N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07989

Metropolitan West Funds

(Exact name of registrant as specified in charter)

865 South Figueroa Street

Los Angeles, CA 90017

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

865 South Figueroa Street

Los Angeles, CA 90017

(Name and address of agent for service)

Registrant’s telephone number, including area code: (213) 244-1050

Date of fiscal year end: March 31

Date of reporting period: September 30, 2010

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

METROPOLITAN WEST FUNDS

Dear Fellow Shareholder,

We thank you for your continued investment with the Metropolitan West Funds. In this report, we are pleased to disclose that flows to the Funds remained robust through the recent six-month period such that the assets under management neared $15 billion, up from $10 billion to start 2010.

The September 30, 2010, Semi-Annual Report for the Metropolitan West Funds covers the following:

Metropolitan West Ultra Short Bond Fund	M-Class (MWUSX), I-Class (MWUIX)
Metropolitan West Low Duration Bond Fund	M-Class (MWLDX), I-Class (MWLIX),
	Administrative-Class (MWLNX)
Metropolitan West Intermediate Bond Fund	M-Class (MWIMX), I-Class (MWIIX)
Metropolitan West Total Return Bond Fund	M-Class (MWTRX), I-Class (MWTIX),
	Administrative-Class (MWTNX)
Metropolitan West High Yield Bond Fund	M-Class (MWHYX), I-Class (MWHIX)
Metropolitan West Strategic Income Fund	M-Class (MWSTX), I-Class (MWSIX)
Metropolitan West AlphaTrak 500 Fund	M-Class (MWATX)

Economic Review and Market Environment

After a hiatus in April and May, risk appetites appeared to return to the investment markets during the third quarter of 2010, despite ongoing indicators of slow economic growth, as investors appeared to internalize the deep commitment of the Federal Reserve to avert contraction (the feared “double dip”). With joblessness remaining uncomfortably near 10%, a downward revision to gross domestic product (“GDP”), and an absence of inflation-spurring expectations for a second round of quantitative easing (“QE2”) by the federal government (“Fed”), markets rallied across the spectrum in anticipation. Though unclear as to the degree and contours of any would-be stimulus, the heightened expectations fueled an 11% return to the S&P 500, 9% in September alone, as trading intensity picked up following the return from summer vacations. Closer to home in the bond market, prices climbed with high yield and commercial mortgage-backed securities (“CMBS”) gaining more than 6% for the quarter. Meanwhile, even U.S. Treasury issues gained as investors looked to get in front of one potential form of QE2 that would have the Fed on the buying end of massive amounts of government debt. The broad U.S. Treasury market returned 2.7%, as the 5-year yield fell 50 basis points to 1.26% to close the quarter, while the 10-year hit a low of 2.4% a week later.

Notwithstanding the strong technical conditions driving returns in the third quarter, fundamental improvements persisted in the corporate sector and developed in the housing market. Default rates have fallen sharply for both investment grade and sub-investment grade companies, as balance sheets reflect the virtues of cost cutting, most particularly restraint in the areas of new capital expenditures and additional staffing, and extending debt maturities while the markets have been accommodating. One obvious benefit is that defaults among high yield companies have receded to $12.9 billion in 2010 so far, after reaching $185 billion in 2009’s post-crisis purge. A further benefit is that profitability has been on the upswing, with annualized after-tax corporate income hitting an all-time record in the second quarter.

In the admittedly more deeply challenged housing market, the rate of mortgage holders going from current to 60 days delinquent continues to fall (and has declined sharply from the late 2008 highs). Though home sales and pricing have not indicated a clear upturn, some stability – perhaps fragile – has been revealed, potentially setting the stage for steady recovery, but no return of the past frenzy, to be sure. Translating back to the residential mortgage-backed securities (“RMBS”) market, performance has benefitted as cash flow projections have been improved and discount rates have eased. The presence of committed investors, such as those sponsored by the Public-Private Investment Program has certainly helped, as the sponsorship that abandoned the market in 2007 and 2008 has begun to be reestablished. No doubt, the staying power of that commitment will be tested on occasion as these periodic revelations of past excesses emerge. To that point, as the quarter ended, irregularities in mortgage underwriting called into question the technical propriety of certain foreclosure practices, and banks heeded calls for a temporary moratorium, to sort out the issues and put paperwork in order. While expectations are for a reasonably expeditious resolution, the developments could have the impact of slowing down the foreclosure timeline and potentially lifting severities.

The Economy and Market Ahead

The end-game for 2010 in the financial markets will almost certainly be guided by the Fed’s bold actions or, in the absence of consensus between the inflation hawks and doves of the Fed’s Open Market Committee (“FOMC”), the confidence instilled with the statements that accompany more limited action. Predictions for the upcoming midterm election strongly suggest that fiscal stimulus options (save perhaps some tax relief) are exhausted, leaving the Fed somewhat alone at the helm. Given the responsibility and the still-challenged economy, the expectation is that monetary policy will continue to tack toward a goal that minimizes the

Semi-Annual Report September 2010 / 1

double dip scenario and accompanying deflation risks. As a result, focus will be on the much-anticipated November FOMC meeting and the style of quantitative easing that will be announced: shock and awe, gradual, or unconventional modes of capital formation. Regardless of the approach, the stimulus to-date, as well as that under consideration, is inflationary and can be expected to deliver a weaker dollar and a broadly higher price level, not just commodities, at some point.

From a strategy perspective, Fund positioning remains consistent, though marginal adjustments have been made in recognition of the pricing environment to maintain the risk-adjusted yield profile. Duration remains short that of the benchmark reflecting a defensive stance on inflation, and little sacrifice in overall yield. Having captured significant benefits from the bulleted maturity emphasis over the last few quarters, the underweight to the long end of the yield curve will be moderated, though certainly not to an overweight and a barbell orientation. Exposure toAgency MBS was raised to near-neutral during the quarter, though the composition, favoring recent-issue 3.5%-coupon and 15-year MBS, is designed to bear lower price premiums (relative to par) in the case of increased refinancing. The overweight in non-Agency RMBS will remain, as our view of the foreclosure challenges is that pricing may experience a point or two of downward adjustment, but not enough to overcome what remains a compelling risk-adjusted value. CMBS exposure, which has been reduced due to strong relative performance in 2009 and year-to-date, remains a modest overweight with continuing focus on senior tranches at the top of the capital structure. The corporate overweight continues with financial issuers representing the preponderance of the exposure. On top of improved balance sheets, an additional thesis on the allocation to financials is predicated on relative scarcity of subordinated debt, particularly as these face calls due to updated regulatory capital rules. While industrials have, too, experienced improved credit fundamentals, pricing has richened up to inform a substantial underweight. Remaining exposure is tilted toward credit issues with strong asset coverage, such as airline-enhanced equipment trust certificates (“EETCs”) and regulated gas pipeline companies, as well as government-subsidized taxable municipal BuildAmerica Bonds with sufficient protection and good risk-adjusted yields.

Data sources for the discussion above include Bloomberg, Barclays, and Merrill Lynch.

Fund Results

General Performance Commentary

As we noted in our March 31, 2010 Annual Report, a general underweight to U.S. Treasury issues was favorable to performance as the corporate, mortgage- and asset-backed sectors had seen risk premiums sharply decline, generating significant outperformance relative to U.S. Treasury and other “full faith and credit” government issues. With the rally among the spread sectors at least 12 months in running at that point, our value orientation moved us to scale back risk profiles across the Funds, elevating quality and liquidity with a view that better buying opportunities would materialize. When market volatility picked up on fears of a sovereign debt crisis in Europe, the Funds benefitted in two ways, one in experiencing less adverse performance impact relative to the indexes and fund peers, and two, by having liquidity to invest in securities offering better risk-adjusted return potential, subsequent to the pricing adjustment in late April and May.

Overall, the Funds posted favorable returns in the latest six-month reporting period, with outperformance fueled by bottom-up sector allocation and security selection. Among the themes that contributed were ongoing investments in non-Agency RMBS, which have experienced price appreciation, first as cash flow discount rates have fallen, and then as expectations for collateral performance normalize from the excessively pessimistic expectations borne of the 2007 and 2008 housing market crisis. Allocations to CMBS, too, have contributed to performance, as that market has recovered. Among corporates, an overweight to financial issuers, in particular banking behemoths and insurers, has added performance relative to the indexes as the steep yield curve continues to foster the type of balance sheet profile preferred by creditors, such as the MetWest Funds. Finally, while the HighYield Bond Fund has experienced a modest recent performance deficit to the benchmark, longer term returns reflect a premium. The short-term lag has been a function of a higher portfolio quality during a period when markets have delivered outsized returns to the lower rating tiers, somewhat inexplicably given the sluggish pace of economic activity and still-challenged outlook. Nevertheless, the positioning of the portfolio is predicated on a full-cycle orientation, with expectations that the cautious approach will bear return benefits in an environment characterized by persistently lower GDP growth.

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Due to recent favorable market conditions, some of the Funds have experienced an unusually high-performance which may not be sustainable or repeated in the future. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The net expense ratio reflects a contractual agreement by the adviser to reduce its fees and/or absorb expenses to limit the Fund’s total annual operating expenses until March 31, 2011. Without fee waivers, returns would have been lower. For additional expense ratio information, please refer to the Financial Highlights section of the report.

2 / Semi-Annual Report September 2010

Metropolitan West Ultra Short Bond Fund

M-Class (MWUSX), I-Class (MWUIX)

	Performance Through September 30, 2010
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)		5.17%		13.11%		-0.86%		1.07%	–		2.22%
Merrill Lynch 1-Year U.S. Treasury Index		0.51%		0.91%		2.60%		3.46%	–		2.78%
MWUIX (Inception: July 31, 2004)		5.51%		13.56%		-0.62%		1.32%	–		1.63%
Merrill Lynch 1-Year U.S. Treasury Index		0.51%		0.91%		2.60%		3.46%	–		3.12%

For MWUSX, the total expense ratio is 0.75% and the net expense ratio is 0.53%. For MWUIX, the total expense ratio is 0.59% and the net expense ratio is 0.37%.

Metropolitan West Low Duration Bond Fund

M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)

	Performance Through September 30, 2010
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)		5.69%		13.06%		2.12%		3.20%		3.61%		4.54%
Merrill Lynch 1-3 Year U.S. Treasury Index		1.79%		2.53%		4.07%		4.35%		4.21%		4.69%
MWLIX (Inception: March 31, 2000)		5.66%		13.27%		2.27%		3.40%		3.81%		4.00%
Merrill Lynch 1-3 Year U.S. Treasury Index		1.79%		2.53%		4.07%		4.35%		4.21%		4.38%
MWLNX (Inception: September 22, 2009)		5.51%		12.77%		–		–		–		13.54%
Merrill Lynch 1-3 Year U.S. Treasury Index		1.79%		2.53%		–		–		–		2.48%

For MWLDX, the total expense ratio is 0.63% and the net expense ratio is 0.61%. For MWLIX, the total expense ratio is 0.44% and the net expense ratio is 0.42%. For MWLNX, the total expense ratio is 0.83% and the net expense ratio is 0.81%.

Metropolitan West Intermediate Bond Fund

M-Class (MWIMX), I-Class (MWIIX)

	Performance Through September 30, 2010
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)		7.65%		14.65%		8.17%		6.66%	–		5.76%
Barclays Capital U.S. Intermediate Government/Credit Index		5.80%		7.76%		6.92%		5.94%	–		4.65%
MWIIX (Inception: June 28, 2002)		7.78%		14.89%		8.40%		6.89%	–		7.14%
Barclays Capital U.S. Intermediate Government/Credit Index		5.80%		7.76%		6.92%		5.94%	–		5.37%

For MWIMX, the total expense ratio is 0.77% and the net expense ratio is 0.66%. For MWIIX, the total expense ratio is 0.56% and the net expense ratio is 0.45%.

Metropolitan West Total Return Bond Fund

M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX)

	Performance Through September 30, 2010
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)		7.45%		14.92%		9.50%		7.96%		7.19%		7.61%
Barclays Capital U.S. Aggregate Bond Index		6.06%		8.17%		7.42%		6.20%		6.41%		6.60%
MWTIX (Inception: March 31, 2000)		7.56%		15.16%		9.73%		8.18%		7.42%		7.57%
Barclays Capital U.S. Aggregate Bond Index		6.06%		8.17%		7.42%		6.20%		6.41%		6.57%
MWTNX (Inception: December 18, 2009)		7.32%		–		–		–		–		10.61%
Barclays Capital U.S. Aggregate Bond Index		6.06%		–		–		–		–		7.95%

For MWTRX, the total expense ratio is 0.66%. For MWTIX, the total expense ratio is 0.45%. For MWTNX, the total expense ratio is 0.86%.

Semi-Annual Report September 2010 / 3

Metropolitan West High Yield Bond Fund

M-Class (MWHYX), I-Class (MWHIX)

	Performance Through September 30, 2010
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)		5.74%		16.45%		9.90%		8.55%	–		11.66%
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap		6.54%		18.23%		9.03%		8.38%	–		11.10%
MWHIX (Inception: March 31, 2003)		5.88%		16.74%		10.18%		8.82%	–		10.20%
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap		6.54%		18.23%		9.03%		8.38%	–		9.89%

For MWHYX, the total expense ratio is 0.87% and the net expense ratio is 0.80%. For MWHIX, the total expense ratio is 0.62% and the net expense ratio is 0.55%.

Metropolitan West Strategic Income Fund

M-Class (MWSTX), I-Class (MWSIX)

	Performance Through September 30, 2010
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)		10.44%		24.51%		1.68%		2.38%	–		4.59%
Merrill Lynch 3-Month U.S. Treasury Index + 2%		1.08%		2.15%		3.17%		4.67%	–		4.40%
MWSIX (Inception: March 31, 2004)		10.59%		24.67%		1.90%		2.62%	–		2.96%
Merrill Lynch 3-Month U.S. Treasury Index + 2%		1.08%		2.15%		3.17%		4.67%	–		4.56%

For MWSTX, the total expense ratio is 1.71%. For MWSIX, the total expense ratio is 1.46%.

Metropolitan West AlphaTrak 500 Fund

(MWATX)

	Performance Through September 30, 2010
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWATX (Inception: June 29, 1998)		3.61%		28.55%		-10.18%		-1.32%		-1.33%		1.37%
Standard & Poor’s 500 Index		-1.42%		10.16%		-7.16%		0.64%		-0.43%		1.80%

For MWATX, the total expense ratio is 1.20% and the net expense ratio is 0.93%.

A Consistent Long-Term Value Orientation

While we are gratified with the recent results and the growth of investor sponsorship, we understand that markets remain cyclical and prone to considerable volatility. For our part, we will accept the periodic volatility as a given, seeking to minimize it where possible and to capitalize on the conditions when they occur. By committing to a disciplined value orientation, we believe that we can recognize the opportunities and implement the strategies for our Fund participants over the short and long term, while delivering the type of returns our investors should expect from their managers.

Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment objectives.

Sincerely,

Andrew Tarica

Chairman, Board of Trustees

Metropolitan West Funds

4 / Semi-Annual Report September 2010

U.S. Treasury bonds, unlike mutual funds, are insured direct obligations of the U.S. Government that offer a fixed rate of return when held to maturity. A quality rating, such as “BB,” refers to the credit risk of individual securities, and not to the Fund. Investment by a Fund in lower rated and non rated securities presents a greater risk of loss to principal and interest than higher rated securities.

Bond Funds have similar interest rates, issues and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds. The Strategic Income Fund engages in sophisticated investment strategies. TheAlphaTrak 500 Fund trades futures and derivative contracts. These Funds may not be suitable for all investors.

The views and forecasts expressed here are as of September 2010, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.

Funds are distributed by BNY Mellon Distributors Inc., 760 Moore Rd., King of Prussia, PA 19406. To be preceded or accompanied by a prospectus.

Semi-Annual Report September 2010 / 5

Metropolitan West Funds

Disclosure of Fund Expenses

For the Six Months Ended September 30, 2010 (Unaudited)

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

This table illustrates your Fund’s costs in two ways:

Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return for the past six-month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.

You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, 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 given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”

Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission (SEC) requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	Beginning         Account  Value 04/01/10	Ending Account Value 09/30/10	Expense Ratio1	Expenses Paid During Period2
ULTRA SHORT BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,051.70	0.50%	$2.57
Class I	$1,000.00	$1,055.00	0.34%	$1.75
Hypothetical 5% Return
Class M	$1,000.00	$1,022.56	0.50%	$2.54
Class I	$1,000.00	$1,023.36	0.34%	$1.72
LOW DURATION BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,056.80	0.58%	$2.99
Class I	$1,000.00	$1,056.60	0.39%	$2.01
Administrative Class	$1,000.00	$1,055.10	0.78%	$4.02
Hypothetical 5% Return
Class M	$1,000.00	$1,022.16	0.58%	$2.94
Class I	$1,000.00	$1,023.11	0.39%	$1.98
Administrative Class	$1,000.00	$1,021.16	0.78%	$3.95

¹ Annualized, based on the Fund’s most recent fiscal half-year expenses.

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year, then divided by 365.

6 / Semi-Annual Report September 2010

	Beginning         Account  Value 04/01/10	Ending Account Value 09/30/10	Expense Ratio1	Expenses Paid During Period2
INTERMEDIATE BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,076.60	0.65%	$  3.38
Class I	$1,000.00	$1,077.70	0.44%	$  2.29
Hypothetical 5% Return
Class M	$1,000.00	$1,021.81	0.65%	$  3.29
Class I	$1,000.00	$1,022.86	0.44%	$  2.23
TOTAL RETURN BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,074.50	0.63%	$  3.28
Class I	$1,000.00	$1,075.60	0.42%	$  2.19
Administrative Class	$1,000.00	$1,073.30	0.83%	$  4.31
Hypothetical 5% Return
Class M	$1,000.00	$1,021.91	0.63%	$  3.19
Class I	$1,000.00	$1,022.96	0.42%	$  2.13
Administrative Class	$1,000.00	$1,020.91	0.83%	$  4.20
HIGH YIELD BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,057.50	0.80%	$  4.13
Class I	$1,000.00	$1,058.80	0.55%	$  2.84
Hypothetical 5% Return
Class M	$1,000.00	$1,021.06	0.80%	$  4.05
Class I	$1,000.00	$1,022.31	0.55%	$  2.79
STRATEGIC INCOME FUND
Actual Fund Return
Class M	$1,000.00	$1,104.30	2.20%	$11.61
Class I	$1,000.00	$1,105.80	1.95%	$10.29
Hypothetical 5% Return
Class M	$1,000.00	$1,014.04	2.20%	$11.11
Class I	$1,000.00	$1,015.29	1.95%	$  9.85
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$1,036.10	0.90%	$  4.59
Hypothetical 5% Return	$1,000.00	$1,020.56	0.90%	$  4.56

¹ Annualized, based on the Fund’s most recent fiscal half-year expenses.

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year, then divided by 365.

Semi-Annual Report September 2010 / 7

Metropolitan West Funds

Summary of Portfolio Holdings

September 30, 2010 (Unaudited)

These tables are provided to give you a quick reference to the composition of each Funds’net assets. We hope that this information enhances your understanding of the different kinds of investments in the Funds.

ULTRA SHORT BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
U.S. Agency Mortgage-Backed	32.39%	U.S. Treasury	3.03%	0 to 1 years	23.43%
Non-Agency Mortgage-Backed	19.35%	Agency	39.60%	1 year to 3 years	36.43%
Corporate Bonds	18.48%	AAA	20.12%	3 years to 5 years	17.36%
Asset-Backed Securities	18.27%	AA	5.67%	5 years to 10 years	18.75%
Money Market RIC	9.38%	A	8.84%	10 years to 20 years	4.03%
Commercial Mortgage-Backed	5.03%	BBB	7.66%	20 years +	0.00%
U.S. Treasury Securities	3.03%	BB or below	15.08%
Municipal Bonds	1.49%
Bank Loans	0.80%
Other *	(8.22)%
Total	100.00%	Total	100.00%	Total	100.00%

LOW DURATION BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Corporate Bonds	28.17%	U.S. Treasury	8.52%	0 to 1 years	16.13%
Asset-Backed Securities	15.75%	Agency	30.92%	1 year to 3 years	39.39%
U.S. Agency Mortgage-Backed	14.63%	AAA	14.17%	3 years to 5 years	18.91%
Non-Agency Mortgage-Backed	10.28%	AA	8.00%	5 years to 10 years	20.99%
Commercial Mortgage-Backed	8.64%	A	10.36%	10 years to 20 years	4.04%
U.S. Treasury Securities	8.47%	BBB	13.19%	20 years +	0.54%
U.S. Agency Securities	8.37%	BB or below	14.84%
U.S. Agency Discount Notes	4.75%
Money Market RIC	1.92%
Municipal Bonds	1.01%
Bank Loans	0.59%
U.S. Treasury Bills	0.05%
Other *	(2.63)%
Total	100.00%	Total	100.00%	Total	100.00%

8 / Semi-Annual Report September 2010

	INTERMEDIATE BOND FUND
	Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
	Corporate Bonds	31.43%	U.S. Treasury	25.92%	0 to 1 years	6.64%
	U.S. Treasury Securities	25.79%	Agency	24.12%	1 year to 3 years	13.18%
	U.S. Agency Mortgage-Backed	19.38%	AAA	7.69%	3 years to 5 years	36.72%
	Asset-Backed Securities	14.28%	AA	7.79%	5 years to 10 years	38.19%
	Commercial Mortgage-Backed	6.74%	A	12.79%	10 years to 20 years	3.79%
	Non-Agency Mortgage-Backed	4.80%	BBB	11.57%	20 years +	1.48%
	Money Market RIC	3.09%	BB or below	10.12%
	Municipal Bonds	0.94%
	U.S. Agency Discount Notes	0.57%
	U.S. Agency Securities	0.56%
	Bank Loans	0.20%
	U.S. Treasury Bills	0.13%
	Other *	(7.91)%
	Total	100.00%	Total	100.00%	Total	100.00%
TOTAL RETURN BOND FUND
	Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
	U.S. Treasury Securities	28.41%	U.S. Treasury	28.46%	0 to 1 years	2.28%
	U.S. Agency Mortgage-Backed	28.06%	Agency	30.33%	1 year to 3 years	9.45%
	Corporate Bonds	24.53%	AAA	3.03%	3 years to 5 years	30.75%
	Asset-Backed Securities	11.97%	AA	6.02%	5 years to 10 years	46.23%
	Commercial Mortgage-Backed	7.51%	A	8.44%	10 years to 20 years	7.58%
	Non-Agency Mortgage-Backed	5.58%	BBB	8.85%	20 years +	3.71%
	Money Market RIC	5.25%	BB or below	14.87%
	Bank Loans	0.97%
	Municipal Bonds	0.70%
	U.S. Treasury Bills	0.05%
	Other *	(13.03)%
	Total	100.00%	Total	100.00%	Total	100.00%
HIGH YIELD BOND FUND
	Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
	Corporate Bonds	74.79%	US Treasury	5.49%	0 to 1 years	16.22%
	Bank Loans	10.39%	Agency	1.17%	1 year to 3 years	7.33%
	Money Market RIC	7.03%	AAA	7.44%	3 years to 5 years	20.41%
	U.S. Treasury Securities	2.90%	AA	0.04%	5 years to 10 years	45.65%
	U.S. Treasury Bills	2.59%	A	0.13%	10 years to 20 years	7.36%
	U.S. Agency Discount Notes	1.16%	BBB	5.38%	20 years +	3.03%
	Asset-Backed Securities	0.77%	BB	19.38%
	Municipal Bonds	0.67%	B	43.11%
	Preferred Stock	0.41%	CCC	17.12%
	Put Options Purchased	0.04%	CC or below	0.74%
	Other *	(0.75)%
	Total	100.00%	Total	100.00%		100.00%

Semi-Annual Report September 2010 / 9

	STRATEGIC INCOME FUND
	Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
	Corporate Bonds	28.75%	U.S. Treasury	2.36%	0 to 1 years	21.64%
	Asset-Backed Securities	28.01%	Agency	28.55%	1 year to 3 years	16.74%
	U.S. Agency Mortgage-Backed	12.16%	AAA	10.56%	3 years to 5 years	22.87%
	Money Market RIC	9.77%	AA	3.92%	5 years to 10 years	23.91%
	Bank Loans	7.05%	A	10.90%	10 years to 20 years	11.54%
	U.S. Agency Discount Notes	5.27%	BBB	15.07%	20 years +	3.30%
	Commercial Mortgage-Backed	5.10%	BB or below	28.64%
	U.S. Agency Securities	4.49%
	Non-Agency Mortgage-Backed	2.88%
	U.S. Treasury Securities	2.28%
	Preferred Stock	1.49%
	Municipal Bonds	0.30%
	U.S. Treasury Bills	0.08%
	Other *	(7.63)%
	Total	100.00%	Total	100.00%	Total	100.00%
ALPHATRAK 500 FUND
	Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
	Asset-Backed Securities	26.30%	U.S. Treasury	8.90%	0 to 1 years	29.40%
	Corporate Bonds	19.20%	Agency	20.59%	1 year to 3 years	20.56%
	Non-Agency Mortgage-Backed	13.68%	AAA	21.88%	3 years to 5 years	10.52%
	U.S. Agency Securities	6.95%	AA	12.09%	5 years to 10 years	24.41%
	U.S. Agency Mortgage-Backed	6.69%	A	9.67%	10 years to 20 years	13.99%
	U.S. Treasury Bills	6.46%	BBB	13.22%	20 years +	1.12%
	U.S. Agency Discount Notes	5.99%	BB or below	13.65%
	Money Market RIC	5.77%
	Commercial Mortgage-Backed	3.42%
	U.S. Treasury Securities	2.44%
	Bank Loans	1.56%
	Municipal Bonds	0.22%
	Other *	1.32%
	Total	100.00%	Total	100.00%	Total	100.00%

* Includes cash and equivalents, futures, swaps, written options, pending trades and Fund share transactions, interest and dividends receivable and accrued expenses payable.

All figures presented as percentages of total net assets. Credit rating distributions for each Fund were determined by giving each fixed income security the highest rating assigned by a nationally recognized statistical rating organization. If a security is not rated, the Adviser has assigned a credit rating based upon the credit rating of comparable quality-rated securities.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended June 30, 2010. The Funds’Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

10 / Semi-Annual Report September 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BONDS – 98.84%
ASSET-BACKED SECURITIES — 18.27%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%		06/25/32		$	34,578	$	27,176
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33			1,331		1,330
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.76%		09/15/33			16,763		15,690
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.93%		12/15/33			10,612		10,636
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	2,3,4		199,600		184,901
BMW Vehicle Lease Trust 2009-1 A3
2.91%		03/15/12			702,504		708,970
Capital Auto Receivables Asset Trust 2008-CPA A1
1.11%		01/15/13	3,4		598,909		601,262
Chrysler Financial Lease Trust 2010-A A2
1.78%		06/15/11	4		750,000		752,207
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	3		2,500,000		1,362,849
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.56%		07/25/37	3		1,765,000		707,723
Conseco Financial Corp. 1994-1 A5
7.65%		04/15/19			6,147		6,440
Conseco Financial Corp. 1996-8 A6
7.60%		10/15/27	3		15,291		15,843
Countrywide Asset-Backed Certificates 2003-BC1 M1
1.64%		12/25/32	3		351,357		148,824
Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%		09/25/31			97,144		99,530
Credit-Based Asset Servicing and Securitization LLC 2007-CB4 A2A (STEP)
5.84%		04/25/37			317,474		319,617
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%		09/15/27			144,304		148,176
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%		10/25/25			4,820		4,642
Fremont Home Loan Trust 2005-C M1
0.74%		07/25/35	3		500,000		460,661
GE Mortgage Services LLC 1998-HE1 A7
6.47%		06/25/28			598		592
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	2,3,4		516,667		476,024

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20		$	67,341	$	61,201
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%		01/15/21			21,879		20,408
GSAA Trust 2005-7 AF3
4.75%		05/25/35	3		1,100,000		1,014,749
HSBC Home Equity Loan Trust 2007-3 APT
1.46%		11/20/36	3		603,484		550,147
Huntington Auto Trust 2008-1A A3A
4.81%		04/16/12	4		549,748		555,482
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%		12/25/27	3		184,346		179,952
Irwin Home Equity Corp. 2003-A M2
2.91%		10/25/27	3		594,066		544,727
Keystone Owner Trust 1998-P1 M2
7.93%		05/25/25	4		9,406		9,406
Mid-State Trust 6 A4
7.79%		07/01/35			44,969		44,521
Morgan Stanley ABS Capital I 2004-NC2 M2
2.06%		12/25/33	3		774,579		392,978
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1
0.31%		11/25/36	3		33,747		33,586
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			3,247		3,290
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%		01/15/15			5,570		5,583
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			278,844		280,110
Residential Asset Mortgage Products, Inc. 2005-EFC2 M1
0.70%		07/25/35	3		494,924		488,871
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%		09/25/29			124,665		95,274
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			12,089		11,363
Saxon Asset Securities Trust 2002-1 M2
2.06%		11/25/31	3		189,045		68,860
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	3		1,055,000		901,381
Structured Asset Securities Corp. 2005-4XS 3A3 (STEP)
4.47%		03/25/35			547,271		554,789
Structured Asset Securities Corp. 2007-EQ1 A4
0.51%		03/25/37	3		3,000,000		1,161,690

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 11

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%		08/25/34	4,5	$	8,044,975	$	53,640
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	3,4		246,667		222,155
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	3,4		165,625		153,155
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	3		1,243		552
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	3		576,562		564,082
Wells Fargo Home Equity Trust 2006-1 A3
0.41%		05/25/36	3		213,480		207,393
Total Asset-Backed Securities
(Cost $17,229,373)							14,232,438
CORPORATES — 18.48%*
Banking — 1.46%
Bank of America N.A.
0.59%		06/15/17	3		750,000		628,371
Royal Bank of Scotland Plc (The) 1 (United Kingdom)
2.76%		08/23/13	2,3		500,000		510,523
							1,138,894
Communications — 0.68%
Qwest Corp.
7.88%		09/01/11			500,000		530,625
Electric — 1.08%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			730,000		840,396
Finance — 12.59%
Citigroup Funding, Inc. (MTN)
0.59%		03/30/12	3		815,000		819,908
Citigroup Funding, Inc. 2
0.81%		04/30/12	3		900,000		905,622
Citigroup, Inc.
5.30%		10/17/12			1,075,000		1,146,183
General Electric Capital Corp. (MTN)
0.43%		06/20/14	3		250,000		239,401
General Electric Capital Corp. A (MTN)
0.55%		09/15/14	3		300,000		288,243
General Electric Capital Corp. G (MTN)
0.47%		06/01/12	3		1,030,000		1,033,494
Goldman Sachs Group, Inc. (The)
1.06%		12/05/11	3		690,000		696,672
5.45%		11/01/12			500,000		537,072
Goldman Sachs Group, Inc. B (The) (MTN)
0.91%		07/22/15	3		200,000		188,196
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	3,6,7		883,000		181,015

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
0.64%		06/20/12	3	$	620,000	$	623,869
0.69%		02/10/12	3		990,000		994,687
0.77%		01/18/11	3		395,000		395,025
5.05%		01/21/11			395,000		400,242
6.75%		04/15/11			155,000		159,668
Morgan Stanley (MTN)
0.97%		10/18/16	3		260,000		228,481
Morgan Stanley 1
1.15%		12/01/11	3		535,000		540,653
UBS AG BKNT (Switzerland)
2.25%		08/12/13	2		425,000		429,599
							9,808,030
Health Care — 0.66%
Boston Scientific Corp.
6.00%		06/15/11			500,000		514,170
Real Estate Investment Trust (REIT) — 0.63%
Healthcare Realty Trust, Inc.
8.13%		05/01/11			475,000		493,261
Transportation — 1.38%
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11	8		600,000		633,000
JetBlue Airways Pass-Through Trust 2004-2 G1
0.75%		08/15/16	3		490,468		443,261
							1,076,261
Total Corporates
(Cost $14,545,969)							14,401,637
BANK LOANS — 0.80%*
Health Care — 0.80%
HCA Term Loan A
1.79%		11/17/12	9		640,641		619,627
Total Bank Loans
(Cost $592,989)
MORTGAGE-BACKED — 56.77%**
Commercial Mortgage-Backed — 5.03%
Banc of America Commercial Mortgage, Inc. 2001-1 A2
6.50%		04/15/36			137,266		138,916
Bayview Commercial Asset Trust 2007-3 A1
0.50%		07/25/37	3,4		1,343,697		1,016,097
Credit Suisse First Boston Mortgage Securities Corp. 2001-CK6 A3
6.39%		08/15/36			282,881		294,628
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			144,367		144,662

See accompanying notes to Schedule of Portfolio Investments.

12 / Semi-Annual Report September 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Capital Commercial Mortgage Corp. 2001-2 A4
6.29%		08/11/33		$	471,733	$	484,339
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.52%		11/10/45	3		110,000		115,964
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%		09/15/35			14,205		14,193
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			410,000		433,571
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			385,000		400,535
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%		06/12/50	3		280,000		286,125
Prudential Mortgage Capital Funding LLC 2001-ROCK A2
6.61%		05/10/34			576,549		584,982
							3,914,012
Non-Agency Mortgage-Backed — 19.35%
Adjustable Rate Mortgage Trust 2005-1 1A1
3.46%		05/25/35	3		1,234,175		1,026,757
American Home Mortgage Investment Trust 2004-3 3A
2.55%		10/25/34	3		951,249		758,222
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			25,196		26,284
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			726,204		547,436
Banc of America Mortgage Securities, Inc. 2003-A 2A2
3.61%		02/25/33	3		5,648		5,066
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.14%		02/25/34	3		250,270		248,480
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%		11/25/31			384,171		399,772
Countrywide Alternative Loan Trust 2005-16 A5
0.54%		06/25/35	3		791,914		280,004
Countrywide Alternative Loan Trust 2005-27 2A1
1.74%		08/25/35	3		1,633,204		904,958
Countrywide Alternative Loan Trust 2005-61 2A1
0.54%		12/25/35	3		1,160,562		812,881

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage Securities Corp. 2002-AR31 4A2
3.40%		11/25/32	3	$	200,000	$	134,707
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
0.63%		07/19/44	3		601,369		460,148
First Horizon Asset Securities, Inc. 2002-AR2 2A1
3.10%		12/27/32	3		20,489		20,669
First Horizon Asset Securities, Inc. 2003-AR2 1A1
3.00%		07/25/33	3		97,776		96,401
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%		07/25/34			59,325		58,855
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.65%		12/25/34	3		963,628		588,409
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.48%		04/25/46	3		1,488,239		785,046
JPMorgan Mortgage Trust 2005-A2 9A1
3.68%		04/25/35	3		602,311		489,269
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.48%		01/25/34	3		67,294		62,858
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
3.65%		10/25/34	3		992,995		849,170
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.77%		06/25/34	3		51,279		43,257
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%		10/25/32	3		162,446		139,774
MASTR Seasoned Securities Trust 2004-2 A2
6.50%		08/25/32			561,828		586,830
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
2.65%		12/25/32	3		466,248		443,649
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%		03/25/16			131,863		133,061
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%		11/25/31			133,487		136,200
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%		11/25/31			270,828		270,638
Residential Asset Securitization Trust 2004-IP2 2A1
2.82%		12/25/34	3		556,178		532,602

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 13

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.46%		10/25/36	3	$	1,910,842	$	1,139,252
Structured Asset Mortgage Investments, Inc.
2007-AR3 2A1
0.45%		09/25/47	3		2,397,876		1,434,632
Structured Asset Securities Corp. 2001-15A 4A1
6.00%		10/25/31	3		42,615		40,639
Structured Asset Securities Corp. 2004-S4 M4
2.06%		12/25/34	3		504,352		479,494
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2005-4 CB13
0.76%		06/25/35	3		680,946		467,946
Washington Mutual Mortgage Pass-Through
Certificates 2002-AR6 A
1.77%		06/25/42	3		119,439		97,704
Washington Mutual Mortgage Pass-Through
Certificates 2003-AR6 A1
2.70%		06/25/33	3		516,659		513,250
Washington Mutual MSC Mortgage
Pass-Through Certificates 2003- MS9 1A
7.00%		04/25/33			62,311		63,587
							15,077,907
U.S. Agency Mortgage-Backed — 32.39%
Fannie Mae 1988-12 A
4.44%		02/25/18	3		100,803		104,888
Fannie Mae 1993-80 S
10.53%		05/25/23	3		8,204		10,076
Fannie Mae 1997-23 PB
6.63%		01/25/22			6,271		7,072
Fannie Mae 2000-27 AN
6.00%		08/25/30			10,846		11,843
Fannie Mae 2001-42 SB
8.50%		09/25/31	3		5,411		6,119
Fannie Mae 2002-82 FP
0.76%		02/25/32	3		947,957		951,230
Fannie Mae 2003-124 IO (IO)
5.25%		03/25/31			53,662		2,270
Fannie Mae 2003-124 TS
9.80%		01/25/34	3		101,694		117,923
Fannie Mae 2003-30 ET
3.50%		08/25/16			321,229		324,221
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32			129,979		10,912
Fannie Mae 2004-60 FW
0.71%		04/25/34	3		998,679		1,002,796
Fannie Mae 2004-96 MT
7.00%		12/25/34	3		120,475		121,018

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2005-39 BN
4.55%		06/25/28		$	468,348	$	479,260
Fannie Mae 2005-47 SL
7.50%		06/25/35	3		34,513		34,663
Fannie Mae 2007-65 PA
6.00%		03/25/31			527,219		539,862
Fannie Mae 2007-68 SC (IO)
6.44%		07/25/37	3		1,913,513		276,095
Fannie Mae 2008-47 PF
0.76%		06/25/38	3		1,066,382		1,074,808
Fannie Mae 2010-26 S (IO)
5.97%		11/25/36	3		4,356,177		562,654
Fannie Mae Pool 111643
3.08%		09/01/20	3		25,636		26,698
Fannie Mae Pool 190656
6.50%		02/01/14			122,384		132,479
Fannie Mae Pool 523829
8.00%		11/01/19			185,360		214,992
Fannie Mae Pool 555098
3.27%		11/01/32	3		105,438		110,567
Fannie Mae Pool 555177
2.54%		01/01/33	3		108,553		112,933
Fannie Mae Pool 555424
5.50%		05/01/33			1,118,890		1,200,884
Fannie Mae Pool 567002
8.00%		05/01/23			117,781		134,777
Fannie Mae Pool 646884
1.92%		05/01/32	3		7,268		7,428
Fannie Mae Pool 647903
1.74%		04/01/27	3		60,986		63,117
Fannie Mae Pool 648860
6.50%		05/01/17			573,755		621,282
Fannie Mae Pool 655127
7.00%		07/01/32			37,733		42,035
Fannie Mae Pool 655133
7.00%		08/01/32			43,113		48,047
Fannie Mae Pool 655151
7.00%		08/01/32			44,948		50,093
Fannie Mae Pool 754001
3.61%		12/01/33	3		416,650		433,261
Fannie Mae Pool 762525
6.50%		11/01/33			150,096		164,019
Fannie Mae Pool 770900
2.44%		04/01/34	3		437,786		451,487
Fannie Mae Pool 805268
1.94%		01/01/35	3		268,192		276,352
Fannie Mae Pool 893489
6.24%		09/01/36	3		381,796		406,968

See accompanying notes to Schedule of Portfolio Investments.

14 / Semi-Annual Report September 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0538
6.00%		05/01/24		$	885,975	$	957,199
Fannie Mae Pool AD0546
5.88%		11/01/37	3		385,717		410,999
Freddie Mac 1214 KA
1.14%		02/15/22	3		17,114		17,120
Freddie Mac 1526 L
6.50%		06/15/23			25,308		26,839
Freddie Mac 2043 CJ
6.50%		04/15/28			51,599		57,844
Freddie Mac 2368 AF
1.21%		10/15/31	3		997,672		1,011,585
Freddie Mac 2527 TI (IO)
6.00%		02/15/32			157,773		6,432
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			191,858		5,512
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			44,797		5,678
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			181,890		16,315
Freddie Mac 2817 FA
0.76%		06/15/32	3		1,408,598		1,410,659
Freddie Mac 2877 MV
4.75%		12/15/28			388,374		396,872
Freddie Mac 2906 NX (IO)
5.24%		12/15/34	3		2,567,466		80,554
Freddie Mac 2945 LD
4.00%		02/15/35			1,044,200		1,085,539
Freddie Mac 2971 AB
5.00%		05/15/20			21,211		22,608
Freddie Mac 3202 HS (IO)
6.39%		08/15/36	3		550,838		4,216
Freddie Mac 3330 PA
5.50%		02/15/26			328,016		328,315
Freddie Mac 3346 FA
0.49%		02/15/19	3		1,160,458		1,160,056
Freddie Mac 3626 MA
5.00%		02/15/30			997,442		1,059,169
Freddie Mac Gold C90237
6.50%		11/01/18			123,886		135,977
Freddie Mac Gold C90474
7.00%		08/01/21			174,208		196,578
Freddie Mac Gold D93410
6.50%		04/01/19			88,848		97,520
Freddie Mac Gold G13107
5.50%		07/01/20			1,114,484		1,207,335
Freddie Mac Gold O30092
5.50%		10/01/15			23,177		24,503

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold P20295
7.00%		10/01/29		$	61,671	$	66,650
Freddie Mac Non Gold Pool 1G2627
6.05%		03/01/37	3		483,718		511,022
Freddie Mac Non Gold Pool 1J1393
6.23%		10/01/36	3		568,597		601,865
Freddie Mac Non Gold Pool 1J1509
6.32%		11/01/36	3		619,141		659,335
Freddie Mac Non Gold Pool 1J1534
5.71%		03/01/37	3		831,114		882,983
Freddie Mac Non Gold Pool 1N1446
4.66%		01/01/37	3		538,388		563,139
Freddie Mac Non Gold Pool 775554
3.52%		10/01/18	3		5,766		5,785
Freddie Mac Non Gold Pool 782824
2.72%		11/01/34	3		648,856		671,891
Freddie Mac Non Gold Pool 865369
4.86%		06/01/22	3		4,526		4,765
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			124,383		6,972
Ginnie Mae 2004-2 FW
1.66%		01/16/34	3		332,919		354,037
Ginnie Mae 2004-41 IE (IO)
5.50%		05/20/30			623,264		9,043
Ginnie Mae II Pool 80546
3.00%		10/20/31	3		38,751		39,942
Ginnie Mae II Pool 80610
3.38%		06/20/32	3		467,767		482,703
Ginnie Mae II Pool 80614
3.63%		07/20/32	3		61,015		63,111
Ginnie Mae II Pool 80687
3.50%		04/20/33	3		263,943		272,536
Ginnie Mae II Pool 8339
3.13%		12/20/23	3		71,279		73,556
Ginnie Mae II Pool 8684
3.63%		08/20/25	3		104,076		107,651
							25,237,539
Total Mortgage-Backed
(Cost $47,455,132)							44,229,458
MUNICIPAL BONDS — 1.49%*
Illinois — 0.33%
State of Illinois, Pension Funding G.O.,
Taxable
4.07%		01/01/14			250,000		259,215

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 15

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Kentucky — 1.16%
Kentucky Asset Liability Commission General Fund Revenue Bonds
0.84%		04/01/11	$	900,000	$	900,225
Total Municipal Bonds
(Cost $1,148,433)						1,159,440
U.S. TREASURY SECURITIES — 3.03%
U.S. Treasury Notes — 3.03%
U.S. Treasury Notes
0.88%		04/30/11		1,175,000		1,179,521
1.00%		08/31/11		1,175,000		1,182,987
Total U.S. Treasury Securities
(Cost $2,362,145)						2,362,508
Total Bonds – 98.84%
(Cost $83,334,041)						77,005,108

Issues	Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 9.38%
Money Market Fund — 9.38%
BlackRock Liquidity Funds TempFund
Portfolio
0.23%10		1,941,000		1,941,000
Dreyfus Cash Advantage Fund
0.25%10		3,746,000		3,746,000
DWS Money Market Series-Institutional
0.21%10		390,000		390,000
Goldman Sachs Financial Square Funds -
Prime Obligations Fund
0.16%10,11		1,235,000		1,235,000
Total Short-Term Investments
(Cost $7,312,000)				7,312,000
Total Investments – 108.22%
(Cost $90,646,041)1				84,317,108
Liabilities in Excess of Other
Assets – (8.22)%				(6,404,279	)
Net Assets – 100.00%			$	77,912,829

Expiration Date	Credit Ratinga	Premiums Paid/ (Received)	Notional Amount (000’s) b		Appr- eciation		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$–		$  640		$  9,277		$  9,277
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA	–		500		7,912		7,912
		$–		$1,140		$17,189	$	17,189

	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s)b		Appre- ciation		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
		01/25/38	$	(1,427,829	)		$2,370		$203,008	$	(1,224,821	)
			$	(1,427,829	)		$2,370		$203,008	$	(1,224,821	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $90,670,781 and net unrealized appreciation/ (depreciation) consists of:

Gross unrealized appreciation	$	5,097,685
Gross unrealized depreciation		(11,451,358	)
Net unrealized depreciation	$	(6,353,673	)

² U.S. dollar-denominated security issued by foreign-domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at September 30, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2010, was $4,024,329 , representing 5.17% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $53,640, which is 0.07% of total net assets.

