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:    7/31/2010
Date of reporting period:    10/31/2009

Item 1. Schedule of Investments

Target Conservative Allocation Fund

Schedule of Investments

as of October 31, 2009 (Unaudited)

 

Shares

   

Description

    Value

LONG-TERM INVESTMENTS 100.6%

   

COMMON STOCKS 38.3%

   

Aerospace & Defense 1.2%

   
350   

AAR Corp.(a)

    $ 6,864
600   

Boeing Co. (The)

      28,680
3,100   

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

      62,775
9,763   

General Dynamics Corp.

      612,140
1,250   

Hexcel Corp.(a)

      13,750
1,500   

Lockheed Martin Corp.

      103,185
275   

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

      6,867
5,500   

Northrop Grumman Corp.

      275,715
200   

Teledyne Technologies, Inc.(a)

      6,832
350   

TransDigm Group, Inc.

      13,713
5,121   

United Technologies Corp.

      314,685
         
        1,445,206
         

Air Freight & Couriers 0.1%

   
1,240   

FedEx Corp.

      90,136
         

Auto Components

   
2,100   

Johnson Controls, Inc.

      50,232
         

Automobiles 0.1%

   
3,200   

Harley-Davidson, Inc.

      79,744
         

Automotive Parts

   
650   

Autoliv, Inc.

      21,827
         

Beverages 0.4%

   
800   

Anheuser-Busch InBev NV (Belgium)(a)

      37,744
1,690   

Coca-Cola Co. (The)

      90,094
1,100   

Molson Coors Brewing Co. (Class B Stock)

      53,867
4,999   

PepsiCo, Inc.

      302,689
         
        484,394
         

Biotechnology 0.5%

   
2,375   

Amgen, Inc.(a)

      127,609
85   

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

      7,598
1,700   

Genzyme Corp.(a)

      86,020
9,700   

Gilead Sciences, Inc.(a)

      412,735
872   

Seattle Genetics, Inc.(a)

      7,918
         
        641,880
         

Business Services 0.6%

   
1,140   

ICON PLC, ADR (Ireland)(a)

      28,158
2,962   

MasterCard, Inc. (Class A Stock)

      648,737
1,730   

Verisk Analytics, Inc.(a)

      47,454
         
        724,349
         

Capital Markets 1.0%

   
2,325   

Apollo Investment Corp.

    20,925
2,100   

Bank of New York Mellon Corp. (The)

    55,986
4,500   

E*Trade Financial Corp.(a)

    6,570
5,866   

Goldman Sachs Group, Inc. (The)

    998,217
3,200   

Morgan Stanley

    102,784
425   

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

    11,926
       
      1,196,408
       

Chemicals 1.5%

   
1,777   

Air Products & Chemicals, Inc.

    137,060
650   

Airgas, Inc.

    28,834
250   

Cytec Industries, Inc.

    8,292
19,836   

Dow Chemical Co. (The)

    465,749
1,000   

Eastman Chemical Co.

    52,510
960   

Ecolab, Inc.

    42,202
6,104   

Huntsman Corp.

    48,527
2,175   

Key Energy Services, Inc.(a)

    15,899
1,924   

Potash Corp. of Saskatchewan, Inc. (Canada)

    178,509
6,111   

PPG Industries, Inc.

    344,844
5,753   

Praxair, Inc.

    457,018
1,075   

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

    43,666
900   

Sensient Technologies Corp.

    22,761
1,180   

Terra Industries, Inc.

    37,489
275   

Valspar Corp. (The)

    6,977
10,000   

Yingde Gases (Cayman Islands)(a)

    11,922
       
      1,902,259
       

Clothing & Apparel 0.6%

   
1,300   

Coach, Inc.

    42,861
10,645   

NIKE, Inc. (Class B Stock)

    661,906
1,738   

True Religion Apparel, Inc.(a)

    44,788
       
      749,555
       

Commercial Banks 1.6%

   
1,150   

BancorpSouth, Inc.

    25,967
800   

Danvers Bancorp, Inc.

    10,984
7,861   

Fifth Third Bancorp

    70,277
830   

FirstMerit Corp.

    15,729
5,300   

HSBC Holdings PLC, ADR (United Kingdom)

    293,567
10,200   

KeyCorp

    54,978
900   

Northern Trust Corp.

    45,225
7,102   

PNC Financial Services Group, Inc.

    347,572
950   

Prosperity Bancshares, Inc.

    34,001
9,800   

Regions Financial Corp.

    47,432
100   

Territorial Bancorp, Inc.(a)

    1,649
375   

Trustmark Corp.

    7,106
290   

UMB Financial Corp.

    11,533
275   

United Bankshares, Inc.

    4,909
225   

United Financial Bancorp, Inc.

    2,891
38,813   

Wells Fargo & Co.

    1,068,134
       
      2,041,954
       

Commercial Services 0.2%

   
300   

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

    17,130
1,955   

GEO Group, Inc. (The)(a)

    41,348
2,440   

Moody’s Corp.

    57,779
500   

Pharmaceutical Product Development, Inc.

    10,775
2,630   

Waste Connections, Inc.(a)

    82,661
       
      209,693
       

Commercial Services & Supplies 0.3%

   
1,126   

Coinstar, Inc.(a)

    35,739
1,165   

Sotheby’s

    18,477
8,764   

Waste Management, Inc.

    261,868
       
      316,084
       

Communication Equipment 0.2%

   
9,646   

Juniper Networks, Inc.(a)

    246,069
       

Computer Hardware 0.9%

   
6,087   

Apple, Inc.(a)

    1,147,399
700   

Dell, Inc.(a)

    10,143
340   

Radiant Systems, Inc.(a)

    3,346
       
      1,160,888
       

Computer Services & Software 1.1%

   
1,100   

Accenture PLC (Class A Stock) (Ireland)

    40,788
2,011   

Compellent Technologies, Inc.(a)

    36,882
5,960   

EMC Corp.(a)

    98,161
350   

Global Payments, Inc.

    17,230
2,030   

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

    1,088,324
1,020   

Informatica Corp.(a)

    21,655
2,081   

Netezza Corp.(a)

    19,228
3,326   

Novell, Inc.(a)

    13,603
390   

Nuance Communications, Inc.(a)

    5,113
       
      1,340,984
       

Computers & Peripherals 1.2%

   
2,330   

Cognizant Technology Solutions Corp. (Class A Stock)(a)

    90,054
9,245   

Hewlett-Packard Co.

    438,768
7,422   

International Business Machines Corp.

    895,167
1,975   

QLogic Corp.(a)

    34,642
       
      1,458,631
       

Construction

   
200   

Granite Construction, Inc.

    5,712
200   

Meritage Homes Corp.(a)

    3,648
       
      9,360
       

Consumer Finance 0.3%

   
8,834   

American Express Co.

    307,777
950   

Assured Guaranty Ltd. (Bermuda)

    15,751
1,100   

First Cash Financial Services, Inc.(a)

    18,898
       
      342,426
       

Consumer Products & Services 0.1%

   
3,300   

Avon Products, Inc.

    105,765
1,560   

Ritchie Bros. Auctioneers, Inc. (Canada)

    34,195
200   

Snap-on, Inc.

    7,306
250   

Toro Co. (The)

    9,255
709   

Vitamin Shoppe, Inc.(a)

    12,457
       
      168,978
       

Containers & Packaging

   
720   

Owens-Illinois, Inc.(a)

    22,954
1,200   

Packaging Corp. of America

    21,936
       
      44,890
       

Distribution/Wholesale

   
150   

Watsco, Inc.

    7,683
       

Diversified Consumer Services

   
1,575   

Regis Corp.

    25,578
       

Diversified Financial Services 1.9%

   
600   

Affiliated Managers Group, Inc.(a)

    38,094
37,420   

Bank of America Corp.

    545,583
3,630   

Charles Schwab Corp. (The)

    62,944
24,753   

Citigroup, Inc.

    101,240
470   

CME Group, Inc.

    142,227
1,275   

Conseco, Inc.(a)

    6,643
1,175   

Fifth Street Finance Corp.

    11,550
36,152   

JPMorgan Chase & Co.

    1,510,069
2,250   

MF Global Ltd. (Bermuda)(a)

    16,020
       
      2,434,370
       

Diversified Telecommunication Services 0.6%

   
15,083   

AT&T, Inc.

    387,181
1,700   

CenturyTel, Inc.

    55,182
12,439   

Verizon Communications, Inc.

    368,070
       
      810,433
       

Education

   
900   

DeVry, Inc.

    49,761
       

Electric 0.1%

   
2,582   

Southern Co.

    80,533
       

Electric Utilities 0.5%

   
3,710   

AES Corp. (The)(a)

    48,490

7,500   

Edison International

    238,650
4,200   

Exelon Corp.

    197,232
2,200   

FPL Group, Inc.

    108,020
2,434   

Public Service Enterprise Group, Inc.

    72,533
       
      664,925
       

Electrical Equipment 0.1%

   
2,868   

Emerson Electric Co.

    108,267
425   

Smith (A.O.) Corp.

    16,843
       
      125,110
       

Electronic Components 0.1%

   
400   

Checkpoint Systems, Inc.(a)

    5,428
1,332   

DTS, Inc.(a)

    37,629
2,100   

Flextronics International Ltd. (Singapore)(a)

    13,608
675   

FLIR Systems, Inc.(a)

    18,772
3,600   

GrafTech International Ltd.(a)

    48,600
1,877   

Universal Electronics, Inc.(a)

    38,666
       
      162,703
       

Electronic Components & Equipment

   
795   

A123 Systems, Inc.(a)

    15,630
       

Electronic Equipment & Instruments 0.2%

   
200   

Itron, Inc.(a)

    12,008
8,215   

Tyco Electronics Ltd. (Switzerland)

    174,569
       
      186,577
       

Electronics

   
1,465   

Coherent, Inc.(a)

    36,815
       

Energy Equipment & Services 0.4%

   
1,600   

Diamond Offshore Drilling, Inc.

    152,400
8,913   

Halliburton Co.

    260,349
400   

National Oilwell Varco, Inc.(a)

    16,396
625   

Oil States International, Inc.(a)

    21,525
500   

Unit Corp.(a)

    19,540
3,750   

Vantage Drilling Co. (Cayman Islands)(a)

    6,187
1,800   

Weatherford International Ltd. (Switzerland)(a)

    31,554
       
      507,951
       

Engineering/Construction

   
275   

URS Corp.(a)

    10,687
       

Entertainment & Leisure 0.1%

   
1,023   

Bally Technologies, Inc.(a)

    40,296
1,560   

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

    49,920
350   

Life Time Fitness, Inc.(a)

    7,542
2,000   

Royal Caribbean Cruises Ltd. (Liberia)(a)

    40,460
       
      138,218
       

Environmental Services

   
365   

Republic Services, Inc.

    9,457
       

Exchange Traded Fund 0.1%

   
1,225   

iShares Russell 2000 Value Index Fund

    64,766
       

Farming & Agriculture 0.1%

   
1,250   

Monsanto Co.

    83,975
       

Financial - Bank & Trust 0.1%

   
750   

Astoria Financial Corp.

    7,485
6,700   

Banco Santander Brasil SA, ADR (Brazil)(a)

    79,462
1,395   

Broadpoint Gleacher Securities, Inc.(a)

    8,886
       
      95,833
       

Financial - Brokerage 0.5%

   
8,044   

Visa, Inc. (Class A Stock)

    609,413
       

Financial Services 0.6%

   
4,151   

Capital One Financial Corp.

    151,927
425   

Eaton Vance Corp.

    12,066
1,710   

First Commonwealth Financial Corp.

    8,977
500   

Franklin Resources, Inc.

    52,315
500   

Jefferies Group, Inc.(a)

    13,050
525   

Raymond James Financial, Inc.

    12,395
100   

Student Loan Corp. (The)

    4,205
15,678   

U.S. Bancorp

    364,043
5,300   

Western Union Co. (The)

    96,301
       
      715,279
       

Food & Drug Retailing 0.2%

   
7,734   

CVS Caremark Corp.

    273,010
       

Food & Staples Retailing 0.2%

   
775   

BJ’s Wholesale Club, Inc.(a)

    27,148
11,500   

Safeway, Inc.

    256,795
       
      283,943
       

Foods 0.2%

   
600   

General Mills, Inc.

    39,552
5,699   

Nestle SA (Switzerland)

    265,012
       
      304,564
       

Gaming

   
3,885   

Shuffle Master, Inc.(a)

    30,342
       

Healthcare Equipment & Supplies 0.3%

   
2,030   

Baxter International, Inc.

    109,742
1,542   

Cutera, Inc.(a)

    13,893
750   

MEDNAX, Inc.(a)

    38,940
3,710   

Medtronic, Inc.

    132,447
600   

Teleflex, Inc.

    29,850
1,974   

Thoratec Corp.(a)

    51,837
       
      376,709
       

Healthcare Products 0.2%

   
4,378   

Covidien PLC (Ireland)

    184,401
200   

Hospira, Inc.(a)

    8,928
500   

Inverness Medical Innovations, Inc.(a)

    19,005
350   

West Pharmaceutical Services, Inc.

    13,815
       
      226,149
       

Healthcare Providers & Services 0.2%

   
3,900   

Cardinal Health, Inc.

    110,526
1,110   

Centene Corp.(a)

    19,791
2,000   

CIGNA Corp.

    55,680
1,806   

Lincare Holdings, Inc.(a)

    56,727
1,400   

Patterson Cos., Inc.(a)

    35,742
       
      278,466
       

Healthcare Services 0.1%

   
500   

Addus Homecare Corp.(a)

    4,575
850   

Amedisys, Inc.(a)

    33,821
350   

AMERIGROUP Corp.(a)

    7,718
200   

Covance, Inc.(a)

    10,336
830   

Genoptix, Inc.(a)

    28,876
400   

Healthways, Inc.(a)

    6,432
841   

Psychiatric Solutions, Inc.(a)

    17,358
2,139   

UnitedHealth Group, Inc.

    55,507
       
      164,623
       

Healthcare Techology

   
1,972   

Eclipsys Corp.(a)

    36,975
       

Hotels & Motels 0.2%

   
295   

Choice Hotels International, Inc.

    8,797
4,246   

Wynn Resorts Ltd.(a)

    230,218
       
      239,015
       

Hotels, Restaurants & Leisure 1.0%

   
3,667   

Carnival Corp. (Panama)

    106,783
2,320   

International Game Technology

    41,389
925   

International Speedway Corp. (Class A Stock)

    23,597
700   

Las Vegas Sands Corp.(a)

    10,563
17,525   

McDonald’s Corp.

    1,027,140
813   

Steak N Shake Co. (The)(a)

    9,471
       
      1,218,943
       

Household Durables 0.1%

   
1,900   

Fortune Brands, Inc.

    74,005
       

Household Products 0.1%

   
2,000   

Kimberly-Clark Corp.

    122,320
       

Household/Personal Care 0.1%

   
1,480   

Colgate-Palmolive Co.

    116,372
       

Independent Power Producers & Energy Traders 0.1%

   
2,749   

NRG Energy, Inc.(a)

    63,200
       

Industrial Conglomerates 0.2%

   
2,030   

3M Co.

    149,347
4,625   

Tyco International Ltd. (Switzerland)

    155,169
       
      304,516
       

Insurance 1.2%

   
1,373   

ACE Ltd. (Switzerland)(a)

    70,517
1,100   

Aflac, Inc.

    45,639
7,400   

Allstate Corp. (The)

    218,818
700   

Aspen Insurance Holdings Ltd. (Bermuda)

    18,060
350   

Delphi Financial Group, Inc. (Class A Stock)

    7,595
7,400   

Genworth Financial, Inc. (Class A Stock)(a)

    78,588
975   

Hanover Insurance Group, Inc. (The)

    41,009
1,437   

HCC Insurance Holdings, Inc.

    37,922
4,268   

Lincoln National Corp.

    101,707
1,600   

Loews Corp.

    52,960
2,200   

Marsh & McLennan Cos., Inc.

    51,612
10,765   

MetLife, Inc.

    366,333
525   

Protective Life Corp.

    10,106
300   

Reinsurance Group of America, Inc.

    13,830
300   

State Auto Financial Corp.

    4,878
5,789   

Travelers Cos., Inc. (The)

    288,234
275   

United Fire & Casualty Co.

    4,807
1,900   

Unum Group

    37,905
583   

Validus Holdings Ltd. (Bermuda)

    14,750
6,000   

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

    98,460
       
      1,563,730
       

Internet & Catalog Retail 0.4%

   
3,536   

Amazon.com, Inc.(a)

    420,112
420   

Priceline.com, Inc.(a)

    66,272
       
      486,384
       

Internet Services 0.1%

   
350   

Digital River, Inc.(a)

    7,991
1,285   

Monster Worldwide, Inc.(a)

    18,658
485   

NetFlix, Inc.(a)

    25,923
4,269   

TIBCO Software, Inc.(a)

    37,354
       
      89,926
       

Internet Software & Services 0.5%

   
670   

Baidu, Inc., ADR (Cayman Islands)(a)

    253,206
1,100   

Check Point Software Technologies Ltd. (Israel)(a)

    34,177
10,593   

Oracle Corp.

    223,512
400   

VeriSign, Inc.(a)

    9,124
10,255   

Yahoo!, Inc.(a)

    163,055
       
      683,074
       

IT Services 0.1%

   
550   

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

    26,191
1,150   

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

    35,616
875   

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

    16,415
       
      78,222
       

Life Science Tools & Services 0.1%

   
2,941   

Thermo Fisher Scientific, Inc.(a)

    132,345
       

Machinery 0.4%

   
1,550   

Actuant Corp. (Class A Stock)

    24,195
850   

Bucyrus International, Inc.

    37,757
2,500   

Cummins, Inc.

    107,650
1,293   

Deere & Co.

    58,896
700   

General Cable Corp.(a)

    21,798
650   

Kaydon Corp.

    22,744
700   

Lincoln Electric Holdings, Inc.

    33,208
225   

Lindsay Corp.

    7,387
250   

Nordson Corp.

    13,193
5,235   

PACCAR, Inc.

    195,841
900   

Robbins & Myers, Inc.

    20,880
200   

Valmont Industries, Inc.

    14,454
       
      558,003
       

Machinery & Equipment 0.1%

   
1,108   

Caterpillar, Inc.

    61,007
549   

Regal-Beloit Corp.

    25,737
       
      86,744
       

Manufacturing 0.2%

   
2,530   

Danaher Corp.

    172,622
7,930   

General Electric Co.

    113,082
300   

Harsco Corp.

    9,447
       
      295,151
       

Media 0.5%

   
4,300   

CBS Corp. (Class B Stock)

    50,611
8,700   

Comcast Corp. (Special Class A Stock)

    121,974
5,555   

DIRECTV Group, Inc. (The)(a)

    146,096
1,900   

Discovery Communications, Inc. (Class A Stock)(a)

    52,250
700   

McGraw-Hill Cos., Inc. (The)

    20,146
1,550   

Regal Entertainment Group (Class A Stock)

    19,546
3,300   

Time Warner, Inc.

    99,396
3,837   

Walt Disney Co. (The)

    105,019
575   

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

    20,251
       
      635,289
       

Medical Supplies & Equipment 0.2%

   
330   

Advanced Energy Industries, Inc.(a)

    4,029
7,008   

Boston Scientific Corp.(a)

    56,905
700   

Henry Schein, Inc.(a)

    36,981
469   

Quality Systems, Inc.

    28,618
2,800   

St. Jude Medical, Inc.(a)

    95,424
359   

SurModics, Inc.(a)

    9,194
1,075   

Vital Images, Inc.(a)

    12,266
650   

Zoll Medical Corp.(a)

    12,623
       
      256,040
       

Metals & Mining 0.8%

   
1,844   

BHP Billiton Ltd., ADR (Australia)

    120,930
6,500   

BHP Billiton PLC, ADR (United Kingdom)

    352,300
550   

Coeur d’Alene Mines Corp.(a)

    11,044
2,439   

Freeport-McMoRan Copper & Gold, Inc.(a)

    178,925
1,500   

Gold Fields Ltd., ADR (South Africa)

    19,125
970   

Northwest Pipe Co.(a)

    29,197
2,897   

Nucor Corp.

    115,445
1,623   

Peabody Energy Corp.

    64,255
600   

Precision Castparts Corp.

    57,228
1,300   

Teck Resources Ltd. (Class B Stock) (Canada)(a)

    37,596
2,025   

Thompson Creek Metals Co., Inc. (Canada)(a)

    20,614
400   

Timken Co.

    8,812
300   

Walter Energy, Inc.

    17,550
       
      1,033,021
       

Multi-Line Retail 0.1%

   
3,000   

JC Penney Co., Inc.

    99,390
       

Multi-Utilities 0.1%

   
1,600   

Dominion Resources, Inc.

    54,544
1,400   

Wisconsin Energy Corp.

    61,138
       
      115,682
       

Office Electronics 0.1%

   
14,800   

Xerox Corp.

    111,296
       

Office Equipment

   
200   

School Specialty, Inc.(a)

    4,450
       

Oil, Gas & Consumable Fuels 4.0%

   
4,757   

Anadarko Petroleum Corp.

    289,844
3,813   

Apache Corp.

    358,880
675   

Arena Resources, Inc.(a)

    25,150
100   

Ashland, Inc.

    3,454
475   

Cabot Oil & Gas Corp.

    18,273
5,652   

Chevron Corp.

    432,604
650   

Concho Resources, Inc.(a)

    24,771
6,400   

ConocoPhillips

    321,152
100   

Core Laboratories NV (Netherlands)

    10,430
684   

EOG Resources, Inc.

    55,855
3,947   

Exxon Mobil Corp.

    282,881

1,025   

GMX Resources, Inc.(a)

    13,048
4,057   

Hess Corp.

    222,080
756   

Lufkin Industries, Inc.

    43,130
4,800   

Marathon Oil Corp.

    153,456
900   

Noble Energy, Inc.

    59,067
4,578   

Occidental Petroleum Corp.

    347,379
250   

ONEOK, Inc.

    9,053
11,149   

Petroleo Brasileiro SA, ADR (Brazil)

    515,307
1,625   

Petroquest Energy, Inc.(a)

    9,961
4,400   

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

    255,904
500   

Schlumberger Ltd. (Netherlands)

    31,100
1,760   

Southwestern Energy Co.(a)

    76,701
350   

St. Mary Land & Exploration Co.

    11,935
350   

Swift Energy Co.(a)

    7,413
2,781   

Total SA, ADR (France)

    167,055
10,574   

Transocean Ltd. (Switzerland)(a)

    887,264
500   

Ultra Petroleum Corp. (Canada)(a)

    24,275
5,700   

Valero Energy Corp.

    103,170
275   

WGL Holdings, Inc.

    9,092
370   

Whiting Petroleum Corp.(a)

    20,868
5,723   

XTO Energy, Inc.

    237,848
       
      5,028,400
       

Paper & Forest Products

   
1,175   

Louisiana-Pacific Corp.(a)

    6,169
       

Pharmaceuticals 2.5%

   
15,173   

Abbott Laboratories

    767,299
1,850   

Allergan, Inc.

    104,062
2,735   

American Medical Systems Holdings, Inc.(a)

    42,174
1,405   

BioMarin Pharmaceutical, Inc.(a)

    21,862
9,888   

Bristol-Myers Squibb Co.

