a)
     13,368       265,489  
Cascade Corp.
     2,387       113,550  
Chart Industries, Inc.*
     7,857       424,121  
CIRCOR International, Inc.
     4,563       195,433  
CLARCOR, Inc. (a)
     13,505       638,516  
Colfax Corp.*
     6,634       164,523  
Columbus McKinnon Corp.*
     5,003       89,854  
Commercial Vehicle Group, Inc.*
     7,939       112,654  
Douglas Dynamics, Inc.
     4,992       78,824  
Dynamic Materials Corp. (a)
     3,487       78,179  
Energy Recovery, Inc.* (a)
     11,064       36,179  
EnPro Industries, Inc.*
     5,506       264,673  
ESCO Technologies, Inc. (a)
     7,034       258,851  
Federal Signal Corp.
     16,907       110,910  
Flow International Corp.*
     11,800       42,008  
Force Protection, Inc.*
     18,840       93,541  
   
Shares
    
Value ($)
  
                 
FreightCar America, Inc.*
     3,136       79,466  
Gorman-Rupp Co.
     4,127       135,943  
Graham Corp.
     2,488       50,755  
Greenbrier Companies, Inc.* (a)
     4,994       98,681  
Hurco Companies, Inc.*
     1,604       51,665  
John Bean Technologies Corp. (a)
     7,542       145,711  
Kadant, Inc.*
     3,305       104,141  
Kaydon Corp.
     8,729       325,766  
L.B. Foster Co. "A"
     2,687       88,429  
Lindsay Corp. (a)
     3,368       231,718  
Lydall, Inc.*
     4,733       56,607  
Meritor, Inc.*
     25,194       404,112  
Met-Pro Corp.
     3,565       40,570  
Middleby Corp.* (a)
     5,012       471,329  
Miller Industries, Inc.
     3,102       57,976  
Mueller Industries, Inc. (a)
     10,168       385,469  
Mueller Water Products, Inc. "A"
     41,876       166,666  
NACCO Industries, Inc. "A" (a)
     1,541       149,200  
NN, Inc.*
     4,544       67,978  
Omega Flex, Inc.* (a)
     800       11,224  
PMFG, Inc.* (a)
     5,042       100,084  
RBC Bearings, Inc.*
     5,893       222,520  
Robbins & Myers, Inc. (a)
     10,556       557,885  
Sauer-Danfoss, Inc.*
     3,079       155,151  
Sun Hydraulics Corp.
     3,564       170,359  
Tecumseh Products Co. "A"* (a)
     4,733       48,277  
Tennant Co.
     5,173       206,558  
Titan International, Inc. (a)
     11,232       272,488  
TriMas Corp.*
     6,820       168,795  
Twin Disc, Inc.
     2,230       86,145  
Wabash National Corp.* (a)
     18,266       171,152  
Watts Water Technologies, Inc. "A"
     8,061       285,440  
Xerium Technologies, Inc.*
     3,096       57,431  
              10,899,319  
Marine 0.1%
  
Baltic Trading Ltd. (a)
     4,634       26,599  
Eagle Bulk Shipping, Inc.* (a)
     16,672       41,347  
Excel Maritime Carriers Ltd.* (a)
     11,112       34,447  
Genco Shipping & Trading Ltd.* (a)
     7,536       56,671  
International Shipholding Corp.
     1,425       30,324  
Ultrapetrol Bahamas Ltd.* (a)
     6,466       31,942  
              221,330  
Professional Services 1.3%
  
Acacia Research*
     11,420       419,000  
Barrett Business Services, Inc.
     2,358       33,767  
CBIZ, Inc.* (a)
     10,384       76,426  
CDI Corp. (a)
     3,282       43,618  
Corporate Executive Board Co.
     9,155       399,616  
CoStar Group, Inc.* (a)
     6,761       400,792  
CRA International, Inc.*
     2,961       80,213  
Dolan Co.*
     8,259       69,954  
Exponent, Inc.*
     3,716       161,683  
Franklin Covey Co.*
     3,515       34,025  
FTI Consulting, Inc.* (a)
     11,253       426,939  
GP Strategies Corp.*
     3,969       54,217  
Heidrick & Struggles International, Inc. (a)
     4,589       103,895  
Hill International, Inc.*
     6,325       36,432  
Hudson Highland Group, Inc.*
     8,974       48,011  
Huron Consulting Group, Inc.*
     5,889       177,907  
ICF International, Inc.*
     5,294       134,362  
Insperity, Inc. (a)
     6,069       179,703  
Kelly Services, Inc. "A"*
     6,987       115,285  
   
Shares
    
Value ($)
  
                 
Kforce, Inc.*
     8,924       116,726  
Korn/Ferry International*
     12,529       275,513  
Mistras Group, Inc.*
     4,036       65,383  
Navigant Consulting, Inc.*
     13,488       141,489  
Odyssey Marine Exploration, Inc.* (a)
     17,085       53,476  
On Assignment, Inc.*
     9,992       98,221  
Resources Connection, Inc.
     12,265       147,671  
RPX Corp.*
     2,483       69,598  
School Specialty, Inc.* (a)
     4,255       61,229  
SFN Group, Inc.* (a)
     13,759       125,069  
The Advisory Board Co.*
     4,241       245,469  
TrueBlue, Inc.*
     11,906       172,399  
VSE Corp.
     1,200       29,880  
              4,597,968  
Road & Rail 1.2%
  
AMERCO* (a)
     2,324       223,453  
Arkansas Best Corp. (a)
     6,781       160,913  
Avis Budget Group, Inc.* (a)
     28,049       479,357  
Celadon Group, Inc.* (a)
     5,220       72,871  
Covenant Transport, Inc., "A"*
     2,427       18,809  
Dollar Thrifty Automotive Group, Inc.*
     7,733       570,231  
Genesee & Wyoming, Inc. "A"*
     10,582       620,529  
Heartland Express, Inc. (a)
     13,462       222,931  
Knight Transportation, Inc.
     16,244       275,986  
Marten Transport Ltd. (a)
     4,139       89,402  
Old Dominion Freight Line, Inc.*
     12,652       471,920  
Patriot Transportation Holding, Inc.* (a)
     2,000       44,740  
Quality Distribution, Inc.*
     4,134       53,825  
RailAmerica, Inc.*
     6,038       90,570  
Roadrunner Transportation Systems, Inc.*
     3,028       45,662  
Saia, Inc.*
     4,246       71,970  
Swift Transportation Co.* (a)
     21,082       285,661  
Universal Truckload Services, Inc.*
     1,496       25,626  
Werner Enterprises, Inc. (a)
     11,700       293,085  
Zipcar, Inc.* (a)
     2,576       52,576  
              4,170,117  
Trading Companies & Distributors 1.0%
  
Aceto Corp.
     6,582       44,165  
Aircastle Ltd.
     15,614       198,610  
Applied Industrial Technologies, Inc. (a)
     11,307       402,642  
Beacon Roofing Supply, Inc.*
     12,154       277,354  
CAI International, Inc.* (a)
     3,185       65,802  
DXP Enterprises, Inc.*
     2,397       60,764  
Essex Rental Corp.* (a)
     4,785       31,533  
H&E Equipment Services, Inc.* (a)
     7,682       107,471  
Houston Wire & Cable Co. (a)
     4,992       77,626  
Interline Brands, Inc.*
     8,975       164,871  
Kaman Corp.
     6,967       247,120  
Lawson Products, Inc.
     1,100       21,637  
RSC Holdings, Inc.* (a)
     18,093       216,392  
Rush Enterprises, Inc. "A"*
     8,508       161,907  
SeaCube Container Leasing Ltd.
     2,950       50,681  
TAL International Group, Inc. (a)
     5,373       185,530  
Textainer Group Holdings Ltd.
     3,210       98,675  
Titan Machinery, Inc.* (a)
     4,265       122,747  
United Rentals, Inc.* (a)
     16,697       424,104  
Watsco, Inc. (a)
     7,537       512,441  
              3,472,072  
   
