N-Q 1 dnq.htm TARGET ASSET ALLOCATION FUNDS Target Asset Allocation Funds

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number:    811-08915
Exact name of registrant as specified in charter:    Target Asset Allocation Funds
Address of principal executive offices:    Gateway Center 3,
   100 Mulberry Street,
   Newark, New Jersey 07102
Name and address of agent for service:    Deborah A. Docs
   Gateway Center 3,
   100 Mulberry Street,
   Newark, New Jersey 07102
Registrant’s telephone number, including area code:    800-225-1852
Date of fiscal year end:    7/31/2009
Date of reporting period:    4/30/2009

Item 1. Schedule of Investments

 

Target Conservative Allocation Fund

SCHEDULE OF INVESTMENTS

as of April 30, 2009 (Unaudited)

 

Shares

   

Description

    Value

LONG-TERM INVESTMENTS 108.5%

   

COMMON STOCKS 38.1%

   

Aerospace

   
   340   

Alliant Techsystems, Inc.(a)

    $ 27,081
            

Aerospace & Defense 1.4%

   
   500   

AAR Corp.(a)

      7,535
   500   

Boeing Co. (The)

      20,025
   2,600   

Embraer-Empresa Brasileira de Aeronautica SA, ADR (Brazil)

      42,172
   8,263   

General Dynamics Corp.

      426,949
   540   

Honeywell International, Inc.

      16,853
   7,783   

Lockheed Martin Corp.

      611,199
   375   

Moog, Inc. (Class A Stock)(a)

      10,043
   7,300   

Northrop Grumman Corp.

      352,955
   300   

Teledyne Technologies, Inc.(a)

      9,579
   3,067   

United Technologies Corp.

      149,792
            
           1,647,102

Air Freight & Couriers 0.1%

   
   1,600   

FedEx Corp.

      89,536
            

Automobiles 0.1%

   
   4,500   

Harley-Davidson, Inc.

      99,720
            

Automotive Components 0.1%

   
   4,300   

Johnson Controls, Inc.

      81,743
            

Automotive Parts

   
   200   

Autoliv, Inc.

      4,934
   430   

Copart, Inc.(a)

      13,498
            
           18,432

Beverages 0.3%

   
   970   

Coca-Cola Co. (The)

      41,759
   2,200   

Molson Coors Brewing Co. (Class B Stock)

      84,150
   4,066   

PepsiCo, Inc.

      202,324
            
           328,233

Biotechnology 0.7%

   
   2,526   

Amgen, Inc.(a)

      122,435
   95   

Bio-Rad Laboratories, Inc. (Class A Stock)(a)

      6,621
   2,964   

Genzyme Corp.(a)

      158,070
   9,900   

Gilead Sciences, Inc.(a)

      453,420
   520   

Life Technologies Corp.(a)

      19,396
            
           759,942

Business Services 0.7%

   
   880   

FTI Consulting, Inc.(a)

      48,295
   1,992   

ICON PLC, ADR (Ireland)(a)

      31,553
   4,098   

MasterCard, Inc. (Class A Stock)

      751,778
            
           831,626

Capital Markets 0.1%

   
   4,091   

Bank of New York Mellon Corp. (The)

    104,239
   1,400   

Waddell & Reed Financial, Inc. (Class A Stock)

    31,374
          
         135,613

Chemicals 1.2%

   
   2,902   

Air Products & Chemicals, Inc.

    191,242
   825   

Airgas, Inc.

    35,574
   495   

CF Industries Holdings, Inc.

    35,665
   2,100   

Eastman Chemical Co.

    83,328
   1,620   

Ecolab, Inc.

    62,451
   7,280   

Huntsman Corp.

    39,021
   2,025   

Macrovision Solutions Corp.(a)

    40,945
   2,639   

Potash Corp. of Saskatchewan, Inc. (Canada)

    228,247
   3,300   

PPG Industries, Inc.

    145,365
   5,343   

Praxair, Inc.

    398,641
   1,225   

Scotts Miracle-Gro Co. (The) (Class A Stock)

    41,368
   1,330   

Terra Industries, Inc.

    35,245
   400   

Valspar Corp. (The)

    9,600
          
         1,346,692

Clothing & Apparel 0.5%

   
   500   

Coach, Inc.(a)

    12,250
   9,786   

NIKE, Inc. (Class B Stock)

    513,471
   2,043   

True Religion Apparel, Inc.(a)

    32,198
          
         557,919

Commercial Banks 0.6%

   
   1,300   

Comerica, Inc.

    27,274
   750   

Cullen/Frost Bankers, Inc.

    35,318
   1,000   

First Horizon National Corp.

    11,506
   9,500   

KeyCorp

    58,425
   1,933   

Northern Trust Corp.

    105,078
   11,505   

PNC Financial Services Group, Inc.

    456,749
   535   

S&T Bancorp, Inc.

    9,560
   500   

Trustmark Corp.

    10,870
   350   

United Bankshares, Inc.

    9,079
          
         723,859

Commercial Services 0.2%

   
   1,650   

Apollo Group, Inc. (Class A Stock)(a)

    103,867
   2,185   

GEO Group, Inc. (The)(a)

    36,337
   1,088   

Healthcare Services Group, Inc.

    19,444
   990   

Moody’s Corp.

    29,225
   700   

Pharmaceutical Product Development, Inc.

    13,727
   2,695   

Waste Connections, Inc.(a)

    69,477
          
         272,077

Commercial Services & Supplies 0.3%

   
   526   

Coinstar, Inc.(a)

    18,720
   10,411   

Waste Management, Inc.

    277,662
          
         296,382

Communication Equipment 0.1%

   
   16,900   

Alcatel-Lucent, ADR (France)(a)

    42,250
   1,150   

Nice Systems Ltd., ADR (Israel)(a)

    29,451
          
         71,701

Computer Hardware 0.9%

   
   8,368   

Apple, Inc.(a)

    1,052,945
          

Computer Services

   
   500   

Global Payments, Inc.

    16,030
          

Computer Services & Software 1.0%

   
   2,500   

Accenture Ltd. (Class A Stock) (Bermuda)

    73,575
   1,610   

Autodesk, Inc.(a)

    32,103
   2,815   

Compellent Technologies, Inc.(a)

    31,415
   1,130   

Dun & Bradstreet Corp. (The)

    91,982
   1,860   

Google, Inc. (Class A Stock)(a)

    736,504
   725   

Hansen Medical, Inc.(a)

    3,893
   1,150   

Informatica Corp.(a)

    18,285
   1,005   

MICROS Systems, Inc.(a)

    21,085
   3,395   

Netezza Corp.(a)

    27,466
   4,360   

Novell, Inc.(a)

    16,394
   3,010   

Nuance Communications, Inc.(a)

    40,184
   1,725   

SRA International, Inc. (Class A Stock)(a)

    26,548
          
         1,119,434

Computers & Peripherals 0.7%

   
   7,668   

International Business Machines Corp.

    791,414
   1,190   

NetApp, Inc.(a)

    21,777
          
         813,191

Construction

   
   800   

Foster Wheeler AG(a)

   17,224
   300   

Granite Construction, Inc.

    11,835
   300   

Meritage Homes Corp.(a)

    6,243
          
         35,302

Consumer Finance

   
   600   

American Express Co.

    15,132
   1,800   

First Cash Financial Services, Inc.(a)

    29,592
          
         44,724

Consumer Products & Services 0.2%

   
   650   

Avon Products, Inc.

    14,794
   758   

Clorox Co.

    42,486
   2,417   

Procter & Gamble Co.

    119,496
   795   

Ritchie Bros. Auctioneers, Inc. (Canada)

    17,808
   300   

Snap-on, Inc.

    10,176
   400   

Toro Co. (The)

    12,152
          
         216,912

Containers & Packaging

   
   1,680   

Pactiv Corp.(a)

    36,725
   300   

Silgan Holdings, Inc.

    13,947
          
         50,672

Distribution/Wholesale

   
   420   

W.W. Grainger, Inc.

    35,230
   200   

Watsco, Inc.

    8,590
          
         43,820

Diversified Consumer Services

   
   950   

Hillenbrand, Inc.

    17,271
          

Diversified Financial Services 0.3%

   
   700   

Affiliated Managers Group, Inc.(a)

    39,795
   9,953   

Bank of America Corp.

    88,880
   110   

BlackRock, Inc.

    16,117
   3,120   

Charles Schwab Corp. (The)

    57,658
   220   

CME Group, Inc.

    48,697
   887   

Franklin Resources, Inc.

    53,646
   300   

IntercontinentalExchange, Inc.(a)

    26,280
   300   

Redecard SA (Brazil)

    3,776
          
         334,849

Diversified Manufacturing Operations 0.5%

   
   14,923   

Hewlett-Packard Co.

    536,930
          

Diversified Telecommunication Services 0.8%

   
   19,433   

AT&T, Inc.

    497,873
   15,826   

Verizon Communications, Inc.

    480,161
          
         978,034

Electric

   
   2,900   

AES Corp. (The)(a)

    20,503
          

Electric Utilities 0.4%

   
   500   

Allegheny Energy, Inc.

    12,960
   3,500   

Exelon Corp.

    161,455
   2,100   

FPL Group, Inc.

    112,959
   4,871   

Public Service Enterprise Group, Inc.

    145,351
          
         432,725

Electrical Equipment 0.2%

   
   4,504   

Emerson Electric Co.

    153,316
   675   

Smith (A.O.) Corp.

    20,986
          
         174,302

Electronic Components 0.1%

   
   500   

Checkpoint Systems, Inc.(a)

    6,075
   1,297   

DTS, Inc.(a)

    34,565
   4,500   

Flextronics International Ltd.(a)

    17,460
   900   

FLIR Systems, Inc.(a)

    19,962
   2,117   

Universal Electronics, Inc.(a)

    39,673
          
         117,735

Electronic Equipment & Instruments 0.1%

   
   300   

Itron, Inc.(a)

    13,800
   7,575   

Tyco Electronics Ltd. (Bermuda)

    132,108
          
         145,908

Electronics

   
   1,655   

Coherent, Inc.(a)

    31,445
          

Energy Equipment & Services 0.5%

   
   4,043   

Diamond Offshore Drilling, Inc.

    292,754
   11,800   

Halliburton Co.

    238,596
   3,600   

Weatherford International Ltd.(a)

    59,868
          
         591,218

Engineering/Construction

   
   775   

URS Corp.(a)

    34,146
          

Entertainment & Leisure 0.1%

   
   1,700   

Bally Technologies, Inc.(a)

    44,506
   1,590   

Carnival Corp.

    42,739
   900   

DreamWorks Animation SKG, Inc. (Class A Stock)(a)

    21,609
   500   

Life Time Fitness, Inc.(a)

    9,380
   545   

Penn National Gaming, Inc.(a)

    18,541
   630   

WMS Industries, Inc.(a)

    20,229
          
         157,004

Environmental Services 0.1%

   
   3,380   

Republic Services, Inc.

    70,980
          

Exchange Traded Fund 0.1%

   
   1,650   

iShares Russell 2000 Value Index Fund

    75,108
          

Farming & Agriculture 0.5%

   
   6,674   

Monsanto Co.

    566,556
          

Financial—Bank & Trust 0.4%

   
   1,050   

Astoria Financial Corp.

    8,673
   450   

Danvers Bancorp, Inc.

    6,530
   600   

East West Bancorp, Inc.

    4,098
   500   

Pacific Capital Bancorp

    3,470
   1,350   

Prosperity Bancshares, Inc.

    37,489
   19,429   

Wells Fargo & Co.

    388,774
          
         449,034

Financial—Brokerage 0.6%

   
   10,914   

Visa, Inc. (Class A Stock)

    708,973
          

Financial Services 2.3%

   
   5,497   

Capital One Financial Corp.

    92,020
   600   

Eaton Vance Corp.

    16,422
   1,710   

First Commonwealth Financial Corp.

    14,826
   5,075   

Goldman Sachs Group, Inc. (The)

    652,137
   1,415   

Investment Technology Group, Inc.(a)

    32,233
   700   

Jefferies Group, Inc.

    13,699
   41,579   

JPMorgan Chase & Co.

    1,372,107
   775   

Raymond James Financial, Inc.

    12,160
   150   

Student Loan Corp. (The)

    7,224
   17,672   

U.S. Bancorp

    321,984
   6,100   

Western Union Co. (The)

    102,175
          
         2,636,987

Food & Drug Retailers 0.3%

   
   16,000   

Safeway, Inc.

    316,000
          

Food & Staples Retailing 0.3%

   
   6,532   

Costco Wholesale Corp.

    317,455
          

Foods 0.4%

   
   720   

General Mills, Inc.

    36,497
   7,577   

Kroger Co. (The)

    163,815
   6,062   

Nestle SA (Switzerland)

    197,601
   400   

Ralcorp Holdings, Inc.(a)

    22,864
   275   

TreeHouse Foods, Inc.(a)

    7,312
          
         428,089

Gaming

   
   5,090   

Shuffle Master, Inc.(a)

    19,393
          

Healthcare Equipment & Supplies 0.3%

   
   2,000   

Baxter International, Inc.

    97,000
   2,485   

Cutera, Inc.(a)

    15,606
   5,580   

Medtronic, Inc.

    178,560
   2,280   

Thoratec Corp.(a)

    66,257
          
         357,423

Healthcare Products

   
   650   

West Pharmaceutical Services, Inc.

    21,223
          

Healthcare Providers & Services 0.3%

   
   5,300   

Cardinal Health, Inc.

    179,087
   1,760   

Centene Corp.(a)

    32,331
   1,285   

Lincare Holdings, Inc.(a)

    31,007
   1,725   

Patterson Cos., Inc.(a)

    35,294
   450   

Teleflex, Inc.

    19,341
   700   

WellPoint, Inc.(a)

    29,932
          
         326,992

Healthcare Services 0.2%

   
   1,508   

Aetna, Inc.

    33,191
   825   

Amedisys, Inc.(a)

    27,670
   500   

AMERIGROUP Corp.(a)

    14,935
   1,263   

Biogen Idec, Inc.(a)

    61,053
   300   

Covance, Inc.(a)

    11,784
   930   

DENTSPLY International, Inc.

    26,617
   585   

Genoptix, Inc.(a)

    17,012
   600   

Healthways, Inc.(a)

    6,258
   850   

MEDNAX, Inc.(a)

    30,515
   2,263   

UnitedHealth Group, Inc.

    53,226
          
         282,261

Healthcare Techology

   
   2,397   

Eclipsys Corp.(a)

    31,640
          

Home Builders

   
   1,500   

Pulte Homes, Inc.

    17,265
          

Hotels & Motels 0.9%

   
   16,035   

McDonald’s Corp.

    854,505
   1,600   

Starwood Hotels & Resorts Worldwide, Inc.

    33,376
   4,550   

Wynn Resorts Ltd.(a)

    178,497
          
         1,066,378

Household Durables 0.1%

   
   700   

Black & Decker Corp. (The)

    28,210
   2,200   

Fortune Brands, Inc.

    86,482
          
         114,692

Household Products 0.1%

   
   3,000   

Kimberly-Clark Corp.

    147,420
          

Household/Personal Care 0.1%

   
   1,130   

Colgate-Palmolive Co.

    66,670
          

Independent Power Producers & Energy Traders

   
   2,165   

NRG Energy, Inc.(a)

    38,927
          

Industrial Conglomerates 0.3%

   
   3,180   

3M Co.

    183,168
   4,500   

General Electric Co.

    56,925
   4,675   

Tyco International Ltd. (Switzerland)

    111,078
          
         351,171

Insurance 1.3%

   
   2,215   

ACE Ltd. (Switzerland)

    102,599
   10,100   

Allstate Corp. (The)

    235,633
   550   

Arthur J. Gallagher & Co.

    12,364
   850   

Aspen Insurance Holdings Ltd. (Bermuda)

    20,043
   432   

Chubb Corp.

    16,826
   425   

Delphi Financial Group, Inc. (Class A Stock)

    7,340
   5,400   

Genworth Financial, Inc. (Class A Stock)

    12,744
   1,587   

HCC Insurance Holdings, Inc.

    37,961
   950   

IPC Holdings Ltd. (Bermuda)

    24,738
   14,884   

MetLife, Inc.

    442,799
   700   

Protective Life Corp.

    5,999
   400   

Reinsurance Group of America, Inc.

    12,716
   400   

State Auto Financial Corp.

    6,492
   10,639   

Travelers Cos., Inc. (The)

    437,688
   400   

United Fire & Casualty Co.

    7,468
   2,800   

Unum Group

    45,752
   7,300   

XL Capital Ltd. (Class A Stock) (Cayman Islands)

    69,423
          
         1,498,585

Internet & Catalog Retail

   
   360   

Priceline.com, Inc.(a)

    34,952
          

Internet Services 0.2%

   
   1,010   

Amazon.com, Inc.(a)

    81,325
   300   

Digital River, Inc.(a)

    11,526
   1,340   

McAfee, Inc.(a)

    50,304
   1,620   

Monster Worldwide, Inc.(a)

    22,356
   545   

NetFlix, Inc.(a)

    24,694
   7,240   

TIBCO Software, Inc.(a)

    45,757
          
         235,962

Internet Software & Services 0.3%

   
   1,920   

Akamai Technologies, Inc.(a)

    42,278
   4,700   

eBay, Inc.(a)

    77,409
   8,926   

Oracle Corp.

    172,629
   2,570   

VeriSign, Inc.(a)

    52,891
          
         345,207

Investment Firms

   
   1,100   

Morgan Stanley

    26,004
          

IT Services

   
   425   

CACI International, Inc. (Class A Stock)(a)

    16,809
          

Life Science Tools & Services 0.1%

   
   2,243   

Thermo Fisher Scientific, Inc.(a)

    78,684
          

Machinery 0.5%

   
   900   

Actuant Corp. (Class A Stock)

    11,034
   1,650   

Bucyrus International, Inc.

    35,821
   5,000   

Caterpillar, Inc.

    177,900
   2,100   

Cummins, Inc.

    71,400
   2,334   

Deere & Co.

    96,301
   825   

General Cable Corp.(a)

    22,391
   600   

Kaydon Corp.

    19,176
   650   

Lincoln Electric Holdings, Inc.

    28,945
   475   

Lindsay Corp.

    18,482
   250   

Nordson Corp.

    9,070
   3,300   

PACCAR, Inc.

    116,952
   660   

Robbins & Myers, Inc.

    12,507
   475   

Rofin-Sinar Technologies, Inc.(a)

    10,122
          
         630,101

Manufacturing 0.1%

   
   2,020   

Danaher Corp.

    118,049
   400   

Harsco Corp.

    11,020
   3,070   

Hexcel Corp.(a)

    29,441
          
         158,510

Media 0.6%

   
   12,000   

CBS Corp. (Class B Stock)

    84,480
   9,020   

Comcast Corp. (Class A Stock)

    139,449
   4,830   

DIRECTV Group, Inc. (The)(a)

    119,446
   600   

McGraw-Hill Cos., Inc. (The)

    18,090
   1,480   

Time Warner Cable, Inc.

    47,700
   5,900   

Time Warner, Inc.

    128,797
   5,483   

Vivendi (France)

    147,433
   450   

Wiley, (John) & Sons, Inc. (Class A Stock)

    15,255
          
         700,650

Medical Supplies & Equipment 0.2%

   
   1,210   

Advanced Energy Industries, Inc.(a)

    10,200
   450   

Becton, Dickinson and Co.

    27,216

   7,938   

Boston Scientific Corp.(a)

    66,758
   2,165   

Covidien Ltd. (Bermuda)

    71,402
   606   

Quality Systems, Inc.

    32,494
   1,840   

St. Jude Medical, Inc.(a)

    61,677
   1,215   

Vital Images, Inc.(a)

    12,308
          
         282,055

Metals & Mining 0.7%

   6,400   

Alcoa, Inc.

    58,048
   2,744   

BHP Billiton Ltd., ADR (Australia)

    132,096
   5,300   

BHP Billiton PLC, ADR (United Kingdom)

    221,752
   975   

Cliffs Natural Resources, Inc.

    22,483
   1,100   

Northwest Pipe Co.(a)

    41,723
   3,981   

Nucor Corp.

    161,987
   1,443   

Peabody Energy Corp.

    38,081
   300   

Precision Castparts Corp.

    22,458
   1,250   

Steel Dynamics, Inc.

    15,563
   600   

Timken Co.

    9,648
   1,518   

United States Steel Corp.

    40,303
   625   

Walter Industries, Inc.

    14,250
          
         778,392

Multi-Line Retail 0.1%

   3,800   

JC Penney Co., Inc.

    116,622
          

Multi-Utilities 0.1%

   2,500   

Dominion Resources, Inc.

    75,400
   1,300   

Wisconsin Energy Corp.

    51,948
          
         127,348

Office Electronics 0.1%

   25,600   

Xerox Corp.

    156,416
          

Office Equipment

   300   

School Specialty, Inc.(a)

    5,631
          

Oil, Gas & Consumable Fuels 3.8%

   3,555   

Anadarko Petroleum Corp.

    153,078
   4,422   

Apache Corp.

    322,187
   850   

Arena Resources, Inc.(a)

    24,369
   100   

Ashland, Inc.

    2,196
   700   

Cabot Oil & Gas Corp.

    21,133
   7,916   

Chevron Corp.

    523,248
   925   

Concho Resources, Inc.(a)

    25,363
   7,902   

ConocoPhillips

    323,982
   400   

Core Laboratories NV (Netherlands)

    33,292
   722   

Devon Energy Corp.

    37,436
   1,225   

EQT Corp.

    41,197
   2,850   

Exxon Mobil Corp.

    190,009
   2,203   

Hess Corp.

    120,702
   822   

Lufkin Industries, Inc.

    28,688
   11,000   

Marathon Oil Corp.

    326,700
   1,790   

Nexen, Inc.

    34,189
   740   

Noble Energy, Inc.

    41,995
   3,931   

Occidental Petroleum Corp.

    221,276
   440   

Oceaneering International, Inc.(a)

    20,051
   300   

ONEOK, Inc.

    7,851

   1,825   

Patterson-UTI Energy, Inc.

    23,196
   10,010   

Petroleo Brasileiro SA, ADR (Brazil)

    336,036
   4,800   

Royal Dutch Shell PLC (Class B Stock), ADR (United Kingdom)

    218,400
   2,330   

Southwestern Energy Co.(a)

    83,554
   400   

St. Mary Land & Exploration Co.

    7,148
   500   

Swift Energy Co.(a)

    5,410
   4,075   

Total SA, ADR (France)

    202,609
   9,940   

Transocean Ltd. (Switzerland)(a)

    670,751
   800   

Ultra Petroleum Corp. (Canada)(a)

    34,240
   7,600   

Valero Energy Corp.

    150,784
   400   

WGL Holdings, Inc.

    12,456
   6,524   

XTO Energy, Inc.

    226,122
          
         4,469,648

Pharmaceuticals 2.1%

   9,242   

Abbott Laboratories

    386,778
   1,040   

Allergan, Inc.

    48,526
   3,910   

American Medical Systems Holdings, Inc.(a)

    48,367
   1,625   

BioMarin Pharmaceutical, Inc.(a)

    20,897
   9,408   

Bristol-Myers Squibb Co.

    180,634
   2,080   

Celgene Corp.(a)

    88,858
   600   

Cephalon, Inc.(a)

    39,366
   1,040   

Cubist Pharmaceuticals, Inc.(a)

    17,264
   9,200   

Eli Lilly & Co.

    302,864
   1,300   

Express Scripts, Inc.(a)

    83,161
   930   

Herbalife Ltd. (Cayman Islands)

    18,433
   5,945   

Johnson & Johnson

    311,280
   2,100   

Medco Health Solutions, Inc.(a)

    91,455
   4,286   

Merck & Co., Inc.

    103,893
   595   

Onyx Pharmaceuticals, Inc.(a)

    15,410
   690   

Perrigo Co.

    17,885
   30,085   

Pfizer, Inc.

    401,935
   5,502   

Schering-Plough Corp.

    126,656
   2,630   

Teva Pharmaceutical Industries Ltd., ADR (Israel)

    115,431
          
         2,419,093

Professional Services

   825   

Watson Wyatt Worldwide, Inc. (Class A Stock)

    43,766
          

Real Estate Investment Trusts 0.4%

   11,000   

Annaly Capital Management, Inc.