    215,558
740   

Celgene Corp.(a)

    37,777
475   

Cubist Pharmaceuticals, Inc.(a)

    8,047
10,400   

Eli Lilly & Co.

    353,704
2,280   

Express Scripts, Inc.(a)

    182,218
825   

Herbalife Ltd. (Cayman Islands)

    27,761
1,900   

Johnson & Johnson

    112,195
1,620   

Mead Johnson Nutrition Co. (Class A Stock)

    68,105
670   

Medco Health Solutions, Inc.(a)

    37,600
15,996   

Merck & Co., Inc.

    494,756
599   

Onyx Pharmaceuticals, Inc.(a)

    15,933
27,663   

Pfizer, Inc.

    471,101
597   

Regeneron Pharmaceuticals, Inc.(a)

    9,373
1,900   

Schering-Plough Corp.

    53,580
1,620   

Teva Pharmaceutical Industries Ltd., ADR (Israel)

    81,778
906   

Vivus, Inc.(a)

    7,157
       
      3,112,040
       

Professional Services

   
983   

Duff & Phelps Corp. (Class A Stock)

    16,898
850   

Watson Wyatt Worldwide, Inc. (Class A Stock)

    37,043
       
      53,941
       

Real Estate Investment Trusts 0.5%

   
9,800   

Annaly Capital Management, Inc.

    165,718
1,627   

AvalonBay Communities, Inc.

    111,905
1,068   

Boston Properties, Inc.

    64,902
7,975   

Chimera Investment Corp.

    27,833
1,100   

DiamondRock Hospitality Co.(a)

    8,371
2,376   

Equity Residential

    68,619
200   

First Potomac Realty Trust

    2,270
550   

LaSalle Hotel Properties

    9,438
600   

Medical Properties Trust, Inc.

    4,800
5,000   

MFA Financial, Inc.

    37,100
1,046   

Redwood Trust, Inc.

    14,581
800   

Simon Property Group, Inc.

    54,312
1,358   

Vornado Realty Trust

    80,883
       
      650,732
       

Real Estate Management & Development

   
375   

Jones Lang LaSalle, Inc.

    17,569
       

Restaurants

   
1,955   

BJ’s Restaurants, Inc.(a)

    31,202
       

Retail & Merchandising 1.3%

   
5,533   

Best Buy Co., Inc.

    211,250
325   

Brinker International, Inc.

    4,108
2,233   

Cash America International, Inc.

    67,571
1,600   

GameStop Corp. (Class A Stock)(a)

    38,864
2,013   

Genesco, Inc.(a)

    52,479
4,634   

Lowe’s Cos., Inc.

    90,687
1,350   

Nordstrom, Inc.

    42,903
400   

Sonic Corp.(a)

    3,740
10,311   

Staples, Inc.

    223,749
1,000   

Starbucks Corp.(a)

    18,980
5,601   

Target Corp.

    271,256
4,313   

TJX Cos., Inc.

    161,091
4,459   

Wal-Mart Stores, Inc.

    221,523
3,500   

Walgreen Co.

    132,405
2,796   

Yum! Brands, Inc.

    92,128
       
      1,632,734
       

Road & Rail 0.2%

   
2,839   

Burlington Northern Santa Fe Corp.

    213,833
1,365   

Landstar System, Inc.

    48,103
       
      261,936
       

Semiconductors 0.3%

   
5,274   

Applied Materials, Inc.

    64,343
1,378   

FormFactor, Inc.(a)

    23,412
4,196   

ON Semiconductor Corp.(a)

    28,071
975   

OYO Geospace Corp.(a)

    25,594
1,600   

Rovi Corp.(a)

    44,080
213   

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

    65,130
230   

Silicon Laboratories, Inc.(a)

    9,637

1,375   

Skyworks Solutions, Inc.(a)

    14,341
4,820   

Teradyne, Inc.(a)

    40,343
2,650   

TriQuint Semiconductor, Inc.(a)

    14,283
2,445   

Varian Semiconductor Equipment Associates, Inc.(a)

    69,414
       
      398,648
       

Semiconductors & Semiconductor Equipment 0.2%

   
10,780   

Intel Corp.

    206,006
2,050   

Marvell Technology Group Ltd. (Bermuda)(a)

    28,126
1,300   

Texas Instruments, Inc.

    30,485
       
      264,617
       

Software 1.0%

   
6,981   

Adobe Systems, Inc.(a)

    229,954
960   

ANSYS, Inc.(a)

    38,957
1,100   

BMC Software, Inc.(a)

    40,876
10,364   

CA, Inc.

    216,815
1,200   

Citrix Systems, Inc.(a)

    44,112
680   

Intuit, Inc.(a)

    19,768
1,138   

MedAssets, Inc.(a)

    24,968
1,080   

MICROS Systems, Inc.(a)

    29,074
20,047   

Microsoft Corp.

    555,903
1,350   

Sybase, Inc.(a)

    53,406
825   

Tyler Technologies, Inc.(a)

    15,691
400   

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

    15,372
       
      1,284,896
       

Specialty Retail 0.3%

   
1,140   

Aaron’s, Inc.

    28,557
3,600   

Gap, Inc. (The)

    76,824
6,752   

Home Depot, Inc. (The)

    169,408
7,100   

Limited Brands, Inc.

    124,960
500   

Tiffany & Co.

    19,645
       
      419,394
       

Telecommunications 1.1%

   
9,519   

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

    350,490
1,000   

Arris Group, Inc.(a)

    10,260
16,464   

Cisco Systems, Inc.(a)

    376,202
1,800   

EMS Technologies, Inc.(a)

    31,374
7,270   

Ericsson, L.M. Telefonaktiebolaget , ADR (Sweden)

    75,608
767   

MasTec, Inc.(a)

    9,051
13,177   

QUALCOMM, Inc.

    545,659
275   

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

    7,758
       
      1,406,402
       

Textiles, Apparel & Luxury Goods 0.1%

   
1,300   

Hanesbrands, Inc.(a)

    28,106
3,800   

Jones Apparel Group, Inc.

    67,982
1,175   

Phillips-Van Heusen Corp.

    47,176
850   

Wolverine World Wide, Inc.

    21,743
       
      165,007
       

 

Thrifts & Mortgage Finance

   
1,750   

Washington Federal, Inc.

    30,013
       

Tobacco 0.1%

   
6,200   

Altria Group, Inc.

    112,282
       

Tobacco Products 0.2%

   
4,190   

Philip Morris International, Inc.

    198,438
       

Transportation 0.7%

   
755   

Genco Shipping & Trading Ltd. (Marshall Island)

    15,017
6,792   

Norfolk Southern Corp.

    316,643
10,821   

Union Pacific Corp.

    596,670
       
      928,330
       

Utilities 0.2%

   
5,164   

American Electric Power Co., Inc.

    156,056
2,582   

PG&E Corp.

    105,578
       
      261,634
       

Wireless Telecommunication Services 0.2%

   
2,150   

Syniverse Holdings, Inc.(a)

    36,829
7,100   

Vodafone Group PLC, ADR (United Kingdom)

    157,549
       
      194,378
       
  

TOTAL COMMON STOCKS
(cost $41,799,429)

    48,362,305
       

PREFERRED STOCK 0.1%

   

Commercial Banks

   
2,650   

Wells Fargo & Co., Series J, 8.00%, CVT (cost $50,782)

    64,792
       

 

Moody’s
Ratings†

    Principal
Amount
(000)#		          

ASSET-BACKED SECURITIES 1.6%

   
     

Asset Backed Funding Certificates,

   
     

Series 2004-OPT5, Class A1

   

AAA(c)

    $ 305   

0.594%(b), 06/25/34

    199,678
     

Ford Credit Auto Owner Trust,

   
     

Series 2008-C, Class A2B

   

Aaa

      146   

1.145%(b), 01/15/11

    146,283
     

Merrill Lynch Mortgage Investors, Inc.,

   
     

Series 2006-RM5, Class A2A

   

Ca

      92   

0.304%(b), 10/25/37

    25,360
     

Morgan Stanley ABS Capital I,

   
     

Series 2006-HE7, Class A2A

   

Aaa

      34   

0.294%(b), 09/25/36

    33,952

        

SLM Student Loan Trust,

   
        

Series 2008-9, Class A

   

Aaa

       1,391   

1.782%(b), 04/25/23

    1,453,075
        

Soundview Home Equity Loan Trust,

   
        

Series 2006-NLC1, Class A1, 144A

   

Caa2

       95   

0.304%(b), 11/25/36

    59,449
        

Structured Asset Securities Corp.,

   
        

Series 2006-BC3, Class A2

   

Aaa

       79   

0.294%(b), 10/25/36

    74,566
             
        

TOTAL ASSET-BACKED SECURITIES
(cost $2,139,219)

    1,992,363
             

BANK LOANS(b) 2.2%

   
        

Chrysler Financial, Term B

   

CAA-(c)

       1,861   

4.25%, 08/03/12

    1,775,750
        

TXU Corp., Term B3

   
      1,271   

3.74%, 10/10/14

    972,950
      7   

3.78%, 10/10/14

    4,989
             
        

TOTAL BANK LOANS
(cost $3,013,398)

    2,753,689
             

CORPORATE BONDS 21.1%

   

Advertising 0.2%

   
        

Omnicom Group, Inc., Sr. Unsec’d. Notes

   

Baa1

       300   

5.90%, 04/15/16

    312,422
             

Automobile Manufacturers 0.2%

   
        

Daimler Finance North America LLC, Gtd. Notes, MTN

   

A3

       200   

5.75%, 09/08/11

    211,427
             

Automotive - OEM 0.4%

   
        

General Motors Acceptance Corp. LLC, Sr. Unsec’d. Notes

   

Ca

       500   

6.75%, 12/01/14

    453,307
             

Capital Markets 1.0%

   
        

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

   

A1

    AUD    1,500   

3.628%(b), 04/12/16

    1,252,383
             

Commercial Banks 0.9%

   
        

ANZ National International Ltd., Bank Gtd. Notes, 144A (New Zealand)

   

Aa2

       1,000   

6.20%, 07/19/13

    1,092,746
             

Diversified Financial Services 2.1%

   
        

Citigroup, Inc., Sr. Unsec’d. Notes

   

A3

       1,500   

5.50%, 04/11/13

    1,563,215
        

Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes

   

B3

       500   

7.00%, 10/01/13

    474,314
        

General Electric Capital Corp., Sub. Notes, 144A

   

Aa3

    GBP    500   

6.50%(b), 09/15/67

    672,914
             
            2,710,443
             

Financial - Bank & Trust 4.3%

   
        

Barclays Bank PLC,

   
        

Sub. Notes, 144A (United Kingdom)

   

Baa1

       1,600   

6.05%, 12/04/17

    1,630,096

Baa1

       800   

10.179%, 06/12/21

    1,055,816
        

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

   

Aa1

       2,000   

4.875%, 05/20/13

    2,136,248
        

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

   

Aaa

       100   

3.90%, 03/19/14

    104,413
        

National Australia Bank Ltd., Sr. Notes, 144A (Australia)

   

Aa1

       500   

0.914%(b), 02/08/10

    499,880
             
            5,426,453
             

Financial Services 1.0%

   
        

Lehman Brothers Holdings, Inc.,(f)

   
        

Sr. Unsec’d. Notes, MTN

   

NR

       500   

5.625%, 01/24/13

    80,000

NR

       400   

6.875%, 05/02/18

    64,500
        

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

   

A2

       1,000   

6.875%, 04/25/18

    1,076,699
             
            1,221,199
             

Healthcare Providers & Services 0.4%

   
        

Cardinal Health, Inc., Sr. Unsec’d. Notes

   

Baa3

       500   

6.00%, 06/15/17

    503,237
             

Hotels & Motels 0.8%

   
        

Marriott International, Inc., Sr. Unsec’d. Notes

   

Baa3

       1,000   

6.375%, 06/15/17

    1,018,219
             

Insurance 0.9%

   
        

American International Group, Inc.,

   
        

Sr. Unsec’d. Notes

   

A3

       800   

8.25%, 08/15/18

    681,815
        

Sr. Unsec’d. Notes, MTN

   

A3

       600   

5.85%, 01/16/18

    452,012
             
            1,133,827
             

IT Services 0.4%

   
        

Electronic Data Systems LLC, Sr. Unsec’d. Notes

   

A2

       500   

6.00%, 08/01/13

    553,906
             

Lodging 0.6%

   
        

Hyatt Hotels Corp., Sr. Unsec’d. Notes, 144A

   

Baa1

       700   

5.75%, 08/15/15

    713,465
             

Medical Supplies & Equipment 0.4%

   
        

HCA, Inc., Sec’d. Notes

   

B2

       500   

9.25%, 11/15/16

    522,500
             

Metals & Mining 0.8%

   
        

Spectra Energy Capital LLC, Gtd. Notes

   

Baa2

       1,000   

6.20%, 04/15/18

    1,078,051
             

Oil, Gas & Consumable Fuels 1.6%

   
        

Gaz Capital SA, Sec’d. Notes (Luxembourg)

   

Baa1

       700   

9.25%, 04/23/19

    787,920

        

Nabors Industries, Inc., Gtd. Notes

   

Baa1

       1,000   

6.15%, 02/15/18

    1,021,333
        

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

   

Ba1

       245   

5.265%, 06/15/11

    239,243
             
            2,048,496
             

Real Estate 0.6%

   
        

WEA Finance LLC / WT Finance Aust Pty Ltd., Gtd. Notes, 144A

   

A2

       700   

6.75%, 09/02/19

    712,886
             

Telecommunications 1.6%

   
        

Embarq Corp., Sr. Unsec’d. Notes

   

Baa3

       900   

6.738%, 06/01/13

    976,954
        

Qwest Corp., Sr. Unsec’d. Notes

   

Ba1

       1,000   

7.625%, 06/15/15

    1,010,000
             
            1,986,954
             

Transportation 1.6%

   
        

Con-Way, Inc., Sr. Unsec’d. Notes

   

Baa3

       2,000   

7.25%, 01/15/18

    2,075,892
             

Utilities 1.3%

   
        

American Electric Power Co., Inc., Sr. Unsec’d. Notes

   

Baa2

       500   

5.25%, 06/01/15

    524,849
        

Illinois Power Co., Sr. Sec’d. Notes

   

Baa1

       1,000   

6.25%, 04/01/18

    1,067,779
             
            1,592,628
             
        

TOTAL CORPORATE BONDS
(cost $26,707,608)

    26,620,441
             

FOREIGN GOVERNMENT BONDS 0.9%

   
        

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

   

Baa3

    BRL    1,300   

12.50%, 01/05/22

    820,987
        

United Kingdom Gilt, Bonds (United Kingdom)

   

Aaa

    GBP    200   

5.75%, 12/07/09

    329,928
             
        

TOTAL FOREIGN GOVERNMENT BONDS
(cost $1,111,861)

    1,150,915
             

MUNICIPAL BONDS 1.4%

   

California 0.6%

   
        

Los Angeles Unified School District, General Obligation

   

Aa3

       700   

4.50%, 07/01/25

    691,439
             

Georgia 0.2%

   
        

Georgia State Road & Tollway Authority, Revenue Bonds

   

Aaa

       200   

5.00%, 03/01/21

    214,002
             

Illinois 0.4%

   
        

Chicago Transit Authority, Series A, Revenue Bonds

   

A1

       200   

6.899%, 12/01/40

    217,874
        

Chicago Transit Authority, Series B, Revenue Bonds

   

A1

       300   

6.899%, 12/01/40

    326,811
             
            544,685
             

Texas 0.2%

   
        

Dallas County Hospital District, General Obligation Bonds

   

AAA(c)

       300   

6.171%, 08/15/34

    303,864
             
        

TOTAL MUNICIPAL BONDS
(cost $1,614,163)

    1,753,990
             

RESIDENTIAL MORTGAGE-BACKED SECURITIES 2.9%

   
        

American Home Mortgage Assets,

   
        

Series 2006-1, Class 2A1

   

Ba2

       368   

0.434%(b), 05/25/46

    182,808
        

Bear Stearns Adjustable Rate Mortgage Trust,

   
        

Series 2005-4, Class 23A2

   

Aa3

       188   

5.353%(b), 05/25/35

    143,236
        

Series 2007-3, Class 1A1

   

CCC(c)

       179   

5.434%(b), 05/25/47

    120,796
        

Countrywide Alternative Loan Trust,

   
        

Series 2006-OA9, Class 2A1A

   

Caa3

       371   

0.455%(b), 07/20/46

    163,649
        

Fannie Mae,

   
        

Series 1992-146, Class PZ

   

Aaa

       18   

8.00%, 08/25/22

    20,094
        

FHLMC Structured Pass-Through Securities,

   
        

Series T-61, Class 1A1

   

Aaa

       551   

2.301%(b), 07/25/44

    539,061
        

Freddie Mac,

   
        

Series 41, Class F

   

Aaa

       79   

10.00%, 05/15/20

    84,787
        

Series 2801, Class EH

   

Aaa

       207   

4.50%, 11/15/16

    210,218
        

Series 2962, Class YC

   

Aaa

       50   

4.50%, 09/15/14

    50,490
        

GSR Mortgage Loan Trust,

   
        

Series 2005-AR6, Class 2A1

   

AAA(c)

       264   

3.936%(b), 09/25/35

    235,708
        

Series 2006-OA1, Class 2A2

   

Caa1

       780   

0.504%(b), 08/25/46

    220,319
        

Harborview Mortgage Loan Trust,

   
        

Series 2006-12, Class 2A11

   

Aa1

       84   

0.335%(b), 01/19/38

    80,093
        

Homebanc Mortgage Trust,

   
        

Series 2006-1, Class 4A1

   

Ba1

       779   

5.795%(b), 04/25/37

    619,190
        

Vendee Mortgage Trust,

   
        

Series 2000-1, Class 1A

   

NR

       128   

6.81%(b), 01/15/30

    136,414
        

Washington Mutual Mortgage Pass-Through Certificates,

   
        

Series 2003-R1, Class A1

   

Aaa

       629   

0.784%(b), 12/25/27

    487,773
        

Series 2006-AR15, Class 2A

   

A1

       369   

2.257%(b), 11/25/46

    222,429
        

Series 2007-OA2, Class 1A

   

B3

       366   

1.458%(b), 03/25/47

    175,716
             
        

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $4,456,537)

    3,692,781
             

 

U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS 20.9%

   
        

Federal Home Loan Mortgage Corp.

   
      9   

3.227%(b), 08/01/23

    9,358
      315   

3.867%(b), 03/01/36

    324,515
      684   

5.00%, 11/01/36

    710,464
      834   

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

    879,875
      126   

6.00%, 09/01/22

    136,079
        

Federal National Mortgage Assoc.

   
      998   

4.00%, 08/01/39

    986,311
      60   

4.036%(b), 05/01/36

    60,405
      4,631   

4.50%, 09/01/35-08/01/39

    4,693,753
      1,632   

5.00%, 06/01/23-11/01/33

    1,699,946
      729   

5.083%(b), 06/01/35

    760,200
      6,397   

5.50%, 09/01/33-06/01/38

    6,752,783
      300   

5.50%, TBA

    315,750
      3,053   

6.00%, 10/01/32-06/01/38

    3,248,437
      306   

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

    328,303
      163   

7.50%, 01/01/32

    184,491
        

Government National Mortgage Assoc.

   
      44   

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

    45,250
      6   

4.625%(b), 09/20/22

    6,208
      4,876   

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

    5,184,823
      57   

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

    64,946
             
        

TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS
(cost $25,463,200)

    26,391,897
             

U.S. TREASURY OBLIGATIONS 11.2%

   
        

U.S. Treasury Bonds

   
      200   

3.50%, 02/15/39

    175,312
      400   

4.25%, 05/15/39

    400,938
      100   

4.375%, 02/15/38

    102,344
      800   

4.50%, 08/15/39

    835,750
      700   

8.125%, 05/15/21

    989,297
        

U.S. Treasury Inflationary Indexed Bonds, TIPS

   
      500   

1.375%, 07/15/18

    502,678
      500   

1.875%, 07/15/19

    528,011
      400   

2.00%, 07/15/14

    483,095
        

U.S. Treasury Notes

   
      319   

1.00%, 07/31/11(g)

    320,520
      2,800   

2.25%, 05/31/14

    2,812,032
      1,000   

2.375%, 08/31/14-09/30/14

    1,004,639
      300   

3.00%, 08/31/16

    301,313
      1,600   

3.25%, 07/31/16

    1,635,125
      1,800   

3.50%, 02/15/18

    1,834,454
      300   

3.875%, 05/15/18

    313,383
      900   

4.00%, 08/15/18

    946,477

     900   

4.25%, 11/15/17

        967,289   
                  
       

TOTAL U.S. TREASURY OBLIGATIONS
(cost $14,075,760)

        14,152,657   
                  
       

TOTAL LONG-TERM INVESTMENTS
(cost $120,431,957)

        126,935,830   
                  

SHORT-TERM INVESTMENT 2.4%

     

Shares

                

AFFILIATED MONEY MARKET MUTUAL FUND

     
     3,095,483   

Dryden Core Investment Fund - Taxable Money Market Series
(cost $3,095,483)(d)

      3,095,483   
                  
       

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN AND
SECURITIES SOLD SHORT(e)(h) — 103.0%
(cost $123,527,440)

      130,031,313   
                  
        

Contracts/
Notional

Amount
(000)#

       

Counterparty

       

OPTIONS WRITTEN(a)(i)

     

Call Options

     
       

10 Year U.S. Treasury Notes,

     
     $3,700   

expiring 11/20/2009, Strike Price $120

        (10,406 ) 
     7,700   

expiring 11/20/2009, Strike Price $122

        (2,407 ) 
                  
               (12,813 ) 
                  

Put Options

     
       

Interest Rate Swap Options,

     
     1,000   

expiring 11/23/2009 @ 3.42%

  

BT Alex Brown

      (122 ) 
     1,000   

expiring 11/23/2009 @ 4.00%

  

Barclays Capital Fixed, Inc.

      (93 ) 
     6,900   

expiring 11/23/2009 @ 4.35%

  

BT Alex Brown

      (1,428 ) 
                  
               (1,643 ) 
                  
       

TOTAL OPTIONS WRITTEN
(premiums received $109,851)

        (14,456 ) 
                  
        

Principal
Amount
(000)#

                

SECURITIES SOLD SHORT (3.4)%

     

U.S. Government Mortgage-Backed Obligations

     
       

Federal National Mortgage Assoc.

     
     700   

5.00%, TBA

        (725,594 ) 
     1,000   

5.50%, TBA

        (1,048,438 ) 
     2,400   

6.00%, TBA

        (2,540,251 ) 
                  
       

TOTAL SECURITIES SOLD SHORT
(proceeds received $4,301,281)

        (4,314,283 ) 
                  
       

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN AND
SECURITIES SOLD SHORT — 99.6%
(cost $119,116,308)

     125,702,574   
       

Other assets in excess of other liabilities(j) — 0.4%

        561,845   
                  
       

NET ASSETS — 100%

      $ 126,264,419   
                  

 

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

FHLMC

    Federal Home Loan Mortgage Corporation

GDR

    Global Depositary Receipt

MTN

    Medium Term Note

NR

    Not Rated by Moody’s or Standard & Poor’s

TBA

    To Be Announced

TIPS

    Treasury Inflation Protected Securities

AUD

    Australian Dollar

BRL

    Brazilian Real

CNY

    Chinese Yuan

EUR

    Euro

GBP

    British Pound

INR

    Indian Rupee

JPY

    Japanese Yen

†

    The rating reflected is as of October 31, 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)

    Indicates a variable rate security.