Shares
    
Value ($)
  
                 
Information Technology 17.9%
  
Communications Equipment 2.3%
  
ADTRAN, Inc.
     17,269       668,483  
Anaren, Inc.*
     4,066       86,403  
Arris Group, Inc.*
     32,993       383,049  
Aruba Networks, Inc.* (a)
     22,817       674,242  
Aviat Networks, Inc.*
     15,896       62,630  
Bel Fuse, Inc. "B"
     2,887       62,619  
BigBand Networks, Inc.* (a)
     12,600       27,342  
Black Box Corp.
     4,833       151,128  
Blue Coat Systems, Inc.*
     11,601       253,598  
Calix, Inc.* (a)
     10,082       209,907  
Communications Systems, Inc.
     1,770       31,736  
Comtech Telecommunications Corp.
     7,148       200,430  
DG Fastchannel, Inc.*
     7,381       236,561  
Dialogic, Inc.* (a)
     4,587       20,642  
Digi International, Inc.*
     6,804       88,452  
EMCORE Corp.* (a)
     23,212       63,601  
EMS Technologies, Inc.*
     4,147       136,727  
Emulex Corp.* (a)
     23,167       199,236  
Extreme Networks, Inc.*
     24,634       79,814  
Finisar Corp.* (a)
     23,978       432,323  
Globecomm Systems, Inc.*
     5,927       92,224  
Harmonic, Inc.*
     30,709       222,026  
Infinera Corp.* (a)
     27,586       190,619  
InterDigital, Inc. (a)
     12,107       494,571  
Ixia* (a)
     10,654       136,371  
KVH Industries, Inc.* (a)
     3,942       41,903  
Loral Space & Communications, Inc.*
     2,938       204,103  
Meru Networks, Inc.* (a)
     2,881       34,601  
NETGEAR, Inc.*
     9,776       427,407  
NumereX Corp. "A"*
     2,509       24,413  
Oclaro, Inc.* (a)
     13,220       88,838  
Oplink Communications, Inc.*
     5,551       103,415  
OpNext, Inc.*
     11,044       25,180  
Orbcomm, Inc.*
     8,994       28,151  
Plantronics, Inc. (a)
     12,836       468,899  
Powerwave Technologies, Inc.* (a)
     45,054       132,909  
Procera Networks, Inc.*
     3,085       33,102  
SeaChange International, Inc.* (a)
     7,446       80,268  
ShoreTel, Inc.* (a)
     12,511       127,612  
Sonus Networks, Inc.*
     55,953       181,288  
Sycamore Networks, Inc.
     5,316       118,228  
Symmetricom, Inc.*
     12,189       71,062  
Tekelec*
     16,376       149,513  
ViaSat, Inc.*
     9,675       418,637  
Westell Technologies, Inc. "A"*
     13,638       48,688  
              8,012,951  
Computers & Peripherals 0.7%
  
Avid Technology, Inc.* (a)
     8,000       150,720  
Cray, Inc.*
     9,671       61,894  
Dot Hill Systems Corp.*
     14,867       42,222  
Electronics for Imaging, Inc.*
     12,425       213,959  
Hypercom Corp.*
     14,502       142,555  
Imation Corp.*
     7,894       74,519  
Immersion Corp.*
     7,833       66,815  
Intermec, Inc.*
     15,813       174,576  
Intevac, Inc.*
     6,166       62,955  
Novatel Wireless, Inc.*
     8,473       46,432  
OCZ Technology Group, Inc.* (a)
     13,448       107,584  
Quantum Corp.* (a)
     59,706       197,030  
Rimage Corp.
     2,549       34,233  
   
Shares
    
Value ($)
  
                 
Silicon Graphics International Corp.* (a)
     8,188       140,834  
STEC, Inc.* (a)
     10,934       185,987  
Stratasys, Inc.* (a)
     5,654       190,540  
Super Micro Computer, Inc.*
     7,112       114,432  
Synaptics, Inc.* (a)
     9,065       233,333  
Xyratex Ltd.*
     8,338       85,548  
              2,326,168  
Electronic Equipment, Instruments & Components 2.4%
  
Aeroflex Holding Corp.*
     5,160       93,654  
Agilysys, Inc.*
     5,311       44,294  
Anixter International, Inc. (a)
     7,738       505,601  
Benchmark Electronics, Inc.*
     16,169       266,789  
Brightpoint, Inc.*
     18,894       153,230  
Checkpoint Systems, Inc.*
     10,805       193,193  
Cognex Corp. (a)
     11,062       391,927  
Coherent, Inc.*
     6,685       369,480  
CTS Corp.
     9,191       88,877  
Daktronics, Inc.
     9,151       98,739  
DDi Corp.
     4,031       38,456  
DTS, Inc.*
     4,668       189,287  
Echelon Corp.* (a)
     9,261       84,183  
Electro Rent Corp.
     4,920       84,230  
Electro Scientific Industries, Inc.*
     5,852       112,944  
eMagin Corp.*
     4,528       27,485  
Fabrinet*
     5,463       132,642  
FARO Technologies, Inc.* (a)
     4,287       187,771  
Gerber Scientific, Inc.*
     6,974       77,621  
GSI Group, Inc.*
     6,739       81,205  
Identive Group, Inc.* (a)
     10,529       24,427  
Insight Enterprises, Inc.*
     12,332       218,400  
KEMET Corp.*
     11,817       168,865  
L-1 Identity Solutions, Inc.* (a)
     19,843       233,155  
LeCroy Corp.*
     4,235       50,989  
Littelfuse, Inc.
     6,061       355,902  
Maxwell Technologies, Inc.* (a)
     7,333       118,721  
Measurement Specialties, Inc.*
     4,016       143,371  
Mercury Computer Systems, Inc.*
     8,116       151,607  
Methode Electronics, Inc.
     10,078       117,006  
Microvision, Inc.* (a)
     28,004       34,165  
MTS Systems Corp.
     4,102       171,587  
Multi-Fineline Electronix, Inc.*
     2,618       56,575  
NeoPhotonics Corp.*
     3,101       21,459  
Newport Corp.*
     9,973       181,209  
OSI Systems, Inc.*
     5,105       219,515  
Park Electrochemical Corp.
     5,540       154,843  
PC Connection, Inc.*
     2,400       19,872  
Plexus Corp.*
     10,029       349,110  
Power-One, Inc.* (a)
     18,684       151,340  
Pulse Electronics Corp. (a)
     10,660       47,117  
RadiSys Corp.*
     6,359       46,357  
Richardson Electonics Ltd. (a)
     3,969       53,939  
Rofin-Sinar Technologies, Inc.*
     7,503       256,227  
Rogers Corp.* (a)
     4,232       195,518  
Sanmina-SCI Corp.*
     21,284       219,864  
ScanSource, Inc.*
     7,213       270,343  
Smart Modular Technologies (WWH), Inc.*
     17,471       160,034  
SYNNEX Corp.* (a)
     6,624       209,981  
TTM Technologies, Inc.* (a)
     13,896       222,614  
Universal Display Corp.* (a)
     10,270       360,374  
Viasystems Group, Inc.* (a)
     1,209       27,190  
Vishay Precision Group, Inc.*
     3,234       54,590  
X-Rite, Inc.* (a)
     8,918       44,322  
   
Shares
    
Value ($)
  
                 
Zygo Corp.*
     4,596       60,759  
              8,392,955  
Internet Software & Services 2.0%
  