⁶ Security is currently in default with regard to scheduled interest or principal payments.

⁷ Non-income producing security.

⁸ Expected maturity date.

See accompanying notes to Schedule of Portfolio Investments.

16 / Semi-Annual Report September 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

⁹ Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of  Purchase	Security	Amortized Cost	Value	%  of Total Net Assets
02/04/09	HCA Term Loan A, 1.79%,
	11/17/12	$592,989	$619,627	0.80%

¹⁰  Represents the current yield as of September 30, 2010.

¹¹  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,235,000.

^* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

^** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 17

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BONDS – 95.91%
ASSET-BACKED SECURITIES — 15.75%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33		$	27,029	$	27,007
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	2,3,4		5,598,780		5,186,480
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.52%		06/14/37	3,4,†		5,411,115		4,572,430
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%		10/25/27			39,650		42,659
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.65%		11/14/33	2,3,4,†		7,288,126		6,040,086
Bayview Financial Acquisition Trust 2005-A A1
1.26%		02/28/40	3,4		5,610,969		3,054,195
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
1.26%		12/28/40	3,4		8,422,813		4,614,916
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%		08/25/30			2,865,697		2,794,175
Carrington Mortgage Loan Trust 2004-NC2 M1
0.95%		08/25/34	3		218,633		148,291
Carrington Mortgage Loan Trust 2007-FRE1 A3
0.52%		02/25/37	3		14,875,000		6,266,421
Castle Trust 2003-1AW A1
1.01%		05/15/27	3,4,†		3,125,441		2,437,866
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6
6.24%		01/25/13	3		3,480,700		3,442,146
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
1.16%		02/25/32	3		748,923		249,398
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.16%		09/25/36	3		7,205,251		3,316,458
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A2
0.36%		01/25/37	3		187,770		182,493
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	3		150,000		81,771
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.56%		07/25/37	3		90,000		36,088
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1
1.91%		07/25/37	3		8,520,000		2,423,079

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Conseco Finance 2001-D A5
6.19%		11/15/32	3	$	382,372	$	392,896
Conseco Financial Corp. 1994-1 A5
7.65%		04/15/19			362,681		379,989
Conseco Financial Corp. 1998-2 A5
6.24%		12/01/28	3		33,701		34,106
Countrywide Asset-Backed Certificates 2007-11 2A1
0.32%		06/25/47	3		368,637		355,598
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%		09/25/37	3		4,448,433		4,140,241
Countrywide Asset-Backed Certificates 2007-7 2A1
0.34%		10/25/47	3		314,215		300,262
Credit-Based Asset Servicing and Securitization LLC 2005-CB7 AF3 (STEP)
5.55%		11/25/35			1,976,928		1,963,195
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%		01/25/36			2,882,151		1,948,909
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4
0.49%		11/25/36	3		6,000,000		2,413,650
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
4.95%		02/25/37			20,580,000		13,581,433
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.32%		04/25/37	3		2,685,386		1,912,873
Discover Card Master Trust 2009-A2 A
1.56%		02/17/15	3		2,400,000		2,440,537
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%		10/25/25			1,446		1,393
First Union Home Equity Loan Trust 1997-3 B
7.39%		03/25/29			41,326		6,202
GE Corporate Aircraft Financing LLC 2005-1A C
1.56%		08/26/19	3,4,†		5,000,000		4,262,535
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.56%		04/17/19	2,3,4		2,382,917		2,276,962
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	2,3,4		6,551,333		6,035,978
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	2,3,4,†		8,391,263		7,069,770
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.70%		06/25/30	3		2,317,616		1,265,615
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%		01/15/29			2,901,015		2,868,408

See accompanying notes to Schedule of Portfolio Investments.

18 / Semi-Annual Report September 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22		$	92,056	$	66,273
GSAA Trust 2006-9 A4A
0.50%		06/25/36	3		12,787,488		6,306,799
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
1.18%		10/10/14	2,3,4,†		557,903		534,196
Home Equity Mortgage Trust 2006-1 A1B
0.39%		05/25/36	3		762,703		695,783
HSBC Home Equity Loan Trust 2005-3 M1
0.68%		01/20/35	3		4,178,281		3,771,028
HSBC Home Equity Loan Trust 2006-3 A4
0.50%		03/20/36	3		8,680,000		7,003,944
HSBC Home Equity Loan Trust 2007-1 AS
0.46%		03/20/36	3		10,311,956		8,443,867
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.45%		01/25/36	3		2,228,944		2,082,763
JPMorgan Mortgage Acquisition Corp. 2005-FRE1 A2F3 (STEP)
5.63%		10/25/35			2,895,789		2,839,568
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%		10/25/36			11,117,952		11,150,923
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%		01/25/37			15,300,000		12,403,924
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A2
0.31%		05/25/37	3		2,499,840		2,376,611
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV4
0.54%		03/25/47	3		50,000		21,230
Lehman ABS Manufactured Housing Contract Trust 2001-B AIOC (IO)
0.55%		05/15/41	3,5		346,896,428		5,229,602
Lehman XS Trust 2006-GP1 A4A
0.59%		05/25/46	3		11,937,652		3,953,750
Long Beach Mortgage Loan Trust 2005-1 M1
0.76%		02/25/35	3		4,425,374		4,346,706
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.47%		05/25/37	3		55,000		25,772
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.44%		06/25/37	3		19,057,200		9,155,651
Mid-State Trust 2004-1 B
8.90%		08/15/37			923,336		915,361
Mid-State Trust 2006-1 A
5.79%		10/15/40	4		9,277,122		8,934,072

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Morgan Stanley ABS Capital I 2004-NC2 M2
2.06%		12/25/33	3	$	189,772	$	96,280
Morgan Stanley ABS Capital I 2007-HE7 M2
2.26%		07/25/37	3		3,525,000		239,346
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%		07/25/47	3		13,532,865		10,002,662
Nationstar Home Equity Loan Trust 2007-A AV1
0.32%		03/25/37	3		1,078		1,072
Nationstar Home Equity Loan Trust 2007-A AV4
0.49%		03/25/37	3		5,928,000		3,543,009
Nationstar Home Equity Loan Trust 2007-B 2AV1
0.38%		04/25/37	3		292,400		285,001
Nationstar Home Equity Loan Trust 2007-C 2AV1
0.32%		06/25/37	3		36,180		35,593
Nationstar Home Equity Loan Trust 2007-C 2AV3
0.44%		06/25/37	3		7,807,200		4,708,304
Park Place Securities, Inc. 2004-MHQ1 M1
0.96%		12/25/34	3		9,240,940		9,109,885
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%		03/25/30	4,6,7		8,806,150		2,810
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.57%		06/25/47	3		70,000		32,348
Residential Asset Securities Corp. 2005-KS12 A2
0.51%		01/25/36	3		8,275,828		7,902,451
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			8,955		8,417
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	3,4		2,088,569		303,151
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
0.39%		05/25/37	3		8,236,538		6,278,520
SG Mortgage Securities Trust 2006-FRE1 A1B
0.53%		02/25/36	3		1,676,730		1,052,245
Soundview Home Equity Loan Trust 2006-OPT1 2A4
0.53%		03/25/36	3		7,300,000		4,258,221
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	3		12,000,000		10,252,678
Soundview Home Equity Loan Trust 2007-OPT5 M2
2.41%		10/25/37	3,4		90,000		8,115

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 19

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Specialty Underwriting & Residential Finance 2005-AB1 A1C
0.60%		03/25/36	3	$	6,640,098	$	6,169,279
Structured Asset Securities Corp. 2005-S2 M2
0.93%		06/25/35	3		2,569,276		2,426,955
Structured Asset Securities Corp. 2007-BC2 A3
0.39%		03/25/37	3		1,000,000		825,990
Terwin Mortgage Trust 2004-7HE A1
0.81%		07/25/34	3,4		142,962		124,628
Terwin Mortgage Trust 2005-9HGS A1
4.00%		08/25/35	3,4		318,734		309,604
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	2,3,4		2,263,333		2,096,486
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	3,4		5,210,833		4,693,029
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	3,4		3,409,115		3,152,441
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	3		9,423,624		9,219,650
Wells Fargo Home Equity Trust 2007-2 A1
0.35%		04/25/37	3		670,481		651,150
Total Asset-Backed Securities
(Cost $324,679,200)							276,613,654
CORPORATES — 28.17%*
Banking — 5.09%
Ally Financial, Inc.
2.50%		12/01/14	3		1,424,000		1,274,551
Bank of America Corp. L (MTN)
5.65%		05/01/18			300,000		318,342
Bank of America N.A.
0.59%		06/15/17	3		2,500,000		2,094,570
BankAmerica Capital III
1.10%		01/15/27	3		2,881,000		2,045,017
BankAmerica Institutional Capital A
8.07%		12/31/26	4		5,250,000		5,473,125
Capital One Financial Corp.
7.38%		05/23/14			5,000,000		5,841,495
Chase Capital II B
0.97%		02/01/27	3		6,655,000		5,076,940
City National Corp.
5.13%		02/15/13			8,000,000		8,424,904
Credit Suisse/Guernsey 1 (Switzerland)
1.07%		05/29/49	2,3		8,390,000		5,925,438
Credit Suisse/New York (MTN) (Switzerland)
3.45%		07/02/12	2		1,825,000		1,898,662
5.00%		05/15/13	2		11,000,000		11,991,166

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Deutsche Bank AG/London (Germany)
4.88%		05/20/13	2	$	7,640,000	$	8,304,229
JPMorgan Chase & Co.
4.75%		05/01/13			30,000		32,556
JPMorgan Chase & Co. C (MTN)
0.77%		07/23/13	3		1,500,000		1,467,900
Nationsbank Capital Trust III
1.08%		01/15/27	3		7,650,000		5,378,730
NB Capital Trust II
7.83%		12/15/26			3,200,000		3,308,160
Royal Bank of Scotland Plc (The) (United Kingdom)
4.88%		03/16/15	2		7,117,000		7,495,069
Royal Bank of Scotland Plc (The) 2 (United Kingdom)
3.40%		08/23/13	2		1,750,000		1,795,339
Wachovia Corp. (MTN)
5.50%		05/01/13			5,655,000		6,219,714
Westpac Banking Corp. (Australia)
2.10%		08/02/13	2		5,000,000		5,078,040
							89,443,947
Communications — 1.10%
Cellco Partnership/Verizon Wireless Capital LLC
3.75%		05/20/11			5,440,000		5,548,784
Qwest Corp.
7.88%		09/01/11			8,995,000		9,545,944
Telecom Italia Capital SA (Luxembourg)
6.20%		07/18/11	2		4,060,000		4,207,183
							19,301,911
Electric — 1.85%
AES Corp. (The)
8.75%		05/15/13	4		92,000		93,610
Cedar Brakes I LLC
8.50%		02/15/14	4		1,772,066		1,830,416
Cedar Brakes II LLC
9.88%		09/01/13	4		5,220,242		5,452,251
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	4		101,334		96,830
KCP&L Greater Missouri Operations Co.
7.95%		02/01/11			2,500,000		2,553,165
11.88%		07/01/12			7,149,000		8,230,122
Mirant Mid Atlantic Pass-Through Trust A
8.63%		06/30/12			2,506,291		2,575,214
NiSource Finance Corp.
7.88%		11/15/10			2,050,000		2,064,237
10.75%		03/15/16			3,970,000		5,249,602

See accompanying notes to Schedule of Portfolio Investments.

20 / Semi-Annual Report September 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
W3A Funding Corp.
8.09%		01/02/17		$	4,332,070	$	4,409,107
							32,554,554
Energy — 1.25%
Allis-Chalmers Energy, Inc.
9.00%		01/15/14			450,000		456,750
Aquila Canada Finance Corp. (Canada)
7.75%		06/15/11	2		1,835,000		1,910,987
Comstock Resources, Inc.
6.88%		03/01/12			150,000		150,567
Corral Petroleum Holdings AB (Sweden)
2.00%		09/18/11	2,4		204,698		189,857
Florida Gas Transmission, Co. LLC
4.00%		07/15/15	4		3,500,000		3,696,935
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%		11/01/15	4		575,000		583,625
Massey Energy Co.
6.88%		12/15/13			375,000		386,250
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	2		250,000		187,500
Premcor Refining Group, Inc. (The)
6.13%		05/01/11			8,000,000		8,173,952
Sonat, Inc.
7.63%		07/15/11			350,000		364,592
Tennessee Gas Pipeline Co.
8.00%		02/01/16			4,848,000		5,793,360
							21,894,375
Finance — 12.12%
Bear Stearns Cos., Inc. (The) (MTN)
6.95%		08/10/12			10,000,000		11,046,690
Cantor Fitzgerald LP
6.38%		06/26/15	4		3,675,000		3,781,053
Citigroup, Inc.
5.30%		10/17/12			1,424,000		1,518,293
5.50%		04/11/13			11,034,000		11,844,745
5.50%		10/15/14			3,510,000		3,812,046
6.38%		08/12/14			10,500,000		11,714,558
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			5,660,000		6,048,432
General Electric Capital Corp.
1.88%		09/16/13			2,200,000		2,206,823
General Electric Capital Corp. (MTN)
0.43%		06/20/14	3		3,500,000		3,351,611
0.81%		05/05/26	3		6,300,000		4,934,003
General Electric Capital Corp. A (MTN)
0.55%		09/15/14	3		10,169,000		9,770,477

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp. E (MTN)
0.48%		03/20/14	3	$	5,500,000	$	5,239,894
General Electric Capital Corp. G (MTN)
0.47%		06/01/12	3		12,605,000		12,647,759
Goldman Sachs Group, Inc. (The)
0.74%		03/22/16			800,000		740,606
1.03%		01/12/15	3		2,500,000		2,394,060
1.06%		12/05/11	3		10,970,000		11,076,080
5.13%		01/15/15			1,400,000		1,517,046
5.45%		11/01/12			8,000,000		8,593,158
6.15%		04/01/18			2,500,000		2,777,233
International Lease Finance Corp.
6.50%		09/01/14	4		8,400,000		9,030,000
JPMorgan Chase Capital XIII M
1.24%		09/30/34	3		2,465,000		1,869,976
JPMorgan Chase Capital XXI U
1.42%		02/02/37	3		3,250,000		2,350,891
Lehman Brothers Holdings, Inc. (MTN)
0.00%		06/20/16	3,6,7		4,835,000		991,175
8.92%		02/16/17	6,7		4,198,000		860,590
11.00%		11/07/16	3,6,7		6,776,000		1,389,080
MBNA Capital A
8.28%		12/01/26			1,074,000		1,108,905
MBNA Capital B
1.27%		02/01/27	3		2,891,000		2,002,596
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	3		30,000		32,925
8.95%		05/18/17	3		30,000		33,075
9.57%		06/06/17	3		5,184,000		5,844,960
Morgan Stanley
0.64%		06/20/12	3		9,655,000		9,715,257
0.69%		02/10/12	3		18,310,000		18,396,698
0.77%		01/18/11	3		4,405,000		4,405,273
1.01%		10/15/15	3		2,830,000		2,598,899
4.20%		11/20/14			750,000		778,276
6.00%		05/13/14			1,325,000		1,457,881
Morgan Stanley (MTN)
5.63%		01/09/12			5,000,000		5,286,556
Morgan Stanley 1
1.15%		12/01/11	3		4,115,000		4,158,483
Morgan Stanley G (MTN)
0.83%		01/09/14	3		1,405,000		1,329,082
Pemex Finance Ltd. (Cayman Islands)
8.88%		11/15/10	2		488,933		494,052
Power Receivable Finance LLC
6.29%		01/01/12	4		678,503		678,717
6.29%		01/01/12			712,188		726,882
Prudential Holdings LLC (AGM)
1.17%		12/18/17	3,4		10,665,000		9,235,815

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 21

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
UBS AG BKNT (Switzerland)
2.25%		08/12/13	2	$	5,750,000	$	5,812,221
Woodbourne Capital Trust I
2.73%		04/08/49	4,5		1,000,000		430,000
Woodbourne Capital Trust II
2.73%		04/08/49	4,5		1,000,000		430,000
Woodbourne Capital Trust IV
2.73%		04/08/49	4,5		1,000,000		430,000
ZFS Finance USA Trust I
6.15%		12/15/65	3,4		6,000,000		5,970,000
							212,862,832
Health Care — 0.81%
Boston Scientific Corp.
6.00%		06/15/11			5,950,000		6,118,617
CHS/Community Health Systems, Inc.
8.88%		07/15/15			250,000		265,313
UnitedHealth Group, Inc.
4.88%		02/15/13			7,348,000		7,901,841
							14,285,771
Insurance — 1.63%
Berkshire Hathaway, Inc.
0.83%		02/11/13	3		5,475,000		5,505,468
Farmers Insurance Exchange
6.00%		08/01/14	4		6,315,000		6,641,213
Metropolitan Life Global Funding I
2.19%		06/10/11	3,4		2,000,000		2,023,798
2.88%		09/17/12	4		2,810,000		2,880,196
5.13%		04/10/13	4		4,550,000		4,955,141
5.13%		06/10/14	4		3,230,000		3,586,356
Nationwide Mutual Insurance Co.
5.81%		12/15/24	3,4		3,550,000		3,074,722
							28,666,894
Materials — 0.01%
Lyondell Chemical Co.
11.00%		05/01/18			93,569		103,979
Real Estate Investment Trust (REIT) — 3.23%
AvalonBay Communities, Inc. (MTN)
6.13%		11/01/12			1,057,000		1,152,559
Duke Realty LP
5.88%		08/15/12			956,000		1,008,364
6.25%		05/15/13			9,000,000		9,744,030
HCP, Inc.
6.45%		06/25/12			4,000,000		4,256,024
HCP, Inc. (MTN)
6.30%		09/15/16			7,600,000		8,265,106

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Health Care REIT, Inc.
4.70%		09/15/17		$	6,750,000	$	6,831,095
Healthcare Realty Trust, Inc.
6.50%		01/17/17			2,375,000		2,577,763
Kimco Realty Corp. C (MTN)
5.19%		10/01/13			6,000,000		6,418,385
Liberty Property LP
5.13%		03/02/15			4,180,000		4,482,619
Shurgard Storage Centers LLC
7.75%		02/22/11			1,500,000		1,544,120
WEA Finance LLC/WT Finance
7.50%		06/02/14	4		4,000,000		4,671,507
Westfield Capital Corp. Ltd. (Multinational)
4.38%		11/15/10	2,4		5,690,000		5,712,965
							56,664,537
Services — 0.03%
Mobile Mini, Inc.
6.88%		05/01/15			375,000		369,375
United Rentals North America, Inc.
7.00%		02/15/14			125,000		125,625
							495,000
Transportation — 1.05%
American Airlines Pass-Through Trust 2001-02
6.98%		04/01/11	8		10,790		11,006
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			181,311		188,563
Delta Air Lines, Inc. 2001 A1
6.62%		03/18/11			2,265,088		2,299,065
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			8,751,000		9,232,305
Northwest Airlines, Inc. 2001 1A-2
6.84%		04/01/11			1,500,000		1,537,500
UAL Pass-Through Trust 2009-1
10.40%		11/01/16			4,645,555		5,214,636
							18,483,075
Total Corporates
(Cost $485,607,882)							494,756,875
BANK LOANS — 0.59%*
Communications — 0.07%
Charter Communications, Inc. Term Loan 3rd Lien
2.76%		09/06/14	9		500,000		467,188
Dex Media West LLC Term Loan
7.23%		10/24/14	3,9		799,214		696,760

See accompanying notes to Schedule of Portfolio Investments.

22 / Semi-Annual Report September 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Univision Communications, Inc. 1st Lien Strip
2.51%		09/29/14	9	$	123,423	$	108,437
							1,272,385
Electric — 0.04%
TPF Generation Holdings LLC 2nd Lien
4.54%		12/15/14	9		250,000		228,281
TXU Energy Term Loan B3
3.76%		10/10/14	9		485,000		376,346
							604,627
Health Care — 0.36%
Carestream Health, Inc. Term Loan
5.51%		10/30/13	9		500,000		471,250
HCA Term Loan A
1.79%		11/17/12	9		6,081,382		5,881,901
							6,353,151
Insurance — 0.01%
Asurion Corp. Term Loan
3.29%		07/07/14	9		247,500		236,981
Services — 0.04%
Cengage Learning Term Loan B
2.54%		07/03/14	9		727,500		655,328
Transportation — 0.07%
Delta Air Lines, Inc. Term Loan 1st Lien
1.96%		04/30/12	9		960,102		928,899
United Air Lines, Inc.
2.31%		02/01/14	9		343,611		324,426
							1,253,325
Total Bank Loans (Cost $10,576,557)							10,375,797
MORTGAGE-BACKED — 33.55%**
Commercial Mortgage-Backed — 8.64%
Bayview Commercial Asset Trust 2005-1A A1
0.56%		04/25/35	3,4		1,114,859		890,318
Bayview Commercial Asset Trust 2005-2A A1
0.57%		08/25/35	3,4		588,483		426,085
Bayview Commercial Asset Trust 2006-3A A1
0.51%		10/25/36	3,4		4,866,833		3,301,214
Bayview Commercial Asset Trust 2007-1 A1
0.48%		03/25/37	3,4		140,304		102,150
Bayview Commercial Asset Trust 2007-3 A1
0.50%		07/25/37	3,4		671,848		508,049
Bear Stearns Commercial Mortgage
Securities 2007-T28 AAB
5.75%		09/11/42			5,247,000		5,861,254

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities, Inc. 2003-T12 A4
4.68%		08/13/39	3	$	7,195,000	$	7,743,694
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.30%		10/12/42	3		7,620,000		8,416,737
Credit Suisse First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%		11/15/37			2,817,953		2,815,880
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			2,215,000		2,352,613
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%		11/15/36			7,975,000		8,441,128
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			3,678,345		3,685,854
GE Capital Commercial Mortgage Corp. 2001-2 A4
6.29%		08/11/33			14,263,903		14,645,086
GE Capital Commercial Mortgage Corp. 2002-1A A3
6.27%		12/10/35			3,142,616		3,318,581
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.52%		11/10/45	3		2,235,000		2,356,181
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%		09/15/35			113,324		113,229
GMAC Commercial Mortgage Securities, Inc. 2001-C2 A2
6.70%		04/15/34			5,587,475		5,694,152
GMAC Commercial Mortgage Securities, Inc. 2004-C1 A4
4.91%		03/10/38			410,000		438,724
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	3		7,355,000		8,067,833
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
6.08%		07/10/38	3		5,955,000		6,534,539
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			9,370,000		9,748,095
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.93%		02/12/49	3		1,918,000		2,018,246
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%		02/15/51	3		1,375,000		1,444,944

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 23

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Corp. 2007-LDPX A3
5.42%		01/15/49		$	1,610,000	$	1,678,216
LB-UBS Commercial Mortgage Trust 2001-C2 A2
6.65%		11/15/27			3,551,379		3,602,634
Merrill Lynch Mortgage Trust 2002-MW1 A4
5.62%		07/12/34			8,375,000		8,830,478
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%		12/12/49	3		4,840,000		5,022,416
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%		06/12/50	3		3,895,000		3,980,200
Morgan Stanley Capital I 2005-T19 A4A
4.89%		06/12/47			405,000		441,098
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			2,570,000		2,725,997
Morgan Stanley Capital I 2007-T27 A4
5.80%		06/11/42	3		265,000		294,393
Morgan Stanley Dean Witter Capital I 2001-TOP3 A4
6.39%		07/15/33			4,091,317		4,204,500
TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3
6.04%		08/15/39	3		10,500,000		11,750,761
Wachovia Bank Commercial Mortgage Trust 2002-C1 A4
6.29%		04/15/34			9,537,000		10,090,061
Wachovia Bank Commercial Mortgage Trust 2004-C10 A3
4.39%		02/15/41			150,097		151,876
							151,697,216
Non-Agency Mortgage-Backed — 10.28%
Adjustable Rate Mortgage Trust 2005-1 1A1
3.46%		05/25/35	3		10,475,064		8,714,597
American Home Mortgage Assets 2007-2 A1
0.38%		03/25/47	3		20,704,887		11,263,869
American Home Mortgage Assets 2007-4 A2
0.45%		08/25/37	3		22,500,000		16,431,086
American Home Mortgage Investment Trust 2004-2 2A
2.28%		02/25/44	3		13,409,883		12,315,029
Banc of America Funding Corp. 2007-5 3A1
6.00%		07/25/37			9,813,874		7,447,876
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			8,714,449		6,569,226
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		05/31/10	2,4,5		474,397		37,952

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1
0.46%		11/25/36	3	$	13,067,065	$	7,597,525
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1
0.47%		06/25/37	3		16,032,286		9,179,526
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	2,4,5		9,000		895
BlackRock Capital Finance LP 1997-R2 AP
1.21%		12/25/35	3,4,5		14,653		14,661
Chase Mortgage Finance Corp. 2007-A2 2A3
3.24%		07/25/37	3		11,097,434		10,941,682
Chase Mortgage Finance Corp. 2007-S2 1A7
6.00%		03/25/37			1,790,404		1,787,865
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.44%		05/25/36	3,4		3,240,253		1,769,724
Chevy Chase Mortgage Funding Corp. 2005-AA B2
0.88%		01/25/36	3,4		697,876		224,628
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.14%		02/25/34	3		533,214		529,401
Countrywide Alternative Loan Trust 2005-27 2A1
1.74%		08/25/35	3		2,301,014		1,274,992
Countrywide Alternative Loan Trust 2005-51 2A2A
0.55%		11/20/35	3		43,904		43,074
Countrywide Alternative Loan Trust 2005-59 1A1
0.59%		11/20/35	3		9,768,335		5,592,035
Countrywide Alternative Loan Trust 2005-72 A1
0.53%		01/25/36	3		862,112		565,957
Countrywide Alternative Loan Trust 2006-46 A4
6.00%		02/25/47			8,198,953		6,286,119
Countrywide Alternative Loan Trust 2006-OA12 A2
0.47%		09/20/46	3		4,841,090		2,119,868
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.09%		08/25/34	3		105,417		107,162
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
3.26%		01/25/26	3,4,5		97,333		61
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
0.47%		03/19/45	3		3,743,789		2,281,658

See accompanying notes to Schedule of Portfolio Investments.

24 / Semi-Annual Report September 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Downey Savings & Loan Association
Mortgage Loan Trust 2006-AR1 2A1A
1.31%		04/19/47	3	$	85,996	$	53,412
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.55%		09/25/34	3		34,585		28,971
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%		12/25/17			27,069		27,698
Harborview Mortgage Loan Trust 2006-3 2A1A
6.23%		06/19/36	3		2,882,118		1,763,809
Harborview Mortgage Loan Trust 2007-2 2A1A
0.42%		05/25/38	3		15,307,166		8,973,428
Impac CMB Trust 2005-5 A1
0.58%		08/25/35	3		5,312,194		4,008,478
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.65%		12/25/34	3		619,669		378,381
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.66%		11/25/34	3		2,294,397		1,509,502
JPMorgan Mortgage Trust 2005-A3 5A3
2.83%		06/25/35	3		155,453		126,770
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%		01/25/34	3		127,382		129,083
MASTR Adjustable Rate Mortgages Trust
2004-1 2A1
4.48%		01/25/34	3		265,027		247,556
MASTR Adjustable Rate Mortgages Trust
2004-5 3A1
2.77%		06/25/34	3		271,047		228,644
Mastr Adjustable Rate Mortgages Trust
2004-9 1A4
0.86%		11/25/34	3		5,006,594		4,834,472
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%		10/25/32	3		836,597		719,838
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.33%		06/25/37	3		7,524,982		4,061,251
Residential Asset Mortgage Products, Inc.
2004-SL4 A3
6.50%		07/25/32			2,437,853		2,537,736
Residential Asset Mortgage Products, Inc.
2005-SL1 A5
6.50%		05/25/32			4,774,459		4,482,169
Structured Asset Mortgage Investments, Inc.
2005-AR7 1A1
2.76%		12/27/35	3		17,071,652		10,541,113

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments, Inc.
2006-AR8 A1A
0.46%		10/25/36	3	$	15,047,878	$	8,971,612
Structured Asset Securities Corp. 2002-5A 6A
6.16%		04/25/32	3		24,965		24,002
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.14%		04/25/47	3		15,175,313		8,555,978
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.79%		01/25/33	3		451,341		437,853
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
0.59%		01/25/45	3		1,388,367		1,117,952
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.30%		07/25/46	3		10,517,516		3,736,108
							180,592,284
U.S. Agency Mortgage-Backed — 14.63%
Fannie Mae (TBA)
3.50%		10/25/25			16,435,000		16,958,866
3.50%		11/25/25			16,440,000		16,902,375
Fannie Mae 1997-76 FS
0.73%		09/17/27	3		58,801		58,659
Fannie Mae 2006-B2 AB
5.50%		05/25/14			4,622,444		4,719,626
Fannie Mae 2007-64 FA
0.73%		07/25/37	3		7,924,524		7,886,288
Fannie Mae 2010-26 S (IO)
5.97%		11/25/36	3		78,694,646		10,164,389
Fannie Mae 2010-43 DP
5.00%		05/25/40			13,570,852		14,708,958
Fannie Mae 2010-95 S (IO)
6.34%		09/25/40	3		39,295,843		6,251,399
Fannie Mae G92-10 Z
7.75%		01/25/22			15,550		17,554
Fannie Mae Pool 555177
2.54%		01/01/33	3		68,027		70,772
Fannie Mae Pool 555284
7.50%		10/01/17			3,964		4,263
Fannie Mae Pool 555424
5.50%		05/01/33			18,571,290		19,932,218
Fannie Mae Pool 567002
8.00%		05/01/23			123,390		141,195
Fannie Mae Pool 735861
6.50%		09/01/33			54,176		60,594
Fannie Mae Pool 745383
2.85%		12/01/35	3		2,655,053		2,785,704

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 25

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 770900
2.44%		04/01/34	3	$	652,596	$	673,019
Fannie Mae Pool 805256
3.27%		01/01/35	3		823,485		856,733
Fannie Mae Pool 890141
5.50%		12/01/20			17,321,439		18,766,041
Fannie Mae Pool 942553
5.94%		08/01/37	3		11,261,597		12,115,652
Fannie Mae Pool 995793
5.50%		09/01/36			14,095,719		15,128,672
Fannie Mae Pool AD0538
6.00%		05/01/24			6,497,149		7,019,458
Freddie Mac 2174 PN
6.00%		07/15/29			3,208,869		3,472,168
Freddie Mac 2454 FQ
1.26%		06/15/31	3		54,376		55,315
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			398,770		11,456
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			31,528		2,828
Freddie Mac 3346 FA
0.49%		02/15/19	3		16,761,923		16,756,113
Freddie Mac 3626 MA
5.00%		02/15/30			9,709,948		10,310,853
Freddie Mac 3672 A
6.00%		05/15/40			9,515,193		10,189,324
Freddie Mac Gold A45796
7.00%		01/01/33			35,726		40,415
Freddie Mac Gold C46104
6.50%		09/01/29			40,002		44,422
Freddie Mac Gold G13032
6.00%		09/01/22			10,456,087		11,303,602
Freddie Mac Gold G13475
6.00%		01/01/24			1,286,398		1,396,689
Freddie Mac Non Gold Pool 1B1928
2.93%		08/01/34	3		2,325,127		2,434,150
Freddie Mac Non Gold Pool 1G2627
6.05%		03/01/37	3		6,949,780		7,342,070
Freddie Mac Non Gold Pool 1J1393
6.23%		10/01/36	3		7,948,940		8,414,017
Freddie Mac Non Gold Pool 1J1509
6.32%		11/01/36	3		5,802,757		6,179,464
Freddie Mac Non Gold Pool 1L0113
3.39%		05/01/35	3		2,317,068		2,434,863
Freddie Mac Non Gold Pool 1N0371
6.20%		01/01/37	3		7,107,086		7,544,892
Freddie Mac Non Gold Pool 1N1446
4.66%		01/01/37	3		6,158,999		6,442,152

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 1Q0196
5.78%		02/01/37	3	$	5,169,569	$	5,491,965
Freddie Mac Non Gold Pool 786781
3.27%		08/01/29	3		167,734		175,742
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			515,734		28,908
Ginnie Mae I Pool 422972
6.50%		07/15/29			70,401		79,098
Ginnie Mae II Pool 1849
8.50%		08/20/24			1,740		2,056
Ginnie Mae II Pool 2020
8.50%		06/20/25			3,621		4,298
Ginnie Mae II Pool 2286
8.50%		09/20/26			3,344		3,978
Ginnie Mae II Pool 2487
8.50%		09/20/27			21,636		25,797
Ginnie Mae II Pool 80059
3.38%		04/20/27	3		55,886		57,670
Ginnie Mae II Pool 80589
3.50%		03/20/32	3		157,836		163,343
Ginnie Mae II Pool 80610
3.38%		06/20/32	3		39,374		40,632
Ginnie Mae II Pool 80968
3.63%		07/20/34	3		1,088,889		1,121,988
Ginnie Mae II Pool 81201
3.00%		01/20/35	3		27,165		27,972
Ginnie Mae II Pool 8599
3.38%		02/20/25	3		48,147		49,781
							256,870,456
Total Mortgage-Backed (Cost $634,172,052)							589,159,956
MUNICIPAL BONDS — 1.01%*
California — 0.48%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.45%		04/01/15			1,715,000		1,849,113
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
4.85%		10/01/14			4,500,000		4,748,355
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%		03/01/16			1,775,000		1,912,135
							8,509,603
Illinois — 0.53%
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			8,900,000		9,228,054

See accompanying notes to Schedule of Portfolio Investments.

26 / Semi-Annual Report September 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
Total Municipal Bonds (Cost $16,971,930)						$	17,737,657
U.S. AGENCY SECURITIES — 8.37%
Fannie Mae
0.28%		08/23/12	3	$	18,620,000		18,624,500
Fannie Mae 1
2.00%		04/19/13			15,795,000		16,020,500
Federal Home Loan Bank
0.37%		06/15/11	3		32,665,000		32,693,517
Federal Home Loan Bank (STEP)
0.75%		03/28/13			6,435,000		6,446,840
Freddie Mac
0.24%		05/11/12	3		16,805,000		16,802,631
0.33%		11/07/11	3		8,880,000		8,886,722
0.58%		02/03/12	3		14,440,000		14,453,371
1.00%		08/28/12			16,365,000		16,521,450
1.25%		01/26/12			16,405,000		16,444,651
Total U.S. Agency Securities (Cost $146,550,560)							146,894,182
U.S. TREASURY SECURITIES — 8.47%
U.S. Treasury Notes — 8.47%
U.S. Treasury Notes
0.38%		09/30/12			100,000,000		99,902,340
0.88%		04/30/11			11,025,000		11,067,421
1.00%		08/31/11			11,025,000		11,099,937
1.25%		09/30/15			26,770,000		26,732,356
Total U.S. Treasury Securities (Cost $148,749,686)							148,802,054
Total Bonds – 95.91% (Cost $1,767,307,867)							1,684,340,175

Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 6.72%
Money Market Fund — 1.92%
Dreyfus Cash Advantage Fund
0.25%10			3,110,000		3,110,000
DWS Money Market Series-Institutional
0.21%10			6,415,000		6,415,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.16%10,11			24,226,100		24,226,100
					33,751,100

Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Agency Discount Notes — 4.75%
Fannie Mae
0.29%12		07/01/11		$	8,425,000	$	8,411,587
Federal Home Loan Bank
0.25%12		01/21/11			75,000,000		74,967,300
							83,378,887
U.S. Treasury Bills — 0.05%
U.S. Treasury Bills
0.18%12		02/10/11	13		840,000		839,594
Total Short-Term Investments (Cost $117,939,848)							117,969,581
Total Investments – 102.63% (Cost $1,885,247,715)1							1,802,309,756
Liabilities in Excess of Other Assets – (2.63)%							(46,141,489	)
Net Assets – 100.00%						$	1,756,168,267

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
615	U.S. Treasury Two Year Note, Expiration December 2010		$247,837
	Net unrealized appreciation		$247,837

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation/ (Depreciation)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
		09/20/12		$—		$4,250		$  (16,010)		$  (16,010)
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		12/20/12		—		1,250		(1,778)		(1,778)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		12/20/12		—		2,750		(6,398)		(6,398)
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		—		1,850		(99,661)		(99,661)
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		—		2,800		(145,225)		(145,225)

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 27

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s)b		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
		12/20/12		$      –			$1,425		$  (12,178)		$	(12,178	)
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		–			1,325		(10,724	)		(10,724	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
		03/20/13		–			900		(36,371	)		(36,371	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
		03/20/13		–			900		(36,371	)		(36,371	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
		06/20/13		–			1,600		(51,114	)		(51,114	)
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG
		12/20/13		–			275		(25,742	)		(25,742	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
		03/20/14		–			275		(13,517	)		(13,517	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
		12/20/14		(39,920	)		2,930		(18,649	)		(58,569	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
		12/20/14		(39,988	)		2,935		(18,681	)		(58,669	)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
		03/20/15		–			1,800		(108,253	)		(108,253	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
		09/20/16		43,472			1,170		68,639			112,111
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
		09/20/16		46,074			895		39,686			85,760
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		45,817			890		39,464			85,281

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation/ (Depreciation)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		$137,123		$  4,200		$  313,314	$	450,437
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		126,056		3,600		260,032		386,088
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		33,903		1,900		169,866		203,769
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston
		09/20/16		64,788		1,900		138,981		203,769
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		79,594		2,275		164,393		243,987
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
		09/20/16		25,415		9,950		657,296		682,711
				$522,334		$54,045		$1,250,999		$1,773,333

Expiration Date	Credit Ratinga		Premiums Paid/ (Received)	Notional Amount (000’s)b		Appreciation		ValueC
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10		AAA	$–		$3,250		$  47,112		$  47,112
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire
Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11		AAA	–		5,500		87,028		87,028
			$–		$8,750		$134,140		$134,140

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation		ValueC
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
		01/25/38		$(3,480,334)		$5,776		$497,672		$(2,982,662)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
		01/25/38		(2,527,374)		3,950		483,527		(2,043,847)

See accompanying notes to Schedule of Portfolio Investments.

28 / Semi-Annual Report September 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued) The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	$	(3,965,593	)	$	5,925	$	899,823	$	(3,065,770	)
		$	(9,973,301	)	$	15,651	$	1,881,022	$	(8,092,279	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $1,885,405,984 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	55,449,443
Gross unrealized depreciation		(138,545,671	)
Net unrealized depreciation	$	(83,096,228	)

² U.S. dollar-denominated security issued by foreign-domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at September 30, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2010, was $153,933,618, representing 8.77% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $6,573,171, which is 0.37% of total net assets.

⁶ Security is currently in default with regard to scheduled interest or principal payments.

⁷ Non-income producing security.

⁸ Expected maturity date.

⁹ Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of   Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/03/07	Asurion Corp. Term Loan,
	3.29%, 07/07/14	$	246,168	$	236,981		0.01	%
06/01/07	Carestream Health, Inc.
	Term Loan, 5.51%,
	10/30/13		503,317		471,250		0.03	%
06/27/07	Cengage Learning Term
	Loan B, 2.54%, 07/03/14		723,573		655,328		0.04	%
06/04/07	Charter Communications,
	Inc. Term Loan 3rd Lien,
	2.76%, 09/06/14		501,699		467,188		0.03	%
04/25/07	Delta Air Lines, Inc. Term
	Loan 1st Lien, 1.96%,
	04/30/12		960,102		928,899		0.05	%
12/30/08	Dex Media West LLC
	Term Loan, 7.23%,
	10/24/14		510,459		696,760		0.04	%
10/22/07	HCA Term Loan A, 1.79%,
	11/17/12		5,941,023		5,881,901		0.33	%
11/06/07	TPF Generation Holdings
	LLC 2nd Lien, 4.54%,
	12/15/14		243,689		228,281		0.02	%
10/31/07	TXU Energy Term Loan
	B3, 3.76%, 10/10/14		485,000		376,346		0.02	%
02/01/07	United Air Lines, Inc.,
	2.31%, 02/01/14		343,611		324,426		0.02	%
11/30/07	Univision Communica-
	tions, Inc. 1st Lien Strip,
	2.51%, 09/29/14		117,916		108,437		0.00	%
		$	10,576,557	$	10,375,797		0.59	%

¹⁰  Represents the current yield as of September 30, 2010.

¹¹  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $24,226,100.

¹²  Represents annualized yield at date of purchase.

¹³  Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $689,641.

^†  Fair valued security. The aggregate value of fair valued securities is $24,916,883, which is 1.42% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.)

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 29

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BONDS – 104.12%
ASSET-BACKED SECURITIES — 14.28%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33		$	2,433	$	2,431
Aerco Ltd. 2A A3 (United Kingdom)
0.72%		07/15/25	2,3,4		1,528,670		1,073,891
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	2,3,4		623,750		577,817
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.52%		06/14/37	3,4,†		761,885		643,798
Ameriquest Mortgage Securities, Inc. 2005-R6 A2
0.46%		08/25/35	3		832,048		795,566
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.65%		11/14/33	2,3,4,†		944,309		782,602
Bayview Financial Acquisition Trust 2005-A A1
1.26%		02/28/40	3,4		699,827		380,934
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
1.26%		12/28/40	3,4		1,140,787		625,045
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%		12/25/34			12,501		12,253
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%		02/10/38	2,4,†		530,552		504,994
Chase Funding Mortgage Loan Asset-Backed Certificates 2004-2 1A4
5.32%		02/25/35			14,010		13,637
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	3		1,526,500		832,155
Conseco Finance 2001-D A5
6.19%		11/15/32	3		140,203		144,062
Conseco Finance 2002-A A5 (STEP)
7.55%		04/15/32			257,671		276,816
Conseco Finance 2002-C BF2
8.00%		06/15/32	3,4		303,039		232,596
Conseco Finance 2002-C MF2
6.98%		06/15/32	3		15,287		15,458
Conseco Finance Home Loan Trust 2000-E M1
8.13%		08/15/31	3		104,232		103,065
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	3		1,060,000		1,125,705
Countrywide Asset-Backed Certificates 2004-AB1 2A3
1.30%		02/25/35	3		621,688		611,781

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.32%		04/25/37	3	$	430,504	$	306,659
Discover Card Master Trust 2009-A2 A
1.56%		02/17/15	3		325,000		330,489
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1
0.49%		12/25/37	3		2,500,000		81,555
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.56%		04/17/19	2,3,4		394,167		376,640
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	2,3,4		594,167		547,427
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	2,3,4,†		776,071		653,852
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20			27		25
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%		01/15/29			461,945		456,753
HSBC Home Equity Loan Trust 2006-4 A3V
0.41%		03/20/36	3		1,500,000		1,420,195
HSBC Home Equity Loan Trust 2007-2 M1
0.57%		07/20/36	3		1,110,000		680,205
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%		02/25/28			521,343		487,979
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%		02/25/28			172,719		162,482
JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.45%		05/25/35	3		1,012,382		900,600
JPMorgan Mortgage Acquisition Corp. 2007-CH4 A3
0.37%		05/25/37	3		1,195,000		774,787
Keystone Owner Trust 1998-P1 M2
7.93%		05/25/25	4		17,558		17,558
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.44%		06/25/37	3		811,700		389,965
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
0.51%		06/25/37	3		1,500,000		714,541
Mid-State Trust 11 A1
4.86%		07/15/38			1,331,267		1,342,897
Mid-State Trust 2004-1 A
6.01%		08/15/37			315,878		329,140
Mid-State Trust 2004-1 B
8.90%		08/15/37			874,740		867,184

See accompanying notes to Schedule of Portfolio Investments.