(c)

    Standard & Poor’s rating.

(d)

    Prudential Investments LLC, the manager of the Fund, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series.

(e)

    As of October 31, 2009, 1 security representing $265,012 and 0.2% of the total market value was fair valued in accordance with the policies adopted by the Board of Directors.

(f)

    Represents issuer in default on interest payments. Non-income producing security.

(g)

    Securities segregated as collateral for futures contracts.

(h)

    The United States federal income tax basis of the Portfolio’s investments was $128,458,253; accordingly, net unrealized appreciation on investments for federal income tax purposes was $1,573,060 (gross unrealized appreciation - $5,419,102; gross unrealized depreciation - $3,846,042). The difference between book and tax basis is primarily attributable to deferred losses on wash sales.

(i)

    The amount represents fair value of derivative instruments subject to interest rate contracts risk exposure as of October 31, 2009.

(j)

    Other assets in excess of other liabilities includes net unrealized appreciation (depreciation) on futures contracts, forward foreign currency exchange contracts, interest rate swap agreements and credit default swap agreements as follows:

Futures contracts open at October 31, 2009:

 

Number of
Contracts

   

Type

    Expiration
Date		    Value at
Trade Date		    Value at
October 31,
2009		    Unrealized
Appreciation
(Depreciation)(1)(2)		  

Long Positions:

            

16

    90 Day Euro Dollar    Jun 10    $ 3,944,000    $ 3,968,200    $ 24,200   

47

    90 Day Euro Dollar    Sep 10      11,501,387      11,614,875      113,488   

12

    90 Day Euro EURIBOR    Jun 10      4,344,491      4,358,876      14,385   

27

    90 Day Euro EURIBOR    Sep 10      9,722,723      9,774,194      51,471   

29

    90 Day Sterling    Jun 10      5,842,750      5,876,368      33,618   

14

    90 Day Sterling    Sep 10      2,802,125      2,822,507      20,382   

3

    2 Year U.S. Treasury Notes    Dec 09      646,875      652,828      5,953   

22

    10 Year U.S. Treasury Notes    Dec 09      2,615,626      2,609,407      (6,219 ) 
                    
               $ 257,278   
                    

 

(1)

Cash of $12,000 and U.S. Treasury Securities with a market value of $320,520 has been segregated to cover requirements for open futures contracts at October 31, 2009.

(2)

The amount represents fair value of derivative instruments subject to interest rate contract risk exposure as of October 31, 2009.

Forward foreign currency exchange contracts outstanding at October 31, 2009:

 

Purchase Contracts

   

Counterparty

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

Brazilian Real,

  

Expiring 11/04/09

   

Deutsche Bank

    BRL    176    $ 99,000    $ 100,071    $ 1,071   

Expiring 11/04/09

   

Deutsche Bank

    BRL    171      96,000      96,848      848   

Chinese Yuan,

                  

Expiring 03/29/10

   

Barclays Captial Group

    CNY    336      49,756      49,244      (512 ) 

Expiring 03/29/10

   

Deutsche Bank

    CNY    1,597      236,600      233,891      (2,709 ) 

Expiring 03/29/10

   

Deutsche Bank

    CNY    3      397      394      (3 ) 

Expiring 03/29/10

   

Hong Kong & Shanghai Bank

    CNY    2,298      339,800      336,606      (3,194 ) 

Expiring 03/29/10

   

JPMorgan Securities, Inc.

    CNY    22      3,181      3,149      (32 ) 

Expiring 03/29/10

   

Merrill Lynch

    CNY    2,388      353,575      349,837      (3,738 ) 

Expiring 06/07/10

   

Barclays Captial Group

    CNY    1,098      163,000      161,151      (1,849 ) 

Expiring 06/07/10

   

Barclays Captial Group

    CNY    1,098      163,000      161,080      (1,920 ) 

Expiring 06/07/10

   

Deutsche Bank

    CNY    660      98,000      96,845      (1,155 ) 

Expiring 06/07/10

   

Hong Kong & Shanghai Bank

    CNY    1,239      184,000      181,765      (2,235 ) 

Expiring 06/07/10

   

JPMorgan Securities, Inc.

    CNY    1,151      171,000      168,935      (2,065 ) 

Expiring 06/07/10

   

JPMorgan Securities, Inc.

    CNY    337      50,000      49,433      (567 ) 

Expiring 06/07/10

   

Merrill Lynch

    CNY    437      65,000      64,177      (823 ) 

Expiring 06/07/10

   

Merrill Lynch

    CNY    357      53,000      52,376      (624 ) 

Expiring 06/15/11

   

Hong Kong & Shanghai Bank

    CNY    718      108,000      112,298      4,298   
                               
   $ 2,233,309    $ 2,218,100    $ (15,209 ) 
                               

Sale Contracts

   

Counterparty

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

Australian Dollar,

  

Expiring 11/05/09

   

Hong Kong & Shanghai Bank

    AUD    187    $ 163,000    $ 168,507    $ (5,507 ) 

Expiring 11/05/09

   

JPMorgan Securities, Inc.

    AUD    1,235      1,075,022      1,111,060      (36,038 ) 

Brazilian Real,

                  

Expiring 11/04/09

   

Salomon Brothers

    BRL    171      96,000      96,848      (848 ) 

Expiring 11/04/09

   

Deutsche Bank

    BRL    176      99,000      100,071      (1,071 ) 

Expiring 02/02/10

   

Deutsche Bank

    BRL    174      96,000      96,721      (721 ) 

Expiring 02/02/10

   

Goldman Sachs & Co., Inc.

    BRL    175      97,000      97,685      (685 ) 

Expiring 02/02/10

   

Hong Kong & Shanghai Bank

    BRL    179      99,000      99,892      (892 ) 

Expiring 02/02/10

   

Deutsche Bank

    BRL    179      99,000      99,936      (936 ) 

British Pound,

  

Expiring 11/24/09

   

JPMorgan Securities, Inc.

    GBP    1,187      1,940,147      1,947,850      (7,703 ) 

Chinese Yuan,

  

Expiring 03/29/10

   

Deutsche Bank

    CNY    2,151      319,000      315,114      3,886   

Expiring 06/07/10

   

Credit Suisse First Boston Corp.

    CNY    1,510      222,829      221,545      1,284   

Expiring 06/07/10

   

Credit Suisse First Boston Corp.

    CNY    305      45,000      44,782      218   

Euro,

  

Expiring 11/19/09

   

Chase Securities, Inc.

    EUR    248      363,266      364,953      (1,687 ) 

Indian Rupee,

  

Expiring 03/24/10

   

Citibank

    INR    447      9,170      9,400      (230 ) 

Japanese Yen,

  

Expiring 11/24/09

   

JPMorgan Securities, Inc.

    JPY    1,411      15,588      15,677      (89 ) 
                               
            $ 4,739,022    $ 4,790,041    $ (51,019 ) 
                               

 

(1) The amount represents fair value of derivative instruments subject to foreign exchange contract risk exposure as of October 31, 2009.

Interest rate swap agreements outstanding at October 31, 2009:

 

Counterparty

    Termination
Date		         Notional
Amount
(000)		    Fixed
Rate		    

Floating Rate

    Fair
Value		     Upfront
Premiums
Paid (Received)		     Unrealized
Appreciation
(Depreciation)(2)		  

Goldman Sachs & Co. (1)

    01/02/12    BRL    1,800    10.15 %   

Brazilian interbank
lending rate

    $ (46,302 )    $ —        $ (46,302 ) 

Barclays Capital (1)

    09/15/10    GBP    2,500    5.00 %    6 Month LIBOR      165,130        (19,112 )      184,242   

Barclays Capital (1)

    03/17/12    GBP    2,000    3.00 %    6 Month LIBOR      35,118        1,277        33,841   

Goldman Sachs & Co. (1)

    09/17/11    GBP    500    4.50 %    6 Month LIBOR      43,380        (6,474 )      49,854   
                                      
                 $ 197,326      $ (24,309 )    $ 221,635   
                                      

 

(1) Fund pays the floating rate and receives the fixed rate.
(2) The amount represents fair value of derivative instruments subject to interest rate contract risk exposure as of October 31,2009.

Credit default swap agreements outstanding at October 31, 2009:

 

Counterparty

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

Reference Entity/Obligation

    Fair
Value(3)		     Upfront
Premiums
Paid (Received)		     Unrealized
Depreciation(5)		  

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

       

Bank of America Securities LLC

    12/20/19    $ 1,200    1.00 %   

Dow Jones CDX IG3 10Y Index

    $ (17,649 )    $ (14,768 )    $ (2,881 ) 

Morgan Stanley & Co.

    12/20/15      470    0.46 %   

Dow Jones CDX IG5 10Y Index

      (73,379 )      —          (73,379 ) 

Morgan Stanley & Co.

    12/20/15      1,500    0.46 %   

Dow Jones CDX IG5 10Y Index

      (233,779 )      —          (233,779 ) 
                                   
              $ (324,807 )    $ (14,768 )    $ (310,039 ) 
                                   

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.

 

     

Counterparty

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

Reference Entity/Obligation

    Fair Value     Upfront
Premiums
Paid (Received) 		    Unrealized
Appreciation
(Depreciation)(5)		  

Credit default swaps - Buy Protection (2):

            

Citigroup, Inc.

    06/20/15    $ 500    0.62 %   

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

    $ (632 )    $ —        $ (632 ) 

UBS AG

    06/20/17      500    0.56 %   

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

      1,289        —          1,289   

Bank of America Securities LLC

    03/20/18      2,000    1.83 %   

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

      (29,750 )      —          (29,750 ) 

Barclays Bank PLC

    09/20/11      200    0.58 %   

DaimlerChrysler, 5.75%, due 09/08/11

      90        —          90   

Merrill Lynch & Co.

    12/20/11      272    0.00 %   

Dow Jones CDX HY7 Index

      172,973        43,053        129,920   

Deutsche Bank

    06/20/18      1,659    1.50 %   

Dow Jones CDX IG10 10Y Index

      (3,963 )      (23,498 )      19,535   

Goldman Sachs & Co.

    06/20/18      4,490    1.50 %   

Dow Jones CDX IG10 10Y Index

      (10,723 )      (125,928 )      115,205   

Morgan Stanley & Co.

    06/20/18      4,392    1.50 %   

Dow Jones CDX IG10 10Y Index

      (10,489 )      (101,506 )      91,017   

Deutsche Bank

    06/20/13      1,269    1.55 %   

Dow Jones CDX IG10 5Y Index

      (1,153 )      (3,930 )      2,777   

Goldman Sachs

    06/20/13      4,978    1.55 %   

Dow Jones CDX IG10 5Y Index

      (4,527 )      51,231        (55,758 ) 

Morgan Stanley & Co.

    12/20/12      700    0.14 %   

Dow Jones CDX IG5 Index

      40,533        —          40,533   

Morgan Stanley & Co.

    12/20/12      2,100    0.14 %   

Dow Jones CDX IG5 Index

      121,591        —          121,591   

Barclays Bank PLC

    12/20/17      1,074    0.80 %   

Dow Jones CDX IG9 10Y Index

      47,514        11,083        36,431   

Goldman Sachs

    12/20/17      1,659    0.80 %   

Dow Jones CDX IG9 10Y Index

      73,430        23,605        49,825   

Merrill Lynch & Co.

    12/20/17      195    0.80 %   

Dow Jones CDX IG9 10Y Index

      8,635        2,657        5,978   

Morgan Stanley & Co.

    12/20/17      1,562    0.80 %   

Dow Jones CDX IG9 10Y Index

      69,112        31,616        37,496   

Deutsche Bank

    03/20/14      400    1.25 %   

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

      (11,281 )      —          (11,281 ) 

Deutsche Bank

    03/20/14      200    1.27 %   

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

      (5,806 )      —          (5,806 ) 

Deutsche Bank

    03/20/14      100    1.43 %   

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

      (3,571 )      —          (3,571 ) 

Deutsche Bank

    06/20/13      200    1.00 %   

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

      (3,410 )      (3,497 )      87   

Bank of America Securities LLC

    06/20/17      1,000    1.73 %   

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

      (30,096 )      —          (30,096 ) 

Goldman Sachs

    03/20/18      1,000    1.02 %   

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

      (4,408 )      —          (4,408 ) 

Morgan Stanley & Co.

    06/20/16      300    0.39 %   

Omnicom 5.90%, due 04/15/16

      9,037        —          9,037   

Deutsche Bank

    06/20/18      1,000    0.84 %   

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

      (17,603 )      —          (17,603 ) 

Citigroup, Inc.

    02/09/46      600    2.20 %   

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

      569,391        —          569,391   
                                   
              $ 976,183      $ (95,114 )    $ 1,071,297   
                                   

 

(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.
(5) The amount represents fair value of derivative instruments subject to credit contract risk exposure as of October 31, 2009.
# 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 Portfolio’s own assumptions in determining the fair value of investments)

The following is a summary of the inputs used as of October 31, 2009 in valuing the Fund’s assets carried at fair value:

 

Investments in Securities

    Level 1    Level 2     Level 3

Common Stocks

    $ 48,097,293    $ 265,012      $  —  

Preferred Stock

      64,792      —          —  

Asset-Backed Securities

      —        1,992,363        —  

Bank Loans

      —        2,753,689        —  

Corporate Bonds

      —        26,620,441        —  

Foregin Government Bonds

      —        1,150,915        —  

Municipal Bonds

      —        1,753,990        —  

Residential Mortgage-Backed Securities

      —        3,692,781        —  

U.S. Government Mortgage-Backed Obligations

      —        26,391,897        —  

U.S. Treasury Obligations

      —        14,152,657        —  

Options Written

      —        (14,456 )      —  

Affiliated Money Market Mutual Fund

      3,095,483      —          —  

Securities Sold Short - U.S. Government Mortgage-Backed Obligations

      —        (4,314,283 )      —  
                     
   $ 51,257,568    $ 74,445,006      $ —  

Other Financial Instruments*

      257,278      347,274        569,391
                     

Total

    $  51,514,846    $  74,792,280      $  569,391
                     

 

* 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 reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Other
Financial
Instruments

Balance as of 7/31/09

    $ 562,688

Accrued discounts/premiums

      —  

Realized gain (loss)

      —  

Change in unrealized appreciation (depreciation)

      6,703

Net purchases (sales)

      —  

Transfers in and/or out of Level 3

      —  
      

Balance as of 10/31/09

    $ 569,391
      

Target Growth Allocation Fund

Schedule of Investments

as of October 31, 2009 (Unaudited)

 

Shares

   

Description

    Value

LONG-TERM INVESTMENTS 96.1%

   

COMMON STOCKS 96.0%

   

Aerospace & Defense — 2.8%

   
2,000   

AAR Corp.*

    $ 39,220
1,700   

Boeing Co. (The)

      81,260
15,950   

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

      322,987
31,963   

General Dynamics Corp.

      2,004,080
4,850   

Hexcel Corp.*

      53,350
4,800   

Lockheed Martin Corp.

      330,192
20,400   

Meggitt PLC (United Kingdom)

      81,678
1,525   

Moog, Inc. (Class A Stock)*

      38,079
2,600   

MTU Aero Engines Holding AG (Germany)

      118,147
17,200   

Northrop Grumman Corp.

      862,236
10,000   

Safran SA (France)

      161,328
1,100   

Teledyne Technologies, Inc.*

      37,576
1,800   

Thales SA (France)

      87,214
575   

TransDigm Group, Inc.

      22,529
15,440   

United Technologies Corp.

      948,788
         
        5,188,664
         

Air Freight & Couriers — 0.1%

   
3,750   

FedEx Corp.

      272,588
         

Airlines — 0.2%

   
119,300   

Air New Zealand Ltd. (New Zealand)

      110,615
4,900   

Deutsche Lufthansa AG (Germany)

      75,663
41,100   

Qantas Airways Ltd. (Australia)

      102,195
         
        288,473
         

Apparel — 0.1%

   
5,517   

True Religion Apparel, Inc.*

      142,173
         

Apparel & Textile

   
2,100   

Hanesbrands, Inc.*

      45,402
1,400   

Wolverine World Wide, Inc.

      35,812
         
        81,214
         

Auto Components — 0.1%

   
6,600   

Johnson Controls, Inc.

      157,872
         

Auto Parts & Equipment — 0.1%

   
5,800   

Keihin Corp. (Japan)

      88,099
4,500   

Nifco, Inc. (Japan)

      92,091
         
        180,190
         

Automobile Manufacturers — 0.3%

   
2,100   

Honda Motor Co. Ltd. (Japan)

      64,862
801   

Hyundai Motor Co. (South Korea)

      72,654
14,100   

Nissan Motor Co. Ltd. (Japan)*

      102,030
8,900   

Toyota Motor Corp. (Japan)

      351,345
         
        590,891
         

Automobiles — 0.1%

   
9,900   

Harley-Davidson, Inc.

    246,708
       

Automotive Parts — 0.4%

   
1,050   

Autoliv, Inc.

    35,259
200   

Georg Fischer AG (Switzerland)*

    52,590
16,199   

PACCAR, Inc.

    606,005
17,500   

Yokohama Rubber Co. Ltd. (The) (Japan)

    76,650
       
      770,504
       

Banks — 0.6%

   
22,000   

Fukuoka Financial Group, Inc. (Japan)

    80,440
5,666   

Julius Baer Group Ltd. (Switzerland)

    213,297
63,000   

Mitsubishi UFJ Financial Group, Inc. (Japan)

    335,563
3,008   

Northern Trust Corp.

    151,152
14,687   

Standard Chartered PLC (United Kingdom)

    360,302
1,245   

UMB Financial Corp.

    49,514
1,500   

United Bankshares, Inc.

    26,775
       
      1,217,043
       

Beverages — 1.0%

   
2,500   

Anheuser-Busch InBev NV (Belgium)*

    117,950
5,160   

Coca-Cola Co. (The)

    275,080
10,900   

Greene King PLC (United Kingdom)

    70,423
3,500   

Molson Coors Brewing Co. (Class B Stock)

    171,395
15,067   

PepsiCo, Inc.

    912,307
9,928   

SABMiller PLC (United Kingdom)

    260,229
       
      1,807,384
       

Biotechnology — 1.1%

   
7,200   

Amgen, Inc.*

    386,856
540   

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

    48,270
2,320   

Celgene Corp.*

    118,436
5,000   

Genzyme Corp.*

    253,000
26,805   

Gilead Sciences, Inc.*

    1,140,553
1,926   

Regeneron Pharmaceuticals, Inc.*

    30,238
2,811   

Seattle Genetics, Inc.*

    25,524
       
      2,002,877
       

Broadcasting — 0.1%

   
31,526   

British Sky Broadcasting Group PLC (United Kingdom)

    274,879
       

Building Materials — 0.1%

   
35,000   

Sanwa Holdings Corp. (Japan)

    95,966
       

Building Materials & Construction — 0.2%

   
3,901   

Lafarge SA (France)

    316,643
       

Business Services — 1.2%

   
3,590   

ICON PLC, ADR (Ireland)*

    88,673
8,770   

MasterCard, Inc. (Class A Stock)

    1,920,806
1,500   

URS Corp.*

    58,290
5,080   

Verisk Analytics, Inc.*

    139,344
       
          2,207,113
       

Cable Television — 0.1%

   
9,400   

Rogers Communications, Inc. (Class B Stock) (Canada)

    275,819
       

Capital Markets — 1.9%

   
3,775   

Apollo Investment Corp.

    33,975
6,400   

Bank of New York Mellon Corp. (The)

    170,624
7,275   

E*Trade Financial Corp.*

    10,622
17,614   

Goldman Sachs Group, Inc. (The)

    2,997,374
3,625   

MF Global Ltd. (Bermuda)*

    25,810
9,700   

Morgan Stanley

    311,564
675   

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

    18,940
       
          3,568,909
       

Chemicals — 3.8%

   
5,365   

Air Products & Chemicals, Inc.

    413,802
1,075   

Airgas, Inc.

    47,687
600   

Ashland, Inc.

    20,724
3,400   

BASF SE (Germany)

    182,002
10,600   

Clariant AG (Switzerland)*

    101,340
325   

Cytec Industries, Inc.

    10,780
59,219   

Dow Chemical Co. (The)

    1,390,462
3,100   

Eastman Chemical Co.

    162,781
2,940   

Ecolab, Inc.

    129,242
8,455   

GrafTech International Ltd.*

    114,143
18,694   

Huntsman Corp.

    148,617
4,600   

Koninklijke DSM NV (Netherlands)

    201,544
3,840   

Monsanto Co.

    257,971
16,000   

Nippon Shokubai Co. Ltd. (Japan)

    134,476
7,817   

Potash Corp. of Saskatchewan, Inc. (Canada)

    725,261
20,084   

PPG Industries, Inc.

    1,133,340
19,640   

Praxair, Inc.

    1,560,202
2,725   

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

    110,690
1,475   

Sensient Technologies Corp.

    37,303
1,000   

Solvay SA (Belgium)

    98,197
3,640   

Terra Industries, Inc.

    115,643
1,500   

Valspar Corp. (The)

    38,055
29,500   

Yingde Gases (Cayman Islands)*

    35,171
       
      7,169,433
       

Clothing & Apparel — 1.1%

   
4,010   

Coach, Inc.

    132,210
29,948   

NIKE, Inc. (Class B Stock)

    1,862,166
       
          1,994,376
       

Commercial Banks — 1.0%

   
1,850   

BancorpSouth, Inc.

    41,773
14,600   

Bank of Ireland (Ireland)*

    36,622
1,300   

Danvers Bancorp, Inc.

    17,849
18,935   

Fifth Third Bancorp

    169,279
1,334   

FirstMerit Corp.

    25,279
15,700   

HSBC Holdings PLC, ADR (United Kingdom)

    869,623
50,661   

Intesa Sanpaolo SpA (Italy)*

    213,206
31,200   

KeyCorp

    168,168
1,525   

Prosperity Bancshares, Inc.

    54,580
30,400   

Regions Financial Corp.

    147,136
1,100   

Societe Generale (France)

    73,062
125   

Territorial Bancorp, Inc.*

    2,061
1,999   

Trustmark Corp.

    37,881
375   

United Financial Bancorp, Inc.

    4,819
500   

Verwaltungs und Privat Bank AG (Liechtenstein)

    53,451
       
      1,914,789
       

Commercial Services — 0.3%

   
3,500   

Companhia Brasileira de Meios de Pagamento (Brazil)

    32,206
5,765   

GEO Group, Inc. (The)*

    121,930
7,140   

Moody’s Corp.

    169,075
3,765   

Sotheby’s

    59,713
5,720   

Waste Connections, Inc.*

    179,780
       
      562,704
       

Commercial Services & Supplies — 0.5%

   
3,625   

Coinstar, Inc.*

    115,058
3,795   

Monster Worldwide, Inc.*

    55,103
26,950   

Waste Management, Inc.