Ancestry.com, Inc.* (a)
     8,470       350,573  
Boingo Wireless, Inc.* (a)
     2,439       22,146  
comScore, Inc.*
     8,560       221,704  
Constant Contact, Inc.* (a)
     7,864       199,588  
Cornerstone OnDemand, Inc.*
     2,962       52,279  
DealerTrack Holdings, Inc.*
     10,999       252,427  
Demand Media, Inc.* (a)
     2,125       28,794  
Dice Holdings, Inc.*
     13,022       176,058  
Digital River, Inc.* (a)
     10,595       340,735  
EarthLink, Inc.
     29,434       226,495  
Envestnet, Inc.*
     4,815       71,503  
FriendFinder Networks, Inc.*
     1,214       5,008  
InfoSpace, Inc.*
     9,461       86,284  
Internap Network Services Corp.*
     14,392       105,781  
Intralinks Holdings, Inc.*
     8,403       145,204  
j2 Global Communications, Inc.*
     12,285       346,806  
Keynote Systems, Inc. (a)
     3,703       80,096  
KIT Digital, Inc.* (a)
     9,397       112,200  
Limelight Networks, Inc.* (a)
     17,797       81,154  
Liquidity Services, Inc.* (a)
     5,004       118,144  
LivePerson, Inc.*
     14,191       200,661  
LogMeIn, Inc.* (a)
     5,442       209,898  
LoopNet, Inc.*
     4,394       80,762  
Marchex, Inc. "B"
     5,551       49,293  
Mediamind Technologies, Inc.* (a)
     2,304       50,550  
ModusLink Global Solutions, Inc. (a)
     11,714       52,479  
Move, Inc.* (a)
     41,562       91,021  
NIC, Inc. (a)
     17,071       229,776  
OpenTable, Inc.* (a)
     6,293       523,074  
Openwave Systems, Inc.*
     22,941       52,535  
Perficient, Inc.* (a)
     6,334       64,987  
Quepasa Corp.*
     3,205       23,236  
QuinStreet, Inc.* (a)
     7,229       93,832  
RealNetworks, Inc.*
     22,108       75,167  
Responsys, Inc.*
     2,447       43,385  
RightNow Technologies, Inc.* (a)
     6,506       210,794  
Saba Software, Inc.*
     7,942       71,716  
SAVVIS, Inc.*
     12,046       476,178  
SciQuest, Inc.*
     3,247       55,491  
SPS Commerce, Inc.* (a)
     2,569       45,703  
Stamps.com, Inc.
     2,895       38,619  
Support.com, Inc.*
     12,427       59,650  
TechTarget, Inc.* (a)
     3,701       28,017  
The Active Network, Inc.* (a)
     3,226       56,778  
Travelzoo, Inc.* (a)
     1,483       95,861  
United Online, Inc. (a)
     23,295       140,469  
ValueClick, Inc.* (a)
     21,035       349,181  
Vocus, Inc.*
     4,692       143,622  
Web.com Group, Inc.*
     7,599       93,620  
XO Group, Inc.*
     8,350       83,083  
Zix Corp.* (a)
     17,491       67,165  
              6,879,582  
IT Services 2.0%
  
Acxiom Corp.*
     21,645       283,766  
CACI International, Inc. "A"*
     8,028       506,406  
Cardtronics, Inc.*
     11,500       269,675  
Cass Information Systems, Inc. (a)
     2,316       87,452  
CIBER, Inc.*
     16,768       93,062  
Computer Task Group, Inc.*
     3,796       49,993  
Convergys Corp.*
     28,142       383,857  
   
Shares
    
Value ($)
  
                 
CSG Systems International, Inc.*
     9,068       167,577  
Dynamics Research Corp.*
     2,415       32,941  
Echo Global Logistics, Inc.* (a)
     2,944       52,256  
Euronet Worldwide, Inc.* (a)
     13,676       210,747  
Exlservice Holdings, Inc.*
     4,292       99,145  
Forrester Research, Inc. (a)
     3,883       127,984  
Global Cash Access Holdings, Inc.*
     16,503       52,480  
Heartland Payment Systems, Inc.
     10,293       212,036  
iGATE Corp.
     8,314       135,684  
Integral Systems, Inc.*
     4,656       56,664  
Jack Henry & Associates, Inc. (a)
     23,097       693,141  
Lionbridge Technologies, Inc.*
     17,064       54,264  
ManTech International Corp. "A"
     6,309       280,246  
MAXIMUS, Inc. (a)
     4,648       384,529  
MoneyGram International, Inc.* (a)
     22,718       75,424  
NCI, Inc. "A"*
     1,678       38,124  
Ness Technologies, Inc.*
     8,607       65,155  
PRGX Global, Inc.*
     4,961       35,471  
Sapient Corp.*
     29,193       438,771  
ServiceSource International, Inc.* (a)
     2,586       57,461  
SRA International, Inc. "A"*
     12,083       373,606  
Stream Global Services, Inc.* (a)
     1,538       5,075  
Syntel, Inc.
     4,124       243,811  
TeleTech Holdings, Inc.* (a)
     6,777       142,859  
The Hackett Group, Inc.*
     7,890       40,160  
TNS, Inc.*
     6,975       115,785  
Unisys Corp.* (a)
     11,411       293,263  
Virtusa Corp.*
     4,011       76,008  
Wright Express Corp.* (a)
     10,336       538,195  
              6,773,073  
Semiconductors & Semiconductor Equipment 4.1%
  
Advanced Analogic Technologies, Inc.*
     11,187       67,737  
Advanced Energy Industries, Inc.* (a)
     11,662       172,481  
Alpha & Omega Semiconductor Ltd.* (a)
     3,838       50,853  
Amkor Technology, Inc.* (a)
     27,989       172,692  
Amtech Systems, Inc.*
     2,521       52,033  
ANADIGICS, Inc.* (a)
     17,152       55,058  
Applied Micro Circuits Corp.*
     17,442       154,536  
ATMI, Inc.*
     8,509       173,839  
Axcelis Technologies, Inc.*
     28,848       47,311  
AXT, Inc.* (a)
     8,503       72,105  
Brooks Automation, Inc.*
     17,844       193,786  
Cabot Microelectronics Corp.* (a)
     6,347       294,945  
Cavium, Inc.* (a)
     12,927       563,488  
CEVA, Inc.*
     6,321       192,538  
Cirrus Logic, Inc.* (a)
     17,683       281,160  
Cohu, Inc.
     6,163       80,797  
Cymer, Inc.*
     8,153       403,655  
Diodes, Inc.*
     9,421       245,888  
DSP Group, Inc.*
     6,073       52,835  
Entegris, Inc.*
     35,870       363,004  
Entropic Communications, Inc.* (a)
     23,090       205,270  
Exar Corp.*
     9,949       62,977  
FEI Co.* (a)
     10,324       394,274  
FormFactor, Inc.* (a)
     13,234       119,900  
FSI International, Inc.* (a)
     10,049       27,534  
GSI Technology, Inc.* (a)
     5,571       40,111  
GT Solar International, Inc.* (a)
     33,633       544,855  
Hittite Microwave Corp.*
     8,366       517,939  
Inphi Corp.* (a)
     5,361       93,281  
   
Shares
    
Value ($)
  