30 / Semi-Annual Report September 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Mid-State Trust 2005-1 M2
7.08%		01/15/40		$	1,056,311	$	981,652
Nationstar Home Equity Loan Trust 2006-B AV4
0.54%		09/25/36	3		2,450,000		1,342,963
Nationstar Home Equity Loan Trust 2007-C 2AV2
0.39%		06/25/37	3		1,150,000		912,844
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			33,799		33,953
Option One Mortgage Loan Trust 2007-6 2A4
0.51%		07/25/37	3		2,159,800		916,677
Peach Finance Co. 2000 A
4.71%		04/15/48	4,†		825,042		844,766
Residential Asset Mortgage Products, Inc. 2002-RS4 AI5 (STEP)
6.16%		08/25/32			2,220		1,318
Residential Asset Mortgage Products, Inc. 2003-RS1 AI5 (STEP)
5.69%		03/25/33			15,836		8,394
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP)
3.87%		07/25/33			22,790		21,317
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	3,4		118,352		17,178
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.41%		07/25/36	3		2,700,000		1,015,799
SG Mortgage Securities Trust 2006-FRE1 A1B
0.53%		02/25/36	3		85,986		53,961
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	3		1,680,000		1,435,375
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.41%		06/25/37	3		1,872,000		790,113
Soundview Home Equity Loan Trust 2007-OPT3 2A2
0.39%		08/25/37	3		1,170,000		821,960
SVO VOI Mortgage Corp. 2003-AA A
3.95%		02/20/19	4		46,277		46,733
Terwin Mortgage Trust 2005-9HGS A1
4.00%		08/25/35	3,4		22,272		21,634
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	2,3,4		490,000		453,879
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	3,4		693,750		624,812
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	3,4		427,865		395,650

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	3	$	3,657	$	1,622
UCFC Home Equity Loan 1998-D MF1
6.91%		04/15/30			118,429		112,830
Wells Fargo Home Equity Trust 2006-1 A3
0.41%		05/25/36	3		426,541		414,380
Total Asset-Backed Securities
(Cost $30,892,609)							30,865,349
CORPORATES — 31.43%*
Banking — 5.89%
ANZ National International Ltd. (New Zealand)
6.20%		07/19/13	2,4		600,000		667,259
BAC Capital Trust XV
1.10%		06/01/56	3		1,432,000		909,273
Bank of America N.A.
0.59%		06/15/17	3		600,000		502,697
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	2		850,000		943,143
Capital One Financial Corp. (MTN)
5.70%		09/15/11			876,000		911,767
Credit Suisse/Guernsey 1 (Switzerland)
1.07%		05/29/49	2,3		770,000		543,813
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	2		700,000		763,074
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	2		500,000		560,547
6.00%		02/15/18	2		575,000		635,964
Deutsche Bank AG/London (Germany)
4.88%		05/20/13	2		760,000		826,075
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	3,4		120,000		105,000
HBOS Plc (United Kingdom)
6.75%		05/21/18	2,4		915,000		920,743
JPMorgan Chase Bank N.A.
0.62%		06/13/16	3		600,000		558,440
6.00%		07/05/17			600,000		680,101
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%		12/29/49	2,3		650,000		604,500
Nationsbank Capital Trust III
1.08%		01/15/27	3		616,000		433,111
Royal Bank of Scotland Plc (The) (United Kingdom)
3.95%		09/21/15	2		1,000,000		1,012,802
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	2,4		825,000		902,528

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 31

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wachovia Corp. (MTN)
5.50%		05/01/13		$	239,000	$	262,867
							12,743,704
Communications — 0.71%
Cellco Partnership /Verizon Wireless Capital LLC
5.55%		02/01/14			350,000		396,104
Qwest Corp.
7.88%		09/01/11			575,000		610,219
Telecom Italia Capital SA (Luxembourg)
6.20%		07/18/11	2		520,000		538,851
							1,545,174
Electric — 3.12%
Cedar Brakes II LLC
9.88%		09/01/13	4		280,927		293,413
Entergy Louisiana LLC
5.83%		11/01/10			758,000		759,701
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			1,060,000		1,220,301
NiSource Finance Corp.
10.75%		03/15/16			900,000		1,190,086
PG&E Corp.
5.75%		04/01/14			910,000		1,024,052
Public Service Co. of New Mexico
7.95%		05/15/18			475,000		525,026
Southwestern Electric Power Co.
6.45%		01/15/19			534,000		620,304
Texas-New Mexico Power Co.
9.50%		04/01/19	4		800,000		1,053,588
Union Electric Co.
6.70%		02/01/19			54,000		65,760
							6,752,231
Energy — 2.29%
CenterPoint Energy Resources Corp. B
7.88%		04/01/13			450,000		518,473
Sabine Pass LNG LP
7.25%		11/30/13			935,000		906,950
Southern Union Co.
7.20%		11/01/66	3		910,000		821,275
Tennessee Gas Pipeline Co.
8.00%		02/01/16			1,000,000		1,195,000
Valero Energy Corp.
9.38%		03/15/19			1,071,000		1,369,838
Williams Cos., Inc. (The)
7.88%		09/01/21			112,000		136,252
							4,947,788

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 12.30%
Bear Stearns Cos. LLC (The)
7.25%		02/01/18		$	1,140,000	$	1,390,711
Citigroup Funding, Inc. 2
0.81%		04/30/12	3		655,000		659,090
Citigroup, Inc.
0.87%		08/25/36	3		205,000		130,729
5.50%		04/11/13			451,000		484,138
5.50%		10/15/14			371,000		402,926
6.00%		08/15/17			250,000		270,532
6.38%		08/12/14			535,000		596,885
6.50%		08/19/13			408,000		451,085
8.50%		05/22/19			300,000		371,495
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			625,000		667,892
Ford Motor Credit Co. LLC
8.63%		11/01/10			319,000		320,567
General Electric Capital Corp.
5.63%		05/01/18			730,000		812,140
General Electric Capital Corp. (MTN)
1.24%		05/22/13	3		340,000		339,854
6.88%		01/10/39			300,000		345,674
General Electric Capital Corp. A (MTN)
0.55%		09/15/14	3		1,394,000		1,339,369
General Electric Capital Corp. E (MTN)
0.48%		03/20/14	3		300,000		285,812
General Electric Capital Corp. G (MTN)
2.00%		09/28/12			2,000,000		2,054,962
2.63%		12/28/12			990,000		1,032,790
Goldman Sachs Group, Inc. (The)
0.60%		02/06/12	3		210,000		208,737
1.06%		12/05/11	3		785,000		792,591
5.13%		01/15/15			750,000		812,703
6.15%		04/01/18			600,000		666,536
7.50%		02/15/19			800,000		956,633
Goldman Sachs Group, Inc. (The) (MTN)
6.00%		05/01/14			250,000		279,140
Goldman Sachs Group, Inc. B (The) (MTN)
0.91%		07/22/15	3		100,000		94,098
International Lease Finance Corp.
6.50%		09/01/14	4		1,000,000		1,075,000
JPMorgan Chase Capital XIII M
1.24%		09/30/34	3		1,070,000		811,714
Lehman Brothers Holdings, Inc. (MTN)
0.00%		06/20/16	3,5,6		452,000		92,660
8.92%		02/16/17	5,6		260,000		53,300
11.00%		11/07/16	3,5,6		502,000		102,910
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	3,5,6		271,000		55,555

See accompanying notes to Schedule of Portfolio Investments.

32 / Semi-Annual Report September 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	3	$	510,000	$	559,725
8.95%		05/18/17	3		410,000		452,025
9.57%		06/06/17	3		319,000		359,673
Morgan Stanley
0.64%		06/20/12	3		1,150,000		1,157,177
0.69%		02/10/12	3		2,140,000		2,150,133
0.77%		01/18/11	3		345,000		345,022
1.01%		10/15/15	3		187,000		171,729
5.38%		10/15/15			800,000		859,339
6.75%		04/15/11			180,000		185,421
Morgan Stanley (MTN)
0.97%		10/18/16	3		570,000		500,905
Morgan Stanley G (MTN)
0.83%		01/09/14	3		615,000		581,769
Pemex Finance Ltd. (Cayman Islands)
8.88%		11/15/10	2		25,000		25,262
Power Receivable Finance LLC
6.29%		01/01/12			146,768		149,797
Prime Property Funding II, Inc.
5.60%		06/15/11	4		206,000		209,906
Prudential Holdings LLC (AGM)
1.17%		12/18/17	3,4		500,000		432,997
ZFS Finance USA Trust I
6.15%		12/15/65	3,4		500,000		497,500
							26,596,608
Health Care — 1.02%
HCA, Inc.
8.50%		04/15/19			430,000		477,300
UnitedHealth Group, Inc.
4.88%		02/15/13			760,000		817,283
WellPoint, Inc.
6.00%		02/15/14			800,000		906,667
							2,201,250
Insurance — 1.50%
Allied World Assurance Co. Holdings Ltd. (Bermuda)
7.50%		08/01/16	2		244,000		276,172
Fairfax Financial Holdings Ltd. (Canada)
7.75%		04/26/12	2		375,000		395,156
MetLife, Inc.
7.72%		02/15/19			270,000		344,184
Metropolitan Life Global Funding I
5.13%		06/10/14	4		800,000		888,262
Nationwide Mutual Insurance Co.
6.60%		04/15/34	4		440,000		393,641

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Pricoa Global Funding I
5.45%		06/11/14	4	$	850,000	$	948,564
							3,245,979
Real Estate Investment Trust (REIT) — 3.11%
Duke Realty LP
6.25%		05/15/13			790,000		855,309
HCP, Inc.
7.07%		06/08/15			200,000		225,837
HCP, Inc. (MTN)
5.95%		09/15/11			820,000		852,544
6.30%		09/15/16			500,000		543,757
Health Care REIT, Inc.
4.70%		09/15/17			1,000,000		1,012,014
Shurgard Storage Centers LLC
5.88%		03/15/13			68,000		74,021
Simon Property Group LP
4.20%		02/01/15			400,000		429,737
UDR, Inc. (MTN)
5.00%		01/15/12			80,000		82,581
5.25%		01/15/15			1,000,000		1,062,882
WEA Finance LLC
7.13%		04/15/18	4		775,000		912,770
WEA Finance LLC/WT Finance
7.50%		06/02/14	4		570,000		665,690
							6,717,142
Transportation — 1.49%
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			79,324		82,496
Continental Airlines Pass-Through Trust
1999-2 A-1
7.26%		03/15/20			392,764		412,402
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			366,394		380,592
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			1,202,000		1,268,110
JetBlue Airways Pass-Through Trust 2004-2 G1
0.75%		08/15/16	3		19,619		17,730
Northwest Airlines, Inc. 2001 1A-2
6.84%		04/01/11			400,000		410,000
Northwest Airlines, Inc. 2001-1 A1
7.04%		04/01/22			205,084		214,525

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 33

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
UAL Pass-Through Trust 2009-2 A
9.75%		01/15/17		$	380,690	$	425,421
							3,211,276
Total Corporates (Cost $63,036,967)							67,961,152
BANK LOANS — 0.20%*
Health Care — 0.20%
HCA Term Loan A
1.79%		11/17/12	7		455,133		440,204
Total Bank Loans (Cost $449,209)
MORTGAGE-BACKED — 30.92%**
Commercial Mortgage-Backed — 6.74%
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%		05/11/39	3		40,000		43,322
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.30%		10/12/42	3		950,000		1,049,331
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%		09/11/41			470,000		514,584
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.89%		12/10/49	3		40,000		42,901
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4
5.32%		12/11/49			1,100,000		1,142,170
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%		12/15/39			175,000		182,370
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			294,749		295,351
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%		09/15/35			15,642		15,629
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			1,030,000		1,089,216
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	3		980,000		1,074,980
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
6.08%		07/10/38	3		1,605,000		1,761,198
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%		03/10/39			1,740,000		1,837,399

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35		$	1,010,000	$	1,050,755
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.93%		02/12/49	3		955,000		1,004,914
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%		02/15/51	3		465,000		488,654
Merrill Lynch /Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%		12/12/49	3		760,000		788,644
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			2,060,000		2,185,041
							14,566,459
Non-Agency Mortgage-Backed — 4.80%
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			11,629		12,131
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.54%		01/25/35	3,4		362,361		275,011
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.44%		05/25/36	3,4		346,414		189,200
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.14%		02/25/34	3		41,712		41,413
Countrywide Alternative Loan Trust 2005-27 2A1
1.74%		08/25/35	3		400,686		222,020
Countrywide Alternative Loan Trust 2005-27 3A2
1.49%		08/25/35	3		39,922		21,142
Countrywide Alternative Loan Trust 2005-72 A1
0.53%		01/25/36	3		841,045		552,127
Countrywide Alternative Loan Trust 2006-OA16 A2
0.45%		10/25/46	3		2,388,563		1,390,143
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.09%		08/25/34	3		485,252		493,284
Deutsche ALT-A Securities, Inc. 2007-OA2 A1
1.14%		04/25/47	3		1,134,887		701,478
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%		12/25/17			69,026		70,631
GSR Mortgage Loan Trust 2004-9 5A7
3.87%		08/25/34	3		1,469,000		1,469,563

See accompanying notes to Schedule of Portfolio Investments.

34 / Semi-Annual Report September 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.50%		10/25/34	3	$	187,996	$	174,693
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.66%		11/25/34	3		58,020		38,172
IndyMac Index Mortgage Loan Trust 2007-AR5 1A1
5.18%		05/25/37	3		21,760		12,144
Lehman XS Trust 2007-12N 1A3A
0.46%		07/25/47	3,†		4,500,000		1,440,032
Lehman XS Trust 2007-14H A12
0.76%		07/25/47	3		8,145,513		634,389
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.48%		01/25/34	3		3,365		3,143
MASTR Asset Securitization Trust 2002-8 1A1
5.50%		12/25/17			8,494		8,828
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%		10/25/32	3		4,224		3,634
MASTR Seasoned Securities Trust 2004-2 A2
6.50%		08/25/32			127,465		133,138
MASTR Seasoned Securities Trust 2005-1 4A1
2.96%		10/25/32	3		8,588		8,167
Residential Accredit Loans, Inc. 2003-QS17 NB1
5.25%		09/25/33			10,911		10,914
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%		04/25/31			68,692		70,355
Residential Asset Securitization Trust 2004-IP2 2A1
2.82%		12/25/34	3		118,820		113,783
Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1
0.53%		08/25/35	3		1,426,712		886,229
Structured Asset Mortgage Investments, Inc. 2005-AR8 A2
1.87%		02/25/36	3		1,555,740		923,798
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.14%		04/25/47	3		818,277		461,352
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.79%		01/25/33	3		24,883		24,139
							10,385,053

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 19.38%
Fannie Mae (TBA)
3.50%		10/25/25		$	9,035,000	$	9,322,991
3.50%		11/25/25			4,765,000		4,899,016
Fannie Mae 1989-25 G
6.00%		06/25/19			4,327		4,829
Fannie Mae 1992-116 B
6.50%		06/25/22			597		661
Fannie Mae 1993-225 SG
26.33%		12/25/13	3		93,613		120,485
Fannie Mae 1993-80 S
10.53%		05/25/23	3		25,638		31,489
Fannie Mae 2001-52 YZ
6.50%		10/25/31			623,432		705,511
Fannie Mae 2003-27 SG (IO)
7.39%		04/25/17	3		5,911,005		433,667
Fannie Mae 2003-W6 5T (IO)
0.55%		09/25/42	3		40,236,704		722,378
Fannie Mae 2007-64 FA
0.73%		07/25/37	3		1,278,607		1,272,438
Fannie Mae 2008-50 SA (IO)
5.79%		11/25/36	3		9,252,408		1,308,239
Fannie Mae Pool 253974
7.00%		08/01/31			30,384		33,703
Fannie Mae Pool 254232
6.50%		03/01/22			40,872		44,775
Fannie Mae Pool 527247
7.00%		09/01/26			162		183
Fannie Mae Pool 545191
7.00%		09/01/31			14,268		15,826
Fannie Mae Pool 545646
7.00%		09/01/26			98		111
Fannie Mae Pool 549740
6.50%		10/01/27			63,777		70,317
Fannie Mae Pool 555177
2.54%		01/01/33	3		36,184		37,644
Fannie Mae Pool 555284
7.50%		10/01/17			1,883		2,025
Fannie Mae Pool 606108
7.00%		03/01/31			2,207		2,499
Fannie Mae Pool 630599
7.00%		05/01/32			18,554		21,077
Fannie Mae Pool 655928
7.00%		08/01/32			12,801		14,552
Fannie Mae Pool 735207
7.00%		04/01/34			9,625		10,710
Fannie Mae Pool 735646
4.50%		07/01/20			27,290		28,995
Fannie Mae Pool 735686
6.50%		12/01/22			228,005		248,635

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 35

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 735861
6.50%		09/01/33		$	314,065	$	351,271
Fannie Mae Pool 764388
4.93%		03/01/34	3		332,282		352,633
Fannie Mae Pool 765387
6.00%		08/01/34			20,862		22,971
Fannie Mae Pool 770869
2.45%		04/01/34	3		417,380		435,954
Fannie Mae Pool 776708
5.00%		05/01/34			919,201		981,470
Fannie Mae Pool 789606
6.00%		08/01/34			16,428		18,130
Fannie Mae Pool 817611
5.32%		11/01/35	3		192,152		204,985
Fannie Mae Pool 844773
5.04%		12/01/35	3		12,885		13,737
Fannie Mae Pool 889125
5.00%		12/01/21			1,187,512		1,268,272
Fannie Mae Pool 889184
5.50%		09/01/36			1,224,467		1,313,815
Fannie Mae Pool 895606
5.76%		06/01/36	3		475,378		507,763
Fannie Mae Pool 918445
5.75%		05/01/37	3		41,104		43,904
Fannie Mae Pool 939419
5.65%		05/01/37	3		627,253		671,647
Freddie Mac 1602 SN
10.09%		10/15/23	3		14,590		18,960
Freddie Mac 1688 W
7.25%		03/15/14			4,314		4,415
Freddie Mac 2174 PN
6.00%		07/15/29			231,232		250,205
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			86,336		2,480
Freddie Mac 2929 PE
5.00%		05/15/33			55,000		59,452
Freddie Mac Gold A25162
5.50%		05/01/34			1,137,782		1,219,116
Freddie Mac Gold A33262
5.50%		02/01/35			164,070		177,908
Freddie Mac Gold A68781
5.50%		10/01/37			41,982		45,488
Freddie Mac Gold A72860
6.00%		02/01/38			33,418		36,213
Freddie Mac Gold C90504
6.50%		12/01/21			5,021		5,526
Freddie Mac Gold E01279
5.50%		01/01/18			7,724		8,331

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold E90474
6.00%		07/01/17		$	15,187	$	16,482
Freddie Mac Gold G01548
7.50%		07/01/32			888,992		1,032,029
Freddie Mac Gold G01601
4.00%		09/01/33			24,439		25,142
Freddie Mac Gold G01611
4.00%		09/01/33			10,149		10,440
Freddie Mac Gold G01644
5.50%		02/01/34			1,048,384		1,125,290
Freddie Mac Gold G01673
5.50%		04/01/34			77,003		83,535
Freddie Mac Gold G02366
6.50%		10/01/36			680,110		745,996
Freddie Mac Gold G03243
5.50%		07/01/37			66,980		72,574
Freddie Mac Gold G03436
6.00%		11/01/37			1,480,062		1,613,557
Freddie Mac Gold G03601
6.00%		07/01/37			27,087		29,522
Freddie Mac Gold G03640
5.50%		12/01/37			1,083,609		1,165,843
Freddie Mac Gold G05119
6.50%		09/01/38			28,265		30,986
Freddie Mac Gold G11707
6.00%		03/01/20			12,963		14,068
Freddie Mac Gold G12393
5.50%		10/01/21			1,107,548		1,195,893
Freddie Mac Gold G12909
6.00%		11/01/22			940,029		1,020,189
Freddie Mac Gold G13032
6.00%		09/01/22			837,038		904,884
Freddie Mac Gold J06246
5.50%		10/01/21			651,149		703,314
Freddie Mac Non Gold Pool 1B3413
5.87%		05/01/37	3		802,393		861,045
Freddie Mac Non Gold Pool 1J0045
5.12%		01/01/36	3		18,057		19,254
Freddie Mac R001 AE
4.38%		04/15/15			584,617		595,604
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			58,248		3,265
Ginnie Mae 2004-8 SE
13.79%		11/26/23	3		160,230		199,874
Ginnie Mae I Pool 782810
4.50%		11/15/39			2,818,546		2,993,054

See accompanying notes to Schedule of Portfolio Investments.

36 / Semi-Annual Report September 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80968
3.63%		07/20/34	3	$	77,689	$	80,050
							41,909,292
Total Mortgage-Backed
(Cost $62,498,582)							66,860,804
MUNICIPAL BONDS — 0.94%*
California — 0.56%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.95%		04/01/16			225,000		247,592
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
6.20%		10/01/19			866,000		959,675
							1,207,267
Illinois — 0.38%
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			800,000		829,488
Total Municipal Bonds
(Cost $1,906,859)							2,036,755
U.S. AGENCY SECURITIES — 0.56%
U.S. Agency Securities — 0.56%
Freddie Mac
0.33%		11/07/11	3		1,200,000		1,200,908
Total U.S. Agency Securities
(Cost $1,199,468)							1,200,908
U.S. TREASURY SECURITIES — 25.79%
U.S. Treasury Bonds — 0.50%
3.50%		01/15/11			855,000		1,080,930
U.S. Treasury Notes — 25.29%
0.88%		04/30/11			3,085,000		3,096,870
1.00%		08/31/11			3,985,000		4,012,086
1.25%		09/30/15			6,750,000		6,740,508
1.75%		07/31/15			6,095,000		6,242,603
1.88%		06/30/15			17,465,000		17,999,866
2.00%		01/15/16	8		1,699,000		2,047,571
2.38%		03/31/16			6,280,000		6,585,660
3.13%		04/30/17			7,340,000		7,943,832
Total U.S. Treasury Securities
(Cost $54,911,578)							55,749,926

							Value
Total Bonds – 104.12%
(Cost $214,895,272)							$	225,115,098
Issues	Maturity Date			Shares/ Principal Amount			Value
SHORT-TERM INVESTMENTS — 3.79%
Money Market Fund — 3.09%
Dreyfus Cash Advantage Fund
0.25%9					2,520,000			2,520,000
DWS Money Market Series-Institutional
0.21%9					885,000			885,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.16%9,10					3,280,000			3,280,000
								6,685,000
U.S. Agency Discount Notes — 0.57%
Fannie Mae
0.29%11		07/01/11		$	1,225,000			1,223,050
U.S. Treasury Bills — 0.13%
U.S. Treasury Bills
0.18%11		02/10/11	12		285,000			284,862
Total Short-Term Investments
(Cost $8,192,119)								8,192,912
Total Investments – 107.91%
(Cost $223,087,391)1								233,308,010
Liabilities in Excess of Other
Assets – (7.91)%								(17,095,974	)
Net Assets – 100.00%							$	216,212,036
Issues	Contracts			Premiums (Received)			Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call Strike $127, expires 11/26/10		(60	)	$	(37,995	)	$	(57,187	)
Total Call Options Written				$	(37,995	)	$	(57,187	)
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Call Strike $121, expires 11/26/10		(15	)	$	(11,686	)	$	(1,875	)
Total Written Put Options				$	(11,686	)	$	(1,875	)

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 37

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
156	U.S. Treasury Five Year Note, Expiration December 2010		$183,429
	Net unrealized appreciation		$183,429
Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
3	Euro Dollar Ninety Day,
	Expiration December 2010		$(12,382	)
3	Euro Dollar Ninety Day,
	Expiration March 2011		(14,670	)
3	Euro Dollar Ninety Day,
	Expiration June 2011		(16,770	)
2	Euro Dollar Ninety Day,
	Expiration September 2011		(12,380	)
2	Euro Dollar Ninety Day,
	Expiration December 2011		(13,330	)
2	Euro Dollar Ninety Day,
	Expiration March 2012		(13,705	)
2	Euro Dollar Ninety Day,
	Expiration June 2012		(13,980	)
	Net unrealized depreciation		$(97,217	)

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation/ (Depreciation)	Value
SWAPS: CREDIT DEFAULT (PURCHASED) – SINGLE ISSUES The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
		09/20/12		$–		$250	$  (942)		$  (942)
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		–		120	(6,465)		(6,465	)
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		–		175	(9,077)		(9,077	)
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
		12/20/12		–		175	(1,495)		(1,495	)
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		–		175	(1,416)		(1,416	)
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		12/20/12		–		100	(142)		(142	)

	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		12/20/12		$  –			$175		$  (407)			$  (407)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
		03/20/13		–			75		(3,031	)		(3,031	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
		03/20/13		–			75		(3,031	)		(3,031	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
		06/20/13		–			80		(2,556	)		(2,556	)
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG
		12/20/13		–			200		(18,721	)		(18,721	)
The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc.
		03/20/14		–			210		(13,794	)		(13,794	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
		03/20/14		–			200		(9,830	)		(9,830	)
The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.
		03/20/14		–			135		(10,063	)		(10,063	)
The Fund pays a fixed rate equal to 1.20% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		03/20/14		–			140		(3,287	)		(3,287	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
		12/20/14		(3,542	)		260		(1,655	)		(5,197	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
		12/20/14		(3,610	)		265		(1,687	)		(5,297	)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
		03/20/15		–			150		(9,021	)		(9,021	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
		09/20/16		6,502			175		10,267			16,769

See accompanying notes to Schedule of Portfolio Investments.

38 / Semi-Annual Report September 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
		09/20/16		$  6,950		$  135		$  5,986		$  12,936
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		6,950		135		5,986		12,936
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		5,714		175		13,054		18,768
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		4,727		135		9,751		14,478
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		4,015		225		20,115		24,130
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston
		09/20/16		7,672		225		16,458		24,130
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		10,244		340		26,220		36,464
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.
		09/20/16		323		125		8,254		8,577
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
		09/20/16		1,596		625		41,288		42,884
				$47,541		$5,255		$60,759		$108,300

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)		Valuec
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
		10/12/52	$	649,411	$	1,120		$(523,120)	$	126,291
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
		10/12/52		18,197		215		6,046		24,243
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
		10/12/52		23,734		250		4,456		28,190

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)			Valuec
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES (continued)
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
		10/12/52		$1,092,947		$1,840		$  (885,469	)		$207,478
				$1,784,289		$3,425		$(1,398,087	)		$386,202

Expiration Date	Credit Ratinga	Premiums Paid/ (Received)	Notional Amount (000’s) b		Appreciation		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$–		$  365		$  5,291		$  5,291
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA	–		800		12,659		12,659
		$–		$1,165		$17,950		$17,950

_	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
		01/25/38		$(1,368,337)			$2,271		$193,125		$(1,175,212)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
		01/25/38		(93,927	)		148		17,283		(76,644	)
				$(1,462,264	)		$2,419		$210,408		$(1,251,856	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:
1    Cost for federal income tax purposes is $223,266,534 and net unrealized appreciation/(depreciation) consists of:
Gross unrealized appreciation	$	16,655,930
Gross unrealized depreciation		(6,614,454	)
Net unrealized appreciation		$10,041,476

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 39

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

² U.S. dollar-denominated security issued by foreign-domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at September 30, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2010, was $19,252,878, representing 8.90% of total net assets.

⁵ Security is currently in default with regard to scheduled interest or principal payments.

⁶ Non-income producing security.

⁷ Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security		Amortized Cost		Value		% of Total Net Assets
10/22/07		HCA Term Loan A, 1.79%,
		11/17/12		$449,209		$440,204		0.20%

⁸ Inflation protected security. Principal amount reflects original security face amount.

⁹ Represents the current yield as of September 30, 2010.

¹⁰ Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $3,280,000.

¹¹ Represents annualized yield at date of purchase.

¹² Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $284,852.

^† Fair valued security. The aggregate value of fair valued securities is $4,870,044, which is 2.25% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

^* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

^** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA

(Financial Security Assurance, Inc.)

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to Schedule of Portfolio Investments.

40 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BONDS – 107.73%
ASSET-BACKED SECURITIES — 11.97%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%		06/25/32		$	69,156	$	54,352
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33			2,297		2,296
Aerco Ltd. 2A A3 (United Kingdom)
0.72%		07/15/25	2,3,4		72,391,260		50,854,860
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.52%		06/14/37	3,4,†		32,558,462		27,512,129
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%		10/25/27			176,220		189,596
Argent Securities, Inc. 2005-W4 A2C
0.56%		02/25/36	3		11,300,198		11,230,560
Argent Securities, Inc. 2005-W5 A2D
0.58%		01/25/36	3		26,678,000		11,986,625
Asset Backed Funding Certificates 2007-WMC1 A2B
1.26%		06/25/37	3		41,977,000		18,820,871
Asset Backed Securities Corp. Home Equity 2003-HE4 M2
3.26%		08/15/33	3		3,007,137		1,207,539
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.65%		11/14/33	2,3,4,†		37,133,124		30,774,338
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)
4.89%		04/28/39			2,815,278		2,700,178
Bayview Financial Acquisition Trust 2005-D AF3
5.50%		12/28/35	3		390,000		368,535
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%		12/25/34			78,131		76,583
Bear Stearns Asset Backed Securities Trust 2006-HE10 1A2
0.46%		12/25/36	3		23,770,000		15,104,647
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%		02/10/38	2,4,†		1,958,962		1,864,595
BNC Mortgage Loan Trust 2007-1 A3
0.36%		03/25/37	3		12,881,000		9,311,643
Carrington Mortgage Loan Trust 2007-FRE1 A1
0.38%		02/25/37	3		8,822,004		8,231,437
Centex Home Equity 2006-A AV3
0.42%		06/25/36	3		14,316,632		12,474,067
Centex Home Equity 2006-A AV4
0.51%		06/25/36	3		100,000		63,052

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP)
6.05%		03/25/37		$	620,000	$	518,003
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.16%		09/25/36	3		453,420		208,702
Citigroup Mortgage Loan Trust, Inc. 2006-NC1 A2D
0.51%		08/25/36	3		33,850,000		13,171,695
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.40%		05/25/37	3		21,600,000		10,379,718
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A4
0.46%		01/25/37	3		28,000		12,875
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	3		34,403,000		18,754,434
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B
1.26%		07/25/37	3		3,090,000		165,663
Conseco Finance 2001-C A5 (STEP)
7.29%		08/15/33			4,029,583		4,128,987
Conseco Finance 2001-D A5
6.19%		11/15/32	3		147,290		151,344
Conseco Finance 2002-C BF2
8.00%		06/15/32	3,4		519,495		398,735
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	3		19,007,000		20,185,162
Conseco Financial Corp. 1998-2 A5
6.24%		12/01/28	3		222,946		225,627
Conseco Financial Corp. 1998-6 A7
6.45%		06/01/30			49,413		49,461
Countrywide Asset-Backed Certificates 2005-12 2A5
5.25%		02/25/36	3		13,366,305		12,999,340
Countrywide Asset-Backed Certificates 2006-18 2A2
0.42%		03/25/37	3		16,991,909		12,307,622
Countrywide Asset-Backed Certificates 2007-10 2A2
0.38%		06/25/47	3		21,641,000		17,345,173
Countrywide Asset-Backed Certificates 2007-13 2A2
1.06%		10/25/47	3		17,048,762		12,407,552
Countrywide Asset-Backed Certificates 2007-3 2A1
0.36%		05/25/47	3		11,723,567		11,211,739
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%		09/25/37	3		10,099,113		9,399,437

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 41

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Countrywide Asset-Backed Certificates 2007-5 2A2
0.43%		09/25/47	3	$	127,000	$	102,757
Countrywide Asset-Backed Certificates 2007-7 2A2
0.42%		10/25/47	3		22,307,000		18,450,276
Countrywide Asset-Backed Certificates 2007-9 2A1
0.32%		06/25/47	3		65,127		62,010
Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%		09/25/31			109,287		111,971
Credit-Based Asset Servicing and Securitization LLC 2003-CB4 M1
0.95%		03/25/33	3		11,047,659		9,334,719
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.41%		07/25/36	3		24,475,000		14,855,505
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.37%		10/25/36	3		11,240,000		9,887,148
Discover Card Master Trust 2009-A2 A
1.56%		02/17/15	3		7,275,000		7,397,877
Ellington Loan Acquisition Trust 2007-2 A2C
1.36%		05/25/37	3,4		5,106,000		3,294,720
Embarcadero Aircraft Securitization Trust 2000-A A1
0.74%		08/15/25	3,4		1,019,043		509,522
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFH2 M1
0.74%		04/25/35	3,4		5,677,853		5,428,178
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2C
0.40%		01/25/38	3		73,000,000		34,740,079
First Union Home Equity Loan Trust 1997-3 B
7.39%		03/25/29			95,049		14,264
Fremont Home Loan Trust 2005-C M1
0.74%		07/25/35	3		12,900,000		11,885,060
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.56%		04/17/19	2,3,4		10,355,833		9,895,370
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	2,3,4		35,673,250		32,867,043
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	2,3,4,†		38,517,352		32,451,471
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.70%		06/25/30	3		350,300		191,293
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			119,558		86,072

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GSAA Trust 2005-7 AF3
4.75%		05/25/35	3	$	41,377,454	$	38,170,681
GSAA Trust 2006-16 A1
0.32%		10/25/36	3		11,666,598		6,012,527
GSAA Trust 2006-19 A1
0.35%		12/25/36	3		9,526,601		4,647,262
GSAA Trust 2007-4 A1
0.36%		03/25/37	3		6,611,549		3,214,195
GSAMP Trust 2006-FM1 A2C
0.42%		04/25/36	3		31,161,955		20,164,106
GSAMP Trust 2007-NC1 A2B
0.36%		12/25/46	3		25,000,000		10,859,850
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
1.18%		10/10/14	2,3,4,†		3,068,465		2,938,076
Home Equity Asset Trust 2007-1 2A1
0.32%		05/25/37	3		58,353		56,361
HSBC Home Equity Loan Trust 2007-3 A4
1.76%		11/20/36	3		9,985,000		6,755,362
HSBC Home Equity Loan Trust 2007-3 APT
1.46%		11/20/36	3		32,395,001		29,531,866
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.45%		01/25/36	3		11,144,719		10,413,815
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%		02/25/28			535,365		501,103
IndyMac Residential Asset Backed Trust 2007-A 2A4A
0.58%		04/25/47	3		6,256,000		2,699,248
JPMorgan Mortgage Acquisition Corp. 2006-CH2 AV4
0.40%		10/25/36	3		16,000,000		6,799,981
JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.45%		05/25/35	3		12,380,791		11,013,766
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF6 (STEP)
5.50%		10/25/36			655,676		558,000
JPMorgan Mortgage Acquisition Corp. 2007-CH3 A4
0.47%		03/25/37	3		1,310,000		579,705
JPMorgan Mortgage Acquisition Corp. 2007-Ch4 A4
0.42%		05/25/37	3		10,000,000		4,431,805
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3
0.37%		05/25/37	3		300,000		219,611
Lehman XS Trust 2006-GP1 A4A
0.59%		05/25/46	3		32,979,962		10,922,963

See accompanying notes to Schedule of Portfolio Investments.

42 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
MASTR Asset Backed Securities Trust 2006-AM3 A4
0.50%		10/25/36	3	$	5,000,000	$	1,918,117
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.47%		05/25/37	3		441,000		206,642
MASTR Asset Backed Securities Trust 2007-HE1 A4
0.54%		05/25/37	3		10,000,000		4,671,635
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2C
0.51%		04/25/37	3		14,700,000		7,187,550
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.44%		06/25/37	3		273,800		131,542
Mid-State Trust 11 A1
4.86%		07/15/38			480,802		485,003
Mid-State Trust 2004-1 A
6.01%		08/15/37			60,746		63,296
Mid-State Trust 2005-1 A
5.75%		01/15/40			31,667,901		31,852,107
Mid-State Trust 2006-1 A
5.79%		10/15/40	4		21,601,963		20,803,163
Mid-State Trust 6 A1
7.34%		07/01/35			71,004		74,381
Morgan Stanley ABS Capital 2007-HE2 A2B
0.35%		01/25/37	3		110,000		54,357
Morgan Stanley ABS Capital I 2005-HE3 M1
0.75%		07/25/35	3		3,058,290		3,029,120
Morgan Stanley ABS Capital I 2006-HE5 A2C
0.40%		08/25/36	3		9,015,000		6,068,443
Morgan Stanley ABS Capital I 2007-HE6 A3
0.44%		05/25/37	3		49,270,000		18,484,380
Morgan Stanley ABS Capital, Inc. 2006-HE5 A2D
0.51%		08/25/36			48,700,000		21,066,159
Morgan Stanley Home Equity Loan Trust 2006-3 A4
0.52%		04/25/36	3		10,000,000		4,213,198
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%		07/25/47	3		22,926,174		16,945,618
Morgan Stanley Mortgage Loan Trust 2007-2AX 2A1
0.35%		12/25/36	3		11,250,952		5,377,938
Morgan Stanley Mortgage Loan Trust 2007-7AX 2A1
0.38%		04/25/37	3		10,998,187		5,332,218
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			12,755		12,923
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			50,699		50,929

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Option One Mortgage Loan Trust 2006-3 2A2
0.36%		02/25/37	3	$	22,707,241	$	15,130,550
Option One Mortgage Loan Trust 2007-1 2A3
0.40%		01/25/37	3		19,278,000		8,002,732
Option One Mortgage Loan Trust 2007-6 2A4
0.51%		07/25/37	3		100,000		42,443
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.82%		10/31/10	2,3,4,5,†		924,180		110,927
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)
4.76%		07/25/35			4,738,891		4,737,514
Popular ABS Mortgage Pass-Through Trust 2005-6 A5 (STEP)
6.09%		01/25/36			165,000		103,245
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.57%		06/25/47	3		21,877,500		10,109,801
Residential Asset Mortgage Products, Inc. 2003-RS10 AI6 (STEP)
5.86%		11/25/33			209,520		181,269
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%		12/25/33			350,938		351,514
Residential Asset Mortgage Products, Inc. 2004-RS12 MII2
1.06%		12/25/34	3		2,935,846		2,748,693
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%		09/25/29			394,162		301,235
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			304,465		286,176
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	3,4		4,453,386		646,398
Saxon Asset Securities Trust 2005-2 M1
0.68%		10/25/35	3		32,400,000		27,804,611
Saxon Asset Securities Trust 2007-1 A2C
0.41%		01/25/47	3		8,135,000		3,642,743
Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1
0.73%		04/25/35	3		4,592,066		4,344,540
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.41%		07/25/36	3		15,053,000		5,663,270
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.49%		02/25/37	3		45,882,697		21,919,403
Securitized Asset Backed Receivables LLC Trust 2007-BR3 A2B
0.48%		04/25/37	3		17,600,000		7,456,089
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
0.39%		05/25/37	3		13,018,385		9,923,609

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 43

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Securitized Asset Backed Receivables LLC Trust 2007-NC1 A2B
0.41%		12/25/36	3	$	36,815,934	$	17,167,546
Securitized Asset Backed Receivables LLC Trust 2007-NC2 A2B
0.40%		01/25/37	3		160,000		76,344
SG Mortgage Securities Trust 2006-FRE1 A1B
0.53%		02/25/36	3		2,991,114		1,877,098
SG Mortgage Securities Trust 2006-FRE1 A2B
0.44%		02/25/36	3		13,947,357		7,928,262
SG Mortgage Securities Trust 2006-OPT2 A3C
0.41%		10/25/36	3		12,348,460		4,979,202
SG Mortgage Securities Trust 2007-NC1 A2
0.50%		12/25/36	4		16,635,852		8,701,397
Soundview Home Equity Loan Trust 2006-EQ1 A2
0.37%		10/25/36	3		18,580,482		18,058,683
Soundview Home Equity Loan Trust 2006-EQ1 A3
0.42%		10/25/36	3		48,751,000		28,450,084
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	3		23,000,000		19,650,965
Soundview Home Equity Loan Trust 2007-NS1 A4
0.56%		01/25/37	3		12,405,000		6,410,013
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.41%		06/25/37	3		95,000		40,097
Soundview Home Equity Loan Trust 2007-OPT1 2A4
0.54%		06/25/37	3		28,546,000		11,662,511
Soundview Home Equity Loan Trust 2007-OPT2 2A3
0.44%		07/25/37	3		17,450,000		7,668,664
Soundview Home Equity Loan Trust 2007-OPT3 2A2
0.39%		08/25/37	3		100,000		70,253
Structured Asset Securities Corp. 2005-4XS 3A3 (STEP)
4.47%		03/25/35			34,043,265		34,510,911
Structured Asset Securities Corp. 2006-WF3 A3
0.41%		09/25/36	3		220,000		173,440
Structured Asset Securities Corp. 2007-BC2 A3
0.39%		03/25/37	3		225,000		185,848
Structured Asset Securities Corp. 2007-BC3 2A1
0.32%		05/25/47	3		36,817,563		35,039,588

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Asset Securities Corp. 2007-EQ1 A4
0.51%		03/25/37	3	$	26,325,800	$	10,194,140
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	2,3,4		3,616,667		3,350,055
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	3,4		29,572,867		26,634,187
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	3,4		23,898,031		22,098,736
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%		05/07/27	3		4,844,906		5,271,731
Washington Mutual Asset-Backed Certificates 2006-HE2 A4
0.50%		05/25/36	3		11,165,000		4,077,346
Washington Mutual Asset-Backed Certificates 2007-HE1 2A3
0.41%		01/25/37	†		39,470,000		16,577,462
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	3		33,477,784		32,753,157
Wells Fargo Home Equity Trust 2006-1 A3
0.41%		05/25/36	3		16,739,059		16,261,812
Wells Fargo Home Equity Trust 2007-2 A1
0.35%		04/25/37	3		10,095,241		9,804,186
Total Asset-Backed Securities
(Cost $1,271,384,549)							1,330,113,989
CORPORATES — 24.53%*
Banking — 3.99%
Ally Financial, Inc.
2.50%		12/01/14	3		9,009,000		8,063,505
BAC Capital Trust XV
1.10%		06/01/56	3		14,490,000		9,200,672
Bank of America Corp.
5.63%		07/01/20			6,590,000		6,976,747
5.75%		12/01/17			1,145,000		1,225,982
6.50%		08/01/16			4,855,000		5,465,657
Bank of America N.A.
0.59%		06/15/17	3		14,740,000		12,349,585
6.10%		06/15/17			26,980,000		29,182,531
Bank One Corp. (STEP)
8.53%		03/01/19			1,485,000		1,839,205
BankAmerica Capital II
8.00%		12/15/26			800,000		830,000
BankAmerica Capital III
1.10%		01/15/27	3		4,795,000		3,403,630
BankAmerica Institutional Capital A
8.07%		12/31/26	4		350,000		364,875
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	2		12,079,000		13,402,617

See accompanying notes to Schedule of Portfolio Investments.