    805,266
       
      975,427
       

Communication Equipment — 0.4%

   
28,636   

Juniper Networks, Inc.*

    730,504
       

Computer Hardware — 2.6%

   
18,105   

Apple, Inc.*

    3,412,793
2,000   

Dell, Inc.*

    28,980
28,005   

Hewlett-Packard Co.

    1,329,117
9,071   

Logitech International SA (Switzerland)*

    154,842
1,070   

Radiant Systems, Inc.*

    10,529
       
      4,936,261
       

Computer Services & Software — 0.9%

   
3,200   

Accenture PLC (Class A Stock) (Ireland)

    118,656
6,830   

Cognizant Technology Solutions Corp. (Class A Stock)*

    263,980
6,428   

Compellent Technologies, Inc.*

    117,890
18,010   

EMC Corp.*

    296,625
1,900   

Global Payments, Inc.

    93,537
3,680   

Informatica Corp.*

    78,126
3,000   

Itochu Techno-Solutions Corp. (Japan)

    82,465
6,297   

Netezza Corp.*

    58,184

1,040   

Nuance Communications, Inc.*

    13,634
8,271   

SAP AG (Germany)

    374,636
2,950   

SRA International, Inc. (Class A Stock)*

    55,342
4,400   

Tieto Oyj (Finland)

    87,876
       
      1,640,951
       

Computers & Peripherals — 1.5%

   
22,197   

International Business Machines Corp.

    2,677,180
3,200   

QLogic Corp.*

    56,128
       
      2,733,308
       

Conglomerates — 0.1%

   
5,600   

Mitsubishi Corp. (Japan)

    118,722
       

Construction — 0.2%

   
700   

Ciments Francais SA (France)

    76,285
8,200   

COMSYS Holdings Corp. (Japan)

    81,043
21,300   

Downer EDI Ltd. (Australia)

    162,144
1,100   

Granite Construction, Inc.

    31,416
1,200   

Meritage Homes Corp.*

    21,888
6,399   

Singapore Airport Terminal Services Ltd. (Singapore)

    11,183
       
      383,959
       

Consumer Finance — 0.5%

   
27,002   

American Express Co.

    940,750
1,550   

Assured Guaranty Ltd. (Bermuda)

    25,699
1,775   

First Cash Financial Services, Inc.*

    30,494
       
      996,943
       

Consumer Products & Services — 0.7%

   
1,000   

Apollo Group, Inc. (Class A Stock)*

    57,100
9,830   

Avon Products, Inc.

    315,052
4,330   

Colgate-Palmolive Co.

    340,468
59,700   

Pacific Brands Ltd. (Australia)*

    69,515
6,662   

Reckitt Benckiser Group PLC (United Kingdom)

    330,934
4,858   

Ritchie Bros. Auctioneers, Inc. (Canada)

    106,487
1,200   

Snap-on, Inc.

    43,836
1,400   

Toro Co. (The)

    51,828
2,209   

Vitamin Shoppe, Inc.*

    38,812
       
      1,354,032
       

Containers & Packaging — 0.2%

   
39,300   

Amcor Ltd. (Australia)

    202,376
2,180   

Owens-Illinois, Inc.*

    69,498
1,925   

Packaging Corp. of America

    35,189
       
      307,063
       

Cosmetics & Toiletries — 0.1%

   
7,300   

Natura Cosmeticos SA (Brazil)

    131,198
       

Distribution/Wholesale — 0.2%

   
26,800   

Marubeni Corp. (Japan)

    132,595
11,000   

Sumitomo Corp. (Japan)

    106,785
800   

Watsco, Inc.

    40,976
       
      280,356
       

Diversified Consumer Services

   
2,575   

Regis Corp.

    41,818
       

Diversified Financial Services — 3.9%

   
1,840   

Affiliated Managers Group, Inc.*

    116,822
119,886   

Bank of America Corp.

    1,747,938
31,500   

BM&FBOVESPA SA (Brazil)

    202,955
4,500   

Broadpoint Gleacher Securities, Inc.*

    28,665
33,500   

Challenger Financial Services Group Ltd. (Australia)

    110,162
75,407   

Citigroup, Inc.

    308,415
2,050   

Conseco, Inc.*

    10,680
3,046   

Duff & Phelps Corp. (Class A Stock)

    52,361
1,925   

Fifth Street Finance Corp.

    18,923
109,481   

JPMorgan Chase & Co.

    4,573,021
1,300   

Macquarie Group Ltd. (Australia)

    56,934
       
      7,226,876
       

Diversified Manufacturing — 0.1%

   
19,800   

IMI PLC (United Kingdom)

    139,654
24,400   

Tomkins PLC (United Kingdom)

    66,939
       
      206,593
       

Diversified Operations — 0.3%

   
4,254   

LVMH Moet Hennessy Louis Vuitton SA (France)

    440,506
5,000   

Mitsui & Co. Ltd. (Japan)

    65,665
       
      506,171
       

Diversified Telecommunication Services — 1.3%

   
46,275   

AT&T, Inc.

    1,187,879
5,200   

CenturyTel, Inc.

    168,792
38,450   

Verizon Communications, Inc.

    1,137,736
       
      2,494,407
       

Education — 0.1%

   
2,600   

DeVry, Inc.

    143,754
       

Electric — 0.6%

   
10,560   

AES Corp. (The)*

    138,019
11,936   

E.ON AG (Germany)

    457,446
8,071   

NRG Energy, Inc.*

    185,553
1,100   

RWE AG (Germany)

    96,484
7,875   

Southern Co. (The)

    245,621
       
      1,123,123
       

Electric Utilities — 1.0%

   
21,800   

Edison International

    693,676
32,200   

Enel SpA (Italy)

    191,600
12,900   

Exelon Corp.

    605,784
1,571   

Fortum Oyj (Finland)

    37,183
6,800   

FPL Group, Inc.

    333,880
       
      1,862,123
       

Electrical Equipment — 0.2%

   
8,978   

Emerson Electric Co.

    338,919
700   

Smith (A.O.) Corp.

    27,741
       
      366,660
       

Electronic Components & Equipment — 0.8%

   
2,490   

A123 Systems, Inc.*

    48,953
2,100   

Checkpoint Systems, Inc.*

    28,497
4,445   

Coherent, Inc.*

    111,703
4,220   

DTS, Inc.*

    119,215
2,904   

Fanuc Ltd. (Japan)

    241,210
6,200   

Flextronics International Ltd. (Singapore)*

    40,176
3,700   

FLIR Systems, Inc.*

    102,897
633   

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

    193,554
9,500   

Spectris PLC (United Kingdom)

    105,429
8,800   

Sumitomo Electric Industries Ltd. (Japan)

    106,786
6,141   

Universal Electronics, Inc.*

    126,505
4,287   

Vestas Wind Systems A/S (Denmark)*

    300,675
       
      1,525,600
       

Electronic Equipment & Instruments — 0.3%

   
1,060   

Itron, Inc.*

    63,643
25,145   

Tyco Electronics Ltd. (Switzerland)

    534,331
       
      597,974
       

Energy Equipment & Services — 0.7%

   
5,000   

Diamond Offshore Drilling, Inc.

    476,250
26,922   

Halliburton Co.

    786,392
3,550   

Key Energy Services, Inc.*

    25,950
1,025   

Oil States International, Inc.*

    35,301
825   

Unit Corp.*

    32,241
       
      1,356,134
       

Entertainment & Leisure — 0.9%

   
3,503   

Bally Technologies, Inc.*

    137,983
11,152   

Carnival Corp. (Panama)

    324,746
9,915   

Carnival PLC (United Kingdom)

    307,379
4,790   

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

    153,280

7,050   

International Game Technology

    125,772
2,140   

Las Vegas Sands Corp.*

    32,293
1,900   

Life Time Fitness, Inc.*

    40,945
596   

Nintendo Co. Ltd. (Japan)

    149,491
5,950   

Royal Caribbean Cruises Ltd. (Liberia)*

    120,368
13,295   

Shuffle Master, Inc.*

    103,834
22,500   

Tabcorp Holdings Ltd. (Australia)

    143,529
24,000   

Thomas Cook Group PLC (United Kingdom)

    80,369
       
      1,719,989
       

Environmental Services

   
1,215   

Republic Services, Inc.

    31,481
       

Equipment Services — 0.1%

   
5,200   

Kyoei Steel Ltd. (Japan)

    116,188
       

Exchange Traded Fund — 0.1%

   
2,000   

iShares Russell 2000 Value Index Fund

    105,740
       

Farming & Agriculture — 0.1%

   
50,200   

AWB Ltd. (Australia)

    54,814
116,366   

Chaoda Modern Agriculture Holdings Ltd. (Cayman Islands)

    89,910
       
      144,724
       

Financial - Bank & Trust — 3.8%

   
4,150   

Astoria Financial Corp.

    41,417
16,600   

Banco Bilbao Vizcaya Argentaria SA (Spain)

    296,725
20,000   

Banco Santander Brasil SA (Brazil)*

    237,200
23,300   

Banco Santander SA (Spain)

    374,950
64,422   

Barclays PLC (United Kingdom)*

    337,641
6,400   

BNP Paribas (France)

    482,138
23,500   

Bradford & Bingley PLC (United Kingdom)*

    —  
10,970   

Charles Schwab Corp. (The)

    190,220
138,583   

China Merchants Bank Co. Ltd. (Class H Stock) (China)

    354,543
5,800   

Credit Agricole SA (France)

    111,100
1,700   

Credit Suisse Group AG (Switzerland)

    90,877
3,200   

Danske Bank A/S (Denmark)*

    73,493
6,600   

Deutsche Bank AG (Germany)

    479,499
3,400   

Dexia NV/SA (Belgium)*

    28,261
41,500   

Lloyds TSB Group PLC (United Kingdom)*

    58,514
19,200   

Mizuho Financial Group, Inc. (Japan)

    37,871
11,149   

National Bank of Greece SA (Greece)*

    407,611
1,700   

Sumitomo Mitsui Financial Group, Inc. (Japan)

    57,783
14,000   

Sumitomo Trust & Banking Co. Ltd. (The) (Japan)

    72,940
4,900   

Svenska Handelsbanken AB (Class A Stock) (Sweden)

    126,625
117,683   

Wells Fargo & Co.

    3,238,636
       
      7,098,044
       

Financial Services — 4.0%

   
13,614   

Capital One Financial Corp.

    498,272
1,400   

CME Group, Inc.

    423,654
1,205   

Deutsche Boerse AG (Germany)

    97,596
8,800   

DnB NOR ASA (Norway)*

    100,809
2,300   

Eaton Vance Corp.

    65,297

5,165   

First Commonwealth Financial Corp.

    27,116
1,500   

Franklin Resources, Inc.

    156,945
6,500   

Hitachi Capital Corp. (Japan)

    82,580
22,810   

Hong Kong Exchanges and Clearing Ltd. (Hong Kong)

    401,515
614,600   

Industrial & Commercial Bank of China Ltd. (Class H Stock) (China)

    488,985
10,900   

Irish Life & Permanent PLC (Ireland)*

    78,822
2,800   

Jefferies Group, Inc.*

    73,080
1,800   

Muenchener Rueckversicherungs AG (Germany)

    284,783
114,000   

Noble Group Ltd. (Bermuda)

    208,341
23,489   

PNC Financial Services Group, Inc.

    1,149,552
2,950   

Raymond James Financial, Inc.

    69,650
600   

Student Loan Corp. (The)

    25,230
46,541   

U.S. Bancorp

    1,080,682
24,088   

Visa, Inc. (Class A Stock)

    1,824,907
15,900   

Western Union Co. (The)

    288,903
       
      7,426,719
       

Food — 1.1%

   
11,800   

Dairy Crest Group PLC (United Kingdom)

    77,352
2,400   

Danisco A/S (Denmark)

    149,671
1,200   

Delhaize Group (Belgium)

    81,518
227,120   

Golden Agri-Resources Ltd. (Mauritius)*

    68,352
88,500   

Goodman Fielder Ltd. (Australia)

    126,950
34,870   

Marston’s PLC (United Kingdom)

    49,493
21,460   

Metcash Ltd. (Australia)

    90,226
26,128   

Nestle SA (Switzerland)

    1,214,993
46,600   

Northern Foods PLC (United Kingdom)

    48,220
2,300   

Suedzucker AG (Germany)

    47,542
17,300   

Tate & Lyle PLC (United Kingdom)

    127,359
       
      2,081,676
       

Food & Drug Retailing — 0.9%

   
23,596   

CVS Caremark Corp.

    832,939
35,800   

Safeway, Inc.

    799,414
       
      1,632,353
       

Food & Staples Retailing — 0.4%

   
6,519   

BJ’s Restaurants, Inc.*

    104,043
1,250   

BJ’s Wholesale Club, Inc.*

    43,788
13,365   

Wal-Mart Stores, Inc.

    663,973
       
      811,804
       

Food Products — 0.1%

   
1,700   

General Mills, Inc.

    112,064
       

Furniture

   
3,100   

Electrolux AB (Class B Stock) (Sweden)*

    74,304
       

Hand/Machine Tools

   
1,703   

Regal-Beloit Corp.

    79,837
       

Healthcare - Medical Providers — 0.1%

   
2,080   

MEDNAX, Inc.*

    107,994
       

Healthcare Equipment & Supplies — 0.6%

   

6,110

    Baxter International, Inc.    330,307

4,555

    Cutera, Inc.*    41,041

11,330

    Medtronic, Inc.    404,481

1,000

    Teleflex, Inc.    49,750

6,666

    Thoratec Corp.*    175,049

575

    West Pharmaceutical Services, Inc.    22,695

1,075

    Zoll Medical Corp.*    20,876
       
      1,044,199
       

Healthcare Products — 0.5%

   

16,708

    Covidien PLC (Ireland)    703,741

2,220

    Henry Schein, Inc.*    117,282

700

    Hospira, Inc.*    31,248

1,500

    Inverness Medical Innovations, Inc.*    57,015

1,121

    SurModics, Inc.*    28,709

500

    Synthes, Inc.    59,460
       
      997,455
       

Healthcare Providers & Services — 0.8%

   

3,141

    Amedisys, Inc.*    124,980

12,200

    Cardinal Health, Inc.    345,748

6,200

    CIGNA Corp.    172,608

6,820

    Express Scripts, Inc.*    545,054

5,638

    Lincare Holdings, Inc.*    177,090

6,525

    UnitedHealth Group, Inc.    169,324
       
      1,534,804
       

Healthcare Services — 0.3%

   

1,565

    Addus HomeCare Corp.*    14,320

1,900

    AMERIGROUP Corp.*    41,895

4,500

    Astellas Pharma, Inc. (Japan)    165,707

3,580

    Centene Corp.*    63,831

1,100

    Covance, Inc.*    56,848

2,575

    Genoptix, Inc.*    89,584

2,300

    Healthways, Inc.*    36,984

2,250

    Patterson Cos., Inc.*    57,443

2,628

    Psychiatric Solutions, Inc.*    54,242
       
      580,854
       

Hotels, Restaurants & Leisure — 2.2%

   

959

    Choice Hotels International, Inc.    28,597

1,500

    International Speedway Corp. (Class A Stock)    38,265

52,330

    McDonald’s Corp.    3,067,061

12,678

    Wynn Resorts Ltd.    687,401

8,408

    Yum! Brands, Inc.    277,044
       
      4,098,368
       

Household Durables — 0.1%

   

6,000

    Fortune Brands, Inc.    233,700
       

Household Products — 0.2%

   
6,400   

Kimberly-Clark Corp.

    391,424
       

Independent Power Producers & Energy Traders — 0.1%

   
13,700   

Drax Group PLC (United Kingdom)

    104,233
       

Industrial Conglomerates — 0.4%

   
52   

CITIC Pacific Ltd. (Hong Kong)

    134
24,187   

General Electric Co.

    344,907
14,119   

Tyco International Ltd. (Switzerland)

    473,692
       
      818,733
       

Industrial Products — 0.1%

   
1,700   

Harsco Corp.

    53,533
21,200   

Kurabo Industries Ltd. (Japan)

    36,587
1,910   

Precision Castparts Corp.

    182,176
       
      272,296
       

Insurance — 3.0%

   
4,727   

ACE Ltd. (Switzerland)*

    242,779
3,400   

Aflac, Inc.

    141,066
22,500   

Allstate Corp. (The)

    665,325
1,125   

Aspen Insurance Holdings Ltd. (Bermuda)

    29,025
10,500   

Aviva PLC (United Kingdom)

    65,658
2,100   

Baloise Holding AG (Switzerland)

    179,806
45,100   

Beazley PLC (United Kingdom)

    79,138
25,300   

Brit Insurance Holdings PLC (United Kingdom)

    86,161
1,975   

Delphi Financial Group, Inc. (Class A Stock)

    42,858
22,500   

Genworth Financial, Inc. (Class A Stock)*

    238,950
1,575   

Hanover Insurance Group, Inc. (The)

    66,245
2,337   

HCC Insurance Holdings, Inc.

    61,673
5,000   

ING Groep NV, ADR (Netherlands)*

    65,068
56,600   

Legal & General Group PLC (United Kingdom)

    72,626
10,253   

Lincoln National Corp.

    244,329
4,900   

Loews Corp.

    162,190
7,000   

Marsh & McLennan Cos., Inc.

    164,220
31,824   

MetLife, Inc.

    1,082,971
49,800   

Old Mutual PLC (United Kingdom)*

    86,434
2,900   

Protective Life Corp.

    55,825
1,600   

Reinsurance Group of America, Inc.

    73,760
4,100   

SCOR SE (France)

    104,349
1,600   

State Auto Financial Corp.

    26,016
2,200   

Swiss Reinsurance Co. Ltd. (Switzerland)

    89,585
15,909   

Travelers Cos., Inc. (The)

    792,109
1,500   

United Fire & Casualty Co.

    26,220
5,900   

Unum Group

    117,705
948   

Validus Holdings Ltd. (Bermuda)

    23,984
18,200   

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

    298,662
1,200   

Zurich Financial Services AG (Switzerland)

    274,791
       
      5,659,528
       

Internet Services — 2.9%

   
10,787   

Amazon.com, Inc.*

    1,281,603

1,900

    Digital River, Inc.*    43,377

5,817

    Google, Inc. (Class A Stock)*    3,118,610

32,352

    Intel Corp.    618,247

1,510

    NetFlix, Inc.*    80,709

1,120

    Priceline.com, Inc.*    176,725

12,229

    TIBCO Software, Inc.*    107,004
       
      5,426,275
       

Internet Software & Services — 1.2%

   

2,339

    Baidu, Inc., ADR (Cayman Islands)*    883,955

3,400

    Check Point Software Technologies Ltd. (Israel)*    105,638

31,852

    Oracle Corp.    672,077

1,300

    VeriSign, Inc.*    29,653

30,640

    Yahoo!, Inc.*    487,176
       
      2,178,499
       

IT Services — 0.1%

   

900

    CACI International, Inc. (Class A Stock)*    42,858

50,600

    Logica PLC (United Kingdom)    95,928

1,875

    Nice Systems Ltd., ADR (Israel)*    58,069
       
      196,855
       

Life Science Tools & Services — 0.2%

   

8,917

    Thermo Fisher Scientific, Inc.*    401,265
       

Machinery — 0.4%

   

2,525

    Actuant Corp. (Class A Stock)    39,415

2,975

    Bucyrus International, Inc.    132,149

7,600

    Cummins, Inc.    327,256

1,150

    General Cable Corp.*    35,811

1,050

    Kaydon Corp.    36,740

1,150

    Lincoln Electric Holdings, Inc.    54,556

375

    Lindsay Corp.    12,311

425

    Nordson Corp.    22,427

300

    Rieter Holding AG (Switzerland)*    67,174

1,450

    Robbins & Myers, Inc.    33,640

325

    Valmont Industries, Inc.    23,488
       
      784,967
       

Machinery & Equipment — 0.8%

   

11,175

    BHP Billiton Ltd. (Australia)    366,502

5,625

    BHP Billiton Ltd., ADR (Australia)    368,888

3,382

    Caterpillar, Inc.    186,213

3,945

    Deere & Co.    179,695

22,763

    Komatsu Ltd. (Japan)    443,763

7,000

    Kyowa Exeo Corp. (Japan)    64,112
       
      1,609,173
       

Manufacturing — 0.3%

   

7,610

    Danaher Corp.    519,230
       

Media — 1.1%

   

13,400

    CBS Corp. (Class B Stock)    157,718

26,500

    Comcast Corp. (Special Class A Stock)    371,530

16,420

    DIRECTV Group, Inc. (The)*    431,846

5,760

    Discovery Communications, Inc. (Class A Stock)*    158,400

1,900

    Lagardere SCA (France)    85,841

2,100

    McGraw-Hill Cos., Inc. (The)    60,438

14,198

    Pearson PLC (United Kingdom)    192,990

2,525

    Regal Entertainment Group (Class A Stock)    31,840

10,000

    Time Warner, Inc.    301,200

11,632

    Walt Disney Co. (The)    318,368

975

    Wiley, (John) & Sons, Inc. (Class A Stock)    34,340
       
      2,144,511
       

Medical Supplies & Equipment — 0.5%

   

21,375

    Boston Scientific Corp.*    173,565

5,800

    Fresenius Medical Care AG & Co. KGaA (Germany)    281,482

1,470

    Quality Systems, Inc.    89,700

12,100

    Smith & Nephew PLC (United Kingdom)    106,962

8,310

    St. Jude Medical, Inc.*    283,205

2,530

    Vital Images, Inc.*    28,867
       
      963,781
       

Metals & Mining — 1.5%

   

18,000

    BHP Billiton PLC, ADR (United Kingdom)    975,600

23,600

    BlueScope Steel Ltd. (Australia)    62,544

875

    Coeur d’Alene Mines Corp.*    17,570

7,347

    Freeport-McMoRan Copper & Gold, Inc.*    538,976

4,300

    Gold Fields Ltd. (South Africa)    54,825

2,820

    Northwest Pipe Co.*    84,882

9,075

    Nucor Corp.    361,639

37,997

    OZ Minerals Ltd. (Australia)*    39,732

3,300

    Rautaruukki Oyj (Finland)    67,267

5,500

    Southern Copper Corp.    173,250

3,900

    Teck Resources Ltd. (Class B Stock) (Canada)*    112,788

3,300

    Thompson Creek Metals Co., Inc. (Canada)*    33,594

5,300

    ThyssenKrupp AG (Germany)    170,722

2,200

    Timken Co.    48,466

475

    Walter Energy, Inc.    27,788
       
      2,769,643
       

Miscellaneous Manufacturers — 0.2%

   

6,320

    3M Co.    464,962
       

Miscellaneous Manufacturing

   

9,900

    AGFA-Gevaert NV (Belgium)*    59,635
       

Multi-Line Insurance — 0.3%

   

19,200

    AXA SA (France)    477,507
       

Multi-Line Retail — 0.2%

   
9,400    JC Penney Co., Inc.    311,422
       

Multi-Utilities — 0.3%

   

5,100

    Dominion Resources, Inc.    173,859

7,425

    Public Service Enterprise Group, Inc.    221,265

4,200

    Wisconsin Energy Corp.    183,414
       
      578,538
       

Office Electronics — 0.2%

   

46,000

    Xerox Corp.    345,920
       

Office Equipment — 0.1%

   