                 
Integrated Device Technology, Inc.*
     39,570       311,020  
Integrated Silicon Solution, Inc.* (a)
     7,155       69,189  
IXYS Corp.* (a)
     6,306       94,464  
Kopin Corp.*
     18,387       86,603  
Kulicke & Soffa Industries, Inc.*
     19,293       214,924  
Lattice Semiconductor Corp.*
     31,184       203,320  
LTX-Credence Corp.*
     13,004       116,256  
MaxLinear, Inc. "A"* (a)
     4,349       37,662  
Micrel, Inc. (a)
     13,541       143,264  
Microsemi Corp.*
     23,132       474,206  
Mindspeed Technologies, Inc.* (a)
     8,832       70,656  
MIPS Technologies, Inc.* (a)
     13,730       94,874  
MKS Instruments, Inc.
     13,941       368,321  
Monolithic Power Systems, Inc.*
     7,943       122,481  
MoSys, Inc.* (a)
     8,668       49,841  
Nanometrics, Inc.*
     5,325       101,122  
Netlogic Microsystems, Inc.*
     18,244       737,422  
NVE Corp.* (a)
     1,302       76,102  
OmniVision Technologies, Inc.*
     15,539       540,913  
PDF Solutions, Inc.*
     6,254       37,274  
Pericom Semiconductor Corp.*
     6,718       60,059  
Photronics, Inc.* (a)
     14,571       123,416  
PLX Technology, Inc.*
     10,985       38,118  
Power Integrations, Inc.
     7,711       296,334  
Rambus, Inc.* (a)
     26,195       384,543  
RF Micro Devices, Inc.*
     73,737       451,270  
Rubicon Technology, Inc.* (a)
     4,744       79,984  
Rudolph Technologies, Inc.*
     8,474       90,757  
Semtech Corp.* (a)
     17,541       479,571  
Sigma Designs, Inc.*
     8,101       61,892  
Silicon Image, Inc.*
     21,417       138,354  
Spansion, Inc. "A"*
     13,428       258,758  
Standard Microsystems Corp.*
     6,143       165,800  
Supertex, Inc.*
     2,837       63,549  
Tessera Technologies, Inc.*
     13,654       234,030  
TriQuint Semiconductor, Inc.* (a)
     43,926       447,606  
Ultra Clean Holdings, Inc.*
     5,955       54,071  
Ultratech, Inc.*
     6,683       203,029  
Veeco Instruments, Inc.* (a)
     10,935       529,363  
Volterra Semiconductor Corp.*
     6,661       164,260  
Zoran Corp.*
     13,723       115,273  
              14,086,833  
Software 4.4%
  
Accelrys, Inc.*
     14,894       105,896  
ACI Worldwide, Inc.*
     8,902       300,620  
Actuate Corp.*
     8,900       52,065  
Advent Software, Inc.*
     8,734       246,037  
American Software, Inc. "A"
     5,875       48,821  
Aspen Technology, Inc.*
     22,658       389,264  
Blackbaud, Inc. (a)
     11,960       331,531  
Blackboard, Inc.* (a)
     9,354       405,870  
Bottomline Technologies, Inc.*
     9,046       223,527  
BroadSoft, Inc.* (a)
     6,060       231,068  
Callidus Software*
     8,028       46,964  
CommVault Systems, Inc.*
     11,753       522,421  
Concur Technologies, Inc.* (a)
     11,916       596,634  
Convio, Inc.*
     3,530       38,159  
Deltek, Inc.* (a)
     5,310       39,772  
DemandTec, Inc.* (a)
     8,593       78,196  
Digimarc Corp.* (a)
     1,854       64,946  
Ebix, Inc.* (a)
     8,077       153,867  
Ellie Mae, Inc.*
     3,774       21,663  
EPIQ Systems, Inc. (a)
     8,772       124,738  
   
Shares
    
Value ($)
  
                 
ePlus, Inc.*
     1,066       28,185  
Fair Isaac Corp. (a)
     10,653       321,721  
FalconStor Software, Inc.*
     8,242       36,924  
Glu Mobile, Inc.* (a)
     10,978       57,854  
Guidance Software, Inc.*
     3,696       30,122  
Interactive Intelligence, Inc.* (a)
     3,819       133,856  
JDA Software Group, Inc.*
     11,274       348,254  
Kenexa Corp.* (a)
     7,023       168,412  
Lawson Software, Inc.*
     43,870       492,221  
Magma Design Automation, Inc.*
     17,730       141,663  
Manhattan Associates, Inc.* (a)
     5,753       198,133  
Mentor Graphics Corp.*
     25,765       330,050  
MicroStrategy, Inc. "A"*
     2,132       346,834  
Monotype Imaging Holdings, Inc.* (a)
     9,340       131,974  
Motricity, Inc.* (a)
     9,829       75,978  
NetScout Systems, Inc.*
     9,859       205,954  
NetSuite, Inc.* (a)
     7,291       285,807  
OPNET Technologies, Inc.
     3,822       156,473  
Parametric Technology Corp.* (a)
     31,808       729,357  
Pegasystems, Inc. (a)
     4,430       206,216  
Progress Software Corp.* (a)
     17,862       431,010  
PROS Holdings, Inc.* (a)
     6,090       106,514  
QAD, Inc. "A"*
     1,360       13,899  
QLIK Technologies, Inc.*
     18,793       640,090  
Quest Software, Inc.*
     16,323       371,022  
Radiant Systems, Inc.*
     10,813       225,992  
RealD, Inc.* (a)
     10,428       243,911  
RealPage, Inc.* (a)
     8,180       216,525  
Renaissance Learning, Inc. (a)
     3,640       45,646  
Rosetta Stone, Inc.* (a)
     2,899       46,790  
S1 Corp.*
     14,327       107,166  
Smith Micro Software, Inc.*
     9,697       40,824  
Solarwinds, Inc.* (a)
     15,270       399,158  
Sourcefire, Inc.*
     7,565       224,832  
SRS Labs, Inc.*
     3,541       33,958  
SS&C Technologies Holdings, Inc.*
     6,679       132,712  
SuccessFactors, Inc.* (a)
     21,097       620,252  
Synchronoss Technologies, Inc.*
     7,109       225,569  
Take-Two Interactive Software, Inc.* (a)
     19,606       299,580  
Taleo Corp. "A"*
     10,958       405,775  
TeleCommunication Systems, Inc. "A"* (a)
     12,735       61,510  
TeleNav, Inc.* (a)
     4,248       75,317  
THQ, Inc.* (a)
     17,824       64,523  
TiVo, Inc.* (a)
     31,880       328,045  
Tyler Technologies, Inc.* (a)
     8,521       228,192  
Ultimate Software Group, Inc.*
     6,900       375,567  
VASCO Data Security International, Inc.* (a)
     7,175       89,329  
Verint Systems, Inc.*
     5,577       206,572  
Virnetx Holding Corp.* (a)
     10,879       314,838  
Wave Systems Corp. "A"* (a)
     22,225       62,674  
Websense, Inc.*
     10,633       276,139  
              15,361,978  
Materials 4.8%
  
Chemicals 2.2%
  
A. Schulman, Inc. (a)
     8,385       211,218  
American Vanguard Corp. (a)
     5,708       74,033  
Arch Chemicals, Inc.
     6,157       212,047  
Balchem Corp. (a)
     7,713       337,675  
Calgon Carbon Corp.* (a)
     15,030       255,510  
Chase Corp.
     1,651       27,671  
   
Shares
    
Value ($)
  
                 
Chemtura Corp.*
     25,769       468,996  
Ferro Corp.*
     23,011       309,268  
Flotek Industries, Inc.* (a)
     13,492       114,952  
FutureFuel Corp. (a)
     4,754       57,571  
Georgia Gulf Corp.*
     9,020       217,743  
H.B. Fuller Co. (a)
     13,216       322,735  
Hawkins, Inc. (a)
     2,293       83,052  
Innophos Holdings, Inc.
     5,826       284,309  
Innospec, Inc.*
     6,329       212,718  
KMG Chemicals, Inc. (a)
     1,701       28,645  
Koppers Holdings, Inc. (a)
     5,478       207,781  
Kraton Performance Polymers, Inc.*
     8,533       334,238  
Landec Corp.*
     6,891       45,481  
LSB Industries, Inc.*
     5,031       215,930  
Minerals Technologies, Inc.
     4,887       323,959  
NewMarket Corp. (a)
     2,412       411,752  
NL Industries, Inc. (a)
     1,832       33,635  
Olin Corp.
     21,317       483,043  
OM Group, Inc.*
     8,333       338,653  
Omnova Solutions, Inc.* (a)
     11,871       82,622  
PolyOne Corp.
     25,084       388,049  
Quaker Chemical Corp.
     3,455       148,600  
Senomyx, Inc.* (a)
     10,754       55,276  
Sensient Technologies Corp. (a)
     13,373       495,737  
Spartech Corp.* (a)
     8,472       51,594  
Stepan Co. (a)
     2,154       152,719  
STR Holdings, Inc.* (a)
     8,021       119,673  
TPC Group, Inc.* (a)
     3,543       138,956  
Zagg, Inc.*
     5,205       69,747  
Zep, Inc.
     5,751       108,694  
Zoltek Companies, Inc.* (a)
     7,464       78,596  
              7,502,878  
Construction Materials 0.2%
  