44 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Capital One Financial Corp.
7.38%		05/23/14		$	3,710,000	$	4,334,389
Capital One Financial Corp. (MTN)
5.70%		09/15/11			200,000		208,166
Chase Capital II B
0.97%		02/01/27	3		6,700,000		5,111,269
Chase Capital VI
1.09%		08/01/28	3		3,640,000		2,774,583
City National Corp.
5.13%		02/15/13			6,200,000		6,529,301
Credit Suisse USA, Inc.
5.13%		08/15/15			15,000		16,842
Credit Suisse/Guernsey 1 (Switzerland)
1.07%		05/29/49	2,3		21,793,000		15,391,306
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	2		14,868,000		16,207,696
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	2		11,790,000		13,217,698
6.00%		02/15/18	2		36,420,000		40,281,431
Deutsche Bank AG/London (Germany)
4.88%		05/20/13	2		14,320,000		15,564,995
Discover Bank
8.70%		11/18/19			15,260,000		18,035,443
First Chicago NBD Institutional Capital I
1.02%		02/01/27	3		5,355,000		4,083,943
Fleet Capital Trust II
7.92%		12/11/26			770,000		796,950
HBOS Capital Funding LP (United Kingdom)
6.07%		06/24/49	2,3,4		5,823,000		5,182,470
HBOS Plc (United Kingdom)
6.75%		05/21/18	2,4		29,123,000		29,305,805
JPMorgan Chase & Co. C (MTN)
0.77%		07/23/13	3		2,500,000		2,446,500
JPMorgan Chase Bank N.A.
6.00%		10/01/17			37,407,000		42,522,445
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%		12/29/49	2,3		34,997,000		32,547,210
National Australia Bank Ltd. (Australia)
5.35%		06/12/13	2,4		20,425,000		22,438,838
National Capital Trust II (Australia)
5.49%		12/29/49	2,3,4		2,717,000		2,624,807
Nationsbank Capital Trust III
1.08%		01/15/27	3		8,684,000		6,105,738
NB Capital Trust II
7.83%		12/15/26			5,625,000		5,815,125
Royal Bank of Scotland Plc (The) (United Kingdom)
3.95%		09/21/15	2		10,953,000		11,093,221

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland Plc (The) 1 (United Kingdom)
2.76%		08/23/13	2,3	$	10,830,000	$	11,057,928
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	2,4		23,240,000		25,423,933
Wachovia Corp.
0.82%		10/28/15	3		13,165,000		12,182,890
Wachovia Corp. (MTN)
5.50%		05/01/13			35,000		38,495
							443,644,423
Communications — 0.49%
Cincinnati Bell, Inc.
8.25%		10/15/17			1,000,000		1,015,000
Comcast Cable Communications LLC
6.75%		01/30/11			75,000		76,464
Frontier Communications Corp.
7.13%		03/15/19			1,825,000		1,879,750
Intelsat Corp.
9.25%		06/15/16			22,223,000		23,806,389
Intelsat Jackson Holdings SA (Luxembourg)
9.50%		06/15/16	2		500,000		535,625
Qwest Communications International, Inc. B
7.50%		02/15/14			7,000,000		7,175,000
Qwest Corp.
7.88%		09/01/11			19,150,000		20,322,937
							54,811,165
Electric — 2.68%
AES Corp. (The)
8.75%		05/15/13	4		362,000		368,335
Cedar Brakes I LLC
8.50%		02/15/14	4		4,929,460		5,091,777
Cedar Brakes II LLC
9.88%		09/01/13	4		5,603,496		5,852,537
Cleco Power LLC
6.65%		06/15/18			17,775,000		20,981,877
Coso Geothermal Power Holdings
7.00%		07/15/26	4		14,335,934		14,309,541
Dynegy Holdings, Inc.
6.88%		04/01/11			725,000		730,437
Dynegy Roseton/Danskammer Pass Through Trust B
7.67%		11/08/16			54,205,000		50,275,137
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			17,500,000		20,271,615
Entergy Gulf States, Inc.
5.25%		08/01/15			2,054,000		2,057,280
Entergy Louisiana LLC
5.83%		11/01/10			503,000		504,129

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 45

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	4		$      332,954		$      318,155
FPL Energy Wind Funding LLC
6.88%		06/27/17	4		1,504,200		1,466,595
FPL Group Capital, Inc.
1.17%		06/17/11	3		1,000,000		1,003,910
5.35%		06/15/13			955,000		1,048,857
GWF Energy LLC
6.13%		12/30/11	4		836,997		852,014
Kansas City Power & Light Co.
6.38%		03/01/18			7,102,000		8,351,675
KCP&L Greater Missouri Operations Co.
7.95%		02/01/11			7,375,000		7,531,837
11.88%		07/01/12			23,934,000		27,553,467
Midwest Generation LLC B
8.56%		01/02/16			9,395,802		9,254,865
Mirant Mid Atlantic Pass Through Trust B
9.13%		06/30/17			19,342,375		20,696,342
Mirant Mid Atlantic Pass Through Trust C
10.06%		12/30/28			1,948,589		2,153,191
Mirant Mid Atlantic Pass-Through Trust A
8.63%		06/30/12			7,574,773		7,783,079
NiSource Finance Corp.
10.75%		03/15/16			12,578,000		16,632,116
NRG Energy, Inc.
7.25%		02/01/14			1,845,000		1,898,044
7.38%		02/01/16			19,825,000		20,444,531
Public Service Co. of New Hampshire
6.00%		05/01/18			5,000,000		5,827,925
Public Service Co. of New Mexico
7.95%		05/15/18			17,924,000		19,811,720
PVNGS II Funding Corp., Inc.
8.00%		12/30/15			119,000		125,528
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%		07/02/17			13,344,087		13,861,170
Southwestern Electric Power Co.
6.45%		01/15/19			275,000		319,445
Virginia Electric & Power Co.
5.10%		11/30/12			9,295,000		10,117,236
							297,494,367
Energy — 1.88%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			1,000,000		1,010,000
Atlas Energy Operating Co. LLC/Atlas Energy
Finance Corp.
10.75%		02/01/18			1,000,000		1,112,500

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
CenterPoint Energy Resources Corp. B
7.88%		04/01/13			$    170,000		$      195,868
Comstock Resources, Inc.
6.88%		03/01/12			850,000		853,213
8.38%		10/15/17			900,000		932,625
Corral Petroleum Holdings AB (Sweden)
2.00%		09/18/11	2,4		409,404		379,722
Dynegy Roseton/Danskammer Pass-Through
Trust A
7.27%		11/08/10			625,858		625,858
Florida Gas Transmission, Co., LLC
5.45%		07/15/20	4		17,750,000		19,371,764
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%		11/01/15	4		2,175,000		2,207,625
Massey Energy Co.
6.88%		12/15/13			1,500,000		1,545,000
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	2		750,000		562,500
Premcor Refining Group, Inc. (The)
6.13%		05/01/11			4,275,000		4,367,955
Sabine Pass LNG LP
7.25%		11/30/13			37,111,000		35,997,670
7.50%		11/30/16			17,455,000		16,014,963
Sonat, Inc.
7.63%		07/15/11			1,600,000		1,666,705
Southern Union Co.
7.20%		11/01/66	3		50,778,000		45,827,145
Tesoro Corp.
6.50%		06/01/17			1,175,000		1,163,250
Valero Energy Corp.
7.50%		04/15/32			20,000,000		21,869,880
9.38%		03/15/19			17,258,000		22,073,448
10.50%		03/15/39			3,575,000		4,847,400
Williams Cos., Inc. (The)
7.88%		09/01/21			18,207,000		22,149,398
Williams Cos., Inc. (The) A
7.50%		01/15/31			3,545,000		3,974,875
							208,749,364
Finance — 10.79%
Alta Wind Holdings LLC
7.00%		06/30/35	4		15,625,000		16,585,500
Astoria Depositor Corp.
8.14%		05/01/21	4		14,575,000		14,465,687
BankBoston Capital Trust III
1.04%		06/15/27	3		10,755,000		7,571,638
Barnett Capital III
1.09%		02/01/27	3		3,150,000		2,200,385

See accompanying notes to Schedule of Portfolio Investments.

46 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Bear Stearns Cos. LLC (The)
4.65%		07/02/18		$	4,330,000	$	4,547,760
7.25%		02/01/18			20,580,000		25,105,995
Cantor Fitzgerald LP
6.38%		06/26/15	4		16,475,000		16,950,436
CIT Group, Inc.
7.00%		05/01/13			19,000,000		19,190,000
Citigroup Capital III
7.63%		12/01/36			7,438,000		7,957,486
Citigroup Funding, Inc. 2
0.81%		04/30/12	3		30,870,000		31,062,783
Citigroup, Inc.
0.71%		11/05/14	3		14,309,000		13,276,849
0.87%		08/25/36	3		12,038,000		7,676,633
5.30%		10/17/12			50,000		53,311
5.38%		08/09/20			23,090,000		23,935,256
5.50%		08/27/12			100,000		106,584
6.00%		08/15/17			24,703,000		26,731,783
6.13%		11/21/17			55,000		60,167
6.13%		05/15/18			2,850,000		3,114,149
6.13%		08/25/36			4,224,000		4,127,237
6.38%		08/12/14			3,950,000		4,406,905
6.88%		03/05/38			17,767,000		19,909,238
8.13%		07/15/39			23,993,000		30,404,553
City National Capital Trust I
9.63%		02/01/40			15,000,000		15,620,820
Countrywide Capital III B
8.05%		06/15/27			3,000,000		3,165,000
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			3,605,000		3,852,403
Countrywide Home Loans, Inc. L (MTN)
4.00%		03/22/11			1,600,000		1,625,513
Discover Financial Services
10.25%		07/15/19			3,885,000		4,984,661
General Electric Capital Corp.
1.88%		09/16/13			5,400,000		5,416,746
4.38%		09/16/20			30,635,000		30,705,249
General Electric Capital Corp. (MTN)
0.43%		06/20/14	3		1,250,000		1,197,004
0.73%		01/08/16	3		6,000,000		5,565,300
0.81%		05/05/26	3		1,900,000		1,488,033
6.88%		01/10/39			12,115,000		13,959,472
General Electric Capital Corp. A (MTN)
0.55%		09/15/14	3		23,877,000		22,941,260
6.75%		03/15/32			18,998,000		21,183,226
General Electric Capital Corp. E (MTN)
0.48%		03/20/14	3		30,100,000		28,676,511
General Electric Capital Corp. G (MTN)
2.00%		09/28/12			100,020,000		102,768,630

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
2.63%		12/28/12		$	48,965,000	$	51,081,365
Goldman Sachs Group, Inc. (The)
0.60%		02/06/12	3		1,305,000		1,297,152
0.74%		03/22/16	3		6,255,000		5,790,610
1.03%		01/12/15	3		3,800,000		3,638,971
1.06%		12/05/11	3		30,365,000		30,658,630
4.75%		07/15/13			9,150,000		9,778,731
5.95%		01/18/18			100,000		109,997
6.00%		06/15/20			23,600,000		26,006,048
6.15%		04/01/18			26,326,000		29,245,369
7.50%		02/15/19			46,316,000		55,384,279
Goldman Sachs Group, Inc. (The) (MTN)
6.00%		05/01/14			6,000,000		6,699,354
Goldman Sachs Group, Inc. B (The) (MTN)
0.91%		07/22/15	3		1,940,000		1,825,503
International Lease Finance Corp.
6.50%		09/01/14	4		24,060,000		25,864,500
6.75%		09/01/16	4		36,450,000		39,183,750
JPMorgan Chase Capital XIII M
1.24%		09/30/34	3		3,699,000		2,806,102
JPMorgan Chase Capital XXI U
1.42%		02/02/37	3		2,000,000		1,446,702
JPMorgan Chase Capital XXIII
1.38%		05/15/47	3		17,280,000		12,542,671
JPMorgan Chase Capital XXVII
7.00%		11/01/39			6,925,000		7,132,078
Lehman Brothers Holdings, Inc. (MTN)
0.00%		06/20/16	3,6,7		12,736,000		2,610,880
8.92%		02/16/17	6,7		7,103,000		1,456,115
11.00%		11/07/16	3,6,7		12,918,000		2,648,190
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	3,6,7		6,812,000		1,396,460
M&T Capital Trust III
9.25%		02/01/27			10,200,000		11,188,105
MBNA Capital A
8.28%		12/01/26			7,744,000		7,995,680
MBNA Capital B
1.27%		02/01/27	3		21,350,000		14,789,145
MBNA Corp.
6.13%		03/01/13			7,355,000		7,967,774
Merrill Lynch & Co., Inc. (MTN)
6.05%		08/15/12			125,000		134,223
8.68%		05/02/17	3		3,640,000		3,994,900
8.95%		05/18/17	3		4,970,000		5,479,425
9.57%		06/06/17	3		11,517,000		12,985,417
Morgan Stanley
0.64%		06/20/12	3		47,575,000		47,871,916
0.77%		01/18/11	3		1,010,000		1,010,063
1.01%		10/15/15	3		1,615,000		1,483,117

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 47

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
4.20%		11/20/14		$	8,585,000	$	8,908,663
5.38%		10/15/15			7,900,000		8,485,975
5.50%		07/24/20			29,045,000		29,961,782
6.00%		05/13/14			24,925,000		27,424,673
6.60%		04/01/12			680,000		732,736
Morgan Stanley (MTN)
0.97%		10/18/16	3		14,975,000		13,159,731
5.63%		01/09/12			125,000		132,164
5.95%		12/28/17			125,000		134,470
6.63%		04/01/18			7,570,000		8,405,039
Morgan Stanley G (MTN)
0.83%		01/09/14	3		2,970,000		2,809,519
Pemex Finance Ltd. (Cayman Islands)
8.88%		11/15/10	2		25,000		25,262
Pipeline Funding Co. LLC
7.50%		01/15/30	4		35,250,000		38,255,366
Power Receivable Finance LLC
6.29%		01/01/12	4		69,775		69,797
6.29%		01/01/12			96,242		98,227
Prime Property Funding II, Inc.
5.60%		06/15/11	4		125,000		127,370
Prudential Holdings LLC
8.70%		12/18/23	4		14,390,000		18,199,465
Raymond James Financial, Inc.
8.60%		08/15/19			9,233,000		11,080,256
Woodbourne Capital Trust I
2.73%		04/08/49	4,5		900,000		387,000
Woodbourne Capital Trust II
2.73%		04/08/49	4,5		1,525,000		655,750
Woodbourne Capital Trust III
2.73%		04/08/49	4,5		1,525,000		655,750
Woodbourne Capital Trust IV
2.73%		04/08/49	4,5		1,150,000		494,500
ZFS Finance USA Trust I
6.15%		12/15/65	3,4		29,446,000		29,298,770
ZFS Finance USA Trust II
6.45%		12/15/65	3,4		2,775,000		2,664,000
ZFS Finance USA Trust IV
5.88%		05/09/32	3,4		21,972,000		20,983,260
							1,199,242,910
Food — 0.00%
JBS USA LLC/JBS USA Finance, Inc.
11.63%		05/01/14			500,000		580,000
Health Care — 0.31%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			18,275,000		19,394,344
HCA, Inc.
8.50%		04/15/19			13,035,000		14,468,850

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
WellPoint, Inc.
5.88%		06/15/17		$	125,000	$	144,265
							34,007,459
Industrials — 0.17%
General Electric Co.
5.25%		12/06/17			16,828,000		18,968,555
Insurance — 1.46%
Allied World Assurance Co. Holdings Ltd. (Bermuda)
7.50%		08/01/16	2		375,000		424,445
Fairfax Financial Holdings Ltd. (Canada)
7.75%		04/26/12	2		6,902,000		7,272,983
Farmers Exchange Capital
7.05%		07/15/28	4		17,126,000		16,966,625
7.20%		07/15/48	4		6,851,000		6,582,756
Farmers Insurance Exchange
8.63%		05/01/24	4		16,145,000		18,740,729
MetLife Capital Trust X
9.25%		04/08/38	3,4		11,500,000		13,627,500
MetLife, Inc.
2.38%		02/06/14			10,775,000		10,897,792
7.72%		02/15/19			10,080,000		12,849,530
Metropolitan Life Global Funding I
2.19%		06/10/11	3,4		13,300,000		13,458,257
Nationwide Mutual Insurance Co.
5.81%		12/15/24	3,4		12,403,000		10,742,474
6.60%		04/15/34	4		19,518,000		17,461,564
Pricoa Global Funding I
0.58%		01/30/12	3,4		15,690,000		15,584,234
5.45%		06/11/14	4		15,130,000		16,884,445
Travelers Cos., Inc. (The)
6.25%		03/15/37	3		370,000		355,662
							161,848,996
Materials — 0.00%
Lyondell Chemical Co.
11.00%		05/01/18			441,113		490,187
Real Estate Investment Trust (REIT) — 1.62%
BRE Properties, Inc.
5.50%		03/15/17			100,000		106,131
Duke Realty LP
5.40%		08/15/14			1,250,000		1,328,678
6.25%		05/15/13			75,000		81,200
ERP Operating LP
5.75%		06/15/17			100,000		112,764
First Industrial LP (MTN)
7.50%		12/01/17			280,000		236,037

See accompanying notes to Schedule of Portfolio Investments.

48 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
HCP, Inc.
5.65%		12/15/13		$	3,290,000	$	3,546,990
6.00%		01/30/17			11,570,000		12,366,490
6.45%		06/25/12			11,800,000		12,555,271
7.07%		06/08/15			125,000		141,148
HCP, Inc. (MTN)
5.95%		09/15/11			165,000		171,549
6.30%		09/15/16			21,204,000		23,059,647
6.70%		01/30/18			13,575,000		14,892,023
Health Care REIT, Inc.
4.70%		09/15/17			31,323,000		31,699,315
6.13%		04/15/20			4,285,000		4,595,710
Highwoods Properties, Inc.
7.50%		04/15/18			6,795,000		7,620,307
Shurgard Storage Centers LLC
5.88%		03/15/13			624,000		679,256
7.75%		02/22/11			7,200,000		7,411,773
Simon Property Group LP
6.13%		05/30/18			1,290,000		1,499,297
UDR, Inc.
6.05%		06/01/13			3,590,000		3,874,202
UDR, Inc. (MTN)
5.00%		01/15/12			2,845,000		2,936,780
UDR, Inc. E (MTN)
5.13%		01/15/14			7,075,000		7,502,372
Washington Real Estate Investment Trust
5.95%		06/15/11			250,000		256,752
WEA Finance LLC
7.13%		04/15/18	4		36,800,000		43,341,862
							180,015,554
Services — 0.01%
Mobile Mini, Inc.
6.88%		05/01/15			750,000		738,750
United Rentals North America, Inc.
7.00%		02/15/14			375,000		376,875
							1,115,625
Transportation — 1.13%
American Airlines Pass-Through Trust
2001-02
6.98%		04/01/11			21,089		21,511
American Airlines Pass-Through Trust 2009-1A
10.38%		07/02/19			1,623,366		1,933,835
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			4,285,171		4,456,578

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust 1999-2 A-1
7.26%		03/15/20		$	6,748,352	$	7,085,769
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			4,803,400		4,989,532
Continental Airlines Pass-Through Trust 2007-1 B
6.90%		04/19/22			2,478,252		2,379,122
Continental Airlines Pass-Through Trust 2009-2 A
7.25%		11/10/19			22,005,000		24,205,500
Delta Air Lines, Inc.
9.50%		09/15/14	4		3,547,000		3,839,627
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			7,898,000		8,332,390
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			10,171,556		10,222,413
Delta Air Lines, Inc. 2002 G2
6.42%		07/02/12			9,370,000		9,838,500
Northwest Airlines, Inc. 2001 1A-2
6.84%		04/01/11			23,530,000		24,118,250
Northwest Airlines, Inc. 2001-1 A1
7.04%		04/01/22			1,056,181		1,104,802
UAL Pass-Through Trust 2009-2 A
9.75%		01/15/17			20,414,513		22,813,218
							125,341,047
Total Corporates
(Cost $2,514,515,061)							2,726,309,652
BANK LOANS — 0.97%*
Communications — 0.23%
Charter Communications, Inc. Term Loan 3rd
Lien
2.76%		09/06/14	8		1,000,000		934,375
Dex Media West LLC Term Loan
7.23%		10/24/14	3,8		1,918,114		1,672,223
Univision Communications, Inc. 1st Lien Strip
2.51%		09/29/14	8		370,268		325,311
Visant Corp. Tranche B Term Loan
7.00%		12/22/16	8		22,500,000		22,653,000
							25,584,909
Consumer Discretionary — 0.01%
Tribune 1st Lien Term Loan B
3.25%		06/04/14	6,7,8		1,500,000		981,429
Electric — 0.12%
Calpine New Development Holdings LLC
7.00%		07/01/17	8		9,476,250		9,649,485

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 49

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
TPF Generation Holdings LLC 2nd Lien
4.54%		12/15/14	8	$	1,000,000	$	913,125
TXU Energy Term Loan B1
3.76%		10/10/14	8		984,772		766,549
TXU Energy Term Loan B3
3.76%		10/10/14	8		2,426,216		1,882,675
							13,211,834
Finance — 0.22%
CIT Group, Inc. 3-DD 1st Lien Term Loan
6.25%		08/11/15	8		9,000,000		9,088,596
Kelson 1st Lien
3.54%		03/08/13	8		12,560,320		12,455,655
Kelson 2nd Lien (PIK)
6.79%		03/08/14	8		3,562,906		3,309,049
							24,853,300
Gaming — 0.18%
Harrah’s Entertainment, Inc. Term Loan B2
3.50%		01/28/15	8		21,750,000		18,786,475
Harrah’s Entertainment, Inc. Term Loan B3
0.00%		01/28/15			1,993,707		1,719,018
							20,505,493
Health Care — 0.18%
Carestream Health, Inc. Term Loan
5.51%		10/30/13	8		250,000		235,625
HCA Term Loan A
1.79%		11/17/12	8		20,950,678		20,263,454
							20,499,079
Insurance — 0.01%
Asurion Corp. Term Loan
3.29%		07/07/14	8		742,500		710,944
Services — 0.02%
Cengage Learning Term Loan B
2.54%		07/03/14	8		1,940,000		1,747,543
Transportation — 0.00%
Delta Air Lines, Inc. Term Loan 1st Lien
1.96%		04/30/12	8		237,551		229,831
Total Bank Loans
(Cost $106,546,852)							108,324,362
MORTGAGE-BACKED — 41.15%**
Commercial Mortgage-Backed — 7.51%
Banc of America Commercial Mortgage, Inc. 2001-1 A2
6.50%		04/15/36			20,250,753		20,494,129

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Banc of America Commercial Mortgage, Inc.
2005-3 A3A
4.62%		07/10/43		$	350,000	$	361,177
Bayview Commercial Asset Trust 2006-3A A1
0.51%		10/25/36	3,4		6,880,695		4,667,234
Bear Stearns Commercial Mortgage
Securities 2002-PBW1 A2
4.72%		11/11/35	3		25,050,000		26,321,601
Bear Stearns Commercial Mortgage
Securities, Inc. 2001-TOP4 A3
5.61%		11/15/33			25,000,000		25,716,445
Bear Stearns Commercial Mortgage
Securities, Inc. 2003-PWR2 A4
5.19%		05/11/39	3		39,006,000		42,245,893
Bear Stearns Commercial Mortgage
Securities, Inc. 2003-T12 A4
4.68%		08/13/39	3		6,225,000		6,699,721
Bear Stearns Commercial Mortgage
Securities, Inc. 2005-T20 A4A
5.30%		10/12/42	3		40,380,000		44,602,076
Bear Stearns Commercial Mortgage
Securities, Inc. 2006-PW13 A4
5.54%		09/11/41			3,165,000		3,465,234
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.89%		12/10/49	3		14,440,000		15,487,391
Citigroup/Deutsche Bank Commercial
Mortgage Trust 2007-CD4 A4
5.32%		12/11/49			16,645,000		17,283,108
Citigroup/Deutsche Bank Commercial
Mortgage Trust 2007-CD5 A4
5.89%		11/15/44	3		1,925,000		2,084,489
Commercial Mortgage Asset Trust 1999-C1 A4
6.98%		01/17/32			20,000,000		21,848,428
Credit Suisse First Boston Mortgage
Securities Corp. 2001-CKN5 A4
5.44%		09/15/34			29,899,294		30,682,293
Credit Suisse First Boston Mortgage
Securities Corp. 2003-CK2 A4
4.80%		03/15/36			10,000,000		10,697,117
Credit Suisse Mortgage Capital Certificates 2006-C1 A3
5.71%		02/15/39	3		350,000		374,948
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%		12/15/39			22,527,500		23,476,196
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%		11/15/36			3,370,000		3,566,972
First Union National Bank-Bank of America
Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			15,164,919		15,195,875

See accompanying notes to Schedule of Portfolio Investments.

50 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Capital Commercial Mortgage Corp.
2000-1 A2
6.50%		01/15/33		$	14,028,518	$	14,061,066
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
1.10%		05/15/35	3,5		27,895,799		1,070,794
GMAC Commercial Mortgage Securities, Inc.
2000-C3 A2
6.96%		09/15/35			704,048		703,452
GMAC Commercial Mortgage Securities, Inc. 2002-C1 A2
6.28%		11/15/39			20,000,000		20,794,546
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			34,500,000		36,483,450
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	3		54,758,999		60,066,143
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
6.08%		07/10/38	3		52,354,554		57,449,683
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%		03/10/39			74,275,000		78,432,662
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			5,000,000		5,201,759
JPMorgan Chase Commercial Mortgage
Securities Corp. 2001-CIBC A3
6.26%		03/15/33			14,195,821		14,259,630
JPMorgan Chase Commercial Mortgage Securities Corp. 2002-C2 A2
5.05%		12/12/34			2,340,000		2,490,415
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
6.06%		04/15/45	3		33,110,000		36,757,338
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB18 A4
5.44%		06/12/47			3,065,000		3,218,528
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.93%		02/12/49	3		17,773,000		18,701,922
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%		02/15/51	3		22,235,000		23,366,052
LB-UBS Commercial Mortgage Trust 2003-C8 A4
5.12%		11/15/32	3		320,000		349,433
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-2 A1
5.77%		06/12/46	3		2,174,474		2,181,486

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%		12/12/49	3	$	32,840,000	$	34,077,717
Merrill Lynch/Countrywide Commercial
Mortgage Trust 2006-4 ASB
5.13%		12/12/49	3		25,000,000		26,724,000
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%		06/12/50	3		19,426,500		19,851,441
Morgan Stanley Capital I 2006-T21 A4
5.16%		10/12/52	3		16,160,000		17,585,306
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			30,007,500		31,828,937
Prudential Commercial Mortgage Trust
2003-PWR1 A1
3.67%		02/11/36			5,300,578		5,327,842
Prudential Mortgage Capital Funding LLC 2001-ROCK A2
6.61%		05/10/34			2,843,437		2,885,026
Salomon Brothers Mortgage Securities VII, Inc. 2002-KEY2 A3
4.87%		03/18/36			415,000		435,662
TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3
6.04%		08/15/39	3		3,115,000		3,486,059
Wachovia Bank Commercial Mortgage Trust 2006-C28 A4
5.57%		10/15/48			1,980,000		2,075,068
							835,135,744
Non-Agency Mortgage-Backed — 5.58%
Adjustable Rate Mortgage Trust 2007-1 5A1
0.41%		03/25/37	3		17,048,222		7,573,606
American Home Mortgage Assets 2007-4 A2
0.45%		08/25/37	3		36,102,000		26,364,226
American Home Mortgage Investment Trust 2006-1 2A3
5.10%		12/25/35	3		347,618		239,790
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			105,629		110,189
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			25,643,137		19,330,604
Banc of America Mortgage Securities, Inc. 2005-E 2A6
2.87%		06/25/35	3		100,000		90,872
Banc of America Mortgage Securities, Inc. 2006-B 4A1
6.17%		11/20/46	3		15,716,745		13,956,336
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		05/31/10	2,4,5		542,169		43,373

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 51

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust 2007-AAA2 2A5
6.00%		04/25/37		$	1,086,741	$	791,920
Bear Stearns Adjustable Rate Mortgage Trust 2003-4 3A1
5.00%		07/25/33	3		206,974		212,546
Bear Stearns Alt-A Trust 2005-4 21A1
2.98%		05/25/35	3		29,624,789		21,384,891
Bear Stearns Alt-A Trust 2006-3 1A1
0.45%		05/25/36	3		5,204,049		2,660,539
BHN I Mortgage Fund 1997-2 A1 (Argentina)
1.54%		05/31/17	2,3,4,5,6,7		13,760		1,369
BHN I Mortgage Fund 1997-2 A2 (Argentina)
7.54%		05/31/17	2,4,5,6,7		2,500		249
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	2,4,5		6,000		597
BlackRock Capital Finance LP 1997-R2 AP
1.21%		12/25/35	3,4,5		3,663		3,665
Chase Mortgage Finance Corp. 2005-A1 2A3
5.18%		12/25/35	3		1,710,000		1,487,863
Chase Mortgage Finance Corp. 2007-A2 2A3
3.24%		07/25/37	3		16,852,540		16,616,015
Chaseflex Trust 2005-2 4A2
5.50%		05/25/20			19,909,418		19,574,537
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.54%		01/25/35	3,4		2,456,752		1,864,536
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.67%		05/25/34	3,4		19,094,440		18,656,805
Collateralized Mortgage Obligation Trust 57 D
9.90%		02/01/19			4,818		5,308
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%		11/25/31			49,918		51,945
Countrywide Alternative Loan Trust 2005-27 2A1
1.74%		08/25/35	3		9,487,581		5,257,068
Countrywide Alternative Loan Trust 2005-36 2A1A
0.57%		08/25/35	3		317,942		157,462
Countrywide Alternative Loan Trust 2005-43 4A1
5.59%		10/25/35	3		404,884		322,826
Countrywide Alternative Loan Trust 2005-59 1A1
0.59%		11/20/35	3		234,689		134,352
Countrywide Alternative Loan Trust 2006-46 A4
6.00%		02/25/47			8,906,933		6,828,925

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2006-OA10 1A1
1.35%		08/25/46	3	$	6,180,281	$	3,403,413
Countrywide Alternative Loan Trust 2006-OA14 3A1
1.24%		11/25/46	3		908,101		402,834
Countrywide Alternative Loan Trust 2006-OA17 1A1A
0.45%		12/20/46	3		41,250,103		20,477,913
Countrywide Alternative Loan Trust 2006-OA18 A1
0.38%		12/25/46	3		42,248,363		24,008,013
Countrywide Alternative Loan Trust 2006-OA22 A1
0.42%		02/25/47	3		1,228,875		781,885
Countrywide Alternative Loan Trust 2006-OA8 1A1
0.45%		07/25/46	3		28,816,094		14,636,633
Countrywide Alternative Loan Trust 2007-22 2A16
6.50%		09/25/37			54,574,530		39,817,151
Countrywide Home Loan Mortgage
Pass-Through Trust 2001-HYB1 1A1
2.47%		06/19/31	3		53,864		51,220
Countrywide Home Loan Mortgage
Pass-Through Trust 2004-14 4A1
5.09%		08/25/34	3		8,029,749		8,162,658
Countrywide Home Loan Mortgage
Pass-Through Trust 2005-HYB5 4A1
4.98%		09/20/35	3		10,575,741		7,537,410
Countrywide Home Loan Mortgage
Pass-Through Trust 2007-HY3 2A1
5.46%		06/25/47	3		39,689,998		30,748,477
Credit Suisse First Boston Mortgage
Securities Corp. 2003-AR20 2A4
2.68%		08/25/33	3		69,938		62,388
Credit Suisse Mortgage Capital Certificates 2006-6 2A1
0.86%		07/25/36	3		217,152		93,698
Deutsche ALT-A Securities, Inc. 2005-3 4A5
5.25%		06/25/35			73,152		68,919
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
3.26%		01/25/26	3,4,5		84,463		53
Downey Savings & Loan Association
Mortgage Loan Trust 2007-AR1 2A1A
0.40%		04/19/48	3		4,165,111		2,772,581
Equity One ABS, Inc. 1998-1 A2 (STEP)
7.48%		11/25/29			73,121		66,458
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.55%		09/25/34	3		115,284		96,569

See accompanying notes to Schedule of Portfolio Investments.

52 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Asset Securities, Inc. 2004-AR5 2A1
2.89%		10/25/34	3	$	21,548	$	20,818
First Horizon Asset Securities, Inc. 2005-AR6 2A1B
5.51%		01/25/36	3		26,990,000		19,980,589
GSR Mortgage Loan Trust 2007-AR2 2A1
4.65%		05/25/47	3		10,746,743		7,924,498
Harborview Mortgage Loan Trust 2007-7 2A1A
1.26%		11/25/47	3		2,199,411		1,493,689
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
1.06%		08/25/34	3		60,532		39,167
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.50%		10/25/34	3		570,172		529,826
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
1.12%		09/25/34	3		187,890		124,566
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.66%		11/25/34	3		105,191		69,206
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1A
0.57%		10/25/36	3		405,594		266,968
IndyMac Index Mortgage Loan Trust 2006-AR19 1A2
5.61%		08/25/36	3		34,013,025		17,241,491
IndyMac Index Mortgage Loan Trust 2007-AR5 3A1
5.25%		05/25/37	3		13,473,212		7,743,109
JPMorgan Alternative Loan Trust 2006-A6 2A5
6.05%		11/25/36	3		360,000		248,913
JPMorgan Alternative Loan Trust 2007-A1 2A1
5.92%		03/25/37	3		7,266,274		4,352,327
JPMorgan Alternative Loan Trust 2007-A2 12A2
0.36%		06/25/37	3		6,779,020		6,385,627
JPMorgan Mortgage Trust 2003-A2 2A3
4.69%		11/25/33	3		705,000		702,567
JPMorgan Mortgage Trust 2005-A5 3A2
5.34%		08/25/35	3		211,543		202,346
JPMorgan Mortgage Trust 2005-A5 TA1
5.43%		08/25/35	3		2,061,124		2,038,986
JPMorgan Mortgage Trust 2006-A2 2A2
5.75%		04/25/36	3		1,475,000		1,232,110
JPMorgan Mortgage Trust 2006-A2 2A4
5.75%		04/25/36	3		17,325,000		14,435,138

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust 2006-A3 3A3
5.72%		05/25/36	3	$	4,000,000	$	3,273,006
JPMorgan Mortgage Trust 2006-A3 3A4
5.72%		05/25/36	3		23,500,000		19,233,808
Lehman XS Trust 2007-15N 2A1
0.51%		08/25/37	3		60,526,781		39,965,682
Lehman XS Trust 2007-16N 2A2
1.11%		09/25/47	3		472,899		283,787
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%		01/25/34	3		306,945		311,042
MASTR Adjustable Rate Mortgages Trust 2004-13 3A7A
2.90%		11/21/34	3		440,000		418,275
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.77%		06/25/34	3		2,198		1,854
MASTR Adjustable Rate Mortgages Trust 2007-3 22A5
0.60%		05/25/47			735,000		115,987
MASTR Asset Securitization Trust 2002-8 1A1
5.50%		12/25/17			68,604		71,305
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%		10/25/32	3		73,361		63,122
MASTR Seasoned Securities Trust 2004-2 A2
6.50%		08/25/32			3,821,022		3,991,056
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.33%		06/25/37	3		7,380,952		3,983,517
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%		06/25/36	3		300,000		173,597
Nomura Asset Acceptance Corp. 2006-AR4 A1A
0.43%		12/25/36	3		1,023,443		472,448
Ocwen Residential MBS Corp. 1998-R2 AP
12.10%		11/25/34	3,4		22,835		14,859
Residential Accredit Loans, Inc. 2003-QS3 A4
5.50%		02/25/18			121,668		122,342
Residential Accredit Loans, Inc. 2007-QO4 A1
0.46%		05/25/47	3		26,010,480		15,484,806
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%		11/25/31			169,518		169,399
Residential Asset Mortgage Products, Inc. 2004-SL3 A2
6.50%		12/25/31			177,761		175,915
Residential Asset Securitization Trust 2004-IP2 2A1
2.82%		12/25/34	3		53,090		50,839

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 53

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Ryland Mortgage Securities Corp. 1994-5 A2
3.76%		10/25/23	3	$	125,458	$	126,424
Ryland Mortgage Securities Corp. 1994-5 M3
3.76%		10/25/23	3		298,220		210,832
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.76%		12/27/35	3		3,782,724		2,335,692
Structured Asset Mortgage Investments, Inc. 2007-AR1 1A1
0.42%		01/25/37	3		63,427,515		37,360,709
Structured Asset Mortgage Investments, Inc. 2007-AR6 A1
1.89%		08/25/47	3		52,419,661		31,763,222
Structured Asset Securities Corp. 1997-2 2A4
7.25%		03/28/30			5,736		5,800
Structured Asset Securities Corp. 2001-15A 4A1
6.00%		10/25/31	3		13,258		12,643
Thornburg Mortgage Securities Trust 2007-3 3A1
0.48%		06/25/47	3		10,374,630		10,016,643
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-3 2A3
0.81%		05/25/35	3		14,706,867		10,214,743
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.76%		06/25/35	3		21,798,201		14,979,713
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-1 2A1
6.00%		01/25/22			2,113,518		1,828,552
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.14%		04/25/47	3		25,664,132		14,469,668
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.79%		01/25/33	3		27,970		27,134
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
2.70%		06/25/33	3		86,461		85,891
Washington Mutual Mortgage Pass-Through Certificates 2004-AR3 A2
2.71%		06/25/34	3		115,661		115,035
Washington Mutual Mortgage Pass-Through Certificates 2004-AR6 A
0.73%		05/25/44	3		250,991		184,835
Washington Mutual Mortgage Pass-Through Certificates 2005-AR12 1A6
2.80%		10/25/35	3		310,000		238,203
Washington Mutual Mortgage Pass-Through Certificates 2005-AR16 1A4A
5.01%		12/25/35	3		320,000		250,015

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.30%		07/25/46	3	$	3,538,527	$	1,256,981
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 A1A
1.09%		02/25/47	3		479,119		284,453
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 2A
1.16%		04/25/47	3		248,502		133,595
Washington Mutual Mortgage Pass-Through Certificates 2007-OA4 1A
1.14%		05/25/47	3		624,493		386,111
Washington Mutual Mortgage Pass-Through Certificates 2007-OA6 1A
1.20%		07/25/47	3		229,241		146,943
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.74%		06/25/34	3		1,565,000		1,558,061
Wells Fargo Mortgage Backed Securities Trust 2004-L A8
4.77%		07/25/34	3		1,740,000		1,778,199
							620,089,371
U.S. Agency Mortgage-Backed — 28.06%
Fannie Mae (TBA)
3.50%		10/25/25			654,890,000		675,764,619
3.50%		11/25/25			272,255,000		279,912,172
Fannie Mae 1989-27 Y
6.90%		06/25/19			1,145		1,243
Fannie Mae 1991-65 Z
6.50%		06/25/21			28,487		31,252
Fannie Mae 1992-123 Z
7.50%		07/25/22			3,784		4,357
Fannie Mae 1992-83 Z
7.00%		06/25/22			3,002		3,012
Fannie Mae 1993-132 D (PO)
0.82%		10/25/22	9		216,827		196,424
Fannie Mae 1993-199 SD (IO)
0.88%		10/25/23	3		659,745		11,195
Fannie Mae 1993-29 PK
7.00%		03/25/23			108,635		120,273
Fannie Mae 1994-55 H
7.00%		03/25/24			102,193		114,713
Fannie Mae 1997-34 SA
9.71%		10/25/23	3		22,655		28,653
Fannie Mae 1999-11 Z
5.50%		03/25/29			451,464		484,986
Fannie Mae 2001-52 YZ
6.50%		10/25/31			270,079		305,637
Fannie Mae 2003-106 WG
4.50%		11/25/23			32,004,000		34,890,140

See accompanying notes to Schedule of Portfolio Investments.

54 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2003-52 SV
17.39%		05/25/31	3	$	865,111	$	916,085
Fannie Mae 2003-W2 2A9
5.90%		07/25/42			89,901		98,088
Fannie Mae 2005-104 NI
6.44%		03/25/35	3		109,553,073		18,231,077
Fannie Mae 2005-117 LC
5.50%		11/25/35			46,177,000		50,724,765
Fannie Mae 2005-92 US (IO)
5.84%		10/25/25	3		47,845,710		6,010,818
Fannie Mae 2006-18 PD
5.50%		08/25/34			345,000		380,027
Fannie Mae 2006-4 WE
4.50%		02/25/36			400,000		431,870
Fannie Mae 2006-80 PG
6.00%		06/25/35			23,300,000		25,760,363
Fannie Mae 2007-34 SB (IO)
5.85%		04/25/37	3		53,778,075		6,811,208
Fannie Mae 2008-24 NA
6.75%		06/25/37			21,043,836		23,395,777
Fannie Mae 2010-17 SB
6.09%		03/25/40	3		56,038,912		8,413,850
Fannie Mae 2010-43 KS
6.16%		05/25/40	3		108,731,136		14,814,552
Fannie Mae 3210 PD
6.00%		08/15/35			360,000		402,888
Fannie Mae G92-36 Z
7.00%		07/25/22			790		883
Fannie Mae G93-21 Z
7.20%		05/25/23			14,655		16,754
Fannie Mae Pool 190375
5.50%		11/01/36			17,001,030		18,125,700
Fannie Mae Pool 233672
3.24%		09/01/23	3		20,551		21,521
Fannie Mae Pool 254232
6.50%		03/01/22			115,369		126,385
Fannie Mae Pool 254868
5.00%		09/01/33			42,814,607		45,466,298
Fannie Mae Pool 308798
2.51%		04/01/25	3		6,173		6,488
Fannie Mae Pool 312155
2.42%		03/01/25	3		20,658		20,850
Fannie Mae Pool 313182
7.50%		10/01/26			11,238		12,799
Fannie Mae Pool 383124
6.48%		01/01/11			120,691		122,279
Fannie Mae Pool 384569
6.20%		01/01/12			100,000		104,186

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 384762
6.01%		02/01/12		$	156,219	$	163,103
Fannie Mae Pool 545191
7.00%		09/01/31			19,641		21,787
Fannie Mae Pool 545269
5.94%		11/01/11			160,172		164,726
Fannie Mae Pool 545322
5.94%		11/01/11			90,038		91,512
Fannie Mae Pool 545831
6.50%		08/01/17			72,975		79,279
Fannie Mae Pool 555284
7.50%		10/01/17			8,423		9,058
Fannie Mae Pool 613142
7.00%		11/01/31			93,328		104,496
Fannie Mae Pool 625666
7.00%		01/01/32			51,029		58,012
Fannie Mae Pool 633698
7.50%		02/01/31			52,950		60,965
Fannie Mae Pool 637093
8.50%		03/01/32			19,471		22,665
Fannie Mae Pool 642322
2.54%		05/01/32	3		1,259		1,319
Fannie Mae Pool 646884
1.92%		05/01/32	3		8,722		8,914
Fannie Mae Pool 655928
7.00%		08/01/32			616,027		700,295
Fannie Mae Pool 725027
5.00%		11/01/33			49,776,695		52,788,578
Fannie Mae Pool 725232
5.00%		03/01/34			114,325		121,406
Fannie Mae Pool 725257
5.50%		02/01/34			9,430,086		10,133,482
Fannie Mae Pool 725372
6.94%		12/01/10			144,521		141,911
Fannie Mae Pool 725425
5.50%		04/01/34			35,393,190		37,981,320
Fannie Mae Pool 730957
5.00%		08/01/33			15,217,549		16,140,708
Fannie Mae Pool 734922
4.50%		09/01/33			15,554,740		16,386,114
Fannie Mae Pool 735207
7.00%		04/01/34			77,001		85,680
Fannie Mae Pool 735224
5.50%		02/01/35			48,620,736		52,247,384
Fannie Mae Pool 735646
4.50%		07/01/20			14,789,253		15,713,252
Fannie Mae Pool 735651
4.50%		06/01/35			53,903,927		56,633,394

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 55

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 735686
6.50%		12/01/22		$	384,141	$	418,900
Fannie Mae Pool 735883
6.00%		03/01/33			10,247,873		11,245,440
Fannie Mae Pool 740297
5.50%		10/01/33			35,996		38,681
Fannie Mae Pool 741862
5.50%		09/01/33			35,896		38,574
Fannie Mae Pool 745592
5.00%		01/01/21			66,120		70,576
Fannie Mae Pool 765387
6.00%		08/01/34			350,013		385,401
Fannie Mae Pool 770284
5.00%		04/01/34			6,633,235		7,033,562
Fannie Mae Pool 770332
5.00%		04/01/34			24,266,024		25,730,517
Fannie Mae Pool 789606
6.00%		08/01/34			104,046		114,823
Fannie Mae Pool 817611
5.32%		11/01/35	3		5,374,990		5,733,972
Fannie Mae Pool 836952
5.41%		10/01/35	3		144,715		154,773
Fannie Mae Pool 841031
5.27%		11/01/35	3		459,972		491,174
Fannie Mae Pool 844773
5.04%		12/01/35	3		79,151		84,383
Fannie Mae Pool 888412
7.00%		04/01/37			6,355,860		7,061,031
Fannie Mae Pool 888430
5.00%		11/01/33			38,789,448		41,136,516
Fannie Mae Pool 888873
6.50%		08/01/37			7,555,386		8,282,002
Fannie Mae Pool 889125
5.00%		12/01/21			41,805,953		44,649,084
Fannie Mae Pool 889184
5.50%		09/01/36			43,417,563		46,585,690
Fannie Mae Pool 895606
5.76%		06/01/36	3		217,421		232,233
Fannie Mae Pool 908408
5.52%		04/01/37	3		16,835,385		17,933,971
Fannie Mae Pool 918445
5.75%		05/01/37	3		510,556		545,337
Fannie Mae Pool 928920
6.50%		12/01/37			20,168,928		22,035,097
Fannie Mae Pool 933033
6.50%		10/01/37			18,581,030		20,022,511
Freddie Mac 1004 H
7.95%		10/15/20			924		923

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 1073 G
7.00%		05/15/21	$	3,328	$	3,860
Freddie Mac 1107 ZC
6.50%		07/15/21		13,438		15,169
Freddie Mac 165 K
6.50%		09/15/21		551		552
Freddie Mac 1980 Z
7.00%		07/15/27		401,702		465,222
Freddie Mac 1983 Z
6.50%		12/15/23		235,626		263,486
Freddie Mac 2043 CJ
6.50%		04/15/28		61,611		69,068
Freddie Mac 2098 TZ
6.00%		01/15/28		910,705		998,974
Freddie Mac 2209 TC
8.00%		01/15/30		249,490		282,115
Freddie Mac 2481 AW
6.50%		08/15/32		113,835		125,687
Freddie Mac 2624 QE
5.00%		09/15/28		138,687		140,780
Freddie Mac 2627 NI (IO)
5.00%		04/15/29		1,501,077		49,473
Freddie Mac 2642 BW (IO)
5.00%		06/15/23		88,101		11,166
Freddie Mac 2929 PE
5.00%		05/15/33		1,585,000		1,713,298
Freddie Mac 2971 AB
5.00%		05/15/20		3,688		3,931
Freddie Mac Gold A14189
4.00%		10/01/33		203,327		209,175
Freddie Mac Gold A24156
6.50%		10/01/31		1,754,929		1,948,841
Freddie Mac Gold A25162
5.50%		05/01/34		17,364,939		18,606,262
Freddie Mac Gold A39012
5.50%		06/01/35		88,207		94,251
Freddie Mac Gold A54856
5.00%		01/01/34		25,176,878		26,655,036
Freddie Mac Gold A61164
5.00%		04/01/36		319,690		338,160
Freddie Mac Gold A64183
6.00%		08/01/37		109,573		119,456
Freddie Mac Gold A65805
6.00%		09/01/37		2,511,909		2,738,471
Freddie Mac Gold A73260
6.00%		02/01/38		231,067		250,392
Freddie Mac Gold A83009
6.00%		11/01/38		23,321,994		25,119,427

See accompanying notes to Schedule of Portfolio Investments.