8,600

    Oce NV (Netherlands)*    54,382

6,000

    Ricoh Co. Ltd. (Japan)    81,541
       
      135,923
       

Oil & Gas — 0.9%

   

21,300

    Centrica PLC (United Kingdom)    86,531

12,375

    Hess Corp.    677,407

1,100

    National Oilwell Varco, Inc.*    45,089

5,300

    Statoil ASA (Norway)    124,890

2,000

    Total SA (France)    119,681

8,482

    Total SA, ADR (France)    509,514

5,400

    Weatherford International Ltd. (Switzerland)*    94,662
       
      1,657,774
       

Oil, Gas & Consumable Fuels — 9.3%

   

2,773

    Air Liquide SA (France)    298,654

14,595

    Anadarko Petroleum Corp.    889,273

11,850

    Apache Corp.    1,115,322

1,075

    Arena Resources, Inc.*    40,054

58,800

    BP PLC (United Kingdom)    550,972

2,600

    Cabot Oil & Gas Corp.    100,022

4,940

    Canadian Natural Resources Ltd. (Canada)    320,583

20,912

    Chevron Corp.    1,600,604

220,499

    CNOOC Ltd. (Hong Kong)    330,227

1,050

    Concho Resources, Inc.*    40,016

19,900

    ConocoPhillips    998,582

600

    Core Laboratories NV (Netherlands)    62,580

16,200

    Cosmo Oil Co. Ltd. (Japan)    42,555

8,700

    ENI SpA (Italy)    215,471

1,914

    EOG Resources, Inc.    156,297

12,037

    Exxon Mobil Corp.    862,692

1,675

    GMX Resources, Inc.*    21,323

2,425

    Lufkin Industries, Inc.    138,346

15,000

    Marathon Oil Corp.    479,550

29,500

    Nippon Oil Corp. (Japan)    145,369

2,700

    Noble Energy, Inc.    177,201

10,000

    Norsk Hydro ASA (Norway)*    65,540

13,922

    Occidental Petroleum Corp.    1,056,401

1,300

    ONEOK, Inc.    47,073

39,285

    Petroleo Brasileiro SA, ADR (Brazil)    1,815,753

2,625

    Petroquest Energy, Inc.*    16,091

6,800

    Repsol YPF SA (Spain)    181,025

19,300

    Royal Dutch Shell PLC (Class B Stock) (United Kingdom)    555,599

13,900

    Royal Dutch Shell PLC (Class B Stock), ADR (United Kingdom)    808,424

5,883

    Schlumberger Ltd. (Netherlands)    365,923

5,220

    Southwestern Energy Co.*    227,488

1,900

    St. Mary Land & Exploration Co.    64,790

2,000

    Swift Energy Co.*    42,360

29,015

    Transocean Ltd. (Switzerland)*    2,434,649

1,500

    Ultra Petroleum Corp. (Canada)*    72,825

17,700

    Valero Energy Corp.    320,370

6,075

    Vantage Drilling Co. (Cayman Islands)*    10,024

1,500

    WGL Holdings, Inc.    49,590

1,185

    Whiting Petroleum Corp.*    66,834

17,191

    XTO Energy, Inc.    714,458
       
      17,500,910
       

Paper & Forest Products

   

42,200

    DS Smith PLC (United Kingdom)    80,595

1,900

    Louisiana-Pacific Corp.*    9,975
       
      90,570
       

Pharmaceuticals — 6.3%

   

46,157

    Abbott Laboratories    2,334,160

5,480

    Allergan, Inc.    308,250

8,819

    American Medical Systems Holdings, Inc.*    135,989

7,200

    AstraZeneca PLC (United Kingdom)    323,219

4,758

    BioMarin Pharmaceutical, Inc.*    74,035

30,450

    Bristol-Myers Squibb Co.    663,810

938

    Cubist Pharmaceuticals, Inc.*    15,890

31,300

    Eli Lilly & Co.    1,064,513

4,100

    GlaxoSmithKline PLC (United Kingdom)    84,102

5,500

    H. Lundbeck A/S (Denmark)    106,523

1,865

    Herbalife Ltd. (Cayman Islands)    62,757

5,400

    Johnson & Johnson    318,870

4,720

    Mead Johnson Nutrition Co. (Class A Stock)    198,429

1,870

    Medco Health Solutions, Inc.*    104,944

48,424

    Merck & Co., Inc.    1,497,754

12,967

    Novartis AG (Switzerland)    675,246

7,100

    Novo Nordisk A/S (Class B Stock) (Denmark)    441,096

1,872

    Onyx Pharmaceuticals, Inc.*    49,795

85,262

    Pfizer, Inc.    1,452,012

2,800

    Pharmaceutical Product Development, Inc.    60,340

1,773

    Roche Holding AG (Switzerland)    283,969

5,600

    Sanofi-Aventis SA (France)    410,492

5,900

    Schering-Plough Corp.    166,380

28,400

    Sinopharm Group Co. (Class H Stock) (China)*    103,337

6,000

    Takeda Pharmaceutical Co. Ltd. (Japan)    239,961

13,874

    Teva Pharmaceutical Industries Ltd., ADR (Israel)    700,360

2,878

    Vivus, Inc.*    22,736
       
      11,898,969
       

Professional Services

   

1,375

    Watson Wyatt Worldwide, Inc. (Class A Stock)    59,923
       

Real Estate — 0.1%

   
12,925   

Chimera Investment Corp.

    45,108
600   

Jones Lang LaSalle, Inc.

    28,110
8,125   

MFA Financial, Inc.

    60,288
       
      133,506
       

Real Estate Investment Trusts — 1.0%

   
30,500   

Annaly Capital Management, Inc.

    515,755
4,950   

AvalonBay Communities, Inc.

    340,461
3,341   

Boston Properties, Inc.

    203,032
1,800   

DiamondRock Hospitality Co.*

    13,698
7,426   

Equity Residential

    214,463
1,600   

First Potomac Realty Trust

    18,160
875   

LaSalle Hotel Properties

    15,015
4,300   

Medical Properties Trust, Inc.

    34,400
3,273   

Redwood Trust, Inc.

    45,626
2,600   

Simon Property Group, Inc.

    176,514
4,331   

Vornado Realty Trust

    257,954
       
      1,835,078
       

Restaurants

   
1,750   

Brinker International, Inc.

    22,120
2,585   

Steak n Shake Co. (The)*

    30,115
       
      52,235
       

Retail — 0.4%

   
6,400   

Aoyama Trading Co. Ltd. (Japan)

    102,563
4,800   

GameStop Corp. (Class A Stock)*

    116,592
6,527   

Genesco, Inc.*

    170,159
75,400   

Kingfisher PLC (United Kingdom)

    275,596
       
      664,910
       

Retail & Merchandising — 2.5%

   
16,875   

Best Buy Co., Inc.

    644,287
7,214   

Cash America International, Inc.

    218,296
4,400   

Circle K Sunkus Co. Ltd. (Japan)

    60,400
6,528   

Hennes & Mauritz AB (Class B Stock) (Sweden)

    370,801
13,897   

Lowe’s Cos., Inc.

    271,964
4,070   

Nordstrom, Inc.

    129,345
2,700   

Rallye SA (France)

    91,670
1,000   

School Specialty, Inc.*

    22,250
2,600   

Shimachu Co. Ltd. (Japan)

    61,466
2,300   

Sonic Corp.*

    21,505
31,040   

Staples, Inc.

    673,568
3,000   

Starbucks Corp.*

    56,940
16,787   

Target Corp.

    812,994
13,200   

TJX Cos., Inc.

    493,020
6,000   

UNY Co. Ltd. (Japan)

    44,567
84,200   

Wal-Mart de Mexico SAB de CV (Class V Stock) (Mexico)

    293,724
10,520   

Walgreen Co.

    397,972
       
      4,664,769
       

Road & Rail — 0.3%

   
8,525   

Burlington Northern Santa Fe Corp.

    642,103
       

Semiconductor Components — 0.1%

   
77,400   

ARM Holdings PLC (United Kingdom)

    188,025
       

Semiconductors — 0.5%

   
16,087   

Applied Materials, Inc.

    196,261
3,558   

FormFactor, Inc.*

    60,450
6,140   

Marvell Technology Group Ltd. (Bermuda)*

    84,241
13,522   

ON Semiconductor Corp.*

    90,462
3,135   

OYO Geospace Corp.*

    82,294
4,520   

Rovi Corp.*

    124,526
720   

Silicon Laboratories, Inc.*

    30,168
2,225   

Skyworks Solutions, Inc.*

    23,207
15,550   

Teradyne, Inc.*

    130,153
4,325   

TriQuint Semiconductor, Inc.*

    23,312
5,935   

Varian Semiconductor Equipment Associates, Inc.*

    168,495
       
      1,013,569
       

Semiconductors & Semiconductor Equipment — 0.1%

   
1,136   

Advanced Energy Industries, Inc.*

    13,871
3,800   

Texas Instruments, Inc.

    89,110
       
      102,981
       

Software — 2.1%

   
20,805   

Adobe Systems, Inc.*

    685,317
3,015   

ANSYS, Inc.*

    122,349
3,300   

BMC Software, Inc.*

    122,628
31,905   

CA, Inc.

    667,452
3,700   

Citrix Systems, Inc.*

    136,012
6,778   

Eclipsys Corp.*

    127,087
2,110   

Intuit, Inc.*

    61,338
400   

Konami Corp. (Japan)

    7,278
2,854   

MedAssets, Inc.*

    62,617
1,755   

MICROS Systems, Inc.*

    47,244
60,667   

Microsoft Corp.

    1,682,296
10,618   

Novell, Inc.*

    43,428
2,175   

Sybase, Inc.*

    86,043
1,350   

Tyler Technologies, Inc.*

    25,677
1,110   

VMware, Inc. (Class A Stock)*

    42,657
       
      3,919,423
       

Specialty Retail — 0.7%

   
3,055   

Aaron’s, Inc.

    76,528
11,500   

Gap, Inc. (The)

    245,410
22,530   

Home Depot, Inc. (The)

    565,277
22,100   

Limited Brands, Inc.

    388,960
1,600   

Tiffany & Co.

    62,864
       
      1,339,039
       

Steel Producers/Products

   
2,400   

Voestalpine AG (Austria)

    82,066
       

Telecommunications — 3.7%

   
7,150   

Amdocs Ltd. (Guernsey)*

    180,180
5,420   

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

    239,185
5,500   

Arris Group, Inc.*

    56,430
68,800   

BT Group PLC (United Kingdom)

    147,435
49,307   

Cisco Systems, Inc.*

    1,126,665
5,250   

EMS Technologies, Inc.*

    91,507
22,174   

Ericsson, LM Telefonaktiebolaget , ADR (Sweden)

    230,610
3,800   

France Telecom SA (France)

    94,159
30   

KDDI Corp. (Japan)

    159,225
2,397   

MasTec, Inc.*

    28,285
95,490   

MobileOne Ltd. (Singapore)

    118,128
4,000   

Nippon Telegraph & Telephone Corp. (Japan)

    165,049
14,463   

Nokia Oyj (Finland)

    182,685
80   

NTT DoCoMo, Inc. (Japan)

    116,021
14,300   

Portugal Telecom SGPS SA (Portugal)

    163,456
42,709   

QUALCOMM, Inc.

    1,768,580
1,500   

SBA Communications Corp. (Class A Stock)*

    42,315
700   

Swisscom AG (Switzerland)

    252,643
121,500   

Telecom Italia SpA (Italy)

    193,019
17,975   

Telefonica SA (Spain)

    501,979
29,400   

Turkcell Iletisim Hizmet A/S (Turkey)

    194,521
5,000   

Vivendi (France)

    138,712
93,700   

Vodafone Group PLC (United Kingdom)

    206,499
22,000   

Vodafone Group PLC, ADR (United Kingdom)

    488,180
       
      6,885,468
       

Textiles, Apparel & Luxury Goods — 0.2%

   
11,600   

Jones Apparel Group, Inc.

    207,524
3,050   

Phillips-Van Heusen Corp.

    122,457
       
      329,981
       

Thrifts & Mortgage Finance

   
2,825   

Washington Federal, Inc.

    48,449
       

Tobacco — 0.7%

   
19,100   

Altria Group, Inc.

    345,901
9,624   

British American Tobacco PLC (United Kingdom)

    306,679
12,780   

Philip Morris International, Inc.

    605,261
       
      1,257,841
       

Transportation — 1.8%

   
6,800   

Canadian National Railway Co. (Canada)

    328,672
2,430   

Genco Shipping & Trading Ltd. (Marshall Island)

    48,333
3,620   

Landstar System, Inc.

    127,569
18,575   

Norfolk Southern Corp.

    865,966
15,000   

Seino Holdings Co. Ltd. (Japan)

    110,998
33,454   

Union Pacific Corp.

    1,844,654
       
      3,326,192
       

Utilities — 0.6%

   
15,750   

American Electric Power Co., Inc.

    475,965

2,600   

Endesa SA (Spain)

      86,515
4,950   

Peabody Energy Corp.

      195,971
7,875   

PG&E Corp.

      322,009
         
        1,080,460
         

Wireless Telecommunication Services — 0.6%

   
28,458   

American Tower Corp. (Class A Stock)*

      1,047,823
3,475   

Syniverse Holdings, Inc.*

      59,527
         
        1,107,350
         
  

TOTAL COMMON STOCKS
(cost $160,686,034)

      179,895,377
         

PREFERRED STOCK 0.1%

   

Financial - Bank & Trust

   
7,325   

Wells Fargo & Co., Series J, 8.00%, CVT
(cost $139,923)

      179,096
         

Units

          

RIGHTS*(d)

   

Financial Services

   
5,600   

Fortis, expiring 03/09/14 (Belgium)
(cost $0)

      —  
         
  

TOTAL LONG-TERM INVESTMENTS
(cost $160,825,957)

      180,074,473
         

SHORT-TERM INVESTMENT 3.4%

   

Shares

          

AFFILIATED MONEY MARKET MUTUAL FUND

   
6,408,118   

Dryden Core Investment Fund - Taxable Money Market Series
(cost $6,408,118)(a)

      6,408,118
         
  

TOTAL INVESTMENTS(b) — 99.5%
(cost $167,234,075)(c)

      186,482,591
  

Other assets in excess of liabilities(e) — 0.5%

      965,642
         
  

NET ASSETS — 100%

    $ 187,448,233

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

BRL

    Brazilian Real

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 October 31, 2009, 182 securities representing $31,077,482 and 16.6% 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 Portfolio’s investments was $181,879,847; accordingly, net unrealized appreciation on investments for federal income tax purposes was $4,602,744 (gross unrealized appreciation - $13,027,785; gross unrealized depreciation - $8,425,041). The difference between book and tax basis is primarily attributable to deferred losses on wash sales.
(d) The amount represents fair value of derivative instruments subject to equity contracts risk exposure as of October 31, 2009.
(e) Other assets in excess of liabilities includes net unrealized appreciation (depreciation) on forward foreign currency exchange contracts as follows:

Forward foreign currency exchange contracts outstanding at October 31, 2009:

 

Purchase Contracts

   

Counterparty

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

Mexican Peso,

                  

Expiring 11/30/09

   

State Street Bank

    MXN    1,330    $ 97,848    $ 100,322    $ 2,474   

Expiring 11/30/09

   

State Street Bank

    MXN    416      30,499      31,378      879   

Expiring 11/30/09

   

State Street Bank

    MXN    413      30,671      31,153      482   
                               
            $ 159,018    $ 162,853    $ 3,835   
                               

Sale Contracts

   

Counterparty

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

Brazilian Real,

                  

Expiring 01/22/10

   

State Street Bank

    BRL    687    $ 385,474    $ 383,497    $ 1,977   

Mexican Peso,

                  

Expiring 11/30/09

   

State Street Bank

    MXN    7,806      578,201      588,806      (10,605 ) 

Expiring 11/30/09

   

State Street Bank

    MXN    1,227      89,886      92,553      (2,667 ) 
                               
            $ 1,053,561    $ 1,064,856    $ (11,295 ) 
                               

 

(1)

The amount represents fair value of derivative instruments subject to foreign exchange contract risk exposure as of October 31, 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 Portfolio’s own assumptions in determining the fair value of investments)

The following is a summary of the inputs used as of October 31, 2009 in valuing the Fund’s assets carried at fair value:

 

Investments in Securities

    Level 1    Level 2     Level 3

Common Stocks

    $ 148,817,895    $ 31,077,482      $ —  

Preferred Stock

      179,096      —          —  

Affiliated Money Market Mutual Fund

      6,408,118      —          —  
                     
   $ 155,405,109    $ 31,077,482      $ —  

Other Financial Instruments*

      —        (7,460 )      —  
                     

Total

    $ 155,405,109    $ 31,070,022      $ —  
                     

 

* 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, 2009 and October 31, 2009, the Fund had two Level 3 securities with a fair value of $0.

Target Moderate Allocation Fund

Schedule of Investments

as of October 31, 2009 (Unaudited)

 

Shares

   

Description

    Value

LONG-TERM INVESTMENTS 94.2%

   

COMMON STOCKS 63.6%

   

Aerospace & Defense 1.8%

   
1,800   

AAR Corp.*

    $ 35,298
1,700   

Boeing Co. (The)

      81,260
16,100   

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

      326,025
31,061   

General Dynamics Corp.

      1,947,525
4,675   

Hexcel Corp.*

      51,425
5,000   

Lockheed Martin Corp.

      343,950
21,500   

Meggitt PLC (United Kingdom)

      86,082
1,375   

Moog, Inc. (Class A Stock)*

      34,334
3,900   

MTU Aero Engines Holding AG (Germany)

      177,221
17,100   

Northrop Grumman Corp.

      857,223
9,800   

Safran SA (France)

      158,101
1,000   

Teledyne Technologies, Inc.*

      34,160
1,800   

Thales SA (France)

      87,214
675   

TransDigm Group, Inc.

      26,447
15,623   

United Technologies Corp.

      960,033
         
        5,206,298
         

Air Freight & Couriers 0.1%

   
3,830   

FedEx Corp.

      278,403
         

Airlines 0.1%

   
75,500   

Air New Zealand Ltd. (New Zealand)

      70,004
6,000   

Deutsche Lufthansa AG (Germany)

      92,649
61,500   

Qantas Airways Ltd. (Australia)

      152,919
9,000   

Singapore Airlines Ltd. (Singapore)

      86,308
         
        401,880
         

Apparel & Textile 0.1%

   
5,690   

True Religion Apparel, Inc.*

      146,631
1,625   

Wolverine World Wide, Inc.

      41,568
         
        188,199
         

Appliances

   
4,800   

Electrolux AB (Class B Stock) (Sweden)*

      115,051
         

Auto Components 0.1%

   
6,800   

Johnson Controls, Inc.

      162,656
         

Auto Parts & Equipment 0.1%

   
6,200   

Keihin Corp. (Japan)

      94,174
4,900   

Nifco, Inc. (Japan)

      100,277
         
        194,451
         

Automobile Manufacturers 0.1%

   
1,500   

Daimler AG (Germany)

      72,860
14,000   

Nissan Shatai Co. Ltd. (Japan)

      118,009
         
        190,869
         

 

Automobiles 0.3%

   
10,100   

Harley-Davidson, Inc.

    251,692
2,400   

Honda Motor Co. Ltd. (Japan)

    74,128
11,700   

Nissan Motor Co. Ltd. (Japan)*

    84,663
12,300   

Toyota Motor Corp. (Japan)

    485,566
       
      896,049
       

Automotive Parts 0.1%

   
1,225   

Autoliv, Inc.

    41,135
300   

Georg Fischer AG (Switzerland)*

    78,886
39,500   

GKN PLC (United Kingdom)*

    69,193
6,400   

Sumitomo Electric Industries Ltd. (Japan)

    77,663
       
      266,877
       

Banks 0.3%

   
23,000   

Fukuoka Financial Group, Inc. (Japan)

    84,097
6,251   

Julius Baer Group Ltd. (Switzerland)

    235,319
29,600   

Mizuho Financial Group, Inc. (Japan)

    58,384
16,528   

Standard Chartered PLC (United Kingdom)

    405,465
       
      783,265
       

Beverages 0.5%

   
2,600   

Anheuser-Busch InBev NV, ADR (Belgium)*

    122,668
3,600   

Molson Coors Brewing Co. (Class B Stock)

    176,292
15,438   

PepsiCo, Inc.

    934,771
11,528   

SABMiller PLC (United Kingdom)

    302,168
       
      1,535,899
       

Biotechnology 0.6%

   
260   

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

    23,241
4,951   

BioMarin Pharmaceutical, Inc.*

    77,038
2,460   

Celgene Corp.*

    125,583
1,457   

Cubist Pharmaceuticals, Inc.*

    24,682
5,160   

Genzyme Corp.*

    261,096
28,746   

Gilead Sciences, Inc.*

    1,223,142
1,985   

Regeneron Pharmaceuticals, Inc.*

    31,164
2,900   

Seattle Genetics, Inc.*

    26,332
       
      1,792,278
       

Broadcasting 0.1%

   
34,744   

British Sky Broadcasting Group PLC (United Kingdom)

    302,938
       

Building Materials 0.3%

   
500   

Ciments Francais SA (France)

    54,490
83,300   

Kingfisher PLC (United Kingdom)

    304,472
11,000   

Kurabo Industries Ltd. (Japan)

    18,984
4,302   

Lafarge SA (France)

    349,192
32,000   

Sanwa Holdings Corp. (Japan)

    87,740
       
      814,878
       

 

Business Services 0.1%

   
5,320   

Verisk Analytics, Inc. (Class A Stock)*

    145,928
       

Capital Goods

   
1,500   

Harsco Corp.

    47,235
       

Capital Markets 1.3%

   
4,375   

Apollo Investment Corp.

    39,375
6,200   

Bank of New York Mellon Corp. (The)

    165,292
8,450   

E*Trade Financial Corp.*

    12,337
18,050   

Goldman Sachs Group, Inc. (The)

    3,071,568
4,225   

MF Global Ltd. (Bermuda)*

    30,082
10,000   

Morgan Stanley

    321,200
2,700   

Raymond James Financial, Inc.

    63,747
775   

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

    21,747
       
      3,725,348
       

Chemicals 2.4%

   
5,498   

Air Products & Chemicals, Inc.

    424,061
1,250   

Airgas, Inc.

    55,450
3,400   

BASF SE (Germany)

    182,002
8,200   

Clariant AG (Switzerland)*

    78,395
425   

Cytec Industries, Inc.

    14,097
61,535   

Dow Chemical Co. (The)

    1,444,842
3,100   

Eastman Chemical Co.

    162,781
3,080   

Ecolab, Inc.

    135,397
8,400   

GrafTech International Ltd.*

    113,400
17,017   

Huntsman Corp.

    135,285
4,400   

Koninklijke DSM NV (Netherlands)

    192,782
3,930   

Monsanto Co.

    264,017
16,000   

Nippon Shokubai Co. Ltd. (Japan)

    134,476
8,339   

Potash Corp. of Saskatchewan, Inc. (Canada)

    773,692
20,820   

PPG Industries, Inc.

    1,174,872
18,504   

Praxair, Inc.

    1,469,958
2,850   

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

    115,767
1,675   

Sensient Technologies Corp.