    154,770
   1,443   

AvalonBay Communities, Inc.

    81,977
   1,443   

Boston Properties, Inc.

    71,313
   4,700   

MFA Mortgage Investments, Inc.

    27,683
   2,252   

Simon Property Group, Inc.

    116,203
   219   

Walter Investment Management Corp.(a)

    1,752
          
         453,698

Restaurants

   2,480   

BJ’s Restaurants, Inc.(a)

    40,895
   1,826   

Wendy’s / Arby’s Group, Inc. (Class A Stock)

    9,130
          
         50,025

Retail 0.1%

   2,328   

Genesco, Inc.(a)

    53,032
          

Retail & Merchandising 2.8%

   800   

Abercrombie & Fitch Co. (Class A Stock)

    21,648
   3,116   

Best Buy Co., Inc.

    119,592
   400   

Brinker International, Inc.

    7,088
   2,610   

Cash America International, Inc.

    58,359
   30,910   

CVS Caremark Corp.

    982,320
   1,530   

GameStop Corp. (Class A Stock)(a)

    46,145
   840   

Kohl’s Corp.(a)

    38,094
   16,510   

Lowe’s Cos., Inc.

    354,965
   600   

Sonic Corp.(a)

    6,552
   10,174   

Staples, Inc.

    209,788
   2,600   

Target Corp.

    107,276
   2,165   

TJX Cos., Inc.

    60,555
   12,362   

Wal-Mart Stores, Inc.

    623,045
   2,570   

Walgreen Co.

    80,775
   14,934   

Yum! Brands, Inc.

    498,049
          
         3,214,251

Semiconductors 0.3%

   900   

ASML Holding NV (Netherlands)

    19,035
   5,410   

Intel Corp.

    85,370
   2,250   

Microsemi Corp.(a)

    30,195
   3,160   

ON Semiconductor Corp.(a)

    17,127
   1,100   

OYO Geospace Corp.(a)

    17,490
   327   

Samsung Electronics Co. Ltd., GDR, 144A (South Korea)(a)

    75,442
   5,323   

Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)

    56,264
   2,950   

Varian Semiconductor Equipment Associates, Inc.(a)

    75,491
          
         376,414

Semiconductors & Semiconductor Equipment 0.1%

   720   

Broadcom Corp. (Class A Stock)(a)

    16,697
   2,340   

Marvell Technology Group Ltd. (Bermuda)(a)

    25,693
   4,600   

Texas Instruments, Inc.

    83,076
          
         125,466

Software 1.1%

   5,210   

Adobe Systems, Inc.(a)

    142,493
   1,220   

ANSYS, Inc.(a)

    33,696
   2,300   

BMC Software, Inc.(a)

    79,741
   10,164   

CA, Inc.

    175,329
   2,000   

Citrix Systems, Inc.(a)

    57,060
   1,025   

FactSet Research Systems, Inc.

    54,930
   978   

MedAssets, Inc.(a)

    16,861
   27,687   

Microsoft Corp.

    560,939
   440   

Research In Motion Ltd. (Canada)(a)

    30,580
   1,450   

Sybase, Inc.(a)

    49,242
   1,675   

Tyler Technologies, Inc.(a)

    27,637
          
         1,228,508

Specialty Retail 0.4%

   1,090   

Aaron’s, Inc.

    36,580
   1,200   

AutoNation, Inc.(a)

    21,252
   100   

CarMax, Inc.(a)

    1,276
   5,300   

Gap, Inc. (The)

    82,362
   9,322   

Home Depot, Inc. (The)

    245,355
   3,900   

Limited Brands, Inc.

    44,538
          
         431,363

Telecommunications 1.1%

   600   

America Movil SAB de CV (Class L Stock), ADR (Mexico)

    19,710
   1,540   

American Tower Corp. (Class A Stock)(a)

    48,910
   1,400   

Arris Group, Inc.(a)

    14,938
   15,228   

Cisco Systems, Inc.(a)

    294,205
   5,250   

Corning, Inc.

    76,755
   1,780   

EMS Technologies, Inc.(a)

    33,909
   2,510   

Juniper Networks, Inc.(a)

    54,342
   1,860   

MetroPCS Communications, Inc.(a)

    31,787
   2,850   

Nokia Oyj, ADR (Finland)

    40,299
   15,595   

QUALCOMM, Inc.

    659,981
   400   

SBA Communications Corp. (Class A Stock)(a)

    10,080
   2,075   

Syniverse Holdings, Inc.(a)

    26,145
          
         1,311,061

Textiles, Apparel & Luxury Goods 0.1%

   1,925   

Hanesbrands, Inc.(a)

    31,686
   3,900   

Jones Apparel Group, Inc.

    36,036
   1,950   

Phillips-Van Heusen Corp.

    56,608
          
         124,330

Tobacco 0.1%

   10,000   

Altria Group, Inc.

    163,300
          

Tobacco Products 0.3%

   800   

Lorillard, Inc.

    50,504
   8,618   

Philip Morris International, Inc.

    311,972
          
         362,476

Transportation 1.1%

   3,304   

Burlington Northern Santa Fe Corp.

    222,954
   1,670   

Expeditors International of Washington, Inc.

    57,966
   1,590   

Landstar System, Inc.

    56,620
   6,792   

Norfolk Southern Corp.

    242,338
   13,810   

Union Pacific Corp.

    678,623
   650   

United Parcel Service, Inc. (Class B Stock)

    34,021
          
         1,292,522

Utilities 0.5%

   1,506   

American Electric Power Co., Inc.

    39,728
   11,938   

Edison International

    340,352
   3,067   

FirstEnergy Corp.

    125,440
   501   

Headwaters, Inc.(a)

    1,263
   1,804   

PG&E Corp.

    66,965
          
         573,748
          
     

TOTAL COMMON STOCKS

(cost $45,701,850)

    44,548,024
          

PREFERRED STOCKS 0.1%

Diversified Financial Services

   2,300   

Citigroup, Inc., 8.125%

    40,894

Financial—Bank & Trust—0.1%

   2,650   

Wells Fargo & Co., Series J, 8.00%, CVT

    49,025
          
     

TOTAL PREFERRED STOCKS

(cost $86,080)

    89,919
          

 

Moody’s
Ratings†

        Principal
Amount
(000)#		          

ASSET-BACKED SECURITIES 2.0%

       

Asset Backed Funding Certificates,

Series 2004-OPT5, Class A1

   

AAA(e)

      $ 305   

0.788%(d), 06/25/34

    154,124
       

Ford Credit Auto Owner Trust,

Series 2008-C, Class A2B

   

Aaa

        378   

1.351%(d), 01/15/11

    376,733
       

Merrill Lynch Mortgage Investors, Inc.,

Series 2006-RM5, Class A2A

   

Ca

        96   

0.498%(d), 10/25/37

    56,562
       

Morgan Stanley ABS Capital I,

Series 2006-HE7, Class A2A

   

Aaa

        76   

0.488%(d), 09/25/36

    71,668
       

SLM Student Loan Trust,

Series 2008-9, Class A

   

Aaa

        1,473   

2.592%(d), 04/25/23

    1,470,011
       

Soundview Home Equity Loan Trust,

Series 2006-NLC1, Class A1, 144A

   

Baa2

        132   

(original cost $132,355; purchased 10/13/06)(c)(h)

0.498%(d), 11/25/36

    85,469
       

Structured Asset Securities Corp.,

Series 2006-BC3, Class A2

   

Aaa

        118   

0.488%(d), 10/25/36

    104,463
            
       

TOTAL ASSET-BACKED SECURITIES

(cost $2,573,986)

    2,319,030
            

COLLATERALIZED MORTGAGE OBLIGATIONS 3.3%

       

American Home Mortgage Assets,

Series 2006-1, Class 2A1

   

Ba2

        387   

0.628%(d), 05/25/46

    136,058
       

Bear Stearns Adjustable Rate Mortgage Trust,

Series 2005-4, Class 23A2

   

Aa3

        202   

5.363%(d), 05/25/35

    131,477
       

Series 2007-3, Class 1A1

   

AAA(e)

        191   

5.463%(d), 05/25/47

    105,217
       

Countrywide Alternative Loan Trust,

Series 2006-OA9, Class 2A1A

   

Caa3

        382   

0.657%(d), 07/20/46

    138,188

       

Fannie Mae,

Series 1992-146, Class PZ

   

Aaa

      20   

8.00%, 08/25/22

    22,169
       

FHLMC Structured Pass-Through Securities,

Series T-61, Class 1A1

   

Aaa

      591   

3.033%(d), 07/25/44

    568,886
       

Freddie Mac,

Series 41, Class F

   

Aaa

      87   

10.00%, 05/15/20

    92,749
       

Series 2801, Class EH

   

Aaa

      337   

4.50%, 11/15/16

    340,746
       

Series 2962, Class YC

   

Aaa

      176   

4.50%, 09/15/14

    177,052
       

Series 3117, Class PN

   

Aaa

      90   

5.00%, 11/15/21

    90,782
       

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

   

AAA(e)

      305   

4.509%(d), 09/25/35

    233,329
       

Series 2006-OA1, Class 2A2

   

Caa1

      780   

0.698%(d), 08/25/46

    129,968
       

Harborview Mortgage Loan Trust,

Series 2006-12, Class 2A11

   

B2

      129   

0.537%(d), 01/19/38

    116,717
       

Homebanc Mortgage Trust,

Series 2006-1, Class 4A1

   

Ba1

      818   

5.765%(d), 04/25/37

    577,017
       

Vendee Mortgage Trust,

Series 2000-1, Class 1A

   

NR

      133   

6.811%(d), 01/15/30

    140,618
       

Washington Mutual Mortgage Pass-Through Certificates,

Series 2003-R1, Class A1

   

Aaa

      688   

0.978%(d), 12/25/27

    487,392
       

Series 2006-AR15, Class 2A

   

A1

      383   

3.014%(d), 11/25/46

    250,023
       

Series 2007-OA2, Class 1A

   

B3

      382   

2.214%(d), 03/25/47

    119,619
            
       

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(cost $5,073,742)

    3,858,007
            

CORPORATE BONDS 21.3%

Advertising 0.2%

       

Omnicom Group, Inc.,

Gtd. Notes

   

Baa1

      300   

5.90%, 04/15/16

    264,808
            

Automobile Manufacturers 0.2%

       

DaimlerChrysler NA Holding Corp.,

Gtd. Notes, MTN

   

A3

      200   

5.75%, 09/08/11

    196,461
            

Automotive - OEM 0.3%

       

General Motors Acceptance Corp. LLC,

Sr. Unsec’d. Notes

   

C

      500   

6.75%, 12/01/14

    320,119
            

Commercial Banks 0.9%

       

ANZ National International Ltd.,

Bank Gtd. Notes, 144A (New Zealand)

   

Aa2

      1,000   

6.20%, 07/19/13 (original cost $999,060; purchased 07/09/08)(c)(h)

    998,388
            

Consumer Finance 0.3%

        

American Express Co.,

Sr. Unsec’d. Notes

   

A3

       400   

7.00%, 03/19/18

    379,384
             

Diversified Financial Services 3.3%

        

Bank of America Corp.,

   
        

Jr. Sub. Notes

   

B3

       900   

8.00%(d), 12/29/49

    511,326

B3

       1,300   

8.125%(d), 12/29/49

    738,296
        

Citigroup, Inc.,

   
        

Jr. Sub. Notes

   

Ca

       700   

8.40%(d), 04/29/49

    468,209
        

Sr. Unsec’d. Notes

   

A3

       1,500   

5.50%, 04/11/13

    1,336,902
        

Ford Motor Credit Co. LLC,

Sr. Unsec’d. Notes

   

Caa1

       500   

7.00%, 10/01/13

    372,608
        

General Electric Capital Corp.,

   
        

Sr. Unsec’d. Notes, MTN

   

Aa2

       200   

5.875%, 01/14/38

    138,037
        

Sub. Notes, 144A(c)(h)

   

Aa3

    GBP    500   

6.50%(d), 09/15/67 (original cost $999,960; purchased 08/30/07)

    340,252
             
            3,905,630

Financial - Bank & Trust 3.8%

        

Barclays Bank PLC,

  
        

Sub. Notes, 144A (United Kingdom)

   

Baa1

       1,600   

6.05%, 12/04/17 (original cost $1,589,232; purchased 12/07/07)(c)(h)

    1,281,640

Baa1

       1,000   

7.70%(d), 04/29/49 (original cost $1,000,000; purchased 04/18/08)(c)(h)

    630,280
        

Deutsche Bank AG, Sr. Unsec’d. Notes (Germany)

   

Aa1

       2,000   

4.875%, 05/20/13

    1,986,108
        

ING Bank NV,

   
        

Gov’t. Liquid Gtd. Notes, 144A (Netherlands)

   

Aaa

       100   

3.90%, 03/19/14 (original cost $99,807; purchased 03/12/09)(c)(h)

    99,295
        

National Australia Bank Ltd.,

   
        

Sr. Notes, 144A (Australia)

   

Aa1

       500   

1.691%(d), 02/08/10 (original cost $500,000; purchased 02/01/08)(c)(h)

    499,636
             
            4,496,959

Financial Services 2.7%

        

Bear Stearns Cos. LLC (The),

Sr. Unsec’d. Notes

   

Aa3

       1,000   

7.25%, 02/01/18

    1,021,218
        

Citigroup Capital XXI,

Gtd. Notes

   

Baa3

       1,000   

8.30%(d), 12/21/77

    608,480
        

Goldman Sachs Group, Inc. (The),

Sub. Notes

   

A2

       700   

6.75%, 10/01/37

    533,582
        

Lehman Brothers Holdings, Inc.,(j)

   
        

Sr. Unsec’d. Notes, MTN

   

NR

       500   

5.625%, 01/24/13

    72,500

NR

       400   

6.875%, 05/02/18

    59,500
        

Merrill Lynch & Co., Inc.,

Notes, MTN

   

A2

       1,000   

6.875%, 04/25/18

    842,735
             
            3,138,015

Healthcare Providers & Services 0.7%

        

Cardinal Health, Inc.,

Sr. Unsec’d. Notes

   

Baa2

       400   

1.462%(d), 10/02/09

    393,940

Baa2

       500   

6.00%, 06/15/17

    457,257
             
            851,197

Hotels & Motels 0.7%

        

Marriott International, Inc.,

Sr. Unsec’d. Notes

   

Baa2

       1,000   

6.375%, 06/15/17

    865,534
             

Insurance 0.4%

        

American International Group, Inc.,

Sr. Unsec’d. Notes, 144A

   

A3

       800   

8.25%, 08/15/18 (original cost $800,000; purchased 08/13/08)(c)(h)

    281,280
        

Sr. Unsec’d. Notes, MTN

   

A3

       600   

5.85%, 01/16/18

    202,473
             
            483,753

Investment Firms 1.1%

        

Morgan Stanley,

Sr. Unsec’d. Notes, MTN

   

A2

       1,400   

6.00%, 04/28/15

    1,322,459
             

IT Services 0.5%

        

Electronic Data Systems Corp.,

Sr. Unsec’d. Notes

   

A2

       500   

6.00%, 08/01/13

    534,777
             

Medical Supplies & Equipment 0.4%

        

HCA, Inc.,

Sr. Sec’d. Notes

   

B2

       500   

9.25%, 11/15/16

    495,000
             

Metals & Mining 0.8%

        

Spectra Energy Capital LLC,

Gtd. Notes

   

Baa1

       1,000   

6.20%, 04/15/18

    897,808
             

Oil, Gas & Consumable Fuels 0.9%

        

Nabors Industries, Inc.,

Gtd. Notes

   

Baa1

       1,000   

6.15%, 02/15/18

    836,334
        

Petroleum Export Ltd.,

   
        

Sr. Sec’d. Notes, 144A (Cayman Islands)

   

Baa1

       284   

5.265%, 06/15/11 (original cost $283,573; purchased 07/14/05)(c)(h)

    247,190
             
            1,083,524

Telecommunications 1.6%

        

Embarq Corp.,

Sr. Unsec’d. Notes

   

Baa3

       900   

6.738%, 06/01/13

    868,500
        

Qwest Corp.,

Sr. Unsec’d. Notes

   

Ba1

       1,000   

7.625%, 06/15/15

    947,500
             
            1,816,000

Transportation 1.3%

        

Con-Way, Inc.,

Sr. Unsec’d. Notes

   

Baa3

       2,000   

7.25%, 01/15/18

    1,471,790

Utilities 1.2%

        

American Electric Power Co., Inc.,

Sr. Unsec’d. Notes

   

Baa2

       500   

5.25%, 06/01/15

    485,475
        

Illinois Power Co.,

Sr. Sec’d. Notes

   
Baa3       1,000   

6.25%, 04/01/18

    876,970
             
            1,362,445
             
        

TOTAL CORPORATE BONDS

(cost $31,509,227)

    24,884,051
             

FOREIGN GOVERNMENT BONDS 0.9%

        

Republic of Brazil,

Sr. Unsec’d. Notes (Brazil)

   
Ba1    BRL    1,300   

12.50%, 01/05/22

    610,966
         United Kingdom Gilt, Bonds (United Kingdom)   
AAA(e)    GBP    100   

4.00%, 03/07/22

    148,973
Aaa    GBP    200   

5.75%, 12/07/09

    305,312
             
        

TOTAL FOREIGN GOVERNMENT BONDS

(cost $1,258,847)

    1,065,251
             

MUNICIPAL BONDS 1.5%

California 0.5%

        

Los Angeles Unified School District,

General Obligation Bonds

   
Aa3       700   

4.50%, 07/01/25

    660,527
             

Georgia 0.2%

        

Georgia State Road & Tollway Authority,

Revenue Bonds

   
Aaa       200   

5.00%, 03/01/21

    207,968
             

Illinois 0.4%

        

Chicago Illinois Transit Authority,

Revenue Bonds

   
Aa3       300   

6.899%, 12/01/40

    298,197
        

Chicago Transit Authority,

Series A, Revenue Bonds

   
Aa3       200   

6.899%, 12/01/40

    194,448
             
            492,645

New York 0.4%

        

Metropolitan Transportation Authority,

Revenue Bonds

   
AA(e)       400   

7.336%, 11/15/39

    428,964
             
        

TOTAL MUNICIPAL BONDS

(cost $1,712,416)

    1,790,104
             

U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS 33.7%

         Federal Home Loan Mortgage Corp.   
      324   

5.00%(d), 03/01/36

    329,089
      765   

5.00%, 11/01/36

    787,416
      11   

5.14%(d), 08/01/23

    11,081
      1,000   

5.50%, 01/01/38-07/01/38

    1,035,770
      150   

6.00%, 09/01/22

    158,026
         Federal National Mortgage Assoc.   
      65   

4.388%(d), 05/01/36

    65,260
      1,733   

4.50%, 09/01/35-11/01/35

    1,765,618
      1,000   

4.50%, TBA

    1,014,375
      2,807   

5.00%, 06/01/23-03/01/39

    2,895,015
      786   

5.089%(d), 06/01/35

    811,150
      6,003   

5.50%, 09/01/33-12/01/38

    6,234,729
      5,000   

5.50%, TBA

    5,179,690
      2,112   

6.00%, 05/01/16-11/01/38

    2,211,183
      500   

6.00%, TBA

    521,406

      8,500   

6.00%, TBA

    8,885,152
      347   

6.50%, 01/01/16-09/01/36

    368,320
      164   

7.50%, 01/01/32

    178,935
        

Government National Mortgage Assoc.

   
      47   

4.50%, 08/15/33-09/15/33

    48,690
      6   

4.625%(d), 09/20/22

    6,549
      4,112   

6.00%, 12/15/37-11/15/38

    4,294,243
      2,500   

6.00%, TBA

    2,607,813
      60   

8.50%, 02/20/30-06/15/30

    66,412
             
        

TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS

(cost $38,797,283)

    39,475,922
             

U.S. TREASURY OBLIGATIONS 5.7%

        

U.S. Treasury Bonds

   
      800   

3.50%, 02/15/39

    724,872
      400   

6.00%, 02/15/26

    497,375
      500   

7.25%, 08/15/22

    674,844
      700   

7.875%, 02/15/21

    976,500
      1,000   

8.875%, 08/15/17

    1,418,750
        

U.S. Treasury Inflation Index Bonds, TIPS

   
      200   

1.625%, 01/15/15

    221,107
      200   

2.00%, 01/15/26

    200,157
      500   

2.125%, 01/15/19

    515,696
      900   

2.50%, 01/15/29

    905,185
      190   

3.875%, 04/15/29

    294,399
        

U.S. Treasury Strips, IO

   
      500   

7.25%, 02/15/22

    292,738
             
        

TOTAL U.S. TREASURY OBLIGATIONS

(cost $6,784,791)

    6,721,623
             

BANK LOANS(d) 1.9%

        

Chrysler Financial, Term, 144A

  
CAA(e)       1,870   

4.46%, 08/03/12 (original cost $1,876,250; purchased 11/28/07)(c)(h)

    1,359,758
        

TXU Corp., Term B3

   
B+(e)       13   

3.93%, 10/10/14 (original cost $13,033; purchased 02/10/09, 04/13/09)(c)(h)

    8,776
B+(e)       1,271   

3.97%, 10/10/14 (original cost $1,179,231; purchased 01/16/08 - 11/06/08)(c)(h)

    855,685
             
        

TOTAL BANK LOANS

(cost $3,011,805)

    2,224,219
             
        

TOTAL LONG-TERM INVESTMENTS

(cost $136,510,027)

    126,976,150
             

SHORT-TERM INVESTMENTS 7.2%

U.S. TREASURY OBLIGATION(f) 0.2%

        

U.S. Treasury Bills

   
      250   

0.154%, 05/21/09

    249,995
             
        

(cost $249,993)

   
          Contracts/
Notional
Amount
(000)#		          

OPTIONS PURCHASED(a) 0.7%

Call Options 0.7%

        

Interest Rate Swap Options,

   
      2,200   

expiring 08/03/2009 @ 3.45%

    77,138

        10,900   

expiring 08/03/2009 @ 3.45%

      382,182   
        8,200   

expiring 08/03/2009 @ 3.85%

      351,752   
                 
        

TOTAL OPTIONS PURCHASED

(cost $241,610)

      811,072   
                 
          Principal
Amount
(000)#		            

REPURCHASE AGREEMENT 1.8%

  

      $ 2,100   

Credit Suisse Securities LLC, 0.18%, dated 4/30/09, due 05/01/09 in the amount of $2,100,011 (cost $2,100,000; the value of collateral plus accrued interest was $2,154,029)(b)

      2,100,000   
                 
          Shares            

AFFILIATED MONEY MARKET MUTUAL FUND 4.5%

  

        5,254,501   

Dryden Core Investment Fund - Taxable Money Market Series

(cost $5,254,501)(g)

      5,254,501   
                 
        

TOTAL SHORT-TERM INVESTMENTS

(cost $7,846,104)

      8,415,568   
                 
        

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN(i)—115.7%

(cost $144,356,131)(k)

      135,391,718   
                 
          Contracts/
Notional
Amount
(000)#		            

OPTIONS WRITTEN(a)

  

Call Options

  

        

10 Year U.S. Treasury Note Futures,

   
        2,100   

expiring 05/22/2009, Strike Price $126.00

      (1,312 ) 
        1,200   

expiring 05/22/2009, Strike Price $128.00

      (375 ) 
        

Equity Option, Citigroup, Inc.,

   
        10   

expiring 09/19/2009, Strike Price $3.00

      (6,800 ) 
        

Interest Rate Swap Options,

   
        1,500   

expiring 06/22/2009 @ 2.35%

      (1,533 ) 
                 
              (10,020 ) 
                 

Put Options

  

        

10 Year U.S. Treasury Note Futures,

   
        2,600   

expiring 05/22/2009, Strike Price $119.00

      (9,344 ) 
        600   

expiring 05/22/2009, Strike Price $122.00

      (9,844 ) 
        

90 Day Euro Dollar Futures,

   
        5,000   

expiring 09/14/2009, Strike Price $98.63

      (719 ) 
        