56 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold C01492
5.00%		02/01/33	$	8,118,596	$	8,597,783
Freddie Mac Gold C03094
6.00%		11/01/37		214,494		233,907
Freddie Mac Gold C46104
6.50%		09/01/29		86,587		96,155
Freddie Mac Gold C55789
7.50%		10/01/27		37,331		42,461
Freddie Mac Gold C90573
6.50%		08/01/22		381,659		420,817
Freddie Mac Gold E02402
6.00%		10/01/22		137,664		149,582
Freddie Mac Gold G00992
7.00%		11/01/28		5,697		6,457
Freddie Mac Gold G01515
5.00%		02/01/33		8,418,189		8,915,059
Freddie Mac Gold G01601
4.00%		09/01/33		947,005		974,242
Freddie Mac Gold G01611
4.00%		09/01/33		277,562		285,545
Freddie Mac Gold G01644
5.50%		02/01/34		30,644,454		32,892,429
Freddie Mac Gold G01673
5.50%		04/01/34		2,563,886		2,781,354
Freddie Mac Gold G02366
6.50%		10/01/36		12,143,451		13,319,847
Freddie Mac Gold G02461
6.50%		11/01/36		12,196,753		13,378,313
Freddie Mac Gold G02579
5.00%		12/01/34		14,651,615		15,527,002
Freddie Mac Gold G02884
6.00%		04/01/37		30,825,558		33,403,586
Freddie Mac Gold G02955
5.50%		03/01/37		23,913,085		25,895,255
Freddie Mac Gold G03357
5.50%		08/01/37		10,501,684		11,378,739
Freddie Mac Gold G03436
6.00%		11/01/37		48,275,164		52,629,357
Freddie Mac Gold G03601
6.00%		07/01/37		34,893,660		38,030,000
Freddie Mac Gold G03676
5.50%		12/01/37		25,291,393		27,419,426
Freddie Mac Gold G03739
6.00%		11/01/37		28,355,733		30,913,287
Freddie Mac Gold G03783
5.50%		01/01/38		11,725,553		12,712,148
Freddie Mac Gold G03985
6.00%		03/01/38		147,442		159,773

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G04053
5.50%		03/01/38		$	132,306	$	142,264
Freddie Mac Gold G04079
5.50%		03/01/38			50,477,937		54,725,181
Freddie Mac Gold G04438
5.50%		05/01/38			48,345,203		51,977,043
Freddie Mac Gold G04484
6.00%		08/01/38			171,449		187,074
Freddie Mac Gold G04516
6.00%		07/01/38			118,225		128,999
Freddie Mac Gold G04703
5.50%		08/01/38			67,446,303		71,898,811
Freddie Mac Gold G04706
5.50%		09/01/38			936,722		1,016,416
Freddie Mac Gold G04710
6.00%		09/01/38			9,243,193		10,030,670
Freddie Mac Gold G04711
6.00%		09/01/38			423,749		458,658
Freddie Mac Gold G05866
4.50%		02/01/40			67,038,371		70,596,112
Freddie Mac Gold G11707
6.00%		03/01/20			4,369,889		4,742,500
Freddie Mac Gold G12393
5.50%		10/01/21			36,695,446		39,622,480
Freddie Mac Gold G12399
6.00%		09/01/21			19,685		21,372
Freddie Mac Gold G12824
6.00%		08/01/22			10,626,002		11,540,419
Freddie Mac Gold G12909
6.00%		11/01/22			28,560,279		30,995,711
Freddie Mac Gold G13032
6.00%		09/01/22			8,165,210		8,827,039
Freddie Mac Gold G13058
4.50%		10/01/20			25,788,584		27,399,795
Freddie Mac Gold H00790
5.50%		05/01/37			373,800		393,729
Freddie Mac Gold H05069
5.50%		05/01/37			27,268,529		28,722,283
Freddie Mac Gold H09082
6.50%		09/01/37			135,756		146,023
Freddie Mac Non Gold Pool 1J0045
5.12%		01/01/36	3		216,686		231,053
Freddie Mac Non Gold Pool 781415
2.61%		04/01/34	3		4,110,530		4,290,654
Freddie Mac Non Gold Pool 781469
2.61%		04/01/34	3		3,632,531		3,791,345
Freddie Mac Non Gold Pool 781817
2.61%		08/01/34	3		70,902		73,959

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 57

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 788498
2.90%		02/01/30	3	$	337,306	$	355,901
Freddie Mac Non Gold Pool 847288
2.68%		05/01/34	3		5,518,462		5,760,969
Ginnie Mae 2000-22 SG (IO)
10.54%		05/16/30	3		1,233,387		234,818
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			1,421,715		79,691
Ginnie Mae 2003-86 ZK
5.00%		10/20/33			21,464,712		23,144,645
Ginnie Mae 2005-78 ZA
5.00%		10/16/35			19,937,324		21,319,517
Ginnie Mae 2007-35 PY
6.49%		06/16/37	3		91,222,486		15,896,941
Ginnie Mae 2009-106 SD (IO)
5.99%		03/20/36	3		97,974,198		11,466,449
Ginnie Mae 2010-4 SM (IO)
5.54%		01/16/40	3		82,724,374		8,215,176
Ginnie Mae 2010-6 BS (IO)
6.24%		09/16/39	3		49,563,324		6,301,015
Ginnie Mae I (TBA)
4.00%		10/15/40			367,590,000		380,111,034
Ginnie Mae I Pool 782817
4.50%		11/15/39			76,433,770		80,607,290
Ginnie Mae II Pool 2631
7.00%		08/20/28			8,426		9,388
Ginnie Mae II Pool 80968
3.63%		07/20/34	3		52,829		54,434
							3,118,070,352
Total Mortgage-Backed (Cost $4,270,655,845)							4,573,295,467
MUNICIPAL BONDS — 0.70%*
California — 0.39%
State of California, Public Improvements, G.O., Build America Bonds
7.30%		10/01/39			19,880,000		21,061,866
State of California, School Improvements, G.O., Build America Bonds
6.65%		03/01/22			3,975,000		4,428,865
State of California, School Improvements, G.O., Build America Bonds, Taxable Variable Purpose
7.55%		04/01/39			7,799,000		8,489,290
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%		03/01/16			8,450,000		9,102,847
							43,082,868

Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois — 0.28%
State of Illinois, Build America Revenue Bonds
7.35%		07/01/35		$	13,480,000	$	14,159,392
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			17,070,000		17,699,200
							31,858,592
Pennsylvania — 0.03%
Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds
6.75%		12/01/36			2,985,000		3,096,221
Texas — 0.00%
County of Harris, Flood Control District Contract, Series B Refunding Notes, G.O., Pre-Refunded 10/01/13 @ 100
5.25%		10/01/20			7,000		7,916
Total Municipal Bonds
(Cost $73,407,163)							78,045,597
U.S. TREASURY SECURITIES — 28.41%
U.S. Treasury Bonds — 3.98%
4.25%		05/15/39			16,795,000		18,466,623
8.00%		11/15/21			79,578,000		120,069,523
2.13%		02/15/40			56,870,000		64,276,734
2.38%		01/15/25			83,110,000		110,773,721
3.50%		01/15/11			43,185,000		54,596,439
3.00%		11/15/21			103,555,000		74,335,196
							442,518,236
U.S. Treasury Notes — 24.43%
0.88%		04/30/11			230,170,000		231,055,625
1.00%		08/31/11			229,645,000		231,205,897
1.25%		09/30/15			343,945,000		343,461,345
1.75%		01/31/14			290,000		299,516
1.75%		07/31/15			460,555,000		471,708,260
1.88%		06/30/15			433,320,000		446,590,425
2.00%		01/15/16	10		26,339,000		31,742,769
2.38%		03/31/16			335,710,000		352,049,677
3.13%		04/30/17			317,950,000		344,106,475
3.38%		11/15/19			243,470,000		262,319,934
							2,714,539,923
Total U.S. Treasury Securities
(Cost $3,100,145,099)							3,157,058,159
Total Bonds – 107.73%
(Cost $11,336,654,569)							11,973,147,226

See accompanying notes to Schedule of Portfolio Investments.

58 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 5.30%
Money Market Fund — 5.25%
Dreyfus Cash Advantage Fund
0.25%11					414,257,000	$	414,257,000
DWS Money Market Series-Institutional
0.21%11					37,820,000		37,820,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.16%11,12					131,265,000		131,265,000
							583,342,000
U.S. Treasury Bills — 0.05%
U.S. Treasury Bills
0.17%13		02/10/11	14	$	140,000		139,932
0.17%13		02/10/11	14		370,000		369,821
0.17%13		02/10/11	14		1,000,000		999,516
0.17%13		02/10/11	14		2,810,000		2,808,640
0.17%13		02/10/11	14		605,000		604,707
0.17%13		02/10/11	14		85,000		84,959
0.17%13		02/10/11	14		1,295,000		1,294,373
							6,301,948
Total Short-Term Investments
(Cost $589,642,975)							589,643,948
Total Investments – 113.03%
(Cost $11,926,297,544)1							12,562,791,174
Liabilities in Excess of Other Assets – (13.03)%							(1,448,303,911	)
NET ASSETS – 100.00%						$	11,114,487,263

Issues	Contracts			Premiums (Received)			Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call Strike $127, expires 11/26/10		(2,820	)	$	(1,787,475	)	$	(2,687,813	)
Total Call Options Written				$	(1,787,475	)	$	(2,687,813	)
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Call Strike $121, expires 11/26/10		(705	)	$	(549,251	)	$	(88,125	)
Total Written Put Options				$	(549,251	)	$	(88,125	)

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
13	Euro Dollar Ninety Day,
	Expiration December 2010		$  (59,182	)
13	Euro Dollar Ninety Day,
	Expiration March 2011		(69,582	)
13	Euro Dollar Ninety Day,
	Expiration June 2011		(79,170	)
13	Euro Dollar Ninety Day,
	Expiration September 2011		(86,970	)
13	Euro Dollar Ninety Day,
	Expiration December 2011		(93,308	)
13	Euro Dollar Ninety Day,
	Expiration March 2012		(96,558	)
13	Euro Dollar Ninety Day,
	Expiration June 2012		(98,345	)
	Net unrealized depreciation		$(583,115	)

	Expiration Date		Notional Amount (000’s)		(Depreciation)			Value
SWAPS: INTEREST RATE
The Fund pays a fixed rate equal to 4.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
		11/15/21		$  9,002	$	(2,476,244	)	$	(2,476,244	)
The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
		11/15/21		8,884		(2,609,840	)		(2,609,840	)
The Fund pays a fixed rate equal to 4.54% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
		11/15/21		14,788		(4,393,996	)		(4,393,996	)
The Fund pays a fixed rate equal to 4.70% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
		11/15/21		24,457		(7,952,124	)		(7,952,124	)
				$57,131		$(17,432,204	)	$	(17,432,204	)

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation/ (Depreciation)	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
		09/20/12		$–	$	8,000	$(30,136)	$	(30,136	)
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
		12/20/12		–		5,900	(50,420)		(50,420	)
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		–		6,000	(48,560)		(48,560	)

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 59

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		$–	$	2,060	$	(110,974	)	$	(110,974	)
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
		12/20/12		–		4,580		(237,547	)		(237,547	)
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		12/20/12		–		3,200		(4,551	)		(4,551	)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		12/20/12		–		5,200		(12,099	)		(12,099	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
		03/20/13		–		1,625		(65,669	)		(65,669	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
		03/20/13		–		1,575		(63,649	)		(63,649	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
		06/20/13		–		4,320		(138,007	)		(138,007	)
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG
		12/20/13		–		7,875		(737,159	)		(737,159	)
The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc.
		03/20/14		–		7,335		(481,806	)		(481,806	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
		03/20/14		–		5,100		(250,676	)		(250,676	)
The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.
		03/20/14		–		5,490		(409,230	)		(409,230	)
The Fund pays a fixed rate equal to 3.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.
		03/20/14		–		660		(62,467	)		(62,467	)
The Fund pays a fixed rate equal to 1.20% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		03/20/14		–		4,865		(114,206	)		(114,206	)

	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s)b		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
		03/20/14		$    –			$    660		$    (21,213)			$    (21,213)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
		12/20/14		(90,057	)		6,610		(42,073	)		(132,130	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
		12/20/14		(64,117	)		5,000		(35,830	)		(99,947	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
		12/20/14		(76,228	)		5,595		(35,613	)		(111,841	)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
		03/20/15		–			4,100		(246,577	)		(246,577	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
		09/20/16		128,185			3,450		202,399			330,584
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
		09/20/16		283,654			5,510		244,322			527,976
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		296,009			5,750		254,964			550,973
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.
		09/20/16		17,798			6,875		453,924			471,722
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
		09/20/16		85,259			16,500		1,046,874			1,132,133
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
		09/20/16		16,513			6,465		427,077			443,590
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		132,553			4,060		302,869			435,422
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		88,064			2,515		181,662			269,726
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		141,768			7,945		710,308			852,076

See accompanying notes to Schedule of Portfolio Investments.

60 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation/ (Depreciation)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston
		09/20/16		$    300,921		$    8,825		$    645,532		$    946,453
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		185,753		6,165		475,423		661,176
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		270,268		7,725		558,213		828,481
				$1,716,343		$177,535		$2,305,105		$4,021,448

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)		Valuec
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
		10/12/52		$    1,235,041		$    2,130		$    (994,862)		$    240,179
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
		10/12/52		14,824,398		25,000		(12,005,398)		2,819,000
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
		10/12/52		12,041,199		20,450		(9,735,257)		2,305,942
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
		10/12/52		6,952,637		28,590		(3,728,829)		3,223,808
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
		10/12/52		1,305,935		15,430		433,952		1,739,887
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
		10/12/52		2,033,963		21,425		381,920		2,415,883
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
		10/12/52		4,814,243		8,525		(3,852,964)		961,279
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
		10/12/52		787,041		1,325		(637,634)		149,407
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
		10/12/52		474,822		805		(384,050)		90,772

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)			Valuec
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES (continued)
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
		10/12/52		$    4,239,209		$    7,265		$    (3,420,008	)		$    819,201
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
		10/12/52		22,869		95		(12,157	)		10,712
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: JPMorgan Chase & Co.
		10/12/52		96,715		1,310		51,001			147,716
				$48,828,072		$132,350		$(33,904,286	)		$14,923,786

Expiration Date	Credit Ratinga		Premiums Paid/ (Received)	Notional Amount (000’s) b		Appreciation		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10		AAA	$–		$11,525		$167,067		$167,067
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11		AAA	–		12,000		189,879		189,879
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Morgan Stanley
03/20/11		AAA	–		21,800		344,946		344,946
			$–		$45,325		$701,892		$701,892

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
		08/25/37		$(11,615,731)		$22,038		$    213,464		$(11,402,267)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. (The)
		08/25/37		(11,512,781)		24,034		(922,741)		(12,435,522)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley
		08/25/37		(10,807,917)		22,563		(866,247)		(11,674,164)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
		01/25/38		(13,829,953)		21,921		2,486,603		(11,343,350)

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 61

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s)b		Appreciation/ (Depreciation)		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
		01/25/38	$	(7,005,880	)	$	10,467	$	1,589,686	$	(5,416,194	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
		01/25/38		(6,797,863	)		9,875		1,688,246		(5,109,617	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
		01/25/38		(15,406,978	)		24,686		2,632,935		(12,774,043	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
		01/25/38		(15,377,004	)		24,686		2,602,961		(12,774,043	)
			$	(92,354,107	)	$	160,270	$	9,424,907	$	(82,929,200	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $11,928,396,679 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	758,037,144
Gross unrealized depreciation		(123,642,649	)
Net unrealized appreciation	$	634,394,495

² U.S. dollar-denominated security issued by foreign-domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at September 30, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2010, was $844,016,404 , representing 7.59% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $3,424,027, which is 0.03% of total net assets.

⁶ Security is currently in default with regard to scheduled interest or principal payments.

⁷ Non-income producing security.

⁸ Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of   Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/03/07	Asurion Corp. Term Loan,
	3.29%, 07/07/14		$738,503		$710,944		0.01%

Date of   Purchase	Security	Amortized Cost		Value		% of Total Net Assets
06/08/10	Calpine New Development Holdings LLC, 7.00%, 07/01/17		$   9,293,467		$   9,649,485		0.09	%
06/01/07	Carestream Health, Inc. Term Loan, 5.51%, 10/30/13		251,659		235,625		0.00	%
06/27/07	Cengage Learning Term Loan B, 2.54%, 07/03/14		1,929,529		1,747,543		0.02	%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 2.76%, 09/06/14		1,003,397		934,375		0.01	%
09/03/10	CIT Group, Inc. 3-DD 1st Lien Term Loan, 6.25%, 08/11/15		9,033,674		9,088,596		0.08	%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 1.96%, 04/30/12		233,869		229,831		0.00	%
01/05/09	Dex Media West LLC Term Loan, 7.23%, 10/24/14		1,236,469		1,672,223		0.01	%
06/24/10	Harrah’s Entertainment, Inc. Term Loan B2, 3.50%, 01/28/15		18,506,094		18,786,475		0.17	%
10/10/07	HCA Term Loan A, 1.79%, 11/17/12		20,182,550		20,263,454		0.18	%
03/07/07	Kelson 1st Lien, 3.54%, 03/08/13		11,856,771		12,455,655		0.11	%
09/02/10	Kelson 2nd Lien (PIK), 6.79%, 03/08/14		3,319,267		3,309,049		0.03	%
11/06/07	TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14		974,756		913,125		0.01	%
11/25/08	Tribune 1st Lien Term Loan B, 3.25%, 06/04/14		450,000		981,429		0.01	%
06/11/09	TXU Energy Term Loan B1, 3.76%, 10/10/14		794,296		766,549		0.01	%
10/31/07	TXU Energy Term Loan B3, 3.76%, 10/10/14		2,421,354		1,882,675		0.01	%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 2.51%, 09/29/14		353,749		325,311		0.01	%
09/23/10	Visant Corp. Tranche B Term Loan, 7.00%, 12/22/16		22,249,517		22,653,000		0.20	%
			$104,828,921		$106,605,344		0.96	%

⁹ Zero coupon bond. The rate shown is the effective yield as of September 30, 2010.

¹⁰  Inflation protected security. Principal amount reflects original security face amount.

¹¹  Represents the current yield as of September 30, 2010.

¹²  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $137,015,002.

¹³  Represents annualized yield at date of purchase.

¹⁴  Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $6,301,721.

†  Fair valued security. The aggregate value of fair valued securities is $112,228,998, which is 1.01% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

See accompanying notes to Schedule of Portfolio Investments.

62 / Semi-Annual Report September 2010

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London

InterBank Offer Rate

(MTN): Medium-term Note

(PIK): Payment in kind

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 63

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BONDS – 89.52%
ASSET-BACKED SECURITIES — 0.77%**
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.40%		05/25/37	2	$	4,900,000	$	2,354,658
Countrywide Asset-Backed Certificates 2007-13 2A1
1.16%		10/25/47	2		613,072		412,807
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.41%		07/25/36	2		4,000,000		2,427,866
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.37%		10/25/36	2		3,800,000		3,342,630
Home Equity Asset Trust 2007-1 2A1
0.32%		05/25/37	2		148,355		143,291
HSBC Home Equity Loan Trust 2007-3 M1
2.51%		11/20/36	2		3,800,000		2,009,573
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.49%		02/25/37	2		393,120		187,804
Total Asset-Backed Securities
(Cost $7,453,979)							10,878,629
CORPORATES — 74.79%*
Automotive — 1.23%
Cooper-Standard Automotive, Inc.
8.50%		05/01/18	3		3,200,000		3,336,000
Goodyear Tire & Rubber Co. (The)
8.25%		08/15/20			4,600,000		4,807,000
Navistar International Corp.
8.25%		11/01/21			2,485,000		2,665,163
Oshkosh Corp.
8.25%		03/01/17			1,750,000		1,890,000
Tenneco, Inc.
8.13%		11/15/15			2,125,000		2,215,313
TRW Automotive
3.50%		12/01/15	3		1,545,000		2,437,237
							17,350,713
Banking — 3.76%
Ally Financial, Inc.
2.50%		12/01/14	2		10,053,000		8,998,460
7.50%		09/15/20	3		3,450,000		3,691,500
8.00%		03/15/20	3		3,250,000		3,542,500
8.30%		02/12/15	3		2,900,000		3,161,000
Bank of America N.A.
0.59%		06/15/17	2		2,000,000		1,675,656
BankAmerica Capital II
8.00%		12/15/26			3,855,000		3,999,563
BankAmerica Capital III
1.10%		01/15/27	2		2,700,000		1,916,538

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Chase Capital II B
0.97%		02/01/27	2	$	11,790,000	$	8,994,308
Chase Capital III C
0.85%		03/01/27	2		3,000,000		2,288,247
Chase Capital VI
1.09%		08/01/28	2		1,000,000		762,248
Discover Bank
8.70%		11/18/19			2,265,000		2,676,951
Fleet Capital Trust V
1.29%		12/18/28	2		3,750,000		2,715,277
HBOS Capital Funding LP (United Kingdom)
6.07%		06/24/49	2,3,4		300,000		267,000
Nationsbank Capital Trust III
1.08%		01/15/27	2		6,342,000		4,459,073
Nationsbank Capital Trust IV
8.25%		04/15/27			815,000		841,487
Provident Funding Associates
10.25%		04/15/17	3		2,850,000		2,935,500
							52,925,308
Basic Industry — 0.15%
Ardagh Packaging Finance Plc (Ireland)
9.13%		10/15/20	4		2,000,000		2,090,000
Communications — 13.44%
CCO Holdings LLC/CCO Holdings Capital Corp.
7.88%		04/30/18	3		2,400,000		2,502,000
Cengage Learning Acquisitions, Inc.
10.50%		01/15/15	3		8,932,000		8,920,835
Cequel Communications Holdings I LLC/Cequel Capital Corp.
8.63%		11/15/17	3		12,800,000		13,568,000
Charter Communications Operating LLC/Charter Communications Operating Capital
8.00%		04/30/12	3		500,000		532,500
10.88%		09/15/14	3		4,000,000		4,550,000
Cincinnati Bell, Inc.
8.25%		10/15/17			5,150,000		5,227,250
Clearwire Communications, LLC Clearwire Finance, Inc.
12.00%		12/01/15	3		3,500,000		3,780,000
Frontier Communications Corp.
7.13%		03/15/19			3,000,000		3,090,000
8.25%		04/15/17			1,250,000		1,373,437
GCI, Inc.
7.25%		02/15/14			500,000		512,500
GCI, Inc. (WI)
8.63%		11/15/19			1,700,000		1,823,250

See accompanying notes to Schedule of Portfolio Investments.

64 / Semi-Annual Report September 2010

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Global Crossing Ltd. (WI) (Bermuda)
12.00%		09/15/15	4	$	2,000,000	$	2,270,000
Global Crossing UK Finance Plc (United Kingdom)
10.75%		12/15/14	4		2,000,000		2,070,000
Intelsat Corp.
9.25%		06/15/16			2,500,000		2,678,125
Intelsat Jackson Holdings SA (Luxembourg)
8.50%		11/01/19	3,4		1,000,000		1,082,500
9.50%		06/15/16	4		2,250,000		2,410,313
11.25%		06/15/16	4		3,250,000		3,518,125
Intelsat Luxembourg SA (PIK) (Luxembourg)
11.50%		02/04/17	4		16,628,382		18,104,151
Intelsat Luxembourg SA (STEP) (Luxembourg)
11.25%		02/04/17	4		1,500,000		1,614,375
iPCS, Inc. (PIK)
3.72%		05/01/14			9,000,000		8,617,500
Level 3 Financing, Inc.
4.34%		02/15/15	2		11,200,000		8,999,200
9.25%		11/01/14			3,400,000		3,196,000
LIN Television Corp.
6.50%		05/15/13			2,695,000		2,708,475
LIN Television Corp. B
6.50%		05/15/13			2,700,000		2,693,250
McClatchy Co. (The)
11.50%		02/15/17			5,730,000		6,102,450
Nextel Communications, Inc. E
6.88%		10/31/13			9,005,000		9,106,306
Proquest LLC/Proquest Notes Co.
9.00%		10/15/18	3		3,000,000		3,082,500
Qwest Communications International, Inc. B
7.50%		02/15/14			10,928,000		11,201,200
Sinclair Television Group, Inc.
9.25%		11/01/17	3		1,500,000		1,616,250
Sprint Nextel Corp.
6.00%		12/01/16			7,000,000		6,947,500
Telesat Canada LLC (Canada)
12.50%		11/01/17	4		2,000,000		2,370,000
Umbrella Acquisitions, Inc. (PIK)
9.75%		03/15/15	3		9,004,512		8,666,843
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)
8.13%		12/01/17	3,4		650,000		676,000
UPC Holding BV (Netherlands)
9.88%		04/15/18	3,4		1,750,000		1,872,500
Visant Corp.
10.00%		10/01/17	3		15,000,000		15,787,500

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Wind Acquisition Holdings Finance SA (Luxembourg) (PIK)
12.25%		07/15/17	3,4	$	3,214,375	$	3,459,471
Windstream Corp.
7.88%		11/01/17			5,000,000		5,237,500
8.63%		08/01/16			7,000,000		7,385,000
							189,352,806
Consumer Discretionary — 0.36%
Cott Beverages USA, Inc.
8.13%		09/01/18	3		2,600,000		2,765,750
Inverness Medical Innovations, Inc.
3.00%		05/15/16			2,430,000		2,317,613
							5,083,363
Consumer Products — 0.84%
Hanesbrands, Inc.
8.00%		12/15/16			3,275,000		3,475,594
Levi Strauss & Co.
7.63%		05/15/20			4,775,000		4,930,187
Spectrum Brands, Inc.
9.50%		06/15/18	3		3,200,000		3,436,000
							11,841,781
Electric — 9.69%
AES Corp. (The)
7.75%		10/15/15			4,636,000		4,948,930
AES Red Oak LLC A
8.54%		11/30/19			2,544,844		2,627,551
Calpine Construction Finance Co. LP
8.00%		06/01/16	3		10,925,000		11,744,375
Calpine Corp.
7.88%		07/31/20	3		2,250,000		2,289,375
Coso Geothermal Power Holdings
7.00%		07/15/26	3		4,642,466		4,633,919
Dynegy Holdings, Inc.
7.75%		06/01/19			6,000,000		4,140,000
Dynegy Roseton/Danskammer Pass Through Trust B
7.67%		11/08/16			13,596,000		12,610,290
Edison Mission Energy
7.00%		05/15/17			27,660,000		19,984,350
7.75%		06/15/16			1,750,000		1,369,375
Energy Future Holdings Corp.
10.88%		11/01/17			3,439,000		2,080,595
Energy Future Holdings Corp. (PIK)
11.25%		11/01/17			378,356		182,557
Energy Future Holdings Corp. Q
6.50%		11/15/24			6,600,000		2,557,500

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 65

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Co.
Finance, Inc.
10.00%		12/01/20		$	7,381,000	$	7,361,920
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	3		4,565,809		4,362,873
Indiantown Cogeneration LP A-10
9.77%		12/15/20			1,665,000		1,843,987
Midwest Generation LLC B
8.56%		01/02/16			1,214,825		1,196,602
Mirant Americas Generation LLC
8.50%		10/01/21			18,990,000		18,372,825
9.13%		05/01/31			6,400,000		6,096,000
Mirant Mid Atlantic Pass Through Trust B
9.13%		06/30/17			3,578,469		3,828,962
Mirant Mid Atlantic Pass Through Trust C
10.06%		12/30/28			1,914,489		2,115,510
NRG Energy, Inc.
7.38%		02/01/16			9,241,000		9,529,781
PNM Resources, Inc.
9.25%		05/15/15			7,525,000		8,136,406
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%		07/02/17			2,130,629		2,213,191
Texas Competitive Electric Holdings Co. LLC A
10.25%		11/01/15			3,500,000		2,310,000
							136,536,874
Energy — 16.72%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			7,095,000		7,165,950
Anadarko Petroleum Corp.
6.95%		06/15/19			5,150,000		5,756,258
Antero Resources Finance Corp.
9.38%		12/01/17			8,760,000		9,351,300
Aquilex Holdings LLC/Aquilex Finance Corp. (WI)
11.13%		12/15/16			1,500,000		1,492,500
Arch Coal, Inc.
7.25%		10/01/20			1,250,000		1,326,563
Arch Coal, Inc. (WI)
8.75%		08/01/16			2,500,000		2,743,750
Atlas Energy Operating Co. LLC/Atlas Energy
Finance Corp.
10.75%		02/01/18			5,100,000		5,673,750
12.13%		08/01/17			2,198,000		2,552,427
Chaparral Energy, Inc.
8.50%		12/01/15			1,500,000		1,462,500
8.88%		02/01/17			19,445,000		19,007,487

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
9.88%		10/01/20	3	$	3,750,000	$	3,825,000
Chesapeake Energy Corp.
2.25%		12/15/38			22,310,000		17,262,363
2.50%		05/15/37			2,750,000		2,406,250
2.75%		11/15/35			3,500,000		3,338,125
Comstock Resources, Inc.
8.38%		10/15/17			2,600,000		2,694,250
Continental Resources, Inc.
7.13%		04/01/21	3		1,000,000		1,034,375
Corral Petroleum Holdings AB (Sweden)
2.00%		09/18/11	3,4		818,813		759,449
Delta Petroleum Corp.
7.00%		04/01/15			1,000,000		790,000
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%		11/08/10			340,140		340,140
El Paso Pipeline Partners Operating Co. LLC
6.50%		04/01/20			2,000,000		2,150,000
Energy Transfer Equity LP
7.50%		10/15/20			2,250,000		2,362,500
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%		11/01/15	3		1,875,000		1,903,125
James River Coal Co.
9.38%		06/01/12			5,000,000		5,137,500
Linn Energy LLC/Linn Energy Finance Corp.
8.63%		04/15/20	3		2,000,000		2,130,000
Massey Energy Co.
3.25%		08/01/15			16,875,000		15,060,937
6.88%		12/15/13			2,950,000		3,038,500
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	4		10,322,000		7,741,500
8.25%		12/15/14	4		13,700,000		10,480,500
Parker Drilling Co.
9.13%		04/01/18	3		1,500,000		1,530,000
Penn Virginia Corp.
10.38%		06/15/16			5,250,000		5,775,000
Petrohawk Energy Corp.
10.50%		08/01/14			2,160,000		2,457,000
Quicksilver Resources, Inc.
7.13%		04/01/16			1,000,000		992,500
8.25%		08/01/15			3,925,000		4,160,500
9.13%		08/15/19			1,000,000		1,095,000
11.75%		01/01/16			500,000		588,750
Sabine Pass LNG LP
7.25%		11/30/13			9,200,000		8,924,000
7.50%		11/30/16			23,980,000		22,001,650
SandRidge Energy, Inc.
8.00%		06/01/18	3		1,000,000		977,500
8.75%		01/15/20	3		1,750,000		1,728,125

See accompanying notes to Schedule of Portfolio Investments.

66 / Semi-Annual Report September 2010

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
9.88%		05/15/16	3	$	2,500,000	$	2,593,750
Southern Union Co.
7.20%		11/01/66	2		30,412,000		27,446,830
Tesoro Corp.
6.50%		06/01/17			7,575,000		7,499,250
9.75%		06/01/19			1,000,000		1,105,000
Transocean, Inc. (Switzerland)
6.00%		03/15/18	4		2,700,000		2,876,493
Western Refining, Inc.
11.25%		06/15/17	3		5,000,000		4,725,000
							235,463,347
Entertainment — 1.17%
Live Nation Entertainment, Inc.
2.88%		07/15/27			3,250,000		2,795,000
8.13%		05/15/18	3		3,150,000		3,181,500
Pinnacle Entertainment, Inc. (WI)
8.63%		08/01/17			2,600,000		2,772,250
Regal Cinemas Corp.
8.63%		07/15/19			5,825,000		6,130,813
Regal Entertainment Group
9.13%		08/15/18			1,500,000		1,580,625
							16,460,188
Finance — 8.32%
Alta Wind Holdings LLC
7.00%		06/30/35	3		2,500,000		2,653,680
Astoria Depositor Corp.
8.14%		05/01/21	3		7,000,000		6,947,500
BankBoston Capital Trust III
1.04%		06/15/27	2		305,000		214,723
BankBoston Capital Trust IV
0.89%		06/08/28	2		1,900,000		1,337,758
Barnett Capital III
1.09%		02/01/27	2		800,000		558,828
Cantor Fitzgerald LP
6.38%		06/26/15	3		3,250,000		3,343,789
Capital One Capital V
10.25%		08/15/39			3,875,000		4,218,906
CIT Group, Inc.
7.00%		05/01/13			21,068,884		21,279,573
Citigroup, Inc.
0.87%		08/25/36	2		8,960,000		5,713,792
City National Capital Trust I
9.63%		02/01/40			3,000,000		3,124,164
Ford Motor Credit Co. LLC
8.00%		12/15/16			6,500,000		7,393,750
International Lease Finance Corp.
6.75%		09/01/16	3		3,250,000		3,493,750

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
7.13%		09/01/18	3	$	6,500,000	$	7,036,250
JPMorgan Chase Capital XIII M
1.24%		09/30/34	2		1,100,000		834,472
JPMorgan Chase Capital XXI U
1.42%		02/02/37	2		4,750,000		3,435,917
LBI Escrow Corp.
8.00%		11/01/17	3		6,125,000		6,691,563
Lehman Brothers Holdings, Inc. (MTN)
11.00%		11/07/16	2,5,6		383,000		78,515
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	2,5,6		294,000		60,270
MBNA Capital B
1.27%		02/01/27	2		4,550,000		3,151,785
Pinafore LLC/Pinafore, Inc.
9.00%		10/01/18	3		3,000,000		3,157,500
Prudential Holdings LLC
8.70%		12/18/23	3		2,500,000		3,161,825
Raymond James Financial, Inc.
8.60%		08/15/19			2,300,000		2,760,163
Trans Union, LLC Transunion Financing Corp.
11.38%		06/15/18	3		2,600,000		2,938,000
ZFS Finance USA Trust I
6.15%		12/15/65	2,3		15,545,000		15,467,275
ZFS Finance USA Trust II
6.45%		12/15/65	2,3		6,500,000		6,240,000
ZFS Finance USA Trust IV
5.88%		05/09/32	2,3		2,000,000		1,910,000
							117,203,748
Food — 0.48%
Dole Food Co., Inc.
8.00%		10/01/16	3		1,000,000		1,051,250
13.88%		03/15/14			1,311,000		1,605,975
JBS USA LLC/JBS USA Finance, Inc.
11.63%		05/01/14			3,500,000		4,060,000
							6,717,225
Gaming — 1.58%
Herbst Gaming, Inc.
8.13%		06/01/12	5,6		575,000		6,109
Marina District Finance Co., Inc.
9.50%		10/15/15	3		14,550,000		14,186,250
9.88%		08/15/18	3		650,000		628,875
MGM Mirage
9.00%		03/15/20	3		1,350,000		1,441,125
10.38%		05/15/14			2,400,000		2,664,000

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 67

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Gaming (continued)
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
7.75%		08/15/20	3	$	3,100,000	$	3,270,500
							22,196,859
Health Care — 4.48%
Accellent, Inc.
8.38%		02/01/17			5,650,000		5,791,250
Alere, Inc.
9.00%		05/15/16			4,779,000		4,946,265
Capella Healthcare, Inc.
9.25%		07/01/17	3		2,250,000		2,413,125
CHS/Community Health Systems, Inc.
8.88%		07/15/15			24,340,000		25,830,825
HCA, Inc.
7.50%		12/15/23			3,965,000		3,746,925
8.50%		04/15/19			3,939,000		4,372,290
9.13%		11/15/14			1,500,000		1,584,375
9.25%		11/15/16			5,100,000		5,533,500
Patheon, Inc. (Canada)
8.63%		04/15/17	3,4		2,500,000		2,568,750
Rotech Healthcare, Inc.
10.75%		10/15/15	3		3,500,000		3,478,125
Tenet Healthcare Corp.
6.88%		11/15/31			3,500,000		2,852,500
							63,117,930
Homebuilding — 0.71%
K Hovnanian Enterprises, Inc.
10.63%		10/15/16			10,000,000		10,062,500
Industrials — 2.11%
Berry Plastics Corp.
5.28%		02/15/15	2		3,150,000		2,984,625
8.25%		11/15/15			1,250,000		1,293,750
Casella Waste Systems, Inc.
11.00%		07/15/14			3,500,000		3,850,000
General Cable Corp.
0.88%		11/15/13			2,175,000		1,960,219
Graham Packaging Co. LP/GPC Capital
Corp. I
8.25%		01/01/17	3		2,500,000		2,550,000
Huntsman International LLC
8.63%		03/15/21	3		1,000,000		1,035,000
Maxim Crane Works LP
12.25%		04/15/15	3		3,150,000		2,858,625
New Enterprise Stone & Lime Co.
11.00%		09/01/18	3		2,700,000		2,538,000
Reddy Ice Corp. (WI)
11.25%		03/15/15			3,950,000		4,058,625

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Solo Cup Co./Solo Cup Operating Corp.
10.50%		11/01/13		$	4,100,000	$	4,269,125
Spirit Aerosystems, Inc.
7.50%		10/01/17			500,000		518,750
Wyle Services Corp.
10.50%		04/01/18	3		1,850,000		1,831,500
							29,748,219
Information Technology — 0.26%
First Data Corp.
8.88%		08/15/20	3		3,500,000		3,648,750
Insurance — 0.39%
Farmers Exchange Capital
7.05%		07/15/28	3		1,500,000		1,486,041
MetLife Capital Trust X
9.25%		04/08/38	2,3		1,000,000		1,185,000
Nationwide Mutual Insurance Co.
5.81%		12/15/24	2,3		3,250,000		2,814,887
							5,485,928
Materials — 1.51%
Hexion Finance Escrow, LLC
8.88%		02/01/18			3,000,000		2,955,000
Lyondell Chemical Co.
11.00%		05/01/18			669,024		743,453
NewPage Corp.
11.38%		12/31/14			4,600,000		4,186,000
Noranda Aluminum Acquisition Corp. (PIK)
5.37%		05/15/15			4,413,399		3,734,839
Verso Paper Holdings LLC/Verso Paper, Inc. B
4.22%		08/01/14	2		3,737,000		3,344,615
9.13%		08/01/14			2,900,000		2,921,750
11.38%		08/01/16			3,750,000		3,375,000
							21,260,657
Retail — 0.45%
Sears Holding Corp.
6.62%		10/15/18			3,000,000		3,022,500
Toys R Us Property Co. LLC
8.50%		12/01/17	3		3,150,000		3,346,875
							6,369,375
Services — 2.25%
Geo Group, Inc. (The)
7.75%		10/15/17	3		4,700,000		4,958,500
Mobile Mini, Inc.
6.88%		05/01/15			7,900,000		7,781,500

See accompanying notes to Schedule of Portfolio Investments.

68 / Semi-Annual Report September 2010

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services (continued)
National Money Mart Co.
10.38%		12/15/16		$	3,250,000	$	3,477,500
RSC Equipment Rental, Inc./RSC Holdings III LLC
10.00%		07/15/17	3		3,450,000		3,855,375
Stonemor Operating LLC/Cornerstone Family Services/Osiris Holdings
10.25%		12/01/17	3		4,950,000		5,265,563
United Rentals North America, Inc.
7.00%		02/15/14			3,450,000		3,467,250
7.75%		11/15/13			975,000		989,625
9.25%		12/15/19			1,275,000		1,386,563
10.88%		06/15/16			500,000		566,875
							31,748,751
Transportation — 4.89%
Air Canada (Canada)
9.25%		08/01/15	3,4		9,750,000		9,920,625
12.00%		02/01/16	3,4		4,150,000		4,056,625
Commercial Barge Line Co.
12.50%		07/15/17			2,975,000		3,287,375
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			491,145		510,177
Continental Airlines Pass-Through Trust 2007-1 B
6.90%		04/19/22			6,782,481		6,511,182
Continental Airlines Pass-Through Trust 2009-1 A
9.00%		07/08/16			1,631,283		1,875,976
Continental Airlines, Inc.
6.75%		09/15/15	3		3,250,000		3,310,937
Delta Air Lines, Inc.
12.25%		03/15/15	3		2,000,000		2,250,000
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			10,959,031		11,013,826
Delta Air Lines, Inc. 2002 G2
6.42%		07/02/12			1,450,000		1,522,500
Delta Air Lines, Inc. B
9.75%		12/17/16			2,375,597		2,484,874
JetBlue Airways Pass-Through Trust 2004-2 G1
0.75%		08/15/16	2		2,288,853		2,068,551
Martin Midstream Partners LP/Martin Midstream Finance Corp.
8.88%		04/01/18	3		1,250,000		1,262,500
Northwest Airlines, Inc. 2001 1A-2
6.84%		04/01/11			1,250,000		1,281,250
Northwest Airlines, Inc. 2001-1 A1
7.04%		04/01/22			769,064		804,468

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
PHI, Inc.
8.63%		10/15/18	3	$	3,000,000	$	2,932,500
RailAmerica, Inc.
9.25%		07/01/17			2,374,000		2,614,367
United Air Lines, Inc.
9.88%		08/01/13	3		8,700,000		9,439,500
12.00%		11/01/13	3		1,500,000		1,661,250
							68,808,483
Total Corporates
(Cost $985,377,563)							1,053,472,805
BANK LOANS — 10.39%*
Automotive — 0.42%
Ford Motor Co. Term Loan B 1st Lien
3.03%		12/15/13	7		6,000,331		5,893,453
Communications — 1.67%
Charter Communications, Inc. Term Loan 3rd Lien
2.76%		09/06/14	7		5,000,000		4,671,875
Dex Media West LLC Term Loan
7.23%		10/24/14	2,7		4,740,742		4,133,007
R.H. Donnelley, Inc., Term Loan
9.00%		10/24/14	2,7		509,579		434,780
SuperMedia, Inc. Term Loan Exit 1st Lien
11.00%		12/31/15	2,7		2,466,056		1,927,048
Univision Communications, Inc. 1st Lien Strip
2.51%		09/29/14	7		8,936,913		7,851,793
Visant Corp. Tranche B Term Loan
7.00%		12/22/16	7		4,500,000		4,530,600
							23,549,103
Consumer Discretionary — 0.14%
Tribune 1st Lien Term Loan B
3.25%		06/04/14	5,6,7		2,979,962		1,949,748
Electric — 2.24%
Boston Generating LLC 1st Lien
5.51%		12/21/13	7		6,346,447		6,102,788
Calpine New Development Holdings LLC
7.00%		07/01/17	7		5,486,250		5,586,544
Entegra Holdings LLC, Term Loan B 3rd Lien (PIK)
0.00%		10/19/15			13,914,310		7,891,404
TPF Generation Holdings LLC 2nd Lien
4.54%		12/15/14	7		1,250,000		1,141,406
TXU Energy Term Loan B1
3.76%		10/10/14	7		5,443,659		4,237,360

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 69

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
TXU Energy Term Loan B2
6.19%		10/10/14	7	$	8,478,149	$	6,598,238
							31,557,740
Energy — 1.29%
MACH Gen LLC Term Loan C (PIK)
7.81%		02/15/15	7		25,605,343		18,158,464
Finance — 1.78%
CIT Group, Inc. 3-DD 1st Lien Term Loan
6.25%		08/11/15	7		4,850,000		4,897,743
First Data Corp. Term Loan B1
3.01%		09/24/14	7		5,219,984		4,607,941
Kelson 1st Lien
3.54%		03/08/13	7		5,378,592		5,333,772
Kelson 2nd Lien (PIK)
6.79%		03/08/14	7		11,011,989		10,227,385
							25,066,841
Gaming — 1.27%
Harrah’s Entertainment, Inc. Term Loan B2
3.50%		01/28/15	7		13,250,000		11,444,635
Harrah’s Entertainment, Inc. Term Loan B3
0.00%		01/28/15			7,476,402		6,446,318
							17,890,953
Health Care — 0.19%
Carestream Health, Inc. Term Loan
5.51%		10/30/13	7		1,500,000		1,413,750
HCA Term Loan A
1.79%		11/17/12	7		1,309,556		1,266,600
							2,680,350
Industrials — 0.57%
Graham Packaging Co. LP/GPC Capital Corp. I Term Loan D
6.00%		09/23/16	7		2,000,000		2,018,126
Reynolds Group Term Loan D
0.00%		03/16/16	7		6,000,000		6,036,078
							8,054,204
Services — 0.14%
Rental Services Term Loan 2nd Lien
3.79%		11/30/13	7		2,000,000		1,945,000
Transportation — 0.68%
Delta Air Lines, Inc. Term Loan 1st Lien
1.96%		04/30/12	7		1,219,848		1,180,203
8.75%		09/16/13	7		1,980,000		2,009,288

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Transportation (continued)
United Air Lines, Inc.
2.31%		02/01/14	7	$	6,864,511	$	6,481,245
							9,670,736
Total Bank Loans
(Cost $141,071,560)							146,416,592
MORTGAGE-BACKED — 0.00%**
Non-Agency Mortgage-Backed — 0.00%
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	3,4,8		2,890		288
U.S. Agency Mortgage-Backed — 0.00%
Fannie Mae 1993-225 SG
26.33%		12/25/13	2		41,499		53,411
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			24,270		1,360
Total Mortgage-Backed
(Cost $47,214)							55,059
U.S. TREASURY SECURITIES — 2.90%**
U.S. Treasury Notes — 2.90%
U.S. Treasury Notes
0.88%		04/30/11			20,335,000		20,413,243
1.00%		08/31/11			20,335,000		20,473,217
Total U.S. Treasury Securities
(Cost $40,883,061)							40,886,460
MUNICIPAL BONDS — 0.67%*
Pennsylvania — 0.67%
Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds
6.75%		12/01/36			9,035,000		9,371,644
Total Municipal Bonds
(Cost $7,852,615)							9,371,644
Total Bonds – 89.52%
(Cost $1,182,685,992)							1,261,081,189
Issues				Shares		Value
PREFERRED STOCK — 0.41%
Electric — 0.21%
PPL Corp.
0.24%		07/01/13			52,400		2,989,944

See accompanying notes to Schedule of Portfolio Investments.