Eagle Materials, Inc.
     11,870       330,817  
Headwaters, Inc.*
     15,745       49,282  
Texas Industries, Inc. (a)
     6,065       252,486  
United States Lime & Minerals, Inc.* (a)
     701       28,748  
              661,333  
Containers & Packaging 0.2%
  
AEP Industries, Inc.*
     1,272       37,130  
Boise, Inc. (a)
     27,850       216,951  
Graham Packaging Co., Inc.* (a)
     6,453       162,745  
Graphic Packaging Holding Co.*
     42,732       232,462  
Myers Industries, Inc.
     8,387       86,218  
              735,506  
Metals & Mining 1.7%
  
A.M. Castle & Co.*
     4,420       73,416  
AMCOL International Corp.
     6,535       249,376  
Century Aluminum Co.*
     13,794       215,876  
Coeur d'Alene Mines Corp.* (a)
     23,960       581,270  
General Moly, Inc.* (a)
     18,078       80,628  
Globe Specialty Metals, Inc. (a)
     16,880       378,450  
Gold Resource Corp. (a)
     7,632       190,266  
Golden Minerals Co.*
     3,322       59,065  
Golden Star Resources Ltd.* (a)
     69,306       152,473  
Handy & Harman Ltd.*
     1,331       20,484  
Haynes International, Inc.
     3,245       200,963  
Hecla Mining Co.* (a)
     74,420       572,290  
Horsehead Holding Corp.* (a)
     11,645       155,111  
Jaguar Mining, Inc.* (a)
     23,334       111,536  
Kaiser Aluminum Corp. (a)
     4,409       240,820  
Materion Corp.* (a)
     5,482       202,669  
   
Shares
    
Value ($)
  
                 
Metals USA Holdings Corp.* (a)
     3,243       48,321  
Midway Gold Corp.* (a)
     19,908       39,020  
Noranda Aluminum Holding Corp.*
     6,085       92,127  
Olympic Steel, Inc. (a)
     2,416       66,512  
Paramount Gold and Silver Corp.* (a)
     31,589       102,980  
Revett Minerals, Inc.*
     6,194       27,935  
RTI International Metals, Inc.* (a)
     8,054       309,032  
Stillwater Mining Co.*
     27,553       606,441  
Thompson Creek Metals Co., Inc.*
     40,817       407,354  
Universal Stainless & Alloy Products, Inc.*
     1,831       85,618  
US Energy Corp.* (a)
     7,549       32,234  
US Gold Corp.* (a)
     28,182       169,937  
Vista Gold Corp.* (a)
     18,031       51,028  
Worthington Industries, Inc.
     15,415       356,086  
              5,879,318  
Paper & Forest Products 0.5%
  
Buckeye Technologies, Inc.
     10,659       287,580  
Clearwater Paper Corp.*
     3,069       209,551  
Deltic Timber Corp. (a)
     2,887       155,003  
KapStone Paper & Packaging Corp.*
     10,534       174,549  
Louisiana-Pacific Corp.*
     35,294       287,293  
Neenah Paper, Inc. (a)
     4,074       86,695  
P.H. Glatfelter Co. (a)
     12,403       190,758  
Schweitzer-Mauduit International, Inc. (a)
     4,681       262,838  
Verso Paper Corp.*
     4,102       10,993  
Wausau Paper Corp. (a)
     13,125       88,463  
              1,753,723  
Telecommunication Services 1.0%
  
Diversified Telecommunication Services 0.8%
  
8x8, Inc.* (a)
     16,320       79,805  
AboveNet, Inc. (a)
     6,234       439,248  
Alaska Communications Systems Group, Inc. (a)
     12,079       107,141  
Atlantic Tele-Network, Inc.
     2,519       96,629  
Cbeyond, Inc.* (a)
     7,416       98,114  
Cincinnati Bell, Inc.* (a)
     54,077       179,536  
Cogent Communications Group, Inc.*
     12,330       209,733  
Consolidated Communications Holdings, Inc. (a)
     6,858       133,319  
FairPoint Communications, Inc.* (a)
     5,540       51,023  
General Communication, Inc. "A"*
     10,836       130,790  
Global Crossing Ltd.* (a)
     8,197       314,601  
Globalstar, Inc.* (a)
     26,891       33,076  
HickoryTech Corp.
     3,350       39,798  
IDT Corp. "B" (a)
     3,759       101,568  
inContact, Inc.*
     7,609       36,143  
Iridium Communications, Inc.* (a)
     11,429       98,861  
Neutral Tandem, Inc.*
     9,170       159,741  
PAETEC Holding Corp.* (a)
     33,718       161,509  
Premiere Global Services, Inc.* (a)
     14,158       112,981  
SureWest Communications
     3,589       60,008  
Towerstream Corp.* (a)
     8,878       44,301  
Vonage Holdings Corp.* (a)
     37,209       164,092  
              2,852,017  
Wireless Telecommunication Services 0.2%
  
ICO Global Communications (Holdings) Ltd.* (a)
     40,128       111,155  
Leap Wireless International, Inc.* (a)
     16,264       263,965  
   
Shares
    
Value ($)
  
                 
NTELOS Holdings Corp.
     7,862       160,542  
Shenandoah Telecommunications Co. (a)
     6,495       110,545  
USA Mobility, Inc. (a)
     6,040       92,170  
              738,377  
Utilities 3.1%
  
Electric Utilities 1.3%
  
ALLETE, Inc.
     8,504       349,004  
Central Vermont Public Service Corp.
     3,547       128,224  
Cleco Corp. (a)
     16,337       569,344  
El Paso Electric Co.
     11,252       363,440  
Empire District Electric Co. (a)
     11,112       214,017  
IDACORP, Inc. (a)
     13,268       524,086  
MGE Energy, Inc. (a)
     6,092       246,909  
Otter Tail Corp.
     9,574       202,011  
PNM Resources, Inc.
     23,138       387,330  
Portland General Electric Co.
     20,158       509,594  
UIL Holdings Corp.
     13,494       436,531  
Unisource Energy Corp.
     9,844       367,477  
Unitil Corp. (a)
     2,880       75,744  
              4,373,711  
Gas Utilities 1.1%
  
Chesapeake Utilities Corp.
     2,610       104,478  
New Jersey Resources Corp. (a)
     11,073       493,967  
Nicor, Inc.
     12,183       666,897  
Northwest Natural Gas Co. (a)
     7,160       323,131  
Piedmont Natural Gas Co., Inc. (a)
     19,212       581,355  
South Jersey Industries, Inc.
     8,054       437,413  
Southwest Gas Corp. (a)
     12,259       473,320  
The Laclede Group, Inc. (a)
     5,995       226,791  
WGL Holdings, Inc. (a)
     13,699       527,274  
              3,834,626  
Independent Power Producers & Energy Traders 0.1%
  
Atlantic Power Corp.
     18,271       278,084  
Dynegy, Inc.* (a)
     27,526       170,386  
Ormat Technologies, Inc. (a)
     4,667       102,721  
              551,191  
Multi-Utilities 0.4%
  
Avista Corp. (a)
     15,400       395,626  
Black Hills Corp.
     10,503       316,035  
CH Energy Group, Inc. (a)
     4,249       226,302  
NorthWestern Corp.
     9,704       321,300  
              1,259,263  
Water Utilities 0.2%
  