Interest Rate Swap Options,

   
        1,900   

expiring 05/22/2009 @ 2.75%

      (5,363 ) 
        1,500   

expiring 06/22/2009 @ 3.50%

      (4,248 ) 
        400   

expiring 06/22/2009 @ 3.50%

      (1,133 ) 
        3,800   

expiring 08/03/2009 @ 4.40%

      (2,360 ) 
                 
              (33,011 ) 
                 
        

TOTAL OPTIONS WRITTEN

(premium received $79,720)

      (43,031 ) 
                 
        

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—115.7%

(cost $144,276,411)

      135,348,687   
        

Other liabilities in excess of other assets(l)—(15.7)%

      (18,341,559 ) 
                 
        

NET ASSETS—100%

    $ 117,007,128   
                 

The following abbreviations are used in the portfolio descriptions:

 

144A    Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR    American Depositary Receipt
CVT    Convertible Security
FHLMC    Federal Home Loan Mortgage Corporation
GDR    Global Depositary Receipt
IO    Interest Only
MTN    Medium Term Note
NR    Not Rated by Moody’s or Standard & Poor’s
TBA    To Be Announced
TIPS    Treasury Inflation Protected Securities
BRL    Brazilian Real
CNY    Chinese Yuan
EUR    Euro
GBP    British Pound
INR    Indian Rupee
JPY    Japanese Yen
RUB    Russian Ruble
†    The rating reflected is as of April 30, 2009. Rating of certain bonds may have changed subsequent to that date.
#    Principal and notional amount is shown in U.S. dollars unless otherwise stated.
(a)    Non-income producing security.
(b)    Repurchase agreement is collateralized by United States Treasuries or federal agency obligations.
(c)    Private Placement restricted as to resale and does not have a readily available market. The aggregate original cost of such securities is $9,472,501. The aggregate value of $6,687,649 is approximately 5.7% of net assets.
(d)    Indicates a variable rate security.
(e)    Standard & Poor’s rating.
(f)    Rates shown are the effective yields at purchase date.
(g)    Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the underlying portfolios in which the Portfolio invests.
(h)    Indicates a security that has been deemed illiquid.
(i)    As of April 30, 2009, 3 securities representing $345,034 and 0.3% of net assets were fair valued in accordance with the policies adopted by the Board of Directors.
(j)    Represents issuer in default on interest payments. Non-income producing security.
(k)    The United States federal income tax basis of the Fund’s investments was $149,118,360; accordingly, net unrealized depreciation on investments for federal income tax purposes was $13,726,643 (gross unrealized appreciation - $625,877; gross unrealized depreciation - $14,352,520). The difference between book and tax basis is primarily attributable to deferred losses on wash sales.
(l)    Other liabilities in excess of other assets includes net unrealized appreciation (depreciation) on futures contracts and forward foreign currency exchange contracts as follows:

Future contracts open at April 30, 2009:

 

Number of
Contracts

   

Type

    Expiration
Date		    Value at
Trade Date		    Value at
April 30, 2009		    Unrealized
Appreciation
(Depreciation)		  

Long Positions:

  

56   

90 Day Euro

    Mar 10    $ 13,469,950    $ 13,814,500    $ 344,550   
40   

90 Day Euro EURIBOR

    Sep 09      12,964,491      12,979,624      15,133   
2   

90 Day Sterling

    Jun 09      347,242      364,957      17,715   
11   

90 Day Sterling

    Dec 09      1,997,685      2,001,975      4,290   
22   

90 Day Sterling

    Mar 10      3,859,012      3,997,441      138,429   
5   

90 Day Sterling

    Jun 10      903,671      905,828      2,157   
14   

90 Day Sterling

    Sept 10      2,525,713      2,529,069      3,356   
11   

90 Day Sterling

    Dec 10      1,978,786      1,980,617      1,831   
7   

5 Year Euro-Bobl

    Jun 09      1,076,203      1,074,173      (2,030 ) 
2   

5 Year U.S. Treasury Note

    Jun 09      236,406      234,281      (2,125 ) 
16   

10 Year Euro-Bund

    Jun 09      2,622,705      2,593,914      (28,791 ) 
                    
               $ 494,515 (1) 
                    

 

(1)

Cash of $302,600 has been segregated to cover requirements for open futures contracts as of April 30, 2009.

Forward foreign currency exchange contracts outstanding at April 30, 2009:

 

Purchase Contracts

    Notional
Amount
(000)		    Value at
Settlement
Date Payable		    Current
Value		    Unrealized
Appreciation
(Depreciation)		  

Brazilian Real,

               

Expiring 06/02/09

    BRL    508    $ 215,330    $ 229,925    $ 14,595   

British Pound,

               

Expiring 05/21/09

    GBP    392      568,476      580,552      12,076   

Chinese Yuan,

               

Expiring 03/29/10

    CNY    6,644      983,309      984,721      1,412   

Expiring 05/06/09

    CNY    6,687      966,063      980,411      14,348   

Expiring 07/15/09

    CNY    15,780      2,315,733      2,321,071      5,338   

Expiring 09/08/09

    CNY    3,240      470,000      477,785      7,785   

Euro,

               

Expiring 05/14/09

    EUR    1,268      1,638,426      1,677,726      39,300   

Japanese Yen,

               

Expiring 05/07/09

    JPY    190,870      1,964,727      1,935,605      (29,122 ) 

Russian Ruble,

               

Expiring 05/06/09

    RUB    24,221      809,088      730,217      (78,871 ) 
                            
         $ 9,931,152    $ 9,918,013    $ (13,139 ) 
                            

Sale Contracts

    Notional
Amount
(000)		    Value at
Settlement
Date Receivable		    Current
Value		    Unrealized
Appreciation
(Depreciation)		  

Brazilian Real,

               

Expiring 06/02/09

    BRL    1,399    $ 620,276    $ 633,159    $ (12,883 ) 

British Pound,

               

Expiring 05/21/09

    GBP    1,200      1,765,613      1,775,777      (10,164 ) 

Chinese Yuan,

               

Expiring 03/29/10

    CNY    2,151      319,000      318,870      130   

Expiring 05/06/09

    CNY    6,687      978,768      980,411      (1,643 ) 

Expiring 07/15/09

    CNY    15,780      2,268,000      2,321,071      (53,071 ) 

Expiring 09/08/09

    CNY    5,057      743,618      745,704      (2,086 ) 

Euro,

               

Expiring 05/14/09

    EUR    1,446      1,916,520      1,913,111      3,409   

Indian Rupee,

               

Expiring 07/06/09

    INR    446      8,518      8,855      (337 ) 

Japanese Yen,

               

Expiring 05/07/09

    JPY    109,566      1,128,340      1,111,103      17,237   

Expiring 06/04/09

    JPY    82,715      849,627      839,163      10,464   

Russian Ruble,

               

Expiring 05/06/09

    RUB    24,221      750,726      730,216      20,510   
                            
         $ 11,349,006    $ 11,377,440    $ (28,434 ) 
                            

 

Interest rate swap agreements outstanding at April 30, 2009:

 

Counterparty

    Termination
Date		    Notional
Amount#
(000)		    Fixed
Rate		    

Floating Rate

    Fair
Value		     Upfront
Premiums
Paid (Received)		     Unrealized
Appreciation
(Depreciation)		  

Citigroup, Inc. (1)

    06/17/19    $ 1,100    4.00 %   

3 Month LIBOR

    $ (68,809 )    $ (43,137 )    $ (25,672 ) 

Credit Suisse International (1)

    06/17/19      900    4.00 %   

3 Month LIBOR

      (56,298 )      (4,860 )      (51,438 ) 

Credit Suisse International (1)

    06/17/24      3,800    4.00 %   

3 Month LIBOR

      (222,131 )      (509,301 )      287,170   

Merrill Lynch & Co.(1)

    12/17/18      4,000    5.00 %   

3 Month LIBOR

      (655,943 )      (63,473 )      (592,470 ) 

Goldman Sachs & Co. (2)

    01/02/12    BRL 3,900    10.15 %   

Brazilian interbank lending rate

      (82,728 )      596        (83,324 ) 

UBS AG (2)

    10/15/10    EUR 100    2.15 %   

FRC - Excluding Tobacco - Non-Revised Consumer Price Index

      5,787        16        5,771   

Barclays Capital (1)

    06/15/37    GBP 300    4.00 %   

6 Month LIBOR

      (9,457 )      (1,196 )      (8,261 ) 

Barclays Capital (2)

    09/15/10    GBP 2,500    5.00 %   

6 Month LIBOR

      169,906        (26,752 )      196,658   

Barclays Capital (2)

    03/17/12    GBP 2,000    3.00 %   

6 Month LIBOR

      14,225        1,569        12,656   

Deutsche Bank (1)

    06/15/37    GBP 1,100    4.25 %   

6 Month LIBOR

      (61,893 )      (27,268 )      (34,625 ) 

Goldman Sachs & Co. (1)

    06/15/37    GBP 300    4.00 %   

6 Month LIBOR

      (9,456 )      (1,736 )      (7,720 ) 

Goldman Sachs & Co. (2)

    09/17/11    GBP 500    4.50 %   

6 Month LIBOR

      40,823        (7,725 )      48,548   

Morgan Stanley & Co. (1)

    06/15/37    GBP 300    4.25 %   

6 Month LIBOR

      (16,880 )      (7,848 )      (9,032 ) 
                                   
              $ (952,854 )    $ (691,115 )    $ (261,739 ) 
                                   

 

(1) Fund pays the fixed rate and receives the floating rate.
(2) Fund pays the floating rate and receives the fixed rate.
# Notional Amount is shown in U.S. dollars unless otherwise stated.

Credit default swap agreements outstanding at April 30, 2009:

 

Counterparty

    Termination
Date		    Notional
Amount#
(000) (4)		    Fixed
Rate		    

Reference Entity/Obligation

    Fair
Value(3)		     Upfront
Premiums
Paid (Received)		    Unrealized
(Depreciation)		  

Credit default swaps on credit indices - Sell Protection (1):

  

Citigroup, Inc.

    06/20/12    $ 4,000    2.11 %   

Dow Jones CDX HY8 5Y Index

    $ (1,220,565 )    $ —      $ (1,220,565 ) 

Morgan Stanley & Co.

    12/20/15      470    0.46 %   

Dow Jones CDX IG5 10Y Index

      (144,175 )      —        (144,175 ) 

Morgan Stanley & Co.

    12/20/15      1,500    0.46 %   

Dow Jones CDX IG5 10Y Index

      (459,728 )      —        (459,728 ) 
                                  
              $ (1,824,468 )    $ —      $ (1,824,468 ) 
                                  

Credit default swaps - Buy Protection (2):

 

Counterparty

    Termination
Date		    Notional
Amount#
(000) (4)		    Fixed
Rate		    

Reference Entity/Obligation

    Fair
Value		     Upfront
Premiums
Paid (Received)		     Unrealized
Appreciation
(Depreciation)		  

Citigroup, Inc.

    06/20/15    $ 500    0.62 %   

American Electric Power, 5.25%, due 06/01/15

    $ 614      $ —        $ 614   

UBS AG

    06/20/17      500    0.56 %   

Cardinal Health Inc., 6.00%, due 06/15/17

      2,360        —          2,360   

Bank of America Securities LLC

    03/20/18      2,000    1.83 %   

Con-way, Inc., 7.25%, due 01/15/18

      160,605        —          160,605   

Barclays Bank PLC

    09/20/11      200    0.58 %   

DaimlerChrysler, 5.75%, due 09/08/11

      7,291        —          7,291   

Barclays Bank PLC

    12/20/11      600    0.75 %   

Dow Jones CDX HVOL7 Index

      53,342        512        52,830   

Barclays Bank PLC

    06/20/13      460    5.00 %   

Dow Jones CDX HY10 Index

      80,366        5,583        74,783   

UBS AG

    06/20/13      368    5.00 %   

Dow Jones CDX HY10 Index

      64,293        4,279        60,014   

Merrill Lynch & Co.

    12/20/11      300    0.00 %   

Dow Jones CDX HY7 Index

      276,542        58,674        217,868   

Merrill Lynch & Co.

    06/20/12      276    2.75 %   

Dow Jones CDX HY8 Index

      54,098        4,211        49,887   

Deutsche Bank

    06/20/18      1,659    1.50 %   

Dow Jones CDX IG10 10Y Index

      28,049        (24,877 )      52,926   

Goldman Sachs & Co.

    06/20/18      4,490    1.50 %   

Dow Jones CDX IG10 10Y Index

      75,897        (139,170 )      215,067   

Morgan Stanley & Co.

    06/20/18      4,392    1.50 %   

Dow Jones CDX IG10 10Y Index

      74,247        (107,918 )      182,165   

Deutsche Bank

    06/20/13      1,269    1.55 %   

Dow Jones CDX IG10 5Y Index

      28,347        (4,479 )      32,826   

Goldman Sachs

    06/20/13      4,978    1.55 %   

Dow Jones CDX IG10 5Y Index

      111,206        58,378        52,828   

Morgan Stanley & Co.

    12/20/12      700    0.14 %   

Dow Jones CDX IG5 Index

      146,749        —          146,749   

Morgan Stanley & Co.

    12/20/12      2,100    0.14 %   

Dow Jones CDX IG5 Index

      440,240        —          440,240   

Barclays Bank PLC

    12/20/17      1,074    0.80 %   

Dow Jones CDX IG9 10Y Index

      67,842        11,773        56,069   

Goldman Sachs

    12/20/17      1,659    0.80 %   

Dow Jones CDX IG9 10Y Index

      103,452        25,075        78,377   

Merrill Lynch & Co.

    12/20/17      195    0.80 %   

Dow Jones CDX IG9 10Y Index

      12,171        3,168        9,003   

Morgan Stanley & Co.

    12/20/17      1,562    0.80 %   

Dow Jones CDX IG9 10Y Index

      97,367        33,585        63,782   

JPMorgan Chase Bank

    12/20/11      943    1.65 %   

Dow Jones CDX XO7 Index

      145,831        (7,145 )      152,976   

Morgan Stanley & Co.

    09/20/13      500    1.22 %   

Electronic Data Systems, 6.00%, due 08/01/13

      (16,886 )      —          (16,886 ) 

Deutsche Bank

    03/20/14      400    1.25 %   

Embarq Corp., 7.08%, due 06/01/16

      (7,619 )      —          (7,619 ) 

Deutsche Bank

    03/20/14      200    1.27 %   

Embarq Corp., 7.08%, due 06/01/16

      (3,991 )      —          (3,991 ) 

Deutsche Bank

    03/20/14      100    1.43 %   

Embarq Corp., 7.08%, due 06/01/16

      (2,708 )      —          (2,708 ) 

Bank of America Securities LLC

    06/20/17      1,000    1.73 %   

Marriott International, 6.375%, due 06/15/17

      13,027        —          13,027   

Goldman Sachs

    03/20/18      1,000    1.02 %   

Nabors Industries, Inc., 6.15%, due 02/15/18

      58,931        —          58,931   

Morgan Stanley & Co.

    06/20/16      300    0.39 %   

Omnicom 5.90%, due 04/15/16

      10,997        —          10,997   

Deutsche Bank

    06/20/18      1,000    0.84 %   

Spectra Energy Capital, 6.20%, due 04/15/18

      1,443        —          1,443   

Citigroup, Inc.

    02/09/46      600    2.20 %   

Vertical CDO, Ltd., 7.01%, due 02/09/46

      562,726        —          562,726   

Goldman Sachs

    12/20/12      500    0.24 %   

Wal-Mart Stores, Inc., 5.75%, due 12/19/30

      8,508        —          8,508   

Barclays Bank PLC

    03/20/12      100    0.21 %   

XL Capital, Ltd., 6.50%, due 01/15/12

      16,518        —          16,518   
                                   
              $ 2,671,855      $ (78,351 )    $ 2,750,206   
                                   

 

The Fund entered into credit default swap agreements on corporate issues, sovereign issues, asset-backed securities and credit indices as the protection seller to provide a measure of protection against the current portfolio of investments’ exposure to market conditions, or to take an active position with respect to the likelihood of a particular issuer’s default or the referenced entity’s credit soundness.

 

(1) If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) The fair value of credit default swap agreements on asset-backed securities and credit indices serves 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 be closed/sold as of the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
(4) Notional amount represents the maximum potential amount the Fund could be required to pay 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 that particular swap agreement.
# Notional Amount is shown in U.S. dollars unless otherwise stated.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.

Level 1 - 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 (including the Fund’s own assumptions in determining the fair value of investments)

The following is a summary of the inputs used as of April 30, 2009 in valuing the Fund’s assets carried at fair value:

 

Valuation inputs

    Investments in
Securities		     Other Financial
Instruments*

Level 1 - Quoted Prices

    $ 49,547,410      $ 494,515

Level 2 - Other Significant Observable Inputs

      85,844,308        53,929

Level 2 - Other Significant Observable Inputs - Short

      (43,031 )      —  

Level 3 - Significant Unobservable Inputs

      —          568,497
              

Total

    $ 135,348,687      $ 1,116,941
              

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Other Financial
Instruments*		  

Balance as of 7/31/08

    $ 590,925   

Accrued discounts/premiums

      (44 ) 

Realized gain (loss)

      —     

Change in unrealized appreciation (depreciation)

      (22,384 ) 

Net purchases (sales)

      —     

Transfers in and/or out of Level 3

      —     
        

Balance as of 4/30/09

    $ 568,497   
        

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The following is a summary of the fair value of the derivative instruments utilized by the Fund as of April 30, 2009 categorized by risk exposure:

 

     Derivative Fair Value
at 4/30/09		  

Credit contracts

    $ 925,738   

Equity contracts

      (6,800 ) 

Foreign exchange contracts

      (41,573 ) 

Interest rate contracts

      1,007,617   
        

Total

    $ 1,884,982   
        

 

Target Growth Allocation Fund

SCHEDULE OF INVESTMENTS

as of April 30, 2009 (Unaudited)

 

Shares

   

Description

    Value

LONG-TERM INVESTMENTS 94.7%

   

COMMON STOCKS 94.5%

   

Aerospace & Defense — 3.3%

   
   2,000   

AAR Corp.*

    $ 30,140
   550   

Alliant Techsystems, Inc.*

      43,808
   1,500   

Boeing Co. (The)

      60,075
   16,450   

Embraer-Empresa Brasileira de Aeronautica SA, ADR (Brazil)

      266,819
   27,211   

General Dynamics Corp.

      1,405,992
   1,620   

Honeywell International, Inc.

      50,560
   22,444   

Lockheed Martin Corp.

      1,762,527
   1,525   

Moog, Inc. (Class A Stock)*

      40,840
   2,600   

MTU Aero Engines Holding AG (Germany)*

      87,549
   20,600   

Northrop Grumman Corp.

      996,010
   10,000   

Safran SA (France)

      119,352
   1,100   

Teledyne Technologies, Inc.*

      35,123
   1,800   

Thales SA (France)

      74,673
   8,848   

United Technologies Corp.

      432,136
            
           5,405,604

Air Freight & Couriers — 0.1%

   
   3,600   

FedEx Corp.

      201,456
            

Airlines — 0.2%

   
   119,300   

Air New Zealand Ltd. (New Zealand)

      70,862
   4,900   

Deutsche Lufthansa AG (Germany)

      62,508
   58,300   

Qantas Airways Ltd. (Australia)

      83,892
   14,767   

Singapore Airlines Ltd. (Singapore)

      106,725
            
           323,987

Apparel — 0.1%

   
   5,957   

True Religion Apparel, Inc.*

      93,882
            

Apparel & Textile

   
   3,100   

Hanesbrands, Inc.*

      51,026
            

Auto Components — 0.2%

   
   14,300   

Johnson Controls, Inc.

      271,843
            

Auto Parts & Equipment — 0.1%

   
   8,600   

Keihin Corp. (Japan)

      108,045
   7,300   

Nifco, Inc. (Japan)

      96,376
            
           204,421

Automobile Manufacturers — 0.5%

   
   2,800   

Daimler AG (Germany)

      100,380
   19,000   

Fuji Heavy Industries Ltd. (Japan)

      75,908
   2,100   

Honda Motor Co. Ltd. (Japan)

      60,581
   14,100   

Nissan Motor Co. Ltd. (Japan)

      72,916
   12,500   

Toyota Motor Corp. (Japan)

      487,984
            
           797,769

Automobiles — 0.2%

   16,000    Harley-Davidson, Inc.    354,560
          

Automotive Parts — 0.2%

   325    Autoliv, Inc. (Sweden)    8,018
   1,200    Compagnie Generale des Establissements Michelin (Class B Stock) (France)    61,426
   200    Georg Fischer AG (Switzerland)*    33,564
   26,000    GKN PLC (United Kingdom)*    45,617
   10,300    JTEKT Corp. (Japan)    98,593
   17,500    Yokohama Rubber Co. Ltd. (The) (Japan)    75,771
          
         322,989

Banks — 0.5%

   5,474    Northern Trust Corp.    297,567
   30,841    Standard Chartered PLC (United Kingdom)    477,089
   1,500    United Bankshares, Inc.    38,910
          
         813,566

Beverages — 0.7%

   10,900    Greene King PLC (United Kingdom)    100,048
   6,000    Molson Coors Brewing Co. (Class B Stock)    229,500
   11,421    PepsiCo, Inc.    568,309
   11,928    SABMiller PLC (United Kingdom)    200,009
          
         1,097,866

Biotechnology — 1.4%

   7,286    Amgen, Inc.*    353,152
   250    Bio-Rad Laboratories, Inc. (Class A Stock)*    17,423
   6,060    Celgene Corp.*    258,883
   8,534    Genzyme Corp.*    455,118
   26,965    Gilead Sciences, Inc.*    1,234,997
   1,610    Life Technologies Corp.*    60,053
          
         2,379,626

Broadcasting — 0.1%

   24,693    British Sky Broadcasting Group PLC (United Kingdom)    175,790
          

Building Materials — 0.1%

   35,000    Sanwa Holdings Corp. (Japan)    96,532
          

Business Services — 1.5%

   2,735    FTI Consulting, Inc.*    150,097
   5,799    ICON PLC, ADR (Ireland)*    91,856
   11,217    MasterCard, Inc. (Class A Stock)    2,057,759
   2,125    URS Corp.*    93,627
          
         2,393,339

Cable Television — 0.4%

   13,290    DIRECTV Group, Inc. (The)*    328,662
   14,400    Rogers Communications, Inc. (Class B Stock) (Canada)    353,815
          
         682,477

Capital Markets

   2,275    Waddell & Reed Financial, Inc. (Class A Stock)    50,983
          

Chemicals — 3.9%

   8,433    Air Products & Chemicals, Inc.    555,735
   1,350    Airgas, Inc.    58,212
   120    Arkema SA (France)    2,768
   26,000    Asahi Kasei Corp. (Japan)    104,401
   400    Ashland, Inc.    8,784
   4,300    BASF SE (Germany)    162,272
   1,345    CF Industries Holdings, Inc.    96,907
   10,600    Clariant AG (Switzerland)*    59,804
   35,700    Denki Kagaku Kogyo Kabushiki Kaisha (Japan)    78,915
   6,100    Eastman Chemical Co.    242,048
   4,520    Ecolab, Inc.    174,246
   240    Givaudan SA (Switzerland)    151,948
   20,775    Huntsman Corp.    111,354
   4,600    Koninklijke DSM NV (Netherlands)    142,656
   5,415    Macrovision Solutions Corp.*    109,491
   18,318    Monsanto Co.    1,555,015
   16,000    Nippon Shokubai Co. Ltd. (Japan)    97,992
   9,591    Potash Corp. of Saskatchewan, Inc. (Canada)    829,526
   9,400    PPG Industries, Inc.    414,070
   18,300    Praxair, Inc.    1,365,363
   3,835    Terra Industries, Inc.    101,627
   1,500    Valspar Corp. (The)    36,000
          
         6,459,134

Clothing & Apparel — 0.9%

   1,500    Coach, Inc.    36,750
   27,132    NIKE, Inc. (Class B Stock)    1,423,616
          