70 / Semi-Annual Report September 2010

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues		Shares		Value
PREFERRED STOCK (continued)
Finance — 0.20%
Citigroup Capital XIII
0.20%	10/30/40		110,000	$	2,750,000
Total Preferred Stock (Cost $5,457,975)					5,739,944

Issues	Contracts		Value
PUT OPTIONS PURCHASED — 0.04%
U.S. Government — 0.04%
U.S. Long Bond (CBT), Put Strike $130, expires 11/26/10
		450		597,656
Total Put Options Purchased (Cost $737,695)

Issues	Maturity Date			Shares/     Principal     Amount		Value
SHORT-TERM INVESTMENTS — 10.78%
Money Market Fund — 7.03%
BlackRock Liquidity Funds TempFund Portfolio
0.23%9					35,678,000		35,678,000
Dreyfus Cash Advantage Fund
0.25%9					59,638,000		59,638,000
DWS Money Market Series-Institutional
0.21%9					3,525,000		3,525,000
Goldman Sachs Financial Square Funds -
Prime Obligations Fund
0.16%9,10					200,000		200,000
							99,041,000
U.S. Agency Discount Notes — 1.16%
Fannie Mae
0.17%11		10/01/10		$	2,996,000		2,996,000
0.29%11		07/01/11			5,330,000		5,321,515
Freddie Mac
0.23%11		01/24/11			8,045,000		8,041,404
							16,358,919
U.S. Treasury Bills — 2.59%
U.S. Treasury Bills
0.11%11		10/28/10			35,370,000		35,366,962
0.16%11		02/10/11	12		585,000		584,717
0.16%11		02/10/11	12		495,000		494,760
							36,446,439
Total Short-Term Investments (Cost $151,840,709)							151,846,358

	Value
Total Investments – 100.75% (Cost $1,340,722,371)1	$	1,419,265,147
Liabilities in Excess of Other
Assets – (0.75%)		(10,577,610	)
Net Assets – 100.00%	$	1,408,687,537

Issues	Contracts			Premiums (Received)			Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call
Strike $138, expires 11/26/10		(450	)		$(637,305	)		$(555,469	)
TotalCall Options Written					$(637,305	)		$(555,469	)
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Call
Strike $122, expires 11/26/10,		(450	)		$(106,836	)		$(70,312	)
Total Written Put Options					$(106,836	)		$(70,312	)

	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)a		Appreciation/ (Depreciation)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		$    –		$    75		$  (107)		$  (107)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		–		125		(291)		(291)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
	03/20/13		–		100		(4,041)		(4,041)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
	03/20/13		–		100		(4,041)		(4,041)
The Fund pays a fixed rate equal to 3.55% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: UBS AG
	06/20/13		–		1,000		(59,280)		(59,280)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	06/20/14		32,355		1,000		23,587		55,942

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 71

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

	Expiration Date		Premiums Paid/ (Received)		Notional Amount (000’s) a		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
		03/20/15	$	–	$	200	$	(12,028	)	$	(12,028	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
		09/20/16		13,004		350		20,534			33,538
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
		09/20/16		15,444		300		13,302			28,746
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		15,187		295		13,080			28,267
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		5,550		170		12,682			18,232
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		6,653		190		13,724			20,377
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
		09/20/16		5,353		300		26,821			32,174
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston
		09/20/16		10,230		300		21,944			32,174
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)
		09/20/16		3,616		120		9,254			12,870
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
		09/20/16		5,167		1,000		63,447			68,614
			$	112,559	$	5,625	$	138,587		$	251,146

	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)a		Appreciation		Valueb
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: Bank of America Corp.
	06/20/15	$	(214,679	)	$	5,000	$	177,861	$	(36,818	)

	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s) a		Appreciation		Valueb
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued) The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: JPMorgan Chase & Co.
		06/20/15	$	(450,427	)	$	10,000	$	376,790	$	(73,637	)
			$	(665,106	)	$	15,000	$	554,651	$	(110,455	)

^a The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^b The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $1,340,951,839 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	85,219,144
Gross unrealized depreciation		(6,905,836	)
Net unrealized appreciation	$	78,313,308

² Floating rate security. The rate disclosed is that in effect at September 30, 2010.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2010, was $307,375,222 , representing 21.82% of total net assets.

⁴ U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵ Security is currently in default with regard to scheduled interest or principal payments.

⁶ Non-income producing security.

⁷ Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
08/28/08	Boston Generating LLC 1st Lien, 5.51%, 12/21/13	$	5,096,821	$	6,102,788	0.43%
06/08/10	Calpine New Development Holdings LLC, 7.00%, 07/01/17		5,433,513		5,586,544	0.40%
04/12/07	Carestream Health, Inc. Term Loan, 5.51%, 10/30/13		1,503,305		1,413,750	0.10%
01/05/09	Charter Communications, Inc. Term Loan 3rd Lien, 2.76%, 09/06/14		4,063,502		4,671,875	0.33%
09/13/10	CIT Group, Inc. 3-DD 1st Lien Term Loan, 6.25%, 08/11/15		4,886,334		4,897,743	0.35%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 1.96%, 04/30/12		1,162,056		1,180,203	0.08%

See accompanying notes to Schedule of Portfolio Investments.

72 / Semi-Annual Report September 2010

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
09/29/09	Delta Air Lines, Inc. Term Loan 1st Lien, 8.75%, 09/16/13	$	1,950,320	$	2,009,288	0.14%
01/05/09	Dex Media West LLC Term Loan, 7.23%, 10/24/14		3,585,392		4,133,007	0.29%
01/28/09	First Data Corp. Term Loan B1, 3.01%, 09/24/14		4,185,947		4,607,941	0.33%
06/08/09	Ford Motor Co. Term Loan B 1st Lien, 3.03%, 12/15/13		5,506,976		5,893,453	0.42%
09/16/10	Graham Packaging Co. LP/GPC Capital Corp. I Term Loan D, 6.00%, 09/23/16		1,985,082		2,018,126	0.14%
10/09/09	Harrah’s Entertainment, Inc. Term Loan B2, 3.50%, 01/28/15		11,046,627		11,444,635	0.81%
06/22/09	HCA Term Loan A, 1.79%, 11/17/12		1,232,848		1,266,600	0.09%
02/09/09	Kelson 1st Lien, 3.54%, 03/08/13		4,917,696		5,333,772	0.38%
09/16/08	Kelson 2nd Lien (PIK), 6.79%, 03/08/14		9,675,034		10,227,385	0.72%
01/08/09	MACH Gen LLC Term Loan C (PIK), 7.81%, 02/15/15		18,822,945		18,158,464	1.29%
01/11/10	R.H. Donnelley, Inc., Term Loan, 9.00%, 10/24/14		493,843		434,780	0.03%
07/27/10	Rental Services Term Loan 2nd Lien, 3.79%, 11/30/13		1,895,000		1,945,000	0.14%
09/28/10	Reynolds Group Term Loan D, 0.00%, 03/16/16		5,940,000		6,036,078	0.43%
01/29/10	SuperMedia, Inc. Term Loan Exit 1st Lien, 11.00%, 12/31/15		2,096,591		1,927,048	0.14%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14		1,231,067		1,141,406	0.08%

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
05/17/07	Tribune 1st Lien Term Loan B, 3.25%, 06/04/14	$	2,142,194	$	1,949,748	0.14%
06/11/09	TXU Energy Term Loan B1, 3.76%, 10/10/14		4,236,861		4,237,360	0.30%
08/26/10	TXU Energy Term Loan B2, 6.19%, 10/10/14		6,551,864		6,598,238	0.47%
02/03/09	United Air Lines, Inc., 2.31%, 02/01/14		4,822,237		6,481,245	0.46%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 2.51%, 09/29/14		7,787,386		7,851,793	0.56%
09/23/10	Visant Corp. Tranche B Term Loan, 7.00%, 12/22/16		4,477,331		4,530,600	0.32%
		$	126,728,772	$	132,078,870	9.37%

⁸ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $288, which is 0.00% of total net assets.

⁹ Represents the current yield as of September 30, 2010.

¹⁰ Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $200,000.

¹¹ Represents annualized yield at date of purchase.

¹² Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,079,438.

* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(IO): Interest only

(MTN): Medium-term note

(PIK): Payment in kind

(STEP): Step coupon bond

(WI): When issued

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 73

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BONDS – 91.02%
ASSET-BACKED SECURITIES — 28.01%**
ABFS Mortgage Loan Trust 2002-2 A7
(STEP)
5.72%		07/15/33		$	1,250	$	1,249
Aerco Ltd. 2A A3 (United Kingdom)
0.72%		07/15/25	2,3,4		2,774,356		1,948,985
Aircastle Aircraft Lease Backed Trust 2007-1A
G1
0.52%		06/14/37	3,4,†		805,174		680,378
Asset Backed Funding Certificates
2007-WMC1 A2B
1.26%		06/25/37	3		5,000,000		2,241,807
Asset Backed Securities Corp. Home Equity
2007-HE1 A2
0.31%		12/25/36	3		28,362		27,929
Aviation Capital Group Trust 2003-2A B1
3.26%		09/20/33	3,4,†		2,212,927		1,637,581
Babcock & Brown Air Funding I Ltd. 2007-1A
G1 (Bermuda)
0.65%		11/14/33	2,3,4,†		1,065,374		882,936
Birch Real Estate CDO Ltd. 1A A1 (Cayman
Islands)
5.16%		02/10/38	2,4,†		367,305		349,611
Centex Home Equity 2006-A AV4
0.51%		06/25/36	3		4,300,000		2,711,225
Citicorp Residential Mortgage Securities, Inc.
2007-1 A5 (STEP)
6.05%		03/25/37			1,750,000		1,462,104
Citigroup Mortgage Loan Trust, Inc.
2007-WFH2 A3
0.44%		03/25/37	3		5,000,000		2,725,697
Citigroup Mortgage Loan Trust, Inc.
2007-WFH2 M1
0.66%		03/25/37	3		6,500,000		1,534,234
Conseco Finance 2002-C BF1
8.00%		06/15/32	3		3,763,000		3,396,291
Conseco Finance 2002-C BF2
8.00%		06/15/32	3,4		1,071,314		822,281
Conseco Finance Securitizations Corp.
2002-1 A
6.68%		12/01/33	3		108,450		114,792
Conseco Financial Corp. 1996-10 M1
7.24%		11/15/28	3		2,700,000		2,810,972
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	3		1,162,000		1,234,027
Conseco Financial Corp. 1996-8 A6
7.60%		10/15/27	3		33,859		35,082
Conseco Financial Corp. 1998-4 A7
6.87%		04/01/30	3		686,664		720,614
Conseco Financial Corp. 1999-5 A5
7.86%		03/01/30	3		147,143		133,214

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Countrywide Asset-Backed Certificates
2007-4 A1A
0.38%		09/25/37	3	$	678,971	$	631,932
Countrywide Asset-Backed Certificates
2007-4 A2
5.53%		09/25/37			930,000		802,542
Credit-Based Asset Servicing and
Securitization LLC 2006-CB4 AV3
0.41%		05/25/36	3		6,900,000		4,259,104
Crystal River 2005-1A A (Cayman Islands)
0.66%		03/02/46	2,3,4		552,172		94,214
Deutsche Financial Capital Securitization LLC
1997-I A3
6.75%		09/15/27			58,228		59,790
First Franklin Mortgage Loan Asset Backed
Certificates 2007-FF1 A2D
0.48%		01/25/38	3		6,900,000		3,180,276
GE Corporate Aircraft Financing LLC 2005-1A
C
1.56%		08/26/19	3,4,†		953,000		812,439
GE SeaCo Finance SRL 2004-1A A
(Barbados)
0.56%		04/17/19	2,3,4		430,000		410,881
GE SeaCo Finance SRL 2005-1A A
(Barbados)
0.51%		11/17/20	2,3,4		658,750		606,930
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	2,3,4,†		897,332		756,016
Green Tree 2008-MH1 A3
8.97%		04/25/38	3,4		2,513,471		2,718,501
Green Tree Home Improvement Loan Trust
1995-C B2
7.60%		07/15/20			32,849		29,854
Green Tree Home Improvement Loan Trust
1995-D B2
7.45%		09/15/25			86,960		74,446
Green Tree Home Improvement Loan Trust
1995-F B2
7.10%		01/15/21			11,571		10,793
Green Tree Recreational Equipment &
Consumer Trust 1996-C Certificates
7.65%		10/15/17			6,264		5,461
HSBC Home Equity Loan Trust 2004-1 A
0.61%		09/20/33	3		892,010		827,484
HSBC Home Equity Loan Trust 2007-1 M1
0.64%		03/20/36	3		1,210,000		680,733
HSBC Home Equity Loan Trust 2007-2 M1
0.57%		07/20/36	3		1,950,000		1,194,954
HSBC Home Equity Loan Trust 2007-2 M2
0.63%		07/20/36	3		650,000		273,224
IndyMac Manufactured Housing Contract
1997-1 A3
6.61%		02/25/28			737,019		689,852

See accompanying notes to Schedule of Portfolio Investments.

74 / Semi-Annual Report September 2010

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%		02/25/28		$	363,920	$	342,350
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%		09/25/28			191,372		163,446
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%		09/25/28	3		683,471		598,097
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%		12/25/11			139,040		139,234
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%		12/25/27	3		884,964		863,872
JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.45%		05/25/35	3		854,039		759,740
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3
0.37%		05/25/37	3		1,575,000		1,152,959
Lehman ABS Mortgage Loan Trust 2007-1 2A1
0.35%		06/25/37	3,4		133,348		53,971
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
0.84%		08/25/35	3		1,019,430		928,886
Mid-State Trust 11 B
8.22%		07/15/38			17,880		17,338
Mid-State Trust 2004-1 B
8.90%		08/15/37			1,354,875		1,343,172
Mid-State Trust 6 A4
7.79%		07/01/35			52,070		51,551
Nationstar Home Equity Loan Trust 2007-A AV4
0.49%		03/25/37	3		5,000,000		2,988,367
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			2,319		2,350
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			152,097		152,787
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%		04/15/29			185,798		186,950
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%		02/15/10	5		176,245		35
Origen Manufactured Housing 2006-A A1
0.41%		11/15/18	3		2,322,764		2,232,003
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.82%		10/31/102,3,4,5,† 440,086					52,823
Peach Finance Co. 2000 A
4.71%		04/15/48	4,†		916,714		938,629

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1
0.33%		02/25/37	3	$	25,511	$	25,090
Residential Asset Securities Corp. 2007-KS2 AI1
0.33%		02/25/37	3		40,411		39,494
SG Mortgage Securities Trust 2007-NC1 A2
0.50%		12/25/36	4		1,184,247		619,422
Specialty Underwriting & Residential Finance 2004-BC4 A2C
0.75%		10/25/35	3		1,913,717		1,665,258
Structured Asset Receivables Trust 2005-1A Certificates
1.02%		01/21/15	3,4		10,988,819		10,055,078
Structured Asset Securities Corp. 2007-BC3 2A2
0.40%		05/25/47	3		1,960,000		1,314,585
Terwin Mortgage Trust 2004-7HE A1
0.81%		07/25/34	3,4		122,539		106,824
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	2,3,4		525,000		486,298
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	3,4		786,250		708,120
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	3,4		593,490		548,806
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	3		585		260
Wells Fargo Home Equity Trust 2007-2 M1
0.63%		04/25/37	3		5,000,000		70,460
Total Asset-Backed Securities
(Cost $92,486,915)							72,198,690
CORPORATES — 28.75%*
Banking — 8.14%
Ally Financial, Inc.
2.50%		12/01/14	3		1,538,000		1,376,666
7.25%		03/02/11			1,266,000		1,294,485
BAC Capital Trust XV
1.10%		06/01/56	3		2,000,000		1,269,934
Bank of America Corp. (MTN)
0.49%		06/22/12	3		1,420,000		1,425,685
1.02%		12/02/11	3		1,560,000		1,573,563
Chase Capital II B
0.97%		02/01/27	3		3,144,000		2,398,482
Chase Capital VI
1.09%		08/01/28	3		1,000,000		762,248
Credit Suisse/Guernsey 1 (Switzerland)
1.07%		05/29/49	2,3		4,900,000		3,460,625
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	3,4		1,000,000		875,000

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 75

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Fleet Capital Trust V
1.29%		12/18/28	3	$	950,000	$	687,870
KeyCorp (MTN)
0.86%		12/19/11	3		2,410,000		2,427,354
Nationsbank Capital Trust III
1.08%		01/15/27	3		1,000,000		703,102
Nationsbank Capital Trust IV
8.25%		04/15/27			1,010,000		1,042,825
Wells Fargo & Co.
1.14%		12/09/11	3		1,675,000		1,693,235
							20,991,074
Communications — 0.35%
Qwest Corp.
7.88%		09/01/11			850,000		902,063
Electric — 0.81%
Dynegy Roseton/Danskammer Pass Through Trust B
7.67%		11/08/16			1,175,000		1,089,813
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			876,000		1,008,474
							2,098,287
Energy — 2.57%
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%		11/08/10			107,711		107,711
Sabine Pass LNG LP
7.25%		11/30/13			3,930,000		3,812,100
Southern Union Co.
7.20%		11/01/66	3		1,500,000		1,353,750
Valero Energy Corp.
10.50%		03/15/39			1,000,000		1,355,916
							6,629,477
Finance — 9.03%
Astoria Depositor Corp.
8.14%		05/01/21	4		1,200,000		1,191,000
Barnett Capital III
1.09%		02/01/27	3		1,000,000		698,535
Citigroup Funding, Inc. (MTN)
0.59%		03/30/12	3		2,190,000		2,203,188
Citigroup, Inc.
0.87%		08/25/36	3		3,350,000		2,136,295
General Electric Capital Corp. (MTN)
0.81%		05/05/26	3		2,319,000		1,816,183
General Electric Capital Corp. G (MTN)
0.59%		06/08/12	3		2,310,000		2,323,896

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (The)
0.60%		02/06/12	3	$	750,000	$	745,489
1.03%		01/12/15	3		750,000		718,218
1.06%		12/05/11	3		1,775,000		1,792,164
JPMorgan Chase Capital XXIII
1.38%		05/15/47	3		200,000		145,170
Morgan Stanley
0.49%		03/13/12	3		1,215,000		1,219,033
0.69%		02/10/12	3		2,420,000		2,431,459
Morgan Stanley (MTN)
0.97%		10/18/16	3		4,050,000		3,559,059
Prudential Holdings LLC
8.70%		12/18/23	4		1,000,000		1,264,730
Raymond James Financial, Inc.
8.60%		08/15/19			860,000		1,032,061
							23,276,480
Health Care — 0.41%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			985,000		1,045,331
Insurance — 0.38%
Farmers Exchange Capital
7.05%		07/15/28	4		1,000,000		990,694
Real Estate Investment Trust (REIT) — 0.91%
HCP, Inc.
7.07%		06/08/15			500,000		564,593
HRPT Properties Trust
0.89%		03/16/11	3		750,000		748,552
Shurgard Storage Centers LLC
7.75%		02/22/11			1,000,000		1,029,413
							2,342,558
Transportation — 6.15%
American Airlines Pass-Through Trust 2001-02
6.98%		04/01/11			20,599		21,011
American Airlines Pass-Through Trust 2009-1A
10.38%		07/02/19			591,750		704,922
Continental Airlines Pass-Through Trust 1997-1 A
7.46%		04/01/15			2,251,363		2,330,161
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			2,897,757		3,010,045
Continental Airlines Pass-Through Trust 2007-1 B
6.90%		04/19/22			2,626,948		2,521,870
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			3,070,000		3,238,850

See accompanying notes to Schedule of Portfolio Investments.

76 / Semi-Annual Report September 2010

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23		$	847,630	$	851,868
JetBlue Airways Pass-Through Trust 2004-2 G1
0.75%		08/15/16	3		1,046,333		945,623
Northwest Airlines, Inc. 2001 1A-2
6.84%		04/01/11			1,200,000		1,230,000
UAL Pass-Through Trust 2009-1
10.40%		11/01/16			877,072		984,513
							15,838,863
Total Corporates
(Cost $66,774,551)							74,114,827
BANK LOANS — 7.05%*
Consumer Discretionary — 1.01%
Tribune 1st Lien Term Loan B
3.25%		06/04/14	6,7,8		3,969,987		2,597,507
Electric — 2.14%
Boston Generating LLC 1st Lien
5.51%		12/21/13	6		2,674,034		2,571,370
Calpine New Development Holdings LLC
7.00%		07/01/17	6		1,995,000		2,031,471
TPF Generation Holdings LLC 2nd Lien
4.54%		12/15/14	6		1,000,000		913,125
							5,515,966
Finance — 1.36%
Kelson 1st Lien
3.54%		03/08/13	6		3,539,368		3,509,875
Gaming — 0.92%
Harrah’s Entertainment, Inc. Term Loan B2
3.50%		01/28/15	6		2,750,000		2,375,301
Health Care — 0.82%
Carestream Health, Inc. Term Loan
5.51%		10/30/13	6		2,250,000		2,120,625
Insurance — 0.37%
Asurion Corp. Term Loan
3.29%		07/07/14	6		990,000		947,925
Transportation — 0.43%
United Air Lines, Inc.
2.31%		02/01/14	6		1,176,156		1,110,488
Total Bank Loans
(Cost $18,595,987)							18,177,687
MORTGAGE-BACKED — 20.14%**
Commercial Mortgage-Backed — 5.10%
Bayview Commercial Asset Trust 2007-1 A1
0.48%		03/25/37	3,4		4,209,135		3,064,489

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage
Securities, Inc. 2005-T20 A4A
5.30%		10/12/42	3	$	1,108,000	$	1,223,851
Commercial Mortgage Asset Trust 1999-C1
A4
6.98%		01/17/32	3		1,103,000		1,204,941
Credit Suisse First Boston Mortgage
Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			675,000		716,936
First Union National Bank Commercial
Mortgage 2002-C1 A2
6.14%		02/12/34			272,790		285,692
GE Capital Commercial Mortgage Corp. 2001-1 A2
6.53%		05/15/33			489,639		496,336
Greenwich Capital Commercial Funding Corp.
2002-C1 A4
4.95%		01/11/35			1,170,000		1,237,265
Greenwich Capital Commercial Funding Corp.
2004-GG1 A7
5.32%		06/10/36	3		1,200,000		1,316,302
JPMorgan Chase Commercial Mortgage
Securities Corp. 2001-C1 A3
5.86%		10/12/35			955,114		987,804
JPMorgan Chase Commercial Mortgage
Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			1,130,000		1,175,597
Wachovia Bank Commercial Mortgage Trust
2002-C1 A4
6.29%		04/15/34			1,345,000		1,422,998
							13,132,211
Non-Agency Mortgage-Backed — 2.88%
Banco de Credito Y Securitizacion SA 2001-1
AF (Argentina)
8.00%		05/31/10	2,4,5		338,855		27,108
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	2,4,5		110		11
Lehman XS Trust 2007-12N 1A3A
0.46%		07/25/47	3,†		14,120,000		4,518,499
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%		06/25/36	3		3,500,000		2,025,294
Opteum Mortgage Acceptance Corp. 2005-5 2A1B 5.64% 12/25/353					853,891		812,804
Washington Mutual MSC Mortgage
Pass-Through Certificates 2003-MS9 1A
7.00%		04/25/33			36,653		37,404
							7,421,120

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 77

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 12.16%
Fannie Mae (TBA)
3.50%		10/25/25		$	8,160,000	$	8,420,100
Fannie Mae 1993-80 S
10.53%		05/25/23	3		14,870		18,264
Fannie Mae 2000-45 SA (IO)
7.69%		12/18/30	3		2,405,058		410,133
Fannie Mae 2001-42 SB
8.50%		09/25/31	3		1,994		2,254
Fannie Mae 2003-107 SQ (IO)
7.39%		05/25/33	3		94,097		2,712
Fannie Mae 2003-124 IO (IO)
5.25%		03/25/31			124,209		5,254
Fannie Mae 2003-124 TS
9.80%		01/25/34	3		34,810		40,365
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32			852,663		71,584
Fannie Mae 2005-47 SL
7.50%		06/25/35	3		58,959		59,216
Fannie Mae 2005-92 US (IO)
5.84%		10/25/25	3		10,050,112		1,262,587
Fannie Mae 2006-125 SM
6.94%		01/25/37	3		11,304,690		1,843,697
Fannie Mae 2006-8 HL
6.44%		03/25/36	3		9,815,962		1,971,347
Fannie Mae 2008-50 SA (IO)
5.79%		11/25/36	3		9,516,762		1,345,617
Fannie Mae 2010-43 KS
6.16%		05/25/40	3		7,714,244		1,051,061
Freddie Mac 1602 SN
10.09%		10/15/23	3		14,590		18,960
Freddie Mac 2527 TI (IO)
6.00%		02/15/32			244,504		9,967
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			599,554		17,225
Freddie Mac 2596 IJ (IO)
5.00%		01/15/17			77,421		785
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			107,513		13,627
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			530,311		47,567
Freddie Mac 2764 CT
7.50%		03/15/34	3		49,134		49,239
Freddie Mac 2764 SH
7.50%		03/15/34	3		143,529		145,319
Freddie Mac 2827 JT
8.50%		12/15/32	3		33,650		33,992
Freddie Mac 3242 SA (IO)
6.09%		11/15/36	3		35,085,611		4,334,389

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 3247 SI (IO)
0.15%		08/15/36	3	$	89,132,017	$	351,697
Freddie Mac 3260 AS (IO)
6.12%		01/15/37	3		38,466,922		4,514,713
Freddie Mac 3280 SI (IO)
6.18%		02/15/37	3		24,764,842		3,409,035
Freddie Mac 3289 SD (IO)
5.86%		03/15/37	3		13,086,002		1,351,589
Ginnie Mae 2001-31 SJ
27.10%		02/20/31	3		74,641		125,337
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			67,349		3,775
Ginnie Mae 2004-8 SE
13.79%		11/26/23	3		338,263		421,955
							31,353,362
Total Mortgage-Backed
(Cost $41,234,917)							51,906,693
MUNICIPAL BONDS — 0.30%*
Illinois — 0.30%
State of Illinois, Pension Funding G.O.,
Taxable
3.55%		06/01/11			500,000		506,130
4.07%		01/01/14			250,000		259,215
Total Municipal Bonds
(Cost $755,870)							765,345
U.S. AGENCY SECURITIES — 4.49%
U.S. Agency Securities — 4.49%
Fannie Mae
0.28%		08/23/12	3		2,630,000		2,630,635
0.75%		12/30/11			2,310,000		2,313,293
Federal Home Loan Bank (STEP)
0.75%		03/28/13			900,000		901,656
Freddie Mac
0.24%		05/11/12	3		2,340,000		2,339,670
0.33%		11/07/11	3		1,170,000		1,170,886
0.58%		02/03/12	3		2,215,000		2,217,051
Total U.S. Agency Securities
(Cost $11,562,545)							11,573,191
Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES — 2.28%
U.S. Treasury Notes — 2.28%
U.S. Treasury Notes
0.88%		04/30/11		$	2,920,000		2,931,235
1.00%		08/31/11			2,920,000		2,939,847

See accompanying notes to Schedule of Portfolio Investments.

78 / Semi-Annual Report September 2010

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
Total U.S. Treasury Securities
(Cost $5,870,600)						$5,871,082
Total Bonds – 91.02%
(Cost $237,281,385)						234,607,515
Issues	Maturity Date		Shares		Value
PREFERRED STOCK — 1.49%
Automotive — 0.08%
Preferred Plus Trust Ford Motor Co.
8.25%		07/16/31		8,100		205,011
Communications — 0.53%
Corts Trust for US West Communications
7.50%		11/15/43		7,118		178,377
Preferred Plus Trust Citizens Communications Co.
8.38%		10/01/46		12,100		303,347
Preferred Plus Trust Qwest Capital Funding
7.75%		02/15/31		9,650		238,355
8.00%		02/15/31		19,500		484,770
Preferred Plus Trust Verizon Global Funding
Corp.
7.63%		12/01/30		6,100		159,027
						1,363,876
Electric — 0.50%
PPL Corp.
0.24%		07/01/13		22,500		1,283,850
Finance — 0.38%
Citigroup Capital XIII
0.20%		10/30/40		40,000		1,000,000
Terwin Mortgage Trust 2005-P1 A
0.00%5,6				570		1
						1,000,001
Total Preferred Stock
(Cost $3,634,917)						3,852,738
Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 15.12%
Money Market Fund — 9.77%
BlackRock Liquidity Funds TempFund
Portfolio
0.23%9				749,000		$    749,000
Dreyfus Cash Advantage Fund
0.25%9				11,369,000		11,369,000

Issues	Maturity Date			Shares/ Principal Amount			Value
SHORT-TERM INVESTMENTS (continued)
Money Market Fund (continued)
DWS Money Market Series-Institutional
0.21%9					925,000		$	925,000
Goldman Sachs Financial Square Funds -
Prime Obligations Fund
0.16%9,10					12,133,000			12,133,000
								25,176,000
U.S. Agency Discount Notes — 5.27%
Fannie Mae
0.20%11		10/20/10		$	6,855,000			6,854,472
Freddie Mac
0.17%11		10/19/10			2,355,000			2,354,837
0.18%11		10/20/10			4,385,000			4,384,662
								13,593,971
U.S. Treasury Bills — 0.08%
U.S. Treasury Bills
0.17%11		02/10/11	12		30,000			29,986
0.17%11		02/10/11	12		90,000			89,957
0.17%11		02/10/11	12		25,000			24,988
0.17%11		02/10/11	12		55,000			54,973
								199,904
Total Short-Term Investments
(Cost $38,969,538)								38,969,875
Total Investments – 107.63%
(Cost $279,885,840)1								277,430,128
Liabilities in Excess of Other
Assets – (7.63)%								(19,661,520	)
NET ASSETS – 100.00%							$	257,768,608
Issues	Contracts			Premiums (Received)			Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call Strike $127, expires 11/26/10		(60	)	$	(37,995	)		(57,187	)
Total Call Options Written				$	(37,995	)	$	(57,187	)
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Call
Strike $121, expires 11/26/10		(15	)	$	(11,686	)	$	(1,875	)
Total Written Put Options					$(11,686	)		$(1,875	)

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 79

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
12	Euro Dollar Ninety Day,
	Expiration December 2010		$  (48,555	)
12	Euro Dollar Ninety Day,
	Expiration March 2011		(58,255	)
12	Euro Dollar Ninety Day,
	Expiration June 2011		(66,955	)
12	Euro Dollar Ninety Day,
	Expiration September 2011		(73,967	)
7	Euro Dollar Ninety Day,
	Expiration December 2011		(48,193	)
7	Euro Dollar Ninety Day,
	Expiration March 2012		(49,693	)
7	Euro Dollar Ninety Day,
	Expiration June 2012		(50,655	)
	Net unrealized depreciation		$(396,273	)

	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)b		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
	09/20/12	$	—		$	2,500	$	(9,418	)	$	(9,418	)
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		—			300		(427	)		(427	)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		—			750		(1,745	)		(1,745	)
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		—			700		(36,306	)		(36,306	)
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		—			475		(25,588	)		(25,588	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
	03/20/13		—			300		(12,124	)		(12,124	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
	03/20/13		—			300		(12,124	)		(12,124	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
	12/20/14		(8,719	)		640		(4,074	)		(12,793	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
	12/20/14		(8,651	)		635		(4,042	)		(12,693	)

	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
	03/20/15	$	—	$	600	$	(36,084	)	$	(36,084	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
	09/20/16		12,918		2,500		158,617			171,535
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
	09/20/16		6,316		170		9,974			16,290
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
	09/20/16		6,692		130		5,765			12,457
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
	09/20/16		6,692		130		5,765			12,457
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	09/20/16		1,469		45		3,357			4,826
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	09/20/16		14,275		800		71,522			85,797
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)
	09/20/16		63,274		2,100		161,944			225,218
		$	94,266	$	13,075	$	275,012		$	369,278
Expiration Date	Credit Ratinga	Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation			Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	—	$	460	$	6,668		$	6,668

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

See accompanying notes to Schedule of Portfolio Investments.

80 / Semi-Annual Report September 2010

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Notes:

¹ Cost for federal income tax purposes is $280,270,405 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	27,510,737
Gross unrealized depreciation		(30,351,014	)
Net unrealized depreciation	$	(2,840,277	)

² U.S. dollar-denominated security issued by foreign-domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at September 30, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2010, was $32,703,755 , representing 12.69% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $79,978, which is 0.03% of total net assets.

⁶ Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/03/07	Asurion Corp. Term Loan, 3.29%, 07/07/14	$	984,671	$	947,925	0.37%
12/19/06	Boston Generating LLC 1st Lien, 5.51%, 12/21/13		2,674,034		2,571,370	1.00%
06/08/10	Calpine New Development Holdings LLC, 7.00%, 07/01/17		1,977,007		2,031,471	0.79%
04/12/07	Carestream Health, Inc. Term Loan, 5.51%, 10/30/13		2,259,916		2,120,625	0.82%
06/24/10	Harrah’s Entertainment,
	Inc. Term Loan B2, 3.50%, 01/28/15		2,325,321		2,375,301	0.92%
04/16/08	Kelson 1st Lien, 3.54%,
	03/08/13		3,353,701		3,509,875	1.36%
04/19/05	Terwin Mortgage Trust
	2005-P1A, 0.00%		2,893		1	0.00%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14		1,000,000		913,125	0.35%
05/17/07	Tribune 1st Lien Term Loan B, 3.25%, 06/04/14		2,845,181		2,597,507	1.01%
02/01/07	United Air Lines, Inc., 2.31%, 02/01/14		1,176,156		1,110,488	0.43%
		$	18,598,880	$	18,177,688	7.05%

⁷ Security is currently in default with regard to scheduled interest or principal payments.

⁸ Non-income producing security.

⁹ Represents the current yield as of September 30, 2010.

¹⁰ Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $12,723,000.

¹¹ Represents annualized yield at date of purchase.

¹² Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $199,904.

^† Fair valued security. The aggregate value of fair valued securities is $20,683,990, which is 8.02% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

^* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

^** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 81

AlphaTrak 500 Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
BONDS – 80.46%
ASSET-BACKED SECURITIES — 26.30%**
Accredited Mortgage Loan Trust 2005-4 A2C
0.47%		12/25/35	2	$	23,592	$	22,824
ACE Securities Corp. 2004-FM1 B1A
5.51%		09/25/33	2		17,188		3,437
ACE Securities Corp. 2006-SL1 A
0.42%		09/25/35	2		346,331		72,489
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	2,3,4		8,982		8,321
Aviation Capital Group Trust 2003-2A B1
3.26%		09/20/33	2,4,†		67,777		50,156
Aviation Capital Group Trust 2003-2A G2
1.06%		09/20/33	2,4,†		58,259		45,151
BMW Vehicle Lease Trust 2009-1 A3
2.91%		03/15/12			76,637		77,342
Capital Auto Receivables Asset Trust 2008-CPA A1
1.11%		01/15/13	2,4		68,058		68,325
Castle Trust 2003-1AW A1
1.01%		05/15/27	2,4,†		92,606		72,233
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M2
2.41%		07/25/37	2		114,000		6,087
Conseco Finance Home Loan Trust 2000-E M1
8.13%		08/15/31	2		29,780		29,447
Conseco Financial Corp. 1997-4 A5
6.88%		02/15/29			69,069		72,917
Countrywide Asset-Backed Certificates 2004-1 2A
0.50%		04/25/34	2		5,852		4,634
Credit-Based Asset Servicing and Securitization LLC 2003-CB1 AF (STEP)
3.95%		01/25/33			88,085		78,845
GE Mortgage Services LLC 1998-HE1 A7
6.47%		06/25/28			1,794		1,777
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20			21,861		19,868
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%		01/15/21			50,701		47,291
Green Tree Home Improvement Loan Trust 1996-B A
6.45%		10/15/15			3,671		3,670
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			23,014		16,568
HSBC Home Equity Loan Trust 2007-1 M1
0.64%		03/20/36	2		550,000		309,424

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Home Equity Loan Asset Backed Trust 2002-A M1
1.38%		05/25/33	2	$	470,335	$	272,001
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%		02/25/28			191,202		179,869
Lehman XS Trust 2006-2N 1A1
0.52%		02/25/46	2		76,162		45,360
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
0.51%		06/25/37	2		100,000		47,636
Merrill Lynch First Franklin Mortgage Loan Trust 2007-4 2A4
0.51%		07/25/37	2		30,000		13,854
Nationstar Home Equity Loan Trust 2007-B 2AV4
0.58%		04/25/37	2		205,000		92,597
Option One Mortgage Loan Trust 2002-1 A
0.84%		02/25/32	2		140,052		113,688
Option One Mortgage Loan Trust 2003-2 A2
0.86%		04/25/33	2		100,200		81,937
Option One Mortgage Loan Trust 2003-5 A2
0.90%		08/25/33	2		69,412		56,841
Origen Manufactured Housing 2006-A A1
0.41%		11/15/18	2		47,266		45,419
Park Place Securities, Inc. 2004-MHQ1 M1
0.96%		12/25/34	2		57,922		57,101
Residential Asset Mortgage Products, Inc. 2003-RS1 AII
1.04%		02/25/33	2		47,578		25,913
Residential Asset Securities Corp. 2003-KS3 A2
0.86%		05/25/33	2		32,332		25,797
Residential Asset Securities Corp. 2005-KS12 A2
0.51%		01/25/36	2		45,690		43,629
Residential Asset Securities Corp. 2007-KS4 A2
0.44%		05/25/37	2		100,000		69,556
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	2,4		250,628		36,378
SACO I, Inc. 2005-2 A
0.46%		04/25/35	2,4		3,541		1,397
Saxon Asset Securities Trust 2004-1 M1
1.05%		03/25/35	2		237,468		195,167
Structured Asset Receivables Trust 2005-1A Certificates
1.02%		01/21/15	2,4		251,435		230,070
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%		08/25/34	4,5		11,600,335		77,345
UCFC Home Equity Loan 1998-D MF1
6.91%		04/15/30			260,545		248,225

See accompanying notes to Schedule of Portfolio Investments.

82 / Semi-Annual Report September 2010

AlphaTrak 500 Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	2	$	62,492	$	61,139
Total Asset-Backed Securities
(Cost $3,727,197)							3,031,725
CORPORATES — 19.20%*
Banking — 3.87%
Chase Capital II B
0.97%		02/01/27	2		325,000		247,935
Credit Suisse/Guernsey 1 (Switzerland)
1.07%		05/29/49	2,3		280,000		197,750
							445,685
Electric — 1.18%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			80,000		92,098
W3A Funding Corp.
8.09%		01/02/17			43,321		44,091
							136,189
Finance — 9.53%
Citigroup, Inc.
2.08%		05/15/18	2		305,000		293,061
General Electric Capital Corp. (MTN)
0.81%		05/05/26	2		325,000		254,532
MBNA Capital A
8.28%		12/01/26			100,000		103,250
MBNA Capital B
1.27%		02/01/27	2		175,000		121,223
Morgan Stanley
0.69%		02/10/12	2		110,000		110,521
Prudential Holdings LLC (AGM)
1.17%		12/18/17	2,4		100,000		86,599
Woodbourne Capital Trust I
2.73%		04/08/49	4,5		150,000		64,500
Woodbourne Capital Trust II
2.73%		04/08/49	4,5		150,000		64,500
							1,098,186
Health Care — 0.66%
Boston Scientific Corp.
4.25%		01/12/11			75,000		75,533
Insurance — 0.44%
MetLife, Inc.
2.38%		02/06/14			50,000		50,570
Real Estate Investment Trust (REIT) — 2.14%
Duke Realty LP
5.40%		08/15/14			50,000		53,147
HCP, Inc.
6.45%		06/25/12			85,000		90,441

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Healthcare Realty Trust, Inc.
8.13%		05/01/11		$	50,000	$	51,922
Nationwide Health Properties, Inc.
6.50%		07/15/11			50,000		51,596
							247,106
Transportation — 1.38%
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			141,649		147,315
Continental Airlines Pass-Through Trust 2002-1 G1
0.83%		08/15/11	2		12,122		11,879
							159,194
Total Corporates
(Cost $2,267,229)							2,212,463
BANK LOANS — 1.56%*
Transportation — 1.56%
United Air Lines, Inc. 2.31%		02/01/14	6		190,834		180,179
Total Bank Loans
(Cost $190,834)
MORTGAGE-BACKED — 23.79%**
Commercial Mortgage-Backed — 3.42%
Bayview Commercial Asset Trust 2004-3 A1
0.63%		01/25/35	2,4		63,690		52,709
Commercial Mortgage Asset Trust 1999-C1 A4
6.98%		01/17/32	2		55,000		60,083
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			30,000		31,864
First Union National Bank Commercial Mortgage 2002-C1 A2
6.14%		02/12/34			13,871		14,527
GE Capital Commercial Mortgage Corp. 2001-1 A2
6.53%		05/15/33			20,747		21,031
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			55,000		58,162
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-C1 A3
5.86%		10/12/35			39,305		40,650
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			50,000		52,018

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 83

AlphaTrak 500 Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Wachovia Bank Commercial Mortgage Trust 2002-C1 A4
6.29%		04/15/34		$	60,000	$	63,479
							394,523
Non-Agency Mortgage-Backed — 13.68%
American Home Mortgage Investment Trust 2007-2 11A1
0.49%		03/25/47	2		104,437		54,436
Banc of America Mortgage Securities, Inc. 2003-A 2A2
3.61%		02/25/33	2		9,414		8,443
Countrywide Alternative Loan Trust 2005-16 A5
0.54%		06/25/35	2		163,094		57,667
Countrywide Alternative Loan Trust 2005-27 3A2
1.49%		08/25/35	2		94,522		50,056
Countrywide Alternative Loan Trust 2005-61 2A1
0.54%		12/25/35	2		557,802		390,696
Credit Suisse First Boston Mortgage Securities Corp. 1997-2 A
7.50%		06/25/20	4		10,198		10,564
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A
0.67%		09/19/44	2		60,382		39,768
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
0.63%		07/19/44	2		16,940		12,962
First Horizon Asset Securities, Inc. 2003-AR1 2A1
2.79%		03/25/33	2		16,356		16,055
Harborview Mortgage Loan Trust 2004-8 2A4A
0.66%		11/19/34	2		84,561		60,327
Harborview Mortgage Loan Trust 2005-11 2A1A
0.57%		08/19/45	2		163,578		112,956
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.65%		12/25/34	2		214,256		130,828
Indymac Index Mortgage Loan Trust 2004-AR5 2A1A
1.12%		08/25/34	2		28,406		18,237
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
1.04%		10/25/36	2		113,149		74,643
IndyMac Index Mortgage Loan Trust 2005-AR2 2A2A
0.60%		02/25/35	2		93,626		56,557

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.48%		04/25/46	2	$	120,335	$	63,477
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%		03/25/16			96,855		97,734
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%		04/25/31			38,210		39,135
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%		11/25/31			15,821		16,142
Structured Asset Mortgage Investments, Inc. 2006-AR5 1A1
0.47%		05/25/46	2		132,733		72,058
Structured Asset Securities Corp. 2003-15A 2A1
2.51%		04/25/33	2		71,027		64,168
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
1.77%		06/25/42	2		14,474		11,840
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%		04/25/33			114,860		117,214
							1,575,963
U.S. Agency Mortgage-Backed — 6.69%
Fannie Mae 1997-91 SL (IO)
7.50%		11/25/23	2		265,869		56,115
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32			207,967		17,459
Fannie Mae 2003-62 IG (IO)
5.00%		10/25/31			1,000,000		114,613
Fannie Mae 2004-33 MW
4.50%		01/25/30			100,000		106,576
Fannie Mae 2008-47 PF
0.76%		06/25/38	2		117,042		117,967
Fannie Mae G-36 ZB
7.00%		11/25/21			2,966		3,449
Fannie Mae Pool 646884
1.92%		05/01/32	2		79,948		81,711
Fannie Mae Pool 802665
2.74%		12/01/34	2		18,812		19,563
Fannie Mae Whole Loan 2003-W6 F
0.61%		09/25/42	2		161,296		161,330
Freddie Mac 2 L
8.00%		11/25/22			21,573		25,625

See accompanying notes to Schedule of Portfolio Investments.