    42,361
1,000   

Solvay SA (Belgium)

    98,197
3,810   

Terra Industries, Inc.

    121,044
1,400   

Valspar Corp. (The)

    35,518
30,000   

Yingde Gases (Cayman Islands)*

    35,767
       
      7,204,161
       

Clothing & Apparel 0.8%

   
4,110   

Coach, Inc.

    135,507
35,112   

NIKE, Inc. (Class B Stock)

    2,183,264
10,000   

Onward Holdings Co. Ltd. (Japan)

    62,077
       
      2,380,848
       

 

Commercial Banks 0.8%

   
4,500   

Allied Irish Banks PLC (Ireland)*

    12,425
7,600   

Alpha Bank A.E. (Greece)*

    146,528
8,300   

Banco Espirito Santo SA (Portugal)

    61,258
2,150   

BancorpSouth, Inc.

    48,547
15,000   

Bank of Ireland (Ireland)*

    37,625
50,965   

Barclays PLC (United Kingdom)*

    267,112
1,525   

Danvers Bancorp, Inc.

    20,938
19,271   

Fifth Third Bancorp

    172,283
5,435   

First Commonwealth Financial Corp.

    28,534
1,536   

FirstMerit Corp.

    29,107
16,200   

HSBC Holdings PLC, ADR (United Kingdom)

    897,318
32,100   

KeyCorp

    173,019
3,689   

Northern Trust Corp.

    185,372
1,775   

Prosperity Bancshares, Inc.

    63,527
31,200   

Regions Financial Corp.

    151,008
200   

Territorial Bancorp, Inc.*

    3,298
1,900   

Trustmark Corp.

    36,005
950   

UMB Financial Corp.

    37,782
1,400   

United Bankshares, Inc.

    24,990
425   

United Financial Bancorp, Inc.

    5,461
       
      2,402,137
       

Commercial Services & Supplies 1.2%

   
3,738   

Coinstar, Inc.*

    118,644
6,000   

GEO Group, Inc. (The)*

    126,900
7,420   

Moody’s Corp.

    175,706
4,749   

Ritchie Bros. Auctioneers, Inc. (Canada)

    104,098
3,875   

Sotheby’s

    61,457
24,890   

Visa, Inc. (Class A Stock)

    1,885,666
6,157   

Waste Connections, Inc.*

    193,515
26,927   

Waste Management, Inc.

    804,579
       
      3,470,565
       

Communication Equipment 0.3%

   
5,000   

Arris Group, Inc.*

    51,300
5,205   

EMS Technologies, Inc.*

    90,723
29,935   

Juniper Networks, Inc.*

    763,642
2,514   

Mastec, Inc.*

    29,665
       
      935,330
       

Computer Hardware 1.3%

   
18,750   

Apple, Inc.*

    3,534,375
2,100   

Dell, Inc.*

    30,429
10,089   

Logitech International SA (Switzerland)*

    172,219
       
      3,737,023
       

Computer Services & Software 0.4%

   
3,300   

Accenture PLC (Class A Stock) (Ireland)

    122,364
18,720   

EMC Corp.*

    308,318
1,700   

Global Payments, Inc.

    83,691
3,130   

Informatica Corp.*

    66,450
2,210   

Intuit, Inc.*

    64,245
1,080   

Nuance Communications, Inc.*

    14,159

1,140   

Radiant Systems, Inc.*

    11,217
9,106   

SAP AG (Germany)

    412,457
6,700   

Tieto Oyj (Finland)

    133,812
       
      1,216,713
       

Computers

   
3,100   

Itochu Techno-Solutions Corp. (Japan)

    85,213
       

Computers & Peripherals 1.5%

   
7,140   

Cognizant Technology Solutions Corp. (Class A Stock)*

    275,961
5,633   

Compellent Technologies, Inc.*

    103,309
28,516   

Hewlett-Packard Co.

    1,353,369
22,557   

International Business Machines Corp.

    2,720,600
6,061   

Netezza Corp.*

    56,004
3,700   

QLogic Corp.*

    64,898
       
      4,574,141
       

Conglomerates 0.1%

   
30,300   

Marubeni Corp. (Japan)

    149,912
7,400   

Mitsubishi Corp. (Japan)

    156,882
       
      306,794
       

Construction

   
1,000   

Granite Construction, Inc.

    28,560
1,100   

URS Corp.*

    42,746
       
      71,306
       

Construction & Engineering 0.1%

   
8,800   

COMSYS Holdings Corp. (Japan)

    86,973
9,000   

NCC AB (Class B Stock) (Sweden)

    135,965
3,055   

Northwest Pipe Co.*

    91,956
6,570   

Singapore Airport Terminal Services Ltd. (Singapore)

    11,481
       
      326,375
       

Consumer Finance 0.4%

   
28,044   

American Express Co.

    977,053
1,800   

Assured Guaranty Ltd. (Bermuda)

    29,844
6,814   

Cash America International, Inc.

    206,192
2,075   

First Cash Financial Services, Inc.*

    35,648
       
      1,248,737
       

Consumer Products & Services 0.4%

   
980   

Apollo Group, Inc. (Class A Stock)*

    55,958
10,220   

Avon Products, Inc.

    327,551
4,490   

Colgate-Palmolive Co.

    353,049
55,000   

Pacific Brands Ltd. (Australia)*

    64,042
7,348   

Reckitt Benckiser Group PLC (United Kingdom)

    365,011
1,300   

Toro Co. (The)

    48,126
2,306   

Vitamin Shoppe, Inc.*

    40,517
       
      1,254,254
       

Containers & Packaging 0.1%

   
42,800   

Amcor Ltd. (Australia)

    220,399
2,270   

Owens-Illinois, Inc.*

    72,368
2,250   

Packaging Corp. of America

    41,130
       
      333,897
       

Cosmetics & Toiletries

   
8,000   

Natura Cosmeticos SA (Brazil)

    143,778
       

Distribution/Wholesale 0.1%

   
16,500   

Sumitomo Corp. (Japan)

    160,177
       

Diversified Consumer Services

   
2,900   

Regis Corp.

    47,096
       

Diversified Financial Services 1.9%

   
33,600   

BM&FBOVESPA SA (Brazil)

    216,485
35,500   

Challenger Financial Services Group Ltd. (Australia)

    116,739
77,461   

Citigroup, Inc.

    316,816
2,375   

Conseco, Inc.*

    12,374
1,326   

Deutsche Boerse AG (Germany)

    107,396
2,225   

Fifth Street Finance Corp.

    21,872
113,385   

JPMorgan Chase & Co.

    4,736,091
       
      5,527,773
       

Diversified Manufacturing 0.1%

   
9,300   

AGFA-Gevaert NV (Belgium)*

    56,021
13,100   

IMI PLC (United Kingdom)

    92,397
26,200   

Tomkins PLC (United Kingdom)

    71,877
       
      220,295
       

Diversified Operations 0.2%

   
48   

CITIC Pacific Ltd. (Hong Kong)

    124
5,300   

Davis Service Group PLC (United Kingdom)

    36,315
4,480   

LVMH Moet Hennessy Louis Vuitton SA (France)

    463,909
10,000   

Mitsui & Co. Ltd. (Japan)

    131,329
       
      631,677
       

Diversified Telecommunication Services 0.8%

   
45,501   

AT&T, Inc.

    1,168,011
5,300   

CenturyTel, Inc.

    172,038
37,349   

Verizon Communications, Inc.

    1,105,157
       
      2,445,206
       

Education 0.1%

   
2,700   

DeVry, Inc.

    149,283
       

Electric 0.1%

   
11,230   

AES Corp. (The)*

    146,776
8,434   

NRG Energy, Inc.*

    193,898
       
      340,674
       

 

Electric Utilities 0.8%

   
23,900   

Edison International

    760,498
28,400   

Enel SpA (Italy)

    168,989
13,200   

Exelon Corp.

    619,872
1,744   

Fortum Oyj (Finland)

    41,278
6,900   

FPL Group, Inc.

    338,790
6,783   

Public Service Enterprise Group, Inc.

    202,133
7,913   

Southern Co.

    246,807
       
      2,378,367
       

Electrical Equipment 0.1%

   
9,122   

Emerson Electric Co.

    344,355
825   

Smith (A.O.) Corp.

    32,695
       
      377,050
       

Electronic Components 0.3%

   
2,610   

A123 Systems, Inc.*

    51,313
9,000   

Alpine Electronics, Inc. (Japan)*

    88,458
4,376   

DTS, Inc.*

    123,622
3,304   

Fanuc Ltd. (Japan)

    274,434
6,500   

Flextronics International Ltd. (Singapore)*

    42,120
3,400   

FLIR Systems, Inc.*

    94,554
963   

Itron, Inc.*

    57,818
658   

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

    201,199
14,100   

TT Electronics PLC (United Kingdom)*

    16,836
       
      950,354
       

Electronic Equipment & Instruments 0.2%

   
4,250   

Coherent, Inc.*

    106,802
25,880   

Tyco Electronics Ltd. (Switzerland)

    549,950
       
      656,752
       

Energy Equipment & Services 0.7%

   
500   

Core Laboratories NV (Netherlands)

    52,150
5,100   

Diamond Offshore Drilling, Inc.

    485,775
27,651   

Halliburton Co.

    807,685
4,125   

Key Energy Services, Inc.*

    30,154
2,597   

Lufkin Industries, Inc.

    148,159
1,200   

Oil States International, Inc.*

    41,328
2,895   

OYO Geospace Corp.*

    75,994
950   

Unit Corp.*

    37,126
7,075   

Vantage Drilling Co. (Cayman Islands)*

    11,674
4,895   

Vestas Wind Systems A/S (Denmark)*

    343,318
5,700   

Weatherford International Ltd. (Switzerland)*

    99,921
       
      2,133,284
       

Entertainment & Leisure 0.6%

   
11,258   

Carnival Corp. (Panama)

    327,833
10,948   

Carnival PLC (United Kingdom)

    339,403
4,890   

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

    156,480
7,802   

Hennes & Mauritz AB (Class B Stock) (Sweden)

    443,166
1,800   

Life Time Fitness, Inc.*

    38,790
639   

Nintendo Co. Ltd. (Japan)

    160,277
6,240   

Royal Caribbean Cruises Ltd. (Liberia)*

    126,235
16,200   

Tabcorp Holdings Ltd. (Australia)

    103,341
36,200   

Thomas Cook Group PLC (United Kingdom)

    121,223
       
      1,816,748
       

Environmental Services

   
1,170   

Republic Services, Inc.

    30,315
       

Equipment Services 0.1%

   
23,600   

Downer EDI Ltd. (Australia)

    179,653
5,900   

Kyoei Steel Ltd. (Japan)

    131,828
       
      311,481
       

Exchange Traded Fund

   
2,325   

iShares Russell 2000 Value Index Fund

    122,923
       

Farming & Agriculture 0.1%

   
76,800   

AWB Ltd. (Australia)

    83,860
118,000   

Chaoda Modern Agriculture Holdings Ltd. (Cayman Islands)

    91,172
       
      175,032
       

Financial - Bank & Trust 3.7%

   
3,750   

Astoria Financial Corp.

    37,425
12,396   

Banco Bilbao Vizcaya Argentaria SA (Spain)

    221,579
21,200   

Banco Santander Brasil SA, ADR (Brazil)*

    251,432
25,800   

Banco Santander SA (Spain)

    415,180
122,719   

Bank of America Corp.

    1,789,243
7,632   

BNP Paribas (France)

    574,950
23,900   

Bradford & Bingley PLC (United Kingdom)*

    —  
4,635   

Broadpoint Gleacher Securities, Inc.*

    29,525
11,360   

Charles Schwab Corp. (The)

    196,982
153,771   

China Merchants Bank Co. Ltd. (Class H Stock) (China)

    393,399
5,300   

Credit Agricole SA (France)

    101,522
6,600   

Credit Saison Co. Ltd. (Japan)

    73,781
2,200   

Credit Suisse Group AG (Switzerland)

    117,606
3,100   

Danske Bank A/S (Denmark)*

    71,197
6,700   

Deutsche Bank AG (Germany)

    486,764
5,300   

Dexia NV SA (Belgium)*

    44,053
56,281   

Intesa Sanpaolo SpA (Italy)*

    236,858
68,431   

Lloyds TSB Group PLC (United Kingdom)*

    96,486
70,000   

Mitsubishi UFJ Financial Group, Inc. (Japan)

    372,848
12,357   

National Bank of Greece SA (Greece)*

    451,776
6,000   

Natixis SA (France)*

    33,705
23,875   

PNC Financial Services Group, Inc.

    1,168,443
600   

Student Loan Corp. (The)

    25,230
18,000   

Sumitomo Trust & Banking Co. Ltd. (The) (Japan)

    93,780
4,400   

Svenska Handelsbanken AB (Class A Stock) (Sweden)

    113,704
19,600   

Takefuji Corp. (Japan)

    73,346

400   

Verwaltungs und Privat Bank AG (Liechtenstein)

    42,761
121,978   

Wells Fargo & Co.

    3,356,835
       
      10,870,410
       

Financial Services 1.4%

   
1,930   

Affiliated Managers Group, Inc.*

    122,536
13,355   

Capital One Financial Corp.

    488,793
1,410   

CME Group, Inc.

    426,680
3,700   

Companhia Brasileira de Meios de Pagamento (Brazil)

    34,047
7,800   

DnB NOR ASA (Norway)*

    89,353
2,100   

Eaton Vance Corp.

    59,619
1,500   

Franklin Resources, Inc.

    156,945
25,195   

Hong Kong Exchanges and Clearing Ltd. (Hong Kong)

    443,498
680,084   

Industrial & Commercial Bank of China Ltd. (Class H Stock) (China)

    541,085
7,400   

Irish Life & Permanent PLC (Ireland)*

    53,512
2,500   

Jefferies Group, Inc.*

    65,250
3,300   

Macquarie Group Ltd. (Australia)

    144,526
109,000   

Noble Group Ltd. (Bermuda)

    199,203
48,040   

U.S. Bancorp

    1,115,489
16,490   

Western Union Co. (The)

    299,623
       
      4,240,159
       

Food & Beverage 0.2%

   
5,370   

Coca-Cola Co. (The)

    286,275
12,400   

Dairy Crest Group PLC (United Kingdom)

    81,285
48,600   

Northern Foods PLC (United Kingdom)

    50,289
10,500   

Tate & Lyle PLC (United Kingdom)

    77,299
       
      495,148
       

Food & Drug Retailing 0.6%

   
1,450   

BJ’s Wholesale Club, Inc.*

    50,794
24,285   

CVS Caremark Corp.

    857,260
36,700   

Safeway, Inc.

    819,511
       
      1,727,565
       

Foods 0.7%

   
6,180   

CSM NV (Netherlands)

    163,363
1,300   

Delhaize Group (Belgium)

    88,311
1,700   

General Mills, Inc.

    112,064
100,700   

Goodman Fielder Ltd. (Australia)

    144,450
18,400   

Metcash Ltd. (Australia)

    77,361
27,486   

Nestle SA (Switzerland)

    1,278,142
3,800   

Suedzucker AG (Germany)

    78,548
       
      1,942,239
       

Gas Distribution

   
22,100   

Centrica PLC (United Kingdom)

    89,781
       

Healthcare Equipment & Supplies 0.4%

   
7,565   

American Medical Systems Holdings, Inc.*

    116,652
6,320   

Baxter International, Inc.

    341,659
3,923   

Cutera, Inc.*

    35,346

11,680   

Medtronic, Inc.

    416,976
1,174   

SurModics, Inc.*

    30,066
1,150   

Teleflex, Inc.

    57,213
6,614   

Thoratec Corp.*

    173,684
650   

West Pharmaceutical Services, Inc.

    25,656
1,250   

Zoll Medical Corp.*

    24,275
       
      1,221,527
       

Healthcare Products 0.3%

   
17,422   

Covidien PLC (Ireland)

    733,815
1,600   

Inverness Medical Innovations, Inc.*

    60,816
       
      794,631
       

Healthcare Providers & Services 0.4%

   
3,111   

Amedisys, Inc.*

    123,787
12,000   

Cardinal Health, Inc.

    340,080
3,690   

Centene Corp.*

    65,793
6,300   

CIGNA Corp.

    175,392
5,808   

Lincare Holdings, Inc.*

    182,429
1,990   

Medco Health Solutions, Inc.*

    111,679
2,625   

Patterson Cos., Inc.*

    67,016
2,752   

Psychiatric Solutions, Inc.*

    56,801
6,557   

UnitedHealth Group, Inc.

    170,154
       
      1,293,131
       

Healthcare Services 0.2%

   
1,800   

AMERIGROUP Corp.*

    39,690
4,400   

Astellas Pharma, Inc. (Japan)

    162,025
1,000   

Covance, Inc.*

    51,680
2,140   

Genoptix, Inc.*

    74,451
2,100   

Healthways, Inc.*

    33,768
2,130   

MEDNAX, Inc.*

    110,589
       
      472,203
       

Healthcare Technology 0.1%

   
6,489   

Eclipsys Corp.*

    121,669
3,040   

Vital Images, Inc.*

    34,686
       
      156,355
       

Hotels, Restaurants & Leisure 1.5%

   
3,500   

Bally Technologies, Inc.*

    137,865
6,492   

BJ’s Restaurants, Inc.*

    103,612
990   

Choice Hotels International, Inc.

    29,522
7,370   

International Game Technology

    131,481
1,750   

International Speedway Corp. (Class A Stock)

    44,642
2,230   

Las Vegas Sands Corp.*

    33,651
52,885   

McDonald’s Corp.

    3,099,590
11,585   

Shuffle Master, Inc.*

    90,479
2,025   

Sonic Corp.*

    18,934
3,100   

Starbucks Corp.*

    58,838
2,664   

Steak n Shake Co. (The)*

    31,035
13,059   

Wynn Resorts Ltd.*

    708,059
       
      4,487,708
       

 

Household Durables 0.1%

   
6,000   

Fortune Brands, Inc.

    233,700
5,736   

Universal Electronics, Inc.*

    118,162
       
      351,862
       

Household Products 0.1%

   
6,700   

Kimberly-Clark Corp.

    409,772
       

Independent Power Producers & Energy Traders

   
12,783   

Drax Group PLC (United Kingdom)

    97,256
       

Industrial Conglomerates 0.4%

   
6,590   

3M Co.

    484,826
24,306   

General Electric Co.

    346,604
14,534   

Tyco International Ltd. (Switzerland)

    487,616
       
      1,319,046
       

Insurance 2.3%

   
4,344   

ACE Ltd. (Switzerland)*

    223,108
7,600   

Aegon NV (Netherlands)*

    54,016
3,500   

Aflac, Inc.

    145,215
23,100   

Allstate Corp. (The)

    683,067
1,300   

Aspen Insurance Holdings Ltd. (Bermuda)

    33,540
29,500   

Aviva PLC (United Kingdom)

    184,468
22,900   

AXA SA (France)

    569,527
2,100   

Baloise Holding AG (Switzerland)

    179,806
47,647   

Beazley PLC (United Kingdom)

    83,608
25,700   

Brit Insurance Holdings PLC (United Kingdom)

    87,523
1,800   

Delphi Financial Group, Inc. (Class A Stock)

    39,060
23,100   

Genworth Financial, Inc. (Class A Stock)*

    245,322
1,825   

Hanover Insurance Group, Inc. (The)

    76,759
2,712   

HCC Insurance Holdings, Inc.

    71,570
6,600   

ING Groep NV, ADR (Netherlands)*

    85,890
121,100   

Legal & General Group PLC (United Kingdom)

    155,389
11,340   

Lincoln National Corp.

    270,232
5,000   

Loews Corp.

    165,500
7,200   

Marsh & McLennan Cos., Inc.

    168,912
32,610   

MetLife, Inc.

    1,109,718
1,500   

Muenchener Rueckversicherungs AG (Germany)

    237,319
50,900   

Old Mutual PLC (United Kingdom)

    88,343
2,600   

Protective Life Corp.

    50,050
1,400   

Reinsurance Group of America, Inc.

    64,540
4,400   

SCOR SE (France)

    111,984
1,400   

State Auto Financial Corp.

    22,764
1,900   

Swiss Reinsurance Co. Ltd. (Switzerland)

    77,369
14,778   

Travelers Cos., Inc. (The)

    735,797
1,300   

United Fire & Casualty Co.

    22,724
6,100   

Unum Group

    121,695
1,094   

Validus Holdings Ltd. (Bermuda)

    27,678
18,700   

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

    306,867
1,100   

Zurich Financial Services AG (Switzerland)

    251,892
       
      6,751,252
       

 

Internet Services 1.7%

   
11,190   

Amazon.com, Inc.*

    1,329,484
1,700   

Digital River, Inc.*

    38,811
6,154   

Google, Inc. (Class A Stock)*

    3,299,283
1,385   

NetFlix, Inc.*

    74,028
1,190   

Priceline.com, Inc.*

    187,770
       
      4,929,376
       

Internet Software & Services 0.8%

   
2,550   

Baidu, Inc., ADR (Cayman Islands)*

    963,696
3,500   

Check Point Software Technologies Ltd. (Israel)*

    108,745
32,823   

Oracle Corp.

    692,566
1,300   

VeriSign, Inc.*

    29,653
31,667   

Yahoo!, Inc.*

    503,505
       
      2,298,165
       

IT Services 0.1%

   
1,025   

CACI International, Inc. (Class A Stock)*

    48,810
53,000   

Logica PLC (United Kingdom)

    100,479
2,175   

Nice Systems Ltd., ADR (Israel)*

    67,360
2,875   

SRA International, Inc. (Class A Stock)*

    53,935
       
      270,584
       

Life Science Tools & Services 0.2%

   
3,249   

ICON PLC, ADR (Ireland)*

    80,250
9,147   

Thermo Fisher Scientific, Inc.*

    411,615
       
      491,865
       

Machinery 0.7%

   
2,925   

Actuant Corp. (Class A Stock)

    45,659
28,000   

BlueScope Steel Ltd. (Australia)

    74,204
2,900   

Bucyrus International, Inc.

    128,818
3,466   

Caterpillar, Inc.

    190,838
7,800   

Cummins, Inc.

    335,868
3,957   

Deere & Co.

    180,241
1,325   

General Cable Corp.*

    41,260
1,225   

Kaydon Corp.

    42,863
1,325   

Lincoln Electric Holdings, Inc.

    62,858
450   

Lindsay Corp.

    14,774
475   

Nordson Corp.

    25,066
16,538   

PACCAR, Inc.

    618,687
1,816   

Regal-Beloit Corp.

    85,134
300   

Rieter Holding AG (Switzerland)*

    67,174
1,675   

Robbins & Myers, Inc.

    38,860
1,100   

Snap-on, Inc.

    40,183
375   

Valmont Industries, Inc.

    27,101
       
      2,019,588
       

Machinery - Construction & Mining 0.2%

   
26,763   

Komatsu Ltd. (Japan)

    521,743
       

Manufacturing 0.2%

   
7,940   

Danaher Corp.