         1,460,366

Commercial Banks — 1.3%

   6,600    Allied Irish Banks PLC (Ireland)*    8,070
   14,600    Bank of Ireland (Ireland)    14,553
   13,392    Bank of New York Mellon Corp. (The)    341,228
   3,900    Comerica, Inc.    81,822
   1,200    Cullen / Frost Bankers, Inc.    56,508
   1,595    First Horizon National Corp.    18,362
   28,000    KeyCorp    172,200
   32,146    PNC Financial Services Group, Inc.    1,276,196
   2,200    Prosperity Bancshares, Inc.    61,094
   34,747    Royal Bank of Scotland Group PLC (United Kingdom)*    21,206
   1,420    S&T Bancorp, Inc.    25,376
   1,100    Societe Generale (France)    56,220
   1,999    Trustmark Corp.    43,458
   500    Verwaltungs und Privat Bank AG (Liechtenstein)    39,185
          
         2,215,478

Commercial Services — 0.4%

   7,110    Accenture Ltd. (Class A Stock) (Bermuda)    209,247
   6,130    GEO Group, Inc. (The)*    101,942
   1,763    Healthcare Services Group, Inc.    31,514
   2,870    Moody’s Corp.    84,722
   6,010    Waste Connections, Inc.*    154,938
          
         582,363

Commercial Services & Supplies — 0.6%

   1,535    Coinstar, Inc.*    54,631
   1,550    Hillenbrand, Inc.    28,179
   4,515    Monster Worldwide, Inc.*    62,307
   29,595    Waste Management, Inc.    789,298
          
         934,415

Communication Equipment — 0.2%

   48,700    Alcatel-Lucent, ADR (France)*    121,750
   7,330    Juniper Networks, Inc.*    158,695
          
         280,445

Computer Hardware — 2.8%

   23,177    Apple, Inc.*    2,916,362
   43,374    Hewlett-Packard Co.    1,560,596
   12,571    Logitech International SA (Switzerland)*    168,002
          
         4,644,960

Computer Services & Software — 0.9%

   4,520    Autodesk, Inc.*    90,129
   9,456    Compellent Technologies, Inc.*    105,529
   3,130    Dun & Bradstreet Corp. (The)    254,782
   2,060    Factset Research Systems, Inc.    110,395
   1,900    Global Payments, Inc.    60,914
   4,700    Hitachi Information Systems Ltd. (Japan)    83,115
   3,035    Informatica Corp.*    48,257
   1,630    MICROS Systems, Inc.*    34,197
   9,585    Netezza Corp.*    77,543
   8,400    Nuance Communications, Inc.*    112,140
   11,471    SAP AG (Germany)    441,017
   4,050    SRA International, Inc. (Class A Stock)*    62,330
   4,400    TietoEnator Oyj (Finland)    56,526
          
         1,536,874

Computers — 0.1%

   1,250    Research In Motion Ltd. (Canada)*    86,875
          

Computers & Peripherals — 1.4%

   21,668    International Business Machines Corp.    2,236,354
   3,330    NetApp, Inc.*    60,939
          
         2,297,293

Conglomerates — 0.3%

   5,600    Mitsubishi Corp. (Japan)    85,743
   21,675    Tyco Electronics Ltd. (Bermuda)    378,012
          
         463,755

Construction — 0.2%

   700    Ciments Francais SA (France)    63,402
   1,300    Foster Wheeler AG*    27,989
   1,100    Granite Construction, Inc.    43,395
   1,800    Holcim Ltd. (Switzerland)    91,300
   1,200    Meritage Homes Corp.*    24,972
   4,400    Pulte Homes, Inc.    50,644
          
         301,702

Consumer Finance — 0.1%

   1,700    American Express Co.    42,874
   2,925    First Cash Financial Services, Inc.*    48,087
          
         90,961

Consumer Products & Services — 0.8%

   1,720    Avon Products, Inc.    39,147
   2,186    Clorox Co.    122,525
   3,110    Colgate-Palmolive Co.    183,490
   59,700    Pacific Brands Ltd. (Australia)    30,371
   6,732    Procter & Gamble Co. (The)    332,830
   11,162    Reckitt Benckiser Group PLC (United Kingdom)    438,167
   3,215    Ritchie Bros. Auctioneers, Inc. (Canada)    72,016
   2,725    Scotts Miracle-Gro Co. (The) (Class A Stock)    92,023
   1,200    Snap-on, Inc.    40,704
   1,400    Toro Co. (The)    42,532
          
         1,393,805

Consumer Services — 0.2%

   4,790    Apollo Group, Inc. (Class A Stock)*    301,531
          

Containers & Packaging — 0.1%

   34,700    Amcor Ltd. (Australia)    120,795
   2,747    Pactiv Corp.*    60,049
   475    Silgan Holdings, Inc.    22,083
          
         202,927

Distribution/Wholesale — 0.1%

   26,800    Marubeni Corp. (Japan)    96,743
   11,000    Sumitomo Corp. (Japan)    95,143
   800    Watsco, Inc.    34,360
          
         226,246

Diversified Financial Services — 2.6%

   1,800    Affiliated Managers Group, Inc.*    102,330
   28,707    Bank of America Corp.    256,353
   19,200    BM&FBOVESPA SA (Brazil)    78,942
   112,962    JPMorgan Chase & Co.    3,727,746
   14,330    Redecard SA (Brazil)    180,357
          
         4,345,728

Diversified Manufacturing — 0.1%

   19,800    IMI PLC (United Kingdom)    103,808
   41,900    Tomkins PLC (United Kingdom)    106,969
          
         210,777

 

Diversified Operations — 0.3%

   5,954    LVMH Moet Hennessy Louis Vuitton SA (France)    449,520
   5,000    Mitsui & Co. Ltd. (Japan)    52,626
          
         502,146

Diversified Telecommunication Services — 1.7%

   54,443    AT&T, Inc.    1,394,830
   46,384    Verizon Communications, Inc.    1,407,290
          
         2,802,120

Electric — 0.3%

   8,070    AES Corp. (The)*    57,055
   15,567    E.ON AG (Germany)    526,429
          
         583,484

Electric Utilities — 1.4%

   1,400    Allegheny Energy, Inc.    36,288
   37,002    Edison International    1,054,927
   32,200    Enel SpA (Italy)    174,540
   10,200    Exelon Corp.    470,526
   8,722    Fortum Oyj (Finland)    175,924
   6,000    FPL Group, Inc.    322,740
          
         2,234,945

Electrical Equipment — 0.3%

   12,705    Emerson Electric Co.    432,478
   1,125    Smith (A.O.) Corp.    34,977
          
         467,455

Electronic Components — 0.6%

   2,100    Checkpoint Systems, Inc.*    25,515
   3,780    DTS, Inc.*    100,737
   12,800    Flextronics International Ltd. (Singapore)*    49,664
   3,700    FLIR Systems, Inc.*    82,066
   12,000    Panasonic Corp. (Japan)    174,001
   922    Samsung Electronics Co. Ltd., GDR, 144A (South Korea)*    212,714
   13,475    TT Electronics PLC (United Kingdom)    5,643
   5,641    Universal Electronics, Inc.*    105,712
   4,787    Vestas Wind Systems A/S (Denmark)*    310,731
          
         1,066,783

Electronic Components & Equipment — 0.3%

   4,685    Coherent, Inc.*    89,015
   3,404    Fanuc Ltd. (Japan)    244,030
   9,500    Spectris PLC (United Kingdom)    82,437
   8,800    Sumitomo Electric Industries Ltd. (Japan)    85,127
          
         500,609

Electronic Equipment & Instruments — 0.1%

   12,100    Alps Electric Co. Ltd. (Japan)    64,414
   1,060    Itron, Inc.*    48,760
          
         113,174

Energy Equipment & Services — 0.8%

   10,964    Diamond Offshore Drilling, Inc.    793,903
   28,300    Halliburton Co.    572,226
          
         1,366,129

Engineering/Construction — 0.1%

   36,100    Downer EDI Ltd. (Australia)    131,965
          

Entertainment & Leisure — 1.1%

   14,700    Aristocrat Leisure Ltd. (Australia)    38,460
   5,445    Bally Technologies, Inc.*    142,550
   12,015    Carnival PLC (United Kingdom)    330,166
   2,500    DreamWorks Animation SKG, Inc. (Class A Stock)*    60,025
   9,628    Hennes & Mauritz AB (Class B Stock) (Sweden)    428,637
   1,900    Life Time Fitness, Inc.*    35,644
   1,196    Nintendo Co. Ltd. (Japan)    319,071
   4,500    OPAP SA (Greece)    138,826
   1,590    Penn National Gaming, Inc.*    54,092
   11,890    Shuffle Master, Inc.*    45,301
   9,600    Tabcorp Holdings Ltd. (Australia)    51,977
   24,000    Thomas Cook Group PLC (United Kingdom)    92,645
   1,835    WMS Industries, Inc.*    58,922
          
         1,796,316

Environmental Services — 0.1%

   27,000    Centennial Coal Co. Ltd. (Australia)    35,713
   9,225    Republic Services, Inc.    193,725
          
         229,438

Equipment Services — 0.1%

   5,200    Kyoei Steel Ltd. (Japan)    103,979
          

Exchange Traded Fund — 0.1%

   2,900    iShares Russell 2000 Value Index Fund    132,008
          

Farming & Agriculture — 0.1%

   25,100    AWB Ltd. (Australia)    24,352
   116,366    Chaoda Modern Agriculture Holdings Ltd. (Hong Kong)    66,666
          
         91,018

Financial - Bank & Trust — 4.2%

   4,150    Astoria Financial Corp.    34,279
   9,500    Australia & New Zealand Banking Group Ltd. (Australia)    109,775
   13,413    Banco Bilbao Vizcaya Argentaria SA (Spain)    145,363
   26,766    Banco Santander SA (Spain)    257,461
   51,400    Barclays PLC (United Kingdom)    208,689
   9,000    BNP Paribas (France)    473,795
   23,500    Bradford & Bingley PLC (United Kingdom)*    —  
   8,910    Charles Schwab Corp. (The)    164,657
   124,803    China Merchants Bank Co. Ltd. (Class H Stock) (China)    225,771
   5,800    Credit Agricole SA (France)    84,805
   5,000    Credit Suisse Group AG (Switzerland)    195,383
   3,200    Danske Bank A/S (Denmark)*    35,098
   800    Danvers Bancorp, Inc.    11,608
   6,200    Deutsche Bank AG (Germany)    330,629
   3,400    Dexia NV/SA (Belgium)*    16,490
   2,600    East West Bancorp, Inc.    17,758
   18,554    Goldman Sachs Group, Inc. (The)    2,384,189

   710    IntercontinentalExchange, Inc.*    62,196
   7,193    Julius Baer Holding AG (Switzerland)    235,964
   33,752    Lloyds TSB Group PLC (United Kingdom)    54,746
   19,200    Mizuho Financial Group, Inc. (Japan)    40,105
   10,200    National Australia Bank Ltd. (Australia)    152,927
   13,368    National Bank of Greece SA (Greece)    278,000
   5,000    Natixis SA (France)    11,321
   5,900    Nordea Bank AB (Sweden)    43,886
   1,900    Pacific Capital Bancorp    13,186
   1,700    Sumitomo Mitsui Financial Group, Inc. (Japan)    58,609
   14,000    Sumitomo Trust & Banking Co. Ltd. (The) (Japan)    58,061
   8,400    Svenska Handelsbanken AB (Class A Stock) (Sweden)    146,332
   3,100    Unione di Banche Italiane ScpA (Italy)    42,744
   55,777    Wells Fargo & Co.    1,116,098
          
         7,009,925

Financial Services — 3.1%

   260    BlackRock, Inc.    38,095
   15,133    Capital One Financial Corp.    253,326
   600    CME Group, Inc.    132,810
   13,100    DnB NOR ASA (Norway)*    81,538
   2,300    Eaton Vance Corp.    62,951
   4,770    First Commonwealth Financial Corp.    41,356
   2,558    Franklin Resources, Inc.    154,708
   6,500    Hitachi Capital Corp. (Japan)    71,512
   32,510    Hong Kong Exchanges and Clearing Ltd. (Hong Kong)    379,211
   396,000    Industrial & Commercial Bank of China Ltd. (Class H Stock) (China)    227,890
   3,780    Investment Technology Group, Inc.*    86,108
   10,900    Irish Life & Permanent PLC (Ireland)    27,545
   2,800    Jefferies Group, Inc.*    54,796
   1,800    Muenchener Rueckversicherungs AG (Germany)    248,707
   78,000    Noble Group Ltd. (Hong Kong)    68,490
   2,950    Raymond James Financial, Inc.    46,286
   600    Student Loan Corp. (The)    28,896
   47,575    U.S. Bancorp    866,816
   29,095    Visa, Inc. (Class A Stock)    1,890,011
   17,460    Western Union Co. (The)    292,455
          
         5,053,507

Food — 1.2%

   11,800    Dairy Crest Group PLC (United Kingdom)    54,008
   2,400    Danisco AS (Denmark)    78,600
   289,120    Golden Agri-Resources Ltd. (Singapore)    72,256
   21,859    Kroger Co. (The)    472,592
   29,700    Marston’s PLC (United Kingdom)    74,748
   29,628    Nestle SA (Switzerland)    965,776
   46,600    Northern Foods PLC (United Kingdom)    42,436
   650    Ralcorp Holdings, Inc.*    37,154
   2,300    Suedzucker AG (Germany)    44,516
   17,300    Tate & Lyle PLC (United Kingdom)    70,119
   450    TreeHouse Foods, Inc.*    11,965
          
         1,924,170

Food & Beverage — 0.1%

   2,770    Coca-Cola Co. (The)    119,249
          

Food & Drug Retailers — 0.5%

   44,500    Safeway, Inc.    878,875
          

Food & Staples Retailing — 1.6%

   17,440    Costco Wholesale Corp.    847,584
   35,246    Wal-Mart Stores, Inc.    1,776,398
          
         2,623,982

Food Products — 0.2%

   1,920    General Mills, Inc.    97,325
   5,100    Groupe Danone (France)    242,590
          
         339,915

Furniture

   6,300    Electrolux AB (Class B Stock) (Sweden)*    70,987
          

Gas Utilities

   1,975    EQT Corp.    66,419
          

Healthcare Equipment & Services — 0.3%

   16,010    Medtronic, Inc.    512,320
          

Healthcare Equipment & Supplies — 0.3%

   5,770    Baxter International, Inc.    279,845
   7,065    Cutera, Inc.*    44,368
   725    Teleflex, Inc.    31,161
   7,180    Thoratec Corp.*    208,651
          
         564,025

Healthcare Products

   1,050    West Pharmaceutical Services, Inc.    34,283
          

Healthcare Providers & Services — 0.7%

   2,675    Amedisys, Inc.*    89,720
   15,300    Cardinal Health, Inc.    516,987
   3,620    Express Scripts, Inc.*    231,571
   3,880    Lincare Holdings, Inc.*    93,624
   6,246    UnitedHealth Group, Inc.    146,906
   2,000    WellPoint, Inc.*    85,520
          
         1,164,328

Healthcare Services — 0.5%

   4,476    Aetna, Inc.    98,517
   1,900    AMERIGROUP Corp.*    56,753
   4,500    Astellas Pharma, Inc. (Japan)    146,471
   3,643    Biogen Idec, Inc.*    176,103
   4,705    Centene Corp.*    86,431
   1,100    Covance, Inc.*    43,208
   2,650    DENTSPLY International, Inc.    75,843
   1,655    Genoptix, Inc.*    48,127
   2,300    Healthways, Inc.*    23,989
   2,080    MEDNAX, Inc.*    74,672
   2,800    Patterson Cos., Inc.*    57,288
          
         887,402

Hotels, Restaurants & Leisure — 2.9%

   4,480    Carnival Corp.    120,422
   46,419    McDonald’s Corp.    2,473,668
   4,600    Starwood Hotels & Resorts Worldwide, Inc.    95,956
   15,824    Wynn Resorts Ltd.*    620,776
   41,834    Yum! Brands, Inc.    1,395,164
          
         4,705,986

Household Durables — 0.2%

   7,400    Alpine Electronics, Inc. (Japan)    59,653
   1,840    Black & Decker Corp.    74,152
   6,500    Fortune Brands, Inc.    255,515
          
         389,320

Household Products — 0.3%

   10,000    Kimberly-Clark Corp.    491,400
          

Independent Power Producers & Energy Traders — 0.1%

   13,700    Drax Group PLC (United Kingdom)    103,892
          

Industrial Conglomerates — 0.2%

   25,352    CITIC Pacific Ltd. (Hong Kong)    37,357
   16,000    General Electric Co.    202,400
   1,100    Walter Energy, Inc.    25,080
          
         264,837

Industrial Products — 0.1%

   1,700    Harsco Corp.    46,835
   21,200    Kurabo Industries Ltd. (Japan)    41,274
   800    Precision Castparts Corp.    59,888
          
         147,997

Insurance — 3.4%

   900    Gallagher, ( Arthur J.) & Co.    20,232
   6,391    ACE Ltd. (Switzerland)    296,031
   11,800    Aegon NV (Netherlands)    59,349
   32,600    Allstate Corp. (The)    760,558
   1,375    Aspen Insurance Holdings Ltd. (Bermuda)    32,423
   10,500    Aviva PLC (United Kingdom)    48,342
   2,100    Baloise Holding AG (Switzerland)    154,164
   25,300    Brit Insurance Holdings PLC (United Kingdom)    68,724
   124,200    China Life Insurance Co. Ltd. (Class H Stock) (China)    438,303
   1,227    Chubb Corp.    47,792
   1,975    Delphi Financial Group, Inc. (Class A Stock)    34,108
   15,400    Genworth Financial, Inc. (Class A Stock)    36,344
   2,587    HCC Insurance Holdings, Inc.    61,881
   10,500    ING Groep NV, ADR (Netherlands)    95,710
   1,550    IPC Holdings Ltd. (Bermuda)    40,362
   56,600    Legal & General Group PLC (United Kingdom)    48,086
   45,732    MetLife, Inc.    1,360,527
   49,800    Old Mutual PLC (United Kingdom)    49,616
   2,900    Protective Life Corp.    24,853
   1,600    Reinsurance Group of America, Inc.    50,864
   1,600    State Auto Financial Corp.    25,968
   4,100    Swiss Reinsurance Co. (Switzerland)    97,322

   30,487    Travelers Cos., Inc. (The)    1,254,235
   1,500    United Fire & Casualty Co.    28,005
   7,900    Unum Group    129,086
   21,100    XL Capital Ltd. (Class A Stock) (Bermuda)    200,661
   1,200    Zurich Financial Services AG (Switzerland)    222,997
          
         5,686,543

Internet Services — 1.6%

   
   1,300    Digital River, Inc.*    49,946
   5,217    Google, Inc. (Class A Stock)*    2,065,775
   15,400    Intel Corp.    243,012
   1,590    NetFlix, Inc.*    72,043
   890    Priceline.com, Inc.*    86,410
   19,355    TIBCO Software, Inc.*    122,324
          
         2,639,510

Internet Software & Services — 0.8%

   
   5,530    Akamai Technologies, Inc.*    121,771
   2,960    Amazon.com, Inc.*    238,339
   730    Baidu.com, Inc., ADR (China)*    170,017
   13,600    eBay, Inc.*    223,992
   25,476    Oracle Corp.    492,706
   7,320    VeriSign, Inc.*    150,645
          
         1,397,470

Investment Firms

   
   3,200    Morgan Stanley    75,648
          

IT Services — 0.1%

   
   700    CACI International, Inc. (Class A Stock)*    27,685
   66,400    Logica PLC (United Kingdom)    74,906
          
         102,591

Life Science Tools & Services — 0.1%

   
   6,364    Thermo Fisher Scientific, Inc.*    223,249
          

Machinery — 0.9%

   
   1,450    Actuant Corp. (Class A Stock)    17,777
   4,000    Bucyrus International, Inc.    86,840
   15,600    Caterpillar, Inc.    555,048
   6,200    Cummins, Inc.    210,800
   1,325    General Cable Corp.*    35,961
   3,500    Heidelberger Druckmaschinen AG (Germany)    25,322
   950    Kaydon Corp.    30,362
   1,050    Lincoln Electric Holdings, Inc.    46,756
   425    Nordson Corp.    15,419
   9,500    PACCAR, Inc.    336,680
   300    Rieter Holding AG (Switzerland)    44,393
   1,080    Robbins & Myers, Inc.    20,466
   750    Rofin-Sinar Technologies, Inc.*    15,983
          
         1,441,807

Machinery & Equipment — 0.5%

   
   7,765    BHP Billiton Ltd., ADR (Australia)    373,807
   6,250    Deere & Co.    257,875
   9,645    Hexcel Corp.*    92,496
   7,000    Kyowa Exeo Corp. (Japan)    54,583
   750    Lindsay Corp.    29,182
          
         807,943

Machinery - Construction & Mining — 0.1%

   
   11,749    Komatsu Ltd. (Japan)    145,224
          

Manufacturing — 0.2%

   
   5,760    Danaher Corp.    336,614
          

Media — 0.8%

   
   40,000    CBS Corp. (Class B Stock)    281,600
   26,023    Comcast Corp. (Class A Stock)    402,316
   1,900    Lagardere SCA (France)    59,647
   4,191    Time Warner Cable, Inc.    135,076
   16,700    Time Warner, Inc.    364,561
   725    Wiley, (John) & Sons, Inc. (Class A Stock)    24,577
          
         1,267,777

Medical Supplies & Equipment — 0.8%

   
   1,190    Becton, Dickinson and Co.    71,971
   22,900    Boston Scientific Corp.*    192,589
   8,646    Covidien Ltd.    285,145
   4,300    Fresenius Medical Care AG & Co KGaA (Germany)    166,867
   1,950    Quality Systems, Inc.    104,559
   46,200    Smith & Nephew PLC (United Kingdom)    325,047
   5,240    St. Jude Medical, Inc.*    175,645
   2,665    Vital Images, Inc.*    26,996
          
         1,348,819

Metals & Mining — 1.2%

   
   18,300    Alcoa, Inc.    165,981
   15,300    BHP Billiton PLC, ADR (United Kingdom)    640,152
   23,600    BlueScope Steel Ltd. (Australia)    40,134
   1,700    Cliffs Natural Resources, Inc.    39,202
   2,975    Northwest Pipe Co.*    112,842
   12,736    Nucor Corp.    518,228
   37,997    OZ Minerals Ltd. (Australia)    20,711
   3,300    Rautaruukki Oyj (Finland)    61,402
   2,025    Steel Dynamics, Inc.    25,211
   7,200    ThyssenKrupp AG (Germany)    154,035
   2,200    Timken Co.    35,376
   4,150    United States Steel Corp.    110,182
          
         1,923,456

Miscellaneous Manufacturers — 0.5%

   
   9,210    3M Co.    530,496
   13,375    Tyco International Ltd.    317,790
          
         848,286

Miscellaneous Manufacturing

   
   9,900    AGFA-Gevaert NV (Belgium)*    22,135
          

Multi-Line Insurance — 0.1%

   
   13,700    AXA SA (France)    230,183
          

 

Multi-Line Retail — 0.2%

   
   11,000    JC Penney Co., Inc.    337,590
          

Multi-Utilities — 0.5%

   
   7,000    Dominion Resources, Inc.    211,120
   14,053    Public Service Enterprise Group, Inc.    419,342
   3,600    Wisconsin Energy Corp.    143,856
          
         774,318

Multimedia

   
   1,700    McGraw-Hill Cos., Inc. (The)    51,255
          

Networking/Telecom Equipment — 0.1%

   
   14,780    Corning, Inc.    216,084
          

Office Electronics — 0.3%

   
   77,900    Xerox Corp.    475,969
          

Office Equipment — 0.1%

   
   8,600    Oce NV (Netherlands)*    54,429
   6,000    Ricoh Co. Ltd. (Japan)    73,190
          
         127,619

Oil & Gas — 0.8%

   
   21,300    Centrica PLC (United Kingdom)    71,214
   6,472    Hess Corp.    354,601
   1,170    Oceaneering International, Inc.*    53,317
   5,300    StatoilHydro ASA (Norway)    98,779
   11,541    Total SA, ADR (France)    573,818
   10,460    Weatherford International Ltd.*    173,950
          