84 / Semi-Annual Report September 2010

AlphaTrak 500 Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 781908
2.69%		09/01/34	2	$	63,930	$	66,678
							771,086
Total Mortgage-Backed
(Cost $3,058,280)							2,741,572
MUNICIPAL BONDS — 0.22%*
Illinois — 0.22%
State of Illinois, Pension Funding G.O.,
Taxable
4.07%		01/01/14			25,000		25,921
Total Municipal Bonds
(Cost $24,843)							25,921
U.S. AGENCY SECURITIES — 6.95%
Fannie Mae
0.28%		08/23/12	2		220,000		220,053
Federal Home Loan Bank
0.37%		06/15/11	2		210,000		210,183
0.41%		11/28/11	2		105,000		105,167
Federal Home Loan Bank (STEP)
0.75%		03/28/13			100,000		100,184
Freddie Mac
0.24%		05/11/12	2		110,000		109,985
0.33%		11/07/11	2		55,000		55,042
Total U.S. Agency Securities
(Cost $799,923)							800,614
U.S. TREASURY SECURITIES — 2.44%
U.S. Treasury Notes
0.88%		04/30/11			140,000		140,539
1.00%		08/31/11			140,000		140,951
Total U.S. Treasury Securities
(Cost $281,452)							281,490
Total Bonds – 80.46%
(Cost $10,349,758)							9,273,964
Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 18.22%
Money Market Fund — 5.77%
BlackRock Liquidity Funds TempFund Portfolio
0.23%7					107,000		107,000
Dreyfus Cash Advantage Fund
0.25%7					521,000		521,000
DWS Money Market Series-Institutional

Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Fund (continued)
0.21%7					37,000	$	37,000
							665,000
U.S. Agency Discount Notes — 5.99%
Fannie Mae
0.17%8		10/18/10		$	240,000		239,985
0.25%8		01/12/11			110,000		109,956
0.29%8		07/01/11			55,000		54,912
Freddie Mac
0.24%8		01/18/11			285,000		284,837
							689,690
U.S. Treasury Bills — 6.46%
U.S. Treasury Bills
0.18%8		02/10/11			30,000		29,985
0.18%8		02/10/11	9		715,000		714,654
							744,639
Total Short-Term Investments
(Cost $2,099,082)							2,099,329
Total Investments – 98.68%
(Cost $12,448,840)1							11,373,293
Cash and Other Assets, Less
Liabilities – 1.32%							152,523
Net Assets – 100.00%						$	11,525,816
Contracts						Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
4		S&P 500 E Mini Index Expiration December 2010				$	3,977
29		S&P 500 Index,
		Expiration December 2010					536,177
		Net unrealized     appreciation				$	540,154
Issues	Expiration Date			Notional Amount (000’s)		Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR minus 4 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: CS First Boston
		10/05/10			$2		$239,289

See accompanying notes to Schedule of Portfolio Investments.

Semi-Annual Report September 2010 / 85

AlphaTrak 500 Fund

Schedule of Portfolio Investments

September 30, 2010 (Unaudited)

Issues	Expiration Date		Notional Amount (000’s)		Value
SWAPS: TOTAL RETURN (continued)
The Fund pays a floating rate based on 1-month USD LIBOR plus 2 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: CS First Boston
		11/03/10		$2	$	–
					$	239,289

	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)b		Appreciation/ (Depreciation)			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
	03/20/14	$	–	$	25	$	(1,229	)	$	(1,229	)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
	03/20/15		–		150		(9,021	)		(9,021	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	09/20/16		3,265		100		7,460			10,725
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	09/20/16		1,428		80		7,152			8,580
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
	09/20/16		1,672		45		2,640			4,312
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
	09/20/16		2,059		40		1,774			3,833
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
	09/20/16		2,059		40		1,774			3,833
		$	10,483	$	480	$	10,550		$	21,033

Expiration Date	Credit Ratinga		Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation		Valuec
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10		AAA		$–		$255		$3,696		$3,696
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11		AAA		–		200		3,164		3,164
				$–		$455		$6,860		$6,860

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $12,505,366 and net unrealized appreciation/ (depreciation) consists of:

Gross unrealized appreciation	$	363,359
Gross unrealized depreciation		(1,495,432	)
Net unrealized depreciation	$	(1,132,073	)

² Floating rate security. The rate disclosed is that in effect at September 30, 2010.

³ U.S. dollar-denominated security issued by foreign-domiciled entity.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2010, was $868,248 , representing 7.53% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $206,345, which is 1.79% of total net assets.

⁶ Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
02/01/07	United Air Lines, Inc., 2.31%, 02/01/14		$190,834	$	180,179		1.56	%

⁷ Represents the current yield as of September 30, 2010.

⁸ Represents annualized yield at date of purchase.

⁹ Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $714,654.

† Fair valued security. The aggregate value of fair valued securities is $167,540, which is 1.45% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.))

(G.O.): General obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

See accompanying notes to Schedule of Portfolio Investments.

86 / Semi-Annual Report September 2010

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Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2010 (Unaudited)

ASSETS:	ULTRA  SHORT BOND FUND			LOW  DURATION BOND FUND
Investments, at value (Cost $90,646,041, $1,885,247,715, $223,087,391, $11,926,297,544, $1,340,722,371, $279,885,840, and $12,448,840, respectively) (Note 2)	$	84,317,108		$	1,802,309,756
Cash and cash equivalents (Note 2)		18,384			–
Cash on deposit with brokers for collateral on options (Note 3)		–			–
Premiums paid for swap contracts		–			602,242
Unrealized appreciation on swap contracts		220,197			3,866,833
Dividends and interest receivable		291,986			8,625,393
Due from Adviser (Note 6)		15,153			–
Receivable for securities sold		48,206			7,872,968
Receivables from Lehman Brothers, at value (Cost $841,064, $1,484,777, $0, $6,546,493, $210,500, $399,950, and $0, respectively) (Note 3)		174,250			307,500
Receivable for capital stock sold		839,495			6,184,818
Receivable for daily variation margin on futures contracts (Note 3)		–			38,437
Other assets		24,809			49,500
Total assets		85,949,588			1,829,857,447
Liabilities:
Unrealized depreciation on swap contracts		–			600,672
Premiums received for swap contracts		1,427,829			10,053,209
Written option contracts, at value (Premiums received $0, $0, $49,681, $2,336,726, $744,141, $49,681, and $0, respectively) (Note 3)		–			–
Bank overdraft		–			1,278
Payable for securities purchased		435,730			52,314,642
Payable for capital stock redeemed		6,077,837			9,132,169
Payable for daily variation margin on futures contracts (Note 3)		–			–
Distributions payable		4,555			467,542
Advisory fees payable (Note 6)		17,563			431,909
Audit fees payable		26,495			42,059
Accrued trustees fees and expenses		6,356			52,666
Accrued distribution (12b-1) and service fees payable		3,125			190,748
Accrued other expenses		37,269			402,286
Total liabilities		8,036,759			73,689,180
Net assets	$	77,912,829		$	1,756,168,267
Class M Shares:
Net assets (Applicable to 6,315,761, 146,228,572, 5,421,105, 578,537,184, 83,344,250, 10,209,686, and 3,027,693, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	26,406,899		$	1,248,407,987
Net asset value, offering and redemption price per Class M share	$	4.18		$	8.54
Class I Shares:
Net assets (Applicable to 12,305,404, 59,139,169, 14,746,663, 462,395,976, 49,765,295, 22,073,878, and 0,shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	51,505,930		$	505,031,530
Net asset value, offering and redemption price per Class I share	$	4.19		$	8.54
Administrative Class:
Net assets (Applicable to 0, 247,475, 0, 519,782, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	2,728,750
Net asset value, offering and redemption price per Administrative Class share		N/A		$	11.03
Net Assets Consist of:
Capital paid-in (Note 8)	$	128,419,523		$	1,999,772,829
Undistributed (distributions in excess of) net investment income		(165,424	)		(604,738	)
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options		(43,565,720	)		(162,404,031	)
Net unrealized appreciation/(depreciation) on investments		(6,995,747	)		(84,115,236	)
Net unrealized appreciation/(depreciation) on futures contracts and swap contracts		220,197			3,519,443
	$	77,912,829		$	1,756,168,267

See accompanying notes to financial statements.

88 / Semi-Annual Report September 2010

Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2010 (Unaudited)

INTERMEDIATE BOND FUND				TOTAL  RETURN BOND FUND			HIGH YIELD BOND FUND			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
		$233,308,010			$12,562,791,174			$1,419,265,147			$277,430,128			$ 11,373,293
		23,742			9,234,248			290,894			–			21,390
		–			–			2,819			1,478,325			–
		1,838,982			50,774,817			112,559			111,636			10,483
		396,239			18,286,224			773,026			423,612			266,949
		1,371,989			73,003,915			22,643,495			1,499,387			36,821
		12,655			–			43,298			–			9,973
		3,389,373			265,172,512			2,418,583			–			135
		–			1,356,075			43,153			81,990			–
		35,808			42,257,282			31,643,006			339,091			–
		7,262			–			–			–			–
		27,806			228,348			98,952			38,867			12,163
		240,411,866			13,023,104,595			1,477,334,932			281,403,036			11,731,207
		1,505,209			57,190,813			79,788			141,932			10,250
		1,469,416			92,584,509			665,106			17,370			–
		59,062			2,775,938			625,781			59,062			–
		–			–			–			16,779			–
		20,796,398			1,703,784,878			62,286,430			21,288,582			58,452
		54,602			41,505,254			3,178,025			1,034,141			51,019
		–			162			–			212			32,830
		151,649			4,594,184			922,239			605,705			–
		62,723			3,101,871			502,404			370,313			6,284
		37,217			63,479			36,546			27,731			22,426
		5,026			208,122			13,477			8,461			3,782
		9,725			1,041,011			163,592			14,602			–
		48,803			1,767,111			174,007			49,538			20,348
		24,199,830			1,908,617,332			68,647,395			23,634,428			205,391
	$	216,212,036		$	11,114,487,263		$	1,408,687,537		$	257,768,608		$	11,525,816
	$	58,131,139		$	6,174,641,149		$	882,091,047		$	81,564,220		$	11,525,816
	$	10.72		$	10.67		$	10.58		$	7.99		$	3.81
	$	158,080,897		$	4,934,295,250		$	526,596,490		$	176,204,388			N/A
	$	10.72		$	10.67		$	10.58		$	7.98			N/A
		N/A		$	5,550,864			N/A			N/A			N/A
		N/A		$	10.68			N/A			N/A			N/A
		$201,094,680		$	10,404,505,635		$	1,326,738,125		$	376,120,525		$	110,244,600
		(137,411	)		1,354,114			(474,505	)		(409,018	)		85,231
		6,065,779			117,215,248			3,236,891			(115,059,125	)		(98,525,321	)
		10,211,238			630,864,001			78,493,788			(2,783,054	)		(1,075,547	)
		(1,022,250	)		(39,451,735	)		693,238			(100,720	)		796,853
		$216,212,036		$	11,114,487,263		$	1,408,687,537		$	257,768,608		$	11,525,816

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 89

Metropolitan West Funds

Statements of Operations

For the Six Months Ended September 30, 2010 (Unaudited)

	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND
Investment Income:
Interest		$1,759,567			$30,480,078
Dividends		12,072			155,065
Total investment income		1,771,639			30,635,143
Expenses:
Investment advisory fees (Note 6)		128,703			2,491,837
Administration Fees		36,020			226,918
Custodian fees		9,021			35,464
Distribution (12b-1) and service fees		18,379			1,112,564
Interest expense (Note 3)		–			–
Insurance expense		1,239			18,040
Miscellaneous expenses		3,216			100,619
Pricing fees		19,205			28,414
Professional fees		22,854			47,304
Registration and filing fees		4,593			32,440
Reports to shareholders		3,007			47,375
Transfer agent fees		18,572			215,071
Trustees’ fees and expenses		1,213			17,990
Repayment of reimbursed expenses (Note 6)		–			–
Total operating expenses		266,022			4,374,036
Expenses waived and reimbursed (Note 6)		(72,606	)		(22,084	)
Net expenses		193,416			4,351,952
Net investment income		1,578,223			26,283,191
Realized and Change in Unrealized Gain/(Loss) on Investments,   Futures Contracts, Swap Contracts and Written Options:
Net realized gain/(loss) on:
Investments		(218,401	)		5,843,809
Futures contracts		–			5,332,394
Swap contracts		(165,843	)		(4,444,164	)
Net change in unrealized appreciation/depreciation on:
Investments		2,893,046			45,382,481
Futures contracts		–			187,009
Swap contracts		1,015,864			12,666,880
Written options		–			–
Net change in realized and unrealized gain on investments, futures contracts, written options and swap contracts		3,524,666			64,968,409
Net Increase in Net Assets from Operations		$5,102,889			$91,251,600

See accompanying notes to financial statements.

90 / Semi-Annual Report September 2010

Metropolitan West Funds

Statements of Operations

For the Six Months Ended September 30, 2010 (Unaudited)

INTERMEDIATE BOND FUND			TOTAL  RETURN BOND FUND			HIGH  YIELD BOND FUND			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
$	5,257,837		$	252,932,688		$	39,708,139		$	8,825,144		$	235,721
	16,875			776,993			142,590			129,310			823
	5,274,712			253,709,681			39,850,729			8,954,454			236,544
	378,212			16,947,902			2,367,625			2,121,900			29,801
	49,289			1,167,570			134,812			51,277			17,178
	12,684			161,268			17,168			9,138			5,754
	51,757			5,691,305			780,968			75,413			–
	–			–			31			–			–
	2,562			101,021			8,707			2,675			326
	3,652			401,657			26,232			4,151			1,558
	24,272			73,339			13,562			16,183			14,998
	34,152			111,089			37,037			25,027			18,268
	21,144			179,995			58,442			20,930			9,940
	6,536			273,400			24,546			6,865			589
	19,117			921,824			93,510			18,422			9,165
	2,416			100,748			8,757			2,520			163
	–			52,140			–			–			–
	605,793			26,183,258			3,571,397			2,354,501			107,740
	(78,570	)		–			(186,011	)		–			(58,541	)
	527,223			26,183,258			3,385,386			2,354,501			49,199
	4,747,489			227,526,423			36,465,343			6,599,953			187,345
	4,864,173			223,326,292			7,603,852			3,141,357			(194,383	)
	1,703,816			49,884,856			302,213			(38,035	)		(314,900	)
	(369,004	)		(11,380,575	)		824,411			(5,060,658	)		(300,672	)
	4,157,539			204,786,776			12,998,419			10,304,489			569,223
	208,958			1,041,674			(916	)		(169,821	)		191,565
	796,744			6,918,489			837,651			8,394,156			224,285
	(9,382	)		(439,212	)		118,360			(9,382	)		–
	11,352,844			474,138,300			22,683,990			16,562,106			175,118
$	16,100,333		$	701,664,723		$	59,149,333		$	23,162,059		$	362,463

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 91

Metropolitan West Funds

Statements of Changes in Net Assets

	ULTRA SHORT             BOND FUND
	SIX MONTHS ENDED SEPTEMBER  30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010
Operations:
Net investment income	$	1,578,223		$	4,596,797
Net realized gain/(loss) on investments		(218,401	)		(12,441,703	)
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options		(165,843	)		(165,707	)
Net change in unrealized appreciation on investments		2,893,046			22,947,062
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options		1,015,864			1,943,968
Net increase in net assets resulting from operations		5,102,889			16,880,417
Distributions to Shareholders from:
Net investment income:
Class M		(377,682	)		(1,152,339	)
Class I		(1,365,967	)		(3,845,404	)
Administrative Class		–			–
Net realized gains:
Class M		–			–
Class I		–			–
Return of capital:
Class M		–			–
Class I		–			–
Net decrease in net assets resulting from distributions		(1,743,649	)		(4,997,743	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		12,238,656			13,561,461
Shares issued in reinvestment of distributions		355,592			1,108,206
Cost of shares redeemed		(8,955,949	)		(30,931,284	)
Total Class M capital share transactions		3,638,299			(16,261,617	)
Class I:
Proceeds from sale of shares		15,307,444			46,634,632
Shares issued in reinvestment of distributions		1,363,263			2,955,480
Cost of shares redeemed		(47,606,082	)		(39,349,500	)
Total Class I capital share transactions		(30,935,375	)		10,240,612
Administrative Class:
Proceeds from sale of shares		–			–
Shares issued in reinvestment of distributions		–			–
Cost of shares redeemed		–			–
Total Administrative Class capital share transactions		–			–
Net increase/(decrease) in net assets resulting from capital share transactions		(27,297,076	)		(6,021,005	)
Net increase/(decrease) in net assets		(23,937,836	)		5,861,669
Redemption fees (Note 8)		–			–
Net assets at beginning of period		101,850,665			95,988,996
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(165,424), $1, $(604,738), $352, $(137,411), $(111,526), $1,354,114 and $(1,678,436), respectively)	$	77,912,829		$	101,850,665

See accompanying notes to financial statements.

92 / Semi-Annual Report September 2010

Metropolitan West Funds

Statements of Changes in Net Assets

LOW DURATION                 BOND FUND						INTERMEDIATE                 BOND FUND						TOTAL RETURN             BOND FUND
SIX MONTHS ENDED SEPTEMBER  30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			SIX MONTHS ENDED SEPTEMBER  30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010
$	26,283,191		$	54,829,460		$	4,747,489		$	9,654,214		$	227,526,423		$	403,228,433
	5,843,809			(61,617,611	)		4,864,173			2,002,843			223,326,292			7,081,376
	888,230			32,321,658			1,334,812			1,728,494			38,504,281			55,918,105
	45,382,481			231,189,507			4,157,539			21,021,019			204,786,776			899,965,028
	12,853,889			(18,375,039	)		996,320			(3,269,569	)		7,520,951			(104,176,091	)
	91,251,600			238,347,975			16,100,333			31,137,001			701,664,723			1,262,016,851
	(18,562,612)			(38,931,365	)		(1,043,601	)		(1,818,974	)		(124,212,078	)		(221,740,001	)
	(8,296,396)			(18,100,246	)		(3,712,582	)		(7,837,984	)		(102,287,442	)		(177,782,236	)
	(30,191)			(7,990	)		–			–			(63,331	)		(9,067	)
	–			–			–			(47,359	)		–			–
	–			–			–			(180,335	)		–			–
	–			–			–			(187,042	)		–			–
	–			–			–			(712,223	)		–			–
	(26,889,199	)		(57,039,601	)		(4,756,183	)		(10,783,917	)		(226,562,851	)		(399,531,304	)
	363,670,966			637,529,129			14,288,124			22,547,502			1,753,526,827			2,094,737,087
	17,478,351			36,637,451			988,791			1,978,085			116,109,887			200,659,167
	(210,634,768	)		(423,723,114	)		(4,585,636	)		(9,595,788	)		(605,624,960	)		(1,415,084,290	)
	170,514,549			250,443,466			10,691,279			14,929,799			1,264,011,754			880,311,964
	102,361,756			242,229,747			27,847,717			24,044,802			1,440,828,690			2,374,744,937
	6,894,911			15,239,908			2,876,663			7,323,710			85,900,542			155,883,128
	(99,509,000	)		(150,441,120	)		(43,716,404	)		(25,657,662	)		(586,834,579	)		(1,140,652,507	)
	9,747,667			107,028,535			(12,992,024	)		5,710,850			939,894,653			1,389,975,558
	2,372,345			1,429,869			–			–			4,243,300			1,677,942
	27,656			5,799			–			–			51,745			4,022
	(783,850	)		(427,842	)		–			–			(80,031	)		(504,012	)
	1,616,151			1,007,826			–			–			4,215,014			1,177,952
	181,878,367			358,479,827			(2,300,745	)		20,640,649			2,208,121,421			2,271,465,474
	246,240,768			539,788,201			9,043,405			40,993,733			2,683,223,293			3,133,951,021
	–			–			–			–			–			–
	1,509,927,499			970,139,298			207,168,631			166,174,898			8,431,263,970			5,297,312,949
$	1,756,168,267		$	1,509,927,499		$	216,212,036		$	207,168,631		$	11,114,487,263		$	8,431,263,970

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 93

Metropolitan West Funds

Statements of Changes in Net Assets

	HIGH YIELD                 BOND FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010
Operations:
Net investment income	$	36,465,343		$	42,166,853
Net realized gain/(loss) on investments		7,603,852			15,810,558
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options		1,126,624			2,966,894
Net change in unrealized appreciation on investments		12,998,419			79,417,562
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options		955,095			1,111,090
Net increase in net assets resulting from operations		59,149,333			141,472,957
Distributions to Shareholders from:
Net investment income:
Class M		(24,071,079	)		(24,906,811	)
Class I		(12,838,729	)		(16,292,308	)
Net realized gains:
Class M		–			(1,306,156	)
Class I		–			(609,410	)
Return of capital:
Class M		–			–
Class I		–			–
Net decrease in net assets resulting from distributions		(36,909,808	)		(43,114,685	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		493,752,089			551,706,443
Shares issued in reinvestment of distributions		22,296,979			24,330,841
Cost of shares redeemed		(172,745,492	)		(166,722,523	)
Total Class M capital share transactions		343,303,576			409,314,761
Class I:
Proceeds from sale of shares		306,769,247			175,428,312
Shares issued in reinvestment of distributions		10,690,774			16,223,385
Cost of shares redeemed		(50,233,233	)		(91,360,017	)
Total Class I capital share transactions		267,226,788			100,291,680
Net increase/(decrease) in net assets resulting from capital share transactions		610,530,364			509,606,441
Net increase/(decrease) in net assets		632,769,889			607,964,713
Redemption fees (Note 8)		177,954			177,954
Net assets at beginning of period		775,739,694			167,597,027
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(474,505), $(29,963), $(409,018), $54,939, $85,231 and $(650,340), respectively)	$	1,408,687,537		$	775,739,694

See accompanying notes to financial statements.

94 / Semi-Annual Report September 2010

Metropolitan West Funds

Statements of Changes in Net Assets

STRATEGIC INCOME FUND						ALPHATRAK 500 FUND
SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010
$	6,599,953		$	18,726,284		$	187,345		$	1,693,039
	3,141,357			(35,634,379	)		(194,383	)		(23,910,949	)
	(5,098,693	)		1,992,336			(615,572	)		21,403,545
	10,304,489			78,075,408			569,223			34,072,481
	8,214,953			3,325,754			415,850			(1,644,798	)
	23,162,059			66,485,403			362,463			31,613,318
	(1,757,703	)		(1,917,987	)		(292,898	)		(9,700,650	)
	(5,290,085	)		(17,718,575	)		–
	–			–			–			(1,433,003	)
	–			–			–			–
	–			–			–			–
	–			–			–			–
	(7,047,788	)		(19,636,562	)		(292,898	)		(11,133,653	)
	72,079,847			64,738,847			2,350,803			14,103,517
	1,704,554			1,876,279			285,333			10,507,518
	(44,225,546	)		(31,299,346	)		(2,218,575	)		(93,386,424	)
	29,558,855			35,315,780			417,561			(68,775,389	)
	2,165,923			34,603,648			–			–
	1,361,336			5,121,574			–			–
	(6,907,281	)		(33,736,128	)		–			–
	(3,380,022	)		5,989,094			–			–
	26,178,833			41,304,874			417,561			(68,775,389	)
	42,293,104			88,153,715			487,126			(48,295,724	)
	–			–			–			–
	215,475,504			127,321,789			11,038,690			59,334,414
$	257,768,608		$	215,475,504		$	11,525,816		$	11,038,690

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 95

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER  30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period	$	4.04		$	3.53		$	4.64		$	5.12		$	5.09		$	5.11
Income from Investment Operations:
Net investment income#		0.06			0.20			0.25			0.26			0.24			0.20
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.15			0.51			(1.10	)		(0.48	)		0.03			(0.02	)
Total from Investment Operations		0.21			0.71			(0.85	)		(0.22	)		0.27			0.18
Less Distributions:
From net investment income		(0.07	)		(0.20	)		(0.26	)		(0.26	)		(0.24	)		(0.20	)
From net capital gains		—			—			—			—			(0.00	)1		(0.00	)1
Total Distributions		(0.07	)		(0.20	)		(0.26	)		(0.26	)		(0.24	)		(0.20	)
Net Asset Value, End of Period	$	4.18		$	4.04		$	3.53		$	4.64		$	5.12		$	5.09
Total Return		5.17	%		20.74	%		(18.85	)%		(4.48	)%		5.52	%		3.62	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	26,407		$	22,020		$	35,929		$	133,051		$	119,957		$	200,563
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		.64	%3		0.95	%		0.63	%		0.54	%		0.57	%		0.57	%
After expense waivers and reimbursements		.50	%3		0.73	%		0.50	%		0.50	%		0.50	%		0.50	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.95	%3		5.24	%		5.84	%		5.23	%		4.74	%		3.93	%
Portfolio Turnover Rate		37	%4		43	%		20	%		30	%		81	%		20	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.50% and 0.50%, respectively.

³ Annualized.

⁴ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

96 / Semi-Annual Report September 2010

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT
	BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period	$	4.04		$	3.53		$	4.64		$	5.12		$	5.09		$	5.11
Income from Investment Operations:
Net investment income#		0.06			0.19			0.26			0.27			0.25			0.21
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.16			0.53			(1.10	)		(0.48	)		0.03			(0.02	)
Total from Investment Operations		0.22			0.72			(0.84	)		(0.21	)		0.28			0.19
Less Distributions:
From net investment income		(0.07	)		(0.21	)		(0.27	)		(0.27	)		(0.25	)		(0.21	)
From net capital gains		–			–			–			–			(0.00	)1		(0.00	)1
Total Distributions		(0.07	)		(0.21	)		(0.27	)		(0.27	)		(0.25	)		(0.21	)
Net Asset Value, End of Period	$	4.19		$	4.04		$	3.53		$	4.64		$	5.12		$	5.09
Total Return		0.55	%		20.93	%		(18.72	)%		(4.32	)%		5.69	%		3.79	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	51,506		$	79,830		$	60,060		$	120,380		$	125,128		$	66,493
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.48	%3		0.79	%		0.47	%		0.38	%		0.40	%		0.41	%
After expense waivers and reimbursements		0.34	%3		0.57	%		0.34	%		0.34	%		0.34	%		0.34	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.10	%3		4.93	%		6.09	%		5.40	%		4.94	%		4.10	%
Portfolio Turnover Rate		37	%4		43	%		20	%		30	%		81	%		20	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.34% and 0.34%, respectively.

³ Annualized.

⁴ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 97

Metropolitan West Funds

Financial Highlights

	LOW DURATION
	BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period	$	8.21		$	7.08		$	8.81		$	9.49		$	9.32		$	9.39
Income from Investment Operations:
Net investment income#		0.13			0.33			0.49			0.48			0.45			0.38
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.33			1.15			(1.70	)		(0.67	)		0.16			(0.07	)
Total from Investment Operations		0.46			1.48			(1.21	)		(0.19	)		0.61			0.31
Less Distributions:
From net investment income		(0.13	)		(0.35	)		(0.52	)		(0.49	)		(0.44	)		(0.38	)
Total Distributions		(0.13	)		(0.35	)		(0.52	)		(0.49	)		(0.44	)		(0.38	)
Net Asset Value, End of Period	$	8.54		$	8.21		$	7.08		$	8.81		$	9.49		$	9.32
Total Return		5.68	%		21.45	%		(14.20	)%		(2.11	)%		6.74	%		3.38	%
Ratios/Supplemental Data:		1/8
Net Assets, end of period (in thousands)	$	1,248,408		$	1,032,666		$	656,275		$	1,313,261		$	944,867		$	334,038
Ratio of Expenses to Average Net Assets1 Before expense waivers and reimbursements		0.58	%2		0.71	%		0.62	%		0.59	%		0.60	%		0.60	%
After expense waivers and reimbursements		0.58	%2		0.69	%		0.59	%		0.58	%		0.58	%		0.58	%
Ratio of Net Investment Income to Average Net Assets After expense waivers and reimbursements		3.11	%2		4.32	%		6.00	%		5.21	%		4.78	%		4.01	%
Portfolio Turnover Rate		42	%3		36	%		38	%		95	%		80	%		96	%

¹ The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.58%, 0.58% and 0.58%, respectively.

² Annualized.

³ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

98 / Semi-Annual Report September 2010

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period	$	8.22		$	7.08		$	8.82		$	9.49		$	9.32		$	9.39
Income from Investment Operations:
Net investment income#		0.14			0.35			0.50			0.50			0.47			0.40
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.32			1.16			(1.71	)		(0.66	)		0.16			(0.07	)
Total from Investment Operations		0.46			1.51			(1.21	)		(0.16	)		0.63			0.33
Less Distributions:
From net investment income		(0.14	)		(0.37	)		(0.53	)		(0.51	)		(0.46	)		(0.40	)
Total Distributions		(0.14	)		(0.37	)		(0.53	)		(0.51	)		(0.46	)		(0.40	)
Net Asset Value, End of Period	$	8.54		$	8.22		$	7.08		$	8.82		$	9.49		$	9.32
Total Return		5.66	%		21.83	%		(14.13	)%		(1.82	)%		6.94	%		3.57	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	505,032		$	476,233		$	313,864		$	595,595		$	711,598		$	485,442
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		0.39	%2		0.52	%		0.43	%		0.40	%		0.41	%		0.41	%
After expense waivers and reimbursements		0.39	%2		0.50	%		0.40	%		0.39	%		0.39	%		0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.30	%2		4.52	%		6.19	%		5.39	%		4.96	%		4.23	%
Portfolio Turnover Rate		42	%3		36	%		38	%		95	%		80	%		96	%

¹ The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.39%, 0.39% and 0.39%, respectively.

² Annualized.

³ Non-Annualized.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 99

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND ADMINISTRATIVE CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period	$	10.61		$	10.00
Income from Investment Operations:
Net investment income#		0.16			0.15
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.42			0.64
Total from Investment Operations		0.58			0.79
Less Distributions:
From net investment income		(0.16	)		(0.18	)
Total Distributions		(0.16	)		(0.18	)
Net Asset Value, End of Period	$	11.03		$	10.61
Total Return		5.51	%		7.91	%1
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	2,729		$	1,029
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.78	%3		0.91	%3
After expense waivers and reimbursements		0.78	%3		0.89	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.89	%3		2.72	%3
Portfolio Turnover Rate		42	%1		36	%1

* The Low Duration Bond Fund Administrative Class Shares commenced operations on September 23, 2009.

¹ Non-Annualized.

² The Fund incurred interest expense for the six months ended September 30, 2010 and the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.78% and 0.78%, respectively.

³ Annualized.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

100 / Semi-Annual Report September 2010

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)				YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period		$	10.17		$	9.09		$	10.17		$	10.14		$	9.99		$	10.28
Income from Investment Operations:
Net investment income#			0.22			0.49			0.52			0.48			0.48			0.45
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options			0.55			1.14			(0.93	)		0.06			0.15			(0.24	)
Total from Investment Operations			0.77			1.63			(0.41	)		0.54			0.63			0.21
Less Distributions:
From net investment income			(0.22	)		(0.49	)		(0.52	)		(0.51	)		(0.48	)		(0.47	)
From net capital gains			–			(0.01	)		(0.15	)		–			–			(0.03	)
From return of capital			–			(0.05	)		(0.00	)1		–			–			–
Total Distributions			(0.22	)		(0.55	)		(0.67	)		(0.51	)		(0.48	)		(0.50	)
Net Asset Value, End of Period		$	10.72		$	10.17		$	9.09		$	10.17		$	10.14		$	9.99
Total Return			7.66	%		18.32	%		(3.95	)%		5.48	%		6.47	%		2.08	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	58,131		$	44,805		$	25,901		$	15,231		$	12,503		$	9,147
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements			0.72	%3		0.81	%		0.77	%		0.76	%		0.82	%		0.89	%
After expense waivers and reimbursements			0.65	%3		0.70	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.23	%3		5.00	%		5.47	%		4.79	%		4.82	%		4.46	%
Portfolio Turnover Rate			62	%4		95	%		178	%		94	%		76	%		113	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.65% and 0.65%, respectively.

³ Annualized.

⁴ Non-Annualized.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 101

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period	$	10.17		$	9.09		$	10.17		$	10.14		$	9.99		$	10.27
Income from Investment Operations:
Net investment income#		0.23			0.51			0.54			0.50			0.51			0.49
Net realized and unrealized gain/(loss) on investments,futures contracts, swap contracts and written options		0.55			1.14			(0.93	)		0.06			0.14			(0.25	)
Total from Investment Operations		0.78			1.65			(0.39	)		0.56			0.65			0.24
Less Distributions:
From net investment income		(0.23	)		(0.51	)		(0.54	)		(0.53	)		(0.50	)		(0.49	)
From net capital gains		–			(0.01	)		(0.15	)		–			–			(0.03	)
From return of capital		–			(0.05	)		(0.00	)1		–			–			–
Total Distributions		(0.23	)		(0.57	)		(0.69	)		(0.53	)		(0.50	)		(0.52	)
Net Asset Value, End of Period	$	10.72		$	10.17		$	9.09		$	10.17		$	10.14		$	9.99
Total Return		7.77	%		18.57	%		(3.75	)%		5.70	%		6.70	%		2.39	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	158,081		$	162,363		$	140,274		$	138,668		$	94,791		$	56,353
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.51	%3		0.60	%		0.56	%		0.55	%		0.61	%		0.70	%
After expense waivers and reimbursements		0.44	%3		0.49	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.44	%3		5.25	%		5.62	%		4.97	%		5.03	%		4.77	%
Portfolio Turnover Rate		62	%4		95	%		178	%		94	%		76	%		113	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.44% and 0.44%, respectively.

³ Annualized.

⁴ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

102 / Semi-Annual Report September 2010

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period	$	10.16		$	8.89		$	9.82		$	9.79		$	9.46		$	9.71
Income from Investment Operations:
Net investment income#		0.24			0.57			0.53			0.48			0.48			0.53
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.51			1.26			(0.74	)		0.04			0.33			(0.24	)
Total from Investment Operations		0.75			1.83			(0.21	)		0.52			0.81			0.29
Less Distributions:
From net investment income		(0.24	)		(0.56	)		(0.55	)		(0.49	)		(0.48	)		(0.54	)
From net capital gains		–			–			(0.17	)		–			–			–
Total Distributions		(0.24	)		(0.56	)		(0.72	)		(0.49	)		(0.48	)		(0.54	)
Net Asset Value, End of Period	$	10.67		$	10.16		$	8.89		$	9.82		$	9.79		$	9.46
Total Return		7.45	%		21.16	%		(2.10	)%		5.44	%		8.80	%		3.04	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	6,174,641		$	4,645,082		$	3,275,319		$	3,533,010		$	1,206,825		$	555,873
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		0.63	%2		0.72	%		0.65	%		0.66	%		0.66	%		0.67	%
After expense waivers and reimbursements		0.63	%2		0.72	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.61	%2		5.88	%		5.74	%		4.89	%		5.01	%		5.49	%
Portfolio Turnover Rate		84	%3		141	%		220	%		124	%		101	%		174	%

¹ The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.63% and 0.65%, respectively.

² Annualized.

³ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 103

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)				YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period		$	10.16		$	8.89		$	9.82		$	9.79		$	9.46		$	9.71
Income from Investment Operations:
Net investment income#			0.25			0.58			0.55			0.50			0.50			0.55
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options			0.51			1.27			(0.75	)		0.04			0.33			(0.24	)
Total from Investment Operations			0.76			1.85			(0.20	)		0.54			0.83			0.31
Less Distributions:
From net investment income			(0.25	)		(0.58	)		(0.56	)		(0.51	)		(0.50	)		(0.56	)
From net capital gains			–			–			(0.17	)		–			–			–
Total Distributions			(0.25	)		(0.58	)		(0.73	)		(0.51	)		(0.50	)		(0.56	)
Net Asset Value, End of Period		$	10.67		$	10.16		$	8.89		$	9.82		$	9.79		$	9.46
Total Return			7.56	%		21.42	%		(1.89	)%		5.65	%		9.03	%		3.25	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	4,934,295		$	3,784,988		$	2,021,994		$	2,227,359		$	1,293,926		$	965,577
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements			0.42	%2		0.51	%		0.44	%		0.44	%		0.45	%		0.46	%
After expense waivers and reimbursements			0.42	%2		0.51	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.81	%2		6.03	%		5.95	%		5.11	%		5.25	%		5.71	%
Portfolio Turnover Rate			84	%3		141	%		220	%		124	%		101	%		174	%

¹ The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.42% and 0.44% respectively.

² Annualized.

³ Non-Annualized.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

104 / Semi-Annual Report September 2010

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period		$10.17			$10.00
Income from Investment Operations:
Net investment income#		0.22			0.13
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.52			0.17
Total from Investment Operations		0.74			0.30
Less Distributions:
From net investment income		(0.23	)		(0.13	)
Total Distributions		(0.23	)		(0.13	)
Net Asset Value, End of Period		$10.68			$10.17
Total Return		7.33	%		3.05	%1
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$5,551			$1,194
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.83	%3		0.92	%
After expense waivers and reimbursements		0.83	%3		0.92	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.23	%3		4.66	%
Portfolio Turnover Rate		84	%1		141	%1

* The Total Return Bond Fund Administrative Class Shares commenced operations on December 18, 2009.

¹ Non-Annualized.

² The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.83% and 0.85%, respectively.

³ Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 105

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period	$	10.40		$	7.65		$	9.71		$	10.97		$	10.89		$	11.42
Income from Investment Operations:
Net investment income#		0.40			0.92			0.88			0.86			0.87			0.81
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		0.18			2.78			(2.08	)		(1.16	)		0.07			(0.20	)
Total from Investment Operations		0.58			3.70			(1.20	)		(0.30	)		0.94			0.61
Less Distributions:
From net investment income		(0.40	)		(0.91	)		(0.87	)		(0.92	)		(0.86	)		(0.82	)
From net capital gains		–			–			–			–			–			(0.32	)
From return of capital		–			–			–			(0.04	)		–			–
Total Distributions		(0.40	)		(0.95	)		(0.87	)		(0.96	)		(0.86	)		(1.14	)
Redemption fees added to paid-in capital (Note 8)		0.00	1		0.00	1		0.01			0.00	1		0.00	1		0.00	1
Net Asset Value, End of Period	$	10.58		$	10.40		$	7.65		$	9.71		$	10.97		$	10.89
Total Return		5.75	%		49.85	%		(12.59	)%		(3.13	)%		9.00	%		5.59	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	882,091		$	523,717		$	60,702		$	41,266		$	38,022		$	41,037
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.84	%3		0.88	%		0.99	%		0.98	%		1.05	%		1.10	%
After expense waivers and reimbursements		0.80	%3		0.81	%		0.80	%		0.80	%		0.80	%		0.80	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.61	%3		9.29	%		10.24	%		8.15	%		8.01	%		7.25	%
Portfolio Turnover Rate		15	%4		40	%		107	%		120	%		97	%		111	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.80% and 0.80%, respectively.

³ Annualized.

⁴ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

106 / Semi-Annual Report September 2010

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period		$    10.40			$    7.65			$    9.71			$  10.97			$  10.90			$  11.43
Income from Investment Operations:
Net investment income#		0.41			0.95			0.91			0.88			0.90			0.84
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		0.19			2.77			(2.09	)		(1.16	)		0.06			(0.21	)
Total from Investment Operations		0.60			3.72			(1.18	)		(0.28	)		0.96			0.63
Less Distributions:
From net investment income		(0.42	)		(0.93	)		(0.89	)		(0.91	)		(0.89	)		(0.84	)
From net capital gains		–			(0.04	)		–			–			–			(0.32	)
From return of capital		–			–			–			(0.07	)		–			–
Total Distributions		(0.42	)		(0.97	)		(0.89	)		(0.98	)		(0.89	)		(1.16	)
Redemption fees added to paid-in capital (Note 8)		0.00	1		0.00	1		0.01			0.00	1		0.00	1		0.00	1
Net Asset Value, End of Period		$    10.58			$    10.40			$    7.65			$    9.71			$  10.97			$  10.90
Total Return		5.88	%		50.22	%		(12.37	)%		(2.88	)%		9.18	%		5.86	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$526,596			$252,022			$106,895			$63,589			$50,776			$32,058
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.59	%3		0.63	%		0.73	%		0.73	%		0.81	%		0.85	%
After expense waivers and reimbursements		0.55	%3		0.56	%		0.55	%		0.55	%		0.55	%		0.55	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.87	%3		9.82	%		10.88	%		8.40	%		8.31	%		7.49	%
Portfolio Turnover Rate		15	%4		40	%		107	%		120	%		97	%		111	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.55% and 0.55%, respectively.

³ Annualized.

⁴ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 107

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009				YEAR ENDED MARCH 31, 2008				YEAR ENDED MARCH 31, 2007				YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period		$	7.45			$	5.69			$	8.85			$	11.09			$	11.07			$	11.22
Income from Investment Operations:
Net investment income#			0.21				0.58				0.89				0.79				0.59				0.55
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short			0.56				1.91				(2.98	)			(2.21	)			0.01				(0.11	)
Total from Investment Operations			0.77				2.49				(2.09	)			(1.42	)			0.60				0.44
Less Distributions:
From net investment income			(0.23	)			(0.73	)			(1.07	)			(0.82	)			(0.58	)			(0.57	)
From net capital gains			–				–				–				–				–				(0.02	)
Total Distributions			(0.23	)			(0.73	)			(1.07	)			(0.82	)			(0.58	)			(0.59	)
Net Asset Value, End of Period		$	7.99			$	7.45			$	5.69			$	8.85			$	11.09			$	11.07
Total Return			10.43	%			46.49	%			(25.33	)%			(13.44	)%			5.57	%			4.04	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	81,564			$	47,906			$	8,020			$	43,785			$	99,001			$	86,288
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements			2.20	%2			2.01	%			0.79	%			1.61	%			1.70	%			1.91	%
After expense waivers and reimbursements			2.20	%2			2.01	%			0.79	%			1.61	%			1.70	%			1.91	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.45	%2			8.41	%			11.19	%			7.49	%			5.35	%			4.94	%
Portfolio Turnover Rate			57	%3			208	%			294	%			74	%			27	%			44	%

¹ The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 2.20%, 1.63%, 0.60% and 1.06%, respectively.

² Annualized.

³ Non-Annualized.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

108 / Semi-Annual Report September 2010

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)				YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period		$	7.44		$	5.69		$	8.85		$	11.08		$	11.07		$	11.22
Income from Investment Operations:
Net investment income#			0.22			0.71			0.95			0.85			0.60			0.59
Net realized and unrealized gain/ (loss) on investments, futures contracts, swap contracts, written options and securities sold short			0.56			1.79			(3.02	)		(2.23	)		0.02			(0.12	)
Total from Investment Operations			0.78			2.50			(2.07	)		(1.38	)		0.62			0.47
Less Distributions:
From net investment income			(0.24	)		(0.75	)		(1.09	)		(0.85	)		(0.61	)		(0.60	)
From net capital gains			–			–			–			–			–			(0.02	)
Total Distributions			(0.24	)		(0.75	)		(1.09	)		(0.85	)		(0.61	)		(0.62	)
Net Asset Value, End of Period		$	7.98		$	7.44		$	5.69		$	8.85		$	11.08		$	11.07
Total Return			10.58	%		46.65	%		(25.14	)%		(13.22	)%		5.73	%		4.30	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	176,204		$	167,570		$	119,302		$	271,639		$	369,484		$	121,108
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements			1.95	%2		1.76	%		0.51	%		1.34	%		1.63	%		1.62	%
After expense waivers and reimbursements			1.95	%2		1.76	%		0.51	%		1.34	%		1.63	%		1.62	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.73	%2		10.56	%		12.39	%		8.13	%		5.44	%		5.27	%
Portfolio Turnover Rate			57	%3		208	%		294	%		74	%		27	%		44	%

¹ The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 1.95%, 1.38%, 0.32% and 0.78%, respectively.