    541,746
       

Media 0.9%

   
13,700   

CBS Corp. (Class B Stock)

    161,249
27,100   

Comcast Corp. (Special Class A Stock)

    379,942
17,261   

DIRECTV Group, Inc. (The)*

    453,964
5,940   

Discovery Communications, Inc. (Class A Stock)*

    163,350
2,200   

Lagardere SCA (France)

    99,395
2,100   

McGraw-Hill Cos., Inc. (The)

    60,438
16,096   

Pearson PLC (United Kingdom)

    218,789
2,925   

Regal Entertainment Group (Class A Stock)

    36,884
10,600   

Rogers Communications, Inc. (Class B Stock) (Canada)

    311,030
11,800   

Time Warner, Inc.

    355,416
7,200   

Vivendi (France)

    199,745
11,908   

Walt Disney Co. (The)

    325,922
1,100   

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

    38,742
       
      2,804,866
       

Medical Supplies & Equipment 0.4%

   
1,640   

Addus Homecare Corp.*

    15,006
21,479   

Boston Scientific Corp.*

    174,409
6,200   

Fresenius Medical Care AG & Co KGaA (Germany)

    300,895
2,310   

Henry Schein, Inc.*

    122,037
24,000   

Smith & Nephew PLC (United Kingdom)

    212,157
8,670   

St. Jude Medical, Inc.*

    295,474
500   

Synthes, Inc.

    59,460
       
      1,179,438
       

Metals & Mining 1.4%

   
12,073   

BHP Billiton Ltd. (Australia)

    395,954
5,652   

BHP Billiton Ltd., ADR (Australia)

    370,658
18,600   

BHP Billiton PLC, ADR (United Kingdom)

    1,008,120
1,025   

Coeur d’Alene Mines Corp.*

    20,582
7,468   

Freeport-McMoRan Copper & Gold, Inc.*

    547,852
4,500   

Gold Fields Ltd., ADR (South Africa)

    57,375
39,000   

Mincor Resources NL (Australia)

    73,866
22,000   

Mitsui Mining & Smelting Co. Ltd. (Japan)*

    56,689
58,000   

Nippon Light Metal Co. Ltd. (Japan)*

    51,059
9,200   

Nucor Corp.

    366,620
4,974   

Peabody Energy Corp.

    196,921
2,000   

Precision Castparts Corp.

    190,760
3,000   

Rautaruukki Oyj (Finland)

    61,152
5,900   

Southern Copper Corp.

    185,850
4,000   

Teck Resources Ltd. (Class B Stock) (Canada)*

    115,680
3,825   

Thompson Creek Metals Co., Inc. (Canada)*

    38,939
6,500   

ThyssenKrupp AG (Germany)

    209,376
2,000   

Timken Co.

    44,060
575   

Walter Energy, Inc.

    33,638
       
      4,025,151
       

 

Multi-Line Retail 0.1%

   
9,700   

JC Penney Co., Inc.

    321,361
       

Multi-Utilities 0.2%

   
5,200   

Dominion Resources, Inc.

    177,268
1,700   

RWE AG (Germany)

    149,112
4,200   

Wisconsin Energy Corp.

    183,414
       
      509,794
       

Office Electronics 0.1%

   
45,400   

Xerox Corp.

    341,408
       

Office Equipment 0.1%

   
8,800   

OCE NV (Netherlands)*

    55,646
7,000   

Ricoh Co. Ltd. (Japan)

    95,132
       
      150,778
       

Oil & Gas Exploration/Production

   
1,700   

St. Mary Land & Exploration Co.

    57,970
       

Oil, Gas & Consumable Fuels 6.7%

   
3,012   

Air Liquide SA (France)

    324,394
14,755   

Anadarko Petroleum Corp.

    899,022
11,983   

Apache Corp.

    1,127,840
1,250   

Arena Resources, Inc.*

    46,575
600   

Ashland, Inc.

    20,724
63,000   

BP PLC (United Kingdom)

    590,327
2,400   

Cabot Oil & Gas Corp.

    92,328
5,500   

Canadian Natural Resources Ltd. (Canada)

    356,924
20,870   

Chevron Corp.

    1,597,390
242,499   

CNOOC Ltd. (Hong Kong)

    363,175
1,225   

Concho Resources, Inc.*

    46,685
20,300   

ConocoPhillips

    1,018,654
37,963   

Cosmo Oil Co. Ltd. (Japan)

    99,724
8,800   

ENI SpA (Italy)

    217,948
12,096   

Exxon Mobil Corp.

    866,920
1,950   

GMX Resources, Inc.*

    24,824
12,435   

Hess Corp.

    680,692
15,400   

Marathon Oil Corp.

    492,338
13,557   

National Oilwell Varco, Inc.*

    555,701
24,000   

Nippon Oil Corp. (Japan)

    118,266
2,800   

Noble Energy, Inc.

    183,764
7,600   

Norsk Hydro ASA (Norway)*

    49,810
14,076   

Occidental Petroleum Corp.

    1,068,087
1,200   

ONEOK, Inc.

    43,452
42,599   

Petroleo Brasileiro SA, ADR (Brazil)

    1,968,926
3,050   

Petroquest Energy, Inc.*

    18,697
9,400   

Repsol YPF SA (Spain)

    250,240
20,400   

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

    587,266
14,200   

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

    825,872
6,503   

Schlumberger Ltd. (Netherlands)

    404,487

5,440   

Southwestern Energy Co.*

    237,075
3,900   

Statoil ASA (Norway)

    91,900
1,800   

Swift Energy Co.*

    38,124
3,200   

Total SA (France)

    191,489
8,692   

Total SA, ADR (France)

    522,128
31,094   

Transocean Ltd. (Switzerland)*

    2,609,098
1,600   

Ultra Petroleum Corp. (Canada)*

    77,680
18,100   

Valero Energy Corp.

    327,610
1,300   

WGL Holdings, Inc.

    42,978
1,220   

Whiting Petroleum Corp.*

    68,808
12,522   

XTO Energy, Inc.

    520,414
       
      19,668,356
       

Paper & Forest Products

   
2,125   

Louisiana-Pacific Corp.*

    11,156
       

Pharmaceuticals 4.5%

   
50,668   

Abbott Laboratories

    2,562,281
5,690   

Allergan, Inc.

    320,063
7,322   

Amgen, Inc.*

    393,411
7,800   

AstraZeneca PLC (United Kingdom)

    350,154
30,905   

Bristol-Myers Squibb Co.

    673,729
32,000   

Eli Lilly & Co.

    1,088,320
7,070   

Express Scripts, Inc.*

    565,034
5,700   

GlaxoSmithKline PLC (United Kingdom)

    116,923
6,600   

H. Lundbeck A/S (Denmark)

    127,828
1,695   

Herbalife Ltd. (Cayman Islands)

    57,037
700   

Hospira, Inc.*

    31,248
5,500   

Johnson & Johnson

    324,775
4,910   

Mead Johnson Nutrition Co. (Class A Stock)

    206,416
49,801   

Merck & Co., Inc.

    1,540,345
13,509   

Novartis AG (Switzerland)

    703,470
7,900   

Novo Nordisk A/S (Class B Stock) (Denmark)

    490,797
1,961   

Onyx Pharmaceuticals, Inc.*

    52,163
86,463   

Pfizer, Inc.

    1,472,465
2,500   

Pharmaceutical Product Development, Inc.

    53,875
1,779   

Roche Holding AG (Switzerland)

    284,930
5,800   

Sanofi-Aventis SA (France)

    425,152
6,000   

Schering-Plough Corp.

    169,200
30,800   

Sinopharm Group Co. (Class H Stock) (China)*

    112,069
6,900   

Takeda Pharmaceutical Co. Ltd. (Japan)

    275,956
16,163   

Teva Pharmaceutical Industries Ltd., ADR (Israel)

    815,908
2,967   

Vivus, Inc.*

    23,439
       
      13,236,988
       

Professional Services 0.1%

   
3,256   

Duff & Phelps Corp. (Class A Stock)

    55,970
4,140   

Monster Worldwide, Inc.*

    60,113
900   

School Specialty, Inc.*

    20,025
1,600   

Watson Wyatt Worldwide, Inc. (Class A Stock)

    69,728
       
      205,836
       

Real Estate

   
1,100   

Meritage Homes Corp.*

    20,064
       

Real Estate Investment Trusts 0.7%

   
30,400   

Annaly Capital Management, Inc.

    514,064
4,838   

AvalonBay Communities, Inc.

    332,758
3,401   

Boston Properties, Inc.

    206,679
14,625   

Chimera Investment Corp.

    51,041
2,075   

DiamondRock Hospitality Co.*

    15,791
7,557   

Equity Residential

    218,246
1,500   

First Potomac Realty Trust

    17,025
1,025   

LaSalle Hotel Properties

    17,589
3,800   

Medical Properties Trust, Inc.

    30,400
9,425   

MFA Financial, Inc.

    69,933
3,430   

Redwood Trust, Inc.

    47,814
2,700   

Simon Property Group, Inc.

    183,303
4,409   

Vornado Realty Trust

    262,600
       
      1,967,243
       

Real Estate Management & Development

   
700   

Jones Lang LaSalle, Inc.

    32,795
       

Retail 0.4%

   
1,900   

Rallye SA (France)

    64,509
2,800   

Shimachu Co. Ltd. (Japan)

    66,194
8,000   

UNY Co. Ltd. (Japan)

    59,422
94,800   

Wal-Mart de Mexico SAB de CV (Class V Stock) (Mexico)

    330,701
13,737   

Wal-Mart Stores, Inc.

    682,454
       
      1,203,280
       

Retail & Merchandising 1.3%

   
6,100   

Aoyama Trading Co. Ltd. (Japan)

    97,755
16,957   

Best Buy Co., Inc.

    647,418
1,600   

Brinker International, Inc.

    20,224
5,300   

Circle K Sunkus Co. Ltd. (Japan)

    72,754
5,000   

GameStop Corp. (Class A Stock)*

    121,450
4,220   

Nordstrom, Inc.

    134,112
31,648   

Staples, Inc.

    686,762
17,194   

Target Corp.

    832,705
1,600   

Tiffany & Co.

    62,864
13,443   

TJX Cos., Inc.

    502,096
11,020   

Walgreen Co.

    416,887
8,883   

Yum! Brands, Inc.

    292,695
       
      3,887,722
       

Road & Rail

   
3,470   

Landstar System, Inc.

    122,283
       

Semiconductor Components 0.1%

   
96,100   

ARM Holdings PLC (United Kingdom)

    233,452
       

 

Semiconductors 0.3%

   
16,166    Applied Materials, Inc.    197,225
2,000    Checkpoint Systems, Inc.*    27,140
3,664    FormFactor, Inc.*    62,252
13,917    ON Semiconductor Corp.*    93,105
4,235    Rovi Corp.*    116,674
2,575    Skyworks Solutions, Inc.*    26,857
16,025    Teradyne, Inc.*    134,129
4,000    Texas Instruments, Inc.    93,800
4,875    TriQuint Semiconductor, Inc.*    26,276
       
      777,458
       

Semiconductors & Semiconductor Equipment 0.3%

   
1,020    Advanced Energy Industries, Inc.*    12,454
33,171    Intel Corp.    633,898
6,400    Marvell Technology Group Ltd. (Bermuda)*    87,808
720    Silicon Laboratories, Inc.*    30,168
6,020    Varian Semiconductor Equipment Associates, Inc.*    170,908
       
      935,236
       

Software 2.1%

   
28,063    Adobe Systems, Inc.*    924,395
2,825    ANSYS, Inc.*    114,638
3,400    BMC Software, Inc.*    126,344
32,705    CA, Inc.    684,189
3,900    Citrix Systems, Inc.*    143,364
600    Konami Corp. (Japan)    10,917
9,010    MasterCard, Inc. (Class A Stock)    1,973,370
2,935    MedAssets, Inc.*    64,394
2,055    MICROS Systems, Inc.*    55,321
61,625    Microsoft Corp.    1,708,861
6,918    Novell, Inc.*    28,295
1,540    Quality Systems, Inc.    93,971
2,525    Sybase, Inc.*    99,889
11,814    TIBCO Software, Inc.*    103,372
1,575    Tyler Technologies, Inc.*    29,956
1,110    VMware, Inc. (Class A Stock)*    42,657
       
      6,203,933
       

Specialty Retail 0.5%

   
3,080    Aaron’s, Inc.    77,154
11,700    Gap, Inc. (The)    249,678
6,048    Genesco, Inc.*    157,671
23,094    Home Depot, Inc. (The)    579,429
22,700    Limited Brands, Inc.    399,520
       
      1,463,452
       

Steel Producers/Products

   
2,900    Voestalpine AG (Austria)    99,163
       

Telecommunications 2.4%

   
9,100    Amdocs Ltd. (Guernsey)*    229,320
6,400    America Movil SAB de CV (Class L Stock), ADR (Mexico)    282,432
70,200    BT Group PLC (United Kingdom)    150,436

50,910    Cisco Systems, Inc.*    1,163,294
22,723    Ericsson, L.M. Telefonaktiebolaget , ADR (Sweden)    236,319
6,000    France Telecom SA (France)    148,672
26    KDDI Corp. (Japan)    137,995
79,170    MobileOne Ltd. (Singapore)    97,939
5,000    Nippon Telegraph & Telephone Corp. (Japan)    206,312
16,700    Nokia Oyj (Finland)    210,941
130    NTT DoCoMo, Inc. (Japan)    188,534
13,300    Portugal Telecom SGPS SA (Portugal)    152,026
45,164    QUALCOMM, Inc.    1,870,241
1,400    SBA Communications Corp. (Class A Stock)*    39,494
500    Swisscom AG (Switzerland)    180,459
127,800    Telecom Italia SpA (Italy)    203,027
22,200    Telefonica SA (Spain)    619,968
33,900    Turkcell Iletisim Hizmet A/S (Turkey)    224,295
108,800    Vodafone Group PLC (United Kingdom)    239,777
22,500    Vodafone Group PLC, ADR (United Kingdom)    499,275
       
      7,080,756
       

Textiles & Apparel

   
3,175    Phillips-Van Heusen Corp.    127,476
       

Textiles, Apparel & Luxury Goods 0.1%

   
2,450    Hanesbrands, Inc.*    52,969
12,000    Jones Apparel Group, Inc.    214,680
       
      267,649
       

Thrifts & Mortgage Finance

   
3,275    Washington Federal, Inc.    56,166
       

Tobacco 0.4%

   
18,700    Altria Group, Inc.    338,657
10,708    British American Tobacco PLC (United Kingdom)    341,221
13,130    Philip Morris International, Inc.    621,837
       
      1,301,715
       

Trading Companies & Distributors

   
800    Watsco, Inc.    40,976
       

Transportation 1.3%

   
8,657    Burlington Northern Santa Fe Corp.    652,045
7,300    Canadian National Railway Co. (Canada)    352,839
2,510    Genco Shipping & Trading Ltd. (Marshall Island)    49,924
3,600    Go-Ahead Group PLC (United Kingdom)    83,850
13,961    Norfolk Southern Corp.    650,862
17,690    Orient Overseas International Ltd. (Bermuda)    86,310
26,000    Sankyu, Inc. (Japan)    114,009
35,726    Union Pacific Corp.    1,969,932
       
      3,959,771
       

Utilities 0.5%

   
15,827    American Electric Power Co., Inc.    478,292
14,819    E.ON AG (Germany)    567,936
7,913    PG&E Corp.    323,563
       
      1,369,791
       

Wireless Telecommunication Services 0.4%

   
29,713    American Tower Corp. (Class A Stock)*    1,094,033
4,050    Syniverse Holdings, Inc.*    69,376
       
      1,163,409
       
   TOTAL COMMON STOCKS
    (cost $167,212,273)		    187,834,265
       

PREFERRED STOCK 0.1%

   

Financial - Bank & Trust — 0.1%

   
7,950    Wells Fargo & Co., Series J, 8.00%, CVT
  (cost $151,657)		    194,378
       

Units

          
RIGHTS*(h)      
Financial Services   

5,000

    Fortis, expiring 03/09/14 (Belgium)
  (cost $0)		    —  
       

 

Moody’s
Ratings†

         Principal
Amount
(000)#		          

ASSET-BACKED SECURITIES(a) 0.8%

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

Aaa

       $ 9   

1.114%, 06/01/23

    9,268
         Chase Issuance Trust, Series 2009-A8, Class A8   

Aaa

         400   

0.646%, 09/17/12

    400,029
         SLM Student Loan Trust, Series 2008-9, Class A   

Aaa

         1,855   

1.782%, 04/25/23

    1,937,433
             
        

TOTAL ASSET-BACKED SECURITIES

    (cost $2,257,515)

    2,346,730
             

BANK LOANS(a) 0.7%

   
         Chrysler Financial, Term B   

CAA-(c)

         1,078   

4.25%, 08/03/12

    1,028,891
         Ford Motor Co., Term B   

CAA+(c)

         30   

3.25%, 12/16/13

    26,496

B+(c)

         455   

3.29%, 12/16/13

    404,660
         TXU Corp., Term B3   

B+(c)

         684   

3.74%, 10/10/14

    523,896

B+(c)

         4   

3.78%, 10/10/14

    2,687
             
        

TOTAL BANK LOANS

    (cost $2,175,398)

    1,986,630
             

COMMERCIAL MORTGAGE-BACKED SECURITIES 0.2%

   
         Bear Stearns Commercial Mortgage Securities, Series 2006-BBA7, Class A1, 144A   

Aaa

         353   

0.355%(a), 03/15/19

    295,926

               Federal National Mortgage Assoc., Series 1998-73, Class MZ     

Aaa

       298   

6.30%, 10/17/38

    297,809
             
        

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

    (cost $648,114)

    593,735
             

CORPORATE BONDS 9.1%

   

Advertising 0.1%

   
         Omnicom Group, Inc., Sr. Unsec’d. Notes   

Baa1

       300   

5.90%, 04/15/16

    312,422
             

Automobile Manufacturers

   
         Daimler Finance North America LLC, Gtd. Notes, MTN   

A3

       100   

5.75%, 09/08/11

    105,714
             

Capital Markets 0.8%

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

A2

       300   

6.75%, 10/01/37

    315,978
         Morgan Stanley,   
        

Sr. Unsec’d. Notes, MTN

   

A2

       1,300   

5.75%, 10/18/16

    1,343,419

A2

       700   

6.00%, 04/28/15

    749,021
             
            2,408,418
             

Commercial Banks 0.5%

   
         Barclays Bank PLC, Sub. Notes, 144A (United Kingdom)   

Baa1

       1,120   

10.179%, 06/12/21

    1,478,143
             

Consumer Finance 0.2%

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

A3

       600   

7.00%, 03/19/18

    663,128
             

Diversified Financial Services 1.1%

   
         Citigroup, Inc., Sr. Unsec’d. Notes   

A3

       2,100   

5.50%, 04/11/13

    2,188,500
         JPMorgan Chase Bank NA, Sub. Notes   

Aa2

       900   

6.00%, 10/01/17

    958,619
             
            3,147,119
             

Financial - Bank & Trust 1.8%

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

A2

       400   

5.50%, 04/16/13

    425,032
         American International Group, Inc., Sr. Unsec’d. Notes   

A3

       1,100   

8.25%, 08/15/18

    937,496
         Bank of America Corp., Sr. Unsec’d. Notes   

A2

       1,000   

6.00%, 09/01/17

    1,020,962
         National Australia Bank Ltd., Sr. Notes, 144A (Australia)   

Aa1

       700   

0.914%(a), 02/08/10

    699,831
         Swedbank AB, Gov’t. Liquid Gtd. Notes, 144A (Sweden)   

Aaa

       2,000   

2.80%, 02/10/12

    2,054,948
             
            5,138,269
             

Financial Services 1.6%

   
         General Motors Acceptance Corp. LLC,   

        

Sr. Unsec’d. Notes

   

Ca

       600   

6.75%, 12/01/14

    543,968

Ca

       100   

8.00%, 11/01/31

    84,893
         Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(e)   

C

       500   

6.875%, 05/02/18

    80,625
         Macquarie Group Ltd., Notes, 144A (Australia)   

A2

       900   

7.625%, 08/13/19

    994,095
         Merrill Lynch & Co., Inc., Notes, MTN   

A2

       2,800   

6.875%, 04/25/18

    3,014,757
             
            4,718,338
             

Industrial Conglomerates 1.2%

   
         General Electric Capital Corp.,   
        

Sr. Unsec’d. Notes, MTN

   

Aa2

       2,200   

5.625%, 09/15/17

    2,272,915

Aa2

       400   

5.875%, 01/14/38

    382,227
        

Sub. Notes, 144A

   

Aa3

    GBP    700   

6.50%(a), 09/15/67

    942,080
             
            3,597,222
             

Lodging 0.3%

   
         Hyatt Hotels Corp., Sr. Unsec’d. Notes, 144A   

Baa1

       900   

5.75%, 08/15/15

    917,312
             

Medical Supplies & Equipment 0.2%

   
         HCA, Inc., Sec’d. Notes   

B2

       600   

9.25%, 11/15/16

    627,000
             

Paper & Forest Products 0.3%

   
         Georgia-Pacific LLC,   
        

Gtd. Notes, 144A

   

Ba3

       300   

7.00%, 01/15/15

    303,000

Ba3

       400   

7.125%, 01/15/17

    404,000
             
            707,000
             

Real Estate Investment Trust 0.1%

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

Baa2

       200   

6.50%, 07/15/11

    208,394
             

Telecommunications 0.6%

   
         Embarq Corp., Sr. Unsec’d. Notes   

Baa3

       1,000   

7.082%, 06/01/16

    1,092,461
         Motorola, Inc., Sr. Unsec’d. Notes   

Baa3

       700   

6.00%, 11/15/17

    671,098
             
            1,763,559
             

Tobacco 0.3%

   
         Altria Group, Inc., Gtd. Notes   

Baa1

       800   

9.25%, 08/06/19

    969,923
             
        

TOTAL CORPORATE BONDS
(cost $26,529,243)

    26,761,961
             

FOREIGN GOVERNMENT BONDS 0.5%

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

Baa3

    BRL    1,800   

12.50%, 01/05/22

    1,136,751
         United Kingdom Gilt, Bonds (United Kingdom)   

Aaa

    GBP    200   

5.75%, 12/07/09

    329,928
             
        

TOTAL FOREIGN GOVERNMENT BONDS

(cost $1,394,175)

    1,466,679
             

Municipal Bonds 1.3%

   

California 0.4%

   
         State of California,   
        

General Obligation Unlimited

   

Baa1

       500   

5.00%, 06/01/37

    465,365

Baa1

       800   

5.00%, 11/01/37

    744,264

Baa1

       200   

5.00%, 12/01/37

    186,040
             
            1,395,669
             

Georgia 0.1%

   
         Georgia State Road & Tollway Authority, Revenue Bonds   

Aaa

       200   

5.00%, 03/01/21

    214,002
             

Illinois 0.8%

   
         Chicago Transit Authority, Series A, Revenue Bonds   

A1

       1,100   

6.899%, 12/01/40

    1,198,307
         Chicago Transit Authority, Series B, Revenue Bonds   

A1

       1,100   

6.899%, 12/01/40

    1,198,307
             
            2,396,614
             
        

TOTAL MUNICIPAL BONDS
(cost $3,894,935)

    4,006,285
             

RESIDENTIAL MORTGAGE-BACKED SECURITIES 1.7%

   
         Bank Trust Mortgage Trust, Series 1, Class G   

Aaa

       51   

5.70%, 12/01/23

    51,030
         Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-4, Class 23A2   

Aa3

       188   

5.353%(a), 05/25/35

    143,236
         Countrywide Alternative Loan Trust,   
        

Series 2006-HY13, Class 4A1

   

Caa

       547   

5.887%(a), 02/25/37

    355,748
        

Series 2006-OA11, Class A1B

   

Caa2

       539   

0.434%(a), 09/25/46

    267,199
         Federal Home Loan Mortgage Corp., Series 119, Class H   

Aaa

       26   

7.50%, 01/15/21

    26,426
         Federal National Mortgage Assoc.,   
        

Series 2000-32, Class FM

   

Aaa

       10   

0.695%(a), 10/18/30

    9,718
        

Series 2006-5, Class 3A2

   

Aaa

       770   

4.036%(a), 05/25/35

    785,581
        

Series 2266, Class F

   

Aaa

       5   

0.689%(a), 11/15/30

    4,618
        

Series 3346, Class FA

   

Aaa

       364   

0.475%(a), 02/15/19

    364,248

         FHLMC Structured Pass-Through Securities, Series T-61, Class 1A1   

Aaa

       118   

2.301%(a), 07/25/44

    115,513
         Government National Mortgage Assoc., Series 2000-9, Class FH   

Aaa

       26   

0.745%(a), 02/16/30

    25,588
         GSR Mortgage Loan Trust,   
        

Series 2005-AR6, Class 2A1

   

AAA(c)

       316   

3.936%(a), 09/25/35

    282,849
        

Series 2005-AR7, Class 4A1

   

B-(c)

       645   

5.337%(a), 11/25/35

    527,220
         Harborview Mortgage Loan Trust,   
        

Series 2006-5, Class 2A1A

   

Caa1

       563   

0.425%(a), 07/19/46

    287,509
        

Series 2006-12, Class 2A2B

   

Ca

       485   

0.495%(a), 01/19/38

    128,282
         Indymac Index Mortgage Loan Trust, Series 2007-FLX2, Class A2   

Caa3

       515   

0.434%(a), 04/25/37

    95,984
         Structured Asset Mortgage Investments, Inc., Series 2006-AR7, Class A8   

Aaa

       52   

0.314%(a), 08/25/36

    50,815
         WaMu Mortgage Pass-Through Certificates,   
        

Series 2003-R1, Class A1

   

Aaa

       654   

0.784%(a), 12/25/27

    507,284
        

Series 2007-HY1, Class 2A3

   

CCC(c)

       533   

5.833%(a), 02/25/37

    361,470
        

Series 2007-HY2, Class 1A1

   

CCC(c)

       548   

5.565%(a), 12/25/36

    393,626
        

Series 2007-OA3, Class 2A1A

   

B3

       549   

1.517%(a), 04/25/47

    311,882
             
        

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $5,989,304)

    5,095,826
             

U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS 11.3%

   
        

Federal Home Loan Mortgage Corp.