         1,325,679

Oil, Gas & Consumable Fuels — 8.2%

   
   1,408    Air Liquide SA (France)    114,567
   10,086    Anadarko Petroleum Corp.    434,303
   12,082    Apache Corp.    880,295
   1,350    Arena Resources, Inc.*    38,705
   58,800    BP PLC (United Kingdom)    415,520
   2,600    Cabot Oil & Gas Corp.    78,494
   4,940    Canadian Natural Resources Ltd. (Canada)    227,729
   21,937    Chevron Corp.    1,450,036
   1,475    Concho Resources, Inc.*    40,444
   22,502    ConocoPhillips    922,582
   1,465    Core Laboratories NV (Netherlands)    121,932
   16,200    Cosmo Oil Co. Ltd. (Japan)    46,159
   2,082    Devon Energy Corp.    107,952
   11,500    ENI SpA (Italy)    246,780
   8,223    Exxon Mobil Corp.    548,227
   1,959    Headwaters, Inc.*    4,937
   2,465    Lufkin Industries, Inc.    86,028
   24,500    Marathon Oil Corp.    727,650
   5,180    Nexen, Inc. (Canada)    98,938
   29,500    Nippon Oil Corp. (Japan)    153,453
   2,060    Noble Energy, Inc.    116,905
   10,000    Norsk Hydro ASA (Norway)*    44,093
   11,344    Occidental Petroleum Corp.    638,554
   1,300    ONEOK, Inc.    34,021

   3,225    Patterson-UTI Energy, Inc.    40,990
   29,238    Petroleo Brasileiro SA, ADR (Brazil)    981,520
   8,600    Repsol YPF SA (Spain)    163,466
   19,300    Royal Dutch Shell PLC (Class B Stock) (Netherlands)    436,770
   13,800    Royal Dutch Shell PLC (Class B Stock), ADR (Netherlands)    627,900
   4,173    Schlumberger Ltd. (Netherlands)    204,435
   6,520    Southwestern Energy Co.*    233,807
   1,900    St. Mary Land & Exploration Co.    33,953
   2,000    Swift Energy Co.*    21,640
   2,000    Total SA (France)    100,072
   27,092    Transocean Ltd. (Switzerland)*    1,828,168
   2,400    Ultra Petroleum Corp.*    102,720
   21,700    Valero Energy Corp.    430,528
   1,500    WGL Holdings, Inc.    46,710
   18,584    XTO Energy, Inc.    644,121
          
         13,475,104

Other Commercial/Industrial Services — 0.1%

   
   1,160    WW Grainger, Inc.    97,301
          

Paper & Forest Products

   
   42,200    DS Smith PLC (United Kingdom)    48,149
          

Pharmaceuticals — 5.6%

   
   25,621    Abbott Laboratories    1,072,239
   2,860    Allergan, Inc.    133,448
   10,870    American Medical Systems Holdings, Inc.*    134,462
   8,100    AstraZeneca PLC (United Kingdom)    283,625
   3,505    BioMarin Pharmaceutical, Inc.*    45,074
   26,934    Bristol-Myers Squibb Co.    517,133
   1,640    Cephalon, Inc.*    107,600
   2,475    Cubist Pharmaceuticals, Inc.*    41,085
   26,100    Eli Lilly & Co.    859,212
   10,200    GlaxoSmithKline PLC (United Kingdom)    157,113
   6,400    H. Lundbeck A/S (Denmark)    115,791
   2,605    Herbalife Ltd.    51,631
   19,378    Johnson & Johnson    1,014,632
   6,130    Medco Health Solutions, Inc.*    266,962
   12,527    Merck & Co., Inc.    303,654
   8,267    Novartis AG (Switzerland)    312,892
   8,600    Novo Nordisk A/S (Class B Stock) (Denmark)    409,195
   1,730    Onyx Pharmaceuticals, Inc.*    44,807
   1,815    Perrigo Co.    47,045
   88,969    Pfizer, Inc.    1,188,626
   2,800    Pharmaceutical Product Development, Inc.    54,908
   2,773    Roche Holding AG (Switzerland)    349,687
   5,600    Sanofi-Aventis SA (France)    324,308
   16,021    Schering-Plough Corp.    368,803
   3,900    Takeda Pharmaceutical Co. Ltd. (Japan)    138,410
   21,106    Teva Pharmaceutical Industries Ltd., ADR (Israel)    926,342
          
         9,268,684

Professional Services

   
   1,350    Watson Wyatt Worldwide, Inc. (Class A Stock)    71,618
          

Real Estate

   
   45,100    Beazley Group PLC (United Kingdom)    67,145
          

Real Estate Investment Trusts — 0.7%

   
  30,800    Annaly Capital Management, Inc.    433,356
  4,164    AvalonBay Communities, Inc.    236,557
  4,164    Boston Properties, Inc.    205,785
  7,600    MFA Mortgage Investments, Inc.    44,764
  3,787    Simon Property Group, Inc.    195,409
  401    Walter Investment Management Corp.*    3,208
         
        1,119,079

Restaurants — 0.1%

   
  6,305    BJ’s Restaurants, Inc.*    103,970
  1,750    Brinker International, Inc.    31,010
  2,971    Wendy’s/Arby’s Group, Inc. (Class A Stock)    14,855
         
        149,835

Retail — 0.1%

   
  2,400    Aoyama Trading Co. Ltd. (Japan)    34,435
  6,472    Genesco, Inc.*    147,432
         
        181,867

Retail & Merchandising — 3.8%

   
  1,275    Abercrombie & Fitch Co. (Class A Stock)    34,502
  8,937    Best Buy Co., Inc.    343,002
  7,579    Cash America International, Inc.    169,466
  4,000    Circle K Sunkus Co. Ltd. (Japan)    55,972
  86,093    CVS Caremark Corp.    2,736,036
  4,300    GameStop Corp. (Class A Stock)*    129,688
  2,370    Kohl’s Corp.*    107,479
  44,703    Lowe’s Cos., Inc.    961,114
  2,700    Rallye SA (France)    54,890
  1,000    School Specialty, Inc.*    18,770
  2,300    Sonic Corp.*    25,116
  29,348    Staples, Inc.    605,156
  7,400    Target Corp.    305,324
  6,246    TJX Cos., Inc.    174,701
  6,000    UNY Co. Ltd. (Japan)    43,622
  122,900    Wal-Mart de Mexico SAB de CV (Class V Stock) (Mexico)    333,822
  7,400    Walgreen Co.    232,582
         
        6,331,242

Retail - Auto Parts

   
  1,560    Copart, Inc.*    48,968
         

Road & Rail — 0.4%

   
  9,700    Burlington Northern Santa Fe Corp.    654,556
         

Semiconductor Components — 0.1%

   
  113,600    ARM Holdings PLC (United Kingdom)    199,521
         

Semiconductors — 0.4%

   
  2,400    ASML Holding NV (Netherlands)    50,760
  6,550    Marvell Technology Group Ltd. (Bermuda)*    71,919
  3,650    Microsemi Corp.*    48,983
  9,205    ON Semiconductor Corp.*    49,891
  3,305    OYO Geospace Corp.*    52,550
  15,006    Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)    158,613
  6,680    Varian Semiconductor Equipment Associates, Inc.*    170,941
         
        603,657

Semiconductors & Semiconductor Equipment — 0.2%

   
  3,721    Advanced Energy Industries, Inc.*    31,368
  2,060    Broadcom Corp. (Class A Stock)*    47,771
  13,300    Texas Instruments, Inc.    240,198
         
        319,337

Software — 2.1%

   
  15,000    Adobe Systems, Inc.*    410,250
  3,580    ANSYS, Inc.*    98,880
  6,800    BMC Software, Inc.*    235,756
  29,005    CA, Inc.    500,336
  5,760    Citrix Systems, Inc.*    164,333
  7,648    Eclipsys Corp.*    100,954
  3,930    McAfee, Inc.*    147,532
  2,844    MedAssets, Inc.*    49,031
  79,281    Microsoft Corp.    1,606,233
  11,850    Novell, Inc.*    44,556
  2,350    Sybase, Inc.*    79,806
  2,725    Tyler Technologies, Inc.*    44,962
         
        3,482,629

Specialty Retail — 0.8%

   
  2,955   

Aaron Rents, Inc.

    99,170
  3,600    AutoNation, Inc.*    63,756
  500    CarMax, Inc.*    6,380
  15,300    Gap, Inc. (The)    237,762
  27,110    Home Depot, Inc. (The)    713,535
  11,100    Limited Brands, Inc.    126,762
         
        1,247,365

Steel Producers/Products

   
  2,400    Voestalpine AG (Austria)    45,919
         

Telecommunication Services — 0.1%

   
  1,875    Nice Systems Ltd., ADR (Israel)*    48,019
  3,350    Syniverse Holdings, Inc.*    42,210
         
        90,229

Telecommunications — 4.4%

   
  10,750    Amdocs Ltd. (Guernsey)*    224,998
  9,320    America Movil SAB de CV (Class L Stock), ADR (Mexico)    306,162
  5,500    Arris Group, Inc.*    58,685
  88,200    BT Group PLC (United Kingdom)    121,550
  28,012    China Mobile Ltd. (Hong Kong)    243,251
  43,589    Cisco Systems, Inc.*    842,139
  6,020    EMS Technologies, Inc.*    114,681
  14,869    France Telecom SA (France)    330,092
  30    KDDI Corp. (Japan)    134,455
  5,320    MetroPCS Communications, Inc.*    90,919
  95,490    MobileOne Ltd. (Singapore)    94,813
  4,000    Nippon Telegraph & Telephone Corp. (Japan)    149,260
  22,663    Nokia Oyj (Finland)    321,893
  8,210    Nokia Oyj, ADR (Finland)    116,089

  80    NTT DoCoMo, Inc. (Japan)    111,134
  14,300    Portugal Telecom SGPS SA (Portugal)    109,037
  43,130    QUALCOMM, Inc.    1,825,262
  1,500    SBA Communications Corp. (Class A Stock)*    37,800
  700    Swisscom AG (Switzerland)    182,530
  121,500    Telecom Italia SpA (Italy)    153,636
  23,700    Telefonica SA (Spain)    455,256
  36,000    Turkcell Iletisim Hizmet A/S (Turkey)    183,964
  20,614    Vivendi (France)    554,291
  104,900    Vodafone Group PLC (United Kingdom)    192,803
  17,790    Vodafone Group PLC, ADR (United Kingdom)    326,447
         
        7,281,147

Textiles & Apparel — 0.1%

   
  4,100    Phillips-Van Heusen Corp.    119,023
         

Textiles, Apparel & Luxury Goods — 0.1%

   
  11,200    Jones Apparel Group, Inc.    103,488
         

Tobacco — 1.0%

   
  28,000    Altria Group, Inc.    457,240
  9,271    British American Tobacco PLC (United Kingdom)    223,588
  2,000    Lorillard, Inc.    126,260
  24,856    Philip Morris International, Inc.    899,787
         
        1,706,875

Transportation — 2.0%

   
  7,200    Canadian National Railway Co. (Canada)    291,065
  4,540    Expeditors International of Washington, Inc.    157,583
  3,970    Landstar System, Inc.    141,372
  29,900    Neptune Orient Lines Ltd. (Singapore)    26,255
  18,575    Norfolk Southern Corp.    662,756
  19,908    Orient Overseas International Ltd. (Hong Kong)    57,669
  15,000    Seino Holding Co. Ltd. (Japan)    81,981
  37,474    Union Pacific Corp.    1,841,472
  1,800    United Parcel Service, Inc. (Class B Stock)    94,212
         
        3,354,365

Utilities — 0.5%

   
  4,300    American Electric Power Co., Inc.    113,434
  3,500    Endesa SA (Spain)    75,262
  8,848    FirstEnergy Corp.    361,883
  5,700    Peabody Energy Corp.    150,423
  4,778    PG&E Corp.    177,359
         
        878,361

Wireless Telecommunication Services — 0.1%

   
  4,450    American Tower Corp. (Class A Stock)*    141,332
         
    

TOTAL COMMON STOCKS

(cost $170,470,505)

    156,120,304
         

PREFERRED STOCKS 0.2%

   

Diversified Financial Services — 0.1%

   
  6,700    Citigroup, Inc., 8.125%    119,126
         

 

Financial - Bank & Trust — 0.1%

   
  7,325    Wells Fargo & Co., Series J, 8.00%, CVT      135,512
           
    

TOTAL PREFERRED STOCKS

(cost $245,814)

      254,638
           
    Units          

RIGHTS*

   

Financial Services

   
  5,600   

Fortis, expiring 03/09/14 (Belgium)

(cost $0)

      —  
           
    

TOTAL LONG-TERM INVESTMENTS

(cost $171,223,819)

      156,374,942
           

Shares

              

SHORT-TERM INVESTMENT 5.0%

   

AFFILIATED MONEY MARKET MUTUAL FUND

   
  8,184,683   

Dryden Core Investment Fund - Taxable Money Market Series

(cost $8,184,683)(a)

      8,184,683
           
    

TOTAL INVESTMENTS(b)—99.7%

(cost $179,408,502)(c)

      164,559,625
     Other assets in excess of liabilities(e)—0.3%      527,164
           
     NET ASSETS —100%    $ 165,086,789
           

The following abbreviations are used in Portfolio descriptions:

 

144A    Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR    American Depositary Receipt
CVT    Convertible Security
GDR    Global Depositary Receipt
EUR    Euro
GBP    British Pound
JPY    Japanese Yen
MXN    Mexican Peso
*    Non-income producing security.
(a)    Prudential Investments LLC, the manager of the Fund also serves as manager of the Dryden Core Investment Fund-Taxable Money Market Series.
(b)    As of April 30, 2009, 122 securities representing $19,296,463 and 11.7% of net assets were fair valued in accordance with the policies adopted by the Board of Trustees.
(c)    The United States federal income tax basis of the Schedule of Investments was $194,564,506; accordingly, net unrealized depreciation on investments for federal income tax purposes was $30,004,881 (gross unrealized appreciation - $12,543,216; gross unrealized depreciation - $42,548,097). The difference between book and tax basis is primarily attributable to deferred losses on wash sales.
(e)    Other assets in excess of liabilities include net unrealized appreciation (depreciation) on forward foreign currency exchange contracts of:

Forward foreign currency exchange contracts outstanding at April 30, 2009:

 

Purchase Contracts

    Notional
Amount
(000)		    Value at
Settlement
Date Payable		    Current
Value		    Unrealized
Appreciation
(Depreciation)(1)		  

Euro,

               

Expiring 06/16/09

    EUR    949    $ 1,281,223    $ 1,255,372    $ (25,851 ) 

Japanese Yen,

               

Expiring 05/07/09

    JPY    272      2,826      2,762      (64 ) 

Mexican Peso,

               

Expiring 05/29/09

    MXN    1,840      125,474      132,528      7,054   
                            
         $ 1,409,523    $ 1,390,662    $ (18,861 ) 
                            

Sale Contracts

    Notional
Amount
(000)		    Value at
Settlement
Date Receivable		    Current
Value		    Unrealized
Appreciation
(Depreciation) (1)		  

British Pound,

               

Expiring 06/19/09

    GBP    185    $ 283,522    $ 273,674    $ 9,848   

Euro,

               

Expiring 06/16/09

    EUR    1,139      1,518,141      1,506,711      11,430   

Mexican Peso,

               

Expiring 05/29/09

    MXN    8,800      626,569      633,832      (7,263 ) 
                            
         $ 2,428,232    $ 2,414,217    $ 14,015   
                            

 

(1) The amount reflects fair value of derivative instruments subject to foreign exchange contracts risk exposure as of April 30, 2009.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.

Level 1 - 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 (including the Fund’s own assumptions in determining the fair value of investments)

The following is a summary of the inputs used as of April 30, 2009 in valuing the Fund’s assets carried at fair value:

 

Valuation inputs

    Investments
in Securities		    Other Financial
Instruments*		  

Level 1 - Quoted Prices

    $ 145,263,162      —     

Level 2 - Other Significant Observable Inputs

      19,296,463    $ (4,846 ) 

Level 3 - Significant Unobservable Inputs

      —        —     
               

Total

    $ 164,559,625    $ (4,846 ) 
               

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

As of July 31, 2008, the Fund did not use any significant unobservable inputs (Level 3) in determining the value of investments. As of April 30, 2009, the Fund had two Level 3 securities with a fair value of $0.

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Investments
in Securities		  

Balance as of 7/31/08

      —     

Accrued discounts/premiums

      —     

Realized gain (loss)

      —     

Change in unrealized appreciation (depreciation)

    $ (25,848 ) 

Net purchases (sales)

      —     

Transfers in and/or out of Level 3

      25,848   
        

Balance as of 4/30/09

    $ —     
        

Target Moderate Allocation Fund

SCHEDULE OF INVESTMENTS

as of April 30, 2009 (Unaudited)

 

Shares

   

Description

    Value

LONG-TERM INVESTMENTS 106.5%

COMMON STOCKS 59.8%

Aerospace 1.1%

  650    Alliant Techsystems, Inc.*    $ 51,772
  1,500    Boeing Co. (The)      60,075
  17,900    Embraer-Empresa Brasileira de Aeronautica SA, ADR (Brazil)      290,338
  22,537    Lockheed Martin Corp.      1,769,831
  1,375    Moog, Inc. (Class A Stock)*      36,822
  3,900    MTU Aero Engines Holding AG (Germany)*      131,324
  9,800    Safran SA (France)      116,965
  8,901    United Technologies Corp.      434,725
           
          2,891,852

Aerospace & Defense 1.0%

  1,800    AAR Corp.*      27,126
  26,289    General Dynamics Corp.      1,358,353
  1,640    Honeywell International, Inc.      51,184
  21,700    Northrop Grumman Corp.      1,049,195
  1,000    Teledyne Technologies, Inc.*      31,930
  2,300    Thales SA (France)      95,415
           
          2,613,203

Air Freight & Couriers 0.1%

  3,500    FedEx Corp.      195,860
  1,890    United Parcel Service, Inc. (Class B Stock)      98,923
           
          294,783

Airlines 0.1%

  75,500    Air New Zealand Ltd. (New Zealand)      44,846
  10,000    Deutsche Lufthansa AG (Germany)      127,567
  61,500    Qantas Airways Ltd. (Australia)      88,496
  15,183    Singapore Airlines Ltd. (Singapore)      109,732
           
          370,641

Apparel

  5,925    True Religion Apparel, Inc.*      93,378
           

Auto Parts & Related

  1,500    Compagnie Generale des Establissements Michelin (Class B Stock) (France)      76,783
           

Auto/Trucks Parts & Equipment 0.1%

  9,500    Keihin Corp. (Japan)      119,352
  6,700    Nifco, Inc. (Japan)      88,455
           
          207,807

Automobile Manufacturers 0.1%

  1,500    Daimler AG (Germany)      53,775
  14,000    Nissan Shatai Co. Ltd. (Japan)      87,873
           
          141,648

Automobiles 0.4%

  17,000    Fuji Heavy Industries Ltd. (Japan)    67,917
  11,000    Harley-Davidson, Inc.    243,760
  2,400    Honda Motor Co. Ltd. (Japan)    69,236
  16,500    Nissan Motor Co. Ltd. (Japan)    85,328
  12,300    Toyota Motor Corp. (Japan)    480,176
         
        946,417

Automotive Components 0.1%

  13,900    Johnson Controls, Inc.    264,239
         

Automotive Parts 0.1%

  375    Autoliv, Inc.    9,251
  400    Georg Fischer AG (Switzerland)*    67,128
  39,500    GKN PLC (United Kingdom)    69,304
  15,200    Sumitomo Electric Industries Ltd. (Japan)    147,037
         
        292,720

Banking 0.2%

  33,678    Standard Chartered PLC (United Kingdom)    520,976
         

Banks

  29,600    Mizuho Financial Group, Inc. (Japan)    61,829
         

Beverages 0.4%

  2,910    Coca-Cola Co. (The)    125,276
  6,300    Molson Coors Brewing Co. (Class B Stock)    240,975
  11,959    PepsiCo, Inc.    595,080
  11,428    SABMiller PLC (United Kingdom)    191,624
         
        1,152,955

Biotechnology 0.5%

  7,330    Amgen, Inc.*    355,285
  260    Bio-Rad Laboratories, Inc. (Class A Stock)*    18,120
  3,555    BioMarin Pharmaceutical, Inc.*    45,717
  6,210    Celgene Corp.*    265,291
  2,930    Cubist Pharmaceuticals, Inc.*    48,638
  8,782    Genzyme Corp.*    468,344
  1,650    Life Technologies Corp.*    61,545
         
        1,262,940

Broadcasting 0.1%

  27,300    British Sky Broadcasting Group PLC (United Kingdom)    194,349
         

Building Materials 0.1%

  500    Ciments Francais SA (France)    45,287
  11,000    Kurabo Industries Ltd. (Japan)    21,415
  32,000    Sanwa Holdings Corp. (Japan)    88,258
         
        154,960

Business Services 0.1%

  2,450    FTI Consulting, Inc.*    134,456
         

Capital Goods

  1,500    Harsco Corp.    41,325
         

Capital Markets 0.2%

  1,800    Affiliated Managers Group, Inc.*    102,330

  9,040    Charles Schwab Corp. (The)    167,059
  3,995    Investment Technology Group, Inc.*    91,006
  3,300    Morgan Stanley    78,012
  2,700    Raymond James Financial, Inc.    42,363
  2,675    Waddell & Reed Financial, Inc. (Class A Stock)    59,947
         
        540,717

Chemicals 1.5%

  8,471    Air Products & Chemicals, Inc.    558,239
  1,575    Airgas, Inc.    67,914
  34,000    Asahi Kasei Corp. (Japan)    136,524
  4,300    BASF SE (Germany)    162,272
  1,395    CF Industries Holdings, Inc.    100,510
  14,800    Clariant AG (Switzerland)*    83,499
  21,300    Denki Kagaku Kogyo Kabushiki Kaisha (Japan)    47,084
  6,100    Eastman Chemical Co.    242,048
  4,590    Ecolab, Inc.    176,944
  264    Givaudan SA (Switzerland)    167,143
  21,365    Huntsman Corp.    114,516
  4,400    Koninklijke DSM NV (Netherlands)    136,454
  19,000    Nippon Shokubai Co. Ltd. (Japan)    116,366
  9,700    PPG Industries, Inc.    427,285
  17,114    Praxair, Inc.    1,276,876
  3,810    Terra Industries, Inc.    100,965
  1,400    Valspar Corp. (The)    33,600
         
        3,948,239

Clothing & Apparel 0.6%

  28,498    NIKE, Inc. (Class B Stock)    1,495,290
  10,000    Onward Holdings Co. Ltd. (Japan)    59,927
  4,425    Phillips-Van Heusen Corp.    128,458
         
        1,683,675

Commercial Banks 1.0%

  4,500    Allied Irish Banks PLC (Ireland)    5,502
  9,300    Banco Espirito Santo SA (Portugal)    45,518
  15,000    Bank of Ireland (Ireland)    14,952
  11,899    Bank of New York Mellon Corp. (The)    303,187
  18,300    Barclays PLC (United Kingdom)    74,300
  3,800    Comerica, Inc.    79,724
  1,400    Cullen / Frost Bankers, Inc.    65,926
  4,775    First Commonwealth Financial Corp.    41,399
  1,860    First Horizon National Corp.    21,412
  27,500    KeyCorp    169,125
  41,179    Lloyds TSB Group PLC (United Kingdom)    66,793
  5,529    Northern Trust Corp.    300,556
  33,817    PNC Financial Services Group, Inc.    1,342,535
  2,575    Prosperity Bancshares, Inc.    71,508
  1,470    S&T Bancorp, Inc.    26,269
  1,900    Trustmark Corp.    41,306
  1,400    United Bankshares, Inc.    36,316
         
        2,706,328

Commercial Services & Supplies 1.5%

  7,180    Accenture Ltd. (Class A Stock) (Bermuda)    211,307
  2,600    Adecco SA (Switzerland)    102,332
  4,890    Apollo Group, Inc. (Class A Stock)*    307,826
  1,528    Coinstar, Inc.*    54,382
  5,300    Davis Service Group PLC (United Kingdom)    20,446
  6,245    GEO Group, Inc. (The)*    103,854
  2,050    Healthcare Services Group, Inc.    36,654
  2,950    Moody’s Corp.    87,084
  3,315    Ritchie Bros. Auctioneers, Inc. (Canada)    74,256
  31,538    Visa, Inc. (Class A Stock)    2,048,709
  6,232    Waste Connections, Inc.*    160,661
  29,949    Waste Management, Inc.    798,740
         