² Annualized.

³ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Semi-Annual Report September 2010 / 109

Metropolitan West Funds

Financial Highlights

	ALPHATRAK 500 FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED)				YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Period		$	3.79		$	2.96		$	6.71		$	8.56		$	8.14		$	7.61
Income from Investment Operations:
Net investment income#			0.06			0.15			0.29			0.48			0.42			0.36
Net realized and unrealized gain/ (loss) on investments, futures contracts, swap contracts and written options			0.06			2.45			(4.01	)		(1.56	)		0.61			0.56
Total from Investment Operations			0.12			2.60			(3.72	)		(1.08	)		1.03			0.92
Less Distributions:
From net investment income			(0.10	)		(1.55	)		–			(0.45	)		(0.61	)		(0.39	)
From net capital gains			–			(0.22	)		–			(0.23	)		–			–
From return of capital			–			–			(0.03	)		(0.09	)		–			–
Total Distributions			(0.10	)		(1.77	)		(0.03	)		(0.77	)		(0.61	)		(0.39	)
Net Asset Value, End of Period		$	3.81		$	3.79		$	2.96		$	6.71		$	8.56		$	8.14
Total Return			3.61	%		96.57	%		(55.65	)%		(14.03	)%		12.85	%		12.33	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	11,526		$	11,039		$	59,334		$	157,644		$	183,696		$	156,418
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements			1.97	%2		1.30	%		0.24	%		0.13	%		0.73	%		0.36	%
After expense waivers and reimbursements			0.90	%2		1.21	%		0.22	%		0.13	%		0.73	%		0.36	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.43	%2		3.84	%		5.57	%		5.74	%		5.01	%		4.54	%
Portfolio Turnover Rate			13	%3		24	%		145	%		89	%		106	%		64	%

¹ The Fund incurred interest expense for the six months ended September 30, 2010 and the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.90%, 0.90% and 0.18%, respectively.

² Annualized.

³ Non-Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

110 / Semi-Annual Report September 2010

Notes to Financial Statements

September 30, 2010 (Unaudited)

1. SUMMARY OF ORGANIZATION

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940 (the “1940 Act” as amended). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of seven separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), and Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”). The Total Return Bond Fund and Low Duration Bond Fund commenced investment operations on March 31, 1997. Effective March 31, 2000, the Low Duration Bond Fund and the Total Return Bond Fund offered two classes of shares: Class M and Class I shares. The AlphaTrak 500 Fund – Class M commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The HighYield Bond Fund – Class M commenced operations on September 30, 2002. The HighYield Bond Fund – Class I commenced operations on March 31, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003. The Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 30, 2004. The Low Duration Bond Fund - Administrative Class commenced operations on September 23, 2009. The Total Return Bond Fund - Administrative Class commenced operations on December 18, 2009.

The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a portfolio of high-yield, fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include: shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations. The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (“S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectus and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.

Semi-Annual Report September 2010 / 111

Notes to Financial Statements (continued)

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds:

Security Valuation:

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”), which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. As appropriate, quotations for high-yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy comprised of a relevant security (i.e., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. Once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system, as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61^st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Securities Transactions and Investment Income:

Security transactions are accounted for no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on trade date. Cost is determined and gains and losses are based on the first-in first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts and premiums on securities are amortized using the interest method.

Distributions to Shareholders:

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare distributions daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay distributions to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

Federal Income Taxation:

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’

112 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

As of and during the period ended September 30, 2010 (Unaudited), the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Funds did not incur any interest or penalties.

Cash and cash equivalents:

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing and non-interest-bearing accounts.

Use of estimates:

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Fair Value Measurements:

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 1 - unadjusted quoted prices in active markets for identical securities

* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

* Level 3 - significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-Backed securities and mortgage backed securities. The fair value of asset backed securities and mortgage backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

Semi-Annual Report September 2010 / 113

Notes to Financial Statements (continued)

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources . Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.

Municipal Bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

U.S. Government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy.

Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.

Futures Contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Options Contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporates various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC option contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Interest Rate Swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Credit Default Swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Total Return Swaps. Total Return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

As of September 30, 2010, Level 3 securities consist of certain asset-backed securities, collateralized mortgage obligations, corporate bonds and interest-only securities that trade in over the counter markets.

114 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

The summary of inputs used to value each Fund’s net assets as of September 30, 2010 is as follows:

ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	7,312,000	$	–	$	–	$	7,312,000
Long-Term Investments:
Asset-Backed Securities		–		14,232,438		–		14,232,438
Bank Loans		–		619,627		–		619,627
Corporates		–		14,401,637		–		14,401,637
Mortgage-Backed		–		44,229,458		–		44,229,458
Municipal Bonds		–		1,159,440		–		1,159,440
U.S. Treasury Securities		–		2,362,508		–		2,362,508
Other Financial Instruments *
Assets:
Interest rate contracts		–		–		–		–
Credit contracts		–		17,189		–		17,189
Liabilities:
Interest rate contracts		–		–		–		–
Credit contracts		–		(1,224,821)		–		(1,224,821)
Total	$	7,312,000	$	75,797,476	$	–	$	83,109,476
LOW DURATION BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	33,751,100	$	84,218,481	$	–	$	117,969,581
Long-Term Investments:
Asset-Backed Securities		–		276,604,642		9,012		276,613,654
Bank Loans		–		10,375,797		–		10,375,797
Corporates		–		493,466,875		1,290,000		494,756,875
Mortgage-Backed		–		589,144,339		15,617		589,159,956
Municipal Bonds		–		17,737,657		–		17,737,657
U.S. Agency Securities		–		146,894,182		–		146,894,182
U.S. Treasury Securities				148,802,054				148,802,054
Other Financial Instruments *
Assets:
Interest rate contracts		247,837		–		–		247,837
Credit contracts		–		2,588,053		–		2,588,053
Liabilities:
Interest rate contracts		–		–				–
Credit contracts		–		(8,772,859)				(8,772,859)
Total	$	33,998,937	$	1,761,059,221	$	1,314,629	$	1,796,372,787

Semi-Annual Report September 2010 / 115

Notes to Financial Statements (continued)

INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	6,685,000	$	1,507,912	$	–	$	8,192,912
Long-Term Investments:
Asset-Backed Securities		–		30,865,349		–		30,865,349
Bank Loans		–		440,204		–		440,204
Corporates		–		67,961,152		–		67,961,152
Mortgage-Backed		–		66,860,804		–		66,860,804
Municipal Bonds		–		2,036,755		–		2,036,755
U.S. Agency Securities		–		1,200,908		–		1,200,908
U.S. Treasury Securities		–		55,749,926		–		55,749,926
Other Financial Instruments *
Assets:
Interest rate contracts		183,429		–		–		183,429
Credit contracts		–		616,224		–		616,224
Liabilities:
Interest rate contracts		(156,279)		–		–		(156,279)
Credit contracts		–		(1,355,628)		–		(1,355,628)
Total	$	6,712,150	$	225,883,606	$	–	$	232,595,756
TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	583,342,000	$	6,301,948	$	–	$	589,643,948
Long-Term Investments:
Asset-Backed Securities		–		1,330,099,725		14,264		1,330,113,989
Bank Loans		–		108,324,362		–		108,324,362
Corporates		–		2,724,116,652		2,193,000		2,726,309,652
Mortgage-Backed		–		4,573,274,675		20,792		4,573,295,467
Municipal Bonds		–		78,045,597		–		78,045,597
U.S. Treasury Securities		–		3,157,058,159		–		3,157,058,159
Other Financial Instruments *
Assets:
Interest rate contracts		–		–		–		–
Credit contracts		–		23,075,990		–		23,075,990
Liabilities:
Interest rate contracts		(3,359,053)		(17,432,204)		–		(20,791,257)
Credit contracts		–		(86,358,064)		–		(86,358,064)
Total	$	579,982,947	$	11,896,506,840	$	2,228,056	$	12,478,717,843

116 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	99,041,000	$	52,805,358	$	–	$	151,846,358
Long-Term Investments:
Asset-Backed Securities		–		10,878,629		–		10,878,629
Bank Loans		–		146,416,592		–		146,416,592
Corporates		–		1,053,466,696		6,109		1,053,472,805
Mortgage-Backed		–		54,771		288		55,059
Municipal Bonds		–		9,371,644		–		9,371,644
Preferred Stock		–		5,739,944		–		5,739,944
Put Options Purchased		597,656		–		–		597,656
U.S. Treasury Securities		–		40,886,460		–		40,886,460
Other Financial Instruments *
Assets:
Interest rate contracts		–		–		–		–
Credit contracts		–		330,934		–		330,934
Liabilities:
Interest rate contracts		(625,781)		–		–		(625,781)
Credit contracts		–		(190,243)		–		(190,243)
Total	$	99,012,875	$	1,319,760,785	$	6,397	$	1,418,780,057
STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	25,176,000	$	13,793,875	$	–	$	38,969,875
Long-Term Investments:
Asset-Backed Securities		–		72,198,655		35		72,198,690
Bank Loans		–		18,177,687		–		18,177,687
Corporates		–		74,114,827		–		74,114,827
Mortgage-Backed		–		51,906,682		11		51,906,693
Municipal Bonds		–		765,345		–		765,345
Preferred Stock		–		3,852,737		1		3,852,738
U.S. Agency Securities		–		11,573,191		–		11,573,191
U.S. Treasury Securities		–		5,871,082		–		5,871,082
Other Financial Instruments *
Assets:
Interest rate contracts		–		–		–		–
Credit contracts		–		535,248		–		535,248
Liabilities:
Interest rate contracts		(455,335)		–		–		(455,335)
Credit contracts		–		(159,302)		–		(159,302)
Total	$	24,720,665	$	252,630,027	$	47	$	277,350,739

Semi-Annual Report September 2010 / 117

Notes to Financial Statements (continued)

ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2			LEVEL 3			TOTAL
Investments in Securities
Assets
Short-Term Investments	$	665,000		$	1,434,329		$	–		$	2,099,329
Long-Term Investments:
Asset-Backed Securities		–			3,028,055			3,670			3,031,725
Bank Loans		–			180,179			–			180,179
Corporates		–			2,083,463			129,000			2,212,463
Mortgage-Backed		–			2,741,572			–			2,741,572
Municipal Bonds		–			25,921			–			25,921
U.S. Agency Securities		–			800,614			–			800,614
U.S. Treasury Securities		–			281,490			–			281,490
Other Financial Instruments *
Assets:
Interest rate contracts		–			–			–			–
Credit contracts		–			38,143			–			38,143
Equity contracts		779,443			–			–			779,443
Liabilities:
Interest rate contracts		–			–			–			–
Credit contracts		–			(10,250)			–			(10,250)
Total	$	1,444,443		$	10,603,516		$	132,670		$	12,180,629

* Other financial instruments include (but may not be limited to) swap contracts, futures and options.

In January 2010, the FASB issued amended guidance to improve disclosure about fair value measurements which require additional disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years.

For the period ended September 30, 2010, none of the portfolios had significant transfers between Level 1 and Level 2.

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

LOW DURATION	ASSET-BACKED							MORTGAGE-BACKED
BOND FUND		SECURITIES			CORPORATES				SECURITIES
Balance as of   March 31, 2010		$	9,571		$	880,000			$	80,145
Accrued discounts/premiums			(4	)		73				26
Realized gain/(loss)			(3,658	)		(598,221	)			72,257
Change in unrealized   appreciation/depreciation**			3,103			1,408,148				(212	)
Purchases			–			–				–
Sales			–			(400,000	)			(72,257	)
Transfers into Level 3***			–			–
Transfers out of Level 3***			–			–				(64,342	)
Balance as of   September 30, 2010		$	9,012		$	1,290,000			$	15,617

** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $629,719. Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.

*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.

118 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

TOTAL RETURN   BOND FUND	ASSET-BACKED SECURITIES			CORPORATES		MORTGAGE-BACKED SECURITIES
Balance as of     March 31, 2010		$    215,551			$1,342,000		$  95,146
Accrued discounts/premiums		350			4,578		9
Realized gain/(loss)		(918,004	)		(600,000)		82,519
Change in unrealized appreciation/depreciation**		1,804,941			1,846,422		(768	)
Purchases		–			–		–
Sales		(1,088,574	)		(400,000)		(82,580)
Transfers into Level 3***		–			–		–
Transfers out of Level 3***		–			–		(73,534	)
Balance as of     September 30, 2010		$    14,264			$ 2,193,000		$ 20,792

** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $1,852,787. Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.

*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.

HIGH YIELD   BOND FUND	CORPORATES		MORTGAGE-BACKED SECURITIES
Balance as of     March 31, 2010		$  –		$347
Accrued discounts/premiums		–		–
Realized gain/(loss)		–		–
Change in unrealized appreciation/depreciation**		–		(59)
Purchases		–		–
Sales		–		–
Transfers into Level 3***		6,109		–
Transfers out of Level 3***		–		–
Balance as of     September 30, 2010		$6,109		$288

** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $(59). Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.

*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.

STRATEGIC   INCOME FUND	ASSET-BACKED SECURITIES		MORTGAGE-BACKED SECURITIES			PREFERRED STOCK
Balance as of     March 31, 2010		$–		$  45,972			$  1
Accrued discounts/premiums		–		6			–
Realized gain/(loss)		–		51,567			–
Change in unrealized appreciation/depreciation**		–		(8	)		–
Purchases		–		–			–
Sales		–		(51,567	)		–
Transfers into Level 3***		35		–			–
Transfers out of Level 3***		–		(45,959	)		–
Balance as of     September 30, 2010		$  35		$        11			$    1

** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $(8). Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.

*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.

Semi-Annual Report September 2010 / 119

Notes to Financial Statements (continued)

ALPHATRAK   500 FUND	ASSET-BACKED SECURITIES				CORPORATES
Balance as of         March 31, 2010		$	3,669			$	132,000
Accrued discounts/premiums			8				–
Realized gain/(loss)			–				(180,000	)
Change in unrealized appreciation/depreciation**			(7	)			297,000
Purchases			–				–
Sales			–				(120,000	)
Transfers into of Level 3***			–				–
Transfers out of Level 3***			–				–
Balance as of       September 30, 2010		$	3,670			$	129,000

** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $62,993. Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.

*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.

Derivative Instruments Categorized by Risk Exposure:

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of September 30, 2010:

	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES
Interest rate contracts	Unrealized appreciation on options and swap contracts Unrealized appreciation	Unrealized depreciation on options and swap contracts Unrealized depreciation
Credit contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts
Equity contracts	Investments, at value Unrealized appreciation on swap contracts Unrealized appreciation	Unrealized depreciation on swap contracts Unrealized depreciation

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2010:

ASSET DERIVATIVE INVESTMENTS

ULTRA  SHORT BOND FUND

LOW  DURATION BOND FUND

INTERMEDIATE BOND FUND

TOTAL  RETURN BOND FUND

HIGH  YIELD BOND FUND

STRATEGIC INCOME FUND

ALPHATRAK 500 FUND

Credit contracts:

Swaps

$220,197

$3,866,833

$396,239

$18,286,224

$773,026

$423,612

$  27,660

Equity contracts:

Futures *

–

–

–

–

–

–

540,154

Options

–

–

–

–

–

–

–

Swaps

–

–

–

–

–

–

239,289

Interest contracts:

Futures *

–

247,837

183,429

–

–

–

–

Options

–

–

–

–

–

–

–

Swaps

–

–

–

–

–

–

–

* Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

120 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

LIABILITY DERIVATIVE INVESTMENTS

ULTRA SHORT BOND FUND

LOW DURATION BOND FUND

INTERMEDIATE BOND FUND

TOTAL  RETURN BOND FUND

HIGH  YIELD BOND FUND

STRATEGIC INCOME FUND

ALPHATRAK 500 FUND

Credit contracts:

Swaps

$600,672

$1,505,209

$39,758,609

$  79,788

$141,932

$10,250

Equity contracts:

Futures *

–

–

–

–

–

–

–

Interest contracts:

Futures *

–

–

97,217

583,115

–

396,273

–

Options

–

–

59,062

2,775,938

625,781

59,062

–

Swaps

–

–

–

17,432,204

–

–

–

* Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

The following is a summary of the Funds’ realized gain(loss) and change in unrealized appreciation(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended September 30, 2010:

	REALIZED GAIN/(LOSS) ON DERVIATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ULTRA SHORT BOND FUND			LOW  DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL  RETURN BOND FUND			HIGH  YIELD BOND FUND		STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
Credit contracts:
Swaps		$(189,755	)		$(4,766,989)		$(419,004)		$(8,080,590)			$   824,411		$(4,944,668)			$    31,406
Equity contracts:
Futures		–			–		–		–			–		–			(314,900	)
Options**		–			–		–		–			–		–			–
Swaps		–			–		–		–			–		–			(332,078	)
Interest contracts:
Futures		–			5,332,394		1,703,816		49,884,856			302,213		(38,035	)		–
Options**		–			–		–		–			–		–			–
Swaps		23,912			322,825		50,000		(3,299,985	)		–		(115,990	)		–
Total		$(165,843	)		$     888,230		$1,334,812		$38,504,281			$1,126,624		$(5,098,693	)		$(615,572	)

	CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ULTRA SHORT BOND FUND			LOW  DURATION BOND FUND			INTERMEDIATE BOND FUND			TOTAL  RETURN BOND FUND			HIGH  YIELD BOND FUND			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
Credit contracts:
Swaps		$1,027,703			$12,834,621			$821,088			$ 22,276,760			$837,651			$8,517,798			$(15,004)
Equity contracts:
Futures		–			–			–			–			–			–			191,565
Options**		–			–			–			–			–			–			–
Swaps		–			–			–			–			–			–			239,289
Interest contracts:
Futures		–			187,009			208,958			1,041,674			(916	)		(169,821	)		–
Options**		–			–			(9,382	)		(439,212	)		118,360			(9,382	)		–
Swaps		(11,839	)		(167,741	)		(24,344	)		(15,358,271	)		–			(123,642	)		–
Total		$1,015,864			$12,853,889			$996,320			$    7,520,951			$955,095			$8,214,953			$415,850

**Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

Semi-Annual Report September 2010 / 121

Notes to Financial Statements (continued)

	AVERAGE QUARTERLY BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS
	ULTRA SHORT BOND FUND		LOW  DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL  RETURN BOND FUND		HIGH  YIELD BOND FUND		STRATEGIC INCOME FUND		ALPHATRAK 500 FUND
Financial futures contracts:
Average number of contracts purchased		–		1,523		182		4,948		49		–		36
Average number of contracts sold		–		–		19		101		–		78		–
Average value of contracts purchased	$	–	$	617,435	$	217,551	$	6,672,971	$	80,304	$	–	$	330,374
Average value of contracts sold	$	–	$	–	$	63,833	$	392,600	$	–	$	260,778	$	–
Options purchased:
Average number of contracts		–		–		–		–		129		34		–
Average notional value	$	–	$	–	$	–	$	–	$	205,549	$	43,875	$	–
Options written:
Average number of contracts		–		–		19		881		226		19		–
Average notional value	$	–	$	–	$	12,421	$	12,421	$	186,035	$	12,421	$	–
Credit default swaps:
Average number of contracts - buy protection		–		28		37		51		20		21		9
Average number of contracts - sale protection		9		14		12		20		2		13		4
Average notional value - buy protection	$	–	$	62,252,500	$	10,062,500	$	352,972,500	$	7,352,500	$	15,009,750	$	702,500
Average notional value - sell protection	$	11,091,500	$	77,055,500	$	7,702,750	$	337,800,750	$	15,555,000	$	39,946,500	$	1,510,500
Interest rate swaps:
Average number of contracts - pays fixed rate		1		1		1		5		–		1		–
Average number of contracts - receives fixed rate		–		–		–		–		–		–		–
Average notional value - pays fixed rate	$	355,000	$	5,030,000	$	730,000	$	126,966,000	$	–	$	2,268,750	$	–
Average notional value - receives fixed rate	$	–	$	–	$	135,000	$	–	$	–	$	–	$	–
Total return swaps:
Average number of contracts		–		–		–		–		–		–		1
Average notional value	$	–	$	–	$	–	$	–	$	–	$	–	$	4,500

3. PORTFOLIO INVESTMENTS

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

122 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National Mortgage Association (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the six months ended September 30, 2010, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If the Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High

Semi-Annual Report September 2010 / 123

Notes to Financial Statements (continued)

Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At September 30, 2010, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Fund might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Fund. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. There were no reverse repurchase agreements for the six months ended September 30, 2010.

Derivatives:

The Funds engaged in various portfolio investment strategies both to increase the return of the Fund and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, swap agreements and options as a means of managing interest rate risk and yield curve positioning consistent with the advisor’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.

Options - The Funds purchased and wrote call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund’s holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it maybe required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, the Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer).

124 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds wrote (sold) and purchased put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At September 30, 2010, the Funds did not hold swaptions.

In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds also entered into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cashflows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic

Semi-Annual Report September 2010 / 125

Notes to Financial Statements (continued)

benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At September 30, 2010 (Unaudited), the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

4. RISK CONSIDERATIONS

Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increase the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

Mortgage- backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as

126 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.

The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:

Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.

Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.

Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.

While no single measure can account for all the risk factors, one of the most commonly referenced aggregate risk metrics is the bond’s ratings per Moody’s and S&P. As of September 30, 2010, the market value exposure of these positions was as follows:

			% OF TOTAL NET ASSETS BY CREDIT QUALITY (UNAUDITED)
PORTFOLIO	MARKET  VALUE		AAA		AA		A		BBB		BIG*
Ultra Short Bond Fund
Alt-A		$  13,436,758		5.04%		0.32%		1.02%		1.23%		8.52%
Sub Prime		9,470,485		1.79%		1.32%		1.21%		0.05%		7.00%
Low Duration Bond Fund
Alt-A		186,099,715		1.15%		0.13%		0.00%		0.73%		8.34%
Sub Prime		205,018,887		4.28%		1.26%		0.32%		1.03%		4.52%
Intermediate Bond Fund
Alt-A		8,261,432		0.42%		0.00%		0.00%		0.00%		3.13%
Sub Prime		22,363,479		3.78%		0.34%		0.62%		0.37%		4.50%
Total Return Bond Fund
Alt-A		514,531,835		0.37%		0.03%		0.05%		0.00%		3.68%
Sub Prime		996,450,481		1.73%		0.79%		0.07%		0.62%		4.77%
High Yield Bond Fund
Alt-A		-		0.00%		0.00%		0.00%		0.00%		0.00%
Sub Prime		10,878,629		0.04%		0.14%		0.00%		0.34%		0.25%
Strategic Income Fund
Alt-A		8,856,106		0.54%		0.00%		0.00%		0.29%		2.36%
Sub Prime		36,563,430		3.34%		0.77%		0.00%		1.74%		7.31%
Alpha Trak 500 Fund
Alt-A		1,586,261		3.29%		0.78%		0.97%		0.52%		8.07%
Sub Prime		2,147,127		7.89%		5.09%		0.00%		0.00%		5.47%

    * Below Investment Grade

5. SECURITIES TRANSACTIONS

Investment transactions for the six months ended September 30, 2010 excluding U.S. Government and short-term investments, were as follows:

Semi-Annual Report September 2010 / 127

Notes to Financial Statements (continued)

PORTFOLIO	PURCHASES		SALES
Ultra Short Bond Fund	$	39,003,720	$	27,170,477
Low Duration Bond Fund		709,071,451		214,307,585
Intermediate Bond Fund		70,854,914		52,484,512
Total Return Bond Fund		6,850,947,995		4,579,347,166
High Yield Bond Fund		635,462,062		134,560,768
Strategic Income Fund		145,139,212		102,172,104
AlphaTrak 500 Fund		2,632,428		976,790

Investment transactions in U.S. Government securities for the six months ended September 30, 2010 were as follows:

PORTFOLIO	PURCHASES		SALES
Ultra Short Bond Fund	$	2,362,538	$	–
Low Duration Bond Fund		496,910,243		351,171,740
Intermediate Bond Fund		89,130,951		72,001,571
Total Return Bond Fund		4,854,527,108		3,592,029,627
High Yield Bond Fund		40,887,463		–
Strategic Income Fund		5,870,931		–
Alpha Trak 500 Fund		200,982		–

Transactions in options contracts written for the six months ended September 30, 2010 were as follows:

	INTERMEDIATE BOND FUND				TOTAL RETURN BOND FUND
	CONTRACTS		PREMIUMS		CONTRACTS		PREMIUMS
Outstanding at March 31, 2010		–	$	–		–	$	–
Option written during period		75		49,681		3,525		2,336,726
Option exercised during period		–		–		–		–
Options expired during period		–		–		–		–
Options closed during period		–		–		–		–
Outstanding at September 30, 2010		75	$	49,681		3,525	$	2,336,726
	HIGH YIELD BOND FUND				STRATEGIC INCOME FUND
	CONTRACTS		PREMIUMS		CONTRACTS		PREMIUMS
Outstanding at March 31, 2010		–	$	–		–	$	–
Option written during period		900		744,141		75		49,681
Option exercised during period		–		–		–		–
Options expired during period		–		–		–		–
Options closed during period		–		–		–		–
Outstanding at September 30, 2010		900	$	744,141		75	$	49,681

6. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, and the High Yield Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, and 0.50%, respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was increased by 0.20% resulting in $29,801 total management fees for the period ended September 30, 2010. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant twelve month performance

128 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 Month U.S. Treasury Bill Index, plus 2.00% over the same period. Under this agreement, the basic fee was increased by 0.62% resulting in $2,121,900 of total management fees for the period ended September 30, 2010.

The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap (excluding the AlphaTrak 500 Fund and the Strategic Income Fund, which shall reimburse the Adviser to the extent that the Fund’s other expenses, are below an agreed-upon cap). The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of the Fund are at or above the expense cap. However, if the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year. Investment advisory fees and related voluntary expense limitations for the period ended September 30, 2010, were as follows:

	INVESTMENT ADVISORY FEE RATE			VOLUNTARY EXPENSE LIMITATION
PORTFOLIO	CLASS M	CLASS I	ADMINSTRATIVE CLASS	CLASS M	CLASS I	ADMINSTRATIVE CLASS
Ultra Short Bond Fund	0.25%	0.25%	N/A	0.50%	0.34%	N/A
Low Duration Bond Fund	0.30	0.30	0.30%	0.58	0.39	0.78%
Intermediate Bond Fund	0.35	0.35	N/A	0.65	0.44	N/A
Total Return Bond Fund	0.35	0.35	0.35	0.65	0.44	0.85
High Yield Bond Fund	0.50	0.50	N/A	0.80	0.55	N/A
Strategic Income Fund	0.50 - 1.90	0.50 - 1.90	N/A	0.20 - 2.35	0.20 - 2.10	N/A
AlphaTrak 500 Fund	0.00 - 0.70	N/A	N/A	0.20 - 0.90	N/A	N/A

At September 30, 2010, the balance of recoupable expenses with expiration dates for the Funds were as follows:

PORTFOLIO	2010		2011		2012		TOTAL
Ultra Short Bond Fund	$	115,430	$	181,484	$	204,094	$	501,008
Low Duration Bond Fund		173,746		473,126		350,652		997,524
Intermediate Bond Fund		130,872		185,919		198,493		515,284
Total Return Bond Fund		–		52,140		–		52,140
High Yield Bond Fund		180,613		223,872		290,531		695,016
AlphaTrak 500 Fund		–		–		38,492		38,492

For the six months ended September 30, 2010, the Adviser recouped $29,156 from Class M, $22,968 from Class I and $16 from the Administrative Class of the Total Return Bond Fund.

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $12,000 and $3,000 for each meeting of the Board attended. The Trust has an unfunded, non-qualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of ten annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Plan are recorded in Trustees’ fees and expenses on the Statements of Operations.

7. SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN

The Trust has a Share Marketing Plan (or the “Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond

Semi-Annual Report September 2010 / 129

Notes to Financial Statements (continued)

Fund, the Strategic Income, the AlphaTrak 500 Fund and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000 for the Class M shares. The Low Duration Bond Fund and Total Return Bond Funds’ Administrative Class shares began accruing 12b-1 on September 23, 2009 and December 21, 2009, respectively. The High Yield Bond Fund began accruing for Rule 12b-1 expenses on October 2, 2002. The Ultra Short Bond Fund, the Intermediate Bond Fund, and the Strategic Income Fund began accruing for Rule 12b-1 expenses on July 2, 2003. Under the Plan, the Trust pays PFPC Distributors, Inc., as the Trust’s distribution coordinator, an annual fee up to 0.25% of each Fund’s aggregate average daily net assets to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the period ended September 30, 2010. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.

The Funds’ Board of Trustees have adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.

8. CAPITAL SHARE TRANSACTIONS

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:

	ULTRA SHORT BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH  31, 2010			PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH  31, 2010
Change in Fund shares:
Shares outstanding at beginning of period		5,455,703			10,183,453			19,750,261			17,021,566
Shares sold		2,965,933			3,519,132			3,725,007			12,330,024
Shares issued through reinvestment of distributions		86,296			298,824			330,829			771,853
Shares redeemed		(2,192,171	)		(8,545,706	)		(11,500,693	)		(10,373,182	)
Net increase/(decrease) in fund shares		860,058			(4,727,750	)		(7,444,857	)		2,728,695
Shares outstanding at end of period		6,315,761			5,455,703			12,305,404			19,750,261

	LOW DURATION BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I			ADMINIS- TRATIVE CLASS			ADMINIS- TRATIVE CLASS
	PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			PERIOD ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period		125,740,926			92,695,812			57,970,290			44,315,814			96,978			–
Shares sold		43,577,393			83,686,592			12,231,032			31,185,168			220,437			137,016
Shares issued through reinvestment of distributions		2,077,755			4,768,684			819,168			1,983,525			2,539			551
Shares redeemed		(25,167,502	)		(55,410,162	)		(11,881,321	)		(19,514,217	)		(72,479	)		(40,589	)
Net increase in fund shares		20,487,646			33,045,114			1,168,879			13,654,476			150,497			96,978
Shares outstanding at end of period		146,228,572			125,740,926			59,139,169			57,970,290			247,475			96,978

130 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

	INTERMEDIATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)		YEAR ENDED MARCH 31, 2010		PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)		YEAR ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period		4,405,566		2,848,988		15,968,289		15,432,361
Shares sold		1,363,455		2,312,671		2,665,914		2,424,537
Shares issued through reinvestment of distributions		94,228		201,991		274,667		751,058
Shares redeemed		(442,144)		(958,084)		(4,162,207)		(2,639,667)
Net increase/(decrease) in fund shares		1,015,539		1,556,578		(1,221,626)		535,928
Shares outstanding at end of period		5,421,105		4,405,566		14,746,663		15,968,289

	TOTAL RETURN BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I		ADMINIS- TRATIVE CLASS		ADMINIS- TRATIVE CLASS
	PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)		YEAR ENDED MARCH 31, 2010		PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)		YEAR ENDED MARCH 31, 2010		PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)		YEAR ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period		457,204,615		368,354,592		372,615,691		227,450,479		117,394		–
Shares sold		168,261,737		215,154,165		137,822,468		245,671,670		405,175		166,801
Shares issued through reinvestment of distributions		11,086,447		20,745,923		8,204,102		16,095,403		4,908		396
Shares redeemed		(58,015,614)		(147,050,065)		(56,246,286)		(116,601,861)		(7,695)		(49,803)
Net increase in fund shares		121,332,570		88,850,023		89,780,284		145,165,212		402,388		117,394
Shares outstanding at end of period		578,537,185		457,204,615		462,395,975		372,615,691		519,782		117,394

	HIGH YIELD BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)		YEAR ENDED MARCH 31, 2010		PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)		YEAR ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period		50,340,590		7,933,973		24,228,997		13,970,584
Shares sold		47,569,467		56,580,709		29,396,742		17,926,550
Shares issued through reinvestment of distributions		2,147,853		2,456,478		1,030,627		1,676,610
Shares redeemed		(16,713,659)		(16,630,570)		(4,891,071)		(9,344,747)
Net increase in fund shares		33,003,661		42,406,617		25,536,298		10,258,413
Shares outstanding at end of period		83,344,251		50,340,590		49,765,295		24,228,997

Semi-Annual Report September 2010 / 131

Notes to Financial Statements (continued)

	STRATEGIC INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010			PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period		6,430,444			1,410,392			22,508,860			20,979,951
Shares sold		9,315,613			9,059,797			280,809			5,519,875
Shares issued through reinvestment of distributions		219,411			276,324			175,648			775,424
Shares redeemed		(5,755,782	)		(4,316,069	)		(891,440	)		(4,766,390	)
Net increase/(decrease) in fund shares		3,779,242			5,020,052			(434,983	)		1,528,909
Shares outstanding at end of period		10,209,686			6,430,444			22,073,877			22,508,860

	ALPHA TRAK FUND
	CLASS M			CLASS M
	PERIOD ENDED SEPTEMBER 30, 2010 (UNAUDITED)			YEAR ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period		2,909,404			20,022,253
Shares sold		633,953			3,875,138
Shares issued through reinvestment of distributions		86,465			2,928,488
Shares redeemed		(602,128	)		(23,916,475	)
Net increase/(decrease) in fund shares		118,290			(17,112,849	)
Shares outstanding at end of period		3,027,694			2,909,404

Redemption Fee:

Effective May 26, 2009, the High Yield Bond Fund no longer charges a redemption fee. Prior to this date, the High Yield Bond Fund charged a 1.00% redemption fee when shares were redeemed (either by selling or by exchanging into another fund) within six months of purchase. The redemption fee was assessed on the net asset value of the shares redeemed or exchanged and withheld from the redemption proceeds and paid directly to the Fund.

9. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2010, the following Funds had available for federal income tax purposes unused capital losses as follows:

FUND	EXPIRING IN  2014	EXPIRING IN  2015	EXPIRING IN  2016	EXPIRING IN  2017	EXPIRING IN  2018
Ultra Short Bond Fund	$        –	$  171,312	$1,489,244	$  17,068,161	$14,894,875
Low Duration Bond Fund	5,831,064	–	–	99,373,584	21,084,552
Total Return Bond Fund	–	–	–	140,337,903	–
High Yield Bond Fund	–	–	–	4,931,657	–
Strategic Income Fund	61,791	1,235,093	9,036,932	47,852,416	18,806,808
AlphaTrak 500 Fund	–	–	–	60,439,961	23,684,663

For the year ended March 31, 2010, the Intermediate Bond, Total Return Bond and High Yield Bond utilized capital loss carry forwards of $3,098,824, $22,564,839 and 2,796,184, respectively.

132 / Semi-Annual Report September 2010

Notes to Financial Statements (continued)

Tax Basis of Distributable Income:

As of March 31, 2010, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

	ULTRA  SHORT BOND FUND		LOW  DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL  RETURN BOND FUND
Undistributed ordinary income/(loss) (inclusive of short-term gains)		$          5,966		$        271,455		$           –		$    3,987,671
Accumulated capital loss carryforwards and post-October losses		(43,156,736)		(168,232,662)		(76,923)		(140,947,386)
Net unrealized appreciation/(depreciation)		(10,709,200)		(139,735,571)		3,978,846		375,436,600
Distributions payable		(5,964)		(270,185)		(128,717)		(3,597,129)
Total accumulated earnings/(losses)		$(53,865,934)		$(307,966,963)		$3,773,206		$234,879,756

	HIGH  YIELD BOND FUND			STRATEGIC INCOME FUND			ALPHA  TRAK 500 FUND
Undistributed ordinary income/(loss) (inclusive of short-term capital gains)	$	345,705		$	828,216		$	195,634
Accumulated capital loss carryforwards and post-October losses		(4,931,657	)		(112,671,928	)		(97,310,251	)
Net unrealized appreciation/(depreciation)		64,671,584			(21,833,077	)		(1,668,882	)
Distributions payable		(375,745	)		(789,399	)		(4,850	)
Total accumulated earnings/(losses)	$	59,709,887		$	(134,466,188	)	$	(98,788,349	)

Permanent differences incurred during the fiscal year ended March 31, 2010, resulting from differences in book and tax accounting have been reclassified at year-end as follows:

FUND	INCREASE/(DECREASE) PAID-IN-CAPITAL			INCREASE/(DECREASE) ACCUMULATED NET INVESTMENT INCOME/(LOSS)			INCREASE/(DECREASE) ACCUMULATED NET REALIZED GAIN/(LOSS)
Ultra Short Bond Fund	$	–		$	400,947		$	(400,947	)
Low Duration Bond Fund		1			2,211,059			(2,211,060	)
Intermediate Bond Fund		(899,265	)		(14,447	)		913,712
Total Return Bond Fund		–			(1,628,151	)		1,628,151
High Yield Bond Fund		–			(967,811	)		967,811
Strategic Income Fund		–			894,156			(894,156	)
AlphaTrak 500 Fund		–			8,848,735			(8,848,735	)

Tax Basis of Distributions to Shareholders:

	ULTRA SHORT BOND FUND				LOW DURATION BOND FUND
	MARCH  31, 2010		MARCH  31, 2009		MARCH 31, 2010		MARCH 31, 2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	5,225,916	$	8,771,418	$	57,250,557	$	96,174,271
Total taxable distributions	$	5,225,916	$	8,771,418	$	57,250,557	$	96,174,271

	INTERMEDIATE BOND FUND				TOTAL RETURN BOND FUND
	MARCH 31, 2010		MARCH 31, 2009		MARCH 31, 2010		MARCH 31, 2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$  9,867,461		$10,614,804		$400,597,041		$414,320,160
Net long-term capital gains		–		861,109		–		17,387,853
Return of Capital		899,265		19,048		–		–
Total taxable distributions		$10,766,726		$11,494,961		$400,597,041		$431,708,013

Semi-Annual Report September 2010 / 133

Notes to Financial Statements (continued)

	HIGH YIELD BOND FUND				STRATEGIC INCOME FUND
	MARCH 31,		MARCH 31,		MARCH 31,		MARCH 31,
	2010		2009		2010		2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$42,774,548		$13,013,501		$20,564,090		$29,621,411
Total taxable distributions		$42,774,548		$13,013,501		$20,564,090		$29,621,411
					ALPHATRAK 500 FUND
					MARCH 31, 2010		MARCH 31, 2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)						$11,128,803		$        –
Return of Capital						–		795,847
Total taxable distributions						$11,128,803		$795,847

10. INDEMNIFICATIONS

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

11. SUBSEQUENT EVENTS

Events or transactions occurring subsequent to September 30, 2010 through the date the financial statements were issued, have been evaluated by management in the preparation of the financial statements and no items were noted requiring additional disclosure. Management has not evaluated events after September 30, 2010 for presentation in these financial statements.

134 / Semi-Annual Report September 2010

Special Meeting of Shareholders - Voting Results

(Unaudited)

On March 31, 2010, the Trust held a Special Meeting of Shareholders to consider a new Investment Management Agreement with Metropolitan West Asset Management, LLC (the “Adviser”), the investment adviser for the Metropolitan West Funds. The Funds’ existing Investment Advisory Agreement was expected to automatically terminate as a result of an acquisition of the Adviser by the TCW Group, Inc. Shareholders of record on February 9, 2010 were entitled to vote on the proposal to approve a new Investment Advisory Agreement substantively the same as the prior Investment Advisory Agreement, including the same fees other than additional limits applicable to performance adjustments for the AlphaTrak 500 Fund and Strategic Income Fund. The proposal was approved by shareholders of the Metropolitan West Total Return Bond Fund, Metropolitan West AlphaTrak 500 Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Low Duration Bond Fund on March 31, 2010. The Special Meeting was adjourned until April 9, 2010 for the Metropolitan West Strategic Income Fund and the Metropolitan West Intermediate Bond Fund at which time the proposal was approved by shareholders of the respective funds. The following votes were recorded:

PROPOSAL 1: Approval of a new Investment Management Agreement with the Adviser.

FUND		DOLLARS VOTED		% OF SHARES PRESENT
Ultra Short Bond Fund	Affirmative	$	76,103,544.56		99.28%
	Withheld	$	312,106.83		0.41%
	Abstain	$	239,016.64		0.24%
Low Duration Bond Fund	Affirmative	$	691,140,153.53		86.71%
	Withheld	$	9,966,969.03		1.25%
	Abstain	$	28,847,332.50		3.62%
	Uninstructed	$	67,126,524.56		8.42%
Intermediate Bond Fund	Affirmative	$	138,453,101.77		99.74%
	Withheld	$	303,900.00		0.22%
	Abstain	$	58,296.14		0.04%
Total Return Bond Fund	Affirmative	$	3,626,922,488.98		82.81%
	Withheld	$	47,742,440.62		1.09%
	Abstain	$	151,376,819.42		3.46%
	Uninstructed	$	553,762,200.75		12.64%
High Yield Bond Fund	Affirmative	$	258,890,009.60		81.54%
	Withheld	$	4,053,868.83		1.28%
	Abstain	$	16,802,112.00		5.29%
	Uninstructed	$	37,763,205.00		11.89%
Strategic Income Fund	Affirmative	$	153,327,562.09		99.58%
	Withheld	$	211,845.02		0.14%
	Abstain	$	428,818.65		0.28%
AlphaTrak 500 Fund	Affirmative	$	15,659,017.35		99.74%
	Withheld	$	9,640.83		0.06%
	Abstain	$	30,742.61		0.20%

Semi-Annual Report September 2010 / 135

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BOARD OF TRUSTEES

Andrew Tarica

Patrick Moore

Laird Landmann

Peter McMillan

Martin Luther King, III

Daniel D. Villanueva

Ronald J. Consiglio

Robert G. Rooney

OFFICERS

David Lippman

President and Principal Executive Officer

David S. DeVito

Treasurer, Chief Financial Officer and Principal

Accounting Officer

Vincent Bencivenga

Chief Compliance Officer

ADVISER

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Floor 1800

Los Angeles, CA 90017

CUSTODIAN

The Bank of New York Mellon

One Wall Street

New York, NY 10286

TRANSFER AGENT BNY Mellon Investment Servicing (U.S.) Inc. 760 Moore Road King of Prussia, PA 19406	For Additional Information about the Metropolitan West Funds call: (213) 244-0000 or (800) 241-4671 (toll-free) www.mwamllc.com
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 1700 Market Street Philadelphia, PA 19103	A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling(800) 241-4671; (ii) on the Securities and Exchange Commission’s website at http://www.sec.gov.
DISTRIBUTOR BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406	This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.
LEGAL COUNSEL Paul, Hastings, Janofsky & Walker LLP 55 Second Street, 24th Floor San Francisco, CA 94105-3441	METSAR2010

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. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b) 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 have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s 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 control over financial reporting.

Item 12. Exhibits.

(a)(1)	Not applicable.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Not applicable.
(b)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

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)	Metropolitan West Funds
By (Signature and Title)*	/s/ David Lippman
	David Lippman, President and Principal Executive Officer
	(principal executive officer)

Date          12/8/10                                     

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 (Signature and Title)*	/s/ David Lippman
	David Lippman, President and Principal Executive Officer
	(principal executive officer)

Date          12/8/10                                     

By (Signature and Title)*	/s/ David S. DeVito
	David S. DeVito, Treasurer
	(principal financial officer)

Date          12/8/10                                     

* Print the name and title of each signing officer under his or her signature.

EX-99.CERT

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, David Lippman, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the 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 control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:      12/8/10	/s/ David Lippman
	David Lippman, President and Principal Executive Officer
	(principal executive officer)

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, David S. DeVito, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the 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 control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:      12/8/10	/s/ David S. DeVito
	David S. DeVito, Treasurer
	(principal financial officer)

EX-99.906CERT

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the

Sarbanes-Oxley Act

I, David Lippman, President and Principal Executive Officer of Metropolitan West Funds (the “Registrant”), certify that:

1. The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:      12/8/10	/s/ David Lippman
	David Lippman, President and Principal Executive Officer
	(principal executive officer)

I, David S. DeVito, Treasurer of Metropolitan West Funds (the “Registrant”), certify that:

1. The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:      12/8/10	/s/ David S. DeVito
	David S. DeVito, Treasurer
	(principal financial officer)