American States Water Co. (a)
     5,025       174,166  
Artesian Resources Corp. "A" (a)
     1,786       32,184  
Cadiz, Inc.* (a)
     3,128       33,970  
California Water Service Group (a)
     11,014       206,072  
Connecticut Water Service, Inc. (a)
     2,181       55,790  
Consolidated Water Co., Ltd. (a)
     3,947       36,668  
Middlesex Water Co.
     3,902       72,499  
Pennichuck Corp.
     1,264       36,340  
SJW Corp. (a)
     3,607       87,434  
York Water Co. (a)
     3,576       59,183  
              794,306  
Total Common Stocks (Cost $296,550,900)
       335,330,740  
   
   
Shares
    
Value ($)
  
                 
Rights 0.0%
  
Industrials
  
BlueLinx Holdings, Inc., Expiration Date 7/22/2011* (a) (Cost $0)
     3,450       586  
 

   
Principal Amount ($)
    
Value ($)
  
       
Government & Agency Obligation 0.2%
  
US Treasury Obligation
  
US Treasury Bill, 0.055%**, 11/17/2011 (b) (Cost $769,837)
     770,000       769,837  
 

   
Shares
    
Value ($)
  
       
Securities Lending Collateral 39.1%
  
Daily Assets Fund Institutional, 0.13% (c) (d) (Cost $135,043,151)
     135,043,151       135,043,151  
   
Cash Equivalents 3.8%
  
Central Cash Management Fund, 0.11% (c) (Cost $13,199,163)
     13,199,163       13,199,163  
 

   
% of Net Assets
    
Value ($)
  
       
Total Investment Portfolio (Cost $445,563,051)+
     140.2       484,343,477  
Other Assets and Liabilities, Net (a)
     (40.2 )     (138,982,671 )
Net Assets
     100.0       345,360,806  
 
* Non-income producing security.
 
** Annualized yield at time of purchase; not a coupon rate.
 
+ The cost for federal income tax purposes was $449,605,037. At June 30, 2011, net unrealized appreciation for all securities based on tax cost was $34,738,440. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $77,104,027 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $42,365,587.
 
(a) All or a portion of these securities were on loan, amounting to $132,650,922. In addition, included in other assets and liabilities, net are pending sales, amounting to $490,992, that are also on loan (see Notes to Financial Statements). The value of all securities loaned at June 30, 2011 amounted to $133,141,914, which is 38.6% of net assets.
 
(b) At June 30, 2011, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
 
(c) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
 
(d) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
 
REIT: Real Estate Investment Trust
 
At June 30, 2011, open futures contracts purchased were as follows:
Futures
Currency
Expiration Date
  
Contracts
    
Notional Value ($)
    
Unrealized Appreciation ($)
  
Russell E Mini 2000 Index
USD
9/16/2011
     124       10,234,960       473,194  
 

Currency Abbreviation
USD United States Dollar
 
For information on the Fund's policy and additional disclosures regarding futures contracts, please refer to Note B in the accompanying Notes to Financial Statements.
 
Fair Value Measurements
 
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.
Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
   
Common Stocks and/or Other Equity Investments (e)
   $ 335,331,326     $ —     $ —     $ 335,331,326  
Government & Agency Obligation (e)
     —       769,837       —       769,837  
Short-Term Investments (e)
     148,242,314       —       —       148,242,314  
Derivatives (f)
     473,194       —       —       473,194  
Total
   $ 484,046,834     $ 769,837     $ —     $ 484,816,671  
 
There have been no transfers between Level 1 and Level 2 fair value measurements during the period ended June 30, 2011.
 
(e) See Investment Portfolio for additional detailed categorizations.
 
(f) Derivatives include unrealized appreciation (depreciation) on open futures contracts.
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities
as of June 30, 2011 (Unaudited)
  
Assets
  
Investments:
Investments in non-affiliated securities, at value (cost $297,320,737) — including $132,650,922 of securities loaned
   $ 336,101,163  
Investment in Daily Assets Fund Institutional (cost $135,043,151)*
     135,043,151  
Investment in Central Cash Management Fund (cost $13,199,163)
     13,199,163  
Total investments in securities, at value (cost $445,563,051)
     484,343,477  
Cash
     21,213  
Receivable for investments sold
     1,154,735  
Dividends receivable
     401,335  
Interest receivable
     125,041  
Receivable for Fund shares sold
     267,108  
Receivable for daily variation margin on futures contracts
     80,600  
Other assets
     3,507  
Total assets
     486,397,016  
Liabilities
  
Payable for investments purchased
     5,699,580  
Payable upon return of securities loaned
     135,043,151  
Payable for Fund shares redeemed
     53,121  
Accrued management fee
     95,490  
Other accrued expenses and payables
     144,868  
Total liabilities
     141,036,210  
Net assets, at value
   $ 345,360,806  
Net Assets Consist of
  
Undistributed net investment income
     1,269,536  
Net unrealized appreciation (depreciation) on:
Investments
     38,780,426  
Futures
     473,194  
Foreign currency
     26  
Accumulated net realized gain (loss)
     (4,853,634 )
Paid-in capital
     309,691,258  
Net assets, at value
   $ 345,360,806  
Class A
Net Asset Value, offering and redemption price per share ($297,136,070 ÷ 22,753,648 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)
   $ 13.06  
Class B
Net Asset Value, offering and redemption price per share ($48,224,736 ÷ 3,690,801 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)
   $ 13.07  
 
* Represents collateral on securities loaned.
 
The accompanying notes are an integral part of the financial statements.
 

 
Statement of Operations
for the six months ended June 30, 2011 (Unaudited)
  
Investment Income
  
Income:
Dividends (net of foreign taxes withheld of $374)
   $ 1,835,596  
Income distributions — Central Cash Management Fund
     4,551  
Interest
     530  
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
     341,013  
Total income
     2,181,690  
Expenses:
Management fee
     586,208  
Administration fee
     168,200  
Custodian fee
     12,095  
Distribution service fee (Class B)
     61,532  
Services to shareholders
     4,636  
Professional fees
     31,561  
Trustees' fees and expenses
     6,540  
Reports to shareholders
     26,799  
Other
     30,659  
Total expenses before expense reductions
     928,230  
Expense reductions
     (25,490 )
Total expenses after expense reductions
     902,740  
Net investment income (loss)
     1,278,950  
Realized and Unrealized Gain (Loss)
  
Net realized gain (loss) from:
Investments
     15,706,520  
Futures
     155,618  
      15,862,138  
Change in net unrealized appreciation (depreciation) on:
Investments
     2,611,631  
Futures
     286,037  
Foreign currency
     26  
      2,897,694  
Net gain (loss)
     18,759,832  
Net increase (decrease) in net assets resulting from operations
   $ 20,038,782  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets
  
Six Months Ended June 30, 2011 (Unaudited)
    
Year Ended December 31, 2010
  
Operations:
Net investment income (loss)
   $ 1,278,950     $ 2,784,092  
Net realized gain (loss)
     15,862,138       1,093,394  
Change in net unrealized appreciation (depreciation)
     2,897,694       68,791,540  
Net increase (decrease) in net assets resulting from operations
     20,038,782       72,669,026  
Distributions to shareholders from:
Net investment income:
Class A
     (2,352,452 )     (2,379,611 )
Class B
     (270,870 )     (308,033 )
Total distributions
     (2,623,322 )     (2,687,644 )
Fund share transactions:
Class A
Proceeds from shares sold
     26,776,513       44,648,931  
Reinvestment of distributions
     2,352,452       2,379,611  
Payments for shares redeemed
     (31,463,498 )     (80,244,924 )
Net increase (decrease) in net assets from Class A share transactions
     (2,334,533 )     (33,216,382 )
Class B
Proceeds from shares sold
     1,668,001       6,800,894  
Reinvestment of distributions
     270,870       308,033  
Payments for shares redeemed
     (5,945,216 )     (13,106,274 )
Net increase (decrease) in net assets from Class B share transactions
     (4,006,345 )     (5,997,347 )
Increase (decrease) in net assets
     11,074,582       30,767,653  
Net assets at beginning of period
     334,286,224       303,518,571  
Net assets at end of period (including undistributed net investment income of $1,269,536 and $2,613,908, respectively)
   $ 345,360,806     $ 334,286,224  
Other Information
  