        4,006,251

Communication Equipment 0.2%

  48,800    Alcatel-Lucent, ADR (France)*    122,000
  5,000    Arris Group, Inc.*    53,350
  5,160    EMS Technologies, Inc.*    98,298
  2,175    Nice Systems Ltd., ADR (Israel)*    55,702
  8,830    Nuance Communications, Inc.*    117,880
         
        447,230

Computer Hardware 1.0%

  20,475    Apple, Inc.*    2,576,369
  11,348    Logitech International SA (Switzerland)*    151,657
         
        2,728,026

Computer Services & Software 0.4%

  1,700    Global Payments, Inc.    54,502
  3,130    Informatica Corp.*    49,767
  1,905    MICROS Systems, Inc.*    39,967
  12,405    Novell, Inc.*    46,643
  25,790    Oracle Corp.    498,778
  10,806    SAP AG (Germany)    415,451
  6,700    TietoEnator Oyj (Finland)    86,074
         
        1,191,182

Computers 0.6%

  41,771    Hewlett-Packard Co.    1,502,921
         

Computers & Peripherals 0.9%

  8,171    Compellent Technologies, Inc.*    91,188
  21,329    International Business Machines Corp.    2,201,366
  3,480    NetApp, Inc.*    63,684
  8,755    Netezza Corp.*    70,828
         
        2,427,066

Conglomerates 0.1%

  30,300    Marubeni Corp. (Japan)    109,377
  7,400    Mitsubishi Corp. (Japan)    113,304
         
        222,681

Construction 0.1%

  1,525    Foster Wheeler AG (Switzerland)*    32,833
  1,000    Granite Construction, Inc.    39,450
  1,825    URS Corp.*    80,410
         
        152,693

Construction & Engineering

  3,055    Northwest Pipe Co.*    115,876
         

Consumer Finance 0.1%

  7,563    Cash America International, Inc.    169,109
  3,400    First Cash Financial Services, Inc.*    55,896
         
        225,005

Consumer Products & Services 0.5%

  1,820    Avon Products, Inc.    41,423
  2,199    Clorox Co.    123,254
  3,170    Colgate-Palmolive Co.    187,030
  6,277    Electrolux AB (Class B Stock) (Sweden)*    70,727
  55,000    Pacific Brands Ltd. (Australia)    27,980
  6,954    Procter & Gamble Co. (The)    343,806
  9,848    Reckitt Benckiser Group PLC (United Kingdom)    386,585
  1,300    Toro Co. (The)    39,494
         
        1,220,299

Containers & Packaging 0.1%

  16,500    Amcor Ltd. (Australia)    57,439
  3,195    Pactiv Corp.*    69,843
  550    Silgan Holdings, Inc.    25,569
         
        152,851

Distribution/Wholesale 0.1%

  16,500    Sumitomo Corp. (Japan)    142,714
  1,250    W.W. Grainger, Inc.    104,850
         
        247,564

Diversified 0.1%

  7,846    BHP Billiton Ltd., ADR (Australia)    377,706
         

Diversified Consumer Services

  1,800    Hillenbrand, Inc.    32,724
         

Diversified Financial Services 2.0%

  19,800    BM&FBOVESPA SA (Brazil)    81,409
  123,029    JPMorgan Chase & Co.    4,059,957
  14,300    Redecard SA (Brazil)    179,979
  56,674    Wells Fargo & Co.    1,134,047
         
        5,455,392

Diversified Manufacturing 0.1%

  9,300    AGFA-Gevaert NV (Belgium)*    20,793
  25,600    IMI PLC (United Kingdom)    134,217
  54,300    Tomkins PLC (United Kingdom)    138,625
         
        293,635

Diversified Operations 0.2%

  25,648    CITIC Pacific Ltd. (Hong Kong)    37,793
  6,080    LVMH Moet Hennessy Louis Vuitton SA (France)    459,033
  10,000    Mitsui & Co. Ltd. (Japan)    105,253
         
        602,079

Diversified Telecommunication Services 1.0%

  57,572    AT&T, Inc.    1,474,995
  36,488    Verizon Communications, Inc.    1,107,046
         
        2,582,041

Electric 0.1%

  1,400    Allegheny Energy, Inc.    36,288
  6,283    NRG Energy, Inc.*    112,968
         
        149,256

Electric Utilities 0.9%

  36,132    Edison International    1,030,123
  28,400    Enel SpA (Italy)    153,942
  10,200    Exelon Corp.    470,526
  8,901    FirstEnergy Corp.    364,051
  6,000    FPL Group, Inc.    322,740
         
        2,341,382

Electrical Equipment 0.2%

  13,436    Emerson Electric Co.    457,361
  1,300    Smith (A.O.) Corp.    40,417
         
        497,778

Electronic Components 0.3%

  11,400    Alpine Electronics, Inc. (Japan)    91,898
  12,100    Alps Electric Co. Ltd. (Japan)    64,414
  3,604    Fanuc Ltd. (Japan)    258,369
  13,000    Flextronics International Ltd. (Singapore)*    50,440
  3,400    FLIR Systems, Inc.*    75,412
  963    Itron, Inc.*    44,298
  966    Samsung Electronics Co. Ltd., GDR, 144A (South Korea)*    222,865
  14,100    TT Electronics PLC (United Kingdom)    5,904
         
        813,600

Electronic Components & Equipment

  6,400    Omron Corp. (Japan)    95,072
         

Electronic Equipment & Instruments 0.2%

  4,250    Coherent, Inc.*    80,750
  21,750    Tyco Electronics Ltd. (Bermuda)    379,320
         
        460,070

Energy Equipment & Services 0.8%

  1,025    Core Laboratories NV (Netherlands)    85,311
  12,189    Diamond Offshore Drilling, Inc.    882,605
  36,000    Halliburton Co.    727,920
  2,512    Lufkin Industries, Inc.    87,669
  3,750    OYO Geospace Corp.*    59,625
  4,495    Vestas Wind Systems A/S (Denmark)*    291,777
         
        2,134,907

Entertainment & Leisure 0.5%

  4,490    Carnival Corp.    120,691
  14,248    Carnival PLC (United Kingdom)    391,528
  2,600    DreamWorks Animation SKG, Inc. (Class A Stock)*    62,426
  9,402    Hennes & Mauritz AB (Class B Stock) (Sweden)    418,576
  1,800    Life Time Fitness, Inc.*    33,768
  1,139    Nintendo Co. Ltd. (Japan)    303,864
  16,200    Tabcorp Holdings Ltd. (Australia)    87,711
         
        1,418,564

Environmental Services 0.1%

  9,360    Republic Services, Inc.    196,560
         

Equipment Services 0.1%

  40,000    Downer EDI Ltd. (Australia)    146,222
  6,900    Kyoei Steel Ltd. (Japan)    137,972
         
        284,194

Exchange Traded Fund 0.1%

  3,100    iShares Russell 2000 Value Index Fund    141,112
         

Farming & Agriculture 0.9%

  30,000    Altria Group, Inc.    489,900
  38,400    AWB Ltd. (Australia)    37,256
  154,080    Chaoda Modern Agriculture Holdings Ltd. (Cayman Islands)    88,272
  19,531    Monsanto Co.    1,657,987
         
        2,273,415

Financial - Bank & Trust 1.6%

  1,700    American Express Co.    42,874
  3,750    Astoria Financial Corp.    30,975
  8,200    Australia & New Zealand Banking Group Ltd. (Australia)    94,754
  12,397    Banco Bilbao Vizcaya Argentaria SA (Spain)    134,351
  42,467    Banco Santander SA (Spain)    408,485
  29,059    Bank of America Corp.    259,497
  9,332    BNP Paribas (France)    491,273
  23,900    Bradford & Bingley PLC (United Kingdom)*    —  
  128,832    China Merchants Bank Co. Ltd. (Class H Stock) (China)    233,060
  5,300    Credit Agricole SA (France)    77,494
  6,600    Credit Saison Co. Ltd. (Japan)    73,348
  5,100    Credit Suisse Group AG (Switzerland)    199,290
  3,100    Danske Bank A/S (Denmark)*    34,001
  850    Danvers Bancorp, Inc.    12,333
  5,300    Deutsche Bank AG (Germany)    282,634
  5,300    Dexia NV/SA (Belgium)    25,705
  2,300    East West Bancorp, Inc.    15,709
  690    IntercontinentalExchange, Inc.*    60,444
  19,300    Intesa Sanpaolo SpA (Italy)*    61,487
  11,100    National Australia Bank Ltd. (Australia)    166,421
  13,956    National Bank of Greece SA (Greece)    290,227
  6,000    Natixis SA (France)    13,585
  5,700    Nordea Bank AB (Sweden)    42,399
  1,700    Pacific Capital Bancorp    11,798

  34,133    Royal Bank of Scotland Group PLC (United Kingdom)*    20,831
  600    Student Loan Corp. (The)    28,896
  18,000    Sumitomo Trust & Banking Co. Ltd. (The) (Japan)    74,650
  5,700    Svenska Handelsbanken AB (Class A Stock) (Sweden)    99,297
  9,700    Takefuji Corp. (Japan)    51,834
  51,426    U.S. Bancorp    936,982
  6,000    Unione di Banche Italiane ScpA (Italy)    82,730
  400    Verwaltungs und Privat Bank AG (Liechtenstein)    31,348
         
        4,388,712

Financial Services 1.6%

  7,600    Alpha Bank A.E. (Greece)*    74,027
  340    BlackRock, Inc.    49,817
  16,573    Capital One Financial Corp.    277,432
  580    CME Group, Inc.    128,383
  33,200    DnB NOR ASA (Norway)*    206,645
  2,100    Eaton Vance Corp.    57,477
  2,573    Franklin Resources, Inc.    155,615
  15,120    Goldman Sachs Group, Inc. (The)    1,942,920
  33,509    Hong Kong Exchanges and Clearing Ltd. (Hong Kong)    390,864
  432,000    Industrial & Commercial Bank of China Ltd. (Class H Stock) (China)    248,608
  7,400    Irish Life & Permanent PLC (Ireland)    18,700
  2,500    Jefferies Group, Inc.*    48,925
  7,794    Julius Baer Holding AG (Switzerland)    255,680
  3,300    Macquarie Group Ltd. (Australia)    80,294
  78,000    Noble Group Ltd. (Hong Kong)    68,490
  17,720    Western Union Co. (The)    296,810
         
        4,300,687

Financial/Business Services 0.1%

   
  3,210    Dun & Bradstreet Corp. (The)    261,294
         

Food 0.8%

   
  5,900    CSM NV (Netherlands)    74,864
  1,990    General Mills, Inc.    100,873
  100,700    Goodman Fielder Ltd. (Australia)    84,161
  5,200    Groupe Danone (France)    247,347
  21,990    Kroger Co. (The)    475,424
  30,627    Nestle SA (Switzerland)    998,340
  750    Ralcorp Holdings, Inc.*    42,870
  3,800    Suedzucker AG (Germany)    73,548
  525    TreeHouse Foods, Inc.*    13,960
         
        2,111,387

Food & Beverage 0.1%

  12,400    Dairy Crest Group PLC (United Kingdom)    56,754
  48,600    Northern Foods PLC (United Kingdom)    44,258
  10,500    Tate & Lyle PLC (United Kingdom)    42,558
         
        143,570

Food & Drug Retailers 0.3%

  47,300    Safeway, Inc.    934,175
         

Gaming

  3,586    OPAP SA (Greece)    110,629
         

Gas Distribution

  31,900    Centrica PLC (United Kingdom)    106,653
         

Healthcare Equipment & Supplies 0.5%

  12,520    American Medical Systems Holdings, Inc.*    154,873
  8,783    Covidien Ltd. (Bermuda)    289,663
  7,305    Cutera, Inc.*    45,875
  16,960    Medtronic, Inc.    542,720
  850    Teleflex, Inc.    36,533
  7,395    Thoratec Corp.*    214,899
         
        1,284,563

Healthcare Products & Services 0.1%

  3,665    Biogen Idec, Inc.*    177,166
  2,680    DENTSPLY International, Inc.    76,702
  3,275    Patterson Cos., Inc.*    67,006
  1,225    West Pharmaceutical Services, Inc.    39,996
         
        360,870

Healthcare Providers & Services 0.1%

  2,670    Amedisys, Inc.*    89,552
  4,975    Centene Corp.*    91,391
  3,985    Lincare Holdings, Inc.*    96,158
         
        277,101

Healthcare Services 0.2%

  4,429    Aetna, Inc.    97,482
  1,800    AMERIGROUP Corp.*    53,766
  1,000    Covance, Inc.*    39,280
  1,720    Genoptix, Inc.*    50,018
  2,100    Healthways, Inc.*    21,903
  2,130    MEDNAX, Inc.*    76,467
  6,644    UnitedHealth Group, Inc.    156,267
  2,000    WellPoint, Inc.*    85,520
         
        580,703

Healthcare Technology 0.1%

  8,194    Eclipsys Corp.*    108,161
  3,040    Vital Images, Inc.*    30,795
         
        138,956

Home Furnishings 0.1%

  3,761    DTS, Inc.*    100,230
  7,000    Panasonic Corp. (Japan)    101,501
  9,200    THOMSON (France)*    12,388
         
        214,119

Hotels, Restaurants & Leisure 1.4%

  5,770    Bally Technologies, Inc.*    151,058
  6,540    BJ’s Restaurants, Inc.*    107,844
  46,282    McDonald’s Corp.    2,466,368
  1,580    Penn National Gaming, Inc.*    53,752
  14,885    Shuffle Master, Inc.*    56,712
  2,025    Sonic Corp.*    22,113

  4,700    Starwood Hotels & Resorts Worldwide, Inc.    98,042
  3,469    Wendy’s / Arby’s Group, Inc. (Class A Stock)    17,345
  1,820    WMS Industries, Inc.*    58,440
  14,551    Wynn Resorts Ltd.*    570,836
         
        3,602,510

Household Durables 0.2%

  1,980    Black & Decker Corp. (The)    79,794
  6,500    Fortune Brands, Inc.    255,515
  6,486    Universal Electronics, Inc.*    121,548
         
        456,857

Household Products 0.2%

  9,500    Kimberly-Clark Corp.    466,830
  2,850    Scotts Miracle-Gro Co. (The) (Class A Stock)    96,244
         
        563,074

Independent Power Producers & Energy Traders

  12,783    Drax Group PLC (United Kingdom)    96,938
         

Industrial Conglomerates 0.4%

  9,280    3M Co.    534,528
  13,500    General Electric Co.    170,775
  13,550    Tyco International Ltd.    321,948
         
        1,027,251

Insurance 2.3%

  6,429    ACE Ltd. (Switzerland)    297,791
  7,600    Aegon NV (Netherlands)    38,225
  31,800    Allstate Corp. (The)    741,894
  1,050    Arthur J. Gallagher & Co.    23,604
  1,600    Aspen Insurance Holdings Ltd. (Bermuda)    37,728
  29,500    Aviva PLC (United Kingdom)    135,819
  15,000    AXA SA (France)    252,026
  2,100    Baloise Holding AG (Switzerland)    154,164
  47,647    Beazley Group PLC (United Kingdom)    70,938
  25,700    Brit Insurance Holdings PLC (United Kingdom)    69,810
  129,200    China Life Insurance Co. Ltd. (Class H Stock) (China)    455,948
  1,252    Chubb Corp.    48,765
  1,800    Delphi Financial Group, Inc. (Class A Stock)    31,086
  12,900    Genworth Financial, Inc. (Class A Stock)    30,444
  3,012    HCC Insurance Holdings, Inc.    72,047
  10,200    ING Groep NV, ADR (Netherlands)    92,975
  1,800    IPC Holdings Ltd. (Bermuda)    46,872
  121,100    Legal & General Group PLC (United Kingdom)    102,884
  45,356    MetLife, Inc.    1,349,341
  1,800    Muenchener Rueckversicherungs AG (Germany)    248,707
  50,900    Old Mutual PLC (United Kingdom)    50,712
  2,600    Protective Life Corp.    22,282
  1,400    Reinsurance Group of America, Inc.    44,506
  1,400    State Auto Financial Corp.    22,722
  3,900    Swiss Reinsurance Co. (Switzerland)    92,575
  27,831    Travelers Cos., Inc. (The)    1,144,967
  1,300    United Fire & Casualty Co.    24,271
  7,800    Unum Group    127,452

  21,300    XL Capital Ltd. (Class A Stock) (Cayman Islands)    202,563
  1,100    Zurich Financial Services AG (Switzerland)    204,414
         
        6,237,532

Internet Services 1.1%

  2,950    Amazon.com, Inc.*    237,534
  1,200    Digital River, Inc.*    46,104
  5,494    Google, Inc. (Class A Stock)*    2,175,459
  1,580    NetFlix, Inc.*    71,590
  860    priceline.com, Inc.*    83,497
  4,150    SRA International, Inc. (Class A Stock)*    63,868
  7,370    VeriSign, Inc.*    151,675
         
        2,829,727

Internet Software & Services 0.2%

  5,650    Akamai Technologies, Inc.*    124,413
  850    Baidu.com, Inc., ADR (Cayman Islands)*    197,965
  13,700    eBay, Inc.*    225,639
         
        548,017

Iron / Steel

  28,000    Nisshin Steel Co. Ltd. (Japan)    53,944
         

IT Services 0.1%

  800    CACI International, Inc. (Class A Stock)*    31,640
  93,800    Logica PLC (United Kingdom)    105,816
         
        137,456

Life Science Tools & Services 0.1%

  5,766    ICON PLC, ADR (Ireland)*    91,334
  6,389    Thermo Fisher Scientific, Inc.*    224,126
         
        315,460

Machinery 0.7%

  1,675    Actuant Corp. (Class A Stock)    20,536
  28,000    BlueScope Steel Ltd. (Australia)    47,617
  4,075    Bucyrus International, Inc.    88,468
  16,000    Caterpillar, Inc.    569,280
  6,200    Cummins, Inc.    210,800
  6,932    Deere & Co.    286,014
  1,550    General Cable Corp.*    42,067
  3,400    Heidelberger Druckmaschinen AG (Germany)    24,599
  1,125    Kaydon Corp.    35,955
  1,225    Lincoln Electric Holdings, Inc.    54,549
  9,600    PACCAR, Inc.    340,224
  300    Rieter Holding AG (Switzerland)    44,394
  1,255    Robbins & Myers, Inc.    23,782
  875    Rofin-Sinar Technologies, Inc.*    18,646
  1,100    Snap-on, Inc.    37,312
         
        1,844,243

Machinery & Equipment

  875    Lindsay Corp.    34,046
  475    Nordson Corp.    17,233
         
        51,279

Machinery - Construction & Mining 0.1%

12,494    Komatsu Ltd. (Japan)    154,433
       

Manufacturing 0.2%

5,870    Danaher Corp.    343,043
9,505    Hexcel Corp.*    91,153
       
      434,196

Materials 0.3%

10,366    Potash Corp. of Saskatchewan, Inc. (Canada)    896,555
       

Media 1.0%

40,000    CBS Corp. (Class B Stock)    281,600
        26,179    Comcast Corp. (Class A Stock)    404,727
14,110    DIRECTV Group, Inc. (The)*    348,940
2,200    Lagardere SCA (France)    69,065
1,700    McGraw-Hill Cos., Inc. (The)    51,255
15,700    Rogers Communications, Inc. (Class B Stock) (Canada)    385,757
4,509    Time Warner Cable, Inc.    145,325
17,966    Time Warner, Inc.    392,198
20,707    Vivendi (France)    556,792
825    Wiley, (John) & Sons, Inc. (Class A Stock)    27,968
       
      2,663,627

Medical Supplies & Equipment 0.4%

5,860    Baxter International, Inc.    284,210
1,160    Becton, Dickinson and Co.    70,157
23,038    Boston Scientific Corp.*    193,749
4,800    Fresenius Medical Care AG & Co KGaA (Germany)    186,270
39,500    Smith & Nephew PLC (United Kingdom)    277,908
5,290    St. Jude Medical, Inc.*    177,321
       
      1,189,615

Metals & Mining 0.8%

18,900    Alcoa, Inc.    171,423
15,200    BHP Billiton PLC, ADR (United Kingdom)    635,968
1,825    Cliffs Natural Resources, Inc.    42,084
39,000    Mincor Resources NL (Australia)    27,776
46,000    Mitsui Mining & Smelting Co. Ltd. (Japan)*    90,489
87,000    Nippon Light Metal Co. Ltd. (Japan)*    77,631
12,409    Nucor Corp.    504,922
23,948    OZ Minerals Ltd. (Australia)    13,053
4,189    Peabody Energy Corp.    110,548
800    Precision Castparts Corp.    59,888
3,000    Rautaruukki Oyj (Finland)    55,820
2,375    Steel Dynamics, Inc.    29,569
9,500    ThyssenKrupp AG (Germany)    203,241
2,000    Timken Co.    32,160
4,426    United States Steel Corp.    117,510
1,175    Walter Energy, Inc.    26,790
       
      2,198,872

Multi-Line Retail 0.1%

  11,000    JC Penney Co., Inc.    337,590
         

Multi-Utilities 0.3%

  7,000    Dominion Resources, Inc.    211,120
  14,137    Public Service Enterprise Group, Inc.    421,848
  3,600    Wisconsin Energy Corp.    143,856
         
        776,824

Office Equipment 0.2%

  8,800    Oce NV (Netherlands)    55,694
  7,000    Ricoh Co. Ltd. (Japan)    85,389
  80,500    Xerox Corp.    491,855
         
        632,938

Oil & Gas 0.3%

  11,641    Total SA, ADR (France)    578,791
  10,600    Weatherford International Ltd. (Switzerland)*    176,278
         
        755,069

Oil & Gas Exploration/Production

  1,700    St. Mary Land & Exploration Co.    30,379
         

Oil, Gas & Consumable Fuels 5.5%

  1,702    Air Liquide SA (France)    138,489
  10,187    Anadarko Petroleum Corp.    438,652
  12,094    Apache Corp.    881,169
  1,575    Arena Resources, Inc.*    45,155
  400    Ashland, Inc.    8,784
  63,000    BP PLC (United Kingdom)    445,200
  2,400    Cabot Oil & Gas Corp.    72,456
  5,500    Canadian Natural Resources Ltd. (Canada)    253,545
  23,104    Chevron Corp.    1,527,174
  1,725    Concho Resources, Inc.*    47,300
  23,818    ConocoPhillips    976,538
  14,800    Cosmo Oil Co. Ltd. (Japan)    42,170
  2,094    Devon Energy Corp.    108,574
  10,200    ENI SpA (Italy)    218,883
  2,300    EQT Corp.    77,349
  8,305    Exxon Mobil Corp.    553,694
  6,584    Hess Corp.    360,737
  30,000    Marathon Oil Corp.    891,000
  5,440    Nexen, Inc. (Canada)    103,904
  27,700    Nippon Oil Corp. (Japan)    144,089
  2,040    Noble Energy, Inc.    115,770
  7,600    Norsk Hydro ASA (Norway)*    33,511
  11,470    Occidental Petroleum Corp.    645,646
  1,240    Oceaneering International, Inc.*    56,507
  1,200    ONEOK, Inc.    31,404
  3,450    Patterson-UTI Energy, Inc.    43,850
  30,865    Petroleo Brasileiro SA, ADR (Brazil)    1,036,138
  11,200    Repsol YPF SA (Spain)    212,886
  20,400    Royal Dutch Shell PLC (Class B Stock) (United Kingdom)    461,664
  13,800    Royal Dutch Shell PLC, ADR (United Kingdom)    627,900
  4,593    Schlumberger Ltd. (Netherlands)    225,011
  6,700    Southwestern Energy Co.*    240,262

  3,901    StatoilHydro ASA (Norway)    72,700
  1,800    Swift Energy Co.*    19,476
  3,200    Total SA (France)    160,115
  29,062    Transocean Ltd.*    1,961,104
  2,500    Ultra Petroleum Corp.*    107,000
  22,800    Valero Energy Corp.    452,352
  1,300    WGL Holdings, Inc.    40,482
  19,312    XTO Energy, Inc.    669,354
         