   
      157   

3.499%(a), 09/01/35

    160,574
      475   

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

    501,100
      246   

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

    266,267
        

Federal National Mortgage Assoc.

   
      197   

1.958%(a), 06/01/43

    197,158
      60   

4.003%(a), 05/01/36

    60,405
      3,160   

4.50%, 09/01/35-10/01/39

    3,205,871
      600   

4.50%, TBA

    623,250
      210   

4.561%(a), 12/01/34

    215,921
      86   

4.76%(a), 09/01/34

    86,590
      6,944   

5.00%, 11/01/33

    7,227,342
      500   

5.00%, TBA

    518,281
      5,153   

5.50%, 07/01/14-02/01/38

    5,436,125
      4,700   

5.50%, TBA

    4,946,750
      8,248   

6.00%, 02/01/36-08/01/38

    8,777,168
        

Government National Mortgage Assoc.

   
      5   

3.625%(a), 09/20/22

    5,640
      17   

4.125%, 10/20/27-11/20/29

    16,884
      42   

4.50%, 08/15/33

    42,964
      300   

5.00%, TBA

    311,625
      712   

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

    757,737
      7   

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

    7,681
             
        

TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS
(cost $32,146,415)

    33,365,333
             

U.S. TREASURY OBLIGATIONS 4.9%

   
  

U.S. Treasury Bonds

   
2,800   

4.25%, 05/15/39

    2,806,563
100   

4.375%, 02/15/38

    102,344
700   

4.50%, 08/15/39

    731,282
  

U.S. Treasury Inflationary Indexed Bonds, TIPS

   
500   

1.375%, 07/15/18

    502,679
500   

1.875%, 07/15/19

    528,011
400   

2.00%, 07/15/14

    483,095
400   

2.50%, 01/15/29

    432,710
  

U.S. Treasury Notes

   
653   

1.00%, 07/31/11(g)

    656,112
1,900   

1.00%, 09/30/11

    1,905,343
700   

2.25%, 05/31/14

    703,008
1,000   

2.375%, 09/30/14

    1,003,980
1,800   

2.75%, 02/15/19

    1,710,562
800   

3.25%, 07/31/16

    817,562
1,100   

3.50%, 02/15/18

    1,121,055
1,100   

3.625%, 08/15/19

    1,121,141
       
  

TOTAL U.S. TREASURY OBLIGATIONS
(cost $14,495,083)

    14,625,447
       
  

TOTAL LONG-TERM INVESTMENTS
(cost $256,894,112)

    278,277,269
       

SHORT-TERM INVESTMENTS 4.4%

   

U.S. TREASURY OBLIGATION

   
  

U.S. Treasury Bills
(cost $109,909)

   
110   

0.26%, 02/25/10

    109,975
       

REPURCHASE AGREEMENT 0.4%

   
1,100   

JPMorgan Securities, Inc., 0.08%, dated 10/30/09, due 11/02/09 in the amount of $1,100,007 (cost $1,100,000; collateralized by $1,085,000 Federal Home Loan Mortgage Corp., 7.00%, maturity date 03/15/10; the value of collateral plus accrued interest was $1,121,449)

    1,100,000
       
Shares          

AFFILIATED MONEY MARKET MUTUAL FUND 3.0%

   
8,898,576   

Dryden Core Investment Fund - Taxable Money Market Series
(cost $8,898,576)(b)

    8,898,576

Principal

Amount

(000)#

            

 

U.S. GOVERNMENT AGENCY OBLIGATIONS 1.0%

   
  

Federal Home Loan Bank
(cost $2,999,908)

   
$ 3,000   

0.10%, 11/13/09

      2,999,908   
           
  

TOTAL SHORT-TERM INVESTMENTS
(cost $13,108,393)

      13,108,459   
           
  

TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT(d) — 98.6%
(cost $270,002,505)(f)

      291,385,728   
           

 

SECURITIES SOLD SHORT (3.3)%

   

 

U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS

   
  

Federal National Mortgage Assoc.

   
  9,000   

6.00%, TBA

      (9,525,942 ) 
  

Government National Mortgage Assoc.

   
  100   

5.50%, TBA

      (105,469 ) 
           
  

TOTAL SECURITIES SOLD SHORT
(proceeds received $9,594,547)

      (9,631,411 ) 
           
  

TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT — 95.3%
(cost $260,407,958)

      281,754,317   
  

Other assets in excess of other liabilities(i) — 4.7%

      13,759,654   
           
  

NET ASSETS —100%

    $ 295,513,971   
           

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

FSB

    Federal Savings Bank

GDR

    Global Depositary Receipt

MTN

    Medium Term Note

TBA

    To Be Announced

TIPS

    Treasury Inflation Protected Securities

AUD

    Australian Dollar

BRL

    Brazilian Real

CAD

    Canadian Dollar

CNY

    Chinese Yuan

EUR

    Euro

GBP

    British Pound

INR

    Indian Rupee

JPY

    Japanese Yen

MXN

    Mexican Peso

MYR

    Malaysian Ringgit

#

    Principal amount is shown in U.S. dollars unless otherwise stated.

*

    Non-income producing security.

†

    The rating reflected is as of October 31, 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)

    Standard & Poor’s rating.

(d)

    As of October 31, 2009, 191 securities representing $34,624,734 and 11.7% of net assets were fair valued in accordance with the policies adopted by the Board of Trustees.

(e)

    Represents issuer in default on interest payments. Non-income producing security.

(f)

    The United States federal income tax basis of the Portfolio’s investments was $285,907,309; accordingly, net unrealized appreciation on investments for federal income tax purposes was $5,478,419 (gross unrealized appreciation $16,654,852; gross unrealized depreciation $11,176,433). The difference between book and tax basis is primarily attributable to deferred losses on wash sales.

(g)

    Securities segregated as collateral for futures contracts.

(h)

    The amount represents fair value of derivative instruments subject to equity contracts risk exposure as of October 31, 2009.

(i)

    Other assets in excess of other liabilities includes net unrealized appreciation (depreciation) on futures contracts, forward foreign currency exchange contracts and interest rate and credit default swap agreements as follows:

Futures contracts open at October 31, 2009:

 

Number of
Contracts

   

Type

    Expiration
Date		    Value at
Trade Date		    Value at
October 31,
2009		    Unrealized
Appreciation(1)

Long Positions:

            

113

    90 Day Euro Dollar    Jun 10    $ 27,875,200    $ 28,025,413    $ 150,213

18

    90 Day Euro Dollar    Sep 10      4,403,250      4,448,250      45,000

30

    90 Day Euro Euribor    Jun 10      10,839,226      10,897,191      57,965

65

    90 Day Sterling    Jun 10      13,111,880      13,171,170      59,290

36

    2 Years U.S. Treasury Notes    Dec 09      7,788,141      7,833,938      45,797

7

    5 Years U.S. Treasury Notes    Dec 09      799,149      815,172      16,023
                  
               $ 374,288
                  

 

(1)

The amount represents fair value of derivative instruments subject to interest rate contract risk exposure as of October 31, 2009.

Forward foreign currency exchange contracts outstanding at October 31, 2009:

 

Purchase Contracts

   

Counterparty

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

Brazilian Real,

  

Expiring 11/04/09

   

Deutsche Bank

    BRL    244    $ 137,000    $ 138,482    $ 1,482   

Expiring 11/04/09

   

Deutsche Bank

    BRL    237      133,000      134,175      1,175   

Chinese Yuan,

  

Expiring 03/29/10

   

Barclays Bank PLC

    CNY    459      67,915      67,217      (698 ) 

Expiring 03/29/10

   

Citibank NA

    CNY    3,262      482,861      477,757      (5,104 ) 

Expiring 03/29/10

   

Deutsche Bank

    CNY    2,181      323,100      319,400      (3,700 ) 

Expiring 03/29/10

   

Deutsche Bank

    CNY    4      549      544      (5 ) 

Expiring 03/29/10

   

Hong Kong & Shanghai Bank

    CNY    3,139      464,100      459,738      (4,362 ) 

Expiring 03/29/10

   

JPMorgan Securities

    CNY    29      4,335      4,292      (43 ) 

Expiring 06/07/10

   

Barclays Bank PLC

    CNY    1,428      212,000      209,596      (2,404 ) 

Expiring 06/07/10

   

Barclays Bank PLC

    CNY    1,414      210,000      207,526      (2,474 ) 

Expiring 06/07/10

   

Citibank NA

    CNY    565      84,000      82,936      (1,064 ) 

Expiring 06/07/10

   

Citibank NA

    CNY    465      69,000      68,187      (813 ) 

Expiring 06/07/10

   

Deutsche Bank

    CNY    855      127,000      125,504      (1,496 ) 

Expiring 06/07/10

   

Hong Kong & Shanghai Bank

    CNY    1,609      239,000      236,097      (2,903 ) 

Expiring 06/07/10

   

JPMorgan Securities

    CNY    1,481      220,000      217,344      (2,656 ) 

Expiring 06/07/10

   

JPMorgan Securities

    CNY    923      137,000      135,446      (1,554 ) 

Expiring 06/15/11

   

Hong Kong & Shanghai Bank

    CNY    1,064      160,000      166,367      6,367   

Malaysian Ringgit,

                 

Expiring 11/12/09

   

Barclays Capital Group

    MYR    2        500      526      26   

Expiring 11/12/09

   

Barclays Capital Group

    MYR    1        400      420      20   

Expiring 11/12/09

   

Deutsche Bank

    MYR    2        427      444      17   

Expiring 11/12/09

   

JPMorgan Securities

    MYR    2        591      621      30   

Expiring 11/12/09

   

JPMorgan Securities

    MYR    2        518      544      26   

Expiring 02/12/10

   

BT Alex Brown

    MYR    1        297      292      (5 ) 

Expiring 02/12/10

   

Citicorp

    MYR    —   *      76      78      2   

Expiring 02/12/10

   

Deutsche Bank

    MYR    8        2,288      2,255      (33 ) 

Mexican Peso,

                 

Expiring 11/27/09

   

Citicorp

    MXN    167        12,353      12,573      220   

Expiring 11/27/09

   

HSBC Securities

    MXN    56        4,120      4,202      82   

Expiring 11/27/09

   

JPMorgan Securities

    MXN    167        12,359      12,573      214   

Expiring 11/27/09

   

JPMorgan Securities

    MXN    82        5,911      6,153      242   

Expiring 11/30/09

   

State Street Bank

    MXN    957        70,228      72,186      1,958   

Expiring 11/30/09

   

State Street Bank

    MXN    565        41,424      42,618      1,194   

Expiring 04/22/10

   

JPMorgan Securities

    MXN    415        31,083      30,663      (420 ) 
                              
           $ 3,253,435    $ 3,236,756    $ (16,679 ) 
                              

 

Sale Contracts

   

Counterparty

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

Australian Dollar,

                  

Expiring 11/05/09

   

Hong Kong & Shanghai Bank

    AUD    33    $ 29,000    $ 29,980    $ (980 ) 

Brazilian Real,

                  

Expiring 11/04/09

   

Deutsche Bank

    BRL    244      137,000      138,482      (1,482 ) 

Expiring 01/22/10

   

State Street Bank

    BRL    717      402,521      400,456      2,065   

Expiring 02/02/10

   

Deutsche Bank

    BRL    248      137,000      138,296      (1,296 ) 

Expiring 02/02/10

   

Deutsche Bank

    BRL    241      133,000      133,999      (999 ) 

Expiring 02/02/10

   

Goldman Sachs

    BRL    242      134,000      134,946      (946 ) 

Expiring 02/02/10

   

Hong Kong & Shanghai Bank

    BRL    248      137,000      138,235      (1,235 ) 

Expiring 11/04/09

   

Citibank NA

    BRL    237      133,000      134,175      (1,175 ) 

British Pound,

                  

Expiring 11/24/09

   

JPMorgan Securities

    GBP    1,176      1,922,167      1,929,799      (7,632 ) 

Canadian Dollar,

                  

Expiring 12/10/09

   

RBC Dominion Securities, Inc.

    CAD    2      1,877      1,848      29   

Chinese Yuan,

                  

Expiring 03/29/10

   

Deutsche Bank

    CNY    3,155      467,800      462,101      5,699   

Expiring 06/07/10

   

Barclays Capital Group

    CNY    495      73,000      72,647      353   

Expiring 06/07/10

   

Deutsche Bank

    CNY    2,434      359,311      357,240      2,071   

Euro,

                  

Expiring 11/19/09

   

JPMorgan Securities

    EUR    322      471,660      473,850      (2,190 ) 

Indian Rupee,

                  

Expiring 03/24/10

   

Citibank NA

    INR    610      12,519      12,834      (315 ) 

Japanese Yen,

                  

Expiring 11/24/09

   

JPMorgan Securities

    JPY    1,858      20,526      20,644      (118 ) 

Malaysian Ringgit,

                  

Expiring 11/12/09

   

Deutsche Bank

    MYR    8      2,291      2,263      28   

Expiring 11/12/09

   

Deutsche Bank

    MYR    1      298      293      5   

Mexican Peso,

  

Expiring 11/27/09

   

Deutsche Bank

    MXN    56      4,030      4,202      (172 ) 

Expiring 11/27/09

   

JPMorgan Securities

    MXN    415      31,728      31,298      430   

Expiring 11/30/09

   

State Street Bank

    MXN    7,520      557,017      567,233      (10,216 ) 

Expiring 11/30/09

   

State Street Bank

    MXN    1,246      91,278      93,986      (2,708 ) 
                               
            $ 5,258,023    $ 5,278,807    $ (20,784 ) 
                               

 

* Notional amount is less than 500.
(1)

The amount represents fair value of derivative instruments subject to foreign exchange contract risk exposure as of October 31, 2009.

Interest rate swap agreements outstanding at October 31, 2009:

 

Counterparty

   Termination Date       Notional
Amount(000)		   Fixed
Rate		    

Floating Rate

   Fair
Value		     Upfront
Premiums Paid
(Received)		     Unrealized
Appreciation
(Depreciation)(2)		  

Goldman Sachs & Co. (1)

   01/02/12   BRL     2,400   10.15 %    Brazilian interbank
lending rate		   $ (61,737 )    $ —        $ (61,737 ) 

Goldman Sachs & Co. (1)

   09/17/11   GBP     300   4.50 %    6 Month LIBOR     26,770        (3,885 )      30,655   
                                 
            $ (34,967 )    $ (3,885 )    $ (31,082 ) 
                                 

 

(1)    Fund pays the floating rate and receives the fixed rate.

       

(2)    The amount represents fair value of derivative instruments subject to interest rate contract risk exposure as of October 31,2009.

       

Credit default swap agreements outstanding at October 31, 2009:   

Counterparty

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

Reference Entity/Obligation

   Fair
Value(3)		     Upfront
Premiums
Paid (Received)		     Unrealized
Depreciation(5)		  

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

  

        

Credit Suisse International

   05/25/46     $ 4,374   0.11 %   

ABX HE AAA 06-2

   $ (2,532,064 )    $ (906,637 )    $ (1,625,427 ) 

Credit Suisse International

   08/25/37       800   0.09 %   

ABX HE AAA 07-1

     (551,986 )      (206,769 )      (345,217 ) 

Morgan Stanley & Co.

   12/20/15       530   0.46 %   

Dow Jones CDX IG5 10Y Index

     (82,744 )      —          (82,744 ) 

Morgan Stanley & Co.

   12/20/15       1,900   0.46 %   

Dow Jones CDX IG5 10Y Index

     (296,095 )      —          (296,095 ) 
                                 
            $ (3,462,889 )    $ (1,113,406 )    $ (2,349,483 ) 
                                 
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.      

Counterparty

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

Reference Entity/Obligation

   Fair
Value		     Upfront
Premiums
Paid (Received) 		    Unrealized
Appreciation
(Depreciation)(5)		  

Credit default swaps -Buy Protection (2):

          

Barclays Capital, Inc.

   09/20/11     $ 100   0.54 %   

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

   $ 137      $ —        $ 137   

Merrill Lynch & Co.

   12/20/11       272   0.00 %   

Dow Jones CDX HY7 Index

     172,973        43,053        129,920   

Deutsche Bank

   06/20/18       1,854   1.50 %   

Dow Jones CDX IG10 10Y Index

     (4,428 )      (26,262 )      21,834   

Goldman Sachs & Co.

   06/20/18       2,245   1.50 %   

Dow Jones CDX IG10 10Y Index

     (5,361 )      (69,973 )      64,612   

Morgan Stanley & Co.

   06/20/18       5,270   1.50 %   

Dow Jones CDX IG10 10Y Index

     (12,588 )      (132,137 )      119,549   

Deutsche Bank

   06/20/13       2,245   1.55 %   

Dow Jones CDX IG10 5Y Index

     (2,041 )      (6,980 )      4,939   

Morgan Stanley & Co.

   12/20/12       700   0.14 %   

Dow Jones CDX IG5 Index

     40,530        —          40,530   

Morgan Stanley & Co.

   12/20/12       2,700   0.14 %   

Dow Jones CDX IG5 Index

     156,331        —          156,331   

Goldman Sachs & Co.

   12/20/17       3,904   0.80 %   

Dow Jones CDX IG9 10Y Index

     172,692        28,166        144,526   

Morgan Stanley & Co.

   12/20/17       4,099   0.80 %   

Dow Jones CDX IG9 10Y Index

     181,418        84,807        96,611   

Barclays Capital, Inc.

   12/20/17       976   0.80 %   

Dow Jones CDX IG9 10Y Index

     43,195        10,780        32,415   

Merrill Lynch & Co.

   12/20/17       1,952   0.80 %   

Dow Jones CDX IG9 10Y Index

     86,389        33,894        52,495   

Deutsche Bank

   03/20/14       300   1.25 %   

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

     (8,461 )      —          (8,461 ) 

Deutsche Bank

   03/20/14       200   1.27 %   

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

     (5,813 )      —          (5,813 ) 

Morgan Stanley & Co.

   03/20/14       100   1.30 %   

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

     (3,036 )      13        (3,049 ) 

Deutsche Bank

   03/20/14       200   1.43 %   

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

     (7,150 )      28        (7,178 ) 

Deutsche Bank

   09/20/11       200   0.62 %   

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

     4,088        —          4,088   

Morgan Stanley & Co.

   06/20/16       300   0.39 %   

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

     9,037        —          9,037   
                                 
            $ 817,912      $ (34,611 )    $ 852,523   
                                 

 

(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.
(5) The amount represents fair value of derivative instruments subject to credit contract risk exposure as of October 31, 2009.
# 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 Portfolio’s own assumptions in determining the fair value of investments)

The following is a summary of the inputs used as of October 31, 2009 in valuing the Fund’s assets carried at fair value:

 

Investments in Securities

    Level 1    Level 2     Level 3

Common Stocks

    $ 153,209,531    $ 34,624,734      $ —  

Preferred Stock

      194,378      —          —  

Asset-Backed Securities

      —        2,346,730        —  

Bank Loans

      —        1,986,630        —  

Commerical Mortgage-Backed Securities

      —        593,735        —  

Corporate Bonds

      —        26,761,961        —  

Foreign Government Bonds

      —        1,466,679        —  

Municipal Bonds

      —        4,006,285        —  

Residential Mortgage-Backed Securities

      —        5,044,796        51,030

U.S. Government Mortgage-Backed Obligations

      —        33,365,333        —  

U.S. Government Agency Obligations

      —        2,999,908        —  

U.S. Treasury Obligations

      —        14,735,422        —  

Repurchase Agreement

      —        1,100,000        —  

Affiliated Money Market Mutual Fund

      8,898,576      —          —  

Securities Sold Short - U.S. Government Mortgage-Backed Obligations

      —        (9,631,411 )      —  
                     
   $  162,302,485    $  119,400,802      $  51,030

Other Financial Instruments*

      374,288      (1,565,505 )      —  
                     

Total

    $ 162,676,773    $ 117,835,297      $ 51,030
                     

 

* 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 reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

     Residential
Mortgage-Backed Securities		  

Balance as of 7/31/09

    $ 55,981   

Accrued discounts/premiums

      (5,407 ) 

Realized gain (loss)

      74   

Change in unrealized appreciation (depreciation)

      382   

Net purchases (sales)

      —     

Transfers in and/or out of Level 3

      —     
        

Balance as of 10/31/09

    $ 51,030   
        

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    December 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    December 22, 2009  
By (Signature and Title)*   /S/    GRACE C. TORRES          
  Grace C. Torres  
  Treasurer and Principal Financial Officer  
Date    December 22, 2009  

 

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