Class A
Shares outstanding at beginning of period
     22,942,780       26,097,119  
Shares sold
     2,084,856       4,165,310  
Shares issued to shareholders in reinvestment of distributions
     174,127       204,962  
Shares redeemed
     (2,448,115 )     (7,524,611 )
Net increase (decrease) in Class A shares
     (189,132 )     (3,154,339 )
Shares outstanding at end of period
     22,753,648       22,942,780  
Class B
Shares outstanding at beginning of period
     4,003,137       4,564,752  
Shares sold
     129,305       652,484  
Shares issued to shareholders in reinvestment of distributions
     20,035       26,509  
Shares redeemed
     (461,676 )     (1,240,608 )
Net increase (decrease) in Class B shares
     (312,336 )     (561,615 )
Shares outstanding at end of period
     3,690,801       4,003,137  
 
The accompanying notes are an integral part of the financial statements.
 
Financial Highlights
       
Years Ended December 31,
  
Class A
      Six Months Ended 6/30/11 (Unaudited)  
2010
  
2009
    
2008
    
2007
    
2006
  
Selected Per Share Data
  
Net asset value, beginning of period
   $ 12.41     $ 9.90     $ 8.63     $ 14.71     $ 16.12     $ 14.40  
Income (loss) from investment operations:
Net investment income (loss)a
     .05       .10       .10       .18       .17       .14  
Net realized and unrealized gain (loss)
     .71       2.51       1.93       (4.77 )     (.40 )     2.34  
Total from investment operations
     .76       2.61       2.03       (4.59 )     (.23 )     2.48  
Less distributions from:
Net investment income
     (.11 )     (.10 )     (.16 )     (.20 )     (.14 )     (.10 )
Net realized gains
     —       —       (.60 )     (1.29 )     (1.04 )     (.66 )
Total distributions
     (.11 )     (.10 )     (.76 )     (1.49 )     (1.18 )     (.76 )
Net asset value, end of period
   $ 13.06     $ 12.41     $ 9.90     $ 8.63     $ 14.71     $ 16.12  
Total Return (%)b
     6.06 **     26.39       26.57       (34.12 )     (1.90 )     17.49  
Ratios to Average Net Assets and Supplemental Data
  
Net assets, end of period ($ millions)
     297       285       258       198       305       536  
Ratio of expenses before expense reductions (%)
     .52 *     .52       .56       .54       .53       .47  
Ratio of expenses after expense reductions (%)
     .50 *     .52       .50       .47       .51       .45  
Ratio of net investment income (loss) (%)
     .80 *     .96       1.19       1.51       1.09       .93  
Portfolio turnover rate (%)
     12 **     16       26       25       24 c     42  
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
c Excludes portfolio securities delivered as a result of processing redemption in-kind transactions.
* Annualized
** Not annualized
  
 

       
Years Ended December 31,
  
Class B
    
Six Months Ended 6/30/11 (Unaudited)
2010
  
2009
    
2008
    
2007
    
2006
  
Selected Per Share Data
  
Net asset value, beginning of period
   $ 12.40     $ 9.89     $ 8.62     $ 14.70     $ 16.11     $ 14.39  
Income (loss) from investment operations:
Net investment income (loss)a
     .03       .08       .08       .15       .13       .10  
Net realized and unrealized gain (loss)
     .71       2.50       1.93       (4.77 )     (.40 )     2.34  
Total from investment operations
     .74       2.58       2.01       (4.62 )     (.27 )     2.44  
Less distributions from:
Net investment income
     (.07 )     (.07 )     (.14 )     (.17 )     (.10 )     (.06 )
Net realized gains
     —       —       (.60 )     (1.29 )     (1.04 )     (.66 )
Total distributions
     (.07 )     (.07 )     (.74 )     (1.46 )     (1.14 )     (.72 )
Net asset value, end of period
   $ 13.07     $ 12.40     $ 9.89     $ 8.62     $ 14.70     $ 16.11  
Total Return (%)b
     5.96 **     26.11       26.27       (34.33 )     (2.16 )     17.19  
Ratios to Average Net Assets and Supplemental Data
  
Net assets, end of period ($ millions)
     48       50       45       42       73       68  
Ratio of expenses before expense reductions (%)
     .77 *     .77       .81       .79       .78       .72  
Ratio of expenses after expense reductions (%)
     .75 *     .77       .75       .72       .76       .70  
Ratio of net investment income (loss) (%)
     .55 *     .71       .93       1.26       .84       .68  
Portfolio turnover rate (%)
     12 **     16       26       25       24 c     42  
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
c Excludes portfolio securities delivered as a result of processing redemption in-kind transactions.
* Annualized
** Not annualized
  
 
Notes to Financial Statements (Unaudited)
 
A. Organization and Significant Accounting Policies
 
DWS Investments VIT Funds (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust is organized as a Massachusetts business trust. The Trust is comprised of two series. DWS Small Cap Index VIP (the "Fund") is a diversified series of the Trust offered to investors. The Fund is an underlying investment vehicle for variable annuity contracts and variable life insurance policies to be offered by the separate accounts of certain life insurance companies ("Participating Insurance Companies").
 
Multiple Classes of Shares of Beneficial Interest. The Fund offers two classes of shares to investors: Class A shares and Class B shares. Class B shares are subject to Rule 12b-1 distribution fees under the 1940 Act and record keeping fees equal to an annual rate up to 0.25% and 0.15%, respectively, of the Class B shares average daily net assets. Class A shares are not subject to such fees.
 
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares, except that each class bears certain expenses unique to that class (including the applicable Rule 12b-1 distribution fees). Differences in class-level expenses may result in payment of different per share dividends by class. All shares have equal rights with respect to voting subject to class-specific arrangements.
 
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
 
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.
 
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
Equity securities and closed-end investment companies are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which they trade and are categorized as Level 1 securities. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
 
Debt securities are valued by independent pricing services approved by the Fund's Board. If the pricing services are unable to provide valuations, securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from one or more broker-dealers. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. These securities are generally categorized as Level 2.
 
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost, which approximates value, and are categorized as Level 2. Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.
 
Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.
 
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security; the size of the holding; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities); an analysis of the company's or issuer's financial statements; an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities; the maturity, coupon, creditworthiness, currency denomination and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.
 
Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.
 
Securities Lending. The Fund lends securities to certain financial institutions. The Fund retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the issuer of securities and to participate in any changes in their market value. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Fund or the borrower may terminate the loan. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund is also subject to all investment risks associated with the reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
 
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable and tax-exempt income to its shareholders.
 
At December 31, 2010, the Fund had a net tax basis capital loss carryforward of approximately $16,467,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until December 31, 2017 (the expiration date), whichever occurs first.
 
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted. Under the Act, net capital losses may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. As a result of this ordering rule, pre-enactment capital loss carryforwards may expire unused, whereas under the previous rules these losses may have been utilized. This change is effective for fiscal years beginning after the date of enactment.
 
The Fund has reviewed the tax positions for the open tax years as of December 31, 2010 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.
 
Distribution of Income and Gains. Net investment income of the Fund, if any, is distributed to shareholders annually. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
 
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in futures contracts and certain securities sold at a loss. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
 
The tax character of current year distributions will be determined at the end of the current fiscal year.
 
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
 
Expenses. Expenses of the Trust arising in connection with a specific Fund are allocated to that Fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust.
 
Real Estate Investment Trusts. The Fund periodically recharacterizes distributions received from a Real Estate Investment Trust ("REIT") investment based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available timely from a REIT, the recharacterization will be estimated and a recharacterization will be made in the following year when such information becomes available. Distributions received from REITs in excess of income are recorded as either a reduction of cost of investments or realized gains. The Fund distinguishes between dividends on a tax basis and a financial reporting basis and only distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital.
 