        14,547,994

Pharmaceuticals 4.3%

  27,005    Abbott Laboratories    1,130,159
  2,940    Allergan, Inc.    137,180
  4,400    Astellas Pharma, Inc. (Japan)    143,216
  9,000    AstraZeneca PLC (United Kingdom)    315,139
  27,272    Bristol-Myers Squibb Co.    523,622
  15,000    Cardinal Health, Inc.    506,850
  1,620    Cephalon, Inc.*    106,288
  27,400    Eli Lilly & Co.    902,008
  3,690    Express Scripts, Inc.*    236,049
  28,816    Gilead Sciences, Inc.*    1,319,773
  8,300    GlaxoSmithKline PLC (United Kingdom)    127,847
  6,600    H. Lundbeck A/S (Denmark)    119,409
  2,685    Herbalife Ltd. (Cayman Islands)    53,217
  17,404    Johnson & Johnson    911,273
  6,170    Medco Health Solutions, Inc.*    268,704
  12,577    Merck & Co., Inc.    304,867
  6,609    Novartis AG (Switzerland)    250,140
  8,900    Novo Nordisk A/S (Class B Stock) (Denmark)    423,470
  1,720    Onyx Pharmaceuticals, Inc.*    44,548
  1,875    Perrigo Co.    48,600
  90,362    Pfizer, Inc.    1,207,236
  2,500    Pharmaceutical Product Development, Inc.    49,025
  3,079    Roche Holding AG (Switzerland)    388,275
  5,800    Sanofi-Aventis SA (France)    335,890
  16,378    Schering-Plough Corp.    377,022
  4,800    Takeda Pharmaceutical Co. Ltd. (Japan)    170,351
  21,497    Teva Pharmaceutical Industries Ltd., ADR (Israel)    943,503
         
        11,343,661

Professional Services 0.1%

  4,650    Monster Worldwide, Inc.*    64,170
  900    School Specialty, Inc.*    16,893
  1,550    Watson Wyatt Worldwide, Inc. (Class A Stock)    82,227
         
        163,290

Real Estate

  1,100    Meritage Homes Corp.*    22,891
         

Real Estate Investment Trusts 0.5%

  23,100    Annaly Capital Management, Inc.    325,017
  4,189    AvalonBay Communities, Inc.    237,977
  4,189    Boston Properties, Inc.    207,020
  8,850    MFA Mortgage Investments, Inc.    52,127
  4,400    Pulte Homes, Inc.    50,644
  7,063    Simon Property Group, Inc.    364,451
  310    Walter Investment Management Corp.*    2,480
         
        1,239,716

 

Retail 0.8%

  1,900    Rallye SA (France)    38,626
  8,000    UNY Co. Ltd. (Japan)    58,163
  116,300    Wal-Mart de Mexico SAB de CV (Class V Stock) (Mexico)    315,895
  36,161    Wal-Mart Stores, Inc.    1,822,514
         
        2,235,198

Retail & Merchandising 3.0%

  1,500    Abercrombie & Fitch Co. (Class A Stock)    40,590
  9,047    Best Buy Co., Inc.    347,224
  1,600    Brinker International, Inc.    28,352
  5,300    Circle K Sunkus Co. Ltd. (Japan)    74,163
  17,126    Costco Wholesale Corp.    832,324
  88,734    CVS Caremark Corp.    2,819,967
  4,500    GameStop Corp. (Class A Stock)*    135,720
  2,490    Kohl’s Corp.*    112,921
  48,525    Lowe’s Cos., Inc.    1,043,287
  29,548    Staples, Inc.    609,280
  7,510    Target Corp.    309,863
  6,283    TJX Cos., Inc.    175,735
  7,600    Walgreen Co.    238,868
  39,746    Yum! Brands, Inc.    1,325,529
         
        8,093,823

Retail - Auto Parts

  1,250    Copart, Inc.*    39,238
         

Road & Rail 0.3%

  9,136    Burlington Northern Santa Fe Corp.    616,497
  4,245    Landstar System, Inc.    151,165
         
        767,662

Semiconductor Components 0.1%

  93,000    ARM Holdings PLC (United Kingdom)    163,340
         

Semiconductors 0.3%

  2,500    ASML Holding NV (Netherlands)    52,875
  2,140    Broadcom Corp. (Class A Stock)*    49,627
  2,000    Checkpoint Systems, Inc.*    24,300
  15,580    Intel Corp.    245,852
  4,250    Microsemi Corp.*    57,035
  9,160    ON Semiconductor Corp.*    49,647
  15,658    Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)    165,505
  13,400    Texas Instruments, Inc.    242,004
         
        886,845

Semiconductors & Semiconductor Equipment 0.1%

  2,270    Advanced Energy Industries, Inc.*    19,136
  6,860    Marvell Technology Group Ltd. (Bermuda)*    75,323
  7,255    Varian Semiconductor Equipment Associates, Inc.*    185,655
         
        280,114

Software 2.3%
   15,310    Adobe Systems, Inc.*    418,728
   3,690    ANSYS, Inc.*    101,918
   4,730    Autodesk, Inc.*    94,316
   6,800    BMC Software, Inc.*    235,756
   29,605    CA, Inc.    510,686
   5,810    Citrix Systems, Inc.*    165,759
   2,265    FactSet Research Systems, Inc.    121,381
   6,085    Macrovision Solutions Corp.*    123,039
   12,061    MasterCard, Inc. (Class A Stock)    2,212,590
   4,070    McAfee, Inc.*    152,788
   2,830    MedAssets, Inc.*    48,789
   76,441    Microsoft Corp.    1,548,695
   1,751    Quality Systems, Inc.    93,889
   1,300    Research In Motion Ltd. (Canada)*    90,350
   2,725    Sybase, Inc.*    92,541
   18,340    TIBCO Software, Inc.*    115,909
   3,175    Tyler Technologies, Inc.*    52,388
          
         6,179,522
Specialty Retail 0.5%
   2,830    Aaron’s, Inc.    94,975
   3,500    AutoNation, Inc.*    61,985
   300    CarMax, Inc.*    3,828
   15,300    Gap, Inc. (The)    237,762
   6,203    Genesco, Inc.*    141,304
   27,514    Home Depot, Inc. (The)    724,169
   11,200    Limited Brands, Inc.    127,904
          
         1,391,927
Steel Producers/Products
   2,900    Voestalpine AG (Austria)    55,485
          
Telecommunications 2.8%
   9,900    Amdocs Ltd. (Guernsey)*    207,207
   9,200    America Movil SAB de CV (Class L Stock), ADR (Mexico)    302,220
   4,520    American Tower Corp. (Class A Stock)*    143,555
   91,700    BT Group PLC (United Kingdom)    126,374
   29,013    China Mobile Ltd. (Hong Kong)    251,944
   44,198    Cisco Systems, Inc.*    853,905
   15,470    Corning, Inc.    226,171
   16,029    France Telecom SA (France)    355,844
   7,410    Juniper Networks, Inc.*    160,427
   26    KDDI Corp. (Japan)    116,528
   5,540    MetroPCS Communications, Inc.*    94,679
   79,170    MobileOne Ltd. (Singapore)    78,609
   5,000    Nippon Telegraph & Telephone Corp. (Japan)    186,575
   26,600    Nokia Oyj (Finland)    377,812
   8,320    Nokia Oyj, ADR (Finland)    117,645
   80    NTT DoCoMo, Inc. (Japan)    111,134
   15,200    Portugal Telecom SGPS SA (Portugal)    115,900
   45,348    QUALCOMM, Inc.    1,919,127
   1,400    SBA Communications Corp. (Class A Stock)*    35,280

  600    Swisscom AG (Switzerland)    156,454
  3,900    Syniverse Holdings, Inc.*    49,140
  127,800    Telecom Italia SpA (Italy)    161,603
  23,000    Telefonica SA (Spain)    441,809
  37,500    Turkcell Iletisim Hizmet A/S (Turkey)    191,629
  135,600    Vodafone Group PLC (United Kingdom)    249,229
  16,658    Vodafone Group PLC, ADR (United Kingdom)    305,674
  13,000    WPP PLC (United Kingdom)    88,945
         
        7,425,419

Textiles, Apparel & Luxury Goods 0.1%

  1,500    Coach, Inc.*    36,750
  3,625    Hanesbrands, Inc.*    59,667
  9,900    Jones Apparel Group, Inc.    91,476
         
        187,893
Tobacco Products 0.5%
  10,055    British American Tobacco PLC (United Kingdom)    242,495
  2,200    Lorillard, Inc.    138,886
  25,080    Philip Morris International, Inc.    907,896
         
        1,289,277
Trading Companies & Distributors
  800    Watsco, Inc.    34,360
         
Transportation 1.2%
  7,400    Canadian National Railway Co. (Canada)    299,150
  4,860    Expeditors International of Washington, Inc.    168,691
  5,500    Go-Ahead Group PLC (United Kingdom)    103,329
  29,000    Neptune Orient Lines Ltd. (Singapore)    25,464
  19,812    Norfolk Southern Corp.    706,892
  17,690    Orient Overseas International Ltd. (Bermuda)    51,244
  40,463    Union Pacific Corp.    1,988,352
         
        3,343,122
Utilities 0.4%
  8,470    AES Corp. (The)*    59,883
  4,422    American Electric Power Co., Inc.    116,652
  16,919    E.ON AG (Germany)    572,150
  8,462    Fortum Oyj (Finland)    170,681
  1,872    Headwaters, Inc.*    4,717
  5,236    PG&E Corp.    194,360
         
        1,118,443
         
    

TOTAL COMMON STOCKS

(cost $172,861,958)

    159,242,377
         
PREFERRED STOCKS 0.1%
Diversified Financial Services
  6,800    Citigroup, Inc., 8.125%    120,904
Financial — Bank & Trust — 0.1%
  7,950    Wells Fargo & Co., Series J, 8.00%, CVT    147,075
         
    

TOTAL PREFERRED STOCKS

(cost $255,952)

    267,979
         

     

Units

          

RIGHTS*

Financial Services

      5,000    Fortis (Coupon), expiring 03/09/14 (Belgium)    —  

Food

   
      5,900    CSM NV, expiring 05/20/09 (Netherlands)    —  
             
        

TOTAL RIGHTS

(cost $0)

    —  
             

Moody’s
Ratings†

   

Principal
Amount

(000)#

          

ASSET-BACKED SECURITIES 0.9%

   
         Bear Stearns Commercial Mortgage Securities, Series 2006-BBA7, Class A1, 144A (original cost $361,733; purchased 06/05/06)(c)(e)   

Aaa

    $    362   

0.561%(a), 03/15/19

    304,966
         Brazos Student Finance Corp., Series 1998-A, Class A2   

Aaa

       20   

1.23%(a), 06/01/23

    19,824
         Indymac Index Mortgage Loan Trust, Series 2007-FLX2, Class A2   

Caa1

       535   

0.628%(a), 04/25/37

    93,350
         SLM Student Loan Trust, Series 2008-9, Class A   

Aaa

       1,964   

2.659%(a), 04/25/23

    1,960,014
             
        

TOTAL ASSET-BACKED SECURITIES

(cost $2,668,979)

    2,378,154
             

COLLATERALIZED MORTGAGE OBLIGATIONS 2.5%

         Bank Trust Mortgage Trust, Series 1, Class G   

Aaa

       63   

5.70%, 12/01/23

    62,545
         Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-4, Class 23A2   

Aa3

       202   

5.364%(a), 05/25/35

    131,477
        

Countrywide Alternative Loan Trust,

Series 2006-HY13, Class 4A1

   

AAA(d)

       575   

5.89%(a), 02/25/37

    295,580
        

Series 2006-OA11, Class A1B

   

Caa2

       564   

0.628%(a), 09/25/46

    202,951
         Federal Home Loan Mortgage Corp., Series 119, Class H   

Aaa

       29   

7.50%, 01/15/21

    28,664
        

Federal National Mortgage Assoc.,

Series 1998-73, Class MZ

   

Aaa

       310   

6.30%, 10/17/38

    309,475
        

Series 2000-32, Class FM

   

Aaa

       10   

1.006%(a), 10/18/30

    10,020
        

Series 2006-5, Class 3A2

   

Aaa

       935   

4.629%(a), 05/25/35

    945,352
        

FHLMC Structured Pass-Through Securities,

Series T-61, Class 1A1

   

Aaa

       127   

3.033%(a), 07/25/44

    121,904
        

Freddie Mac,

Series 2266, Class F

   

Aaa

       5   

0.901%(a), 11/15/30

    5,181
        

Series 3346, Class FA

   

Aaa

       1,984   

0.681%(a), 02/15/19

    1,936,700

         Government National Mortgage Assoc., Series 2000-9, Class FH   

Aaa

       28   

0.951%(a), 02/16/30

    27,691
        

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

   

Aaa

       365   

4.509%(a), 09/25/35

    279,995
        

Series 2005-AR7, Class 4A1

   

Aaa

       754   

5.344%(a), 11/25/35

    490,970
        

Harborview Mortgage Loan Trust,

Series 2006-5, Class 2A1A

   

Caa1

       580   

0.627%(a), 07/19/46

    214,191
        

Series 2006-12, Class 2A2B

   

Ca

       508   

0.697%(a), 01/19/38

    88,629
         Structured Asset Mortgage Investments, Inc., Series 2006-AR7, Class A8   

Aaa

       84   

0.508%(a), 08/25/36

    79,773
        

WaMu Mortgage Pass-Through Certificates,

Series 2003-R1, Class A1

   

Aaa

       716   

1.062%(a), 12/25/27

    506,887
        

Series 2007-HY1, Class 2A3

   

B(d)

       581   

5.837%(a), 02/25/37

    342,791
        

Series 2007-HY2, Class 1A1

   

BB(d)

       580   

5.588%(a), 12/25/36

    310,004
        

Series 2007-OA3, Class 2A1A

   

B3

       585   

2.274%(a), 04/25/47

    229,081
             
        

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(cost $8,150,574)

    6,619,861
             

CORPORATE BONDS 10.3%

   

Advertising 0.1%

   
         Omnicom Group, Inc., Gtd. Notes   

Baa1

       300   

5.90%, 04/15/16

    264,808
             

Automobile Manufacturers

   
         DaimlerChrysler NA Holding Corp., Gtd. Notes, MTN   

A3

       100   

5.75%, 09/08/11

    98,230
             

Capital Markets 0.7%

   
         Morgan Stanley, Sr. Unsec’d. Notes, MTN   

A2

       1,300   

5.75%, 10/18/16

    1,197,998

A2

       700   

6.00%, 04/28/15

    661,230
             
            1,859,228

Commercial Banks 0.3%

   
         Barclays Bank PLC, Sub. Notes, 144A (United Kingdom) (original cost $1,400,000; purchased 04/18/08)(c)(e)   

Baa1

       1,400   

7.70%(a), 04/29/49

    882,392
             

Diversified Financial Services 2.3%

   
         American Express Co., Sr. Unsec’d. Notes   

A3

       600   

7.00%, 03/19/18

    569,075
         Citigroup Capital XXI, Gtd. Notes   

Baa3

       1,400   

8.30%(a), 12/21/57

    851,872
        

Citigroup, Inc.,

Jr. Sub. Notes

   

Ca

       500   

8.40%(a), 04/29/49

    334,435
        

Sr. Unsec’d. Notes

   

A3

       2,100   

5.50%, 04/11/13

    1,871,663

         JPMorgan Chase Bank NA, Sub. Notes   

Aa2

       2,700   

6.00%, 10/01/17

    2,519,033
             
            6,146,078

Diversified Manufacturing 0.4%

   
         Siemens Financieringsmaatschappij NV, Gtd. Notes, 144A (Netherlands) (original cost $1,000,000; purchased 08/09/06)(c)(e)   

A1

       1,000   

1.288%(a), 08/14/09

    996,783
             

Electronic Components 0.5%

   
         Electricite de France, Notes, 144A (France)   

Aa3

       900   

6.50%, 01/26/19 (original cost $897,192; purchased 01/21/09)(c)(e)

    968,821

Aa3

       300   

6.95%, 01/26/39 (original cost $295,653; purchased 01/21/09)(c)(e)

    316,315
             
            1,285,136

Financial - Bank & Trust 1.7%

   
         American Express Bank FSB, Sr. Unsec’d. Notes   

A2

       400   

5.50%, 04/16/13

    376,109
         Bank of America Corp., Jr. Sub. Notes   

B3

       1,500   

8.00%(a), 12/29/49

    852,210

B3

       900   

8.125%(a), 12/29/49

    511,128
         National Australia Bank Ltd., Sr. Notes, 144A (Australia) (original cost $700,000; purchased 02/01/08)(c)(e)   

Aa1

       700   

1.691%(a), 02/08/10

    699,490
             
         Swedbank AB, Gov’t. Liquid Gtd. Notes, 144A (Sweden) (original cost $1,999,080; purchased 02/03/09)(c)(e)   

Aaa

       2,000   

2.80%, 02/10/12

    1,994,990
             
            4,433,927

Financial Services 1.3%

   
        

General Motors Acceptance Corp. LLC,

Sr. Unsec’d. Notes

   

C

       600   

6.75%, 12/01/14

    384,143

C

       100   

8.00%, 11/01/31

    59,011
         Goldman Sachs Group, Inc. (The), Sub. Notes   

A2

       900   

6.75%, 10/01/37

    686,034
         Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)   

NR

       500   

6.875%, 05/02/18

    74,375
         Merrill Lynch & Co., Inc., Notes, MTN   

A2

       2,800   

6.875%, 04/25/18

    2,359,658
             
            3,563,221

Food 0.3%

   
         Kraft Foods, Inc., Sr. Unsec’d. Notes   

Baa2

       900   

6.875%, 02/01/38

    883,836
             

Healthcare Services 0.3%

   
         Roche Holdings, Inc., Gtd. Notes, 144A (original cost $900,000; purchased 02/20/09)(c)(e)   

A2

       900   

3.249%(a), 02/25/11

    910,417
             

Industrial Conglomerates 1.0%

   
         General Electric Capital Corp., Sr. Unsec’d. Notes, MTN   

Aa2

       2,200   

5.625%, 09/15/17

    1,932,687

Aa2

       400   

5.875%, 01/14/38

    276,074
         Sub. Notes, 144A   

Aa3

    GBP    700   

6.50%(a), 09/15/67 (original cost $1,399,944; purchased 08/30/07)(c)(e)

    476,352
             
            2,685,113

Insurance 0.1%

   
         American International Group, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,100,000; purchased 08/13/08)(c)(e)   

A3

       1,100   

8.25%, 08/15/18

    386,760
             

Medical Supplies & Equipment 0.2%

   
         HCA, Inc., Sr. Sec’d. Notes   

B2

       600   

9.25%, 11/15/16

    594,000
             

Paper & Forest Products 0.3%

   
        

Georgia-Pacific LLC,

Gtd. Notes, 144A

   

Ba3

       300   

7.00%, 01/15/15 (original cost $300,000; purchased 12/13/06)(c)(e)

    285,000

Ba3

       400   

7.125%, 01/15/17 (original cost $400,000; purchased 12/13/06)(c)(e)

    378,000
             
            663,000

Real Estate Investment Trust 0.1%

   
         Nationwide Health Properties, Inc., Sr. Unsec’d. Notes   

Baa2

       200   

6.50%, 07/15/11

    182,647
             

Telecommunications 0.6%

   
         Embarq Corp., Sr. Unsec’d. Notes   

Baa3

       1,000   

7.082%, 06/01/16

    960,000
         Motorola, Inc., Sr. Unsec’d. Notes   

Baa3

       700   

6.00%, 11/15/17

    595,000
             
            1,555,000

Utilities - Electric 0.1%

   
         Midwest Generation LLC, Pass-Thru. Certificates   

Baa3

       128   

8.30%, 07/02/09

    125,868
             
        

TOTAL CORPORATE BONDS

(cost $33,706,151)

    27,516,444
             

FOREIGN GOVERNMENT BONDS 0.6%

   
         Bundesrepublik Deutschland Bonds (Germany)   

Aaa

    EUR    200   

6.25%, 01/04/30

    339,222
         Republic of Brazil, Sr. Unsec’d. Notes (Brazil)   

Ba1

    BRL    1,800   

12.50%, 01/05/22

    845,954
         United Kingdom Gilt Bonds (United Kingdom)   

AAA(d)

       100   

4.00%, 03/07/22

    148,973

Aaa

    GBP    200   

5.75%, 12/07/09

    305,312
             
        

TOTAL FOREIGN GOVERNMENT BONDS

(cost $1,912,523)

    1,639,461
             

MUNICIPAL BONDS 1.8%

   

Arizona 0.2%

   
         Salt River Project Agricultural Improvement & Power District, Revenue Bonds   

Aa1

       500   

4.75%, 01/01/32

    493,815
             

California 0.7%

   
         State of California, General Obligation Unlimited Bonds   

A2

       1,100   

5.00%, 11/01/37

    1,009,481

A2

       300   

5.00%, 12/01/37

    275,268

A2

       700   

5.00%, 06/01/37

    642,712
             
            1,927,461

Georgia 0.1%

   
         Georgia State Road & Tollway Authority, Revenue Bonds   

Aaa

       200   

5.00%, 03/01/21

    207,968
             

Illinois 0.8%

   
         Chicago Illinois Transit Authority, Revenue Bonds   

Aa3

       1,100   

6.899%, 12/01/40

    1,093,389
         Chicago Transit Authority, Series A, Revenue Bonds   

Aa3

       1,100   

6.899%, 12/01/40

    1,069,464
             
            2,162,853
             
        

TOTAL MUNICIPAL BONDS

(cost $4,992,577)

    4,792,097
             

U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS 18.2%

   
         Federal Home Loan Mortgage Corp.   
      187   

5.335%(a), 09/01/35

    193,299
      1,799   

5.50%, 12/01/36-04/01/38

    1,863,014
      295   

6.00%, 04/01/16-09/01/22

    311,494
         Federal National Mortgage Assoc.   
      217   

2.713%(a), 06/01/43

    214,964
      65   

4.256%(a), 05/01/36

    65,260
      2,007   

4.50%, 01/01/22-09/01/35

    2,052,571
      221   

4.572%(a), 12/01/34

    226,461
      95   

4.989%(a), 09/01/34

    95,992
      7,724   

5.00%, 02/01/19-11/01/33

    7,977,547
      1,500   

5.00%, TBA

    1,542,657
      11,625   

5.50%, 07/01/14-09/01/38

    12,058,114
      6,500   

5.50%, TBA

    6,733,597
      11,611   

6.00%, 03/01/17-12/01/38

    12,150,341
      1,500   

6.00%, TBA

    1,567,968
         Government National Mortgage Assoc.   
      8   

4.125%, 10/20/27

    8,493
      9   

4.125%(a), 11/20/29

    9,444
      45   

4.50%, 08/15/33

    46,517
      6   

4.625%(a), 09/20/22

    5,949
      300   

5.00%, TBA

    310,406
      1,000   

6.00%, 08/15/38-10/15/38

    1,044,353
      9   

8.50%, 05/20/30-04/20/31

    10,041
             
        

TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS

(cost $47,148,937)

    48,488,482
             

U.S. TREASURY OBLIGATIONS 11.7%

   
         U.S. Treasury Bonds   
      100   

6.00%, 02/15/26

    124,344
      1,700   

7.25%, 08/15/22

    2,294,469
      3,200   

8.125%, 08/15/19

    4,485,501
      6,200   

8.75%, 05/15/17-08/15/20

    9,038,124
      3,300   

8.875%, 08/15/17

    4,681,875
         U.S. Treasury Inflationary Indexed Bonds, TIPS   

      200   

1.625%, 01/15/15

    221,107
      4,700   

1.875%, 07/15/13

    5,530,955
      100   

2.00%, 01/15/14

    116,973
      800   

2.125%, 01/15/19

    825,114
      1,200   

2.375%, 01/15/17-01/15/25

    1,331,730
      300   

2.50%, 01/15/29

    301,728
         U.S. Treasury Strips, IO   
      1,250   

7.25%, 02/15/22

    731,846
      300   

8.00%, 11/15/21

    178,365
         U.S. Treasury Strips, PO   
      2,400   

8.125 %, 05/15/21-08/15/21

    1,452,163
             
        

TOTAL U.S. TREASURY OBLIGATIONS

(cost $31,416,315)

   31,314,294
             

BANK LOANS(a) 0.6%

   
         Chrysler Financial, Term B (original cost $1,029,325; purchased 07/31/07)(c)(e)   

CAA(d)