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset valuation calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Realized gains and losses from investment transactions are recorded on an identified cost basis and may include proceeds from litigation.
 
B. Derivative Instruments
 
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). For the six months ended June 30, 2011, the Fund invested in futures to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the stock market.
 
Futures contracts are valued at the most recent settlement price. Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. Gains or losses are realized when the contract expires or is closed. Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.
 
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid market will limit the Fund's ability to close out a futures contract prior to the settlement date and the risk that the futures contract is not well correlated with the security, index or currency to which it relates. Risk of loss may exceed amounts recognized in the Statement of Assets and Liabilities.
 
A summary of the open futures contracts as of June 30, 2011 is included in a table following the Fund's Investment Portfolio. For the six months ended June 30, 2011, the investment in futures contracts purchased had a total notional value generally indicative of a range from approximately $3,367,000 to $10,796,000.
 
The following tables summarize the value of the Fund's derivative instruments held as of June 30, 2011 and the related location in the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:
Asset Derivative
  
Futures Contracts
  
Equity Contracts (a)
   $ 473,194  
 
The above derivative is located in the following Statement of Assets and Liabilities account:
 
(a) Includes cumulative appreciation of futures contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
 
Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the six months ended June 30, 2011 and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:
Realized Gain (Loss)
  
Futures Contracts
  
Equity Contracts (a)
   $ 155,618  
 
The above derivative is located in the following Statement of Operations account:
 
(a) Net realized gain (loss) from futures
Change in Net Unrealized Appreciation (Depreciation)
  
Futures Contracts
  
Equity Contracts (a)
   $ 286,037  
 
The above derivative is located in the following Statement of Operations account:
 
(a) Change in net unrealized appreciation (depreciation) on futures
 
C. Purchases and Sales of Securities
 
During the six months ended June 30, 2011, purchases and sales of investment securities (excluding short-term investments) aggregated $41,417,976 and $48,297,095, respectively.
 
D. Related Parties
 
Investment Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold, or entered into by the Fund or delegates such responsibility to the Fund's sub-advisor. Pursuant to the Investment Management Agreement with the Advisor, the Fund pays the Advisor an annual fee based on its average daily net assets, computed and accrued daily and payable monthly at the annual rate of 0.35%.
 
Northern Trust Investments, Inc. ("NTI") serves as subadvisor. As a subadvisor to the Fund, NTI makes investment decisions and buys and sells securities for the Fund. NTI is paid by the Advisor for the services NTI provides to the Fund.
 
For the period from January 1, 2011 through September 30, 2011, the Advisor has contractually agreed to waive all or a portion of its fees and/or reimburse certain operating expenses of Class A shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.50%.
 
Accordingly, for the six months ended June 30, 2011, the Advisor waived a portion of its management fee aggregating $24,753, and the amount charged aggregated $561,455, which was equivalent to an annualized effective rate of 0.33% of the Fund's average daily net assets.
 
Administration Fee. Pursuant to the Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays DIMA an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the six months ended June 30, 2011, the Administration Fee was $168,200, of which $27,012 is unpaid.
 
Distribution Service Agreement. DWS Investments Distributors, Inc. ("DIDI"), an affiliate of the Advisor, is the Fund's distributor. In accordance with the Distribution Plan, DIDI receives 12b-1 fees of up to 0.25% of average daily net assets of Class B shares. For the six months ended June 30, 2011, the Distribution Service Fee was as follows:
Distribution Service Fee
  
Total Aggregated
    
Unpaid at June 30, 2011
  
Class B
   $ 61,532     $ 9,667  
 
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent of the Fund. Pursuant to a sub-transfer agency agreement among DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee they receive from the Fund. For the six months ended June 30, 2011, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders
  
Total Aggregated
    
Waived
    
Unpaid at June 30, 2011
  
Class A
   $ 737     $ 737     $ —  
Class B
     177       —       131  
    $ 914     $ 737     $ 131  
 
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended June 30, 2011, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $8,632, of which $5,242 is unpaid.
 
Trustees' Fees and Expenses. The Fund paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.
 
Affiliated Cash Management Vehicle. The Fund may invest uninvested cash balances in Central Cash Management Fund, which is managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of Central Cash Management Fund. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.
 
E. Line of Credit
 
The Fund and other affiliated funds (the "Participants") share in a $450 million revolving credit facility provided by a syndication of banks. The Fund may borrow for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated based on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if LIBOR exceeds the Federal Funds Rate the amount of such excess. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement. The Fund had no outstanding loans at June 30, 2011.
 
F. Ownership of the Fund
 
At June 30, 2011, one participating insurance company was beneficial owner of record of 10% or more of the total outstanding Class A shares of the Fund, owning 56%. At June 30, 2011, two participating insurance companies were beneficial owners of record of 10% or more of the outstanding Class B shares of the Fund, each owning 44% and 27%, respectively.
 
Proxy Voting
 
The Fund's policies and procedures for voting proxies for portfolio securities and information about how the Fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting" at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the Fund's policies and procedures without charge, upon request, call us toll free at (800) 728-3337.
 
Summary of Management Fee Evaluation by Independent Fee Consultant
 
October 3, 2010
 
Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds (formerly the DWS Scudder Funds). My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2010, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007, 2008, and 2009.
 
Qualifications
 
For more than 35 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.
 
Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past ten years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.
 
I hold a Master of Business Administration degree, with highest honors, from Harvard University and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds and have served in various leadership and financial oversight capacities with non-profit organizations.
 
Evaluation of Fees for each DWS Fund
 
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 118 publicly offered Fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).
 
In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper and Morningstar databases and drew on my industry knowledge and experience.
 
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
 
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
 
Fees and Expenses Compared with Other Funds
 
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
 
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
 
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
 
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
 
DeAM's Fees for Similar Services to Others
 
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
 
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
 
Costs and Profit Margins
 
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
 
Economies of Scale
 
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:
 
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
 
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
 
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
 
Quality of Service — Performance
 
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
 
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
 
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
 
Complex-Level Considerations
 
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
 
I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
 
I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
 
I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
 
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
 
Findings
 
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.
 
Thomas H. Mack
 
Notes
 
DWS Investments Distributors, Inc.
 
222 South Riverside Plaza
 
Chicago, IL 60606
 
(800) 621-1148
 
vit-scif-3 (R-023162-1 8/11)
 
   
ITEM 2.
CODE OF ETHICS
   
 
Not applicable.
   
ITEM 3.
AUDIT COMMITTEE FINANCIAL EXPERT
   
 
Not applicable
   
ITEM 4.
PRINCIPAL ACCOUNTANT FEES AND SERVICES
   
 
Not applicable
   
ITEM 5.
AUDIT COMMITTEE OF LISTED REGISTRANTS
   
 
Not applicable
   
ITEM 6.
SCHEDULE OF INVESTMENTS
   
 
Not applicable
   
ITEM 7.
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
   
 
Not applicable
   
ITEM 8.
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
   
 
Not applicable
   
ITEM 9.
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
   
 
Not applicable
   
ITEM 10.
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
   
 
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board.  The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833.
   
ITEM 11.
CONTROLS AND PROCEDURES
   
 
(a)
The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
   
 
(b)
There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
   
ITEM 12.
EXHIBITS
   
 
(a)(1)
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
   
 
(b)
Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.


Form N-CSRS Item F

SIGNATURES

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

Registrant:
DWS Small Cap Index VIP, a series of DWS Investments VIT Funds
   
   
By:
/s/W. Douglas Beck
W. Douglas Beck
President
   
Date:
August 18, 2011

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


By:
/s/W. Douglas Beck
W. Douglas Beck
President
   
Date:
August 18, 2011
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
August 18, 2011