       1,084   

4.46%, 08/03/12

    787,859
        

Ford Motor Co. Term B

(original cost $110,381; purchased 04/13/09)(c)(e)

   

CAA+(d)

       110   

4.14%, 12/16/13

    69,214
        

(original cost $378,369; purchased 12/12/06)(c)(e)

   

CAA+(d)

       378   

3.46%, 12/16/13

    237,254
         TXU Corp., Term B3   

B+(d)

       7   

3.93%, 10/10/14 (original cost $7,018; purchased 02/09/09, 04/01/09)(c)(e)

    4,726

B+(d)

       684   

3.97%, 10/10/14 (original cost $632,551; purchased 02/01/08 - 11/06/08)(c)(e)

    460,754
             
        

TOTAL BANK LOANS

(cost $2,180,027)

    1,559,807
             
        

TOTAL LONG-TERM INVESTMENTS

(cost $305,293,993)

    283,818,956
             

SHORT-TERM INVESTMENTS 6.3%

   

U.S. TREASURY OBLIGATIONS 0.6%

   
         U.S. Treasury Bills   
      110   

0.154%, 05/21/09

    109,998
      1,570   

0.157%, 05/14/09

    1,569,983
             
        

TOTAL U.S. TREASURY OBLIGATIONS

(cost $1,679,981)

   1,679,981
             

REPURCHASE AGREEMENT 1.5%

   
      4,000    Credit Suisse Securities LLC, 0.18%, dated 04/30/09, due 05/01/09 in the amount of $4,000,020 (cost $4,000,000; the value of collateral plus accrued interest was $4,100,453)(i)    4,000,000
             
           Contracts/
Notional
Amount
(000)#		          

OPTIONS PURCHASED* 0.1%

   

Call Options

   
         Interest Rate Swap Options,   
      900   

expiring 08/03/2009 @ 3.45%

    31,556
      2,800   

expiring 08/06/2009 @ 3.45%

    98,175
             
        

TOTAL OPTIONS PURCHASED

(cost $41,170)

    129,731
             

         Shares          
AFFILIATED MONEY MARKET MUTUAL FUND 4.1%
       10,913,920   

Dryden Core Investment Fund - Taxable Money Market Series(b)

(cost $10,913,920)

      10,913,920
              
       

TOTAL SHORT-TERM INVESTMENTS

(cost $16,635,071)

      16,723,632
              
       

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN AND SECURITIES SOLD SHORT(f)—112.8%

(cost $321,929,064)(h)

      300,542,588
              
         Contracts/
Notional
Amount
(000)#		          

OPTIONS WRITTEN*

Call Options

   
        10 Year U.S. Treasury Note Futures,   
       2,600   

expiring 05/22/2009, Strike Price $126.00

      (1,625)
        Citigroup, Inc., Equity Option,   
       14   

expiring 09/19/2009, Strike Price $3.00

      (9,520)
        Interest Rate Swap Options,   
       200   

expiring 06/22/2009 @ 2.35%

      (204)
              
             (11,349)
              

Put Options

   
        10 Year U.S. Treasury Note Futures,   
       1,600   

expiring 05/22/2009, Strike Price $119.00

      (5,750)
       1,100   

expiring 05/22/2009, Strike Price $122.00

      (18,047)
        Interest Rate Swap Options,   
       2,600   

expiring 05/22/2009 @ 2.75%

      (7,339)
       700   

expiring 05/22/2009 @ 3.10%

      (3,091)
       200   

expiring 06/22/2009 @ 3.50%

      (567)
              
             (34,794)
              
       

TOTAL OPTIONS WRITTEN

(premiums received $66,106)

     (46,143)
              
         Principal
Amount
(000)#		          

SECURITIES SOLD SHORT (2.1)%

   
        Federal National Mortgage Assoc.   
     $ 1,000   

4.50%, TBA

      (1,014,375)
        Government National Mortgage Assoc.   
       100   

5.50%, TBA

      (103,875)
        U.S. Treasury Bonds   
       3,200   

8.125%, 08/15/19

      (4,485,501)
              
       

TOTAL SECURITIES SOLD SHORT

(proceeds received $5,609,542)

      (5,603,751)
              
       

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN AND SECURITIES SOLD SHORT—110.7%

(cost $316,253,416)

      294,892,694
        Other liabilities in excess of other assets(j)—(10.7)%      (28,460,771)
              
        NET ASSETS —100%    $ 266,431,923
              

 

The following abbreviations are used in the portfolio descriptions:

144A    Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR    American Depositary Receipt
CVT    Convertible Security
FSB    Federal Savings Bank
GDR    Global Depositary Receipt
IO    Interest Only
MTN    Medium Term Note
NR    Not Rated by Moody's or Standard & Poor's
PO    Principal Only Securities
TBA    To Be Announced
TIPS    Treasury Inflation Protected Securities
BRL    Brazilian Real
CNY    Chinese Yuan
EUR    Euro
GBP    British Pound
IND    Indian Rupee
JPY    Japanese Yen
MXN    Mexican Peso
MYR    Malaysian Ringgit
RUB    Russian Ruble
#    Principal and notional amount is shown in U.S. dollars unless otherwise stated.
*    Non-income producing security.
†    The rating reflected is as of April 30, 2009. Rating of certain bonds may have changed subsequent to that date.
(a)    Indicates a variable rate security.
(b)    Prudential Investments LLC, the manager of the Fund, also serves as manager of the Dryden Core Investment Fund - Taxable Money Market Series.
(c)    Private Placement restricted as to resale and does not have a readily available market. The aggregate original cost of such securities is $12,911,246. The aggregate value of $10,160,093 is approximately 3.8% of net assets.
(d)    Standard & Poor's rating.
(e)    Indicates a security that has been deemed illiquid.
(f)    As of April 30, 2009, 123 securities representing $19,936,109 and 7.5% of net assets were fair valued in accordance with the policies adopted by the Board of Trustees.
(g)    Represents issuer in default on interest payments. Non-income producing security.
(h)    The United States federal income tax basis of the Fund’s investments was $337,375,421; accordingly, net unrealized depreciation on investments for federal income tax purposes was $36,832,833 (gross unrealized appreciation - $14,787,570; gross unrealized depreciation - $51,620,403). The difference between book and tax basis is primarily attributable to deferred losses on wash sales.
(i)    Repurchase agreement is collateralized by United States Treasuries or federal agency obligations.
(j)    Other liabilities in excess of other assets includes net unrealized appreciation (depreciation) on futures contracts, forward foreign currency exchange contracts, interest rate and credit default swaps as follows:

Futures contracts open at April 30, 2009:

 

Number of
Contracts

   

Type

    Expiration
Date		    Value at
Trade Date		    Value at
April 30, 2009		    Unrealized
Appreciation
(Depreciation)		  
Long Positions:               
104    90 Day Euro    Mar 10    $ 25,071,337    $ 25,655,500    $ 584,163   
55    90 Day Euro Euribor    Sep 10      17,825,912      17,846,983      21,071   
2    90 Day Sterling    Jun 09      347,242      364,957      17,715   
87    90 Day Sterling    Sep 09      15,254,484      15,870,804      616,320   
107    90 Day Sterling    Dec 09      18,858,326      19,473,756      615,430   
7    90 Day Sterling    Jun 10      1,265,140      1,268,159      3,019   
73    90 Day Sterling    Sep 10      13,176,702      13,187,290      10,588   
69    90 Day Sterling    Dec 10      12,414,684      12,423,869      9,185   
25    5 Year U.S. Treasury Notes    Jun 09      2,955,078      2,928,516      (26,562 ) 
24    10 Year Euro-Bund    Jun 09      3,944,973      3,890,871      (54,102 ) 
                    
               $ 1,796,827 (1) 
                    

 

(1)

Cash of $610,000 has been segregated to cover requirements for open futures contracts as of April 30, 2009.

Forward foreign currency exchange contracts outstanding at April 30, 2009:

 

Purchase Contracts

    Notional
Amount
(000)		    Value at
Settlement Date
Payable		    Current
Value		    Unrealized
Appreciation
(Depreciation)		  

Brazilian Real,

               

Expiring 06/02/09

    BRL    760    $ 322,067    $ 343,897    $ 21,830   

British Pound,

               

Expiring 05/21/09

    GBP    157      227,131      231,956      4,825   

Chinese Yuan,

               

Expiring 05/06/09

    CNY    9,132      1,319,309      1,338,903      19,594   

Expiring 07/15/09

    CNY    18,805      2,759,629      2,765,998      6,369   

Expiring 09/08/09

    CNY    4,481      650,000      660,767      10,767   

Expiring 03/29/10

    CNY    9,073      1,342,860      1,344,789      1,929   

Euro,

               

Expiring 05/14/09

    EUR    1,369      1,770,510      1,811,237      40,727   

Expiring 06/16/09

    EUR    879      1,181,756      1,162,773      (18,983 ) 

Japanese Yen,

               

Expiring 05/07/09

    JPY    1,525      15,641      15,466      (175 ) 

Malaysian Ringgitt,

               

Expiring 08/12/09

    MYR    830      234,007      232,642      (1,365 ) 

Mexican Peso,

               

Expiring 05/19/09

    MXN    44      4,068      3,206      (862 ) 

Expiring 05/29/09

    MXN    620      40,004      44,656      4,652   

Russian Ruble,

               

Expiring 05/06/09

    RUB    33,713      1,193,018      1,016,380      (176,638 ) 
                            
         $ 11,060,000    $ 10,972,670    $ (87,330 ) 
                            

Sale Contracts

    Notional
Amount
(000)		    Value at
Settlement
Date Receivable		    Current
Value		    Unrealized
Appreciation
(Depreciation)		  

Brazilian Real,

               

Expiring 06/02/09

    BRL    2,144    $ 989,429    $ 970,480    $ 18,949   

British Pound,

               

Expiring 05/21/09

    GBP    1,125      1,654,568      1,664,835      (10,267 ) 

Expiring 06/19/09

    GBP    239      366,280      353,558      12,722   

Chinese Yuan,

               

Expiring 05/06/09

    CNY    9,132      1,336,659      1,338,903      (2,244 ) 

Expiring 07/15/09

    CNY    21,071      3,028,000      3,099,226      (71,226 ) 

Expiring 09/08/09

    CNY    5,149      756,808      759,185      (2,377 ) 

Expiring 03/29/10

    CNY    3,155      467,800      467,609      191   

Euro,

               

Expiring 05/07/09

    EUR    2      2,820      2,845      (25 ) 

Expiring 05/14/09

    EUR    1,827      2,421,033      2,417,188      3,845   

Expiring 06/08/09

    EUR    1,117      1,488,818      1,477,674      11,144   

Indian Rupee,

               

Expiring 07/06/09

    IND    609      11,630      12,090      (460 ) 

Malaysian Ringgitt,

               

Expiring 08/12/09

    MYR    821      223,995      230,124      (6,129 ) 

Mexican Peso,

               

Expiring 05/19/09

    MXN    44      3,066      3,206      (140 ) 

Expiring 05/29/09

    MXN    7,070      496,750      509,226      (12,476 ) 

Russian Ruble,

               

Expiring 05/06/09

    RUB    33,713      1,044,640      1,016,380      28,260   
                            
         $ 14,292,296    $ 14,322,529    $ (30,233 ) 
                            

 

Interest rate swap agreements outstanding at April 30, 2009:

 

Counterparty

    Termination
Date		    Notional
Amount#(000)		    Fixed
Rate		    

Floating Rate

    Fair Value     Upfront
Premiums
Paid (Received)		     Unrealized
Appreciation
(Depreciation)		  

Merrill Lynch & Co., Inc. (1)

    12/17/23    $    10,300    5.00 %   

3 Month LIBOR

    $ (1,909,945 )    $ (36,056 )    $ (1,873,889 ) 

Morgan Stanley & Co. (1)

    12/17/23       5,000    5.00 %   

3 Month LIBOR

      (1,565,243 )      78,543        (1,643,786 ) 

Goldman Sachs & Co. (2)

    01/02/12    BRL    5,600    10.15 %   

Brazilian interbank lending rate

      (118,788 )      810        (119,598 ) 

UBS AG (2)

    10/15/10    EUR    100    2.15 %   

FRC - Excluding Tobacco - Non-Revised Consumer Price Index

      5,787        —          5,787   

Barclays Capital, Inc. (1)

    06/15/37    GBP    800    4.00 %   

6 Month LIBOR

      (25,217 )      (3,187 )      (22,030 ) 

Deutsche Bank (1)

    06/15/37    GBP    700    4.25 %   

6 Month LIBOR

      (39,387 )      (17,353 )      (22,034 ) 

Goldman Sachs & Co. (1)

    06/15/37    GBP    800    4.00 %   

6 Month LIBOR

      (25,217 )      (4,628 )      (20,589 ) 

Goldman Sachs & Co. (2)

    09/17/11    GBP    300    4.50 %   

6 Month LIBOR

      24,494        (4,635 )      29,129   

Morgan Stanley & Co. (1)

    06/15/37    GBP    100    4.25 %   

6 Month LIBOR

      (5,626 )      (2,616 )      (3,010 ) 

Morgan Stanley & Co. (1)

    06/15/37    GBP    300    4.00 %   

6 Month LIBOR

      (9,457 )      (1,595 )      (7,862 ) 

Merrill Lynch & Co., Inc. (2)

    11/04/16    MXN
    17,900    8.17 %   

28 day Mexican interbank rate

      51,236        1,115        50,121   
                                      
                 $ (3,617,363 )    $ 10,398      $ (3,627,761 ) 
                                      

 

(1) Fund pays the fixed rate and receives the floating rate.
(2) Fund pays the floating rate and receives the fixed rate.
# Notional Amount is shown in U.S. dollars unless otherwise stated.

Credit default swap agreements outstanding at April 30, 2009:

 

Counterparty

    Termination
Date		    Notional
Amount#(000)
(4)		    Fixed
Rate		    

Reference Entity/Obligation

    Fair Value(3)     Upfront
Premiums
Paid (Received)		     Unrealized
(Depreciation)		  

Credit default swaps on credit indices - Sell Protection (1):

  

Credit Suisse International

    05/25/46    $ 4,396    0.11 %   

ABX HE AAA 06-2

    $ (2,988,958 )    $ (921,486 )    $ (2,067,472 ) 

Credit Suisse International

    08/25/37      800    0.09 %   

ABX HE AAA 07-1

      (595,990 )      (210,535 )      (385,455 ) 

Citigroup, Inc.

    06/20/12      4,091    0.47 %   

Dow Jones CDX HY8 5Y Index

      (314,126 )      —          (314,126 ) 

Citigroup, Inc.

    06/20/12      300    2.14 %   

Dow Jones CDX HY8 5Y Index

      (91,226 )      —          (91,226 ) 

Merrill Lynch & Co.

    06/20/12      1,600    2.08 %   

Dow Jones CDX HY8 5Y Index

      (489,135 )      —          (489,135 ) 

Morgan Stanley & Co.

    12/20/15      530    0.46 %   

Dow Jones CDX IG5 10Y Index

      (162,580 )      —          (162,580 ) 

Morgan Stanley & Co.

    12/20/15      1,900    0.46 %   

Dow Jones CDX IG5 10Y Index

      (582,322 )      —          (582,322 ) 
                                   
              $ (5,224,337 )    $ (1,132,021 )    $ (4,092,316 ) 
                                   

The Fund entered into credit default swap agreements on asset-backed securities and credit indices as the protection seller to provide a measure of protection against the current portfolio of investments’ exposure to market conditions, or to take an active position with respect to the likelihood of a particular issuer’s default or the referenced entity’s credit soundness.

Credit default swaps—Buy Protection (2):

 

Counterparty

    Termination
Date		    Notional
Amount#(000) (4)		    Fixed
Rate		    

Reference Entity/Obligation

    Fair Value     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Barclays Capital, Inc.

    09/20/11    $ 100    0.54 %   

DaimlerChrysler N.A., 5.75%, due 09/08/11

    $ 3,755      $ —        $ 3,755   

Barclays Capital, Inc.

    06/20/13      644    5.00 %   

Dow Jones CDX HY10 Index

      112,513        7,817        104,696   

UBS AG

    06/20/13      644    5.00 %   

Dow Jones CDX HY10 Index

      112,512        7,488        105,024   

Merrill Lynch & Co.

    12/20/11      300    0.00 %   

Dow Jones CDX HY7 Index

      276,542        58,674        217,868   

Deutsche Bank

    06/20/18      1,854    1.50 %   

Dow Jones CDX IG10 10Y Index

      31,349        (27,804 )      59,153   

Goldman Sachs & Co.

    06/20/18      2,245    1.50 %   

Dow Jones CDX IG10 10Y Index

      37,949        (74,080 )      112,029   

Morgan Stanley & Co.

    06/20/18      5,270    1.50 %   

Dow Jones CDX IG10 10Y Index

      89,097        (139,892 )      228,989   

Deutsche Bank

    06/20/13      2,245    1.55 %   

Dow Jones CDX IG10 5Y Index

      50,152        (7,954 )      58,106   

Morgan Stanley & Co.

    12/20/12      700    0.14 %   

Dow Jones CDX IG5 Index

      146,747        —          146,747   

Morgan Stanley & Co.

    12/20/12      2,700    0.14 %   

Dow Jones CDX IG5 Index

      566,022        —          566,022   

Barclays Capital, Inc.

    12/20/11      1,300    0.75 %   

Dow Jones CDX IG7 Index

      115,600        1,109        114,491   

Barclays Capital, Inc.

    12/20/17      976    0.80 %   

Dow Jones CDX IG9 10Y Index

      60,855        11,452        49,403   

Goldman Sachs & Co.

    12/20/17      3,904    0.80 %   

Dow Jones CDX IG9 10Y Index

      243,417        29,920        213,497   

Merrill Lynch & Co.

    12/20/17      1,952    0.80 %   

Dow Jones CDX IG9 10Y Index

      121,709        36,005        85,704   

Morgan Stanley & Co.

    12/20/17      4,099    0.80 %   

Dow Jones CDX IG9 10Y Index

      255,588        90,089        165,499   

JPMorgan Chase Bank

    12/20/11      943    1.65 %   

Dow Jones CDX XO7 Index

      145,831        (7,145 )      152,976   

Deutsche Bank

    03/20/14      300    1.25 %   

Embarq Corp., 7.08%, due 06/01/16

      (5,704 )      —          (5,704 ) 

Deutsche Bank

    03/20/14      200    1.27 %   

Embarq Corp., 7.08%, due 06/01/16

      (4,031 )      —          (4,031 ) 

Deutsche Bank

    03/20/14      200    1.43 %   

Embarq Corp., 7.08%, due 06/01/16

      (5,446 )      31        (5,477 ) 

Morgan Stanley & Co.

    03/20/14      100    1.30 %   

Embarq Corp., 7.08%, due 06/01/16

      (2,137 )      14        (2,151 ) 

Deutsche Bank

    09/20/11      200    0.62 %   

Nationwide Health, 6.50%, due 07/15/11

      19,539        —          19,539   

Morgan Stanley & Co.

    06/20/16      300    0.39 %   

Omnicom Group, Inc., 5.90%, due 04/15/16

      10,997        —          10,997   

Goldman Sachs & Co.

    12/20/12      600    0.24 %   

Wal-Mart Stores, Inc., 5.75%, due 12/19/30

      10,209        —          10,209   

Barclays Capital, Inc.

    03/20/12      100    0.21 %   

XL Capital Ltd., 6.50%, due 01/15/12

      16,519        —          16,519   
                                   
              $ 2,409,584      $ (14,276 )    $ 2,423,860   
                                   

 

(1) If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount up to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities up to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) The fair value of credit default swap agreements on asset-backed securities and credit indices serves 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 be closed/sold as of the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
(4) Notional amount represents the maximum potential amount the Fund could be required to pay 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 that particular swap agreement.
# Notional Amount is shown in U.S. dollars unless otherwise stated.

 

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below.

Level 1 - 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 (including the Fund's own assumptions in determining the fair value of investments)

The following is a summary of the inputs used as of April 30, 2009 in valuing the Fund's assets carried at fair value:

 

Valuation inputs

    Investments in
Securities		     Other
Financial
Instruments*		  

Level 1 - Quoted Prices

    $ 150,550,712      $ 1,796,827   

Level 2 - Other Significant Observable Inputs

      149,929,331        (5,419,567 ) 

Level 2 - Other Significant Observable Inputs - Short

      (5,649,894 )      —     

Level 3 - Significant Unobservable Inputs

      62,545        5,787   
                

Total

    $ 294,892,694      $ (3,616,953 ) 
                

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Investments
in Securities		     Other Financial
Instruments*		  

Balance as of 7/31/08

    $ 75,730      $ (561 ) 

Accrued discounts/premiums

      1        —     

Realized gain (loss)

      292        —     

Change in unrealized appreciation (depreciation)

      (18,844 )      6,348   

Net purchases (sales)

      (20,922 )      —     

Transfers in and/or out of Level 3

      26,288        —     
                

Balance as of 4/30/09

    $ 62,545      $ 5,787   
                

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures,

forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The following is a summary of the fair value of the derivative instruments utilized by the Fund as of April 30, 2009 categorized by risk exposure:

 

     Derivative Fair Value
at 4/30/09		  

Credit contracts

    $ (1,668,456 ) 

Equity contracts

      (9,520 ) 

Foreign exchange contracts

      (117,563 ) 

Interest rate contracts

      (1,737,826 ) 
        

Total

    $ (3,533,365 ) 
        

 

Notes to Schedules of Investments (Unaudited)

Securities Valuation: Securities listed on a securities exchange (other than options on securities and indices) are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via Nasdaq are valued at the Nasdaq official closing price (“NOCP”) on the day of valuation, or if there was no NOCP, at the last sale price. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by the subadvisers, in consultation with Prudential Investments LLC (“PI” or “Manager”), to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker.

Corporate bonds (other than convertible debt securities) and U.S. government securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by an Adviser in consultation with the Manager to be over-the-counter, are valued by an independent pricing agent or more than one principal market maker (if available, otherwise by a principal market maker or a primary market dealer). Convertible debt securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by an Adviser in consultation with the Manager to be over-the-counter, are valued by an independent pricing agent or at the mean between the last reported bid and asked prices (or at the last bid price in the absence of an asked price) provided by more than one principal market maker (if available, otherwise by a principal market maker or a primary market dealer).

Municipal securities (including commitments to purchase such securities on a “when-issued” basis) are valued as of the close of trading on the New York Stock Exchange, on the basis of prices provided by a pricing service which uses information with respect to transactions in comparable securities and various relationships between securities in determining values.

Options on securities and indices traded on an exchange are valued on their last sales price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in the absence of an asked price.

Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price.

Repurchase Agreements: In connection with transactions in repurchase agreements with the United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transactions exceeds one business day, the value of the collateral is marked-to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.

Securities for which market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Fund’s normal pricing time, are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures. When determining the fair valuation of securities some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Market values of investments traded in a foreign currency are translated into U.S. dollars at the current rates of exchange.

Forward currency contracts are valued daily at current exchange rates. Swaps are valued by “marking-to-market” the unrealized gains or losses daily.

Investments in mutual funds are valued at the net asset value as of the close of the New York Stock Exchange on the date of valuation.

Short-term debt securities, which mature in sixty days or less, are valued at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. Short-term debt securities which mature in more than sixty days are valued at current market quotations.

Certain Funds invest in the Taxable Money Market Series (the “Series”), a portfolio of Dryden Core Investment Fund. The Series is a money market mutual fund registered under the Investment Company Act of 1940, as amended, and managed by PI.

Other information regarding the Funds is available in the Funds’ most recent Report to Shareholders. This information is available on The Securities and Exchange Commission’s website (www.sec.gov).

Item 2. Controls and Procedures

 

  (a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

 

  (b) There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

Item 3. Exhibits

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – 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) Target Asset Allocation Funds

 

By (Signature and Title)*     

/s/    Deborah A. Docs                                 

     Deborah A. Docs
     Secretary of the Fund

Date June 22, 2009

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/    Judy A. Rice

     Judy A. Rice
     President and Principal Executive Officer  

Date June 22, 2009

 

By (Signature and Title)*     

/s/    Grace C. Torres                                     

     Grace C. Torres
     Treasurer and Principal Financial Officer

Date June 22, 2009

 

 

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